n-qflditpe123116.htm - Generated by SEC Publisher for SEC Filing

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF

REGISTERED MANAGEMENT INVESTMENT COMPANY

 

 

Investment Company Act file number 811-21357

 

Franklin Limited Duration Income Trust

 (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

(Name and address of agent for service)

 

Registrant's telephone number, including area code: (650) 312-2000

 

Date of fiscal year end:   03/31   

 

Date of reporting period:  12/31/16

 

 

Item 1. Schedule of Investments.


 

FRANKLIN LIMITED DURATION INCOME TRUST

Statement of Investments, December 31, 2016 (unaudited)        
    Shares/    
  Country Warrants   Value
 
Common Stocks and Other Equity Interests 0.5%        
Energy 0.4%        
a Energy XXI Gulf Coast Inc United States 19,084 $ 525,718
a Energy XXI Gulf Coast Inc., wts., 12/30/21 United States 5,005  
a,b Halcon Resources Corp United States 67,554   566,116
a Halcon Resources Corp., wts., 9/09/20 United States 6,408   13,265
a Midstates Petroleum Co. Inc United States 364   7,549
a,c Midstates Petroleum Co. Inc., wts., 4/21/20. United States 2,579  
a Penn Virginia Corp United States 1,658   81,242
a,d Penn Virginia Corp., 144A. United States 2,071   101,479
        1,295,369
Materials 0.0%        
a Verso Corp., A. United States 4,163   29,557
a Verso Corp., wts., 7/25/23. United States 438  
        29,557
Transportation 0.0%        
a,c CEVA Holdings LLC United States 112   11,214
Utilities 0.1%        
Vistra Energy Corp United States 34,251   530,891
Total Common Stocks and Other Equity Interests        
     (Cost $6,678,683)       1,867,031
 
Convertible Preferred Stocks 0.0%        
Transportation 0.0%        
a,c CEVA Holdings LLC, cvt. pfd., A-1 United States 6   1,950
a,c CEVA Holdings LLC, cvt. pfd., A-2 United States 243   54,619
Total Convertible Preferred Stocks (Cost $369,948)       56,569
 
 
    Principal    
    Amount*    
 
Corporate Bonds 53.9%        
Automobiles & Components 0.9%        
Fiat Chrysler Automobiles NV, senior note, 4.50%, 4/15/20 United Kingdom 2,000,000   2,050,000
The Goodyear Tire & Rubber Co.,        
senior bond, 5.00%, 5/31/26 United States 700,000   698,558
senior note, 5.125%, 11/15/23 United States 300,000   310,500
        3,059,058
Banks 2.8%        
e Bank of America Corp., junior sub. bond, M, 8.125% to 5/15/18, FRN        
     thereafter, Perpetual United States 2,500,000   2,600,000
CIT Group Inc.,        
4.25%, 8/15/17. United States 1,500,000   1,520,625
d senior note, 144A, 6.625%, 4/01/18 United States 500,000   528,125
                d senior note, 144A, 5.00%, 5/15/18 United States 500,000   507,500
e Citigroup Inc., junior sub. bond, M, 6.30% to 5/15/24, FRN thereafter,        
Perpetual United States 1,300,000   1,290,575
e JPMorgan Chase & Co.,        
junior sub. bond, R, 6.00% to 8/01/23, FRN thereafter, Perpetual United States 1,500,000   1,509,375
junior sub. bond, V, 5.00% to 7/30/19, FRN thereafter, Perpetual United States 500,000   499,375

 

Quarterly Statement of Investments | See Notes to Statements of Investments. | 1


 

FRANKLIN LIMITED DURATION INCOME TRUST
STATEMENT OF INVESTMENTS

    Principal    
  Country Amount*   Value
 
Corporate Bonds (continued)        
Banks (continued)        
Royal Bank of Scotland Group PLC, sub. note, 6.125%, 12/15/22 United Kingdom 1,000,000 $ 1,063,520
        9,519,095
Capital Goods 1.4%        
d Cloud Crane LLC, secured note, second lien, 144A, 10.125%, 8/01/24. United States 300,000   321,750
CNH Industrial Capital LLC, senior note, 3.875%, 10/15/21. United States 1,200,000   1,183,500
d Cortes NP Acquisition Corp., senior note, 144A, 9.25%, 10/15/24 United States 1,600,000   1,704,000
d HD Supply Inc., senior note, 144A, 5.75%, 4/15/24 United States 400,000   423,280
TransDigm Inc.,        
senior sub. bond, 6.50%, 5/15/25 United States 500,000   525,625
senior sub. note, 6.00%, 7/15/22 United States 500,000   522,500
        4,680,655
Commercial & Professional Services 0.5%        
d Acosta Inc., senior note, 144A, 7.75%, 10/01/22 United States 1,200,000   1,014,000
United Rentals North America Inc., senior bond, 5.875%, 9/15/26 United States 600,000   620,250
        1,634,250
Consumer Durables & Apparel 1.9%        
d Beazer Homes USA Inc., senior note, 144A, 8.75%, 3/15/22. United States 1,300,000   1,407,250
d Hanesbrands Inc., senior note, 144A, 4.625%, 5/15/24 United States 1,100,000   1,072,500
KB Home,        
senior note, 4.75%, 5/15/19 United States 1,100,000   1,127,500
senior note, 7.00%, 12/15/21 United States 1,100,000   1,168,750
d Taylor Morrison Communities Inc./Monarch Communities Inc.,        
senior note, 144A, 5.25%, 4/15/21 United States 800,000   824,000
senior note, 144A, 5.875%, 4/15/23 United States 1,000,000   1,020,000
        6,620,000
Consumer Services 3.1%        
d 1011778 BC ULC/New Red Finance Inc.,        
secured note, second lien, 144A, 6.00%, 4/01/22 Canada 1,200,000   1,257,000
senior secured note, first lien, 144A, 4.625%, 1/15/22 Canada 600,000   613,500
d 24 Hour Holdings III LLC, senior note, 144A, 8.00%, 6/01/22 United States 1,000,000   855,000
d International Game Technology PLC, senior note, 144A, 5.625%, 2/15/20 United States 2,000,000   2,120,000
d KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, senior        
note, 144A, 5.00%, 6/01/24 United States 1,400,000   1,433,250
MGM Resorts International, senior note, 8.625%, 2/01/19 United States 1,000,000   1,128,750
d ROC Finance LLC/ROC Finance 1 Corp., senior secured note, first lien,        
144A, 6.75%, 11/15/21 United States 1,600,000   1,624,000
d Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., senior bond, 144A,        
5.50%, 3/01/25 United States 900,000   895,050
d Wynn Macau Ltd., senior note, 144A, 5.25%, 10/15/21. Macau 800,000   810,000
        10,736,550
Diversified Financials 2.8%        
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust,        
senior note, 4.25%, 7/01/20 Netherlands 1,300,000   1,335,782
senior note, 4.625%, 10/30/20 Netherlands 600,000   625,815
senior note, 5.00%, 10/01/21 Netherlands 600,000   631,521
Ally Financial Inc., senior note, 6.25%, 12/01/17 United States 1,500,000   1,558,125
E*TRADE Financial Corp.,        
senior note, 5.375%, 11/15/22 United States 400,000   423,299
senior note, 4.625%, 9/15/23 United States 500,000   510,484

 

|2


 

FRANKLIN LIMITED DURATION INCOME TRUST
STATEMENT OF INVESTMENTS

    Principal    
  Country Amount*   Value
 
Corporate Bonds (continued)        
Diversified Financials (continued)        
d Lincoln Finance Ltd., senior secured note, 144A, 7.375%, 4/15/21. Netherlands 1,000,000 $ 1,068,750
Navient Corp.,        
senior note, 5.00%, 10/26/20 United States 300,000   306,750
senior note, 5.875%, 3/25/21 United States 200,000   208,250
senior note, 6.625%, 7/26/21 United States 700,000   742,000
senior note, 7.25%, 9/25/23 United States 2,100,000   2,163,000
        9,573,776
Energy 7.1%        
f BreitBurn Energy Partners LP/BreitBurn Finance Corp., senior bond, 7.875%,        
4/15/22 United States 1,100,000   786,500
California Resources Corp.,        
d secured note, second lien, 144A, 8.00%, 12/15/22 United States 924,000   826,980
senior note, 5.50%, 9/15/21 United States 37,000   29,230
Calumet Specialty Products Partners LP/Calumet Finance Corp.,        
senior note, 7.75%, 4/15/23 United States 1,000,000   835,000
d senior note, 144A, 11.50%, 1/15/21 United States 800,000   918,000
CGG SA, senior note, 6.875%, 1/15/22 France 800,000   372,000
f,g CHC Helicopter SA, senior secured note, first lien, 9.25%, 10/15/20 Canada 2,001,600   900,520
d Cheniere Corpus Christi Holdings LLC,        
senior secured note, 144A, 7.00%, 6/30/24 United States 700,000   761,250
senior secured note, first lien, 144A, 5.875%, 3/31/25 United States 600,000   614,436
CONSOL Energy Inc.,        
senior note, 5.875%, 4/15/22 United States 500,000   492,500
senior note, 8.00%, 4/01/23 United States 700,000   721,875
Crestwood Midstream Partners LP/Crestwood Midstrean Finance Corp.,        
senior note, 6.25%, 4/01/23. United States 1,500,000   1,537,500
CSI Compressco LP/CSI Compressco Finance Inc., senior note, 7.25%,        
8/15/22 United States 400,000   380,000
Energy Transfer Equity LP, senior note, first lien, 7.50%, 10/15/20 United States 2,100,000   2,352,000
        d,g,h EnQuest PLC, 144A, PIK, 7.00%, 4/15/22 United Kingdom 1,042,280   755,138
Ferrellgas LP/Ferrellgas Finance Corp., senior note, 6.75%, 6/15/23 United States 1,100,000   1,086,250
d,f Linn Energy LLC/Finance Corp., senior secured note, second lien, 144A,        
12.00%, 12/15/20. United States 500,000   438,750
Martin Midstream Partners LP/Martin Midstream Finance Corp., senior note,        
7.25%, 2/15/21 United States 900,000   893,250
d Murray Energy Corp., secured note, second lien, 144A, 11.25%, 4/15/21 United States 800,000   620,000
PBF Holding Co. LLC, first lien, 8.25%, 2/15/20 United States 1,000,000   1,026,250
QEP Resources Inc., senior bond, 5.25%, 5/01/23. United States 500,000   503,750
Regency Energy Partners LP/Regency Energy Finance Corp.,        
senior note, 5.875%, 3/01/22 United States 200,000   220,046
senior note, 5.00%, 10/01/22 United States 500,000   529,941
Sabine Pass Liquefaction LLC, first lien, 5.625%, 2/01/21 United States 2,000,000   2,150,000
g Sanchez Energy Corp.,        
senior note, 7.75%, 6/15/21 United States 900,000   920,250
senior note, 6.125%, 1/15/23 United States 300,000   286,500
d,f Triangle USA Petroleum Corp., senior note, 144A, 6.75%, 7/15/22. United States 1,000,000   305,000
Weatherford International Ltd.,        
senior note, 5.125%, 9/15/20 United States 400,000   378,000
senior note, 7.75%, 6/15/21 United States 1,000,000   1,013,750
senior note, 4.50%, 4/15/22 United States 400,000   349,000
WPX Energy Inc., senior note, 7.50%, 8/01/20 United States 1,500,000   1,620,000
        24,623,666

 

|3


 

FRANKLIN LIMITED DURATION INCOME TRUST
STATEMENT OF INVESTMENTS

    Principal    
  Country Amount*   Value
 
Corporate Bonds (continued)        
Food, Beverage & Tobacco 1.9%        
Constellation Brands Inc.,        
senior note, 3.875%, 11/15/19 United States 900,000 $ 933,795
senior note, 4.75%, 12/01/25 United States 200,000   213,000
Cott Beverages Inc., senior note, 6.75%, 1/01/20. United States 700,000   725,813
d Dole Food Co. Inc., senior secured note, 144A, 7.25%, 5/01/19. United States 300,000   306,750
d JBS USA LLC/Finance Inc., senior note, 144A, 8.25%, 2/01/20 United States 2,000,000   2,060,000
d Lamb Weston Holdings Inc., senior note, 144A, 4.625%, 11/01/24. United States 1,100,000   1,105,500
d Post Holdings Inc.,        
senior note, 144A, 6.75%, 12/01/21 United States 600,000   642,000
senior note, 144A, 6.00%, 12/15/22 United States 100,000   104,875
senior note, 144A, 7.75%, 3/15/24 United States 300,000   334,500
        6,426,233
Health Care Equipment & Services 3.6%        
Acadia Healthcare Co. Inc., senior note, 6.50%, 3/01/24. United States 400,000   410,000
Alere Inc., senior sub. note, 6.50%, 6/15/20 United States 300,000   297,000
CHS/Community Health Systems Inc.,        
senior note, 8.00%, 11/15/19 United States 1,100,000   918,500
senior secured note, first lien, 5.125%, 8/15/18 United States 181,000   177,851
HCA Inc.,        
senior bond, 5.875%, 5/01/23 United States 1,500,000   1,597,500
senior note, 7.50%, 2/15/22 United States 1,000,000   1,137,500
senior secured bond, first lien, 5.875%, 3/15/22 United States 1,000,000   1,080,000
senior secured note, first lien, 4.25%, 10/15/19 United States 200,000   208,500
d MPH Acquisition Holdings LLC, senior note, 144A, 7.125%, 6/01/24 United States 1,300,000   1,371,630
d New Amethyst Corp., senior note, 144A, 6.25%, 12/01/24 United States 500,000   528,750
Tenet Healthcare Corp.,        
first lien, 6.00%, 10/01/20 United States 500,000   522,500
senior note, 5.00%, 3/01/19 United States 1,000,000   980,000
senior note, 5.50%, 3/01/19 United States 900,000   888,750
i senior note, FRN, 4.463%, 6/15/20 United States 500,000   505,000
d Vizient Inc., senior note, 144A, 10.375%, 3/01/24 United States 1,700,000   1,929,500
        12,552,981
Materials 7.5%        
d,h ARD Finance SA, senior secured note, 144A, PIK, 7.125% (all cash),        
9/15/23 Luxembourg 600,000   595,500
d Ardagh Packaging Finance PLC/Ardagh MP Holdings USA Inc.,        
senior note, 144A, 6.25%, 1/31/19 Luxembourg 300,000   306,000
i senior secured note, 144A, FRN, 3.963%, 12/15/19 Luxembourg 700,000   712,250
d Barminco Finance Pty. Ltd., senior note, 144A, 9.00%, 6/01/18 Australia 1,000,000   1,021,250
d BlueScope Steel Ltd./BlueScope Steel Finance, senior note, 144A, 6.50%,        
5/15/21 Australia 1,700,000   1,802,000
d Cemex SAB de CV, senior secured bond, 144A, 7.75%, 4/16/26 Mexico 400,000   443,696
The Chemours Co., senior note, 6.625%, 5/15/23 United States 2,000,000   1,990,000
d CVR Partners LP/CVR Nitrogen Finance Corp., secured note, second lien,        
144A, 9.25%, 6/15/23 United States 1,500,000   1,550,625
d Eldorado Gold Corp., senior note, 144A, 6.125%, 12/15/20. Canada 800,000   816,000
d First Quantum Minerals Ltd.,        
senior note, 144A, 6.75%, 2/15/20 Canada 1,261,000   1,264,152
senior note, 144A, 7.00%, 2/15/21 Canada 1,261,000   1,260,496

 

|4


 

FRANKLIN LIMITED DURATION INCOME TRUST
STATEMENT OF INVESTMENTS

    Principal    
  Country Amount*   Value
 
Corporate Bonds (continued)        
Materials (continued)        
d FMG Resources (August 2006) Pty. Ltd., senior secured note, 144A, 9.75%,        
3/01/22 Australia 1,200,000 $ 1,398,084
d Grinding Media Inc./MC Grinding Media Canada Inc., senior secured note,        
144A, 7.375%, 12/15/23 United States 500,000   526,550
d HudBay Minerals Inc., senior note, 144A, 7.25%, 1/15/23 Canada 400,000   415,000
d INVISTA Finance LLC, senior secured note, 144A, 4.25%, 10/15/19 United States 2,000,000   1,989,086
d Novelis Corp., senior note, 144A, 6.25%, 8/15/24 United States 1,300,000   1,381,250
d Owens-Brockway Glass Container Inc.,        
senior note, 144A, 5.00%, 1/15/22 United States 900,000   923,625
senior note, 144A, 5.875%, 8/15/23 United States 400,000   417,750
d Platform Specialty Products Corp.,        
senior note, 144A, 10.375%, 5/01/21 United States 300,000   333,000
senior note, 144A, 6.50%, 2/01/22 United States 1,000,000   1,012,500
d Rain CII Carbon LLC/CII Carbon Corp., second lien, 144A, 8.25%, 1/15/21 United States 600,000   597,000
Reynolds Group Issuer Inc./Reynolds Group Issuer LLC/Reynolds Group        
Issuer Luxembourg SA,        
d first lien, 144A, 5.125%, 7/15/23. United States 400,000   407,000
d senior note, 144A, 7.00%, 7/15/24 United States 100,000   106,438
senior note, 8.25%, 2/15/21 United States 346,793   358,166
d,i senior secured note, first lien, 144A, FRN, 4.38%, 7/15/21 United States 400,000   410,000
d Sealed Air Corp.,        
senior bond, 144A, 5.125%, 12/01/24 United States 500,000   516,250
senior bond, 144A, 5.50%, 9/15/25 United States 600,000   621,000
Steel Dynamics Inc., senior note, 5.125%, 10/01/21. United States 1,500,000   1,571,910
Summit Materials LLC/Summit Materials Finance Corp., senior note, 8.50%,        
4/15/22 United States 1,200,000   1,332,000
        26,078,578
Media 5.5%        
d Altice U.S. Finance I Corp., senior secured bond, 144A, 5.50%, 5/15/26 United States 1,000,000   1,022,500
AMC Networks Inc., senior note, 5.00%, 4/01/24 United States 1,000,000   1,006,250
Cablevision Systems Corp., senior note, 8.625%, 9/15/17 United States 1,000,000   1,041,250
CCO Holdings LLC/CCO Holdings Capital Corp.,        
senior bond, 5.25%, 9/30/22 United States 2,000,000   2,075,000
d senior note, 144A, 5.125%, 5/01/23 United States 500,000   516,250
Clear Channel Worldwide Holdings Inc.,        
senior note, 6.50%, 11/15/22 United States 700,000   719,250
senior sub. note, 7.625%, 3/15/20 United States 800,000   802,496
CSC Holdings LLC,        
senior note, 6.75%, 11/15/21 United States 1,500,000   1,616,250
senior note, 5.25%, 6/01/24 United States 500,000   490,000
Gannett Co. Inc.,        
senior note, 5.125%, 10/15/19 United States 1,200,000   1,233,000
senior note, 5.125%, 7/15/20 United States 500,000   519,375
iHeartCommunications Inc., senior secured bond, first lien, 9.00%, 3/01/21 United States 1,900,000   1,413,125
d Nextstar Escrow Corp., senior note, 144A, 5.625%, 8/01/24 United States 500,000   497,500
d Radio One Inc., senior sub. note, 144A, 9.25%, 2/15/20 United States 600,000   547,500
d Sirius XM Radio Inc.,        
senior bond, 144A, 6.00%, 7/15/24 United States 1,000,000   1,047,500
senior bond, 144A, 5.375%, 4/15/25 United States 1,000,000   997,500
d Virgin Media Secured Finance PLC,        
senior secured bond, first lien, 144A, 5.50%, 1/15/25 United Kingdom 1,100,000   1,120,625
senior secured bond, first lien, 144A, 5.50%, 8/15/26 United Kingdom 400,000   400,000

 

|5


 

FRANKLIN LIMITED DURATION INCOME TRUST
STATEMENT OF INVESTMENTS

    Principal    
  Country Amount*   Value
 
Corporate Bonds (continued)        
Media (continued)        
d WMG Acquisition Corp.,        
secured note, first lien, 144A, 5.00%, 8/01/23 United States 100,000 $ 100,750
senior note, 144A, 5.625%, 4/15/22 United States 1,806,000   1,875,982
        19,042,103
Pharmaceuticals, Biotechnology & Life Sciences 2.1%        
d Concordia International Corp.,        
senior note, 144A, 7.00%, 4/15/23 Canada 1,000,000   310,000
senior secured note, first lien, 144A, 9.00%, 4/01/22. Canada 500,000   425,625
d Endo Finance LLC/Endo Ltd./Endo Finco Inc.,        
senior bond, 144A, 6.00%, 2/01/25 United States 1,000,000   837,500
senior note, 144A, 6.00%, 7/15/23 United States 500,000   441,250
Grifols Worldwide Operations Ltd., senior note, 5.25%, 4/01/22. United States 600,000   624,000
Horizon Pharma Inc., senior note, 6.625%, 5/01/23 United States 1,200,000   1,146,000
d Jaguar Holding Co. II/Pharmaceutical Product Development LLC, senior note,        
144A, 6.375%, 8/01/23 United States 1,200,000   1,287,000
d Valeant Pharmaceuticals International Inc.,        
senior note, 144A, 5.375%, 3/15/20 United States 500,000   425,000
senior note, 144A, 5.625%, 12/01/21 United States 500,000   390,000
d Valeant Pharmaceuticals International, senior note, 144A, 6.375%, 10/15/20 . United States 1,500,000   1,296,090
        7,182,465
Real Estate 0.8%        
Equinix Inc.,        
senior bond, 5.875%, 1/15/26 United States 300,000   316,500
senior note, 4.875%, 4/01/20 United States 1,500,000   1,548,750
MPT Operating Partnership LP/MPT Finance Corp.,        
senior bond, 5.25%, 8/01/26 United States 300,000   294,750
senior note, 6.375%, 3/01/24 United States 700,000   735,875
        2,895,875
Retailing 1.0%        
Dollar Tree Inc., senior note, 5.25%, 3/01/20 United States 400,000   412,500
Netflix Inc., senior note, 5.50%, 2/15/22 United States 2,000,000   2,165,000
d PetSmart Inc., senior note, 144A, 7.125%, 3/15/23 United States 1,000,000   1,022,500
        3,600,000
Semiconductors & Semiconductor Equipment 0.4%        
d Microsemi Corp., senior note, 144A, 9.125%, 4/15/23 United States 600,000   702,000
Qorvo Inc., senior note, 6.75%, 12/01/23 United States 700,000   772,625
        1,474,625
Software & Services 1.7%        
d BMC Software Finance Inc., senior note, 144A, 8.125%, 7/15/21. United States 2,000,000   1,878,750
d First Data Corp.,        
secured note, first lien, 144A, 5.00%, 1/15/24 United States 1,700,000   1,715,419
senior note, 144A, 7.00%, 12/01/23 United States 500,000   533,750
Infor (U.S.) Inc., senior note, 6.50%, 5/15/22 United States 1,800,000   1,881,000
        6,008,919

 

|6


 

FRANKLIN LIMITED DURATION INCOME TRUST
STATEMENT OF INVESTMENTS

    Principal    
  Country Amount*   Value
 
Corporate Bonds (continued)        
Technology Hardware & Equipment 1.4%        
d Blackboard Inc., second lien, 144A, 9.75%, 10/15/21 United States 1,038,000 $ 1,069,140
d CommScope Inc., senior secured note, 144A, 4.375%, 6/15/20. United States 1,000,000   1,025,000
d Diamond 1 Finance Corp./Diamond 2 Finance Corp.,        
senior note, 144A, 5.875%, 6/15/21 United States 400,000   425,592
senior secured bond, first lien, 144A, 6.02%, 6/15/26 United States 200,000   216,763
senior secured note, first lien, 144A, 5.45%, 6/15/23. United States 300,000   318,319
d Western Digital Corp., senior note, 144A, 10.50%, 4/01/24 United States 1,600,000   1,896,000
        4,950,814
Telecommunication Services 4.7%        
CenturyLink Inc.,        
senior bond, 6.75%, 12/01/23 United States 1,000,000   1,026,250
senior bond, 5.625%, 4/01/25 United States 1,400,000   1,335,250
d Digicel Group Ltd., senior note, 144A, 8.25%, 9/30/20 Bermuda 1,200,000   1,030,200
d Digicel Ltd., senior note, 144A, 6.00%, 4/15/21 Bermuda 700,000   635,250
Intelsat Jackson Holdings SA,        
senior note, 7.25%, 4/01/19 Luxembourg 1,500,000   1,267,500
senior note, 7.25%, 10/15/20 Luxembourg 1,000,000   780,000
d Millicom International Cellular SA, senior note, 144A, 6.625%, 10/15/21. Luxembourg 1,500,000   1,580,625
d Sprint Communications Inc.,        
senior note, 144A, 9.00%, 11/15/18 United States 400,000   442,000
senior note, 144A, 7.00%, 3/01/20 United States 600,000   652,500
Sprint Corp.,        
senior bond, 7.125%, 6/15/24 United States 300,000   309,750
senior note, 7.25%, 9/15/21 United States 500,000   532,500
d Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC, 144A, 3.36%, 3/20/23 United States 1,600,000   1,606,992
T-Mobile USA Inc.,        
senior bond, 6.50%, 1/15/24 United States 500,000   537,500
senior note, 6.542%, 4/28/20 United States 900,000   928,125
senior note, 6.125%, 1/15/22 United States 1,000,000   1,057,500
d Wind Acquisition Finance SA,        
secured note, second lien, 144A, 7.375%, 4/23/21 Italy 2,000,000   2,081,200
senior secured note, first lien, 144A, 4.75%, 7/15/20. Italy 500,000   506,250
        16,309,392
Transportation 0.5%        
d Florida East Coast Holdings Corp., secured note, first lien, 144A, 6.75%,        
5/01/19 United States 1,000,000   1,037,500
d Stena International SA, senior secured bond, first lien, 144A, 5.75%, 3/01/24 . Sweden 300,000   261,885
d XPO Logistics Inc., senior note, 144A, 6.125%, 9/01/23 United States 300,000   314,625
        1,614,010
Utilities 2.3%        
Calpine Corp.,        
senior note, 5.375%, 1/15/23 United States 1,500,000   1,473,750
d senior secured bond, first lien, 144A, 7.875%, 1/15/23 United States 218,000   228,082
d senior secured note, first lien, 144A, 6.00%, 1/15/22. United States 100,000   104,875
Dynegy Inc., senior note, 6.75%, 11/01/19 United States 2,000,000   2,045,000
d InterGen NV, secured bond, 144A, 7.00%, 6/30/23 Netherlands 1,500,000   1,342,500
NRG Yield Operating LLC,        
senior bond, 5.375%, 8/15/24 United States 700,000   707,000
  d senior bond, 144A, 5.00%, 9/15/26 United States 1,000,000   960,000

 

|7


 

FRANKLIN LIMITED DURATION INCOME TRUST
STATEMENT OF INVESTMENTS

    Principal    
  Country Amount*   Value
 
Corporate Bonds (continued)        
Utilities (continued)        
Talen Energy Supply LLC, senior note, 6.50%, 6/01/25. United States 1,500,000 $ 1,166,250
        8,027,457
Total Corporate Bonds (Cost $186,463,824)       186,610,502
 
Senior Floating Rate Interests 50.7%        
Automobiles & Components 0.9%        
TI Group Automotive Systems LLC, Initial U.S. Term Loan, 4.50%, 6/25/22 United States 2,947,688   2,991,903
Capital Goods 3.4%        
Delos Finance S.A.R.L. (ILFC), Loans, 3.748%, 3/06/21. United States 2,500,000   2,522,188
Doncasters U.S. Finance LLC, Term B Loans, 4.50%, 4/09/20. United States 1,971,096   1,921,818
Harsco Corp., Initial Term Loan, 6.00%, 11/02/23 United States 448,101   458,183
Leidos (Abacus Innovations Corp.), B Term Loan, 3.52%, 8/16/23 United States 434,013   438,462
Navistar Inc., Tranche B Term Loans, 6.50%, 8/07/20 United States 3,301,407   3,348,865
Onsite Rental Group Operations Pty. Ltd., Term B Loan, 5.50%, 7/30/21 Australia 1,955,000   1,573,775
Ventia Pty. Ltd., 2016 Refinancing Term B Loans, 5.00%, 5/21/22 Australia 1,329,046   1,352,304
        11,615,595
Consumer Services 5.0%        
24 Hour Fitness Worldwide Inc., Term Loan, 4.75%, 5/28/21. United States 1,950,000   1,940,250
Aristocrat Technologies Inc., Term B-1 Loans, 3.631%, 10/20/21 United States 1,102,362   1,115,315
Avis Budget Car Rental LLC, Extended Tranche B Term Loan, 3.50%,        
3/15/22 United States 1,587,629   1,599,695
Fitness International LLC, Term B Loan, 6.00%, 7/01/20 United States 1,923,224   1,927,792
Hilton Worldwide Finance LLC, Series B-2 Term Loans, 3.084%, 10/25/23 United States 2,000,000   2,025,536
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC (Yum        
Brands), Term B Loans, 3.486%, 6/16/23 United States 1,733,985   1,759,119
Prime Security Services Borrower LLC, Term B-1 Loans, 4.25%, 5/02/22 United States 1,995,000   2,020,935
Sabre GLBL Inc., Incremental Term A Loan, 3.27%, 7/18/21. United States 1,974,684   1,977,152
Scientific Games International Inc., Term B-1 Loan, 6.00%, 10/18/20. United States 2,912,431   2,955,753
        17,321,547
Energy 1.1%        
International Seaways Inc., Initial Term Loan, 5.75%, 8/05/19 United States 1,552,204   1,513,399
OSG Bulk Ships Inc., Initial Term Loan, 5.25%, 8/05/19 United States 2,035,947   1,986,321
f,g Samson Investment Co., Second Lien Tranche I Term Loan, 6.75%, 9/25/18 . United States 2,000,000   490,000
        3,989,720
Food, Beverage & Tobacco 0.4%        
B&G Foods Inc., Tranche B Term Loan, 3.75%, 11/02/22 United States 562,374   568,771
JBS USA LLC, Initial Term Loan, 3.75%, 5/25/18 United States 916,904   920,342
        1,489,113
Health Care Equipment & Services 3.8%        
j Community Health Systems Inc., 2018 Term F Loans, 6.00%, 12/31/18 United States 3,900,000   3,844,546
DaVita Healthcare Partners Inc., Tranche B Term Loan, 3.52%, 6/24/21. United States 2,846,219   2,879,426
Envision Healthcare Corp. (Emergency Medical), Initial Term Loans, 4.00%,        
12/01/23 United States 1,192,500   1,203,680
Mallinckrodt International Finance SA, Initial Term B Loan, 3.498%, 3/19/21 Luxembourg 2,882,628   2,893,694
Team Health Inc., New Tranche B Term Loan, 3.77%, 11/23/22. United States 2,391,247   2,396,627
        13,217,973
Household & Personal Products 0.7%        
Spectrum Brands Inc., Term Loans, 3.313% - 3.368%, 6/23/22 United States 2,403,917   2,434,610

 

|8


 

FRANKLIN LIMITED DURATION INCOME TRUST
STATEMENT OF INVESTMENTS

    Principal    
  Country Amount*   Value
 
Senior Floating Rate Interests (continued)        
Materials 3.8%        
Axalta Coating Systems U.S. Holdings Inc., Term B-1 Dollar Loans, 3.498%,        
2/01/23 United States 1,304,633 $ 1,320,941
The Chemours Co. LLC, Tranche B Term Loan, 3.77%, 5/12/22 United States 2,715,811   2,714,963
Cyanco Intermediate Corp., Initial Term Loan, 5.50%, 5/01/20 United States 1,910,936   1,921,685
FMG America Finance Inc. (Fortescue Metals Group), Loans, 3.75%,        
6/30/19 Australia 1,390,000   1,394,518
Ineos U.S. Finance LLC, 2018 Dollar Term Loans, 3.75%, 5/04/18 United States 1,630,146   1,636,666
Novelis Inc., Initial Term Loan, 4.02%, 6/02/22 Canada 2,015,794   2,028,933
OCI Beaumont LLC, Term B-3 Loan, 8.025%, 8/20/19 United States 1,243,784   1,268,660
Oxbow Carbon LLC, Tranche B Term Loan, 4.25%, 7/19/19 United States 850,602   856,982
        13,143,348
Media 7.0%        
AMC Entertainment Holdings Inc., 2016 Incremental Term Loan, 3.511%,        
12/15/23 United States 156,480   158,191
Charter Communications Operating LLC (CCO Safari), Term A Loan, 2.61%,        
5/18/21 United States 976,121   974,494
CSC Holdings Inc. (Cablevision), 2016 Extended Term Loans, 3.876%,        
10/11/24 United States 2,612,182   2,644,427
Gray Television Inc., Term Loan B, 3.938%, 6/13/21. United States 2,646,830   2,677,599
j Lions Gate Entertainment Corp., Term A Loan, 3.145%, 12/08/21 United States 3,021,429   3,020,009
Live Nation Entertainment Inc., Term B-2 Loans, 3.313%, 10/31/23 United States 848,993   858,545
Media General Inc., Term B Loan, 4.00%, 7/31/20 United States 1,645,858   1,648,650
j Nexstar Broadcasting Group Inc., Term Loan B, 6.00%, 9/30/23 United States 814,233   821,939
Regal Cinemas Corp., Term Loan, 3.27%, 4/01/22. United States 3,033,793   3,052,754
Sinclair Television Group Inc., Incremental Term Loan B-1, 3.52%, 7/31/21 United States 2,006,050   2,015,454
j UPC Financing Partnership, Facility AN, 4.08%, 8/31/24 Netherlands 3,817,661   3,861,087
j Virgin Media Bristol LLC, I Facility, 3.75%, 1/31/25 United States 2,622,768   2,638,066
        24,371,215
Pharmaceuticals, Biotechnology & Life Sciences 3.2%        
Endo Luxembourg Finance Co. I S.A.R.L. and Endo LLC, 2015 Incremental        
Term B Loans, 3.813%, 9/25/22 United States 3,021,700   3,037,990
Grifols Worldwide Operations USA Inc., U.S. Tranche B Term Loan, 3.715%,        
2/27/21 United States 1,954,520   1,970,494
Horizon Pharma Inc., Incremental Term B-1 Loan, 5.50%, 10/26/21. United States 149,367   150,487
RPI Finance Trust, Term A-2 Term Loan A, 3.248%, 10/14/20 United States 1,236,762   1,239,597
Valeant Pharmaceuticals International Inc.,        
            j Series A-3 Tranche A Term Loan, 4.52%, 10/20/18. United States 1,819,136   1,816,483
Series C-2 Tranche B Term Loan, 5.25%, 12/11/19 United States 1,154,826   1,155,066
Series D-2 Tranche B Term Loan, 5.00%, 2/13/19 United States 1,583,283   1,583,283
        10,953,400
Retailing 3.5%        
Ascena Retail Group Inc., Tranche B Term Loan, 5.25%, 8/21/22 United States 3,695,680   3,609,448
Dollar Tree Inc.,        
Term A-1 Loans, 2.50%, 7/06/20 United States 2,146,473   2,145,808
Term B-3 Loans, 3.25%, 7/06/22 United States 697,568   704,834
Evergreen AcqCo. 1 LP (Savers), Term Loan, 5.00%, 7/09/19. United States 2,808,114   2,604,526
PetSmart Inc., Tranche B-2 Loans, 4.00%, 3/11/22 United States 2,952,926   2,967,523
        12,032,139

 

|9


 

FRANKLIN LIMITED DURATION INCOME TRUST
STATEMENT OF INVESTMENTS

    Principal    
  Country Amount*   Value
 
Senior Floating Rate Interests (continued)        
Semiconductors & Semiconductor Equipment 2.9%        
Avago Technologies Cayman Finance Ltd., Term B-3 Loans, 3.704%,        
2/01/23 Singapore 2,019,084 $ 2,050,003
MACOM Technology Solutions Holdings Inc., Initial Term Loan, 4.628%,        
5/07/21 United States 2,644,231   2,673,979
MKS Instruments Inc., Tranche B-2 Term Loans, 3.52%, 5/01/23. United States 474,853   479,205
NXP BV/NXP Funding LLC, Tranche F Loan, 3.27%, 12/07/20 United States 1,831,353   1,843,372
ON Semiconductor Corp., 2016 Replacement Term Loans, 4.02%, 3/31/23 United States 2,977,597   3,016,883
        10,063,442
Software & Services 2.8%        
BMC Software Finance Inc., Initial U.S. Term Loans, 5.00%, 9/10/20 United States 2,826,883   2,823,154
Global Payments Inc., Delayed Draw Term Loan (A-2), 2.965%, 10/31/21 United States 2,401,043   2,407,045
MoneyGram International Inc., Term Loan, 4.25%, 3/27/20 United States 2,610,134   2,578,596
Rackspace Hosting Inc., Term B Loan, 5.00%, 11/03/23. United States 746,835   756,544
Sungard Availability Services Capital Inc., Tranche B Term Loan, 6.00%,        
3/29/19 United States 1,223,767   1,187,820
        9,753,159
Technology Hardware & Equipment 2.8%        
Ciena Corp., Term Loan, 3.75%, 7/15/19 United States 2,921,343   2,939,602
CommScope Inc., Tranche 5 Term Loans, 3.27%, 12/29/22 United States 2,021,674   2,042,523
Dell International LLC, Term A-3 Loan, 2.77%, 12/31/18. United States 2,538,306   2,538,702
Western Digital Corp., Term Loan B-1, 4.52%, 4/29/23 United States 1,729,794   1,756,051
Zebra Technologies Corp., Second Amendment Refinancing Term Loan,        
3.446%, 10/27/21. United States 310,494   313,841
        9,590,719
Telecommunication Services 0.7%        
j Consolidated Communications Inc., Term Loan B-2, 5.75%, 10/05/23 United States 528,246   532,373
Zayo Group LLC, 2021 Term Loans, 3.75%, 5/06/21 United States 1,993,564   2,014,746
        2,547,119
Transportation 5.0%        
Air Canada, Term Loan, 3.614%, 10/06/23 Canada 3,010,394   3,034,227
American Airlines Inc.,        
Class B Term Loans, 3.261%, 4/28/23 United States 2,001,025   2,011,969
Class B Term Loans, 3.25%, 12/14/23 United States 2,939,394   2,955,470
Flying Fortress Inc. (ILFC), New Loan, 3.248%, 4/30/20 United States 1,629,859   1,642,083
The Hertz Corp., Tranche B-1 Term Loan, 3.50%, 6/30/23 United States 3,031,520   3,044,783
Navios Maritime Partners LP, Initial Term Loan, 5.25%, 6/27/18. Marshall Islands 2,710,664   2,636,120
XPO Logistics Inc., Refinancing Term Loans, 4.25%, 10/30/21 United States 1,867,306   1,893,448
        17,218,100
Utilities 3.7%        
Alinta Energy Finance Pty. Ltd.,        
Delayed Draw Term Commitments, 6.375%, 8/13/18 Australia 183,965   184,655
Term B Loans, 6.375%, 8/13/19 Australia 2,767,500   2,777,879
Calpine Corp., Term Loan (B5), 3.59%, 5/27/22. United States 2,578,560   2,583,330
EFS Cogen Holdings I LLC (Linden), Term B Advance, 4.50%, 6/28/23 United States 2,593,492   2,622,129
j Lightstone Holdco LLC,        
Term Loan B, 6.50%, 1/30/24. United States 913,043   926,739
Term Loan C, 6.50%, 1/30/24 United States 86,957   88,261
NRG Energy Inc., Term Loans, 3.748%, 6/30/23 United States 3,466,900   3,506,988
        12,689,981
Total Senior Floating Rate Interests (Cost $175,701,035)       175,423,083

 

|10


 

FRANKLIN LIMITED DURATION INCOME TRUST
STATEMENT OF INVESTMENTS

    Principal      
  Country Amount*     Value
 
Foreign Government and Agency Securities          
(Cost $1,963,008) 0.5%          
Government of Mexico, 7.75%, 12/14/17 Mexico 320,000k  MXN $ 1,563,642
Asset-Backed Securities and Commercial Mortgage-          
Backed Securities 9.8%          
Banks 3.8%          
Banc of America Commercial Mortgage Trust, 2006-4, AJ, 5.695%, 7/10/46 United States 524,589     523,727
i Bear Stearns ARM Trust, 2004-4, A6, FRN, 3.122%, 6/25/34 United States 670,897     678,484
Bear Stearns Commercial Mortgage Securities Trust,          
i 2006-PW11, AJ, FRN, 5.436%, 3/11/39 United States 1,550,000     1,490,558
2006-PW13, AJ, 5.611%, 9/11/41. United States 140,557     140,461
Citigroup Commercial Mortgage Trust,          
l 2006-C5, AJ, 5.482%, 10/15/49 United States 670,721     629,655
i 2007-C6, AM, FRN, 5.714%, 12/10/49 United States 1,520,000     1,541,957
2015-GC27, A5, 3.137%, 2/10/48. United States 1,520,000     1,519,175
Commercial Mortgage Trust,          
i 2006-GG7, AJ, FRN, 5.774%, 7/10/38 United States 1,005,000     932,570
2007-GG9, AM, 5.475%, 3/10/39 United States 918,145     917,823
CSAIL Commercial Mortgage Trust, 2015-C1, A4, 3.505%, 4/15/50 United States 1,410,000     1,449,640
JPMBB Commercial Mortgage Securities Trust, 2015 C-28, A4, 3.227%,          
10/15/48 United States 1,410,000     1,419,432
i Merrill Lynch Mortgage Investors Trust,          
l 2003-OPT1, B2, FRN, 4.881%, 7/25/34 United States 33,301     4,071
2005-A6, 2A3, FRN, 1.136%, 8/25/35 United States 338,566     327,548
i Morgan Stanley ABS Capital I Inc. Trust, 2003-NC10, B1, FRN, 5.706%,          
10/25/33 United States 350,442     316,384
i Morgan Stanley Capital I Trust,          
2006-HQ8, AJ, FRN, 5.46%, 3/12/44 United States 26,235     26,361
2007-IQ16, AMA, FRN, 6.047%, 12/12/49 United States 645,000     661,744
Wells Fargo Commercial Mortgage Trust, 2014-LC16, A4, 3.548%, 8/15/50 United States 550,000     567,363
          13,146,953
Diversified Financials 6.0%          
i,l Argent Securities Inc., 2003-W5, M4, FRN, 6.217%, 10/25/33. United States 383,161     385,181
d,i Atrium X, 10A, C, 144A, FRN, 3.48%, 7/16/25. United States 920,000     918,712
d,i Atrium XI, 11A, C, 144A, FRN, 4.082%, 10/23/25 United States 910,000     910,300
d,i BCAP LLC Trust, 2009-RR1, 2A2, 144A, FRN, 3.059%, 5/26/35 United States 1,600,000     1,513,072
d,i Carlyle Global Market Strategies CLO Ltd., 2014-4A, A1, 144A, FRN, 2.38%,          
10/15/26 United States 700,000     700,931
d,i Catamaran CLO Ltd., 2013-1A, C, 144A, FRN, 3.486%, 1/27/25 United States 750,000     744,255
d,i Cent CDO Ltd., 2007-15A, A2B, 144A, FRN, 1.293%, 3/11/21 United States 457,000     445,566
d,i Cent CLO LP, 2013-17A, B, 144A, FRN, 3.887%, 1/30/25 United States 392,157     393,412
i Chase Funding Trust, 2004-2, 2A2, FRN, 1.256%, 2/26/35 United States 456,519     418,069
d,i CIFC Funding Ltd., 2007-3A, A1J, 144A, FRN, 1.284%, 7/26/21 United States 446,469     446,152
d,i Cumberland Park CLO Ltd.,          
2015-2A, B, 144A, FRN, 2.981%, 7/20/26 United States 1,230,000     1,235,006
2015-2A, C, 144A, FRN, 3.731%, 7/20/26 United States 190,000     189,683
d,i Eaton Vance CDO Ltd.,          
2014-1A, A, 144A, FRN, 2.33%, 7/15/26 United States 1,000,000     1,002,180
2014-1A, B, 144A, FRN, 2.93%, 7/15/26 United States 400,000     399,064
2014-1A, C, 144A, FRN, 3.88%, 7/15/26 United States 170,000     170,841
i FHLMC Structured Agency Credit Risk Debt Notes,          
2014-DN1, M2, FRN, 2.956%, 2/25/24 United States 2,300,000     2,353,759
2014-DN4, M2, FRN, 3.156%, 10/25/24 United States 505,538     506,475
2014-HQ2, M2, FRN, 2.956%, 9/25/24 United States 900,000     919,332

 

|11


 

FRANKLIN LIMITED DURATION INCOME TRUST
STATEMENT OF INVESTMENTS

    Principal    
  Country Amount*   Value
 
Asset-Backed Securities and Commercial Mortgage-        
Backed Securities (continued)        
Diversified Financials (continued)        
i FHLMC Structured Agency Credit Risk Debt Notes, (continued)        
2015-DN1, M2, FRN, 3.156%, 1/25/25 United States 1,133,693 $ 1,138,457
2015-HQ1, M2, FRN, 2.956%, 3/25/25 United States 768,029   775,030
i Impac Secured Assets Trust, 2007-2, FRN, 1.006%, 4/25/37 United States 358,450   327,086
d,i Invitation Homes Trust, 2015-SFR1, A, 144A, FRN, 2.186%, 3/17/32 United States 862,540   864,609
JP Morgan Chase Commercial Mortgage Securities Trust, 2006-CB17, AM,        
5.464%, 12/12/43. United States 68,194   68,174
i MortgageIT Trust, 2004-1, A2, FRN, 1.656%, 11/25/34 United States 412,504   393,476
i Opteum Mortgage Acceptance Corp. Trust, 2005-4, 1APT, FRN, 1.066%,        
11/25/35 United States 580,111   551,395
i,l Option One Mortgage Loan Trust, 2003-6, M5, FRN, 5.706%, 11/25/33 United States 193,598   128,510
i Structured Asset Investment Loan Trust, 2003-BC2, M3, FRN, 5.631%,        
4/25/33 United States 13,987   7,444
i Structured Asset Securities Corp., 2005-2XS, 2A2, FRN, 2.256%, 2/25/35 United States 420,766   403,656
i Thornburg Mortgage Securities Trust, 2005-1, A3, FRN, 2.817%, 4/25/45 United States 823,447   827,485
d,i Voya CLO Ltd.,        
2013-1A, B, 144A, FRN, 3.78%, 4/15/24 United States 180,000   180,407
2013-2A, B, 144A, FRN, 3.562%, 4/25/25 United States 1,000,000   1,000,700
Wells Fargo Mortgage Backed Securities Trust,        
i 2004-W, A9, FRN, 3.004%, 11/25/34 United States 288,504   292,617
2007-3, 3A1, 5.50%, 4/25/22 United States 100,401   102,873
d,i Westchester CLO Ltd., 2007-1A, A1A, 144A, FRN, 1.111%, 8/01/22 United States 69,149   69,016
        20,782,925
Total Asset-Backed Securities and Commercial        
Mortgage-Backed Securities (Cost $34,124,045)       33,929,878
 
Mortgage-Backed Securities 26.8%        
i Federal Home Loan Mortgage Corp. (FHLMC) Adjustable Rate 0.1%        
FHLMC, 3.202%, 5/01/34 United States 167,010   175,610
Federal Home Loan Mortgage Corp. (FHLMC) Fixed Rate 10.9%        
FHLMC Gold 15 Year, 5.00%, 12/01/23 United States 656,325   704,424
FHLMC Gold 15 Year, 5.50%, 7/01/19 United States 11,998   12,477
m FHLMC Gold 30 Year, 3.00%, 1/01/46 United States 8,000,000   7,939,025
FHLMC Gold 30 Year, 3.50%, 3/01/45 United States 55,497   56,852
m FHLMC Gold 30 Year, 3.50%, 1/01/46 United States 9,930,000   10,162,145
m FHLMC Gold 30 Year, 4.00%, 1/01/46 United States 12,385,000   13,002,741
FHLMC Gold 30 Year, 4.00%, 8/01/46 United States 3,664,116   3,850,855
FHLMC Gold 30 Year, 6.00%, 7/01/28 - 11/01/36. United States 754,653   859,273
FHLMC Gold 30 Year, 6.50%, 8/01/27 - 3/01/38 United States 408,604   457,039
FHLMC Gold 30 Year, 7.00%, 9/01/27 United States 120,767   133,154
FHLMC Gold 30 Year, 8.00%, 1/01/31 United States 20,252   21,842
FHLMC Gold 30 Year, 8.50%, 7/01/31 United States 380,380   469,537
        37,669,364
i Federal National Mortgage Association (FNMA) Adjustable Rate 0.2%        
FNMA, 2.665% - 2.85%, 6/01/32 - 7/01/34 United States 584,711   610,398
Federal National Mortgage Association (FNMA) Fixed Rate 11.8%        
FNMA 15 Year, 3.00%, 8/01/27 United States 16,987   17,471
FNMA 15 Year, 3.50%, 1/01/21 - 1/01/26 United States 56,946   59,349
m FNMA 15 Year, 3.50%, 1/01/31 United States 410,000   427,047
FNMA 15 Year, 5.50%, 7/01/20 United States 209,590   218,168
FNMA 15 Year, 6.50%, 7/01/20 United States 599   611

 

|12


 

FRANKLIN LIMITED DURATION INCOME TRUST
STATEMENT OF INVESTMENTS

    Principal      
  Country Amount*   Value  
 
Mortgage-Backed Securities (continued)          
Federal National Mortgage Association (FNMA) Fixed Rate (continued)          
m FNMA 30 Year, 3.00%, 1/01/46 United States 8,000,000 $ 7,942,225  
m FNMA 30 Year, 3.50%, 1/01/46 United States 8,425,000   8,630,386  
FNMA 30 Year, 3.50%, 1/01/45 - 7/01/46 United States 2,190,217   2,246,139  
FNMA 30 Year, 4.00%, 11/01/44 - 1/01/45 United States 1,410,345   1,482,949  
m FNMA 30 Year, 4.00%, 1/01/46 United States 10,475,000   11,007,948  
FNMA 30 Year, 4.50%, 5/01/24 - 8/01/44 United States 3,047,200   3,279,561  
FNMA 30 Year, 4.50%, 12/01/44 United States 1,465,598   1,577,198  
m FNMA 30 Year, 4.50%, 1/01/46 United States 875,000   940,937  
FNMA 30 Year, 5.00%, 5/01/38 - 7/01/39 United States 567,756   619,819  
FNMA 30 Year, 5.50%, 6/01/37 United States 560,044   625,249  
FNMA 30 Year, 6.00%, 4/01/33 - 6/01/38 United States 1,187,594   1,348,665  
FNMA 30 Year, 6.50%, 8/01/32 United States 149,348   169,655  
FNMA 30 Year, 7.00%, 9/01/18 United States 14,353   14,717  
FNMA 30 Year, 8.00%, 10/01/29 United States 9,097   9,093  
FNMA 30 Year, 8.50%, 8/01/26 United States 163,624   175,535  
        40,792,722  
Government National Mortgage Association (GNMA) Fixed Rate 3.8%          
GNMA I SF 30 Year, 6.50%, 6/15/31 - 12/15/33 United States 427,200   488,306  
GNMA II SF 30 Year, 3.50%, 3/20/45 - 12/20/45 United States 1,007,206   1,047,721  
m GNMA II SF 30 Year, 3.50%, 1/01/46 United States 11,115,000   11,547,130  
GNMA II SF 30 Year, 7.00%, 1/20/24 - 1/20/29 United States 48,084   54,423  
GNMA II SF 30 Year, 8.00%, 1/20/28 - 10/20/31 United States 123,862   148,872  
        13,286,452  
Total Mortgage-Backed Securities (Cost $92,483,025)       92,534,546  
 
 
    Shares      
 
Escrows and Litigation Trusts 0.0%          
a,c Midstates Petroleum Co. Inc./Midstates Petroleum Co. LLC, Litigation Trust United States 800,000    
a,c NewPage Corp., Litigation Trust United States 1,500,000    
a Penn Virginia Corp., Litigation Trust United States 300,000   7,500  
a,c Vistra Energy Corp., Litigation Trust United States 2,000,000   23,200  
a Vistra Energy Corp., Litigation Trust, TRA United States 34,252   49,665  
Total Escrows and Litigation Trusts (Cost $179,359)       80,365  
Total Investments before Short Term Investments          
    (Cost $497,962,927)       492,065,616  
 
Short Term Investments (Cost $20,840,052) 6.0%          
Money Market Funds 6.0%          
n,o Institutional Fiduciary Trust Money Market Portfolio, 0.09%. United States 20,840,052   20,840,052  
Total Investments (Cost $518,802,979) 148.2%       512,905,668  
Preferred Shares (26.0)%       (90,000,000 )
Other Assets, less Liabilities (22.2)%       (76,882,432 )
Net Assets 100.0%     $ 346,023,236  

 

|13


 

FRANKLIN LIMITED DURATION INCOME TRUST
STATEMENT OF INVESTMENTS

See abbreviations on page 18.

Rounds to less than 0.1% of net assets.
*The principal amount is stated in U.S. dollars unless otherwise indicated.
aNon-income producing.
bSee Note 6 regarding restricted securities.
cSecurity has been deemed illiquid because it may not be able to be sold within seven days. At December 31, 2016, the aggregate value of these securities was $1,297,733,
representing 0.4% of net assets.
dSecurity was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions exempt from registration only to qualified institutional buyers
or in a public offering registered under the Securities Act of 1933. These securities have been deemed liquid under guidelines approved by the Trust’s Board of Trustees. At
December 31, 2016, the aggregate value of these securities was $102,360,190, representing 29.6% of net assets.
ePerpetual security with no stated maturity date.
fDefaulted security or security for which income has been deemed uncollectible.
gAt December 31, 2016, pursuant to the Fund’s policies and the requirements of applicable securities law, the Fund is restricted from trading these securities at period end.
hIncome may be received in additional securities and/or cash.
iThe coupon rate shown represents the rate at period end.
jA portion or all of the security purchased on a delayed delivery basis.
kPrincipal amount is stated in 100 Mexican Peso Units.
lThe bond pays interest and/or principal based upon the issuer’s ability to pay, which may be less than the stated interest rate or principal paydown.
mSecurity purchased on a to-be-announced (TBA) basis.
nSee Note 7 regarding investments in affiliated management investment companies.
oThe rate shown is the annualized seven-day yield at period end.

|14


 

FRANKLIN LIMITED DURATION INCOME TRUST

Notes to Statement of Investments (unaudited)

1. ORGANIZATION

Franklin Limited Duration Income Trust (Fund) is registered under the Investment Company Act of 1940 (1940 Act) as a closed-end management investment company and applies the specialized accounting and reporting guidance in U.S. Generally Accepted Accounting Principles.

2. FINANCIAL INSTRUMENT VALUATION

The Fund’s investments in financial instruments are carried at fair value daily. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Fund calculates the net asset value (NAV) per share as of 4 p.m. Eastern time each day the New York Stock Exchange (NYSE) is open for trading. Under compliance policies and procedures approved by the Fund’s Board of Trustees (the Board), the Fund’s administrator has responsibility for oversight of valuation, including leading the cross-functional Valuation Committee (VC). The VC provides administration and oversight of the Fund’s valuation policies and procedures, which are approved annually by the Board. Among other things, these procedures allow the Fund to utilize independent pricing services, quotations from securities and financial instrument dealers, and other market sources to determine fair value.

Equity securities listed on an exchange or on the NASDAQ National Market System are valued at the last quoted sale price or the official closing price of the day, respectively. Over-the-counter (OTC) securities are valued within the range of the most recent quoted bid and ask prices. Securities that trade in multiple markets or on multiple exchanges are valued according to the broadest and most representative market. Certain equity securities are valued based upon fundamental characteristics or relationships to similar securities.

Debt securities generally trade in the OTC market rather than on a securities exchange. The Fund’s pricing services use multiple valuation techniques to determine fair value. In instances where sufficient market activity exists, the pricing services may utilize a market-based approach through which quotes from market makers are used to determine fair value. In instances where sufficient market activity may not exist or is limited, the pricing services also utilize proprietary valuation models which may consider market characteristics such as benchmark yield curves, credit spreads, estimated default rates, anticipated market interest rate volatility, coupon rates, anticipated timing of principal repayments, underlying collateral, and other unique security features in order to estimate the relevant cash flows, which are then discounted to calculate the fair value. Securities denominated in a foreign currency are converted into their U.S. dollar equivalent at the foreign exchange rate in effect at 4 p.m. Eastern time on the date that the values of the foreign debt securities are determined.

Investments in open-end mutual funds are valued at the closing NAV.

The Fund has procedures to determine the fair value of financial instruments for which market prices are not reliable or readily available. Under these procedures, the VC convenes on a regular basis to review such financial instruments and considers a number of factors, including significant unobservable valuation inputs, when arriving at fair value. The VC primarily employs a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. An income-based valuation approach may also be used in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Due to the inherent uncertainty of valuations of such investments, the fair values may differ significantly from the values that would have been used had an active market existed. The VC employs various methods for calibrating these valuation approaches including a regular review of key inputs and assumptions, transactional back-testing or disposition analysis, and reviews of any related market activity.

|15


 

FRANKLIN LIMITED DURATION INCOME TRUST

NOTES TO STATEMENT OF INVESTMENTS (UNAUDITED)

3. DERIVATIVE FINANCIAL INSTRUMENTS

The Fund invested in derivative financial instruments in order to manage risk or gain exposure to various other investments or markets. Derivatives are financial contracts based on an underlying or notional amount, require no initial investment or an initial net investment that is smaller than would normally be required to have a similar response to changes in market factors, and require or permit net settlement. Derivatives contain various risks including the potential inability of the counterparty to fulfill their obligations under the terms of the contract, the potential for an illiquid secondary market, and/or the potential for market movements.

The Fund entered into OTC forward exchange contracts primarily to manage and/or gain exposure to certain foreign currencies. A forward exchange contract is an agreement between the Fund and a counterparty to buy or sell a foreign currency at a specific exchange rate on a future date. The Fund did not hold any forward exchange contracts at period end.

4. MORTGAGE DOLLAR ROLLS

The Fund enters into mortgage dollar rolls, typically on a TBA basis. Mortgage dollar rolls are agreements between the Fund and a financial institution where the Fund sells (or buys) mortgage-backed securities for delivery on a specified date and simultaneously contracts to repurchase (or sell) substantially similar (same type, coupon, and maturity) securities at a future date and at a predetermined price. Gains or losses are realized on the initial sale, and the difference between the repurchase price and the sale price is recorded as an unrealized gain or loss to the Fund upon entering into the mortgage dollar roll. In addition, the Fund may invest the cash proceeds that are received from the initial sale. During the period between the sale and repurchase, the Fund is not entitled to principal and interest paid on the mortgage backed securities. Transactions in mortgage dollar rolls are accounted for as purchases and sales and may result in an increase to the Fund’s portfolio turnover rate. The risks of mortgage dollar roll transactions include the potential inability of the counterparty to fulfill its obligations.

The Fund is investing in mortgage dollar rolls as an alternate form of leverage. As a result, the mortgage dollar rolls are considered indebtedness or a “senior security” for purposes of the asset coverage requirements under the 1940 Act.

5. INCOME TAXES

At December 31, 2016, the cost of investments and net unrealized appreciation (depreciation) for income tax purposes were as follows:

Cost of investments. $ 519,315,991  
 
Unrealized appreciation $ 9,680,982  
Unrealized depreciation   (16,091,305 )
Net unrealized appreciation (depreciation) $ (6,410,323 )

 

6. RESTRICTED SECURITIES

The Fund invests in securities that are restricted under the Securities Act of 1933 (1933 Act) or which are subject to legal, contractual, or other agreed upon restrictions on resale. Restricted securities are often purchased in private placement transactions, and cannot be sold without prior registration unless the sale is pursuant to an exemption under the 1933 Act. Disposal of these securities may require greater effort and expense, and prompt sale at an acceptable price may be difficult. The Fund may have registration rights for restricted securities. The issuer generally incurs all registration costs.

|16


 

FRANKLIN LIMITED DURATION INCOME TRUST
NOTES TO STATEMENT OF INVESTMENTS (UNAUDITED)

At December 31, 2016, the Fund held investments in restricted securities, excluding certain securities exempt from registration under the 1933 Act deemed to be liquid, as follows:

  Acquisition        
Shares Issuer Date   Cost   Value
67,554 a Halcon Resources Corp. (Value is 0.2% of Net Assets) 10/23/12 - 3/3/14 $ 1,963,999 $ 566,116
aThe Fund also invests in unrestricted securities or other investments in the issuer valued at $13,265, as of December 31, 2016.        

 

7. INVESTMENTS IN AFFILIATED MANAGEMENT INVESTMENT COMPANIES

The Fund invests in one or more affiliated management investment companies for purposes other than exercising a controlling influence over the management or policies. During the period ended December 31, 2016, the Fund held investments in affiliated management investment companies as follows:

                      % of  
                      Affiliated  
  Number of       Number of           Fund Shares  
  Shares Held       Shares   Value       Outstanding  
  at Beginning Gross Gross   Held at End   at End   Investment Realized Held at End  
  of Period Additions Reductions   of Period   of Period   Income Gain (Loss) of Period  
 
Non-Controlled Affiliates                        
Institutional Fiduciary Trust Money Market                        
Portfolio,0.09%. 18,383,143 89,872,733 (87,415,824 ) 20,840,052 $ 20,840,052 $ 548 $- 0.1 %

 

8. FAIR VALUE MEASUREMENTS

The Fund follows a fair value hierarchy that distinguishes between market data obtained from independent sources (observable inputs) and the Fund’s own market assumptions (unobservable inputs). These inputs are used in determining the value of the Fund’s financial instruments and are summarized in the following fair value hierarchy:

The input levels are not necessarily an indication of the risk or liquidity associated with financial instruments at that level.

For movements between the levels within the fair value hierarchy, the Fund has adopted a policy of recognizing the transfers as of the date of the underlying event which caused the movement.

A summary of inputs used as of December 31, 2016, in valuing the Fund’s assets carried at fair value, is as follows:

|17


 

FRANKLIN LIMITED DURATION INCOME TRUST
NOTES TO STATEMENT OF INVESTMENTS (UNAUDITED)

8. FAIR VALUE MEASUREMENTS (continued)                  
 
 
    Level 1   Level 2     Level 3     Total
Assets:                    
  Investments in Securities:                    
Equity Investments:a                    
Energy. $ 203,535 $ 525,718 b $ 566,116 b $ 1,295,369
Materials   29,557           29,557
Transportation     67,783 b       67,783
Utilities.   530,891           530,891
Corporate Bonds     186,610,502         186,610,502
Senior Floating Rate Interests     175,423,083         175,423,083
Foreign Government and Agency Securities     1,563,642         1,563,642
Asset-Backed Securities and Commercial                    
Mortgage-Backed Securities.     33,925,807     4,071     33,929,878
Mortgage-Backed Securities     92,534,546         92,534,546
Escrows and Litigation Trusts     49,665     30,700 b   80,365
Short Term Investments   20,840,052           20,840,052
Total Investments in Securities $ 21,604,035 $ 490,700,746   $ 600,887   $ 512,905,668

 

aIncludes common and convertible preferred stocks as well as other equity investments.
bIncludes securities determined to have no value at December 31, 2016.

A reconciliation of assets in which Level 3 inputs are used in determining fair value is presented when there are significant Level 3 financial instruments at the end of the period.

9. INVESTMENT COMPANY REPORTING MODERNIZATION

In October 2016, the U.S. Securities and Exchange Commission adopted new rules and amended existing rules (together, final rules) intended to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The compliance date for the amendments to Regulation S-X is August 1, 2017. Management is currently evaluating the impact that the adoption of the amendments to Regulation S-X will have on the Fund’s financial statements and related disclosures.

10. SUBSEQUENT EVENTS

The Fund has evaluated subsequent events through the issuance of the Statement of Investments and determined that no events have occurred that require disclosure.

Abbreviations    
 
Currency Selected Portfolio
MXN Mexican Peso ARM Adjustable Rate Mortgage
  CDO Collateralized Debt Obligation
  CLO Collateralized Loan Obligation
  FHLMC Federal Home Loan Mortgage Corp.
  FRN Floating Rate Note
  PIK Payment-In-Kind
  SF Single Family
  TRA Tax Receivable Agreement Right

 

For additional information on the Fund’s significant accounting policies, please refer to the Fund’s most recent semiannual or annual shareholder report.

|18


 

 

 

               

 

Item 2. 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 Quarterly Schedule of Portfolio Holdings on Form N-Q, 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 changes in the Registrant’s internal controls or in other factors that could materially affect the internal controls over financial reporting subsequent to the date of their evaluation in connection with the preparation of this Quarterly Schedule of Portfolio Holdings on Form N-Q.

 

 

Item 3. Exhibits.

 

(a) Certification pursuant to Section 30a-2 under the Investment Company Act of 1940 of Laura F. Fergerson, Chief Executive Officer - Finance and Administration, and Gaston Gardey, Chief Financial Officer and Chief Accounting Officer.

 

 

SIGNATURES

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

 


 

 

 

 

 

 

Franklin Limited Duration Income Trust

 

 

 

By /s/ Laura F. Fergerson

Laura F. Fergerson

Chief Executive Officer –

 Finance and Administration

Date: February 24, 2017

 

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. Fergerson

Laura F. Fergerson

Chief Executive Officer –

 Finance and Administration

Date: February 24, 2017

 

 

 

By /s/ Gaston Gardey

Gaston Gardey

Chief Financial Officer and

Chief Accounting Officer

Date: February 24, 2017