0001752724-24-090882.txt : 20240425 0001752724-24-090882.hdr.sgml : 20240425 20240425161137 ACCESSION NUMBER: 0001752724-24-090882 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20240229 FILED AS OF DATE: 20240425 DATE AS OF CHANGE: 20240425 PERIOD START: 20241130 FILER: COMPANY DATA: COMPANY CONFORMED NAME: LMP CAPITAL & INCOME FUND INC. CENTRAL INDEX KEY: 0001270131 ORGANIZATION NAME: IRS NUMBER: 470936930 STATE OF INCORPORATION: MD FISCAL YEAR END: 1130 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-21467 FILM NUMBER: 24876407 BUSINESS ADDRESS: STREET 1: C/O LEGG MASON & CO. LLC STREET 2: 620 EIGHTH AVE., 47TH FLOOR CITY: NEW YORK STATE: NY ZIP: 10018 BUSINESS PHONE: 888-777-0102 MAIL ADDRESS: STREET 1: C/O LEGG MASON & CO. LLC STREET 2: 620 EIGHTH AVE., 47TH FLOOR CITY: NEW YORK STATE: NY ZIP: 10018 FORMER COMPANY: FORMER CONFORMED NAME: SALOMON BROTHERS CAPITAL & INCOME FUND INC DATE OF NAME CHANGE: 20031219 FORMER COMPANY: FORMER CONFORMED NAME: SALOMON BROTHERS EQUITY & INCOME FUND INC DATE OF NAME CHANGE: 20031113 NPORT-P 1 primary_doc.xml NPORT-P false 0001270131 XXXXXXXX LMP Capital & Income Fund Inc. 811-21467 0001270131 549300YJH1GYGXCCQ467 620 Eighth Avenue 47thFloor New York 10018 1-888-777-0102 LMP Capital & Income Fund Inc. 549300YJH1GYGXCCQ467 2024-11-30 2024-02-29 N 343798340.17 69275832.22 274522507.95 0.00000000 0.00000000 67000000.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 279071.40000000 N WALT DISNEY COMPANY/THE 549300GZKULIZ0WOW665 Walt Disney Co/The 254687FL5 600000.00000000 PA USD 517868.58000000 0.188643395351 Long DBT CORP US N 2 2029-09-01 Fixed 2.00000000 N N N N N N McCormick & Co Inc/MD 549300JQQA6MQ4OJP259 McCormick & Co Inc/MD 579780206 53100.00000000 NS USD 3656466.00000000 1.331936687925 Long EC CORP US N 1 N N N KENVUE INC 5493008HSF8L4M2LIJ82 Kenvue Inc 49177JAK8 400000.00000000 PA USD 395660.19000000 0.144126684895 Long DBT CORP US N 2 2033-03-22 Fixed 4.90000000 N N N N N N Otis Worldwide Corp 549300ZLBKR8VSU25153 Otis Worldwide Corp 68902V107 54510.00000000 NS USD 5194803.00000000 1.892304947522 Long EC CORP US N 1 N N N UNITED RENTALS NORTH AM NGIZXNT70J2LYT3FBI09 United Rentals North America Inc 911365BP8 500000.00000000 PA USD 433180.15000000 0.157794037813 Long DBT CORP US N 2 2032-01-15 Fixed 3.75000000 N N N N N N DAIMLER TRUCK FINAN NA 5493003HSDTSCZRXBA58 Daimler Truck Finance North America LLC 233853AN0 200000.00000000 PA USD 199444.81000000 0.072651532833 Long DBT CORP US N 2 2025-01-17 Fixed 5.20000000 N N N N N N Apartment Income REIT Corp N/A Apartment Income REIT Corp 03750L109 97500.00000000 NS USD 2956200.00000000 1.076851592998 Long EC CORP US N 1 N N N ROYAL CARIBBEAN CRUISES K2NEH8QNVW44JIWK7Z55 Royal Caribbean Cruises Ltd 780153BT8 400000.00000000 PA USD 416186.00000000 0.151603598228 Long DBT CORP LR N 2 2030-01-15 Fixed 7.25000000 N N N N N N T-Mobile US Inc 549300QHIJYOHPACPG31 T-Mobile US Inc 872590104 24600.00000000 NS USD 4017180.00000000 1.463333564157 Long EC CORP US N 1 N N N MICROSOFT CORP INR2EJN1ERAN0W5ZP974 MICROSOFT CORP 594918104 32230.00000000 NS USD 13331617.20000000 4.856292950095 Long EC CORP US N 1 N N N Intercontinental Exchange Inc 5493000F4ZO33MV32P92 Intercontinental Exchange Inc 45866F104 8230.00000000 NS USD 1139196.60000000 0.414973842584 Long EC CORP US N 1 N N N Target Corp 8WDDFXB5T1Z6J0XC1L66 Target Corp 87612E106 17000.00000000 NS USD 2599640.00000000 0.946967889595 Long EC CORP US N 1 N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 JPMorgan Chase & Co 46647PDK9 700000.00000000 PA USD 709008.47000000 0.258269704475 Long DBT CORP US N 2 2033-09-14 Fixed 5.71700000 N N N N N N NXP Semiconductors NV 724500M9BY5293JDF951 NXP Semiconductors NV 000000000 4240.00000000 NS USD 1058855.20000000 0.385707972693 Long EC CORP NL N 1 N N N MERCK & CO. 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Christopher Berarducci Christopher Berarducci Principal Financial Officer XXXX NPORT-EX 2 LMP0101LM022924.htm HTML

LMP CAPITAL AND INCOME FUND INC.

 

Schedule of investments (unaudited)    February 29, 2024

(Percentages shown based on Fund net assets)

 

SECURITY

    SHARES      VALUE  
COMMON STOCKS - 86.5%      
COMMUNICATION SERVICES - 2.4%      

Interactive Media & Services - 0.9%

      

Meta Platforms Inc., Class A Shares

      5,100      $ 2,499,663  
     

 

 

  

Wireless Telecommunication Services - 1.5%

      

T-Mobile US Inc.

      24,600        4,017,180  
     

 

 

  

TOTAL COMMUNICATION SERVICES

         6,516,843  
     

 

 

  
CONSUMER STAPLES - 7.2%      

Beverages - 2.2%

      

Coca-Cola Co.

      99,210        5,954,584 (a) 
     

 

 

  

Consumer Staples Distribution & Retail - 1.0%

      

Target Corp.

      17,000        2,599,640  
     

 

 

  

Food Products - 1.3%

      

McCormick & Co. Inc., Non Voting Shares

      53,100        3,656,466  
     

 

 

  

Household Products - 2.7%

      

Colgate-Palmolive Co.

      41,400        3,581,928  

Procter & Gamble Co.

      24,760        3,935,355 (a) 
     

 

 

  

Total Household Products

         7,517,283  
     

 

 

  

TOTAL CONSUMER STAPLES

         19,727,973  
     

 

 

  
ENERGY - 5.1%      

Oil, Gas & Consumable Fuels - 5.1%

      

Enbridge Inc.

      41,960        1,444,263  

ONEOK Inc.

      119,779        8,997,798 (a) 

Williams Cos. Inc.

      96,740        3,476,836 (a) 
     

 

 

  

TOTAL ENERGY

         13,918,897  
     

 

 

  
FINANCIALS - 12.9%      

Banks - 3.3%

      

JPMorgan Chase & Co.

      39,480        7,345,649 (a) 

US Bancorp

      40,700        1,707,772  
     

 

 

  

Total Banks

         9,053,421  
     

 

 

  

Capital Markets - 8.4%

      

Blackstone Inc.

      99,310        12,693,804 (a) 

Blue Owl Capital Inc.

      394,200        7,079,832  

CME Group Inc.

      5,680        1,251,588  

Intercontinental Exchange Inc.

      8,230        1,139,197  

Trinity Capital Inc.

      59,691        867,907  
     

 

 

  

Total Capital Markets

         23,032,328  
     

 

 

  

Insurance - 0.5%

      

Chubb Ltd.

      5,590        1,406,835  
     

 

 

  

 

See Notes to Schedule of Investments.

 

 

LMP Capital and Income Fund Inc. 2024 Quarterly Report 

  

 

 

1

LMP CAPITAL AND INCOME FUND INC.

 

Schedule of investments (unaudited) (cont’d)    February 29, 2024

(Percentages shown based on Fund net assets)

 

SECURITY

    SHARES      VALUE  

Mortgage Real Estate Investment Trusts (REITs) - 0.7%

      

AGNC Investment Corp.

      194,900      $ 1,863,244  
     

 

 

  

TOTAL FINANCIALS

         35,355,828  
     

 

 

  
HEALTH CARE - 9.9%      

Biotechnology - 2.4%

      

AbbVie Inc.

      29,900        5,263,895  

Amgen Inc.

      5,190        1,421,177  
     

 

 

  

Total Biotechnology

         6,685,072  
     

 

 

  

Health Care Equipment & Supplies - 1.0%

      

Abbott Laboratories

      22,700        2,693,128  
     

 

 

  

Pharmaceuticals - 6.5%

      

Eli Lilly & Co.

      3,700        2,788,616  

Johnson & Johnson

      29,856        4,818,161 (a) 

Merck & Co. Inc.

      64,600        8,213,890 (a) 

Pfizer Inc.

      71,008        1,885,973  
     

 

 

  

Total Pharmaceuticals

         17,706,640  
     

 

 

  

TOTAL HEALTH CARE

         27,084,840  
     

 

 

  
INDUSTRIALS - 9.0%      

Aerospace & Defense - 2.7%

      

L3Harris Technologies Inc.

      14,700        3,111,402 (a) 

Lockheed Martin Corp.

      9,878        4,230,155 (a) 
     

 

 

  

Total Aerospace & Defense

         7,341,557  
     

 

 

  

Air Freight & Logistics - 0.8%

      

United Parcel Service Inc., Class B Shares

      15,060        2,232,796 (a) 
     

 

 

  

Electrical Equipment - 1.0%

      

Emerson Electric Co.

      25,720        2,748,182 (a) 
     

 

 

  

Ground Transportation - 2.4%

      

Union Pacific Corp.

      25,900        6,570,571 (a) 
     

 

 

  

Machinery - 1.9%

      

Otis Worldwide Corp.

      54,510        5,194,803 (a) 
     

 

 

  

Professional Services - 0.2%

      

Paychex Inc.

      5,170        633,945 (a)  
     

 

 

  

TOTAL INDUSTRIALS

         24,721,854  
     

 

 

  
INFORMATION TECHNOLOGY - 19.2%      

Electronic Equipment, Instruments & Components - 0.6%

      

Amphenol Corp., Class A Shares

      16,300        1,780,612  
     

 

 

  

Semiconductors & Semiconductor Equipment - 8.3%

      

ASML Holding NV, Registered Shares

      2,600        2,474,368  

Broadcom Inc.

      8,067        10,491,053 (a) 

Marvell Technology Inc.

      47,100        3,375,186  

 

See Notes to Schedule of Investments.

 

 

 

2

  

 LMP Capital and Income Fund Inc. 2024 Quarterly Report

  

LMP CAPITAL AND INCOME FUND INC.

 

Schedule of investments (unaudited) (cont’d)    February 29, 2024

(Percentages shown based on Fund net assets)

 

SECURITY

    SHARES      VALUE  

Semiconductors & Semiconductor Equipment - (continued)

      

NXP Semiconductors NV

      4,240      $ 1,058,855  

QUALCOMM Inc.

      33,740        5,323,835 (a) 
     

 

 

  

Total Semiconductors & Semiconductor Equipment

         22,723,297  
     

 

 

  

Software - 6.1%

      

Microsoft Corp.

      32,230        13,331,617 (a) 

Oracle Corp.

      30,590        3,416,291 (a) 
     

 

 

  

Total Software

         16,747,908  
     

 

 

  

Technology Hardware, Storage & Peripherals - 4.2%

      

Apple Inc.

      64,030        11,573,422 (a) 
     

 

 

  

TOTAL INFORMATION TECHNOLOGY

         52,825,239  
     

 

 

  
MATERIALS - 0.5%      

Chemicals - 0.5%

      

Huntsman Corp.

      60,050        1,537,280 (a)  
     

 

 

  
REAL ESTATE - 15.1%      

Health Care REITs - 0.3%

      

Global Medical REIT Inc.

      72,500        648,875  
     

 

 

  

Industrial REITs - 1.8%

      

Prologis Inc.

      37,400        4,984,298 (a) 
     

 

 

  

Office REITs - 0.6%

      

Boston Properties Inc.

      25,500        1,650,360  
     

 

 

  

Residential REITs - 4.0%

      

American Homes 4 Rent, Class A Shares

      122,800        4,544,828  

Apartment Income REIT Corp.

      97,500        2,956,200  

Equity LifeStyle Properties Inc.

      51,730        3,482,464  
     

 

 

  

Total Residential REITs

         10,983,492  
     

 

 

  

Specialized REITs - 8.4%

      

American Tower Corp.

      26,490        5,267,801 (a)  

Digital Realty Trust Inc.

      38,800        5,696,228  

Equinix Inc.

      5,410        4,808,516 (a)  

Extra Space Storage Inc.

      28,100        3,961,257  

Gaming and Leisure Properties Inc.

      74,677        3,396,310 (a)  
     

 

 

  

Total Specialized REITs

         23,130,112  
     

 

 

  

TOTAL REAL ESTATE

         41,397,137  
     

 

 

  
UTILITIES - 5.2%      

Electric Utilities - 1.6%

      

PPL Corp.

      169,600        4,472,352  
     

 

 

  

 

See Notes to Schedule of Investments.

 

 

LMP Capital and Income Fund Inc. 2024 Quarterly Report 

  

 

 

3

LMP CAPITAL AND INCOME FUND INC.

 

Schedule of investments (unaudited) (cont’d)    February 29, 2024

(Percentages shown based on Fund net assets)

 

SECURITY

          SHARES      VALUE  

Multi-Utilities - 3.6%

        

DTE Energy Co.

        43,825      $ 4,748,439  

Sempra

        72,360        5,108,616 (a)  
       

 

 

  

Total Multi-Utilities

           9,857,055  
       

 

 

  

TOTAL UTILITIES

           14,329,407  
       

 

 

  

TOTAL COMMON STOCKS

(Cost - $156,724,968)

           237,415,298  
       

 

 

  
           SHARES/UNITS         
MASTER LIMITED PARTNERSHIPS - 22.0%        

Diversified Energy Infrastructure - 13.4%

        

Energy Transfer LP

        1,087,280        15,917,779 (a)  

Enterprise Products Partners LP

        472,780        12,977,811 (a)  

Plains GP Holdings LP, Class A Shares

        463,340        7,969,448 * 
       

 

 

  

Total Diversified Energy Infrastructure

           36,865,038  
       

 

 

  

Oil/Refined Products - 5.8%

        

CrossAmerica Partners LP

        101,729        2,180,052  

MPLX LP

        188,500        7,245,940 (a)  

Sunoco LP

        104,510        6,414,824 (a)  
       

 

 

  

Total Oil/Refined Products

           15,840,816  
       

 

 

  

Petrochemicals - 1.9%

        

Westlake Chemical Partners LP

        239,536        5,327,281 (a)  
       

 

 

  

Power Generation - 0.4%

        

NextEra Energy Partners LP

        37,500        1,030,125  
       

 

 

  

Propane - 0.5%

        

Suburban Propane Partners LP

        61,474        1,278,659 (a)  
       

 

 

  

TOTAL MASTER LIMITED PARTNERSHIPS

(Cost - $20,471,183)

           60,341,919  
       

 

 

  
     RATE     SHARES         
CONVERTIBLE PREFERRED STOCKS - 6.0%        
COMMUNICATION SERVICES - 0.3%        

Media - 0.3%

        

Paramount Global, Non Voting Shares

      5.750 %      67,964        985,478  
       

 

 

  
FINANCIALS - 3.3%        

Financial Services - 3.3%

        

Apollo Global Management Inc.

      6.750 %      142,451        9,086,949  
       

 

 

  
UTILITIES - 2.4%        

Electric Utilities - 2.0%

        

NextEra Energy Inc.

      6.926 %      154,200        5,403,168  
       

 

 

  

 

See Notes to Schedule of Investments.

 

 

 

4

  

 LMP Capital and Income Fund Inc. 2024 Quarterly Report

  

LMP CAPITAL AND INCOME FUND INC.

 

Schedule of investments (unaudited) (cont’d)    February 29, 2024

(Percentages shown based on Fund net assets)

 

SECURITY

    RATE            SHARES      VALUE  

Gas Utilities - 0.4%

           

Spire Inc.

      7.500 %         23,100      $ 1,079,694  
          

 

 

  

TOTAL UTILITIES

              6,482,862  
          

 

 

  

TOTAL CONVERTIBLE PREFERRED STOCKS

(Cost - $20,167,228)

              16,555,289  
          

 

 

  
           MATURITY
DATE		      FACE
AMOUNT		         
CORPORATE BONDS & NOTES - 5.2%           
COMMUNICATION SERVICES - 0.9%           

Entertainment - 0.3%

           

Netflix Inc., Senior Notes

      5.375 %      11/15/29      $ 400,000        406,410 (b)  

Walt Disney Co., Senior Notes

      2.000 %      9/1/29        600,000        517,868  
          

 

 

  

Total Entertainment

              924,278  
          

 

 

  

Interactive Media & Services - 0.1%

           

Match Group Holdings II LLC, Senior Notes

      3.625 %      10/1/31        250,000        210,840 (b)  
          

 

 

  

Media - 0.3%

           

Comcast Corp., Senior Notes

      4.250 %      10/15/30        550,000        526,339  

Fox Corp., Senior Notes

      6.500 %      10/13/33        400,000        420,341  
          

 

 

  

Total Media

              946,680  
          

 

 

  

Wireless Telecommunication Services - 0.2%

           

T-Mobile USA Inc., Senior Notes

      3.875 %      4/15/30        500,000        464,372  
          

 

 

  

TOTAL COMMUNICATION SERVICES

              2,546,170  
          

 

 

  
CONSUMER DISCRETIONARY - 0.6%           

Automobiles - 0.1%

           

Ford Motor Co., Senior Notes

      3.250 %      2/12/32        550,000        451,360  
          

 

 

  

Broadline Retail - 0.2%

           

Amazon.com Inc., Senior Notes

      2.100 %      5/12/31        550,000        462,275  
          

 

 

  

Hotels, Restaurants & Leisure - 0.3%

           

Hilton Domestic Operating Co. Inc., Senior Notes

      5.375 %      5/1/25        400,000        399,072 (b)  

Royal Caribbean Cruises Ltd., Senior Notes

      7.250 %      1/15/30        400,000        416,186 (b)  
          

 

 

  

Total Hotels, Restaurants & Leisure

              815,258  
          

 

 

  

TOTAL CONSUMER DISCRETIONARY

              1,728,893  
          

 

 

  
CONSUMER STAPLES - 0.3%           

Food Products - 0.2%

           

Lamb Weston Holdings Inc., Senior Notes

      4.375 %      1/31/32        550,000        491,838 (b)  
          

 

 

  

Personal Care Products - 0.1%

           

Kenvue Inc., Senior Notes

      4.900 %      3/22/33        400,000        395,660  
          

 

 

  

TOTAL CONSUMER STAPLES

              887,498  
          

 

 

  

 

See Notes to Schedule of Investments.

 

 

LMP Capital and Income Fund Inc. 2024 Quarterly Report 

  

 

 

5

LMP CAPITAL AND INCOME FUND INC.

 

Schedule of investments (unaudited) (cont’d)    February 29, 2024

(Percentages shown based on Fund net assets)

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
FINANCIALS - 1.4%           

Banks - 1.0%

           

Bank of America Corp., Senior Notes
(5.015% to 7/22/32 then SOFR + 2.160%)

      5.015 %      7/22/33      $ 600,000      $ 585,030 (c) 

Citigroup Inc., Subordinated Notes
(6.174% to 5/25/33 then SOFR + 2.661%)

      6.174 %      5/25/34        700,000        705,603 (c)  

JPMorgan Chase & Co., Subordinated Notes
(5.717% to 9/14/32 then SOFR + 2.580%)

      5.717 %      9/14/33        700,000        709,008 (c)  

Truist Financial Corp., Senior Notes
(5.711% to 1/24/34 then SOFR + 1.922%)

      5.711 %      1/24/35        300,000        297,224 (c)  

Wells Fargo & Co., Senior Notes
(4.897% to 7/25/32 then SOFR + 2.100%)

      4.897 %      7/25/33        500,000        478,244 (c)  
          

 

 

  

Total Banks

              2,775,109  
          

 

 

  

Capital Markets - 0.1%

           

Daimler Truck Finance North America LLC, Senior Notes

      5.200 %      1/17/25        200,000        199,445 (b)  
          

 

 

  

Consumer Finance - 0.2%

           

American Express Co., Senior Notes
(5.043% to 5/1/33 then SOFR + 1.835%)

      5.043 %      5/1/34        500,000        490,913 (c)  
          

 

 

  

Financial Services - 0.1%

           

GTCR W-2 Merger Sub LLC, Senior Secured Notes

      7.500 %      1/15/31        250,000        260,955 (b)  
          

 

 

  

TOTAL FINANCIALS

              3,726,422  
          

 

 

  
HEALTH CARE - 1.2%           

Biotechnology - 0.2%

           

Amgen Inc., Senior Notes

      5.250 %      3/2/33        550,000        548,687  
          

 

 

  

Health Care Providers & Services - 0.8%

           

Centene Corp., Senior Notes

      3.000 %      10/15/30        600,000        513,093  

Cigna Group, Senior Notes

      2.400 %      3/15/30        348,000        298,556  

CVS Health Corp., Senior Notes

      3.750 %      4/1/30        600,000        553,926  

HCA Inc., Senior Notes

      5.625 %      9/1/28        400,000        403,222  

UnitedHealth Group Inc., Senior Notes

      5.000 %      10/15/24        500,000        498,604  
          

 

 

  

Total Health Care Providers & Services

              2,267,401  
          

 

 

  

Pharmaceuticals - 0.2%

           

Pfizer Investment Enterprises Pte Ltd., Senior Notes

      4.750 %      5/19/33        550,000        535,794  
          

 

 

  

TOTAL HEALTH CARE

              3,351,882  
          

 

 

  
INDUSTRIALS - 0.5%           

Aerospace & Defense - 0.2%

           

Northrop Grumman Corp., Senior Notes

      4.750 %      6/1/43        500,000        454,466  
          

 

 

  

 

See Notes to Schedule of Investments.

 

 

 

6

  

 LMP Capital and Income Fund Inc. 2024 Quarterly Report

  

LMP CAPITAL AND INCOME FUND INC.

 

Schedule of investments (unaudited) (cont’d)    February 29, 2024

(Percentages shown based on Fund net assets)

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

Ground Transportation - 0.1%

           

XPO Inc., Senior Secured Notes

      6.250 %      6/1/28      $ 350,000      $ 351,444 (b)  
          

 

 

  

Trading Companies & Distributors - 0.2%

           

United Rentals North America Inc., Senior Notes

      3.750 %      1/15/32        500,000        433,180  
          

 

 

  

TOTAL INDUSTRIALS

              1,239,090  
          

 

 

  
MATERIALS - 0.3%           

Containers & Packaging - 0.1%

           

Ball Corp., Senior Notes

      3.125 %      9/15/31        550,000        463,893  
          

 

 

  

Metals & Mining - 0.2%

           

Freeport-McMoRan Inc., Senior Notes

      5.450 %      3/15/43        500,000        466,045  
          

 

 

  

TOTAL MATERIALS

              929,938  
          

 

 

  

TOTAL CORPORATE BONDS & NOTES

(Cost - $14,490,996)

 

 

           14,409,893  
          

 

 

  
                  SHARES         
INVESTMENTS IN UNDERLYING FUNDS - 2.1%           

Ares Capital Corp. (Cost - $5,260,817)

           286,890        5,803,785 (a)(d) 
          

 

 

  

TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS

(Cost - $217,115,192)

 

 

      334,526,184  
          

 

 

  
SHORT-TERM INVESTMENTS - 3.1%           

Dreyfus Government Cash Management, Institutional Shares

      5.222 %         676,355        676,355 (e)  

JPMorgan 100% U.S. Treasury Securities Money Market Fund, Institutional Class

      5.167 %         7,793,487        7,793,487 (e)  
          

 

 

  

TOTAL SHORT-TERM INVESTMENTS

(Cost - $8,469,842)

 

 

           8,469,842  
          

 

 

  

TOTAL INVESTMENTS - 124.9%

(Cost - $225,585,034)

 

 

           342,996,026  

Liabilities in Excess of Other Assets - (24.9)%

              (68,473,477 ) 
          

 

 

  

TOTAL NET ASSETS - 100.0%

            $ 274,522,549  
          

 

 

  

 

*

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)

Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above.

 

(d)

Security is a business development company.

 

(e)

Rate shown is one-day yield as of the end of the reporting period.

 

See Notes to Schedule of Investments.

 

 

LMP Capital and Income Fund Inc. 2024 Quarterly Report 

  

 

 

7

LMP CAPITAL AND INCOME FUND INC.

 

Schedule of investments (unaudited) (cont’d)    February 29, 2024

(Percentages shown based on Fund net assets)

 

Abbreviation(s) used in this schedule:

 

REIT    — Real Estate Investment Trust
SOFR    — Secured Overnight Financing Rate

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.

 

 

 

8

  

 LMP Capital and Income Fund Inc. 2024 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 Fund follows the accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services – Investment Companies (“ASC 946”). The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S. generally accepted accounting principles (“GAAP”), including, but not limited to, ASC 946.

(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.

 

 

LMP Capital and Income Fund Inc. 2024 Quarterly Report 

  

 

 

9

Notes to Schedule of Investments (unaudited) (continued)

 

Pursuant to policies adopted by the Board of Directors, the Fund’s manager has been designated as the valuation designee and is responsible for the oversight of the daily valuation process. The Fund’s manager is assisted by the Global Fund Valuation Committee (the “Valuation Committee”). The Valuation Committee is responsible for making fair value determinations, evaluating the effectiveness of the Fund’s pricing policies, and reporting to the Fund’s manager and 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.

 

 

 

10

  

 LMP Capital and Income Fund Inc. 2024 Quarterly Report

  

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 – unadjusted 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

    $ 237,415,298        —         —       $ 237,415,298  

Master Limited Partnerships

      60,341,919        —         —         60,341,919  

Convertible Preferred Stocks:

            

Utilities

      5,403,168      $ 1,079,694        —         6,482,862  

Other Convertible Preferred Stocks

      10,072,427        —         —         10,072,427  

Corporate Bonds & Notes

      —         14,409,893        —         14,409,893  

Investments in Underlying Funds

      5,803,785        —         —         5,803,785  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Long-Term Investments

      319,036,597        15,489,587        —         334,526,184  
  

 

 

     

 

 

     

 

 

     

 

 

  

Short-Term Investments†

      8,469,842        —         —         8,469,842  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments

    $ 327,506,439      $ 15,489,587        —       $ 342,996,026  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

†

See Schedule of Investments for additional detailed categorizations.

 

 

LMP Capital and Income Fund Inc. 2024 Quarterly Report 

  

 

 

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