printmgr file - Templeton

Franklin Strategic Income Fund
STATEMENT OF INVESTMENTS As at December 31, 2012 (Continued)
SCHEDULE OF DERIVATIVE INSTRUMENTS (As at December 31, 2012) (Continued)
FORWARD FOREIGN EXCHANGE CONTRACTS (Continued)
Credit
Rating Settlement Date
Currency
to be Delivered
Par Value
In Canadian Dollars
Currency
to be Received
Par Value
In Canadian Dollars
Contract
Price
Unrealized
Gain (Loss)
Counterparty
(000s) (000s) (000s) (000s) (000s)
UBS AG ............................. A October 7, 2013 1,070 EUR $1,416 1,386 USD $1,386 1.2951 $ (30)
UBS AG ............................. A November 20, 2013 592 EUR 785 758 USD 759 1.2801 (26)
UBS AG ............................. A December 9, 2013 1,325 EUR 1,758 1,739 USD 1,743 1.3128 (15)
Total Number of Contracts ...........119 $ (2,882)
Net Unrealized Loss .................. $(1,267)
CREDIT DEFAULT SWAP CONTRACT
As at December 31, 2012, the Fund has the following credit default swap contract outstanding. The Fund has entered the contract to sell
protection to create a long position. Cash in the amount of $857,000 is held as collateral by the counterparty at the period end and is shown as
Held in Trust on the Statement of Net Assets.
Description Counterparty
Credit
Rating
Expiration
Date
Payment
Rate
Notional
Amount
Upfront
Premiums
Paid/
(Received)
Market
Value
Unrealized
Appreciation/
(Depreciation)
(000s) (000s) (000s) (000s)
Contract to Sell Protection
Traded Index
MCDX.NA.19 ................................................... Deutsche Bank AG A+ 12/20/2017 1.00% $8,000 $(202) $(202) $—
Total Unrealized Appreciation/(Depreciation) ......................... $—
Bond Ratings*
2012 2011
%of
Net Assets
%of
Net Assets
AAA ................................ 9.10 10.15
AA ................................. 9.00 7.95
A .................................. 11.77 15.80
BBB ............................... 9.56 8.00
BB ................................. 21.51 22.29
B .................................. 22.07 21.71
CCC ................................ 6.69 6.84
CC ................................. 0.06 0.10
C .................................. — 0.07
D .................................. 0.02 0.15
Not Rated ........................... — 0.39
* Excluding cash and overnight term deposits.
Source: Standard & Poor’s, and/or composite of Moody’s, Standard & Poor’s
and Fitch ratings.
The accompanying notes are an integral part of these financial statements.
Franklin Templeton Investments Funds 97