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
(formerly, Franklin Templeton 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)
(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: 12/31/15
Item 1. Schedule of Investments.
Franklin Limited Duration Income Trust
Statement of Investments, December 31, 2015 (unaudited)
| Country | Shares | Value | ||
| Common Stocks (Cost $167,184) 0.0%† | ||||
| Transportation 0.0%† | ||||
| aCEVA Holdings LLC | United Kingdom | 112 | $ | 50,463 |
| Convertible Preferred Stocks 0.0%† | ||||
| Transportation 0.0%† | ||||
| aCEVA Holdings LLC, cvt. pfd., A-1 | United Kingdom | 6 | 3,750 | |
| aCEVA Holdings LLC, cvt. pfd., A-2 | United Kingdom | 243 | 109,237 | |
| Total Convertible Preferred Stocks (Cost $369,948) | 112,987 | |||
| Principal Amount* | ||||
| Corporate Bonds 50.4% | ||||
| Automobiles & Components 1.2% | ||||
| Fiat Chrysler Automobiles NV, 4.50%, 4/15/20 | United Kingdom | 2,000,000 | 2,025,000 | |
| The Goodyear Tire & Rubber Co., senior note, | ||||
| 6.50%, 3/01/21 | United States | 1,500,000 | 1,582,500 | |
| 5.125%, 11/15/23 | United States | 300,000 | 309,000 | |
| 3,916,500 | ||||
| Banks 2.8% | ||||
| bBank of America Corp., junior sub. bond, M, 8.125% to 5/15/18, FRN thereafter, | ||||
| Perpetual | United States | 2,500,000 | 2,546,875 | |
| CIT Group Inc., | ||||
| 4.25%, 8/15/17 | United States | 1,500,000 | 1,537,500 | |
| senior note, 5.00%, 5/15/17 | United States | 500,000 | 516,250 | |
| c senior note, 144A, 6.625%, 4/01/18 | United States | 500,000 | 528,750 | |
| bCitigroup Inc., junior sub. bond, M, 6.30% to 5/15/24, FRN thereafter, Perpetual | United States | 1,300,000 | 1,269,125 | |
| bJPMorgan Chase & Co., junior sub. bond, | ||||
| R, 6.00% to 8/01/23, FRN thereafter, Perpetual | United States | 1,500,000 | 1,501,656 | |
| V, 5.00% to 7/30/19, FRN thereafter, Perpetual | United States | 500,000 | 475,625 | |
| Royal Bank of Scotland Group PLC, sub. note, 6.125%, 12/15/22 | United Kingdom | 1,000,000 | 1,089,375 | |
| 9,465,156 | ||||
| Capital Goods 0.7% | ||||
| cBombardier Inc., senior bond, 144A, 7.50%, 3/15/25 | Canada | 2,000,000 | 1,410,000 | |
| TransDigm Inc., | ||||
| c senior sub. bond, 144A, 6.50%, 5/15/25 | United States | 500,000 | 486,250 | |
| senior sub. note, 6.00%, 7/15/22 | United States | 500,000 | 491,250 | |
| 2,387,500 | ||||
| Commercial & Professional Services 0.2% | ||||
| cAcosta Inc., senior note, 144A, 7.75%, 10/01/22 | United States | 700,000 | 619,500 | |
| Consumer Durables & Apparel 1.2% | ||||
| KB Home, senior note, | ||||
| 4.75%, 5/15/19 | United States | 1,100,000 | 1,072,500 | |
| 7.00%, 12/15/21 | United States | 1,100,000 | 1,090,375 | |
| cTaylor Morrison Communities Inc./Monarch Communities Inc., senior note, 144A, | ||||
| 5.25%, 4/15/21 | United States | 800,000 | 804,000 | |
| 5.875%, 4/15/23 | United States | 1,000,000 | 992,500 | |
| 3,959,375 | ||||
| Consumer Services 2.7% | ||||
| c1011778 BC ULC/New Red Finance Inc., | ||||
| secured note, second lien, 144A, 6.00%, 4/01/22 | Canada | 1,200,000 | 1,239,000 | |
| senior secured note, first lien, 144A, 4.625%, 1/15/22 | Canada | 600,000 | 603,000 | |
| c24 Hour Holdings III LLC, senior note, 144A, 8.00%, 6/01/22 | United States | 1,000,000 | 817,500 | |
| dCaesars Entertainment Operating Co. Inc., senior secured note, first lien, 11.25%, | ||||
| 6/01/17 | United States | 800,000 | 604,000 | |
| cInternational Game Technology PLC, senior note, 144A, 5.625%, 2/15/20 | United States | 2,000,000 | 1,980,000 | |
| cLandry's Inc., senior note, 144A, 9.375%, 5/01/20 | United States | 1,000,000 | 1,057,500 | |
| MGM Resorts International, senior note, 8.625%, 2/01/19 | United States | 1,000,000 | 1,112,810 | |
| cWynn Las Vegas LLC/Wynn Las Vegas Capital Corp., senior bond, 144A, 5.50%, | ||||
| 3/01/25 | United States | 900,000 | 805,500 |
Quarterly Statement of Investments | See Notes to Statements of Investments.
Franklin Limited Duration Income Trust
Statement of Investments, December 31, 2015 (unaudited) (continued)
| cWynn Macau Ltd., senior note, 144A, 5.25%, 10/15/21 | Macau | 800,000 | 706,000 |
| 8,925,310 | |||
| Diversified Financials 2.8% | |||
| AerCap Ireland Capital Ltd./AerCap Global Aviation Trust, senior note, | |||
| 4.25%, 7/01/20 | Netherlands | 1,300,000 | 1,312,188 |
| 4.625%, 10/30/20 | Netherlands | 600,000 | 614,625 |
| 5.00%, 10/01/21 | Netherlands | 600,000 | 621,375 |
| Ally Financial Inc., senior note, 6.25%, 12/01/17 | United States | 1,500,000 | 1,576,875 |
| Deutsche Bank AG, sub. bond, 4.296% to 5/24/23, FRN thereafter, 5/24/28 | Germany | 1,000,000 | 917,900 |
| E*TRADE Financial Corp., senior note, | |||
| 5.375%, 11/15/22 | United States | 400,000 | 420,000 |
| 4.625%, 9/15/23 | United States | 500,000 | 509,375 |
| Navient Corp., senior note, | |||
| 8.45%, 6/15/18 | United States | 1,000,000 | 1,055,000 |
| 5.50%, 1/15/19 | United States | 1,100,000 | 1,031,250 |
| 5.00%, 10/26/20 | United States | 300,000 | 264,000 |
| 5.875%, 3/25/21 | United States | 200,000 | 178,750 |
| cOneMain Financial Holdings Inc., senior note, 144A, 7.25%, 12/15/21 | United States | 800,000 | 804,000 |
| 9,305,338 | |||
| Energy 6.8% | |||
| BreitBurn Energy Partners LP/BreitBurn Finance Corp., senior bond, 7.875%, 4/15/22 | United States | 1,500,000 | 277,500 |
| California Resources Corp., | |||
| c second lien, 144A, 8.00%, 12/15/22 | United States | 924,000 | 488,565 |
| senior note, 5.50%, 9/15/21 | United States | 345,000 | 110,400 |
| cCalumet Specialty Products Partners LP/Calumet Finance Corp., senior note, 144A, | |||
| 7.75%, 4/15/23 | United States | 1,000,000 | 855,000 |
| CGG SA, senior note, 6.875%, 1/15/22 | France | 1,200,000 | 539,250 |
| CHC Helicopter SA, senior secured note, first lien, 9.25%, 10/15/20 | Canada | 2,001,600 | 970,776 |
| cChesapeake Energy Corp., secured note, second lien, 144A, 8.00%, 12/15/22 | United States | 1,797,000 | 889,515 |
| Clayton Williams Energy Inc., senior note, 7.75%, 4/01/19 | United States | 900,000 | 698,625 |
| Compressco Partners LP/Finance Corp., senior note, 7.25%, 8/15/22 | United States | 400,000 | 298,000 |
| CONSOL Energy Inc., senior note, | |||
| 5.875%, 4/15/22 | United States | 1,100,000 | 687,500 |
| c 144A, 8.00%, 4/01/23 | United States | 900,000 | 603,000 |
| cCrestwood Midstream Partners LP/Crestwood Midstream Finance Corp., senior note, | |||
| 144A, 6.25%, 4/01/23 | United States | 1,500,000 | 1,057,500 |
| cDrill Rigs Holdings Inc., secured note, 144A, 6.50%, 10/01/17 | United States | 1,500,000 | 888,750 |
| Energy Transfer Equity LP, senior note, first lien, 7.50%, 10/15/20 | United States | 2,500,000 | 2,325,000 |
| Energy XXI Gulf Coast Inc., | |||
| senior note, 7.50%, 12/15/21 | United States | 600,000 | 68,250 |
| c senior secured note, second lien, 144A, 11.00%, 3/15/20 | United States | 500,000 | 176,250 |
| cEnQuest PLC, senior note, 144A, 7.00%, 4/15/22 | United Kingdom | 1,000,000 | 353,750 |
| EPL Oil & Gas Inc., senior note, 8.25%, 2/15/18 | United States | 1,000,000 | 270,000 |
| cFerrellgas LP/Ferrellgas Finance Corp., senior note, 144A, 6.75%, 6/15/23 | United States | 1,100,000 | 902,000 |
| Halcon Resources Corp., | |||
| senior note, 9.75%, 7/15/20 | United States | 100,000 | 29,500 |
| senior note, 8.875%, 5/15/21 | United States | 1,000,000 | 295,000 |
| c senior secured note, third lien, 144A, 13.00%, 2/15/22 | United States | 650,000 | 224,250 |
| cLinn Energy LLC/Finance Corp., senior secured note, second lien, 144A, 12.00%, | |||
| 12/15/20 | United States | 1,350,000 | 688,500 |
| Martin Midstream Partners LP/Martin Midstream Finance Corp., senior note, 7.25%, | |||
| 2/15/21 | United States | 1,400,000 | 1,239,000 |
| Memorial Resource Development Corp., senior note, 5.875%, 7/01/22 | United States | 800,000 | 704,000 |
| Midstates Petroleum Co. Inc./LLC, senior note, 9.25%, 6/01/21 | United States | 800,000 | 96,000 |
| cMurray Energy Corp., secured note, second lien, 144A, 11.25%, 4/15/21 | United States | 800,000 | 152,000 |
| cOcean Rig UDW Inc., senior note, 144A, 7.25%, 4/01/19 | United States | 600,000 | 262,500 |
| cPeabody Energy Corp., second lien, 144A, 10.00%, 3/15/22 | United States | 2,500,000 | 487,500 |
| Penn Virginia Corp., senior note, 8.50%, 5/01/20 | United States | 300,000 | 48,750 |
| QEP Resources Inc., senior bond, 5.25%, 5/01/23 | United States | 1,000,000 | 715,000 |
| Regency Energy Partners LP/Regency Energy Finance Corp., senior note, | |||
| 5.875%, 3/01/22 | United States | 200,000 | 188,766 |
| 5.00%, 10/01/22 | United States | 500,000 | 443,745 |
| Sabine Pass Liquefaction LLC, first lien, 5.625%, 2/01/21 | United States | 2,000,000 | 1,850,000 |
Franklin Limited Duration Income Trust
Statement of Investments, December 31, 2015 (unaudited) (continued)
| Sanchez Energy Corp., senior note, | |||
| 7.75%, 6/15/21 | United States | 1,000,000 | 615,000 |
| 6.125%, 1/15/23 | United States | 500,000 | 272,500 |
| cTriangle USA Petroleum Corp., senior note, 144A, 6.75%, 7/15/22 | United States | 1,000,000 | 310,000 |
| cUltra Petroleum Corp., senior bond, 144A, 6.125%, 10/01/24 | United States | 1,500,000 | 348,750 |
| WPX Energy Inc., senior note, 7.50%, 8/01/20 | United States | 1,500,000 | 1,222,500 |
| 22,652,892 | |||
| Food, Beverage & Tobacco 1.9% | |||
| Constellation Brands Inc., senior note, | |||
| 3.875%, 11/15/19 | United States | 900,000 | 927,000 |
| 4.75%, 12/01/25 | United States | 200,000 | 204,250 |
| Cott Beverages Inc., senior note, 6.75%, 1/01/20 | United States | 700,000 | 724,500 |
| cDole Food Co. Inc., senior secured note, 144A, 7.25%, 5/01/19 | United States | 300,000 | 297,750 |
| cJBS USA LLC/Finance Inc., senior note, 144A, 8.25%, 2/01/20 | United States | 2,000,000 | 2,010,000 |
| Post Holdings Inc., senior note, | |||
| 7.375%, 2/15/22 | United States | 1,000,000 | 1,046,250 |
| c 144A, 6.75%, 12/01/21 | United States | 600,000 | 613,500 |
| c 144A, 6.00%, 12/15/22 | United States | 100,000 | 98,375 |
| c 144A, 7.75%, 3/15/24 | United States | 300,000 | 315,000 |
| 6,236,625 | |||
| Health Care Equipment & Services 3.7% | |||
| Alere Inc., | |||
| senior note, 7.25%, 7/01/18 | United States | 1,300,000 | 1,334,125 |
| senior sub. note, 6.50%, 6/15/20 | United States | 500,000 | 482,500 |
| CHS/Community Health Systems Inc., | |||
| senior note, 8.00%, 11/15/19 | United States | 1,100,000 | 1,113,750 |
| senior secured note, first lien, 5.125%, 8/15/18 | United States | 900,000 | 909,000 |
| DaVita HealthCare Partners Inc., senior bond, 5.125%, 7/15/24 | United States | 1,000,000 | 1,001,875 |
| HCA Inc., | |||
| senior bond, 5.875%, 5/01/23 | United States | 1,500,000 | 1,545,000 |
| senior note, 7.50%, 2/15/22 | United States | 1,000,000 | 1,112,500 |
| senior secured bond, first lien, 5.875%, 3/15/22 | United States | 1,000,000 | 1,057,500 |
| senior secured note, first lien, 4.25%, 10/15/19 | United States | 200,000 | 204,250 |
| cHologic Inc., senior note, 144A, 5.25%, 7/15/22 | United States | 600,000 | 614,250 |
| Tenet Healthcare Corp., | |||
| first lien, 6.00%, 10/01/20 | United States | 500,000 | 528,750 |
| senior note, 5.00%, 3/01/19 | United States | 1,000,000 | 927,500 |
| senior note, 5.50%, 3/01/19 | United States | 900,000 | 852,750 |
| c,e senior note, 144A, FRN, 4.012%, 6/15/20 | United States | 500,000 | 490,000 |
| 12,173,750 | |||
| Materials 7.2% | |||
| ArcelorMittal, senior note, 5.50%, 2/25/17 | Luxembourg | 3,000,000 | 2,913,750 |
| cArdagh Packaging Finance PLC, senior note, 144A, 9.125%, 10/15/20 | Luxembourg | 700,000 | 721,000 |
| cArdagh Packaging Finance PLC/Ardagh MP Holdings USA Inc., | |||
| senior note, 144A, 6.25%, 1/31/19 | Luxembourg | 300,000 | 289,500 |
| senior note, 144A, 7.00%, 11/15/20 | Luxembourg | 88,235 | 87,132 |
| e senior secured note, 144A, FRN, 3.512%, 12/15/19 | Luxembourg | 700,000 | 686,000 |
| cBarminco Finance Pty. Ltd., senior note, 144A, 9.00%, 6/01/18 | Australia | 1,000,000 | 800,500 |
| cBlue Cube Spinco Inc., senior bond, 144A, 10.00%, 10/15/25 | United States | 1,000,000 | 1,105,000 |
| cCemex SAB de CV, secured note, 144A, 5.875%, 3/25/19 | Mexico | 500,000 | 476,875 |
| cThe Chemours Co., senior note, 144A, 6.625%, 5/15/23 | United States | 2,000,000 | 1,410,000 |
| cEldorado Gold Corp., senior note, 144A, 6.125%, 12/15/20 | Canada | 1,500,000 | 1,320,000 |
| cFirst Quantum Minerals Ltd., senior note, 144A, | |||
| 6.75%, 2/15/20 | Canada | 1,261,000 | 819,650 |
| 7.00%, 2/15/21 | Canada | 1,261,000 | 797,583 |
| cFMG Resources (August 2006) Pty. Ltd., senior secured note, 144A, 9.75%, 3/01/22 | Australia | 2,500,000 | 2,254,687 |
| cINVISTA Finance LLC, senior secured note, 144A, 4.25%, 10/15/19 | United States | 2,000,000 | 1,950,000 |
| Novelis Inc., senior note, 8.375%, 12/15/17 | Canada | 500,000 | 488,750 |
| cOwens-Brockway Glass Container Inc., senior note, 144A, | |||
| 5.00%, 1/15/22 | United States | 900,000 | 883,125 |
| 5.875%, 8/15/23 | United States | 400,000 | 406,750 |
| cPlatform Specialty Products Corp., senior note, 144A, | |||
| 10.375%, 5/01/21 | United States | 300,000 | 300,000 |
| 6.50%, 2/01/22 | United States | 1,000,000 | 870,000 |
Franklin Limited Duration Income Trust
Statement of Investments, December 31, 2015 (unaudited) (continued)
| cRain CII Carbon LLC/CII Carbon Corp., second lien, 144A, 8.25%, 1/15/21 | United States | 600,000 | 471,000 |
| Reynolds Group Issuer Inc./LLC/SA, | |||
| senior note, 8.50%, 5/15/18 | United States | 1,000,000 | 990,000 |
| senior note, 9.00%, 4/15/19 | United States | 100,000 | 98,750 |
| senior note, 8.25%, 2/15/21 | United States | 1,000,000 | 967,500 |
| senior secured note, first lien, 7.125%, 4/15/19 | United States | 400,000 | 408,000 |
| cSealed Air Corp., senior bond, 144A, | |||
| 5.125%, 12/01/24 | United States | 500,000 | 502,500 |
| 5.50%, 9/15/25 | United States | 600,000 | 613,500 |
| Steel Dynamics Inc., senior note, 5.125%, 10/01/21 | United States | 1,500,000 | 1,395,000 |
| Verso Paper Holdings LLC/Inc., senior secured note, first lien, 11.75%, 1/15/19 | United States | 270,000 | 40,500 |
| 24,067,052 | |||
| Media 5.3% | |||
| Cablevision Systems Corp., senior note, 8.625%, 9/15/17 | United States | 1,000,000 | 1,055,000 |
| CCO Holdings LLC/CCO Holdings Capital Corp., | |||
| senior bond, 5.25%, 9/30/22 | United States | 2,000,000 | 2,025,000 |
| c senior note, 144A, 5.125%, 5/01/23 | United States | 500,000 | 501,875 |
| Clear Channel Worldwide Holdings Inc., | |||
| senior note, 6.50%, 11/15/22 | United States | 700,000 | 685,125 |
| senior sub. note, 7.625%, 3/15/20 | United States | 800,000 | 742,000 |
| CSC Holdings LLC, senior note, | |||
| 6.75%, 11/15/21 | United States | 1,500,000 | 1,477,500 |
| 5.25%, 6/01/24 | United States | 500,000 | 440,000 |
| DISH DBS Corp., senior note, 7.125%, 2/01/16 | United States | 2,000,000 | 2,007,500 |
| Gannett Co. Inc., senior note, 5.125%, | |||
| 10/15/19 | United States | 1,200,000 | 1,245,000 |
| 7/15/20 | United States | 500,000 | 520,000 |
| iHeartCommunications Inc., senior secured bond, first lien, 9.00%, 3/01/21 | United States | 1,900,000 | 1,332,375 |
| cRadio One Inc., senior sub. note, 144A, 9.25%, 2/15/20 | United States | 600,000 | 477,000 |
| cSirius XM Radio Inc., senior bond, 144A, | |||
| 6.00%, 7/15/24 | United States | 1,000,000 | 1,047,500 |
| 5.375%, 4/15/25 | United States | 1,000,000 | 1,008,750 |
| cVirgin Media Secured Finance PLC, senior secured bond, first lien, 144A, 5.50%, | |||
| 1/15/25 | United Kingdom | 1,100,000 | 1,101,375 |
| cWMG Acquisition Corp., senior note, 144A, 5.625%, 4/15/22 | United States | 2,000,000 | 1,935,000 |
| 17,601,000 | |||
| Pharmaceuticals, Biotechnology & Life Sciences 2.1% | |||
| cConcordia Healthcare Corp., senior note, 144A, 7.00%, 4/15/23 | Canada | 1,000,000 | 872,500 |
| cEndo Finance LLC/Endo Ltd./Endo Finco Inc., | |||
| senior bond, 144A, 6.00%, 2/01/25 | United States | 700,000 | 693,000 |
| senior note, 144A, 6.00%, 7/15/23 | United States | 500,000 | 500,000 |
| Grifols Worldwide Operations Ltd., senior note, 5.25%, 4/01/22 | United States | 600,000 | 604,500 |
| cHorizon Pharma Financing Inc., senior note, 144A, 6.625%, 5/01/23 | United States | 700,000 | 626,500 |
| cJaguar Holding Co. II/Pharmaceutical Product Development LLC, senior note, 144A, | |||
| 6.375%, 8/01/23 | United States | 1,200,000 | 1,173,000 |
| cValeant Pharmaceuticals International Inc., senior note, 144A, | |||
| 5.375%, 3/15/20 | United States | 500,000 | 472,500 |
| 5.625%, 12/01/21 | United States | 500,000 | 462,500 |
| cValeant Pharmaceuticals International, senior note, 144A, 6.375%, 10/15/20 | United States | 1,500,000 | 1,455,000 |
| 6,859,500 | |||
| Real Estate 0.6% | |||
| Equinix Inc., | |||
| senior bond, 5.875%, 1/15/26 | United States | 300,000 | 309,750 |
| senior note, 4.875%, 4/01/20 | United States | 1,500,000 | 1,566,750 |
| 1,876,500 | |||
| Retailing 0.9% | |||
| cArgos Merger Sub Inc., senior note, 144A, 7.125%, 3/15/23 | United States | 400,000 | 397,600 |
| cDollar Tree Inc., senior note, 144A, 5.25%, 3/01/20 | United States | 400,000 | 415,000 |
| cNetflix Inc., senior note, 144A, 5.50%, 2/15/22 | United States | 2,000,000 | 2,060,000 |
| 2,872,600 | |||
| Semiconductors & Semiconductor Equipment 0.2% | |||
| cQorvo Inc., senior note, 144A, 6.75%, 12/01/23 | United States | 700,000 | 715,750 |
Franklin Limited Duration Income Trust
Statement of Investments, December 31, 2015 (unaudited) (continued)
| Software & Services 1.4% | |||
| cBMC Software Finance Inc., senior note, 144A, 8.125%, 7/15/21 | United States | 2,000,000 | 1,337,500 |
| cFirst Data Corp., | |||
| secured note, first lien, 144A, 5.00%, 1/15/24 | United States | 1,700,000 | 1,695,750 |
| senior note, 144A, 7.00%, 12/01/23 | United States | 500,000 | 501,250 |
| cInfor (U.S.) Inc., senior note, 144A, 6.50%, 5/15/22 | United States | 1,500,000 | 1,271,250 |
| 4,805,750 | |||
| Technology Hardware & Equipment 0.7% | |||
| cAlcatel-Lucent USA Inc., senior note, 144A, 6.75%, 11/15/20 | France | 609,000 | 644,018 |
| cBlackboard Inc., senior note, 144A, 7.75%, 11/15/19 | United States | 1,000,000 | 870,000 |
| cCommScope Inc., senior secured note, 144A, 4.375%, 6/15/20 | United States | 1,000,000 | 1,010,000 |
| 2,524,018 | |||
| Telecommunication Services 4.7% | |||
| CenturyLink Inc., senior bond, | |||
| 6.75%, 12/01/23 | United States | 1,000,000 | 941,250 |
| 5.625%, 4/01/25 | United States | 1,400,000 | 1,188,250 |
| cDigicel Group Ltd., senior note, 144A, 8.25%, 9/30/20 | Bermuda | 1,200,000 | 990,000 |
| cDigicel Ltd., senior note, 144A, 6.00%, 4/15/21 | Bermuda | 700,000 | 595,437 |
| Intelsat Jackson Holdings SA, senior note, 7.25%, | |||
| 4/01/19 | Luxembourg | 1,500,000 | 1,383,750 |
| 10/15/20 | Luxembourg | 1,000,000 | 875,000 |
| cMillicom International Cellular SA, senior note, 144A, 6.625%, 10/15/21 | Luxembourg | 1,500,000 | 1,399,687 |
| Sprint Communications Inc., senior note, | |||
| 8.375%, 8/15/17 | United States | 500,000 | 495,000 |
| c 144A, 9.00%, 11/15/18 | United States | 1,500,000 | 1,582,500 |
| c 144A, 7.00%, 3/01/20 | United States | 600,000 | 603,000 |
| Sprint Corp., | |||
| senior bond, 7.125%, 6/15/24 | United States | 300,000 | 219,750 |
| senior note, 7.25%, 9/15/21 | United States | 500,000 | 373,750 |
| T-Mobile USA Inc., | |||
| senior bond, 6.50%, 1/15/24 | United States | 500,000 | 511,250 |
| senior note, 6.542%, 4/28/20 | United States | 900,000 | 940,500 |
| senior note, 6.125%, 1/15/22 | United States | 1,000,000 | 1,030,000 |
| cWind Acquisition Finance SA, | |||
| senior note, 144A, 7.375%, 4/23/21 | Italy | 2,000,000 | 1,891,250 |
| senior secured note, first lien, 144A, 4.75%, 7/15/20 | Italy | 500,000 | 493,438 |
| 15,513,812 | |||
| Transportation 1.2% | |||
| cFlorida East Coast Holdings Corp., secured note, first lien, 144A, 6.75%, 5/01/19 | United States | 1,000,000 | 917,500 |
| Hertz Corp., senior note, | |||
| 6.75%, 4/15/19 | United States | 1,000,000 | 1,024,000 |
| 5.875%, 10/15/20 | United States | 1,000,000 | 1,036,250 |
| cStena AB, senior bond, 144A, 7.00%, 2/01/24 | Sweden | 400,000 | 342,000 |
| cStena International SA, secured bond, 144A, 5.75%, 3/01/24 | Sweden | 700,000 | 592,813 |
| 3,912,563 | |||
| Utilities 2.1% | |||
| Calpine Corp., | |||
| senior note, 5.375%, 1/15/23 | United States | 1,500,000 | 1,353,750 |
| c senior secured bond, first lien, 144A, 7.875%, 1/15/23 | United States | 296,000 | 316,720 |
| c senior secured note, first lien, 144A, 6.00%, 1/15/22 | United States | 100,000 | 103,719 |
| Dynegy Inc., senior note, 6.75%, 11/01/19 | United States | 2,000,000 | 1,890,000 |
| cInterGen NV, secured bond, 144A, 7.00%, 6/30/23 | Netherlands | 1,500,000 | 1,196,250 |
| NGL Energy Partners LP/NGL Energy Finance Corp., senior note, 5.125%, 7/15/19 | United States | 200,000 | 159,000 |
| NRG Yield Operating LLC, senior bond, 5.375%, 8/15/24 | United States | 700,000 | 583,625 |
| cPPL Energy Supply LLC, senior bond, 144A, 6.50%, 6/01/25 | United States | 1,000,000 | 665,000 |
| c,d Texas Competitive Electric Holdings Co. LLC/Texas Competitive Electric Holdings | |||
| Finance Inc., senior secured note, first lien, 144A, 11.50%, 10/01/20 | United States | 2,000,000 | 670,000 |
| 6,938,064 | |||
| Total Corporate Bonds (Cost $193,139,657) | 167,328,555 | ||
| eSenior Floating Rate Interests 52.9% | |||
| Automobiles & Components 0.9% | |||
| fTI Group Automotive Systems LLC, Initial U.S. Term Loan, 4.50%, 6/25/22 | United States | 2,977,538 | 2,917,987 |
Franklin Limited Duration Income Trust
Statement of Investments, December 31, 2015 (unaudited) (continued)
| Capital Goods 5.0% | |||
| Alfred Fueling Systems Inc. (Wayne Fueling), First Lien Initial Term Loan, 4.75%, | |||
| 6/18/21 | United States | 985,000 | 960,375 |
| Allison Transmission Inc., Term B-3 Loans, 3.50%, 8/23/19 | United States | 1,769,309 | 1,762,358 |
| Delos Finance S.A.R.L. (ILFC), Loans, 3.50%, 3/06/21 | United States | 2,500,000 | 2,494,062 |
| Doosan Infracore International and Doosan Holdings Europe, Tranche B Term Loan, | |||
| 4.50%, 5/28/21 | United States | 1,463,312 | 1,445,021 |
| Fly Funding II S.A.R.L., Loans, 3.50%, 8/09/19 | Luxembourg | 580,719 | 572,327 |
| Navistar Inc., Tranche B Term Loans, 6.50%, 8/07/20 | United States | 3,334,755 | 2,951,258 |
| Onsite Rental Group Operations Pty. Ltd., Term B Loan, 5.50%, 7/30/21 | Australia | 1,975,000 | 1,797,250 |
| TransDigm Inc., Tranche C Term Loan, 3.75%, 2/28/20 | United States | 3,487,620 | 3,414,478 |
| fVentia Pty. Ltd., Term B Loans, 5.50%, 5/21/22 | Australia | 1,274,716 | 1,265,156 |
| 16,662,285 | |||
| Consumer Services 3.7% | |||
| 24 Hour Fitness Worldwide Inc., Term Loan, 4.75%, 5/28/21 | United States | 1,970,000 | 1,850,159 |
| Aristocrat Technologies Inc., First Lien Initial Term Loan, 4.75%, 10/20/21 | United States | 1,344,882 | 1,341,894 |
| Caesars Entertainment Resort Properties LLC, Term B Loans, 7.00%, 10/11/20 | United States | 2,947,368 | 2,683,947 |
| Fitness International LLC, Term B Loan, 5.50%, 7/01/20 | United States | 1,970,000 | 1,854,262 |
| Scientific Games International Inc., Term B-1 Loan, 6.00%, 10/18/20 | United States | 2,942,456 | 2,713,680 |
| Tropicana Entertainment Inc., Term Loans, 4.00%, 11/27/20 | United States | 1,925,675 | 1,916,047 |
| 12,359,989 | |||
| Diversified Financials 0.5% | |||
| Guggenheim Partners Investment Management Holdings LLC, Initial Term Loan, | |||
| 4.25%, 7/22/20 | United States | 1,799,602 | 1,792,103 |
| Energy 1.1% | |||
| OSG Bulk Ships Inc., Initial Term Loan, 5.25%, 8/05/19 | United States | 2,048,800 | 1,971,970 |
| Peabody Energy Corp., Term Loan, 4.25%, 9/24/20 | United States | 3,055,884 | 1,474,464 |
| dSamson Investment Co., Second Lien Tranche I Term Loan, 6.50%, 9/25/18 | United States | 2,000,000 | 100,000 |
| 3,546,434 | |||
| Food, Beverage & Tobacco 0.9% | |||
| AdvancePierre Foods Inc., Second Lien Term Loans, 9.50%, 10/10/17 | United States | 840,000 | 827,400 |
| B&G Foods Inc., Tranche B Term Loan, 3.75%, 11/02/22 | United States | 658,919 | 659,742 |
| Post Holdings Inc., Series A Incremental Term Loan, 3.75%, 6/02/21 | United States | 1,668,041 | 1,667,339 |
| 3,154,481 | |||
| Health Care Equipment & Services 3.5% | |||
| Amsurg Corp., Initial Term Loan, 3.50%, 7/16/21 | United States | 2,955,000 | 2,933,659 |
| Community Health Systems Inc., 2019 Term G Loan, 3.75%, 12/31/19 | United States | 3,870,956 | 3,779,625 |
| Cotiviti Corp., Initial Term Loan, 4.50%, 5/14/21 | United States | 1,970,000 | 1,919,109 |
| DaVita HealthCare Partners Inc., Tranche B Term Loan, 3.50%, 6/24/21 | United States | 2,875,411 | 2,866,770 |
| 11,499,163 | |||
| Household & Personal Products 1.6% | |||
| fSpectrum Brands Inc., Initial Term Loans, 3.50%, 6/23/22 | United States | 2,925,886 | 2,919,616 |
| Sun Products Corp., Tranche B Term Loan, 5.50%, 3/23/20 | United States | 2,442,545 | 2,295,992 |
| 5,215,608 | |||
| Materials 7.2% | |||
| Axalta Coating Systems U.S. Holdings Inc., 2014 Specified Refinancing Term, 3.75%, | |||
| 2/01/20 | United States | 1,724,733 | 1,713,338 |
| The Chemours Co. LLC, Tranche B Term Loan, 3.75%, 5/12/22 | United States | 3,861,845 | 3,552,897 |
| Coveris Holdings SA, Term B-1 Loans, 4.50%, 5/08/19 | Luxembourg | 1,572,550 | 1,533,237 |
| FMG America Finance Inc. (Fortescue Metals Group), Loans, 4.25%, 6/30/19 | Australia | 4,405,824 | 3,307,425 |
| Ineos U.S. Finance LLC, 2018 Dollar Term Loans, 3.75%, 5/04/18 | United States | 1,647,003 | 1,607,886 |
| Novelis Inc., Initial Term Loan, 4.00%, 6/02/22 | Canada | 2,036,259 | 1,949,083 |
| OCI Beaumont LLC, Term B-3 Loan, 6.50%, 8/20/19 | United States | 1,806,560 | 1,824,626 |
| Oxbow Carbon LLC, Tranche B Term Loan, 4.25%, 7/19/19 | United States | 3,054,258 | 2,867,185 |
| Reynolds Group Holdings Inc., U.S. Term Loan, 4.50%, 12/01/18 | United States | 2,432,304 | 2,411,590 |
| Tronox Pigments (Netherlands) BV, New Term Loan, 4.50%, 3/19/20 | Netherlands | 3,601,229 | 3,211,846 |
| 23,979,113 | |||
| Media 6.4% | |||
| Charter Communications Operating LLC, Term H Loan, 3.25%, 8/24/21 | United States | 786,778 | 781,587 |
| fCSC Holdings Inc. (Cablevision), Initial Term Loans, 5.00%, 10/09/22 | United States | 3,970,517 | 3,970,164 |
| Cumulus Media Holdings Inc., Term Loans, 4.25%, 12/23/20 | United States | 3,318,480 | 2,527,577 |
Franklin Limited Duration Income Trust
Statement of Investments, December 31, 2015 (unaudited) (continued)
| Gray Television Inc., Initial Term Loan, 3.75%, 6/13/21 | United States | 2,646,830 | 2,621,023 |
| Media General Inc., Term B Loan, 4.00%, 7/31/20 | United States | 1,849,940 | 1,830,053 |
| Regal Cinemas Corp., Term Loan, 3.75% - 3.833%, 4/01/22 | United States | 3,049,058 | 3,047,152 |
| Sinclair Television Group Inc., Incremental Term Loan B-1, 3.50%, 7/31/21 | United States | 2,026,416 | 2,012,906 |
| UPC Financing Partnership, Facility AH, 3.25%, 6/30/21 | Netherlands | 2,003,077 | 1,969,275 |
| Virgin Media Bristol LLC, F Facility, 3.50%, 6/30/23 | United States | 2,622,815 | 2,571,452 |
| 21,331,189 | |||
| Pharmaceuticals, Biotechnology & Life Sciences 3.3% | |||
| Endo Luxembourg Finance Co. I S.A.R.L. and Endo LLC, 2015 Incremental Term B | |||
| Loans, 3.75%, 9/25/22 | United States | 3,052,222 | 3,017,250 |
| Grifols Worldwide Operations USA Inc., US Tranche B Term Loan, 3.424%, 2/27/21 | United States | 2,982,310 | 2,958,452 |
| Valeant Pharmaceuticals International Inc., | |||
| Series C-2 Tranche B Term Loan, 3.75%, 12/11/19 | United States | 1,109,775 | 1,071,280 |
| Series D-2 Tranche B Term Loan, 3.50%, 2/13/19 | United States | 1,642,257 | 1,585,658 |
| Series F-1 Tranche B Term Loan, 4.00%, 4/01/22 | United States | 2,367,987 | 2,287,575 |
| 10,920,215 | |||
| Retailing 4.1% | |||
| Ascena Retail Group Inc., Tranche B Term Loan, 5.25%, 8/21/22 | United States | 4,000,000 | 3,760,000 |
| Dollar Tree Inc., Term B-1 Loans, 3.50%, 3/09/22 | United States | 3,061,624 | 3,057,249 |
| Evergreen AcqCo. 1 LP (Savers), Term Loan, 5.00%, 7/09/19 | United States | 2,837,442 | 2,310,741 |
| The Men's Wearhouse Inc., Tranche B Term Loan, 4.50%, 6/18/21 | United States | 1,879,773 | 1,674,564 |
| PetSmart Inc., Term Loans, 4.25%, 3/10/22 | United States | 2,982,905 | 2,914,391 |
| 13,716,945 | |||
| Semiconductors & Semiconductor Equipment 2.2% | |||
| Avago Technologies Cayman Ltd., Term Loans, 3.75%, 5/06/21 | United States | 2,568,050 | 2,566,445 |
| M/A-COM Technology Solutions Holdings Inc., Initial Term Loan, 4.50%, 5/07/21 | United States | 1,644,950 | 1,640,838 |
| fNXP BV/NXP Funding LLC, Tranche B Loan, 3.75%, 12/07/20 | United States | 2,997,850 | 2,988,482 |
| 7,195,765 | |||
| Software & Services 2.2% | |||
| BMC Software Finance Inc., Initial U.S. Term Loans, 5.00%, 9/10/20 | United States | 2,857,108 | 2,384,257 |
| MoneyGram International Inc., Term Loan, 4.25%, 3/27/20 | United States | 4,091,438 | 3,753,895 |
| Sungard Availability Services Capital Inc., Tranche B Term Loan, 6.00%, 3/29/19 | United States | 1,235,756 | 1,081,286 |
| 7,219,438 | |||
| Technology Hardware & Equipment 2.6% | |||
| CIENA Corp., Term Loan, 3.75%, 7/15/19 | United States | 2,951,229 | 2,927,250 |
| CommScope Inc., Tranche 5 Term Loan, 3.75%, 12/29/22 | United States | 2,042,147 | 2,032,255 |
| Dell International LLC, | |||
| Term B-2 Loan, 4.00%, 4/29/20 | United States | 2,034,622 | 2,024,872 |
| Term Loan C, 3.75%, 10/29/18 | United States | 1,829,517 | 1,826,467 |
| 8,810,844 | |||
| Telecommunication Services 3.0% | |||
| Intelsat Jackson Holdings SA, Tranche B-2 Term Loan, 3.75%, 6/30/19 | Luxembourg | 4,010,931 | 3,804,368 |
| T-Mobile USA Inc., Initial Senior Lien Term Loan, 3.50%, 11/09/22 | United States | 2,688,389 | 2,691,367 |
| Telesat Canada/Telesat LLC, U.S. Term B-2 Loan, 3.50%, 3/28/19 | Canada | 1,461,133 | 1,442,868 |
| Zayo Group LLC, 2021 Term Loans, 3.75%, 5/06/21 | United States | 1,989,901 | 1,962,896 |
| 9,901,499 | |||
| Transportation 3.3% | |||
| Air Canada, Term Loan, 4.00%, 9/26/19 | Canada | 1,458,618 | 1,459,529 |
| Flying Fortress Inc. (ILFC), New Loan, 3.50%, 4/30/20 | United States | 1,629,859 | 1,626,124 |
| Hertz Corp., | |||
| Credit Linked Deposit, 3.75%, 3/11/18 | United States | 1,000,000 | 990,000 |
| Tranche B-1 Term Loan, 3.75%, 3/11/18 | United States | 854,148 | 853,258 |
| Tranche B-2 Term Loan, 3.00%, 3/11/18 | United States | 1,126,563 | 1,116,705 |
| Navios Maritime Partners LP, Initial Term Loan, 5.25%, 6/27/18 | Marshall Islands | 1,886,092 | 1,848,370 |
| U.S. Airways Inc., Tranche B1 Term Loan, 3.50%, 5/23/19 | United States | 2,969,697 | 2,944,175 |
| 10,838,161 | |||
| Utilities 1.4% | |||
| Alinta Energy Finance Pty. Ltd., | |||
| Delayed Draw Term Commitments, 6.375%, 8/13/18 | Australia | 124,008 | 122,251 |
| Term B Loans, 6.375%, 8/13/19 | Australia | 1,865,824 | 1,839,391 |
Franklin Limited Duration Income Trust
Statement of Investments, December 31, 2015 (unaudited) (continued)
| Calpine Corp., | |||||
| Term Loan (B5), 3.50%, 5/27/22 | United States | 2,598,144 | 2,475,545 | ||
| Term Loan B3, 4.00%, 10/09/19 | United States | 328,950 | 322,440 | ||
| 4,759,627 | |||||
| Total Senior Floating Rate Interests (Cost $185,990,383) | 175,820,846 | ||||
| Foreign Government and Agency Securities 1.6% | |||||
| Government of Malaysia, senior note, | |||||
| 3.172%, 7/15/16 | Malaysia | 1,100,000 | MYR | 257,049 | |
| 3.394%, 3/15/17 | Malaysia | 1,600,000 | MYR | 375,868 | |
| 4.012%, 9/15/17 | Malaysia | 4,000,000 | MYR | 950,218 | |
| Government of Mexico, 7.75%, 12/14/17 | Mexico | 320,000 | g | MXN | 1,986,488 |
| Government of Poland, Strip, 1/25/16 | Poland | 310,000 | PLN | 78,977 | |
| Korea Monetary Stabilization Bond, senior note, 1.56%, 10/02/17 | South Korea | 800,000,000 | KRW | 679,893 | |
| Korea Treasury Bond, senior note, 3.00%, 12/10/16 | South Korea | 1,000,000,000 | KRW | 861,727 | |
| Total Foreign Government and Agency Securities (Cost $5,383,743) | 5,190,220 | ||||
| Asset-Backed Securities and Commercial Mortgage-Backed | |||||
| Securities 14.3% | |||||
| Banks 6.8% | |||||
| Banc of America Commercial Mortgage Trust, 2006-4, AJ, 5.695%, 7/10/46 | United States | 1,610,000 | 1,607,680 | ||
| eBear Stearns Adjustable Rate Mortgage Trust, 2004-4, A6, FRN, 2.756%, 6/25/34 | United States | 843,044 | 856,007 | ||
| Bear Stearns Commercial Mortgage Securities Inc., | |||||
| e 2006-PW11, AJ, FRN, 5.638%, 3/11/39 | United States | 1,750,000 | 1,753,710 | ||
| e 2006-PW12, AJ, FRN, 5.952%, 9/11/38 | United States | 1,500,000 | 1,502,777 | ||
| 2006-PW13, AJ, 5.611%, 9/11/41 | United States | 1,820,000 | 1,841,057 | ||
| Citigroup Commercial Mortgage Trust, | |||||
| 2006-C5, AJ, 5.482%, 10/15/49 | United States | 794,000 | 778,057 | ||
| e 2007-C6, AM, FRN, 5.898%, 6/10/17 | United States | 1,520,000 | 1,555,121 | ||
| 2015-GC27, A5, 3.137%, 2/10/48 | United States | 1,520,000 | 1,490,115 | ||
| eCitigroup/Deutsche Bank Commercial Mortgage Trust, 2006-CD3, AJ, FRN, 5.688%, | |||||
| 10/15/48 | United States | 1,300,000 | 1,063,140 | ||
| CSAIL Commercial Mortgage Trust, 2015-C1, A4, 3.505%, 4/15/50 | United States | 1,410,000 | 1,424,642 | ||
| Greenwich Capital Commercial Funding Corp., | |||||
| e 2006-GG7, AJ, FRN, 5.622%, 7/10/38 | United States | 1,590,000 | 1,539,130 | ||
| 2007-GG9, AM, 5.475%, 3/10/39 | United States | 1,430,000 | 1,464,159 | ||
| JP Morgan Chase Commercial Mortgage Securities Trust, | |||||
| 2006-CB17, AM, 5.464%, 12/12/43 | United States | 380,000 | 382,594 | ||
| e 2006-LDP7, AJ, FRN, 6.106%, 4/15/45 | United States | 1,487,000 | 1,373,455 | ||
| JPMBB Commercial Mortgage Securities Trust, 2015 C-28, A4, 3.227%, 10/15/48 | United States | 1,410,000 | 1,388,235 | ||
| eMerrill Lynch Mortgage Investors Trust, | |||||
| 2003-OPT1, B2, FRN, 4.547%, 7/25/34 | United States | 33,301 | 15,344 | ||
| 2005-A6, 2A3, FRN, 0.802%, 8/25/35 | United States | 450,916 | 412,220 | ||
| eMorgan Stanley ABS Capital I Inc. Trust, 2003-NC10, B1, FRN, 5.372%, 10/25/33 | United States | 350,442 | 261,231 | ||
| eMorgan Stanley Capital I Trust, | |||||
| 2006-HQ8, AJ, FRN, 5.683%, 3/12/44 | United States | 110,000 | 109,860 | ||
| 2007-IQ16, AMA, FRN, 6.254%, 12/12/49 | United States | 645,000 | 677,103 | ||
| Wells Fargo Commercial Mortgage Trust, 2014-LC16, A4, 3.548%, 8/15/50 | United States | 550,000 | 560,598 | ||
| Wells Fargo Mortgage Backed Securities Trust, | |||||
| e 2004-W, A9, FRN, 2.754%, 11/25/34 | United States | 385,555 | 393,025 | ||
| 2007-3, 3A1, 5.50%, 4/25/37 | United States | 155,172 | 158,153 | ||
| 22,607,413 | |||||
| Diversified Financials 7.5% | |||||
| c,e ARES CLO XII Ltd., 2007-12A, B, 144A, FRN, 1.393%, 11/25/20 | United States | 530,000 | 524,303 | ||
| eArgent Securities Inc., 2003-W5, M4, FRN, 6.047%, 10/25/33 | United States | 446,815 | 444,978 | ||
| c,e Atrium CDO Corp., 10A, C, 144A, FRN, 2.917%, 7/16/25 | United States | 920,000 | 889,916 | ||
| c,e Atrium XI, 11A, C, 144A, FRN, 3.516%, 10/23/25 | Cayman Islands | 910,000 | 894,721 | ||
| c,e BCAP LLC Trust, 2009-RR1, 2A2, 144A, FRN, 2.738%, 5/26/35 | United States | 1,600,000 | 1,520,776 | ||
| c,e Catamaran CLO Ltd., 2013-1A, C, 144A, FRN, 2.923%, 1/27/25 | United States | 750,000 | 711,817 | ||
| c,e Cent CDO Ltd., 2007-15A, A2B, 144A, FRN, 0.832%, 3/11/21 | United States | 457,000 | 437,043 | ||
| c,e Cent CLO LP, 2013-17A, D, 144A, FRN, 3.322%, 1/30/25 | United States | 392,157 | 379,141 | ||
| eChase Funding Mortgage Loan Asset-Backed Certificates, 2004-2, 2A2, FRN, 0.922%, | |||||
| 2/25/35 | United States | 456,519 | 405,200 | ||
| c,e CIFC Funding Ltd., 2007-3A, A1J, 144A, FRN, 0.72%, 7/26/21 | United States | 640,000 | 628,614 | ||
| c,e ColumbusNova CLO Ltd., 2007-2A, A2, 144A, FRN, 1.321%, 10/15/21 | United States | 310,000 | 305,437 |
Franklin Limited Duration Income Trust
Statement of Investments, December 31, 2015 (unaudited) (continued)
| c,e CT CDO IV Ltd., 2006-4A, A1, 144A, FRN, 0.712%, 10/20/43 | United States | 201,708 | 201,305 | |
| c,e Cumberland Park CDO Ltd., 2015-2A, B, 144A, FRN, 2.372%, 7/20/26 | Cayman Islands | 1,230,000 | 1,218,844 | |
| c,e Cumberland Park CLO Ltd., 2015-2A, C, 144A, FRN, 3.122%, 7/20/26 | United States | 190,000 | 184,587 | |
| c,e Eaton Vance CDO Ltd., 2014-1A, | ||||
| A, 144A, FRN, 1.771%, 7/15/26 | United States | 1,000,000 | 994,480 | |
| B, 144A, FRN, 2.371%, 7/15/26 | United States | 400,000 | 394,288 | |
| C, 144A, FRN, 3.321%, 7/15/26 | United States | 170,000 | 166,894 | |
| eFHLMC Structured Agency Credit Risk Debt Notes, | ||||
| 2014-DN1, M2, FRN, 2.622%, 2/25/24 | United States | 2,300,000 | 2,294,000 | |
| 2014-DN4, M2, FRN, 2.822%, 10/25/24 | United States | 2,400,000 | 2,407,778 | |
| 2014-HQ2, M2, FRN, 2.622%, 9/25/24 | United States | 900,000 | 891,246 | |
| 2015-DN1, M2, FRN, 2.822%, 1/25/25 | United States | 2,300,000 | 2,336,259 | |
| 2015-HQ1, M2, FRN, 2.622%, 3/25/25 | United States | 900,000 | 898,124 | |
| eImpac Secured Assets Trust, 2007-2, FRN, 0.672%, 4/25/37 | United States | 420,703 | 391,300 | |
| c,e Invitation Homes Trust, 2015-SFR1, A, 144A, FRN, 1.801%, 3/17/32 | United States | 882,897 | 875,003 | |
| eMortgageIT Trust, 2004-1, A2, FRN, 1.322%, 11/25/34 | United States | 517,190 | 496,062 | |
| eOpteum Mortgage Acceptance Corp. Trust, 2005-4, 1APT, FRN, 0.732%, 11/25/35 | United States | 768,227 | 728,020 | |
| e,hOption One Mortgage Loan Trust, 2003-6, M5, FRN, 5.372%, 11/25/33 | United States | 193,598 | 126,809 | |
| eStructured Asset Investment Loan Trust, 2003-BC2, M3, FRN, 5.297%, 4/25/33 | United States | 13,987 | 6,342 | |
| eStructured Asset Securities Corp., 2005-2XS, 2A2, FRN, 1.744%, 2/25/35 | United States | 479,833 | 463,860 | |
| e,iTalisman 6 Finance, Reg S, FRN, 0.127%, 10/22/16 | Germany | 14,918 | EUR | 16,022 |
| eThornburg Mortgage Securities Trust, 2005-1, A3, FRN, 2.269%, 4/25/45 | United States | 1,031,110 | 1,032,677 | |
| c,e Voya CLO Ltd., | ||||
| 2013-1A, B, 144A, FRN, 3.221%, 4/15/24 | United States | 180,000 | 177,246 | |
| 2013-2A, B, 144A, FRN, 3.00%, 4/25/25 | United States | 1,000,000 | 965,810 | |
| c,e Westchester CLO Ltd., 2007-1A, A1A, 144A, FRN, 0.554%, 8/01/22 | United States | 323,999 | 320,516 | |
| 24,729,418 | ||||
| Total Asset-Backed Securities and Commercial Mortgage-Backed Securities (Cost $47,590,208) | 47,336,831 | |||
| Mortgage-Backed Securities 29.8% | ||||
| eFederal Home Loan Mortgage Corp. (FHLMC) Adjustable Rate 0.1% | ||||
| FHLMC, 2.702%, 5/01/34 | United States | 270,488 | 285,155 | |
| Federal Home Loan Mortgage Corp. (FHLMC) Fixed Rate 4.5% | ||||
| FHLMC Gold 15 Year, 5.00%, 12/01/23 | United States | 892,156 | 964,655 | |
| FHLMC Gold 15 Year, 5.50%, 7/01/19 | United States | 20,293 | 21,381 | |
| fFHLMC Gold 30 Year, 3.50%, 1/01/45 - 3/01/45 | United States | 2,000,001 | 2,058,356 | |
| fFHLMC Gold 30 Year, 4.00%, 1/01/45 | United States | 8,485,000 | 8,961,906 | |
| fFHLMC Gold 30 Year, 4.00%, 10/01/45 - 11/01/45 | United States | 514,448 | 544,070 | |
| FHLMC Gold 30 Year, 6.00%, 7/01/28 - 11/01/36 | United States | 964,003 | 1,094,433 | |
| FHLMC Gold 30 Year, 6.50%, 8/01/27 - 3/01/38 | United States | 523,029 | 596,101 | |
| FHLMC Gold 30 Year, 7.00%, 9/01/27 | United States | 147,003 | 164,665 | |
| FHLMC Gold 30 Year, 8.00%, 1/01/31 | United States | 21,167 | 22,495 | |
| FHLMC Gold 30 Year, 8.50%, 7/01/31 | United States | 436,138 | 525,014 | |
| 14,953,076 | ||||
| eFederal National Mortgage Association (FNMA) Adjustable Rate 0.2% | ||||
| FNMA, 1.915% - 2.10%, 6/01/32 - 7/01/34 | United States | 717,600 | 750,408 | |
| Federal National Mortgage Association (FNMA) Fixed Rate 20.9% | ||||
| FNMA 15 Year, 3.00%, 8/01/27 | United States | 18,542 | 19,206 | |
| FNMA 15 Year, 3.50%, 1/01/21 - 1/01/26 | United States | 80,515 | 84,463 | |
| FNMA 15 Year, 5.50%, 7/01/20 | United States | 348,430 | 367,468 | |
| FNMA 15 Year, 6.00%, 6/01/17 | United States | 1 | 1 | |
| FNMA 15 Year, 6.50%, 7/01/20 | United States | 2,039 | 2,089 | |
| FNMA 20 Year, 7.00%, 9/01/18 | United States | 30,268 | 31,562 | |
| fFNMA 30 Year, 3.50%, 1/01/45 | United States | 14,025,000 | 14,466,427 | |
| fFNMA 30 Year, 3.50%, 1/01/30 - 12/01/45 | United States | 1,285,000 | 1,332,765 | |
| fFNMA 30 Year, 4.00%, 1/01/45 | United States | 25,175,000 | 26,634,866 | |
| fFNMA 30 Year, 4.00%, 12/01/44 - 12/01/45 | United States | 1,940,000 | 2,054,425 | |
| FNMA 30 Year, 4.50%, 8/01/44 | United States | 3,440,526 | 3,716,872 | |
| FNMA 30 Year, 4.50%, 10/01/43 - 12/01/44 | United States | 1,109,166 | 1,199,232 | |
| fFNMA 30 Year, 4.50%, 1/01/45 | United States | 14,425,000 | 15,576,801 | |
| FNMA 30 Year, 5.00%, 5/01/38 - 7/01/39 | United States | 748,163 | 824,961 | |
| FNMA 30 Year, 5.50%, 6/01/37 | United States | 771,740 | 862,921 | |
| FNMA 30 Year, 6.00%, 4/01/33 - 6/01/38 | United States | 1,471,831 | 1,664,512 | |
| FNMA 30 Year, 6.50%, 8/01/32 | United States | 187,360 | 214,286 | |
Franklin Limited Duration Income Trust
Statement of Investments, December 31, 2015 (unaudited) (continued)
| FNMA 30 Year, 8.00%, 10/01/29 | United States | 74,760 | 83,007 | ||
| FNMA 30 Year, 8.50%, 8/01/26 | United States | 178,148 | 192,425 | ||
| 69,328,289 | |||||
| Government National Mortgage Association (GNMA) Fixed Rate 4.1% | |||||
| GNMA I SF 30 Year, 6.50%, 6/15/31 - 12/15/33 | United States | 496,134 | 568,127 | ||
| fGNMA II SF 30 Year, 3.50%, 1/01/45 | United States | 11,665,000 | 12,157,178 | ||
| fGNMA II SF 30 Year, 3.50%, 12/20/45 | United States | 735,000 | 767,309 | ||
| GNMA II SF 30 Year, 7.00%, 1/20/24 - 1/20/29 | United States | 56,913 | 65,118 | ||
| GNMA II SF 30 Year, 8.00%, 1/20/28 - 10/20/31 | United States | 147,273 | 179,997 | ||
| 13,737,729 | |||||
| Total Mortgage-Backed Securities (Cost $98,440,931) | 99,054,657 | ||||
| Shares | |||||
| Litigation Trusts (Cost $—) 0.0% | |||||
| Materials 0.0% | |||||
| a,jNewPage Corp., Litigation Trust | United States | 1,500,000 | — | ||
| Total Investments before Short Term Investments (Cost $531,082,054) | 494,894,559 | ||||
| Short Term Investments (Cost $10,271,538) 3.1% | |||||
| Money Market Funds 3.1% | |||||
| a,kInstitutional Fiduciary Trust Money Market Portfolio | United States | 10,271,538 | 10,271,538 | ||
| Total Investments (Cost $541,353,591) 152.1% | 505,166,097 | ||||
| Preferred Shares (27.1)% | (90,000,000 | ) | |||
| Other Assets, less Liabilities (25.0)% | (83,053,219 | ) | |||
| Net Assets 100.0% | $ | 332,112,878 |
† Rounds to less than 0.1% of net assets.
* The principal amount is stated in U.S. dollars unless otherwise indicated.
a Non-income producing.
b Perpetual security with no stated maturity date.
c 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 Trust's Board of Trustees. At
December 31, 2015, the aggregate value of these securities was $90,139,680, representing 27.14% of net assets.
d Defaulted security or security for which income has been deemed uncollectible.
e The coupon rate shown represents the rate at period end.
f A portion or all of the security purchased on a delayed delivery or to-be-announced (TBA) basis.
g Principal amount is stated in 100 Mexican Peso Units.
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 Security was purchased pursuant to Regulation S under the Securities Act of 1933, which exempts from registration securities offered and sold outside of the United States.
Such a security cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act of 1933, or pursuant to an exemption
from registration. This security has been deemed liquid under guidelines approved by the Trust's Board of Trustees. At December 31, 2015, the value of this security was
$16,022, representing less than 0.01% of net assets.
j Security has been deemed illiquid because it may not be able to be sold within seven days.
k See Note 6 regarding investments in affiliated management investment companies.
Franklin Limited Duration Income Trust
Statement of Investments, December 31, 2015 (unaudited) (continued)
At December 31, 2015, the Fund had the following forward exchange contracts outstanding. See Note 3.
| Forward Exchange Contracts | |||||||||||
| Contract | Settlement | Unrealized | Unrealized | ||||||||
| Currency | Counterpartya | Type | Quantity | Amount | Date | Appreciation | Depreciation | ||||
| OTC Forw ard Exchange Contracts | |||||||||||
| Japanese Yen | DBAB | Sell | 300,710,000 | $ | 2,454,606 | 1/14/16 | $ | - | $ | (48,029 | ) |
| Euro | DBAB | Buy | 470,359 | 501,336 | 2/22/16 | 10,282 | - | ||||
| Euro | DBAB | Sell | 470,359 | 526,256 | 2/22/16 | 14,638 | - | ||||
| Japanese Yen | DBAB | Sell | 817,693,750 | 6,790,435 | 2/22/16 | 22,241 | (42,586 | ) | |||
| Japanese Yen | HSBC | Sell | 60,710,000 | 500,041 | 2/22/16 | 1,286 | (6,915 | ) | |||
| Japanese Yen | JPHQ | Sell | 154,670,000 | 1,277,615 | 2/22/16 | 3,793 | (14,464 | ) | |||
| Euro | JPHQ | Buy | 105,568 | 112,553 | 4/28/16 | 2,500 | - | ||||
| Euro | JPHQ | Sell | 105,568 | 121,238 | 4/28/16 | 6,185 | - | ||||
| Japanese Yen | DBAB | Sell | 718,475,000 | 5,946,656 | 6/16/16 | - | (61,553 | ) | |||
| Japanese Yen | JPHQ | Sell | 180,180,000 | 1,491,124 | 6/16/16 | - | (15,620 | ) | |||
| Total Forw ard Exchange Contracts | $ | 60,925 | $ | (189,167 | ) | ||||||
| Net unrealized appreciation (depreciation) | $ | (128,242 | ) | ||||||||
aMay be comprised of multiple contracts with the same counterparty, currency and settlement date.
ABBREVIATIONS
Counterparty
| DBAB | Deutsche Bank AG |
| HSBC | HSBC Bank USA, N.A. |
| JPHQ | JP Morgan Chase & Co. |
| Currency | |
| EUR | Euro |
| KRW | South Korean Won |
| MXN | Mexican Peso |
| MYR | Malaysian Ringgit |
| PLN | Polish Zloty |
| Selected Portfolio | |
| CDO | Collateralized Debt Obligation |
| CLO | Collateralized Loan Obligation |
| FRN | Floating Rate Note |
| SF | Single Family |
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 and Liquidity Oversight Committee (VLOC) . The VLOC 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. Foreign equity securities are valued as of the close of trading on the foreign stock exchange on which the security is primarily traded or as of 4 p.m. Eastern time, whichever is earlier. The value is then converted into its U. S. dollar equivalent at the foreign exchange rate in effect at 4 p. m. Eastern time on the day that the value of the security is determined. 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.
Certain derivative financial instruments (derivatives) trade in the OTC market. The Fund s pricing services use various techniques including industry standard option pricing models and proprietary discounted cash flow models to determine the fair value of those instruments. The Fund s net benefit or obligation under the derivative contract, as measured by the fair value of the contract, is included in net assets.
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 VLOC 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 VLOC 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 VLOC 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.
Trading in securities on foreign securities stock exchanges and OTC markets may be completed before 4 p.m. Eastern time. In addition, trading in certain foreign markets may not take place on every NYSE business day. Occasionally, events occur between the time at which trading in a foreign security is completed and the close of the NYSE that might call into question the reliability of the value of a portfolio security held by the Fund. As a result, differences may arise between the value of the Fund s portfolio securities as determined at the foreign market close and the latest indications of value at the close of the NYSE. In order to minimize the potential for these differences, the VLOC monitors price movements following the close of trading in foreign stock markets through a series of country specific market proxies (such as baskets of American Depositary Receipts, futures contracts and exchange traded funds) . These price movements are measured against established trigger thresholds for each specific market proxy to assist in determining if an event has occurred that may call into question the reliability of the values of the foreign securities 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.
When the last day of the reporting period is a non -business day, certain foreign markets may be open on those days that the NYSE is closed, which could result in differences between the value of the Fund s portfolio securities on the last business day and the last calendar day of the reporting period. Any significant security valuation changes due to an open foreign market are adjusted and reflected by the Fund for financial reporting purposes.
3. DERIVATIVE FINANCIAL INSTRUMENTS
The Fund invested in 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 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.
Derivative counterparty credit risk is managed through a formal evaluation of the creditworthiness of all potential counterparties. The Fund attempts to reduce its exposure to counterparty credit risk on OTC derivatives, whenever possible, by entering into International Swaps and Derivatives Association (ISDA) master agreements with certain counterparties. These agreements contain various provisions, including but not limited to collateral requirements, events of default, or early termination. Termination events applicable to the counterparty include certain deteriorations in the credit quality of the counterparty. Termination
events applicable to the Fund include failure of the Fund to maintain certain net asset levels and/or limit the decline in net assets over various periods of time. In the event of default or early termination, the ISDA master agreement gives the non -defaulting party the right to net and close -out all transactions traded, whether or not arising under the ISDA agreement, to one net amount payable by one counterparty to the other. Early termination by the counterparty may result in an immediate payment by the Fund of any net liability owed to that counterparty under the ISDA agreement.
Collateral requirements differ by type of derivative. Collateral terms are contract specific for OTC derivatives. For OTC derivatives traded under an ISDA master agreement, posting of collateral is required by either the Fund or the applicable counterparty if the total net exposure of all OTC derivatives with the applicable counterparty exceeds the minimum transfer amount, which typically ranges from $ 100,000 to $ 250,000, and can vary depending on the counterparty and the type of the agreement. Generally, collateral is determined at the close of Fund business each day and any additional collateral required due to changes in derivative values may be delivered by the Fund or the counterparty within a few business days. Collateral pledged and/or received by the Fund, if any, is held in segregated accounts with the Fund s custodian/counterparty broker and can be in the form of cash and/or securities. Unrestricted cash may be invested according to the Fund s investment objectives.
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 for a specific exchange rate on a future date.
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 to simultaneously sell and repurchase mortgage -backed securities at a future date. 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. 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, 2015, the cost of investments and net unrealized appreciation (depreciation) for income tax purposes were as follows:
| Cost of investments | $541,892,009 | |
|
| ||
| Unrealized appreciation | $ 3,519,129 | |
| Unrealized depreciation | (40,245,041) | |
|
| ||
| Net unrealized appreciation (depreciation) | $ (36,725,912) | |
|
| ||
6. INVESTMENTS IN AFFILIATED MANAGEMENT INVESTMENT COMPANIES
The Fund invests in an affiliated management investment company for purposes other than exercising a controlling influence over the management or policies. Management fees paid by the Fund are waived on assets invested in the affiliated management investment company, in an amount not to exceed the management and administrative fees paid directly or indirectly by each affiliate. Prior to April 1, 2013, the waiver was accounted for as a reduction to management fees.
| % of Affiliated Fund | |||||||||||
| Number of Shares | Number of Shares | Value at | Shares Outstanding | ||||||||
| Held at Beginning | Gross | Gross | Held at End of | End of | Investment | Realized | Held at End of | ||||
| of Period | Additions | Reductions | Period | Period | Income | Gain (Loss) | Period | ||||
| Non-Controlled Affiliates | |||||||||||
| Institutional Fiduciary Trust Money Market Portfolio | 12,015,598 | 111,962,126 | (113,706,186 | ) | 10,271,538 | $ | 10,271,538 | $ - $ | - | 0.05 | % |
7. 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, 2015, in valuing the Fund’s assets and liabilities carried at fair value, is as follows:
| Level 1 | Level 2 | Level 3 | Total | |||||
| Assets: | ||||||||
| Investments in Securities: | ||||||||
| Equity Investmentsa,b | $ | - | $ | 163,450 | $ | - | $ | 163,450 |
| Corporate Bonds | - | 167,328,555 | - | 167,328,555 | ||||
| Senior Floating Rate Interests | - | 175,820,846 | - | 175,820,846 | ||||
| Foreign Government and Agency Securities | - | 5,190,220 | - | 5,190,220 | ||||
| Asset-Backed Securities and Commercial | ||||||||
| Mortgage-Backed Securities | - | 47,336,831 | - | 47,336,831 | ||||
| Mortgage-Backed Securities | - | 99,054,658 | - | 99,054,658 | ||||
| Litigation Trusts | - | - | - | c | - | |||
| Short Term Investments | 10,271,538 | - | - | 10,271,538 | ||||
| Total Investments in Securities | $ | 10,271,538 | $ | 494,894,560 | $ | - | $ | 505,166,098 |
| Other Financial Instruments | ||||||||
| Forw ard Exchange Contracts | $ | - | $ | 60,925 | $ | - | $ | 60,925 |
| Liabilities: | ||||||||
| Other Financial Instruments | ||||||||
| Forw ard Exchange Contracts | $ | - | $ | 189,167 | $ | - | $ | 189,167 |
aIncludes common and convertible preferred stocks.
bFor detailed categories, see the accompanying Statement of Investments.
cIncludes securities determined to have no value at December 31, 2015.
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.
8. 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.
For additional information on the Fund's 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 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.
By /s/ Laura F. Fergerson
Laura F. Fergerson
Chief Executive Officer –
Finance and Administration
Date: February 26, 2016
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 26, 2016
By /s/ Gaston Gardey
Gaston Gardey
Chief Financial Officer and
Chief Accounting Officer
Date: February 26, 2016