UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment
Company Act file number
|
811-21467
|
|
|
LMP
Capital and Income Fund Inc.
|
(Exact name of registrant as specified in charter)
|
|
55 Water Street, New York, NY
|
|
10041
|
(Address of principal executive offices)
|
|
(Zip code)
|
|
Robert I. Frenkel, Esq.
Legg Mason & Co., LLC
300 First Stamford Place
Stamford, CT 06902
|
(Name and address of agent for service)
|
|
Registrant's
telephone number, including area code:
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1-800-451-2010
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|
|
Date of
fiscal year end:
|
October 31
|
|
|
|
|
Date of
reporting period:
|
July 31,
2008
|
|
|
|
|
|
|
|
|
ITEM
1. SCHEDULE OF
INVESTMENTS
LMP CAPITAL
AND INCOME FUND INC.
FORM N-Q
JULY 31, 2008
LMP
Capital and Income Fund Inc.
Schedule
of Investments
(unaudited)
|
|
|
July 31, 2008
|
Shares
|
|
|
|
Security
|
|
Value
|
|
COMMON STOCKS 56.5%
|
|
|
|
CONSUMER DISCRETIONARY 7.6%
|
|
|
|
Household Durables 0.0%
|
|
|
|
1,226,577
|
|
|
|
Home Interiors & Gifts Inc. (a)(b)*
|
|
$
|
1
|
|
Media 5.3%
|
|
|
|
352,170
|
|
|
|
Lamar Advertising Co., Class A Shares *
|
|
13,375,417
|
|
379,480
|
|
|
|
Liberty Media Corp. - Entertainment, Series A
*
|
|
9,342,798
|
|
608,260
|
|
|
|
Time Warner Inc.
|
|
8,710,283
|
|
511,700
|
|
|
|
Warner Music Group Corp.
|
|
4,267,578
|
|
|
|
|
|
Total
Media
|
|
35,696,076
|
|
Multiline Retail 1.1%
|
|
|
|
171,400
|
|
|
|
Target Corp.
|
|
7,752,422
|
|
Specialty Retail 1.2%
|
|
|
|
345,300
|
|
|
|
Staples Inc.
|
|
7,769,250
|
|
|
|
|
|
TOTAL
CONSUMER DISCRETIONARY
|
|
51,217,749
|
|
CONSUMER STAPLES 2.2%
|
|
|
|
Food Products 1.2%
|
|
|
|
255,800
|
|
|
|
Kraft Foods Inc., Class A Shares
|
|
8,139,556
|
|
Household Products 0.4%
|
|
|
|
43,800
|
|
|
|
Kimberly-Clark Corp.
|
|
2,532,954
|
|
Tobacco 0.6%
|
|
|
|
81,140
|
|
|
|
Philip Morris International Inc. *
|
|
4,190,881
|
|
|
|
|
|
TOTAL
CONSUMER STAPLES
|
|
14,863,391
|
|
ENERGY 11.0%
|
|
|
|
Energy Equipment & Services 4.1%
|
|
|
|
51,200
|
|
|
|
Diamond Offshore Drilling Inc.
|
|
6,108,160
|
|
279,820
|
|
|
|
Halliburton Co.
|
|
12,541,533
|
|
113,200
|
|
|
|
National-Oilwell Varco Inc. *
|
|
8,900,916
|
|
|
|
|
|
Total
Energy Equipment & Services
|
|
27,550,609
|
|
Oil, Gas & Consumable Fuels 6.9%
|
|
|
|
516,341
|
|
|
|
Crosstex Energy Inc.
|
|
16,595,200
|
|
51,445
|
|
|
|
Devon Energy Corp.
|
|
4,881,616
|
|
582,500
|
|
|
|
El Paso Corp.
|
|
10,444,225
|
|
78,770
|
|
|
|
Newfield Exploration Co. *
|
|
3,858,154
|
|
137,800
|
|
|
|
Total SA, ADR
|
|
10,541,700
|
|
|
|
|
|
Total
Oil, Gas & Consumable Fuels
|
|
46,320,895
|
|
|
|
|
|
TOTAL
ENERGY
|
|
73,871,504
|
|
FINANCIALS 6.0%
|
|
|
|
Capital Markets 4.2%
|
|
|
|
459,300
|
|
|
|
Charles Schwab Corp.
|
|
10,513,377
|
|
506,820
|
|
|
|
Invesco Ltd.
|
|
11,803,838
|
|
338,857
|
|
|
|
Och-Ziff Capital Management Group
|
|
5,536,923
|
|
|
|
|
|
Total
Capital Markets
|
|
27,854,138
|
|
Consumer Finance 0.7%
|
|
|
|
131,300
|
|
|
|
American Express Co.
|
|
4,873,856
|
|
Diversified Financial Services 1.1%
|
|
|
|
184,600
|
|
|
|
JPMorgan Chase & Co.
|
|
7,500,298
|
|
|
|
|
|
TOTAL
FINANCIALS
|
|
40,228,292
|
|
HEALTH CARE 8.2%
|
|
|
|
Health Care Equipment & Supplies 2.0%
|
|
|
|
34,200
|
|
|
|
Beckman Coulter Inc.
|
|
2,474,028
|
|
202,420
|
|
|
|
Medtronic Inc.
|
|
10,693,848
|
|
|
|
|
|
Total
Health Care Equipment & Supplies
|
|
13,167,876
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedule of Investments.
1
LMP
Capital and Income Fund Inc.
Schedule
of Investments
(unaudited) (continued)
|
|
|
July 31, 2008
|
Shares
|
|
|
|
Security
|
|
Value
|
|
Health Care Providers & Services 1.0%
|
|
|
|
249,500
|
|
|
|
UnitedHealth Group Inc.
|
|
$
|
7,005,960
|
|
Health Care Technology 1.6%
|
|
|
|
999,620
|
|
|
|
HLTH Corp. *
|
|
10,935,843
|
|
Pharmaceuticals 3.6%
|
|
|
|
150,600
|
|
|
|
Johnson & Johnson
|
|
10,311,582
|
|
103,400
|
|
|
|
Novartis AG, ADR
|
|
6,136,790
|
|
193,100
|
|
|
|
Wyeth
|
|
7,824,412
|
|
|
|
|
|
Total
Pharmaceuticals
|
|
24,272,784
|
|
|
|
|
|
TOTAL
HEALTH CARE
|
|
55,382,463
|
|
INDUSTRIALS 10.1%
|
|
|
|
Building Products 2.1%
|
|
|
|
1,053,300
|
|
|
|
Assa Abloy AB
|
|
14,362,178
|
|
Commercial Services & Supplies 2.4%
|
|
|
|
563,180
|
|
|
|
Covanta Holding Corp. *
|
|
15,847,885
|
|
Electrical Equipment 0.6%
|
|
|
|
153,100
|
|
|
|
ABB Ltd., ADR
|
|
4,014,282
|
|
Industrial Conglomerates 3.7%
|
|
|
|
662,970
|
|
|
|
General Electric Co.
|
|
18,755,421
|
|
134,900
|
|
|
|
McDermott International Inc. *
|
|
6,430,683
|
|
|
|
|
|
Total
Industrial Conglomerates
|
|
25,186,104
|
|
Machinery 1.3%
|
|
|
|
171,500
|
|
|
|
Dover Corp.
|
|
8,511,545
|
|
|
|
|
|
TOTAL
INDUSTRIALS
|
|
67,921,994
|
|
INFORMATION TECHNOLOGY 6.9%
|
|
|
|
Communications Equipment 3.6%
|
|
|
|
434,170
|
|
|
|
Cisco Systems Inc. *
|
|
9,547,398
|
|
202,500
|
|
|
|
Nokia Oyj, ADR
|
|
5,532,300
|
|
159,810
|
|
|
|
QUALCOMM Inc.
|
|
8,843,886
|
|
|
|
|
|
Total
Communications Equipment
|
|
23,923,584
|
|
Computers & Peripherals 1.3%
|
|
|
|
595,220
|
|
|
|
EMC Corp. *
|
|
8,934,252
|
|
Internet Software & Services 1.1%
|
|
|
|
231,755
|
|
|
|
VeriSign Inc. *
|
|
7,541,308
|
|
Software 0.9%
|
|
|
|
288,040
|
|
|
|
Oracle Corp. *
|
|
6,201,501
|
|
|
|
|
|
TOTAL
INFORMATION TECHNOLOGY
|
|
46,600,645
|
|
TELECOMMUNICATION SERVICES 0.9%
|
|
|
|
Wireless Telecommunication Services 0.9%
|
|
|
|
150,400
|
|
|
|
American Tower Corp., Class A Shares *
|
|
6,301,760
|
|
|
|
|
|
UTILITIES 3.6%
|
|
|
|
Electric Utilities 1.0%
|
|
|
|
132,840
|
|
|
|
Allegheny Energy Inc.
|
|
6,429,456
|
|
Gas Utilities 1.2%
|
|
|
|
158,670
|
|
|
|
National Fuel Gas Co.
|
|
7,900,179
|
|
Independent Power Producers & Energy Traders 1.4%
|
|
|
|
262,140
|
|
|
|
NRG Energy Inc. *
|
|
9,513,061
|
|
|
|
|
|
TOTAL
UTILITIES
|
|
23,842,696
|
|
|
|
|
|
TOTAL COMMON STOCKS
(Cost $418,720,600)
|
|
380,230,494
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedule of Investments.
2
LMP
Capital and Income Fund Inc.
Schedule
of Investments
(unaudited) (continued)
|
|
|
July 31, 2008
|
Shares
|
|
|
|
Security
|
|
Value
|
|
PREFERRED STOCKS 3.2%
|
|
|
|
FINANCIALS 3.2%
|
|
|
|
Diversified Financial Services 0.1%
|
|
|
|
30,000
|
|
|
|
Citigroup Inc., 8.125%
|
|
$
|
616,500
|
|
Insurance 3.0%
|
|
|
|
349,800
|
|
|
|
American International Group Inc., 8.500%
|
|
20,120,496
|
|
Thrifts & Mortgage Finance 0.1%
|
|
|
|
25,950
|
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC), 8.375%
|
|
439,852
|
|
300
|
|
|
|
Federal National Mortgage Association (FNMA),
7.000% (a)(c)
|
|
8,382
|
|
17,650
|
|
|
|
Federal National Mortgage Association (FNMA),
8.250%
|
|
296,344
|
|
|
|
|
|
Total
Thrifts & Mortgage Finance
|
|
744,578
|
|
|
|
|
|
TOTAL PREFERRED STOCKS
(Cost
$28,161,730)
|
|
21,481,574
|
|
|
|
|
|
|
|
|
|
Face
Amount
|
|
|
|
|
|
|
|
ASSET-BACKED SECURITIES 1.1%
|
|
|
|
FINANCIALS 1.1%
|
|
|
|
Home Equity 1.0%
|
|
|
|
$
|
750,000
|
|
|
|
Asset-Backed Funding Certificates, 3.911% due
1/25/34 (a)(c)
|
|
455,227
|
|
132,104
|
|
|
|
Countrywide Asset-Backed Certificates, 3.711% due
6/25/34 (c)
|
|
56,921
|
|
720,000
|
|
|
|
Credit-Based Asset Servicing &
Securitization LLC, 5.704% due 12/25/36
|
|
584,608
|
|
73,417
|
|
|
|
Finance America Net Interest Margin Trust, 5.250%
due
6/27/34 (a)(b)(d)(e)
|
|
7
|
|
166,805
|
|
|
|
Fremont Home Loan Trust, 4.111% due 2/25/34 (c)
|
|
84,660
|
|
|
|
|
|
GSAA Home Equity Trust:
|
|
|
|
1,770,000
|
|
|
|
2.761% due 3/25/37 (c)
|
|
626,870
|
|
1,790,000
|
|
|
|
2.731% due 7/25/37 (c)
|
|
631,366
|
|
1,720,000
|
|
|
|
2.761% due 5/25/47 (c)
|
|
618,149
|
|
1,005,000
|
|
|
|
GSAMP Trust, 3.611% due 11/25/34 (c)
|
|
791,128
|
|
898,774
|
|
|
|
Lehman XS Trust, 2.531% due 6/25/46 (c)
|
|
833,910
|
|
1,500,000
|
|
|
|
Option One Mortgage Loan Trust, 3.511% due 5/25/34
(c)
|
|
1,272,210
|
|
461,748
|
|
|
|
Renaissance Home Equity Loan Trust, 4.361% due
3/25/34 (c)
|
|
289,339
|
|
|
|
|
|
Sail Net Interest Margin Notes:
|
|
|
|
141,210
|
|
|
|
7.750% due 4/27/33 (b)(d)(e)
|
|
16
|
|
71,380
|
|
|
|
5.500% due 3/27/34 (b)(d)(e)
|
|
8
|
|
539,411
|
|
|
|
Structured Asset Securities Corp., 2.711% due
11/25/37 (a)(c)
|
|
478,285
|
|
|
|
|
|
Total
Home Equity
|
|
6,722,704
|
|
Student Loan 0.1%
|
|
|
|
350,000
|
|
|
|
Nelnet Student Loan Trust, 4.280% due 4/25/24
(a)(c)
|
|
352,940
|
|
765,462
|
|
|
|
RAAC, 2.841% due 10/25/46 (a)(c)(d)
|
|
476,202
|
|
|
|
|
|
Total
Student Loan
|
|
829,142
|
|
|
|
|
|
TOTAL ASSET-BACKED SECURITIES
(Cost $10,291,585)
|
|
7,551,846
|
|
COLLATERALIZED MORTGAGE OBLIGATIONS 1.1%
|
|
|
|
260,000
|
|
|
|
American Home Mortgage Investment Trust, 3.261%
due 11/25/45 (c)
|
|
83,701
|
|
1,426,128
|
|
|
|
BCAP LLC Trust, 2.651% due 10/25/36 (c)
|
|
907,173
|
|
156,343
|
|
|
|
Bear Stearns ARM Trust, 5.774% due 2/25/36 (c)
|
|
136,844
|
|
1,499,795
|
|
|
|
Countrywide Alternative Loan Trust, 2.668% due
7/20/46 (c)
|
|
656,774
|
|
|
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC):
|
|
|
|
60,576
|
|
|
|
6.000% due 3/15/34 (c)
|
|
46,357
|
|
528,200
|
|
|
|
PAC, 6.000% due 4/15/34 (c)
|
|
486,879
|
|
746,343
|
|
|
|
Harborview Mortgage Loan Trust, 3.528% due
11/19/35 (c)
|
|
59,707
|
|
1,020,845
|
|
|
|
MASTR Adjustable Rate Mortgages Trust, 4.626% due
9/25/33 (c)
|
|
909,540
|
|
355,139
|
|
|
|
Merit Securities Corp., 3.960% due 9/28/32 (c)(d)
|
|
330,804
|
|
|
|
|
|
MLCC Mortgage Investors Inc.:
|
|
|
|
310,637
|
|
|
|
3.381% due 4/25/29 (c)
|
|
265,643
|
|
509,239
|
|
|
|
3.341% due 5/25/29 (c)
|
|
487,080
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedule of Investments.
3
LMP
Capital and Income Fund Inc.
Schedule
of Investments
(unaudited) (continued)
|
|
|
July 31, 2008
|
Face
Amount
|
|
|
|
Security
|
|
Value
|
|
$
|
1,097,239
|
|
|
|
RBS Greenwich Capital, Mortgage Pass-Through
Certificates, 7.000% due 4/25/35
|
|
$
|
951,975
|
|
644,744
|
|
|
|
Structured ARM Loan Trust, 5.901% due 5/25/36 (c)
|
|
492,724
|
|
|
|
|
|
Thornburg Mortgage Securities Trust:
|
|
|
|
230,286
|
|
|
|
6.214% due 7/25/37 (c)
|
|
203,234
|
|
223,799
|
|
|
|
6.216% due 7/25/37 (c)
|
|
195,253
|
|
786,157
|
|
|
|
Washington Mutual Mortgage Pass-Through
Certificates, 4.518% due 7/25/46 (c)
|
|
510,019
|
|
792,045
|
|
|
|
Wells Fargo Alternative Loan Trust, 2.891% due
6/25/37 (c)
|
|
488,338
|
|
|
|
|
|
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $8,843,567)
|
|
7,212,045
|
|
COLLATERALIZED SENIOR LOANS 0.9%
|
|
|
|
CONSUMER DISCRETIONARY 0.4%
|
|
|
|
Diversified Consumer Services 0.1%
|
|
|
|
248,750
|
|
|
|
Thomson Learning Hold, Term Loan B, 5.200% due
7/5/14 (c)
|
|
220,416
|
|
Hotels, Restaurants & Leisure 0.0%
|
|
|
|
229,916
|
|
|
|
Aramark Corp., Term Loan, 6.705% due 1/31/14
|
|
218,937
|
|
Media 0.2%
|
|
|
|
249,375
|
|
|
|
Charter Communications, Term Loan B, 7.350% due
3/15/14
|
|
220,048
|
|
248,029
|
|
|
|
CMP Susquehanna Corp., Term Loan, 6.876% due 6/7/13
|
|
204,624
|
|
498,123
|
|
|
|
Idearc Inc., Term Loan B, 4.860% due 11/1/14 (c)
|
|
372,969
|
|
245,500
|
|
|
|
LodgeNet Entertainment Corp., Term Loan B, 4.700%
due 4/4/14 (c)
|
|
221,717
|
|
248,106
|
|
|
|
Regal Cinemas Corp., Term Loan B, 6.330% due
10/19/10
|
|
234,322
|
|
250,000
|
|
|
|
UPC Broadband Holding BV, Term Loan N, 4.459% due
3/30/14 (c)
|
|
235,063
|
|
|
|
|
|
Total Media
|
|
1,488,743
|
|
Multiline Retail 0.1%
|
|
|
|
250,000
|
|
|
|
Neiman Marcus Group Inc., Term Loan B, 6.939% due
3/13/13 (c)
|
|
233,647
|
|
Specialty Retail 0.0%
|
|
|
|
248,100
|
|
|
|
Michaels Stores Inc. Term Loan B, 5.000% due
10/31/13 (c)
|
|
200,289
|
|
|
|
|
|
TOTAL
CONSUMER DISCRETIONARY
|
|
2,362,032
|
|
HEALTH CARE 0.1%
|
|
|
|
Health Care Equipment & Supplies 0.0%
|
|
|
|
|
|
|
|
Bausch & Lomb Inc.:
|
|
|
|
199,000
|
|
|
|
Term Loan, 8.080% due 4/11/15 (c)
|
|
194,108
|
|
50,000
|
|
|
|
Term Loan B, 6.511% due 4/11/15
|
|
48,771
|
|
|
|
|
|
Total
Health Care Equipment & Supplies
|
|
242,879
|
|
Health Care Providers & Services 0.1%
|
|
|
|
|
|
|
|
Community Health Systems Inc.:
|
|
|
|
15,468
|
|
|
|
Term Loan, 7.756% due 7/2/14
|
|
14,668
|
|
226,754
|
|
|
|
Term Loan B, 5.335% due 7/2/14 (c)
|
|
215,021
|
|
248,744
|
|
|
|
HCA Inc., Term Loan B, 7.080% due 11/1/13 (c)
|
|
234,251
|
|
|
|
|
|
Total
Health Care Providers & Services
|
|
463,940
|
|
Pharmaceuticals 0.0%
|
|
|
|
249,372
|
|
|
|
Royalty Pharma, Term Loan B, 5.511% due 5/15/14 (c)
|
|
248,827
|
|
|
|
|
|
TOTAL
HEALTH CARE
|
|
955,646
|
|
INDUSTRIALS 0.1%
|
|
|
|
Aerospace & Defense 0.1%
|
|
|
|
|
|
|
|
Dubai Aerospace Enterprise, Term Loan:
|
|
|
|
285,305
|
|
|
|
6.410% due 7/31/09 (c)
|
|
270,326
|
|
287,234
|
|
|
|
6.450% due 7/31/09 (c)
|
|
272,155
|
|
|
|
|
|
Total
Aerospace & Defense
|
|
542,481
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedule of Investments.
4
LMP
Capital and Income Fund Inc.
Schedule
of Investments
(unaudited) (continued)
|
|
|
July 31, 2008
|
Face
Amount
|
|
|
|
Security
|
|
Value
|
|
Airlines 0.0%
|
|
|
|
$
|
3,133
|
|
|
|
Delta Airlines Inc., Term Loan, 8.082% due 4/30/14
|
|
$
|
2,113
|
|
178,950
|
|
|
|
United Airlines Inc., Term Loan B, 4.500% due
1/12/14 (c)
|
|
131,260
|
|
|
|
|
|
Total Airlines
|
|
133,373
|
|
Commercial Services & Supplies 0.0%
|
|
|
|
248,120
|
|
|
|
US Investigations Services Inc., Term Loan B,
7.910% due 2/21/15
|
|
229,925
|
|
Hotels, Restaurants & Leisure 0.0%
|
|
|
|
14,607
|
|
|
|
Aramark Corp., Letter of Credit Facility Deposits,
1.875% due
1/31/14 (c)
|
|
13,909
|
|
|
|
|
|
TOTAL
INDUSTRIALS
|
|
919,688
|
|
INFORMATION TECHNOLOGY 0.1%
|
|
|
|
IT Services 0.1%
|
|
|
|
565,725
|
|
|
|
First Data Corp., Term Loan, 5.349% due 10/15/14
(c)
|
|
521,791
|
|
MATERIALS 0.1%
|
|
|
|
Containers & Packaging 0.1%
|
|
|
|
500,000
|
|
|
|
Graphic Packaging International, Term Loan C,
5.542% due 5/16/14 (c)
|
|
481,053
|
|
Paper & Forest Products 0.0%
|
|
|
|
248,750
|
|
|
|
NewPage Corp., Term Loan, Tranche B, 7.156%
due 11/5/14 (c)
|
|
246,469
|
|
|
|
|
|
TOTAL
MATERIALS
|
|
727,522
|
|
TELECOMMUNICATION SERVICES 0.0%
|
|
|
|
Diversified Telecommunication Services 0.0%
|
|
|
|
168,750
|
|
|
|
Insight Midwest, Term Loan B, 6.480% due 4/10/14
(c)
|
|
162,764
|
|
UTILITIES 0.1%
|
|
|
|
Electric Utilities 0.1%
|
|
|
|
498,750
|
|
|
|
TXU Corp., Term Loan B, 6.759% due 10/10/14 (c)
|
|
470,072
|
|
|
|
|
|
TOTAL COLLATERALIZED SENIOR LOANS
(Cost $6,534,460)
|
|
6,119,515
|
|
CORPORATE BONDS & NOTES 17.0%
|
|
|
|
CONSUMER DISCRETIONARY 2.7%
|
|
|
|
Auto Components 0.2%
|
|
|
|
280,000
|
|
|
|
Allison Transmission Inc., Senior Notes, 11.250%
due 11/1/15 (d)(f)
|
|
245,000
|
|
295,000
|
|
|
|
Keystone Automotive Operations Inc., Senior
Subordinated Notes, 9.750% due 11/1/13
|
|
104,725
|
|
|
|
|
|
Visteon Corp., Senior Notes:
|
|
|
|
327,000
|
|
|
|
8.250% due 8/1/10
|
|
282,855
|
|
845,000
|
|
|
|
12.250% due 12/31/16 (d)
|
|
591,500
|
|
|
|
|
|
Total
Auto Components
|
|
1,224,080
|
|
Automobiles 0.2%
|
|
|
|
110,000
|
|
|
|
Ford Motor Co., Debentures, 8.875% due 1/15/22
|
|
56,650
|
|
|
|
|
|
General Motors Corp., Senior Debentures:
|
|
|
|
600,000
|
|
|
|
8.250% due 7/15/23
|
|
300,000
|
|
1,300,000
|
|
|
|
8.375% due 7/15/33
|
|
646,750
|
|
|
|
|
|
Total
Automobiles
|
|
1,003,400
|
|
Diversified Consumer Services 0.0%
|
|
|
|
|
|
|
|
Education Management LLC/Education Management
Finance Corp.:
|
|
|
|
20,000
|
|
|
|
Senior Notes, 8.750% due 6/1/14
|
|
18,100
|
|
210,000
|
|
|
|
Senior Subordinated Notes, 10.250% due 6/1/16
|
|
183,225
|
|
|
|
|
|
Total
Diversified Consumer Services
|
|
201,325
|
|
Hotels, Restaurants & Leisure 0.9%
|
|
|
|
1,000,000
|
|
|
|
Boyd Gaming Corp., Senior Subordinated Notes,
6.750% due 4/15/14
|
|
740,000
|
|
255,000
|
|
|
|
Buffets Inc., Senior Notes, 12.500% due 11/1/14 (e)
|
|
5,100
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedule of Investments.
5
LMP
Capital and Income Fund Inc.
Schedule
of Investments
(unaudited) (continued)
|
|
|
July 31, 2008
|
Face
Amount
|
|
|
|
Security
|
|
Value
|
|
Hotels, Restaurants & Leisure 0.9% (continued)
|
|
|
|
$
|
305,000
|
|
|
|
Choctaw Resort Development Enterprise, Senior
Notes, 7.250% due 11/15/19 (d)
|
|
$
|
244,000
|
|
550,000
|
|
|
|
Dennys Holdings Inc., Senior Notes, 10.000% due
10/1/12
|
|
533,500
|
|
160,000
|
|
|
|
El Pollo Loco Inc., Senior Notes, 11.750% due
11/15/13
|
|
157,600
|
|
660,000
|
|
|
|
Inn of the Mountain Gods Resort & Casino,
Senior Notes, 12.000% due 11/15/10
|
|
485,100
|
|
600,000
|
|
|
|
McDonalds Corp., Medium Term Notes, 5.350% due
3/1/18
|
|
588,755
|
|
|
|
|
|
MGM MIRAGE Inc.:
|
|
|
|
380,000
|
|
|
|
Notes, 6.750% due 9/1/12
|
|
335,350
|
|
|
|
|
|
Senior Notes:
|
|
|
|
575,000
|
|
|
|
5.875% due 2/27/14
|
|
457,125
|
|
320,000
|
|
|
|
7.625% due 1/15/17
|
|
257,600
|
|
203,000
|
|
|
|
Senior Subordinated Notes, 9.375% due 2/15/10
|
|
198,940
|
|
500,000
|
|
|
|
River Rock Entertainment Authority, Senior Secured
Notes, 9.750% due 11/1/11
|
|
485,000
|
|
270,000
|
|
|
|
Sbarro Inc., Senior Notes, 10.375% due 2/1/15
|
|
222,750
|
|
625,000
|
|
|
|
Seneca Gaming Corp., Senior Notes, 7.250% due
5/1/12
|
|
573,438
|
|
|
|
|
|
Station Casinos Inc.:
|
|
|
|
|
|
|
|
Senior Notes:
|
|
|
|
60,000
|
|
|
|
6.000% due 4/1/12
|
|
40,500
|
|
530,000
|
|
|
|
7.750% due 8/15/16
|
|
357,750
|
|
100,000
|
|
|
|
Senior Subordinated Notes, 6.875% due 3/1/16
|
|
46,000
|
|
500,000
|
|
|
|
Turning Stone Casino Resort Enterprise, Senior
Notes, 9.125% due 12/15/10 (d)
|
|
482,500
|
|
|
|
|
|
Total
Hotels, Restaurants & Leisure
|
|
6,211,008
|
|
Household Durables 0.2%
|
|
|
|
185,000
|
|
|
|
K Hovnanian Enterprises Inc., Senior Notes, 8.625%
due 1/15/17
|
|
124,875
|
|
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, step bond to yield 9.608% due 9/1/12
|
|
640,500
|
|
|
|
|
|
Total
Household Durables
|
|
1,247,950
|
|
Internet & Catalog Retail 0.0%
|
|
|
|
30,000
|
|
|
|
Expedia Inc., Senior Notes, 8.500% due 7/1/16 (d)
|
|
28,650
|
|
Media 0.8%
|
|
|
|
|
|
|
|
Affinion Group Inc.:
|
|
|
|
355,000
|
|
|
|
Senior Notes, 10.125% due 10/15/13
|
|
358,550
|
|
100,000
|
|
|
|
Senior Subordinated Notes, 11.500% due 10/15/15
|
|
100,000
|
|
1,159,000
|
|
|
|
CCH I LLC/CCH I Capital Corp., Senior Secured
Notes, 11.000% due 10/1/15
|
|
883,737
|
|
325,000
|
|
|
|
CCH II LLC/CCH II Capital Corp., Senior Notes,
10.250% due 10/1/13
|
|
287,625
|
|
105,000
|
|
|
|
Charter Communications Holdings LLC/Charter
Communications Holdings Capital Corp., Senior Discount Notes, 11.750% due
5/15/11
|
|
72,450
|
|
390,000
|
|
|
|
Charter Communications Inc., Senior Secured Notes,
10.875% due 9/15/14 (d)
|
|
407,550
|
|
840,000
|
|
|
|
Comcast Corp., Notes, 6.500% due 1/15/17
|
|
847,769
|
|
225,000
|
|
|
|
Dex Media West LLC/Dex Media Finance Co., Senior
Notes, 8.500% due 8/15/10
|
|
217,125
|
|
1,485,000
|
|
|
|
Idearc Inc., Senior Notes, 8.000% due 11/15/16
|
|
683,100
|
|
20,000
|
|
|
|
News America Inc., 6.650% due 11/15/37
|
|
19,054
|
|
|
|
|
|
R.H. Donnelley Corp.:
|
|
|
|
655,000
|
|
|
|
Senior Discount Notes, 6.875% due 1/15/13
|
|
327,500
|
|
450,000
|
|
|
|
Senior Notes, 8.875% due 1/15/16
|
|
219,375
|
|
10,000
|
|
|
|
Time Warner Cable Inc., 5.850% due 5/1/17
|
|
9,548
|
|
810,000
|
|
|
|
Time Warner Inc., Senior Notes, 6.875% due 5/1/12
|
|
827,947
|
|
360,000
|
|
|
|
TL Acquisitions Inc., Senior Notes, 10.500% due
1/15/15 (d)
|
|
318,600
|
|
|
|
|
|
Total Media
|
|
5,579,930
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedule of Investments.
6
LMP
Capital and Income Fund Inc.
Schedule
of Investments
(unaudited) (continued)
|
|
|
July 31, 2008
|
Face
Amount
|
|
|
|
Security
|
|
Value
|
|
Multiline Retail 0.2%
|
|
|
|
$
|
530,000
|
|
|
|
Dollar General Corp., Senior Subordinated Notes,
11.875% due
7/15/17 (f)
|
|
$
|
503,500
|
|
1,105,000
|
|
|
|
Neiman Marcus Group Inc., Senior Subordinated
Notes, 10.375% due 10/15/15
|
|
1,088,425
|
|
|
|
|
|
Total
Multiline Retail
|
|
1,591,925
|
|
Specialty Retail 0.1%
|
|
|
|
315,000
|
|
|
|
Blockbuster Inc., Senior Subordinated Notes, 9.000%
due 9/1/12
|
|
252,394
|
|
165,000
|
|
|
|
Eye Care Centers of America, Senior Subordinated
Notes, 10.750% due 2/15/15
|
|
169,125
|
|
150,000
|
|
|
|
Michaels Stores Inc., Senior Subordinated Bonds,
11.375% due 11/1/16
|
|
106,500
|
|
|
|
|
|
Total
Specialty Retail
|
|
528,019
|
|
Textiles, Apparel & Luxury Goods 0.1%
|
|
|
|
270,000
|
|
|
|
Oxford Industries Inc., Senior Notes, 8.875% due
6/1/11
|
|
260,550
|
|
|
|
|
|
TOTAL
CONSUMER DISCRETIONARY
|
|
17,876,837
|
|
CONSUMER STAPLES 0.4%
|
|
|
|
Beverages 0.1%
|
|
|
|
760,000
|
|
|
|
Constellation Brands Inc., Senior Notes, 8.375% due
12/15/14
|
|
780,900
|
|
Food & Staples Retailing 0.2%
|
|
|
|
425,944
|
|
|
|
CVS Caremark Corp., 6.943% due 1/10/30 (d)
|
|
413,870
|
|
|
|
|
|
Kroger Co.:
|
|
|
|
200,000
|
|
|
|
5.500% due 2/1/13
|
|
200,431
|
|
400,000
|
|
|
|
Senior Notes, 6.150% due 1/15/20
|
|
396,585
|
|
150,000
|
|
|
|
Safeway Inc., Senior Notes, 6.500% due 11/15/08
|
|
150,846
|
|
|
|
|
|
Total
Food & Staples Retailing
|
|
1,161,732
|
|
Food Products 0.1%
|
|
|
|
|
|
|
|
Dole Food Co. Inc., Senior Notes:
|
|
|
|
125,000
|
|
|
|
7.250% due 6/15/10
|
|
115,625
|
|
261,000
|
|
|
|
8.875% due 3/15/11
|
|
239,141
|
|
|
|
|
|
Total
Food Products
|
|
354,766
|
|
Tobacco 0.0%
|
|
|
|
|
|
|
|
Alliance One International Inc., Senior Notes:
|
|
|
|
150,000
|
|
|
|
8.500% due 5/15/12
|
|
141,375
|
|
160,000
|
|
|
|
11.000% due 5/15/12
|
|
164,400
|
|
|
|
|
|
Total
Tobacco
|
|
305,775
|
|
|
|
|
|
TOTAL
CONSUMER STAPLES
|
|
2,603,173
|
|
ENERGY 2.2%
|
|
|
|
Energy Equipment & Services 0.1%
|
|
|
|
585,000
|
|
|
|
Complete Production Services Inc., Senior Notes,
8.000% due 12/15/16
|
|
583,537
|
|
250,000
|
|
|
|
Key Energy Services Inc., Senior Notes, 8.375% due
12/1/14 (d)
|
|
252,500
|
|
55,000
|
|
|
|
Pride International Inc., Senior Notes, 7.375% due
7/15/14
|
|
55,688
|
|
10,000
|
|
|
|
Southern Natural Gas Co., Senior Notes, 8.000% due
3/1/32
|
|
10,707
|
|
|
|
|
|
Total
Energy Equipment & Services
|
|
902,432
|
|
Oil, Gas & Consumable Fuels 2.1%
|
|
|
|
750,000
|
|
|
|
Amerada Hess Corp., Senior Notes, 6.650% due
8/15/11
|
|
788,262
|
|
|
|
|
|
Anadarko Petroleum Corp., Senior Notes:
|
|
|
|
60,000
|
|
|
|
5.950% due 9/15/16
|
|
59,862
|
|
1,240,000
|
|
|
|
6.450% due 9/15/36
|
|
1,197,077
|
|
|
|
|
|
Apache Corp.:
|
|
|
|
540,000
|
|
|
|
5.625% due 1/15/17
|
|
547,585
|
|
200,000
|
|
|
|
Senior Notes, 5.250% due 4/15/13
|
|
203,015
|
|
440,000
|
|
|
|
Belden & Blake Corp., Secured Notes,
8.750% due 7/15/12
|
|
446,600
|
|
|
|
|
|
Chesapeake Energy Corp., Senior Notes:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedule of Investments.
7
LMP
Capital and Income Fund Inc.
Schedule
of Investments
(unaudited) (continued)
|
|
|
July 31, 2008
|
Face
Amount
|
|
|
|
Security
|
|
Value
|
|
Oil, Gas & Consumable Fuels 2.1% (continued)
|
|
|
|
$
|
775,000
|
|
|
|
6.375% due 6/15/15
|
|
$
|
736,250
|
|
400,000
|
|
|
|
6.500% due 8/15/17
|
|
376,000
|
|
85,000
|
|
|
|
Compagnie Generale de Geophysique SA, Senior Notes,
7.500% due 5/15/15
|
|
84,575
|
|
330,000
|
|
|
|
ConocoPhillips Holding Co., Senior Notes, 6.950%
due 4/15/29
|
|
356,375
|
|
750,000
|
|
|
|
Devon Financing Corp. ULC, Notes, 6.875% due
9/30/11
|
|
792,923
|
|
|
|
|
|
El Paso Corp., Medium-Term Notes:
|
|
|
|
180,000
|
|
|
|
7.800% due 8/1/31
|
|
179,832
|
|
1,050,000
|
|
|
|
7.750% due 1/15/32
|
|
1,048,892
|
|
650,000
|
|
|
|
Energy Transfer Partners LP, 6.700% due 7/1/18
|
|
656,735
|
|
320,000
|
|
|
|
Enterprise Products Operating LP, Junior
Subordinated Notes, 8.375% due 8/1/66 (c)
|
|
313,091
|
|
660,000
|
|
|
|
EXCO Resources Inc., Senior Notes, 7.250% due
1/15/11
|
|
656,700
|
|
260,000
|
|
|
|
International Coal Group Inc., Senior Notes,
10.250% due 7/15/14
|
|
265,850
|
|
|
|
|
|
Kerr-McGee Corp.:
|
|
|
|
140,000
|
|
|
|
6.950% due 7/1/24
|
|
143,496
|
|
300,000
|
|
|
|
Notes, 6.875% due 9/15/11
|
|
313,829
|
|
|
|
|
|
Kinder Morgan Energy Partners LP, Senior Notes:
|
|
|
|
540,000
|
|
|
|
6.000% due 2/1/17
|
|
534,174
|
|
100,000
|
|
|
|
5.950% due 2/15/18
|
|
97,484
|
|
605,000
|
|
|
|
OPTI Canada Inc., Senior Secured Notes, 8.250% due
12/15/14
|
|
612,562
|
|
240,000
|
|
|
|
Overseas Shipholding Group Inc., Senior Notes,
7.500% due 2/15/24
|
|
220,200
|
|
410,000
|
|
|
|
Parker Drilling Co., Senior Notes, 9.625% due
10/1/13
|
|
430,500
|
|
160,000
|
|
|
|
Petroplus Finance Ltd., Senior Note, 7.000% due
5/1/17 (d)
|
|
139,200
|
|
780,000
|
|
|
|
SemGroup LP, Senior Notes, 8.750% due 11/15/15
(b)(d)(e)
|
|
109,200
|
|
260,000
|
|
|
|
Stone Energy Corp., Senior Subordinated Notes,
8.250% due 12/15/11
|
|
254,800
|
|
330,000
|
|
|
|
Teekay Shipping Corp., Senior Notes, 8.875% due
7/15/11
|
|
348,150
|
|
180,000
|
|
|
|
VeraSun Energy Corp., 9.375% due 6/1/17
|
|
95,400
|
|
355,000
|
|
|
|
Whiting Petroleum Corp., Senior Subordinated Notes,
7.250% due 5/1/12
|
|
350,562
|
|
|
|
|
|
Williams Cos. Inc.:
|
|
|
|
100,000
|
|
|
|
Notes, 8.750% due 3/15/32
|
|
114,000
|
|
470,000
|
|
|
|
Senior Notes, 7.750% due 6/15/31
|
|
488,800
|
|
|
|
|
|
XTO Energy Inc.:
|
|
|
|
350,000
|
|
|
|
5.650% due 4/1/16
|
|
339,769
|
|
|
|
|
|
Senior Notes:
|
|
|
|
170,000
|
|
|
|
7.500% due 4/15/12
|
|
182,513
|
|
300,000
|
|
|
|
5.500% due 6/15/18
|
|
281,392
|
|
|
|
|
|
Total
Oil, Gas & Consumable Fuels
|
|
13,765,655
|
|
|
|
|
|
TOTAL
ENERGY
|
|
14,668,087
|
|
FINANCIALS 3.7%
|
|
|
|
Capital Markets 0.5%
|
|
|
|
300,000
|
|
|
|
Bear Stearns Co. Inc., Senior Notes, 6.400% due
10/2/17
|
|
294,305
|
|
30,000
|
|
|
|
Goldman Sachs Capital II, Junior Subordinated
Bonds, 5.793% due 6/1/12 (c)(g)
|
|
19,871
|
|
600,000
|
|
|
|
Goldman Sachs Group Inc., Senior Notes, 6.150% due
4/1/18
|
|
579,014
|
|
1,200,000
|
|
|
|
Kaupthing Bank HF, Subordinated Notes, 7.125% due
5/19/16 (d)
|
|
726,943
|
|
50,000
|
|
|
|
Lehman Brothers Holdings Capital Trust VII,
Medium-Term Notes, 5.857% due 5/31/12 (c)(g)
|
|
26,520
|
|
|
|
|
|
Lehman Brothers Holdings Inc., Medium-Term Notes:
|
|
|
|
1,110,000
|
|
|
|
6.750% due 12/28/17
|
|
1,011,149
|
|
130,000
|
|
|
|
Senior Notes, 6.200% due 9/26/14
|
|
119,785
|
|
|
|
|
|
Merrill Lynch & Co. Inc.:
|
|
|
|
100,000
|
|
|
|
5.450% due 2/5/13
|
|
92,854
|
|
520,000
|
|
|
|
6.875% due 4/25/18
|
|
487,611
|
|
|
|
|
|
Total
Capital Markets
|
|
3,358,052
|
|
Commercial Banks 0.6%
|
|
|
|
20,000
|
|
|
|
BAC Capital Trust XIV, Junior Subordinated Notes,
5.630% due
3/15/12 (c)(g)
|
|
14,168
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedule of Investments.
8
LMP
Capital and Income Fund Inc.
Schedule
of Investments
(unaudited) (continued)
|
|
|
July 31, 2008
|
Face
Amount
|
|
|
|
Security
|
|
Value
|
|
Commercial Banks 0.6% (continued)
|
|
|
|
$
|
40,908
|
|
|
|
Fifth Third Bank, Notes, 2.870% due 8/10/09
|
|
$
|
39,630
|
|
290,000
|
|
|
|
Glitnir Banki HF, Notes, 6.375% due 9/25/12 (d)
|
|
222,250
|
|
100,000
|
|
|
|
HBOS Capital Funding LP, Tier 1 Notes, Perpetual
Bonds, 6.071% due 6/30/14 (c)(d)(g)
|
|
82,179
|
|
1,300,000
|
|
|
|
Resona Preferred Global Securities Cayman Ltd.,
Bonds, 7.191% due 7/30/15 (c)(d)(g)
|
|
1,133,171
|
|
1,400,000
|
|
|
|
Shinsei Finance Cayman Ltd., Junior Subordinated
Bonds, 6.418% due 7/20/16 (c)(d)(g)
|
|
898,239
|
|
1,520,000
|
|
|
|
Wachovia Corp., Medium Term Notes, 5.500% due
5/1/13
|
|
1,404,833
|
|
200,000
|
|
|
|
Wells Fargo & Co., Medium Term Notes,
4.375% due 1/31/13
|
|
190,465
|
|
|
|
|
|
Total
Commercial Banks
|
|
3,984,935
|
|
Consumer Finance 1.4%
|
|
|
|
300,000
|
|
|
|
Aiful Corp., Notes, 6.000% due 12/12/11 (d)
|
|
261,328
|
|
610,000
|
|
|
|
American Express Co., Subordinated Debentures,
6.800% due 9/1/66 (c)
|
|
546,777
|
|
300,000
|
|
|
|
Caterpillar Financial Services Corp., Medium-Term
Notes, 5.450% due 4/15/18
|
|
295,871
|
|
|
|
|
|
Ford Motor Credit Co.:
|
|
|
|
|
|
|
|
Notes:
|
|
|
|
750,000
|
|
|
|
5.700% due 1/15/10
|
|
646,329
|
|
1,050,000
|
|
|
|
7.000% due 10/1/13
|
|
752,953
|
|
|
|
|
|
Senior Notes:
|
|
|
|
135,000
|
|
|
|
9.750% due 9/15/10
|
|
116,609
|
|
559,000
|
|
|
|
8.026% due 6/15/11 (c)
|
|
441,500
|
|
1,600,000
|
|
|
|
9.875% due 8/10/11
|
|
1,305,486
|
|
310,000
|
|
|
|
12.000% due 5/15/15
|
|
261,541
|
|
170,000
|
|
|
|
8.000% due 12/15/16
|
|
120,305
|
|
|
|
|
|
General Motors Acceptance Corp., Notes:
|
|
|
|
500,000
|
|
|
|
5.625% due 5/15/09
|
|
455,293
|
|
320,000
|
|
|
|
7.750% due 1/19/10
|
|
258,595
|
|
1,580,000
|
|
|
|
6.875% due 9/15/11
|
|
1,043,930
|
|
1,900,000
|
|
|
|
6.625% due 5/15/12
|
|
1,195,809
|
|
300,000
|
|
|
|
6.750% due 12/1/14
|
|
172,032
|
|
500,000
|
|
|
|
John Deere Capital Corp., Medium-Term Notes, 5.350%
due 4/3/18
|
|
489,924
|
|
|
|
|
|
SLM Corp.:
|
|
|
|
1,340,000
|
|
|
|
8.450% due 6/15/18
|
|
1,266,750
|
|
125,000
|
|
|
|
Medium-Term Notes, 3.000% due 1/26/09 (c)
|
|
123,672
|
|
|
|
|
|
Total
Consumer Finance
|
|
9,754,704
|
|
Diversified Financial Services 0.8%
|
|
|
|
150,000
|
|
|
|
AAC Group Holding Corp., step bond to yield 0.000%
due 10/1/12 (d)
|
|
144,750
|
|
100,000
|
|
|
|
Aiful Corp., Notes, 5.000% due 8/10/10 (d)
|
|
87,213
|
|
100,000
|
|
|
|
Bank of America Corp., Subordinated Notes, 5.420%
due 3/15/17
|
|
89,679
|
|
510,000
|
|
|
|
Basell AF SCA, Senior Secured Subordinated Second
Priority Notes, 8.375% due 8/15/15 (d)
|
|
316,200
|
|
125,000
|
|
|
|
Capital One Bank, Notes, 5.750% due 9/15/10
|
|
123,331
|
|
|
|
|
|
Citigroup Inc.:
|
|
|
|
580,000
|
|
|
|
5.500% due 4/11/13
|
|
567,129
|
|
550,000
|
|
|
|
6.875% due 3/5/38
|
|
532,431
|
|
125,000
|
|
|
|
Countrywide Home Loans Inc., Medium-Term Notes,
4.125% due 9/15/09
|
|
121,527
|
|
|
|
|
|
General Electric Capital Corp.:
|
|
|
|
250,000
|
|
|
|
Medium-Term Notes, 5.450% due 1/15/13
|
|
251,112
|
|
1,290,000
|
|
|
|
Senior Notes, 5.625% due 5/1/18
|
|
1,256,865
|
|
20,000
|
|
|
|
Subordinated Debentures, 6.375% due 11/15/67 (c)
|
|
18,505
|
|
200,000
|
|
|
|
Glen Meadow Pass-Through Certificates, 6.505% due
2/12/67 (c)(d)
|
|
173,121
|
|
125,000
|
|
|
|
HSBC Finance Corp., Senior Subordinated Notes,
5.875% due 2/1/09
|
|
125,840
|
|
|
|
|
|
Leucadia National Corp., Senior Notes:
|
|
|
|
370,000
|
|
|
|
8.125% due 9/15/15
|
|
370,462
|
|
70,000
|
|
|
|
7.125% due 3/15/17
|
|
65,887
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedule of Investments.
9
LMP
Capital and Income Fund Inc.
Schedule
of Investments
(unaudited) (continued)
|
|
|
|
|
July 31, 2008
|
Face
Amount
|
|
|
|
Security
|
|
Value
|
|
Diversified Financial Services 0.8% (continued)
|
|
|
|
|
|
|
|
Residential Capital LLC:
|
|
|
|
$
|
45,000
|
|
|
|
8.500% due 5/15/10 (d)
|
|
$
|
32,400
|
|
344,000
|
|
|
|
9.625% due 5/15/15 (d)
|
|
135,880
|
|
|
|
|
|
Vanguard Health Holdings Co.:
|
|
|
|
620,000
|
|
|
|
I LLC, Senior Discount Notes, step bond to yield
10.257% due 10/1/15
|
|
548,700
|
|
300,000
|
|
|
|
II LLC, Senior Subordinated Notes, 9.000% due
10/1/14
|
|
294,000
|
|
|
|
|
|
Total
Diversified Financial Services
|
|
5,255,032
|
|
Insurance 0.3%
|
|
|
|
1,170,000
|
|
|
|
American International Group Inc., Medium-Term
Notes, 5.850% due 1/16/18
|
|
1,051,302
|
|
20,000
|
|
|
|
MetLife Inc., Junior Subordinated Debentures,
6.400% due 12/15/36
|
|
17,055
|
|
600,000
|
|
|
|
Pacific Life Global Funding, 5.150% due 4/15/13 (d)
|
|
595,900
|
|
140,000
|
|
|
|
Travelers Cos. Inc., Junior Subordinated
Debentures, 6.250% due
3/15/37 (c)
|
|
118,321
|
|
|
|
|
|
Total
Insurance
|
|
1,782,578
|
|
Real Estate Investment Trusts (REITs) 0.0%
|
|
|
|
220,000
|
|
|
|
Forest City Enterprises Inc., Senior Notes, 6.500%
due 2/1/17
|
|
183,700
|
|
75,000
|
|
|
|
iStar Financial Inc., Senior Notes, 4.875% due
1/15/09
|
|
71,258
|
|
85,000
|
|
|
|
Ventas Realty LP/Ventas Capital Corp., Senior
Notes, 6.500% due 6/1/16
|
|
80,325
|
|
|
|
|
|
Total
Real Estate Investment Trusts (REITs)
|
|
335,283
|
|
Real Estate Management & Development 0.1%
|
|
|
|
270,000
|
|
|
|
Ashton Woods USA LLC/Ashton Woods Finance Co.,
Senior Subordinated Notes, 9.500% due 10/1/15
|
|
163,350
|
|
570,000
|
|
|
|
Realogy Corp., Senior Subordinated Notes, 12.375%
due 4/15/15
|
|
273,600
|
|
|
|
|
|
Total
Real Estate Management & Development
|
|
436,950
|
|
Thrifts & Mortgage Finance 0.0%
|
|
|
|
270,000
|
|
|
|
Countrywide Home Loans Inc., Notes, 5.625% due
7/15/09
|
|
264,872
|
|
|
|
|
|
TOTAL
FINANCIALS
|
|
25,172,406
|
|
HEALTH CARE 1.3%
|
|
|
|
Health Care Providers & Services 1.2%
|
|
|
|
550,000
|
|
|
|
Cardinal Health Inc., 5.800% due 10/15/16
|
|
537,523
|
|
460,000
|
|
|
|
Community Health Systems Inc., Senior Notes, 8.875%
due 7/15/15
|
|
465,750
|
|
730,000
|
|
|
|
DaVita Inc., Senior Subordinated Notes, 7.250% due
3/15/15
|
|
721,787
|
|
|
|
|
|
HCA Inc.:
|
|
|
|
295,000
|
|
|
|
Notes, 6.375% due 1/15/15
|
|
243,375
|
|
345,000
|
|
|
|
Senior Notes, 6.500% due 2/15/16
|
|
288,938
|
|
|
|
|
|
Senior Secured Notes:
|
|
|
|
800,000
|
|
|
|
9.125% due 11/15/14
|
|
826,000
|
|
215,000
|
|
|
|
9.250% due 11/15/16
|
|
221,988
|
|
435,000
|
|
|
|
9.625% due 11/15/16 (f)
|
|
449,137
|
|
425,000
|
|
|
|
IASIS Healthcare LLC/IASIS Capital Corp., Senior
Subordinated Notes, 8.750% due 6/15/14
|
|
428,188
|
|
|
|
|
|
Tenet Healthcare Corp., Senior Notes:
|
|
|
|
180,000
|
|
|
|
6.375% due 12/1/11
|
|
178,200
|
|
870,000
|
|
|
|
6.500% due 6/1/12
|
|
849,337
|
|
650,000
|
|
|
|
7.375% due 2/1/13
|
|
614,250
|
|
31,000
|
|
|
|
9.875% due 7/1/14
|
|
31,310
|
|
600,000
|
|
|
|
UnitedHealth Group Inc., Senior Notes, 5.250% due
3/15/11
|
|
594,196
|
|
943,000
|
|
|
|
US Oncology Holdings Inc., Senior Notes, 7.949% due
3/15/12 (c)(f)
|
|
759,115
|
|
|
|
|
|
WellPoint Inc., Senior Notes:
|
|
|
|
720,000
|
|
|
|
5.000% due 1/15/11
|
|
712,693
|
|
30,000
|
|
|
|
5.875% due 6/15/17
|
|
28,720
|
|
|
|
|
|
Total
Health Care Providers & Services
|
|
7,950,507
|
|
Pharmaceuticals 0.1%
|
|
|
|
650,000
|
|
|
|
Abbott Laboratories, Senior Notes, 5.600% due
11/30/17
|
|
656,758
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedule of Investments.
10
LMP
Capital and Income Fund Inc.
Schedule
of Investments
(unaudited) (continued)
|
|
|
|
|
July 31, 2008
|
Face
Amount
|
|
|
|
Security
|
|
Value
|
|
Pharmaceuticals 0.1% (continued)
|
|
|
|
$
|
445,000
|
|
|
|
Leiner Health Products Inc., Senior Subordinated
Notes, 11.000% due 6/1/12 (b)(e)
|
|
$
|
10,013
|
|
|
|
|
|
Total
Pharmaceuticals
|
|
666,771
|
|
|
|
|
|
TOTAL
HEALTH CARE
|
|
8,617,278
|
|
INDUSTRIALS 1.5%
|
|
|
|
Aerospace & Defense 0.2%
|
|
|
|
1,060,000
|
|
|
|
Hawker Beechcraft Acquisition Co., Senior Notes,
8.875% due 4/1/15 (f)
|
|
1,052,050
|
|
Airlines 0.2%
|
|
|
|
|
|
|
|
Continental Airlines Inc., Pass-Through
Certificates:
|
|
|
|
118,059
|
|
|
|
8.312% due 4/2/11
|
|
105,072
|
|
380,000
|
|
|
|
7.339% due 4/19/14
|
|
281,200
|
|
800,000
|
|
|
|
DAE Aviation Holdings Inc., Senior Notes, 11.250%
due 8/1/15 (d)
|
|
784,000
|
|
|
|
|
|
Total
Airlines
|
|
1,170,272
|
|
Building Products 0.2%
|
|
|
|
1,110,000
|
|
|
|
Associated Materials Inc., Senior Subordinated
Notes, 9.750% due 4/15/12
|
|
1,098,900
|
|
1,110,000
|
|
|
|
NTK Holdings Inc., Senior Discount Notes, step bond
to yield 16.351% due 3/1/14
|
|
463,425
|
|
|
|
|
|
Total
Building Products
|
|
1,562,325
|
|
Commercial Services & Supplies 0.4%
|
|
|
|
180,000
|
|
|
|
Allied Security Escrow Corp., Senior Subordinated
Notes, 11.375% due 7/15/11
|
|
163,815
|
|
220,000
|
|
|
|
Allied Waste North America Inc., Senior Notes,
6.875% due 6/1/17
|
|
212,300
|
|
550,000
|
|
|
|
DynCorp International LLC/DIV Capital Corp., Senior
Subordinated Notes, 9.500% due 2/15/13
|
|
545,188
|
|
600,000
|
|
|
|
Interface Inc., Senior Subordinated Notes, 9.500%
due 2/1/14
|
|
634,500
|
|
440,000
|
|
|
|
Rental Services Corp., Senior Notes, 9.500% due
12/1/14
|
|
363,000
|
|
790,000
|
|
|
|
US Investigations Services Inc., Senior
Subordinated Notes, 10.500% due 11/1/15 (d)
|
|
718,900
|
|
225,000
|
|
|
|
Waste Management Inc., Senior Notes, 6.375% due
11/15/12
|
|
224,391
|
|
|
|
|
|
Total
Commercial Services & Supplies
|
|
2,862,094
|
|
Industrial Conglomerates 0.1%
|
|
|
|
|
|
|
|
Sequa Corp., Senior Notes:
|
|
|
|
140,000
|
|
|
|
11.750% due 12/1/15 (d)
|
|
122,500
|
|
140,000
|
|
|
|
13.500% due 12/1/15 (d)(f)
|
|
122,500
|
|
|
|
|
|
Total
Industrial Conglomerates
|
|
245,000
|
|
Machinery 0.0%
|
|
|
|
60,000
|
|
|
|
Terex Corp., Senior Subordinated Notes, 7.375% due
1/15/14
|
|
58,950
|
|
Road & Rail 0.2%
|
|
|
|
1,195,000
|
|
|
|
Hertz Corp., Senior Subordinated Notes, 10.500% due
1/1/16
|
|
1,045,625
|
|
50,000
|
|
|
|
Kansas City Southern de Mexico, Senior Notes,
7.625% due 12/1/13
|
|
49,250
|
|
430,000
|
|
|
|
Kansas City Southern Railway, Senior Notes, 7.500%
due 6/15/09
|
|
436,988
|
|
|
|
|
|
Total
Road & Rail
|
|
1,531,863
|
|
Trading Companies & Distributors 0.2%
|
|
|
|
355,000
|
|
|
|
Ashtead Capital Inc., Notes, 9.000% due 8/15/16 (d)
|
|
314,175
|
|
440,000
|
|
|
|
H&E Equipment Services Inc., Senior Notes,
8.375% due 7/15/16
|
|
380,600
|
|
650,000
|
|
|
|
Penhall International Corp., Senior Secured Notes,
12.000%
due 8/1/14 (d)
|
|
464,750
|
|
|
|
|
|
Total
Trading Companies & Distributors
|
|
1,159,525
|
|
Transportation Infrastructure 0.0%
|
|
|
|
|
|
|
|
Swift Transportation Co., Senior Secured Notes:
|
|
|
|
150,000
|
|
|
|
10.426% due 5/15/15 (c)(d)
|
|
54,750
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedule of Investments.
11
LMP
Capital and Income Fund Inc.
Schedule
of Investments
(unaudited) (continued)
|
|
|
|
|
July 31, 2008
|
Face
Amount
|
|
|
|
Security
|
|
Value
|
|
Transportation Infrastructure 0.0% (continued)
|
|
|
|
$
|
405,000
|
|
|
|
12.500% due 5/15/17 (d)
|
|
$
|
159,975
|
|
|
|
|
|
Total
Transportation Infrastructure
|
|
214,725
|
|
|
|
|
|
TOTAL
INDUSTRIALS
|
|
9,856,804
|
|
INFORMATION TECHNOLOGY 0.4%
|
|
|
|
Electronic Equipment & Instruments 0.1%
|
|
|
|
1,115,000
|
|
|
|
NXP BV/NXP Funding LLC, Senior Notes, 9.500% due
10/15/15
|
|
774,925
|
|
IT Services 0.2%
|
|
|
|
170,000
|
|
|
|
Ceridian Corp., Senior Notes, 12.250% due 11/15/15
(d)(f)
|
|
154,700
|
|
360,000
|
|
|
|
First Data Corp., 9.875% due 9/24/15 (d)
|
|
319,050
|
|
|
|
|
|
SunGard Data Systems Inc.:
|
|
|
|
400,000
|
|
|
|
Senior Notes, 9.125% due 8/15/13
|
|
411,000
|
|
660,000
|
|
|
|
Senior Subordinated Notes, 10.250% due 8/15/15
|
|
673,200
|
|
|
|
|
|
Total
IT Services
|
|
1,557,950
|
|
Office Electronics 0.1%
|
|
|
|
290,000
|
|
|
|
Xerox Corp., Senior Notes, 6.750% due 2/1/17
|
|
290,627
|
|
Semiconductors & Semiconductor Equipment 0.0%
|
|
|
|
35,000
|
|
|
|
Freescale Semiconductor Inc., Senior Notes, 8.875%
due 12/15/14
|
|
29,837
|
|
|
|
|
|
TOTAL
INFORMATION TECHNOLOGY
|
|
2,653,339
|
|
MATERIALS 1.3%
|
|
|
|
Chemicals 0.1%
|
|
|
|
|
|
|
|
Georgia Gulf Corp., Senior Notes:
|
|
|
|
90,000
|
|
|
|
9.500% due 10/15/14
|
|
68,400
|
|
515,000
|
|
|
|
10.750% due 10/15/16
|
|
270,375
|
|
110,000
|
|
|
|
Huntsman International LLC, Senior Subordinated
Notes, 7.875% due
11/15/14
|
|
103,675
|
|
100,000
|
|
|
|
Methanex Corp., Senior Notes, 8.750% due 8/15/12
|
|
106,000
|
|
360,000
|
|
|
|
PPG Industries Inc., Senior Notes, 6.650% due
3/15/18
|
|
366,227
|
|
|
|
|
|
Total
Chemicals
|
|
914,677
|
|
Containers & Packaging 0.1%
|
|
|
|
285,000
|
|
|
|
Graham Packaging Co. Inc., Senior Subordinated
Notes, 9.875% due 10/15/14
|
|
245,100
|
|
535,000
|
|
|
|
Graphic Packaging International Corp., Senior
Subordinated Notes, 9.500% due 8/15/13
|
|
500,225
|
|
195,000
|
|
|
|
Plastipak Holdings Inc., Senior Notes, 8.500% due
12/15/15 (d)
|
|
166,725
|
|
|
|
|
|
Total
Containers & Packaging
|
|
912,050
|
|
Metals & Mining 0.8%
|
|
|
|
1,560,000
|
|
|
|
Freeport-McMoRan Copper & Gold Inc.,
Senior Notes, 8.375% due 4/1/17
|
|
1,636,619
|
|
650,000
|
|
|
|
Metals USA Inc., Senior Secured Notes, 11.125% due
12/1/15
|
|
676,000
|
|
205,000
|
|
|
|
Noranda Aluminium Holding Corp., Senior Notes, 8.578%
due
11/15/14 (c)(f)
|
|
169,125
|
|
610,000
|
|
|
|
Novelis Inc., Senior Notes, 7.250% due 2/15/15
|
|
567,300
|
|
935,000
|
|
|
|
Ryerson Inc., Senior Secured Notes, 12.000% due
11/1/15 (d)
|
|
916,300
|
|
|
|
|
|
Steel Dynamics Inc.:
|
|
|
|
100,000
|
|
|
|
7.375% due 11/1/12
|
|
99,500
|
|
785,000
|
|
|
|
Senior Notes, 7.750% due 4/15/16 (d)
|
|
777,150
|
|
200,000
|
|
|
|
Tube City IMS Corp., Senior Subordinated Notes,
9.750% due 2/1/15
|
|
187,000
|
|
156,000
|
|
|
|
Vale Overseas Ltd., Notes, 6.875% due 11/21/36
|
|
149,836
|
|
|
|
|
|
Total
Metals & Mining
|
|
5,178,830
|
|
Paper & Forest Products 0.3%
|
|
|
|
750,000
|
|
|
|
Abitibi-Consolidated Co. of Canada, Senior Secured
Notes, 13.750% due 4/1/11 (d)
|
|
785,625
|
|
545,000
|
|
|
|
Appleton Papers Inc., Senior Subordinated Notes,
9.750% due 6/15/14
|
|
506,850
|
|
435,000
|
|
|
|
NewPage Corp., Senior Secured Notes, 9.123%
due 5/1/12 (c)
|
|
415,425
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedule of Investments.
12
LMP
Capital and Income Fund Inc.
Schedule
of Investments
(unaudited) (continued)
|
|
|
|
|
July 31, 2008
|
Face
Amount
|
|
|
|
Security
|
|
Value
|
|
Paper & Forest Products 0.3% (continued)
|
|
|
|
$
|
150,000
|
|
|
|
Weyerhaeuser Co., Senior Notes, 6.750% due 3/15/12
|
|
$
|
154,558
|
|
|
|
|
|
Total
Paper & Forest Products
|
|
1,862,458
|
|
|
|
|
|
TOTAL
MATERIALS
|
|
8,868,015
|
|
TELECOMMUNICATION SERVICES 1.7%
|
|
|
|
Diversified Telecommunication Services 1.1%
|
|
|
|
600,000
|
|
|
|
Deutsche Telekom International Finance, Senior
Notes, 5.750% due 3/23/16
|
|
582,803
|
|
730,000
|
|
|
|
Embarq Corp., Senior Notes, 6.738% due 6/1/13
|
|
703,519
|
|
|
|
|
|
Hawaiian Telcom Communications Inc.:
|
|
|
|
120,000
|
|
|
|
Senior Notes, 9.750% due 5/1/13
|
|
44,400
|
|
660,000
|
|
|
|
Senior Subordinated Notes, 12.500% due 5/1/15
|
|
141,900
|
|
680,000
|
|
|
|
Intelsat Bermuda Ltd., Senior Notes, 11.250% due
6/15/16
|
|
708,900
|
|
|
|
|
|
Level 3 Financing Inc.:
|
|
|
|
30,000
|
|
|
|
6.704% due 2/15/15 (c)
|
|
25,200
|
|
295,000
|
|
|
|
Senior Notes, 9.250% due 11/1/14
|
|
269,925
|
|
750,000
|
|
|
|
Nordic Telephone Co. Holdings, Senior Secured
Bonds, 8.875% due 5/1/16 (d)
|
|
727,500
|
|
1,150,000
|
|
|
|
Qwest Communications International Inc., Senior
Notes, 7.500% due 2/15/14
|
|
1,066,625
|
|
100,000
|
|
|
|
Telecom Italia Capital S.p.A., Senior Notes, 5.250%
due 10/1/15
|
|
91,291
|
|
450,000
|
|
|
|
Verizon Florida Inc., Senior Notes, 6.125% due
1/15/13
|
|
455,674
|
|
800,000
|
|
|
|
Virgin Media Finance PLC, Senior Notes, 9.125% due
8/15/16
|
|
744,000
|
|
650,000
|
|
|
|
Wind Acquisition Finance SA, Senior Bonds, 10.750%
due 12/1/15 (d)
|
|
676,000
|
|
925,000
|
|
|
|
Windstream Corp., Senior Notes, 8.625% due 8/1/16
|
|
941,187
|
|
|
|
|
|
Total
Diversified Telecommunication Services
|
|
7,178,924
|
|
Wireless Telecommunication Services 0.6%
|
|
|
|
420,000
|
|
|
|
ALLTEL Communications Inc., Senior Notes, 10.375%
due
12/1/17 (d)(f)
|
|
489,300
|
|
65,000
|
|
|
|
MetroPCS Wireless Inc., Senior Notes, 9.250% due
11/1/14
|
|
63,375
|
|
1,270,000
|
|
|
|
New Cingular Wireless Services Inc., Notes, 8.125%
due 5/1/12
|
|
1,394,685
|
|
245,000
|
|
|
|
Rural Cellular Corp., Senior Notes, 9.875% due
2/1/10
|
|
251,737
|
|
1,190,000
|
|
|
|
Sprint Capital Corp., Senior Notes, 8.375% due
3/15/12
|
|
1,170,070
|
|
300,000
|
|
|
|
Sprint Nextel Corp., 6.000% due 12/1/16
|
|
253,144
|
|
780,000
|
|
|
|
True Move Co., Ltd., 10.750% due 12/16/13 (a)(d)
|
|
659,100
|
|
|
|
|
|
Total
Wireless Telecommunication Services
|
|
4,281,411
|
|
|
|
|
|
TOTAL
TELECOMMUNICATION SERVICES
|
|
11,460,335
|
|
UTILITIES 1.8%
|
|
|
|
Electric Utilities 0.2%
|
|
|
|
365,000
|
|
|
|
FirstEnergy Corp., Notes, 7.375% due 11/15/31
|
|
391,490
|
|
120,000
|
|
|
|
Orion Power Holdings Inc., Senior Notes, 12.000%
due 5/1/10
|
|
129,900
|
|
|
|
|
|
Pacific Gas & Electric Co.:
|
|
|
|
320,000
|
|
|
|
5.625% due 11/30/17
|
|
317,434
|
|
230,000
|
|
|
|
Senior Unsubordinated Notes, 5.800% due 3/1/37
|
|
210,003
|
|
670,000
|
|
|
|
Texas Competitive Electric Holding Co. LLC, Senior
Notes, 10.500% due 11/1/16 (d)(f)
|
|
648,225
|
|
|
|
|
|
Total
Electric Utilities
|
|
1,697,052
|
|
Gas Utilities 0.1%
|
|
|
|
770,000
|
|
|
|
Suburban Propane Partners LP/Suburban Energy
Finance Corp., Senior Notes, 6.875% due 12/15/13
|
|
714,175
|
|
Independent Power Producers & Energy Traders 1.5%
|
|
|
|
|
|
|
|
AES Corp., Senior Notes:
|
|
|
|
1,100,000
|
|
|
|
7.750% due 3/1/14
|
|
1,097,250
|
|
720,000
|
|
|
|
7.750% due 10/15/15
|
|
714,600
|
|
660,000
|
|
|
|
8.000% due 10/15/17
|
|
653,400
|
|
50,000
|
|
|
|
Dynegy Holdings Inc., Senior Notes, 7.750% due
6/1/19
|
|
46,250
|
|
990,000
|
|
|
|
Dynegy Inc., 7.670% due 11/8/16
|
|
968,962
|
|
|
|
|
|
Edison Mission Energy, Senior Notes:
|
|
|
|
480,000
|
|
|
|
7.750% due 6/15/16
|
|
483,600
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedule of Investments.
13
LMP
Capital and Income Fund Inc.
Schedule
of Investments
(unaudited) (continued)
|
|
|
|
|
July 31, 2008
|
Face
Amount
|
|
|
|
Security
|
|
Value
|
|
Independent Power Producers & Energy Traders 1.5%
(continued)
|
|
|
|
350,000
|
|
|
|
7.200% due 5/15/19
|
|
$
|
330,750
|
|
250,000
|
|
|
|
7.625% due 5/15/27
|
|
221,250
|
|
2,630,000
|
|
|
|
Energy Future Holdings, Senior Notes, 11.250% due
11/1/17 (d)(f)
|
|
2,616,850
|
|
670,896
|
|
|
|
Mirant Mid Atlantic LLC, Pass-Through Certificates,
9.125% due 6/30/17
|
|
726,245
|
|
|
|
|
|
NRG Energy Inc., Senior Notes:
|
|
|
|
250,000
|
|
|
|
7.250% due 2/1/14
|
|
244,375
|
|
1,615,000
|
|
|
|
7.375% due 2/1/16
|
|
1,570,587
|
|
380,000
|
|
|
|
TXU Corp., Senior Notes, 5.550% due 11/15/14
|
|
302,404
|
|
|
|
|
|
Total
Independent Power Producers & Energy Traders
|
|
9,976,523
|
|
|
|
|
|
TOTAL
UTILITIES
|
|
12,387,750
|
|
|
|
|
|
TOTAL CORPORATE BONDS & NOTES
(Cost $127,308,760)
|
|
114,164,024
|
|
MORTGAGE-BACKED SECURITIES 3.0%
|
|
|
|
FHLMC 2.0%
|
|
|
|
|
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC):
|
|
|
|
2,723,551
|
|
|
|
5.114% due 6/1/35 (c)
|
|
2,749,544
|
|
91,097
|
|
|
|
6.101% due 9/1/37 (c)
|
|
92,724
|
|
|
|
|
|
Gold:
|
|
|
|
493,190
|
|
|
|
7.000% due 6/1/17
|
|
517,445
|
|
299,785
|
|
|
|
8.500% due 9/1/25
|
|
331,147
|
|
599,072
|
|
|
|
6.500% due 8/1/29
|
|
621,319
|
|
9,122,707
|
|
|
|
6.000% due 9/1/32-2/1/36
|
|
9,214,161
|
|
|
|
|
|
TOTAL
FHLMC
|
|
13,526,340
|
|
FNMA 1.0%
|
|
|
|
|
|
|
|
Federal National Mortgage Association (FNMA):
|
|
|
|
451,934
|
|
|
|
8.000% due 12/1/12
|
|
464,572
|
|
1,577,534
|
|
|
|
5.500% due 1/1/14-4/1/35
|
|
1,559,322
|
|
1,429,265
|
|
|
|
7.000% due 3/15/15-6/1/32
|
|
1,510,759
|
|
519,212
|
|
|
|
4.205% due 12/1/34 (c)
|
|
524,424
|
|
698,349
|
|
|
|
4.852% due 1/1/35 (c)
|
|
706,464
|
|
899,080
|
|
|
|
5.034% due 3/1/35 (c)
|
|
921,829
|
|
846,148
|
|
|
|
5.093% due 4/1/35 (c)
|
|
861,876
|
|
|
|
|
|
TOTAL
FNMA
|
|
6,549,246
|
|
|
|
|
|
TOTAL MORTGAGE-BACKED SECURITIES
(Cost $20,006,068)
|
|
20,075,586
|
|
SOVEREIGN BOND 0.0%
|
|
|
|
Argentina 0.0%
|
|
|
|
22,931
|
|
ARS
|
|
Republic of Argentina, GDP Linked Securities,
1.384% due 12/15/35 (c) (Cost - $266)
|
|
663
|
|
|
|
|
|
U.S. GOVERNMENT & AGENCY OBLIGATIONS 3.1%
|
|
|
|
U.S. Government Agencies 1.3%
|
|
|
|
|
|
|
|
Federal Home Loan Bank (FHLB):
|
|
|
|
4,000,000
|
|
|
|
2.450% due 9/11/08
|
|
3,998,980
|
|
100,000
|
|
|
|
Global Bonds, 5.500% due 7/15/36
|
|
104,772
|
|
|
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC):
|
|
|
|
3,900,000
|
|
|
|
2.391% due 10/19/09 (c)
|
|
3,899,520
|
|
700,000
|
|
|
|
Notes, 4.875% due 2/17/09
|
|
708,054
|
|
|
|
|
|
Total
U.S. Government Agencies
|
|
8,711,326
|
|
U.S. Government Obligations 1.8%
|
|
|
|
|
|
|
|
U.S. Treasury Bonds:
|
|
|
|
3,090,000
|
|
|
|
4.750% due 2/15/37
|
|
3,155,666
|
|
900,000
|
|
|
|
4.375% due 2/15/38
|
|
867,586
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedule of Investments.
14
LMP
Capital and Income Fund Inc.
Schedule
of Investments
(unaudited) (continued)
|
|
|
|
|
July 31, 2008
|
Face
Amount
|
|
|
|
Security
|
|
Value
|
|
U.S. Government Obligations 1.8% (continued)
|
|
|
|
|
8,320,000
|
|
|
|
U.S. Treasury Notes, 4.000% due 8/15/18
|
|
$
|
8,324,767
|
|
|
|
|
|
Total
U.S. Government Obligations
|
|
12,348,019
|
|
|
|
|
|
TOTAL U.S. GOVERNMENT & AGENCY
OBLIGATIONS
(Cost $20,942,749)
|
|
21,059,345
|
|
U.S. TREASURY INFLATION PROTECTED SECURITIES 0.6%
|
|
|
|
|
|
|
|
U.S. Treasury Bonds, Inflation Indexed:
|
|
|
|
829,297
|
|
|
|
2.000% due 1/15/26
|
|
812,646
|
|
2,029,728
|
|
|
|
2.375% due 1/15/27
|
|
2,097,440
|
|
751,751
|
|
|
|
U.S. Treasury Notes, Inflation Indexed, 2.375% due
1/15/17
|
|
798,031
|
|
|
|
|
|
TOTAL U.S. TREASURY INFLATION PROTECTED SECURITIES
(Cost $3,532,246)
|
|
3,708,117
|
|
Contracts
|
|
|
|
|
|
|
|
PURCHASED OPTIONS 0.5%
|
|
|
|
1,482
|
|
|
|
S&P 500 Index, Put @ $1,220.00, expires 9/20/08
(Cost - $4,376,346)
|
|
3,586,440
|
|
|
|
|
|
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS
(Cost
$648,718,377)
|
|
585,189,649
|
|
Face
Amount
|
|
|
|
|
|
|
|
SHORT-TERM INVESTMENTS 13.0%
|
|
|
|
U.S. Government Agencies 1.9%
|
|
|
|
|
|
|
|
Federal Home Loan Bank (FHLB), Discount Notes:
|
|
|
|
$
|
3,600,000
|
|
|
|
2.123% due 10/24/08 (h)
|
|
3,580,301
|
|
8,000,000
|
|
|
|
2.512% due 10/28/08 (h)
|
|
7,954,144
|
|
|
|
|
|
Federal National Mortgage Association (FNMA),
Discount Notes:
|
|
|
|
432,000
|
|
|
|
1.825% - 2.690% due 12/15/08 (h)(i)
|
|
427,961
|
|
500,000
|
|
|
|
2.614% due 12/17/08 (h)(i)
|
|
495,256
|
|
145,000
|
|
|
|
2.554% due 12/26/08 (h)(i)
|
|
144,984
|
|
|
|
|
|
Total
U.S. Government Agencies
(Cost $12,600,788)
|
|
12,602,646
|
|
Repurchase Agreements 11.1%
|
|
|
|
59,846,000
|
|
|
|
Interest in $795,846,000 joint tri-party
repurchase agreement dated 7/31/08 with Deutsche Bank Securities Inc., 2.180%
due 8/1/08; Proceeds at maturity - $59,849,624; (Fully collateralized by
various U.S. government agency obligations, 3.165% to 3.500% due 3/5/10 to
6/23/10; Market value - $61,042,962)
|
|
59,846,000
|
|
15,340,000
|
|
|
|
Morgan Stanley tri-party repurchase agreement
dated 7/31/08, 2.130% due 8/1/08; Proceeds at maturity - $15,340,908; (Fully
collateralized by U.S. government agency obligations, 0.000% due 10/15/20;
Market value - $15,725,860)
|
|
15,340,000
|
|
|
|
|
|
Total
Repurchase Agreements
(Cost $75,186,000)
|
|
75,186,000
|
|
|
|
|
|
TOTAL SHORT-TERM INVESTMENTS
(Cost $87,786,788)
|
|
87,788,646
|
|
|
|
|
|
TOTAL INVESTMENTS 100.0%
(Cost
$736,505,165#)
|
|
672,978,295
|
|
|
|
|
|
|
|
|
|
|
|
|
Face amount denominated in
U.S. dollars, unless otherwise noted.
|
*
|
Non-income producing
security.
|
(a)
|
Security is valued in good
faith at fair value by or under the direction of the Board of Directors (See
Note 1).
|
(b)
|
Illiquid security.
|
(c)
|
Variable rate
security. Interest rate disclosed is
that which is in effect at July 31, 2008.
|
See Notes to Schedule of Investments.
15
LMP
Capital and Income Fund Inc.
Schedule
of Investments
(unaudited) (continued)
|
|
July 31, 2008
|
(d)
|
Security is exempt from
registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions
that are exempt from registration, normally to qualified institutional
buyers. This security has been deemed
liquid pursuant to guidelines approved by the Board of Directors, unless
otherwise noted.
|
(e)
|
Security is currently in
default.
|
(f)
|
Payment-in-kind security
for which part of the income earned may be paid as additional principal.
|
(g)
|
Security has no maturity
date. The date shown represents the
next call date.
|
(h)
|
Rate shown represents
yield-to-maturity.
|
(i)
|
All or a portion of this
security is held at the broker as collateral for open futures contracts.
|
#
|
Aggregate cost for federal
income tax purposes is substantially the same.
|
|
|
|
Abbreviations used in this schedule:
|
|
ADR
|
-
|
American
Depositary Receipt
|
|
ARM
|
-
|
Adjustable
Rate Mortgage
|
|
ARS
|
-
|
Argentine
Peso
|
|
GDP
|
-
|
Gross
Domestic Product
|
|
GSAMP
|
-
|
Goldman
Sachs Alternative Mortgage Products
|
|
MASTR
|
-
|
Mortgage
Asset Securitization Transactions Inc.
|
|
PAC
|
-
|
Planned
Amortization Class
|
See Notes to Schedule of Investments.
16
Notes to Schedule of Investments (unaudited)
1. Organization and Significant Accounting Policies
LMP Capital and Income Fund Inc. (the Fund)
was incorporated in Maryland on November 12, 2003 and is registered as a
non-diversified, closed-end management investment company under the Investment Company
Act of 1940, as amended (the 1940 Act). The 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).
(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. 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. Short-term obligations with maturities of 60 days or less are valued
at amortized cost, which approximates fair value.
(b) Repurchase Agreements.
When entering into repurchase agreements, it is the Funds policy that
its custodian or a third party custodian take possession of the underlying
collateral securities, the market value of which, at all times, at least equals
the principal amount of the repurchase transaction, including accrued interest.
To the extent that any repurchase transaction exceeds one business day, the
value of the collateral is marked-to-market to ensure the adequacy of the
collateral. If the seller defaults, and the market value of the collateral
declines or if bankruptcy proceedings are commenced with respect to the seller
of the security, realization of the collateral by the Fund may be delayed or
limited.
(c) Written
Options.
When the Fund writes an option, an amount
equal to the premium received by the Fund is recorded as a liability, the value
of which is marked-to-market daily to reflect the current market value of the
option written. If the option expires, the Fund realizes a gain from
investments equal to the amount of the premium received. When a written call
option is exercised, the difference between the premium received plus the
option exercise price and the Funds basis in the underlying security (in the
case of a covered written call option), or the cost to purchase the underlying
security (in the case of an uncovered written call option), including brokerage
commission, is treated as a realized gain or loss. When a written put option is
exercised, the amount of the premium received is added to the cost of the
security purchased by the Fund from the exercise of the written put option to
form the Funds basis in the underlying security purchased. The writer or buyer
of an option traded on an exchange can liquidate the position before the
exercise of the option by entering into a closing transaction. The cost of a
closing transaction is deducted from the original premium received resulting in
a realized gain or loss to the Fund.
The
risk in writing a covered call option is that the Fund may forego the
opportunity of profit if the market price of the underlying security increases
and the option is exercised. The risk in writing a put option is that the Fund
may incur a loss if the market price of the underlying security decreases and
the option is exercised. The risk in writing a call option is that the Fund is
exposed to the risk of loss if the market price of the underlying security
increases. In addition, there is the risk that the Fund may not be able to
enter into a closing transaction because of an illiquid secondary market.
(d) Financial Futures Contracts.
The
Fund may enter into financial futures contracts typically, but not necessarily,
to hedge a portion of the portfolio. Upon entering into a financial futures
contract, the Fund is required to deposit cash or securities as initial margin,
equal in value to a certain percentage of the contract amount (initial margin
deposit). Additional securities are also segregated up to the current market
value of the financial futures contracts. Subsequent payments, known as variation
margin, are made or received by the Fund each day, depending on the daily
fluctuations in the value of the underlying financial instruments. For foreign
currency denominated futures contracts, variation margins are not settled
daily. The Fund recognizes an unrealized gain or loss equal to the fluctuation
in the
17
Notes to
Schedule of Investments (unaudited) (continued)
value.
When the financial futures contracts are closed, a realized gain or loss is
recognized equal to the difference between the proceeds from (or cost of) the
closing transactions and the Funds basis in the contracts.
The
risks associated with entering into financial futures contracts include the
possibility that a change in the value of the contract may not correlate with
the changes in the value of the underlying financial instruments. In addition,
investing in financial futures contracts involves the risk that the Fund could
lose more than the initial margin deposit and subsequent payments required for
a futures transaction. Risks may also arise upon entering into these contracts
from the potential inability of the counterparties to meet the terms of their
contracts.
(e) Forward
Foreign Currency Contracts.
The Fund may enter into a
forward foreign currency contract to hedge against foreign currency exchange
rate risk on its non-U.S. dollar denominated securities or to facilitate
settlement of a foreign currency denominated portfolio transaction. A forward
foreign currency contract is an agreement between two parties to buy and sell a
currency at a set price with delivery and settlement at a future date. The
contract is marked-to-market daily and the change in value is recorded by the
Fund as an unrealized gain or loss. When a forward foreign currency contract is
closed, through either delivery or offset by entering into another forward
foreign currency contract, the Fund records a realized gain or loss equal to
the difference between the value of the contract at the time it was opened and
the value of the contract at the time it was closed.
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.
(f) 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 is compensated by the
interest earned on the cash proceeds of the initial sale and by the lower
repurchase price at the specified future date. 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 to-be-announced (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 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.
(g) 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.
(h) Short Sales of Securities.
A short sale is a transaction in which the Fund sells a security it does
not own (but has borrowed) in anticipation of a decline in the market price of
that security. To complete a short sale, the Fund may arrange through a broker
to borrow the security to be delivered to the buyer. The proceeds received by
the Fund for the short sale are retained by the broker until the Fund replaces
the borrowed security. In borrowing the security to be delivered to the buyer,
the Fund becomes obligated to replace the security borrowed at the market price
at the time of replacement, whatever that price may be. A gain, limited to the
price at which the Fund sold the security short, or a loss, unlimited in size,
will be recognized upon the termination of a short sale.
Dividends
declared on short positions existing on the record date are recorded on the
ex-dividend date as an expense.
(i) Swap Contracts.
Swaps
involve the exchange by the Fund with another party of the respective amounts
payable with respect to a notional principal amount related to one or more
indices or securities. The Fund may enter into these transactions to preserve a
return or spread on a particular investment or portion of its assets, as a
duration management technique, or
18
Notes to
Schedule of Investments (unaudited) (continued)
to
protect against any increase in the price of securities the Fund anticipates
purchasing at a later date. The Fund may also use these transactions for
speculative purposes, such as to obtain the price performance of a security
without actually purchasing the security in circumstances where, for example,
the subject security is illiquid, is unavailable for direct investment or
available only on less attractive terms.
Swaps have risks associated
with them, including possible default by the counterparty to the transaction,
illiquidity and, where swaps are used as hedges, the risk that the use of a
swap could result in losses greater than if the swap had not been employed.
(j) 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 issuers or sovereign issuers of an emerging country, on a
specified obligation. The Fund may use a CDS to provide a measure of protection
against defaults of the issuers (i.e., to reduce risk where a Fund has exposure
to the 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 fixed rate of
income 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 Fund will pay to the
buyer of the protection an amount up to the notional value of the swap, and in
certain instances take delivery of the security. As the seller, the Fund would
effectively add 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.
Entering into a CDS agreement
involves, to varying degrees, elements of credit, market and documentation risk.
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.
(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-dollar denominated securities may also
result in foreign currency losses caused by devaluations and exchange rate
fluctuations.
(l) 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 based upon
prevailing exchange rates on the respective dates of such transactions.
Foreign security and currency transactions may involve
certain considerations and risks not typically associated with those of U.S.
dollar denominated transactions as a result of, among other factors, the
possibility of lower levels of governmental supervision and regulation of
foreign securities markets and the possibility of political or economic
instability.
(m) Security Transactions.
Security transactions are accounted for on a trade date basis.
2. Investments
At
July 31, 2008, the aggregate gross unrealized appreciation and
depreciation of investments for federal income tax purposes were substantially
as follows:
Gross unrealized appreciation
|
|
$
|
14,016,465
|
|
Gross unrealized depreciation
|
|
(77,543,335
|
)
|
Net unrealized depreciation
|
|
$
|
(63,526,870
|
)
|
19
Notes to
Schedule of Investments (unaudited) (continued)
During
the period ended July 31, 2008, written option transactions for the Fund
were as follows:
|
|
Number of
Contracts
|
|
Premiums
Received
|
|
Written options, outstanding
October 31, 2007
|
|
10
|
|
$
|
9,169
|
|
Options written
|
|
18,472
|
|
4,685,650
|
|
Options closed
|
|
(17,783
|
)
|
(4,550,187
|
)
|
Options expired
|
|
(699
|
)
|
(144,632
|
)
|
Written options, outstanding July 31,
2008
|
|
|
|
|
|
|
|
|
|
|
|
|
At
July 31, 2008, the Fund had the following open forward foreign currency
contracts:
Foreign Currency
|
|
Local
Currency
|
|
Market
Value
|
|
Settlement
Date
|
|
Unrealized
Gain(Loss)
|
|
Contracts to Buy:
|
|
|
|
|
|
|
|
|
|
British Pound
|
|
808,000
|
|
$1,599,772
|
|
8/5/08
|
|
$(1,361
|
)
|
Euro
|
|
1,000,000
|
|
1,558,740
|
|
8/5/08
|
|
4,590
|
|
Euro
|
|
320,254
|
|
499,193
|
|
8/5/08
|
|
6,456
|
|
Euro
|
|
2,830,000
|
|
4,411,234
|
|
8/5/08
|
|
(8,377
|
)
|
Euro
|
|
1,320,254
|
|
2,047,928
|
|
11/5/08
|
|
(24,699
|
)
|
Japanese Yen
|
|
72,660,000
|
|
672,375
|
|
8/5/08
|
|
(33,062
|
)
|
Japanese Yen
|
|
72,660,000
|
|
675,992
|
|
11/15/08
|
|
713
|
|
|
|
|
|
|
|
|
|
(55,740
|
)
|
Contracts to Sell:
|
|
|
|
|
|
|
|
|
|
British Pound
|
|
808,000
|
|
$1,599,772
|
|
8/5/08
|
|
$(16,092
|
)
|
British Pound
|
|
808,000
|
|
1,588,929
|
|
11/5/08
|
|
1,216
|
|
Euro
|
|
2,830,000
|
|
4,411,234
|
|
8/5/08
|
|
(16,244
|
)
|
Euro
|
|
1,320,254
|
|
2,057,933
|
|
8/5/08
|
|
24,768
|
|
Euro
|
|
2,830,000
|
|
4,389,788
|
|
11/5/08
|
|
8,032
|
|
Japanese Yen
|
|
72,660,000
|
|
672,375
|
|
8/5/08
|
|
(748
|
)
|
|
|
|
|
|
|
|
|
932
|
|
Net
Unrealized Loss on Open Forward Foreign Currency Contracts
|
|
|
|
$
|
(54,808
|
)
|
|
|
|
|
|
|
|
|
|
|
|
At
July 31, 2008, the Fund had the following open futures contracts:
|
|
Number of
Contracts
|
|
Expiration
Date
|
|
Basis
Value
|
|
Market
Value
|
|
Unrealized
Gain (Loss)
|
|
Contracts to Buy:
|
|
|
|
|
|
|
|
|
|
|
|
Eurodollar
|
|
214
|
|
3/09
|
|
$
|
51,538,657
|
|
$
|
51,849,525
|
|
$310,868
|
|
Germany Federal Republic 10 year
|
|
27
|
|
9/08
|
|
4,688,950
|
|
4,736,340
|
|
47,390
|
|
Pound Sterling 90 Day
|
|
10
|
|
3/09
|
|
2,333,806
|
|
2,341,251
|
|
7,445
|
|
U.S. Treasury Bonds
|
|
15
|
|
9/08
|
|
1,733,341
|
|
1,732,500
|
|
(841
|
)
|
U.S. 2 Year Treasury Notes
|
|
62
|
|
9/08
|
|
13,095,935
|
|
13,144,000
|
|
48,065
|
|
U.S. 5 Year Treasury Notes
|
|
365
|
|
9/08
|
|
40,514,325
|
|
40,637,617
|
|
123,292
|
|
|
|
|
|
|
|
|
|
|
|
536,219
|
|
Contracts to Sell:
|
|
|
|
|
|
|
|
|
|
|
|
U.S. 10 Year Treasury Notes
|
|
13
|
|
9/08
|
|
$
|
1,497,169
|
|
$
|
1,492,765
|
|
$4,404
|
|
Net Unrealized Gain on Open Futures
Contracts
|
|
|
|
|
|
$540,623
|
|
20
Notes to
Schedule of Investments (unaudited) (continued)
At
July 31, 2008, the Fund held the following open swap contracts:
SWAP COUNTERPARTY
(REFERENCE ENTITY)
|
|
NOTIONAL
AMOUNT
|
|
TERMINATION
DATE
|
|
PAYMENTS
MADE BY
THE FUND
|
|
PAYMENTS
RECEIVED
BY THE
FUND
|
|
UNREALIZED
APPRECIATION/
(DEPRECIATION)
|
|
Interest Rate Swaps:
|
|
|
|
|
|
|
|
|
|
|
|
Barclays Capital Inc.
|
|
$
|
1,079,000
|
|
5/31/12
|
|
3-Month
|
|
4.400%
|
|
$15,456
|
|
|
|
|
|
|
|
|
LIBOR
|
|
|
|
|
|
Credit Suisse First Boston Inc.
|
|
2,300,000
|
|
6/2/12
|
|
3-Month
|
|
4.790%
|
|
8,518
|
|
|
|
|
|
|
|
LIBOR
|
|
|
|
|
|
Credit Suisse First Boston Inc.
|
|
500,000
|
|
6/2/20
|
|
5.223%
|
|
3-Month
|
|
(3,711
|
)
|
|
|
|
|
|
|
|
|
LIBOR
|
|
|
|
Lehman Brothers Inc.
|
|
1,780,000
|
|
6/16/12
|
|
3-Month
|
|
4.950%
|
|
11,305
|
|
|
|
|
|
|
|
LIBOR
|
|
|
|
|
|
Lehman Brothers Inc.
|
|
890,000
|
|
6/17/12
|
|
3-Month
|
|
5.140%
|
|
8,643
|
|
|
|
|
|
|
|
LIBOR
|
|
|
|
|
|
Lehman Brothers Inc.
|
|
430,000
|
|
6/16/20
|
|
5.247%
|
|
3-Month
|
|
(3,098
|
)
|
|
|
|
|
|
|
|
|
LIBOR
|
|
|
|
Lehman Brothers Inc.
|
|
220,000
|
|
6/17/20
|
|
5.329%
|
|
3-Month
|
|
(2,895
|
)
|
|
|
|
|
|
|
|
|
LIBOR
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$34,218
|
|
Credit Default Swaps:
|
|
|
|
|
|
|
|
|
|
|
|
Barclays Capital Inc.
|
|
30,000
|
|
12/20/12
|
|
0.360%
|
|
(a)
|
|
$6,657
|
|
(AMBAC Assurance Corp.)
|
|
|
|
|
|
quarterly
|
|
|
|
|
|
Barclays Capital Inc.
|
|
40,000
|
|
12/20/12
|
|
(b)
|
|
0.305%
|
|
(12,034
|
)
|
(MBIA Insurance Corp.)
|
|
|
|
|
|
|
|
quarterly
|
|
|
|
Barclays Capital Inc.
|
|
50,000
|
|
12/20/12
|
|
0.360%
|
|
(a)
|
|
11,095
|
|
(AMBAC Assurance Corp.)
|
|
|
|
|
|
quarterly
|
|
|
|
|
|
Barclays Capital Inc.
|
|
60,000
|
|
12/20/12
|
|
(b)
|
|
0.310%
|
|
(17,976
|
)
|
(MBIA Insurance Corp.)
|
|
|
|
|
|
|
|
quarterly
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(12,258
|
)
|
Net Unrealized Appreciation on Open Swap Contracts
|
|
|
|
|
|
$21,960
|
|
(a) As
a buyer of protection, the Fund generally receives an amount up to the notional
value of the swap if a credit event occurs.
(b) As
a seller of protection, the Fund will pay an amount up to the notional value of
the swap, and in certain instances take delivery of the security if a credit
event occurs.
3. Recent Accounting Pronouncements
On
September 20, 2006, the Financial Accounting Standards Board (FASB)
released Statement of Financial Accounting Standards No. 157,
Fair Value Measurements
(FAS 157). FAS
157 establishes an authoritative definition of fair value, sets out a framework
for measuring fair value, and requires additional disclosures about fair value
measurements. The application of FAS 157 is required for fiscal years beginning
after November 15, 2007 and interim periods within those fiscal years.
Management has determined that there is no material impact to the Funds
valuation policies as a result of adopting FAS 157. The Fund will implement the
disclosure requirements beginning with its January 31, 2009 Form N-Q.
***
In
March 2008, FASB issued the Statement of Financial Accounting Standards No. 161,
Disclosures about Derivative Instruments and
Hedging Activities
(FAS 161). FAS 161 is effective for fiscal
years and interim periods beginning after November 15, 2008. FAS 161
requires enhanced disclosures about the Funds derivative and hedging
activities, including how such activities are accounted for and their effect on
the Funds financial position, performance and cash flows. Management is
currently evaluating the impact the adoption of FAS 161 will have on the Funds
financial statements and related disclosures.
21
ITEM 2.
CONTROLS AND
PROCEDURES.
(a)
The
registrants principal executive officer and principal financial officer have
concluded that the registrants disclosure controls and procedures (as defined
in Rule 30a- 3(c) under the Investment Company Act of 1940, as
amended (the 1940 Act)) are effective as of a date within 90 days of the
filing date of this report that includes the disclosure required by this
paragraph, based on their evaluation of the disclosure controls and procedures
required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under
the Securities Exchange Act of 1934.
(b)
There were
no changes in the registrants internal control over financial reporting (as
defined in Rule 30a-3(d) under the 1940 Act) that occurred during the
registrants last fiscal quarter that have materially affected, or are likely
to materially affect the registrants internal control over financial
reporting.
ITEM 3.
EXHIBITS.
Certifications
pursuant to Rule 30a-2(a) under the Investment Company Act of 1940,
as amended, are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities
Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has
duly caused this report to be signed on its behalf by the undersigned,
thereunto duly authorized.
LMP Capital and Income Fund Inc.
By
|
/s/ R. Jay Gerken
|
|
|
|
R. Jay Gerken
|
|
|
|
Chief Executive Officer
|
|
|
|
|
|
|
|
|
Date:
September 26, 2008
|
|
|
Pursuant to the requirements of the Securities
Exchange Act of 1934 and the Investment Company Act of 1940, this report has
been signed below by the following persons on behalf of the registrant and in
the capacities and on the dates indicated.
By
|
/s/ R. Jay Gerken
|
|
|
|
R. Jay Gerken
|
|
|
|
Chief Executive Officer
|
|
|
|
|
|
Date:
September 26, 2008
|
|
|
|
|
|
By
|
/s/ Kaprel Ozsolak
|
|
|
|
Kaprel Ozsolak
|
|
|
|
Chief Financial Officer
|
|
|
|
|
|
|
Date:
September 26, 2008
|
|
|
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