Franklin Floating Rate Master Trust NPORT-P Franklin Floating Rate Master Series (Oct 2020 report)

Franklin

Floating

Rate

Master

Trust

Statement

of

Investments

(unaudited),

October

31,

2020

Franklin

Floating

Rate

Income

Fund

See

Notes

to

Statements

of

Investments.

Quarterly

Statement

of

Investments

1

a

a

Country

Shares

a

Value

a

a

a

a

a

a

Common

Stocks

1.6%

Aerospace

&

Defense

0.0%

a,b,c,d

Remington

Outdoor

Co.,

Inc.

.............................

United

States

732,184

$

—

b

Paper

&

Forest

Products

1.6%

a,b,c

Appvion

Operations,

Inc.

................................

United

States

209,637

3,111,498

b

Road

&

Rail

0.0%

a,b

Onsite

Rental

Group

Operations

Pty.

Ltd.

...................

United

States

4,747,033

—

b

Total

Common

Stocks

(Cost

$35,453,756)

......................................

3,111,498

Principal

Amount

*

Corporate

Bonds

4.1%

Road

&

Rail

4.1%

a,e

Onsite

Rental

Group

Operations

Pty.

Ltd.

,

PIK,

6.1

%

,

10/26/23

...

United

States

8,660,319

7,629,484

Total

Corporate

Bonds

(Cost

$9,095,740)

.......................................

7,629,484

f

Senior

Floating

Rate

Interests

90.1%

Aerospace

&

Defense

1.5%

e

Alloy

FinCo

Ltd.,

Facility

Term

Loan,

B,

0.5%,

PIK,

(3-month

USD

LIBOR

+

0.5%),

3/06/25

...............................

Jersey

2,763,993

734,310

Dynasty

Acquisition

Co.,

Inc.,

2020

Term

Loan

,

B1,

3.72%,

(3-month

USD

LIBOR

+

3.5%),

4/06/26

..........

United

States

1,461,889

1,313,412

B2,

3.72%,

(3-month

USD

LIBOR

+

3.5%),

4/06/26

..........

United

States

785,962

706,136

2,753,858

a

a

a

a

a

a

Airlines

3.9%

Allegiant

Travel

Co.,

Replacement

Term

Loan,

3.254%,

(3-month

USD

LIBOR

+

3%),

2/05/24

............................

United

States

2,454,650

2,323,731

Delta

Air

Lines,

Inc.

/

SkyMiles

IP

Ltd.,

Initial

Term

Loan,

4.75%,

(6-month

USD

LIBOR

+

3.75%),

10/20/27

.................

United

States

692,540

691,241

Delta

Air

Lines,

Inc.,

Term

Loan,

4.964%,

(3-month

USD

LIBOR

+

4.75%),

12/30/38

....................................

United

States

498,750

497,426

JetBlue

Airways

Corp.,

Term

Loan,

6.25%,

(3-month

USD

LIBOR

+

5.25%),

6/17/24

.....................................

United

States

140,416

140,033

Kestrel

Bidco

,

Inc.,

Term

Loan,

4%,

(3-month

USD

LIBOR

+

3%),

12/11/26

..........................................

Canada

4,257,825

3,770,517

7,422,948

a

a

a

a

a

a

Auto

Components

3.8%

Adient

US

LLC,

Initial

Term

Loan,

4.422%,

(3-month

USD

LIBOR

+

4.25%;

1-month

USD

LIBOR

+

4.25%),

5/06/24

.............

United

States

4,126,410

4,076,893

g

Highline

Aftermarket

Acquisition

LLC,

First

Lien,

Term

Loan,

TBD,

10/20/27

..........................................

United

States

519,163

508,131

Panther

BF

Aggregator

2

LP,

First

Lien,

Initial

Dollar

Term

Loan,

3.648%,

(1-month

USD

LIBOR

+

3.5%),

4/30/26

.............

Canada

1,198,733

1,167,565

TRICO

Group

LLC,

First

Lien,

Term

Loan,

B3,

8.5%,

(3-month

USD

LIBOR),

2/02/24

.....................................

United

States

1,490,556

1,483,104

7,235,693

a

a

a

a

a

a

Automobiles

2.0%

Thor

Industries,

Inc.,

Initial

USD

Term

Loan,

3.938%,

(1-month

USD

LIBOR

+

3.75%),

2/01/26

..............................

United

States

3,776,338

3,757,456

Banks

1.5%

Finastra

Ltd.,

First

Lien,

Dollar

Term

Loan,

4.5%,

(3-month

USD

LIBOR

+

3.5%),

6/13/24

...............................

United

Kingdom

2,975,769

2,815,404

Franklin

Floating

Rate

Master

Trust

Statement

of

Investments

(unaudited)

Franklin

Floating

Rate

Income

Fund

(continued)

Quarterly

Statement

of

Investments

See

Notes

to

Statements

of

Investments.

2

a

a

Country

Principal

Amount

*

a

Value

a

a

a

a

a

a

f

Senior

Floating

Rate

Interests

(continued)

Capital

Markets

0.5%

Russell

Investments

US

Institutional

Holdco,

Inc.,

Initial

Term

Loan,

3.75%,

(3-month

USD

LIBOR

+

2.75%),

6/01/23

.............

United

States

80,060

$

79,577

Vertical

Midco

GmbH,

USD

Term

Loan,

4.57%,

(6-month

USD

LIBOR),

6/30/27

.....................................

Germany

947,254

934,826

1,014,403

a

a

a

a

a

a

Chemicals

0.7%

Cyanco

Intermediate

2

Corp.,

First

Lien,

Initial

Term

Loan,

3.648%,

(1-month

USD

LIBOR

+

3.5%),

3/16/25

...................

United

States

1,244,034

1,223,240

Illuminate

Buyer

LLC,

Term

Loan,

4.148%,

(1-month

USD

LIBOR

+

4%),

6/30/27

.......................................

United

States

100,000

98,555

1,321,795

a

a

a

a

a

a

Commercial

Services

&

Supplies

2.8%

Legalzoom.com,

Inc.,

First

Lien,

2018

Term

Loan,

4.648%,

(1-month

USD

LIBOR

+

4.5%),

11/21/24

..........................

United

States

3,866,033

3,812,875

Staples,

Inc.,

2019

Refinancing

New

Term

Loan,

B1,

5.251%,

(3-month

USD

LIBOR

+

5%),

4/16/26

.....................

United

States

1,578,428

1,455,311

5,268,186

a

a

a

a

a

a

Communications

Equipment

0.5%

CommScope

,

Inc.,

Initial

Term

Loan,

3.398%,

(1-month

USD

LIBOR

+

3.25%),

4/06/26

...................................

United

States

978,760

947,821

Construction

Materials

0.5%

h

White

Cap

Buyer

LLC,

Initial

Closing

Date

Term

Loan,

4.5%,

(6-month

USD

LIBOR),

10/19/27

........................

United

States

1,050,000

1,036,686

Containers

&

Packaging

1.2%

BWay

Holding

Co.,

Initial

Term

Loan,

3.48%,

(3-month

USD

LIBOR

+

3.25%),

4/03/24

.....................................

United

States

2,450,044

2,296,917

Diversified

Financial

Services

1.1%

Jefferies

Finance

LLC,

2020

Term

Loan,

4.5%,

(1-month

USD

LIBOR

+

3.75%),

9/30/27

...................................

United

States

1,000,000

991,250

h

Verscend

Holding

Corp.,

Term

Loan,

B,

4.648%,

(1-month

USD

LIBOR

+

4.5%),

8/27/25

...............................

United

States

1,075,440

1,058,136

2,049,386

a

a

a

a

a

a

Diversified

Telecommunication

Services

2.8%

Global

Tel

Link,

First

Lien,

Term

Loan,

4.398%,

(1-month

USD

LIBOR

+

4.25%),

11/29/25

.............................

United

States

4,918,205

4,291,134

Zayo

Group

Holdings,

Inc.,

Initial

Dollar

Term

Loan,

3.148%,

(1-month

USD

LIBOR

+

3%),

3/09/27

.....................

United

States

1,054,700

1,018,487

5,309,621

a

a

a

a

a

a

Electric

Utilities

1.1%

EFS

Cogen

Holdings

I

LLC,

Term

Loan,

4.5%,

(3-month

USD

LIBOR

+

3.5%),

10/01/27

...................................

United

States

2,100,000

2,087,201

Entertainment

3.7%

Banijay

Entertainment

SAS,

Facility

USD

Term

Loan,

B,

(1-month

USD

LIBOR

+

3.75%),

3/01/25

..........................

France

2,430,000

2,363,175

Diamond

Sports

Group

LLC,

Term

Loan,

3.4%,

(1-month

USD

LIBOR

+

3.25%),

8/24/26

..............................

United

States

7,460,110

4,678,123

7,041,298

a

a

a

a

a

a

Franklin

Floating

Rate

Master

Trust

Statement

of

Investments

(unaudited)

Franklin

Floating

Rate

Income

Fund

(continued)

See

Notes

to

Statements

of

Investments.

Quarterly

Statement

of

Investments

3

a

a

Country

Principal

Amount

*

a

Value

a

a

a

a

a

a

f

Senior

Floating

Rate

Interests

(continued)

Food

&

Staples

Retailing

0.3%

Shearer's

Foods

LLC,

First

Lien,

Term

Loan,

4.75%,

(3-month

USD

LIBOR

+

4%),

9/23/27

................................

United

States

503,264

$

498,546

Food

Products

0.7%

CSM

Bakery

Solutions

Ltd.,

Second

L

ien,

Term

Loan,

1

1%,

(3-month

USD

LIBOR

+

10%),

2

/0

4

/2

2

...........................

United

States

1,367,014

1,308,764

Health

Care

Providers

&

Services

8.7%

g,h

CNT

Holdings

I

Corp.,

First

Lien,

Term

Loan

Facility,

TBD,

10/16/27

United

States

141,992

140,601

h

eResearchTechnology

,

Inc.,

First

Lien,

Initial

Term

Loan,

5.5%,

(1-month

USD

LIBOR

+

4.5%),

2/04/27

...................

United

States

1,169,795

1,164,678

Gentiva

Health

Services,

Inc.,

First

Lien,

Term

Loan,

B,

3.438%,

(1-month

USD

LIBOR

+

3.25%),

7/02/25

..................

United

States

955,200

937,290

Global

Medical

Response,

Inc.,

2018

New

Term

Loan,

5.25%,

(3-month

USD

LIBOR

+

4.25%),

3/14/25

..................

United

States

1,200,871

1,163,716

GNC

Holdings,

Inc.,

Second

Lien,

Term

Loan,

6.234%,

(3-month

USD

LIBOR),

10/30/26

................................

United

States

4,988,959

3,866,443

National

Mentor

Holdings,

Inc.,

First

Lien,

Initial

Term

Loan

,

4.4%,

(1-month

USD

LIBOR

+

4.25%),

3/09/26

..............

United

States

245,477

241,948

C,

4.4%,

(1-month

USD

LIBOR

+

4.25%),

3/09/26

...........

United

States

11,205

11,044

h

Navicure

,

Inc.,

First

Lien,

Initial

Term

Loan,

4.148%,

(1-month

USD

LIBOR

+

4%),

10/22/26

...............................

United

States

3,010,700

2,944,209

h,i

Pathway

Vet

Alliance

LLC,

First

Lien,

Initial

Term

Loan,

4.148%,

(1-month

USD

LIBOR

+

4%),

3/31/27

.....................

United

States

2,117,460

2,075,111

h

Phoenix

Guarantor,

Inc.,

First

Lien,

Term

Loan,

B1,

3.397%,

(1-month

USD

LIBOR

+

3.25%),

3/05/26

..................

United

States

3,306,467

3,207,967

U.S.

Anesthesia

Partners,

Inc.,

First

Lien,

Initial

Term

Loan,

4%,

(3-month

USD

LIBOR

+

3%),

6/23/24

.....................

United

States

807,077

759,375

16,512,382

a

a

a

a

a

a

Hotels,

Restaurants

&

Leisure

1.3%

24

Hour

Fitness

Worldwide,

Inc.,

Debtor-in-possession

New

Money

Term

Loan,

11%,

(12-month

USD

LIBOR;

3-month

USD

LIBOR),

6/17/21

...........................................

United

States

1,340,129

1,049,764

24

Hour

Fitness

Worldwide,

Inc.,

Debtor-in-possession

Roll-Up

Term

Loan,

11%,

(3-month

USD

LIBOR

+

10%),

6/17/21

...........

United

States

1,228,502

962,322

j

24

Hour

Fitness

Worldwide,

Inc.,

Term

Loan,

(1-month

USD

LIBOR

+

3.5%),

5/30/25

......................................

United

States

3,269,626

75,267

Caesars

Resort

Collection

LLC,

Term

Loan

,

B,

2.898%,

(1-month

USD

LIBOR

+

2.75%),

12/23/24

.........

United

States

80,014

75,246

B1,

4.649%,

(3-month

USD

LIBOR

+

4.5%;

1-month

USD

LIBOR

+

4.5%),

7/21/25

......................................

United

States

315,927

306,747

2,469,346

a

a

a

a

a

a

Household

Durables

1.9%

Playtika

Holding

Corp.,

Term

Loan,

B,

7%,

(3-month

USD

LIBOR

+

6%),

12/10/24

......................................

United

States

3,685,585

3,695,223

Household

Products

0.5%

Knowlton

Development

Corp.,

Inc.,

2020

Initial

Term

Loan,

3.898%,

(1-month

USD

LIBOR

+

3.75%),

12/22/25

.................

Canada

883,014

865,354

Insurance

2.7%

Alliant

Holdings

Intermediate

LLC,

2018

Initial

Term

Loan,

2.898%,

(1-month

USD

LIBOR

+

2.75%),

5/09/25

..................

United

States

1,855,957

1,791,416

g,h

Alliant

Holdings

Intermediate

LLC,

Term

Loan,

B3,

TBD,

10/08/27

.

United

States

128,220

127,219

h

AssuredPartners

,

Inc.,

2020

February

Refinancing

Term

Loan,

3.648%,

(1-month

USD

LIBOR

+

3.5%),

2/12/27

.............

United

States

3,011,703

2,912,482

Franklin

Floating

Rate

Master

Trust

Statement

of

Investments

(unaudited)

Franklin

Floating

Rate

Income

Fund

(continued)

Quarterly

Statement

of

Investments

See

Notes

to

Statements

of

Investments.

4

a

a

Country

Principal

Amount

*

a

Value

a

a

a

a

a

a

f

Senior

Floating

Rate

Interests

(continued)

Insurance

(continued)

AssuredPartners

,

Inc.,

2020

June

Incremental

Term

Loan,

5.5%,

(1-month

USD

LIBOR

+

4.5%),

2/12/27

...................

United

States

248,750

$

248,190

5,079,307

a

a

a

a

a

a

IT

Services

8.6%

Aventiv

Technologies

LLC,

First

Lien,

Initial

Term

Loan,

5.5%,

(3-month

USD

LIBOR

+

4.5%),

11/01/24

..................

United

States

10,965,354

9,234,583

Aventiv

Technologies

LLC,

Second

Lien,

Initial

Term

Loan,

9.25%,

(6-month

USD

LIBOR

+

8.25%),

11/01/25

..................

United

States

1,645,000

1,033,167

g,h

Barracuda

Networks,

Inc.,

Term

Loan,

TBD,

2/12/25

...........

United

States

853,431

840,630

Informatica

LLC,

Dollar

2020

Term

Loan,

3.398%,

(1-month

USD

LIBOR

+

3.25%),

2/25/27

..............................

United

States

308,450

298,965

h

Milano

Acquisition

Corp.,

Term

Loan,

B,

4.75%,

(3-month

USD

LIBOR

+

4%),

10/01/27

...............................

United

States

1,461,106

1,440,409

Pitney

Bowes,

Inc.,

Incremental

Term

Loan,

B,

5.65%,

(1-month

USD

LIBOR

+

5.5%),

1/07/25

...............................

United

States

3,373,839

3,335,462

16,183,216

a

a

a

a

a

a

Leisure

Products

2.6%

Bass

Pro

Group

LLC,

Initial

Term

Loan,

5.75%,

(3-month

USD

LIBOR

+

5%),

9/25/24

................................

United

States

4,950,606

4,945,210

Machinery

3.0%

Altra

Industrial

Motion

Corp.,

Term

Loan,

2.148%,

(1-month

USD

LIBOR

+

2%),

10/01/25

...............................

United

States

282,292

277,485

Navistar,

Inc.,

Term

Loan,

B,

3.65%,

(1-month

USD

LIBOR

+

3.5%),

11/06/24

..........................................

United

States

5,500,570

5,460,691

5,738,176

a

a

a

a

a

a

Media

4.0%

Clear

Channel

Outdoor

Holdings,

Inc.,

Term

Loan,

B,

3.714%,

(2-month

USD

LIBOR

+

3.5%;

3-month

USD

LIBOR

+

3.5%),

8/21/26

...........................................

United

States

2,054,811

1,878,868

CSC

Holdings

LLC,

March

2017

Refinancing

Term

Loan,

2.398%,

(1-month

USD

LIBOR

+

2.25%),

7/17/25

..................

United

States

1,670,398

1,617,154

Nielsen

Finance

LLC,

Dollar

Term

Loan,

B5,

4.75%,

(1-month

USD

LIBOR

+

3.75%),

6/04/25

..............................

United

States

765,307

764,925

Radiate

HoldCo

LLC,

Term

Loan,

B,

4.25%,

(1-month

USD

LIBOR

+

3.5%),

9/25/26

......................................

United

States

229,677

226,216

Sinclair

Television

Group,

Inc.,

Term

Loan

,

B,

2.4%,

(1-month

USD

LIBOR

+

2.25%),

1/03/24

...........

United

States

984,655

957,227

B2,

2.65%,

(1-month

USD

LIBOR

+

2.5%),

9/30/26

..........

United

States

656,683

638,897

Univision

Communications,

Inc.,

First

Lien,

2020

Replacement

Term

Loan,

4.75%,

(1-month

USD

LIBOR

+

3.75%),

3/15/26

........

United

States

997,500

974,278

g,h

Virgin

Media

Bristol

LLC,

Term

Loan,

Q,

TBD,

1/31/29

..........

United

States

502,109

493,322

7,550,887

a

a

a

a

a

a

Multiline

Retail

0.7%

Harbor

Freight

Tools

USA,

Inc.,

Initial

Term

Loan

(2020),

4%,

(1-month

USD

LIBOR

+

3.25%),

10/19/27

.................

United

States

1,311,051

1,294,584

Oil,

Gas

&

Consumable

Fuels

2.8%

EG

Group

Ltd.,

Additional

Facility

USD

Term

Loan,

4.22%,

(3-month

USD

LIBOR

+

4%),

2/07/25

............................

United

Kingdom

576,834

555,295

h,i

Fieldwood

Energy

LLC,

Debtor-in-possession

Facility

Term

Loan,

3.675%,

(1-month

USD

LIBOR;

1-month

USD

LIBOR

+

8.75%),

8/04/21

...........................................

United

States

245,778

247,007

Franklin

Floating

Rate

Master

Trust

Statement

of

Investments

(unaudited)

Franklin

Floating

Rate

Income

Fund

(continued)

See

Notes

to

Statements

of

Investments.

Quarterly

Statement

of

Investments

5

a

a

Country

Principal

Amount

*

a

Value

a

a

a

a

a

a

f

Senior

Floating

Rate

Interests

(continued)

Oil,

Gas

&

Consumable

Fuels

(continued)

j

Fieldwood

Energy

LLC,

First

Lien,

Closing

Date

Term

Loan,

(3-month

USD

LIBOR

+

5.25%),

4/11/22

..........................

United

States

20,615,151

$

4,535,333

5,337,635

a

a

a

a

a

a

Paper

&

Forest

Products

3.9%

Appvion

Operations,

Inc.,

Term

Loan,

7%,

(3-month

USD

LIBOR

+

6%),

6/12/26

.......................................

United

States

7,572,606

7,440,086

Personal

Products

0.2%

Coty,

Inc.,

USD

Term

Loan,

B,

2.39%,

(1-month

USD

LIBOR

+

2.25%),

4/07/25

.....................................

United

States

348,219

306,514

Real

Estate

Management

&

Development

0.7%

Cushman

&

Wakefield

U.S.

Borrower

LLC,

Replacement

Term

Loan,

2.898%,

(1-month

USD

LIBOR

+

2.75%),

8/21/25

............

United

States

1,293,500

1,241,760

Road

&

Rail

5.0%

Kenan

Advantage

Group

Holdings

Corp.

(The),

Initial

Canadian

Term

Loan,

4%,

(1-month

USD

LIBOR

+

3%),

7/29/22

.............

United

States

363,458

351,853

Kenan

Advantage

Group

Holdings

Corp.

(The),

Initial

U.S.

Term

Loan,

4%,

(1-month

USD

LIBOR

+

3%),

7/29/22

.............

United

States

1,528,418

1,479,616

a

Onsite

Rental

Group

Operations

Pty.

Ltd.,

Term

Loan,

B,

5.5%,

(1-month

USD

LIBOR

+

4.5%),

10/26/22

..................

United

States

6,334,266

5,821,358

Ventia

Midco

Pty.

Ltd.,

2017

Refinancing

USD

Term

Loan,

B,

5%,

(3-month

USD

LIBOR

+

4%),

5/21/26

.....................

Australia

1,838,844

1,815,858

9,468,685

a

a

a

a

a

a

Software

12.0%

h

athenahealth

,

Inc.,

First

Lien,

Term

Loan,

B,

4.75%,

(3-month

USD

LIBOR

+

4.5%),

2/11/26

...............................

United

States

1,997,475

1,960,022

g,h

Blackboard,

Inc.,

First

Lien,

Term

Loan,

B5,

TBD,

6/30/24

.......

United

States

3,025,365

2,933,666

DCert

Buyer,

Inc.,

First

Lien,

Initial

Term

Loan,

4.148%,

(1-month

USD

LIBOR

+

4%),

10/16/26

...........................

United

States

1,491,627

1,465,986

Epicor

Software

Corp.,

Term

Loan,

B,

5.25%,

(1-month

USD

LIBOR),

7/30/27

...........................................

United

States

591,724

590,318

g,h

Greeneden

U.S.

Holdings

I

LLC,

Term

Loan,

B,

TBD,

10/08/27

...

United

States

1,645,286

1,622,153

Hyland

Software,

Inc.,

First

Lien,

2018

Refinancing

Term

Loan,

4.25%,

(1-month

USD

LIBOR

+

3.5%),

7/01/24

..............

United

States

381,402

376,841

Idera

,

Inc.,

First

Lien,

Initial

Term

Loan,

5%,

(3-month

USD

LIBOR

+

4%),

6/28/24

.......................................

United

States

533,367

525,702

LogMeIn,

Inc.,

First

Lien,

Initial

Term

Loan,

4.89%,

(1-month

USD

LIBOR

+

4.75%),

8/31/27

..............................

United

States

2,298,407

2,232,339

MA

Financeco

LLC,

Term

Loan,

B4,

5.25%,

(3-month

USD

LIBOR

+

4.25%),

6/05/25

.....................................

United

States

250,000

249,219

h

Mitchell

International,

Inc.,

First

Lien,

Amendment

No.

2

New

Term

Loan

Facility,

4.75%,

(1-month

USD

LIBOR),

11/29/24

........

United

States

2,460,000

2,391,120

Perforce

Software,

Inc.,

First

Lien,

New

Term

Loan,

3.898%,

(1-month

USD

LIBOR

+

3.75%),

7/01/26

..................

United

States

1,988,970

1,943,154

h

Quest

Software

US

Holdings,

Inc.,

First

Lien,

Initial

Term

Loan,

4.464%,

(3-month

USD

LIBOR

+

4.25%),

5/16/25

............

United

States

2,009,810

1,942,612

h

Sophia

LP,

Term

Loan,

B,

4.5%,

(3-month

USD

LIBOR

+

3.75%),

10/07/27

..........................................

United

States

629,080

619,971

Surf

Holdings

SARL,

First

Lien,

Dollar

Term

Loan,

3.75%,

(3-month

USD

LIBOR

+

3.5%),

3/05/27

...........................

Luxembourg

1,447,464

1,405,126

Ultimate

Software

Group,

Inc.

(The),

First

Lien,

2020

Incremental

Term

Loan,

4.75%,

(3-month

USD

LIBOR

+

4%),

5/04/26

......

United

States

201,382

200,565

Franklin

Floating

Rate

Master

Trust

Statement

of

Investments

(unaudited)

Franklin

Floating

Rate

Income

Fund

(continued)

Quarterly

Statement

of

Investments

See

Notes

to

Statements

of

Investments.

6

See

Abbreviations

on

page

27

.

a

a

Country

Principal

Amount

*

a

Value

a

a

a

a

a

a

f

Senior

Floating

Rate

Interests

(continued)

Software

(continued)

h

Veritas

US,

Inc.,

Term

Loan,

B,

6.5%,

(3-month

USD

LIBOR

+

5.5%),

9/01/25

...........................................

United

States

2,249,356

$

2,206,831

22,665,625

a

a

a

a

a

a

Specialty

Retail

2.3%

j

General

Nutrition

Centers,

Inc.,

Term

Loan,

B2,

(1-month

USD

LIBOR

+

8.75%;

3-month

USD

LIBOR

+

7.75%),

3/04/21

......

United

States

4,988,959

3,891,388

h

Petco

Animal

Supplies,

Inc.,

Term

Loan,

4.25%,

(3-month

USD

LIBOR

+

3.25%),

1/26/23

..............................

United

States

494,570

461,681

4,353,069

a

a

a

a

a

a

Technology

Hardware,

Storage

&

Peripherals

0.6%

g

Amentum

Government

Services

Holdings

LLC,

Incremental

Term

Loan,

TBD,

1/29/27

..................................

United

States

770,000

755,563

Cardtronics

USA,

Inc.,

Initial

Term

Loan,

5%,

(1-month

USD

LIBOR

+

4%),

6/29/27

.......................................

United

States

430,791

431,329

1,186,892

a

a

a

a

a

a

Total

Senior

Floating

Rate

Interests

(Cost

$199,741,075)

.........................

170,499,934

Shares/Units

Escrows

and

Litigation

Trusts

0.0%

a,d

Remington

Outdoor

Co.,

Inc.,

Litigation

Units

.................

United

States

68,931

—

Total

Escrows

and

Litigation

Trusts

(Cost

$–)

...................................

—

Total

Long

Term

Investments

(Cost

$244,290,571)

...............................

181,240,916

a

Short

Term

Investments

5.5%

a

a

Country

Shares

a

Value

a

Money

Market

Funds

5.5%

k,l

Institutional

Fiduciary

Trust

-

Money

Market

Portfolio,

0%

........

United

States

10,405,285

10,405,285

Total

Money

Market

Funds

(Cost

$10,405,285)

..................................

10,405,285

Total

Short

Term

Investments

(Cost

$10,405,285

)

................................

10,405,285

a

Total

Investments

(Cost

$254,695,856)

101.3%

..................................

$191,646,201

Other

Assets,

less

Liabilities

(1.3)%

...........................................

(2,454,528)

Net

Assets

100.0%

...........................................................

$189,191,673

*

The

principal

amount

is

stated

in

U.S.

dollars

unless

otherwise

indicated.

a

Fair

valued

using

significant

unobservable

inputs.

See

Note

8

regarding

fair

value

measurements.

b

Non-income

producing.

c

See

Note

4

regarding

restricted

securities.

d

See

Note

5

regarding

holdings

of

5%

voting

securities.

e

Income

may

be

received

in

additional

securities

and/or

cash.

f

The

coupon

rate

shown

represents

the

rate

at

period

end.

g

A

portion

or

all

of

the

security

represents

an

unsettled

loan

commitment.

The

coupon

rate

is

to-be

determined

(TBD)

at

the

time

of

the

settlement

and

will

be

based

upon

a

reference

index/floor

plus

a

spread.

h

A

portion

or

all

of

the

security

purchased

on

a

delayed

delivery

basis.

i

See

Note

6

regarding

unfunded

loan

commitments.

Franklin

Floating

Rate

Master

Trust

Statement

of

Investments

(unaudited)

Franklin

Floating

Rate

Income

Fund

(continued)

See

Notes

to

Statements

of

Investments.

Quarterly

Statement

of

Investments

7

j

Defaulted

security

or

security

for

which

income

has

been

deemed

uncollectible.

k

See

Note

7

regarding

investments

in

affiliated

management

investment

companies.

l

The

rate

shown

is

the

annualized

seven-day

effective

yield

at

period

end.

Franklin

Floating

Rate

Master

Trust

Statement

of

Investments

(unaudited),

October

31,

2020

Franklin

Floating

Rate

Master

Series

Quarterly

Statement

of

Investments

See

Notes

to

Statements

of

Investments.

8

a

a

Country

Shares

a

Value

%

of

Net

Assets

a

Common

Stocks

Aerospace

&

Defense

a,b,c,d

Remington

Outdoor

Co.,

Inc.

.....................

United

States

1,048,435

$

—

0.00

b

Oil

&

Gas

Exploration

&

Production

a,b

Samson

Resources

II

LLC

.......................

United

States

155,501

524,816

0.15

b

Paper

Products

a,b,c,d

Appvion

Operations,

Inc.

........................

United

States

563,596

8,365,065

2.44

b

Trucking

a,b

Onsite

Rental

Group

Operations

Pty.

Ltd.

...........

United

States

5,879,078

—

0.00

b

Total

Common

Stocks

(Cost

$50,101,360)

...............................

8,889,881

2.59

Management

Investment

Companies

Asset

Management

&

Custody

Banks

e

Franklin

Floating

Rate

Income

Fund

...............

United

States

461,717

3,356,679

0.98

e

Franklin

Liberty

Senior

Loan

ETF

.................

United

States

957,785

22,979,753

6.69

26,336,432

7.67

Total

Management

Investment

Companies

(Cost

$28,640,359)

.............

26,336,432

7.67

Principal

Amount

*

a

a

a

a

a

Corporate

Bonds

Airlines

f

Delta

Air

Lines,

Inc.

/

SkyMiles

IP

Ltd.,

Senior

Secured

Note,

144A,

4.5%,

10/20/25

....................

United

States

1,250,000

1,269,660

0.37

Broadcasting

f

Diamond

Sports

Group

LLC

/

Diamond

Sports

Finance

Co.,

Senior

Secured

Note,

144A,

5.375%,

8/15/26

...

United

States

240,000

140,250

0.04

f

Univision

Communications,

Inc.,

Senior

Secured

Note,

144A,

5.125%,

2/15/25

........................

United

States

400,000

393,750

0.12

534,000

0.16

Construction

Materials

f

Cemex

SAB

de

CV,

Senior

Secured

Note,

144A,

5.2%,

9/17/30

...................................

Mexico

750,000

793,230

0.23

Oil

&

Gas

Storage

&

Transportation

f

Cheniere

Energy,

Inc.,

Senior

Secured

Note,

144A,

4.625%,

10/15/28

............................

United

States

450,000

465,187

0.14

Packaged

Foods

&

Meats

f

Chobani

LLC

/

Chobani

Finance

Corp.,

Inc.,

Senior

Secured

Note,

144A,

4.625%,

11/15/28

...........

United

States

100,000

100,580

0.03

Paper

Packaging

f

Reynolds

Group

Issuer,

Inc.

/

Reynolds

Group

Issuer

LLC

/

Reynolds

Group

Issuer

Luxembourg

SA,

Senior

Secured

Note,

144A,

4%,

10/15/27

...............

United

States

500,000

508,125

0.15

Trucking

a,g

Onsite

Rental

Group

Operations

Pty.

Ltd.,

PIK,

6.1%,

10/26/23

..................................

United

States

10,725,759

9,449,075

2.75

Wireless

Telecommunication

Services

f

Vmed

O2

UK

Financing

I

plc,

Senior

Secured

Bond,

144A,

4.25%,

1/31/31

.........................

United

Kingdom

360,000

360,900

0.10

Total

Corporate

Bonds

(Cost

$15,453,884)

...............................

13,480,757

3.93

Franklin

Floating

Rate

Master

Trust

Statement

of

Investments

(unaudited)

Franklin

Floating

Rate

Master

Series

(continued)

See

Notes

to

Statements

of

Investments.

Quarterly

Statement

of

Investments

9

a

a

Country

Principal

Amount

*

a

Value

%

of

Net

Assets

a

a

a

a

a

a

h

Senior

Floating

Rate

Interests

Advertising

Clear

Channel

Outdoor

Holdings,

Inc.,

Term

Loan,

B,

3.714%,

(2-month

USD

LIBOR

+

3.5%;

3-month

USD

LIBOR

+

3.5%),

8/21/26

.......................

United

States

1,306,700

$

1,194,814

0.35

Aerospace

&

Defense

AI

Convoy

(Luxembourg)

SARL,

Facility

USD

Term

Loan,

B,

4.5%,

(2-month

USD

LIBOR

+

3.5%;

6-month

USD

LIBOR

+

3.5%),

1/18/27

.......................

Luxembourg

1,234,795

1,215,890

0.35

g

Alloy

FinCo

Ltd.,

Facility

Term

Loan,

B,

0.5%,

PIK,

(3-month

USD

LIBOR

+

0.5%),

3/06/25

...........

Jersey

2,086,186

554,237

0.16

Dynasty

Acquisition

Co.,

Inc.,

2020

Term

Loan

,

B1,

3.72%,

(3-month

USD

LIBOR

+

3.5%),

4/06/26

..

United

States

410,966

369,226

0.11

B2,

3.72%,

(3-month

USD

LIBOR

+

3.5%),

4/06/26

..

United

States

220,949

198,509

0.06

a

FGI

Operating

Co.

LLC,

Last

Out

Initial

Term

Loan,

13%,

(3-month

USD

LIBOR

+

10%;

3-month

USD

LIBOR

+

11%

+

7.5%),

5/17/21

.........................

United

States

6,848,631

6,848,631

2.00

a,g,i

FGI

Operating

Co.

LLC,

Term

Loan,

PIK,

(3-month

USD

LIBOR

+

11%),

5/16/22

.......................

United

States

11,513,813

7,492,226

2.18

16,678,719

4.86

a

a

a

a

a

a

Air

Freight

&

Logistics

XPO

Logistics,

Inc.,

2018

Refinancing

Term

Loan,

2.148%,

(1-month

USD

LIBOR

+

2%),

2/24/25

......

United

States

280,000

275,135

0.08

Airlines

Allegiant

Travel

Co.,

Replacement

Term

Loan,

3.254%,

(3-month

USD

LIBOR

+

3%),

2/05/24

.............

United

States

4,076,666

3,859,237

1.12

Delta

Air

Lines,

Inc.

/

SkyMiles

IP

Ltd.,

Initial

Term

Loan,

4.75%,

(6-month

USD

LIBOR

+

3.75%),

10/20/27

....

United

States

956,180

954,387

0.28

JetBlue

Airways

Corp.,

Term

Loan,

6.25%,

(3-month

USD

LIBOR

+

5.25%),

6/17/24

......................

United

States

434,156

432,970

0.13

Kestrel

Bidco

,

Inc.,

Term

Loan,

4%,

(3-month

USD

LIBOR

+

3%),

12/11/26

.............................

Canada

2,904,172

2,571,790

0.75

7,818,384

2.28

a

a

a

a

a

a

Alternative

Carriers

Zayo

Group

Holdings,

Inc.,

Initial

Dollar

Term

Loan,

3.148%,

(1-month

USD

LIBOR

+

3%),

3/09/27

......

United

States

696,500

672,586

0.20

Apparel,

Accessories

&

Luxury

Goods

Champ

Acquisition

Corp.,

First

Lien,

Initial

Term

Loan,

5.72%,

(3-month

USD

LIBOR

+

5.5%),

12/19/25

.....

United

States

1,072,010

1,011,544

0.29

Application

Software

j,k

Blackboard,

Inc.,

First

Lien,

Term

Loan,

B5,

TBD,

6/30/24

United

States

1,867,179

1,810,585

0.53

Ceridian

HCM

Holding,

Inc.,

Initial

Term

Loan,

2.594%,

(1-week

USD

LIBOR

+

2.5%),

4/30/25

............

United

States

694,684

673,736

0.20

Epicor

Software

Corp.,

Term

Loan,

B,

5.25%,

(1-month

USD

LIBOR),

7/30/27

.........................

United

States

572,942

571,581

0.17

j,k

Greeneden

U.S.

Holdings

I

LLC,

Term

Loan,

B,

TBD,

10/08/27

..................................

United

States

901,541

888,865

0.26

LogMeIn,

Inc.,

First

Lien,

Initial

Term

Loan,

4.89%,

(1-month

USD

LIBOR

+

4.75%),

8/31/27

..........

United

States

497,402

483,104

0.14

k

Mitchell

International,

Inc.,

First

Lien,

Amendment

No.

2

New

Term

Loan

Facility,

4.75%,

(1-month

USD

LIBOR),

11/29/24

..................................

United

States

1,000,000

972,000

0.28

Project

Alpha

Intermediate

Holding,

Inc.,

Term

Loan,

4.5%,

(3-month

USD

LIBOR

+

3.5%),

4/26/24

......

United

States

1,099,098

1,082,337

0.31

Franklin

Floating

Rate

Master

Trust

Statement

of

Investments

(unaudited)

Franklin

Floating

Rate

Master

Series

(continued)

Quarterly

Statement

of

Investments

See

Notes

to

Statements

of

Investments.

10

a

a

Country

Principal

Amount

*

a

Value

%

of

Net

Assets

a

a

a

a

a

a

h

Senior

Floating

Rate

Interests

(continued)

Application

Software

(continued)

Solera

LLC

(Solera

Finance,

Inc.),

Dollar

Term

Loan,

2.916%,

(2-month

USD

LIBOR

+

2.75%),

3/03/23

....

United

States

497,396

$

485,406

0.14

k

Sophia

LP,

Term

Loan,

B,

4.5%,

(3-month

USD

LIBOR

+

3.75%),

10/07/27

............................

United

States

373,050

367,648

0.11

Surf

Holdings

SARL,

First

Lien,

Dollar

Term

Loan,

3.75%,

(3-month

USD

LIBOR

+

3.5%),

3/05/27

...........

Luxembourg

1,698,154

1,648,483

0.48

Ultimate

Software

Group,

Inc.

(The),

First

Lien,

2020

Incremental

Term

Loan,

4.75%,

(3-month

USD

LIBOR

+

4%),

5/04/26

...............................

United

States

381,802

380,252

0.11

Ultimate

Software

Group,

Inc.

(The),

First

Lien,

Initial

Term

Loan,

3.898%,

(1-month

USD

LIBOR

+

3.75%),

5/04/26

...................................

United

States

646,734

636,942

0.19

k

Veritas

US,

Inc.,

Term

Loan,

B,

6.5%,

(3-month

USD

LIBOR

+

5.5%),

9/01/25

.......................

United

States

441,817

433,465

0.13

10,434,404

3.05

a

a

a

a

a

a

Asset

Management

&

Custody

Banks

Russell

Investments

US

Institutional

Holdco,

Inc.,

Initial

Term

Loan,

3.75%,

(3-month

USD

LIBOR

+

2.75%),

6/01/23

...................................

United

States

1,258,950

1,251,346

0.36

Auto

Parts

&

Equipment

Adient

US

LLC,

Initial

Term

Loan,

4.422%,

(3-month

USD

LIBOR

+

4.25%;

1-month

USD

LIBOR

+

4.25%),

5/06/24

...................................

United

States

3,419,623

3,378,588

0.98

j

Highline

Aftermarket

Acquisition

LLC,

First

Lien,

Term

Loan,

TBD,

10/20/27

.........................

United

States

429,305

420,182

0.12

Panther

BF

Aggregator

2

LP,

First

Lien,

Initial

Dollar

Term

Loan,

3.648%,

(1-month

USD

LIBOR

+

3.5%),

4/30/26

Canada

3,904,891

3,803,364

1.11

TI

Group

Automotive

Systems

LLC,

Initial

US

Term

Loan

(2020),

4.5%,

(3-month

USD

LIBOR

+

3.75%),

12/16/24

United

States

1,481,816

1,476,259

0.43

TRICO

Group

LLC,

First

Lien,

Term

Loan,

B3,

8.5%,

(3-month

USD

LIBOR),

2/02/24

.................

United

States

1,019,666

1,014,567

0.30

10,092,960

2.94

a

a

a

a

a

a

Automobile

Manufacturers

Thor

Industries,

Inc.,

Initial

USD

Term

Loan,

3.938%,

(1-month

USD

LIBOR

+

3.75%),

2/01/26

..........

United

States

2,747,883

2,734,144

0.80

Automotive

Retail

Wand

NewCo

3,

Inc.,

First

Lien,

Term

Loan,

B1,

3.148%,

(1-month

USD

LIBOR

+

3%),

2/05/26

.............

United

States

1,481,306

1,429,927

0.41

Biotechnology

Grifols

Worldwide

Operations

Ltd.,

Dollar

Term

Loan,

B,

2.094%,

(1-week

USD

LIBOR

+

2%),

11/15/27

......

Ireland

1,161,705

1,135,061

0.33

Horizon

Therapeutics

USA,

Inc.,

Seventh

Amendment

Refinancing

Term

Loan,

2.188%,

(1-month

USD

LIBOR

+

2%),

5/22/26

..............................

United

States

1,764,270

1,731,923

0.50

2,866,984

0.83

a

a

a

a

a

a

Broadcasting

Gray

Television,

Inc.,

Term

Loan,

B2,

2.399%,

(1-month

USD

LIBOR

+

2.25%),

2/07/24

..................

United

States

5,764,652

5,635,466

1.64

Nexstar

Broadcasting,

Inc.,

Term

Loan,

B3,

2.402%,

(1-month

USD

LIBOR

+

2.25%),

1/17/24

..........

United

States

2,621,435

2,559,176

0.75

Franklin

Floating

Rate

Master

Trust

Statement

of

Investments

(unaudited)

Franklin

Floating

Rate

Master

Series

(continued)

See

Notes

to

Statements

of

Investments.

Quarterly

Statement

of

Investments

11

a

a

Country

Principal

Amount

*

a

Value

%

of

Net

Assets

a

a

a

a

a

a

h

Senior

Floating

Rate

Interests

(continued)

Broadcasting

(continued)

Sinclair

Television

Group,

Inc.,

Term

Loan,

B,

2.4%,

(1-month

USD

LIBOR

+

2.25%),

1/03/24

..........

United

States

6,139,059

$

5,968,055

1.74

14,162,697

4.13

a

a

a

a

a

a

Cable

&

Satellite

CSC

Holdings

LLC,

March

2017

Refinancing

Term

Loan,

2.398%,

(1-month

USD

LIBOR

+

2.25%),

7/17/25

....

United

States

7,941,250

7,688,123

2.24

Radiate

HoldCo

LLC,

Term

Loan,

B,

4.25%,

(1-month

USD

LIBOR

+

3.5%),

9/25/26

...................

United

States

327,833

322,893

0.09

j,k

Virgin

Media

Bristol

LLC,

Term

Loan,

Q,

TBD,

1/31/29

..

United

States

788,848

775,043

0.23

WideOpenWest

Finance

LLC,

Eighth

Amendment

Term

Loan,

B,

4.25%,

(1-month

USD

LIBOR

+

3.25%),

8/18/23

...................................

United

States

539,673

530,456

0.15

9,316,515

2.71

a

a

a

a

a

a

Casinos

&

Gaming

Boyd

Gaming

Corp.,

Refinancing

Term

Loan,

B,

2.344%,

(1-week

USD

LIBOR

+

2.25%),

9/15/23

...........

United

States

2,818,003

2,746,820

0.80

Boyd

Gaming

Corp.,

Term

Loan,

A,

3.25%,

(1-week

USD

LIBOR

+

2.75%),

9/15/23

......................

United

States

1,939,518

1,918,920

0.56

Caesars

Resort

Collection

LLC,

Term

Loan

,

B,

2.898%,

(1-month

USD

LIBOR

+

2.75%),

12/23/24

.

United

States

2,038,153

1,916,719

0.56

B1,

4.649%,

(3-month

USD

LIBOR

+

4.5%;

1-month

USD

LIBOR

+

4.5%),

7/21/25

...................

United

States

345,440

335,402

0.10

Station

Casinos

LLC,

Facility

Term

Loan,

B1,

2.5%,

(1-month

USD

LIBOR

+

2.25%),

2/08/27

..........

United

States

2,323,097

2,233,460

0.65

9,151,321

2.67

a

a

a

a

a

a

Commodity

Chemicals

Axalta

Coating

Systems

Dutch

Holding

B

BV

(Axalta

Coating

Systems

U.S.

Holdings,

Inc.),

Dollar

Term

Loan,

B3,

1.97%,

(3-month

USD

LIBOR

+

1.75%),

6/01/24

...................................

Netherlands

1,289,603

1,254,674

0.36

Cyanco

Intermediate

2

Corp.,

First

Lien,

Initial

Term

Loan,

3.648%,

(1-month

USD

LIBOR

+

3.5%),

3/16/25

.....

United

States

299,216

294,214

0.09

Univar

Solutions

USA,

Inc.,

Term

Loan

,

B3,

2.398%,

(1-month

USD

LIBOR

+

2.25%),

7/01/24

.

United

States

1,072,270

1,052,503

0.31

B5,

2.148%,

(1-month

USD

LIBOR

+

2%),

7/01/26

...

United

States

351,473

343,088

0.10

2,944,479

0.86

a

a

a

a

a

a

Communications

Equipment

CommScope

,

Inc.,

Initial

Term

Loan,

3.398%,

(1-month

USD

LIBOR

+

3.25%),

4/06/26

..................

United

States

4,013,616

3,886,745

1.13

Construction

Materials

k

White

Cap

Buyer

LLC,

Initial

Closing

Date

Term

Loan,

4.5%,

(6-month

USD

LIBOR),

10/19/27

...........

United

States

750,000

740,490

0.22

Consumer

Electronics

Playtika

Holding

Corp.,

Term

Loan,

B,

7%,

(3-month

USD

LIBOR

+

6%),

12/10/24

.......................

United

States

2,329,250

2,335,341

0.68

Data

Processing

&

Outsourced

Services

Neustar

,

Inc.,

First

Lien,

Term

Loan,

B5,

5.5%,

(1-month

USD

LIBOR

+

4.5%),

8/08/24

...................

United

States

1,766,172

1,686,695

0.49

Pitney

Bowes,

Inc.,

Incremental

Term

Loan,

B,

5.65%,

(1-month

USD

LIBOR

+

5.5%),

1/07/25

...........

United

States

2,340,363

2,313,742

0.67

Franklin

Floating

Rate

Master

Trust

Statement

of

Investments

(unaudited)

Franklin

Floating

Rate

Master

Series

(continued)

Quarterly

Statement

of

Investments

See

Notes

to

Statements

of

Investments.

12

a

a

Country

Principal

Amount

*

a

Value

%

of

Net

Assets

a

a

a

a

a

a

h

Senior

Floating

Rate

Interests

(continued)

Data

Processing

&

Outsourced

Services

(continued)

WEX,

Inc.,

Term

Loan,

B3,

2.398%,

(1-month

USD

LIBOR

+

2.25%),

5/15/26

...........................

United

States

1,224,615

$

1,184,815

0.35

5,185,252

1.51

a

a

a

a

a

a

Department

Stores

Harbor

Freight

Tools

USA,

Inc.,

Initial

Term

Loan

(2020),

4%,

(1-month

USD

LIBOR

+

3.25%),

10/19/27

......

United

States

371,085

366,424

0.11

Michaels

Stores,

Inc.,

2020

Refinancing

Term

Loan,

B,

4.25%,

(1-month

USD

LIBOR

+

3.5%),

10/01/27

.....

United

States

902,283

886,944

0.26

1,253,368

0.37

a

a

a

a

a

a

Distributors

Resideo

Funding,

Inc.,

Term

Loan,

A,

2.48%,

(3-month

USD

LIBOR

+

2.25%),

10/25/23

.................

United

States

7,847,500

7,396,269

2.15

Diversified

Banks

Finastra

Ltd.,

First

Lien,

Dollar

Term

Loan,

4.5%,

(3-month

USD

LIBOR

+

3.5%),

6/13/24

...........

United

Kingdom

3,367,637

3,186,155

0.93

Diversified

Capital

Markets

Vertical

Midco

GmbH,

USD

Term

Loan,

4.57%,

(6-month

USD

LIBOR),

6/30/27

.........................

Germany

1,236,519

1,220,296

0.36

Diversified

Support

Services

Allied

Universal

Holdco

LLC,

Initial

Term

Loan,

4.398%,

(1-month

USD

LIBOR

+

4.25%),

7/10/26

..........

United

States

498,744

489,569

0.14

Legalzoom.com,

Inc.,

First

Lien,

2018

Term

Loan,

4.648%,

(1-month

USD

LIBOR

+

4.5%),

11/21/24

....

United

States

4,021,075

3,965,786

1.16

4,455,355

1.30

a

a

a

a

a

a

Electric

Utilities

EFS

Cogen

Holdings

I

LLC,

Term

Loan,

4.5%,

(3-month

USD

LIBOR

+

3.5%),

10/01/27

..................

United

States

400,000

397,562

0.12

Environmental

&

Facilities

Services

Harsco

Corp.,

Term

Loan,

B2,

3.25%,

(1-month

USD

LIBOR

+

2.25%),

12/06/24

.....................

United

States

373,672

372,581

0.11

Food

Retail

Shearer's

Foods

LLC,

First

Lien,

Term

Loan,

4.75%,

(3-month

USD

LIBOR

+

4%),

9/23/27

.............

United

States

192,329

190,526

0.06

General

Merchandise

Stores

g

99

Cents

Only

Stores

LLC,

First

Lien,

Term

Loan,

B2,

7.572%,

PIK,

(3-month

USD

LIBOR

+

6.5%),

1/13/22

.

United

States

13,262,152

11,850,838

3.45

Health

Care  Services

GNC

Holdings,

Inc.,

Second

Lien,

Term

Loan,

6.234%,

(3-month

USD

LIBOR),

10/30/26

................

United

States

6,724,100

5,211,177

1.52

Health

Care

Facilities

Global

Medical

Response,

Inc.,

2018

New

Term

Loan,

5.25%,

(3-month

USD

LIBOR

+

4.25%),

3/14/25

.....

United

States

844,459

818,332

0.24

k,l

Pathway

Vet

Alliance

LLC,

First

Lien,

Initial

Term

Loan,

4.148%,

(1-month

USD

LIBOR

+

4%),

3/31/27

......

United

States

1,430,308

1,401,702

0.41

2,220,034

0.65

a

a

a

a

a

a

Health

Care

Services

BrightSpring

Health

Services,

Term

Loan,

(1-month

USD

LIBOR),

3/05/26

.............................

United

States

300,000

295,186

0.09

j,k

CNT

Holdings

I

Corp.,

First

Lien,

Term

Loan

Facility,

TBD,

10/16/27

..................................

United

States

193,187

191,295

0.06

Franklin

Floating

Rate

Master

Trust

Statement

of

Investments

(unaudited)

Franklin

Floating

Rate

Master

Series

(continued)

See

Notes

to

Statements

of

Investments.

Quarterly

Statement

of

Investments

13

a

a

Country

Principal

Amount

*

a

Value

%

of

Net

Assets

a

a

a

a

a

a

h

Senior

Floating

Rate

Interests

(continued)

Health

Care

Services

(continued)

DaVita,

Inc.,

Term

Loan,

B1,

1.898%,

(1-month

USD

LIBOR

+

1.75%),

8/12/26

......................

United

States

186,945

$

183,206

0.05

k

eResearchTechnology

,

Inc.,

First

Lien,

Initial

Term

Loan,

5.5%,

(1-month

USD

LIBOR

+

4.5%),

2/04/27

......

United

States

1,000,000

995,625

0.29

National

Mentor

Holdings,

Inc.,

First

Lien,

Initial

Term

Loan

,

4.4%,

(1-month

USD

LIBOR

+

4.25%),

3/09/26

......

United

States

3,465,719

3,415,899

0.99

C,

4.4%,

(1-month

USD

LIBOR

+

4.25%),

3/09/26

...

United

States

158,198

155,925

0.05

k

Navicure

,

Inc.,

First

Lien,

Initial

Term

Loan,

4.148%,

(1-month

USD

LIBOR

+

4%),

10/22/26

............

United

States

3,243,020

3,171,398

0.92

k

Phoenix

Guarantor,

Inc.,

First

Lien,

Term

Loan,

B1,

3.397%,

(1-month

USD

LIBOR

+

3.25%),

3/05/26

....

United

States

1,846,225

1,791,226

0.52

Radiology

Partners,

Inc.,

First

Lien,

Term

Loan,

B,

4.811%,

(1-month

USD

LIBOR

+

4.25%;

3-month

USD

LIBOR

+

4.25%),

7/09/25

......................

United

States

400,000

378,600

0.11

U.S.

Anesthesia

Partners,

Inc.,

First

Lien,

Initial

Term

Loan,

4%,

(3-month

USD

LIBOR

+

3%),

6/23/24

.....

United

States

297,692

280,097

0.08

10,858,457

3.16

a

a

a

a

a

a

Health

Care

Technology

Inovalon

Holdings,

Inc.,

Refinancing

Date

Term

Loan,

3.188%,

(1-month

USD

LIBOR

+

3%),

4/02/25

......

United

States

336,645

328,368

0.10

IQVIA,

Inc.,

Dollar

Term

Loan,

B1,

1.898%,

(1-month

USD

LIBOR

+

1.75%),

3/07/24

......................

United

States

561,250

555,287

0.16

883,655

0.26

a

a

a

a

a

a

Household

Products

Knowlton

Development

Corp.,

Inc.,

2020

Initial

Term

Loan,

3.898%,

(1-month

USD

LIBOR

+

3.75%),

12/22/25

..................................

Canada

1,058,883

1,037,705

0.30

Industrial

Machinery

Altra

Industrial

Motion

Corp.,

Term

Loan,

2.148%,

(1-month

USD

LIBOR

+

2%),

10/01/25

............

United

States

1,961,629

1,928,223

0.56

Navistar,

Inc.,

Term

Loan,

B,

3.65%,

(1-month

USD

LIBOR

+

3.5%),

11/06/24

......................

United

States

6,085,742

6,041,620

1.76

7,969,843

2.32

a

a

a

a

a

a

Insurance

Brokers

Alliant

Holdings

Intermediate

LLC,

2018

Initial

Term

Loan,

2.898%,

(1-month

USD

LIBOR

+

2.75%),

5/09/25

....

United

States

2,153,477

2,078,590

0.61

j,k

Alliant

Holdings

Intermediate

LLC,

Term

Loan,

B3,

TBD,

10/08/27

..................................

United

States

88,386

87,696

0.03

2,166,286

0.64

a

a

a

a

a

a

Integrated

Telecommunication

Services

Global

Tel

Link,

First

Lien,

Term

Loan,

4.398%,

(1-month

USD

LIBOR

+

4.25%),

11/29/25

.................

United

States

4,800,736

4,188,642

1.22

Global

Tel

Link,

Second

Lien,

Term

Loan,

8.398%,

(1-month

USD

LIBOR

+

8.25%),

11/29/26

..........

United

States

2,479,737

1,723,417

0.50

West

Corp.,

Initial

Term

Loan,

LOAN

Note,

B,

5%,

(1-month

USD

LIBOR

+

4%;

3-month

USD

LIBOR

+

4%),

10/10/24

..............................

United

States

1,192,606

1,113,787

0.32

7,025,846

2.04

a

a

a

a

a

a

Franklin

Floating

Rate

Master

Trust

Statement

of

Investments

(unaudited)

Franklin

Floating

Rate

Master

Series

(continued)

Quarterly

Statement

of

Investments

See

Notes

to

Statements

of

Investments.

14

a

a

Country

Principal

Amount

*

a

Value

%

of

Net

Assets

a

a

a

a

a

a

h

Senior

Floating

Rate

Interests

(continued)

Internet

&

Direct

Marketing

Retail

k

MH

Sub

I

LLC

(Micro

Holding

Corp.),

First

Lien,

Amendment

No.

2

Initial

Term

Loan,

Internet

Brands

Inc

Note,

(1-month

USD

LIBOR

+

3.5%),

9/13/24

.......

United

States

498,715

$

483,988

0.14

Internet

Services

&

Infrastructure

j,k

Barracuda

Networks,

Inc.,

Term

Loan,

TBD,

2/12/25

...

United

States

739,726

728,630

0.21

Go

Daddy

Operating

Co.

LLC,

Term

Loan,

B2,

1.897%,

(1-month

USD

LIBOR

+

1.75%),

2/15/24

..........

United

States

490,081

479,515

0.14

Informatica

LLC,

Dollar

2020

Term

Loan,

3.398%,

(1-month

USD

LIBOR

+

3.25%),

2/25/27

..........

United

States

1,452,700

1,408,029

0.41

TIBCO

Software,

Inc.,

Term

Loan,

B3,

3.9%,

(1-month

USD

LIBOR

+

3.75%),

6/30/26

..................

United

States

5,559,968

5,407,068

1.57

8,023,242

2.33

a

a

a

a

a

a

Investment

Banking

&

Brokerage

k

Deerfield

Dakota

Holding

LLC,

First

Lien,

Initial

Dollar

Term

Loan,

4.75%,

(1-month

USD

LIBOR

+

3.75%),

4/09/27

...................................

United

States

1,421,429

1,401,294

0.41

IT

Consulting

&

Other

Services

Aventiv

Technologies

LLC,

First

Lien,

Initial

Term

Loan,

5.5%,

(3-month

USD

LIBOR

+

4.5%),

11/01/24

......

United

States

982,323

827,273

0.24

Conduent

,

Inc.,

Term

Loan,

B,

2.648%,

(1-month

USD

LIBOR

+

2.5%),

12/07/23

......................

United

States

234,078

223,740

0.07

k

Milano

Acquisition

Corp.,

Term

Loan,

B,

4.75%,

(3-month

USD

LIBOR

+

4%),

10/01/27

...................

United

States

1,254,863

1,237,088

0.36

2,288,101

0.67

a

a

a

a

a

a

Leisure

Facilities

24

Hour

Fitness

Worldwide,

Inc.,

Debtor-in-possession

New

Money

Term

Loan,

11%,

(12-month

USD

LIBOR;

3-month

USD

LIBOR),

6/17/21

..................

United

States

2,748,748

2,153,177

0.63

24

Hour

Fitness

Worldwide,

Inc.,

Debtor-in-possession

Roll-Up

Term

Loan,

11%,

(3-month

USD

LIBOR

+

10%),

6/17/21

...................................

United

States

2,519,788

1,973,826

0.57

i

24

Hour

Fitness

Worldwide,

Inc.,

Term

Loan,

(1-month

USD

LIBOR

+

3.5%),

5/30/25

...................

United

States

6,706,351

154,380

0.04

4,281,383

1.24

a

a

a

a

a

a

Leisure

Products

NASCAR

Holdings

LLC,

Initial

Term

Loan,

2.902%,

(1-month

USD

LIBOR

+

2.75%),

10/19/26

.........

United

States

1,547,929

1,509,927

0.44

Life

&

Health

Insurance

k

AssuredPartners

,

Inc.,

2020

February

Refinancing

Term

Loan,

3.648%,

(1-month

USD

LIBOR

+

3.5%),

2/12/27

United

States

1,448,744

1,401,015

0.41

Metal

&

Glass

Containers

BWay

Holding

Co.,

Initial

Term

Loan,

3.48%,

(3-month

USD

LIBOR

+

3.25%),

4/03/24

..................

United

States

1,702,772

1,596,349

0.47

Movies

&

Entertainment

Banijay

Entertainment

SAS,

Facility

USD

Term

Loan,

B,

(1-month

USD

LIBOR

+

3.75%),

3/01/25

..........

France

424,000

412,340

0.12

Diamond

Sports

Group

LLC,

Term

Loan,

3.4%,

(1-month

USD

LIBOR

+

3.25%),

8/24/26

..................

United

States

3,582,176

2,246,329

0.65

Lions

Gate

Capital

Holdings

LLC,

Term

Loan,

A,

1.898%,

(1-month

USD

LIBOR

+

1.75%),

3/22/23

..........

United

States

3,681,713

3,552,853

1.04

6,211,522

1.81

a

a

a

a

a

a

Franklin

Floating

Rate

Master

Trust

Statement

of

Investments

(unaudited)

Franklin

Floating

Rate

Master

Series

(continued)

See

Notes

to

Statements

of

Investments.

Quarterly

Statement

of

Investments

15

a

a

Country

Principal

Amount

*

a

Value

%

of

Net

Assets

a

a

a

a

a

a

h

Senior

Floating

Rate

Interests

(continued)

Office

Services

&

Supplies

Staples,

Inc.,

2019

Refinancing

New

Term

Loan,

B1,

5.251%,

(3-month

USD

LIBOR

+

5%),

4/16/26

......

United

States

895,253

$

825,423

0.24

Oil

&

Gas

Exploration

&

Production

i

Fieldwood

Energy

LLC,

First

Lien,

Closing

Date

Term

Loan,

(3-month

USD

LIBOR

+

5.25%),

4/11/22

......

United

States

25,460,344

5,601,276

1.63

UTEX

Industries,

Inc.,

Debtor-in-possession

Term

Loan,

10%,

(1-month

USD

LIBOR

+

9%),

2/08/21

........

United

States

903,261

907,777

0.26

i

UTEX

Industries,

Inc.,

First

Lien,

Initial

Term

Loan,

(3-month

USD

LIBOR

+

5%),

5/21/21

.............

United

States

14,098,581

4,342,363

1.27

i

UTEX

Industries,

Inc.,

Second

Lien,

Initial

Term

Loan,

(3-month

USD

LIBOR

+

7.25%),

5/20/22

..........

United

States

128,288

3,207

0.00

†

10,854,623

3.16

a

a

a

a

a

a

Oil

&

Gas

Storage

&

Transportation

Centurion

Pipeline

Co.

LLC,

Initial

Term

Loan,

3.398%,

(1-month

USD

LIBOR

+

3.25%),

9/29/25

..........

United

States

1,289,312

1,270,617

0.37

Packaged

Foods

&

Meats

CSM

Bakery

Solutions

Ltd.,

First

Lien,

Term

Loan,

7.25%,

(3-month

USD

LIBOR

+

6.

25%),

1/04/22

..........

United

States

6,207,732

6,139,850

1.79

CSM

Bakery

Solutions

Ltd.,

Second

Lien,

Term

Loan,

11%,

(3-month

USD

LIBOR

+

10%),

2

/0

4

/2

2

........

United

States

2,131,331

2,040,513

0.59

JBS

USA

Lux

SA,

New

Term

Loan,

2.148%,

(1-month

USD

LIBOR

+

2%),

5/01/26

....................

Luxembourg

2,698,883

2,640,546

0.77

10,820,909

3.15

a

a

a

a

a

a

Paper

Packaging

Berry

Global,

Inc.,

Term

Loan,

Y,

2.147%,

(1-month

USD

LIBOR

+

2%),

7/01/26

........................

United

States

5,285,561

5,125,065

1.49

Paper

Products

d

Appvion

Operations,

Inc.,

Term

Loan,

7%,

(3-month

USD

LIBOR

+

6%),

6/12/26

........................

United

States

5,595,054

5,497,140

1.60

Personal

Products

Coty,

Inc.,

USD

Term

Loan,

B,

2.39%,

(1-month

USD

LIBOR

+

2.25%),

4/07/25

......................

United

States

397,964

350,302

0.10

Sunshine

Luxembourg

VII

SARL,

Facility

Term

Loan,

B1,

5.25%,

(3-month

USD

LIBOR

+

4.25%),

10/01/26

....

Luxembourg

2,114,025

2,097,515

0.61

2,447,817

0.71

a

a

a

a

a

a

Pharmaceuticals

Bausch

Health

Cos.,

Inc.,

Initial

Term

Loan,

3.149%,

(1-month

USD

LIBOR

+

3%),

6/02/25

.............

United

States

3,135,279

3,067,682

0.89

Property

&

Casualty

Insurance

Asurion

LLC,

Amendment

No.

14

Replacement

Term

Loan,

B4,

3.148%,

(1-month

USD

LIBOR

+

3%),

8/04/22

...................................

United

States

3,461,817

3,412,971

0.99

Asurion

LLC,

Replacement

Term

Loan,

B6,

3.148%,

(1-month

USD

LIBOR

+

3%),

11/03/23

............

United

States

141,573

139,184

0.04

Asurion

LLC,

Second

Lien,

Replacement

Term

Loan,

B2,

6.648%,

(1-month

USD

LIBOR

+

6.5%),

8/04/25

.....

United

States

80,342

80,563

0.02

3,632,718

1.05

a

a

a

a

a

a

Publishing

Nielsen

Finance

LLC

(VNU,

Inc.),

Term

Loan,

B4,

2.147%,

(1-month

USD

LIBOR

+

2%),

10/04/23

.....

United

States

719,720

704,923

0.20

Franklin

Floating

Rate

Master

Trust

Statement

of

Investments

(unaudited)

Franklin

Floating

Rate

Master

Series

(continued)

Quarterly

Statement

of

Investments

See

Notes

to

Statements

of

Investments.

16

a

a

Country

Principal

Amount

*

a

Value

%

of

Net

Assets

a

a

a

a

a

a

h

Senior

Floating

Rate

Interests

(continued)

Publishing

(continued)

Nielsen

Finance

LLC,

Dollar

Term

Loan,

B5,

4.75%,

(1-month

USD

LIBOR

+

3.75%),

6/04/25

..........

United

States

211,060

$

210,954

0.06

915,877

0.26

a

a

a

a

a

a

Railroads

Genesee

&

Wyoming,

Inc.,

Initial

Term

Loan,

2.22%,

(3-month

USD

LIBOR

+

2%),

12/30/26

............

United

States

641,926

629,373

0.18

Ventia

Midco

Pty.

Ltd.,

2017

Refinancing

USD

Term

Loan,

B,

5%,

(3-month

USD

LIBOR

+

4%),

5/21/26

.......

Australia

5,681,715

5,610,694

1.63

6,240,067

1.81

a

a

a

a

a

a

Research

&

Consulting

Services

k

Dun

&

Bradstreet

Corp.

(The),

Initial

Term

Loan

Borrowing,

3.906%,

(1-month

USD

LIBOR

+

3.75%),

2/06/26

...................................

United

States

400,000

394,666

0.11

Security

&

Alarm

Services

Prime

Security

Services

Borrower

LLC,

First

Lien,

2019

Refinancing

Term

Loan,

B1,

4.25%,

(3-month

USD

LIBOR

+

3.25%;

1-month

USD

LIBOR

+

3.25%),

9/23/26

...................................

United

States

498,741

493,167

0.14

Specialized

Consumer

Services

Sedgwick

Claims

Management

Services,

Inc.

(Lightning

Cayman

Merger

Sub

Ltd.),

Initial

Term

Loan,

(1-month

USD

LIBOR

+

3.25%),

12/31/25

.................

United

States

498,731

479,959

0.14

Specialized

Finance

k

Verscend

Holding

Corp.,

Term

Loan,

B,

4.648%,

(1-month

USD

LIBOR

+

4.5%),

8/27/25

...................

United

States

1,821,927

1,792,612

0.52

Specialty

Chemicals

Illuminate

Buyer

LLC,

Term

Loan,

4.148%,

(1-month

USD

LIBOR

+

4%),

6/30/27

........................

United

States

284,480

280,368

0.08

Specialty

Stores

i

General

Nutrition

Centers,

Inc.,

Term

Loan,

B2,

(1-month

USD

LIBOR

+

8.75%;

3-month

USD

LIBOR

+

7.75%),

3/04/21

...................................

United

States

4,224,100

3,294,798

0.96

k

Petco

Animal

Supplies,

Inc.,

Term

Loan,

4.25%,

(3-month

USD

LIBOR

+

3.25%),

1/26/23

..................

United

States

247,285

230,840

0.07

3,525,638

1.03

a

a

a

a

a

a

Systems

Software

k

athenahealth

,

Inc.,

First

Lien,

Term

Loan,

B,

4.75%,

(3-month

USD

LIBOR

+

4.5%),

2/11/26

...........

United

States

2,537,626

2,490,046

0.72

DCert

Buyer,

Inc.,

First

Lien,

Initial

Term

Loan,

4.148%,

(1-month

USD

LIBOR

+

4%),

10/16/26

............

United

States

2,577,824

2,533,511

0.74

Hyland

Software,

Inc.,

First

Lien,

2018

Refinancing

Term

Loan,

4.25%,

(1-month

USD

LIBOR

+

3.5%),

7/01/24

.

United

States

1,783,788

1,762,454

0.51

Idera

,

Inc.,

First

Lien,

Initial

Term

Loan,

5%,

(3-month

USD

LIBOR

+

4%),

6/28/24

....................

United

States

883,123

870,432

0.25

Ivanti

Software,

Inc.,

First

Lien,

Term

Loan,

5.25%,

(1-month

USD

LIBOR

+

4.25%),

1/20/24

..........

United

States

398,053

396,871

0.12

Perforce

Software,

Inc.,

First

Lien,

New

Term

Loan,

3.898%,

(1-month

USD

LIBOR

+

3.75%),

7/01/26

....

United

States

1,811,313

1,769,589

0.51

k

Quest

Software

US

Holdings,

Inc.,

First

Lien,

Initial

Term

Loan,

4.464%,

(3-month

USD

LIBOR

+

4.25%),

5/16/25

United

States

992,544

959,358

0.28

10,782,261

3.13

a

a

a

a

a

a

Franklin

Floating

Rate

Master

Trust

Statement

of

Investments

(unaudited)

Franklin

Floating

Rate

Master

Series

(continued)

See

Notes

to

Statements

of

Investments.

Quarterly

Statement

of

Investments

17

a

a

Country

Principal

Amount

*

a

Value

%

of

Net

Assets

a

a

a

a

a

a

h

Senior

Floating

Rate

Interests

(continued)

Technology

Hardware,

Storage

&

Peripherals

Amentum

Government

Services

Holdings

LLC,

First

Lien,

Initial

Term

Loan,

3.648%,

(1-month

USD

LIBOR

+

3.5%),

1/29/27

..............................

United

States

897,750

$

865,018

0.25

j

Amentum

Government

Services

Holdings

LLC,

Incremental

Term

Loan,

TBD,

1/29/27

............

United

States

620,130

608,503

0.18

1,473,521

0.43

a

a

a

a

a

a

Trucking

Avis

Budget

Car

Rental

LLC,

New

Term

Loan,

B,

2.4%,

(1-month

USD

LIBOR

+

2.25%),

8/06/27

..........

United

States

2,796,705

2,532,766

0.74

Kenan

Advantage

Group

Holdings

Corp.

(The),

Initial

Canadian

Term

Loan,

4%,

(1-month

USD

LIBOR

+

3%),

7/29/22

...................................

United

States

198,236

191,906

0.06

Kenan

Advantage

Group

Holdings

Corp.

(The),

Initial

U.S.

Term

Loan,

4%,

(1-month

USD

LIBOR

+

3%),

7/29/22

United

States

833,624

807,007

0.24

a

Onsite

Rental

Group

Operations

Pty.

Ltd.,

Term

Loan,

B,

5.5%,

(1-month

USD

LIBOR

+

4.5%),

10/26/22

......

Australia

7,844,959

7,209,725

2.10

10,741,404

3.14

a

a

a

a

a

a

Total

Senior

Floating

Rate

Interests

(Cost

$330,085,723)

..................

279,738,095

81.47

Shares

Escrows

and

Litigation

Trusts

a,b

Millennium

Corporate

Claim

Trust,

Escrow

Account

....

United

States

6,589,709

—

0.00

a,b

Millennium

Lender

Claim

Trust,

Escrow

Account

......

United

States

6,589,709

—

0.00

a,b,d

Remington

Outdoor

Co.,

Inc.,

Litigation

Units

.........

United

States

98,704

—

0.00

Total

Escrows

and

Litigation

Trusts

(Cost

$–)

............................

—

0.00

Total

Long

Term

Investments

(Cost

$424,281,326)

........................

328,445,165

95.66

a

Short

Term

Investments

a

a

Principal

Amount

*

a

Value

%

of

Net

Assets

aa

aa

aa

aa

aa

aa

Repurchase

Agreements

m

Joint

Repurchase

Agreement,

0.058%,

11/02/20

(Maturity

Value

$8,685,525)

BNP

Paribas

Securities

Corp.

(Maturity

Value

$4,685,667)

Deutsche

Bank

Securities,

Inc.

(Maturity

Value

$2,125,609)

HSBC

Securities

(USA),

Inc.

(Maturity

Value

$1,874,249)

Collateralized

by

U.S.

Government

Agency

Securities,

3.5%

-

5%,

9/20/45

-

3/20/50;

U.S.

Treasury

Bonds,

7.13%

-

8.13%,

2/15/21

-

11/15/24;

U.S.

Treasury

Bond,

Index

Linked,

2.38%,

1/15/25;

U.S.

Treasury

Note,

1.63%,

2/20/46;

and

U.S.

Treasury

Note,

Index

Linked,

0.13%,

4/15/21

(valued

at

$8,859,892)

..............................................

8,685,483

8,685,483

2.53

Total

Repurchase

Agreements

(Cost

$8,685,483)

.........................

8,685,483

2.53

a

a

a

Total

Short

Term

Investments

(Cost

$8,685,483

)

..........................

8,685,483

2.53

a

Total

Investments

(Cost

$432,966,809)

..................................

$337,130,648

98.19

Other

Assets,

less

Liabilities

...........................................

6,219,004

1.81

Net

Assets

...........................................................

$343,349,652

100.00

Franklin

Floating

Rate

Master

Trust

Statement

of

Investments

(unaudited)

Franklin

Floating

Rate

Master

Series

(continued)

Quarterly

Statement

of

Investments

See

Notes

to

Statements

of

Investments.

18

See

Abbreviations

on

page

27

.

*

The

principal

amount

is

stated

in

U.S.

dollars

unless

otherwise

indicated.

†

Rounds

to

less

than

0.01%

of

net

assets.

a

Fair

valued

using

significant

unobservable

inputs.

See

Note

8

regarding

fair

value

measurements.

b

Non-income

producing.

c

See

Note

4

regarding

restricted

securities.

d

See

Note

5

regarding

holdings

of

5%

voting

securities.

e

See

Note

7

regarding

investments

in

affiliated

management

investment

companies.

f

Security

was

purchased

pursuant

to

Rule

144A

or

Regulation

S

under

the

Securities

Act

of

1933.

144A

securities

may

be

sold

in

transactions

exempt

from

registration

only

to

qualified

institutional

buyers

or

in

a

public

offering

registered

under

the

Securities

Act

of

1933.

Regulation

S

securities

cannot

be

sold

in

the

United

States

without

either

an

effective

registration

statement

filed

pursuant

to

the

Securities

Act

of

1933,

or

pursuant

to

an

exemption

from

registration.

At

October

31,

2020,

the

aggregate

value

of

these

securities

was

$4,031,682,

representing

1.2%

of

net

assets.

g

Income

may

be

received

in

additional

securities

and/or

cash.

h

The

coupon

rate

shown

represents

the

rate

at

period

end.

i

Defaulted

security

or

security

for

which

income

has

been

deemed

uncollectible.

j

A

portion

or

all

of

the

security

represents

an

unsettled

loan

commitment.

The

coupon

rate

is

to-be

determined

(TBD)

at

the

time

of

the

settlement

and

will

be

based

upon

a

reference

index/floor

plus

a

spread.

k

A

portion

or

all

of

the

security

purchased

on

a

delayed

delivery

basis.

l

See

Note

6

regarding

unfunded

loan

commitments.

m

Investment

is

through

participation

in

a

joint

account

with

other

funds

managed

by

the

investment

manager

or

an

affiliate

of

the

investment

manager.

At

October

31,

2020,

all

repurchase

agreements

had

been

entered

into

on

October

30,

2020.

Franklin

Floating

Rate

Master

Trust

19

Quarterly

Statement

of

Investments

Notes

to

Statements

of

Investments

(unaudited)

1.

Organization

Franklin

Floating

Rate

Master

Trust (Trust)

is

registered

under

the

Investment

Company

Act

of

1940

(1940

Act)

as

an

open-

end

management

investment

company,

consisting

of

two

separate

funds

(Funds)

and

applies

the

specialized

accounting

and

reporting

guidance

in

U.S.

Generally

Accepted

Accounting

Principles

(U.S.

GAAP).

The

shares

are

exempt

from

registration

under

the

Securities

Act

of

1933. 

2. Financial

Instrument

Valuation

The

Funds’

investments

in

financial

instruments

are

carried

at

fair

value

daily.

Fair

value

is

the

price

that

would

be

received

to

sell

an

asset

or

paid

to

transfer

a

liability

in

an

orderly

transaction

between

market

participants

on

the

measurement

date.

The

Funds

calculate

the

net

asset

value

(NAV)

per

share

as

of

4

p.m.

Eastern

time

or

the

regularly

scheduled

close

of

the

New

York

Stock

Exchange

(NYSE),

whichever

is

earlier.

Under

compliance

policies

and

procedures

approved

by

the

Trust’s

Board

of

Trustees

(the

Board),

the

Funds’

administrator

has

responsibility

for

oversight

of

valuation,

including

leading

the

cross-functional

Valuation

Committee

(VC).

The

Funds

may

utilize

independent

pricing

services,

quotations

from

securities

and

financial

instrument

dealers,

and

other

market

sources

to

determine

fair

value. 

Equity

securities

listed

on

an

exchange

or

on

the

NASDAQ

National

Market

System

are

valued

at

the

last

quoted

sale

price

or

the

official

closing

price

of

the

day,

respectively.

Over-the-counter

(OTC)

securities

are

valued

within

the

range

of

the

most

recent

quoted

bid

and

ask

prices.

Securities

that

trade

in

multiple

markets

or

on

multiple

exchanges

are

valued

according

to

the

broadest

and

most

representative

market.

Certain

equity

securities

are

valued

based

upon

fundamental

characteristics

or

relationships

to

similar

securities. 

Debt

securities

generally

trade

in

the

OTC

market

rather

than

on

a

securities

exchange.

The

Funds’

pricing

services

use

multiple

valuation

techniques

to

determine

fair

value.

In

instances

where

sufficient

market

activity

exists,

the

pricing

services

may

utilize

a

market-based

approach

through

which

quotes

from

market

makers

are

used

to

determine

fair

value.

In

instances

where

sufficient

market

activity

may

not

exist

or

is

limited,

the

pricing

services

also

utilize

proprietary

valuation

models

which

may

consider

market

characteristics

such

as

benchmark

yield

curves,

credit

spreads,

estimated

default

rates,

anticipated

market

interest

rate

volatility,

coupon

rates,

anticipated

timing

of

principal

repayments,

underlying

collateral,

and

other

unique

security

features

in

order

to

estimate

the

relevant

cash

flows,

which

are

then

discounted

to

calculate

the

fair

value. 

Investments

in

open-end

mutual

funds

are

valued

at

the

closing

NAV.

Investments

in

repurchase

agreements

are

valued

at

cost,

which

approximates

fair

value.

The

Funds

have procedures

to

determine

the

fair

value

of

financial

instruments

for

which

market

prices

are

not

reliable

or

readily

available.

Under

these

procedures,

the

Funds

primarily employ

a

market-based

approach

which

may

use

related

or

comparable

assets

or

liabilities,

recent

transactions,

market

multiples,

book

values,

and

other

relevant

information

for

the

investment

to

determine

the

fair

value

of

the

investment.

An

income-based

valuation

approach

may

also

be

used

in

which

the

anticipated

future

cash

flows

of

the

investment

are

discounted

to

calculate

fair

value.

Discounts

may

also

be

applied

due

to

the

nature

or

duration

of

any

restrictions

on

the

disposition

of

the

investments.

Due

to

the

inherent

uncertainty

of

valuations

of

such

investments,

the

fair

values

may

differ

significantly

from

the

values

that

would

have

been

used

had

an

active

market

existed. 

3. Novel

Coronavirus

Pandemic 

The

global

outbreak

of

the

novel

coronavirus

disease,

known

as

COVID-19, has

caused

adverse

effects

on

many

companies,

sectors,

nations,

regions

and

the

markets

in

general, and

may

continue for

an unpredictable duration.

The

effects

of

this

pandemic

may

materially

impact

the

value

and

performance

of

the

Funds, their ability

to

buy

and

sell

fund

investments

at

appropriate

valuations

and their ability

to

achieve their investment

objectives.

Franklin

Floating

Rate

Master

Trust

Notes

to

Statements

of

Investments

(unaudited)

20

Quarterly

Statement

of

Investments

4. Restricted

Securities 

At

October

31,

2020,

investments

in

restricted

securities,

excluding

securities

exempt

from

registration

under

the

Securities

Act

of

1933,

were

as

follows:

5.

Holding

of

5%

Voting

Securities

of

Portfolio

Companies 

The

1940

Act

defines

"affiliated

companies"

to

include

investments

in

portfolio

companies

in

which

a

fund

owns

5%

or

more

of

the

outstanding

voting

securities.

During

the

period

ended

October

31,

2020,

investments

in

“affiliated

companies”

were

as

follows: 

Shares

Issuer

Acquisition

Date

Cost

Value

Franklin

Floating

Rate

Income

Fund

209,637

a

Appvion

Operations,

Inc.

......................

6/14/18

$

2,148,646

$

3,111,498

732,184

Remington

Outdoor

Co.,

Inc

....................

1/26/18

33,305,110

—

Total

Restricted

Securities

(Value

is

1.64%

of

Net

Assets)

.............

$35,453,756

$3,111,498

Shares

Issuer

Acquisition

Date

Cost

Value

Franklin

Floating

Rate

Master

Series

563,596

b

Appvion

Operations,

Inc.

......................

4/12/19

$

5,922,238

$

8,365,065

1,048,435

Remington

Outdoor

Co.,

Inc.

...................

4/12/19

43,510,469

—

Total

Restricted

Securities

(Value

is

2.44%

of

Net

Assets)

.............

$49,432,707

$8,365,065

a

The

Fund

also

invests

in

unrestricted

securities

of

the

issuer,

valued

at

$7,440,086

as

of

October

31,

2020.

b

The

Fund

also

invests

in

unrestricted

securities

of

the

issuer,

valued

at

$5,497,140

as

of

October

31,

2020.

Franklin

Floating

Rate

Master

Trust

Notes

to

Statements

of

Investments

(unaudited)

21

Quarterly

Statement

of

Investments

6.

Unfunded

Loan

Commitments  

Certain

or

all

Funds

enter

into

certain

credit

agreements,

all

or

a

portion

of

which

may

be

unfunded.

The

Fund

is

obligated

to

fund

these

loan

commitments

at

the

borrowers’

discretion.

Unfunded

loan

commitments

and

funded

portions

of

credit

agreements

are

marked

to

market

daily.

Funded

portions

of

credit

agreements

are

presented

in

the

Statement

of

Investments.

At

October

31,

2020,

unfunded

commitments

were

as

follows:

Value

at

Beginning

of

Period

Purchases

Sales

Realized

Gain

(Loss)

Net

Change

in

Unrealized

Appreciation

(Depreciation)

Value

at

End

of

Period

Number

of

Shares/Principal

Amount

Held

at

End

of

Period

Investment

Income

Franklin

Floating

Rate

Income

Fund

Non-Controlled

Affiliates

Dividends

Remington

Outdoor

Co.,

Inc

.

$

183,046

$

—

$

—

$

—

$

(183,046)

$

—

732,184

$

—

Remington

Outdoor

Co.,

Inc.,

Litigation

Units

.........

—

—

—

—

—

—

68,931

—

Total

Affiliated

Securities

(Value

is

—%

of

Net

Assets)

$183,046

$—

$—

—

(183,046)

$—

$—

Franklin

Floating

Rate

Master

Series

Non-Controlled

Affiliates

Dividends

Appvion

Operations,

Inc.

....

11,034,433

—

—

—

(2,669,368)

8,365,065

563,596

—

Remington

Outdoor

Co.,

Inc.

.

262,109

—

—

—

(262,109)

—

1,048,435

—

Remington

Outdoor

Co.,

Inc.,

Litigation

Units

.........

—

—

—

—

—

—

98,704

—

Interest

Appvion

Operations,

Inc.,

Term

Loan,

7%,

(3-month

USD

LIBOR

+

6%),

6/12/26

....

5,483,153

430

a

—

—

13,557

5,497,140

5,595,054

101,031

Total

Affiliated

Securities

(Value

is

4.0%

of

Net

Assets)

$16,779,695

$430

$—

—

(2,917,920)

$13,862,205

$101,031

a

May

include

accretion,

amortization,

partnership

adjustments,

and/or

corporate

actions.

Borrower

Unfunded

Commitment

Franklin

Floating

Rate

Income

Fund

Fieldwood

Energy

LLC

$2,223,066

Pathway

Vet

Alliance

LLC

169,497.00

$2,392,563

Franklin

Floating

Rate

Master

Series

Pathway

Vet

Alliance

LLC

$114,492

UTEX

Industries,

Inc

635,444

$749,936

5.

Holding

of

5%

Voting

Securities

of

Portfolio

Companies 

(continued)

Franklin

Floating

Rate

Master

Trust

Notes

to

Statements

of

Investments

(unaudited)

22

Quarterly

Statement

of

Investments

7.

Investments

in

Affiliated

Management

Investment

Companies 

Certain

or

all

Funds

invest

in

one

or

more

affiliated

management

investment

companies

for

purposes

other

than

exercising

a

controlling

influence

over

the

management

or

policies.

During

the

period

ended

October

31,

2020,

investments

in

affiliated

management

investment

companies

were

as

follows: 

8. Fair

Value

Measurements 

The

Funds

follow

a

fair

value

hierarchy

that

distinguishes

between

market

data

obtained

from

independent

sources

(observable

inputs)

and

the

Funds'

own

market

assumptions

(unobservable

inputs).

These

inputs

are

used

in

determining

the

value

of

the

Funds’

financial

instruments

and

are

summarized

in

the

following

fair

value

hierarchy:

• Level

1

–

quoted

prices

in

active

markets

for

identical

financial

instruments

• Level

2

–

other

significant

observable

inputs

(including

quoted

prices

for

similar

financial

instruments,

interest

rates,

prepayment

speed,

credit

risk,

etc.)

• Level

3

–

significant

unobservable

inputs

(including

the

Funds'

own

assumptions

in

determining

the

fair

value

of

financial

instruments)

The

input

levels

are

not

necessarily

an

indication

of

the

risk

or

liquidity

associated

with

financial

instruments

at

that

level. 

A

summary

of

inputs

used

as

of

October

31,

2020,

in

valuing

the

Funds’

assets

carried

at

fair

value,

is

as

follows:  

a

Value

at

Beginning

of

Period

Purchases

Sales

Realized

Gain

(Loss)

Net

Change

in

Unrealized

Appreciation

(Depreciation)

Value

at

End

of

Period

Number

of

Shares

Held

at

End

of

Period

Investment

Income

a

a

a

a

a

a

a

a

a

Franklin

Floating

Rate

Income

Fund

Non-Controlled

Affiliates

Dividends

Institutional

Fiduciary

Trust

-

Money

Market

Portfolio,

0%

.........

$12,251,544

$25,520,995

$(27,367,254)

$—

$—

$10,405,285

10,405,285

$1

Total

Affiliated

Securities

....

$12,251,544

$25,520,995

$(27,367,254)

$—

$—

$10,405,285

$1

Franklin

Floating

Rate

Master

Series

Controlled

Affiliates

Dividends

Franklin

Liberty

Senior

Loan

ETF

$22,912,133

$—

$—

$

—

$

67,620

$

22,979,753

957,785

$

174,035

Non-Controlled

Affiliates

Dividends

Franklin

Floating

Rate

Income

Fund

$10,750,395

$—

$(7,344,028)

$(2,480,862)

$2,431,174

$3,356,679

461,717

$82,633

Total

Affiliated

Securities

....

$33,662,528

$—

$(7,344,028)

$(2,480,862)

$2,498,794

$26,336,432

$256,668

Level

1

Level

2

Level

3

Total

Franklin

Floating

Rate

Income

Fund

Assets:

Investments

in

Securities:

a

Common

Stocks

........................

$

—

$

—

$

3,111,498

b

$

3,111,498

Corporate

Bonds

........................

—

—

7,629,484

7,629,484

Senior

Floating

Rate

Interests

...............

—

164,678,576

5,821,358

170,499,934

Franklin

Floating

Rate

Master

Trust

Notes

to

Statements

of

Investments

(unaudited)

23

Quarterly

Statement

of

Investments

A

reconciliation

in

which

Level

3

inputs

are

used

in

determining

fair

value

is

presented

when

there

are

significant

Level

3

assets

and/or

liabilities

at

the

beginning

and/or

end

of

the

period.

At October

31,

2020,

the

reconciliation

is

as

follows:

Level

1

Level

2

Level

3

Total

Franklin

Floating

Rate

Income

Fund

(continued)

Assets:

Investments

in

Securities:

Escrows

and

Litigation

Trusts

...............

$

—

$

—

$

—

b

$

—

Short

Term

Investments

...................

10,405,285

—

—

10,405,285

Total

Investments

in

Securities

...........

$10,405,285

$164,678,576

$16,562,340

$191,646,201

Other

Financial

Instruments:

Unfunded

Loan

Commitments

..............

$

—

$

77,758

$

—

$

77,758

Total

Other

Financial

Instruments

.........

$—

$77,758

$—

$77,758

Level

1

Level

2

Level

3

Total

Franklin

Floating

Rate

Master

Series

Assets:

Investments

in

Securities:

a

Common

Stocks

........................

$

—

$

—

$

8,889,881

b

$

8,889,881

Management

Investment

Companies

.........

26,336,432

—

—

26,336,432

Corporate

Bonds

:

Airlines

..............................

—

1,269,660

—

1,269,660

Broadcasting

.........................

—

534,000

—

534,000

Construction

Materials

..................

—

793,230

—

793,230

Oil

&

Gas

Storage

&

Transportation

.........

—

465,187

—

465,187

Packaged

Foods

&

Meats

................

—

100,580

—

100,580

Paper

Packaging

......................

—

508,125

—

508,125

Trucking

.............................

—

—

9,449,075

9,449,075

Wireless

Telecommunication

Services

.......

—

360,900

—

360,900

Senior

Floating

Rate

Interests

...............

—

258,187,513

21,550,582

279,738,095

Escrows

and

Litigation

Trusts

...............

—

—

—

b

—

Short

Term

Investments

...................

—

8,685,483

—

8,685,483

Total

Investments

in

Securities

...........

$26,336,432

$270,904,678

$39,889,538

$337,130,648

Other

Financial

Instruments:

Unfunded

Loan

Commitments

...............

$

—

$

3,340

$

—

$

3,340

Total

Other

Financial

Instruments

.........

—

$3,340

—

$3,340

a

For

detailed

categories,

see

the

accompanying

Statement

of

Investments.

b

Includes

securities

determined

to

have

no

value

at

October

31,

2020.

Balance

at

Beginning

of

Period

Purchases

Sales

Transfer

Into

Level

3

a

Transfer

Out

of

Level

3

Cost

Basis

Adjust-

ments

b

Net

Realized

Gain

(Loss)

Net

Unr

ealized

Appreciatio

n

(

Depreciation

)

Balance

at

End

of

Period

Net

Change

in

Unrealized

Appreciation

(Depreciation)

on

Assets

Held

at

Period

End

a

a

a

a

a

a

a

a

a

a

a

Franklin

Floating

Rate

Income

Fund

Assets:

Investments

in

Securities:

Common

Stocks

:

Aerospace

&

Defense

.

$

183,046

$

—

$

—

$

—

$

—

$

—

$

—

$

(183,046)

$

—

c

$

(183,046)

Paper

&

Forest

Products

4,104,406

—

—

—

—

—

—

(992,908)

3,111,498

(992,908)

Road

&

Rail

.......

138,088

—

—

—

—

—

—

(138,088)

—

c

(138,088)

Corporate

Bonds

:

Road

&

Rail

.......

7,171,452

—

—

—

—

199,273

—

258,759

7,629,484

258,759

8. Fair

Value

Measurements 

(continued)

Franklin

Floating

Rate

Master

Trust

Notes

to

Statements

of

Investments

(unaudited)

24

Quarterly

Statement

of

Investments

c

Includes

securities

determined

to

have

no

value.

Significant

unobservable

valuation

inputs

for

material

Level

3

assets

and/or

liabilities

and

impact

to

fair

value

as

a

result

of

changes

in

unobservable

valuation

inputs

as

of

October

31,

2020,

are

as

follows:

Balance

at

Beginning

of

Period

Purchases

Sales

Transfer

Into

Level

3

Transfer

Out

of

Level

3

Cost

Basis

Adjust-

ments

Net

Realized

Gain

(Loss)

Net

Unrealized

Appreciation

(Depreciation)

Balance

at

End

of

Period

Net

Change

in

Unrealized

Appreciation

(Depreciation)

on

Assets

Held

at

Period

End

a

a

a

a

a

a

a

a

a

a

a

Franklin

Floating

Rate

Income

Fund

(continued)

Assets:

Investments

in

Securities:

Senior

Floating

Rate

Interests

:

Road

&

Rail

.......

$

5,584,261

$

—

$

—

$

—

$

—

$

(22,400)

$

—

$

259,497

$

5,821,358

$

259,497

Escrows

and

Litigation

Trusts

...........

—

c

—

—

—

—

—

—

—

—

c

—

Total

Investments

in

Securities

.

$17,181,253

$—

$—

$—

$—

$176,873

$—

$(795,786)

$16,562,340

$(795,786)

Franklin

Floating

Rate

Master

Series

Assets:

Investments

in

Securities:

Common

Stocks

Aerospace

&

Defense

.

$

262,109

$

—

$

—

$

—

$

—

$

—

$

—

$

(262,109)

$

—

c

$

(262,109)

Oil

&

Gas

Exploration

&

Production

.......

—

—

—

524,816

—

—

—

—

524,816

—

Paper

Products

.....

11,034,433

—

—

—

—

—

—

(2,669,368)

8,365,065

(2,669,368)

Trucking

..........

171,018

—

—

—

—

—

—

(171,018)

—

c

(171,018)

Corporate

Bonds

Trucking

..........

8,881,805

—

—

—

—

233,701

—

333,569

9,449,075

333,569

Senior

Floating

Rate

Interests

Aerospace

&

Defense

.

13,196,628

—

—

—

—

884

—

1,143,345

14,340,857

1,143,345

Trucking

..........

6,916,082

—

—

—

—

(44,868)

—

338,511

7,209,725

338,511

Escrows

and

Litigation

Trusts

...........

—

c

—

—

—

—

—

—

—

—

c

—

Total

Investments

in

Securities

.

$40,462,075

$—

$—

$524,816

$—

189,717

—

(1,287,070)

$39,889,538

(1,287,070)

a

Transferred

into

level

3

as

a

result

of

the

unavailability

of

a

quoted

market

price

in

an

active

market

for

identical

securities

and

other

significant

observable

valuation

inputs.

May

include

amounts

related

to

a

corporate

action.

b

May

include

accretion,

amortization,

partnership

adjustments,

and/or

other

cost

basis

adjustments.

8. Fair

Value

Measurements 

(continued)

Franklin

Floating

Rate

Master

Trust

Notes

to

Statements

of

Investments

(unaudited)

25

Quarterly

Statement

of

Investments

Description

Fair

Value

at

End

of

Period

Valuation

Technique

Unobservable

Inputs

Amount

/

Range

(Weighted

Average)

a

Impact

to

Fair

Value

if

Input

Increases

b

Franklin

Floating

Rate

Income

Fund

Assets:

Investments

in

Securities:

Common

Stocks:

Paper

&

Forest

Products.

$3,111,498

Discounted

cash

flow

Weighted

average

cost

of

capital

20.5%

Decrease

c

Free

cash

flow

$141.4

mil

Increase

Discount

for

lack

of

marketability

20.0%

Decrease

c

Long

term

growth

0.0%

Increase

Corporate

Bonds:

Road

&

Rail....................

7,629,484

Discounted

cash

flow

Discount

rate

15.8%

Decrease

c

Free

cash

flow

$8.4

mil

Increase

Senior

Floating

Rate

Interests:

Road

&

Rail....................

5,821,358

Discounted

cash

flow

Discount

rate

10.4%

Decrease

c

Free

cash

flow

$7.0

mil

Increase

All

Other

Investments........

 —

d,e

Total.....................................

$16,562,340

Franklin

Floating

Rate

Masters

Series

Assets:

Investments

in

Securities:

Common

Stocks:

Paper

Products..............

$8,365,065

Discounted

cash

flow

Weighted

average

cost

of

capital

20.5%

Decrease

c

Free

cash

flow

$141.4

mil

Increase

Discount

for

lack

of

marketability

20.0%

Decrease

c

Long

term

growth

0.0%

Increase

Corporate

Bonds:

Trucking.........................

9,449,075

Discounted

cash

flow

Discount

rate

15.8%

Decrease

c

Free

cash

flow

$10.4

mil

Increase

Senior

Floating

Rate

Interests:

Aerospace

&

Defense.....

14,340,857

Recovery

value

Asset

value

estimate

$220.0

mil

Increase

c

Trucking.........................

7,209,725

Discounted

cash

flow

Discount

rate

10.4%

Decrease

c

Free

cash

flow

$8.7

mil

Increase

All

Other

Investments

..........

524,816

d,e

Total

.......................

$39,889,538

a

Weighted

based

on

the

relative

fair

value

of

the

financial

instruments

8. Fair

Value

Measurements 

(continued)

Franklin

Floating

Rate

Master

Trust

Notes

to

Statements

of

Investments

(unaudited)

26

Quarterly

Statement

of

Investments

9.

Subsequent

Events

The

Funds

have evaluated

subsequent

events

through

the

issuance

of

the

Statements of

Investments

and

determined

that

no

events

have

occurred

that

require

disclosure.

b

Represents

the

directional

change

in

the

fair

value

that

would

result

from

a

significant

and

reasonable

increase

in

the

corresponding

input.

A

significant

and

reasonable

decrease

in

the

input

would

have

the

opposite

effect.

Significant

impacts,

if

any,

to

fair

value

and/or

net

assets

have

been

indicated.

c

Represents

a

significant

impact

to

fair

value

and

net

assets.

d

Includes

financial

instruments

with

values

derived

using

private

transaction

prices

or

non-public

third

party

pricing

information

which

is

unobservable.

May

also

include

fair

value

of

immaterial

financial

instruments

and

developed

using

various

valuation

techniques

and

unobservable

inputs.

e

Includes

securities

determined

to

have

no

value

at

October

31,

2020.

8. Fair

Value

Measurements 

(continued)

Franklin

Floating

Rate

Master

Trust

Notes

to

Statements

of

Investments

(unaudited)

27

Quarterly

Statement

of

Investments

Abbreviations

Currency

USD

United

States

Dollar

Selected

Portfolio

ETF

Exchange-Traded

Fund

LIBOR

London

Inter-Bank

Offered

Rate

PIK

Payment-In-Kind

TBD

To

Be

Determined

For

additional

information

on

the

Funds'

significant

accounting

policies,

please

refer

to

the Funds'

most

recent

semiannual

or

annual

shareholder

report.