UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
 
FORM N-CSRS
 
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
 
Investment Company Act file number 811-21357
 
Franklin Limited Duration Income Trust
(Exact name of registrant as specified in charter)
 
One Franklin Parkway, San Mateo, CA 94403-1906

(Address of principal executive offices) (Zip code)
 
Craig S. Tyle, One Franklin Parkway, San Mateo, CA  94403-1906
(Name and address of agent for service)
 
Registrant's telephone number, including area code:(650)312-2000
 
Date of fiscal year end: 12/31
 
Date of reporting period: 6/30/21
 
Item 1. Reports to Stockholders.
 
a.)
 
The following is a copy of the report transmitted to shareholders pursuant to Rule30e-1 under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30e-1.)


b.)
 
Include a copy of each notice transmitted to stockholders in reliance on Rule 30e-3 under the Act (17 CFR 270.30e-3) that contains disclosures specified by paragraph (c)(3) of that rule.
Not Applicable
.
 
Semiannual
Report
Franklin
Limited
Duration
Income
Trust
June
30,
2021
Not
FDIC
Insured
May
Lose
Value
No
Bank
Guarantee
franklintempleton.com
Semiannual
Report
1
Contents
Semiannual
Report
Franklin
Limited
Duration
Income
Trust
2
Performance
Summary
5
Financial
Highlights
and
Statement
of
Investments
7
Financial
Statements
31
Notes
to
Financial
Statements
35
Annual
Meeting
of
Shareholders
48
Dividend
Reinvestment
and
Cash
Purchase
Plan
49
Shareholder
Information
51
Visit
@
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for
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updates
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documents,
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tools.
2
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SEMIANNUAL
REPORT
Franklin
Limited
Duration
Income
Trust
Dear
Shareholder:
This
semiannual
report
for
Franklin
Limited
Duration
Income
Trust
covers
the
period
ended
June
30,
2021
.
Your
Fund’s
Goal
and
Main
Investments
The
Fund
seeks
to
provide
high,
current
income,
with
a
secondary
objective
of
capital
appreciation
to
the
extent
possible
and
consistent
with
the
Fund’s
primary
objective,
through
a
portfolio
consisting
primarily
of
high-yield
corporate
bonds,
floating
rate
corporate
loans
and
mortgage-
and
other
asset-backed
securities.
*
Total
investments
include
long-term
and
short-term
investments.
**Includes
collateralized
loan
obligations.
***Includes
common
stocks,
preferred
stocks,
warrants,
convertible
bonds,
and
escrows
and
litigation
trusts.
Performance
Overview
For
the
six
months
under
review,
the
Fund
posted
cumulative
total
returns
of
+3.78%
based
on
net
asset
value
and
+2.83%
based
on
market
price.
Net
asset
value
decreased
from
$9.43
per
share
on
December
31,
2020,
to
$9.31
at
period-end,
and
the
market
price
decreased
from
$9.42
to
$9.21
over
the
same
period.
You
can
find
the
Fund’s
long-
term
performance
data
in
the
Performance
Summary
on
page
5
.
Performance
data
represent
past
performance,
which
does
not
guarantee
future
results.
Investment
return
and
principal
value
will
fluctuate,
and
you
may
have
a
gain
or
loss
when
you
sell
your
shares.
Current
performance
may
differ
from
figures
shown.
Economic
and
Market
Overview
The
global
economic
recovery
persisted
in
the
period
under
review
as
consumers
and
businesses
are
proving
eager
to
return
to
a
normal
pre-novel
coronavirus
(COVID-19)
life.
“Reflation,”
meaning
a
return
to
growth,
was
the
key
driver
for
markets
in
the
first
quarter,
but
inflation
and
commensurate
risks
of
higher
commodity
prices
have
now
taken
center
stage.
Central
bankers
continue
to
assure
the
market
that
the
recent
rise
in
inflation
measures
will
prove
temporary,
and
market
consensus
had
largely
accepted
this
optimistic
view.
More
recently,
the
U.S.
Federal
Reserve
acknowledged
that
inflation
risks
are
skewed
to
the
upside
as
they
took
a
hawkish
turn
in
their
June
2021
meeting.
As
a
result,
markets
are
debating
the
growth
and
inflation
outlook
with
equity
market
returns
reflecting
potential
for
positive
growth,
while
treasury
markets
are
turning
more
cautious
on
the
growth
outlook
towards
the
end
of
the
period
under
review
as
reflected
in
lower
10-year
treasury
yields.
Investment
Strategy
We
invest
in
a
diversified
mix
of
fixed
income
securities,
primarily
high-yield
corporate
bonds,
senior
secured
floating
rate
corporate
loans,
and
mortgage-
and
other
asset-backed
securities.
The
Fund
may
also
invest
a
small
portion
in
marketplace
loans.
Our
top-down
analysis
of
macroeconomic
trends
combined
with
a
bottom-up
analysis
of
market
sectors,
industries
and
issuers
drives
our
investment
process.
We
seek
to
maintain
a
limited
duration,
or
interest-rate
sensitivity,
to
moderate
the
impact
that
fluctuating
interest
rates
might
have
on
the
Fund’s
fixed
income
portfolio.
Within
the
corporate
bond
and
corporate
loan
sectors,
we
seek
securities
trading
at
reasonable
valuations
from
issuers
with
characteristics
such
as
strong
market
positions,
stable
cash
flows,
reasonable
capital
structures,
supportive
asset
values,
strong
sponsorship
and
improving
credit
fundamentals.
In
the
mortgage-
and
other
asset-backed
securities
sector,
we
look
to
capture
an
attractive
income
stream
and
total
return
through
our
analysis
of
security
prepayment
assumptions,
potential
pricing
inefficiencies
and
underlying
collateral
characteristics.
Portfolio
Composition
6/30/21
%
of
Total
Investments*
Corporate
Bonds
43.7%
Senior
Floating
Rate
Interests
31.0%
Mortgage-Backed
Securities
12.3%
Asset-Backed
Securities**
7.3%
Marketplace
Loans
1.2%
Residential
Mortgage-Backed
Securities
0.8%
Commercial
Mortgage-Backed
Securities
0.8%
Other***
0.2%
Short-Term
Investments
2.7%
The
dollar
value,
number
of
shares
or
principal
amount,
and
names
of
all
portfolio
holdings
are
listed
in
the
Fund’s
Statement
of
Investments
(SOI).
The
SOI
begins
on
page
8
.
Franklin
Limited
Duration
Income
Trust
3
franklintempleton.com
Semiannual
Report
Manager’s
Discussion
High-Yield
Corporate
Bonds
The
U.S.
High
Yield
market
(HY)
continued
to
enjoy
a
favorable
environment
for
leveraged
credit.
Against
the
backdrop
of
further
reopening
of
the
economy,
supportive
fiscal
and
monetary
policies
combined
with
wide-open
capital
markets
have
led
to
strong
overall
credit
market
performance.
Issuers
are
experiencing
improved
credit
profiles
leading
to
ratings
agency
upgrades
outpacing
downgrades.
Consequently,
market
consensus
is
for
diminishing
default
risk
for
the
balance
of
this
year
and
into
2022.
While
inflation
pressure
has
become
a
topic
of
concern
in
U.S.
HY
as
well
as
the
broader
markets,
not
all
HY
issuers
are
expected
to
be
impacted
to
the
same
degree.
Industries
that
are
at
an
elevated
risk
of
repricing
due
to
input
cost
inflation,
such
as
autos
and
food
and
beverage,
are
expected
to
be
in
the
minority
in
the
universe
of
U.S.
HY
issuers.
On
the
contrary,
there
are
industries
such
as
energy
and
metals
and
mining
that
are
expected
to
benefit
from
higher
commodity
prices
as
inflation
pressure
further
increases.
In
general,
we
believe
the
overall
HY
technical
environment
remains
firm.
Inflows
from
institutional
and
non-traditional
HY
investors,
both
foreign
and
domestic,
along
with
elevated
call,
tender
activity
and
natural
coupon
reinvestment
have
supported
the
market
in
spite
of
issuance
that
has
continued
at
a
record-setting
pace
on
a
year-to-date
(YTD)
basis
and
mutual
fund
flows
that
have
turned
negative
YTD.
Overall,
The
U.S.
HY
sector,
as
measured
by
the
ICE
BofA
U.S.
High
Yield
Constrained
Index,
returned
+3.70%
for
the
six-month
period
ending
June
30,
2021,
with
lower
quality
rating
categories
outperforming.
1
Floating
Rate
Corporate
Loans
Technical
conditions
in
the
loan
market
strengthened
during
the
period,
driven
by
positive
developments
on
the
vaccine
front
and
heightened
expectations
for
meaningful
fiscal
stimulus.
Inflows
into
loan
retail
vehicles
accelerated
and
a
significant
increase
in
collateralized
loan
obligation
(CLO)
issuance
contributed
to
the
rally.
The
more
favorable
environment
supported
stronger
demand
for
lower-rated
loans
trading
at
deeper
discounts
to
par,
especially
those
in
industries
that
were
expected
to
benefit
from
a
reopening
economy.
Following
consecutive
months
of
outflows
during
the
prior
period,
retail
vehicle
flows
reversed
course
as
more
investors
looked
to
the
asset
class
in
response
to
rising
Treasury
yields
and
potential
inflation.
Technical
conditions
in
the
loan
market
remained
robust
as
demand
from
CLOs
also
bolstered
support
for
loan
prices.
Liability
spreads
tightened
amid
renewed
investor
interest
in
floating
rate
assets,
as
new
issue
CLO
spreads
for
some
tranches
reached
the
tightest
levels
since
the
global
financial
crisis.
Issuance
of
new
CLOs
increased
in
2021,
outpacing
the
rate
from
the
prior
year,
leading
to
stronger
demand
for
loans
as
new
vehicles
launched.
Positive
flows
and
CLO
issuance
led
to
an
increasing
loan
supply
and
demand
imbalance
at
the
beginning
of
2021,
resulting
in
a
large
portion
of
the
market
trading
above
par.
Arrangers
launched
more
repricing
deals
to
reduce
spreads
on
existing
loans,
after
those
deals
were
largely
absent
from
the
market
for
most
of
2020.
Net
new
volume
eventually
increased,
driven
by
an
increase
in
deals
to
finance
mergers
and
acquisitions.
The
primary
market
also
saw
an
increase
in
opportunistic
deals
for
second
lien
loans
or
those
to
finance
dividends.
Issuance
of
B
rated
loans
exceeded
the
pace
from
prior
periods,
leading
to
a
further
shift
in
the
ratings
mix
in
the
loan
market.
Default
activity
declined
during
the
period,
amid
improving
fundamental
conditions
and
better
investor
sentiment.
The
gradual
decline
in
defaults
led
the
default
rate
to
fall
below
the
historical
average
by
the
end
of
the
period.
While
bifurcation
persisted
between
those
in
industries
less
impacted
by
the
COVID-19
crisis
and
those
affected
by
continued
virus
fears,
the
percentage
of
loans
trading
at
distressed
levels
sharply
declined.
Credit
rating
agencies
also
responded
to
improved
earnings
and
outlook,
leading
to
rating
upgrades
significantly
outpacing
downgrades.
Mortgage-Backed
Securities
(MBS)
and
Securitized
Sectors
Securitized
sector
performance
was
challenged
over
the
period,
with
only
non-agency
mortgage-backed
securities
(RMBS)
posting
positive
total
returns.
Agency
mortgage-
backed
securities
(MBS)
and
commercial
mortgage-backed
securities
(CMBS)
posted
negative
returns
and
lagged
credit-related
sectors
but
outperformed
similar
duration
U.S.
Treasuries.
Mortgage
rates
have
increased
year-to-date
but
have
slowed
their
steady
upward
trajectory.
After
increasing
for
the
first
few
months
of
the
year,
mortgage
rates
have
been
fairly
rangebound
since
late
April
2021.
Despite
the
higher
level
of
rates,
prepayments
have
remained
high
and
primary
and
secondary
spreads
have
retraced
from
their
wider
levels,
1.
Source:
Morningstar
The
index
is
unmanaged
and
includes
reinvestment
of
any
income
or
distributions.
It
does
not
reflect
any
fees,
expenses
or
sales
charges.
One
cannot
invest
directly
in
an
index,
and
an
index
is
not
representative
of
the
Fund’s
portfolio.
See
www.franklintempletondatasources.com
for
additional
data
provider
information.
Franklin
Limited
Duration
Income
Trust
4
franklintempleton.com
Semiannual
Report
which
could
keep
prepayments
elevated
for
the
next
few
months.
Rates
have
increased
year-to-date,
leaving
less
than
half
of
the
agency
MBS
universe
with
an
economic
incentive
to
refinance,
compared
to
80%
in
2020,
which
is
also
likely
to
lead
to
lower
levels
of
prepayments.
Although
tapering
discussions
have
begun,
it
appears
that
the
timing
will
depend
to
a
larger
extent
on
further
progress
in
the
broader
labor
market
than
on
inflation.
Federal
Reserve
(Fed)
Chair
Jerome
Powell
has
reiterated
that
the
first
step
in
adjusting
monetary
policy
will
be
the
tapering
of
asset
purchases
and
that
the
discussion
of
this
process
will
continue
over
the
coming
meetings.
As
part
of
the
Fed’s
goal
of
providing
strong
forward
guidance
of
changes
to
monetary
policy,
any
change
to
asset
purchase
levels
will
be
announced
in
advance
and
that
the
process
will
be
“orderly,
methodical,
and
transparent.”
The
Fed’s
continued
purchases
of
agency
MBS
will
remain
a
key
support
for
the
market,
potentially
limiting
spread
widening
and
keeping
spreads
range
bound;
support
from
the
Fed
should
keep
valuations
stable,
and
agency
MBS
should
continue
to
provide
high
quality
allocation
and
a
modestly
attractive
carry
profile,
in
our
view.
We
decreased
allocation
to
agency
MBS
over
the
period.
The
portfolio’s
mortgage
exposure
remained
heavily
weighted
to
conventional
Freddie
Mac
and
Fannie
Mae
MBS,
mainly
in
3.0%
coupon
securities.
We
maintained
small
allocations
to
RMBS
and
CMBS.
RMBS
allocation
is
primarily
in
credit
risk
transfer
securities.
Supply
and
demand
imbalances
combined
with
mortgage
rates
still
near
historic
lows
will
continue
to
support
a
strong
housing
market
and
remain
supportive
for
the
RMBS
sector,
in
our
view.
Thank
you
for
your
continued
participation
in
Franklin
Limited
Duration
Income
Trust.
We
look
forward
to
serving
your
future
investment
needs.
Sincerely,
David
Yuen,
CFA,
FRM
Sonal
Desai,
Ph.D.
Glenn
I.
Voyles,
CFA
Justin
Ma,
CFA
Portfolio
Management
Team
The
foregoing
information
reflects
our
analysis,
opinions
and
portfolio
holdings
as
of
June
30,
2021,
the
end
of
the
reporting
period.
The
way
we
implement
our
main
investment
strategies
and
the
resulting
portfolio
holdings
may
change
depending
on
factors
such
as
market
and
economic
conditions.
These
opinions
may
not
be
relied
upon
as
investment
advice
or
an
offer
for
a
particular
security.
The
information
is
not
a
complete
analysis
of
every
aspect
of
any
market,
country,
industry,
security
or
the
Fund.
Statements
of
fact
are
from
sources
considered
reliable,
but
the
investment
manager
makes
no
representation
or
warranty
as
to
their
completeness
or
accuracy.
Although
historical
performance
is
no
guarantee
of
future
results,
these
insights
may
help
you
understand
our
investment
management
philosophy.
CFA
®
is
a
trademark
owned
by
CFA
Institute.
Performance
Summary
as
of
June
30,
2021
Franklin
Limited
Duration
Income
Trust
5
franklintempleton.com
Semiannual
Report
Total
return
reflects
reinvestment
of
the
Fund’s
dividends
and
capital
gain
distributions,
if
any,
and
any
unrealized
gains
or
losses.
Total
returns
do
not
reflect
any
sales
charges
paid
at
inception
or
brokerage
commissions
paid
on
secondary
market
purchases.
The
performance
table
does
not
reflect
any
taxes
that
a
shareholder
would
pay
on
Fund
dividends,
capital
gain
distributions,
if
any,
or
any
realized
gains
on
the
sale
of
Fund
shares.
Your
dividend
income
will
vary
depending
on
dividends
or
interest
paid
by
securities
in
the
Fund’s
portfolio,
adjusted
for
operating
expenses.
Capital
gain
distributions
are
net
profits
realized
from
the
sale
of
portfolio
securities.
Performance
as
of
6/30/21
1,2
Performance
data
represent
past
performance,
which
does
not
guarantee
future
results.
Investment
return
and
principal
value
will
fluctuate,
and
you
may
have
a
gain
or
loss
when
you
sell
your
shares.
Current
performance
may
differ
from
figures
shown.
Share
Prices
Cumulative
Total
Return
3
Average
Annual
Total
Return
3
Based
on
NAV
4
Based
on
market
price
5
Based
on
NAV
4
Based
on
market
price
5
6-Month
+3.78%
+2.83%
+3.78%
+2.83%
1-Year
+13.98%
+20.62%
+13.98%
+20.62%
5-Year
+19.26%
+33.12%
+3.59%
+5.89%
10-Year
+49.30%
+50.73%
+4.09%
+4.19%
Symbol:
FTF
6/30/21
12/31/20
Change
Net
Asset
Value
(NAV)
$9.31
$9.43
-$0.12
Market
Price
(NYSE)
$9.21
$9.42
-$0.21
See
page
6
for
Performance
Summary
footnotes.
Franklin
Limited
Duration
Income
Trust
Performance
Summary
6
franklintempleton.com
Semiannual
Report
All
investments
involve
risks,
including
possible
loss
of
principal.
Interest-rate
movements
and
mortgage
prepayments
will
affect
the
Fund’s
share
price
and
yield.
Bond
prices
generally
move
in
the
opposite
direction
of
interest
rates.
Thus,
as
the
prices
of
bonds
in
the
Fund
adjust
to
a
rise
in
interest
rates,
the
Fund's
share
price
may
decline.
Changes
in
the
financial
strength
of
a
bond
issuer
or
in
a
bond's
credit
rating
may
affect
its
value.
High
yields
reflect
the
higher
credit
risks
associated
with
certain
lower-rated
securities
held
in
the
portfolio.
Floating-rate
loans
and
high-yield
corporate
bonds
are
rated
below
investment
grade
and
are
subject
to
greater
risk
of
default,
which
could
result
in
loss
of
principal—a
risk
that
may
be
heightened
in
a
slowing
economy.
Events
such
as
the
spread
of
deadly
diseases,
disasters,
and
financial,
political
or
social
disruptions,
may
heighten
risks
and
adversely
affect
performance.
The
Fund
is
actively
managed
but
there
is
no
guarantee
that
the
manager's
investment
decisions
will
produce
the
desired
results.
1.
Figures
are
for
common
shares.
As
of
6/30/21,
the
Fund
had
leverage
in
the
amount
of
33.17%
of
the
Fund’s
total
portfolio.
The
Fund
employs
leverage
through
partic-
ipation
in
a
Credit
Facility,
entering
into
reverse
repurchase
agreements,
and
purchase
of
Mortgage
Dollar
Rolls.
The
use
of
financial
leverage
creates
an
opportunity
for
increased
income
but,
at
the
same
time,
creates
special
risks
(including
the
likelihood
of
greater
volatility
of
net
asset
value
and
market
price
of
common
shares).
The
cost
of
leverage
rises
and
falls
with
changes
in
short-term
interest
rates.
Such
increases/decreases
in
the
cost
of
the
Fund’s
leverage
may
be
offset
by
increased/decreased
income
from
the
Fund’s
floating
rate
investments.
2.
The
Fund
has
a
fee
waiver
associated
with
any
investment
it
makes
in
a
Franklin
Templeton
money
fund
and/or
other
Franklin
Templeton
fund,
contractually
guaranteed
through
2/28/22.
Fund
investment
results
reflect
the
fee
waiver;
without
this
waiver,
the
results
would
have
been
lower.
3.
Total
return
calculations
represent
the
cumulative
and
average
annual
changes
in
value
of
an
investment
over
the
periods
indicated.
Return
for
less
than
one
year,
if
any,
has
not
been
annualized.
4.
Assumes
reinvestment
of
distributions
based
on
net
asset
value.
5.
Assumes
reinvestment
of
distributions
based
on
the
dividend
reinvestment
and
cash
purchase
plan.
Distributions
(1/1/21–6/30/21)
Net
Investment
Income
$0.4712
Franklin
Limited
Duration
Income
Trust
Financial
Highlights
franklintempleton.com
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Semiannual
Report
7
a
Six
Months
Ended
June
30,
2021
(unaudited)
Year
Ended
December
31,
2017
a
Year
Ended
March
31,
2017
2020
2019
2018
Per
common
share
operating
performance
(for
a
common
share
outstanding
throughout
the
period)
Net
asset
value,
beginning
of
period
.....
$9.43
$10.00
$10.11
$12.32
$12.91
$12.38
Income
from
investment
operations:
Net
investment
income
b
.............
0.26
0.51
0.53
0.57
0.48
0.62
Net
realized
and
unrealized
gains
(losses)
0.09
(0.15)
0.39
(0.79)
(0.03)
0.85
Dividends
to
preferred
shareholders
from
net
investment
income
..............
(0.06)
(0.08)
(0.07)
Total
from
investment
operations
........
0.35
0.36
0.92
(0.28)
0.37
1.40
Less
distributions
to
common
shareholders
from:
Net
investment
income
..............
(0.47)
(0.55)
(0.58)
(0.49)
(0.43)
(0.57)
Tax
return
of
capital
................
(0.38)
(0.45)
(0.68)
(0.53)
(0.36)
Total
distributions
...................
(0.47)
(0.93)
(1.03)
(1.17)
(0.96)
(0.93)
Repurchase
of
shares
..............
0.06
Dilution
effect
of
rights
offering
........
(0.76)
c
Net
asset
value,
end
of
period
..........
$9.31
$9.43
$10.00
$10.11
$12.32
$12.91
Market
value,
end
of
period
d
...........
$9.21
$9.42
$9.59
$9.02
$11.83
$11.97
Total
return
(based
on
market
value
per
share)
e
...........................
2.83%
9.43%
18.34%
(14.86)%
7.08%
14.07%
Ratios
to
average
net
assets
applicable
to
common
shares
f,g
Expenses
before
waiver
and
payments
by
affiliates
..........................
1.69%
1.86%
2.16%
1.73%
1.25%
1.35%
Expenses
net
of
waiver
and
payments
by
affiliates
h
..........................
1.68%
1.85%
2.15%
1.71%
1.23%
1.32%
Net
investment
income
...............
5.54%
5.51%
5.15%
4.97%
5.04%
4.83%
Supplemental
data
Net
assets
applicable
to
common
shares,
end
of
period
(000’s)
.................
$280,632
$284,199
$301,452
$304,804
$278,489
$291,875
Portfolio
turnover
rate
................
53.73%
106.46%
113.49%
198.44%
168.28%
265.00%
Portfolio
turnover
rate
excluding
mortgage
dollar
rolls
i
........................
25.05%
60.46%
57.50%
63.84%
46.49%
93.00%
Total
credit
facility
and
reverse
repurchase
agreements
outstanding
at
end
of
period
(000’s)
...........................
$119,398
$111,505
$107,117
$90,000
j
$—
$—
Asset
coverage
per
preferred
share
......
$—
$—
$—
$—
k
$72,311
$74,809
Liquidation
preference
per
preferred
share
$—
$—
$—
$—
k
$25,000
$25,000
Asset
coverage
per
$1,000
of
debt
......
$3,350
$3,549
$3,814
$4,387
j
$—
$—
a
For
the
period
April
1,
2017
to
December
31,
2017.
b
Based
on
average
daily
shares
outstanding.
c
Represents
the
impact
of
Fund’s
rights
offering
of
7,534,709
common
shares
in
October
2018
as
a
subscription
price
per
share
based
on
a
formula.
d
Based
on
the
last
sale
on
the
NYSE
American.
e
Total
return
is
not
annualized
for
periods
less
than
one
year.
f
Ratios
are
annualized
for
periods
less
than
one
year.
g
Based
on
income
and
expenses
applicable
to
both
common
and
preferred
shares.
h
Benefit
of
expense
reduction
rounds
to
less
than
0.01%.
i
See
Note
1(d)
regarding
mortgage
dollar
rolls.
j
Effective
August
15,
2018,
the
Fund
began
participating
in
a
credit
facility.
k
Effective
August
15,
2018,
the
Fund's
preferred
shares
were
liquidated.
Franklin
Limited
Duration
Income
Trust
Statement
of
Investments
(unaudited),
June
30,
2021
franklintempleton.com
Semiannual
Report
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
8
a
a
Country
Shares
a
Value
a
a
a
a
a
a
Common
Stocks
0.3%
Energy
Equipment
&
Services
0.0%
a
Weatherford
International
plc
.............................
United
States
6,610
$
120,302
Hotels,
Restaurants
&
Leisure
0.0%
24
Hour
Fitness
Worldwide,
Inc.
..........................
United
States
24,950
58,221
Machinery
0.1%
a
Birch
Permian
Holdings,
Inc.
.............................
United
States
2,309
34,635
a
Birch
Permian
Holdings,
Inc.
.............................
United
States
17,998
267,720
302,355
Metals
&
Mining
0.1%
a
Petra
Diamonds
Ltd.
...................................
South
Africa
16,570,078
336,969
Oil,
Gas
&
Consumable
Fuels
0.0%
a
Amplify
Energy
Corp.
..................................
United
States
281
1,138
a
California
Resources
Corp.
..............................
United
States
42
1,266
a,b,c
Nine
Point
Energy
LLC
.................................
United
States
2,334,763
a,b
Riviera
Resources,
Inc.
.................................
United
States
6,305
1,628
4,032
Road
&
Rail
0.0%
a,b
Onsite
Rental
Group
Operations
Pty.
Ltd.
...................
Australia
522,133
Specialty
Retail
0.1%
a
Party
City
Holdco,
Inc.
..................................
United
States
17,163
160,130
Total
Common
Stocks
(Cost
$2,412,579)
.......................................
982,009
Preferred
Stocks
0.1%
Hotels,
Restaurants
&
Leisure
0.1%
a
24
Hour
Fitness
Worldwide,
Inc.
..........................
United
States
59,089
177,267
a
Total
Preferred
Stocks
(Cost
$79,741)
..........................................
177,267
Warrants
Warrants
0.0%
Oil,
Gas
&
Consumable
Fuels
0.0%
a,b
Battalion
Oil
Corp.,
A,
10/08/22
...........................
United
States
752
213
a,b
Battalion
Oil
Corp.,
B,
10/08/22
...........................
United
States
940
150
a,b
Battalion
Oil
Corp.,
C,
10/08/22
...........................
United
States
1,209
89
a
California
Resources
Corp.,
10/27/24
......................
United
States
96
737
1,189
Paper
&
Forest
Products
0.0%
a
Verso
Corp.,
7/25/23
...................................
United
States
438
1,196
Total
Warrants
(Cost
$—)
.....................................................
2,385
Principal
Amount
*
Convertible
Bonds
0.0%
Wireless
Telecommunication
Services
0.0%
d,e,f
Digicel
Group
Holdings
Ltd.
,
Sub.
Bond
,
144A,
PIK,
7
%
,
Perpetual
Bermuda
32,589
24,765
Total
Convertible
Bonds
(Cost
$6,928)
.........................................
24,765
Franklin
Limited
Duration
Income
Trust
Statement
of
Investments
(unaudited)
franklintempleton.com
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Semiannual
Report
9
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
Corporate
Bonds
66.2%
Aerospace
&
Defense
0.5%
f,g
TransDigm,
Inc.
,
Senior
Secured
Note
,
144A,
6.25
%
,
3/15/26
....
United
States
1,400,000
$
1,478,750
Air
Freight
&
Logistics
0.1%
f,g
DAE
Funding
LLC
,
Senior
Note
,
144A,
4.5
%
,
8/01/22
..........
United
Arab
Emirates
400,000
401,794
Airlines
1.2%
f,g
American
Airlines
Inc/AAdvantage
Loyalty
IP
Ltd.
,
Senior
Secured
Note
,
144A,
5.5
%
,
4/20/26
.............................
United
States
1,000,000
1,060,000
f
Delta
Air
Lines,
Inc.
/
SkyMiles
IP
Ltd.
,
Senior
Secured
Note
,
144A,
4.75
%
,
10/20/28
.....................................
United
States
500,000
556,283
f
Mileage
Plus
Holdings
LLC
/
Mileage
Plus
Intellectual
Property
Assets
Ltd.
,
Senior
Secured
Note
,
144A,
6.5
%
,
6/20/27
.......
United
States
1,200,000
1,322,700
f
United
Airlines,
Inc.
,
Senior
Secured
Note,
144A,
4.375%,
4/15/26
..............
United
States
100,000
103,643
Senior
Secured
Note,
144A,
4.625%,
4/15/29
..............
United
States
300,000
310,875
3,353,501
Auto
Components
1.4%
f
Adient
US
LLC
,
Senior
Secured
Note
,
144A,
9
%
,
4/15/25
.......
United
States
300,000
331,194
h
Dana,
Inc.
,
Senior
Note
,
5.625
%
,
6/15/28
...................
United
States
1,400,000
1,517,880
Goodyear
Tire
&
Rubber
Co.
(The)
,
Senior
Note
,
9.5
%
,
5/31/25
...
United
States
1,000,000
1,119,000
f
Real
Hero
Merger
Sub
2,
Inc.
,
Senior
Note
,
144A,
6.25
%
,
2/01/29
.
United
States
1,000,000
1,038,600
4,006,674
Banks
0.6%
e,g
JPMorgan
Chase
&
Co.
,
R
,
Junior
Sub.
Bond
,
6%
to
8/01/23,
FRN
thereafter
,
Perpetual
.................................
United
States
1,500,000
1,595,625
Beverages
0.3%
f
Primo
Water
Holdings,
Inc.
,
Senior
Note
,
144A,
4.375
%
,
4/30/29
..
Canada
700,000
700,875
Biotechnology
0.7%
f,g
Emergent
BioSolutions,
Inc.
,
Senior
Note
,
144A,
3.875
%
,
8/15/28
.
United
States
900,000
882,909
f
Horizon
Therapeutics
USA,
Inc.
,
Senior
Note
,
144A,
5.5
%
,
8/01/27
United
States
1,100,000
1,169,575
2,052,484
Building
Products
1.4%
f
Cornerstone
Building
Brands,
Inc.
,
Senior
Note
,
144A,
6.125
%
,
1/15/29
...........................................
United
States
1,000,000
1,074,540
f,g
JELD-WEN,
Inc.
,
Senior
Note
,
144A,
4.625
%
,
12/15/25
.........
United
States
1,600,000
1,634,008
f
Standard
Industries,
Inc.
,
Senior
Note
,
144A,
5
%
,
2/15/27
.......
United
States
300,000
311,062
f,g
Summit
Materials
LLC
/
Summit
Materials
Finance
Corp.
,
Senior
Note
,
144A,
5.25
%
,
1/15/29
............................
United
States
800,000
851,072
3,870,682
Chemicals
2.0%
Anagram,
Inc.
,
Secured
Note
,
10
%
,
8/15/26
.................
United
States
132,919
128,562
f
CVR
Partners
LP
/
CVR
Nitrogen
Finance
Corp.
,
Senior
Secured
Note
,
144A,
6.125
%
,
6/15/28
...........................
United
States
300,000
307,875
f,g
Element
Solutions,
Inc.
,
Senior
Note
,
144A,
3.875
%
,
9/01/28
.....
United
States
700,000
715,235
f,h
GPD
Cos.,
Inc.
,
Senior
Secured
Note
,
144A,
10.125
%
,
4/01/26
...
United
States
1,500,000
1,640,423
f
Illuminate
Buyer
LLC
/
Illuminate
Holdings
IV,
Inc.
,
Senior
Note
,
144A,
9
%
,
7/01/28
...................................
United
States
1,000,000
1,117,020
f
Ingevity
Corp.
,
Senior
Note
,
144A,
3.875
%
,
11/01/28
...........
United
States
400,000
397,516
f
Rain
CII
Carbon
LLC
/
CII
Carbon
Corp.
,
Secured
Note
,
144A,
7.25
%
,
4/01/25
.....................................
United
States
600,000
621,528
Franklin
Limited
Duration
Income
Trust
Statement
of
Investments
(unaudited)
franklintempleton.com
Semiannual
Report
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
10
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
Corporate
Bonds
(continued)
Chemicals
(continued)
f
SCIH
Salt
Holdings,
Inc.
,
Senior
Note,
144A,
6.625%,
5/01/29
.....................
United
States
500,000
$
501,875
Senior
Secured
Note,
144A,
4.875%,
5/01/28
..............
United
States
300,000
300,732
5,730,766
Commercial
Services
&
Supplies
1.4%
f
Allied
Universal
Holdco
LLC
/
Allied
Universal
Finance
Corp.
,
Senior
Note
,
144A,
6
%
,
6/01/29
..............................
United
States
200,000
203,022
f
Allied
Universal
Holdco
LLC
/
Allied
Universal
Finance
Corp.
/
Atlas
LuxCo
4
SARL
,
Senior
Secured
Note
,
144A,
4.625
%
,
6/01/28
..
United
States
500,000
501,622
f,g
GFL
Environmental,
Inc.
,
Senior
Secured
Note
,
144A,
5.125
%
,
12/15/26
..........................................
Canada
1,200,000
1,273,176
f,g
Harsco
Corp.
,
Senior
Note
,
144A,
5.75
%
,
7/31/27
.............
United
States
1,400,000
1,470,644
f,g
Prime
Security
Services
Borrower
LLC
/
Prime
Finance,
Inc.
,
Senior
Secured
Note
,
144A,
3.375
%
,
8/31/27
....................
United
States
600,000
582,750
4,031,214
Construction
&
Engineering
1.6%
f
Arcosa,
Inc.
,
Senior
Note
,
144A,
4.375
%
,
4/15/29
.............
United
States
300,000
305,850
f
Great
Lakes
Dredge
&
Dock
Corp.
,
Senior
Note
,
144A,
5.25
%
,
6/01/29
...........................................
United
States
500,000
516,450
f,g
New
Enterprise
Stone
&
Lime
Co.,
Inc.
,
Senior
Secured
Note
,
144A,
6.25
%
,
3/15/26
.....................................
United
States
1,500,000
1,545,397
f
VM
Consolidated,
Inc.
,
Senior
Note
,
144A,
5.5
%
,
4/15/29
.......
United
States
800,000
816,848
f
Weekley
Homes
LLC
/
Weekley
Finance
Corp.
,
Senior
Note
,
144A,
4.875
%
,
9/15/28
.....................................
United
States
1,300,000
1,349,998
4,534,543
Consumer
Finance
1.0%
f
FirstCash,
Inc.
,
Senior
Note
,
144A,
4.625
%
,
9/01/28
...........
United
States
400,000
418,742
g
Navient
Corp.
,
Senior
Note
,
6.5%,
6/15/22
............................
United
States
200,000
208,790
Senior
Note,
7.25%,
9/25/23
...........................
United
States
400,000
442,602
OneMain
Finance
Corp.
,
g
Senior
Bond,
5.375%,
11/15/29
.........................
United
States
500,000
544,870
Senior
Note,
8.875%,
6/01/25
..........................
United
States
500,000
555,830
g
Senior
Note,
6.625%,
1/15/28
..........................
United
States
600,000
689,898
2,860,732
Containers
&
Packaging
4.2%
f,g
Ardagh
Metal
Packaging
Finance
USA
LLC
/
Ardagh
Metal
Packaging
Finance
plc
,
Senior
Note
,
144A,
4
%
,
9/01/29
.......
United
States
1,500,000
1,490,625
f
Ardagh
Packaging
Finance
plc
/
Ardagh
Holdings
USA,
Inc.
,
Senior
Note,
144A,
5.25%,
8/15/27
......................
United
States
600,000
612,798
Senior
Secured
Note,
144A,
5.25%,
4/30/25
...............
United
States
600,000
631,500
g
Crown
Americas
LLC
/
Crown
Americas
Capital
Corp.
VI
,
Senior
Note
,
4.75
%
,
2/01/26
.................................
United
States
500,000
519,503
f
Mauser
Packaging
Solutions
Holding
Co.
,
g
Senior
Note,
144A,
7.25%,
4/15/25
......................
United
States
1,500,000
1,473,000
h
Senior
Secured
Note,
144A,
8.5%,
4/15/24
................
United
States
1,200,000
1,247,862
f
Owens-Brockway
Glass
Container,
Inc.
,
g
Senior
Note,
144A,
5.875%,
8/15/23
.....................
United
States
400,000
431,848
Senior
Note
,
144A,
6.625%,
5/13/27
.....................
United
States
500,000
544,750
f,g
Plastipak
Holdings,
Inc.
,
Senior
Note
,
144A,
6.25
%
,
10/15/25
....
United
States
1,500,000
1,538,887
Franklin
Limited
Duration
Income
Trust
Statement
of
Investments
(unaudited)
franklintempleton.com
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Semiannual
Report
11
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
Corporate
Bonds
(continued)
Containers
&
Packaging
(continued)
f,h
Reynolds
Group
Issuer,
Inc.
/
Reynolds
Group
Issuer
LLC
/
Reynolds
Group
Issuer
Luxembourg
SA
,
Senior
Secured
Note
,
144A,
4
%
,
10/15/27
..........................................
United
States
1,200,000
$
1,193,186
f,g
Sealed
Air
Corp.
,
Senior
Bond,
144A,
5.5%,
9/15/25
.......................
United
States
600,000
673,146
Senior
Note,
144A,
5.125%,
12/01/24
....................
United
States
500,000
545,925
f,g
Trivium
Packaging
Finance
BV
,
Senior
Note
,
144A,
8.5
%
,
8/15/27
.
Netherlands
800,000
871,808
11,774,838
Diversified
Financial
Services
0.5%
f,h
MPH
Acquisition
Holdings
LLC
,
Senior
Note
,
144A,
5.75
%
,
11/01/28
United
States
1,500,000
1,509,353
Diversified
Telecommunication
Services
1.3%
f
Altice
France
Holding
SA
,
Senior
Note,
144A,
6%,
2/15/28
........................
Luxembourg
300,000
299,154
g
Senior
Secured
Note,
144A,
10.5%,
5/15/27
...............
Luxembourg
1,700,000
1,891,276
f,g
DKT
Finance
ApS
,
Senior
Secured
Note
,
144A,
9.375
%
,
6/17/23
..
Denmark
1,500,000
1,535,625
3,726,055
Electric
Utilities
1.0%
f,i
Leeward
Renewable
Energy
Operations
LLC
,
Senior
Note
,
144A,
4.25
%
,
7/01/29
.....................................
United
States
1,000,000
1,015,000
f
Vistra
Operations
Co.
LLC
,
g
Senior
Note,
144A,
5.625%,
2/15/27
.....................
United
States
1,300,000
1,350,375
Senior
Note,
144A,
4.375%,
5/01/29
.....................
United
States
400,000
402,500
2,767,875
Electrical
Equipment
0.4%
f,g
Sensata
Technologies
BV
,
Senior
Note
,
144A,
4
%
,
4/15/29
......
United
States
1,000,000
1,016,333
Electronic
Equipment,
Instruments
&
Components
0.5%
CDW
LLC
/
CDW
Finance
Corp.
,
Senior
Note
,
4.125
%
,
5/01/25
...
United
States
900,000
941,760
f
TTM
Technologies,
Inc.
,
Senior
Note
,
144A,
4
%
,
3/01/29