SCD LMP Capital and Income Fund Inc

LMP Capital and Income Fund Inc. (NYSE: SCD) announces its portfolio composition as of June 30, 2010.

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

Portfolio Composition*:

           

Asset Allocation

Equities

79.2%

Mortgage-Backed Securities

6.8%

Government

6.0%

Investment Grade Corporate Bonds

4.7%

High Yield Corporate Bonds

0.4%

Inflation-Linked

0.2%

Asset-Backed Securities

0.2%

Emerging Market Debt

0.1%

Cash & Other Securities

2.4%  

Equity Sector Allocation**

Consumer Staples 14.4% Financials 10.1% Industrials 9.4% Utilities 7.1% Consumer Discretionary 6.9% Energy 6.5% Information Technology 6.4% Health Care 5.4% Telecommunication Services 4.3% Materials 2.0% Other 5.4%  

Top Ten Equity Holdings**

Procter & Gamble Co. 3.4% H.J. Heinz Co. 3.2% Kimberly-Clark Corp. 3.1% McDonald's Corp. 2.7% Waste Management Inc. 2.6% Johnson & Johnson 2.5% Travelers Cos. Inc. 2.3% Verizon Communications Inc. 2.3% Total SA 2.3% Spectra Energy Corp. 2.1%  

Fixed Income Credit Quality Allocation***, 1

AAA 62.9% AA 4.3% A 10.5% BBB 10.1% B 2.6% CCC 7.9% CC 1.0% NR 0.7%  

The investment manager has assigned its own ratings to securities not rated by S&P, Moody's or Fitch. Of the credit quality allocation totals above, Western Asset has rated 12.8% of the portfolio as equivalent to AAA.

Top Five Fixed Income Investment Grade Industries***

Banking     7.6% Communications 3.7% Energy 2.2% Insurance 2.1% Finance Companies 1.6%  

Fixed Income – Statistics***

Average Life (years)

8.09

Effective Duration (years)

4.66

Average Coupon (%)

3.74  

Portfolio Statistics:

 

Inception Date

February 24, 2004 Inception Price $20.00

Total Assets

$410,255,768

Net Assets****

$350,255,768

Loans**

14.63%

Preferred Shares**

0.00%

Reverse Repos**

0.00%  

Market Price

$9.59

NAV

$11.69 (Daily NAV is available on market quotation systems using the symbol XSCDX.)  

Distribution Rate*****

$0.1300 per share

Frequency

Quarterly  

* Portfolio holdings and weightings are historical and are presented here for informational purposes only. They are subject to change at any time.

** Percentage based on the total portfolio.

*** Percentage based on the fixed income portion of the total portfolio.

**** The difference between total assets and net assets, if any, is due primarily to the Fund’s use of borrowings and other assets and liabilities; 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.

***** 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. The credit quality ratings shown may change over time.

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

1 Credit quality is a measure of a bond issuer's ability to repay interest and a principal in a timely manner. The credit ratings shown are based on each portfolio security's rating as provided by the following Nationally Recognized Statistical Rating Organizations ("NRSRO"): Standard and Poor's ("S&P"), Moody's Investors Service ("Moody's"), Fitch Ratings, Ltd. In the case where a security is not rated by an NRSRO the rating is determined by Western Asset Management ("WAM"), the fund's investment manager (and not an NRSRO). For this purpose, if two or more of the other NRSROs have assigned a rating to a security, the highest rating is used. If a security is not rated by a NRSRO, WAM will analyze comparable securities with similar characteristics (size, capital structure, industry sector, risks, etc.) and assign its own rating using denominations similar to those of S&P. Unrated securities assigned a rating by WAM are specified separately in the credit quality breakdown being shown. A negative allocation may be apparent, which is primarily due to the Fund's unsettled trade activity. Currency forwards and futures are not rated by a NRSRO or WAM and are listed as "Non Rated". 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 by WAM monthly and may change over time. Please note, WAM is not a NRSRO nor has the Fund itself been rated by a NRSRO.

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