|
|
|
LMP Capital and Income Fund Inc. 2021 Semi-Annual Report
|
|
7
|
Statement of assets and liabilities (unaudited)
May 31, 2021
|
|
|
|
|
|
|
Assets:
|
|
|
|
|
Investments, at value (Cost $226,486,947)
|
|
$
|
335,441,828
|
|
Foreign currency, at value (Cost $2)
|
|
|
2
|
|
Cash
|
|
|
10,000
|
|
Dividends and interest receivable
|
|
|
640,498
|
|
Prepaid expenses
|
|
|
8,192
|
|
Total Assets
|
|
|
336,100,520
|
|
|
|
Liabilities:
|
|
|
|
|
Loan payable (Note 5)
|
|
|
58,000,000
|
|
Investment management fee payable
|
|
|
237,495
|
|
Payable for Fund shares repurchased
|
|
|
94,437
|
|
Interest expense payable
|
|
|
13,529
|
|
Directors fees payable
|
|
|
2,616
|
|
Accrued expenses
|
|
|
82,102
|
|
Total Liabilities
|
|
|
58,430,179
|
|
Total Net Assets
|
|
$
|
277,670,341
|
|
|
|
Net Assets:
|
|
|
|
|
Par value ($0.001 par value; 17,915,383 shares issued and outstanding; 100,000,000 shares authorized)
|
|
$
|
17,915
|
|
Paid-in capital in excess of par value
|
|
|
192,580,354
|
|
Total distributable earnings (loss)
|
|
|
85,072,072
|
|
Total Net Assets
|
|
$
|
277,670,341
|
|
|
|
Shares Outstanding
|
|
|
17,915,383
|
|
|
|
Net Asset Value
|
|
|
$15.50
|
|
See Notes to Financial
Statements.
|
|
|
8
|
|
LMP Capital and Income Fund Inc. 2021 Semi-Annual Report
|
Statement of operations (unaudited)
For the
Six Months Ended May 31, 2021
|
|
|
|
|
|
|
Investment Income:
|
|
|
|
|
Dividends
|
|
$
|
4,586,041
|
|
Interest
|
|
|
205,275
|
|
Less: Foreign taxes withheld
|
|
|
(15,053)
|
|
Total Investment Income
|
|
|
4,776,263
|
|
|
|
Expenses:
|
|
|
|
|
Investment management fee (Note 2)
|
|
|
1,317,207
|
|
Interest expense (Note 5)
|
|
|
213,661
|
|
Audit and tax fees
|
|
|
46,536
|
|
Directors fees
|
|
|
40,924
|
|
Transfer agent fees
|
|
|
29,319
|
|
Legal fees
|
|
|
27,479
|
|
Fund accounting fees
|
|
|
15,510
|
|
Shareholder reports
|
|
|
6,843
|
|
Stock exchange listing fees
|
|
|
6,233
|
|
Insurance
|
|
|
1,711
|
|
Custody fees
|
|
|
1,449
|
|
Miscellaneous expenses
|
|
|
2,352
|
|
Total Expenses
|
|
|
1,709,224
|
|
Net Investment Income
|
|
|
3,067,039
|
|
|
|
Realized and Unrealized Gain on Investments and Foreign Currency Transactions (Notes 1 and 3):
|
|
|
|
|
Net Realized Gain From:
|
|
|
|
|
Investment transactions
|
|
|
7,037,272
|
|
Foreign currency transactions
|
|
|
148
|
|
Net Realized Gain
|
|
|
7,037,420
|
|
Change in Net Unrealized Appreciation (Depreciation) From
Investments
|
|
|
41,929,622
|
|
Net Gain on Investments and Foreign Currency Transactions
|
|
|
48,967,042
|
|
Increase in Net Assets From Operations
|
|
$
|
52,034,081
|
|
See Notes to Financial
Statements.
|
|
|
LMP Capital and Income Fund Inc. 2021 Semi-Annual Report
|
|
9
|
Statements of changes in net assets
|
|
|
|
|
|
|
|
|
For the Six Months Ended May 31, 2021 (unaudited)
and the Year Ended November 30, 2020
|
|
2021
|
|
|
2020
|
|
|
|
|
Operations:
|
|
|
|
|
|
|
|
|
Net investment income
|
|
$
|
3,067,039
|
|
|
$
|
10,060,664
|
|
Net realized gain (loss)
|
|
|
7,037,420
|
|
|
|
(18,772,619)
|
|
Change in net unrealized appreciation (depreciation)
|
|
|
41,929,622
|
|
|
|
(13,651,087)
|
|
Increase (Decrease) in Net Assets From Operations
|
|
|
52,034,081
|
|
|
|
(22,363,042)
|
|
|
|
|
Distributions to Shareholders From (Note 1):
|
|
|
|
|
|
|
|
|
Total distributable earnings
|
|
|
(9,345,657)
|
|
|
|
(8,187,233)
|
|
Return of capital
|
|
|
|
|
|
|
(14,112,096)
|
|
Decrease in Net Assets From Distributions to
Shareholders
|
|
|
(9,345,657)
|
|
|
|
(22,299,329)
|
|
|
|
|
Fund Share Transactions:
|
|
|
|
|
|
|
|
|
Cost of shares repurchased (67,947 and 0 shares repurchased, respectively)
(Note 7)
|
|
|
(891,767)
|
|
|
|
|
|
Decrease in Net Assets From Fund Share Transactions
|
|
|
(891,767)
|
|
|
|
|
|
|
|
|
Capital Contributions:
|
|
|
|
|
|
|
|
|
Capital contributions
|
|
|
|
|
|
|
15,262
|
|
Increase (Decrease) in Net Assets
|
|
|
41,796,657
|
|
|
|
(44,647,109)
|
|
|
|
|
Net Assets:
|
|
|
|
|
|
|
|
|
Beginning of period
|
|
|
235,873,684
|
|
|
|
280,520,793
|
|
End of period
|
|
$
|
277,670,341
|
|
|
$
|
235,873,684
|
|
See Notes to Financial
Statements.
|
|
|
10
|
|
LMP Capital and Income Fund Inc. 2021 Semi-Annual Report
|
Statement of cash flows (unaudited)
For the
Six Months Ended May 31, 2021
|
|
|
|
|
|
|
Increase (Decrease) in Cash:
|
|
|
|
|
Cash Flows from Operating Activities:
|
|
|
|
|
Net increase in net assets resulting from operations
|
|
$
|
52,034,081
|
|
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided (used) by operating
activities:
|
|
|
|
|
Purchases of portfolio securities
|
|
|
(59,916,103)
|
|
Sales of portfolio securities
|
|
|
63,898,781
|
|
Net purchases, sales and maturities of short-term investments
|
|
|
(7,454,037)
|
|
Net amortization of premium (accretion of discount)
|
|
|
32,011
|
|
Return of capital
|
|
|
3,167,660
|
|
Securities litigation proceeds
|
|
|
3,449
|
|
Decrease in receivable for securities sold
|
|
|
3,427,752
|
|
Decrease in interest and dividends receivable
|
|
|
914,260
|
|
Increase in prepaid expenses
|
|
|
(4,556)
|
|
Decrease in payable for securities purchased
|
|
|
(112,785)
|
|
Increase in investment management fee payable
|
|
|
40,432
|
|
Decrease in Directors fees payable
|
|
|
(5,120)
|
|
Increase in interest expense payable
|
|
|
91
|
|
Increase in accrued expenses
|
|
|
11,165
|
|
Net realized gain on investments
|
|
|
(7,037,272)
|
|
Change in net unrealized appreciation (depreciation) of investments
|
|
|
(41,929,622)
|
|
Net Cash Provided in Operating Activities*
|
|
|
7,070,187
|
|
|
|
Cash Flows from Financing Activities:
|
|
|
|
|
Distributions paid on common stock
|
|
|
(9,345,657)
|
|
Increase in loan facility borrowings
|
|
|
3,000,000
|
|
Payment for Fund shares repurchased (net of payable for Fund shares repurchased)
|
|
|
(797,330)
|
|
Net Cash Used by Financing Activities
|
|
|
(7,142,987)
|
|
Net Decrease in Cash and Restricted Cash
|
|
|
(72,800)
|
|
Cash and restricted cash at beginning of period
|
|
|
82,802
|
|
Cash and restricted cash at end of period
|
|
$
|
10,002
|
|
*
|
Included in operating expenses is cash of $213,570 paid for interest on borrowings.
|
|
The following table provides a reconciliation of cash (including foreign currency) and restricted cash reported within the Statement of Assets and
Liabilities that sums to the total of such amounts shown on the Statement of Cash Flows.
|
|
|
|
|
|
|
|
May 31, 2021
|
|
Cash
|
|
$
|
10,002
|
|
Restricted cash
|
|
|
|
|
Total cash and restricted cash shown in the Statement of Cash Flows
|
|
$
|
10,002
|
|
See Notes to Financial
Statements.
|
|
|
LMP Capital and Income Fund Inc. 2021 Semi-Annual Report
|
|
11
|
Financial highlights
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For a share of capital stock outstanding throughout each year ended November 30,
unless
otherwise noted:
|
|
|
|
20211,2
|
|
|
20201
|
|
|
20191
|
|
|
20181
|
|
|
20171
|
|
|
20161
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period
|
|
|
$13.12
|
|
|
|
$15.60
|
|
|
|
$14.24
|
|
|
|
$15.34
|
|
|
|
$15.33
|
|
|
|
$15.31
|
|
|
|
|
|
|
|
|
Income (loss) from operations:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
|
0.17
|
|
|
|
0.56
|
|
|
|
0.44
|
|
|
|
0.53
|
|
|
|
0.47
|
|
|
|
0.50
|
|
Net realized and unrealized gain (loss)
|
|
|
2.72
|
|
|
|
(1.80)
|
|
|
|
2.16
|
|
|
|
(0.39)
|
|
|
|
0.78
|
|
|
|
0.76
|
|
Total income (loss) from operations
|
|
|
2.89
|
|
|
|
(1.24)
|
|
|
|
2.60
|
|
|
|
0.14
|
|
|
|
1.25
|
|
|
|
1.26
|
|
|
|
|
|
|
|
|
Less distributions from:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
|
(0.52)
|
3
|
|
|
(0.46)
|
|
|
|
(0.45)
|
|
|
|
(0.54)
|
|
|
|
(0.57)
|
|
|
|
(0.46)
|
|
Return of capital
|
|
|
|
|
|
|
(0.78)
|
|
|
|
(0.79)
|
|
|
|
(0.70)
|
|
|
|
(0.67)
|
|
|
|
(0.78)
|
|
Total distributions
|
|
|
(0.52)
|
|
|
|
(1.24)
|
|
|
|
(1.24)
|
|
|
|
(1.24)
|
|
|
|
(1.24)
|
|
|
|
(1.24)
|
|
Anti-dilutive impact of repurchase plan
|
|
|
0.01
|
4
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Capital contributions
|
|
|
|
|
|
|
0.00
|
5
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, end of period
|
|
|
$15.50
|
|
|
|
$13.12
|
|
|
|
$15.60
|
|
|
|
$14.24
|
|
|
|
$15.34
|
|
|
|
$15.33
|
|
|
|
|
|
|
|
|
Market price, end of period
|
|
|
$14.08
|
|
|
|
$11.33
|
|
|
|
$14.62
|
|
|
|
$12.42
|
|
|
|
$13.76
|
|
|
|
$13.11
|
|
Total return, based on NAV6,7
|
|
|
22.70
|
%
|
|
|
(5.82)
|
%8
|
|
|
19.45
|
%
|
|
|
0.99
|
%
|
|
|
8.40
|
%
|
|
|
8.84
|
%
|
Total return, based on Market Price9
|
|
|
29.66
|
%
|
|
|
(12.83)
|
%
|
|
|
29.56
|
%
|
|
|
(1.04)
|
%
|
|
|
14.47
|
%
|
|
|
12.88
|
%
|
|
|
|
|
|
|
|
Net assets, end of period (millions)
|
|
|
$278
|
|
|
|
$236
|
|
|
|
$281
|
|
|
|
$256
|
|
|
|
$276
|
|
|
|
$276
|
|
|
|
|
|
|
|
|
Ratios to average net assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gross expenses
|
|
|
1.34
|
%10
|
|
|
1.65
|
%
|
|
|
2.18
|
%
|
|
|
2.18
|
%
|
|
|
1.80
|
%
|
|
|
1.54
|
%
|
Net expenses
|
|
|
1.34
|
10
|
|
|
1.65
|
11
|
|
|
2.11
|
11
|
|
|
2.18
|
|
|
|
1.80
|
|
|
|
1.54
|
|
Net investment income
|
|
|
2.41
|
10
|
|
|
4.40
|
|
|
|
2.98
|
|
|
|
3.62
|
|
|
|
3.00
|
|
|
|
3.38
|
|
|
|
|
|
|
|
|
Portfolio turnover rate
|
|
|
20
|
%
|
|
|
52
|
%
|
|
|
36
|
%
|
|
|
26
|
%
|
|
|
37
|
%
|
|
|
29
|
%
|
|
|
|
|
|
|
|
Supplemental data:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Loan Outstanding, End of Period (000s)
|
|
|
$58,000
|
|
|
|
$55,000
|
|
|
|
$82,000
|
|
|
|
$90,000
|
|
|
|
$90,000
|
|
|
|
$82,500
|
|
Asset Coverage Ratio for Loan Outstanding12
|
|
|
579
|
%
|
|
|
529
|
%
|
|
|
442
|
%
|
|
|
384
|
%
|
|
|
407
|
%
|
|
|
434
|
%
|
Asset Coverage, per $1,000 Principal Amount of Loan Outstanding12
|
|
|
$5,787
|
|
|
|
$5,289
|
|
|
|
$4,421
|
|
|
|
$3,845
|
|
|
|
$4,065
|
|
|
|
$4,343
|
|
Weighted Average Loan (000s)
|
|
|
$55,247
|
|
|
|
$62,973
|
|
|
|
$82,548
|
|
|
|
$90,000
|
|
|
|
$88,849
|
|
|
|
$75,307
|
|
Weighted Average Interest Rate on Loan
|
|
|
0.78
|
%
|
|
|
1.44
|
%
|
|
|
2.98
|
%
|
|
|
2.63
|
%
|
|
|
1.72
|
%
|
|
|
1.13
|
%
|
See Notes to Financial
Statements.
|
|
|
12
|
|
LMP Capital and Income Fund Inc. 2021 Semi-Annual Report
|
1
|
Per share amounts have been calculated using the average shares method.
|
2
|
For the six months ended May 31, 2021 (unaudited).
|
3
|
The actual source of the Funds current fiscal year distributions may be from net investment income, return of capital or a combination of both.
Shareholders will be informed of the tax characteristics of the distributions after the close of the fiscal year.
|
4
|
The repurchase plan was completed at an average repurchase price of $13.12 for 67,947 shares and $891,767 for the six months ended May 31, 2021.
|
5
|
Amount represents less than $0.005 per share.
|
6
|
Performance figures may reflect compensating balance arrangements, fee waivers and/or expense reimbursements. In the absence of compensating balance
arrangements, fee waivers and/or expense reimbursements, the total return would have been lower. Past performance is no guarantee of future results. Total returns for periods of less than one year are not annualized.
|
7
|
The total return calculation assumes that distributions are reinvested at NAV. Past performance is no guarantee of future results. Total returns for periods of
less than one year are not annualized.
|
8
|
Includes the effect of a capital contribution. Absent the capital contribution, the total return would have been unchanged.
|
9
|
The total return calculation assumes that distributions are reinvested in accordance with the Funds dividend reinvestment plan. Past performance is no
guarantee of future results. Total returns for periods of less than one year are not annualized.
|
11
|
Reflects fee waivers and/or expense reimbursements.
|
12
|
Represents value of net assets plus the loan outstanding at the end of the period divided by the loan outstanding at the end of the period.
|
See Notes to Financial
Statements.
|
|
|
LMP Capital and Income Fund Inc. 2021 Semi-Annual Report
|
|
13
|
Notes to financial statements (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 Funds 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 ClearBridges
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). Estimates and assumptions are required to be made regarding assets, liabilities and changes in net assets resulting from
operations when financial statements are prepared. Changes in the economic environment, financial markets and any other parameters used in determining these estimates could cause actual results to differ. Subsequent events have been evaluated
through the date the financial statements were issued.
(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 Funds Board of Directors.
|
|
|
14
|
|
LMP Capital and Income Fund Inc. 2021 Semi-Annual Report
|
The Board of Directors is responsible for the valuation process and has delegated the supervision of the daily
valuation process to the Global Fund Valuation Committee (formerly known as Legg Mason North Atlantic Fund Valuation Committee prior to March 1, 2021) (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 Funds 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 issuers 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.
|
|
|
LMP Capital and Income Fund Inc. 2021 Semi-Annual Report
|
|
15
|
Notes to financial statements
(unaudited) (contd)
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 Funds 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 Funds 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
|
|
$
|
165,208,473
|
|
|
|
|
|
|
|
|
|
|
$
|
165,208,473
|
|
Master Limited Partnerships
|
|
|
85,098,332
|
|
|
|
|
|
|
|
|
|
|
|
85,098,332
|
|
Convertible Preferred Stocks:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Communication Services
|
|
|
4,398,991
|
|
|
$
|
7,580,905
|
|
|
|
|
|
|
|
11,979,896
|
|
Consumer Discretionary
|
|
|
4,474,376
|
|
|
|
2,065,127
|
|
|
|
|
|
|
|
6,539,503
|
|
Other Convertible Preferred Stocks
|
|
|
38,510,695
|
|
|
|
|
|
|
|
|
|
|
|
38,510,695
|
|
Investments in Underlying Funds
|
|
|
10,344,041
|
|
|
|
|
|
|
|
|
|
|
|
10,344,041
|
|
Convertible Bonds & Notes
|
|
|
|
|
|
|
8,623,991
|
|
|
|
|
|
|
|
8,623,991
|
|
Preferred Stocks
|
|
|
1,522,464
|
|
|
|
|
|
|
|
|
|
|
|
1,522,464
|
|
Total Long-Term Investments
|
|
|
309,557,372
|
|
|
|
18,270,023
|
|
|
|
|
|
|
|
327,827,395
|
|
Short-Term Investments
|
|
|
7,614,433
|
|
|
|
|
|
|
|
|
|
|
|
7,614,433
|
|
Total Investments
|
|
$
|
317,171,805
|
|
|
$
|
18,270,023
|
|
|
|
|
|
|
$
|
335,441,828
|
|
|
See Schedule of Investments for additional detailed categorizations.
|
(b) Business development companies. The Fund may invest in securities of
closed-end investment companies that have elected to be treated as a business development company under the 1940 Act. A business development company operates similar to an exchange-traded fund and represents a
portfolio of securities. The Fund may purchase a business development company to gain exposure to the securities in the underlying portfolio. The risks of owning a business development company generally reflect the risks of owning the underlying
securities. Business development companies have expenses that reduce their value.
|
|
|
16
|
|
LMP Capital and Income Fund Inc. 2021 Semi-Annual Report
|
(c) Master limited
partnerships. The Fund may invest without limit in the securities of both energy and
non-energy Master Limited Partnerships (MLPs), so long as no more than 25% of the Funds total assets are invested in MLPs that are treated for U.S. federal tax purposes as qualified publicly
traded partnerships. This 25% limitation applies generally to MLPs that focus on commodity and energy-related industries. Entities commonly referred to as MLPs are generally organized under state law as limited partnerships or limited
liability companies. To be treated as a partnership for U.S. federal income tax purposes, an MLP whose units are traded on a securities exchange must receive at least 90% of its income from qualifying sources such as interest, dividends, real estate
rents, gain from the sale or disposition of real property, income and gain from mineral or natural resources activities, income and gain from the transportation or storage of certain fuels, and, in certain circumstances, income and gain from
commodities or futures, forwards and options with respect to commodities. Mineral or natural resources activities include exploration, development, production, processing, mining, refining, marketing and transportation (including pipelines) of oil
and gas, minerals, geothermal energy, fertilizer, timber or industrial source carbon dioxide. An MLP consists of a general partner and limited partners (or in the case of MLPs organized as limited liability companies, a managing member and members).
The general partner or managing member typically controls the operations and management of the MLP and has an ownership stake in the partnership. The limited partners or members, through their ownership of limited partner or member interests,
provide capital to the entity, are intended to have no role in the operation and management of the entity and receive cash distributions. The MLPs themselves generally do not pay U.S. federal income taxes. Thus, unlike investors in corporate
securities, direct MLP investors are generally not subject to double taxation (i.e., corporate level tax and tax on corporate dividends). Currently, most MLPs operate in the energy and/or natural resources sector.
The Fund, and entities in which the Fund invests, may be subject to audit by the Internal Revenue Service or other applicable tax authorities. The Funds
taxable income or tax liability for prior taxable years could be adjusted if there is an audit of the Fund, or of any entity that is treated as a partnership for tax purposes in which the Fund holds an equity interest. The Fund may be required to
pay a fund-level tax as a result of such an adjustment or may pay a deficiency dividend to its current shareholders in order to avoid a fund-level tax associated with the adjustment. The Fund could also be required to pay interest and
penalties in connection with such an adjustment.
(d) Cash flow information. The Fund invests in securities and distributes dividends from net investment income and net realized gains, which are paid in cash and may be
reinvested at the discretion of shareholders. These activities are reported in the Statements of Changes in Net Assets and additional information on cash receipts and cash payments is presented in the Statement of Cash Flows.
|
|
|
LMP Capital and Income Fund Inc. 2021 Semi-Annual Report
|
|
17
|
Notes to financial statements
(unaudited) (contd)
(e) Foreign currency translation. Investment securities and other assets
and liabilities denominated in foreign currencies are translated into U.S. dollar amounts based upon prevailing exchange rates on the date of valuation. Purchases and sales of investment securities and income and expense items denominated in foreign
currencies are translated into U.S. dollar amounts based upon prevailing exchange rates on the respective dates of such transactions.
The Fund does not
isolate that portion of the results of operations resulting from fluctuations in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net
realized and unrealized gain or loss on investments.
Net realized foreign exchange gains or losses arise from sales of foreign currencies, including
gains and losses on forward foreign currency contracts, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes
recorded on the Funds books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the values of assets and liabilities, other than investments in
securities, on the date of valuation, resulting from changes in exchange rates.
Foreign security and currency transactions may involve certain
considerations and risks not typically associated with those of U.S. dollar denominated transactions as a result of, among other factors, the possibility of lower levels of governmental supervision and regulation of foreign securities markets and
the possibility of political or economic instability.
(f) Foreign investment risks. The Funds investments in foreign securities may involve risks not present in domestic investments. Since securities may be denominated
in foreign currencies, may require settlement in foreign currencies or pay interest or dividends in foreign currencies, changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments
and earnings of the Fund. Foreign investments may also subject the Fund to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which affect the market and/or credit risk of
the investments.
(g) Security transactions and investment
income. Security transactions are accounted for on a trade date basis. Interest income (including interest income from payment-in-kind securities), adjusted for amortization of premium and accretion of discount, is recorded on the accrual basis. Dividend income is recorded on the ex-dividend date for dividends received in cash and/or securities. Foreign dividend income is recorded on the ex-dividend
|
|
|
18
|
|
LMP Capital and Income Fund Inc. 2021 Semi-Annual Report
|
date or as soon as practicable after the Fund determines the existence of a dividend declaration after exercising
reasonable due diligence. The cost of investments sold is determined by use of the specific identification method. To the extent any issuer defaults or a credit event occurs that impacts the issuer, the Fund may halt any additional interest income
accruals and consider the realizability of interest accrued up to the date of default or credit event.
(h) Return of capital
estimates. Distributions received from the Funds investments in MLPs generally are comprised of income and return of
capital and distributions received from the Funds investments in Real Estate Investment Trusts (REITs) generally are comprised of income, realized capital gains and return of capital. The Fund records investment income, realized
capital gains and return of capital based on estimates made at the time such distributions are received. Such estimates are based on historical information available from each MLP or REIT and other industry sources. These estimates may subsequently
be revised based on information received from the MLPs and REITs after their tax reporting periods are concluded.
(i) Partnership
accounting policy. The Fund records its pro rata share of the income (loss) and capital gains (losses), to the extent of
distributions it has received, allocated from the underlying partnerships and accordingly adjusts the cost basis of the underlying partnerships for return of capital. These amounts are included in the Funds Statement of Operations.
(j) Distributions to shareholders. Distributions from net investment income by the Fund, if any, are declared and paid on a quarterly basis. The actual source of the Funds current fiscal year distributions may be from net investment income,
return of capital or a combination of both. Shareholders will be informed of the tax characteristics of the distributions after the close of the fiscal year. The Fund intends to distribute all of its net investment income earned each quarter and any
cash received during the quarter from its investments in MLPs and REITs. The Fund intends to distribute the cash received from MLPs and REITs even if all or a portion of that cash may represent a return of capital to the Fund. The Fund may
distribute additional amounts if required under the income tax regulations. Distributions of net realized gains, if any, are declared at least annually. Pursuant to its Managed Distribution Policy, the Fund intends to make regular quarterly
distributions to shareholders at a fixed rate per common share, which rate may be adjusted from time to time by the Funds Board of Directors. Under the Funds Managed Distribution Policy, if, for any quarterly distribution, the value of
the Funds net investment income and net realized capital gain is less than the amount of the distribution, the difference will be distributed from the Funds net assets (and may constitute a return of capital). The Board of
Directors may modify, terminate or suspend the Managed Distribution Policy at any time, including when certain events would make part of the return of capital taxable to shareholders. Any such modification, termination or suspension could have an
adverse effect on the market price of the Funds shares. Distributions to shareholders of the Fund are recorded on the ex-dividend date and are determined in accordance with income tax regulations, which
may differ from GAAP.
|
|
|
LMP Capital and Income Fund Inc. 2021 Semi-Annual Report
|
|
19
|
Notes to financial statements
(unaudited) (contd)
(k) Compensating balance arrangements. The Fund has an arrangement with
its custodian bank whereby a portion of the custodians fees is paid indirectly by credits earned on the Funds cash on deposit with the bank.
(l) Federal and other taxes. It is the Funds policy to comply with
the federal income and excise tax requirements of the Internal Revenue Code of 1986 (the Code), as amended, applicable to regulated investment companies. Accordingly, the Fund intends to distribute its taxable income and net realized
gains, if any, to shareholders in accordance with timing requirements imposed by the Code. Therefore, no federal or state income tax provision is required in the Funds financial statements.
The Fund may invest without limit in the securities of MLPs, so long as no more than 25% of its total assets are invested in MLPs that are treated as qualified
publicly traded partnerships for U.S. federal income tax purposes. As a limited partner in the MLPs, the Fund reports its allocable share of the MLPs taxable income in computing its own taxable income. The distributions paid by the MLPs
generally do not constitute income for tax purposes. Each MLP may allocate losses to the Fund which are generally not deductible in computing the Funds taxable income until such time as that particular MLP either generates income to offset
those losses or the Fund disposes of units in that MLP. This may result in the Funds taxable income being substantially different than its book income in any given year. As a result, the Fund may have insufficient taxable income to support its
distributions paid resulting in a return of capital to shareholders. A return of capital distribution is generally not treated as taxable income to shareholders and instead reduces a shareholders basis in their shares of the Fund.
Management has analyzed the Funds tax positions taken on income tax returns for all open tax years and has concluded that as of November 30, 2020, no
provision for income tax is required in the Funds financial statements. The Funds federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to
examination by the Internal Revenue Service and state departments of revenue.
Under the applicable foreign tax laws, a withholding tax may be imposed on
interest, dividends and capital gains at various rates.
(m) Reclassification. GAAP requires that certain components of net assets be reclassified to reflect permanent differences between financial and tax reporting.
These reclassifications have no effect on net assets or net asset value per share.
|
|
|
20
|
|
LMP Capital and Income Fund Inc. 2021 Semi-Annual Report
|
2. Investment management agreement and other transactions with affiliates
Legg Mason Partners Fund Advisor, LLC (LMPFA) is the Funds investment manager. ClearBridge Investments, LLC (ClearBridge), Western
Asset Management Company, LLC (Western Asset) and Western Asset Management Company Limited (Western Asset Limited) are the Funds subadvisers. LMPFA, ClearBridge, Western Asset and Western Asset Limited are indirect,
wholly-owned subsidiaries of Franklin Resources, Inc. (Franklin Resources).
LMPFA provides administrative and certain oversight services to
the Fund. The Fund pays an investment management fee, calculated daily and paid monthly, at an annual rate of 0.85% of the Funds average daily net assets plus the proceeds of any outstanding borrowings used for leverage and any proceeds from
the issuance of preferred stock (Managed Assets).
LMPFA delegates to the subadvisers the day-to-day portfolio management of the Fund. ClearBridge provides investment advisory services to the Fund by both determining the allocation of the Funds assets between equity and fixed income
investments and performing the day-to-day management of the Funds investments in equity securities. Western Asset provides advisory services to the Fund by
performing the day-to-day management of the Funds fixed income investments. For its services, LMPFA pays the subadvisers monthly 70% of the net management fee it
receives from the Fund. This fee will be divided on a pro rata basis, based on assets allocated to each subadviser.
Western Asset Limited provides
certain advisory services to the Fund relating to currency transactions and investments in non-U.S. dollar denominated securities. Western Asset Limited does not receive any compensation from the Fund. In
turn, Western Asset pays Western Asset Limited monthly a subadvisory fee of 0.30% on the assets managed by Western Asset Limited.
During periods in
which the Fund utilizes financial leverage, the fees paid to LMPFA will be higher than if the Fund did not utilize leverage because the fees are calculated as a percentage of the Funds assets, including those investments purchased with
leverage.
All officers and one Director of the Fund are employees of Franklin Resources or its affiliates and do not receive compensation from the Fund.
3. Investments
During the six
months ended May 31, 2021, the aggregate cost of purchases and proceeds from sales of investments (excluding short-term investments) were as follows:
|
|
|
|
|
Purchases
|
|
$
|
59,916,103
|
|
Sales
|
|
|
63,898,781
|
|
|
|
|
LMP Capital and Income Fund Inc. 2021 Semi-Annual Report
|
|
21
|
Notes to financial statements
(unaudited) (contd)
At May 31, 2021, the aggregate cost of investments and the aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes were substantially as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cost
|
|
|
Gross
Unrealized
Appreciation
|
|
|
Gross
Unrealized
Depreciation
|
|
|
Net
Unrealized
Appreciation
|
|
Securities
|
|
$
|
226,486,947
|
|
|
$
|
113,379,286
|
|
|
$
|
(4,424,405)
|
|
|
$
|
108,954,881
|
|
4. Derivative instruments and hedging activities
During the six months ended May 31, 2021, the Fund did not invest in derivative instruments.
5. Loan
The Fund has a revolving credit
agreement with Pershing LLC (Credit Agreement), which permits the Fund to borrow up to an aggregate amount of $110,000,000, subject to the approval of Pershing LLC, and renews daily for a 180-day
term unless notice to the contrary is given to the Fund. The interest on the loan is calculated at a variable rate based on the one-month LIBOR, plus any applicable margin. On May 27, 2021, the Fund
amended its credit agreement with Pershing LLC. Under the amendment, effective June 20, 2021, the Fund pays interest on borrowings calculated based on the Overnight Bank Funding Rate plus applicable margin. The Overnight Bank Funding Rate means
the Overnight Bank Funding Rate as reported by the New York Federal Reserve in the FR2420 Report of Selected Money Market Rates or any successor report or website. To the extent of the borrowing outstanding, the Fund is required to maintain
collateral in a special custody account at the Funds custodian on the behalf of Pershing, LLC. The Funds Credit Agreement contains customary covenants that, among other things, may limit the Funds ability to pay distributions in
certain circumstances, incur additional debt, change its fundamental investment policies and engage in certain transactions, including mergers and consolidations, and require asset coverage ratios in addition to those required by the 1940 Act. In
addition, the Credit Agreement may be subject to early termination under certain conditions and may contain other provisions that could limit the Funds ability to utilize borrowing under the agreement. Interest expense related to the loan for
the six months ended May 31, 2021 was $213,661. For the six months ended May 31, 2021, the Fund had an average daily loan balance outstanding of $55,247,253 and the weighted average interest rate was 0.78%. At May 31, 2021, the Fund
had $58,000,000 of borrowings outstanding per this Credit Agreement.
|
|
|
22
|
|
LMP Capital and Income Fund Inc. 2021 Semi-Annual Report
|
6. Distributions subsequent to May 31, 2021
The following distribution has been declared by the Funds Board of Directors and is payable subsequent to the period end of this report:
|
|
|
|
|
Record Date
|
|
Payable Date
|
|
Amount
|
6/23/2021
|
|
7/1/2021
|
|
$0.2600
|
7. Stock repurchase program
On November 16, 2015, the Fund announced that the Funds Board of Directors (the Board) had authorized the Fund to repurchase in the open market up to approximately 10% of the Funds
outstanding common stock when the Funds shares are trading at a discount to net asset value. The Board has directed management of the Fund to repurchase shares of common stock at such times and in such amounts as management reasonably believes
may enhance stockholder value. The Fund is under no obligation to purchase shares at any specific discount levels or in any specific amounts.
During the
six months ended May 31, 2021, the Fund repurchased and retired 0.38% of its common shares outstanding under the repurchase plan. The weighted average discount per share on these repurchases was 10.75% for the six months ended May 31,
2021. Shares repurchased and the corresponding dollar amount are included in the Statement of Changes in Net Assets. The anti-dilutive impact of these share repurchases is included in the Financial Highlights.
Since the commencement of the stock repurchase program through May 31, 2021, the Fund repurchased 67,947 shares or 0.38% of its common shares outstanding for a
total amount of $891,767.
8. Deferred capital losses
As of November 30, 2020, the Fund had deferred capital losses of $16,254,014, which have no expiration date, that will be available to offset future taxable capital gains.
9. Recent accounting pronouncement
In March
2020, the Financial Accounting Standards Board issued Accounting Standards Update No. 2020-04, Reference Rate Reform (Topic 848) Facilitation of the Effects of Reference Rate Reform on Financial
Reporting (the ASU). The amendments in the ASU provide optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the London Interbank Offered Rate
and other interbank-offered based reference rates as of the end of 2021. The ASU is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. Management has
reviewed the requirements and believes the adoption of this ASU will not have a material impact on the financial statements.
|
|
|
LMP Capital and Income Fund Inc. 2021 Semi-Annual Report
|
|
23
|
Notes to financial statements
(unaudited) (contd)
10. Other matters
The outbreak of the respiratory illness
COVID-19 (commonly referred to as coronavirus) has continued to rapidly spread around the world, causing considerable uncertainty for the global economy and financial markets. The ultimate economic
fallout from the pandemic, and the long-term impact on economies, markets, industries and individual issuers, are not known. The COVID-19 pandemic could adversely affect the value and liquidity of the
Funds investments and negatively impact the Funds performance. In addition, the outbreak of COVID-19, and measures taken to mitigate its effects, could result in disruptions to the services
provided to the Fund by its service providers.
* * *
The London Interbank Offered Rate, or LIBOR, the offered rate for short-term Eurodollar deposits between major international banks, is used extensively
in the United States and globally as a reference rate in various financing and commercial transactions. On March 5, 2021, the ICE Benchmark Administration, the administrator of LIBOR, stated that it will cease the publication of (i) the
overnight and one-, three-, six- and twelve-month USD LIBOR settings immediately following the LIBOR publication on Friday, June 30, 2023 and (ii) all other
LIBOR settings, including the one-week and two-month USD LIBOR settings, immediately following the LIBOR publication on Friday, December 31, 2021. There remains
uncertainty regarding the nature of any replacement rate and the impact of the transition from LIBOR on the financial markets generally, transactions that use LIBOR as a reference rate and financial institutions that engage in such transactions,
including issuers of securities in which the Fund invests. As such, the potential effect of a transition away from LIBOR on the Fund or the Funds investments cannot yet be determined.
|
|
|
24
|
|
LMP Capital and Income Fund Inc. 2021 Semi-Annual Report
|
Additional shareholder information (unaudited)
Results of annual meeting of shareholders
The Annual Meeting of Shareholders of LMP Capital and Income Fund Inc. was held on April 9, 2021, for the purpose of considering and voting upon the proposals
presented at the Meeting. The following table provides information concerning the matters voted upon at the Meeting:
Election of
directors
|
|
|
|
|
|
|
|
|
|
|
|
|
Nominees
|
|
For
|
|
|
Withheld
|
|
|
Abstain
|
|
Carol L. Colman
|
|
|
11,710,568
|
|
|
|
4,061,606
|
|
|
|
259,907
|
|
Daniel P. Cronin
|
|
|
11,793,661
|
|
|
|
3,968,328
|
|
|
|
270,092
|
|
Paolo M. Cucchi
|
|
|
11,641,009
|
|
|
|
4,143,819
|
|
|
|
247,253
|
|
At May 31, 2021, in addition to Carol L. Colman, Daniel P. Cronin and Paolo M. Cucchi, the other Directors of the Fund were as
follows:
Robert D. Agdern
William R. Hutchinson
Eileen A. Kamerick
Nisha Kumar
Jane Trust
Ratification of Selection of
Independent Registered Public Accountants
To ratify the selection of PricewaterhouseCoopers LLP (PwC) as independent registered
public accountants of the Fund for the fiscal year ended November 30, 2021.
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For
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Against
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Abstain
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15,570,697
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174,227
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287,157
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LMP Capital and Income Fund Inc.
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25
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Dividend reinvestment plan (unaudited)
Unless you elect to receive distributions in cash (i.e., opt-out), all dividends, including any capital gain dividends and
return of capital distributions, on your Common Stock will be automatically reinvested by Computershare Trust Company, N.A., as agent for the stockholders (the Plan Agent), in additional shares of Common Stock under the Funds
Dividend Reinvestment Plan (the Plan). You may elect not to participate in the Plan by contacting the Plan Agent. If you do not participate, you will receive all cash distributions paid by check mailed directly to you by Computershare
Trust Company, N.A., as dividend paying agent.
If you participate in the Plan, the number of shares of Common Stock you will receive will be determined
as follows:
(1) If the market price of the Common Stock (plus $0.03 per share commission) on the payment date (or, if the payment date
is not a NYSE trading day, the immediately preceding trading day) is equal to or exceeds the net asset value per share of the Common Stock at the close of trading on the NYSE on the payment date, the Fund will issue new Common Stock at a price equal
to the greater of (a) the net asset value per share at the close of trading on the NYSE on the payment date or (b) 95% of the market price per share of the Common Stock on the payment date.
(2) If the net asset value per share of the Common Stock exceeds the market price of the Common Stock (plus $0.03 per share commission) at the close
of trading on the NYSE on the payment date, the Plan Agent will receive the dividend or distribution in cash and will buy Common Stock in the open market, on the NYSE or elsewhere, for your account as soon as practicable commencing on the trading
day following the payment date and terminating no later than the earlier of (a) 30 days after the dividend or distribution payment date, or (b) the payment date for the next succeeding dividend or distribution to be made to the stockholders;
except when necessary to comply with applicable provisions of the federal securities laws. If during this period: (i) the market price (plus $0.03 per share commission) rises so that it equals or exceeds the net asset value per share of the
Common Stock at the close of trading on the NYSE on the payment date before the Plan Agent has completed the open market purchases or (ii) if the Plan Agent is unable to invest the full amount eligible to be reinvested in open market purchases,
the Plan Agent will cease purchasing Common Stock in the open market and the Fund shall issue the remaining Common Stock at a price per share equal to the greater of (a) the net asset value per share at the close of trading on the NYSE on the
day prior to the issuance of shares for reinvestment or (b) 95% of the then current market price per share.
Common Stock in your account will be held by
the Plan Agent in non-certificated form. Any proxy you receive will include all shares of Common Stock you have received under the Plan. You may withdraw from the Plan (i.e.,
opt-out) by notifying the Plan Agent in writing at 462 South 4th Street, Suite 1600, Louisville, KY 40202 or by calling the Plan Agent at 1-888-888-0151. Such withdrawal will be effective immediately if notice is received by the Plan Agent not less than ten business days prior to any dividend or distribution record date; otherwise such
withdrawal will be effective as soon as practicable after the Plan Agents investment of the most recently declared dividend or distribution on the Common Stock.
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26
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LMP Capital and Income Fund Inc.
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Plan participants who sell their shares will be charged a service charge (currently $5.00 per transaction) and the
Plan Agent is authorized to deduct brokerage charges actually incurred from the proceeds (currently $0.05 per share commission). There is no service charge for reinvestment of your dividends or distributions in Common Stock. However, all
participants will pay a pro rata share of brokerage commissions incurred by the Plan Agent when it makes open market purchases. Because all dividends and distributions will be automatically reinvested in additional shares of Common Stock, this
allows you to add to your investment through dollar cost averaging, which may lower the average cost of your Common Stock over time. Dollar cost averaging is a technique for lowering the average cost per share over time if the Funds net asset
value declines. While dollar cost averaging has definite advantages, it cannot assure profit or protect against loss in declining markets.
Automatically
reinvesting dividends and distributions does not mean that you do not have to pay income taxes due upon receiving dividends and distributions. Investors will be subject to income tax on amounts reinvested under the Plan.
The Fund reserves the right to amend or terminate the Plan if, in the judgment of the Board of Directors, the change is warranted. The Plan may be terminated,
amended or supplemented by the Fund upon notice in writing mailed to stockholders at least 30 days prior to the record date for the payment of any dividend or distribution by the Fund for which the termination or amendment is to be effective. Upon
any termination, you will be sent cash for any fractional share of Common Stock in your account. You may elect to notify the Plan Agent in advance of such termination to have the Plan Agent sell part or all of your Common Stock on your behalf.
Additional information about the Plan and your account may be obtained from the Plan Agent at 462 South 4th Street, Suite 1600, Louisville, KY 40202 or by calling the Plan Agent at 1-888-888-0151.
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LMP Capital and Income Fund Inc.
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27
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LMP
Capital and Income Fund Inc.
Directors
Robert D. Agdern
Carol L. Colman
Daniel P. Cronin
Paolo M. Cucchi
William R. Hutchinson
Eileen A. Kamerick
Nisha Kumar
Jane Trust
Chairman
Officers
Jane Trust
President and Chief Executive Officer
Christopher Berarducci
Treasurer and Principal Financial Officer
Fred Jensen
Chief Compliance Officer
Jenna Bailey
Identity Theft Prevention Officer
George P. Hoyt
Secretary and Chief Legal Officer
Thomas C.
Mandia
Assistant Secretary
Jeanne M. Kelly
Senior Vice President
LMP
Capital and Income Fund Inc.
620 Eighth Avenue
47th
Floor
New York, NY 10018
Investment
manager
Legg Mason Partners Fund Advisor, LLC
Subadvisers
ClearBridge Investments, LLC
Western Asset Management Company, LLC
Western Asset Management
Company Limited
Custodian
The
Bank of New York Mellon
Transfer agent
Computershare Inc.
462 South 4th Street, Suite 1600
Louisville, KY 40202
Independent registered public accounting firm
PricewaterhouseCoopers LLP
Baltimore, MD
Legal counsel
Simpson Thacher &
Bartlett LLP
425 Lexington Avenue
New York, NY 10017
New York Stock Exchange Symbol
SCD
Legg Mason Funds Privacy and Security Notice
Your Privacy and the Security of Your Personal Information is Very Important to the Legg Mason Funds
This Privacy and Security Notice (the Privacy Notice) addresses the Legg Mason Funds privacy and data protection practices with respect to
nonpublic personal information the Funds receive. The Legg Mason Funds include any funds sold by the Funds distributor, Legg Mason Investor Services, LLC, as well as Legg Mason-sponsored closed-end
funds. The provisions of this Privacy Notice apply to your information both while you are a shareholder and after you are no longer invested with the Funds.
The Type of Nonpublic Personal Information the Funds Collect About You
The Funds collect and
maintain nonpublic personal information about you in connection with your shareholder account. Such information may include, but is not limited to:
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Personal information included on applications or other forms;
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Account balances, transactions, and mutual fund holdings and positions;
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Bank account information, legal documents, and identity verification documentation;
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Online account access user IDs, passwords, security challenge question responses; and
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Information received from consumer reporting agencies regarding credit history and creditworthiness (such as the amount of an individuals total debt,
payment history, etc.).
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How the Funds Use Nonpublic Personal Information About You
The Funds do not sell or share your nonpublic personal information with third parties or with affiliates for their marketing purposes, or with other financial
institutions or affiliates for joint marketing purposes, unless you have authorized the Funds to do so. The Funds do not disclose any nonpublic personal information about you except as may be required to perform transactions or services you have
authorized or as permitted or required by law.
The Funds may disclose information about you to:
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Employees, agents, and affiliates on a need to know basis to enable the Funds to conduct ordinary business, or to comply with obligations to
government regulators;
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Service providers, including the Funds affiliates, who assist the Funds as part of the ordinary course of business (such as printing, mailing services, or
processing or servicing your account with us) or otherwise perform services on the Funds behalf, including companies that may perform statistical analysis, market research and marketing services solely for the Funds;
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Permit access to transfer, whether in the United States or countries outside of the United States to such Funds employees, agents and affiliates and
service providers as required to enable the Funds to conduct ordinary business, or to comply with obligations to government regulators;
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The Funds representatives such as legal counsel, accountants and auditors to enable the Funds to conduct ordinary business, or to comply with obligations
to government regulators;
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Fiduciaries or representatives acting on your behalf, such as an IRA custodian or trustee of a grantor trust.
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NOT PART OF THE
SEMI-ANNUAL REPORT
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Legg Mason Funds Privacy and Security Notice (contd)
Except as otherwise permitted by applicable law, companies acting on the Funds
behalf, including those outside the United States, are contractually obligated to keep nonpublic personal information the Funds provide to them confidential and to use the information the Funds share only to provide the services the Funds ask them
to perform. The Funds may disclose nonpublic personal information about you when necessary to enforce their rights or protect against fraud, or as permitted or required by applicable law, such as in connection with a law enforcement or regulatory
request, subpoena, or similar legal process. In the event of a corporate action or in the event a Fund service provider changes, the Funds may be required to disclose your nonpublic personal information to third parties. While it is the Funds
practice to obtain protections for disclosed information in these types of transactions, the Funds cannot guarantee their privacy policy will remain unchanged.
Keeping You Informed of the Funds Privacy and Security Practices
The Funds will notify
you annually of their privacy policy as required by federal law. While the Funds reserve the right to modify this policy at any time they will notify you promptly if this privacy policy changes.
The Funds Security Practices
The
Funds maintain appropriate physical, electronic and procedural safeguards designed to guard your nonpublic personal information. The Funds internal data security policies restrict access to your nonpublic personal information to authorized
employees, who may use your nonpublic personal information for Fund business purposes only.
Although the Funds strive to protect your nonpublic personal
information, they cannot ensure or warrant the security of any information you provide or transmit to them, and you do so at your own risk. In the event of a breach of the confidentiality or security of your nonpublic personal information, the Funds
will attempt to notify you as necessary, so you can take appropriate protective steps. If you have consented to the Funds using electronic communications or electronic delivery of statements, they may notify you under such circumstances using the
most current email address you have on record with them.
In order for the Funds to provide effective service to you, keeping your account information
accurate is very important. If you believe that your account information is incomplete, not accurate or not current, if you have questions about the Funds privacy practices, or our use of your nonpublic personal information, write the Funds
using the contact information on your account statements, email the Funds by clicking on the Contact Us section of the Funds website at www.leggmason.com, or contact the Fund at
1-888-777-0102.
Revised April
2018
Legg Mason California Consumer Privacy Act Policy
Although much of the personal information we collect is nonpublic personal information subject to federal law, residents of California may, in certain circumstances, have additional rights under the
California Consumer Privacy Act (CCPA). For example, if you are a broker,
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NOT PART OF THE
SEMI-ANNUAL REPORT
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Legg Mason Funds Privacy and Security Notice (contd)
dealer, agent, fiduciary, or representative acting by or on behalf of, or for, the
account of any other person(s) or household, or a financial advisor, or if you have otherwise provided personal information to us separate from the relationship we have with personal investors, the provisions of this Privacy Policy apply to your
personal information (as defined by the CCPA).
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In addition to the provisions of the Legg Mason Funds Security and Privacy Notice, you may have the right to know the categories and specific pieces of personal
information we have collected about you.
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You also have the right to request the deletion of the personal information collected or maintained by the Funds.
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If you wish to exercise any of the rights you have in respect of your personal information, you should advise the Funds by contacting them as set forth below. The
rights noted above are subject to our other legal and regulatory obligations and any exemptions under the CCPA. You may designate an authorized agent to make a rights request on your behalf, subject to the identification process described below. We
do not discriminate based on requests for information related to our use of your personal information, and you have the right not to receive discriminatory treatment related to the exercise of your privacy rights.
We may request information from you in order to verify your identity or authority in making such a request. If you have appointed an authorized agent to make a
request on your behalf, or you are an authorized agent making such a request (such as a power of attorney or other written permission), this process may include providing a password/passcode, a copy of government issued identification, affidavit or
other applicable documentation, i.e. written permission. We may require you to verify your identity directly even when using an authorized agent, unless a power of attorney has been provided. We reserve the right to deny a request submitted by an
agent if suitable and appropriate proof is not provided.
For the 12-month period prior to the date of this
Privacy Policy, the Legg Mason Funds have not sold any of your personal information; nor do we have any plans to do so in the future.
Contact
Information
Address: Data Privacy Officer, 100 International Dr., Baltimore, MD 21202
Email: DataProtectionOfficer@franklintempleton.com
Phone: 1-800-396-4748
Revised October 2020
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NOT PART OF THE
SEMI-ANNUAL REPORT
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LMP Capital and Income Fund Inc.
LMP Capital and Income Fund Inc.
620 Eighth Avenue
47th Floor
New York, NY 10018
Notice is hereby given in accordance with Section 23(c) of the Investment Company Act of 1940, as amended, that from time to time the Fund may purchase, at market prices, shares of its stock.
The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each
fiscal year as an exhibit to its reports on Form N-PORT. The Funds Forms N-PORT are available on the SECs website at www.sec.gov. To obtain information on
Form N-PORT, shareholders can call the Fund at 1-888-777-0102.
Information on how the Fund voted proxies relating to portfolio securities during the prior 12-month period ended June 30th
of each year and a description of the policies and procedures that the Fund uses to determine how to vote proxies related to portfolio transactions are available (1) without charge, upon request, by calling 1-888-777-0102, (2) at www.lmcef.com and (3) on the SECs website at www.sec.gov.
This report is transmitted to the shareholders of LMP Capital and Income Fund Inc. for their information. This is not a prospectus, circular or representation intended for use in the purchase of shares of the Fund
or any securities mentioned in this report.
Computershare Inc.
462 South 4th Street, Suite 1600
Louisville, KY 40202
FD04219 7/21 SR21-4191