FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF
REGISTERED MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number 811-21357
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FRANKLIN TEMPLETON LIMITED DURATION INCOME TRUST
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(Exact name of registrant as specified in charter)
ONE FRANKLIN PARKWAY, SAN MATEO, CA 94403-1906
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(Address of principal executive offices) (Zip code)
CRAIG S. TYLE, ONE FRANKLIN PARKWAY, SAN MATEO, CA 94403-1906
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(Name and address of agent for service)
Registrant's telephone number, including area code: (954) 527-7500
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Date of fiscal year end: 03/31
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Date of reporting period: 12/31/09
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ITEM 1. SCHEDULE OF INVESTMENTS.
Franklin Templeton Limited Duration Income Trust
STATEMENT OF INVESTMENTS, DECEMBER 31, 2009 (UNAUDITED)
COUNTRY SHARES VALUE
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PREFERRED STOCKS (COST $237,850) 0.1%
DIVERSIFIED FINANCIALS 0.1 %
(a) GMAC Inc., 7.00%, pfd., 144A United States 670 $ 441,655
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PRINCIPAL
AMOUNT(b)
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CORPORATE BONDS 57.8%
AUTOMOBILES & COMPONENTS 1.6%
(a) American Axle & Manufacturing Holdings Inc.,
senior secured note, 144A, 9.25%, 1/15/17 United States 400,000 408,000
Ford Motor Credit Co. LLC, senior note,
7.50%, 8/01/12 United States 2,000,000 2,018,078
9.875%, 8/10/11 United States 2,000,000 2,100,000
(a) TRW Automotive Inc., senior note, 144A, 7.25%, 3/15/17 United States 1,000,000 975,000
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5,501,078
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CAPITAL GOODS 2.2%
(a) Allison Transmission Inc., senior note, 144A,
11.00%, 11/01/15 United States 1,000,000 1,055,000
Case New Holland Inc., senior note, 7.125%, 3/01/14 United States 2,000,000 2,040,000
Greenbrier Cos. Inc., senior note, 8.375%, 5/15/15 United States 600,000 498,750
RBS Global & Rexnord Corp., senior note, 9.50%,
8/01/14 United States 2,000,000 2,015,000
RSC Equipment Rental Inc., senior note, 9.50%,12/01/14 United States 2,000,000 2,012,500
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7,621,250
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COMMERCIAL & PROFESSIONAL SERVICES 1.5%
(c) ARAMARK Corp., senior note, FRN, 8.856%, 2/01/15 United States 2,500,000 2,300,000
(a) Casella Waste Systems Inc., senior secured note,
144A, 11.00%, 7/15/14 United States 900,000 978,750
Clean Harbors Inc., senior secured note, 7.625%,
8/15/16 United States 500,000 509,375
(a, d) JohnsonDiversey Holdings Inc., senior note, 144A,
PIK, 10.50%, 5/15/20 United States 1,300,000 1,313,000
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5,101,125
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CONSUMER DURABLES & Apparel 1.7%
Jarden Corp., senior sub. note, 7.50%, 5/01/17 United States 2,500,000 2,506,250
Jostens IH Corp., senior sub. note, 7.625%, 10/01/12 United States 2,500,000 2,525,000
KB Home, senior note, 6.375%, 8/15/11 United States 209,000 210,045
(a) Norcraft Cos. LP, senior secured note, 144A, 10.50%,
12/15/15 United States 700,000 721,000
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5,962,295
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CONSUMER SERVICES 4.8%
(a) Harrah's Operating Co. Inc., senior secured note,
144A, 11.25%, 6/01/17 United States 500,000 525,625
(a) Harrah's Operating Escrow, senior secured note,
144A, 11.25%, 6/01/17 United States 2,500,000 2,628,125
Host Hotels & Resorts LP, senior note, K, 7.125%,
11/01/13 United States 1,500,000 1,531,875
MGM MIRAGE, senior note,
6.75%,4/01/13 United States 3,000,000 2,610,000
6.625%,7/15/15 United States 500,000 391,250
(a) Norwegian Cruise Line Ltd., senior secured note,
144A, 11.75%, 11/15/16 United States 2,000,000 1,970,000
(a) Pinnacle Entertainment Inc., senior note, 144A,
8.625%, 8/01/17 United States 2,000,000 2,050,000
Royal Caribbean Cruises Ltd., senior note, 7.25%,
6/15/16 United States 1,500,000 1,456,875
Starwood Hotels & Resorts Worldwide Inc., senior
note, 6.75%, 5/15/18 United States 2,500,000 2,518,750
(e) Station Casinos Inc., senior note, 7.75%, 8/15/16 United States 200,000 32,250
(a) Universal City Development,
senior note, 144A, 8.875%, 11/15/15 United States 1,100,000 1,082,125
senior sub. note, 144A, 10.875%, 11/15/16 United States 200,000 201,500
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16,998,375
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DIVERSIFIED FINANCIALS 1.7%
(a) GMAC LLC, senior note, 144A,
7.25%, 3/02/11 United States 1,266,000 1,266,000
6.875%, 8/28/12 United States 1,899,000 1,880,010
Quarterly Statement of Investments See Notes to Statements of Investments
Franklin Templeton Limited Duration Income Trust
STATEMENT OF INVESTMENTS, DECEMBER 31, 2009 (UNAUDITED) (CONTINUED)
JPMorgan Chase & Co., sub. note,
5.75%,1/02/13 United States 2,000,000 $ 2,134,442
(e) Lehman Brothers Holdings Inc., senior note, 6.20%,
9/26/14 United States 3,000,000 600,000
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5,880,452
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ENERGY 9.5%
(a) Antero Resources Finance, senior note, 144A,
9.375%, 12/01/17 United States 900,000 922,500
(a) Arch Coal Inc. , senior note, 144A, 8.75%, 8/01/16 United States 400,000 425,000
Berry Petroleum Co., senior note, 10.25%, 6/01/14 United States 1,300,000 1,420,250
Chesapeake Energy Corp., senior note, 7.50%, 6/15/14 United States 4,000,000 4,100,000
Compagnie Generale de Geophysique-Veritas, senior
note, 7.50%, 5/15/15 France 2,500,000 2,493,750
Concho Resources Inc., senior note, 8.625%, 10/01/17 United States 700,000 738,500
EI Paso Corp., senior note, 12.00%, 12/12/13 United States 2,000,000 2,355,000
(a) Expro Finance Luxembourg, senior secured note,
144A, 8.50%, 12/15/16 United Kingdom 1,500,000 1,476,300
(a) General Maritime Corp., senior note, 144A, 12.00%,
11/15/17 United States 700,000 732,375
(a) Holly Corp., senior note, 144A, 9.875%, 6/15/17 United States 600,000 634,500
Mariner Energy Inc., senior note, 7.50%, 4/15/13 United States 2,000,000 2,000,000
MarkWest Energy Partners LP, senior note, B,
6.875%, 11/01/14 United States 700,000 665,000
(a) OPTI Canada Inc., senior secured note, 144A,
9.00%, 12/15/12 Canada 600,000 616,500
Peabody Energy Corp., senior note, B, 6.875%,
3/15/13 United States 2,000,000 2,032,500
Petrohawk Energy Corp., senior note, 10.50%, 8/01/14 United States 2,000,000 2,195,000
(a) Petroplus Finance Ltd., senior note, 144A, 6.75%,
5/01/14 Switzerland 2,000,000 1,875,361
Plains Exploration & Production Co., senior note,
10.00%, 3/01/16 United States 2,000,000 2,200,000
Quicksilver Resources Inc., senior note, 9.125%,
8/15/19 United States 2,000,000 2,090,000
(a) SandRidge Energy Inc., senior note, 144A, 8.00%,
6/01/18 United States 2,500,000 2,468,750
Tesoro Corp., senior note, 6.625%, 11/01/15 United States 2,000,000 1,910,000
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33,351,286
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FOOD & STAPLES RETAILING 1.2%
Duane Reade Inc., senior secured note, 11.75%,
8/01/15 United States 800,000 872,000
Rite Aid Corp., senior secured note, 9.75%, 6/12/16 United States 1,500,000 1,635,000
SUPERVALU Inc., senior note, 8.00%, 5/01/16 United States 1,500,000 1,530,000
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4,037,000
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FOOD, BEVERAGE & TOBACCO 1.9%
(a) Alliance One International Inc., senior note,
144A, 10.00%, 7/15/16 United States 300,000 316,500
(a) CEDC Finance Corp. International Inc., senior
secured note, 144A, 9.125%,12/01/16 United States 1,000,000 1,035,000
(a) Cott Beverages Inc., senior note, 144A, 8.375%,
11/15/17 United States 900,000 931,500
(a) Dole Food Co. Inc., senior note, 144A,
13.875%,3/15/14 United States 1,029,000 1,242,517
(a) JBS USA LLC, senior note, 144A, 11.625%, 5/01/14 United States 2,000,000 2,295,000
(a) Pinnacle Foods Finance LLC, senior note, 144A,
9.25%, 4/01/15 United States 1,000,000 1,020,000
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6,840,517
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HEALTH CARE EQUIPMENT & SERVICES 5.5%
Coventry Health Care Inc., senior note, 5.875%,
1/15/12 United States 2,000,000 2,029,598
DaVita Inc.,
senior note, 6.625%, 3/15/13 United States 900,000 906,750
senior sub. note, 7.25%, 3/15/15 United States 1,000,000 1,007,500
FMC Finance III SA, senior note, 6.875%, 7/15/17 Germany 2,000,000 1,995,000
(a) Fresenius US Finance II, senior note, 144A, 9.00%,
7/15/15 Germany 1,000,000 1,105,000
HCA Inc., senior secured note, 9.125%, 11/15/14 United States 3,000,000 3,172,500
(a) Tenet Healthcare Corp., senior note, 144A,
9.00%, 5/01/15 United States 1,250,000 1,356,250
10.00%, 5/01/18 United States 1,250,000 1,406,250
(d) United Surgical Partners International Inc.,
senior sub. note, PIK,
9.25%, 5/01/17 United States 2,000,000 2,050,000
(c, d) US Oncology Holdings Inc., senior note, PIK,
FRN, 6.428%, 3/15/12 United States 2,323,000 2,183,620
Vanguard Health Holding Co. II LLC, senior sub.
note, 9.00%, 10/01/14 United States 2,000,000 2,082,500
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19,294,968
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MATERIALS 5.6%
Ball Corp., senior note, 7.125%, 9/01/16 United States 500,000 515,000
(a) Clearwater Paper Corp., senior note, 144A,
10.625%, 6/15/16 United States 1,800,000 2,018,250
Franklin Templeton Limited Duration Income Trust
STATEMENT OF INVESTMENTS, DECEMBER 31, 2009 (UNAUDITED) (CONTINUED)
(c) Freeport-McMoRan Copper & Gold Inc., senior note,
FRN, 8.564%, 4/01/15 United States 1,000,000 $ 995,630
Huntsman International LLC, senior sub. note,
7.875%,11/15/14 United States 2,000,000 1,965,000
(a) Ineos Group Holdings PLC, senior secured note,
144A, 8.50%, 2/15/16 United Kingdom 1,500,000 1,016,250
(a) MacDermid Inc., senior sub. note, 144A, 9.50%,
4/15/17 United States 2,000,000 2,010,000
Nalco Co., senior sub. note, 8.875%, 11/15/13 United States 2,000,000 2,070,000
(a) NewPage Corp., senior secured note, 144A, 11.375%,
12/31/14 United States 1,400,000 1,421,000
Novelis Inc., senior note, 7.25%, 2/15/15 Canada 400,000 383,000
Owens-Brockway Glass Container Inc., senior note,
7.375%, 5/15/16 United States 700,000 726,250
Solo Cup Co.,
(a) senior secured note, 144A, 10.50%, 11/01/13 United States 500,000 531,250
senior sub. note, 8.50%, 2/15/14 United States 1,500,000 1,473,750
Solutia Inc., senior note, 8.75%, 11/01/17 United States 500,000 523,750
Teck Resources Ltd., senior note, 9.75%, 5/15/14 Canada 2,300,000 2,665,125
Weyerhaeuser Co., senior note, 7.375%,10/01/19 United States 1,200,000 1,256,197
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19,570,452
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Media 6.8%
(a) Cablevision Systems Corp., senior note, 144A,
8.625%, 9/15/17 United States 1,000,000 1,046,250
(a) CCH II LLC/CCH II Capital Corp., senior note,
144A, 13.50%, 11/30/16 United States 2,933,512 3,439,543
(a) Clear Channel Worldwide Holdings Inc., senior
note, 144A, 9.25%, 12/15/17 United States 1,000,000 1,033,000
(a) CSC Holdings Inc., senior note, 144A, 8.50%,
4/15/14 United States 1,000,000 1,070,000
(e, f) Dex Media West Finance, senior sub. note,
9.875%, 8/15/13 United States 4,000,000 1,270,000
EchoStar DBS Corp., senior note, 6.375%,10/01/11 United States 2,000,000 2,070,000
Lamar Media Corp., senior sub. note,
7.25%, 1/01/13 United States 1,000,000 1,002,500
C, 6.625%, 8/15/15 United States 2,000,000 1,930,000
LIN Television Corp., senior sub. note, 6.50%,
5/15/13 United States 2,000,000 1,940,000
Quebecor Media Inc., senior note, 7.75%, 3/15/16 Canada 2,500,000 2,506,250
(f) Radio One Inc., senior sub. note, B, 8.875%,
7/01/11 United States 2,000,000 1,672,500
(a) Sinclair Television Group Inc., senior secured
note, 144A, 9.25%, 11/01/17 United States 1,600,000 1,672,000
(a) UPC Germany GmbH, senior note, 144A, 9.625%,
12/01/19 Germany 400,000 EUR 581,169
(a) UPC Holding BV, senior note, 144A, 9.875%, 4/15/18 Netherlands 400,000 409,460
(a) WMG Acquisition Corp., senior secured note, 144A,
9.50%,
6/15/16 United States 2,000,000 2,152,500
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23,795,172
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Pharmaceuticals, Biotechnology & Life Sciences 0.3%
(a) Talecris Biotherapeutics Holdings Corp., senior
note, 144A, 7.75%, 11/15/16 United States 1,100,000 1,122,000
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Real Estate 2.0%
Duke Realty LP, senior note, 7.375%, 2/15/15 United States 1,600,000 1,689,123
(a) FelCor Lodging Trust Inc., senior secured note,
144A, 10.00%, 10/01/14 United States 2,000,000 2,027,500
Forest City Enterprises Inc., senior note, 7.625%,
6/01/15 United States 1,200,000 1,080,000
Simon Property Group LP, senior note, 6.75%, 5/15/14 United States 2,000,000 2,133,372
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6,929,995
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Retailing 0.6%
Michaels Stores Inc., senior note, 10.00%, 11/01/14 United States 2,000,000 2,080,000
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Semiconductors & Semiconductor Equipment 0.6%
(a) Advanced Micro Devices Inc., senior note, 144A,
8.125%, 12/15/17 United States 400,000 400,500
Freescale Semiconductor Inc., senior note, 8.875%,
12/15/14 United States 2,000,000 1,845,000
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2,245,500
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Software & Services 0.9%
SunGard Data Systems Inc., senior note, 9.125%,
8/15/13 United States 3,000,000 3,090,000
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Franklin Templeton Limited Duration Income Trust
STATEMENT OF INVESTMENTS, DECEMBER 31, 2009 (UNAUDITED) (CONTINUED)
TECHNOLOGY HARDWARE & EQUIPMENT 1.0%
Jabil Circuit Inc., senior note, 7.75%, 7/15/16 United States 1,000,000 $ 1,055,000
Sanmina-SCI Corp.,
(a, c) senior note, 144A, FRN, 3.004%, 6/15/14 United States 1,000,000 922,500
senior sub. note, 6.75%, 3/01/13 United States 1,000,000 991,250
(a) ViaSat Inc., senior note, 144A, 8.875%, 9/15/16 United States 400,000 420,000
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3,388,750
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TELECOMMUNICATION SERVICES 4.6%
(a) CC Holdings GS V LLC, senior secured note, 144A,
7.75%, 5/01/17 United States 400,000 428,000
Crown Castle International Corp., senior note, 9.00%,
1/15/15 United States 1,500,000 1,605,000
(a) Digicel Group Ltd., senior note, 144A, 8.875%,1/15/15 Jamaica 2,000,000 1,967,500
Intelsat Subsidiary Holding Co. Ltd., senior note,
8.50%, 1/15/13 Bermuda 2,500,000 2,562,500
(a) 144A, 8.875%, 1/15/15 Bermuda 500,000 517,500
MetroPCS Wireless Inc., senior note, 9.25%,11/01/14 United States 2,000,000 2,035,000
Millicom International Cellular SA, senior note,
10.00%, 12/01/13 Luxembourg 1,500,000 1,560,000
Qwest Communications International Inc., senior note,
B, 7.50%, 2/15/14 United States 2,000,000 2,017,500
Qwest Corp., senior note, 8.375%, 5/01/16 United States 400,000 431,000
(a) Wind Acquisition Finance SA, senior note, 144A,
10.75%, 12/01/15 Italy 2,500,000 2,687,500
(a, d) Wind Acquisition Holding, senior note, 144A, PIK,
12.25%, 7/15/17 Italy 400,000 EUR 547,291
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16,358,791
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TRANSPORTATION 0.5%
(a) Ceva Group PLC, senior secured note, 144A,
10.00%, 9/01/14 United Kingdom 800,000 752,392
11.625%, 10/01/16 United Kingdom 500,000 515,625
(a) Delta Air Lines Inc., senior secured note, 144A,
9.50%, 9/15/14 United States 600,000 627,000
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1,895,017
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UTILITIES 3.3%
Ameren Corp., senior note, 8.875%, 5/15/14 United States 2,000,000 2,248,498
Dynegy Holdings Inc., senior note, 7.50%, 6/01/15 United States 2,000,000 1,880,000
Mirant North America LLC, senior note, 7.375%, 12/31/13 United States 2,000,000 1,987,500
NRG Energy Inc., senior note, 7.25%, 2/01/14 United States 3,000,000 3,045,000
Texas Competitive Electric Holdings Co. LLC, senior
note, A, 10.25%,11/01/15 United States 3,000,000 2,445,000
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11,605,998
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TOTAL CORPORATE BONDS (COST $196,852,802) 202,670,021
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MORTGAGE-BACKED SECURITIES 27.1 %
(c) FEDERAL HOME LOAN MORTGAGE CORP. (FHLMC) ADJUSTABLE
RATE 0.3%
FHLMC, 4.202%, 5/01/34 United States 867,491 903,036
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FEDERAL HOME LOAN MORTGAGE CORP. (FHLMC) FIXED RATE
11.1%
(g) FHLMC Gold 15 Year, 4.50%,1/01/25 United States 2,160,000 2,220,074
(g) FHLMC Gold 15 Year, 5.00%,1/01/25 United States 4,590,000 4,798,703
FHLMC Gold 15 Year, 5.50%, 7/01/19 United States 166,637 177,620
(g) FHLMC Gold 15 Year, 6.00%,1/01/25 United States 870,000 928,181
(g) FHLMC Gold 30 Year, 5.00%, 1/01/40 United States 5,025,000 5,152,982
(g) FHLMC Gold 30 Year, 5.50%, 1/01/40 United States 7,500,000 7,857,420
FHLMC Gold 30 Year, 6.00%, 7/01/28 - 11/01/33 United States 2,620,517 2,806,362
(g) FHLMC Gold 30 Year, 6.00%, 1/01/40 United States 9,660,000 10,244,130
(g) FHLMC Gold 30 Year, 6.50%, 1/01/40 United States 2,211,000 2,366,807
FHLMC Gold 30 Year, 7.00%, 9/01/27 United States 632,895 705,971
FHLMC Gold 30 Year, 8.00%, 1/01/31 United States 126,040 144,455
FHLMC Gold 30 Year, 8.50%, 7/01/31 United States 1,413,926 1,637,777
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39,040,482
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(c) FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA)
ADJUSTABLE RATE 0.4%
FNMA, 2.315%, 7/01/34 United States 1,414,435 1,443,392
FNMA, 5.942%, 6/01/32 United States 49,835 53,237
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1,496,629
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Franklin Templeton Limited Duration Income Trust
STATEMENT OF INVESTMENTS, DECEMBER 31, 2009 (UNAUDITED) (CONTINUED)
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) FIXED
RATE 12.9%
(g) FNMA 15 Year, 5.00%, 1/01/25 United States 1,170,000 $ 1,222,833
FNMA 15 Year, 5.50%, 7/01/20 - 9/01/22 United States 2,674,934 2,852,358
(g) FNMA 15 Year, 6.00%, 1/01/25 United States 1,650,000 1,760,344
FNMA 15 Year, 6.50%, 7/01/20 United States 125,167 134,113
(g) FNMA 30 Year, 4.50%, 1/01/40 United States 1,540,000 1,537,594
(g) FNMA 30 Year, 5.00%, 1/01/40 United States 17,305,000 17,759,256
(g) FNMA 30 Year, 5.50%, 1/01/40 United States 4,798,000 5,022,906
FNMA 30 Year, 6.00%, 4/01/33 United States 735,801 786,502
(g) FNMA 30 Year, 6.00%, 1/01/40 United States 9,860,000 10,443,899
(g) FNMA 30 Year, 6.50%, 8/01/32 - 1/01/40 United States 2,618,875 2,815,319
FNMA 30 Year, 7.00%, 9/01/18 United States 213,224 237,239
FNMA 30 Year, 8.00%, 10/01/29 United States 190,782 218,453
FNMA 30 Year, 8.50%, 8/01/26 United States 302,209 348,608
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45,139,424
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GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) FIXED
RATE 2.4%
(g) GNMA I SF 30 Year, 5.50%,1/01/40 United States 5,910,000 6,191,647
GNMA I SF 30 Year, 6.50%, 6/15/31 - 12/15/33 United States 1,482,104 1,597,175
GNMA II SF 30 Year, 7.00%,1/20/24 -1/20/29 United States 175,255 194,212
GNMA II SF 30 Year, 8.00%, 1/20/28 - 2/20/32 United States 341,665 391,710
------------
8,374,744
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TOTAL MORTGAGE-BACKED SECURITIES (COST $95,111,602) 94,954,315
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ASSET-BACKED SECURITIES AND COMMERCIAL MORTGAGE-
BACKED SECURITIES 10.3%
BANKS 7.2%
(a, c) Babson CLO Ltd., 2005-2A, A1, 144A, FRN, 0.534%,
7/20/19 Cayman Islands 876,578 807,053
Banc of America Commercial Mortgage Inc., 2005-3, A2,
4.501 %, 7/10/43 United States 4,281,428 4,286,575
Citigroup Commercial Mortgage Trust,
(c) 2007-C6, AM, FRN, 5.70%, 6/10/17 United States 320,000 215,391
2008-C7, M, 6.095%, 12/10/49 United States 700,000 630,298
(c) Citigroup/Deutsche Bank Commercial Mortgage Trust,
2005-CD1,
A3, FRN, 5.400%, 7/15/44 United States 3,000,000 3,021,377
A4, FRN, 5.224%, 7/15/44 United States 400,000 399,909
Greenwich Capital Commercial Funding Corp.,
2004-GG1, A7, 5.317%, 6/10/36 United States 1,605,000 1,631,015
2005-GG5, A5, 5.224%, 4/10/37 United States 500,000 474,506
GS Mortgage Securities Corp. II, 2003-C 1, A3,
4.608%, 1/10/40 United States 400,000 406,718
LB-UBS Commercial Mortgage Trust,
(c) 2002-C2, M, FRN, 5.594%, 6/15/31 United States 2,000,000 2,093,494
2005-C1, A2, 4.31 %, 2/15/30 United States 852,154 853,198
2005-C5, M, 4.954%, 9/15/30 United States 6,000,000 5,823,352
2006-C1, M, 5.156%, 2/15/31 United States 2,800,000 2,715,241
(c) Merrili Lynch Mortgage Investors Trust, 2003-0PT1,
B2, FRN, 3.87%, 7/25/34 United States 127,009 10,467
(c) Morgan Stanley ABS Capital I Inc. Trust,
2003-HE3, B1, FRN, 4.42%,10/25/33 United States 693,999 154,614
2003-NC10, B1, FRN, 5.20%, 10/25/33 United States 523,157 72,433
(a, c) Schilier Park CLO Ltd., 2007-1A, A2, 144A, FRN,
0.522%, 4/25/21 United States 1,700,000 1,520,795
------------
25,116,436
------------
DIVERSIFIED FINANCIALS 3.1 %
(c) Advanta Business Card Master Trust, 2007-A4, A4,
FRN, 0.263%, 4/22/13 United States 658,811 626,170
(c) Argent Securities Inc., 2003-W5, M4, FRN,
4.85%,10/25/33 United States 1,065,052 366,296
(c) Chase Funding Mortgage Loan Asset-Backed Certificates,
2004-2, 2A2, FRN, 5.60%, 2/25/35 United States 1,259,941 901,972
(c) GSAMP Trust, 2003-AHL, B1, FRN, 5.12%,10/25/33 United States 1,243,595 304,492
JPMorgan Chase Commercial Mortgage Securities Corp.,
2005-LDP2, AM, 4.78%, 7/15/42 United States 200,000 159,712
(c) 2005-LDP5, A4, FRN, 5.179%,12/15/44 United States 1,000,000 991,526
Franklin Templeton Limited Duration Income Trust
STATEMENT OF INVESTMENTS, DECEMBER 31, 2009 (UNAUDITED) (CONTINUED)
(c) MBNA Credit Card Master Note Trust, 2005-A11, A11,
FRN, 0.313%, 5/15/13 United States 4,000,000 $ 3,969,925
(c) MBNA Master Credit Card Trust II, 1997-B, A, FRN,
0.393%, 8/15/14 United States 3,000,000 2,941,605
(c) Morgan Stanley Dean Witter Capital I, 2003-NC3,
B1, FRN, 4.45%, 3/25/33 United States 611,179 49,394
(c, h) NewCentury Home Equity Loan Trust, 2003-2, M3,
FRN, 5.794%, 1/25/33 United States 658,853 23,814
(c) Option One Mortgage Loan Trust, 2003-6, M5, FRN,
5.233%, 11/25/33 United States 835,680 300,441
(c) Specialty Underwriting & Residential Finance,
2003-BC4, B2, FRN, 3.80%, 11/25/34 United States 282,157 84,578
(c) Structured Asset Investment Loan Trust,
2003-BC2, M3, FRN, 8.57%, 4/25/33 United States 13,987 705
2003-BC13, M4, FRN, 3.868%, 11/25/33 United States 136,390 84,026
------------
10,804,656
------------
TOTAL ASSET-BACKED SECURITIES AND COMMERCIAL MORTGAGE-BACKED SECURITIES (COST $39,722,535) 35,921,092
------------
(c) SENIOR FLOATING RATE INTERESTS 48.5%
Automobiles & Components 1.0%
Federal-Mogul Corp., Term Loan B, 2.168%, 12/27/14 United States 2,095,091 1,765,114
United Components Inc., Term Loan D, 2.25%, 6/29/12 United States 2,000,000 1,852,500
------------
3,617,614
------------
CAPITAL Goods 4.8%
Ashtead Group PLC, Term Loan, 2.063%, 8/31/11 United Kingdom 912,000 886,920
Baldor Electric Co., Term Loan B, 5.25%,1/31/14 United States 547,058 547,514
BE Aerospace Inc., Term Loan B, 5.75%, 7/28/14 United States 1,201,559 1,210,570
Goodman Global Holdings Co. Inc., Term Loan B,
6.25%, 2/13/14 United States 2,084,500 2,090,581
Manitowoc Co. Inc., Term Loan B, 7.50%, 11/06/14 United States 1,591,500 1,547,734
(g) 0shkosh Truck Corp., Term Loan B, 6.26% - 6.29%,
12/06/13 United States 1,945,193 1,947,382
RBS Global Inc. (Rexnord),
Incremental Tranche B-2, 2.50%, 7/22/13 United States 992,327 921,210
Tranche B-1 Term Loan B, 2.75% - 2.813%, 7/22/13 United States 3,000,000 2,833,125
Sensus Metering Systems Inc., Term Loan B-3, 7.00%,
6/17/13 United States 1,061,555 1,065,535
Spirit Aerosystems Inc. (Onex Wind Finance LP),
Term B-1 Loan, 2.034%, 12/31/11 United States 1,244,160 1,213,056
TriMas Co. LLC,
Term Loan B, 6.00%, 12/15/15 United States 1,535,081 1,446,814
Tranche B-1 L/C, 6.00%, 8/02/11 United States 366,149 345,096
URS Corp., Term Loan B, 2.481 % - 2.54%, 5/15/13 United States 892,742 877,398
------------
16,932,935
------------
COMMERCIAL & PROFESSIONAL SERVICES 2.3%
ARAMARK Corp.,
Synthetic L/C, 2.113%,1/26/14 United States 271,357 257,959
Term Loan B, 2.126%, 1/26/14 United States 4,126,169 3,922,439
JohnsonDiversey Inc., Tranche B Dollar Term Loan,
5.50%, 11/24/15 United States 416,860 420,768
Language Line LLC, Term Loan B, 5.50%,11/04/15 United States 500,000 498,125
Nielsen Finance LLC (VNU Inc.), Class A Term Loan,
2.235%, 8/09/13 United States 2,666,951 2,501,934
West Corp.,
Term Loan B-2, 2.606% - 2.609%, 10/24/13 United States 179,973 170,074
Term Loan B-4, 4.106% - 4.109%, 7/15/16 United States 261,418 250,570
------------
8,021,869
------------
CONSUMER DURABLES & APPAREL 1.0%
Jarden Corp.,
Term Loan B2, 2.001%, 1/24/12 United States 1,075,840 1,040,876
Term Loan B4, 3.501%, 1/26/15 United States 1,224,998 1,215,504
Franklin Templeton Limited Duration Income Trust
STATEMENT OF INVESTMENTS, DECEMBER 31, 2009 (UNAUDITED) (CONTINUED)
Jostens IH Corp. (Visant Holding Corp.), Term Loan
C, 2.235%, 10/04/11 United States 1,350,000 $ 1,322,663
------------
3,579,043
------------
CONSUMER SERVICES 5.0%
Affinion Group Inc., Term Loan B, 2.731%, 10/17/12 United States 2,970,687 2,790,218
Education Management LLC, Term Loan C, 2.063%,
6/01/13 United States 2,414,666 2,273,307
Harrah's Operating Co. Inc., Term Loan B-4, 9.50%,
10/31/16 United States 2,000,000 1,994,376
Laureate Education Inc.,
Closing Date Term Loan, 3.532%, 8/18/14 United States 1,989,445 1,781,797
Delayed Draw Term Loan, 3.532%, 8/18/14 United States 292,676 262,128
Term Loan B, 7.00%, 8/18/14 United States 1,097,250 1,069,819
Penn National Gaming Inc., Term Loan B, 1.98% -
2.03%, 10/03/12 United States 2,574,499 2,499,274
Universal City Development Partners Ltd., Term
Loan, 6.50%, 11/06/14 United States 1,000,000 1,005,250
VML U.S. Finance LLC (Venetian Macau),
Delayed Draw, 4.76%, 5/25/12 Macau 666,374 632,888
New Project Term Loans, 4.76%, 5/25/13 Macau 2,484,442 2,359,598
Term Loan B, 4.76%, 5/25/13 Macau 889,935 845,216
------------
17,513,871
------------
ENERGY 0.8%
Dresser Inc., Term Loan B, 2.521%, 5/04/14 United States 1,552,923 1,451,705
(g) Targa Resources Inc., 6.25%, 7/05/16 United States 1,460,000 1,465,475
------------
2,917,180
------------
Food & STAPLES RETAILING 0.9%
Rite Aid Corp., Tranche 3 Term Loan, 6.00%, 6/04/14 United States 1,989,567 1,872,183
Wm. Wrigley Jr. Co.,
Term Loan B1, 3.063%, 12/17/12 United States 514,460 514,965
Term Loan B2, 3.313%, 10/06/14 United States 720,245 722,132
------------
3,109,280
------------
FOOD, BEVERAGE & TOBACCO 0.5%
Dean Foods Co., Term Loan B, 1.615% - 1.635%,
4/02/14 United States 1,734,997 1,657,542
------------
HEALTH CARE EQUIPMENT & SERVICES 6.3%
Bausch and Lomb Inc.,
Delayed Draw Term Loan, 3.501%, 4/28/15 United States 323,150 308,508
Parent Term Loan, 3.501%, 4/28/15 United States 1,330,702 1,270,405
Community Health Systems Inc.,
Delayed Draw Term Loan, 2.506%, 7/25/14 United States 122,735 116,019
Term Loan, 2.506%, 7/25/14 United States 2,400,503 2,269,143
DaVita Inc., Term Loan B-1, 1.74% -1.79%, 10/05/12 United States 3,717,434 3,617,271
DJO Finance LLC, Term Loan B, 3.231%, 5/20/14 United States 1,352,464 1,278,924
Fresenius Medical Care Holdings Inc., Term Loan B,
1.626% - 1.659%, 3/31/13 Germany 1,481,378 1,428,048
Fresenius SE,
Term Loan B1, 6.75%, 9/10/14 Germany 479,622 483,476
Term Loan B2, 6.75%, 9/10/14 Germany 258,378 260,454
HCA Inc., Term Loan B-1, 2.501%, 11/18/13 United States 4,074,731 3,900,027
Iasis Healthcare LLC,
Delayed Draw Term Loan, 2.231%, 3/14/14 United States 472,974 442,112
Initial Term Loan, 2.231%, 3/14/14 United States 1,366,670 1,277,495
Synthetic L/C, 2.293%, 3/14/14 United States 128,047 119,692
LifePoint Hospitals Inc., Term Loan B, 1.887%,
4/15/12 United States 1,980,324 1,923,801
Psychiatric Solutions Inc., Term Loan, 2.006% -
2.034%, 7/01/12 United States 915,722 869,478
Team Finance LLC, Term Loan B, 2.251% - 2.267%,
11/23/12 United States 987,133 940,245
Vanguard Health Holding Co. II LLC, Replacement
Term Loan, 2.481%, 9/23/11 United States 1,560,447 1,533,529
------------
22,038,627
------------
INSURANCE 0.5%
Conseco Inc., Term Loan, 7.50%, 10/10/13 United States 1,646,835 1,563,121
------------
Franklin Templeton Limited Duration Income Trust
STATEMENT OF INVESTMENTS, DECEMBER 31, 2009 (UNAUDITED) (CONTINUED)
MATERIALS 7.2%
Anchor Glass Container Corp., Term Loan, 6.75%,
6/20/14 United States 1,389,363 $ 1,393,994
Celanese U.S. Holdings LLC, Dollar Term Loan,
2.037%, 4/02/14 United States 2,939,623 2,795,908
Domtar Corp., Term Loan, 1.608%, 3/07/14 United States 547,155 534,912
Georgia-Pacific LLC,
Additional Term Loan, 2.231 % - 2.251%, 12/20/12 United States 766,980 742,820
Term Loan B, 2.251% - 2.256%, 12/20/12 United States 734,502 711,365
Term Loan C, 3.481% - 3.506%, 12/23/14 United States 930,573 928,479
Graham Packaging Co. LP, Term Loan C, 6.75%, 4/05/14 United States 1,992,475 2,010,186
Hexion Specialty Chemicals BV, Term Loan C-2,
2.563%, 5/03/13 Netherlands 690,753 604,409
Hexion Specialty Chemicals Inc., Term Loan C-1,
2.563%, 5/03/13 United States 3,188,082 2,789,572
Huntsman International LLC, Term Loan B, 1.981%,
4/21/14 United States 2,283,616 2,164,542
Nalco Co.,
Term Loan, 6.50%, 5/13/16 United States 995,000 1,010,671
Tranche C Term Loan, 1.985%, 5/13/16 United States 800,000 775,666
Oxbow Carbon LLC,
Delayed Draw Term Loan, 2.283%, 5/08/14 United States 271,706 257,895
Term Loan B, 2.234% - 3.75%,5/08/14 United States 2,839,443 2,695,105
Reynolds Consumer Products Holdings Inc., Term
Loan, 6.25%, 11/05/15 United States 1,000,000 1,007,500
Rockwood Specialties Group Inc., Term Loan H,
6.00%, 5/15/14 United States 1,797,500 1,819,969
Univar Inc., Opco Tranche B Term Loan,
3.231%, 10/10/14 United States 3,206,817 2,971,651
------------
25,214,644
------------
MEDIA 8.4%
CSC Holdings Inc. (Cablevision), Incremental Term
Loan B-2, 2.004% - 2.046%, 3/29/16 United States 770,000 754,760
Dex Media West LLC, Term Loan B, 7.00%, 10/24/14 United States 3,891,620 3,606,236
DIRECTV Holdings LLC,
Term Loan B, 1.731 %, 4/13/13 United States 994,792 973,497
Term Loan C, 5.25%, 4/13/13 United States 997,468 1,000,586
Discovery Communications Inc.,
Term Loan B, 2.251 %, 5/14/14 United States 497,449 486,567
Term Loan C, 5.25%, 5/14/14 United States 893,250 903,857
Entravision Communications Corp., Term Loan B,
5.54%, 3/29/13 United States 2,249,383 2,165,031
Gray Television Inc., Term Loan B, 3.74% -
3.79%,12/31/14 United States 1,546,898 1,352,891
Insight Midwest Holdings, Term Loan B, 2.29%,
4/02/14 United States 2,160,000 2,063,958
MCC Iowa,
Term Loan E, 6.50%, 1/03/16 United States 886,500 895,919
Tranche D-1 Term Loan, 1.97%, 1/31/15 United States 492,177 458,586
Tranche D-2 Term Loan, 1.97%, 1/31/15 United States 57,230 53,324
Mission Broadcasting Inc., Term Loan B,
5.00%,10/01/12 United States 965,536 907,604
Newsday LLC, Floating Rate Term Loan, 6.534%,
8/01/13 United States 2,400,000 2,421,000
Nexstar Broadcasting Inc., Term Loan B,
5.00%,10/01/12 United States 912,800 858,032
Regal Cinemas Corp., Term Loan, 4.001 %, 10/27/13 United States 3,076,148 3,071,664
Univision Communications Inc., Initial Term Loan,
2.501 %, 9/29/14 United States 3,000,000 2,617,500
UPC Financing Partnership,
Term Loan N, 1.985%, 12/31/14 Netherlands 2,897,847 2,722,165
Term Loan T, 3.735%, 12/31/16 Netherlands 2,272,153 2,212,793
------------
29,525,970
------------
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES 0.6%
Life Technologies Corp., Term Loan B, 5.25%,11/21/15 United States 514,000 518,069
Warner Chilcott Co. LLC,
Term Loan A, 5.50%, 10/30/14 United States 576,271 578,203
Term Loan B2, 5.75%, 4/30/15 United States 633,898 636,024
Warner Chilcott Corp.,
(g) Additional Term Loan, 5.75%, 4/30/15 United States 201,695 202,073
Term Loan B1, 5.75%, 4/30/15 United States 288,136 289,102
------------
2,223,471
------------
REAL ESTATE 0.2%
CB Richard Ellis Services Inc., Term Loan B, 6.00%
- 6.25%, 12/20/13 United States 801,674 766,935
------------
Franklin Templeton Limited Duration Income Trust
STATEMENT OF INVESTMENTS, DECEMBER 31, 2009 (UNAUDITED) (CONTINUED)
RETAILING 0.9%
Dollar General Corp., Tranche B-1 Term Loan, 2.981% -
3.031 %, 7/07/14 United States 1,992,494 $ 1,929,730
(g) Pilot Travel Centers LLC, Term Loan B, 5.50%,
12/15/15 United States 1,000,000 1,007,745
------------
2,937,475
------------
SOFTWARE & SERVICES 3.2%
Affiliated Computer Services Inc.,
Additional Term Loan, 2.231% - 2.234%, 3/20/13 United States 1,739,250 1,729,825
Term Loan B, 2.231%, 3/20/13 United States 480,000 477,399
Emdeon Business Services LLC, First Lien Term Loan,
2.26%, 11/16/13 United States 2,019,094 1,933,283
Fidelity National Information Services Inc., Tranche C
Term Loan, 4.481%,1/18/12 United States 240,423 240,723
First Data Corp., Term Loan B-2, 2.999% - 3.001%,
9/24/14 United States 2,440,057 2,177,141
Metavante Corp., Term Loan B, 3.531%, 11/01/14 United States 877,215 871,732
Rovi Corp., Term Loan B, 6.00%, 5/02/13 United States 471,018 473,373
SunGard Data Systems Inc.,
Tranche A U.S. Term Loan, 1.985%, 2/28/14 United States 119,241 113,074
Tranche B U.S. Term Loan, 3.869% - 3.90%, 2/28/16 United States 3,353,053 3,279,285
------------
11,295,835
------------
TECHNOLOGY HARDWARE & EQUIPMENT 1.3%
CommScope Inc., Term Loan B, 2.731% - 2.751%,
12/26/14 United States 982,849 959,200
Flextronics International USA Inc.,
Term Loan A, 2.484% - 2.54%, 10/01/14 United States 1,822,339 1,694,396
Term Loan A-1, 2.534%,10/01/14 United States 523,661 486,896
Itron Inc., Dollar Term Loan, 3.99%, 4/18/14 United States 1,299,076 1,291,275
------------
4,431,767
------------
TELECOMMUNICATION SERVICES 1.8%
Intelsat Corp. (Panamsat),
Tranche B-2-A, 2.735%, 1/03/14 United States 1,271,686 1,201,545
Tranche B-2-B, 2.735%, 1/03/14 United States 1,271,298 1,201,178
Tranche B-2-C, 2.735%, 1/03/14 United States 1,271,298 1,201,178
NTELOS Inc., Term Loan B, 5.75%, 8/07/15 United States 830,177 837,442
Windstream Corp., Tranche B-2 Term Loan, 3.04%,
12/17/15 United States 1,997,465 1,952,880
------------
6,394,223
------------
UTILITIES 1.8%
Dynegy Holdings Inc.,
Term LlC Facility, 3.99%, 4/02/13 United States 1,797,879 1,727,461
Term Loan B, 3.99%, 4/02/13 United States 24,056 23,114
NRG Energy Inc.,
Credit Link, 2.001%, 2/01/13 United States 819,782 781,970
Term Loan, 1.981% - 2.001%, 2/01/13 United States 1,393,528 1,329,251
Texas Competitive Electric Holdings Co. LLC, Term Loan
B-2, 3.735% - 3.751%, 10/10/14 United States 2,937,538 2,399,601
------------
6,261,397
------------
TOTAL SENIOR FLOATING RATE INTERESTS (COST
$168,756,906) 170,002,799
------------
FOREIGN GOVERNMENT AND AGENCY SECURITIES 3.1%
(c, i) Government of Argentina, senior bond, FRN, 0.943%,
8/03/12 Argentina 3,950,000 1,360,775
Government of Malaysia,
3.756%, 4/28/11 Malaysia 5,860,000 MYR 1,741,871
3.833%, 9/28/11 Malaysia 6,800,000 MYR 2,028,104
Government of Mexico, M 20, 10.00%, 12/05/24 Mexico 341,000(j) MXN 2,995,618
Government of Sweden, 5.25%, 3/15/11 Sweden 19,400,000 SEK 2,866,145
------------
TOTAL FOREIGN GOVERNMENT AND AGENCY SECURITIES (COST
$10,934,368) 10,992,513
------------
Total Investments BEFORE SHORT TERM INVESTMENTS (COST
$511,616,063) 514,982,395
------------
Franklin Templeton Limited Duration Income Trust
STATEMENT OF INVESTMENTS, DECEMBER 31, 2009 (UNAUDITED) (CONTINUED)
SHORT TERM INVESTMENTS (COST $5,561,617) 1.6%
SHARES
----------
MONEY MARKET FUNDS 1.6%
(k) Institutional Fiduciary Trust Money Market
Portfolio, 0.00% United States 5,561,617 $ 5,561,617
------------
TOTAL INVESTMENTS (COST $517,177,680) 148.5% 520,544,012
PREFERRED SHARES (25.7)% (90,000,000)
OTHER ASSETS, LESS LIABILITIES (22.8)% (79,930,902)
------------
NET ASSETS APPLICABLE TO COMMON SHARES 100.0% $350,613,110
============
(a) Security 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 Fund's Board of Trustees. At December 31, 2009,
the aggregate value of these securities was $71,018,921, representing
20.26% of net assets.
(b) The principal amount is stated in U.S. dollars unless otherwise indicated.
(c) The coupon rate shown represents the rate at period end.
(d) Income may be received in additional securities and/or cash.
(e) Defaulted security or security for which income has been deemed
uncollectible.
(f) See Note 5 regarding other considerations.
(g) A portion or all of the security purchased on a delayed delivery or
to-be-announced basis.
(h) The 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.
(i) The principal amount is stated in original face, and scheduled paydowns are
reflected in the market price on ex-date.
(j) Principal amount is stated in 100 Mexican Peso Units.
(k) The Institutional Fiduciary Trust Money Market Portfolio is managed by the
Fund's investment manager. The rate shown is the annualized seven-day yield
at period end.
Franklin Templeton Limited Duration Income Trust
STATEMENT OF INVESTMENTS, DECEMBER 31, 2009 (UNAUDITED) (CONTINUED)
At December 31 , 2009, the Fund had the following forward exchange contracts
outstanding. See Note 3.
CONTRACT SETTLEMENT UNREALIZED UNREALIZED
Currency COUNTERPARTY TYPE QUANTITY AMOUNT DATE APPRECIATION DEPRECIATION
-------- ------------ ---- ----------- ---------- ---------- ------------ ------------
Euro DBAB Sell 390,608 $ 583,764 5/20/10 $ 24,822 $ --
Euro DBAB Sell 2,080,000 2,982,720 9/01/10 8,327 --
Mexican Peso DBAB Sell 19,690,812 1,412,439 9/01/10 -- (47,106)
Japanese Yen JPHQ Sell 180,180,000 2,000,000 11/02/10 53,650 --
Japanese Yen BZWS Sell 171,860,000 2,000,000 12/02/10 141,682 --
Euro DBAB Sell 389,500 567,852 12/15/10 11,214 --
-------- --------
Unrealized appreciation
(depreciation) 239,695 (47,106)
-------- --------
Net unrealized appreciation
(depreciation) $192,589
========
FRANKLIN TEMPLETON LIMITED DURATION INCOME TRUST
STATEMENT OF INVESTMENTS, DECEMBER 31, 2009 (UNAUDITED) (CONTINUED)
ABBREVIATIONS
COUNTERPARTY
BZWS Barclays Bank PLC
DBAB Deutsche Bank AG
JPHQ JP Morgan Chase & Co.
CURRENCY
EUR Euro
MXN Mexican Peso
MYR Malaysian Ringgit
SEK Swedish Krona
SELECTED PORTFOLIO
CLO Collateralized Loan Obligation
FHLMC Federal Home Loan Mortgage Corp.
FNMA Federal National Mortgage Association
FRN Floating Rate Note
GNMA Government National Mortgage Association
LlC Letter of Credit
PIK Payment-In-Kind
SF Single Family
FRANKLIN TEMPLETON LIMITED DURATION INCOME TRUST
Notes to Statement of Investments (unaudited)
1. ORGANIZATION
Franklin Templeton Limited Duration Income Trust (Fund) is registered under the
Investment Company Act of 1940, as amended, as a closed-end investment company.
2. SECURITY VALUATION
Equity and other 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. Certain equity securities are valued based upon
fundamental characteristics or relationships to similar securities. Investments
in open-end mutual funds are valued at the closing net asset value.
Corporate debt securities, government securities, mortgage backed securities,
asset-backed securities, collateralized debt obligations and other 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. Debt securities
denominated in a foreign currency are converted into their U.S. dollar
equivalent at the foreign exchange rate in effect at the close of the NYSE on
the date that the values of the foreign debt securities are determined.
Senior secured corporate loans with floating or variable interest rates
generally trade in the over-the-counter market rather than on a securities
exchange. The Fund may utilize independent pricing services, quotations from
loan dealers and other financial institutions, and information with respect to
bond and note transactions, to assist in determining a current market value for
each security. The Fund's pricing services use independent market quotations
from loan dealers or financial institutions and may incorporate valuation
methodologies that consider multiple bond characteristics such as dealer quotes,
issuer type, coupon, maturity, weighted average maturity, interest rate spreads
and yield curves, cash flow and credit risk/quality analysis, to determine
current value.
The Fund has procedures to determine the fair value of individual securities and
other assets for which market prices are not readily available or which may not
be reliably priced. Methods for valuing these securities may include:
fundamental analysis based upon the underlying investment book value,
anticipated future cash flows, market changes in comparable or similar
securities, matrix pricing, discounts from market prices of similar securities,
or discounts applied due to the nature and duration of restrictions on the
disposition of the securities. Due to the inherent uncertainty of valuations of
such securities, the fair values may differ significantly from the values that
would have been used had a ready market for such investments existed.
Occasionally, events occur between the time at which trading in a security is
completed and the close of the NYSE that might call into question the
availability (including the reliability) of the value of a portfolio security
held by the Fund. If such an event occurs, the securities may be valued using
fair value
procedures, which may include the use of independent pricing services. All
security valuation procedures are approved by the Fund's Board of Trustees.
3. DERIVATIVE FINANCIAL INSTRUMENTS
The Fund may invest in derivative financial instruments (derivatives) 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 may 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 the potential for market movements.
Derivatives are marked to market daily based upon quotations from market makers
or the Fund's independent pricing services and the Fund's net benefit or
obligation under the contract, as measured by the fair market value of the
contract, is included in net assets.
The Fund generally enters into forward exchange contracts in order to hedge
against fluctuations in foreign exchange rates or to 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 for a specific exchange
rate on a future date.
4. INCOME TAXES
At December 31, 2009, the cost of investments and net unrealized appreciation
(depreciation) for income tax purposes were as follows:
Cost of investments $518,258,802
============
Unrealized appreciation $ 20,872,127
Unrealized depreciation (18,586,917)
------------
Net unrealized appreciation (depreciation) $ 2,285,210
============
5. OTHER CONSIDERATIONS
From time to time, officers, directors or employees of the Fund's Investment
Manager may have discussions or enter into agreements with issuers, underwriters
or creditors' committees which, pursuant to the Fund's policies and requirements
of applicable securities laws, could prevent the Fund from trading in the
securities of such company for limited or extended periods of time.
6. 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 investments and are summarized in the following fair value
hierarchy:
- Level 1 - quoted prices in active markets for identical securities
- Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speed, credit risk,
etc.)
- Level 3 - significant unobservable inputs (including the Fund's own
assumptions in determining the fair value of investments)
The inputs or methodology used for valuing securities are not an indication of
the risk associated with investing in those securities.
The following is a summary of the inputs used as of December 31, 2009, in
valuing the Fund's assets and liabilities carried at fair value:
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
---------- ------------ ----------- ------------
Assets:
Investments in Securities:
Equity Investments $ -- $ 441,655 $ -- $ 441,655
Corporate Bonds -- 202,670,021 -- 202,670,021
Mortgage-Backed Securities -- 94,954,315 -- 94,954,315
Asset-Backed Securities and
Commercial Mortgage-Backed Securities -- 35,921,092 -- 35,921,092
Senior Floating Rate Interests -- 170,002,799 -- 170,002,799
Foreign Government and Agency Securities -- 10,992,513 -- 10,992,513
Short Term Investments 5,561,617 -- -- 5,561,617
---------- ------------ ----------- ------------
Total Investments in Securities(a) $5,561,617 $514,982,395 $ -- $520,544,012
========== ============ =========== ============
Forward Exchange Contracts -- 239,695 -- 239,695
LIABILITIES:
Forward Exchange Contracts -- 47,106 -- 47,106
(a) For detailed industry descriptions, see the accompanying Statement of
Investments.
7. NEW ACCOUNTING PRONOUNCEMENTS
In January 2010, the Financial Accounting Standards Board issued Accounting
Standards Update (ASU) No. 2010-6, FAIR VALUE MEASUREMENTS AND DISCLOSURES
(TOPIC 820): IMPROVING DISCLOSURES ABOUT FAIR VALUE MEASUREMENTS. ASU No. 2010-6
enhances and clarifies existing fair value measurement disclosure requirements
and is effective for interim and annual periods beginning after December 15,
2009. The Fund is currently evaluating the impact, if any, of applying the
provisions of ASU No. 2010-6.
8. SUBSEQUENT EVENTS
The Fund has evaluated subsequent events through February 22,2010, the issuance
date of the financial statements and determined that no events have occurred
that require disclosure.
For information on the Fund's policy regarding other significant accounting
policies, please refer to the Fund's most recent semiannual or annual
shareholder report.
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 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 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 TEMPLETON LIMITED DURATION INCOME TRUST
By /s/LAURA F. FERGERSON
---------------------------
Laura F. Fergerson
Chief Executive Officer -
Finance and Administration
Date February 25, 2010
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By /s/LAURA F. FERGERSON
---------------------------
Laura F. Fergerson
Chief Executive Officer -
Finance and Administration
Date February 25, 2010
By /s/GASTON GARDEY
-----------------------------
Gaston Gardey
Chief Financial Officer and
Chief Accounting Officer
Date February 25, 2010