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
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
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(Address of principal executive offices) (Zip code)
CRAIG S. TYLE, 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: 7/31
Date of reporting period: 1/31/08
ITEM 1. REPORTS TO STOCKHOLDERS.
FRANKLIN FLOATING RATE MASTER TRUST
FRANKLIN FLOATING RATE MASTER SERIES
FINANCIAL HIGHLIGHTS
SIX MONTHS ENDED
JANUARY 31, 2008 YEAR ENDED JULY 31,
(UNAUDITED) 2007 2006 2005 2004 2003
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PER SHARE OPERATING PERFORMANCE
(for a share outstanding throughout the period)
Net asset value, beginning of period $ 9.51 $ 9.77 $ 9.85 $ 9.84 $ 9.69 $ 9.58
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Income from investment operations a:
Net investment income 0.320 0.655 0.565 0.398 0.334 0.464
Net realized and unrealized gains (losses) (0.438) (0.258) (0.076) 0.013 0.151 0.111
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Total from investment operations (0.118) 0.397 0.489 0.411 0.485 0.575
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Less distributions from net investment income (0.322) (0.657) (0.569) (0.401) (0.335) (0.465)
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Net asset value, end of period $ 9.07 $ 9.51 $ 9.77 $ 9.85 $ 9.84 $ 9.69
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Total return b (1.30)% 4.09% 5.09% 4.23% 5.08% 6.19%
RATIOS TO AVERAGE NET ASSETS c
Expenses before waiver and payments by affiliates 0.98% 0.95% 0.95% 0.95% 0.98% 1.02%
Expenses net of waiver and payments by affiliates 0.60% d 0.60% d 0.60% d 0.60% d 0.60% d 0.60%
Net investment income 6.84% 6.70% 5.76% 4.08% 3.34% 4.86%
SUPPLEMENTAL DATA
Net assets, end of period (000's) $562,163 $1,069,720 $1,140,854 $1,121,133 $757,987 $218,647
Portfolio turnover rate 8.84% 77.72% 78.29% 72.38% 54.41% 75.69%
a The amount shown for a share outstanding throughout the period may not
correlate with the Statement of Operations for the period due to the timing of
sales and repurchases of the Fund shares in relation to income earned and/or
fluctuating market value of the investments of the Fund.
b Total return is not annualized for periods less than one year.
c Ratios are annualized for periods less than one year.
d Benefit of expense reduction rounds to less than 0.01%.
Semiannual Report
| The accompanying notes are an integral part of these financial statements.
FRANKLIN FLOATING RATE MASTER TRUST
FRANKLIN FLOATING RATE MASTER SERIES
STATEMENT OF INVESTMENTS, JANUARY 31, 2008 (UNAUDITED)
% OF
PRINCIPAL NET
COUNTRY AMOUNT a VALUE ASSETS
b,c SENIOR FLOATING RATE INTERESTS
ADVERTISING/MARKETING SERVICES
Dex Media West LLC,
Term Loan B1, 6.33% - 6.38%, 3/09/10 United States $ 1,170,897 $ 1,143,545 0.20
Term Loan B2, 5.48% - 6.65%, 3/09/10 United States 760,377 742,615 0.13
Idearc Inc., Term Loan B, 6.83%, 11/17/14 United States 4,519,573 4,131,301 0.74
R.H. Donnelley Inc., Term Loan D-2, 4.75% - 6.66%, 6/30/11 United States 1,643,162 1,563,263 0.28
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7,580,724 1.35
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AEROSPACE & DEFENSE
BE Aerospace Inc., Term Loan B, 6.47% - 6.79%, 8/24/12 United States 616,667 606,855 0.11
CACI International Inc., Term Loan B, 5.53% - 6.65%, 5/03/11 United States 1,398,371 1,343,317 0.24
Dyncorp International LLC, Term Loan B, 6.875%, 2/11/11 United States 2,618,526 2,457,042 0.44
Hawker Beechcraft Inc.,
Synthetic L/C, 4.73%, 3/26/14 United States 195,035 177,716 0.03
Term Loan B, 6.83%, 3/26/14 United States 2,287,677 2,084,532 0.37
ILC Industries Inc., Term Loan B, 7.093%, 2/24/12 United States 803,237 763,661 0.14
Spirit Aerosystems Inc. (Onex Wind Finance LP), Term Loan
B, 6.901%, 12/31/11 United States 2,982,312 2,941,276 0.52
TransDigm Inc., Term Loan B, 6.858%, 6/23/13 United States 4,400,000 4,225,804 0.75
Vought Aircraft Industries Inc., Term Loan B, 7.34%, 12/22/11 United States 1,257,089 1,183,914 0.21
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15,784,117 2.81
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APPAREL/FOOTWEAR
Hanesbrands Inc., Term Loan B, 4.994% - 5.016%, 9/05/13 United States 753,285 715,349 0.13
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APPAREL/FOOTWEAR RETAIL
Easton Bell Sports Inc., Term Loan B, 6.85% - 6.90%, 3/16/12 United States 1,874,854 1,700,398 0.30
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AUTO PARTS: ORIGINAL EQUIPMENT MANUFACTURER
Cooper Standard Automotive Inc.,
Term Loan B, 7.375%, 12/23/11 Canada 1,914,577 1,817,565 0.32
Term Loan C, 7.375%, 12/23/11 United States 4,751,215 4,510,471 0.80
Dayco Products LLC (Mark IV), Term Loan B, 7.41% - 9.65%, 6/23/11 United States 3,430,776 3,006,080 0.53
Key Safety Systems Inc., Term Loan B, 6.18% - 7.09%, 3/10/14 United States 2,580,500 2,167,981 0.39
TRW Automotive Inc., Tranche B-1 Term Loan, 6.688%, 2/09/14 United States 1,375,077 1,322,976 0.24
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12,825,073 2.28
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AUTOMOTIVE AFTERMARKET
Affinia Group Inc., Term Loan B, 7.96%, 11/30/11 United States 2,262,586 2,163,688 0.39
United Components Inc., Term Loan D, 6.38% - 6.89%, 6/29/12 United States 2,433,290 2,313,378 0.41
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4,477,066 0.80
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BROADCASTING
Citadel Broadcasting Corp., Term Loan B, 4.905% - 6.455%, 6/12/14 United States 7,022,642 6,052,885 1.08
Entravision Communications Corp., Term Loan B, 6.23%, 3/29/13 United States 3,332,433 3,090,032 0.55
Gray Television Inc., Term Loan B, 6.21%, 12/31/14 United States 3,100,000 2,718,297 0.48
LBI Media Inc., Term Loan B, 4.771%, 3/31/12 United States 982,500 893,348 0.16
Mission Broadcasting Inc., Term Loan B, 6.58%, 10/01/12 United States 2,289,649 2,157,467 0.38
Nexstar Broadcasting Inc., Term Loan B, 6.58%, 10/01/12 United States 2,167,991 2,042,833 0.36
Spanish Broadcasting System Inc., Term Loan B, 6.58%, 6/11/12 United States 1,945,000 1,777,905 0.32
Univision Communications Inc., Term Loan B, 5.494% - 5.521%,
9/29/14 United States 6,281,879 5,183,204 0.92
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23,915,971 4.25
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BUILDING PRODUCTS
Goodman Global Holdings Inc., Term Loan C, 6.588%, 12/15/11 United States 692,226 681,981 0.12
Headwaters Inc., Term Loan B, 6.884% - 8.00%, 4/30/11 United States 1,134,074 1,084,980 0.19
Mueller Water Products Inc., Term Loan B, 4.994% - 6.893%, 5/26/14 United States 2,126,631 1,987,358 0.35
NCI Building Systems Inc., Term Loan B, 6.39% - 6.88%, 6/18/10 United States 1,625,721 1,542,890 0.28
Nortek Inc., Term Loan, 5.53% - 7.75%, 8/27/11 United States 7,824,411 7,174,438 1.28
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12,471,647 2.22
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FRANKLIN FLOATING RATE MASTER TRUST
FRANKLIN FLOATING RATE MASTER SERIES
CABLE/SATELLITE TELEVISION
Charter Communications Operating LLC, Term Loan, 5.26%, 3/06/14 United States $ 2,008,399 $ 1,758,315 0.31
CSC Holdings Inc. (Cablevision), Incremental Term Loan, 6.896%,
3/29/13 United States 5,628,518 5,191,807 0.93
Discovery Communications Inc., Term Loan B, 6.83%, 5/14/14 United States 784,759 743,607 0.13
Insight Midwest Holdings, Term Loan B, 6.48%, 4/02/14 United States 3,307,500 3,039,559 0.54
Intelsat Corp. (Panamsat), Term Loan B2, 6.60%, 1/03/14 United States 6,337,229 5,550,398 0.99
Intelsat Subsidiary Holding Co. Ltd., Term Loan B, 6.35%,
6/30/13 United States 2,361,018 2,164,793 0.39
MCC Iowa,
Term Loan D-1, 5.13% - 5.74%, 1/31/15 United States 1,980,734 1,801,993 0.32
Term Loan D-2 (Delayed Draw), 5.07% - 5.74%, 1/31/15 United States 1,520,887 1,383,643 0.25
Mediacom LLC, Term Loan C, 5.13% - 6.60%, 1/31/15 United States 768,403 691,056 0.12
UPC Financing Partnership, Term Loan N, 6.381%, 12/31/14 Netherlands 4,000,000 3,592,800 0.64
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25,917,971 4.62
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CASINOS/GAMING
Ameristar Casinos Inc., Term Loan B, 7.428%, 11/10/12 United States 1,989,848 1,931,048 0.34
CCM Merger Inc. (MotorCity Casino), Term Loan B, 6.843% - 7.151%,
7/13/12 United States 821,607 779,508 0.14
Greektown Holdings LLC,
Term Loan B, 7.188%, 12/03/12 United States 2,232,561 2,100,438 0.37
Term Loan B Add-On, 8.00%, 12/03/12 United States 421,058 396,140 0.07
Green Valley Ranch Gaming LLC, Term Loan B, 6.843% - 7.081%,
2/16/14 United States 3,323,025 2,985,040 0.53
Herbst Gaming Inc.,
Delayed Draw Term Loan, 9.218% - 9.33%, 12/02/11 United States 430,083 407,285 0.07
Term Loan B, 9.218% - 9.643%, 12/02/11 United States 858,000 812,517 0.14
Las Vegas Sands LLC, Term Loan B, 6.58%, 5/23/14 United States 949,200 843,305 0.15
VML U.S. Finance LLC (Venetian Macau),
Delay Draw, 7.08%, 5/25/12 Macau 1,976,190 1,802,049 0.32
New Project Term Loans, 7.08%, 5/25/13 Macau 1,000,000 925,010 0.17
Term Loan B, 7.08%, 5/24/13 Macau 523,810 476,934 0.09
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13,459,274 2.39
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CHEMICALS: MAJOR DIVERSIFIED
Celanese U.S. Holdings LLC, Dollar Term Loan, 6.479%, 4/02/14 United States 2,266,525 2,098,916 0.37
Huntsman International LLC, Term Loan B, 5.035%, 4/21/14 United States 2,840,275 2,687,439 0.48
Ineos U.S. Finance LLC,
Term Loan B2, 7.357%, 12/16/13 United States 666,000 615,431 0.11
Term Loan C2, 7.857%, 12/23/14 United States 666,000 614,678 0.11
Invista Canada Co., Term Loan B2, 6.33%, 4/29/11 Canada 670,303 641,466 0.12
Invista SARL, Term Loan B1, 6.33%, 4/29/11 Luxembourg 1,281,022 1,225,913 0.22
Univar Inc., OPCO Tranche Term Loan B, 7.887%, 10/11/14 United States 1,514,286 1,427,275 0.25
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9,311,118 1.66
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CHEMICALS: SPECIALTY
Brenntag Holding GmbH & Co. KG,
Acquisition Facility, 5.794%, 1/20/14 Germany 451,636 413,139 0.07
Term Loan B2, 5.794%, 1/20/14 United States 1,848,364 1,690,809 0.30
Cognis GmbH, Term Loan C, 6.991%, 9/15/13 Germany 2,300,000 2,053,946 0.36
Hexion Specialty Chemicals BV, Term Loan C-2, 7.125%, 5/03/13 Netherlands 1,122,512 1,057,189 0.19
Hexion Specialty Chemicals Inc., Term Loan C-1, 7.50%, 5/03/13 United States 5,167,428 4,866,714 0.87
ISP Chemco LLC, Term Loan B, 6.438% - 6.938%, 6/04/14 United States 3,084,500 2,878,887 0.51
Nalco Co., Term Loan B, 5.08% - 6.48%, 11/04/10 United States 1,496,469 1,457,037 0.26
Oxbow Carbon LLC,
Delayed Draw Term Loan, 6.83%, 5/08/14 United States 280,470 258,265 0.05
Term Loan B, 6.83% - 7.50%, 5/08/14 United States 3,132,911 2,884,879 0.51
Rockwood Specialties Group Inc., Term Loan E, 4.744%, 7/30/12 United States 1,694,020 1,606,287 0.29
Vertellus Specialties Inc., Term Loan, 9.375%, 12/10/12 United States 1,527,778 1,478,415 0.26
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20,645,567 3.67
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COAL
Alpha Natural Resources LLC, Term Loan B, 6.593%, 10/26/12 United States 1,008,709 974,474 0.17
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FRANKLIN FLOATING RATE MASTER TRUST
FRANKLIN FLOATING RATE MASTER SERIES
COMMERCIAL PRINTING/FORMS
Cenveo Corp.,
Delayed Draw Term Loan, 6.66%, 6/21/13 United States $ 24,206 $ 22,481 0.01
Term Loan C, 6.66%, 6/21/13 United States 1,525,061 1,416,400 0.25
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1,438,881 0.26
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CONSUMER SUNDRIES
Central Garden & Pet Co., Term Loan B, 5.03% - 5.78%, 9/30/12 United States 2,641,273 2,265,473 0.40
Chattem Inc., Term Loan B, 6.103% - 6.127%, 1/02/13 United States 439,000 423,999 0.08
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2,689,472 0.48
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CONTAINERS/PACKAGING
Altivity Packaging LLC (Bluegrass Container Co.),
Delayed Draw First Lien Term Loan, 5.646% - 7.08%, 6/30/13 United States 539,854 519,339 0.09
First Lien Term Loan, 5.646% - 7.08%, 6/30/13 United States 1,804,247 1,735,686 0.31
Graham Packaging Co. LP, New Term Loan, 6.813% - 7.75%, 10/07/11 United States 2,699,095 2,509,783 0.45
Smurfit-Stone Container Canada Inc.,
Term Loan C, 6.688% - 7.125%, 11/01/11 Canada 559,387 538,432 0.10
Term Loan C-1, 6.688%, 11/01/11 Canada 187,263 179,368 0.03
Smurfit-Stone Container Enterprises,
L/C Term Loan, 4.747%, 11/01/10 United States 261,990 252,666 0.04
Term Loan B, 6.875% - 7.125%, 11/01/11 United States 293,723 282,720 0.05
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6,017,994 1.07
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DATA PROCESSING SERVICES
InfoUSA Inc.,
2007 Term Loan, 6.83%, 2/10/12 United States 1,386,000 1,339,278 0.24
Term Loan B, 6.83%, 2/10/12 United States 2,901,247 2,803,446 0.50
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4,142,724 0.74
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ELECTRIC UTILITIES
Dynegy Holdings Inc.,
Term L/C Facility, 4.761%, 4/02/13 United States 3,716,004 3,391,002 0.60
Term Loan B, 6.04%, 4/02/13 United States 383,036 349,536 0.06
NRG Energy Inc.,
Credit Link, 6.48%, 2/01/13 United States 1,759,818 1,648,562 0.29
Term Loan, 6.58%, 2/01/13 United States 3,811,638 3,570,667 0.64
Texas Competitive Electric Holdings Co. LLC,
Term Loan B-2, 8.396%, 10/10/14 United States 4,985,000 4,596,963 0.82
Term Loan B-3, 8.396%, 10/10/14 United States 997,500 900,074 0.16
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14,456,804 2.57
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ELECTRICAL PRODUCTS
Edwards (Cayman Islands II) Ltd., Term Loan B, 7.081%, 5/31/14 Cayman Islands 711,785 570,744 0.10
EnerSys Capital Inc., New 2007 Term Loans, 6.75%, 3/17/11 United States 2,637,442 2,570,821 0.46
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3,141,565 0.56
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ELECTRONIC COMPONENTS
Flextronics International USA Inc.,
Term Loan A, 7.394% - 7.395%, 10/01/14 United States 2,402,016 2,292,316 0.41
Term Loan A-1, 7.455%, 10/01/14 United States 690,234 658,711 0.12
H3C Holdings Ltd., Term Loan B, 8.141%, 9/28/12 Cayman Islands 3,465,000 3,258,139 0.58
Marvell Technology Group Ltd., Term Loan, 7.33%, 11/09/09 Bermuda 3,651,438 3,563,511 0.63
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9,772,677 1.74
-------------- --------
ELECTRONICS/APPLIANCES
DEI Sales Inc., Term Loan B, 7.043%, 9/22/13 United States 1,761,578 1,339,275 0.24
Jarden Corp.,
Term Loan B1, 6.58%, 1/24/12 United States 615,828 586,767 0.10
Term Loan B2, 6.58%, 1/24/12 United States 3,346,183 3,178,204 0.57
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5,104,246 0.91
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FRANKLIN FLOATING RATE MASTER TRUST
FRANKLIN FLOATING RATE MASTER SERIES
ENVIRONMENTAL SERVICES
Allied Waste North America Inc.,
Credit Link, 4.50%, 3/28/14 United States $ 969,904 $ 911,158 0.16
Term Loan B, 5.43% - 6.88%, 3/28/14 United States 1,613,182 1,515,475 0.27
Casella Waste Systems Inc., Term Loan B, 5.709% - 6.878%, 4/28/10 United States 1,139,714 1,058,202 0.19
EnviroSolutions Inc., Term Loan B, 8.349% - 8.439%, 7/07/12 United States 2,830,882 2,723,195 0.48
IESI Corp., Term Loan B, 6.559% - 6.819%, 1/21/12 United States 1,900,000 1,746,575 0.31
Safety-Kleen Systems Inc.,
Synthetic L/C, 5.25%, 8/02/13 United States 305,085 291,399 0.05
Term Loan B, 7.188%, 8/02/13 United States 1,154,873 1,103,065 0.20
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9,349,069 1.66
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FINANCE/RENTAL/LEASING
Ashtead Group PLC, Term Loan, 6.688%, 8/31/11 United Kingdom 1,584,000 1,484,176 0.26
Bakercorp., Term Loan C, 5.521% - 7.191%, 5/08/14 United States 2,382,000 2,283,219 0.41
Hertz Corp.,
Credit Link, 4.91%, 12/21/12 United States 163,883 157,038 0.03
Term Loan B, 6.75% - 6.92%, 12/21/12 United States 908,603 870,649 0.16
RSC Holdings III, ABL Term Loan, 6.40% - 6.58%, 11/27/12 United States 3,456,250 3,387,125 0.60
-------------- --------
8,182,207 1.46
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FOOD DISTRIBUTORS
OSI Group LLC,
German Term Loan, 7.198%, 9/02/11 Germany 430,000 412,860 0.07
Netherlands Term Loan, 7.198%, 9/02/11 Netherlands 537,500 516,075 0.09
U.S. Term Loan, 7.198%, 9/02/11 United States 967,500 928,936 0.17
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1,857,871 0.33
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FOOD: MAJOR DIVERSIFIED
Pinnacle Foods Finance LLC, Term Loan B, 7.479% - 7.593%, 4/02/14 United States 2,309,666 2,058,328 0.37
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FOOD: MEAT/FISH/DAIRY
Bumble Bee Foods LLC, Term Loan B, 6.305% - 7.161%, 5/02/12 United States 800,000 764,632 0.14
Dean Foods Co., Term Loan B, 6.58%, 4/02/14 United States 3,850,775 3,600,914 0.64
-------------- --------
4,365,546 0.78
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FOOD: SPECIALTY/CANDY
CBRL Group (Cracker Barrel),
Term Loan B1, 6.40%, 4/27/13 United States 2,008 1,878 0.00 d
Term Loan B2 (Delayed Draw), 6.38% - 6.40%, 4/27/13 United States 817 764 0.00 d
Herbalife International Inc., Term Loan B, 4.78%, 7/21/13 United States 1,159,933 1,113,338 0.20
-------------- --------
1,115,980 0.20
-------------- --------
GAS DISTRIBUTORS
Niska Gas Storage Canada ULC (C/R Gas),
Asset Sale Term Loan, 6.741%, 5/13/11 Canada 343,100 328,278 0.06
Canadian Term Loan, 7.323%, 5/12/13 Canada 1,990,952 1,890,170 0.33
Niska Gas Storage U.S. LLC (C/R Gas),
Delay Draw, 6.808%, 5/12/13 United States 218,403 205,472 0.04
U.S. Term Loan, 7.323%, 5/12/13 United States 322,419 302,780 0.05
-------------- --------
2,726,700 0.48
-------------- --------
GENERIC PHARMACEUTICALS
Mylan Inc., Term Loan B, 6.625% - 8.125%, 10/02/14 United States 1,100,000 1,074,502 0.19
-------------- --------
HOME FURNISHINGS
National Bedding Co. LLC, Term Loan, 5.27% - 7.00%, 2/28/13 United States 2,420,214 2,093,824 0.37
e Sealy Mattress Co., Revolver, 5.773% - 7.75%, 4/14/11 United States 412,500 388,430 0.07
Simmons Bedding Company, Term Loan D, 4.875% - 7.375%, 12/19/11 United States 2,255,627 2,068,816 0.37
-------------- --------
4,551,070 0.81
-------------- --------
FRANKLIN FLOATING RATE MASTER TRUST
FRANKLIN FLOATING RATE MASTER SERIES
HOMEBUILDING
CONTECH Construction Products Inc., Term Loan B, 5.28% - 6.54%,
1/31/13 United States $ 2,969,284 $ 2,767,313 0.49
Stile Acquisition Corp. (Masonite), Canadian Term Loan, 5.331% -
6.83%, 4/05/13 Canada 1,266,296 1,096,353 0.19
Stile U.S. Acquisition Corp. (Masonite), U.S. Term Loan, 5.331% -
6.83%, 4/05/13 United States 1,268,454 1,098,221 0.20
-------------- --------
4,961,887 0.88
-------------- --------
HOSPITAL/NURSING MANAGEMENT
Community Health Systems Inc., Term Loan, 7.331%, 7/25/14 United States 5,388,985 4,986,886 0.89
HCA Inc., Term Loan B-1, 7.08%, 11/18/13 United States 3,691,907 3,420,493 0.61
Health Management Associates Inc., Term Loan B, 5.021% - 6.58%,
2/28/14 United States 3,087,394 2,724,239 0.48
Iasis Healthcare LLC,
e Delayed Draw Term Loan, 7.151%, 3/14/14 United States 705,882 659,125 0.12
Initial Term Loan, 5.244% - 6.83%, 3/14/14 United States 2,770,795 2,587,257 0.46
Synthetic L/C, 6.236%, 3/14/14 United States 254,372 237,522 0.04
United Surgical Partners International Inc.,
e Delayed Draw Term Loan, 6.791% - 7.43%, 4/19/14 United States 115,265 105,160 0.02
Term Loan B, 5.49%, 4/19/14 United States 1,106,049 1,009,082 0.18
Vanguard Health Holding Co. II LLC, Replacement Term Loan, 5.521%,
9/23/11 United States 3,342,038 3,059,235 0.54
-------------- --------
18,788,999 3.34
-------------- --------
HOUSEHOLD/PERSONAL CARE
Acco Brands Corp., Term Loan B, 5.701% - 6.732%, 8/17/12 United States 973,241 905,368 0.16
Prestige Brands Inc., Term Loan B, 6.968% - 7.093%, 4/06/11 United States 963,137 932,480 0.17
-------------- --------
1,837,848 0.33
-------------- --------
INDUSTRIAL CONGLOMERATES
FCI USA,
Term Loan B1, 6.849%, 11/01/13 United States 1,350,000 1,266,246 0.22
Term Loan C1, 6.849%, 11/03/14 United States 1,350,000 1,255,163 0.22
GPS CCMP Merger Corp. (Generac), Term Loan B, 7.203%, 11/09/13 United States 5,693,239 4,753,342 0.85
PlayPower Inc., Term Loan B, 7.58%, 6/30/12 United States 629,528 592,121 0.11
TriMas Co. LLC,
Term Loan B, 5.494% - 5.516%, 8/02/13 United States 2,925,061 2,832,366 0.50
Tranche B-1 L/C, 7.086%, 8/02/13 United States 683,559 664,740 0.12
-------------- --------
11,363,978 2.02
-------------- --------
INDUSTRIAL MACHINERY
Bucyrus International Inc., Tranche B Dollar Term Loan, 6.229% -
6.624%, 5/04/14 United States 1,289,759 1,228,831 0.22
CI Acquisition Inc. (Chart Industries), Term Loan B, 6.875% -
7.188%, 10/17/12 United States 962,662 934,590 0.17
Colfax Corp., Term Loan B, 7.125%, 11/30/11 United States 2,455,489 2,426,416 0.43
Dresser Inc., Term Loan B, 5.771% - 6.449%, 5/04/14 United States 4,290,167 4,052,750 0.72
Husky Injection Molding Systems Ltd. (Ontario Inc.), Term Loan,
7.166%, 12/14/12 Canada 1,300,000 1,262,105 0.22
RBS Global Inc. (Rexnord Corp.),
Incremental Tranche B-2, 7.401%, 7/22/13 United States 1,283,750 1,241,527 0.22
Term Loan, 6.426% - 6.459%, 7/22/13 United States 2,803,279 2,711,696 0.48
Sensus Metering Systems Inc.,
Term Loan B1, 5.926% - 7.04%, 12/17/10 United States 4,904,078 4,731,798 0.84
Term Loan B2, 6.718% - 6.901%, 12/17/10 Luxembourg 318,623 307,429 0.06
-------------- --------
18,897,142 3.36
-------------- --------
INVESTMENT BANKS/BROKERS
Amwins Group Inc., First Lien Term Loan, 7.59% - 8.07%, 6/08/13 United States 2,786,000 2,208,992 0.39
BNY ConvergEx Group LLC,
First Lien Term Loan, 7.83%, 10/02/13 United States 3,178,571 2,960,076 0.53
Incremental Term Loan B, 7.71%, 10/02/13 United States 337,535 314,333 0.06
TD Ameritrade Holding Corp., Term Loan B, 6.35%, 12/31/12 United States 137,965 132,412 0.02
-------------- --------
5,615,813 1.00
-------------- --------
FRANKLIN FLOATING RATE MASTER TRUST
FRANKLIN FLOATING RATE MASTER SERIES
INVESTMENT MANAGERS
Nuveen Investments Inc., Term Loan B, 6.285% - 7.858%, 11/13/14 United States $ 2,400,000 $ 2,300,592 0.41
-------------- --------
LIFE/HEALTH INSURANCE
Conseco Inc., Term Loan, 5.271%, 10/10/13 United States 3,958,243 3,558,975 0.63
-------------- --------
MAJOR TELECOMMUNICATIONS
Alaska Communications Systems Holdings Inc.,
2005 Incremental Loan, 6.58%, 2/01/12 United States 728,567 680,853 0.12
2006 Incremental Loan, 6.58%, 2/01/12 United States 300,000 280,251 0.05
Wind Telecomunicazioni SpA,
Term Loan B-2, 7.875%, 9/30/13 Italy 3,150,000 3,061,013 0.54
Term Loan C-2, 8.375%, 9/30/14 Italy 3,150,000 3,048,885 0.54
-------------- --------
7,071,002 1.25
-------------- --------
MEDICAL SPECIALTIES
Bausch and Lomb Inc.,
e Delayed Draw Term Loan, 6.511%, 04/28/15 United States 60,000 58,650 0.01
Parent Term Loan B, 8.08%, 4/28/15 United States 480,000 469,200 0.08
Carestream Health Inc., Term Loan, 5.244% - 6.83%, 4/30/13 United States 364,826 325,866 0.06
DJO Finance LLC, Term Loan B, 8.00%, 5/20/14 United States 3,250,000 3,185,618 0.57
-------------- --------
4,039,334 0.72
-------------- --------
MEDICAL/NURSING SERVICES
AMR Holdco/EmCare Holdco, Term Loan B, 6.023% - 7.146%, 2/10/12 United States 1,342,858 1,297,160 0.23
DaVita Inc., Term Loan B-1, 4.78% - 6.52%, 10/05/12 United States 4,577,225 4,350,963 0.77
Fresenius Medical Care Holdings Inc., Term Loan B, 5.818% -
6.437%, 3/31/13 United States 3,493,750 3,303,655 0.59
HealthSouth Corp., Term Loan B, 5.78% - 6.92%, 3/10/13 United States 2,020,150 1,893,891 0.34
U.S. Oncology Inc., Term Loan B, 5.994% - 7.58%, 8/20/11 United States 2,067,979 1,977,423 0.35
-------------- --------
12,823,092 2.28
-------------- --------
MISCELLANEOUS COMMERCIAL SERVICES
Acxiom Corp., Term Loan B, 5.709% - 6.599%, 9/14/12 United States 525,417 497,359 0.09
Affiliated Computer Services Inc.,
Additional Term Loan, 5.281% - 6.411%, 3/20/13 United States 836,790 797,302 0.14
Term Loan B, 5.285%, 3/20/13 United States 1,274,000 1,213,880 0.22
ARAMARK Corp.,
Synthetic L/C, 5.198%, 1/26/14 United States 156,225 141,195 0.02
Term Loan B, 6.705%, 1/26/14 United States 2,459,088 2,222,499 0.40
Audatex North America Inc., Domestic Term Loan C, 7.063%,
5/16/14 United States 1,090,753 1,016,920 0.18
CCC Information Services Group Inc., Term Loan B, 7.36%, 2/10/13 United States 1,564,108 1,510,068 0.27
Corporate Express U.S. Finance Inc.,
Term Loan D-1, 6.991% - 7.01%, 12/23/10 United States 1,255,209 1,206,544 0.21
Term Loan D-1 Add-On, 6.991% - 7.01%, 12/23/10 United States 1,328,738 1,281,834 0.23
Dealer Computer Services Inc. (Reynolds & Reynolds), First Lien
Term Loan, 6.843%, 10/26/12 United States 5,746,773 5,401,852 0.96
Duratek Inc. (EnergySolutions), Term Loan B, 7.099%, 6/07/13 United States 852,793 821,853 0.15
Emdeon Business Services LLC, First Lien Term Loan, 6.83%, 11/16/13 United States 2,375,662 2,263,127 0.40
EnergySolutions LLC,
Synthetic L/C, 6.239%, 6/07/13 United States 108,318 104,558 0.02
Synthetic L/C (Add-On), 6.239%, 6/07/13 United States 1,000,000 949,730 0.17
Term Loan B, 7.099%, 6/07/13 United States 1,777,017 1,715,337 0.30
First Data Corp.,
Term Loan B-1, 7.58% - 7.634%, 9/24/14 United States 1,750,779 1,585,450 0.28
Term Loan B-2, 7.58% - 7.634%, 9/24/14 United States 274,035 247,887 0.04
Language Lines Inc., Term Loan B, 6.52%, 6/11/11 United States 1,345,848 1,287,613 0.23
NEP II Inc., Term Loan B, 7.108%, 2/18/14 United States 955,521 892,437 0.16
Nielsen Finance LLC (VNU Inc.), Term Loan B, 6.661% - 7.15%,
8/09/13 United States 6,180,575 5,662,087 1.01
Travelport LLC,
Delayed Draw Term Loan, 7.08%, 8/23/13 United States 3,752,938 3,442,720 0.61
Synthetic L/C, 7.08%, 8/23/13 United States 535,332 491,081 0.09
Term Loan B, 7.08%, 8/23/13 United States 2,667,981 2,447,445 0.44
-------------- --------
37,200,778 6.62
-------------- --------
FRANKLIN FLOATING RATE MASTER TRUST
FRANKLIN FLOATING RATE MASTER SERIES
MOVIES/ENTERTAINMENT
24 Hour Fitness Worldwide Inc., Term Loan B, 5.71% - 7.33%,
6/08/12 United States $ 1,965,000 $ 1,831,007 0.33
AMF Bowling Worldwide Inc., Term Loan B, 7.646% - 8.063%, 6/08/13 United States 1,990,000 1,830,203 0.33
f Cinemark USA Inc., Term Loan, 6.07% - 6.98%, 10/05/13 United States 3,950,946 3,603,262 0.64
Cinram International, Term Loan B, 6.878%, 5/05/11 Canada 1,326,956 1,017,590 0.18
National CineMedia LLC, Term Loan, 6.87%, 2/13/15 United States 1,200,000 1,081,824 0.19
Regal Cinemas Corp., Term Loan, 6.33%, 10/27/13 United States 4,023,224 3,734,968 0.66
Zuffa LLC, Term Loan B, 6.938%, 6/19/15 United States 3,482,500 2,848,197 0.51
-------------- --------
15,947,051 2.84
-------------- --------
OIL & GAS PIPELINES
Knight Inc. (Kinder Morgan), Term Loan B, 4.78%, 5/30/14 United States 1,391,496 1,379,004 0.25
-------------- --------
OIL & GAS PRODUCTION
Helix Energy Solutions Group, Term Loan B, 6.377% - 6.83%, 7/01/13 United States 1,817,787 1,758,473 0.31
-------------- --------
OIL REFINING/MARKETING
Citgo Petroleum Corp., Term Loan B, 4.864%, 11/15/12 United States 1,954,397 1,869,146 0.33
-------------- --------
OILFIELD SERVICES/EQUIPMENT
Petroleum Geo-Services ASA, Term Loan B, 6.58%, 6/29/15 Norway 3,681,500 3,486,896 0.62
-------------- --------
OTHER CONSUMER SERVICES
Affinion Group Inc., Term Loan B, 6.459% - 7.482%, 10/17/12 United States 3,736,171 3,509,572 0.62
Education Management LLC, Term Loan C, 7.00%, 6/01/13 United States 2,443,335 2,264,834 0.40
FTD Inc., Term Loan B, 5.021%, 7/28/13 United States 1,298,209 1,251,551 0.22
Laureate Education Inc., Closing Date Term Loan, 8.729%, 9/25/14 United States 1,737,581 1,641,632 0.29
Protection One Inc., Term Loan C, 5.54% - 7.32%, 3/31/12 United States 916,606 833,296 0.15
Sabre Inc., Term Loan B, 5.244%, 9/30/14 United States 304,146 250,198 0.05
VICAR Operating Inc.,
Incremental Term Loan, 4.813%, 5/16/11 United States 893,250 851,080 0.15
Term Loan B, 4.813%, 5/16/11 United States 939,780 895,413 0.16
-------------- --------
11,497,576 2.04
-------------- --------
OTHER CONSUMER SPECIALTIES
Jostens IH Corp. (Visant Holding Corp.), Term Loan C, 6.718%,
12/21/11 United States 1,824,366 1,765,603 0.31
-------------- --------
OTHER METALS/MINERALS
Thompson Creek Metals Co., First Lien Term Loan, 9.40%, 10/26/12 United States 2,360,900 2,296,542 0.41
-------------- --------
PACKAGED SOFTWARE
SunGard Data Systems Inc., New U.S. Term Loan, 6.898%, 2/28/14 United States 4,445,907 4,131,453 0.73
-------------- --------
PERSONNEL SERVICES
Allied Security Holdings LLC, Term Loan D, 7.83%, 6/30/10 United States 864,009 807,892 0.14
-------------- --------
PROPERTY-CASUALTY INSURANCE
Affirmative Insurance Holdings Inc., Term Loan, 6.744% - 8.406%,
1/31/14 United States 1,871,173 1,724,323 0.31
-------------- --------
PUBLISHING: BOOKS/MAGAZINES
Wenner Media LLC, Term Loan B, 6.593%, 10/02/13 United States 2,723,876 2,556,058 0.45
-------------- --------
FRANKLIN FLOATING RATE MASTER TRUST
FRANKLIN FLOATING RATE MASTER SERIES
PUBLISHING: NEWSPAPERS
Canwest Mediaworks LP, Term Loan B, 7.081%, 7/10/12 Canada $ 2,686,500 $ 2,580,195 0.46
MediaNews Group Inc.,
Term Loan B, 6.58%, 12/30/10 United States 895,050 810,226 0.14
Term Loan C, 7.08%, 8/02/13 United States 1,871,500 1,620,644 0.29
Tribune Co., Term Loan B, 7.91%, 5/16/14 United States 5,762,995 4,346,019 0.77
-------------- --------
9,357,084 1.66
-------------- --------
PULP & PAPER
Georgia-Pacific Corp.,
Additional Term Loan, 6.58% - 6.896%, 12/20/12 United States 913,788 855,589 0.15
Term Loan B, 6.58% - 6.896%, 12/20/12 United States 4,607,099 4,341,085 0.77
NewPage Corp., Term Loan, 8.688%, 12/10/14 United States 589,213 573,828 0.10
Verso Paper Holdings LLC, Term Loan B, 6.58%, 8/01/13 United States 2,609,364 2,460,656 0.44
-------------- --------
8,231,158 1.46
-------------- --------
REAL ESTATE DEVELOPMENT
CB Richard Ellis Services Inc., Term Loan B, 5.459%, 12/20/13 United States 2,930,129 2,715,146 0.49
-------------- --------
REAL ESTATE INVESTMENT TRUSTS
Capital Automotive REIT, Term Loan B, 6.39%, 12/15/10 United States 1,001,400 959,751 0.17
Macerich Co., Term Loan B, 6.188%, 4/25/10 United States 3,500,000 3,383,450 0.60
-------------- --------
4,343,201 0.77
-------------- --------
RECREATIONAL PRODUCTS
Mega Bloks Inc., Term Loan B, 5.50%, 7/26/12 Canada 3,532,272 3,155,802 0.56
-------------- --------
RESTAURANTS
Arby's Restaurant Holdings LLC, Term Loan B, 5.494% - 7.08%,
7/25/12 United States 1,811,068 1,728,121 0.31
OSI Restaurant Partners LLC (Outback),
Pre-Funded Revolving Credit, 4.878%, 6/14/13 United States 127,868 104,615 0.02
Term Loan B, 5.563%, 6/14/14 United States 1,611,139 1,307,069 0.23
-------------- --------
3,139,805 0.56
-------------- --------
SEMICONDUCTORS
Fairchild Semiconductor Corp., Initial Term Loan, 6.33%, 6/26/13 United States 1,930,785 1,816,251 0.32
-------------- --------
SPECIALTY STORES
Dollar General Corp., Tranche B-1 Term Loan, 7.71%, 7/07/14 United States 1,400,000 1,248,702 0.22
Pantry Inc., Term Loan B, 5.03%, 5/14/14 United States 861,439 777,664 0.14
-------------- --------
2,026,366 0.36
-------------- --------
SPECIALTY TELECOMMUNICATIONS
CommScope Inc., Term Loan B, 5.771% - 7.358%, 12/27/14 United States 2,000,000 1,923,580 0.34
NTELOS Inc., Term Loan B-1, 5.53%, 8/24/11 United States 1,774,851 1,702,846 0.31
West Corp., Term Loan B-2, 7.75%, 10/24/13 United States 3,150,124 2,915,046 0.52
Windstream Corp., Tranche B-1, 5.50%, 7/17/13 United States 773,763 744,267 0.13
-------------- --------
7,285,739 1.30
-------------- --------
TRUCKS/CONSTRUCTION/FARM MACHINERY
Oshkosh Truck Corp.,
Term Loan A, 6.65%, 12/06/11 United States 1,312,500 1,254,251 0.23
Term Loan B, 6.90%, 12/06/13 United States 4,732,670 4,396,007 0.78
-------------- --------
5,650,258 1.01
-------------- --------
WHOLESALE DISTRIBUTORS
Interline Brands,
Delayed Draw Term Loan, 5.02%, 6/23/13 United States 1,010,678 986,047 0.18
Term Loan B, 5.02%, 6/23/13 United States 698,516 681,493 0.12
-------------- --------
1,667,540 0.30
-------------- --------
WIRELESS COMMUNICATIONS
Alltel Communications Corp., Term Loan B-3, 6.773%, 5/18/15 United States 3,192,000 2,915,342 0.52
-------------- --------
TOTAL SENIOR FLOATING RATE INTERESTS (COST $497,357,918) 461,807,534 82.15
-------------- --------
FRANKLIN FLOATING RATE MASTER TRUST
FRANKLIN FLOATING RATE MASTER SERIES
SHORT TERM INVESTMENT (COST $51,478,199)
g REPURCHASE AGREEMENT
Joint Repurchase Agreement, 2.599%, 2/01/08 (Maturity Value
$51,481,915) United States $ 51,478,199 $ 51,478,199 9.16
ABN AMRO Bank, NV, New York Branch (Maturity Value $4,353,826)
Banc of America Securities LLC (Maturity Value $4,353,826)
Barclays Capital Inc. (Maturity Value $4,353,826)
BNP Paribas Securities Corp. (Maturity Value $4,353,826)
Credit Suisse Securities (USA) LLC (Maturity Value $4,353,826)
Deutsche Bank Securities Inc. (Maturity Value $4,353,826)
Dresdner Kleinwort Wasserstein Securities LLC (Maturity Value
$4,353,826)
Goldman, Sachs & Co. (Maturity Value $4,353,826)
Greenwich Capital Markets Inc. (Maturity Value $4,353,826)
Lehman Brothers Inc. (Maturity Value $3,589,829)
Merrill Lynch Government Securities Inc. (Maturity Value
$4,353,826)
UBS Securities LLC (Maturity Value $4,353,826)
Collateralized by U.S. Government Agency Securities, 2.96% -
7.25%, 2/15/08 - 12/12/12; h U.S. Government Agency Discount
Notes, 2/08/08 - 8/01/12 and U.S. Treasury Notes, 4.375% -
5.75%, 8/15/10 - 2/15/12
-------------- --------
TOTAL INVESTMENTS (COST $548,836,117) 513,285,733 91.31
OTHER ASSETS, LESS LIABILITIES 48,877,637 8.69
-------------- --------
NET ASSETS $ 562,163,370 100.00
-------------- --------
SELECTED PORTFOLIO ABBREVIATIONS
L/C Letter of Credit
REIT Real Estate Investment Trust
a The principal amount is stated in U.S. dollars unless otherwise indicated.
b The coupon rate shown represents the rate at period end.
c See Note 1(d) regarding senior floating rate interests.
d Rounds to less than 0.01% of net assets.
e See Note 8 regarding unfunded loan commitments.
f A portion or all of the security purchased on a when-issued or delayed
delivery basis. See Note 1(c).
g See Note 1(b) regarding joint repurchase agreement.
h The security is traded on a discount basis with no stated coupon rate.
Semiannual Report |
The accompanying notes are an integral part of these financial statements.
FRANKLIN FLOATING RATE MASTER TRUST
FRANKLIN FLOATING RATE MASTER SERIES
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
JANUARY 31, 2008 (UNAUDITED)
Assets:
Investments in securities:
Cost - Unaffiliated issuers $ 497,357,918
Cost - Repurchase agreements 51,478,199
--------------
Total cost of investments $ 548,836,117
--------------
Value - Unaffiliated issuers $ 461,807,534
Value - Repurchase agreements 51,478,199
--------------
Total value of investments 513,285,733
Cash 2,894,859
Receivables:
Investment securities sold 48,735,783
Interest 4,676,115
--------------
Total assets 569,592,490
--------------
Liabilities:
Payables:
Investment securities purchased 942,500
Capital shares redeemed 2,264,761
Affiliates 279,891
Distributions to shareholders 3,567,274
Service fee 21,390
Unrealized loss on unfunded loan commitments (Note 8) 229,144
Accrued expenses and other liabilities 124,160
--------------
Total liabilities 7,429,120
--------------
Net assets, at value $ 562,163,370
--------------
Net assets consist of:
Paid-in capital $ 637,013,113
Distributions in excess of net investment income (236,695)
Net unrealized appreciation (depreciation) (35,779,528)
Accumulated net realized gain (loss) (38,833,520)
--------------
Net assets, at value $ 562,163,370
--------------
Net asset value and maximum offering price per share
($562,163,370 / 61,989,142 shares outstanding) $ 9.07
--------------
Semiannual Report
| The accompanying notes are an integral part of these financial statements.
FRANKLIN FLOATING RATE MASTER TRUST
FRANKLIN FLOATING RATE MASTER SERIES
FINANCIAL STATEMENTS (CONTINUED)
STATEMENT OF OPERATIONS
for the period ended January 31, 2008 (unaudited)
Investment income:
Interest $ 29,088,549
--------------
Expenses:
Management fees (Note 3a) 3,144,976
Administrative fees (Note 3b) 529,503
Service fee (Note 10) 21,390
Custodian fees (Note 4) 8,374
Reports to shareholders 3,617
Professional fees 66,112
Trustees' fees and expenses 45,899
Other 30,177
--------------
Total expenses 3,850,048
Expense reductions (Note 4) (7,619)
Expenses waived/paid by affiliates (Note 3d) (1,495,923)
--------------
Net expenses 2,346,506
--------------
Net investment income 26,742,043
--------------
Realized and unrealized losses:
Net realized gain (loss) from investments (25,859,951)
Net change in unrealized appreciation
(depreciation) on investments (7,368,222)
--------------
Net realized and unrealized gain (loss) (33,228,173)
--------------
Net increase (decrease) in net assets resulting from
operations $ (6,486,130)
--------------
Semiannual Report
| The accompanying notes are an integral part of these financial statements.
FRANKLIN FLOATING RATE MASTER TRUST
FRANKLIN FLOATING RATE MASTER SERIES
FINANCIAL STATEMENTS (CONTINUED)
STATEMENTS OF CHANGES IN NET ASSETS
SIX MONTHS ENDED
JANUARY 31, 2008 YEAR ENDED
(UNAUDITED) JULY 31, 2007
-------------------------------------
Increase (decrease) in net assets:
Operations:
Net investment income $ 26,742,043 $ 72,617,623
Net realized gain (loss) from investments (25,859,951) (2,377,692)
Net change in unrealized appreciation (depreciation) on
investments (7,368,222) (27,572,215)
-------------------------------------
Net increase (decrease) in net assets resulting from operations (6,486,130) 42,667,716
-------------------------------------
Distributions to shareholders from net investment income (26,729,736) (72,772,124)
Capital share transactions (Note 2) (474,340,877) (41,029,763)
-------------------------------------
Net increase (decrease) in net assets (507,556,743) (71,134,171)
Net assets:
Beginning of period 1,069,720,113 1,140,854,284
-------------------------------------
End of period $ 562,163,370 $ 1,069,720,113
-------------------------------------
Distributions in excess of net investment income included in net
assets:
End of period $ (236,695) $ (249,002)
-------------------------------------
Semiannual Report
| The accompanying notes are an integral part of these 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 (Trust) is registered under the
Investment Company Act of 1940, as amended, (1940 Act) as a non-diversified,
open-end investment company, consisting of one fund, the Franklin Floating Rate
Master Series (Fund), which is organized as a partnership for tax purposes. The
shares are exempt from registration under the Securities Act of 1933.
The following summarizes the Fund's 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.
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 Trust 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 Trust'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 Trust 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. 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. Due to the inherent uncertainty of
valuations of such securities, the fair values may differ significantly from the
values that would have been used had a ready market for such investments
existed. 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 Trust'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 with other funds managed by the
investment manager or an affiliate of the investment manager and is used to
invest in one or more repurchase agreements. The value and face amount of the
joint repurchase agreement are allocated to the funds based on their 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 coverage of at least 100%. The joint repurchase agreement held by
the Fund at period end had been entered into on January 31, 2008. The joint
repurchase agreement is valued at cost.
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
FRANKLIN FLOATING RATE MASTER TRUST
FRANKLIN FLOATING RATE MASTER SERIES
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
D. SENIOR FLOATING RATE INTERESTS (CONTINUED)
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 income taxes because all income, expenses, gains
and losses 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. Amortization of
premium and accretion of discount on debt securities are included in interest
income. Facility fees are recognized as income over the expected term of the
loan. The Fund's net investment income is proportionately allocated to the
partners daily and distributed monthly. Net capital gains (or losses) realized
by the Fund will be allocated proportionately to each partner and will not be
distributed. Distributions to partners are determined according to income tax
regulations (tax basis). Distributable earnings determined on a tax basis may
differ from earnings recorded in accordance with accounting principles generally
accepted in the United States of America. These differences may be permanent or
temporary. Permanent differences are reclassified among capital accounts to
reflect their tax character. These reclassifications have no impact on net
assets or the results of operations. Temporary differences are not reclassified,
as they may reverse in subsequent periods.
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 Trust's organizational documents, its officers and trustees are
indemnified by the Trust against certain liabilities arising out of the
performance of their duties to the Trust. Additionally, in the normal course of
business, the Trust, on behalf of the Fund, enters into contracts with service
providers that contain general indemnification clauses. The Trust's maximum
exposure under these arrangements is unknown as this would involve future claims
that may be made against the Trust that have not yet occurred. Currently, the
Trust expects the risk of loss to be remote.
2. SHARES OF BENEFICIAL INTEREST
At January 31, 2008, there were an unlimited number of shares authorized
(without par value). Transactions in the Fund's shares were as follows:
SIX MONTHS ENDED YEAR ENDED
JANUARY 31, 2008 JULY 31, 2007
--------------------------------------------------------------
Shares Amount Shares Amount
--------------------------------------------------------------
Shares sold 1,636,891 $ 15,404,249 31,322,400 $ 306,179,057
Shares redeemed (52,158,009) (489,745,126) (35,593,260) (347,208,820)
--------------------------------------------------------------
Net increase (decrease) (50,521,118) $ (474,340,877) (4,270,860) $ (41,029,763)
--------------------------------------------------------------
FRANKLIN FLOATING RATE MASTER TRUST
FRANKLIN FLOATING RATE MASTER SERIES
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
3. TRANSACTIONS WITH AFFILIATES
Franklin Resources, Inc. is the holding company for various subsidiaries that
together are referred to as Franklin Templeton Investments. Certain officers and
trustees of the Trust are also officers and/or directors of the following
subsidiaries:
SUBSIDIARY AFFILIATION
- --------------------------------------------------------------------------------------------
Franklin Advisers, Inc. (Advisers) Investment manager
Franklin Templeton Services, LLC (FT Services) Administrative manager
Franklin Templeton Investor Services, LLC (Investor Services) Transfer agent
A. MANAGEMENT FEES
The Fund pays an investment management fee to Advisers of 0.80% 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 average
daily net assets as follows:
ANNUALIZED FEE RATE NET ASSETS
- --------------------------------------------------------------------------------
0.150% Up to and including $200 million
0.135% Over $200 million, up to and including $700 million
0.100% Over $700 million, up to and including $1.2 billion
0.075% In excess of $1.2 billion
C. TRANSFER AGENT FEES
Investor Services, under terms of an agreement, performs shareholder servicing
for the Fund and is not paid by the Fund for the services.
D. WAIVER AND EXPENSE REIMBURSEMENTS
FT Services agreed in advance to voluntarily waive administrative fees.
Additionally, Advisers agreed in advance to voluntarily waive a portion of
management fees. Total expenses waived by FT Services and Advisers are not
subject to reimbursement by the Fund subsequent to the Fund's fiscal year end.
FT Services and Advisers may discontinue this waiver at any time upon notice to
the Fund's Board of Trustees.
E. OTHER AFFILIATED TRANSACTIONS
At January 31, 2008, the shares of the Fund were owned by the following
entities:
ENTITY SHARES
- -------------------------------------------------------------
Franklin Floating Rate Fund, PLC 61,969,142
Franklin Resources, Inc. 10,000
Templeton Investment Counsel, LLC 10,000
------------
TOTAL 61,989,142
============
4. 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, 2008, the
custodian fees were reduced as noted in the Statement of Operations.
FRANKLIN FLOATING RATE MASTER TRUST
FRANKLIN FLOATING RATE MASTER SERIES
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
5. INCOME TAXES
At January 31, 2008, the cost of investments and net unrealized appreciation
(depreciation) for income tax purposes were as follows:
Cost of investments $ 548,831,534
================
Unrealized appreciation $ 2,175
Unrealized depreciation (35,547,976)
----------------
Net unrealized appreciation (depreciation) $ (35,545,801)
================
Net investment income differs for financial statement and tax purposes primarily
due to differing treatment of bond discounts and premiums.
Net realized gains (losses) differ for financial statement and tax purposes
primarily due to differing treatments of wash sales and bond discounts and
premiums.
6. INVESTMENT TRANSACTIONS
Purchases and sales of investments (excluding short term securities) for the
period ended January 31, 2008, aggregated $62,462,816 and $602,851,886,
respectively.
7. CREDIT RISK
The Fund has 83.90% 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. The risk of loss
due to default by the issuer may be significantly greater for the holders of
high yielding securities.
8. 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. Funded portions of credit agreements are presented on the
Statement of Investments.
At January 31, 2008, unfunded commitments were as follows:
UNFUNDED
BORROWER COMMITMENT
- --------------------------------------------------------------------------------------------------------
Bausch & Lomb Inc., Delayed Draw Term Loan $ 60,000
Community Health Systems Inc., Delayed Draw Term Loan 271,030
Conseco Inc., Revolver 4,000,000
Greektown Holdings LLC, Delayed Draw Term Loan 500,000
Iasis Healthcare LLC, Delayed Draw Term Loan 248,013
Las Vegas Sands LLC, Delayed Draw I Term Loan 240,000
Laureate Education Inc., Delayed Draw Term Loan 258,065
Pantry Inc., Delayed Draw Term Loan 247,362
Sealy Mattress Co., Revolver 337,500
United Surgical Partners International Inc., Delayed Draw Term Loan 66,255
Univision Communications Inc., Delayed Draw Term Loan 218,121
------------
$ 6,446,346
============
FRANKLIN FLOATING RATE MASTER TRUST
FRANKLIN FLOATING RATE MASTER SERIES
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
8. UNFUNDED LOAN COMMITMENTS (CONTINUED)
Unfunded loan commitments and funded portions of credit agreements are marked to
market daily and any unrealized gain or loss is included in the Statement of
Assets and Liabilities and Statement of Operations.
9. SHAREHOLDER DISTRIBUTIONS
For the period ended January 31, 2008, the Fund made the following
distributions:
PAYMENT DATE AMOUNT PER SHARE
- ------------------------------------------------------------------------------
8/31/2007 $ 0.056438
9/28/2007 $ 0.053764
10/31/2007 $ 0.056294
11/30/2007 $ 0.051925
12/31/2007 $ 0.051772
1/31/2008 $ 0.051420
==============================================================================
TOTAL $ 0.321613
Daily distribution information is available at the registered office upon
request
10. CREDIT FACILITY
The Fund participates in a $200 million senior secured joint advised line of
credit to fund shareholder redemptions, which ends on August 26, 2008. Interest
on outstanding draws is charged at the Federal Funds Rate plus 0.60%. Credit
available to the fund is limited to $100 million. Fees for the credit line are
charged over the term of the line. The fund must segregate securities at a ratio
of 5:1 to the extent there are any advances outstanding on the line of credit.
During the period ended January 31, 2008, the fund did not utilize the line.
11. FUND LITIGATION
On July 6, 2003, Adelphia Communications Corp. ("Adelphia") and related parties,
along with its Official Committee of Unsecured Creditors, (collectively
"Plaintiffs") filed an adversary proceeding in the then-pending Adelphia
bankruptcy case in the U.S. Bankruptcy Court for the Southern District of New
York against more than 400 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 CLOs I - III, Franklin Floating Rate Daily
Access Fund (individually and as successor to the Franklin Floating Rate Trust's
interests in the credit facilities at issue), Franklin Floating Rate Trust, and
Franklin Floating Rate Master Series (collectively the "Franklin Defendants").
In addition, Advisers was originally named as a defendant, but later dismissed
from the lawsuit. The complaint alleged 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 and sought avoidance of
the loans and recovery of fraudulent transfers (the "Complaint"). The agent bank
and investment bank defendants moved to dismiss the Complaint, which the
Bankruptcy Court granted in part and denied in part, with leave to amend the
Complaint. The reference to the bankruptcy was withdrawn and the matter is now
before the United States District Court for the Southern District of New York.
On October 22, 2007, Plaintiffs filed an amended complaint, largely duplicating
the allegations in the original Complaint, and adding hundreds of additional
syndicate lender defendants (the "Amended Complaint"). The Franklin Defendants
moved to dismiss the Amended Complaint on December 20, 2007. Discovery for the
non-agent bank defendants, including the Franklin Defendants, continues to be
stayed.
Because the litigation is still in its earliest stages, it is not possible to
predict the outcome of the lawsuit.
FRANKLIN FLOATING RATE MASTER TRUST
FRANKLIN FLOATING RATE MASTER SERIES
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
12. REGULATORY AND LITIGATION MATTERS
As part of various investigations by a number of federal, state, and foreign
regulators and governmental entities, including the Securities and Exchange
Commission (SEC), 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 (marketing support), Franklin Resources,
Inc. and certain of its subsidiaries (collectively, the Company), entered into
settlements with certain of those regulators and governmental entities.
Specifically, the Company entered into settlements with the SEC, among others,
concerning market timing and marketing support.
On June 6, 2007, the SEC posted for public comment the proposed plan of
distribution for the market timing settlement. Once the SEC approves the final
plan of distribution, disbursements of settlement monies will be made promptly
to individuals who were shareholders of the designated funds during the relevant
period, in accordance with the terms and conditions of the settlement and plan.
In addition, the Company, as well as most of the mutual funds within Franklin
Templeton Investments and certain current or former officers, Company directors,
fund directors, and employees, have been named in private lawsuits (styled as
shareholder class actions, or as derivative actions on behalf of either the
named funds or Franklin Resources, Inc.). The lawsuits relate to the industry
practices referenced above.
The Company and Fund management believe that the claims made in each of the
private lawsuits referenced above are without merit and intend to defend against
them vigorously. The Company cannot predict with certainty the eventual outcome
of these lawsuits, nor whether they will have a material negative impact on the
Company. If it is determined that the Company bears responsibility for any
unlawful or inappropriate conduct that caused losses to the Trust, it is
committed to making the Trust or its shareholders whole, as appropriate.
13. NEW ACCOUNTING PRONOUNCEMENTS
The Fund adopted Financial Accounting Standards Board (FASB) issued FASB
Interpretation No. 48, "Accounting for Uncertainty in Income Taxes - an
Interpretation of FASB Statement No. 109" (FIN 48), on January 31, 2008. FIN 48
clarifies the accounting for uncertainty in tax positions taken or expected to
be taken in a tax return. FIN 48 provides guidance on the measurement,
recognition, classification and disclosure of tax positions, along with
accounting for the related interest and penalties. The Fund has reviewed the tax
positions for each of the three open tax years as of July 31, 2007 and has
determined that the implementation of FIN 48 did not have a material impact on
the Fund's financial statements.
In September 2006, FASB issued FASB Statement No. 157, "Fair Value Measurement"
(SFAS 157), which defines fair value, establishes a framework for measuring fair
value, and expands disclosures about fair value measurements. SFAS 157 is
effective for fiscal years beginning after November 15, 2007, and interim
periods within those fiscal years. The Trust believes the adoption of SFAS 157
will have no material impact on its financial statements.
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 1-954-527-7678 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 U.S. 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 U.S. 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 12(a)(1), 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 John B. Wilson 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. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT
COMPANIES. N/A
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT
INVESTMENT COMPANY AND AFFILIATED PURCHASERS. N/A
ITEM 10. 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 11. 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 12. EXHIBITS.
(a)(1) Code of Ethics
(a)(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
of Galen G. Vetter, Chief Executive Officer - Finance and Administration, and
Laura F. Fergerson, Chief Financial Officer and Chief Accounting Officer
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 of
Galen G. Vetter, Chief Executive Officer - Finance and Administration, and Laura
F. Fergerson, Chief Financial Officer and Chief Accounting 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/GALEN G. VETTER
------------------
Galen G. Vetter
Chief Executive Officer - Finance and Administration
Date March 27, 2008
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/GALEN G. VETTER
------------------
Galen G. Vetter
Chief Executive Officer - Finance and Administration
Date March 27, 2008
By /S/LAURA F. FERGERSON
---------------------
Laura F. Fergerson
Chief Financial Officer and Chief Accounting Officer
Date March 27, 2008