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 | |||||||
|
| ||||||||
|
LMP Corporate Loan Fund Inc. | ||||||||
|
(Exact name of registrant as specified in charter) | ||||||||
|
| ||||||||
|
620 Eighth Avenue, 49th Floor, New York, NY |
|
10018 | ||||||
|
(Address of principal executive offices) |
|
(Zip code) | ||||||
|
| ||||||||
|
Robert I. Frenkel, Esq. Legg Mason & Co., LLC 100 First Stamford Place Stamford, CT 06902 | ||||||||
|
(Name and address of agent for service) | ||||||||
|
| ||||||||
|
Registrant’s telephone number, including area code: |
(888)777-0102 |
| ||||||
|
| ||||||||
|
Date of fiscal year end: |
September 30 |
| ||||||
|
| ||||||||
|
Date of reporting period: |
June 30, 2012 |
| ||||||
ITEM 1. SCHEDULE OF INVESTMENTS.
LMP Corporate Loan Fund Inc.
FORM N-Q
June 30, 2012
LMP CORPORATE LOAN FUND INC.
Schedule of investments (unaudited)
June 30, 2012
|
SECURITY |
|
RATE |
|
MATURITY |
|
FACE |
|
VALUE |
| ||
|
COLLATERALIZED SENIOR LOANS (a) — 139.0% |
|
|
|
|
|
|
|
|
| ||
|
Aerospace/Defense — 2.2% |
|
|
|
|
|
|
|
|
| ||
|
DigitalGlobe Inc., Term Loan B |
|
5.750% |
|
10/7/18 |
|
$ |
1,194,000 |
|
$ |
1,181,755 |
|
|
Transdigm Inc., New Term Loan B |
|
4.000% |
|
2/14/17 |
|
1,517,173 |
|
1,518,437 |
| ||
|
Total Aerospace/Defense |
|
|
|
|
|
|
|
2,700,192 |
| ||
|
Air Transport — 1.0% |
|
|
|
|
|
|
|
|
| ||
|
United Airlines Inc., Term Loan B |
|
2.250% |
|
2/3/14 |
|
1,283,531 |
|
1,247,031 |
| ||
|
Automotive — 4.5% |
|
|
|
|
|
|
|
|
| ||
|
Autoparts Holdings Ltd., First Lien Term Loan |
|
6.500% |
|
7/28/17 |
|
198,500 |
|
191,925 |
| ||
|
Autoparts Holdings Ltd., Second Lien Term Loan |
|
10.500% |
|
1/29/18 |
|
900,000 |
|
792,000 |
| ||
|
HHI Holdings LLC, New Term Loan B |
|
7.000 - 7.750% |
|
3/21/17 |
|
687,201 |
|
690,637 |
| ||
|
KAR Auction Services Inc., Term Loan B |
|
5.000% |
|
5/19/17 |
|
997,710 |
|
1,000,703 |
| ||
|
Metaldyne Co. LLC, New Term Loan B |
|
5.250% |
|
5/18/17 |
|
2,061,940 |
|
2,046,475 |
| ||
|
Schaeffler AG, Term Loan C2 |
|
6.000% |
|
1/27/17 |
|
880,000 |
|
881,369 |
| ||
|
Total Automotive |
|
|
|
|
|
|
|
5,603,109 |
| ||
|
Beverage and Tobacco — 0.3% |
|
|
|
|
|
|
|
|
| ||
|
B&G Foods Inc., Term Loan B |
|
4.500% |
|
11/30/18 |
|
423,560 |
|
425,148 |
| ||
|
Broadcast Radio and Television — 4.8% |
|
|
|
|
|
|
|
|
| ||
|
Acosta Inc., Incremental Term Loan |
|
— |
|
3/1/18 |
|
977,011 |
|
980,675 |
(b) | ||
|
Cumulus Media Inc., First Lien Term Loan |
|
5.750% |
|
9/17/18 |
|
901,501 |
|
901,501 |
| ||
|
Encompass Digital Media Inc., New Term Loan B |
|
8.000% |
|
2/9/18 |
|
656,355 |
|
655,535 |
| ||
|
LIN Television Corp., Term Loan B |
|
5.000% |
|
12/21/18 |
|
551,187 |
|
552,565 |
| ||
|
Mood Media Corp., Second Lien Term Loan |
|
10.250% |
|
11/6/18 |
|
675,000 |
|
659,812 |
| ||
|
Univision Communications Inc., Extended Term Loan |
|
4.495% |
|
3/31/17 |
|
678,798 |
|
641,253 |
| ||
|
Weather Channel, New Term Loan B |
|
4.250% |
|
2/13/17 |
|
1,509,257 |
|
1,510,200 |
| ||
|
Total Broadcast Radio and Television |
|
|
|
|
|
|
|
5,901,541 |
| ||
|
Building and Development — 1.0% |
|
|
|
|
|
|
|
|
| ||
|
CPG International Inc., New Term Loan B |
|
6.000% |
|
2/18/17 |
|
487,047 |
|
472,435 |
| ||
|
Panolam Industries International Inc., Extended First Lien Term Loan |
|
8.250% |
|
12/31/13 |
|
845,949 |
|
837,490 |
| ||
|
Total Building and Development |
|
|
|
|
|
|
|
1,309,925 |
| ||
|
Business Equipment and Services — 19.5% |
|
|
|
|
|
|
|
|
| ||
|
Affinion Group Inc., New Term Loan B |
|
5.000% |
|
10/10/16 |
|
1,636,689 |
|
1,494,502 |
| ||
|
AlixPartners LLP, 2nd Lien Term Loan |
|
— |
|
11/29/19 |
|
1,500,000 |
|
1,475,625 |
(b) | ||
|
Altegrity Inc., Term Loan |
|
2.994% |
|
2/21/15 |
|
776,528 |
|
735,760 |
| ||
|
AMN Healthcare Inc., New Term Loan B |
|
6.000% |
|
4/5/18 |
|
733,575 |
|
738,618 |
| ||
|
Attachmate Corp., New 1st Lien Term Loan |
|
7.250% |
|
11/22/17 |
|
680,000 |
|
672,860 |
| ||
|
Belfor USA Group Inc., Term Loan B |
|
4.500% |
|
4/7/17 |
|
1,759,660 |
|
1,750,862 |
| ||
|
Blue Coat Systems Inc., 2nd Lien Term Loan |
|
11.500% |
|
8/15/18 |
|
1,300,000 |
|
1,313,000 |
| ||
|
Bright Horizons Family Solutions Inc., Term Loan B |
|
4.250 - 6.250% |
|
5/28/15 |
|
1,454,404 |
|
1,445,314 |
| ||
|
Dealer Computer Services Inc., New Term Loan B |
|
3.750% |
|
4/20/18 |
|
1,004,856 |
|
1,000,460 |
| ||
|
Deluxe Entertainment Services Group Inc., Term Loan |
|
8.000% |
|
7/3/17 |
|
973,684 |
|
961,513 |
| ||
|
Expert Global Solutions Inc., Term Loan B |
|
8.000% |
|
4/3/18 |
|
897,750 |
|
894,383 |
| ||
|
InfoGroup Inc., New Term Loan |
|
5.750% |
|
5/25/18 |
|
1,326,131 |
|
1,160,365 |
| ||
|
International Lease Finance Corp., First Lien Term Loan |
|
5.000% |
|
6/30/17 |
|
715,000 |
|
719,469 |
| ||
|
Intralinks Inc., Term Loan |
|
5.750% |
|
6/15/14 |
|
604,148 |
|
604,148 |
| ||
|
Kronos Inc., First Lien Tranche B1 Term Loan |
|
5.220% |
|
6/9/17 |
|
748,008 |
|
750,337 |
| ||
|
Kronos Inc., Tranche C Term Loan |
|
6.250% |
|
12/28/17 |
|
836,362 |
|
838,966 |
| ||
|
Lawson Software Inc., Term Loan B |
|
6.250% |
|
4/5/18 |
|
1,150,000 |
|
1,157,257 |
| ||
|
Misys PLC, Term Loan B |
|
— |
|
12/20/19 |
|
905,000 |
|
888,258 |
(b) | ||
See Notes to Schedule of Investments.
LMP CORPORATE LOAN FUND INC.
Schedule of investments (unaudited) (cont’d)
June 30, 2012
|
SECURITY |
|
RATE |
|
MATURITY |
|
FACE |
|
VALUE |
| ||
|
Business Equipment and Services — continued |
|
|
|
|
|
|
|
|
| ||
|
Sabre Inc., Extended Term Loan |
|
5.995% |
|
9/29/17 |
|
$ |
1,537,647 |
|
$ |
1,472,938 |
|
|
SNL Financial LLC, Term Loan B |
|
8.500% |
|
8/17/18 |
|
1,275,313 |
|
1,272,124 |
| ||
|
SS&C Technologies Inc., Term Loan B-1 |
|
5.000% |
|
6/7/19 |
|
820,156 |
|
817,850 |
| ||
|
SS&C Technologies Inc., Term Loan B-2 |
|
5.000% |
|
6/7/19 |
|
84,844 |
|
84,605 |
| ||
|
Synverse Technologies Inc., New Term Loan |
|
5.000% |
|
4/23/19 |
|
1,225,000 |
|
1,218,875 |
| ||
|
Web.com Group Inc., Term Loan B |
|
7.000% |
|
10/27/17 |
|
740,775 |
|
739,843 |
| ||
|
Total Business Equipment and Services |
|
|
|
|
|
|
|
24,207,932 |
| ||
|
Cable and Satellite Television — 2.5% |
|
|
|
|
|
|
|
|
| ||
|
Bragg Communications Inc., Term Loan B |
|
4.000% |
|
2/28/18 |
|
798,000 |
|
796,005 |
| ||
|
Kabel Deutschland GMBH, Term Loan F |
|
4.250% |
|
2/1/19 |
|
1,000,000 |
|
991,458 |
| ||
|
Telesat LLC, Term Loan B |
|
4.250% |
|
3/28/19 |
|
1,358,289 |
|
1,346,404 |
| ||
|
Total Cable and Satellite Television |
|
|
|
|
|
|
|
3,133,867 |
| ||
|
Chemicals/Plastics — 8.5% |
|
|
|
|
|
|
|
|
| ||
|
General Chemical Corp., New Term Loan |
|
5.000 - 5.750% |
|
10/6/15 |
|
617,658 |
|
615,149 |
| ||
|
Huish Detergents Inc., Second Lien Term Loan |
|
4.500% |
|
10/26/14 |
|
1,675,000 |
|
1,509,594 |
| ||
|
Ineos US Finance LLC, 6 Year Term Loan |
|
6.500% |
|
5/4/18 |
|
1,197,000 |
|
1,173,658 |
| ||
|
Kik Custom Products Inc., Canadian Term Loan |
|
2.490% |
|
6/2/14 |
|
91,379 |
|
83,041 |
| ||
|
Kik Custom Products Inc., First Lien Term Loan |
|
2.490% |
|
6/2/14 |
|
531,409 |
|
482,918 |
| ||
|
Kik Custom Products Inc., Second Lien Term Loan |
|
5.240% |
|
11/28/14 |
|
1,583,334 |
|
1,075,084 |
| ||
|
Kronos Worldwide Inc., Term Loan B |
|
— |
|
6/13/18 |
|
500,000 |
|
500,625 |
(b) | ||
|
Momentive Specialty Chemicals Inc., Extended Term Loan C-4B |
|
4.250% |
|
5/5/15 |
|
774,873 |
|
740,003 |
| ||
|
Omnova Solutions Inc., Term Loan B |
|
5.750% |
|
5/31/17 |
|
664,580 |
|
666,657 |
| ||
|
PolyOne Corp., Term Loan |
|
5.000% |
|
12/20/17 |
|
206,817 |
|
207,463 |
| ||
|
Rockwood Specialties Group Inc., New Term Loan B |
|
3.500% |
|
2/9/18 |
|
902,953 |
|
904,435 |
| ||
|
Styron S.A.R.L LLC, New Term Loan B |
|
6.000 - 6.750% |
|
8/2/17 |
|
1,510,286 |
|
1,419,039 |
| ||
|
TricorBraun Inc., New Term Loan B |
|
5.500% |
|
5/3/18 |
|
550,000 |
|
550,458 |
| ||
|
Tronox Inc., Term Loan B |
|
4.250% |
|
2/8/18 |
|
685,000 |
|
674,083 |
| ||
|
Total Chemicals/Plastics |
|
|
|
|
|
|
|
10,602,207 |
| ||
|
Consumer Products — 0.8% |
|
|
|
|
|
|
|
|
| ||
|
Wolverine Worldwide Inc., Term Loan B |
|
— |
|
6/26/19 |
|
1,000,000 |
|
1,003,125 |
(b) | ||
|
Containers and Glass Products — 2.8% |
|
|
|
|
|
|
|
|
| ||
|
Berry Plastics Corp., Term Loan C |
|
2.245% |
|
4/3/15 |
|
984,416 |
|
951,191 |
| ||
|
Exopack LLC, Term Loan B |
|
6.500% |
|
5/31/17 |
|
845,729 |
|
848,900 |
| ||
|
Reynolds Group Holdings Inc., Tranche B Term Loan |
|
6.500% |
|
2/9/18 |
|
1,156,212 |
|
1,165,205 |
| ||
|
Reynolds Group Holdings Inc., Tranche C Term Loan |
|
6.500% |
|
8/9/18 |
|
490,897 |
|
494,716 |
| ||
|
Total Containers and Glass Products |
|
|
|
|
|
|
|
3,460,012 |
| ||
|
Cosmetics/Personal Care — 0.7% |
|
|
|
|
|
|
|
|
| ||
|
VI-Jon, Term Loan B |
|
2.495% |
|
4/24/14 |
|
893,307 |
|
817,376 |
| ||
|
Drugs — 5.0% |
|
|
|
|
|
|
|
|
| ||
|
Aptalis Pharma Inc., Term Loan B |
|
5.500% |
|
2/10/17 |
|
1,235,469 |
|
1,201,494 |
| ||
|
Capsugel Holdings US Inc., Term Loan |
|
5.250% |
|
8/1/18 |
|
1,155,178 |
|
1,159,149 |
| ||
|
Catalent Pharma Solutions, Extended Term Loan B |
|
4.245% |
|
9/15/16 |
|
683,536 |
|
678,196 |
| ||
|
Catalent Pharma Solutions, Incremental Term Loan |
|
5.250% |
|
9/15/17 |
|
199,500 |
|
199,749 |
| ||
|
Grifols Inc., New Term Loan B |
|
4.500% |
|
6/1/17 |
|
1,853,808 |
|
1,840,098 |
| ||
|
Valeant Pharmaceuticals International, Add-on Term Loan B |
|
4.750% |
|
2/13/19 |
|
1,197,000 |
|
1,178,147 |
| ||
|
Total Drugs |
|
|
|
|
|
|
|
6,256,833 |
| ||
See Notes to Schedule of Investments.
LMP CORPORATE LOAN FUND INC.
Schedule of investments (unaudited) (cont’d)
June 30, 2012
|
SECURITY |
|
RATE |
|
MATURITY |
|
FACE |
|
VALUE |
| ||
|
Ecological Services and Equipment — 1.3% |
|
|
|
|
|
|
|
|
| ||
|
Waste Industries U.S.A. Inc., Term Loan B |
|
4.750% |
|
3/17/17 |
|
$ |
1,581,723 |
|
$ |
1,579,746 |
|
|
Electronics/Electric — 6.6% |
|
|
|
|
|
|
|
|
| ||
|
Blackboard Inc., Term Loan B |
|
7.500% |
|
10/4/18 |
|
932,813 |
|
900,164 |
| ||
|
CDW LLC, Non-Extended Term Loan |
|
3.741% |
|
10/10/14 |
|
1,273,483 |
|
1,263,927 |
| ||
|
Eagle Parent Inc., New Term Loan |
|
5.000% |
|
5/16/18 |
|
1,049,380 |
|
1,036,262 |
| ||
|
Nxp B.V., Term Loan A2 |
|
5.500% |
|
3/3/17 |
|
1,414,129 |
|
1,415,897 |
| ||
|
Sungard Data Systems Inc., Incremental Term Loan |
|
3.745% |
|
2/28/14 |
|
71,399 |
|
71,280 |
| ||
|
Vantiv LLC, Term Loan B |
|
3.750% |
|
2/27/19 |
|
833,799 |
|
832,757 |
| ||
|
Vertafore Inc., Second Lien Term Loan |
|
9.750% |
|
10/27/17 |
|
800,000 |
|
796,000 |
| ||
|
Vertafore Inc., Term Loan |
|
5.250% |
|
7/29/16 |
|
1,822,261 |
|
1,816,567 |
| ||
|
Total Electronics/Electric |
|
|
|
|
|
|
|
8,132,854 |
| ||
|
Equipment Leasing — 0.5% |
|
|
|
|
|
|
|
|
| ||
|
AWAS Finance Luxembourg 2012 SA, New Term Loan |
|
— |
|
7/16/18 |
|
578,313 |
|
578,554 |
(b) | ||
|
Financial Intermediaries — 3.6% |
|
|
|
|
|
|
|
|
| ||
|
First Data Corp., Non-Extended Term Loan B1 |
|
2.995% |
|
9/24/14 |
|
2,023,313 |
|
1,945,543 |
| ||
|
Moneygram International Inc., Term Loan B |
|
4.250% |
|
11/20/17 |
|
1,050,000 |
|
1,038,187 |
| ||
|
Residential Capital LLC, DIP Term Loan A1 |
|
— |
|
11/14/13 |
|
500,000 |
|
501,094 |
(b) | ||
|
US FT Holdco Inc., Term Loan B |
|
7.500% |
|
11/30/17 |
|
1,002,350 |
|
1,006,109 |
| ||
|
Total Financial Intermediaries |
|
|
|
|
|
|
|
4,490,933 |
| ||
|
Food Products — 2.8% |
|
|
|
|
|
|
|
|
| ||
|
Del Monte Foods Co., Term Loan |
|
4.500% |
|
3/8/18 |
|
1,057,511 |
|
1,042,970 |
| ||
|
Ferrara Candy Co., Term Loan |
|
— |
|
6/8/18 |
|
500,000 |
|
498,125 |
(b) | ||
|
Michael Foods Group Inc., Term Loan |
|
4.250% |
|
2/23/18 |
|
1,898,615 |
|
1,895,055 |
| ||
|
Total Food Products |
|
|
|
|
|
|
|
3,436,150 |
| ||
|
Food Service — 4.5% |
|
|
|
|
|
|
|
|
| ||
|
Burger King Corp., New Term Loan B |
|
4.500% |
|
10/19/16 |
|
1,615,145 |
|
1,610,427 |
| ||
|
DineEquity Inc., New Term Loan B |
|
4.250% |
|
10/19/17 |
|
903,547 |
|
900,536 |
| ||
|
Dunkin’ Brands Inc., New Term Loan B2 |
|
4.000% |
|
11/23/17 |
|
1,974,437 |
|
1,950,366 |
| ||
|
OSI Restaurant Partners LLC, Revolver |
|
0.061% |
|
6/14/13 |
|
24,546 |
|
24,173 |
| ||
|
OSI Restaurant Partners LLC, Term Loan B |
|
2.563% |
|
6/14/14 |
|
247,392 |
|
243,630 |
| ||
|
Weight Watchers International Inc., Term Loan F |
|
3.750% |
|
3/15/19 |
|
914,782 |
|
896,029 |
| ||
|
Total Food Service |
|
|
|
|
|
|
|
5,625,161 |
| ||
|
Food/Drug Retailers — 2.1% |
|
|
|
|
|
|
|
|
| ||
|
BJ’s Wholesale Club Inc., Hybrid Term Loan B |
|
5.250% |
|
9/28/18 |
|
746,250 |
|
749,282 |
| ||
|
General Nutrition Centers Inc., New Term Loan B |
|
4.250% |
|
3/2/18 |
|
1,126,736 |
|
1,124,623 |
| ||
|
Roundy’s Supermarkets Inc., Term Loan B |
|
5.750% |
|
2/13/19 |
|
698,250 |
|
700,287 |
| ||
|
Total Food/Drug Retailers |
|
|
|
|
|
|
|
2,574,192 |
| ||
|
Forest Products — 1.8% |
|
|
|
|
|
|
|
|
| ||
|
Cenveo Corp., Term Loan B |
|
6.625% |
|
12/21/16 |
|
869,409 |
|
868,322 |
| ||
|
Clarke American Corp., Term Loan B |
|
2.745 - 2.961% |
|
6/30/14 |
|
1,559,679 |
|
1,403,711 |
| ||
|
Total Forest Products |
|
|
|
|
|
|
|
2,272,033 |
| ||
|
Healthcare — 17.0% |
|
|
|
|
|
|
|
|
| ||
|
Ardent Medical Services Inc., Add on Term Loan B |
|
6.500% |
|
9/15/15 |
|
432,664 |
|
431,582 |
| ||
|
Ardent Medical Services Inc., First Lien Term Loan |
|
6.500% |
|
9/15/15 |
|
1,125,587 |
|
1,122,773 |
| ||
|
Biomet Inc., Term Loan B |
|
3.245 - 3.468% |
|
3/25/15 |
|
1,822,125 |
|
1,800,234 |
| ||
|
CareStream Health Inc., Term Loan B |
|
5.000% |
|
2/25/17 |
|
2,319,823 |
|
2,225,870 |
| ||
|
CHG Companies Inc., New Term Loan B |
|
5.250% |
|
10/7/16 |
|
966,252 |
|
963,232 |
| ||
|
CHG Companies Inc., Second Lien Term Loan |
|
11.250% |
|
4/5/17 |
|
425,000 |
|
427,125 |
| ||
See Notes to Schedule of Investments.
LMP CORPORATE LOAN FUND INC.
Schedule of investments (unaudited) (cont’d)
June 30, 2012
|
SECURITY |
|
RATE |
|
MATURITY |
|
FACE |
|
VALUE |
| ||
|
Healthcare — continued |
|
|
|
|
|
|
|
|
| ||
|
Community Health Systems Inc., Extended Term Loan |
|
3.961 - 3.967% |
|
1/25/17 |
|
$ |
739,118 |
|
$ |
728,204 |
|
|
DaVita Inc., New Term Loan B |
|
4.500% |
|
10/20/16 |
|
1,043,054 |
|
1,048,269 |
| ||
|
DJO Finance LLC, Extended Term Loan B2 |
|
5.245% |
|
11/1/16 |
|
817,519 |
|
815,986 |
| ||
|
DJO Finance LLC, Term Loan B3 |
|
6.250% |
|
9/15/17 |
|
498,750 |
|
495,321 |
| ||
|
HCA Inc., Extended Term Loan B3 |
|
3.495% |
|
5/1/18 |
|
2,231,309 |
|
2,170,995 |
| ||
|
Health Management Associates Inc., New Term Loan B |
|
4.500% |
|
11/16/18 |
|
1,346,458 |
|
1,337,201 |
| ||
|
Iasis Healthcare LLC, Term Loan |
|
5.000% |
|
5/3/18 |
|
1,484,962 |
|
1,462,688 |
| ||
|
Kinetic Concepts Inc., Term Loan B |
|
7.000% |
|
5/4/18 |
|
298,500 |
|
301,187 |
| ||
|
Kinetic Concepts Inc., Term Loan B2 |
|
6.500% |
|
11/4/16 |
|
696,500 |
|
701,507 |
| ||
|
MedAssets Inc., New Term Loan |
|
5.250% |
|
11/16/16 |
|
263,178 |
|
263,836 |
| ||
|
Select Medical Corp., New Term Loan B |
|
5.500 - 6.000% |
|
6/1/18 |
|
1,259,530 |
|
1,225,943 |
| ||
|
Sheridan Healthcare Inc., 2nd Lien Term Loan |
|
— |
|
6/20/20 |
|
1,000,000 |
|
990,000 |
(b) | ||
|
Sheridan Healthcare Inc., Term Loan B |
|
— |
|
6/29/18 |
|
500,000 |
|
495,000 |
(b) | ||
|
Universal Health Services Inc., New Term Loan B |
|
3.750% |
|
11/15/16 |
|
1,671,822 |
|
1,651,621 |
| ||
|
Vanguard Health Holding Co. II LLC, Term Loan B |
|
5.000% |
|
1/29/16 |
|
378,102 |
|
377,787 |
| ||
|
Total Healthcare |
|
|
|
|
|
|
|
21,036,361 |
| ||
|
Home Furnishings — 0.4% |
|
|
|
|
|
|
|
|
| ||
|
Sleep Innovations Inc., Second Lien PIK Term Loan |
|
11.500% |
|
3/5/15 |
|
303,460 |
|
455,190 |
| ||
|
Hotels/Motels/Inns and Casinos — 2.9% |
|
|
|
|
|
|
|
|
| ||
|
Ameristar Casinos Inc., Term Loan B |
|
4.000% |
|
4/16/18 |
|
1,845,170 |
|
1,847,477 |
| ||
|
Kalispel Tribal Economic Authority, Term Loan B |
|
7.500% |
|
2/24/17 |
|
752,427 |
|
739,259 |
| ||
|
Pinnacle Entertainment Inc., Series A Incremental Term Loan |
|
4.000% |
|
3/19/19 |
|
997,500 |
|
996,097 |
| ||
|
Total Hotels/Motels/Inns and Casinos |
|
|
|
|
|
|
|
3,582,833 |
| ||
|
Industrial Equipment — 6.8% |
|
|
|
|
|
|
|
|
| ||
|
Brock Holdings III Inc., New Second Lien Term Loan |
|
10.000% |
|
3/16/18 |
|
400,000 |
|
396,000 |
| ||
|
Brock Holdings III Inc., New Term Loan B |
|
6.000 - 6.750% |
|
3/16/17 |
|
469,245 |
|
469,820 |
| ||
|
Colfax Corp., Term Loan B |
|
4.500% |
|
1/11/19 |
|
814,546 |
|
814,886 |
| ||
|
Goodman Global Inc., First Lien Term Loan |
|
5.750% |
|
10/28/16 |
|
807,415 |
|
808,626 |
| ||
|
Goodman Global Inc., Second Lien Term Loan |
|
9.000% |
|
10/30/17 |
|
253,441 |
|
257,559 |
| ||
|
Rexnord Corp., Term Loan B |
|
5.000% |
|
4/2/18 |
|
1,761,361 |
|
1,772,735 |
| ||
|
Sensata Technologies Finance Co. LLC, Term Loan |
|
4.000% |
|
5/11/18 |
|
1,471,009 |
|
1,463,195 |
| ||
|
TriMas Corp., New Term Loan B |
|
4.250% |
|
6/21/17 |
|
837,157 |
|
837,157 |
| ||
|
Veyance Technologies Inc., Delayed Draw Term Loan |
|
2.500% |
|
7/31/14 |
|
209,430 |
|
203,670 |
| ||
|
Veyance Technologies Inc., Initial Term Loan |
|
2.500% |
|
7/31/14 |
|
1,462,171 |
|
1,421,962 |
| ||
|
Total Industrial Equipment |
|
|
|
|
|
|
|
8,445,610 |
| ||
|
Insurance — 2.8% |
|
|
|
|
|
|
|
|
| ||
|
Asurion Corp., New First Lien Term Loan |
|
5.500% |
|
5/24/18 |
|
713,551 |
|
712,102 |
| ||
|
Asurion Corp., New Second Lien Term Loan |
|
9.000% |
|
5/24/19 |
|
1,435,000 |
|
1,471,772 |
| ||
|
Multiplan Inc., New Term Loan B |
|
4.750% |
|
8/26/17 |
|
1,305,488 |
|
1,289,169 |
| ||
|
Total Insurance |
|
|
|
|
|
|
|
3,473,043 |
| ||
|
Leisure — 2.9% |
|
|
|
|
|
|
|
|
| ||
|
Cedar Fair L.P., New Term Loan B |
|
4.000% |
|
12/15/17 |
|
701,132 |
|
700,541 |
| ||
|
CKX Inc., Term Loan B |
|
9.000% |
|
6/21/17 |
|
300,000 |
|
247,500 |
| ||
|
Lodgenet Entertainment Corp., Term Loan |
|
6.500% |
|
4/4/14 |
|
1,095,712 |
|
871,091 |
| ||
|
Zuffa, Incremental Term Loan |
|
7.500% |
|
6/19/15 |
|
366,263 |
|
368,095 |
| ||
See Notes to Schedule of Investments.
LMP CORPORATE LOAN FUND INC.
Schedule of investments (unaudited) (cont’d)
June 30, 2012
|
SECURITY |
|
RATE |
|
MATURITY |
|
FACE |
|
VALUE |
| ||
|
Leisure — continued |
|
|
|
|
|
|
|
|
| ||
|
Zuffa, Term Loan B |
|
2.250% |
|
6/19/15 |
|
$ |
1,483,730 |
|
$ |
1,439,218 |
|
|
Total Leisure |
|
|
|
|
|
|
|
3,626,445 |
| ||
|
Natural Resources/Mining — 0.3% |
|
|
|
|
|
|
|
|
| ||
|
WireCo WorldGroup Inc., New Term Loan |
|
— |
|
2/15/17 |
|
325,926 |
|
322,667 |
(b)(c) | ||
|
Nonferrous Metals/Materials — 3.1% |
|
|
|
|
|
|
|
|
| ||
|
JMC Steel Group Inc., Term Loan |
|
4.750% |
|
4/3/17 |
|
1,603,649 |
|
1,605,614 |
| ||
|
Novelis Inc., Term Loan |
|
— |
|
3/10/17 |
|
1,500,000 |
|
1,474,687 |
(b) | ||
|
Walter Energy Inc., Term Loan B |
|
4.000% |
|
4/2/18 |
|
754,348 |
|
740,204 |
| ||
|
Total Nonferrous Metals/Materials |
|
|
|
|
|
|
|
3,820,505 |
| ||
|
Oil & Gas — 4.6% |
|
|
|
|
|
|
|
|
| ||
|
Alon USA Energy Inc., Edgington Term Loan |
|
2.495% |
|
8/2/13 |
|
305,528 |
|
296,363 |
| ||
|
Alon USA Energy Inc., Paramount Term Loan |
|
2.495% |
|
8/2/13 |
|
2,444,255 |
|
2,370,927 |
| ||
|
Energy Transfer Equity LP, New Term Loan B |
|
3.750% |
|
3/24/17 |
|
1,812,406 |
|
1,777,776 |
| ||
|
Gibson Energy, Term Loan B |
|
4.750% |
|
6/15/18 |
|
1,220,651 |
|
1,222,177 |
| ||
|
Total Oil & Gas |
|
|
|
|
|
|
|
5,667,243 |
| ||
|
Publishing — 3.0% |
|
|
|
|
|
|
|
|
| ||
|
EMI Music Publishing Ltd., Term Loan B |
|
— |
|
11/14/17 |
|
950,802 |
|
952,882 |
(b) | ||
|
Getty Images Inc., Term Loan |
|
5.250 - 6.000% |
|
11/7/16 |
|
1,110,339 |
|
1,112,938 |
| ||
|
Lamar Media Corp., Term Loan B |
|
4.000% |
|
12/30/16 |
|
930,531 |
|
933,246 |
| ||
|
Quad/Graphics Inc., New Term Loan B |
|
4.000% |
|
7/26/18 |
|
749,577 |
|
742,550 |
| ||
|
Total Publishing |
|
|
|
|
|
|
|
3,741,616 |
| ||
|
Retailers — 9.3% |
|
|
|
|
|
|
|
|
| ||
|
99 Cents Only Stores, Term Loan B |
|
5.250% |
|
1/11/19 |
|
695,794 |
|
696,663 |
| ||
|
Bass Pro Group LLC, Term Loan |
|
5.250% |
|
6/13/17 |
|
1,434,111 |
|
1,437,696 |
| ||
|
Container Store Inc., New Term Loan B |
|
6.250% |
|
4/5/19 |
|
1,371,563 |
|
1,373,277 |
| ||
|
J Crew Group Inc., New Term Loan B |
|
4.750% |
|
3/7/18 |
|
600,737 |
|
592,690 |
| ||
|
Lord & Taylor Holdings LLC, Term Loan B |
|
5.750% |
|
1/11/19 |
|
615,149 |
|
616,302 |
| ||
|
Michaels Stores Inc., Extended Term Loan B3 |
|
5.000% |
|
7/29/16 |
|
1,519,350 |
|
1,516,501 |
| ||
|
Neiman Marcus Group Inc., Extended Term Loan |
|
4.750% |
|
5/16/18 |
|
1,570,000 |
|
1,555,600 |
| ||
|
Petco Animal Supplies Inc., New Term Loan |
|
4.500% |
|
11/24/17 |
|
1,470,000 |
|
1,460,445 |
| ||
|
Savers Inc., Term Loan B |
|
— |
|
6/27/19 |
|
1,000,000 |
|
990,000 |
(b) | ||
|
Toys ‘R’ Us-Delaware Inc., Incremental Term Loan B2 |
|
5.250% |
|
5/25/18 |
|
1,485,000 |
|
1,352,587 |
| ||
|
Total Retailers |
|
|
|
|
|
|
|
11,591,761 |
| ||
|
Steel — 1.3% |
|
|
|
|
|
|
|
|
| ||
|
SunCoke Energy Inc., Term Loan B |
|
4.000% |
|
7/26/18 |
|
1,122,096 |
|
1,122,096 |
| ||
|
Tube City IMS Corp., Term Loan |
|
5.750% |
|
3/20/19 |
|
475,401 |
|
477,630 |
| ||
|
Total Steel |
|
|
|
|
|
|
|
1,599,726 |
| ||
|
Telecommunications/Cellular Communications — 5.7% |
|
|
|
|
|
|
| ||||
|
Alaska Communications Systems Holdings Inc., Term Loan B |
|
5.500% |
|
10/21/16 |
|
1,131,172 |
|
1,015,227 |
| ||
|
Entercom Radio LLC, Term Loan B |
|
6.250% |
|
11/23/18 |
|
765,252 |
|
768,759 |
| ||
|
Intelsat Jackson Holdings S.A., Tranche B Term Loan |
|
5.250% |
|
4/2/18 |
|
1,482,519 |
|
1,477,878 |
| ||
|
MetroPCS Wireless Inc., Incremental Term Loan B3 |
|
4.000% |
|
3/16/18 |
|
287,361 |
|
281,460 |
| ||
|
MetroPCS Wireless Inc., Tranche B2 |
|
4.071% |
|
11/3/16 |
|
1,717,827 |
|
1,693,850 |
| ||
|
nTelos Inc., New Term Loan B |
|
4.000% |
|
8/7/15 |
|
794,486 |
|
787,866 |
| ||
|
Zayo Bandwidth LLC, Term Loan B |
|
— |
|
7/5/19 |
|
1,000,000 |
|
1,003,750 |
(b) | ||
|
Total Telecommunications/Cellular Communications |
|
|
|
|
|
7,028,790 |
| ||||
See Notes to Schedule of Investments.
LMP CORPORATE LOAN FUND INC.
Schedule of investments (unaudited) (cont’d)
June 30, 2012
|
SECURITY |
|
RATE |
|
MATURITY |
|
FACE |
|
VALUE |
| ||
|
Transportation — 1.1% |
|
|
|
|
|
|
|
|
| ||
|
Emergency Medical Services Corp., Term Loan |
|
5.250% |
|
5/25/18 |
|
$ |
1,328,716 |
|
$ |
1,317,921 |
|
|
Utilities — 1.0% |
|
|
|
|
|
|
|
|
| ||
|
Covanta Energy Corp., New Term Loan |
|
4.000% |
|
3/23/19 |
|
474,213 |
|
474,805 |
| ||
|
TPF Generation Holdings LLC, Second Lien Term Loan C |
|
4.711% |
|
12/15/14 |
|
682,224 |
|
668,580 |
| ||
|
TPF Generation Holdings LLC, Synthetic Letter of Credit |
|
2.461% |
|
12/13/13 |
|
48,343 |
|
48,162 |
| ||
|
Total Utilities |
|
|
|
|
|
|
|
1,191,547 |
| ||
|
TOTAL COLLATERALIZED SENIOR LOANS (Cost — $172,392,127) |
|
|
|
172,259,179 |
| ||||||
|
UNCOLLATERALIZED SENIOR LOANS (a) — 1.1% |
|
|
|
|
|
|
|
|
| ||
|
Clothing/Textiles — 1.1% |
|
|
|
|
|
|
|
|
| ||
|
Levi Strauss & Co., Term Loan (Cost - $1,206,530) |
|
2.489% |
|
3/27/14 |
|
1,398,319 |
|
1,377,344 |
| ||
|
CORPORATE BONDS & NOTES — 9.7% |
|
|
|
|
|
|
|
|
| ||
|
CONSUMER DISCRETIONARY — 2.2% |
|
|
|
|
|
|
|
|
| ||
|
Media — 2.2% |
|
|
|
|
|
|
|
|
| ||
|
Carmike Cinemas Inc., Secured Notes |
|
7.375% |
|
5/15/19 |
|
500,000 |
|
520,000 |
| ||
|
Cequel Communications Holdings I LLC and Cequel Capital Corp., Senior Notes |
|
8.625% |
|
11/15/17 |
|
1,000,000 |
|
1,082,500 |
(d) | ||
|
National CineMedia LLC, Senior Notes |
|
7.875% |
|
7/15/21 |
|
1,000,000 |
|
1,065,000 |
| ||
|
TOTAL CONSUMER DISCRETIONARY |
|
|
|
|
|
|
|
2,667,500 |
| ||
|
ENERGY — 1.7% |
|
|
|
|
|
|
|
|
| ||
|
Energy Equipment & Services — 0.8% |
|
|
|
|
|
|
|
|
| ||
|
Geokinetics Holdings USA Inc. |
|
9.750% |
|
12/15/14 |
|
1,750,000 |
|
988,750 |
| ||
|
Oil, Gas & Consumable Fuels — 0.9% |
|
|
|
|
|
|
|
|
| ||
|
Stallion Oilfield Holdings Ltd., Senior Secured Notes |
|
10.500% |
|
2/15/15 |
|
684,000 |
|
728,460 |
| ||
|
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes |
|
7.875% |
|
10/15/18 |
|
392,000 |
|
425,320 |
| ||
|
Total Oil, Gas & Consumable Fuels |
|
|
|
|
|
|
|
1,153,780 |
| ||
|
TOTAL ENERGY |
|
|
|
|
|
|
|
2,142,530 |
| ||
|
HEALTH CARE — 1.6% |
|
|
|
|
|
|
|
|
| ||
|
Health Care Providers & Services — 0.8% |
|
|
|
|
|
|
|
|
| ||
|
Select Medical Holdings Corp., Senior Notes |
|
6.494% |
|
9/15/15 |
|
1,000,000 |
|
975,000 |
(e) | ||
|
Pharmaceuticals — 0.8% |
|
|
|
|
|
|
|
|
| ||
|
Catalent Pharma Solutions Inc., Senior Notes |
|
9.500% |
|
4/15/15 |
|
992,000 |
|
1,020,520 |
| ||
|
TOTAL HEALTH CARE |
|
|
|
|
|
|
|
1,995,520 |
| ||
|
INDUSTRIALS — 1.6% |
|
|
|
|
|
|
|
|
| ||
|
Commercial Services & Supplies — 0.7% |
|
|
|
|
|
|
|
|
| ||
|
Cenveo Corp., Secured Notes |
|
8.875% |
|
2/1/18 |
|
960,000 |
|
864,000 |
| ||
|
Machinery — 0.9% |
|
|
|
|
|
|
|
|
| ||
|
Briggs & Stratton Corp. |
|
6.875% |
|
12/15/20 |
|
1,050,000 |
|
1,128,750 |
| ||
|
TOTAL INDUSTRIALS |
|
|
|
|
|
|
|
1,992,750 |
| ||
|
MATERIALS — 0.9% |
|
|
|
|
|
|
|
|
| ||
|
Chemicals — 0.1% |
|
|
|
|
|
|
|
|
| ||
|
Omnova Solutions Inc., Senior Notes |
|
7.875% |
|
11/1/18 |
|
188,000 |
|
189,410 |
(d) | ||
|
Containers & Packaging — 0.8% |
|
|
|
|
|
|
|
|
| ||
|
Berry Plastics Corp. |
|
4.343% |
|
4/3/15 |
|
1,000,000 |
|
985,000 |
(e) | ||
|
TOTAL MATERIALS |
|
|
|
|
|
|
|
1,174,410 |
| ||
See Notes to Schedule of Investments.
LMP CORPORATE LOAN FUND INC.
Schedule of investments (unaudited) (cont’d)
June 30, 2012
|
SECURITY |
|
RATE |
|
MATURITY |
|
FACE |
|
VALUE |
| ||
|
TELECOMMUNICATION SERVICES — 0.4% |
|
|
|
|
|
|
|
|
| ||
|
Diversified Telecommunication Services — 0.4% |
|
|
|
|
|
|
| ||||
|
Intelsat Jackson Holdings SA, Senior Notes |
|
7.250 |
% |
10/15/20 |
|
$ |
500,000 |
|
$ |
527,500 |
|
|
UTILITIES — 1.3% |
|
|
|
|
|
|
|
|
| ||
|
Independent Power Producers & Energy Traders — 1.3% |
|
|
|
|
|
|
| ||||
|
NRG Energy Inc., Senior Notes |
|
7.625 |
% |
1/15/18 |
|
1,500,000 |
|
1,560,000 |
| ||
|
TOTAL CORPORATE BONDS & NOTES (Cost — $12,422,904) |
|
|
|
|
|
12,060,210 |
| ||||
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
SHARES |
|
|
| ||
|
COMMON STOCKS — 0.8% |
|
|
|
|
|
|
|
|
| ||
|
CONSUMER DISCRETIONARY — 0.1% |
|
|
|
|
|
|
|
|
| ||
|
Automobiles — 0.1% |
|
|
|
|
|
|
|
|
| ||
|
Mark IV LLC - Class A Shares |
|
|
|
|
|
4,745 |
|
162,516 |
*(c) | ||
|
Mark IV LLC - Class A Shares |
|
|
|
|
|
167 |
|
5,720 |
*(c) | ||
|
Total Automobiles |
|
|
|
|
|
|
|
168,236 |
| ||
|
Textiles, Apparel & Luxury Goods— 0.0% |
|
|
|
|
|
|
|
|
| ||
|
Comfort Co. Inc. |
|
|
|
|
|
3,664 |
|
0 |
*(c)(f)(g) | ||
|
TOTAL CONSUMER DISCRETIONARY |
|
|
|
|
|
|
|
168,236 |
| ||
|
ENERGY — 0.7% |
|
|
|
|
|
|
|
|
| ||
|
Oil, Gas & Consumable Fuels — 0.7% |
|
|
|
|
|
|
|
|
| ||
|
SemGroup Corp., Class A Shares |
|
|
|
|
|
24,938 |
|
796,270 |
* | ||
|
TOTAL COMMON STOCKS (Cost — $687,306) |
|
|
|
|
|
964,506 |
| ||||
|
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost — $186,708,867) |
|
186,661,239 |
| ||||||||
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
FACE |
|
|
| ||
|
SHORT-TERM INVESTMENTS— 11.1% |
|
|
|
|
|
|
|
|
| ||
|
U.S. Government Agencies — 11.1% |
|
|
|
|
|
|
|
|
| ||
|
Federal Home Loan Bank (FHLB), Discount Notes (Cost - $13,749,000) |
0.001 |
% |
7/2/12 |
|
$ |
13,749,000 |
|
13,749,000 |
(h) | ||
|
TOTAL INVESTMENTS — 161.7% (Cost — $200,457,867#) |
|
|
|
|
|
200,410,239 |
| ||||
|
Auction Rate Cumulative Preferred Stock, at Liquidation Value —(28.2)% |
|
|
|
(35,000,000 |
) | ||||||
|
Liabilities in Excess of Other Assets — (33.5)% |
|
|
|
|
|
|
|
(41,442,092 |
) | ||
|
TOTAL NET ASSETS — 100.0% |
|
|
|
|
|
|
|
$ |
123,968,147 |
| |
|
* |
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 June 30, 2012. The interest rate for fully unfunded term loans is to be determined. |
|
(c) |
Security is valued in good faith in accordance with procedures approved by the Board of Directors (See Note 1). |
|
(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 as of the most recent information available. |
|
(f) |
Illiquid security. |
|
(g) |
Value is less than $1. |
|
(h) |
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 (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services’ internal models use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. 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 or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. 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 Board of Directors is responsible for the valuation process and has delegated the supervision of the daily valuation process to the Legg Mason North American Fund Valuation Committee (the “Valuation Committee”). The Valuation Committee, pursuant to the policies adopted by the Board of Directors, is responsible for making fair value determinations, evaluating the effectiveness of the Fund’s pricing policies, and reporting to the Board of Directors. When determining the reliability of third party pricing information for investments owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of pricing vendors, monitors the daily change in prices and reviews transactions among market participants.
The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making fair value determinations. Examples of possible methodologies include, but are not limited to, multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or a multiple thereof; risk premium/yield analysis; yield to maturity; and/or fundamental investment analysis. The Valuation Committee will also consider factors it deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to, the type of security; the issuer’s financial statements; the purchase price of the security; the discount from market value of unrestricted securities of the same class at the time of purchase; analysts’ research and observations from financial institutions; information regarding any transactions or offers with respect to the security; the existence of merger proposals or tender offers affecting the security; the price and extent of public trading in similar securities of the issuer or comparable companies; and the existence of a shelf registration for restricted securities.
For each portfolio security that has been fair valued pursuant to the policies adopted by the Board of Directors, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such back testing monthly and fair valuation occurrences are reported to the Board of Directors quarterly.
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.
GAAP establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed 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.)
Notes to schedule of investments (unaudited) (continued)
· Level 3—significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
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 |
|
— |
|
$ |
172,259,179 |
|
— |
|
$ |
172,259,179 |
| ||
|
Uncollateralized senior loans |
|
— |
|
1,377,344 |
|
— |
|
1,377,344 |
| ||||
|
Corporate bonds & notes |
|
— |
|
12,060,210 |
|
— |
|
12,060,210 |
| ||||
|
Common stocks: |
|
|
|
|
|
|
|
|
| ||||
|
Consumer discretionary |
|
— |
|
168,236 |
|
$ |
0* |
|
168,236 |
| |||
|
Energy |
|
$ |
796,270 |
|
— |
|
— |
|
796,270 |
| |||
|
Total long-term investments |
|
$ |
796,270 |
|
$ |
185,864,969 |
|
$ |
0* |
|
$ |
186,661,239 |
|
|
Short-term investments† |
|
— |
|
13,749,000 |
|
— |
|
13,749,000 |
| ||||
|
Total investments |
|
$ |
796,270 |
|
$ |
199,613,969 |
|
$ |
0* |
|
$ |
200,410,239 |
|
†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 |
| |
|
INVESTMENTS IN SECURITIES |
|
CONSUMER |
| |
|
Balance as of September 30, 2011 |
|
$ |
216,128 |
|
|
Accrued premiums/discounts |
|
— |
| |
|
Realized gain (loss) |
|
— |
| |
|
Change in unrealized appreciation (depreciation)(1) |
|
(47,892 |
) | |
|
Purchases |
|
— |
| |
|
Sales |
|
— |
| |
|
Transfers into Level 3 |
|
— |
| |
|
Transfers out of Level 3(2) |
|
(168,236 |
) | |
|
Balance as of June 30, 2012 |
|
$ |
0 |
* |
|
Net change in unrealized appreciation (depreciation) for investments in securities still held at June 30, 2012 |
|
— |
| |
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.
(2) Transferred out of Level 3 as a result of the availability of a quoted price in an active market for an identical investment or the availability of other significant observable inputs.
(b) Senior loans. 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
Notes to schedule of investments (unaudited) (continued)
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 June 30, 2012, the aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes were substantially as follows:
|
Gross unrealized appreciation |
|
$2,766,588 |
|
|
Gross unrealized depreciation |
|
(2,814,216 |
) |
|
Net unrealized depreciation |
|
$(47,628 |
) |
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 June 30, 2012, the Fund did not invest in any derivative instruments.
4. Recent accounting pronouncement
In May 2011, the Financial Accounting Standards Board issued Accounting Standards 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 has evaluated ASU No. 2011-04 and concluded that it does not materially impact the financial statement amounts; however, as required, additional disclosure has been included about fair value measurement.
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 registrant’s last fiscal quarter 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: August 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: August 27, 2012
|
By |
/s/ Richard F. Sennett |
|
|
|
Richard F. Sennett |
|
|
|
Principal Financial Officer |
|
Date: August 27, 2012