UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSRS
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-09869
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Franklin Floating Rate Master Trust
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(Exact name of registrant as specified in charter)
One Franklin Parkway, San Mateo, CA 94403-1906
(Address of principal executive offices) (Zip code)
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: 07/31
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Date of reporting period: 01/31/06
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Item 1. Reports to Stockholders.
FRANKLIN FLOATING RATE MASTER TRUST
FINANCIAL HIGHLIGHTS
FRANKLIN FLOATING RATE MASTER SERIES
SIX MONTHS ENDED YEAR ENDED JULY 31,
JANUARY 31, 2006 ---------------------------------------------------------------
(UNAUDITED) 2005 2004 2003 2002 2001
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PER SHARE OPERATING PERFORMANCE
(for a share outstanding
throughout the period)
Net asset value, beginning of period $ 9.85 $ 9.84 $ 9.69 $ 9.58 $ 9.88 $ 10.05
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Income from investment operations:
Net investment income 0.262 0.398 0.334 0.464 0.545 0.861
Net realized and unrealized gains
(losses) (0.017) 0.013 0.151 0.111 (0.300) (0.173)
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Total from investment operations 0.245 0.411 0.485 0.575 0.245 0.688
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Less distributions from net investment
income (0.265) (0.401) (0.335) (0.465) (0.545) (0.861)
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Net asset value, end of period $ 9.83 $ 9.85 $ 9.84 $ 9.69 $ 9.58 $ 9.88
==============================================================================
Total return a 2.50% 4.23% 5.08% 6.19% 2.52% 7.13%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (000's) $1,073,032 $1,121,133 $757,987 $218,647 $265,940 $218,545
Ratios to average net assets:
Expenses 0.95% b 0.95% 0.98% 1.02% 0.98% 1.01%
Expenses net of waiver and payments
by affiliate 0.60% b 0.60% 0.60% 0.60% 0.60% 0.62%
Net investment income 5.29% b 4.08% 3.34% 4.86% 5.55% 8.34%
Portfolio turnover rate 34.93% 72.38% 54.41% 75.69% 77.29% 37.87%
a Total return is not annualized for periods less than one year.
b Annualized.
See notes to financial statements.
FRANKLIN FLOATING RATE MASTER TRUST
STATEMENT OF INVESTMENTS, JANUARY 31, 2006 (UNAUDITED)
PRINCIPAL % OF NET
FRANKLIN FLOATING RATE MASTER SERIES COUNTRY AMOUNT d VALUE ASSETS
- -----------------------------------------------------------------------------------------------------------------------------------
BONDS (COST $3,000,000)
STEEL
a Ispat Inland ULC, senior secured note, FRN, 11.28%, 4/01/10 United States $ 3,000,000 $ 3,127,500 0.29
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a,b SENIOR FLOATING RATE INTERESTS
ADVERTISING/MARKETING SERVICES
Adams Outdoor Advertising Inc., Term Loan B, 6.62%, 10/15/12 United States 1,783,020 1,809,819 0.17
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AEROSPACE & DEFENSE
Anteon International Corp., Term Loan B, 6.318%, 12/31/10 United States 2,952,650 2,980,331 0.28
ARINC Inc., Term Loan, 6.20%, 2/24/11 United States 1,473,750 1,488,576 0.14
CACI International Inc., Term Loan B, 5.43 - 6.14%, 5/03/11 United States 4,460,947 4,507,417 0.42
c DRS Technologies Inc., Term Loan, 8.00%, 1/31/13 United States 2,627,069 2,654,435 0.25
Dyncorp International, Term Loan B, 6.813 - 7.438%, 2/08/11 United States 2,977,500 2,995,990 0.28
GenCorp Inc.,
L/C Term Loan, 7.82%, 11/30/10 United States 442,500 444,730 0.04
Term Loan B, 7.41%, 11/30/10 United States 547,500 550,260 0.05
IAP Worldwide Services Inc., First Lien Term Loan, 7.625%, 12/31/12 United States 800,000 809,500 0.07
ILC Industries Inc., Second Lien Term Loan, 10.277%, 8/24/12 United States 900,000 914,344 0.09
K&F Acquisition Inc., Term Loan C, 6.81 - 8.75%, 11/18/12 United States 2,516,105 2,547,557 0.24
MRO Acquisition Corp. (Piedmont), First Lien Term Loan, 6.57%, 8/27/10 United States 2,354,140 2,381,354 0.22
Onex Wind Finance LP (Mid-Western Aircraft), Term Loan B, 6.85%,
12/31/11 United States 1,192,753 1,210,272 0.11
SI International Inc., Term Loan, 5.78%, 2/08/11 United States 1,983,756 1,994,488 0.19
Vought Aircraft Industries Inc., Term Loan B, 7.07%, 12/22/11 United States 5,324,412 5,385,004 0.50
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30,864,258 2.88
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ALUMINUM
Novelis Corp., U.S. Term Loan, 6.011%, 1/09/12 United States 4,038,580 4,103,843 0.38
Novelis Inc., Canadian Term Loan, 6.011%, 1/09/12 Canada 2,150,796 2,185,553 0.21
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6,289,396 0.59
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APPAREL/FOOTWEAR
BCBG Max Azria Group Inc., Term Loan, 7.313 - 9.75%, 8/10/11 United States 2,000,000 1,991,250 0.19
St. John Knits International Inc., Term Loan B, 7.063%, 3/23/12 United States 873,751 881,414 0.08
The William Carter Co., Term Loan B, 6.418 - 6.541%, 7/14/12 United States 4,558,337 4,611,520 0.43
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7,484,184 0.70
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AUTO PARTS: ORIGINAL EQUIPMENT MANUFACTURER
Accuride Corp., Term Loan B, 6.25 - 6.75%, 1/31/12 United States 2,412,364 2,444,629 0.23
Cooper Standard Automotive Inc.,
Term Loan B, 6.563%, 12/23/11 Canada 3,251,753 3,265,573 0.31
FRANKLIN FLOATING RATE MASTER TRUST
Term Loan C, 6.563%, 12/23/11 United States 5,194,185 5,216,260 0.49
Hayes Lemmerz, Term Loan, 7.31 - 7.97%, 6/03/09 United States 1,512,522 1,511,463 0.14
Key Plastics LLC and Key Safety Inc., First Lien Term Loan, 7.38 -
9.50%, 7/31/10 United States 1,340,429 1,332,400 0.12
Mark IV Industries (Dayco Products, LLC), Term Loan B, 7.18 - 7.71%,
6/18/11 United States 3,925,976 3,972,597 0.37
Tenneco Automotive Inc.,
L/C Term Loan, 6.635%, 12/12/10 United States 1,068,965 1,086,603 0.10
Term Loan B, 6.63%, 12/12/10 United States 2,433,436 2,473,588 0.23
TRW Automotive Inc.,
Term Loan B, 6.25%, 6/30/12 United States 3,217,500 3,222,529 0.30
Term Loan B2, 6.125%, 6/30/12 United States 1,000,000 1,001,563 0.09
Term Loan E, 6.00%, 10/31/10 United States 3,452,544 3,467,217 0.32
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28,994,422 2.70
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AUTOMOTIVE AFTERMARKET
Affinia Group Inc., Term Loan B, 7.67%, 11/30/11 United States 5,003,323 4,975,805 0.47
United Components Inc., Term Loan C, 6.81%, 6/30/10 United States 2,675,634 2,698,190 0.25
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7,673,995 0.72
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BEVERAGES: ALCOHOLIC
Constellation Brands Inc., Term Loan B, 5.75 - 6.313%, 12/22/11 United States 6,097,187 6,176,073 0.58
Southern Wine & Spirits of America Inc., Term Loan B, 6.027%, 5/31/12 United States 3,707,654 3,751,404 0.35
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9,927,477 0.93
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BEVERAGES: NON-ALCOHOLIC
Dr. Pepper Bottling Co. of Texas, Term Loan, 6.45 - 6.49%, 12/18/10 United States 2,072,158 2,103,499 0.20
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BROADCASTING
Alliance Atlantis Communications Inc., Term Loan C, 6.068%, 12/17/11 United States 2,977,500 3,005,414 0.28
Emmis Operating Co., Term Loan B, 6.233 - 8.25%, 11/10/11 United States 4,531,854 4,560,532 0.42
Entravision Communications Corp., Term Loan B, 6.03%, 3/29/12 United States 8,578,500 8,644,623 0.81
Gray Television Inc.,
c Incremental Facility Loan, 8.00%, 5/22/13 United States 1,375,000 1,386,172 0.13
Term Loan B, 6.03%, 11/22/12 United States 523,465 527,718 0.05
Mission Broadcasting Inc., Term Loan B, 6.28%, 10/01/12 United States 3,833,575 3,847,606 0.36
NEP Supershooters LP, First Lien Term Loan, 8.26 - 8.53%, 2/03/11 United States 992,462 1,007,970 0.09
Nexstar Broadcasting Group Inc., Term Loan B, 6.28%, 10/01/12 United States 3,902,389 3,916,671 0.36
NextMedia Inc.,
Delay Draw, 6.40%, 2/28/06 United States 552,462 556,720 0.05
Term Loan B, 6.47%, 11/08/12 United States 1,243,038 1,252,620 0.12
Spanish Broadcasting Systems, Term Loan B, 6.53%, 6/11/12 United States 1,985,000 2,013,534 0.19
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30,719,580 2.86
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BUILDING PRODUCTS
Building Materials Holding Corp., Term Loan B, 6.28%, 8/21/10 United States 975,000 979,358 0.09
Euramax International Inc., Term Loan B, 7.241%, 6/29/12 United States 5,821,543 5,802,140 0.54
FRANKLIN FLOATING RATE MASTER TRUST
Headwaters Inc., Term Loan B, 6.86%, 4/30/11 United States 3,533,951 3,566,347 0.33
NCI Building Systems Inc., Term Loan B, 5.75 - 5.95%, 6/07/10 United States 3,850,000 3,875,268 0.36
Nortek Inc., Term Loan, 5.91 - 8.75%, 8/27/11 United States 8,901,156 8,981,827 0.84
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23,204,940 2.16
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CABLE/SATELLITE TELEVISION
Atlantic Broadband Finance LLC, Term Loan B, 7.20%, 8/06/11 United States 1,250,000 1,271,437 0.12
Bresnan Broadband Holdings LLC,
Term Loan A, 8.03 - 8.06%, 3/31/10 United States 1,250,000 1,268,038 0.12
Term Loan B, 7.97 - 8.06%, 9/30/10 United States 1,000,000 1,014,375 0.09
e,f Century Cable (Adelphia),
Discretionary Term Loan, 9.50%, 12/31/09 United States 4,500,000 4,379,625 0.41
Term Loan B, 9.50%, 6/30/09 United States 3,000,000 2,925,000 0.27
Charter Communications Operating LLC,
Term Loan A, 7.67%, 4/27/10 United States 3,900,000 3,920,791 0.36
Term Loan B, 7.86 - 7.92%, 4/27/11 United States 6,394,550 6,446,506 0.60
DIRECTV Holdings LLC, Term Loan B, 6.039%, 4/13/13 United States 8,133,333 8,226,737 0.77
Insight Midwest Holdings LLC,
Term Loan A, 5.813%, 6/30/09 United States 4,049,134 4,055,462 0.38
Term Loan C, 6.563%, 12/31/09 United States 1,960,000 1,989,400 0.19
Intelsat (Bermuda) Ltd., Senior Term Loan Facility, 6.313%, 7/28/11 Bermuda 7,437,406 7,518,756 0.70
Mediacom Broadband (MCC Iowa),
Term Loan A, 5.79 - 6.04%, 3/31/10 United States 2,640,000 2,640,708 0.25
Term Loan C, 6.36 - 6.64%, 1/31/14 United States 1,486,256 1,507,969 0.14
Mediacom LLC Group, Term Loan B, 6.18 - 6.79%, 4/01/13 United States 990,000 1,004,927 0.09
New Skies Satellites BV, Term Loan, 6.75%, 5/02/11 Netherlands 2,420,239 2,436,878 0.23
NTL Investment Holdings, Term Loan B, 7.442%, 4/13/12 United Kingdom 10,000,000 10,083,200 0.94
e,f Olympus Cable Holdings, LLC (Adelphia), Term Loan B, 9.50%, 9/30/10 United States 2,000,000 1,953,928 0.18
Panamsat Corp., Term Loan B1, 6.438 - 6.489%, 8/01/11 United States 6,450,023 6,533,873 0.61
Persona Communications Inc., Term Loan, 7.527%, 7/30/11 Canada 3,447,500 3,483,630 0.32
UPC Financing Partnership, Term Loan H2, 7.28%, 9/30/12 Netherlands 8,712,000 8,818,565 0.82
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81,479,805 7.59
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CASINOS/GAMING
Boyd Gaming Corp., Term Loan B, 5.70 - 6.027%, 6/30/11 United States 467,563 472,921 0.05
CCM Merger Inc. (MotorCity Casino), Term Loan B, 6.39 - 6.519%,
7/23/12 United States 4,875,505 4,910,243 0.46
Global Cash Access LLC, Term Loan B, 6.818%, 3/10/10 United States 648,699 654,323 0.06
Greektown Casinos LLC, Term Loan B, 7.07%, 12/02/12 United States 2,677,386 2,714,200 0.25
Isle of Capri Black Hawk LLC, Term Loan, 6.25 - 6.56%, 10/24/11 United States 3,084,259 3,109,318 0.29
Marina District Finance Co. Inc. (Borgata), Term Loan B, 6.308%,
10/14/11 United States 5,527,500 5,566,364 0.52
Penn National Gaming Inc., Term Loan B, 6.04 - 6.39%, 10/03/12 United States 6,177,000 6,265,794 0.58
Wembley Inc., Term Loan B, 6.08%, 7/18/11 United States 1,990,000 2,021,717 0.19
Wimar Tahoe Corp. (Columbia Entertainment), Term Loan B, 7.027%,
10/24/11 United States 1,638,750 1,651,553 0.15
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27,366,433 2.55
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FRANKLIN FLOATING RATE MASTER TRUST
CATALOG/SPECIALTY DISTRIBUTION
Affinity Group Inc., Term Loan, 6.954 - 6.97%, 6/24/09 United States 793,929 803,853 0.07
Oriental Trading Co. Inc., Term Loan B, 6.813%, 8/04/10 United States 1,774,976 1,787,548 0.17
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2,591,401 0.24
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CHEMICALS: MAJOR DIVERSIFIED
Basell BV,
Term Loan B4, 6.906%, 8/01/13 Netherlands 100,000 101,460 0.01
Term Loan C4, 7.668%, 8/01/14 Netherlands 100,000 101,440 0.01
Basell USA Inc.,
Term Loan B2, 6.906%, 8/01/13 United States 500,000 508,282 0.05
Term Loan C2, 7.668%, 8/01/14 United States 500,000 508,282 0.05
BCP Crystal US Holdings Corp. (Celanese), Term Loan B, 6.527%, 4/06/11 United States 5,595,522 5,661,969 0.53
Huntsman International LLC,
Additional Term Loan, 6.233%, 8/16/12 United States 1,500,000 1,509,844 0.14
Term Loan B, 6.233%, 8/16/12 United States 7,717,947 7,768,599 0.72
c Ineos U.S. Finance LLC,
Term Loan B, 8.75%, 12/16/13 United States 1,400,000 1,400,000 0.13
Term Loan C, 9.25%, 12/16/14 United States 1,400,000 1,400,000 0.13
Invista Canada Co., Term Loan B2, 6.375%, 4/29/11 Canada 1,007,153 1,014,706 0.09
Invista SARL, Term Loan B1, 6.375%, 4/29/11 Luxembourg 1,981,290 1,996,149 0.19
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21,970,731 2.05
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CHEMICALS: SPECIALTY
c Brenntag,
Acquisition Facility, 9.00%, 12/22/12 Germany 451,636 458,863 0.04
Term Loan B2, 9.00%, 12/22/13 United States 1,848,364 1,877,937 0.17
Compass Minerals Group Inc., Term Loan, 6.02 - 6.08%, 12/22/12 United States 3,300,000 3,323,202 0.31
Hexion Specialty Chemicals Inc.,
Tranche B-1, 7.125%, 5/31/12 United States 2,941,046 2,974,868 0.28
Tranche B-3, 4.29%, 5/31/12 United States 703,768 711,861 0.07
Nalco Co., Term Loan B, 6.44 - 6.73%, 11/04/10 United States 6,826,495 6,921,643 0.65
Niagara Acquisition Inc. (PQ Corp.), Term Loan B, 6.563%, 2/11/12 United States 992,500 1,005,527 0.09
Polymer Group Inc., Term Loan, 6.769%, 11/22/10 United States 1,015,000 1,021,435 0.10
Resolution Europe BV (Hexion), Tranche B-2, 7.063%, 5/31/12 Netherlands 4,061,444 4,108,151 0.38
Rockwood Specialties Group Inc., Term Loan E, 6.668%, 7/30/12 United States 4,252,025 4,308,828 0.40
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26,712,315 2.49
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COAL
Alpha Natural Resources LLC, Term Loan B, 6.32%, 10/26/12 United States 2,300,000 2,311,978 0.22
Foundation Coal, Term Loan B, 6.28 - 6.44%, 7/30/11 United States 1,526,424 1,554,195 0.14
International Coal Group LLC, Term Loan B, 7.41%, 11/09/10 United States 92,998 93,354 0.01
Walter Industries Inc., Term Loan B, 6.216 - 6.527%, 10/03/12 United States 1,995,000 2,023,056 0.19
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5,982,583 0.56
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FRANKLIN FLOATING RATE MASTER TRUST
COMMERCIAL PRINTING/FORMS
American Reprographics, Term Loan C, 6.26 - 8.25%, 6/18/09 United States 2,315,245 2,332,494 0.22
Merrill Communications LLC, Term Loan B, 6.81%, 12/31/12 United States 1,200,000 1,215,187 0.11
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3,547,681 0.33
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CONSTRUCTION MATERIALS
Gibraltar Industries Inc., Term Loan B, 6.28%, 12/12/10 United States 2,000,000 2,015,000 0.19
St. Marys Cement Inc., Term Loan B, 6.527%, 12/04/09 Canada 3,424,925 3,476,299 0.32
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5,491,299 0.51
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CONSUMER SUNDRIES
American Safety Razor Co., Term Loan B, 7.15%, 2/20/12 United States 928,056 937,457 0.09
Central Garden & Pet Co., Term Loan, 6.233 - 6.31%, 5/14/09 United States 989,914 992,695 0.09
Meow Mix Co., Term Loan B, 7.74%, 7/13/11 United States 697,813 704,812 0.07
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2,634,964 0.25
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CONTAINERS/PACKAGING
ACI Operations Property Ltd. (Owens Illinois), Term Loan A, 6.18%,
4/01/07 Australia 3,990,556 4,012,185 0.37
Atlantis Plastics Inc., First Lien Term Loan, 7.15%, 9/22/11 United States 992,500 1,002,375 0.09
Berry Plastics Corp., Term Loan, 6.447%, 12/02/11 United States 1,990,000 2,018,606 0.19
BSN Glasspack SA (Owens Illinois), Term Loan C-1, 6.35%, 4/01/08 France 1,693,704 1,703,019 0.16
Crown Americas LLC, Term Loan B, 6.004%, 11/15/12 United States 1,000,000 1,007,813 0.09
Graham Packaging Co., First Lien Term Loan, 6.75 - 6.938%, 10/07/11 United States 7,920,131 8,000,125 0.75
Graphic Packaging International Corp., Term Loan C, 6.716 - 7.19%,
8/08/10 United States 1,475,827 1,499,189 0.14
Intertape Polymer Group Inc., Term Loan B, 6.73 - 6.80% 7/28/11 United States 4,740,000 4,800,482 0.45
Owens-Brockway Glass Container Inc., Term Loan B, 6.27%, 4/01/08 United States 3,006,076 3,024,395 0.28
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27,068,189 2.52
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DATA PROCESSING SERVICES
InfoUSA Inc.,
Term Loan A, 8.75%, 3/25/09 United States 2,708,333 2,710,635 0.25
Term Loan B, 9.00%, 6/04/10 United States 995,000 995,846 0.09
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3,706,481 0.34
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DEPARTMENT STORES
Neiman Marcus Group Inc., Term Loan, 6.947%, 4/06/13 United States 3,132,911 3,171,017 0.30
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DRUG STORE CHAINS
The Jean Coutu Group (PJC) Inc., Term Loan B, 6.813 - 6.938%, 7/30/11 Canada 1,198,324 1,213,969 0.11
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ELECTRIC UTILITIES
AES Corp., Term Loan B, 5.07 - 5.69%, 4/30/08 United States 714,286 719,636 0.07
Allegheny Energy Supply Co. LLC, Term Loan C, 5.51 - 6.16%, 3/08/11 United States 2,930,527 2,959,833 0.28
Midwest Generation LLC, Term Loan, 6.28 - 6.50%, 4/27/11 United States 1,472,195 1,499,651 0.14
FRANKLIN FLOATING RATE MASTER TRUST
c Mirant North America LLC,
L/C Term Loan, 8.25%, 1/03/13 United States 371,429 374,214 0.03
Term Loan, 8.25%, 1/03/13 United States 928,571 935,536 0.09
NRG Energy Inc.,
Credit Link, 6.302%, 2/01/13 United States 3,824,659 3,860,516 0.36
Term Loan B, 8.50%, 2/01/13 United States 16,775,340 16,962,318 1.58
Pike Electric Inc.,
Term Loan B, 6.25%, 7/02/12 United States 586,275 592,917 0.06
Term Loan C, 6.25%, 12/10/12 United States 333,725 337,867 0.03
Quanta Services Inc., Term Loan B, 4.50 - 7.50%, 6/19/08 United States 2,940,000 2,953,818 0.27
Thermal North America Inc., Term Loan B, 6.28%, 10/12/13 United States 1,596,761 1,609,735 0.15
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32,806,041 3.06
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ELECTRICAL PRODUCTS
Enersys Capital Inc., Term Loan D, 6.071 - 6.684%, 3/17/11 United States 2,691,407 2,726,072 0.25
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ELECTRONICS/APPLIANCES
DEI Sales Inc., Term Loan, 7.70 - 7.87%, 6/17/10 United States 943,718 948,606 0.09
Eastman Kodak Co., Term Loan B, 6.61 - 6.851%, 10/18/12 United States 8,047,059 8,101,883 0.76
Jarden Corp.,
Term Loan B, 6.527%, 1/24/12 United States 3,850,704 3,884,056 0.36
Term Loan B2, 6.277%, 1/24/12 United States 5,669,948 5,696,880 0.53
Oreck Corp., Term Loan B, 7.28%, 2/02/12 United States 1,955,126 1,977,121 0.18
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20,608,546 1.92
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ENGINEERING & CONSTRUCTION
Washington Group International Inc., Synthetic Term Loan, 3.92%,
6/13/10 United States 700,000 701,764 0.07
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ENVIRONMENTAL SERVICES
Allied Waste North America Inc.,
Credit Link, 4.39%, 1/15/12 United States 4,102,534 4,139,072 0.39
g Revolver, 7.28 - 9.25%, 1/15/10 United States 111,714 108,588 0.01
Term Loan B, 6.09 - 6.73%, 1/15/12 United States 10,566,871 10,665,280 0.99
Duratek Inc., Term Loan B, 7.813 - 7.938%, 12/16/09 United States 1,507,740 1,515,279 0.14
Envirocare of Utah LLC, Term Loan B, 7.38%, 4/12/10 United States 2,159,091 2,186,554 0.20
EnviroSolutions Inc., Term Loan B, 7.98 - 8.069%, 7/07/12 United States 2,830,882 2,878,653 0.27
IESI Corp., Term Loan B, 6.37 - 6.60%, 1/21/12 United States 900,000 906,903 0.09
Synagro Technologies Inc.,
Delay Draw, 6.75%, 6/21/12 United States 185,714 186,522 0.02
Term Loan B, 6.864%, 6/21/12 United States 1,114,286 1,119,133 0.10
----------- -------
23,705,984 2.21
----------- -------
FINANCE/RENTAL/LEASING
Baker Tanks Inc., Term Loan, 7.021 - 7.20%, 11/23/12 United States 667,971 676,319 0.06
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FRANKLIN FLOATING RATE MASTER TRUST
FINANCIAL CONGLOMERATES
Affinion Group, Term Loan B, 7.10 - 7.233%, 10/17/12 United States 7,813,954 7,774,884 0.72
Fidelity National Information Services Inc., Term Loan B, 6.187%,
3/09/13 United States 13,611,177 13,706,455 1.28
Nasdaq Stock Market Inc., Term Loan B, 6.00 - 6.188%, 12/08/11 United States 3,700,000 3,737,770 0.35
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25,219,109 2.35
----------- -------
FOOD DISTRIBUTORS
OSI Group LLC,
Dutch Term Loan, 6.527%, 9/02/11 Netherlands 548,611 555,812 0.05
German Term Loan, 6.527%, 9/02/11 Germany 438,889 444,649 0.04
U.S. Term Loan, 6.527%, 9/02/11 United States 987,500 1,000,461 0.10
----------- -------
2,000,922 0.19
----------- -------
FOOD: MAJOR DIVERSIFIED
Birds Eye Foods Inc. (Agrilink Foods), Term Loan B, 7.28 - 7.36%,
8/08/08 United States 919,015 929,041 0.09
Bolthouse Farms Inc., Term Loan B, 6.938%, 12/14/12 United States 1,700,000 1,725,854 0.16
Chiquita Brands LLC, Term Loan C, 6.56%, 6/28/12 United States 2,288,500 2,315,676 0.21
Del Monte Corp., Term Loan B, 6.14%, 2/08/12 United States 1,985,000 2,014,775 0.19
Dole Food Co. Inc., Term Loan B, 5.625 - 8.00%, 4/18/12 Bermuda 6,897,561 6,934,512 0.65
Pinnacle Foods Holding Corp., Term Loan B, 7.78%, 11/25/10 United States 4,478,784 4,542,607 0.42
----------- -------
18,462,465 1.72
----------- -------
FOOD: MEAT/FISH/DAIRY
American Seafood Group LLC, Term Loan B1, 6.277%, 9/30/12 United States 445,571 450,833 0.04
Michael Foods Inc., Term Loan B1, 6.501 - 6.671%, 11/21/10 United States 912,751 925,492 0.09
----------- -------
1,376,325 0.13
----------- -------
FOOD: SPECIALTY/CANDY
Otis Spunkmeyer Inc., Term Loan B, 7.15 - 7.32%, 6/24/12 United States 3,092,250 3,122,399 0.29
Reddy Ice Group Inc., Term Loan, 6.319%, 4/12/12 United States 1,015,000 1,025,468 0.10
----------- -------
4,147,867 0.39
----------- -------
FOREST PRODUCTS
Roseburg Forest Products (RLC Industries), Term Loan B, 6.027%,
2/24/10 United States 1,848,214 1,858,610 0.17
----------- -------
HOME FURNISHINGS
Knoll Inc., Term Loan, 6.527%, 10/03/12 United States 1,688,897 1,713,966 0.16
National Bedding Co. LLC, Term Loan, 6.01 - 6.60%, 8/31/11 United States 2,972,005 3,002,468 0.28
Sealy Mattress Co.,
g Revolver, 8.75%, 4/14/11 United States 75,000 74,377 0.01
Term Loan D, 6.118 - 6.233%, 4/13/13 United States 2,610,010 2,641,821 0.25
Simmons Holdings Inc., Term Loan C, 7.063 - 9.00%, 12/19/11 United States 2,283,534 2,315,647 0.21
Springs Window Fashions LLC, Term Loan B, 7.313%, 12/30/12 United States 1,000,000 1,002,188 0.09
----------- -------
10,750,467 1.00
----------- -------
FRANKLIN FLOATING RATE MASTER TRUST
HOME IMPROVEMENT CHAINS
Harbor Freight Tools USA Inc., Term Loan B, 6.94 - 7.068%, 7/31/10 United States 1,779,423 1,799,887 0.17
----------- -------
HOMEBUILDING
Goodman Global Holdings Inc., Term Loan B, 6.94%, 12/15/11 United States 2,831,421 2,875,662 0.27
Stile Acquisition Corp. (Masonite), Canadian Term Loan, 6.527 -
6.63%, 4/05/13 Canada 5,553,270 5,424,273 0.50
Stile U.S. Acquisition Corp. (Masonite), U.S. Term Loan, 6.206 -
6.527%, 4/05/13 United States 5,562,730 5,433,514 0.51
----------- -------
13,733,449 1.28
----------- -------
HOSPITAL/NURSING MANAGEMENT
Beverly Enterprises Inc., Term Loan B, 6.91 - 7.07%, 10/22/08 United States 977,500 978,732 0.09
Community Health Systems Inc., Term Loan B, 6.16%, 8/19/11 United States 987,500 1,001,593 0.09
Iasis Healthcare LLC, Term Loan B, 6.777 - 6.786%, 6/22/11 United States 2,314,750 2,348,025 0.22
LifePoint Hospitals Inc., Term Loan B, 6.185%, 4/15/12 United States 8,258,537 8,318,180 0.78
MedCath Corp., Term Loan B, 7.10 - 8.75%, 6/30/11 United States 1,215,000 1,226,129 0.11
Vanguard Health Holding Co. II LLC, Term Loan C, 6.771 - 6.95%,
9/23/11 United States 5,450,090 5,526,163 0.52
----------- -------
19,398,822 1.81
----------- -------
HOTEL/RESORTS/CRUISELINES
Kuilima Resort Co. (Turtle Bay), First Lien Term Loan, 7.318%, 9/30/10 United States 1,189,319 1,195,183 0.11
Venetian Casino Resorts,
Delay Draw, 6.28%, 8/17/11 United States 6,383,761 6,447,100 0.60
Term Loan B, 6.28%, 8/17/11 United States 1,316,239 1,329,299 0.13
----------- -------
8,971,582 0.84
----------- -------
HOUSEHOLD/PERSONAL CARE
Acco Brands Corp., Term Loan B, 6.12 - 6.352%, 8/05/12 United States 2,312,725 2,343,369 0.22
Fender Musical Instruments, Term Loan B, 6.47%, 3/15/12 United States 1,540,776 1,552,069 0.14
Mega Bloks Inc., Term Loan B, 6.438%, 7/26/12 Canada 2,089,500 2,118,231 0.20
Prestige Brands Inc., Term Loan B, 6.31%, 4/06/11 United States 2,404,973 2,429,022 0.23
Spectrum Brands Inc., Term Loan B, 6.17 - 6.85%, 2/07/12 United States 4,155,299 4,199,449 0.39
----------- -------
12,642,140 1.18
----------- -------
INDUSTRIAL CONGLOMERATES
Day International Group Inc., Term Loan B, 7.03%, 12/05/12 United States 777,755 787,721 0.07
Invensys (BTR Dunlop),
Bonding Facility, 7.448%, 3/05/09 United States 1,927,064 1,944,368 0.18
Term Loan B. 7.791%, 9/05/09 United States 840,389 849,902 0.08
TriMas Corp., Term Loan B, 8.375%, 12/06/09 United States 3,731,926 3,764,580 0.35
----------- -------
7,346,571 0.68
----------- -------
INDUSTRIAL MACHINERY
CI Acquisition Inc. (Chart Industries), Term Loan B, 6.375 - 6.625%,
10/17/12 United States 972,222 984,375 0.09
Colfax Corp., Term Loan B, 6.563%, 12/19/11 United States 990,217 1,001,151 0.09
Dresser Inc., Unsecured Term Loan, 7.99%, 3/01/10 United States 1,250,000 1,271,875 0.12
Dresser-Rand Group Inc., Term Loan B, 6.134 - 6.778%, 10/29/11 United States 1,133,174 1,153,359 0.11
FRANKLIN FLOATING RATE MASTER TRUST
Flowserve Corp., Term Loan B, 6.188 - 6.50%, 8/10/12 United States 3,122,042 3,164,483 0.29
Itron Inc., Term Loan C, 6.375%, 7/01/11 United States 162,162 163,776 0.01
Mueller Group, Term Loan B, 6.466 - 6.918%, 10/03/12 United States 3,759,737 3,809,083 0.36
Rexnord Corp., Term Loan, 6.21 - 6.85%, 12/31/11 United States 1,377,318 1,383,847 0.13
Sensus Metering Systems Inc.,
Term Loan B1, 6.54 - 7.22%, 12/17/10 United States 4,878,261 4,932,849 0.46
Term Loan B2, 6.54 - 7.22%, 12/17/10 Luxembourg 630,652 637,709 0.06
----------- -------
18,502,507 1.72
----------- -------
INDUSTRIAL SPECIALTIES
c Babcock and Wilcox Co.,
Delay Draw, 9.50%, 2/21/12 United States 6,400,000 6,432,000 0.60
Synthetic L/C, 9.25%, 2/21/12 United States 800,000 806,000 0.07
Xerium Technologies Inc., Term Loan B, 6.527%, 5/18/12 United States 1,290,000 1,290,806 0.12
----------- -------
8,528,806 0.79
----------- -------
INFORMATION TECHNOLOGY SERVICES
Transfirst Holdings, Term Loan B, 7.563%, 3/31/10 United States 2,420,345 2,424,241 0.23
Xerox Corp., Term Loan, 6.22%, 9/30/08 United States 4,500,000 4,542,480 0.42
----------- -------
6,966,721 0.65
----------- -------
INSURANCE BROKERS/SERVICES
Alliant Resources Group Inc., First Lien Term Loan, 7.22%, 11/30/11 United States 900,000 910,688 0.09
HMSC Holdings Corp. (Swett & Crawford), First Lien Term Loan, 7.35%,
11/11/11 United States 1,100,000 1,110,098 0.10
----------- -------
2,020,786 0.19
----------- -------
INVESTMENT BANKS/BROKERS
Ameritrade Holding Corp., Term Loan B, 6.04%, 1/13/13 United States 7,700,000 7,749,087 0.72
LPL Holdings Inc., Term Loan B, 7.769 - 8.13%, 6/28/13 United States 1,750,000 1,744,167 0.16
----------- -------
9,493,254 0.88
----------- -------
LIFE/HEALTH INSURANCE
Conseco Inc., Term Loan, 6.47%, 6/22/10 United States 2,213,288 2,232,655 0.21
----------- -------
MAJOR TELECOMMUNICATIONS
Alaska Communications Systems Holdings Inc.,
Incremental Term Loan, 6.527%, 2/01/12 United States 728,567 736,854 0.07
Term Loan, 6.527%, 2/01/12 United States 2,357,133 2,383,946 0.22
Cincinnati Bell Inc., Term Loan, 5.89 - 6.06%, 8/31/12 United States 2,094,750 2,112,097 0.20
Consolidated Communications Inc., Term Loan D, 6.118 - 6.28%, 10/14/11 United States 1,000,000 1,011,030 0.09
Hawaiian Telecom Communications Inc., Term Loan B, 6.78%, 10/31/12 United States 2,525,000 2,549,462 0.24
Qwest Corp., Term Loan A, 9.22%, 6/30/07 United States 400,000 409,712 0.04
Wind Telecomunicazioni SpA,
Term Loan B, 7.24%, 9/30/13 Italy 3,150,000 3,150,441 0.29
Term Loan C, 7.24%, 9/30/14 Italy 3,150,000 3,142,660 0.29
----------- -------
15,496,202 1.44
----------- -------
FRANKLIN FLOATING RATE MASTER TRUST
MARINE SHIPPING
Horizon Lines LLC, Term Loan C, 6.78%, 7/07/11 United States 1,970,000 1,996,266 0.19
US Shipping Partners LP, Term Loan, 6.20%, 4/25/09 United States 755,634 763,175 0.07
----------- -------
2,759,441 0.26
----------- -------
MEDIA CONGLOMERATES
Liberty Group Operating Inc., Term Loan B, 6.688%, 2/28/12 United States 2,940,281 2,968,949 0.27
Quebecor Media Inc., Term Loan B, 6.602%, 1/17/13 Canada 2,400,000 2,435,501 0.23
----------- -------
5,404,450 0.50
----------- -------
MEDICAL DISTRIBUTORS
VWR International Inc., Term Loan B, 7.12%, 4/07/11 United States 3,203,667 3,254,727 0.30
----------- -------
MEDICAL/NURSING SERVICES
Alliance Imaging Inc., Term Loan C1, 6.938 - 7.188%, 12/29/11 United States 980,288 982,862 0.09
c AmeriPath Inc., Term Loan B, 8.50%, 10/31/12 United States 800,000 810,250 0.08
AMR Holdco/Emcare Holdco, Term Loan B, 6.56 - 6.78%, 2/10/12 United States 2,588,893 2,621,254 0.25
DaVita Inc., Term Loan B, 6.54 - 6.94%, 10/05/12 United States 9,871,338 10,023,900 0.93
Radiation Therapy Services Inc., Term Loan B, 6.527 - 8.00%, 12/15/12 United States 1,000,000 1,006,875 0.09
Renal Advantage Inc., Term Loan B, 6.97%, 10/06/12 United States 897,750 908,056 0.08
Team Finance LLC, Term Loan B, 6.88%, 11/23/12 United States 1,500,000 1,506,195 0.14
US Oncology Inc., Term Loan B, 6.688 - 6.934%, 8/20/11 United States 2,106,532 2,128,482 0.20
----------- -------
19,987,874 1.86
----------- -------
MISCELLANEOUS COMMERCIAL SERVICES
Acosta Inc., Term Loan B, 6.67 - 6.83%, 12/06/12 United States 2,400,000 2,427,000 0.23
Buhrmann U.S. Inc., Term Loan D-1, 6.16 - 6.238%, 12/23/10 United States 3,940,000 3,959,700 0.37
CCC Information Services Group Inc., Term Loan B, 7.308%, 8/20/10 United States 4,662,281 4,662,048 0.43
g Coinmach Corp., Term Loan B-1, 7.00 - 7.063%, 12/19/12 United States 605,263 614,846 0.06
Global Imaging Systems Inc., Term Loan B, 5.83 - 6.03%, 5/10/10 United States 3,417,493 3,443,125 0.32
IPC Acquisition Corp., Term Loan B, 7.197 - 7.31%, 12/31/10 United States 965,242 976,704 0.09
JohnsonDiversey Inc., Term Loan B, 6.87%, 12/09/11 United States 5,544,769 5,601,603 0.52
Language Lines Inc., Term Loan B, 8.88%, 6/11/11 United States 1,560,474 1,579,995 0.15
LVI Services Inc., Term Loan B, 7.34%, 11/16/11 United States 1,000,000 1,010,000 0.09
c Open Solutions Inc., Term Loan B, 9.00%, 6/15/12 United States 2,600,000 2,626,000 0.25
Workflow Mgmt Inc., Term Loan B, 8.66%, 11/30/11 United States 2,500,000 2,506,250 0.23
Worldspan LP, Term Loan B, 7.00 - 7.438%, 2/11/10 United States 2,766,696 2,731,249 0.26
----------- -------
32,138,520 3.00
----------- -------
MISCELLANEOUS MANUFACTURING
Revere Industries LLC, Term Loan B, 7.57%, 12/14/10 United States 1,000,000 1,008,750 0.09
----------- -------
MOVIES/ENTERTAINMENT
24 Hour Fitness Inc., Term Loan B, 7.54 - 7.70%, 5/26/12 United States 2,000,000 2,028,334 0.19
FRANKLIN FLOATING RATE MASTER TRUST
AMC Entertainment Inc., Term Loan, 8.625%, 1/26/13 United States 2,100,000 2,121,218 0.20
Cinemark USA Inc., Term Loan, 6.30 - 6.53%, 3/31/11 United States 2,466,944 2,499,507 0.23
Cinram International Inc., Term Loan D, 6.66%, 9/30/09 Canada 2,757,564 2,788,299 0.26
c Hallmark Entertainment LLC,
Term Loan B, 9.00%, 12/31/11 United States 1,800,000 1,820,250 0.17
Second Lien Term Loan, 13.00%, 6/30/12 United States 1,000,000 1,020,000 0.10
Houston Ltd. Partners NFL Holdings LP, Term Loan B, 5.563 - 5.75%,
1/05/10 United States 1,200,000 1,199,964 0.11
Metro-Goldwyn-Mayer Inc., Term Loan B, 6.78%, 4/08/12 United States 13,400,000 13,553,792 1.26
Minnesota Hockey Ventures Group LP (Holding Co.), Term Loan, 9.21%,
12/29/08 United States 1,350,000 1,356,750 0.13
Minnesota Wild Hockey Club LP (Operating Co.), Term Loan, 7.28%,
12/29/08 United States 972,222 978,299 0.09
Rainbow National Services LLC, Term Loan B, 7.188%, 3/31/12 United States 7,940,000 8,040,902 0.75
Regal Cinemas Inc., Term Loan B, 6.527%, 11/10/10 United States 7,377,435 7,470,575 0.70
SFX Entertainment Inc. (Clear Channel), Term Loan B, 6.76%, 6/21/13 United States 3,260,000 3,265,095 0.30
WMG Acquisition Corp. (Warner Music), Term Loan B, 6.371 - 6.614%,
2/28/11 United States 12,039,869 12,168,732 1.13
----------- -------
60,311,717 5.62
----------- -------
OIL & GAS PIPELINES
Cheniere LNG Holdings LLC, Term Loan, 6.95%, 8/30/12 United States 1,596,000 1,611,462 0.15
El Paso Corp.,
L/C Term Loan, 4.29%, 11/23/09 United States 1,312,500 1,319,610 0.12
Term Loan B, 7.313%, 11/23/09 United States 2,143,750 2,160,870 0.20
Epco Holdings Inc., Term Loan B, 6.603 - 6.852%, 8/18/10 United States 693,000 703,233 0.07
MGG Holdings (Magellan Midstream), Term Loan B, 6.50%, 12/16/10 United States 4,128,295 4,163,757 0.39
Targa Resources Inc.,
Synthetic L/C, 6.777%, 10/31/12 United States 2,976,411 3,009,896 0.28
Term Loan, 6.656 - 6.918%, 10/31/12 United States 716,129 724,185 0.07
----------- -------
13,693,013 1.28
----------- -------
OIL & GAS PRODUCTION
Williams Production RMT Co., Term Loan C, 6.72%, 5/30/08 United States 975,100 975,100 0.09
----------- -------
OIL REFINING/MARKETING
Calumet Lubricants Co. LP,
L/C Term Loan, 4.33%, 12/09/12 United States 1,166,667 1,180,521 0.11
Term Loan, 7.99%, 12/09/12 United States 333,333 337,292 0.03
Citgo Petroleum Corp., Term Loan B, 5.915%, 11/15/12 United States 3,900,000 3,941,437 0.37
Lyondell-Citgo Refining LP, Term Loan, 6.527%, 5/21/07 United States 4,678,750 4,717,350 0.44
SemCams Holding Co. (Semgroup), Canadian Term Loan, 6.777%, 3/16/11 Canada 535,769 542,466 0.05
Tesoro Petroleum Corp., L/C Term Loan, 4.47%, 6/30/07 United States 2,000,000 2,003,040 0.18
Universal Compression Inc., Term Loan B, 6.03%, 2/15/12 United States 1,985,004 2,008,576 0.19
----------- -------
14,730,682 1.37
----------- -------
OILFIELD SERVICES/EQUIPMENT
Complete Production Services Inc., Term Loan B, 7.28%, 9/12/12 United States 1,695,750 1,716,418 0.16
Petroleum Geo-Services ASA and PGS Finance Inc., Term Loan, 7.00%,
12/17/12 United States 2,700,000 2,736,282 0.25
----------- -------
4,452,700 0.41
----------- -------
FRANKLIN FLOATING RATE MASTER TRUST
OTHER CONSUMER SERVICES
Alderwoods Group Inc., Term Loan B2, 6.058 - 6.73%, 9/17/09 United States 425,769 430,908 0.04
Hertz Corp.,
Credit Link, 4.50%, 12/21/12 United States 544,444 552,797 0.05
Term Loan B, 6.65%, 12/21/12 United States 3,717,467 3,774,496 0.35
Protection One Inc., Term Loan B, 7.38 - 7.56%, 4/18/11 United States 935,288 945,226 0.09
VICAR Operating Inc. (Veterinary Centers), Term Loan B, 6.125%,
5/16/11 United States 1,561,401 1,576,328 0.15
Weight Watchers,
Additional Term Loan B, 6.102%, 3/31/10 United States 987,500 994,965 0.09
Term Loan B, 6.25%, 3/31/10 United States 967,264 975,592 0.09
----------- -------
9,250,312 0.86
----------- -------
OTHER CONSUMER SPECIALTIES
Alliance Laundry Systems LLC, Term Loan B, 6.73%, 1/27/12 United States 1,408,848 1,425,233 0.13
Department 56 Retail Inc., Term Loan B, 8.06%, 9/01/11 United States 375,000 374,629 0.03
Solo Cup Co., Term Loan B, 6.98 - 7.027%, 2/27/11 United States 6,864,925 6,935,002 0.65
Tupperware Corp., Term Loan B, 5.98%, 12/05/12 United States 7,786,451 7,799,432 0.73
Visant Holding Corp. (Jostens), Term Loan C, 6.777%, 10/01/11 United States 3,517,385 3,568,679 0.33
----------- -------
20,102,975 1.87
----------- -------
PACKAGED SOFTWARE
SSA Global Technologies Inc., Term Loan B, 6.52%, 9/22/11 United States 1,990,000 2,007,433 0.19
Sungard Data Systems Inc., Term Loan, 6.81%, 2/11/13 United States 12,276,310 12,422,091 1.16
----------- -------
14,429,524 1.35
----------- -------
PERSONNEL SERVICES
Allied Security Holdings LLC, Term Loan B, 8.28%, 6/30/10 United States 920,238 929,808 0.09
U.S. Investigations Services Inc.,
Term Loan B, 7.00%, 10/14/12 United States 1,611,639 1,622,719 0.15
Term Loan C, 7.04%, 10/14/12 United States 1,400,000 1,409,625 0.13
----------- -------
3,962,152 0.37
----------- -------
PRECIOUS METALS
Longyear Holdings Inc. (Boart), First Lien Term Loan, 7.39%, 7/28/12 United States 1,130,250 1,146,497 0.11
Longyear Holdings Inc. (0723662 B.C. Ltd.), First Lien Term Loan,
7.39%, 7/28/12 Canada 163,258 165,605 0.01
----------- -------
1,312,102 0.12
----------- -------
PUBLISHING: BOOKS/MAGAZINES
Dex Media East LLC, Term Loan B, 6.05 - 6.36%, 5/08/09 United States 2,249,396 2,271,251 0.21
Dex Media West LLC, Term Loan B, 6.05 - 6.38%, 3/09/10 United States 4,660,949 4,709,502 0.44
F&W Publications Inc., Term Loan, 7.05%, 8/05/12 United States 1,339,608 1,325,096 0.12
Primedia Inc., Term Loan B, 6.648%, 9/30/13 United States 1,000,000 990,375 0.09
FRANKLIN FLOATING RATE MASTER TRUST
R.H. Donnelley Inc.,
Term Loan A-3, 6.22 - 6.28%, 12/31/09 United States 1,500,368 1,507,529 0.14
Term Loan D, 6.20 - 6.31%, 6/30/11 United States 6,529,442 6,586,574 0.62
----------- -------
17,390,327 1.62
----------- -------
PUBLISHING: NEWSPAPERS
FSC Acquisition LLC (Hanley Wood), Term Loan, 6.33 - 6.69%, 8/01/12 United States 2,662,003 2,676,423 0.25
MediaNews Group Inc., Term Loan C, 5.81%, 12/30/10 United States 913,410 914,707 0.09
----------- -------
3,591,130 0.34
----------- -------
PULP & PAPER
Boise Cascade LLC, Term Loan D, 6.281 - 6.344%, 10/28/11 United States 2,593,436 2,631,041 0.25
NewPage Corp., Term Loan, 7.563%, 5/02/11 United States 4,975,000 5,037,187 0.47
Smurfit-Stone Container Canada Inc.,
Term Loan C, 6.688 - 6.75%, 11/01/11 Canada 637,795 644,811 0.06
Term Loan C-1, 6.813%, 11/01/11 Canada 213,478 213,478 0.02
Smurfit-Stone Container Enterprises,
L/C Term Loan, 4.49%, 11/01/10 United States 261,990 264,823 0.02
Term Loan B, 6.688 - 6.75%, 11/01/11 United States 1,880,050 1,900,731 0.18
----------- -------
10,692,071 1.00
----------- -------
RAILROADS
Helm Financial Corp., Term Loan B, 6.80%, 7/08/11 United States 1,246,127 1,267,414 0.12
Kansas City Southern Railway Co., Term Loan B1, 5.75 - 6.06%, 3/31/08 United States 1,157,130 1,164,001 0.11
RailAmerica Transportation Corp.,
Canadian Term Loan, 6.688%, 9/29/11 Canada 39,428 40,053 0.00 h
U.S. Term Loan, 6.688%, 9/29/11 United States 333,541 338,823 0.03
----------- -------
2,810,291 0.26
----------- -------
REAL ESTATE DEVELOPMENT
EH/Transeastern LLC (Technical Olympic USA), Term Loan B, 7.188%,
7/29/08 United States 2,500,000 2,521,875 0.22
General Growth Properties Inc., Term Loan B, 6.57%, 11/12/08 United States 5,257,944 5,273,607 0.49
Kyle Acquisition Group,
Term Loan B, 6.50%, 7/08/10 United States 684,017 688,720 0.06
Term Loan C, 6.50%, 7/20/10 United States 715,983 720,905 0.07
LandSource Communities Development LLC, Term Loan B, 7.00%, 4/27/10 United States 4,000,000 4,030,680 0.38
Macerich Co., Term Loan B, 5.938%, 4/25/10 United States 3,500,000 3,525,522 0.33
Maguire Properties Inc., Term Loan B, 6.169%, 3/15/10 United States 2,838,889 2,855,922 0.27
Pivotal Promontory LLC, Term Loan, 7.318%, 8/31/10 United States 1,995,000 2,008,626 0.19
Rhodes Co., First Lien Term Loan, 7.75%, 11/21/10 United States 2,437,500 2,458,828 0.23
Spanish Peaks Holdings LLC,
Synthetic L/C, 4.427%, 8/10/11 United States 360,000 361,606 0.03
Term Loan, 6.72 - 7.23%, 8/10/11 United States 815,590 819,227 0.08
c Suncal Master I LLC, Term Loan B, 9.75%, 1/18/10 United States 2,150,000 2,155,375 0.20
Yellowstone Club, Term Loan, 6.943%, 9/30/10 United States 1,912,560 1,923,716 0.18
----------- -------
29,344,609 2.73
----------- -------
FRANKLIN FLOATING RATE MASTER TRUST
REAL ESTATE INVESTMENT TRUSTS
Capital Automotive REIT, Term Loan B, 6.31%, 12/10/10 United States 10,335,000 10,377,632 0.97
Lion Gables Realty LP, Term Loan B, 6.15 - 6.17%, 9/30/06 United States 2,145,473 2,159,329 0.20
Newkirk Master LP, Term Loan B, 6.135%, 8/11/08 United States 2,301,907 2,322,048 0.21
-------------- -------
14,859,009 1.38
-------------- -------
RECREATIONAL PRODUCTS
PlayPower Inc., Term Loan, 7.53%, 2/07/10 United States 800,000 808,536 0.07
Pure Fishing Inc., Term Loan B, 7.53 - 7.70%, 9/30/10 United States 1,458,864 1,460,614 0.14
True Temper Sports Inc., Term Loan, 7.45 - 9.50%, 3/15/11 United States 1,588,786 1,582,065 0.15
-------------- -------
3,851,215 0.36
-------------- -------
RESTAURANTS
Arby's Restaurant Holdings LLC, Term Loan B, 6.656 - 6.918%, 7/25/12 United States 5,572,000 5,614,286 0.52
Burger King Corp., Term Loan B, 6.313%, 6/30/12 United States 997,494 1,009,339 0.10
CKE Restaurants Inc., Term Loan, 6.50%, 5/01/10 United States 1,717,369 1,736,690 0.16
Dominos Inc., Term Loan, 6.063%, 6/25/10 United States 1,386,927 1,399,340 0.13
Jack In The Box Inc., Term Loan B, 5.56 - 6.17%, 1/08/11 United States 962,544 972,771 0.09
-------------- -------
10,732,426 1.00
-------------- -------
SEMICONDUCTORS
Avago Technologies Finance, Term Loan B, 6.851%, 12/03/12 Luxembourg 1,100,000 1,103,953 0.10
Fairchild Semiconductor Corp., Term Loan B-3, 6.313%, 12/31/10 United States 1,965,150 1,983,131 0.19
-------------- -------
3,087,084 0.29
-------------- -------
SERVICES TO THE HEALTH INDUSTRY
Accellent Inc., Term Loan B, 6.394%, 11/22/12 United States 1,000,000 1,008,750 0.10
Matria Healthcare Inc.,
Term Loan B, 8.75%, 1/19/12 United States 1,426,923 1,426,923 0.13
Term Loan C, 8.75%, 1/19/07 United States 673,077 676,047 0.06
Per-Se Technologies Inc., Term Loan B, 6.791%, 12/14/12 United States 3,100,000 3,134,875 0.29
-------------- -------
6,246,595 0.58
-------------- -------
SPECIALTY STORES
Pantry Inc., Term Loan, 6.14%, 1/02/12 United States 1,529,723 1,548,367 0.14
The Pep Boys - Manny, Moe & Jack, Term Loan, 9.50%, 1/27/11 United States 1,000,000 1,015,000 0.10
Travelcenters of America Inc., Term Loan, 6.16 - 6.44%, 12/01/11 United States 3,800,000 3,844,175 0.36
-------------- -------
6,407,542 0.60
-------------- -------
SPECIALTY TELECOMMUNICATIONS
D&E Communications Inc., Term Loan B, 6.39 - 8.50%, 12/31/11 United States 2,057,613 2,078,188 0.19
Fairpoint Communications Inc., Term Loan B, 6.613%, 2/08/12 United States 7,000,000 7,024,500 0.65
Iowa Telecommunications Services Inc., Term Loan B, 6.28 - 6.40%,
11/23/11 United States 5,250,000 5,312,344 0.49
Madison River Capital LLC, Term Loan B-1, 6.80%, 7/31/12 United States 2,000,000 2,020,626 0.19
FRANKLIN FLOATING RATE MASTER TRUST
NTELOS Inc., Term Loan B, 7.07%, 8/20/12 United States 6,444,987 6,512,659 0.61
Time Warner Telecom Holding Inc., Term Loan B, 6.92 - 7.11%, 11/30/12 United States 900,000 915,375 0.09
Valor Telecommunications Enterprises LLC, Term Loan, 5.811 - 6.318%,
2/24/12 United States 6,283,333 6,288,423 0.59
-------------- -------
30,152,115 2.81
-------------- -------
TOBACCO
Commonwealth Brands Inc., Term Loan B, 7.00%, 12/22/12 United States 2,760,411 2,793,536 0.26
-------------- -------
TRUCKING
Transport Industries LP, Term Loan B, 6.938%, 9/30/11 United States 920,906 928,389 0.09
-------------- -------
WHOLESALE DISTRIBUTORS
Interline Brands,
Term Loan B, 6.777%, 12/31/10 United States 742,500 749,509 0.07
Term Loan B2, 6.239%, 12/31/10 United States 1,100,580 1,111,586 0.11
Nebraska Book Co., Term Loan C, 6.70%, 3/04/11 United States 982,500 984,878 0.09
-------------- -------
2,845,973 0.27
-------------- -------
WIRELESS COMMUNICATIONS
AAT Communications Corp., First Lien Term Loan, 6.16%, 7/27/12 United States 5,000,000 5,046,875 0.47
Nextel Partners Inc., Term Loan D, 5.91%, 5/31/12 United States 6,588,710 6,588,051 0.61
-------------- -------
11,634,926 1.08
-------------- -------
TOTAL SENIOR FLOATING RATE INTERESTS (COST $993,529,879) 999,323,588 93.13
-------------- -------
TOTAL LONG TERM INVESTMENTS (COST $996,529,879) 1,002,451,088 93.42
------------- -------
i REPURCHASE AGREEMENT (COST $76,665,130)
Joint Repurchase Agreement, 4.392%, 2/01/06 (Maturity Value
$76,674,484) United States 76,665,130 76,665,130 7.15
-------------- -------
ABN AMRO Bank, N.V., New York Branch (Maturity Value $6,516,564)
Banc of America Securities LLC (Maturity Value $6,516,564)
Barclays Capital Inc. (Maturity Value $6,658,413)
Bear, Stearns & Co. Inc. (Maturity Value $5,667,011)
BNP Paribas Securities Corp. (Maturity Value $6,516,564)
Credit Suisse Securities (USA) LLC (Maturity Value $5,667,011)
Deutsche Bank Securities Inc. (Maturity Value $6,800,261)
Greenwich Capital Markets Inc. (Maturity Value $6,516,564)
Lehman Brothers Inc. (Maturity Value $6,265,840)
Merrill Lynch Government Securities Inc. (Maturity Value
$6,516,564)
Morgan Stanley & Co. Inc. (Maturity Value $6,516,564)
UBS Securities LLC (Maturity Value $6,516,564)
Collateralized by U.S. Government Agency Securities, 1.75 - 7.25%,
2/15/06 - 8/15/10;
j U.S. Government Agency Discount Notes, 3/10/06;
and U.S. Treasury Notes, 2.375 - 5.75%, 5/31/06 - 8/15/10
TOTAL INVESTMENTS (COST $1,073,195,009) 1,079,116,218 100.57
FRANKLIN FLOATING RATE MASTER TRUST
OTHER ASSETS, LESS LIABILITIES (6,084,078) (0.57)
-------------- -------
NET ASSETS $1,073,032,140 100.00
============== =======
SELECTED PORTFOLIO ABBREVIATIONS
FRN - Floating Rate Note
L/C - Letter of Credit
a The coupon rate shown represents the rate at period end.
b See Note 1(d) regarding senior floating rate interests.
c See Note 1(c) regarding securities purchased on a when-issued or delayed
delivery basis.
d The principal amount is stated in U.S. dollars unless otherwise indicated.
e See Note 11 regarding fund litigation.
f See Note 10 regarding other considerations.
g See Note 8 regarding unfunded loan commitments.
h Rounds to less than 0.01%.
i See Note 1(b) regarding joint repurchase agreement.
j A portion or all of the security is traded on a discount basis with no
stated coupon rate.
See notes to financial statements.
FRANKLIN FLOATING RATE MASTER TRUST
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
JANUARY 31, 2006 (UNAUDITED)
FRANKLIN FLOATING
RATE MASTER SERIES
------------------
Assets:
Investments in securities:
Cost - Unaffiliated issuers $ 996,529,879
Cost - Repurchase agreements 76,665,130
---------------
Total cost of investments $ 1,073,195,009
---------------
Value - Unaffiliated issuers $ 1,002,451,088
Value - Repurchase agreements 76,665,130
---------------
Total value of investments 1,079,116,218
Cash 6,656,455
Receivables:
Investment securities sold 34,850,666
Capital shares sold 4,134,685
Interest 6,182,619
Unrealized gain on unfunded loan commitments (Note 8) 119,034
---------------
Total assets 1,131,059,677
---------------
Liabilities:
Payables:
Investment securities purchased 51,752,069
Affiliates 537,515
Distributions to shareholders 5,392,478
Accrued expenses and other liabilities 345,475
---------------
Total liabilities 58,027,537
---------------
Net assets, at value $ 1,073,032,140
===============
Net assets consist of:
Paid-in capital $ 1,077,634,721
Accumulated distributions in excess of net investment income (707,004)
Net unrealized appreciation (depreciation) 6,040,243
Accumulated net realized gain (loss) (9,935,820)
---------------
Net assets, at value $ 1,073,032,140
===============
Net asset value and maximum offering price per share ($1,073,032,140 -:- 109,174,526 shares outstanding) $ 9.83
===============
See notes to financial statements.
FRANKLIN FLOATING RATE MASTER TRUST
FINANCIAL STATEMENTS (CONTINUED)
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JANUARY 31, 2006 (UNAUDITED)
FRANKLIN FLOATING RATE
MASTER SERIES
----------------------
Investment income:
Interest $ 32,383,208
------------
Expenses:
Management fees (Note 3a) 4,401,195
Administrative fees (Note 3b) 688,780
Custodian fees (Note 4) 10,869
Professional fees 37,365
Other 71,384
------------
Total expenses 5,209,593
Expense reductions (Note 4) (9,605)
Expenses waived/paid by affiliate (Note 3d) (1,898,507)
------------
Net expenses 3,301,481
------------
Net investment income (loss) 29,081,727
------------
Realized and unrealized gains (losses):
Net realized gain (loss) from investments 324,487
Net change in unrealized appreciation (depreciation) on investments (2,035,209)
------------
Net realized and unrealized gain (loss) (1,710,722)
------------
Net increase (decrease) in net assets resulting from operations $ 27,371,005
============
See notes to financial statements.
FRANKLIN FLOATING RATE MASTER TRUST
FINANCIAL STATEMENTS (CONTINUED)
STATEMENTS OF CHANGES IN NET ASSETS
FRANKLIN FLOATING RATE MASTER SERIES
---------------------------------------
SIX MONTHS ENDED YEAR ENDED
JANUARY 31, 2006 JULY 31,
(UNAUDITED) 2005
---------------------------------------
Increase (decrease) in net assets:
Operations:
Net investment income $ 29,081,727 $ 39,821,846
Net realized gain (loss) from investments 324,487 (1,104,671)
Net change in unrealized appreciation (depreciation) on investments (2,035,209) 2,318,139
----------------------------------
Net increase (decrease) in net assets resulting from operations 27,371,005 41,035,314
Distributions to shareholders from net investment income (29,348,054) (40,252,180)
Capital share transactions (Note 2) (46,123,766) 362,363,109
----------------------------------
Net increase (decrease) in net assets (48,100,815) 363,146,243
Net assets:
Beginning of period 1,121,132,955 757,986,712
----------------------------------
End of period $ 1,073,032,140 $ 1,121,132,955
==================================
Distributions in excess of net investment income included in net assets:
End of period $ (707,004) $ (440,677)
==================================
See notes to financial statements.
FRANKLIN FLOATING RATE MASTER TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The Franklin Floating Rate Master Trust (the Trust) is registered under the
Investment Company Act of 1940 as a non-diversified, open-end investment
company. The Trust consists of one series, the Franklin Floating Rate Master
Series (the Fund) which is organized as a partnership. Shares of the Fund are
issued in the form of partnership interests and are exempt from registration
under the Securities Act of 1933.
The following summarizes the Fund's significant accounting policies.
A. SECURITY VALUATION
Securities listed on a securities exchange or on the NASDAQ National Market
System are valued at the last quoted sale price or the official closing price of
the day, respectively. Over-the-counter securities and listed securities for
which there is no reported sale are valued within the range of the most recent
quoted bid and ask prices. Securities that trade in multiple markets or on
multiple exchanges are valued according to the broadest and most representative
market.
Corporate debt securities generally trade in the over-the-counter market rather
than on a securities exchange. The Fund may utilize independent pricing
services, quotations from bond dealers, and information with respect to bond and
note transactions, to assist in determining a current market value for each
security. The Fund's pricing services may use valuation models or matrix pricing
which considers information with respect to comparable bond and note
transactions, quotations from bond dealers, or by reference to other securities
that are considered comparable in such characteristics as rating, interest rate
and maturity date, option adjusted spread models, prepayment projections,
interest rate spreads and yield curves, to determine current value.
Senior secured corporate loans with floating or variable interest rates
generally trade in the over-the-counter market rather than on a securities
exchange. The Fund may utilize independent pricing services, quotations from
loan dealers and other financial institutions, and information with respect to
bond and note transactions, to assist in determining a current market value for
each security. The Fund's pricing services use independent market quotations
from loan dealers or financial institutions and may incorporate valuation
methodologies that consider multiple bond characteristics such as dealer quotes,
issuer type, coupon, maturity, weighted average maturity, interest rate spreads
and yield curves, cash flow and credit risk/quality analysis to determine
current value.
The Fund has procedures to determine the fair value of individual securities and
other assets for which market prices are not readily available or which may not
be reliably priced. 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 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,
FRANKLIN FLOATING RATE MASTER TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)(CONTINUED)
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%. Repurchase agreements are valued at cost. At January 31, 2006, all
repurchase agreements held by the Fund had been entered into on that date.
C. SECURITIES PURCHASED ON A WHEN-ISSUED OR DELAYED DELIVERY BASIS
The Fund may purchase securities on a when-issued or delayed delivery basis,
with payment and delivery scheduled for a future date. These transactions are
subject to market fluctuations and are subject to the risk that the value at
delivery may be more or less than the trade date purchase price. Although the
Fund will generally purchase these securities with the intention of holding the
securities, it may sell the securities before the settlement date. Sufficient
assets have been segregated for these securities.
D. SENIOR FLOATING RATE INTERESTS
Senior secured corporate loans pay interest at rates which are periodically
reset by reference to a base lending rate plus a spread. These base lending
rates are generally the prime rate offered by a designated U.S. bank or the
London InterBank Offered Rate (LIBOR). Senior secured corporate loans often
require prepayment of principal from excess cash flows or at the discretion of
the borrower. As a result, actual maturity may be substantially less than the
stated maturity.
Senior secured corporate loans in which the Fund invests are generally readily
marketable, but may be subject to some restrictions on resale.
E. INCOME TAXES
No provision has been made for 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. 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. 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.
FRANKLIN FLOATING RATE MASTER TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)(CONTINUED)
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 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. However, based on experience, the
Trust expects the risk of loss to be remote.
2. SHARES OF BENEFICIAL INTEREST
At January 31, 2006, there were an unlimited number of shares authorized ($0.01
par value). Transactions in the Fund's shares were as follows:
SIX MONTHS ENDED YEAR ENDED
JANUARY 31, 2006 JULY 31, 2005
---------------------------------------------------------------
Shares Amount Shares Amount
---------------------------------------------------------------
Shares sold 7,016,773 $ 68,984,120 45,298,765 $ 445,643,440
Shares redeemed (11,705,081) (115,107,886) (8,473,583) (83,280,331)
---------------------------------------------------------------
Net increase (decrease) (4,688,308) $ (46,123,766) 36,825,182 $ 362,363,109
===============================================================
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 Fund are also officers and/or directors of the following
subsidiaries:
SUBSIDIARY AFFILIATION
- --------------------------------------------------------------------------------
Frankiln Advisers Inc. (Advisers) Investment manager
Franklin Templeton Services LLC (FT Services) Administrative manager
Franklin Templeton Investor Services (Investor Services) Transfer agent
Franklin Templeton Distributors Inc. (Distributors) Principal underwriter
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 average daily
net assets of the Fund 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
FRANKLIN FLOATING RATE MASTER TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)(CONTINUED)
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. VOLUNTARY 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 , as noted in the Statement of Operations. Total expenses waived
by FT Services and Advisers are not subject to reimbursement by the Fund
subsequent to the Fund's fiscal year end.
E. OTHER AFFILIATED TRANSACTIONS
At January 31, 2006, the shares of the Fund were owned by the following
entities:
ENTITY SHARES
- -----------------------------------------------------------------------
Franklin Floating Rate Fund PLC 109,154,526
Franklin Resources Inc. 10,000
Templeton Investment Counsel Inc. 10,000
-------------
TOTAL 109,174,526
=============
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, 2006, the
custodian fees were reduced as noted in the Statement of Operations.
5. INCOME TAXES
At January 31, 2006, the cost of investments and net unrealized appreciation
(depreciation) for income tax purposes were as follows:
Cost of investments $ 1,073,609,691
===============
Unrealized appreciation $ 6,692,618
Unrealized depreciation (1,186,091)
---------------
Net unrealized appreciation (depreciation) $ 5,506,527
===============
Net investment income differs for financial statement and tax purposes primarily
due to differing treatments 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.
FRANKLIN FLOATING RATE MASTER TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)(CONTINUED)
6. INVESTMENT TRANSACTIONS
Purchases and sales of investments (excluding short term securities) for the
period ended January 31, 2006, aggregated $352,108,797 and $379,886,248,
respectively.
7. CREDIT RISK
The Fund has 90.65% 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 may be greater for 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.
At January 31, 2006, unfunded commitments were as follows:
UNFUNDED
BORROWER COMMITMENT
- ----------------------------------------------------------------
Allied Waste North America Inc., Revolver $ 1,588,286
American Seafood Group LLC, Term Loan B1 315,309
Baker Tanks Inc., Delay Draw 80,357
Carmike Cinemas Inc., Delay Draw 2,207,150
Coinmach Corp., Term Loan B-1 894,737
Conseco Inc., Revolver 4,000,000
Eastman Kodak Co., Term Loan B2 (Delayed Draw) 3,352,941
FSC Acquisition LLC Hanley Wood, Delay Draw 317,881
Hawaiian Telecom Communications Inc., Term Loan A 2,900,000
Hertz Corp., Delay Draw 638,089
Johnson Diversey Inc., Delay Draw 178,033
Sealy Mattress Co., Revolver 675,000
Sears Canada Inc., Delay Draw 2,400,000
WMG Acquisition Corp. (Warner Music), Revolver A 3,427,333
-----------
$22,975,116
-----------
Unfunded loan commitments are marked to market daily and any unrealized gain or
loss is included in the Statement of Assets and Liabilities and Statement of
Operations.
9. SHAREHOLDER DISTRIBUTIONS
For the period ended January 31, 2006, the Fund made the following
distributions:
Payment Date Amount Per Share
- ---------------------------------------------
8/31/2005 $0.040466
9/30/2005 0.040654
10/31/2005 0.044632
11/30/2005 0.043318
12/30/2005 0.046381
1/31/2006 0.049234
- ---------------------------------------------
Total $0.264685
FRANKLIN FLOATING RATE MASTER TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)(CONTINUED)
Daily distribution information is available at the registered office upon
request.
10. OTHER CONSIDERATIONS
Directors or employees of Advisers, as the Fund's Investment Manager, may serve
as members of various bondholders' steering committees, on credit committees, or
may represent the Funds in certain corporate restructuring negotiations. At
January 31, 2006, such individuals serve in one or more of these capacities for
Adelphia Communications Corp. As a result of this involvement, such individuals
may be in possession of certain material non-public information. If the Fund's
Investment Manager, while in possession of such information, seeks to sell any
of its holdings in these securities it will comply with all applicable federal
securities laws.
11. FUND LITIGATION
On July 6, 2003, Adelphia Communications Corp. ("Adelphia") and related parties,
along with its Official Committee of Unsecured Creditors, filed an adversary
proceeding in the Adelphia bankruptcy case in the U.S. Bankruptcy Court (SDNY)
against more than 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 Advisers Inc., Franklin CLOs I - III, Franklin
Floating Rate Daily Access Fund, Franklin Floating Rate Master Series, and
Franklin Floating Rate Trust. The Complaint alleges that the purchasers of this
bank debt knew, or should have known, that the loan proceeds would not benefit
Adelphia, but instead would be used to enrich Adelphia insiders. It seeks
avoidance of the loans and recovery of intentionally fraudulent transfers.
The Franklin defendants have not yet been required to respond to the complaint
or to discovery, and other pending motions to dismiss have not been ruled upon.
Thus, it is not possible to predict the lawsuit's outcome at this preliminary
stage of the proceedings. However, management of the Funds does not expect that
the result will have a material adverse effect on the financial condition of the
Funds.
12. REGULATORY MATTERS
As part of various investigations by a number of federal, state, and foreign
regulators and governmental entities, relating to certain practices in the
mutual fund industry, including late trading, market timing and marketing
support payments to securities dealers who sell fund shares, Franklin Resources,
Inc. and certain of its subsidiaries (collectively, the "Company"), entered into
settlements with certain of those regulators.
Specifically, the Company entered into settlements with the Securities and
Exchange Commission ("SEC") concerning market timing (the "August 2, 2004 SEC
Order") and marketing support payments to securities dealers who sell fund
shares (the "December 13, 2004 SEC Order") and with the California Attorney
General's Office ("CAGO") concerning marketing support payments to securities
dealers who sell fund shares (the "CAGO Settlement"). Under the terms of the
settlements with the SEC and the CAGO, the Company retained an Independent
Distribution Consultant ("IDC") to develop a plan for distribution of the
respective settlement monies. The CAGO approved the distribution plan under the
CAGO Settlement and, in accordance with the terms and conditions of that
settlement, the monies were disbursed to the relevant funds. The Fund did not
participate in the CAGO Settlement. The SEC has not yet approved the
distribution plan pertaining to the December 13, 2004 SEC Order. When approved,
disbursements of settlement monies will be made promptly to the relevant funds,
in accordance with the terms and conditions of that order. The IDC has also
prepared and submitted to the SEC for its approval a plan of distribution under
the August 2, 2004 SEC Order that resolved the SEC's market timing
investigation.
In addition, the Company, as well as most of the mutual funds within Franklin
Templeton Investments and certain current or former officers, directors, and/or
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.) relating to the industry practices referenced above,
as well as to allegedly excessive advisory fees, commissions, and/or 12b-1 fees.
FRANKLIN FLOATING RATE MASTER TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)(CONTINUED)
The lawsuits were filed in different courts throughout the country. Many of
those suits are now pending in a multi-district litigation in the United States
District Court for the District of Maryland.
The Company and fund management strongly 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 Fund, it is
committed to making the Fund or its shareholders whole, as appropriate.
SHAREHOLDER INFORMATION
PROXY VOTING POLICIES AND PROCEDURES
The Fund has established Proxy Voting Policies and Procedures ("Policies") that
the Fund uses to determine how to vote proxies relating to portfolio securities.
Shareholders may view the Fund's complete Policies online at
franklintempleton.com. Alternatively, shareholders may request copies of the
Policies free of charge by calling the Proxy Group collect at 1-954/847-2268 or
by sending a written request to: Franklin Templeton Companies, LLC, 500 East
Broward Boulevard, Suite 1500, Fort Lauderdale, FL 33394, Attention: Proxy
Group. Copies of the Fund's proxy voting records are also made available online
at franklintempleton.com and posted on the 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 Frank W. T. LaHaye and he is
"independent" as defined under the relevant Securities and Exchange Commission
Rules and Releases.
Item 4. Principal Accountant Fees and Services. N/A
Item 5. Audit Committee of Listed Registrants. N/A
Item 6. Schedule of Investments. N/A
Item 7. Disclosure of Proxy Voting Policies and Procedures for
Closed-End Management Investment Companies. N/A
Item 8. 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 Jimmy D. Gambill, Chief Executive Officer - Finance and Administration, and
Galen G. Vetter, Chief Financial Officer
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 of
Jimmy D. Gambill, Chief Executive Officer - Finance and Administration, and
Galen G. Vetter, Chief Financial Officer
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
FRANKLIN FLOATING RATE MASTER TRUST
By /S/ JIMMY D. GAMBILL
Jimmy D. Gambill
Chief Executive Officer - Finance and Administration
Date March 22, 2006
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By /S/ JIMMY D. GAMBILL
Jimmy D. Gambill
Chief Executive Officer - Finance and Administration
Date March 22, 2006
By /S/ GALEN G. VETTER
Galen G. Vetter
Chief Financial Officer
Date March 22, 2006