UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM N-CSR

 

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-06444

 

 

Legg Mason Partners Investment Trust

(Exact name of registrant as specified in charter)

 

 

620 Eighth Avenue, 47th Floor,

New York, NY 10018

(Address of principal executive offices) (Zip code)

 

 

Marc A. De Oliveira

Franklin Templeton

100 First Stamford Place

Stamford, CT 06902

(Name and address of agent for service)

 

 

Registrant’s telephone number, including area code: 877-6LM-FUND/656-3863

Date of fiscal year end: September 30

Date of reporting period: March 31, 2022

 

 

 


ITEM 1. REPORT TO STOCKHOLDERS.

The Semi-Annual Report to Stockholders is filed herewith.


LOGO

 

Semi-Annual Report   March 31, 2022

FRANKLIN

S&P 500 INDEX FUND

 

 

 

INVESTMENT PRODUCTS: NOT FDIC INSURED • NO BANK GUARANTEE • MAY LOSE VALUE


What’s inside      
Letter from the president     II  
Performance review     III  
Fund at a glance     1  
Fund expenses     2  
Schedule of investments     4  
Statement of assets and liabilities     21  
Statement of operations     22  
Statements of changes in net assets     23  
Financial highlights     24  
Notes to financial statements     26  
Statement regarding liquidity risk management program     38  

“Standard & Poor’s®”, “S&P®”, “S&P 500®”, “Standard & Poor’s 500” and “500” are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by Legg Mason Partners Fund Advisor, LLC (“LMPFA”). The Fund is not sponsored, endorsed, sold or promoted by Standard & Poor’s and Standard & Poor’s makes no representation regarding the advisability of investing in the Fund.

Fund objective

The Fund seeks to provide investment results that, before fees and expenses, correspond to the price and yield performance of the S&P 500® Index.

 

Letter from the president

 

LOGO

Dear Shareholder,

We are pleased to provide the semi-annual report of Franklin S&P 500 Index Fund for the six-month reporting period ended March 31, 2022. Please read on for Fund performance information during the Fund’s reporting period.

As always, we remain committed to providing you with excellent service and a full spectrum of investment choices. We also remain committed to supplementing the support you receive from your financial advisor. One way we accomplish this is through our website, www.franklintempleton.com. Here you can gain immediate access to market and investment information, including:

 

 

Fund prices and performance,

 

 

Market insights and commentaries from our portfolio managers, and

 

 

A host of educational resources.

We look forward to helping you meet your financial goals.

Sincerely,

 

LOGO

Jane Trust, CFA

President and Chief Executive Officer

April 29, 2022

 

II    Franklin S&P 500 Index Fund


Performance review

 

For the six months ended March 31, 2022, Class A shares of Franklin S&P 500 Index Fund returned 5.66%. The Fund’s unmanaged benchmark, the S&P 500 Indexi, returned 5.92% for the same period. The Lipper S&P 500 Index Funds Category Averageii returned 5.68% over the same time frame.

 

Performance Snapshot as of March 31, 2022
(unaudited)
 
      6 months  
Franklin S&P 500 Index Fund:   

Class A

     5.66

Class D

     5.75
S&P 500 Index      5.92
Lipper S&P 500 Index Funds Category Average      5.68

The performance shown represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above. Principal value and investment returns will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, please visit our website at www.franklintempleton.com.

All share class returns assume the reinvestment of all distributions, including returns of capital, if any, at net asset value and the deduction of all Fund expenses. Returns have not been adjusted to include sales charges that may apply or the deduction of taxes that a shareholder would pay on Fund distributions. If sales charges were reflected, the performance quoted would be lower. Performance figures for periods shorter than one year represent cumulative figures and are not annualized.

Fund performance figures reflect fee waivers and/or expense reimbursements, without which the performance would have been lower.

 

Total Annual Operating Expenses (unaudited)

As of the Fund’s current prospectus dated January 28, 2022, the gross total annual fund operating expense ratios for Class A and Class D shares were 0.59% and 0.40%, respectively.

Actual expenses may be higher. For example, expenses may be higher than those shown if average net assets decrease. Net assets are more likely to decrease and Fund expense ratios are more likely to increase when markets are volatile.

As a result of expense limitation arrangements, the ratio of total annual fund operating expenses, other than interest, brokerage, taxes, extraordinary expenses and acquired fund fees and expenses, to average net assets will not exceed 0.59% for Class A shares and 0.39% for Class D shares. These expense limitation arrangements cannot be terminated prior to December 31, 2023 without the Board of Trustees’ consent.

The manager is permitted to recapture amounts waived and/or reimbursed to a class during the same fiscal year if the class’ total annual fund operating expenses have fallen to a level below the expense limitation (“expense cap”) in effect at the time the fees were earned, or the expenses incurred. In no case will the manager recapture any amount that would result, on any particular

 

Franklin S&P 500 Index Fund   III


Performance review (cont’d)

 

business day of the Fund, in the class’ total annual fund operating expenses exceeding the expense cap or any other lower limit then in effect.

As always, thank you for your confidence in our stewardship of your assets.

Sincerely,

 

LOGO

Jane Trust, CFA

President and Chief Executive Officer

April 29, 2022

RISKS: Stock prices are subject to market fluctuations. The Fund normally buys or sells a portfolio security only to reflect additions or deletions of stocks that comprise the S&P 500 Index or to adjust for relative weightings. The Fund does not mirror the S&P 500 Index exactly because, unlike the S&P 500 Index, the Fund must maintain a portion of its assets in cash and liquid short-term securities to meet redemption requests and pay the Fund’s expenses. The Fund’s performance will be influenced by political, social and economic factors affecting investments in companies in foreign countries. The Fund may use derivatives, such as futures and options on securities or securities indexes and options on futures, which can be illiquid, may disproportionately increase losses, and have a potentially large impact on Fund performance. Please see the Fund’s prospectus for a more complete discussion of these and other risks and the Fund’s investment strategies.

All investments are subject to risk including the possible loss of principal. Past performance is no guarantee of future results. All index performance reflects no deduction for fees, expenses or taxes. Please note that an investor cannot invest directly in an index.

 

i 

The S&P 500 Index is an unmanaged index of the stocks of 500 leading companies, and is generally representative of the performance of larger companies in the U.S.

 

ii

Lipper, Inc., a wholly-owned subsidiary of Refinitiv, provides independent insight on global collective investments. Returns are based on the six-month period ended March 31, 2022, including the reinvestment of all distributions, including returns of capital, if any, calculated among the 116 funds in the Fund’s Lipper category, if any.

 

IV    Franklin S&P 500 Index Fund


Fund at a glance (unaudited)

 

Investment breakdown (%) as a percent of total investments

 

 

LOGO

 

The bar graph above represents the composition of the Fund’s investments as of March 31, 2022 and September 30, 2021 and does not include derivatives, such as futures contracts. The composition of the Fund’s investments is subject to change at any time.

 

Franklin S&P 500 Index Fund 2022 Semi-Annual Report       1  


Fund expenses (unaudited)

 

Example

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees; service and/or distribution (12b-1) fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

This example is based on an investment of $1,000 invested on October 1, 2021 and held for the six months ended March 31, 2022.

Actual expenses

The table below titled “Based on Actual Total Return” provides information about actual account values and actual expenses. You may use the information provided in this table, together with the amount you invested, to estimate the expenses that you paid over the period. To estimate the expenses you paid on your account, divide your ending account value by $1,000 (for example, an $8,600 ending account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Expenses Paid During the Period”.

Hypothetical example for comparison purposes

The table below titled “Based on Hypothetical Total Return” provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5.00% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use the information provided in this table to compare the ongoing costs of investing in the Fund and other funds. To do so, compare the 5.00% hypothetical example relating to the Fund with the 5.00% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table below are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.

 

  Based on actual total return1           Based on hypothetical total return1  
     Actual
Total
Return2
    Beginning
Account
Value
    Ending
Account
Value
    Annualized
Expense
Ratio
   

Expenses
Paid
During
the
Period3

               Hypothetical
Annualized
Total Return
    Beginning
Account
Value
    Ending
Account
Value
    Annualized
Expense
Ratio
    Expenses
Paid
During
the
Period3
 
Class A     5.66   $ 1,000.00     $ 1,056.60       0.59   $ 3.03       Class A     5.00   $ 1,000.00     $ 1,021.99       0.59   $ 2.97  
Class D     5.75       1,000.00       1,057.50       0.39       2.00       Class D     5.00       1,000.00       1,022.99       0.39       1.97  

 

2     Franklin S&P 500 Index Fund 2022 Semi-Annual Report


 

1 

For the six months ended March 31, 2022.

 

2 

Assumes the reinvestment of all distributions, including returns of capital, if any, at net asset value. Total return is not annualized, as it may not be representative of the total return for the year. Performance figures may reflect compensating balance arrangements, fee waivers and/or expense reimbursements. In the absence of compensating balance arrangements, fee waivers and/or expense reimbursements, the total return would have been lower. Past performance is no guarantee of future results.

 

3 

Expenses (net of compensating balance arrangements, fee waivers and/or expense reimbursements) are equal to each class’ respective annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (182), then divided by 365.

 

Franklin S&P 500 Index Fund 2022 Semi-Annual Report       3  


Schedule of investments (unaudited)

March 31, 2022

 

Franklin S&P 500 Index Fund

(Percentages shown based on Fund net assets)

 

Security                 Shares     Value  
Common Stocks — 99.0%                                
Communication Services — 9.3%                                

Diversified Telecommunication Services — 1.0%

                               

AT&T Inc.

                    66,329     $ 1,567,354  

Lumen Technologies Inc.

                    8,584       96,742  

Verizon Communications Inc.

                    39,076       1,990,531  

Total Diversified Telecommunication Services

                            3,654,627  

Entertainment — 1.4%

                               

Activision Blizzard Inc.

                    7,239       579,916  

Electronic Arts Inc.

                    2,630       332,721  

Live Nation Entertainment Inc.

                    1,244       146,344  

Netflix Inc.

                    4,145       1,552,676  

Take-Two Interactive Software Inc.

                    1,073       164,963  

Walt Disney Co.

                    16,965       2,326,920  

Total Entertainment

                            5,103,540  

Interactive Media & Services — 5.7%

                               

Alphabet Inc., Class A Shares

                    2,803       7,796,124  

Alphabet Inc., Class C Shares

                    2,588       7,228,258  

Match Group Inc.

                    2,632       286,204  

Meta Platforms Inc., Class A Shares

                    21,519       4,784,965  

Twitter Inc.

                    7,434       287,621  

Total Interactive Media & Services

                            20,383,172  

Media — 1.0%

                               

Charter Communications Inc., Class A Shares

                    1,107       603,891  

Comcast Corp., Class A Shares

                    42,108       1,971,497  

Discovery Inc., Class A Shares

                    1,709       42,588  

Discovery Inc., Class C Shares

                    3,031       75,684  

DISH Network Corp., Class A Shares

                    2,268       71,782  

Fox Corp., Class A Shares

                    3,060       120,717  

Fox Corp., Class B Shares

                    1,359       49,304  

Interpublic Group of Cos. Inc.

                    3,695       130,988  

News Corp., Class A Shares

                    3,816       84,524  

News Corp., Class B Shares

                    1,153       25,966  

Omnicom Group Inc.

                    1,979       167,977  

Paramount Global, Class B Shares

                    5,633       212,984  

Total Media

                            3,557,902  

Wireless Telecommunication Services — 0.2%

                               

T-Mobile US Inc.

                    5,474       702,588  * 

Total Communication Services

                            33,401,829  

 

See Notes to Financial Statements.

 

4     Franklin S&P 500 Index Fund 2022 Semi-Annual Report


Franklin S&P 500 Index Fund

(Percentages shown based on Fund net assets)

 

Security                    Shares      Value  
Consumer Discretionary — 11.9%                                    

Auto Components — 0.1%

                                   

Aptiv PLC

                       2,512      $ 300,712  

BorgWarner Inc.

                       2,219        86,319  

Total Auto Components

                                387,031  

Automobiles — 2.7%

                                   

Ford Motor Co.

                       36,487        616,995  

General Motors Co.

                       13,490        590,053  

Tesla Inc.

                       7,801        8,406,357  

Total Automobiles

                                9,613,405  

Distributors — 0.1%

                                   

Genuine Parts Co.

                       1,320        166,347  

LKQ Corp.

                       2,557        116,113  

Pool Corp.

                       373        157,723  

Total Distributors

                                440,183  

Hotels, Restaurants & Leisure — 1.9%

                                   

Booking Holdings Inc.

                       384        901,805  

Caesars Entertainment Inc.

                       2,053        158,820  

Carnival Corp.

                       7,540        152,459  

Chipotle Mexican Grill Inc.

                       265        419,238  

Darden Restaurants Inc.

                       1,184        157,413  

Domino’s Pizza Inc.

                       335        136,348  

Expedia Group Inc.

                       1,411        276,090  

Hilton Worldwide Holdings Inc.

                       2,614        396,648  

Las Vegas Sands Corp.

                       3,335        129,631  

Marriott International Inc., Class A Shares

                       2,532        444,999  

McDonald’s Corp.

                       6,949        1,718,349  

MGM Resorts International

                       3,412        143,099  

Norwegian Cruise Line Holdings Ltd.

                       3,920        85,770  

Penn National Gaming Inc.

                       1,512        64,139  

Royal Caribbean Cruises Ltd.

                       2,087        174,849  

Starbucks Corp.

                       10,710        974,289  

Wynn Resorts Ltd.

                       1,005        80,139  

Yum! Brands Inc.

                       2,729        323,468  

Total Hotels, Restaurants & Leisure

                                6,737,553  

Household Durables — 0.3%

                                   

DR Horton Inc.

                       3,019        224,946  

Garmin Ltd.

                       1,408        167,003  

Lennar Corp., Class A Shares

                       2,407        195,376  

Mohawk Industries Inc.

                       511        63,466  

Newell Brands Inc.

                       3,727        79,795  

 

See Notes to Financial Statements.

 

Franklin S&P 500 Index Fund 2022 Semi-Annual Report       5  


Schedule of investments (unaudited) (cont’d)

March 31, 2022

 

Franklin S&P 500 Index Fund

(Percentages shown based on Fund net assets)

 

Security                 Shares     Value  

Household Durables — continued

                               

NVR Inc.

                    30     $ 134,018  

PulteGroup Inc.

                    2,353       98,591  

Whirlpool Corp.

                    561       96,930  

Total Household Durables

                            1,060,125  

Internet & Direct Marketing Retail — 3.8%

                               

Amazon.com Inc.

                    4,078       13,294,076  

eBay Inc.

                    5,803       332,280  

Etsy Inc.

                    1,173       145,780  

Total Internet & Direct Marketing Retail

                            13,772,136  

Leisure Products — 0.0%††

                               

Hasbro Inc.

                    1,207       98,878  

Multiline Retail — 0.5%

                               

Dollar General Corp.

                    2,168       482,662  

Dollar Tree Inc.

                    2,090       334,713  

Target Corp.

                    4,463       947,138  

Total Multiline Retail

                            1,764,513  

Specialty Retail — 1.9%

                               

Advance Auto Parts Inc.

                    585       121,072  

AutoZone Inc.

                    193       394,604  

Bath & Body Works Inc.

                    2,457       117,445  

Best Buy Co. Inc.

                    2,025       184,072  

CarMax Inc.

                    1,506       145,299  

Home Depot Inc.

                    9,728       2,911,882  

Lowe’s Cos. Inc.

                    6,276       1,268,944  

O’Reilly Automotive Inc.

                    632       432,895  

Ross Stores Inc.

                    3,293       297,885  

TJX Cos. Inc.

                    11,165       676,376  

Tractor Supply Co.

                    1,058       246,905  

Ulta Beauty Inc.

                    492       195,924  

Total Specialty Retail

                            6,993,303  

Textiles, Apparel & Luxury Goods — 0.6%

                               

NIKE Inc., Class B Shares

                    11,872       1,597,496  

PVH Corp.

                    676       51,788  

Ralph Lauren Corp.

                    413       46,851  

Tapestry Inc.

                    2,510       93,247  

Under Armour Inc., Class A Shares

                    1,757       29,904  

Under Armour Inc., Class C Shares

                    1,710       26,608  

VF Corp.

                    3,026       172,058  

Total Textiles, Apparel & Luxury Goods

                            2,017,952  

Total Consumer Discretionary

                            42,885,079  

 

See Notes to Financial Statements.

 

6     Franklin S&P 500 Index Fund 2022 Semi-Annual Report


Franklin S&P 500 Index Fund

(Percentages shown based on Fund net assets)

 

Security                 Shares     Value  
Consumer Staples — 6.0%                                

Beverages — 1.5%

                               

Brown-Forman Corp., Class B Shares

                    1,676     $ 112,326  

Coca-Cola Co.

                    36,290       2,249,980  

Constellation Brands Inc., Class A Shares

                    1,529       352,159  

Molson Coors Beverage Co., Class B Shares

                    1,712       91,387  

Monster Beverage Corp.

                    3,495       279,250  

PepsiCo Inc.

                    12,910       2,160,876  

Total Beverages

                            5,245,978  

Food & Staples Retailing — 1.5%

                               

Costco Wholesale Corp.

                    4,135       2,381,140  

Kroger Co.

                    6,147       352,653  

Sysco Corp.

                    4,763       388,899  

Walgreens Boots Alliance Inc.

                    6,601       295,527  

Walmart Inc.

                    13,208       1,966,935  

Total Food & Staples Retailing

                            5,385,154  

Food Products — 0.9%

                               

Archer-Daniels-Midland Co.

                    5,196       468,991  

Campbell Soup Co.

                    1,906       84,950  

Conagra Brands Inc.

                    4,344       145,828  

General Mills Inc.

                    5,609       379,841  

Hershey Co.

                    1,363       295,267  

Hormel Foods Corp.

                    2,729       140,653  

JM Smucker Co.

                    997       135,004  

Kellogg Co.

                    2,374       153,099  

Kraft Heinz Co.

                    6,665       262,534  

Lamb Weston Holdings Inc.

                    1,304       78,123  

McCormick & Co. Inc., Non Voting Shares

                    2,284       227,943  

Mondelez International Inc., Class A Shares

                    12,996       815,889  

Tyson Foods Inc., Class A Shares

                    2,739       245,497  

Total Food Products

                            3,433,619  

Household Products — 1.3%

                               

Church & Dwight Co. Inc.

                    2,286       227,183  

Clorox Co.

                    1,135       157,799  

Colgate-Palmolive Co.

                    7,790       590,716  

Kimberly-Clark Corp.

                    3,120       384,259  

Procter & Gamble Co.

                    22,320       3,410,496  

Total Household Products

                            4,770,453  

Personal Products — 0.2%

                               

Estee Lauder Cos. Inc., Class A Shares

                    2,166       589,845  

 

See Notes to Financial Statements.

 

Franklin S&P 500 Index Fund 2022 Semi-Annual Report       7  


Schedule of investments (unaudited) (cont’d)

March 31, 2022

 

Franklin S&P 500 Index Fund

(Percentages shown based on Fund net assets)

 

Security                 Shares     Value  

Tobacco — 0.6%

                               

Altria Group Inc.

                    17,077     $ 892,273  

Philip Morris International Inc.

                    14,423       1,354,897  

Total Tobacco

                            2,247,170  

Total Consumer Staples

                            21,672,219  
Energy — 3.8%                                

Energy Equipment & Services — 0.3%

                               

Baker Hughes Co.

                    8,535       310,759  

Halliburton Co.

                    8,235       311,860  

Schlumberger NV

                    13,139       542,772  

Total Energy Equipment & Services

                            1,165,391  

Oil, Gas & Consumable Fuels — 3.5%

                               

APA Corp.

                    3,374       139,447  

Chevron Corp.

                    18,003       2,931,428  

ConocoPhillips

                    12,135       1,213,500  

Coterra Energy Inc.

                    7,523       202,895  

Devon Energy Corp.

                    5,846       345,674  

Diamondback Energy Inc.

                    1,580       216,586  

EOG Resources Inc.

                    5,425       646,823  

Exxon Mobil Corp.

                    39,504       3,262,635  

Hess Corp.

                    2,599       278,197  

Kinder Morgan Inc.

                    18,437       348,644  

Marathon Oil Corp.

                    7,113       178,607  

Marathon Petroleum Corp.

                    5,405       462,128  

Occidental Petroleum Corp.

                    8,243       467,708  

ONEOK Inc.

                    4,138       292,267  

Phillips 66

                    4,359       376,574  

Pioneer Natural Resources Co.

                    2,096       524,063  

Valero Energy Corp.

                    3,794       385,243  

Williams Cos. Inc.

                    11,468       383,146  

Total Oil, Gas & Consumable Fuels

                            12,655,565  

Total Energy

                            13,820,956  
Financials — 11.0%                                

Banks — 3.8%

                               

Bank of America Corp.

                    66,296       2,732,721  

Citigroup Inc.

                    18,447       985,070  

Citizens Financial Group Inc.

                    3,968       179,869  

Comerica Inc.

                    1,200       108,516  

Fifth Third Bancorp

                    6,329       272,400  

First Republic Bank

                    1,667       270,221  

Huntington Bancshares Inc.

                    13,449       196,624  

 

See Notes to Financial Statements.

 

8     Franklin S&P 500 Index Fund 2022 Semi-Annual Report


Franklin S&P 500 Index Fund

(Percentages shown based on Fund net assets)

 

Security                 Shares     Value  

Banks — continued

                               

JPMorgan Chase & Co.

                    27,548     $ 3,755,343  

KeyCorp

                    8,654       193,677  

M&T Bank Corp.

                    1,175       199,163  

People’s United Financial Inc.

                    3,768       75,322  

PNC Financial Services Group Inc.

                    3,927       724,335  

Regions Financial Corp.

                    8,561       190,568  

Signature Bank

                    597       175,214  

SVB Financial Group

                    546       305,460  

Truist Financial Corp.

                    12,409       703,590  

US Bancorp

                    12,543       666,660  

Wells Fargo & Co.

                    36,273       1,757,790  

Zions Bancorp NA

                    1,452       95,193  

Total Banks

                            13,587,736  

Capital Markets — 2.9%

                               

Ameriprise Financial Inc.

                    1,037       311,473  

Bank of New York Mellon Corp.

                    6,864       340,660  

BlackRock Inc.

                    1,323       1,010,997  

Cboe Global Markets Inc.

                    996       113,962  

Charles Schwab Corp.

                    13,973       1,178,064  

CME Group Inc.

                    3,343       795,166  

FactSet Research Systems Inc.

                    350       151,953  

Franklin Resources Inc.

                    2,658       74,211  (a)  

Goldman Sachs Group Inc.

                    3,155       1,041,466  

Intercontinental Exchange Inc.

                    5,239       692,177  

Invesco Ltd.

                    3,260       75,176  

MarketAxess Holdings Inc.

                    357       121,451  

Moody’s Corp.

                    1,495       504,428  

Morgan Stanley

                    13,223       1,155,690  

MSCI Inc.

                    767       385,709  

Nasdaq Inc.

                    1,080       192,456  

Northern Trust Corp.

                    1,925       224,166  

Raymond James Financial Inc.

                    1,788       196,519  

S&P Global Inc.

                    3,304       1,355,235  

State Street Corp.

                    3,389       295,250  

T. Rowe Price Group Inc.

                    2,160       326,570  

Total Capital Markets

                            10,542,779  

Consumer Finance — 0.6%

                               

American Express Co.

                    5,736       1,072,632  

Capital One Financial Corp.

                    3,864       507,305  

 

See Notes to Financial Statements.

 

Franklin S&P 500 Index Fund 2022 Semi-Annual Report       9  


Schedule of investments (unaudited) (cont’d)

March 31, 2022

 

Franklin S&P 500 Index Fund

(Percentages shown based on Fund net assets)

 

Security                 Shares     Value  

Consumer Finance — continued

                               

Discover Financial Services

                    2,726     $ 300,378  

Synchrony Financial

                    4,813       167,540  

Total Consumer Finance

                            2,047,855  

Diversified Financial Services — 1.7%

                               

Berkshire Hathaway Inc., Class B Shares

                    17,060       6,020,644  * 

Insurance — 2.0%

                               

Aflac Inc.

                    5,570       358,652  

Allstate Corp.

                    2,580       357,356  

American International Group Inc.

                    7,715       484,271  

Aon PLC, Class A Shares

                    2,001       651,586  

Arthur J Gallagher & Co.

                    1,931       337,153  

Assurant Inc.

                    545       99,097  

Brown & Brown Inc.

                    2,191       158,344  

Chubb Ltd.

                    4,000       855,600  

Cincinnati Financial Corp.

                    1,395       189,664  

Everest Re Group Ltd.

                    365       110,004  

Globe Life Inc.

                    855       86,013  

Hartford Financial Services Group Inc.

                    3,156       226,632  

Lincoln National Corp.

                    1,573       102,811  

Loews Corp.

                    1,749       113,370  

Marsh & McLennan Cos. Inc.

                    4,695       800,122  

MetLife Inc.

                    6,554       460,615  

Principal Financial Group Inc.

                    2,287       167,889  

Progressive Corp.

                    5,459       622,271  

Prudential Financial Inc.

                    3,507       414,422  

Travelers Cos. Inc.

                    2,225       406,574  

Willis Towers Watson PLC

                    1,143       270,000  

WR Berkley Corp.

                    2,019       134,445  

Total Insurance

                            7,406,891  

Total Financials

                            39,605,905  
Health Care — 13.5%                                

Biotechnology — 1.9%

                               

AbbVie Inc.

                    16,492       2,673,518  

Amgen Inc.

                    5,230       1,264,719  

Biogen Inc.

                    1,358       285,995  

Gilead Sciences Inc.

                    11,704       695,803  

Incyte Corp.

                    1,765       140,176  

Moderna Inc.

                    3,275       564,152  

 

See Notes to Financial Statements.

 

10     Franklin S&P 500 Index Fund 2022 Semi-Annual Report


Franklin S&P 500 Index Fund

(Percentages shown based on Fund net assets)

 

Security                 Shares     Value  

Biotechnology — continued

                               

Regeneron Pharmaceuticals Inc.

                    996     $ 695,626  

Vertex Pharmaceuticals Inc.

                    2,354       614,323  

Total Biotechnology

                            6,934,312  

Health Care Equipment & Supplies — 2.9%

                               

Abbott Laboratories

                    16,515       1,954,715  

ABIOMED Inc.

                    423       140,115  

Align Technology Inc.

                    689       300,404  

Baxter International Inc.

                    4,730       366,764  

Becton Dickinson and Co.

                    2,655       706,230  

Boston Scientific Corp.

                    13,242       586,488  

Cooper Cos. Inc.

                    462       192,927  

DENTSPLY SIRONA Inc.

                    2,099       103,313  

Dexcom Inc.

                    914       467,602  

Edwards Lifesciences Corp.

                    5,784       680,892  

Hologic Inc.

                    2,353       180,757  

IDEXX Laboratories Inc.

                    788       431,083  

Intuitive Surgical Inc.

                    3,317       1,000,673  

Medtronic PLC

                    12,500       1,386,875  

ResMed Inc.

                    1,354       328,359  

STERIS PLC

                    928       224,363  

Stryker Corp.

                    3,118       833,597  

Teleflex Inc.

                    423       150,093  

Zimmer Biomet Holdings Inc.

                    1,935       247,487  

Total Health Care Equipment & Supplies

                            10,282,737  

Health Care Providers & Services — 3.0%

                               

AmerisourceBergen Corp.

                    1,410       218,141  

Anthem Inc.

                    2,263       1,111,631  

Cardinal Health Inc.

                    2,619       148,497  

Centene Corp.

                    5,420       456,310  

Cigna Corp.

                    3,011       721,466  

CVS Health Corp.

                    12,244       1,239,215  

DaVita Inc.

                    603       68,205  

HCA Healthcare Inc.

                    2,224       557,379  

Henry Schein Inc.

                    1,268       110,557  

Humana Inc.

                    1,206       524,815  

Laboratory Corp. of America Holdings

                    850       224,111  

McKesson Corp.

                    1,384       423,684  

Molina Healthcare Inc.

                    547       182,474  

Quest Diagnostics Inc.

                    1,119       153,146  

 

See Notes to Financial Statements.

 

Franklin S&P 500 Index Fund 2022 Semi-Annual Report       11  


Schedule of investments (unaudited) (cont’d)

March 31, 2022

 

Franklin S&P 500 Index Fund

(Percentages shown based on Fund net assets)

 

Security                 Shares     Value  

Health Care Providers & Services — continued

                               

UnitedHealth Group Inc.

                    8,777     $ 4,476,007  

Universal Health Services Inc., Class B Shares

                    676       97,986  

Total Health Care Providers & Services

                            10,713,624  

Health Care Technology — 0.1%

                               

Cerner Corp.

                    2,738       256,167  

Life Sciences Tools & Services — 1.8%

                               

Agilent Technologies Inc.

                    2,812       372,112  

Bio-Rad Laboratories Inc., Class A Shares

                    201       113,209  

Bio-Techne Corp.

                    365       158,060  

Charles River Laboratories International Inc.

                    480       136,306  

Danaher Corp.

                    5,946       1,744,140  

Illumina Inc.

                    1,452       507,329  

IQVIA Holdings Inc.

                    1,764       407,854  

Mettler-Toledo International Inc.

                    214       293,863  

PerkinElmer Inc.

                    1,172       204,467  

Thermo Fisher Scientific Inc.

                    3,679       2,173,001  

Waters Corp.

                    578       179,405  

West Pharmaceutical Services Inc.

                    688       282,569  

Total Life Sciences Tools & Services

                            6,572,315  

Pharmaceuticals — 3.8%

                               

Bristol-Myers Squibb Co.

                    20,319       1,483,896  

Catalent Inc.

                    1,623       179,991  

Eli Lilly & Co.

                    7,381       2,113,697  

Johnson & Johnson

                    24,526       4,346,743  

Merck & Co. Inc.

                    23,594       1,935,888  

Organon & Co.

                    2,414       84,321  

Pfizer Inc.

                    52,338       2,709,538  

Viatris Inc.

                    11,439       124,456  

Zoetis Inc.

                    4,393       828,476  

Total Pharmaceuticals

                            13,807,006  

Total Health Care

                            48,566,161  
Industrials — 7.8%                                

Aerospace & Defense — 1.6%

                               

Boeing Co.

                    5,079       972,628  

General Dynamics Corp.

                    2,154       519,502  

Howmet Aerospace Inc.

                    3,589       128,989  

Huntington Ingalls Industries Inc.

                    381       75,987  

L3Harris Technologies Inc.

                    1,824       453,209  

Lockheed Martin Corp.

                    2,251       993,591  

Northrop Grumman Corp.

                    1,356       606,430  

 

See Notes to Financial Statements.

 

12     Franklin S&P 500 Index Fund 2022 Semi-Annual Report


Franklin S&P 500 Index Fund

(Percentages shown based on Fund net assets)

 

Security                 Shares     Value  

Aerospace & Defense — continued

                               

Raytheon Technologies Corp.

                    13,911     $ 1,378,163  

Textron Inc.

                    2,115       157,314  

TransDigm Group Inc.

                    487       317,300  

Total Aerospace & Defense

                            5,603,113  

Air Freight & Logistics — 0.6%

                               

CH Robinson Worldwide Inc.

                    1,165       125,482  

Expeditors International of Washington Inc.

                    1,576       162,580  

FedEx Corp.

                    2,272       525,718  

United Parcel Service Inc., Class B Shares

                    6,790       1,456,184  

Total Air Freight & Logistics

                            2,269,964  

Airlines — 0.2%

                               

Alaska Air Group Inc.

                    1,196       69,380  

American Airlines Group Inc.

                    5,772       105,339  

Delta Air Lines Inc.

                    5,993       237,143  

Southwest Airlines Co.

                    5,592       256,113  

United Airlines Holdings Inc.

                    3,136       145,385  

Total Airlines

                            813,360  

Building Products — 0.4%

                               

Allegion PLC

                    828       90,898  

AO Smith Corp.

                    1,292       82,546  

Carrier Global Corp.

                    8,058       369,620  

Fortune Brands Home & Security Inc.

                    1,264       93,890  

Johnson Controls International PLC

                    6,582       431,582  

Masco Corp.

                    2,294       116,994  

Trane Technologies PLC

                    2,196       335,329  

Total Building Products

                            1,520,859  

Commercial Services & Supplies — 0.4%

                               

Cintas Corp.

                    817       347,544  

Copart Inc.

                    1,973       247,552  

Republic Services Inc.

                    1,950       258,375  

Rollins Inc.

                    2,257       79,108  

Waste Management Inc.

                    3,575       566,637  

Total Commercial Services & Supplies

                            1,499,216  

Construction & Engineering — 0.1%

                               

Quanta Services Inc.

                    1,326       174,515  

Electrical Equipment — 0.5%

                               

AMETEK Inc.

                    2,165       288,335  

Eaton Corp. PLC

                    3,713       563,485  

Emerson Electric Co.

                    5,547       543,883  

 

See Notes to Financial Statements.

 

Franklin S&P 500 Index Fund 2022 Semi-Annual Report       13  


Schedule of investments (unaudited) (cont’d)

March 31, 2022

 

Franklin S&P 500 Index Fund

(Percentages shown based on Fund net assets)

 

Security                 Shares     Value  

Electrical Equipment — continued

                               

Generac Holdings Inc.

                    586     $ 174,194  

Rockwell Automation Inc.

                    1,088       304,673  

Total Electrical Equipment

                            1,874,570  

Industrial Conglomerates — 1.0%

                               

3M Co.

                    5,338       794,722  

General Electric Co.

                    10,202       933,483  

Honeywell International Inc.

                    6,393       1,243,950  

Roper Technologies Inc.

                    980       462,785  

Total Industrial Conglomerates

                            3,434,940  

Machinery — 1.5%

                               

Caterpillar Inc.

                    5,025       1,119,670  

Cummins Inc.

                    1,329       272,591  

Deere & Co.

                    2,622       1,089,336  

Dover Corp.

                    1,332       208,991  

Fortive Corp.

                    3,346       203,872  

IDEX Corp.

                    688       131,910  

Illinois Tool Works Inc.

                    2,685       562,239  

Ingersoll Rand Inc.

                    3,787       190,675  

Nordson Corp.

                    500       113,540  

Otis Worldwide Corp.

                    4,001       307,877  

PACCAR Inc.

                    3,223       283,850  

Parker-Hannifin Corp.

                    1,197       339,661  

Pentair PLC

                    1,489       80,719  

Snap-on Inc.

                    500       102,740  

Stanley Black & Decker Inc.

                    1,510       211,083  

Westinghouse Air Brake Technologies Corp.

                    1,733       166,663  

Xylem Inc.

                    1,660       141,531  

Total Machinery

                            5,526,948  

Professional Services — 0.3%

                               

Equifax Inc.

                    1,134       268,872  

Jacobs Engineering Group Inc.

                    1,212       167,026  

Leidos Holdings Inc.

                    1,313       141,830  

Nielsen Holdings PLC

                    3,464       94,359  

Robert Half International Inc.

                    977       111,554  

Verisk Analytics Inc.

                    1,526       327,525  

Total Professional Services

                            1,111,166  

Road & Rail — 1.0%

                               

CSX Corp.

                    20,585       770,908  

J.B. Hunt Transport Services Inc.

                    784       157,419  

Norfolk Southern Corp.

                    2,220       633,189  

 

See Notes to Financial Statements.

 

14     Franklin S&P 500 Index Fund 2022 Semi-Annual Report


Franklin S&P 500 Index Fund

(Percentages shown based on Fund net assets)

 

Security                 Shares     Value  

Road & Rail — continued

                               

Old Dominion Freight Line Inc.

                    853     $ 254,774  

Union Pacific Corp.

                    5,943       1,623,687  

Total Road & Rail

                            3,439,977  

Trading Companies & Distributors — 0.2%

                               

Fastenal Co.

                    5,412       321,473  

United Rentals Inc.

                    664       235,859  

W.W. Grainger Inc.

                    401       206,832  

Total Trading Companies & Distributors

                            764,164  

Total Industrials

                            28,032,792  
Information Technology — 27.7%                                

Communications Equipment — 0.9%

                               

Arista Networks Inc.

                    2,087       290,051  

Cisco Systems Inc.

                    39,368       2,195,160  

F5 Inc.

                    562       117,430  

Juniper Networks Inc.

                    3,087       114,713  

Motorola Solutions Inc.

                    1,569       380,012  

Total Communications Equipment

                            3,097,366  

Electronic Equipment, Instruments & Components — 0.6%

                               

Amphenol Corp., Class A Shares

                    5,550       418,192  

CDW Corp.

                    1,264       226,117  

Corning Inc.

                    6,960       256,893  

IPG Photonics Corp.

                    314       34,465  

Keysight Technologies Inc.

                    1,712       270,445  

TE Connectivity Ltd.

                    3,063       401,192  

Teledyne Technologies Inc.

                    433       204,649  

Trimble Inc.

                    2,320       167,365  

Zebra Technologies Corp., Class A Shares

                    497       205,609  

Total Electronic Equipment, Instruments & Components

                            2,184,927  

IT Services — 4.2%

                               

Accenture PLC, Class A Shares

                    5,891       1,986,622  

Akamai Technologies Inc.

                    1,511       180,398  

Automatic Data Processing Inc.

                    3,924       892,867  

Broadridge Financial Solutions Inc.

                    1,112       173,150  

Cognizant Technology Solutions Corp., Class A Shares

                    4,941       443,059  

DXC Technology Co.

                    2,175       70,970  

EPAM Systems Inc.

                    530       157,203  

Fidelity National Information Services Inc.

                    5,660       568,377  

Fiserv Inc.

                    5,495       557,193  

FleetCor Technologies Inc.

                    748       186,297  

Gartner Inc.

                    765       227,557  

 

See Notes to Financial Statements.

 

Franklin S&P 500 Index Fund 2022 Semi-Annual Report       15  


Schedule of investments (unaudited) (cont’d)

March 31, 2022

 

Franklin S&P 500 Index Fund

(Percentages shown based on Fund net assets)

 

Security                 Shares     Value  

IT Services — continued

                               

Global Payments Inc.

                    2,680     $ 366,731  

International Business Machines Corp.

                    8,317       1,081,376  

Jack Henry & Associates Inc.

                    687       135,373  

Mastercard Inc., Class A Shares

                    8,029       2,869,404  

Paychex Inc.

                    2,993       408,455  

PayPal Holdings Inc.

                    10,824       1,251,796  

VeriSign Inc.

                    899       199,992  

Visa Inc., Class A Shares

                    15,458       3,428,121  

Total IT Services

                            15,184,941  

Semiconductors & Semiconductor Equipment — 5.9%

                               

Advanced Micro Devices Inc.

                    15,191       1,660,984  

Analog Devices Inc.

                    4,896       808,721  

Applied Materials Inc.

                    8,280       1,091,304  

Broadcom Inc.

                    3,847       2,422,379  

Enphase Energy Inc.

                    1,255       253,234  

Intel Corp.

                    38,010       1,883,776  

KLA Corp.

                    1,410       516,145  

Lam Research Corp.

                    1,309       703,731  

Microchip Technology Inc.

                    5,146       386,670  

Micron Technology Inc.

                    10,492       817,222  

Monolithic Power Systems Inc.

                    410       199,129  

NVIDIA Corp.

                    23,298       6,357,092  

NXP Semiconductors NV

                    2,491       461,034  

Qorvo Inc.

                    1,028       127,575  

QUALCOMM Inc.

                    10,503       1,605,068  

Skyworks Solutions Inc.

                    1,510       201,253  

SolarEdge Technologies Inc.

                    489       157,639  

Teradyne Inc.

                    1,513       178,882  

Texas Instruments Inc.

                    8,583       1,574,809  

Total Semiconductors & Semiconductor Equipment

                            21,406,647  

Software — 8.8%

                               

Adobe Inc.

                    4,399       2,004,272  

ANSYS Inc.

                    799       253,802  

Autodesk Inc.

                    2,044       438,131  

Cadence Design Systems Inc.

                    2,563       421,511  

Ceridian HCM Holding Inc.

                    1,269       86,749  

Citrix Systems Inc.

                    1,140       115,026  

Fortinet Inc.

                    1,263       431,618  

Intuit Inc.

                    2,633       1,266,052  

Microsoft Corp.

                    69,869       21,541,311  

 

See Notes to Financial Statements.

 

16     Franklin S&P 500 Index Fund 2022 Semi-Annual Report


Franklin S&P 500 Index Fund

(Percentages shown based on Fund net assets)

 

Security                 Shares     Value  

Software — continued

                               

NortonLifeLock Inc.

                    5,285     $ 140,158  

Oracle Corp.

                    14,699       1,216,048  

Paycom Software Inc.

                    446       154,485  

PTC Inc.

                    936       100,826  

salesforce.com Inc.

                    9,186       1,950,372  

ServiceNow Inc.

                    1,867       1,039,714  

Synopsys Inc.

                    1,418       472,577  

Tyler Technologies Inc.

                    382       169,948  

Total Software

                            31,802,600  

Technology Hardware, Storage & Peripherals — 7.3%

                               

Apple Inc.

                    144,467       25,225,383  

Hewlett Packard Enterprise Co.

                    11,886       198,615  

HP Inc.

                    10,106       366,848  

NetApp Inc.

                    2,023       167,909  

Seagate Technology Holdings PLC

                    1,907       171,439  

Western Digital Corp.

                    2,814       139,715  

Total Technology Hardware, Storage & Peripherals

                            26,269,909  

Total Information Technology

                            99,946,390  
Materials — 2.6%                                

Chemicals — 1.7%

                               

Air Products & Chemicals Inc.

                    2,062       515,314  

Albemarle Corp.

                    1,087       240,390  

Celanese Corp.

                    1,014       144,870  

CF Industries Holdings Inc.

                    1,950       200,967  

Corteva Inc.

                    6,755       388,277  

Dow Inc.

                    6,872       437,884  

DuPont de Nemours Inc.

                    4,751       349,579  

Eastman Chemical Co.

                    1,244       139,403  

Ecolab Inc.

                    2,303       406,618  

FMC Corp.

                    1,199       157,752  

International Flavors & Fragrances Inc.

                    2,387       313,485  

Linde PLC

                    4,773       1,524,639  

LyondellBasell Industries NV, Class A Shares

                    2,441       250,984  

Mosaic Co.

                    3,471       230,822  

PPG Industries Inc.

                    2,203       288,747  

Sherwin-Williams Co.

                    2,241       559,398  

Total Chemicals

                            6,149,129  

 

See Notes to Financial Statements.

 

Franklin S&P 500 Index Fund 2022 Semi-Annual Report       17  


Schedule of investments (unaudited) (cont’d)

March 31, 2022

 

Franklin S&P 500 Index Fund

(Percentages shown based on Fund net assets)

 

Security                 Shares     Value  

Construction Materials — 0.1%

                               

Martin Marietta Materials Inc.

                    581     $ 223,621  

Vulcan Materials Co.

                    1,236       227,053  

Total Construction Materials

                            450,674  

Containers & Packaging — 0.3%

                               

Amcor PLC

                    14,215       161,056  

Avery Dennison Corp.

                    768       133,609  

Ball Corp.

                    3,005       270,450  

International Paper Co.

                    3,709       171,171  

Packaging Corp. of America

                    917       143,153  

Sealed Air Corp.

                    1,373       91,936  

Westrock Co.

                    2,409       113,295  

Total Containers & Packaging

                            1,084,670  

Metals & Mining — 0.5%

                               

Freeport-McMoRan Inc.

                    13,735       683,179  

Newmont Corp.

                    7,398       587,771  

Nucor Corp.

                    2,540       377,571  

Total Metals & Mining

                            1,648,521  

Total Materials

                            9,332,994  
Real Estate — 2.7%                                

Equity Real Estate Investment Trusts (REITs) — 2.6%

                               

Alexandria Real Estate Equities Inc.

                    1,366       274,907  

American Tower Corp.

                    4,246       1,066,680  

AvalonBay Communities Inc.

                    1,298       322,384  

Boston Properties Inc.

                    1,318       169,758  

Crown Castle International Corp.

                    4,016       741,354  

Digital Realty Trust Inc.

                    2,639       374,210  

Duke Realty Corp.

                    3,509       203,733  

Equinix Inc.

                    837       620,736  

Equity Residential

                    3,181       286,036  

Essex Property Trust Inc.

                    593       204,870  

Extra Space Storage Inc.

                    1,257       258,439  

Federal Realty Investment Trust

                    653       79,712  

Healthpeak Properties Inc.

                    5,009       171,959  

Host Hotels & Resorts Inc.

                    6,741       130,978  

Iron Mountain Inc.

                    2,802       155,259  

Kimco Realty Corp.

                    5,729       141,506  

Mid-America Apartment Communities Inc.

                    1,071       224,321  

Prologis Inc.

                    6,872       1,109,691  

Public Storage

                    1,412       551,075  

Realty Income Corp.

                    5,350       370,755  

 

See Notes to Financial Statements.

 

18     Franklin S&P 500 Index Fund 2022 Semi-Annual Report


Franklin S&P 500 Index Fund

(Percentages shown based on Fund net assets)

 

Security                 Shares     Value  

Equity Real Estate Investment Trusts (REITs) — continued

                               

Regency Centers Corp.

                    1,497     $ 106,796  

SBA Communications Corp.

                    1,012       348,229  

Simon Property Group Inc.

                    3,079       405,073  

UDR Inc.

                    2,870       164,652  

Ventas Inc.

                    3,705       228,821  

Vornado Realty Trust

                    1,416       64,173  

Welltower Inc.

                    4,037       388,117  

Weyerhaeuser Co.

                    6,917       262,154  

Total Equity Real Estate Investment Trusts (REITs)

                            9,426,378  

Real Estate Management & Development — 0.1%

                               

CBRE Group Inc., Class A Shares

                    3,133       286,732  * 

Total Real Estate

                            9,713,110  
Utilities — 2.7%                                

Electric Utilities — 1.7%

                               

Alliant Energy Corp.

                    2,384       148,952  

American Electric Power Co. Inc.

                    4,682       467,123  

Constellation Energy Corp.

                    3,027       170,269  

Duke Energy Corp.

                    7,154       798,816  

Edison International

                    3,518       246,612  

Entergy Corp.

                    1,858       216,922  

Evergy Inc.

                    2,098       143,377  

Eversource Energy

                    3,237       285,471  

Exelon Corp.

                    9,082       432,576  

FirstEnergy Corp.

                    5,192       238,105  

NextEra Energy Inc.

                    18,344       1,553,920  

NRG Energy Inc.

                    2,314       88,765  

Pinnacle West Capital Corp.

                    1,034       80,755  

PPL Corp.

                    6,923       197,721  

Southern Co.

                    9,927       719,807  

Xcel Energy Inc.

                    5,030       363,015  

Total Electric Utilities

                            6,152,206  

Gas Utilities — 0.0%††

                               

Atmos Energy Corp.

                    1,281       153,067  

Independent Power and Renewable Electricity Producers — 0.1%

                               

AES Corp.

                    6,395       164,543  

Multi-Utilities — 0.8%

                               

Ameren Corp.

                    2,456       230,275  

CenterPoint Energy Inc.

                    5,823       178,417  

CMS Energy Corp.

                    2,666       186,460  

Consolidated Edison Inc.

                    3,269       309,509  

 

See Notes to Financial Statements.

 

Franklin S&P 500 Index Fund 2022 Semi-Annual Report       19  


Schedule of investments (unaudited) (cont’d)

March 31, 2022

 

Franklin S&P 500 Index Fund

(Percentages shown based on Fund net assets)

 

Security                 Shares     Value  

Multi-Utilities — continued

                               

Dominion Energy Inc.

                    7,608     $ 646,452  

DTE Energy Co.

                    1,836       242,737  

NiSource Inc.

                    3,516       111,809  

Public Service Enterprise Group Inc.

                    4,745       332,150  

Sempra Energy

                    2,990       502,679  

WEC Energy Group Inc.

                    2,976       297,034  

Total Multi-Utilities

                            3,037,522  

Water Utilities — 0.1%

                               

American Water Works Co. Inc.

                    1,693       280,242  

Total Utilities

                            9,787,580  

Total Investments before Short-Term Investments (Cost — $97,041,416)

                            356,765,015  
     Rate                       
Short-Term Investments — 0.9%                                

Invesco Treasury Portfolio, Institutional Class
(Cost — $3,153,354)

    0.172             3,153,354       3,153,354  

Total Investments — 99.9% (Cost — $100,194,770)

                            359,918,369  

Other Assets in Excess of Liabilities — 0.1%

                            281,553  

Total Net Assets — 100.0%

                          $ 360,199,922  

 

 

Represents less than 0.1%.

 

*

Non-income producing security.

 

(a) 

Investment in affiliate. This security is a component of the S&P 500 Index in which the Fund invests (Note 8).

At March 31, 2022, the Fund had the following open futures contracts:

 

      Number of
Contracts
     Expiration
Date
     Notional
Amount
     Market
Value
     Unrealized
Appreciation
 
Contracts to Buy:                                             
E-mini S&P 500 Index      15        6/22      $ 3,244,476      $ 3,398,062      $ 153,586  

 

See Notes to Financial Statements.

 

20     Franklin S&P 500 Index Fund 2022 Semi-Annual Report


Statement of assets and liabilities (unaudited)

March 31, 2022

 

Assets:         

Investments in unaffiliated securities, at value (Cost — $100,149,248)

   $ 359,844,158  

Investments in affiliated securities, at value (Cost — $45,522)

     74,211  

Receivable for Fund shares sold

     246,416  

Dividends receivable from unaffiliated investments

     220,337  

Deposits with brokers for open futures contracts

     172,592  

Security litigation proceeds receivable

     4,184  

Dividends receivable from affiliated investments

     771  

Prepaid expenses

     18,700  

Total Assets

     360,581,369  
Liabilities:         

Payable for Fund shares repurchased

     78,646  

Investment management fee payable

     73,732  

Service and/or distribution fees payable

     54,028  

Payable to brokers — net variation margin on open futures contracts

     48,591  

Transfer agent fees payable

     42,942  

Fund accounting fees payable

     29,106  

Audit and tax fees payable

     21,237  

Trustees’ fees payable

     3,063  

Accrued expenses

     30,102  

Total Liabilities

     381,447  
Total Net Assets    $ 360,199,922  
Net Assets:         

Par value (Note 7)

   $ 100  

Paid-in capital in excess of par value

     97,305,148  

Total distributable earnings (loss)

     262,894,674  
Total Net Assets    $ 360,199,922  
Net Assets:         

Class A

   $ 329,082,876  

Class D

   $ 31,117,046  
Shares Outstanding:         

Class A

     9,127,958  

Class D

     854,880  
Net Asset Value:         

Class A

   $ 36.05  

Class D

   $ 36.40  

 

See Notes to Financial Statements.

 

Franklin S&P 500 Index Fund 2022 Semi-Annual Report       21  


Statement of operations (unaudited)

For the Six Months Ended March 31, 2022

 

Investment Income:         

Dividends from unaffiliated investments

   $ 2,390,314  

Dividends from affiliated investments

     1,542  

Interest

     284  

Less: Foreign taxes withheld

     (501)  

Total Investment Income

     2,391,639  
Expenses:         

Investment management fee (Note 2)

     449,445  

Service and/or distribution fees (Notes 2 and 5)

     328,670  

Transfer agent fees (Note 5)

     111,540  

Fund accounting fees

     35,180  

Registration fees

     22,420  

Audit and tax fees

     19,837  

Legal fees

     18,868  

Standard & Poor’s license fees

     17,978  

Trustees’ fees

     10,654  

Shareholder reports

     3,702  

Insurance

     1,084  

Custody fees

     813  

Interest expense

     1  

Miscellaneous expenses

     3,198  

Total Expenses

     1,023,390  

Less: Fee waivers and/or expense reimbursements (Notes 2 and 5)

     (1,643)  

Net Expenses

     1,021,747  
Net Investment Income      1,369,892  
Realized and Unrealized Gain (Loss) on Investments and Futures Contracts (Notes 1, 3 and 4):         

Net Realized Gain From:

        

Investment transactions in unaffiliated securities

     7,803,123  

Futures contracts

     63,469  

Net Realized Gain

     7,866,592  

Change in Net Unrealized Appreciation (Depreciation) From:

        

Investments in unaffiliated securities

     10,290,094  

Investments in affiliated securities

     (5,917)  

Futures contracts

     203,686  

Change in Net Unrealized Appreciation (Depreciation)

     10,487,863  
Net Gain on Investments and Futures Contracts      18,354,455  
Increase in Net Assets From Operations    $ 19,724,347  

 

See Notes to Financial Statements.

 

22     Franklin S&P 500 Index Fund 2022 Semi-Annual Report


Statements of changes in net assets

For the Six Months Ended March 31, 2022 (unaudited)

and the Year Ended September 30, 2021

   2022      2021  
Operations:                  

Net investment income

   $ 1,369,892      $ 2,888,332  

Net realized gain

     7,866,592        15,353,067  

Change in net unrealized appreciation (depreciation)

     10,487,863        63,011,768  

Increase in Net Assets From Operations

     19,724,347        81,253,167  
Distributions to Shareholders From (Notes 1 and 6):                  

Total distributable earnings

     (18,643,499)        (17,989,514)  

Decrease in Net Assets From Distributions to Shareholders

     (18,643,499)        (17,989,514)  
Fund Share Transactions (Note 7):                  

Net proceeds from sale of shares

     12,740,653        8,751,928  

Reinvestment of distributions

     18,420,393        17,854,884  

Cost of shares repurchased

     (19,921,255)        (28,314,219)  

Increase (Decrease) in Net Assets From Fund Share Transactions

     11,239,791        (1,707,407)  

Increase in Net Assets

     12,320,639        61,556,246  
Net Assets:                  

Beginning of period

     347,879,283        286,323,037  

End of period

   $ 360,199,922      $ 347,879,283  

 

See Notes to Financial Statements.

 

Franklin S&P 500 Index Fund 2022 Semi-Annual Report       23  


Financial highlights

 

For a share of each class of beneficial interest outstanding throughout each year ended September 30,
unless otherwise noted:
 
Class A Shares1   20222     2021     2020     2019     2018     2017  
Net asset value, beginning of period     $35.94       $29.50       $27.21       $27.71       $24.81       $21.89  
Income from operations:            

Net investment income

    0.14       0.29       0.36       0.37       0.34       0.36  

Net realized and unrealized gain

    1.90       8.02       3.47       0.48       3.78       3.45  

Total income from operations

    2.04       8.31       3.83       0.85       4.12       3.81  
Less distributions from:            

Net investment income

    (0.26)       (0.35)       (0.40)       (0.34)       (0.34)       (0.38)  

Net realized gains

    (1.67)       (1.52)       (1.14)       (1.01)       (0.88)       (0.51)  

Total distributions

    (1.93)       (1.87)       (1.54)       (1.35)       (1.22)       (0.89)  
Net asset value, end of period     $36.05       $35.94       $29.50       $27.21       $27.71       $24.81  

Total return3

    5.66     29.24     14.55     3.64     17.19     17.95
Net assets, end of period (millions)     $329       $318       $263       $254       $265       $247  
Ratios to average net assets:            

Gross expenses

    0.59 %4      0.59     0.61     0.61     0.62     0.60

Net expenses5,6

    0.59 4       0.59       0.59       0.59       0.59       0.59  

Net investment income

    0.75 4       0.86       1.31       1.43       1.30       1.57  
Portfolio turnover rate     1     3     3     3     2     2

 

1 

Per share amounts have been calculated using the average shares method.

 

2 

For the six months ended March 31, 2022 (unaudited).

 

3 

Performance figures may reflect compensating balance arrangements, fee waivers and/or expense reimbursements. In the absence of compensating balance arrangements, fee waivers and/or expense reimbursements, the total return would have been lower. Past performance is no guarantee of future results. Total returns for periods of less than one year are not annualized.

 

4 

Annualized.

 

5 

Reflects fee waivers and/or expense reimbursements.

 

6 

As a result of an expense limitation arrangement, the ratio of total annual fund operating expenses, other than interest, brokerage, taxes, extraordinary expenses and acquired fund fees and expenses, to average net assets of Class A shares did not exceed 0.59%. This expense limitation arrangement cannot be terminated prior to December 31, 2023 without the Board of Trustees’ consent.

 

See Notes to Financial Statements.

 

24     Franklin S&P 500 Index Fund 2022 Semi-Annual Report


 

For a share of each class of beneficial interest outstanding throughout each year ended September 30,
unless otherwise noted:
 
Class D Shares1   20222     2021     2020     2019     2018     2017  
Net asset value, beginning of period     $36.30       $29.77       $27.44       $27.94       $25.01       $22.05  
Income from operations:            

Net investment income

    0.17       0.36       0.41       0.42       0.39       0.41  

Net realized and unrealized gain

    1.92       8.10       3.51       0.48       3.81       3.48  

Total income from operations

    2.09       8.46       3.92       0.90       4.20       3.89  
Less distributions from:            

Net investment income

    (0.32)       (0.41)       (0.45)       (0.39)       (0.39)       (0.42)  

Net realized gains

    (1.67)       (1.52)       (1.14)       (1.01)       (0.88)       (0.51)  

Total distributions

    (1.99)       (1.93)       (1.59)       (1.40)       (1.27)       (0.93)  
Net asset value, end of period     $36.40       $36.30       $29.77       $27.44       $27.94       $25.01  

Total return3

    5.75     29.52     14.78     3.83     17.40     18.24
Net assets, end of period (000s)     $31,117       $29,592       $23,555       $19,833       $19,260       $12,759  
Ratios to average net assets:            

Gross expenses

    0.40 %4       0.40     0.43     0.43     0.45     0.44

Net expenses5,6

    0.39 4       0.39       0.39       0.39       0.39       0.39  

Net investment income

    0.94 4       1.06       1.51       1.63       1.50       1.77  
Portfolio turnover rate     1     3     3     3     2     2

 

1 

Per share amounts have been calculated using the average shares method.

 

2 

For the six months ended March 31, 2022 (unaudited).

 

3 

Performance figures may reflect compensating balance arrangements, fee waivers and/or expense reimbursements. In the absence of compensating balance arrangements, fee waivers and/or expense reimbursements, the total return would have been lower. Past performance is no guarantee of future results. Total returns for periods of less than one year are not annualized.

 

4 

Annualized.

 

5 

Reflects fee waivers and/or expense reimbursements.

 

6 

As a result of an expense limitation arrangement, the ratio of total annual fund operating expenses, other than interest, brokerage, taxes, extraordinary expenses and acquired fund fees and expenses, to average net assets of Class D shares did not exceed 0.39%. This expense limitation arrangement cannot be terminated prior to December 31, 2023 without the Board of Trustees’ consent.

 

See Notes to Financial Statements.

 

Franklin S&P 500 Index Fund 2022 Semi-Annual Report       25  


Notes to financial statements (unaudited)

 

1. Organization and significant accounting policies

Franklin S&P 500 Index Fund (the “Fund”) is a separate diversified investment series of Legg Mason Partners Investment Trust (the “Trust”). The Trust, a Maryland statutory trust, is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.

The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S. generally accepted accounting principles (“GAAP”). Estimates and assumptions are required to be made regarding assets, liabilities and changes in net assets resulting from operations when financial statements are prepared. Changes in the economic environment, financial markets and any other parameters used in determining these estimates could cause actual results to differ. Subsequent events have been evaluated through the date the financial statements were issued.

(a) Investment valuation. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services typically use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. Investments in open-end funds are valued at the closing net asset value per share of each fund on the day of valuation. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. When the Fund holds securities or other assets that are denominated in a foreign currency, the Fund will normally use the currency exchange rates as of 4:00 p.m. (Eastern Time). If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the manager to be unreliable, the market price may be determined by the manager using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved by the Fund’s Board of Trustees.

The Board of Trustees is responsible for the valuation process and has delegated the supervision of the daily valuation process to the Global Fund Valuation Committee (the “Valuation Committee”). The Valuation Committee, pursuant to the policies adopted by the Board of Trustees, is responsible for making fair value determinations, evaluating the

 

26     Franklin S&P 500 Index Fund 2022 Semi-Annual Report


 

effectiveness of the Fund’s pricing policies, and reporting to the Board of Trustees. When determining the reliability of third party pricing information for investments owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of pricing vendors, monitors the daily change in prices and reviews transactions among market participants.

The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making fair value determinations. Examples of possible methodologies include, but are not limited to, multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or a multiple thereof; risk premium/yield analysis; yield to maturity; and/or fundamental investment analysis. The Valuation Committee will also consider factors it deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to, the type of security; the issuer’s financial statements; the purchase price of the security; the discount from market value of unrestricted securities of the same class at the time of purchase; analysts’ research and observations from financial institutions; information regarding any transactions or offers with respect to the security; the existence of merger proposals or tender offers affecting the security; the price and extent of public trading in similar securities of the issuer or comparable companies; and the existence of a shelf registration for restricted securities.

For each portfolio security that has been fair valued pursuant to the policies adopted by the Board of Trustees, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such back testing monthly and fair valuation occurrences are reported to the Board of Trustees quarterly.

The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.

 

Franklin S&P 500 Index Fund 2022 Semi-Annual Report       27  


Notes to financial statements (unaudited) (cont’d)

 

GAAP establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:

 

 

Level 1 — quoted prices in active markets for identical investments

 

 

Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

 

 

Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used in valuing the Fund’s assets carried at fair value:

 

ASSETS  
Description   Quoted Prices
(Level 1)
    Other Significant
Observable Inputs
(Level 2)
    Significant
Unobservable
Inputs
(Level 3)
    Total  
Common Stocks†   $ 356,765,015                 $ 356,765,015  
Short-Term Investments†     3,153,354                   3,153,354  
Total Investments   $ 359,918,369                 $ 359,918,369  
Other Financial Instruments:                                

Futures Contracts††

  $ 153,586                 $ 153,586  
Total   $ 360,071,955                 $ 360,071,955  

 

See Schedule of Investments for additional detailed categorizations.

 

††

Reflects the unrealized appreciation (depreciation) of the instruments.

(b) Futures contracts. The Fund uses futures contracts generally to gain exposure to, or hedge against, changes in interest rates or gain exposure to, or hedge against, changes in certain asset classes. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date.

Upon entering into a futures contract, the Fund is required to deposit cash or securities with a broker in an amount equal to a certain percentage of the contract amount. This is known as the ‘‘initial margin’’ and subsequent payments (‘‘variation margin’’) are made or received by the Fund each day, depending on the daily fluctuation in the value of the contract. For certain futures, including foreign denominated futures, variation margin is not settled daily, but is recorded as a net variation margin payable or receivable. The daily changes in contract value are recorded as unrealized appreciation or depreciation in the Statement of Operations and the Fund recognizes a realized gain or loss when the contract is closed.

 

28     Franklin S&P 500 Index Fund 2022 Semi-Annual Report


 

Futures contracts involve, to varying degrees, risk of loss in excess of the amounts reflected in the financial statements. In addition, there is the risk that the Fund may not be able to enter into a closing transaction because of an illiquid secondary market.

(c) Foreign investment risks. The Fund’s investments in foreign securities may involve risks not present in domestic investments. Since securities may be denominated in foreign currencies, may require settlement in foreign currencies or may pay interest or dividends in foreign currencies, changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Fund. Foreign investments may also subject the Fund to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which affect the market and/or credit risk of the investments.

(d) Counterparty risk and credit-risk-related contingent features of derivative instruments. The Fund may invest in certain securities or engage in other transactions where the Fund is exposed to counterparty credit risk in addition to broader market risks. The Fund may invest in securities of issuers, which may also be considered counterparties as trading partners in other transactions. This may increase the risk of loss in the event of default or bankruptcy by the counterparty or if the counterparty otherwise fails to meet its contractual obligations. The Fund’s subadviser attempts to mitigate counterparty risk by (i) periodically assessing the creditworthiness of its trading partners, (ii) monitoring and/or limiting the amount of its net exposure to each individual counterparty based on its assessment and (iii) requiring collateral from the counterparty for certain transactions. Market events and changes in overall economic conditions may impact the assessment of such counterparty risk by the subadviser. In addition, declines in the values of underlying collateral received may expose the Fund to increased risk of loss.

With exchange traded and centrally cleared derivatives, there is less counterparty risk to the Fund since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, the credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, the Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default of the clearing broker or clearinghouse.

The Fund has entered into master agreements, such as an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement, with certain of its derivative counterparties that govern over-the-counter (“OTC”) derivatives and provide for general obligations, representations, agreements, collateral posting terms, netting provisions in the event of default or termination and credit related contingent features. The credit related contingent features include, but are not limited to, a percentage decrease in the Fund’s net assets or net asset value per share over a specified period of time. If these credit related contingent features were triggered, the derivatives counterparty could terminate the positions and demand payment or require additional collateral.

 

Franklin S&P 500 Index Fund 2022 Semi-Annual Report       29  


Notes to financial statements (unaudited) (cont’d)

 

Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. However, absent an event of default by the counterparty or a termination of the agreement, the terms of the ISDA Master Agreements do not result in an offset of reported amounts of financial assets and financial liabilities in the Statement of Assets and Liabilities across transactions between the Fund and the applicable counterparty. The enforceability of the right to offset may vary by jurisdiction.

Collateral requirements differ by type of derivative. Collateral or margin requirements are set by the broker or exchange clearinghouse for exchange traded derivatives while collateral terms are contract specific for OTC traded derivatives. Cash collateral that has been pledged to cover obligations of the Fund under derivative contracts, if any, will be reported separately in the Statement of Assets and Liabilities. Securities pledged as collateral, if any, for the same purpose are noted in the Schedule of Investments.

As of March 31, 2022, the Fund did not have any open OTC derivative transactions with credit related contingent features in a net liability position.

(e) Security transactions and investment income. Security transactions are accounted for on a trade date basis. Interest income (including interest income from payment-in-kind securities), adjusted for amortization of premium and accretion of discount, is recorded on the accrual basis. Dividend income is recorded on the ex-dividend date for dividends received in cash and/or securities. Foreign dividend income is recorded on the ex-dividend date or as soon as practicable after the Fund determines the existence of a dividend declaration after exercising reasonable due diligence. The cost of investments sold is determined by use of the specific identification method. To the extent any issuer defaults or a credit event occurs that impacts the issuer, the Fund may halt any additional interest income accruals and consider the realizability of interest accrued up to the date of default or credit event.

(f) REIT distributions. The character of distributions received from Real Estate Investment Trusts (‘‘REITs’’) held by the Fund is generally comprised of net investment income, capital gains, and return of capital. It is the policy of the Fund to estimate the character of distributions received from underlying REITs based on historical data provided by the REITs. After each calendar year end, REITs report the actual tax character of these distributions. Differences between the estimated and actual amounts reported by the REITs are reflected in the Fund’s records in the year in which they are reported by the REITs by adjusting related investment cost basis, capital gains and income, as necessary.

 

30     Franklin S&P 500 Index Fund 2022 Semi-Annual Report


 

(g) Distributions to shareholders. Distributions from net investment income and distributions of net realized gains, if any, are declared at least annually. Distributions to shareholders of the Fund are recorded on the ex-dividend date and are determined in accordance with income tax regulations, which may differ from GAAP.

(h) Share class accounting. Investment income, common expenses and realized/ unrealized gains (losses) on investments are allocated to the various classes of the Fund on the basis of daily net assets of each class. Fees relating to a specific class are charged directly to that share class.

(i) Compensating balance arrangements. The Fund has an arrangement with its custodian bank whereby a portion of the custodian’s fees is paid indirectly by credits earned on the Fund’s cash on deposit with the bank.

(j) Federal and other taxes. It is the Fund’s policy to comply with the federal income and excise tax requirements of the Internal Revenue Code of 1986 (the “Code”), as amended, applicable to regulated investment companies. Accordingly, the Fund intends to distribute its taxable income and net realized gains, if any, to shareholders in accordance with timing requirements imposed by the Code. Therefore, no federal or state income tax provision is required in the Fund’s financial statements.

Management has analyzed the Fund’s tax positions taken on income tax returns for all open tax years and has concluded that as of September 30, 2021, no provision for income tax is required in the Fund’s financial statements. The Fund’s federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.

Under the applicable foreign tax laws, a withholding tax may be imposed on interest, dividends and capital gains at various rates.

(k) Reclassification. GAAP requires that certain components of net assets be reclassified to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or net asset value per share.

2. Investment management agreement and other transactions with affiliates

Legg Mason Partners Fund Advisor, LLC (“LMPFA”) is the Fund’s investment manager. Franklin Advisers, Inc. (“Franklin Advisers”) is the Fund’s subadviser. Western Asset Management Company, LLC (“Western Asset”) manages the portion of the Fund’s cash and short-term instruments allocated to it. LMPFA, Franklin Advisers and Western Asset are wholly-owned subsidiaries of Franklin Resources, Inc. (“Franklin Resources”).

Under the investment management agreement, the Fund pays an investment management fee, calculated daily and paid monthly, at an annual rate of 0.25% of the Fund’s average daily net assets.

 

Franklin S&P 500 Index Fund 2022 Semi-Annual Report       31  


Notes to financial statements (unaudited) (cont’d)

 

LMPFA provides administrative and certain oversight services to the Fund. LMPFA delegates to the subadviser the day-to-day portfolio management of the Fund, except for the management of the portion of the cash and short-term instruments allocated to Western Asset. For its services, LMPFA pays Franklin Advisers a fee monthly, at an annual rate equal to 70% of the net management fee it receives from the Fund. For Western Asset’s services to the Fund, LMPFA pays Western Asset monthly 0.02% of the portion of the Fund’s average daily net assets that are allocated to Western Asset by LMPFA.

As a result of expense limitation arrangements between the Fund and LMPFA, the ratio of total annual fund operating expenses, other than interest, brokerage, taxes, extraordinary expenses and acquired fund fees and expenses, to average net assets of Class A and Class D shares did not exceed 0.59% and 0.39%, respectively. These expense limitation arrangements cannot be terminated prior to December 31, 2023 without the Board of Trustees’ consent.

During the six months ended March 31, 2022, fees waived and/or expenses reimbursed amounted to $1,643.

LMPFA is permitted to recapture amounts waived and/or reimbursed to a class during the same fiscal year if the class’ total annual fund operating expenses have fallen to a level below the expense limitation (“expense cap”) in effect at the time the fees were earned or the expenses incurred. In no case will LMPFA recapture any amount that would result, on any particular business day of the Fund, in the class’ total annual fund operating expenses exceeding the expense cap or any other lower limit then in effect.

Franklin Distributors, LLC (“Franklin Distributors”) serves as the Fund’s sole and exclusive distributor. Franklin Distributors is an indirect, wholly-owned broker-dealer subsidiary of Franklin Resources.

All officers and one Trustee of the Trust are employees of Franklin Resources or its affiliates and do not receive compensation from the Trust.

3. Investments

During the six months ended March 31, 2022, the aggregate cost of purchases and proceeds from sales of investments (excluding short-term investments) were as follows:

 

Purchases      $ 4,909,569  
Sales        12,189,550  

 

32     Franklin S&P 500 Index Fund 2022 Semi-Annual Report


 

At March 31, 2022, the aggregate cost of investments and the aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes were substantially as follows:

 

      Cost      Gross
Unrealized
Appreciation
     Gross
Unrealized
Depreciation
     Net
Unrealized
Appreciation
 
Securities    $ 100,194,770      $ 264,166,039      $ (4,442,440)      $ 259,723,599  
Futures contracts             153,586               153,586  

4. Derivative instruments and hedging activities

Below is a table, grouped by derivative type, that provides information about the fair value and the location of derivatives within the Statement of Assets and Liabilities at March 31, 2022.

 

ASSET DERIVATIVES1  
              Equity
Risk
 
Futures contracts2             $ 153,586  

 

1 

Generally, the balance sheet location for asset derivatives is receivables/net unrealized appreciation and for liability derivatives is payables/net unrealized depreciation.

 

2 

Includes cumulative unrealized appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only net variation margin is reported within the receivables and/or payables on the Statement of Assets and Liabilities.

The following tables provide information about the effect of derivatives and hedging activities on the Fund’s Statement of Operations for the six months ended March 31, 2022. The first table provides additional detail about the amounts and sources of gains (losses) realized on derivatives during the period. The second table provides additional information about the change in unrealized appreciation (depreciation) resulting from the Fund’s derivatives and hedging activities during the period.

 

AMOUNT OF REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED  
              Equity
Risk
 
Futures contracts             $ 63,469  

 

CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED  
      Equity
Risk
 
Futures contracts    $ 203,686  

 

Franklin S&P 500 Index Fund 2022 Semi-Annual Report       33  


Notes to financial statements (unaudited) (cont’d)

 

During the six months ended March 31, 2022, the volume of derivative activity for the Fund was as follows:

 

                     Average Market   
Value
 
Futures contracts (to buy)                 $ 1,966,582  

5. Class specific expenses, waivers and/or expense reimbursements

The Fund has adopted a Rule 12b-1 shareholder services and distribution plan and under that plan the Fund pays service and/or distribution fees with respect to its Class A shares calculated at the annual rate of 0.20% of the average daily net assets of the class. Service and/or distribution fees are accrued daily and paid monthly.

For the six months ended March 31, 2022, class specific expenses were as follows:

 

        Service and/or
  Distribution Fees  
          Transfer Agent   
Fees
 
Class A      $ 328,670 †       $ 99,779  
Class D                 11,761  
Total      $ 328,670        $ 111,540  

 

Amount shown is exclusive of expense reimbursements. For the six months ended March 31, 2022, the service and/or distribution fees reimbursed amounted to $1 for Class A shares.

For the six months ended March 31, 2022, waivers and/or expense reimbursements by class were as follows:

 

                  Waivers/Expense
Reimbursements
 
Class A                                          $ 1  
Class D                   1,642  
Total                 $ 1,643  

6. Distributions to shareholders by class

 

        Six Months Ended
March 31, 2022
       Year Ended
September 30, 2021
 
Net Investment Income:

 

          
Class A      $ 2,327,870        $ 3,163,638  
Class D        272,134          336,364  
Total      $ 2,600,004        $ 3,500,002  
Net Realized Gains:                      
Class A      $ 14,658,269        $ 13,282,922  
Class D        1,385,226          1,206,590  
Total      $ 16,043,495        $ 14,489,512  

 

34     Franklin S&P 500 Index Fund 2022 Semi-Annual Report


 

7. Shares of beneficial interest

At March 31, 2022, the Trust had an unlimited number of shares of beneficial interest authorized with a par value of $0.00001 per share. The Fund has the ability to issue multiple classes of shares. Each class of shares represents an identical interest and has the same rights, except that each class bears certain direct expenses, including those specifically related to the distribution of its shares.

Transactions in shares of each class were as follows:

 

     Six Months Ended
March 31, 2022
     Year Ended
September 30, 2021
 
      Shares      Amount      Shares      Amount  
Class A                                    
Shares sold      280,964      $ 10,093,630        166,484      $ 5,614,149  
Shares issued on reinvestment      460,552        16,763,033        527,477        16,311,930  
Shares repurchased      (468,834)        (17,031,711)        (746,004)        (24,410,744)  
Net increase (decrease)      272,682      $ 9,824,952        (52,043)      $ (2,484,665)  
Class D                                    
Shares sold      72,053      $ 2,647,023        92,286      $ 3,137,779  
Shares issued on reinvestment      45,028        1,657,360        49,435        1,542,954  
Shares repurchased      (77,441)        (2,889,544)        (117,674)        (3,903,475)  
Net increase      39,640      $ 1,414,839        24,047      $ 777,258  

8. Transactions with affiliated company

The Fund invests in securities that are components of the S&P 500 Index. Franklin Resources Inc. is a component of the S&P 500 Index and is considered to be affiliated with the Fund. Investments in Franklin Resources Inc. were made in accordance to its proportional weighting in the S&P 500 Index. The following transactions were effected in shares of Franklin Resources Inc. for the year ended March 31, 2022:

 

     Affiliate
Value at
September 30,
2021
     Purchased      Sold  
      Cost      Shares      Cost      Shares  
Franklin Resources Inc.    $ 69,396      $ 10,732        323                

 

(cont’d)    Realized
Gain (Loss)
     Dividend
Income
     Net Increase
(Decrease) in
Unrealized
Appreciation
(Depreciation)
     Affiliate
Value at
March 31,
2022
 
Franklin Resources Inc.           $ 1,542      $ (5,917)      $ 74,211  

9. Redemption facility

On February 4, 2022, the Fund, together with other U.S. registered and foreign investment funds (collectively, the “Borrowers”) managed by Franklin Resources or its affiliates,

 

Franklin S&P 500 Index Fund 2022 Semi-Annual Report       35  


Notes to financial statements (unaudited) (cont’d)

 

became a borrower in a joint syndicated senior unsecured credit facility totaling $2.675 billion (the “Global Credit Facility”). The Global Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the ability to meet future unanticipated or unusually large redemption requests. Unless renewed, the Global Credit Facility will terminate on February 3, 2023.

Under the terms of the Global Credit Facility, the Fund shall, in addition to interest charged on any borrowings made by the Fund and other costs incurred by the Fund, pay its share of fees and expenses incurred in connection with the implementation and maintenance of the Global Credit Facility, based upon its relative share of the aggregate net assets of all the Borrowers, including an annual commitment fee of 0.15% based upon the unused portion of the Global Credit Facility. These fees are reflected in the Statement of Operations. The Fund did not utilize the Global Credit Facility during the six months ended March 31, 2022.

10. Recent accounting pronouncement

In March 2020, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2020-04, Reference Rate Reform (Topic 848) — Facilitation of the Effects of Reference Rate Reform on Financial Reporting. In January 2021, the FASB issued ASU No. 2021-01, with further amendments to Topic 848. The amendments in the ASUs provide optional temporary accounting recognition and financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the LIBOR and other interbank-offered based reference rates as of the end of 2021 and 2023. The ASUs are effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. Management has reviewed the requirements and believes the adoption of these ASUs will not have a material impact on the financial statements.

11. Other matters

The outbreak of the respiratory illness COVID-19 (commonly referred to as “coronavirus”) has continued to rapidly spread around the world, causing considerable uncertainty for the global economy and financial markets. The ultimate economic fallout from the pandemic, and the long-term impact on economies, markets, industries and individual issuers, are not known. The COVID-19 pandemic could adversely affect the value and liquidity of the Fund’s investments, impair the Fund’s ability to satisfy redemption requests, and negatively impact the Fund’s performance. In addition, the outbreak of COVID-19, and measures taken to mitigate its effects, could result in disruptions to the services provided to the Fund by its service providers.

*  *  *

On February 24, 2022, Russia engaged in military actions in the sovereign territory of Ukraine. The current political and financial uncertainty surrounding Russia and Ukraine may increase market volatility and the economic risk of investing in securities in these countries

 

36     Franklin S&P 500 Index Fund 2022 Semi-Annual Report


 

and may also cause uncertainty for the global economy and broader financial markets. The ultimate fallout and long-term impact from these events are not known. The Fund will continue to assess the impact on valuations and liquidity and will take any potential actions needed in accordance with procedures approved by the Board of Trustees.

 

Franklin S&P 500 Index Fund 2022 Semi-Annual Report       37  


Statement regarding liquidity risk management program (unaudited)

 

Each Fund has adopted and implemented a written Liquidity Risk Management Program (the “LRMP”) as required by Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”). The LRMP is designed to assess and manage each Fund’s liquidity risk, which is defined as the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of remaining investors’ interests in the Fund. In accordance with the Liquidity Rule, the LRMP includes policies and procedures that provide for: (1) assessment, management, and review (no less frequently than annually) of each Fund’s liquidity risk; (2) classification of each Fund’s portfolio holdings into one of four liquidity categories (Highly Liquid, Moderately Liquid, Less Liquid, and Illiquid); (3) for Funds that do not primarily hold assets that are Highly Liquid, establishing and maintaining a minimum percentage of the Fund’s net assets in Highly Liquid investments (called a “Highly Liquid Investment Minimum” or “HLIM”); and (4) prohibiting the Fund’s acquisition of Illiquid investments that would result in the Fund holding more than 15% of its net assets in Illiquid assets. The LRMP also requires reporting to the Securities and Exchange Commission (“SEC”) (on a non-public basis) and to the Board if the Fund’s holdings of Illiquid assets exceed 15% of the Fund’s net assets. Funds with HLIMs must have procedures for addressing HLIM shortfalls, including reporting to the Board and, with respect to HLIM shortfalls lasting more than seven consecutive calendar days, reporting to the SEC (on a non-public basis).

The Director of Liquidity Risk within the Investment Risk Management Group (the “IRMG”) is the appointed Administrator of the LRMP. The IRMG maintains the Investment Liquidity Committee (the “ILC”) to provide oversight and administration of policies and procedures governing liquidity risk management for Franklin Templeton and Legg Mason products and portfolios. The ILC includes representatives from Franklin Templeton’s Risk, Trading, Global Compliance, Legal, Investment Compliance, Investment Operations, Valuation Committee, Product Management and Global Product Strategy.

In assessing and managing each Fund’s liquidity risk, the ILC considers, as relevant, a variety of factors, including the Fund’s investment strategy and the liquidity of its portfolio investments during both normal and reasonably foreseeable stressed conditions; its short and long-term cash flow projections; and its cash holdings and access to other funding sources including the Funds’ interfund lending facility and line of credit. Classification of the Fund’s portfolio holdings in the four liquidity categories is based on the number of days it is reasonably expected to take to convert the investment to cash (for Highly Liquid and Moderately Liquid holdings) or sell or dispose of the investment (for Less Liquid and Illiquid investments), in current market conditions without significantly changing the investment’s market value.

 

38     Franklin S&P 500 Index Fund


 

Each Fund primarily holds liquid assets that are defined under the Liquidity Rule as “Highly Liquid Investments,” and therefore is not required to establish an HLIM. Highly Liquid Investments are defined as cash and any investment reasonably expected to be convertible to cash in current market conditions in three business days or less without the conversion to cash significantly changing the market value of the investment.

At meetings of the Funds’ Board of Trustees/Directors held in November 2021, the Program Administrator provided a written report to the Board addressing the adequacy and effectiveness of the program for the year ended December 31, 2020. The Program Administrator report concluded that (i.) the LRMP, as adopted and implemented, remains reasonably designed to assess and manage each Fund’s liquidity risk; (ii.) the LRMP, including the Highly Liquid Investment Minimum (“HLIM”) where applicable, was implemented and operated effectively to achieve the goal of assessing and managing each Fund’s liquidity risk; and (iii.) each Fund was able to meet requests for redemption without significant dilution of remaining investors’ interests in the Fund.

 

Franklin S&P 500 Index Fund       39  


Franklin

S&P 500 Index Fund

 

Trustees

Paul R. Ades

Andrew L. Breech

Althea L. Duersten

Chair

Stephen R. Gross

Susan M. Heilbron

Howard J. Johnson

Arnold L. Lehman

Robin J. W. Masters

Jerome H. Miller

Ken Miller

G. Peter O’Brien

Thomas F. Schlafly

Jane Trust

Investment manager

Legg Mason Partners Fund Advisor, LLC

Subadviser

Franklin Advisers, Inc.

Distributor

Franklin Distributors, LLC

Custodian

The Bank of New York Mellon

Transfer agent#

Franklin Templeton Investor Services, LLC

3344 Quality Drive

Rancho Cordova, CA 95670-7313

Independent registered public accounting firm

PricewaterhouseCoopers LLP

Baltimore, MD

 

#

Effective February 22, 2022, Franklin Templeton Investor Services, LLC replaced BNY Mellon Investment Servicing (US) Inc. as Transfer Agent.

 

Franklin S&P 500 Index Fund

The Fund is a separate investment series of Legg Mason Partners Investment Trust, a Maryland statutory trust.

Franklin S&P 500 Index Fund

Legg Mason Funds

620 Eighth Avenue, 47th Floor

New York, NY 10018

 

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Fund’s Forms N-PORT are available on the SEC’s website at www.sec.gov. To obtain information on Form N-PORT, shareholders can call the Fund at 877-6LM-FUND/656-3863.

Information on how the Fund voted proxies relating to portfolio securities during the prior 12-month period ended June 30th of each year and a description of the policies and procedures that the Fund uses to determine how to vote proxies related to portfolio transactions are available (1) without charge, upon request, by calling the Fund at 877-6LM-FUND/656-3863, (2) at www.franklintempleton.com and (3) on the SEC’s website at www.sec.gov.

This report is submitted for the general information of the shareholders of Franklin S&P 500 Index Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by a current prospectus.

 

Investors should consider the Fund’s investment objectives, risks, charges and expenses carefully before investing. The prospectus contains this and other important information about the Fund. Please read the prospectus carefully before investing.

www.franklintempleton.com

© 2022 Franklin Distributors, LLC, Member FINRA/SIPC. All rights reserved.


Legg Mason Funds Privacy and Security Notice

 

Your Privacy and the Security of Your Personal Information is Very Important to the Legg Mason Funds

This Privacy and Security Notice (the “Privacy Notice”) addresses the Legg Mason Funds’ privacy and data protection practices with respect to nonpublic personal information the Funds receive. The Legg Mason Funds include any funds sold by the Funds’ distributor, Franklin Distributors, LLC, as well as Legg Mason-sponsored closed-end funds. The provisions of this Privacy Notice apply to your information both while you are a shareholder and after you are no longer invested with the Funds.

The Type of Nonpublic Personal Information the Funds Collect About You

The Funds collect and maintain nonpublic personal information about you in connection with your shareholder account. Such information may include, but is not limited to:

 

 

Personal information included on applications or other forms;

 

 

Account balances, transactions, and mutual fund holdings and positions;

 

 

Bank account information, legal documents, and identity verification documentation;

 

 

Online account access user IDs, passwords, security challenge question responses; and

 

 

Information received from consumer reporting agencies regarding credit history and creditworthiness (such as the amount of an individual’s total debt, payment history, etc.).

How the Funds Use Nonpublic Personal Information About You

The Funds do not sell or share your nonpublic personal information with third parties or with affiliates for their marketing purposes, or with other financial institutions or affiliates for joint marketing purposes, unless you have authorized the Funds to do so. The Funds do not disclose any nonpublic personal information about you except as may be required to perform transactions or services you have authorized or as permitted or required by law.

The Funds may disclose information about you to:

 

 

Employees, agents, and affiliates on a “need to know” basis to enable the Funds to conduct ordinary business, or to comply with obligations to government regulators;

 

 

Service providers, including the Funds’ affiliates, who assist the Funds as part of the ordinary course of business (such as printing, mailing services, or processing or servicing your account with us) or otherwise perform services on the Funds’ behalf, including companies that may perform statistical analysis, market research and marketing services solely for the Funds;

 

 

Permit access to transfer, whether in the United States or countries outside of the United States to such Funds’ employees, agents and affiliates and service providers as required to enable the Funds to conduct ordinary business, or to comply with obligations to government regulators;

 

 

The Funds’ representatives such as legal counsel, accountants and auditors to enable the Funds to conduct ordinary business, or to comply with obligations to government regulators;

 

 

Fiduciaries or representatives acting on your behalf, such as an IRA custodian or trustee of a grantor trust.

 

NOT PART OF THE SEMI-ANNUAL  REPORT


Legg Mason Funds Privacy and Security Notice (cont’d)

 

Except as otherwise permitted by applicable law, companies acting on the Funds’ behalf, including those outside the United States, are contractually obligated to keep nonpublic personal information the Funds provide to them confidential and to use the information the Funds share only to provide the services the Funds ask them to perform. The Funds may disclose nonpublic personal information about you when necessary to enforce their rights or protect against fraud, or as permitted or required by applicable law, such as in connection with a law enforcement or regulatory request, subpoena, or similar legal process. In the event of a corporate action or in the event a Fund service provider changes, the Funds may be required to disclose your nonpublic personal information to third parties. While it is the Funds’ practice to obtain protections for disclosed information in these types of transactions, the Funds cannot guarantee their privacy policy will remain unchanged.

Keeping You Informed of the Funds’ Privacy and Security Practices

The Funds will notify you annually of their privacy policy as required by federal law. While the Funds reserve the right to modify this policy at any time they will notify you promptly if this privacy policy changes.

The Funds’ Security Practices

The Funds maintain appropriate physical, electronic and procedural safeguards designed to guard your nonpublic personal information. The Funds’ internal data security policies restrict access to your nonpublic personal information to authorized employees, who may use your nonpublic personal information for Fund business purposes only.

Although the Funds strive to protect your nonpublic personal information, they cannot ensure or warrant the security of any information you provide or transmit to them, and you do so at your own risk. In the event of a breach of the confidentiality or security of your nonpublic personal information, the Funds will attempt to notify you as necessary, so you can take appropriate protective steps. If you have consented to the Funds using electronic communications or electronic delivery of statements, they may notify you under such circumstances using the most current email address you have on record with them.

In order for the Funds to provide effective service to you, keeping your account information accurate is very important. If you believe that your account information is incomplete, not accurate or not current, if you have questions about the Funds’ privacy practices, or our use of your nonpublic personal information, write the Funds using the contact information on your account statements, email the Funds by clicking on the Contact Us section of the Funds’ website at www.franklintempleton.com, or contact the Fund at 877-6LM-FUND/656-3863.

Revised April 2018

Legg Mason California Consumer Privacy Act Policy

Although much of the personal information we collect is “nonpublic personal information” subject to federal law, residents of California may, in certain circumstances, have additional rights under the California Consumer Privacy Act (“CCPA”). For example, if you are a broker,

 

NOT PART OF THE SEMI-ANNUAL  REPORT


Legg Mason Funds Privacy and Security Notice (cont’d)

 

dealer, agent, fiduciary, or representative acting by or on behalf of, or for, the account of any other person(s) or household, or a financial advisor, or if you have otherwise provided personal information to us separate from the relationship we have with personal investors, the provisions of this Privacy Policy apply to your personal information (as defined by the CCPA).

 

 

In addition to the provisions of the Legg Mason Funds Security and Privacy Notice, you may have the right to know the categories and specific pieces of personal information we have collected about you.

 

 

You also have the right to request the deletion of the personal information collected or maintained by the Funds.

If you wish to exercise any of the rights you have in respect of your personal information, you should advise the Funds by contacting them as set forth below. The rights noted above are subject to our other legal and regulatory obligations and any exemptions under the CCPA. You may designate an authorized agent to make a rights request on your behalf, subject to the identification process described below. We do not discriminate based on requests for information related to our use of your personal information, and you have the right not to receive discriminatory treatment related to the exercise of your privacy rights.

We may request information from you in order to verify your identity or authority in making such a request. If you have appointed an authorized agent to make a request on your behalf, or you are an authorized agent making such a request (such as a power of attorney or other written permission), this process may include providing a password/passcode, a copy of government issued identification, affidavit or other applicable documentation, i.e. written permission. We may require you to verify your identity directly even when using an authorized agent, unless a power of attorney has been provided. We reserve the right to deny a request submitted by an agent if suitable and appropriate proof is not provided.

For the 12-month period prior to the date of this Privacy Policy, the Legg Mason Funds have not sold any of your personal information; nor do we have any plans to do so in the future.

Contact Information

Address: Data Privacy Officer, 100 International Dr., Baltimore, MD 21202

Email: DataProtectionOfficer@franklintempleton.com

Phone: 1-800-396-4748

Revised October 2020

 

NOT PART OF THE SEMI-ANNUAL  REPORT


www.franklintempleton.com

© 2022 Franklin Distributors, LLC, Member FINRA/SIPC. All rights reserved.

FDXX010131 5/22 SR22-4391


ITEM 2.

CODE OF ETHICS.

Not applicable.

 

ITEM 3.

AUDIT COMMITTEE FINANCIAL EXPERT.

Not applicable.

 

ITEM 4.

PRINCIPAL ACCOUNTANT FEES AND SERVICES.

Not applicable.

 

ITEM 5.

AUDIT COMMITTEE OF LISTED REGISTRANTS.

Not applicable.

 

ITEM 6.

SCHEDULE OF INVESTMENTS.

Included herein under Item 1.

 

ITEM 7.

DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable.

 

ITEM 8.

PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable.

 

ITEM 9.

PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.

Not applicable.

 

ITEM 10.

SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

Not applicable.

 

ITEM 11.

CONTROLS AND PROCEDURES.

 

  (a)

The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a- 3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the disclosure controls and procedures required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934.

 

  (b)

There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are likely to materially affect the registrant’s internal control over financial reporting.

 

ITEM 12.

DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable

 

ITEM 13.

EXHIBITS.

(a) (1) Not applicable.

Exhibit 99.CODE ETH

(a) (2) Certifications pursuant to section 302 of the Sarbanes-Oxley Act of 2002 attached hereto.

Exhibit 99.CERT

(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 attached hereto.

Exhibit 99.906CERT


SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this Report to be signed on its behalf by the undersigned, there unto duly authorized.

Legg Mason Partners Investment Trust

 

By:  

/s/ Jane Trust

  Jane Trust
  Chief Executive Officer
Date:   May 20, 2022

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By:  

/s/ Jane Trust

  Jane Trust
  Chief Executive Officer
Date:   May 20, 2022
By:  

/s/ Christopher Berarducci

  Christopher Berarducci
  Principal Financial Officer
Date:   May 20, 2022

Certifications (302)

CERTIFICATIONS PURSUANT TO SECTION 302

EX-99.CERT

CERTIFICATIONS

I, Jane Trust, certify that:

 

1.

I have reviewed this report on Form N-CSR of Legg Mason Partners Investment Trust – Franklin S&P 500 Index Fund;

 

2.

Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

3.

Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

 

4.

The registrant’s other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

 

  a)

Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

  b)

Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

 

  c)

Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

 

  d)

Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

 

5.

The registrant’s other certifying officers and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

 

  a)

All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

 

  b)

Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

 

Date: May 20, 2022  

/s/ Jane Trust                        

  Jane Trust
  Chief Executive Officer


CERTIFICATIONS

I, Christopher Berarducci, certify that:

 

1.

I have reviewed this report on Form N-CSR of Legg Mason Partners Investment Trust – Franklin S&P 500 Index Fund;

 

2.

Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

3.

Based on my knowledge, the financial information included in this report, and the financial statements on which the financial information is based, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

 

4.

The registrant’s other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

 

  a)

Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

  b)

Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

 

  c)

Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

 

  d)

Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

 

5.

The registrant’s other certifying officers and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

 

  a)

All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

 

  b)

Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

 

Date: May 20, 2022  

/s/ Christopher Berarducci                         

  Christopher Berarducci
  Principal Financial Officer

Certifications (906)

CERTIFICATIONS PURSUANT TO SECTION 906

EX-99.906CERT

CERTIFICATION

Jane Trust, Chief Executive Officer, and Christopher Berarducci, Principal Financial Officer of Legg Mason Partners Investment Trust – Franklin S&P 500 Index Fund (the “Registrant”), each certify to the best of their knowledge that:

1.    The Registrant’s periodic report on Form N-CSR for the period ended March 31, 2022 (the “Form N-CSR”) fully complies with the requirements of section 15(d) of the Securities Exchange Act of 1934, as amended; and

2.    The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

 

Chief Executive Officer               Principal Financial Officer
Legg Mason Partners Investment Trust –      Legg Mason Partners Investment Trust –
Franklin S&P 500 Index Fund      Franklin S&P 500 Index Fund

/s/ Jane Trust

    

/s/ Christopher Berarducci

Jane Trust      Christopher Berarducci
Date: May 20, 2022      Date: May 20, 2022

This certification is being furnished to the Securities and Exchange Commission solely pursuant to 18 U.S.C. § 1350 and is not being filed as part of the Form N-CSR with the Commission.