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 811-08985
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: December 31, 2015
| ITEM 1. | SCHEDULE OF INVESTMENTS. |
LMP CORPORATE LOAN FUND INC. (TLI)
FORM N-Q
DECEMBER 31, 2015
LMP CORPORATE LOAN FUND INC.
| Schedule of investments (unaudited) | December 31, 2015 |
| SECURITY† |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| SENIOR LOANS(a)(b) - 127.9% | ||||||||||||||||
| Basic Industry - 7.0% |
||||||||||||||||
| Atlas Iron Ltd., Term Loan B |
8.750 | % | 12/10/17 | $ | 1,889,160 | $ | 566,748 | (c) | ||||||||
| Bowie Resource Holdings LLC, First Lien Term Loan |
6.750 | % | 8/14/20 | 751,661 | 732,869 | |||||||||||
| Essar Steel Algoma Inc., Term Loan |
9.000 | % | 8/9/19 | 643,500 | 160,875 | |||||||||||
| FMG Resources (August 2006) Pty Ltd., New Term Loan B |
4.250 | % | 6/30/19 | 835,695 | 627,351 | |||||||||||
| Foresight Energy LLC, Term Loan B |
5.500 | % | 8/19/20 | 264,167 | 211,333 | |||||||||||
| Murray Energy Corp., Term Loan B1 |
7.000 | % | 4/16/17 | 696,620 | 559,908 | (d) | ||||||||||
| Murray Energy Corp., Term Loan B2 |
7.500 | % | 4/16/20 | 2,586,121 | 1,666,755 | |||||||||||
| NewPage Corp., Term Loan |
9.500 | % | 2/11/21 | 1,853,531 | 674,222 | |||||||||||
| Oxbow Carbon LLC, Second Lien Term Loan |
8.000 | % | 1/17/20 | 570,000 | 479,512 | |||||||||||
| Phibro Animal Health Corp., Term Loan B |
4.000 | % | 4/16/21 | 591,000 | 581,766 | |||||||||||
| Wausau Paper Corp., Term Loan |
6.500 | % | 7/30/20 | 609,235 | 607,712 | |||||||||||
| Westmoreland Coal Co., Term Loan B |
7.500 | % | 12/16/20 | 438,219 | 273,887 | |||||||||||
| Xerium Technologies Inc., USD First Lien Term Loan B |
6.250 | % | 5/17/19 | 493,681 | 492,756 | |||||||||||
|
|
|
|||||||||||||||
| Total Basic Industry |
7,635,694 | |||||||||||||||
|
|
|
|||||||||||||||
| Capital Goods - 11.9% |
||||||||||||||||
| ABC Supply Co. Inc., Term Loan |
3.500 | % | 4/16/20 | 584,731 | 580,053 | |||||||||||
| ADS Waste Holdings Inc., Term Loan B2 |
3.750 | % | 10/9/19 | 486,169 | 474,744 | |||||||||||
| BakerCorp International Inc., New Term Loan |
4.250 | % | 2/14/20 | 867,814 | 754,998 | |||||||||||
| BE Aerospace Inc., 2014 Term Loan B |
4.000 | % | 12/16/21 | 487,855 | 488,922 | |||||||||||
| Berry Plastics Holding Corp., Term Loan F |
4.000 | % | 10/1/22 | 564,740 | 560,964 | |||||||||||
| BWAY Holding Co. Inc., New Term Loan B |
5.500 | % | 8/14/20 | 994,850 | 963,346 | |||||||||||
| Consolidated Container Co., LLC, New Second Lien Term Loan B |
7.750 | % | 1/3/20 | 250,000 | 218,750 | |||||||||||
| Consolidated Container Co., LLC, New Term Loan |
5.000 | % | 7/3/19 | 1,963,243 | 1,813,545 | |||||||||||
| CPM Holdings Inc., Term Loan B |
6.000 | % | 4/11/22 | 179,100 | 178,093 | |||||||||||
| Exopack Holdings SA, 2015 Term Loan B1 |
4.500 | % | 5/8/19 | 672,663 | 655,847 | |||||||||||
| GYP Holdings III Corp., First Lien Term Loan |
4.750 | % | 4/1/21 | 951,719 | 911,271 | |||||||||||
| LS Newco Pty Ltd., USD Term Loan B |
5.500 | % | 5/21/22 | 254,375 | 252,467 | |||||||||||
| PGT Inc., Term Loan B |
5.250 | % | 9/22/21 | 266,625 | 267,069 | |||||||||||
| Printpack Holdings Inc., Term Loan |
6.000 | % | 5/28/20 | 1,044,100 | 1,045,405 | |||||||||||
| SRS Distribution Inc., 2015 Term Loan B |
5.250 | % | 8/25/22 | 500,000 | 497,291 | |||||||||||
| STS Operating Inc., Term Loan |
4.750 | % | 2/12/21 | 569,850 | 538,508 | |||||||||||
| Waste Industries USA Inc., New Term Loan B |
4.250 | % | 2/27/20 | 1,488,750 | 1,484,098 | |||||||||||
| WP CPP Holdings LLC, New Second Lien Term Loan |
8.750 | % | 4/30/21 | 492,500 | 443,250 | |||||||||||
| WP CPP Holdings LLC, Term Loan B3 |
4.500 | % | 12/28/19 | 953,087 | 886,371 | |||||||||||
|
|
|
|||||||||||||||
| Total Capital Goods |
13,014,992 | |||||||||||||||
|
|
|
|||||||||||||||
| Communications - 13.6% |
||||||||||||||||
| Altice Financing SA, USD Term Loan |
5.250 | % | 2/4/22 | 796,000 | 795,005 | |||||||||||
| CCO Safari III LLC, Term Loan I |
3.500 | % | 1/24/23 | 720,000 | 719,460 | |||||||||||
| Checkout Holding Corp., First Lien Term Loan |
4.500 | % | 4/9/21 | 265,950 | 214,533 | |||||||||||
| CSC Holdings Inc., New Term Loan B |
2.924 | % | 4/17/20 | 369,904 | 369,133 | |||||||||||
| InfoGroup Inc., New Term Loan |
7.000 | % | 5/26/18 | 939,820 | 892,829 | |||||||||||
| Intelsat Jackson Holdings SA, Term Loan B2 |
3.750 | % | 6/30/19 | 966,171 | 916,413 | |||||||||||
| Level 3 Financing Inc., 2013 Term Loan B |
4.000 | % | 1/15/20 | 310,000 | 309,921 | |||||||||||
| Level 3 Financing Inc., 2015 Term Loan B2 |
3.500 | % | 5/31/22 | 440,000 | 433,492 | |||||||||||
| Level 3 Financing Inc., New 2019 Term Loan |
4.000 | % | 8/1/19 | 500,000 | 500,000 | |||||||||||
| McGraw-Hill Global Education Holdings LLC, 2015 Term Loan B |
4.750 | % | 3/22/19 | 795,456 | 786,508 | |||||||||||
| NEP/NCP Holdco Inc., Incremental Term Loan |
4.250 | % | 1/22/20 | 941,906 | 887,747 | |||||||||||
| Neptune Finco Corp., 2015 Term Loan B |
5.000 | % | 10/9/22 | 1,150,000 | 1,149,898 | |||||||||||
See Notes to Schedule of Investments.
1
LMP CORPORATE LOAN FUND INC.
| Schedule of investments (unaudited) (cont’d) | December 31, 2015 |
| SECURITY† |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| Communications - (continued) |
||||||||||||||||
| Numericable U.S. LLC, USD Term Loan B1 |
4.500 | % | 5/21/20 | $ | 802,920 | $ | 776,073 | |||||||||
| Numericable U.S. LLC, USD Term Loan B2 |
4.500 | % | 5/21/20 | 685,541 | 662,619 | |||||||||||
| Rentpath Inc., First Lien Term Loan |
6.250 | % | 12/17/21 | 455,400 | 402,460 | |||||||||||
| T-Mobile USA Inc., Term Loan B |
3.500 | % | 11/9/22 | 420,000 | 420,465 | |||||||||||
| TWCC Holding Corp., Term Loan B1 |
5.750 | % | 2/11/20 | 632,815 | 633,112 | |||||||||||
| Univision Communications Inc., Term Loan C3 |
4.000 | % | 3/1/20 | 1,036,811 | 1,016,939 | |||||||||||
| Univision Communications Inc., Term Loan C4 |
4.000 | % | 3/1/20 | 527,574 | 517,572 | |||||||||||
| UPC Financing Partnership, USD Term Loan AH |
3.250 | % | 6/30/21 | 1,000,000 | 983,125 | |||||||||||
| Virgin Media Investment Holdings Ltd., USD Term Loan F |
3.500 | % | 6/30/23 | 673,321 | 660,136 | |||||||||||
| Ziggo Financing Partnership, USD Term Loan B1 |
3.500 | % | 1/15/22 | 323,698 | 314,973 | |||||||||||
| Ziggo Financing Partnership, USD Term Loan B2A |
3.500 | % | 1/15/22 | 202,383 | 196,928 | |||||||||||
| Ziggo Financing Partnership, USD Term Loan B3 |
3.500 | % | 1/15/22 | 343,919 | 334,649 | |||||||||||
|
|
|
|||||||||||||||
| Total Communications |
14,893,990 | |||||||||||||||
|
|
|
|||||||||||||||
| Consumer Cyclical - 30.7% |
||||||||||||||||
| 1011778 B.C. Unlimited Liability Co., Term Loan B2 |
3.750 | % | 12/12/21 | 586,832 | 584,081 | |||||||||||
| Academy Ltd., 2015 Term Loan B |
5.000 | % | 7/1/22 | 987,216 | 953,692 | |||||||||||
| Activision Blizzard Inc., Term Loan B |
3.250 | % | 10/12/20 | 606,974 | 607,354 | |||||||||||
| AP NMT Acquisition BV, USD First Lien Term Loan |
6.750 | % | 8/13/21 | 523,871 | 468,865 | |||||||||||
| AP NMT Acquisition BV, USD Second Lien Term Loan |
10.000 | % | 8/13/22 | 50,000 | 41,750 | |||||||||||
| Aristocrat Leisure Ltd., Term Loan B |
4.750 | % | 10/20/21 | 1,266,923 | 1,264,108 | |||||||||||
| Autoparts Holdings Ltd., First Lien Term Loan |
7.000 | % | 7/29/17 | 182,505 | 141,898 | |||||||||||
| Bass Pro Group LLC, 2015 Term Loan |
4.000 | % | 6/5/20 | 496,250 | 478,261 | |||||||||||
| Brickman Group Ltd. LLC, First Lien Term Loan |
4.000 | % | 12/18/20 | 629,243 | 611,496 | |||||||||||
| Caesars Entertainment Resort Properties LLC, Term Loan B |
7.000 | % | 10/11/20 | 1,185,800 | 1,079,819 | |||||||||||
| Caesars Growth Properties Holdings LLC, Term Loan |
6.250 | % | 5/8/21 | 497,873 | 439,684 | |||||||||||
| CCM Merger Inc., New Term Loan B |
4.500 | % | 8/8/21 | 1,007,500 | 1,006,022 | |||||||||||
| CEC Entertainment Inc., Term Loan B |
4.250 | % | 2/14/21 | 1,018,853 | 970,457 | |||||||||||
| CityCenter Holdings LLC, Term Loan B |
4.250 | % | 10/16/20 | 944,701 | 940,568 | |||||||||||
| Crossmark Holdings Inc., First Lien Term Loan |
4.500 | % | 12/20/19 | 603,882 | 452,911 | |||||||||||
| CS Intermediate Holdco 2 LLC, New Term Loan B |
4.000 | % | 4/4/21 | 354,600 | 350,020 | |||||||||||
| CWGS Group LLC, 2015 Term Loan |
— | 2/20/20 | 240,000 | 238,512 | (d) | |||||||||||
| CWGS Group LLC, Term Loan |
5.750 | % | 2/20/20 | 1,931,015 | 1,918,946 | |||||||||||
| Dollar Tree Inc., Term Loan B1 |
3.500 | % | 7/6/22 | 1,241,698 | 1,239,924 | |||||||||||
| Dollar Tree Inc., Term Loan B2 |
4.250 | % | 7/6/22 | 260,000 | 258,537 | |||||||||||
| Equinox Holdings Inc., Repriced Term Loan B |
5.000 | % | 1/31/20 | 1,012,056 | 1,004,466 | |||||||||||
| Equinox Holdings Inc., Second Lien Term Loan |
9.750 | % | 7/31/20 | 500,000 | 506,666 | |||||||||||
| Fitness International LLC, Term Loan B |
5.500 | % | 7/1/20 | 1,845,036 | 1,736,640 | |||||||||||
| Four Seasons Holdings Inc., New First Lien Term Loan |
3.500 | % | 6/27/20 | 202,973 | 200,436 | |||||||||||
| Hilton Worldwide Finance LLC, USD Term Loan B2 |
3.500 | % | 10/26/20 | 358,093 | 357,779 | |||||||||||
| J. Crew Group Inc., New Term Loan B |
4.000 | % | 3/5/21 | 850,874 | 553,423 | |||||||||||
| Kate Spade & Co., Term Loan B |
4.000 | % | 4/10/21 | 1,000,001 | 970,000 | |||||||||||
| La Quinta Intermediate Holdings LLC, Term Loan B |
3.750 | % | 4/14/21 | 838,139 | 818,931 | |||||||||||
| Landry’s Inc., Term Loan B |
4.000 | % | 4/24/18 | 1,396,061 | 1,391,044 | |||||||||||
| LTF Merger Sub Inc., Term Loan B |
4.250 | % | 6/10/22 | 646,999 | 630,819 | |||||||||||
| Match Group Inc., Term Loan B1 |
5.500 | % | 11/16/22 | 300,000 | 297,750 | |||||||||||
| MGM Resorts International, Term Loan B |
3.500 | % | 12/20/19 | 723,181 | 715,271 | |||||||||||
| Michaels Stores Inc., Incremental 2014 Term Loan B2 |
4.000 | % | 1/28/20 | 223,844 | 222,900 | |||||||||||
| Michaels Stores Inc., Term Loan B |
3.750 | % | 1/28/20 | 1,062,750 | 1,052,919 | |||||||||||
| Mohegan Tribal Gaming Authority, New Term Loan B |
5.500 | % | 6/15/18 | 1,142,892 | 1,119,082 | |||||||||||
| Monitronics International Inc., New Term Loan B |
4.250 | % | 3/23/18 | 328,697 | 319,658 | |||||||||||
See Notes to Schedule of Investments.
2
LMP CORPORATE LOAN FUND INC.
| Schedule of investments (unaudited) (cont’d) | December 31, 2015 |
| SECURITY† |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| Consumer Cyclical - (continued) |
||||||||||||||||
| Monitronics International Inc., Term Loan B1 |
4.500 | % | 4/2/22 | $ | 853,550 | $ | 817,274 | |||||||||
| NCL Corp. Ltd., Term Loan B |
4.000 | % | 11/19/21 | 188,100 | 188,022 | |||||||||||
| Neiman Marcus Group Inc., 2020 Term Loan |
4.250 | % | 10/25/20 | 736,828 | 654,166 | |||||||||||
| Petco Animal Supplies Inc., New Term Loan |
4.000 | % | 11/24/17 | 971,867 | 970,215 | |||||||||||
| PetSmart Inc., Term Loan B |
4.250 | % | 3/11/22 | 1,482,550 | 1,448,497 | |||||||||||
| Realogy Corp., New Term Loan B |
3.750 | % | 3/5/20 | 725,799 | 722,321 | |||||||||||
| Staples Inc., Term Loan B |
— | 4/7/21 | 820,000 | 812,364 | (d) | |||||||||||
| Station Casinos LLC, Term Loan B |
4.250 | % | 3/2/20 | 540,448 | 531,215 | |||||||||||
| TOMS Shoes LLC, Term Loan B |
6.500 | % | 10/28/20 | 506,175 | 344,199 | |||||||||||
| TransUnion LLC, Term Loan B2 |
3.500 | % | 4/9/21 | 771,511 | 750,873 | |||||||||||
| World Triathlon Corp., Term Loan |
5.250 | % | 6/26/21 | 473,417 | 468,683 | |||||||||||
|
|
|
|||||||||||||||
| Total Consumer Cyclical |
33,652,518 | |||||||||||||||
|
|
|
|||||||||||||||
| Consumer Non-Cyclical - 28.0% |
||||||||||||||||
| Access CIG LLC, First Lien Term Loan |
6.000 - 7.500 | % | 10/18/21 | 1,336,952 | 1,330,825 | |||||||||||
| Acosta Holdco Inc., 2015 Term Loan |
4.250 | % | 9/26/21 | 709,980 | 678,741 | |||||||||||
| AdvancePierre Foods Inc., Second Lien Term Loan |
9.500 | % | 10/10/17 | 1,660,000 | 1,635,100 | |||||||||||
| AdvancePierre Foods Inc., Term Loan |
5.750 | % | 7/10/17 | 493,639 | 493,515 | |||||||||||
| Air Medical Group Holdings Inc., Term Loan B |
4.500 | % | 4/28/22 | 1,711,400 | 1,658,988 | |||||||||||
| Akorn Inc., Term Loan B |
6.000 | % | 4/16/21 | 582,625 | 568,788 | |||||||||||
| Anchor Hocking LLC, Exit Term Loan |
10.000 | % | 6/4/18 | 441,184 | 413,610 | |||||||||||
| Candy Intermediate Holdings Inc., Term Loan |
7.500 | % | 6/18/18 | 1,324,625 | 1,319,658 | |||||||||||
| Catalent Pharma Solutions Inc., USD Term Loan B |
4.250 | % | 5/20/21 | 322,599 | 320,448 | |||||||||||
| Convatec Inc., USD Term Loan |
4.250 | % | 6/15/20 | 1,381,249 | 1,361,970 | |||||||||||
| CSM Bakery Solutions LLC, First Lien Term Loan |
5.000 | % | 7/3/20 | 1,249,268 | 1,221,784 | |||||||||||
| CSM Bakery Solutions LLC, Second Lien Term Loan |
8.750 | % | 7/3/21 | 1,090,000 | 1,040,950 | |||||||||||
| Curo Health Services Holidings Inc., 2015 First Lien Term Loan |
6.500 | % | 2/7/22 | 1,439,125 | 1,428,332 | |||||||||||
| DaVita HealthCare Partners Inc., Term Loan B |
3.500 | % | 6/24/21 | 492,500 | 491,020 | |||||||||||
| DJO Finance LLC, 2015 Term Loan |
4.250 | % | 6/8/20 | 628,425 | 612,191 | |||||||||||
| Dole Food Co. Inc., New Term Loan B |
4.500 - 6.000 | % | 11/1/18 | 405,007 | 402,982 | |||||||||||
| DPx Holdings BV, 2014 USD Incremental Term Loan |
4.250 | % | 3/11/21 | 1,678,588 | 1,621,936 | |||||||||||
| Endo Luxembourg Finance Co. I S.a r.l., 2015 Term Loan B |
3.750 | % | 9/26/22 | 447,500 | 442,373 | |||||||||||
| Envision Healthcare Corp., Initial Term Loan |
4.250 | % | 5/25/18 | 783,173 | 780,726 | |||||||||||
| Greatbatch Ltd., Term Loan B |
5.250 | % | 10/27/22 | 550,000 | 547,078 | |||||||||||
| Hearthside Group Holdings LLC, Term Loan |
4.500 | % | 6/2/21 | 325,050 | 321,317 | |||||||||||
| Hill-Rom Holdings Inc., Term Loan B |
3.500 | % | 9/8/22 | 223,675 | 223,953 | |||||||||||
| Jaguar Holding Co. II, 2015 Term Loan B |
4.250 | % | 8/18/22 | 892,165 | 869,192 | |||||||||||
| Jarden Corp., 2015 Term Loan B2 |
3.174 | % | 7/30/22 | 159,600 | 159,600 | |||||||||||
| KIK Custom Products Inc., 2015 Term Loan B |
6.000 | % | 8/26/22 | 627,428 | 603,899 | |||||||||||
| Lantheus Medical Imaging Inc., Term Loan |
7.000 | % | 6/30/22 | 1,104,450 | 1,016,094 | |||||||||||
| Libbey Glass Inc., Term Loan B |
3.750 | % | 4/9/21 | 128,050 | 126,449 | |||||||||||
| Party City Holdings Inc., 2015 Term Loan B |
4.250 | % | 8/19/22 | 1,012,824 | 985,921 | |||||||||||
| Radnet Management Inc., Second Lien Term Loan |
8.000 | % | 3/25/21 | 660,000 | 633,600 | |||||||||||
| Radnet Management Inc., Term Loan B |
4.250 - 5.750 | % | 10/10/18 | 1,247,222 | 1,237,868 | |||||||||||
| ServiceMaster Co., 2014 Term Loan B |
4.250 | % | 7/1/21 | 1,077,914 | 1,071,177 | |||||||||||
| Shearer’s Foods Inc., First Lien Term Loan |
4.938 | % | 6/30/21 | 118,500 | 117,019 | |||||||||||
| Shearer’s Foods Inc., Second Lien Term Loan |
7.750 | % | 6/30/22 | 590,000 | 557,550 | |||||||||||
| Spencer Gifts LLC, Term Loan B1 |
5.250 | % | 6/29/22 | 447,750 | 437,956 | |||||||||||
| Sterigenics-Nordion Holdings LLC, 2015 Term Loan B |
4.250 | % | 5/15/22 | 628,425 | 612,714 | |||||||||||
| Sun Products Corp., New Term Loan |
5.500 | % | 3/23/20 | 1,443,760 | 1,357,134 | |||||||||||
| Team Health Inc., 2015 Term Loan B |
4.500 | % | 11/23/22 | 380,000 | 380,119 | |||||||||||
| Valeant Pharmaceuticals International Corp., Term Loan B F1 |
4.000 | % | 4/1/22 | 1,622,144 | 1,567,059 | |||||||||||
|
|
|
|||||||||||||||
| Total Consumer Non-Cyclical |
30,649,636 | |||||||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
3
LMP CORPORATE LOAN FUND INC.
| Schedule of investments (unaudited) (cont’d) | December 31, 2015 |
| SECURITY† |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| Electric - 9.1% |
||||||||||||||||
| Atlantic Power LP, 2014 Term Loan B |
4.750 | % | 2/24/21 | $ | 260,252 | $ | 259,276 | |||||||||
| Chief Power Finance LLC, Term Loan B |
5.750 | % | 12/31/20 | 1,301,151 | 1,249,105 | |||||||||||
| EFS Cogen Holdings I LLC, Term Loan B |
3.750 | % | 12/17/20 | 205,444 | 199,537 | |||||||||||
| EIF Channelview Cogeneration LLC, Term Loan B |
4.250 | % | 5/8/20 | 273,473 | 235,187 | |||||||||||
| Empire Generating Co., LLC, Term Loan B |
5.250 | % | 3/12/21 | 910,557 | 751,210 | |||||||||||
| Empire Generating Co., LLC, Term Loan C |
5.250 | % | 3/12/21 | 66,783 | 55,096 | |||||||||||
| Energy Future Intermediate Holding Co., LLC, DIP Term Loan |
4.250 | % | 6/19/16 | 1,650,000 | 1,647,164 | |||||||||||
| Exgen Texas Power LLC, Term Loan B |
5.750 | % | 9/16/21 | 858,883 | 629,847 | |||||||||||
| Green Energy Partners/Stonewall LLC, Term Loan B1 |
6.500 | % | 11/13/21 | 500,000 | 487,500 | |||||||||||
| La Frontera Generation LLC, Term Loan |
4.500 | % | 9/30/20 | 234,889 | 223,340 | |||||||||||
| Panda Patriot LLC, Term Loan B1 |
6.750 | % | 12/19/20 | 310,000 | 286,750 | |||||||||||
| Panda Temple II Power LLC, New Term Loan B |
7.250 | % | 4/3/19 | 700,000 | 623,000 | |||||||||||
| Panda Temple Power LLC, 2015 Term Loan B |
7.250 | % | 3/4/22 | 1,071,900 | 884,317 | |||||||||||
| Terra-Gen Finance Co., LLC, Term Loan B |
4.857 | % | 12/9/21 | 342,924 | 330,921 | |||||||||||
| TPF II Power LLC, Term Loan B |
5.500 | % | 10/2/21 | 1,068,782 | 1,047,407 | |||||||||||
| Windsor Financing LLC, Term Loan B |
6.250 | % | 12/5/17 | 1,049,635 | 1,044,387 | |||||||||||
|
|
|
|||||||||||||||
| Total Electric |
9,954,044 | |||||||||||||||
|
|
|
|||||||||||||||
| Energy - 5.1% |
||||||||||||||||
| EP Energy LLC, Term Loan B3 |
3.500 | % | 5/24/18 | 1,000,000 | 787,500 | |||||||||||
| Expro FinServices S.a r.l., Term Loan |
5.750 | % | 9/2/21 | 1,441,750 | 978,588 | |||||||||||
| FTS International Inc., New Term Loan B |
5.750 | % | 4/16/21 | 398,364 | 114,198 | |||||||||||
| Hercules Offshore LLC, Exit Term Loan |
10.500 | % | 5/6/20 | 510,000 | 359,550 | |||||||||||
| Houston Fuel Oil Co., LLC, Term Loan B |
4.250 | % | 8/19/21 | 562,875 | 523,474 | |||||||||||
| KCA Deutag U.S. Finance LLC, Term Loan |
6.250 | % | 5/15/20 | 1,201,700 | 889,258 | |||||||||||
| Magnum Hunter Resources Inc., DIP Term Loan |
9.000 | % | 9/15/16 | 10,000 | 10,025 | |||||||||||
| Magnum Hunter Resources Inc., Second Lien Term Loan |
10.000 | % | 10/22/19 | 550,440 | 333,016 | (c) | ||||||||||
| MEG Energy Corp., Refi Term Loan |
3.750 | % | 3/31/20 | 658,286 | 577,646 | |||||||||||
| Pacific Drilling SA, Term Loan B |
4.500 | % | 6/3/18 | 1,797,422 | 781,879 | (d) | ||||||||||
| Paragon Offshore Finance Co., Term Loan B |
3.750 | % | 7/18/21 | 276,500 | 80,876 | |||||||||||
| Quicksilver Resources Inc., New Second Lien Term Loan |
7.000 | % | 6/21/19 | 540,000 | 135,000 | |||||||||||
| Samson Investment Co., New Second Lien Term Loan |
6.250 | % | 9/25/18 | 1,000,000 | 50,000 | *(e) | ||||||||||
|
|
|
|||||||||||||||
| Total Energy |
5,621,010 | |||||||||||||||
|
|
|
|||||||||||||||
| Financial Other - 1.9% |
||||||||||||||||
| BATS Global Markets Inc., Term Loan B2 |
5.750 | % | 1/31/20 | 427,270 | 428,605 | |||||||||||
| Flying Fortress Inc., New Term Loan |
3.500 | % | 4/30/20 | 900,000 | 897,937 | |||||||||||
| PGX Holdings Inc., First Lien Term Loan |
5.750 | % | 9/29/20 | 713,170 | 709,604 | |||||||||||
|
|
|
|||||||||||||||
| Total Financial Other |
2,036,146 | |||||||||||||||
|
|
|
|||||||||||||||
| Industrial Other - 7.7% |
||||||||||||||||
| Allflex Holdings III Inc., New First Lien Term Loan |
4.250 | % | 7/20/20 | 869,975 | 860,188 | |||||||||||
| Allflex Holdings III Inc., New Second Lien Term Loan |
8.000 | % | 7/19/21 | 890,000 | 877,206 | |||||||||||
| Gardner Denver Inc., USD Term Loan |
4.250 | % | 7/30/20 | 562,803 | 508,633 | |||||||||||
| Gates Global Inc., Term Loan B |
4.250 | % | 7/5/21 | 623,991 | 587,071 | |||||||||||
| Hilex Poly Co., LLC, Second Lien Term Loan |
9.750 | % | 5/22/22 | 360,000 | 343,800 | |||||||||||
| Hilex Poly Co., LLC, Term Loan B |
6.000 | % | 12/5/21 | 446,625 | 446,811 | |||||||||||
See Notes to Schedule of Investments.
4
LMP CORPORATE LOAN FUND INC.
| Schedule of investments (unaudited) (cont’d) | December 31, 2015 |
| SECURITY† |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| Industrial Other - (continued) |
||||||||||||||||
| Intelligrated Inc., First Lien Term Loan |
4.500 - 6.000 | % | 7/30/18 | $ | 769,706 | $ | 754,312 | |||||||||
| Laureate Education Inc., Term Loan B |
5.000 | % | 6/15/18 | 1,895,191 | 1,591,960 | |||||||||||
| Lineage Logistics Holdings LLC, 2014 Term Loan |
4.500 | % | 4/7/21 | 1,013,488 | 927,342 | |||||||||||
| Mirror Bidco Corp., New Term Loan |
4.250 | % | 12/28/19 | 1,033,538 | 1,024,925 | |||||||||||
| Nord Anglia Education Finance LLC, Term Loan |
5.000 | % | 3/31/21 | 267,960 | 261,261 | |||||||||||
| Southwire Co., Term Loan |
3.000 - 4.750 | % | 2/10/21 | 216,150 | 211,827 | |||||||||||
|
|
|
|||||||||||||||
| Total Industrial Other |
8,395,336 | |||||||||||||||
|
|
|
|||||||||||||||
| Insurance - 0.9% |
||||||||||||||||
| MPH Acquisition Holdings LLC, Term Loan |
3.750 | % | 3/31/21 | 1,013,995 | 989,490 | |||||||||||
|
|
|
|||||||||||||||
| Property & Real Estate - 0.9% |
||||||||||||||||
| Communications Sales & Leasing Inc., Term Loan B |
5.000 | % | 10/24/22 | 1,064,650 | 990,790 | |||||||||||
|
|
|
|||||||||||||||
| Technology - 6.0% |
||||||||||||||||
| CompuCom Systems Inc., REFI Term Loan B |
4.250 | % | 5/11/20 | 1,238,825 | 792,848 | |||||||||||
| Eastman Kodak Co., Exit Term Loan |
7.250 | % | 9/3/19 | 820,888 | 727,854 | |||||||||||
| Expert Global Solutions Inc., Term Loan B |
8.500 | % | 4/3/18 | 296,700 | 295,217 | |||||||||||
| First Data Corp., Extended 2021 Term Loan |
4.418 | % | 3/24/21 | 500,000 | 499,107 | |||||||||||
| First Data Corp., New 2018 Extended Term Loan |
3.918 | % | 3/24/18 | 1,250,000 | 1,235,937 | |||||||||||
| First Data Corp., New 2018 Term Loan |
3.918 | % | 9/24/18 | 500,000 | 494,438 | |||||||||||
| Ipreo Holdings LLC, New Term Loan B |
4.000 | % | 8/6/21 | 516,281 | 498,533 | |||||||||||
| Kronos Inc., Initial Incremental Term Loan |
4.500 | % | 10/30/19 | 91,436 | 90,178 | |||||||||||
| Kronos Inc., Second Lien Term Loan |
9.750 | % | 4/30/20 | 274,785 | 273,983 | |||||||||||
| Sophia LP, 2015 Term Loan B |
4.750 | % | 9/30/22 | 488,775 | 484,132 | |||||||||||
| Vertafore Inc., Second Lien Term Loan |
9.750 | % | 10/29/17 | 800,000 | 799,400 | |||||||||||
| Zebra Technologies Corp., Term Loan B |
4.750 | % | 10/27/21 | 412,184 | 413,182 | |||||||||||
|
|
|
|||||||||||||||
| Total Technology |
6,604,809 | |||||||||||||||
|
|
|
|||||||||||||||
| Transportation - 5.1% |
||||||||||||||||
| American Airlines Inc., New Term Loan |
3.250 | % | 6/26/20 | 519,646 | 513,614 | |||||||||||
| Commercial Barge Line Co., 2015 First Lien Term Loan |
9.750 | % | 11/6/20 | 630,000 | 585,900 | |||||||||||
| Hertz Corp., Term Loan B2 |
3.000 | % | 3/11/18 | 1,050,300 | 1,041,110 | |||||||||||
| Syncreon Global Finance (U.S.) Inc., Term Loan B |
5.250 | % | 10/28/20 | 1,905,523 | 1,559,352 | |||||||||||
| U.S. Airways Group Inc., New Term Loan B1 |
3.500 | % | 5/23/19 | 548,800 | 544,084 | |||||||||||
| United Airlines Inc., New Term Loan B |
3.250 | % | 4/1/19 | 233,400 | 232,233 | |||||||||||
| XPO Logistics Inc., Term Loan |
5.500 | % | 11/1/21 | 1,140,000 | 1,136,913 | |||||||||||
|
|
|
|||||||||||||||
| Total Transportation |
5,613,206 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL SENIOR LOANS (Cost - $153,122,904) |
140,051,661 | |||||||||||||||
|
|
|
|||||||||||||||
| CORPORATE BONDS & NOTES - 10.6% | ||||||||||||||||
| CONSUMER DISCRETIONARY - 1.0% | ||||||||||||||||
| Hotels, Restaurants & Leisure - 0.3% |
||||||||||||||||
| 1011778 BC ULC/New Red Finance Inc., Senior Secured Notes |
4.625 | % | 1/15/22 | 387,000 | 388,935 | (f) | ||||||||||
|
|
|
|||||||||||||||
| Media - 0.7% |
||||||||||||||||
| CCO Safari II LLC, Senior Secured Notes |
3.579 | % | 7/23/20 | 360,000 | 358,141 | (f) | ||||||||||
| DISH DBS Corp., Senior Notes |
6.750 | % | 6/1/21 | 190,000 | 191,900 | |||||||||||
| Numericable-SFR SAS, Senior Secured Bonds |
6.250 | % | 5/15/24 | 200,000 | 193,500 | (f) | ||||||||||
|
|
|
|||||||||||||||
| Total Media |
743,541 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL CONSUMER DISCRETIONARY |
1,132,476 | |||||||||||||||
|
|
|
|||||||||||||||
| CONSUMER STAPLES - 0.3% | ||||||||||||||||
| Tobacco - 0.3% |
||||||||||||||||
| Alliance One International Inc., Secured Notes |
9.875 | % | 7/15/21 | 420,000 | 310,275 | |||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
5
LMP CORPORATE LOAN FUND INC.
| Schedule of investments (unaudited) (cont’d) | December 31, 2015 |
| SECURITY† |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| ENERGY - 2.6% | ||||||||||||||||
| Energy Equipment & Services - 0.1% |
||||||||||||||||
| FTS International Inc., Senior Secured Notes |
8.012 | % | 6/15/20 | $ | 200,000 | $ | 136,166 | (f)(g) | ||||||||
|
|
|
|||||||||||||||
| Oil, Gas & Consumable Fuels - 2.5% |
||||||||||||||||
| Comstock Resources Inc., Senior Secured Notes |
10.000 | % | 3/15/20 | 340,000 | 158,100 | (f) | ||||||||||
| Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., Senior Notes |
6.000 | % | 12/15/20 | 110,000 | 81,400 | |||||||||||
| Globe Luxembourg SCA, Senior Secured Notes |
9.625 | % | 5/1/18 | 490,000 | 398,125 | (f) | ||||||||||
| Halcon Resources Corp., Secured Notes |
8.625 | % | 2/1/20 | 110,000 | 76,312 | (f) | ||||||||||
| Magnum Hunter Resources Corp., Senior Notes |
9.750 | % | 5/15/20 | 120,000 | 31,800 | *(c)(e) | ||||||||||
| Oasis Petroleum Inc., Senior Notes |
6.500 | % | 11/1/21 | 100,000 | 66,750 | |||||||||||
| Sanchez Energy Corp., Senior Notes |
7.750 | % | 6/15/21 | 530,000 | 325,950 | |||||||||||
| Sanchez Energy Corp., Senior Notes |
6.125 | % | 1/15/23 | 140,000 | 76,300 | |||||||||||
| Teine Energy Ltd., Senior Notes |
6.875 | % | 9/30/22 | 1,740,000 | 1,409,400 | (f) | ||||||||||
| WPX Energy Inc., Senior Notes |
8.250 | % | 8/1/23 | 90,000 | 72,225 | |||||||||||
|
|
|
|||||||||||||||
| Total Oil, Gas & Consumable Fuels |
2,696,362 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL ENERGY |
2,832,528 | |||||||||||||||
|
|
|
|||||||||||||||
| FINANCIALS - 1.6% | ||||||||||||||||
| Consumer Finance - 0.6% |
||||||||||||||||
| Navient Corp., Medium-Term Notes, Senior Notes |
8.000 | % | 3/25/20 | 90,000 | 89,145 | |||||||||||
| Navient Corp., Senior Notes |
5.000 | % | 10/26/20 | 470,000 | 413,600 | |||||||||||
| Navient Corp., Senior Notes |
6.125 | % | 3/25/24 | 200,000 | 163,750 | |||||||||||
|
|
|
|||||||||||||||
| Total Consumer Finance |
666,495 | |||||||||||||||
|
|
|
|||||||||||||||
| Real Estate Investment Trusts (REITs) - 0.3% |
||||||||||||||||
| Communications Sales & Leasing Inc., Senior Secured Notes |
6.000 | % | 4/15/23 | 360,000 | 341,100 | (f) | ||||||||||
|
|
|
|||||||||||||||
| Real Estate Management & Development - 0.3% |
||||||||||||||||
| Howard Hughes Corp., Senior Notes |
6.875 | % | 10/1/21 | 310,000 | 317,750 | (f) | ||||||||||
|
|
|
|||||||||||||||
| Thrifts & Mortgage Finance - 0.4% |
||||||||||||||||
| Quicken Loans Inc., Senior Notes |
5.750 | % | 5/1/25 | 420,000 | 401,625 | (f) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL FINANCIALS |
1,726,970 | |||||||||||||||
|
|
|
|||||||||||||||
| HEALTH CARE - 1.4% | ||||||||||||||||
| Health Care Equipment & Supplies - 0.2% |
||||||||||||||||
| DJO Finco Inc./DJO Finance LLC/DJO Finance Corp., Secured Notes |
8.125 | % | 6/15/21 | 310,000 | 275,900 | (f) | ||||||||||
|
|
|
|||||||||||||||
| Health Care Providers & Services - 1.2% |
||||||||||||||||
| Fresenius Medical Care U.S. Finance II Inc., Senior Notes |
4.750 | % | 10/15/24 | 150,000 | 147,000 | (f) | ||||||||||
| Fresenius Medical Care U.S. Finance Inc., Senior Notes |
5.750 | % | 2/15/21 | 30,000 | 32,250 | (f) | ||||||||||
| HCA Inc., Senior Bonds |
5.375 | % | 2/1/25 | 230,000 | 227,413 | |||||||||||
| HCA Inc., Senior Notes |
5.875 | % | 2/15/26 | 20,000 | 20,125 | |||||||||||
| HCA Inc., Senior Secured Notes |
5.875 | % | 3/15/22 | 110,000 | 116,325 | |||||||||||
| HCA Inc., Senior Secured Notes |
5.250 | % | 4/15/25 | 110,000 | 111,100 | |||||||||||
| Tenet Healthcare Corp., Senior Secured Notes |
4.012 | % | 6/15/20 | 410,000 | 401,800 | (f)(g) | ||||||||||
| Universal Hospital Services Inc., Secured Notes |
7.625 | % | 8/15/20 | 270,000 | 254,812 | |||||||||||
|
|
|
|||||||||||||||
| Total Health Care Providers & Services |
1,310,825 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL HEALTH CARE |
1,586,725 | |||||||||||||||
|
|
|
|||||||||||||||
| INDUSTRIALS - 0.8% | ||||||||||||||||
| Commercial Services & Supplies - 0.5% |
||||||||||||||||
| United Rentals North America Inc., Senior Notes |
4.625 | % | 7/15/23 | 570,000 | 570,713 | |||||||||||
|
|
|
|||||||||||||||
| Road & Rail - 0.3% |
||||||||||||||||
| Florida East Coast Holdings Corp., Senior Secured Notes |
6.750 | % | 5/1/19 | 350,000 | 321,125 | (f) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL INDUSTRIALS |
891,838 | |||||||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
6
LMP CORPORATE LOAN FUND INC.
| Schedule of investments (unaudited) (cont’d) | December 31, 2015 |
| SECURITY† |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| MATERIALS - 0.1% | ||||||||||||||||
| Chemicals - 0.1% |
||||||||||||||||
| Omnova Solutions Inc., Senior Notes |
7.875 | % | 11/1/18 | $ | 113,000 | $ | 111,305 | |||||||||
|
|
|
|||||||||||||||
| TELECOMMUNICATION SERVICES - 2.6% | ||||||||||||||||
| Diversified Telecommunication Services - 1.2% |
||||||||||||||||
| Intelsat Jackson Holdings SA, Senior Notes |
7.500 | % | 4/1/21 | 1,000,000 | 875,000 | |||||||||||
| Level 3 Financing Inc., Senior Notes |
5.625 | % | 2/1/23 | 200,000 | 204,750 | |||||||||||
| Telecom Italia SpA, Senior Notes |
5.303 | % | 5/30/24 | 200,000 | 198,250 | (f) | ||||||||||
|
|
|
|||||||||||||||
| Total Diversified Telecommunication Services |
1,278,000 | |||||||||||||||
|
|
|
|||||||||||||||
| Wireless Telecommunication Services - 1.4% |
||||||||||||||||
| Neptune Finco Corp., Senior Notes |
6.625 | % | 10/15/25 | 400,000 | 417,000 | (f) | ||||||||||
| SoftBank Group Corp., Senior Notes |
4.500 | % | 4/15/20 | 550,000 | 548,625 | (f) | ||||||||||
| Sprint Capital Corp., Senior Notes |
8.750 | % | 3/15/32 | 20,000 | 15,050 | |||||||||||
| Sprint Corp., Senior Notes |
7.875 | % | 9/15/23 | 760,000 | 572,660 | |||||||||||
|
|
|
|||||||||||||||
| Total Wireless Telecommunication Services |
1,553,335 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL TELECOMMUNICATION SERVICES |
2,831,335 | |||||||||||||||
|
|
|
|||||||||||||||
| UTILITIES - 0.2% | ||||||||||||||||
| Independent Power and Renewable Electricity Producers - 0.2% |
||||||||||||||||
| Mirant Mid Atlantic LLC, Pass-Through Certificates, Secured Bonds |
10.060 | % | 12/30/28 | 272,802 | 264,960 | |||||||||||
|
|
|
|||||||||||||||
| TOTAL CORPORATE BONDS & NOTES (Cost - $13,373,432) |
11,688,412 | |||||||||||||||
|
|
|
|||||||||||||||
| SHARES | ||||||||||||||||
| COMMON STOCKS - 1.4% | ||||||||||||||||
| CONSUMER DISCRETIONARY - 0.7% | ||||||||||||||||
| Automobiles - 0.1% |
||||||||||||||||
| Dayco Products LLC |
4,912 | 178,060 | ||||||||||||||
|
|
|
|||||||||||||||
| Household Durables - 0.6% |
||||||||||||||||
| EveryWare Global Inc. |
84,519 | 633,892 | *(c) | |||||||||||||
|
|
|
|||||||||||||||
| TOTAL CONSUMER DISCRETIONARY |
811,952 | |||||||||||||||
|
|
|
|||||||||||||||
| ENERGY - 0.7% | ||||||||||||||||
| Oil, Gas & Consumable Fuels - 0.7% |
||||||||||||||||
| SemGroup Corp., Class A Shares |
24,938 | 719,711 | ||||||||||||||
|
|
|
|||||||||||||||
| TOTAL COMMON STOCKS (Cost - $2,803,547) |
1,531,663 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost - $169,299,883) |
153,271,736 | |||||||||||||||
|
|
|
|||||||||||||||
| SHORT-TERM INVESTMENTS - 7.8% | ||||||||||||||||
| State Street Institutional U.S. Government Money Market Fund, Premier Class (Cost - $8,503,593) |
0.073 | % | 8,503,593 | 8,503,593 | ||||||||||||
|
|
|
|||||||||||||||
| TOTAL INVESTMENTS - 147.7% (Cost - $177,803,476#) |
161,775,329 | |||||||||||||||
| Liabilities in Excess of Other Assets - (47.7)% |
(52,259,243 | ) | ||||||||||||||
|
|
|
|||||||||||||||
| TOTAL NET ASSETS - 100.0% |
$ | 109,516,086 | ||||||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
7
LMP CORPORATE LOAN FUND INC.
| Schedule of investments (unaudited) (cont’d) | December 31, 2015 |
| † | Securities held by the Fund are subject to a lien, granted to the lenders, to the extent of the borrowing outstanding and any additional expenses. |
| * | 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) | Senior loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan. |
| (c) | Illiquid security. |
| (d) | All or a portion of this loan is unfunded as of December 31, 2015. The interest rate for fully unfunded term loans is to be determined. |
| (e) | The coupon payment on these securities is currently in default as of December 31, 2015. |
| (f) | 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. |
| (g) | Variable rate security. Interest rate disclosed is as of the most recent information available. |
| # | Aggregate cost for federal income tax purposes is substantially the same. |
Abbreviations used in this schedule:
| DIP | — Debtor-in-Possession | |
| REFI | — Refinancing | |
| Second Lien | — Subordinate Lien to First Lien | |
This Schedule of Investments is unaudited and is intended to provide information about the Fund’s portfolio holdings as of the date of the schedule. Other information regarding the Fund is available in the Fund’s most recent annual or semi-annual shareholder report.
See Notes to Schedule of Investments.
8
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 Fund invests primarily in floating- or variable-rate collateralized senior loans to corporations, partnerships or other business entities operating in various industries and geographic regions.
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 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. Investments in open-end funds are valued at the closing net asset value per share of each fund on the day of valuation. 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 Atlantic 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.
9
Notes to Schedule of Investments (unaudited) (continued)
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.) |
| • | 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 |
||||||||||||||||
| DESCRIPTION |
QUOTED PRICES (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) |
TOTAL | ||||||||||||
| Long-term investments†: |
||||||||||||||||
| Senior loans: |
||||||||||||||||
| Basic industry |
— | $ | 4,763,633 | $ | 2,872,061 | $ | 7,635,694 | |||||||||
| Capital goods |
— | 9,549,017 | 3,465,975 | 13,014,992 | ||||||||||||
| Communications |
— | 14,001,161 | 892,829 | 14,893,990 | ||||||||||||
| Consumer cyclical |
— | 31,556,452 | 2,096,066 | 33,652,518 | ||||||||||||
| Consumer non-cyclical |
— | 25,581,175 | 5,068,461 | 30,649,636 | ||||||||||||
| Electric |
— | 5,255,676 | 4,698,368 | 9,954,044 | ||||||||||||
| Energy |
— | 3,703,703 | 1,917,307 | 5,621,010 | ||||||||||||
| Industrial other |
— | 6,369,882 | 2,025,454 | 8,395,336 | ||||||||||||
| Transportation |
— | 5,027,306 | 585,900 | 5,613,206 | ||||||||||||
| Other senior loans |
10,621,235 | — | 10,621,235 | |||||||||||||
| Corporate bonds & notes |
— | 11,688,412 | — | 11,688,412 | ||||||||||||
| Common stocks: |
||||||||||||||||
| Consumer discretionary |
— | — | 811,952 | 811,952 | ||||||||||||
| Energy |
$ | 719,711 | — | — | 719,711 | |||||||||||
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| Total long-term investments |
$ | 719,711 | $ | 128,117,652 | $ | 24,434,373 | $ | 153,271,736 | ||||||||
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| Short-term investments† |
8,503,593 | — | — | 8,503,593 | ||||||||||||
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|
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| Total investments |
$ | 9,223,304 | $ | 128,117,652 | $ | 24,434,373 | $ | 161,775,329 | ||||||||
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| † | 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:
| SENIOR LOANS | ||||||||||||||||||||||||||||||||||||
| INVESTMENTS IN SECURITIES |
BASIC INDUSTRY |
CAPITAL GOODS |
COMMUNI- CATIONS |
CONSUMER- CYCLICAL |
CONSUMER NON- CYCLICAL |
ELECTRIC | ENERGY | INDUSTRIAL OTHER |
TRANSPO- RTATION |
|||||||||||||||||||||||||||
| Balance as of September 30, 2015 |
$ | 2,556,305 | $ | 1,216,453 | $ | 305,551 | $ | 1,256,914 | $ | 5,984,771 | $ | 5,828,775 | $ | 1,715,600 | $ | 1,460,899 | $ | 1,555,400 | ||||||||||||||||||
| Accrued premiums/discounts |
4,220 | 377 | 59 | 4,383 | 3,217 | 1,485 | 484 | 301 | 809 | |||||||||||||||||||||||||||
| Realized gain (loss) |
(69 | ) | 616 | 352 | (137,192 | ) | (20,564 | ) | 682 | (202,860 | ) | 10 | (13,920 | ) | ||||||||||||||||||||||
| Change in unrealized appreciation (depreciation)1 |
(219,029 | ) | (19,291 | ) | (12,334 | ) | 12,901 | (70,773 | ) | (416,338 | ) | (161,092 | ) | (56,971 | ) | (14,889 | ) | |||||||||||||||||||
| Purchases |
— | — | — | — | — | — | 504,700 | — | 598,500 | |||||||||||||||||||||||||||
| Sales |
(77,078 | ) | (71,091 | ) | (79,095 | ) | (140,476 | ) | (493,441 | ) | (585,735 | ) | (630,767 | ) | (3,809 | ) | (1,540,000 | ) | ||||||||||||||||||
| Transfers into Level 32 |
607,712 | 2,338,911 | 892,829 | 1,241,434 | 1,635,100 | 722,687 | 1,024,258 | 1,098,112 | — | |||||||||||||||||||||||||||
| Transfers out of Level 33 |
— | — | (214,533 | ) | (141,898 | ) | (1,969,849 | ) | (853,188 | ) | (333,016 | ) | (473,088 | ) | — | |||||||||||||||||||||
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| Balance as of December 31, 2015 |
$ | 2,872,061 | $ | 3,465,975 | $ | 892,829 | $ | 2,096,066 | $ | 5,068,461 | $ | 4,698,368 | $ | 1,917,307 | $ | 2,025,454 | $ | 585,900 | ||||||||||||||||||
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| Net change in unrealized appreciation (depreciation) for investments in securities still held at December 31, 20151 |
$ | (219,029 | ) | $ | (19,291 | ) | — | $ | (116,597 | ) | $ | (79,759 | ) | (336,302 | ) | $ | (152,053 | ) | $ | 53,305 | $ | (13,249 | ) | |||||||||||||
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10
Notes to Schedule of Investments (unaudited) (continued)
| COMMON STOCKS | ||||||||
| INVESTMENTS IN SECURITIES (cont’d) |
CONSUMER DISCRETIONARY |
TOTAL | ||||||
| Balance as of September 30, 2015 |
$ | 871,404 | $ | 22,752,072 | ||||
| Accrued premiums/discounts |
— | 15,335 | ||||||
| Realized gain (loss) |
— | (372,945 | ) | |||||
| Change in unrealized appreciation (depreciation)1 |
(59,452 | ) | (1,017,268 | ) | ||||
| Purchases |
— | 1,103,200 | ||||||
| Sales |
— | (3,621,492 | ) | |||||
| Transfers into Level 32 |
— | 9,561,043 | ||||||
| Transfers out of Level 33 |
— | (3,985,572 | ) | |||||
|
|
|
|
|
|||||
| Balance as of December 31, 2015 |
$ | 811,952 | $ | 24,434,373 | ||||
|
|
|
|
|
|||||
| Net change in unrealized appreciation (depreciation) for investments in securities still held at December 31, 20151 |
$ | (59,452 | ) | $ | (942,427 | ) | ||
|
|
|
|
|
|||||
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 into Level 3 as a result of the unavailability of a quoted price in an active market for an identical investment or the unavailability of other significant observable inputs. |
| 3 | 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. |
2. Investments
At December 31, 2015, the aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes were substantially as follows:
| Gross unrealized appreciation |
$ | 544,036 | ||
| Gross unrealized depreciation |
(16,572,183 | ) | ||
|
|
|
|||
| Net unrealized depreciation |
$ | (16,028,147 | ) | |
|
|
|
11
| 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/ JANE TRUST | |
| Jane Trust | ||
| Chief Executive Officer | ||
| Date: |
February 22, 2016 | |
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/ JANE TRUST | |
| Jane Trust | ||
| Chief Executive Officer | ||
| Date: |
February 22, 2016 | |
| By | /s/ RICHARD F. SENNETT | |
| Richard F. Sennett | ||
| Principal Financial Officer | ||
| Date: |
February 22, 2016 | |