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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620 Eighth Avenue, New York, N.Y. |
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10018 | ||||
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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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Registrant’s telephone number, including area code: |
(888) 777-0102 |
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Date of fiscal year end: |
September 30 |
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|
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Date of reporting period: |
December 31, 2011 |
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ITEM 1. SCHEDULE OF INVESTMENTS.
LMP CORPORATE LOAN FUND INC.
FORM N-Q
DECEMBER 31, 2011
LMP CORPORATE LOAN FUND INC.
Schedule of investments (unaudited)
December 31, 2011
|
SECURITY |
|
RATE |
|
MATURITY |
|
FACE |
|
VALUE |
| ||
|
COLLATERALIZED SENIOR LOANS (a) — 89.9% |
|
|
|
|
|
|
|
|
| ||
|
Aerospace/Defense — 1.3% |
|
|
|
|
|
|
|
|
| ||
|
DigitalGlobe Inc., Term Loan B |
|
5.750% |
|
10/7/18 |
|
$ |
1,200,000 |
|
$ |
1,182,000 |
|
|
Transdigm Inc., New Term Loan B |
|
4.000% |
|
2/14/17 |
|
1,141,788 |
|
1,133,938 |
| ||
|
Total Aerospace/Defense |
|
|
|
|
|
|
|
2,315,938 |
| ||
|
Air Transport — 0.7% |
|
|
|
|
|
|
|
|
| ||
|
United Airlines Inc., Term Loan B |
|
2.313% |
|
2/3/14 |
|
1,293,078 |
|
1,240,805 |
| ||
|
Automotive — 3.3% |
|
|
|
|
|
|
|
|
| ||
|
Autoparts Holdings Ltd., First Lien Term Loan |
|
6.500% |
|
7/28/17 |
|
199,500 |
|
199,625 |
| ||
|
Autoparts Holdings Ltd., Second Lien Term Loan |
|
10.500% |
|
1/29/18 |
|
900,000 |
|
873,000 |
| ||
|
HHI Holdings LLC, New Term Loan B |
|
7.000 - 7.500% |
|
3/21/17 |
|
690,677 |
|
683,770 |
| ||
|
KAR Auction Services Inc., Term Loan B |
|
5.000% |
|
5/19/17 |
|
1,827,732 |
|
1,807,219 |
| ||
|
Metaldyne Co. LLC, New Term Loan B |
|
5.250% |
|
5/18/17 |
|
2,072,380 |
|
2,051,656 |
| ||
|
UCI International Inc., New Term Loan B |
|
5.500% |
|
7/26/17 |
|
455,126 |
|
456,833 |
| ||
|
Total Automotive |
|
|
|
|
|
|
|
6,072,103 |
| ||
|
Beverage and Tobacco — 0.2% |
|
|
|
|
|
|
|
|
| ||
|
B&G Foods Inc., Term Loan B |
|
4.500% |
|
11/30/18 |
|
425,688 |
|
427,418 |
| ||
|
Broadcast Radio and Television — 2.5% |
|
|
|
|
|
|
|
|
| ||
|
Cumulus Media Inc., Term Loan |
|
5.750% |
|
9/17/18 |
|
906,289 |
|
889,107 |
| ||
|
LIN Television Corp., Term Loan B |
|
5.000% |
|
12/21/18 |
|
553,957 |
|
551,880 |
| ||
|
Mood Media Corp., Second Lien Term Loan |
|
10.250% |
|
10/31/18 |
|
675,000 |
|
627,750 |
| ||
|
National CineMedia LLC, Term Loan B |
|
2.050% |
|
2/13/15 |
|
357,721 |
|
345,984 |
| ||
|
Univision Communications Inc., Extended Term Loan |
|
4.546% |
|
3/31/17 |
|
678,798 |
|
607,737 |
| ||
|
Weather Channel, New Term Loan B |
|
4.250% |
|
2/13/17 |
|
1,535,085 |
|
1,534,765 |
| ||
|
Total Broadcast Radio and Television |
|
|
|
|
|
|
|
4,557,223 |
| ||
|
Building and Development — 0.9% |
|
|
|
|
|
|
|
|
| ||
|
CPG International Inc., New Term Loan B |
|
6.000% |
|
2/18/17 |
|
489,519 |
|
470,551 |
| ||
|
Custom Building Products Inc., Term Loan B |
|
5.750% |
|
3/19/15 |
|
410,884 |
|
407,802 |
| ||
|
Panolam Industries International Inc., Extended First Lien Term Loan |
|
8.250% |
|
12/31/13 |
|
875,420 |
|
838,214 |
| ||
|
Total Building and Development |
|
|
|
|
|
|
|
1,716,567 |
| ||
|
Business Equipment and Services — 8.3% |
|
|
|
|
|
|
|
|
| ||
|
Affinion Group Inc., Tranche B Term Loan |
|
5.000% |
|
10/10/16 |
|
1,645,047 |
|
1,462,035 |
| ||
|
Altegrity Inc., Term Loan |
|
3.037% |
|
2/21/15 |
|
860,242 |
|
801,101 |
| ||
|
Belfor USA Group Inc., Term Loan B |
|
4.500 - 5.250% |
|
4/5/17 |
|
1,768,570 |
|
1,764,148 |
| ||
|
Bright Horizons Family Solutions Inc., Term Loan B |
|
4.300 - 6.250% |
|
5/28/15 |
|
1,474,721 |
|
1,464,583 |
| ||
|
Dealer Computer Services Inc., New Term Loan B |
|
3.750% |
|
4/20/18 |
|
1,271,221 |
|
1,266,771 |
| ||
|
Deluxe Entertainment Services Group Inc., Second Lien Term Loan |
|
11.000% |
|
11/11/13 |
|
1,000,000 |
|
985,000 |
| ||
|
Deluxe Entertainment Services Group Inc., Tranche A Credit-Linked Deposit |
|
6.250% |
|
5/11/13 |
|
74,486 |
|
74,253 |
| ||
|
Deluxe Entertainment Services Group Inc., Tranche B Term Loan |
|
6.250% |
|
5/11/13 |
|
1,013,003 |
|
1,009,837 |
| ||
|
InfoGroup Inc., New Term Loan |
|
5.750% |
|
5/22/18 |
|
1,326,131 |
|
1,220,041 |
| ||
|
Intralinks Inc., Term Loan |
|
5.750% |
|
6/15/14 |
|
923,290 |
|
895,591 |
| ||
|
Kronos Inc., Incremental Term Loan |
|
— |
|
12/21/17 |
|
582,000 |
|
581,272 |
(b) | ||
|
N.E.W Holdings I LLC, Secured Term Loan |
|
6.000% |
|
3/23/16 |
|
908,139 |
|
842,299 |
| ||
|
Sabre Inc., Term Loan B |
|
2.296 - 2.428% |
|
9/30/14 |
|
1,160,071 |
|
961,408 |
| ||
|
SNL Financial LLC, Term Loan B |
|
8.500% |
|
8/10/18 |
|
1,308,438 |
|
1,311,709 |
| ||
|
Web.com Group Inc., Term Loan B |
|
7.000% |
|
10/27/17 |
|
600,000 |
|
556,500 |
| ||
|
Total Business Equipment and Services |
|
|
|
|
|
|
|
15,196,548 |
| ||
See Notes to Schedule of Investments.
LMP CORPORATE LOAN FUND INC.
Schedule of investments (unaudited) (cont’d)
December 31, 2011
|
SECURITY |
|
RATE |
|
MATURITY |
|
FACE |
|
VALUE |
| ||
|
Cable and Satellite Television — 3.6% |
|
|
|
|
|
|
|
|
| ||
|
Bragg Communications Inc., Term Loan B2 |
|
3.023% |
|
8/31/14 |
|
$ |
1,360,618 |
|
$ |
1,347,012 |
|
|
Insight Midwest Holdings LLC, Initial Term Loan |
|
2.020% |
|
4/7/14 |
|
1,457,942 |
|
1,445,185 |
| ||
|
Mediacom Illinois LLC, Tranche D Term Loan |
|
5.500% |
|
3/31/17 |
|
1,969,773 |
|
1,949,461 |
| ||
|
Telesat Canada, U.S. Term I Loan |
|
3.300% |
|
10/31/14 |
|
1,659,039 |
|
1,645,905 |
| ||
|
Telesat Canada, U.S. Term II Loan |
|
3.300% |
|
10/31/14 |
|
142,512 |
|
141,384 |
| ||
|
Total Cable and Satellite Television |
|
|
|
|
|
|
|
6,528,947 |
| ||
|
Chemicals/Plastics — 4.5% |
|
|
|
|
|
|
|
|
| ||
|
General Chemical Corp., New Term Loan |
|
5.000 - 5.750% |
|
10/6/15 |
|
633,790 |
|
630,885 |
| ||
|
Huish Detergents Inc., Second Lien Term Loan |
|
4.510% |
|
10/26/14 |
|
1,675,000 |
|
1,325,344 |
| ||
|
Kik Custom Products Inc., Canadian Term Loan |
|
2.530% |
|
6/2/14 |
|
91,618 |
|
78,563 |
| ||
|
Kik Custom Products Inc., First Lien Term Loan |
|
2.530% |
|
6/2/14 |
|
534,439 |
|
458,282 |
| ||
|
Kik Custom Products Inc., Second Lien Term Loan |
|
5.270% |
|
11/28/14 |
|
1,583,334 |
|
1,018,611 |
| ||
|
Momentive Specialty Chemicals Inc., Extended Term Loan C4 |
4.188% |
|
5/5/15 |
|
783,195 |
|
751,871 |
| |||
|
Momentive Specialty Chemicals Inc., Term Loan C5 |
|
2.875% |
|
5/6/13 |
|
766,383 |
|
731,895 |
| ||
|
Omnova Solutions Inc., Term Loan B |
|
5.750% |
|
5/31/17 |
|
667,953 |
|
657,934 |
| ||
|
PolyOne Corp., Term Loan |
|
5.000% |
|
12/20/17 |
|
207,856 |
|
208,547 |
| ||
|
Rockwood Specialties Group Inc., New Term Loan B |
|
3.500% |
|
2/9/18 |
|
907,513 |
|
911,862 |
| ||
|
Styron S.A.R.L LLC, New Term Loan B |
|
6.000% |
|
8/2/17 |
|
1,517,952 |
|
1,314,293 |
| ||
|
Total Chemicals/Plastics |
|
|
|
|
|
|
|
8,088,087 |
| ||
|
Conglomerates — 0.2% |
|
|
|
|
|
|
|
|
| ||
|
Capital Safety Group Ltd., Term Loan B |
|
— |
|
12/14/18 |
|
411,227 |
|
409,685 |
(b) | ||
|
Containers and Glass Products — 1.4% |
|
|
|
|
|
|
|
|
| ||
|
Berry Plastics Corp., Term Loan C |
|
2.278% |
|
4/3/15 |
|
989,610 |
|
946,040 |
| ||
|
Reynolds Group Holdings Inc., Tranche B Term Loan |
|
6.500% |
|
2/9/18 |
|
1,162,130 |
|
1,153,414 |
| ||
|
Reynolds Group Holdings Inc., Tranche C Term Loan |
|
6.500% |
|
8/9/18 |
|
493,397 |
|
491,393 |
| ||
|
Total Containers and Glass Products |
|
|
|
|
|
|
|
2,590,847 |
| ||
|
Cosmetics/Personal Care — 0.5% |
|
|
|
|
|
|
|
|
| ||
|
VI-Jon, Term Loan B |
|
2.535 - 2.546% |
|
4/24/14 |
|
906,542 |
|
831,752 |
| ||
|
Drugs — 2.7% |
|
|
|
|
|
|
|
|
| ||
|
Aptalis Pharma Inc., Term Loan B |
|
5.500% |
|
2/10/17 |
|
840,474 |
|
827,867 |
| ||
|
Capsugel Holdings US Inc., Term Loan |
|
5.250% |
|
8/1/18 |
|
1,214,187 |
|
1,217,830 |
| ||
|
Catalent Pharma Solutions, Dollar Term Loan |
|
2.546% |
|
4/10/14 |
|
1,078,462 |
|
1,040,267 |
| ||
|
Grifols Inc., Term Loan B |
|
6.000% |
|
6/1/17 |
|
1,865,882 |
|
1,864,133 |
| ||
|
Total Drugs |
|
|
|
|
|
|
|
4,950,097 |
| ||
|
Ecological Services and Equipment — 0.9% |
|
|
|
|
|
|
|
|
| ||
|
Waste Industries U.S.A. Inc., Term Loan B |
|
4.750% |
|
3/17/17 |
|
1,599,721 |
|
1,571,726 |
| ||
|
Electronics/Electric — 6.5% |
|
|
|
|
|
|
|
|
| ||
|
Applied Systems Inc., First Lien Term Loan |
|
5.500% |
|
12/8/16 |
|
332,888 |
|
326,439 |
| ||
|
Applied Systems Inc., Second Lien Term Loan |
|
9.250% |
|
6/8/17 |
|
400,000 |
|
387,875 |
| ||
|
Attachmate Corp., New Term Loan B |
|
6.500% |
|
4/27/17 |
|
714,420 |
|
701,917 |
| ||
|
Blackboard Inc., Term Loan B |
|
7.500% |
|
10/4/18 |
|
937,500 |
|
892,969 |
| ||
|
CDW Corp., Term Loan |
|
3.778% |
|
10/10/14 |
|
1,464,576 |
|
1,440,777 |
| ||
|
Eagle Parent Inc., New Term Loan |
|
5.000% |
|
5/16/18 |
|
1,629,229 |
|
1,538,264 |
| ||
|
MSCI Inc., Term Loan B1 |
|
3.750% |
|
3/14/17 |
|
850,144 |
|
857,052 |
| ||
|
Nxp B.V., Term Loan A2 |
|
5.500% |
|
3/3/17 |
|
1,022,842 |
|
975,536 |
| ||
See Notes to Schedule of Investments.
LMP CORPORATE LOAN FUND INC.
Schedule of investments (unaudited) (cont’d)
December 31, 2011
|
SECURITY |
|
RATE |
|
MATURITY |
|
FACE |
|
VALUE |
| ||
|
Electronics/Electric — continued |
|
|
|
|
|
|
|
|
| ||
|
Sungard Data Systems Inc., Incremental Term Loan |
|
3.778% |
|
2/28/14 |
|
$ |
100,000 |
|
$ |
99,031 |
|
|
VeriFone Inc., New Term Loan B |
|
— |
|
12/31/18 |
|
1,169,492 |
|
1,170,223 |
(b) | ||
|
Verint Systems Inc., Term Loan |
|
4.500% |
|
10/27/17 |
|
783,248 |
|
777,374 |
| ||
|
Vertafore Inc., Second Lien Term Loan |
|
9.750% |
|
10/27/17 |
|
800,000 |
|
778,000 |
| ||
|
Vertafore Inc., Term Loan |
|
5.250% |
|
7/29/16 |
|
1,831,506 |
|
1,793,350 |
| ||
|
Total Electronics/Electric |
|
|
|
|
|
|
|
11,738,807 |
| ||
|
Financial Intermediaries — 3.6% |
|
|
|
|
|
|
|
|
| ||
|
Fifth Third Processing Solutions LLC, Term Loan B1 |
|
4.500% |
|
11/3/16 |
|
1,291,076 |
|
1,290,000 |
| ||
|
First Data Corp., Term Loan B1 |
|
3.044% |
|
9/24/14 |
|
2,023,313 |
|
1,832,502 |
| ||
|
Moneygram International Inc., Term Loan B |
|
4.500% |
|
11/17/17 |
|
1,050,000 |
|
1,036,875 |
| ||
|
Ocwen Financial Corp., Term Loan B |
|
7.000% |
|
9/1/16 |
|
548,976 |
|
542,113 |
| ||
|
Openlink International Intermediate Inc., Initial Term Loan |
|
7.750% |
|
10/30/17 |
|
520,775 |
|
522,728 |
| ||
|
Springleaf Finance Corp., Term Loan |
|
5.500% |
|
5/10/17 |
|
941,577 |
|
821,821 |
| ||
|
US FT Holdco Inc., Term Loan B |
|
7.500 - 8.250% |
|
11/30/17 |
|
563,670 |
|
557,681 |
| ||
|
Total Financial Intermediaries |
|
|
|
|
|
|
|
6,603,720 |
| ||
|
Food Products — 2.7% |
|
|
|
|
|
|
|
|
| ||
|
Del Monte Foods Co., Term Loan |
|
4.500% |
|
3/8/18 |
|
1,097,485 |
|
1,045,354 |
| ||
|
Michael Foods Group Inc., Term Loan |
|
4.250% |
|
2/23/18 |
|
1,903,333 |
|
1,881,920 |
| ||
|
NPC International Inc., New Term Loan B |
|
— |
|
12/28/18 |
|
305,221 |
|
305,221 |
(b) | ||
|
Pinnacle Foods Holdings Corp., Tranche B Term Loan |
|
2.771 - 2.872% |
|
4/2/14 |
|
995,457 |
|
973,364 |
| ||
|
Pinnacle Foods Holdings Corp., Tranche D Term Loan |
|
6.000 - 6.500% |
|
4/2/14 |
|
604,543 |
|
607,869 |
| ||
|
Total Food Products |
|
|
|
|
|
|
|
4,813,728 |
| ||
|
Food Service — 2.7% |
|
|
|
|
|
|
|
|
| ||
|
Advantage Sales & Marketing Inc., Second Lien Term Loan |
9.250% |
|
6/18/18 |
|
400,000 |
|
394,000 |
| |||
|
Burger King Corp., New Term Loan B |
|
4.500% |
|
10/19/16 |
|
1,658,780 |
|
1,633,553 |
| ||
|
DineEquity Inc., New Term Loan B |
|
4.250 - 5.250% |
|
10/19/17 |
|
1,007,632 |
|
995,289 |
| ||
|
Dunkin’ Brands Inc., New Term Loan B2 |
|
4.000% |
|
11/23/17 |
|
1,989,141 |
|
1,962,204 |
| ||
|
Total Food Service |
|
|
|
|
|
|
|
4,985,046 |
| ||
|
Food/Drug Retailers — 1.3% |
|
|
|
|
|
|
|
|
| ||
|
BJ’s Wholesale Club Inc., Term Loan B |
|
— |
|
9/28/18 |
|
750,000 |
|
753,649 |
(b) | ||
|
General Nutrition Centers Inc., New Term Loan B |
|
4.250% |
|
3/2/18 |
|
1,126,736 |
|
1,115,469 |
| ||
|
Great Atlantic & Pacific Tea Co., DIP Term Loan |
|
8.750% |
|
6/15/12 |
|
418,052 |
|
420,490 |
| ||
|
Total Food/Drug Retailers |
|
|
|
|
|
|
|
2,289,608 |
| ||
|
Forest Products — 1.4% |
|
|
|
|
|
|
|
|
| ||
|
Cenveo Corp., Term Loan B |
|
6.250% |
|
12/21/16 |
|
997,973 |
|
988,306 |
| ||
|
Clarke American Corp., Term Loan B |
|
2.796 - 3.079% |
|
6/30/14 |
|
1,575,258 |
|
1,340,938 |
| ||
|
NewPage Corp., DIP Term Loan |
|
8.000% |
|
3/7/13 |
|
265,919 |
|
269,575 |
| ||
|
Total Forest Products |
|
|
|
|
|
|
|
2,598,819 |
| ||
|
Healthcare — 12.6% |
|
|
|
|
|
|
|
|
| ||
|
AMN Healthcare Inc., Term Loan B |
|
7.250% |
|
6/23/15 |
|
1,352,845 |
|
1,295,350 |
| ||
|
Ardent Medical Services Inc., Add on Term Loan B |
|
6.500% |
|
9/18/15 |
|
436,670 |
|
433,941 |
| ||
|
Ardent Medical Services Inc., First Lien Term Loan |
|
6.500% |
|
9/15/15 |
|
1,146,988 |
|
1,139,820 |
| ||
|
Biomet Inc., Term Loan B |
|
3.294 - 3.574% |
|
3/25/15 |
|
1,831,690 |
|
1,787,533 |
| ||
|
CareStream Health Inc., Term Loan B |
|
5.000% |
|
2/25/17 |
|
2,332,032 |
|
2,113,404 |
| ||
|
CHG Companies Inc., New Term Loan B |
|
5.500% |
|
10/7/16 |
|
1,168,760 |
|
1,167,299 |
| ||
|
CHG Companies Inc., Second Lien Term Loan |
|
11.250% |
|
4/5/17 |
|
425,000 |
|
426,062 |
| ||
|
Community Health Systems Inc., Extended Term Loan B |
|
3.796 - 4.023% |
|
1/25/17 |
|
1,758,316 |
|
1,704,833 |
| ||
See Notes to Schedule of Investments.
LMP CORPORATE LOAN FUND INC.
Schedule of investments (unaudited) (cont’d)
December 31, 2011
|
SECURITY |
|
RATE |
|
MATURITY |
|
FACE |
|
VALUE |
| ||
|
Healthcare — continued |
|
|
|
|
|
|
|
|
| ||
|
DaVita Inc., New Term Loan B |
|
4.500% |
|
10/20/16 |
|
$ |
1,048,349 |
|
$ |
1,048,873 |
|
|
DJO Finance LLC, New Term Loan B |
|
3.296% |
|
5/20/14 |
|
1,356,714 |
|
1,304,990 |
| ||
|
HCA Inc., Extended Term Loan B3 |
|
3.546% |
|
5/1/18 |
|
2,231,309 |
|
2,114,629 |
| ||
|
Iasis Healthcare LLC, Term Loan |
|
5.000% |
|
5/3/18 |
|
1,492,481 |
|
1,443,976 |
| ||
|
Kinetic Concepts Inc., Term Loan B |
|
7.000% |
|
5/4/18 |
|
300,000 |
|
303,082 |
| ||
|
Kinetic Concepts Inc., Term Loan B2 |
|
6.500% |
|
11/4/16 |
|
700,000 |
|
699,708 |
| ||
|
MedAssets Inc., New Term Loan |
|
5.250% |
|
11/16/16 |
|
481,135 |
|
480,233 |
| ||
|
Multiplan Inc., New Term Loan B |
|
4.750% |
|
8/26/17 |
|
1,388,720 |
|
1,327,963 |
| ||
|
Pharmaceutical Product Development Inc., Term Loan B |
|
6.250% |
|
12/5/18 |
|
780,000 |
|
779,025 |
| ||
|
Select Medical Corp., New Term Loan B |
|
5.500 - 6.000% |
|
5/25/18 |
|
1,265,892 |
|
1,211,037 |
| ||
|
Universal Health Services Inc., New Term Loan B |
|
3.750% |
|
11/15/16 |
|
1,686,969 |
|
1,686,328 |
| ||
|
Vanguard Health Holding Co. II LLC, Term Loan B |
|
5.000% |
|
1/29/16 |
|
380,000 |
|
373,508 |
| ||
|
Total Healthcare |
|
|
|
|
|
|
|
22,841,594 |
| ||
|
Home Furnishings — 0.2% |
|
|
|
|
|
|
|
|
| ||
|
Sleep Innovations Inc., Second Lien PIK Term Loan |
|
11.500% |
|
3/5/15 |
|
346,302 |
|
384,396 |
| ||
|
Hotels/Motels/Inns and Casinos — 0.5% |
|
|
|
|
|
|
|
|
| ||
|
Ameristar Casinos Inc., Term Loan B |
|
4.000% |
|
4/13/18 |
|
261,814 |
|
262,032 |
| ||
|
Kalispel Tribal Economic Authority, Term Loan B |
|
7.500% |
|
2/22/17 |
|
778,485 |
|
723,991 |
| ||
|
Total Hotels/Motels/Inns and Casinos |
|
|
|
|
|
|
|
986,023 |
| ||
|
Industrial Equipment — 4.5% |
|
|
|
|
|
|
|
|
| ||
|
Brock Holdings III Inc., New Second Lien Term Loan |
|
10.000% |
|
3/16/18 |
|
400,000 |
|
368,500 |
| ||
|
Brock Holdings III Inc., New Term Loan B |
|
6.000% |
|
3/16/17 |
|
486,099 |
|
472,731 |
| ||
|
Colfax Corp., Term Loan B |
|
— |
|
12/7/18 |
|
818,639 |
|
820,046 |
(b) | ||
|
Goodman Global Holdings Inc., First Lien Term Loan |
|
5.750% |
|
10/28/16 |
|
807,415 |
|
808,296 |
| ||
|
Goodman Global Holdings Inc., Second Lien Term Loan |
|
9.000% |
|
10/30/17 |
|
253,441 |
|
255,078 |
| ||
|
NES Rentals Holdings Inc., Second Lien Term Loan |
|
10.000% |
|
7/20/13 |
|
1,613,176 |
|
1,516,385 |
| ||
|
Sensata Technologies Finance Co. LLC, New Term Loan |
|
4.000% |
|
5/11/18 |
|
1,478,439 |
|
1,467,350 |
| ||
|
TriMas Corp., New Term Loan B |
|
4.250% |
|
6/21/17 |
|
860,705 |
|
856,401 |
| ||
|
Veyance Technologies Inc., Delayed Draw Term Loan |
|
2.800% |
|
7/31/14 |
|
210,526 |
|
195,702 |
| ||
|
Veyance Technologies Inc., Initial Term Loan |
|
2.800% |
|
7/31/14 |
|
1,469,847 |
|
1,366,345 |
| ||
|
Total Industrial Equipment |
|
|
|
|
|
|
|
8,126,834 |
| ||
|
Insurance — 1.5% |
|
|
|
|
|
|
|
|
| ||
|
Asurion Corp., New First Lien Term Loan |
|
5.500% |
|
5/24/18 |
|
1,021,364 |
|
1,008,597 |
| ||
|
Asurion Corp., New Second Lien Term Loan |
|
9.000% |
|
5/24/19 |
|
1,700,000 |
|
1,683,000 |
| ||
|
Total Insurance |
|
|
|
|
|
|
|
2,691,597 |
| ||
|
Leisure — 2.6% |
|
|
|
|
|
|
|
|
| ||
|
Carmike Cinemas Inc., Term Loan B |
|
5.500% |
|
1/27/16 |
|
1,232,559 |
|
1,225,780 |
| ||
|
Cedar Fair L.P., New Term Loan B |
|
4.000% |
|
12/15/17 |
|
710,971 |
|
710,701 |
| ||
|
Lodgenet Entertainment Corp., Term Loan |
|
6.500% |
|
4/4/14 |
|
1,212,182 |
|
1,062,174 |
| ||
|
Zuffa, Incremental Term Loan |
|
7.500% |
|
6/19/15 |
|
368,137 |
|
369,364 |
| ||
|
Zuffa, Term Loan B |
|
2.313% |
|
6/19/15 |
|
1,491,539 |
|
1,431,412 |
| ||
|
Total Leisure |
|
|
|
|
|
|
|
4,799,431 |
| ||
|
Nonferrous Metals/Materials — 1.2% |
|
|
|
|
|
|
|
|
| ||
|
JMC Steel Group Inc., Term Loan |
|
4.750% |
|
4/3/17 |
|
1,332,372 |
|
1,323,213 |
| ||
See Notes to Schedule of Investments.
LMP CORPORATE LOAN FUND INC.
Schedule of investments (unaudited) (cont’d)
December 31, 2011
|
SECURITY |
|
RATE |
|
MATURITY |
|
FACE |
|
VALUE |
| |||
|
Nonferrous Metals/Materials — continued |
|
|
|
|
|
|
|
|
| |||
|
Walter Energy Inc., Term Loan B |
|
4.000% |
|
4/2/18 |
|
$ |
789,796 |
|
$ |
784,942 |
| |
|
Total Nonferrous Metals/Materials |
|
|
|
|
|
|
|
2,108,155 |
| |||
|
Oil & Gas — 3.8% |
|
|
|
|
|
|
|
|
| |||
|
Alon USA Energy Inc., Edgington Term Loan |
|
2.546 - 2.773% |
|
8/2/13 |
|
307,154 |
|
290,452 |
| |||
|
Alon USA Energy Inc., Paramount Term Loan |
|
2.546 - 2.773% |
|
8/2/13 |
|
2,457,256 |
|
2,323,643 |
| |||
|
Gibson Energy, Term Loan B |
|
5.750% |
|
6/15/18 |
|
1,492,500 |
|
1,494,988 |
| |||
|
Hercules Offshore Inc., Term Loan B |
|
7.500% |
|
7/11/13 |
|
1,097,647 |
|
1,077,066 |
| |||
|
Western Refining Inc., New Term Loan B |
|
7.500% |
|
3/15/17 |
|
1,796,158 |
|
1,807,384 |
| |||
|
Total Oil & Gas |
|
|
|
|
|
|
|
6,993,533 |
| |||
|
Publishing — 2.0% |
|
|
|
|
|
|
|
|
| |||
|
Cengage Learning Acquisitions Inc., Tranche 1 Incremental |
|
7.500% |
|
7/3/14 |
|
789,770 |
|
736,460 |
| |||
|
Getty Images Inc., New Term Loan |
|
5.250% |
|
11/7/16 |
|
1,128,642 |
|
1,132,403 |
| |||
|
Lamar Media Corp., Term Loan B |
|
4.000% |
|
12/30/16 |
|
930,531 |
|
929,078 |
| |||
|
Quad/Graphics Inc., New Term Loan B |
|
4.000% |
|
7/26/18 |
|
753,353 |
|
745,178 |
| |||
|
Total Publishing |
|
|
|
|
|
|
|
3,543,119 |
| |||
|
Retailers — 5.5% |
|
|
|
|
|
|
|
|
| |||
|
99 Cents Only Stores, Term Loan B |
|
— |
|
12/28/18 |
|
515,957 |
|
511,442 |
(b) | |||
|
Bass Pro Group LLC, Term Loan |
|
5.250% |
|
6/13/17 |
|
1,529,445 |
|
1,517,337 |
| |||
|
J Crew Operating Corp., New Term Loan B |
|
4.750% |
|
3/7/18 |
|
603,771 |
|
568,752 |
| |||
|
Lord & Taylor Ltd., Term Loan B |
|
— |
|
12/21/18 |
|
1,000,000 |
|
997,500 |
(b) | |||
|
Michaels Stores Inc., Extended Term Loan B3 |
|
4.938 - 5.125% |
|
7/29/16 |
|
1,519,350 |
|
1,497,130 |
| |||
|
Neiman Marcus Group Inc., New Term Loan |
|
4.750% |
|
5/16/18 |
|
2,135,000 |
|
2,065,168 |
| |||
|
Petco Animal Supplies Inc., New Term Loan |
|
4.500% |
|
11/24/17 |
|
1,485,000 |
|
1,451,190 |
| |||
|
Toys ‘R’ Us-Delaware Inc., Incremental Term Loan B2 |
|
5.250% |
|
5/25/18 |
|
1,492,500 |
|
1,464,516 |
| |||
|
Total Retailers |
|
|
|
|
|
|
|
10,073,035 |
| |||
|
Steel — 0.6% |
|
|
|
|
|
|
|
|
| |||
|
SunCoke Energy Inc., Term Loan B |
|
4.000 - 5.250% |
|
7/26/18 |
|
1,127,762 |
|
1,113,665 |
| |||
|
Telecommunications/Cellular Communications — 3.4% |
|
|
|
|
|
|
|
| ||||
|
Alaska Communications Systems Holdings Inc., Term Loan B |
5.500% |
|
10/21/16 |
|
561,914 |
|
527,731 |
| ||||
|
Entercom Radio LLC, Term Loan B |
|
6.250 - 7.250% |
|
11/23/18 |
|
802,712 |
|
798,950 |
| |||
|
Intelsat Jackson Holdings S.A., Tranche B Term Loan |
|
5.250% |
|
4/2/18 |
|
1,490,006 |
|
1,486,903 |
| |||
|
MetroPCS Wireless Inc., Tranche B2 |
|
4.134% |
|
11/3/16 |
|
1,726,940 |
|
1,695,280 |
| |||
|
MetroPCS Wireless Inc., Tranche B3 |
|
4.063% |
|
3/16/18 |
|
288,818 |
|
281,597 |
| |||
|
NeuStar Inc., Term Loan B |
|
5.000% |
|
11/8/18 |
|
588,272 |
|
589,742 |
| |||
|
nTelos Inc., New Term Loan B |
|
4.000% |
|
8/7/15 |
|
797,318 |
|
789,345 |
| |||
|
Total Telecommunications/Cellular Communications |
|
|
|
|
|
|
|
6,169,548 |
| |||
|
Transportation — 0.8% |
|
|
|
|
|
|
|
|
| |||
|
Emergency Medical Services Corp., Term Loan |
|
5.250% |
|
5/25/18 |
|
1,492,481 |
|
1,459,523 |
| |||
|
Utilities — 1.5% |
|
|
|
|
|
|
|
|
| |||
|
Calpine Corp., New Term Loan |
|
4.500% |
|
4/2/18 |
|
1,336,722 |
|
1,312,216 |
| |||
|
FirstLight Power Resources Inc., Second Lien Term Loan |
|
4.813% |
|
5/1/14 |
|
250,000 |
|
227,917 |
| |||
|
TPF Generation Holdings LLC, Second Lien Term Loan C |
|
4.829% |
|
12/15/14 |
|
830,000 |
|
778,125 |
| |||
|
TPF Generation Holdings LLC, Synthetic Letter of Credit |
|
2.479% |
|
12/13/13 |
|
154,214 |
|
148,971 |
| |||
See Notes to Schedule of Investments.
LMP CORPORATE LOAN FUND INC.
Schedule of investments (unaudited) (cont’d)
December 31, 2011
|
SECURITY |
|
RATE |
|
MATURITY |
|
FACE |
|
VALUE |
| ||
|
Utilities — continued |
|
|
|
|
|
|
|
|
| ||
|
TPF Generation Holdings LLC, Term Loan B |
|
2.579% |
|
12/13/13 |
|
$ |
257,273 |
|
$ |
248,526 |
|
|
Total Utilities |
|
|
|
|
|
|
|
2,715,755 |
| ||
|
TOTAL COLLATERALIZED SENIOR LOANS (Cost — $166,303,048) |
|
|
|
|
|
163,533,679 |
| ||||
|
UNCOLLATERALIZED SENIOR LOANS (a) — 0.7% |
|
|
|
|
|
|
|
|
| ||
|
Clothing/Textiles — 0.7% |
|
|
|
|
|
|
|
|
| ||
|
Levi Strauss & Co., Term Loan (Cost - $1,150,085) |
|
2.546% |
|
3/27/14 |
|
1,398,319 |
|
1,365,109 |
| ||
|
CORPORATE BONDS & NOTES — 7.6% |
|
|
|
|
|
|
|
|
| ||
|
CONSUMER DISCRETIONARY — 2.0% |
|
|
|
|
|
|
|
|
| ||
|
Media — 2.0% |
|
|
|
|
|
|
|
|
| ||
|
Cengage Learning Acquisitions Inc., Senior Notes |
|
10.500% |
|
1/15/15 |
|
1,000,000 |
|
722,500 |
(c) | ||
|
Cenveo Corp., Secured Notes |
|
8.875% |
|
2/1/18 |
|
960,000 |
|
842,400 |
| ||
|
Cequel Communications Holdings I LLC and Cequel Capital Corp., Senior Notes |
|
8.625% |
|
11/15/17 |
|
1,000,000 |
|
1,065,000 |
(c) | ||
|
National CineMedia LLC, Senior Notes |
|
7.875% |
|
7/15/21 |
|
1,000,000 |
|
996,250 |
| ||
|
TOTAL CONSUMER DISCRETIONARY |
|
|
|
|
|
|
|
3,626,150 |
| ||
|
ENERGY — 1.3% |
|
|
|
|
|
|
|
|
| ||
|
Energy Equipment & Services — 0.6% |
|
|
|
|
|
|
|
|
| ||
|
Geokinetics Holdings USA Inc. |
|
9.750% |
|
12/15/14 |
|
1,750,000 |
|
1,111,250 |
| ||
|
Oil, Gas & Consumable Fuels — 0.7% |
|
|
|
|
|
|
|
|
| ||
|
Stallion Oilfield Holdings Ltd., Senior Secured Notes |
|
10.500% |
|
2/15/15 |
|
799,000 |
|
858,925 |
| ||
|
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes |
|
7.875% |
|
10/15/18 |
|
392,000 |
|
415,520 |
| ||
|
Total Oil, Gas & Consumable Fuels |
|
|
|
|
|
|
|
1,274,445 |
| ||
|
TOTAL ENERGY |
|
|
|
|
|
|
|
2,385,695 |
| ||
|
HEALTH CARE — 1.0% |
|
|
|
|
|
|
|
|
| ||
|
Health Care Providers & Services — 0.4% |
|
|
|
|
|
|
|
|
| ||
|
Select Medical Holdings Corp., Senior Notes |
|
6.267% |
|
9/15/15 |
|
1,000,000 |
|
845,000 |
(d) | ||
|
Pharmaceuticals — 0.6% |
|
|
|
|
|
|
|
|
| ||
|
Catalent Pharma Solutions Inc., Senior Notes |
|
9.500% |
|
4/15/15 |
|
1,000,000 |
|
1,032,500 |
(e) | ||
|
TOTAL HEALTH CARE |
|
|
|
|
|
|
|
1,877,500 |
| ||
|
INDUSTRIALS — 0.6% |
|
|
|
|
|
|
|
|
| ||
|
Machinery — 0.6% |
|
|
|
|
|
|
|
|
| ||
|
Briggs & Stratton Corp. |
|
6.875% |
|
12/15/20 |
|
1,050,000 |
|
1,081,500 |
| ||
|
MATERIALS — 0.1% |
|
|
|
|
|
|
|
|
| ||
|
Chemicals — 0.1% |
|
|
|
|
|
|
|
|
| ||
|
Omnova Solutions Inc., Senior Notes |
|
7.875% |
|
11/1/18 |
|
188,000 |
|
163,560 |
(c) | ||
|
TELECOMMUNICATION SERVICES — 1.8% |
|
|
|
|
|
|
|
|
| ||
|
Diversified Telecommunication Services — 1.8% |
|
|
|
|
|
|
|
|
| ||
|
Intelsat Jackson Holdings SA, Senior Notes |
|
7.250% |
|
10/15/20 |
|
500,000 |
|
508,750 |
| ||
|
Qwest Corp., Senior Notes |
|
3.796% |
|
6/15/13 |
|
2,659,000 |
|
2,679,775 |
(d) | ||
|
TOTAL TELECOMMUNICATION SERVICES |
|
|
|
|
|
|
|
3,188,525 |
| ||
|
UTILITIES — 0.8% |
|
|
|
|
|
|
|
|
| ||
|
Independent Power Producers & Energy Traders — 0.8% |
|
|
|
|
|
|
|
| |||
|
NRG Energy Inc., Senior Notes |
|
7.625% |
|
1/15/18 |
|
1,500,000 |
|
1,507,500 |
| ||
|
TOTAL CORPORATE BONDS & NOTES (Cost — $14,541,058) |
|
|
|
|
|
13,830,430 |
| ||||
See Notes to Schedule of Investments.
LMP CORPORATE LOAN FUND INC.
Schedule of investments (unaudited) (cont’d)
December 31, 2011
|
SECURITY |
|
|
|
|
|
SHARES |
|
VALUE |
| ||||
|
COMMON STOCKS — 0.5% |
|
|
|
|
|
|
|
|
| ||||
|
CONSUMER DISCRETIONARY — 0.1% |
|
|
|
|
|
|
|
|
| ||||
|
Automobiles — 0.1% |
|
|
|
|
|
|
|
|
| ||||
|
Mark IV LLC - Class A Shares |
|
|
|
|
|
4,912 |
|
$ |
194,024 |
*(f) | |||
|
Textiles, Apparel & Luxury Goods— 0.0% |
|
|
|
|
|
|
|
|
| ||||
|
Comfort Co. Inc. |
|
|
|
|
|
3,664 |
|
0 |
*(f)(g)(h) | ||||
|
TOTAL CONSUMER DISCRETIONARY |
|
|
|
|
|
|
|
194,024 |
| ||||
|
ENERGY — 0.4% |
|
|
|
|
|
|
|
|
| ||||
|
Oil, Gas & Consumable Fuels— 0.4% |
|
|
|
|
| ||||||||
|
SemGroup Corp., Class A Shares |
|
24,938 |
|
649,884 |
* | ||||||||
|
TOTAL COMMON STOCKS (Cost — $687,306) |
|
|
|
843,908 |
| ||||||||
|
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost — $182,681,497) |
|
179,573,126 |
| ||||||||||
|
|
|
|
|
|
|
|
|
|
| ||||
|
|
|
RATE |
|
MATURITY |
|
FACE |
|
|
| ||||
|
SHORT-TERM INVESTMENTS — 1.3% |
|
|
|
|
|
|
|
|
| ||||
|
U.S. Government Agencies — 1.3% |
|
|
|
|
|
|
|
|
| ||||
|
Federal Home Loan Bank (FHLB), Discount Notes (Cost - $2,356,000) |
|
0.001% |
|
1/3/12 |
|
$ |
2,356,000 |
|
2,356,000 |
(i) | |||
|
TOTAL INVESTMENTS — 100.0% (Cost — $185,037,497#) |
|
|
|
|
|
$ |
181,929,126 |
| |||||
|
* |
Non-income producing security. | |
|
(a) |
Interest rates disclosed represent the effective rates on collateralized and uncollateralized senior loans. Ranges in interest rates are attributable to multiple contracts under the same loan. | |
|
(b) |
All or a portion of this loan is unfunded as of December 31, 2011. The interest rate for fully unfunded term loans is to be determined. | |
|
(c) |
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. | |
|
(d) |
Variable rate security. Interest rate disclosed is as of the most recent information available. | |
|
(e) |
Payment-in-kind security for which part of the income earned may be paid as additional principal. | |
|
(f) |
Security is valued in good faith in accordance with procedures approved by the Board of Directors (See Note 1). | |
|
(g) |
Value is less than $1. | |
|
(h) |
Illiquid security. | |
|
(i) |
Rate shown represents yield-to-maturity. | |
|
# |
Aggregate cost for federal income tax purposes is substantially the same. | |
|
|
| |
|
Abbreviations used in this schedule: | ||
|
|
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 Fund’s 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. The valuations for fixed income securities are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of fair valuation techniques and methodologies. Short-term fixed income securities that will mature in 60 days or less are valued at amortized cost, unless it is determined that using this method would not reflect an investment’s fair value. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the manager to be unreliable, the market price may be determined by the manager using quotations from one or more broker/dealers. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved by the Fund’s Board of Directors.
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 Fund’s investments, and requires additional disclosure about fair value. The hierarchy of inputs is summarized below.
· Level 1—quoted prices in active markets for identical investments
· Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, 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 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 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 discount estimated future cash flows to present value.
The following is a summary of the inputs used in valuing the Fund’s assets carried at fair value:
|
ASSETS | |||||||||||||
|
|
|
|
|
|
|
|
|
|
| ||||
|
|
|
QUOTED |
|
OTHER |
|
SIGNIFICANT |
|
|
| ||||
|
DESCRIPTION |
|
(LEVEL 1) |
|
(LEVEL 2) |
|
(LEVEL 3) |
|
TOTAL |
| ||||
|
Long-term investments†: |
|
|
|
|
|
|
|
|
| ||||
|
Collateralized senior loans |
|
— |
|
$ |
163,533,679 |
|
— |
|
$ |
163,533,679 |
| ||
|
Uncollateralized senior loans |
|
— |
|
1,365,109 |
|
— |
|
1,365,109 |
| ||||
|
Corporate bonds & notes |
|
— |
|
13,830,430 |
|
— |
|
13,830,430 |
| ||||
|
Common stocks: |
|
|
|
|
|
|
|
|
| ||||
|
Consumer discretionary |
|
— |
|
— |
|
$ |
194,024 |
|
194,024 |
| |||
|
Energy |
|
$ |
649,884 |
|
— |
|
— |
|
649,884 |
| |||
|
Total long-term investments |
|
$ |
649,884 |
|
$ |
178,729,218 |
|
$ |
194,024 |
|
$ |
179,573,126 |
|
|
Short-term investments† |
|
— |
|
2,356,000 |
|
— |
|
2,356,000 |
| ||||
|
Total investments |
|
$ |
649,884 |
|
$ |
181,085,218 |
|
$ |
194,024 |
|
$ |
181,929,126 |
|
Notes to Schedule of Investments (unaudited) (continued)
†See Schedule of Investments for additional detailed categorizations.
The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value:
|
|
|
COMMON STOCKS |
| |
|
INVESTMENTS IN SECURITIES |
|
CONSUMER |
| |
|
Balance as of September 30, 2011 |
|
$ |
216,128 |
|
|
Accrued premiums/discounts |
|
— |
| |
|
Realized gain (loss) |
|
— |
| |
|
Change in unrealized appreciation (depreciation)(1) |
|
(22,104 |
) | |
|
Purchases |
|
— |
| |
|
Sales |
|
— |
| |
|
Transfers into Level 3 |
|
— |
| |
|
Transfers out of Level 3 |
|
— |
| |
|
Balance as of December 31, 2011 |
|
$ |
194,024 |
|
|
Net change in unrealized appreciation (depreciation) for investments in securities still held at December 31, 2011(1) |
|
$ |
(22,104 |
) |
The Fund’s policy is to recognize transfers between levels as of the end of the reporting period.
(1) 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) Senior loans. The Senior Loans generally are arranged through private negotiations between a borrower and several financial institutions (“Lenders”) represented in each case by one or more such Lenders acting as agent of the Lenders. On behalf of the Lenders, the agent will be primarily responsible for negotiating the loan agreement that establishes the relative terms and conditions of the Senior Loan and rights of the borrower and the Lenders. Also, an agent typically administers the terms of the loan agreement and is responsible for the monitoring of collateral and collection of principal and interest and fee payments from the borrower and the apportionment of these payments to the credit of all investors which are parties to the loan agreement. The Fund may act as one of the group of Lenders in a Senior Loan, and purchase assignments and participations in Senior Loans from third parties. Senior Loans are subject to credit risks, including the risk of nonpayment of scheduled interest or loan payments.
The Fund assumes the credit risk of the borrower, the lender that is selling the participation and any other persons interpositioned between the Fund and the borrower. In the event of the insolvency of the lender selling the participation, the Fund may be treated as a general creditor of the lender and may not benefit from any off-set between the lender and the borrower.
(c) Security transactions. Security transactions are accounted for on a trade date basis.
2. Investments
At December 31, 2011, the aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes were substantially as follows:
|
Gross unrealized appreciation |
|
$ |
1,683,825 |
|
|
Gross unrealized depreciation |
|
(4,792,196 |
) | |
|
Net unrealized depreciation |
|
$ |
(3,108,371 |
) |
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 entity’s derivative and hedging activities.
During the period ended December 31, 2011, the Fund did not invest in any derivative instruments.
4. Recent accounting pronouncement
In May 2011, the Financial Accounting Standards Board issued Accounting Standard Update No. 2011-04, Fair Value Measurement (Topic 820) - Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs (“ASU No. 2011-04”). ASU No. 2011-04 establishes common requirements for measuring fair value and for disclosing information about fair value measurements. ASU No. 2011-04 is effective during interim and annual periods beginning after December 15, 2011. Management is currently evaluating the impact the adoption of ASU No. 2011-04 will have on the Fund’s financial statements and related disclosures.
ITEM 2. CONTROLS AND PROCEDURES.
(a) The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s 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 registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are likely to materially affect the registrant’s 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: February 27, 2012
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: February 27, 2012
|
By |
/s/ Richard F. Sennett |
|
|
|
|
Richard F. Sennett |
|
|
|
|
Principal Financial Officer |
|
|
Date: February 27, 2012