SCD LMP Capital and Income Fund Inc

LMP Capital and Income Fund Inc. (NYSE: SCD) announces its portfolio composition as of June 30, 2011.

Investment Objective: The Fund’s Investment objective is total return with an emphasis on income.

Portfolio Composition1:

 

Asset Allocation

Equities

 

75.5%

Investment Grade Corporate Bonds

7.5%

High Yield Corporate Bonds

3.9%

Mortgage-Backed Securities

0.8%

Cash & Other Securities

12.3%

 

Equity Sector Allocation2

Financials 31.2% Telecommunication Services 19.1% Utilities 9.7% Energy 6.2% Other 3.8% Health Care 3.4% Industrials 2.0% Consumer Staples 1.1%  

Top Ten Equity Holdings2

Total SA 3.9% Vodafone Group PLC 3.8% France Telecom 3.4% AT&T Inc. 3.3% Chimera Investment Corp. 3.2% Annaly Capital Management Inc. 3.2% First Niagara Financial Group Inc. 3.1% Integrys Energy Group Inc. 3.1% New York Community Bancorp Inc. 2.9% NextEra Energy Inc. 2.8%  

Fixed Income Credit Quality Allocation3, 4

AAA 12.4% AA 4.8% A 4.0% BBB 2.2% BB 0.9% B 17.4% CCC 5.7% CC 5.9% D 5.4% NR 41.0%  

Fixed Income – Statistics4

Average Life (years)

1.9

Effective Duration (years)

0.6

Average Coupon (%)

1.8  

Portfolio Statistics:

 

Inception Date

February 24, 2004

Inception Price

$20.00

Total Assets5

$455,470,053

Net Assets

$305,075,572

Loans6

0.00%

Preferred Shares6

0.00%

Reverse Repos6

0.00%  

Market Price

$13.72

NAV

$14.43 (Daily NAV is available on market quotation systems using the symbol XSCDX.)  

Distribution Rate7

$0.28 per share

Frequency

Quarterly

The Fund conducted a tender offer for up to 30% of the shares outstanding. The fully-subscribed tender offer expired on June 30, 2011.

1 Portfolio holdings and weightings are historical and are presented here for informational purposes only. They are subject to change at any time. Negative allocations and allocations in excess of 100% are primarily due to the Fund's unsettled trade activity.

2 Percentage based on the total portfolio.

3 Credit quality is a measure of a bond issuer's ability to repay interest and principal in a timely manner. The credit ratings shown are based on each portfolio security's rating as provided by Standard and Poor's, Moody's Investors Service and/or Fitch Ratings, Ltd. For this purpose, if two or more of the agencies have assigned differing ratings to a security, the highest rating is used. Securities that are unrated by all three agencies are reflected as such. The credit quality of the investments in the Fund's portfolio does not apply to the stability or safety of the Fund. These ratings are updated monthly and may change over time. Please note, the Fund itself has not been rated by an independent rating agency.

4 Percentage based on the portion of the portfolio managed by Western Asset.

5 The difference between total assets and net assets, if any, is due primarily to the tender offer that expired on June 30, 2011, and the Fund’s use of borrowings; net assets do not include borrowings. The Fund may employ leverage in the form of loans, preferred stock, reverse repurchase agreements and/or other instruments. When the Fund engages in transactions that have a leveraging effect on the Fund’s portfolio, the value of the Fund will be more volatile and all other risks will tend to be compounded.

6 As of 7/19/11, the percentage of loans, preferred shares and reverse repos were 21.59%, 0.00%, and 0.00%, respectively. Percentage based on the total portfolio. The Fund had eliminated its leverage as of June 30, but has since re-levered the Fund.

7 On May 20, 2011, the Fund declared a new managed distribution rate of $0.28 per share payable in September 2011. This distribution is record date 9/23/11 and payable 9/30/11. Pursuant to its managed distribution policy, the Fund intends to make regular quarterly distributions to shareholders of its common stock at a fixed rate per common share, which may be adjusted from time to time by the Fund's Board of Directors. Under the Fund's managed distribution policy, if, for any distribution, the total of net investment income and net realized capital gain is less than the amount of the distribution, the difference will be distributed from the Fund's assets (and will constitute a "return of capital"). The Board of Directors may terminate the managed distribution policy at any time, including when certain events would make part of any return of capital taxable to shareholders. Any such termination could have an adverse effect on the market price for the Fund's shares.

LMP Capital and Income Fund Inc., a non-diversified closed-end investment management company traded on the New York Stock Exchange under the symbol “SCD,” is advised by Legg Mason Partners Fund Advisor, LLC, a wholly owned subsidiary of Legg Mason, Inc. and is sub-advised by ClearBridge Advisors, LLC and Western Asset Management Company, affiliates of the advisor.

An investment in the Fund involves risk, including loss of principal. Investment return and the value of shares will fluctuate. Fixed income securities are subject to credit risk, inflation risk, call risk, and interest rate risks. As interest rates rise, bond prices fall, reducing the value of the Fund's share price.

Data and commentary provided in this press release are for informational purposes only. Legg Mason and its affiliates do not engage in selling shares of the Fund.

For more information, please call Fund Investor Relations at 888-777-0102, or consult the Fund’s web site at www.leggmason.com/cef.

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