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
Citigroup Investments Corporate Loan Fund Inc.
(Exact name of registrant as specified in charter)
125 Broad Street, New York, NY 10004
(Address of principal executive offices) (Zip code)
Robert I. Frenkel, Esq.
Legg Mason & Co., LLC
300 First Stamford Place
Stamford, CT 06902
(Name and address of agent for service)
Registrant’s telephone number, including area code: 1-800-451-2010
Date of fiscal year end: September 30
Date of reporting period: June 30, 2006
| ITEM 1. | SCHEDULE OF INVESTMENTS |
[INSERT Schedule of Investments]
Citigroup Investments Corporate Loan Fund Inc.
FORM N-Q
JUNE 30, 2006
CITIGROUP INVESTMENTS CORPORATE LOAN FUND INC.
| Schedule of Investments (unaudited) | June 30, 2006 |
| |
FACE AMOUNT |
SECURITY(A)(B) |
|
VALUE(C) | ||
| SENIOR COLLATERALIZED LOANS - 99.8% | ||||||
| Aerospace/Defense - 2.0% | ||||||
| $ | 1,367,506 | CACI International Inc., Term Loan, 6.650% to 6.790% due 9/11/06 |
$ | 1,371,779 | ||
| 1,361,731 | ILC Industries Inc., First Lien Term Loan, 7.479% due 7/3/06 |
1,365,135 | ||||
| 1,331,392 | Standard Aero Holdings Inc., Term Loan, 7.600% to 7.682% due 8/31/06 |
1,328,895 | ||||
| 849,257 | Transdigm Inc., Term Loan B, 7.449% due 9/25/06 |
852,044 | ||||
| Total Aerospace/Defense |
4,917,853 | |||||
| Air Transport - 1.3% | ||||||
| 3,000,000 | Delta Air Lines Inc., Term Loan B, 10.023% due 11/6/06 |
3,071,718 | ||||
| Automotive - 3.0% | ||||||
| Hertz Corp.: |
||||||
| 319,366 | Synthetic Letter of Credit, 5.424% due 9/21/06 |
320,640 | ||||
| 2,170,002 | Term Loan, 7.260% to 7.410% due 8/7/06 |
2,178,661 | ||||
| Keystone Automotive Industries Inc.: |
||||||
| 381,376 | Term Loan B, 7.752% to 9.750% due 9/29/06 |
381,376 | ||||
| 1,033,705 | Term Loan C, 7.990% to 9.750% due 9/29/06 |
1,033,705 | ||||
| 2,860,430 | Tire Rack Inc., Term Loan B, 6.860% to 7.250% due 9/29/06 |
2,860,430 | ||||
| 482,400 | United Components Inc., Term Loan D, 7.410% due 8/10/06 |
483,606 | ||||
| Total Automotive |
7,258,418 | |||||
| Beverage and Tobacco - 1.5% | ||||||
| 2,383,333 | Commonwealth Brands Inc., Term Loan, 7.438% due 7/31/06 |
2,397,038 | ||||
| 1,288,636 | Mafco Worldwide Corp., Term Loan B, 7.270% to 7.420% due 9/19/06 |
1,290,247 | ||||
| Total Beverage and Tobacco |
3,687,285 | |||||
| Broadcast Radio and Television - 0.8% | ||||||
| 739,286 | CMP Susquehanna Corp., Term Loan B, 7.250% to 7.375% due 11/9/06 |
740,210 | ||||
| 1,288,207 | Sun Media Corp., Term Loan B, 6.876% due 7/31/06 |
1,288,206 | ||||
| Total Broadcast Radio and Television |
2,028,416 | |||||
| Building and Development - 9.5% | ||||||
| 1,749,914 | Capital Automotive REIT, Term Loan, 6.860% due 7/3/06 |
1,748,547 | ||||
| 2,493,750 | Contech Construction Products Inc., Term Loan, 6.800% to 9.250% due 9/29/06 |
2,499,206 | ||||
| Custom Building Products Inc.: |
||||||
| 1,000,000 | Second Lien Term Loan, 10.618% due 12/29/06 |
1,006,250 | ||||
| 1,298,289 | Term Loan B, 7.749% due 9/29/06 |
1,306,674 | ||||
| 4,000,000 | General Growth Properties Inc., Term Loan A, 6.560% due 7/24/06 |
3,958,000 | ||||
| 1,419,724 | Landsource Communities Development LLC, Term Loan B, 7.688% due 7/12/06 |
1,425,048 | ||||
| 1,258,934 | Lion Gables Realty, L.P., Term Loan, 6.860% to 6.900% due 7/10/06 |
1,260,770 | ||||
| Masonite International Corp.: |
||||||
| 797,720 | Canadian Term Loan, 7.108% to 7.499% due 9/29/06 |
791,430 | ||||
| 799,079 | Term Loan, 7.108% to 7.499% due 9/29/06 |
792,779 | ||||
| 1,586,583 | Panolam Industries International, Term Loan, 8.249% due 9/29/06 |
1,610,382 | ||||
| Pike Electric Inc.: |
||||||
| 315,676 | Term Loan B, 6.688% due 7/5/06 |
316,070 | ||||
| 359,213 | Term Loan C, 6.688% due 7/12/06 |
359,662 | ||||
| 2,500,000 | Shea Capital I LLC, Term Loan, 7.150% due 7/31/06 |
2,490,625 | ||||
| 2,500,000 | South Edge LLC, Term Loan C, 7.375% due 7/31/06 |
2,511,457 | ||||
| 1,129,108 | Trizec Properties Inc., Bridge Loan, 6.650% due 7/17/06 |
1,129,021 | ||||
| Total Building and Development |
23,205,921 | |||||
| Business Equipment and Services - 7.5% | ||||||
| 950,150 | Buhrmann U.S. Inc., Term Loan D-1, 6.880% to 7.146% due 9/18/06 |
953,416 | ||||
| 404,604 | Coinstar Inc., Term Loan, 7.030% due 7/10/06 |
407,132 | ||||
See Notes to Schedule of Investments.
1
CITIGROUP INVESTMENTS CORPORATE LOAN FUND INC.
| Schedule of Investments (unaudited) (continued) | June 30, 2006 |
| |
FACE AMOUNT |
SECURITY(A)(B) |
|
VALUE(C) | ||
| Business Equipment and Services - 7.5% (continued) | ||||||
| $ | 2,242,417 | Deluxe Inc., First Lien Term Loan, 9.249% due 9/29/06 |
$ | 2,269,046 | ||
| 1,184,767 | Education Management Corp., Term Loan B, 7.625% due 7/3/06 |
1,191,616 | ||||
| 2,493,641 | Fidelity National Information Solutions Inc., Term Loan B, 6.920% due 7/11/06 |
2,495,296 | ||||
| 1,687,736 | Global Cash Access LLC, Term Loan, 7.100% due 7/31/06 |
1,697,758 | ||||
| 804,436 | Ipayment Inc., Term Loan, 7.420% to 7.750% due 9/29/06 |
804,435 | ||||
| 425,927 | MAXIM Crane Works, L.P., Term Loan, 7.313% to 9.250% due 9/29/06 |
426,991 | ||||
| Nasdaq Stock Market Inc.: |
||||||
| 2,210,102 | Term Loan B, 6.971% to 7.249% due 10/18/06 |
2,210,930 | ||||
| 1,281,148 | Term Loan C, 6.830% to 7.249% due 11/16/06 |
1,281,629 | ||||
| 416,373 | N.E.W. Holdings I LLC, First Lien Term Loan, 7.750% to 8.375% due 7/31/06 |
418,455 | ||||
| 997,500 | Panavision Inc., First Lien Term Loan, 8.126% to 8.227% due 8/31/06 |
1,005,605 | ||||
| 2,487,500 | Sedgewick CMS, Term Loan B, 7.350% to 7.499% due 9/29/06 |
2,482,319 | ||||
| 682,009 | Verifone Inc., Term Loan B, 6.876% due 7/31/06 |
682,862 | ||||
| Total Business Equipment and Services |
18,327,490 | |||||
| Cable and Satellite Television - 4.7% | ||||||
| 1,638,797 | Bragg Communications Inc., New Term Loan B, 7.227% due 8/31/06 |
1,642,894 | ||||
| 2,500,000 | Century Cable Holdings LLC, Discretionary Term Loan, 10.250% due 9/1/06 |
2,393,750 | ||||
| 806,451 | Cequel Communications LLC, First Lien Term Loan, 7.379% due 7/7/06 |
802,851 | ||||
| 3,900,000 | Insight Midwest Holdings LLC, Term Loan C, 7.375% due 7/31/06 |
3,906,502 | ||||
| Wideopenwest Finance LLC: |
||||||
| 750,000 | Second Lien Term Loan, 10.231% due 9/1/06 |
755,250 | ||||
| 2,000,000 | Term Loan B, 7.359% to 7.481% due 9/1/06 |
2,004,822 | ||||
| Total Cable and Satellite Television |
11,506,069 | |||||
| Chemicals/Plastics - 7.7% | ||||||
| Basell Finance Co.: |
||||||
| 833,333 | Term Loan B2, 7.727% due 8/31/06 |
845,486 | ||||
| 166,667 | Term Loan B4, 7.727% due 8/31/06 |
169,097 | ||||
| 833,333 | Term Loan C2, 8.227% due 8/31/06 |
845,486 | ||||
| 166,667 | Term Loan C4, 8.227% due 8/31/06 |
169,097 | ||||
| 742,187 | Berry Plastics Corp., Term Loan, 7.100% due 7/31/06 |
742,496 | ||||
| 2,725,488 | Celanese AG, Dollar Term Loan, 7.499% due 9/29/06 |
2,735,028 | ||||
| 1,000,000 | Columbian Chemicals Co., Term Loan B, 7.250% due 9/29/06 |
1,000,000 | ||||
| 2,500,000 | Covalence Specialty Materials Corp., Term Loan B, 7.313% due 7/26/06 |
2,498,438 | ||||
| 1,236,204 | Hercules Inc., Term Loan B, 6.528% to 6.999% due 9/29/06 |
1,240,531 | ||||
| 2,493,750 | ISP Chemco, Term Loan, 6.938% due 8/16/06 |
2,496,421 | ||||
| 643,548 | Kraton Polymers LLC, Term Loan, 7.375% due 7/31/06 |
643,548 | ||||
| 2,722,500 | Rockwood Specialties Group Inc., Tranche E Term Loan, 7.126% due 7/31/06 |
2,731,196 | ||||
| Texas Petrochemicals Corp.: |
||||||
| 297,240 | Letter of Credit, 5.384% due 8/15/06 |
297,240 | ||||
| 891,719 | Term Loan B, 9.750% due 9/29/06 |
891,719 | ||||
| 1,478,629 | Unifrax Corp., Term Loan B, 7.625% due 7/31/06 |
1,481,864 | ||||
| Total Chemicals/Plastics |
18,787,647 | |||||
| Clothing/Textiles - 0.6% | ||||||
| National Bedding Co.: |
||||||
| 495,000 | First Lien Term Loan, 7.260% to 9.250% due 9/29/06 |
497,351 | ||||
| 500,000 | Second Lien Term Loan, 10.252% due 7/19/06 |
508,438 | ||||
| 571,788 | William Carter Co., Term Loan B, 6.626% to 6.758% due 10/31/06 |
571,431 | ||||
| Total Clothing/Textiles |
1,577,220 | |||||
| Conglomerates - 0.6% | ||||||
| Mark IV Industries Inc.: |
||||||
See Notes to Schedule of Investments.
2
CITIGROUP INVESTMENTS CORPORATE LOAN FUND INC.
| Schedule of Investments (unaudited) (continued) | June 30, 2006 |
| FACE AMOUNT |
SECURITY(A)(B) |
VALUE(C) | |||
| Conglomerates - 0.6% (continued) | |||||
| $250,000 | Second Lien Term Loan, 13.000% due 9/29/06 |
$ | 254,896 | ||
| 500,000 | Tranche B Term Loan, 7.810% to 8.060% due 12/27/06 |
503,646 | |||
| 760,254 | TriMas Corp., Term Loan B, 8.875% due 7/18/06 |
767,144 | |||
| Total Conglomerates |
1,525,686 | ||||
| Containers and Glass Products - 2.0% | |||||
| 2,000,000 | Crown Americas LLC, Term Loan B, 6.949% due 9/25/06 |
2,002,500 | |||
| 2,759,131 | Graphic Packaging International Inc., Term Loan C, 7.190% to 7.880% due 12/8/06 |
2,785,983 | |||
| Total Containers and Glass Products |
4,788,483 | ||||
| Drugs - 1.0% | |||||
| 2,552,358 | Leiner Health Products Group Inc., Term Loan B, 8.610% due 9/29/06 |
2,565,120 | |||
| Ecological Services and Equipment - 0.8% | |||||
| 1,997,443 | IESI Corp., Term Loan, 6.818% to 6.939% due 8/22/06 |
2,001,188 | |||
| Electronics/Electric - 1.1% | |||||
| 2,000,000 | Aspect Software, First Lien Term Loan, 7.938% due 9/22/06 |
2,003,750 | |||
| Bridge Information Systems Inc.: |
|||||
| 497,238 | Multi-Draw Term Loan, 11.000% due 9/29/06 (d) |
37,293 | |||
| 922,171 | Term Loan B, 11.250% due 9/29/06 (d) |
69,164 | |||
| 468,750 | Serena Software Inc., Term Loan B, 7.410% due 10/10/06 |
468,867 | |||
| Total Electronics/Electric |
2,579,074 | ||||
| Equipment Leasing - 0.1% | |||||
| 233,197 | Kinetic Concepts Inc., Term Loan B-2, 7.250% due 9/29/06 |
234,994 | |||
| Food Products - 3.0% | |||||
| American Seafoods Group LLC: |
|||||
| 829,599 | Delayed Draw Term Loan B-2, 7.250% due 9/29/06 |
828,562 | |||
| 1,054,692 | Term Loan B1, 7.250% due 9/29/06 |
1,053,373 | |||
| 222,515 | Del Monte Corp., Term Loan, 6.654% due 7/28/06 |
223,433 | |||
| Dole Food Company Inc.: |
|||||
| 47,986 | Letter of Credit, 6.800% due 7/14/06 |
47,585 | |||
| 107,699 | Term Loan, 7.000% to 9.000% due 9/29/06 |
106,799 | |||
| 358,997 | Tranche C Term Loan, 7.000% to 9.000% due 9/29/06 |
355,996 | |||
| 661,731 | Keystone Foods Holdings LLC, New Term Loan, 7.125% to 7.250% due 9/29/06 |
663,937 | |||
| 2,104,859 | Michael Foods Inc., Term Loan B-1, 7.032% to 7.553% due 12/22/06 |
2,114,946 | |||
| 1,061,309 | NPC International, Term Loan B, 6.830% to 6.970% due 11/3/06 |
1,056,334 | |||
| 897,092 | Reddy Ice Group Inc., Term Loan, 6.795% due 7/12/06 |
895,971 | |||
| Total Food Products |
7,346,936 | ||||
| Food Service - 0.1% | |||||
| 340,126 | Jack In The Box Inc., Term Loan B, 6.490% to 6.740% due 9/1/06 |
341,897 | |||
| Food/Drug Retailers - 2.6% | |||||
| 750,334 | General Nutrition Centers Inc., Tranche B, 7.970% to 8.100% due 8/30/06 |
755,727 | |||
| 2,663,295 | Jean Coutu Group Inc., Term Loan B, 7.625% due 7/31/06 |
2,670,507 | |||
| 500,000 | Quiznos LLC, First Lien Term Loan, 7.750% due 9/29/06 |
499,792 | |||
| 2,332,659 | Sagittarius Brands Inc., Term Loan B, 7.750% due 9/29/06 |
2,337,032 | |||
| Total Food/Drug Retailers |
6,263,058 | ||||
| Forest Products - 1.3% | |||||
| 645,733 | Boise Cascade Corp., Term Loan D, 7.125% to 7.250% due 9/29/06 |
647,934 | |||
| Smurfit-Stone Container Corp.: |
|||||
| 261,990 | Deposit Funded Loan, 7.390% due 7/3/06 |
263,355 | |||
| 1,359,904 | Term Loan B, 7.375% to 9.500% due 9/29/06 |
1,366,987 | |||
See Notes to Schedule of Investments.
3
CITIGROUP INVESTMENTS CORPORATE LOAN FUND INC.
| Schedule of Investments (unaudited) (continued) | June 30, 2006 |
| |
FACE AMOUNT |
SECURITY(A)(B) |
|
VALUE(C) | ||
| Forest Products - 1.3% (continued) | ||||||
| $ | 636,197 | Term Loan C, 7.375% to 7.500% due 9/5/06 |
$ | 639,510 | ||
| 207,197 | Term Loan C1, 7.375% due 7/3/06 |
208,276 | ||||
| Total Forest Products |
3,126,062 | |||||
| Healthcare - 8.4% | ||||||
| 746,250 | Accellent Corp., Term Loan, 7.230% due 8/30/06 |
745,317 | ||||
| 403,385 | Alderwoods Group Inc., Term Loan B2, 6.730% to 7.302% due 7/26/06 |
404,268 | ||||
| 2,854,468 | AMN Healthcare, Term Loan B, 7.499% due 9/29/06 |
2,868,740 | ||||
| 3,157,396 | Community Health Systems Inc., Term Loan, 6.970% due 8/30/06 |
3,166,698 | ||||
| 460,384 | Conmed Corp., Institutional Term Loan, 7.030% due 7/21/06 |
462,686 | ||||
| 3,158,064 | Davita Inc., Term Loan B, 6.990% to 7.690% due 3/30/07 |
3,168,589 | ||||
| 2,257,249 | Encore Medical IHC Inc., Term Loan B, 8.150% to 8.500% due 11/9/06 |
2,272,768 | ||||
| 2,493,750 | Fresenius Medical Care Holdings Inc., Term Loan B, 6.403% to 6.874% due 9/29/06 |
2,473,294 | ||||
| 2,493,750 | Patheon Inc., Term Loan B, 7.399% due 8/1/06 |
2,506,219 | ||||
| 843,365 | Rotech Healthcare Inc., Term Loan B, 8.500% due 9/29/06 |
846,265 | ||||
| 1,577,114 | Vicar Operating Inc., Term Loan, 6.875% due 7/31/06 |
1,585,000 | ||||
| Total Healthcare |
20,499,844 | |||||
| Home Furnishings - 1.0% | ||||||
| 1,104,418 | Sealy Mattress Co., Term Loan D, 6.981% to 8.750% due 9/29/06 |
1,107,351 | ||||
| 1,417,637 | Simmons Co., Term Loan D, 7.250% to 9.500% due 12/29/06 |
1,424,946 | ||||
| Total Home Furnishings |
2,532,297 | |||||
| Hotels/Motels/Inns and Casinos - 7.5% | ||||||
| 2,516,475 | Alliance Gaming Corp., Term Loan B, 8.430% due 7/6/06 |
2,525,387 | ||||
| 1,874,422 | Ameristar Casinos Inc., Initial Term Loan, 6.727% due 8/31/06 |
1,877,057 | ||||
| 835,860 | Boyd Gaming Corp., Term Loan B, 6.610% to 6.999% due 9/29/06 |
837,932 | ||||
| 2,500,000 | Greektown Holdings LLC, Term Loan B, 7.550% due 7/12/06 |
2,518,750 | ||||
| 266,888 | Green Valley Ranch Gaming LLC, Term Loan B, 7.249% due 9/29/06 |
267,555 | ||||
| 2,481,250 | Isle of Capri Black Hawk LLC, Term Loan, 7.030% to 7.508% due 9/29/06 |
2,487,453 | ||||
| 2,481,250 | Penn National Gaming Inc, Term Loan B, 6.860% to 7.250% due 9/29/06 |
2,491,588 | ||||
| 2,484,918 | Pinnacle Entertainment Inc., Term Loan, 7.300% due 7/24/06 |
2,495,013 | ||||
| Venetian Casino Resorts LLC: |
||||||
| 512,821 | Term B Delayed Draw, 7.250% due 9/29/06 |
514,022 | ||||
| 2,487,179 | Term B Funded, 7.250% due 9/29/06 |
2,493,008 | ||||
| Total Hotels/Motels/Inns and Casinos |
18,507,765 | |||||
| Industrial Equipment - 4.7% | ||||||
| 2,183,078 | Douglas Dynamics LLC, Term Loan, 7.249% due 9/29/06 |
2,204,908 | ||||
| Electrical Components International Holding: |
||||||
| 507,757 | First Lien Term Loan, 7.670% due 8/15/06 |
510,296 | ||||
| 338,505 | Second Lien Term Loan, 11.780% due 11/15/06 |
342,736 | ||||
| 986,499 | Enersys Inc., New Term Loan, 7.030% to 7.437% due 9/22/06 |
988,966 | ||||
| 2,344,350 | Flowserve Corp., Term Loan, 7.000% to 7.250% due 9/29/06 |
2,348,380 | ||||
| 442,321 | Goodman Global Holdings Inc., Term Loan, 6.938% due 8/10/06 |
442,114 | ||||
| 643,548 | GPX International Tire Corp., Term Loan, 7.600% due 7/3/06 |
648,777 | ||||
| 2,475,481 | Norcross Safety Products LLC, Term Loan, 6.823% to 9.250% due 9/29/06 |
2,480,897 | ||||
| 603,283 | Penn Engineering & Manufacturing, Term Loan, 7.600% due 7/31/06 |
612,332 | ||||
| 993,927 | Thermal North America, Term Loan B, 7.250% due 9/29/06 |
992,685 | ||||
| Total Industrial Equipment |
11,572,091 | |||||
| Insurance - 0.5% | ||||||
| 1,128,447 | Hilb, Rogal & Hobbs Co., Term Loan, 6.999% due 12/29/06 |
1,129,387 | ||||
| Leisure - 4.9% | ||||||
| 1,217,679 | Auto Europe Group LLC, First Lien Term Loan, 8.350% due 7/31/06 |
1,223,767 | ||||
| 228,973 | Detroit Red Wings Inc., Term Loan A, 7.600% due 7/31/06 |
229,545 | ||||
See Notes to Schedule of Investments.
4
CITIGROUP INVESTMENTS CORPORATE LOAN FUND INC.
| Schedule of Investments (unaudited) (continued) | June 30, 2006 |
| FACE AMOUNT |
SECURITY(A)(B) |
VALUE(C) | ||||
| Leisure - 4.9% (continued) | ||||||
| $ | 2,974,884 | Regal Cinemas Inc., Term Loan, 7.069% to 7.249% due 9/29/06 |
$ | 2,975,559 | ||
| 1,500,000 | Southwest Sports Group LLC, Term Loan, 7.802% due 7/24/06 |
1,500,938 | ||||
| 1,961,228 | Universal City Development Partners, L.P., Term Loan B, 7.070% to 7.500% due 10/2/06 |
1,964,293 | ||||
| 516,178 | Visant Corp., Term Loan C, 7.068% due 9/29/06 |
518,974 | ||||
| 3,560,601 | Warner Music Group Acquisition Corp., Term Loan, 7.090% to 7.320% due 11/30/06 |
3,573,458 | ||||
| Total Leisure |
11,986,534 | |||||
| Non-Ferrous Metals/Materials - 2.2% | ||||||
| 1,252,644 | Compass Minerals Group Inc., Term Loan, 6.500% to 7.000% due 10/2/06 |
1,255,580 | ||||
| Longyear Holdings Inc.: |
||||||
| 250,534 | First Lien Canadian Term Loan, 8.500% due 9/29/06 |
251,630 | ||||
| 1,734,466 | First Lien Term Loan, 8.500% due 9/29/06 |
1,742,054 | ||||
| 2,166,858 | Walter Industries Inc., Term Loan B, 6.870% to 7.249% due 10/3/06 |
2,174,308 | ||||
| Total Non-Ferrous Metals/Materials |
5,423,572 | |||||
| Oil & Gas - 4.7% | ||||||
| Astoria Generating Company Acquisitions LLC: |
||||||
| 177,665 | Letter of Credit, 7.450% due 9/25/06 |
177,681 | ||||
| 753,345 | Term Loan B, 7.380% to 7.450% due 9/25/06 |
753,412 | ||||
| 500,000 | ATP Oil & Gas Corp., First Lien Term Loan, 8.160% to 8.534% due 9/29/06 |
500,000 | ||||
| 397,708 | Dresser Inc., Term Loan C, 7.850% due 7/31/06 |
403,508 | ||||
| 354,350 | LSP Generation Finance Company LLC, First Lien Term Loan, 7.249% due 9/29/06 |
353,612 | ||||
| 355,852 | Lyondell-Citgo Refining, L.P., Term Loan, 7.499% due 10/2/06 |
356,741 | ||||
| 1,995,000 | Markwest Energy Operating Company LLC, Term Loan, 7.360% to 7.596% due 7/7/06 |
1,999,987 | ||||
| 466,385 | OPTI Canada Inc., Delayed Draw Term Loan, 7.091% to 7.240% due 9/28/06 |
466,895 | ||||
| 2,523,122 | Regency Gas Services LLC, Tranche B Term Loan, 7.600% due 7/31/06 |
2,529,430 | ||||
| 874,570 | Semcrude, L.P., Term Loan, 7.502% to 9.000% due 9/29/06 |
878,396 | ||||
| Targa Resources: |
||||||
| 1,043,478 | Bridge Term Loan, 7.477% due 8/31/06 |
1,045,218 | ||||
| 378,682 | Synthetic Letter of Credit, 7.229% due 7/3/06 |
379,747 | ||||
| 1,566,006 | Term Loan B, 7.230% to 7.749% due 9/29/06 |
1,570,411 | ||||
| Total Oil & Gas |
11,415,038 | |||||
| Publishing - 2.7% | ||||||
| 270,127 | CBD Media Inc., Term Loan D, 7.760% due 7/19/06 |
272,378 | ||||
| 1,741,958 | Dex Media East LLC, Term Loan B, 6.660% to 7.000% due 9/29/06 |
1,736,757 | ||||
| 2,682,451 | Dex Media West LLC, Term Loan B, 6.670% to 7.000% due 9/12/06 |
2,673,915 | ||||
| 1,989,899 | R.H. Donnelley Inc., Term Loan D-1, 6.910% to 7.000% due 9/29/06 |
1,981,816 | ||||
| Total Publishing |
6,664,866 | |||||
| Rail Industries - 0.5% | ||||||
| RailAmerica Inc.: |
||||||
| 112,528 | Canadian Term Loan, 7.250% due 8/24/06 |
113,935 | ||||
| 1,187,074 | Term Loan, 7.250% due 8/24/06 |
1,201,913 | ||||
| Total Rail Industries |
1,315,848 | |||||
| Retailers - 2.9% | ||||||
| 417,182 | Alimentation Couche-Tard Inc., Term Loan, 7.125% due 7/24/06 |
420,485 | ||||
| 1,206,654 | Burlington Coat Factory, Term Loan B, 7.430% to 7.530% due 11/27/06 |
1,172,717 | ||||
| 748,125 | Checksmart Financial Co., Term Loan B, 8.030% to 8.140% due 12/29/06 |
749,060 | ||||
| 750,000 | J Crew Group, Term Loan B, 9.500% due 9/29/06 |
750,156 | ||||
| 2,848,101 | Neiman-Marcus Group Inc., Term Loan, 7.770% due 9/6/06 |
2,870,860 | ||||
See Notes to Schedule of Investments.
5
CITIGROUP INVESTMENTS CORPORATE LOAN FUND INC.
| Schedule of Investments (unaudited) (continued) | June 30, 2006 |
| |
FACE AMOUNT |
SECURITY(A)(B) |
|
VALUE(C) | ||
| Retailers - 2.9% (continued) | ||||||
| $ | 1,155,498 | TravelCenters of America Inc., Term Loan B, 6.860% to 7.250% due 9/29/06 |
$ | 1,157,955 | ||
| Total Retailers |
7,121,233 | |||||
| Steel - 1.9% | ||||||
| 818,329 | Techs, Term Loan, 7.730% due 7/3/06 |
819,353 | ||||
| Tube City IMS Corp.: |
||||||
| 875,000 | Second Lien Term Loan, 11.500% due 9/29/06 |
880,470 | ||||
| 3,055,163 | Tranche C First Lien Term Loan, 8.250% due 9/29/06 |
3,062,802 | ||||
| Total Steel |
4,762,625 | |||||
| Surface Transport - 0.9% | ||||||
| 2,314,735 | Transport Industries, L.P., Term Loan B, 8.000% due 9/29/06 |
2,329,203 | ||||
| Telecommunications/Cellular Communications - 4.7% | ||||||
| 995,000 | Block Communications Inc., Term Loan, 7.499% due 9/29/06 |
997,488 | ||||
| 1,915,833 | Centennial Cellular Operating Co., New Term Loan, 7.230% to 7.749% due 11/30/06 |
1,925,413 | ||||
| 1,488,750 | Cincinnati Bell Inc., Term Loan, 6.514% to 6.930% due 8/29/06 |
1,487,587 | ||||
| 849,257 | Crown Castle Operating Co., Term Loan B, 7.650% due 9/12/06 |
853,769 | ||||
| 3,000,000 | FairPoint Communications Inc., Additional Replacement Term Loan, 7.250% due 9/29/06 |
2,994,375 | ||||
| 750,000 | Madison River Capital LLC, Term Loan B, 7.260% due 7/6/06 |
752,579 | ||||
| 748,110 | Ntelos Inc., Term Loan B 1, 7.600% due 7/31/06 |
748,110 | ||||
| 1,220,000 | Qwest Corp., Term Loan A, 10.002% due 7/19/06 |
1,240,893 | ||||
| 497,500 | Time Warner Telecom Holdings Inc., Term Loan B, 7.820% to 8.000% due 11/30/06 |
500,921 | ||||
| Total Telecommunications/Cellular Communications |
11,501,135 | |||||
| Utilities - 1.1% | ||||||
| 975,532 | LSP-Kendall Energy LLC, Term Loan, 7.499% due 9/29/06 |
973,093 | ||||
| 1,353,853 | Reliant Energy Inc., Term Loan, 7.504% to 7.655% due 11/15/06 |
1,357,097 | ||||
| 449,706 | Reliant Energy Resources Corp., Term Loan, 7.465% due 7/24/06 |
450,373 | ||||
| Total Utilities |
2,780,563 | |||||
| TOTAL SENIOR COLLATERALIZED LOANS (Cost - $245,464,384) |
244,682,536 | |||||
| |
SHARES |
SECURITY |
|
VALUE | ||
| COMMON STOCK - 0.2% | ||||||
| INFORMATION TECHNOLOGY - 0.2% | ||||||
| Internet Software & Services - 0.2% | ||||||
| 17,198 | SAVVIS Inc. |
509,227 | ||||
| TOTAL INVESTMENTS - 100.0% (Cost - $245,464,384#) |
245,191,763 | |||||
| (a) | The maturity date represents the latest maturity date. |
| (b) | Interest rates represent the effective rates on loans and debt securities. Ranges in interest rates are attributable to multiple contracts under the same loan. |
| (c) | Market value is determined using current market prices which are supplied weekly by an independent third party pricing service. |
| (d) | Security is currently in default. |
| # | Aggregate cost for federal income tax purposes is substantially the same. |
See Notes to Schedule of Investments.
6
Notes to Schedule of Investments (unaudited)
1. Organization and Significant Accounting Policies
Citigroup Investments 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 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. 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. Collateralized 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” or the “Manager”), the Fund’s investment manager, a wholly-owned subsidiary of Legg Mason, Inc. (“Legg Mason”), with the assistance of the Citigroup Alternative Investments LLC (“CAI”), the Fund’s sub-adviser, 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 collateralized 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. SBFM 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 collateralized senior loans held by the Fund have or could have occurred. Short-term obligations maturing within 60 days are valued at amortized cost, which approximates value.
(b) Security Transactions. Security transactions are accounted for on a trade date basis.
2. Investments
At June 30, 2006, the aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes were substantially as follows:
| Gross unrealized appreciation |
$ | 1,423,489 | ||
| Gross unrealized depreciation |
(1,696,110 | ) | ||
| Net unrealized depreciation |
$ | (272,621 | ) | |
7
| 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.
Citigroup Investments Corporate Loan Fund Inc.
| By: |
/s/ R. JAY GERKEN | |
| R. Jay Gerken | ||
| Chief Executive Officer | ||
| Date: |
August 29, 2006 | |
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 29, 2006 | |
| By: |
/s/ KAPREL OZSOLAK | |
| Kaprel Ozsolak | ||
| Chief Financial Officer | ||
| Date: |
August 29, 2006 | |