LMP CAPITAL AND INCOME FUND INC.

Schedule of investments (unaudited) February 28, 2021

SECURITY	SHARES		VALUE
COMMON STOCKS - 57.2%
COMMUNICATION SERVICES - 0.1%
Diversified Telecommunication Services - 0.1%
Verizon Communications Inc.		5,240	$	289,772
CONSUMER STAPLES - 2.7%
Beverages - 0.8%
Coca-Cola Co.		41,720		2,043,863
Household Products - 1.9%
Kimberly-Clark Corp.		16,420		2,107,178	(a)
Procter & Gamble Co.		19,860		2,453,306	(a)
Total Household Products				4,560,484
TOTAL CONSUMER STAPLES				6,604,347
ENERGY - 0.9%
Oil, Gas & Consumable Fuels - 0.9%
Williams Cos. Inc.		96,740		2,209,542	(a)
FINANCIALS - 12.5%
Banks - 3.5%
Bank of America Corp.		92,470		3,209,634
JPMorgan Chase & Co.		37,910		5,579,215
Total Banks				8,788,849
Capital Markets - 6.7%
Apollo Global Management Inc.		25,030		1,237,984	(a)
Blackstone Group Inc., Class A Shares		132,450		9,169,514	(a)
CME Group Inc.		6,680		1,333,996
Intercontinental Exchange Inc.		11,430		1,260,843
Trinity Capital Inc.		244,600		3,695,906	*
Total Capital Markets				16,698,243
Insurance - 0.9%
Chubb Ltd.		14,230		2,313,513
Mortgage Real Estate Investment Trusts (REITs) - 1.4%
AGNC Investment Corp.		208,980		3,349,949	(a)
TOTAL FINANCIALS				31,150,554
HEALTH CARE - 5.4%
Biotechnology - 1.5%
AbbVie Inc.		23,100		2,488,794
Amgen Inc.		5,190		1,167,335
Total Biotechnology				3,656,129

See Notes to Schedule of Investments.

LMP Capital and Income Fund Inc. 2021 Quarterly Report         1

LMP CAPITAL AND INCOME FUND INC.

Schedule of investments (unaudited) (cont’d) February 28, 2021

SECURITY	SHARES		VALUE
Pharmaceuticals - 3.9%
Johnson & Johnson		16,920	$	2,681,143	(a)
Merck & Co. Inc.		72,240		5,246,069	(a)
Pfizer Inc.		56,380		1,888,166
Total Pharmaceuticals				9,815,378
TOTAL HEALTH CARE				13,471,507
INDUSTRIALS - 8.1%
Aerospace & Defense - 3.8%
Lockheed Martin Corp.		17,480		5,772,770	(a)
Raytheon Technologies Corp.		49,930		3,594,461
Total Aerospace & Defense				9,367,231
Air Freight & Logistics - 0.6%
United Parcel Service Inc., Class B Shares		9,360		1,477,289
Electrical Equipment - 0.7%
Emerson Electric Co.		20,720		1,779,848	(a)
Machinery - 3.0%
Otis Worldwide Corp.		35,060		2,233,672
Stanley Black & Decker Inc.		30,300		5,297,652	(a)
Total Machinery				7,531,324
TOTAL INDUSTRIALS				20,155,692
INFORMATION TECHNOLOGY - 19.1%
Electronic Equipment, Instruments & Components - 1.8%
TE Connectivity Ltd.		33,870		4,404,116
IT Services - 0.2%
Paychex Inc.		5,570		507,260	(a)
Semiconductors & Semiconductor Equipment - 7.6%
ASML Holding NV, Registered Shares		2,850		1,616,206
NXP Semiconductors NV		25,340		4,625,817
QUALCOMM Inc.		59,540		8,108,753	(a)
Taiwan Semiconductor Manufacturing Co. Ltd., ADR		17,720		2,231,657
Texas Instruments Inc.		13,620		2,346,317	(a)
Total Semiconductors & Semiconductor Equipment				18,928,750
Software - 5.8%
Microsoft Corp.		51,710		12,016,370	(a)
NortonLifeLock Inc.		49,520		966,135	(a)
Oracle Corp.		22,150		1,428,897
Total Software				14,411,402
Technology Hardware, Storage & Peripherals - 3.7%
Apple Inc.		76,930		9,328,532	(a)
TOTAL INFORMATION TECHNOLOGY				47,580,060

See Notes to Schedule of Investments.

    2     LMP Capital and Income Fund Inc. 2021 Quarterly Report

LMP CAPITAL AND INCOME FUND INC.

Schedule of investments (unaudited) (cont’d) February 28, 2021

SECURITY	SHARES		VALUE
MATERIALS - 1.4%
Chemicals - 1.4%
Air Products & Chemicals Inc.		5,960	$	1,523,495
Huntsman Corp.		74,450		2,032,485	(a)
TOTAL MATERIALS				3,555,980
REAL ESTATE - 5.1%
Equity Real Estate Investment Trusts (REITs) - 5.1%
Alexandria Real Estate Equities Inc.		15,770		2,518,311	(a)
American Tower Corp.		8,890		1,921,396	(a)
Crown Castle International Corp.		11,331		1,764,803
Duke Realty Corp.		17,500		686,875
Equinix Inc.		3,850		2,496,109	(a)
Equity LifeStyle Properties Inc.		13,630		840,289
Prologis Inc.		9,500		941,165
SBA Communications Corp.		6,260		1,597,114
TOTAL REAL ESTATE				12,766,062
UTILITIES - 1.9%
Electric Utilities - 0.5%
NextEra Energy Inc.		15,480		1,137,470
Independent Power and Renewable Electricity Producers - 0.8%
NextEra Energy Partners LP		28,120		2,042,637
Multi-Utilities - 0.6%
Sempra Energy		12,480		1,447,431
TOTAL UTILITIES				4,627,538
TOTAL COMMON STOCKS (Cost - $89,127,615)				142,411,054
	SHARES/ UNITS
MASTER LIMITED PARTNERSHIPS - 28.9%
Diversified Energy Infrastructure - 10.1%
Energy Transfer LP		1,240,880		9,480,323	(a)
Enterprise Products Partners LP		542,380		11,563,542	(a)
Plains All American Pipeline LP		474,260		4,002,754
Total Diversified Energy Infrastructure				25,046,619
Gathering/Processing - 1.0%
Rattler Midstream LP		214,190		2,356,090	(a)
Global Infrastructure - 1.9%
Brookfield Renewable Partners LP		113,805		4,824,595
Liquids Transportation & Storage - 4.6%
Magellan Midstream Partners LP		202,280		8,429,007	(a)
PBF Logistics LP		267,730		3,076,218	(a)
Total Liquids Transportation & Storage				11,505,225

See Notes to Schedule of Investments.

LMP Capital and Income Fund Inc. 2021 Quarterly Report         3

LMP CAPITAL AND INCOME FUND INC.

Schedule of investments (unaudited) (cont’d) February 28, 2021

SECURITY				SHARES/ UNITS		VALUE
Oil/Refined Products - 5.5%
CrossAmerica Partners LP					245,470	$	4,202,447	(a)
MPLX LP					160,000		3,809,600	(a)
Sunoco LP					184,200		5,636,520	(a)
Total Oil/Refined Products							13,648,567
Petrochemicals - 2.3%
Westlake Chemical Partners LP					244,826		5,755,859	(a)
Propane - 1.2%
Suburban Propane Partners LP					200,000		2,992,000	(a)
Shipping - 2.3%
KNOT Offshore Partners LP					350,000		5,817,000	(a)
TOTAL MASTER LIMITED PARTNERSHIPS (Cost - $61,887,250)							71,945,955
	RATE			SHARES
CONVERTIBLE PREFERRED STOCKS - 24.6%
COMMUNICATION SERVICES - 3.4%
Wireless Telecommunication Services - 3.4%
2020 Cash Mandatory Exchangeable Trust		5.250	%		7,810		8,543,646
CONSUMER DISCRETIONARY - 3.6%
Auto Components - 1.8%
Aptiv PLC, Non Voting Shares		5.500	%		26,340		4,497,555
Internet & Direct Marketing Retail - 1.8%
2020 Mandatory Exchangeable Trust		6.500	%		1,968		4,445,173
TOTAL CONSUMER DISCRETIONARY							8,942,728
FINANCIALS - 3.9%
Capital Markets - 2.3%
KKR & Co. Inc., Non Voting Shares		6.000	%		89,590		5,733,760
Insurance - 1.6%
Assurant Inc., Non Voting Shares		6.500	%		34,500		4,001,655
TOTAL FINANCIALS							9,735,415
HEALTH CARE - 2.5%
Health Care Equipment & Supplies - 2.5%
Becton Dickinson and Co., Non Voting Shares		6.000	%		25,650		1,352,011
Boston Scientific Corp., Non Voting Shares		5.500	%		2,819		311,838
Danaher Corp., Non Voting Shares		4.750	%		2,961		4,512,564
TOTAL HEALTH CARE							6,176,413
INFORMATION TECHNOLOGY - 6.8%
Semiconductors & Semiconductor Equipment - 6.8%
Broadcom Inc., Non Voting Shares		8.000	%		11,101		16,782,603

See Notes to Schedule of Investments.

    4     LMP Capital and Income Fund Inc. 2021 Quarterly Report

LMP CAPITAL AND INCOME FUND INC.

Schedule of investments (unaudited) (cont’d) February 28, 2021

SECURITY	RATE					SHARES		VALUE
UTILITIES - 4.4%
Electric Utilities - 1.6%
NextEra Energy Inc.		6.219	%				84,050	$	4,082,309
Gas Utilities - 0.5%
Spire Inc.		7.500	%				23,100		1,212,519
Multi-Utilities - 2.3%
CenterPoint Energy Inc., Non Voting Shares		7.000	%				78,000		2,852,460
DTE Energy Co.		6.250	%				61,080		2,803,572
Total Multi-Utilities									5,656,032
TOTAL UTILITIES									10,950,860
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost - $48,378,021)									61,131,665
				MATURITY DATE		FACE AMOUNT
CONVERTIBLE BONDS & NOTES - 4.6%
CONSUMER DISCRETIONARY - 0.8%
Hotels, Restaurants & Leisure - 0.8%
Royal Caribbean Cruises Ltd., Senior Notes		4.250	%		6/15/23	$	1,250,000		1,903,353	(b)
HEALTH CARE - 2.0%
Biotechnology - 2.0%
Bridgebio Pharma Inc., Senior Notes		2.250	%		2/1/29		1,960,000		2,055,201	(b)
Kadmon Holdings Inc., Senior Notes		3.625	%		2/15/27		2,940,000		2,980,572	(b)
TOTAL HEALTH CARE									5,035,773
INDUSTRIALS - 1.8%
Airlines - 1.8%
American Airlines Group Inc., Senior Notes		6.500	%		7/1/25		2,859,000		4,474,343
TOTAL CONVERTIBLE BONDS & NOTES (Cost - $9,278,085)									11,413,469
						SHARES
INVESTMENTS IN UNDERLYING FUNDS - 3.8%
Ares Capital Corp.							43,290		793,506	(a)(c)
Barings BDC Inc.							349,050		3,385,785	(a)(c)
TriplePoint Venture Growth BDC Corp.							379,405		5,376,169	(a)(c)
TOTAL INVESTMENTS IN UNDERLYING FUNDS (Cost - $8,959,253)									9,555,460
PREFERRED STOCKS - 0.6%
CONSUMER DISCRETIONARY - 0.6%
Internet & Direct Marketing Retail - 0.6%
Qurate Retail Inc. (Cost - $1,568,367)		8.000	%				14,420		1,422,100
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost - $219,198,591)									297,879,703

See Notes to Schedule of Investments.

LMP Capital and Income Fund Inc. 2021 Quarterly Report         5

LMP CAPITAL AND INCOME FUND INC.

Schedule of investments (unaudited) (cont’d) February 28, 2021

SECURITY	RATE			SHARES		VALUE
SHORT-TERM INVESTMENTS - 2.2%
JPMorgan 100% U.S. Treasury Securities Money Market Fund, Institutional Class (Cost - $5,549,342)		0.006	%		5,549,342	$	5,549,342
TOTAL INVESTMENTS - 121.9% (Cost - $224,747,933)							303,429,045
Liabilities in Excess of Other Assets - (21.9)%							(54,559,142	)
TOTAL NET ASSETS - 100.0%						$	248,869,903

* Non-income producing security.

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

(b) Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Directors.

(c) Security is a business development company.

Abbreviation(s) used in this schedule:

ADR — American Depositary Receipts

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.

    6     LMP Capital and Income Fund Inc. 2021 Quarterly Report

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.

Under normal market conditions, the Fund seeks to maximize total return by investing at least 80% of its Managed Assets in a broad range of equity and fixed income securities of both U.S. and foreign issuers. The Fund will vary its allocation between equity and fixed income securities depending on ClearBridge’s view of economic, market or political conditions, fiscal and monetary policy and security valuation.

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 typically 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,

7

Notes to Schedule of Investments (unaudited) (continued)

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.

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.

8

Notes to Schedule of Investments (unaudited) (continued)

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.

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

ASSETS
DESCRIPTION	QUOTED PRICES (LEVEL 1)		OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTAL
Long-Term Investments†:
Common Stocks	$	142,411,054		—		—	$	142,411,054
Master Limited Partnerships		71,945,955		—		—		71,945,955
Convertible Preferred Stocks:
Communication Services		—	$	8,543,646		—		8,543,646
Consumer Discretionary		4,497,555		4,445,173		—		8,942,728
Other Convertible Preferred Stocks		43,645,291		—		—		43,645,291
Convertible Bonds & Notes		—		11,413,469		—		11,413,469
Investments in Underlying Funds		9,555,460		—		—		9,555,460
Preferred Stocks		1,422,100		—		—		1,422,100
Total Long-Term Investments		273,477,415		24,402,288		—		297,879,703
Short-Term Investments†		5,549,342		—		—		5,549,342
Total Investments	$	279,026,757	$	24,402,288		—	$	303,429,045

† See Schedule of Investments for additional detailed categorizations.

9