NPORT-EX 2 LMP0101LMPCapitalIncomeFd.htm

 

LMP Capital and Income Fund Inc.

  

Schedule of investments (unaudited) February 29, 2020

  

SECURITY  SHARES   VALUE 
Common Stocks - 76.6%          
Communication Services - 5.1%          
Diversified Telecommunication Services - 5.1%          
AT&T Inc.   244,960   $8,627,491(a)
Verizon Communications Inc.   77,950    4,221,772(a)
TOTAL COMMUNICATION SERVICES        12,849,263 
Consumer Staples - 4.4%          
Beverages - 1.6%          
Coca-Cola Co.   34,500    1,845,405(a)
PepsiCo Inc.   16,300    2,152,089(a)
Total Beverages        3,997,494 
Household Products - 2.8%          
Kimberly-Clark Corp.   26,000    3,410,940(a)
Procter & Gamble Co.   32,000    3,623,360(a)
Total Household Products        7,034,300 
TOTAL CONSUMER STAPLES        11,031,794 
Energy - 1.1%          
Oil, Gas & Consumable Fuels - 1.1%          
Williams Cos. Inc.   146,000    2,781,300(a)
Financials - 17.7%          
Banks - 0.5%          
Bank of America Corp.   43,970    1,253,145(a)
Capital Markets - 8.4%          
Blackstone Group Inc., Class A Shares   314,000    16,905,760(a)
Carlyle Group Inc.   146,000    4,155,160(a)
Total Capital Markets        21,060,920 
Mortgage Real Estate Investment Trusts (REITs) - 8.8%          
AGNC Investment Corp.   308,560    5,257,863(a)
Starwood Property Trust Inc.   305,000    6,764,900(a)
TPG RE Finance Trust Inc.   320,000    6,150,400(a)
Two Harbors Investment Corp.   304,900    4,131,395(a)
Total Mortgage Real Estate Investment Trusts (REITs)        22,304,558 
TOTAL FINANCIALS        44,618,623 
Health Care - 5.3%          
Pharmaceuticals - 5.3%          
Johnson & Johnson   19,200    2,582,016(a)
Merck & Co. Inc.   99,500    7,617,720(a)
Pfizer Inc.   93,970    3,140,477(a)
TOTAL HEALTH CARE        13,340,213 

 

See Notes to Schedule of Investments.

 

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LMP Capital and Income Fund Inc.

  

Schedule of investments (unaudited) (cont’d) February 29, 2020

   

SECURITY  SHARES   VALUE 
Industrials - 7.7%        
Aerospace & Defense - 5.1%          
Lockheed Martin Corp.   30,500   $11,281,035(a)
United Technologies Corp.   12,000    1,567,080 
Total Aerospace & Defense        12,848,115 
Electrical Equipment - 0.8%          
Emerson Electric Co.   31,000    1,987,410(a)
Machinery - 1.8%          
Stanley Black & Decker Inc.   32,500    4,670,250(a)
TOTAL INDUSTRIALS        19,505,775 
Information Technology - 19.4%          
Communications Equipment - 0.6%          
Cisco Systems Inc.   37,000    1,477,410(a)
IT Services - 0.6%          
Paychex Inc.   18,000    1,394,640(a)
Semiconductors & Semiconductor Equipment - 7.7%          
Intel Corp.   70,000    3,886,400(a)
Maxim Integrated Products Inc.   73,000    4,060,260(a)
Microchip Technology Inc.   20,000    1,814,200(a)
QUALCOMM Inc.   78,000    6,107,400(a)
Texas Instruments Inc.   30,500    3,481,270(a)
Total Semiconductors & Semiconductor Equipment        19,349,530 
Software - 6.4%          
Microsoft Corp.   76,000    12,312,760(a)
NortonLifeLock Inc.   201,000    3,825,030(a)
Total Software        16,137,790 
Technology Hardware, Storage & Peripherals - 4.1%          
Apple Inc.   25,000    6,834,000(a)
Western Digital Corp.   63,500    3,528,060(a)
Total Technology Hardware, Storage & Peripherals        10,362,060 
TOTAL INFORMATION TECHNOLOGY        48,721,430 
Materials - 2.6%          
Chemicals - 1.7%          
Corteva Inc.   46,940    1,276,768(a)
Dow Inc.   33,409    1,350,058(a)
DuPont de Nemours Inc.   18,640    799,656(a)
Huntsman Corp.   45,000    852,300 
Total Chemicals        4,278,782 
Containers & Packaging - 0.3%          
International Paper Co.   17,800    657,888(a)

 

See Notes to Schedule of Investments.

 

2 

 

 

LMP Capital and Income Fund Inc.

  

Schedule of investments (unaudited) (cont’d) February 29, 2020

  

 

SECURITY  SHARES   VALUE 
Metals & Mining - 0.6%          
Compass Minerals International Inc.   27,600   $1,505,580(a)
TOTAL MATERIALS        6,442,250 
Real Estate - 10.7%          
Equity Real Estate Investment Trusts (REITs) - 10.7%          
Alexandria Real Estate Equities Inc.   18,600    2,824,968(a)
American Tower Corp.   15,500    3,515,400(a)
AvalonBay Communities Inc.   5,500    1,103,245 
EPR Properties   43,300    2,565,092(a)
Equity Residential   29,600    2,222,960(a)
Park Hotels & Resorts Inc.   123,930    2,262,962(a)
Retail Properties of America Inc., Class A Shares   152,700    1,598,769(a)
Simon Property Group Inc.   16,500    2,030,820(a)
STORE Capital Corp.   111,500    3,663,890(a)
Urstadt Biddle Properties Inc., Class A Shares   83,700    1,725,057(a)
Weyerhaeuser Co.   134,500    3,494,310(a)
TOTAL REAL ESTATE        27,007,473 
Utilities - 2.6%          
Electric Utilities - 2.6%          
Edison International   38,711    2,600,992(a)
NextEra Energy Inc.   15,500    3,917,780(a)
TOTAL UTILITIES        6,518,772 

TOTAL COMMON STOCKS

(Cost - $141,674,408)

        192,816,893 
           
   SHARES/UNITS      
Master Limited Partnerships - 28.1%          
Diversified Energy Infrastructure - 7.0%          
Energy Transfer LP   1,000,000    11,080,000(a)
Enterprise Products Partners LP   281,000    6,558,540(a)
Total Diversified Energy Infrastructure        17,638,540 
Financials - 1.0%          
Apollo Global Management Inc.   63,000    2,624,580(a)
Gathering/Processing - 1.2%          
Rattler Midstream LP   246,400    3,102,176 
Global Infrastructure - 3.1%          
Brookfield Infrastructure Partners LP   26,000    1,314,040 
Brookfield Renewable Partners LP   130,000    6,491,041 
Total Global Infrastructure        7,805,081 

 

See Notes to Schedule of Investments.

 

3 

 

 

LMP Capital and Income Fund Inc.

  

Schedule of investments (unaudited) (cont’d) February 29, 2020

  

SECURITY      SHARES/UNITS   VALUE 
Liquids Transportation & Storage - 4.1%               
Magellan Midstream Partners LP        81,000   $4,418,550(a)
PBF Logistics LP        305,260    5,790,782(a)
Total Liquids Transportation & Storage             10,209,332 
Oil/Refined Products - 5.3%               
CrossAmerica Partners LP        254,030    4,282,946(a)
MPLX LP        206,000    4,179,740(a)
Sunoco LP        184,200    4,978,926(a)
Total Oil/Refined Products             13,441,612 
Petrochemicals - 2.5%               
Westlake Chemical Partners LP        305,246    6,309,435(a)
Propane - 1.6%               
Suburban Propane Partners LP        200,000    3,914,000(a)
Shipping - 2.3%               
KNOT Offshore Partners LP        350,000    5,722,500(a)
TOTAL MASTER LIMITED PARTNERSHIPS
(Cost - $66,445,238)		             70,767,256 
                
   RATE   SHARES      
Convertible Preferred Stocks - 14.5%               
FINANCIALS - 1.6%               
Insurance - 1.6%               
Assurant Inc.   6.500%   34,500    4,024,425*
Health Care - 2.5%               
Health Care Equipment & Supplies - 1.5%               
Danaher Corp.   4.750%   3,400    3,738,130*
Pharmaceuticals - 1.0%               
Elanco Animal Health Inc.   5.000%   51,504    2,629,279*
TOTAL HEALTH CARE             6,367,409 
Information Technology - 4.0%               
Semiconductors & Semiconductor Equipment - 4.0%               
Broadcom Inc.   8.000%   9,700    10,031,255*
Real Estate - 2.6%               
Equity Real Estate Investment Trusts (REITs) - 2.6%               
Crown Castle International Corp.   6.875%   5,000    6,372,950*
Utilities - 3.8%               
Multi-Utilities - 3.8%               
CenterPoint Energy Inc., Non Voting Shares   7.000%   78,000    3,334,500*
Sempra Energy   6.750%   56,100    6,250,101*
TOTAL UTILITIES             9,584,601 
TOTAL CONVERTIBLE PREFERRED STOCKS
(Cost - $35,051,681)		             36,380,640 

 

See Notes to Schedule of Investments.

 

4 

 

 

LMP CAPITAL AND INCOME FUND INC.

 

Schedule of investments (unaudited) (cont’d) February 29, 2020

 

SECURITY      SHARES   VALUE 
INVESTMENTS IN UNDERLYING FUNDS - 8.0%               
Ares Capital Corp.        300,000    $ 5,157,000(a)(b)
Barings BDC Inc.        338,000    3,190,720(a)(b)
Golub Capital BDC Inc.        116,200    1,935,892(a)(b)
Owl Rock Capital Corp.        301,000    4,584,230(a)(b)
TriplePoint Venture Growth BDC Corp.        426,975    5,140,779(a)(b)
TOTAL INVESTMENTS IN UNDERLYING FUNDS
(Cost - $20,676,825)		             20,008,621 
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS
(Cost - $263,848,152)		             319,973,410 
                
    RATE           
SHORT-TERM INVESTMENTS - 4.7%               
JPMorgan 100% U.S. Treasury Securities Money Market               
Fund, Institutional Class (Cost - $11,944,332)   1.412%   11,944,332    11,944,332 
TOTAL INVESTMENTS - 131.9%
(Cost - $275,792,484)		             331,917,742 
Liabilities in Excess of Other Assets - (31.9)%             (80,287,000)
TOTAL NET ASSETS - 100.0%            $251,630,742 

 

*Non-income producing security.

 

(a)All or a portion of this security is pledged as collateral pursuant to the loan agreement.

 

(b)Security is a business development company.

 

This Schedule of Investments is unaudited and is intended to provide information about the Fund’s investments as of the date of the schedule. Other information regarding the Fund is available in the Fund’s most recent annual or semi-annual shareholder report.

 

See Notes to Schedule of Investments.

 

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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 Fund’s investment objective is total return with an emphasis on income.

 

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. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. Investments in open-end funds are valued at the closing net asset value per share of each fund on the day of valuation. When the Fund holds securities or other assets that are denominated in a foreign currency, the Fund will normally use the currency exchange rates as of 4:00 p.m. (Eastern Time). If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the manager to be unreliable, the market price may be determined by the manager using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, 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 values these securities as determined in accordance with procedures approved by the Fund’s Board of Directors.

 

The Board of Directors is responsible for the valuation process and has delegated the supervision of the daily valuation process to the Legg Mason North Atlantic Fund Valuation Committee (the “Valuation Committee”). The Valuation Committee, pursuant to the policies adopted by the Board of Directors, is responsible for making fair value determinations, evaluating the effectiveness of the Fund’s pricing policies, and reporting to the Board of Directors. When determining the reliability of third party pricing information for investments owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of pricing vendors, monitors the daily change in prices and reviews transactions among market participants.

 

6 

 

 

Notes to Schedule of Investments (unaudited) (continued)

 

The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making fair value determinations. Examples of possible methodologies include, but are not limited to, multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or a multiple thereof; risk premium/yield analysis; yield to maturity; and/or fundamental investment analysis. The Valuation Committee will also consider factors it deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to, the type of security; the issuer’s financial statements; the purchase price of the security; the discount from market value of unrestricted securities of the same class at the time of purchase; analysts’ research and observations from financial institutions; information regarding any transactions or offers with respect to the security; the existence of merger proposals or tender offers affecting the security; the price and extent of public trading in similar securities of the issuer or comparable companies; and the existence of a shelf registration for restricted securities.

 

For each portfolio security that has been fair valued pursuant to the policies adopted by the Board of Directors, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such back testing monthly and fair valuation occurrences are reported to the Board of Directors quarterly.

 

The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.

 

GAAP establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed 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 Fund’s own assumptions in determining the fair value of investments)

 

The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

 

7 

 

 

Notes to Schedule of Investments (unaudited) (continued)

 

The following is a summary of the inputs used in valuing the Fund’s assets carried at fair value:

 

ASSETS 
           SIGNIFICANT     
       OTHER SIGNIFICANT   UNOBSERVABLE     
   QUOTED PRICES   OBSERVABLE INPUTS   INPUTS     
DESCRIPTION  (LEVEL 1)   (LEVEL 2)   (LEVEL 3)   TOTAL 
Long-Term Investments†:                    
Common Stocks  $192,816,893    —    —   $192,816,893 
Master Limited Partnerships   70,767,256    —    —    70,767,256 
Convertible Preferred Stocks   36,380,640    —    —    36,380,640 
Investments in Underlying Funds   20,008,621    —    —    20,008,621 
Total Long-Term Investments   319,973,410    —    —    319,973,410 
Short-Term Investments†   11,944,332    —    —    11,944,332 
Total Investments  $331,917,742    —    —   $331,917,742 

 

† See Schedule of Investments for additional detailed categorizations.

 

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