UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSRS
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-09869
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FRANKLIN FLOATING RATE MASTER TRUST
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(Exact name of registrant as specified in charter)
ONE FRANKLIN PARKWAY, SAN MATEO, CA 94403-1906
(Address of principal executive offices) (Zip code)
MURRAY L. SIMPSON, ONE FRANKLIN PARKWAY, SAN MATEO, CA 94403-1906
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(Name and address of agent for service)
Registrant's telephone number, including area code: 650 312-2000
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Date of fiscal year end: 07/31
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Date of reporting period: 1/31/05
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ITEM 1. REPORTS TO STOCKHOLDERS.
FRANKLIN FLOATING RATE MASTER TRUST
FRANKLIN FLOATING RATE MASTER SERIES
FINANCIAL HIGHLIGHTS
SIX MONTHS ENDED YEAR ENDED JULY 31,
JANUARY 31, 2005 ----------------------------------------------------------
(UNAUDITED) 2004 2003 2002 2001 2000 b
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PER SHARE OPERATING PERFORMANCE
(for a share outstanding throughout the period)
Net asset value, beginning of period $9.84 $9.69 $9.58 $9.88 $10.05 $10.00
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Income from investment operations:
Net investment income .181 .334 .464 .545 .861 .288
Net realized and unrealized gains (losses) .011 .151 .111 (.300) (.173) .050
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Total from investment operations .192 .485 .575 .245 .688 .338
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Less distributions from net investment
income (.182) (.335) (.465) (.545) (.861) (.288)
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Net asset value, end of period $9.85 $9.84 $9.69 $9.58 $9.88 $10.05
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Total return a 1.96% 5.08% 6.19% 2.52% 7.13% 3.42%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (000's) $981,614 $757,987 $218,647 $265,940 $218,545 $37,370
Ratios to average net assets:
Expenses .96% c .98% 1.02% .98% 1.01% 2.27% c
Expenses net of waiver and payments by affiliate .60% c .60% .60% .60% .62% 1.00% c
Net investment income 3.65% c 3.34% 4.86% 5.55% 8.34% 8.62% c
Portfolio turnover rate 30.67% 54.41% 75.69% 77.29% 37.87% 11.10%
a Total return is not annualized for periods less than one year.
b For the period March 24, 2000 (commencement of operations) to July 31, 2000.
c Annualized.
See notes to financial statements.
FRANKLIN FLOATING RATE MASTER TRUST
FRANKLIN FLOATING RATE MASTER SERIES
STATEMENT OF INVESTMENTS, JANUARY 31, 2005 (UNAUDITED)
PRINCIPAL % OF NET
COUNTRY AMOUNT VALUE ASSETS
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BONDS
BROADCASTING
Paxson Communications Corp., senior secured note, 144A, FRN, 5.41%,
1/15/10 United States $ 5,100,000 $ 5,176,500 .53
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STEEL
Ispat Inland ULC, senior secured note, FRN, 9.31%, 4/01/10 United States 3,000,000 3,307,500 .33
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TOTAL BONDS (COST $8,121,927) 8,484,000 .86
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a SENIOR FLOATING RATE INTERESTS
ADVERTISING/MARKETING SERVICES
Adams Outdoor Advertising Inc., Term Loan, 4.92%, 10/05/11 United States 2,985,000 3,027,909 .31
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AEROSPACE & DEFENSE
ARINC Inc., Term Loan, 4.78%, 2/24/11 United States 1,488,750 1,511,081 .16
CACI International Inc., Term Loan B, 3.95%, 4/23/11 United States 4,466,250 4,524,869 .46
DRS Technologies Inc., Term Loan B, 3.74 - 4.39%, 11/04/10 United States 3,296,280 3,330,274 .34
ILC Industries Inc., Second Lien Term Loan, 8.15%, 2/05/11 United States 500,000 505,850 .05
K&F Acquisition Inc., Term Loan B, 4.95 - 6.75%, 11/18/12 United States 975,000 991,860 .10
MRO Acquisition Corp. (Piedmont), First Lien Term Loan, 4.92%,
8/27/10 United States 2,354,140 2,386,510 .24
Standard Aero Holdings Inc., Term Loan B, 4.969 - 5.05%, 8/24/12 United States 876,923 890,899 .09
Titan Corp., Term Loan B, 5.37 - 7.25%, 6/30/09 United States 975,000 989,016 .10
Vought Aircraft Industries Inc., Term Loan B, 5.08%, 12/22/11 United States 4,700,000 4,776,375 .49
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19,906,734 2.03
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AIRLINES
American Airlines Inc., Term Loan B, 7.79 - 8.12%, 12/31/10 United States 1,000,000 1,013,438 .10
Northwest Airlines Inc., Term Loan B, 9.10%, 11/23/10 United States 2,000,000 2,046,000 .21
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3,059,438 .31
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ALUMINUM
b Novelis Corp., U.S. Term Loan, 4.125%, 12/30/11 United States 7,298,077 7,363,964 .75
b Novelis Inc., CAD Term Loan, 4.125%, 12/30/11 Canada 4,201,923 4,241,026 .43
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11,604,990 1.18
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APPAREL/FOOTWEAR
St. John Knits Inc., Term Loan B, 6.063%, 7/31/07 United States 894,731 904,237 .09
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FRANKLIN FLOATING RATE MASTER TRUST
FRANKLIN FLOATING RATE MASTER SERIES
STATEMENT OF INVESTMENTS, JANUARY 31, 2005 (UNAUDITED)
PRINCIPAL % OF NET
COUNTRY AMOUNT VALUE ASSETS
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AUTO PARTS: ORIGINAL EQUIPMENT MANUFACTURER
Accuride Corp., Term Loan B, 4.875%, 1/31/12 United States $ 1,700,000 $ 1,717,709 .18
Cooper Standard Automotive Inc.,
Term Loan B, 4.75%, 12/23/11 United States 2,875,000 2,906,145 .30
Term Loan C, 4.75%, 12/23/11 United States 4,625,000 4,675,103 .48
Dayco Products LLC, Term Loan B, 5.12 - 5.77%, 6/18/11 United States 3,980,000 4,044,675 .41
EaglePicher Inc., Term Loan B, 5.46%, 8/07/09 United States 1,181,639 1,185,825 .12
Exide Technologies,
USD EURO Borrower, 5.875 - 6.125%, 5/04/10 United States 750,000 731,250 .07
USD US Borrower, 5.875 - 6.125%, 5/04/10 United States 750,000 731,250 .07
GenCorp Inc.,
L/C Term Loan, 5.58%, 11/30/10 United States 750,000 761,719 .08
Term Loan B, 5.58%, 11/30/10 United States 250,000 254,531 .03
Grand Vehicle Works, Term Loan B, 5.56 - 5.58%, 7/23/10 United States 2,238,750 2,193,975 .22
Hayes Lemmerz, Term Loan, 5.92 - 6.69%, 6/03/09 United States 2,848,333 2,895,132 .30
Hilite International Inc., Term Loan B, 6.72 - 6.986%, 3/31/09 United States 782,697 785,374 .08
Key Plastics LLC and Key Safety Inc.,
First Lien Term Loan, 4.78 - 5.09%, 7/31/10 United States 1,441,705 1,466,934 .15
Term Loan C, 8.15 - 8.33%, 7/31/11 United States 1,000,000 1,007,500 .10
Plastech Engineered Products Inc., First Lien Term Loan, 5.31%,
3/11/10 United States 968,965 975,627 .10
Progressive Moulded Products, Term Loan B, 4.844 - 5.23%, 8/13/11 Canada 1,026,993 1,030,202 .10
Tenneco Automotive Inc.,
L/C Term Loan, 5.40%, 12/12/10 United States 1,241,379 1,265,689 .13
Term Loan B, 5.35%, 12/12/10 United States 2,731,034 2,784,516 .29
TRW Automotive Inc.,
Term Loan B, 4.375%, 10/31/10 United States 3,250,000 3,260,156 .33
Term Loan E, 3.875%, 10/31/10 United States 5,500,000 5,525,784 .56
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40,199,096 4.10
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AUTOMOTIVE AFTERMARKET
Affinia Group Inc., Term Loan B, 5.44%, 11/30/11 United States 4,000,000 4,068,000 .41
United Components Inc., Term Loan C, 4.78%, 6/30/10 United States 773,333 784,114 .08
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4,852,114 .49
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BEVERAGES: ALCOHOLIC
Constellation Brands Inc., Term Loan B, 6.00%, 12/22/11 United States 11,400,000 11,556,750 1.18
Southern Wine & Spirits of America Inc., Term Loan B, 4.81%,
7/02/08 United States 1,962,433 1,992,320 .20
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13,549,070 1.38
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BEVERAGES: NON-ALCOHOLIC
Dr. Pepper Bottling Co. of Texas, Term Loan, 4.47 - 4.754%,
12/18/10 United States 2,241,524 2,279,630 .23
Sunny Delight Beverages Co., First Lien Term Loan, 6.59 - 6.79%,
8/23/10 United States 1,000,000 977,430 .10
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3,257,060 .33
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BROADCASTING
Alliance Atlantis Communications Inc., Term Loan B, 4.294%,
12/17/11 United States 3,000,000 3,037,500 .31
FRANKLIN FLOATING RATE MASTER TRUST
FRANKLIN FLOATING RATE MASTER SERIES
STATEMENT OF INVESTMENTS, JANUARY 31, 2005 (UNAUDITED) (CONTINUED)
PRINCIPAL % OF NET
COUNTRY AMOUNT VALUE ASSETS
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Cumulus Media Inc.,
Term Loan A1, 4.25%, 3/28/09 United States $ 2,312,500 $ 2,329,636 .24
Term Loan E, 4.25%, 3/28/10 United States 3,109,375 3,159,902 .32
Term Loan F, 4.063%, 3/28/10 United States 498,750 501,036 .05
Emmis Operating Co., Term Loan B, 4.17%, 11/10/11 United States 5,000,000 5,058,680 .52
Entravision Communications Corp.,
Multi-Draw Term Loan, 4.31%, 2/24/12 United States 1,500,000 1,516,563 .15
Term Loan B, 4.31%, 2/24/12 United States 5,000,000 5,055,210 .52
Gray Television Inc., Term Loan C, 4.30 - 4.31%, 12/31/10 United States 1,000,000 1,011,130 .10
Mission Broadcasting Inc., Term Loan D, 4.31%, 12/31/10 United States 2,902,553 2,915,252 .30
NEP Supershooters LP,
First Lien Term Loan, 6.56%, 2/03/11 United States 1,246,875 1,267,137 .13
Term Loan B, 3.50 - 7.75%, 2/03/11 United States 1,000,000 1,000,000 .10
Nexstar Finance LLC, Term Loan D, 4.31%, 12/31/10 United States 1,584,947 1,597,824 .16
Sinclair Broadcasting, Term Loan A, 4.33%, 6/30/09 United States 4,500,000 4,521,096 .46
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32,970,966 3.36
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BUILDING PRODUCTS
Atrium Cos. Inc., Term Loan, 5.20 - 5.30%, 12/15/11 United States 3,000,000 3,039,999 .31
Building Materials Holding Corp., Term Loan B, 5.313%, 8/13/10 United States 985,000 992,387 .10
Headwaters Inc., Term Loan B, 5.75 - 5.92%, 4/30/11 United States 3,687,500 3,740,508 .38
Masonite International Corp., Term Loan C2, 4.688 - 4.875%, 8/31/08 United States 992,492 992,442 .10
NCI Building Systems Inc., Term Loan B, 4.39%, 6/07/10 United States 3,890,000 3,943,487 .40
Norcraft Cos. LP, Term Loan, 5.58%, 10/21/09 United States 1,833,333 1,845,048 .19
Nortek Inc., Term Loan, 4.62 - 6.75%, 8/25/11 United States 6,986,250 7,109,963 .73
PGT Industries Inc., First Lien Term Loan, 5.71 - 5.93%, 2/05/10 United States 971,000 986,172 .10
Ply Gem Industries Inc., Incremental Term Loan, 4.59%, 2/12/11 United States 1,000,000 1,012,500 .10
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23,662,506 2.41
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CABLE/SATELLITE TELEVISION
Atlantic Broadband Finance LLC, Term Loan B, 5.69%, 8/06/11 United States 1,250,000 1,275,260 .13
Bresnan Broadband Holdings LLC,
Term Loan A, 5.74 - 6.48%, 3/31/10 United States 1,250,000 1,265,235 .13
Term Loan B, 5.94 - 6.14%, 9/30/10 United States 1,000,000 1,015,781 .11
c,gCentury Cable (Adelphia), Discretionary Term Loan, 7.25%, 12/31/09 United States 1,000,000 993,854 .10
Charter Communications Operating LLC, Term Loan B, 5.89 - 5.98%,
4/27/11 United States 6,467,500 6,455,949 .66
DirecTV Holdings LLC, Term Loan, 4.45 - 4.48%, 3/06/10 United States 2,477,755 2,511,775 .26
b Grapeclose Ltd. (Inmarsat),
United Kingdom 4,792,136 4,817,807 .49
Term Loan B, 5.502%, 10/10/10
United Kingdom 4,797,523 4,840,188 .49
Term Loan C, 6.002%, 10/10/11
Insight Midwest Holdings LLC,
Additional Term Loan, 5.438%, 12/31/09 United States 990,000 1,006,706 .10
Term Loan A, 4.188%, 6/30/09 United States 5,018,644 5,028,331 .51
Term Loan B, 5.438%, 12/31/09 United States 990,000 1,006,706 .10
f Intelsat (Bermuda) Ltd., Senior Term Loan Facility, 4.375%, 7/31/12 Bermuda 642,857 654,107 .07
FRANKLIN FLOATING RATE MASTER TRUST
FRANKLIN FLOATING RATE MASTER SERIES
STATEMENT OF INVESTMENTS, JANUARY 31, 2005 (UNAUDITED) (CONTINUED)
PRINCIPAL % OF NET
COUNTRY AMOUNT VALUE ASSETS
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Mediacom Broadband Inc.,
Term Loan A, 3.90 - 4.33%, 3/31/10 United States $ 2,940,000 $ 2,979,875 .31
Term Loan B1, 4.89 - 5.29%, 9/12/10 United States 995,000 1,008,495 .10
Mediacom LLC Group, Term Loan B, 4.47 - 5.16%, 4/01/13 United States 1,000,000 1,004,464 .10
New Skies Satellites B.V., Term Loan, 5.25 - 5.438%, 5/02/11 Netherlands 7,250,000 7,328,539 .75
NTL Investment Holdings, Term Loan B, 5.204%, 5/13/12 United Kingdom 8,000,000 8,080,000 .82
c,g Olympus Cable Holdings (Adelphia), Term Loan B, 7.25%, 9/30/10 United States 2,000,000 1,988,906 .20
Panamsat Corp., Term Loan B, 5.25%, 8/01/11 United States 4,466,114 4,505,836 .46
Persona Communications Inc., Term Loan, 5.56%, 7/30/11 United States 3,482,500 3,522,768 .36
Stratos Global Corp., Term Loan B, 4.81%, 11/30/10 United States 1,000,000 1,011,250 .10
UPC Distribution Holdings B.V., Term Loan C2, 8.09%, 3/31/09 Netherlands 1,980,000 1,996,088 .20
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64,297,920 6.55
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CASINOS/GAMING
Alliance Gaming Corp., Term Loan B, 5.65%, 8/22/09 United States 1,356,994 1,354,226 .14
Boyd Gaming Corp., Term Loan B, 3.92 - 4.53%, 6/30/11 United States 2,487,500 2,522,482 .26
Global Cash Access LLC, Term Loan, 5.33%, 3/10/10 United States 935,577 951,365 .10
Greektown Casinos LLC, Term Loan D, 5.69 - 6.078%, 12/31/05 United States 2,914,582 2,943,727 .30
b Herbst Gaming Inc., Term Loan B, 4.89%, 1/04/11 United States 1,100,000 1,117,532 .11
Isle of Capri, Term Loan B, 4.45 - 4.659%, 4/25/08 United States 822,500 826,304 .08
Isle of Capri Black Hawk LLC, Term Loan C, 5.16 - 5.61%, 12/31/07 United States 3,192,243 3,197,286 .33
Marina District Finance Co. Inc., Term Loan B, 3.93%, 10/14/11 United States 5,583,333 5,640,328 .57
Penn National Gaming Inc., Term Loan D, 5.06 - 5.08%, 3/03/09 United States 450,768 453,220 .05
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19,006,470 1.94
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CATALOG/SPECIALTY DISTRIBUTION
Affinity Group Inc.,
Term Loan B1, 5.474 - 5.53%, 6/17/09 United States 229,694 232,278 .03
Term Loan B2, 5.474%, 6/17/09 United States 574,235 580,695 .06
Oriental Trading Co. Inc., Term Loan B, 5.375%, 7/29/10 United States 1,876,374 1,886,538 .19
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2,699,511 .28
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CHEMICALS: MAJOR DIVERSIFIED
BCP Crystal US Holdings Corp., Term Loan B, 5.06 - 5.126%, 4/06/11 United States 5,632,768 5,738,383 .58
Huntsman International LLC, Term Loan B, 5.00%, 12/31/10 United States 3827923 3,888,213 .40
Huntsman LLC, Term Loan B, 6.05%, 3/31/10 United States 1,200,000 1,221,300 .12
Invista Canada Co., Term Loan B2, 5.313%, 4/29/11 Canada 1,214,353 1,226,326 .13
Invista SARL, Term Loan B1, 5.313%, 4/29/11 Luxembourg 2,691,530 2,741,996 .28
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14,816,218 1.51
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CHEMICALS: SPECIALTY
Brenntag, Term Loan B2, 4.73%, 2/27/12 United States 1,500,000 1,514,850 .15
Nalco Co., Term Loan B, 4.52 - 4.92%, 11/04/10 United States 5,826,495 5,914,295 .60
Rockwood Specialties Group Inc., Term Loan D, 4.95%, 7/30/11 United States 5,300,000 5,365,778 .55
Westlake Chemical Corp., Term Loan B, 4.45 - 4.65%, 7/31/10 United States 335,000 339,332 .04
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13,134,255 1.34
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FRANKLIN FLOATING RATE MASTER TRUST
FRANKLIN FLOATING RATE MASTER SERIES
STATEMENT OF INVESTMENTS, JANUARY 31, 2005 (UNAUDITED) (CONTINUED)
PRINCIPAL % OF NET
COUNTRY AMOUNT VALUE ASSETS
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COAL
CONSOL Energy Inc., Tranche B Credit-Linked Deposits L/C Facility,
4.78%, 6/08/10 United States $ 1,250,000 $ 1,267,375 .13
Foundation Coal, Term Loan B, 4.56 - 4.78%, 7/30/11 United States 3,809,043 3,867,607 .40
International Coal Group LLC, Term Loan B, 5.36%, 11/09/10 United States 997,500 1,013,709 .10
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6,148,691 .63
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COMMERCIAL PRINTING/FORMS
American Reprographics, Term Loan B, 7.25%, 6/17/09 United States 1,896,000 1,919,700 .20
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CONSTRUCTION MATERIALS
St. Marys Cement Inc., Term Loan B, 4.56%, 12/04/09 Canada 4,464,950 4,517,971 .46
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CONSUMER SUNDRIES
NBTY Inc., Term Loan C, 4.375%, 7/22/09 United States 663,885 671,546 .07
Scotts Co., Term Loan B, 4.063%, 9/30/10 United States 447,750 452,547 .05
United Industries Corp.,
Second Lien Term Loan, 8.75%, 10/31/11 United States 497,500 498,744 .05
Term Loan B, 6.75%, 4/30/11 United States 2,980,025 2,987,475 .30
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4,610,312 .47
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CONTAINERS/PACKAGING
ACI Operations Property Ltd., Term Loan A, 4.95%, 4/01/07 Australia 684,735 697,180 .07
Berry Plastics Corp., Term Loan C, 4.22%, 7/22/10 United States 865,250 878,590 .09
Graham Packaging Co.,
First Lien Term Loan, 5.00 - 5.125%, 10/07/11 United States 7,000,000 7,104,377 .72
Second Lien Term Loan, 6.813%, 4/07/12 United States 500,000 514,188 .05
Graphic Packaging International Corp., Term Loan C, 5.06 - 5.44%,
8/08/10 United States 5,046,670 5,144,222 .52
Greif Brothers Corp., Term Loan B, 4.23%, 8/15/09 United States 1,012,197 1,024,007 .11
Kerr Group Inc., Term Loan B, 6.06 - 7.75%, 8/11/10 United States 4,249,124 4,299,051 .44
Owens-Brockway Glass Container Inc., Term Loan B, 5.23%, 4/01/08 United States 1,079,890 1,099,463 .11
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20,761,078 2.11
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DATA PROCESSING SERVICES
InfoUSA Inc.,
Term Loan A, 5.06%, 3/25/09 United States 3,500,000 3,540,425 .36
Term Loan B, 7.00%, 3/30/09 United States 1,740,000 1,760,097 .18
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5,300,522 .54
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DRUG STORE CHAINS
The Jean Coutu Group (PJC) Inc., Term Loan B, 4.875 - 5.00%, 7/28/11 Canada 7,481,250 7,600,486 .77
Rite Aid Corp., Term Loan, 4.17 - 4.31%, 8/23/09 United States 1,995,000 2,011,834 .21
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9,612,320 .98
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FRANKLIN FLOATING RATE MASTER TRUST
FRANKLIN FLOATING RATE MASTER SERIES
STATEMENT OF INVESTMENTS, JANUARY 31, 2005 (UNAUDITED) (CONTINUED)
PRINCIPAL % OF NET
COUNTRY AMOUNT VALUE ASSETS
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ELECTRIC UTILITIES
AES Corp., Term Loan B, 4.25 - 4.44%, 4/30/08 United States $ 714,286 $ 726,637 .07
Calpine Corp., Second Lien Term Loan, 8.41%, 7/15/07 United States 1,970,000 1,760,687 .18
Calpine Generating Co., First Priority Term Loan, 6.14%, 3/22/09 United States 1,500,000 1,537,687 .16
Cogentrix Delaware Holdings Inc., Term Loan, 4.828%, 2/19/09 United States 2,977,500 3,010,133 .31
Coleto Creek WLE LP,
Term Loan B, 4.828%, 7/31/11 United States 1,741,250 1,773,172 .18
Term Loan C, 6.23%, 7/31/12 United States 1,000,000 1,021,667 .11
Dynegy Holdings Inc., Term Loan B, 6.39%, 5/27/10 United States 2,487,500 2,534,141 .26
Midwest Generation LLC, Term Loan, 5.47 - 5.814%, 4/27/11 United States 2,729,215 2,771,859 .28
b NRG Energy Inc.,
Credit Linked Deposit, 4.325%, 12/24/11 United States 3,346,875 3,368,630 .34
Term Loan B, 4.515%, 12/24/11 United States 4,303,125 4,331,095 .44
Pike Electric Inc.,
Term Loan B, 4.688%, 7/02/12 United States 866,667 882,105 .09
Term Loan C, 4.75%, 12/10/12 United States 500,000 507,813 .05
Quanta Services Inc., Term Loan B, 2.51 - 5.51%, 12/15/08 United States 2,970,000 3,012,694 .31
Reliant Energy Inc., Term Loan B, 4.895 - 5.068%, 4/30/10 United States 4,000,000 4,031,784 .41
Texas Genco LLC, First Lien Term Loan, 4.48%, 12/14/11 United States 6,015,385 6,098,096 .62
TNP Enterprises Inc., Term Loan, 7.568%, 12/31/06 United States 985,000 1,004,700 .10
------------ ----------
38,372,900 3.91
------------ ----------
ELECTRICAL PRODUCTS
Enersys Capital Inc., Term Loan D, 3.921 - 4.54%, 3/17/11 United States 1,243,750 1,255,591 .13
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ELECTRONIC COMPONENTS
Seagate Technology HDD Holdings, Term Loan B, 4.563%, 5/13/07 Cayman Islands 2,301,941 2,341,865 .24
Seagate Technology (US) Holdings, Term Loan B, 4.563%, 5/13/07 United States 920,712 936,681 .09
------------ ----------
3,278,546 .33
------------ ----------
ELECTRONICS/APPLIANCES
Directed Electronics Inc., Term Loan, 6.65 - 8.50%, 6/15/10 United States 1,943,718 1,962,549 .20
Juno Lighting Inc., First Lien Term Loan, 4.89 - 7.00%, 10/21/10 United States 1,758,636 1,784,225 .18
------------ ----------
3,746,774 .38
------------ ----------
ENGINEERING & CONSTRUCTION
b Maxim Crane Works LP, First Lien Term Loan, 7.25%, 1/31/10 United States 1,000,000 1,017,500 .10
Washington Group International Inc., Synthetic Term Loan, 2.478%,
10/01/07 United States 3,000,000 3,004,830 .31
------------ ----------
4,022,330 .41
------------ ----------
ENVIRONMENTAL SERVICES
Allied Waste North America Inc.,
L/C Term Loan, 5.15%, 1/15/10 United States 1,449,643 1,470,255 .15
Term Loan B, 4.95 - 5.24%, 1/15/10 United States 3,208,740 3,260,022 .33
Term Loan C, 5.24 - 5.27%, 1/15/10 United States 490,765 498,638 .05
FRANKLIN FLOATING RATE MASTER TRUST
FRANKLIN FLOATING RATE MASTER SERIES
STATEMENT OF INVESTMENTS, JANUARY 31, 2005 (UNAUDITED) (CONTINUED)
PRINCIPAL % OF NET
COUNTRY AMOUNT VALUE ASSETS
----------------------------------------------------------------------------------------------------------------------------
Duratek Inc., Term Loan B, 6.125 - 6.75%, 12/16/09 United States $ 1,847,826 $ 1,850,714 .19
b Envirocare of Utah LLC, Term Loan B, 5.794%, 1/07/12 United States 2,500,000 2,534,375 .26
EnviroSolutions Inc.,
f Delay Draw, 7.06%, 3/01/09 United States 698,182 698,182 .07
Term Loan B, 7.06%, 3/01/09 United States 2,135,455 2,130,116 .22
IESI Corp., Term Loan B, 4.504 - 4.68%, 1/07/12 United States 900,000 914,625 .09
------------ ----------
13,356,927 1.36
------------ ----------
FINANCE/RENTAL/LEASING
United Rentals (North America) Inc.,
L/C Term Loan, 2.169%, 2/11/11 United States 250,000 253,828 .02
Term Loan B, 4.81%, 2/11/11 United States 1,240,625 1,259,816 .13
------------ ----------
1,513,644 .15
------------ ----------
FOOD DISTRIBUTORS
OSI Group LLC,
Dutch Term Loan, 4.81%, 9/02/11 Netherlands 554,167 562,364 .06
German Term Loan, 4.81%, 9/02/11 Germany 443,333 449,891 .05
U.S. Term Loan, 4.81%, 9/02/11 United States 997,500 1,012,255 .10
------------ ----------
2,024,510 .21
------------ ----------
FOOD: MAJOR DIVERSIFIED
Birds Eye Foods Inc. (Agrilink Foods), Term Loan B, 5.31%, 8/08/08 United States 929,015 940,850 .10
Dole Food Co. Inc.,
Term Loan D, 4.50 - 6.50%, 9/28/08 United States 158,202 160,816 .02
Term Loan E, 4.438 - 6.50%, 9/28/08 United States 971,428 987,670 .10
Luiginos Inc., Term Loan, 5.438 - 5.625%, 4/02/11 United States 1,859,286 1,863,934 .19
Pinnacle Foods Holding Corp., Term Loan B, 5.81 - 6.37%, 11/25/10 United States 4,962,500 4,940,070 .50
------------ ----------
8,893,340 .91
------------ ----------
FOOD: MEAT/FISH/DAIRY
American Seafoods, Term Loan B, 5.81%, 4/15/09 United States 853,336 865,869 .09
Land O'Lakes Inc., Term Loan B, 5.71%, 10/11/08 United States 695,661 705,895 .07
Michael Foods Inc., Term Loan B, 4.63 - 5.09%, 11/21/10 United States 919,293 935,381 .10
Pierre Foods Inc., Term Loan B, 4.48%, 6/30/10 United States 910,000 920,237 .09
------------ ----------
3,427,382 .35
------------ ----------
FOOD: SPECIALTY/CANDY
Leiner Health Products Inc., Term Loan B, 5.56%, 6/09/11 United States 1,990,000 2,019,850 .21
Meow Mix Co., First Lien Term Loan, 6.81 - 7.02%, 8/21/09 United States 1,120,766 1,119,015 .11
Nellson Neutraceuticals Inc.,
First Lien Term Loan, 9.25%, 10/04/09 United States 1,813,349 1,772,549 .18
Second Lien Term Loan, 11.75%, 4/04/10 United States 750,000 654,375 .07
Otis Spunkmeyer Inc., Term Loan B, 6.375%, 6/24/11 United States 2,552,917 2,583,373 .26
FRANKLIN FLOATING RATE MASTER TRUST
FRANKLIN FLOATING RATE MASTER SERIES
STATEMENT OF INVESTMENTS, JANUARY 31, 2005 (UNAUDITED) (CONTINUED)
PRINCIPAL % OF NET
COUNTRY AMOUNT VALUE ASSETS
---------------------------------------------------------------------------------------------------------------------------
Reddy Ice Group Inc., Term Loan, 5.078%, 8/15/09 United States $ 822,917 $ 833,546 .09
------------ ----------
8,982,708 .92
------------ ----------
FOREST PRODUCTS
Roseburg Forest Products (RLC Industries), Term Loan B, 4.078%,
2/24/10 United States 2,345,357 2,352,686 .24
------------ ----------
HOME FURNISHINGS
Knoll Inc., Term Loan, 5.40%, 10/01/11 United States 2,767,059 2,799,018 .28
National Bedding Co., Term Loan B, 4.98 - 6.75%, 12/20/10 United States 5,000,000 5,073,440 .52
Sealy Mattress Co., Term Loan C, 4.45 - 4.65%, 4/02/12 United States 3,466,956 3,518,960 .36
Simmons Holdings Inc., Term Loan C, 4.75 - 6.75%, 12/19/11 United States 2,448,148 2,483,850 .25
Tempur World Inc., Term Loan B, 4.81%, 8/15/09 United States 985,000 994,235 .10
------------ ----------
14,869,503 1.51
------------ ----------
HOME IMPROVEMENT CHAINS
Harbor Freight Tools USA Inc., Term Loan B, 4.69 - 4.91%, 7/15/10 United States 2,493,750 2,502,790 .26
------------ ----------
HOMEBUILDING
Associated Materials Inc., Term Loan B, 5.00 - 5.17%, 12/30/11 United States 750,000 762,188 .08
Builders FirstSource Inc., Term Loan, 5.58%, 3/17/10 United States 1,657,475 1,658,801 .17
CONTECH Construction Products Inc., Term Loan B, 4.94%, 10/31/11 United States 1,000,000 1,016,875 .10
LandSource Communities Development LLC, Term Loan B, 5.063%,
3/31/10 United States 4,000,000 4,063,752 .42
------------ ----------
7,501,616 .77
------------ ----------
HOSPITAL/NURSING MANAGEMENT
Ardent Health Services LLC, Term Loan B, 4.80%, 8/12/11 United States 4,488,750 4,526,626 .46
Beverly Enterprises Inc., Term Loan B, 4.73 - 5.42%, 10/22/08 United States 987,500 999,231 .10
Community Health Systems Inc., Term Loan B, 4.15%, 8/19/11 United States 997,500 1,006,540 .10
Iasis Healthcare LLC, Term Loan B, 4.81%, 6/22/11 United States 2,338,250 2,374,785 .24
MedCath Corp., Term Loan B, 5.11 - 6.50%, 6/30/11 United States 2,985,000 3,016,716 .31
National Mentor Inc., Term Loan B, 5.47 - 7.50%, 11/01/11 United States 1,197,000 1,219,070 .13
Triad Hospitals Inc., Term Loan B, 4.83%, 9/30/08 United States 2,212,865 2,250,360 .23
Vanguard Health Holding Co. II LLC,
Delay Draw 2, 3.25 - 5.79%, 9/23/11 United States 800,000 805,000 .08
Term Loan B, 5.79%, 9/23/11 United States 3,491,250 3,557,804 .36
------------ ----------
19,756,132 2.01
------------ ----------
HOTEL/RESORTS/CRUISELINES
Venetian Casino Resorts LLC, Term Loan B, 4.90%, 8/01/11 United States 4,534,091 4,614,381 .47
Wyndham International Inc., Term Loan B, 7.188%, 6/30/06 United States 807,184 812,061 .08
------------ ----------
5,426,442 .55
------------ ----------
HOUSEHOLD/PERSONAL CARE
Holmes Group Inc., First Lien Term Loan, 5.58 - 5.73%, 11/06/10 United States 995,000 1,007,438 .10
Jarden Corp., Term Loan B, 6.25%, 1/25/12 United States 3,000,000 3,031,071 .31
Prestige Brands Inc., Term Loan B, 5.294%, 6/24/11 United States 4,052,708 4,095,768 .42
FRANKLIN FLOATING RATE MASTER TRUST
FRANKLIN FLOATING RATE MASTER SERIES
STATEMENT OF INVESTMENTS, JANUARY 31, 2005 (UNAUDITED) (CONTINUED)
PRINCIPAL % OF NET
COUNTRY AMOUNT VALUE ASSETS
---------------------------------------------------------------------------------------------------------------------------
Rayovac Corp., Term Loan C, 4.78 - 7.00%, 9/30/09 United States $ 677,592 $ 680,227 .07
Springs Industries Inc., Term Loan B, 5.313%, 12/07/10 United States 1,000,000 1,012,813 .10
------------ ----------
9,827,317 1.00
------------ ----------
INDUSTRIAL CONGLOMERATES
Invensys (BTR Dunlop),
Bonding Facility, 5.439%, 3/05/09 United States 1,945,920 1,965,379 .20
Term Loan B, 6.091%, 9/05/09 United States 1,482,868 1,508,818 .15
SPX Corp., Term Loan B, 4.625%, 9/30/09 United States 2,317,470 2,333,403 .24
TriMas Corp., Term Loan B, 6.188%, 12/06/09 United States 4,207,216 4,267,038 .44
------------ ----------
10,074,638 1.03
------------ ----------
INDUSTRIAL MACHINERY
Colfax Corp., Term Loan B, 4.813%, 11/30/11 United States 1,000,000 1,011,667 .10
Dresser Inc., Unsecured Term Loan, 5.84%, 3/01/10 United States 1,250,000 1,265,625 .13
Dresser-Rand Group Inc., Term Loan B, 4.56%, 10/26/11 United States 2,900,225 2,946,266 .30
Flowserve Corp., Term Loan C, 5.15 - 5.438%, 6/30/09 United States 339,854 346,226 .03
Itron Inc., Term Loan B, 4.75 - 6.50%, 11/24/10 United States 1,216,824 1,230,006 .13
Mueller Group, Term Loan, 5.15%, 4/14/11 United States 3,779,817 3,824,702 .39
Rexnord Corp., Term Loan, 5.23 - 7.00%, 11/25/09 United States 173,445 176,842 .02
Sensus Metering Systems Inc., Term Loan, 4.421 - 5.403%, 12/17/10 United States 5,880,000 5,917,973 .60
------------ ----------
16,719,307 1.70
------------ ----------
INDUSTRIAL SPECIALTIES
Ionics Inc., Term Loan B, 5.31%, 2/01/11 United States 5,223,870 5,241,829 .53
Polypore Inc., Term Loan B, 4.828%, 11/13/11 United States 1,492,500 1,514,888 .16
------------ ----------
6,756,717 .69
------------ ----------
INFORMATION TECHNOLOGY SERVICES
Relizon Co.,
Incremental Term Loan, 5.33%, 2/20/11 United States 177,459 178,014 .02
Term Loan B, 5.33 - 5.54%, 2/20/11 United States 1,625,666 1,630,746 .17
Transfirst Holdings, Term Loan B, 6.563%, 3/31/10 United States 2,487,500 2,504,601 .25
Worldspan LP, Term Loan, 6.188 - 8.00%, 6/30/07 United States 459,903 463,927 .05
Xerox Corp., Term Loan, 4.33%, 9/30/08 United States 4,500,000 4,548,163 .46
------------ ----------
9,325,451 .95
------------ ----------
INSURANCE BROKERS/SERVICES
Alliant Resources Group Inc., Term Loan B, 5.67 - 6.06%, 8/31/11 United States 2,238,750 2,270,932 .23
------------ ----------
INVESTMENT BANKS/BROKERS
Refco Group Ltd. LLC, Term Loan B, 5.27%, 8/05/11 United States 2,632,500 2,664,419 .27
------------ ----------
FRANKLIN FLOATING RATE MASTER TRUST
FRANKLIN FLOATING RATE MASTER SERIES
STATEMENT OF INVESTMENTS, JANUARY 31, 2005 (UNAUDITED) (CONTINUED)
PRINCIPAL % OF NET
COUNTRY AMOUNT VALUE ASSETS
---------------------------------------------------------------------------------------------------------------------------
LIFE/HEALTH INSURANCE
Conseco Inc., Term Loan, 6.078%, 6/22/10 United States $ 3,840,000 $ 3,921,600 .40
------------ ----------
MAJOR PHARMACEUTICALS
Warner Chilcott Holdings Co.,
Term Loan B, 5.23%, 1/18/12 Puerto Rico 3,275,462 3,303,713 .34
Term Loan C, 5.23%, 1/18/12 United States 1,319,851 1,331,235 .13
Term Loan D, 5.23%, 1/18/12 Burmuda 609,734 614,993 .06
------------ ----------
5,249,941 .53
------------ ----------
MAJOR TELECOMMUNICATIONS
Alaska Communications Systems Holdings Inc, Term Loan, 6.50%,
2/01/12 United States 2,000,000 2,015,000 .20
Consolidated Communications Inc., Term Loan B, 4.83 - 5.06%,
10/14/11 United States 993,333 1,010,096 .10
Qwest Corp., Term Loan A, 7.39%, 6/30/07 United States 1,000,000 1,044,196 .11
------------ ----------
4,069,292 .41
------------ ----------
MANAGED HEALTH CARE
Multiplan Inc., Term Loan, 5.31%, 3/04/09 United States 2,888,889 2,932,136 .30
Pacificare Health Systems Inc., Term Loan B, 4.063 - 4.25%,
12/13/10 United States 9,100,000 9,141,705 .93
------------ ----------
12,073,841 1.23
------------ ----------
MARINE SHIPPING
Horizon Lines LLC, Term Loan, 5.39%, 7/07/11 United States 1,990,000 2,014,875 .21
Moran Transportation Co., Term Loan B, 5.06%, 8/08/09 United States 1,977,443 1,994,746 .20
US Shipping Partners LP, Term Loan, 4.56%, 4/25/09 United States 766,346 774,968 .08
------------ ----------
4,784,589 .49
------------ ----------
MEDICAL DISTRIBUTORS
VWR International Inc., Term Loan B, 5.17%, 4/07/11 United States 3,203,667 3,262,134 .33
------------ ----------
MEDICAL SPECIALTIES
Advanced Medical Optics, Term Loan B, 4.49 - 4.50%, 6/26/09 United States 969,963 978,450 .10
Cooper Companies Inc., Term Loan B, 4.188%, 11/19/11 United States 4,200,000 4,260,375 .44
Kinetic Concepts Inc., Term Loan B2, 4.31%, 8/11/10 United States 1,086,250 1,095,302 .11
PerkinElmer Inc., Term Loan B, 4.474%, 12/26/08 United States 221,667 224,437 .02
------------ ----------
6,558,564 .67
------------ ----------
MEDICAL/NURSING SERVICES
Alliance Imaging Inc., Term Loan C1, 4.75 - 5.00%, 12/29/11 United States 1,500,000 1,514,532 .16
Davita Inc., Term Loan B, 4.17 - 4.775%, 6/30/10 United States 3,946,011 3,960,809 .40
Insight Health Services, Term Loan B, 6.31%, 10/17/08 United States 3,952,070 3,987,888 .41
MedQuest Inc., Term Loan B, 6.31%, 7/31/09 United States 985,000 999,159 .10
Sheridan Healthcare, Term Loan B, 5.79 - 5.89%, 11/09/10 United States 1,250,000 1,290,875 .13
Team Health Inc., Term Loan B, 5.81%, 3/23/11 United States 3,052,126 3,061,664 .31
US Oncology Inc., Term Loan B, 4.875 - 5.51%, 8/20/11 United States 2,985,000 3,026,978 .31
------------ ----------
17,841,905 1.82
------------ ----------
FRANKLIN FLOATING RATE MASTER TRUST
FRANKLIN FLOATING RATE MASTER SERIES
STATEMENT OF INVESTMENTS, JANUARY 31, 2005 (UNAUDITED) (CONTINUED)
PRINCIPAL % OF NET
COUNTRY AMOUNT VALUE ASSETS
----------------------------------------------------------------------------------------------------------------------------
MISCELLANEOUS COMMERCIAL SERVICES
Buhrmann US Inc., Term Loan C1, 4.94%, 12/23/10 United States $ 3,980,000 $ 4,027,402 .41
CCC Information Services Group Inc., Term Loan B, 5.559%, 8/15/10 United States 5,662,281 5,733,060 .58
Corrections Corp. (Prison Realty), Term Loan D, 4.53 - 4.95%,
3/31/08 United States 982,311 998,887 .10
DS Waters Enterprises LP, Term Loan, 6.67 - 7.266%, 11/07/09 United States 4,900,691 4,598,995 .47
Global Imaging Systems Inc., Term Loan B, 4.28 - 4.71%, 5/15/10 United States 1,982,537 2,007,319 .20
JohnsonDiversey Inc., Term Loan B, 4.43 - 4.64%, 5/03/08 United States 820,649 835,395 .09
Language Lines Inc., Term Loan B, 6.77%, 6/11/11 United States 1,703,947 1,725,605 .18
Mitchell International Inc., Term Loan B, 5.55%, 8/15/11 United States 945,127 958,418 .10
US Investigations Services Inc., Term Loan C, 6.01%, 12/31/08 United States 1,276,048 1,291,998 .13
------------ ----------
22,177,079 2.26
------------ ----------
MISCELLANEOUS MANUFACTURING
Day International Group Inc., Term Loan D, 6.06 - 6.08%, 1/01/10 United States 802,547 805,035 .08
Norcross Safety Products, Term Loan, 4.92%, 3/20/09 United States 751,731 762,302 .08
------------ ----------
1,567,337 .16
------------ ----------
MOVIES/ENTERTAINMENT
24 Hour Fitness Inc., Term Loan, 6.063 - 6.25%, 7/01/09 United States 1,689,612 1,705,089 .17
Brooklyn Basketball LLC (New Jersey), Term Loan B, 6.063%, 8/16/08 United States 2,500,000 2,500,000 .26
Carmike Cinemas Inc., Term Loan, 5.828%, 2/02/09 United States 1,584,000 1,639,440 .17
CH Operating LLC, Term Loan B, 7.063%, 6/21/07 United States 431,034 429,957 .04
Cinemark USA Inc., Term Loan, 4.21 - 4.35%, 3/31/11 United States 2,085,825 2,131,046 .22
Cinram International, Term Loan D, 5.40%, 9/30/09 Canada 3,886,281 3,950,649 .40
Hollywood Entertainment Corp., Term Loan, 6.08%, 3/31/08 United States 625,000 628,516 .06
Houston Ltd. Partners NFL Holdings LP, Term Loan B, 3.25 - 3.813%,
1/05/10 United States 1,700,000 1,705,814 .17
Loews Cineplex Entertainment Corp., Term Loan B, 4.44 - 4.814%,
7/30/11 United States 2,493,750 2,530,573 .26
Metro-Goldwyn-Mayer Studios Inc., Term Loan B, 5.06%, 4/30/11 United States 3,990,000 4,000,474 .41
Mets II LLC, Term Loan, 5.77%, 8/23/05 United States 1,000,000 1,003,630 .10
Minnesota Hockey Ventures Group LP (Holding Co.), Term Loan, 7.06%,
12/29/08 United States 1,350,000 1,343,250 .14
Minnesota Wild Hockey Club LP (Option Co.), Term Loan, 5.31%,
12/19/08 United States 1,000,000 1,004,375 .10
New Jersey Devils LLC, Term Loan, 6.27%, 9/30/06 United States 2,000,000 2,008,200 .21
Rainbow National Services LLC, Term Loan B, 5.19%, 3/31/12 United States 8,000,000 8,125,000 .83
Regal Cinemas Inc., Term Loan B, 4.56%, 11/10/10 United States 9,679,965 9,805,001 1.00
Shinn Acquisition LLC (Hornets), Term Loan, 9.50%, 6/30/07 United States 1,500,000 1,503,420 .15
Six Flags Theme Parks, Term Loan B, 4.90%, 6/30/09 United States 3,288,342 3,345,888 .34
Warner Music Inc., Term Loan B, 4.97 - 5.38%, 2/28/11 United States 12,177,487 12,343,661 1.26
Yankee Holdings, Term Loan, 4.486 - 4.90%, 6/25/07 United States 392,857 399,732 .04
Yankee Nets, Term Loan, 4.24 - 5.03%, 6/25/07 United States 857,143 872,143 .09
------------ ----------
62,975,858 6.42
------------ ----------
FRANKLIN FLOATING RATE MASTER TRUST
FRANKLIN FLOATING RATE MASTER SERIES
STATEMENT OF INVESTMENTS, JANUARY 31, 2005 (UNAUDITED) (CONTINUED)
PRINCIPAL % OF NET
COUNTRY AMOUNT VALUE ASSETS
---------------------------------------------------------------------------------------------------------------------------
OIL & GAS PIPELINES
El Paso Corp.,
L/C Term Loan, 2.30%, 11/22/09 United States $ 1,312,500 $ 1,325,112 .14
Term Loan B, 5.188%, 11/22/09 United States 2,178,750 2,203,714 .22
Vulcan Energy Corp., Term Loan B, 4.39%, 4/30/10 United States 1,508,572 1,529,786 .16
------------ ----------
5,058,612 .52
------------ ----------
OIL & GAS PRODUCTION
Pride Offshore Inc., Term Loan B, 4.15%, 7/07/11 United States 928,333 942,838 .10
Williams Production RMT Co., Term Loan C, 4.99%, 5/30/08 United States 985,050 996,595 .10
------------ ----------
1,939,433 .20
------------ ----------
OIL REFINING/MARKETING
Getty Petroleum Marketing, Term Loan B, 5.80%, 5/19/10 United States 966,667 985,396 .10
Lyondell-Citgo Refining LP, Term Loan, 4.38 - 4.591%, 5/21/07 United States 4,726,250 4,779,420 .49
Magellan Midstream Holdings LP, Term Loan B, 5.09%, 12/10/11 United States 2,465,225 2,499,122 .25
Tesoro Petroleum Corp.,
L/C Term Loan, 2.48%, 4/30/07 United States 2,000,000 2,008,340 .20
Term Loan, 7.99%, 4/15/08 United States 482,500 496,975 .05
b Universal Compression Inc., Term Loan B, 4.34%, 1/14/12 United States 2,000,000 2,028,126 .21
------------ ----------
12,797,379 1.30
------------ ----------
OTHER CONSUMER SERVICES
Alderwoods Group Inc., Term Loan B1, 3.94 - 4.54%, 8/19/10 United States 667,682 673,858 .07
Coinstar Inc., Term Loan, 4.84%, 7/01/11 United States 831,411 845,961 .09
Knowledge Learning Corp., Term Loan B, 5.05%, 1/07/12 United States 1,800,000 1,816,875 .18
Travelcenters of America Inc., Term Loan C, 4.15 - 4.38%, 11/30/11 United States 1,800,000 1,821,375 .19
Veterinary Centers of America Inc., Term Loan F, 4.188%, 9/30/08 United States 744,375 754,610 .08
Weight Watchers, Additional Term Loan B, 4.16%, 3/31/10 United States 997,500 1,009,138 .10
------------ ----------
6,921,817 .71
------------ ----------
OTHER CONSUMER SPECIALTIES
b Alliance Laundry Systems LLC, Term Loan B, 4.84%, 1/15/12 United States 500,000 506,458 .05
American Safety Razor Co., Term Loan, 5.64 - 5.98%, 4/22/11 United States 939,853 944,552 .10
Home Interiors & Gifts Inc., Term Loan, 7.17%, 4/02/11 United States 1,457,093 1,412,652 .14
Jostens Intermediate Holding Corp., Term Loan B, 4.809%, 10/01/11 United States 6,100,000 6,169,168 .63
Sola International Inc., Term Loan, 5.08%, 12/05/09 United States 962,500 964,483 .10
Solo Cup Co., Term Loan B, 4.66 - 5.06%, 2/27/11 United States 7,944,975 8,096,430 .82
------------ ----------
18,093,743 1.84
------------ ----------
OTHER TRANSPORTATION
Laidlaw International Inc., Term Loan B, 6.33%, 6/17/09 United States 2,788,064 2,822,775 .29
Pacer International Inc., Term Loan B, 4.063 - 5.063%, 6/10/10 United States 603,921 611,996 .06
Sirva Woldwide Inc., Term Loan B, 4.58%, 12/01/10 United States 2,000,000 1,980,000 .20
------------ ----------
5,414,771 .55
------------ ----------
FRANKLIN FLOATING RATE MASTER TRUST
FRANKLIN FLOATING RATE MASTER SERIES
STATEMENT OF INVESTMENTS, JANUARY 31, 2005 (UNAUDITED) (CONTINUED)
PRINCIPAL % OF NET
COUNTRY AMOUNT VALUE ASSETS
----------------------------------------------------------------------------------------------------------------------------
PERSONNEL SERVICES
Allied Security Holdings LLC, Term Loan, 6.81%, 6/30/10 United States $ 980,952 $ 994,372 .10
------------ ----------
PUBLISHING: BOOKS/MAGAZINES
Dex Media West LLC, Term Loan B, 4.15 - 4.66%, 3/09/10 United States 3,422,977 3,470,043 .35
F&W Publications Inc., Term Loan B, 5.96%, 12/31/09 United States 2,197,648 2,223,745 .23
Primedia Inc., Term Loan B, 5.375%, 6/30/09 United States 2,373,712 2,351,458 .24
R.H. Donnelley Inc.,
Term Loan A3, 4.13 - 4.31%, 3/30/11 United States 939,451 946,284 .10
Term Loan D, 4.19 - 4.36%, 6/30/11 United States 8,645,021 8,743,177 .89
Transwestern Publishing Co., Term Loan B, 3.938 - 6.25%, 2/25/11 United States 6,399,587 6,489,585 .66
Weekly Reader, Second Lien Term Loan, 6.761%, 1/01/10 United States 1,000,000 997,500 .10
------------ ----------
25,221,792 2.57
------------ ----------
PUBLISHING: NEWSPAPERS
Advertising Directory Solutions Inc., Term Loan B, 4.48%, 11/05/11 Canada 9,250,000 9,342,500 .95
Freedom Communications, Term Loan B, 4.39 - 4.40%, 5/17/09 United States 2,500,000 2,539,375 .26
Herald Media, Term Loan B, 5.03%, 7/30/11 United States 2,111,881 2,144,879 .22
Journal Register Co., Term Loan B, 3.42 - 4.23%, 8/13/12 United States 4,000,000 4,026,252 .41
MediaNews Group Inc., Term Loan C, 4.08%, 12/30/10 United States 922,636 928,394 .09
------------ ----------
18,981,400 1.93
------------ ----------
PULP & PAPER
Appleton Papers Inc., Term Loan B, 4.33 - 4.79%, 6/01/10 United States 1,890,500 1,912,950 .19
Boise Cascade LLC, Term Loan B, 4.844%, 10/01/11 United States 3,643,836 3,696,026 .38
Boise Land and Timber Corp., Term Loan C, 4.844%, 10/01/10 United States 3,356,165 3,364,172 .34
Intertape Polymer Group Inc., Term Loan B, 4.69 - 4.96%, 8/01/11 United States 4,788,000 4,850,843 .49
Koch Cellulose LLC,
L/C Term Loan, 4.39%, 5/03/11 United States 692,603 701,911 .07
Term Loan B, 4.80%, 5/03/11 United States 2,753,499 2,790,500 .28
Smurfit-Stone Container Canada Inc., Term Loan C, 4.438%, 10/28/11 Canada 644,238 654,465 .07
Smurfit-Stone Container Enterprises,
L/C Term Loan, 2.40%, 10/28/10 United States 261,990 266,247 .03
Term Loan B, 4.438 - 4.688%, 10/28/11 United States 2,093,772 2,127,011 .22
------------ ----------
20,364,125 2.07
------------ ----------
RAILROADS
Kansas City Southern Railway Co., Term Loan B1, 4.15 - 4.328%,
3/31/08 United States 4,393,000 4,455,600 .45
------------ ----------
REAL ESTATE DEVELOPMENT
CNL Hotel & Resorts, Term Loan B, 4.90%, 12/30/06 United States 4,000,000 4,065,000 .41
b General Growth Properties Inc., Term Loan B, 4.64%, 11/12/09 United States 3,800,000 3,830,480 .39
b LNR Property Corp., Term Loan B, 5.59%, 12/31/07 United States 3,000,000 3,017,814 .31
------------ ----------
10,913,294 1.11
------------ ----------
FRANKLIN FLOATING RATE MASTER TRUST
FRANKLIN FLOATING RATE MASTER SERIES
STATEMENT OF INVESTMENTS, JANUARY 31, 2005 (UNAUDITED) (CONTINUED)
PRINCIPAL % OF NET
COUNTRY AMOUNT VALUE ASSETS
----------------------------------------------------------------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS
Crescent Real Estate Funding XII,
Term Loan, 4.64%, 1/12/06 United States $ 3,929,316 $ 3,967,383 .41
Term Loan B, 4.64%, 3/05/06 United States 1,009,006 1,018,781 .10
Newkirk Master LP, Term Loan, 6.974 - 7.08%, 11/24/06 United States 1,678,170 1,695,477 .17
------------ ----------
6,681,641 .68
------------ ----------
RECREATIONAL PRODUCTS
Amscan Holdings Inc., Term Loan B, 5.29 - 5.62%, 4/30/12 United States 995,000 1,001,219 .10
BRP Holdings LP, 4.97%, 12/18/10 United States 2,547,143 2,587,739 .26
PlayPower Inc., Term Loan, 7.06%, 2/07/10 United States 850,000 857,140 .09
Pure Fishing Inc., Term Loan B, 5.50 - 5.85%, 9/30/11 United States 2,977,500 3,027,403 .31
True Temper Sports Inc., Term Loan, 5.22 - 5.661%, 3/15/11 United States 2,937,955 2,887,098 .30
------------ ----------
10,360,599 1.06
------------ ----------
RESTAURANTS
CKE Restaurants Inc., Term Loan, 4.938%, 4/30/09 United States 2,411,317 2,447,487 .25
Denny's Inc., Term Loan B, 5.59 - 6.01%, 9/27/09 United States 1,000,000 1,023,438 .10
Dominos Inc., Term Loan, 4.313%, 6/25/10 United States 1,591,845 1,611,377 .16
Jack In The Box Inc., Term Loan B, 3.92 - 4.69%, 12/19/10 United States 1,980,000 2,007,845 .21
Landry's Restaurants Inc., Term Loan B, 4.33 - 4.53%, 12/28/10 United States 3,000,000 3,033,750 .31
------------ ----------
10,123,897 1.03
------------ ----------
SEMICONDUCTORS
Fairchild Semiconductor Corp., Term Loan, 4.438 - 4.688%, 12/31/10 United States 1,985,000 2,007,331 .20
ON Semiconductor Corp., Term Loan G, 5.563%, 12/15/11 United States 2,000,000 2,012,500 .21
------------ ----------
4,019,831 .41
------------ ----------
SERVICES TO THE HEALTH INDUSTRY
Accredo Health Inc., Term Loan B, 4.23%, 8/02/11 United States 2,189,000 2,207,471 .23
Quintiles Transnational Corp., Term Loan B, 6.81 - 6.83%, 9/25/09 United States 1,975,000 2,009,562 .20
------------ ----------
4,217,033 .43
------------ ----------
SPECIALTY STORES
CSK AUTO INC., Term Loan C, 4.85%, 6/20/09 United States 1,980,000 2,003,285 .20
Pantry Inc., Term Loan, 4.83%, 3/12/11 United States 2,318,064 2,349,697 .24
------------ ----------
4,352,982 .44
------------ ----------
SPECIALTY TELECOMMUNICATIONS
D&E Communications Inc., Term Loan B, 4.38 - 6.25%, 12/31/11 United States 2,078,834 2,095,076 .21
GCI Holdings Inc., Term Loan, 4.809%, 10/31/07 United States 1,405,142 1,419,966 .15
Iowa Telecommunications Services Inc., Term Loan B, 4.46 - 4.61%,
11/30/11 United States 5,250,000 5,309,062 .54
Valor Telecom Inc., First Lien Term Loan, 5.98 - 6.078%, 10/30/11 United States 7,730,625 7,773,306 .79
------------ ----------
16,597,410 1.69
------------ ----------
FRANKLIN FLOATING RATE MASTER TRUST
FRANKLIN FLOATING RATE MASTER SERIES
STATEMENT OF INVESTMENTS, JANUARY 31, 2005 (UNAUDITED) (CONTINUED)
PRINCIPAL % OF NET
COUNTRY AMOUNT VALUE ASSETS
----------------------------------------------------------------------------------------------------------------------------
TOBACCO
Commonwealth Brands Inc., Term Loan, 5.875%, 8/28/07 United States $ 496,299 $ 503,123 .05
------------ ----------
WHOLESALE DISTRIBUTORS
Interline Brands, Term Loan B, 4.81%, 12/31/10 United States 750,000 755,722 .08
National Waterworks Inc., Term Loan C, 5.06%, 11/22/09 United States 857,143 870,000 .09
Nebraska Book Co., Term Loan C, 4.67%, 3/04/11 United States 992,500 1,002,197 .10
------------ ----------
2,627,919 .27
------------ ----------
WIRELESS COMMUNICATIONS
AAT Communications Corp., Term Loan B, 5.25 - 5.26%, 12/31/11 United States 5,000,000 5,068,750 .52
American Tower Corp., Term Loan B, 4.19 - 4.23%, 8/31/11 United States 2,238,750 2,266,734 .23
Nextel Partners Inc., Term Loan C, 4.938%, 5/31/11 United States 6,000,000 6,088,392 .62
SBA Communications Corp., Term Loan, 4.81 - 5.52%, 10/31/08 United States 6,460,019 6,552,882 .67
SpectraSite Communications Inc., Term Loan B, 4.03%, 5/30/12 United States 1,000,000 1,008,542 .10
Triton PCS Inc., Term Loan B, 5.75%, 12/31/09 United States 700,000 710,282 .07
------------ ----------
21,695,582 2.21
------------ ----------
TOTAL SENIOR FLOATING RATE INTERESTS (COST $873,031,268) 879,560,185 89.61
------------ ----------
TOTAL LONG TERM INVESTMENTS (COST $881,153,195) 888,044,185 90.47
------------ ----------
d REPURCHASE AGREEMENT (COST $127,201,024)
Joint Repurchase Agreement, 2.453%, 2/01/05 (Maturity
Value $127,209,691) United States 127,201,024 127,201,024 12.96
------------ ----------
ABN AMRO Bank, N.V., New York Branch (Maturity Value $11,600,252)
Banc of America Securities LLC (Maturity Value $11,600,252)
Barclays Capital Inc. (Maturity Value $11,600,252)
BNP Paribas Securities Corp. (Maturity Value $11,600,252)
Credit Suisse First Boston LLC (Maturity Value $11,600,252)
Deutsche Bank Securities Inc. (Maturity Value $11,600,252)
Greenwich Capital Markets Inc. (Maturity Value $11,600,252)
Lehman Brothers Inc. (Maturity Value $11,207,171)
Merrill Lynch Government Securities Inc. (Maturity Value $11,600,252)
Morgan Stanley & Co. Inc. (Maturity Value $11,600,252)
UBS Securities LLC (Maturity Value $11,600,252)
Collateralized by U.S. Government Agency Securities, 0.00% - 7.250%,
2/01/05 - 1/15/10, e U.S. Treasury Bills, 6/23/05 - 7/21/05, and
U.S. Treasury Notes, 5.75 - 6.75%, 5/15/05 - 11/15/05
TOTAL INVESTMENTS (COST $1,008,354,219) 1,015,245,209 103.43
OTHER ASSETS, LESS LIABILITIES (33,630,913) (3.43)
--------------- ----------
NET ASSETS $ 981,614,296 100.00
--------------- ----------
FRANKLIN FLOATING RATE MASTER TRUST
FRANKLIN FLOATING RATE MASTER SERIES
a See Note 1(d) regarding senior floating rate interests.
b See Note 1(c) regarding securities purchased on a when-issued or delayed
delivery basis.
c See Note 12 regarding fund litigation.
d See Note 1(b) regarding joint repurchase agreement.
e Security is traded on a discount basis with no stated coupon rate.
f See Note 9 regarding unfunded loan commitments.
g See Note 11 regarding other considerations.
GLOSSARY OF TERMS
FRN - Floating Rate Note
L/C - Line of Credit
ULC - Unlimited Liability Corp.
See notes to financial statements.
FRANKLIN FLOATING RATE MASTER TRUST
FRANKLIN FLOATING RATE MASTER SERIES
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
JANUARY 31, 2005 (UNAUDITED)
Assets:
Investments in securities:
Cost - Unaffiliated issuers $ 881,153,195
Cost - Repurchase agreements 127,201,024
--------------------
Total cost of investments 1,008,354,219
====================
Value - Unaffiliated issuers 888,044,185
Value - Repurchase agreements 127,201,024
--------------------
Total value of investments 1,015,245,209
--------------------
Cash 2,797,388
Receivables:
Investment securities sold 4,665,863
Capital shares sold 3,073,485
Interest 3,409,629
Unrealized gain on unfunded loan commitments (Note 9) 94,871
Other assets 44,067
--------------------
Total assets 1,029,330,512
--------------------
Liabilities:
Payables:
Investment securities purchased 43,718,369
Affiliates 515,118
Distributions to shareholders 3,441,510
Other liabilities 41,219
--------------------
Total liabilities 47,716,216
--------------------
Net assets, at value $ 981,614,296
====================
Net assets consist of:
Distributions in excess of net investment income $ (306,162)
Net unrealized appreciation (depreciation) 6,971,685
Accumulated net realized gain (loss) (9,097,451)
Capital shares 984,046,224
--------------------
Net assets, at value $ 981,614,296
====================
Net asset value and maximum offering price per share ($981,614,296 -:- 99,676,520 shares $ 9.85
outstanding) ====================
See notes to financial statements.
FRANKLIN FLOATING RATE MASTER TRUST
FRANKLIN FLOATING RATE MASTER SERIES
FINANCIAL STATEMENTS (CONTINUED)
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JANUARY 31, 2005 (UNAUDITED)
Investment income:
Interest $19,004,481
-------------------
Expenses:
Management fees (Note 4) 3,578,938
Administrative fees (Note 4) 585,997
Custodian fees 7,511
Professional fees 49,228
Other 76,389
-------------------
Total expenses 4,298,063
Expense reductions (Note 5) (8,458)
Expenses waived/paid by affiliate (Note 4) (1,605,374)
-------------------
Net expenses 2,684,231
-------------------
Net investment income 16,320,250
-------------------
Realized and unrealized gains (losses):
Net realized gain (loss) from investments (74,047)
Net unrealized appreciation (depreciation) on investments 1,214,372
-------------------
Net realized and unrealized gain (loss) 1,140,325
-------------------
Net increase (decrease) in net assets resulting from operations $17,460,575
===================
See notes to financial statements.
FRANKLIN FLOATING RATE MASTER TRUST
FRANKLIN FLOATING RATE MASTER SERIES
FINANCIAL STATEMENTS (CONTINUED)
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS ENDED JANUARY 31, 2005 (UNAUDITED)
AND YEAR ENDED JULY 31, 2004
SIX MONTHS ENDED
JANUARY 31, 2005 YEAR ENDED JULY 31, 2004
-----------------------------------------------
Increase (decrease) in net assets:
Operations:
Net investment income $ 16,320,250 $ 14,567,743
Net realized gain (loss) from investments (74,047) 770,172
Net unrealized appreciation (depreciation) on investments 1,214,372 5,403,365
-----------------------------------------------
Net increase (decrease) in net assets resulting from operations 17,460,575 20,741,280
Distributions to shareholders from net investment income (16,483,837) (14,725,533)
Capital share transactions (Note 2) 222,650,846 533,324,229
-----------------------------------------------
Net increase (decrease) in net assets 223,627,584 539,339,976
Net assets:
Beginning of period 757,986,712 218,646,736
-----------------------------------------------
End of period $ 981,614,296 $ 757,986,712
===============================================
Distributions in excess of net investment income
End of period $ (306,162) $ (142,575)
===============================================
See notes to financial statements.
FRANKLIN FLOATING RATE MASTER TRUST
FRANKLIN FLOATING RATE MASTER SERIES
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The Franklin Floating Rate Master Trust (the Trust) is registered under the
Investment Company Act of 1940 as a non-diversified, open-ended investment
company. The Trust is organized as a partnership and consists of one series, the
Franklin Floating Rate Master Series (the Fund). Shares of the Fund are issued
in the form of partnership interests and are exempt from registration under the
Securities Act of 1933. The Fund seeks current income and preservation of
capital.
The following summarizes the Fund's significant accounting policies.
A. SECURITY VALUATION
Securities listed on a securities 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 securities and listed securities for
which there is no reported sale 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. Repurchase agreements are valued at cost.
Corporate debt securities generally trade in the over-the-counter market rather
than on a securities exchange. The Fund may utilize independent pricing
services, quotations from bond dealers, and information with respect to bond and
note transactions, to assist in determining a current market value for each
security. The Fund's pricing services may use valuation models or matrix pricing
which considers information with respect to comparable bond and note
transactions, quotations from bond dealers, or by reference to other securities
that are considered comparable in such characteristics as rating, interest rate
and maturity date, option adjusted spread models, prepayment projections,
interest rate spreads and yield curves, to determine current value.
Senior secured corporate loans with floating or variable interest rates
generally trade in the over-the-counter market rather than on a securities
exchange. The Fund may utilize independent pricing services, quotations from
loan dealers and other financial institutions, and information with respect to
bond and note transactions, to assist in determining a current market value for
each security. The Fund's pricing services use independent market quotations
from loan dealers or financial institutions and may incorporate valuation
methodologies that consider multiple bond characteristics such as dealer quotes,
issuer type, coupon, maturity, weighted average maturity, interest rate spreads
and yield curves, cash flow and credit risk/quality analysis to determine
current value.
The Fund has procedures to determine the fair value of individual securities and
other assets for which market prices are not readily available or which may not
be reliably priced. Some methods for valuing these securities may include:
fundamental analysis, matrix pricing, discounts from market prices of similar
securities, or discounts applied due to the nature and duration of restrictions
on the disposition of the securities. Occasionally, events occur between the
time at which trading in a security is completed and the close of the NYSE that
might call into question the availability (including the reliability) of the
value of a portfolio security held by the Fund. If such an event occurs, the
securities may be valued using fair value procedures, which may include the use
of independent pricing services. All security valuation procedures are approved
by the Fund's Board of Trustees.
B. JOINT REPURCHASE AGREEMENT
The Fund may enter into a joint repurchase agreement whereby its uninvested cash
balance is deposited into a joint cash account to be used to invest in one or
more repurchase agreements. The value and face amount of the joint repurchase
agreement are allocated to the Fund based on its pro-rata interest. A repurchase
agreement is accounted for as a loan by the Fund to the seller, collateralized
by securities which are delivered to the Fund's custodian. The market value,
including accrued interest, of the initial collateralization is required to be
at least 102% of the dollar amount invested by the Funds, with the value of the
underlying securities marked to market daily to maintain
FRANKLIN FLOATING RATE MASTER TRUST
FRANKLIN FLOATING RATE MASTER SERIES
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
coverage of at least 100%. At January 31, 2005, all repurchase agreements held
by the Fund had been entered into on that date.
C. SECURITIES PURCHASED ON A WHEN-ISSUED OR DELAYED DELIVERY BASIS
The Fund may purchase securities on a when-issued or delayed delivery basis,
with payment and delivery scheduled for a future date. These transactions are
subject to market fluctuations and are subject to the risk that the value at
delivery may be more or less than the trade date purchase price. Although the
Fund will generally purchase these securities with the intention of holding the
securities, it may sell the securities before the settlement date. Sufficient
assets have been segregated for these securities.
D. SENIOR FLOATING RATE INTERESTS
Senior secured corporate loans pay interest at rates which are periodically
reset by reference to a base lending rate plus a spread. These base lending
rates are generally the prime rate offered by a designated U.S. bank or the
London InterBank Offered Rate (LIBOR). Senior secured corporate loans often
require prepayment of principal from excess cash flows or at the discretion of
the borrower. As a result, actual maturity may be substantially less than the
stated maturity.
Senior secured corporate loans in which the Fund invests are generally readily
marketable, but may be subject to some restrictions on resale.
E. INCOME TAXES
No provision has been made for U.S. income taxes because all income and expenses
are allocated to the partners for inclusion in their individual income tax
returns.
F. SECURITY TRANSACTIONS, INVESTMENT INCOME, EXPENSES AND DISTRIBUTIONS
Security transactions are accounted for on trade date. Realized gains and losses
on security transactions are determined on a specific identification basis.
Interest income and estimated expenses are accrued daily. Discounts and premiums
on securities purchased are amortized over the lives of the respective
securities. Facility fees are recognized as income over the expected term of the
loan. The Fund's net investment income is proportionally allocated daily and
distributed monthly to the partners.
G. ACCOUNTING ESTIMATES
The preparation of financial statements in accordance with accounting principles
generally accepted in the United States of America requires management to make
estimates and assumptions that affect the reported amounts of assets and
liabilities at the date of the financial statements and the amounts of income
and expenses during the reporting period. Actual results could differ from those
estimates.
H. GUARANTEES AND INDEMNIFICATIONS
Under the Fund's organizational documents, its officers and trustees are
indemnified by the Fund against certain liability arising out of the performance
of their duties to the Fund. Additionally, in the normal course of business, the
Fund enters into contracts with service providers that contain general
indemnification clauses. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
that have not yet occurred. However, based on experience, the Fund expects the
risk of loss to be remote.
FRANKLIN FLOATING RATE MASTER TRUST
FRANKLIN FLOATING RATE MASTER SERIES
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
2. SHARES OF BENEFICIAL INTEREST
At January 31, 2005, there were an unlimited number of shares authorized ($.01
par value). Transactions in the Fund's shares were as follows:
SIX MONTHS ENDED YEAR ENDED
JANUARY 31, 2005 JULY 31, 2004
-----------------------------------------------------------------------------
Shares Amount Shares Amount
-----------------------------------------------------------------------------
Shares sold 24,493,991 $ 240,889,609 57,549,828 $ 563,299,502
Shares redeemed (1,855,123) (18,238,763) (3,071,659) (29,975,273)
=============================================================================
Net increase (decrease) 22,638,868 $ 222,650,846 54,478,169 $ 533,324,229
-----------------------------------------------------------------------------
3. CREDIT FACILITY
The Fund participates in a $200 million senior unsecured revolving credit
facility to fund shareholder redemptions or meet unfunded loan commitments. The
facility agreement ends on December 16, 2005. Interest is charged at the Federal
Funds Rate plus .50%. Facility fees paid are amortized on a straight line basis
over the term of the commitment. Annual commitment fees of .09% are charged on
the unused portion of the facility and allocated among the participating funds
based on net assets.
During the period ended January 31, 2005, the Fund did not utilize the facility.
4. TRANSACTIONS WITH AFFILIATES
Certain officers and trustees of the Fund are also officers and/or directors of
the following entities:
ENTITY AFFILIATION
- -----------------------------------------------------------------------------------------------------------
Franklin Advisers Inc. (Advisers) Investment manager
Franklin Templeton Services LLC (FT Services) Administrative manager
Franklin Templeton Investor Services LLC (Investor Services) Transfer agent
Franklin Templeton Distributors Inc. (Distributors) Principal underwriter
A. MANAGEMENT FEES
The Fund pays an investment management fee to Advisers of .80% per year of the
average daily net assets of the Fund.
B. ADMINISTRATIVE FEES
The Fund pays an administrative fee to FT Services based on the Fund's daily net
assets as follows:
ANNUALIZED
FEE RATE NET ASSETS
- -----------------------------------------------------------------
.150% First $200 million
.135% Over $200 million, up to and including $700
million
.100% Over $700 million, up to and including $1.2
billion
.075% In excess of $1.2 billion
FRANKLIN FLOATING RATE MASTER TRUST
FRANKLIN FLOATING RATE MASTER SERIES
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
FT Services agreed in advance to voluntarily waive administrative fees, as noted
in the Statement of Operations. Additionally, Advisers agreed in advance to
voluntarily waive a portion of management fees, as noted in the Statement of
Operations. Total expenses waived by FT Services and Advisers are not subject to
reimbursement by the Fund subsequent to the Fund's fiscal year end.
B. OTHER AFFLIATED TRANSACTIONS
At January 31, 2005, the shares of the Fund were owned by the following
entities:
PERCENTAGE OF
ENTITY SHARES OUTSTANDING SHARES
- -----------------------------------------------------------------------------
Franklin Floating Rate Fund PLC 99,656,520 99.98%
Franklin Resources Inc. 10,000 .01%
Templeton Investment Counsel Inc. 10,000 .01%
----------------------------------------
TOTAL 99,676,520 100.00%
========================================
5. EXPENSE OFFSET ARRANGEMENT
The Fund has entered into an arrangement with its custodian whereby credits
realized as a result of uninvested cash balances are used to reduce a portion of
the Fund's custodian expenses. During the period ended January 31, 2005, the
custodian fees were reduced as noted in the Statement of Operations.
6. INCOME TAXES
At January 31, 2005, the net unrealized appreciation (depreciation) based on the
cost of investments for income tax purposes were as follows:
Cost of investments $ 1,008,531,277
=======================
Unrealized appreciation $ 7,801,414
Unrealized depreciation (1,087,482)
-----------------------
Net unrealized appreciation $ 6,713,932
=======================
Net investment income (loss) differs for financial statement and tax purposes
primarily due to differing treatments of organization costs and bond premiums.
Net realized gains (losses) differ for financial statement and tax purposes
primarily due to differing treatment of wash sales and bond premiums.
7. INVESTMENT TRANSACTIONS
Purchases and sales of investments (excluding short-term securities) for the
period ended January 31, 2005 aggregated $438,027,528 and $235,957,598,
respectively.
At January 31, 2005, the Fund did not participate in any soft commission
arrangements.
FRANKLIN FLOATING RATE MASTER TRUST
FRANKLIN FLOATING RATE MASTER SERIES
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
8. CREDIT RISK
The Fund has 85.47% of its portfolio invested in below investment grade and
comparable quality unrated high yield securities, which tend to be more
sensitive to economic conditions than higher rated securities.
9. UNFUNDED LOAN COMMITMENTS
The Fund may 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.
At January 31, 2005, unfunded commitments were as follows:
BORROWER UNFUNDED
COMMITMENT
- ------------------------------------------------------------------------------------------------------
BCP Crystal US Holdings Corp., Delay Draw $ 862,232
EnviroSolutions Inc., Delay Draw 166,364
Intelsat (Bermuda) Ltd., Senior Term Loan Facility 857,143
Texas Genco LLC, Delay Draw 2,484,615
US Shipping Partners LP, Delay Draw 230,769
Vanguard Health Holding Co. II LLC, Delay Draw 1,500,000
Vanguard Health Holding Co. II LLC, Delay Draw 2 1,200,000
Venetian Casino Resorts LLC, Delay Draw 715,909
Warner Chilcott Holdings Co., Delay Draw 794,953
-------------------
$ 8,811,985
-------------------
Unfunded loan commitments are marked to market daily and any unrealized gain or
loss is included in the Statement of Assets and Liabilities and Statement of
Operations.
10. PARTNERSHIP DISTRIBUTIONS
For the period ended January 31, 2005, the Fund made the following
distributions:
Payment Date Amount Per Share
- ----------------------------------------------------
8/31/2004 $0.028368
9/30/2004 $0.027387
10/29/2004 $0.029760
11/30/2004 $0.029647
12/31/2004 $0.032230
1/31/2005 $0.034948
Daily distribution information is available at the registered office upon
request.
11. OTHER CONSIDERATIONS
Advisers, as the Fund's Manager, may serve as a member of various bondholders'
steering committees, on credit committees, or may represent the Funds in certain
corporate restructuring negotiations. At January 31, 2005, the Manager serves in
one or more of these capacities for Adelphia Communications Corp. As a result of
this involvement, Advisers may be in possession of certain material non-public
information. If the Fund's Manager, while
FRANKLIN FLOATING RATE MASTER TRUST
FRANKLIN FLOATING RATE MASTER SERIES
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
in possession of such information, seeks to sell any of its holdings in these
securities it will comply with all applicable federal securities laws.
12. FUND LITIGATION
On July 6, 2003, Adelphia Communications Corp. ("Adelphia") and related parties,
along with its Official Committee of Unsecured Creditors, filed an adversary
proceeding in the Adelphia bankruptcy case in the U.S. Bankruptcy Court (SDNY)
against more than 360 banks, financial services companies, insurance companies,
investment banks, mutual funds and other parties that had arranged for the sale
of, or purchased the bank debt of,
Adelphia or its related parties. Named Defendants included Franklin Advisers
Inc., Franklin CLOs I - III, Franklin Floating Rate Daily Access Fund, Franklin
Floating Rate Master Series, and Franklin Floating Rate Trust.
The Complaint alleges that the purchasers of this bank debt knew, or should have
known, that the loan proceeds would not benefit Adelphia, but instead would be
used to enrich Adelphia insiders. It seeks avoidance of the loans and recovery
of intentionally fraudulent transfers.
Discovery for this case has been stayed and pending motions have not been ruled
upon. Thus, it is not possible to predict its outcome at this early stage of the
proceedings. However, management of the Funds does not expect that the result
will have a material adverse effect on the financial condition of the Funds.
13. REGULATORY MATTERS
INVESTIGATIONS
As part of various investigations by a number of federal, state, and foreign
regulators and governmental entities, including the Securities and Exchange
Commission ("SEC"), the California Attorney General's Office ("CAGO"), and the
National Association of Securities Dealers, Inc. ("NASD"), relating to certain
practices in the mutual fund industry, including late trading, market timing and
marketing support payments to securities dealers who sell fund shares, Franklin
Resources, Inc. and certain of its subsidiaries (as used in this section,
together, the "Company"), as well as certain current or former executives and
employees of the Company, received subpoenas and/or requests for documents,
information and/or testimony. The Company and its current employees provided
documents and information in response to those requests and subpoenas.
SETTLEMENTS
Beginning in August 2004, the Company entered into settlements with certain
regulators investigating the mutual fund industry practices noted above. The
Company believes that settlement of each of the matters described in this
section is in the best interest of the Company and shareholders of the Franklin,
Templeton, and Mutual Series mutual funds (the "funds").
On August 2, 2004, Franklin Resources, Inc. announced that its subsidiary,
Franklin Advisers, Inc., reached an agreement with the SEC that resolved the
issues resulting from the SEC investigation into market timing activity. In
connection with that agreement, the SEC issued an "Order Instituting
Administrative and Cease-and-Desist Proceedings Pursuant to Sections 203(e) and
203(k) of the Investment Advisers Act of 1940 and Sections 9(b) and 9(f) of the
Investment Company Act of 1940, Making Findings and Imposing Remedial Sanctions
and a Cease-and-Desist Order" (the "Order"). The SEC's Order concerned the
activities of a limited number of third parties that ended in 2000 and those
that were the subject of the first Massachusetts administrative complaint
described below.
FRANKLIN FLOATING RATE MASTER TRUST
FRANKLIN FLOATING RATE MASTER SERIES
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
Under the terms of the SEC's Order, pursuant to which Franklin Advisers, Inc.
neither admitted nor denied any of the findings contained therein, Franklin
Advisers, Inc. agreed to pay $50 million, of which $20 million is a civil
penalty, to be distributed to shareholders of certain funds in accordance with a
plan to be developed by an independent distribution consultant. At this time, it
is unclear which funds or which shareholders of any particular fund will receive
distributions. The Order also required Franklin Advisers, Inc. to, among other
things, enhance and periodically review compliance policies and procedures.
On September 20, 2004, Franklin Resources, Inc. announced that two of its
subsidiaries, Franklin Advisers, Inc. and Franklin Templeton Alternative
Strategies, Inc. ("FTAS"), reached an agreement with the Securities Division of
the Office of the Secretary of the Commonwealth of Massachusetts (the "State of
Massachusetts") related to its administrative complaint filed on February 4,
2004, concerning one instance of market timing that was also a subject of the
August 2, 2004 settlement that Franklin Advisers, Inc. reached with the SEC, as
described above.
Under the terms of the settlement consent order issued by the State of
Massachusetts, Franklin Advisers, Inc. and FTAS consented to the entry of a
cease-and-desist order and agreed to pay a $5 million administrative fine to the
State of Massachusetts (the "Massachusetts Consent Order"). The Massachusetts
Consent Order included two different sections: "Statements of Fact" and
"Violations of Massachusetts Securities Laws." Franklin Advisers, Inc. and FTAS
admitted the facts in the Statements of Fact.
On October 25, 2004, the State of Massachusetts filed a second administrative
complaint, alleging that Franklin Resources, Inc.'s Form 8-K filing, in which it
described the Massachusetts Consent Order and stated that "Franklin did not
admit or deny engaging in any wrongdoing", failed to state that Franklin
Advisers, Inc. and FTAS admitted the Statements of Fact portion of the
Massachusetts Consent Order (the "Second Complaint"). Franklin Resources, Inc.
reached a second agreement with the State of Massachusetts on November 19, 2004,
resolving the Second Complaint. As a result of the November 19, 2004 settlement,
Franklin Resources, Inc. filed a new Form 8-K. The terms of the Massachusetts
Consent Order did not change and there was no monetary fine associated with this
second settlement.
On November 17, 2004, Franklin Resources, Inc. announced that Franklin/Templeton
Distributors, Inc. ("FTDI") reached an agreement with the CAGO, resolving the
issues resulting from the CAGO's investigation concerning sales and marketing
support payments. Under the terms of the settlement, FTDI neither admitted nor
denied the allegations in the CAGO's complaint and agreed to pay $2 million to
the State of California as a civil penalty, $14 million to the funds, to be
allocated by an independent distribution consultant to be paid for by FTDI, and
$2 million to the CAGO for its investigative costs.
On December 13, 2004, Franklin Resources, Inc. announced that its subsidiaries
FTDI and Franklin Advisers, Inc. reached an agreement with the SEC, resolving
the issues resulting from the SEC's investigation concerning marketing support
payments to securities dealers who sell fund shares. In connection with that
agreement, the SEC issued an "Order Instituting Administrative and
Cease-and-Desist Proceedings, Making Findings, and Imposing Remedial Sanctions
Pursuant to Sections 203(e) and 203(k) of the Investment Advisers Act of 1940,
Sections 9(b) and 9(f) of the Investment Company Act of 1940, and Section 15(b)
of the Securities Exchange Act of 1934" (the "Second Order").
Under the terms of the Second Order, in which FTDI and Franklin Advisers, Inc.
neither admitted nor denied the findings contained therein, they agreed to pay
the funds a penalty of $20 million and disgorgement of $1 (one dollar). FTDI and
Franklin Advisers, Inc. also agreed to implement certain measures and
undertakings relating to marketing support payments to broker-dealers for the
promotion or sale of fund shares, including making additional disclosures in the
funds' Prospectuses and Statements of Additional Information. The Second Order
further requires the appointment of an independent distribution consultant, at
the Company's expense, who shall develop a plan for the distribution of the
penalty and disgorgement to the funds.
FRANKLIN FLOATING RATE MASTER TRUST
FRANKLIN FLOATING RATE MASTER SERIES
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
The SEC's Second Order and the CAGO settlement agreement concerning marketing
support payments provide that the distribution of settlement monies are to be
made to the relevant funds, not to individual shareholders. The IDC has
substantially completed preparation of these distribution plans. The CAGO has
approved the distribution plan pertaining to the distribution of the monies owed
under the CAGO settlement agreement and, in accordance with the terms and
conditions of that settlement, the monies are expected to be disbursed promptly.
The SEC has not yet approved the distribution plan pertaining to the Second
Order. When approved, disbursements of settlement monies under the SEC's Second
Order will be made promptly in accordance with the terms and conditions of that
order.
OTHER LEGAL PROCEEDINGS
The Fund, in addition to the Company and other funds, and certain current and
former officers, employees, and directors have been named in multiple lawsuits
in different federal courts in Nevada, California, Illinois, New York and
Florida, alleging violations of various federal securities laws and seeking,
among other relief, monetary damages, restitution, removal of fund trustees,
directors, advisers, administrators, and distributors, rescission of management
contracts and 12b-1 Plans, and/or attorneys' fees and costs. Specifically, the
lawsuits claim breach of duty with respect to alleged arrangements to permit
market timing and/or late trading activity, or breach of duty with respect to
the valuation of the portfolio securities of certain Templeton funds managed by
Franklin Resources, Inc. subsidiaries, resulting in alleged market timing
activity. The majority of these lawsuits duplicate, in whole or in part, the
allegations asserted in the February 4, 2004 Massachusetts administrative
complaint and the findings in the SEC's August 2, 2004 Order, as described
above. The lawsuits are styled as class actions, or derivative actions on behalf
of either the named funds or Franklin Resources, Inc.
In addition, the Company, as well as certain current and former officers,
employees, and directors, have been named in multiple lawsuits alleging
violations of various securities laws and pendent state law claims relating to
the disclosure of directed brokerage payments and/or payment of allegedly
excessive advisory, commission, and distribution fees, and seeking, among other
relief, monetary damages, restitution, rescission of advisory contracts,
including recovery of all fees paid pursuant to those contracts, an accounting
of all monies paid to the named advisers, declaratory relief, injunctive relief,
and/or attorneys' fees and costs. These lawsuits are styled as class actions or
derivative actions brought on behalf of certain funds.
The Company and fund management strongly believes that the claims made in each
of the lawsuits identified above are without merit and intends to vigorously
defend against them. The Company cannot predict with certainty, however, the
eventual outcome of the remaining governmental investigations or private
lawsuits, nor whether they will have a material negative impact on the Company.
Public trust and confidence are critical to the Company's business and any
material loss of investor and/or client confidence could result in a significant
decline in assets under management by the Company, which would have an adverse
effect on the Company's future financial results. If the Company finds that it
bears responsibility for any unlawful or inappropriate conduct that caused
losses to the Fund, it is committed to making the Fund or its shareholders
whole, as appropriate. The Company is committed to taking all appropriate
actions to protect the interests of its funds' shareholders.
FRANKLIN FLOATING RATE MASTER TRUST
SHAREHOLDER INFORMATION
PROXY VOTING POLICIES AND PROCEDURES
The Fund has established Proxy Voting Policies and Procedures ("Policies") that
the Fund uses to determine how to vote proxies relating to portfolio securities.
Shareholders may view the Fund's complete Policies online at
franklintempleton.com. Alternatively, shareholders may request copies of the
Policies free of charge by calling the Proxy Group collect at 1-954/847-2268 or
by sending a written request to: Franklin Templeton Companies, LLC, 500 East
Broward Boulevard, Suite 1500, Fort Lauderdale, FL 33394, Attention: Proxy
Group. Copies of the Fund's proxy voting records are also made available online
at franklintempleton.com and posted on the Securities and Exchange Commission's
website at sec.gov and reflect the most recent 12-month period ended June 30.
QUARTERLY STATEMENT OF INVESTMENTS
The Fund files a complete statement of investments with the Securities and
Exchange Commission for the first and third quarters for each fiscal year on
Form N-Q. Shareholders may view the filed Form N-Q by visiting the Commission's
website at sec.gov. The filed form may also be viewed and copied at the
Commission's Public Reference Room in Washington, DC. Information regarding the
operations of the Public Reference Room may be obtained by calling
1-800/SEC-0330.
ITEM 2. CODE OF ETHICS.
(a) The Registrant has adopted a code of ethics that applies to its principal
executive officers and principal financial and accounting officer.
(c) N/A
(d) N/A
(f) Pursuant to Item 11(A), the Registrant is attaching as an exhibit a copy of
its code of ethics that applies to its principal executive officers and
principal financial and accounting officer.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
(a)(1) The Registrant has an audit committee financial expert serving on its
audit committee.
(2) The audit committee financial expert is Frank W. T. LaHaye and he is
"independent" as defined under the relevant Securities and Exchange Commission
Rules and Releases.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. N/A
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. N/A
ITEM 6. SCHEDULE OF INVESTMENTS. N/A
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR
CLOSED-END MANAGEMENT INVESTMENT COMPANIES. N/A
ITEM 8. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT
INVESTMENT COMPANY AND AFFILIATED PURCHASERS. N/A
ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. There have
been no changes to the procedures by which shareholders may recommend nominees
to the Registrant's Board of Trustees that would require disclosure herein.
ITEM 10. CONTROLS AND PROCEDURES.
(A) EVALUATION OF DISCLOSURE CONTROLS AND PROCEDURES. The Registrant maintains
disclosure controls and procedures that are designed to ensure that information
required to be disclosed in the Registrant's filings under the Securities
Exchange Act of 1934 and the Investment Company Act of 1940 is recorded,
processed, summarized and reported within the periods specified in the rules and
forms of the Securities and Exchange Commission. Such information is accumulated
and communicated to the Registrant's management, including its principal
executive officer and principal financial officer, as appropriate, to allow
timely decisions regarding required disclosure. The Registrant's management,
including the principal executive officer and the principal financial officer,
recognizes that any set of controls and procedures, no matter how well designed
and operated, can provide only reasonable assurance of achieving the desired
control objectives.
Within 90 days prior to the filing date of this Shareholder Report on Form
N-CSR, the Registrant had carried out an evaluation, under the supervision and
with the participation of the Registrant's management, including the
Registrant's principal executive officer and the Registrant's principal
financial officer, of the effectiveness of the design and operation of the
Registrant's disclosure controls and procedures. Based on such evaluation, the
Registrant's principal executive officer and principal financial officer
concluded that the Registrant's disclosure controls and procedures are
effective.
(B) CHANGES IN INTERNAL CONTROLS. There have been no significant changes in the
Registrant's internal controls or in other factors that could significantly
affect the internal controls subsequent to the date of their evaluation in
connection with the preparation of this Shareholder Report on Form N-CSR.
ITEM 11. EXHIBITS.
(A) Code of Ethics
(B) (1) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
of Jimmy D. Gambill, Chief Executive Officer - Finance and Administration, and
Galen G. Vetter, Chief Financial Officer
(B) (2) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002
of Jimmy D. Gambill, Chief Executive Officer - Finance and Administration, and
Galen G. Vetter, Chief Financial Officer
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
FRANKLIN FLOATING RATE MASTER TRUST
By /s/Jimmy D. Gambill
Chief Executive Officer - Finance and Administration
Date March 22, 2005
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By /s/Jimmy D. Gambill
Chief Executive Officer - Finance and Administration
Date March 22, 2005
By /s/Galen G. Vetter
Chief Financial Officer
Date March 22, 2005