NPORT-P
    false
    
      
      
        
          0000809707
          XXXXXXXX
        
      
      
      
      
        S000006855
        C000120960
        C000215060
        C000018523
        C000064444
        C000128881
      
      
      
    
  
  
    
      Franklin Investors Securities Trust
      811-04986
      0000809707
      549300XUGIR9DEQFV548
      One Franklin Parkway
      San Mateo
      
      94403-1906
      650-312-2000
      Franklin Low Duration Total Return Fund
      S000006855
      H1JJYRV86MLGMEZLFG42
      2021-10-31
      2021-07-31
      N
    
    
      3056821662.17
      246612331.25
      2810209330.92
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      74888768.68999999
      0.00000000
      0.00000000
      173548467.84000000
      
        
          AUD
          
          
        
        
          BRL
          
          
        
        
          CAD
          
          
        
        
          CNY
          
          
        
        
          DOP
          
          
        
        
          EUR
          
          
        
        
          JPY
          
          
        
        
          KRW
          
          
        
        
          SGD
          
          
        
        
          TRY
          
          
        
        
          USD
          
          
        
        
          UYU
          
          
        
        
          ZAR
          
          
        
      
      
      
      N
      
        
          
          
          
          
          
        
        
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
      
    
    
      
        J.P. Morgan Mortgage Trust
        N/A
        J.P. Morgan Mortgage Trust, Series 2004-A1, Class 5A1
        466247BT9
        
          
          
        
        20522.33000000
        PA
        USD
        21885.55000000
        0.000778787179
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-02-25
          Variable
          2.38527360
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31379MDU0
        
          
          
        
        39847.53000000
        PA
        USD
        40160.28000000
        0.001429084999
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-05-01
          Variable
          2.43299880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Towd Point Mortgage Trust
        N/A
        Towd Point Mortgage Trust, Series 2017-2, Class A1
        89173HAA4
        
          
          
        
        0.00100000
        PA
        USD
        0.00000000
        0.000000
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2057-04-25
          Variable
          2.75000040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Prosper Pass-Thru Trust III
        N/A
        Prosper Pass-Thru Trust III, Series 2020-PT2, Class A
        74360NAB4
        
          
          
        
        1874740.85000000
        PA
        USD
        1841932.51000000
        0.065544316920
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-04-15
          Variable
          9.44421840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oriental Republic of Uruguay
        549300RDR012H2V82H43
        Oriental Republic of Uruguay
        760942AV4
        
          
          
        
        170449778.34000000
        PA
        
        4383359.48000000
        0.155979820854
        Long
        DBT
        NUSS
        UY
        N
        
        2
        
          2037-06-26
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Korea Development Bank (The)
        549300ML2LNRZUCS7149
        Korea Development Bank (The)
        500630CU0
        
          
          
        
        7100000.00000000
        PA
        USD
        7434251.74000000
        0.264544411628
        Long
        DBT
        NUSS
        KR
        N
        
        2
        
          2023-03-12
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo & Co.
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co.
        94974BFY1
        
          
          
        
        3000000.00000000
        PA
        USD
        3381831.54000000
        0.120340912073
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-03
          Fixed
          4.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Consumer Loan Underlying Bond Certificate Issuer Trust I
        N/A
        Consumer Loan Underlying Bond Certificate Issuer Trust I, Series 2019-S1, Class PT
        21053KAA5
        
          
          
        
        485031.99000000
        PA
        USD
        476891.26000000
        0.016969955040
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2044-04-15
          Variable
          18.46472400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAMLL Commercial Mortgage Securities Trust
        N/A
        BAMLL Commercial Mortgage Securities Trust, Series 2012-PARK, Class A
        05524UAA7
        
          
          
        
        3300000.00000000
        PA
        USD
        3399059.07000000
        0.120953945764
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2030-12-10
          Fixed
          2.95900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31371MAW7
        
          
          
        
        20305.57000000
        PA
        USD
        21502.25000000
        0.000765147626
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-04-01
          Variable
          2.12500080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, Series 2016-C04, Class 1M2
        30711XDA9
        
          
          
        
        11088815.49000000
        PA
        USD
        11596070.03000000
        0.412640791645
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2029-01-25
          Floating
          4.33924920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410GE25
        
          
          
        
        22241.58000000
        PA
        USD
        22489.52000000
        0.000800279173
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-04-01
          Variable
          1.84100040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mill City Mortgage Loan Trust
        N/A
        Mill City Mortgage Loan Trust, Series 2018-4, Class A1B
        59980YAB1
        
          
          
        
        8129355.19000000
        PA
        USD
        8488692.20000000
        0.302066187974
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2066-04-25
          Variable
          3.49999920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31413DC70
        
          
          
        
        5242.54000000
        PA
        USD
        5275.93000000
        0.000187741530
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-08-01
          Variable
          2.20500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Owens-Brockway Glass Container, Inc.
        V2UQUCDZJ9WY98W8QU33
        Owens-Brockway Glass Container, Inc.
        69073TAR4
        
          
          
        
        1000000.00000000
        PA
        USD
        1074540.00000000
        0.038237009185
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-08-15
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385Y2D6
        
          
          
        
        33248.55000000
        PA
        USD
        34511.96000000
        0.001228092143
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-06-01
          Variable
          1.50800040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CDIT
        N/A
        
          
        
        800000.00000000
        PA
        USD
        276.04000000
        0.000009822755
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY CAPITAL
              I7331LVCZKQKX5T7XV54
            
            
              
                MS 693413 Dec 2021
                MS 693413 Dec 2021
                
                  
                
              
            
            Y
            
            Payout of notional amount upon default event with regard to the reference instrument
            2021-12-20
            0.00000000
            USD
            0.00000000
            USD
            800000.00000000
            USD
            276.04000000
          
        
        
          N
          N
          N
        
      
      
        AstraZeneca plc
        PY6ZZQWO2IZFZC3IOL08
        AstraZeneca plc
        046353AV0
        
          
          
        
        6300000.00000000
        PA
        USD
        6229816.68000000
        0.221685146777
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-04-08
          Fixed
          0.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385HFW7
        
          
          
        
        31227.62000000
        PA
        USD
        31398.01000000
        0.001117283671
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-02-01
          Variable
          4.79999880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Verizon Communications, Inc.
        2S72QS2UO2OESLG6Y829
        Verizon Communications, Inc.
        92343VGG3
        
          
          
        
        15700000.00000000
        PA
        USD
        15923174.09000000
        0.566618789383
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-20
          Fixed
          1.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31362VFD5
        
          
          
        
        3269.85000000
        PA
        USD
        3352.07000000
        0.000119281861
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-03-01
          Variable
          4.84999920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Voya CLO Ltd.
        5493007ASGBOUR3XJY69
        Voya CLO Ltd., Series 2013-2A, Class CR
        92916WAJ8
        
          
          
        
        375000.00000000
        PA
        USD
        364743.11000000
        0.012979214964
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-25
          Floating
          2.87525160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410ECX4
        
          
          
        
        2289.74000000
        PA
        USD
        2434.31000000
        0.000086623796
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-08-01
          Variable
          2.23099920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Occidental Petroleum Corp.
        IM7X0T3ECJW4C1T7ON55
        Occidental Petroleum Corp.
        674599EE1
        
          
          
        
        500000.00000000
        PA
        USD
        550650.00000000
        0.019594625707
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-12-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Towd Point Mortgage Trust
        N/A
        Towd Point Mortgage Trust, Series 2017-1, Class A1
        89173FAA8
        
          
          
        
        5525242.62800000
        PA
        USD
        5610658.46000000
        0.199652687729
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2056-10-25
          Variable
          2.75000040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Poland
        259400R9L8QEP0TPXS31
        Republic of Poland
        857524AB8
        
          
          
        
        4310000.00000000
        PA
        USD
        4444510.79000000
        0.158155861952
        Long
        DBT
        NUSS
        PL
        N
        
        2
        
          2022-03-23
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CES
        N/A
        
          
        
        2800000.00000000
        PA
        
        115162.06000000
        0.004097988670
        N/A
        DFE
        
        DE
        N
        
        2
        
          
            
              DEUTSCHE BANK AG
              7LTWFZYICNSX8D621K86
            
            3472000.00000000
            USD
            2800000.00000000
            EUR
            2022-09-14
            115162.06000000
          
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, Series 2017-C03, Class 1M2
        30711XJX3
        
          
          
        
        2470039.74000000
        PA
        USD
        2539749.20000000
        0.090375801263
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2029-10-25
          Floating
          3.08925000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Korea East-West Power Co. Ltd.
        549300VDRGYGX9NBTB52
        Korea East-West Power Co. Ltd.
        5006EPAJ0
        
          
          
        
        4800000.00000000
        PA
        USD
        5115970.75000000
        0.182049454242
        Long
        DBT
        CORP
        KR
        N
        
        2
        
          2023-07-19
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Structured Agency Credit Risk Debt Notes
        S6XOOCT0IEG5ABCC6L87
        FHLMC Structured Agency Credit Risk Debt Notes, Series 2016-HQA2, Class M3
        3137G0KE8
        
          
          
        
        9778598.24000000
        PA
        USD
        10142675.01000000
        0.360922401701
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2028-11-25
          Floating
          5.23924920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Peru
        254900STKLK2DBJJZ530
        Republic of Peru
        715638DF6
        
          
          
        
        800000.00000000
        PA
        USD
        805112.00000000
        0.028649538350
        Long
        DBT
        NUSS
        PE
        N
        
        2
        
          2031-01-23
          Fixed
          2.78300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Consumer Loan Underlying Bond Certificate Issuer Trust I
        N/A
        Consumer Loan Underlying Bond Certificate Issuer Trust I, Series 2019-S7, Class PT
        21050KAA8
        
          
          
        
        1270570.44000000
        PA
        USD
        1255306.19000000
        0.044669490496
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2044-12-15
          Variable
          11.25439560
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fox Corp.
        549300DDU6FDRBIELS05
        Fox Corp.
        35137LAM7
        
          
          
        
        2000000.00000000
        PA
        USD
        2148099.96000000
        0.076439144100
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-07
          Fixed
          3.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385XKU0
        
          
          
        
        29588.95000000
        PA
        USD
        29853.74000000
        0.001062331537
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-07-01
          Variable
          1.58600160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lehman XS Trust
        N/A
        Lehman XS Trust, Series 2005-4, Class 1A4
        525221CB1
        
          
          
        
        140007.74500000
        PA
        USD
        140119.26000000
        0.004986079095
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2035-10-25
          Floating
          0.64924920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Towd Point Mortgage Trust
        N/A
        Towd Point Mortgage Trust, Series 2018-2, Class A1
        89175VAA1
        
          
          
        
        0.00200000
        PA
        USD
        0.00000000
        0.000000
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2058-03-25
          Variable
          3.25000080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31386MLW8
        
          
          
        
        15832.56000000
        PA
        USD
        16118.14000000
        0.000573556561
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-12-01
          Variable
          1.50800040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406PP52
        
          
          
        
        52606.60000000
        PA
        USD
        52921.26000000
        0.001883178573
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-04-01
          Variable
          1.89000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Voya CLO Ltd.
        549300001G5S0D8B8343
        Voya CLO Ltd., Series 2016-3A, Class CR
        92915HAU7
        
          
          
        
        1698113.00000000
        PA
        USD
        1645260.46000000
        0.058545832934
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-10-18
          Floating
          3.38388120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CDIT
        N/A
        
          
        
        8501070.66000000
        PA
        USD
        508817.95000000
        0.018106051545
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              MORGAN STANLEY INTL PLC
              4PQUHN3JPFGFNF3BB653
            
            
              
                MS 698208 Dec 2021
                MS 698208 Dec 2021
                
                  
                
              
            
            Y
            
            Payout of notional amount upon default event with regard to the reference instrument
            2021-12-20
            1174517.41000000
            USD
            0.00000000
            USD
            8501070.66000000
            USD
            508817.95000000
          
        
        
          N
          N
          N
        
      
      
        AbbVie, Inc.
        FR5LCKFTG8054YNNRU85
        AbbVie, Inc.
        00287YAQ2
        
          
          
        
        4510000.00000000
        PA
        USD
        4931284.11000000
        0.175477465530
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-14
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Group AG
        549300506SI9CRFV9Z86
        Credit Suisse Group AG
        225433AR2
        
          
          
        
        8000000.00000000
        PA
        USD
        9095323.76000000
        0.323652891616
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2026-04-17
          Fixed
          4.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        3138EGBF0
        
          
          
        
        691016.64000000
        PA
        USD
        731518.95000000
        0.026030763685
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-09-01
          Variable
          2.12400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Blackrock European CLO IX DAC
        549300CTNII509TFCV23
        Blackrock European CLO IX DAC, Series 9A, Class B
        N/A
        
          
          
        
        1100000.00000000
        PA
        
        1306935.11000000
        0.046506681748
        Long
        ABS-CBDO
        CORP
        IE
        N
        
        2
        
          2032-12-15
          Floating
          1.55000160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CDIT
        N/A
        
          
        
        800000.00000000
        PA
        USD
        760.33000000
        0.000027055991
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY CAPITAL
              I7331LVCZKQKX5T7XV54
            
            
              
                MS 693108 Dec 2021
                MS 693108 Dec 2021
                
                  
                
              
            
            Y
            
            Payout of notional amount upon default event with regard to the reference instrument
            2021-12-20
            0.00000000
            USD
            0.00000000
            USD
            800000.00000000
            USD
            760.33000000
          
        
        
          N
          N
          N
        
      
      
        Barclays plc
        213800LBQA1Y9L22JB70
        Barclays plc
        06738EBE4
        
          
          
        
        6300000.00000000
        PA
        USD
        6440531.58000000
        0.229183339089
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-02-15
          Variable
          4.61000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61761JVL0
        
          
          
        
        1400000.00000000
        PA
        USD
        1529724.91000000
        0.054434553795
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-23
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385WVC0
        
          
          
        
        5373.78000000
        PA
        USD
        5403.89000000
        0.000192294927
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-09-01
          Variable
          1.54500120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404GL66
        
          
          
        
        23046.80000000
        PA
        USD
        22977.98000000
        0.000817660796
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-03-01
          Variable
          2.32999920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31365DQN8
        
          
          
        
        14814.61000000
        PA
        USD
        14869.62000000
        0.000529128554
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-02-01
          Variable
          1.69999920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FR Franklin LLC
        N/A
        FFRMT- Franklin Floating Rate Income Fund
        N/A
        
          
        
        14835569.93190000
        NS
        USD
        117349358.16000000
        4.175822664483
        Long
        
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31414FS36
        
          
          
        
        48019.08000000
        PA
        USD
        48362.87000000
        0.001720970372
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-09-01
          Variable
          2.57299920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Electricite de France SA
        549300X3UK4GG3FNMO06
        Electricite de France SA
        268317AM6
        
          
          
        
        2200000.00000000
        PA
        USD
        2369400.00000000
        0.084314003726
        Long
        DBT
        NUSS
        FR
        N
        
        2
        
          2024-01-22
          Variable
          5.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CDS
        N/A
        
          
        
        2050000.00000000
        PA
        USD
        -27849.63000000
        -0.00099101620
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              CREDIT SUISSE INTERNATIONAL
              E58DKGMJYYYJLN8C3868
            
            
              
                HCA, Inc.
                HCA, Inc.
                
                  
                
              
            
            Y
            Receipt of notional amount upon default event with regard to the reference instrument
            
            2022-03-20
            0.00000000
            USD
            47505.09000000
            USD
            2050000.00000000
            USD
            -27849.63000000
          
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406A3K6
        
          
          
        
        59209.02000000
        PA
        USD
        62396.88000000
        0.002220364131
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-12-01
          Variable
          1.94900040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        City & County Honolulu HI Wastewater System Revenue
        N/A
        City & County Honolulu
        438701Y24
        
          
          
        
        2470000.00000000
        PA
        USD
        2594388.46000000
        0.092320114073
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2024-07-01
          Fixed
          2.23300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMBB Commercial Mortgage Securities Trust
        N/A
        JPMBB Commercial Mortgage Securities Trust, Series 2015-C30, Class A5
        46644UBA5
        
          
          
        
        1500000.00000000
        PA
        USD
        1647404.25000000
        0.058622118711
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-07-15
          Fixed
          3.82180000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        122367.81000000
        0.004354401953
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1318229.72000000
            USD
            12510000.00000000
            TRY
            2021-09-28
            122367.81000000
          
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406N6M1
        
          
          
        
        5162.68000000
        PA
        USD
        5194.29000000
        0.000184836408
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-04-01
          Variable
          1.42999920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Manitowoc Co., Inc. (The)
        2RTSLGQ89VMY18RHX631
        Manitowoc Co., Inc. (The)
        563571AL2
        
          
          
        
        1200000.00000000
        PA
        USD
        1299300.00000000
        0.046234989888
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-01
          Fixed
          9.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31374NHT2
        
          
          
        
        7558.03000000
        PA
        USD
        7575.54000000
        0.000269572089
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-08-01
          Variable
          2.08500120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup, Inc.
        6SHGI4ZSSLCXXQSBB395
        Citigroup, Inc.
        172967KJ9
        
          
          
        
        2600000.00000000
        PA
        USD
        2981095.68000000
        0.106080911738
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-09
          Fixed
          4.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407WTA1
        
          
          
        
        19482.24000000
        PA
        USD
        20498.83000000
        0.000729441389
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-09-01
          Variable
          1.83899880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Octagon Investment Partners 18-R Ltd.
        N/A
        Octagon Investment Partners 18-R Ltd., Series 2018-18A, Class C
        67576FAJ8
        
          
          
        
        1000000.00000000
        PA
        USD
        982466.74000000
        0.034960624790
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-16
          Floating
          2.82638160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        27653.38000000
        0.000984032744
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            2640000.00000000
            CAD
            2143300.76000000
            USD
            2021-12-16
            27653.38000000
          
        
        
          N
          N
          N
        
      
      
        RR 14 Ltd.
        54930006FTQV76P0VH16
        RR 14 Ltd., Series 2021-14A, Class A1
        74980PAA1
        
          
          
        
        23418000.00000000
        PA
        USD
        23407657.23000000
        0.832950662160
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2036-04-15
          Floating
          1.24612920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMMC CLO XI Ltd.
        5493004OOK6VXHQ8DQ60
        AMMC CLO XI Ltd., Series 2012-11A, Class CR2
        00176ABC8
        
          
          
        
        1850000.00000000
        PA
        USD
        1843935.34000000
        0.065615586700
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-30
          Floating
          2.02849920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 15 Year
        31416KDY1
        
          
          
        
        18728.80000000
        PA
        USD
        19620.75000000
        0.000698195318
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-01-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31371YD32
        
          
          
        
        3609.25000000
        PA
        USD
        3607.13000000
        0.000128358053
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-03-01
          Variable
          2.55399840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hungary
        5299003F3UFKGCCMAP43
        Hungary Government Bond
        445545AH9
        
          
          
        
        3400000.00000000
        PA
        USD
        3666407.00000000
        0.130467398270
        Long
        DBT
        NUSS
        HU
        N
        
        2
        
          2023-02-21
          Fixed
          5.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CLUB Certificate Issuer Trust 1
        N/A
        CLUB Certificate Issuer Trust 1, Series 2018-14, Class PT
        21052DAA2
        
          
          
        
        90364.68000000
        PA
        USD
        87380.75000000
        0.003109403596
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2041-09-16
          Variable
          7.89344640
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31388RDD6
        
          
          
        
        32772.94000000
        PA
        USD
        32860.86000000
        0.001169338512
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-11-01
          Variable
          1.64499840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CDS
        N/A
        
          
        
        2900000.00000000
        PA
        USD
        -55492.72000000
        -0.00197468278
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                Avon Products, Inc.
                Avon Products, Inc.
                
                  
                
              
            
            Y
            Receipt of notional amount upon default event with regard to the reference instrument
            
            2023-03-20
            0.00000000
            USD
            137941.19000000
            USD
            2900000.00000000
            USD
            -55492.72000000
          
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31413GK90
        
          
          
        
        9046.96200000
        PA
        USD
        9408.87000000
        0.000334810289
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-08-01
          Variable
          1.79899920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407PJH2
        
          
          
        
        7745.16000000
        PA
        USD
        8140.11000000
        0.000289662051
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-10-01
          Variable
          2.09300040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31364SPW7
        
          
          
        
        5980.22000000
        PA
        USD
        5972.94000000
        0.000212544308
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-09-01
          Variable
          1.55599920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Group, Inc. (The)
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group, Inc. (The)
        38148LAE6
        
          
          
        
        1000000.00000000
        PA
        USD
        1096049.31000000
        0.039002408039
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-22
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dryden 55 CLO Ltd.
        N/A
        Dryden 55 CLO Ltd., Series 2018-55A, Class C
        26245MAJ0
        
          
          
        
        600000.00000000
        PA
        USD
        593813.21000000
        0.021130568583
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-15
          Floating
          2.02613040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Millennium Laboratories Ltd.
        N/A
        Millennium Laboratories Ltd.
        N/A
        
          
        
        477204.62000000
        NS
        USD
        0.00000000
        0.000000
        Long
        EC
        CORP
        IN
        N
        
        3
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31411YBZ5
        
          
          
        
        42159.78000000
        PA
        USD
        42297.53000000
        0.001505138052
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-04-01
          Variable
          1.96999920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIM Trust
        N/A
        CIM Trust, Series 2019-INV1, Class A1
        12555DAA3
        
          
          
        
        315971.63000000
        PA
        USD
        320989.39000000
        0.011422259063
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-02-25
          Variable
          3.99999960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407BZK8
        
          
          
        
        24100.87000000
        PA
        USD
        25291.53000000
        0.000899987403
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Variable
          2.08000080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ukraine
        6354001WLTJXOMEXPY07
        Ukraine Government Bond
        903724BM3
        
          
          
        
        4500000.00000000
        PA
        USD
        4693860.00000000
        0.167028838327
        Long
        DBT
        NUSS
        UA
        N
        
        2
        
          2032-09-25
          Fixed
          7.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VICI Properties LP / VICI Note Co., Inc.
        N/A
        VICI Properties LP / VICI Note Co., Inc.
        92564RAC9
        
          
          
        
        3000000.00000000
        PA
        USD
        3061815.00000000
        0.108953271427
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        3136056A0
        
          
          
        
        27.20000000
        PA
        USD
        27.65000000
        0.000000983912
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-12-01
          Variable
          4.25000160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BCC Middle Market CLO LLC
        N/A
        BCC Middle Market CLO LLC, Series 2018-1A, Class A2
        055328AC2
        
          
          
        
        2100000.00000000
        PA
        USD
        2077824.26000000
        0.073938415801
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2030-10-20
          Floating
          2.28425040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMMC CLO 21 Ltd.
        549300DYK366J47FIO80
        AMMC CLO 21 Ltd., Series 2017-21A, Class C
        00178LAD1
        
          
          
        
        400000.00000000
        PA
        USD
        395387.59000000
        0.014069684619
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-11-02
          Floating
          2.27562840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAMLL Commercial Mortgage Securities Trust
        549300UQK6PJ8BF5JQ90
        BAMLL Commercial Mortgage Securities Trust, Series 2015-200P, Class A
        05526QAA4
        
          
          
        
        600000.00000000
        PA
        USD
        644025.36000000
        0.022917344729
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-04-14
          Fixed
          3.21800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410GMZ3
        
          
          
        
        28166.66000000
        PA
        USD
        29823.68000000
        0.001061261866
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-08-01
          Variable
          2.02299840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Homes 4 Rent
        N/A
        American Homes 4 Rent, Series 2015-SFR1, Class A
        02666AAA6
        
          
          
        
        5431502.38800000
        PA
        USD
        5750736.23000000
        0.204637290422
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2052-04-17
          Fixed
          3.46700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Galaxy XXVII CLO Ltd.
        549300GJYHKO4BDEN716
        Galaxy XXVII CLO Ltd., Series 2018-27A, Class A
        36320UAC4
        
          
          
        
        1500000.00000000
        PA
        USD
        1500300.00000000
        0.053387481974
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-05-16
          Floating
          1.17587880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385HJD5
        
          
          
        
        1552.38000000
        PA
        USD
        1643.01000000
        0.000058465751
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-09-01
          Variable
          4.92500160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gabonese Republic
        N/A
        Gabonese Republic
        362420AC5
        
          
          
        
        1250000.00000000
        PA
        USD
        1358825.00000000
        0.048353159497
        Long
        DBT
        NUSS
        GA
        N
        
        2
        
          2025-06-16
          Fixed
          6.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Caterpillar Financial Services Corp.
        EDBQKYOPJUCJKLOJDE72
        Caterpillar Financial Services Corp.
        14913R2C0
        
          
          
        
        1900000.00000000
        PA
        USD
        1953922.30000000
        0.069529421829
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-15
          Fixed
          1.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banque Centrale de Tunisie International Bond
        254900B5LFB16S9T2T11
        Banque Centrale de Tunisie
        066716AH4
        
          
          
        
        4700000.00000000
        PA
        USD
        3992203.50000000
        0.142060716120
        Long
        DBT
        NUSS
        TN
        N
        
        2
        
          2025-01-30
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Exelon Corp.
        3SOUA6IRML7435B56G12
        Exelon Corp.
        30161NAU5
        
          
          
        
        7000000.00000000
        PA
        USD
        7692088.53000000
        0.273719414613
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-15
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Consumer Loan Underlying Bond Certificate Issuer Trust I
        N/A
        Consumer Loan Underlying Bond Certificate Issuer Trust I, Series 2019-52, Class PT
        21056JAA5
        
          
          
        
        2811989.88000000
        PA
        USD
        2835165.18000000
        0.100888042353
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2045-01-15
          Variable
          16.62692400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -7255.08000000
        -0.00025816866
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1200000.00000000
            EUR
            1420236.00000000
            USD
            2021-12-14
            -7255.08000000
          
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405KZ20
        
          
          
        
        7079.98000000
        PA
        USD
        7091.92000000
        0.000252362694
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-09-01
          Variable
          1.56300120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Export-Import Bank of India
        335800OFZ8YEIVN1QI11
        Export-Import Bank of India
        30216JAC9
        
          
          
        
        3400000.00000000
        PA
        USD
        3696512.54000000
        0.131538689994
        Long
        DBT
        NUSS
        IN
        N
        
        2
        
          2028-02-01
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31362J5B7
        
          
          
        
        340.53000000
        PA
        USD
        344.74000000
        0.000012267413
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-07-01
          Variable
          2.30799960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cencosud SA
        549300NLTGCFV7482429
        Cencosud SA
        15132HAH4
        
          
          
        
        2900000.00000000
        PA
        USD
        3181822.00000000
        0.113223665048
        Long
        DBT
        CORP
        CL
        N
        
        2
        
          2027-07-17
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31382UUW4
        
          
          
        
        6984.80000000
        PA
        USD
        7004.15000000
        0.000249239440
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-12-01
          Variable
          2.56500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Prosper Pass-Thru Trust III
        N/A
        Prosper Pass-Thru Trust III, Series 2020-PT3, Class A
        74360NAC2
        
          
          
        
        598105.20000000
        PA
        USD
        600090.07000000
        0.021353927744
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-05-15
          Variable
          7.18293960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385JFP8
        
          
          
        
        25728.91000000
        PA
        USD
        25879.19000000
        0.000920899013
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-10-01
          Variable
          2.47700160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31414BLA6
        
          
          
        
        247935.73000000
        PA
        USD
        248836.32000000
        0.008854725420
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-01-01
          Variable
          2.37099960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385Y6D2
        
          
          
        
        26160.18000000
        PA
        USD
        26587.26000000
        0.000946095356
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-11-01
          Variable
          2.05400160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New York State Urban Development Corp.
        54930039Y2EMGXN6LM88
        New York State Urban Development Corp.
        64985TBA8
        
          
          
        
        8750000.00000000
        PA
        USD
        9190394.50000000
        0.327035939952
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2026-03-15
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RAAC Trust
        N/A
        RAAC Trust, Series 2004-SP1, Class AII
        7609855V9
        
          
          
        
        159145.34200000
        PA
        USD
        161233.39000000
        0.005737415651
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2034-03-25
          Floating
          0.78924960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Netflix, Inc.
        549300Y7VHGU0I7CE873
        Netflix, Inc.
        64110LAN6
        
          
          
        
        3100000.00000000
        PA
        USD
        3521476.00000000
        0.125310095630
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-11-15
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Tencent Holdings Ltd.
        254900N4SLUMW4XUYY11
        Tencent Holdings Ltd.
        88032WAT3
        
          
          
        
        3000000.00000000
        PA
        USD
        3057221.10000000
        0.108789799619
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2026-01-26
          Fixed
          1.81000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Structured Agency Credit Risk Debt Notes
        S6XOOCT0IEG5ABCC6L87
        FHLMC Structured Agency Credit Risk Debt Notes, Series 2014-HQ1, Class M3
        3137G0BW8
        
          
          
        
        0.05100000
        PA
        USD
        0.05000000
        0.000000001779
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2024-08-25
          Floating
          4.18925160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31412EU61
        
          
          
        
        8911.72000000
        PA
        USD
        9076.68000000
        0.000322989462
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-05-01
          Variable
          1.17500040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CDS
        N/A
        
          
        
        131000.00000000
        PA
        USD
        6865.83000000
        0.000244317386
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              CREDIT SUISSE INTERNATIONAL
              E58DKGMJYYYJLN8C3868
            
            
              
                United Airlines Holdings, Inc.
                United Airlines Holdings, Inc.
                
                  
                
              
            
            Y
            
            Payout of notional amount upon default event with regard to the reference instrument
            2025-12-20
            0.00000000
            USD
            0.00000000
            USD
            131000.00000000
            USD
            6865.83000000
          
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, Series 2016-C01, Class 1M2
        30711XBM5
        
          
          
        
        1296110.14000000
        PA
        USD
        1382012.43000000
        0.049178273475
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2028-08-25
          Floating
          6.83925120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. Morgan Chase Commercial Mortgage Securities Trust
        N/A
        J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2016-NINE, Class A
        46646GAA5
        
          
          
        
        600000.00000000
        PA
        USD
        646630.32000000
        0.023010041027
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-09-06
          Variable
          2.85410160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Maxim Integrated Products, Inc.
        SO0H5YEO14Y4PVKQH532
        Maxim Integrated Products, Inc.
        57772KAD3
        
          
          
        
        800000.00000000
        PA
        USD
        892836.72000000
        0.031771181960
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-15
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Magnetite Xxix Ltd.
        549300XSCWZTP19VRZ67
        Magnetite Xxix Ltd., Series 2021-29A, Class A
        55955KAA2
        
          
          
        
        21809000.00000000
        PA
        USD
        21811066.32000000
        0.776136712664
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-01-15
          Floating
          1.11612960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Halcyon Loan Advisors Funding Ltd.
        N/A
        Halcyon Loan Advisors Funding Ltd., Series 2018-1A, Class A2
        40538TAC7
        
          
          
        
        5000000.00000000
        PA
        USD
        4990636.36000000
        0.177589487910
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-07-21
          Floating
          1.93425120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Towd Point Mortgage Trust
        N/A
        Towd Point Mortgage Trust, Series 2018-1, Class A1
        89176EAA8
        
          
          
        
        0.00400000
        PA
        USD
        0.00000000
        0.000000
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2058-01-25
          Variable
          2.99999880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T, Inc.
        549300Z40J86GGSTL398
        AT&T, Inc.
        00206RCT7
        
          
          
        
        7000000.00000000
        PA
        USD
        7880997.32000000
        0.280441646580
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-17
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, Series 2014-C04, Class 2M2
        30711XAR5
        
          
          
        
        1722452.99700000
        PA
        USD
        1766395.01000000
        0.062856349901
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2024-11-25
          Floating
          5.08925160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 15 Year
        31415CND5
        
          
          
        
        108445.44000000
        PA
        USD
        113582.21000000
        0.004041770438
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Korea East-West Power Co. Ltd.
        549300VDRGYGX9NBTB52
        Korea East-West Power Co. Ltd.
        5006EPAK7
        
          
          
        
        8500000.00000000
        PA
        USD
        8728108.72000000
        0.310585714166
        Long
        DBT
        CORP
        KR
        N
        
        2
        
          2025-05-06
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Octagon Investment Partners 35 Ltd.
        549300EBYXJ9QVMC7X31
        Octagon Investment Partners 35 Ltd., Series 2018-1A, Class A1B
        67591TAC4
        
          
          
        
        2000000.00000000
        PA
        USD
        1988971.04000000
        0.070776615041
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-01-20
          Floating
          1.23424920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States of America
        254900HROIFWPRGM1V77
        U.S. Treasury Notes
        9128284S6
        
          
          
        
        98000000.00000000
        PA
        USD
        102635859.62000000
        3.652249620365
        Long
        DBT
        UST
        US
        N
        
        2
        
          2023-05-31
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31378RM55
        
          
          
        
        26087.36000000
        PA
        USD
        26119.34000000
        0.000929444640
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-11-01
          Variable
          2.37099960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CommScope Technologies LLC
        M4TWC4QDOKW45N7T6Y12
        CommScope Technologies LLC
        20337YAA5
        
          
          
        
        1500000.00000000
        PA
        USD
        1524375.00000000
        0.054244179720
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-15
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse First Boston Mortgage Securities Corp.
        N/A
        Credit Suisse First Boston Mortgage Securities Corp., Series 2004-6, Class 3A1
        2254W0HE8
        
          
          
        
        154730.12000000
        PA
        USD
        132963.43000000
        0.004731442193
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2026-05-25
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        San Jose Redevelopment Agency Successor Agency
        N/A
        San Jose Redevelopment Agency Successor Agency
        798170AD8
        
          
          
        
        1595000.00000000
        PA
        USD
        1595000.00000000
        0.056757337699
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2021-08-01
          Fixed
          2.48000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406TWR8
        
          
          
        
        29943.40000000
        PA
        USD
        30036.86000000
        0.001068847778
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-01-01
          Variable
          1.70499960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        USCPI
        N/A
        
          
        
        1400000.00000000
        PA
        USD
        39017.55000000
        0.001388421480
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Clearnet
              549300TXTCI7WVVJS380
            
            Y
            
              
                
              
            
            
            2028-06-01
            0.00000000
            USD
            0.00000000
            USD
            1400000.00000000
            USD
            39017.55000000
          
        
        
          N
          N
          N
        
      
      
        FHLMC Structured Agency Credit Risk Debt Notes
        S6XOOCT0IEG5ABCC6L87
        FHLMC Structured Agency Credit Risk Debt Notes, Series 2013-DN2, Class M2
        3137G0AD1
        
          
          
        
        5134854.97500000
        PA
        USD
        5273300.93000000
        0.187647975970
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2023-11-25
          Floating
          4.33924920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403DLF4
        
          
          
        
        26520.49000000
        PA
        USD
        26630.47000000
        0.000947632964
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-05-01
          Variable
          2.21600160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Structured Agency Credit Risk Debt Notes
        S6XOOCT0IEG5ABCC6L87
        FHLMC Structured Agency Credit Risk Debt Notes, Series 2014-DN3, Class M3
        3137G0BK4
        
          
          
        
        1444067.28600000
        PA
        USD
        1474067.50000000
        0.052454010588
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2024-08-25
          Floating
          4.08925080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Amazon.com, Inc.
        ZXTILKJKG63JELOEG630
        Amazon.com, Inc.
        023135AW6
        
          
          
        
        2550000.00000000
        PA
        USD
        2631823.76000000
        0.093652231918
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-02-22
          Fixed
          2.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OHA Credit Partners VII Ltd.
        549300LXLBAFTIMXZT54
        OHA Credit Partners VII Ltd., Series 2012-7A, Class AR3
        67102QAV0
        
          
          
        
        17876000.00000000
        PA
        USD
        17898346.45000000
        0.636904384775
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-02-20
          Floating
          1.22524920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Prosper Pass-Thru Trust III
        N/A
        Prosper Pass-Thru Trust III, Series 2020-PT1, Class A
        74360NAA6
        
          
          
        
        1629682.66000000
        PA
        USD
        1616237.78000000
        0.057513074283
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-03-15
          Variable
          8.79567120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405QDY1
        
          
          
        
        3889.73000000
        PA
        USD
        3895.61000000
        0.000138623481
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-07-01
          Variable
          1.85000040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sealed Air Corp.
        Q0M0CZB4YN6JZ65WXI09
        Sealed Air Corp.
        81211KAU4
        
          
          
        
        950000.00000000
        PA
        USD
        1001585.00000000
        0.035640939234
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-04-01
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31378A3P9
        
          
          
        
        5724.60000000
        PA
        USD
        5730.96000000
        0.000203933562
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-11-01
          Variable
          2.49999840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Holdings plc
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings plc
        404280BJ7
        
          
          
        
        1400000.00000000
        PA
        USD
        1425067.63000000
        0.050710372865
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-03-13
          Variable
          3.26200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31387TZT4
        
          
          
        
        25541.19000000
        PA
        USD
        25510.52000000
        0.000907780061
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-01-01
          Variable
          2.51499960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, Series 2016-C05, Class 2M2
        30711XDK7
        
          
          
        
        8552147.00900000
        PA
        USD
        8961639.20000000
        0.318895788345
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2029-01-25
          Floating
          4.53925080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of Illinois
        54930048FV8RWPR02D67
        State of Illinois
        452151LF8
        
          
          
        
        2415000.00000000
        PA
        USD
        2898583.95000000
        0.103144769968
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2033-06-01
          Fixed
          5.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404XE91
        
          
          
        
        63342.61000000
        PA
        USD
        66564.70000000
        0.002368674079
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-08-01
          Variable
          2.23200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Radian Group, Inc.
        54930005OUP720S5U385
        Radian Group, Inc.
        750236AX9
        
          
          
        
        3000000.00000000
        PA
        USD
        3365355.00000000
        0.119754602013
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-15
          Fixed
          6.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Equinor ASA
        OW6OFBNCKXC4US5C7523
        Equinor ASA
        29446MAD4
        
          
          
        
        15300000.00000000
        PA
        USD
        16412941.43000000
        0.584046933778
        Long
        DBT
        NUSS
        NO
        N
        
        2
        
          2025-04-06
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Export-Import Bank of Korea
        549300APVP4R32PI3Y06
        Export-Import Bank of Korea
        302154BT5
        
          
          
        
        2000000.00000000
        PA
        USD
        2140869.02000000
        0.076181834443
        Long
        DBT
        NUSS
        KR
        N
        
        2
        
          2025-01-21
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31376YWN2
        
          
          
        
        1252.49000000
        PA
        USD
        1267.99000000
        0.000045120838
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-11-01
          Variable
          2.41800120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BlueMountain CLO Ltd.
        549300WSX4P5CXVKVR97
        BlueMountain CLO Ltd., Series 2012-2A, Class BR2
        09626RAY1
        
          
          
        
        2970000.00000000
        PA
        USD
        2973643.11000000
        0.105815715480
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2028-11-20
          Floating
          1.60525080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403GCQ3
        
          
          
        
        6850.27000000
        PA
        USD
        6903.10000000
        0.000245643622
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Variable
          2.46999960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CDS
        N/A
        
          
        
        1590000.00000000
        PA
        USD
        -92248.05000000
        -0.00328260421
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                Nabors Industries, Inc.
                Nabors Industries, Inc.
                
                  
                
              
            
            Y
            
            Payout of notional amount upon default event with regard to the reference instrument
            2023-12-20
            0.00000000
            USD
            129929.11000000
            USD
            1590000.00000000
            USD
            -92248.05000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co.
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co.
        46625HJY7
        
          
          
        
        8400000.00000000
        PA
        USD
        9148973.40000000
        0.325561989255
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-09-10
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410F3Y9
        
          
          
        
        9106.57000000
        PA
        USD
        9208.53000000
        0.000327681283
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-06-01
          Variable
          2.39500080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404QHG7
        
          
          
        
        104664.78000000
        PA
        USD
        106192.81000000
        0.003778822055
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-05-01
          Variable
          1.75700160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        14255.92000000
        0.000507290323
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            2520623.00000000
            BRL
            491560.32000000
            USD
            2021-11-08
            14255.92000000
          
        
        
          N
          N
          N
        
      
      
        Federative Republic of Brazil
        254900ZFY40OYEADAP90
        Federative Republic of Brazil
        105756BF6
        
          
          
        
        2720000.00000000
        PA
        USD
        3390507.20000000
        0.120649631424
        Long
        DBT
        NUSS
        BR
        N
        
        2
        
          2025-02-04
          Fixed
          8.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Structured Agency Credit Risk Debt Notes
        S6XOOCT0IEG5ABCC6L87
        FHLMC Structured Agency Credit Risk Debt Notes, Series 2015-HQA1, Class M3
        3137G0GJ2
        
          
          
        
        13171974.56000000
        PA
        USD
        13525668.42000000
        0.481304658381
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2028-03-25
          Floating
          4.78924920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Massachusetts State College Building Authority
        N/A
        Massachusetts State College Building Authority
        575831EY4
        
          
          
        
        2635000.00000000
        PA
        USD
        2799403.18000000
        0.099615468114
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2026-05-01
          Fixed
          2.25600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Imperial Brands Finance plc
        2138008L3B3MCG1DFS50
        Imperial Brands Finance plc
        45262BAA1
        
          
          
        
        700000.00000000
        PA
        USD
        738330.71000000
        0.026273157016
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-07-26
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Alibaba Group Holding Ltd.
        5493001NTNQJDH60PM02
        Alibaba Group Holding Ltd.
        01609WAQ5
        
          
          
        
        11000000.00000000
        PA
        USD
        11920861.37000000
        0.424198341341
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2024-11-28
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406PKU2
        
          
          
        
        1455.99000000
        PA
        USD
        1470.82000000
        0.000052338449
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-02-01
          Variable
          1.88100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CARLYLE US CLO Ltd.
        N/A
        CARLYLE US CLO Ltd., Series 2017-4A, Class C
        14315BAG1
        
          
          
        
        400000.00000000
        PA
        USD
        385744.21000000
        0.013726529399
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-01-15
          Floating
          2.92613040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, Series 2016-C07, Class 2M2
        30711XEC4
        
          
          
        
        7361280.17800000
        PA
        USD
        7722515.86000000
        0.274802157085
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2029-05-25
          Floating
          4.43925000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dominion Energy, Inc.
        ILUL7B6Z54MRYCF6H308
        Dominion Energy, Inc., Series D
        25746UCK3
        
          
          
        
        1300000.00000000
        PA
        USD
        1400441.39000000
        0.049834059498
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-08-15
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lending Club Corp.
        549300YC50YO7Y1OJR92
        Lending Club Corp., Marketplace Loan
        N/A
        
          
        
        10250061.09000000
        PA
        USD
        9344004.28000000
        0.332502072966
        Long
        LON
        CORP
        US
        N
        
        3
        
          2023-06-19
          Fixed
          15.70562528
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Royalty Pharma plc
        549300FGFN7VOK8BZR03
        Royalty Pharma plc
        78081BAC7
        
          
          
        
        700000.00000000
        PA
        USD
        704544.03000000
        0.025070873626
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2027-09-02
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, Series 2016-C02, Class 1M2
        30711XCB8
        
          
          
        
        112792.01000000
        PA
        USD
        118594.30000000
        0.004220123344
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2028-09-25
          Floating
          6.08924880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SABIC Capital II BV
        2138005PCUTH59D4RJ83
        SABIC Capital II BV
        78520LAB6
        
          
          
        
        400000.00000000
        PA
        USD
        462751.20000000
        0.016466787541
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2028-10-10
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Consumer Loan Underlying Bond Certificate Issuer Trust I
        N/A
        Consumer Loan Underlying Bond Certificate Issuer Trust I, Series 2019-S3, Class PT
        21055RAA8
        
          
          
        
        290047.25000000
        PA
        USD
        288970.07000000
        0.010282866362
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2044-06-15
          Variable
          15.16564080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Towd Point Mortgage Trust
        N/A
        Towd Point Mortgage Trust, Series 2017-4, Class A1
        89173UAA5
        
          
          
        
        0.00600000
        PA
        USD
        0.01000000
        0.000000000355
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2057-06-25
          Variable
          2.75000040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Towd Point Mortgage Trust
        N/A
        Towd Point Mortgage Trust, Series 2019-1, Class A1
        89177BAA3
        
          
          
        
        10503564.97000000
        PA
        USD
        11109431.60000000
        0.395323988066
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2058-03-25
          Variable
          3.72208320
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Adagio CLO VIII DAC
        635400GXSZ7DMJYBSH11
        Adagio CLO VIII DAC, Series VIII-A, Class B1
        N/A
        
          
          
        
        500000.00000000
        PA
        
        596176.00000000
        0.021214647373
        Long
        ABS-CBDO
        CORP
        IE
        N
        
        2
        
          2032-04-15
          Floating
          1.64999880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup, Inc.
        6SHGI4ZSSLCXXQSBB395
        Citigroup, Inc.
        172967KV2
        
          
          
        
        5400000.00000000
        PA
        USD
        5400000.00000000
        0.192156503808
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-08-02
          Fixed
          2.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410KD27
        
          
          
        
        116927.96000000
        PA
        USD
        118672.20000000
        0.004222895379
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-05-01
          Variable
          2.19099960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Baidu, Inc.
        254900AL64IANZYI1E02
        Baidu, Inc.
        056752AM0
        
          
          
        
        6500000.00000000
        PA
        USD
        7073749.35000000
        0.251716100724
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2024-05-14
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CDIT
        N/A
        
          
        
        2900000.00000000
        PA
        USD
        2756.21000000
        0.000098078458
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY CAPITAL
              I7331LVCZKQKX5T7XV54
            
            
              
                MS 693108 Dec 2021
                MS 693108 Dec 2021
                
                  
                
              
            
            Y
            
            Payout of notional amount upon default event with regard to the reference instrument
            2021-12-20
            0.00000000
            USD
            0.00000000
            USD
            2900000.00000000
            USD
            2756.21000000
          
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403DHM4
        
          
          
        
        151459.28000000
        PA
        USD
        159731.35000000
        0.005683966252
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-03-01
          Variable
          1.99100160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31300LS55
        
          
          
        
        292797.28000000
        PA
        USD
        294564.13000000
        0.010481928401
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-10-01
          Variable
          2.19499920
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31386C3G5
        
          
          
        
        558.42000000
        PA
        USD
        569.91000000
        0.000020279983
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-08-01
          Variable
          1.50800040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Shinhan Bank Co. Ltd.
        5493003P813VL21KG928
        Shinhan Bank Co. Ltd.
        82460CAQ7
        
          
          
        
        6500000.00000000
        PA
        USD
        6560525.66000000
        0.233453272957
        Long
        DBT
        CORP
        KR
        N
        
        2
        
          2026-10-21
          Fixed
          1.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407DNK7
        
          
          
        
        22752.96000000
        PA
        USD
        22780.43000000
        0.000810631071
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-07-01
          Variable
          2.41999920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Towd Point Mortgage Trust
        N/A
        Towd Point Mortgage Trust, Series 2016-3, Class A1
        89172YAA8
        
          
          
        
        0.09800000
        PA
        USD
        0.10000000
        0.000000003558
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2056-04-25
          Variable
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EDP Finance BV
        5299007L43AQDFOW5739
        EDP Finance BV
        26835PAH3
        
          
          
        
        6500000.00000000
        PA
        USD
        6485986.46000000
        0.230800829982
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2028-01-24
          Fixed
          1.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TransDigm, Inc.
        88Q84GB3X55CF5OC7582
        TransDigm, Inc.
        893647BE6
        
          
          
        
        1500000.00000000
        PA
        USD
        1575000.00000000
        0.056045646944
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-15
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC Gold Pools, 15 Year
        3128MMJQ7
        
          
          
        
        2983.59000000
        PA
        USD
        3072.18000000
        0.000109322105
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-06-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Indonesia
        529900FWX0GRR7WG5W79
        Republic of Indonesia
        455780BZ8
        
          
          
        
        6330000.00000000
        PA
        USD
        6417585.05000000
        0.228366797426
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2022-01-08
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Millennium Ltd.
        N/A
        Millennium Ltd.
        N/A
        
          
        
        477204.62000000
        NS
        USD
        0.00000000
        0.000000
        Long
        EC
        CORP
        AU
        
        N
        
        3
        
          N
          N
          N
        
      
      
        N/A
        N/A
        USCPI
        N/A
        
          
        
        28100000.00000000
        PA
        USD
        1852445.00000000
        0.065918399018
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Clearnet
              549300TXTCI7WVVJS380
            
            Y
            
              
                
              
            
            
            2027-01-15
            0.00000000
            USD
            0.00000000
            USD
            28100000.00000000
            USD
            1852445.00000000
          
        
        
          N
          N
          N
        
      
      
        Oriflame Investment Holding plc
        549300LGP4VBCHWQTD80
        Oriflame Investment Holding plc
        68621CAA7
        
          
          
        
        600000.00000000
        PA
        USD
        617700.00000000
        0.021980568963
        Long
        DBT
        CORP
        JE
        
        N
        
        2
        
          2026-05-04
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Battalion Oil Corp.
        3XHTN2NNIMMPORDAMJ28
        Battalion Oil Corp.
        07134L131
        
          
          
        
        1757.00000000
        NS
        USD
        103.00000000
        0.000003665207
        Long
        
        CORP
        US
        N
        
        3
        
          N
          N
          N
        
      
      
        FHLMC Structured Agency Credit Risk Debt Notes
        S6XOOCT0IEG5ABCC6L87
        FHLMC Structured Agency Credit Risk Debt Notes, Series 2016-HQA3, Class M2
        3137G0KX6
        
          
          
        
        98342.13000000
        PA
        USD
        98313.78000000
        0.003498450415
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2029-03-25
          Floating
          1.43925120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Home Mortgage Investment Trust
        N/A
        American Home Mortgage Investment Trust, Series 2005-1, Class 6A
        02660TDH3
        
          
          
        
        414136.82500000
        PA
        USD
        425382.67000000
        0.015137045675
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-06-25
          Floating
          2.15938080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayer US Finance II LLC
        529900XWNEXYNJ3X6T40
        Bayer US Finance II LLC
        07274NAE3
        
          
          
        
        5800000.00000000
        PA
        USD
        6207709.67000000
        0.220898479045
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-12-15
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Energy Transfer LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        29273RBG3
        
          
          
        
        5200000.00000000
        PA
        USD
        5869565.31000000
        0.208865768304
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Holdings plc
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings plc
        404280CL1
        
          
          
        
        7600000.00000000
        PA
        USD
        7699514.25000000
        0.273983655426
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2028-09-22
          Variable
          2.01300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404GV40
        
          
          
        
        321.41000000
        PA
        USD
        343.09000000
        0.000012208699
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-01-01
          Variable
          2.14999920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgage Trust
        549300CFP9NBBMZH1008
        Wells Fargo Commercial Mortgage Trust, Series 2016-NXS6, Class A2
        95000KAZ8
        
          
          
        
        6500366.69000000
        PA
        USD
        6504616.63000000
        0.231463775969
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-11-15
          Fixed
          2.39900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407FUZ1
        
          
          
        
        8035.33000000
        PA
        USD
        8008.37000000
        0.000284974144
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-08-01
          Variable
          2.25799920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404CF54
        
          
          
        
        480.81000000
        PA
        USD
        485.08000000
        0.000017261347
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-03-01
          Variable
          1.63299960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403CL33
        
          
          
        
        14721.43000000
        PA
        USD
        14841.14000000
        0.000528115106
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Variable
          1.66299840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        William Morris Endeavor Entertainment LLC / IMG Worldwide Holdings LLC
        5493008R7J9HEQ30DZ33
        William Morris Endeavor Entertainment LLC / IMG Worldwide Holdings LLC, First Lien Term Loan B1
        96925HAF9
        
          
          
        
        1401103.49000000
        PA
        USD
        1365081.12000000
        0.048575780635
        Long
        LON
        CORP
        US
        N
        
        2
        
          2025-05-18
          Variable
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31362GM40
        
          
          
        
        8922.40000000
        PA
        USD
        9134.64000000
        0.000325051941
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-01-01
          Variable
          4.48499880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mill City Mortgage Loan Trust
        N/A
        Mill City Mortgage Loan Trust, Series 2016-1, Class A1
        59980TAA4
        
          
          
        
        0.00300000
        PA
        USD
        0.00000000
        0.000000
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2057-04-25
          Variable
          2.49999840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385WTD1
        
          
          
        
        37882.95000000
        PA
        USD
        38049.95000000
        0.001353989881
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-11-01
          Variable
          1.93600080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EnLink Midstream Partners LP
        88CPW63VL7KHJWS0NY83
        EnLink Midstream Partners LP
        29336UAB3
        
          
          
        
        3800000.00000000
        PA
        USD
        3999082.00000000
        0.142305484363
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-01
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CSC Holdings LLC
        3HG2WD2W22M120IUNG49
        CSC Holdings LLC
        126307AH0
        
          
          
        
        2000000.00000000
        PA
        USD
        2163500.00000000
        0.076987147405
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-01
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Texas State University System
        N/A
        Texas State University System
        88278PZC1
        
          
          
        
        4825000.00000000
        PA
        USD
        5136819.97000000
        0.182791364098
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2026-03-15
          Fixed
          2.35100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Thornburg Mortgage Securities Trust
        N/A
        Thornburg Mortgage Securities Trust, Series 2004-3, Class A
        885220FS7
        
          
          
        
        403960.74100000
        PA
        USD
        410139.93000000
        0.014594639818
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-09-25
          Floating
          0.82924920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States of America
        254900HROIFWPRGM1V77
        U.S. Treasury Notes
        9128284A5
        
          
          
        
        52000000.00000000
        PA
        USD
        54045468.88000000
        1.923183027162
        Long
        DBT
        UST
        US
        N
        
        2
        
          2023-02-28
          Fixed
          2.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        APCOA Parking Holdings GmbH
        529900H8FIYAOV5FUW68
        APCOA Parking Holdings GmbH
        N/A
        
          
          
        
        1200000.00000000
        PA
        
        1435826.78000000
        0.051093232244
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2027-01-15
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -12959.01000000
        -0.00046114038
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            2576024.84000000
            USD
            3490000.00000000
            AUD
            2022-01-19
            -12959.01000000
          
        
        
          N
          N
          N
        
      
      
        Consumer Loan Underlying Bond Certificate Issuer Trust I
        N/A
        Consumer Loan Underlying Bond Certificate Issuer Trust I, Series 2019-31, Class PT
        21055FAA4
        
          
          
        
        840539.81000000
        PA
        USD
        834210.21000000
        0.029684984702
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2044-09-15
          Variable
          22.41570960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Commercial Mortgage Trust
        N/A
        BX Commercial Mortgage Trust, Series 2020-FOX, Class A
        12433AAA7
        
          
          
        
        13233079.68000000
        PA
        USD
        13291816.03000000
        0.472983129183
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-11-15
          Floating
          1.09299960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Apache Corp.
        72ZZ1XRHOOU9P9X16K08
        Apache Corp.
        037411BH7
        
          
          
        
        1500000.00000000
        PA
        USD
        1614375.00000000
        0.057446788117
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-15
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31365DE50
        
          
          
        
        1819.36000000
        PA
        USD
        1830.44000000
        0.000065135361
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-09-01
          Variable
          1.72800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Conseco Finance Securitizations Corp.
        N/A
        Conseco Finance Securitizations Corp., Series 2002-2, Class M1
        20846QJY5
        
          
          
        
        385089.26000000
        PA
        USD
        404409.07000000
        0.014390709814
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2033-03-01
          Variable
          7.42399920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410GM42
        
          
          
        
        11809.13000000
        PA
        USD
        12419.37000000
        0.000441937540
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-11-01
          Variable
          1.87099920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31409DT86
        
          
          
        
        8772.56000000
        PA
        USD
        8800.28000000
        0.000313153895
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-03-01
          Variable
          1.91999880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        31863.82000000
        0.001133859305
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            2125172.67000000
            USD
            14000000.00000000
            CNY
            2021-09-17
            31863.82000000
          
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403GC42
        
          
          
        
        20148.68000000
        PA
        USD
        20101.63000000
        0.000715307211
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Variable
          2.20500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404GPL9
        
          
          
        
        13901.83000000
        PA
        USD
        13991.84000000
        0.000497893158
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-05-01
          Variable
          1.73999880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New York Mortgage Trust
        N/A
        New York Mortgage Trust, Series 2005-3, Class M1
        649603AH0
        
          
          
        
        119482.21600000
        PA
        USD
        115394.24000000
        0.004106250688
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-02-25
          Floating
          0.76425120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405BD99
        
          
          
        
        38144.83000000
        PA
        USD
        38624.67000000
        0.001374441027
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-03-01
          Variable
          2.66600160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Charter Communications Operating LLC / Charter Communications Operating Capital
        N/A
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175AY0
        
          
          
        
        8000000.00000000
        PA
        USD
        9085143.44000000
        0.323290629635
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-23
          Fixed
          4.90800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Edwards Lifesciences Corp.
        YA13X31F3V31L8TMPR58
        Edwards Lifesciences Corp.
        28176EAD0
        
          
          
        
        300000.00000000
        PA
        USD
        350638.87000000
        0.012477322103
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-06-15
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DAE Funding LLC
        635400SZTPQL3Y1P2C76
        DAE Funding LLC
        23371DAJ3
        
          
          
        
        1700000.00000000
        PA
        USD
        1702150.50000000
        0.060570238710
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-08-01
          Fixed
          1.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government of Mongolia
        N/A
        State of Mongolia
        60937LAA3
        
          
          
        
        1360000.00000000
        PA
        USD
        1556014.79000000
        0.055370067022
        Long
        DBT
        NUSS
        MN
        N
        
        2
        
          2024-03-09
          Fixed
          8.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital I Trust
        N/A
        Morgan Stanley Capital I Trust, Series 2014-150E, Class A
        61764BAA1
        
          
          
        
        450000.00000000
        PA
        USD
        484033.05000000
        0.017224092336
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-09-09
          Fixed
          3.91200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banijay Entertainment SASU
        969500CE0IE2EZ5VBG13
        Banijay Entertainment SASU
        060335AA4
        
          
          
        
        3500000.00000000
        PA
        USD
        3628730.00000000
        0.129126679641
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2025-03-01
          Fixed
          5.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31409D4M2
        
          
          
        
        10222.93000000
        PA
        USD
        10941.59000000
        0.000389351422
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-04-01
          Variable
          2.56100040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 15 Year
        31419CAG8
        
          
          
        
        310508.35000000
        PA
        USD
        331852.94000000
        0.011808833468
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-10-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        San Jose Redevelopment Agency Successor Agency
        N/A
        San Jose Redevelopment Agency Successor Agency
        798170AK2
        
          
          
        
        190000.00000000
        PA
        USD
        212019.69000000
        0.007544622660
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2027-08-01
          Fixed
          3.22600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        City of Cincinnati OH
        N/A
        City of Cincinnati
        172217UV1
        
          
          
        
        100000.00000000
        PA
        USD
        117780.57000000
        0.004191167138
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2025-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405YPX3
        
          
          
        
        12286.05000000
        PA
        USD
        12565.91000000
        0.000447152098
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-09-01
          Variable
          1.30799880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, Series 2015-C01, Class 2M2
        30711XAV6
        
          
          
        
        166199.35100000
        PA
        USD
        166491.20000000
        0.005924512390
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2025-02-25
          Floating
          4.63925160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KUEHG Corp. / KC MergerSub, Inc.
        549300YNT566T1NYJX62
        KUEHG Corp (fka KC MergerSub, Inc.), Term Loan B3
        48244EAJ3
        
          
          
        
        1626062.67000000
        PA
        USD
        1595687.82000000
        0.056781813455
        Long
        LON
        CORP
        US
        N
        
        2
        
          2025-02-21
          Variable
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CDS
        N/A
        
          
        
        2375000.00000000
        PA
        USD
        -171825.50000000
        -0.00611433098
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                Nabors Industries, Inc.
                Nabors Industries, Inc.
                
                  
                
              
            
            Y
            
            Payout of notional amount upon default event with regard to the reference instrument
            2023-12-20
            0.00000000
            USD
            160042.91000000
            USD
            2375000.00000000
            USD
            -171825.50000000
          
        
        
          N
          N
          N
        
      
      
        FHLMC Structured Agency Credit Risk Debt Notes
        S6XOOCT0IEG5ABCC6L87
        FHLMC Structured Agency Credit Risk Debt Notes, Series 2016-DNA2, Class M3
        3137G0JU4
        
          
          
        
        12277543.39000000
        PA
        USD
        12832969.63000000
        0.456655292145
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2028-10-25
          Floating
          4.73924880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Capital One Financial Corp.
        ZUE8T73ROZOF6FLBAR73
        Capital One Financial Corp.
        14040HBL8
        
          
          
        
        13800000.00000000
        PA
        USD
        14002259.98000000
        0.498263948736
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-03-09
          Fixed
          3.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405QDU9
        
          
          
        
        1102.32000000
        PA
        USD
        1114.77000000
        0.000039668575
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-06-01
          Variable
          1.47499920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31411FVW1
        
          
          
        
        32135.43000000
        PA
        USD
        32398.49000000
        0.001152885290
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-09-01
          Variable
          2.11100040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403DMB2
        
          
          
        
        59671.50000000
        PA
        USD
        63197.31000000
        0.002248847062
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-05-01
          Variable
          1.99299960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Madison Park Funding XLII LTD.
        549300BF3YFW8EHN6F75
        Madison Park Funding XLII LTD., Series 13A, Class C
        04966HAG1
        
          
          
        
        1600000.00000000
        PA
        USD
        1585652.16000000
        0.056424699133
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-11-21
          Floating
          1.93788000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas Securities Corp.
        2J5703FH5U5M97R1I237
        BNP Paribas Securities Corp.
        N/A
        
          
        
        118724534.04476729
        PA
        USD
        118724534.04476729
        4.224757662657
        Long
        RA
        CORP
        US
        N
        
        2
        
          Repurchase
          
            
              
            
          
          Y
          0.02627799
          2021-08-02
          
            
              114402386.74731100
              USD
              121134407.62129900
              USD
              UST
            
          
        
        
          N
          N
          N
        
      
      
        Akbank T.A.S.
        789000TUMN63Z28TJ497
        Akbank T.A.S.
        00971YAF7
        
          
          
        
        2000000.00000000
        PA
        USD
        2022600.00000000
        0.071973286037
        Long
        DBT
        CORP
        TR
        N
        
        2
        
          2025-03-31
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31390WRV6
        
          
          
        
        35324.20000000
        PA
        USD
        35344.50000000
        0.001257717694
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Variable
          2.51799840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Voya CLO Ltd.
        N/A
        Voya CLO Ltd., Series 2018-2A, Class A2
        92917JAC1
        
          
          
        
        2500000.00000000
        PA
        USD
        2489062.50000000
        0.088572138474
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-07-15
          Floating
          1.37612880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cenovus Energy, Inc.
        549300EIRQ0Z2B9C1W06
        Cenovus Energy, Inc.
        15135UAS8
        
          
          
        
        4000000.00000000
        PA
        USD
        4565757.88000000
        0.162470383603
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2025-07-15
          Fixed
          5.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31401HGE6
        
          
          
        
        14505.32000000
        PA
        USD
        14551.46000000
        0.000517806977
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-06-01
          Variable
          1.96499880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402VRV4
        
          
          
        
        19794.94000000
        PA
        USD
        19824.30000000
        0.000705438551
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Variable
          2.16600120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, Series 2014-C01, Class M2
        30711XAD6
        
          
          
        
        1590128.15000000
        PA
        USD
        1644064.02000000
        0.058503258170
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2024-01-25
          Floating
          4.48925040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OneMain Finance Corp.
        5493008I795YYBFWFU90
        OneMain Finance Corp.
        85172FAP4
        
          
          
        
        4200000.00000000
        PA
        USD
        4525500.00000000
        0.161037825552
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-15
          Fixed
          6.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CDIT
        N/A
        
          
        
        2900000.00000000
        PA
        USD
        1000.64000000
        0.000035607311
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY CAPITAL
              I7331LVCZKQKX5T7XV54
            
            
              
                MS 693413 Dec 2021
                MS 693413 Dec 2021
                
                  
                
              
            
            Y
            
            Payout of notional amount upon default event with regard to the reference instrument
            2021-12-20
            0.00000000
            USD
            0.00000000
            USD
            2900000.00000000
            USD
            1000.64000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CDS
        N/A
        
          
        
        397000.00000000
        PA
        
        20207.08000000
        0.000719059600
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              MORGAN STANLEY INTL PLC
              4PQUHN3JPFGFNF3BB653
            
            
              
                Air France-KLM
                Air France-KLM
                
                  
                
              
            
            Y
            
            Payout of notional amount upon default event with regard to the reference instrument
            2025-12-20
            0.00000000
            USD
            1048.83000000
            USD
            397000.00000000
            EUR
            20207.08000000
          
        
        
          N
          N
          N
        
      
      
        Arab Republic of Egypt
        529900GFIVH4086NMH82
        Arab Republic of Egypt
        03846JX47
        
          
          
        
        3800000.00000000
        PA
        USD
        4051062.20000000
        0.144155175752
        Long
        DBT
        NUSS
        EG
        N
        
        2
        
          2024-05-29
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Kazakhstan
        5493007OEK8EF02UO833
        Republic of Kazakhstan
        486661AE1
        
          
          
        
        5830000.00000000
        PA
        USD
        6364657.64000000
        0.226483400007
        Long
        DBT
        NUSS
        KZ
        N
        
        2
        
          2024-10-14
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GoldentTree Loan Management US CLO 1 Ltd.
        N/A
        GoldentTree Loan Management US CLO 1 Ltd., Series 2021-9A, Class A
        38138JAC7
        
          
          
        
        15731000.00000000
        PA
        USD
        15767657.71000000
        0.561084810889
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-01-20
          Floating
          1.20425040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BlueMountain CLO Ltd.
        635400IYPG2G6NM3OV52
        BlueMountain CLO Ltd., Series 5A, Class B
        N/A
        
          
          
        
        4550000.00000000
        PA
        
        5405751.13000000
        0.192361155111
        Long
        ABS-CBDO
        CORP
        IE
        N
        
        2
        
          2033-01-15
          Floating
          1.55000160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Airlines Pass-Through Trust
        N/A
        American Airlines Pass-Through Trust, Series 2016-2, Class AA
        023765AA8
        
          
          
        
        39350.00000000
        PA
        USD
        40262.52000000
        0.001432723162
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-06-15
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402CXP2
        
          
          
        
        389.64000000
        PA
        USD
        390.01000000
        0.000013878325
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-06-01
          Variable
          2.27999880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Structured Agency Credit Risk Debt Notes
        S6XOOCT0IEG5ABCC6L87
        FHLMC Structured Agency Credit Risk Debt Notes, Series 2014-DN4, Class M3
        3137G0CU1
        
          
          
        
        2874404.55800000
        PA
        USD
        2917889.70000000
        0.103831756157
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2024-10-25
          Floating
          4.63925160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CDS
        N/A
        
          
        
        320000.00000000
        PA
        USD
        2022.97000000
        0.000071986452
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                Nabors Industries, Inc.
                Nabors Industries, Inc.
                
                  
                
              
            
            Y
            Receipt of notional amount upon default event with regard to the reference instrument
            
            2021-12-20
            2361.51000000
            USD
            0.00000000
            USD
            320000.00000000
            USD
            2022.97000000
          
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402LPB2
        
          
          
        
        23279.44000000
        PA
        USD
        23777.10000000
        0.000846097112
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-06-01
          Variable
          1.30799880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Consumer Loan Underlying Bond Credit Trust
        N/A
        Consumer Loan Underlying Bond Credit Trust, Series 2019-S5, Class PT
        21055CAA1
        
          
          
        
        672438.85000000
        PA
        USD
        672495.33000000
        0.023930435451
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2044-09-15
          Variable
          13.92915960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Holdings plc
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings plc
        404280AW9
        
          
          
        
        800000.00000000
        PA
        USD
        906037.00000000
        0.032240907822
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-03-08
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CES
        N/A
        
          
        
        20020000.00000000
        PA
        
        88018.20000000
        0.003132086959
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            23823800.00000000
            USD
            20020000.00000000
            EUR
            2022-06-29
            88018.20000000
          
        
        
          N
          N
          N
        
      
      
        Mill City Mortgage Loan Trust
        N/A
        Mill City Mortgage Loan Trust, Series 2017-1, Class A1
        59981HAA9
        
          
          
        
        342207.20600000
        PA
        USD
        345871.25000000
        0.012307668549
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2058-11-25
          Variable
          2.75000040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AbbVie, Inc.
        FR5LCKFTG8054YNNRU85
        AbbVie, Inc.
        00287YBV0
        
          
          
        
        500000.00000000
        PA
        USD
        542368.30000000
        0.019299925241
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-11-21
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385H7J5
        
          
          
        
        4450.15000000
        PA
        USD
        4477.19000000
        0.000159318736
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-07-01
          Variable
          1.15499880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dryden 44 Euro CLO BV
        724500Y7W6D0XWW63V58
        Dryden 44 Euro CLO BV, Series 2015-44A, Class A1RR
        N/A
        
          
          
        
        20020000.00000000
        PA
        
        23722347.60000000
        0.844148773509
        Long
        ABS-CBDO
        CORP
        NL
        N
        
        2
        
          2034-04-15
          Floating
          0.87999840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410GFX6
        
          
          
        
        23092.90000000
        PA
        USD
        23381.63000000
        0.000832024495
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-06-01
          Variable
          2.05200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410GBN2
        
          
          
        
        8692.75000000
        PA
        USD
        8803.13000000
        0.000313255311
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-04-01
          Variable
          1.95400080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, Series 2014-C02, Class 1M2
        30711XAF1
        
          
          
        
        6975996.45200000
        PA
        USD
        7027510.00000000
        0.250070694829
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2024-05-25
          Floating
          2.68925040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CDS
        N/A
        
          
        
        320000.00000000
        PA
        USD
        -18565.64000000
        -0.00066064971
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                Nabors Industries, Inc.
                Nabors Industries, Inc.
                
                  
                
              
            
            Y
            
            Payout of notional amount upon default event with regard to the reference instrument
            2023-12-20
            0.00000000
            USD
            26149.26000000
            USD
            320000.00000000
            USD
            -18565.64000000
          
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403UYK1
        
          
          
        
        2938.55000000
        PA
        USD
        3055.22000000
        0.000108718591
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-11-01
          Variable
          1.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402LGC0
        
          
          
        
        7529.30000000
        PA
        USD
        7600.40000000
        0.000270456720
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Variable
          1.78899840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31409XZZ5
        
          
          
        
        29964.48000000
        PA
        USD
        30550.62000000
        0.001087129690
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-02-01
          Variable
          2.46099960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Clear Channel Outdoor Holdings, Inc.
        N/A
        Clear Channel Outdoor Holdings, Inc., Term Loan B
        18452RAD7
        
          
          
        
        3200000.00000000
        PA
        USD
        3112336.00000000
        0.110751037858
        Long
        LON
        CORP
        US
        N
        
        2
        
          2026-08-21
          Variable
          3.62844500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FirstKey Homes Trust
        N/A
        FirstKey Homes Trust, Series 2020-SFR2, Class A
        33767JAA0
        
          
          
        
        4220663.94000000
        PA
        USD
        4240500.22000000
        0.150896240124
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-10-19
          Fixed
          1.26600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31409VAS2
        
          
          
        
        264734.78000000
        PA
        USD
        281350.31000000
        0.010011720725
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-02-01
          Variable
          2.17000080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Air Canada
        N/A
        Air Canada, Term Loan
        N/A
        
          
        
        6423131.19000000
        PA
        USD
        6441886.73000000
        0.229231561475
        Long
        LON
        CORP
        CA
        N
        
        2
        
          2028-07-27
          Variable
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410SXP7
        
          
          
        
        3988.96000000
        PA
        USD
        4154.93000000
        0.000147851263
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-06-01
          Variable
          1.73700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402HZX2
        
          
          
        
        373.39000000
        PA
        USD
        375.31000000
        0.000013355232
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Variable
          2.28999960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Altria Group, Inc.
        XSGZFLO9YTNO9VCQV219
        Altria Group, Inc.
        02209SBH5
        
          
          
        
        4200000.00000000
        PA
        USD
        4401129.73000000
        0.156612166986
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-06
          Fixed
          2.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Structured Agency Credit Risk Debt Notes
        S6XOOCT0IEG5ABCC6L87
        FHLMC Structured Agency Credit Risk Debt Notes, Series 2017-DNA1, Class M2
        3137G0MD8
        
          
          
        
        0.01300000
        PA
        USD
        0.01000000
        0.000000000355
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2029-07-25
          Floating
          3.33924840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31412BTV4
        
          
          
        
        6639.38000000
        PA
        USD
        6668.61000000
        0.000237299404
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-04-01
          Variable
          2.75000040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31384V7K2
        
          
          
        
        6104.87000000
        PA
        USD
        6166.86000000
        0.000219444862
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-10-01
          Variable
          1.50800040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States of America
        254900HROIFWPRGM1V77
        U.S. Treasury Notes
        9128284X5
        
          
          
        
        105000000.00000000
        PA
        USD
        110578125.00000000
        3.934871462539
        Long
        DBT
        UST
        US
        N
        
        2
        
          2023-08-31
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Commercial Mortgage Trust
        N/A
        BX Commercial Mortgage Trust, Series 2019-XL, Class A
        056054AA7
        
          
          
        
        3440628.87000000
        PA
        USD
        3452024.92000000
        0.122838711053
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-10-15
          Floating
          1.01300040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31388GPT2
        
          
          
        
        35859.58000000
        PA
        USD
        35864.58000000
        0.001276224500
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-09-01
          Variable
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385REP1
        
          
          
        
        22909.90000000
        PA
        USD
        22989.40000000
        0.000818067171
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-09-01
          Variable
          2.12500080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402T6W0
        
          
          
        
        13625.02000000
        PA
        USD
        13739.52000000
        0.000488914468
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Variable
          2.08800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -16526.45000000
        -0.00058808608
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            4945000.00000000
            BRL
            929371.52000000
            USD
            2021-08-30
            -16526.45000000
          
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31384WAP5
        
          
          
        
        13.15000000
        PA
        USD
        13.20000000
        0.000000469715
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-01-01
          Variable
          2.18300040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, Series 2016-C06, Class 1M2
        30711XDS0
        
          
          
        
        3429526.90000000
        PA
        USD
        3568100.36000000
        0.126969201928
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2029-04-25
          Floating
          4.33924920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Vivion Investments SARL
        529900SJ7X71ESJK9N76
        Vivion Investments SARL
        N/A
        
          
          
        
        700000.00000000
        PA
        
        829272.32000000
        0.029509272169
        Long
        DBT
        CORP
        LU
        N
        
        2
        
          2024-08-08
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BPCE SA
        9695005MSX1OYEMGDF46
        BPCE SA
        05583JAG7
        
          
          
        
        7000000.00000000
        PA
        USD
        7311133.97000000
        0.260163322694
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2025-01-14
          Fixed
          2.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31411SNF9
        
          
          
        
        20376.45000000
        PA
        USD
        21048.86000000
        0.000749013953
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-02-01
          Variable
          1.45599840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405VHD2
        
          
          
        
        158987.92000000
        PA
        USD
        159672.61000000
        0.005681876016
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-07-01
          Variable
          1.29999960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        K2016470219 South Africa Ltd.
        378900DECAC8CFA88345
        K2016470219 South Africa Ltd., Class A
        N/A
        
          
        
        12326925.00000000
        NS
        
        0.00000000
        0.000000
        Long
        EC
        CORP
        ZA
        Y
        
        3
        
          N
          N
          N
        
      
      
        United States of America
        254900HROIFWPRGM1V77
        U.S. Treasury Notes
        912828Y79
        
          
          
        
        12000000.00000000
        PA
        USD
        13108125.00000000
        0.466446568793
        Long
        DBT
        UST
        US
        N
        
        2
        
          2025-07-31
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31417JBG4
        
          
          
        
        14963.15000000
        PA
        USD
        15600.09000000
        0.000555121991
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-09-01
          Variable
          1.67199840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Octagon Investment Partners 18-R Ltd.
        N/A
        Octagon Investment Partners 18-R Ltd., Series 2018-18A, Class A1A
        67576FAA7
        
          
          
        
        1000000.00000000
        PA
        USD
        1001064.11000000
        0.035622403604
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-16
          Floating
          1.08637920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406GLR8
        
          
          
        
        5414.99000000
        PA
        USD
        5366.05000000
        0.000190948408
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-02-01
          Variable
          1.59000120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        48007.08000000
        0.001708309750
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            3932125.74000000
            USD
            436000000.00000000
            JPY
            2021-12-29
            48007.08000000
          
        
        
          N
          N
          N
        
      
      
        United States of America
        254900HROIFWPRGM1V77
        U.S. Treasury Notes
        912828R69
        
          
          
        
        50000000.00000000
        PA
        USD
        51335937.50000000
        1.826765605507
        Long
        DBT
        UST
        US
        N
        
        2
        
          2023-05-31
          Fixed
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403CZ95
        
          
          
        
        53967.05000000
        PA
        USD
        57109.13000000
        0.002032201991
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-09-01
          Variable
          2.07600120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Avon Products, Inc.
        5493007RY69UEB1F1B45
        Avon Products, Inc.
        054303BA9
        
          
          
        
        5835000.00000000
        PA
        USD
        6221568.75000000
        0.221391648000
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-03-15
          Fixed
          6.50000160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31409A5J4
        
          
          
        
        400.31000000
        PA
        USD
        404.28000000
        0.000014386116
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-03-01
          Variable
          1.91000160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Standard Chartered plc
        U4LOSYZ7YG4W3S5F2G91
        Standard Chartered plc
        853254BJ8
        
          
          
        
        10000000.00000000
        PA
        USD
        10492250.90000000
        0.373361898153
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-03-15
          Variable
          3.88500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410GHC0
        
          
          
        
        1514.88000000
        PA
        USD
        1530.90000000
        0.000054476368
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-09-01
          Variable
          2.33700120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410F3M5
        
          
          
        
        191.39000000
        PA
        USD
        192.90000000
        0.000006864257
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-04-01
          Variable
          1.42499880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31377CP64
        
          
          
        
        13587.78000000
        PA
        USD
        13685.58000000
        0.000486995038
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-02-01
          Variable
          3.46200120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Madison Park Euro Funding VIII DAC
        635400Y8CTGVSWYFMB36
        Madison Park Euro Funding VIII DAC, Series 8A, Class BRN
        N/A
        
          
          
        
        2800000.00000000
        PA
        
        3329762.52000000
        0.118488060065
        Long
        ABS-CBDO
        CORP
        IE
        N
        
        2
        
          2032-04-15
          Floating
          1.69999920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        International Game Technology plc
        549300UQ6KHRCZDRGZ76
        International Game Technology plc
        460599AF0
        
          
          
        
        1800000.00000000
        PA
        USD
        1877481.00000000
        0.066809293505
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2026-04-15
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31411UL74
        
          
          
        
        3024.97000000
        PA
        USD
        3044.62000000
        0.000108341395
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-04-01
          Variable
          1.84500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Securities Inc.
        9J6MBOOO7BECTDTUZW19
        Deutsche Bank Securities Inc.
        N/A
        
          
        
        16491933.79602390
        PA
        USD
        16491933.79602390
        0.586857840608
        Long
        RA
        CORP
        US
        N
        
        2
        
          Repurchase
          
            
              
            
          
          Y
          0.02627799
          2021-08-02
          
            
              16808606.02806270
              USD
              16822531.32674100
              USD
              UST
            
          
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31391SSW1
        
          
          
        
        4594.63000000
        PA
        USD
        4605.56000000
        0.000163886723
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-12-01
          Variable
          2.12100120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31400FEQ6
        
          
          
        
        15093.41000000
        PA
        USD
        15136.11000000
        0.000538611477
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-07-01
          Variable
          2.21000040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        3138XP2F9
        
          
          
        
        54542.58000000
        PA
        USD
        54514.15000000
        0.001939860828
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-02-01
          Variable
          1.92499920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CDS
        N/A
        
          
        
        2375000.00000000
        PA
        USD
        20898.77000000
        0.000743673069
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                Nabors Industries, Inc.
                Nabors Industries, Inc.
                
                  
                
              
            
            Y
            Receipt of notional amount upon default event with regard to the reference instrument
            
            2021-12-20
            11642.30000000
            USD
            0.00000000
            USD
            2375000.00000000
            USD
            20898.77000000
          
        
        
          N
          N
          N
        
      
      
        Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor, Inc.
        N/A
        Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor, Inc.
        05723KAD2
        
          
          
        
        8800000.00000000
        PA
        USD
        9080581.14000000
        0.323128282298
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-12-15
          Fixed
          2.77300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31373TYQ7
        
          
          
        
        2852.17000000
        PA
        USD
        2858.09000000
        0.000101703811
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-08-01
          Variable
          2.87499960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cia Securitizadora de Creditos Financeiros Vert-Fintech
        N/A
        Cia Securitizadora de Creditos Financeiros Vert-Fintech, Series 12
        N/A
        
          
          
        
        7676000.00000000
        PA
        
        1766012.81000000
        0.062842749490
        Long
        DBT
        CORP
        BR
        N
        
        2
        
          2024-02-14
          Floating
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Consumer Loan Underlying Bond Certificate Issuer Trust I
        N/A
        Consumer Loan Underlying Bond Certificate Issuer Trust I, Series 2019-42, Class PT
        21055YAA3
        
          
          
        
        846161.11000000
        PA
        USD
        846366.13000000
        0.030117547496
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2044-11-15
          Variable
          21.20388840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Airlines Inc/AAdvantage Loyalty IP Ltd.
        N/A
        American Airlines Inc/AAdvantage Loyalty IP Ltd.
        00253XAA9
        
          
          
        
        1300000.00000000
        PA
        USD
        1361750.00000000
        0.048457244270
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-20
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Russian Federation
        5493004EHVGF71PDBU58
        Russian Federation
        78307ADG5
        
          
          
        
        4400000.00000000
        PA
        USD
        4783363.20000000
        0.170213768325
        Long
        DBT
        NUSS
        RU
        N
        
        2
        
          2023-09-16
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402QX48
        
          
          
        
        10430.40000000
        PA
        USD
        10881.26000000
        0.000387204607
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-01-01
          Variable
          2.01800160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SK Hynix, Inc.
        988400XAIK6XISWQV045
        SK Hynix, Inc.
        78392BAB3
        
          
          
        
        9900000.00000000
        PA
        USD
        9842771.37000000
        0.350250469304
        Long
        DBT
        CORP
        KR
        N
        
        2
        
          2026-01-19
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Consumer Loan Underlying Bond Certificate Issuer Trust I
        N/A
        Consumer Loan Underlying Bond Certificate Issuer Trust I, Series 2019-26, Class PT
        21055TAA4
        
          
          
        
        940329.59000000
        PA
        USD
        940993.46000000
        0.033484817292
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2044-08-15
          Variable
          20.75277240
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-Mobile USA, Inc.
        549300V2JRLO5DIFGE82
        T-Mobile USA, Inc.
        87264ABR5
        
          
          
        
        3000000.00000000
        PA
        USD
        3037860.00000000
        0.108100843825
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-15
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CDIT
        N/A
        
          
        
        7400000.00000000
        PA
        USD
        22319.42000000
        0.000794226243
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                Citi 698286 Dec 2022
                Citi 698286 Dec 2022
                
                  
                
              
            
            Y
            
            Payout of notional amount upon default event with regard to the reference instrument
            2022-12-20
            0.00000000
            USD
            0.00000000
            USD
            7400000.00000000
            USD
            22319.42000000
          
        
        
          N
          N
          N
        
      
      
        FHLMC Structured Agency Credit Risk Debt Notes
        S6XOOCT0IEG5ABCC6L87
        FHLMC Structured Agency Credit Risk Debt Notes, Series 2015-DNA2, Class M3
        3137G0FW4
        
          
          
        
        0.01200000
        PA
        USD
        0.01000000
        0.000000000355
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2027-12-25
          Floating
          3.98925000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385PHJ6
        
          
          
        
        7000.69000000
        PA
        USD
        7000.67000000
        0.000249115605
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-04-01
          Variable
          2.54000160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OBX Trust
        N/A
        OBX Trust, Series 2018-1, Class A2
        67112FAD2
        
          
          
        
        1401794.35800000
        PA
        USD
        1404649.81000000
        0.049983814178
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2057-06-25
          Floating
          0.73924920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHL Mortgage Pass-Through Trust
        N/A
        CHL Mortgage Pass-Through Trust, Series 2004-11, Class 2A1
        12669FA86
        
          
          
        
        938634.60100000
        PA
        USD
        948950.38000000
        0.033767960612
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-07-25
          Variable
          2.01662280
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Structured Agency Credit Risk Debt Notes
        S6XOOCT0IEG5ABCC6L87
        FHLMC Structured Agency Credit Risk Debt Notes, Series 2014-DN2, Class M3
        3137G0AY5
        
          
          
        
        6963107.47800000
        PA
        USD
        7071951.99000000
        0.251652142500
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2024-04-25
          Floating
          3.68925120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Equinor ASA
        OW6OFBNCKXC4US5C7523
        Equinor ASA
        29446MAJ1
        
          
          
        
        5400000.00000000
        PA
        USD
        5588768.93000000
        0.198873758922
        Long
        DBT
        NUSS
        NO
        N
        
        2
        
          2026-01-22
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410F4H5
        
          
          
        
        18847.75000000
        PA
        USD
        18839.62000000
        0.000670399168
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-03-01
          Variable
          2.11299840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31391VCB7
        
          
          
        
        54598.85000000
        PA
        USD
        54723.60000000
        0.001947314009
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-08-01
          Variable
          2.62500120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31409VJ20
        
          
          
        
        58339.86000000
        PA
        USD
        58632.17000000
        0.002086398666
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-07-01
          Variable
          2.18800080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405WAC9
        
          
          
        
        15795.11000000
        PA
        USD
        15815.19000000
        0.000562776225
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-06-01
          Variable
          4.17099960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of South Africa
        378900AAFB4F17004C49
        Republic of South Africa
        836205AR5
        
          
          
        
        5640000.00000000
        PA
        USD
        6395534.40000000
        0.227582135239
        Long
        DBT
        NUSS
        ZA
        N
        
        2
        
          2025-09-16
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, Series 2015-C03, Class 1M2
        30711XBB9
        
          
          
        
        5526353.59900000
        PA
        USD
        5676557.13000000
        0.201997661439
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2025-07-25
          Floating
          5.08925160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Commercial Mortgage Trust
        N/A
        Commercial Mortgage Trust, Series 2015-3BP, Class A
        12592TAA3
        
          
          
        
        600000.00000000
        PA
        USD
        642440.76000000
        0.022860957471
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-02-10
          Fixed
          3.17800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404SLM5
        
          
          
        
        15167.39000000
        PA
        USD
        16185.73000000
        0.000575961720
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-06-01
          Variable
          2.41999920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United Airlines Pass-Through Trust
        N/A
        United Airlines Pass-Through Trust, Series 2020-1, Class B
        N/A
        
          
          
        
        420412.50000000
        PA
        USD
        441753.40000000
        0.015719590535
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-07-15
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Holland Park CLO DAC
        549300DH041IB658HY57
        Holland Park CLO DAC, Series 1A, Class A1RR
        N/A
        
          
          
        
        15000000.00000000
        PA
        
        17813391.20000000
        0.633881291475
        Long
        ABS-CBDO
        CORP
        IE
        N
        
        2
        
          2032-11-14
          Floating
          0.92000160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385WZU6
        
          
          
        
        10095.04000000
        PA
        USD
        10521.82000000
        0.000374414100
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-04-01
          Variable
          2.20399920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CDS
        N/A
        
          
        
        1600000.00000000
        PA
        USD
        14585.19000000
        0.000519007244
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                Carnival Corp.
                Carnival Corp.
                
                  
                
              
            
            Y
            
            Payout of notional amount upon default event with regard to the reference instrument
            2025-12-20
            0.00000000
            USD
            219523.65000000
            USD
            1600000.00000000
            USD
            14585.19000000
          
        
        
          N
          N
          N
        
      
      
        CSMC Trust
        N/A
        CSMC Trust, Series 2014-IVR3, Class A1
        12648TAA7
        
          
          
        
        588388.15300000
        PA
        USD
        601870.13000000
        0.021417270356
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2044-07-25
          Variable
          3.49999920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CDS
        N/A
        
          
        
        485000.00000000
        PA
        USD
        -35088.57000000
        -0.00124861054
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                Nabors Industries, Inc.
                Nabors Industries, Inc.
                
                  
                
              
            
            Y
            
            Payout of notional amount upon default event with regard to the reference instrument
            2023-12-20
            0.00000000
            USD
            32682.45000000
            USD
            485000.00000000
            USD
            -35088.57000000
          
        
        
          N
          N
          N
        
      
      
        Consumer Loan Underlying Bond Club Certificate Issuer Trust I
        N/A
        Consumer Loan Underlying Bond Club Certificate Issuer Trust I, Series 2020-7, Class PT
        21056VAA8
        
          
          
        
        1543601.44000000
        PA
        USD
        1530052.32000000
        0.054446204528
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2045-04-17
          Variable
          16.99255800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Voya CLO Ltd.
        549300ITL5IR423IJ183
        Voya CLO Ltd., Series 2014-1A, Class BR2
        92915PAP0
        
          
          
        
        2750000.00000000
        PA
        USD
        2721741.72000000
        0.096851920960
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-18
          Floating
          2.03388120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31411VDR7
        
          
          
        
        32309.39000000
        PA
        USD
        32674.69000000
        0.001162713739
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-06-01
          Variable
          2.30000040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406YCY4
        
          
          
        
        2188.20000000
        PA
        USD
        2250.97000000
        0.000080099726
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Variable
          2.08500120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dryden 55 CLO Ltd.
        N/A
        Dryden 55 CLO Ltd., Series 2018-55A, Class D
        26245MAL5
        
          
          
        
        300000.00000000
        PA
        USD
        297000.00000000
        0.010568607709
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-15
          Floating
          2.97613080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406DJH0
        
          
          
        
        19514.46000000
        PA
        USD
        20326.80000000
        0.000723319781
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-11-01
          Variable
          1.80699840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Providence St Joseph Health Obligated Group
        N/A
        Providence St Joseph Health Obligated Group, Series H
        743756AB4
        
          
          
        
        15000.00000000
        PA
        USD
        16139.91000000
        0.000574331236
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-10-01
          Fixed
          2.74600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31413ESG1
        
          
          
        
        21645.99000000
        PA
        USD
        21755.76000000
        0.000774168662
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-06-01
          Variable
          2.04800040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Octagon Investment Partners 33 Ltd.
        549300IDWDG12HO3TO90
        Octagon Investment Partners 33 Ltd., Series 2017-1A, Class C
        675711AG0
        
          
          
        
        250000.00000000
        PA
        USD
        248315.82000000
        0.008836203668
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-01-20
          Floating
          2.88425160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Structured Agency Credit Risk Debt Notes
        S6XOOCT0IEG5ABCC6L87
        FHLMC Structured Agency Credit Risk Debt Notes, Series 2017-HQA3, Class M2
        3137G0RL5
        
          
          
        
        178773.14000000
        PA
        USD
        183143.86000000
        0.006517089598
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2030-04-25
          Floating
          2.43924840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Delta Air Lines, Inc. / SkyMiles IP Ltd.
        N/A
        Delta Air Lines, Inc. / SkyMiles IP Ltd.
        830867AA5
        
          
          
        
        4600000.00000000
        PA
        USD
        4947637.32000000
        0.176059386948
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Structured Agency Credit Risk Debt Notes
        S6XOOCT0IEG5ABCC6L87
        FHLMC Structured Agency Credit Risk Debt Notes, Series 2015-HQA2, Class M3
        3137G0HJ1
        
          
          
        
        1532305.57000000
        PA
        USD
        1587304.00000000
        0.056483479096
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2028-05-25
          Floating
          4.88925000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States of America
        254900HROIFWPRGM1V77
        U.S. Treasury Notes
        912828VS6
        
          
          
        
        110000000.00000000
        PA
        USD
        115177734.10000000
        4.098546426158
        Long
        DBT
        UST
        US
        N
        
        2
        
          2023-08-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CDIT
        N/A
        
          
        
        700000.00000000
        PA
        USD
        8525.15000000
        0.000303363521
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                Citi 693003 Dec 2021
                Citi 693003 Dec 2021
                
                  
                
              
            
            Y
            
            Payout of notional amount upon default event with regard to the reference instrument
            2021-12-20
            0.00000000
            USD
            0.00000000
            USD
            700000.00000000
            USD
            8525.15000000
          
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA II
        36202KZN8
        
          
          
        
        3317.68000000
        PA
        USD
        3358.50000000
        0.000119510670
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2026-04-20
          Variable
          1.87499880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Board of Governors of Colorado State University System
        N/A
        Board of Governors of Colorado State University System
        196707TH6
        
          
          
        
        100000.00000000
        PA
        USD
        116724.89000000
        0.004153601253
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2025-03-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CDS
        N/A
        
          
        
        245000.00000000
        PA
        USD
        2197.34000000
        0.000078191328
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                Nabors Industries, Inc.
                Nabors Industries, Inc.
                
                  
                
              
            
            Y
            Receipt of notional amount upon default event with regard to the reference instrument
            
            2021-12-20
            1159.53000000
            USD
            0.00000000
            USD
            245000.00000000
            USD
            2197.34000000
          
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31419DYC9
        
          
          
        
        39964.30000000
        PA
        USD
        40291.22000000
        0.001433744438
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-08-01
          Variable
          1.89500040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31413JZE7
        
          
          
        
        6507.33000000
        PA
        USD
        6562.79000000
        0.000233533848
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-09-01
          Variable
          2.67099840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CDI
        N/A
        
          
        
        5100000.00000000
        PA
        USD
        38878.77000000
        0.001383483058
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                MCDX North American MAIN Index Series 31-V1
                5A79DPBT3
              
            
            Y
            
            Payout of notional amount upon default event with regard to the reference instrument
            2023-12-20
            25713.30000000
            USD
            0.00000000
            USD
            5100000.00000000
            USD
            38878.77000000
          
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31379TDC5
        
          
          
        
        2620.91000000
        PA
        USD
        2631.71000000
        0.000093648183
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-10-01
          Variable
          2.00099880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Madison Park Funding XIII Ltd.
        N/A
        Madison Park Funding XIII Ltd., Series 2014-13A, Class DR2
        55818MBG1
        
          
          
        
        332000.00000000
        PA
        USD
        329095.00000000
        0.011710693448
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-04-19
          Floating
          2.98388160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31411HGN4
        
          
          
        
        61648.12000000
        PA
        USD
        63616.69000000
        0.002263770506
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-03-01
          Variable
          2.01999960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407B2L2
        
          
          
        
        15289.83000000
        PA
        USD
        15361.39000000
        0.000546627962
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Variable
          1.92700080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31375XB32
        
          
          
        
        32329.07000000
        PA
        USD
        32468.95000000
        0.001155392576
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-01-01
          Variable
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCM 26 Ltd.
        N/A
        LCM 26 Ltd., Series 26A, Class C
        50200FAG4
        
          
          
        
        2000000.00000000
        PA
        USD
        1991711.78000000
        0.070874143007
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-01-20
          Floating
          1.93425120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MPLX LP
        5493000CZJ19CK4P3G36
        MPLX LP
        55336VAG5
        
          
          
        
        6800000.00000000
        PA
        USD
        7603672.35000000
        0.270573165718
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-12-01
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Alibaba Group Holding Ltd.
        5493001NTNQJDH60PM02
        Alibaba Group Holding Ltd.
        01609WAS1
        
          
          
        
        1100000.00000000
        PA
        USD
        1141494.38000000
        0.040619549847
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2023-06-06
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31391Q3Y8
        
          
          
        
        17639.76000000
        PA
        USD
        17653.95000000
        0.000628207650
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-11-01
          Variable
          2.53000080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402KUP7
        
          
          
        
        2679.18000000
        PA
        USD
        2689.03000000
        0.000095687889
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Variable
          2.38500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CWABS Asset-Backed Certificates Trust
        N/A
        CWABS Asset-Backed Certificates Trust, Series 2004-1, Class M1
        126671Z25
        
          
          
        
        45456.29000000
        PA
        USD
        45374.43000000
        0.001614628116
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2034-03-25
          Floating
          0.83925000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406LZ68
        
          
          
        
        1884.35000000
        PA
        USD
        2013.52000000
        0.000071650178
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-12-01
          Variable
          2.12400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31391USA4
        
          
          
        
        1192.51000000
        PA
        USD
        1192.48000000
        0.000042433849
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-01-01
          Variable
          2.01200040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CDS
        N/A
        
          
        
        2935000.00000000
        PA
        USD
        -56317.90000000
        -0.00200404643
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                Avon Products, Inc.
                Avon Products, Inc.
                
                  
                
              
            
            Y
            Receipt of notional amount upon default event with regard to the reference instrument
            
            2023-03-20
            0.00000000
            USD
            139450.56000000
            USD
            2935000.00000000
            USD
            -56317.90000000
          
        
        
          N
          N
          N
        
      
      
        Ares European CLO VIII DAC
        635400YZA9JLL9KZ2M47
        Ares European CLO VIII DAC, Series 8A, Class BR
        N/A
        
          
          
        
        700000.00000000
        PA
        
        825012.31000000
        0.029357681683
        Long
        ABS-CBDO
        CORP
        IE
        N
        
        2
        
          2032-04-17
          Floating
          1.59999840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385XQE0
        
          
          
        
        3464.33000000
        PA
        USD
        3479.47000000
        0.000123815331
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-05-01
          Variable
          1.28499840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31416BK49
        
          
          
        
        493579.46000000
        PA
        USD
        518045.39000000
        0.018434405732
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-02-01
          Variable
          1.82499840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385BBB0
        
          
          
        
        24943.52000000
        PA
        USD
        24884.21000000
        0.000885493109
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-04-01
          Variable
          1.89500040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Netflix, Inc.
        549300Y7VHGU0I7CE873
        Netflix, Inc.
        64110LAY2
        
          
          
        
        3100000.00000000
        PA
        USD
        3332593.00000000
        0.118588781388
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-15
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31411FWL4
        
          
          
        
        17577.86000000
        PA
        USD
        17727.70000000
        0.000630832009
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-10-01
          Variable
          2.14200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United Mexican States
        254900EGTWEU67VP6075
        United Mexican States
        91087BAC4
        
          
          
        
        6100000.00000000
        PA
        USD
        6950126.50000000
        0.247317038753
        Long
        DBT
        NUSS
        MX
        N
        
        2
        
          2027-03-28
          Fixed
          4.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dynasty Acquisition Co., Inc.
        N/A
        Dynasty Acquisition Co., Inc., Term Loan B1
        26812CAE6
        
          
          
        
        1789272.34000000
        PA
        USD
        1733357.58000000
        0.061680728226
        Long
        LON
        CORP
        US
        N
        
        2
        
          2026-04-06
          Variable
          3.64725000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404B5Y4
        
          
          
        
        173163.03000000
        PA
        USD
        173617.45000000
        0.006178096702
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-05-01
          Variable
          1.77300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Commercial Mortgage Trust
        N/A
        Commercial Mortgage Trust, Series 2014-277P, Class A
        12592FAA3
        
          
          
        
        3880000.00000000
        PA
        USD
        4161587.90000000
        0.148088181695
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-08-10
          Variable
          3.61130040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mesquite Energy, Inc.
        549300SB0HTIM17TVR61
        Mesquite Energy, Inc.
        799ESCAH1
        
          
          
        
        1900000.00000000
        PA
        USD
        52250.00000000
        0.001859292097
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-06-15
          Fixed
          7.75000000
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CDS
        N/A
        
          
        
        485000.00000000
        PA
        USD
        4267.75000000
        0.000151865910
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                Nabors Industries, Inc.
                Nabors Industries, Inc.
                
                  
                
              
            
            Y
            Receipt of notional amount upon default event with regard to the reference instrument
            
            2021-12-20
            2377.48000000
            USD
            0.00000000
            USD
            485000.00000000
            USD
            4267.75000000
          
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405TZV7
        
          
          
        
        4390.71000000
        PA
        USD
        4428.99000000
        0.000157603561
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-08-01
          Variable
          1.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co.
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co.
        46647PBK1
        
          
          
        
        18200000.00000000
        PA
        USD
        18891708.65000000
        0.672252719473
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-22
          Variable
          2.08300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CES
        N/A
        
          
        
        27500000.00000000
        PA
        
        -2066745.48000000
        -0.07354418253
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            30525000.00000000
            USD
            27500000.00000000
            EUR
            2021-12-10
            -2066745.48000000
          
        
        
          N
          N
          N
        
      
      
        DBCG Mortgage Trust
        N/A
        DBCG Mortgage Trust, Series 2017-BBG, Class A
        233062AA6
        
          
          
        
        1500000.00000000
        PA
        USD
        1503016.80000000
        0.053484158046
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-06-15
          Floating
          0.79313040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wynn Macau Ltd.
        254900NMDQ8ENTHU1I31
        Wynn Macau Ltd.
        98313RAH9
        
          
          
        
        400000.00000000
        PA
        USD
        410560.00000000
        0.014609587815
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2028-08-26
          Fixed
          5.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31416B4E5
        
          
          
        
        5055.29000000
        PA
        USD
        5072.93000000
        0.000180517869
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-05-01
          Variable
          2.09300040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Colombia
        549300MHDRBVRF6B9117
        Republic of Colombia
        195325BD6
        
          
          
        
        5300000.00000000
        PA
        USD
        6208923.50000000
        0.220941672625
        Long
        DBT
        NUSS
        CO
        N
        
        2
        
          2024-05-21
          Fixed
          8.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31386FCG8
        
          
          
        
        23604.43000000
        PA
        USD
        23798.44000000
        0.000846856486
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-01-01
          Variable
          1.50300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        U.S. Treasury 10 Year Notes
        N/A
        
          
          
        
        -1330.00000000
        NC
        USD
        -2938258.36000000
        -0.10455656550
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              CME Clearing House
              LCZ7XYGSLJUHFXXNXD88
            
            Short
            
              
                United States of America
                U.S. Treasury 10 Year Notes
                
                  
                
              
            
            2021-09-21
            -178822656.25000000
            USD
            -2938258.36000000
          
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, Series 2014-C04, Class 1M2
        30711XAP9
        
          
          
        
        6951889.38100000
        PA
        USD
        7191639.19000000
        0.255911156185
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2024-11-25
          Floating
          4.98925080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31411AK61
        
          
          
        
        16985.26500000
        PA
        USD
        16985.21000000
        0.000604410846
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-11-01
          Variable
          2.13500160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CDS
        N/A
        
          
        
        923000.00000000
        PA
        
        42103.11000000
        0.001498219706
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              MORGAN STANLEY INTL PLC
              4PQUHN3JPFGFNF3BB653
            
            
              
                Air France-KLM
                Air France-KLM
                
                  
                
              
            
            Y
            
            Payout of notional amount upon default event with regard to the reference instrument
            2025-12-20
            2438.60000000
            USD
            0.00000000
            USD
            923000.00000000
            EUR
            42103.11000000
          
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31376SEX3
        
          
          
        
        8206.38000000
        PA
        USD
        8267.43000000
        0.000294192674
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-04-01
          Variable
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407WSS3
        
          
          
        
        11710.98000000
        PA
        USD
        12203.01000000
        0.000434238469
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-09-01
          Variable
          1.78499880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410EFD5
        
          
          
        
        4019.90000000
        PA
        USD
        4031.24000000
        0.000143449811
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-08-01
          Variable
          2.52000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Securities (USA) Inc.
        CYYGQCGNHMHPSMRL3R97
        HSBC Securities (USA) Inc.
        N/A
        
          
        
        28833405.78920880
        PA
        USD
        28833405.78920880
        1.026023416546
        Long
        RA
        CORP
        US
        N
        
        2
        
          Repurchase
          
            
              
            
          
          Y
          0.02627799
          2021-08-02
          
            
              29323065.90036190
              USD
              29409676.59390870
              USD
              ADAS
            
          
        
        
          N
          N
          N
        
      
      
        Walt Disney Co. (The)
        549300GZKULIZ0WOW665
        Walt Disney Co. (The)
        254687FV3
        
          
          
        
        6600000.00000000
        PA
        USD
        6824337.56000000
        0.242840897470
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-13
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Occidental Petroleum Corp.
        IM7X0T3ECJW4C1T7ON55
        Occidental Petroleum Corp.
        674599DA0
        
          
          
        
        3000000.00000000
        PA
        USD
        3040275.00000000
        0.108186780484
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-15
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CDS
        N/A
        
          
        
        1000000.00000000
        PA
        USD
        25360.04000000
        0.000902425300
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              GOLDMAN SACHS INTL
              784F5XWPLTWKTBV3E584
            
            
              
                American Airlines Group, Inc.
                American Airlines Group, Inc.
                
                  
                
              
            
            Y
            
            Payout of notional amount upon default event with regard to the reference instrument
            2022-06-20
            0.00000000
            USD
            8315.22000000
            USD
            1000000.00000000
            USD
            25360.04000000
          
        
        
          N
          N
          N
        
      
      
        Anthem, Inc.
        8MYN82XMYQH89CTMTH67
        Anthem, Inc.
        036752AR4
        
          
          
        
        8000000.00000000
        PA
        USD
        8148013.04000000
        0.289943277546
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-15
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31387YB36
        
          
          
        
        76221.81000000
        PA
        USD
        76092.15000000
        0.002707703983
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-09-01
          Variable
          2.38500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        K2016470219 South Africa Ltd.
        378900DECAC8CFA88345
        K2016470219 South Africa Ltd., Class B
        N/A
        
          
        
        1226701.00000000
        NS
        
        0.00000000
        0.000000
        Long
        EC
        CORP
        ZA
        Y
        
        3
        
          N
          N
          N
        
      
      
        Long Point Park CLO Ltd.
        549300639DPKTBUSCC77
        Long Point Park CLO Ltd., Series 2017-1A, Class B
        542798AG8
        
          
          
        
        2000000.00000000
        PA
        USD
        1990219.20000000
        0.070821030237
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2030-01-17
          Floating
          1.83387960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Studio City Finance Ltd.
        254900D6R731QAUIG324
        Studio City Finance Ltd.
        86389QAE2
        
          
          
        
        2600000.00000000
        PA
        USD
        2719600.00000000
        0.096775708844
        Long
        DBT
        CORP
        VG
        
        N
        
        2
        
          2025-07-15
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Turkey
        5493000PCHOG3B6S3Q85
        Republic of Turkey
        900123CZ1
        
          
          
        
        5980000.00000000
        PA
        USD
        6294009.80000000
        0.223969429278
        Long
        DBT
        NUSS
        TR
        N
        
        2
        
          2025-10-14
          Fixed
          6.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31414DDT0
        
          
          
        
        36418.85000000
        PA
        USD
        36746.81000000
        0.001307618247
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-04-01
          Variable
          2.04699960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, Series 2015-C01, Class 1M2
        30711XAT1
        
          
          
        
        4535394.91500000
        PA
        USD
        4646857.69000000
        0.165356282853
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2025-02-25
          Floating
          4.38924960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC, REMIC, Series 4402, Class PE
        3137BEMG6
        
          
          
        
        389022.71300000
        PA
        USD
        395440.85000000
        0.014071579851
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-03-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CDS
        N/A
        
          
        
        3300000.00000000
        PA
        USD
        1543.89000000
        0.000054938611
        N/A
        DCR
        
        FR
        N
        
        2
        
          
            
              BNP PARIBAS NY BRANCH
              549300QVEGJN81E8T563
            
            
              
                Nordstrom, Inc.
                Nordstrom, Inc.
                
                  
                
              
            
            Y
            
            Payout of notional amount upon default event with regard to the reference instrument
            2026-06-20
            0.00000000
            USD
            209693.88000000
            USD
            3300000.00000000
            USD
            1543.89000000
          
        
        
          N
          N
          N
        
      
      
        United Airlines, Inc.
        K1OQBWM7XEOO08LDNP29
        United Airlines, Inc.
        90932LAG2
        
          
          
        
        300000.00000000
        PA
        USD
        309039.00000000
        0.010997009959
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-15
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WESCO Distribution, Inc.
        549300I2CEZJG9N4AH67
        WESCO Distribution, Inc.
        95081QAN4
        
          
          
        
        1400000.00000000
        PA
        USD
        1506743.00000000
        0.053616753151
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-15
          Fixed
          7.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CDS
        N/A
        
          
        
        3300000.00000000
        PA
        USD
        -47234.71000000
        -0.00168082532
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              JP MORGAN CHASE BANK NA
              7H6GLXDRUGQFU57RNE97
            
            
              
                Nordstrom, Inc.
                Nordstrom, Inc.
                
                  
                
              
            
            Y
            
            Payout of notional amount upon default event with regard to the reference instrument
            2026-06-20
            0.00000000
            USD
            160915.28000000
            USD
            3300000.00000000
            USD
            -47234.71000000
          
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404UQ60
        
          
          
        
        50032.51000000
        PA
        USD
        50346.00000000
        0.001791539137
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-06-01
          Variable
          1.83200040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405WHV0
        
          
          
        
        32992.60000000
        PA
        USD
        33181.71000000
        0.001180755811
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-10-01
          Variable
          2.36199960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States of America
        254900HROIFWPRGM1V77
        U.S. Treasury Notes
        912828SV3
        
          
          
        
        117000000.00000000
        PA
        USD
        118540269.90000000
        4.218200708243
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-05-15
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406DBS4
        
          
          
        
        101245.43000000
        PA
        USD
        108244.47000000
        0.003851829428
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-01-01
          Variable
          2.43799920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BlueMountain Fuji US CLO III Ltd.
        549300EY8WEC9D18YD37
        BlueMountain Fuji US CLO III Ltd., Series 2017-3A, Class C
        09628FAG4
        
          
          
        
        500000.00000000
        PA
        USD
        496427.05000000
        0.017665127097
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-01-15
          Floating
          1.82612880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, Series 2016-C01, Class 2M2
        30711XBU7
        
          
          
        
        4006818.85000000
        PA
        USD
        4224408.75000000
        0.150323632603
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2028-08-25
          Floating
          7.03924920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31370Q6L8
        
          
          
        
        26263.41000000
        PA
        USD
        26975.20000000
        0.000959900022
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-03-01
          Variable
          1.62699840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Riviera Resources, Inc.
        N/A
        Riviera Resources, Inc.
        76964R104
        
          
          
        
        2835.00000000
        NS
        USD
        732.28000000
        0.000026057845
        Long
        EC
        CORP
        US
        N
        
        3
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, Series 2014-C02, Class 2M2
        30711XAH7
        
          
          
        
        1568539.99500000
        PA
        USD
        1584994.61000000
        0.056401300520
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2024-05-25
          Floating
          2.68925040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402DHS2
        
          
          
        
        7786.39000000
        PA
        USD
        7730.80000000
        0.000275096944
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-02-01
          Variable
          2.34100080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406REX9
        
          
          
        
        70121.41000000
        PA
        USD
        70851.42000000
        0.002521215029
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-08-01
          Variable
          1.56600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        K2016470260 South Africa Ltd.
        3789003E1C22310B3356
        K2016470260 South Africa Ltd.
        N/A
        
          
          
        
        371816.16300000
        PA
        USD
        0.00000000
        0.000000
        Long
        DBT
        CORP
        ZA
        N
        
        3
        
          2022-12-31
          Fixed
          25.00000000
          N
          N
          Y
        
        
          N
          N
          N
        
      
      
        Party City Holdco, Inc.
        549300BUAG9YASF5Q703
        Party City Holdco, Inc.
        702149105
        
          
          
        
        0.06000000
        NS
        USD
        0.51000000
        0.000000018148
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Merrill Lynch Mortgage Investors Trust
        N/A
        Merrill Lynch Mortgage Investors Trust, Series 2003-E, Class A1
        589929Y36
        
          
          
        
        280165.70000000
        PA
        USD
        283643.93000000
        0.010093338132
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2028-10-25
          Floating
          0.70925040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407FYD6
        
          
          
        
        48965.10000000
        PA
        USD
        51889.63000000
        0.001846468497
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-06-01
          Variable
          2.09000160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sabine Pass Liquefaction LLC
        549300KJYBG7C6WJYZ11
        Sabine Pass Liquefaction LLC
        785592AJ5
        
          
          
        
        2000000.00000000
        PA
        USD
        2240804.12000000
        0.079737978781
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-05-15
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128S5L51
        
          
          
        
        631074.18000000
        PA
        USD
        674171.78000000
        0.023990091150
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-06-01
          Variable
          2.26699920
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC
        N/A
        Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC
        85208NAD2
        
          
          
        
        750000.00000000
        PA
        USD
        804176.25000000
        0.028616240119
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-20
          Fixed
          4.73800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Harvest Operations Corp.
        B1EEF6ML54YDWRC6ZK53
        Harvest Operations Corp.
        41754WAS0
        
          
          
        
        2900000.00000000
        PA
        USD
        3083111.28000000
        0.109711089706
        Long
        DBT
        CORP
        CA
        
        N
        
        2
        
          2023-06-01
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31391S6L9
        
          
          
        
        10050.10000000
        PA
        USD
        10090.04000000
        0.000359049409
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-11-01
          Variable
          1.86999840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AbbVie, Inc.
        FR5LCKFTG8054YNNRU85
        AbbVie, Inc.
        00287YCX5
        
          
          
        
        600000.00000000
        PA
        USD
        657759.12000000
        0.023406054231
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-15
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayer US Finance II LLC
        529900XWNEXYNJ3X6T40
        Bayer US Finance II LLC
        07274NAJ2
        
          
          
        
        4600000.00000000
        PA
        USD
        5144530.80000000
        0.183065750419
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2025-12-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sabine Pass Liquefaction LLC
        549300KJYBG7C6WJYZ11
        Sabine Pass Liquefaction LLC
        785592AM8
        
          
          
        
        2000000.00000000
        PA
        USD
        2291922.72000000
        0.081557010532
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-01
          Fixed
          5.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31362MS82
        
          
          
        
        328.58000000
        PA
        USD
        329.01000000
        0.000011707668
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-08-01
          Variable
          2.13699960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407ANB3
        
          
          
        
        16382.52000000
        PA
        USD
        16435.68000000
        0.000584856075
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-11-01
          Variable
          2.16200160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CDS
        N/A
        
          
        
        1185000.00000000
        PA
        USD
        10627.93000000
        0.000378189976
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                Nabors Industries, Inc.
                Nabors Industries, Inc.
                
                  
                
              
            
            Y
            Receipt of notional amount upon default event with regard to the reference instrument
            
            2021-12-20
            5608.35000000
            USD
            0.00000000
            USD
            1185000.00000000
            USD
            10627.93000000
          
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406DAF3
        
          
          
        
        2703.90000000
        PA
        USD
        2765.58000000
        0.000098411885
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-10-01
          Variable
          1.30799880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BlueMountain Fuji US CLO III Ltd.
        549300EY8WEC9D18YD37
        BlueMountain Fuji US CLO III Ltd., Series 2017-3A, Class A2
        09628FAC3
        
          
          
        
        1000000.00000000
        PA
        USD
        998196.44000000
        0.035520358893
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-01-15
          Floating
          1.27613160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 15 Year
        3138A2CK3
        
          
          
        
        475122.54000000
        PA
        USD
        505151.69000000
        0.017975589378
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-12-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Asset-Backed Certificates
        N/A
        Countrywide Asset-Backed Certificates, Series 2002-3, Class 1A1
        126671RM0
        
          
          
        
        1063.61400000
        PA
        USD
        1050.96000000
        0.000037397925
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2032-05-25
          Floating
          0.82924920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Octagon Investment Partners 26 Ltd.
        549300ZYOSZSIH0Y3392
        Octagon Investment Partners 26 Ltd., Series 2016-1A, Class A2R
        67590YAN0
        
          
          
        
        1600000.00000000
        PA
        USD
        1599143.32000000
        0.056904775825
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-07-15
          Floating
          1.47612960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31388HAW9
        
          
          
        
        7311.00000000
        PA
        USD
        7304.61000000
        0.000259931170
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-10-01
          Variable
          2.12299920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31412ECK0
        
          
          
        
        1188731.11000000
        PA
        USD
        1265306.84000000
        0.045025359003
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-04-01
          Variable
          2.25200160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Towd Point Mortgage Trust
        N/A
        Towd Point Mortgage Trust, Series 2018-4, Class A1
        89175TAA6
        
          
          
        
        12975406.83600000
        PA
        USD
        13517584.21000000
        0.481016985506
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2058-06-25
          Variable
          2.99999880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo & Co.
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co.
        95000U2N2
        
          
          
        
        13400000.00000000
        PA
        USD
        13955931.70000000
        0.496615378308
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-30
          Variable
          2.18800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385HJE3
        
          
          
        
        3893.06000000
        PA
        USD
        4160.16000000
        0.000148037370
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-12-01
          Variable
          4.03300080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TUI Cruises GmbH
        529900SVD83QUUIZYY18
        TUI Cruises GmbH
        N/A
        
          
          
        
        650000.00000000
        PA
        
        791959.27000000
        0.028181504533
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2026-05-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Commercial Mortgage Trust
        N/A
        Commercial Mortgage Trust, Series 2006-GG7, Class AJ
        20173MAH3
        
          
          
        
        836002.40000000
        PA
        USD
        752611.16000000
        0.026781320228
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-07-10
          Variable
          6.01241040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Carlyle Global Market Strategies CLO Ltd.
        N/A
        Carlyle Global Market Strategies CLO Ltd., Series 2014-1A, Class A2R2
        14310MAY3
        
          
          
        
        1200000.00000000
        PA
        USD
        1192173.02000000
        0.042422925825
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-17
          Floating
          1.26388080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CDS
        N/A
        
          
        
        1600000.00000000
        PA
        USD
        123874.63000000
        0.004408021446
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                Royal Caribbean Cruises Ltd.
                Royal Caribbean Cruises Ltd.
                
                  
                
              
            
            Y
            
            Payout of notional amount upon default event with regard to the reference instrument
            2025-12-20
            0.00000000
            USD
            41814.03000000
            USD
            1600000.00000000
            USD
            123874.63000000
          
        
        
          N
          N
          N
        
      
      
        Consumer Loan Underlying Bond Certificate Issuer Trust I
        N/A
        Consumer Loan Underlying Bond Certificate Issuer Trust I, Series 2019-S6, Class PT
        21056AAA4
        
          
          
        
        647879.98000000
        PA
        USD
        637011.53000000
        0.022667760831
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2044-10-17
          Variable
          12.46649760
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CES
        N/A
        
          
        
        4400000.00000000
        PA
        
        -350450.73000000
        -0.01247062722
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            4862000.00000000
            USD
            4400000.00000000
            EUR
            2021-11-22
            -350450.73000000
          
        
        
          N
          N
          N
        
      
      
        CF Hippolyta LLC
        N/A
        CF Hippolyta LLC, Series 2020-1, Class A1
        12530MAA3
        
          
          
        
        3482470.74000000
        PA
        USD
        3563759.97000000
        0.126814751157
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2060-07-15
          Fixed
          1.69000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp.
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp.
        06051GHF9
        
          
          
        
        10350000.00000000
        PA
        USD
        10844690.36000000
        0.385903293419
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-05
          Variable
          3.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dryden 58 CLO Ltd.
        549300YIDGL7GPSLZ840
        Dryden 58 CLO Ltd., Series 2018-58A, Class A2
        26245RAC4
        
          
          
        
        1600000.00000000
        PA
        USD
        1597300.09000000
        0.056839185338
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-07-17
          Floating
          1.38387960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CES
        N/A
        
          
        
        12550000.00000000
        PA
        
        -946281.76000000
        -0.03367299900
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            13930500.00000000
            USD
            12550000.00000000
            EUR
            2021-12-12
            -946281.76000000
          
        
        
          N
          N
          N
        
      
      
        Centene Corp.
        549300Z7JJ4TQSQGT333
        Centene Corp.
        15135BAV3
        
          
          
        
        2700000.00000000
        PA
        USD
        2820865.50000000
        0.100379194850
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-02-15
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31400HFH1
        
          
          
        
        276.30000000
        PA
        USD
        276.18000000
        0.000009827737
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-03-01
          Variable
          2.07699840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC Gold Pools, 30 Year
        3128M7DJ2
        
          
          
        
        67829.36000000
        PA
        USD
        77529.06000000
        0.002758835761
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-01-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31401GY24
        
          
          
        
        1833.03000000
        PA
        USD
        1913.71000000
        0.000068098485
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-04-01
          Variable
          2.00000160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Consumer Loan Underlying Bond Certificate Issuer Trust I
        N/A
        Consumer Loan Underlying Bond Certificate Issuer Trust I, Series 2019-51, Class PT
        21055HAA0
        
          
          
        
        2255085.48000000
        PA
        USD
        2256471.91000000
        0.080295509845
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2045-01-15
          Variable
          17.22463560
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31401BYD1
        
          
          
        
        17563.24000000
        PA
        USD
        17700.44000000
        0.000629861975
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-03-01
          Variable
          2.07100080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Aptiv Corp.
        N/A
        Aptiv Corp.
        247126AJ4
        
          
          
        
        900000.00000000
        PA
        USD
        976003.63000000
        0.034730638008
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-15
          Fixed
          4.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States of America
        254900HROIFWPRGM1V77
        U.S. Treasury Notes
        912828F21
        
          
          
        
        10000000.00000000
        PA
        USD
        10033489.80000000
        0.357037096475
        Long
        DBT
        UST
        US
        N
        
        2
        
          2021-09-30
          Fixed
          2.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd.
        N/A
        Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd.
        41984LAA5
        
          
          
        
        2100000.00000000
        PA
        USD
        2203929.00000000
        0.078425794681
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2026-01-20
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        1131.49000000
        0.000040263548
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            2595245.51000000
            USD
            3000000000.00000000
            KRW
            2022-01-19
            1131.49000000
          
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31383S6Q8
        
          
          
        
        10674.90000000
        PA
        USD
        10691.83000000
        0.000380463828
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-10-01
          Variable
          2.37300120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chevron Corp.
        N/A
        Chevron Corp.
        166764BW9
        
          
          
        
        4500000.00000000
        PA
        USD
        4630762.94000000
        0.164783558614
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-11
          Fixed
          1.55400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406BQQ6
        
          
          
        
        57887.45000000
        PA
        USD
        60916.67000000
        0.002167691542
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-01-01
          Variable
          1.89200160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Boeing Co. (The)
        RVHJWBXLJ1RFUBSY1F30
        Boeing Co. (The)
        097023DG7
        
          
          
        
        10400000.00000000
        PA
        USD
        10496428.59000000
        0.373510559320
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-04
          Fixed
          2.19600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -14345.89000000
        -0.00051049186
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            497928.38000000
            USD
            2520623.00000000
            BRL
            2021-08-09
            -14345.89000000
          
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Trust, Series 2017-GS6, Class A3
        36253PAC6
        
          
          
        
        2000000.00000000
        PA
        USD
        2220451.80000000
        0.079013750882
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-05-10
          Fixed
          3.43300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Upgrade, Inc.
        N/A
        Upgrade, Inc., Marketplace Loan
        N/A
        
          
        
        1385417.91000000
        PA
        USD
        1291812.69000000
        0.045968557423
        Long
        LON
        CORP
        US
        N
        
        3
        
          2023-11-16
          Fixed
          25.54735721
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dominion Energy, Inc.
        ILUL7B6Z54MRYCF6H308
        Dominion Energy, Inc., Series A
        25746UDJ5
        
          
          
        
        6000000.00000000
        PA
        USD
        6064391.10000000
        0.215798553982
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-15
          Fixed
          1.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CDS
        N/A
        
          
        
        1420000.00000000
        PA
        
        44779.14000000
        0.001593444997
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              JP MORGAN CHASE BANK NA
              7H6GLXDRUGQFU57RNE97
            
            
              
                Air France-KLM
                Air France-KLM
                
                  
                
              
            
            Y
            
            Payout of notional amount upon default event with regard to the reference instrument
            2026-06-20
            24360.08000000
            USD
            0.00000000
            USD
            1420000.00000000
            EUR
            44779.14000000
          
        
        
          N
          N
          N
        
      
      
        Novelis Corp.
        549300G5F3W3B52WYL23
        Novelis Corp.
        670001AG1
        
          
          
        
        1000000.00000000
        PA
        USD
        1016285.00000000
        0.036164031939
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-11-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        K2016470219 South Africa Ltd.
        378900DECAC8CFA88345
        K2016470219 South Africa Ltd.
        N/A
        
          
          
        
        1036935.92300000
        PA
        USD
        0.00000000
        0.000000
        Long
        DBT
        CORP
        ZA
        N
        
        3
        
          2022-12-31
          Fixed
          3.00000000
          N
          N
          Y
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31388JK38
        
          
          
        
        18201.45000000
        PA
        USD
        18254.00000000
        0.000649560151
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-09-01
          Variable
          2.34000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CCO Holdings LLC / CCO Holdings Capital Corp.
        N/A
        CCO Holdings LLC / CCO Holdings Capital Corp.
        1248EPBZ5
        
          
          
        
        1700000.00000000
        PA
        USD
        1718213.46000000
        0.061141831716
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc.
        N/A
        Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc.
        03522AAG5
        
          
          
        
        8000000.00000000
        PA
        USD
        8878898.56000000
        0.315951500918
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2026-02-01
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Consumer Loan Underlying Bond Certificate Issuer Trust I
        N/A
        Consumer Loan Underlying Bond Certificate Issuer Trust I, Series 2019-37, Class PT
        21054QAA1
        
          
          
        
        826570.83000000
        PA
        USD
        816013.70000000
        0.029037470305
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2044-10-17
          Variable
          22.44256560
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cent CLO 21 Ltd.
        5493002BI0SI5QMH0P08
        Cent CLO 21 Ltd., Series 2014-21A, Class CR2
        15137EBJ1
        
          
          
        
        502000.00000000
        PA
        USD
        498434.50000000
        0.017736561277
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-07-27
          Floating
          3.32888040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, Series 2015-C02, Class 1M2
        30711XAX2
        
          
          
        
        5327272.70900000
        PA
        USD
        5437019.85000000
        0.193473838058
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2025-05-25
          Floating
          4.08925080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MASTR Alternative Loan Trust
        N/A
        MASTR Alternative Loan Trust, Series 2003-1, Class 3A1
        576434CF9
        
          
          
        
        12781.28100000
        PA
        USD
        13019.25000000
        0.000463283993
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2023-06-24
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Coty, Inc.
        549300BO9IWPF3S48F93
        Coty, Inc., Term Loan B
        22207EBG8
        
          
          
        
        2755474.59000000
        PA
        USD
        2654610.44000000
        0.094463085393
        Long
        LON
        CORP
        US
        N
        
        2
        
          2025-04-07
          Variable
          2.35213000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Armada Euro CLO IV DAC
        549300DE6MWQ8YQI0O46
        Armada Euro CLO IV DAC, Series 4A, Class B
        N/A
        
          
          
        
        12400000.00000000
        PA
        
        14739539.83000000
        0.524499711385
        Long
        ABS-CBDO
        CORP
        IE
        N
        
        2
        
          2033-07-15
          Floating
          1.69999920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Metropolitan Transportation Authority
        5493000TKYODLXADQD60
        Metropolitan Transportation Authority
        59261AJ99
        
          
          
        
        1865000.00000000
        PA
        USD
        2188174.29000000
        0.077865170609
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2045-11-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ellington CLO III Ltd.
        254900V20GCNJI0I7591
        Ellington CLO III Ltd., Series 2018-3A, Class A1
        28852LAA1
        
          
          
        
        3700639.06000000
        PA
        USD
        3698423.98000000
        0.131606707703
        Long
        ABS-CBDO
        CORP
        US
        N
        
        2
        
          2030-07-20
          Floating
          1.78425000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Talen Energy Supply LLC
        K5K33XN0PQAU1XF7NN66
        Talen Energy Supply LLC
        87422VAE8
        
          
          
        
        1500000.00000000
        PA
        USD
        1001250.00000000
        0.035629018414
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-15
          Fixed
          10.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Structured Agency Credit Risk Debt Notes
        S6XOOCT0IEG5ABCC6L87
        FHLMC Structured Agency Credit Risk Debt Notes, Series 2014-HQ2, Class M3
        3137G0CH0
        
          
          
        
        9743459.97000000
        PA
        USD
        9923851.36000000
        0.353135663269
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2024-09-25
          Floating
          3.83924880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Belarus
        635400CVCOWYLHF4ZB08
        Republic of Belarus
        07737JAA1
        
          
          
        
        3900000.00000000
        PA
        USD
        3839452.50000000
        0.136625142396
        Long
        DBT
        NUSS
        BY
        N
        
        2
        
          2027-06-29
          Fixed
          7.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403AX83
        
          
          
        
        19913.09000000
        PA
        USD
        20096.55000000
        0.000715126441
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Variable
          2.19800160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402QTK7
        
          
          
        
        25708.42000000
        PA
        USD
        25971.50000000
        0.000924183821
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-11-01
          Variable
          1.66299840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States of America
        254900HROIFWPRGM1V77
        U.S. Treasury Notes
        9128285K2
        
          
          
        
        52000000.00000000
        PA
        USD
        55095625.00000000
        1.960552347250
        Long
        DBT
        UST
        US
        N
        
        2
        
          2023-10-31
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dryden 64 CLO Ltd.
        N/A
        Dryden 64 CLO Ltd., Series 2018-64A, Class C
        26251LAG9
        
          
          
        
        750000.00000000
        PA
        USD
        748468.27000000
        0.026633897402
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-18
          Floating
          1.88388000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Group, Inc. (The)
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group, Inc. (The)
        38141GWQ3
        
          
          
        
        5000000.00000000
        PA
        USD
        5364813.55000000
        0.190904410250
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-09-29
          Variable
          3.27200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, Series 2017-C01, Class 1M2
        30711XEP5
        
          
          
        
        0.05100000
        PA
        USD
        0.05000000
        0.000000001779
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2029-07-25
          Floating
          3.63925080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        U.S. Treasury 2 Year Notes
        N/A
        
          
          
        
        3305.00000000
        NC
        USD
        -96413.41000000
        -0.00343082662
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              CME Clearing House
              LCZ7XYGSLJUHFXXNXD88
            
            Long
            
              
                United States of America
                U.S. Treasury 2 Year Notes
                
                  
                
              
            
            2021-09-30
            729268906.25000000
            USD
            -96413.41000000
          
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385RXJ4
        
          
          
        
        11341.55000000
        PA
        USD
        11396.77000000
        0.000405548792
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-11-01
          Variable
          2.52799920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Netflix, Inc.
        549300Y7VHGU0I7CE873
        Netflix, Inc.
        64110LAG1
        
          
          
        
        1800000.00000000
        PA
        USD
        2009583.00000000
        0.071510082109
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-01
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lending Club Corp. LCX
        549300YC50YO7Y1OJR92
        Lending Club Corp. LCX, Marketplace Loan
        N/A
        
          
        
        3079809.08000000
        PA
        USD
        2872618.19000000
        0.102220790401
        Long
        LON
        CORP
        US
        N
        
        3
        
          2023-10-19
          Fixed
          14.18816651
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        U.S. Treasury 5 Year Notes
        N/A
        
          
          
        
        -643.00000000
        NC
        USD
        -260644.88000000
        -0.00927492756
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              CME Clearing House
              LCZ7XYGSLJUHFXXNXD88
            
            Short
            
              
                United States of America
                U.S. Treasury 5 Year Notes
                
                  
                
              
            
            2021-09-30
            -80018336.26000000
            USD
            -260644.88000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        Societe Generale SA
        83368RBC5
        
          
          
        
        3900000.00000000
        PA
        USD
        3918221.46000000
        0.139428099426
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2027-06-09
          Variable
          1.79200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Williams Cos., Inc. (The)
        D71FAKCBLFS2O0RBPG08
        Williams Cos., Inc. (The)
        96949LAB1
        
          
          
        
        2300000.00000000
        PA
        USD
        2560106.03000000
        0.091100189648
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-09-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404JS55
        
          
          
        
        425.49000000
        PA
        USD
        429.42000000
        0.000015280712
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-03-01
          Variable
          2.01999960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31411SM94
        
          
          
        
        12265.06000000
        PA
        USD
        12776.29000000
        0.000454638373
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-02-01
          Variable
          1.65700080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31411UXU0
        
          
          
        
        3466.43000000
        PA
        USD
        3541.99000000
        0.000126040076
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-04-01
          Variable
          1.86099840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385Y2E4
        
          
          
        
        29135.16000000
        PA
        USD
        30236.84000000
        0.001075963974
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-06-01
          Variable
          1.50800040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31363EH73
        
          
          
        
        6340.51000000
        PA
        USD
        6527.02000000
        0.000232260989
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-08-01
          Variable
          5.63000040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410GDB6
        
          
          
        
        47012.16000000
        PA
        USD
        49553.25000000
        0.001763329494
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-09-01
          Variable
          1.95500160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Consumer Loan Underlying Bond Club Certificate Issuer Trust I
        N/A
        Consumer Loan Underlying Bond Club Certificate Issuer Trust I, Series 2018-8, Class PT
        21052CAA4
        
          
          
        
        6570.66000000
        PA
        USD
        5725.82000000
        0.000203750657
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2041-06-17
          Variable
          0.00001080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Voya CLO Ltd.
        549300ITL5IR423IJ183
        Voya CLO Ltd., Series 2014-1A, Class CR2
        92915PAR6
        
          
          
        
        600000.00000000
        PA
        USD
        580312.83000000
        0.020650163801
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-18
          Floating
          2.93388120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Commercial Mortgage Trust
        N/A
        BX Commercial Mortgage Trust, Series 2018-IND, Class A
        056059AA6
        
          
          
        
        2377286.08900000
        PA
        USD
        2382868.91000000
        0.084793288662
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-11-15
          Floating
          0.84300120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, Series 2014-C03, Class 1M2
        30711XAK0
        
          
          
        
        7049109.05200000
        PA
        USD
        7107838.00000000
        0.252929129577
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2024-07-25
          Floating
          3.08925000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402RH77
        
          
          
        
        16228.19000000
        PA
        USD
        16595.35000000
        0.000590537858
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-10-01
          Variable
          1.30799880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, Series 2015-C02, Class 2M2
        30711XAZ7
        
          
          
        
        1224117.26600000
        PA
        USD
        1235626.66000000
        0.043969203518
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2025-05-25
          Floating
          4.08925080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CDI
        N/A
        
          
        
        7100000.00000000
        PA
        USD
        55621.22000000
        0.001979255402
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                MCDX North American MAIN Index Series 31-V1
                5A79DPBT3
              
            
            Y
            
            Payout of notional amount upon default event with regard to the reference instrument
            2023-12-20
            34301.07000000
            USD
            0.00000000
            USD
            7100000.00000000
            USD
            55621.22000000
          
        
        
          N
          N
          N
        
      
      
        Tencent Holdings Ltd.
        254900N4SLUMW4XUYY11
        Tencent Holdings Ltd.
        88032WAE6
        
          
          
        
        9200000.00000000
        PA
        USD
        9492198.62000000
        0.337775500051
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2023-01-19
          Fixed
          2.98500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31365DQS7
        
          
          
        
        4298.17000000
        PA
        USD
        4320.50000000
        0.000153742995
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-02-01
          Variable
          1.69999920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Anagram International, Inc. / Anagram Holdings LLC
        N/A
        Anagram International, Inc. / Anagram Holdings LLC
        03254TAC7
        
          
          
        
        314174.00000000
        PA
        USD
        309461.39000000
        0.011012040512
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-08-15
          Fixed
          10.00000000
          N
          N
          Y
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406DWS1
        
          
          
        
        132307.43000000
        PA
        USD
        132081.67000000
        0.004700065171
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-10-01
          Variable
          2.00000160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31373YXA2
        
          
          
        
        7064.23000000
        PA
        USD
        7111.08000000
        0.000253044494
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-01-01
          Variable
          1.59500160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31391SM64
        
          
          
        
        111.06000000
        PA
        USD
        111.30000000
        0.000003960559
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-02-01
          Variable
          3.34299960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174467Y9
        
          
          
        
        7800000.00000000
        PA
        USD
        8890068.72000000
        0.316348985898
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-09-08
          Fixed
          4.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Group, Inc. (The)
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group, Inc. (The)
        38143U8H7
        
          
          
        
        6500000.00000000
        PA
        USD
        7205165.18000000
        0.256392472287
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-25
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EI du Pont de Nemours & Co.
        GLU7INWNWH88J9XBXD45
        EI du Pont de Nemours & Co.
        263534CN7
        
          
          
        
        4100000.00000000
        PA
        USD
        4230234.37000000
        0.150530934598
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-15
          Fixed
          1.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174468Q5
        
          
          
        
        3800000.00000000
        PA
        USD
        3948336.50000000
        0.140499729203
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-28
          Variable
          2.18800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Consumer Loan Underlying Bond Certificate Issuer Trust I
        N/A
        Consumer Loan Underlying Bond Certificate Issuer Trust I, Series 2020-2, Class PT
        21056TAA3
        
          
          
        
        2590318.12000000
        PA
        USD
        2599116.91000000
        0.092488373780
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2045-03-15
          Variable
          17.11177200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406H3D7
        
          
          
        
        5813.93000000
        PA
        USD
        6047.68000000
        0.000215203897
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-01-01
          Variable
          1.75899960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Iraq
        N/A
        Republic of Iraq
        462652AA6
        
          
          
        
        6093750.00000000
        PA
        USD
        5844058.59000000
        0.207958123464
        Long
        DBT
        NUSS
        IQ
        N
        
        2
        
          2028-01-15
          Fixed
          5.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Apidos CLO XXXV
        549300KJKTO0Q1OATW69
        Apidos CLO XXXV, Series 2021-35A, Class A
        03768UAA7
        
          
          
        
        19306000.00000000
        PA
        USD
        19317576.53000000
        0.687407031122
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-04-20
          Floating
          1.24512840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        9110.50000000
        0.000324192931
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            2647389.75000000
            USD
            3600000.00000000
            SGD
            2022-01-19
            9110.50000000
          
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410FZT5
        
          
          
        
        71505.60000000
        PA
        USD
        72021.03000000
        0.002562835060
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-11-01
          Variable
          1.97499960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CES
        N/A
        
          
        
        22700000.00000000
        PA
        
        -1808010.64000000
        -0.06433722285
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            25083500.00000000
            USD
            22700000.00000000
            EUR
            2021-11-22
            -1808010.64000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CDS
        N/A
        
          
        
        245000.00000000
        PA
        USD
        -18117.22000000
        -0.00064469289
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                Nabors Industries, Inc.
                Nabors Industries, Inc.
                
                  
                
              
            
            Y
            
            Payout of notional amount upon default event with regard to the reference instrument
            2023-12-20
            0.00000000
            USD
            16117.63000000
            USD
            245000.00000000
            USD
            -18117.22000000
          
        
        
          N
          N
          N
        
      
      
        Franklin Liberty High Yield Corporate ETF
        5493002F67QK4VNO5Q54
        Franklin Liberty High Yield Corporate ETF
        35473P629
        
          
          
        
        259500.00000000
        NS
        USD
        6885832.50000000
        0.245029166483
        Long
        
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31384VYH9
        
          
          
        
        168.85000000
        PA
        USD
        169.51000000
        0.000006031934
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-06-01
          Variable
          2.32499880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CDIT
        N/A
        
          
        
        2500000.00000000
        PA
        USD
        -125661.74000000
        -0.00447161492
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                Citi 697946 Dec 2022
                Citi 697946 Dec 2022
                
                  
                
              
            
            Y
            
            Payout of notional amount upon default event with regard to the reference instrument
            2022-12-20
            0.00000000
            USD
            479040.98000000
            USD
            2500000.00000000
            USD
            -125661.74000000
          
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403AWT8
        
          
          
        
        3298.20000000
        PA
        USD
        3326.66000000
        0.000118377658
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Variable
          2.13599880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        San Jose Redevelopment Agency Successor Agency
        N/A
        San Jose Redevelopment Agency Successor Agency
        798170AE6
        
          
          
        
        5320000.00000000
        PA
        USD
        5445419.00000000
        0.193772717928
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2022-08-01
          Fixed
          2.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eleven Madison Mortgage Trust
        N/A
        Eleven Madison Mortgage Trust, Series 2015-11MD, Class A
        556227AA4
        
          
          
        
        2005000.00000000
        PA
        USD
        2187875.65000000
        0.077854543642
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-09-10
          Variable
          3.55479840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Genting New York LLC / GENNY Capital, Inc.
        N/A
        Genting New York LLC / GENNY Capital, Inc.
        37255JAA0
        
          
          
        
        400000.00000000
        PA
        USD
        403083.79000000
        0.014343550338
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-15
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Upgrade Master Pass-Thru Trust
        54930089533DCF1JSH22
        Upgrade Master Pass-Thru Trust, Series 2019-PT2, Class A
        91531XAB0
        
          
          
        
        1558210.08000000
        PA
        USD
        1574306.55000000
        0.056020970846
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-02-15
          Variable
          13.97681280
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Coca-Cola Europacific Partners plc
        549300LTH67W4GWMRF57
        Coca-Cola Europacific Partners plc
        19123MAF0
        
          
          
        
        4400000.00000000
        PA
        USD
        4408045.75000000
        0.156858270360
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2027-01-15
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Discover Card Execution Note Trust
        549300CKCX1QE4RUW216
        Discover Card Execution Note Trust, Series 2019-A3, Class A
        254683CM5
        
          
          
        
        13340000.00000000
        PA
        USD
        13610009.60000000
        0.484305900284
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-10-15
          Fixed
          1.89000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31380AQZ8
        
          
          
        
        3548.05000000
        PA
        USD
        3571.08000000
        0.000127075231
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-08-01
          Variable
          2.49300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States of America
        254900HROIFWPRGM1V77
        U.S. Treasury Inflation Linked Notes
        9128282L3
        
          
          
        
        3840000.00000000
        PA
        USD
        4820120.68000000
        0.171521766260
        Long
        DBT
        UST
        US
        N
        
        2
        
          2027-07-15
          Fixed
          0.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403HUF5
        
          
          
        
        25503.89000000
        PA
        USD
        25648.63000000
        0.000912694642
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-11-01
          Variable
          1.83700080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Voya CLO Ltd.
        5493007ASGBOUR3XJY69
        Voya CLO Ltd., Series 2013-2A, Class A1R
        92916WAA7
        
          
          
        
        11800000.00000000
        PA
        USD
        11803002.49000000
        0.420004387578
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-25
          Floating
          1.09524960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Southern Co. (The)
        549300FC3G3YU2FBZD92
        Southern Co. (The)
        842587CV7
        
          
          
        
        6850000.00000000
        PA
        USD
        7492613.30000000
        0.266621180762
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-07-01
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRAVO Residential Funding Trust
        N/A
        BRAVO Residential Funding Trust, Series 2019-2, Class A3
        10568LAL0
        
          
          
        
        5786543.44000000
        PA
        USD
        6044219.96000000
        0.215080773289
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2044-10-25
          Variable
          3.49999920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31379CQ95
        
          
          
        
        4062.40000000
        PA
        USD
        4068.29000000
        0.000144768219
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-05-01
          Variable
          2.89500120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dexia Credit Local SA
        F4G136OIPBYND1F41110
        Dexia Credit Local SA
        25214BAT1
        
          
          
        
        4800000.00000000
        PA
        USD
        4915507.01000000
        0.174916044720
        Long
        DBT
        NUSS
        FR
        N
        
        2
        
          2022-09-20
          Fixed
          2.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CDS
        N/A
        
          
        
        1590000.00000000
        PA
        USD
        10051.62000000
        0.000357682251
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                Nabors Industries, Inc.
                Nabors Industries, Inc.
                
                  
                
              
            
            Y
            Receipt of notional amount upon default event with regard to the reference instrument
            
            2021-12-20
            11733.77000000
            USD
            0.00000000
            USD
            1590000.00000000
            USD
            10051.62000000
          
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31419AFS1
        
          
          
        
        284525.29000000
        PA
        USD
        297174.12000000
        0.010574803689
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-11-01
          Variable
          2.06499960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31401BG58
        
          
          
        
        1125.32000000
        PA
        USD
        1135.61000000
        0.000040410156
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-04-01
          Variable
          2.13500160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cheniere Corpus Christi Holdings LLC
        549300I7CIEWU1BBLQ53
        Cheniere Corpus Christi Holdings LLC
        16412XAC9
        
          
          
        
        5800000.00000000
        PA
        USD
        6632615.58000000
        0.236018559436
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-31
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410GME0
        
          
          
        
        1014.66000000
        PA
        USD
        1032.55000000
        0.000036742814
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-09-01
          Variable
          2.32300080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Methanex Corp.
        549300TSJHRXT9QXRD13
        Methanex Corp.
        59151KAK4
        
          
          
        
        1500000.00000000
        PA
        USD
        1595107.50000000
        0.056761163036
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2024-12-01
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402NYZ5
        
          
          
        
        11539.23000000
        PA
        USD
        11920.61000000
        0.000424189396
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-06-01
          Variable
          1.80500040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Imperial Brands Finance plc
        2138008L3B3MCG1DFS50
        Imperial Brands Finance plc
        453140AF2
        
          
          
        
        3695000.00000000
        PA
        USD
        4079168.23000000
        0.145155315837
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-07-21
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc of America Commercial Mortgage Trust
        N/A
        Banc of America Commercial Mortgage Trust, Series 2015-UBS7, Class A4
        06054AAX7
        
          
          
        
        100000.00000000
        PA
        USD
        109581.56000000
        0.003899409157
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-09-15
          Fixed
          3.70500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Quest Diagnostics, Inc.
        8MCWUBXQ0WE04KMXBX50
        Quest Diagnostics, Inc.
        74834LAZ3
        
          
          
        
        4150000.00000000
        PA
        USD
        4593960.53000000
        0.163473961866
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-01
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA II
        36202K6G5
        
          
          
        
        931.25000000
        PA
        USD
        944.61000000
        0.000033613510
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2026-09-20
          Variable
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31388JK61
        
          
          
        
        37171.51000000
        PA
        USD
        37141.82000000
        0.001321674495
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-11-01
          Variable
          2.39699880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Upgrade Master Pass-Thru Trust
        N/A
        Upgrade Master Pass-Thru Trust, Series 2019-PT1, Class A
        91531XAA2
        
          
          
        
        316684.33000000
        PA
        USD
        283896.80000000
        0.010102336394
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-06-15
          Variable
          15.56667000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Univision Communications, Inc.
        549300YQDE2JSGTL8V47
        Univision Communications, Inc.
        914906AS1
        
          
          
        
        3700000.00000000
        PA
        USD
        3764528.00000000
        0.133958988698
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-15
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NCL Corp. Ltd.
        UNZWILHE4KMRP9K2L524
        NCL Corp. Ltd.
        62886HBA8
        
          
          
        
        4050000.00000000
        PA
        USD
        4085437.50000000
        0.145378404912
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2026-03-15
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, Series 2015-C03, Class 2M2
        30711XBD5
        
          
          
        
        0.05000000
        PA
        USD
        0.05000000
        0.000000001779
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2025-07-25
          Floating
          5.08925160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Structured Agency Credit Risk Debt Notes
        S6XOOCT0IEG5ABCC6L87
        FHLMC Structured Agency Credit Risk Debt Notes, Series 2016-DNA1, Class M3
        3137G0HW2
        
          
          
        
        10317222.43400000
        PA
        USD
        10811460.72000000
        0.384720832040
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2028-07-25
          Floating
          5.63924880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Merrill Lynch Mortgage Investors Trust
        N/A
        Merrill Lynch Mortgage Investors Trust, Series 2003-A, Class 1A
        589929F94
        
          
          
        
        119920.82000000
        PA
        USD
        120272.51000000
        0.004279841671
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2028-03-25
          Floating
          0.82924920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403GCV2
        
          
          
        
        17396.55000000
        PA
        USD
        17432.03000000
        0.000620310729
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Variable
          2.27400120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Invesco Senior Loan ETF
        549300SIHU6DQELRNG59
        Invesco Senior Loan ETF
        46138G508
        
          
          
        
        445000.00000000
        NS
        USD
        9803350.00000000
        0.348847678076
        Long
        
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Citizens Property Insurance Corp.
        254900K60HH43SRST947
        Citizens Property Insurance Corp.
        176553HA6
        
          
          
        
        125000.00000000
        PA
        USD
        127004.83000000
        0.004519408166
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2022-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406GY52
        
          
          
        
        3520.63000000
        PA
        USD
        3523.79000000
        0.000125392438
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-03-01
          Variable
          1.94000040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        InterGen NV
        549300E3XRGX2JMPEC79
        InterGen NV
        45867XAG9
        
          
          
        
        1400000.00000000
        PA
        USD
        1391131.00000000
        0.049502753574
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2023-06-30
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA
        549300M8ZYFG0OCMTT87
        GNMA II
        36202K5J0
        
          
          
        
        4862.76000000
        PA
        USD
        4948.38000000
        0.000176085814
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2026-08-20
          Variable
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405PRS1
        
          
          
        
        9118.43000000
        PA
        USD
        9325.28000000
        0.000331835778
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-07-01
          Variable
          1.30799880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hercules Achievement, Inc. / Varsity Brands Holding Co., Inc.
        549300YOKDS0ZSYJRX81
        Hercules Achievement, Inc. / Varsity Brands Holding Co., Inc., First Lien Term Loan
        42703UAG0
        
          
          
        
        2390174.25000000
        PA
        USD
        2331089.14000000
        0.082950729483
        Long
        LON
        CORP
        US
        N
        
        2
        
          2024-12-16
          Variable
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSR Mortgage Loan Trust
        N/A
        GSR Mortgage Loan Trust, Series 2005-AR1, Class 1A1
        36242DUL5
        
          
          
        
        98406.88900000
        PA
        USD
        97711.01000000
        0.003477001123
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-01-25
          Variable
          2.67779520
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Diamond Sports Group LLC
        5493002K6DHWNZH8YA34
        Diamond Sports Group LLC, Term Loan
        25277BAB4
        
          
          
        
        1723684.24000000
        PA
        USD
        953119.82000000
        0.033916328207
        Long
        LON
        CORP
        US
        N
        
        2
        
          2026-08-24
          Variable
          3.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31405XXY4
        
          
          
        
        5257.17000000
        PA
        USD
        5280.44000000
        0.000187902016
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-12-01
          Variable
          1.99000080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406C6X1
        
          
          
        
        12549.88000000
        PA
        USD
        13925.48000000
        0.000495531768
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Variable
          4.10500080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMBB Commercial Mortgage Securities Trust
        N/A
        JPMBB Commercial Mortgage Securities Trust, Series 2016-C1, Class A5
        46645LAY3
        
          
          
        
        1500000.00000000
        PA
        USD
        1647089.55000000
        0.058610920256
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-03-15
          Fixed
          3.57610000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banque Ouest Africaine de Developpement
        529900LIZJABE4JJS826
        Banque Ouest Africaine de Developpement
        06675QAB9
        
          
          
        
        3900000.00000000
        PA
        USD
        4353616.80000000
        0.154921441335
        Long
        DBT
        NUSS
        US
        
        N
        
        2
        
          2027-07-27
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31375VE74
        
          
          
        
        109264.74000000
        PA
        USD
        108929.15000000
        0.003876193449
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-08-01
          Variable
          2.44900080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States of America
        254900HROIFWPRGM1V77
        U.S. Treasury Notes
        912828R28
        
          
          
        
        90000000.00000000
        PA
        USD
        92309765.40000000
        3.284800330862
        Long
        DBT
        UST
        US
        N
        
        2
        
          2023-04-30
          Fixed
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bristol-Myers Squibb Co.
        HLYYNH7UQUORYSJQCN42
        Bristol-Myers Squibb Co.
        110122CM8
        
          
          
        
        2551000.00000000
        PA
        USD
        2727000.53000000
        0.097039053283
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-26
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Madison Park Euro Funding VIII DAC
        635400Y8CTGVSWYFMB36
        Madison Park Euro Funding VIII DAC, Series 8A, Class ARN
        N/A
        
          
          
        
        24700000.00000000
        PA
        
        29368260.73000000
        1.045055982373
        Long
        ABS-CBDO
        CORP
        IE
        N
        
        2
        
          2032-04-15
          Floating
          0.95000040
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CDIT
        N/A
        
          
        
        2800000.00000000
        PA
        USD
        34100.59000000
        0.001213453731
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                Citi 693003 Dec 2021
                Citi 693003 Dec 2021
                
                  
                
              
            
            Y
            
            Payout of notional amount upon default event with regard to the reference instrument
            2021-12-20
            0.00000000
            USD
            0.00000000
            USD
            2800000.00000000
            USD
            34100.59000000
          
        
        
          N
          N
          N
        
      
      
        FHLMC Structured Agency Credit Risk Debt Notes
        S6XOOCT0IEG5ABCC6L87
        FHLMC Structured Agency Credit Risk Debt Notes, Series 2014-HQ3, Class M3
        3137G0DF3
        
          
          
        
        486003.02400000
        PA
        USD
        488014.20000000
        0.017365759718
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2024-10-25
          Floating
          4.83924960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC Gold Pools, 15 Year
        3128PLVF6
        
          
          
        
        29335.44000000
        PA
        USD
        30581.30000000
        0.001088221424
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-10-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Carlyle GMS Finance MM CLO LLC
        N/A
        Carlyle GMS Finance MM CLO LLC, Series 2015-1A, Class A2R
        14310QAG3
        
          
          
        
        7300000.00000000
        PA
        USD
        7174570.86000000
        0.255303787552
        Long
        ABS-CBDO
        CORP
        US
        N
        
        2
        
          2031-10-15
          Floating
          2.32612920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Battalion Oil Corp.
        3XHTN2NNIMMPORDAMJ28
        Battalion Oil Corp.
        07134L115
        
          
          
        
        1366.00000000
        NS
        USD
        178.31000000
        0.000006345078
        Long
        
        CORP
        US
        N
        
        3
        
          N
          N
          N
        
      
      
        Institutional Fiduciary Trust - Money Market Portfolio
        549300M4TP89K77LG374
        Institutional Fiduciary Trust - Money Market Portfolio
        457756500
        
          
          
        
        56017741.46100000
        NS
        USD
        56017741.46000000
        1.993365435224
        Long
        STIV
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        BlueMountain CLO Ltd.
        549300WSX4P5CXVKVR97
        BlueMountain CLO Ltd., Series 2012-2A, Class DR2
        09626RBC8
        
          
          
        
        2295000.00000000
        PA
        USD
        2268032.75000000
        0.080706896993
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2028-11-20
          Floating
          3.05525160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Braskem Netherlands Finance BV
        N/A
        Braskem Netherlands Finance BV
        10554TAD7
        
          
          
        
        7100000.00000000
        PA
        USD
        7504061.00000000
        0.267028541875
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2030-01-31
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, Series 2014-C03, Class 2M2
        30711XAM6
        
          
          
        
        8085801.13300000
        PA
        USD
        8197365.78000000
        0.291699471986
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2024-07-25
          Floating
          2.98924920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cigna Corp.
        549300VIWYMSIGT1U456
        Cigna Corp.
        125523CP3
        
          
          
        
        8300000.00000000
        PA
        USD
        8374279.36000000
        0.297994859950
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-15
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31390WRA2
        
          
          
        
        70268.50000000
        PA
        USD
        70626.21000000
        0.002513201035
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Variable
          1.66299840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31389R4T0
        
          
          
        
        16002.95000000
        PA
        USD
        15926.19000000
        0.000566726109
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-03-01
          Variable
          2.50499880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CDS
        N/A
        
          
        
        1600000.00000000
        PA
        USD
        126042.71000000
        0.004485171571
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              JP MORGAN CHASE BANK NA
              7H6GLXDRUGQFU57RNE97
            
            
              
                Macy's Retail Holdings LLC
                Macy's Retail Holdings LLC
                
                  
                
              
            
            Y
            
            Payout of notional amount upon default event with regard to the reference instrument
            2025-12-20
            0.00000000
            USD
            261479.86000000
            USD
            1600000.00000000
            USD
            126042.71000000
          
        
        
          N
          N
          N
        
      
      
        Battalion Oil Corp.
        3XHTN2NNIMMPORDAMJ28
        Battalion Oil Corp.
        07134L123
        
          
          
        
        1093.00000000
        NS
        USD
        258.25000000
        0.000009189706
        Long
        
        CORP
        US
        N
        
        3
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CDS
        N/A
        
          
        
        1600000.00000000
        PA
        USD
        76374.91000000
        0.002717765867
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                American Airlines Group, Inc.
                American Airlines Group, Inc.
                
                  
                
              
            
            Y
            
            Payout of notional amount upon default event with regard to the reference instrument
            2021-12-20
            0.00000000
            USD
            41448.81000000
            USD
            1600000.00000000
            USD
            76374.91000000
          
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 15 Year
        31418UW59
        
          
          
        
        108656.13000000
        PA
        USD
        114263.79000000
        0.004066024147
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Blackrock European CLO IX DAC
        549300CTNII509TFCV23
        Blackrock European CLO IX DAC, Series 9A, Class A
        N/A
        
          
          
        
        3300000.00000000
        PA
        
        3918628.32000000
        0.139442577351
        Long
        ABS-CBDO
        CORP
        IE
        N
        
        2
        
          2032-12-15
          Floating
          0.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31407F6D7
        
          
          
        
        10633.17000000
        PA
        USD
        10649.35000000
        0.000378952197
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Variable
          2.04699960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mill City Mortgage Loan Trust
        N/A
        Mill City Mortgage Loan Trust, Series 2018-1, Class A1
        59980VAA9
        
          
          
        
        8128380.80000000
        PA
        USD
        8322041.10000000
        0.296135985616
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2062-05-25
          Variable
          3.25000080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31403CNW7
        
          
          
        
        18548.22000000
        PA
        USD
        18636.42000000
        0.000663168390
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-11-01
          Variable
          1.76799960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404JLV5
        
          
          
        
        3502.39000000
        PA
        USD
        3696.09000000
        0.000131523654
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-02-01
          Variable
          2.10800160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States of America
        254900HROIFWPRGM1V77
        U.S. Treasury Notes
        9128285P1
        
          
          
        
        70000000.00000000
        PA
        USD
        74298437.50000000
        2.643875553415
        Long
        DBT
        UST
        US
        N
        
        2
        
          2023-11-30
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CARLYLE US CLO Ltd.
        N/A
        CARLYLE US CLO Ltd., Series 2017-5A, Class B
        14316AAG2
        
          
          
        
        2200000.00000000
        PA
        USD
        2170224.67000000
        0.077226441678
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-01-20
          Floating
          1.93425120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cook Park CLO Ltd.
        N/A
        Cook Park CLO Ltd., Series 2018-1A, Class A2
        21623PAC1
        
          
          
        
        1000000.00000000
        PA
        USD
        995046.51000000
        0.035408270090
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-04-17
          Floating
          1.25388000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31401AJS7
        
          
          
        
        39260.88000000
        PA
        USD
        39465.41000000
        0.001404358371
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-04-01
          Variable
          1.22500080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, 30 Year
        31414CEJ3
        
          
          
        
        9573.75000000
        PA
        USD
        10896.41000000
        0.000387743712
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-03-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -13070.63000000
        -0.00046511232
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            1821226.00000000
            USD
            1520000.00000000
            EUR
            2021-12-14
            -13070.63000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -23572.82000000
        -0.00083882790
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            2520623.00000000
            BRL
            460009.67000000
            USD
            2021-08-09
            -23572.82000000
          
        
        
          N
          N
          N
        
      
      
        Dominican Republic
        N/A
        Dominican Republic Government Bond
        25714PDX3
        
          
          
        
        218500000.00000000
        PA
        
        4044888.40000000
        0.143935483933
        Long
        DBT
        NUSS
        DO
        N
        
        2
        
          2023-02-15
          Fixed
          8.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31404ENZ5
        
          
          
        
        50580.37000000
        PA
        USD
        51150.39000000
        0.001820162983
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-03-01
          Variable
          1.95000120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA or FHLMC
        N/A
        FNMA or FHLMC, Single Family, 15 Year
        01F020489
        
          
          
        
        59821000.00000000
        PA
        USD
        62085318.77000000
        2.209277369016
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-08-25
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CDIT
        N/A
        
          
        
        5600000.00000000
        PA
        USD
        10991.37000000
        0.000391122820
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                Citi 698285 Dec 2022
                Citi 698285 Dec 2022
                
                  
                
              
            
            Y
            
            Payout of notional amount upon default event with regard to the reference instrument
            2022-12-20
            0.00000000
            USD
            0.00000000
            USD
            5600000.00000000
            USD
            10991.37000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CDS
        N/A
        
          
        
        600000.00000000
        PA
        
        17431.48000000
        0.000620291157
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              BANK OF AMERICA NA
              B4TYDEB6GKMZO031MB27
            
            
              
                Air France-KLM
                Air France-KLM
                
                  
                
              
            
            Y
            
            Payout of notional amount upon default event with regard to the reference instrument
            2026-06-20
            11782.27000000
            USD
            0.00000000
            USD
            600000.00000000
            EUR
            17431.48000000
          
        
        
          N
          N
          N
        
      
      
        Israel Electric Corp. Ltd.
        254900JW7GE35YNJGJ55
        Israel Electric Corp. Ltd.
        465077AL9
        
          
          
        
        1400000.00000000
        PA
        USD
        1572270.00000000
        0.055948501156
        Long
        DBT
        NUSS
        IL
        N
        
        2
        
          2028-08-14
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Verso Corp.
        549300FODXCTQ8DGT594
        Verso Corp.
        92531L116
        
          
          
        
        146.00000000
        NS
        USD
        569.40000000
        0.000020261835
        Long
        
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Sculptor CLO XXV Ltd.
        N/A
        Sculptor CLO XXV Ltd., Series 25A, Class A1
        811244AC6
        
          
          
        
        10726000.00000000
        PA
        USD
        10728839.18000000
        0.381780782732
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-01-15
          Floating
          1.40424840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dynasty Acquisition Co., Inc.
        549300WM2IKMXZ5LGL49
        Dynasty Acquisition Co., Inc., Term Loan B2
        26812CAF3
        
          
          
        
        961974.32000000
        PA
        USD
        931912.62000000
        0.033161679798
        Long
        LON
        CORP
        CA
        
        N
        
        2
        
          2026-04-06
          Variable
          3.64725000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Square Capital
        N/A
        Square Capital, Marketplace Loan
        N/A
        
          
        
        13440526.99000000
        PA
        USD
        13266652.41000000
        0.472087693398
        Long
        LON
        CORP
        US
        N
        
        3
        
          2022-08-23
          Fixed
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31409JSM3
        
          
          
        
        145489.18000000
        PA
        USD
        146325.30000000
        0.005206918160
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-05-01
          Variable
          1.64199960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31402EMX3
        
          
          
        
        176.01000000
        PA
        USD
        175.11000000
        0.000006231208
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-02-01
          Variable
          2.04999840
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31406AZZ8
        
          
          
        
        584.55000000
        PA
        USD
        585.52000000
        0.000020835458
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-08-01
          Variable
          1.67500080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31411YDP5
        
          
          
        
        1496.87400000
        PA
        USD
        1500.33000000
        0.000053388549
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-05-01
          Variable
          2.10499920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Carlyle US CLO Ltd.
        N/A
        Carlyle US CLO Ltd., Series 2021-1A, Class A1
        14316MAA9
        
          
          
        
        17876000.00000000
        PA
        USD
        17929620.49000000
        0.638017257032
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-04-15
          Floating
          1.33092000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Party City Holdings, Inc.
        5493005PYM1JS6EZN307
        Party City Holdings, Inc.
        702150AE3
        
          
          
        
        565890.00000000
        PA
        USD
        537063.56000000
        0.019111158520
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-15
          Floating
          5.74999920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Teays Valley Local School District
        N/A
        Teays Valley Local School District
        878198HD5
        
          
          
        
        100000.00000000
        PA
        USD
        108763.30000000
        0.003870291753
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2026-12-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CDI
        N/A
        
          
        
        11100000.00000000
        PA
        
        70099.21000000
        0.002494447983
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              ICE Clear US
              549300HWWR1D8OTS2G29
            
            
              
                iTraxx Europe MAIN Index Series 35-V1
                2I666VCY9
              
            
            Y
            
            Payout of notional amount upon default event with regard to the reference instrument
            2026-06-20
            291457.93000000
            USD
            0.00000000
            USD
            11100000.00000000
            EUR
            70099.21000000
          
        
        
          N
          N
          N
        
      
      
        United States of America
        254900HROIFWPRGM1V77
        U.S. Treasury Notes
        912828UN8
        
          
          
        
        95000000.00000000
        PA
        USD
        97727539.30000000
        3.477589310686
        Long
        DBT
        UST
        US
        N
        
        2
        
          2023-02-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, Series 2013-C01, Class M2
        30711XAB0
        
          
          
        
        6258346.23200000
        PA
        USD
        6543087.22000000
        0.232832734131
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2023-10-25
          Floating
          5.33925000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Orlando Health Obligated Group
        N/A
        Orlando Health Obligated Group
        686514AE0
        
          
          
        
        105000.00000000
        PA
        USD
        118947.77000000
        0.004232701410
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-10-01
          Fixed
          3.77700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31385XS99
        
          
          
        
        143953.75000000
        PA
        USD
        151455.98000000
        0.005389491036
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-11-01
          Variable
          2.10300120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31390S3K5
        
          
          
        
        8080.33000000
        PA
        USD
        8136.83000000
        0.000289545334
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-05-01
          Variable
          1.58699880
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Consumer Loan Underlying Bond Certificate Issuer Trust I
        N/A
        Consumer Loan Underlying Bond Certificate Issuer Trust I, Series 2019-S2, Class PT
        21050HAA5
        
          
          
        
        392907.63000000
        PA
        USD
        391206.93000000
        0.013920917765
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2044-05-16
          Variable
          15.05105280
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        USCPI
        N/A
        
          
        
        1770000.00000000
        PA
        USD
        75418.19000000
        0.002683721428
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Clearnet
              549300TXTCI7WVVJS380
            
            Y
            
              
                
              
            
            
            2024-09-18
            0.00000000
            USD
            0.00000000
            USD
            1770000.00000000
            USD
            75418.19000000
          
        
        
          N
          N
          N
        
      
      
        Mill City Mortgage Loan Trust
        N/A
        Mill City Mortgage Loan Trust, Series 2018-2, Class A1
        59980MAC5
        
          
          
        
        0.00900000
        PA
        USD
        0.01000000
        0.000000000355
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2058-05-25
          Variable
          3.49999920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BXP Trust
        N/A
        BXP Trust, Series 2017-GM, Class A
        056083AA6
        
          
          
        
        2000000.00000000
        PA
        USD
        2210676.00000000
        0.078665883558
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2039-06-13
          Fixed
          3.37900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Consumer Loan Underlying Bond Club Certificate Issuer Trust I
        N/A
        Consumer Loan Underlying Bond Club Certificate Issuer Trust I, Series 2019-S8, Class PT
        21057BAA1
        
          
          
        
        1637467.03000000
        PA
        USD
        1612954.48000000
        0.057396239570
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2045-01-15
          Variable
          11.97810360
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Neuberger Berman CLO XVIII Ltd.
        549300FCSYYS3J0RKL34
        Neuberger Berman CLO XVIII Ltd., Series 2014-18A, Class A1BR
        64128QAS4
        
          
          
        
        2295000.00000000
        PA
        USD
        2299231.47000000
        0.081817089022
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-10-21
          Floating
          1.53425160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Consumer Loan Underlying Bond Certificate Issuer Trust I
        N/A
        Consumer Loan Underlying Bond Certificate Issuer Trust I, Series 2018-29, Class PT
        21052UAA4
        
          
          
        
        235488.88000000
        PA
        USD
        234690.90000000
        0.008351367188
        Long
        ABS-O
        CORP
        US
        N
        
        3
        
          2043-12-15
          Variable
          30.89093400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        3138EGMR2
        
          
          
        
        117682.42000000
        PA
        USD
        124864.79000000
        0.004443255832
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-06-01
          Variable
          2.19700080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States of America
        254900HROIFWPRGM1V77
        U.S. Treasury Inflation Linked Notes
        912828XL9
        
          
          
        
        1200000.00000000
        PA
        USD
        1512243.65000000
        0.053812491239
        Long
        DBT
        UST
        US
        N
        
        2
        
          2025-07-15
          Fixed
          0.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Consumer Loan Underlying Bond Credit Trust
        N/A
        Consumer Loan Underlying Bond Credit Trust, Series 2019-S4, Class PT
        21054GAA3
        
          
          
        
        637593.19000000
        PA
        USD
        638100.71000000
        0.022706518798
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2044-08-15
          Variable
          14.23972440
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States of America
        254900HROIFWPRGM1V77
        U.S. Treasury Notes
        912828L24
        
          
          
        
        75000000.00000000
        PA
        USD
        76447266.00000000
        2.720340622275
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-08-31
          Fixed
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of the Philippines
        529900RAHBALMYIJ3T08
        Republic of Philippines
        718286BY2
        
          
          
        
        1600000.00000000
        PA
        USD
        1742838.66000000
        0.062018108075
        Long
        DBT
        NUSS
        PH
        N
        
        2
        
          2024-01-21
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Peru
        254900STKLK2DBJJZ530
        Republic of Peru
        715638AS1
        
          
          
        
        3300000.00000000
        PA
        USD
        4024944.00000000
        0.143225771678
        Long
        DBT
        NUSS
        PE
        N
        
        2
        
          2025-07-21
          Fixed
          7.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CARLYLE US CLO Ltd.
        N/A
        CARLYLE US CLO Ltd., Series 2017-4A, Class B
        14315BAE6
        
          
          
        
        1107000.00000000
        PA
        USD
        1104234.26000000
        0.039293665701
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-01-15
          Floating
          1.97613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Islamic Republic of Pakistan
        529900LOP29R5WKHOD86
        Islamic Republic of Pakistan
        695847AR4
        
          
          
        
        1440000.00000000
        PA
        USD
        1580083.20000000
        0.056226530266
        Long
        DBT
        NUSS
        PK
        N
        
        2
        
          2025-09-30
          Fixed
          8.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bain Capital Credit CLO
        N/A
        Bain Capital Credit CLO, Series 2018-1A, Class A1
        05683LAA4
        
          
          
        
        2000000.00000000
        PA
        USD
        2000498.26000000
        0.071186805836
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-23
          Floating
          1.09788120
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31410KWD2
        
          
          
        
        17730.88000000
        PA
        USD
        18353.16000000
        0.000653088714
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-07-01
          Variable
          2.23999920
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp.
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp.
        06051GHY8
        
          
          
        
        3500000.00000000
        PA
        USD
        3612394.14000000
        0.128545375615
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-13
          Variable
          2.01500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Invitation Homes Trust
        N/A
        Invitation Homes Trust, Series 2018-SFR4, Class A
        46187XAA3
        
          
          
        
        0.00700000
        PA
        USD
        0.01000000
        0.000000000355
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2038-01-17
          Floating
          1.18900080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Petroleos Mexicanos
        549300CAZKPF4HKMPX17
        Petroleos Mexicanos
        71654QDG4
        
          
          
        
        990000.00000000
        PA
        USD
        1091415.60000000
        0.038837519610
        Long
        DBT
        NUSS
        MX
        N
        
        2
        
          2025-10-16
          Fixed
          6.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC
        N/A
        Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC
        85208NAA8
        
          
          
        
        156250.00000000
        PA
        USD
        156894.53000000
        0.005583019324
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-09-20
          Fixed
          3.36000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UniCredit SpA
        549300TRUWO2CD2G5692
        UniCredit SpA
        904678AW9
        
          
          
        
        3800000.00000000
        PA
        USD
        3811608.39000000
        0.135634322612
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2027-06-03
          Variable
          1.98200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Homes 4 Rent Trust
        N/A
        American Homes 4 Rent Trust, Series 2014-SFR3, Class A
        02665XAA7
        
          
          
        
        712006.59700000
        PA
        USD
        756256.95000000
        0.026911053980
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2036-12-17
          Fixed
          3.67800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CDS
        N/A
        
          
        
        1185000.00000000
        PA
        USD
        -87628.19000000
        -0.00311820863
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                Nabors Industries, Inc.
                Nabors Industries, Inc.
                
                  
                
              
            
            Y
            
            Payout of notional amount upon default event with regard to the reference instrument
            2023-12-20
            0.00000000
            USD
            77956.68000000
            USD
            1185000.00000000
            USD
            -87628.19000000
          
        
        
          N
          N
          N
        
      
      
        Antares CLO Ltd.
        N/A
        Antares CLO Ltd., Series 2018-1A, Class B
        03665MAC5
        
          
          
        
        6000000.00000000
        PA
        USD
        5917500.00000000
        0.210571502090
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-20
          Floating
          1.78425000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Commercial Mortgage Trust
        N/A
        BX Commercial Mortgage Trust, Series 2020-BXLP, Class A
        05607QAA6
        
          
          
        
        10946326.64000000
        PA
        USD
        10972913.08000000
        0.390466039638
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-12-15
          Floating
          0.89300160
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup, Inc.
        6SHGI4ZSSLCXXQSBB395
        Citigroup, Inc.
        172967MQ1
        
          
          
        
        6500000.00000000
        PA
        USD
        6965081.76000000
        0.247849214767
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-08
          Variable
          3.10600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BP Capital Markets America, Inc.
        5493009NTB34VXE1T760
        BP Capital Markets America, Inc.
        10373QBE9
        
          
          
        
        7000000.00000000
        PA
        USD
        7699895.77000000
        0.273997231639
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-11
          Fixed
          3.41000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Trust, Series 2016-GS3, Class A4
        36251PAD6
        
          
          
        
        600000.00000000
        PA
        USD
        645796.44000000
        0.022980367793
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-10-10
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Carlyle Global Market Strategies CLO Ltd.
        N/A
        Carlyle Global Market Strategies CLO Ltd., Series 2014-1A, Class DR
        14310MBE6
        
          
          
        
        533000.00000000
        PA
        USD
        513404.52000000
        0.018269262519
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-17
          Floating
          2.73387960
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fiserv, Inc.
        GI7UBEJLXYLGR2C7GV83
        Fiserv, Inc.
        337738BB3
        
          
          
        
        5200000.00000000
        PA
        USD
        5449303.03000000
        0.193910929340
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-01
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA
        31416BLS5
        
          
          
        
        2085.66000000
        PA
        USD
        2078.39000000
        0.000073958547
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-10-01
          Variable
          2.08000080
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States of America
        254900HROIFWPRGM1V77
        U.S. Treasury Inflation Linked Notes
        912828H45
        
          
          
        
        1340000.00000000
        PA
        USD
        1662185.06000000
        0.059148087002
        Long
        DBT
        UST
        US
        N
        
        2
        
          2025-01-15
          Fixed
          0.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        General Dynamics Corp.
        9C1X8XOOTYY2FNYTVH06
        General Dynamics Corp.
        369550BK3
        
          
          
        
        4000000.00000000
        PA
        USD
        4345972.84000000
        0.154649434552
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-01
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
    
    
      
      
    
    
      2021-08-30
      Franklin Investors Securities Trust
      Robert Kubilis
      Robert Kubilis
      Chief Financial Officer, Chief Accounting Officer and Treasurer
    
  
  XXXX




Not
FDIC
Insured
May
Lose
Value
No
Bank
Guarantee
FIST-Q3PH
1
Statements
of
Investments
(unaudited)
Franklin
Adjustable
U.S.
Government
Securities
Fund
2
Franklin
Convertible
Securities
Fund
5
Franklin
Equity
Income
Fund
10
Franklin
Floating
Rate
Daily
Access
Fund
15
Franklin
Low
Duration
Total
Return
Fund
29
Franklin
Managed
Income
Fund
50
Franklin
Total
Return
Fund
59
Notes
to
Statements
of
Investments
86
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited),
July
31,
2021
Franklin
Adjustable
U.S.
Government
Securities
Fund
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
2
a
a
Principal
Amount
a
Value
a
a
a
a
a
Commercial
Mortgage-Backed
Securities
9.5%
Diversified
Financial
Services
0.1%
a
GNMA
,
2010-12
,
FD
,
FRN
,
0.691
%
,
(
1-month
USD
LIBOR
+
0.6
%
),
1/16/40
.......
$
844,788
$
855,689
Thrifts
&
Mortgage
Finance
9.4%
a
FHLMC
,
4988,
AF,
FRN,
0.442%,
(1-month
USD
LIBOR
+
0.35%),
10/15/37
.............
8,507,702
8,549,459
343,
F4,
FRN,
0.442%,
Strip,
(1-month
USD
LIBOR
+
0.35%),
10/15/37
.........
8,579,831
8,674,516
4197,
KF,
FRN,
0.392%,
(1-month
USD
LIBOR
+
0.3%),
9/15/37
..............
3,682,066
3,702,516
4107,
KF,
FRN,
0.482%,
(1-month
USD
LIBOR
+
0.39%),
6/15/38
.............
4,386,354
4,420,979
4215,
KF,
FRN,
0.392%,
(1-month
USD
LIBOR
+
0.3%),
2/15/40
..............
3,704,976
3,723,246
4845,
QF,
FRN,
0.393%,
(1-month
USD
LIBOR
+
0.3%),
12/15/48
.............
7,548,154
7,584,298
4730,
WF,
FRN,
0.442%,
(1-month
USD
LIBOR
+
0.35%),
8/15/38
.............
6,833,927
6,881,417
a
FNMA
,
2019-38,
CF,
FRN,
0.539%,
(1-month
USD
LIBOR
+
0.45%),
7/25/49
...........
2,152,097
2,172,888
2020-54,
WF,
FRN,
0.542%,
(1-month
USD
LIBOR
+
0.45%),
8/25/50
..........
8,263,194
8,293,609
2021-36,
YF,
FRN,
0.21%,
(30-day
SOFR
Average
+
0.2%),
6/25/61
............
9,544,454
9,548,330
63,551,258
a
a
a
a
a
Total
Commercial
Mortgage-Backed
Securities
(Cost
$64,273,347)
................
64,406,947
Mortgage-Backed
Securities
82.5%
b
Federal
Home
Loan
Mortgage
Corp.
(FHLMC)
Adjustable
Rate
13.6%
FHLMC,
1.86%,
(12-month
USD
LIBOR
+/-
MBS
Margin),
1/01/36
...............
1,889,747
1,990,052
FHLMC,
1.947%,
(12-month
USD
LIBOR
+/-
MBS
Margin),
9/01/35
..............
3,071,235
3,215,846
FHLMC,
2.021%,
(12-month
USD
LIBOR
+/-
MBS
Margin),
10/01/43
.............
4,273,084
4,517,241
FHLMC,
2.042%,
(12-month
USD
LIBOR
+/-
MBS
Margin),
5/01/45
..............
3,373,915
3,519,643
FHLMC,
2.146%,
(12-month
USD
LIBOR
+/-
MBS
Margin),
7/01/43
..............
4,007,697
4,238,908
FHLMC,
2.171%,
(12-month
USD
LIBOR
+/-
MBS
Margin),
7/01/35
..............
3,618,927
3,844,110
FHLMC,
2.189%,
(12-month
USD
LIBOR
+/-
MBS
Margin),
9/01/37
..............
8,353,595
8,878,014
FHLMC,
2.232%,
(12-month
USD
LIBOR
+/-
MBS
Margin),
11/01/40
.............
2,049,583
2,179,410
FHLMC,
2.267%,
(12-month
USD
LIBOR
+/-
MBS
Margin),
6/01/37
..............
3,678,860
3,930,099
FHLMC,
2.291%,
(12-month
USD
LIBOR
+/-
MBS
Margin),
7/01/43
..............
4,141,622
4,389,532
FHLMC,
2.376%,
(1-year
CMT
T-Note
+/-
MBS
Margin),
3/01/35
................
2,110,361
2,249,943
FHLMC,
2.741%,
(12-month
USD
LIBOR
+/-
MBS
Margin),
1/01/44
..............
4,233,572
4,460,365
FHLMC,
1.7%
-
3.651%,
(12-month
USD
LIBOR
+/-
MBS
Margin),
8/01/33
-
11/01/41
42,539,349
44,869,023
92,282,186
Federal
Home
Loan
Mortgage
Corp.
(FHLMC)
Fixed
Rate
11.4%
FHLMC
Pool,
15
Year,
2%,
7/01/36
......................................
34,186,131
35,510,162
FHLMC
Pool,
15
Year,
2.5%,
3/01/35
.....................................
21,169,846
22,450,321
FHLMC
Pool,
15
Year,
2.5%,
3/01/35
.....................................
18,370,277
19,459,807
77,420,290
b
Federal
National
Mortgage
Association
(FNMA)
Adjustable
Rate
49.5%
FNMA,
1.752%,
(6-month
USD
LIBOR
+/-
MBS
Margin),
12/01/34
...............
2,533,445
2,634,322
FNMA,
1.825%,
(12-month
USD
LIBOR
+/-
MBS
Margin),
2/01/36
...............
3,076,412
3,228,905
FNMA,
1.923%,
(12-month
USD
LIBOR
+/-
MBS
Margin),
2/01/36
...............
2,026,241
2,137,961
FNMA,
1.991%,
(12-month
USD
LIBOR
+/-
MBS
Margin),
3/01/35
...............
3,830,886
4,040,113
FNMA,
2.006%,
(12-month
USD
LIBOR
+/-
MBS
Margin),
3/01/37
...............
2,267,022
2,393,593
FNMA,
2.021%,
(12-month
USD
LIBOR
+/-
MBS
Margin),
1/01/39
...............
2,949,713
3,108,306
FNMA,
2.03%,
(12-month
USD
LIBOR
+/-
MBS
Margin),
1/01/36
................
2,033,454
2,145,854
FNMA,
2.046%,
(12-month
USD
LIBOR
+/-
MBS
Margin),
9/01/38
...............
8,424,999
8,927,113
FNMA,
2.085%,
(12-month
USD
LIBOR
+/-
MBS
Margin),
4/01/47
...............
33,102,327
35,026,939
FNMA,
2.09%,
(12-month
USD
LIBOR
+/-
MBS
Margin),
7/01/42
................
5,271,620
5,589,325
FNMA,
2.092%,
(12-month
USD
LIBOR
+/-
MBS
Margin),
4/01/40
...............
5,227,569
5,534,036
FNMA,
2.109%,
(12-month
USD
LIBOR
+/-
MBS
Margin),
4/01/44
...............
70,452,474
74,794,719
FNMA,
2.158%,
(12-month
USD
LIBOR
+/-
MBS
Margin),
2/01/36
...............
2,075,919
2,196,079
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Adjustable
U.S.
Government
Securities
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
3
See
Abbreviations
on
page
104
.
a
a
Principal
Amount
a
Value
a
a
a
a
a
Mortgage-Backed
Securities
(continued)
b
Federal
National
Mortgage
Association
(FNMA)
Adjustable
Rate
(continued)
FNMA,
2.175%,
(12-month
USD
LIBOR
+/-
MBS
Margin),
1/01/37
...............
$
2,264,591
$
2,402,165
FNMA,
2.196%,
(12-month
USD
LIBOR
+/-
MBS
Margin),
11/01/34
..............
2,896,432
3,062,799
FNMA,
2.282%,
(1-year
CMT
T-Note
+/-
MBS
Margin),
1/01/38
.................
2,282,157
2,446,349
FNMA,
2.298%,
(1-year
CMT
T-Note
+/-
MBS
Margin),
6/01/36
.................
1,949,739
2,076,975
FNMA,
2.332%,
(1-year
CMT
T-Note
+/-
MBS
Margin),
5/01/36
.................
8,613,284
9,185,262
FNMA,
2.648%,
(12-month
USD
LIBOR
+/-
MBS
Margin),
9/01/45
...............
7,572,876
8,024,005
FNMA,
2.981%,
(COFI
11th
District
+/-
MBS
Margin),
4/01/34
..................
9,881,176
10,589,750
FNMA,
0.865%
-
6.12%,
(1-month
USD
LIBOR
+/-
MBS
Margin),
8/01/21
-
5/01/48
..
141,400,803
146,007,909
FNMA,
2.115%
-
6.31%,
(6-month
H15BDI
+/-
MBS
Margin),
12/01/21
-
11/01/34
....
64,024
65,270
335,617,749
Federal
National
Mortgage
Association
(FNMA)
Fixed
Rate
7.9%
FNMA,
15
Year,
2%,
7/01/36
...........................................
34,204,537
35,529,282
FNMA,
15
Year,
2.5%,
3/01/35
.........................................
10,589,103
11,190,817
FNMA,
15
Year,
2.5%,
4/01/36
.........................................
6,743,202
7,096,652
53,816,751
b
Government
National
Mortgage
Association
(GNMA)
Adjustable
Rate
0.1%
GNMA
II,
1.875%
-
2.25%,
(1-year
CMT
T-Note
+/-
MBS
Margin),
9/20/33
-
5/20/36
..
413,459
426,266
426,266
Total
Mortgage-Backed
Securities
(Cost
$557,042,299)
...........................
559,563,242
Total
Long
Term
Investments
(Cost
$621,315,646)
...............................
623,970,189
a
a
a
a
a
Short
Term
Investments
7.7%
Shares
a
Money
Market
Funds
5.0%
c,d
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0.01%
...................
33,934,610
33,934,610
Total
Money
Market
Funds
(Cost
$33,934,610)
..................................
33,934,610
Principal
Amount
Repurchase
Agreements
2.7%
e
Joint
Repurchase
Agreement,
0.026%,
8/02/21
(Maturity
Value
$17,998,676)
BNP
Paribas
Securities
Corp.
(Maturity
Value
$13,025,822)
Deutsche
Bank
Securities,
Inc.
(Maturity
Value
$1,809,407)
HSBC
Securities
(USA),
Inc.
(Maturity
Value
$3,163,447)
Collateralized
by
U.S.
Government
Agency
Securities,
3%
-
5%,
4/20/41
-
3/20/51;
U.S.
Treasury
Bond,
Index
Linked,
2.38%,
1/15/25;
and
U.S.
Treasury
Note,
2.25%,
4/30/24
(valued
at
$18,362,531)
.......................................
17,998,636
17,998,636
Total
Repurchase
Agreements
(Cost
$17,998,636)
...............................
17,998,636
Total
Short
Term
Investments
(Cost
$51,933,246
)
................................
51,933,246
a
Total
Investments
(Cost
$673,248,892)
99.7%
...................................
$675,903,435
Other
Assets,
less
Liabilities
0.3%
.............................................
2,639,750
Net
Assets
100.0%
...........................................................
$678,543,185
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Adjustable
U.S.
Government
Securities
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
4
a
The
coupon
rate
shown
represents
the
rate
inclusive
of
any
caps
or
floors,
if
applicable,
in
effect
at
period
end.
b
Adjustable
Rate
Mortgage-Backed
Security
(ARM);
the
rate
shown
is
the
effective
rate
at
period
end.
ARM
rates
are
not
based
on
a
published
reference
rate
and
spread,
but
instead
pass-through
weighted
average
interest
income
inclusive
of
any
caps
or
floors,
if
applicable,
from
the
underlying
mortgage
loans
in
which
the
majority
of
mortgages
pay
interest
based
on
the
index
shown
at
their
designated
reset
dates
plus
a
spread,
less
the
applicable
servicing
and
guaranty
fee
(MBS
margin).
c
See
Note
9
regarding
investments
in
affiliated
management
investment
companies.
d
The
rate
shown
is
the
annualized
seven-day
effective
yield
at
period
end.
e
Investment
is
through
participation
in
a
joint
account
with
other
funds
managed
by
the
investment
manager
or
an
affiliate
of
the
investment
manager.
At
July
31,
2021,
all
repurchase
agreements
had
been
entered
into
on
July
30,
2021.
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited),
July
31,
2021
Franklin
Convertible
Securities
Fund
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
5
a
a
Country
Shares
a
Value
a
a
a
a
a
a
Common
Stocks
3.3%
Diversified
Financial
Services
1.8%
Equitable
Holdings,
Inc.
.................................
United
States
3,075,915
$
94,953,496
Life
Sciences
Tools
&
Services
0.4%
a
Illumina,
Inc.
.........................................
United
States
44,744
22,181,838
Machinery
0.7%
Fortive
Corp.
.........................................
United
States
484,259
35,186,259
Multi-Utilities
0.4%
Sempra
Energy
.......................................
United
States
152,501
19,924,256
Total
Common
Stocks
(Cost
$150,040,624)
.....................................
172,245,849
Convertible
Preferred
Stocks
20.7%
Auto
Components
1.9%
Aptiv
plc,
5.5%,
A
.....................................
United
States
530,000
99,512,800
Capital
Markets
2.2%
KKR
&
Co.,
Inc.,
6%,
C
.................................
United
States
1,360,000
112,934,400
Chemicals
1.2%
International
Flavors
&
Fragrances,
Inc.,
6%
.................
United
States
1,192,242
60,732,808
Electric
Utilities
3.4%
American
Electric
Power
Co.,
Inc.,
6.125%
..................
United
States
440,000
22,118,800
American
Electric
Power
Co.,
Inc.,
6.125%
..................
United
States
600,000
31,842,000
NextEra
Energy,
Inc.,
5.279%
............................
United
States
1,100,000
56,474,000
PG&E
Corp.,
5.5%
....................................
United
States
430,000
38,880,600
Southern
Co.
(The),
6.75%,
2019
.........................
United
States
550,000
28,517,500
177,832,900
Food
Products
1.4%
Bunge
Ltd.,
4.875%
...................................
United
States
630,000
74,365,200
Health
Care
Equipment
&
Supplies
2.5%
Danaher
Corp.,
4.75%,
A
................................
United
States
54,000
107,608,500
Danaher
Corp.,
5%,
B
..................................
United
States
14,045
22,508,657
130,117,157
Health
Care
Technology
0.4%
Change
Healthcare,
Inc.,
6%
.............................
United
States
300,000
21,807,000
Life
Sciences
Tools
&
Services
1.8%
Avantor
,
Inc.,
6.25%,
A
.................................
United
States
820,000
94,833,000
Multi-Utilities
1.7%
DTE
Energy
Co.,
6.25%
................................
United
States
800,000
41,040,000
NiSource,
Inc.,
7.75%
..................................
United
States
450,000
47,430,000
88,470,000
Semiconductors
&
Semiconductor
Equipment
2.1%
Broadcom,
Inc.,
8%,
A
..................................
United
States
71,100
109,802,574
Water
Utilities
0.9%
Essential
Utilities,
Inc.,
6%
..............................
United
States
770,000
46,700,500
Wireless
Telecommunication
Services
1.2%
a,b
2020
Cash
Mandatory
Exchangeable
Trust,
144A,
5.25%
.......
United
States
48,000
60,285,120
a
Total
Convertible
Preferred
Stocks
(Cost
$797,467,872)
..........................
1,077,393,459
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Convertible
Securities
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
6
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
Convertible
Bonds
71.8%
Biotechnology
3.3%
Insmed
,
Inc.
,
Senior
Note
,
0.75
%
,
6/01/28
...................
United
States
46,000,000
$
46,920,000
Intercept
Pharmaceuticals,
Inc.
,
Senior
Note
,
2
%
,
5/15/26
.......
United
States
21,000,000
14,284,200
Neurocrine
Biosciences,
Inc.
,
Senior
Note
,
2.25
%
,
5/15/24
......
United
States
44,750,000
58,121,300
b
PTC
Therapeutics,
Inc.
,
Senior
Note
,
144A,
1.5
%
,
9/15/26
.......
United
States
48,000,000
50,203,200
169,528,700
Communications
Equipment
1.5%
Viavi
Solutions,
Inc.
,
Senior
Note,
1.75%,
6/01/23
...........................
United
States
40,969,000
53,258,221
Senior
Note,
1%,
3/01/24
.............................
United
States
20,000,000
27,062,500
80,320,721
Energy
Equipment
&
Services
0.5%
b
Oil
States
International,
Inc.
,
Senior
Note
,
144A,
4.75
%
,
4/01/26
..
United
States
28,000,000
26,243,928
Entertainment
3.5%
iQIYI
,
Inc.
,
Senior
Note,
3.75%,
12/01/23
..........................
China
40,000,000
38,676,000
Senior
Note,
2%,
4/01/25
.............................
China
26,000,000
22,139,000
Sea
Ltd.
,
Senior
Note
,
2.375
%
,
12/01/25
....................
Taiwan
26,000,000
80,969,200
b
Zynga,
Inc.
,
Senior
Note
,
144A,
Zero
Cpn
.,
12/15/26
...........
United
States
37,000,000
38,873,125
180,657,325
Equity
Real
Estate
Investment
Trusts
(REITs)
0.6%
Pebblebrook
Hotel
Trust
,
Senior
Note
,
1.75
%
,
12/15/26
.........
United
States
26,000,000
29,107,000
Health
Care
Equipment
&
Supplies
4.1%
DexCom
,
Inc.
,
Senior
Note
,
0.25
%
,
11/15/25
.................
United
States
79,000,000
89,961,250
b
Haemonetics
Corp.
,
Senior
Note
,
144A,
Zero
Cpn
.,
3/01/26
......
United
States
37,500,000
32,150,267
Insulet
Corp.
,
Senior
Note
,
0.375
%
,
9/01/26
.................
United
States
65,000,000
90,065,625
212,177,142
Health
Care
Providers
&
Services
0.8%
b
Accolade,
Inc.
,
Senior
Note
,
144A,
0.5
%
,
4/01/26
.............
United
States
19,000,000
22,254,700
b
Guardant
Health,
Inc.
,
Senior
Note
,
144A,
Zero
Cpn
.,
11/15/27
...
United
States
20,000,000
21,625,000
43,879,700
Hotels,
Restaurants
&
Leisure
2.2%
Booking
Holdings,
Inc.
,
Senior
Note,
0.9%,
9/15/21
............................
United
States
37,500,000
40,125,000
Senior
Note,
0.75%,
5/01/25
...........................
United
States
19,000,000
26,924,811
b
Vail
Resorts,
Inc.
,
Senior
Note
,
144A,
Zero
Cpn
.,
1/01/26
........
United
States
48,000,000
48,420,000
115,469,811
Interactive
Media
&
Services
3.5%
Snap,
Inc.
,
Senior
Note,
0.75%,
8/01/26
...........................
United
States
7,400,000
24,313,625
b
Senior
Note,
144A,
Zero
Cpn
.,
5/01/27
...................
United
States
46,000,000
53,038,000
Weibo
Corp.
,
Senior
Note
,
1.25
%
,
11/15/22
..................
China
53,000,000
50,615,000
Zillow
Group,
Inc.
,
Senior
Note
,
2.75
%
,
5/15/25
...............
United
States
31,500,000
56,322,000
184,288,625
Internet
&
Direct
Marketing
Retail
5.6%
b
Etsy,
Inc.
,
Senior
Note
,
144A,
0.125
%
,
9/01/27
...............
United
States
80,000,000
96,400,000
Pinduoduo
,
Inc.
,
Senior
Note
,
Zero
Cpn
.,
12/01/25
............
China
93,000,000
86,257,500
b
RealReal
,
Inc.
(The)
,
Senior
Note
,
144A,
1
%
,
3/01/28
..........
United
States
30,000,000
26,427,000
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Convertible
Securities
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
7
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
Convertible
Bonds
(continued)
Internet
&
Direct
Marketing
Retail
(continued)
b
Wayfair,
Inc.
,
Senior
Note
,
144A,
0.625
%
,
10/01/25
............
United
States
85,000,000
$
82,875,000
291,959,500
IT
Services
7.6%
Okta
,
Inc.
,
Senior
Note
,
0.125
%
,
9/01/25
....................
United
States
73,000,000
106,543,500
b
Repay
Holdings
Corp.
,
Senior
Note
,
144A,
Zero
Cpn
.,
2/01/26
....
United
States
19,000,000
19,023,750
b
Shift4
Payments,
Inc.
,
Senior
Note,
144A,
Zero
Cpn
.,
12/15/25
..................
United
States
36,000,000
46,890,000
Senior
Note,
144A,
0.5%,
8/01/27
.......................
United
States
35,000,000
36,421,875
b
Square,
Inc.
,
Senior
Note,
144A,
Zero
Cpn
.,
5/01/26
...................
United
States
39,500,000
45,054,688
Senior
Note,
144A,
0.25%,
11/01/27
.....................
United
States
45,000,000
53,212,500
Wix.com
Ltd.
,
Senior
Note,
Zero
Cpn
.,
7/01/23
........................
Israel
34,800,000
73,549,800
b
Senior
Note,
144A,
Zero
Cpn
.,
8/15/25
...................
Israel
15,400,000
16,855,300
397,551,413
Life
Sciences
Tools
&
Services
0.8%
c
Illumina,
Inc.
,
Senior
Note
,
Zero
Cpn
.,
8/15/23
................
United
States
25,750,000
32,670,312
NeoGenomics
,
Inc.
,
Senior
Note
,
0.25
%
,
1/15/28
.............
United
States
9,500,000
9,375,313
42,045,625
Machinery
0.8%
Fortive
Corp.
,
Senior
Note
,
0.875
%
,
2/15/22
.................
United
States
40,270,000
40,511,620
Media
3.8%
b
Cable
One,
Inc.
,
Senior
Note,
144A,
Zero
Cpn
.,
3/15/26
...................
United
States
48,750,000
48,676,875
Senior
Note,
144A,
1.125%,
3/15/28
.....................
United
States
26,250,000
26,712,535
b
Liberty
Broadband
Corp.
,
Senior
Bond,
144A,
1.25%,
9/30/50
......................
United
States
57,000,000
58,083,000
Senior
Bond,
144A,
2.75%,
9/30/50
......................
United
States
34,500,000
37,126,109
Liberty
Media
Corp.
,
Senior
Note
,
1.375
%
,
10/15/23
...........
United
States
21,200,000
28,269,660
198,868,179
Metals
&
Mining
1.5%
b
Ivanhoe
Mines
Ltd.
,
Senior
Note
,
144A,
2.5
%
,
4/15/26
..........
Canada
60,000,000
75,327,099
Pharmaceuticals
2.3%
Jazz
Investments
I
Ltd.
,
Senior
Note,
1.5%,
8/15/24
............................
United
States
39,750,000
43,032,183
Senior
Note,
2%,
6/15/26
.............................
United
States
35,000,000
45,500,000
Revance
Therapeutics,
Inc.
,
Senior
Note
,
1.75
%
,
2/15/27
.......
United
States
27,000,000
31,308,468
119,840,651
Road
&
Rail
2.4%
Lyft,
Inc.
,
Senior
Note
,
1.5
%
,
5/15/25
.......................
United
States
61,000,000
97,661,000
b
Uber
Technologies,
Inc.
,
Senior
Note
,
144A,
Zero
Cpn
.,
12/15/25
..
United
States
30,000,000
29,415,000
127,076,000
Semiconductors
&
Semiconductor
Equipment
4.0%
b
MACOM
Technology
Solutions
Holdings,
Inc.
,
Senior
Note
,
144A,
0.25
%
,
3/15/26
.....................................
United
States
31,000,000
32,201,250
Microchip
Technology,
Inc.
,
Senior
Sub.
Bond
,
1.625
%
,
2/15/27
...
United
States
39,750,000
85,041,150
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Convertible
Securities
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
8
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
Convertible
Bonds
(continued)
Semiconductors
&
Semiconductor
Equipment
(continued)
Silicon
Laboratories,
Inc.
,
Senior
Note
,
0.625
%
,
6/15/25
........
United
States
68,000,000
$
92,439,200
209,681,600
Software
19.9%
Alteryx
,
Inc.
,
Senior
Note,
0.5%,
8/01/24
............................
United
States
20,000,000
19,012,000
Senior
Note,
1%,
8/01/26
.............................
United
States
20,000,000
18,526,000
Atlassian
,
Inc.
,
Senior
Note
,
0.625
%
,
5/01/23
................
United
States
21,500,000
85,689,490
b
Bill.com
Holdings,
Inc.
,
Senior
Note
,
144A,
Zero
Cpn
.,
12/01/25
...
United
States
66,000,000
96,112,500
Blackline,
Inc.
,
Senior
Note
,
0.125
%
,
8/01/24
.................
United
States
9,500,000
15,538,437
Coupa
Software,
Inc.
,
Senior
Note
,
0.375
%
,
6/15/26
...........
United
States
74,000,000
79,439,000
b
DocuSign,
Inc.
,
Senior
Note
,
144A,
Zero
Cpn
.,
1/15/24
.........
United
States
76,000,000
81,358,000
Envestnet
,
Inc.
,
Senior
Note,
1.75%,
6/01/23
...........................
United
States
51,500,000
63,087,500
b
Senior
Note,
144A,
0.75%,
8/15/25
......................
United
States
11,500,000
11,442,500
Guidewire
Software,
Inc.
,
Senior
Note
,
1.25
%
,
3/15/25
.........
United
States
44,000,000
52,057,500
HubSpot
,
Inc.
,
Senior
Note
,
0.375
%
,
6/01/25
.................
United
States
55,500,000
119,429,063
Palo
Alto
Networks,
Inc.
,
Senior
Note
,
0.75
%
,
7/01/23
..........
United
States
43,000,000
66,542,500
b
Q2
Holdings,
Inc.
,
Senior
Note
,
144A,
0.125
%
,
11/15/25
........
United
States
56,000,000
56,029,411
Splunk
,
Inc.
,
Senior
Note,
1.125%,
9/15/25
..........................
United
States
22,500,000
27,253,125
Senior
Note,
1.125%,
6/15/27
..........................
United
States
6,500,000
6,353,750
Workday,
Inc.
,
Senior
Note
,
0.25
%
,
10/01/22
.................
United
States
57,500,000
93,328,250
Workiva
,
Inc.
,
Senior
Note
,
1.125
%
,
8/15/26
.................
United
States
22,000,000
38,114,376
Zendesk
,
Inc.
,
Senior
Note
,
0.625
%
,
6/15/25
.................
United
States
80,000,000
109,448,000
1,038,761,402
Specialty
Retail
3.1%
Burlington
Stores,
Inc.
,
Senior
Note
,
2.25
%
,
4/15/25
...........
United
States
53,000,000
86,853,750
RH
,
Senior
Note
,
Zero
Cpn
.,
9/15/24
.......................
United
States
24,000,000
75,257,854
162,111,604
Total
Convertible
Bonds
(Cost
$2,984,953,905)
..................................
3,745,407,645
Total
Long
Term
Investments
(Cost
$3,932,462,401)
.............................
4,995,046,953
a
Short
Term
Investments
4.6%
a
a
Country
Shares
a
Value
a
Money
Market
Funds
4.1%
d,e
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0.01%
.....
United
States
216,952,205
216,952,205
Total
Money
Market
Funds
(Cost
$216,952,205)
.................................
216,952,205
Investments
from
Cash
Collateral
Received
for
Loaned
Securities
0.5%
a
a
a
a
a
Money
Market
Funds
0.4%
d,e
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0.01%
.....
United
States
19,930,000
19,930,000
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Convertible
Securities
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
9
See
Abbreviations
on
page
104
.
Short
Term
Investments
(continued)
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
Repurchase
Agreements
0.1%
f
Joint
Repurchase
Agreement,
BofA
Securities,
Inc.,
0.05%,
8/02/21
(Maturity
Value
$4,209,357)
Collateralized
by
U.S.
Treasury
Note,
0.125%,
10/31/22
(valued
at
$4,293,529)
........................................
4,209,339
$
4,209,339
Total
Investments
from
Cash
Collateral
Received
for
Loaned
Securities
(Cost
$24,139,339)
...........................................................
24,139,339
Total
Short
Term
Investments
(Cost
$241,091,544
)
...............................
241,091,544
a
Total
Investments
(Cost
$4,173,553,945)
100.4%
................................
$5,236,138,497
Other
Assets,
less
Liabilities
(0.4)%
...........................................
(24,584,007)
Net
Assets
100.0%
...........................................................
$5,211,554,490
*
The
principal
amount
is
stated
in
U.S.
dollars
unless
otherwise
indicated.
a
Non-income
producing.
b
Security
was
purchased
pursuant
to
Rule
144A
or
Regulation
S
under
the
Securities
Act
of
1933.
144A
securities
may
be
sold
in
transactions
exempt
from
registration
only
to
qualified
institutional
buyers
or
in
a
public
offering
registered
under
the
Securities
Act
of
1933.
Regulation
S
securities
cannot
be
sold
in
the
United
States
without
either
an
effective
registration
statement
filed
pursuant
to
the
Securities
Act
of
1933,
or
pursuant
to
an
exemption
from
registration.
At
July
31,
2021,
the
aggregate
value
of
these
securities
was
$1,328,737,732,
representing
25.5%
of
net
assets.
c
A
portion
or
all
of
the
security
is
on
loan
at
July
31,
2021.
d
See
Note
9
regarding
investments
in
affiliated
management
investment
companies.
e
The
rate
shown
is
the
annualized
seven-day
effective
yield
at
period
end.
f
Investment
is
through
participation
in
a
joint
account
with
other
funds
managed
by
the
investment
manager
or
an
affiliate
of
the
investment
manager.
At
July
31,
2021,
all
repurchase
agreements
had
been
entered
into
on
July
30,
2021.
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited),
July
31,
2021
Franklin
Equity
Income
Fund
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
10
a
a
Country
Shares
a
Value
a
a
a
a
a
a
Common
Stocks
83.5%
Aerospace
&
Defense
3.7%
Lockheed
Martin
Corp.
.................................
United
States
82,000
$
30,476,940
Raytheon
Technologies
Corp.
............................
United
States
1,128,500
98,123,075
128,600,015
Air
Freight
&
Logistics
2.5%
United
Parcel
Service,
Inc.,
B
............................
United
States
450,000
86,112,000
Banks
9.9%
Bank
of
America
Corp.
.................................
United
States
2,740,000
105,106,400
Citigroup,
Inc.
........................................
United
States
780,000
52,743,600
JPMorgan
Chase
&
Co.
.................................
United
States
895,000
135,843,100
Truist
Financial
Corp.
..................................
United
States
875,000
47,626,250
341,319,350
Beverages
3.7%
Coca-Cola
Co.
(The)
...................................
United
States
1,150,000
65,584,500
PepsiCo,
Inc.
........................................
United
States
388,000
60,896,600
126,481,100
Capital
Markets
8.4%
Apollo
Global
Management,
Inc.
..........................
United
States
825,000
48,559,500
Ares
Management
Corp.
................................
United
States
830,000
59,436,300
BlackRock,
Inc.
.......................................
United
States
61,800
53,591,106
Morgan
Stanley
.......................................
United
States
1,350,000
129,573,000
291,159,906
Chemicals
3.6%
BASF
SE
...........................................
Germany
355,000
27,896,552
Huntsman
Corp.
......................................
United
States
1,320,000
34,861,200
Linde
plc
............................................
United
Kingdom
95,500
29,355,745
Sherwin-Williams
Co.
(The)
..............................
United
States
113,500
33,031,905
125,145,402
Commercial
Services
&
Supplies
1.6%
Republic
Services,
Inc.
.................................
United
States
467,000
55,274,120
Communications
Equipment
0.6%
Cisco
Systems,
Inc.
...................................
United
States
375,000
20,763,750
Diversified
Telecommunication
Services
1.4%
TELUS
Corp.
........................................
Canada
645,000
14,321,274
Verizon
Communications,
Inc.
............................
United
States
615,000
34,304,700
48,625,974
Electric
Utilities
6.1%
Duke
Energy
Corp.
....................................
United
States
888,500
93,390,235
Entergy
Corp.
........................................
United
States
285,000
29,332,200
NextEra
Energy,
Inc.
...................................
United
States
961,250
74,881,375
Xcel
Energy,
Inc.
......................................
United
States
185,000
12,626,250
210,230,060
Electrical
Equipment
2.5%
Eaton
Corp.
plc
.......................................
United
States
346,500
54,764,325
Emerson
Electric
Co.
..................................
United
States
305,000
30,771,450
85,535,775
Equity
Real
Estate
Investment
Trusts
(REITs)
1.3%
Prologis,
Inc.
.........................................
United
States
240,000
30,729,600
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Equity
Income
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
11
a
a
Country
Shares
a
Value
a
a
a
a
a
a
Common
Stocks
(continued)
Equity
Real
Estate
Investment
Trusts
(REITs)
(continued)
Public
Storage
.......................................
United
States
44,000
$
13,749,120
44,478,720
Food
&
Staples
Retailing
1.2%
Walmart,
Inc.
........................................
United
States
300,500
42,836,275
Health
Care
Equipment
&
Supplies
2.9%
Medtronic
plc
........................................
United
States
753,500
98,942,085
Health
Care
Providers
&
Services
2.6%
HCA
Healthcare,
Inc.
...................................
United
States
165,000
40,953,000
UnitedHealth
Group,
Inc.
................................
United
States
115,000
47,405,300
88,358,300
Hotels,
Restaurants
&
Leisure
1.6%
McDonald's
Corp.
.....................................
United
States
223,000
54,124,330
Household
Products
2.4%
Procter
&
Gamble
Co.
(The)
.............................
United
States
595,000
84,626,850
Insurance
0.5%
Arthur
J
Gallagher
&
Co.
................................
United
States
131,500
18,319,265
IT
Services
1.3%
Fidelity
National
Information
Services,
Inc.
...................
United
States
133,000
19,823,650
Visa,
Inc.,
A
..........................................
United
States
100,000
24,639,000
44,462,650
Life
Sciences
Tools
&
Services
0.5%
Thermo
Fisher
Scientific,
Inc.
............................
United
States
34,000
18,360,340
Machinery
2.2%
Fortive
Corp.
.........................................
United
States
462,508
33,605,831
Illinois
Tool
Works,
Inc.
.................................
United
States
100,000
22,667,000
Stanley
Black
&
Decker,
Inc.
.............................
United
States
92,500
18,227,125
74,499,956
Media
1.9%
Comcast
Corp.,
A
.....................................
United
States
1,125,000
66,183,750
Multiline
Retail
2.8%
Target
Corp.
.........................................
United
States
372,500
97,241,125
Oil,
Gas
&
Consumable
Fuels
4.8%
Canadian
Natural
Resources
Ltd.
.........................
Canada
715,000
23,609,300
Chevron
Corp.
.......................................
United
States
707,000
71,979,670
Royal
Dutch
Shell
plc,
ADR,
A
............................
Netherlands
890,000
36,151,800
Suncor
Energy,
Inc.
....................................
Canada
1,800,000
35,334,000
167,074,770
Pharmaceuticals
5.0%
Johnson
&
Johnson
...................................
United
States
641,500
110,466,300
Merck
&
Co.,
Inc.
.....................................
United
States
240,000
18,448,800
Pfizer,
Inc.
...........................................
United
States
990,000
42,381,900
171,297,000
Road
&
Rail
1.4%
Norfolk
Southern
Corp.
.................................
United
States
192,300
49,580,709
Semiconductors
&
Semiconductor
Equipment
1.9%
Broadcom,
Inc.
.......................................
United
States
43,500
21,114,900
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Equity
Income
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
12
a
a
Country
Shares
a
Value
a
a
a
a
a
a
Common
Stocks
(continued)
Semiconductors
&
Semiconductor
Equipment
(continued)
Texas
Instruments,
Inc.
.................................
United
States
233,000
$
44,414,460
65,529,360
Software
2.1%
Microsoft
Corp.
.......................................
United
States
138,500
39,460,035
Oracle
Corp.
.........................................
United
States
370,000
32,241,800
71,701,835
Specialty
Retail
2.5%
Lowe's
Cos.,
Inc.
......................................
United
States
250,000
48,172,500
TJX
Cos.,
Inc.
(The)
...................................
United
States
560,000
38,533,600
86,706,100
Technology
Hardware,
Storage
&
Peripherals
0.6%
Apple,
Inc.
..........................................
United
States
133,000
19,399,380
Total
Common
Stocks
(Cost
$1,793,818,119)
....................................
2,882,970,252
Equity-Linked
Securities
8.5%
Banks
0.8%
a
Royal
Bank
of
Canada
into
Bank
of
America
Corp.,
144A,
7.75%,
11/01/21
..........................................
United
States
902,000
26,421,578
Chemicals
0.6%
a
Goldman
Sachs
International
Bank
into
Linde
plc,
144A,
6.5%,
10/25/21
..........................................
United
Kingdom
80,150
21,847,633
Electrical
Equipment
0.5%
a
Royal
Bank
of
Canada
into
Eaton
Corp.
plc,
144A,
7%,
8/30/21
...
United
States
118,600
16,785,490
Equity
Real
Estate
Investment
Trusts
(REITs)
0.7%
a
Royal
Bank
of
Canada
into
Healthpeak
Properties,
Inc.,
144A,
9.5%,
12/01/21
..........................................
United
States
660,000
22,987,795
Food
&
Staples
Retailing
0.7%
a
Citigroup
Global
Markets
Holdings,
Inc.
into
Tesco
plc,
144A,
6.5%,
1/10/22
...........................................
United
Kingdom
149,700
23,896,922
Health
Care
Providers
&
Services
0.8%
a
Royal
Bank
of
Canada
into
HCA
Healthcare,
Inc.,
Senior
Note
,
144A,
6%,
7/15/22
........................................
United
States
130,400
29,343,687
Internet
&
Direct
Marketing
Retail
0.9%
a
Credit
Suisse
AG
into
Amazon.com,
Inc.,
144A,
5%,
4/22/22
.....
United
States
9,650
31,852,514
IT
Services
0.9%
a
Credit
Suisse
AG
into
Visa,
Inc.,
144A,
5%,
11/30/21
...........
United
States
70,500
16,244,716
a
Royal
Bank
of
Canada
into
Fidelity
National
Information
Services,
Inc.,
144A,
5%,
5/27/22
...............................
United
States
109,700
16,338,383
32,583,099
Life
Sciences
Tools
&
Services
0.7%
a
Credit
Suisse
AG
into
Thermo
Fisher
Scientific,
Inc.,
144A,
4.5%,
8/05/22
...........................................
United
States
43,000
22,550,672
Machinery
0.8%
a
Credit
Suisse
AG
into
Stanley
Black
&
Decker,
Inc.,
144A,
6.5%,
3/31/22
...........................................
United
States
133,000
26,316,002
Multiline
Retail
0.5%
a
Barclays
Bank
plc
into
Dollar
Tree,
Inc.,
144A,
5.5%,
1/14/22
.....
United
States
185,800
18,921,245
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Equity
Income
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
13
a
a
Country
Shares
a
Value
a
a
a
a
a
a
Equity-Linked
Securities
(continued)
Specialty
Retail
0.6%
a
Citigroup
Global
Markets
Holdings,
Inc.
into
TJX
Cos.,
Inc.
(The),
144A,
6.5%,
9/14/21
.................................
United
States
321,500
$
20,954,928
Total
Equity-Linked
Securities
(Cost
$270,692,981)
..............................
294,461,565
Convertible
Preferred
Stocks
6.0%
Capital
Markets
0.5%
KKR
&
Co.,
Inc.,
6%,
C
.................................
United
States
220,000
18,268,800
Health
Care
Equipment
&
Supplies
3.2%
b
Becton
Dickinson
and
Co.,
6%,
B
.........................
United
States
636,500
35,784,030
Boston
Scientific
Corp.,
5.5%,
A
..........................
United
States
180,000
22,114,800
Danaher
Corp.,
4.75%,
A
................................
United
States
22,500
44,836,875
Danaher
Corp.,
5%,
B
..................................
United
States
5,552
8,897,691
111,633,396
Semiconductors
&
Semiconductor
Equipment
1.4%
Broadcom,
Inc.,
8%,
A
..................................
United
States
31,500
48,646,710
Water
Utilities
0.9%
Essential
Utilities,
Inc.,
6%
..............................
United
States
475,000
28,808,750
Total
Convertible
Preferred
Stocks
(Cost
$163,424,921)
..........................
207,357,656
Total
Long
Term
Investments
(Cost
$2,227,936,021)
.............................
3,384,789,473
a
Short
Term
Investments
2.0%
a
a
Country
Shares
a
Value
a
Money
Market
Funds
1.8%
c,d
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0.01%
.....
United
States
61,265,300
61,265,300
Total
Money
Market
Funds
(Cost
$61,265,300)
..................................
61,265,300
Investments
from
Cash
Collateral
Received
for
Loaned
Securities
0.2%
a
a
a
a
a
Money
Market
Funds
0.2%
c,d
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0.01%
.....
United
States
5,965,000
5,965,000
Principal
Amount
*
Repurchase
Agreements
0.0%
e
Joint
Repurchase
Agreement,
BofA
Securities,
Inc.,
0.05%,
8/02/21
(Maturity
Value
$1,492,194)
Collateralized
by
U.S.
Treasury
Note,
0.125%,
10/31/22
(valued
at
$1,522,033)
........................................
1,492,188
1,492,188
Total
Investments
from
Cash
Collateral
Received
for
Loaned
Securities
(Cost
$7,457,188)
............................................................
7,457,188
Total
Short
Term
Investments
(Cost
$68,722,488
)
................................
68,722,488
a
Total
Investments
(Cost
$2,296,658,509)
100.0%
................................
$3,453,511,961
Other
Assets,
less
Liabilities
(0.0)%
...........................................
(662,718)
Net
Assets
100.0%
...........................................................
$3,452,849,243
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Equity
Income
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
14
See
Abbreviations
on
page
104
.
*
The
principal
amount
is
stated
in
U.S.
dollars
unless
otherwise
indicated.
Rounds
to
less
than
0.1%
of
net
assets.
a
Security
was
purchased
pursuant
to
Rule
144A
or
Regulation
S
under
the
Securities
Act
of
1933.
144A
securities
may
be
sold
in
transactions
exempt
from
registration
only
to
qualified
institutional
buyers
or
in
a
public
offering
registered
under
the
Securities
Act
of
1933.
Regulation
S
securities
cannot
be
sold
in
the
United
States
without
either
an
effective
registration
statement
filed
pursuant
to
the
Securities
Act
of
1933,
or
pursuant
to
an
exemption
from
registration.
At
July
31,
2021,
the
aggregate
value
of
these
securities
was
$294,461,565,
representing
8.5%
of
net
assets.
b
A
portion
or
all
of
the
security
is
on
loan
at
July
31,
2021.
c
See
Note
9
regarding
investments
in
affiliated
management
investment
companies.
d
The
rate
shown
is
the
annualized
seven-day
effective
yield
at
period
end.
e
Investment
is
through
participation
in
a
joint
account
with
other
funds
managed
by
the
investment
manager
or
an
affiliate
of
the
investment
manager.
At
July
31,
2021,
all
repurchase
agreements
had
been
entered
into
on
July
30,
2021.
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited),
July
31,
2021
Franklin
Floating
Rate
Daily
Access
Fund
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
15
a
a
Country
Shares
a
Value
a
a
a
a
a
a
Common
Stocks
3.4%
Hotels,
Restaurants
&
Leisure
0.1%
a
24
Hour
Fitness
Worldwide,
Inc.
..........................
United
States
287,830
$
671,651
Machinery
0.9%
a
UTEX
Industries,
Inc.
..................................
United
States
261,340
11,498,960
Paper
&
Forest
Products
2.4%
a,b,c,d
Appvion
Operations,
Inc.
................................
United
States
1,219,956
29,876,200
Road
&
Rail
0.0%
a,b
Onsite
Rental
Group
Operations
Pty.
Ltd.
...................
Australia
11,563,612
Total
Common
Stocks
(Cost
$40,046,446)
......................................
42,046,811
Management
Investment
Companies
3.4%
Capital
Markets
3.4%
e
Franklin
Floating
Rate
Income
Fund
.......................
United
States
4,630,114
36,624,200
f
Invesco
Senior
Loan
ETF
...............................
United
States
280,416
6,177,565
42,801,765
Total
Management
Investment
Companies
(Cost
$51,562,905)
....................
42,801,765
Preferred
Stocks
0.2%
Hotels,
Restaurants
&
Leisure
0.2%
a
24
Hour
Fitness
Worldwide,
Inc.
..........................
United
States
681,685
2,045,055
a
Total
Preferred
Stocks
(Cost
$919,936)
.........................................
2,045,055
Rights
Rights
0.1%
Energy
Equipment
&
Services
0.1%
a,b,g
Fieldwood
Energy,
Inc.,
2/20/49
...........................
United
States
26,230
1,456,552
Total
Rights
(Cost
$1,456,589)
................................................
1,456,552
Warrants
Warrants
0.0%
Machinery
0.0%
a,b
UTEX
Industries,
Inc.,
2/20/49
............................
United
States
634
1,099
Total
Warrants
(Cost
$—)
.....................................................
1,099
Principal
Amount
*
Corporate
Bonds
4.7%
Airlines
1.1%
h
American
Airlines
Inc
/
AAdvantage
Loyalty
IP
Ltd.
,
Senior
Secured
Note
,
144A,
5.5
%
,
4/20/26
.............................
United
States
5,800,000
6,075,500
h
Delta
Air
Lines,
Inc.
/
SkyMiles
IP
Ltd.
,
Senior
Secured
Note
,
144A,
4.5
%
,
10/20/25
.....................................
United
States
6,000,000
6,453,440
h
United
Airlines,
Inc.
,
Senior
Secured
Note
,
144A,
4.375
%
,
4/15/26
.
United
States
585,000
602,626
13,131,566
Chemicals
0.3%
h
SCIH
Salt
Holdings,
Inc.
,
Senior
Secured
Note
,
144A,
4.875
%
,
5/01/28
...........................................
United
States
3,900,000
3,906,396
Construction
Materials
0.3%
h
Cemex
SAB
de
CV
,
Senior
Secured
Bond
,
144A,
5.2
%
,
9/17/30
..
Mexico
3,875,000
4,251,728
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Floating
Rate
Daily
Access
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
16
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
Corporate
Bonds
(continued)
Containers
&
Packaging
0.2%
h
Reynolds
Group
Issuer,
Inc.
/
Reynolds
Group
Issuer
LLC
/
Reynolds
Group
Issuer
Luxembourg
SA
,
Senior
Secured
Note
,
144A,
4
%
,
10/15/27
..........................................
United
States
2,500,000
$
2,500,000
Diversified
Telecommunication
Services
0.2%
h
Altice
France
SA
,
Senior
Secured
Note
,
144A,
5.125
%
,
7/15/29
...
France
2,000,000
2,017,320
Hotels,
Restaurants
&
Leisure
0.1%
h
International
Game
Technology
plc
,
Senior
Secured
Note
,
144A,
5.25
%
,
1/15/29
.....................................
United
States
500,000
534,390
Independent
Power
and
Renewable
Electricity
Producers
0.1%
h
Talen
Energy
Supply
LLC
,
Senior
Secured
Note
,
144A,
6.625
%
,
1/15/28
...........................................
United
States
1,556,000
1,384,895
Media
0.5%
h
Diamond
Sports
Group
LLC
/
Diamond
Sports
Finance
Co.
,
Senior
Secured
Note
,
144A,
5.375
%
,
8/15/26
....................
United
States
5,300,000
3,080,625
h
Sinclair
Television
Group,
Inc.
,
Senior
Secured
Note
,
144A,
4.125
%
,
12/01/30
..........................................
United
States
1,900,000
1,846,163
h
Univision
Communications,
Inc.
,
Senior
Secured
Note
,
144A,
5.125
%
,
2/15/25
.....................................
United
States
1,555,556
1,582,685
6,509,473
Oil,
Gas
&
Consumable
Fuels
0.2%
Cheniere
Energy,
Inc.
,
Senior
Secured
Note
,
4.625
%
,
10/15/28
...
United
States
2,400,000
2,536,824
Road
&
Rail
1.6%
h
First
Student
Bidco
,
Inc.
/
First
Transit
Parent,
Inc.
,
Senior
Secured
Note
,
144A,
4
%
,
7/31/29
..............................
United
States
500,000
501,250
b,i
Onsite
Rental
Group
Operations
Pty.
Ltd.
,
PIK,
6.1
%
,
10/26/23
...
Australia
21,096,262
19,870,734
20,371,984
Wireless
Telecommunication
Services
0.1%
h
Vmed
O2
UK
Financing
I
plc
,
Senior
Secured
Bond
,
144A,
4.25
%
,
1/31/31
...........................................
United
Kingdom
1,430,000
1,419,389
Total
Corporate
Bonds
(Cost
$62,057,699)
......................................
58,563,965
a
j
Senior
Floating
Rate
Interests
82.9%
Aerospace
&
Defense
1.6%
AI
Convoy
(Luxembourg)
SARL,
USD
Term
Loan,
B,
4.5%,
(6-month
USD
LIBOR
+
3.5%),
1/18/27
...........................
Luxembourg
3,612,415
3,614,293
i
Alloy
FinCo
Ltd.,
Term
Loan,
B,
14%,
PIK,
(3-month
USD
LIBOR
+
0.5%),
3/06/25
......................................
United
Kingdom
8,047,570
7,725,668
Dynasty
Acquisition
Co.,
Inc.,
2020
Term
Loan,
B1,
3.647%,
(3-month
USD
LIBOR
+
3.5%),
4/06/26
...........................................
United
States
5,342,454
5,175,502
2020
Term
Loan,
B2,
3.647%,
(3-month
USD
LIBOR
+
3.5%),
4/06/26
...........................................
United
States
2,872,287
2,782,528
19,297,991
a
a
a
a
a
a
Air
Freight
&
Logistics
0.4%
Kenan
Advantage
Group,
Inc.
(The),
U.S.
Term
Loan,
B1,
4.5%,
(1-month
USD
LIBOR
+
3.75%),
3/24/26
..................
United
States
4,370,428
4,371,805
Airlines
2.6%
AAdvantage
Loyalty
IP
Ltd.
(American
Airlines,
Inc.),
Initial
Term
Loan,
5.5%,
(3-month
USD
LIBOR
+
4.75%),
4/20/28
.........
United
States
3,548,233
3,653,350
g,k
Air
Canada,
Term
Loan,
B,
TBD,
7/27/28
....................
Canada
2,728,682
2,736,650
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Floating
Rate
Daily
Access
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
17
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
j
Senior
Floating
Rate
Interests
(continued)
Airlines
(continued)
Allegiant
Travel
Co.,
Replacement
Term
Loan,
3.156%,
(3-month
USD
LIBOR
+
3%),
2/05/24
............................
United
States
3,051,875
$
3,029,932
American
Airlines,
Inc.,
2017
Term
Loan,
B,
2.093%,
(1-month
USD
LIBOR
+
2%),
12/15/23
..........................................
United
States
1,979,381
1,936,825
2018
Replacement
Term
Loan,
1.836%,
(1-month
USD
LIBOR
+
1.75%),
6/27/25
.....................................
United
States
2,622,959
2,450,276
Delta
Air
Lines,
Inc.
/
SkyMiles
IP
Ltd.,
Initial
Term
Loan,
4.75%,
(3-month
USD
LIBOR
+
3.75%),
10/20/27
.................
United
States
4,371,107
4,623,670
Kestrel
Bidco
,
Inc.,
Term
Loan,
4%,
(3-month
USD
LIBOR
+
3%),
12/11/26
..........................................
Canada
10,043,178
9,720,290
United
AirLines
,
Inc.,
Term
Loan,
B,
4.5%,
(1-month
USD
LIBOR
+
3.75%),
4/21/28
.....................................
United
States
3,540,234
3,551,085
31,702,078
a
a
a
a
a
a
Auto
Components
2.1%
Adient
US
LLC,
Term
Loan,
B1,
3.592%,
(1-month
USD
LIBOR
+
3.5%),
4/10/28
......................................
United
States
6,500,000
6,503,250
Clarios
Global
LP,
First
Lien,
Amendment
No.
1
Dollar
Term
Loan,
3.342%,
(1-month
USD
LIBOR
+
3.25%),
4/30/26
............
United
States
5,588,936
5,554,005
First
Brands
Group
LLC,
First
Lien,
2021
Term
Loan,
6%,
(3-month
USD
LIBOR
+
5%),
3/30/27
............................
United
States
4,531,506
4,589,578
Highline
Aftermarket
Acquisition
LLC,
First
Lien,
Initial
Term
Loan,
5.25%,
(3-month
USD
LIBOR
+
4.5%),
11/09/27
.............
United
States
2,641,853
2,652,856
TI
Group
Automotive
Systems
LLC,
Refinancing
US
Term
Loan,
3.75%,
(3-month
USD
LIBOR
+
3.25%),
12/16/26
............
United
States
2,192,418
2,195,159
Truck
Hero,
Inc.,
Initial
Term
Loan,
4.5%,
(1-month
USD
LIBOR
+
3.75%),
1/31/28
.....................................
United
States
4,946,375
4,937,422
26,432,270
a
a
a
a
a
a
Automobiles
0.7%
g
American
Trailer
World
Corp.,
First
Lien,
Initial
Term
Loan,
4.5%,
(1-month
USD
LIBOR
+
3.75%),
3/03/28
..................
United
States
5,752,411
5,684,130
Thor
Industries,
Inc.,
Term
Loan,
B1,
3.125%,
(1-month
USD
LIBOR
+
3%),
2/01/26
......................................
United
States
3,000,000
3,005,640
8,689,770
a
a
a
a
a
a
Banks
0.9%
Finastra
Ltd.,
First
Lien,
Dollar
Term
Loan,
4.5%,
(3-month
USD
LIBOR
+
3.5%),
6/13/24
...............................
United
Kingdom
11,690,807
11,524,739
Beverages
0.6%
City
Brewing
Company
LLC,
First
Lien,
Closing
Date
Term
Loan,
4.25%,
(3-month
USD
LIBOR
+
3.5%),
4/05/28
..............
United
States
2,210,884
2,201,212
Triton
Water
Holdings,
Inc.,
First
Lien,
Initial
Term
Loan,
4%,
(3-month
USD
LIBOR
+
3.5%),
3/31/28
...................
United
States
4,821,466
4,791,043
6,992,255
a
a
a
a
a
a
Biotechnology
0.2%
Grifols
Worldwide
Operations
Ltd.,
Dollar
Term
Loan,
B,
2.084%,
(1-
week
USD
LIBOR
+
2%),
11/15/27
.......................
Ireland
2,275,214
2,247,559
Building
Products
0.2%
Cornerstone
Building
Brands,
Inc.,
Term
Loan,
B,
3.75%,
(1-month
USD
LIBOR
+
3.25%),
4/12/28
..........................
United
States
2,962,345
2,960,494
Capital
Markets
2.5%
Citadel
Securities
LP,
2021
Term
Loan,
2.592%,
(1-month
USD
LIBOR
+
2.5%),
2/02/28
...............................
United
States
4,289,250
4,221,844
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Floating
Rate
Daily
Access
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
18
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
j
Senior
Floating
Rate
Interests
(continued)
Capital
Markets
(continued)
Deerfield
Dakota
Holding
LLC,
First
Lien,
Initial
Dollar
Term
Loan,
4.75%,
(1-month
USD
LIBOR
+
3.75%),
4/09/27
.............
United
States
5,922,277
$
5,932,937
g
Edelman
Financial
Engines
Center
LLC
(The),
First
Lien,
2021
Initial
Term
Loan,
4.5%,
(1-month
USD
LIBOR
+
3.75%),
4/07/28
....
United
States
5,400,000
5,394,357
Jane
Street
Group
LLC,
Dollar
Term
Loan,
2.852%,
(1-week
USD
LIBOR
+
2.75%;
1-month
USD
LIBOR
+
2.75%),
1/26/28
......
United
States
1,122,174
1,106,744
Russell
Investments
US
Institutional
Holdco,
Inc.,
2025
Term
Loan,
4.5%,
(3-month
USD
LIBOR
+
3.5%),
5/30/25
..............
United
States
9,912,434
9,880,219
Vertical
Midco
GmbH,
USD
Term
Loan,
4.478%,
(6-month
USD
LIBOR
+
4.25%),
6/30/27
..............................
Germany
4,090,894
4,087,376
30,623,477
a
a
a
a
a
a
Chemicals
2.2%
ASP
Unifrax
Holdings,
Inc.,
First
Lien,
USD
Term
Loan,
3.897%,
(3-month
USD
LIBOR
+
3.75%),
12/12/25
.................
United
States
2,493,606
2,453,085
Cyanco
Intermediate
2
Corp.,
First
Lien,
Initial
Term
Loan,
3.592%,
(1-month
USD
LIBOR
+
3.5%),
3/16/25
...................
United
States
5,318,482
5,272,424
INEOS
Styrolution
Group
GmbH,
2026
Dollar
Term
Loan,
B,
3.25%,
(1-month
USD
LIBOR
+
2.75%),
1/29/26
..................
United
Kingdom
1,873,332
1,870,522
Lummus
Technology
Holdings
V
LLC,
2021
Refinancing
Term
Loan,
B,
3.592%,
(1-month
USD
LIBOR
+
3.5%),
6/30/27
..........
United
States
3,339,573
3,316,346
NIC
Acquisition
Corp.,
First
Lien,
Initial
Term
Loan,
4.5%,
(3-month
USD
LIBOR
+
3.75%),
12/29/27
.........................
United
States
4,609,411
4,592,126
Nouryon
Finance
BV,
Initial
Dollar
Term
Loan,
2.835%,
(1-month
USD
LIBOR
+
2.75%),
10/01/25
.........................
Netherlands
1,655,189
1,637,015
SCIH
Salt
Holdings,
Inc.,
First
Lien,
Incremental
Term
Loan,
B1,
4.75%,
(3-month
USD
LIBOR
+
4%),
3/16/27
...............
United
States
5,938,152
5,946,643
g,k
Sparta
U.S.
Holdco
LLC,
First
Lien,
Initial
Term
Commitment
Term
Loan,
TBD,
8/02/28
..................................
United
States
2,515,625
2,518,241
27,606,402
a
a
a
a
a
a
Commercial
Services
&
Supplies
2.6%
Allied
Universal
Holdco
LLC,
Initial
U.S.
Dollar
Term
Loan,
4.25%,
(3-month
USD
LIBOR
+
3.75%),
5/12/28
..................
United
States
7,550,599
7,554,261
g
APX
Group,
Inc.,
Initial
Term
Loan,
4%,
(1-month
USD
LIBOR
+
3.5%),
7/10/28
......................................
United
States
2,830,065
2,813,085
g
CCI
Buyer,
Inc.,
First
Lien,
Initial
Term
Loan,
4.75%,
(3-month
USD
LIBOR
+
4%),
12/17/27
...............................
United
States
2,439,558
2,443,913
g
Madison
IAQ
LLC,
Term
Loan,
3.75%,
(3-month
USD
LIBOR
+
3.25%),
6/21/28
.....................................
United
States
5,007,107
4,970,881
Prime
Security
Services
Borrower
LLC,
First
Lien,
2021
Refinancing
Term
Loan,
B1,
3.5%,
(1-month
USD
LIBOR
+
2.75%;
3-month
USD
LIBOR
+
2.75%),
9/23/26
..........................
United
States
2,245,096
2,237,766
g
Spin
Holdco,
Inc.,
Initial
Term
Loan,
4.75%,
(3-month
USD
LIBOR
+
4%),
3/04/28
.......................................
United
States
1,900,000
1,900,950
Staples,
Inc.,
2019
Refinancing
New
Term
Loan,
B1,
5.176%,
(3-month
USD
LIBOR
+
5%),
4/16/26
................................
United
States
5,287,165
5,138,094
2019
Refinancing
New
Term
Loan,
B2,
4.676%,
(3-month
USD
LIBOR
+
4.5%),
9/12/24
...............................
United
States
5,486,005
5,407,637
32,466,587
a
a
a
a
a
a
Communications
Equipment
0.6%
CommScope
,
Inc.,
Initial
Term
Loan,
3.342%,
(1-month
USD
LIBOR
+
3.25%),
4/06/26
...................................
United
States
7,997,142
7,932,166
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Floating
Rate
Daily
Access
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
19
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
j
Senior
Floating
Rate
Interests
(continued)
Construction
&
Engineering
0.5%
g
USIC
Holdings,
Inc.,
First
Lien,
Initial
Term
Loan,
4.25%,
(1-month
USD
LIBOR
+
3.5%),
5/12/28
...........................
United
States
6,255,172
$
6,236,407
Construction
Materials
0.2%
White
Cap
Buyer
LLC,
Initial
Closing
Date
Term
Loan,
4.5%,
(1-month
USD
LIBOR
+
4%),
10/19/27
....................
United
States
2,977,500
2,984,021
Containers
&
Packaging
1.6%
BWay
Holding
Co.,
Initial
Term
Loan,
3.342%,
(1-month
USD
LIBOR
+
3.25%),
4/03/24
...................................
United
States
10,437,415
10,123,458
g
Charter
Next
Generation,
Inc.,
First
Lien,
2021
Initial
Term
Loan,
4.5%,
(1-month
USD
LIBOR
+
3.75%),
12/01/27
.............
United
States
4,869,209
4,871,230
Kleopatra
Finco
SARL,
USD
Term
Loan,
B,
5.25%,
(3-month
USD
LIBOR
+
4.75%),
2/12/26
..............................
Luxembourg
4,726,068
4,733,441
19,728,129
a
a
a
a
a
a
Diversified
Consumer
Services
1.2%
KUEHG
Corp.,
Term
Loan,
B3,
4.75%,
(3-month
USD
LIBOR
+
3.75%),
2/21/25
.....................................
United
States
5,068,757
4,974,073
Learning
Care
Group
(US)
No.
2,
Inc.,
First
Lien,
Initial
Term
Loan,
4.25%,
(3-month
USD
LIBOR
+
3.25%),
3/13/25
.............
United
States
1,950,000
1,909,167
Sedgwick
Claims
Management
Services,
Inc.
(Lightning
Cayman
Merger
Sub
Ltd.),
Initial
Term
Loan,
3.342%,
(1-month
USD
LIBOR
+
3.25%),
12/31/25
..................................
United
States
1,682,741
1,658,661
WeddingWire
,
Inc.,
First
Lien,
Initial
Term
Loan,
4.628%,
(2-month
USD
LIBOR
+
4.5%;
3-month
USD
LIBOR
+
4.5%),
12/19/25
...
United
States
3,684,430
3,689,036
WW
International,
Inc.,
Initial
Term
Loan,
4%,
(1-month
USD
LIBOR
+
3.5%),
4/13/28
....................................
United
States
2,358,974
2,356,769
14,587,706
a
a
a
a
a
a
Diversified
Financial
Services
1.9%
g,k
AqGen
Ascensus
,
Inc.,
Term
Loan,
TBD,
5/19/28
..............
United
States
7,297,468
7,277,400
Jefferies
Finance
LLC,
Closing
Date
Term
Loan,
5.25%,
(3-month
USD
LIBOR
+
2%),
6/03/26
............................
United
States
2,977,435
2,967,193
g
MPH
Acquisition
Holdings
LLC,
Initial
Term
Loan,
3.75%,
(3-month
USD
LIBOR
+
2.75%),
6/07/23
..........................
United
States
4,550,000
4,523,633
Verscend
Holding
Corp.,
Term
Loan,
B1,
4.092%,
(1-month
USD
LIBOR
+
4%),
8/27/25
................................
United
States
9,308,760
9,305,269
24,073,495
a
a
a
a
a
a
Diversified
Telecommunication
Services
2.5%
Altice
France
SA,
USD
Incremental
Term
Loan,
B13,
4.155%,
(3-month
USD
LIBOR
+
4%),
8/14/26
.....................
France
4,403,288
4,398,709
Global
Tel*Link
Corp.,
First
Lien,
Term
Loan,
4.342%,
(1-month
USD
LIBOR
+
4.25%),
11/29/25
..........................................
United
States
14,254,610
13,207,751
Second
Lien,
Term
Loan,
8.342%,
(1-month
USD
LIBOR
+
8.25%),
11/29/26
..........................................
United
States
7,895,149
6,753,630
West
Corp.,
Initial
Term
Loan,
B,
5%,
(3-month
USD
LIBOR
+
4%),
10/10/24
..........................................
United
States
3,584,204
3,501,212
Zayo
Group
Holdings,
Inc.,
Initial
Dollar
Term
Loan,
3.092%,
(1-month
USD
LIBOR
+
3%),
3/09/27
.....................
United
States
3,755,569
3,699,573
31,560,875
a
a
a
a
a
a
Electric
Utilities
0.1%
Astoria
Energy
LLC,
Advance
(2020)
Term
Loan,
B,
4.5%,
(3-month
USD
LIBOR
+
3.5%),
12/10/27
..........................
United
States
1,417,875
1,415,989
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Floating
Rate
Daily
Access
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
20
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
j
Senior
Floating
Rate
Interests
(continued)
Electronic
Equipment,
Instruments
&
Components
0.1%
Verifone
Systems,
Inc.,
First
Lien,
Initial
Term
Loan,
4.147%,
(3-month
USD
LIBOR
+
4%),
8/20/25
.....................
United
States
1,786,224
$
1,747,374
Entertainment
2.8%
AMC
Entertainment
Holdings,
Inc.,
Term
Loan,
B1,
3.103%,
(1-month
USD
LIBOR
+
3%),
4/22/26
............................
United
States
1,994,898
1,777,813
Banijay
Entertainment
SAS,
USD
Term
Loan,
B,
3.851%,
(1-month
USD
LIBOR
+
3.75%),
3/01/25
..........................
France
5,222,045
5,213,089
g
Crown
Finance
US,
Inc.,
Initial
Dollar
Term
Loan,
3.5%,
(3-month
USD
LIBOR
+
2.5%),
2/28/25
...........................
United
States
2,981,460
2,427,848
Diamond
Sports
Group
LLC,
Term
Loan,
3.35%,
(1-month
USD
LIBOR
+
3.25%),
8/24/26
..............................
United
States
12,857,566
7,109,655
Lions
Gate
Capital
Holdings
LLC,
2023
Term
Loan,
A,
1.842%,
(1-month
USD
LIBOR
+
1.75%),
3/22/23
..................
United
States
14,172,606
14,066,312
William
Morris
Endeavor
Entertainment
LLC
(IMG
Worldwide
Holdings
LLC),
First
Lien,
Term
Loan,
B1,
2.85%,
(1-month
USD
LIBOR
+
2.75%),
5/18/25
..............................
United
States
4,369,960
4,257,608
34,852,325
a
a
a
a
a
a
Equity
Real
Estate
Investment
Trusts
(REITs)
0.3%
g
Brookfield
Property
REIT,
Inc.,
Initial
Term
Loan,
B,
2.592%,
(1-month
USD
LIBOR
+
2.5%),
8/27/25
...................
United
States
3,790,256
3,686,024
Food
&
Staples
Retailing
1.5%
GNC
Holdings,
Inc.,
Second
Lien,
Term
Loan,
6.103%,
(1-month
USD
LIBOR
+
6%),
10/07/26
...........................
United
States
18,611,297
16,936,280
Shearer's
Foods
LLC,
First
Lien,
Refinancing
Term
Loan,
4.25%,
(3-month
USD
LIBOR
+
3.5%),
9/23/27
...................
United
States
1,772,782
1,773,979
18,710,259
a
a
a
a
a
a
Food
Products
0.7%
i
CSM
Bakery
Solutions
Ltd.,
Second
Lien,
Term
Loan,
8.75%,
PIK,
(3-month
USD
LIBOR
+
7.75%),
7/05/22
..................
United
States
8,039,532
7,992,662
Health
Care
Equipment
&
Supplies
0.2%
Jazz
Pharmaceuticals,
Inc.,
Initial
Dollar
Term
Loan,
4%,
(1-month
USD
LIBOR
+
3.5%),
5/05/28
...........................
United
States
2,428,571
2,434,643
Health
Care
Providers
&
Services
7.5%
ADMI
Corp.,
Amendment
No.
4
Refinancing
Term
Loan,
3.625%,
(1-month
USD
LIBOR
+
3.125%),
12/23/27
............................
United
States
7,894,098
7,773,713
Amendment
No.
5
Incremental
Term
Loan,
4%,
(1-month
USD
LIBOR
+
3.5%),
12/23/27
..............................
United
States
2,747,485
2,738,899
g,k
Aveanna
Healthcare
LLC,
Term
Loan,
B,
TBD,
6/30/28
.........
United
States
2,546,481
2,535,735
CNT
Holdings
I
Corp.,
First
Lien,
Initial
Term
Loan,
4.5%,
(3-month
USD
LIBOR
+
3.75%),
11/08/27
.........................
United
States
2,362,689
2,360,846
eResearchTechnology
,
Inc.,
First
Lien,
Initial
Term
Loan,
5.5%,
(1-month
USD
LIBOR
+
4.5%),
2/04/27
...................
United
States
6,642,405
6,663,163
Gentiva
Health
Services,
Inc.,
First
Lien,
Term
Loan,
B1,
2.875%,
(1-month
USD
LIBOR
+
2.75%),
7/02/25
..................
United
States
2,250,737
2,245,121
Global
Medical
Response,
Inc.,
2018
New
Term
Loan,
5.25%,
(3-month
USD
LIBOR
+
4.25%),
3/14/25
..................
United
States
2,857,581
2,859,967
g
Heartland
Dental
LLC,
2021
Incremental
Term
Loan,
4.093%,
(1-month
USD
LIBOR
+
4%),
4/30/25
.....................
United
States
2,545,455
2,539,880
ICON
Luxembourg
SARL,
Term
Loan,
3%,
(3-month
USD
LIBOR
+
2.5%),
7/03/28
......................................
Luxembourg
2,993,338
2,990,659
National
Mentor
Holdings,
Inc.,
First
Lien,
Initial
Term
Loan,
4.5%,
(1-month
USD
LIBOR
+
3.75%;
3-month
USD
LIBOR
+
3.75%),
3/02/28
...................
United
States
9,757,567
9,753,517
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Floating
Rate
Daily
Access
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
21
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
j
Senior
Floating
Rate
Interests
(continued)
Health
Care
Providers
&
Services
(continued)
First
Lien,
Initial
Term
Loan,
C,
4.5%,
(3-month
USD
LIBOR
+
3.75%),
3/02/28
.....................................
United
States
307,315
$
307,188
Pathway
Vet
Alliance
LLC,
First
Lien,
2021
Replacement
Term
Loan,
3.842%,
(1-month
USD
LIBOR
+
3.75%),
3/31/27
............
United
States
10,772,121
10,731,725
Phoenix
Guarantor,
Inc.,
First
Lien,
Term
Loan,
B1,
3.339%,
(1-month
USD
LIBOR
+
3.25%),
3/05/26
.....................................
United
States
6,868,463
6,790,335
First
Lien,
Term
Loan,
B3,
3.596%,
(1-month
USD
LIBOR
+
3.5%),
3/05/26
...........................................
United
States
6,305,324
6,245,644
Pluto
Acquisition
I,
Inc.,
First
Lien,
2021
Term
Loan,
4.135%,
(2-month
USD
LIBOR
+
4%),
6/22/26
.....................
United
States
2,651,519
2,638,262
g
Radiology
Partners,
Inc.,
First
Lien,
Term
Loan,
B,
4.348%,
(1-month
USD
LIBOR
+
4.25%),
7/09/25
..........................
United
States
4,350,000
4,344,562
g
Team
Health
Holdings,
Inc.,
Initial
Term
Loan,
3.75%,
(1-month
USD
LIBOR
+
2.75%),
2/06/24
..............................
United
States
2,643,099
2,565,048
U.S.
Anesthesia
Partners,
Inc.,
First
Lien,
Initial
Term
Loan,
4%,
(3-month
USD
LIBOR
+
3%),
6/23/24
.....................
United
States
1,795,069
1,775,296
g
U.S.
Renal
Care,
Inc.,
Initial
Term
Loan,
5.125%,
(1-month
USD
LIBOR
+
5%),
6/26/26
................................
United
States
3,590,863
3,599,517
Waystar
Technologies,
Inc.,
First
Lien,
Initial
Term
Loan,
4.092%,
(1-month
USD
LIBOR
+
4%),
10/22/26
....................
United
States
12,205,962
12,179,292
93,638,369
a
a
a
a
a
a
Hotels,
Restaurants
&
Leisure
4.2%
i
24
Hour
Fitness
Worldwide,
Inc.,
Term
Loan,
5.146%,
PIK,
(3-month
USD
LIBOR
+
5%),
12/29/25
...........................
United
States
13,180,494
11,515,440
Boyd
Gaming
Corp.,
Term
Loan,
A,
3.25%,
(1-week
USD
LIBOR
+
2.75%),
9/15/23
.....................................
United
States
3,701,503
3,701,504
Caesars
Resort
Collection
LLC,
Term
Loan,
B,
2.842%,
(1-month
USD
LIBOR
+
2.75%),
12/23/24
United
States
8,881,970
8,794,438
Term
Loan,
B1,
4.592%,
(1-month
USD
LIBOR
+
4.5%),
7/21/25
United
States
1,714,247
1,718,035
Golden
Nugget,
Inc.,
Initial
Term
Loan,
B,
3.25%,
(2-month
USD
LIBOR
+
2.5%),
10/04/23
..............................
United
States
5,196,941
5,153,312
g,k
Hilton
Grand
Vacations
Borrower
LLC,
Term
Loan,
TBD,
5/19/28
..
United
States
1,904,762
1,900,476
IRB
Holding
Corp.,
Fourth
Amendment
Incremental
Term
Loan,
4.25%,
(3-month
USD
LIBOR
+
3.25%),
12/15/27
............
United
States
4,718,845
4,709,997
g,k
Raptor
Acquisition
Corp.,
Term
Loan,
B,
TBD,
11/01/26
.........
United
States
4,916,525
4,921,147
Station
Casinos
LLC,
Term
Loan,
B1,
2.5%,
(1-month
USD
LIBOR
+
2.25%),
2/08/27
.....................................
United
States
5,694,163
5,608,751
g,k
Whatabrands
LLC,
Term
Loan,
B,
TBD,
7/21/28
...............
United
States
4,233,577
4,219,013
52,242,113
a
a
a
a
a
a
Household
Durables
0.7%
g,k
Osmosis
Buyer
Ltd.,
Initial
Term
Loan,
B,
TBD,
7/30/28
.........
United
States
4,761,905
4,767,119
Playtika
Holding
Corp.,
Term
Loan,
B1,
2.842%,
(1-month
USD
LIBOR
+
2.75%),
3/13/28
..............................
United
States
863,197
858,182
g,k
VC
GB
Holdings
I
Corp.,
First
Lien,
Initial
Term
Loan,
TBD,
7/21/28
United
States
3,035,037
3,017,023
8,642,324
a
a
a
a
a
a
Household
Products
0.5%
b,i,l
FGI
Operating
Co.
LLC,
Term
Loan,
11%,
PIK,
(3-month
USD
LIBOR
+
10%),
5/16/22
.....................................
United
States
39,624,859
6,420,436
Insurance
3.6%
Acrisure
LLC,
First
Lien,
2020
Term
Loan,
3.607%,
(2-month
USD
LIBOR
+
3.5%),
2/15/27
......................................
United
States
4,937,500
4,857,883
g,k
Incremental
Term
Loan,
B,
TBD,
2/15/27
..................
United
States
2,282,609
2,267,635
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Floating
Rate
Daily
Access
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
22
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
j
Senior
Floating
Rate
Interests
(continued)
Insurance
(continued)
Alliant
Holdings
Intermediate
LLC,
2018
Initial
Term
Loan,
3.342%,
(1-month
USD
LIBOR
+
3.25%),
5/09/25
...........................................
United
States
8,236,449
$
8,140,041
2020
New
Term
Loan,
4.25%,
(1-month
USD
LIBOR
+
3.75%),
11/05/27
..........................................
United
States
1,069,025
1,069,693
AssuredPartners
,
Inc.,
2020
February
Refinancing
Term
Loan,
3.592%,
(1-month
USD
LIBOR
+
3.5%),
2/12/27
...............................
United
States
8,995,012
8,900,249
g
2021
Term
Loan,
4%,
(1-month
USD
LIBOR
+
3.5%),
2/12/27
...
United
States
2,042,664
2,042,153
Asurion
LLC,
New
Term
Loan,
B8,
3.342%,
(1-month
USD
LIBOR
+
3.25%),
12/23/26
..........................................
United
States
8,959,775
8,804,368
New
Term
Loan,
B9,
3.342%,
(1-month
USD
LIBOR
+
3.25%),
7/31/27
...........................................
United
States
3,566,568
3,507,506
Second
Lien,
New
Term
Loan,
B3,
5.342%,
(1-month
USD
LIBOR
+
5.25%),
1/31/28
...................................
United
States
195,987
195,358
g,k
Second
Lien,
New
Term
Loan,
B4,
TBD,
1/20/29
............
United
States
5,426,293
5,407,626
45,192,512
a
a
a
a
a
a
Internet
&
Direct
Marketing
Retail
0.6%
MH
Sub
I
LLC
(Micro
Holding
Corp.),
First
Lien,
2020
June
New
Term
Loan,
4.75%,
(1-month
USD
LIBOR
+
3.75%),
9/13/24
..............................
United
States
2,941,548
2,944,445
First
Lien,
Amendment
No.
2
Initial
Term
Loan,
3.592%,
(1-month
USD
LIBOR
+
3.5%),
9/13/24
...........................
United
States
4,328,828
4,307,422
7,251,867
a
a
a
a
a
a
IT
Services
4.8%
Arches
Buyer,
Inc.,
Refinancing
Term
Loan,
3.75%,
(1-month
USD
LIBOR
+
3.25%),
12/06/27
.............................
United
States
1,775,539
1,767,282
Aventiv
Technologies
LLC,
First
Lien,
Initial
Term
Loan,
5.5%,
(3-month
USD
LIBOR
+
4.5%),
11/01/24
..................
United
States
8,772,727
8,203,070
Barracuda
Networks,
Inc.,
First
Lien,
2020
Term
Loan,
4.5%,
(3-month
USD
LIBOR
+
3.75%),
2/12/25
..................
United
States
2,936,712
2,944,362
Gainwell
Acquisition
Corp.,
First
Lien,
Term
Loan,
B,
4.75%,
(3-month
USD
LIBOR
+
4%),
10/01/27
....................
United
States
9,244,207
9,257,195
Informatica
LLC,
Dollar
2020
Term
Loan,
3.342%,
(1-month
USD
LIBOR
+
3.25%),
2/25/27
..............................
United
States
3,058,557
3,030,525
Neustar
,
Inc.,
First
Lien,
Term
Loan,
B5,
5.5%,
(3-month
USD
LIBOR
+
4.5%),
8/08/24
....................................
United
States
6,035,470
5,917,899
Peraton
Corp.,
First
Lien,
Term
Loan,
B,
4.5%,
(1-month
USD
LIBOR
+
3.75%),
2/01/28
...................................
United
States
8,290,866
8,296,048
Pitney
Bowes,
Inc.,
Refinancing
Term
Loan,
B,
4.1%,
(1-month
USD
LIBOR
+
4%),
3/17/28
................................
United
States
10,972,500
11,010,245
g,k
Sitel
Worldwide
Corp.,
Term
Loan,
TBD,
7/28/28
..............
France
1,563,380
1,563,380
TIBCO
Software,
Inc.,
Term
Loan,
B3,
3.85%,
(1-month
USD
LIBOR
+
3.75%),
6/30/26
...................................
United
States
8,187,815
8,128,986
60,118,992
a
a
a
a
a
a
Leisure
Products
0.9%
Hercules
Achievement,
Inc.
(Varsity
Brands
Holding
Co.,
Inc.),
First
Lien,
Initial
Term
Loan,
4.5%,
(1-month
USD
LIBOR
+
3.5%),
12/16/24
..........................................
United
States
5,262,715
5,132,621
g
Motion
Acquisition
Ltd.,
Term
Loan,
B1,
3.397%,
(3-month
USD
LIBOR
+
3.25%),
11/12/26
United
Kingdom
2,626,284
2,501,062
Term
Loan,
B2,
3.397%,
(3-month
USD
LIBOR
+
3.25%),
11/12/26
United
Kingdom
373,716
355,898
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Floating
Rate
Daily
Access
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
23
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
j
Senior
Floating
Rate
Interests
(continued)
Leisure
Products
(continued)
NASCAR
Holdings
LLC,
Initial
Term
Loan,
2.842%,
(1-month
USD
LIBOR
+
2.75%),
10/19/26
.............................
United
States
3,371,715
$
3,348,062
11,337,643
a
a
a
a
a
a
Life
Sciences
Tools
&
Services
0.1%
ICON
plc,
U.S.
Term
Loan,
3%,
(3-month
USD
LIBOR
+
2.5%),
7/03/28
...........................................
Ireland
745,792
745,125
Machinery
0.5%
Tiger
Acquisition
LLC,
First
Lien,
Initial
Term
Loan,
3.75%,
(3-month
USD
LIBOR
+
3.25%),
6/01/28
..........................
United
States
2,938,776
2,920,423
g,k
TK
Elevator
Midco
GmbH,
Term
Loan,
B1,
TBD,
7/30/27
........
Germany
381,818
381,490
UTEX
Industries,
Inc.,
First
Out
Term
Loan,
8.5%,
(1-month
USD
LIBOR
+
7%),
12/03/24
United
States
1,539,398
1,552,229
i
Second
Out
Term
Loan,
5.25%,
PIK,
(1-month
USD
LIBOR
+
3.75%),
12/03/25
....................................
United
States
1,716,315
1,672,858
6,527,000
a
a
a
a
a
a
Media
4.7%
g
Cengage
Learning,
Inc.,
First
Lien,
Term
Loan,
B,
5.75%,
(3-month
USD
LIBOR
+
4.75%),
7/14/26
..........................
United
States
10,565,741
10,575,937
Clear
Channel
Outdoor
Holdings,
Inc.,
Term
Loan,
B,
3.628%,
(2-month
USD
LIBOR
+
3.5%;
3-month
USD
LIBOR
+
3.5%),
8/21/26
...........................................
United
States
9,532,521
9,271,378
CSC
Holdings
LLC,
March
2017
Refinancing
Term
Loan,
2.343%,
(1-month
USD
LIBOR
+
2.25%),
7/17/25
..................
United
States
10,421,063
10,282,098
Gray
Television,
Inc.,
Term
Loan,
B2,
2.35%,
(1-month
USD
LIBOR
+
2.25%),
2/07/24
.....................................
United
States
3,457,244
3,436,863
g,k
McGraw-Hill
Education,
Inc.,
Initial
Term
Loan,
TBD,
7/28/28
.....
United
States
3,354,839
3,324,645
Nexstar
Broadcasting,
Inc.,
Term
Loan,
B3,
2.337%,
(1-month
USD
LIBOR
+
2.25%),
1/17/24
..............................
United
States
1,688,156
1,678,660
Radiate
HoldCo
LLC,
Term
Loan,
B,
4.25%,
(1-month
USD
LIBOR
+
3.5%),
9/25/26
......................................
United
States
1,630,969
1,626,778
Sinclair
Television
Group,
Inc.,
Term
Loan,
B,
2.35%,
(1-month
USD
LIBOR
+
2.25%),
1/03/24
..............................
United
States
1,803,522
1,782,782
Univision
Communications,
Inc.,
First
Lien,
2021
Replacement
Converted
Term
Loan,
4%,
(1-month
USD
LIBOR
+
3.25%),
3/15/26
..........................
United
States
2,313,287
2,312,327
g,k
Term
Loan,
B,
TBD,
5/05/28
............................
United
States
5,508,696
5,500,956
Virgin
Media
Bristol
LLC,
Term
Loan,
Q,
3.343%,
(1-month
USD
LIBOR
+
3.25%),
1/31/29
..............................
United
States
3,155,393
3,145,312
WideOpenWest
Finance
LLC,
Eighth
Amendment
Term
Loan,
B,
4.25%,
(1-month
USD
LIBOR
+
3.25%),
8/18/23
.............
United
States
5,353,788
5,352,690
58,290,426
a
a
a
a
a
a
Metals
&
Mining
0.6%
U.S.
Silica
Co.,
Term
Loan,
5%,
(1-month
USD
LIBOR
+
4%),
5/01/25
...........................................
United
States
7,311,655
7,058,489
Multiline
Retail
0.1%
Franchise
Group,
Inc.,
First
Lien,
Initial
Term
Loan,
5.5%,
(3-month
USD
LIBOR
+
4.75%),
3/10/26
..........................
United
States
1,295,402
1,305,118
Oil,
Gas
&
Consumable
Fuels
3.3%
Fieldwood
Energy
LLC,
g,m
Debtor-in-possession
Facility
Term
Loan,
9.75%,
(1-month
USD
LIBOR
+
8.75%),
8/04/22
..............................
United
States
724,518
753,499
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Floating
Rate
Daily
Access
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
24
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
j
Senior
Floating
Rate
Interests
(continued)
Oil,
Gas
&
Consumable
Fuels
(continued)
l
First
Lien,
Closing
Date
Term
Loan,
7.251%,
(3-month
USD
LIBOR
+
4.25%),
4/11/22
....................................
United
States
74,275,433
$
40,095,364
40,848,863
a
a
a
a
a
a
Personal
Products
1.1%
Conair
Holdings
LLC,
First
Lien,
Initial
Term
Loan,
4.25%,
(3-month
USD
LIBOR
+
3.75%),
5/17/28
..........................
United
States
3,054,844
3,050,552
Coty,
Inc.,
USD
Term
Loan,
B,
2.352%,
(1-month
USD
LIBOR
+
2.25%),
4/07/25
.....................................
United
States
1,232,824
1,187,696
Sunshine
Luxembourg
VII
SARL,
Term
Loan,
B3,
4.5%,
(3-month
USD
LIBOR
+
3.75%),
10/01/26
.........................
Luxembourg
9,298,296
9,315,731
13,553,979
a
a
a
a
a
a
Pharmaceuticals
0.5%
Bausch
Health
Cos.,
Inc.,
Initial
Term
Loan,
3.104%,
(1-month
USD
LIBOR
+
3%),
6/02/25
................................
United
States
2,537,502
2,522,594
Organon
&
Co.,
Dollar
Term
Loan,
3.5%,
(6-month
USD
LIBOR
+
3%),
6/02/28
.......................................
United
States
3,348,649
3,344,815
5,867,409
a
a
a
a
a
a
Professional
Services
0.6%
CCRR
Parent,
Inc.,
First
Lien,
Initial
Term
Loan,
5%,
(3-month
USD
LIBOR
+
4.25%),
3/06/28
..............................
United
States
1,629,143
1,634,234
Dun
&
Bradstreet
Corp.
(The),
Initial
Term
Loan,
3.336%,
(1-month
USD
LIBOR
+
3.25%),
2/06/26
..........................
United
States
3,007,659
2,986,034
UKG,
Inc.,
First
Lien,
2021
Incremental
Term
Loan,
4%,
(3-month
USD
LIBOR
+
3.25%),
5/04/26
..........................
United
States
2,231,230
2,232,847
6,853,115
a
a
a
a
a
a
Real
Estate
Management
&
Development
0.3%
Cushman
&
Wakefield
U.S.
Borrower
LLC,
Replacement
Term
Loan,
2.842%,
(1-month
USD
LIBOR
+
2.75%),
8/21/25
............
United
States
3,670,707
3,623,850
Road
&
Rail
2.0%
Avis
Budget
Car
Rental
LLC,
New
Term
Loan,
B,
2.35%,
(1-month
USD
LIBOR
+
2.25%),
8/06/27
..........................
United
States
5,209,706
5,105,955
Ventia
Midco
Pty.
Ltd.,
2017
Refinancing
USD
Term
Loan,
B,
5%,
(3-month
USD
LIBOR
+
4%),
5/21/26
.....................
Australia
19,825,761
19,863,033
24,968,988
a
a
a
a
a
a
Software
12.1%
athenahealth
,
Inc.,
First
Lien,
Term
Loan,
B1,
4.41%,
(3-month
USD
LIBOR
+
4.25%),
2/11/26
..............................
United
States
11,749,739
11,767,363
Atlas
Purchaser,
Inc.,
First
Lien,
Initial
Term
Loan,
6%,
(3-month
USD
LIBOR
+
5.25%),
5/08/28
..........................
United
States
3,090,909
3,047,760
Blackboard,
Inc.,
First
Lien,
Term
Loan,
B5,
7%,
(3-month
USD
LIBOR
+
6%),
6/30/24
................................
United
States
11,272,464
11,362,644
Ceridian
HCM
Holding,
Inc.,
Initial
Term
Loan,
2.584%,
(1-week
USD
LIBOR
+
2.5%),
4/30/25
...............................
United
States
3,845,759
3,784,707
DCert
Buyer,
Inc.,
First
Lien,
Initial
Term
Loan,
4.092%,
(1-month
USD
LIBOR
+
4%),
10/16/26
..........................................
United
States
10,628,171
10,629,659
Second
Lien,
First
Amendment
Refinancing
Term
Loan,
7.092%,
(1-month
USD
LIBOR
+
7%),
2/19/29
.....................
United
States
2,168,879
2,196,380
ECI
Macola
/MAX
Holding
LLC,
First
Lien,
Initial
Term
Loan,
4.5%,
(3-month
USD
LIBOR
+
3.75%),
11/09/27
..................
United
States
2,985,000
2,990,970
Epicor
Software
Corp.,
Term
Loan,
C,
4%,
(1-month
USD
LIBOR
+
3.25%),
7/30/27
.....................................
United
States
5,338,590
5,329,541
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Floating
Rate
Daily
Access
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
25
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
j
Senior
Floating
Rate
Interests
(continued)
Software
(continued)
Greeneden
U.S.
Holdings
I
LLC,
2020
Initial
Dollar
Term
Loan,
4.75%,
(1-month
USD
LIBOR
+
4%),
12/01/27
..............
United
States
8,022,628
$
8,040,559
Hyland
Software,
Inc.,
First
Lien,
2018
Refinancing
Term
Loan,
4.25%,
(1-month
USD
LIBOR
+
3.5%),
7/01/24
...............................
United
States
7,073,313
7,083,251
Second
Lien,
2021
Refinancing
Term
Loan,
7%,
(1-month
USD
LIBOR
+
6.25%),
7/07/25
..............................
United
States
106,061
106,989
Idera
,
Inc.,
First
Lien,
Term
Loan,
B1,
4.5%,
(2-month
USD
LIBOR
+
3.75%),
3/02/28
.....................................
United
States
6,666,670
6,658,337
IGT
Holding
IV
AB,
Term
Loan,
4.25%,
(3-month
USD
LIBOR
+
3.75%),
3/31/28
.....................................
Sweden
4,142,950
4,127,414
Ivanti
Software,
Inc.,
First
Lien,
First
Amendment
Term
Loan,
4.75%,
(3-month
USD
LIBOR
+
4%),
12/01/27
...............................
United
States
305,640
304,940
First
Lien,
Initial
Term
Loan,
5.75%,
(3-month
USD
LIBOR
+
4.75%),
12/01/27
....................................
United
States
5,486,250
5,490,063
LogMeIn,
Inc.,
First
Lien,
Initial
Term
Loan,
4.85%,
(1-month
USD
LIBOR
+
4.75%),
8/31/27
..............................
United
States
5,904,739
5,888,590
Mitchell
International,
Inc.,
First
Lien,
Amendment
No.
2
New
Facility
Term
Loan,
4.75%,
(1-month
USD
LIBOR
+
4.25%),
11/29/24
..................
United
States
4,664,750
4,673,077
First
Lien,
Initial
Term
Loan,
3.354%,
(1-month
USD
LIBOR
+
3.25%),
11/29/24
....................................
United
States
2,390,738
2,363,985
Perforce
Software,
Inc.,
First
Lien,
New
Term
Loan,
3.842%,
(1-month
USD
LIBOR
+
3.75%),
7/01/26
..................
United
States
5,614,008
5,556,464
Polaris
Newco
LLC,
First
Lien,
Dollar
Term
Loan,
4.5%,
(3-month
USD
LIBOR
+
4%),
6/02/28
............................
United
States
8,816,667
8,821,163
Project
Alpha
Intermediate
Holding,
Inc.,
2021
Refinancing
Term
Loan,
4.1%,
(1-month
USD
LIBOR
+
4%),
4/26/24
...........
United
States
4,856,124
4,854,108
Project
Ruby
Ultimate
Parent
Corp.,
First
Lien,
Closing
Date
Term
Loan,
4%,
(1-month
USD
LIBOR
+
3.25%),
3/10/28
..........
United
States
4,328,257
4,310,533
Quest
Software
US
Holdings,
Inc.,
First
Lien,
Initial
Term
Loan,
4.379%,
(3-month
USD
LIBOR
+
4.25%),
5/16/25
............
United
States
4,104,285
4,106,583
RealPage
,
Inc.,
First
Lien,
Initial
Term
Loan,
3.75%,
(1-month
USD
LIBOR
+
3.25%),
4/24/28
..............................
United
States
4,896,774
4,873,221
Rocket
Software,
Inc.,
First
Lien,
Initial
Term
Loan,
4.342%,
(1-month
USD
LIBOR
+
4.25%),
11/28/25
.........................
United
States
1,994,898
1,953,005
Sophia
LP,
Closing
Date
Term
Loan,
4.5%,
(3-month
USD
LIBOR
+
3.75%),
10/07/27
....................................
United
States
3,866,429
3,868,498
k
Sovos
Compliance
LLC,
Term
Loan,
B,
TBD,
7/29/28
...........
United
States
1,255,918
1,259,058
Surf
Holdings
SARL,
First
Lien,
Dollar
Term
Loan,
3.628%,
(3-month
USD
LIBOR
+
3.5%),
3/05/27
...........................
Luxembourg
5,066,314
5,021,629
Syncsort
,
Inc.,
First
Lien,
Initial
Term
Loan,
5%,
(3-month
USD
LIBOR
+
4.25%),
4/24/28
..............................
United
States
6,002,642
5,988,115
Ultimate
Software
Group,
Inc.
(The),
First
Lien,
Initial
Term
Loan,
3.842%,
(1-month
USD
LIBOR
+
3.75%),
5/04/26
............
United
States
4,295,352
4,298,230
150,756,836
a
a
a
a
a
a
Specialty
Retail
1.8%
Michaels
Companies,
Inc.
(The),
Term
Loan,
B,
5%,
(1-month
USD
LIBOR
+
4.25%),
4/15/28
..............................
United
States
4,760,000
4,769,782
Park
River
Holdings,
Inc.,
First
Lien,
Initial
Term
Loan,
4%,
(3-month
USD
LIBOR
+
3.25%),
12/28/27
.........................
United
States
4,974,626
4,933,760
PetSmart
LLC,
Initial
Term
Loan,
4.5%,
(3-month
USD
LIBOR
+
3.75%),
2/11/28
.....................................
United
States
1,727,090
1,728,601
Rent-A-Center,
Inc.,
Initial
Term
Loan,
4.75%,
(1-month
USD
LIBOR
+
4%),
2/17/28
......................................
United
States
1,625,830
1,633,959
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Floating
Rate
Daily
Access
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
26
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
j
Senior
Floating
Rate
Interests
(continued)
Specialty
Retail
(continued)
Savers,
Inc.,
Term
Loan,
6.5%,
(3-month
USD
LIBOR
+
5.75%),
4/21/28
...........................................
United
States
3,592,105
$
3,635,516
SRS
Distribution,
Inc.,
2021
Refinancing
Term
Loan,
4.25%,
(3-month
USD
LIBOR
+
3.75%),
6/02/28
..................
United
States
3,662,252
3,641,267
Woof
Holdings,
Inc.,
First
Lien,
Initial
Term
Loan,
4.5%,
(3-month
USD
LIBOR
+
3.75%),
12/21/27
.........................
United
States
2,361,976
2,360,015
22,702,900
a
a
a
a
a
a
Technology
Hardware,
Storage
&
Peripherals
1.0%
Amentum
Government
Services
Holdings
LLC,
First
Lien,
Term
Loan,
1,
3.592%,
(1-month
USD
LIBOR
+
3.5%),
1/29/27
...........................................
United
States
2,673,000
2,662,976
First
Lien,
Term
Loan,
2,
5.5%,
(3-month
USD
LIBOR
+
4.75%),
1/29/27
...........................................
United
States
3,092,899
3,104,497
g,k
Magenta
Buyer
LLC,
First
Lien,
Initial
Term
Loan,
TBD,
7/27/28
...
United
States
7,206,099
7,181,346
12,948,819
a
a
a
a
a
a
Textiles,
Apparel
&
Luxury
Goods
0.5%
Champ
Acquisition
Corp.,
First
Lien,
Initial
Term
Loan,
5.685%,
(3-month
USD
LIBOR
+
5.5%;
6-month
USD
LIBOR
+
5.5%),
12/19/25
..........................................
United
States
2,916,051
2,929,406
Tory
Burch
LLC,
Initial
Term
Loan,
B,
4%,
(1-month
USD
LIBOR
+
3.5%),
4/16/28
......................................
United
States
2,770,198
2,758,771
5,688,177
a
a
a
a
a
a
Transportation
Infrastructure
0.1%
g
First
Student
Bidco
,
Inc.,
Initial
Term
Loan,
B,
3.5%,
(2-month
USD
LIBOR
+
3%),
7/21/28
United
States
719,807
715,477
Initial
Term
Loan,
C,
3.5%,
(2-month
USD
LIBOR
+
3%),
7/21/28
United
States
265,700
264,102
979,579
a
a
a
a
a
a
Total
Senior
Floating
Rate
Interests
(Cost
$1,096,855,633)
........................
1,030,420,431
Asset-Backed
Securities
0.8%
Diversified
Financial
Services
0.8%
h,n
Alinea
CLO
Ltd.
,
2018-1A
,
C
,
144A,
FRN
,
2.034
%
,
(
3-month
USD
LIBOR
+
1.9
%
),
7/20/31
...............................
United
States
7,000,000
6,965,436
h,n
Dryden
40
Senior
Loan
Fund
,
2015-40A
,
CR
,
144A,
FRN
,
2.256
%
,
(
3-month
USD
LIBOR
+
2.1
%
),
8/15/31
...................
United
States
2,000,000
2,001,746
h,n
Galaxy
XXV
CLO
Ltd.
,
2018-25A
,
C
,
144A,
FRN
,
2.125
%
,
(
3-month
USD
LIBOR
+
2
%
),
10/25/31
...........................
United
States
500,000
500,546
9,467,728
a
a
a
a
a
a
Total
Asset-Backed
Securities
(Cost
$9,500,000)
................................
9,467,728
Shares/Units
Escrows
and
Litigation
Trusts
0.2%
h
99
Escrow
Issuer,
Inc.,
Escrow
Account,
144A
................
United
States
2,500,000
2,359,375
a,b
Millennium
Corporate
Claim
Trust,
Escrow
Account
............
United
States
13,585,837
a,b
Millennium
Lender
Claim
Trust,
Escrow
Account
..............
United
States
13,585,837
a,b
Remington
Outdoor
Co.,
Inc.,
Litigation
Units
.................
United
States
170,300
Total
Escrows
and
Litigation
Trusts
(Cost
$2,497,977)
...........................
2,359,375
Total
Long
Term
Investments
(Cost
$1,264,897,185)
.............................
1,189,162,781
a
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Floating
Rate
Daily
Access
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
27
See
Abbreviations
on
page
104
.
Short
Term
Investments
12.1%
a
a
Country
Shares
a
Value
a
Money
Market
Funds
5.0%
e,o
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0.01%
.....
United
States
62,034,245
$
62,034,245
Total
Money
Market
Funds
(Cost
$62,034,245)
..................................
62,034,245
Principal
Amount
*
a
a
a
a
a
Repurchase
Agreements
6.7%
p
Joint
Repurchase
Agreement,
0.026%,
8/02/21
(Maturity
Value
$83,086,759)
BNP
Paribas
Securities
Corp.
(Maturity
Value
$60,130,718)
Deutsche
Bank
Securities,
Inc.
(Maturity
Value
$8,352,712)
HSBC
Securities
(USA)
Inc.
(Maturity
Value
$14,603,329)
Collateralized
by
U.S.
Government
Agency
Securities,
3%
-
5%,
4/20/41
-
3/20/51;
U.S.
Treasury
Bond,
Index
Linked,
2.38%,
1/15/25;
and
U.S.
Treasury
Note,
2.25%,
4/30/24
(valued
at
$84,766,412)
.......................................
83,086,577
83,086,577
Total
Repurchase
Agreements
(Cost
$83,086,577)
...............................
83,086,577
Investments
from
Cash
Collateral
Received
for
Loaned
Securities
0.4%
Country
Shares
Money
Market
Funds
0.3%
e,o
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0.01%
.....
United
States
4,542,000
4,542,000
Principal
Amount
*
Repurchase
Agreements
0.1%
p
Joint
Repurchase
Agreement,
BofA
Securities,
Inc.,
0.05%,
8/02/21
(Maturity
Value
$1,136,433)
Collateralized
by
U.S.
Treasury
Note,
0.125%,
10/31/22
(valued
at
$1,159,157)
........................................
1,136,428
1,136,428
Total
Investments
from
Cash
Collateral
Received
for
Loaned
Securities
(Cost
$5,678,428)
............................................................
5,678,428
Total
Short
Term
Investments
(Cost
$150,799,250
)
...............................
150,799,250
a
Total
Investments
(Cost
$1,415,696,435)
107.8%
................................
$1,339,962,031
Other
Assets,
less
Liabilities
(7.8)%
...........................................
(96,837,034)
Net
Assets
100.0%
...........................................................
$1,243,124,997
*
The
principal
amount
is
stated
in
U.S.
dollars
unless
otherwise
indicated.
Rounds
to
less
than
0.1%
of
net
assets.
a
Non-income
producing.
b
Fair
valued
using
significant
unobservable
inputs.
See
Note
10
regarding
fair
value
measurements.
c
See
Note
6
regarding
restricted
securities.
d
See
Note
8
regarding
holdings
of
5%
voting
securities.
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Floating
Rate
Daily
Access
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
28
e
See
Note
9
regarding
investments
in
affiliated
management
investment
companies.
f
A
portion
or
all
of
the
security
is
on
loan
at
July
31,
2021.
g
A
portion
or
all
of
the
security
purchased
on
a
delayed
delivery
basis.
h
Security
was
purchased
pursuant
to
Rule
144A
or
Regulation
S
under
the
Securities
Act
of
1933.
144A
securities
may
be
sold
in
transactions
exempt
from
registration
only
to
qualified
institutional
buyers
or
in
a
public
offering
registered
under
the
Securities
Act
of
1933.
Regulation
S
securities
cannot
be
sold
in
the
United
States
without
either
an
effective
registration
statement
filed
pursuant
to
the
Securities
Act
of
1933,
or
pursuant
to
an
exemption
from
registration.
At
July
31,
2021,
the
aggregate
value
of
these
securities
was
$47,983,510,
representing
3.9%
of
net
assets.
i
Income
may
be
received
in
additional
securities
and/or
cash.
j
The
coupon
rate
shown
represents
the
rate
at
period
end.
k
A
portion
or
all
of
the
security
represents
an
unsettled
loan
commitment.
The
coupon
rate
is
to-be
determined
(TBD)
at
the
time
of
the
settlement
and
will
be
based
upon
a
reference
index/floor
plus
a
spread.
l
Defaulted
security
or
security
for
which
income
has
been
deemed
uncollectible.
m
See
Note
7
regarding
unfunded
loan
commitments.
n
The
coupon
rate
shown
represents
the
rate
inclusive
of
any
caps
or
floors,
if
applicable,
in
effect
at
period
end.
o
The
rate
shown
is
the
annualized
seven-day
effective
yield
at
period
end.
p
Investment
is
through
participation
in
a
joint
account
with
other
funds
managed
by
the
investment
manager
or
an
affiliate
of
the
investment
manager.
At
July
31,
2021,
all
repurchase
agreements
had
been
entered
into
on
July
30,
2021.
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited),
July
31,
2021
Franklin
Low
Duration
Total
Return
Fund
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
29
a
a
Country
Shares
a
Value
a
a
a
a
a
a
Common
Stocks
0.0%
Multiline
Retail
0.0%
a,b,c
K2016470219
South
Africa
Ltd.,
A
.........................
South
Africa
12,326,925
$
a,b,c
K2016470219
South
Africa
Ltd.,
B
.........................
South
Africa
1,226,701
Oil,
Gas
&
Consumable
Fuels
0.0%
a,b
Riviera
Resources,
Inc.
.................................
United
States
2,835
732
Total
Common
Stocks
(Cost
$135,230)
.........................................
732
Management
Investment
Companies
4.7%
Capital
Markets
4.7%
d
Franklin
Floating
Rate
Income
Fund
.......................
United
States
14,835,570
117,349,358
d
Franklin
Liberty
High
Yield
Corporate
ETF
...................
United
States
259,500
6,885,833
Invesco
Senior
Loan
ETF
...............................
United
States
445,000
9,803,350
134,038,541
Total
Management
Investment
Companies
(Cost
$143,706,548)
...................
134,038,541
Warrants
Warrants
0.0%
Oil,
Gas
&
Consumable
Fuels
0.0%
a,b
Battalion
Oil
Corp.,
A,
10/08/22
...........................
United
States
1,093
258
a,b
Battalion
Oil
Corp.,
B,
10/08/22
...........................
United
States
1,366
179
a,b
Battalion
Oil
Corp.,
C,
10/08/22
...........................
United
States
1,757
103
540
Paper
&
Forest
Products
0.0%
b
Verso
Corp.,
7/25/23
...................................
United
States
146
569
Total
Warrants
(Cost
$—)
.....................................................
1,109
Principal
Amount
*
Corporate
Bonds
20.2%
Aerospace
&
Defense
0.6%
Boeing
Co.
(The)
,
Senior
Note
,
2.196
%
,
2/04/26
..............
United
States
10,400,000
10,496,428
General
Dynamics
Corp.
,
Senior
Note
,
3.25
%
,
4/01/25
.........
United
States
4,000,000
4,345,973
e
TransDigm
,
Inc.
,
Senior
Secured
Note
,
144A,
6.25
%
,
3/15/26
....
United
States
1,500,000
1,575,000
16,417,401
Air
Freight
&
Logistics
0.1%
e
DAE
Funding
LLC
,
Senior
Note
,
144A,
1.55
%
,
8/01/24
.........
United
Arab
Emirates
1,700,000
1,702,150
Airlines
0.3%
e
American
Airlines
Inc
/
AAdvantage
Loyalty
IP
Ltd.
,
Senior
Secured
Note
,
144A,
5.5
%
,
4/20/26
.............................
United
States
1,300,000
1,361,750
e
Delta
Air
Lines,
Inc.
/
SkyMiles
IP
Ltd.
,
Senior
Secured
Note
,
144A,
4.5
%
,
10/20/25
.....................................
United
States
4,600,000
4,947,637
e
Hawaiian
Brand
Intellectual
Property
Ltd.
/
HawaiianMiles
Loyalty
Ltd.
,
Senior
Secured
Note
,
144A,
5.75
%
,
1/20/26
............
United
States
2,100,000
2,203,929
e
United
Airlines,
Inc.
,
Senior
Secured
Note
,
144A,
4.375
%
,
4/15/26
.
United
States
300,000
309,039
8,822,355
Auto
Components
0.0%
Aptiv
Corp.
,
Senior
Bond
,
4.15
%
,
3/15/24
...................
United
States
900,000
976,004
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Low
Duration
Total
Return
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
30
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
Corporate
Bonds
(continued)
Banks
4.2%
e
Akbank
TAS
,
Senior
Bond
,
144A,
5.125
%
,
3/31/25
............
Turkey
2,000,000
$
2,022,600
Bank
of
America
Corp.
,
Senior
Note,
3.55%
to
3/05/23,
FRN
thereafter,
3/05/24
.......
United
States
10,350,000
10,844,691
Senior
Note,
2.015%
to
2/13/25,
FRN
thereafter,
2/13/26
......
United
States
3,500,000
3,612,394
Barclays
plc
,
Senior
Note
,
4.61%
to
2/15/22,
FRN
thereafter
,
2/15/23
United
Kingdom
6,300,000
6,440,532
Citigroup,
Inc.
,
Senior
Note,
2.35%,
8/02/21
...........................
United
States
5,400,000
5,400,000
Senior
Note,
3.106%
to
4/08/25,
FRN
thereafter,
4/08/26
......
United
States
6,500,000
6,965,082
Sub.
Bond,
4.6%,
3/09/26
.............................
United
States
2,600,000
2,981,095
HSBC
Holdings
plc
,
Senior
Bond,
4.3%,
3/08/26
............................
United
Kingdom
800,000
906,037
Senior
Note,
3.262%
to
3/13/22,
FRN
thereafter,
3/13/23
......
United
Kingdom
1,400,000
1,425,068
Senior
Note,
2.013%
to
9/22/27,
FRN
thereafter,
9/22/28
......
United
Kingdom
7,600,000
7,699,514
JPMorgan
Chase
&
Co.
,
Senior
Note,
2.083%
to
4/22/25,
FRN
thereafter,
4/22/26
......
United
States
18,200,000
18,891,709
Sub.
Bond,
3.875%,
9/10/24
...........................
United
States
8,400,000
9,148,973
e
Shinhan
Bank
Co.
Ltd.
,
Senior
Note
,
144A,
1.375
%
,
10/21/26
....
South
Korea
6,500,000
6,560,526
e
Societe
Generale
SA
,
Senior
Note
,
144A,
1.792%
to
6/09/26,
FRN
thereafter
,
6/09/27
...................................
France
3,900,000
3,918,221
e
Standard
Chartered
plc
,
Senior
Note
,
144A,
3.885%
to
3/15/23,
FRN
thereafter
,
3/15/24
...................................
United
Kingdom
10,000,000
10,492,251
e
UniCredit
SpA
,
Senior
Note
,
144A,
1.982%
to
6/03/26,
FRN
thereafter
,
6/03/27
...................................
Italy
3,800,000
3,811,608
Wells
Fargo
&
Co.
,
Senior
Note,
2.188%
to
4/30/25,
FRN
thereafter,
4/30/26
......
United
States
13,400,000
13,955,932
Sub.
Bond,
4.1%,
6/03/26
.............................
United
States
3,000,000
3,381,831
118,458,064
Beverages
0.5%
Anheuser-Busch
Cos.
LLC
/
Anheuser-Busch
InBev
Worldwide,
Inc.
,
Senior
Note
,
3.65
%
,
2/01/26
...........................
Belgium
8,000,000
8,878,898
e
Coca-Cola
Europacific
Partners
plc
,
Senior
Note
,
144A,
1.5
%
,
1/15/27
...........................................
United
Kingdom
4,400,000
4,408,046
13,286,944
Biotechnology
0.2%
AbbVie,
Inc.
,
Senior
Bond,
3.6%,
5/14/25
............................
United
States
4,510,000
4,931,284
Senior
Note,
3.8%,
3/15/25
............................
United
States
600,000
657,759
Senior
Note,
2.95%,
11/21/26
..........................
United
States
500,000
542,369
6,131,412
Capital
Markets
1.3%
Credit
Suisse
Group
AG
,
Senior
Note
,
4.55
%
,
4/17/26
..........
Switzerland
8,000,000
9,095,324
Goldman
Sachs
Group,
Inc.
(The)
,
Senior
Bond,
3.75%,
5/22/25
...........................
United
States
1,000,000
1,096,049
Senior
Bond,
3.75%,
2/25/26
...........................
United
States
6,500,000
7,205,165
Senior
Note,
3.272%
to
9/29/24,
FRN
thereafter,
9/29/25
......
United
States
5,000,000
5,364,814
Morgan
Stanley
,
Senior
Bond,
3.7%,
10/23/24
...........................
United
States
1,400,000
1,529,725
Senior
Note,
2.188%
to
4/28/25,
FRN
thereafter,
4/28/26
......
United
States
3,800,000
3,948,336
Sub.
Bond,
4.35%,
9/08/26
............................
United
States
7,800,000
8,890,069
37,129,482
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Low
Duration
Total
Return
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
31
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
Corporate
Bonds
(continued)
Chemicals
0.5%
e,f
Anagram
International,
Inc.
/
Anagram
Holdings
LLC
,
Secured
Note
,
144A,
PIK,
10
%
,
8/15/26
..............................
United
States
314,174
$
294,887
e
Braskem
Netherlands
Finance
BV
,
Senior
Bond
,
144A,
4.5
%
,
1/31/30
...........................................
Brazil
7,100,000
7,504,061
EI
du
Pont
de
Nemours
and
Co.
,
Senior
Note
,
1.7
%
,
7/15/25
.....
United
States
4,100,000
4,230,234
Methanex
Corp.
,
Senior
Bond
,
4.25
%
,
12/01/24
...............
Canada
1,500,000
1,595,108
e
SABIC
Capital
II
BV
,
Senior
Bond
,
144A,
4.5
%
,
10/10/28
........
Saudi
Arabia
400,000
462,751
14,087,041
Commercial
Services
&
Supplies
0.1%
e
APCOA
Parking
Holdings
GmbH
,
Senior
Secured
Note
,
144A,
4.625
%
,
1/15/27
.....................................
Germany
1,200,000
EUR
1,435,827
Communications
Equipment
0.1%
e
CommScope
Technologies
LLC
,
Senior
Bond
,
144A,
6
%
,
6/15/25
.
United
States
1,500,000
1,524,375
Consumer
Finance
0.7%
Capital
One
Financial
Corp.
,
Senior
Note
,
3.05
%
,
3/09/22
.......
United
States
13,800,000
14,002,260
Caterpillar
Financial
Services
Corp.
,
Senior
Note
,
1.45
%
,
5/15/25
.
United
States
1,900,000
1,953,922
OneMain
Finance
Corp.
,
Senior
Note
,
6.125
%
,
3/15/24
.........
United
States
4,200,000
4,525,500
20,481,682
Containers
&
Packaging
0.1%
e
Owens-Brockway
Glass
Container,
Inc.
,
Senior
Note
,
144A,
5.875
%
,
8/15/23
...........................................
United
States
1,000,000
1,074,540
e
Sealed
Air
Corp.
,
Senior
Bond
,
144A,
5.25
%
,
4/01/23
..........
United
States
950,000
1,001,585
2,076,125
Diversified
Financial
Services
0.3%
g
Cia
Securitizadora
de
Creditos
Financeiros
Vert
-Fintech
,
12
,
Senior
Secured
Note
,
FRN
,
Zero
Cpn
.,
(
BZDIOVRA
+
5.75
%
),
2/14/24
.
Brazil
7,676,000
BRL
1,766,013
e
EDP
Finance
BV
,
Senior
Note
,
144A,
1.71
%
,
1/24/28
..........
Portugal
6,500,000
6,485,986
8,251,999
Diversified
Telecommunication
Services
0.9%
AT&T,
Inc.
,
Senior
Bond
,
4.125
%
,
2/17/26
...................
United
States
7,000,000
7,880,997
e
CCO
Holdings
LLC
/
CCO
Holdings
Capital
Corp.
,
Senior
Note
,
144A,
4
%
,
3/01/23
...................................
United
States
1,700,000
1,718,214
Verizon
Communications,
Inc.
,
Senior
Note
,
1.45
%
,
3/20/26
.....
United
States
15,700,000
15,923,174
25,522,385
Electric
Utilities
1.0%
Exelon
Corp.
,
Senior
Bond
,
3.4
%
,
4/15/26
...................
United
States
7,000,000
7,692,089
e
Korea
East-West
Power
Co.
Ltd.
,
Senior
Note,
144A,
3.875%,
7/19/23
.....................
South
Korea
4,800,000
5,115,971
Senior
Note,
144A,
1.75%,
5/06/25
......................
South
Korea
8,500,000
8,728,108
Southern
Co.
(The)
,
Senior
Bond
,
3.25
%
,
7/01/26
.............
United
States
6,850,000
7,492,613
29,028,781
Energy
Equipment
&
Services
0.3%
Baker
Hughes
a
GE
Co.
LLC
/
Baker
Hughes
Co-Obligor,
Inc.
,
Senior
Note
,
2.773
%
,
12/15/22
..........................
United
States
8,800,000
9,080,581
Entertainment
0.7%
e
Banijay
Entertainment
SASU
,
Senior
Secured
Note
,
144A,
5.375
%
,
3/01/25
...........................................
France
3,500,000
3,628,730
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Low
Duration
Total
Return
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
32
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
Corporate
Bonds
(continued)
Entertainment
(continued)
Netflix,
Inc.
,
Senior
Bond,
5.75%,
3/01/24
...........................
United
States
1,800,000
$
2,009,583
Senior
Bond,
4.375%,
11/15/26
.........................
United
States
3,100,000
3,521,476
e
Senior
Note,
144A,
3.625%,
6/15/25
.....................
United
States
3,100,000
3,332,593
Walt
Disney
Co.
(The)
,
Senior
Note
,
1.75
%
,
1/13/26
...........
United
States
6,600,000
6,824,338
19,316,720
Equity
Real
Estate
Investment
Trusts
(REITs)
0.1%
e
VICI
Properties
LP
/
VICI
Note
Co.,
Inc.
,
Senior
Note
,
144A,
3.5
%
,
2/15/25
...........................................
United
States
3,000,000
3,061,815
Food
&
Staples
Retailing
0.1%
e
Cencosud
SA
,
Senior
Bond
,
144A,
4.375
%
,
7/17/27
...........
Chile
2,900,000
3,181,822
Health
Care
Equipment
&
Supplies
0.0%
Edwards
Lifesciences
Corp.
,
Senior
Bond
,
4.3
%
,
6/15/28
.......
United
States
300,000
350,639
Health
Care
Providers
&
Services
0.9%
Anthem,
Inc.
,
Senior
Note
,
1.5
%
,
3/15/26
...................
United
States
8,000,000
8,148,013
Centene
Corp.
,
Senior
Note
,
3.375
%
,
2/15/30
................
United
States
2,700,000
2,820,865
Cigna
Corp.
,
Senior
Note
,
1.25
%
,
3/15/26
...................
United
States
8,300,000
8,374,279
Orlando
Health
Obligated
Group
,
3.777
%
,
10/01/28
............
United
States
105,000
118,948
Providence
St
Joseph
Health
Obligated
Group
,
H
,
2.746
%
,
10/01/26
United
States
15,000
16,140
Quest
Diagnostics,
Inc.
,
Senior
Bond
,
3.45
%
,
6/01/26
..........
United
States
4,150,000
4,593,961
24,072,206
Hotels,
Restaurants
&
Leisure
0.4%
e
Genting
New
York
LLC
/
GENNY
Capital,
Inc.
,
Senior
Note
,
144A,
3.3
%
,
2/15/26
......................................
United
States
400,000
403,084
e
International
Game
Technology
plc
,
Senior
Secured
Note
,
144A,
4.125
%
,
4/15/26
.....................................
United
States
1,800,000
1,877,481
e
NCL
Corp.
Ltd.
,
Senior
Note
,
144A,
5.875
%
,
3/15/26
...........
United
States
4,050,000
4,085,438
e
Studio
City
Finance
Ltd.
,
Senior
Note
,
144A,
6
%
,
7/15/25
.......
Macau
2,600,000
2,719,600
e
TUI
Cruises
GmbH
,
Senior
Note
,
144A,
6.5
%
,
5/15/26
..........
Germany
650,000
EUR
791,959
e
Wynn
Macau
Ltd.
,
Senior
Note
,
144A,
5.625
%
,
8/26/28
.........
Macau
400,000
410,560
10,288,122
Independent
Power
and
Renewable
Electricity
Producers
0.1%
e
InterGen
NV
,
Senior
Secured
Bond
,
144A,
7
%
,
6/30/23
.........
Netherlands
1,400,000
1,391,131
e
Talen
Energy
Supply
LLC
,
Senior
Note
,
144A,
10.5
%
,
1/15/26
....
United
States
1,500,000
1,001,250
2,392,381
Interactive
Media
&
Services
0.7%
Baidu,
Inc.
,
Senior
Note
,
4.375
%
,
5/14/24
...................
China
6,500,000
7,073,749
e
Tencent
Holdings
Ltd.
,
Senior
Note,
144A,
2.985%,
1/19/23
.....................
China
9,200,000
9,492,199
Senior
Note,
144A,
1.81%,
1/26/26
......................
China
3,000,000
3,057,221
19,623,169
Internet
&
Direct
Marketing
Retail
0.6%
Alibaba
Group
Holding
Ltd.
,
Senior
Note,
2.8%,
6/06/23
............................
China
1,100,000
1,141,495
Senior
Note,
3.6%,
11/28/24
...........................
China
11,000,000
11,920,861
Amazon.com,
Inc.
,
Senior
Note
,
2.4
%
,
2/22/23
...............
United
States
2,550,000
2,631,824
15,694,180
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Low
Duration
Total
Return
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
33
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
Corporate
Bonds
(continued)
IT
Services
0.2%
Fiserv,
Inc.
,
Senior
Note
,
2.25
%
,
6/01/27
....................
United
States
5,200,000
$
5,449,303
Machinery
0.0%
e
Manitowoc
Co.,
Inc.
(The)
,
Secured
Note
,
144A,
9
%
,
4/01/26
....
United
States
1,200,000
1,299,300
Media
0.6%
Charter
Communications
Operating
LLC
/
Charter
Communications
Operating
Capital
,
Senior
Secured
Note
,
4.908
%
,
7/23/25
.....
United
States
8,000,000
9,085,143
CSC
Holdings
LLC
,
Senior
Bond
,
5.25
%
,
6/01/24
.............
United
States
2,000,000
2,163,500
Fox
Corp.
,
Senior
Note
,
3.05
%
,
4/07/25
.....................
United
States
2,000,000
2,148,100
e
Univision
Communications,
Inc.
,
Senior
Secured
Note
,
144A,
5.125
%
,
2/15/25
.....................................
United
States
3,700,000
3,764,528
17,161,271
Metals
&
Mining
0.0%
e,h
Novelis
Corp.
,
Senior
Note
,
144A,
3.25
%
,
11/15/26
............
United
States
1,000,000
1,016,285
Multiline
Retail
0.0%
a,e,f
K2016470219
South
Africa
Ltd.
,
Senior
Secured
Note
,
144A,
PIK,
3
%
,
12/31/22
.......................................
South
Africa
1,036,936
a,e,f
K2016470260
South
Africa
Ltd.
,
Senior
Secured
Note
,
144A,
PIK,
25
%
,
12/31/22
......................................
South
Africa
371,816
Multi-Utilities
0.3%
Dominion
Energy,
Inc.
,
D,
Senior
Bond,
2.85%,
8/15/26
........................
United
States
1,300,000
1,400,441
A,
Senior
Note,
1.45%,
4/15/26
.........................
United
States
6,000,000
6,064,391
7,464,832
Oil,
Gas
&
Consumable
Fuels
2.0%
Apache
Corp.
,
Senior
Note
,
4.625
%
,
11/15/25
................
United
States
1,500,000
1,614,375
BP
Capital
Markets
America,
Inc.
,
Senior
Note
,
3.41
%
,
2/11/26
...
United
States
7,000,000
7,699,896
Cenovus
Energy,
Inc.
,
Senior
Note
,
5.375
%
,
7/15/25
...........
Canada
4,000,000
4,565,758
Cheniere
Corpus
Christi
Holdings
LLC
,
Senior
Secured
Note
,
5.875
%
,
3/31/25
.....................................
United
States
5,800,000
6,632,616
Chevron
Corp.
,
Senior
Note
,
1.554
%
,
5/11/25
................
United
States
4,500,000
4,630,763
Energy
Transfer
LP
,
Senior
Bond
,
4.75
%
,
1/15/26
.............
United
States
5,200,000
5,869,565
EnLink
Midstream
Partners
LP
,
Senior
Bond
,
4.4
%
,
4/01/24
......
United
States
3,800,000
3,999,082
e
Harvest
Operations
Corp.
,
Senior
Note
,
144A,
4.2
%
,
6/01/23
.....
South
Korea
2,900,000
3,083,111
MPLX
LP
,
Senior
Note
,
4.875
%
,
12/01/24
...................
United
States
6,800,000
7,603,672
Occidental
Petroleum
Corp.
,
Senior
Note,
3.45%,
7/15/24
...........................
United
States
3,000,000
3,040,275
Senior
Note,
5.5%,
12/01/25
...........................
United
States
500,000
550,650
Sabine
Pass
Liquefaction
LLC
,
Senior
Secured
Note,
5.75%,
5/15/24
....................
United
States
2,000,000
2,240,804
Senior
Secured
Note,
5.625%,
3/01/25
...................
United
States
2,000,000
2,291,923
Williams
Cos.,
Inc.
(The)
,
Senior
Bond
,
4
%
,
9/15/25
...........
United
States
2,300,000
2,560,106
56,382,596
Personal
Products
0.2%
Avon
Products,
Inc.
,
Senior
Bond
,
6.75
%
,
3/15/23
.............
United
Kingdom
5,835,000
6,221,569
e
Oriflame
Investment
Holding
plc
,
Senior
Secured
Note
,
144A,
5.125
%
,
5/04/26
.....................................
Switzerland
600,000
617,700
6,839,269
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Low
Duration
Total
Return
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
34
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
Corporate
Bonds
(continued)
Pharmaceuticals
0.8%
AstraZeneca
plc
,
Senior
Note
,
0.7
%
,
4/08/26
.................
United
Kingdom
6,300,000
$
6,229,817
e
Bayer
US
Finance
II
LLC
,
Senior
Note,
144A,
3.875%,
12/15/23
....................
Germany
5,800,000
6,207,709
Senior
Note,
144A,
4.25%,
12/15/25
.....................
Germany
4,600,000
5,144,531
Bristol-Myers
Squibb
Co.
,
Senior
Note
,
2.9
%
,
7/26/24
..........
United
States
2,551,000
2,727,001
e
Royalty
Pharma
plc
,
Senior
Note
,
144A,
1.75
%
,
9/02/27
........
United
States
700,000
704,544
21,013,602
Real
Estate
Management
&
Development
0.0%
e
Vivion
Investments
SARL
,
Senior
Note
,
Reg
S,
3
%
,
8/08/24
.....
Luxembourg
700,000
EUR
829,272
Semiconductors
&
Semiconductor
Equipment
0.4%
Maxim
Integrated
Products,
Inc.
,
Senior
Bond
,
3.45
%
,
6/15/27
...
United
States
800,000
892,837
e
SK
Hynix,
Inc.
,
Senior
Note
,
144A,
1.5
%
,
1/19/26
.............
South
Korea
9,900,000
9,842,771
10,735,608
Specialty
Retail
0.0%
e,g
Party
City
Holdings,
Inc.
,
Senior
Secured
Note
,
144A,
FRN
,
5.75
%
,
(
6-month
USD
LIBOR
+
5
%
),
7/15/25
.....................
United
States
565,890
537,064
Thrifts
&
Mortgage
Finance
0.4%
e
BPCE
SA
,
Senior
Note
,
144A,
2.375
%
,
1/14/25
...............
France
7,000,000
7,311,134
Radian
Group,
Inc.
,
Senior
Note
,
6.625
%
,
3/15/25
.............
United
States
3,000,000
3,365,355
10,676,489
Tobacco
0.3%
Altria
Group,
Inc.
,
Senior
Note
,
2.35
%
,
5/06/25
...............
United
States
4,200,000
4,401,130
e
Imperial
Brands
Finance
plc
,
Senior
Bond,
144A,
4.25%,
7/21/25
......................
United
Kingdom
3,695,000
4,079,168
Senior
Note,
144A,
3.125%,
7/26/24
.....................
United
Kingdom
700,000
738,331
9,218,629
Trading
Companies
&
Distributors
0.1%
e
WESCO
Distribution,
Inc.
,
Senior
Note
,
144A,
7.125
%
,
6/15/25
...
United
States
1,400,000
1,506,743
Wireless
Telecommunication
Services
0.1%
e
Sprint
Spectrum
Co.
LLC
/
Sprint
Spectrum
Co.
II
LLC
/
Sprint
Spectrum
Co.
III
LLC
,
Senior
Secured
Note,
144A,
3.423%,
9/20/21
..............
United
States
156,250
156,895
Senior
Secured
Note,
144A,
4.738%,
3/20/25
..............
United
States
750,000
804,176
T-Mobile
USA,
Inc.
,
Senior
Note
,
2.25
%
,
2/15/26
..............
United
States
3,000,000
3,037,860
3,998,931
Total
Corporate
Bonds
(Cost
$555,255,441)
.....................................
566,522,856
a
g
Senior
Floating
Rate
Interests
0.9%
Aerospace
&
Defense
0.1%
Dynasty
Acquisition
Co.,
Inc.
,
2020
Term
Loan,
B1,
3.647%,
(3-month
USD
LIBOR
+
3.5%),
4/06/26
...........................................
United
States
1,789,272
1,733,357
2020
Term
Loan,
B2,
3.647%,
(3-month
USD
LIBOR
+
3.5%),
4/06/26
...........................................
United
States
961,974
931,913
2,665,270
a
a
a
a
a
a
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Low
Duration
Total
Return
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
35
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
g
Senior
Floating
Rate
Interests
(continued)
Airlines
0.2%
h,i
Air
Canada
,
Term
Loan,
B
,
TBD,
7/27/28
....................
Canada
6,900,000
6,920,148
Diversified
Consumer
Services
0.1%
KUEHG
Corp.
,
Term
Loan,
B3
,
4.75
%
,
(
3-month
USD
LIBOR
+
3.75
%
),
2/21/25
.....................................
United
States
1,626,063
1,595,688
Entertainment
0.1%
Diamond
Sports
Group
LLC
,
Term
Loan
,
3.35
%
,
(
1-month
USD
LIBOR
+
3.25
%
),
8/24/26
..............................
United
States
1,723,684
953,120
William
Morris
Endeavor
Entertainment
LLC
(IMG
Worldwide
Holdings
LLC)
,
First
Lien,
Term
Loan,
B1
,
2.85
%
,
(
1-month
USD
LIBOR
+
2.75
%
),
5/18/25
..............................
United
States
1,401,103
1,365,081
2,318,201
a
a
a
a
a
a
Leisure
Products
0.1%
Hercules
Achievement,
Inc.
(Varsity
Brands
Holding
Co.,
Inc.)
,
First
Lien,
Initial
Term
Loan
,
4.5
%
,
(
1-month
USD
LIBOR
+
3.5
%
),
12/16/24
..........................................
United
States
2,390,174
2,331,089
Media
0.2%
h
Cengage
Learning,
Inc.
,
First
Lien,
Term
Loan,
B
,
5.75
%
,
(
3-month
USD
LIBOR
+
4.75
%
),
7/14/26
..........................
United
States
2,610,029
2,612,547
h
Clear
Channel
Outdoor
Holdings,
Inc.
,
Term
Loan,
B
,
3.628
%
,
(
2-month
USD
LIBOR
+
3.5%;
3-month
USD
LIBOR
+
3.5%
),
8/21/26
...........................................
United
States
3,200,000
3,112,336
5,724,883
a
a
a
a
a
a
Personal
Products
0.1%
Coty,
Inc.
,
USD
Term
Loan,
B
,
2.352
%
,
(
1-month
USD
LIBOR
+
2.25
%
),
4/07/25
.....................................
United
States
2,755,475
2,654,611
Total
Senior
Floating
Rate
Interests
(Cost
$24,817,280)
..........................
24,209,890
Marketplace
Loans
0.9%
Diversified
Financial
Services
0.9%
a
Lending
Club
-
LCX,
5%
-
28.8%,
4/24/22
-
4/14/25
............
United
States
3,079,809
2,872,618
a
Lending
Club,
5%
-
28.8%,
9/20/21
-
3/16/25
.................
United
States
10,250,061
9,344,004
a
Square
Capital,
Zero
Cpn
.,
3/18/22
-
1/27/23
.................
United
States
13,440,527
13,266,653
a
Upgrade,
13.64%
-
30.51%,
9/05/22
-
1/25/25
................
United
States
1,385,418
1,291,813
26,775,088
a
a
a
a
a
a
Total
Marketplace
Loans
(Cost
$28,155,815)
....................................
26,775,088
Foreign
Government
and
Agency
Securities
5.2%
e
Banque
Centrale
de
Tunisie
,
Senior
Bond,
144A,
5.75%,
1/30/25
..
Tunisia
4,700,000
3,992,203
e
Banque
Ouest
Africaine
de
Developpement
,
Senior
Bond,
144A,
5%,
7/27/27
...........................................
Supranational
j
3,900,000
4,353,617
e
Belarus
Government
Bond,
Senior
Bond,
144A,
7.625%,
6/29/27
..
Belarus
3,900,000
3,839,452
Brazil
Government
Bond,
Senior
Bond,
8.75%,
2/04/25
.........
Brazil
2,720,000
3,390,507
Colombia
Government
Bond,
Senior
Bond,
8.125%,
5/21/24
.....
Colombia
5,300,000
6,208,924
e
Dexia
Credit
Local
SA,
Senior
Note,
144A,
2.375%,
9/20/22
.....
France
4,800,000
4,915,507
e
Dominican
Republic
Government
Bond,
Senior
Note,
144A,
8.9%,
2/15/23
...........................................
Dominican
Republic
218,500,000
DOP
4,044,888
e
Egypt
Government
Bond,
Senior
Note,
144A,
5.75%,
5/29/24
....
Egypt
3,800,000
4,051,062
e,k
Electricite
de
France
SA,
Junior
Sub.
Bond,
144A,
5.625%
to
1/22/24,
FRN
thereafter,
Perpetual
.......................
France
2,200,000
2,369,400
Equinor
ASA,
Senior
Note,
2.875%,
4/06/25
...........................
Norway
15,300,000
16,412,941
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Low
Duration
Total
Return
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
36
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
Foreign
Government
and
Agency
Securities
(continued)
Senior
Note,
1.75%,
1/22/26
...........................
Norway
5,400,000
$
5,588,769
e
Export-Import
Bank
of
India,
Senior
Bond,
144A,
3.875%,
2/01/28
.
India
3,400,000
3,696,513
Export-Import
Bank
of
Korea,
Senior
Bond,
2.875%,
1/21/25
.....
South
Korea
2,000,000
2,140,869
e
Gabon
Government
Bond,
Senior
Bond,
144A,
6.95%,
6/16/25
...
Gabon
1,250,000
1,358,825
Hungary
Government
Bond,
Senior
Bond,
5.375%,
2/21/23
......
Hungary
3,400,000
3,666,407
e
Indonesia
Government
Bond,
Senior
Note,
144A,
3.7%,
1/08/22
..
Indonesia
6,330,000
6,417,585
e
Iraq
Government
Bond,
Senior
Bond,
144A,
5.8%,
1/15/28
......
Iraq
6,093,750
5,844,059
e
Israel
Electric
Corp.
Ltd.,
Senior
Secured
Bond,
144A,
Reg
S,
4.25%,
8/14/28
...........................................
Israel
1,400,000
1,572,270
e
Kazakhstan
Government
Bond,
Senior
Bond,
144A,
3.875%,
10/14/24
..........................................
Kazakhstan
5,830,000
6,364,658
Korea
Development
Bank
(The),
Senior
Note,
3.375%,
3/12/23
...
South
Korea
7,100,000
7,434,252
Mexico
Government
Bond,
Senior
Bond,
4.15%,
3/28/27
........
Mexico
6,100,000
6,950,126
e
Mongolia
Government
Bond,
Senior
Note,
144A,
8.75%,
3/09/24
..
Mongolia
1,360,000
1,556,015
e
Pakistan
Government
Bond,
Senior
Bond,
144A,
8.25%,
9/30/25
..
Pakistan
1,440,000
1,580,083
Peru
Government
Bond,
Senior
Bond,
7.35%,
7/21/25
...........................
Peru
3,300,000
4,024,944
Senior
Bond,
2.783%,
1/23/31
..........................
Peru
800,000
805,112
e
Petroleos
Mexicanos
,
Senior
Note,
144A,
6.875%,
10/16/25
.....
Mexico
990,000
1,091,416
Philippines
Government
Bond,
Senior
Bond,
4.2%,
1/21/24
......
Philippines
1,600,000
1,742,839
Poland
Government
Bond,
Senior
Bond,
5%,
3/23/22
..........
Poland
4,310,000
4,444,511
e
Russia
Government
Bond,
Senior
Bond,
144A,
4.875%,
9/16/23
..
Russia
4,400,000
4,783,363
South
Africa
Government
Bond,
Senior
Bond,
5.875%,
9/16/25
...
South
Africa
5,640,000
6,395,534
Turkey
Government
Bond,
Senior
Note,
6.375%,
10/14/25
.......
Turkey
5,980,000
6,294,010
e
Ukraine
Government
Bond,
Senior
Bond,
144A,
7.375%,
9/25/32
.
Ukraine
4,500,000
4,693,860
l
Uruguay
Government
Bond,
Index
Linked,
Senior
Bond,
3.7%,
6/26/37
...........................................
Uruguay
170,449,778
UYU
4,383,359
Total
Foreign
Government
and
Agency
Securities
(Cost
$144,087,019)
............
146,407,880
U.S.
Government
and
Agency
Securities
34.8%
U.S.
Treasury
Notes,
2.125%,
9/30/21
.....................................
United
States
10,000,000
10,033,490
1.75%,
5/15/22
.....................................
United
States
117,000,000
118,540,270
1.875%,
8/31/22
.....................................
United
States
75,000,000
76,447,266
2%,
2/15/23
........................................
United
States
95,000,000
97,727,539
2.625%,
2/28/23
.....................................
United
States
52,000,000
54,045,469
1.625%,
4/30/23
.....................................
United
States
90,000,000
92,309,765
1.625%,
5/31/23
.....................................
United
States
50,000,000
51,335,937
2.75%,
5/31/23
.....................................
United
States
98,000,000
102,635,860
2.5%,
8/15/23
......................................
United
States
110,000,000
115,177,734
2.75%,
8/31/23
.....................................
United
States
105,000,000
110,578,125
2.875%,
10/31/23
....................................
United
States
52,000,000
55,095,625
2.875%,
11/30/23
....................................
United
States
70,000,000
74,298,437
l
0.25%,
1/15/25
.....................................
United
States
1,340,000
1,662,185
l
0.375%,
7/15/25
.....................................
United
States
1,200,000
1,512,244
2.875%,
7/31/25
.....................................
United
States
12,000,000
13,108,125
l
0.375%,
7/15/27
.....................................
United
States
3,840,000
4,820,121
Total
U.S.
Government
and
Agency
Securities
(Cost
$978,446,874)
................
979,328,192
Asset-Backed
Securities
14.6%
Airlines
0.0%
American
Airlines
Pass-Through
Trust,
2016-2,
AA,
3.2%,
6/15/28
.
United
States
39,350
40,263
United
Airlines
Pass-Through
Trust,
2020-1,
B,
4.875%,
7/15/27
..
United
States
420,413
441,753
482,016
a
a
a
a
a
a
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Low
Duration
Total
Return
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
37
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
Asset-Backed
Securities
(continued)
Commercial
Services
&
Supplies
0.5%
e,m
Armada
Euro
CLO
IV
DAC,
4A,
B,
144A,
FRN,
1.7%,
7/15/33
....
Ireland
12,400,000
EUR
$
14,739,540
Consumer
Finance
0.5%
Discover
Card
Execution
Note
Trust,
2019-A3,
A,
1.89%,
10/15/24
United
States
13,340,000
13,610,009
Diversified
Financial
Services
13.6%
e,n
Adagio
CLO
VIII
DAC,
VIII-A,
B1,
144A,
FRN,
1.65%,
(3-month
EURIBOR
+
1.65%),
4/15/32
...........................
Ireland
500,000
EUR
596,176
e
American
Homes
4
Rent
Trust
,
2014-SFR3,
A,
144A,
3.678%,
12/17/36
...................
United
States
712,007
756,257
2015-SFR1,
A,
144A,
3.467%,
4/17/52
....................
United
States
5,431,502
5,750,736
e,n
AMMC
CLO
21
Ltd.,
2017-21A,
C,
144A,
FRN,
2.276%,
(3-month
USD
LIBOR
+
2.1%),
11/02/30
..........................
United
States
400,000
395,388
e,n
AMMC
CLO
XI
Ltd.,
2012-11A,
CR2,
144A,
FRN,
2.028%,
(3-month
USD
LIBOR
+
1.9%),
4/30/31
...........................
United
States
1,850,000
1,843,935
e,n
Antares
CLO
Ltd.,
2018-1A,
B,
144A,
FRN,
1.784%,
(3-month
USD
LIBOR
+
1.65%),
4/20/31
..............................
United
States
6,000,000
5,917,500
e,n
Apidos
CLO
XXXV,
2021-35A,
A,
144A,
FRN,
1.245%,
(3-month
USD
LIBOR
+
1.05%),
4/20/34
..........................
United
States
19,306,000
19,317,577
e,n
Ares
European
CLO
VIII
BV,
8A,
BR,
144A,
FRN,
1.6%,
(3-month
EURIBOR
+
1.6%),
4/17/32
............................
Ireland
700,000
EUR
825,012
e,n
Bain
Capital
Credit
CLO
Ltd.,
2018-1A,
A1,
144A,
FRN,
1.098%,
(3-month
USD
LIBOR
+
0.96%),
4/23/31
..................
United
States
2,000,000
2,000,498
e,n
BCC
Middle
Market
CLO
LLC,
2018-1A,
A2,
144A,
FRN,
2.284%,
(3-month
USD
LIBOR
+
2.15%),
10/20/30
.................
United
States
2,100,000
2,077,824
e,n
Blackrock
European
CLO
IX
DAC
,
9A,
A,
144A,
FRN,
0.9%,
(3-month
EURIBOR
+
0.9%),
12/15/32
Ireland
3,300,000
EUR
3,918,629
9A,
B,
144A,
FRN,
1.55%,
(3-month
EURIBOR
+
1.55%),
12/15/32
Ireland
1,100,000
EUR
1,306,935
e,n
BlueMountain
CLO
Ltd.
,
2012-2A,
BR2,
144A,
FRN,
1.605%,
(3-month
USD
LIBOR
+
1.45%),
11/20/28
....................................
United
States
2,970,000
2,973,643
2012-2A,
DR2,
144A,
FRN,
3.055%,
(3-month
USD
LIBOR
+
2.9%),
11/20/28
.....................................
United
States
2,295,000
2,268,033
e,n
BlueMountain
Fuji
EUR
CLO
V
DAC,
5A,
B,
144A,
FRN,
1.55%,
(3-month
EURIBOR
+
1.55%),
1/15/33
....................
Ireland
4,550,000
EUR
5,405,751
e,n
BlueMountain
Fuji
US
CLO
III
Ltd.
,
2017-3A,
A2,
144A,
FRN,
1.276%,
(3-month
USD
LIBOR
+
1.15%),
1/15/30
.....................................
United
States
1,000,000
998,197
2017-3A,
C,
144A,
FRN,
1.826%,
(3-month
USD
LIBOR
+
1.7%),
1/15/30
...........................................
United
States
500,000
496,427
e,n
Carlyle
Global
Market
Strategies
CLO
Ltd.
,
2014-1A,
A2R2,
144A,
FRN,
1.264%,
(3-month
USD
LIBOR
+
1.13%),
4/17/31
.....................................
United
States
1,200,000
1,192,173
2014-1A,
DR,
144A,
FRN,
2.734%,
(3-month
USD
LIBOR
+
2.6%),
4/17/31
...........................................
United
States
533,000
513,405
e,n
Carlyle
GMS
Finance
MM
CLO
LLC,
2015-1A,
A2R,
144A,
FRN,
2.326%,
(3-month
USD
LIBOR
+
2.2%),
10/15/31
............
United
States
7,300,000
7,174,571
e,n
Carlyle
US
CLO
Ltd.
,
2017-4A,
B,
144A,
FRN,
1.976%,
(3-month
USD
LIBOR
+
1.85%),
1/15/30
...........................................
United
States
1,107,000
1,104,234
2017-4A,
C,
144A,
FRN,
2.926%,
(3-month
USD
LIBOR
+
2.8%),
1/15/30
...........................................
United
States
400,000
385,744
2017-5A,
B,
144A,
FRN,
1.934%,
(3-month
USD
LIBOR
+
1.8%),
1/20/30
...........................................
United
States
2,200,000
2,170,225
2021-1A,
A1,
144A,
FRN,
1.331%,
(3-month
USD
LIBOR
+
1.14%),
4/15/34
.....................................
United
States
17,876,000
17,929,621
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Low
Duration
Total
Return
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
38
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
Asset-Backed
Securities
(continued)
Diversified
Financial
Services
(continued)
e,n
Carlyle
US
CLO
Ltd.,
(continued)
e,n
Cent
CLO
21
Ltd.,
2014-21A,
CR2,
144A,
FRN,
3.329%,
(3-month
USD
LIBOR
+
3.2%),
7/27/30
...........................
United
States
502,000
$
498,435
e
CF
Hippolyta
LLC,
2020-1,
A1,
144A,
1.69%,
7/15/60
..........
United
States
3,482,471
3,563,760
e,m
Consumer
Loan
Underlying
Bond
Certificate
Issuer
Trust
I
,
2018-14,
PT,
144A,
FRN,
7.893%,
9/16/41
.................
United
States
90,365
87,381
a
2018-29,
PT,
144A,
FRN,
30.891%,
12/15/43
...............
United
States
235,489
234,691
2018-8,
PT,
144A,
FRN,
Zero
Cpn
.,
6/17/41
................
United
States
6,571
5,726
2019-26,
PT,
144A,
FRN,
20.753%,
8/15/44
................
United
States
940,330
940,993
2019-31,
PT,
144A,
FRN,
22.416%,
9/15/44
................
United
States
840,540
834,210
2019-37,
PT,
144A,
FRN,
22.443%,
10/17/44
...............
United
States
826,571
816,014
2019-42,
PT,
144A,
FRN,
21.204%,
11/15/44
...............
United
States
846,161
846,366
2019-51,
PT,
144A,
FRN,
17.225%,
1/15/45
................
United
States
2,255,085
2,256,472
2019-52,
PT,
144A,
FRN,
16.627%,
1/15/45
................
United
States
2,811,990
2,835,165
2019-S1,
PT,
144A,
FRN,
18.465%,
4/15/44
................
United
States
485,032
476,891
2019-S2,
PT,
144A,
FRN,
15.051%,
5/16/44
................
United
States
392,908
391,207
2019-S3,
PT,
144A,
FRN,
15.166%,
6/15/44
................
United
States
290,047
288,970
2019-S4,
PT,
144A,
FRN,
14.24%,
8/15/44
.................
United
States
637,593
638,101
2019-S5,
PT,
144A,
FRN,
13.929%,
9/15/44
................
United
States
672,439
672,495
2019-S6,
PT,
144A,
FRN,
12.466%,
10/17/44
...............
United
States
647,880
637,012
2019-S7,
PT,
144A,
FRN,
11.254%,
12/15/44
...............
United
States
1,270,570
1,255,306
2019-S8,
PT,
144A,
FRN,
11.978%,
1/15/45
................
United
States
1,637,467
1,612,955
2020-2,
PT,
144A,
FRN,
17.112%,
3/15/45
.................
United
States
2,590,318
2,599,117
2020-7,
PT,
144A,
FRN,
16.993%,
4/17/45
.................
United
States
1,543,601
1,530,052
e,n
Cook
Park
CLO
Ltd.,
2018-1A,
A2,
144A,
FRN,
1.254%,
(3-month
USD
LIBOR
+
1.12%),
4/17/30
..........................
United
States
1,000,000
995,047
n
CWABS,
Inc.,
2004-1,
M1,
FRN,
0.839%,
(1-month
USD
LIBOR
+
0.75%),
3/25/34
.....................................
United
States
45,456
45,374
e,n
Dryden
44
Euro
CLO
2015
BV,
2015-44A,
A1RR,
144A,
FRN,
0.88%,
(3-month
EURIBOR
+
0.88%),
4/15/34
....................
Netherlands
20,020,000
EUR
23,722,348
e,n
Dryden
55
CLO
Ltd.
,
2018-55A,
C,
144A,
FRN,
2.026%,
(3-month
USD
LIBOR
+
1.9%),
4/15/31
...........................................
United
States
600,000
593,813
2018-55A,
D,
144A,
FRN,
2.976%,
(3-month
USD
LIBOR
+
2.85%),
4/15/31
.....................................
United
States
300,000
297,000
e,n
Dryden
58
CLO
Ltd.,
2018-58A,
A2,
144A,
FRN,
1.384%,
(3-month
USD
LIBOR
+
1.25%),
7/17/31
..........................
United
States
1,600,000
1,597,300
e,n
Dryden
64
CLO
Ltd.,
2018-64A,
C,
144A,
FRN,
1.884%,
(3-month
USD
LIBOR
+
1.75%),
4/18/31
..........................
United
States
750,000
748,468
e,n
Ellington
CLO
III
Ltd.,
2018-3A,
A1,
144A,
FRN,
1.784%,
(3-month
USD
LIBOR
+
1.65%),
7/20/30
..........................
United
States
3,700,639
3,698,424
e
FirstKey
Homes
Trust,
2020-SFR2,
A,
144A,
1.266%,
10/19/37
...
United
States
4,220,664
4,240,500
e,n
Galaxy
XXVII
CLO
Ltd.,
2018-27A,
A,
144A,
FRN,
1.176%,
(3-month
USD
LIBOR
+
1.02%),
5/16/31
..........................
United
States
1,500,000
1,500,300
e,n
Golden
Tree
Loan
Management
US
CLO
1
Ltd.,
2021-9A,
A,
144A,
FRN,
1.204%,
(3-month
USD
LIBOR
+
1.07%),
1/20/33
.......
United
States
15,731,000
15,767,658
e,n
Halcyon
Loan
Advisors
Funding
Ltd.,
2018-1A,
A2,
144A,
FRN,
1.934%,
(3-month
USD
LIBOR
+
1.8%),
7/21/31
.............
United
States
5,000,000
4,990,636
e,n
Holland
Park
CLO
DAC,
1A,
A1RR,
144A,
FRN,
0.92%,
(3-month
EURIBOR
+
0.92%),
11/14/32
..........................
Ireland
15,000,000
EUR
17,813,391
e,n
LCM
26
Ltd.,
26A,
C,
144A,
FRN,
1.934%,
(3-month
USD
LIBOR
+
1.8%),
1/20/31
......................................
United
States
2,000,000
1,991,712
n
Lehman
XS
Trust,
2005-4,
1A4,
FRN,
0.649%,
(1-month
USD
LIBOR
+
0.56%),
10/25/35
..................................
United
States
140,008
140,119
e,n
Long
Point
Park
CLO
Ltd.,
2017-1A,
B,
144A,
FRN,
1.834%,
(3-month
USD
LIBOR
+
1.7%),
1/17/30
...................
United
States
2,000,000
1,990,219
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Low
Duration
Total
Return
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
39
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
Asset-Backed
Securities
(continued)
Diversified
Financial
Services
(continued)
e,n
Madison
Park
Euro
Funding
VIII
DAC
,
8A,
ARN,
144A,
FRN,
0.95%,
(3-month
EURIBOR
+
0.95%),
4/15/32
...........................................
Ireland
24,700,000
EUR
$
29,368,261
8A,
BRN,
144A,
FRN,
1.7%,
(3-month
EURIBOR
+
1.7%),
4/15/32
Ireland
2,800,000
EUR
3,329,762
e,n
Madison
Park
Funding
XIII
Ltd.,
2014-13A,
DR2,
144A,
FRN,
2.984%,
(3-month
USD
LIBOR
+
2.85%),
4/19/30
............
United
States
332,000
329,095
e,n
Madison
Park
Funding
XLII
Ltd.,
13A,
C,
144A,
FRN,
1.938%,
(3-month
USD
LIBOR
+
1.8%),
11/21/30
..................
United
States
1,600,000
1,585,652
e,n
Magnetite
XXIX
Ltd.,
2021-29A,
A,
144A,
FRN,
1.116%,
(3-month
USD
LIBOR
+
0.99%),
1/15/34
..........................
United
States
21,809,000
21,811,066
e,m
Mill
City
Mortgage
Loan
Trust
,
2017-1,
A1,
144A,
FRN,
2.75%,
11/25/58
..................
United
States
342,207
345,872
2018-1,
A1,
144A,
FRN,
3.25%,
5/25/62
...................
United
States
8,128,381
8,322,041
2018-4,
A1B,
144A,
FRN,
3.5%,
4/25/66
...................
United
States
8,129,355
8,488,692
e,n
Neuberger
Berman
CLO
XVIII
Ltd.,
2014-18A,
A1BR,
144A,
FRN,
1.534%,
(3-month
USD
LIBOR
+
1.4%),
10/21/30
............
United
States
2,295,000
2,299,232
e,n
Octagon
Investment
Partners
18-R
Ltd.
,
2018-18A,
A1A,
144A,
FRN,
1.086%,
(3-month
USD
LIBOR
+
0.96%),
4/16/31
.....................................
United
States
1,000,000
1,001,064
2018-18A,
C,
144A,
FRN,
2.826%,
(3-month
USD
LIBOR
+
2.7%),
4/16/31
...........................................
United
States
1,000,000
982,467
e,n
Octagon
Investment
Partners
26
Ltd.,
2016-1A,
A2R,
144A,
FRN,
1.476%,
(3-month
USD
LIBOR
+
1.35%),
7/15/30
............
United
States
1,600,000
1,599,143
e,n
Octagon
Investment
Partners
33
Ltd.,
2017-1A,
C,
144A,
FRN,
2.884%,
(3-month
USD
LIBOR
+
2.75%),
1/20/31
............
United
States
250,000
248,316
e,n
Octagon
Investment
Partners
35
Ltd.,
2018-1A,
A1B,
144A,
FRN,
1.234%,
(3-month
USD
LIBOR
+
1.1%),
1/20/31
.............
United
States
2,000,000
1,988,971
e,n
OHA
Credit
Partners
VII
Ltd.,
2012-7A,
AR3,
144A,
FRN,
1.225%,
(3-month
USD
LIBOR
+
1.07%),
2/20/34
..................
United
States
17,876,000
17,898,347
e,m
Prosper
Pass-Thru
Trust
III
,
2020-PT1,
A,
144A,
FRN,
8.796%,
3/15/26
.................
United
States
1,629,683
1,616,238
2020-PT2,
A,
144A,
FRN,
9.444%,
4/15/26
.................
United
States
1,874,741
1,841,932
2020-PT3,
A,
144A,
FRN,
7.183%,
5/15/26
.................
United
States
598,105
600,090
n
RAAC
Trust,
2004-SP1,
AII,
FRN,
0.789%,
(1-month
USD
LIBOR
+
0.7%),
3/25/34
......................................
United
States
159,145
161,233
e,n
RR
14
Ltd.,
2021-14A,
A1,
144A,
FRN,
1.246%,
(3-month
USD
LIBOR
+
1.12%),
4/15/36
..............................
United
States
23,418,000
23,407,657
e,n
Sculptor
CLO
XXV
Ltd.,
25A,
A1,
144A,
FRN,
1.404%,
(3-month
USD
LIBOR
+
1.27%),
1/15/31
..........................
United
States
10,726,000
10,728,839
e,m
Towd
Point
Mortgage
Trust
,
2017-1,
A1,
144A,
FRN,
2.75%,
10/25/56
..................
United
States
5,525,243
5,610,658
2018-4,
A1,
144A,
FRN,
3%,
6/25/58
.....................
United
States
12,975,407
13,517,584
2019-1,
A1,
144A,
FRN,
3.722%,
3/25/58
..................
United
States
10,503,565
11,109,432
e,m
Upgrade
Master
Pass-Thru
Trust
,
2019-PT1,
A,
144A,
FRN,
15.567%,
6/15/25
................
United
States
316,684
283,897
2019-PT2,
A,
144A,
FRN,
13.977%,
2/15/26
................
United
States
1,558,210
1,574,306
e,n
Voya
CLO
Ltd.
,
2013-2A,
A1R,
144A,
FRN,
1.095%,
(3-month
USD
LIBOR
+
0.97%),
4/25/31
.....................................
United
States
11,800,000
11,803,002
2013-2A,
CR,
144A,
FRN,
2.875%,
(3-month
USD
LIBOR
+
2.75%),
4/25/31
.....................................
United
States
375,000
364,743
2014-1A,
BR2,
144A,
FRN,
2.034%,
(3-month
USD
LIBOR
+
1.9%),
4/18/31
......................................
United
States
2,750,000
2,721,742
2014-1A,
CR2,
144A,
FRN,
2.934%,
(3-month
USD
LIBOR
+
2.8%),
4/18/31
......................................
United
States
600,000
580,313
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Low
Duration
Total
Return
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
40
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
Asset-Backed
Securities
(continued)
Diversified
Financial
Services
(continued)
e,n
Voya
CLO
Ltd.,
(continued)
2016-3A,
CR,
144A,
FRN,
3.384%,
(3-month
USD
LIBOR
+
3.25%),
10/18/31
....................................
United
States
1,698,113
$
1,645,260
2018-2A,
A2,
144A,
FRN,
1.376%,
(3-month
USD
LIBOR
+
1.25%),
7/15/31
.....................................
United
States
2,500,000
2,489,063
380,126,089
a
a
a
a
a
a
Thrifts
&
Mortgage
Finance
0.0%
m
Conseco
Finance
Securitizations
Corp.,
2002-2,
M1,
FRN,
7.424%,
3/01/33
...........................................
United
States
385,089
404,409
n
Countrywide
Asset-Backed
Certificates
Trust,
2002-3,
1A1,
FRN,
0.829%,
(1-month
USD
LIBOR
+
0.74%),
5/25/32
............
United
States
1,064
1,051
405,460
a
a
a
a
a
a
Total
Asset-Backed
Securities
(Cost
$400,828,490)
..............................
409,363,114
Commercial
Mortgage-Backed
Securities
2.1%
Diversified
Financial
Services
1.6%
e
BAMLL
Commercial
Mortgage
Securities
Trust
,
2012-PARK,
A,
144A,
2.959%,
12/10/30
...................
United
States
3,300,000
3,399,059
2015-200P,
A,
144A,
3.218%,
4/14/33
....................
United
States
600,000
644,025
e,n
BX
Commercial
Mortgage
Trust
,
2018-IND,
A,
144A,
FRN,
0.843%,
(1-month
USD
LIBOR
+
0.75%),
11/15/35
..........................................
United
States
2,377,286
2,382,869
2019-XL,
A,
144A,
FRN,
1.013%,
(1-month
USD
LIBOR
+
0.92%),
10/15/36
..........................................
United
States
3,440,629
3,452,025
2020-BXLP,
A,
144A,
FRN,
0.893%,
(1-month
USD
LIBOR
+
0.8%),
12/15/36
.....................................
United
States
10,946,327
10,972,913
2020-FOX,
A,
144A,
FRN,
1.093%,
(1-month
USD
LIBOR
+
1%),
11/15/32
..........................................
United
States
13,233,080
13,291,816
e
BXP
Trust
,
2017-GM
,
A
,
144A,
3.379
%
,
6/13/39
..............
United
States
2,000,000
2,210,676
Commercial
Mortgage
Trust
,
m
2006-GG7,
AJ,
FRN,
6.012%,
7/10/38
....................
United
States
836,002
752,611
e,m
2014-277P,
A,
144A,
FRN,
3.611%,
8/10/49
................
United
States
3,880,000
4,161,588
e
2015-3BP,
A,
144A,
3.178%,
2/10/35
.....................
United
States
600,000
642,441
e,n
DBCG
Mortgage
Trust
,
2017-BBG
,
A
,
144A,
FRN
,
0.793
%
,
(
1-month
USD
LIBOR
+
0.7
%
),
6/15/34
...........................
United
States
1,500,000
1,503,017
e,m
Eleven
Madison
Mortgage
Trust
,
2015-11MD
,
A
,
144A,
FRN
,
3.555
%
,
9/10/35
.....................................
United
States
2,005,000
2,187,876
e,m
J.P.
Morgan
Chase
Commercial
Mortgage
Securities
Trust
,
2016-
NINE
,
A
,
144A,
FRN
,
2.854
%
,
9/06/38
....................
United
States
600,000
646,630
e
Morgan
Stanley
Capital
I
Trust
,
2014-150E
,
A
,
144A,
3.912
%
,
9/09/32
...........................................
United
States
450,000
484,033
46,731,579
a
a
a
a
a
a
Thrifts
&
Mortgage
Finance
0.5%
Banc
of
America
Commercial
Mortgage
Trust
,
2015-UBS7
,
A4
,
3.705
%
,
9/15/48
.....................................
United
States
100,000
109,581
FHLMC
,
4402
,
PE
,
3.5
%
,
3/15/43
.........................
United
States
389,023
395,441
GS
Mortgage
Securities
Trust
,
2016-GS3,
A4,
2.85%,
10/10/49
.........................
United
States
600,000
645,796
2017-GS6,
A3,
3.433%,
5/10/50
.........................
United
States
2,000,000
2,220,452
JPMBB
Commercial
Mortgage
Securities
Trust
,
2015-C30,
A5,
3.822%,
7/15/48
.........................
United
States
1,500,000
1,647,404
2016-C1,
A5,
3.576%,
3/15/49
..........................
United
States
1,500,000
1,647,090
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Low
Duration
Total
Return
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
41
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
Commercial
Mortgage-Backed
Securities
(continued)
Thrifts
&
Mortgage
Finance
(continued)
Wells
Fargo
Commercial
Mortgage
Trust
,
2016-NXS6
,
A2
,
2.399
%
,
11/15/49
..........................................
United
States
6,500,367
$
6,504,617
13,170,381
a
a
a
a
a
a
Total
Commercial
Mortgage-Backed
Securities
(Cost
$58,155,643)
................
59,901,960
Mortgage-Backed
Securities
2.6%
o
Federal
Home
Loan
Mortgage
Corp.
(FHLMC)
Adjustable
Rate
0.0%
FHLMC,
2.195%
-
2.267%,
(12-month
USD
LIBOR
+/-
MBS
Margin),
10/01/36
-
6/01/37
...................................
United
States
923,871
968,736
968,736
Federal
Home
Loan
Mortgage
Corp.
(FHLMC)
Fixed
Rate
0.0%
FHLMC
Gold
Pools,
15
Year,
5%,
10/01/23
..................
United
States
29,335
30,581
FHLMC
Gold
Pools,
15
Year,
6%,
6/01/23
...................
United
States
2,984
3,072
FHLMC
Gold
Pools,
30
Year,
5%,
1/01/39
...................
United
States
67,829
77,529
111,182
o
Federal
National
Mortgage
Association
(FNMA)
Adjustable
Rate
0.3%
FNMA,
1.155%
-
3.343%,
(6-month
USD
LIBOR
+/-
MBS
Margin),
9/01/22
-
8/01/37
....................................
United
States
629,614
636,431
FNMA,
1.225%
-
1.3%,
(1-month
USD
LIBOR
+/-
MBS
Margin),
4/01/28
-
7/01/34
....................................
United
States
198,249
199,138
FNMA,
1.308%
-
2.561%,
(12-month
average
of
1-year
CMT
+/-
MBS
Margin),
11/01/30
-
10/01/44
.......................
United
States
240,329
247,392
FNMA,
1.425%
-
2.75%,
(12-month
USD
LIBOR
+/-
MBS
Margin),
11/01/32
-
2/01/44
...................................
United
States
5,501,017
5,732,317
FNMA,
1.556%
-
5.63%,
(COFI
11th
District
+/-
MBS
Margin),
12/01/25
-
12/01/36
..................................
United
States
69,481
72,405
FNMA,
1.645%
-
2.895%,
(1-year
CMT
T-Note
+/-
MBS
Margin),
3/01/24
-
4/01/40
....................................
United
States
1,185,919
1,199,840
FNMA,
2.493%
-
4.171%,
(3-year
CMT
T-Note
+/-
MBS
Margin),
2/01/26
-
6/01/34
....................................
United
States
32,931
33,072
FNMA,
2.625%,
(6-month
H15BDI
+/-
MBS
Margin),
8/01/32
.....
United
States
54,599
54,724
FNMA,
2.875%,
(Federal
COFI
+/-
MBS
Margin),
8/01/29
.......
United
States
2,852
2,858
FNMA,
4.8%,
(5-year
CMT
T-Note
+/-
MBS
Margin),
2/01/30
.....
United
States
31,228
31,398
8,209,575
Federal
National
Mortgage
Association
(FNMA)
Fixed
Rate
2.3%
FNMA,
15
Year,
3.5%,
10/01/25
...........................
United
States
310,508
331,853
FNMA,
15
Year,
4%,
12/01/25
............................
United
States
475,123
505,151
FNMA,
15
Year,
4.5%,
5/01/23
-
6/01/25
....................
United
States
235,830
247,467
FNMA,
30
Year,
5%,
3/01/38
.............................
United
States
9,574
10,896
p
FNMA,
Single-family,
15
Year,
2%,
8/25/36
..................
United
States
59,821,000
62,085,319
63,180,686
o
Government
National
Mortgage
Association
(GNMA)
Adjustable
Rate
0.0%
GNMA
II,
1.875%
-
2.25%,
(1-year
CMT
T-Note
+/-
MBS
Margin),
4/20/26
-
9/20/26
....................................
United
States
9,112
9,252
9,252
Total
Mortgage-Backed
Securities
(Cost
$72,210,679)
............................
72,479,431
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Low
Duration
Total
Return
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
42
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
Municipal
Bonds
1.2%
California
0.3%
San
Jose
Redevelopment
Agency
Successor
Agency
,
Tax
Allocation,
Senior
Lien,
2017
A-T,
Refunding,
2.48%,
8/01/21
United
States
1,595,000
$
1,595,000
Tax
Allocation,
Senior
Lien,
2017
A-T,
Refunding,
2.63%,
8/01/22
United
States
5,320,000
5,445,419
Tax
Allocation,
Senior
Lien,
2017
A-T,
Refunding,
3.226%,
8/01/27
United
States
190,000
212,020
7,252,439
Colorado
0.0%
Board
of
Governors
of
Colorado
State
University
System
,
Revenue
,
2015
E-2
,
5
%
,
3/01/25
................................
United
States
100,000
116,725
Florida
0.0%
Citizens
Property
Insurance,
Inc.
,
Revenue
,
2015
A-1
,
5
%
,
6/01/22
United
States
125,000
127,005
Hawaii
0.1%
City
&
County
Honolulu
,
Wastewater
System
,
Revenue
,
2019
B
,
Refunding
,
2.233
%
,
7/01/24
............................
United
States
2,470,000
2,594,388
Illinois
0.1%
State
of
Illinois
,
GO
,
2003
,
5.1
%
,
6/01/33
...................
United
States
2,415,000
2,898,584
Massachusetts
0.1%
Massachusetts
State
College
Building
Authority
,
Revenue
,
2019
C
,
Refunding
,
2.256
%
,
5/01/26
............................
United
States
2,635,000
2,799,403
New
York
0.4%
Metropolitan
Transportation
Authority
,
Revenue
,
2020
E
,
Refunding
,
4
%
,
11/15/45
.......................................
United
States
1,865,000
2,188,174
New
York
State
Urban
Development
Corp.
,
State
of
New
York
Sales
Tax
,
Revenue
,
2019
B
,
Refunding
,
2.25
%
,
3/15/26
...........
United
States
8,750,000
9,190,395
11,378,569
Ohio
0.0%
City
of
Cincinnati
,
GO
,
2015
A
,
Refunding
,
5
%
,
12/01/25
........
United
States
100,000
117,781
Teays
Valley
Local
School
District
,
GO
,
2015
,
Refunding
,
4
%
,
12/01/26
..........................................
United
States
100,000
108,763
226,544
Texas
0.2%
Texas
State
University
System
,
Revenue
,
2019
B
,
Refunding
,
2.351
%
,
3/15/26
.....................................
United
States
4,825,000
5,136,820
Total
Municipal
Bonds
(Cost
$30,475,740)
......................................
32,530,477
Residential
Mortgage-Backed
Securities
6.6%
Capital
Markets
0.0%
n
Merrill
Lynch
Mortgage
Investors
Trust
,
2003-A,
1A,
FRN,
0.829%,
(1-month
USD
LIBOR
+
0.74%),
3/25/28
...........................................
United
States
119,921
120,272
2003-E,
A1,
FRN,
0.709%,
(1-month
USD
LIBOR
+
0.62%),
10/25/28
..........................................
United
States
280,166
283,644
403,916
a
a
a
a
a
a
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Low
Duration
Total
Return
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
43
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
Residential
Mortgage-Backed
Securities
(continued)
Diversified
Financial
Services
0.4%
n
American
Home
Mortgage
Investment
Trust
,
2005-1
,
6A
,
FRN
,
2.159
%
,
(
6-month
USD
LIBOR
+
2
%
),
6/25/45
..............
United
States
414,137
$
425,383
e,m
BRAVO
Residential
Funding
Trust
,
2019-2
,
A3
,
144A,
FRN
,
3.5
%
,
10/25/44
..........................................
United
States
5,786,543
6,044,220
m
CHL
Mortgage
Pass-Through
Trust
,
2004-11
,
2A1
,
FRN
,
2.017
%
,
7/25/34
...........................................
United
States
938,635
948,950
e,m
CIM
Trust
,
2019-INV1
,
A1
,
144A,
FRN
,
4
%
,
2/25/49
...........
United
States
315,972
320,989
Credit
Suisse
First
Boston
Mortgage
Securities
Corp.
,
2004-6
,
3A1
,
5
%
,
6
/25/
37
........................................
United
States
154,730
132,964
e,m
CSMC
Trust
,
2014-IVR3
,
A1
,
144A,
FRN
,
3.5
%
,
7/25/44
........
United
States
588,388
601,870
m
GSR
Mortgage
Loan
Trust
,
2005-AR1
,
1A1
,
FRN
,
2.678
%
,
1/25/35
United
States
98,407
97,711
m
J.P.
Morgan
Mortgage
Trust
,
2004-A1
,
5A1
,
FRN
,
2.385
%
,
2/25/34
United
States
20,522
21,886
MASTR
Alternative
Loan
Trust
,
2003-1
,
3A1
,
5
%
,
6/25/23
.......
United
States
12,781
13,019
e,n
OBX
Trust
,
2018-1
,
A2
,
144A,
FRN
,
0.739
%
,
(
1-month
USD
LIBOR
+
0.65
%
),
6/25/57
.....................................
United
States
1,401,794
1,404,650
n
Thornburg
Mortgage
Securities
Trust
,
2004-3
,
A
,
FRN
,
0.829
%
,
(
1-month
USD
LIBOR
+
0.74
%
),
9/25/34
..................
United
States
403,961
410,140
10,421,782
a
a
a
a
a
a
Thrifts
&
Mortgage
Finance
6.2%
n
FHLMC
Structured
Agency
Credit
Risk
Debt
Notes
,
2013-DN2,
M2,
FRN,
4.339%,
(1-month
USD
LIBOR
+
4.25%),
11/25/23
..........................................
United
States
5,134,855
5,273,301
2014-DN2,
M3,
FRN,
3.689%,
(1-month
USD
LIBOR
+
3.6%),
4/25/24
...........................................
United
States
6,963,107
7,071,952
2014-DN3,
M3,
FRN,
4.089%,
(1-month
USD
LIBOR
+
4%),
8/25/24
...........................................
United
States
1,444,067
1,474,067
2014-DN4,
M3,
FRN,
4.639%,
(1-month
USD
LIBOR
+
4.55%),
10/25/24
..........................................
United
States
2,874,405
2,917,890
2014-HQ2,
M3,
FRN,
3.839%,
(1-month
USD
LIBOR
+
3.75%),
9/25/24
...........................................
United
States
9,743,460
9,923,851
2014-HQ3,
M3,
FRN,
4.839%,
(1-month
USD
LIBOR
+
4.75%),
10/25/24
..........................................
United
States
486,003
488,014
2015-HQA1,
M3,
FRN,
4.789%,
(1-month
USD
LIBOR
+
4.7%),
3/25/28
...........................................
United
States
13,171,975
13,525,668
2015-HQA2,
M3,
FRN,
4.889%,
(1-month
USD
LIBOR
+
4.8%),
5/25/28
...........................................
United
States
1,532,306
1,587,304
2016-DNA1,
M3,
FRN,
5.639%,
(1-month
USD
LIBOR
+
5.55%),
7/25/28
...........................................
United
States
10,317,222
10,811,461
2016-DNA2,
M3,
FRN,
4.739%,
(1-month
USD
LIBOR
+
4.65%),
10/25/28
..........................................
United
States
12,277,543
12,832,970
2016-HQA2,
M3,
FRN,
5.239%,
(1-month
USD
LIBOR
+
5.15%),
11/25/28
..........................................
United
States
9,778,598
10,142,675
2016-HQA3,
M2,
FRN,
1.439%,
(1-month
USD
LIBOR
+
1.35%),
3/25/29
...........................................
United
States
98,342
98,314
2017-HQA3,
M2,
FRN,
2.439%,
(1-month
USD
LIBOR
+
2.35%),
4/25/30
...........................................
United
States
178,773
183,144
n
FNMA
Connecticut
Avenue
Securities
,
2013-C01,
M2,
FRN,
5.339%,
(1-month
USD
LIBOR
+
5.25%),
10/25/23
..........................................
United
States
6,258,346
6,543,087
2014-C01,
M2,
FRN,
4.489%,
(1-month
USD
LIBOR
+
4.4%),
1/25/24
...........................................
United
States
1,590,128
1,644,064
2014-C02,
1M2,
FRN,
2.689%,
(1-month
USD
LIBOR
+
2.6%),
5/25/24
...........................................
United
States
6,975,996
7,027,510
2014-C02,
2M2,
FRN,
2.689%,
(1-month
USD
LIBOR
+
2.6%),
5/25/24
...........................................
United
States
1,568,540
1,584,995
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Low
Duration
Total
Return
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
44
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
Residential
Mortgage-Backed
Securities
(continued)
Thrifts
&
Mortgage
Finance
(continued)
n
FNMA
Connecticut
Avenue
Securities,
(continued)
2014-C03,
1M2,
FRN,
3.089%,
(1-month
USD
LIBOR
+
3%),
7/25/24
...........................................
United
States
7,049,109
$
7,107,838
2014-C03,
2M2,
FRN,
2.989%,
(1-month
USD
LIBOR
+
2.9%),
7/25/24
...........................................
United
States
8,085,801
8,197,366
2014-C04,
1M2,
FRN,
4.989%,
(1-month
USD
LIBOR
+
4.9%),
11/25/24
..........................................
United
States
6,951,889
7,191,639
2014-C04,
2M2,
FRN,
5.089%,
(1-month
USD
LIBOR
+
5%),
11/25/24
..........................................
United
States
1,722,453
1,766,395
2015-C01,
1M2,
FRN,
4.389%,
(1-month
USD
LIBOR
+
4.3%),
2/25/25
...........................................
United
States
4,535,395
4,646,858
2015-C01,
2M2,
FRN,
4.639%,
(1-month
USD
LIBOR
+
4.55%),
2/25/25
...........................................
United
States
166,199
166,491
2015-C02,
1M2,
FRN,
4.089%,
(1-month
USD
LIBOR
+
4%),
5/25/25
...........................................
United
States
5,327,273
5,437,020
2015-C02,
2M2,
FRN,
4.089%,
(1-month
USD
LIBOR
+
4%),
5/25/25
...........................................
United
States
1,224,117
1,235,627
2015-C03,
1M2,
FRN,
5.089%,
(1-month
USD
LIBOR
+
5%),
7/25/25
...........................................
United
States
5,526,354
5,676,557
2016-C01,
1M2,
FRN,
6.839%,
(1-month
USD
LIBOR
+
6.75%),
8/25/28
...........................................
United
States
1,296,110
1,382,013
2016-C01,
2M2,
FRN,
7.039%,
(1-month
USD
LIBOR
+
6.95%),
8/25/28
...........................................
United
States
4,006,819
4,224,409
2016-C02,
1M2,
FRN,
6.089%,
(1-month
USD
LIBOR
+
6%),
9/25/28
...........................................
United
States
112,792
118,594
2016-C04,
1M2,
FRN,
4.339%,
(1-month
USD
LIBOR
+
4.25%),
1/25/29
...........................................
United
States
11,088,815
11,596,070
2016-C05,
2M2,
FRN,
4.539%,
(1-month
USD
LIBOR
+
4.45%),
1/25/29
...........................................
United
States
8,552,147
8,961,639
2016-C06,
1M2,
FRN,
4.339%,
(1-month
USD
LIBOR
+
4.25%),
4/25/29
...........................................
United
States
3,429,527
3,568,100
2016-C07,
2M2,
FRN,
4.439%,
(1-month
USD
LIBOR
+
4.35%),
5/25/29
...........................................
United
States
7,361,280
7,722,516
2017-C03,
1M2,
FRN,
3.089%,
(1-month
USD
LIBOR
+
3%),
10/25/29
..........................................
United
States
2,470,040
2,539,749
n
New
York
Mortgage
Trust
,
2005-3
,
M1
,
FRN
,
0.764
%
,
(
1-month
USD
LIBOR
+
0.675
%
),
2/25/36
.............................
United
States
119,482
115,394
174,784,542
a
a
a
a
a
a
Total
Residential
Mortgage-Backed
Securities
(Cost
$199,259,925)
................
185,610,240
Shares
Escrows
and
Litigation
Trusts
0.0%
b
Mesquite
Energy,
Inc.,
Escrow
Account
.....................
United
States
1,900,000
52,250
a,b
Millennium
Corporate
Claim
Trust,
Escrow
Account
............
United
States
477,205
a,b
Millennium
Lender
Claim
Trust,
Escrow
Account
..............
United
States
477,205
Total
Escrows
and
Litigation
Trusts
(Cost
$1,838,967)
...........................
52,250
Total
Long
Term
Investments
(Cost
$2,637,373,651)
.............................
2,637,221,760
a
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Low
Duration
Total
Return
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
45
Short
Term
Investments
7.8%
a
a
Country
Shares
a
Value
a
Money
Market
Funds
2.0%
d,q
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0.01%
.....
United
States
56,061,627
$
56,061,627
Total
Money
Market
Funds
(Cost
$56,061,627)
..................................
56,061,627
Principal
Amount
*
a
a
a
a
a
Repurchase
Agreements
5.8%
r
Joint
Repurchase
Agreement,
0.026%,
8/02/21
(Maturity
Value
$164,050,233)
BNP
Paribas
Securities
Corp.
(Maturity
Value
$118,724,794)
Deutsche
Bank
Securities,
Inc.
(Maturity
Value
$16,491,970)
HSBC
Securities
(USA)
Inc.
(Maturity
Value
$28,833,469)
Collateralized
by
U.S.
Government
Agency
Securities,
3%
-
5%,
4/20/41
-
3/20/51;
U.S.
Treasury
Bond,
Index
Linked,
2.38%,
1/15/25;
and
U.S.
Treasury
Note,
2.25%,
4/30/24
(valued
at
$167,366,616)
......................................
164,049,874
164,049,874
Total
Repurchase
Agreements
(Cost
$164,049,874)
..............................
164,049,874
Total
Short
Term
Investments
(Cost
$220,111,501
)
...............................
220,111,501
a
Total
Investments
(Cost
$2,857,485,152)
101.6%
................................
$2,857,333,261
Other
Assets,
less
Liabilities
(1.6)%
...........................................
(47,123,957)
Net
Assets
100.0%
...........................................................
$2,810,209,304
*
The
principal
amount
is
stated
in
U.S.
dollars
unless
otherwise
indicated.
Rounds
to
less
than
0.1%
of
net
assets.
a
Fair
valued
using
significant
unobservable
inputs.
See
Note
10
regarding
fair
value
measurements.
b
Non-income
producing.
c
See
Note
6
regarding
restricted
securities.
d
See
Note
9
regarding
investments
in
affiliated
management
investment
companies.
e
Security
was
purchased
pursuant
to
Rule
144A
or
Regulation
S
under
the
Securities
Act
of
1933.
144A
securities
may
be
sold
in
transactions
exempt
from
registration
only
to
qualified
institutional
buyers
or
in
a
public
offering
registered
under
the
Securities
Act
of
1933.
Regulation
S
securities
cannot
be
sold
in
the
United
States
without
either
an
effective
registration
statement
filed
pursuant
to
the
Securities
Act
of
1933,
or
pursuant
to
an
exemption
from
registration.
At
July
31,
2021,
the
aggregate
value
of
these
securities
was
$680,131,583,
representing
24.2%
of
net
assets.
f
Income
may
be
received
in
additional
securities
and/or
cash.
g
The
coupon
rate
shown
represents
the
rate
at
period
end.
h
A
portion
or
all
of
the
security
purchased
on
a
delayed
delivery
basis.
i
A
portion
or
all
of
the
security
represents
an
unsettled
loan
commitment.
The
coupon
rate
is
to-be
determined
(TBD)
at
the
time
of
the
settlement
and
will
be
based
upon
a
reference
index/floor
plus
a
spread.
j
A
supranational
organization
is
an
entity
formed
by
two
or
more
central
governments
through
international
treaties.
k
Perpetual
security
with
no
stated
maturity
date.
l
Principal
amount
of
security
is
adjusted
for
inflation.
m
Adjustable
rate
security
with
an
interest
rate
that
is
not
based
on
a
published
reference
index
and
spread.  The
rate
is
based
on
the
structure
of
the
agreement
and
current
market
conditions.
The
coupon
rate
shown
represents
the
rate
at
period
end.
n
The
coupon
rate
shown
represents
the
rate
inclusive
of
any
caps
or
floors,
if
applicable,
in
effect
at
period
end.
o
Adjustable
Rate
Mortgage-Backed
Security
(ARM);
the
rate
shown
is
the
effective
rate
at
period
end.
ARM
rates
are
not
based
on
a
published
reference
rate
and
spread,
but
instead
pass-through
weighted
average
interest
income
inclusive
of
any
caps
or
floors,
if
applicable,
from
the
underlying
mortgage
loans
in
which
the
majority
of
mortgages
pay
interest
based
on
the
index
shown
at
their
designated
reset
dates
plus
a
spread,
less
the
applicable
servicing
and
guaranty
fee
(MBS
margin).
p
Security
purchased
on
a
to-be-announced
(TBA)
basis.
q
The
rate
shown
is
the
annualized
seven-day
effective
yield
at
period
end.
r
Investment
is
through
participation
in
a
joint
account
with
other
funds
managed
by
the
investment
manager
or
an
affiliate
of
the
investment
manager.
At
July
31,
2021,
all
repurchase
agreements
had
been
entered
into
on
July
30,
2021.
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Low
Duration
Total
Return
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
46
At
July
31,
2021,
the
Fund
had
the
following futures
contracts
outstanding.
See
Note
3. 
At
July
31,
2021,
the
Fund
had
the
following
forward
exchange
contracts
outstanding.
See
Note
3
Futures
Contracts
Description
Type
Number
of
Contracts
Notional
Amount
*
Expiration
Date
Value/
Unrealized
Appreciation
(Depreciation)
Interest
rate
contracts
U.S.
Treasury
10
Year
Notes
....................
Short
1,330
$
178,822,656
9/21/21
$
(2,938,258)
U.S.
Treasury
2
Year
Notes
.....................
Long
3,305
729,268,906
9/30/21
(96,414)
U.S.
Treasury
5
Year
Notes
.....................
Short
643
80,018,336
9/30/21
(260,645)
Total
Futures
Contracts
......................................................................
$(3,295,317)
*
As
of
period
end.
Forward
Exchange
Contracts
Currency
Counter-
party
a
Type
Quantity
Contract
Amount
*
Settlement
Date
Unrealized
Appreciation
Unrealized
Depreciation
a
a
a
a
a
a
a
a
OTC
Forward
Exchange
Contracts
Brazilian
Real
......
JPHQ
Buy
2,520,623
497,928
8/09/21
$
$
(14,346)
Brazilian
Real
......
JPHQ
Sell
2,520,623
460,010
8/09/21
(23,573)
Brazilian
Real
......
JPHQ
Sell
4,945,000
929,371
8/30/21
(16,526)
Chinese
Yuan
......
JPHQ
Buy
14,000,000
2,125,172
9/17/21
31,864
Turkish
Lira
........
JPHQ
Buy
12,510,000
1,318,230
9/28/21
122,368
Brazilian
Real
......
JPHQ
Sell
2,520,623
491,560
11/08/21
14,256
Euro
.............
JPHQ
Buy
1,520,000
1,821,226
12/14/21
(13,071)
Euro
.............
JPHQ
Sell
1,200,000
1,420,236
12/14/21
(7,255)
Canadian
Dollar
....
JPHQ
Sell
2,640,000
2,143,301
12/16/21
27,653
Japanese
Yen
......
JPHQ
Buy
436,000,000
3,932,126
12/29/21
48,007
Australian
Dollar
....
JPHQ
Buy
3,490,000
2,576,025
1/19/22
(12,959)
Singapore
Dollar
....
JPHQ
Buy
3,600,000
2,647,390
1/19/22
9,111
South
Korean
Won
..
JPHQ
Buy
3,000,000,000
2,595,245
1/19/22
1,131
Total
Forward
Exchange
Contracts
...................................................
$254,390
$(87,730)
Net
unrealized
appreciation
(depreciation)
............................................
$166,660
*
In
U.S.
dollars
unless
otherwise
indicated.
a
May
be
comprised
of
multiple
contracts
with
the
same
counterparty,
currency
and
settlement
date.
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Low
Duration
Total
Return
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
47
At
July
31,
2021,
the
Fund
had
the
following credit
default
swap
contracts outstanding.
See
Note
3. 
Credit
Default
Swap
Contracts
Description
Periodic
Payment
Rate
Received
(Paid)
Payment
Frequency
Counter-
party
Maturity
Date
Notional
Amount
(a)
Value
Unamortized
Upfront
Payments
(Receipts)
Unrealized
Appreciation
(Depreciation)
Rating
(b)
Centrally
Cleared
Swap
Contracts
Contracts
to
Sell
Protection
(c)(d)
Traded
Index
ITRAXX.
EUROPE.
MAIN.35
....
1.00%
Quarterly
6/20/26
11,100,000
EUR
$
361,557
$
291,458
$
70,099
Investment
Grade
Total
Centrally
Cleared
Swap
Contracts
.....................................
$361,557
$291,458
$70,099
OTC
Swap
Contracts
Contracts
to
Buy
Protection
(c)
Single
Name
Avon
Products,
Inc.
.......
(5.00)%
Quarterly
CITI
3/20/23
5,835,000
(389,202)
(277,391)
(111,811)
HCA,
Inc.
.....
(5.00)%
Quarterly
FBCO
3/20/22
2,050,000
(75,355)
(47,505)
(27,850)
Nabors
Industries,
Inc.
.......
(1.00)%
Quarterly
CITI
12/20/21
6,200,000
84,949
34,883
50,066
Contracts
to
Sell
Protection
(c)(d)
Single
Name
Air
France-KLM
.
5.00%
Quarterly
BOFA
6/20/26
600,000
EUR
29,214
11,782
17,432
NR
Air
France-KLM
.
5.00%
Quarterly
JPHQ
6/20/26
1,420,000
EUR
69,139
24,360
44,779
NR
Air
France-KLM
.
5.00%
Quarterly
MSCO
12/20/25
1,320,000
EUR
63,700
1,390
62,310
NR
American
Airlines
Group,
Inc.
..
5.00%
Quarterly
CITI
12/20/21
1,600,000
34,926
(41,449)
76,375
CCC
American
Airlines
Group,
Inc.
..
5.00%
Quarterly
GSCO
6/20/22
1,000,000
17,045
(8,315)
25,360
CCC
Carnival
Corp.
..
1.00%
Quarterly
CITI
12/20/25
1,600,000
(204,938)
(219,523)
14,585
B-
Macy's
Retail
Holdings
LLC
.
1.00%
Quarterly
JPHQ
12/20/25
1,600,000
(135,437)
(261,480)
126,043
B
Nabors
Industries,
Inc.
.......
1.00%
Quarterly
CITI
12/20/23
6,200,000
(866,351)
(442,878)
(423,473)
CCC-
Nordstrom,
Inc.
.
1.00%
Quarterly
BNDP
6/20/26
3,300,000
(208,150)
(209,694)
1,544
BB+
Nordstrom,
Inc.
.
1.00%
Quarterly
JPHQ
6/20/26
3,300,000
(208,150)
(160,915)
(47,235)
BB+
Royal
Caribbean
Cruises
Ltd.
..
5.00%
Quarterly
BZWS
12/20/25
1,600,000
82,061
(41,814)
123,875
B
United
Airlines
Holdings,
Inc.
.
5.00%
Quarterly
FBCO
12/20/25
131,000
6,866
6,866
B
Traded
Index
(e)
Citibank
Bespoke
Franklin,
Equity
Tranche
0-5%
—%
Quarterly
CITI
12/20/22
2,500,000
(604,703)
(479,041)
(125,662)
Non-
Investment
Grade
(e)
Citibank
Bespoke
Palm
Beach
Index,
Mezzanine
Tranche
5-10%
1.97%
Quarterly
CITI
12/20/22
7,400,000
22,319
22,319
Non-
Investment
Grade
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Low
Duration
Total
Return
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
48
*Posting
of
collateral
is
required
by
either
the
Fund
or
the
applicable
counterparty
if
the
total
net
exposure
of
all
OTC
derivatives
with
the
applicable
counterparty
exceeds
the
minimum
transfer
amount,
which
typically
ranges
from
$100,000
to
$250,000,
and
can
vary
depending
on
the
counterparty
and
the
type
of
the
agreement.
The
table below
summarizes
the
cash
and/or
securities
held
as
collateral
for
each
applicable
counterparty
at
period
end.
Credit
Default
Swap
Contracts
(continued)
Description
Periodic
Payment
Rate
Received
(Paid)
Payment
Frequency
Counter-
party
Maturity
Date
Notional
Amount
(a)
Value
Unamortized
Upfront
Payments
(Receipts)
Unrealized
Appreciation
(Depreciation)
Rating
(b)
OTC
Swap
Contracts
(continued)
Contracts
to
Sell
Protection
(c)(d)
(continued)
Traded
Index
(continued)
(e)
Citibank
Bespoke
Palm
Beach
Index,
Mezzanine
Tranche
5-10%
2.42%
Quarterly
CITI
12/20/22
5,600,000
$
10,991
$
$
10,991
Non-
Investment
Grade
(e)
Citibank
Bespoke
Phoenix
Index,
Mezzanine
Tranche
5-7%
2.90%
Quarterly
CITI
12/20/21
3,500,000
42,626
42,626
Non-
Investment
Grade
MCDX.
NA.MAIN.31
.
1.00%
Quarterly
CITI
12/20/23
12,200,000
154,514
60,014
94,500
Investment
Grade
(e)
Morgan
Stanley
Bespoke
Pecan
Index,
Mezzanine
Tranche
0-5%
—%
Quarterly
MSCO
12/20/21
8,501,071
1,683,335
1,174,517
508,818
Non-
Investment
Grade
(e)
Morgan
Stanley
Bespoke
Pecan
Index,
Mezzanine
Tranche
5-10%
4.10%
Quarterly
MSCO
12/20/21
3,700,000
3,516
3,516
Non-
Investment
Grade
(e)
Morgan
Stanley
Bespoke
Pecan
Index,
Mezzanine
Tranche
5-10%
3.98%
Quarterly
MSCO
12/20/21
3,700,000
1,277
1,277
Non-
Investment
Grade
Total
OTC
Swap
Contracts
..............................................
$(385,808)
$(883,059)
$497,251
Total
Credit
Default
Swap
Contracts
....................................
$(24,251)
$
(591,601)
$567,350
Counterparty
Collateral
Pledged
(Received)
CITI
$6,960,000
DBAB
(116,680)
FBCO
30,000
JPHQ
90,000
MSCO
(1,620,000)
Total
collateral
$5,343,320
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Low
Duration
Total
Return
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
49
At
July
31,
2021,
the
Fund
had
the
following cross-currency
swap
contracts outstanding.
See
Note
3
At
July
31,
2021,
the
Fund
had
the
following inflation index
swap
contracts outstanding.
See
Note
3
See
A
bbreviations
on
page
104
.
(a)
In
U.S.
dollars
unless
otherwise
indicated.
For
contracts
to
sell
protection,
the
notional
amount
is
equal
to
the
maximum
potential
amount
of
the
future
payments
and
no
recourse
provisions
have
been
entered
into
in
association
with
the
contracts.
(b)
Based
on
Standard
and
Poor's
(S&P)
Rating
for
single
name
swaps
and
internal
ratings
for
index
swaps.
Internal
ratings
based
on
mapping
into
equivalent
ratings
from
external
vendors.
(c)
Performance
triggers
for
settlement
of
contract
include
default,
bankruptcy
or
restructuring
for
single
name
swaps,
and
failure
to
pay
or
bankruptcy
of
the
underlying
securities
for
traded
index
swaps.
(d)
The
fund
enters
contracts
to
sell
protection
to
create
a
long
credit
position.
(e)
Represents
a
custom
index
comprised
of
a
basket
of
underlying
instruments.
Cross-Currency
Swap
Contracts
Description
Payment
Frequency
Counter-
party
Maturity
Date
Notional
Amount
Value/
Unrealized
Appreciation
(Depreciation)
aA
aaa
aaa
aaa
OTC
Swap
Contracts
Receive
Floating
3-month
USD
LIBOR
+
1.175%
.....
Quarterly
25,083,500
USD
Pay
Floating
3-month
EURIBOR
+
1.05%
.........
Quarterly
CITI
11/22/21
22,700,000
EUR
$
(1,808,010)
Receive
Floating
3-month
USD
LIBOR
+
1.175%
.....
Quarterly
4,862,000
USD
Pay
Floating
3-month
EURIBOR
+
1.05%
.........
Quarterly
CITI
11/22/21
4,400,000
EUR
(350,451)
Receive
Floating
3-month
USD
LIBOR
+
1.174%
.....
Quarterly
30,525,000
USD
Pay
Floating
3-month
EURIBOR
+
1.05%
.........
Quarterly
CITI
12/10/21
27,500,000
EUR
(2,066,745)
Receive
Floating
3-month
USD
LIBOR
+
1.318%
.....
Quarterly
13,930,500
USD
Pay
Floating
3-month
EURIBOR
+
1.2%
..........
Quarterly
CITI
12/12/21
12,550,000
EUR
(946,282)
Receive
Floating
3-month
USD
LIBOR
+
0.938%
.....
Quarterly
23,823,800
USD
Pay
Floating
3-month
EURIBOR
+
0.88%
.........
Quarterly
CITI
6/29/22
20,020,000
EUR
88,018
Receive
Floating
3-month
USD
LIBOR
+
0.849%
.....
Quarterly
3,472,000
USD
Pay
Fixed
0.75%
............................
Annual
DBAB
9/14/22
2,800,000
EUR
115,162
Total
Cross
Currency
Swap
Contracts
...........................................................
$(4,968,308)
Inflation
Index
Swap
Contracts
Description
Payment
Frequency
Counter-
party
Maturity
Date
Notional
Amount
Value
Unamortized
Upfront
Payments
(Receipts)
Unrealized
Appreciation
(Depreciation)
Centrally
Cleared
Swap
Contracts
Receive
variable
change
  in
USA
CPI-U
........
At
Maturity
Pay
Fixed
2.079%
.....
At
Maturity
9/18/24
$
1,770,000
$
75,418
$
$
75,418
Receive
variable
change
  in
USA
CPI-U
........
At
Maturity
Pay
Fixed
1.893%
.....
At
Maturity
1/15/27
28,100,000
1,852,445
1,852,445
Receive
variable
change
  in
USA
CPI-U
........
At
Maturity
Pay
Fixed
2.313%
.....
At
Maturity
6/01/28
1,400,000
39,018
39,018
Total
Inflation
Index
Swap
Contracts
..................................
$1,966,881
$—
$1,966,881
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited),
July
31,
2021
Franklin
Managed
Income
Fund
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
50
a
a
Country
Shares
a
Value
a
a
a
a
a
a
Common
Stocks
45.3%
Aerospace
&
Defense
2.6%
Lockheed
Martin
Corp.
.................................
United
States
75,000
$
27,875,250
Northrop
Grumman
Corp.
...............................
United
States
42,900
15,573,558
Raytheon
Technologies
Corp.
............................
United
States
751,972
65,383,965
108,832,773
Air
Freight
&
Logistics
0.8%
United
Parcel
Service,
Inc.,
B
............................
United
States
175,000
33,488,000
Banks
5.3%
Bank
of
America
Corp.
.................................
United
States
2,000,000
76,720,000
Citigroup,
Inc.
........................................
United
States
350,000
23,667,000
JPMorgan
Chase
&
Co.
.................................
United
States
350,000
53,123,000
Truist
Financial
Corp.
..................................
United
States
700,100
38,106,443
US
Bancorp
.........................................
United
States
500,000
27,770,000
219,386,443
Beverages
2.4%
Coca-Cola
Co.
(The)
...................................
United
States
785,000
44,768,550
PepsiCo,
Inc.
........................................
United
States
350,000
54,932,500
99,701,050
Biotechnology
1.3%
AbbVie,
Inc.
.........................................
United
States
475,000
55,242,500
Capital
Markets
0.8%
Morgan
Stanley
.......................................
United
States
350,000
33,593,000
Chemicals
1.0%
Air
Products
and
Chemicals,
Inc.
..........................
United
States
50,000
14,551,500
Huntsman
Corp.
......................................
United
States
1,000,000
26,410,000
40,961,500
Diversified
Telecommunication
Services
3.0%
AT&T,
Inc.
...........................................
United
States
700,000
19,635,000
BCE,
Inc.
...........................................
Canada
450,000
22,453,125
Deutsche
Telekom
AG
..................................
Germany
1,200,000
24,906,058
Verizon
Communications,
Inc.
............................
United
States
1,000,000
55,780,000
122,774,183
Electric
Utilities
2.8%
American
Electric
Power
Co.,
Inc.
.........................
United
States
125,000
11,015,000
Duke
Energy
Corp.
....................................
United
States
450,000
47,299,500
Edison
International
...................................
United
States
500,000
27,250,000
FirstEnergy
Corp.
.....................................
United
States
500,000
19,160,000
Southern
Co.
(The)
....................................
United
States
175,000
11,177,250
115,901,750
Food
Products
0.8%
Nestle
SA
...........................................
Switzerland
250,000
31,723,750
Health
Care
Providers
&
Services
2.4%
CVS
Health
Corp.
.....................................
United
States
520,000
42,827,200
Quest
Diagnostics,
Inc.
.................................
United
States
400,000
56,720,000
99,547,200
Household
Products
2.0%
Procter
&
Gamble
Co.
(The)
.............................
United
States
600,000
85,338,000
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Managed
Income
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
51
a
a
Country
Shares
a
Value
a
a
a
a
a
a
Common
Stocks
(continued)
Industrial
Conglomerates
1.7%
Honeywell
International,
Inc.
.............................
United
States
300,000
$
70,137,000
Insurance
0.4%
Travelers
Cos.,
Inc.
(The)
...............................
United
States
100,000
14,892,000
IT
Services
1.5%
Fidelity
National
Information
Services,
Inc.
...................
United
States
222,014
33,091,187
International
Business
Machines
Corp.
.....................
United
States
200,000
28,192,000
61,283,187
Multiline
Retail
0.6%
Target
Corp.
.........................................
United
States
100,000
26,105,000
Multi-Utilities
2.9%
Dominion
Energy,
Inc.
..................................
United
States
500,000
37,435,000
DTE
Energy
Co.
......................................
United
States
200,000
23,464,000
Sempra
Energy
.......................................
United
States
448,060
58,539,039
119,438,039
Oil,
Gas
&
Consumable
Fuels
3.1%
BP
plc,
ADR
.........................................
United
Kingdom
500,000
12,090,000
Chevron
Corp.
.......................................
United
States
450,000
45,814,500
a
DT
Midstream,
Inc.
....................................
United
States
100,000
4,240,000
Exxon
Mobil
Corp.
.....................................
United
States
700,000
40,299,000
Royal
Dutch
Shell
plc,
ADR,
A
............................
Netherlands
230,000
9,342,600
TotalEnergies
SE,
ADR
.................................
France
400,000
17,452,000
129,238,100
Personal
Products
0.5%
Unilever
plc
..........................................
United
Kingdom
400,000
23,017,302
Pharmaceuticals
4.4%
AstraZeneca
plc,
ADR
..................................
United
Kingdom
550,000
31,482,000
Bristol-Myers
Squibb
Co.
................................
United
States
600,000
40,722,000
Eli
Lilly
&
Co.
........................................
United
States
90,000
21,915,000
Johnson
&
Johnson
...................................
United
States
250,000
43,050,000
Merck
&
Co.,
Inc.
.....................................
United
States
600,000
46,122,000
a
Organon
&
Co.
.......................................
United
States
60,000
1,740,600
185,031,600
Road
&
Rail
1.1%
Union
Pacific
Corp.
....................................
United
States
205,000
44,845,800
Semiconductors
&
Semiconductor
Equipment
2.4%
Texas
Instruments,
Inc.
.................................
United
States
517,361
98,619,354
Specialty
Retail
1.2%
Home
Depot,
Inc.
(The)
.................................
United
States
150,000
49,228,500
Tobacco
0.3%
Philip
Morris
International,
Inc.
...........................
United
States
129,700
12,981,673
Total
Common
Stocks
(Cost
$1,447,562,592)
....................................
1,881,307,704
Management
Investment
Companies
2.3%
Capital
Markets
2.3%
b
Franklin
FTSE
United
Kingdom
ETF
.......................
United
States
1,250,000
31,175,000
b,c
Franklin
Liberty
Systematic
Style
Premia
ETF
................
United
States
1,175,000
24,087,500
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Managed
Income
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
52
a
a
Country
Shares
a
Value
a
a
a
a
a
a
Management
Investment
Companies
(continued)
Capital
Markets
(continued)
b
Franklin
Liberty
U.S.
Low
Volatility
ETF
.....................
United
States
860,000
$
41,598,200
96,860,700
Total
Management
Investment
Companies
(Cost
$89,273,888)
....................
96,860,700
Equity-Linked
Securities
13.4%
Banks
0.8%
d,e
Citigroup
Global
Markets
Holdings,
Inc.
into
JPMorgan
Chase
&
Co.,
144A,
8%,
8/15/22
...................................
United
States
230,000
34,793,224
Capital
Markets
0.4%
d
UBS
AG
into
Morgan
Stanley,
144A,
8.5%,
2/11/22
............
United
States
220,000
18,393,175
Chemicals
0.6%
d
National
Bank
of
Canada
into
Air
Products
and
Chemicals,
Inc.,
144A,
8.5%,
4/13/22
.................................
United
States
86,000
24,831,676
Communications
Equipment
1.4%
d
Royal
Bank
of
Canada
into
Cisco
Systems,
Inc.,
144A,
7.5%,
8/04/21
United
States
1,077,000
57,690,940
Energy
Equipment
&
Services
0.6%
d
Royal
Bank
of
Canada
into
Schlumberger
NV,
144A,
10%,
3/01/22
United
States
850,000
24,209,426
Media
0.9%
d
Merrill
Lynch
International
&
Co.
CV
into
Comcast
Corp.,
144A,
7%,
8/09/21
...........................................
United
States
744,000
36,030,435
Multiline
Retail
0.8%
d
Societe
Generale
SA
into
Target
Corp.,
144A,
8%,
12/20/21
......
United
States
168,000
33,534,067
Oil,
Gas
&
Consumable
Fuels
0.8%
d,e
UBS
AG
into
Chevron
Corp.,
144A,
10%,
8/16/22
.............
United
States
310,000
31,413,263
Pharmaceuticals
1.5%
d
Credit
Suisse
AG
into
Pfizer,
Inc.,
144A,
8%,
8/27/21
...........
United
States
1,493,000
63,172,701
Semiconductors
&
Semiconductor
Equipment
3.3%
d
Barclays
Bank
plc
into
Intel
Corp.,
144A,
8%,
8/16/21
..........
United
States
1,054,000
56,473,376
d
National
Bank
of
Canada
into
Microchip
Technology,
Inc.,
144A,
6.5%,
6/01/22
......................................
United
States
284,200
40,978,337
d
Royal
Bank
of
Canada
into
Analog
Devices,
Inc.,
144A,
8%,
2/01/22
United
States
246,000
40,608,379
138,060,092
Software
0.8%
d
Merrill
Lynch
International
&
Co.
CV
into
Oracle
Corp.,
144A,
8%,
11/08/21
..........................................
United
States
470,000
30,942,635
Technology
Hardware,
Storage
&
Peripherals
0.5%
d
BNP
Paribas
Issuance
BV
into
Apple,
Inc.,
144A,
10%,
12/22/21
..
United
States
164,000
22,420,006
Trading
Companies
&
Distributors
1.0%
d
JPMorgan
Chase
Bank
NA
into
Fastenal
Co.,
144A,
7.5%,
12/03/21
United
States
770,000
40,670,408
Total
Equity-Linked
Securities
(Cost
$528,539,471)
..............................
556,162,048
Convertible
Preferred
Stocks
10.4%
Capital
Markets
0.4%
KKR
&
Co.,
Inc.,
6%,
C
.................................
United
States
200,000
16,608,000
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Managed
Income
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
53
a
a
Country
Shares
a
Value
a
a
a
a
a
a
Convertible
Preferred
Stocks
(continued)
Chemicals
0.6%
International
Flavors
&
Fragrances,
Inc.,
6%
.................
United
States
500,000
$
25,470,000
Electric
Utilities
3.9%
American
Electric
Power
Co.,
Inc.,
6.125%
..................
United
States
700,000
35,189,000
American
Electric
Power
Co.,
Inc.,
6.125%
..................
United
States
64,500
3,423,015
NextEra
Energy,
Inc.,
5.279%
............................
United
States
1,200,000
61,608,000
Southern
Co.
(The),
6.75%,
2019
.........................
United
States
1,150,000
59,627,500
159,847,515
Health
Care
Equipment
&
Supplies
1.9%
Boston
Scientific
Corp.,
5.5%,
A
..........................
United
States
250,000
30,715,000
c
Danaher
Corp.,
5%,
B
..................................
United
States
30,000
48,078,300
78,793,300
Health
Care
Technology
0.4%
Change
Healthcare,
Inc.,
6%
.............................
United
States
250,000
18,172,500
Multi-Utilities
2.0%
Dominion
Energy,
Inc.,
7.25%,
A
..........................
United
States
450,000
44,878,500
DTE
Energy
Co.,
6.25%
................................
United
States
750,000
38,475,000
83,353,500
Semiconductors
&
Semiconductor
Equipment
1.2%
Broadcom,
Inc.,
8%,
A
..................................
United
States
32,000
49,418,880
Total
Convertible
Preferred
Stocks
(Cost
$352,794,346)
..........................
431,663,695
Principal
Amount
*
Corporate
Bonds
21.6%
Automobiles
0.3%
General
Motors
Co.
,
Senior
Note
,
5.4
%
,
10/02/23
.............
United
States
10,000,000
10,972,807
Banks
1.6%
Bank
of
America
Corp.
,
Senior
Bond,
3.419%
to
12/20/27,
FRN
thereafter,
12/20/28
...
United
States
15,000,000
16,492,825
L,
Sub.
Bond,
4.183%,
11/25/27
........................
United
States
10,000,000
11,275,655
Barclays
plc
,
Senior
Bond
,
3.65
%
,
3/16/25
..................
United
Kingdom
15,000,000
16,314,030
Citigroup,
Inc.
,
Sub.
Bond
,
4.125
%
,
7/25/28
..................
United
States
20,000,000
22,727,779
66,810,289
Capital
Markets
0.8%
Goldman
Sachs
Group,
Inc.
(The)
,
Senior
Bond
,
3.5
%
,
11/16/26
..
United
States
15,000,000
16,395,251
Morgan
Stanley
,
Sub.
Bond
,
4.35
%
,
9/08/26
.................
United
States
15,000,000
17,096,286
33,491,537
Chemicals
0.6%
DuPont
de
Nemours,
Inc.
,
Senior
Note
,
4.493
%
,
11/15/25
.......
United
States
20,000,000
22,775,201
Communications
Equipment
0.4%
d
CommScope
Technologies
LLC
,
Senior
Bond
,
144A,
5
%
,
3/15/27
.
United
States
15,000,000
15,195,750
Consumer
Finance
1.2%
Capital
One
Financial
Corp.
,
Senior
Bond,
3.75%,
3/09/27
...........................
United
States
10,000,000
11,223,723
Sub.
Bond,
3.75%,
7/28/26
............................
United
States
10,000,000
11,083,183
Ford
Motor
Credit
Co.
LLC
,
Senior
Bond
,
5.113
%
,
5/03/29
.......
United
States
25,000,000
28,341,125
50,648,031
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Managed
Income
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
54
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
Corporate
Bonds
(continued)
Containers
&
Packaging
0.2%
d
Ardagh
Metal
Packaging
Finance
USA
LLC
/
Ardagh
Metal
Packaging
Finance
plc
,
Senior
Note
,
144A,
4
%
,
9/01/29
.......
United
States
10,000,000
$
10,037,500
Diversified
Telecommunication
Services
0.6%
d
CCO
Holdings
LLC
/
CCO
Holdings
Capital
Corp.
,
Senior
Bond
,
144A,
5.125
%
,
5/01/27
................................
United
States
15,000,000
15,712,500
Verizon
Communications,
Inc.
,
Senior
Bond
,
2.55
%
,
3/21/31
.....
United
States
10,000,000
10,405,527
26,118,027
Electric
Utilities
0.5%
d
Vistra
Operations
Co.
LLC
,
Senior
Secured
Bond
,
144A,
4.3
%
,
7/15/29
...........................................
United
States
20,000,000
21,905,387
Equity
Real
Estate
Investment
Trusts
(REITs)
0.4%
American
Tower
Corp.
,
Senior
Bond
,
3.375
%
,
10/15/26
.........
United
States
15,000,000
16,421,326
Food
&
Staples
Retailing
0.5%
Walmart,
Inc.
,
Senior
Bond
,
3.25
%
,
7/08/29
..................
United
States
20,000,000
22,642,220
Food
Products
0.4%
d
Post
Holdings,
Inc.
,
Senior
Bond
,
144A,
4.5
%
,
9/15/31
.........
United
States
15,000,000
15,199,350
Health
Care
Equipment
&
Supplies
0.3%
Edwards
Lifesciences
Corp.
,
Senior
Bond
,
4.3
%
,
6/15/28
.......
United
States
9,700,000
11,337,323
Health
Care
Providers
&
Services
3.6%
d
CHS/Community
Health
Systems,
Inc.
,
Secured
Note,
144A,
6.875%,
4/15/29
....................
United
States
20,000,000
21,116,800
Secured
Note,
144A,
6.125%,
4/01/30
....................
United
States
15,000,000
15,215,625
Senior
Secured
Note,
144A,
6.625%,
2/15/25
..............
United
States
25,000,000
26,246,000
Senior
Secured
Note,
144A,
8%,
3/15/26
..................
United
States
25,000,000
26,834,250
Cigna
Corp.
,
Senior
Note,
3.75%,
7/15/23
...........................
United
States
7,216,000
7,666,842
Senior
Note,
3.4%,
3/01/27
............................
United
States
15,000,000
16,619,732
CVS
Health
Corp.
,
Senior
Bond
,
3.875
%
,
7/20/25
.............
United
States
15,000,000
16,610,767
Tenet
Healthcare
Corp.
,
Senior
Secured
Note
,
4.625
%
,
7/15/24
...
United
States
17,000,000
17,254,745
147,564,761
Hotels,
Restaurants
&
Leisure
0.5%
Las
Vegas
Sands
Corp.
,
Senior
Bond
,
3.9
%
,
8/08/29
...........
United
States
10,000,000
10,655,309
d
Wynn
Las
Vegas
LLC
/
Wynn
Las
Vegas
Capital
Corp.
,
Senior
Bond
,
144A,
5.5
%
,
3/01/25
.................................
United
States
10,000,000
10,587,500
21,242,809
Household
Products
0.1%
d
Kimberly-Clark
de
Mexico
SAB
de
CV
,
Senior
Bond
,
144A,
2.431
%
,
7/01/31
...........................................
Mexico
5,000,000
5,046,675
Insurance
0.4%
d
Liberty
Mutual
Group,
Inc.
,
Senior
Note
,
144A,
4.95
%
,
5/01/22
...
United
States
7,100,000
7,337,524
Prudential
Financial,
Inc.
,
Junior
Sub.
Bond
,
3.7%
to
10/01/30,
FRN
thereafter
,
10/01/50
..................................
United
States
10,000,000
10,593,954
17,931,478
Interactive
Media
&
Services
0.2%
d
Tencent
Holdings
Ltd.
,
Senior
Bond
,
144A,
2.39
%
,
6/03/30
......
China
10,000,000
10,069,249
IT
Services
0.6%
Fiserv,
Inc.
,
Senior
Bond
,
4.2
%
,
10/01/28
...................
United
States
20,000,000
23,214,502
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Managed
Income
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
55
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
Corporate
Bonds
(continued)
Machinery
0.2%
CNH
Industrial
NV
,
Senior
Bond
,
3.85
%
,
11/15/27
.............
United
Kingdom
7,500,000
$
8,421,740
Media
0.3%
DISH
DBS
Corp.
,
Senior
Note
,
5.875
%
,
7/15/22
..............
United
States
12,000,000
12,435,000
Metals
&
Mining
0.6%
d
Cleveland-Cliffs,
Inc.
,
Senior
Secured
Note
,
144A,
9.875
%
,
10/17/25
United
States
6,620,000
7,745,400
d
FMG
Resources
August
2006
Pty.
Ltd.
,
Senior
Bond
,
144A,
4.375
%
,
4/01/31
...........................................
Australia
15,000,000
16,331,775
24,077,175
Oil,
Gas
&
Consumable
Fuels
0.7%
d
Calumet
Specialty
Products
Partners
LP
/
Calumet
Finance
Corp.
,
Senior
Note
,
144A,
11
%
,
4/15/25
........................
United
States
15,000,000
16,605,000
Occidental
Petroleum
Corp.
,
Senior
Note
,
6.375
%
,
9/01/28
......
United
States
10,000,000
11,685,600
28,290,600
Paper
&
Forest
Products
0.4%
Suzano
Austria
GmbH
,
Senior
Bond
,
3.125
%
,
1/15/32
..........
Brazil
15,000,000
14,883,750
Pharmaceuticals
3.0%
d
Bausch
Health
Cos.,
Inc.
,
Senior
Note,
144A,
5%,
2/15/29
........................
United
States
10,000,000
9,462,900
Senior
Secured
Note,
144A,
5.5%,
11/01/25
...............
United
States
10,000,000
10,225,450
d
Bayer
US
Finance
II
LLC
,
Senior
Note
,
144A,
4.25
%
,
12/15/25
...
Germany
15,000,000
16,775,644
Bristol-Myers
Squibb
Co.
,
Senior
Note
,
3.4
%
,
7/26/29
..........
United
States
10,000,000
11,337,717
d
Endo
Luxembourg
Finance
Co.
I
SARL
/
Endo
US,
Inc.
,
Senior
Secured
Note
,
144A,
6.125
%
,
4/01/29
....................
United
States
15,000,000
14,928,675
d
Jazz
Securities
DAC
,
Senior
Secured
Note
,
144A,
4.375
%
,
1/15/29
United
States
25,000,000
26,091,000
Mylan,
Inc.
,
Senior
Note
,
4.55
%
,
4/15/28
....................
United
States
19,000,000
22,078,217
d
Organon
&
Co.
/
Organon
Foreign
Debt
Co-Issuer
BV
,
Senior
Secured
Note
,
144A,
4.125
%
,
4/30/28
....................
United
States
15,000,000
15,400,725
126,300,328
Road
&
Rail
0.5%
d
Ashtead
Capital,
Inc.
,
Senior
Note
,
144A,
4.125
%
,
8/15/25
......
United
Kingdom
21,000,000
21,472,500
Semiconductors
&
Semiconductor
Equipment
0.4%
Microchip
Technology,
Inc.
,
Senior
Secured
Note
,
4.333
%
,
6/01/23
United
States
15,000,000
15,952,665
Tobacco
1.2%
Altria
Group,
Inc.
,
Senior
Bond
,
2.45
%
,
2/04/32
...............
United
States
15,000,000
14,782,278
BAT
Capital
Corp.
,
Senior
Note
,
3.557
%
,
8/15/27
.............
United
Kingdom
15,000,000
16,248,632
Reynolds
American,
Inc.
,
Senior
Bond
,
4.45
%
,
6/12/25
.........
United
Kingdom
15,000,000
16,684,306
47,715,216
Wireless
Telecommunication
Services
1.1%
Sprint
Corp.
,
Senior
Note
,
7.625
%
,
2/15/25
..................
United
States
10,000,000
11,801,050
d
Sprint
Spectrum
Co.
LLC
/
Sprint
Spectrum
Co.
II
LLC
/
Sprint
Spectrum
Co.
III
LLC
,
Senior
Secured
Note
,
144A,
4.738
%
,
9/20/29
...........................................
United
States
7,031,250
7,539,152
T-Mobile
USA,
Inc.
,
Senior
Secured
Note
,
3.875
%
,
4/15/30
......
United
States
25,000,000
28,313,000
47,653,202
Total
Corporate
Bonds
(Cost
$821,814,169)
.....................................
895,826,398
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Managed
Income
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
56
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
U.S.
Government
and
Agency
Securities
3.1%
U.S.
Treasury
Notes
,
2.75%,
9/15/21
.....................................
United
States
25,000,000
$
25,080,777
2.875%,
10/31/23
....................................
United
States
50,000,000
52,976,563
0.5%,
3/31/25
......................................
United
States
50,000,000
50,035,156
Total
U.S.
Government
and
Agency
Securities
(Cost
$124,851,234)
................
128,092,496
Asset-Backed
Securities
0.5%
Airlines
0.5%
United
Airlines
Pass-Through
Trust
,
2020-1,
A,
5.875%,
10/15/27
...........................
United
States
9,274,750
10,336,696
2020-1,
B,
4.875%,
7/15/27
............................
United
States
11,211,000
11,780,090
22,116,786
a
a
a
a
a
a
Total
Asset-Backed
Securities
(Cost
$20,485,750)
...............................
22,116,786
Mortgage-Backed
Securities
0.8%
Federal
National
Mortgage
Association
(FNMA)
Fixed
Rate
0.1%
FNMA,
30
Year,
4%,
8/01/49
.............................
United
States
1,755,781
1,915,908
Government
National
Mortgage
Association
(GNMA)
Fixed
Rate
0.7%
GNMA
II,
Single-family,
30
Year,
3%,
1/20/51
.................
United
States
29,138,633
30,513,489
Total
Mortgage-Backed
Securities
(Cost
$32,942,756)
............................
32,429,397
Total
Long
Term
Investments
(Cost
$3,418,264,206)
.............................
4,044,459,224
a
Number
of
Contracts
Notional
Amount
#
a
a
aa
Options
Purchased
0.5%
Puts
-
Exchange-Traded
Equity
Options
Raytheon
Technologies
Corp.,
November
Strike
Price
$80.00,
Expires
11/19/21
....................................
2,000
14,659,024
504,000
SPDR
S&P
500
ETF
Trust,
October
Strike
Price
$440.00,
Expires
10/15/21
..........................................
15,000
657,765,000
19,800,000
Texas
Instruments,
Inc.,
January
Strike
Price
$175.00,
Expires
1/21/22
...........................................
3,000
57,186,000
2,250,000
22,554,000
Total
Options
Purchased
(Cost
$21,900,774)
....................................
22,554,000
Short
Term
Investments
4.2%
a
a
Country
Shares
a
Value
a
Money
Market
Funds
3.3%
b,f
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0.01%
.....
United
States
135,333,677
135,333,677
Total
Money
Market
Funds
(Cost
$135,333,677)
.................................
135,333,677
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Managed
Income
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
57
Short
Term
Investments
(continued)
a
a
Country
Shares
a
Value
a
Investments
from
Cash
Collateral
Received
for
Loaned
Securities
0.9%
a
a
a
a
a
Money
Market
Funds
0.7%
b,f
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0.01%
.....
United
States
29,920,000
$
29,920,000
Principal
Amount
*
Repurchase
Agreements
0.2%
g
Joint
Repurchase
Agreement,
BofA
Securities,
Inc.,
0.05%,
8/02/21
(Maturity
Value
$7,480,061)
Collateralized
by
U.S.
Treasury
Note,
0.125%,
10/31/22
(valued
at
$7,629,636)
........................................
7,480,030
7,480,030
Total
Investments
from
Cash
Collateral
Received
for
Loaned
Securities
(Cost
$37,400,030)
...........................................................
37,400,030
Total
Short
Term
Investments
(Cost
$172,733,707
)
...............................
172,733,707
a
Total
Investments
(Cost
$3,612,898,687)
102.1%
................................
$4,239,746,931
Options
Written
(0.3)%
.......................................................
(14,192,250)
Other
Assets,
less
Liabilities
(1.8)%
...........................................
(74,553,348)
Net
Assets
100.0%
...........................................................
$4,151,001,333
Number
of
Contracts
Notional
Amount
#
Options
Written
(0.3)%
Calls
-
Exchange-Traded
Equity
Options
AbbVie,
Inc.,
January
Strike
Price
$135.00,
Expires
1/21/22
......
4,750
46,567,059
(593,750)
Air
Products
and
Chemicals,
Inc.,
January
Strike
Price
$320.00,
Expires
1/21/22
.....................................
500
14,551,500
(235,000)
American
Electric
Power
Co.,
Inc.,
January
Strike
Price
$95.00,
Expires
1/21/22
.....................................
1,250
11,015,000
(201,250)
AT&T,
Inc.,
September
Strike
Price
$30.00,
Expires
9/17/21
......
7,000
19,635,000
(91,000)
Bank
of
America
Corp.,
January
Strike
Price
$45.00,
Expires
1/21/22
20,000
76,720,000
(1,300,000)
BP
plc,
January
Strike
Price
$30.00,
Expires
1/21/22
...........
5,000
12,090,000
(260,000)
Bristol-Myers
Squibb
Co.,
January
Strike
Price
$80.00,
Expires
1/21/22
...........................................
6,000
40,722,000
(276,000)
Citigroup,
Inc.,
January
Strike
Price
$82.50,
Expires
1/21/22
.....
3,500
23,667,000
(332,500)
Coca-Cola
Co.
(The),
January
Strike
Price
$65.00,
Expires
1/21/22
5,000
28,515,000
(175,000)
CVS
Health
Corp.,
January
Strike
Price
$100.00,
Expires
1/21/22
.
5,000
41,180,000
(335,000)
Eli
Lilly
&
Co.,
September
Strike
Price
$250.00,
Expires
9/17/21
..
900
21,915,000
(622,800)
Fidelity
National
Information
Services,
Inc.,
September
Strike
Price
$150.00,
Expires
9/17/21
..............................
2,220
33,089,100
(1,021,200)
Home
Depot,
Inc.
(The),
September
Strike
Price
$340.00,
Expires
9/17/21
...........................................
750
24,614,250
(362,250)
Home
Depot,
Inc.
(The),
January
Strike
Price
$360.00,
Expires
1/21/22
...........................................
750
24,614,250
(577,500)
Honeywell
International,
Inc.,
September
Strike
Price
$230.00,
Expires
9/17/21
.....................................
1,000
23,379,000
(850,000)
International
Business
Machines
Corp.,
October
Strike
Price
$150.00,
Expires
10/15/21
.............................
1,000
14,096,000
(128,000)
Procter
&
Gamble
Co.
(The),
January
Strike
Price
$160.00,
Expires
1/21/22
...........................................
3,000
42,669,000
(405,000)
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Managed
Income
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
58
See
Abbreviations
on
page
104
.
a
a
a
Number
of
Contracts
Notional
Amount
#
a
Value
a
a
a
a
a
a
Options
Written
(continued)
Calls
-
Exchange-Traded
(continued)
Equity
Options
(continued)
Quest
Diagnostics,
Inc.,
August
Strike
Price
$140.00,
Expires
8/20/21
...........................................
2,000
23,906,259
$
(672,000)
Union
Pacific
Corp.,
August
Strike
Price
$240.00,
Expires
8/20/21
.
1,000
21,876,000
(9,000)
United
Parcel
Service,
Inc.,
September
Strike
Price
$230.00,
Expires
9/17/21
...........................................
750
14,352,000
(15,000)
(8,462,250)
Puts
-
Exchange-Traded
Equity
Options
SPDR
S&P
500
ETF
Trust,
October
Strike
Price
$390.00,
Expires
10/15/21
..........................................
15,000
657,765,000
(5,730,000)
(5,730,000)
Total
Options
Written
(Premiums
received
$13,322,977)
..........................
$
(14,192,250)
#
Notional
amount
is
the
number
of
units
specified
in
the
contract,
and
can
include
currency
units,
bushels,
shares,
pounds,
barrels
or
other
units.
Currency
units
are
stated
in
U.S.
dollars
unless
otherwise
indicated.
*
The
principal
amount
is
stated
in
U.S.
dollars
unless
otherwise
indicated.
a
Non-income
producing.
b
See
Note
9
regarding
investments
in
affiliated
management
investment
companies.
c
A
portion
or
all
of
the
security
is
on
loan
at
July
31,
2021.
d
Security
was
purchased
pursuant
to
Rule
144A
or
Regulation
S
under
the
Securities
Act
of
1933.
144A
securities
may
be
sold
in
transactions
exempt
from
registration
only
to
qualified
institutional
buyers
or
in
a
public
offering
registered
under
the
Securities
Act
of
1933.
Regulation
S
securities
cannot
be
sold
in
the
United
States
without
either
an
effective
registration
statement
filed
pursuant
to
the
Securities
Act
of
1933,
or
pursuant
to
an
exemption
from
registration.
At
July
31,
2021,
the
aggregate
value
of
these
securities
was
$919,244,379,
representing
22.1%
of
net
assets.
e
A
portion
or
all
of
the
security
purchased
on
a
delayed
delivery
basis.
f
The
rate
shown
is
the
annualized
seven-day
effective
yield
at
period
end.
g
Investment
is
through
participation
in
a
joint
account
with
other
funds
managed
by
the
investment
manager
or
an
affiliate
of
the
investment
manager.
At
July
31,
2021,
all
repurchase
agreements
had
been
entered
into
on
July
30,
2021.
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited),
July
31,
2021
Franklin
Total
Return
Fund
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
59
a
a
Country
Shares
a
Value
a
a
a
a
a
a
Common
Stocks
0.0%
Energy
Equipment
&
Services
0.0%
a,b
Valaris
Ltd.
..........................................
United
States
2,435
$
65,988
a
Weatherford
International
plc
.............................
United
States
34,108
594,844
660,832
Multiline
Retail
0.0%
a,c,d
K2016470219
South
Africa
Ltd.,
A
.........................
South
Africa
28,762,824
a,c,d
K2016470219
South
Africa
Ltd.,
B
.........................
South
Africa
2,862,311
Oil,
Gas
&
Consumable
Fuels
0.0%
a,c
Riviera
Resources,
Inc.
.................................
United
States
12,605
3,256
Total
Common
Stocks
(Cost
$1,219,500)
.......................................
664,088
Management
Investment
Companies
18.0%
Capital
Markets
18.0%
e
Franklin
Floating
Rate
Income
Fund
.......................
United
States
24,116,234
190,759,408
b,e
Franklin
Liberty
High
Yield
Corporate
ETF
...................
United
States
5,830,000
154,699,050
e
Franklin
Liberty
Investment
Grade
Corporate
ETF
.............
United
States
18,335,000
485,144,100
e
Franklin
Liberty
Senior
Loan
ETF
.........................
United
States
1,737,400
43,229,292
b
Invesco
Senior
Loan
ETF
...............................
United
States
3,570,000
78,647,100
952,478,950
Total
Management
Investment
Companies
(Cost
$926,022,133)
...................
952,478,950
Preferred
Stocks
0.1%
Banks
0.1%
Citigroup
Capital
XIII,
6.499%
............................
United
States
93,000
2,577,960
Total
Preferred
Stocks
(Cost
$2,325,000)
.......................................
2,577,960
Warrants
Warrants
0.0%
Oil,
Gas
&
Consumable
Fuels
0.0%
a,c
Battalion
Oil
Corp.,
A,
10/08/22
...........................
United
States
2,551
603
a,c
Battalion
Oil
Corp.,
B,
10/08/22
...........................
United
States
3,189
416
a,c
Battalion
Oil
Corp.,
C,
10/08/22
...........................
United
States
4,100
240
1,259
Paper
&
Forest
Products
0.0%
a
Verso
Corp.,
7/25/23
...................................
United
States
732
2,855
Total
Warrants
(Cost
$—)
.....................................................
4,114
Principal
Amount
*
Corporate
Bonds
19.5%
Aerospace
&
Defense
0.3%
Boeing
Co.
(The)
,
Senior
Note
,
2.196
%
,
2/04/26
..............
United
States
9,500,000
9,588,084
Northrop
Grumman
Corp.
,
Senior
Bond
,
5.25
%
,
5/01/50
........
United
States
3,500,000
5,046,181
Teledyne
FLIR
LLC
,
Senior
Note
,
2.5
%
,
8/01/30
..............
United
States
3,000,000
3,094,655
17,728,920
Air
Freight
&
Logistics
0.1%
f
DAE
Funding
LLC
,
Senior
Note
,
144A,
1.55
%
,
8/01/24
.........
United
Arab
Emirates
3,300,000
3,304,175
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Total
Return
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
60
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
Corporate
Bonds
(continued)
Air
Freight
&
Logistics
(continued)
FedEx
Corp.
,
Senior
Bond
,
4.05
%
,
2/15/48
..................
United
States
2,000,000
$
2,337,737
5,641,912
Airlines
0.6%
f
American
Airlines
Inc
/
AAdvantage
Loyalty
IP
Ltd.
,
Senior
Secured
Note
,
144A,
5.75
%
,
4/20/29
............................
United
States
2,600,000
2,807,818
f
Delta
Air
Lines,
Inc.
/
SkyMiles
IP
Ltd.
,
Senior
Secured
Note
,
144A,
4.5
%
,
10/20/25
.....................................
United
States
10,500,000
11,293,520
f
Hawaiian
Brand
Intellectual
Property
Ltd.
/
HawaiianMiles
Loyalty
Ltd.
,
Senior
Secured
Note
,
144A,
5.75
%
,
1/20/26
............
United
States
12,200,000
12,803,778
f
United
Airlines,
Inc.
,
Senior
Secured
Note
,
144A,
4.375
%
,
4/15/26
.
United
States
2,200,000
2,266,286
29,171,402
Auto
Components
0.1%
f
Allison
Transmission,
Inc.
,
Senior
Bond
,
144A,
5.875
%
,
6/01/29
..
United
States
2,500,000
2,738,737
Banks
1.8%
f
Akbank
TAS
,
Senior
Bond
,
144A,
5.125
%
,
3/31/25
............
Turkey
5,600,000
5,663,280
Banco
Santander
SA
,
Sub.
Bond
,
2.749
%
,
12/03/30
...........
Spain
3,600,000
3,635,930
Bank
of
America
Corp.
,
Senior
Bond,
2.592%
to
4/29/30,
FRN
thereafter,
4/29/31
.....
United
States
6,700,000
6,951,400
Sub.
Bond,
6.11%,
1/29/37
............................
United
States
2,800,000
3,896,161
Citigroup,
Inc.
,
Senior
Bond,
2.572%
to
6/03/30,
FRN
thereafter,
6/03/31
.....
United
States
10,500,000
10,883,865
Senior
Bond,
4.65%,
7/23/48
...........................
United
States
3,700,000
4,914,553
g
Comerica,
Inc.
,
Junior
Sub.
Bond
,
5.625%
to
10/01/25,
FRN
thereafter
,
Perpetual
.................................
United
States
3,800,000
4,237,000
HSBC
Holdings
plc
,
Senior
Bond,
2.848%
to
6/04/30,
FRN
thereafter,
6/04/31
.....
United
Kingdom
10,600,000
11,184,911
Senior
Bond,
2.357%
to
8/18/30,
FRN
thereafter,
8/18/31
.....
United
Kingdom
3,800,000
3,850,035
Senior
Note,
2.013%
to
9/22/27,
FRN
thereafter,
9/22/28
......
United
Kingdom
3,400,000
3,444,520
JPMorgan
Chase
&
Co.
,
Senior
Bond,
4.493%
to
3/24/30,
FRN
thereafter,
3/24/31
.....
United
States
17,100,000
20,469,954
Sub.
Bond,
4.95%,
6/01/45
............................
United
States
1,600,000
2,151,827
f
Societe
Generale
SA
,
Senior
Note
,
144A,
1.792%
to
6/09/26,
FRN
thereafter
,
6/09/27
...................................
France
7,500,000
7,535,041
f
UniCredit
SpA
,
Senior
Note
,
144A,
1.982%
to
6/03/26,
FRN
thereafter
,
6/03/27
...................................
Italy
7,300,000
7,322,300
96,140,777
Beverages
0.1%
Anheuser-Busch
Cos.
LLC
/
Anheuser-Busch
InBev
Worldwide,
Inc.
,
Senior
Bond,
4.7%,
2/01/36
............................
Belgium
1,800,000
2,241,731
Senior
Bond,
4.9%,
2/01/46
............................
Belgium
3,400,000
4,367,076
6,608,807
Biotechnology
0.7%
AbbVie,
Inc.
,
Senior
Bond,
4.7%,
5/14/45
............................
United
States
3,200,000
4,066,236
Senior
Note,
3.2%,
11/21/29
...........................
United
States
18,000,000
19,781,434
Amgen,
Inc.
,
Senior
Bond
,
2.45
%
,
2/21/30
...................
United
States
10,000,000
10,479,238
Regeneron
Pharmaceuticals,
Inc.
,
Senior
Bond
,
1.75
%
,
9/15/30
..
United
States
1,400,000
1,355,126
35,682,034
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Total
Return
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
61
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
Corporate
Bonds
(continued)
Capital
Markets
0.2%
Goldman
Sachs
Group,
Inc.
(The)
,
Senior
Bond,
1.992%
to
1/27/31,
FRN
thereafter,
1/27/32
.....
United
States
5,000,000
$
4,932,992
Senior
Bond,
6.25%,
2/01/41
...........................
United
States
2,800,000
4,197,497
9,130,489
Chemicals
0.5%
f
Alpek
SAB
de
CV
,
Senior
Bond
,
144A,
3.25
%
,
2/25/31
.........
Mexico
5,800,000
5,900,775
f
Braskem
Netherlands
Finance
BV
,
Senior
Bond
,
144A,
4.5
%
,
1/31/30
...........................................
Brazil
11,800,000
12,471,538
CF
Industries,
Inc.
,
Senior
Bond
,
5.15
%
,
3/15/34
..............
United
States
1,000,000
1,243,115
Westlake
Chemical
Corp.
,
Senior
Bond
,
3.375
%
,
6/15/30
.......
United
States
3,500,000
3,833,957
f
Yara
International
ASA
,
Senior
Bond
,
144A,
3.148
%
,
6/04/30
.....
Brazil
1,700,000
1,848,374
25,297,759
Commercial
Services
&
Supplies
0.1%
f
APCOA
Parking
Holdings
GmbH
,
Senior
Secured
Note
,
144A,
4.625
%
,
1/15/27
.....................................
Germany
2,300,000
EUR
2,752,001
f
Harsco
Corp.
,
Senior
Note
,
144A,
5.75
%
,
7/31/27
.............
United
States
800,000
832,752
f
Nielsen
Finance
LLC
/
Nielsen
Finance
Co.
,
Senior
Bond
,
144A,
4.75
%
,
7/15/31
.....................................
United
States
3,100,000
3,130,628
6,715,381
Communications
Equipment
0.1%
f
CommScope
Technologies
LLC
,
Senior
Bond
,
144A,
5
%
,
3/15/27
.
United
States
3,000,000
3,039,150
Consumer
Finance
0.1%
Capital
One
Financial
Corp.
,
Senior
Bond
,
3.8
%
,
1/31/28
........
United
States
3,700,000
4,184,214
OneMain
Finance
Corp.
,
Senior
Bond
,
5.375
%
,
11/15/29
........
United
States
2,000,000
2,201,140
6,385,354
Containers
&
Packaging
0.3%
Amcor
Flexibles
North
America,
Inc.
,
Senior
Bond
,
2.63
%
,
6/19/30
United
States
2,800,000
2,921,624
f
Mauser
Packaging
Solutions
Holding
Co.
,
Senior
Note
,
144A,
7.25
%
,
4/15/25
...........................................
United
States
3,000,000
2,934,555
f
Plastipak
Holdings,
Inc.
,
Senior
Note
,
144A,
6.25
%
,
10/15/25
....
United
States
3,000,000
3,071,580
f
Reynolds
Group
Issuer,
Inc.
/
Reynolds
Group
Issuer
LLC
/
Reynolds
Group
Issuer
Luxembourg
SA
,
Senior
Secured
Note
,
144A,
4
%
,
10/15/27
..........................................
United
States
2,300,000
2,300,000
WRKCo
,
Inc.
,
Senior
Bond
,
3
%
,
6/15/33
....................
United
States
4,700,000
5,039,849
16,267,608
Diversified
Financial
Services
0.2%
f
EDP
Finance
BV
,
Senior
Note
,
144A,
1.71
%
,
1/24/28
..........
Portugal
10,500,000
10,477,363
Shell
International
Finance
BV
,
Senior
Bond
,
4.55
%
,
8/12/43
.....
Netherlands
1,700,000
2,160,112
12,637,475
Diversified
Telecommunication
Services
0.4%
f
Altice
France
SA
,
Senior
Secured
Note
,
144A,
5.5
%
,
1/15/28
....
France
3,000,000
3,079,095
AT&T,
Inc.
,
Senior
Bond
,
3.5
%
,
6/01/41
.....................
United
States
8,000,000
8,509,688
f
CCO
Holdings
LLC
/
CCO
Holdings
Capital
Corp.
,
Senior
Bond
,
144A,
5
%
,
2/01/28
...................................
United
States
1,500,000
1,574,625
Orange
SA
,
Senior
Bond
,
8.75
%
,
3/01/31
...................
France
1,300,000
2,065,727
Verizon
Communications,
Inc.
,
Senior
Bond
,
2.55
%
,
3/21/31
.....
United
States
7,500,000
7,804,145
23,033,280
Electric
Utilities
1.4%
Commonwealth
Edison
Co.
,
Senior
Bond
,
6.45
%
,
1/15/38
.......
United
States
700,000
1,049,547
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Total
Return
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
62
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
Corporate
Bonds
(continued)
Electric
Utilities
(continued)
Duke
Energy
Corp.
,
Senior
Bond
,
3.75
%
,
9/01/46
.............
United
States
2,000,000
$
2,203,228
Duke
Energy
Florida
LLC
,
Senior
Bond
,
6.4
%
,
6/15/38
.........
United
States
1,300,000
1,955,709
f
Enel
Finance
International
NV
,
Senior
Bond
,
144A,
6.8
%
,
9/15/37
.
Italy
3,000,000
4,544,377
Exelon
Corp.
,
Senior
Bond
,
4.05
%
,
4/15/30
..................
United
States
16,900,000
19,547,708
Georgia
Power
Co.
,
Senior
Bond
,
4.3
%
,
3/15/42
..............
United
States
9,000,000
10,791,800
Southern
Co.
(The)
,
Senior
Bond,
4.4%,
7/01/46
............................
United
States
2,000,000
2,415,845
A,
Senior
Bond,
3.7%,
4/30/30
.........................
United
States
13,900,000
15,662,052
f
State
Grid
Overseas
Investment
2016
Ltd.
,
Senior
Bond
,
144A,
3.5
%
,
5/04/27
......................................
China
10,700,000
11,908,454
Virginia
Electric
and
Power
Co.
,
Senior
Bond
,
6.35
%
,
11/30/37
...
United
States
520,000
770,111
f
Vistra
Operations
Co.
LLC
,
Senior
Note
,
144A,
4.375
%
,
5/01/29
..
United
States
3,100,000
3,184,754
74,033,585
Electronic
Equipment,
Instruments
&
Components
0.4%
CDW
LLC
/
CDW
Finance
Corp.
,
Senior
Note
,
3.25
%
,
2/15/29
....
United
States
3,000,000
3,018,300
Flex
Ltd.
,
Senior
Bond
,
4.875
%
,
5/12/30
....................
United
States
16,700,000
19,543,652
22,561,952
Energy
Equipment
&
Services
0.1%
Baker
Hughes
a
GE
Co.
LLC
/
Baker
Hughes
Co-Obligor,
Inc.
,
Senior
Bond,
4.486%,
5/01/30
..........................
United
States
800,000
957,254
Senior
Bond,
4.08%,
12/15/47
..........................
United
States
1,200,000
1,386,387
f
Weatherford
International
Ltd.
,
Senior
Note
,
144A,
11
%
,
12/01/24
.
United
States
1,032,000
1,069,838
3,413,479
Entertainment
0.4%
f
Netflix,
Inc.
,
Senior
Bond,
144A,
5.375%,
11/15/29
....................
United
States
3,000,000
3,710,505
Senior
Bond,
144A,
4.875%,
6/15/30
.....................
United
States
12,800,000
15,438,528
19,149,033
Equity
Real
Estate
Investment
Trusts
(REITs)
0.3%
Equinix
,
Inc.
,
Senior
Bond
,
3.2
%
,
11/18/29
..................
United
States
3,500,000
3,813,950
National
Retail
Properties,
Inc.
,
Senior
Bond
,
4.3
%
,
10/15/28
.....
United
States
9,700,000
11,207,511
15,021,461
Food
&
Staples
Retailing
0.2%
f
Cencosud
SA
,
Senior
Bond
,
144A,
4.375
%
,
7/17/27
...........
Chile
9,700,000
10,642,646
Food
Products
0.3%
B&G
Foods,
Inc.
,
Senior
Note
,
5.25
%
,
9/15/27
...............
United
States
3,000,000
3,127,500
f
Bimbo
Bakeries
USA,
Inc.
,
Senior
Bond
,
144A,
4
%
,
5/17/51
.....
Mexico
2,700,000
3,012,804
f
JBS
Finance
Luxembourg
SARL
,
Senior
Bond
,
144A,
3.625
%
,
1/15/32
...........................................
United
States
2,500,000
2,520,000
Kraft
Heinz
Foods
Co.
,
Senior
Note
,
3
%
,
6/01/26
..............
United
States
3,100,000
3,301,630
f
Post
Holdings,
Inc.
,
Senior
Bond
,
144A,
4.5
%
,
9/15/31
.........
United
States
3,000,000
3,039,870
15,001,804
Health
Care
Equipment
&
Supplies
0.2%
Edwards
Lifesciences
Corp.
,
Senior
Bond
,
4.3
%
,
6/15/28
.......
United
States
1,700,000
1,986,954
STERIS
Irish
FinCo
.
UnLtd
.
Co.
,
Senior
Note
,
2.7
%
,
3/15/31
.....
United
States
5,900,000
6,133,266
8,120,220
Health
Care
Providers
&
Services
1.0%
Anthem,
Inc.
,
Senior
Bond
,
4.65
%
,
1/15/43
..................
United
States
3,100,000
3,961,696
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Total
Return
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
63
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
Corporate
Bonds
(continued)
Health
Care
Providers
&
Services
(continued)
Centene
Corp.
,
Senior
Bond,
3%,
10/15/30
............................
United
States
12,300,000
$
12,800,118
Senior
Note,
4.25%,
12/15/27
..........................
United
States
2,000,000
2,112,500
f
CHS/Community
Health
Systems,
Inc.
,
Senior
Secured
Note,
144A,
5.625%,
3/15/27
..............
United
States
800,000
848,036
Senior
Secured
Note,
144A,
6%,
1/15/29
..................
United
States
600,000
639,066
CVS
Health
Corp.
,
Senior
Bond
,
4.78
%
,
3/25/38
..............
United
States
3,200,000
4,023,267
f
DaVita,
Inc.
,
Senior
Note
,
144A,
4.625
%
,
6/01/30
.............
United
States
1,900,000
1,966,500
Kaiser
Foundation
Hospitals
,
2019
,
Senior
Bond
,
3.266
%
,
11/01/49
United
States
11,270,000
12,627,168
Orlando
Health
Obligated
Group
,
3.777
%
,
10/01/28
............
United
States
2,810,000
3,183,269
Providence
St
Joseph
Health
Obligated
Group
,
H
,
2.746
%
,
10/01/26
United
States
8,875,000
9,549,446
51,711,066
Hotels,
Restaurants
&
Leisure
0.9%
f
Boyd
Gaming
Corp.
,
Senior
Bond
,
144A,
4.75
%
,
6/15/31
........
United
States
2,400,000
2,486,051
f
Genting
New
York
LLC
/
GENNY
Capital,
Inc.
,
Senior
Note
,
144A,
3.3
%
,
2/15/26
......................................
United
States
2,100,000
2,116,190
Las
Vegas
Sands
Corp.
,
Senior
Bond
,
3.9
%
,
8/08/29
...........
United
States
8,500,000
9,057,013
f
NCL
Corp.
Ltd.
,
Senior
Note
,
144A,
5.875
%
,
3/15/26
...........
United
States
15,300,000
15,433,875
f
Studio
City
Finance
Ltd.
,
Senior
Note
,
144A,
5
%
,
1/15/29
.......
Macau
13,000,000
12,826,580
f
TUI
Cruises
GmbH
,
Senior
Note
,
144A,
6.5
%
,
5/15/26
..........
Germany
2,100,000
EUR
2,558,638
f
Wynn
Macau
Ltd.
,
Senior
Note
,
144A,
5.625
%
,
8/26/28
.........
Macau
1,500,000
1,539,600
46,017,947
Household
Durables
0.3%
f
Ashton
Woods
USA
LLC
/
Ashton
Woods
Finance
Co.
,
Senior
Note,
144A,
6.75%,
8/01/25
......................
United
States
3,000,000
3,101,250
h
Senior
Note,
144A,
4.625%,
8/01/29
.....................
United
States
3,000,000
3,012,060
Mohawk
Industries,
Inc.
,
Senior
Bond
,
3.625
%
,
5/15/30
.........
United
States
10,400,000
11,642,044
17,755,354
Independent
Power
and
Renewable
Electricity
Producers
0.2%
f
Calpine
Corp.
,
Senior
Note
,
144A,
5.125
%
,
3/15/28
............
United
States
2,500,000
2,534,537
f
Colbun
SA
,
Senior
Bond
,
144A,
3.15
%
,
3/06/30
...............
Chile
4,400,000
4,594,634
f
InterGen
NV
,
Senior
Secured
Bond
,
144A,
7
%
,
6/30/23
.........
Netherlands
3,300,000
3,279,095
f
Talen
Energy
Supply
LLC
,
Senior
Secured
Note
,
144A,
7.25
%
,
5/15/27
...........................................
United
States
3,000,000
2,740,740
13,149,006
Insurance
0.4%
f
Liberty
Mutual
Group,
Inc.
,
Senior
Bond
,
144A,
4.569
%
,
2/01/29
..
United
States
12,000,000
14,169,307
f
Metropolitan
Life
Global
Funding
I
,
Senior
Secured
Bond
,
144A,
2.95
%
,
4/09/30
.....................................
United
States
8,200,000
8,913,159
23,082,466
Interactive
Media
&
Services
0.3%
f
Tencent
Holdings
Ltd.
,
Senior
Bond
,
144A,
2.39
%
,
6/03/30
......
China
15,000,000
15,103,874
Internet
&
Direct
Marketing
Retail
0.4%
Alibaba
Group
Holding
Ltd.
,
Senior
Bond,
3.4%,
12/06/27
...........................
China
14,700,000
16,096,265
Senior
Bond,
2.125%,
2/09/31
..........................
China
7,400,000
7,327,842
23,424,107
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Total
Return
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
64
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
Corporate
Bonds
(continued)
IT
Services
0.3%
Fiserv,
Inc.
,
Senior
Bond,
3.5%,
7/01/29
............................
United
States
1,800,000
$
2,012,332
Senior
Bond,
2.65%,
6/01/30
...........................
United
States
8,600,000
9,056,386
f
Presidio
Holdings,
Inc.
,
Senior
Note
,
144A,
8.25
%
,
2/01/28
......
United
States
3,000,000
3,270,090
14,338,808
Machinery
0.0%
Westinghouse
Air
Brake
Technologies
Corp.
,
Senior
Note
,
3.2
%
,
6/15/25
...........................................
United
States
2,300,000
2,455,910
Media
0.8%
Charter
Communications
Operating
LLC
/
Charter
Communications
Operating
Capital
,
Senior
Secured
Bond
,
2.8
%
,
4/01/31
.......
United
States
18,200,000
18,894,679
Comcast
Corp.
,
Senior
Bond,
4.25%,
1/15/33
...........................
United
States
10,000,000
12,063,176
Senior
Bond,
4.2%,
8/15/34
............................
United
States
1,700,000
2,040,892
Senior
Bond,
4.049%,
11/01/52
.........................
United
States
2,000,000
2,424,849
f
Diamond
Sports
Group
LLC
/
Diamond
Sports
Finance
Co.
,
Senior
Secured
Note
,
144A,
5.375
%
,
8/15/26
....................
United
States
3,200,000
1,860,000
Fox
Corp.
,
Senior
Bond
,
5.476
%
,
1/25/39
...................
United
States
3,000,000
3,934,180
f
Univision
Communications,
Inc.
,
Senior
Secured
Note,
144A,
5.125%,
2/15/25
..............
United
States
3,000,000
3,052,320
Senior
Secured
Note,
144A,
4.5%,
5/01/29
................
United
States
400,000
401,488
44,671,584
Metals
&
Mining
0.1%
f
Novelis
Corp.
,
Senior
Bond
,
144A,
4.75
%
,
1/30/30
............
United
States
2,500,000
2,665,388
Multiline
Retail
0.3%
Dollar
Tree,
Inc.
,
Senior
Bond
,
4.2
%
,
5/15/28
.................
United
States
11,700,000
13,427,305
c,f,i
K2016470219
South
Africa
Ltd.
,
Senior
Secured
Note
,
144A,
PIK,
3
%
,
12/31/22
.......................................
South
Africa
2,419,520
c,f,i
K2016470260
South
Africa
Ltd.
,
Senior
Secured
Note
,
144A,
PIK,
25
%
,
12/31/22
......................................
South
Africa
867,575
13,427,305
Multi-Utilities
0.4%
Berkshire
Hathaway
Energy
Co.
,
Senior
Bond
,
6.125
%
,
4/01/36
..
United
States
2,700,000
3,873,795
Dominion
Energy,
Inc.
,
Senior
Note,
4.25%,
6/01/28
...........................
United
States
10,000,000
11,653,841
C,
Senior
Note,
3.375%,
4/01/30
........................
United
States
4,351,000
4,829,596
20,357,232
Oil,
Gas
&
Consumable
Fuels
2.0%
f
Aker
BP
ASA
,
Senior
Bond
,
144A,
4
%
,
1/15/31
...............
Norway
10,400,000
11,581,770
Cenovus
Energy,
Inc.
,
Senior
Bond
,
6.75
%
,
11/15/39
...........
Canada
1,500,000
2,049,019
Cheniere
Corpus
Christi
Holdings
LLC
,
Senior
Secured
Note
,
5.875
%
,
3/31/25
.....................................
United
States
1,600,000
1,829,687
Cheniere
Energy,
Inc.
,
Senior
Secured
Note
,
4.625
%
,
10/15/28
...
United
States
1,700,000
1,796,917
f
Continental
Resources,
Inc.
,
Senior
Bond
,
144A,
5.75
%
,
1/15/31
..
United
States
15,500,000
18,706,098
f
Crestwood
Midstream
Partners
LP
/
Crestwood
Midstream
Finance
Corp.
,
Senior
Note
,
144A,
6
%
,
2/01/29
....................
United
States
4,000,000
4,165,500
Diamondback
Energy,
Inc.
,
Senior
Note
,
5.375
%
,
5/31/25
.......
United
States
5,500,000
5,651,348
Enable
Midstream
Partners
LP
,
Senior
Bond,
5.25%,
5/15/44
...........................
United
States
1,200,000
1,328,680
Senior
Note,
4.15%,
5/15/24
...........................
United
States
3,600,000
3,847,542
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Total
Return
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
65
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
Corporate
Bonds
(continued)
Oil,
Gas
&
Consumable
Fuels
(continued)
Energy
Transfer
LP
,
Senior
Bond,
4.75%,
1/15/26
...........................
United
States
4,500,000
$
5,079,432
Senior
Bond,
5.15%,
2/01/43
...........................
United
States
6,000,000
6,974,974
EnLink
Midstream
LLC
,
Senior
Bond
,
5.375
%
,
6/01/29
.........
United
States
400,000
416,604
Enterprise
Products
Operating
LLC
,
Senior
Bond
,
3.125
%
,
7/31/29
United
States
2,000,000
2,182,381
Exxon
Mobil
Corp.
,
Senior
Bond,
2.61%,
10/15/30
..........................
United
States
6,100,000
6,547,423
Senior
Bond,
3.452%,
4/15/51
..........................
United
States
2,000,000
2,240,202
f
Harvest
Operations
Corp.
,
Senior
Note
,
144A,
4.2
%
,
6/01/23
.....
South
Korea
3,800,000
4,039,939
f
Martin
Midstream
Partners
LP
/
Martin
Midstream
Finance
Corp.
,
Secured
Note,
144A,
10%,
2/29/24
......................
United
States
151,936
156,304
Secured
Note,
144A,
11.5%,
2/28/25
.....................
United
States
689,984
715,089
MPLX
LP
,
Senior
Bond,
4.7%,
4/15/48
............................
United
States
2,000,000
2,354,850
Senior
Note,
4.875%,
6/01/25
..........................
United
States
4,500,000
5,099,572
Occidental
Petroleum
Corp.
,
Senior
Bond
,
6.125
%
,
1/01/31
......
United
States
1,800,000
2,128,860
f
Rattler
Midstream
LP
,
Senior
Note
,
144A,
5.625
%
,
7/15/25
......
United
States
900,000
940,608
Sunoco
LP
/
Sunoco
Finance
Corp.
,
Senior
Note
,
4.5
%
,
5/15/29
..
United
States
1,400,000
1,435,000
TotalEnergies
Capital
International
SA
,
Senior
Bond
,
3.455
%
,
2/19/29
...........................................
France
1,800,000
2,031,048
TransCanada
PipeLines
Ltd.
,
Senior
Bond
,
4.25
%
,
5/15/28
......
Canada
3,400,000
3,934,721
f
Tullow
Oil
plc
,
Senior
Note
,
144A,
7
%
,
3/01/25
...............
Ghana
600,000
521,280
f
Venture
Global
Calcasieu
LLC
,
144A,
4.125%,
8/15/31
...............................
United
States
1,000,000
1,036,250
Senior
Secured
Note,
144A,
3.875%,
8/15/29
..............
United
States
1,000,000
1,023,750
Williams
Cos.,
Inc.
(The)
,
Senior
Bond
,
3.5
%
,
11/15/30
.........
United
States
3,200,000
3,539,176
103,354,024
Paper
&
Forest
Products
0.2%
Suzano
Austria
GmbH
,
Senior
Bond,
3.75%,
1/15/31
...........................
Brazil
5,000,000
5,215,250
Senior
Bond,
3.125%,
1/15/32
..........................
Brazil
7,300,000
7,243,425
12,458,675
Personal
Products
0.2%
Avon
Products,
Inc.
,
Senior
Bond
,
6.75
%
,
3/15/23
.............
United
Kingdom
8,800,000
9,383,000
f
Oriflame
Investment
Holding
plc
,
Senior
Secured
Note
,
144A,
5.125
%
,
5/04/26
.....................................
Switzerland
2,600,000
2,676,700
f
Prestige
Brands,
Inc.
,
Senior
Bond
,
144A,
3.75
%
,
4/01/31
.......
United
States
800,000
792,648
12,852,348
Pharmaceuticals
0.4%
f
Endo
Luxembourg
Finance
Co.
I
SARL
/
Endo
US,
Inc.
,
Senior
Secured
Note
,
144A,
6.125
%
,
4/01/29
....................
United
States
4,000,000
3,980,980
f
Organon
&
Co.
/
Organon
Foreign
Debt
Co-Issuer
BV
,
Senior
Bond,
144A,
5.125%,
4/30/31
.....................
United
States
1,500,000
1,546,875
Senior
Secured
Note,
144A,
4.125%,
4/30/28
..............
United
States
2,500,000
2,566,787
Royalty
Pharma
plc
,
Senior
Bond
,
2.15
%
,
9/02/31
.............
United
States
8,000,000
7,889,580
Takeda
Pharmaceutical
Co.
Ltd.
,
Senior
Note
,
2.05
%
,
3/31/30
....
Japan
6,400,000
6,450,336
22,434,558
Real
Estate
Management
&
Development
0.1%
f
Five
Point
Operating
Co.
LP
/
Five
Point
Capital
Corp.
,
Senior
Note
,
144A,
7.875
%
,
11/15/25
...............................
United
States
600,000
629,292
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Total
Return
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
66
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
Corporate
Bonds
(continued)
Real
Estate
Management
&
Development
(continued)
f
Vivion
Investments
SARL
,
Senior
Note
,
Reg
S,
3
%
,
8/08/24
.....
Luxembourg
1,700,000
EUR
$
2,013,947
2,643,239
Road
&
Rail
0.4%
Burlington
Northern
Santa
Fe
LLC
,
Senior
Bond,
4.9%,
4/01/44
............................
United
States
1,600,000
2,181,907
Senior
Bond,
3.9%,
8/01/46
............................
United
States
5,000,000
5,990,683
f
First
Student
Bidco
,
Inc.
/
First
Transit
Parent,
Inc.
,
Senior
Secured
Note
,
144A,
4
%
,
7/31/29
..............................
United
States
3,100,000
3,107,750
f
Kazakhstan
Temir
Zholy
Finance
BV
,
Senior
Bond
,
144A,
6.95
%
,
7/10/42
...........................................
Kazakhstan
7,500,000
10,462,500
21,742,840
Semiconductors
&
Semiconductor
Equipment
0.3%
f
SK
Hynix,
Inc.
,
Senior
Bond
,
144A,
2.375
%
,
1/19/31
...........
South
Korea
14,800,000
14,703,341
Software
0.0%
Anagram,
Inc.
,
Secured
Note
,
10
%
,
8/15/26
.................
United
States
616,265
578,433
Specialty
Retail
0.1%
AutoNation,
Inc.
,
Senior
Bond
,
4.75
%
,
6/01/30
...............
United
States
2,400,000
2,872,544
Murphy
Oil
USA,
Inc.
,
Senior
Bond
,
4.75
%
,
9/15/29
............
United
States
2,700,000
2,870,653
f
Party
City
Holdings,
Inc.
,
Senior
Secured
Note
,
144A,
5.75
%
,
(
6-month
USD
LIBOR
+
5
%
),
7/15/25
.....................
United
States
1,110,015
1,053,471
6,796,668
Thrifts
&
Mortgage
Finance
0.3%
Radian
Group,
Inc.
,
Senior
Note
,
4.875
%
,
3/15/27
.............
United
States
16,800,000
18,295,620
Tobacco
0.3%
Altria
Group,
Inc.
,
Senior
Bond
,
3.4
%
,
5/06/30
................
United
States
15,100,000
16,272,115
Trading
Companies
&
Distributors
0.1%
f
Ahern
Rentals,
Inc.
,
Secured
Note
,
144A,
7.375
%
,
5/15/23
......
United
States
400,000
363,816
f
WESCO
Distribution,
Inc.
,
Senior
Note,
144A,
7.125%,
6/15/25
.....................
United
States
1,100,000
1,183,869
Senior
Note,
144A,
7.25%,
6/15/28
......................
United
States
1,900,000
2,117,408
3,665,093
Wireless
Telecommunication
Services
0.8%
T-Mobile
USA,
Inc.
,
Senior
Secured
Bond,
4.375%,
4/15/40
...................
United
States
3,400,000
4,033,913
Senior
Secured
Bond,
3.3%,
2/15/51
.....................
United
States
5,700,000
5,820,127
Senior
Secured
Note,
3.875%,
4/15/30
...................
United
States
10,000,000
11,325,200
Vodafone
Group
plc
,
Senior
Bond
,
6.15
%
,
2/27/37
.............
United
Kingdom
16,000,000
22,440,155
43,619,395
Total
Corporate
Bonds
(Cost
$987,564,729)
.....................................
1,031,739,661
a
j
Senior
Floating
Rate
Interests
1.1%
Aerospace
&
Defense
0.2%
Dynasty
Acquisition
Co.,
Inc.
,
2020
Term
Loan,
B1,
3.647%,
(3-month
USD
LIBOR
+
3.5%),
4/06/26
...........................................
United
States
5,151,767
4,990,775
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Total
Return
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
67
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
j
Senior
Floating
Rate
Interests
(continued)
Aerospace
&
Defense
(continued)
Dynasty
Acquisition
Co.,
Inc.,
(continued)
2020
Term
Loan,
B2,
3.647%,
(3-month
USD
LIBOR
+
3.5%),
4/06/26
...........................................
United
States
2,769,767
$
2,683,212
7,673,987
a
a
a
a
a
a
Airlines
0.3%
h,k
Air
Canada
,
Term
Loan,
B
,
TBD,
7/27/28
....................
Canada
13,000,000
13,037,960
Diversified
Consumer
Services
0.1%
KUEHG
Corp.
,
Term
Loan,
B3
,
4.75
%
,
(
3-month
USD
LIBOR
+
3.75
%
),
2/21/25
.....................................
United
States
6,592,684
6,469,532
Entertainment
0.2%
Diamond
Sports
Group
LLC
,
Term
Loan
,
3.35
%
,
(
1-month
USD
LIBOR
+
3.25
%
),
8/24/26
..............................
United
States
4,802,248
2,655,427
William
Morris
Endeavor
Entertainment
LLC
(IMG
Worldwide
Holdings
LLC)
,
First
Lien,
Term
Loan,
B1
,
2.85
%
,
(
1-month
USD
LIBOR
+
2.75
%
),
5/18/25
..............................
United
States
6,468,353
6,302,052
8,957,479
a
a
a
a
a
a
Leisure
Products
0.1%
Hercules
Achievement,
Inc.
(Varsity
Brands
Holding
Co.,
Inc.)
,
First
Lien,
Initial
Term
Loan
,
4.5
%
,
(
1-month
USD
LIBOR
+
3.5
%
),
12/16/24
..........................................
United
States
7,570,931
7,383,778
Media
0.1%
h
Cengage
Learning,
Inc.
,
First
Lien,
Term
Loan,
B
,
5.75
%
,
(
3-month
USD
LIBOR
+
4.75
%
),
7/14/26
..........................
United
States
6,074,401
6,080,263
Personal
Products
0.1%
Coty,
Inc.
,
USD
Term
Loan,
B
,
2.352
%
,
(
1-month
USD
LIBOR
+
2.25
%
),
4/07/25
.....................................
United
States
7,425,446
7,153,638
Total
Senior
Floating
Rate
Interests
(Cost
$58,364,943)
..........................
56,756,637
Marketplace
Loans
0.5%
Diversified
Financial
Services
0.5%
c
Freedom
Financial
Asset
Management
LLC,
5.99%
-
26.99%,
3/20/23
-
9/25/26
....................................
United
States
18,316,798
18,187,715
c
Lending
Club
-
LCX
PM,
6.49%
-
21.49%,
10/07/23
-
2/08/26
.....
United
States
3,255,116
3,138,347
c
Lending
Club
-
LCX,
6.46%
-
25.65%,
7/30/22
-
4/14/25
.........
United
States
3,011,519
2,780,031
c
Upgrade,
13.64%
-
30.99%,
10/11/22
-
1/20/25
...............
United
States
1,712,359
1,533,611
c
Upstart
Network,
Inc.,
15.3%
-
30.65%,
7/09/24
-
7/09/26
.......
United
States
199,362
199,269
25,838,973
a
a
a
a
a
a
Total
Marketplace
Loans
(Cost
$26,495,154)
....................................
25,838,973
Foreign
Government
and
Agency
Securities
4.3%
f
African
Export-Import
Bank
(The),
Senior
Bond,
144A,
3.994%,
9/21/29
...........................................
Supranational
l
1,400,000
1,488,550
f
Banque
Centrale
de
Tunisie
,
Senior
Bond,
144A,
5.75%,
1/30/25
..
Tunisia
8,000,000
6,795,240
f
Banque
Ouest
Africaine
de
Developpement
,
Senior
Bond,
144A,
5%,
7/27/27
...........................................
Supranational
l
10,700,000
11,944,538
f
Belarus
Government
Bond,
Senior
Bond,
144A,
7.625%,
6/29/27
..
Belarus
13,300,000
13,093,517
Brazil
Government
Bond,
Senior
Bond,
5.625%,
2/21/47
........
Brazil
6,500,000
7,030,627
Colombia
Government
Bond,
Senior
Bond,
5%,
6/15/45
........
Colombia
8,800,000
9,233,224
f
Dominican
Republic
Government
Bond,
Senior
Note,
144A,
8.9%,
2/15/23
...........................................
Dominican
Republic
610,400,000
DOP
11,299,771
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Total
Return
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
68
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
Foreign
Government
and
Agency
Securities
(continued)
f
Egypt
Government
Bond,
Senior
Bond,
144A,
8.875%,
5/29/50
...
Egypt
4,500,000
$
4,804,875
f,g
Electricite
de
France
SA,
Junior
Sub.
Bond,
144A,
5.25%
to
1/29/23,
FRN
thereafter,
Perpetual
.............................
France
24,000,000
25,248,000
f
Gabon
Government
Bond,
Senior
Bond,
144A,
6.625%,
2/06/31
..
Gabon
5,000,000
5,026,500
f
Indonesia
Government
Bond,
Senior
Bond,
144A,
4.35%,
1/08/27
.
Indonesia
9,100,000
10,344,688
f
Iraq
Government
Bond,
Senior
Bond,
144A,
5.8%,
1/15/28
......
Iraq
13,243,750
12,701,087
f
Israel
Electric
Corp.
Ltd.,
Senior
Secured
Bond,
144A,
Reg
S,
4.25%,
8/14/28
...........................................
Israel
6,700,000
7,524,435
Mexico
Government
Bond,
Senior
Bond,
4.5%,
4/22/29
.........
Mexico
9,500,000
10,833,373
f
Nigeria
Government
Bond,
Senior
Bond,
144A,
9.248%,
1/21/49
..
Nigeria
3,600,000
4,145,872
f
Panama
Government
Bond,
Senior
Note,
144A,
3.75%,
4/17/26
..
Panama
5,700,000
6,179,940
Peru
Government
Bond
,
Senior
Bond,
2.783%,
1/23/31
..........................
Peru
8,000,000
8,051,120
Senior
Bond,
6.55%,
3/14/37
...........................
Peru
2,900,000
3,952,860
Petroleos
Mexicanos
,
Senior
Bond,
6.625%,
6/15/35
...........
Mexico
6,000,000
5,807,370
f
Russia
Government
Bond,
Senior
Bond,
144A,
4.875%,
9/16/23
..
Russia
11,600,000
12,610,685
b
South
Africa
Government
Bond,
Senior
Bond,
5.875%,
6/22/30
...
South
Africa
9,500,000
10,806,250
Turkey
Government
Bond,
Senior
Bond,
5.25%,
3/13/30
........
Turkey
10,000,000
9,615,750
f
Ukraine
Government
Bond
,
Senior
Note,
144A,
7.75%,
9/01/21
.......................
Ukraine
229,000
230,349
Senior
Note,
144A,
7.75%,
9/01/22
.......................
Ukraine
229,000
239,785
Senior
Note,
144A,
7.75%,
9/01/23
.......................
Ukraine
229,000
245,880
Senior
Note,
144A,
7.75%,
9/01/24
.......................
Ukraine
229,000
249,159
Senior
Note,
144A,
7.75%,
9/01/25
.......................
Ukraine
229,000
249,460
Senior
Bond,
144A,
7.75%,
9/01/26
......................
Ukraine
229,000
251,183
Senior
Bond,
144A,
7.75%,
9/01/27
......................
Ukraine
229,000
251,297
Senior
Bond,
144A,
7.375%,
9/25/32
.....................
Ukraine
12,400,000
12,934,192
m
VRI,
GDP
Linked
Security,
Senior
Bond,
144A,
5/31/40
.......
Ukraine
474,000
553,630
n
Uruguay
Government
Bond,
Index
Linked,
Senior
Bond,
3.7%,
6/26/37
...........................................
Uruguay
449,880,512
UYU
11,569,320
Total
Foreign
Government
and
Agency
Securities
(Cost
$226,219,313)
............
225,312,527
U.S.
Government
and
Agency
Securities
23.7%
U.S.
Treasury
Bonds
,
n
3.625%,
4/15/28
.....................................
United
States
6,000,000
13,740,330
1.125%,
5/15/40
.....................................
United
States
25,000,000
22,344,726
1.125%,
8/15/40
.....................................
United
States
34,000,000
30,283,906
3.125%,
11/15/41
....................................
United
States
14,500,000
17,812,910
2.5%,
5/15/46
......................................
United
States
9,000,000
10,100,391
2.25%,
8/15/46
.....................................
United
States
28,800,000
30,870,000
2.75%,
11/15/47
.....................................
United
States
25,500,000
30,066,094
3.125%,
5/15/48
.....................................
United
States
16,500,000
20,826,094
3%,
8/15/48
........................................
United
States
17,000,000
21,014,922
2.875%,
5/15/49
.....................................
United
States
14,000,000
16,988,672
2.25%,
8/15/49
.....................................
United
States
39,000,000
41,946,328
1.25%,
5/15/50
.....................................
United
States
24,000,000
20,436,562
2.375%,
5/15/51
.....................................
United
States
14,200,000
15,756,453
U.S.
Treasury
Notes
,
0.125%,
8/31/22
.....................................
United
States
25,000,000
25,009,765
0.125%,
11/30/22
....................................
United
States
50,000,000
50,015,625
0.125%,
1/31/23
.....................................
United
States
75,000,000
75,000,000
1.125%,
2/28/25
.....................................
United
States
50,000,000
51,169,922
0.25%,
6/30/25
.....................................
United
States
145,000,000
143,436,719
0.25%,
7/31/25
.....................................
United
States
90,000,000
88,955,860
0.25%,
8/31/25
.....................................
United
States
74,000,000
73,066,328
0.25%,
9/30/25
.....................................
United
States
150,000,000
148,001,953
0.375%,
11/30/25
....................................
United
States
128,000,000
126,795,000
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Total
Return
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
69
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
U.S.
Government
and
Agency
Securities
(continued)
U.S.
Treasury
Notes,
(continued)
0.375%,
12/31/25
....................................
United
States
124,000,000
$
122,716,407
0.75%,
5/31/26
.....................................
United
States
35,000,000
35,123,047
0.375%,
7/31/27
.....................................
United
States
22,200,000
21,583,430
Total
U.S.
Government
and
Agency
Securities
(Cost
$1,248,265,565)
..............
1,253,061,444
Asset-Backed
Securities
11.1%
Airlines
0.0%
United
Airlines
Pass-Through
Trust
,
2020-1
,
B
,
4.875
%
,
7/15/27
..
United
States
1,401,375
1,472,511
Commercial
Services
&
Supplies
0.2%
f,o
Armada
Euro
CLO
IV
DAC
,
4A
,
B
,
144A,
FRN
,
1.7
%
,
7/15/33
....
Ireland
5,100,000
EUR
6,062,230
f,p
LCM
XXII
Ltd.
,
22A,
A2R,
144A,
FRN,
1.584%,
(3-month
USD
LIBOR
+
1.45%),
10/20/28
..........................................
United
States
1,000,000
1,002,019
22A,
CR,
144A,
FRN,
2.934%,
(3-month
USD
LIBOR
+
2.8%),
10/20/28
..........................................
United
States
1,000,000
983,152
8,047,401
a
a
a
a
a
a
Diversified
Financial
Services
10.9%
f,p
Adagio
CLO
VIII
DAC
,
VIII-A
,
B1
,
144A,
FRN
,
1.65
%
,
(
3-month
EURIBOR
+
1.65
%
),
4/15/32
...........................
Ireland
2,050,000
EUR
2,444,323
f,p
AMMC
CLO
15
Ltd.
,
2014-15A
,
BRR
,
144A,
FRN
,
1.926
%
,
(
3-month
USD
LIBOR
+
1.8
%
),
1/15/32
...........................
United
States
922,984
921,636
f,p
AMMC
CLO
21
Ltd.
,
2017-21A
,
C
,
144A,
FRN
,
2.276
%
,
(
3-month
USD
LIBOR
+
2.1
%
),
11/02/30
..........................
United
States
1,000,000
988,469
f,p
AMMC
CLO
XI
Ltd.
,
2012-11A,
BR2,
144A,
FRN,
1.729%,
(3-month
USD
LIBOR
+
1.6%),
4/30/31
......................................
United
States
5,050,000
5,053,152
2012-11A,
CR2,
144A,
FRN,
2.028%,
(3-month
USD
LIBOR
+
1.9%),
4/30/31
......................................
United
States
2,750,000
2,740,985
f,p
Antares
CLO
Ltd.
,
2018-1A
,
B
,
144A,
FRN
,
1.784
%
,
(
3-month
USD
LIBOR
+
1.65
%
),
4/20/31
..............................
United
States
12,900,000
12,722,625
f,p
Ares
European
CLO
VIII
BV
,
8A
,
BR
,
144A,
FRN
,
1.6
%
,
(
3-month
EURIBOR
+
1.6
%
),
4/17/32
............................
Ireland
2,900,000
EUR
3,417,908
f,p
Ares
XLVIII
CLO
Ltd.
,
2018-48A
,
D
,
144A,
FRN
,
2.834
%
,
(
3-month
USD
LIBOR
+
2.7
%
),
7/20/30
...........................
United
States
2,000,000
1,955,447
f,p
Bain
Capital
Credit
CLO
Ltd.
,
2018-1A,
A1,
144A,
FRN,
1.098%,
(3-month
USD
LIBOR
+
0.96%),
4/23/31
.....................................
United
States
12,000,000
12,002,989
2018-1A,
A2,
144A,
FRN,
1.288%,
(3-month
USD
LIBOR
+
1.15%),
4/23/31
.....................................
United
States
5,100,000
5,103,819
2020-4A,
B,
144A,
FRN,
2.084%,
(3-month
USD
LIBOR
+
1.95%),
10/20/33
..........................................
United
States
8,350,000
8,362,183
f,p
BCC
Middle
Market
CLO
LLC
,
2018-1A
,
A2
,
144A,
FRN
,
2.284
%
,
(
3-month
USD
LIBOR
+
2.15
%
),
10/20/30
.................
United
States
5,100,000
5,046,145
f,p
Blackrock
European
CLO
IX
DAC
,
9A,
A,
144A,
FRN,
0.9%,
(3-month
EURIBOR
+
0.9%),
12/15/32
Ireland
17,350,000
EUR
20,602,485
9A,
B,
144A,
FRN,
1.55%,
(3-month
EURIBOR
+
1.55%),
12/15/32
Ireland
5,250,000
EUR
6,237,645
f,p
BlueMountain
CLO
Ltd.
,
2012-2A,
DR2,
144A,
FRN,
3.055%,
(3-month
USD
LIBOR
+
2.9%),
11/20/28
.....................................
United
States
1,753,000
1,732,401
2014-2A,
CR2,
144A,
FRN,
2.334%,
(3-month
USD
LIBOR
+
2.2%),
10/20/30
.....................................
United
States
4,700,000
4,711,312
2016-3A,
CR,
144A,
FRN,
2.356%,
(3-month
USD
LIBOR
+
2.2%),
11/15/30
..........................................
United
States
500,000
501,266
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Total
Return
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
70
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
Asset-Backed
Securities
(continued)
Diversified
Financial
Services
(continued)
f,p
BlueMountain
CLO
Ltd.,
(continued)
2018-1A,
B,
144A,
FRN,
1.829%,
(3-month
USD
LIBOR
+
1.7%),
7/30/30
...........................................
United
States
272,725
$
273,400
2018-3A,
C,
144A,
FRN,
2.325%,
(3-month
USD
LIBOR
+
2.2%),
10/25/30
..........................................
United
States
1,071,430
1,070,094
f,p
BlueMountain
Fuji
EUR
CLO
V
DAC
,
5A
,
B
,
144A,
FRN
,
1.55
%
,
(
3-month
EURIBOR
+
1.55
%
),
1/15/33
....................
Ireland
6,250,000
EUR
7,425,482
f,p
BlueMountain
Fuji
US
CLO
III
Ltd.
,
2017-3A,
C,
144A,
FRN,
1.826%,
(3-month
USD
LIBOR
+
1.7%),
1/15/30
...........................................
United
States
2,300,000
2,283,564
2017-3A,
D,
144A,
FRN,
2.526%,
(3-month
USD
LIBOR
+
2.4%),
1/15/30
...........................................
United
States
1,600,000
1,502,755
f,p
Burnham
Park
CLO
Ltd.
,
2016-1A
,
BR
,
144A,
FRN
,
1.634
%
,
(
3-month
USD
LIBOR
+
1.5
%
),
10/20/29
..................
United
States
1,488,189
1,484,083
f,p
Buttermilk
Park
CLO
Ltd.
,
2018-1A
,
C
,
144A,
FRN
,
2.226
%
,
(
3-month
USD
LIBOR
+
2.1
%
),
10/15/31
..................
United
States
1,452,380
1,456,444
f,p
Carlyle
Global
Market
Strategies
CLO
Ltd.
,
2014-1A,
A1R2,
144A,
FRN,
1.104%,
(3-month
USD
LIBOR
+
0.97%),
4/17/31
.....................................
United
States
722,802
723,139
2014-1A,
A2R2,
144A,
FRN,
1.264%,
(3-month
USD
LIBOR
+
1.13%),
4/17/31
.....................................
United
States
6,300,000
6,258,908
2014-1A,
DR,
144A,
FRN,
2.734%,
(3-month
USD
LIBOR
+
2.6%),
4/17/31
...........................................
United
States
3,175,000
3,058,273
f,p
Carlyle
GMS
Finance
MM
CLO
LLC
,
2015-1A
,
A2R
,
144A,
FRN
,
2.326
%
,
(
3-month
USD
LIBOR
+
2.2
%
),
10/15/31
............
United
States
10,000,000
9,828,179
f,p
Carlyle
US
CLO
Ltd.
,
2017-4A,
C,
144A,
FRN,
2.926%,
(3-month
USD
LIBOR
+
2.8%),
1/15/30
...........................................
United
States
545,000
525,577
2017-5A,
A2,
144A,
FRN,
1.534%,
(3-month
USD
LIBOR
+
1.4%),
1/20/30
...........................................
United
States
2,740,000
2,735,349
2017-5A,
B,
144A,
FRN,
1.934%,
(3-month
USD
LIBOR
+
1.8%),
1/20/30
...........................................
United
States
7,000,000
6,905,260
f,p
Cent
CLO
21
Ltd.
,
2014-21A
,
CR2
,
144A,
FRN
,
3.329
%
,
(
3-month
USD
LIBOR
+
3.2
%
),
7/27/30
...........................
United
States
3,123,000
3,100,819
f,o
Consumer
Loan
Underlying
Bond
Certificate
Issuer
Trust
I
,
2018-14,
PT,
144A,
FRN,
7.893%,
9/16/41
.................
United
States
138,825
134,241
c
2018-29,
PT,
144A,
FRN,
30.891%,
12/15/43
...............
United
States
579,665
577,701
2019-26,
PT,
144A,
FRN,
20.753%,
8/15/44
................
United
States
2,742,628
2,744,564
2019-31,
PT,
144A,
FRN,
22.416%,
9/15/44
................
United
States
2,451,574
2,433,113
2019-37,
PT,
144A,
FRN,
22.443%,
10/17/44
...............
United
States
2,780,284
2,744,774
2019-42,
PT,
144A,
FRN,
21.204%,
11/15/44
...............
United
States
3,300,028
3,300,828
2019-51,
PT,
144A,
FRN,
17.225%,
1/15/45
................
United
States
4,154,104
4,156,658
2019-52,
PT,
144A,
FRN,
16.627%,
1/15/45
................
United
States
4,180,658
4,215,113
2019-S1,
PT,
144A,
FRN,
18.465%,
4/15/44
................
United
States
1,374,257
1,351,192
2019-S2,
PT,
144A,
FRN,
15.051%,
5/16/44
................
United
States
1,178,723
1,173,621
2019-S3,
PT,
144A,
FRN,
15.166%,
6/15/44
................
United
States
1,740,284
1,733,821
2019-S4,
PT,
144A,
FRN,
14.24%,
8/15/44
.................
United
States
2,028,706
2,030,320
2019-S5,
PT,
144A,
FRN,
13.929%,
9/15/44
................
United
States
2,200,709
2,200,894
2019-S6,
PT,
144A,
FRN,
12.466%,
10/17/44
...............
United
States
2,120,334
2,084,764
2019-S7,
PT,
144A,
FRN,
11.254%,
12/15/44
...............
United
States
2,287,026
2,259,551
2019-S8,
PT,
144A,
FRN,
11.978%,
1/15/45
................
United
States
3,016,386
2,971,232
2020-2,
PT,
144A,
FRN,
17.112%,
3/15/45
.................
United
States
4,130,185
4,144,214
2020-7,
PT,
144A,
FRN,
16.993%,
4/17/45
.................
United
States
2,653,525
2,630,233
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Total
Return
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
71
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
Asset-Backed
Securities
(continued)
Diversified
Financial
Services
(continued)
f,p
Cook
Park
CLO
Ltd.
,
2018-1A
,
A2
,
144A,
FRN
,
1.254
%
,
(
3-month
USD
LIBOR
+
1.12
%
),
4/17/30
..........................
United
States
6,000,000
$
5,970,279
p
CWABS,
Inc.
,
2004-1
,
M1
,
FRN
,
0.839
%
,
(
1-month
USD
LIBOR
+
0.75
%
),
3/25/34
.....................................
United
States
245,349
244,907
f,p
Dryden
45
Senior
Loan
Fund
,
2016-45A
,
CR
,
144A,
FRN
,
2.326
%
,
(
3-month
USD
LIBOR
+
2.2
%
),
10/15/30
..................
United
States
1,250,000
1,252,068
f,p
Dryden
55
CLO
Ltd.
,
2018-55A
,
D
,
144A,
FRN
,
2.976
%
,
(
3-month
USD
LIBOR
+
2.85
%
),
4/15/31
..........................
United
States
2,000,000
1,980,000
f,p
Ellington
CLO
III
Ltd.
,
2018-3A,
A1,
144A,
FRN,
1.784%,
(3-month
USD
LIBOR
+
1.65%),
7/20/30
.....................................
United
States
5,123,962
5,120,895
2018-3A,
A2R,
144A,
FRN,
1.884%,
(3-month
USD
LIBOR
+
1.75%),
7/20/30
.....................................
United
States
9,488,818
9,483,025
f
FirstKey
Homes
Trust
,
2020-SFR2
,
A
,
144A,
1.266
%
,
10/19/37
...
United
States
11,584,375
11,638,820
f,p
Galaxy
XXVII
CLO
Ltd.
,
2018-27A,
A,
144A,
FRN,
1.176%,
(3-month
USD
LIBOR
+
1.02%),
5/16/31
.....................................
United
States
1,000,000
1,000,200
2018-27A,
C,
144A,
FRN,
1.956%,
(3-month
USD
LIBOR
+
1.8%),
5/16/31
...........................................
United
States
4,000,000
3,999,998
f,p
Gilbert
Park
CLO
Ltd.
,
2017-1A
,
B
,
144A,
FRN
,
1.726
%
,
(
3-month
USD
LIBOR
+
1.6
%
),
10/15/30
..........................
United
States
1,000,000
1,002,302
f,p
Halcyon
Loan
Advisors
Funding
Ltd.
,
2018-1A
,
A2
,
144A,
FRN
,
1.934
%
,
(
3-month
USD
LIBOR
+
1.8
%
),
7/21/31
.............
United
States
4,500,000
4,491,573
f,p
Hayfin
US
XII
Ltd.
,
2018-9A
,
BR
,
144A,
FRN
,
1.932
%
,
(
3-month
USD
LIBOR
+
1.8
%
),
4/28/31
...........................
United
States
14,500,000
14,510,875
f,p
Highbridge
Loan
Management
Ltd.
,
2013-2A
,
BR
,
144A,
FRN
,
2.034
%
,
(
3-month
USD
LIBOR
+
1.9
%
),
10/20/29
............
United
States
700,000
698,950
f,p
Holland
Park
CLO
DAC
,
1A
,
A1RR
,
144A,
FRN
,
0.92
%
,
(
3-month
EURIBOR
+
0.92
%
),
11/14/32
..........................
Ireland
50,450,000
EUR
59,912,372
f,p
HPS
Loan
Management
Ltd.
,
13A-18
,
C
,
144A,
FRN
,
2.276
%
,
(
3-month
USD
LIBOR
+
2.15
%
),
10/15/30
.................
United
States
3,000,000
3,002,537
f,p
LCM
26
Ltd.
,
26A,
B,
144A,
FRN,
1.534%,
(3-month
USD
LIBOR
+
1.4%),
1/20/31
...........................................
United
States
2,000,000
1,995,000
26A,
C,
144A,
FRN,
1.934%,
(3-month
USD
LIBOR
+
1.8%),
1/20/31
...........................................
United
States
9,600,000
9,560,217
26A,
D,
144A,
FRN,
2.634%,
(3-month
USD
LIBOR
+
2.5%),
1/20/31
...........................................
United
States
600,000
561,793
f,p
LCM
XVIII
LP
,
18A,
BR,
144A,
FRN,
1.734%,
(3-month
USD
LIBOR
+
1.6%),
4/20/31
...........................................
United
States
1,090,000
1,084,542
18A,
CR,
144A,
FRN,
1.984%,
(3-month
USD
LIBOR
+
1.85%),
4/20/31
...........................................
United
States
2,000,000
1,981,413
f,p
Logan
CLO
I
Ltd.
,
2021-1A
,
A
,
144A,
FRN
,
1.312
%
,
(
3-month
USD
LIBOR
+
1.16
%
),
7/20/34
..............................
United
States
4,750,000
4,752,964
f,p
Long
Point
Park
CLO
Ltd.
,
2017-1A,
A2,
144A,
FRN,
1.509%,
(3-month
USD
LIBOR
+
1.375%),
1/17/30
....................................
United
States
5,800,000
5,794,361
2017-1A,
B,
144A,
FRN,
1.834%,
(3-month
USD
LIBOR
+
1.7%),
1/17/30
...........................................
United
States
2,700,000
2,686,796
2017-1A,
C,
144A,
FRN,
2.534%,
(3-month
USD
LIBOR
+
2.4%),
1/17/30
...........................................
United
States
3,100,000
3,033,546
f,p
Madison
Park
Euro
Funding
VIII
DAC
,
8A,
ARN,
144A,
FRN,
0.95%,
(3-month
EURIBOR
+
0.95%),
4/15/32
...........................................
Ireland
41,450,000
EUR
49,283,984
8A,
BRN,
144A,
FRN,
1.7%,
(3-month
EURIBOR
+
1.7%),
4/15/32
Ireland
4,600,000
EUR
5,470,324
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Total
Return
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
72
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
Asset-Backed
Securities
(continued)
Diversified
Financial
Services
(continued)
f,p
Madison
Park
Funding
XIII
Ltd.
,
2014-13A
,
DR2
,
144A,
FRN
,
2.984
%
,
(
3-month
USD
LIBOR
+
2.85
%
),
4/19/30
............
United
States
1,973,000
$
1,955,736
f,p
Madison
Park
Funding
XLII
Ltd.
,
13A,
B,
144A,
FRN,
1.638%,
(3-month
USD
LIBOR
+
1.5%),
11/21/30
..........................................
United
States
2,700,000
2,701,261
13A,
C,
144A,
FRN,
1.938%,
(3-month
USD
LIBOR
+
1.8%),
11/21/30
..........................................
United
States
3,753,500
3,719,841
f,p
Madison
Park
Funding
XXII
Ltd.
,
2016-22A
,
CR
,
144A,
FRN
,
2.126
%
,
(
3-month
USD
LIBOR
+
2
%
),
1/15/33
..............
United
States
7,790,000
7,791,947
f,p
Madison
Park
Funding
XXIX
Ltd.
,
2018-29A
,
C
,
144A,
FRN
,
2.334
%
,
(
3-month
USD
LIBOR
+
2.2
%
),
10/18/30
..................
United
States
1,072,581
1,074,033
f,p
Madison
Park
Funding
XXVII
Ltd.
,
2018-27A
,
C
,
144A,
FRN
,
2.734
%
,
(
3-month
USD
LIBOR
+
2.6
%
),
4/20/30
.............
United
States
2,125,000
2,082,616
f,p
Madison
Park
Funding
XXXI
Ltd.
,
2018-31A,
B,
144A,
FRN,
1.838%,
(3-month
USD
LIBOR
+
1.7%),
1/23/31
...........................................
United
States
1,500,000
1,501,125
2018-31A,
C,
144A,
FRN,
2.288%,
(3-month
USD
LIBOR
+
2.15%),
1/23/31
.....................................
United
States
650,000
651,787
f,p
Magnetite
VII
Ltd.
,
2012-7A
,
CR2
,
144A,
FRN
,
2.176
%
,
(
3-month
USD
LIBOR
+
2.05
%
),
1/15/28
..........................
United
States
2,000,000
1,967,674
f,o
Mill
City
Mortgage
Loan
Trust
,
2018-4
,
A1B
,
144A,
FRN
,
3.5
%
,
4/25/66
...........................................
United
States
10,232,664
10,684,973
f,p
Neuberger
Berman
CLO
XVIII
Ltd.
,
2014-18A
,
A1BR
,
144A,
FRN
,
1.534
%
,
(
3-month
USD
LIBOR
+
1.4
%
),
10/21/30
............
United
States
1,700,000
1,703,134
f,p
Neuberger
Berman
CLO
XVI-S
Ltd.
,
2017-16SA,
CR,
144A,
FRN,
2.026%,
(3-month
USD
LIBOR
+
1.9%),
4/15/34
......................................
United
States
2,350,000
2,350,136
2017-16SA,
DR,
144A,
FRN,
3.026%,
(3-month
USD
LIBOR
+
2.9%),
4/15/34
......................................
United
States
650,000
650,029
f,p
Neuberger
Berman
Loan
Advisers
CLO
27
Ltd.
,
2018-27A
,
C
,
144A,
FRN
,
1.826
%
,
(
3-month
USD
LIBOR
+
1.7
%
),
1/15/30
........
United
States
4,900,000
4,885,249
f,p
Octagon
Investment
Partners
18-R
Ltd.
,
2018-18A
,
C
,
144A,
FRN
,
2.826
%
,
(
3-month
USD
LIBOR
+
2.7
%
),
4/16/31
.............
United
States
9,050,000
8,891,324
f,p
Octagon
Investment
Partners
33
Ltd.
,
2017-1A,
A2,
144A,
FRN,
1.634%,
(3-month
USD
LIBOR
+
1.5%),
1/20/31
...........................................
United
States
400,000
400,722
2017-1A,
C,
144A,
FRN,
2.884%,
(3-month
USD
LIBOR
+
2.75%),
1/20/31
...........................................
United
States
2,800,000
2,781,137
f,p
Octagon
Investment
Partners
35
Ltd.
,
2018-1A,
A1B,
144A,
FRN,
1.234%,
(3-month
USD
LIBOR
+
1.1%),
1/20/31
......................................
United
States
3,325,000
3,306,664
2018-1A,
B,
144A,
FRN,
1.834%,
(3-month
USD
LIBOR
+
1.7%),
1/20/31
...........................................
United
States
450,000
445,902
f,p
Octagon
Investment
Partners
36
Ltd.
,
2018-1A,
A1,
144A,
FRN,
1.096%,
(3-month
USD
LIBOR
+
0.97%),
4/15/31
.....................................
United
States
18,000,000
17,995,985
2018-1A,
A2,
144A,
FRN,
1.326%,
(3-month
USD
LIBOR
+
1.2%),
4/15/31
...........................................
United
States
8,500,000
8,440,192
f,p
Octagon
Investment
Partners
37
Ltd.
,
2018-2A
,
C
,
144A,
FRN
,
2.975
%
,
(
3-month
USD
LIBOR
+
2.85
%
),
7/25/30
............
United
States
2,000,000
1,985,000
f,p
Octagon
Investment
Partners
38
Ltd.
,
2018-1A
,
C
,
144A,
FRN
,
3.084
%
,
(
3-month
USD
LIBOR
+
2.95
%
),
7/20/30
............
United
States
4,000,000
3,900,248
f,p
Octagon
Investment
Partners
XVII
Ltd.
,
2013-1A,
BR2,
144A,
FRN,
1.525%,
(3-month
USD
LIBOR
+
1.4%),
1/25/31
......................................
United
States
4,020,000
4,016,985
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Total
Return
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
73
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
Asset-Backed
Securities
(continued)
Diversified
Financial
Services
(continued)
f,p
Octagon
Investment
Partners
XVII
Ltd.,
(continued)
2013-1A,
CR2,
144A,
FRN,
1.825%,
(3-month
USD
LIBOR
+
1.7%),
1/25/31
......................................
United
States
5,250,000
$
5,198,308
f,p
Octagon
Loan
Funding
Ltd.
,
2014-1A
,
CRR
,
144A,
FRN
,
2.355
%
,
(
3-month
USD
LIBOR
+
2.2
%
),
11/18/31
..................
United
States
750,000
748,312
f,p
Palmer
Square
CLO
Ltd.
,
2021-2A
,
A
,
144A,
FRN
,
1.256
%
,
(
3-month
USD
LIBOR
+
1.15
%
),
7/15/34
..........................
United
States
1,000,000
1,000,909
f,p
Pikes
Peak
CLO
6
,
2020-6A
,
AR2
,
144A,
FRN
,
1.325
%
,
(
3-month
USD
LIBOR
+
1.17
%
),
5/18/34
..........................
United
States
4,500,000
4,500,047
f,o
Prosper
Pass-Thru
Trust
III
,
2020-PT1,
A,
144A,
FRN,
8.796%,
3/15/26
.................
United
States
2,575,950
2,554,698
2020-PT2,
A,
144A,
FRN,
9.444%,
4/15/26
.................
United
States
3,118,728
3,064,150
2020-PT3,
A,
144A,
FRN,
7.183%,
5/15/26
.................
United
States
1,050,724
1,054,210
f,p
Race
Point
X
CLO
Ltd.
,
2016-10A
,
B1R
,
144A,
FRN
,
1.775
%
,
(
3-month
USD
LIBOR
+
1.65
%
),
7/25/31
..................
United
States
3,600,000
3,595,695
f,p
Sound
Point
CLO
V-R
Ltd.
,
2014-1RA
,
D
,
144A,
FRN
,
3.234
%
,
(
3-month
USD
LIBOR
+
3.1
%
),
7/18/31
...................
United
States
5,780,000
5,565,537
f,p
Strata
CLO
I
Ltd.
,
2018-1A
,
B
,
144A,
FRN
,
2.326
%
,
(
3-month
USD
LIBOR
+
2.2
%
),
1/15/31
...............................
United
States
11,000,000
10,981,203
f,p
TCI-Flatiron
CLO
Ltd.
,
2017-1A,
B,
144A,
FRN,
1.716%,
(3-month
USD
LIBOR
+
1.56%),
11/18/30
..........................................
United
States
3,500,000
3,503,250
2017-1A,
C,
144A,
FRN,
2.006%,
(3-month
USD
LIBOR
+
1.85%),
11/18/30
..........................................
United
States
2,800,000
2,802,194
f,p
TICP
CLO
VI
Ltd.
,
2016-6A
,
AR2
,
144A,
FRN
,
1.246
%
,
(
3-month
USD
LIBOR
+
1.12
%
),
1/15/34
..........................
United
States
9,200,000
9,202,300
f,o
Towd
Point
Mortgage
Trust
,
2017-1,
A1,
144A,
FRN,
2.75%,
10/25/56
..................
United
States
3,470,925
3,524,583
2017-1,
A2,
144A,
FRN,
3.5%,
10/25/56
...................
United
States
8,862,000
9,314,439
2017-2,
A1,
144A,
FRN,
2.75%,
4/25/57
...................
United
States
1,619,567
1,643,103
f,o
Upgrade
Master
Pass-Thru
Trust
,
2019-PT1,
A,
144A,
FRN,
15.567%,
6/15/25
................
United
States
950,053
851,690
2019-PT2,
A,
144A,
FRN,
13.977%,
2/15/26
................
United
States
2,235,692
2,258,787
f,p
Voya
CLO
Ltd.
,
2013-2A,
CR,
144A,
FRN,
2.875%,
(3-month
USD
LIBOR
+
2.75%),
4/25/31
.....................................
United
States
1,650,000
1,604,870
2014-1A,
BR2,
144A,
FRN,
2.034%,
(3-month
USD
LIBOR
+
1.9%),
4/18/31
......................................
United
States
1,000,000
989,724
2014-1A,
CR2,
144A,
FRN,
2.934%,
(3-month
USD
LIBOR
+
2.8%),
4/18/31
......................................
United
States
3,750,000
3,626,955
2016-3A,
CR,
144A,
FRN,
3.384%,
(3-month
USD
LIBOR
+
3.25%),
10/18/31
....................................
United
States
2,547,170
2,467,891
2018-2A,
A2,
144A,
FRN,
1.376%,
(3-month
USD
LIBOR
+
1.25%),
7/15/31
.....................................
United
States
1,500,000
1,493,438
2018-2A,
C1,
144A,
FRN,
1.976%,
(3-month
USD
LIBOR
+
1.85%),
7/15/31
.....................................
United
States
700,000
694,003
f,p
Webster
Park
CLO
Ltd.
,
2015-1A
,
BR
,
144A,
FRN
,
1.934
%
,
(
3-month
USD
LIBOR
+
1.8
%
),
7/20/30
...........................
United
States
2,000,000
1,995,073
576,695,760
a
a
a
a
a
a
Road
&
Rail
0.0%
Union
Pacific
Railroad
Co.
Pass-Through
Trust
,
2005-1
,
5.082
%
,
1/02/29
...........................................
United
States
69,358
77,858
Total
Asset-Backed
Securities
(Cost
$572,574,456)
..............................
586,293,530
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Total
Return
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
74
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
Commercial
Mortgage-Backed
Securities
0.3%
Diversified
Financial
Services
0.3%
o
Commercial
Mortgage
Trust
,
2006-GG7
,
AJ
,
FRN
,
6.012
%
,
7/10/38
United
States
1,576,925
$
1,419,627
f,p
DBCG
Mortgage
Trust
,
2017-BBG
,
A
,
144A,
FRN
,
0.793
%
,
(
1-month
USD
LIBOR
+
0.7
%
),
6/15/34
...........................
United
States
9,840,000
9,859,790
f,o
Eleven
Madison
Mortgage
Trust
,
2015-11MD
,
A
,
144A,
FRN
,
3.555
%
,
9/10/35
.....................................
United
States
3,255,000
3,551,888
14,831,305
a
a
a
a
a
a
Thrifts
&
Mortgage
Finance
0.0%
p
FNMA
,
2005-122
,
FN
,
FRN
,
0.439
%
,
(
1-month
USD
LIBOR
+
0.35
%
),
1/25/36
.....................................
United
States
380,188
368,046
c
Weyerhaeuser
Mortgage
Co.
of
Texas
,
1984-A
,
7.43
%
,
1/01/24
...
United
States
5,996
5,996
374,042
a
a
a
a
a
a
Total
Commercial
Mortgage-Backed
Securities
(Cost
$15,035,940)
................
15,205,347
Mortgage-Backed
Securities
14.8%
q
Federal
Home
Loan
Mortgage
Corp.
(FHLMC)
Adjustable
Rate
0.0%
FHLMC,
1.593%,
(COFI
11th
District
+/-
MBS
Margin),
11/01/27
..
United
States
804,724
808,109
Federal
Home
Loan
Mortgage
Corp.
(FHLMC)
Fixed
Rate
0.2%
FHLMC
Gold
Pools,
15
Year,
5.5%,
11/01/22
.................
United
States
20,069
20,208
FHLMC
Gold
Pools,
15
Year,
6%,
10/01/21
-
9/01/22
...........
United
States
20,494
20,695
FHLMC
Gold
Pools,
30
Year,
4.5%,
3/01/39
..................
United
States
792,723
886,508
FHLMC
Gold
Pools,
30
Year,
5%,
8/01/33
-
2/01/39
............
United
States
5,048,498
5,754,918
FHLMC
Gold
Pools,
30
Year,
5.5%,
1/01/35
-
12/01/37
.........
United
States
421,807
489,424
FHLMC
Gold
Pools,
30
Year,
6%,
5/01/33
-
4/01/38
............
United
States
608,234
717,281
FHLMC
Gold
Pools,
30
Year,
6.5%,
8/01/25
-
3/01/39
..........
United
States
520,119
598,427
FHLMC
Gold
Pools,
30
Year,
7%,
1/01/28
-
7/01/32
............
United
States
38,591
43,511
FHLMC
Gold
Pools,
30
Year,
7.5%,
3/01/32
..................
United
States
8,663
10,318
FHLMC
Gold
Pools,
30
Year,
8%,
2/01/30
...................
United
States
10,552
12,041
FHLMC
Gold
Pools,
30
Year,
8.5%,
10/01/24
-
8/01/30
.........
United
States
2,796
3,089
FHLMC
Pool,
15
Year,
2%,
10/01/35
.......................
United
States
2,290,866
2,379,592
FHLMC
Pool,
30
Year,
2.5%,
3/01/51
.......................
United
States
1,338,749
1,409,911
12,345,923
q
Federal
National
Mortgage
Association
(FNMA)
Adjustable
Rate
0.0%
FNMA,
1.573%,
(6-month
USD
LIBOR
+/-
MBS
Margin),
10/01/32
.
United
States
60,002
60,438
FNMA,
1.654%
-
4.105%,
(COFI
11th
District
+/-
MBS
Margin),
12/01/27
-
9/01/34
...................................
United
States
1,646,188
1,742,121
FNMA,
1.72%
-
2.108%,
(12-month
USD
LIBOR
+/-
MBS
Margin),
2/01/34
-
3/01/37
....................................
United
States
429,898
440,152
FNMA,
2.113%
-
2.998%,
(1-year
CMT
T-Note
+/-
MBS
Margin),
5/01/25
-
10/01/36
...................................
United
States
101,447
103,087
FNMA,
2.62%,
(3-year
CMT
T-Note
+/-
MBS
Margin),
12/01/24
...
United
States
4,074
4,080
2,349,878
Federal
National
Mortgage
Association
(FNMA)
Fixed
Rate
12.5%
FNMA,
15
Year,
2%,
10/01/35
............................
United
States
2,439,991
2,535,951
FNMA,
15
Year,
2.5%,
10/01/31
...........................
United
States
1,503,199
1,580,236
FNMA,
15
Year,
3%,
1/01/31
-
2/01/35
......................
United
States
10,015,154
10,595,698
FNMA,
15
Year,
5.5%,
12/01/22
-
12/01/23
..................
United
States
23,889
24,399
FNMA,
15
Year,
6%,
9/01/22
.............................
United
States
13,126
13,226
FNMA,
30
Year,
2.5%,
9/01/50
-
5/01/51
....................
United
States
13,047,755
13,663,705
FNMA,
30
Year,
3%,
9/01/48
.............................
United
States
18,001,976
19,071,069
FNMA,
30
Year,
3%,
11/01/48
............................
United
States
44,093,186
46,746,590
FNMA,
30
Year,
3%,
4/01/51
.............................
United
States
26,673,864
28,138,265
FNMA,
30
Year,
4.5%,
5/01/49
...........................
United
States
2,081,824
2,241,471
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Total
Return
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
75
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
Mortgage-Backed
Securities
(continued)
Federal
National
Mortgage
Association
(FNMA)
Fixed
Rate
(continued)
FNMA,
30
Year,
5%,
6/01/36
-
5/01/39
......................
United
States
1,030,743
$
1,173,829
FNMA,
30
Year,
5.5%,
6/01/33
-
8/01/37
....................
United
States
3,398,979
3,886,781
FNMA,
30
Year,
6%,
9/01/32
-
9/01/38
......................
United
States
3,695,193
4,373,634
FNMA,
30
Year,
6.5%,
8/01/28
-
5/01/37
....................
United
States
122,007
139,503
FNMA,
30
Year,
7%,
11/01/25
............................
United
States
2,052
2,059
FNMA,
30
Year,
7.5%,
1/01/30
...........................
United
States
6,962
8,218
FNMA,
30
Year,
8.5%,
4/01/30
-
5/01/32
....................
United
States
34,918
41,319
FNMA,
30
Year,
9%,
5/01/27
.............................
United
States
6,524
6,549
r
FNMA,
Single-family,
15
Year,
2%,
8/25/36
..................
United
States
145,190,000
150,685,669
r
FNMA,
Single-family,
30
Year,
2.5%,
8/25/51
.................
United
States
357,349,000
372,271,108
657,199,279
q
Government
National
Mortgage
Association
(GNMA)
Adjustable
Rate
0.0%
GNMA
II,
2%
-
2.125%,
(1-year
CMT
T-Note
+/-
MBS
Margin),
1/20/23
-
10/20/26
...................................
United
States
14,139
14,515
14,515
Government
National
Mortgage
Association
(GNMA)
Fixed
Rate
2.1%
GNMA
I,
30
Year,
7%,
10/15/27
-
6/15/31
....................
United
States
12,410
14,707
GNMA
I,
Single-family,
30
Year,
6%,
1/15/39
.................
United
States
70,602
82,783
GNMA
I,
Single-family,
30
Year,
6.5%,
10/15/31
-
7/15/38
........
United
States
14,493
16,340
GNMA
I,
Single-family,
30
Year,
7%,
3/15/28
-
4/15/28
..........
United
States
5,907
6,067
GNMA
I,
Single-family,
30
Year,
7.5%,
2/15/22
-
2/15/26
........
United
States
11,059
11,434
GNMA
I,
Single-family,
30
Year,
9%,
9/15/25
.................
United
States
27
27
GNMA
II,
Single-family,
30
Year,
2%,
3/20/51
.................
United
States
2,499,951
2,562,848
GNMA
II,
Single-family,
30
Year,
2%,
6/20/51
.................
United
States
47,051,799
48,252,654
GNMA
II,
Single-family,
30
Year,
2.5%,
2/20/51
-
5/20/51
........
United
States
9,762,941
10,161,704
GNMA
II,
Single-family,
30
Year,
2.5%,
6/20/51
...............
United
States
45,560,451
47,387,308
GNMA
II,
Single-family,
30
Year,
3%,
2/20/51
.................
United
States
769,910
806,727
GNMA
II,
Single-family,
30
Year,
6%,
5/20/31
.................
United
States
1,935
2,196
GNMA
II,
Single-family,
30
Year,
6.5%,
3/20/28
-
7/20/38
........
United
States
214,361
259,257
GNMA
II,
Single-family,
30
Year,
7.5%,
8/20/30
-
1/20/33
........
United
States
26,050
29,765
109,593,817
Total
Mortgage-Backed
Securities
(Cost
$771,854,573)
...........................
782,311,521
Municipal
Bonds
4.8%
California
1.9%
California
Health
Facilities
Financing
Authority
,
State
of
California
Personal
Income
Tax,
Revenue,
Senior
Lien,
2019,
2.934%,
6/01/32
..............................
United
States
6,810,000
7,411,167
State
of
California
Personal
Income
Tax,
Revenue,
Senior
Lien,
2019,
2.984%,
6/01/33
..............................
United
States
5,870,000
6,371,617
State
of
California
Personal
Income
Tax,
Revenue,
Senior
Lien,
2019,
3.034%,
6/01/34
..............................
United
States
4,445,000
4,818,952
California
Municipal
Finance
Authority
,
United
States
General
Services
Administration
,
Revenue
,
2020
,
2.519
%
,
10/01/35
....
United
States
9,935,000
9,934,691
California
State
University
,
Revenue
,
2021
B
,
Refunding
,
2.719
%
,
11/01/52
..........................................
United
States
7,185,000
7,203,205
Foothill-Eastern
Transportation
Corridor
Agency
,
Revenue
,
2019
A
,
Refunding
,
4.094
%
,
1/15/49
............................
United
States
3,470,000
3,716,838
Gilroy
Unified
School
District
,
GO
,
2019
,
Refunding
,
3.364
%
,
8/01/47
United
States
7,220,000
7,538,718
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Total
Return
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
76
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
Municipal
Bonds
(continued)
California
(continued)
h
San
Bernardino
Community
College
District
,
GO,
2021,
Refunding,
2.686%,
8/01/41
...................
United
States
19,690,000
$
19,818,050
GO,
2021,
Refunding,
2.856%,
8/01/49
...................
United
States
11,465,000
11,521,891
San
Jose
Redevelopment
Agency
Successor
Agency
,
Tax
Allocation,
Senior
Lien
,
2017
A-T
,
Refunding
,
3.226
%
,
8/01/27
..........
United
States
6,150,000
6,862,743
University
of
California
,
Revenue
,
2015
J
,
Refunding
,
4.131
%
,
5/15/45
...........................................
United
States
10,750,000
13,102,277
98,300,149
Florida
0.1%
County
of
Broward
,
Airport
System
,
Revenue
,
2019
C
,
Refunding
,
3.477
%
,
10/01/43
....................................
United
States
7,145,000
7,592,569
Illinois
0.2%
Chicago
Transit
Authority
Sales
&
Transfer
Tax
Receipts
,
Revenue
,
2008
A
,
6.899
%
,
12/01/40
.............................
United
States
800,000
1,161,884
State
of
Illinois
,
GO
,
2003
,
5.1
%
,
6/01/33
...................
United
States
8,900,000
10,682,152
11,844,036
Louisiana
0.0%
City
of
New
Orleans
,
Sewerage
Service,
Revenue,
2021,
Refunding,
AGMC
Insured,
1.791%,
6/01/30
...................................
United
States
1,300,000
1,302,522
Water
System,
Revenue,
2021,
Refunding,
AGMC
Insured,
1.841%,
12/01/30
..................................
United
States
1,400,000
1,397,801
2,700,323
Massachusetts
0.3%
Massachusetts
School
Building
Authority
,
Revenue
,
2019
B
,
Refunding
,
3.395
%
,
10/15/40
...........................
United
States
6,760,000
7,351,248
Massachusetts
State
College
Building
Authority
,
Revenue
,
2019
C
,
Refunding
,
3.373
%
,
5/01/43
............................
United
States
5,900,000
6,238,943
13,590,191
Minnesota
0.1%
State
of
Minnesota
,
GO
,
2013
F
,
Refunding
,
4
%
,
10/01/24
.......
United
States
5,760,000
6,241,594
New
Jersey
0.1%
New
Jersey
Transportation
Trust
Fund
Authority
,
Revenue
,
2019
B
,
Refunding
,
4.131
%
,
6/15/42
............................
United
States
4,060,000
4,720,647
New
York
0.5%
Metropolitan
Transportation
Authority
,
Revenue
,
2020
E
,
Refunding
,
4
%
,
11/15/45
.......................................
United
States
6,715,000
7,878,601
New
York
State
Dormitory
Authority
,
State
University
of
New
York
,
Revenue
,
2019
B
,
Refunding
,
3.142
%
,
7/01/43
..............
United
States
3,605,000
3,823,299
Port
Authority
of
New
York
&
New
Jersey
,
Revenue,
191,
4.823%,
6/01/45
.........................
United
States
4,570,000
5,219,992
Revenue,
192,
4.81%,
10/15/65
.........................
United
States
5,000,000
7,151,555
24,073,447
Ohio
0.4%
Greenville
City
School
District
,
GO
,
2019
,
Refunding
,
3.541
%
,
1/01/51
...........................................
United
States
16,585,000
17,215,001
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Total
Return
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
77
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
Municipal
Bonds
(continued)
Ohio
(continued)
State
of
Ohio
,
Cleveland
Clinic
Health
System
Obligated
Group
,
Revenue
,
2019
G
,
Refunding
,
3.276
%
,
1/01/42
.............
United
States
2,265,000
$
2,521,382
19,736,383
Pennsylvania
0.6%
Commonwealth
Financing
Authority
,
Revenue
,
2021
A
,
2.991
%
,
6/01/42
...........................................
United
States
25,050,000
26,325,734
University
of
Pittsburgh-of
the
Commonwealth
System
of
Higher
Education
,
Revenue
,
2017
C
,
Refunding
,
3.005
%
,
9/15/41
.....
United
States
6,315,000
6,798,382
33,124,116
Texas
0.4%
City
of
Austin
,
Electric
Utility
,
Revenue
,
2008
,
Refunding
,
AGMC
Insured
,
6.262
%
,
11/15/32
.............................
United
States
12,790,000
16,212,252
Texas
State
University
System
,
Revenue,
2019
B,
Refunding,
2.938%,
3/15/33
..............
United
States
2,655,000
2,866,293
Revenue,
2019
B,
Refunding,
3.289%,
3/15/40
..............
United
States
2,255,000
2,378,100
21,456,645
Utah
0.2%
Salt
Lake
City
Corp.
,
Revenue
,
2019
B
,
Refunding
,
3.102
%
,
4/01/38
United
States
3,155,000
3,376,459
Utah
Transit
Authority
,
Revenue,
Senior
Lien
,
2019
B
,
Refunding
,
3.443
%
,
12/15/42
....................................
United
States
4,510,000
4,821,532
8,197,991
Total
Municipal
Bonds
(Cost
$234,669,093)
.....................................
251,578,091
Residential
Mortgage-Backed
Securities
8.0%
Capital
Markets
0.0%
p
Merrill
Lynch
Mortgage
Investors
Trust
,
2003-A
,
1A
,
FRN
,
0.829
%
,
(
1-month
USD
LIBOR
+
0.74
%
),
3/25/28
..................
United
States
348,926
349,949
Diversified
Financial
Services
0.7%
f
BRAVO
Residential
Funding
Trust
,
2019-1,
A1C,
144A,
3.5%,
3/25/58
.......................
United
States
6,696,909
6,861,740
o
2019-2,
A3,
144A,
FRN,
3.5%,
10/25/44
...................
United
States
7,417,798
7,748,114
f,o
CIM
Trust
,
2018-INV1,
A4,
144A,
FRN,
4%,
8/25/48
..................
United
States
2,904,870
2,962,680
2019-INV1,
A1,
144A,
FRN,
4%,
2/25/49
..................
United
States
2,599,437
2,640,717
2019-INV2,
A3,
144A,
FRN,
4%,
5/25/49
..................
United
States
5,274,639
5,379,609
f,o
Citigroup
Mortgage
Loan
Trust
,
2013-A
,
A
,
144A,
FRN
,
3
%
,
5/25/42
United
States
268,037
268,767
Credit
Suisse
First
Boston
Mortgage
Securities
Corp.
,
2004-6
,
3A1
,
5
%
,
6
/25/
37
........................................
United
States
112,412
96,598
f,p
FHLMC
STACR
REMIC
Trust
,
2020-DNA1
,
M2
,
144A,
FRN
,
1.789
%
,
(
1-month
USD
LIBOR
+
1.7
%
),
1/25/50
...................
United
States
6,553,297
6,579,647
f,o
Provident
Funding
Mortgage
Trust
,
2019-1,
A2,
144A,
FRN,
3%,
12/25/49
....................
United
States
2,960,528
2,996,762
2020-1,
A3,
144A,
FRN,
3%,
2/25/50
.....................
United
States
1,355,135
1,358,585
36,893,219
a
a
a
a
a
a
Thrifts
&
Mortgage
Finance
7.3%
p
FHLMC
Structured
Agency
Credit
Risk
Debt
Notes
,
2014-DN3,
M3,
FRN,
4.089%,
(1-month
USD
LIBOR
+
4%),
8/25/24
...........................................
United
States
5,467,050
5,580,627
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Total
Return
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
78
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
Residential
Mortgage-Backed
Securities
(continued)
Thrifts
&
Mortgage
Finance
(continued)
p
FHLMC
Structured
Agency
Credit
Risk
Debt
Notes,
(continued)
2014-DN4,
M3,
FRN,
4.639%,
(1-month
USD
LIBOR
+
4.55%),
10/25/24
..........................................
United
States
2,702,891
$
2,743,781
2014-HQ1,
M3,
FRN,
4.189%,
(1-month
USD
LIBOR
+
4.1%),
8/25/24
...........................................
United
States
471,819
475,118
2015-DNA2,
M3,
FRN,
3.989%,
(1-month
USD
LIBOR
+
3.9%),
12/25/27
..........................................
United
States
13,826,025
13,992,305
2015-DNA3,
M3,
FRN,
4.789%,
(1-month
USD
LIBOR
+
4.7%),
4/25/28
...........................................
United
States
2,676,050
2,769,843
2015-HQ2,
M3,
FRN,
3.339%,
(1-month
USD
LIBOR
+
3.25%),
5/25/25
...........................................
United
States
2,467,433
2,505,616
2016-DNA1,
M3,
FRN,
5.639%,
(1-month
USD
LIBOR
+
5.55%),
7/25/28
...........................................
United
States
16,466,753
17,255,580
2016-DNA2,
M3,
FRN,
4.739%,
(1-month
USD
LIBOR
+
4.65%),
10/25/28
..........................................
United
States
20,399,077
21,321,915
2016-DNA4,
M3,
FRN,
3.889%,
(1-month
USD
LIBOR
+
3.8%),
3/25/29
...........................................
United
States
8,869,074
9,192,022
2016-HQA2,
M3,
FRN,
5.239%,
(1-month
USD
LIBOR
+
5.15%),
11/25/28
..........................................
United
States
22,610,908
23,452,758
2016-HQA3,
M2,
FRN,
1.439%,
(1-month
USD
LIBOR
+
1.35%),
3/25/29
...........................................
United
States
85,104
85,079
2017-DNA1,
M2,
FRN,
3.339%,
(1-month
USD
LIBOR
+
3.25%),
7/25/29
...........................................
United
States
13,867,525
14,253,866
2017-DNA2,
M2,
FRN,
3.539%,
(1-month
USD
LIBOR
+
3.45%),
10/25/29
..........................................
United
States
26,327,007
27,303,133
2017-DNA3,
M2,
FRN,
2.589%,
(1-month
USD
LIBOR
+
2.5%),
3/25/30
...........................................
United
States
13,500,000
13,805,255
2017-HQA1,
M2,
FRN,
3.639%,
(1-month
USD
LIBOR
+
3.55%),
8/25/29
...........................................
United
States
23,557,779
24,360,301
2017-HQA2,
M2,
FRN,
2.739%,
(1-month
USD
LIBOR
+
2.65%),
12/25/29
..........................................
United
States
7,046,788
7,166,665
2017-HQA3,
M2,
FRN,
2.439%,
(1-month
USD
LIBOR
+
2.35%),
4/25/30
...........................................
United
States
7,085,853
7,259,090
p
FNMA
Connecticut
Avenue
Securities
,
2013-C01,
M2,
FRN,
5.339%,
(1-month
USD
LIBOR
+
5.25%),
10/25/23
..........................................
United
States
4,595,862
4,804,964
2014-C02,
1M2,
FRN,
2.689%,
(1-month
USD
LIBOR
+
2.6%),
5/25/24
...........................................
United
States
12,081,711
12,170,927
2014-C02,
2M2,
FRN,
2.689%,
(1-month
USD
LIBOR
+
2.6%),
5/25/24
...........................................
United
States
3,469,826
3,506,226
2014-C03,
1M2,
FRN,
3.089%,
(1-month
USD
LIBOR
+
3%),
7/25/24
...........................................
United
States
13,965,993
14,082,349
2014-C03,
2M2,
FRN,
2.989%,
(1-month
USD
LIBOR
+
2.9%),
7/25/24
...........................................
United
States
1,119,199
1,134,641
2014-C04,
1M2,
FRN,
4.989%,
(1-month
USD
LIBOR
+
4.9%),
11/25/24
..........................................
United
States
10,304,045
10,659,401
2014-C04,
2M2,
FRN,
5.089%,
(1-month
USD
LIBOR
+
5%),
11/25/24
..........................................
United
States
1,137,904
1,166,934
2015-C01,
1M2,
FRN,
4.389%,
(1-month
USD
LIBOR
+
4.3%),
2/25/25
...........................................
United
States
1,214,643
1,244,494
2015-C01,
2M2,
FRN,
4.639%,
(1-month
USD
LIBOR
+
4.55%),
2/25/25
...........................................
United
States
345,586
346,193
2015-C02,
1M2,
FRN,
4.089%,
(1-month
USD
LIBOR
+
4%),
5/25/25
...........................................
United
States
6,233,963
6,362,389
2015-C02,
2M2,
FRN,
4.089%,
(1-month
USD
LIBOR
+
4%),
5/25/25
...........................................
United
States
685,327
691,770
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Total
Return
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
79
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
Residential
Mortgage-Backed
Securities
(continued)
Thrifts
&
Mortgage
Finance
(continued)
p
FNMA
Connecticut
Avenue
Securities,
(continued)
2015-C03,
1M2,
FRN,
5.089%,
(1-month
USD
LIBOR
+
5%),
7/25/25
...........................................
United
States
4,258,442
$
4,374,184
2015-C03,
2M2,
FRN,
5.089%,
(1-month
USD
LIBOR
+
5%),
7/25/25
...........................................
United
States
732,266
741,197
2016-C02,
1M2,
FRN,
6.089%,
(1-month
USD
LIBOR
+
6%),
9/25/28
...........................................
United
States
10,692,277
11,242,313
2016-C03,
1M2,
FRN,
5.389%,
(1-month
USD
LIBOR
+
5.3%),
10/25/28
..........................................
United
States
4,619,043
4,855,324
2016-C04,
1M2,
FRN,
4.339%,
(1-month
USD
LIBOR
+
4.25%),
1/25/29
...........................................
United
States
20,974,007
21,933,457
2016-C05,
2M2,
FRN,
4.539%,
(1-month
USD
LIBOR
+
4.45%),
1/25/29
...........................................
United
States
10,691,386
11,203,309
2016-C07,
2M2,
FRN,
4.439%,
(1-month
USD
LIBOR
+
4.35%),
5/25/29
...........................................
United
States
7,687,723
8,064,978
2017-C01,
1M2,
FRN,
3.639%,
(1-month
USD
LIBOR
+
3.55%),
7/25/29
...........................................
United
States
11,265,325
11,674,108
2017-C02,
2M2,
FRN,
3.739%,
(1-month
USD
LIBOR
+
3.65%),
9/25/29
...........................................
United
States
7,854,153
8,117,100
2017-C03,
1M2,
FRN,
3.089%,
(1-month
USD
LIBOR
+
3%),
10/25/29
..........................................
United
States
24,584,892
25,278,727
2017-C04,
2M2,
FRN,
2.939%,
(1-month
USD
LIBOR
+
2.85%),
11/25/29
..........................................
United
States
5,183,113
5,317,985
2017-C05,
1M2,
FRN,
2.289%,
(1-month
USD
LIBOR
+
2.2%),
1/25/30
...........................................
United
States
20,224,897
20,657,754
383,153,678
a
a
a
a
a
a
Total
Residential
Mortgage-Backed
Securities
(Cost
$433,763,460)
................
420,396,846
Shares
Escrows
and
Litigation
Trusts
0.0%
a
Mesquite
Energy,
Inc.,
Escrow
Account
.....................
United
States
3,000,000
82,500
a,c
Millennium
Corporate
Claim
Trust,
Escrow
Account
............
United
States
73,753
a,c
Millennium
Lender
Claim
Trust,
Escrow
Account
..............
United
States
73,753
Total
Escrows
and
Litigation
Trusts
(Cost
$2,814,453)
...........................
82,500
Total
Long
Term
Investments
(Cost
$5,507,188,312)
.............................
5,604,302,189
a
Number
of
Contracts
Notional
Amount
#
a
a
aa
Options
Purchased
0.0%
Calls
-
Over-the-Counter
Interest
Rate
Swaptions
0.0%
Receive
Fixed
0.9%,
Pay
Floating
3-month
USD
LIBOR,
Counterparty
CITI,
Expires
9/16/21
.......................
1
385,900,000
2,496,789
Puts
-
Over-the-Counter
Interest
Rate
Swaptions
0.0%
Receive
Floating
3-month
USD
LIBOR,
Pay
Fixed
1.94%,
Counterparty
CITI,
Expires
9/03/21
.......................
1
129,100,000
13,081
Receive
Floating
3-month
USD
LIBOR,
Pay
Fixed
2.09%,
Counterparty
DBAB,
Expires
9/27/21
.....................
1
129,100,000
34,557
Total
Options
Purchased
(Cost
$4,953,283)
.....................................
2,544,427
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Total
Return
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
80
Short
Term
Investments
4.6%
a
a
Country
Shares
a
Value
a
Money
Market
Funds
4.3%
e,s
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0.01%
.....
United
States
229,501,774
$
229,501,774
Total
Money
Market
Funds
(Cost
$229,501,774)
.................................
229,501,774
Investments
from
Cash
Collateral
Received
for
Loaned
Securities
0.3%
a
a
a
a
a
Money
Market
Funds
0.2%
e,s
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0.01%
.....
United
States
12,280,000
12,280,000
Principal
Amount
*
Repurchase
Agreements
0.1%
t
Joint
Repurchase
Agreement,
BofA
Securities,
Inc.,
0.05%,
8/02/21
(Maturity
Value
$3,070,142)
Collateralized
by
U.S.
Treasury
Note,
0.125%,
10/31/22
(valued
at
$3,131,534)
........................................
3,070,129
3,070,129
Total
Investments
from
Cash
Collateral
Received
for
Loaned
Securities
(Cost
$15,350,129)
...........................................................
15,350,129
Total
Short
Term
Investments
(Cost
$244,851,903
)
...............................
244,851,903
a
Total
Investments
(Cost
$5,756,993,498)
110.8%
.................................
$5,851,698,519
Options
Written
(0.0)%
......................................................
(64,714)
Other
Assets,
less
Liabilities
(10.8)%
..........................................
(573,888,712)
Net
Assets
100.0%
...........................................................
$5,277,745,093
Number
of
Contracts
Notional
Amount
#
Options
Written
(0.0)%
Puts
-
Over-the-Counter
Interest
Rate
Swaptions
(0.0)%
Receive
Floating
3-month
USD
LIBOR,
Pay
Fixed
1.39%,
Counterparty
CITI,
Expires
9/16/21
.......................
1
(385,900,000)
(64,714)
(64,714)
Total
Options
Written
(Premiums
received
$1,997,033)
...........................
$
(64,714)
#
Notional
amount
is
the
number
of
units
specified
in
the
contract,
and
can
include
currency
units,
bushels,
shares,
pounds,
barrels
or
other
units.
Currency
units
are
stated
in
U.S.
dollars
unless
otherwise
indicated.
*
The
principal
amount
is
stated
in
U.S.
dollars
unless
otherwise
indicated.
Rounds
to
less
than
0.1%
of
net
assets.
a
Non-income
producing.
b
A
portion
or
all
of
the
security
is
on
loan
at
July
31,
2021.
c
Fair
valued
using
significant
unobservable
inputs.
See
Note
10
regarding
fair
value
measurements.
d
See
Note
6
regarding
restricted
securities.
e
See
Note
9
regarding
investments
in
affiliated
management
investment
companies.
f
Security
was
purchased
pursuant
to
Rule
144A
or
Regulation
S
under
the
Securities
Act
of
1933.
144A
securities
may
be
sold
in
transactions
exempt
from
registration
only
to
qualified
institutional
buyers
or
in
a
public
offering
registered
under
the
Securities
Act
of
1933.
Regulation
S
securities
cannot
be
sold
in
the
United
States
without
either
an
effective
registration
statement
filed
pursuant
to
the
Securities
Act
of
1933,
or
pursuant
to
an
exemption
from
registration.
At
July
31,
2021,
the
aggregate
value
of
these
securities
was
$1,150,536,783,
representing
21.8%
of
net
assets.
g
Perpetual
security
with
no
stated
maturity
date.
h
A
portion
or
all
of
the
security
purchased
on
a
delayed
delivery
basis.
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Total
Return
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
81
i
Income
may
be
received
in
additional
securities
and/or
cash.
j
The
coupon
rate
shown
represents
the
rate
at
period
end.
k
A
portion
or
all
of
the
security
represents
an
unsettled
loan
commitment.
The
coupon
rate
is
to-be
determined
(TBD)
at
the
time
of
the
settlement
and
will
be
based
upon
a
reference
index/floor
plus
a
spread.
l
A
supranational
organization
is
an
entity
formed
by
two
or
more
central
governments
through
international
treaties.
m
The
principal
represents
the
notional
amount.
See
Note
3
regarding
value
recovery
instruments.
n
Principal
amount
of
security
is
adjusted
for
inflation.
o
Adjustable
rate
security
with
an
interest
rate
that
is
not
based
on
a
published
reference
index
and
spread.  The
rate
is
based
on
the
structure
of
the
agreement
and
current
market
conditions.
The
coupon
rate
shown
represents
the
rate
at
period
end.
p
The
coupon
rate
shown
represents
the
rate
inclusive
of
any
caps
or
floors,
if
applicable,
in
effect
at
period
end.
q
Adjustable
Rate
Mortgage-Backed
Security
(ARM);
the
rate
shown
is
the
effective
rate
at
period
end.
ARM
rates
are
not
based
on
a
published
reference
rate
and
spread,
but
instead
pass-through
weighted
average
interest
income
inclusive
of
any
caps
or
floors,
if
applicable,
from
the
underlying
mortgage
loans
in
which
the
majority
of
mortgages
pay
interest
based
on
the
index
shown
at
their
designated
reset
dates
plus
a
spread,
less
the
applicable
servicing
and
guaranty
fee
(MBS
margin).
r
Security
purchased
on
a
to-be-announced
(TBA)
basis.
s
The
rate
shown
is
the
annualized
seven-day
effective
yield
at
period
end.
t
Investment
is
through
participation
in
a
joint
account
with
other
funds
managed
by
the
investment
manager
or
an
affiliate
of
the
investment
manager.
At
July
31,
2021,
all
repurchase
agreements
had
been
entered
into
on
July
30,
2021.
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Total
Return
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
82
At
July
31,
2021,
the
Fund
had
the
following futures
contracts
outstanding.
See
Note
3. 
At
July
31,
2021,
the
Fund
had
the
following
forward
exchange
contracts
outstanding.
See
Note
3
Futures
Contracts
Description
Type
Number
of
Contracts
Notional
Amount
*
Expiration
Date
Value/
Unrealized
Appreciation
(Depreciation)
Interest
rate
contracts
U.S.
Treasury
10
Year
Notes
....................
Short
1,196
$
160,805,938
9/21/21
$
(963,741)
U.S.
Treasury
10
Year
Ultra
Notes
................
Short
375
56,343,750
9/21/21
(1,855,792)
U.S.
Treasury
2
Year
Notes
.....................
Long
1,321
291,486,906
9/30/21
(53,212)
U.S.
Treasury
5
Year
Notes
.....................
Long
4,536
564,483,940
9/30/21
2,848,509
U.S.
Treasury
Long
Bonds
.....................
Short
375
61,769,531
9/21/21
(82,564)
U.S.
Treasury
Ultra
Bonds
......................
Long
650
129,695,312
9/21/21
9,222,036
Total
Futures
Contracts
......................................................................
$9,115,236
*
As
of
period
end.
Forward
Exchange
Contracts
Currency
Counter-
party
a
Type
Quantity
Contract
Amount
*
Settlement
Date
Unrealized
Appreciation
Unrealized
Depreciation
a
a
a
a
a
a
a
a
OTC
Forward
Exchange
Contracts
Chinese
Yuan
......
JPHQ
Buy
84,000,000
12,750,842
9/17/21
$
191,377
$
Turkish
Lira
........
JPHQ
Buy
76,280,000
8,037,934
9/28/21
746,140
Indonesian
Rupiah
..
DBAB
Buy
97,144,100,000
6,660,549
11/17/21
(16,475)
Indonesian
Rupiah
..
JPHQ
Buy
92,000,000,000
6,309,581
11/17/21
(17,333)
Euro
.............
JPHQ
Sell
13,100,000
15,585,284
12/14/21
30,097
(28,257)
Canadian
Dollar
....
JPHQ
Sell
16,300,000
13,233,259
12/16/21
170,739
Japanese
Yen
......
JPHQ
Buy
1,981,000,000
17,865,920
12/29/21
218,124
Australian
Dollar
....
JPHQ
Buy
17,000,000
12,547,972
1/19/22
(63,124)
Singapore
Dollar
....
JPHQ
Buy
17,500,000
12,869,256
1/19/22
44,287
South
Korean
Won
..
JPHQ
Buy
14,600,000,000
12,630,195
1/19/22
5,507
Total
Forward
Exchange
Contracts
...................................................
$1,406,271
$(125,189)
Net
unrealized
appreciation
(depreciation)
............................................
$1,281,082
*
In
U.S.
dollars
unless
otherwise
indicated.
a
May
be
comprised
of
multiple
contracts
with
the
same
counterparty,
currency
and
settlement
date.
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Total
Return
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
83
At
July
31,
2021,
the
Fund
had
the
following credit
default
swap
contracts outstanding.
See
Note
3. 
Credit
Default
Swap
Contracts
Description
Periodic
Payment
Rate
Received
(Paid)
Payment
Frequency
Counter-
party
Maturity
Date
Notional
Amount
(a)
Value
Unamortized
Upfront
Payments
(Receipts)
Unrealized
Appreciation
(Depreciation)
Rating
(b)
OTC
Swap
Contracts
Contracts
to
Buy
Protection
(c)
Single
Name
Avon
Products,
Inc.
.......
(5.00)%
Quarterly
CITI
3/20/23
8,800,000
$
(586,972)
$
(418,347)
$
(168,625)
Nabors
Industries,
Inc.
.......
(1.00)%
Quarterly
CITI
12/20/21
10,225,000
140,098
57,530
82,568
Contracts
to
Sell
Protection
(c)(d)
Single
Name
Air
France-KLM
.
5.00%
Quarterly
BOFA
6/20/26
1,170,000
EUR
56,967
22,976
33,991
NR
Air
France-KLM
.
5.00%
Quarterly
JPHQ
6/20/26
2,780,000
EUR
135,357
47,691
87,666
NR
Air
France-KLM
.
5.00%
Quarterly
MSCO
12/20/25
6,430,000
EUR
310,296
6,758
303,538
NR
American
Airlines
Group,
Inc.
..
5.00%
Quarterly
CITI
12/20/21
7,800,000
170,265
(202,063)
372,328
CCC
American
Airlines
Group,
Inc.
..
5.00%
Quarterly
GSCO
6/20/22
5,200,000
88,633
(43,239)
131,872
CCC
Carnival
Corp.
..
1.00%
Quarterly
CITI
12/20/25
7,800,000
(999,075)
(1,070,178)
71,103
B-
Macy's
Retail
Holdings
LLC
.
1.00%
Quarterly
JPHQ
12/20/25
7,800,000
(660,256)
(1,274,714)
614,458
B
Nabors
Industries,
Inc.
.......
1.00%
Quarterly
CITI
12/20/23
10,225,000
(1,428,781)
(730,406)
(698,375)
CCC-
Nordstrom,
Inc.
.
1.00%
Quarterly
BNDP
6/20/26
6,300,000
(397,377)
(400,324)
2,947
BB+
Nordstrom,
Inc.
.
1.00%
Quarterly
JPHQ
6/20/26
6,300,000
(397,377)
(307,202)
(90,175)
BB+
Royal
Caribbean
Cruises
Ltd.
..
5.00%
Quarterly
BZWS
12/20/25
7,800,000
400,046
(203,843)
603,889
B
United
Airlines
Holdings,
Inc.
.
5.00%
Quarterly
FBCO
12/20/25
650,000
34,067
34,067
B
Traded
Index
(e)
Citibank
Bespoke
Franklin,
Equity
Tranche
0-5%
—%
Quarterly
CITI
12/20/22
12,600,000
(3,047,702)
(2,414,367)
(633,335)
Non-
Investment
Grade
(e)
Citibank
Bespoke
Palm
Beach
Index,
Mezzanine
Tranche
5-10%
1.97%
Quarterly
CITI
12/20/22
14,000,000
42,226
42,226
Non-
Investment
Grade
(e)
Citibank
Bespoke
Palm
Beach
Index,
Mezzanine
Tranche
5-10%
2.42%
Quarterly
CITI
12/20/22
10,500,000
20,609
20,609
Non-
Investment
Grade
(e)
Citibank
Bespoke
Phoenix
Index,
Mezzanine
Tranche
3.97-
5.99%
.....
3.35%
Quarterly
CITI
12/20/21
1,100,000
15,922
15,922
Non-
Investment
Grade
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Total
Return
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
84
*Posting
of
collateral
is
required
by
either
the
Fund
or
the
applicable
counterparty
if
the
total
net
exposure
of
all
OTC
derivatives
with
the
applicable
counterparty
exceeds
the
minimum
transfer
amount,
which
typically
ranges
from
$100,000
to
$250,000,
and
can
vary
depending
on
the
counterparty
and
the
type
of
the
agreement.
The
table below
summarizes
the
cash
and/or
securities
held
as
collateral
for
each
applicable
counterparty
at
period
end.
Credit
Default
Swap
Contracts
(continued)
Description
Periodic
Payment
Rate
Received
(Paid)
Payment
Frequency
Counter-
party
Maturity
Date
Notional
Amount
(a)
Value
Unamortized
Upfront
Payments
(Receipts)
Unrealized
Appreciation
(Depreciation)
Rating
(b)
OTC
Swap
Contracts
(continued)
Contracts
to
Sell
Protection
(c)(d)
(continued)
Traded
Index
(continued)
(e)
Citibank
Bespoke
Phoenix
Index,
Mezzanine
Tranche
5-7%
2.90%
Quarterly
CITI
12/20/21
7,800,000
$
94,994
$
$
94,994
Non-
Investment
Grade
(e)
Citibank
Bespoke
Portsmouth,
Mezzanine
Tranche
5-10%
2.15%
Quarterly
CITI
6/20/22
30,000,000
410,046
410,046
Non-
Investment
Grade
MCDX.
NA.MAIN.31
.
1.00%
Quarterly
CITI
12/20/23
2,325,000
29,446
11,232
18,214
Investment
Grade
(e)
Morgan
Stanley
Bespoke
Pecan
Index,
Mezzanine
Tranche
0-5%
—%
Quarterly
MSCO
12/20/21
35,331,906
6,996,230
4,881,495
2,114,735
Non-
Investment
Grade
(e)
Morgan
Stanley
Bespoke
Pecan
Index,
Mezzanine
Tranche
5-10%
4.10%
Quarterly
MSCO
12/20/21
8,300,000
7,888
7,888
Non-
Investment
Grade
(e)
Morgan
Stanley
Bespoke
Pecan
Index,
Mezzanine
Tranche
5-10%
3.98%
Quarterly
MSCO
12/20/21
8,300,000
2,864
2,864
Non-
Investment
Grade
Total
OTC
Swap
Contracts
..............................................
$1,438,414
$(2,037,001)
$3,475,415
Total
Credit
Default
Swap
Contracts
....................................
$1,438,414
$
(2,037,001)
$3,475,415
Counterparty
Collateral
Pledged
(Received)
BNDP
$400,000
BZWS
(322,970)
CITI
13,190,000
FBCO
(50,000)
JPHQ
(614,690)
MSCO
(7,190,000)
Total
collateral
$5,412,340
Franklin
Investors
Securities
Trust
Statement
of
Investments
(unaudited)
Franklin
Total
Return
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
85
At
July
31,
2021,
the
Fund
had
the
following cross-currency
swap
contracts outstanding.
See
Note
3
At
July
31,
2021,
the
Fund
had
the
following inflation index
swap
contracts outstanding.
See
Note
3
See
A
bbreviations
on
page
104
.
(a)
In
U.S.
dollars
unless
otherwise
indicated.
For
contracts
to
sell
protection,
the
notional
amount
is
equal
to
the
maximum
potential
amount
of
the
future
payments
and
no
recourse
provisions
have
been
entered
into
in
association
with
the
contracts.
(b)
Based
on
Standard
and
Poor's
(S&P)
Rating
for
single
name
swaps
and
internal
ratings
for
index
swaps.
Internal
ratings
based
on
mapping
into
equivalent
ratings
from
external
vendors.
(c)
Performance
triggers
for
settlement
of
contract
include
default,
bankruptcy
or
restructuring
for
single
name
swaps,
and
failure
to
pay
or
bankruptcy
of
the
underlying
securities
for
traded
index
swaps.
(d)
The
fund
enters
contracts
to
sell
protection
to
create
a
long
credit
position.
(e)
Represents
a
custom
index
comprised
of
a
basket
of
underlying
instruments.
Cross-Currency
Swap
Contracts
Description
Payment
Frequency
Counter-
party
Maturity
Date
Notional
Amount
Value/
Unrealized
Appreciation
(Depreciation)
aA
aaa
aaa
aaa
OTC
Swap
Contracts
Receive
Floating
3-month
USD
LIBOR
+
1.23%
.....
Quarterly
2,830,500
USD
Pay
Floating
3-month
EURIBOR
+
1.07%
.........
Quarterly
CITI
9/17/21
2,550,000
EUR
$
(191,603)
Receive
Floating
3-month
USD
LIBOR
+
1.87%
.....
Quarterly
6,160,000
USD
Pay
Floating
3-month
EURIBOR
+
1.7%
..........
Quarterly
CITI
10/15/21
5,600,000
EUR
(481,262)
Receive
Floating
3-month
USD
LIBOR
+
1.175%
.....
Quarterly
55,747,250
USD
Pay
Floating
3-month
EURIBOR
+
1.05%
.........
Quarterly
CITI
11/22/21
50,450,000
EUR
(4,018,242)
Receive
Floating
3-month
USD
LIBOR
+
1.174%
.....
Quarterly
51,115,500
USD
Pay
Floating
3-month
EURIBOR
+
1.05%
.........
Quarterly
CITI
12/10/21
46,050,000
EUR
(3,460,858)
Receive
Floating
3-month
USD
LIBOR
+
1.318%
.....
Quarterly
26,862,000
USD
Pay
Floating
3-month
EURIBOR
+
1.2%
..........
Quarterly
CITI
12/12/21
24,200,000
EUR
(1,824,706)
Total
Cross
Currency
Swap
Contracts
...........................................................
$(9,976,671)
Inflation
Index
Swap
Contracts
Description
Payment
Frequency
Counter-
party
Maturity
Date
Notional
Amount
Value
Unamortized
Upfront
Payments
(Receipts)
Unrealized
Appreciation
(Depreciation)
Centrally
Cleared
Swap
Contracts
Receive
variable
change
  in
USA
CPI-U
........
At
Maturity
Pay
Fixed
1.913%
.....
At
Maturity
1/14/29
$
37,900,000
$
2,864,485
$
$
2,864,485
Receive
variable
change
  in
USA
CPI-U
........
At
Maturity
Pay
Fixed
1.943%
.....
At
Maturity
1/15/29
45,100,000
3,277,288
3,277,288
Total
Inflation
Index
Swap
Contracts
..................................
$6,141,773
$—
$6,141,773
Franklin
Investors
Securities
Trust
Notes
to
Statements
of
Investments
(unaudited)
86
Quarterly
Statement
of
Investments
1.
Organization
Franklin
Investors
Securities
Trust (Trust)
is
registered
under
the
Investment
Company
Act
of
1940
(1940
Act)
as
an
open-end
management
investment
company,
consisting
of
seven
separate
funds, and
applies
the
specialized
accounting
and
reporting
guidance
in
U.S.
Generally
Accepted
Accounting
Principles
(U.S.
GAAP). 
2. Financial
Instrument
Valuation
The
Funds’
investments
in
financial
instruments
are
carried
at
fair
value
daily.
Fair
value
is
the
price
that
would
be
received
to
sell
an
asset
or
paid
to
transfer
a
liability
in
an
orderly
transaction
between
market
participants
on
the
measurement
date.
The
Funds
calculate
the
net
asset
value
(NAV)
per
share
each
business
day
as
of
4
p.m.
Eastern
time
or
the
regularly
scheduled
close
of
the
New
York
Stock
Exchange
(NYSE),
whichever
is
earlier.
Under
compliance
policies
and
procedures
approved
by
the
Trust’s
Board
of
Trustees
(the
Board),
the
Funds’
administrator
has
responsibility
for
oversight
of
valuation,
including
leading
the
cross-functional
Valuation
Committee
(VC).
The
Funds
may
utilize
independent
pricing
services,
quotations
from
securities
and
financial
instrument
dealers,
and
other
market
sources
to
determine
fair
value. 
Equity
securities,
exchange
traded
funds,
and
derivative
financial
instruments
listed
on
an
exchange
or
on
the
NASDAQ
National
Market
System
are
valued
at
the
last
quoted
sale
price
or
the
official
closing
price
of
the
day,
respectively.
Foreign
equity
securities
are
valued
as
of
the
close
of
trading
on
the
foreign
stock
exchange
on
which
the
security
is
primarily
traded
or
as
of
4
p.m.
Eastern
time.
The
value
is
then
converted
into
its
U.S.
dollar
equivalent
at
the
foreign
exchange
rate
in
effect
at
4
p.m. Eastern
time
on
the
day
that
the
value
of
the
security
is
determined.
Over-the-counter
(OTC)
securities
are
valued
within
the
range
of
the
most
recent
quoted
bid
and
ask
prices.
Securities
that
trade
in
multiple
markets
or
on
multiple
exchanges
are
valued
according
to
the
broadest
and
most
representative
market.
Certain
equity
securities
are
valued
based
upon
fundamental
characteristics
or
relationships
to
similar
securities. 
Debt
securities
generally
trade
in
the
over-the-counter
(OTC)
market
rather
than
on
a
securities
exchange.
The
Funds’
pricing
services
use
multiple
valuation
techniques
to
determine
fair
value.
In
instances
where
sufficient
market
activity
exists,
the
pricing
services
may
utilize
a
market-based
approach
through
which
quotes
from
market
makers
are
used
to
determine
fair
value.
In
instances
where
sufficient
market
activity
may
not
exist
or
is
limited,
the
pricing
services
also
utilize
proprietary
valuation
models
which
may
consider
market
characteristics
such
as
benchmark
yield
curves,
credit
spreads,
estimated
default
rates,
anticipated
market
interest
rate
volatility,
coupon
rates,
anticipated
timing
of
principal
repayments,
underlying
collateral,
and
other
unique
security
features
in
order
to
estimate
the
relevant
cash
flows,
which
are
then
discounted
to
calculate
the
fair
value.
Securities
denominated
in
a
foreign
currency
are
converted
into
their
U.S.
dollar
equivalent
at
the
foreign
exchange
rate
in
effect
at
4
p.m.
Eastern
time
on
the
date
that
the
values
of
the
foreign
debt
securities
are
determined.
Investments
in
open-end
mutual
funds
are
valued
at
the
closing
NAV.
Investments
in
repurchase
agreements
are
valued
at
cost,
which
approximates
fair
value.
Certain
derivative
financial
instruments
are
centrally
cleared
or
trade
in
the
OTC
market.
The
Funds’
pricing
services
use
various
techniques
including
industry
standard
option
pricing
models
and
proprietary
discounted
cash
flow
models
to
determine
the
fair
value
of
those
instruments.
The
Funds’ net
benefit
or
obligation
under
the
derivative
contract,
as
measured
by
the
fair
value
of
the
contract,
is
included
in
net
assets. 
The
Funds
have procedures
to
determine
the
fair
value
of
financial
instruments
for
which
market
prices
are
not
reliable
or
readily
available.
Under
these
procedures,
the
Funds
primarily employ
a
market-based
approach
which
may
use
related
or
comparable
assets
or
liabilities,
recent
transactions,
market
multiples,
book
values,
and
other
relevant
information
for
the
investment
to
determine
the
fair
value
of
the
investment.
An
income-based
valuation
approach
may
also
be
used
in
which
the
anticipated
future
cash
flows
of
the
investment
are
discounted
to
calculate
fair
value.
Discounts
may
also
be
applied
due
to
the
nature
or
duration
of
any
restrictions
on
the
disposition
of
the
investments.
Due
to
the
inherent
uncertainty
of
valuations
of
such
investments,
the
fair
values
may
differ
significantly
from
the
values
that
would
have
been
used
had
an
active
market
existed. 
Franklin
Investors
Securities
Trust
Notes
to
Statements
of
Investments
(unaudited)
87
Quarterly
Statement
of
Investments
Trading
in
securities
on
foreign
securities
stock
exchanges
and
OTC
markets
may
be
completed
before
4
p.m.
Eastern
time.
In
addition,
trading
in
certain
foreign
markets
may
not
take
place
on
every
Funds’ business
day.
Events
can
occur
between
the
time
at
which
trading
in
a
foreign
security
is
completed
and
4
p.m.
Eastern
time
that
might
call
into
question
the
reliability
of
the
value
of
a
portfolio
security
held
by
the
Fund.
As
a
result,
differences
may
arise
between
the
value
of
the
Funds’
portfolio
securities
as
determined
at
the
foreign
market
close
and
the
latest
indications
of
value
at
4
p.m.
Eastern
time.
In
order
to
minimize
the
potential
for
these
differences,
an
independent
pricing
service
may
be
used
to
adjust
the
value
of
the
Funds'
portfolio
securities
to
the
latest
indications
of
fair
value
at 4
p.m.
Eastern
time.
At
July
31,
2021,
certain
securities
may
have
been
fair
valued
using
these
procedures,
in
which
case
the
securities
were
categorized
as
Level
2
inputs
within
the
fair
value
hierarchy
(referred
to
as
"market
level
fair
value").
See
the
Fair
Value
Measurements
note
for
more
information.
When
the
last
day
of
the
reporting
period
is
a
non-business
day,
certain
foreign
markets
may
be
open
on
those
days
that
the
Funds’
NAV
is
not
calculated,
which
could
result
in
differences
between
the
value
of
the
Funds’
portfolio securities
on
the
last
business
day
and
the
last
calendar
day
of
the
reporting
period.
Any
security
valuation
changes
due
to
an
open
foreign
market
are
adjusted
and
reflected
by
the
Funds for
financial
reporting
purposes.
3.
Derivative
Financial
Instruments
Certain
or
all
Funds
invested
in
derivative
financial
instruments
in
order
to
manage
risk
or
gain
exposure
to
various
other
investments
or
markets.
Derivatives
are
financial
contracts
based
on
an
underlying
or
notional
amount,
require
no
initial
investment
or
an
initial
net
investment
that
is
smaller
than
would
normally
be
required
to
have
a
similar
response
to
changes
in
market
factors,
and
require
or
permit
net
settlement.
Derivatives
contain
various
risks
including
the
potential
inability
of
the
counterparty
to
fulfill
their
obligations
under
the
terms
of
the
contract,
the
potential
for
an
illiquid
secondary
market,
and/or
the
potential
for
market
movements.
Derivative
counterparty
credit
risk
is
managed
through
a
formal
evaluation
of
the
creditworthiness
of
all
potential
counterparties.
Certain
or
all
Funds
attempt
to
reduce
their
exposure
to
counterparty
credit
risk
on
OTC
derivatives,
whenever
possible,
by
entering
into
International
Swaps
and
Derivatives
Association
(ISDA)
master
agreements
with
certain
counterparties.
These
agreements
contain
various
provisions,
including
but
not
limited
to
collateral
requirements,
events
of
default,
or
early
termination.
Termination
events
applicable
to
the
counterparty
include
certain
deteriorations
in
the
credit
quality
of
the
counterparty.
Termination
events
applicable
to
the
Funds include
failure
of
the
Funds
to
maintain
certain
net
asset
levels
and/or
limit
the
decline
in
net
assets
over
various
periods
of
time.
In
the
event
of
default
or
early
termination,
the
ISDA
master
agreement
gives
the
non-defaulting
party
the
right
to
net
and
close-out
all
transactions
traded,
whether
or
not
arising
under
the
ISDA
agreement,
to
one
net
amount
payable
by
one
counterparty
to
the
other.
Early
termination
by
the
counterparty
may
result
in
an
immediate
payment
by
the
Funds
of
any
net
liability
owed
to
that
counterparty
under
the
ISDA
agreement. 
Collateral
requirements
differ
by
type
of
derivative.
Collateral
or
initial
margin
requirements
are
set
by
the
broker
or
exchange
clearing
house
for
exchange
traded
and
centrally
cleared
derivatives.
Initial
margin
deposited
is
held
at
the
exchange
and
can
be
in
the
form
of
cash
and/or
securities.
For
OTC
derivatives
traded
under
an
ISDA
master
agreement,
posting
of
collateral
is
required
by
either
the
Fund
or
the
applicable
counterparty
if
the
total
net
exposure
of
all
OTC
derivatives
with
the
applicable
counterparty
exceeds
the
minimum
transfer
amount,
which
typically
ranges
from
$100,000
to
$250,000,
and
can
vary
depending
on
the
counterparty
and
the
type
of
the
agreement.
Generally,
collateral
is
determined
at
the
close
of
Fund
business
each
day
and
any
additional
collateral
required
due
to
changes
in
derivative
values
may
be
delivered
by
the
Fund
or
the
counterparty
the
next
business
day,
or
within
a
few
business
days.
Collateral
pledged
and/or
received
by
the
Fund
for
OTC
derivatives,
if
any,
is
held
in
segregated
accounts
with
the
Fund’s
custodian/counterparty
broker
and
can
be
in
the
form
of
cash
and/or
securities.
Unrestricted
cash
may
be
invested
according
to
the
Funds’ investment
objectives.
To
the
extent
that
the
amounts
due
to
the
Fund
from
its
counterparties
are
not
subject
to
collateralization
or
are
not
fully
collateralized,
the
Fund
bears
the
risk
of
loss
from
counterparty
non-performance.
2. Financial
Instrument
Valuation
(continued)
Franklin
Investors
Securities
Trust
Notes
to
Statements
of
Investments
(unaudited)
88
Quarterly
Statement
of
Investments
At
July
31,
2021,
the
Funds received
U.S.
Treasury
Bills,
Bonds
and
Notes
as
collateral
for
derivatives,
as
follows:
Franklin Low
Duration
Total
Return
Fund
-
$116,680
Franklin
Total
Return
Fund
- $937,660
Certain
or
all
Funds entered
into
exchange
traded
futures
contracts
primarily
to
manage
and/or
gain
exposure
to
interest
rate
risk.
A
futures
contract
is
an
agreement
between
the
Fund
and
a
counterparty
to
buy
or
sell
an
asset
at
a
specified
price
on
a
future
date.
Required
initial
margins
are
pledged
by
the
Fund,
and
the
daily
change
in
fair
value
is
accounted
for
as
a
variation
margin
payable
or
receivable. 
Certain
or
all
Funds
entered
into
OTC
forward
exchange
contracts
primarily
to
manage
and/or
gain
exposure
to
certain
foreign
currencies.
A
forward
exchange
contract
is
an
agreement
between
the
Fund
and
a
counterparty
to
buy
or
sell
a
foreign
currency at
a
specific
exchange
rate
on
a
future
date.
Certain
or
all
Funds
entered
into
credit
default
swap
contracts
primarily
to
manage
and/or
gain
exposure
to
credit
risk.
A
credit
default
swap
is
an
agreement
between
the
Fund
and
a
counterparty
whereby
the
buyer
of
the
contract
receives
credit
protection
and
the
seller
of
the
contract
guarantees
the
credit
worthiness
of
a
referenced
debt
obligation.
These
agreements
may
be
privately
negotiated
in
the
over-the-counter
market
(OTC
credit
default
swaps)
or
may
be
executed
in
a
multilateral
trade
facility
platform,
such
as
a
registered
exchange
(centrally
cleared
credit
default
swaps).
The
underlying
referenced
debt
obligation
may
be
a
single
issuer
of
corporate
or
sovereign
debt,
a
credit
index,
a
basket
of
issuers
or
indices,
or
a
tranche
of
a
credit
index
or
basket
of
issuers
or
indices.
In
the
event
of
a
default
of
the
underlying
referenced
debt
obligation,
the
buyer
is
entitled
to
receive
the
notional
amount
of
the
credit
default
swap
contract
from
the
seller
in
exchange
for
the
referenced
debt
obligation,
a
net
settlement
amount
equal
to
the
notional
amount
of
the
credit
default
swap
less
the
recovery
value
of
the
referenced
debt
obligation,
or
other
agreed
upon
amount.
For
centrally
cleared
credit
default
swaps,
required
initial
margins
are
pledged
by
the
Fund,
and
the
daily
change
in
fair
value
is
accounted
for
as
a
variation
margin
payable
or
receivable.
Over
the
term
of
the
contract,
the
buyer
pays
the
seller
a
periodic
stream
of
payments,
provided
that
no
event
of
default
has
occurred.
Such
periodic
payments
are
accrued
daily
as
an
unrealized
appreciation
or
depreciation
until
the
payments
are
made,
at
which
time
they
are
realized.
Upfront
payments
and
receipts
represent
compensating
factors
between
stated
terms
of
the
credit
default
swap
agreement
and
prevailing
market
conditions
(credit
spreads
and
other
relevant
factors).
These
upfront
payments
and
receipts
are
amortized
over
the
term
of
the
contract
as
a
realized
gain
or
loss.
Certain
or
all
Funds
entered
into
OTC
cross
currency
swap
contracts
primarily
to
manage
and/or
gain
exposure
to
certain
foreign
currencies.
A
cross
currency
swap
is
an
agreement
between
the
Fund
and
a
counterparty
to
exchange
cash
flows
(determined
using
either
a
fixed
or
floating
rate)
based
on
the
notional
amounts
of
two
different
currencies.
The
notional
amounts
are
typically
determined
based
on
the
spot
exchange
rates
at
the
opening
of
the
contract.
Cross
currency
swaps
may
require
the
exchange
of
notional
amounts
at
the
opening
and/or
closing
of
the
contract.
Over
the
term
of
the
contract,
contractually
required
payments
to
be
paid
and
to
be
received
are
accrued
daily
and
recorded
as
unrealized
depreciation
and
appreciation
until
the
payments
are
made,
at
which
time
they
are
realized.
Upfront
payments
and
receipts
represent
compensating
factors
between
stated
terms
of
the
cross
currency
swap
contract
and
prevailing
market
conditions
(interest
rate
spreads
and
other
relevant
factors).
These
upfront
payments
and
receipts
are
amortized
over
the
term
of
the
contract
as
a
realized
gain
or
loss.
Certain
or
all
Funds
entered
into
inflation
index
swap
contracts
primarily
to
manage
and/or
gain
exposure
to
inflation
risk.
An
inflation
index
swap
is
an
agreement
between
the
Fund
and
a
counterparty
to
exchange
cash
flows
whereby
one
party
makes
payments
based
on
the
percentage
change
in
an
index
that
serves
as
a
measure
of
inflation
and
the
other
party
makes
a
regular
payment
based
on
a
compounded
fixed
rate,
applied
to
a
notional
amount.
These
agreements
may
be
privately
negotiated
in
the
over-the-counter
market
(OTC
inflation
index
swap)
or
may
be
executed
on
a
registered
exchange
(centrally
cleared
inflation
index
swap).
For
centrally
cleared
inflation
index
swaps,
required
initial
margins
are
pledged
by
the
Fund,
3.
Derivative
Financial
Instruments
(continued)
Franklin
Investors
Securities
Trust
Notes
to
Statements
of
Investments
(unaudited)
89
Quarterly
Statement
of
Investments
and
the
daily
change
in
fair
value
is
accounted
for
as
a
variation
margin
payable
or
receivable.
Over
the
term
of
the
contract,
contractually
required
payments
to
be
paid
and
to
be
received
are
accrued
daily
and
recorded
as
unrealized
depreciation
and
appreciation
until
the
payments
are
made,
at
which
time
they
are
realized.
Typically,
an
inflation
index
swap
has
payment
obligations
netted
and
exchanged
upon
maturity. 
Certain
or
all
Funds
entered
into
interest
rate
swap
contracts
primarily
to
manage
interest
rate
risk.
An
interest
rate
swap
is
an
agreement
between
the
Fund
and
a
counterparty
to
exchange
cash
flows
based
on
the
difference
between
two
interest
rates,
applied
to
a
notional
amount.
These
agreements
may
be
privately
negotiated
in
the
over-the-counter
market
(OTC
interest
rate
swaps)
or
may
be
executed
on
a
registered
exchange
(centrally
cleared
interest
rate
swaps).
For
centrally
cleared
interest
rate
swaps,
required
initial
margins
are
pledged
by
the
Fund,
and
the
daily
change
in
fair
value
is
accounted
for
as
a
variation
margin
payable
or
receivable.
Over
the
term
of
the
contract,
contractually
required
payments
to
be
paid
and
to
be
received
are
accrued
daily
and
recorded
as
unrealized
depreciation
and
appreciation
until
the
payments
are
made,
at
which
time
they
are
realized. 
Certain
or
all
Funds
entered
into
OTC
total
return
swap
contracts
primarily
to
manage
and/or
gain
exposure
to
credit
and
other
markets
risk(s)
of
an
underlying
instrument
such
as
a
stock,
bond,
index
or
basket
of
securities
or
indices.
A
total
return
swap
is
an
agreement
between
the
Fund
and
a
counterparty
to
exchange
a
return
linked
to
an
underlying
instrument
for
a
floating
or
fixed
rate
payment,
both
based
upon
a
notional
amount.
Over
the
term
of
the
contract,
contractually
required
payments
to
be
paid
or
received
are
accrued
daily
and
recorded
as
unrealized
appreciation
or
depreciation
until
the
payments
are
made,
at
which
time
they
are
recognized
as
realized
gain
or
loss. 
Certain
or
all
Funds purchased
or
wrote
exchange
traded
and/or
OTC
option
contracts
primarily
to
manage
and/or
gain
exposure
to
interest
rate
risk.
An
option
is
a
contract
entitling
the
holder
to
purchase
or
sell
a
specific
amount
of
shares
or
units
of
an
asset
or
notional
amount
of
a
swap
(swaption),
at
a
specified
price.
When
an
option
is
purchased
or
written,
an
amount
equal
to
the
premium
paid
or
received
is
recorded
as
an
asset
or
liability,
respectively.
Upon
exercise
of
an
option,
the
acquisition
cost
or
sales
proceeds
of
the
underlying
investment
is
adjusted
by
any
premium
received
or
paid.
Upon
expiration
of
an
option,
any
premium
received
or
paid
is
recorded
as
a
realized
gain
or
loss.
Upon
closing
an
option
other
than
through
expiration
or
exercise,
the
difference
between
the
premium
received
or
paid
and
the
cost
to
close
the
position
is
recorded
as
a
realized
gain
or
loss. 
Certain
or
all
Funds
invest in
value
recovery
instruments
(VRI)
primarily
to
gain
exposure
to
economic
growth.
Periodic
payments
from
VRI
are
dependent
on
established
benchmarks
for
underlying
variables.
VRI
has
a
notional
amount,
which
is
used
to
calculate
amounts
of
payments
to
holders.
Payments
are
recorded
upon
receipt
as
realized
gains.
The
risks
of
investing
in
VRI
include
growth
risk,
liquidity,
and
the
potential
loss
of
investment.
The
following
Funds
have
invested
in
derivatives
during
the
period. 
Franklin Low
Duration
Total
Return
Fund
-
Futures,
forwards
and
swaps
Franklin
Managed
Income Fund
-
Options
Franklin
Total
Return
Fund
- Futures,
forwards,
options,
swaps
and
VRI
4.
Mortgage
Dollar
Rolls 
Franklin
Low
Duration
Total
Return
Fund
and
Franklin
Total
Return
Fund
enter
into
mortgage
dollar
rolls,
typically
on
a
to-be-announced
basis.
Mortgage
dollar
rolls
are
agreements
between
the
Fund
and
a
financial
institution
where
the
Fund
sells
(or
buys)
mortgage-backed
securities
for
delivery
on
a
specified
date
and
simultaneously
contracts
to
repurchase
(or
sell)
substantially
similar
(same
type,
coupon,
and
maturity)
securities
at
a
future
date
and
at
a
predetermined
price.
Gains
3.
Derivative
Financial
Instruments
(continued)
Franklin
Investors
Securities
Trust
Notes
to
Statements
of
Investments
(unaudited)
90
Quarterly
Statement
of
Investments
or
losses
are
realized
on
the
initial
sale,
and
the
difference
between
the
repurchase
price
and
the
sale
price
is
recorded
as
an
unrealized
gain
or
loss
to
the
Fund
upon
entering
into
the
mortgage
dollar
roll.
In
addition,
the
Fund
may
invest
the
cash
proceeds
that
are
received
from
the
initial
sale.
During
the
period
between
the
sale
and
repurchase,
the
Fund
is
not
entitled
to
principal
and
interest
paid
on
the
mortgage
backed
securities.
Transactions
in
mortgage
dollar
rolls
are
accounted
for
as
purchases
and
sales
and
may
result
in
an
increase
to
the
Fund’s
portfolio
turnover
rate.
The
risks
of
mortgage
dollar
roll
transactions
include
the
potential
inability
of
the
counterparty
to
fulfill
its
obligations.
5.
Novel
Coronavirus
Pandemic 
The
global
outbreak
of
the
novel
coronavirus
disease,
known
as
COVID-19,
has
caused
adverse
effects
on
many
companies,
sectors,
nations,
regions
and
the
markets
in
general,
and
may
continue
for
an
unpredictable
duration.
The
effects
of
this
pandemic
may
materially
impact
the
value
and
performance
of
the
Funds,
their
ability
to
buy
and
sell
fund
investments
at
appropriate
valuations
and
their
ability
to
achieve
their
investment
objectives.
6. Restricted
Securities 
At
July
31,
2021,
investments
in
restricted
securities,
excluding
securities
exempt
from
registration
under
the
Securities
Act
of
1933,
were
as
follows:
7.
Unfunded
Loan
Commitments  
Certain
or
all
Funds
enter
into
certain
credit
agreements,
all
or
a
portion
of
which
may
be
unfunded.
The
Funds
are
obligated
to
fund
these
loan
commitments
at
the
borrowers’
discretion.
Unfunded
loan
commitments
and
funded
portions
of
credit
agreements
are
marked
to
market
daily.
Funded
portions
of
credit
agreements
are
presented
in
the
Statements
of
Investments.
Shares
Issuer
Acquisition
Date
Cost
Value
Franklin
Floating
Rate
Daily
Access
Fund
1,219,956
Appvion
Operations,
Inc.
......................
6/14/18
-
4/12/19
$
12,791,766
$
29,876,200
Total
Restricted
Securities
(Value
is
2.4%
of
Net
Assets)
..............
$12,791,766
$29,876,200
Shares
Issuer
Acquisition
Date
Cost
Value
Franklin
Low
Duration
Total
Return
Fund
12,326,925
a
K2016470219
South
Africa
Ltd.,
A
...............
4/15/13
-
2/01/17
$
92,077
$
1,226,701
a
K2016470219
South
Africa
Ltd.,
B
...............
2/01/17
911
Total
Restricted
Securities
(Value
is
—%
of
Net
Assets)
..............
$92,988
$—
Shares
Issuer
Acquisition
Date
Cost
Value
Franklin
Total
Return
Fund
28,762,824
a
K2016470219
South
Africa
Ltd.,
A
...............
4/15/13
-
2/01/17
$
221,469
$
2,862,311
a
K2016470219
South
Africa
Ltd.,
B
...............
2/01/17
2,125
Total
Restricted
Securities
(Value
is
—%
of
Net
Assets)
..............
$223,594
$—
a
The
Fund
also
invests
in
unrestricted
securities
of
the
issuer,
valued
at
$-
as
of
July
31,
2021.
4.
Mortgage
Dollar
Rolls 
(continued)
Franklin
Investors
Securities
Trust
Notes
to
Statements
of
Investments
(unaudited)
91
Quarterly
Statement
of
Investments
At
July
31,
2021,
unfunded
commitments
were
as
follows:
8.
Holding
of
5%
Voting
Securities
of
Portfolio
Companies 
The
1940
Act
defines
"affiliated
companies"
to
include
investments
in
portfolio
companies
in
which
a
fund
owns
5%
or
more
of
the
outstanding
voting
securities.
Additionally,
as
defined
in
the
1940
Act,
an
investment
is
deemed
to
be
a
“Controlled
Affiliate”
of
a
fund
when
a
fund
owns,
either
directly
or
indirectly,
25%
or
more
of
the
affiliated
companies’
outstanding
shares
or
has
the
power
to
exercise
control
over
management
or
policies
of
such
company.
During
the
period
ended
July
31,
2021,
investments
in
“affiliated
companies”
were
as
follows: 
Borrower
Unfunded
Commitment
Franklin
Floating
Rate
Daily
Access
Fund
Fieldwood
Energy
LLC
$6,781,487
AI
Aqua
Merger
Sub,
Inc.
595,890
Aveanna
Healthcare
LLC
589,706
National
Mentor
Holdings
Inc.
452,795
Sovos Compliance, LLC, Term Loan
217,428
Total
$8,637,306
Value
at
Beginning
of
Period
Purchases
Sales
Realized
Gain
(Loss)
Net
Change
in
Unrealized
Appreciation
(Depreciation)
Value
at
End
of
Period
Number
of
Shares/Principal
Amount
Held
at
End
of
Period
Investment
Income
Franklin
Floating
Rate
Daily
Access
Fund
Non-Controlled
Affiliates
Dividends
Appvion
Operations,
Inc.
$
18,106,975
$
$
$
$
11,769,225
$
29,876,200
1,219,956
$
Remington
Outdoor
Co.,
Inc.
............
(73,081,001)
73,081,001
a
Remington
Outdoor
Co.,
Inc.,
Litigation
Units
.
b
Interest
Appvion
Operations,
Inc.,
Term
Loan,
7%,
(3-month
USD
LIBOR
+
6%),
6/12/26
......
28,599,539
(29,102,436)
59,911
442,986
a
888,285
c
Total
Affiliated
Securities
(Value
is
2.4%
of
Net
Assets)
..........
$46,706,514
$—
$(29,102,436)
$(73,021,090)
$85,293,212
$29,876,200
$888,285
a
As
of
July
31,
2021,
no
longer
held
by
the
fund.
b
As
of
July
31,
2021,
no
longer
an
affiliate.
c
Includes
non-cash
dividend/interest
received.
7.
Unfunded
Loan
Commitments  
(continued)
Franklin
Investors
Securities
Trust
Notes
to
Statements
of
Investments
(unaudited)
92
Quarterly
Statement
of
Investments
9.
Investments
in
Affiliated
Management
Investment
Companies 
Certain
or
all
Funds
invest
in
one
or
more
affiliated
management
investment
companies.
As
defined
in
the
1940
Act,
an
investment
is
deemed
to
be
a
“Controlled
Affiliate”
of
a
fund
when
a
fund
owns,
either
directly
or
indirectly,
25%
or
more
of
the
affiliated
fund’s
outstanding
shares
or
has
the
power
to
exercise
control
over
management
or
policies
of
such
fund.
The
Funds
do
not
invest
for
purposes
of
exercising
a
controlling
influence
over
the
management
or
policies.
During
the
period
ended
July
31,
2021,
investments
in
affiliated
management
investment
companies
were
as
follows: 
    aa
Value
at
Beginning
of
Period
Purchases
Sales
Realized
Gain
(Loss)
Net
Change
in
Unrealized
Appreciation
(Depreciation)
Value
at
End
of
Period
Number
of
Shares
Held
at
End
of
Period
Investment
Income
a      
a  
a  
a  
a  
a  
a  
a  
Franklin
Adjustable
U.S.
Government
Securities
Fund
Non-Controlled
Affiliates
Dividends
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0.01%
..
$37,053,731
$7,431,768
$(10,550,889)
$—
$—
$33,934,610
33,934,610
$1,452
Total
Affiliated
Securities
....
$37,053,731
$7,431,768
$(10,550,889)
$—
$—
$33,934,610
$1,452
Franklin
Convertible
Securities
Fund
Non-Controlled
Affiliates
Dividends
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0.01%
..
$211,356,904
$771,643,715
$(766,048,414)
$—
$—
$216,952,205
216,952,205
$6,614
Non-Controlled
Affiliates
Income
from
securities
loaned
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0.01%
..
$6,200,000
$132,671,000
$(118,941,000)
$
$
$19,930,000
19,930,000
$951
Total
Affiliated
Securities
....
$217,556,904
$904,314,715
$(884,989,414)
$—
$—
$236,882,205
$7,565
Franklin
Equity
Income
Fund
Non-Controlled
Affiliates
Dividends
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0.01%
..
$13,813,242
$461,626,461
$(414,174,403)
$—
$—
$61,265,300
61,265,300
$1,726
Non-Controlled
Affiliates
Income
from
securities
loaned
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0.01%
..
$14,180,000
$84,111,000
$(92,326,000)
$
$
$5,965,000
5,965,000
$372
Total
Affiliated
Securities
....
$27,993,242
$545,737,461
$(506,500,403)
$—
$—
$67,230,300
$2,098
Franklin
Investors
Securities
Trust
Notes
to
Statements
of
Investments
(unaudited)
93
Quarterly
Statement
of
Investments
    aa
Value
at
Beginning
of
Period
Purchases
Sales
Realized
Gain
(Loss)
Net
Change
in
Unrealized
Appreciation
(Depreciation)
Value
at
End
of
Period
Number
of
Shares
Held
at
End
of
Period
Investment
Income
a      
a  
a  
a  
a  
a  
a  
a  
Franklin
Floating
Rate
Daily
Access
Fund
Non-Controlled
Affiliates
Dividends
Franklin
Floating
Rate
Income
Fund
...................
$37,437,554
$—
$(4,000,005)
$(1,176,106)
$4,362,757
$36,624,200
4,630,114
$1,224,725
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0.01%
..
69,832,875
96,591,368
(104,389,998)
62,034,245
62,034,245
2,513
Total
Non-Controlled
Affiliates
$107,270,429
$96,591,368
$(108,390,003)
$
(1,176,106)
$
4,362,757
$98,658,445
$
1,227,238
Non-Controlled
Affiliates
Income
from
securities
loaned
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0.01%
..
$—
$9,169,000
$(4,627,000)
$
$
$4,542,000
4,542,000
$13
Total
Affiliated
Securities
....
$107,270,429
$105,760,368
$(113,017,003)
$(1,176,106)
$4,362,757
$103,200,445
$1,227,251
Franklin
Low
Duration
Total
Return
Fund
Non-Controlled
Affiliates
Dividends
Franklin
Floating
Rate
Income
Fund
...................
$17,370,266
$103,515,968
$—
$—
$(3,536,876)
$117,349,358
14,835,570
$1,662,640
Franklin
Liberty
High
Yield
Corporate
ETF
............
6,912,430
(26,597)
6,885,833
259,500
210,505
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0.01%
..
197,465,127
242,791,064
(384,194,564)
56,061,627
56,061,627
3,306
Total
Non-Controlled
Affiliates
$214,835,393
$353,219,462
$(384,194,564)
$—
$(3,563,473)
$180,296,818
$1,876,451
Non-Controlled
Affiliates
Income
from
securities
loaned
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0.01%
..
$—
$5,233,000
$(5,233,000)
$—
$
$—
a
$7
Total
Affiliated
Securities
....
$214,835,393
$358,452,462
$(389,427,564)
$—
$(3,563,473)
$180,296,818
$1,876,458
Franklin
Managed
Income
Fund
Controlled
Affiliates
Dividends
Franklin
Liberty
Systematic
Style
Premia
ETF
..............
$25,719,105
$—
$—
$
$
(1,631,605)
$
24,087,500
1,175,000
$
2,086,048
Franklin
Liberty
U.S.
Low
Volatility
ETF
....................
37,699,500
(6,721,716)
1,596,666
9,023,750
41,598,200
860,000
497,366
Total
Controlled
Affiliates
....
$63,418,605
$—
$(6,721,716)
$
1,596,666
$
7,392,145
$65,685,700
$
2,583,414
9.
Investments
in
Affiliated
Management
Investment
Companies 
(continued)
Franklin
Investors
Securities
Trust
Notes
to
Statements
of
Investments
(unaudited)
94
Quarterly
Statement
of
Investments
    aa
Value
at
Beginning
of
Period
Purchases
Sales
Realized
Gain
(Loss)
Net
Change
in
Unrealized
Appreciation
(Depreciation)
Value
at
End
of
Period
Number
of
Shares
Held
at
End
of
Period
Investment
Income
Franklin
Managed
Income
Fund
(continued)
Non-Controlled
Affiliates
Dividends
Franklin
FTSE
United
Kingdom
ETF
....................
$27,669,150
$—
$(6,195,618)
$326,243
$9,375,225
$31,175,000
1,250,000
$1,051,847
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0.01%
..
28,554,890
938,095,774
(831,316,987)
135,333,677
135,333,677
3,525
Total
Non-Controlled
Affiliates
$56,224,040
$938,095,774
$(837,512,605)
$
326,243
$
9,375,225
$166,508,677
$
$1,055,372
Non-Controlled
Affiliates
Income
from
securities
loaned
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0.01%
..
$2,956,000
$92,189,000
$(65,225,000)
$
$
$29,920,000
29,920,000
$405
Total
Affiliated
Securities
....
$122,598,645
$1,030,284,774
$(909,459,321)
$1,922,909
$16,767,370
$262,114,377
$3,639,191
Franklin
Total
Return
Fund
Controlled
Affiliates
Dividends
Franklin
Floating
Rate
Income
Fund
...................
$11,263,485
$177,153,326
$—
$—
$2,342,59
7
$
$190,759,40
8
24,116,234
$2,648,856
Franklin
Liberty
High
Yield
Corporate
ETF
............
147,928,671
6,770,379
154,699,050
5,830,000
5,642,361
Franklin
Liberty
Investment
Grade
Corporate
ETF
............
487,160,950
(2,016,850)
485,144,100
18,335,000
14,455,113
b
Total
Controlled
Affiliates
....
$646,353,106
$177,153,326
$—
$—
$7,096,12
6
$830,602,558
$22,746,330
Non-Controlled
Affiliates
Dividends
Franklin
Liberty
Senior
Loan
ETF
$21,950,830
$20,560,444
$—
$—
$718,018
$43,229,292
1,737,400
$817,069
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0.01%
..
226,741,557
988,748,543
(985,988,326)
229,501,774
229,501,774
4,439
Total
Non-Controlled
Affiliates
$248,692,387
$1,009,308,987
$(985,988,326)
$—
$718,018
$272,731,066
$821,508
Non-Controlled
Affiliates
Income
from
securities
loaned
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0.01%
..
$—
$36,709,000
$(24,429,000)
$—
$—
$12,280,000
12,280,000
$172
Total
Affiliated
Securities
....
$895,045,493
$1,223,171,313
$(1,010,417,326)
$—
$7,814,144
$1,115,613,624
$23,568,010
a
As
of
July
31,
2021,
no
longer
held
by
the
fund.
b
Dividend
income
includes
any
capital
gain
distributions
received
from
underlying
funds.
9.
Investments
in
Affiliated
Management
Investment
Companies 
(continued)
Franklin
Investors
Securities
Trust
Notes
to
Statements
of
Investments
(unaudited)
95
Quarterly
Statement
of
Investments
10. Fair
Value
Measurements 
The
Funds
follow
a
fair
value
hierarchy
that
distinguishes
between
market
data
obtained
from
independent
sources
(observable
inputs)
and
the
Funds'
own
market
assumptions
(unobservable
inputs).
These
inputs
are
used
in
determining
the
value
of
the
Funds’
financial
instruments
and
are
summarized
in
the
following
fair
value
hierarchy:
• Level
1
quoted
prices
in
active
markets
for
identical
financial
instruments
• Level
2
other
significant
observable
inputs
(including
quoted
prices
for
similar
financial
instruments,
interest
rates,
prepayment
speed,
credit
risk,
etc.)
• Level
3
significant
unobservable
inputs
(including
the
Funds'
own
assumptions
in
determining
the
fair
value
of
financial
instruments)
The
input
levels
are
not
necessarily
an
indication
of
the
risk
or
liquidity
associated
with
financial
instruments
at
that
level. 
A
summary
of
inputs
used
as
of
July
31,
2021,
in
valuing
the
Funds’
assets
and
liabilities carried
at
fair
value,
is
as
follows:  
Level
1
Level
2
Level
3
Total
Franklin
Adjustable
U.S.
Government
Securities
Fund
Assets:
Investments
in
Securities:
a
Commercial
Mortgage-Backed
Securities
......
$
$
64,406,947
$
$
64,406,947
Mortgage-Backed
Securities
................
559,563,242
559,563,242
Short
Term
Investments
...................
33,934,610
17,998,636
51,933,246
Total
Investments
in
Securities
...........
$33,934,610
$641,968,825
$—
$675,903,435
Franklin
Convertible
Securities
Fund
Assets:
Investments
in
Securities:
Common
Stocks
........................
172,245,849
172,245,849
Convertible
Preferred
Stocks
:
Auto
Components
......................
99,512,800
99,512,800
Capital
Markets
........................
112,934,400
112,934,400
Chemicals
...........................
60,732,808
60,732,808
Electric
Utilities
........................
177,832,900
177,832,900
Food
Products
........................
74,365,200
74,365,200
Health
Care
Equipment
&
Supplies
.........
130,117,157
130,117,157
Health
Care
Technology
.................
21,807,000
21,807,000
Life
Sciences
Tools
&
Services
............
94,833,000
94,833,000
Multi-Utilities
..........................
88,470,000
88,470,000
Semiconductors
&
Semiconductor
Equipment
.
109,802,574
109,802,574
Water
Utilities
.........................
46,700,500
46,700,500
Wireless
Telecommunication
Services
.......
60,285,120
60,285,120
Convertible
Bonds
.......................
3,745,407,645
3,745,407,645
Short
Term
Investments
...................
236,882,205
4,209,339
241,091,544
Total
Investments
in
Securities
...........
$1,426,236,393
$3,809,902,104
$—
$5,236,138,497
Franklin
Equity
Income
Fund
Assets:
Investments
in
Securities:
Common
Stocks
:
Aerospace
&
Defense
...................
128,600,015
128,600,015
Air
Freight
&
Logistics
...................
86,112,000
86,112,000
Banks
...............................
341,319,350
341,319,350
Beverages
...........................
126,481,100
126,481,100
Capital
Markets
........................
291,159,906
291,159,906
Chemicals
...........................
97,248,850
27,896,552
125,145,402
Franklin
Investors
Securities
Trust
Notes
to
Statements
of
Investments
(unaudited)
96
Quarterly
Statement
of
Investments
Level
1
Level
2
Level
3
Total
Franklin
Equity
Income
Fund
(continued)
Assets:
(continued)
Investments
in
Securities:
Common
Stocks:
Commercial
Services
&
Supplies
...........
$
55,274,120
$
$
$
55,274,120
Communications
Equipment
..............
20,763,750
20,763,750
Diversified
Telecommunication
Services
.....
48,625,974
48,625,974
Electric
Utilities
........................
210,230,060
210,230,060
Electrical
Equipment
....................
85,535,775
85,535,775
Equity
Real
Estate
Investment
Trusts
(REITs)
.
44,478,720
44,478,720
Food
&
Staples
Retailing
.................
42,836,275
42,836,275
Health
Care
Equipment
&
Supplies
.........
98,942,085
98,942,085
Health
Care
Providers
&
Services
..........
88,358,300
88,358,300
Hotels,
Restaurants
&
Leisure
.............
54,124,330
54,124,330
Household
Products
....................
84,626,850
84,626,850
Insurance
............................
18,319,265
18,319,265
IT
Services
...........................
44,462,650
44,462,650
Life
Sciences
Tools
&
Services
............
18,360,340
18,360,340
Machinery
............................
74,499,956
74,499,956
Media
...............................
66,183,750
66,183,750
Multiline
Retail
........................
97,241,125
97,241,125
Oil,
Gas
&
Consumable
Fuels
.............
167,074,770
167,074,770
Pharmaceuticals
.......................
171,297,000
171,297,000
Road
&
Rail
..........................
49,580,709
49,580,709
Semiconductors
&
Semiconductor
Equipment
.
65,529,360
65,529,360
Software
.............................
71,701,835
71,701,835
Specialty
Retail
........................
86,706,100
86,706,100
Technology
Hardware,
Storage
&
Peripherals
.
19,399,380
19,399,380
Equity-Linked
Securities
...................
294,461,565
294,461,565
Convertible
Preferred
Stocks
...............
207,357,656
207,357,656
Short
Term
Investments
...................
67,230,300
1,492,188
68,722,488
Total
Investments
in
Securities
...........
$3,129,661,656
$323,850,305
b
$—
$3,453,511,961
Franklin
Floating
Rate
Daily
Access
Fund
Assets:
Investments
in
Securities:
Common
Stocks
:
Hotels,
Restaurants
&
Leisure
.............
671,651
671,651
Machinery
............................
11,498,960
11,498,960
Paper
&
Forest
Products
.................
29,876,200
29,876,200
Road
&
Rail
..........................
c
Management
Investment
Companies
.........
42,801,765
42,801,765
Preferred
Stocks
........................
2,045,055
2,045,055
Rights
................................
1,456,552
1,456,552
Warrants
..............................
1,099
1,099
Corporate
Bonds
:
Airlines
..............................
13,131,566
13,131,566
Chemicals
...........................
3,906,396
3,906,396
Construction
Materials
..................
4,251,728
4,251,728
Containers
&
Packaging
.................
2,500,000
2,500,000
Diversified
Telecommunication
Services
.....
2,017,320
2,017,320
Hotels,
Restaurants
&
Leisure
.............
534,390
534,390
Independent
Power
and
Renewable
Electricity
Producers
..........................
1,384,895
1,384,895
Media
...............................
6,509,473
6,509,473
Oil,
Gas
&
Consumable
Fuels
.............
2,536,824
2,536,824
Road
&
Rail
..........................
501,250
19,870,734
20,371,984
10. Fair
Value
Measurements 
(continued)
Franklin
Investors
Securities
Trust
Notes
to
Statements
of
Investments
(unaudited)
97
Quarterly
Statement
of
Investments
Level
1
Level
2
Level
3
Total
Franklin
Floating
Rate
Daily
Access
Fund
(continued)
Assets:
(continued)
Investments
in
Securities:
Corporate
Bonds:
Wireless
Telecommunication
Services
.......
$
$
1,419,389
$
$
1,419,389
Senior
Floating
Rate
Interests
...............
1,023,999,995
6,420,436
1,030,420,431
Asset-Backed
Securities
..................
9,467,728
9,467,728
Escrows
and
Litigation
Trusts
...............
2,359,375
c
2,359,375
Short
Term
Investments
...................
66,576,245
84,223,005
150,799,250
Total
Investments
in
Securities
...........
$109,378,010
$1,172,959,000
$57,625,021
$1,339,962,031
Other
Financial
Instruments:
Unfunded
Loan
Commitments
..............
$
$
463,697
$
$
463,697
Total
Other
Financial
Instruments
.........
$—
$463,697
$—
$463,697
Franklin
Low
Duration
Total
Return
Fund
Assets:
Investments
in
Securities:
Common
Stocks
........................
732
c
732
Management
Investment
Companies
.........
134,038,541
134,038,541
Warrants
:
Oil,
Gas
&
Consumable
Fuels
.............
540
540
Paper
&
Forest
Products
.................
569
569
Corporate
Bonds
:
Aerospace
&
Defense
...................
16,417,401
16,417,401
Air
Freight
&
Logistics
...................
1,702,150
1,702,150
Airlines
..............................
8,822,355
8,822,355
Auto
Components
......................
976,004
976,004
Banks
...............................
118,458,064
118,458,064
Beverages
...........................
13,286,944
13,286,944
Biotechnology
.........................
6,131,412
6,131,412
Capital
Markets
........................
37,129,482
37,129,482
Chemicals
...........................
14,087,041
14,087,041
Commercial
Services
&
Supplies
...........
1,435,827
1,435,827
Communications
Equipment
..............
1,524,375
1,524,375
Consumer
Finance
.....................
20,481,682
20,481,682
Containers
&
Packaging
.................
2,076,125
2,076,125
Diversified
Financial
Services
.............
8,251,999
8,251,999
Diversified
Telecommunication
Services
.....
25,522,385
25,522,385
Electric
Utilities
........................
29,028,781
29,028,781
Energy
Equipment
&
Services
.............
9,080,581
9,080,581
Entertainment
.........................
19,316,720
19,316,720
Equity
Real
Estate
Investment
Trusts
(REITs)
.
3,061,815
3,061,815
Food
&
Staples
Retailing
.................
3,181,822
3,181,822
Health
Care
Equipment
&
Supplies
.........
350,639
350,639
Health
Care
Providers
&
Services
..........
24,072,206
24,072,206
Hotels,
Restaurants
&
Leisure
.............
10,288,122
10,288,122
Independent
Power
and
Renewable
Electricity
Producers
..........................
2,392,381
2,392,381
Interactive
Media
&
Services
..............
19,623,169
19,623,169
Internet
&
Direct
Marketing
Retail
..........
15,694,180
15,694,180
IT
Services
...........................
5,449,303
5,449,303
Machinery
............................
1,299,300
1,299,300
Media
...............................
17,161,271
17,161,271
Metals
&
Mining
.......................
1,016,285
1,016,285
Multiline
Retail
........................
c
Multi-Utilities
..........................
7,464,832
7,464,832
Oil,
Gas
&
Consumable
Fuels
.............
56,382,596
56,382,596
10. Fair
Value
Measurements 
(continued)
Franklin
Investors
Securities
Trust
Notes
to
Statements
of
Investments
(unaudited)
98
Quarterly
Statement
of
Investments
Level
1
Level
2
Level
3
Total
Franklin
Low
Duration
Total
Return
Fund
(continued)
Assets:
(continued)
Investments
in
Securities:
Corporate
Bonds:
Personal
Products
.....................
$
$
6,839,269
$
$
6,839,269
Pharmaceuticals
.......................
21,013,602
21,013,602
Real
Estate
Management
&
Development
....
829,272
829,272
Semiconductors
&
Semiconductor
Equipment
.
10,735,608
10,735,608
Specialty
Retail
........................
537,064
537,064
Thrifts
&
Mortgage
Finance
...............
10,676,489
10,676,489
Tobacco
.............................
9,218,629
9,218,629
Trading
Companies
&
Distributors
..........
1,506,743
1,506,743
Wireless
Telecommunication
Services
.......
3,998,931
3,998,931
Senior
Floating
Rate
Interests
...............
24,209,890
24,209,890
Marketplace
Loans
......................
26,775,088
26,775,088
Foreign
Government
and
Agency
Securities
....
146,407,880
146,407,880
U.S.
Government
and
Agency
Securities
.......
979,328,192
979,328,192
Asset-Backed
Securities
:
Airlines
..............................
482,016
482,016
Commercial
Services
&
Supplies
...........
14,739,540
14,739,540
Consumer
Finance
.....................
13,610,009
13,610,009
Diversified
Financial
Services
.............
379,891,398
234,691
380,126,089
Thrifts
&
Mortgage
Finance
...............
405,460
405,460
Commercial
Mortgage-Backed
Securities
......
59,901,960
59,901,960
Mortgage-Backed
Securities
................
72,479,431
72,479,431
Municipal
Bonds
.........................
32,530,477
32,530,477
Residential
Mortgage-Backed
Securities
......
185,610,240
185,610,240
Escrows
and
Litigation
Trusts
...............
52,250
c
52,250
Short
Term
Investments
...................
56,061,627
164,049,874
220,111,501
Total
Investments
in
Securities
...........
$190,100,737
$2,640,221,473
$27,011,051
$2,857,333,261
Other
Financial
Instruments:
Forward
exchange
contracts
...............
254,390
254,390
Swap
contracts
.........................
3,473,443
3,473,443
Total
Other
Financial
Instruments
.........
$—
$3,727,833
$—
$3,727,833
Liabilities:
Other
Financial
Instruments:
Forward
exchange
contracts
................
$
$
87,730
$
$
87,730
Futures
contracts
........................
3,295,317
3,295,317
Swap
contracts
..........................
5,907,519
5,907,519
Total
Other
Financial
Instruments
.........
$3,295,317
$5,995,249
$—
$9,290,566
Franklin
Managed
Income
Fund
Assets:
Investments
in
Securities:
Common
Stocks
:
Aerospace
&
Defense
...................
108,832,773
108,832,773
Air
Freight
&
Logistics
...................
33,488,000
33,488,000
Banks
...............................
219,386,443
219,386,443
Beverages
...........................
99,701,050
99,701,050
Biotechnology
.........................
55,242,500
55,242,500
Capital
Markets
........................
33,593,000
33,593,000
Chemicals
...........................
40,961,500
40,961,500
Diversified
Telecommunication
Services
.....
97,868,125
24,906,058
122,774,183
Electric
Utilities
........................
115,901,750
115,901,750
Food
Products
........................
31,723,750
31,723,750
Health
Care
Providers
&
Services
..........
99,547,200
99,547,200
10. Fair
Value
Measurements 
(continued)
Franklin
Investors
Securities
Trust
Notes
to
Statements
of
Investments
(unaudited)
99
Quarterly
Statement
of
Investments
Level
1
Level
2
Level
3
Total
Franklin
Managed
Income
Fund
(continued)
Assets:
(continued)
Investments
in
Securities:
Common
Stocks:
Household
Products
....................
$
85,338,000
$
$
$
85,338,000
Industrial
Conglomerates
................
70,137,000
70,137,000
Insurance
............................
14,892,000
14,892,000
IT
Services
...........................
61,283,187
61,283,187
Multiline
Retail
........................
26,105,000
26,105,000
Multi-Utilities
..........................
119,438,039
119,438,039
Oil,
Gas
&
Consumable
Fuels
.............
129,238,100
129,238,100
Personal
Products
.....................
23,017,302
23,017,302
Pharmaceuticals
.......................
185,031,600
185,031,600
Road
&
Rail
..........................
44,845,800
44,845,800
Semiconductors
&
Semiconductor
Equipment
.
98,619,354
98,619,354
Specialty
Retail
........................
49,228,500
49,228,500
Tobacco
.............................
12,981,673
12,981,673
Management
Investment
Companies
.........
96,860,700
96,860,700
Equity-Linked
Securities
...................
556,162,048
556,162,048
Convertible
Preferred
Stocks
...............
431,663,695
431,663,695
Corporate
Bonds
........................
895,826,398
895,826,398
U.S.
Government
and
Agency
Securities
.......
128,092,496
128,092,496
Asset-Backed
Securities
..................
22,116,786
22,116,786
Mortgage-Backed
Securities
................
32,429,397
32,429,397
Options
purchased
.......................
22,554,000
22,554,000
Short
Term
Investments
...................
165,253,677
7,480,030
172,733,707
Total
Investments
in
Securities
...........
$2,549,716,416
$1,690,030,515
d
$—
$4,239,746,931
Liabilities:
Other
Financial
Instruments:
Options
written
..........................
$
14,192,250
$
$
$
14,192,250
Franklin
Total
Return
Fund
Assets:
Investments
in
Securities:
Common
Stocks
:
Energy
Equipment
&
Services
.............
660,832
660,832
Multiline
Retail
........................
c
Oil,
Gas
&
Consumable
Fuels
.............
3,256
3,256
Management
Investment
Companies
.........
952,478,950
952,478,950
Preferred
Stocks
........................
2,577,960
2,577,960
Warrants
:
Oil,
Gas
&
Consumable
Fuels
.............
1,259
1,259
Paper
&
Forest
Products
.................
2,855
2,855
Corporate
Bonds
:
Aerospace
&
Defense
...................
17,728,920
17,728,920
Air
Freight
&
Logistics
...................
5,641,912
5,641,912
Airlines
..............................
29,171,402
29,171,402
Auto
Components
......................
2,738,737
2,738,737
Banks
...............................
96,140,777
96,140,777
Beverages
...........................
6,608,807
6,608,807
Biotechnology
.........................
35,682,034
35,682,034
Capital
Markets
........................
9,130,489
9,130,489
Chemicals
...........................
25,297,759
25,297,759
Commercial
Services
&
Supplies
...........
6,715,381
6,715,381
Communications
Equipment
..............
3,039,150
3,039,150
Consumer
Finance
.....................
6,385,354
6,385,354
10. Fair
Value
Measurements 
(continued)
Franklin
Investors
Securities
Trust
Notes
to
Statements
of
Investments
(unaudited)
100
Quarterly
Statement
of
Investments
Level
1
Level
2
Level
3
Total
Franklin
Total
Return
Fund
(continued)
Assets:
(continued)
Investments
in
Securities:
Corporate
Bonds:
Containers
&
Packaging
.................
$
$
16,267,608
$
$
16,267,608
Diversified
Financial
Services
.............
12,637,475
12,637,475
Diversified
Telecommunication
Services
.....
23,033,280
23,033,280
Electric
Utilities
........................
74,033,585
74,033,585
Electronic
Equipment,
Instruments
&
Components
........................
22,561,952
22,561,952
Energy
Equipment
&
Services
.............
3,413,479
3,413,479
Entertainment
.........................
19,149,033
19,149,033
Equity
Real
Estate
Investment
Trusts
(REITs)
.
15,021,461
15,021,461
Food
&
Staples
Retailing
.................
10,642,646
10,642,646
Food
Products
........................
15,001,804
15,001,804
Health
Care
Equipment
&
Supplies
.........
8,120,220
8,120,220
Health
Care
Providers
&
Services
..........
51,711,066
51,711,066
Hotels,
Restaurants
&
Leisure
.............
46,017,947
46,017,947
Household
Durables
....................
17,755,354
17,755,354
Independent
Power
and
Renewable
Electricity
Producers
..........................
13,149,006
13,149,006
Insurance
............................
23,082,466
23,082,466
Interactive
Media
&
Services
..............
15,103,874
15,103,874
Internet
&
Direct
Marketing
Retail
..........
23,424,107
23,424,107
IT
Services
...........................
14,338,808
14,338,808
Machinery
............................
2,455,910
2,455,910
Media
...............................
44,671,584
44,671,584
Metals
&
Mining
.......................
2,665,388
2,665,388
Multiline
Retail
........................
13,427,305
c
13,427,305
Multi-Utilities
..........................
20,357,232
20,357,232
Oil,
Gas
&
Consumable
Fuels
.............
103,354,024
103,354,024
Paper
&
Forest
Products
.................
12,458,675
12,458,675
Personal
Products
.....................
12,852,348
12,852,348
Pharmaceuticals
.......................
22,434,558
22,434,558
Real
Estate
Management
&
Development
....
2,643,239
2,643,239
Road
&
Rail
..........................
21,742,840
21,742,840
Semiconductors
&
Semiconductor
Equipment
.
14,703,341
14,703,341
Software
.............................
578,433
578,433
Specialty
Retail
........................
6,796,668
6,796,668
Thrifts
&
Mortgage
Finance
...............
18,295,620
18,295,620
Tobacco
.............................
16,272,115
16,272,115
Trading
Companies
&
Distributors
..........
3,665,093
3,665,093
Wireless
Telecommunication
Services
.......
43,619,395
43,619,395
Senior
Floating
Rate
Interests
...............
56,756,637
56,756,637
Marketplace
Loans
......................
25,838,973
25,838,973
Foreign
Government
and
Agency
Securities
....
225,312,527
225,312,527
U.S.
Government
and
Agency
Securities
.......
1,253,061,444
1,253,061,444
Asset-Backed
Securities
:
Airlines
..............................
1,472,511
1,472,511
Commercial
Services
&
Supplies
...........
8,047,401
8,047,401
Diversified
Financial
Services
.............
576,118,059
577,701
576,695,760
Road
&
Rail
..........................
77,858
77,858
Commercial
Mortgage-Backed
Securities
:
Diversified
Financial
Services
.............
14,831,305
14,831,305
Thrifts
&
Mortgage
Finance
...............
368,046
5,996
374,042
Mortgage-Backed
Securities
................
782,311,521
782,311,521
10. Fair
Value
Measurements 
(continued)
Franklin
Investors
Securities
Trust
Notes
to
Statements
of
Investments
(unaudited)
101
Quarterly
Statement
of
Investments
A
reconciliation
of
assets
in
which
Level
3
inputs
are
used
in
determining
fair
value
is
presented
when
there
are
significant
Level
3
financial
instruments
at
the
beginning
and/or
end
of
the
period.
The
reconciliation
for
the
nine
months
ended
July
31,
2021,
is
as
follows:
Level
1
Level
2
Level
3
Total
Franklin
Total
Return
Fund
(continued)
Assets:
(continued)
Investments
in
Securities:
Commercial
Mortgage-Backed
Securities:
Municipal
Bonds
.........................
$
$
251,578,091
$
$
251,578,091
Residential
Mortgage-Backed
Securities
......
420,396,846
420,396,846
Escrows
and
Litigation
Trusts
...............
82,500
c
82,500
Options
purchased
.......................
2,544,427
2,544,427
Short
Term
Investments
...................
241,781,774
3,070,129
244,851,903
Total
Investments
in
Securities
...........
$1,197,502,371
$4,627,768,963
$26,427,185
$5,851,698,519
Other
Financial
Instruments:
Forward
exchange
contracts
...............
1,406,271
1,406,271
Futures
contracts
........................
12,070,545
12,070,545
Swap
contracts
.........................
11,207,698
11,207,698
Total
Other
Financial
Instruments
.........
$12,070,545
$12,613,969
$—
$24,684,514
Liabilities:
Other
Financial
Instruments:
Options
written
..........................
64,714
64,714
Forward
exchange
contracts
................
125,189
125,189
Futures
contracts
........................
2,955,309
2,955,309
Swap
contracts
..........................
11,567,181
11,567,181
Total
Other
Financial
Instruments
.........
$2,955,309
$11,757,084
$—
$14,712,393
a
For
detailed
categories,
see
the
accompanying
Statement
of
Investments.
b
Includes
foreign
securities
valued
at
$27,896,552,
which
were
categorized
as
Level
2
as
a
result
of
the
application
of
market
level
fair
value
procedures.
See
the
Financial
Instrument
Valuation
note
for
more
information.
c
Includes
securities
determined
to
have
no
value
at
July
31,
2021.
d
Includes
foreign
securities
valued
at
$47,923,360,
which
were
categorized
as
Level
2
as
a
result
of
the
application
of
market
level
fair
value
procedures.
See
the
Financial
Instrument
Valuation
note
for
more
information.
Balance
at
Beginning
of
Period
Purchases
a
Sales
b
Transfer
Into
Level
3
c
Transfer
Out
of
Level
3
Net
Accretion
(
Amortiza
-
tion
)
Net
Realized
Gain
(Loss)
Net
Unr
ealized
Appreciatio
n
(
Depreciation
)
Balance
at
End
of
Period
Net
Change
in
Unrealized
Appreciation
(Depreciation)
on
Assets
Held
at
Period
End
a
a
a
a
a
a
a
a
a
a
a
Franklin
Floating
Rate
Daily
Access
Fund
Assets:
Investments
in
Securities:
Common
Stocks
:
Aerospace
&
Defense
.
$
d
$
$
d
$
$
$
$
(73,081,001)
$
73,081,001
$
$
Oil,
Gas
&
Consumable
Fuels
..........
1,460,626
(2,592,340)
731,395
400,319
Paper
&
Forest
Products
18,106,975
11,769,225
29,876,200
11,769,225
Road
&
Rail
.......
d
d
Rights
:
Energy
Equipment
&
Services
........
1,456,589
(37)
1,456,552
(37)
Warrants
:
Machinery
.........
d
1,099
1,099
1,099
10. Fair
Value
Measurements 
(continued)
Franklin
Investors
Securities
Trust
Notes
to
Statements
of
Investments
(unaudited)
102
Quarterly
Statement
of
Investments
Balance
at
Beginning
of
Period
Purchases
a
Sales
b
Transfer
Into
Level
3
c
Transfer
Out
of
Level
3
Net
Accretion
(Amortiza-
tion)
Net
Realized
Gain
(Loss)
Net
Unrealized
Appreciation
(Depreciation)
Balance
at
End
of
Period
Net
Change
in
Unrealized
Appreciation
(Depreciation)
on
Assets
Held
at
Period
End
a
a
a
a
a
a
a
a
a
a
a
Franklin
Floating
Rate
Daily
Access
Fund
(continued)
Assets:
Investments
in
Securities:
Corporate
Bonds
:
Road
&
Rail
.......
$
18,585,180
$
$
$
$
$
1,440,775
$
$
(155,221)
$
19,870,734
$
(155,221)
Senior
Floating
Rate
Interests
:
Household
Products
..
45,517,441
(23,129,450)
8,862
95,091
(16,071,508)
6,420,436
(19,364,107)
Road
&
Rail
.......
14,180,644
(15,430,072)
(166,143)
(509,085)
1,924,656
Escrows
and
Litigation
Trusts
...........
d
(289,347)
289,347
d
Total
Investments
in
Securities
............
$97,850,866
$1,456,589
$(41,441,209)
$—
$—
$1,283,494
$(72,474,253)
$70,949,534
$57,625,021
$(7,749,041)
Franklin
Low
Duration
Total
Return
Fund
Assets:
Investments
in
Securities:
Common
Stocks
:
Aerospace
&
Defense
.
d
(3,690,418)
e
3,690,418
Multiline
Retail
......
d
e
d
Oil,
Gas
&
Consumable
Fuels
..........
(3,827)
e
863
3,696
732
3,696
Paper
&
Forest
Products
367,190
(334,607)
e
(32,583)
Road
&
Rail
.......
d
e
Warrants
:
Oil,
Gas
&
Consumable
Fuels
..........
15
525
540
525
Corporate
Bonds
:
Multiline
Retail
......
1,469
184
(32,225)
30,572
d
30,572
Road
&
Rail
.......
306,219
(341,063)
e
13,291
432
21,121
Senior
Floating
Rate
Interests
:
Household
Products
..
2,874,048
(3,243,529)
e
476
6,810
362,195
Road
&
Rail
.......
233,647
(252,634)
e
326
(37)
18,698
Marketplace
Loans
:
Diversified
Financial
Services
........
27,612,358
16,064,100
(17,731,920)
(1,431,196)
2,261,746
26,775,088
498,818
Asset-Backed
Securities
:
Diversified
Financial
Services
........
(134,141)
e
329,683
(4,593)
43,742
234,691
43,742
Escrows
and
Litigation
Trusts
...........
d
e
d
Total
Investments
in
Securities
............
$31,394,946
$16,064,284
$(25,732,139)
$330,546
$—
$(18,132)
$(1,428,584)
$6,400,130
$27,011,051
$577,353
a
Purchases
include
all
purchases
of
securities
and
securities
received
in
corporate
actions.
b
Sales
include
all
sales
of
securities,
maturities,
paydowns
and
securities
tendered
in
corporate
actions.
c
Transferred
into
level
3
as
a
result
of
the
unavailability
of
a
quoted
market
price
in
an
active
market
for
identical
securities
or
as
a
result
of
the
unreliability
of
the
foreign
exchange
rate
and
other
significant
observable
valuation
inputs.
May
include
amounts
related
to
a
corporate
action.
d
Includes
securities
determined
to
have
no
value.
e
Includes
securities
delivered
as
a
result
of
an
in-kind
transfer.
10. Fair
Value
Measurements 
(continued)
Franklin
Investors
Securities
Trust
Notes
to
Statements
of
Investments
(unaudited)
103
Quarterly
Statement
of
Investments
Significant
unobservable
valuation
inputs
for
material
Level
3
assets
and/or
liabilities
and
impact
to
fair
value
as
a
result
of
changes
in
unobservable
valuation
inputs
as
of
July
31,
2021,
are
as
follows:
Description
Fair
Value
at
End
of
Period
Valuation
Technique
Unobservable
Inputs
Amount
/
Range
(Weighted
Average)
a
Impact
to
Fair
Value
if
Input
Increases
b
Franklin
Floating
Rate
Daily
Access
Fund
Assets:
Investments
in
Securities:
Common
Stocks:
Paper
&
Forest
Products
....
$29,876,200
Discounted
cash
flow
Weighted
average
cost
of
capital
21.3%
Decrease
c
Free
cash
flow
$138.7
mil
Increase
c
Discount
for
lack
of
marketability
6.1%
Decrease
c
Long
term
growth
2.5%
Increase
Corporate
Bonds:
Road
&
Rail
..............
19,870,734
Discounted
cash
flow
Discount
rate
15.5%
Decrease
Free
cash
flow
$19.9
mil
Increase
Senior
Floating
Rate
Interests:
Household
Products
........
6,420,436
Recovery
value
Asset
value
estimate
$14.4
mil
Increase
c
All
other
Investments
..........
1,457,651
d,e
Total
.......................
$57,625,021
Franklin
Low
Duration
Total
Return
Fund
Assets:
Investments
in
Securities:
Marketplace
Loans:
Lending
Club
.............
$9,344,004
Discounted
cash
flow
Loss-Adjusted
Discount
rate
7.2%
Decrease
Projected
Loss
rate
17.6%
Decrease
Lending
Club
LCX
.........
2,872,618
Discounted
cash
flow
Loss-Adjusted
Discount
rate
9.0%
Decrease
Projected
Loss
rate
17.6%
Decrease
Square
Capital
............
13,266,653
Discounted
cash
flow
Loss-Adjusted
Discount
rate
11.1%
Decrease
Projected
Loss
rate
5.3%
Decrease
All
other
investments
..........
1,527,776
d,e
Total
.......................
$27,011,051
a
Weighted
based
on
the
relative
fair
value
of
the
financial
instruments.
b
Represents
the
directional
change
in
the
fair
value
that
would
result
from
a
significant
and
reasonable
increase
in
the
corresponding
input.
A
significant
and
reasonable
decrease
in
the
input
would
have
the
opposite
effect.
Significant
impacts,
if
any,
to
fair
value
and/or
net
assets
have
been
indicated.
c
Represents
a
significant
impact
to
fair
value
and
net
assets.
d
Includes
fair
value
of
immaterial
assets
and/or
liabilities
developed
using
various
valuation
techniques
and
unobservable
inputs.
May
also
include
values
derived
using
private
transaction
prices
or
non-public
third
party
pricing
information
which
is
unobservable.
e
Includes
securities
determined
to
have
no
value
at
July
31,
2021.
10. Fair
Value
Measurements 
(continued)
Franklin
Investors
Securities
Trust
Notes
to
Statements
of
Investments
(unaudited)
104
Quarterly
Statement
of
Investments
11.
Subsequent
Events
The
Funds
have evaluated
subsequent
events
through
the
issuance
of
the
Statements of
Investments
and
determined
that
no
events
have
occurred
that
require
disclosure. 
Abbreviations
Counterparty
BNDP
BNP
Paribas
SA
BOFA
Bank
of
America,
N.A.
BZWS
Barclays
Bank
plc
CITI
Citibank
NA
DBAB
Deutsche
Bank
AG
FBCO
Credit
Suisse
Group
AG
GSCO
Goldman
Sachs
Group,
Inc.
JPHQ
JPMorgan
Chase
Bank
NA
MSCO
Morgan
Stanley
Currency
BRL
Brazilian
Real
DOP
Dominican
Peso
EUR
Euro
USD
United
States
Dollar
UYU
Uruguayan
Peso
Index
MCDX.
NA.Series
number
MCDX
North
America
Index
Selected
Portfolio
ADR
American
Depositary
Receipt
AGMC
Assured
Guaranty
Municipal
Corp.
BZDIOVRA
Brazil
Inter-Bank
Deposit
Rate
CLO
Collateralized
Loan
Obligation
CMT
Constant
Monthly
U.S.
Treasury
Securities
Yield
Curve
Rate
Index
COFI
Cost
of
Funds
Index
ETF
Exchange-Traded
Fund
EURIBOR
Euro
Inter-Bank
Offer
Rate
FHLMC
Federal
Home
Loan
Mortgage
Corp.
FNMA
Federal
National
Mortgage
Association
FRN
Floating
Rate
Note
GDP
Gross
Domestic
Product
GNMA
Government
National
Mortgage
Association
GO
General
Obligation
H15BDI
U.S.
Treasury
Bill
Auction
High
Discount
Rate
LIBOR
London
Inter-Bank
Offered
Rate
MBS
Mortgage-Backed
Security
PIK
Payment-In-Kind
TBA
To-Be-Announced
TBD
To
Be
Determined
T-Note
Treasury
Note
VRI
Value
Recovery
Instrument
For
additional
information
on
the
Funds'
significant
accounting
policies,
please
refer
to
the Funds'
most
recent
semiannual
or
annual
shareholder
report.