WESTERN ASSET CORPORATE LOAN FUND INC.
Schedule of investments (unaudited) | June 30, 2020 |
SECURITY† | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
SENIOR LOANS(a)(b) - 133.0% | ||||||||||||||||
Basic Industry - 0.2% | ||||||||||||||||
KSBR Holding Corp., Term Loan (3 mo. USD LIBOR + 4.250%) | 4.244 | % | 4/15/26 | $ | 12,581 | $ | 12,267 | (c)(d) | ||||||||
Tank Holding Corp., 2020 Refinancing Term Loan (1 mo. USD LIBOR + 3.500%) | 3.678 | % | 3/26/26 | 188,849 | 177,360 | (d) | ||||||||||
|
| |||||||||||||||
Total Basic Industry | 189,627 | |||||||||||||||
|
| |||||||||||||||
Capital Goods - 13.6% | ||||||||||||||||
ACProducts Inc., First Lien Initial Term Loan (3 mo. USD LIBOR + 6.500%) | 7.500 | % | 8/18/25 | 1,768,875 | 1,727,416 | (d) | ||||||||||
Concrete Pumping Holdings Inc., Initial Term Loan (3 mo. USD LIBOR + 6.000%) | 7.072 | % | 12/6/25 | 602,967 | 563,774 | (c)(d) | ||||||||||
Douglas Dynamics LLC, 2020 Additional Term Loan B (1 mo. USD LIBOR + 3.750%) | 4.750 | % | 6/8/26 | 580,000 | 569,850 | (c)(d)(e) | ||||||||||
Forterra Finance LLC, Replacement Term Loan | — | 10/25/23 | 1,357,594 | 1,323,654 | (e) | |||||||||||
Gardner Denver Inc., New Term Loan A | — | 3/1/27 | 780,000 | 761,962 | (e) | |||||||||||
GFL Environmental Inc., 2018 Incremental Term Loan ( 3 mo. USD LIBOR + 3.000%) | 4.000 | % | 5/30/25 | 20,000 | 19,492 | (d) | ||||||||||
Hornblower Sub LLC, First Lien Term Loan (3 mo. USD LIBOR + 4.500%) | 5.500 | % | 4/28/25 | 1,195,043 | 967,985 | (c)(d) | ||||||||||
Landry’s Finance Acquisition Co., Term Loan B (3 mo. USD LIBOR + 12.000%) | 13.000 | % | 10/6/23 | 400,000 | 440,000 | (c)(d) | ||||||||||
Ply Gem Midco Inc., Initial Term Loan (1 mo. USD LIBOR + 3.750%) | 3.941 | % | 4/12/25 | 439,371 | 419,416 | (d) | ||||||||||
Ring Container Technologies LLC, First Lien Initial Term Loan (1 mo. USD LIBOR + 2.750%) | 2.928 | % | 10/31/24 | 328,123 | 314,178 | (c)(d) | ||||||||||
Summit Materials LLC | — | 11/10/24 | 460,000 | 444,906 | (e) | |||||||||||
Summit Materials LLC, New Term Loan B | — | 11/21/24 | 460,000 | 444,906 | (e) | |||||||||||
TransDigm Inc., Refinancing Term Loan F (1 mo. USD LIBOR + 2.250%) | 2.428 | % | 12/9/25 | 757,522 | 687,609 | (d)(e) | ||||||||||
US Ecology Inc., Incremental Term Loan B | — | 11/2/26 | 179,549 | 175,060 | (c)(e) | |||||||||||
Ventia Deco LLC, 2019 Refinancing Term Loan B (3 mo. USD LIBOR + 4.000%) | 5.000 | % | 5/21/26 | 971,349 | 951,922 | (c)(d)(e) | ||||||||||
Ventia Deco LLC, Term Loan | — | 5/21/26 | 480,000 | 470,400 | (c)(e) | |||||||||||
Vertex Aerospace Services Corp., Initial Term Loan (1 mo. USD LIBOR + 4.500%) | 4.678 | % | 6/29/25 | 748,462 | 736,924 | (d) | ||||||||||
Vertical Midco Gmbh, Term Loan B | — | 6/30/27 | 1,320,000 | 1,293,600 | (e) | |||||||||||
|
| |||||||||||||||
Total Capital Goods | 12,313,054 | |||||||||||||||
|
|
See Notes to Schedule of Investments.
| ||||
Western Asset Corporate Loan Fund Inc. 2020 Quarterly Report |
1 |
WESTERN ASSET CORPORATE LOAN FUND INC.
Schedule of investments (unaudited) (cont’d) | June 30, 2020 |
SECURITY† | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
Communications - 9.4% | ||||||||||||||||
Advantage Sales & Marketing Inc., First Lien Initial Term Loan (3 mo. USD LIBOR + 3.250%) | 4.250 | % | 7/23/21 | $ | 967,434 | $ | 887,167 | (d) | ||||||||
Applovin Corp., Initial Term Loan (1 mo. USD LIBOR + 3.500%) | 3.678 | % | 8/15/25 | 231,332 | 224,970 | (d) | ||||||||||
Applovin Corp., Third Amendment New Term Loan (1 mo. USD LIBOR + 4.000%) | 4.178 | % | 8/15/25 | 877,800 | 862,439 | (c)(d) | ||||||||||
Diamond Sports Group LLC, Term Loan (1 mo. USD LIBOR + 3.250%) | 3.430 | % | 8/24/26 | 38,902 | 31,851 | (d) | ||||||||||
Entercom Media Corp., Term Loan B2 | 2.684-4.750 | % | 11/18/24 | 148,668 | 139,562 | (d) | ||||||||||
EW Scripps Co., Term Loan B2 (1 mo. USD LIBOR + 2.500%) | 2.678 | % | 5/1/26 | 876,744 | 829,985 | (d) | ||||||||||
Gray Television Inc., Term Loan B2 (1 mo. USD LIBOR + 2.250%) | 2.423 | % | 2/7/24 | 630,000 | 609,788 | (d) | ||||||||||
Level 3 Financing Inc., 2027 Term Loan B (1 mo. USD LIBOR + 1.750%) | 1.928 | % | 3/1/27 | 387,328 | 366,993 | (d) | ||||||||||
Lions Gate Capital Holdings LLC, Term Loan B (1 mo. USD LIBOR + 2.250%) | 2.428 | % | 3/24/25 | 665,675 | 633,501 | (d) | ||||||||||
Nexstar Broadcasting Inc., Term Loan B4 (1 mo. USD LIBOR + 2.750%) | 2.923 | % | 9/18/26 | 1,846,884 | 1,761,465 | (d) | ||||||||||
Nielsen Finance LLC, Term Loan B-5 (1 mo. USD LIBOR + 3.750%) | 4.750 | % | 6/4/25 | 740,000 | 735,375 | (d)(e) | ||||||||||
Univision Communications Inc., 2020 Replacement New First Lien Term Loan | — | 3/16/26 | 686,711 | 642,647 | (e) | |||||||||||
Virgin Media Bristol LLC, Term Loan Facility N (1 mo. USD LIBOR + 2.500%) | 2.685 | % | 1/31/28 | 820,000 | 786,790 | (d) | ||||||||||
|
| |||||||||||||||
Total Communications | 8,512,533 | |||||||||||||||
|
| |||||||||||||||
Consumer Cyclical - 35.8% | ||||||||||||||||
1011778 BC Unlimited Liability Co., Term Loan B4 (1 mo. USD LIBOR + 1.750%) | 1.928 | % | 11/19/26 | 487,301 | 463,301 | (d)(e) | ||||||||||
Academy Ltd., Initial Term Loan (1 mo. USD LIBOR + 4.000%) | 5.000 | % | 7/1/22 | 906,591 | 732,451 | (d) | ||||||||||
Allen Media LLC, Initial Term Loan (3 mo. USD LIBOR + 5.500%) | 5.808 | % | 2/10/27 | 1,067,156 | 1,021,802 | (c)(d) | ||||||||||
Alpha Topco Ltd. - Delta 2 (Lux) SARL, USD 2018 Incremental New Facility Loan B3 (1 mo. USD LIBOR + 2.500%) | 3.500 | % | 2/1/24 | 690,000 | 658,950 | (d) | ||||||||||
Alterra Mountain Co., First Lien Term Loan (1 mo. USD LIBOR + 4.500%) | 5.500 | % | 5/13/26 | 1,187,025 | 1,169,220 | (d) |
See Notes to Schedule of Investments.
| ||||
2 | Western Asset Corporate Loan Fund Inc. 2020 Quarterly Report |
WESTERN ASSET CORPORATE LOAN FUND INC.
Schedule of investments (unaudited) (cont’d) | June 30, 2020 |
SECURITY† | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
Consumer Cyclical - (continued) | ||||||||||||||||
Amentum Government Services Holdings LLC, First Lien Initial Term Loan (1 mo. USD LIBOR + 4.000%) | 4.178 | % | 1/31/27 | $ | 220,000 | $ | 217,250 | (d) | ||||||||
AP NMT Acquisition BV, Second Lien Dollar Term Loan B (3 mo. USD LIBOR + 9.000%) | 10.437 | % | 8/13/22 | 1,250,000 | 1,218,750 | (c)(d) | ||||||||||
Aristocrat Technologies Inc., Initial Term Loan (3 mo. USD LIBOR + 3.750%) | 4.750 | % | 10/19/24 | 780,000 | 777,075 | (d) | ||||||||||
Aristocrat Technologies Inc., Term Loan B3 (3 mo. USD LIBOR + 1.750%) | 2.859 | % | 10/19/24 | 320,000 | 305,200 | (d) | ||||||||||
ASHCO LLC, Initial Term Loan (3 mo. USD LIBOR + 5.000%) | 6.072 | % | 9/25/24 | 558,322 | 539,619 | (d) | ||||||||||
BCPE Empire Holdings Inc., First Lien Delayed Draw Term Loan | — | 6/11/26 | 140,047 | 135,845 | (c)(e) | |||||||||||
BCPE Empire Holdings Inc., First Lien Initial Term Loan (1 mo. USD LIBOR + 4.000%) | 4.178 | % | 6/11/26 | 708,715 | 687,454 | (c)(d) | ||||||||||
Boyd Gaming Corp., Refinancing Term Loan B (1 week USD LIBOR + 2.250%) | 2.359 | % | 9/15/23 | 876,396 | 830,072 | (d)(e) | ||||||||||
BrightView Landscapes LLC, Initial Term Loan (1 mo. USD LIBOR + 2.500%) | 2.688-2.750 | % | 8/15/25 | 773,116 | 753,789 | (c)(d) | ||||||||||
Caesars Resort Collection LLC, Term Loan B (1 mo. USD LIBOR + 2.750%) | 2.928 | % | 12/23/24 | 1,266,752 | 1,135,150 | (d) | ||||||||||
Caesars Resort Collection LLC, Term Loan B1 | — | 7/21/25 | 1,290,000 | 1,216,516 | (e) | |||||||||||
CEC Entertainment Inc., Term Loan B (3 mo. USD LIBOR + 8.500%) | 9.572 | % | 8/17/26 | 945,250 | 557,698 | (d) | ||||||||||
CM Acquisition Co., Term Loan (3 mo. USD LIBOR + 10.000%) | 11.000 | % | 7/26/23 | 69,752 | 66,700 | (c)(d) | ||||||||||
CWGS Group LLC, Term Loan (1 mo. USD LIBOR + 2.750%) | 4.123 | % | 11/8/23 | 1,038,579 | 952,573 | (d)(e) | ||||||||||
Equinox Holdings Inc., First Lien Incremental Term Loan B1 (3 mo. USD LIBOR + 3.000%) | 4.072 | % | 3/8/24 | 1,137,154 | 876,319 | (d) | ||||||||||
Equinox Holdings Inc., Second Lien Initial Term Loan (3 mo. USD LIBOR + 7.000%) | 8.072 | % | 9/6/24 | 410,000 | 278,800 | (d) | ||||||||||
Equinox Holdings Inc., Term Loan B2 (3 mo. USD LIBOR + 9.000%) | 10.000 | % | 3/8/24 | 940,000 | 935,300 | (d) | ||||||||||
Fitness International LLC, Term Loan B (3 mo. USD LIBOR + 3.250%) | 4.322 | % | 4/18/25 | 162,245 | 104,243 | (d) | ||||||||||
Golden Nugget Inc., First Initial Term Loan | 3.250 | % | 10/4/23 | 1,176,699 | 974,895 | (d) | ||||||||||
Hilton Worldwide Finance LLC, Refinance Term Loan B2 (1 mo. USD LIBOR + 1.750%) | 1.935 | % | 6/22/26 | 210,000 | 196,875 | (d) |
See Notes to Schedule of Investments.
| ||||
Western Asset Corporate Loan Fund Inc. 2020 Quarterly Report |
3 |
WESTERN ASSET CORPORATE LOAN FUND INC.
Schedule of investments (unaudited) (cont’d) | June 30, 2020 |
SECURITY† | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
Consumer Cyclical - (continued) | ||||||||||||||||
IRB Holding Corp., Term Loan B (3 mo. USD LIBOR + 2.750%) | 3.750 | % | 2/5/25 | $ | 1,306,658 | $ | 1,211,518 | (d) | ||||||||
Leslie’s Poolmart Inc., Term Loan B2 (1 mo. USD LIBOR + 3.500%) | 3.678 | % | 8/16/23 | 1,535,390 | 1,475,702 | (d)(e) | ||||||||||
Michaels Stores Inc., 2018 New Replacement Term Loan B | 3.500-3.568 | % | 1/30/23 | 652,311 | 599,582 | (d) | ||||||||||
Mohegan Tribal Gaming Authority, Term Loan B (3 mo. USD LIBOR + 4.000%) | 5.375 | % | 10/13/23 | 1,010,255 | 840,406 | (d) | ||||||||||
PCI Gaming Authority, Term Loan Facility B (1 mo. USD LIBOR + 2.500%) | 2.678 | % | 5/29/26 | 26,107 | 25,112 | (d) | ||||||||||
Petco Animal Supplies Inc., Term Loan | — | 1/26/23 | 1,070,000 | 876,062 | (e) | |||||||||||
Scientific Games International Inc., Initial Term Loan B5 | 2.928-3.612 | % | 8/14/24 | 638,367 | 565,913 | (d) | ||||||||||
ServiceMaster Co. LLC, Term Loan D (1 mo. USD LIBOR + 1.750%) | 1.928 | % | 11/5/26 | 397,302 | 388,859 | (d) | ||||||||||
Spencer Spirit IH LLC, Initial Term Loan (1 mo. USD LIBOR + 6.000%) | 6.180 | % | 6/19/26 | 458,119 | 413,452 | (d) | ||||||||||
Terrier Media Buyer Inc., Term Loan B1 | — | 12/17/26 | 1,360,000 | 1,302,200 | (e) | |||||||||||
TKC Holdings Inc., First Lien Initial Term Loan | 4.750 | % | 2/1/23 | 652,931 | 614,245 | (d) | ||||||||||
TKC Holdings Inc., Second Lien Initial Term Loan (3 mo. USD LIBOR + 8.000%) | 9.000 | % | 2/1/24 | 1,649,924 | 1,404,498 | (d) | ||||||||||
UFC Holdings LLC, Fourth Additional Term Loan | — | 4/29/26 | 760,000 | 728,333 | (e) | |||||||||||
UFC Holdings LLC, Term Loan B (3 mo. USD LIBOR + 3.250%) | 4.250 | % | 4/29/26 | 542,319 | 518,366 | (d) | ||||||||||
VICI Properties 1 LLC, Term Loan B (1 mo. USD LIBOR + 1.750%) | 1.940 | % | 12/20/24 | 1,330,000 | 1,243,550 | (d) | ||||||||||
Whatabrands LLC, 2020 Refinancing Term Loan (1 mo. USD LIBOR + 2.750%) | 2.925 | % | 8/3/26 | 1,266,817 | 1,215,353 | (d) | ||||||||||
William Morris Endeavor Entertainment LLC, New Term Loan B1 (1 mo. USD LIBOR + 2.750%) | 2.930 | % | 5/19/25 | 560,225 | 460,318 | (d) | ||||||||||
World Triathlon Corp., Initial Term Loan (1 mo. USD LIBOR + 4.250%) | 5.250 | % | 8/15/26 | 623,758 | 611,282 | (c)(d) | ||||||||||
Wynn Resorts Finance LLC, Term Loan Facility A (1 mo. USD LIBOR + 1.750%) | 1.930 | % | 9/20/24 | 1,116,500 | 1,055,092 | (c)(d) | ||||||||||
|
| |||||||||||||||
Total Consumer Cyclical | 32,355,690 | |||||||||||||||
|
|
See Notes to Schedule of Investments.
| ||||
4 | Western Asset Corporate Loan Fund Inc. 2020 Quarterly Report |
WESTERN ASSET CORPORATE LOAN FUND INC.
Schedule of investments (unaudited) (cont’d) | June 30, 2020 |
SECURITY† | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
Consumer Non-Cyclical - 28.0% | ||||||||||||||||
8th Avenue Food & Provisions Inc., First Lien Term Loan (1 mo. USD LIBOR + 3.500%) | 3.685 | % | 10/1/25 | $ | 737,258 | $ | 720,209 | (d) | ||||||||
8th Avenue Food & Provisions Inc., Second Lien Term Loan (1 mo. USD LIBOR + 7.750%) | 7.935 | % | 10/1/26 | 1,080,000 | 1,038,150 | (d) | ||||||||||
Air Medical Group Holdings Inc., 2018 Term Loan (1 mo. USD LIBOR + 3.250%) | 4.250 | % | 4/28/22 | 1,250,000 | 1,206,250 | (d)(e) | ||||||||||
Aldevron LLC, Term Loan B (1 mo. USD LIBOR + 4.250%) | 4.428 | % | 10/12/26 | 768,075 | 755,114 | (d) | ||||||||||
AlixPartners LLP, 2017 Refinancing Term Loan (1 mo. USD LIBOR + 2.500%) | 2.678 | % | 4/4/24 | 538,608 | 521,238 | (d) | ||||||||||
Allied Universal Holdco LLC, Initial Term Loan (1 mo. USD LIBOR + 4.250%) | 4.428 | % | 7/10/26 | 1,286,767 | 1,249,236 | (d) | ||||||||||
Aramark Services Inc., Term Loan B3 | — | 3/11/25 | 450,000 | 426,825 | (e) | |||||||||||
AthenaHealth Inc., First Lien Term Loan B (3 mo. USD LIBOR + 4.500%) | 4.818 | % | 2/11/26 | 298,489 | 289,285 | (d) | ||||||||||
Aveanna Healthcare LLC, First Lien Term Loan (3 mo. USD LIBOR + 4.250%) | 5.250 | % | 3/13/24 | 378,046 | 334,571 | (c)(d) | ||||||||||
BJ’s Wholesale Club Inc., Term Loan B (1 mo. USD LIBOR + 2.250%) | 2.435 | % | 2/3/24 | 548,622 | 532,986 | (d) | ||||||||||
Change Healthcare Holdings LLC, Closing Date Term Loan (3 mo. USD LIBOR + 2.500%) | 3.500 | % | 3/1/24 | 380,000 | 365,908 | (d) | ||||||||||
CHG Healthcare Services Inc., New Term Loan (1 mo. USD LIBOR + 3.000%) | 4.072 | % | 6/7/23 | 606,462 | 585,994 | (d) | ||||||||||
CHG PPC Parent LLC, First Lien Initial Term Loan (1 mo. USD LIBOR + 2.750%) | 2.928 | % | 3/31/25 | 147,000 | 140,569 | (d) | ||||||||||
Covenant Surgical Partners Inc., First Lien Delayed Draw Term Loan | — | 7/1/26 | 176,670 | 152,820 | (c)(e) | |||||||||||
Covenant Surgical Partners Inc., First Lien Initial Term Loan (1 mo. USD LIBOR + 4.000%) | 4.175 | % | 7/1/26 | 876,722 | 758,364 | (c)(d) | ||||||||||
Endo Luxembourg Finance Company I SARL, Initial Term Loan (3 mo. USD LIBOR + 4.250%) | 5.000 | % | 4/29/24 | 537,231 | 506,206 | (d) | ||||||||||
EyeCare Partners LLC, First Lien Initial Delayed Draw Term Loan | — | 2/18/27 | 262,973 | 238,867 | (e) | |||||||||||
EyeCare Partners LLC, First Lien Initial Term Loan (3 mo. USD LIBOR + 3.750%) | 4.822 | % | 2/18/27 | 1,124,209 | 1,021,156 | (d) |
See Notes to Schedule of Investments.
| ||||
Western Asset Corporate Loan Fund Inc. 2020 Quarterly Report |
5 |
WESTERN ASSET CORPORATE LOAN FUND INC.
Schedule of investments (unaudited) (cont’d) | June 30, 2020 |
SECURITY† | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
Consumer Non-Cyclical - (continued) | ||||||||||||||||
EyeCare Partners LLC, Second Lien Initial Term Loan (3 mo. USD LIBOR + 8.250%) | 8.558 | % | 2/4/28 | $ | 1,060,000 | $ | 962,833 | (d) | ||||||||
FC Compassus LLC, Initial Term Loan (3 mo. USD LIBOR + 5.000%) | 6.072 | % | 12/31/26 | 845,750 | 811,920 | (c)(d) | ||||||||||
Froneri U.S. Inc., Term Loan Facility B2 (1 mo. USD LIBOR + 2.250%) | 2.428 | % | 1/29/27 | 920,000 | 868,634 | (d) | ||||||||||
GoodRX Inc., First Lien Initial Term Loan | — | 10/10/25 | 99,744 | 95,588 | (e) | |||||||||||
Grifols Worldwide Operations USA Inc., Term Loan B (1 week USD LIBOR + 2.000%) | 2.109 | % | 11/15/27 | 199,499 | 192,655 | (d) | ||||||||||
HLF Financing SARL LLC, Term Loan B | — | 8/18/25 | 579,645 | 561,168 | (e) | |||||||||||
Medical Solutions Holdings Inc., First Lien Closing Date Term Loan (1 mo. USD LIBOR + 4.500%) | 5.500 | % | 6/14/24 | 962,725 | 933,843 | (c)(d) | ||||||||||
Medical Solutions Holdings Inc., Second Lien Initial Incremental Term Loan (1 mo. USD LIBOR + 8.750%) | 9.750 | % | 6/16/25 | 440,000 | 382,800 | (c)(d) | ||||||||||
Mister Car Wash Holdings Inc., First Lien Initial Term Loan (6 mo. USD LIBOR + 3.250%) | 4.375 | % | 5/14/26 | 552,070 | 499,348 | (d)(e) | ||||||||||
MPH Acquisition Holdings LLC, Initial Term Loan (3 mo. USD LIBOR + 2.750%) | 3.750 | % | 6/7/23 | 571,802 | 543,807 | (d) | ||||||||||
Option Care Health Inc., First Lien Term Loan B (1 mo. USD LIBOR + 4.500%) | 4.678 | % | 8/6/26 | 895,500 | 872,367 | (d) | ||||||||||
Pathway Vet Alliance LLC, First Lien Initial Delayed Draw Term Loan | — | 3/31/27 | 86,438 | 84,304 | (e) | |||||||||||
Pathway Vet Alliance LLC, First Lien Initial Term Loan | — | 3/31/27 | 1,063,562 | 1,037,304 | (e) | |||||||||||
Phoenix Guarantor Inc., Term Loan B1 (1 mo. USD LIBOR + 3.250%) | 3.435 | % | 3/5/26 | 766,150 | 739,814 | (d) | ||||||||||
Pluto Acquisition I Inc., First Lien Initial Term Loan (1 mo. USD LIBOR + 5.000%) | 5.178 | % | 6/18/26 | 1,139,120 | 1,099,251 | (c)(d) | ||||||||||
Radiology Partners Inc., Replacement Term Loan B | 5.295-5.985 | % | 7/9/25 | 1,436,385 | 1,338,830 | (d) | ||||||||||
Sotera Health Holdings LLC, First Lien Initial Term Loan | — | 12/11/26 | 249,375 | 244,465 | (e) | |||||||||||
U.S. Anesthesia Partners Inc., First Lien Initial Term Loan (3 mo. USD LIBOR + 3.000%) | 4.000 | % | 6/24/24 | 892,101 | 795,457 | (d) |
See Notes to Schedule of Investments.
| ||||
6 | Western Asset Corporate Loan Fund Inc. 2020 Quarterly Report |
WESTERN ASSET CORPORATE LOAN FUND INC.
Schedule of investments (unaudited) (cont’d) | June 30, 2020 |
SECURITY† | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
Consumer Non-Cyclical - (continued) | ||||||||||||||||
U.S. Renal Care Inc., First Lien Term Loan B (1 mo. USD LIBOR + 5.000%) | 5.188 | % | 6/26/26 | $ | 1,499,095 | $ | 1,444,753 | (d) | ||||||||
Verscend Holding Corp., Term Loan B (1 mo. USD LIBOR + 4.500%) | 4.678 | % | 8/27/25 | 957,371 | 933,437 | (d) | ||||||||||
|
| |||||||||||||||
Total Consumer Non-Cyclical | 25,286,326 | |||||||||||||||
|
| |||||||||||||||
Electric - 0.6% | ||||||||||||||||
Panda Temple Power LLC, Second Lien Term Loan (1 mo. USD LIBOR + 8.000% PIK) | 9.000 | % | 2/7/23 | 360,248 | 360,248 | (d)(f) | ||||||||||
Terra-Gen Finance Co. LLC, Term Loan (1 mo. USD LIBOR + 4.250%) | 5.250 | % | 12/9/21 | 138,430 | 134,277 | (c)(d) | ||||||||||
|
| |||||||||||||||
Total Electric | 494,525 | |||||||||||||||
|
| |||||||||||||||
Energy - 0.8% | ||||||||||||||||
Paragon Offshore Finance Co., Term Loan | — | — | 1,830 | 867 | *(c)(g) | |||||||||||
Penn Virginia Holdings Corp., Second Lien Advance Term Loan (1 mo. USD LIBOR + 7.000%) | 8.000 | % | 9/29/22 | 950,000 | 617,500 | (c)(d) | ||||||||||
Permian Production Partners LLC, Initial Term Loan (3 mo. USD LIBOR + 6.000%) | 6.250 | % | 5/20/24 | 798,000 | 59,850 | (c)(d)(h) | ||||||||||
|
| |||||||||||||||
Total Energy | 678,217 | |||||||||||||||
|
| |||||||||||||||
Finance Companies - 0.1% | ||||||||||||||||
Clipper Acquisitions Corp., Term Loan B1 (1 mo. USD LIBOR + 1.750%) | 1.924 | % | 12/27/24 | 88,135 | 85,491 | (c)(d) | ||||||||||
|
| |||||||||||||||
Financial Other - 10.6% | ||||||||||||||||
AqGen Ascensus Inc., Sixth Amendment Incremental Term Loan (3 mo. USD LIBOR + 4.250%) | 5.322 | % | 12/5/22 | 436,700 | 429,603 | (c)(d) | ||||||||||
AqGen Ascensus Inc., Third Amendment Replacement Term Loan (3 mo. USD LIBOR + 4.000%) | 5.072 | % | 12/5/22 | 736,781 | 724,808 | (c)(d) | ||||||||||
Deerfield Dakota Holding LLC, First Lien Initial Dollar Term Loan (1 mo. USD LIBOR + 3.750%) | 4.750 | % | 4/9/27 | 290,000 | 282,297 | (d) | ||||||||||
Deerfield Dakota Holding LLC, Incremental Term Loan | — | 4/9/27 | 860,000 | 837,157 | (e) | |||||||||||
Deerfield Dakota Holding LLC, Second Lien Initial Term Loan (1 mo. USD LIBOR + 8.000%) | 9.000 | % | 4/7/28 | 1,660,000 | 1,589,450 | (c)(d) | ||||||||||
Edelman Financial Center LLC, Second Lien Initial Term Loan (1 mo. USD LIBOR + 6.750%) | 6.930 | % | 7/20/26 | 2,080,000 | 1,914,900 | (d) |
See Notes to Schedule of Investments.
| ||||
Western Asset Corporate Loan Fund Inc. 2020 Quarterly Report |
7 |
WESTERN ASSET CORPORATE LOAN FUND INC.
Schedule of investments (unaudited) (cont’d) | June 30, 2020 |
SECURITY† | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
Financial Other - (continued) | ||||||||||||||||
First Eagle Holdings Inc., 2018 Refinancing Term Loan B (3 mo. USD LIBOR + 2.500%) | 2.808 | % | 2/1/27 | $ | 29,925 | $ | 28,890 | (d) | ||||||||
Focus Financial Partners LLC, Term Loan B3 (1 mo. USD LIBOR + 2.000%) | 2.178 | % | 7/3/24 | 1,016,183 | 975,536 | (d) | ||||||||||
KWOR Acquisition Inc., First Lien Delayed Draw Term Loan | — | 6/3/26 | 98,933 | 92,997 | (c)(e) | |||||||||||
KWOR Acquisition Inc., First Lien Initial Term Loan (1 mo. USD LIBOR + 4.000%) | 4.178 | % | 6/3/26 | 979,438 | 920,672 | (c)(d) | ||||||||||
Nexus Buyer LLC, Initial Term Loan (1 mo. USD LIBOR + 3.750%) | 3.935 | % | 11/9/26 | 1,184,050 | 1,161,355 | (d) | ||||||||||
Resolute Investment Managers Inc., Specified Refinancing Term Loan (3 mo. USD LIBOR + 3.250%) | 4.250 | % | 4/30/22 | 401,562 | 387,507 | (c)(d) | ||||||||||
VFH Parent LLC, Initial Term Loan (1 mo. USD LIBOR + 3.000%) | 3.188 | % | 3/1/26 | 270,040 | 263,740 | (d) | ||||||||||
|
| |||||||||||||||
Total Financial Other | 9,608,912 | |||||||||||||||
|
| |||||||||||||||
Industrial Other - 3.7% | ||||||||||||||||
CRCI Longhorn Holdings Inc., First Lien Closing Date Term Loan (1 mo. USD LIBOR + 3.500%) | 3.678 | % | 8/8/25 | 252,447 | 234,461 | (d) | ||||||||||
Garda World Security Corp., First Lien Term Loan B (1 mo. USD LIBOR + 4.750%) | 4.930 | % | 10/30/26 | 1,820,000 | 1,792,700 | (d) | ||||||||||
Prime Security Services Borrower LLC, 2019 Refinancing Term Loan B1 | 4.250 | % | 9/23/26 | 957,588 | 922,875 | (d) | ||||||||||
VM Consolidated Inc., Term Loan B1 (3 mo. USD LIBOR + 3.250%) | 3.558 | % | 2/28/25 | 418,172 | 401,445 | (d) | ||||||||||
|
| |||||||||||||||
Total Industrial Other | 3,351,481 | |||||||||||||||
|
| |||||||||||||||
Insurance - 1.9% | ||||||||||||||||
Alliant Holdings Intermediate LLC, 2018 Initial Term Loan (1 mo. USD LIBOR + 2.750%) | 2.928 | % | 5/9/25 | 605,367 | 575,099 | (d) | ||||||||||
AmeriLife Holdings LLC, First Lien Delayed Draw Term Loan | — | 3/18/27 | 32,955 | 31,389 | (c)(e) | |||||||||||
AmeriLife Holdings LLC, First Lien Term Loan (1 mo. USD LIBOR + 4.000%) | 4.173 | % | 3/18/27 | 257,045 | 244,836 | (c)(d) | ||||||||||
Asurion LLC, New Term Loan B7 (1 mo. USD LIBOR + 3.000%) | 3.178 | % | 11/3/24 | 639,158 | 618,985 | (d) | ||||||||||
Asurion LLC, Replacement Term Loan B6 (1 mo. USD LIBOR + 3.000%) | 3.178 | % | 11/3/23 | 219,420 | 212,837 | (d) | ||||||||||
|
| |||||||||||||||
Total Insurance | 1,683,146 | |||||||||||||||
|
|
See Notes to Schedule of Investments.
| ||||
8 | Western Asset Corporate Loan Fund Inc. 2020 Quarterly Report |
WESTERN ASSET CORPORATE LOAN FUND INC.
Schedule of investments (unaudited) (cont’d) | June 30, 2020 |
SECURITY† | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
REITS - 0.8% | ||||||||||||||||
Blackstone Mortgage Trust Inc., Term Loan (1 mo. USD LIBOR + 2.250%) | 2.428 | % | 4/23/26 | $ | 1,138 | $ | 1,070 | (c)(d) | ||||||||
Corecivic Inc., Term Loan (1 mo. USD LIBOR + 4.500%) | 5.500 | % | 12/12/24 | 721,500 | 710,677 | (d) | ||||||||||
|
| |||||||||||||||
Total REITS | 711,747 | |||||||||||||||
|
| |||||||||||||||
Technology - 22.4% | ||||||||||||||||
Access CIG LLC, First Lien Term Loan B (1 mo. USD LIBOR + 3.750%) | 3.924 | % | 2/27/25 | 518,367 | 495,472 | (d) | ||||||||||
Access CIG LLC, Second Lien Initial Term Loan (1 mo. USD LIBOR + 7.750%) | 7.924 | % | 2/13/26 | 100,000 | 87,250 | (d) | ||||||||||
Blackhawk Network Holdings Inc., First Lien Term Loan (1 mo. USD LIBOR + 3.000%) | 3.178 | % | 6/16/25 | 843,440 | 779,480 | (d) | ||||||||||
Blackhawk Network Holdings Inc., Second Lien Term Loan (1 mo. USD LIBOR + 7.000%) | 7.250 | % | 6/15/26 | 2,180,000 | 2,009,234 | (d) | ||||||||||
Cardtronics USA Inc., Initial Term Loan | — | 6/25/27 | 1,250,000 | 1,237,500 | (c)(e) | |||||||||||
Castle US Holding Corp., Initial Dollar Term Loan (3 mo. USD LIBOR + 3.750%) | 4.058 | % | 1/29/27 | 966,937 | 892,000 | (d) | ||||||||||
CommScope Inc., Initial Term Loan (1 mo. USD LIBOR + 3.250%) | 3.428 | % | 4/4/26 | 1,521,019 | 1,448,770 | (d) | ||||||||||
DCert Buyer Inc., First Lien Initial Term Loan (1 mo. USD LIBOR + 4.000%) | 4.178 | % | 10/16/26 | 1,576,050 | 1,530,411 | (d) | ||||||||||
Fiserv Investment Solutions Inc., Initial Term Loan (3 mo. USD LIBOR + 4.750%) | 5.136 | % | 2/10/27 | 1,160,000 | 1,138,250 | (d) | ||||||||||
Global Tel Link Corp., First Lien Term Loan (1 mo. USD LIBOR + 4.250%) | 4.428 | % | 11/29/25 | 1,509,917 | 1,316,932 | (d) | ||||||||||
Global Tel Link Corp., Second Lien Term Loan (1 mo. USD LIBOR + 8.250%) | 8.428 | % | 11/20/26 | 1,810,000 | 1,389,175 | (d) | ||||||||||
Huskies Parent Inc., First Lien Closing Date Term Loan (1 mo. USD LIBOR + 4.000%) | 4.178 | % | 7/31/26 | 226,356 | 221,546 | (c)(d) | ||||||||||
MA Financeco LLC, Term Loan B3 (1 mo. USD LIBOR + 2.500%) | 2.678 | % | 6/21/24 | 68,855 | 64,552 | (d) | ||||||||||
MA Financeco LLC, Term Loan B4 (3 mo. USD LIBOR + 4.250%) | 5.250 | % | 6/5/25 | 1,110,000 | 1,087,800 | (d) | ||||||||||
McAfee LLC, Second Lien Initial Term Loan (1 mo. USD LIBOR + 8.500%) | 9.500 | % | 9/29/25 | 399,091 | 397,095 | (d) | ||||||||||
McAfee LLC, USD Term Loan B (1 mo. USD LIBOR + 3.750%) | 3.934 | % | 9/30/24 | 661,559 | 644,358 | (d) | ||||||||||
Particle Investments SARL, First Lien Initial Term Loan | — | 2/18/27 | 1,040,000 | 990,600 | (e) |
See Notes to Schedule of Investments.
| ||||
Western Asset Corporate Loan Fund Inc. 2020 Quarterly Report |
9 |
WESTERN ASSET CORPORATE LOAN FUND INC.
Schedule of investments (unaudited) (cont’d) | June 30, 2020 |
SECURITY† | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
Technology - (continued) | ||||||||||||||||
Project Alpha Intermediate Holding Inc., 2019 Incremental Term Loan (3 mo. USD LIBOR + 4.250%) | 6.130 | % | 4/26/24 | $ | 978,160 | $ | 943,924 | (c)(d) | ||||||||
Science Applications International Corp., Term Loan B2 (1 mo. USD LIBOR + 2.250%) | 2.428 | % | 3/13/27 | 222,083 | 217,531 | (d) | ||||||||||
Seattle Escrow Borrower LLC, Initial Term Loan (1 mo. USD LIBOR + 2.500%) | 2.678 | % | 6/21/24 | 464,997 | 435,934 | (d) | ||||||||||
Severin Acquisition LLC, First Lien Term Loan (1 mo. USD LIBOR + 3.250%) | 3.425 | % | 8/1/25 | 642,713 | 618,611 | (d) | ||||||||||
Sound Inpatient Physicians Inc., First Lien Initial Term Loan (1 mo. USD LIBOR + 2.750%) | 2.928 | % | 6/27/25 | 126,859 | 121,996 | (d) | ||||||||||
Surf Holdings SARL, Senior Secured First Lien Dollar Term Loan (3 mo. USD LIBOR + 3.500%) | 3.827 | % | 3/5/27 | 1,210,000 | 1,164,877 | (d) | ||||||||||
Tempo Acquisition LLC, Initial Term Loan (1 mo. USD LIBOR + 2.750%) | 2.928 | % | 5/1/24 | 79,386 | 75,764 | (d) | ||||||||||
Ultimate Software Group Inc., First Lien Initial Term Loan (1 mo. USD LIBOR + 3.750%) | 3.928 | % | 5/4/26 | 269,322 | 261,290 | (d) | ||||||||||
Upland Software Inc., Senior Secured Term Loan (1 mo. USD LIBOR + 3.750%) | 3.928 | % | 8/6/26 | 89,325 | 86,422 | (d) | ||||||||||
Zotec Partners LLC, Term Loan B2 (3 mo. USD LIBOR + 3.750%) | 4.822 | % | 2/14/24 | 596,219 | 587,276 | (c)(d) | ||||||||||
|
| |||||||||||||||
Total Technology | 20,244,050 | |||||||||||||||
|
| |||||||||||||||
Transportation - 5.1% | ||||||||||||||||
Delta Air Lines Inc., Initial Term Loan (3 mo. USD LIBOR + 4.750%) | 5.510 | % | 4/27/23 | 200,000 | 196,800 | (d) | ||||||||||
Genesee & Wyoming Inc., Initial Term Loan (3 mo. USD LIBOR + 2.000%) | 2.308 | % | 12/30/26 | 379,050 | 366,447 | (d) | ||||||||||
GlobalTranz Enterprises LLC, First Lien Initial Term Loan (1 mo. USD LIBOR + 5.000%) | 5.180 | % | 5/15/26 | 1,274,815 | 1,000,730 | (c)(d) | ||||||||||
Jetblue Airways Corp., Term Loan (3 mo. USD LIBOR + 5.250%) | 6.250 | % | 6/17/24 | 1,430,000 | 1,404,379 | (d) | ||||||||||
Mileage Plus Holdings Inc., Initial Term Loan | — | 6/25/27 | 1,050,000 | 1,044,282 | (e) | |||||||||||
XPO Logistics Inc., Refinancing Term Loan | — | 2/24/25 | 140,000 | 137,083 | (e) | |||||||||||
XPO Logistics Inc., Term Loan B1 | — | 2/24/25 | 480,000 | 471,000 | (e) | |||||||||||
|
| |||||||||||||||
Total Transportation | 4,620,721 | |||||||||||||||
|
| |||||||||||||||
TOTAL SENIOR LOANS | 120,135,520 | |||||||||||||||
|
|
See Notes to Schedule of Investments.
| ||||
10 | Western Asset Corporate Loan Fund Inc. 2020 Quarterly Report |
WESTERN ASSET CORPORATE LOAN FUND INC.
Schedule of investments (unaudited) (cont’d) | June 30, 2020 |
SECURITY† | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
ASSET-BACKED SECURITIES - 6.3% | ||||||||||||||||
Apidos CLO XVIII, 2018-18A E (3 mo. USD LIBOR + 5.700%) | 6.798 | % | 10/22/30 | $ | 400,000 | $ | 335,907 | (d)(i) | ||||||||
Dryden 72 CLO Ltd., 2019-72A E (3 mo. USD LIBOR + 6.800%) | 7.192 | % | 5/15/32 | 400,000 | 348,186 | (d)(i) | ||||||||||
Halsey Point CLO I Ltd., 2019-1A E (3 mo. USD LIBOR + 7.700%) | 9.607 | % | 1/20/33 | 250,000 | 213,587 | (d)(i) | ||||||||||
Halsey Point CLO I Ltd., 2019-1A F (3 mo. USD LIBOR + 8.200%) | 10.107 | % | 1/20/33 | 750,000 | 432,553 | (d)(i) | ||||||||||
Madison Park Funding XXX Ltd., 2018-30A D (3 mo. USD LIBOR + 2.500%) | 3.719 | % | 4/15/29 | 250,000 | 230,196 | (d)(i) | ||||||||||
Neuberger Berman Loan Advisers CLO 35 Ltd., 2019-35A E (3 mo. USD LIBOR + 7.000%) | 8.903 | % | 1/19/33 | 750,000 | 639,485 | (d)(i) | ||||||||||
Octagon Investment Partners 35 Ltd., 2018-1A C (3 mo. USD LIBOR + 2.600%) | 3.735 | % | 1/20/31 | 250,000 | 220,271 | (d)(i) | ||||||||||
Octagon Investment Partners 36 Ltd., 2018-1A E (3 mo. USD LIBOR + 5.430%) | 6.649 | % | 4/15/31 | 1,000,000 | 831,196 | (d)(i) | ||||||||||
Romark CLO Ltd., 2017-1A D (3 mo. USD LIBOR + 6.650%) | 7.693 | % | 10/23/30 | 1,000,000 | 833,929 | (d)(i) | ||||||||||
Sound Point CLO XXII Ltd., 2019-1A D (3 mo. USD LIBOR + 3.900%) | 5.035 | % | 1/20/32 | 600,000 | 573,124 | (d)(i) | ||||||||||
TICP CLO VI Ltd., 2016-6A DR (3 mo. USD LIBOR + 3.300%) | 4.519 | % | 1/15/29 | 610,000 | 586,061 | (d)(i) | ||||||||||
Wellfleet CLO Ltd., 2017-3A C (3 mo. USD LIBOR + 2.750%) | 3.885 | % | 1/17/31 | 500,000 | 427,179 | (d)(i) | ||||||||||
|
| |||||||||||||||
TOTAL ASSET-BACKED SECURITIES | 5,671,674 | |||||||||||||||
|
| |||||||||||||||
CORPORATE BONDS & NOTES - 3.9% | ||||||||||||||||
COMMUNICATION SERVICES - 0.9% | ||||||||||||||||
Media - 0.9% | ||||||||||||||||
iHeartCommunications Inc., Senior Secured Notes | 5.250 | % | 8/15/27 | 850,000 | 815,311 | (i) | ||||||||||
|
| |||||||||||||||
CONSUMER DISCRETIONARY - 0.8% | ||||||||||||||||
Diversified Consumer Services - 0.5% | ||||||||||||||||
AMN Healthcare Inc., Senior Notes | 4.625 | % | 10/1/27 | 500,000 | 488,342 | (i) | ||||||||||
|
| |||||||||||||||
Hotels, Restaurants & Leisure - 0.3% | ||||||||||||||||
1011778 BC ULC/New Red Finance Inc., Senior Secured Notes | 5.750 | % | 4/15/25 | 220,000 | 231,413 | (i) | ||||||||||
|
| |||||||||||||||
TOTAL CONSUMER DISCRETIONARY | 719,755 | |||||||||||||||
|
|
See Notes to Schedule of Investments.
| ||||
Western Asset Corporate Loan Fund Inc. 2020 Quarterly Report |
11 |
WESTERN ASSET CORPORATE LOAN FUND INC.
Schedule of investments (unaudited) (cont’d) | June 30, 2020 |
SECURITY† | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
ENERGY - 0.7% | ||||||||||||||||
Oil, Gas & Consumable Fuels - 0.7% | ||||||||||||||||
NGPL PipeCo LLC, Senior Notes | 7.768 | % | 12/15/37 | $ | 520,000 | $ | 636,293 | (i) | ||||||||
|
| |||||||||||||||
FINANCIALS - 0.5% | ||||||||||||||||
Diversified Financial Services - 0.5% | ||||||||||||||||
DAE Funding LLC, Senior Notes | 4.500 | % | 8/1/22 | 470,000 | 449,139 | (i) | ||||||||||
|
| |||||||||||||||
HEALTH CARE - 1.0% | ||||||||||||||||
Health Care Providers & Services - 0.6% | ||||||||||||||||
Radiology Partners Inc., Senior Notes | 9.250 | % | 2/1/28 | 600,000 | 567,000 | (i) | ||||||||||
|
| |||||||||||||||
Pharmaceuticals - 0.4% | ||||||||||||||||
Par Pharmaceutical Inc., Senior Secured Notes | 7.500 | % | 4/1/27 | 350,000 | 360,341 | (i) | ||||||||||
|
| |||||||||||||||
TOTAL HEALTH CARE | 927,341 | |||||||||||||||
|
| |||||||||||||||
TOTAL CORPORATE BONDS & NOTES |
| 3,547,839 | ||||||||||||||
|
| |||||||||||||||
SHARES | ||||||||||||||||
COMMON STOCKS - 0.0%†† | ||||||||||||||||
CONSUMER DISCRETIONARY - 0.0%†† | ||||||||||||||||
Automobiles - 0.0%†† | ||||||||||||||||
Dayco Products LLC | 4,745 | 35,587 | *(c) | |||||||||||||
Dayco Products LLC | 167 | 1,253 | *(c) | |||||||||||||
|
| |||||||||||||||
Total Automobiles | 36,840 | |||||||||||||||
|
| |||||||||||||||
Household Durables - 0.0%†† | ||||||||||||||||
EveryWare Global | 66,667 | 9,333 | *(c) | |||||||||||||
|
| |||||||||||||||
TOTAL CONSUMER DISCRETIONARY | 46,173 | |||||||||||||||
|
| |||||||||||||||
ENERGY - 0.0%†† | ||||||||||||||||
Energy Equipment & Services - 0.0%†† | ||||||||||||||||
Paragon Offshore Litigation Trust A | 503 | 151 | (c) | |||||||||||||
|
| |||||||||||||||
Oil, Gas & Consumable Fuels - 0.0%†† | ||||||||||||||||
Montage Resources Corp. | 1,780 | 7,031 | * | |||||||||||||
|
| |||||||||||||||
TOTAL ENERGY | 7,182 | |||||||||||||||
|
| |||||||||||||||
TOTAL COMMON STOCKS | 53,355 | |||||||||||||||
|
| |||||||||||||||
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS |
| 129,408,388 | ||||||||||||||
|
|
See Notes to Schedule of Investments.
| ||||
12 | Western Asset Corporate Loan Fund Inc. 2020 Quarterly Report |
WESTERN ASSET CORPORATE LOAN FUND INC.
Schedule of investments (unaudited) (cont’d) | June 30, 2020 |
SECURITY† | RATE | SHARES | VALUE | |||||||||
SHORT-TERM INVESTMENTS - 6.7% | ||||||||||||
Dreyfus Government Cash Management, Institutional Shares | 0.085 | % | 5,994,530 | $ | 5,994,530 | |||||||
|
| |||||||||||
TOTAL INVESTMENTS - 149.9% |
| 135,402,918 | ||||||||||
Liabilities in Excess of Other Assets - (49.9)% | (45,055,932 | ) | ||||||||||
|
| |||||||||||
TOTAL NET ASSETS - 100.0% | $ | 90,346,986 | ||||||||||
|
|
† | 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. |
†† | Represents less than 0.1%. |
* | 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) | Security is valued using significant unobservable inputs (Note 1). |
(d) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
(e) | All or a portion of this loan is unfunded as of June 30, 2020. The interest rate for fully unfunded term loans is to be determined. |
(f) | Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional securities. |
(g) | Security is valued in good faith in accordance with procedures approved by the Board of Directors (Note 1). |
(h) | The coupon payment on these securities is currently in default as of June 30, 2020. |
(i) | 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. |
Abbreviation(s) used in this schedule:
CLO | — Collateralized Loan Obligation | |
LIBOR | — London Interbank Offered Rate | |
PIK | — Payment-In-Kind | |
USD | — United States Dollar |
This Schedule of Investments is unaudited and is intended to provide information about the Fund’s investments 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.
| ||||
Western Asset Corporate Loan Fund Inc. 2020 Quarterly Report |
13 |
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 and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. 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.
| ||||
14 |
Notes to Schedule of Investments (unaudited) (continued)
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) |
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
| ||||
15 |
Notes to Schedule of Investments (unaudited) (continued)
The following is a summary of the inputs used in valuing the Fund’s assets carried at fair value:
ASSETS | ||||||||||||||||
DESCRIPTION | QUOTED PRICES (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) | TOTAL | ||||||||||||
Long-Term Investments†: | ||||||||||||||||
Senior Loans: | ||||||||||||||||
Basic Industry | — | $ | 177,360 | $ | 12,267 | $ | 189,627 | |||||||||
Capital Goods | — | 7,859,885 | 4,453,169 | 12,313,054 | ||||||||||||
Communications | — | 7,650,094 | 862,439 | 8,512,533 | ||||||||||||
Consumer Cyclical | — | 26,804,976 | 5,550,714 | 32,355,690 | ||||||||||||
Consumer Non-Cyclical | — | 20,812,757 | 4,473,569 | 25,286,326 | ||||||||||||
Electric | — | 360,248 | 134,277 | 494,525 | ||||||||||||
Energy | — | — | 678,217 | 678,217 | ||||||||||||
Finance Companies | — | — | 85,491 | 85,491 | ||||||||||||
Financial Other | — | 5,463,875 | 4,145,037 | 9,608,912 | ||||||||||||
Industrial Other | — | 3,351,481 | — | 3,351,481 | ||||||||||||
Insurance | — | 1,406,921 | 276,225 | 1,683,146 | ||||||||||||
REITS | — | 710,677 | 1,070 | 711,747 | ||||||||||||
Technology | — | 17,253,804 | 2,990,246 | 20,244,050 | ||||||||||||
Transportation | — | 3,619,991 | 1,000,730 | 4,620,721 | ||||||||||||
Asset-Backed Securities | — | 5,671,674 | — | 5,671,674 | ||||||||||||
Corporate Bonds & Notes | — | 3,547,839 | — | 3,547,839 | ||||||||||||
Common Stocks: | ||||||||||||||||
Consumer Discretionary | — | — | 46,173 | 46,173 | ||||||||||||
Energy | $ | 7,031 | — | 151 | 7,182 | |||||||||||
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Total Long-Term Investments | 7,031 | 104,691,582 | 24,709,775 | 129,408,388 | ||||||||||||
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Short-Term Investments† | 5,994,530 | — | — | 5,994,530 | ||||||||||||
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Total Investments | $ | 6,001,561 | $ | 104,691,582 | $ | 24,709,775 | $ | 135,402,918 | ||||||||
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† | See Schedule of Investments for additional detailed categorizations. |
The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value:
Investments in Securities | Balance as of September 30, 2019 | Accrued premiums/ discounts | Realized gain (loss)1 | Change in unrealized appreciation (depreciation)2 | Purchases | |||||||||||||||
Senior Loans: | ||||||||||||||||||||
Basic Industry | $ | 2,303,341 | $ | 1,484 | $ | (186,126 | ) | $ | 13,472 | $ | 1,486,396 | |||||||||
Capital Goods | 3,565,582 | 2,114 | (362,260 | ) | 12,146 | 2,252,835 | ||||||||||||||
Communications | 1,052,231 | 681 | (68,225 | ) | 25,314 | 1,676,388 | ||||||||||||||
Consumer Cyclical | 2,288,680 | 6,806 | (35,969 | ) | (83,473 | ) | 3,055,804 |
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16 |
Notes to Schedule of Investments (unaudited) (continued)
Investments in Securities | Balance as of September 30, 2019 | Accrued premiums/ discounts | Realized gain (loss)1 | Change in unrealized appreciation (depreciation)2 | Purchases | |||||||||||||||
Consumer Non-Cyclical | $ | 10,513,211 | $ | 24,009 | $ | (1,038,932 | ) | $ | (272,138 | ) | $ | 4,281,551 | ||||||||
Electric | 490,121 | (11,497 | ) | (807 | ) | 14,293 | 25,413 | |||||||||||||
Energy | 2,026,853 | 3,063 | (84,310 | ) | (623,353 | ) | — | |||||||||||||
Finance Companies | 410,193 | 701 | (6,881 | ) | (8,738 | ) | — | |||||||||||||
Financial Other | 8,333,851 | 3,919 | (160,208 | ) | (131,208 | ) | 2,720,175 | |||||||||||||
Insurance | 1,414,709 | 492 | (54,438 | ) | (18,251 | ) | 1,606,279 | |||||||||||||
REITS | 348,680 | 112 | (120,132 | ) | (1,289 | ) | 726,355 | |||||||||||||
Technology | 4,057,785 | 3,559 | (1,090 | ) | (44,726 | ) | 1,820,687 | |||||||||||||
Transportation | — | — | — | — | — | |||||||||||||||
Common Stocks: | ||||||||||||||||||||
Communication | ||||||||||||||||||||
Services | 96,900 | — | (350,509 | ) | 317,563 | — | ||||||||||||||
Consumer | ||||||||||||||||||||
Discretionary | 195,958 | — | — | (149,785 | ) | — | ||||||||||||||
Energy | 7,711 | — | (2,772 | ) | (2,520 | ) | — | |||||||||||||
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Total | $ | 37,105,806 | $ | 35,443 | $ | (2,472,659 | ) | $ | (952,693 | ) | $ | 19,651,883 | ||||||||
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Investments in Securities (cont’d) | Sales | Transfers into Level 33 | Transfers out of Level 34 | Balance as of June 30, 2020 | Net change in unrealized appreciation (depreciation) for investments in securities still held at June 30, 20202 | |||||||||||||||
Senior Loans: | ||||||||||||||||||||
Basic Industry | $ | (3,606,300 | ) | — | — | $ | 12,267 | $ | (207 | ) | ||||||||||
Capital Goods | (2,863,185 | ) | $ | 1,845,937 | — | 4,453,169 | 28,516 | |||||||||||||
Communications | (1,823,950 | ) | — | — | 862,439 | 27,546 | ||||||||||||||
Consumer Cyclical | (1,869,504 | ) | 2,188,370 | — | 5,550,714 | (87,714 | ) | |||||||||||||
Consumer Non-Cyclical | (6,368,502 | ) | — | $ | (2,665,630 | ) | 4,473,569 | (273,809 | ) | |||||||||||
Electric | (22,998 | ) | — | (360,248 | ) | 134,277 | 3,572 | |||||||||||||
Energy | (644,036 | ) | — | — | 678,217 | (700,299 | ) | |||||||||||||
Finance Companies | (309,784 | ) | — | — | 85,491 | (8,738 | ) | |||||||||||||
Financial Other | (7,346,300 | ) | 724,808 | — | 4,145,037 | (123,897 | ) | |||||||||||||
Insurance | (2,672,566 | ) | — | — | 276,225 | (13,079 | ) | |||||||||||||
REITS | (952,656 | ) | — | — | 1,070 | (66 | ) | |||||||||||||
Technology | (3,067,515 | ) | 221,546 | — | 2,990,246 | (35,866 | ) | |||||||||||||
Transportation | — | 1,000,730 | — | 1,000,730 | — |
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17 |
Notes to Schedule of Investments (unaudited) (continued)
Investments in Securities (cont’d) | Sales | Transfers into Level 33 | Transfers out of Level 34 | Balance as of June 30, 2020 | Net change in unrealized appreciation (depreciation) for investments in securities still held at June 30, 20202 | |||||||||||||||
Common Stocks: | ||||||||||||||||||||
Communication | ||||||||||||||||||||
Services | $ | (63,954 | ) | — | — | — | — | |||||||||||||
Consumer | ||||||||||||||||||||
Discretionary | — | — | — | $ | 46,173 | $ | (149,785 | ) | ||||||||||||
Energy | (2,268 | ) | — | — | 151 | (126 | ) | |||||||||||||
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Total | $ | (31,613,518 | ) | $ | 5,981,391 | $ | (3,025,878 | ) | $ | 24,709,775 | $ | (1,333,952 | ) | |||||||
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1 | This amount is included in net realized gain (loss) from investment transactions in the accompanying Statement of Operations. |
2 | 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. |
3 | 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. |
4 | 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. |
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18 |