FLSP

1. Summary

• FLSP is an actively managed, quantitative "risk premia" ETF from Franklin Templeton. A risk premium is the extra return an investor expects for bearing a given risk. The fund splits its risk between two sleeves: a top-down sleeve that goes long and short across stocks, bonds, commodities and currencies, and a bottom-up long/short equity sleeve. Its stated goal is absolute return, measured against 3-month Treasury bills.
• It says it may run economic leverage well above its net assets, and the fund documents give no exposure figure or target. The June 30, 2026 schedule of investments shows equity gross of about 1.88x, rising to about 3.52x with bond and commodity futures and about 4.93x with currency forwards (my arithmetic). Its large custom equity basket swap is a short position of about 53% of net assets (FLSP-NPP, Item C.11; see section 5).
• It does not short stocks directly as a principal strategy. Short exposure comes from equity index futures and total return swaps. On June 30, 2026 it held 315 long stock positions, 43 futures contracts, 14 currency forwards and one custom equity basket swap with Morgan Stanley (my count). Commodities are held through a Cayman Islands subsidiary. Creations and redemptions are generally in cash.
• Most relevant for us: FLSP shows a large ($1.10 billion) 40 Act ETF getting short and leveraged exposure entirely through futures and swaps, with no prime broker. It is not a single-stock 150/150 equity book, so it is a precedent for the derivatives route, not for direct shorting.

2. Key facts

Shares outstanding: 38,400,000 at September 30, 2026 (FLSP-FS, page 1, "Fund Overview").

3. Service providers

4. Strategy

• Objective and benchmark. "Absolute return" (FLSP-PR, page 169, "Investment Goal"). The goal is non-fundamental and can be changed by the board with 60 days' notice (FLSP-PR, page 488). The fact sheet benchmark is the ICE BofA US 3-Month Treasury Bill Index (FLSP-FS, page 1, "Benchmark(s)"). The prospectus performance table adds the Russell 3000 Index and the Bloomberg U.S. Aggregate Index, and says "No one index is representative of the Fund's portfolio" (FLSP-PR, page 181).
• Two sleeves.
  • Top-down risk premia: value, momentum and carry factors, long and short, across equity, fixed income, commodity and currency asset classes. It "invests primarily in equity, interest rate/bond and commodity index futures; equity and commodity-linked total return swaps; risk premia total return swaps" and currency forwards (FLSP-PR, page 170, "Principal Investment Strategies").
  • Bottom-up long/short equity: quality, value and momentum factors applied to individual stocks. It invests "primarily in equity securities and derivative instruments," with "equity index futures and equity total return swaps being used to obtain short exposures" (FLSP-PR, page 171).
• Universe. "U.S. and foreign companies of any capitalization size, including those located in emerging markets," plus government and corporate bonds of any maturity (FLSP-PR, page 172). No sector limits beyond the 25% industry limit below.
• How it picks stocks. Fully quantitative: "a systematic investment process for securities selection and asset allocation by utilizing quantitative models" (FLSP-PR, page 172).
• Allocation between sleeves. By estimated risk: assets are allocated "according to each strategy's estimated risk, as measured by historical returns based risk models," kept "within certain pre-determined bounds" (FLSP-PR, page 172). The bounds are not stated.
• Neutrality targets. None stated (no beta, dollar or sector neutral target). The fund aims for "a relatively low correlation with traditional markets" (FLSP-PR, page 172).
• Net exposure. No target or range stated.
• Limits on position size. As a diversified fund, it may not put more than 5% of total assets in one issuer or own more than 10% of an issuer's voting shares, for 75% of its assets (FLSP-SAI, page 7, fundamental policies). It may not invest "more than 25% of the Fund's net assets in securities of issuers in any one industry" (FLSP-SAI, page 6, policy 11). The Cayman subsidiary is capped at 25% of total assets (FLSP-PR, page 491).

5. Exposure and leverage

• Measured exposure, June 30, 2026 (FLSP-NP, pages 148 to 159; net assets $953,200,648; futures at market value; all my arithmetic):

• Equity only: long 107.8%, short 80.0%, gross 1.88x, net 27.8%.
• Adding bond and commodity futures: gross 3.52x. Adding currency forwards: gross 4.93x.
• Swap direction: short. The N-PORT lists every basket component. The form says these are "reported as negative for short positions". 273 components are stocks, all negative, totaling -$511,251,562. The other 12 are cash balances in 12 currencies, totaling $410,582,793 (FLSP-NPP, Item C.11). The top 50 names printed without signs in the quarterly schedule all carry negative values in the N-PORT, for example Commonwealth Bank of Australia at -53,033 shares and -$6,048,346.68 (FLSP-NP, pages 160 and 161). This fits the prospectus: equity total return swaps are "used to obtain short exposures" (FLSP-PR, page 171).
• The N-PORT's payment fields read the other way on their own: the fund receives a floating leg on "MSFTLSSP INDEX" and pays a "Performance Leg" (FLSP-NPP, Item C.11). The component signs are the form's explicit marker for shorts, so they are taken as decisive (my inference).
• Bond, commodity and currency notionals are not comparable with equity exposure, because a dollar of bond futures carries different risk from a dollar of stock (my inference).
• Stated targets or limits. None stated as numbers. The prospectus says "the sum of the Fund's investment exposures through its use of derivatives may significantly exceed the amount of assets invested in the Fund, although these exposures may vary over time" (FLSP-PR, page 173, "Principal Investment Strategies").
• How it gets exposure above 100%. Through derivatives: "The Fund will generally gain leverage through derivative instruments that have embedded leverage. For example, the low margin deposits normally required in futures trading permit a high degree of leverage" (FLSP-PR, page 174, "Use of Leverage"). Futures and total return swaps are the named instruments (FLSP-PR, pages 170 and 171). No reinvestment of short sale proceeds is described.
• Cash holdings. The fund "may, from time to time, hold significant amounts of cash or cash equivalents, including money market instruments and affiliated or unaffiliated money market funds, due to its investments in derivative instruments" (FLSP-PR, page 172). On June 30, 2026 it held $220,663,075 (23.1%) in two government money market funds, $209,569,110 of it in the affiliated Franklin Institutional U.S. Government Money Market Fund. Other assets net of liabilities were a further 9.4% (FLSP-NP, page 157).
• Borrowing limits. The 1940 Act lets the fund borrow "up to one-third of the value of its total assets" from banks, with "continuous asset coverage of at least 300%" (FLSP-SAI, page 14, "Borrowing"). It may also borrow up to 5% of total assets for temporary purposes (FLSP-SAI, page 15). No bank line of credit is named. The fund may borrow from other Franklin funds through an Interfund Lending Program under an SEC order (FLSP-SAI, page 51). None of this is described as a source of investment leverage.

6. Shorting, financing and collateral

• How it shorts. Through derivatives. Equity shorts use "equity index futures and equity total return swaps" (FLSP-PR, page 171). Risk premia total return swaps also "take long or short positions in individual equities" (FLSP-PR, page 171). The fund documents don't give the split between futures and swaps. On June 30, 2026, equity index futures sold were 26.9% of net assets and the short custom equity basket swap was 53.0% (FLSP-NP, pages 158 and 159; FLSP-NPP, Item C.11; see section 5). Inside the swap, the short book was 273 named stocks.
• Direct short sales: permitted only. The SAI says FLSP "may enter into physical short transactions or obtain the short exposure through synthetic derivative transactions" (FLSP-SAI, page 63, "Short sales"). The prospectus also mentions "a short position in an exchange-traded fund (ETF)" as one way long/short strategies work (FLSP-PR, page 171). Neither is described as what FLSP principally does.
• Who lends the stock and who holds collateral. No stock lender or prime broker is named, because no direct shorting is described.
  • Futures: initial margin goes "to an account controlled by the FCM (that has been selected by the Fund)" (FLSP-SAI, page 28). Variation margin is "monitored by the Fund's investment manager and custodian on a daily basis" (FLSP-SAI, page 28).
  • Cleared swaps: margin may sit in an FCM "omnibus account with assets belonging to the FCM's other customers" (FLSP-SAI, page 37).
  • Uncleared swaps: "The Fund customarily enters into uncleared swaps based on the standard terms and conditions of an International Swaps and Derivatives Association (ISDA) Master Agreement" (FLSP-SAI, page 33).
• What is posted. "Currently, the Fund does not typically provide initial margin in connection with uncleared swaps" (FLSP-SAI, page 33). It would post initial margin if found to have "material swaps exposure" (FLSP-SAI, page 33). What assets are posted (cash, Treasuries or stock) is not stated. Whether long stocks are pledged is not stated.
• Short sale proceeds used to buy longs. Not described.
• Segregated or tri-party account. Not stated. BNY Mellon is custodian of "the Fund's securities and other assets" (FLSP-SAI, page 99).
• Securities lending. A program with Goldman Sachs Agency Lending or J.P. Morgan Chase Bank is approved, but the fund did not lend in the year ended March 31, 2026 (FLSP-SAI, page 99).
• Subsidiary. Commodity derivatives sit in a wholly-owned Cayman Islands subsidiary, "to invest in commodity-linked derivatives, including swaps and futures" (FLSP-SAI, page 17). The adviser reimburses all expenses of the subsidiary (FLSP-PR, page 510). On June 30, 2026 the commodity futures were "owned by FLSP Holdings Corporation., a wholly-owned subsidiary of the Fund" (FLSP-NP, page 159).

7. Derivatives and Rule 18f-4

• Derivatives used. Principal: futures on equity, interest rate/bond and commodity indices; equity and commodity-linked total return swaps; risk premia total return swaps "referencing proprietary or third-party indices"; and currency forwards (FLSP-PR, page 172). The fund's SAI list matches: futures, swaps and currency forward contracts (FLSP-SAI, page 12). Results of these trades "are expected to represent a material component of the Fund's investment returns" (FLSP-PR, page 173).
• Derivatives held, June 30, 2026 (FLSP-NP, pages 158 to 161):
  • 43 futures contracts on equity indices, government bonds and commodities, with net unrealized depreciation of $16,794,744.
  • 14 currency forwards with Bank of America N.A., settling September 16 and 17, 2026.
  • One OTC total return swap with Morgan Stanley on a short custom equity basket: notional $505,395,807, ending 7/9/26 per the schedule (2026-07-20 per the N-PORT), market value -$4,696,212. The top 50 basket components are listed (FLSP-NP, pages 160 and 161).
  • No options. Index options are permitted but none was held.
• Short sales under 18f-4. "The Fund will treat short sales as derivatives transactions under Rule 18f-4" (FLSP-SAI, page 63).
• Limited derivatives user or full program. Not stated. The heavy, principal use of futures and swaps suggests it is above the limited-user threshold and runs a full program (my inference). No derivatives risk manager is named.
• VaR test and reference portfolio. Not stated. VaR (value at risk) estimates the most a fund could lose over a set period at a set confidence level.
• Commodity pool status (CFTC Rule 4.5). FLSP does not use the Rule 4.5 exclusion. The SAI says the adviser claims the CPO exclusion for each fund "except for the Systematic Style Premia ETF" (FLSP-SAI, page 26). Instead "The investment manager is registered as a CPO under the CEA and the rules of the CFTC and is subject to CFTC regulation with respect to the Systematic Style Premia ETF" (FLSP-SAI, page 26). The prospectus says the same (FLSP-PR, pages 508 and 509). A CPO (commodity pool operator) runs a fund that trades futures or swaps beyond the exclusion's limits.

8. Costs

• Who pays what. The fund pays the unified fee plus excluded costs: 12b-1 payments (if any), "brokerage expenses," taxes, "interest (including borrowing costs and dividend expenses on securities sold short and overdraft charges)," litigation, and extraordinary costs (FLSP-PR, page 510). The adviser pays FT Services for administration; "The fee is paid by the Fund's investment manager and is not an additional expense of the Fund" (FLSP-SAI, page 98).
• Fees paid. Fiscal year ended March 31, 2026: management fees earned $3,053,905; $945,052 shown in the "Acquired Fund Fees and Expenses Reimbursed" column; $2,108,853 paid (FLSP-SAI, page 88). That column appears to include the voluntary waiver, since the effective fee was 0.46% (my inference). The effective fee "of 0.46% of the Fund's average daily net assets" is stated in the prospectus (FLSP-PR, page 511).
• Brokerage commissions. $233,937 (FY 2026), $135,453 (FY 2025), $88,550 (FY 2024), fiscal years ended March 31 (FLSP-SAI, page 102). These include futures commissions (my inference).
• Portfolio turnover. 68% (FY 2026), 88% (FY 2025), 180% (FY 2024), 188% (FY 2023), 190% (FY 2022) (FLSP-PR, page 514). Turnover excludes in-kind transactions.
• Gap between expense ratio and management fee. The fee table gap is 0.65% minus 0.65%, or 0.00% (my arithmetic). In the year ended March 31, 2026, gross expenses of 0.67% were 0.02% above the 0.65% fee (my arithmetic). The documents don't say what the 0.02% is. It could be excluded costs such as interest or taxes (my inference). Net expenses were 0.21% below gross because of the voluntary waiver (my arithmetic).
• 12b-1. "None" in the fee table (FLSP-PR, page 169).

9. Performance and risk

Fact sheet returns to September 30, 2026 (FLSP-FS, page 1, "Total Returns (%)"). Periods over one year are annualized.

Calendar-year returns (FLSP-FS, page 1, "Calendar Year Total Returns (%)"):

• Prospectus table, periods ended December 31, 2025. Before taxes: 15.27% (1 year), 8.18% (5 years), 3.83% (since inception). Russell 3000: 17.15%, 13.15%, 14.54%. Bloomberg U.S. Aggregate: 7.30%, -0.36%, 0.94% (FLSP-PR, page 181).
• Best and worst quarter. Best 9.68% (2024, Q1). Worst -6.76% (2020, Q1). Year to date to June 30, 2026: 2.51% (FLSP-PR, page 180).
• Risk statistics, 3-year, NAV returns, as of September 30, 2026 (FLSP-FS, page 1, "Risk Statistics"): beta -6.10; R-squared 0.02; Sharpe ratio 1.09 (benchmark 0.22); standard deviation 5.19% (benchmark 0.22%); alpha 5.88%. The glossary says beta is measured against "the stated Index," which is the T-bill index (FLSP-FS, page 2, "Glossary"). With an R-squared of 0.02, this beta carries almost no information about stock market sensitivity (my inference). Correlation, drawdown, and up and down capture are not stated.
• Waivers. "Performance would have been lower if fees had not been waived in various periods" (FLSP-FS, page 1).

10. History and structural changes

• Predecessor funds. None stated.
• Reorganizations and 351 conversions. None. Section 351 appears only in a rule letting the trust reject creation orders from a buyer who would own 80% or more of shares (FLSP-SAI, page 112).
• Portfolio manager changes.
  • Brian Powers added August 31, 2026; he "joined Franklin Templeton in August 2026" from Edward Jones (FLSP-PR, page 5, supplement dated August 27, 2026).
  • From September 30, 2026, the listed managers are Christian, Floyd and Powers (FLSP-PR, page 6). Vaneet Chadha, listed since inception in the August 1, 2026 prospectus (FLSP-PR, pages 181 and 510), is no longer listed. The supplement doesn't say why.
  • Robert Christian has managed the fund since 2024; Christopher Floyd since 2023 (FLSP-PR, page 181).
• Conflicts between documents.
  • Christian's tenure: the prospectus says "He joined Franklin Templeton in 2026" and joined K2 Advisors in 2010, yet he has managed the fund "since 2024" (FLSP-PR, page 510). 2010 to 2026 is 16 years (my arithmetic). The fact sheet shows 16 "Years with Firm" (FLSP-FS, page 2). The fact sheet may count time at K2 Advisors (my inference).
  • Floyd's tenure: the prospectus says "He joined Franklin Templeton in 2014" (FLSP-PR, page 510). The fact sheet shows 26 "Years with Firm" (FLSP-FS, page 2).
  • Expense ratio: 0.65% on the fact sheet and in the fee table, versus 0.46% net in the latest financial highlights (FLSP-FS, page 1; FLSP-PR, pages 169 and 514). The fact sheet says its figure is "as of the fund's prospectus."
• Document dates. Prospectus and SAI are dated August 1, 2026, with the August 27, 2026 supplement bound into both. The prospectus also carries a September 10, 2026 supplement that covers only Franklin International Aggregate Bond ETF, not FLSP (FLSP-PR, pages 2 to 4). The fact sheet (September 30, 2026) is the newest document. The latest audited year in the documents ended March 31, 2026. The schedule of investments is as of June 30, 2026, unaudited (FLSP-NP, page 148). The N-PORT reports the same date and was signed August 25, 2026 (FLSP-NPP, Item A.3 and signature block).
  • Conflicts between the schedule and the N-PORT, both for June 30, 2026.
    • Net assets: $953,200,648 (FLSP-NP, page 157) versus $946,373,223.86 (FLSP-NPP, Item B.1). The gap is about $6.8 million, or 0.7% (my arithmetic). The profile's percentages use the schedule's figure.
    • Swap counterparty: Morgan Stanley & Co. LLC (FLSP-NP, page 159) versus Morgan Stanley Capital Services LLC (FLSP-NPP, Item C.11).
    • Swap termination: 7/9/26 (FLSP-NP, page 159) versus 2026-07-20 (FLSP-NPP, Item C.11).

11. Principal risks

Summary list: FLSP-PR, pages 173 to 179, "Principal Risks". Longer descriptions: FLSP-PR, pages 492 to 509.

• Management and Asset Allocation (page 173).
• Use of Leverage (page 174; also page 493). Flag: leverage. Market exposure will be "higher than its NAV"; leverage comes through derivatives with embedded leverage.
• Derivative Instruments (page 174; also pages 493 and 494). Flag: leverage and counterparties. Derivatives "may present the risk that the other party to the transaction will fail to perform." The longer text names counterparty bankruptcy, OTC swaps and loss of margin if an FCM fails.
• Market (pages 174 and 175).
• Liquidity (page 175).
• Credit (page 175).
• Quantitative Models (pages 175 and 176).
• Foreign Securities (non-U.S.) (page 176).
• Emerging Market Countries (page 176).
• Focus (page 176).
• Interest Rate (page 176).
• Commodities (page 177).
• Currency Management Strategies (page 177).
• Short Positions (page 177; also pages 503 and 504). Flag: shorting. Losses are "theoretically unlimited"; shorting "results in a form of leverage."
• Small and Mid Capitalization Companies (pages 177 and 178).
• Portfolio Turnover (page 178).
• Cybersecurity (page 178).
• Market Trading (pages 178 and 179).
• Authorized Participant Concentration (page 179).
• Cash Transactions (page 179). Cash creations and redemptions may be less tax-efficient.
• Large Shareholder (page 179).

The fund details add Tax risk on the subsidiary (page 502), Income risk (page 504) and Regulation Under the Commodity Exchange Act (pages 508 and 509). No principal risk is named for a prime broker or for stock borrow recalls, since the fund doesn't describe direct shorting.

12. Relevance to our fund

• How close is its structure and leverage? Not close (my inference). FLSP is a multi-asset risk premia fund, not an equity market neutral stock book. Its equity shorts come from index futures and swaps, not from borrowing individual stocks. The fund documents give no exposure figures. The June 30, 2026 schedule puts equity gross at about 1.88x, below our 3.0x. Counting bond and commodity futures it is about 3.52x, but that mixes asset classes (FLSP-NP; my arithmetic).
• What does it show about 3.0x gross in a 40 Act ETF? (my inference)
  • It shows a large ETF can carry exposure that "may significantly exceed" net assets by using futures and swaps, which sidesteps the Reg T cap of about 2.0x in fund_context.md. This matches the "other paths" Tidal's team raised: futures and options, and swaps on a custom index.
  • Its "risk premia total return swaps referencing proprietary or third-party indices" are close to the custom-index swap route (S7 in fund_context.md). Tidal's concern that a single swap hides the holdings and that an index costs money (O8, O9) applies here.
  • Index futures give market hedges, not single-stock shorts. A 150/150 book of 75 to 150 named shorts would need single-stock swaps or direct shorts, not index futures alone.
• What does it show about financing, collateral, custody and costs? (my inference)
  • Custody: everything sits at one bank custodian (BNY Mellon), with futures margin at an FCM and swaps under ISDA agreements. There is no prime broker. This avoids Tidal's point that shorts "have to be custodied away" from the main custodian, because there are no borrowed shares.
  • Collateral: the fund "does not typically provide initial margin" on uncleared swaps. That is light collateral, but new margin rules may change it.
  • Costs: the unified fee (0.65%, 0.46% after waivers) excludes interest, borrow costs and short dividends. Swap financing is not reported anywhere in the documents. Using the formula in fund_context.md, a swap route for our fund would cost $150 × L + $150 × S per $100 above the base rate. FLSP's documents don't let us estimate L or S. The June 30, 2026 schedule shows a "0.00%" periodic payment on its basket swap, which hides any financing inside the swap's return.
  • Regulation: FLSP's adviser is a registered CPO for this fund. A 150/150 fund that leans on futures or swaps beyond the Rule 4.5 limits would bring the same CFTC registration for Tidal or the sub-adviser.
  • Cash creations and redemptions are the norm here because swaps and futures can't move in kind. A swap-based 150/150 fund would likely face the same tax cost (my inference).

13. Gaps and open questions

What the documents don't answer, for a 150/150 fund:

• Any internal limit on gross leverage. The basket swap's direction is settled as short (FLSP-NPP, Item C.11).
• Exposure at dates other than June 30, 2026.
• The FCM, and the swap financing spreads (L and S). The swap counterparty (Morgan Stanley & Co. LLC) and forward counterparty (Bank of America N.A.) are known for June 30, 2026.
• What collateral is posted to swap counterparties and FCMs, and where it is held.
• Which Rule 18f-4 VaR test applies, the reference portfolio, and who the derivatives risk manager is.
• The bounds on the risk split between the two sleeves.
• An annual report with swap and futures holdings. The June 30, 2026 schedule shows holdings, but not the swap's direction or financing terms in plain words.

Questions to ask:

• To the fund: Which Morgan Stanley entity is the swap counterparty, and did the swap end on July 9 or July 20, 2026? Why does the N-PORT show $946.4 million of net assets at June 30, 2026, against $953.2 million in the quarterly schedule?
• To the fund: What were gross notional long and short exposure at March 31, 2026 and September 30, 2026?
• To the fund: Who are the FCMs, and what financing is built into the basket swap's "0.00%" leg?
• To the fund: Does the bottom-up sleeve use single-stock total return swaps for shorts, or only index futures and index swaps?
• To the fund: Which VaR test (relative or absolute) and reference portfolio did the board approve?
• To the fund: What explains the 0.02% gap between gross expenses (0.67%) and the 0.65% fee?
• To the fund: Why does the fact sheet show 16 and 26 years with the firm for Christian and Floyd, when the prospectus says they joined in 2026 and 2014?
• To Tidal: Could a 150/150 equity book on Tidal be run like FLSP, with a bank custodian and swaps under ISDA, without a prime broker? Would that make Tidal or the sub-adviser a registered CPO?

Search terms tried for fields left "Not stated":

• Exposure and leverage figures: leverage, gross, net, notional, exposure (fact sheet, PR pages 169 to 182 and 488 to 514).
• Prime broker and margin type: short sale, sold short, prime broker, borrow, margin, Regulation T, portfolio margin.
• Counterparties and financing spreads: swap, counterparty, futures commission, ISDA, collateral, segregat, box spread, reverse repurchase.
• Rule 18f-4: 18f-4, value at risk, value-at-risk, VaR, derivatives risk manager, limited derivatives user, derivatives exposure.
• Bank borrowing: borrowing, asset coverage, line of credit, credit facility.
• Leverage cost and short dividends: interest, dividend expenses, borrowing costs, financial highlights.
• History: predecessor, reorganiz, 351.
• Positions and Morningstar: holdings, number of, Morningstar.
• N-PORT (FLSP-NPP): Items A.2, A.3, B.1, B.2, B.9, B.10, Part E, and the swap and derivative entries in Part C. B.9 and B.10 (Rule 18f-4) are blank. All 285 basket components parsed by script.
• Schedule of investments (FLSP-NP): read in full. Holdings counted and totaled by script; the 11 sector subtotals add up to the stated $643,255,918 stock total.

14. Documents used

Page numbering.

• FLSP-FS: page 1 has no printed number; page 2 has none either. PDF pages only.
• FLSP-PR: PDF page 1 is the cover. PDF pages 2 to 4 are the September 10, 2026 supplement for Franklin International Aggregate Bond ETF (not used for facts). PDF pages 5 and 6 are the FLSP supplement. PDF page 7 is blank and pages 8 and 9 are the contents. From PDF page 10 on, PDF page = printed page + 6. FLSP's summary is PDF pages 169 to 182 (printed 163 to 176). FLSP's fund details are PDF pages 488 to 514 (printed 482 to 508). Shared sections are PDF pages 515 to 531.
• FLSP-SAI: PDF page 1 is the cover (printed 1). PDF pages 2 and 3 are the FLSP supplement. From PDF page 4 on, PDF page = printed page + 2. The SAI is laid out in two columns. Only shared passages and passages naming FLSP were used.
• The PDF file properties show creation dates of March 4, 2025 (prospectus) and January 19, 2024 (SAI). The printed dates on both are August 1, 2026; the printed dates were used.
• FLSP-NP: a text file. Page numbers are the printed numbers of the quarterly report (148 to 160). The last page, which ends the swap's component list, has no printed number and is counted as 161.
• FLSP-NPP: a text file with no page numbers. It is cited by Form N-PORT item number.

15. Snapshot sources

• Ticker: FLSP-FS, page 1, header and "Fund Overview" ("NYSE Arca Ticker FLSP").
• Fund name: FLSP-FS, page 1, header.
• As of date: "Factsheet as of September 30, 2026" (FLSP-FS, page 1, header).
• Adviser: "Franklin Advisers, Inc. (Advisers or investment manager)" (FLSP-PR, page 181, "Investment Manager"). The fact sheet doesn't name the adviser.
• Platform: the fund is a series of Franklin Templeton ETF Trust, whose funds are all Franklin funds managed by Franklin affiliates (FLSP-SAI, page 1, cover; FLSP-SAI, page 4). (my inference) that this is Franklin's own trust.
• Exchange: FLSP-FS, page 1, "Fund Overview" ("Listed Exchange NYSE Arca").
• Inception: FLSP-FS, page 1, "Fund Overview" ("Fund Inception Date 12/18/2019").
• Net assets: "Total Net Assets $1.10 Billion" (FLSP-FS, page 1, "Fund Characteristics"), as of September 30, 2026. $1.10 billion written as $1,100 million (my arithmetic).
• Strategy type: (my inference) from two sleeves, a multi-asset "top-down risk premia strategy and a bottom-up long/short equity strategy" (FLSP-PR, page 170, "Principal Investment Strategies").
• Long %: common stocks of $643,255,918 (67.5%) plus equity index futures bought, at market value $384,330,961 (40.3%), is 107.8% of net assets of $953,200,648 (my arithmetic, from FLSP-NP, pages 148 to 159), as of June 30, 2026. Equity only. The basket swap is short, so it is not counted here (FLSP-NPP, Item C.11).
• Short %: equity index futures sold, at market value $256,872,082 (26.9%), plus the short basket swap notional of $505,395,807 (53.0%), is 80.0% (my arithmetic, from FLSP-NP, pages 158 and 159), as of June 30, 2026. Equity only. The swap's direction comes from the negative component values in FLSP-NPP, Item C.11 (see section 5).
• Gross: equity long plus short is 187.8%, or 1.88x. Adding bond futures (73.2% long, 66.4% short) and commodity futures (10.0% long, 14.1% short) gives 351.5%, or 3.52x. Adding currency forwards, counted once at $1,348,259,598 (141.4%), gives 493.0%, or 4.93x (all my arithmetic, from FLSP-NP, pages 148 to 159), as of June 30, 2026. Futures are at market value.
• Above 2.0x: equity alone is 1.88x, below 2.0x. Across all asset classes it is 3.52x or more (my arithmetic).
• Net: equity long minus equity short is 27.8% (my arithmetic, from FLSP-NP and FLSP-NPP), as of June 30, 2026.
• Short method: futures and swaps: "with equity index futures and equity total return swaps being used to obtain short exposures" (FLSP-PR, page 171, "Principal Investment Strategies").
• Prime broker or counterparty: "Morgan Stanley & Co. LLC" on the total return swap and "Bank of America N.A." on all 14 currency forwards (FLSP-NP, page 159), as of June 30, 2026. The N-PORT names the swap counterparty as "MORGAN STANLEY CAPITAL SERVICES LLC" and the forward counterparty as "Bank of America, National Association" (FLSP-NPP, Item C.11). The fund documents name no prime broker, swap counterparty or FCM, and the schedule doesn't name an FCM.
• Custodian: "BNY Mellon also acts as custodian of the Fund's securities and other assets" (FLSP-SAI, page 99, "Custodian"); BNY Mellon is defined there as The Bank of New York Mellon.
• Management fee: FLSP-PR, page 169, fee table ("Management fees 0.65%"); FLSP-SAI, page 88. A unified fee (FLSP-PR, page 510). The effective fee after the voluntary waiver was 0.46% for the year ended March 31, 2026 (FLSP-PR, page 511).
• Total expense ratio: "Total annual Fund operating expenses 0.65%" (FLSP-PR, page 169), with no waiver line because the waiver is voluntary (FLSP-PR, page 511); "Total Expense Ratio (%) 0.65" (FLSP-FS, page 1). Net expenses were 0.46% for the year ended March 31, 2026 (FLSP-PR, page 514).
• Short costs in expense ratio: the unified fee excludes "interest (including borrowing costs and dividend expenses on securities sold short and overdraft charges)" (FLSP-PR, page 510). The fee table has no line for them (FLSP-PR, page 169).
• 3-month return: 4.91% at NAV, 3 months to September 30, 2026 (FLSP-FS, page 1, "Total Returns (%)", "3-Mth"). Market price return was 3.29%.
• 1-year return: 11.51% at NAV, 1 year to September 30, 2026 (FLSP-FS, page 1, "Total Returns (%)", "1-Yr").
• Beta: FLSP-FS, page 1, "Risk Statistics (NAV Returns) (3-Year)" ("Beta -6.10"). R-squared is 0.02.
• Beta benchmark: the fact sheet names one benchmark, "ICE BofA US 3-Month Treasury Bill Index" (FLSP-FS, page 1, "Benchmark(s)"), and its glossary says beta is measured against "the stated Index" (FLSP-FS, page 2, "Glossary"). (my inference) that the beta is against this index; the risk table's Benchmark column shows a dash (no value) for beta.
• Beta period: "Risk Statistics (NAV Returns) (3-Year)" (FLSP-FS, page 1).
• Leverage Method: futures listed first: "invests primarily in equity, interest rate/bond and commodity index futures; equity and commodity-linked total return swaps; risk premia total return swaps" (FLSP-PR, page 170). For equity shorts: "with equity index futures and equity total return swaps being used to obtain short exposures" (FLSP-PR, page 171). Leverage comes from "derivative instruments that have embedded leverage" such as futures (FLSP-PR, page 174). The order follows the prospectus lists; the documents don't give the split. No options are named as principal. Physical short sales are permitted only (FLSP-SAI, page 63).
• Leverage cost: the fund uses total return swaps and no document reports their financing cost. The fee table has no interest line (FLSP-PR, page 169). The financial highlights give only total gross and net expense ratios (FLSP-PR, page 514).
• Short dividend expense: not reported in any document. Such expenses would sit outside the unified fee (FLSP-PR, page 510).
• Ranking properties (Rank to Score): from the ranking of the 27 LS peers prepared November 11, 2026, using only the project's fund profiles. Each of the seven criteria scores Yes = 1, Partly = 0.5, No or Not stated = 0. Funds sort first by Portfolio margin (YES, LIKELY, POSSIBLE, UNLIKELY, NO), then by Score, then Tidal funds first, then higher gross exposure (my inference).
• Rank: 24 of 27, as of November 11, 2026.
• Long/short: Partly. A multi-strategy fund; its equity book was 107.8% long and 80.0% short on June 30, 2026 (FLSP-NP, pages 148 to 159; my arithmetic).
• Portfolio margin: NO. Short exposure comes from "equity index futures and equity total return swaps" (FLSP-PR, page 171), with no direct short sales as a principal strategy.
• Cross-collateral: Not stated. "Currently, the Fund does not typically provide initial margin in connection with uncleared swaps" (FLSP-SAI, page 33).
• Outside Reg T: No. Leverage comes through futures and swaps, not a margin account (FLSP-PR, page 174) (my inference).
• Short costs (includes dividends): Not stated. No document reports swap financing cost (FLSP-PR, pages 169 and 514).
• Over 2.0x: Partly. 1.88x for equity alone and 4.93x across all asset classes, on June 30, 2026 (FLSP-NP, pages 148 to 159; my arithmetic).
• Tidal: No. The fund is a series of Franklin Templeton ETF Trust (FLSP-SAI, page 1, cover).
• Score: 1 (my arithmetic).

16. Fund Documents

Fact Sheet

Prospectus

SAI