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: (650) 312-2000
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Date of fiscal year end: 03/31
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Date of reporting period: 6/30/09
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ITEM 1. SCHEDULE OF INVESTMENTS.
Franklin Templeton
Limited Duration Income Trust
QUARTERLY STATEMENT OF INVESTMENTS
JUNE 30, 2009
CONTENTS
Statement of Investments .................................................. 3
Notes to Statement of Investments.......................................... 15
(FRANKLIN TEMPLETON INVESTMENTS(R) LOGO)
FRANKLIN - Templeton - Mutual Series
Quarterly Statement of Investments | 1
This page intentionally left blank.
Franklin Templeton
Limited Duration Income Trust
STATEMENT OF INVESTMENTS, JUNE 30, 2009 (UNAUDITED)
COUNTRY SHARES VALUE
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PREFERRED STOCKS (COST $237,850) 0.1%
DIVERSIFIED FINANCIALS 0.1%
(a) Preferred Blocker Inc., 9.00%, pfd., 144A ............................ United States 670 $ 288,184
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PRINCIPAL AMOUNT(b)
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CORPORATE BONDS 58.6%
AUTOMOBILES & COMPONENTS 1.2%
Ford Motor Credit Co. LLC, senior note,
9.75%, 9/15/10 .................................................... United States 2,000,000 1,916,310
9.875%, 8/10/11 ................................................... United States 2,000,000 1,851,204
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3,767,514
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CAPITAL GOODS 1.9%
(a) Allison Transmission Inc., senior note, 144A, 11.00%, 11/01/15 ....... United States 1,000,000 795,000
Case New Holland Inc., senior note, 7.125%, 3/01/14 .................. United States 2,000,000 1,835,000
RBS Global & Rexnord Corp., senior note, 9.50%, 8/01/14 .............. United States 2,000,000 1,720,000
RSC Equipment Rental Inc., senior note, 9.50%, 12/01/14 .............. United States 2,000,000 1,615,000
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5,965,000
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COMMERCIAL & PROFESSIONAL SERVICES 1.3%
(c) ARAMARK Corp., senior note, FRN, 4.528%, 2/01/15 ..................... United States 2,500,000 2,043,750
JohnsonDiversey Holdings Inc., senior disc. note, 10.67%, 5/15/13 .... United States 2,500,000 2,112,500
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4,156,250
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CONSUMER DURABLES & APPAREL 1.7%
Jarden Corp., senior sub. note, 7.50%, 5/01/17 ....................... United States 2,500,000 2,200,000
Jostens IH Corp., senior sub. note, 7.625%, 10/01/12 ................. United States 2,000,000 2,005,000
KB Home, senior note, 6.375%, 8/15/11 ................................ United States 1,000,000 970,000
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5,175,000
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CONSUMER SERVICES 4.3%
(a) Harrah's Operating Escrow, senior secured note, 144A, 11.25%,
6/01/17 ........................................................... United States 2,500,000 2,375,000
Host Hotels & Resorts LP, senior note, K, 7.125%, 11/01/13 ........... United States 2,400,000 2,268,000
MGM MIRAGE, senior note, 6.75%, 4/01/13 .............................. United States 3,000,000 2,010,000
Pinnacle Entertainment Inc., senior sub. note, 8.75%, 10/01/13 ....... United States 2,000,000 2,020,000
Royal Caribbean Cruises Ltd., senior note, 8.00%, 5/15/10 ............ United States 2,500,000 2,512,500
Starwood Hotels & Resorts Worldwide Inc., senior note, 6.75%,
5/15/18 ........................................................... United States 2,500,000 2,147,155
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13,332,655
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DIVERSIFIED FINANCIALS 4.3%
American Express Credit Corp., senior note, C, 7.30%, 8/20/13 ........ United States 2,000,000 2,085,828
(c) General Electric Capital Corp., FRN, 1.163%, 4/28/11 ................. United States 2,000,000 1,913,096
(a) GMAC LLC, senior note, 144A,
7.25%, 3/02/11 . .................................................. United States 1,266,000 1,171,050
6.875%, 8/28/12 . ................................................. United States 1,899,000 1,604,655
The Goldman Sachs Group Inc., senior note, 6.00%, 5/01/14 ............ United States 700,000 731,629
JPMorgan Chase & Co., sub. note, 5.75%, 1/02/13 ...................... United States 2,000,000 2,064,824
Quarterly Statement of Investments | 3
Franklin Templeton
Limited Duration Income Trust
STATEMENT OF INVESTMENTS, JUNE 30, 2009 (UNAUDITED) (CONTINUED)
COUNTRY PRINCIPAL AMOUNT(b) VALUE
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CORPORATE BONDS (CONTINUED)
DIVERSIFIED FINANCIALS (CONTINUED)
(d) Lehman Brothers Holdings Inc., senior note, 6.20%, 9/26/14 ........... United States 3,000,000 $ 457,500
Merrill Lynch & Co. Inc., 5.45%, 2/05/13 ............................. United States 1,500,000 1,461,581
Morgan Stanley, senior note, 6.00%, 5/13/14 .......................... United States 2,000,000 2,027,894
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13,518,057
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ENERGY 8.1%
Berry Petroleum Co., senior note, 10.25%, 6/01/14 .................... United States 500,000 507,500
(e) Bill Barrett Corp., senior note, 9.875%, 7/17/16 ..................... United States 400,000 380,688
Chesapeake Energy Corp., senior note, 7.50%, 6/15/14 ................. United States 4,000,000 3,810,000
Compagnie Generale de Geophysique-Veritas, senior note, 7.50%,
5/15/15 ........................................................... France 2,500,000 2,306,250
El Paso Corp., senior note, 12.00%, 12/12/13 ......................... United States 2,000,000 2,210,000
Mariner Energy Inc., senior note, 7.50%, 4/15/13 ..................... United States 2,000,000 1,830,000
(a) Markwest Energy Partners LP, senior note, 144A, 6.875%, 11/01/14 ..... United States 700,000 581,000
Peabody Energy Corp., senior note, B, 6.875%, 3/15/13 ................ United States 2,000,000 1,990,000
(a) Petrohawk Energy Corp., senior note, 144A, 10.50%, 8/01/14 ........... United States 2,000,000 2,055,000
(a) Petroplus Finance Ltd., senior note, 144A, 6.75%, 5/01/14 ............ Switzerland 2,000,000 1,740,000
Plains Exploration & Production Co., senior note, 10.00%, 3/01/16 .... United States 2,000,000 2,065,000
(a) SandRidge Energy Inc., senior note, 144A, 8.00%, 6/01/18 ............. United States 2,500,000 2,150,000
Tesoro Corp., senior note, 6.625%, 11/01/15 .......................... United States 2,000,000 1,805,000
The Williams Co. Inc., 8.125%, 3/15/12 ............................... United States 2,000,000 2,074,340
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25,504,778
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FOOD & STAPLES RETAILING 1.0%
(a) Rite Aid Corp., senior secured note, 144A, 9.75%, 6/12/16 ............ United States 1,300,000 1,306,500
SUPERVALU Inc., senior note, 8.00%, 5/01/16 .......................... United States 2,000,000 1,950,000
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3,256,500
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FOOD, BEVERAGE & TOBACCO 3.7%
Altria Group Inc., 7.75%, 2/06/14 .................................... United States 2,000,000 2,207,626
(a) Anheuser-Busch InBev NV, senior note, 144A, 7.20%, 1/15/14 ........... United States 2,000,000 2,153,154
(a) BAT International Finance PLC, 144A, 8.125%, 11/15/13 ................ United Kingdom 2,000,000 2,174,596
Dean Foods Inc., senior note, 7.00%, 6/01/16 ......................... United States 500,000 458,750
(a) Dole Food Co. Inc, senior note, 144A, 13.875%, 3/15/14 ............... United States 1,500,000 1,657,500
(a) JBS USA LLC, senior note, 144A, 11.625%, 5/01/14 ..................... United States 2,000,000 1,900,000
(a) Tyson Foods Inc., senior note, 144A, 10.50%, 3/01/14 ................. United States 1,000,000 1,090,000
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11,641,626
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HEALTH CARE EQUIPMENT & SERVICES 5.6%
Coventry Health Care Inc., senior note, 5.875%, 1/15/12 .............. United States 2,000,000 1,914,344
DaVita Inc.,
senior note, 6.625%, 3/15/13 ...................................... United States 900,000 852,750
senior sub. note, 7.25%, 3/15/15 .................................. United States 1,000,000 945,000
FMC Finance III SA, senior note, 6.875%, 7/15/17 ..................... Germany 2,000,000 1,870,000
(a) Fresenius US Finance II, senior note, 144A, 9.00%, 7/15/15 ........... Germany 1,000,000 1,047,500
HCA Inc., senior secured note, 9.125%, 11/15/14 ...................... United States 3,000,000 2,977,500
4 | Quarterly Statement of Investments
Franklin Templeton
Limited Duration Income Trust
STATEMENT OF INVESTMENTS, JUNE 30, 2009 (UNAUDITED) (CONTINUED)
COUNTRY PRINCIPAL AMOUNT(b) VALUE
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CORPORATE BONDS (CONTINUED)
HEALTH CARE EQUIPMENT & SERVICES (CONTINUED)
(a) Tenet Healthcare Corp., senior note, 144A,
9.00%, 05/01/15 ................................................... United States 1,250,000 $ 1,265,625
10.00%, 5/01/18 ................................................... United States 1,250,000 1,318,750
(f) United Surgical Partners International Inc., senior sub. note, PIK,
9.25%, 5/01/17 .................................................... United States 2,000,000 1,640,000
(c, f) US Oncology Holdings Inc., senior note, PIK, FRN, 6.904%, 3/15/12 .... United States 2,237,000 1,895,858
Vanguard Health Holding Co. II LLC, senior sub. note, 9.00%,
10/01/14 .......................................................... United States 2,000,000 1,925,000
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17,652,327
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INSURANCE 0.6%
(a) Metropolitan Life Global Funding I, senior secured note, 144A, 5.125%,
4/10/13 ........................................................... United States 1,700,000 1,722,075
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MATERIALS 5.9%
(a) Anglo American Capital PLC, senior note, 144A, 9.375%, 4/08/14 ....... United Kingdom 1,500,000 1,630,942
ArcelorMittal, senior note, 9.00%, 2/15/15 ........................... Luxembourg 2,000,000 2,110,956
(a) Clearwater Paper Corp., senior note, 144A, 10.625%, 6/15/16 .......... United States 1,800,000 1,849,500
Crown Americas Inc., senior note, 7.625%, 11/15/13 ................... United States 2,000,000 1,960,000
(c) Freeport-McMoRan Copper & Gold Inc., senior note, FRN, 4.995%,
4/01/15 ........................................................... United States 1,000,000 937,300
Huntsman International LLC, senior sub. note, 7.875%, 11/15/14 ....... United States 2,000,000 1,595,000
(a) Ineos Group Holdings PLC, senior secured note, 144A, 8.50%, 2/15/16... United Kingdom 1,700,000 578,000
(a) MacDermid Inc., senior sub. note, 144A, 9.50%, 4/15/17 ............... United States 2,000,000 1,470,000
Nalco Co., senior sub. note, 8.875%, 11/15/13 ........................ United States 2,000,000 2,050,000
(a) Owens-Brockway Glass Container Inc., senior note, 144A, 7.375%,
5/15/16 ........................................................... United States 700,000 682,500
Solo Cup Co.,
(a, e) senior secured note, 144A, 10.50%, 11/01/13 ....................... United States 500,000 506,625
senior sub. note, 8.50%, 2/15/14 .................................. United States 700,000 577,500
(a) Teck Resources Ltd., senior secured note, 144A, 9.75%, 5/15/14 ....... Canada 2,300,000 2,382,791
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18,331,114
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MEDIA 6.4%
(d) CanWest Media Inc., senior sub. note, 8.00%, 9/15/12 ................. Canada 2,000,000 600,000
(d, g) CCH II LLC, senior note, 10.25%, 9/15/10 ............................. United States 4,000,000 4,240,000
(a) CSC Holdings Inc., senior note, 144A, 8.50%, 4/15/14 ................. United States 1,000,000 996,250
(d, g) Dex Media West Finance, senior sub. note, 9.875%, 8/15/13 ............ United States 4,000,000 620,000
DIRECTV Holdings LLC, senior note, 8.375%, 3/15/13 ................... United States 2,500,000 2,518,750
EchoStar DBS Corp., senior note, 6.375%, 10/01/11 .................... United States 2,000,000 1,945,000
Lamar Media Corp., senior sub. note,
7.25%, 1/01/13 .................................................... United States 1,000,000 956,250
C, 6.625%, 8/15/15 ................................................ United States 2,000,000 1,700,000
LIN Television Corp., senior sub. note, 6.50%, 5/15/13 ............... United States 1,500,000 1,087,500
Quebecor Media Inc., senior note, 7.75%, 3/15/16 ..................... Canada 2,500,000 2,278,125
Radio One Inc., senior sub. note, B, 8.875%, 7/01/11 ................. United States 2,000,000 835,000
(a) UPC Holding BV, senior note, 144A, 9.875%, 4/15/18 ................... Netherlands 400,000 387,680
(a) WMG Acquisition Corp., senior secured note, 144A, 9.50%, 6/15/16 ..... United States 2,000,000 2,000,000
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20,164,555
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Quarterly Statement of Investments | 5
Franklin Templeton
Limited Duration Income Trust
STATEMENT OF INVESTMENTS, JUNE 30, 2009 (UNAUDITED) (CONTINUED)
COUNTRY PRINCIPAL AMOUNT(b) VALUE
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CORPORATE BONDS (CONTINUED)
REAL ESTATE 0.8%
Forest City Enterprises Inc., senior note, 7.625%, 6/01/15 ........... United States 800,000 $ 508,000
Simon Property Group LP, senior note, 6.75%, 5/15/14 ................. United States 2,000,000 2,012,488
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2,520,488
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RETAILING 0.5%
Michaels Stores Inc., senior note, 10.00%, 11/01/14 .................. United States 2,000,000 1,690,000
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SOFTWARE & SERVICES 0.9%
SunGard Data Systems Inc., senior note, 9.125%, 8/15/13 .............. United States 3,000,000 2,850,000
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TECHNOLOGY HARDWARE & EQUIPMENT 1.0%
(d) Nortel Networks Ltd., senior note, 10.75%, 7/15/16 ................... Canada 2,000,000 700,000
Sanmina-SCI Corp.,
(a, c) senior note, 144A, FRN, 3.379%, 6/15/14 ........................... United States 1,000,000 825,000
senior sub. note, 6.75%, 3/01/13 .................................. United States 1,000,000 780,000
Xerox Corp., senior note, 8.25%, 5/15/14 ............................. United States 900,000 937,105
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3,242,105
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TELECOMMUNICATION SERVICES 4.9%
(a) CC Holdings GS V LLC, senior secured note, 144A, 7.75%, 5/01/17 ...... United States 400,000 392,000
Crown Castle International Corp., senior note, 9.00%, 1/15/15 ........ United States 1,500,000 1,533,750
(a) Digicel Group Ltd., senior note, 144A, 8.875%, 1/15/15 ............... Jamaica 2,000,000 1,670,000
Intelsat Subsidiary Holding Co. Ltd., senior note,
8.50%, 1/15/13 .................................................... Bermuda 2,500,000 2,412,500
8.875%, 1/15/15 ................................................... Bermuda 500,000 485,000
MetroPCS Wireless Inc., senior note, 9.25%, 11/01/14 ................. United States 2,000,000 1,997,500
Millicom International Cellular SA, senior note, 10.00%, 12/01/13 .... Luxembourg 2,000,000 2,037,500
Qwest Communications International Inc., senior note, B, 7.50%,
2/15/14 ........................................................... United States 2,000,000 1,835,000
(a) Qwest Corp., senior note, 144A, 8.375%, 5/01/16 ...................... United States 400,000 388,000
(a) Wind Acquisition Finance SA, senior note, 144A, 10.75%, 12/01/15 ..... Italy 2,500,000 2,512,500
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15,263,750
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UTILITIES 4.5%
Ameren Corp., senior note, 8.875%, 5/15/14 ........................... United States 2,000,000 2,066,944
Duke Energy Corp., senior note, 6.30%, 2/01/14 ....................... United States 1,500,000 1,621,587
Dynegy Holdings Inc., senior note, 7.50%, 6/01/15 .................... United States 2,000,000 1,677,500
Mirant North America LLC, senior note, 7.375%, 12/31/13 .............. United States 2,000,000 1,930,000
NRG Energy Inc., senior note, 7.25%, 2/01/14 ......................... United States 3,000,000 2,917,500
PG&E Corp., senior note, 5.75%, 4/01/14 .............................. United States 2,000,000 2,133,954
Texas Competitive Electric Holdings Co. LLC, senior note, A, 10.25%,
11/01/15 .......................................................... United States 3,000,000 1,882,500
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14,229,985
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TOTAL CORPORATE BONDS (COST $197,565,792) ............................ 183,983,779
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MORTGAGE-BACKED SECURITIES 29.4%
(c) FEDERAL HOME LOAN MORTGAGE CORP. (FHLMC) ADJUSTABLE RATE 0.3%
FHLMC, 4.202%, 5/01/34 ............................................... United States 1,014,615 1,049,895
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6 | Quarterly Statement of Investments
Franklin Templeton
Limited Duration Income Trust
STATEMENT OF INVESTMENTS, JUNE 30, 2009 (UNAUDITED) (CONTINUED)
COUNTRY PRINCIPAL AMOUNT(b) VALUE
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MORTGAGE-BACKED SECURITIES (CONTINUED)
FEDERAL HOME LOAN MORTGAGE CORP. (FHLMC) FIXED RATE 13.9%
FHLMC Gold 15 Year, 4.50%, 6/01/23 ................................... United States 2,247,701 $ 2,296,298
FHLMC Gold 15 Year, 5.00%, 5/01/23 - 4/01/24 ......................... United States 3,322,697 3,440,673
FHLMC Gold 15 Year, 5.50%, 7/01/19 ................................... United States 193,555 203,674
FHLMC Gold 15 Year, 6.00%, 7/01/23 ................................... United States 942,090 997,621
(e) FHLMC Gold 30 Year, 5.00%, 7/01/39 ................................... United States 5,025,000 5,110,581
FHLMC Gold 30 Year, 5.50%, 1/01/38 - 6/01/38 ......................... United States 1,773,753 1,834,679
(e) FHLMC Gold 30 Year, 5.50%, 7/01/39 ................................... United States 5,900,000 6,090,830
FHLMC Gold 30 Year, 6.00%, 7/01/28 - 11/01/33 ........................ United States 3,022,784 3,181,439
(e) FHLMC Gold 30 Year, 6.00%, 7/01/39 ................................... United States 9,660,000 10,081,118
(e) FHLMC Gold 30 Year, 6.50%, 7/01/39 ................................... United States 7,211,000 7,662,812
FHLMC Gold 30 Year, 7.00%, 9/01/27 ................................... United States 693,822 759,304
FHLMC Gold 30 Year, 8.00%, 1/01/31 ................................... United States 127,062 139,801
FHLMC Gold 30 Year, 8.50%, 7/01/31 ................................... United States 1,470,386 1,634,478
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43,433,308
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(c) FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) ADJUSTABLE RATE 0.5%
FNMA, 3.473%, 7/01/34 ................................................ United States 1,550,469 1,586,334
FNMA, 5.911%, 6/01/32 ................................................ United States 70,090 73,436
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1,659,770
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FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) FIXED RATE 11.9%
FNMA 15 Year, 5.00%, 6/01/23 ......................................... United States 1,210,239 1,254,344
FNMA 15 Year, 5.50%, 7/01/20 - 9/01/22 ............................... United States 3,046,276 3,216,962
FNMA 15 Year, 6.00%, 10/01/23 ........................................ United States 1,700,586 1,802,951
FNMA 15 Year, 6.50%, 7/01/20 ......................................... United States 172,149 173,191
FNMA 15 Year, 7.00%, 9/01/18 ......................................... United States 246,735 271,300
(e) FNMA 30 Year, 4.50%, 7/01/39 ......................................... United States 1,540,000 1,537,113
FNMA 30 Year, 5.00%, 5/01/37 ......................................... United States 2,490,486 2,540,199
(e) FNMA 30 Year, 5.00%, 7/01/39 ......................................... United States 7,650,000 7,789,850
(e) FNMA 30 Year, 5.50%, 7/01/39 ......................................... United States 4,798,000 4,953,187
FNMA 30 Year, 6.00%, 4/01/33 ......................................... United States 846,699 892,887
(e) FNMA 30 Year, 6.00%, 7/01/39 ......................................... United States 3,860,000 4,034,302
FNMA 30 Year, 6.50%, 8/01/32 ......................................... United States 1,103,099 1,186,472
(e) FNMA 30 Year, 6.50%, 7/01/39 ......................................... United States 6,623,000 7,054,528
FNMA 30 Year, 8.00%, 10/01/29 ........................................ United States 197,363 215,514
FNMA 30 Year, 8.50%, 8/01/26 ......................................... United States 395,935 434,045
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37,356,845
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GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) FIXED RATE 2.8%
(e) GNMA I SF 30 Year, 5.50%, 7/01/39 .................................... United States 5,910,000 6,102,997
GNMA I SF 30 Year, 6.50%, 6/15/31 - 12/15/33 ......................... United States 1,765,156 1,898,045
GNMA II SF 30 Year, 7.00%, 1/20/24 - 1/20/29 ......................... United States 183,352 199,224
GNMA II SF 30 Year, 8.00%, 1/20/28 - 2/20/32 ......................... United States 366,538 413,079
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8,613,345
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TOTAL MORTGAGE-BACKED SECURITIES (COST $90,898,846) .................. 92,113,163
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Quarterly Statement of Investments | 7
Franklin Templeton
Limited Duration Income Trust
STATEMENT OF INVESTMENTS, JUNE 30, 2009 (UNAUDITED) (CONTINUED)
COUNTRY PRINCIPAL AMOUNT(b) VALUE
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ASSET-BACKED SECURITIES AND COMMERCIAL MORTGAGE-BACKED SECURITIES 8.2%
BANKS 5.2%
Banc of America Commercial Mortgage Inc., 2005-3, A2, 4.501%,
7/10/43 ........................................................... United States 5,000,000 $ 4,889,568
(c) Citigroup/Deutsche Bank Commercial Mortgage Trust, 2005-CD1,
A3, FRN, 5.225%, 7/15/44 .......................................... United States 3,000,000 2,736,054
A4, FRN, 5.225%, 7/15/44 .......................................... United States 400,000 355,557
Greenwich Capital Commercial Funding Corp.,
2004-GG1, A7, 5.317%, 6/10/36 ..................................... United States 1,605,000 1,507,279
2005-GG5, A5, 5.224%, 4/10/37 ..................................... United States 500,000 428,879
GS Mortgage Securities Corp. II, 2003-C1, A3, 4.608%, 1/10/40 ........ United States 400,000 383,443
LB-UBS Commercial Mortgage Trust,
(c) 2002-C2, A4, FRN, 5.594%, 6/15/31 ................................. United States 2,000,000 2,010,142
2005-C1, A2, 4.31%, 2/15/30 ....................................... United States 1,395,000 1,368,611
2006-C1, A4, 5.156%, 2/15/31 ...................................... United States 2,800,000 2,338,713
(c) Merrill Lynch Mortgage Investors Trust, 2003-OPT1, B2, FRN, 3.064%,
7/25/34 ........................................................... United States 165,599 13,207
(c) Morgan Stanley ABS Capital I Inc. Trust,
2003-HE3, B1, FRN, 3.614%, 10/25/33 ............................... United States 734,891 143,212
2003-NC10, B1, FRN, 5.264%, 10/25/33 .............................. United States 605,756 63,540
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16,238,205
------------
DIVERSIFIED FINANCIALS 3.0%
(c) Advanta Business Card Master Trust, 2007-A4, A4, FRN, 0.345%,
4/22/13 ........................................................... United States 1,766,912 1,550,466
(c) Argent Securities Inc., 2003-W5, M4, FRN, 4.064%, 10/25/33 ........... United States 1,151,852 360,007
(c) Chase Funding Mortgage Loan Asset-Backed Certificates, 2004-2, 2A2,
FRN, 0.564%, 2/25/35 .............................................. United States 1,544,172 1,021,385
(c) Chase Issuance Trust, 2005-A9, A9, FRN, 0.339%, 11/15/11 ............. United States 1,000,000 999,371
Citigroup Commercial Mortgage Trust,
(c) 2007-C6, AM, FRN, 5.699%, 6/10/17 ................................. United States 320,000 173,281
2008-C7, A4, 6.095%, 12/10/49 ..................................... United States 700,000 574,228
(c) GSAMP Trust, 2003-AHL, B1, FRN, 4.314%, 10/25/33 ..................... United States 1,243,595 268,212
JPMorgan Chase Commercial Mortgage Securities Corp.,
2005-LDP2, AM, 4.78%, 7/15/42 ..................................... United States 200,000 136,478
(c) 2005-LDP5, A4, FRN, 5.179%, 12/15/44 .............................. United States 1,000,000 847,836
(c) MBNA Master Credit Card Trust II, 1997-B, A, FRN, 0.479%, 8/15/14 .... United States 3,000,000 2,893,527
(c) Morgan Stanley Dean Witter Capital I, 2003-NC3, B1, FRN, 4.814%,
3/25/33 ........................................................... United States 611,179 52,066
(c, h) New Century Home Equity Loan Trust, 2003-2, M3, FRN, 5.864%, 1/25/33.. United States 666,154 23,405
(c) Option One Mortgage Loan Trust, 2003-6, M5, FRN, 3.614%, 11/25/33 .... United States 895,089 236,402
(c) Specialty Underwriting & Residential Finance, 2003-BC4, B2, FRN,
2.814%, 11/25/34 .................................................. United States 313,004 112,478
8 | Quarterly Statement of Investments
Franklin Templeton
Limited Duration Income Trust
STATEMENT OF INVESTMENTS, JUNE 30, 2009 (UNAUDITED) (CONTINUED)
COUNTRY PRINCIPAL AMOUNT(b) VALUE
-------------- ------------------- ------------
ASSET-BACKED SECURITIES AND COMMERCIAL MORTGAGE-BACKED
SECURITIES (CONTINUED)
DIVERSIFIED FINANCIALS (CONTINUED)
(c) Structured Asset Investment Loan Trust,
2003-BC2, M3, FRN, 5.189%, 4/25/33 ................................ United States 13,987 $ 576
2003-BC13, M4, FRN, 4.439%, 11/25/33 .............................. United States 336,209 176,715
------------
9,426,433
------------
TOTAL ASSET-BACKED SECURITIES AND COMMERCIAL
MORTGAGE-BACKED SECURITIES (COST $31,830,828) ..................... 25,664,638
------------
(c) SENIOR FLOATING RATE INTERESTS 47.9%
AUTOMOBILES & COMPONENTS 1.0%
Federal-Mogul Corp., Term Loan B, 2.248% - 2.258%, 12/27/14 .......... United States 2,105,780 1,412,627
United Components Inc., Term Loan D, 3.21%, 6/29/12 .................. United States 2,000,000 1,720,000
------------
3,132,627
------------
CAPITAL GOODS 4.8%
Baldor Electric Co., Term Loan B, 5.25%, 1/31/14 ..................... United States 592,262 573,965
BE Aerospace Inc., Term Loan B, 5.75%, 7/28/14 ....................... United States 1,492,481 1,485,019
Goodman Global Holdings Co. Inc., Term Loan B, 6.50%, 2/13/14 ........ United States 1,084,500 1,041,798
Itron Inc., Dollar Term Loan, 3.81%, 4/18/14 ......................... United States 995,405 986,198
Manitowoc Co. Inc., Term Loan B, 6.50%, 11/06/14 ..................... United States 1,791,000 1,623,840
Oshkosh Truck Corp.,
Term Loan A, 8.25%, 12/06/11 ...................................... United States 471,000 434,497
Term Loan B, 6.64% - 8.25%, 12/06/13 .............................. United States 1,718,537 1,582,128
RBS Global Inc. (Rexnord),
Incremental Tranche B-2, 2.313%, 7/22/13 .......................... United States 997,442 846,579
Term Loan, 2.875% - 3.625%, 7/22/13 ............................... United States 3,000,000 2,571,000
Spirit Aerosystems Inc. (Onex Wind Finance LP), Term B-1 Loan, 2.89%,
12/31/11 .......................................................... United States 1,250,590 1,191,187
TriMas Co. LLC,
Term Loan B, 2.558% - 3.323%, 8/02/13 ............................. United States 1,543,014 1,357,853
Tranche B-1 L/C, 2.62%, 8/02/11 ................................... United States 366,149 322,211
URS Corp., Term Loan B, 2.56% - 3.427%, 5/15/13 ...................... United States 1,115,063 1,101,125
------------
15,117,400
------------
COMMERCIAL & PROFESSIONAL SERVICES 2.6%
ARAMARK Corp.,
Synthetic L/C, 2.336%, 1/26/14 .................................... United States 271,357 250,233
Term Loan B, 2.473%, 1/26/14 ...................................... United States 4,271,345 3,938,834
JohnsonDiversey Inc.,
Delay Draw, 3.016%, 12/16/10 ...................................... United States 256,631 249,253
Term Loan B, 3.016%, 12/16/11 ..................................... United States 733,386 712,300
Nielsen Finance LLC (VNU Inc.), Class A Term Loan, 2.321%, 8/09/13 ... United States 2,726,356 2,460,536
West Corp., Term Loan B-2, 2.683% - 2.693%, 10/24/13 ................. United States 444,795 409,291
------------
8,020,447
------------
Quarterly Statement of Investments | 9
Franklin Templeton
Limited Duration Income Trust
STATEMENT OF INVESTMENTS, JUNE 30, 2009 (UNAUDITED) (CONTINUED)
COUNTRY PRINCIPAL AMOUNT(b) VALUE
-------------- ------------------- ------------
(c) SENIOR FLOATING RATE INTERESTS (CONTINUED)
CONSUMER DURABLES & APPAREL 1.2%
Jarden Corp., Term Loan B2, 2.348%, 1/24/12 .......................... United States 2,387,155 $ 2,303,939
Jostens IH Corp. (Visant Holding Corp.), Term Loan C, 2.637%,
12/21/11 .......................................................... United States 1,350,000 1,312,875
------------
3,616,814
------------
CONSUMER SERVICES 4.7%
Affinion Group Inc., Term Loan B, 2.81%, 10/17/12 .................... United States 2,970,687 2,817,697
Education Management LLC, Term Loan C, 2.375%, 6/01/13 ............... United States 2,427,430 2,245,372
Laureate Education Inc.,
Closing Date Term Loan, 4.342%, 8/18/14 ........................... United States 1,994,520 1,730,246
Delayed Draw Term Loan, 4.342%, 8/18/14 ........................... United States 298,498 258,947
Penn National Gaming Inc., Term Loan B, 2.06% - 2.72%, 10/03/12 ...... United States 2,693,207 2,592,772
VML U.S. Finance LLC (Venetian Macau),
Delayed Draw, 2.85%, 5/25/12 ...................................... Macau 1,163,750 1,000,617
New Project Term Loans, 2.85%, 5/25/13 ............................ Macau 2,970,333 2,553,955
Term Loan B, 2.85%, 5/25/13 ....................................... Macau 1,699,444 1,461,218
------------
14,660,824
------------
ENERGY 0.4%
Dresser Inc., Term Loan B, 3.104%, 5/04/14 ........................... United States 1,552,923 1,411,607
------------
FOOD & STAPLES RETAILING 0.2%
Rite Aid Corp., Tranche 4 Term Loan, 9.50%, 6/10/15 .................. United States 500,000 499,166
------------
FOOD, BEVERAGE & TOBACCO 0.8%
Dean Foods Co., Term Loan B, 1.685% - 1.975%, 4/02/14 ................ United States 1,743,917 1,640,010
Wm. Wrigley Jr. Co., Term Loan B, 6.50%, 10/06/14 .................... United States 877,500 881,840
------------
2,521,850
------------
HEALTH CARE EQUIPMENT & SERVICES 6.4%
Bausch and Lomb Inc.,
Delayed Draw Term Loan, 3.25% - 3.848%, 4/28/15 ................... United States 255,904 235,569
Parent Term Loan, 3.848%, 4/28/15 ................................. United States 1,344,350 1,237,523
Community Health Systems Inc.,
Delayed Draw Term Loan, 2.56%, 7/25/14 ............................ United States 122,735 110,783
Term Loan, 2.56% - 2.924%, 7/25/14 ................................ United States 2,405,040 2,170,823
DaVita Inc., Term Loan B-1, 1.81% - 2.71%, 10/05/12 .................. United States 2,717,434 2,583,261
DJO Finance LLC, Term Loan B, 3.31% - 3.598%, 5/20/14 ................ United States 1,711,282 1,551,919
Fresenius Medical Care Holdings Inc., Term Loan B, 1.973% - 2.514%,
3/31/13 ........................................................... Germany 1,489,073 1,428,447
Fresenius SE (APP), Term Loan B2, 6.75%, 9/10/14 ..................... Germany 277,984 279,999
Fresenius SE (New Finco1), Term Loan B, 6.75%, 9/10/14 ............... Germany 516,016 519,757
HCA Inc., Term Loan B-1, 2.848%, 11/18/13 ............................ United States 3,484,363 3,153,348
Iasis Healthcare LLC,
Delayed Draw Term Loan, 2.31%, 3/14/14 ............................ United States 475,375 437,939
Initial Term Loan, 2.31%, 3/14/14 ................................. United States 1,373,697 1,265,518
Synthetic L/C, 4.54%, 3/14/14 ..................................... United States 128,047 117,963
10 | Quarterly Statement of Investments
Franklin Templeton
Limited Duration Income Trust
STATEMENT OF INVESTMENTS, JUNE 30, 2009 (UNAUDITED) (CONTINUED)
COUNTRY PRINCIPAL AMOUNT(b) VALUE
-------------- ------------------- ------------
(c) SENIOR FLOATING RATE INTERESTS (CONTINUED)
HEALTH CARE EQUIPMENT & SERVICES (CONTINUED)
LifePoint Hospitals Inc., Term Loan B, 2.295%, 4/15/12 ............... United States 1,980,324 $ 1,888,019
Psychiatric Solutions Inc., Term Loan, 2.058% - 2.068%, 7/01/12 ...... United States 918,761 861,339
Team Finance LLC, Term Loan B, 2.608% - 2.716%, 11/23/12 ............. United States 992,275 875,682
Vanguard Health Holding Co. II LLC, Replacement Term Loan, 2.56%,
9/23/11 ........................................................... United States 1,568,279 1,503,098
------------
20,220,987
------------
INSURANCE 0.5%
Conseco Inc., Term Loan, 6.50%, 10/10/13 ............................. United States 2,152,804 1,463,907
------------
MATERIALS 7.0%
Anchor Glass Container Corp., Term Loan, 6.75%, 6/20/14 .............. United States 1,429,201 1,386,325
Ashland Inc., Term Loan B, 7.65%, 5/13/14 ............................ United States 471,226 474,937
Celanese U.S. Holdings LLC, Dollar Term Loan, 2.942%, 4/02/14 ........ United States 2,954,698 2,747,459
Domtar Corp., Term Loan, 1.696%, 3/07/14 ............................. United States 990,228 935,765
Georgia-Pacific LLC,
Additional Term Loan, 2.31% - 2.323%, 12/20/12 .................... United States 1,482,660 1,402,462
Term Loan B, 2.31% - 2.65%, 12/20/12 .............................. United States 1,420,112 1,343,297
Hexion Specialty Chemicals BV, Term Loan C-2, 2.875%, 5/03/13 ........ Netherlands 694,332 478,703
Hexion Specialty Chemicals Inc., Term Loan C-1, 3.50%, 5/03/13 ....... United States 3,204,558 2,209,363
Huntsman International LLC, Term Loan B, 2.058%, 4/21/14 ............. United States 2,683,616 2,415,255
Nalco Co., Term Loan B, 6.50%, 5/13/16 ............................... United States 1,000,000 1,006,875
NewPage Corp., Term Loan, 4.063%, 12/22/14 ........................... United States 1,797,533 1,561,357
Oxbow Carbon LLC,
Delayed Draw Term Loan, 2.31%, 5/08/14 ............................ United States 277,655 252,435
Term Loan B, 2.31% - 2.598%, 5/08/14 .............................. United States 2,907,405 2,643,317
Rockwood Specialties Group Inc., Term Loan H, 6.00%, 5/15/14 ......... United States 500,000 499,063
Univar Inc., Opco Tranche B Term Loan, 3.31%, 10/10/14 ............... United States 3,206,817 2,763,208
------------
22,119,821
------------
MEDIA 7.8%
CSC Holdings Inc., Incremental Term Loan B-2, 2.069%, 3/29/13 ........ United States 774,000 743,316
Dex Media West LLC, Term Loan B, 7.00%, 10/24/14 ..................... United States 3,901,398 3,238,160
Discovery Communications Inc., Term Loan C, 5.25%, 5/14/14 ........... United States 897,750 888,773
Entravision Communications Corp., Term Loan B, 6.46%, 3/29/13 ........ United States 1,254,810 1,083,843
Gray Television Inc., Term Loan B, 3.82%, 12/31/14 ................... United States 1,550,834 964,425
Insight Midwest Holdings, Term Loan B, 2.32%, 4/02/14 ................ United States 2,160,000 2,015,999
MCC Iowa,
Term Loan E, 6.50%, 1/03/16 ....................................... United States 891,000 891,000
Tranche D-1 Term Loan, 2.05%, 1/31/15 ............................. United States 494,714 456,621
Tranche D-2 Term Loan, 2.05%, 1/31/15 ............................. United States 57,525 53,096
Mission Broadcasting Inc., Term Loan B, 2.348%, 10/01/12 ............. United States 878,163 656,427
Newsday LLC, Floating Rate Term Loan, 6.631%, 8/01/13 ................ United States 2,400,000 2,322,000
Nexstar Broadcasting Inc., Term Loan B, 2.789%, 10/01/12 ............. United States 830,530 620,821
Regal Cinemas Corp., Term Loan, 4.348%, 10/27/13 ..................... United States 2,067,659 2,019,844
Quarterly Statement of Investments | 11
Franklin Templeton
Limited Duration Income Trust
STATEMENT OF INVESTMENTS, JUNE 30, 2009 (UNAUDITED) (CONTINUED)
COUNTRY PRINCIPAL AMOUNT(b) VALUE
-------------- ------------------- ------------
(c) SENIOR FLOATING RATE INTERESTS (CONTINUED)
MEDIA (CONTINUED)
(d) Tribune Co.,
Term Loan B, 5.25%, 5/16/14 ....................................... United States 3,950,000 $ 1,354,522
Term Loan X, 5.00%, 2/20/49 ....................................... United States 1,375,714 470,494
Tribune Receivables LLC, Term Loan (DIP), 9.00%, 4/10/10 ............. United States 125,000 125,938
Univision Communications Inc., Initial Term Loan, 2.56%, 9/29/14 ..... United States 3,000,000 2,251,071
UPC Financing Partnership,
Term Loan N, 2.065%, 12/31/14 ..................................... Netherlands 2,897,847 2,691,375
Term Loan T, 3.815%, 12/31/16 ..................................... Netherlands 1,572,153 1,506,320
------------
24,354,045
------------
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES 0.9%
Life Technologies Corp., Term Loan B, 5.25%, 11/21/15 ................ United States 794,000 795,632
Mylan Inc., Term Loan B, 3.563% - 3.875%, 10/02/14 ................... United States 2,134,000 2,065,089
------------
2,860,721
------------
REAL ESTATE 0.2%
CB Richard Ellis Services Inc., Term Loan B, 6.00 - 6.25%, 12/20/13 .. United States 806,375 730,576
------------
RETAILING 0.3%
Dollar General Corp., Tranche B-1 Term Loan, 3.06% - 3.789%,
7/07/14 ........................................................... United States 1,000,000 953,748
------------
SOFTWARE & SERVICES 3.7%
Affiliated Computer Services Inc.,
Additional Term Loan, 2.31% - 2.321%, 3/20/13 ..................... United States 1,746,846 1,665,782
Term Loan B, 2.308%, 3/20/13 ...................................... United States 482,500 460,109
Emdeon Business Services LLC, First Lien Term Loan, 2.31% - 2.598%,
11/16/13 .......................................................... United States 2,030,199 1,908,387
First Data Corp., Term Loan B-2, 3.06% - 3.065%, 9/24/14 ............. United States 2,452,538 1,845,535
Metavante Corp., Term Loan B, 2.778%, 11/01/14 ....................... United States 1,994,950 1,931,360
Rovi Corp., Term Loan B, 6.00%, 5/02/13 .............................. United States 584,655 583,193
SunGard Data Systems Inc.,
New U.S. Term Loan, 2.071% - 2.724%, 2/28/14 ...................... United States 119,548 111,351
Tranche B U.S. TL, 3.951% - 4.604%, 2/28/16 ....................... United States 3,370,292 3,155,436
------------
11,661,153
------------
TECHNOLOGY HARDWARE & EQUIPMENT 1.2%
CommScope Inc., Term Loan B, 3.098%, 12/26/14 ........................ United States 984,412 943,498
Flextronics International USA Inc.,
Term Loan A, 2.568% - 3.458%, 10/01/14 ............................ United States 1,831,661 1,518,970
Term Loan A-1, 3.381%, 10/01/14 ................................... United States 526,339 436,486
Sensus Metering Systems Inc., Term Loan B1, 2.613% - 2.716%,
12/17/10 .......................................................... United States 1,064,215 984,399
------------
3,883,353
------------
12 | Quarterly Statement of Investments
Franklin Templeton
Limited Duration Income Trust
STATEMENT OF INVESTMENTS, JUNE 30, 2009 (UNAUDITED) (CONTINUED)
COUNTRY PRINCIPAL AMOUNT(b) VALUE
-------------- ------------------- ------------
(c) SENIOR FLOATING RATE INTERESTS (CONTINUED)
TELECOMMUNICATION SERVICES 2.5%
GCI Holdings Inc., Add-On Term Loan, 4.56%, 8/31/12 .................. United States 2,369,713 $ 2,322,318
Intelsat Corp. (Panamsat),
Tranche B-2-A, 2.819%, 1/03/14 .................................... United States 1,278,240 1,169,590
Tranche B-2-B, 2.819%, 1/03/14 .................................... United States 1,277,852 1,169,235
Tranche B-2-C, 2.819%, 1/03/14 .................................... United States 1,277,852 1,169,234
Windstream Corp., Tranche B-1, 1.82% - 2.62%, 7/17/13 ................ United States 2,007,593 1,898,430
------------
7,728,807
------------
UTILITIES 1.7%
Dynegy Holdings Inc., Term L/C Facility, 1.81%, 4/02/13 .............. United States 1,499,049 1,351,018
NRG Energy Inc.,
Credit Link, 0.498%, 2/01/13 ...................................... United States 819,782 773,296
Term Loan, 1.81% - 2.098%, 2/01/13 ................................ United States 1,529,371 1,442,648
Texas Competitive Electric Holdings Co. LLC, Term Loan B-2,
3.81% - 3.821%, 10/10/14 .......................................... United States 2,451,288 1,757,728
------------
5,324,690
------------
TOTAL SENIOR FLOATING RATE INTERESTS (COST $159,860,113) 150,282,543
------------
FOREIGN GOVERNMENT AND AGENCY SECURITIES 1.0%
Government of Argentina, senior bond,
amortization and cpn., 8/03/09 .................................... Argentina 1,975,000 486,151
(c, i) FRN, 1.683%, 8/03/12 .............................................. Argentina 3,950,000 938,125
Government of Malaysia, 3.756%, 4/28/11 .............................. Malaysia 5,860,000 MYR 1,706,719
------------
TOTAL FOREIGN GOVERNMENT AND AGENCY SECURITIES
(COST $3,601,829) ................................................. 3,130,995
------------
TOTAL INVESTMENTS BEFORE SHORT TERM INVESTMENTS
(COST $483,995,258) ............................................... 455,463,302
------------
SHARES
-------------------
SHORT TERM INVESTMENTS (COST $3,883,074) 1.2%
MONEY MARKET FUNDS 1.2%
(j) Institutional Fiduciary Trust Money Market Portfolio, 0.00% .......... United States 3,883,074 3,883,074
------------
TOTAL INVESTMENTS (COST $487,878,332) 146.4% ......................... 459,346,376
PREFERRED SHARES (28.7)% . ........................................... (90,000,000)
OTHER ASSETS, LESS LIABILITIES (17.7)% . ............................. (55,470,527)
------------
NET ASSETS APPLICABLE TO COMMON SHARES 100.0% ........................ $313,875,849
============
Quarterly Statement of Investments | 13
Franklin Templeton
Limited Duration Income Trust
STATEMENT OF INVESTMENTS, JUNE 30, 2009 (UNAUDITED) (CONTINUED)
(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 June 30, 2009, the
aggregate value of these securities was $46,667,377, representing 14.87% 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) Defaulted security or security for which income has been deemed
uncollectible.
(e) A portion or all of the security purchased on a when-issued or
to-be-announced basis.
(f) Income may be received in additional securities and/or cash.
(g) See Note 5 regarding other considerations.
(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) 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.
At June 30, 2009, the Fund had the following forward exchange contracts
outstanding.
CONTRACT SETTLEMENT UNREALIZED UNREALIZED
CURRENCY COUNTERPARTY TYPE QUANTITY AMOUNT(*) DATE APPRECIATION DEPRECIATION
-------- ------------ ---- ----------- ----------- ---------- ------------ ------------
South Korean Won ......................... JPHQ Buy 308,000,000 289,716 CHF 7/09/09 $ -- $(24,842)
South Korean Won ......................... JPHQ Sell 308,000,000 312,310 CHF 7/09/09 45,633 --
United States Dollar ..................... JPHQ Buy 300,000 195,081 EUR 7/10/09 26,377 --
United States Dollar ..................... JPHQ Sell 300,000 236,072 EUR 7/10/09 31,116 --
South Korean Won ......................... JPHQ Buy 101,000,000 95,042 CHF 7/24/09 -- (8,124)
South Korean Won ......................... JPHQ Sell 101,000,000 101,722 CHF 7/24/09 14,272 --
-------- --------
Unrealized appreciation
(depreciation) ..................... 117,398 (32,966)
-------- --------
Net unrealized appreciation
(depreciation) ..................... $ 84,432
========
* In U.S. dollars unless otherwise indicated.
See Abbreviations on page 19.
See Notes to Statement of Investments.
14 | Quarterly Statement of Investments
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.
Quarterly Statement of Investments | 15
Franklin Templeton
Limited Duration Income Trust
NOTES TO STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
2. SECURITY VALUATION (CONTINUED)
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 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.
16 | Quarterly Statement of Investments
Franklin Templeton
Limited Duration Income Trust
NOTES TO STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
4. INCOME TAXES
At June 30, 2009, the cost of investments and net unrealized appreciation
(depreciation) for income tax purposes were as follows:
Cost of investments ........................... $489,165,721
============
Unrealized appreciation ....................... $ 12,076,687
Unrealized depreciation ....................... (41,896,032)
------------
Net unrealized appreciation (depreciation)..... $(29,819,345)
============
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
Financial Accounting Standards Board (FASB) Statement No. 157, "Fair Value
Measurement" establishes 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.
Quarterly Statement of Investments | 17
Franklin Templeton
Limited Duration Income Trust
NOTES TO STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
6. FAIR VALUE MEASUREMENTS (CONTINUED)
The following is a summary of the inputs used as of June 30, 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 $ -- $ 288,184 $-- $ 288,184
Corporate Bonds -- 183,983,779 -- 183,983,779
Mortgage-Backed Securities -- 92,113,163 -- 92,113,163
Asset-Backed Securities and Commercial
Mortgage-Backed Securities -- 25,664,638 -- 25,664,638
Senior Floating Rate Interests -- 150,282,543 -- 150,282,543
Foreign Government and Agency Securities -- 3,130,995 -- 3,130,995
Short Term Investments 3,883,074 -- -- 3,883,074
---------- ------------ --- ------------
Total Investments in Securities(a) $3,883,074 $455,463,302 $-- $459,346,376
========== ============ === ============
Foorward Exchange Contracts -- 117,938 -- 117,938
Unfunded Loan Commitments -- 11,012 -- 11,012
LIABILITIES:
Forward Exchange Contracts -- 32,966 -- 32,966
(a) For detailed industry descriptions, see the accompanying Statement of
Investments.
7. SUBSEQUENT EVENTS
Management has evaluated subsequent events through August 21, 2009 and
determined that no events have occurred that require disclosure.
18 | Quarterly Statement of Investments
Franklin Templeton
Limited Duration Income Trust
NOTES TO STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
ABBREVIATIONS
CURRENCY
CHF - Swiss Franc
EUR - Euro
MYR - Malaysian Ringgit
SELECTED PORTFOLIO
DIP - Debtor-In-Possession
FHLMC - Federal Home Loan Mortgage Corp.
FNMA - Federal National Mortgage Association
FRN - Floating Rate Note
GNMA - Government National Mortgage Association
L/C - Letter of Credit
PIK - Payment-In-Kind
SF - Single Family
COUNTERPARTY
JPHQ - JPMorgan Chase Bank, N.A.
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.
Quarterly Statement of Investments | 19
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 August 27, 2009
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 August 27, 2009
By /s/GASTON GARDEY
-------------------------------
Gaston Gardey
Chief Financial Officer and
Chief Accounting Officer
Date August 27, 2009