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
|
811-21467
|
|
|
LMP
Capital and Income Fund Inc.
|
(Exact name of registrant as specified in charter)
|
|
125 Broad Street, New York, NY
|
|
10004
|
(Address of principal executive offices)
|
|
(Zip code)
|
|
Robert I. Frenkel, Esq.
Legg Mason & Co., LLC
300 First Stamford Place
Stamford, CT 06902
|
(Name and address of agent for service)
|
|
Registrant's
telephone number, including area code:
|
1-800-451-2010
|
|
|
Date of
fiscal year end:
|
October 31
|
|
|
|
|
Date of
reporting period:
|
July 31,
2007
|
|
|
|
|
|
|
|
|
LMP CAPITAL AND
INCOME FUND INC.
FORM N-Q
JULY 31, 2007
ITEM 1. SCHEDULE
OF INVESTMENTS
LMP Capital and Income Fund Inc.
Schedule
of Investments
(unaudited)
July 31, 2007
Shares
|
|
Security
|
|
Value
|
|
COMMON STOCKS 72.9%
|
|
|
|
CONSUMER DISCRETIONARY
8.4%
|
|
|
|
Hotels,
Restaurants & Leisure 1.5%
|
|
|
|
129,427
|
|
Ameristar
Casinos Inc.
|
|
$
|
4,100,247
|
|
100,200
|
|
Las
Vegas Sands Corp. *
|
|
8,742,450
|
|
|
|
Total
Hotels, Restaurants & Leisure
|
|
12,842,697
|
|
Household
Durables 0.0%
|
|
|
|
1,226,577
|
|
Home
Interiors & Gifts Inc. (a)(b)*
|
|
12,266
|
|
Media
4.6%
|
|
|
|
265,000
|
|
E.W.
Scripps Co., Class A Shares
|
|
10,857,050
|
|
155,700
|
|
Liberty
Media Holding Corp., Capital Group, Series A Shares *
|
|
17,819,865
|
|
768,600
|
|
Warner
Music Group Corp.
|
|
9,522,954
|
|
|
|
Total
Media
|
|
38,199,869
|
|
Multiline
Retail 0.9%
|
|
|
|
126,800
|
|
Target
Corp.
|
|
7,680,276
|
|
Specialty
Retail 1.4%
|
|
|
|
205,000
|
|
Ross
Stores Inc.
|
|
5,930,650
|
|
213,500
|
|
TJX
Cos. Inc.
|
|
5,924,625
|
|
|
|
Total
Specialty Retail
|
|
11,855,275
|
|
|
|
TOTAL
CONSUMER DISCRETIONARY
|
|
70,590,383
|
|
CONSUMER STAPLES 3.7%
|
|
|
|
Food
Products 1.8%
|
|
|
|
466,400
|
|
Kraft
Foods Inc., Class A Shares
|
|
15,274,600
|
|
Tobacco
1.9%
|
|
|
|
231,400
|
|
Altria
Group Inc.
|
|
15,381,158
|
|
|
|
TOTAL
CONSUMER STAPLES
|
|
30,655,758
|
|
ENERGY 11.8%
|
|
|
|
Energy
Equipment & Services 5.6%
|
|
|
|
114,900
|
|
Diamond
Offshore Drilling Inc.
|
|
11,855,382
|
|
414,900
|
|
Halliburton
Co.
|
|
14,944,698
|
|
99,100
|
|
SEACOR
Holdings Inc. *
|
|
8,643,502
|
|
104,200
|
|
Transocean
Inc. *
|
|
11,196,290
|
|
|
|
Total
Energy Equipment & Services
|
|
46,639,872
|
|
Oil,
Gas & Consumable Fuels 6.2%
|
|
|
|
157,950
|
|
Anadarko
Petroleum Corp.
|
|
7,949,623
|
|
573,800
|
|
Crosstex
Energy Inc.
|
|
16,588,558
|
|
164,900
|
|
Newfield
Exploration Co. *
|
|
7,923,445
|
|
176,560
|
|
Total
SA, ADR
|
|
13,879,382
|
|
90,100
|
|
Valero
Energy Corp.
|
|
6,037,601
|
|
|
|
Total
Oil, Gas & Consumable Fuels
|
|
52,378,609
|
|
|
|
TOTAL
ENERGY
|
|
99,018,481
|
|
EXCHANGE TRADED FUND
1.6%
|
|
|
|
Exchange
Traded 1.6%
|
|
|
|
280,500
|
|
UltraShort
QQQ ProShares
|
|
12,950,685
|
|
FINANCIALS 14.3%
|
|
|
|
Capital
Markets 2.5%
|
|
|
|
384,000
|
|
UBS
AG
|
|
21,146,880
|
|
Consumer
Finance 2.8%
|
|
|
|
392,000
|
|
American
Express Co.
|
|
22,947,680
|
|
Insurance
9.0%
|
|
|
|
236,900
|
|
AFLAC
Inc.
|
|
12,347,228
|
|
257,620
|
|
American
International Group Inc.
|
|
16,534,052
|
|
853,010
|
|
Fidelity
National Financial Inc., Class A Shares
|
|
17,819,379
|
|
124,000
|
|
First
American Corp.
|
|
5,739,960
|
|
|
|
|
|
|
|
|
See Notes to Schedule of Investments.
1
LMP Capital and Income Fund Inc.
Schedule
of Investments
(unaudited) (continued)
July 31, 2007
Shares
|
|
Security
|
|
Value
|
|
Insurance
9.0% (continued)
|
|
|
|
571,300
|
|
Marsh
& McLennan Cos. Inc.
|
|
$
|
15,739,315
|
|
353,700
|
|
Progressive
Corp.
|
|
7,420,626
|
|
|
|
Total
Insurance
|
|
75,600,560
|
|
|
|
TOTAL
FINANCIALS
|
|
119,695,120
|
|
HEALTH CARE 6.1%
|
|
|
|
Biotechnology
0.6%
|
|
|
|
68,600
|
|
Genentech
Inc. *
|
|
5,102,468
|
|
Health
Care Equipment & Supplies 1.2%
|
|
|
|
200,700
|
|
Medtronic
Inc.
|
|
10,169,469
|
|
Health
Care Providers & Services 2.4%
|
|
|
|
99,830
|
|
Quest
Diagnostics Inc.
|
|
5,537,570
|
|
148,300
|
|
UnitedHealth
Group Inc.
|
|
7,182,169
|
|
98,400
|
|
WellPoint
Inc. *
|
|
7,391,808
|
|
|
|
Total
Health Care Providers & Services
|
|
20,111,547
|
|
Health
Care Technology 0.9%
|
|
|
|
265,300
|
|
IMS
Health Inc.
|
|
7,462,889
|
|
Pharmaceuticals
1.0%
|
|
|
|
132,400
|
|
Johnson
& Johnson
|
|
8,010,200
|
|
|
|
TOTAL
HEALTH CARE
|
|
50,856,573
|
|
INDUSTRIALS 9.3%
|
|
|
|
Aerospace
& Defense 3.8%
|
|
|
|
64,610
|
|
Alliant
Techsystems Inc. *
|
|
6,403,497
|
|
125,910
|
|
L-3
Communications Holdings Inc.
|
|
12,283,780
|
|
182,200
|
|
United
Technologies Corp.
|
|
13,295,134
|
|
|
|
Total
Aerospace & Defense
|
|
31,982,411
|
|
Commercial
Services & Supplies 1.0%
|
|
|
|
366,100
|
|
Covanta
Holding Corp. *
|
|
8,303,148
|
|
Industrial
Conglomerates 2.8%
|
|
|
|
612,400
|
|
General
Electric Co.
|
|
23,736,624
|
|
Machinery
1.7%
|
|
|
|
271,800
|
|
Dover
Corp.
|
|
13,861,800
|
|
|
|
TOTAL
INDUSTRIALS
|
|
77,883,983
|
|
INFORMATION TECHNOLOGY
14.5%
|
|
|
|
Communications
Equipment 4.4%
|
|
|
|
573,700
|
|
Cisco
Systems Inc. *
|
|
16,585,667
|
|
343,900
|
|
Corning
Inc.
|
|
8,198,576
|
|
294,300
|
|
QUALCOMM
Inc.
|
|
12,257,595
|
|
|
|
Total
Communications Equipment
|
|
37,041,838
|
|
Computers
& Peripherals 1.2%
|
|
|
|
533,800
|
|
EMC
Corp. *
|
|
9,880,638
|
|
Electronic
Equipment & Instruments 0.6%
|
|
|
|
136,050
|
|
Tyco
Electronics Ltd. *
|
|
4,873,311
|
|
Internet
Software & Services 1.9%
|
|
|
|
16,200
|
|
Google
Inc., Class A Shares *
|
|
8,262,000
|
|
247,600
|
|
VeriSign
Inc. *
|
|
7,351,244
|
|
|
|
Total
Internet Software & Services
|
|
15,613,244
|
|
IT
Services 2.7%
|
|
|
|
227,111
|
|
Fidelity
National Information Services Inc.
|
|
11,271,519
|
|
392,210
|
|
Hewitt
Associates Inc., Class A Shares *
|
|
11,734,923
|
|
|
|
Total
IT Services
|
|
23,006,442
|
|
Semiconductors
& Semiconductor Equipment 1.2%
|
|
|
|
447,900
|
|
Applied
Materials Inc.
|
|
9,871,716
|
|
|
|
|
|
|
|
|
See Notes to Schedule of Investments.
2
LMP Capital and Income Fund Inc.
Schedule
of Investments
(unaudited) (continued)
July 31, 2007
Shares
|
|
Security
|
|
Value
|
|
INFORMATION TECHNOLOGY
14.5% (continued)
|
|
|
|
Software
2.5%
|
|
|
|
759,300
|
|
Oracle
Corp. *
|
|
$
|
14,517,816
|
|
353,500
|
|
Symantec
Corp. *
|
|
6,787,200
|
|
|
|
Total
Software
|
|
21,305,016
|
|
|
|
TOTAL
INFORMATION TECHNOLOGY
|
|
121,592,205
|
|
MATERIALS 1.3%
|
|
|
|
Metals
& Mining 1.3%
|
|
|
|
286,480
|
|
Alcoa
Inc.
|
|
10,943,536
|
|
UTILITIES 1.9%
|
|
|
|
Gas
Utilities 1.9%
|
|
|
|
368,360
|
|
National
Fuel Gas Co.
|
|
15,968,406
|
|
|
|
TOTAL
COMMON STOCKS
(Cost $605,885,679)
|
|
610,155,130
|
|
|
|
|
|
|
|
|
Face
Amount
|
|
|
|
|
|
ASSET-BACKED SECURITIES
0.7%
|
|
|
|
Home Equity 0.7%
|
|
|
|
$
|
750,000
|
|
Asset-Backed Funding Certificates, Series 2004-FF1, Class M2, 6.770%
due 1/25/34 (c)
|
|
725,784
|
|
|
|
Countrywide Asset-Backed Certificates:
|
|
|
|
193,175
|
|
Series
2003-03, Class M4, 6.720% due 3/25/33 (c)
|
|
188,466
|
|
410,000
|
|
Series
2004-05, Class M4, 6.570% due 6/25/34 (c)
|
|
400,042
|
|
73,417
|
|
Finance America Net Interest Margin Trust, Series 2004-01, Class A,
5.250% due 6/27/34 (d)
|
|
1
|
|
|
|
Fremont Home Loan Trust:
|
|
|
|
197,643
|
|
Series
2004-01, Class M5, 6.420% due 2/25/34 (c)
|
|
188,667
|
|
875,000
|
|
Series
2004-D, Class M5, 6.320% due 11/25/34 (c)
|
|
868,834
|
|
1,005,000
|
|
GSAMP Trust, Series 2004-OPT, Class M3, 6.470% due 11/25/34 (c)
|
|
980,517
|
|
2,951
|
|
Merrill Lynch Mortgage Investors Inc., Series 2005-WM1N, Class N1,
5.000% due 9/25/35 (d)
|
|
2,751
|
|
1,500,000
|
|
Option One Mortgage Loan Trust, Series 2004-02, Class M2, 6.370% due
5/25/34 (c)
|
|
1,500,072
|
|
549,183
|
|
Renaissance Home Equity Loan Trust, Series 2003-4, Class M3, 7.220%
due 3/25/34 (c)
|
|
534,749
|
|
|
|
Sail Net Interest Margin Notes:
|
|
|
|
141,210
|
|
Series
2003-BC2A, Class A, 7.750% due 4/27/33 (d)
|
|
10,583
|
|
71,380
|
|
Series
2004-2A, Class A, 5.500% due 3/27/34 (d)
|
|
9,331
|
|
|
|
TOTAL
ASSET-BACKED SECURITIES
(Cost $5,784,267)
|
|
5,409,797
|
|
COLLATERALIZED MORTGAGE
OBLIGATIONS 0.4%
|
|
|
|
260,000
|
|
American
Home Mortgage Investment Trust, Series 2005-4, Class M3, 6.120% due 11/25/45 (c)
|
|
257,844
|
|
|
|
Federal
Home Loan Mortgage Corp. (FHLMC):
|
|
|
|
76,206
|
|
Series
2764, Class DT, 6.000% due 3/15/34 (c)
|
|
67,814
|
|
558,063
|
|
Series
2780, Class SL, PAC, 6.000% due 4/15/34 (c)
|
|
544,458
|
|
747,021
|
|
Harborview Mortgage Loan Trust, Series 2005-10, Class B6, 6.390% due
11/19/35 (c)
|
|
730,213
|
|
501,207
|
|
Merit Securities Corp., Series 11PA, Class B2, 6.820% due 9/28/32
(c)(d)
|
|
464,113
|
|
|
|
MLCC Mortgage Investors Inc.:
|
|
|
|
434,373
|
|
Series
2004-A, Class B2, 6.240% due 4/25/29 (c)
|
|
434,431
|
|
732,307
|
|
Series
2004-B, Class B2, 6.200% due 5/25/29 (c)
|
|
734,490
|
|
|
|
TOTAL
COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $3,266,818)
|
|
3,233,363
|
|
|
|
|
|
|
|
|
See Notes to Schedule of Investments.
3
LMP Capital and Income Fund Inc.
Schedule
of Investments
(unaudited) (continued)
July 31, 2007
Face
Amount
|
|
Security
|
|
Value
|
|
CORPORATE BONDS &
NOTES 8.7%
|
|
|
|
Aerospace & Defense
0.1%
|
|
|
|
$
|
275,000
|
|
Alliant Techsystems Inc., Senior Subordinated Notes, 6.750% due
4/1/16
|
|
$
|
261,937
|
|
250,000
|
|
Hawker Beechcraft Acquisition Co., Senior Notes, 8.875% due 4/1/15
(d)(e)
|
|
248,125
|
|
|
|
Total
Aerospace & Defense
|
|
510,062
|
|
Airlines 0.1%
|
|
|
|
170,000
|
|
Continental Airlines Inc., Notes, 8.750% due 12/1/11
|
|
161,500
|
|
460,000
|
|
DAE Aviation Holdings Inc., Senior Notes, 11.250% due 8/1/15 (d)
|
|
448,500
|
|
|
|
Total
Airlines
|
|
610,000
|
|
Auto Components 0.1%
|
|
|
|
295,000
|
|
Keystone Automotive Operations Inc., Senior Subordinated Notes,
9.750% due 11/1/13
|
|
222,725
|
|
1,075,000
|
|
Visteon Corp., Senior Notes, 8.250% due 8/1/10
|
|
956,750
|
|
|
|
Total
Auto Components
|
|
1,179,475
|
|
Automobiles 0.2%
|
|
|
|
110,000
|
|
Ford Motor Co., Debentures, 8.875% due 1/15/22
|
|
93,225
|
|
|
|
General Motors Corp., Senior Debentures:
|
|
|
|
630,000
|
|
8.250%
due 7/15/23
|
|
516,600
|
|
1,300,000
|
|
8.375%
due 7/15/33
|
|
1,075,750
|
|
|
|
Total
Automobiles
|
|
1,685,575
|
|
Building Products 0.1%
|
|
|
|
540,000
|
|
Associated Materials Inc., Senior Subordinated Notes, 9.750% due
4/15/12
|
|
553,500
|
|
490,000
|
|
NTK Holdings Inc., Senior Discount Notes, step bond to yield 11.186%
due 3/1/14
|
|
301,350
|
|
|
|
Total
Building Products
|
|
854,850
|
|
Capital Markets 0.2%
|
|
|
|
|
|
E*TRADE Financial Corp., Senior Notes:
|
|
|
|
160,000
|
|
7.375%
due 9/15/13
|
|
161,600
|
|
65,000
|
|
7.875%
due 12/1/15
|
|
67,275
|
|
1,200,000
|
|
Kaupthing Bank HF, Subordinated Notes, 7.125% due 5/19/16 (d)
|
|
1,278,496
|
|
|
|
Total
Capital Markets
|
|
1,507,371
|
|
Chemicals 0.2%
|
|
|
|
572,000
|
|
Equistar Chemicals LP, Senior Notes, 10.625% due 5/1/11
|
|
600,600
|
|
570,000
|
|
Georgia Gulf Corp., Senior Subordinated Notes, 9.500% due 10/15/14
|
|
544,350
|
|
110,000
|
|
Huntsman International LLC, Senior Subordinated Notes, 7.875% due
11/15/14
|
|
118,250
|
|
6,000
|
|
PPG Industries Inc., Notes, 6.500% due 11/1/07
|
|
6,006
|
|
|
|
Total
Chemicals
|
|
1,269,206
|
|
Commercial Banks 0.3%
|
|
|
|
68,181
|
|
Fifth Third Bank, Notes, 2.870% due 8/10/09
|
|
66,596
|
|
1,300,000
|
|
Resona Preferred Global Securities Cayman Ltd., Bonds, 7.191% due
7/30/15 (c)(d)(f)
|
|
1,314,577
|
|
1,300,000
|
|
Shinsei Finance Cayman Ltd., Junior Subordinated Bonds, 6.418% due
7/20/14 (c)(d)(f)
|
|
1,250,630
|
|
|
|
Total
Commercial Banks
|
|
2,631,803
|
|
Commercial Services &
Supplies 0.2%
|
|
|
|
180,000
|
|
Allied Security Escrow Corp., Senior Subordinated Notes, 11.375% due
7/15/11
|
|
179,100
|
|
75,000
|
|
Allied Waste North America Inc., Senior Notes, Series B, 7.250% due
3/15/15
|
|
72,750
|
|
405,000
|
|
DynCorp
International LLC/DIV Capital Corporation, Senior Subordinated Notes, Series
B, 9.500% due 2/15/13
|
|
415,125
|
|
|
|
|
|
|
|
|
|
See Notes to Schedule of Investments.
4
LMP Capital and Income Fund Inc.
Schedule
of Investments
(unaudited)
(continued)
July 31, 2007
Face
Amount
|
|
Security
|
|
Value
|
|
Commercial Services &
Supplies 0.2% (continued)
|
|
|
|
$
|
600,000
|
|
Interface Inc., Senior Subordinated Notes, 9.500% due 2/1/14
|
|
$
|
627,000
|
|
290,000
|
|
Rental Services Corp., Senior Bonds, 9.500% due 12/1/14 (d)
|
|
284,200
|
|
225,000
|
|
Waste Management Inc., Senior Note, 6.375% due 11/15/12
|
|
232,505
|
|
|
|
Total
Commercial Services & Supplies
|
|
1,810,680
|
|
Consumer Finance 0.7%
|
|
|
|
300,000
|
|
Aiful Corp., Notes, 6.000% due 12/12/11 (d)
|
|
301,260
|
|
|
|
Ford Motor Credit Co.:
|
|
|
|
1,050,000
|
|
Notes,
7.000% due 10/1/13
|
|
946,021
|
|
|
|
Senior
Notes:
|
|
|
|
750,000
|
|
5.800%
due 1/12/09
|
|
720,472
|
|
135,000
|
|
9.750%
due 9/15/10
|
|
136,421
|
|
559,000
|
|
10.610%
due 6/15/11 (c)
|
|
579,968
|
|
170,000
|
|
8.000%
due 12/15/16
|
|
156,925
|
|
|
|
General Motors Acceptance Corp., Notes:
|
|
|
|
500,000
|
|
5.625%
due 5/15/09
|
|
476,832
|
|
1,900,000
|
|
6.625%
due 5/15/12
|
|
1,740,054
|
|
300,000
|
|
6.750%
due 12/1/14
|
|
270,006
|
|
125,000
|
|
SLM Corp., Medium-Term Notes, Series A, 5.560% due 1/26/09 (c)
|
|
123,217
|
|
|
|
Total
Consumer Finance
|
|
5,451,176
|
|
Containers & Packaging
0.2%
|
|
|
|
550,000
|
|
Graham Packaging Co. Inc., Senior Subordinated Notes, 9.875% due
10/15/14
|
|
519,750
|
|
535,000
|
|
Graphic Packaging International Corp., Senior Subordinated Notes,
9.500% due 8/15/13
|
|
537,675
|
|
195,000
|
|
Plastipak Holdings Inc., Senior Notes, 8.500% due 12/15/15 (d)
|
|
197,925
|
|
|
|
Total
Containers & Packaging
|
|
1,255,350
|
|
Diversified Consumer
Services 0.0%
|
|
|
|
|
|
Education Management LLC/Education Management Finance Corp.:
|
|
|
|
20,000
|
|
Senior
Notes, 8.750% due 6/1/14
|
|
20,000
|
|
210,000
|
|
Senior
Subordinated Notes, 10.250% due 6/1/16
|
|
210,000
|
|
|
|
Total
Diversified Consumer Services
|
|
230,000
|
|
Diversified Financial
Services 0.4%
|
|
|
|
150,000
|
|
AAC Group Holding Corp., Senior Discount Notes, step bond to yield
9.092% due 10/1/12
|
|
129,750
|
|
100,000
|
|
Aiful Corp., Notes, 5.000% due 8/10/10 (d)
|
|
98,133
|
|
100,000
|
|
Bank of America Corp., Subordinated Notes, 5.420% due 3/15/17
|
|
95,434
|
|
610,000
|
|
Basell AF SCA, Senior Secured Subordinated Second Priority Notes,
8.375% due 8/15/15 (d)
|
|
545,950
|
|
125,000
|
|
Capital One Bank, Notes, 5.750% due 9/15/10
|
|
125,566
|
|
110,493
|
|
Core Investment Grade Bond Trust I, Pass-Through Certificates, 4.642%
due 11/30/07
|
|
110,146
|
|
125,000
|
|
Countrywide Home Loans Inc., Medium-Term Notes, Series M, 4.125% due
9/15/09
|
|
120,441
|
|
250,000
|
|
General Electric Capital Corp., Medium-Term Notes, Series A, 5.450%
due 1/15/13
|
|
249,682
|
|
162,000
|
|
Global
Cash Access LLC/Global Cash Finance Corp., Senior Subordinated Notes, 8.750%
due 3/15/12
|
|
166,050
|
|
125,000
|
|
HSBC Finance Corp., Senior Subordinated Notes, 5.875% due 2/1/09
|
|
125,903
|
|
60,000
|
|
Milacron Escrow Corp., Senior Secured Notes, 11.500% due 5/15/11
|
|
56,400
|
|
|
|
Residential Capital Corp., Senior Notes:
|
|
|
|
10,000
|
|
6.460%
due 4/17/09 (c)
|
|
9,635
|
|
40,000
|
|
6.460%
due 5/22/09 (c)
|
|
38,051
|
|
430,000
|
|
Residential Capital LLC, Senior Notes, 6.500% due 6/1/12
|
|
390,463
|
|
57,000
|
|
UCAR Finance Inc., Senior Notes, 10.250% due 2/15/12
|
|
59,850
|
|
|
|
|
|
|
|
|
|
See Notes to Schedule of Investments.
5
LMP Capital and Income Fund Inc.
Schedule
of Investments
(unaudited)
(continued)
July 31, 2007
Face
Amount
|
|
Security
|
|
Value
|
|
Diversified Financial
Services 0.4% (continued)
|
|
|
|
$
|
130,000
|
|
Vangent Inc., Senior Subordinated Notes, 9.625% due 2/15/15 (d)
|
|
$
|
123,500
|
|
620,000
|
|
Vanguard Health Holdings Co. I LLC, Senior Discount Notes, step bond
to yield 10.257% due 10/1/15
|
|
455,700
|
|
260,000
|
|
Vanguard Health Holdings Co. II LLC, Senior Subordinated Notes,
9.000% due 10/1/14
|
|
243,100
|
|
|
|
Total
Diversified Financial Services
|
|
3,143,754
|
|
Diversified
Telecommunication Services 0.6%
|
|
|
|
600,000
|
|
Deutsche Telekom International Finance, Senior Notes, 5.750% due
3/23/16
|
|
582,135
|
|
215,000
|
|
Hawaiian
Telcom Communications Inc., Senior Subordinated Notes, Series B, 12.500% due
5/1/15
|
|
226,825
|
|
|
|
Intelsat Bermuda Ltd.:
|
|
|
|
180,000
|
|
9.250%
due 6/15/16
|
|
184,500
|
|
680,000
|
|
Senior
Notes, 11.250% due 6/15/16
|
|
714,000
|
|
|
|
Level 3 Financing Inc.:
|
|
|
|
295,000
|
|
9.250%
due 11/1/14
|
|
283,200
|
|
30,000
|
|
Senior
Notes, 9.150% due 2/15/15 (c)(d)
|
|
28,500
|
|
250,000
|
|
Nordic Telephone Co. Holdings, Senior Secured Bonds, 8.875% due
5/1/16 (d)
|
|
248,750
|
|
|
|
NTL Cable PLC, Senior Notes:
|
|
|
|
450,000
|
|
8.750%
due 4/15/14
|
|
452,250
|
|
220,000
|
|
9.125%
due 8/15/16
|
|
223,300
|
|
140,000
|
|
PAETEC Holding Corp., Senior Note, 9.500% due 7/15/15 (d)
|
|
134,400
|
|
740,000
|
|
Qwest Communications International Inc., Senior Notes, Series B,
7.500% due 2/15/14
|
|
714,100
|
|
100,000
|
|
Telecom Italia Capital S.p.A., Senior Notes, 5.250% due 10/1/15
|
|
93,195
|
|
140,000
|
|
Univision Communications Inc., Senior Notes, 9.750% due 3/15/15
(d)(e)
|
|
128,100
|
|
450,000
|
|
Verizon Florida Inc., Senior Notes, Series F, 6.125% due 1/15/13
|
|
456,168
|
|
660,000
|
|
Windstream Corp., Senior Notes, 8.625% due 8/1/16
|
|
671,550
|
|
|
|
Total
Diversified Telecommunication Services
|
|
5,140,973
|
|
Electric Utilities 0.1%
|
|
|
|
325,000
|
|
FirstEnergy Corp., Notes, Series C, 7.375% due 11/15/31
|
|
354,353
|
|
100,000
|
|
Orion Power Holdings Inc., Senior Notes, 12.000% due 5/1/10
|
|
109,000
|
|
230,000
|
|
Pacific Gas & Electric Co., Senior Unsubordinated Notes, 5.800%
due 3/1/37
|
|
216,080
|
|
|
|
Total
Electric Utilities
|
|
679,433
|
|
Electronic Equipment &
Instruments 0.1%
|
|
|
|
1,065,000
|
|
NXP BV/NXP Funding LLC, Senior Notes, 9.500% due 10/15/15
|
|
926,550
|
|
Energy Equipment &
Services 0.2%
|
|
|
|
725,000
|
|
Complete Production Services Inc., 8.000% due 12/15/16
|
|
699,625
|
|
529,000
|
|
Dresser-Rand Group Inc., Senior Subordinated Notes, 7.375% due
11/1/14
|
|
510,485
|
|
55,000
|
|
Pride International Inc., Senior Notes, 7.375% due 7/15/14
|
|
54,863
|
|
10,000
|
|
Southern Natural Gas Co., Senior Notes, 8.000% due 3/1/32
|
|
11,181
|
|
|
|
Total
Energy Equipment & Services
|
|
1,276,154
|
|
Food & Staples
Retailing 0.0%
|
|
|
|
150,000
|
|
Safeway Inc., Senior Notes, 6.500% due 11/15/08
|
|
151,893
|
|
Food Products 0.0%
|
|
|
|
|
|
Dole Food Co. Inc., Senior Notes:
|
|
|
|
125,000
|
|
7.250% due 6/15/10
|
|
115,312
|
|
261,000
|
|
8.875% due 3/15/11
|
|
244,035
|
|
|
|
Total
Food Products
|
|
359,347
|
|
Health Care Providers
& Services 0.3%
|
|
|
|
590,000
|
|
Community Health Systems Inc., Senior Notes, 8.875% due 7/15/15 (d)
|
|
575,987
|
|
|
|
|
|
|
|
|
|
See Notes to Schedule of Investments.
6
LMP Capital and Income Fund Inc.
Schedule
of Investments
(unaudited)
(continued)
July 31, 2007
Face
Amount
|
|
Security
|
|
Value
|
|
Health Care Providers
& Services 0.3% (continued)
|
|
|
|
|
|
HCA Inc.:
|
|
|
|
$
|
295,000
|
|
Notes,
6.375% due 1/15/15
|
|
$
|
229,362
|
|
345,000
|
|
Senior
Notes, 6.500% due 2/15/16
|
|
267,375
|
|
|
|
Senior
Secured Notes:
|
|
|
|
215,000
|
|
9.250%
due 11/15/16 (d)
|
|
213,925
|
|
165,000
|
|
9.625%
due 11/15/16 (d)(e)
|
|
164,175
|
|
425,000
|
|
IASIS Healthcare LLC/IASIS Capital Corp., Senior Subordinated Notes,
8.750% due 6/15/14
|
|
410,125
|
|
|
|
Tenet Healthcare Corp., Senior Notes:
|
|
|
|
180,000
|
|
6.375%
due 12/1/11
|
|
153,900
|
|
650,000
|
|
7.375%
due 2/1/13
|
|
546,000
|
|
1,000
|
|
9.875%
due 7/1/14
|
|
895
|
|
150,000
|
|
UnitedHealth Group Inc., Senior Notes, 3.300% due 1/30/08
|
|
148,694
|
|
|
|
Total
Health Care Providers & Services
|
|
2,710,438
|
|
Hotels, Restaurants &
Leisure 0.8%
|
|
|
|
1,000,000
|
|
Boyd Gaming Corp., Senior Subordinated Notes, 6.750% due 4/15/14
|
|
945,000
|
|
265,000
|
|
Buffets Inc., Senior Notes, 12.500% due 11/1/14
|
|
215,975
|
|
315,000
|
|
Choctaw Resort Development Enterprise, Senior Notes, 7.250% due 11/15/19
(d)
|
|
305,550
|
|
550,000
|
|
Dennys Holdings Inc., Senior Notes, 10.000% due 10/1/12
|
|
561,000
|
|
100,000
|
|
El Pollo Loco Inc., Senior Notes, 11.750% due 11/15/13
|
|
101,500
|
|
450,000
|
|
Herbst Gaming Inc., Senior Subordinated Notes, 7.000% due 11/15/14
|
|
387,000
|
|
660,000
|
|
Inn of the Mountain Gods Resort & Casino, Senior Notes, 12.000%
due 11/15/10
|
|
702,900
|
|
140,000
|
|
Isle of Capri Casinos Inc., Senior Subordinated Notes, 7.000% due
3/1/14
|
|
126,875
|
|
|
|
MGM MIRAGE Inc.:
|
|
|
|
380,000
|
|
Notes,
6.750% due 9/1/12
|
|
357,200
|
|
|
|
Senior
Notes:
|
|
|
|
575,000
|
|
5.875%
due 2/27/14
|
|
506,000
|
|
320,000
|
|
7.625%
due 1/15/17
|
|
299,200
|
|
203,000
|
|
Senior
Subordinated Notes, 9.375% due 2/15/10
|
|
208,582
|
|
500,000
|
|
Pinnacle Entertainment Inc., Senior Subordinated Notes, 8.250% due
3/15/12
|
|
507,500
|
|
625,000
|
|
Seneca Gaming Corp., Senior Notes, 7.250% due 5/1/12
|
|
618,750
|
|
|
|
Station Casinos Inc.:
|
|
|
|
|
|
Senior
Notes:
|
|
|
|
60,000
|
|
6.000%
due 4/1/12
|
|
55,200
|
|
250,000
|
|
7.750%
due 8/15/16
|
|
235,625
|
|
105,000
|
|
Senior
Subordinated Notes, 6.875% due 3/1/16
|
|
88,988
|
|
500,000
|
|
Turning Stone Casino Resort Enterprise, Senior Notes, 9.125% due
12/15/10 (d)
|
|
507,500
|
|
|
|
Total
Hotels, Restaurants & Leisure
|
|
6,730,345
|
|
Household Durables 0.2%
|
|
|
|
335,000
|
|
K Hovnanian Enterprises Inc., Senior Notes, 8.625% due 1/15/17
|
|
278,050
|
|
325,000
|
|
Norcraft Cos. LP/Norcraft Finance Corp., Senior Subordinated Notes,
9.000% due 11/1/11
|
|
326,625
|
|
700,000
|
|
Norcraft
Holdings LP/Norcraft Capital Corp., Senior Discount Notes, step bond to yield
9.608% due 9/1/12
|
|
605,500
|
|
80,000
|
|
Sealy Mattress Co., Senior Subordinated Notes, 8.250% due 6/15/14
|
|
79,200
|
|
|
|
Total
Household Durables
|
|
1,289,375
|
|
Independent Power
Producers & Energy Traders 0.2%
|
|
|
|
152,070
|
|
Mirant Mid Atlantic LLC, Pass-Through Certificates, Series B, 9.125%
due 6/30/17
|
|
167,175
|
|
|
|
NRG Energy Inc., Senior Notes:
|
|
|
|
250,000
|
|
7.250%
due 2/1/14
|
|
241,875
|
|
|
|
|
|
|
|
|
|
See Notes to Schedule of Investments.
7
LMP Capital and Income Fund Inc.
Schedule
of Investments
(unaudited)
(continued)
July 31, 2007
Face
Amount
|
|
Security
|
|
Value
|
|
Independent Power
Producers & Energy Traders 0.2% (continued)
|
|
|
|
$
|
1,025,000
|
|
7.375%
due 2/1/16
|
|
$
|
991,688
|
|
380,000
|
|
TXU Corp., Senior Notes, Series P, 5.550% due 11/15/14
|
|
308,444
|
|
|
|
Total
Independent Power Producers & Energy Traders
|
|
1,709,182
|
|
Insurance 0.1%
|
|
|
|
500,000
|
|
Nationwide Life Global Funding I, Notes, 5.450% due 9/28/07 (c)(d)
|
|
500,092
|
|
IT Services 0.1%
|
|
|
|
|
|
SunGard Data Systems Inc.:
|
|
|
|
400,000
|
|
Senior
Notes, 9.125% due 8/15/13
|
|
404,000
|
|
270,000
|
|
Senior
Subordinated Notes, 10.250% due 8/15/15
|
|
271,350
|
|
|
|
Total
IT Services
|
|
675,350
|
|
Media 0.8%
|
|
|
|
|
|
Affinion Group Inc.:
|
|
|
|
355,000
|
|
Senior
Notes, 10.125% due 10/15/13
|
|
358,550
|
|
100,000
|
|
Senior
Subordinated Notes, 11.500% due 10/15/15
|
|
101,000
|
|
390,000
|
|
AMC Entertainment Inc., Senior Subordinated Notes, 11.000% due 2/1/16
|
|
404,625
|
|
|
|
CCH I Holdings LLC/CCH I Holdings Capital Corp.:
|
|
|
|
205,000
|
|
Senior
Accreting Notes, 12.125% due 1/15/15
|
|
198,850
|
|
380,000
|
|
Senior
Notes, 11.750% due 5/15/14
|
|
364,800
|
|
569,000
|
|
CCH I LLC/CCH Capital Corp., Senior Secured Notes, 11.000% due
10/1/15
|
|
571,845
|
|
|
|
CCH II LLC/CCH II Capital Corp., Senior Notes:
|
|
|
|
480,000
|
|
10.250%
due 9/15/10
|
|
490,800
|
|
65,000
|
|
10.250%
due 10/1/13
|
|
66,787
|
|
105,000
|
|
Charter
Communications Holdings LLC/Charter Communications Holdings Capital Corp.,
Senior Discount Notes, 11.750% due 5/15/11
|
|
106,050
|
|
240,000
|
|
CMP Susquehanna Corp., 9.875% due 5/15/14
|
|
224,400
|
|
810,000
|
|
Comcast Corp., Notes, 6.500% due 1/15/17
|
|
822,002
|
|
410,000
|
|
Idearc Inc., Senior Notes, 8.000% due 11/15/16
|
|
390,525
|
|
65,000
|
|
ION Media Networks Inc., Senior Secured Notes, 11.610% due 1/15/13
(c)(d)
|
|
65,813
|
|
180,000
|
|
Lamar Media Corp., Senior Subordinated Notes, 6.625% due 8/15/15
|
|
164,700
|
|
|
|
R.H. Donnelley Corp.:
|
|
|
|
|
|
Senior
Discount Notes:
|
|
|
|
355,000
|
|
Series
A-1, 6.875% due 1/15/13
|
|
321,275
|
|
300,000
|
|
Series
A-2, 6.875% due 1/15/13
|
|
271,500
|
|
450,000
|
|
Senior
Notes, Series A-3, 8.875% due 1/15/16
|
|
439,875
|
|
810,000
|
|
Time Warner Inc., Senior Notes, 6.875% due 5/1/12
|
|
846,353
|
|
260,000
|
|
TL Acquisitions Inc., Senior Notes, 10.500% due 1/15/15 (d)
|
|
240,500
|
|
|
|
Total
Media
|
|
6,450,250
|
|
Metals & Mining 0.2%
|
|
|
|
960,000
|
|
Freeport-McMoRan Copper & Gold Inc., Senior Notes, 8.375% due
4/1/17
|
|
1,010,400
|
|
15,000
|
|
Metals USA Holdings Corp., Senior Notes, 11.360% due 1/15/12
(c)(d)(e)
|
|
15,000
|
|
435,000
|
|
Metals USA Inc., Senior Secured Notes, 11.125% due 12/1/15
|
|
465,450
|
|
155,000
|
|
Noranda Aluminum Holding Corp., Senior Notes, 11.146% due 11/15/14 (c)(d)(e)
|
|
146,475
|
|
100,000
|
|
Novelis Inc., Senior Notes, 7.250% due 2/15/15
|
|
100,750
|
|
135,000
|
|
Tube City IMS Corp., 9.750% due 2/1/15
|
|
131,962
|
|
156,000
|
|
Vale Overseas Ltd., Notes, 6.875% due 11/21/36
|
|
152,529
|
|
|
|
Total
Metals & Mining
|
|
2,022,566
|
|
Multi-Utilities 0.0%
|
|
|
|
125,000
|
|
Keyspan Gas East Corp., Medium-Term Notes, 6.900% due 1/15/08
|
|
125,819
|
|
Multiline Retail 0.1%
|
|
|
|
|
|
Dollar General Corp.:
|
|
|
|
250,000
|
|
Senior
Notes, 10.625% due 7/15/15 (d)
|
|
222,500
|
|
|
|
|
|
|
|
|
|
See Notes to Schedule of Investments.
8
LMP Capital and Income Fund Inc.
Schedule
of Investments
(unaudited)
(continued)
July 31, 2007
Face
Amount
|
|
Security
|
|
Value
|
|
Multiline Retail 0.1%
(continued)
|
|
|
|
$
|
250,000
|
|
Senior
Subordinated Notes, 11.875% due 7/15/17 (d)(e)
|
|
$
|
213,750
|
|
535,000
|
|
Neiman Marcus Group Inc., Senior Subordinated Notes, 10.375% due
10/15/15
|
|
565,762
|
|
|
|
Total
Multiline Retail
|
|
1,002,012
|
|
Office Electronics 0.0%
|
|
|
|
290,000
|
|
Xerox Corp., Senior Notes, 6.750% due 2/1/17
|
|
295,096
|
|
Oil, Gas & Consumable
Fuels 0.9%
|
|
|
|
|
|
Anadarko Petroleum Corp., Senior Notes:
|
|
|
|
60,000
|
|
5.950%
due 9/15/16
|
|
59,065
|
|
1,240,000
|
|
6.450%
due 9/15/36
|
|
1,201,174
|
|
440,000
|
|
Belden & Blake Corp., Secured Notes, 8.750% due 7/15/12
|
|
442,200
|
|
775,000
|
|
Chesapeake Energy Corp., Senior Notes, 6.375% due 6/15/15
|
|
731,406
|
|
85,000
|
|
Compagnie Generale de Geophysique SA, Senior Notes, 7.500% due
5/15/15
|
|
83,300
|
|
330,000
|
|
ConocoPhillips Holding Co., Senior Notes, 6.950% due 4/15/29
|
|
360,726
|
|
|
|
El Paso Corp., Medium-Term Notes:
|
|
|
|
180,000
|
|
7.800%
due 8/1/31
|
|
174,745
|
|
1,050,000
|
|
7.750%
due 1/15/32
|
|
1,013,522
|
|
450,000
|
|
EXCO Resources Inc., Senior Notes, 7.250% due 1/15/11
|
|
448,875
|
|
260,000
|
|
International Coal Group Inc., Senior Notes, 10.250% due 7/15/14
|
|
227,500
|
|
|
|
Kerr-McGee Corp.:
|
|
|
|
140,000
|
|
6.950%
due 7/1/24
|
|
145,736
|
|
300,000
|
|
Notes,
6.875% due 9/15/11
|
|
313,362
|
|
605,000
|
|
OPTI Canada Inc., Senior Secured Notes, 8.250% due 12/15/14 (d)
|
|
608,025
|
|
160,000
|
|
Petroplus Finance Ltd., Senior Note, 7.000% due 5/1/17 (d)
|
|
146,800
|
|
290,000
|
|
SemGroup LP, Senior Notes, 8.750% due 11/15/15 (d)
|
|
287,100
|
|
260,000
|
|
Stone Energy Corp., Senior Subordinated Notes, 8.250% due 12/15/11
|
|
257,400
|
|
|
|
Williams Cos. Inc.:
|
|
|
|
100,000
|
|
Notes,
8.750% due 3/15/32
|
|
111,000
|
|
470,000
|
|
Senior
Notes, 7.750% due 6/15/31
|
|
476,463
|
|
170,000
|
|
XTO Energy Inc., Senior Notes, 7.500% due 4/15/12
|
|
182,839
|
|
|
|
Total
Oil, Gas & Consumable Fuels
|
|
7,271,238
|
|
Paper & Forest
Products 0.2%
|
|
|
|
|
|
Abitibi-Consolidated Co. of Canada, Senior Notes:
|
|
|
|
140,000
|
|
6.000%
due 6/20/13
|
|
111,300
|
|
220,000
|
|
8.375%
due 4/1/15
|
|
180,400
|
|
|
|
Abitibi-Consolidated Inc.:
|
|
|
|
160,000
|
|
Debentures,
7.400% due 4/1/18
|
|
122,400
|
|
40,000
|
|
Notes,
7.750% due 6/15/11
|
|
35,400
|
|
545,000
|
|
Appleton Papers Inc., Senior Subordinated Notes, Series B, 9.750% due
6/15/14
|
|
561,350
|
|
|
|
NewPage Corp.:
|
|
|
|
435,000
|
|
Senior
Secured Notes, 11.606% due 5/1/12 (c)
|
|
467,625
|
|
200,000
|
|
Senior
Subordinated Notes, 12.000% due 5/1/13
|
|
209,250
|
|
205,000
|
|
Verso Paper Holdings LLC, Senior Secured Notes, 9.125% due 8/1/14 (d)
|
|
206,537
|
|
150,000
|
|
Weyerhaeuser Co., Notes, 6.750% due 3/15/12
|
|
153,957
|
|
|
|
Total
Paper & Forest Products
|
|
2,048,219
|
|
Pharmaceuticals 0.0%
|
|
|
|
445,000
|
|
Leiner Health Products Inc., Senior Subordinated Notes, 11.000% due 6/1/12
|
|
373,800
|
|
Real Estate Investment
Trusts (REITs) 0.0%
|
|
|
|
75,000
|
|
iStar Financial Inc., Senior Notes, Series B, 4.875% due 1/15/09
|
|
74,304
|
|
50,000
|
|
Simon Property Group LP, Notes, 6.375% due 11/15/07
|
|
50,073
|
|
|
|
|
|
|
|
|
|
See Notes to Schedule of Investments.
9
LMP Capital and Income Fund Inc.
Schedule
of Investments
(unaudited)
(continued)
July 31, 2007
Face
Amount
|
|
Security
|
|
Value
|
|
Real Estate Investment
Trusts (REITs) 0.0% (continued)
|
|
|
|
$
|
85,000
|
|
Ventas Realty LP/Ventas Capital Corp., Senior Notes, 6.500% due
6/1/16
|
|
$
|
78,944
|
|
|
|
Total
Real Estate Investment Trusts (REITs)
|
|
203,321
|
|
Real Estate Management
& Development 0.1%
|
|
|
|
270,000
|
|
Ashton
Woods USA LLC/Ashton Woods Finance Co., Senior Subordinated Notes, 9.500% due
10/1/15
|
|
225,450
|
|
450,000
|
|
Realogy Corp., Senior Subordinated Notes, 12.375% due 4/15/15 (d)
|
|
378,000
|
|
|
|
Total
Real Estate Management & Development
|
|
603,450
|
|
Road & Rail 0.2%
|
|
|
|
1,005,000
|
|
Hertz Corp., Senior Subordinated Notes, 10.500% due 1/1/16
|
|
1,045,200
|
|
50,000
|
|
Kansas City Southern de Mexico, Senior Notes, 7.625% due 12/1/13 (d)
|
|
50,125
|
|
430,000
|
|
Kansas City Southern Railway, Senior Notes, 7.500% due 6/15/09
|
|
425,700
|
|
|
|
Total
Road & Rail
|
|
1,521,025
|
|
Semiconductors &
Semiconductor Equipment 0.0%
|
|
|
|
345,000
|
|
Freescale Semiconductor Inc., Senior Notes, 8.875% due 12/15/14 (d)
|
|
316,538
|
|
Specialty Retail 0.0%
|
|
|
|
235,000
|
|
Blockbuster Inc., Senior Subordinated Notes, 9.000% due 9/1/12
|
|
196,812
|
|
165,000
|
|
Eye Care Centers of America, Senior Subordinated Notes, 10.750% due
2/15/15
|
|
181,500
|
|
|
|
Total
Specialty Retail
|
|
378,312
|
|
Textiles, Apparel &
Luxury Goods 0.1%
|
|
|
|
390,000
|
|
Levi Strauss & Co., Senior Notes, 9.750% due 1/15/15
|
|
395,850
|
|
180,000
|
|
Oxford Industries Inc., Senior Notes, 8.875% due 6/1/11
|
|
182,700
|
|
|
|
Total
Textiles, Apparel & Luxury Goods
|
|
578,550
|
|
Tobacco 0.0%
|
|
|
|
|
|
Alliance
One International Inc., Senior Notes:
|
|
|
|
50,000
|
|
8.500%
due 5/15/12 (d)
|
|
49,500
|
|
70,000
|
|
11.000%
due 5/15/12
|
|
73,850
|
|
|
|
Total
Tobacco
|
|
123,350
|
|
Trading Companies &
Distributors 0.1%
|
|
|
|
355,000
|
|
Ashtead Capital Inc., Notes, 9.000% due 8/15/16 (d)
|
|
358,550
|
|
100,000
|
|
H&E Equipment Services Inc., Senior Notes, 8.375% due 7/15/16
|
|
102,500
|
|
390,000
|
|
Penhall International Corp., Senior Secured Notes, 12.000% due 8/1/14
(d)
|
|
415,350
|
|
|
|
Total
Trading Companies & Distributors
|
|
876,400
|
|
Transportation
Infrastructure 0.0%
|
|
|
|
|
|
Saint Acquisition Corp., Secured Notes:
|
|
|
|
100,000
|
|
13.107%
due 5/15/15 (c)(d)
|
|
71,500
|
|
395,000
|
|
12.500%
due 5/15/17 (d)
|
|
282,425
|
|
|
|
Total
Transportation Infrastructure
|
|
353,925
|
|
Wireless Telecommunication
Services 0.5%
|
|
|
|
|
|
MetroPCS Wireless Inc., Senior Notes:
|
|
|
|
35,000
|
|
9.250%
due 11/1/14 (d)
|
|
34,475
|
|
30,000
|
|
9.250%
due 11/1/14 (d)
|
|
29,550
|
|
1,270,000
|
|
New Cingular Wireless Services Inc., Notes, 8.125% due 5/1/12
|
|
1,400,325
|
|
|
|
Rural Cellular Corp.:
|
|
|
|
245,000
|
|
Senior
Notes, 9.875% due 2/1/10
|
|
255,413
|
|
110,000
|
|
Senior
Secured Notes, 8.250% due 3/15/12
|
|
113,300
|
|
1,190,000
|
|
Sprint Capital Corp., Senior Notes, 8.375% due 3/15/12
|
|
1,304,537
|
|
|
|
|
|
|
|
|
|
See Notes to Schedule of Investments.
10
LMP Capital and Income Fund Inc.
Schedule
of Investments
(unaudited)
(continued)
July 31, 2007
Face
Amount
|
|
Security
|
|
Value
|
|
Wireless Telecommunication
Services 0.5% (continued)
|
|
|
|
$
|
780,000
|
|
|
|
True Move Co., Ltd., 10.750% due 12/16/13 (d)
|
|
$
|
826,800
|
|
|
|
|
|
Total
Wireless Telecommunication Services
|
|
3,964,400
|
|
|
|
|
|
TOTAL
CORPORATE BONDS & NOTES
(Cost $75,337,520)
|
|
72,796,705
|
|
MORTGAGE-BACKED SECURITIES
7.4%
|
|
|
|
FHLMC 3.7%
|
|
|
|
|
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC):
|
|
|
|
3,341,010
|
|
|
|
5.120%
due 6/1/35 (c)
|
|
3,318,675
|
|
|
|
|
|
Gold:
|
|
|
|
764,748
|
|
|
|
7.000%
due 6/1/17
|
|
788,494
|
|
25,734,065
|
|
|
|
6.000%
due 7/1/21-2/1/36
|
|
25,741,662
|
|
348,639
|
|
|
|
8.500%
due 9/1/25
|
|
373,769
|
|
745,292
|
|
|
|
6.500%
due 8/1/29
|
|
762,224
|
|
|
|
|
|
TOTAL
FHLMC
|
|
30,984,824
|
|
FNMA 3.5%
|
|
|
|
|
|
|
|
Federal National Mortgage Association (FNMA):
|
|
|
|
822,695
|
|
|
|
8.000%
due 12/1/12
|
|
838,854
|
|
396,520
|
|
|
|
5.500%
due 1/1/14
|
|
394,586
|
|
1,759,348
|
|
|
|
7.000%
due 3/15/15-6/1/32
|
|
1,833,109
|
|
608,077
|
|
|
|
4.207%
due 12/1/34 (c)
|
|
599,683
|
|
820,394
|
|
|
|
4.855%
due 1/1/35 (c)
|
|
817,318
|
|
1,035,953
|
|
|
|
5.052%
due 3/1/35 (c)
|
|
1,033,101
|
|
1,442,201
|
|
|
|
5.500%
due 4/1/35 (c)
|
|
1,396,670
|
|
1,593,457
|
|
|
|
5.689%
due 4/1/35 (c)
|
|
1,623,201
|
|
2,979,509
|
|
|
|
5.630%
due 4/1/36 (c)
|
|
3,000,924
|
|
5,268,612
|
|
|
|
5.608%
due 5/1/36 (c)
|
|
5,304,833
|
|
10,500,000
|
|
|
|
5.000%
due 8/1/37 (g)
|
|
9,848,674
|
|
2,800,000
|
|
|
|
6.000%
due 8/1/37 (g)
|
|
2,774,187
|
|
|
|
|
|
TOTAL
FNMA
|
|
29,465,140
|
|
GNMA 0.2%
|
|
|
|
1,353,922
|
|
|
|
Government National Mortgage Association (GNMA), 5.500% due 8/15/21
|
|
1,342,945
|
|
|
|
|
|
TOTAL
MORTGAGE-BACKED SECURITIES
(Cost $62,201,902)
|
|
61,792,909
|
|
SOVEREIGN BOND 0.0%
|
|
|
|
Argentina 0.0%
|
|
|
|
69,931
|
|
ARS
|
|
Republic
of Argentina, GDP Linked Securities, 0.649% due 12/15/35 (c)
(Cost - $811)
|
|
2,401
|
|
U.S. GOVERNMENT &
AGENCY OBLIGATIONS 0.4%
|
|
|
|
U.S. Government Agencies
0.0%
|
|
|
|
100,000
|
|
|
|
Federal Home Loan Bank (FHLB), Global Bonds, 5.500% due 7/15/36
|
|
99,210
|
|
140,000
|
|
|
|
Federal National Mortgage Association (FNMA), 6.625% due 9/15/09
|
|
144,737
|
|
|
|
|
|
Total
U.S. Government Agencies
|
|
243,947
|
|
U.S. Government Obligation
0.4%
|
|
|
|
|
|
|
|
U.S. Treasury Bonds:
|
|
|
|
40,000
|
|
|
|
4.500%
due 2/15/36
|
|
37,412
|
|
3,090,000
|
|
|
|
4.750%
due 2/15/37
|
|
3,008,891
|
|
|
|
|
|
Total
U.S. Government Obligations
|
|
3,046,303
|
|
|
|
|
|
TOTAL
U.S. GOVERNMENT & AGENCY OBLIGATIONS
(Cost $3,329,986)
|
|
3,290,250
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedule of Investments.
11
LMP Capital and Income Fund Inc.
Schedule
of Investments
(unaudited)
(continued)
July 31, 2007
Face
Amount
|
|
Security
|
|
Value
|
|
U.S. TREASURY INFLATION
PROTECTED SECURITIES 1.0%
|
|
|
|
$
|
2,732,044
|
|
U.S. Treasury Bonds, Inflation Indexed, 2.375% due 1/15/27
|
|
$
|
2,705,579
|
|
|
|
U.S. Treasury Notes, Inflation Indexed:
|
|
|
|
98,771
|
|
0.875%
due 4/15/10
|
|
94,134
|
|
3,142,410
|
|
2.375%
due 4/15/11
|
|
3,124,737
|
|
2,783,592
|
|
2.375%
due 1/15/17
|
|
2,761,846
|
|
|
|
TOTAL
U.S. TREASURY INFLATION PROTECTED SECURITIES
(Cost $8,523,610)
|
|
8,686,296
|
|
Contracts
|
|
|
|
|
|
PURCHASED OPTIONS 1.0%
|
|
|
|
337
|
|
Eurodollar
Futures, Call @ $94.00, expires 6/16/08
|
|
943,600
|
|
780
|
|
Intersil
Corp., Put @ $30.00, expires 1/19/08
|
|
234,000
|
|
1,803
|
|
Johnson
& Johnson, Call @ $60.00, expires 1/17/09
|
|
1,244,070
|
|
909
|
|
Johnson
& Johnson, Call @ $65.00, expires 1/17/09
|
|
399,960
|
|
322
|
|
KLA-Tencor
Corp., Put @ $60.00, expires 1/19/08
|
|
199,640
|
|
627
|
|
Marsh
& McLennan Cos. Inc., Call @ $25.00, expires 1/19/08
|
|
263,340
|
|
742
|
|
S
& P 500 Index, Put @ $1,425.00, expires 10/20/07
|
|
3,153,500
|
|
335
|
|
U.S.
Treasury Notes 10 Year Futures, Call @ $103.00, expires 8/24/07
|
|
1,481,328
|
|
209
|
|
U.S.
Treasury Notes 5 Year Futures, Call @ $102.00, expires 8/24/07
|
|
724,969
|
|
|
|
TOTAL
PURCHASED OPTIONS
(Cost $7,578,118)
|
|
8,644,407
|
|
|
|
TOTAL
INVESTMENTS BEFORE SHORT-TERM INVESTMENTS
(Cost $771,908,711)
|
|
774,011,258
|
|
|
|
|
|
|
|
|
|
Face
Amount
|
|
|
|
|
|
SHORT-TERM INVESTMENTS
7.5%
|
|
|
|
U.S. Government Agencies
3.7%
|
|
|
|
$
|
30,400,000
|
|
Federal Home Loan Bank (FHLB) Discount Notes, 5.091% due 8/1/07
(h)(i)
|
|
30,400,000
|
|
100,000
|
|
Federal National Mortgage Association (FNMA), Discount Notes, 5.203%
due 3/17/08 (h)
|
|
96,861
|
|
|
|
Total
U.S. Government Agencies
|
|
30,496,861
|
|
Repurchase Agreements
3.8%
|
|
|
|
16,080,000
|
|
Morgan
Stanley repurchase agreement dated 7/31/07, 5.230% due 8/1/07; Proceeds at
maturity - $16,082,336; (Fully collateralized by U.S. government note, 0.000%
due 4/25/08; Market value - $16,483,774) (i)
|
|
16,080,000
|
|
16,084,000
|
|
Nomura
Securities International Inc. repurchase agreement dated 7/31/07, 5.250% due
8/1/07; Proceeds at maturity - $16,086,346; (Fully collateralized by U.S.
government note, 4.750% due 11/17/15; Market value -$16,406,183) (i)
|
|
16,084,000
|
|
|
|
Total
Repurchase Agreements
|
|
32,164,000
|
|
|
|
TOTAL
SHORT-TERM INVESTMENTS
(Cost $62,660,813)
|
|
62,660,861
|
|
|
|
TOTAL
INVESTMENTS 100.0%
(Cost $834,569,524#)
|
|
836,672,119
|
|
|
|
|
|
|
|
|
|
|
Face amount denominated in U.S. dollars,
unless otherwise noted.
|
*
|
|
Non-income producing security.
|
(a)
|
|
Security is valued in good faith at fair
value by or under the direction of the Board of Directors (See Note 1).
|
(b)
|
|
Illiquid security.
|
(c)
|
|
Variable rate security. Interest rate
disclosed is that which is in effect at July 31, 2007.
|
(d)
|
|
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.
|
(e)
|
|
Payment-in-kind security for which part of
the income earned may be paid as additional principal.
|
See Notes to Schedule of Investments.
12
LMP Capital and Income Fund Inc.
Schedule
of Investments
(unaudited)
(continued)
July 31, 2007
(f)
|
|
Security has no maturity date. The date
shown represents the next call date.
|
(g)
|
|
This security is traded on a
to-be-announced (TBA) basis (See Note 1).
|
(h)
|
|
Rate shown represents yield-to-maturity.
|
(i)
|
|
All or a portion of this security is
segregated for open futures contracts, extended settlements, and forward
currency contracts.
|
#
|
|
Aggregate cost for federal income tax
purposes is substantially the same.
|
|
|
|
|
|
Abbreviations
used in this schedule:
|
|
|
ADR - American Depositary
Receipt
|
|
|
ARS - Argentine Peso
|
|
|
GDP - Gross Domestic
Product
|
|
|
PAC - Planned Amortization
Class
|
See Notes to Schedule of Investments.
13
Notes to Schedule of Investments (unaudited)
1. Organization and Significant Accounting Policies
LMP
Capital and Income Fund Inc. (the Fund) was incorporated in Maryland on
November 12, 2003 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 Boards authorized 100 million shares of $0.001 par value common
stock. The Funds investment objective is total return with an emphasis on
income. The Fund pursues its investment objective by investing at least 80% of
its assets in a board range of equity and fixed income securities of both U.S.
and foreign issuers.
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.
Equity securities for which market quotations
are available are valued at the last reported sale price or official closing
price on the primary market or exchange on which they trade. Debt securities
are valued at the mean between the last quoted bid and asked prices provided by
an independent pricing service that are based on transactions in debt
obligations, quotations from bond dealers, market transactions in comparable
securities and various other relationships between securities. Publicly traded
foreign government debt securities are typically traded internationally in the
over-the-counter market, and are valued at the mean between the bid and asked
prices as of the close of business of that market. When prices are not readily
available, or are determined not to reflect fair value, 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 may value these investments at
fair value as determined in accordance with the procedures approved by the Funds
Board of Directors. Short-term obligations with maturities of 60 days or less
are valued at amortized cost, which approximates market value.
(b) Repurchase Agreements.
When entering into repurchase agreements, it
is the Funds policy that its custodian or a third party custodian take
possession of the underlying collateral securities, the market value of which,
at all times, at least equals the principal amount of the repurchase
transaction, including accrued interest. To the extent that any repurchase
transaction exceeds one business day, the value of the collateral is
marked-to-market to ensure the adequacy of the collateral. If the seller
defaults, and the market value of the collateral declines or if bankruptcy
proceedings are commenced with respect to the seller of the security,
realization of the collateral by the Fund may be delayed or limited.
(c) Written Options.
When the Fund writes an option, an amount
equal to the premium received by the Fund is recorded as a liability, the value
of which is marked-to-market daily to reflect the current market value of the
option written. If the option expires, the Fund realizes a gain from
investments equal to the amount of the premium received. When a written call
option is exercised, the difference between the premium received plus the
option exercise price and the Funds basis in the underlying security (in the
case of a covered written call option), or the cost to purchase the underlying
security (in the case of an uncovered written call option), including brokerage
commission, is treated as a realized gain or loss. When a written put option is
exercised, the amount of the premium received is added to the cost of the
security purchased by the Fund from the exercise of the written put option to
form the Funds basis in the underlying security purchased. The writer or buyer
of an option traded on an exchange can liquidate the position before the
exercise of the option by entering into a closing transaction. The cost of a
closing transaction is deducted from the original premium received resulting in
a realized gain or loss to the Fund.
The
risk in writing a covered call option is that the Fund may forego the
opportunity of profit if the market price of the underlying security increases
and the option is exercised. The risk in writing a put option is that the Fund
may incur a loss if the market price of the underlying security decreases and
the option is exercised. The risk in writing a call option is that the Fund is
exposed to the risk of loss if the market price of the underlying security
increases. In addition, there is the risk that the Fund may not be able to
enter into a closing transaction because of an illiquid secondary market.
(d) Financial Futures Contracts.
The Fund may enter into financial futures
contracts typically to hedge a portion of the portfolio. Upon entering into a
financial futures contract, the Fund is required to deposit cash or securities
as initial margin, equal to a certain percentage of the contract amount
(initial margin deposit). Additional securities are also segregated up to the
current market value of the financial futures contracts. Subsequent payments,
known as variation margin, are made or received by the Fund each day,
depending on the daily fluctuations in the value of the underlying financial
instruments. The Fund recognizes an unrealized gain or loss equal to the daily
variation margin. When the
14
Notes to Schedule of Investments (unaudited)
(continued)
financial
futures contracts are closed, a realized gain or loss is recognized equal to
the difference between the proceeds from (or cost of) the closing transactions
and the Funds basis in the contracts.
The
risks associated with entering into financial futures contracts include the
possibility that a change in the value of the contract may not correlate with
the changes in the value of the underlying financial instruments. In addition,
investing in financial futures contracts involves the risk that the Fund could
lose more than the initial margin deposit and subsequent payments required for
a futures transaction. Risks may also arise upon entering into these contracts
from the potential inability of the counterparties to meet the terms of their
contracts.
(e) Forward Foreign Currency Contracts.
The Fund may enter into a forward foreign
currency contract to hedge against foreign currency exchange rate risk on its
non-U.S. dollar denominated securities or to facilitate settlement of a foreign
currency denominated portfolio transaction. A forward foreign currency contract
is an agreement between two parties to buy and sell a currency at a set price
with delivery and settlement at a future date. The contract is marked-to-market
daily and the change in value is recorded by the Fund as an unrealized gain or
loss. When a forward foreign currency contract is closed, through either
delivery or offset by entering into another forward foreign currency contract,
the Fund records a realized gain or loss equal to the difference between the
value of the contract at the time it was opened and the value of the contract
at the time it was closed.
The
Fund bears the risk of an unfavorable change in the foreign exchange rate
underlying the forward foreign currency contract. Risks may also arise upon
entering into these contracts from the potential inability of the
counterparties to meet the terms of their contracts.
(f) Securities Traded on a To-Be-Announced Basis.
The Fund may trade securities on a
to-be-announced (TBA) basis. In a TBA transaction, the Fund commits to
purchasing or selling securities which have not yet been issued by the issuer
and for which specific information is not known, such as the face amount and
maturity date and the underlying pool of investments in U.S. government agency
mortgage pass-through securities. Securities purchased on a TBA basis are not
settled until they are delivered to the Fund, normally 15 to 45 days after
purchase. Beginning on the date the Fund enters into a TBA transaction, cash,
U.S. government securities or other liquid high-grade debt obligations are
segregated in an amount equal in value to the purchase price of the TBA
security. These securities are subject to market fluctuations and their current
value is determined in the same manner as for other securities.
(g) REIT Distributions.
The character of distributions received from
Real Estate Investment Trusts (REITs) held by the Fund is generally comprised
of net investment income, capital gains, and return of capital. It is the
policy of the Fund to estimate the character of distributions received from
underlying REITs based on historical data provided by the REITs. After each
calendar year end, REITs report the actual tax character of these
distributions. Differences between the estimated and actual amounts reported by
the REITs are reflected in the Funds records in the year in which they are
reported by the REITs.
(h) Foreign Currency Translation.
Investment
securities and other assets and liabilities denominated in foreign currencies
are translated into U.S. dollar amounts based upon prevailing exchange rates on
the date of valuation. Purchases and sales of investment securities and income
and expense items denominated in foreign currencies are translated into U.S.
dollar amounts based upon prevailing exchange rates on the respective dates of
such transactions.
Foreign
security and currency transactions may involve certain considerations and risks
not typically associated with those of U.S. dollar denominated transactions as
a result of, among other factors, the possibility of lower levels of
governmental supervision and regulation of foreign securities markets and the
possibility of political or economic instability.
(i) Credit and Market Risk.
The Fund invests in high yield and emerging
market instruments that are subject to certain credit and market risks. The
yields of high yield and emerging market debt obligations reflect, among other
things, perceived credit and market risks. The Funds investment in securities
rated below investment grade typically involves risks not associated with
higher rated securities including, among others, greater risk related to timely
and ultimate payment of interest and principal, greater market price volatility
and less liquid secondary market trading. The consequences of political,
social, economic or diplomatic changes may have disruptive effects on the
market prices of investments held by the Fund. The Funds investment in
non-dollar denominated securities may also result in foreign currency losses
caused by devaluations and exchange rate fluctuations.
(j) Security Transactions.
Security transactions are accounted for on a
trade date basis.
15
Notes
to Schedule of Investments (unaudited) (continued)
2.
Investments
At
July 31, 2007, the aggregate gross unrealized appreciation and depreciation of
investments for federal income tax purposes were substantially as follows:
Gross unrealized appreciation
|
|
$
|
33,469,424
|
|
Gross unrealized depreciation
|
|
(31,366,829
|
)
|
Net unrealized appreciation
|
|
$
|
2,102,595
|
|
During
the period ended July 31, 2007, written option transactions for the Fund were
as follows:
|
|
Number of
Contracts
|
|
Premiums
|
|
Options written, outstanding October 31,
2006
|
|
1,090
|
|
$
|
215,858
|
|
Options written
|
|
2,956
|
|
1,341,798
|
|
Options closed
|
|
(4,046
|
)
|
(1,557,656
|
)
|
Options written, outstanding July 31, 2007
|
|
|
|
|
|
|
At
July 31, 2007, the Fund had open forward foreign currency contracts as
described below. The unrealized gain on the open contracts reflected in the
accompanying financial statements were as follows:
Foreign Currency
|
|
Local
Currency
|
|
Market
Value
|
|
Settlement
Date
|
|
Unrealized
Loss
|
|
Contracts to Buy:
|
|
|
|
|
|
|
|
|
|
Japanese Yen
|
|
72,660,000
|
|
$
|
610,494
|
|
8/8/07
|
|
$
|
(94
|
)
|
Contracts to Sell:
|
|
|
|
|
|
|
|
|
|
Pound Sterling
|
|
808,000
|
|
1,645,103
|
|
8/8/07
|
|
(40,440
|
)
|
Net
Unrealized Loss on Open Forward Foreign Currency Contracts
|
|
|
|
|
|
$
|
(40,534
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
At
July 31, 2007, the Fund had the following open futures contracts:
|
|
Number of
Contracts
|
|
Expiration
Date
|
|
Basis
Value
|
|
Market
Value
|
|
Unrealized
Gain (Loss)
|
|
Contracts to Buy:
|
|
|
|
|
|
|
|
|
|
|
|
Eurodollar
|
|
2
|
|
3/08
|
|
$
|
474,672
|
|
$
|
475,300
|
|
$
|
628
|
|
Eurodollar
|
|
2
|
|
6/08
|
|
476,048
|
|
475,725
|
|
(323
|
)
|
Fin Euro
|
|
1
|
|
9/08
|
|
238,218
|
|
237,913
|
|
(305
|
)
|
Stearling Futures
|
|
184
|
|
3/08
|
|
347,881
|
|
381,695
|
|
33,814
|
|
U.S. Treasury 2 Year Notes
|
|
62
|
|
9/07
|
|
12,664,513
|
|
12,706,125
|
|
41,612
|
|
U.S. Treasury Bonds
|
|
25
|
|
9/07
|
|
2,728,891
|
|
2,751,563
|
|
22,672
|
|
|
|
|
|
|
|
|
|
|
|
$
|
98,098
|
|
Contracts to Sell:
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury 5 Year Notes
|
|
16
|
|
9/07
|
|
$
|
1,657,795
|
|
$
|
1,687,500
|
|
$
|
(29,705
|
)
|
U.S. Treasury 10 Year Notes
|
|
21
|
|
9/07
|
|
2,230,160
|
|
2,255,859
|
|
(25,699
|
)
|
|
|
|
|
|
|
|
|
|
|
$
|
(55,404
|
)
|
Net
Unrealized Gain on Open Futures Contracts
|
|
|
|
|
|
|
|
$
|
42,694
|
|
At July 31, 2007, the Fund
held TBA securities with a total cost of $12,611,578.
16
ITEM 2.
CONTROLS AND
PROCEDURES.
(a)
The
registrants principal executive officer and principal financial officer have
concluded that the registrants 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 registrants internal control over financial reporting (as
defined in Rule 30a-3(d) under the 1940 Act) that occurred during the
registrants last fiscal quarter that have materially affected, or are likely
to materially affect the registrants internal control over financial
reporting.
ITEM 3.
EXHIBITS.
Certifications
pursuant to Rule 30a-2(a) under the Investment Company Act of 1940, as amended,
are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities
Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has
duly caused this report to be signed on its behalf by the undersigned,
thereunto duly authorized.
LMP Capital and Income Fund Inc.
By
|
/s/ R. Jay Gerken
|
|
|
R. Jay Gerken
|
|
Chief Executive Officer
|
Date: September
26, 2007
Pursuant to the requirements of the Securities
Exchange Act of 1934 and the Investment Company Act of 1940, this report has
been signed below by the following persons on behalf of the registrant and in
the capacities and on the dates indicated.
By
|
/s/ R. Jay Gerken
|
|
|
R. Jay Gerken
|
|
Chief Executive Officer
|
Date: September
26, 2007
By
|
/s/ Kaprel Ozsolak
|
|
|
Kaprel Ozsolak
|
|
Chief Financial Officer
|
Date:
September 26, 2007
LMP Capital and Income (NYSE:SCD)
Historical Stock Chart
From Sep 2024 to Oct 2024
LMP Capital and Income (NYSE:SCD)
Historical Stock Chart
From Oct 2023 to Oct 2024