UNITED
STATES
SECURITIES
AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED
SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number
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811-21467
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LMP Capital and Income Fund Inc.
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(Exact name of registrant as
specified in charter)
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55 Water Street, New York, NY
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10041
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(Address of principal executive
offices)
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(Zip code)
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Robert I. Frenkel, Esq.
Legg Mason & Co., LLC
100 First Stamford Place
Stamford, CT 06902
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(Name and address of agent for
service)
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Registrants telephone number, including
area code:
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(888)777-0102
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Date of fiscal year end:
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December 31,
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Date of reporting period:
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June 30,
2009
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ITEM
1. REPORT TO
STOCKHOLDERS.
The
Semi-Annual
Report to Stockholders
is filed herewith.
SEMI-ANNUAL
REPORT
/ JUNE 30,
2009
LMP Capital and Income Fund Inc.
(SCD)
Managed
by
CLEARBRIDGE ADVISORS
WESTERN
ASSET
INVESTMENT PRODUCTS: NOT
FDIC INSURED
·
NO BANK
GUARANTEE
·
MAY LOSE VALUE
|
Fund objective
The
Funds investment objective is total return with an emphasis on income.
Whats inside
Letter from the chairman
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I
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Fund at a glance
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1
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Schedule of investments
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2
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Statement of assets and liabilities
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22
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Statements of operations
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23
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Statements of changes in net assets
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24
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Statement of cash flows
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25
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Financial highlights
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26
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Notes to financial statements
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28
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Dividend reinvestment plan
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43
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Legg Mason Partners Fund Advisor, LLC (LMPFA) is the Funds
investment manager. ClearBridge Advisors, LLC (ClearBridge), Western Asset
Management Company (Western Asset) and Western Asset Management Company
Limited (Western Asset Limited) are the Funds subadvisers. LMPFA,
ClearBridge, Western Asset and Western Asset Limited are wholly-owned
subsidiaries of Legg Mason, Inc.
Letter from the chairman
Dear
Shareholder,
The
U.S. economy remained weak during the six-month reporting period ended June 30,
2009. Looking back, the U.S. Department of Commerce reported that third and
fourth quarter 2008 U.S. gross domestic product (GDP)
i
contracted 2.7% and
5.4%, respectively. Economic contraction has continued in 2009 as GDP fell 6.4%
during the first quarter and the advance estimate for the second quarter is a
1.0% decline. The economys more modest contraction in the second quarter was
due, in part, to smaller declines in exports and business spending.
The
U.S. recession, which began in December 2007, now has the dubious
distinction of being the lengthiest since the Great Depression. Contributing to
the economys troubles has been extreme weakness in the labor market. Since December 2007,
approximately six and a half million jobs have been shed and we have
experienced eighteen consecutive months of job losses. In addition, the
unemployment rate continued to move steadily higher, rising from 9.4% in May to
9.5% in June 2009, to reach its highest rate since August 1983.
Another
strain on the economy, the housing market, may finally be getting closer to
reaching a bottom. After plunging late in 2008, new single-family home starts
have been fairly stable in recent months and, while home prices have continued
to fall, the pace of the decline has moderated somewhat. Other recent economic
news also seemed to be less negative. Inflation remained low, manufacturing
contracted at a slower pace and inventory levels were drawn down.
Ongoing
issues related to the housing and subprime mortgage markets and seizing credit
markets prompted the Federal Reserve Board (Fed)
ii
to take
aggressive and, in some cases, unprecedented actions. After reducing the
federal funds rate
iii
from 5.25% in August 2007 to a range of 0
to 1/4 percent in December 2008a historic lowthe Fed has maintained this
stance thus far in 2009. In conjunction with its June meeting, the Fed
stated that it will maintain the target range for the federal funds rate at 0
to 1/4 percent and
LMP Capital and
Income Fund Inc.
|
I
|
Letter from the chairman
continued
continues
to anticipate that economic conditions are likely to warrant exceptionally low
levels of the federal funds rate for an extended period.
In
addition to maintaining extremely low short-term interest rates, the Fed took
several actions to improve liquidity in the credit markets. Back in September 2008,
it announced an $85 billion rescue plan for ailing AIG and pumped $70 billion
into the financial system as Lehman Brothers bankruptcy and mounting troubles
at other financial firms roiled the markets. More recently, the Fed has taken
additional measures to thaw the frozen credit markets, including the purchase
of debt issued by Fannie Mae and Freddie Mac, as well as introducing the Term
Asset-Backed Securities Loan Facility (TALF). In March 2009, the Fed
continued to pursue aggressive measures as it announced its intentions to:
·
Purchase up to an additional $750 billion of agency
mortgage-backed securities, bringing its total purchases of these securities to
up to $1.25 trillion in 2009.
·
Increase its purchases of agency debt this year by up to
$100 billion to a total of up to $200 billion.
·
Buy up to $300 billion of longer-term Treasury securities
over the next six months.
The
U.S. Department of the Treasury has also taken an active role in attempting to
stabilize the financial system, as it orchestrated the governments takeover of
mortgage giants Fannie Mae and Freddie Mac in September 2008. In October,
the Treasurys $700 billion Troubled Asset Relief Program (TARP) was approved
by Congress and signed into law by former President Bush. Then, in March 2009,
Treasury Secretary Geithner introduced the Public-Private Partnership
Investment Program (PPIP), which is intended to facilitate the purchase of
troubled mortgage assets from bank balance sheets. President Obama has also
made reviving the economy a priority in his administration, the cornerstone
thus far being the $787 billion stimulus package that was signed into law in February 2009.
Despite
an extremely poor start, the U.S. stock market, as measured by the S&P 500
Index
iv
(the Index),
generated a positive return for the six months ended June 30, 2009.
Continued fallout from the financial crisis and a rapidly weakening economy
caused the market to fall sharply in January and February 2009, with
the Index returning -8.43% and -10.65%, respectively. Stock prices continued to
plunge in early March, reaching a twelve-year low on March 9
th
. Stocks then rallied
sharply, rising approximately 36% from their March low through the end of June 2009.
This rebound was due to a variety of factors, including optimism that the economy
was bottoming and that corporate profits would improve as the year progressed.
All told, the Index gained 3.16% over the six-month reporting period.
II
|
LMP Capital and Income Fund Inc.
|
Both
short- and long-term Treasury yields fluctuated during the reporting period.
This was often prompted by changing perceptions regarding the economy, future
Fed policy decisions and the governments initiatives to stabilize the
financial system. When the period began, Treasury yields were extremely low,
given numerous flights to quality in 2008 that were triggered by the
financial crisis. After starting the period at 0.76% and 2.25%, respectively,
two- and ten-year Treasury yields drifted even lower (and their prices higher)
in mid-January 2009. Yields then generally moved higher (and their prices
lower) until early June. Two- and ten-year yields peaked at 1.42% and 3.98%,
respectively, before falling and ending the reporting period at 1.11% and
3.53%. Over the six months ended June 30, 2009, longer-term yields moved
higher than their shorter-term counterparts due to fears of future inflation
given the governments massive stimulus program. In a reversal from 2008,
investor risk aversion faded as the six-month reporting period progressed,
driving spread sector (non-Treasury) prices higher. For the six-month period
ended June 30, 2009, the Barclays Capital U.S. Aggregate Index
v
returned 1.90%.
Performance
review
For
the
six
months
ended
June
30,
2009,
LMP
Capital
and
Income
Fund
Inc.
returned
10.68%
based
on
its
net
asset
value
(NAV)
vi
and 15.01% based on its New
York Stock Exchange (NYSE) market price per share. The Funds unmanaged
benchmarks, the Barclays Capital U.S. Aggregate Index and the S&P 500
Index, returned 1.90% and 3.16%, respectively, over the same time frame. The
Funds Lipper Income and Preferred Stock Closed-End Funds Category Average
vii
returned 17.19% for the same period. Please
note that Lipper performance returns are based on each funds NAV.
During
this six-month period, the Fund made distributions to shareholders totaling
$0.26 per share, which may have included a return of capital. The performance
table shows the Funds six-month total return based on its NAV and market price
as of June 30, 2009.
Past performance is
no guarantee of future results.
PERFORMANCE SNAPSHOT
as of June 30,
2009 (unaudited)
PRICE
PER SHARE
|
|
6-MONTH
TOTAL RETURN*
(not annualized)
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$10.86 (NAV)
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10.68%
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$8.60 (Market Price)
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15.01%
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All figures
represent past performance and are not a guarantee of future results.
*Total returns are based on changes in NAV or market price,
respectively. Total returns assume the reinvestment of all distributions,
including returns of capital, if any, in additional shares in accordance with
the Funds Dividend Reinvestment Plan.
LMP Capital and
Income Fund Inc.
|
III
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Letter from the chairman
continued
Special
shareholder notice
On
August 5, 2009, the Fund announced that effective immediately, Harry D. Hersh
Cohen, Peter Vanderlee, CFA, and Michael Clarfeld, CFA, of ClearBridge
Advisors, LLC (ClearBridge Advisors) have been named lead portfolio managers
of the Fund. As the lead portfolio managers, they are responsible for the
day-to-day management of the Funds equity assets and for the allocation of the
Funds assets between equity and fixed-income investments. The portfolio
management team from Western Asset Management Company will continue to be
responsible for the Funds fixed-income investments.
As
of June 30, 2009, ClearBridge Advisors had approximately $47.1 billion in
assets under management. Hersh Cohen, Peter Vanderlee and Michael Clarfeld
collectively bring with them over sixty years of investment industry
experience.
Hersh
Cohen is Chief Investment Officer, Managing Director and Senior Portfolio
Manager with ClearBridge Advisors, a unit of Legg Mason, Inc. (Legg Mason).
Mr. Cohen has over forty years of investment industry experience and was a
nominee for Morningstars Domestic-Equity Manager of the Year in 2008 for Legg
Mason Partners Appreciation Fund. Mr. Cohen received his BA from Western
Reserve University and earned a PhD in Psychology from Tufts University.
Peter
Vanderlee is a Managing Director and Portfolio Manager with ClearBridge
Advisors. He has ten years of investment management experience and twelve years
of related investment experience. He received his MS from the University of
Technology, Eindhoven, Holland, and earned his MBA from New York University. He
is a member of the CFA Institute.
Michael
Clarfeld is a Director and Portfolio Manager with ClearBridge Advisors. He has
ten years of investment management experience. He received his BA from Duke
University and is a member of the CFA Institute and the New York Society of
Security Analysts.
Legg
Mason Partners Fund Advisor, LLC, a wholly-owned subsidiary of Legg Mason,
serves as the Funds investment manager. The Fund is subadvised by ClearBridge
Advisors, Western Asset Management Company and Western Asset Management Company
Limited affiliates of the investment manager.
A special
note regarding increased market volatility
Dramatically
higher volatility in the financial markets has been very challenging for many
investors. Market movements have been rapidsometimes in reaction to economic
news, and sometimes creating the news.
IV
|
LMP Capital and Income Fund Inc.
|
In
the midst of this evolving market environment, we at Legg Mason want to do
everything we can to help you reach your financial goals. Now, as always, we
remain committed to providing you with excellent service and a full spectrum of
investment choices. Rest assured, we will continue to work hard to ensure that
our investment managers make every effort to deliver strong long-term results.
We
also remain committed to supplementing the support you receive from your
financial advisor. One way we accomplish this is through our enhanced website,
www.leggmason.com/cef. Here you can gain immediate access to many special
features to help guide you through difficult times, including:
·
Fund prices and performance,
·
Market insights and commentaries from our portfolio
managers, and
·
A host of educational resources.
During
periods of market unrest, it is especially important to work closely with your
financial advisor and remember that reaching ones investment goals unfolds
over time and through multiple market cycles. Time and again, history has shown
that, over the long run, the markets have eventually recovered and grown.
Information
about your fund
Important
information with regard to certain regulatory developments that may affect the
Fund is contained in the Notes to Financial Statements included in this report.
Looking
for additional information?
The
Fund is traded under the symbol SCD and its closing market price is available
in most newspapers under the NYSE listings. The daily NAV is available on-line
under the symbol XSCDX on most financial websites.
Barrons
and
The Wall
Street Journals
Monday edition both carry closed-end fund tables
that provide additional information. In addition, the Fund issues a quarterly
press release that can be found on most major financial websites, as well as
www.leggmason.com/cef.
In
a continuing effort to provide information concerning the Fund, shareholders
may call 1-888-777-0102 (toll free), Monday through Friday from 8:00 a.m.
to 5:30 p.m. Eastern Standard Time, for the Funds current NAV, market
price and other information.
LMP Capital and
Income Fund Inc.
|
V
|
Letter from the chairman
continued
As
always, thank you for your confidence in our stewardship of your assets. We
look forward to helping you meet your financial goals.
Sincerely,
R. Jay Gerken, CFA
Chairman,
President and Chief Executive Officer
August 5,
2009
The
information provided is not intended to be a forecast of future events, a
guarantee of future results or investment advice. Views expressed may differ
from those of the firm as a whole.
RISKS:
Stock and bond prices are subject to fluctuation. As interests rates rise, bond
prices fall, reducing the value of the fixed-income securities held by the
Fund. Investing in foreign securities is subject to certain risks not
associated with domestic investing, such as currency fluctuations and changes
in political and economic conditions. These risks are magnified in emerging or
developing markets. High-yield bonds involve greater credit and liquidity risks
than investment grade bonds. The Fund may use derivatives, such as options and
futures, which can be illiquid, may disproportionately increase losses, and
have a potentially large impact on Fund performance. Leverage may magnify gains
and increase losses in the Funds portfolio.
All
index performance reflects no deduction for fees, expenses or taxes. Please
note that an investor cannot invest directly in an index.
i
Gross domestic product (GDP)
is the market value of all final goods and services produced within a country
in a given period of time.
ii
The Federal Reserve Board (Fed)
is responsible for the formulation of policies designed to promote economic
growth, full employment, stable prices, and a sustainable pattern of
international trade and payments.
iii
The federal funds rate is the
rate charged by one depository institution on an overnight sale of immediately
available funds (balances at the Federal Reserve) to another depository
institution; the rate may vary from depository institution to depository
institution and from day to day.
iv
The S&P 500 Index is an
unmanaged index of 500 stocks and is generally representative of the
performance of larger companies in the U.S.
v
The Barclays Capital
(formerly Lehman Brothers) U.S. Aggregate Index is a broad-based bond index
comprised of government, corporate, mortgage- and asset-backed issues, rated
investment grade or higher, and having at least one year to maturity.
vi
Net asset value (NAV) is
calculated by subtracting total liabilities from the closing value of all
securities held by the Fund (plus all other assets) and dividing the result
(total net assets) by the total number of the common shares outstanding. The
NAV fluctuates with changes in the market prices of securities in which the
Fund has invested. However, the price at which an investor may buy or sell
shares of the Fund is the Funds market price as determined by supply of and
demand for the Funds shares.
vii
Lipper, Inc., a
wholly-owned subsidiary of Reuters, provides independent insight on global
collective investments. Returns are based on the six-month period ended June 30,
2009, including the reinvestment of all distributions, including returns of
capital, if any, calculated among the 30 funds in the Funds Lipper category.
VI
|
LMP Capital and Income Fund Inc.
|
Fund at a glance
(unaudited)
INVESTMENT BREAKDOWN
(%)
As a percent of
total investments
LMP Capital and
Income Fund Inc. 2009 Semi-Annual Report
|
1
|
Schedule of investments
(unaudited)
June 30,
2009
LMP CAPITAL AND INCOME FUND INC.
SHARES
|
|
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SECURITY
|
|
VALUE
|
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COMMON
STOCKS 60.2%
|
|
|
|
CONSUMER
DISCRETIONARY 3.8%
|
|
|
|
|
|
|
|
Hotels, Restaurants &
Leisure 0.0%
|
|
|
|
487
|
|
|
|
Buffets Restaurant Holdings
(a)
*
|
|
$
|
438
|
|
|
|
|
|
Media 3.8%
|
|
|
|
143,210
|
|
|
|
Thomson Reuters PLC
(a)
|
|
4,084,632
|
|
230,923
|
|
|
|
Time Warner Inc.
|
|
5,816,951
|
|
119,000
|
|
|
|
Walt Disney Co.
|
|
2,776,270
|
|
365,100
|
|
|
|
Warner Music Group Corp.*
|
|
2,135,835
|
|
|
|
|
|
Total
Media
|
|
14,813,688
|
|
|
|
|
|
TOTAL
CONSUMER DISCRETIONARY
|
|
14,814,126
|
|
CONSUMER
STAPLES 7.4%
|
|
|
|
|
|
|
|
Beverages 1.5%
|
|
|
|
107,280
|
|
|
|
PepsiCo Inc.
|
|
5,896,109
|
|
|
|
|
|
Food Products 1.6%
|
|
|
|
243,040
|
|
|
|
Kraft Foods Inc., Class A Shares
|
|
6,158,634
|
|
|
|
|
|
Household Products 4.3%
|
|
|
|
59,030
|
|
|
|
Colgate-Palmolive Co.
|
|
4,175,782
|
|
115,510
|
|
|
|
Kimberly-Clark Corp.
|
|
6,056,189
|
|
128,480
|
|
|
|
Procter & Gamble Co.
|
|
6,565,328
|
|
|
|
|
|
Total Household Products
|
|
16,797,299
|
|
|
|
|
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TOTAL CONSUMER STAPLES
|
|
28,852,042
|
|
ENERGY
9.3%
|
|
|
|
|
|
|
|
Energy Equipment &
Services 1.9%
|
|
|
|
113,720
|
|
|
|
Halliburton Co.
|
|
2,354,004
|
|
150,230
|
|
|
|
National-Oilwell Varco Inc.*
|
|
4,906,512
|
|
|
|
|
|
Total Energy Equipment &
Services
|
|
7,260,516
|
|
|
|
|
|
Oil, Gas & Consumable
Fuels 7.4%
|
|
|
|
67,645
|
|
|
|
Devon Energy Corp.
|
|
3,686,653
|
|
789,170
|
|
|
|
El Paso Corp.
|
|
7,284,039
|
|
269,970
|
|
|
|
Spectra Energy Corp.
|
|
4,567,892
|
|
194,060
|
|
|
|
Suncor Energy Inc.
|
|
5,887,780
|
|
134,370
|
|
|
|
Total SA, ADR
|
|
7,286,885
|
|
|
|
|
|
Total Oil, Gas &
Consumable Fuels
|
|
28,713,249
|
|
|
|
|
|
TOTAL
ENERGY
|
|
35,973,765
|
|
FINANCIALS
10.5%
|
|
|
|
|
|
|
|
Capital Markets 4.1%
|
|
|
|
325,707
|
|
|
|
Charles Schwab Corp.
|
|
5,712,901
|
|
469,040
|
|
|
|
Invesco Ltd.
|
|
8,358,293
|
|
208,077
|
|
|
|
Och-Ziff Capital Management Group
|
|
1,853,966
|
|
|
|
|
|
Total Capital Markets
|
|
15,925,160
|
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
2
|
LMP Capital and Income Fund Inc. 2009 Semi-Annual
Report
|
LMP CAPITAL AND INCOME FUND INC.
SHARES
|
|
|
|
SECURITY
|
|
VALUE
|
|
|
|
|
|
Commercial Banks 0.1%
|
|
|
|
23,500
|
|
|
|
Wells Fargo & Co.
|
|
$
|
570,110
|
|
|
|
|
|
Insurance 5.6%
|
|
|
|
108,250
|
|
|
|
Arch Capital Group Ltd.*
|
|
6,341,285
|
|
149,360
|
|
|
|
Chubb Corp.
|
|
5,956,477
|
|
232,560
|
|
|
|
Travelers Cos. Inc.
|
|
9,544,262
|
|
|
|
|
|
Total Insurance
|
|
21,842,024
|
|
|
|
|
|
Real Estate Investment Trusts
(REITs) 0.7%
|
|
|
|
175,330
|
|
|
|
Redwood Trust Inc.
|
|
2,587,871
|
|
|
|
|
|
TOTAL
FINANCIALS
|
|
40,925,165
|
|
HEALTH
CARE 6.2%
|
|
|
|
|
|
|
|
Biotechnology 1.2%
|
|
|
|
54,030
|
|
|
|
Celgene Corp.*
|
|
2,584,795
|
|
47,670
|
|
|
|
Gilead Sciences Inc.*
|
|
2,232,863
|
|
|
|
|
|
Total Biotechnology
|
|
4,817,658
|
|
|
|
|
|
Health Care Equipment &
Supplies 1.2%
|
|
|
|
24,030
|
|
|
|
Alcon Inc.
|
|
2,790,364
|
|
58,320
|
|
|
|
Medtronic Inc.
|
|
2,034,785
|
|
|
|
|
|
Total Health Care
Equipment & Supplies
|
|
4,825,149
|
|
|
|
|
|
Health Care Technology 1.0%
|
|
|
|
281,220
|
|
|
|
HLTH Corp.*
|
|
3,683,982
|
|
|
|
|
|
Pharmaceuticals 2.8%
|
|
|
|
102,650
|
|
|
|
Johnson & Johnson
|
|
5,830,520
|
|
123,670
|
|
|
|
Novartis AG, ADR
|
|
5,044,499
|
|
|
|
|
|
Total Pharmaceuticals
|
|
10,875,019
|
|
|
|
|
|
TOTAL HEALTH CARE
|
|
24,201,808
|
|
INDUSTRIALS
7.7%
|
|
|
|
|
|
|
|
Aerospace & Defense
2.5%
|
|
|
|
112,300
|
|
|
|
L-3 Communications Holdings Inc.
|
|
7,791,374
|
|
50,950
|
|
|
|
TransDigm Group Inc.*
|
|
1,844,390
|
|
|
|
|
|
Total Aerospace &
Defense
|
|
9,635,764
|
|
|
|
|
|
Commercial Services &
Supplies 2.3%
|
|
|
|
532,754
|
|
|
|
Covanta Holding Corp.*
|
|
9,035,508
|
|
|
|
|
|
Industrial Conglomerates 2.9%
|
|
|
|
192,560
|
|
|
|
McDermott International Inc.*
|
|
3,910,894
|
|
144,420
|
|
|
|
United Technologies Corp.
|
|
7,504,063
|
|
|
|
|
|
Total Industrial Conglomerates
|
|
11,414,957
|
|
|
|
|
|
TOTAL
INDUSTRIALS
|
|
30,086,229
|
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
LMP Capital and
Income Fund Inc. 2009 Semi-Annual Report
|
3
|
Schedule of investments
(unaudited)
continued
June 30,
2009
LMP CAPITAL AND INCOME FUND INC.
SHARES
|
|
|
|
SECURITY
|
|
VALUE
|
|
INFORMATION
TECHNOLOGY 9.3%
|
|
|
|
|
|
|
|
Communications Equipment 1.8%
|
|
|
|
243,150
|
|
|
|
Nokia Oyj, ADR
|
|
$
|
3,545,127
|
|
76,810
|
|
|
|
QUALCOMM Inc.
|
|
3,471,812
|
|
|
|
|
|
Total Communications Equipment
|
|
7,016,939
|
|
|
|
|
|
Computers & Peripherals
2.5%
|
|
|
|
425,800
|
|
|
|
EMC Corp.*
|
|
5,577,980
|
|
175,230
|
|
|
|
Teradata Corp.*
|
|
4,105,639
|
|
|
|
|
|
Total Computers &
Peripherals
|
|
9,683,619
|
|
|
|
|
|
Software 5.0%
|
|
|
|
208,530
|
|
|
|
Activision Blizzard Inc.*
|
|
2,633,734
|
|
112,660
|
|
|
|
Electronic Arts Inc.*
|
|
2,446,975
|
|
275,800
|
|
|
|
Microsoft Corp.
|
|
6,555,766
|
|
366,350
|
|
|
|
Oracle Corp.
|
|
7,847,217
|
|
|
|
|
|
Total Software
|
|
19,483,692
|
|
|
|
|
|
TOTAL
INFORMATION TECHNOLOGY
|
|
36,184,250
|
|
MATERIALS
4.2%
|
|
|
|
|
|
|
|
Chemicals 1.3%
|
|
|
|
28,680
|
|
|
|
Air Products & Chemicals Inc.
|
|
1,852,441
|
|
45,680
|
|
|
|
Monsanto Co.
|
|
3,395,851
|
|
|
|
|
|
Total Chemicals
|
|
5,248,292
|
|
|
|
|
|
Metals & Mining 2.9%
|
|
|
|
65,530
|
|
|
|
Agnico-Eagle Mines Ltd.
|
|
3,439,015
|
|
96,150
|
|
|
|
Barrick Gold Corp.
|
|
3,225,833
|
|
88,580
|
|
|
|
Commercial Metals Co.
|
|
1,419,937
|
|
74,430
|
|
|
|
Newmont Mining Corp.
|
|
3,041,954
|
|
|
|
|
|
Total Metals & Mining
|
|
11,126,739
|
|
|
|
|
|
TOTAL
MATERIALS
|
|
16,375,031
|
|
TELECOMMUNICATION
SERVICES 1.8%
|
|
|
|
|
|
|
|
Wireless Telecommunication
Services 1.8%
|
|
|
|
225,020
|
|
|
|
American Tower Corp., Class A Shares*
|
|
7,094,880
|
|
|
|
|
|
TOTAL COMMON STOCKS
(Cost $287,203,850)
|
|
234,507,296
|
|
CONVERTIBLE
PREFERRED STOCKS 1.7%
|
|
|
|
ENERGY
0.6%
|
|
|
|
|
|
|
|
Oil, Gas & Consumable
Fuels 0.6%
|
|
|
|
3,200
|
|
|
|
El Paso Corp., 4.990%
|
|
2,480,800
|
|
MATERIALS
1.1%
|
|
|
|
|
|
|
|
Metals & Mining 1.1%
|
|
|
|
3,620
|
|
|
|
Freeport-McMoRan Copper & Gold Inc.,
5.500%
|
|
4,073,405
|
|
|
|
|
|
TOTAL CONVERTIBLE PREFERRED STOCKS
(Cost $4,725,116)
|
|
6,554,205
|
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
4
|
LMP Capital and Income Fund Inc. 2009 Semi-Annual
Report
|
LMP CAPITAL AND INCOME FUND INC.
SHARES
|
|
|
|
SECURITY
|
|
VALUE
|
|
PREFERRED
STOCKS 0.1%
|
|
|
|
FINANCIALS
0.1%
|
|
|
|
|
|
|
|
Consumer Finance 0.1%
|
|
|
|
809
|
|
|
|
Preferred Blocker Inc., 7.000%
(b)
|
|
$
|
347,971
|
|
|
|
|
|
Thrifts & Mortgage
Finance 0.0%
|
|
|
|
25,950
|
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC), 8.375%
(c)
*
|
|
31,659
|
|
300
|
|
|
|
Federal National Mortgage Association (FNMA),
7.000%
(c)
*
|
|
465
|
|
17,650
|
|
|
|
Federal National Mortgage Association (FNMA),
8.250%
(c)
*
|
|
23,651
|
|
|
|
|
|
Total Thrifts & Mortgage
Finance
|
|
55,775
|
|
|
|
|
|
TOTAL
PREFERRED STOCKS
(Cost
$1,296,392)
|
|
403,746
|
|
FACE
AMOUNT
|
|
|
|
|
|
|
|
ASSET-BACKED
SECURITIES 1.1%
|
|
|
|
FINANCIALS
1.1%
|
|
|
|
|
|
|
|
Home Equity 1.0%
|
|
|
|
419,625
|
|
|
|
Asset-Backed Funding Certificates, 2.489% due
1/25/34
(d)
|
|
142,253
|
|
126,653
|
|
|
|
Countrywide Asset-Backed Certificates, 1.564% due
6/25/34
(d)
|
|
9,275
|
|
688,703
|
|
|
|
Credit-Based Asset Servicing &
Securitization LLC, 5.704% due 12/25/36
|
|
333,062
|
|
73,417
|
|
|
|
Finance America Net Interest Margin Trust, 5.250%
due 6/27/34
(a)(b)(e)
|
|
37
|
|
154,012
|
|
|
|
Fremont Home Loan Trust, 1.964% due 2/25/34
(d)
|
|
49,038
|
|
|
|
|
|
GSAA Home Equity Trust:
|
|
|
|
1,770,000
|
|
|
|
0.614% due 3/25/37
(d)
|
|
583,615
|
|
1,790,000
|
|
|
|
0.584% due 7/25/37
(a)(d)
|
|
466,494
|
|
1,720,000
|
|
|
|
0.614% due 5/25/47
(d)
|
|
600,376
|
|
332,475
|
|
|
|
GSAMP Trust, 1.464% due 11/25/34
(a)(d)
|
|
23,312
|
|
308,535
|
|
|
|
Lehman XS Trust, 0.384% due 6/25/46
(d)
|
|
215,974
|
|
485,367
|
|
|
|
MASTR Specialized Loan Trust, 0.739% due 5/25/37
(b)(d)
|
|
145,610
|
|
1,223,220
|
|
|
|
Option One Mortgage Loan Trust, 1.364% due 5/25/34
(d)
|
|
726,333
|
|
619,225
|
|
|
|
RAAC, 0.694% due 10/25/46
(b)(d)
|
|
251,317
|
|
417,342
|
|
|
|
Renaissance Home Equity Loan Trust, 2.214% due
3/25/34
(d)
|
|
121,236
|
|
|
|
|
|
Sail Net Interest Margin Notes:
|
|
|
|
141,210
|
|
|
|
7.750% due 4/27/33
(b)(e)
|
|
15
|
|
71,380
|
|
|
|
5.500% due 3/27/34
(b)(e)
|
|
7
|
|
415,826
|
|
|
|
Structured Asset Securities Corp., 0.564% due
11/25/37
(a)(d)
|
|
312,550
|
|
|
|
|
|
Total Home Equity
|
|
3,980,504
|
|
|
|
|
|
Student Loan 0.1%
|
|
|
|
350,000
|
|
|
|
Nelnet Student Loan Trust, 2.572% due 4/25/24
(d)
|
|
345,573
|
|
|
|
|
|
TOTAL
ASSET-BACKED SECURITIES
(Cost
$8,530,046)
|
|
4,326,077
|
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
LMP Capital and
Income Fund Inc. 2009 Semi-Annual Report
|
5
|
Schedule of investments
(unaudited)
continued
June 30,
2009
LMP CAPITAL AND INCOME FUND INC.
FACE AMOUNT
|
|
|
|
SECURITY
|
|
VALUE
|
|
COLLATERALIZED
MORTGAGE OBLIGATIONS 2.0%
|
|
|
|
260,000
|
|
|
|
American Home Mortgage Investment Trust, 1.114% due
11/25/45
(d)
|
|
$
|
2,223
|
|
1,239,646
|
|
|
|
BCAP LLC Trust, 0.504% due 10/25/36
(d)
|
|
484,519
|
|
131,305
|
|
|
|
Bear Stearns ARM Trust, 5.765% due 2/25/36
(a)(d)
|
|
67,993
|
|
|
|
|
|
Countrywide Alternative Loan Trust:
|
|
|
|
26,449
|
|
|
|
6.000% due 2/25/34
|
|
24,767
|
|
1,412,856
|
|
|
|
0.525% due 7/20/46
(d)
|
|
546,080
|
|
|
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC):
|
|
|
|
14,073
|
|
|
|
6.000% due 3/15/34
(c)(d)
|
|
13,844
|
|
403,248
|
|
|
|
PAC, 6.000% due 4/15/34
(c)(d)
|
|
401,242
|
|
745,500
|
|
|
|
Harborview Mortgage Loan Trust, 1.383% due 11/19/35
(d)
|
|
12,297
|
|
|
|
|
|
JPMorgan Mortgage Trust:
|
|
|
|
2,110,000
|
|
|
|
5.887% due 6/25/37
(a)(d)
|
|
935,920
|
|
1,060,000
|
|
|
|
6.000% due 8/25/37
|
|
392,002
|
|
803,468
|
|
|
|
MASTR ARM Trust, 4.356% due 9/25/33
(d)
|
|
659,599
|
|
1,470,184
|
|
|
|
MASTR Reperforming Loan Trust, 4.739% due 5/25/36
(a)(b)(d)
|
|
1,130,593
|
|
280,902
|
|
|
|
Merit Securities Corp., 1.808% due 9/28/32
(b)(d)
|
|
205,514
|
|
|
|
|
|
MLCC Mortgage Investors Inc.:
|
|
|
|
278,029
|
|
|
|
1.234% due 4/25/29
(d)
|
|
107,373
|
|
440,779
|
|
|
|
1.194% due 5/25/29
(d)
|
|
164,533
|
|
980,761
|
|
|
|
RBS Greenwich Capital, Mortgage Pass-Through
Certificates, 7.000% due 4/25/35
|
|
673,459
|
|
|
|
|
|
Structured ARM Loan Trust:
|
|
|
|
1,625,826
|
|
|
|
5.347% due 5/25/35
(d)
|
|
897,155
|
|
577,318
|
|
|
|
5.872% due 5/25/36
(d)
|
|
298,071
|
|
|
|
|
|
Thornburg Mortgage Securities Trust:
|
|
|
|
200,634
|
|
|
|
6.190% due 7/25/37
(d)
|
|
129,164
|
|
208,064
|
|
|
|
6.208% due 7/25/37
(d)
|
|
150,717
|
|
712,934
|
|
|
|
Washington Mutual Inc. Pass-Through Certificates, 2.330%
due 6/25/46
(d)
|
|
222,982
|
|
747,154
|
|
|
|
Wells Fargo Alternative Loan Trust, 0.744% due
6/25/37
(d)
|
|
315,815
|
|
|
|
|
|
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $12,509,828)
|
|
7,835,862
|
|
COLLATERALIZED
SENIOR LOANS 2.7%
|
|
|
|
CONSUMER
DISCRETIONARY 0.9%
|
|
|
|
|
|
|
|
Diversified Consumer Services
0.1%
|
|
|
|
246,250
|
|
|
|
Thomson Learning Hold, Term Loan B, 2.930% due
7/5/14
(d)
|
|
207,808
|
|
|
|
|
|
Hotels, Restaurants &
Leisure 0.1%
|
|
|
|
|
|
|
|
Aramark Corp.:
|
|
|
|
14,607
|
|
|
|
Letter of Credit Facility Deposits, 1.875% due
1/31/14
(d)
|
|
13,469
|
|
229,916
|
|
|
|
Term Loan, 6.705% due 1/31/14
(d)
|
|
212,018
|
|
|
|
|
|
Total Hotels,
Restaurants & Leisure
|
|
225,487
|
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
6
|
LMP Capital and Income Fund Inc. 2009 Semi-Annual
Report
|
LMP CAPITAL AND INCOME FUND INC.
FACE AMOUNT
|
|
|
|
SECURITY
|
|
VALUE
|
|
|
|
|
|
Media 0.6%
|
|
|
|
246,872
|
|
|
|
Charter
Communications, Term Loan B, 4.434% due 3/15/14
(d)
|
|
$
|
223,882
|
|
234,665
|
|
|
|
CMP
Susquehanna Corp., Term Loan, 2.446% due 6/7/13
(d)
|
|
121,439
|
|
479,879
|
|
|
|
Idearc
Inc., Term Loan B, 4.250% due 11/1/14
(d)
|
|
207,205
|
|
231,970
|
|
|
|
LodgeNet
Entertainment Corp., Term Loan B, 4.250% due 4/4/14
(d)
|
|
196,401
|
|
1,000,000
|
|
|
|
Newsday
LLC, Term Loan, 9.750% due 7/15/13
(d)
|
|
1,005,000
|
|
|
|
|
|
UPC
Broadband Holding BV:
|
|
|
|
87,928
|
|
|
|
Term Loan, 3.815% due 10/17/13
(d)
|
|
84,246
|
|
162,072
|
|
|
|
Term Loan N, 2.065% due 3/30/14
(d)
|
|
150,524
|
|
628,620
|
|
|
|
Virgin
Media Inc., Term Loan, 3.100% due 1/15/14
(d)
|
|
590,117
|
|
|
|
|
|
Total Media
|
|
2,578,814
|
|
|
|
|
|
Multiline Retail 0.0%
|
|
|
|
250,000
|
|
|
|
Neiman
Marcus Group Inc., Term Loan B, 2.509% due 3/13/13
(d)
|
|
189,410
|
|
|
|
|
|
Specialty Retail 0.1%
|
|
|
|
246,222
|
|
|
|
Michaels
Stores Inc., Term Loan B, 2.680% due 10/31/13
(d)
|
|
196,157
|
|
|
|
|
|
TOTAL
CONSUMER DISCRETIONARY
|
|
3,397,676
|
|
HEALTH
CARE 0.1%
|
|
|
|
|
|
|
|
Health Care Providers & Services 0.1%
|
|
|
|
|
|
|
|
Community
Health Systems Inc.:
|
|
|
|
11,572
|
|
|
|
Delayed Draw Term Loan, 2.569% due 7/2/14
(d)
|
|
10,445
|
|
222,481
|
|
|
|
Term Loan B, 2.898% due 7/2/14
(d)
|
|
200,815
|
|
210,800
|
|
|
|
HCA
Inc., Term Loan B, 3.709% due 11/1/13
(d)
|
|
190,774
|
|
|
|
|
|
TOTAL
HEALTH CARE
|
|
402,034
|
|
INDUSTRIALS
0.2%
|
|
|
|
|
|
|
|
Aerospace & Defense 0.1%
|
|
|
|
|
|
|
|
Dubai
Aerospace Enterprise, Term Loan:
|
|
|
|
282,437
|
|
|
|
6.550% due 7/31/14
(d)
|
|
220,301
|
|
287,234
|
|
|
|
6.750% due 7/31/14
(d)
|
|
224,043
|
|
|
|
|
|
Total Aerospace &
Defense
|
|
444,344
|
|
|
|
|
|
Airlines 0.0%
|
|
|
|
176,438
|
|
|
|
United
Airlines Inc., Term Loan B, 2.331% due 1/12/14
(d)
|
|
104,466
|
|
|
|
|
|
Commercial Services & Supplies 0.1%
|
|
|
|
245,614
|
|
|
|
US
Investigations Services Inc., Term Loan B, 3.977% due 2/21/15
(d)
|
|
216,754
|
|
|
|
|
|
TOTAL
INDUSTRIALS
|
|
765,564
|
|
INFORMATION
TECHNOLOGY 0.1%
|
|
|
|
|
|
|
|
IT Services 0.1%
|
|
|
|
561,450
|
|
|
|
First
Data Corp., Term Loan, 3.059% due 10/15/14
(d)
|
|
422,491
|
|
MATERIALS
0.6%
|
|
|
|
|
|
|
|
Chemicals 0.2%
|
|
|
|
|
|
|
|
Lyondell
Chemical Co., Term Loan:
|
|
|
|
268,015
|
|
|
|
5.740% due 12/15/09
(d)
|
|
223,961
|
|
268,147
|
|
|
|
13.000% due 12/15/09
(d)
|
|
277,097
|
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
LMP Capital and
Income Fund Inc. 2009 Semi-Annual Report
|
7
|
Schedule of investments
(unaudited)
continued
June 30,
2009
LMP CAPITAL AND INCOME FUND INC.
FACE AMOUNT
|
|
|
|
SECURITY
|
|
VALUE
|
|
|
|
|
|
Chemicals 0.2%
continued
|
|
|
|
726,476
|
|
|
|
6.561% due 12/20/14
(d)
|
|
$
|
324,008
|
|
|
|
|
|
Total Chemicals
|
|
825,066
|
|
|
|
|
|
Containers & Packaging 0.1%
|
|
|
|
492,613
|
|
|
|
Graphic
Packaging International, Term Loan C, 3.579% due 5/16/14
(d)
|
|
467,521
|
|
|
|
|
|
Paper & Forest Products 0.3%
|
|
|
|
923,295
|
|
|
|
Georgia-Pacific
Corp., Term Loan, 2.692% due 12/23/13
(d)
|
|
873,353
|
|
619
|
|
|
|
NewPage Corp.,
Term Loan, Tranche B, 4.807% due 11/5/14
(d)
|
|
537
|
|
|
|
|
|
Total Paper & Forest
Products
|
|
873,890
|
|
|
|
|
|
TOTAL
MATERIALS
|
|
2,166,477
|
|
TELECOMMUNICATION
SERVICES 0.6%
|
|
|
|
|
|
|
|
Diversified Telecommunication Services 0.4%
|
|
|
|
168,750
|
|
|
|
Insight
Midwest, Term Loan B, 2.320% due 4/10/14
(d)
|
|
157,500
|
|
991,094
|
|
|
|
Intelsat
Corp., Term Loan, 2.819% due 6/30/13
(d)
|
|
906,851
|
|
500,000
|
|
|
|
Level
3 Communications Inc., Term Loan, 3.155% due 3/1/14
(d)
|
|
416,875
|
|
|
|
|
|
Total Diversified
Telecommunication Services
|
|
1,481,226
|
|
|
|
|
|
Wireless Telecommunication Services 0.2%
|
|
|
|
989,822
|
|
|
|
MetroPCS
Wireless Inc., Term Loan, 3.066% due 2/20/14
(d)
|
|
944,166
|
|
|
|
|
|
TOTAL
TELECOMMUNICATION SERVICES
|
|
2,425,392
|
|
UTILITIES
0.2%
|
|
|
|
|
|
|
|
Electric Utilities 0.1%
|
|
|
|
492,500
|
|
|
|
TXU
Corp., Term Loan B, 6.110% due 10/10/14
(d)
|
|
353,154
|
|
|
|
|
|
Independent Power Producers & Energy Traders
0.1%
|
|
|
|
500,000
|
|
|
|
Calpine
Corp., Term Loan B, 4.335% due 3/29/14
(d)
|
|
443,889
|
|
|
|
|
|
TOTAL
UTILITIES
|
|
797,043
|
|
|
|
|
|
TOTAL
COLLATERALIZED SENIOR LOANS
(Cost
$11,398,901)
|
|
10,376,677
|
|
CONVERTIBLE BONDS & NOTES 0.3%
|
|
|
|
INFORMATION TECHNOLOGY 0.3%
|
|
|
|
|
|
|
|
Internet Software & Services 0.3%
|
|
|
|
1,981,000
|
|
|
|
VeriSign
Inc., 3.250% due 8/15/37
(Cost
$1,316,436)
|
|
1,319,841
|
|
CORPORATE BONDS & NOTES 23.4%
|
|
|
|
CONSUMER DISCRETIONARY 3.1%
|
|
|
|
|
|
|
|
Auto Components 0.1%
|
|
|
|
280,000
|
|
|
|
Allison
Transmission Inc., Senior Notes, 11.250% due 11/1/15
(b)(f)
|
|
197,400
|
|
155,000
|
|
|
|
Keystone
Automotive Operations Inc., Senior Subordinated Notes, 9.750% due 11/1/13
|
|
51,925
|
|
|
|
|
|
Visteon
Corp., Senior Notes:
|
|
|
|
1,507,000
|
|
|
|
8.250% due 8/1/10
(g)
|
|
52,745
|
|
827,000
|
|
|
|
12.250% due 12/31/16
(b)(g)
|
|
33,080
|
|
|
|
|
|
Total Auto Components
|
|
335,150
|
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
8
|
LMP Capital and Income Fund Inc. 2009 Semi-Annual
Report
|
LMP CAPITAL AND INCOME FUND INC.
FACE AMOUNT
|
|
|
|
SECURITY
|
|
VALUE
|
|
|
|
|
|
Automobiles 0.1%
|
|
|
|
|
|
|
|
General
Motors Corp., Senior Debentures:
|
|
|
|
600,000
|
|
|
|
8.250% due 7/15/23
(g)
|
|
$
|
76,500
|
|
1,270,000
|
|
|
|
8.375% due 7/15/33
(g)
|
|
168,275
|
|
|
|
|
|
Total Automobiles
|
|
244,775
|
|
|
|
|
|
Diversified Consumer Services 0.1%
|
|
|
|
360,000
|
|
|
|
Education
Management LLC/Education Management Finance Corp., Senior Subordinated Notes,
10.250% due 6/1/16
|
|
353,700
|
|
|
|
|
|
Hotels, Restaurants & Leisure 1.1%
|
|
|
|
1,000,000
|
|
|
|
Boyd
Gaming Corp., Senior Subordinated Notes, 6.750% due 4/15/14
|
|
815,000
|
|
810,000
|
|
|
|
Caesars
Entertainment Inc., Senior Subordinated Notes, 8.125% due 5/15/11
|
|
676,350
|
|
295,000
|
|
|
|
Choctaw
Resort Development Enterprise, Senior Notes, 7.250% due 11/15/19
(b)
|
|
169,625
|
|
550,000
|
|
|
|
Dennys
Holdings Inc., Senior Notes, 10.000% due 10/1/12
|
|
536,250
|
|
|
|
|
|
El
Pollo Loco Inc.:
|
|
|
|
170,000
|
|
|
|
Senior Notes, 11.750% due 11/15/13
|
|
136,850
|
|
5,000
|
|
|
|
Senior Secured Notes, 11.750% due 12/1/12
(b)
|
|
5,150
|
|
660,000
|
|
|
|
Inn
of the Mountain Gods Resort & Casino, Senior Notes, 12.000% due
11/15/10
(g)
|
|
267,300
|
|
330,000
|
|
|
|
McDonalds
Corp., Medium Term Notes, 5.350% due 3/1/18
|
|
348,810
|
|
|
|
|
|
MGM
MIRAGE Inc.:
|
|
|
|
380,000
|
|
|
|
Notes, 6.750% due 9/1/12
|
|
271,700
|
|
|
|
|
|
Senior Secured Notes:
|
|
|
|
45,000
|
|
|
|
10.375% due 5/15/14
(b)
|
|
46,912
|
|
105,000
|
|
|
|
11.125% due 11/15/17
(b)
|
|
111,825
|
|
203,000
|
|
|
|
Senior Subordinated Notes, 9.375% due 2/15/10
|
|
193,865
|
|
750,000
|
|
|
|
River
Rock Entertainment Authority, Senior Secured Notes, 9.750% due 11/1/11
|
|
566,250
|
|
250,000
|
|
|
|
Sbarro
Inc., Senior Notes, 10.375% due 2/1/15
|
|
153,750
|
|
|
|
|
|
Station
Casinos Inc.:
|
|
|
|
|
|
|
|
Senior Notes:
|
|
|
|
60,000
|
|
|
|
6.000% due 4/1/12
(e)(g)
|
|
21,000
|
|
530,000
|
|
|
|
7.750% due 8/15/16
(e)(g)
|
|
185,500
|
|
100,000
|
|
|
|
Senior Subordinated Notes, 6.875% due 3/1/16
(e)(g)
|
|
3,000
|
|
|
|
|
|
Total Hotels,
Restaurants & Leisure
|
|
4,509,137
|
|
|
|
|
|
Household Durables 0.3%
|
|
|
|
485,000
|
|
|
|
Norcraft
Cos. LP/Norcraft Finance Corp., Senior Subordinated Notes, 9.000% due 11/1/11
|
|
482,575
|
|
700,000
|
|
|
|
Norcraft
Holdings LP/Norcraft Capital Corp., Senior Discount Notes, 9.750% due 9/1/12
|
|
658,000
|
|
|
|
|
|
Total Household Durables
|
|
1,140,575
|
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
LMP Capital and
Income Fund Inc. 2009 Semi-Annual Report
|
9
|
Schedule of investments
(unaudited)
continued
June 30,
2009
LMP CAPITAL AND INCOME FUND INC.
FACE AMOUNT
|
|
|
|
SECURITY
|
|
VALUE
|
|
|
|
|
|
Leisure Equipment & Products 0.0%
|
|
|
|
60,000
|
|
|
|
WMG
Acquisition Corp., Senior Secured Notes, 9.500% due 6/15/16
(b)
|
|
$
|
60,000
|
|
|
|
|
|
Media 1.2%
|
|
|
|
340,000
|
|
|
|
Affinion
Group Inc., Senior Subordinated Notes, 11.500% due 10/15/15
|
|
292,400
|
|
3,419,000
|
|
|
|
CCH
I LLC/CCH I Capital Corp., Senior Secured Notes, 11.000% due 10/1/15
(e)(g)
|
|
427,375
|
|
325,000
|
|
|
|
CCH
II LLC/CCH II Capital Corp., Senior Notes, 10.250% due 10/1/13
(e)(g)
|
|
342,875
|
|
360,000
|
|
|
|
Cengage
Learning Acquisitions Inc., Senior Notes, 10.500% due 1/15/15
(b)
|
|
293,400
|
|
85,000
|
|
|
|
Charter
Communications Holdings LLC/Charter Communications Holdings Capital Corp.,
Senior Discount Notes, 11.750% due 5/15/11
(e)(g)
|
|
680
|
|
230,000
|
|
|
|
Charter
Communications Inc., Senior Secured Notes, 10.875% due 9/15/14
(b)(e)
|
|
239,200
|
|
1,320,000
|
|
|
|
Comcast
Corp., Notes 5.700% due 5/15/18
|
|
1,329,381
|
|
85,000
|
|
|
|
Dex
Media West LLC/Dex Media Finance Co., Senior Notes, 8.500% due 8/15/10
(g)
|
|
61,625
|
|
1,265,000
|
|
|
|
Idearc
Inc., Senior Notes, 8.000% due 11/15/16
(g)
|
|
39,531
|
|
20,000
|
|
|
|
News
America Inc., Senior Notes, 6.650% due 11/15/37
|
|
18,044
|
|
|
|
|
|
R.H.
Donnelley Corp.:
|
|
|
|
655,000
|
|
|
|
Senior Discount Notes, 6.875% due 1/15/13
(g)
|
|
36,844
|
|
450,000
|
|
|
|
Senior Notes, 8.875% due 1/15/16
(g)
|
|
25,312
|
|
|
|
|
|
Time
Warner Cable Inc.:
|
|
|
|
10,000
|
|
|
|
Notes 5.850% due 5/1/17
|
|
10,002
|
|
410,000
|
|
|
|
Senior Notes, 6.200% due 7/1/13
|
|
432,375
|
|
400,000
|
|
|
|
Time
Warner Inc., Senior Subordinated Notes, 6.875% due 5/1/12
|
|
428,173
|
|
240,000
|
|
|
|
Univision
Communications Inc., Senior Secured Notes, 12.000% due 7/1/14
(b)
|
|
237,000
|
|
500,000
|
|
|
|
Virgin
Media Finance PLC, Senior Notes, 9.125% due 8/15/16
|
|
483,750
|
|
|
|
|
|
Total Media
|
|
4,697,967
|
|
|
|
|
|
Multiline Retail 0.1%
|
|
|
|
130,000
|
|
|
|
Dollar
General Corp., Senior Subordinated Notes, 11.875% due 7/15/17
(f)
|
|
141,050
|
|
756,309
|
|
|
|
Neiman
Marcus Group Inc., Senior Notes, 9.000% due 10/15/15
(f)
|
|
450,004
|
|
|
|
|
|
Total Multiline Retail
|
|
591,054
|
|
|
|
|
|
Specialty Retail 0.1%
|
|
|
|
315,000
|
|
|
|
Blockbuster
Inc., Senior Subordinated Notes, 9.000% due 9/1/12
|
|
152,775
|
|
155,000
|
|
|
|
Michaels
Stores Inc., Senior Notes, 10.000% due 11/1/14
|
|
130,975
|
|
|
|
|
|
Total Specialty Retail
|
|
283,750
|
|
|
|
|
|
Textiles, Apparel & Luxury Goods 0.0%
|
|
|
|
135,000
|
|
|
|
Oxford
Industries Inc., Senior Secured Notes, 11.375% due 7/15/15
(b)
|
|
134,325
|
|
|
|
|
|
TOTAL
CONSUMER DISCRETIONARY
|
|
12,350,433
|
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
10
|
LMP Capital and Income Fund Inc. 2009 Semi-Annual
Report
|
LMP CAPITAL AND INCOME FUND INC.
FACE AMOUNT
|
|
|
|
SECURITY
|
|
VALUE
|
|
CONSUMER
STAPLES 0.6%
|
|
|
|
|
|
|
|
Food & Staples Retailing 0.2%
|
|
|
|
417,801
|
|
|
|
CVS
Caremark Corp., Pass-Through Certificates, 6.943% due 1/10/30
(b)
|
|
$
|
379,026
|
|
|
|
|
|
Kroger
Co., Senior Notes:
|
|
|
|
200,000
|
|
|
|
5.500% due 2/1/13
|
|
206,784
|
|
400,000
|
|
|
|
6.150% due 1/15/20
|
|
409,481
|
|
|
|
|
|
Total Food & Staples
Retailing
|
|
995,291
|
|
|
|
|
|
Food Products 0.1%
|
|
|
|
|
|
|
|
Dole
Food Co. Inc., Senior Notes:
|
|
|
|
125,000
|
|
|
|
7.250% due 6/15/10
|
|
123,750
|
|
261,000
|
|
|
|
8.875% due 3/15/11
|
|
255,780
|
|
|
|
|
|
Total Food Products
|
|
379,530
|
|
|
|
|
|
Tobacco 0.3%
|
|
|
|
|
|
|
|
Alliance
One International Inc., Senior Notes:
|
|
|
|
150,000
|
|
|
|
8.500% due 5/15/12
|
|
148,875
|
|
230,000
|
|
|
|
11.000% due 5/15/12
|
|
241,500
|
|
180,000
|
|
|
|
10.000% due 7/15/16
(b)
|
|
171,450
|
|
580,000
|
|
|
|
Reynolds
American Inc., 6.750% due 6/15/17
|
|
542,358
|
|
|
|
|
|
Total Tobacco
|
|
1,104,183
|
|
|
|
|
|
TOTAL
CONSUMER STAPLES
|
|
2,479,004
|
|
ENERGY
3.5%
|
|
|
|
|
|
|
|
Energy Equipment & Services 0.2%
|
|
|
|
250,000
|
|
|
|
Key
Energy Services Inc., Senior Notes, 8.375% due 12/1/14
|
|
221,875
|
|
10,000
|
|
|
|
Southern
Natural Gas Co., Senior Notes, 8.000% due 3/1/32
|
|
10,631
|
|
460,000
|
|
|
|
Transocean
Inc., Senior Notes, 5.250% due 3/15/13
|
|
477,397
|
|
|
|
|
|
Total Energy Equipment &
Services
|
|
709,903
|
|
|
|
|
|
Oil, Gas & Consumable Fuels 3.3%
|
|
|
|
750,000
|
|
|
|
Amerada
Hess Corp., Senior Notes, 6.650% due 8/15/11
|
|
798,643
|
|
|
|
|
|
Anadarko
Petroleum Corp., Senior Notes:
|
|
|
|
60,000
|
|
|
|
5.950% due 9/15/16
|
|
59,283
|
|
1,040,000
|
|
|
|
6.450% due 9/15/36
|
|
937,687
|
|
540,000
|
|
|
|
Apache
Corp., Senior Notes, 5.625% due 1/15/17
|
|
567,393
|
|
440,000
|
|
|
|
Belden &
Blake Corp., Secured Notes, 8.750% due 7/15/12
|
|
358,600
|
|
130,000
|
|
|
|
Berry
Petroleum Co., Senior Notes, 10.250% due 6/1/14
|
|
131,950
|
|
|
|
|
|
Chesapeake
Energy Corp., Senior Notes:
|
|
|
|
275,000
|
|
|
|
6.375% due 6/15/15
|
|
246,125
|
|
400,000
|
|
|
|
6.500% due 8/15/17
|
|
338,000
|
|
85,000
|
|
|
|
Compagnie
Generale de Geophysique SA, Senior Notes, 7.500% due 5/15/15
|
|
78,413
|
|
330,000
|
|
|
|
ConocoPhillips
Holding Co., Senior Notes, 6.950% due 4/15/29
|
|
356,561
|
|
750,000
|
|
|
|
Devon
Financing Corp. ULC, Notes, 6.875% due 9/30/11
|
|
814,993
|
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
LMP Capital and
Income Fund Inc. 2009 Semi-Annual Report
|
11
|
Schedule of investments
(unaudited)
continued
June 30,
2009
LMP CAPITAL AND INCOME FUND INC.
FACE AMOUNT
|
|
|
|
SECURITY
|
|
VALUE
|
|
|
|
|
|
Oil, Gas & Consumable Fuels 3.3%
continued
|
|
|
|
|
|
|
|
El
Paso Corp.:
|
|
|
|
500,000
|
|
|
|
Medium-Term Notes, 7.750% due 1/15/32
|
|
$
|
409,510
|
|
280,000
|
|
|
|
Senior Notes, 8.250% due 2/15/16
|
|
273,700
|
|
870,000
|
|
|
|
Energy
Transfer Partners LP, Senior Notes, 6.700% due 7/1/18
|
|
890,896
|
|
320,000
|
|
|
|
Enterprise
Products Operating LLP, Junior Subordinated Notes, 8.375% due 8/1/66
(d)
|
|
257,919
|
|
970,000
|
|
|
|
EXCO
Resources Inc., Senior Notes, 7.250% due 1/15/11
|
|
945,750
|
|
260,000
|
|
|
|
International
Coal Group Inc., Senior Notes, 10.250% due 7/15/14
|
|
184,600
|
|
|
|
|
|
Kerr-McGee
Corp., Notes:
|
|
|
|
300,000
|
|
|
|
6.875% due 9/15/11
|
|
316,561
|
|
140,000
|
|
|
|
6.950% due 7/1/24
|
|
130,194
|
|
|
|
|
|
Kinder
Morgan Energy Partners LP:
|
|
|
|
580,000
|
|
|
|
Medium-Term Notes, 6.950% due 1/15/38
|
|
563,545
|
|
|
|
|
|
Senior Notes:
|
|
|
|
540,000
|
|
|
|
6.000% due 2/1/17
|
|
536,520
|
|
100,000
|
|
|
|
5.950% due 2/15/18
|
|
98,051
|
|
455,000
|
|
|
|
OPTI
Canada Inc., Senior Secured Notes, 8.250% due 12/15/14
|
|
302,575
|
|
240,000
|
|
|
|
Overseas
Shipholding Group Inc., Senior Notes, 7.500% due 2/15/24
|
|
175,500
|
|
410,000
|
|
|
|
Parker
Drilling Co., Senior Notes, 9.625% due 10/1/13
|
|
381,300
|
|
160,000
|
|
|
|
Petroplus
Finance Ltd., Senior Notes, 7.000% due 5/1/17
(b)
|
|
133,600
|
|
365,000
|
|
|
|
SandRidge
Energy Inc., Senior Notes, 9.875% due 5/15/16
(b)
|
|
354,050
|
|
780,000
|
|
|
|
SemGroup
LP, Senior Notes, 8.750% due 11/15/15
(b)(e)(g)
|
|
35,100
|
|
260,000
|
|
|
|
Stone
Energy Corp., Senior Subordinated Notes, 8.250% due 12/15/11
|
|
214,500
|
|
330,000
|
|
|
|
Teekay
Corp., Senior Notes, 8.875% due 7/15/11
|
|
329,175
|
|
355,000
|
|
|
|
Whiting
Petroleum Corp., Senior Subordinated Notes, 7.250% due 5/1/12
|
|
341,688
|
|
|
|
|
|
Williams
Cos. Inc.:
|
|
|
|
100,000
|
|
|
|
Notes, 8.750% due 3/15/32
|
|
100,747
|
|
470,000
|
|
|
|
Senior Notes, 7.750% due 6/15/31
|
|
424,048
|
|
|
|
|
|
XTO
Energy Inc., Senior Notes:
|
|
|
|
170,000
|
|
|
|
7.500% due 4/15/12
|
|
188,436
|
|
350,000
|
|
|
|
5.650% due 4/1/16
|
|
354,829
|
|
300,000
|
|
|
|
5.500% due 6/15/18
|
|
301,145
|
|
|
|
|
|
Total Oil, Gas &
Consumable Fuels
|
|
12,931,587
|
|
|
|
|
|
TOTAL
ENERGY
|
|
13,641,490
|
|
FINANCIALS
5.6%
|
|
|
|
|
|
|
|
Capital Markets 0.6%
|
|
|
|
300,000
|
|
|
|
Bear
Stearns Co. Inc., Senior Notes, 6.400% due 10/2/17
|
|
301,009
|
|
30,000
|
|
|
|
Goldman
Sachs Capital II, Junior Subordinated Bonds, 5.793% due 6/1/12
(d)(h)
|
|
18,294
|
|
600,000
|
|
|
|
Goldman
Sachs Group Inc., Senior Notes, 6.150% due 4/1/18
|
|
585,118
|
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
12
|
LMP Capital and Income Fund Inc. 2009 Semi-Annual
Report
|
LMP CAPITAL AND INCOME FUND INC.
FACE AMOUNT
|
|
|
|
SECURITY
|
|
VALUE
|
|
|
|
|
|
Capital Markets 0.6%
continued
|
|
|
|
1,200,000
|
|
|
|
Kaupthing
Bank HF, Subordinated Notes, 7.125% due 5/19/16
(b)(e)(g)
|
|
$
|
3,000
|
|
50,000
|
|
|
|
Lehman
Brothers Holdings Capital Trust VII, Medium-Term Notes, 5.857% due 5/31/12
(d)(g)(h)
|
|
5
|
|
|
|
|
|
Lehman
Brothers Holdings Inc., Medium-Term Notes:
|
|
|
|
1,110,000
|
|
|
|
6.750% due 12/28/17
(g)
|
|
111
|
|
130,000
|
|
|
|
Senior Notes, 6.200% due 9/26/14
(g)
|
|
19,825
|
|
|
|
|
|
Merrill
Lynch & Co. Inc.:
|
|
|
|
520,000
|
|
|
|
Notes, 6.875% due 4/25/18
|
|
482,060
|
|
100,000
|
|
|
|
Senior Notes, 5.450% due 2/5/13
|
|
97,407
|
|
940,000
|
|
|
|
Morgan
Stanley, Medium-Term Notes, 5.625% due 1/9/12
|
|
962,561
|
|
|
|
|
|
Total Capital Markets
|
|
2,469,390
|
|
|
|
|
|
Commercial Banks 1.2%
|
|
|
|
20,000
|
|
|
|
BAC
Capital Trust XIV, Junior Subordinated Notes, 5.630% due 3/15/12
(d)(h)
|
|
10,005
|
|
13,635
|
|
|
|
Fifth
Third Bank, Notes, 2.870% due 8/10/09
|
|
13,517
|
|
290,000
|
|
|
|
Glitnir
Banki HF, Notes, 6.375% due 9/25/12
(b)(e)(g)
|
|
48,575
|
|
100,000
|
|
|
|
HBOS
Capital Funding LP, Tier 1 Notes, Perpetual Bonds, 6.071% due 6/30/14
(b)(d)(h)
|
|
36,480
|
|
1,300,000
|
|
|
|
Resona
Preferred Global Securities Cayman Ltd., Junior Subordinated, Bonds, 7.191%
due 7/30/15
(b)(d)(h)
|
|
950,036
|
|
1,400,000
|
|
|
|
Shinsei
Finance Cayman Ltd., Junior Subordinated Bonds, 6.418% due 7/20/16
(b)(d)(h)
|
|
560,573
|
|
700,000
|
|
|
|
SunTrust
Capital, Trust Preferred Securities, 6.100% due 12/15/36
(d)
|
|
455,861
|
|
1,520,000
|
|
|
|
Wachovia
Corp., Medium Term Notes, 5.500% due 5/1/13
|
|
1,571,511
|
|
690,000
|
|
|
|
Wells
Fargo & Co., Senior Notes, 5.625% due 12/11/17
|
|
680,314
|
|
380,000
|
|
|
|
Wells
Fargo Capital X, Capital Securities, 5.950% due 12/15/36
|
|
281,998
|
|
|
|
|
|
Total Commercial Banks
|
|
4,608,870
|
|
|
|
|
|
Consumer Finance 1.8%
|
|
|
|
300,000
|
|
|
|
Aiful
Corp., Notes, 6.000% due 12/12/11
(b)
|
|
147,068
|
|
610,000
|
|
|
|
American
Express Co., Subordinated Debentures, 6.800% due 9/1/66
(d)
|
|
439,769
|
|
300,000
|
|
|
|
Caterpillar
Financial Services Corp., Medium-Term Notes, 5.450% due 4/15/18
|
|
286,105
|
|
|
|
|
|
Ford
Motor Credit Co.:
|
|
|
|
|
|
|
|
Notes:
|
|
|
|
750,000
|
|
|
|
5.700% due 1/15/10
|
|
723,952
|
|
1,050,000
|
|
|
|
7.000% due 10/1/13
|
|
844,961
|
|
|
|
|
|
Senior Notes:
|
|
|
|
135,000
|
|
|
|
9.750% due 9/15/10
|
|
129,351
|
|
1,600,000
|
|
|
|
9.875% due 8/10/11
|
|
1,480,755
|
|
310,000
|
|
|
|
12.000% due 5/15/15
|
|
290,192
|
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
LMP Capital and
Income Fund Inc. 2009 Semi-Annual Report
|
13
|
Schedule of investments
(unaudited)
continued
June 30,
2009
LMP CAPITAL AND INCOME FUND INC.
FACE AMOUNT
|
|
|
|
SECURITY
|
|
VALUE
|
|
|
|
|
|
Consumer Finance 1.8%
continued
|
|
|
|
|
|
|
|
GMAC
LLC:
|
|
|
|
|
|
|
|
Senior Notes:
|
|
|
|
1,203,000
|
|
|
|
6.625% due 5/15/12
(b)
|
|
$
|
1,016,535
|
|
61,000
|
|
|
|
7.500% due 12/31/13
(b)
|
|
47,885
|
|
184,000
|
|
|
|
6.750% due 12/1/14
(b)
|
|
146,280
|
|
53,000
|
|
|
|
Subordinated Notes, 8.000% due 12/31/18
(b)
|
|
34,185
|
|
500,000
|
|
|
|
John
Deere Capital Corp., Medium-Term Notes, 5.350% due 4/3/18
|
|
497,871
|
|
1,340,000
|
|
|
|
SLM
Corp., Senior Notes, 8.450% due 6/15/18
|
|
1,148,042
|
|
|
|
|
|
Total Consumer Finance
|
|
7,232,951
|
|
|
|
|
|
Diversified Financial Services 1.3%
|
|
|
|
150,000
|
|
|
|
AAC
Group Holding Corp., Senior Discount Notes, 10.250% due 10/1/12
(b)
|
|
109,500
|
|
100,000
|
|
|
|
Aiful
Corp., Notes, 5.000% due 8/10/10
(b)
|
|
61,013
|
|
|
|
|
|
Bank
of America Corp.:
|
|
|
|
970,000
|
|
|
|
Senior Notes, 5.650% due 5/1/18
|
|
858,556
|
|
100,000
|
|
|
|
Subordinated Notes, 5.420% due 3/15/17
|
|
83,169
|
|
125,000
|
|
|
|
Capital
One Bank, Notes, 5.750% due 9/15/10
|
|
127,451
|
|
|
|
|
|
Citigroup
Inc.:
|
|
|
|
210,000
|
|
|
|
2.125% due 4/30/12
|
|
211,065
|
|
550,000
|
|
|
|
Notes, 6.875% due 3/5/38
|
|
487,145
|
|
125,000
|
|
|
|
Countrywide
Home Loans Inc., Medium-Term Notes, 4.125% due 9/15/09
|
|
125,414
|
|
|
|
|
|
General
Electric Capital Corp.:
|
|
|
|
850,000
|
|
|
|
Senior Notes, 5.625% due 5/1/18
|
|
805,283
|
|
20,000
|
|
|
|
Subordinated Debentures, 6.375% due 11/15/67
(d)
|
|
13,364
|
|
1,320,000
|
|
|
|
JPMorgan
Chase & Co., Subordinated Notes, 6.125% due 6/27/17
|
|
1,306,242
|
|
|
|
|
|
Leucadia
National Corp., Senior Notes:
|
|
|
|
370,000
|
|
|
|
8.125% due 9/15/15
|
|
336,700
|
|
70,000
|
|
|
|
7.125% due 3/15/17
|
|
57,225
|
|
620,000
|
|
|
|
Vanguard
Health Holdings Co., I LLC, Senior Discount Notes, step bond to yield 10.257%
due 10/1/15
|
|
607,600
|
|
|
|
|
|
Total Diversified Financial
Services
|
|
5,189,727
|
|
|
|
|
|
Insurance 0.5%
|
|
|
|
1,170,000
|
|
|
|
American
International Group Inc., Medium-Term Notes, 5.850% due 1/16/18
|
|
619,855
|
|
650,000
|
|
|
|
MetLife
Inc., Junior Subordinated Debentures, 6.400% due 12/15/36
|
|
465,969
|
|
600,000
|
|
|
|
Pacific
Life Global Funding, Notes, 5.150% due 4/15/13
(b)
|
|
598,504
|
|
140,000
|
|
|
|
Travelers
Cos. Inc., Junior Subordinated Debentures, 6.250% due 3/15/37
(d)
|
|
112,997
|
|
|
|
|
|
Total Insurance
|
|
1,797,325
|
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
14
|
LMP Capital and Income Fund Inc. 2009 Semi-Annual
Report
|
LMP CAPITAL AND INCOME FUND INC.
FACE AMOUNT
|
|
|
|
SECURITY
|
|
VALUE
|
|
|
|
|
|
Real Estate Investment Trusts (REITs) 0.1%
|
|
|
|
220,000
|
|
|
|
Forest
City Enterprises Inc., Senior Notes, 6.500% due 2/1/17
|
|
$
|
122,100
|
|
85,000
|
|
|
|
Ventas
Realty LP/Ventas Capital Corp., Senior Notes, 6.500% due 6/1/16
|
|
76,500
|
|
|
|
|
|
Total Real Estate Investment
Trusts (REITs)
|
|
198,600
|
|
|
|
|
|
Real Estate Management & Development 0.1%
|
|
|
|
140,400
|
|
|
|
Ashton
Woods USA LLC, Ashton Woods Finance Co., Senior Subordinated Notes, step bond
to yield 23.322% due 6/30/15
(a)(b)(e)
|
|
52,650
|
|
570,000
|
|
|
|
Realogy
Corp., Senior Subordinated Notes, 12.375% due 4/15/15
|
|
162,450
|
|
|
|
|
|
Total Real Estate
Management & Development
|
|
215,100
|
|
|
|
|
|
TOTAL
FINANCIALS
|
|
21,711,963
|
|
HEALTH
CARE 2.0%
|
|
|
|
|
|
|
|
Health Care Equipment & Supplies 0.1%
|
|
|
|
390,000
|
|
|
|
Biomet
Inc., Senior Notes, 10.375% due 10/15/17
(f)
|
|
379,275
|
|
|
|
|
|
Health Care Providers & Services 1.7%
|
|
|
|
550,000
|
|
|
|
Cardinal
Health Inc., Senior Notes, 5.800% due 10/15/16
|
|
533,147
|
|
730,000
|
|
|
|
DaVita
Inc., Senior Subordinated Notes, 7.250% due 3/15/15
|
|
689,850
|
|
|
|
|
|
HCA
Inc., Senior Secured Notes:
|
|
|
|
800,000
|
|
|
|
9.125% due 11/15/14
|
|
794,000
|
|
977,000
|
|
|
|
9.625% due 11/15/16
(f)
|
|
969,672
|
|
|
|
|
|
Tenet
Healthcare Corp., Senior Notes:
|
|
|
|
400,000
|
|
|
|
7.375% due 2/1/13
|
|
362,000
|
|
525,000
|
|
|
|
9.000% due 5/1/15
(b)
|
|
531,563
|
|
525,000
|
|
|
|
10.000% due 5/1/18
(b)
|
|
553,875
|
|
600,000
|
|
|
|
UnitedHealth
Group Inc., Senior Notes, 5.250% due 3/15/11
|
|
619,472
|
|
1,001,000
|
|
|
|
US
Oncology Holdings Inc., Senior Notes, 7.654% due 3/15/12
(d)(f)
|
|
848,348
|
|
|
|
|
|
WellPoint
Inc.:
|
|
|
|
720,000
|
|
|
|
Senior Notes, 5.000% due 1/15/11
|
|
738,481
|
|
30,000
|
|
|
|
Notes, 5.875% due 6/15/17
|
|
29,407
|
|
|
|
|
|
Total Health Care
Providers & Services
|
|
6,669,815
|
|
|
|
|
|
Pharmaceuticals 0.2%
|
|
|
|
320,000
|
|
|
|
Abbott
Laboratories, Senior Notes, 5.600% due 11/30/17
|
|
343,340
|
|
445,000
|
|
|
|
Leiner
Health Products Inc., Senior Subordinated Notes, 11.000% due 6/1/12
(e)(g)
|
|
2,225
|
|
370,000
|
|
|
|
Wyeth,
Notes, 5.950% due 4/1/37
|
|
384,093
|
|
|
|
|
|
Total Pharmaceuticals
|
|
729,658
|
|
|
|
|
|
TOTAL HEALTH CARE
|
|
7,778,748
|
|
INDUSTRIALS
1.7%
|
|
|
|
|
|
|
|
Aerospace & Defense 0.2%
|
|
|
|
1,809,000
|
|
|
|
Hawker
Beechcraft Acquisition Co., Senior Notes, 8.875% due 4/1/15
(f)
|
|
768,825
|
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
LMP Capital and
Income Fund Inc. 2009 Semi-Annual Report
|
15
|
Schedule of investments
(unaudited)
continued
June 30,
2009
LMP CAPITAL AND INCOME FUND INC.
FACE AMOUNT
|
|
|
|
SECURITY
|
|
VALUE
|
|
|
|
|
|
Airlines 0.2%
|
|
|
|
|
|
|
|
Continental
Airlines Inc., Pass-Through Certificates:
|
|
|
|
85,882
|
|
|
|
8.312% due 4/2/11
|
|
$
|
70,423
|
|
380,000
|
|
|
|
7.339% due 4/19/14
|
|
273,600
|
|
800,000
|
|
|
|
DAE
Aviation Holdings Inc., Senior Notes, 11.250% due 8/1/15
(b)
|
|
468,000
|
|
|
|
|
|
Total Airlines
|
|
812,023
|
|
|
|
|
|
Building Products 0.3%
|
|
|
|
1,110,000
|
|
|
|
Associated
Materials Inc., Senior Subordinated Notes, 9.750% due 4/15/12
|
|
976,800
|
|
1,790,000
|
|
|
|
NTK
Holdings Inc., Senior Discount Notes, step bond to yield 21.028% due 3/1/14
|
|
152,150
|
|
|
|
|
|
Total Building Products
|
|
1,128,950
|
|
|
|
|
|
Commercial Services & Supplies 0.5%
|
|
|
|
220,000
|
|
|
|
Allied
Waste North America Inc., Senior Notes, 6.875% due 6/1/17
|
|
218,128
|
|
275,000
|
|
|
|
DynCorp
International LLC/DIV Capital Corp., Senior Subordinated Notes, 9.500% due
2/15/13
|
|
265,375
|
|
400,000
|
|
|
|
Interface
Inc., Senior Subordinated Notes, 9.500% due 2/1/14
|
|
370,000
|
|
440,000
|
|
|
|
RSC
Equipment Rental Inc., Senior Notes, 9.500% due 12/1/14
|
|
355,300
|
|
790,000
|
|
|
|
US
Investigations Services Inc., Senior Subordinated Notes, 10.500% due 11/1/15
(b)
|
|
647,800
|
|
225,000
|
|
|
|
Waste
Management Inc., Senior Notes, 6.375% due 11/15/12
|
|
239,105
|
|
|
|
|
|
Total Commercial
Services & Supplies
|
|
2,095,708
|
|
|
|
|
|
Road & Rail 0.1%
|
|
|
|
90,000
|
|
|
|
Hertz
Corp., Senior Subordinated Notes, 10.500% due 1/1/16
|
|
80,550
|
|
50,000
|
|
|
|
Kansas
City Southern de Mexico, Senior Notes, 7.625% due 12/1/13
|
|
43,250
|
|
100,000
|
|
|
|
RailAmerica
Inc., Senior Secured Notes, 9.250% due 7/1/17
(b)
|
|
97,000
|
|
|
|
|
|
Total Road & Rail
|
|
220,800
|
|
|
|
|
|
Trading Companies & Distributors 0.3%
|
|
|
|
800,000
|
|
|
|
Ashtead
Capital Inc., Notes, 9.000% due 8/15/16
(b)
|
|
682,000
|
|
440,000
|
|
|
|
H&E
Equipment Services Inc., Senior Notes, 8.375% due 7/15/16
|
|
355,300
|
|
650,000
|
|
|
|
Penhall
International Corp., Senior Secured Notes, 12.000% due 8/1/14
(b)(e)
|
|
237,250
|
|
|
|
|
|
Total Trading
Companies & Distributors
|
|
1,274,550
|
|
|
|
|
|
Transportation Infrastructure 0.1%
|
|
|
|
|
|
|
|
Swift
Transportation Co., Senior Secured Notes:
|
|
|
|
110,000
|
|
|
|
8.633% due 5/15/15
(b)(d)
|
|
36,850
|
|
445,000
|
|
|
|
12.500% due 5/15/17
(b)
|
|
157,975
|
|
|
|
|
|
Total Transportation
Infrastructure
|
|
194,825
|
|
|
|
|
|
TOTAL
INDUSTRIALS
|
|
6,495,681
|
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
16
|
LMP Capital and Income Fund Inc. 2009 Semi-Annual
Report
|
LMP CAPITAL AND INCOME FUND INC.
FACE AMOUNT
|
|
|
|
SECURITY
|
|
VALUE
|
|
INFORMATION
TECHNOLOGY 0.2%
|
|
|
|
|
|
|
|
IT Services 0.1%
|
|
|
|
170,000
|
|
|
|
Ceridian Corp., Senior Notes, 12.250% due 11/15/15
(f)
|
|
$
|
123,463
|
|
360,000
|
|
|
|
First Data Corp., Senior Notes, 9.875% due 9/24/15
|
|
257,400
|
|
|
|
|
|
Total IT Services
|
|
380,863
|
|
|
|
|
|
Office Electronics 0.1%
|
|
|
|
290,000
|
|
|
|
Xerox Corp., Senior Notes, 6.750% due 2/1/17
|
|
264,280
|
|
|
|
|
|
Semiconductors &
Semiconductor Equipment 0.0%
|
|
|
|
35,000
|
|
|
|
Freescale Semiconductor Inc., Senior Notes, 8.875%
due 12/15/14
|
|
17,850
|
|
|
|
|
|
TOTAL
INFORMATION TECHNOLOGY
|
|
662,993
|
|
MATERIALS
1.6%
|
|
|
|
|
|
|
|
Chemicals 0.1%
|
|
|
|
|
|
|
|
Georgia Gulf Corp., Senior Notes:
|
|
|
|
90,000
|
|
|
|
9.500% due 10/15/14
(e)(g)
|
|
27,450
|
|
515,000
|
|
|
|
10.750% due 10/15/16
(e)(g)
|
|
54,075
|
|
360,000
|
|
|
|
PPG Industries Inc., Senior Notes, 6.650% due
3/15/18
|
|
383,365
|
|
|
|
|
|
Total Chemicals
|
|
464,890
|
|
|
|
|
|
Metals & Mining 0.9%
|
|
|
|
170,876
|
|
|
|
Noranda Aluminium Acquisition Corp., Senior Notes, 5.413%
due 5/15/15
(d)(f)
|
|
95,050
|
|
1,940,000
|
|
|
|
Novelis Inc., Senior Notes, 7.250% due 2/15/15
|
|
1,484,100
|
|
700,000
|
|
|
|
Ryerson Inc., Senior Secured Notes, 12.000% due
11/1/15
|
|
574,000
|
|
|
|
|
|
Steel Dynamics Inc., Senior Notes:
|
|
|
|
100,000
|
|
|
|
7.375% due 11/1/12
|
|
95,250
|
|
785,000
|
|
|
|
8.250% due 4/15/16
(b)
|
|
743,787
|
|
|
|
|
|
Teck Resources Ltd., Senior Secured Notes:
|
|
|
|
110,000
|
|
|
|
9.750% due 5/15/14
(b)
|
|
113,959
|
|
100,000
|
|
|
|
10.250% due 5/15/16
(b)
|
|
104,879
|
|
190,000
|
|
|
|
10.750% due 5/15/19
(b)
|
|
204,565
|
|
156,000
|
|
|
|
Vale Overseas Ltd., Notes, 6.875% due 11/21/36
|
|
148,513
|
|
|
|
|
|
Total Metals & Mining
|
|
3,564,103
|
|
|
|
|
|
Paper & Forest Products
0.6%
|
|
|
|
1,640,000
|
|
|
|
Abitibi-Consolidated Co. of Canada, Senior Secured
Notes, 13.750% due 4/1/11
(b)(g)
|
|
1,517,000
|
|
1,185,000
|
|
|
|
Appleton Papers Inc., Senior Subordinated Notes,
9.750% due 6/15/14
(e)
|
|
408,825
|
|
435,000
|
|
|
|
NewPage Corp., Senior Secured Notes, 7.278%
due 5/1/12
(d)
|
|
215,325
|
|
150,000
|
|
|
|
Weyerhaeuser Co., Senior Notes, 6.750% due 3/15/12
|
|
150,145
|
|
|
|
|
|
Total Paper & Forest
Products
|
|
2,291,295
|
|
|
|
|
|
TOTAL
MATERIALS
|
|
6,320,288
|
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
LMP Capital and
Income Fund Inc. 2009 Semi-Annual Report
|
17
|
Schedule of investments
(unaudited)
continued
June 30,
2009
LMP CAPITAL AND INCOME FUND INC.
FACE AMOUNT
|
|
|
|
SECURITY
|
|
VALUE
|
|
TELECOMMUNICATION
SERVICES 2.7%
|
|
|
|
|
|
|
|
Diversified Telecommunication
Services 2.4%
|
|
|
|
|
|
|
|
AT&T Inc.:
|
|
|
|
630,000
|
|
|
|
Global Notes, 5.600% due 5/15/18
|
|
$
|
634,498
|
|
1,210,000
|
|
|
|
Senior Notes, 6.400% due 5/15/38
|
|
1,188,323
|
|
460,000
|
|
|
|
British Telecommunications PLC, Bonds, 9.625% due
12/15/30
|
|
511,205
|
|
600,000
|
|
|
|
Deutsche Telekom International Finance, Senior
Notes, 5.750% due 3/23/16
|
|
615,168
|
|
730,000
|
|
|
|
Embarq Corp., Senior Notes, 6.738% due 6/1/13
|
|
737,517
|
|
660,000
|
|
|
|
Hawaiian Telcom Communications Inc., Senior
Subordinated Notes, 12.500% due 5/1/15
(e)(g)
|
|
66
|
|
680,000
|
|
|
|
Intelsat Bermuda Ltd., Senior Notes, 11.250% due
6/15/16
|
|
697,000
|
|
|
|
|
|
Level 3 Financing Inc., Senior Notes:
|
|
|
|
795,000
|
|
|
|
9.250% due 11/1/14
|
|
655,875
|
|
30,000
|
|
|
|
5.474% due 2/15/15
(d)
|
|
20,550
|
|
1,095,000
|
|
|
|
Nordic Telephone Co. Holdings, Senior Secured
Bonds, 8.875% due 5/1/16
(b)
|
|
1,062,150
|
|
100,000
|
|
|
|
Telecom Italia Capital S.p.A., Senior Notes, 5.250%
due 10/1/15
|
|
96,660
|
|
790,000
|
|
|
|
Telefonica Emisones SAU, Senior Notes, 6.221% due
7/3/17
|
|
837,110
|
|
|
|
|
|
Verizon Communications Inc., Senior Notes:
|
|
|
|
660,000
|
|
|
|
5.500% due 2/15/18
|
|
656,565
|
|
730,000
|
|
|
|
6.400% due 2/15/38
|
|
716,974
|
|
300,000
|
|
|
|
Wind Acquisition Finance SA, Senior Bonds, 10.750%
due 12/1/15
(b)
|
|
301,500
|
|
500,000
|
|
|
|
Windstream Corp., Senior Notes, 8.625% due 8/1/16
|
|
481,250
|
|
|
|
|
|
Total Diversified
Telecommunication Services
|
|
9,212,411
|
|
|
|
|
|
Wireless Telecommunication
Services 0.3%
|
|
|
|
420,000
|
|
|
|
ALLTEL Communications Inc., Senior Notes, 10.375%
due 12/1/17
(b)(f)
|
|
501,078
|
|
25,000
|
|
|
|
MetroPCS Wireless Inc., Senior Notes, 9.250% due
11/1/14
|
|
24,969
|
|
330,000
|
|
|
|
Sprint Capital Corp., Senior Notes, 6.875% due
11/15/28
|
|
235,950
|
|
780,000
|
|
|
|
True Move Co., Ltd., Notes, 10.750% due 12/16/13
(b)
|
|
600,600
|
|
|
|
|
|
Total Wireless Telecommunication
Services
|
|
1,362,597
|
|
|
|
|
|
TOTAL
TELECOMMUNICATION SERVICES
|
|
10,575,008
|
|
UTILITIES
2.4%
|
|
|
|
|
|
|
|
Electric Utilities 0.3%
|
|
|
|
365,000
|
|
|
|
FirstEnergy Corp., Notes, 7.375% due 11/15/31
|
|
345,419
|
|
|
|
|
|
Pacific Gas & Electric Co.:
|
|
|
|
320,000
|
|
|
|
Senior Notes, 5.625% due 11/30/17
|
|
339,283
|
|
230,000
|
|
|
|
Senior Unsubordinated Notes, 5.800% due 3/1/37
|
|
231,945
|
|
707,688
|
|
|
|
Texas Competitive Electric Holdings Co. LLC, Senior
Notes, 10.500% due 11/1/16
(f)
|
|
329,075
|
|
|
|
|
|
Total Electric Utilities
|
|
1,245,722
|
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
18
|
LMP Capital and Income Fund Inc. 2009 Semi-Annual
Report
|
LMP CAPITAL AND INCOME FUND INC.
FACE AMOUNT
|
|
|
|
SECURITY
|
|
VALUE
|
|
|
|
|
|
Gas Utilities 0.2%
|
|
|
|
770,000
|
|
|
|
Suburban
Propane Partners LP/Suburban Energy Finance Corp., Senior Notes, 6.875% due
12/15/13
|
|
$
|
712,250
|
|
|
|
|
|
Independent Power
Producers & Energy Traders 1.9%
|
|
|
|
720,000
|
|
|
|
AES Corp., Senior Notes, 7.750% due 10/15/15
|
|
673,200
|
|
490,000
|
|
|
|
Dynegy Holdings Inc., Senior Notes, 7.750% due
6/1/19
|
|
384,037
|
|
990,000
|
|
|
|
Dynegy Inc., Bonds, 7.670% due 11/8/16
|
|
868,725
|
|
|
|
|
|
Edison Mission Energy, Senior Notes:
|
|
|
|
480,000
|
|
|
|
7.750% due 6/15/16
|
|
393,600
|
|
350,000
|
|
|
|
7.200% due 5/15/19
|
|
262,500
|
|
750,000
|
|
|
|
7.625% due 5/15/27
|
|
483,750
|
|
4,155,200
|
|
|
|
Energy Future Holdings Corp., Senior Notes, 11.250%
due 11/1/17
(f)
|
|
2,555,448
|
|
720,978
|
|
|
|
Mirant Mid Atlantic LLC, Pass-Through Certificates,
10.060% due 12/30/28
|
|
693,040
|
|
1,105,000
|
|
|
|
NRG Energy Inc., Senior Notes, 7.375% due 2/1/16
|
|
1,048,369
|
|
|
|
|
|
Total Independent Power
Producers & Energy Traders
|
|
7,362,669
|
|
|
|
|
|
TOTAL
UTILITIES
|
|
9,320,641
|
|
|
|
|
|
TOTAL
CORPORATE BONDS & NOTES
(Cost $118,579,480)
|
|
91,336,249
|
|
SOVEREIGN
BONDS 0.0%
|
|
|
|
|
|
|
|
Argentina 0.0%
|
|
|
|
22,931
|
ARS
|
|
Republic
of Argentina, GDP Linked Securities, 1.384% due 12/15/35
(d)
(Cost $266)
|
|
260
|
|
U.S.
GOVERNMENT & AGENCY OBLIGATIONS 4.0%
|
|
|
|
|
|
|
|
U.S. Government Agencies 1.3%
|
|
|
|
|
|
|
|
Federal Home Loan Bank (FHLB):
|
|
|
|
3,000,000
|
|
|
|
1.050% due 2/23/10
|
|
3,012,507
|
|
1,770,000
|
|
|
|
Bonds, 1.625% due 7/27/11
|
|
1,780,643
|
|
100,000
|
|
|
|
Global Bonds, 5.500% due 7/15/36
|
|
102,339
|
|
110,000
|
|
|
|
Federal National Mortgage Association (FNMA),
Subordinated Notes, 5.250% due 8/1/12
(c)
|
|
114,382
|
|
|
|
|
|
Total U.S. Government Agencies
|
|
5,009,871
|
|
|
|
|
|
U.S. Government Obligations 2.7%
|
|
|
|
10,500,000
|
|
|
|
U.S. Treasury Notes, 2.250% due 5/31/14
|
|
10,362,167
|
|
|
|
|
|
TOTAL
U.S. GOVERNMENT & AGENCY OBLIGATIONS
(Cost $15,471,226)
|
|
15,372,038
|
|
U.S.
TREASURY INFLATION PROTECTED SECURITIES 0.7%
|
|
|
|
|
|
|
|
U.S. Treasury Bonds, Inflation Indexed:
|
|
|
|
816,460
|
|
|
|
2.000% due 1/15/26
|
|
801,152
|
|
1,998,316
|
|
|
|
2.375% due 1/15/27
(i)
|
|
2,073,252
|
|
|
|
|
|
TOTAL
U.S. TREASURY INFLATION PROTECTED SECURITIES
(Cost $2,758,529)
|
|
2,874,404
|
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
LMP Capital and
Income Fund Inc. 2009 Semi-Annual Report
|
19
|
Schedule of investments
(unaudited)
continued
June 30,
2009
LMP CAPITAL AND INCOME FUND INC.
WARRANTS
|
|
|
|
SECURITY
|
|
VALUE
|
|
WARRANTS
0.0%
|
|
|
|
215
|
|
|
|
Buffets Restaurant Holdings, Expires 4/28/14
(a)(e)
* (Cost $0)
|
|
$ 0
|
|
CONTRACTS
|
|
|
|
PURCHASED
OPTIONS 1.1%
|
|
|
|
551
|
|
|
|
S&P 500 Index, Put @ $800.00, Expires 12/19/09
|
|
1,653,000
|
|
551
|
|
|
|
S&P 500 Index, Put @ $850.00, Expires 12/19/09
|
|
2,507,050
|
|
|
|
|
|
TOTAL
PURCHASED OPTIONS
(Cost $4,730,886)
|
|
4,160,050
|
|
|
|
|
|
TOTAL
INVESTMENTS BEFORE SHORT-TERM INVESTMENTS
(Cost $468,520,956)
|
|
379,066,705
|
|
FACE
AMOUNT
|
|
|
|
|
|
|
|
SHORT-TERM
INVESTMENTS 2.7%
|
|
|
|
|
|
|
|
U.S. Government Obligation 1.0%
|
|
|
|
3,800,000
|
|
|
|
U.S. Treasury Bills, 0.267% due 11/12/09
(j)
(Cost $3,796,231)
|
|
3,796,747
|
|
|
|
|
|
Repurchase Agreements 1.7%
|
|
|
|
3,557,000
|
|
|
|
Interest
in $489,946,000 joint tri-party repurchase agreement dated 6/30/09 with
Greenwich Capital Markets Inc., 0.080% due 7/1/09; Proceeds at maturity
$3,557,008; (Fully collateralized by various U.S. government agency
obligations, 1.750% to 6.625% due 8/18/09 to 2/20/29; Market value
$3,628,159)
|
|
3,557,000
|
|
3,337,000
|
|
|
|
Morgan
Stanley tri-party repurchase agreement dated 6/30/09, 0.030% due 7/1/09;
Proceeds at maturity $3,337,003; (Fully collateralized by U.S. government
agency obligations, 3.000% due 4/21/14; Market value $3,445,084)
|
|
3,337,000
|
|
|
|
|
|
Total Repurchase Agreements (Cost
$6,894,000)
|
|
6,894,000
|
|
|
|
|
|
TOTAL SHORT-TERM INVESTMENTS (Cost $10,690,231)
|
|
10,690,747
|
|
|
|
|
|
TOTAL INVESTMENTS 100.0% (Cost $479,211,187#)
|
|
$389,757,452
|
|
|
Face
amount denominated in U.S. dollars, unless otherwise noted.
|
|
Under
the Statement of Financial Accounting Standards No. 157 (FAS 157), all
securities are deemed Level 2. Please refer to Note 1 of the Notes to
Financial Statements.
|
*
|
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)
|
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.
|
(c)
|
On
September 7, 2008, the Federal Housing Finance Agency placed Fannie Mae
and Freddie Mac into conservatorship.
|
(d)
|
Variable
rate security. Interest rate disclosed is that which is in effect at
June 30, 2009.
|
(e)
|
Illiquid
security.
|
(f)
|
Payment-in-kind
security for which part of the income earned may be paid as additional
principal.
|
(g)
|
Security
is currently in default.
|
(h)
|
Security
has no maturity date. The date shown represents the next call date.
|
(i)
|
All
or a portion of this security is held at the broker as collateral for open
futures contracts.
|
(j)
|
Rate
shown represents yield-to-maturity.
|
#
|
Aggregate
cost for federal income tax purposes is substantially the same.
|
See Notes to Financial Statements.
20
|
LMP Capital and Income Fund Inc. 2009 Semi-Annual
Report
|
LMP CAPITAL AND INCOME FUND INC.
Abbreviations
used in this schedule:
ADR
|
|
American
Depositary Receipt
|
ARM
|
|
Adjustable
Rate Mortgage
|
ARS
|
|
Argentine
Peso
|
GDP
|
|
Gross
Domestic Product
|
GMAC
|
|
General
Motors Acceptance Corp.
|
GSAMP
|
|
Goldman
Sachs Alternative Mortgage Products
|
MASTR
|
|
Mortgage
Asset Securitization Transactions Inc.
|
MLCC
|
|
Merrill
Lynch Credit Corporation
|
PAC
|
|
Planned
Amortization Class
|
SCHEDULE OF WRITTEN OPTIONS
CONTRACTS
|
|
SECURITY
|
|
EXPIRATION
DATE
|
|
STRIKE
PRICE
|
|
VALUE
|
|
116
|
|
Air
Products & Chemicals Inc., Call
|
|
1/16/10
|
|
|
$ 55.00
|
|
|
$ 143,840
|
|
120
|
|
Alcon
Inc., Call
|
|
1/16/10
|
|
|
100.00
|
|
|
246,600
|
|
1,036
|
|
American
Tower Corp., Call
|
|
1/16/10
|
|
|
30.00
|
|
|
433,048
|
|
900
|
|
Charles
Schwab Corp., Call
|
|
1/16/10
|
|
|
17.50
|
|
|
182,250
|
|
885
|
|
Commercial
Metals Co., Call
|
|
1/16/10
|
|
|
15.00
|
|
|
283,200
|
|
294
|
|
Devon
Energy Corp., Call
|
|
1/16/10
|
|
|
50.00
|
|
|
264,600
|
|
2,233
|
|
EMC
Corp., Call
|
|
1/16/10
|
|
|
12.50
|
|
|
393,008
|
|
10
|
|
Eurodollar
Futures, Call
|
|
9/14/09
|
|
|
99.25
|
|
|
3,875
|
|
1,534
|
|
Invesco
Ltd., Call
|
|
10/17/09
|
|
|
17.50
|
|
|
322,140
|
|
195
|
|
Johnson &
Johnson, Call
|
|
10/16/10
|
|
|
50.00
|
|
|
144,300
|
|
656
|
|
Kraft
Foods Inc., Call
|
|
1/16/10
|
|
|
25.00
|
|
|
118,080
|
|
185
|
|
L-3
Communications Holdings Corp., Call
|
|
1/16/10
|
|
|
70.00
|
|
|
92,870
|
|
174
|
|
L-3
Communications Holdings Corp., Call
|
|
1/16/10
|
|
|
60.00
|
|
|
200,100
|
|
590
|
|
Novartis
AG, Call
|
|
1/16/10
|
|
|
40.00
|
|
|
206,500
|
|
988
|
|
Oracle
Corp., Call
|
|
1/16/10
|
|
|
17.50
|
|
|
463,372
|
|
1,080
|
|
Travelers
Cos. Inc., Call
|
|
1/16/10
|
|
|
40.00
|
|
|
469,800
|
|
378
|
|
United
Technologies Corp., Call
|
|
1/16/10
|
|
|
45.00
|
|
|
330,750
|
|
1,190
|
|
Walt
Disney Co., Call
|
|
1/16/10
|
|
|
17.50
|
|
|
761,600
|
|
|
|
TOTAL
WRITTEN OPTIONS (Premium Received $5,923,926)
|
|
|
|
|
$5,059,933
|
|
See Notes to Financial Statements.
LMP Capital and
Income Fund Inc. 2009 Semi-Annual Report
|
21
|
Statement of assets and liabilities
(unaudited)
June 30,
2009
ASSETS:
|
|
|
|
Investments, at value (Cost $479,211,187)
|
|
$ 389,757,452
|
|
Foreign currency, at value (Cost $71,307)
|
|
76,877
|
|
Cash
|
|
56,244
|
|
Dividends and interest receivable
|
|
2,846,978
|
|
Receivable for securities sold
|
|
520,885
|
|
Receivable for open forward currency contracts
|
|
413,878
|
|
Cash deposits with brokers for open futures
contracts
|
|
45,029
|
|
Prepaid expenses
|
|
129,715
|
|
Total Assets
|
|
393,847,058
|
|
LIABILITIES:
|
|
|
|
Loan payable (Note 5)
|
|
60,000,000
|
|
Written options, at value (premium received
$5,923,926)
|
|
5,059,933
|
|
Payable for securities purchased
|
|
2,513,732
|
|
Payable for open forward currency contracts
|
|
446,552
|
|
Investment management fee payable
|
|
271,719
|
|
Interest payable (Note 5)
|
|
35,318
|
|
Payable to broker variation margin on open
futures contracts
|
|
26,238
|
|
Directors fees payable
|
|
25,777
|
|
Accrued expenses and other liabilities
|
|
166,512
|
|
Total Liabilities
|
|
68,545,781
|
|
Total Net Assets
|
|
$ 325,301,277
|
|
NET ASSETS:
|
|
|
|
Par value ($0.001 par value; 29,964,106 shares
issued and outstanding; 100,000,000 shares authorized)
|
|
$ 29,964
|
|
Paid-in capital in excess of par value
|
|
559,713,252
|
|
Undistributed net investment income
|
|
4,033,434
|
|
Accumulated
net realized loss on investments, futures contracts, written options, swap
contracts and foreign currency transactions
|
|
(149,701,399
|
)
|
Net unrealized depreciation on investments, futures
contracts, written options and foreign currencies
|
|
(88,773,974
|
)
|
TOTAL NET ASSETS
|
|
$ 325,301,277
|
|
Shares Outstanding
|
|
29,964,106
|
|
Net Asset Value
|
|
$10.86
|
|
See Notes to Financial Statements.
22
|
LMP Capital and Income Fund Inc. 2009 Semi-Annual
Report
|
Statement of operations
(unaudited)
For the
Six Months Ended June 30, 2009
INVESTMENT INCOME:
|
|
|
|
Interest
|
|
$ 6,662,084
|
|
Dividends
|
|
2,928,825
|
|
Less: Foreign taxes withheld
|
|
(109,193
|
)
|
Total Investment Income
|
|
9,481,716
|
|
EXPENSES:
|
|
|
|
Investment management fee (Note 2)
|
|
1,573,505
|
|
Interest expense (Note 5)
|
|
528,640
|
|
Commitment fees (Note 5)
|
|
175,167
|
|
Shareholder reports
|
|
76,946
|
|
Directors fees
|
|
48,100
|
|
Legal fees
|
|
44,552
|
|
Audit and tax
|
|
39,548
|
|
Stock exchange listing fees
|
|
10,950
|
|
Transfer agent fees
|
|
9,043
|
|
Custody fees
|
|
5,064
|
|
Insurance
|
|
5,036
|
|
Miscellaneous expenses
|
|
4,014
|
|
Total Expenses
|
|
2,520,565
|
|
NET INVESTMENT INCOME
|
|
6,961,151
|
|
REALIZED
AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, WRITTEN
OPTIONS, SWAP CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS (NOTES 1 AND 3):
|
|
|
|
Net Realized Gain (Loss) From:
|
|
|
|
Investment transactions
|
|
(62,778,421
|
)
|
Futures contracts
|
|
1,084,439
|
|
Written options
|
|
(3,525,663
|
)
|
Swap contracts
|
|
66,159
|
|
Foreign currency transactions
|
|
(350,078
|
)
|
Net Realized Loss
|
|
(65,503,564
|
)
|
Change in Net Unrealized Appreciation/Depreciation
From:
|
|
|
|
Investments
|
|
90,767,330
|
|
Futures contracts
|
|
(1,583,272
|
)
|
Written options
|
|
936,751
|
|
Swap contracts
|
|
(69,545
|
)
|
Foreign currencies
|
|
(89,287
|
)
|
Change in Net Unrealized
Appreciation/Depreciation
|
|
89,961,977
|
|
NET
GAIN ON INVESTMENTS, FUTURES CONTRACTS, WRITTEN OPTIONS, SWAP CONTRACTS AND
FOREIGN CURRENCY TRANSACTIONS
|
|
24,458,413
|
|
INCREASE IN NET ASSETS FROM OPERATIONS
|
|
$ 31,419,564
|
|
See Notes to Financial Statements.
LMP Capital and
Income Fund Inc. 2009 Semi-Annual Report
|
23
|
Statements of changes in net assets
FOR
THE SIX MONTHS ENDED JUNE 30, 2009 (unaudited),
THE PERIOD ENDED DECEMBER 31, 2008 AND
THE YEAR ENDED OCTOBER 31, 2008
|
|
2009
|
|
December 31,
2008
|
|
October 31,
2008
|
|
OPERATIONS:
|
|
|
|
|
|
|
|
Net investment income
|
|
$ 6,961,151
|
|
$ 3,329,527
|
|
$ 9,286,030
|
|
Net realized loss
|
|
(65,503,564
|
)
|
(26,363,732
|
)
|
(56,809,985
|
)
|
Change in net unrealized appreciation/depreciation
|
|
89,961,977
|
|
(2,491,378
|
)
|
(208,463,473
|
)
|
Increase (Decrease) in Net Assets
From Operations
|
|
31,419,564
|
|
(25,525,583
|
)
|
(255,987,428
|
)
|
DISTRIBUTIONS TO SHAREHOLDERS FROM (NOTE 1):
|
|
|
|
|
|
|
|
Net investment income
|
|
(7,790,667
|
)
|
(8,389,950
|
)
|
(6,133,652
|
)
|
Net realized gains
|
|
|
|
|
|
(90,051,127
|
)
|
Decrease in Net Assets From
Distributions to Shareholders
|
|
(7,790,667
|
)
|
(8,389,950
|
)
|
(96,184,779
|
)
|
INCREASE (DECREASE) IN NET ASSETS
|
|
23,628,897
|
|
(33,915,533
|
)
|
(352,172,207
|
)
|
NET ASSETS:
|
|
|
|
|
|
|
|
Beginning of period
|
|
301,672,380
|
|
335,587,913
|
|
687,760,120
|
|
End of period*
|
|
$325,301,277
|
|
$301,672,380
|
|
$ 335,587,913
|
|
*
Includes undistributed net investment income of:
|
|
$4,033,434
|
|
$4,862,950
|
|
$9,656,195
|
|
For
the period November 1, 2008 through December 31, 2008.
See Notes to Financial Statements.
24
|
LMP Capital and Income Fund Inc. 2009 Semi-Annual
Report
|
Statement of cash flows
(unaudited)
For the
Six Months Ended June 30, 2009
CASH FLOWS PROVIDED (USED) BY OPERATING ACTIVITIES:
|
|
|
|
Interest and dividends received
|
|
$ 10,032,445
|
|
Operating expenses paid
|
|
(1,925,278
|
)
|
Interest paid
|
|
(575,041
|
)
|
Net sales and maturities of short-term investments
|
|
37,067,041
|
|
Realized gain on futures contracts
|
|
1,084,439
|
|
Realized loss on options
|
|
(6,229,357
|
)
|
Realized gain on swap contracts
|
|
66,159
|
|
Realized loss on foreign currency transactions
|
|
(350,078
|
)
|
Net change in unrealized depreciation on futures
contracts
|
|
(1,583,272
|
)
|
Net change in unrealized depreciation on foreign
currencies
|
|
(89,287
|
)
|
Purchases of long-term investments
|
|
(173,536,997
|
)
|
Proceeds from disposition of long-term investments
|
|
176,734,745
|
|
Premium for written options
|
|
5,923,926
|
|
Change in payable to broker variation margin
|
|
4,221
|
|
Change in receivable/payable for open forward
currency contracts
|
|
94,746
|
|
Change in interest payable for open swap contracts
|
|
(2,997
|
)
|
Net Cash Provided By Operating
Activities
|
|
46,715,415
|
|
CASH FLOWS PROVIDED (USED) BY FINANCING ACTIVITIES:
|
|
|
|
Cash distributions paid on Common Stock
|
|
(7,790,667
|
)
|
Paydown on loan
|
|
(40,000,000
|
)
|
Cash deposits with brokers for futures and swap
contracts
|
|
199,702
|
|
Net Cash Used By Financing
Activities
|
|
(47,590,965
|
)
|
NET DECREASE IN CASH
|
|
(875,550
|
)
|
Cash, Beginning of year
|
|
1,008,671
|
|
Cash, End of year
|
|
$ 133,121
|
|
RECONCILIATION
OF INCREASE IN NET ASSETS FROM OPERATIONS TO NET CASH FLOWS PROVIDED (USED)
BY OPERATING ACTIVITIES:
|
|
|
|
Increase in Net Assets From Operations
|
|
$ 31,419,564
|
|
Accretion of discount on investments
|
|
(785,468
|
)
|
Amortization of premium on investments
|
|
116,555
|
|
Decrease in investments, at value
|
|
7,665,196
|
|
Increase in payable for securities purchased
|
|
1,519,631
|
|
Decrease in interest and dividends receivable
|
|
1,219,642
|
|
Increase in premium for written options
|
|
5,903,759
|
|
Decrease in premium for written swaps
|
|
1,648
|
|
Decrease in interest payable for open swap
contracts
|
|
(2,997
|
)
|
Increase in receivable for securities sold
|
|
(461,328
|
)
|
Increase in payable for open forward currency
contracts
|
|
94,746
|
|
Increase in payable to broker variation margin
|
|
4,221
|
|
Decrease in prepaid expenses
|
|
116,272
|
|
Decrease in interest payable
|
|
(46,401
|
)
|
Decrease in accrued expenses
|
|
(49,625
|
)
|
Total Adjustments
|
|
15,295,851
|
|
NET CASH FLOWS PROVIDED BY OPERATING ACTIVITIES
|
|
$ 46,715,415
|
|
See Notes to Financial Statements.
LMP Capital and
Income Fund Inc. 2009 Semi-Annual Report
|
25
|
Financial highlights
FOR A SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH YEAR
ENDED DECEMBER 31, UNLESS OTHERWISE NOTED:
|
|
2009
1
|
|
2008
2,3
|
|
2008
2
|
|
2007
2
|
|
2006
2
|
|
2005
2
|
|
2004
2,4
|
|
NET ASSET VALUE, BEGINNING OF PERIOD
|
|
$10.07
|
|
$11.20
|
|
$22.95
|
|
$21.15
|
|
$19.69
|
|
$18.64
|
|
$19.06
|
5
|
INCOME
(LOSS) FROM OPERATIONS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
0.23
|
|
0.11
|
|
0.31
|
|
0.13
|
|
0.48
|
|
0.69
|
|
0.37
|
|
Net realized and unrealized gain (loss)
|
|
0.82
|
|
(0.96
|
)
|
(8.85
|
)
|
3.22
|
|
2.18
|
|
1.52
|
|
(0.19
|
)
|
Total income (Loss) from operations
|
|
1.05
|
|
(0.85
|
)
|
(8.54
|
)
|
3.35
|
|
2.66
|
|
2.21
|
|
0.18
|
|
Gain from Repurchase of Treasury Stock
|
|
|
|
|
|
|
|
|
|
|
|
0.04
|
|
|
|
LESS DISTRIBUTIONS FROM:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
(0.26
|
)
|
(0.28
|
)
|
(0.20
|
)
|
(0.01
|
)
|
(0.55
|
)
|
(0.98
|
)
|
(0.40
|
)
|
Net realized gains
|
|
|
|
|
|
(3.01
|
)
|
(1.54
|
)
|
(0.65
|
)
|
(0.22
|
)
|
|
|
Return of capital
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(0.20
|
)
|
Total Distributions
|
|
(0.26
|
)
|
(0.28
|
)
|
(3.21
|
)
|
(1.55
|
)
|
(1.20
|
)
|
(1.20
|
)
|
(0.60
|
)
|
NET ASSET VALUE, END OF PERIOD
|
|
$10.86
|
|
$10.07
|
|
$11.20
|
|
$22.95
|
|
$21.15
|
|
$19.69
|
|
$18.64
|
|
MARKET PRICE, END OF PERIOD
|
|
$8.60
|
|
$7.73
|
|
$9.07
|
|
$19.88
|
|
$18.19
|
|
$17.19
|
|
$17.24
|
|
Total return, based on NAV
6,7
|
|
10.68
|
%
|
(7.43
|
)
%
|
(42.09
|
)
%
|
16.32
|
%
|
13.89
|
%
|
12.34
|
%
|
1.06
|
%
|
Total return, based on Market Price Per Share
7
|
|
15.01
|
%
|
(11.44
|
)
%
|
(44.95
|
)
%
|
18.22
|
%
|
13.24
|
%
|
6.85
|
%
|
(10.74
|
)
%
|
NET ASSETS, END OF PERIOD (000s)
|
|
$325,301
|
|
$301,672
|
|
$335,588
|
|
$687,760
|
|
$633,888
|
|
$637,654
|
|
$614,324
|
|
RATIOS TO AVERAGE NET ASSETS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gross expenses
|
|
1.69
|
%
8
|
3.10
|
%
8
|
2.72
|
%
|
3.03
|
%
9
|
3.13
|
%
|
2.45
|
%
|
1.54
|
%
8
|
Gross expenses, excluding interest and dividend expense
|
|
1.34
|
8
|
1.70
|
8
|
1.46
|
|
1.42
|
9
|
1.33
|
|
1.23
|
|
1.15
|
8
|
Net expenses
|
|
1.69
|
8
|
3.10
|
8
|
2.72
|
10
|
3.03
|
9,11
|
3.13
|
11
|
2.45
|
|
1.54
|
8
|
Net expenses, excluding interest and dividend expense
|
|
1.34
|
8
|
1.70
|
8
|
1.46
|
10
|
1.42
|
9,11
|
1.33
|
11
|
1.23
|
|
1.15
|
8
|
Net investment income
|
|
4.67
|
8
|
6.74
|
8
|
1.73
|
|
0.60
|
|
2.33
|
|
3.55
|
|
2.97
|
8
|
PORTFOLIO TURNOVER RATE
|
|
50
|
%
|
8
|
%
|
169
|
%
12
|
180
|
%
|
193
|
%
|
64
|
%
|
39
|
%
|
SUPPLEMENTAL DATA:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Loans Outstanding, End of Period (000s)
|
|
$60,000
|
|
$100,000
|
|
$145,000
|
|
$170,000
|
|
$220,000
|
|
$220,000
|
|
$220,000
|
|
Asset Coverage for Loan Outstanding
|
|
642
|
%
|
402
|
%
|
331
|
%
|
505
|
%
|
388
|
%
|
390
|
%
|
379
|
%
|
Weighted Average Loan (000s)
|
|
$72,486
|
|
$123,361
|
|
$168,497
|
|
$181,370
|
|
$220,000
|
|
$220,000
|
|
$105,783
|
|
Weighted Average Interest Rate on Loans
|
|
1.46
|
%
|
3.35
|
%
|
3.89
|
%
|
5.67
|
%
|
5.26
|
%
|
3.54
|
%
|
2.22
|
%
|
1
|
For
the six months ended June 30, 2009 (unaudited).
|
2
|
Per
share amounts have been calculated using the average shares method.
|
3
|
For
the period November 1, 2008 through December 31, 2008.
|
See Notes to Financial Statements.
26
|
|
LMP Capital and Income
Fund Inc. 2009 Semi-Annual Report
|
4
|
For
the period February 24, 2004 (inception date) through October 31,
2004.
|
5
|
Initial
public offering price of $20.00 per share less offering costs and sales load
totaling $0.94 per share.
|
6
|
Performance
figures may reflect fee waivers and/or expense reimbursements. In the absence
of fee waivers and/or expense reimbursements, the total return would have
been lower. Past performance is no guarantee of future results. Total returns
for periods of less than one year are not annualized.
|
7
|
The
total return calculation assumes that distributions are reinvested in
accordance with the Funds dividend reinvestment plan. Past performance is no
guarantee of future results. Total returns for periods of less than one year
are not annualized.
|
8
|
Annualized.
|
9
|
Included
in the expense ratios are certain non-recurring restructuring (and
reorganization, if applicable) fees that were incurred by the Fund during the
period. Without these fees, the gross and net expense ratios would not have
changed.
|
10
|
The
impact to the expense ratio was less than 0.01% as a result of fees paid
indirectly.
|
11
|
Reflects
fee waivers and/or expense reimbursements.
|
12
|
Excluding
mortgage dollar roll transactions. If mortgage dollar roll transactions had
been included, the portfolio turnover rate would have been 177% for the year
ended October 31, 2008.
|
|
For
the year ended October 31.
|
See Notes to Financial Statements.
LMP Capital and
Income Fund Inc. 2009 Semi-Annual Report
|
|
27
|
Notes to financial statements
(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 Board of Directors 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 broad 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).
Estimates and assumptions are required to be made regarding assets, liabilities
and changes in net assets resulting from operations when financial statements
are prepared. Changes in the economic environment, financial markets and any
other parameters used in determining these estimates could cause actual results
to differ. Subsequent events have been evaluated through August 24, 2009, the
issuance date of the financial statements.
(a) Investment 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.
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 last quoted bid and asked prices as of the close of business of
that market. Futures contracts are valued daily at the settlement price
established by the board of trade or exchange on which they are traded. 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 securities at fair value as determined in accordance with the procedures
approved by the Funds Board of Directors. Fair valuing of securities may also
be determined with the assistance of a pricing service using calculations based
on indices of domestic securities and other appropriate indicators, such as
prices of relevant American depository receipts (ADRs) and futures contracts.
Short-term obligations with maturities of 60 days or less are valued at
amortized cost, which approximates fair value.
The
Fund adopted Statement of Financial Accounting Standards No. 157 (FAS 157).
FAS 157 establishes a single definition of fair value, creates a three-tier
hierarchy as a framework for measuring fair value based on inputs
28
|
LMP Capital and Income Fund Inc. 2009 Semi-Annual
Report
|
used
to value the Funds investments, and requires additional disclosure about fair
value. The hierarchy of inputs is summarized below.
·
Level 1 quoted
prices in active markets for identical investments
·
Level 2 other
significant observable inputs (including quoted prices for similar investments,
interest rates, prepayment speeds, credit risk, etc.)
·
Level 3
significant unobservable inputs (including the Funds own assumptions in
determining the fair value of investments)
The
inputs or methodology used for valuing securities are not necessarily an
indication of the risk associated with investing in those securities.
The
following is a summary of the inputs used in valuing the Funds assets carried
at fair value:
|
|
QUOTED PRICES
(LEVEL 1)
|
|
OTHER
SIGNIFICANT
OBSERVABLE
INPUTS
(LEVEL 2)
|
|
SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3)
|
|
TOTAL
|
|
Common stocks:
|
|
|
|
|
|
|
|
|
|
Consumer discretionary
|
|
$ 10,729,056
|
|
|
$ 4,084,632
|
|
|
$ 438
|
|
|
$ 14,814,126
|
|
|
Consumer staples
|
|
28,852,042
|
|
|
|
|
|
|
|
|
28,852,042
|
|
|
Energy
|
|
35,973,765
|
|
|
|
|
|
|
|
|
35,973,765
|
|
|
Financials
|
|
40,925,165
|
|
|
|
|
|
|
|
|
40,925,165
|
|
|
Health care
|
|
24,201,808
|
|
|
|
|
|
|
|
|
24,201,808
|
|
|
Industrials
|
|
30,086,229
|
|
|
|
|
|
|
|
|
30,086,229
|
|
|
Information technology
|
|
36,184,250
|
|
|
|
|
|
|
|
|
36,184,250
|
|
|
Materials
|
|
16,375,031
|
|
|
|
|
|
|
|
|
16,375,031
|
|
|
Telecommunication services
|
|
7,094,880
|
|
|
|
|
|
|
|
|
7,094,880
|
|
|
Convertible preferred stocks:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy
|
|
|
|
|
2,480,800
|
|
|
|
|
|
2,480,800
|
|
|
Materials
|
|
|
|
|
4,073,405
|
|
|
|
|
|
4,073,405
|
|
|
Preferred stocks
|
|
55,775
|
|
|
347,971
|
|
|
|
|
|
403,746
|
|
|
Asset-backed securities
|
|
|
|
|
4,326,077
|
|
|
|
|
|
4,326,077
|
|
|
Collateralized mortgage obligations
|
|
|
|
|
7,835,862
|
|
|
|
|
|
7,835,862
|
|
|
Collateralized senior loans
|
|
|
|
|
10,376,677
|
|
|
|
|
|
10,376,677
|
|
|
Convertible bond & note
|
|
|
|
|
1,319,841
|
|
|
|
|
|
1,319,841
|
|
|
Corporate bonds & notes
|
|
|
|
|
91,283,599
|
|
|
52,650
|
|
|
91,336,249
|
|
|
Sovereign bond
|
|
|
|
|
260
|
|
|
|
|
|
260
|
|
|
U.S. government & agency obligations
|
|
|
|
|
15,372,038
|
|
|
|
|
|
15,372,038
|
|
|
U.S. treasury inflation protected securities
|
|
|
|
|
2,874,404
|
|
|
|
|
|
2,874,404
|
|
|
LMP Capital and
Income Fund Inc. 2009 Semi-Annual Report
|
29
|
Notes to financial statements
(unaudited)
continued
|
|
QUOTED PRICES
(LEVEL 1)
|
|
OTHER
SIGNIFICANT
OBSERVABLE
INPUTS
(LEVEL 2)
|
|
SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3)
|
|
TOTAL
|
|
Warrants
|
|
|
|
|
|
|
|
$ 0
|
|
|
$ 0
|
|
|
Purchased options
|
|
$ 4,160,050
|
|
|
|
|
|
|
|
|
4,160,050
|
|
|
Total long-term investments
|
|
234,638,051
|
|
|
$144,375,566
|
|
|
53,088
|
|
|
379,066,705
|
|
|
Short-term investments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. government obligation
|
|
|
|
|
3,796,747
|
|
|
|
|
|
3,796,747
|
|
|
Repurchase agreements
|
|
|
|
|
6,894,000
|
|
|
|
|
|
6,894,000
|
|
|
Total short-term investments
|
|
|
|
|
10,690,747
|
|
|
|
|
|
10,690,747
|
|
|
Total investments
|
|
234,638,051
|
|
|
155,066,313
|
|
|
53,088
|
|
|
389,757,452
|
|
|
Other financial instruments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Written options
|
|
(5,059,933
|
)
|
|
|
|
|
|
|
|
(5,059,933
|
)
|
|
Futures contracts
|
|
(157,128
|
)
|
|
|
|
|
|
|
|
(157,128
|
)
|
|
Forward currency contracts
|
|
|
|
|
(32,674
|
)
|
|
|
|
|
(32,674
|
)
|
|
Total Other financial instruments
|
|
(5,217,061
|
)
|
|
(32,674
|
)
|
|
|
|
|
(5,249,735
|
)
|
|
Total
|
|
$229,420,990
|
|
|
$155,033,639
|
|
|
$53,088
|
|
|
$384,507,717
|
|
|
See Schedule of Investments for additional detailed categorizations.
Following
is a reconciliation of investments in which significant unobservable inputs
(Level 3) were used in determining fair value:
|
|
COMMON STOCKS
CONSUMER
DISCRETIONARY
|
|
WARRANTS
|
|
CORPORATE
BONDS AND
NOTES
|
|
TOTAL
|
|
Balance as of December 31, 2008
|
|
$ 1
|
|
|
$ 0
|
|
|
$ 70,716
|
|
|
$ 70,717
|
|
|
Accrued premiums/discounts
|
|
|
|
|
|
|
|
4,086
|
|
|
4,086
|
|
|
Realized gain (loss)
1
|
|
(498,745
|
)
|
|
|
|
|
62
|
|
|
(498,683
|
)
|
|
Change in unrealized appreciation (depreciation)
2
|
|
244,347
|
|
|
|
|
|
3,966
|
|
|
248,313
|
|
|
Net purchases (sales)
|
|
254,835
|
|
|
|
|
|
44,243
|
|
|
299,078
|
|
|
Transfers in and/or out of Level 3
|
|
|
|
|
|
|
|
(70,423
|
)
|
|
(70,423
|
)
|
|
Balance as of June 30, 2009
|
|
$ 438
|
|
|
$ 0
|
|
|
$ 52,650
|
|
|
$ 53,088
|
|
|
Net unrealized appreciation (depreciation) for
investments in securities still held at June 30, 2009
2
|
|
$(254,145
|
)
|
|
$ 0
|
|
|
$ (3,922
|
)
|
|
$(258,067
|
)
|
|
1
This amount is included in net realized gain (loss)
from investment transactions in the accompanying Statement of Operations.
2
This amount is included in the change in net
unrealized appreciation (depreciation) in the accompanying Statement of
Operations. 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.
30
|
LMP Capital and Income Fund Inc. 2009 Semi-Annual
Report
|
(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 daily 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
subtracted from 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) Futures contracts.
The Fund may use futures
contracts to gain exposure to, or hedge against, changes in the value of
equities, interest rates or foreign currencies. A futures contract represents a
commitment for the future purchase or sale of an asset at a specified price on
a specified date.
Upon
entering into a futures contract, the Fund is required to deposit with a broker
cash or cash equivalents in an amount equal to a certain percentage of the
contract amount. This is known as the initial margin. Subsequent payments (variation
margin) are made or received by the Fund each day, depending on the daily
fluctuation in the value of the contract. For certain futures including foreign
denominated futures, variation margin is not settled
LMP Capital and
Income Fund Inc. 2009 Semi-Annual Report
|
31
|
Notes to financial statements
(unaudited)
continued
daily,
but is recorded as a net variation margin payable or receivable. Futures
contracts are valued daily at the settlement price established by the board of
trade or exchange on which they are traded. The daily changes in contract value
are recorded as unrealized gains or losses in the Statement of Operations and
the Fund recognizes a realized gain or loss when the contract is closed.
Futures
contracts involve, to varying degrees, risk of loss in excess of the amounts
reflected in the financial statements. 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.
(e) Inflation-indexed bonds.
Inflation-indexed bonds are
fixed income securities whose principal value or interest rate is periodically
adjusted according to the rate of inflation. If the index measuring inflation
falls, the principal value or interest rate of inflation-indexed bonds will be
adjusted downward, and consequently the interest payable on these securities
(calculated with respect to a smaller principal amount or lower interest rate)
will be reduced. Inflation adjustments to the principal amount of
inflation-indexed bonds are reflected as an increase or decrease to investment
income on the Statement of Operations. Repayment of the original bond principal
upon maturity (as adjusted for inflation) is guaranteed in the case of U.S.
Treasury inflation-indexed bonds. For bonds that do not provide a similar
guarantee, the adjusted principal value of the bond repaid at maturity may be
less than the original principal.
(f) 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.
Forward
foreign currency contracts involve elements of market risk in excess of the
amounts reflected in the Statement of Assets and Liabilities. 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.
(g) Swap agreements.
The Fund may invest in swaps
for the purpose of managing their exposure to interest rate, credit or market
risk, or for other purposes. The use of swaps involves risks that are different
from those associated with ordinary portfolio transactions.
32
|
LMP Capital and Income Fund Inc. 2009 Semi-Annual
Report
|
Credit Default Swaps
The
Fund may enter into credit default swap (CDS) contracts for investment
purposes, to manage its credit risk or to add leverage. CDS agreements involve
one party making a stream of payments to another party in exchange for the right
to receive a specified return in the event of a default by a third party,
typically corporate or sovereign issuers, on a specified obligation, or in the
event of a write-down, principal shortfall, interest shortfall or default of
all or part of the referenced entities comprising a credit index. The Fund may
use a CDS to provide protection against defaults of the issuers (i.e., to
reduce risk where a Fund has exposure to a sovereign issuer) or to take an
active long or short position with respect to the likelihood of a particular
issuers default. As a seller of protection, the Fund generally receives an
upfront payment or a stream of payments throughout the term of the swap
provided that there is no credit event. If the Fund is a seller of protection
and a credit event occurs, as defined under the terms of that particular swap
agreement, the maximum potential amount of future payments (undiscounted) that
the Fund could be required to make under a credit default swap agreement would
be an amount equal to the notional amount of the agreement. These amounts of
potential payments will be partially offset by any recovery of values from the
respective referenced obligations. As a seller of protection, the Fund
effectively adds leverage to its portfolio because, in addition to its total
net assets, the Fund would be subject to investment exposure on the notional
amount of the swap. As a buyer of protection, the Fund generally receives an
amount up to the notional value of the swap if a credit event occurs.
Implied
spreads are the theoretical prices a lender receives for credit default
protection. When spreads rise, market perceived credit risk rises and when
spreads fall, market perceived credit risk falls. The implied credit spread of
a particular referenced entity reflects the cost of buying/selling protection
and may include upfront payments required to enter into the agreement. Wider
credit spreads and decreasing market values, when compared to the notional
amount of the swap, represent a deterioration of the referenced entitys credit
soundness and a greater likelihood or risk of default or other credit event
occurring as defined under the terms of the agreement. Credit spreads utilized
in determining the period end market value of credit default swap agreements on
corporate or sovereign issues are disclosed in the Notes to Financial
Statements and serve as an indicator of the current status of the
payment/performance risk and represent the likelihood or risk of default for
credit derivatives. For credit default swap agreements on asset-backed
securities and credit indices, the quoted market prices and resulting values,
particularly in relation to the notional amount of the contract as well as the
annual payment rate, serve as an indication of the current status of the
payment/performance risk.
Payments
received or made at the beginning of the measurement period are reflected as a
premium or deposit, respectively, on the Statement of Assets and Liabilities.
These upfront payments are amortized over the life of the swap and are
recognized as realized gain or loss in the Statement of Operations. A
LMP Capital and
Income Fund Inc. 2009 Semi-Annual Report
|
33
|
Notes to financial statements
(unaudited)
continued
liquidation
payment received or made at the termination of the swap is recognized as
realized gain or loss in the Statement of Operations. Net periodic payments
received or paid by the Fund are recognized as realized gain or loss at the
time of receipt of payment on the Statement of Operations.
The
Funds maximum risk of loss from counterparty risk, either as the protection
seller or as the protection buyer, is the fair value of the contract (this risk
is mitigated by the posting of collateral by the counterparty to the Fund to
cover the Funds exposure to the counterparty). Credit default swaps are
considered to have credit risk-related contingent features since they require
payment by the protection seller to the protection buyer upon the occurrence of
a defined credit event.
Entering
into a CDS agreement involves, to varying degrees, elements of credit, market
and documentation risk in excess of the related amounts recognized in the
Statement of Assets and Liabilities. Such risks involve the possibility that
there will be no liquid market for these agreements, that the counterparty to
the agreement may default on its obligation to perform or disagree as to the
meaning of the contractual terms in the agreement, and that there will be
unfavorable changes in net interest rates.
Interest Rate Swaps
The
Fund may enter into interest rate swap contracts. Interest rate swaps are
agreements between two parties to exchange cash flows based on a notional
principal amount. The Fund may elect to pay a fixed rate and receive a floating
rate, or, receive a fixed rate and pay a floating rate on a notional principal
amount. The net periodic payments received or paid on interest rate swap
agreements are recognized as realized gains or losses in the Statement of
Operations. Interest rate swaps are marked to market daily based upon
quotations from the market makers and the change, if any, is recorded as an
unrealized gain or loss in the Statement of Operations. A liquidation payment
received or made at the termination of the swap is recognized as a realized
gain or loss in the Statement of Operations. The risks of interest rate swaps
include changes in market conditions that will affect the value of the contract
or changes in the present value of the future cash flow streams and the
possible inability of the counterparty to fulfill its obligations under the
agreement. The Funds maximum risk of loss from counterparty credit risk is the
discounted net value of the cash flows to be received from the counterparty
over the contracts remaining life, to the extent that that amount is positive.
This risk is mitigated by the posting of collateral by the counterparty to the
Fund to cover the Funds exposure to the counterparty.
Swap
contracts are marked-to-market daily and changes in value are recorded as
unrealized appreciation/ (depreciation). Gains or losses are realized upon
termination of the swap agreement. Periodic payments and premiums received or
made by a Fund are recorded in the Statement of Operations as realized gains or
losses, respectively. Collateral, in the form of restricted cash or securities,
may be required to be held in segregated accounts with the Funds
34
|
LMP Capital and Income Fund Inc. 2009 Semi-Annual
Report
|
custodian
in compliance with the terms of the swap contracts. Securities held as
collateral for swap contracts are identified in the Schedule of Investments and
restricted cash, if any, is identified in the Statement of Assets and
Liabilities. Risks may exceed amounts recognized in the Statement of Assets and
Liabilities. These risks include changes in the returns of the underlying
instruments, failure of the counterparties to perform under the contracts
terms, and the possible lack of liquidity with respect to the swap agreements.
(h) 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.
(i) Mortgage dollar rolls.
The Fund may
enter into dollar rolls in which the Fund sells mortgage-backed securities for
delivery in the current month, realizing a gain or loss, and simultaneously
contracts to repurchase substantially similar (same type, coupon and maturity)
securities to settle on a specified future date. During the roll period, the
Fund forgoes interest paid on the securities. The Fund maintains a segregated
account, the dollar value of which is at least equal to its obligations with
respect to dollar rolls.
The
Fund executes its mortgage dollar rolls entirely in the TBA market, where the
Fund makes a forward commitment to purchase a security and, instead of
accepting delivery, the position is offset by a sale of the security with a
simultaneous agreement to repurchase at a future date. The Fund accounts for
mortgage dollar rolls as purchases and sales.
The
risk of entering into a mortgage dollar roll is that the market value of the
securities the Fund is obligated to repurchase under the agreement may decline
below the repurchase price. In the event the buyer of securities under a
mortgage dollar roll files for bankruptcy or becomes insolvent, the Funds use
of proceeds of the dollar roll may be restricted pending a determination by the
other party, or its trustee or receiver, whether to enforce the Funds
obligation to repurchase the securities.
(j) 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 at
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
LMP Capital and
Income Fund Inc. 2009 Semi-Annual Report
|
35
|
Notes to financial statements
(unaudited)
continued
based
upon prevailing exchange rates on the respective dates of such transactions.
The
Fund does not isolate that portion of the results of operations resulting from
changes in foreign exchange rates on investments from the fluctuations arising
from changes in market prices of securities held. Such fluctuations are
included with the net realized and unrealized gain or loss on investments.
Net
realized foreign exchange gains or losses arise from sales of foreign
currencies, including gains and losses on forward foreign currency contracts,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between the amounts of dividends,
interest, and foreign withholding taxes recorded on the Funds books and the
U.S. dollar equivalent of the amounts actually received or paid. Net unrealized
foreign exchange gains and losses arise from changes in the fair values of
assets and liabilities, other than investments in securities, at the date of
valuation, resulting from changes in exchange rates.
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.
(k) 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-U.S. dollar denominated securities may also
result in foreign currency losses caused by devaluations and exchange rate
fluctuations.
(l) Security transactions and investment income.
Security
transactions are accounted for on a trade date basis. Interest income, adjusted
for amortization of premium and accretion of discount, is recorded on the
accrual basis. Dividend income is recorded on the ex-dividend date. Foreign
dividend income is recorded on the ex-dividend date or as soon as practicable
after the Fund determines the existence of a dividend declaration after exercising
reasonable due diligence. The cost of investments sold is determined by use of
the specific identification method. To the extent any issuer defaults on an
expected interest payment, the Funds policy is to generally halt any
additional interest income accruals and consider the realizability of interest
accrued up to the date of default.
36
|
LMP Capital and Income Fund Inc. 2009 Semi-Annual
Report
|
(m) Cash flow information.
The Fund
invests in securities and distributes dividends from net investment income and
net realized gains, which are paid in cash and may be reinvested at the
discretion of shareholders. These activities are reported in the Statement of
Changes in Net Assets and additional information on cash receipts and cash
payments are presented in the Statement of Cash Flows.
(n) Distributions to shareholders.
Distributions
from net investment income for the Fund, if any, are declared and paid on a
quarterly basis. Distributions of net realized gains, if any, are declared at
least annually. Pursuant to its Managed Distribution Policy, for the fiscal
year 2009, the Fund will seek to maintain a consistent quarterly distribution
level stated as a fixed percentage of its December 31, 2008 net asset
value per share. Under the Funds Managed Distribution Policy, if, for any
quarterly distribution, the value of the Funds net investment income and net
realized capital gain is less than the amount of the distribution, the
difference will be distributed from the Funds assets (and constitute a return
of capital). The Board of Directors may terminate or suspend the Managed
Distribution Policy at any time, including when certain events would make part
of the return of capital taxable to shareholders. Any such termination or
suspension could have an adverse effect on the market price for Funds shares.
Distributions are recorded on the ex-dividend date and are determined in
accordance with income tax regulations, which may differ from GAAP.
(o) Fees paid indirectly.
The Funds custody fees are
reduced according to a fee arrangement, which provides for a reduction based on
the level of cash deposited with the custodian by the Fund. The amount is shown
as a reduction of expenses on the Statement of Operations. Interest expense, if
any, paid to the custodian related to cash overdrafts is included in Interest
expense in the Statement of Operations.
(p) Federal and other taxes.
It is the Funds
policy to comply with the federal income and excise tax requirements of the
Internal Revenue Code of 1986, as amended, applicable to regulated investment
companies. Accordingly, the Fund intends to distribute substantially all of its
taxable income and net realized gains, if any, to shareholders each year.
Therefore, no federal income tax provision is required in the Funds financial
statements. However due to the timing of when distributions are made, the Fund
may be subject to an excise tax of 4% of the amount by which 98% of the Funds
annual taxable income exceeds the distributions from such taxable income for
the year. The fund does not anticipate being subject to an excise tax for
calendar year 2009.
Management
has analyzed the Funds tax positions taken on federal income tax returns for
all open tax years and has concluded that as of June 30, 2009, no
provision for income tax would be required in the Funds financial statements.
The Funds federal and state income and federal excise tax returns for tax
years
LMP Capital and
Income Fund Inc. 2009 Semi-Annual Report
|
37
|
Notes to financial statements
(unaudited)
continued
for
which the applicable statutes of limitations have not expired are subject to
examination by the Internal Revenue Service and state departments of revenue.
Under
the applicable foreign tax laws, a withholding tax may be imposed on interest,
dividends and capital gains at various rates.
(q) Reclassification.
GAAP requires that certain
components of net assets be adjusted to reflect permanent differences between
financial and tax reporting. These reclassifications have no effect on net
assets or net asset values per share.
2.
Investment management agreement and other transactions with affiliates
Legg
Mason Partners Fund Advisor, LLC (LMPFA) is the Funds investment manager.
ClearBridge Advisors, LLC (ClearBridge), Western Asset Management Company (Western
Asset) and Western Asset Management Company Limited (Western Asset Limited)
are the Funds subadvisers. LMPFA, ClearBridge, Western Asset and Western Asset
Limited are wholly-owned subsidiaries of Legg Mason, Inc. (Legg Mason).
LMPFA
provides administrative and certain oversight services to the Fund. The Fund
pays an investment management fee, calculated daily and paid monthly, at an
annual rate of 0.85% of the Funds average daily net assets plus the proceeds
of any outstanding borrowings used for leverage.
LMPFA
has delegated to the subadvisers the day-to-day portfolio management of the
Fund. ClearBridge provides investment advisory services to the Fund by both
determining the allocation of the Funds assets between equity and fixed-income
investments and performing day-to-day management of the Funds investments in
equity securities. Western Asset provides advisory services to the Fund by
performing the day-to-day management of the Funds fixed-income investments.
For its services, LMPFA pays the subadvisers 70% of the net management fee it
receives from the Fund. This fee will be divided on a pro rata basis, based on
assets allocated to each subadviser, from time to time.
Western
Asset Limited provides certain advisory services to the Fund relating to
currency transactions and investments in non-U.S. dollar denominated
securities. Western Asset Limited does not receive any compensation from the
Fund. In turn, Western Asset pays Western Asset Limited a subadvisory fee of
0.30% on the assets managed by Western Asset Limited.
During
periods in which the Fund is utilizing leverage, the fees which are payable to
LMPFA as a percentage of the Funds net assets will be higher then if the Fund
did not utilize leverage because the fees are calculated as a percentage of the
Funds net assets, including those investments purchased with leverage.
Certain
officers and one Director of the Fund are employees of Legg Mason or its
affiliates and do not receive compensation from the Fund.
38
|
LMP Capital and Income Fund Inc. 2009 Semi-Annual
Report
|
3.
Investments
During
the six months ended June 30, 2009, the aggregate cost of purchases and
proceeds from sales of investments (excluding short-term investments) and U.S
Government & Agency Obligations were as follows:
|
|
INVESTMENTS
|
|
U.S.
GOVERNMENT &
AGENCY OBLIGATIONS
|
|
Purchases
|
|
$159,577,269
|
|
|
$15,479,359
|
|
|
Sales
|
|
175,852,264
|
|
|
1,881,886
|
|
|
At
June 30, 2009, the aggregate gross unrealized appreciation and
depreciation of investments for federal income tax purposes were substantially
as follows:
Gross unrealized appreciation
|
|
$ 12,641,765
|
|
|
Gross unrealized depreciation
|
|
(102,095,500
|
)
|
|
Net unrealized depreciation
|
|
$ (89,453,735
|
)
|
|
During
the six months ended June 30, 2009, written option transactions for the
Fund were as follows:
|
|
NUMBER OF
CONTRACTS
|
|
PREMIUMS
RECEIVED
|
|
Written options, outstanding December 31, 2008
|
|
28
|
|
|
$ 20,167
|
|
|
Options written
|
|
33,268
|
|
|
16,044,780
|
|
|
Options closed
|
|
(20,718
|
)
|
|
(10,124,984
|
)
|
|
Options expired
|
|
(14
|
)
|
|
(16,037
|
)
|
|
Written options, outstanding June 30, 2009
|
|
12,564
|
|
|
$ 5,923,926
|
|
|
At
June 30, 2009, the Fund had the following open forward foreign currency
contracts:
|
|
LOCAL
|
|
MARKET
|
|
SETTLEMENT
|
|
UNREALIZED
|
|
FOREIGN
CURRENCY
|
|
CURRENCY
|
|
VALUE
|
|
DATE
|
|
GAIN (LOSS)
|
|
Contracts to Buy:
|
|
|
|
|
|
|
|
|
|
|
|
British Pound
|
|
110,000
|
|
|
$ 180,890
|
|
|
8/19/09
|
|
$ 20,540
|
|
|
British Pound
|
|
650,000
|
|
|
1,068,897
|
|
|
8/19/09
|
|
113,137
|
|
|
Euro
|
|
1,451,255
|
|
|
2,035,548
|
|
|
8/19/09
|
|
146,870
|
|
|
Euro
|
|
1,360,000
|
|
|
1,907,552
|
|
|
8/19/09
|
|
115,480
|
|
|
Japanese Yen
|
|
72,660,000
|
|
|
754,544
|
|
|
8/19/09
|
|
17,851
|
|
|
|
|
|
|
|
|
|
|
|
|
413,878
|
|
|
LMP Capital and
Income Fund Inc. 2009 Semi-Annual Report
|
39
|
Notes to financial statements
(unaudited)
continued
FOREIGN
CURRENCY
|
|
LOCAL
CURRENCY
|
|
MARKET
VALUE
|
|
SETTLEMENT
DATE
|
|
UNREALIZED
GAIN (LOSS)
|
|
Contracts to Sell:
|
|
|
|
|
|
|
|
|
|
|
British Pound
|
|
808,000
|
|
|
$1,328,722
|
|
|
8/19/09
|
|
$(113,975
|
)
|
|
Euro
|
|
2,830,000
|
|
|
3,969,391
|
|
|
8/19/09
|
|
(210,585
|
)
|
|
Japanese Yen
|
|
72,350,000
|
|
|
751,324
|
|
|
8/19/09
|
|
(1,855
|
)
|
|
British Pound
|
|
2,450,000
|
|
|
4,028,745
|
|
|
9/10/09
|
|
(120,137
|
)
|
|
|
|
|
|
|
|
|
|
|
|
(446,552
|
)
|
|
Net unrealized loss on open forward foreign
currency contracts
|
|
|
|
|
|
|
|
$ (32,674
|
)
|
|
At
June 30, 2009, the Fund had the following open futures contracts:
|
|
NUMBER OF
CONTRACTS
|
|
EXPIRATION
DATE
|
|
BASIS
VALUE
|
|
MARKET
VALUE
|
|
UNREALIZED
GAIN (LOSS)
|
|
Contracts to Buy:
|
|
|
|
|
|
|
|
|
|
|
|
|
90 Day Eurodollar
|
|
40
|
|
|
9/09
|
|
$ 9,876,786
|
|
|
$ 9,933,000
|
|
|
$ 56,214
|
|
|
90 Day Eurodollar
|
|
8
|
|
|
3/10
|
|
1,972,586
|
|
|
1,976,500
|
|
|
3,914
|
|
|
90 Day Eurodollar
|
|
10
|
|
|
6/10
|
|
2,469,795
|
|
|
2,461,375
|
|
|
(8,420
|
)
|
|
90 Day Eurodollar
|
|
24
|
|
|
9/10
|
|
5,895,408
|
|
|
5,884,800
|
|
|
(10,608
|
)
|
|
U.S. Treasury 5-Year Notes
|
|
96
|
|
|
9/09
|
|
11,172,604
|
|
|
11,013,000
|
|
|
(159,604
|
)
|
|
U.S. Treasury 10-Year Notes
|
|
20
|
|
|
9/09
|
|
2,355,973
|
|
|
2,325,312
|
|
|
(30,661
|
)
|
|
U.S. Treasury 30-Year Bonds
|
|
4
|
|
|
9/09
|
|
481,401
|
|
|
473,438
|
|
|
(7,963
|
)
|
|
Net unrealized loss on open futures contracts
|
|
|
|
|
|
|
|
|
|
$(157,128
|
)
|
|
4.
Derivative instruments and hedging activities
Financial
Accounting Standards Board Statement of Financial Accounting Standards No. 161,
Disclosures about Derivative Instruments
and Hedging Activities,
requires enhanced disclosure about an
entitys derivative and hedging activities.
Below
is a table, grouped by derivative type that provides information about the fair
value and the location of derivatives within the Statement of Assets and
Liabilities at June 30, 2009.
ASSET
DERIVATIVES
|
|
|
|
INTEREST
RATE
CONTRACTS
RISK
1
|
|
FOREIGN
EXCHANGE
CONTRACTS
RISK
2
|
|
OTHER
CONTRACTS
RISK
2
|
|
TOTAL
|
|
Futures contracts
3
|
|
$60,128
|
|
|
|
|
|
|
|
$ 60,128
|
|
|
Forward foreign currency
contracts
|
|
|
|
|
$413,878
|
|
|
|
|
413,878
|
|
|
Total
|
|
$60,128
|
|
|
$413,878
|
|
|
|
|
$474,006
|
|
|
1
Balance sheet
location: Receivables, Net Assets Unrealized appreciation (depreciation)
2
Balance sheet
location: Receivables
3
Includes
cumulative appreciation/depreciation of futures contracts as reported in the
footnotes. Only current days variation margin is reported within the Statement
of Assets and Liabilities.
40
|
LMP Capital and Income Fund Inc. 2009 Semi-Annual
Report
|
LIABILITY DERIVATIVES
|
|
|
|
INTEREST
RATE
CONTRACTS
RISK
1
|
|
FOREIGN
EXCHANGE
CONTRACTS
RISK
2
|
|
EQUITY
CONTRACTS
RISK
1
|
|
OTHER
CONTRACTS
RISK
|
|
TOTAL
|
|
Written
options
|
|
$ 3,875
|
|
|
|
|
|
$5,056,058
|
|
|
|
|
$5,059,933
|
|
|
Futures contracts
3
|
|
217,256
|
|
|
|
|
|
|
|
|
|
|
217,256
|
|
|
Forward foreign currency contracts
|
|
|
|
|
$446,552
|
|
|
|
|
|
|
|
446,552
|
|
|
Total
|
|
$221,131
|
|
|
$446,552
|
|
|
$5,056,058
|
|
|
|
|
$5,723,741
|
|
|
1
Balance sheet
location: Payables, Net Assets Unrealized appreciation (depreciation)
2
Balance sheet
location: Payables
3
Includes
cumulative appreciation/depreciation of futures contracts as reported in the
footnotes. Only current days variation margin is reported within the Statement
of Assets and Liabilities.
The
following tables provide information about the effect of derivatives and
hedging activities on the Funds Statement of Operations for the six months
ended June 30, 2009. The first table provides additional detail about the
amounts and sources of gains/(losses) realized on derivatives during the
period. The second table provides additional information about the changes in
unrealized appreciation/(depreciation) resulting from the Funds derivatives
and hedging activities during the period.
AMOUNT OF REALIZED GAIN OR (LOSS)
ON DERIVATIVES RECOGNIZED
|
|
|
|
INTEREST
RATE
CONTRACTS
RISK
|
|
FOREIGN
EXCHANGE
CONTRACTS
RISK
|
|
CREDIT
CONTRACTS
RISK
|
|
EQUITY
CONTRACTS
RISK
|
|
OTHER
CONTRACTS
RISK
|
|
TOTAL
|
|
Written options
|
|
$ 20,167
|
|
|
|
|
|
|
|
|
$(3,545,830
|
)
|
|
|
|
$(3,525,663
|
)
|
Futures contracts
|
|
1,084,439
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,084,439
|
|
Swap contracts
|
|
93,516
|
|
|
|
|
|
$(27,357
|
)
|
|
|
|
|
|
|
66,159
|
|
Forward
foreign currency contracts
|
|
|
|
|
$(354,419
|
)
|
|
|
|
|
|
|
|
|
|
(354,419
|
)
|
Total
|
|
$1,198,122
|
|
|
$(354,419
|
)
|
|
$(27,357
|
)
|
|
$(3,545,830
|
)
|
|
|
|
$(2,729,484
|
)
|
CHANGE IN
UNREALIZED APPRECIATION/DEPRECIATION ON DERIVATIVES RECOGNIZED
|
|
|
|
INTEREST
RATE
CONTRACTS
RISK
|
|
FOREIGN
EXCHANGE
CONTRACTS
RISK
|
|
CREDIT
CONTRACTS
RISK
|
|
EQUITY
CONTRACTS
RISK
|
|
OTHER
CONTRACTS
RISK
|
|
TOTAL
|
|
Written options
|
|
$ 71,588
|
|
|
|
|
|
|
|
|
$865,163
|
|
|
|
|
$ 936,751
|
|
Futures contracts
|
|
(1,583,272
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
(1,583,272
|
)
|
Swap contracts
|
|
(88,488
|
)
|
|
|
|
|
$18,943
|
|
|
|
|
|
|
|
(69,545
|
)
|
Forward
foreign currency contracts
|
|
|
|
|
$(94,746
|
)
|
|
|
|
|
|
|
|
|
|
(94,746
|
)
|
Total
|
|
$(1,600,172
|
)
|
|
$(94,746
|
)
|
|
$18,943
|
|
|
$865,163
|
|
|
|
|
$ (810,812
|
)
|
LMP Capital and
Income Fund Inc. 2009 Semi-Annual Report
|
41
|
Notes to financial statements
(unaudited)
continued
5. Loan
The
Fund has a 364-day revolving credit agreement with a financial institution,
which allows the Fund to borrow up to an aggregate amount of $125,000,000.
Unless renewed, this agreement terminates on December 16, 2009. The Fund
pays a quarterly facility fee at an annual rate of 0.20%, on the unutilized
portion of the loan. The interest on the loan is calculated at a variable rate
based on the LIBOR, Fed Funds or Prime Rates plus any applicable margin.
Interest expense related to the loan for the period ended June 30, 2009
was $528,640. For the period ended June 30, 2009, the Fund incurred a
commitment fee in the amount of $175,167. At June 30, 2009 the Fund had
$60,000,000 of borrowings outstanding per this credit agreement.
6.
Capital shares
On
November 20, 2006, the Funds Board authorized the Fund to repurchase from
time to time in the open market up to 1,000,000 shares of the Funds common
stock (the Program). The Board of Directors directed the management of the
Fund to repurchase shares of the Funds common stock at such times and in such
amounts as management believes will enhance shareholder value, subject to
review by the Funds Board of Directors. As of June 30, 2009, no shares of
common stock have been repurchased under this program.
7.
Capital loss carryforward
As
of December 31, 2008, the Fund had a net capital loss carryforward of
approximately $79,467,854, of which $51,940,897 expires in 2015 and $27,526,957
expires in 2016. These amounts will be available to offset any future taxable
capital gains.
8.
Distributions subsequent to June 30, 2009
On
August 13, 2009, the Funds Board declared a dividend in the amount of
$0.13 per share, payable September 25, 2009 to shareholders of record on September 18,
2009.
42
|
LMP Capital and Income Fund Inc. 2009 Semi-Annual
Report
|
Dividend reinvestment plan
(unaudited)
Unless
you elect to receive distributions in cash, all distributions, on your Common
Shares will be automatically reinvested by American Stock Transfer &
Trust Company, as agent for the Common Shareholders (the Plan Agent), in
additional Common Shares under the Dividend Reinvestment Plan (the Plan). You
may elect not to participate in the Plan by contacting the Plan Agent. If you
do not participate, you will receive all cash distributions paid by check
mailed directly to you by American Stock Transfer & Trust Company as
dividend paying agent.
If
you participate in the Plan, the number of Common Shares you will receive will
be determined as follows:
(1) If
the market price of the Common Shares on the record date (or, if the record
date is not a New York Stock Exchange trading day, the immediately preceding
trading day) for determining shareholders eligible to receive the relevant
distribution (the determination date) is equal to or exceeds the net asset
value per share of the Common Shares, the Fund will issue new Common Shares at
a price equal to the greater of (a) the net asset value per share at the
close of trading on the Exchange on the determination date or (b) 95% of
the market price per share of the Common Shares on the determination date.
(2) If
the net asset value per share of the Common Shares exceeds the market price of
the Common Shares on the determination date, the Plan Agent will receive the
distribution in cash and will buy Common Shares in the open market, on the
Exchange or elsewhere, for your account as soon as practicable commencing on
the trading day following the determination date and terminating no later than
the earlier of (a) 30 days after the distribution payment date, or (b) the
record date for the next succeeding distribution to be made to the Common
Shareholders; except when necessary to comply with applicable provisions of the
federal securities laws. If during this period: (i) the market price rises
so that it equals or exceeds the net asset value per share of the Common Shares
at the close of trading on the Exchange on the determination date before the
Plan Agent has completed the open market purchases or (ii) if the Plan
Agent is unable to invest the full amount eligible to be reinvested in open
market purchases, the Plan Agent will cease purchasing Common Shares in the
open market and the Fund shall issue the remaining Common Shares at a price per
share equal to the greater of (a) the net asset value per share at the
close of trading on the Exchange on the determination date or (b) 95% of
the then current market price per share.
The
Plan Agent maintains all participants accounts in the Plan and gives written
confirmation of all transactions in the accounts, including information you may
need for tax records. Common Shares in your account will be held by the Plan
Agent in non-certified form. Any proxy you receive will include all Common
Shares you have received under the Plan.
You
may withdraw from the Plan by notifying the Plan Agent in writing at 59 Maiden
Lane, New York, New York 10038. Such withdrawal will be effective immediately
if notice is received by the Plan Agent not less than ten business days prior
to any dividend or distribution record date; otherwise such
LMP Capital and
Income Fund Inc.
|
43
|
withdrawal
will be effective as soon as practicable after the Plan Agents investment of
the most recently declared dividend or distribution on the Common Shares. The
Plan may be terminated by the Fund upon notice in writing mailed to Common
Shareholders at least 30 days prior to the record date for the payment of any
dividend or distribution by the Fund for which the termination is to be
effective. Upon any termination, you will be sent a certificate or certificates
for the full Common Shares held for you under the Plan and cash for any fractional
Common Shares. You may elect to notify the Plan Agent in advance of such
termination to have the Plan Agent sell part or all of your shares on your
behalf. The Plan Agent is authorized to deduct brokerage charges actually
incurred for this transaction from the proceeds.
There
is no service charge for reinvestment of your dividends or distributions in
Common Shares. However, all participants will pay a pro rata share of brokerage
commissions incurred by the Plan Agent when it makes open market purchases.
Because all dividends and distributions will be automatically reinvested in
additional Common Shares, this allows you to add to your investment through
dollar cost averaging, which may lower the average cost of your Common Shares
over time.
Automatically
reinvesting dividends and distributions does not mean that you do not have to
pay income taxes due upon receiving dividends and distributions.
The
Fund reserves the right to amend or terminate the Plan if, in the judgment of
the Board of Directors, the change is warranted. There is no direct service
charge to participants in the Plan; however, the Fund reserves the right to
amend the Plan to include a service charge payable by the participants.
Additional information about the Plan and your account may be obtained from the
Plan Agent at 1-888-888-0151.
44
|
LMP Capital and Income Fund Inc.
|
LMP Capital and Income Fund Inc.
Directors
|
LMP Capital and Income Fund
Inc.
|
Carol
L. Colman
|
55
Water Street
|
Daniel
P. Cronin
|
New
York, New York 10041
|
Paolo
M. Cucchi
|
|
Leslie
H. Gelb
|
Investment manager
|
R.
Jay Gerken, CFA
|
Legg
Mason Partners Fund Advisor, LLC
|
Chairman
|
|
William
R. Hutchinson
|
|
Riordan
Roett
|
Subadvisers
|
Jeswald
W. Salacuse
|
ClearBridge
Advisors, LLC
|
|
|
Officers
|
Western
Asset Management Company
|
R.
Jay Gerken, CFA
|
|
President and Chief Executive
Officer
|
Western
Asset Management Company Limited
|
|
|
Kaprel
Ozsolak
|
|
Chief Financial Officer and
Treasurer
|
Custodian
|
|
State
Street Bank and Trust Company
|
Ted
P. Becker
|
1
Lincoln Street
|
Chief Compliance Officer
|
Boston,
Massachusetts 02111
|
|
|
Robert
I. Frenkel
|
Transfer agent
|
Secretary and Chief Legal Officer
|
American
Stock Transfer & Trust Company
|
|
59
Maiden Lane
|
Thomas
C. Mandia
|
New
York, New York 10038
|
Assistant Secretary
|
|
|
Independent registered public
accounting firm
KPMG LLP
|
Albert
Laskaj
|
345
Park Avenue
|
Controller
|
New
York, New York 10154
|
|
|
Steven
Frank
|
Legal counsel
|
Controller
|
Simpson
Thacher & Bartlett LLP
|
|
425
Lexington Avenue
|
|
New
York, New York 10017
|
|
|
|
New York Stock Exchange Symbol
SCD
|
LMP
Capital and Income Fund Inc.
LMP
CAPITAL AND INCOME FUND INC.
55
Water Street
New York, New York 10041
Notice
is hereby given in accordance with Section 23(c) of the Investment
Company Act of 1940, as amended, that from time to time the Fund may purchase,
at market prices, shares of its common stock in the open market.
The
Fund files its complete schedule of portfolio holdings with the Securities and
Exchange Commission (SEC) for the first and third quarters of each fiscal
year on Form N-Q. The Funds Forms N-Q are available on the SECs website
at www.sec.gov. The Funds Forms N-Q may be reviewed and copied at the SECs
Public Reference Room in Washington D.C., and information on the operation
of the Public Reference Room may be obtained by calling 1-800-SEC-0330. To
obtain information on Form N-Q from the Fund, shareholders can call
1-888-777-0102.
Information
on how the Fund voted proxies relating to portfolio securities during the prior
12-month period ended June 30th of each year and a description of the
policies and procedures that the Fund uses to determine how to vote proxies
related to portfolio transactions are available (1) without charge, upon
request, by calling 1-888-777-0102. (2) on the Funds website at
www.leggmason.com/cef and (3) on the SECs website at www.sec.gov.
This
report is transmitted to the shareholders of LMP Capital and Income Fund Inc.
for their information. This is not a prospectus, circular or representation
intended for use in the purchase of shares of the Fund or any securities
mentioned in this report.
American
Stock
Transfer & Trust Company
59 Maiden Lane
New York, New York 10038
FD04219 8/09 SR09-886
ITEM 2.
CODE
OF ETHICS.
Not
applicable.
ITEM 3.
AUDIT
COMMITTEE FINANCIAL EXPERT.
Not
applicable.
ITEM 4.
PRINCIPAL
ACCOUNTANT FEES AND SERVICES.
Not
applicable.
ITEM 5.
AUDIT
COMMITTEE OF LISTED REGISTRANTS.
Not
applicable.
ITEM 6.
SCHEDULE
OF INVESTMENTS.
Included
herein under Item 1.
ITEM 7.
DISCLOSURE
OF PROXY VOITNG POLIIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT
COMPANIES.
Not
applicable.
ITEM 8.
PORTFOLIO
MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not
applicable.
ITEM 9.
PURCHASES
OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED
PURCHASERS.
Not
applicable.
ITEM 10.
SUBMISSION
OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Not
applicable.
ITEM 11.
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 half-year (the registrants second fiscal
half-year in the case of an annual report) that have materially affected,
or
are likely to materially affect the registrants internal control over
financial reporting.
ITEM
12.
EXHIBITS.
(a)
(1)
Not
applicable.
Exhibit 99.CODE ETH
(a) (2) Certifications pursuant to section 302 of
the Sarbanes-Oxley Act of 2002 attached hereto.
Exhibit 99.CERT
(b) Certifications
pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 attached hereto.
Exhibit 99.906CERT
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, there unto duly authorized.
LMP Capital and Income Fund Inc.
By:
|
/s/ R. Jay Gerken
|
|
|
R. Jay Gerken
|
|
Chief Executive Officer
|
|
LMP
Capital and Income Fund Inc.
|
|
|
Date:
|
September 3,
2009
|
Pursuant
to the requirements of the Securities Exchange Act of 1934 and the Investment
Company Act of 1940, this report has been signed below by the following persons
on behalf of the registrant and in the capacities and on the dates indicated.
By:
|
/s/ R. Jay Gerken
|
|
|
(R. Jay Gerken)
|
|
Chief Executive Officer
|
|
LMP
Capital and Income Fund Inc.
|
|
|
Date:
|
September 3,
2009
|
By:
|
/s/ Kaprel Ozsolak
|
|
|
(Kaprel Ozsolak)
|
|
Chief Financial Officer
|
|
LMP
Capital and Income Fund Inc.
|
|
|
|
|
Date:
|
September 3,
2009
|
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