UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number |
811-8985 |
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LMP Corporate Loan Fund Inc. |
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(Exact name of registrant as specified in charter) |
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55 Water Street, New York, NY |
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10041 |
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(Address of principal executive offices) |
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(Zip code) |
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Robert I. Frenkel, Esq. Legg Mason & Co., LLC 100 First Stamford Place Stamford, CT 06902 |
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(Name and address of agent for service) |
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Registrants telephone number, including area code: |
(888) 777-0102 |
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Date of fiscal year end: |
September 30, |
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Date of reporting period: |
June 30, 2010 |
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ITEM 1. SCHEDULE OF INVESTMENTS
LMP CORPORATE LOAN FUND INC.
JUNE 30, 2010
Schedule of investments (unaudited)
June 30, 2010
LMP CORPORATE LOAN FUND INC.
SECURITY |
|
RATE |
|
MATURITY |
|
FACE |
|
VALUE |
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||
COLLATERALIZED SENIOR LOANS (a) 92.2% |
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|
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|
|
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Aerospace/Defense 2.3% |
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|
|
|
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Be Aerospace Inc., Term Loan B |
|
5.750% |
|
7/28/14 |
|
$ |
598,090 |
|
$ |
600,973 |
|
McKechnie Aerospace Holdngs Inc., Term Loan B |
|
2.350% |
|
5/11/14 |
|
1,274,608 |
|
1,177,420 |
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Transdigm Inc., Term Loan B |
|
2.538% |
|
6/23/13 |
|
1,536,757 |
|
1,491,135 |
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Triumph Group Inc., Term Loan B |
|
3.500% |
|
6/16/16 |
|
857,755 |
|
858,827 |
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Total Aerospace/Defense |
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|
|
|
|
|
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4,128,355 |
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Automotive 1.7% |
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|
|
|
|
|
|
|
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Dayco Products LLC, Term Loan B2 |
|
10.500% |
|
5/13/14 |
|
105,109 |
|
105,175 |
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Dayco Products LLC, Term Loan B4 |
|
12.500% |
|
11/13/14 |
|
16,038 |
|
12,991 |
(b) |
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Kar Holdings, Term Loan B |
|
3.100% |
|
10/18/13 |
|
1,443,299 |
|
1,370,533 |
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Keystone Automotive Industries Inc., Term Loan B |
|
3.804% - 6.750% |
|
1/12/12 |
|
511,246 |
|
423,056 |
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Tire Rack Inc., Term Loan B |
|
2.100% |
|
6/24/12 |
|
1,181,996 |
|
1,153,923 |
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Total Automotive |
|
|
|
|
|
|
|
3,065,678 |
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Broadcast Radio and Television 3.6% |
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|
|
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|
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Live Nation Entertainment Inc., Term Loan B |
|
4.500% |
|
11/7/16 |
|
1,390,476 |
|
1,381,206 |
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National Cinemedia Inc., Term Loan B |
|
2.290% |
|
2/13/15 |
|
2,785,659 |
|
2,633,609 |
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||
Univision Communications Inc., Term Loan B |
|
2.597% |
|
9/29/14 |
|
1,242,114 |
|
1,045,619 |
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||
Weather Channel, Replacement Term Loan |
|
5.000% |
|
9/14/15 |
|
1,431,801 |
|
1,429,117 |
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||
Total Broadcast Radio and Television |
|
|
|
|
|
|
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6,489,551 |
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Building and Development 5.5% |
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|
|
|
|
|
|
|
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Beacon Sales Acquisition Inc., Term Loan B |
|
2.292% - 2.351% |
|
9/30/13 |
|
1,130,378 |
|
1,083,278 |
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Building Materials Holding Corp, First Lien Term Loan |
|
3.125% |
|
2/24/14 |
|
2,034,131 |
|
1,962,428 |
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||
Capital Automotive REIT, Term Loan |
|
2.110% |
|
12/16/10 |
|
886,678 |
|
866,174 |
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Contech Construction Products Inc., Term Loan |
|
2.350% |
|
1/31/13 |
|
945,224 |
|
737,275 |
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Custom Building Products Inc., Term Loan B |
|
5.750% |
|
3/19/15 |
|
541,802 |
|
540,786 |
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Infrastrux Group Inc., Term Loan B |
|
8.000% |
|
11/15/16 |
|
1,062,826 |
|
1,061,497 |
(b) |
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Panolam Industries International Inc., Extended First Lien Term Loan |
|
8.250% |
|
12/31/13 |
|
1,120,850 |
|
1,042,391 |
|
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Pike Electric Inc., Term Loan C |
|
2.125% |
|
12/10/12 |
|
874,184 |
|
826,104 |
|
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Pike Electric Inc., Term Loan B |
|
2.125% |
|
7/2/12 |
|
739,153 |
|
698,500 |
|
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South Edge LLC, Term Loan C |
|
0.000% |
|
10/31/09 |
|
2,500,000 |
|
1,062,500 |
(c) |
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Total Building and Development |
|
|
|
|
|
|
|
9,880,933 |
|
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Business Equipment and Services 9.6% |
|
|
|
|
|
|
|
|
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Affinion Group Inc., Term Loan B |
|
5.000% |
|
10/10/16 |
|
1,950,592 |
|
1,857,331 |
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Asurion Corp., First Lien Term Loan |
|
3.350% - 3.421% |
|
7/3/14 |
|
1,200,747 |
|
1,139,853 |
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Asurion Corp., Second Lien Term Loan |
|
6.850% |
|
7/3/15 |
|
1,500,000 |
|
1,463,437 |
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Belfor U.S.A., Term Loan B |
|
5.750% - 6.000% |
|
12/4/13 |
|
2,260,758 |
|
2,226,847 |
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Booz Allen Hamilton Inc., Tranche C Term Loan |
|
6.000% |
|
7/31/15 |
|
963,160 |
|
963,280 |
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||
Bright Horizons Family Solutions, Term Loan B |
|
7.500% |
|
5/28/15 |
|
1,503,103 |
|
1,504,982 |
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Deluxe Entertainment Service Group Inc., Canadian Term Loan |
|
6.250% |
|
5/11/13 |
|
123,849 |
|
111,773 |
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||
Deluxe Entertainment Service Group Inc., Tranche B Term Loan |
|
6.250% |
|
5/11/13 |
|
1,142,405 |
|
1,031,021 |
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Deluxe Entertainment Service Group Inc., Letter of Credit |
|
6.250% |
|
5/11/13 |
|
74,486 |
|
67,223 |
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Deluxe Entertainment Service Group Inc., Second Lien Term Loan |
|
11.000% |
|
11/11/13 |
|
100,000 |
|
86,500 |
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First Data Corp., Term Loan B1 |
|
3.097% |
|
9/24/14 |
|
997,436 |
|
841,309 |
|
||
InfoGroup Inc., New Term Loan B |
|
6.250% |
|
7/1/16 |
|
856,874 |
|
840,808 |
|
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Intralinks Inc., Term Loan |
|
3.097% |
|
6/15/14 |
|
789,571 |
|
746,144 |
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||
Lender Processing Services Inc., Term Loan B |
|
2.847% |
|
7/2/14 |
|
448,000 |
|
447,067 |
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Metavante Corp., Term Loan B |
|
3.594% |
|
11/1/14 |
|
213,916 |
|
212,668 |
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See Notes to Schedule of Investments.
Schedule of investments (unaudited) (contd)
June 30, 2010
LMP CORPORATE LOAN FUND INC.
SECURITY |
|
RATE |
|
MATURITY |
|
FACE |
|
VALUE |
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||
Business Equipment and Services continued |
|
|
|
|
|
|
|
|
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N.E.W Holdings I LLC, Secured Term Loan |
|
6.000% |
|
3/5/16 |
|
$ |
1,613,393 |
|
$ |
1,585,965 |
|
NCO Group, Term Loan |
|
7.500% |
|
5/15/13 |
|
687,694 |
|
673,940 |
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US Investigations Services LLC, Term Loan |
|
3.539% |
|
2/21/15 |
|
1,086,599 |
|
961,641 |
|
||
Verifone Inc., Term Loan |
|
3.100% |
|
10/31/13 |
|
359,581 |
|
350,591 |
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||
Total Business Equipment and Services |
|
|
|
|
|
|
|
17,112,380 |
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Cable and Satellite Television 2.0% |
|
|
|
|
|
|
|
|
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Bragg Communications Inc., Term Loan B Tranche Two |
|
3.035% |
|
8/31/14 |
|
1,957,195 |
|
1,932,730 |
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Insight Midwest Holdings, LLC, Term Loan B |
|
2.040% - 2.100% |
|
4/7/14 |
|
1,700,000 |
|
1,600,975 |
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||
Total Cable and Satellite Television |
|
|
|
|
|
|
|
3,533,705 |
|
||
Chemicals/Plastics 6.2% |
|
|
|
|
|
|
|
|
|
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Hexion Specialty Chemicals Inc., Term Loan C5 |
|
2.813% |
|
5/6/13 |
|
778,420 |
|
692,794 |
|
||
Hexion Specialty Chemicals Inc., Extended Term Loan C4 |
|
4.125% |
|
5/5/15 |
|
808,162 |
|
735,427 |
|
||
Huish Detergents Inc., Second Lien Term Loan |
|
4.610% |
|
10/26/14 |
|
1,675,000 |
|
1,627,542 |
|
||
Kik Custom Products Inc., Second Lien Term Loan |
|
5.316% |
|
11/30/14 |
|
1,583,334 |
|
944,723 |
|
||
Kik Custom Products Inc., First Lien Term Loan |
|
2.570% |
|
6/2/14 |
|
542,812 |
|
452,570 |
|
||
Kik Custom Products Inc., Canadian Term Loan |
|
2.570% |
|
6/2/14 |
|
93,053 |
|
77,583 |
|
||
Nalco Co., Term Loan |
|
6.500% |
|
5/13/16 |
|
891,000 |
|
892,763 |
|
||
Polypore Inc., Term Loan B |
|
2.350% |
|
7/3/14 |
|
1,077,109 |
|
1,034,024 |
|
||
Rockwood Specialties Group Inc., Tranche H |
|
6.000% |
|
5/15/14 |
|
1,118,540 |
|
1,120,078 |
|
||
Styron S.A.R.L LLC, Term Loan B |
|
7.500% |
|
6/17/16 |
|
856,158 |
|
855,445 |
|
||
Texas Petrochemicals Corp., Term Loan B |
|
2.875% - 4.750% |
|
6/27/13 |
|
1,099,918 |
|
1,036,673 |
|
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Texas Petrochemicals Corp., Letter of Credit |
|
2.875% - 4.750% |
|
6/27/13 |
|
371,257 |
|
349,910 |
|
||
Unifrax Corp., Term Loan B |
|
2.625% |
|
5/2/13 |
|
1,419,336 |
|
1,277,402 |
|
||
Total Chemicals/Plastics |
|
|
|
|
|
|
|
11,096,934 |
|
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Clothing/Textiles 0.5% |
|
|
|
|
|
|
|
|
|
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Hanesbrands Inc., New Term Loan |
|
5.250% |
|
12/10/15 |
|
883,436 |
|
888,405 |
|
||
Conglomerates 0.8% |
|
|
|
|
|
|
|
|
|
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TriMas Corp., Tranche B Extended Term Loan |
|
6.000% |
|
12/15/15 |
|
1,173,047 |
|
1,158,384 |
|
||
TriMas Corp., Tranche B1 LC Extended Term Loan |
|
6.000% |
|
8/2/11 |
|
281,250 |
|
277,734 |
|
||
Total Conglomerates |
|
|
|
|
|
|
|
1,436,118 |
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Containers and Glass Products 1.4% |
|
|
|
|
|
|
|
|
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Graphic Packaging International Inc., First Lein Term Loan |
|
2.291% - 2.321% |
|
5/16/14 |
|
2,013,488 |
|
1,910,611 |
|
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Reynolds Group Holdings Inc., Incremental Term Loan |
|
5.750% |
|
5/5/16 |
|
623,278 |
|
620,162 |
|
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Total Containers and Glass Products |
|
|
|
|
|
|
|
2,530,773 |
|
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Cosmetics/Personal Care 0.6% |
|
|
|
|
|
|
|
|
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Vi-Jon, Term Loan B |
|
2.348% - 2.354% |
|
4/24/14 |
|
1,052,118 |
|
1,010,033 |
|
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Drugs 1.4% |
|
|
|
|
|
|
|
|
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Catalent Pharma Solutions, Dollar Term Loan |
|
2.597% |
|
4/10/14 |
|
1,095,402 |
|
987,915 |
|
||
Royalty Pharma Finance Trust, Term Loan |
|
2.783% |
|
4/16/13 |
|
1,551,222 |
|
1,520,189 |
|
||
Total Drugs |
|
|
|
|
|
|
|
2,508,104 |
|
||
Electronics/Electric 7.0% |
|
|
|
|
|
|
|
|
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Dealer Computer Services, Term Loan B |
|
5.250% |
|
4/21/17 |
|
1,754,987 |
|
1,739,996 |
|
||
Intergraph Corp., Incremental Term Loan B1 |
|
4.788% |
|
5/29/14 |
|
2,250,106 |
|
2,218,465 |
|
||
Intergraph Corp. First Lien Term Loan |
|
6.000% |
|
5/29/14 |
|
399,189 |
|
400,354 |
|
||
MSCI Inc., New Term Loan |
|
4.750% |
|
6/1/16 |
|
993,257 |
|
994,084 |
|
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Sabre Inc., Term Loan B |
|
2.338% - 2.347% |
|
9/30/14 |
|
1,588,358 |
|
1,415,403 |
|
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Spansion LLC, Exit Term Loan B |
|
7.500% |
|
1/8/15 |
|
498,750 |
|
494,074 |
|
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See Notes to Schedule of Investments.
Schedule of investments (unaudited) (contd)
June 30, 2010
LMP CORPORATE LOAN FUND INC.
SECURITY |
|
RATE |
|
MATURITY |
|
FACE |
|
VALUE |
|
||
Electronics/Electric continued |
|
|
|
|
|
|
|
|
|
||
Springboard Finance LLC, Term Loan A |
|
7.000% |
|
2/2/15 |
|
$ |
468,170 |
|
$ |
463,488 |
|
Travelport, Term Loan C |
|
10.500% |
|
8/23/13 |
|
756,908 |
|
761,323 |
|
||
Travelport, Delayed Draw Term Loan |
|
2.790% |
|
8/23/13 |
|
1,688,861 |
|
1,585,155 |
|
||
Vertafore Inc., Term Loan B2 |
|
5.500% |
|
7/31/14 |
|
2,442,746 |
|
2,393,891 |
|
||
Total Electronics/Electric |
|
|
|
|
|
|
|
12,466,233 |
|
||
Equipment Leasing 0.5% |
|
|
|
|
|
|
|
|
|
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Rent-A-Center Inc., Extended Term Loan B |
|
3.540% |
|
3/31/15 |
|
806,415 |
|
798,351 |
|
||
Rent-A-Center Inc., Term Loan B |
|
2.120% - 2.230% |
|
6/30/12 |
|
45,955 |
|
45,495 |
|
||
Total Equipment Leasing |
|
|
|
|
|
|
|
843,846 |
|
||
Farming/Agriculture 0.2% |
|
|
|
|
|
|
|
|
|
||
CF Industries Inc., New Term Loan B |
|
4.500% |
|
4/6/15 |
|
283,129 |
|
283,862 |
|
||
Finance 0.5% |
|
|
|
|
|
|
|
|
|
||
CB Richard Ellis Services Inc., Tranche B |
|
6.000% |
|
12/20/13 |
|
875,022 |
|
873,923 |
|
||
Food Products 4.1% |
|
|
|
|
|
|
|
|
|
||
American Seafood Group LLC, Term Loan B |
|
5.500% |
|
5/7/15 |
|
935,151 |
|
933,684 |
|
||
Michael Foods Inc., Term Loan B |
|
6.250% |
|
6/29/16 |
|
1,949,966 |
|
1,955,145 |
|
||
NPC International, Term Loan B |
|
2.050% - 2.290% |
|
5/3/13 |
|
1,443,719 |
|
1,384,166 |
|
||
Pinnacle Foods Holdings Corp., Tranche B Term Loan |
|
2.851% |
|
4/2/14 |
|
1,333,001 |
|
1,252,306 |
|
||
Pinnacle Foods Holdings Corp., Term Loan C |
|
7.500% |
|
4/2/14 |
|
853,750 |
|
853,083 |
|
||
Wm. Bolthouse Farms Inc., New Second Lien Term Loan |
|
9.500% |
|
8/11/16 |
|
1,000,000 |
|
997,656 |
|
||
Total Food Products |
|
|
|
|
|
|
|
7,376,040 |
|
||
Food/Drug Retailers 1.8% |
|
|
|
|
|
|
|
|
|
||
General Nutrition Centers, Term Loan B |
|
2.550% - 2.790% |
|
9/16/13 |
|
1,408,010 |
|
1,325,877 |
|
||
Smart & Final, Term Loan B |
|
3.338% - 3.510% |
|
5/31/14 |
|
535,769 |
|
508,980 |
|
||
Smart & Final, Delayed Draw Term Loan |
|
3.347% - 3.510% |
|
5/31/14 |
|
379,255 |
|
360,292 |
|
||
Vicar Operating Inc., Term Loan |
|
1.875% |
|
5/16/11 |
|
1,004,912 |
|
998,631 |
|
||
Total Food/Drug Retailers |
|
|
|
|
|
|
|
3,193,780 |
|
||
Forest Products 0.6% |
|
|
|
|
|
|
|
|
|
||
Cenveo Corp., Delayed Draw Term Loan |
|
5.039% |
|
6/21/13 |
|
27,686 |
|
27,375 |
|
||
Cenveo Corp., Term Loan C |
|
5.039% |
|
6/21/13 |
|
969,738 |
|
958,828 |
|
||
Total Forest Products |
|
|
|
|
|
|
|
986,203 |
|
||
Healthcare 9.1% |
|
|
|
|
|
|
|
|
|
||
AMN Healthcare Inc., New Term Loan B |
|
6.250% |
|
12/18/13 |
|
1,303,162 |
|
1,290,130 |
|
||
Ardent Medical Services Inc., First Lien Term Loan |
|
6.500% |
|
9/9/15 |
|
1,164,483 |
|
1,134,279 |
|
||
Biomet Inc., Term Loan B |
|
3.347% - 3.538% |
|
3/25/15 |
|
1,860,385 |
|
1,792,132 |
|
||
Carestream Health Inc., Second Lien Term Loan |
|
5.597% |
|
10/30/13 |
|
2,300,000 |
|
2,132,291 |
|
||
Davita, Inc., Term Loan B-1 |
|
1.800% - 2.040% |
|
10/5/12 |
|
2,250,000 |
|
2,197,501 |
|
||
DJO Finance LLC, New Term Loan B |
|
3.347% |
|
5/20/14 |
|
1,505,377 |
|
1,438,388 |
|
||
Education Management LLC, Term Loan C |
|
2.313% |
|
6/3/13 |
|
1,676,861 |
|
1,550,835 |
|
||
Fresenius US Finance I Inc., Term Loan C1 |
|
4.500% |
|
9/10/14 |
|
1,238,842 |
|
1,241,939 |
|
||
Fresenius US Finance I Inc., Term Loan C2 |
|
4.500% |
|
9/10/14 |
|
743,961 |
|
745,821 |
|
||
Medassets Inc., Term Loan B |
|
4.193% - 4.283% |
|
10/23/13 |
|
1,787,611 |
|
1,742,921 |
|
||
Warner Chilcott PLC, Term Loan B1 |
|
5.750% |
|
4/30/15 |
|
177,621 |
|
177,420 |
|
||
Warner Chilcott PLC, Incremental Term Loan |
|
5.750% |
|
4/30/15 |
|
138,188 |
|
138,153 |
|
||
Warner Chilcott PLC, Term Loan A |
|
5.500% |
|
10/30/14 |
|
376,965 |
|
376,777 |
|
||
See Notes to Schedule of Investments.
Schedule of investments (unaudited) (contd)
June 30, 2010
LMP CORPORATE LOAN FUND INC.
SECURITY |
|
RATE |
|
MATURITY |
|
FACE |
|
VALUE |
|
||
Healthcare continued |
|
|
|
|
|
|
|
|
|
||
Warner Chillcot Co. LLC, Term Loan B |
|
5.750% |
|
4/30/15 |
|
$ |
295,772 |
|
$ |
295,436 |
|
Total Healthcare |
|
|
|
|
|
|
|
16,254,023 |
|
||
Home Furnishings 0.2% |
|
|
|
|
|
|
|
|
|
||
Sleep Innovations Inc., Second Lien Term Loan |
|
10.250% |
|
3/5/15 |
|
451,069 |
|
373,260 |
(b) |
||
Hotels/Motels/Inns and Casinos 1.9% |
|
|
|
|
|
|
|
|
|
||
Ameristar Casinos Inc., Initial Term Loan |
|
3.555% |
|
11/10/12 |
|
1,799,068 |
|
1,789,323 |
|
||
Penn National Gaming Inc., Term Loan B |
|
2.070% - 2.120% |
|
10/3/12 |
|
1,114,525 |
|
1,076,039 |
|
||
Seminole Tribe of Florida, Term Loan B3 |
|
2.063% |
|
3/5/14 |
|
207,871 |
|
194,013 |
|
||
Seminole Tribe of Florida, Term Loan B2 |
|
2.063% |
|
3/5/14 |
|
298,485 |
|
278,586 |
|
||
Seminole Tribe of Florida, Term Loan B1 |
|
2.063% |
|
3/5/14 |
|
82,797 |
|
77,277 |
|
||
Total Hotels/Motels/Inns and Casinos |
|
|
|
|
|
|
|
3,415,238 |
|
||
Industrial Equipment 2.5% |
|
|
|
|
|
|
|
|
|
||
Bucyrus International Inc., Term Loan |
|
4.500% |
|
2/19/16 |
|
1,603,083 |
|
1,602,415 |
|
||
Manitowoc Co. Inc., Term Loan B |
|
7.500% |
|
11/6/14 |
|
971,339 |
|
970,799 |
|
||
Oshkosh Truck Corp., Term Loan B |
|
6.540% |
|
12/6/13 |
|
517,719 |
|
518,896 |
|
||
Veyance Technologies Inc., Initial Term Loan |
|
2.850% |
|
7/31/14 |
|
1,492,873 |
|
1,258,492 |
|
||
Veyance Technologies Inc., Delayed Draw Term Loan |
|
2.850% |
|
7/31/14 |
|
213,816 |
|
180,246 |
|
||
Total Industrial Equipment |
|
|
|
|
|
|
|
4,530,848 |
|
||
Insurance 1.3% |
|
|
|
|
|
|
|
|
|
||
AGFS Funding Co., Term Loan B |
|
7.250% |
|
4/21/15 |
|
2,345,156 |
|
2,286,527 |
|
||
Leisure 5.2% |
|
|
|
|
|
|
|
|
|
||
AE Europe Holdings LLC, First Lien Term Loan |
|
3.100% |
|
12/1/12 |
|
441,008 |
|
432,188 |
|
||
AE Europe Holdings LLC, Second Lien Term Loan |
|
6.850% |
|
6/1/13 |
|
1,000,000 |
|
960,000 |
|
||
Amscan Holdings Inc., New Term Loan |
|
2.788% - 4.500% |
|
5/25/13 |
|
631,822 |
|
601,021 |
|
||
Lodgenet Entertainment Corp., Term Loan |
|
2.540% |
|
4/4/14 |
|
1,348,474 |
|
1,237,225 |
|
||
Regal Cinemas Inc., Term Loan |
|
3.790% |
|
11/21/16 |
|
2,108,807 |
|
2,067,685 |
|
||
Six Flags Theme Parks Inc., Second Lien Term Loan |
|
9.250% |
|
10/21/16 |
|
250,000 |
|
249,375 |
|
||
Six Flags Theme Parks Inc., Term Loan B |
|
6.000% |
|
6/30/16 |
|
1,961,349 |
|
1,947,857 |
|
||
Zuffa, Term Loan B |
|
2.438% |
|
6/22/15 |
|
1,514,966 |
|
1,434,483 |
|
||
Zuffa, Incremental Term Loan |
|
7.500% |
|
6/18/15 |
|
373,786 |
|
375,655 |
|
||
Total Leisure |
|
|
|
|
|
|
|
9,305,489 |
|
||
Nonferrous Metals/Materials 1.6% |
|
|
|
|
|
|
|
|
|
||
Compass Minerals Group Inc., Term Loan |
|
1.850% - 2.040% |
|
12/22/12 |
|
1,020,844 |
|
1,005,531 |
|
||
Novelis Inc., US Term Loan |
|
2.540% |
|
7/6/14 |
|
851,857 |
|
806,957 |
|
||
Novelis Inc., CA Term Loan |
|
2.350% |
|
7/6/14 |
|
387,185 |
|
366,777 |
|
||
Oxbow Carbon And Mineral Holdings LLC, Term Loan |
|
2.533% |
|
5/8/14 |
|
701,088 |
|
663,404 |
|
||
Total Nonferrous Metals/Materials |
|
|
|
|
|
|
|
2,842,669 |
|
||
Oil & Gas 4.0% |
|
|
|
|
|
|
|
|
|
||
Alon USA Energy Inc., Paramount Term Loan |
|
2.597% - 3.008% |
|
6/22/13 |
|
2,496,260 |
|
1,909,639 |
|
||
Alon USA Energy Inc., Edgington Term Loan |
|
2.597% |
|
6/22/13 |
|
312,033 |
|
238,705 |
|
||
CGGVeritas Services Inc., Term Loan B |
|
3.383% - 3.758% |
|
1/12/14 |
|
790,148 |
|
771,382 |
|
||
Dresser Inc., Term Loan |
|
2.695% |
|
5/4/14 |
|
1,208,376 |
|
1,113,720 |
|
||
Hercules Offshore Inc., Term Loan B |
|
6.000% |
|
7/11/13 |
|
843,617 |
|
739,044 |
|
||
Semcrude L.P., Second Lien Term Loan |
|
11.000% |
|
11/30/16 |
|
208,750 |
|
212,795 |
|
||
Targa Resources Inc., New Term Loan |
|
5.750% |
|
7/5/16 |
|
423,370 |
|
423,370 |
|
||
Western Refining Co. L.P., Term Loan B |
|
10.750% |
|
5/30/14 |
|
1,764,340 |
|
1,623,193 |
|
||
Total Oil & Gas |
|
|
|
|
|
|
|
7,031,848 |
|
||
See Notes to Schedule of Investments.
Schedule of investments (unaudited) (contd)
June 30, 2010
LMP CORPORATE LOAN FUND INC.
SECURITY |
|
RATE |
|
MATURITY |
|
FACE |
|
VALUE |
|
||
Publishing 4.4% |
|
|
|
|
|
|
|
|
|
||
Dex Media East LLC, New Term Loan |
|
2.840% - 3.040% |
|
10/24/14 |
|
$ |
1,555,596 |
|
$ |
1,279,478 |
|
Getty Images Inc., Initial Term Loan |
|
6.250% |
|
7/2/15 |
|
1,190,318 |
|
1,195,823 |
|
||
Lamar Media Corp., Term Loan B |
|
4.250% |
|
12/30/16 |
|
1,678,479 |
|
1,677,081 |
|
||
Quad/Graphics Inc., Term Loan B |
|
4.000% |
|
4/14/16 |
|
1,364,454 |
|
1,313,287 |
|
||
Valassis Communications Inc., Term Loan B |
|
2.790% |
|
3/2/14 |
|
599,129 |
|
578,459 |
|
||
Valassis Communications Inc., Delayed Draw Term Loan |
|
2.790% |
|
3/2/14 |
|
199,347 |
|
192,469 |
|
||
Wenner Media LLC, Term Loan |
|
2.097% |
|
10/2/13 |
|
1,279,470 |
|
1,177,113 |
|
||
World Color Press Inc., Exit Term loan |
|
9.000% |
|
7/10/12 |
|
497,292 |
|
501,643 |
|
||
Total Publishing |
|
|
|
|
|
|
|
7,915,353 |
|
||
Retailers 3.7% |
|
|
|
|
|
|
|
|
|
||
24 Hour Fitness Worldwide Inc., New Term Loan |
|
6.750% |
|
4/22/16 |
|
748,823 |
|
695,469 |
|
||
Bass Pro Group LLC, Term Loan |
|
5.000% - 5.750% |
|
4/9/15 |
|
646,165 |
|
644,541 |
|
||
CDW Corp., Term Loan |
|
4.350% |
|
10/10/14 |
|
529,662 |
|
464,779 |
|
||
J Crew Group, Term Loan B |
|
2.063% |
|
5/15/13 |
|
129,549 |
|
123,072 |
|
||
Michaels Stores Inc., Term Loan B |
|
2.688% - 2.813% |
|
10/31/13 |
|
1,479,156 |
|
1,376,770 |
|
||
Neiman Marcus Group Inc., Term Loan |
|
2.351% - 2.538% |
|
4/5/13 |
|
1,444,303 |
|
1,356,041 |
|
||
Petco Animal Supplies Inc., Term Loan B |
|
2.597% - 2.783% |
|
10/25/13 |
|
1,206,250 |
|
1,154,734 |
|
||
Pilot Travel Centers LLC, Term Loan B |
|
5.250% |
|
4/29/16 |
|
836,157 |
|
835,258 |
|
||
Total Retailers |
|
|
|
|
|
|
|
6,650,664 |
|
||
Steel 0.4% |
|
|
|
|
|
|
|
|
|
||
Tube City IMS Corp., Term Loan |
|
2.597% |
|
1/25/14 |
|
647,179 |
|
599,720 |
|
||
Tube City IMS Corp., Letter of Credit |
|
2.783% |
|
1/25/14 |
|
81,081 |
|
75,135 |
|
||
Total Steel |
|
|
|
|
|
|
|
674,855 |
|
||
Surface Transport 0.5% |
|
|
|
|
|
|
|
|
|
||
Coach America Holdings Inc., Synthetic Letter of Credit |
|
3.040% |
|
4/20/14 |
|
190,153 |
|
148,637 |
|
||
Coach America Holdings Inc., First Lien Term Loan |
|
3.090% |
|
4/18/14 |
|
894,520 |
|
699,216 |
|
||
Total Surface Transport |
|
|
|
|
|
|
|
847,853 |
|
||
Telecommunications/Cellular Communications 3.4% |
|
|
|
|
|
|
|
||||
Cincinnati Bell Inc., Term Loan |
|
6.500% |
|
6/9/17 |
|
1,052,249 |
|
1,023,970 |
|
||
Crown Castle Operating Co., Term Loan B |
|
1.847% |
|
3/6/14 |
|
469,017 |
|
447,764 |
|
||
Metropsc Wireless Inc., Term Loan B |
|
2.625% |
|
11/4/13 |
|
1,915,302 |
|
1,836,664 |
|
||
Ntelos Inc., Term Loan B |
|
5.750% |
|
8/7/15 |
|
2,663,295 |
|
2,664,627 |
|
||
Total Telecommunications/Cellular Communications |
|
|
|
|
|
5,973,025 |
|
||||
Utilities 3.7% |
|
|
|
|
|
|
|
|
|
||
Astoria Generating Co. Acquisitions, LLC, Term Loan B |
|
2.100% - 2.290% |
|
2/23/13 |
|
705,489 |
|
664,218 |
|
||
Calpine Corp., First Priority Term Loan |
|
3.415% |
|
3/29/14 |
|
1,820,969 |
|
1,670,486 |
|
||
Covanta Holding Corp., Term Loan B |
|
1.813% - 1.938% |
|
2/10/14 |
|
324,162 |
|
301,471 |
|
||
Covanta Holding Corp., Letter of Credit |
|
1.934% |
|
2/10/14 |
|
164,948 |
|
153,402 |
|
||
Firstlight Power Resources Inc., Term Loan B |
|
3.063% |
|
11/1/13 |
|
967,526 |
|
899,799 |
|
||
Firstlight Power Resources Inc., Letter of Credit |
|
3.063% |
|
11/1/13 |
|
16,365 |
|
15,220 |
|
||
Firstlight Power Resources Inc., Second Lien Term Loan |
|
5.063% |
|
5/1/14 |
|
250,000 |
|
224,687 |
|
||
Great Point Power, Delayed Draw Term Loan |
|
5.750% |
|
3/10/17 |
|
267,628 |
|
267,294 |
|
||
Mirant North America LLC, Term Loan B |
|
2.097% |
|
1/3/13 |
|
689,202 |
|
671,282 |
|
||
Reliant Energy Inc., Letter of Credit |
|
2.104% |
|
6/30/14 |
|
466,667 |
|
457,450 |
|
||
TPF Generation Holdings LLC, Letter of Credit |
|
0.190% |
|
12/13/13 |
|
154,214 |
|
142,340 |
|
||
TPF Generation Holdings LLC, Revolver |
|
2.290% |
|
12/15/11 |
|
48,343 |
|
44,621 |
|
||
See Notes to Schedule of Investments.
Schedule of investments (unaudited) (contd)
June 30, 2010
LMP CORPORATE LOAN FUND INC.
SECURITY |
|
RATE |
|
MATURITY |
|
FACE |
|
VALUE |
|
||
Utilities continued |
|
|
|
|
|
|
|
|
|
||
TPF Generation Holdings LLC, Term Loan B |
|
2.290% |
|
12/15/13 |
|
$ |
385,165 |
|
$ |
355,507 |
|
TPF Generation Holdings LLC, Second Lien Term Loan C |
|
4.783% |
|
12/15/14 |
|
830,000 |
|
744,510 |
|
||
Total Utilities |
|
|
|
|
|
|
|
6,612,287 |
|
||
TOTAL COLLATERALIZED SENIOR LOANS (Cost $169,781,836) |
|
|
|
164,418,795 |
|
||||||
UNCOLLATERALIZED SENIOR LOANS (a) 1.5% |
|
|
|
|
|
|
|
||||
Clothing/Textiles 0.7% |
|
|
|
|
|
|
|
|
|
||
Levi Strauss & Co., Term Loan |
|
2.597% |
|
3/27/14 |
|
1,398,319 |
|
1,282,958 |
|
||
Retailers 0.8% |
|
|
|
|
|
|
|
|
|
||
Toys R Us Delaware Inc., Term Loan B |
|
4.597% |
|
7/19/12 |
|
1,500,000 |
|
1,479,106 |
|
||
TOTAL UNCOLLATERALIZED SENIOR LOANS (Cost $2,416,769) |
|
|
|
2,762,064 |
|
||||||
CORPORATE BONDS & NOTES 4.0% |
|
|
|
|
|
|
|
|
|
||
CONSUMER DISCRETIONARY 1.4% |
|
|
|
|
|
|
|
|
|
||
Hotels, Restaurants & Leisure 0.1% |
|
|
|
|
|
|
|
|
|
||
Pinnacle Entertainment Inc., Senior Subordinated Notes |
|
8.750% |
|
5/15/20 |
|
250,000 |
|
232,813 |
(d) |
||
Media 0.7% |
|
|
|
|
|
|
|
|
|
||
Allbritton Communications Co., Senior Notes |
|
8.000% |
|
5/15/18 |
|
1,100,000 |
|
1,094,500 |
(d) |
||
Live Nation Entertainment Inc., Senior Notes |
|
8.125% |
|
5/15/18 |
|
100,000 |
|
97,500 |
(d) |
||
Total Media |
|
|
|
|
|
|
|
1,192,000 |
|
||
Specialty Retail 0.6% |
|
|
|
|
|
|
|
|
|
||
General Nutrition Centers |
|
5.750% |
|
3/15/14 |
|
1,175,000 |
|
1,083,937 |
(b)(e) |
||
TOTAL CONSUMER DISCRETIONARY |
|
|
|
|
|
|
|
2,508,750 |
|
||
CONSUMER STAPLES 0.1% |
|
|
|
|
|
|
|
|
|
||
Household Products 0.1% |
|
|
|
|
|
|
|
|
|
||
Central Garden and Pet Co. |
|
8.250% |
|
3/1/18 |
|
100,000 |
|
99,625 |
|
||
ENERGY 1.0% |
|
|
|
|
|
|
|
|
|
||
Energy Equipment & Services 0.5% |
|
|
|
|
|
|
|
|
|
||
Geokinetics Holdings Inc., Senior Secured Notes |
|
9.750% |
|
12/15/14 |
|
1,000,000 |
|
860,000 |
(d) |
||
Oil, Gas & Consumable Fuels 0.5% |
|
|
|
|
|
|
|
|
|
||
Stallion Oilfield Holdings |
|
10.500% |
|
2/15/15 |
|
1,000,000 |
|
945,000 |
(d) |
||
TOTAL ENERGY |
|
|
|
|
|
|
|
1,805,000 |
|
||
TELECOMMUNICATION SERVICES 1.5% |
|
|
|
|
|
|
|
|
|
||
Diversified Telecommunication Services 1.5% |
|
|
|
|
|
|
|
|
|
||
Qwest Corp., Senior Notes |
|
3.787% |
|
6/15/13 |
|
2,659,000 |
|
2,645,705 |
(e) |
||
TOTAL CORPORATE BONDS & NOTES (Cost $6,996,896) |
|
|
|
7,059,080 |
|
||||||
|
|
|
|
|
|
|
|
|
|
||
|
|
|
|
|
|
SHARES |
|
|
|
||
COMMON STOCKS 0.5% |
|
|
|
|
|
|
|
|
|
||
CONSUMER DISCRETIONARY 0.1% |
|
|
|
|
|
|
|
|
|
||
Automobiles 0.1% |
|
|
|
|
|
|
|
|
|
||
Dayco Products LLC |
|
|
|
|
|
4,745 |
|
194,545 |
(f) |
||
Dayco Products LLC |
|
|
|
|
|
167 |
|
6,847 |
(f) |
||
Total Automobiles |
|
|
|
|
|
|
|
201,392 |
|
||
Textiles, Apparel & Luxury Goods 0.0% |
|
|
|
|
|
|
|
|
|
||
Comfort Co. Inc. |
|
|
|
|
|
3,664 |
|
0 |
(f)(g) |
||
TOTAL CONSUMER DISCRETIONARY |
|
|
|
|
|
|
|
201,392 |
|
||
ENERGY 0.4% |
|
|
|
|
|
|
|
|
|
||
Oil, Gas & Consumable Fuels 0.4% |
|
|
|
|
|
|
|
|
|
||
SemGroup Corp., Class A Shares |
|
|
|
|
|
24,938 |
|
654,623 |
(f) |
||
TOTAL COMMON STOCKS (Cost $687,306) |
|
|
|
|
|
|
|
856,015 |
|
||
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT (Cost $179,882,807) |
|
175,095,954 |
|
||||||||
|
|
|
|
|
|
|
|
|
|
||
|
|
|
|
|
|
FACE AMOUNT |
|
|
|
||
SHORT-TERM INVESTMENT 1.8% |
|
|
|
|
|
|
|
|
|
||
U.S. Government Agency 1.8% |
|
|
|
|
|
|
|
|
|
||
Federal Home Loan Banks (FHLB) (Cost - $3,157,000) |
|
0.010% |
|
7/1/10 |
|
$ |
3,157,000 |
|
3,157,000 |
(h) |
|
TOTAL INVESTMENTS 100.0% (Cost $183,039,807#) |
|
|
|
$ |
178,252,954 |
|
See Notes to Schedule of Investments.
Schedule of investments (unaudited) (contd)
June 30, 2010
LMP CORPORATE LOAN FUND INC.
(a) |
|
Interest rates disclosed represent the effective rates on senior loans. Ranges in interest rates are attributable to multiple contracts under the same loan. |
|
(b) |
|
Payment-in-kind security for which part of the income earned may be paid as additional principal. |
|
(c) |
|
The coupon and principal payment is currently in default as of June 30, 2010. |
|
(d) |
|
Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Directors, unless otherwise noted. |
|
(e) |
|
Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2010. |
|
(f) |
|
Security is valued in good faith at fair value in accordance with procedures approved by the Board of Directors (See Note 1). |
|
(g) |
|
Illiquid security. |
|
(h) |
|
Rate shown represents yield-to-maturity. |
|
# |
|
Aggregate cost for federal income tax purposes is substantially the same. |
|
|
|
|
|
|
|
Abbreviations used in this schedule: |
|
|
|
REIT |
- Real Estate Investment Trust |
|
|
Second Lien |
- Subordinate Lien to First Lien |
|
|
Term |
- Term loan typically with a First Lien on specified assets |
See Notes to Schedule of Investments.
Notes to Schedule of Investments (unaudited)
1. Organization and Significant Accounting Policies
LMP Corporate Loan Fund Inc. (the Fund) was incorporated in Maryland and is registered as a non-diversified, closed-end management investment company under the Investment Company Act of 1940, as amended (the 1940 Act). The Funds investment objective is to maximize current income consistent with prudent efforts to preserve capital.
The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S. generally accepted accounting principles (GAAP).
(a) Investment valuation. Senior loans are valued at readily ascertainable market values provided by an independent pricing service. Securities for which market quotations are not available are valued in good faith at fair value by or under the direction of the Board of Directors. In fair valuing a loan, Legg Mason Partners Fund Advisor, LLC (LMPFA), with the assistance of Citigroup Alternative Investments LLC (CAI), the Funds subadviser, will consider among other factors: (1) the creditworthiness of the borrower and any party interpositioned between the Fund and the borrower; (2) the current interest rate, period until next interest rate reset and maturity date of the senior loan; (3) recent market prices for similar loans, if any; and (4) recent prices in the market for instruments with similar quality, rate, period until next interest rate reset, maturity, terms and conditions. LMPFA may also consider prices or quotations, if any, provided by banks, dealers or pricing services which may represent the prices at which secondary market transactions in the senior loans held by the Fund have or could have occurred. U.S. government agency obligations are valued at the mean between the quoted bid and asked prices. Securities traded on national securities markets are valued at the closing price on such markets. Securities traded in the over-the-counter market and listed securities for which no sales prices were reported are valued at the mean between the quoted bid and asked prices. Securities listed on the NASDAQ National Market System for which market quotations are available are valued at the official closing price or, if there is no official closing price on that day, at the last sale price. Short-term obligations with maturities of 60 days or less are valued at amortized cost, which approximates fair value.
The Fund has adopted Financial Accounting Standards Board Codification Topic 820 (ASC Topic 820). ASC Topic 820 establishes a single definition of fair value, creates a three-tier hierarchy as a framework for measuring fair value based on inputs used to value the Funds investments, and requires additional disclosure about fair value. The hierarchy of inputs is summarized below.
· Level 1quoted prices in active markets for identical investments
· Level 2other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)
· Level 3significant unobservable inputs (including the Funds own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of the security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to convert future amounts of cash flow to a single present amount.
The following is a summary of the inputs used in valuing the Funds assets carried at fair value:
|
|
QUOTED |
|
OTHER |
|
SIGNIFICANT |
|
|
|
|||
DESCRIPTION |
|
(LEVEL 1) |
|
(LEVEL 2) |
|
(LEVEL 3) |
|
TOTAL |
|
|||
Long-term investments: |
|
|
|
|
|
|
|
|
|
|||
Collateralized senior loans |
|
|
|
$ |
164,418,795 |
|
|
|
$ |
164,418,795 |
|
|
Uncollateralized senior loans |
|
|
|
2,762,064 |
|
|
|
2,762,064 |
|
|||
Corporate bonds & notes |
|
|
|
7,059,080 |
|
|
|
7,059,080 |
|
|||
Common stocks: |
|
|
|
|
|
|
|
|
|
|||
Consumer discretionary |
|
|
|
|
|
$ |
201,392 |
|
201,392 |
|
||
Energy |
|
|
|
|
|
654,623 |
|
654,623 |
|
|||
Total long-term investments |
|
|
|
$ |
174,239,939 |
|
$ |
856,015 |
|
$ |
175,095,954 |
|
Short-term investment |
|
|
|
3,157,000 |
|
|
|
3,157,000 |
|
|||
Total investments |
|
|
|
$ |
177,396,939 |
|
$ |
856,015 |
|
$ |
178,252,954 |
|
Notes to Schedule of Investments (unaudited) (continued)
See Schedule of Investments for additional detailed categorizations.
Following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value:
|
|
|
|
COMMON STOCKS |
|
|
|
||||||
INVESTMENTS IN SECURITIES |
|
COLLATERALIZED |
|
CONSUMER |
|
ENERGY |
|
TOTAL |
|
||||
Balance as of September 30, 2009 |
|
$ |
544,579 |
|
$ |
0 |
* |
|
|
$ |
544,579 |
|
|
Accrued premiums/discounts |
|
|
|
|
|
|
|
|
|
||||
Realized gain/(loss)1 |
|
(174,480 |
) |
|
|
|
|
(174,480 |
) |
||||
Change in unrealized appreciation (depreciation)2 |
|
255,519 |
|
137,536 |
|
$ 31,173 |
|
424,228 |
|
||||
Net purchases (sales) |
|
(625,618 |
) |
63,856 |
|
623,450 |
|
61,688 |
|
||||
Transfers in to Level 3 |
|
|
|
|
|
|
|
|
|
||||
Transfers out of Level 3 |
|
|
|
|
|
|
|
|
|
||||
Balance as of June 30, 2010 |
|
|
|
$ |
201,392 |
|
$ |
654,623 |
|
$ |
856,015 |
|
|
Net change in unrealized appreciation (depreciation) for investments in securities still held at June 30, 201002 |
|
|
|
$ |
137,536 |
|
$ 31,173 |
|
$ |
168,709 |
|
||
* Value less than $1.
1 This amount is included in net realized gain (loss) from investment transactions.
2 Change in unrealized appreciation (depreciation) includes net unrealized appreciation (depreciation) resulting from changes in investment values during the reporting period and the reversal of previously recorded unrealized appreciation (depreciation) when gains or losses are realized.
(b) Security Transactions. Security transactions are accounted for on a trade date basis.
2. Investments
At June 30, 2010, the aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes were substantially as follows:
Gross unrealized appreciation |
|
$ |
2,471,287 |
|
Gross unrealized depreciation |
|
(7,258,140 |
) |
|
Net unrealized depreciation |
|
$ |
(4,786,853 |
) |
Notes to Schedule of Investments (unaudited) (continued)
3. Derivative Instruments and Hedging Activities
Financial Accounting Standards Board Codification Topic 815 requires enhanced disclosure about an entitys derivative and hedging activities.
During the period ended June 30, 2010, the Fund did not invest in any derivative instruments.
ITEM 2. CONTROLS AND PROCEDURES.
(a) The registrants principal executive officer and principal financial officer have concluded that the registrants disclosure controls and procedures (as defined in Rule 30a- 3(c) under the Investment Company Act of 1940, as amended (the 1940 Act)) are effective as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the disclosure controls and procedures required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934.
(b) There were no changes in the registrants internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrants last fiscal quarter that have materially affected, or are likely to materially affect the registrants internal control over financial reporting.
ITEM 3. EXHIBITS.
Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are attached hereto.
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.
LMP Corporate Loan Fund Inc. |
|
|
|
|
|
|
|
|
By |
/s/ R. Jay Gerken |
|
|
R. Jay Gerken |
|
|
Chief Executive Officer |
|
|
|
|
|
|
|
Date: August 26, 2010 |
|
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By |
/s/ R. Jay Gerken |
|
|
R. Jay Gerken |
|
|
Chief Executive Officer |
|
|
|
|
|
|
|
Date: August 26, 2010 |
|
|
|
|
|
|
|
|
By |
/s/ Kaprel Ozsolak |
|
|
Kaprel Ozsolak |
|
|
Chief Financial Officer |
|
|
|
|
|
|
|
Date: August 26, 2010 |
|