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
Western Asset 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, 2016
| ITEM 1. | SCHEDULE OF INVESTMENTS. |
WESTERN ASSET CORPORATE LOAN FUND INC. (TLI)
FORM N-Q
DECEMBER 31, 2016
WESTERN ASSET CORPORATE LOAN FUND INC.
| Schedule of investments (unaudited) | December 31, 2016 |
| SECURITY† |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| SENIOR LOANS - 123.3% | ||||||||||||||||
| Basic Industry(a)(b) - 3.6% |
||||||||||||||||
| Atlas Iron Ltd., Capex Term Loan B |
5.580 | % | 5/6/21 | $ | 904,965 | $ | 565,603 | |||||||||
| Essar Steel Algoma Inc., Term Loan |
7.500 | % | 8/9/19 | 643,500 | 233,269 | *(c) | ||||||||||
| Murray Energy Corp., Term Loan B2 |
8.250 | % | 4/16/20 | 899,121 | 861,470 | |||||||||||
| Phibro Animal Health Corp., Term Loan B |
4.000 | % | 4/16/21 | 585,000 | 587,437 | |||||||||||
| PQ Corp., 2016 USD Term Loan |
5.250 | % | 11/4/22 | 1,616,885 | 1,634,642 | |||||||||||
| Westmoreland Coal Co., Term Loan B |
7.500 | % | 12/16/20 | 384,067 | 348,541 | |||||||||||
|
|
|
|||||||||||||||
| Total Basic Industry |
4,230,962 | |||||||||||||||
|
|
|
|||||||||||||||
| Capital Goods(a)(b) - 8.6% |
| |||||||||||||||
| American Builders & Contractors Supply Co. Inc., Term Loan B |
3.520 | % | 10/31/23 | 539,607 | 545,629 | |||||||||||
| Berry Plastics Holding Corp., Term Loan H |
3.750 | % | 10/1/22 | 750,396 | 758,181 | |||||||||||
| BWAY Holding Co. Inc., 2016 Term Loan B |
4.750 - 6.500 | % | 8/14/23 | 1,257,861 | 1,264,779 | |||||||||||
| Casella Waste Systems Inc., Term Loan B |
4.000 | % | 10/3/23 | 720,000 | 728,100 | |||||||||||
| Coinstar LLC, 1st Lien Term Loan |
5.250 - 7.000 | % | 9/27/23 | 267,000 | 270,560 | |||||||||||
| Coinstar LLC, Second Lien Term Loan |
9.750 | % | 9/27/24 | 290,000 | 293,625 | |||||||||||
| Consolidated Container Co., LLC, New Term Loan |
4.748 | % | 7/3/19 | 74,612 | 74,457 | |||||||||||
| Coveris Holdings SA, 2015 Term Loan B1 |
4.500 | % | 5/8/19 | 665,799 | 670,377 | |||||||||||
| Flex Acquisition Co. Inc., 1st Lien Term Loan |
— | 12/13/23 | 480,000 | 485,250 | (d) | |||||||||||
| GYP Holdings III Corp., Add On First Lien Term Loan |
4.500 | % | 4/1/21 | 803,123 | 806,134 | |||||||||||
| LS Newco Pty Ltd., 2016 Term Loan B |
5.000 | % | 5/21/22 | 354,198 | 360,396 | |||||||||||
| Printpack Holdings Inc., 2016 Term Loan |
5.000 | % | 7/26/23 | 803,880 | 810,914 | |||||||||||
| Quikrete Holdings Inc., 2016 First Lien Term Loan |
4.000 | % | 11/15/23 | 720,000 | 728,100 | |||||||||||
| Reynolds Group Holdings Inc., 2016 USD Term Loan |
4.250 | % | 2/5/23 | 239,400 | 242,311 | |||||||||||
| STS Operating Inc., Term Loan |
4.750 | % | 2/12/21 | 552,822 | 523,799 | |||||||||||
| WP CPP Holdings LLC, New Second Lien Term Loan |
8.750 | % | 4/30/21 | 492,500 | 468,183 | |||||||||||
| WP CPP Holdings LLC, Term Loan B3 |
4.500 | % | 12/28/19 | 943,261 | 925,575 | |||||||||||
|
|
|
|||||||||||||||
| Total Capital Goods |
9,956,370 | |||||||||||||||
|
|
|
|||||||||||||||
|
Communications(a)(b) - 14.8% |
| |||||||||||||||
| Ancestry.com Operations Inc., First Lien Term Loan |
5.250 | % | 10/19/23 | 700,000 | 705,810 | |||||||||||
| Ancestry.com Operations Inc., Second Lien Term Loan |
9.250 | % | 10/19/24 | 1,030,000 | 1,054,033 | |||||||||||
| CBS Radio Inc., Term Loan B |
4.500 | % | 10/17/23 | 597,736 | 605,204 | |||||||||||
| Charter Communications Operating LLC, 2016 Term Loan I |
3.500 | % | 1/24/23 | 714,600 | 719,116 | |||||||||||
| Checkout Holding Corp., First Lien Term Loan |
4.500 | % | 4/9/21 | 263,250 | 230,344 | |||||||||||
| CSC Holdings LLC, 2016 Term Loan |
3.876 | % | 10/11/24 | 506,579 | 512,832 | |||||||||||
| InfoGroup Inc., New Term Loan |
6.498 | % | 5/26/18 | 932,420 | 922,951 | |||||||||||
| Intelsat Jackson Holdings SA, Term Loan B2 |
3.750 | % | 6/30/19 | 966,171 | 937,013 | |||||||||||
| Level 3 Financing Inc., 2013 Term Loan B |
4.000 | % | 1/15/20 | 310,000 | 314,602 | |||||||||||
| Level 3 Financing Inc., 2015 Term Loan B2 |
3.500 | % | 5/31/22 | 440,000 | 444,629 | |||||||||||
| Level 3 Financing Inc., New 2019 Term Loan |
4.000 | % | 8/1/19 | 500,000 | 506,063 | |||||||||||
| Lions Gate Entertainment Corp., 2016 First Lien Term Loan |
3.750 | % | 12/8/23 | 960,000 | 967,044 | |||||||||||
| McGraw-Hill Global Education Holdings LLC, 2016 Term Loan B |
5.000 | % | 5/4/22 | 985,050 | 987,143 | |||||||||||
| Numericable U.S. LLC, USD Term Loan B7 |
5.137 | % | 1/15/24 | 1,114,400 | 1,126,937 | |||||||||||
| Rentpath Inc., First Lien Term Loan |
6.250 | % | 12/17/21 | 1,691,306 | 1,668,051 | |||||||||||
| Telenet International Finance Sarl, USD Term Loan AF |
3.704 | % | 1/31/25 | 740,000 | 746,012 | |||||||||||
| Telesat Canada, USD Term Loan B3 |
4.500 | % | 11/17/23 | 1,550,000 | 1,577,125 | |||||||||||
| Univision Communications Inc., Term Loan C3 |
4.000 | % | 3/1/20 | 525,861 | 528,778 | |||||||||||
| Univision Communications Inc., Term Loan C4 |
4.000 | % | 3/1/20 | 372,387 | 374,585 | |||||||||||
See Notes to Schedule of Investments.
1
WESTERN ASSET CORPORATE LOAN FUND INC.
| Schedule of investments (unaudited) (cont’d) | December 31, 2016 |
| SECURITY† |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
|
Communications(a)(b) - (continued) |
||||||||||||||||
| UPC Financing Partnership, USD Term Loan AN |
4.080 | % | 8/31/24 | $ | 830,000 | $ | 839,441 | |||||||||
| Windstream Services LLC, Delayed Draw Term Loan |
— | 3/29/21 | 730,000 | 734,791 | (d) | |||||||||||
| Windstream Services LLC, Repriced Term Loan B6 |
4.750 | % | 3/16/21 | 239,400 | 240,971 | |||||||||||
| Ziggo Financing Partnership, USD Term Loan B1 |
3.500 | % | 1/15/22 | 323,698 | 325,432 | |||||||||||
| Ziggo Financing Partnership, USD Term Loan B2A |
3.500 | % | 1/15/22 | 186,120 | 187,117 | |||||||||||
| Ziggo Financing Partnership, USD Term Loan B3 |
3.701 | % | 1/15/22 | 59,756 | 60,076 | |||||||||||
|
|
|
|||||||||||||||
| Total Communications |
17,316,100 | |||||||||||||||
|
|
|
|||||||||||||||
| Consumer Cyclical(a)(b) - 28.9% |
| |||||||||||||||
| Academy Ltd., 2015 Term Loan B |
5.000 | % | 7/1/22 | 1,273,525 | 1,180,740 | |||||||||||
| Affinity Gaming LLC, Initial Term Loan |
5.000 | % | 7/1/23 | 518,397 | 522,933 | (d) | ||||||||||
| AP NMT Acquisition BV, USD First Lien Term Loan |
6.750 | % | 8/13/21 | 394,518 | 364,765 | |||||||||||
| AP NMT Acquisition BV, USD Second Lien Term Loan |
10.000 | % | 8/13/22 | 50,000 | 40,383 | |||||||||||
| Aristocrat Technologies Inc., 2016 Term Loan B |
3.631 | % | 10/20/21 | 1,639,344 | 1,658,607 | |||||||||||
| Bass Pro Group LLC, 2015 Term Loan |
4.000 | % | 6/5/20 | 739,356 | 737,816 | |||||||||||
| Bass Pro Group LLC, Asset Sale Term Loan |
— | 5/4/18 | 580,000 | 581,450 | (d) | |||||||||||
| Bass Pro Group LLC, Term Loan B |
— | 12/16/23 | 1,450,000 | 1,439,254 | (d) | |||||||||||
| Boyd Gaming Corp., Term Loan B2 |
3.756 | % | 9/15/23 | 708,225 | 716,193 | |||||||||||
| Brickman Group Ltd. LLC, First Lien Term Loan |
4.000 | % | 12/18/20 | 871,888 | 874,924 | |||||||||||
| Caesars Entertainment Resort Properties LLC, Term Loan B |
7.000 | % | 10/11/20 | 1,323,314 | 1,339,194 | |||||||||||
| Caesars Growth Properties Holdings LLC, Term Loan |
6.250 | % | 5/8/21 | 492,818 | 497,515 | |||||||||||
| CCM Merger Inc., New Term Loan B |
4.020 | % | 8/8/21 | 905,334 | 909,860 | |||||||||||
| CEC Entertainment Inc., Term Loan B |
4.000 | % | 2/14/21 | 1,008,483 | 1,004,701 | |||||||||||
| CityCenter Holdings LLC, Term Loan B |
4.250 | % | 10/16/20 | 778,035 | 787,031 | |||||||||||
| Crossmark Holdings Inc., First Lien Term Loan |
4.500 | % | 12/20/19 | 597,656 | 448,242 | |||||||||||
| CS Intermediate Holdco 2 LLC, 2016 Term Loan B |
3.748 | % | 10/26/23 | 163,200 | 165,342 | |||||||||||
| CWGS Group LLC, 2016 Term Loan |
4.500 | % | 11/8/23 | 1,440,000 | 1,453,951 | |||||||||||
| Dollar Tree Inc., Term Loan B2 |
4.250 | % | 7/6/22 | 260,000 | 263,088 | |||||||||||
| Dollar Tree Inc., Term Loan B3 |
3.250 | % | 7/6/22 | 282,911 | 285,859 | |||||||||||
| Equinox Holdings Inc., Repriced Term Loan B |
5.000 | % | 1/31/20 | 1,001,781 | 1,011,173 | |||||||||||
| Equinox Holdings Inc., Second Lien Term Loan |
9.750 | % | 7/31/20 | 500,000 | 502,969 | |||||||||||
| Fitness International LLC, Term Loan B |
6.000 | % | 7/1/20 | 1,801,227 | 1,805,505 | |||||||||||
| Four Seasons Holdings Inc., New First Lien Term Loan |
3.750 | % | 6/27/20 | 165,969 | 168,010 | |||||||||||
| Garda World Security Corp., Delayed Draw Term Loan |
— | 11/6/20 | 36,208 | 36,313 | (d) | |||||||||||
| Garda World Security Corp., New Term Loan B |
— | 11/6/20 | 396,078 | 397,234 | (d) | |||||||||||
| Hilton Worldwide Finance LLC, Term Loan B1 |
3.500 | % | 10/26/20 | 23,876 | 24,105 | |||||||||||
| Hilton Worldwide Finance LLC, Term Loan B2 |
3.256 | % | 10/25/23 | 324,626 | 328,771 | |||||||||||
| KAR Auction Services Inc., Term Loan B3 |
4.500 | % | 3/9/23 | 426,775 | 433,241 | |||||||||||
| Kate Spade & Co., Term Loan B |
4.000 | % | 4/10/21 | 989,874 | 994,823 | |||||||||||
| La Quinta Intermediate Holdings LLC, Term Loan B |
3.750 | % | 4/14/21 | 829,715 | 831,400 | |||||||||||
| Leslie’s Poolmart Inc., 2016 Term Loan |
5.250 | % | 8/16/23 | 1,017,450 | 1,028,472 | |||||||||||
| Match Group Inc., Term Loan B1 |
4.201 | % | 11/16/22 | 131,250 | 132,398 | |||||||||||
| Mohegan Tribal Gaming Authority, 2016 Term Loan B |
5.500 | % | 9/28/23 | 1,131,057 | 1,140,601 | |||||||||||
| Monitronics International Inc., Term Loan B2 |
6.500 | % | 9/30/22 | 698,370 | 706,445 | |||||||||||
| Neiman Marcus Group Inc., 2020 Term Loan |
4.250 | % | 10/25/20 | 407,053 | 356,171 | |||||||||||
| Petco Animal Supplies Inc., 2016 Term Loan B1 |
5.000 | % | 1/26/23 | 844,794 | 852,362 | |||||||||||
| PetSmart Inc., Term Loan B2 |
4.000 | % | 3/11/22 | 756,382 | 760,120 | |||||||||||
| Realogy Corp., 2016 Term Loan B |
3.770 | % | 7/20/22 | 423,437 | 430,583 | |||||||||||
| Scientific Games International Inc., 2014 Term Loan B2 |
6.000 | % | 10/1/21 | 1,761,519 | 1,785,111 | |||||||||||
See Notes to Schedule of Investments.
2
WESTERN ASSET CORPORATE LOAN FUND INC.
| Schedule of investments (unaudited) (cont’d) | December 31, 2016 |
| SECURITY† |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| Consumer Cyclical(a)(b) - (continued) |
||||||||||||||||
| Station Casinos LLC, 2016 Term Loan B |
3.750 | % | 6/8/23 | $ | 736,300 | $ | 746,019 | |||||||||
| TOMS Shoes LLC, Term Loan B |
6.500 | % | 10/28/20 | 1,545,781 | 1,143,878 | |||||||||||
| Trans Union LLC, Term Loan B2 |
3.520 | % | 4/9/21 | 763,667 | 770,008 | |||||||||||
| UFC Holdings LLC, First Lien Term Loan |
5.000 | % | 8/18/23 | 710,000 | 718,949 | |||||||||||
| UFC Holdings LLC, Second Lien Term Loan |
8.500 | % | 8/18/24 | 830,000 | 855,419 | |||||||||||
| World Triathlon Corp., Term Loan |
5.250 | % | 6/26/21 | 468,611 | 463,925 | |||||||||||
|
|
|
|||||||||||||||
| Total Consumer Cyclical |
33,695,853 | |||||||||||||||
|
|
|
|||||||||||||||
| Consumer Non-Cyclical(a)(b) - 27.7% |
| |||||||||||||||
| Access CIG LLC, First Lien Term Loan |
6.000 | % | 10/18/21 | 1,323,468 | 1,324,570 | |||||||||||
| Acosta Holdco Inc., 2015 Term Loan |
4.250 | % | 9/26/21 | 702,845 | 686,738 | |||||||||||
| AdvancePierre Foods Inc., 2016 Term Loan |
4.000 | % | 6/2/23 | 834,710 | 847,752 | |||||||||||
| Air Medical Group Holdings Inc., Term Loan B |
4.250 | % | 4/28/22 | 1,694,200 | 1,691,659 | |||||||||||
| Akorn Inc., Term Loan B |
5.250 | % | 4/16/21 | 967,428 | 981,939 | |||||||||||
| Albertsons LLC, USD 2016 Term Loan B4 |
3.770 | % | 8/22/21 | 179,550 | 181,808 | |||||||||||
| Anchor Hocking LLC, Exit Term Loan |
10.000 | % | 6/4/18 | 436,750 | 428,015 | |||||||||||
| BioScrip Inc., Delayed Draw Term Loan |
6.500 | % | 7/31/20 | 173,051 | 159,639 | |||||||||||
| BioScrip Inc., Term Loan B |
6.500 | % | 7/31/20 | 288,451 | 266,096 | |||||||||||
| Candy Intermediate Holdings Inc., 2016 Term Loan |
5.500 | % | 6/15/23 | 805,950 | 812,666 | |||||||||||
| Catalent Pharma Solutions Inc., USD Term Loan B |
3.750 | % | 5/20/21 | 278,275 | 280,680 | |||||||||||
| CHG Healthcare Services Inc., Term Loan B |
4.750 | % | 6/7/23 | 794,000 | 801,586 | |||||||||||
| CSM Bakery Solutions LLC, First Lien Term Loan |
5.000 | % | 7/3/20 | 838,564 | 760,997 | |||||||||||
| CSM Bakery Solutions LLC, Second Lien Term Loan |
8.750 | % | 7/3/21 | 1,090,000 | 815,683 | |||||||||||
| Curo Health Services Holdings Inc., 2015 First Lien Term Loan |
6.500 | % | 2/7/22 | 1,424,625 | 1,432,935 | |||||||||||
| DaVita HealthCare Partners Inc., Term Loan B |
3.520 | % | 6/24/21 | 487,500 | 493,188 | |||||||||||
| DJO Finance LLC, 2015 Term Loan |
4.250 | % | 6/8/20 | 622,125 | 598,018 | |||||||||||
| DPx Holdings BV, 2014 USD Incremental Term Loan |
4.250 | % | 3/11/21 | 1,260,025 | 1,270,132 | |||||||||||
| Drive DeVillbiss Healthcare, 1st Lien Term Loan |
— | 11/30/23 | 640,000 | 587,200 | (d) | |||||||||||
| Envision Healthcare Corp., 2016 Term Loan B |
4.000 | % | 12/1/23 | 840,000 | 847,875 | |||||||||||
| Greatbatch Ltd., Term Loan B |
5.250 | % | 10/27/22 | 992,239 | 997,448 | |||||||||||
| Hearthside Group Holdings LLC, Term Loan |
4.500 | % | 6/2/21 | 321,750 | 324,163 | |||||||||||
| Immucor Inc., REFI Term Loan B2 |
5.000 | % | 8/17/18 | 1,663,575 | 1,611,589 | |||||||||||
| Jaguar Holding Co. II, 2015 Term Loan B |
4.250 | % | 8/18/22 | 1,401,001 | 1,416,763 | |||||||||||
| Keurig Green Mountain Inc., USD Term Loan B |
5.25 - 5.313 | % | 3/3/23 | 393,665 | 400,468 | |||||||||||
| KIK Custom Products Inc., 2015 Term Loan B |
6.000 | % | 8/26/22 | 1,118,619 | 1,131,203 | |||||||||||
| Lantheus Medical Imaging Inc., Term Loan |
7.000 | % | 6/30/22 | 1,257,973 | 1,258,760 | |||||||||||
| Libbey Glass Inc., Term Loan B |
3.750 | % | 4/9/21 | 120,841 | 121,873 | |||||||||||
| Radnet Inc., 2016 Term Loan B |
4.750 | % | 7/1/23 | 1,181,701 | 1,189,087 | |||||||||||
| Radnet Management Inc., Second Lien Term Loan |
8.000 | % | 3/25/21 | 1,316,000 | 1,306,130 | |||||||||||
| Select Medical Corp., Series F Term Loan B |
6.000 - 7.750 | % | 3/3/21 | 764,225 | 779,509 | |||||||||||
| ServiceMaster Co., 2016 Term Loan B |
3.270 | % | 11/3/23 | 1,160,000 | 1,163,480 | |||||||||||
| Shearer’s Foods Inc., First Lien Term Loan |
4.938 | % | 6/30/21 | 117,300 | 117,813 | |||||||||||
| Shearer’s Foods Inc., Second Lien Term Loan |
7.750 | % | 6/30/22 | 590,000 | 545,750 | |||||||||||
| Spencer Gifts LLC, Term Loan B1 |
5.250 | % | 6/29/22 | 430,792 | 379,097 | |||||||||||
| Sterigenics-Nordion Holdings LLC, 2015 Term Loan B |
4.250 | % | 5/15/22 | 870,866 | 876,842 | |||||||||||
| Team Health Inc., 2016 Term Loan |
3.770 | % | 11/23/22 | 376,207 | 377,054 | |||||||||||
| USAGM HoldCo LLC, 2016 Incremental Delayed Draw Term Loan |
5.500 | % | 7/28/22 | 119,848 | 120,986 | |||||||||||
| USAGM HoldCo LLC, 2016 Incremental Term Loan |
5.500 | % | 7/28/22 | 628,425 | 634,395 | |||||||||||
| Valeant Pharmaceuticals International Inc., Term Loan B F1 |
5.500 | % | 4/1/22 | 1,541,460 | 1,545,025 | |||||||||||
| Vizient Inc., 2016 Term Loan B |
5.000 | % | 2/13/23 | 706,082 | 718,144 | |||||||||||
|
|
|
|||||||||||||||
| Total Consumer Non-Cyclical |
32,284,755 | |||||||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
3
WESTERN ASSET CORPORATE LOAN FUND INC.
| Schedule of investments (unaudited) (cont’d) | December 31, 2016 |
| SECURITY† |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| Electric(a)(b) - 10.1% |
| |||||||||||||||
| Chief Power Finance LLC, Term Loan B |
5.750 | % | 12/31/20 | $ | 1,291,294 | $ | 1,050,790 | |||||||||
| EIF Channelview Cogeneration LLC, Term Loan B |
4.250 | % | 5/8/20 | 257,380 | 246,441 | |||||||||||
| Empire Generating Co., LLC, Term Loan B |
5.250 | % | 3/14/21 | 839,514 | 827,971 | |||||||||||
| Empire Generating Co., LLC, Term Loan C |
5.250 | % | 3/14/21 | 66,783 | 65,864 | |||||||||||
| Energy Future Intermediate Holding Co., LLC, 2016 DIP Term Loan |
4.250 | % | 6/30/17 | 1,650,000 | 1,662,787 | |||||||||||
| Exgen Texas Power LLC, Term Loan B |
5.750 | % | 9/16/21 | 850,183 | 652,516 | |||||||||||
| Green Energy Partners/Stonewall LLC, Term Loan B1 |
6.500 | % | 11/13/21 | 500,000 | 497,500 | |||||||||||
| Moxie Patriot LLC, Term Loan B1 |
6.750 | % | 12/19/20 | 841,802 | 827,071 | |||||||||||
| NRG Energy Inc., 2016 Term Loan B |
3.748 | % | 6/30/23 | 662,670 | 670,332 | |||||||||||
| Panda Temple II Power LLC, New Term Loan B |
7.250 | % | 4/3/19 | 693,000 | 644,490 | |||||||||||
| Panda Temple Power LLC, 2015 Term Loan B |
7.250 | % | 3/4/22 | 1,061,100 | 944,379 | |||||||||||
| Terra-Gen Finance Co., LLC, Term Loan B |
5.250 | % | 12/9/21 | 332,493 | 297,581 | |||||||||||
| Texas Competitive Electric Holdings Co., LLC, DIP Term Loan B |
5.000 | % | 10/17/17 | 879,320 | 887,586 | |||||||||||
| Texas Competitive Electric Holdings Co., LLC, DIP Term Loan C |
5.000 | % | 10/17/17 | 200,547 | 203,335 | |||||||||||
| TPF II Power LLC, Term Loan B |
5.000 | % | 10/2/21 | 1,012,935 | 1,023,065 | |||||||||||
| Vistra Operations Co., LLC, 2016 Term Loan B2 |
4.000 | % | 12/14/23 | 240,000 | 243,300 | |||||||||||
| Windsor Financing LLC, Term Loan B |
6.250 | % | 12/5/17 | 1,000,023 | 997,523 | |||||||||||
|
|
|
|||||||||||||||
| Total Electric |
11,742,531 | |||||||||||||||
|
|
|
|||||||||||||||
| Electronics/Electric(a)(b) - 2.0% |
||||||||||||||||
| First Data Corp., 2016 USD Term Loan |
3.756 | % | 3/24/21 | 1,858,380 | 1,878,900 | |||||||||||
| First Data Corp., USD 2016 Repriced Term Loan |
3.756 | % | 7/10/22 | 466,477 | 472,191 | |||||||||||
|
|
|
|||||||||||||||
| Total Electronics/Electric |
2,351,091 | |||||||||||||||
|
|
|
|||||||||||||||
| Energy - 4.4% |
||||||||||||||||
| Chesapeake Energy Corp., Term Loan |
8.500 | % | 8/23/21 | 570,000 | 622,487 | (a)(b) | ||||||||||
| EP Energy LLC, 2016 Term Loan |
9.750 | % | 6/30/21 | 980,000 | 1,027,775 | (a)(b) | ||||||||||
| Expro FinServices S.a r.l., Term Loan |
5.750 | % | 9/2/21 | 698,782 | 595,712 | (a)(b) | ||||||||||
| Hercules Offshore Inc., (wind-down lender claim) |
— | — | 287,880 | 282,929 | *(e) | |||||||||||
| Houston Fuel Oil Co., LLC, Term Loan B |
4.250 | % | 8/19/21 | 557,175 | 555,782 | (a)(b) | ||||||||||
| KCA Deutag U.S. Finance LLC, Term Loan |
6.250 | % | 5/15/20 | 881,335 | 789,529 | (a)(b) | ||||||||||
| Magnum Hunter Resources Inc., Exit Term Loan |
8.000 | % | 5/6/19 | 41,670 | 41,879 | (a)(b) | ||||||||||
| MEG Energy Corp., REFI Term Loan |
3.750 | % | 3/31/20 | 671,224 | 651,506 | (a)(b) | ||||||||||
| Pacific Drilling SA, Term Loan B |
4.500 | % | 6/3/18 | 1,415,868 | 516,792 | (a)(b) | ||||||||||
| Paragon Offshore Finance Co., Term Loan B |
5.500 | % | 7/18/21 | 276,500 | 102,305 | (a)(b) | ||||||||||
|
|
|
|||||||||||||||
| Total Energy |
5,186,696 | |||||||||||||||
|
|
|
|||||||||||||||
| Financial Other(a)(b) - 1.4% |
||||||||||||||||
| Flying Fortress Inc., New Term Loan |
3.500 | % | 4/30/20 | 900,000 | 906,750 | |||||||||||
| PGX Holdings Inc., First Lien Term Loan |
6.250 | % | 9/29/20 | 678,884 | 679,945 | |||||||||||
|
|
|
|||||||||||||||
| Total Financial Other |
1,586,695 | |||||||||||||||
|
|
|
|||||||||||||||
| Industrial Other(a)(b) - 5.8% |
||||||||||||||||
| Allflex Holdings III Inc., New First Lien Term Loan |
4.250 | % | 7/20/20 | 861,075 | 863,945 | |||||||||||
| Allflex Holdings III Inc., New Second Lien Term Loan |
8.000 | % | 7/19/21 | 890,000 | 891,112 | |||||||||||
| Gardner Denver Inc., USD Term Loan |
4.250 - 4.568 | % | 7/30/20 | 207,948 | 206,128 | |||||||||||
| Laureate Education Inc., 2016 Term Loan |
8.868 | % | 3/17/21 | 1,748,983 | 1,758,821 | |||||||||||
| Lineage Logistics Holdings LLC, 2014 Term Loan |
4.500 | % | 4/7/21 | 1,499,347 | 1,491,850 | |||||||||||
| Nord Anglia Education Finance LLC, Term Loan |
5.000 | % | 3/31/21 | 1,503,808 | 1,529,185 | |||||||||||
|
|
|
|||||||||||||||
| Total Industrial Other |
6,741,041 | |||||||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
4
WESTERN ASSET CORPORATE LOAN FUND INC.
| Schedule of investments (unaudited) (cont’d) | December 31, 2016 |
| SECURITY† |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| Insurance(a)(b) - 1.1% |
||||||||||||||||
| MPH Acquisition Holdings LLC, 2016 Term Loan B |
5.000 | % | 6/7/23 | $ | 1,224,899 | $ | 1,248,523 | |||||||||
|
|
|
|||||||||||||||
| Leisure(a)(b) - 0.9% |
||||||||||||||||
| Landry’s Inc., 2016 Term Loan B |
4.000 | % | 10/4/23 | 1,040,000 | 1,052,740 | |||||||||||
|
|
|
|||||||||||||||
| Oil & Gas(a)(b) - 1.0% |
||||||||||||||||
| Party City Holdings Inc., 2016 Term Loan |
3.820 - 4.240 | % | 8/19/22 | 1,156,478 | 1,165,785 | |||||||||||
|
|
|
|||||||||||||||
| Property & Real Estate(a)(b) - 0.9% |
||||||||||||||||
| Communications Sales & Leasing Inc., Term Loan B |
4.500 | % | 10/24/22 | 1,053,983 | 1,067,685 | |||||||||||
|
|
|
|||||||||||||||
| Radio and Television(a)(b) - 0.9% |
||||||||||||||||
| Michaels Stores Inc., 2016 Term Loan B1 |
3.750 | % | 1/27/23 | 1,024,816 | 1,036,529 | |||||||||||
|
|
|
|||||||||||||||
| Technology(a)(b) - 4.1% |
||||||||||||||||
| CompuCom Systems Inc., REFI Term Loan B |
4.250 | % | 5/9/20 | 1,133,968 | 890,165 | |||||||||||
| Conduent Inc., USD Term Loan B |
6.250 | % | 12/7/23 | 600,000 | 608,235 | |||||||||||
| Donnelley Financial Solutions Inc., Term Loan B |
5.000 | % | 9/30/23 | 197,143 | 200,100 | |||||||||||
| Infinity Acquisition LLC, New Term Loan B |
4.250 | % | 8/6/21 | 1,258,611 | 1,212,461 | |||||||||||
| ON Semiconductor Corp., Incremental Term Loan |
4.020 | % | 3/31/23 | 488,775 | 495,224 | |||||||||||
| Rackspace Hosting Inc., 1st Lien Term Loan |
4.500 | % | 11/3/23 | 820,000 | 830,660 | |||||||||||
| Western Digital Corp., USD 2016 Term Loan B1 |
4.520 | % | 4/29/23 | 503,470 | 511,112 | |||||||||||
|
|
|
|||||||||||||||
| Total Technology |
4,747,957 | |||||||||||||||
|
|
|
|||||||||||||||
| Transportation(a)(b) - 7.1% |
||||||||||||||||
| Air Canada, 2016 Term Loan B |
3.614 | % | 10/6/23 | 390,000 | 393,088 | |||||||||||
| American Airlines Inc., 2016 USD Term Loan B |
3.250 | % | 12/14/23 | 543,200 | 546,426 | |||||||||||
| American Airlines Inc., New Term Loan |
3.256 | % | 6/27/20 | 513,150 | 516,397 | |||||||||||
| American Airlines Inc., Repriced TL B |
3.261 | % | 4/28/23 | 360,000 | 361,969 | |||||||||||
| Commercial Barge Line Co., 2015 First Lien Term Loan |
9.750 | % | 11/12/20 | 1,251,250 | 1,188,687 | |||||||||||
| Hertz Corp., 2016 Term Loan B |
3.500 | % | 6/30/23 | 1,741,250 | 1,748,868 | |||||||||||
| Syncreon Global Finance (U.S.) Inc., Term Loan B |
5.250 | % | 10/28/20 | 1,890,940 | 1,706,573 | |||||||||||
| United Airlines Inc., New Term Loan B |
3.270 | % | 4/1/19 | 231,000 | 232,444 | |||||||||||
| XPO Logistics Inc., Term Loan B2 |
4.250 | % | 10/30/21 | 1,540,257 | 1,561,820 | |||||||||||
|
|
|
|||||||||||||||
| Total Transportation |
8,256,272 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL SENIOR LOANS (Cost - $145,364,636) |
143,667,585 | |||||||||||||||
|
|
|
|||||||||||||||
| CORPORATE BONDS & NOTES - 15.9% | ||||||||||||||||
| CONSUMER DISCRETIONARY - 4.7% | ||||||||||||||||
| Auto Components - 0.2% |
||||||||||||||||
| Adient Global Holdings Ltd., Senior Notes |
4.875 | % | 8/15/26 | 200,000 | 196,500 | (f) | ||||||||||
|
|
|
|||||||||||||||
| Diversified Consumer Services - 1.9% |
||||||||||||||||
| Prime Security Services Borrower LLC/Prime Finance Inc., Secured Notes |
9.250 | % | 5/15/23 | 2,000,000 | 2,182,500 | (f) | ||||||||||
|
|
|
|||||||||||||||
| Media - 2.6% |
||||||||||||||||
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes |
3.579 | % | 7/23/20 | 360,000 | 367,582 | |||||||||||
| SFR Group SA, Senior Secured Bonds |
6.250 | % | 5/15/24 | 200,000 | 201,750 | (f) | ||||||||||
| SFR Group SA, Senior Secured Notes |
7.375 | % | 5/1/26 | 325,000 | 334,344 | (f) | ||||||||||
| Virgin Media Secured Finance PLC, Senior Secured Notes |
5.500 | % | 8/15/26 | 2,200,000 | 2,200,000 | (f) | ||||||||||
|
|
|
|||||||||||||||
| Total Media |
3,103,676 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL CONSUMER DISCRETIONARY |
5,482,676 | |||||||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
5
WESTERN ASSET CORPORATE LOAN FUND INC.
| Schedule of investments (unaudited) (cont’d) | December 31, 2016 |
| SECURITY† |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| ENERGY - 3.4% | ||||||||||||||||
| Energy Equipment & Services - 0.3% |
||||||||||||||||
| Ensco PLC, Senior Notes |
4.700 | % | 3/15/21 | $ | 320,000 | $ | 309,414 | |||||||||
|
|
|
|||||||||||||||
| Oil, Gas & Consumable Fuels - 3.1% |
||||||||||||||||
| Calumet Specialty Products Partners LP/Calumet Finance Corp., Senior Secured Notes |
11.500 | % | 1/15/21 | 310,000 | 355,725 | (f) | ||||||||||
| Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., Senior Notes |
6.000 | % | 12/15/20 | 200,000 | 206,000 | |||||||||||
| Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., Senior Notes |
6.125 | % | 3/1/22 | 230,000 | 236,900 | |||||||||||
| Globe Luxembourg SCA, Senior Secured Notes |
9.625 | % | 5/1/18 | 490,000 | 486,325 | (f) | ||||||||||
| Magnum Hunter Resources Corp. Escrow |
— | — | 120,000 | 0 | *(c)(e)(g) | |||||||||||
| NGPL PipeCo LLC, Senior Secured Notes |
7.768 | % | 12/15/37 | 120,000 | 127,800 | (f) | ||||||||||
| Oasis Petroleum Inc., Senior Notes |
6.500 | % | 11/1/21 | 100,000 | 102,375 | |||||||||||
| Oasis Petroleum Inc., Senior Notes |
6.875 | % | 3/15/22 | 170,000 | 175,100 | |||||||||||
| Oasis Petroleum Inc., Senior Notes |
6.875 | % | 1/15/23 | 150,000 | 154,500 | |||||||||||
| Sanchez Energy Corp., Senior Notes |
6.125 | % | 1/15/23 | 490,000 | 467,950 | |||||||||||
| Teine Energy Ltd., Senior Notes |
6.875 | % | 9/30/22 | 1,290,000 | 1,323,863 | (f) | ||||||||||
|
|
|
|||||||||||||||
| Total Oil, Gas & Consumable Fuels |
3,636,538 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL ENERGY |
3,945,952 | |||||||||||||||
|
|
|
|||||||||||||||
| FINANCIALS - 1.2% | ||||||||||||||||
| Consumer Finance - 0.7% |
| |||||||||||||||
| Navient Corp., Medium-Term Notes, Senior Notes |
8.000 | % | 3/25/20 | 90,000 | 100,071 | |||||||||||
| Navient Corp., Senior Notes |
5.000 | % | 10/26/20 | 470,000 | 480,575 | |||||||||||
| Navient Corp., Senior Notes |
6.125 | % | 3/25/24 | 200,000 | 195,250 | |||||||||||
|
|
|
|||||||||||||||
| Total Consumer Finance |
775,896 | |||||||||||||||
|
|
|
|||||||||||||||
| Thrifts & Mortgage Finance - 0.5% |
| |||||||||||||||
| Quicken Loans Inc., Senior Notes |
5.750 | % | 5/1/25 | 580,000 | 566,950 | (f) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL FINANCIALS |
1,342,846 | |||||||||||||||
|
|
|
|||||||||||||||
| HEALTH CARE - 1.2% | ||||||||||||||||
| Health Care Equipment & Supplies - 0.2% |
| |||||||||||||||
| DJO Finco Inc./DJO Finance LLC/DJO Finance Corp., Secured Notes |
8.125 | % | 6/15/21 | 210,000 | 183,225 | (f) | ||||||||||
|
|
|
|||||||||||||||
| Health Care Providers & Services - 0.6% |
| |||||||||||||||
| HCA Inc., Senior Secured Notes |
5.250 | % | 6/15/26 | 190,000 | 196,888 | |||||||||||
| Tenet Healthcare Corp., Senior Secured Bonds |
4.463 | % | 6/15/20 | 230,000 | 232,875 | (h) | ||||||||||
| Universal Hospital Services Inc., Secured Notes |
7.625 | % | 8/15/20 | 250,000 | 248,750 | |||||||||||
|
|
|
|||||||||||||||
| Total Health Care Providers & Services |
678,513 | |||||||||||||||
|
|
|
|||||||||||||||
|
Pharmaceuticals - 0.4% |
| |||||||||||||||
| Valeant Pharmaceuticals International Inc., Senior Notes |
6.750 | % | 8/15/18 | 330,000 | 314,325 | (f) | ||||||||||
| Valeant Pharmaceuticals International Inc., Senior Notes |
5.875 | % | 5/15/23 | 280,000 | 212,800 | (f) | ||||||||||
|
|
|
|||||||||||||||
| Total Pharmaceuticals |
527,125 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL HEALTH CARE |
1,388,863 | |||||||||||||||
|
|
|
|||||||||||||||
| INDUSTRIALS - 1.3% | ||||||||||||||||
| Marine - 1.0% |
| |||||||||||||||
| Navios Maritime Acquisition Corp./Navios Acquisition Finance U.S. Inc., Senior Secured Notes |
8.125 | % | 11/15/21 | 1,330,000 | 1,137,150 | (f) | ||||||||||
|
|
|
|||||||||||||||
| Road & Rail - 0.3% |
| |||||||||||||||
| Florida East Coast Holdings Corp., Senior Secured Notes |
6.750 | % | 5/1/19 | 350,000 | 363,125 | (f) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL INDUSTRIALS |
1,500,275 | |||||||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
6
WESTERN ASSET CORPORATE LOAN FUND INC.
| Schedule of investments (unaudited) (cont’d) | December 31, 2016 |
| SECURITY† |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| MATERIALS - 0.3% | ||||||||||||||||
| Chemicals - 0.3% |
| |||||||||||||||
| Kissner Holdings LP/Kissner Milling Co., Ltd./BSC Holding Inc./Kissner USA, Senior Secured Notes |
8.375 | % | 12/1/22 | $ | 380,000 | $ | 384,750 | (f) | ||||||||
|
|
|
|||||||||||||||
| REAL ESTATE - 0.5% | ||||||||||||||||
| Equity Real Estate Investment Trusts (REITs) - 0.5% |
| |||||||||||||||
| Communications Sales & Leasing Inc., Senior Secured Notes |
6.000 | % | 4/15/23 | 360,000 | 372,600 | (f) | ||||||||||
| MPT Operating Partnership LP/MPT Finance Corp., Senior Notes |
5.250 | % | 8/1/26 | 260,000 | 255,450 | |||||||||||
|
|
|
|||||||||||||||
| TOTAL REAL ESTATE |
628,050 | |||||||||||||||
|
|
|
|||||||||||||||
| TELECOMMUNICATION SERVICES - 3.0% | ||||||||||||||||
| Diversified Telecommunication Services - 1.5% |
| |||||||||||||||
| Intelsat Jackson Holdings SA, Senior Notes |
7.500 | % | 4/1/21 | 1,000,000 | 767,500 | |||||||||||
| Intelsat Jackson Holdings SA, Senior Secured Notes |
8.000 | % | 2/15/24 | 680,000 | 702,100 | (f) | ||||||||||
| Telecom Italia SpA, Senior Notes |
5.303 | % | 5/30/24 | 200,000 | 196,250 | (f) | ||||||||||
|
|
|
|||||||||||||||
| Total Diversified Telecommunication Services |
1,665,850 | |||||||||||||||
|
|
|
|||||||||||||||
| Wireless Telecommunication Services - 1.5% |
| |||||||||||||||
| Sprint Corp., Senior Notes |
7.250 | % | 9/15/21 | 650,000 | 692,250 | |||||||||||
| Sprint Corp., Senior Notes |
7.875 | % | 9/15/23 | 1,000,000 | 1,070,000 | |||||||||||
|
|
|
|||||||||||||||
| Total Wireless Telecommunication Services |
1,762,250 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL TELECOMMUNICATION SERVICES |
|
3,428,100 | ||||||||||||||
|
|
|
|||||||||||||||
| UTILITIES - 0.3% | ||||||||||||||||
| Independent Power and Renewable Electricity Producers - 0.3% |
| |||||||||||||||
| Calpine Corp., Senior Notes |
5.250 | % | 6/1/26 | 160,000 | 158,400 | (f) | ||||||||||
| Mirant Mid Atlantic LLC, Pass-Through Certificates, Secured Bonds |
10.060 | % | 12/30/28 | 272,802 | 232,905 | |||||||||||
|
|
|
|||||||||||||||
| TOTAL UTILITIES |
391,305 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL CORPORATE BONDS & NOTES (Cost - $17,469,973) |
|
18,492,817 | ||||||||||||||
|
|
|
|||||||||||||||
| SHARES | ||||||||||||||||
| COMMON STOCKS - 3.0% | ||||||||||||||||
| CONSUMER DISCRETIONARY - 0.7% | ||||||||||||||||
| Automobiles - 0.1% |
| |||||||||||||||
| Dayco Products LLC |
|
4,912 | 144,904 | |||||||||||||
|
|
|
|||||||||||||||
| Household Durables - 0.6% |
| |||||||||||||||
| EveryWare Global Inc. |
|
84,519 | 633,893 | * | ||||||||||||
|
|
|
|||||||||||||||
| TOTAL CONSUMER DISCRETIONARY |
|
778,797 | ||||||||||||||
|
|
|
|||||||||||||||
| ENERGY - 1.3% | ||||||||||||||||
| Oil, Gas & Consumable Fuels - 1.3% |
| |||||||||||||||
| Magnum Hunter Resources Corp. |
|
45,440 | 499,840 | * | ||||||||||||
| SemGroup Corp., Class A Shares |
|
24,938 | 1,041,161 | |||||||||||||
|
|
|
|||||||||||||||
| TOTAL ENERGY |
1,541,001 | |||||||||||||||
|
|
|
|||||||||||||||
| MATERIALS - 1.0% | ||||||||||||||||
| Metals & Mining - 0.7% |
| |||||||||||||||
| Atlas Iron Ltd. |
|
45,391,139 | 881,085 | *(e) | ||||||||||||
|
|
|
|||||||||||||||
| Paper & Forest Products - 0.3% |
| |||||||||||||||
| Verso Corp., Class A Shares |
|
44,908 | 318,847 | * | ||||||||||||
|
|
|
|||||||||||||||
| TOTAL MATERIALS |
1,199,932 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL COMMON STOCKS (Cost - $5,191,193) |
3,519,730 | |||||||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
7
WESTERN ASSET CORPORATE LOAN FUND INC.
| Schedule of investments (unaudited) (cont’d) | December 31, 2016 |
| SECURITY† |
EXPIRATION DATE |
WARRANTS | VALUE | |||||||||||||
| WARRANTS - 0.0% | ||||||||||||||||
| Atlas Iron Ltd. (Cost - $0) |
7/31/17 | 32,891,063 | $ | 0 | *(e)(g)(h) | |||||||||||
|
|
|
|||||||||||||||
| TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost - $168,025,802) |
|
165,680,132 | ||||||||||||||
|
|
|
|||||||||||||||
| RATE | SHARES | |||||||||||||||
| SHORT-TERM INVESTMENTS - 1.5% | ||||||||||||||||
| State Street Institutional U.S. Government Money Market Fund, Premier Class (Cost - $1,780,311) |
0.411 | % | 1,780,311 | 1,780,311 | ||||||||||||
|
|
|
|||||||||||||||
| TOTAL INVESTMENTS - 143.7% (Cost - $169,806,113#) |
|
167,460,443 | ||||||||||||||
| Liabilities in Excess of Other Assets - (43.7)% |
|
(50,895,869 | ) | |||||||||||||
|
|
|
|||||||||||||||
| TOTAL NET ASSETS - 100.0% |
|
$ | 116,564,574 | |||||||||||||
|
|
|
|||||||||||||||
| † | 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) | The coupon payment on these securities is currently in default as of December 31, 2016. |
| (d) | All or a portion of this loan is unfunded as of December 31, 2016. The interest rate for fully unfunded term loans is to be determined. |
| (e) | Security is valued in good faith in accordance with procedures approved by the Board of Directors (See Note 1). |
| (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) | Value is less than $1. |
| (h) | 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
Western Asset 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 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.
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) |
9
Notes to Schedule of Investments (unaudited) (continued)
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 |
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| DESCRIPTION |
QUOTED PRICES (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) |
TOTAL | ||||||||||||
| Long-Term Investments†: |
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| Senior Loans: |
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| Basic Industry |
— | $ | 3,316,818 | $ | 914,144 | $ | 4,230,962 | |||||||||
| Capital Goods |
— | 6,433,402 | 3,522,968 | 9,956,370 | ||||||||||||
| Consumer Cyclical |
— | 32,651,288 | 1,044,565 | 33,695,853 | ||||||||||||
| Consumer Non-Cyclical |
— | 30,495,704 | 1,789,051 | 32,284,755 | ||||||||||||
| Electric |
— | 7,284,642 | 4,457,889 | 11,742,531 | ||||||||||||
| Energy |
— | 4,306,106 | 880,590 | 5,186,696 | ||||||||||||
| Industrial Other |
— | 3,720,006 | 3,021,035 | 6,741,041 | ||||||||||||
| Technology |
— | 3,939,622 | 808,335 | 4,747,957 | ||||||||||||
| Other Senior Loans |
— | 35,081,420 | — | 35,081,420 | ||||||||||||
| Corporate Bonds & Notes: |
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| Energy |
— | 3,945,952 | 0 | * | 3,945,952 | |||||||||||
| Other Corporate Bonds & Notes |
— | 14,546,865 | — | 14,546,865 | ||||||||||||
| Common Stocks: |
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| Consumer Discretionary |
— | — | 778,797 | 778,797 | ||||||||||||
| Energy |
$ | 1,541,001 | — | — | 1,541,001 | |||||||||||
| Materials |
1,199,932 | — | — | 1,199,932 | ||||||||||||
| Warrants |
— | — | 0 | * | 0 | * | ||||||||||
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| Total Long-Term Investments |
2,740,933 | 145,721,825 | 17,217,374 | 165,680,132 | ||||||||||||
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| Short-Term Investments† |
1,780,311 | — | — | 1,780,311 | ||||||||||||
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| Total Investments |
$ | 4,521,244 | $ | 145,721,825 | $ | 17,217,374 | $ | 167,460,443 | ||||||||
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| † | See Schedule of Investments for additional detailed categorizations. |
| * | Amount represents less than $1. |
10
Notes to Schedule of Investments (unaudited) (continued)
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 |
COMMUNICATIONS | CONSUMER- CYCLICAL |
CONSUMER NON- CYCLICAL |
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| Balance as of September 30, 2016 |
$ | 1,043,782 | $ | 2,403,183 | $ | 241,491 | $ | 1,193,663 | $ | 3,951,505 | ||||||||||
| Accrued premiums/discounts |
2,131 | 558 | 47 | 479 | 2,841 | |||||||||||||||
| Realized gain (loss) |
(7,912 | ) | 1 | 2 | 201 | (3 | ) | |||||||||||||
| Change in unrealized appreciation (depreciation)1 |
268,108 | 63,317 | (10,521 | ) | 7,427 | 20,994 | ||||||||||||||
| Purchases |
7,068 | 720,150 | — | 118,950 | — | |||||||||||||||
| Sales |
(165,764 | ) | (2,192 | ) | (675 | ) | (17,952 | ) | (3,314 | ) | ||||||||||
| Transfers into Level 32 |
— | 806,134 | — | 448,242 | — | |||||||||||||||
| Transfers out of Level 33 |
(233,269 | ) | (468,183 | ) | (230,344 | ) | (706,445 | ) | (2,182,972 | ) | ||||||||||
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| Balance as of December 31, 2016 |
$ | 914,144 | $ | 3,522,968 | $ | — | $ | 1,044,565 | $ | 1,789,051 | ||||||||||
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| Net change in unrealized appreciation (depreciation) for investments in securities still held at December 31, 20161 |
$ | 199,163 | $ | 42,368 | $ | — | $ | (2,831 | ) | $ | 21,198 | |||||||||
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| SENIOR LOANS | CORPORATE BONDS AND NOTES |
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| INVESTMENTS IN SECURITIES (cont’d) |
ELECTRIC | ENERGY | INDUSTRIAL OTHER |
TECHNOLOGY | TRANSPORTATION | ENERGY | ||||||||||||||||||
| Balance as of September 30, 2016 |
$ | 3,531,043 | $ | 1,624,682 | $ | 3,003,372 | $ | 231,438 | $ | 2,131,140 | $ | 0 | * | |||||||||||
| Accrued premiums/discounts |
1,017 | 655 | 2,922 | 142 | 747 | — | ||||||||||||||||||
| Realized gain (loss) |
(68 | ) | (62 | ) | 32 | 160 | (1,442 | ) | — | |||||||||||||||
| Change in unrealized appreciation (depreciation)1 |
113,541 | 109,175 | 22,419 | 23,302 | 8,233 | — | ||||||||||||||||||
| Purchases |
— | 318,336 | — | 586,150 | — | — | ||||||||||||||||||
| Sales |
(14,715 | ) | (382,667 | ) | (7,710 | ) | (32,857 | ) | (576,858 | ) | — | |||||||||||||
| Transfers into Level 32 |
827,071 | — | — | — | — | — | ||||||||||||||||||
| Transfers out of Level 33 |
— | (789,529 | ) | — | — | (1,561,820 | ) | — | ||||||||||||||||
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| Balance as of December 31, 2016 |
$ | 4,457,889 | $ | 880,590 | $ | 3,021,035 | $ | 808,335 | $ | — | $ | 0 | * | |||||||||||
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| Net change in unrealized appreciation (depreciation) for investments in securities still held at December 31, 20161 |
$ | 113,541 | $ | 82,093 | $ | 22,419 | $ | 23,302 | $ | — | — | |||||||||||||
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| COMMON STOCKS | ||||||||||||
| INVESTMENTS IN SECURITIES (cont’d) |
CONSUMER DISCRETIONARY |
WARRANTS | TOTAL | |||||||||
| Balance as of September 30, 2016 |
$ | 747,102 | $ | 0 | * | $ | 20,102,401 | |||||
| Accrued premiums/discounts |
— | — | 11,539 | |||||||||
| Realized gain (loss) |
— | — | (9,091 | ) | ||||||||
| Change in unrealized appreciation (depreciation)1 |
31,695 | — | 657,690 | |||||||||
| Purchases |
— | — | 1,750,654 | |||||||||
| Sales |
— | — | (1,204,704 | ) | ||||||||
| Transfers into Level 32 |
— | — | 2,081,447 | |||||||||
| Transfers out of Level 33 |
— | — | (6,172,562 | ) | ||||||||
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| Balance as of December 31, 2016 |
$ | 778,797 | $ | 0 | * | $ | 17,217,374 | |||||
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| Net change in unrealized appreciation (depreciation) for investments in securities still held at December 31, 20161 |
$ | 31,695 | — | $ | 532,948 | |||||||
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The Fund’s policy is to recognize transfers between levels as of the end of the reporting period.
| * | Amount represents less than $1. |
| 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. |
11
Notes to Schedule of Investments (unaudited) (continued)
2. Investments
At December 31, 2016, the aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes were substantially as follows:
| Gross unrealized appreciation |
$ | 4,665,723 | ||
| Gross unrealized depreciation |
(7,011,393 | ) | ||
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| Net unrealized depreciation |
$ | (2,345,670 | ) | |
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12
| 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.
Western Asset Corporate Loan Fund Inc.
| By | /s/ JANE TRUST | |
| Jane Trust | ||
| Chief Executive Officer | ||
| Date: |
February 24, 2017 | |
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 24, 2017 | |
| By | /s/ RICHARD F. SENNETT | |
| Richard F. Sennett | ||
| Principal Financial Officer | ||
| Date: |
February 24, 2017 | |