March 1, 2012 / 8:17 PM / 5 years ago

TEXT-Fitch affirms LMP Corporate Loan Fund at 'AAA'

 (The following statement was released by the rating agency)	
 March 1 - Fitch Ratings has affirmed the 'AAA' ratings assigned to the
following auction-rate preferred shares (ARPS) issued by LMP Corporate Loan Fund
Inc. (NYSE: TLI), a closed-end fund sub-advised by Citigroup Alternative
Investments LLC:	
	
--$35,000,000 of ARPS consisting of Series A and B, each with a liquidation 	
preference of $25,000 per share.	
	
KEY RATING DRIVERS	
	
The affirmation follows Fitch's annual review of the fund. The 'AAA' ratings are	
based on sufficient asset coverage relative to Fitch's criteria provided to the 	
ARPS by the fund's underlying portfolios of assets, the structural protections 	
afforded by mandatory cure and de-leveraging provisions in the event of asset 	
coverage declines, the legal and regulatory parameters that govern the fund's 	
operations and the capabilities of Citigroup Alternative Investments LLC as 	
investment manager. Fitch's ratings assigned to the ARPS speak only to timely 	
repayment of interest and principal in accordance with the governing documents 	
and not to potential liquidity in the secondary market.	
	
LEVERAGE    	
	
As of Jan. 31, 2012, TLI had assets of approximately $204 million, current 	
liabilities of 10 million and leverage of $65.5 million, or 34% of net assets. 	
Leverage consisted of $30.5 million drawn on the bank credit facility and $35 	
million in issued ARPS.	
	
ASSET COVERAGE	
	
As of the same date, the fund's asset coverage ratios, as calculated in 	
accordance with the Fitch total and net overcollateralization tests (Fitch OC 	
tests) per the 'AAA' rating guidelines outlined in Fitch's applicable criteria, 	
were in excess of 100%, which is the minimum asset coverage amount deemed 	
consistent with an 'AAA' rating. The fund's governing documents require that 	
asset coverage for the ARPS, as calculated in accordance with the Fitch OC 	
tests, be maintained in excess of 100%. As such, should the asset coverage 	
decline below 100%, the governing documents require the funds to alter the 	
composition of their portfolio toward assets with lower discount factors, or to 	
reduce leverage in a sufficient amount to restore compliance within a 58 	
business day period. 	
	
Additionally, as of the same date, the fund's asset coverage ratio for total 	
leverage, as calculated in accordance with its interpretation of the Investment 	
Company Act of 1940, was in excess of 200%, which is a minimum asset coverage 	
tests required by the fund's governing documents. As of the same date, the 	
fund's asset coverage ratio for the outstanding bank credit facility, as 	
calculated in accordance with its interpretation of the Investment Company Act 	
of 1940, was in excess of 300%, which is also a minimum asset coverage test 	
required by the fund's governing documents.	
	
FUND PROFILES	
	
As of Jan. 31, 2012, the portfolio consisted mainly of first lien leveraged 	
loans (that are not covenant light) and high-yield corporate bonds (both secured	
and unsecured). The fund was highly diversified by industry and issuer and 	
therefore no additional overconcentration discount factor was applied in 	
calculating the Fitch OC Tests. The fund is a non-diversified closed-end 	
management investment company, registered under the Investment Company Act of 	
1940, as amended.	
	
THE ADVISOR	
	
Citigroup Alternative Investments LLC, through the Citi Capital Advisors (CCA) 	
business unit of Citigroup, Inc., acts as sub-advisor of the Fund, performing 	
all investment management functions. CCA is an $18.8 billion global alternative 	
asset management platform that offers a broad range of innovative investment 	
strategies. Legg Mason Partners Fund Advisor, LLC acts as the advisor to the 	
fund, performing all legal, operational, compliance and distribution functions. 	
Legg Mason Partners Fund Advisor, LLC is a wholly owned subsidiary of Legg Mason	
Inc. 	
	
RATING SENSITIVITY	
	
The ratings may be sensitive to material changes in the credit quality or market	
risk profiles of the fund. A material adverse deviation from Fitch guidelines 	
for any key rating driver could cause the ratings to be lowered by Fitch. For 	
additional information about Fitch closed-end fund ratings guidelines, please 	
review the criteria referenced below, which can be found on Fitch's website.	
	
Additional information is available at 'www.fitchratings.com'. The ratings above	
were solicited by, or on behalf of, the issuer, and therefore, Fitch has been 	
compensated for the provision of the ratings.	
	
The sources of information used to assess this rating were the public domain, 	
Citigroup Alternative Investments LLC, and Legg Mason Inc.	
	
Applicable Criteria and Related Research:	
	
--'Rating Closed-End Fund Debt and Preferred Stock' (Aug. 16, 2011);	
	
--'2012 Outlook: Closed-End Fund Leverage' (Dec. 19, 2011).	
	
Applicable Criteria and Related Research: 	
	
Rating Closed-End Fund Debt and Preferred Stock 	
	
here	
	
2012 Outlook: Closed-End Fund Leverage	
	
here	
	
 (New York Ratings Team)	
 

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