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
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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
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Date of reporting period: 1/31/10
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ITEM 1. REPORTS TO STOCKHOLDERS.
Franklin Floating Rate Master Trust
Franklin Floating Rate Master Series
Semiannual Report |
The accompanying notes are an integral part of these financial statements.
Franklin Floating Rate Master Trust
Franklin Floating Rate Master Series
FINANCIAL HIGHLIGHTS
Six Months Ended
January 31, 2010 Year Ended July 31,
(unaudited) 2009 2008 2007 2006 2005
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PER SHARE OPERATING PERFORMANCE
(for a share outstanding throughout the period)
Net asset value, beginning of period $8.24 $9.02 $9.51 $9.77 $9.85 $9.84
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Income from investment operations/a:
Net investment income 0.150 0.325 0.549 0.655 0.565 0.398
Net realized and unrealized gains (losses) 0.418 (0.780) (0.493) (0.258) (0.076) 0.013
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Total from investment operations 0.568 (0.455) 0.056 0.397 0.489 0.411
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Less distributions from net investment income (0.148) (0.325) (0.546) (0.657) (0.569) (0.401)
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Net asset value, end of period $8.66 $8.24 $9.02 $9.51 $9.77 $9.85
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Total return/b 6.82% (4.65)% 0.64% 4.09% 5.09% 4.23%
RATIOS TO AVERAGE NET ASSETS/c
Expenses before waiver and payments by
affiliates 1.00% 1.02% 1.00% 0.95% 0.95% 0.95%
Expenses net of waiver and payments by
affiliates/d 0.80% 0.69% 0.60% 0.60% 0.60% 0.60%
Net investment income 3.56% 4.27% 6.16% 6.70% 5.76% 4.08%
SUPPLEMENTAL DATA
Net assets, end of period (000's) $393,702 $340,579 $447,246 $1,069,720 $1,140,854 $1,121,133
Portfolio turnover rate 23.62% 53.88% 28.10% 77.72% 78.29% 72.38%
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%.
Franklin Floating Rate Master Trust
Franklin Floating Rate Master Series
STATEMENT OF INVESTMENTS, JANUARY 31, 2010 (UNAUDITED)
% OF
PRINCIPAL NET
COUNTRY AMOUNT/a VALUE ASSETS
- -----------------------------------------------------------------------------------------------------------------------------------
b,c SENIOR FLOATING RATE INTERESTS
AEROSPACE & DEFENSE
BE Aerospace Inc., Term Loan B, 5.75%, 7/28/14 United States $ 2,106,659 $ 2,128,855 0.54
ILC Industries Inc., June 2006 Term Loan, 2.231%, United States 720,764 693,735 0.18
2/24/12
L-1 Identity Solutions Operating Co.,
Tranche B-1 Term Loan, 6.75%, 8/05/13 United States 536,981 538,770 0.14
Tranche B-2 Term Loan, 7.25%, 8/05/13 United States 792,269 794,909 0.20
Spirit Aerosystems Inc. (Onex Wind Finance LP), Term United States 2,921,911 2,873,518 0.73
B-1 Loan, 2.001%, 9/30/13
TASC Inc., Tranche B Term Loan, 5.75%, 12/18/15 United States 1,500,000 1,510,001 0.38
TransDigm Inc., Term Loan B, 2.249%, 6/23/13 United States 2,150,000 2,104,313 0.53
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10,644,101 2.70
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AIRLINES
Delta Air Lines Inc., Term Loan, 8.75%, 9/27/13 United States 1,396,500 1,411,862 0.36
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APPAREL, ACCESSORIES & LUXURY GOODS
Hanesbrands Inc., New Term Loan, 5.25%, 12/10/15 United States 1,122,870 1,139,245 0.29
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APPLICATION SOFTWARE
CCC Information Services Group Inc., Term Loan B, United States 555,430 538,073 0.14
2.49%, 2/10/13 ------------ ----------
AUTO PARTS & EQUIPMENT
Cooper-Standard Automotive Canada Ltd.,
DIP Term Loan B, 8.00%, 8/04/10 Canada 160,472 161,297 0.04
Multicurrency Revolver (CAD), 5.00%, 12/23/10 Canada 69,254 68,864 0.02
Term Loan A, 5.00%, 12/23/10 Canada 59,188 58,855 0.01
d Term Loan B, 4.75%, 12/23/11 Canada 180,476 179,461 0.05
Cooper-Standard Automotive Inc.,
DIP Term Loan A, 8.00%, 8/04/10 United States 240,709 241,946 0.06
Dollar Revolver, 5.00%, 12/23/10 United States 139,879 139,093 0.04
Dual Borrower Dual Currency Revolver, 5.00%, 12/23/10 United States 75,163 74,741 0.02
dTerm Loan C, 4.75%, 12/23/11 United States 450,821 448,286 0.11
dTerm Loan D, 4.75%, 12/23/11 United States 501,135 498,316 0.13
Term Loan E, 5.00%, 12/23/11 United States 248,704 247,305 0.06
Dayco Products LLC (Mark IV),
e Term Loan B, 10.50%, 5/13/14 United States 810,343 1,547,812 0.39
e,f Term Loan C, PIK, 12.50%, 11/13/14 United States 116,326 222,221 0.06
U.S. Term Loan, 10.00%, 11/13/12 United States 862,500 862,500 0.22
Federal-Mogul Corp., Term Loan B, 2.168%, 12/27/14 United States 2,389,072 2,030,711 0.52
Key Safety Systems Inc., Term Loan B, 2.481% - 2.483%, United States 4,524,125 3,400,636 0.86
3/10/14
Mark IV Industries Corp., Canadian Term Loan, 10.00%, Canada 287,500 287,500 0.07
11/13/12
Metzeler Automotive Profile Systems GmbH Germany 80,236 80,637 0.02
(Cooper-Standard), DIP Term Loan C, 8.00%, 8/02/10
Tenneco Inc., Tranche B-1 Credit Linked, 5.733%, 3/16/14 United States 3,033,333 3,031,437 0.77
TRW Automotive Inc.,
Tranche A2 Term Loan, 5.00%, 5/30/15 United States 1,860,000 1,866,975 0.47
Tranche B3 Term Loan, 5.00%, 5/30/16 United States 860,000 861,882 0.22
United Components Inc., Term Loan D, 2.25%, 6/29/12 United States 746,564 694,305 0.18
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17,004,780 4.32
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BROADCASTING
Bresnan Communications LLC,
Add-On Term Loan, 2.24% - 2.25%, 9/29/13 United States 537,139 524,158 0.13
Initial Term Loan B, 2.24% - 2.28%, 9/29/13 United States 297,750 290,554 0.07
Franklin Floating Rate Master Trust
Franklin Floating Rate Master Series
% OF
PRINCIPAL NET
COUNTRY AMOUNT/a VALUE ASSETS
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Citadel Broadcasting Corp., Term Loan B, 1.99%, 6/12/14 United States $ 1,105,288 $ 897,218 0.23
Discovery Communications Inc.,
Term Loan B, 2.251%, 5/14/14 United States 2,842,718 2,832,058 0.72
Term Loan C, 5.25%, 5/14/14 United States 893,250 905,160 0.23
Entravision Communications Corp., Term Loan B, 5.51%, United States 3,085,227 3,026,416 0.77
3/29/13
Gray Television Inc., Term Loan B, 3.75%, 12/31/14 United States 3,922,440 3,613,547 0.92
LBI Media Inc., Term Loan B, 1.731%, 3/31/12 United States 962,500 832,563 0.21
Mediacom LLC, Tranche D, 5.50%, 3/31/17 United States 798,000 802,190 0.20
g Mission Broadcasting Inc., Term Loan B, 5.00%, 10/01/12 United States 1,772,262 1,734,601 0.44
g Nexstar Broadcasting Inc., Term Loan B, 5.00% - 6.25%, United States 1,675,463 1,639,860 0.42
10/01/12
g Sinclair Television Group Inc., Tranche B Term Loan, United States 2,000,000 2,013,500 0.51
6.50%, 10/29/15
Univision Communications Inc., Initial Term Loan, United States 4,500,000 3,930,750 1.00
2.501%, 9/29/14
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23,042,575 5.85
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BUILDING PRODUCTS
Goodman Global Holdings Co. Inc., Term Loan B, 6.25%, United States 1,462,584 1,477,814 0.38
2/13/14 ------------ ----------
CABLE & SATELLITE
CSC Holdings Inc. (Cablevision), Incremental Term Loan United States 1,877,039 1,856,362 0.47
B-2, 2.004% - 2.046%, 3/29/16
DIRECTV Holdings LLC, Term Loan C, 5.25%, 4/13/13 United States 2,558,777 2,573,170 0.65
Insight Midwest Holdings, Term Loan B, 2.25%, 4/02/14 United States 2,657,500 2,570,302 0.65
MCC Iowa, Term Loan E, 6.50%, 1/03/16 United States 1,229,769 1,248,215 0.32
UPC Financing Partnership,
Term Loan N, 2.18%, 12/31/14 Netherlands 1,722,809 1,657,845 0.42
Term Loan T, 3.93%, 12/31/16 Netherlands 2,777,191 2,736,228 0.69
WideOpenWest Finance LLC, Series A New Term Loan, 8.75% United States 800,000 803,500 0.21
5/01/13 ------------ ----------
13,445,622 3.41
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CASINOS & GAMING
Ameristar Casinos Inc., Term Loan B, 3.493% - 3.501%, United States 1,702,452 1,693,940 0.43
11/10/12
CCM Merger Inc. (MotorCity Casino), Term Loan B, 8.50%, United States 2,100,527 2,080,398 0.53
7/13/12
Green Valley Ranch Gaming LLC, Term Loan B, 2.249% - United States 52,843 35,526 0.01
2.281%, 2/16/14
Harrah's Operating Co. Inc., Term Loan B-4, 9.50%, United States 3,400,000 3,472,723 0.88
10/31/16
Penn National Gaming Inc., Term Loan B, 1.98% - 2.03%, United States 3,119,587 3,067,593 0.78
10/03/12
VML U.S. Finance LLC (Venetian Macau),
Delayed Draw, 4.76%, 5/25/12 Macau 2,093,281 1,998,756 0.50
New Project Term Loans, 4.76%, 5/25/13 Macau 1,605,020 1,532,543 0.39
Term Loan B, 4.76%, 5/25/13 Macau 1,517,079 1,448,573 0.37
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15,330,052 3.89
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COMMERCIAL PRINTING
Cenveo Corp.,
Delayed Draw Term Loan, 4.753%, 6/21/13 United States 9,766 9,733 0.00 h
Term Loan C, 4.753%, 6/21/13 United States 989,214 985,814 0.25
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995,547 0.25
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COMMUNICATIONS EQUIPMENT
Brocade Communications Systems Inc., Term Loan, 7.00%, United States 408,004 411,523 0.11
10/07/13
Franklin Floating Rate Master Trust
Franklin Floating Rate Master Series
% OF
PRINCIPAL NET
COUNTRY AMOUNT/a VALUE ASSETS
- -----------------------------------------------------------------------------------------------------------------------------------
CommScope Inc., Term Loan B, 2.731% - 2.751%, 12/26/14 United States $ 771,448 $ 760,262 0.19
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1,171,785 0.30
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CONSTRUCTION & ENGINEERING
URS Corp., Term Loan B, 2.481% - 2.54%, 5/15/13 United States 1,875,245 1,856,024 0.47
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CONSTRUCTION & FARM MACHINERY & HEAVY TRUCKS
Bucyrus International Inc., Tranche B Dollar Term Loan, United States 1,263,835 1,222,760 0.31
1.74% - 1.78%, 5/04/14
Manitowoc Co. Inc., Term Loan B, 7.50%, 11/06/14 United States 3,629,000 3,620,682 0.92
Oshkosh Truck Corp., Term Loan B, 6.26%, 12/06/13 United States 2,242,617 2,255,741 0.57
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7,099,183 1.80
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DATA PROCESSING & OUTSOURCED SERVICES
Affiliated Computer Services Inc.,
Additional Term Loan, 2.231%, 3/20/13 United States 1,110,824 1,107,978 0.28
Term Loan B, 2.231%, 3/20/13 United States 1,248,000 1,244,803 0.32
Emdeon Business Services LLC, First Lien Term Loan, United States 2,718,787 2,661,012 0.67
2.26%, 11/16/13
Fidelity National Information Services Inc., Tranche C United States 628,613 632,149 0.16
Term Loan, 4.481%, 1/18/12
First Data Corp., Term Loan B-2, 2.999% - 3.001%, United States 1,260,926 1,093,241 0.28
9/24/14
Lender Processing Services Inc., Term Loan B, 2.731%, United States 588,531 589,022 0.15
7/02/14
Metavante Corp., Term Loan B, 3.531%, 11/01/14 United States 2,293,582 2,295,492 0.58
SunGard Data Systems Inc.,
Incremental Term Loan, 6.75%, 2/28/14 United States 1,387,724 1,403,682 0.36
Tranche B U.S. Term Loan, 3.869% - 3.90%, 2/28/16 United States 1,887,966 1,861,220 0.47
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12,888,599 3.27
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DISTILLERS & VINTNERS
Constellation Brands Inc.,
Extended Term Loan B, 3.00%, 6/05/15 United States 253,545 251,200 0.06
Term Loan B, 1.75%, 6/05/13 United States 513,946 509,192 0.13
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760,392 0.19
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DIVERSIFIED CHEMICALS
Ashland Inc., Term Loan B, 7.65%, 5/13/14 United States 942,396 955,585 0.24
Celanese U.S. Holdings LLC, Dollar Term Loan, 2.001%, United States 1,758,125 1,697,385 0.43
4/02/14
Huntsman International LLC, Term Loan B, 1.989% - United States 2,806,535 2,689,763 0.69
1.999%, 4/21/14 ------------ ----------
5,342,733 1.36
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DIVERSIFIED REAL ESTATE ACTIVITIES
CB Richard Ellis Services Inc., Term Loan B, 6.00% - United States 1,702,293 1,673,036 0.42
6.25%, 12/20/13 ------------ ----------
DIVERSIFIED SUPPORT SERVICES
ARAMARK Corp.,
Synthetic L/C, 2.113%, 1/26/14 United States 284,655 273,268 0.07
Term Loan B, 2.126%, 1/26/14 United States 4,328,368 4,155,220 1.05
JohnsonDiversey Inc., Tranche B Dollar Term Loan, United States 1,505,303 1,527,882 0.39
5.50%, 11/24/15
Language Line LLC, Term Loan B, 5.50%, 11/04/15 United States 1,450,000 1,457,250 0.37
West Corp.,
Term Loan B-2, 2.606% - 2.624%, 10/24/13 United States 535,281 516,355 0.13
Term Loan B-3, 7.25%, 10/24/13 United States 1,778,449 1,798,457 0.46
Franklin Floating Rate Master Trust
Franklin Floating Rate Master Series
% OF
PRINCIPAL NET
COUNTRY AMOUNT/a VALUE ASSETS
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Term Loan B-4, 4.106% - 4.124%, 7/15/16 United States $ 1,307,520 $ 1,297,059 0.33
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11,025,491 2.80
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DRUG RETAIL
Rite Aid Corp.,
Tranche 3 Term Loan, 6.00%, 6/04/14 United States 596,549 566,597 0.14
Tranche 4 Term Loan, 9.50%, 6/10/15 United States 1,900,000 1,992,625 0.51
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2,559,222 0.65
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EDUCATION SERVICES
ATI Acquisition Co., Tranche B Term Loan, 8.25%, United States 650,000 633,796 0.16
12/30/14
Bright Horizons Family Solution Inc., Term Loan B, United States 1,376,531 1,381,550 0.35
7.50%, 5/21/15
Education Management LLC, Term Loan C, 2.063%, 6/01/13 United States 3,132,720 3,014,754 0.76
Laureate Education Inc.,
Closing Date Term Loan, 3.499%, 8/18/14 United States 1,311,165 1,219,019 0.31
Delayed Draw Term Loan, 3.499%, 8/18/14 United States 196,246 182,455 0.05
Series A New Term Loans, 7.00%, 8/18/14 United States 1,097,250 1,089,364 0.28
------------ ----------
7,520,938 1.91
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ELECTRICAL COMPONENTS & EQUIPMENT
Baldor Electric Co., Term Loan B, 5.25%, 1/31/14 United States 3,128,728 3,143,936 0.80
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ELECTRONIC EQUIPMENT & INSTRUMENTS
Itron Inc., Dollar Term Loan, 3.99%, 4/18/14 United States 2,078,183 2,068,821 0.53
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ELECTRONIC MANUFACTURING SERVICES
FCI USA,
Term Loan B1, 3.617%, 11/01/13 United States 1,012,350 948,235 0.24
Term Loan B5B, 3.617%, 11/03/14 United States 1,012,350 954,140 0.24
Flextronics International USA Inc.,
Term Loan A, 2.481% - 2.501%, 10/01/14 United States 445,061 421,231 0.11
Term Loan A-1, 2.501%, 10/01/14 United States 127,891 121,043 0.03
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2,444,649 0.62
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ENVIRONMENTAL & FACILITIES SERVICES
Advanced Disposal Services Inc., Term Loan B, 6.00%, United States 1,170,000 1,172,925 0.30
1/14/15
Casella Waste Systems Inc., Term Loan B, 7.00%, 4/09/14 United States 1,418,521 1,432,706 0.36
Duratek Inc. (EnergySolutions), Term Loan B, 4.01%, United States 747,932 739,518 0.19
6/07/13
EnergySolutions LLC,
Synthetic A Deposit, 3.99%, 6/07/13 United States 1,060,905 1,048,970 0.26
Synthetic L/C, 3.99%, 6/07/13 United States 111,096 109,846 0.03
Term Loan B, 4.01%, 6/07/13 United States 1,558,922 1,541,384 0.39
f EnviroSolutions Inc., Initial Term Loan, PIK, 12.00%, United States 2,247,125 1,679,725 0.43
7/07/12
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7,725,074 1.96
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FOOD DISTRIBUTORS
JRD Holdings Inc., Term Loan, 2.49% - 2.51%, 7/02/14 United States 1,441,935 1,398,677 0.36
Wm. Wrigley Jr. Co.,
Term Loan B1, 3.063%, 12/17/12 United States 265,328 266,530 0.07
Term Loan B2, 3.313%, 10/06/14 United States 371,459 373,514 0.09
------------ ----------
2,038,721 0.52
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FOOD RETAIL
Pantry Inc.,
Delayed Draw Term Loan, 1.74%, 5/14/14 United States 230,450 219,216 0.06
Franklin Floating Rate Master Trust
Franklin Floating Rate Master Series
% OF
PRINCIPAL NET
COUNTRY AMOUNT/a VALUE ASSETS
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Term Loan B, 1.74%, 5/14/14 United States $ 800,147 $ 761,140 0.19
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980,356 0.25
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GENERAL MERCHANDISE STORES
Dollar General Corp., Tranche B-1 Term Loan, 2.981% - United States 3,373,703 3,286,715 0.83
2.999%, 7/07/14 ------------ ----------
HEALTH CARE EQUIPMENT
DJO Finance LLC, Term Loan B, 3.231%, 5/20/14 United States 2,472,263 2,404,275 0.61
Fresenius SE,
Term Loan B1, 6.75%, 9/10/14 Germany 479,622 483,819 0.12
Term Loan B2, 6.75%, 9/10/14 Germany 258,378 260,639 0.07
------------ ----------
3,148,733 0.80
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HEALTH CARE FACILITIES
Community Health Systems Inc.,
Delayed Draw Term Loan, 2.506%, 7/25/14 United States 256,497 242,774 0.06
Term Loan, 2.506%, 7/25/14 United States 5,016,608 4,748,209 1.21
HCA Inc., Term Loan B-1, 2.501%, 11/18/13 United States 5,541,841 5,278,604 1.34
Health Management Associates Inc., Term Loan B, 2.001%, United States 687,498 654,364 0.17
2/28/14
HealthSouth Corp.,
Term Loan B, 2.51%, 3/10/13 United States 1,473,613 1,440,457 0.37
Term Loan B-2, 4.01%, 3/15/14 United States 1,212,847 1,204,003 0.30
Iasis Healthcare LLC,
Delayed Draw Term Loan, 2.231%, 3/14/14 United States 1,009,220 965,907 0.24
Initial Term Loan, 2.231%, 3/14/14 United States 2,916,168 2,791,015 0.71
Synthetic L/C, 2.293%, 3/14/14 United States 273,224 261,498 0.07
LifePoint Hospitals Inc., Term Loan B, 1.887%, 4/15/12 United States 1,920,414 1,887,492 0.48
Psychiatric Solutions Inc., Term Loan, 2.006% - 2.154%, United States 1,883,864 1,820,755 0.46
7/01/12
Vanguard Health Holding Co. II LLC, Initial Term Loan, United States 4,157,487 4,177,754 1.06
5.75%, 1/29/16 ------------ ----------
25,472,832 6.47
------------ ----------
HEALTH CARE SERVICES
Alliance HealthCare Services Inc., Initial Term Loan, United States 1,500,000 1,495,157 0.38
5.50%, 6/02/16
AMR Holdco/EmCare Holdco, Term Loan B, 2.233%, 2/10/12 United States 1,196,677 1,160,777 0.29
DaVita Inc., Term Loan B-1, 1.74% - 1.76%, 10/05/12 United States 4,577,225 4,484,119 1.14
Fresenius Medical Care Holdings Inc., Term Loan B, Germany 916,531 897,245 0.23
1.621% - 1.626%, 3/31/13
Team Finance LLC, Term Loan B, 2.251% - 2.267%, 11/23/12 United States 1,137,091 1,088,765 0.28
VICAR Operating Inc., Incremental Term Loan, 1.75%, United States 875,250 856,423 0.22
5/16/11 ------------ ----------
9,982,486 2.54
------------ ----------
HEALTH CARE SUPPLIES
g Bausch and Lomb Inc.,
Delayed Draw Term Loan, 3.501%, 4/28/15 United States 528,207 511,866 0.13
Parent Term Loan, 3.501%, 4/28/15 United States 2,175,107 2,107,816 0.54
------------ ----------
2,619,682 0.67
------------ ----------
HOUSEHOLD PRODUCTS
Prestige Brands Inc., Term Loan B, 4.50%, 4/06/11 United States 1,148,984 1,137,494 0.29
------------ ----------
HOUSEWARES & SPECIALTIES
Jarden Corp.,
Term Loan B1, 2.001%, 1/24/12 United States 486,091 483,129 0.12
Term Loan B2, 2.001%, 1/24/12 United States 497,335 492,207 0.13
Term Loan B4, 3.501%, 1/26/15 United States 2,273,726 2,285,081 0.58
Franklin Floating Rate Master Trust
Franklin Floating Rate Master Series
% OF
PRINCIPAL NET
COUNTRY AMOUNT/a VALUE ASSETS
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Jostens IH Corp. (Visant Holding Corp.), Term Loan C, United States $ 1,824,366 $ 1,809,164 0.46
2.232%, 10/04/11 ------------ ----------
5,069,581 1.29
------------ ----------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS
Dynegy Holdings Inc.,
Term L/C Facility, 3.99%, 4/02/13 United States 2,188,190 2,140,910 0.54
Term Loan B, 3.99%, 4/02/13 United States 252,367 246,914 0.06
NRG Energy Inc.,
Credit Link, 2.001%, 2/01/13 United States 1,728,754 1,676,892 0.43
Term Loan, 1.981% - 2.001%, 2/01/13 United States 2,938,614 2,850,456 0.73
Texas Competitive Electric Holdings Co. LLC,
Term Loan B-2, 3.731% - 3.751%, 10/10/14 United States 2,836,026 2,329,480 0.59
Term Loan B-3, 3.731% - 3.751%, 10/10/14 United States 977,500 798,156 0.20
------------ ----------
10,042,808 2.55
------------ ----------
INDUSTRIAL CONGLOMERATES
Sensus Metering Systems Inc., Term Loan B-3, 7.00%, United States 1,781,859 1,788,541 0.45
6/17/13
TriMas Co. LLC,
Term Loan B, 6.00%, 12/15/15 United States 1,343,300 1,266,060 0.32
Tranche B-1 L/C, 6.00%, 8/02/11 United States 320,405 301,982 0.08
------------ ----------
3,356,583 0.85
------------ ----------
INDUSTRIAL MACHINERY
Amsted Industries Inc., Delayed Draw, 2.251% - 2.278%, United States 991,584 950,682 0.24
4/05/13
CI Acquisition Inc. (Chart Industries), Term Loan B, United States 962,662 953,035 0.24
2.313%, 10/17/12
Husky Injection Molding Systems Ltd. (Ontario Inc.), Canada 1,248,000 1,244,880 0.32
Term Loan, 3.501%, 12/14/12
Mueller Water Products Inc., Term Loan B, 5.239% - United States 2,169,402 2,154,216 0.55
5.251%, 5/24/14
RBS Global Inc. (Rexnord),
Incremental Tranche B-2, 2.50%, 7/22/13 United States 1,579,877 1,470,601 0.37
Tranche B-1 Term Loan B, 2.75% - 2.813%, 7/22/13 United States 5,057,324 4,785,493 1.22
------------ ----------
11,558,907 2.94
------------ ----------
INTEGRATED TELECOMMUNICATION SERVICES
Wind Telecomunicazioni SpA,
Term Loan B-2, 3.926%, 5/26/13 Italy 2,650,000 2,591,395 0.66
Term Loan C-2, 4.926%, 5/26/14 Italy 2,650,000 2,593,687 0.66
Windstream Corp., Tranche B-2 Term Loan, 3.01%, 12/17/15 United States 1,835,098 1,821,335 0.46
------------ ----------
7,006,417 1.78
------------ ----------
INTERNET RETAIL
Ticketmaster Entertainment Inc., Term Loan B, 7.00%, United States 437,143 434,957 0.11
7/25/14 ------------ ----------
INTERNET SOFTWARE & SERVICES
Springboard Finance LLC (Skype), New Dollar Term Loan, United States 1,150,000 1,169,304 0.30
9.00%, 11/19/14 ------------ ----------
g IT CONSULTING & OTHER SERVICES
Acxiom Corp., Term Loan B-2, 3.249%, 3/15/15 United States 742,711 740,854 0.19
CACI International Inc., Term B-2 Loan, 3.75%, 5/03/11 United States 797,884 794,393 0.20
------------ ----------
1,535,247 0.39
------------ ----------
LEISURE FACILITIES
24 Hour Fitness Worldwide Inc., Term Loan B, 2.76%, United States 2,317,482 2,195,814 0.56
6/08/12
Franklin Floating Rate Master Trust
Franklin Floating Rate Master Series
% OF
PRINCIPAL NET
COUNTRY AMOUNT/a VALUE ASSETS
- -----------------------------------------------------------------------------------------------------------------------------------
Universal City Development Partners Ltd., Term Loan, United States $ 2,000,000 $ 2,025,000 0.51
6.50%, 11/06/14 ------------ ----------
4,220,814 1.07
------------ ----------
LEISURE PRODUCTS
PlayPower Inc., Term Loan B, 5.25% - 5.26%, 6/30/12 United States 569,011 537,716 0.14
------------ ----------
LIFE & HEALTH INSURANCE
Conseco Inc., Term Loan, 7.50%, 10/10/13 United States 5,321,340 5,075,228 1.29
------------ ----------
LIFE SCIENCES TOOLS & SERVICES
Life Technologies Corp., Term Loan B, 5.25%, 11/21/15 United States 320,767 322,972 0.08
------------ ----------
METAL & GLASS CONTAINERS
Anchor Glass Container Corp., Term Loan, 6.75%, 6/20/14 United States 1,292,539 1,306,541 0.33
Crown Americas LLC,
Additional Term B Dollar Loan, 1.983%, 11/15/12 United States 615,385 610,257 0.16
Term B Dollar Loan, 1.983%, 11/15/12 United States 763,997 757,630 0.19
Owens-Brockway Glass Container Inc., Term Loan B, United States 1,137,990 1,114,163 0.28
1.732%, 6/14/13 ------------ ----------
3,788,591 0.96
------------ ----------
MOVIES & ENTERTAINMENT
Carmike Cinemas Inc., Term Loan B, 5.75%, 1/27/16 United States 640,000 640,667 0.16
Cinemark USA Inc., Term Loan, 1.99% - 2.03%, 10/05/13 United States 756,828 745,160 0.19
d Metro-Goldwyn-Mayer Inc., Term Loan B, 20.50%, 4/08/12 United States 2,626,357 1,584,843 0.40
Regal Cinemas Corp., Term Loan, 4.001%, 10/27/13 United States 3,629,402 3,639,735 0.93
Zuffa LLC, Incremental Term Loan, 7.50%, 6/19/15 United States 1,296,750 1,306,476 0.33
------------ ----------
7,916,881 2.01
------------ ----------
OIL & GAS DRILLING
Dresser Inc., Term Loan B, 2.521%, 5/04/14 United States 2,245,638 2,158,058 0.55
------------ ----------
OIL & GAS STORAGE & TRANSPORTATION
Targa Resources Inc., Term Loan, 6.00%, 7/05/16 United States 1,460,000 1,467,300 0.37
------------ ----------
PACKAGED FOODS & MEATS
B&G Foods Inc., Term Loan C, 2.26%, 2/23/13 United States 793,814 782,238 0.20
Dean Foods Co., Term Loan B, 1.615% - 1.635%, 4/02/14 United States 1,075,604 1,046,473 0.26
Michael Foods Inc., Term Loan B, 6.50%, 5/01/14 United States 1,402,487 1,418,704 0.36
------------ ----------
3,247,415 0.82
------------ ----------
PAPER PACKAGING
g Graham Packaging Co. LP, Term Loan C, 6.75%, 4/05/14 United States 1,992,475 2,013,501 0.51
Reynolds Consumer Products Holdings Inc., U.S. Term United States 2,900,000 2,943,138 0.75
Loan, 6.25%, 11/05/15
Rock-Tenn Co., Term Loan B, 5.75%, 3/05/14 United States 750,000 750,938 0.19
------------ ----------
5,707,577 1.45
------------ ----------
PAPER PRODUCTS
Domtar Corp., Term Loan, 1.608%, 3/07/14 United States 400,719 396,161 0.10
Georgia-Pacific LLC,
Additional Term Loan, 2.231% - 2.251%, 12/20/12 United States 416,563 409,117 0.10
Term Loan B, 2.251% - 2.256%, 12/20/12 United States 1,088,518 1,069,061 0.27
g Term Loan C, 3.481% - 3.506%, 12/23/14 United States 1,932,840 1,934,522 0.49
Franklin Floating Rate Master Trust
Franklin Floating Rate Master Series
% OF
PRINCIPAL NET
COUNTRY AMOUNT/a VALUE ASSETS
- -----------------------------------------------------------------------------------------------------------------------------------
Graphic Packaging International Inc., 2008 Incremental United States $ 789,344 $ 777,721 0.20
Term Loan, 2.999% - 3.001%, 5/16/14 ------------ ----------
4,586,582 1.17
------------ ----------
PERSONAL PRODUCTS
Chattem Inc., Term Loan B, 1.983%, 1/02/13 United States 887,665 885,446 0.23
Herbalife International Inc., Term Loan B, 1.73%, United States 1,136,441 1,102,347 0.28
7/21/13 ------------ ----------
1,987,793 0.51
------------ ----------
PHARMACEUTICALS
Mylan Inc., Term Loan B, 3.50% - 3.563%, 10/02/14 United States 1,692,802 1,676,104 0.43
Warner Chilcott Co. LLC,
Term Loan A, 5.50%, 10/30/14 United States 915,254 919,144 0.23
Term Loan B2, 5.75%, 4/30/15 United States 1,006,780 1,010,616 0.26
Warner Chilcott Corp.,
Additional Term Loan, 5.75%, 4/30/15 United States 800,339 803,560 0.20
Term Loan B1, 5.75%, 4/30/15 United States 457,627 459,371 0.12
------------ ----------
4,868,795 1.24
------------ ----------
PROPERTY & CASUALTY INSURANCE
Affirmative Insurance Holdings Inc., Term Loan, 9.25%, United States 591,251 399,095 0.10
1/31/14 ------------ ----------
PUBLISHING
Dex Media East LLC, Term Loan B, 2.74% - 2.75%, 10/24/14 United States 542,820 502,108 0.13
Dex Media West LLC, Term Loan B, 7.50%, 10/24/14 United States 3,607,232 3,562,142 0.90
Newsday LLC, Floating Rate Term Loan, 6.501%, 8/01/13 United States 2,400,000 2,424,000 0.62
g R.H. Donnelley Inc., Term Loan B, 9.25%, 10/24/14 United States 5,102,082 5,089,327 1.29
d Tribune Co.,
g Initial Tranche B Advances, 5.25%, 5/16/14 United States 6,419,555 4,036,295 1.03
Term Loan X, 5.00%, 2/20/49 United States 1,042,571 635,969 0.16
Wenner Media LLC, Term Loan B, 1.981%, 10/02/13 United States 839,319 788,960 0.20
------------ ----------
17,038,801 4.33
------------ ----------
RAILROADS
Kansas City Southern Railway Co., Term Loan B, 1.99% - United States 1,485,874 1,443,156 0.37
2.04%, 4/26/13 ------------ ----------
RESEARCH & CONSULTING SERVICES
Alix Partners LLP, Term Loan C, 2.24% - 2.26%, 10/12/13 United States 1,458,727 1,414,054 0.36
Nielsen Finance LLC (VNU Inc.),
Class A Term Loan, 2.231%, 8/09/13 United States 2,230,846 2,139,223 0.54
Class B Term Loan, 3.981%, 5/02/16 United States 1,514,056 1,480,530 0.38
------------ ----------
5,033,807 1.28
------------ ----------
SECURITY & ALARM SERVICES
Protection One Alarm Monitoring Inc.,
Tranche B-1, 2.48%, 3/31/12 United States 124,755 119,764 0.03
Tranche B-2, 6.25%, 3/31/14 United States 906,534 902,002 0.23
------------ ----------
1,021,766 0.26
------------ ----------
SEMICONDUCTORS
Fairchild Semiconductor Corp., Incremental Term Loan, United States 1,670,250 1,621,186 0.41
2.75%, 6/26/13 ------------ ----------
SPECIALIZED CONSUMER SERVICES
Affinion Group Inc., Term Loan B, 2.731%, 10/17/12 United States 3,323,115 3,235,884 0.82
Franklin Floating Rate Master Trust
Franklin Floating Rate Master Series
% OF
PRINCIPAL NET
COUNTRY AMOUNT/a VALUE ASSETS
- -----------------------------------------------------------------------------------------------------------------------------------
Brickman Group Holdings Inc., Term Loan B, 2.251%, United States $ 1,200,000 $ 1,142,000 0.29
1/23/14 ------------ ----------
4,377,884 1.11
------------ ----------
SPECIALTY CHEMICALS
Brenntag Holding GmbH & Co. KG,
Acquisition Facility, 1.999% - 2.143%, 1/20/14 Germany 362,919 355,661 0.09
Term Loan B2, 1.981% - 1.999%, 1/20/14 United States 508,140 497,977 0.13
Cognis GmbH, Term Loan C , 2.254%, 9/15/13 Germany 2,300,000 2,238,188 0.57
Compass Minerals Group Inc., Term Loan, 1.76%, 12/22/12 United States 951,256 946,500 0.24
g Hexion Specialty Chemicals BV, Tranche C-2B Term Loan, Netherlands 1,245,849 1,186,412 0.30
4.063%, 5/03/15
g Hexion Specialty Chemicals Inc.,
Tranche C-1B Term Loan, 4.063%, 5/03/15 United States 3,111,770 2,963,314 0.75
Tranche C-4B Term Loan, 5.50%, 5/03/15 United States 900,000 864,000 0.22
Nalco Co.,
Term Loan, 6.50%, 5/13/16 United States 2,422,394 2,462,364 0.62
Term Loan B, 2.063%, 11/04/10 United States 196,971 196,936 0.05
Tranche C Term Loan, 1.983%, 5/13/16 United States 400,000 396,500 0.10
Oxbow Carbon LLC, Term Loan B, 2.251%, 5/08/14 United States 3,229,025 3,140,227 0.80
Polypore Inc., U.S. Term Loan, 2.49%, 7/03/14 United States 1,630,175 1,560,893 0.40
Rockwood Specialties Group Inc., Term Loan H, 6.00%, United States 2,023,669 2,043,905 0.52
5/15/14
Univar Inc., Opco Tranche B Term Loan, 3.231%, 10/10/14 United States 3,202,917 3,034,764 0.77
------------ ----------
21,887,641 5.56
------------ ----------
SPECIALTY STORES
g Pilot Travel Centers LLC, Term Loan B, 5.50%, 12/15/15 United States 1,800,000 1,819,928 0.46
------------ ----------
SYSTEMS SOFTWARE
Audatex North America Inc., Domestic Term Loan C, United States 1,068,760 1,046,717 0.27
2.063%, 5/16/14
Rovi Corp., Term Loan B, 6.00%, 5/02/13 United States 527,540 530,178 0.13
------------ ----------
1,576,895 0.40
------------ ----------
TRADING COMPANIES & DISTRIBUTORS
Ashtead Group PLC, Term Loan, 2.063%, 8/31/11 United Kingdom 750,875 744,305 0.19
Interline Brands,
Delayed Draw Term Loan, 2.001%, 6/23/13 United States 562,261 520,091 0.13
Term Loan B, 1.981%, 6/23/13 United States 153,059 141,580 0.04
RSC Holdings III, Second Lien Term Loan, 3.76%, 11/30/13 United States 606,796 574,181 0.14
------------ ----------
1,980,157 0.50
------------ ----------
TRUCKING
Hertz Corp.,
Credit Link, 0.253%, 12/21/12 United States 104,200 101,707 0.03
Term Loan B, 1.99% - 2.03%, 12/21/12 United States 566,254 552,704 0.14
------------ ---------
654,411 0.17
------------ ---------
WIRELESS TELECOMMUNICATION SERVICES
Intelsat Corp. (Panamsat),
Tranche B-2-A, 2.731%, 1/03/14 United States 2,401,836 2,297,130 0.59
Tranche B-2-B, 2.731%, 1/03/14 United States 2,401,101 2,296,427 0.58
Tranche B-2-C, 2.731%, 1/03/14 United States 2,401,101 2,296,427 0.58
NTELOS Inc., Term Loan B, 5.75%, 8/07/15 United States 3,279,363 3,310,107 0.84
Franklin Floating Rate Master Trust
Franklin Floating Rate Master Series
% OF
PRINCIPAL NET
COUNTRY AMOUNT/a VALUE ASSETS
- -----------------------------------------------------------------------------------------------------------------------------------
Towerco Finance LLC, Term Loan, 6.00%, 11/24/14 United States $ 1,300,000 $ 1,317,875 0.34
------------ ----------
11,517,966 2.93
------------ ----------
TOTAL SENIOR FLOATING RATE INTERESTS (COST $353,628,847) 357,408,792 90.78
------------- ---------
SHORT TERM INVESTMENTS (COST $55,728,013)
REPURCHASE AGREEMENTS
i Joint Repurchase Agreement, 0.094%, 2/01/10 United States 55,728,013 55,728,013 14.16
(Maturity Value $55,728,449)
Banc of America Securities LLC (Maturity Value
$6,774,350)
Barclays Capital Inc. (Maturity Value $6,774,350)
BNP Paribas Securities Corp. (Maturity Value
$6,774,350)
Credit Suisse Securities (USA) LLC (Maturity Value
$6,774,350)
Deutsche Bank Securities Inc. (Maturity Value
$6,224,868)
HSBC Securities (USA) Inc. (Maturity Value $7,815,916)
Morgan Stanley & Co. Inc. (Maturity Value $7,815,915)
UBS Securities LLC (Maturity Value $6,774,350)
Collateralized by U.S. Government Agency Securities,
0.50% -5.25%, 2/26/10 - 8/01/12; jU.S. Government Agency
Discount Notes, 3/31/10; j/U.S. Treasury Bills, 7/15/10 -
7/22/10; and U.S. Treasury Notes, 1.25% - 3.50%, 9/30/10 -
5/31/13 ---------------- ---------
TOTAL INVESTMENTS (COST $409,356,860) 413,136,805 104.94
OTHER ASSETS, LESS LIABILITIES (19,434,715) (4.94)
---------------- ---------
NET ASSETS 393,702,090 100.00
---------------- ---------
See Abbreviations on page xx.
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/See Note 7 regarding defaulted securities.
e/Security has been deemed illiquid because it may not be able to be
soldwithin seven days. At January 31, 2010, the aggregate value of these
securities was $1,770,033, representing 0.45% of net assets.
f/Income may be received in additional securities and/or cash.
g/A portion or all of the security purchased on a delayed delivery
basis. See Note 1(c).
h/Rounds to less than 0.01% of net assets.
i/See Note 1(b) regarding joint repurchase agreement.
j/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, 2010 (UNAUDITED)
Assets:
Investments in securities:
Cost - Unaffiliated issuers $353,628,847
Cost - Repurchase agreements 55,728,013
------------------
Total cost of investments $409,356,860
------------------
Value - Unaffiliated issuers $357,408,792
Value - Repurchase agreements 55,728,013
------------------
Total value of investments 413,136,805
Cash 9,443,013
Receivables:
Capital shares sold 197,108
Interest 984,719
------------------
Total assets 423,761,645
------------------
Liabilities:
Payables:
Investment securities purchased 28,581,298
Affiliates 241,399
Distributions to shareholders 1,136,881
Accrued expenses and other liabilities 99,977
------------------
Total liabilities 30,059,555
------------------
Net assets, at value $393,702,090
------------------
Net assets consist of:
Paid-in capital $499,675,658
Undistributed net investment income 64,694
Net unrealized appreciation (depreciation) 3,779,945
Accumulated net realized gain (loss) (109,818,207)
------------------
Net assets, at value $393,702,090
------------------
Net asset value and maximum offering price per share $8.66
($393,702,090 / 45,485,308 shares outstanding)
------------------
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 SIX MONTHS ENDED JANUARY 31, 2010 (UNAUDITED)
Investment income:
Interest $7,989,191
------------------
Expenses:
Management fees (Note 3a) 1,464,918
Administrative fees (Note 3b) 262,328
Custodian fees (Note 4) 3,555
Reports to shareholders 3,195
Professional fees 71,688
Trustees' fees and expenses 13,726
Other 20,240
------------------
Total expenses 1,839,650
Expense reductions (Note 4) (87)
Expenses waived/paid by affiliates (Note
3d) (374,645)
------------------
Net expenses 1,464,918
------------------
Net investment income 6,524,273
------------------
Realized and unrealized gains (losses):
Net realized gain (loss) from investments (1,938,295)
Net change in unrealized appreciation
(depreciation) on investments 19,791,574
------------------
Net realized and unrealized gain (loss) 17,853,279
------------------
Net increase (decrease) in net assets resulting $24,377,552
from operations ------------------
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, 2010 YEAR ENDED JULY 31,
(UNAUDITED) 2009
-----------------------------------------
Increase (decrease) in net assets:
Operations:
Net investment income $ 6,524,273 $ 14,431,468
Net realized gain (loss) from investments (1,938,295) (54,640,585)
Net change in unrealized appreciation (depreciation) on
investments 19,791,574 10,247,552
-------------------------------------------
Net increase (decrease) in net assets resulting from
operations 24,377,552 (29,961,565)
-------------------------------------------
Distributions to shareholders from net investment income (6,399,024) (14,457,547)
Capital share transactions (Note 2) 35,144,715 (62,248,468)
-------------------------------------------
Net increase (decrease) in net assets 53,123,243 (106,667,580)
Net assets:
Beginning of period 340,578,847 447,246,427
-------------------------------------------
End of period $ 393,702,090 $ 340,578,847
-------------------------------------------
Undistributed net investment income (distribution in excess of net investment
income) included in net assets:
End of period $ 64,694 $ (60,555)
-------------------------------------------
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 an open-end investment
company, consisting of one fund, the Franklin Floating Rate Master Series
(Fund). The shares are exempt from registration under the Securities Act of
1933.
The following summarizes the Fund's significant accounting policies.
a. SECURITY VALUATION
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. Methods for valuing these securities may include:
fundamental analysis based upon the underlying investment book value,
anticipated future cash flows, market changes in comparable or similar
securities, 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 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 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 29, 2010. The joint
repurchase agreement is valued at cost which approximates market value.
c. SECURITIES PURCHASED ON A DELAYED DELIVERY BASIS
The Fund may purchase securities on a 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.
Franklin Floating Rate Master Trust
Franklin Floating Rate Master Series
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 owner for inclusion in their individual income
tax return.
The Fund has reviewed the tax positions, taken on federal income tax returns,
for each of the three open tax years and as of January 31, 2010, and has
determined that no provision for income tax is required in the Fund's financial
statements.
Prior to December 23, 2009, the Fund was treated as a partnership for US income
tax purposes. On December 23, 2009, Franklin Advisers, Inc and Templeton
Investment Counsel redeemed their interests in the Fund, terminating the
partnership status for US tax purposes. The Fund has elected to be treated as a
disregarded entity for US income tax purposes, effective December 23, 2009.
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. Each Fund's net investment income is proportionately allocated to the
owner daily and paid monthly. Net capital gains (or losses) realized by the Fund
will be allocated proportionately to each owner and will not be distributed.
Distributions to owner 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, 2010, 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, 2010 July 31, 2009
-----------------------------------------------------------------------
Shares Amount Shares Amount
-----------------------------------------------------------------------
Shares sold 7,085,621 $59,935,350 12,816,839 $101,386,162
Shares redeemed (2,944,251) (24,790,635) (21,035,136) (163,634,630)
-----------------------------------------------------------------------
Net increase (decrease) 4,141,370 $35,144,715 (8,218,297) $(62,248,468)
-----------------------------------------------------------------------
Franklin Floating Rate Master Trust
Franklin Floating Rate Master Series
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
Advisers and FT Services have voluntarily agreed in advance to waive or limit
their respective fees and to assume as their own expense certain expenses
otherwise payable by the fund so that the common expenses (i.e. a combination of
management fees, administrative fees, and other expenses, but excluding
distribution fees, and acquired fund fees and expenses) for each class of the
Fund do not exceed 0.80% (other than certain non-routine expenses or costs,
including those relating to litigation, indemnification, reorganizations, and
liquidations). Advisers and FT Services may discontinue this waiver at any time
upon notice to the Fund's Board of Trustees.
E. OTHER AFFILIATED TRANSACTIONS
At January 31, 2010, Franklin Floating Rate Fund, PLC owned 100% of the Fund
outstanding shares.
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, 2010, the
custodian fees were reduced as noted in the Statement of Operations.
5. INCOME TAXES
At January 31, 2010, the cost of investments and net unrealized appreciation
(depreciation) for income tax purposes were as follows:
Franklin Floating Rate Master Trust
Franklin Floating Rate Master Series
Cost of investments $409,976,457
-----------------
Unrealized appreciation $ 9,785,820
Unrealized depreciation (6,625,472)
-----------------
Net unrealized appreciation $ 3,160,348
(depreciation) -----------------
Net investment income differs for financial statement and tax purposes primarily
due to differing treatments of defaulted securities, payments-in-kind, bond
discounts and premiums.
Net realized gains (losses) differ for financial statement and tax purposes
primarily due to differing treatments of wash sales, payments-in-kind, bond
discounts and premiums.
6. INVESTMENT TRANSACTIONS
Purchases and sales of investments (excluding short term securities) for the
period ended January 31, 2010, aggregated $109,506,354 and $78,151,231,
respectively.
7. CREDIT RISK AND DEFAULTED SECURITIES
At January 31, 2010, the Fund had 79.17% of its portfolio invested in senior
secured floating rate notes rated below investment grade. These securities may
be more sensitive to economic conditions causing greater price volatility and
are potentially subject to a greater risk of loss due to default than higher
rated securities.
The Fund held defaulted securities and/or other securities for which the income
has been deemed uncollectible. At January 31, 2010, the aggregate value of these
securities was $7,383,170, representing 1.88% of the Fund's net assets. The Fund
discontinues accruing income on securities for which income has been deemed
uncollectible and provides an estimate for losses on interest receivable. The
securities have been identified on the accompanying Statement of Investments.
8. SHAREHOLDER DISTRIBUTIONS
For the period ended January 31, 2010, the Fund made the following
distributions:
PAYMENT DATE AMOUNT PER SHARE
- ---------------------------------------------- --------------------
8/31/2009 $0.022798
9/30/2009 $0.023100
10/30/2009 $0.025104
11/30/2009 $0.025293
12/31/2009 $0.026253
1/29/2010 $0.025626
--------------------
TOTAL $0.148174
--------------------
9. CREDIT FACILITY
The Fund, together with other U.S. registered and foreign investment funds
(collectively "Borrowers"), managed by Franklin Templeton Investments, are
borrowers in a 364-day joint syndicated senior unsecured credit facility
totaling $750 million (Global Credit Facility) to provide a source of funds to
the Borrowers for temporary and emergency purposes, including the ability to
meet future unanticipated or unusually large redemption requests. On January 22,
2010, the Fund renewed the Global Credit Facility for a total of $750 million,
maturing January 21, 2011.
Under the terms of the Global Credit Facility, the Fund shall, in addition to
interest charged on any borrowings made by the Fund and other costs incurred by
the Fund, pay its share of fees and expenses incurred in connection with the
implementation and maintenance of the Global Credit Facility, based upon its
relative share of the aggregate net assets of all of the Borrowers, including an
annual commitment fee of 0.10% based upon the unused portion of the Global
Credit Facility, which is reflected in other expenses on the Statement of
Operations. During the period ended January 31, 2010, the Fund did not utilize
the Global Credit Facility.
Franklin Floating Rate Master Trust
Franklin Floating Rate Master Series
10. 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 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"), and Franklin CLOs I-III,
among other 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 was transferred to the U.S. 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,
among others, moved to dismiss the Amended Complaint on December 20, 2007. On
June 17, 2008, the court granted the motions and dismissed all of the claims
against certain defendants, including the Franklin Defendants, while leaving
other claims against other defendants outstanding. On December 8, 2008, the
court entered a stipulated order of final judgment with respect to the dismissed
claims, and Plaintiffs filed a notice of appeal from that judgment to the U.S.
Court of Appeals for the Second Circuit on January 6, 2009. All appellate
briefing has since been submitted and the parties are awaiting a final schedule
for oral argument.
11. FAIR VALUE MEASUREMENTS
The Trust follows a fair value hierarchy that distinguishes between market data
obtained from independent sources (observable inputs) and the Trust's own market
assumptions (unobservable inputs). These inputs are used in determining the
value of the Fund's investments and are summarized in the following fair value
hierarchy:
o Level 1 - quoted prices in active markets for identical securities
o Level 2 - other significant observable inputs including quoted prices
for similar securities, interest rates, prepayment speed, credit risk,
etc.)
o Level 3 - significant unobservable inputs (including the Fund's own
assumptions in determining the fair value of investments)
The inputs or methodology used for valuing securities are not an indication of
the risk associated with investing in those securities.
The following is a summary of the inputs used as of January 31, 2010, in valuing
the Fund's assets carried at fair value:
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
-----------------------------------------------------------------
ASSETS:
Investments in Securities:
Senior Floating Rate Interests $ - $ 355,638,759 $ 1,770,033 $ 357,408,792
Short Term Investments - 55,728,013 - 55,728,013
----------------------------------------------------------------
Total Investments in Securities $ - $ 411,366,772 $ 1,770,033 $ 413,136,805
----------------------------------------------------------------
At January 31, 2010, the reconciliation of assets in which significant
unobservable inputs (Level 3) were used in determining fair value, is as
follows:
Franklin Floating Rate Master Trust
Franklin Floating Rate Master Series
NET CHANGE IN
UNREALIZED
NET NET CHANGE TRANSFER APPRECIATION
BALANCE AT REALIZED IN UNREALIZED NET IN (OUT) BALANCE (DEPRECIATION) ON
BEGINNING GAIN APPRECIATION PURCHASES OF AT END OF ASSETS HELD AT
OF PERIOD (LOSS) (DEPRECIATION) (SALES) LEVEL 3 PERIOD PERIOD END
----------- ----------- ---------------- ------------ ---------- ------------- --------------------
ASSETS:
Senior Floating Rate
Interests $ - $ - $ 222,238 $ 1,547,795 $ - $ 1,770,033 $ 222,238
12. NEW ACCOUNTING PRONOUNCEMENTS
In January 2010, the Financial Accounting Standards Board (FASB) issued
Accounting Standards Update (ASU) NO. 2010-6, FAIR VALUE MEASUREMENTS AND
DISCLOSURES (TOPIC 820): IMPROVING DISCLOSURES ABOUT FAIR VALUE MEASUREMENTS,
which enhances and clarifies existing fair value measurement disclosure
requirements and is effective for interim and annual periods beginning after
December 15, 2009. The Fund is currently evaluating the impact, if any, of
applying this provision.
In March 2010, the FASB issued ASU NO. 2010-11, DERIVATIVES AND HEDGING (TOPIC
815): SCOPE EXCEPTION RELATED TO EMBEDDED CREDIT DERIVATIVES, which clarifies
existing derivatives and hedging disclosure requirements and is effective for
fiscal quarters beginning after June 15, 2010. The Fund is currently evaluating
the impact, if any, of applying this provision.
13. SUBSEQUENT EVENTS
The Fund has evaluated subsequent events through the issuance of the financial
statements and determined that no events have occurred that require disclosure.
- -----------------------------------------------------------------------------
ABBREVIATIONS
SELECTED PORTFOLIO
DIP Debtor-In-Possession
L/C Letter of Credit
PIK Payment-In-Kind
Franklin Floating Rate Master Trust
Franklin Floating Rate Master Series
SHAREHOLDER INFORMATION
PROXY VOTING POLICIES AND PROCEDURES
The Fund's investment manager 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 (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
(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 Laura F. Fergerson, Chief Executive Officer - Finance and Administration, and
Gaston Gardey, Chief Financial Officer, Chief Accounting Officer and Treasurer
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 of
Laura F. Fergerson, Chief Executive Officer - Finance and Administration, and
Gaston Gardey, Chief Financial Officer, Chief Accounting Officer and Treasurer
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/LAURA F. FERGRESON
----------------------
Laura F. Fergerson
Chief Executive Officer -
Finance and Administration
Date March 30, 2010
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/LAURA F. FERGRESON
----------------------
Laura F. Fergerson
Chief Executive Officer -
Finance and Administration
Date March 30, 2010
By /s/GASTON GARDEY
-----------------
Gaston Gardey
Chief Financial Officer and
Chief Accounting Officer
Date March 30, 2010