UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
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Investment Company Act file number |
811-8985 |
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LMP Corporate Loan Fund Inc. |
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(Exact name of registrant as specified in charter) |
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55 Water Street, New York, NY |
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10041 |
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(Address of principal executive offices) |
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(Zip code) |
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Robert I. Frenkel, Esq. |
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(Name and address of agent for service) |
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Registrant’s telephone number, including area code: |
1-800-451-2010 |
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Date of fiscal year end: |
September 30 |
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Date of reporting period: |
December 31, 2008 |
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ITEM 1. SCHEDULE OF INVESTMENTS
LMP CORPORATE LOAN FUND INC.
FORM N-Q
DECEMBER 31, 2008
LMP Corporate Loan Fund Inc.
Schedule of Investments (unaudited)
December 31, 2008
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Face |
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Security (a)(b) |
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Value |
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SENIOR COLLATERALIZED LOANS — 99.5% |
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Aerospace/Defense — 3.0% |
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$ |
409,706 |
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Be Aerospace Inc., New Term Loan B, 5.000% to 5.910% due 3/31/09 |
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$ |
373,516 |
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1,332,531 |
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CACI International Inc., Term Loan, 2.700% to 3.380% due 3/17/09 |
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1,212,603 |
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1,161,161 |
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ILC Industries Inc., First Lien Term Loan, 2.461% due 1/30/09 |
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1,039,239 |
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1,536,757 |
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Transdigm Inc., Term Loan B, 3.498% due 3/23/09 |
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1,239,395 |
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Total Aerospace/Defense |
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3,864,753 |
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Automotive — 2.5% |
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1,172,464 |
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Kar Holdings, Term Loan B, 3.709% due 3/31/09 |
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666,839 |
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519,193 |
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Keystone Automotive Industries Inc., Term Loan B, 5.325% to 5.750% due 3/31/09 |
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214,167 |
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Mark IV Industries Inc.: |
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438,516 |
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First Lien Term Loan, 5.970% to 8.480% due 3/30/09 |
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149,826 |
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247,045 |
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Second Lien Term Loan, 9.970% to 12.210% due 6/29/09 |
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23,469 |
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2,029,191 |
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Tire Rack Inc., Term Loan B, 2.220% to 3.210% due 3/31/09 |
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1,369,704 |
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1,182,507 |
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United Components Inc., Term Loan D, 4.390% due 2/10/09 |
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821,843 |
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Total Automotive |
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3,245,848 |
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Broadcast Radio and Television — 3.4% |
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2,276,786 |
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Citadel Communication Group, Term Loan B, 2.220% to 3.650% due 1/30/09 |
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933,482 |
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1,050,973 |
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CMP Susquehanna Corp., Term Loan B, 2.501% to 3.906% due 1/29/09 |
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246,978 |
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2,785,659 |
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National Cinemedia Inc., Term Loan B, 3.750% due 3/13/09 |
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1,666,752 |
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1,250,000 |
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Univision Communications, Term Loan B, 2.711% due 1/30/09 |
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513,889 |
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1,128,227 |
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Weather Channel, Term Loan, 7.250% due 3/12/09 |
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998,481 |
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Total Broadcast Radio and Television |
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4,359,582 |
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Building and Development — 4.5% |
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Building Materials Holding Corp.: |
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1,629,509 |
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First Lien Term Loan, 5.000% to 6.625% due 3/31/09 |
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995,019 |
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672,775 |
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Second Lien Term Loan, 6.313% due 1/29/09 |
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300,730 |
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1,627,960 |
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Capital Automotive REIT, Term Loan, 3.190% due 1/2/09 |
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672,348 |
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597,179 |
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Contech Construction Products Inc., Term Loan, 3.880% due 1/8/09 |
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343,378 |
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441,223 |
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Custom Building Products Inc., Term Loan B, 8.000% to 8.500% due 2/13/09 |
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303,709 |
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1,118,292 |
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Infrastrux Group Inc., Term Loan B, 4.711% due 1/30/09 |
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903,021 |
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1,306,029 |
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Panolam Industries International, Term Loan, 4.209% due 3/31/09 |
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848,919 |
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Pike Electric Inc.: |
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906,996 |
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Term Loan B, 2.750% due 1/13/09 |
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811,761 |
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202,688 |
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Term Loan C, 2.125% due 1/20/09 |
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181,406 |
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327,066 |
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Shea Capital I LLC, Term Loan, 4.220% to 4.500% due 3/31/09 |
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155,356 |
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2,500,000 |
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South Edge LLC, Term Loan C, 5.500% due 3/31/09 (c) |
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343,750 |
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Total Building and Development |
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5,859,397 |
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Business Equipment and Services — 9.1% |
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1,459,821 |
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Asurion Corp., First Lien Term Loan, 4.825% to 5.706% due 2/6/09 |
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997,240 |
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1,197,438 |
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Beacon Sales Acquisition Inc., Term Loan B, 2.471% to 6.053% due 1/29/09 |
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808,270 |
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1,650,802 |
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Belfor U.S.A., Term Loan B, 4.899% to 5.250% due 3/31/09 |
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1,436,198 |
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1,024,850 |
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Bright Horizons Family Solutions, Term Loan B, 6.250% to 7.500% due 6/30/09 |
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690,065 |
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Deluxe Entertainment Service Group Inc.: |
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91,003 |
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Canadian Term Loan, 3.709% due 3/31/09 |
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40,952 |
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51,540 |
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Letter of Credit, 3.709% due 3/31/09 |
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23,193 |
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100,000 |
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Second Lien Term Loan, 7.459% due 3/31/09 |
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53,000 |
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929,482 |
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Term Loan, 3.250% to 5.670% due 3/31/09 |
|
418,267 |
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820,833 |
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Intralinks Inc., Term Loan, 4.209% due 3/31/09 |
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430,937 |
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JHCI Acquisitions Inc.: |
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577,555 |
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First Lien Term Loan, 2.961% due 1/30/09 |
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314,045 |
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See Notes to Schedule of Investments.
1
LMP Corporate Loan Fund Inc.
Schedule of Investments (unaudited) (continued)
December 31, 2008
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Face |
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Security (a)(b) |
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Value |
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Business Equipment and Services — 9.1% (continued) |
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$ |
533,333 |
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Second Lien, 5.970% due 1/30/09 |
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$ |
192,667 |
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454,857 |
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Lender Processing Services Inc., Term Loan, 2.961% due 1/30/09 |
|
426,997 |
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1,362,194 |
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Metavante Corp., Term Loan B, 4.943% due 2/2/09 |
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1,021,645 |
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1,829,731 |
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N.E.W. Customer Services Cos. Inc., First Lien Term Loan, 4.689% to 7.024% due 3/10/09 |
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1,210,673 |
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785,626 |
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NCO Group, Term Loan, 5.720% to 6.410% due 3/30/09 |
|
624,573 |
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687,500 |
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Neff Corp., Second Lien Term Loan, 5.399% due 1/7/09 |
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159,844 |
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2,135,524 |
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Riskmetrics Group Holdings LLC, Term Loan B, 3.459% due 3/31/09 |
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1,852,568 |
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1,103,402 |
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U.S. Investigations Services LLC, Term Loan, 4.275% due 3/23/09 |
|
802,725 |
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371,702 |
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Verifone Inc., Term Loan, 3.220% due 1/30/09 |
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249,040 |
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Total Business Equipment and Services |
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11,752,899 |
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Cable and Satellite Television — 2.7% |
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1,734,825 |
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Bragg Communications Inc., Term Loan B Tranche Two, 5.310% due 3/2/09 |
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1,491,950 |
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1,700,000 |
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Insight Midwest Holdings LLC, Term Loan B, 3.910% due 1/2/09 |
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1,280,666 |
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|
995,304 |
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NTL Investment Holdings Ltd., Term Loan B4, 5.834% due 1/23/09 |
|
771,360 |
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Total Cable and Satellite Television |
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3,543,976 |
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Chemicals/Plastics — 3.9% |
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Hexion Specialty Chemicals Inc.: |
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1,678,053 |
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Term Loan C4, 5.500% due 2/2/09 |
|
704,782 |
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790,458 |
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Term Loan C5, 3.750% due 3/31/09 |
|
288,517 |
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Kik Custom Products: |
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|
94,489 |
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Canadian Term Loan, 5.800% due 1/26/09 |
|
42,048 |
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583,334 |
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Second Lien Term Loan, 8.541% due 1/26/09 |
|
109,375 |
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|
551,184 |
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Term Loan B, 5.800% due 1/26/09 |
|
245,277 |
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1,122,085 |
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Polypore Inc., Term Loan B, 3.930% due 1/2/09 |
|
662,030 |
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1,153,750 |
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Rockwood Specialties Group Inc., Tranche E Term Loan, 3.546% due 1/30/09 |
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936,598 |
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Texas Petrochemicals Corp.: |
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377,412 |
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Letter of Credit, 3.000% due 1/30/09 |
|
245,318 |
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1,118,154 |
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Term Loan B, 3.000% to 6.000% due 1/30/09 |
|
726,800 |
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1,441,571 |
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Unifrax Corp., Term Loan B, 3.688% due 1/2/09 |
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1,088,386 |
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Total Chemicals/Plastics |
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5,049,131 |
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Conglomerates — 0.6% |
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TriMas Corp.: |
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281,250 |
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Letter of Credit, 6.026% due 1/7/09 |
|
160,313 |
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1,191,328 |
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Term Loan B, 4.276% to 5.766% due 1/28/09 |
|
679,057 |
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Total Conglomerates |
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839,370 |
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Containers and Glass Products — 2.6% |
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Crown Americas LLC: |
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970,000 |
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Term Loan, 2.945% due 1/15/09 |
|
853,600 |
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|
970,000 |
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Term Loan B, 2.945% due 1/15/09 |
|
853,600 |
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|
2,261,315 |
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Graphic Packaging International Inc., First Lien Term Loan, 2.471% to 6.635% due 1/30/09 |
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1,597,368 |
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Total Containers and Glass Products |
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3,304,568 |
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Cosmetics/Personal Care — 0.8% |
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1,244,013 |
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Vi-Jon, Term Loan B, 2.831% due 1/20/09 |
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1,069,851 |
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Drugs — 2.8% |
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1,112,341 |
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Cardinal Health Inc., Dollar Term Loan, 3.709% due 3/31/09 |
|
675,747 |
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3,279,090 |
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Royalty Pharma Finance Trust, Term Loan, 3.709% due 3/31/09 |
|
2,918,390 |
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Total Drugs |
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3,594,137 |
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See Notes to Schedule of Investments.
2
LMP Corporate Loan Fund Inc.
Schedule of Investments (unaudited) (continued)
December 31, 2008
|
Face |
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Security (a)(b) |
|
Value |
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Electronics/Electric — 6.1% |
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Bridge Information Systems Inc.: |
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$ |
401,726 |
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Multi-Draw Term Loan, 6.000% due 3/31/09 (c)(d) |
|
$ |
12,855 |
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|
745,037 |
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Term Loan B, 6.250% due 3/31/09 (c)(d) |
|
23,841 |
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|
536,174 |
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Brocade Communication System Inc., Term Loan B, 6.250% due 3/31/09 |
|
447,705 |
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Dealer Computer Services: |
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1,000,000 |
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Second Lien Term Loan, 5.961% due 1/30/09 |
|
362,500 |
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|
1,831,594 |
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Term Loan, 2.461% due 1/30/09 |
|
883,744 |
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|
2,250,106 |
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Intergraph Corp., First Lien Term Loan, 4.181% due 2/27/09 |
|
1,704,455 |
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|
2,117,104 |
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Macrovision Solutions Corp., Term Loan, 6.000% to 6.750% due 3/31/09 |
|
1,926,564 |
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|
1,602,956 |
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Sabre Inc., Term Loan B, 3.890% to 5.420% due 1/30/09 |
|
703,698 |
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|
2,216,250 |
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Travelport, Delayed Draw Term Loan, 3.709% due 3/31/09 |
|
997,313 |
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|
1,220,636 |
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Vertafore Inc., First Lien Term Loan, 4.658% due 2/25/09 |
|
842,239 |
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Total Electronics/Electric |
|
7,904,914 |
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Equipment Leasing — 0.6% |
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|
||||||
|
970,955 |
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Rent-a-Center Inc., Term Loan B, 2.340% to 3.640% due 1/16/09 |
|
815,602 |
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Finance — 0.1% |
|
|
|
||||||
|
260,686 |
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CB Richard Ellis Group Inc., Term Loan B, 2.081% to 3.750% due 3/31/09 |
|
128,518 |
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Food Products — 5.7% |
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|
American Seafoods Group LLC: |
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|
541,017 |
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Term Loan B1, 2.211% due 1/30/09 |
|
462,570 |
|
||
|
816,871 |
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Term Loan B2, 2.211% due 1/30/09 |
|
698,425 |
|
||
|
855,823 |
|
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|
Birds Eye Foods Inc., Term Loan, 3.210% due 3/31/09 |
|
697,496 |
|
||
|
1,665,567 |
|
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Michael Foods Inc., Term Loan B-1, 3.328% to 3.923% due 3/19/09 |
|
1,474,027 |
|
||
|
1,751,255 |
|
|
|
NPC International, Term Loan B, 2.220% to 6.090% due 3/31/09 |
|
1,190,853 |
|
||
|
1,339,798 |
|
|
|
Pinnacle Foods Group Inc., Term Loan B, 4.661% to 6.803% due 1/2/09 |
|
923,121 |
|
||
|
1,112,163 |
|
|
|
Reddy Ice Group Inc., Term Loan, 6.500% due 1/14/09 |
|
653,396 |
|
||
|
1,304,967 |
|
|
|
Wrigley Jr. Co., Tranche B, 7.750% due 1/6/09 |
|
1,251,681 |
|
||
|
|
|
|
|
Total Food Products |
|
7,351,569 |
|
||
|
Food/Drug Retailers — 1.3% |
|
|
|
||||||
|
1,449,102 |
|
|
|
General Nutrition Centers, Term Loan B, 3.720% to 6.310% due 3/30/09 |
|
966,069 |
|
||
|
929,175 |
|
|
|
Smart & Final, First Lien Term Loan, 3.461% to 6.834% due 2/27/09 |
|
650,422 |
|
||
|
|
|
|
|
Total Food/Drug Retailers |
|
1,616,491 |
|
||
|
Forest Products — 0.5% |
|
|
|
||||||
|
875,265 |
|
|
|
Domtar Inc., Term Loan, 3.251% due 1/8/09 |
|
596,821 |
|
||
|
Healthcare — 10.3% |
|
|
|
||||||
|
1,563,448 |
|
|
|
AMN Healthcare, Term Loan B, 3.209% due 3/31/09 |
|
1,352,382 |
|
||
|
|
|
|
|
Carestream Health Inc.: |
|
|
|
||
|
1,375,828 |
|
|
|
First Lien Term Loan, 5.420% due 1/30/09 |
|
830,656 |
|
||
|
1,000,000 |
|
|
|
Second Lien Term Loan, 7.446% to 8.670% due 2/27/09 |
|
268,750 |
|
||
|
2,250,000 |
|
|
|
Davita Inc., Term Loan B1, 1.970% to 6.320% due 3/31/09 |
|
1,977,590 |
|
||
|
1,696,803 |
|
|
|
DJO Finance LLC, Term Loan B, 3.461% to 4.459% due 3/31/09 |
|
1,204,730 |
|
||
|
1,703,594 |
|
|
|
Education Management Corp., Term Loan B, 3.250% due 3/31/09 |
|
1,083,486 |
|
||
|
|
|
|
|
Fresenius SE: |
|
|
|
||
|
561,866 |
|
|
|
Term Loan B, 6.750% due 1/12/09 |
|
512,702 |
|
||
|
302,683 |
|
|
|
Term Loan B2, 6.750% due 1/12/09 |
|
276,199 |
|
||
|
583,654 |
|
|
|
Hologic, Tranche B Term Loan, 4.750% due 1/12/09 |
|
525,289 |
|
||
|
1,295,722 |
|
|
|
Life Technologies Corp., Term Loan B, 5.250% due 3/31/09 |
|
1,217,978 |
|
||
|
1,694,264 |
|
|
|
Medassets Inc., Term Loan B, 5.209% to 7.512% due 6/30/09 |
|
1,474,010 |
|
||
|
|
|
|
|
Talecris Biotherepeutics Inc.: |
|
|
|
||
|
475,133 |
|
|
|
First Lien Term Loan, 5.500% to 5.640% due 3/31/09 |
|
416,929 |
|
||
|
1,430,851 |
|
|
|
Second Lien Term Loan, 8.640% due 2/13/09 |
|
1,198,338 |
|
||
See Notes to Schedule of Investments.
3
LMP Corporate Loan Fund Inc.
Schedule of Investments (unaudited) (continued)
December 31, 2008
|
Face |
|
|
|
Security (a)(b) |
|
Value |
|
||
|
Healthcare — 10.3% (continued) |
|
|
|
||||||
|
$ |
1,038,483 |
|
|
|
Vicar Operating Inc., Term Loan, 2.000% due 1/31/09 |
|
$ |
924,250 |
|
|
|
|
|
|
Total Healthcare |
|
13,263,289 |
|
||
|
Home Furnishings — 0.1% |
|
|
|
||||||
|
|
|
|
|
BL Sleep Innovations: |
|
|
|
||
|
500,000 |
|
|
|
Second Lien Term Loan, 3.250% due 3/31/09 (c) |
|
15,313 |
|
||
|
1,098,493 |
|
|
|
Term Loan, 5.750% due 3/31/09 (c) |
|
101,061 |
|
||
|
|
|
|
|
Total Home Furnishings |
|
116,374 |
|
||
|
Hotels/Motels/Inns and Casinos — 2.4% |
|
|
|
||||||
|
1,827,326 |
|
|
|
Ameristar Casinos Inc., Initial Term Loan, 2.471% due 1/29/09 |
|
1,110,101 |
|
||
|
1,171,972 |
|
|
|
Penn National Gaming Inc., Term Loan B, 2.210% to 5.290% due 2/9/09 |
|
952,553 |
|
||
|
|
|
|
|
Seminole Tribe of Florida: |
|
|
|
||
|
165,052 |
|
|
|
Term Loan, 3.000% due 3/31/09 |
|
135,893 |
|
||
|
594,383 |
|
|
|
Term Loan B2, 3.000% due 3/31/09 |
|
489,375 |
|
||
|
527,984 |
|
|
|
Term Loan B3, 3.000% due 3/31/09 |
|
434,706 |
|
||
|
|
|
|
|
Total Hotels/Motels/Inns and Casinos |
|
3,122,628 |
|
||
|
Industrial Equipment — 3.4% |
|
|
|
||||||
|
1,485,863 |
|
|
|
Baldor Electric Co., Term Loan B, 2.250% to 5.250% due 1/30/09 |
|
1,264,221 |
|
||
|
|
|
|
|
LN Acquisition Corp.: |
|
|
|
||
|
149,242 |
|
|
|
Delayed Draw Term Loan B, 4.370% due 1/9/09 |
|
113,424 |
|
||
|
397,979 |
|
|
|
First Lien Term Loan, 4.370% due 1/9/09 |
|
302,464 |
|
||
|
1,399,000 |
|
|
|
Manitowoc Company Inc., Term Loan B, 6.500% due 1/8/09 |
|
991,891 |
|
||
|
1,262,582 |
|
|
|
Oshkosh Truck Corp., Term Loan B, 1.970% to 3.700% due 3/6/09 |
|
743,872 |
|
||
|
|
|
|
|
Veyance Technologies Inc.: |
|
|
|
||
|
217,105 |
|
|
|
Delayed Draw Term Loan, 4.380% due 1/8/09 |
|
118,865 |
|
||
|
1,515,899 |
|
|
|
Term Loan B, 4.380% due 1/8/09 |
|
829,955 |
|
||
|
|
|
|
|
Total Industrial Equipment |
|
4,364,692 |
|
||
|
Leisure — 5.5% |
|
|
|
||||||
|
682,066 |
|
|
|
Amscan Holdings Inc., Term Loan B, 3.716% to 4.423% due 3/26/09 |
|
451,869 |
|
||
|
|
|
|
|
Auto Europe Group LLC: |
|
|
|
||
|
557,457 |
|
|
|
First Lien Term Loan, 3.221% due 1/30/09 |
|
418,093 |
|
||
|
1,000,000 |
|
|
|
Second Lien Term Loan, 6.971% due 1/30/09 |
|
650,000 |
|
||
|
2,358,396 |
|
|
|
Lodgenet Entertainment Corp., Term Loan B, 3.460% due 3/31/09 |
|
931,566 |
|
||
|
1,404,348 |
|
|
|
Regal Cinemas Inc., Term Loan, 3.209% due 3/31/09 |
|
1,032,977 |
|
||
|
782,609 |
|
|
|
Ticketmaster, Term Loan B, 6.640% due 3/23/09 |
|
540,000 |
|
||
|
1,352,069 |
|
|
|
Universal City Development Partners L.P., Term Loan B, 6.000% to 7.820% due 3/11/09 |
|
1,176,300 |
|
||
|
1,219,017 |
|
|
|
Warner Music Group Acquisition Corp., Term Loan, 2.471% to 5.834% due 2/27/09 |
|
938,643 |
|
||
|
1,538,393 |
|
|
|
Zuffa, Term Loan B, 2.500% due 1/26/09 |
|
920,471 |
|
||
|
|
|
|
|
Total Leisure |
|
7,059,919 |
|
||
|
Non-Ferrous Metals/Materials — 2.7% |
|
|
|
||||||
|
1,036,878 |
|
|
|
Compass Minerals Group Inc., Term Loan, 1.980% to 5.020% due 3/31/09 |
|
942,263 |
|
||
|
|
|
|
|
Novelis Inc.: |
|
|
|
||
|
393,172 |
|
|
|
CA Term Loan, 3.460% due 3/31/09 |
|
253,596 |
|
||
|
864,979 |
|
|
|
US Term Loan, 3.460% due 3/31/09 |
|
557,911 |
|
||
|
|
|
|
|
Oxbow Carbon and Minerals Holdings LLC: |
|
|
|
||
|
71,526 |
|
|
|
Delayed Draw Term Loan B, 2.460% due 1/30/09 |
|
45,300 |
|
||
|
798,948 |
|
|
|
Term Loan, 2.461% to 3.459% due 3/31/09 |
|
506,000 |
|
||
|
1,673,920 |
|
|
|
Walter Industries Inc., Term Loan B, 2.711% to 4.161% due 3/31/09 |
|
1,217,777 |
|
||
|
|
|
|
|
Total Non-Ferrous Metals/Materials |
|
3,522,847 |
|
||
See Notes to Schedule of Investments.
4
LMP Corporate Loan Fund Inc.
Schedule of Investments (unaudited) (continued)
December 31, 2008
|
Face |
|
|
|
Security (a)(b) |
|
Value |
|
||
|
Oil & Gas — 7.8% |
|
|
|
||||||
|
$ |
1,060,541 |
|
|
|
Alon Krotz, Term Loan, 10.750% due 2/4/09 |
|
$ |
837,827 |
|
|
|
|
|
|
Alon USA Inc.: |
|
|
|
||
|
316,229 |
|
|
|
Edgington Term Loan, 4.446% due 2/27/09 |
|
205,549 |
|
||
|
2,529,833 |
|
|
|
Paramount Term Loan, 2.711% to 4.446% due 2/27/09 |
|
1,644,391 |
|
||
|
898,396 |
|
|
|
Astoria Generating Co. Acquisitions LLC, Term Loan B, 2.230% to 3.630% due 1/23/09 |
|
738,482 |
|
||
|
|
|
|
|
Coffeyville Resources LLC: |
|
|
|
||
|
345,413 |
|
|
|
Letter of Credit, 6.633% due 1/2/09 |
|
245,243 |
|
||
|
1,115,287 |
|
|
|
Tranche D Term Loan, 8.500% to 9.133% due 1/2/09 |
|
791,854 |
|
||
|
1,218,218 |
|
|
|
Dresser Inc., Term Loan B, 2.711% to 4.486% due 2/18/09 |
|
772,046 |
|
||
|
809,528 |
|
|
|
Helix Energy Solutions Group Inc., Term Loan B, 2.961% to 6.750% due 3/31/09 |
|
564,646 |
|
||
|
1,561,929 |
|
|
|
Hercules Offshore Inc., Term Loan B, 3.210% due 4/1/09 |
|
1,030,873 |
|
||
|
1,247,763 |
|
|
|
Semgroup L.P., Term Loan, 5.750% due 3/31/09 (c) |
|
374,329 |
|
||
|
|
|
|
|
Targa Resources: |
|
|
|
||
|
378,682 |
|
|
|
Synthetic Letter of Credit, 3.459% due 3/30/09 |
|
241,004 |
|
||
|
659,127 |
|
|
|
Term Loan B, 3.459% to 5.975% due 3/31/09 |
|
419,487 |
|
||
|
1,273,443 |
|
|
|
Volnay Acquisition Co. I, Term Loan B, 3.811% to 5.428% due 6/30/09 |
|
1,017,162 |
|
||
|
2,286,607 |
|
|
|
Western Refining Co. L.P., Term Loan, 9.250% due 2/27/09 |
|
1,141,017 |
|
||
|
|
|
|
|
Total Oil & Gas |
|
10,023,910 |
|
||
|
Publishing — 3.8% |
|
|
|
||||||
|
2,493,750 |
|
|
|
Dex Media East LLC, Delayed Draw Term Loan B, 3.460% to 5.420% due 3/31/09 |
|
991,266 |
|
||
|
|
|
|
|
Gatehouse Media Operating Inc.: |
|
|
|
||
|
262,973 |
|
|
|
Delayed Draw Term Loan, 4.200% to 4.250% due 3/31/09 |
|
41,024 |
|
||
|
704,769 |
|
|
|
Term Loan B, 4.200% due 2/27/09 |
|
109,944 |
|
||
|
881,152 |
|
|
|
Getty Images, Term Loan B, 8.053% due 1/2/09 |
|
788,631 |
|
||
|
1,000,000 |
|
|
|
Lamar Media Corp., Term Loan, 2.000% due 2/2/09 |
|
860,000 |
|
||
|
1,622,580 |
|
|
|
R.H. Donnelley Inc., Term Loan D-1, 6.750% due 3/18/09 |
|
946,504 |
|
||
|
|
|
|
|
Valassis Communications Inc.: |
|
|
|
||
|
202,701 |
|
|
|
Delayed Draw Term Loan, 3.210% due 3/31/09 |
|
100,337 |
|
||
|
611,351 |
|
|
|
Term Loan, 3.210% due 3/31/09 |
|
302,619 |
|
||
|
1,424,570 |
|
|
|
Wenner Media LLC, Term Loan B, 3.209% due 3/31/09 |
|
797,759 |
|
||
|
|
|
|
|
Total Publishing |
|
4,938,084 |
|
||
|
Retailers — 2.3% |
|
|
|
||||||
|
1,330,614 |
|
|
|
Claire’s Stores Inc., Term Loan B, 3.221% to 4.209% due 3/30/09 |
|
528,549 |
|
||
|
263,158 |
|
|
|
J Crew Group, Term Loan B, 2.250% to 5.313% due 1/29/09 |
|
202,632 |
|
||
|
1,119,248 |
|
|
|
Michaels Stores Inc., Term Loan B, 2.750% to 4.500% due 1/30/09 |
|
587,885 |
|
||
|
1,468,354 |
|
|
|
Neiman-Marcus Group Inc., Term Loan, 4.193% due 3/6/09 |
|
942,416 |
|
||
|
1,225,000 |
|
|
|
Petco Animal Supplies Inc., Term Loan, 2.711% to 5.670% due 3/31/09 |
|
771,750 |
|
||
|
|
|
|
|
Total Retailers |
|
3,033,232 |
|
||
|
Steel — 0.2% |
|
|
|
||||||
|
|
|
|
|
Tube City IMS Corp.: |
|
|
|
||
|
81,081 |
|
|
|
Letter of Credit, 5.762% due 1/7/09 |
|
26,352 |
|
||
|
657,213 |
|
|
|
Term Loan, 3.459% due 3/31/09 |
|
213,594 |
|
||
|
|
|
|
|
Total Steel |
|
239,946 |
|
||
|
Surface Transport — 0.4% |
|
|
|
||||||
|
|
|
|
|
Coach America Holdings Inc.: |
|
|
|
||
|
494,010 |
|
|
|
First Lien Term Loan B, 4.919% due 2/26/09 |
|
281,586 |
|
||
|
500,000 |
|
|
|
Second Lien Term Loan, 8.670% due 3/30/09 |
|
187,500 |
|
||
See Notes to Schedule of Investments.
5
LMP Corporate Loan Fund Inc.
Schedule of Investments (unaudited) (continued)
December 31, 2008
|
Face |
|
|
|
Security (a)(b) |
|
Value |
|
|||
|
Surface Transport — 0.4% (continued) |
|
|
|
|||||||
|
$ |
103,419 |
|
|
|
Synthetic Letter of Credit, 4.209% due 3/31/09 |
|
$ |
58,948 |
|
|
|
|
|
|
|
Total Surface Transport |
|
528,034 |
|
|||
|
Telecommunications/Cellular Communications — 6.3% |
|
|
|
|||||||
|
2,390,833 |
|
|
|
Centennial Communications Corp., New Term Loan, 3.459% to 4.196% due 3/31/09 |
|
2,283,246 |
|
|||
|
1,718,231 |
|
|
|
Cricket Communications Inc., Term Loan B, 4.959% due 3/31/09 |
|
1,439,019 |
|
|||
|
476,288 |
|
|
|
Crown Castle Operating Co., Term Loan B, 5.376% due 3/31/09 |
|
329,115 |
|
|||
|
260,337 |
|
|
|
Hargray Communications Group Inc., Term Loan B, 3.384% due 2/6/09 |
|
209,571 |
|
|||
|
1,945,151 |
|
|
|
Metropcs Wireless Inc., Term Loan B, 2.750% to 5.500% due 2/2/09 |
|
1,570,710 |
|
|||
|
2,704,957 |
|
|
|
Ntelos Inc., First Lien Term Loan, 2.720% due 1/30/09 |
|
2,316,119 |
|
|||
|
|
|
|
|
Total Telecommunications/Cellular Communications |
|
8,147,780 |
|
|||
|
Utilities — 4.1% |
|
|
|
|||||||
|
1,516,986 |
|
|
|
Calpine Corp., First Priority Term Loan, 4.335% due 3/31/09 |
|
1,125,279 |
|
|||
|
|
|
|
|
Covanta Holding Corp.: |
|
|
|
|||
|
164,948 |
|
|
|
Letter of Credit, 2.825% due 3/31/09 |
|
137,732 |
|
|||
|
329,188 |
|
|
|
Term Loan B, 2.000% to 3.750% due 3/31/09 |
|
274,872 |
|
|||
|
|
|
|
|
Firstlight Power Resources Inc.: |
|
|
|
|||
|
105,691 |
|
|
|
Letter of Credit, 3.850% due 3/31/09 |
|
77,947 |
|
|||
|
250,000 |
|
|
|
Second Lien Term Loan, 5.966% due 3/30/09 |
|
137,500 |
|
|||
|
820,288 |
|
|
|
Term Loan B, 4.125% due 3/23/09 |
|
604,963 |
|
|||
|
934,601 |
|
|
|
Mirant North America LLC, Term Loan B, 2.211% due 1/30/09 |
|
796,080 |
|
|||
|
716,667 |
|
|
|
Reliant Energy Inc., Letter of Credit, 3.750% due 1/2/09 |
|
521,017 |
|
|||
|
|
|
|
|
TPF Generation Holdings LLC: |
|
|
|
|||
|
154,214 |
|
|
|
Letter of Credit, 5.762% due 1/7/09 |
|
126,919 |
|
|||
|
48,343 |
|
|
|
Revolver, 5.762% due 1/7/09 |
|
39,786 |
|
|||
|
722,996 |
|
|
|
Term Loan B, 2.461% due 1/30/09 |
|
595,026 |
|
|||
|
1,191,634 |
|
|
|
USPF Holdings LLC, Term Loan, 2.945% due 1/15/09 |
|
893,725 |
|
|||
|
|
|
|
|
Total Utilities |
|
5,330,846 |
|
|||
|
|
|
|
|
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT (Cost — $190,118,418) |
|
128,589,008 |
|
|||
|
SHORT-TERM INVESTMENT — 0.5% |
|
|
|
|||||||
|
U.S. Government Agency — 0.5% |
|
|
|
|||||||
|
635,000 |
|
|
|
Federal Home Loan Bank
(FHLB), Discount Notes, |
|
635,000 |
|
|||
|
|
|
|
|
TOTAL INVESTMENTS — 100.0% (Cost — $190,753,418#) |
|
$ |
129,224,008 |
|
||
(a) The maturity date represents the last in range of interest rate reset dates.
(b) Interest rates disclosed represent the effective rates on loans and debt securities. Ranges in interest rates are attributable to multiple contracts under the same loan.
(c) Security is currently in default.
(d) Security is valued in good faith at fair value by or under the direction of the Board of Directors (See Note 2).
(e) Rate shown represents yield-to-maturity.
# Aggregate cost for federal income tax purposes is substantially the same.
Abbreviations used in this schedule:
|
Term |
- |
Term Loan typically with a First Lien on specified assets. |
|
Second Lien |
- |
Subordinate Loan to first Lien. |
|
REIT |
- |
Real Estate Investment Trust. |
See Notes to Schedule of Investments.
6
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. 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”), with the assistance of the Citigroup Alternative Investments LLC, 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. LMPFA may also consider prices or quotations, if any, provided by banks, dealers or pricing services which may represent the prices at which secondary market transactions in the collateralized senior loans held by the Fund have or could have occurred. U.S. government agency obligations are valued at the mean between the quoted bid and asked prices. Securities traded on national securities markets are valued at the closing price on such markets. Securities traded in the over-the-counter market and listed securities for which no sales prices were reported are valued at the mean between the quoted bid and asked prices. Securities listed on the NASDAQ National Market System for which market quotations are available are valued at the official closing price or, if there is no official closing price on that day, at the last sale price. Short-term obligations maturing within 60 days are valued at amortized cost, which approximates fair value.
Effective October 1, 2008, the Fund adopted Statement of Financial Accounting Standards No. 157 (“FAS 157”). FAS 157 establishes a single definition of fair value, creates a three-tier hierarchy as a framework for measuring fair value based on inputs used to value the Fund’s investments, and requires additional disclosure about fair value. The hierarchy of inputs is summarized below.
· Level 1 – quoted prices in active markets for identical investments
· Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)
· Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used in valuing the Fund’s assets carried at fair value:
|
|
|
December 31, 2008 |
|
Quoted Prices |
|
Other Significant |
|
Significant |
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities |
|
$129,224,008 |
|
— |
|
$129,187,312 |
|
$36,696 |
|
7
Notes to Schedule of Investments (unaudited) (continued)
Following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value:
|
|
|
Investments |
|
|
Balance as of September 30, 2008 |
|
$36,696 |
|
|
Accrued Premiums/Discounts |
|
— |
|
|
Realized Gain (Loss) |
|
— |
|
|
Change in unrealized appreciation (depreciation) |
|
— |
|
|
Net purchases (sales) |
|
— |
|
|
Transfers in and/or out of Level 3 |
|
— |
|
|
Balance as of December 31, 2008 |
|
$36,696 |
|
(b) Security Transactions. Security transactions are accounted for on a trade date basis.
2. Investments
At December 31, 2008, the aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes were substantially as follows:
|
Gross unrealized appreciation |
|
— |
|
||
|
Gross unrealized depreciation |
|
$ |
(61,529,410 |
) |
|
|
Net unrealized depreciation |
|
$ |
(61,529,410 |
) |
|
3. Recent Accounting Pronouncement
In March 2008, the Financial Accounting Standards Board issued the Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities (“FAS 161”). FAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. FAS 161 requires enhanced disclosures about the Fund’s derivative and hedging activities, including how such activities are accounted for and their effect on the Fund’s financial position, performance and cash flows. Management is currently evaluating the impact the adoption of FAS 161 will have on the Fund’s financial statements and related disclosures.
8
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.
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
LMP Corporate Loan Fund Inc.
|
By |
/s/ R. Jay Gerken |
|
|
R. Jay Gerken |
|
|
|
Chief Executive Officer |
|
|
|
|
|
|
|
Date: February 26, 2009 |
|
|
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
|
By |
/s/ R. Jay Gerken |
|
|
R. Jay Gerken |
|
|
|
Chief Executive Officer |
|
|
|
|
|
|
|
Date: February 26, 2009 |
|
|
|
|
|
|
|
By |
/s/ Kaprel Ozsolak |
|
|
Kaprel Ozsolak |
|
|
|
Chief Financial Officer |
|
|
|
|
|
|
|
Date: February 26, 2009 |
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|