UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number		811-21467

LMP Capital and Income Fund Inc.
(Exact name of registrant as specified in charter)

125 Broad Street, New York, NY			10004
(Address of principal executive offices)			(Zip code)

Robert I. Frenkel, Esq. Legg Mason & Co., LLC 300 First Stamford Place Stamford, CT 06902
(Name and address of agent for service)

Registrant's telephone number, including area code:		1-800-451-2010

Date of fiscal year end:	October 31

Date of reporting period:	July 31, 2007

LMP CAPITAL AND INCOME FUND INC.

FORM N-Q

JULY 31, 2007

ITEM 1. SCHEDULE OF INVESTMENTS

LMP Capital and Income Fund Inc.

Schedule of Investments (unaudited)

July 31, 2007

Shares	Security	Value
COMMON STOCKS — 72.9%
CONSUMER DISCRETIONARY — 8.4%
Hotels, Restaurants & Leisure — 1.5%
129,427	Ameristar Casinos Inc.	$	4,100,247
100,200	Las Vegas Sands Corp. *	8,742,450
	Total Hotels, Restaurants & Leisure	12,842,697
Household Durables — 0.0%
1,226,577	Home Interiors & Gifts Inc. (a)(b)*	12,266
Media — 4.6%
265,000	E.W. Scripps Co., Class A Shares	10,857,050
155,700	Liberty Media Holding Corp., Capital Group, Series A Shares *	17,819,865
768,600	Warner Music Group Corp.	9,522,954
	Total Media	38,199,869
Multiline Retail — 0.9%
126,800	Target Corp.	7,680,276
Specialty Retail — 1.4%
205,000	Ross Stores Inc.	5,930,650
213,500	TJX Cos. Inc.	5,924,625
	Total Specialty Retail	11,855,275
	TOTAL CONSUMER DISCRETIONARY	70,590,383
CONSUMER STAPLES — 3.7%
Food Products — 1.8%
466,400	Kraft Foods Inc., Class A Shares	15,274,600
Tobacco — 1.9%
231,400	Altria Group Inc.	15,381,158
	TOTAL CONSUMER STAPLES	30,655,758
ENERGY — 11.8%
Energy Equipment & Services — 5.6%
114,900	Diamond Offshore Drilling Inc.	11,855,382
414,900	Halliburton Co.	14,944,698
99,100	SEACOR Holdings Inc. *	8,643,502
104,200	Transocean Inc. *	11,196,290
	Total Energy Equipment & Services	46,639,872
Oil, Gas & Consumable Fuels — 6.2%
157,950	Anadarko Petroleum Corp.	7,949,623
573,800	Crosstex Energy Inc.	16,588,558
164,900	Newfield Exploration Co. *	7,923,445
176,560	Total SA, ADR	13,879,382
90,100	Valero Energy Corp.	6,037,601
	Total Oil, Gas & Consumable Fuels	52,378,609
	TOTAL ENERGY	99,018,481
EXCHANGE TRADED FUND — 1.6%
Exchange Traded — 1.6%
280,500	UltraShort QQQ ProShares	12,950,685
FINANCIALS — 14.3%
Capital Markets — 2.5%
384,000	UBS AG	21,146,880
Consumer Finance — 2.8%
392,000	American Express Co.	22,947,680
Insurance — 9.0%
236,900	AFLAC Inc.	12,347,228
257,620	American International Group Inc.	16,534,052
853,010	Fidelity National Financial Inc., Class A Shares	17,819,379
124,000	First American Corp.	5,739,960

See Notes to Schedule of Investments.

LMP Capital and Income Fund Inc.

Schedule of Investments (unaudited) (continued)

July 31, 2007

Shares	Security	Value
Insurance — 9.0% (continued)
571,300	Marsh & McLennan Cos. Inc.	$	15,739,315
353,700	Progressive Corp.	7,420,626
	Total Insurance	75,600,560
	TOTAL FINANCIALS	119,695,120
HEALTH CARE — 6.1%
Biotechnology — 0.6%
68,600	Genentech Inc. *	5,102,468
Health Care Equipment & Supplies — 1.2%
200,700	Medtronic Inc.	10,169,469
Health Care Providers & Services — 2.4%
99,830	Quest Diagnostics Inc.	5,537,570
148,300	UnitedHealth Group Inc.	7,182,169
98,400	WellPoint Inc. *	7,391,808
	Total Health Care Providers & Services	20,111,547
Health Care Technology — 0.9%
265,300	IMS Health Inc.	7,462,889
Pharmaceuticals — 1.0%
132,400	Johnson & Johnson	8,010,200
	TOTAL HEALTH CARE	50,856,573
INDUSTRIALS — 9.3%
Aerospace & Defense — 3.8%
64,610	Alliant Techsystems Inc. *	6,403,497
125,910	L-3 Communications Holdings Inc.	12,283,780
182,200	United Technologies Corp.	13,295,134
	Total Aerospace & Defense	31,982,411
Commercial Services & Supplies — 1.0%
366,100	Covanta Holding Corp. *	8,303,148
Industrial Conglomerates — 2.8%
612,400	General Electric Co.	23,736,624
Machinery — 1.7%
271,800	Dover Corp.	13,861,800
	TOTAL INDUSTRIALS	77,883,983
INFORMATION TECHNOLOGY — 14.5%
Communications Equipment — 4.4%
573,700	Cisco Systems Inc. *	16,585,667
343,900	Corning Inc.	8,198,576
294,300	QUALCOMM Inc.	12,257,595
	Total Communications Equipment	37,041,838
Computers & Peripherals — 1.2%
533,800	EMC Corp. *	9,880,638
Electronic Equipment & Instruments — 0.6%
136,050	Tyco Electronics Ltd. *	4,873,311
Internet Software & Services — 1.9%
16,200	Google Inc., Class A Shares *	8,262,000
247,600	VeriSign Inc. *	7,351,244
	Total Internet Software & Services	15,613,244
IT Services — 2.7%
227,111	Fidelity National Information Services Inc.	11,271,519
392,210	Hewitt Associates Inc., Class A Shares *	11,734,923
	Total IT Services	23,006,442
Semiconductors & Semiconductor Equipment — 1.2%
447,900	Applied Materials Inc.	9,871,716

See Notes to Schedule of Investments.

LMP Capital and Income Fund Inc.

Schedule of Investments (unaudited) (continued)

July 31, 2007

Shares	Security	Value
INFORMATION TECHNOLOGY — 14.5% (continued)
Software — 2.5%
759,300	Oracle Corp. *	$	14,517,816
353,500	Symantec Corp. *	6,787,200
	Total Software	21,305,016
	TOTAL INFORMATION TECHNOLOGY	121,592,205
MATERIALS — 1.3%
Metals & Mining — 1.3%
286,480	Alcoa Inc.	10,943,536
UTILITIES — 1.9%
Gas Utilities — 1.9%
368,360	National Fuel Gas Co.	15,968,406
	TOTAL COMMON STOCKS (Cost — $605,885,679)	610,155,130

Face Amount
ASSET-BACKED SECURITIES — 0.7%
Home Equity — 0.7%
$	750,000	Asset-Backed Funding Certificates, Series 2004-FF1, Class M2, 6.770% due 1/25/34 (c)	725,784
		Countrywide Asset-Backed Certificates:
193,175		Series 2003-03, Class M4, 6.720% due 3/25/33 (c)	188,466
410,000		Series 2004-05, Class M4, 6.570% due 6/25/34 (c)	400,042
73,417		Finance America Net Interest Margin Trust, Series 2004-01, Class A, 5.250% due 6/27/34 (d)	1
		Fremont Home Loan Trust:
197,643		Series 2004-01, Class M5, 6.420% due 2/25/34 (c)	188,667
875,000		Series 2004-D, Class M5, 6.320% due 11/25/34 (c)	868,834
1,005,000		GSAMP Trust, Series 2004-OPT, Class M3, 6.470% due 11/25/34 (c)	980,517
2,951		Merrill Lynch Mortgage Investors Inc., Series 2005-WM1N, Class N1, 5.000% due 9/25/35 (d)	2,751
1,500,000		Option One Mortgage Loan Trust, Series 2004-02, Class M2, 6.370% due 5/25/34 (c)	1,500,072
549,183		Renaissance Home Equity Loan Trust, Series 2003-4, Class M3, 7.220% due 3/25/34 (c)	534,749
		Sail Net Interest Margin Notes:
141,210		Series 2003-BC2A, Class A, 7.750% due 4/27/33 (d)	10,583
71,380		Series 2004-2A, Class A, 5.500% due 3/27/34 (d)	9,331
		TOTAL ASSET-BACKED SECURITIES (Cost — $5,784,267)	5,409,797
COLLATERALIZED MORTGAGE OBLIGATIONS — 0.4%
260,000		American Home Mortgage Investment Trust, Series 2005-4, Class M3, 6.120% due 11/25/45 (c)	257,844
		Federal Home Loan Mortgage Corp. (FHLMC):
76,206		Series 2764, Class DT, 6.000% due 3/15/34 (c)	67,814
558,063		Series 2780, Class SL, PAC, 6.000% due 4/15/34 (c)	544,458
747,021		Harborview Mortgage Loan Trust, Series 2005-10, Class B6, 6.390% due 11/19/35 (c)	730,213
501,207		Merit Securities Corp., Series 11PA, Class B2, 6.820% due 9/28/32 (c)(d)	464,113
		MLCC Mortgage Investors Inc.:
434,373		Series 2004-A, Class B2, 6.240% due 4/25/29 (c)	434,431
732,307		Series 2004-B, Class B2, 6.200% due 5/25/29 (c)	734,490
		TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost — $3,266,818)	3,233,363

See Notes to Schedule of Investments.

LMP Capital and Income Fund Inc.

Schedule of Investments (unaudited) (continued)

July 31, 2007

Face Amount		Security	Value
CORPORATE BONDS & NOTES — 8.7%
Aerospace & Defense — 0.1%
$	275,000	Alliant Techsystems Inc., Senior Subordinated Notes, 6.750% due 4/1/16	$	261,937
250,000		Hawker Beechcraft Acquisition Co., Senior Notes, 8.875% due 4/1/15 (d)(e)	248,125
		Total Aerospace & Defense	510,062
Airlines — 0.1%
170,000		Continental Airlines Inc., Notes, 8.750% due 12/1/11	161,500
460,000		DAE Aviation Holdings Inc., Senior Notes, 11.250% due 8/1/15 (d)	448,500
		Total Airlines	610,000
Auto Components — 0.1%
295,000		Keystone Automotive Operations Inc., Senior Subordinated Notes, 9.750% due 11/1/13	222,725
1,075,000		Visteon Corp., Senior Notes, 8.250% due 8/1/10	956,750
		Total Auto Components	1,179,475
Automobiles — 0.2%
110,000		Ford Motor Co., Debentures, 8.875% due 1/15/22	93,225
		General Motors Corp., Senior Debentures:
630,000		8.250% due 7/15/23	516,600
1,300,000		8.375% due 7/15/33	1,075,750
		Total Automobiles	1,685,575
Building Products — 0.1%
540,000		Associated Materials Inc., Senior Subordinated Notes, 9.750% due 4/15/12	553,500
490,000		NTK Holdings Inc., Senior Discount Notes, step bond to yield 11.186% due 3/1/14	301,350
		Total Building Products	854,850
Capital Markets — 0.2%
		E*TRADE Financial Corp., Senior Notes:
160,000		7.375% due 9/15/13	161,600
65,000		7.875% due 12/1/15	67,275
1,200,000		Kaupthing Bank HF, Subordinated Notes, 7.125% due 5/19/16 (d)	1,278,496
		Total Capital Markets	1,507,371
Chemicals — 0.2%
572,000		Equistar Chemicals LP, Senior Notes, 10.625% due 5/1/11	600,600
570,000		Georgia Gulf Corp., Senior Subordinated Notes, 9.500% due 10/15/14	544,350
110,000		Huntsman International LLC, Senior Subordinated Notes, 7.875% due 11/15/14	118,250
6,000		PPG Industries Inc., Notes, 6.500% due 11/1/07	6,006
		Total Chemicals	1,269,206
Commercial Banks — 0.3%
68,181		Fifth Third Bank, Notes, 2.870% due 8/10/09	66,596
1,300,000		Resona Preferred Global Securities Cayman Ltd., Bonds, 7.191% due 7/30/15 (c)(d)(f)	1,314,577
1,300,000		Shinsei Finance Cayman Ltd., Junior Subordinated Bonds, 6.418% due 7/20/14 (c)(d)(f)	1,250,630
		Total Commercial Banks	2,631,803
Commercial Services & Supplies — 0.2%
180,000		Allied Security Escrow Corp., Senior Subordinated Notes, 11.375% due 7/15/11	179,100
75,000		Allied Waste North America Inc., Senior Notes, Series B, 7.250% due 3/15/15	72,750
405,000		DynCorp International LLC/DIV Capital Corporation, Senior Subordinated Notes, Series B, 9.500% due 2/15/13	415,125

See Notes to Schedule of Investments.

LMP Capital and Income Fund Inc.

Schedule of Investments (unaudited) (continued)

July 31, 2007

Face Amount		Security	Value
Commercial Services & Supplies — 0.2% (continued)
$	600,000	Interface Inc., Senior Subordinated Notes, 9.500% due 2/1/14	$	627,000
290,000		Rental Services Corp., Senior Bonds, 9.500% due 12/1/14 (d)	284,200
225,000		Waste Management Inc., Senior Note, 6.375% due 11/15/12	232,505
		Total Commercial Services & Supplies	1,810,680
Consumer Finance — 0.7%
300,000		Aiful Corp., Notes, 6.000% due 12/12/11 (d)	301,260
		Ford Motor Credit Co.:
1,050,000		Notes, 7.000% due 10/1/13	946,021
		Senior Notes:
750,000		5.800% due 1/12/09	720,472
135,000		9.750% due 9/15/10	136,421
559,000		10.610% due 6/15/11 (c)	579,968
170,000		8.000% due 12/15/16	156,925
		General Motors Acceptance Corp., Notes:
500,000		5.625% due 5/15/09	476,832
1,900,000		6.625% due 5/15/12	1,740,054
300,000		6.750% due 12/1/14	270,006
125,000		SLM Corp., Medium-Term Notes, Series A, 5.560% due 1/26/09 (c)	123,217
		Total Consumer Finance	5,451,176
Containers & Packaging — 0.2%
550,000		Graham Packaging Co. Inc., Senior Subordinated Notes, 9.875% due 10/15/14	519,750
535,000		Graphic Packaging International Corp., Senior Subordinated Notes, 9.500% due 8/15/13	537,675
195,000		Plastipak Holdings Inc., Senior Notes, 8.500% due 12/15/15 (d)	197,925
		Total Containers & Packaging	1,255,350
Diversified Consumer Services — 0.0%
		Education Management LLC/Education Management Finance Corp.:
20,000		Senior Notes, 8.750% due 6/1/14	20,000
210,000		Senior Subordinated Notes, 10.250% due 6/1/16	210,000
		Total Diversified Consumer Services	230,000
Diversified Financial Services — 0.4%
150,000		AAC Group Holding Corp., Senior Discount Notes, step bond to yield 9.092% due 10/1/12	129,750
100,000		Aiful Corp., Notes, 5.000% due 8/10/10 (d)	98,133
100,000		Bank of America Corp., Subordinated Notes, 5.420% due 3/15/17	95,434
610,000		Basell AF SCA, Senior Secured Subordinated Second Priority Notes, 8.375% due 8/15/15 (d)	545,950
125,000		Capital One Bank, Notes, 5.750% due 9/15/10	125,566
110,493		Core Investment Grade Bond Trust I, Pass-Through Certificates, 4.642% due 11/30/07	110,146
125,000		Countrywide Home Loans Inc., Medium-Term Notes, Series M, 4.125% due 9/15/09	120,441
250,000		General Electric Capital Corp., Medium-Term Notes, Series A, 5.450% due 1/15/13	249,682
162,000		Global Cash Access LLC/Global Cash Finance Corp., Senior Subordinated Notes, 8.750% due 3/15/12	166,050
125,000		HSBC Finance Corp., Senior Subordinated Notes, 5.875% due 2/1/09	125,903
60,000		Milacron Escrow Corp., Senior Secured Notes, 11.500% due 5/15/11	56,400
		Residential Capital Corp., Senior Notes:
10,000		6.460% due 4/17/09 (c)	9,635
40,000		6.460% due 5/22/09 (c)	38,051
430,000		Residential Capital LLC, Senior Notes, 6.500% due 6/1/12	390,463
57,000		UCAR Finance Inc., Senior Notes, 10.250% due 2/15/12	59,850

See Notes to Schedule of Investments.

LMP Capital and Income Fund Inc.

Schedule of Investments (unaudited) (continued)

July 31, 2007

Face Amount		Security	Value
Diversified Financial Services — 0.4% (continued)
$	130,000	Vangent Inc., Senior Subordinated Notes, 9.625% due 2/15/15 (d)	$	123,500
620,000		Vanguard Health Holdings Co. I LLC, Senior Discount Notes, step bond to yield 10.257% due 10/1/15	455,700
260,000		Vanguard Health Holdings Co. II LLC, Senior Subordinated Notes, 9.000% due 10/1/14	243,100
		Total Diversified Financial Services	3,143,754
Diversified Telecommunication Services — 0.6%
600,000		Deutsche Telekom International Finance, Senior Notes, 5.750% due 3/23/16	582,135
215,000		Hawaiian Telcom Communications Inc., Senior Subordinated Notes, Series B, 12.500% due 5/1/15	226,825
		Intelsat Bermuda Ltd.:
180,000		9.250% due 6/15/16	184,500
680,000		Senior Notes, 11.250% due 6/15/16	714,000
		Level 3 Financing Inc.:
295,000		9.250% due 11/1/14	283,200
30,000		Senior Notes, 9.150% due 2/15/15 (c)(d)	28,500
250,000		Nordic Telephone Co. Holdings, Senior Secured Bonds, 8.875% due 5/1/16 (d)	248,750
		NTL Cable PLC, Senior Notes:
450,000		8.750% due 4/15/14	452,250
220,000		9.125% due 8/15/16	223,300
140,000		PAETEC Holding Corp., Senior Note, 9.500% due 7/15/15 (d)	134,400
740,000		Qwest Communications International Inc., Senior Notes, Series B, 7.500% due 2/15/14	714,100
100,000		Telecom Italia Capital S.p.A., Senior Notes, 5.250% due 10/1/15	93,195
140,000		Univision Communications Inc., Senior Notes, 9.750% due 3/15/15 (d)(e)	128,100
450,000		Verizon Florida Inc., Senior Notes, Series F, 6.125% due 1/15/13	456,168
660,000		Windstream Corp., Senior Notes, 8.625% due 8/1/16	671,550
		Total Diversified Telecommunication Services	5,140,973
Electric Utilities — 0.1%
325,000		FirstEnergy Corp., Notes, Series C, 7.375% due 11/15/31	354,353
100,000		Orion Power Holdings Inc., Senior Notes, 12.000% due 5/1/10	109,000
230,000		Pacific Gas & Electric Co., Senior Unsubordinated Notes, 5.800% due 3/1/37	216,080
		Total Electric Utilities	679,433
Electronic Equipment & Instruments — 0.1%
1,065,000		NXP BV/NXP Funding LLC, Senior Notes, 9.500% due 10/15/15	926,550
Energy Equipment & Services — 0.2%
725,000		Complete Production Services Inc., 8.000% due 12/15/16	699,625
529,000		Dresser-Rand Group Inc., Senior Subordinated Notes, 7.375% due 11/1/14	510,485
55,000		Pride International Inc., Senior Notes, 7.375% due 7/15/14	54,863
10,000		Southern Natural Gas Co., Senior Notes, 8.000% due 3/1/32	11,181
		Total Energy Equipment & Services	1,276,154
Food & Staples Retailing — 0.0%
150,000		Safeway Inc., Senior Notes, 6.500% due 11/15/08	151,893
Food Products — 0.0%
		Dole Food Co. Inc., Senior Notes:
125,000		7.250% due 6/15/10	115,312
261,000		8.875% due 3/15/11	244,035
		Total Food Products	359,347
Health Care Providers & Services — 0.3%
590,000		Community Health Systems Inc., Senior Notes, 8.875% due 7/15/15 (d)	575,987

See Notes to Schedule of Investments.

LMP Capital and Income Fund Inc.

Schedule of Investments (unaudited) (continued)

July 31, 2007

Face Amount		Security	Value
Health Care Providers & Services — 0.3% (continued)
		HCA Inc.:
$	295,000	Notes, 6.375% due 1/15/15	$	229,362
345,000		Senior Notes, 6.500% due 2/15/16	267,375
		Senior Secured Notes:
215,000		9.250% due 11/15/16 (d)	213,925
165,000		9.625% due 11/15/16 (d)(e)	164,175
425,000		IASIS Healthcare LLC/IASIS Capital Corp., Senior Subordinated Notes, 8.750% due 6/15/14	410,125
		Tenet Healthcare Corp., Senior Notes:
180,000		6.375% due 12/1/11	153,900
650,000		7.375% due 2/1/13	546,000
1,000		9.875% due 7/1/14	895
150,000		UnitedHealth Group Inc., Senior Notes, 3.300% due 1/30/08	148,694
		Total Health Care Providers & Services	2,710,438
Hotels, Restaurants & Leisure — 0.8%
1,000,000		Boyd Gaming Corp., Senior Subordinated Notes, 6.750% due 4/15/14	945,000
265,000		Buffets Inc., Senior Notes, 12.500% due 11/1/14	215,975
315,000		Choctaw Resort Development Enterprise, Senior Notes, 7.250% due 11/15/19 (d)	305,550
550,000		Denny’s Holdings Inc., Senior Notes, 10.000% due 10/1/12	561,000
100,000		El Pollo Loco Inc., Senior Notes, 11.750% due 11/15/13	101,500
450,000		Herbst Gaming Inc., Senior Subordinated Notes, 7.000% due 11/15/14	387,000
660,000		Inn of the Mountain Gods Resort & Casino, Senior Notes, 12.000% due 11/15/10	702,900
140,000		Isle of Capri Casinos Inc., Senior Subordinated Notes, 7.000% due 3/1/14	126,875
		MGM MIRAGE Inc.:
380,000		Notes, 6.750% due 9/1/12	357,200
		Senior Notes:
575,000		5.875% due 2/27/14	506,000
320,000		7.625% due 1/15/17	299,200
203,000		Senior Subordinated Notes, 9.375% due 2/15/10	208,582
500,000		Pinnacle Entertainment Inc., Senior Subordinated Notes, 8.250% due 3/15/12	507,500
625,000		Seneca Gaming Corp., Senior Notes, 7.250% due 5/1/12	618,750
		Station Casinos Inc.:
		Senior Notes:
60,000		6.000% due 4/1/12	55,200
250,000		7.750% due 8/15/16	235,625
105,000		Senior Subordinated Notes, 6.875% due 3/1/16	88,988
500,000		Turning Stone Casino Resort Enterprise, Senior Notes, 9.125% due 12/15/10 (d)	507,500
		Total Hotels, Restaurants & Leisure	6,730,345
Household Durables — 0.2%
335,000		K Hovnanian Enterprises Inc., Senior Notes, 8.625% due 1/15/17	278,050
325,000		Norcraft Cos. LP/Norcraft Finance Corp., Senior Subordinated Notes, 9.000% due 11/1/11	326,625
700,000		Norcraft Holdings LP/Norcraft Capital Corp., Senior Discount Notes, step bond to yield 9.608% due 9/1/12	605,500
80,000		Sealy Mattress Co., Senior Subordinated Notes, 8.250% due 6/15/14	79,200
		Total Household Durables	1,289,375
Independent Power Producers & Energy Traders — 0.2%
152,070		Mirant Mid Atlantic LLC, Pass-Through Certificates, Series B, 9.125% due 6/30/17	167,175
		NRG Energy Inc., Senior Notes:
250,000		7.250% due 2/1/14	241,875

See Notes to Schedule of Investments.

LMP Capital and Income Fund Inc.

Schedule of Investments (unaudited) (continued)

July 31, 2007

Face Amount		Security	Value
Independent Power Producers & Energy Traders — 0.2% (continued)
$	1,025,000	7.375% due 2/1/16	$	991,688
380,000		TXU Corp., Senior Notes, Series P, 5.550% due 11/15/14	308,444
		Total Independent Power Producers & Energy Traders	1,709,182
Insurance — 0.1%
500,000		Nationwide Life Global Funding I, Notes, 5.450% due 9/28/07 (c)(d)	500,092
IT Services — 0.1%
		SunGard Data Systems Inc.:
400,000		Senior Notes, 9.125% due 8/15/13	404,000
270,000		Senior Subordinated Notes, 10.250% due 8/15/15	271,350
		Total IT Services	675,350
Media — 0.8%
		Affinion Group Inc.:
355,000		Senior Notes, 10.125% due 10/15/13	358,550
100,000		Senior Subordinated Notes, 11.500% due 10/15/15	101,000
390,000		AMC Entertainment Inc., Senior Subordinated Notes, 11.000% due 2/1/16	404,625
		CCH I Holdings LLC/CCH I Holdings Capital Corp.:
205,000		Senior Accreting Notes, 12.125% due 1/15/15	198,850
380,000		Senior Notes, 11.750% due 5/15/14	364,800
569,000		CCH I LLC/CCH Capital Corp., Senior Secured Notes, 11.000% due 10/1/15	571,845
		CCH II LLC/CCH II Capital Corp., Senior Notes:
480,000		10.250% due 9/15/10	490,800
65,000		10.250% due 10/1/13	66,787
105,000		Charter Communications Holdings LLC/Charter Communications Holdings Capital Corp., Senior Discount Notes, 11.750% due 5/15/11	106,050
240,000		CMP Susquehanna Corp., 9.875% due 5/15/14	224,400
810,000		Comcast Corp., Notes, 6.500% due 1/15/17	822,002
410,000		Idearc Inc., Senior Notes, 8.000% due 11/15/16	390,525
65,000		ION Media Networks Inc., Senior Secured Notes, 11.610% due 1/15/13 (c)(d)	65,813
180,000		Lamar Media Corp., Senior Subordinated Notes, 6.625% due 8/15/15	164,700
		R.H. Donnelley Corp.:
		Senior Discount Notes:
355,000		Series A-1, 6.875% due 1/15/13	321,275
300,000		Series A-2, 6.875% due 1/15/13	271,500
450,000		Senior Notes, Series A-3, 8.875% due 1/15/16	439,875
810,000		Time Warner Inc., Senior Notes, 6.875% due 5/1/12	846,353
260,000		TL Acquisitions Inc., Senior Notes, 10.500% due 1/15/15 (d)	240,500
		Total Media	6,450,250
Metals & Mining — 0.2%
960,000		Freeport-McMoRan Copper & Gold Inc., Senior Notes, 8.375% due 4/1/17	1,010,400
15,000		Metals USA Holdings Corp., Senior Notes, 11.360% due 1/15/12 (c)(d)(e)	15,000
435,000		Metals USA Inc., Senior Secured Notes, 11.125% due 12/1/15	465,450
155,000		Noranda Aluminum Holding Corp., Senior Notes, 11.146% due 11/15/14 (c)(d)(e)	146,475
100,000		Novelis Inc., Senior Notes, 7.250% due 2/15/15	100,750
135,000		Tube City IMS Corp., 9.750% due 2/1/15	131,962
156,000		Vale Overseas Ltd., Notes, 6.875% due 11/21/36	152,529
		Total Metals & Mining	2,022,566
Multi-Utilities — 0.0%
125,000		Keyspan Gas East Corp., Medium-Term Notes, 6.900% due 1/15/08	125,819
Multiline Retail — 0.1%
		Dollar General Corp.:
250,000		Senior Notes, 10.625% due 7/15/15 (d)	222,500

See Notes to Schedule of Investments.

LMP Capital and Income Fund Inc.

Schedule of Investments (unaudited) (continued)

July 31, 2007

Face Amount		Security	Value
Multiline Retail — 0.1% (continued)
$	250,000	Senior Subordinated Notes, 11.875% due 7/15/17 (d)(e)	$	213,750
535,000		Neiman Marcus Group Inc., Senior Subordinated Notes, 10.375% due 10/15/15	565,762
		Total Multiline Retail	1,002,012
Office Electronics — 0.0%
290,000		Xerox Corp., Senior Notes, 6.750% due 2/1/17	295,096
Oil, Gas & Consumable Fuels — 0.9%
		Anadarko Petroleum Corp., Senior Notes:
60,000		5.950% due 9/15/16	59,065
1,240,000		6.450% due 9/15/36	1,201,174
440,000		Belden & Blake Corp., Secured Notes, 8.750% due 7/15/12	442,200
775,000		Chesapeake Energy Corp., Senior Notes, 6.375% due 6/15/15	731,406
85,000		Compagnie Generale de Geophysique SA, Senior Notes, 7.500% due 5/15/15	83,300
330,000		ConocoPhillips Holding Co., Senior Notes, 6.950% due 4/15/29	360,726
		El Paso Corp., Medium-Term Notes:
180,000		7.800% due 8/1/31	174,745
1,050,000		7.750% due 1/15/32	1,013,522
450,000		EXCO Resources Inc., Senior Notes, 7.250% due 1/15/11	448,875
260,000		International Coal Group Inc., Senior Notes, 10.250% due 7/15/14	227,500
		Kerr-McGee Corp.:
140,000		6.950% due 7/1/24	145,736
300,000		Notes, 6.875% due 9/15/11	313,362
605,000		OPTI Canada Inc., Senior Secured Notes, 8.250% due 12/15/14 (d)	608,025
160,000		Petroplus Finance Ltd., Senior Note, 7.000% due 5/1/17 (d)	146,800
290,000		SemGroup LP, Senior Notes, 8.750% due 11/15/15 (d)	287,100
260,000		Stone Energy Corp., Senior Subordinated Notes, 8.250% due 12/15/11	257,400
		Williams Cos. Inc.:
100,000		Notes, 8.750% due 3/15/32	111,000
470,000		Senior Notes, 7.750% due 6/15/31	476,463
170,000		XTO Energy Inc., Senior Notes, 7.500% due 4/15/12	182,839
		Total Oil, Gas & Consumable Fuels	7,271,238
Paper & Forest Products — 0.2%
		Abitibi-Consolidated Co. of Canada, Senior Notes:
140,000		6.000% due 6/20/13	111,300
220,000		8.375% due 4/1/15	180,400
		Abitibi-Consolidated Inc.:
160,000		Debentures, 7.400% due 4/1/18	122,400
40,000		Notes, 7.750% due 6/15/11	35,400
545,000		Appleton Papers Inc., Senior Subordinated Notes, Series B, 9.750% due 6/15/14	561,350
		NewPage Corp.:
435,000		Senior Secured Notes, 11.606% due 5/1/12 (c)	467,625
200,000		Senior Subordinated Notes, 12.000% due 5/1/13	209,250
205,000		Verso Paper Holdings LLC, Senior Secured Notes, 9.125% due 8/1/14 (d)	206,537
150,000		Weyerhaeuser Co., Notes, 6.750% due 3/15/12	153,957
		Total Paper & Forest Products	2,048,219
Pharmaceuticals — 0.0%
445,000		Leiner Health Products Inc., Senior Subordinated Notes, 11.000% due 6/1/12	373,800
Real Estate Investment Trusts (REITs) — 0.0%
75,000		iStar Financial Inc., Senior Notes, Series B, 4.875% due 1/15/09	74,304
50,000		Simon Property Group LP, Notes, 6.375% due 11/15/07	50,073

See Notes to Schedule of Investments.

LMP Capital and Income Fund Inc.

Schedule of Investments (unaudited) (continued)

July 31, 2007

Face Amount		Security	Value
Real Estate Investment Trusts (REITs) — 0.0% (continued)
$	85,000	Ventas Realty LP/Ventas Capital Corp., Senior Notes, 6.500% due 6/1/16	$	78,944
		Total Real Estate Investment Trusts (REITs)	203,321
Real Estate Management & Development — 0.1%
270,000		Ashton Woods USA LLC/Ashton Woods Finance Co., Senior Subordinated Notes, 9.500% due 10/1/15	225,450
450,000		Realogy Corp., Senior Subordinated Notes, 12.375% due 4/15/15 (d)	378,000
		Total Real Estate Management & Development	603,450
Road & Rail — 0.2%
1,005,000		Hertz Corp., Senior Subordinated Notes, 10.500% due 1/1/16	1,045,200
50,000		Kansas City Southern de Mexico, Senior Notes, 7.625% due 12/1/13 (d)	50,125
430,000		Kansas City Southern Railway, Senior Notes, 7.500% due 6/15/09	425,700
		Total Road & Rail	1,521,025
Semiconductors & Semiconductor Equipment — 0.0%
345,000		Freescale Semiconductor Inc., Senior Notes, 8.875% due 12/15/14 (d)	316,538
Specialty Retail — 0.0%
235,000		Blockbuster Inc., Senior Subordinated Notes, 9.000% due 9/1/12	196,812
165,000		Eye Care Centers of America, Senior Subordinated Notes, 10.750% due 2/15/15	181,500
		Total Specialty Retail	378,312
Textiles, Apparel & Luxury Goods — 0.1%
390,000		Levi Strauss & Co., Senior Notes, 9.750% due 1/15/15	395,850
180,000		Oxford Industries Inc., Senior Notes, 8.875% due 6/1/11	182,700
		Total Textiles, Apparel & Luxury Goods	578,550
Tobacco — 0.0%
		Alliance One International Inc., Senior Notes:
50,000		8.500% due 5/15/12 (d)	49,500
70,000		11.000% due 5/15/12	73,850
		Total Tobacco	123,350
Trading Companies & Distributors — 0.1%
355,000		Ashtead Capital Inc., Notes, 9.000% due 8/15/16 (d)	358,550
100,000		H&E Equipment Services Inc., Senior Notes, 8.375% due 7/15/16	102,500
390,000		Penhall International Corp., Senior Secured Notes, 12.000% due 8/1/14 (d)	415,350
		Total Trading Companies & Distributors	876,400
Transportation Infrastructure — 0.0%
		Saint Acquisition Corp., Secured Notes:
100,000		13.107% due 5/15/15 (c)(d)	71,500
395,000		12.500% due 5/15/17 (d)	282,425
		Total Transportation Infrastructure	353,925
Wireless Telecommunication Services — 0.5%
		MetroPCS Wireless Inc., Senior Notes:
35,000		9.250% due 11/1/14 (d)	34,475
30,000		9.250% due 11/1/14 (d)	29,550
1,270,000		New Cingular Wireless Services Inc., Notes, 8.125% due 5/1/12	1,400,325
		Rural Cellular Corp.:
245,000		Senior Notes, 9.875% due 2/1/10	255,413
110,000		Senior Secured Notes, 8.250% due 3/15/12	113,300
1,190,000		Sprint Capital Corp., Senior Notes, 8.375% due 3/15/12	1,304,537

See Notes to Schedule of Investments.

LMP Capital and Income Fund Inc.

Schedule of Investments (unaudited) (continued)

July 31, 2007

Face Amount		Security		Value
Wireless Telecommunication Services — 0.5% (continued)
$	780,000		True Move Co., Ltd., 10.750% due 12/16/13 (d)	$	826,800
			Total Wireless Telecommunication Services	3,964,400
			TOTAL CORPORATE BONDS & NOTES (Cost — $75,337,520)	72,796,705
MORTGAGE-BACKED SECURITIES — 7.4%
FHLMC — 3.7%
			Federal Home Loan Mortgage Corp. (FHLMC):
3,341,010			5.120% due 6/1/35 (c)	3,318,675
			Gold:
764,748			7.000% due 6/1/17	788,494
25,734,065			6.000% due 7/1/21-2/1/36	25,741,662
348,639			8.500% due 9/1/25	373,769
745,292			6.500% due 8/1/29	762,224
			TOTAL FHLMC	30,984,824
FNMA — 3.5%
			Federal National Mortgage Association (FNMA):
822,695			8.000% due 12/1/12	838,854
396,520			5.500% due 1/1/14	394,586
1,759,348			7.000% due 3/15/15-6/1/32	1,833,109
608,077			4.207% due 12/1/34 (c)	599,683
820,394			4.855% due 1/1/35 (c)	817,318
1,035,953			5.052% due 3/1/35 (c)	1,033,101
1,442,201			5.500% due 4/1/35 (c)	1,396,670
1,593,457			5.689% due 4/1/35 (c)	1,623,201
2,979,509			5.630% due 4/1/36 (c)	3,000,924
5,268,612			5.608% due 5/1/36 (c)	5,304,833
10,500,000			5.000% due 8/1/37 (g)	9,848,674
2,800,000			6.000% due 8/1/37 (g)	2,774,187
			TOTAL FNMA	29,465,140
GNMA — 0.2%
1,353,922			Government National Mortgage Association (GNMA), 5.500% due 8/15/21	1,342,945
			TOTAL MORTGAGE-BACKED SECURITIES (Cost — $62,201,902)	61,792,909
SOVEREIGN BOND — 0.0%
Argentina — 0.0%
69,931		ARS	Republic of Argentina, GDP Linked Securities, 0.649% due 12/15/35 (c) (Cost - $811)	2,401
U.S. GOVERNMENT & AGENCY OBLIGATIONS — 0.4%
U.S. Government Agencies — 0.0%
100,000			Federal Home Loan Bank (FHLB), Global Bonds, 5.500% due 7/15/36	99,210
140,000			Federal National Mortgage Association (FNMA), 6.625% due 9/15/09	144,737
			Total U.S. Government Agencies	243,947
U.S. Government Obligation — 0.4%
			U.S. Treasury Bonds:
40,000			4.500% due 2/15/36	37,412
3,090,000			4.750% due 2/15/37	3,008,891
			Total U.S. Government Obligations	3,046,303
			TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS (Cost — $3,329,986)	3,290,250

See Notes to Schedule of Investments.

LMP Capital and Income Fund Inc.

Schedule of Investments (unaudited) (continued)

July 31, 2007

Face Amount		Security	Value
U.S. TREASURY INFLATION PROTECTED SECURITIES — 1.0%
$	2,732,044	U.S. Treasury Bonds, Inflation Indexed, 2.375% due 1/15/27	$	2,705,579
		U.S. Treasury Notes, Inflation Indexed:
98,771		0.875% due 4/15/10	94,134
3,142,410		2.375% due 4/15/11	3,124,737
2,783,592		2.375% due 1/15/17	2,761,846
		TOTAL U.S. TREASURY INFLATION PROTECTED SECURITIES (Cost — $8,523,610)	8,686,296
Contracts
PURCHASED OPTIONS — 1.0%
337		Eurodollar Futures, Call @ $94.00, expires 6/16/08	943,600
780		Intersil Corp., Put @ $30.00, expires 1/19/08	234,000
1,803		Johnson & Johnson, Call @ $60.00, expires 1/17/09	1,244,070
909		Johnson & Johnson, Call @ $65.00, expires 1/17/09	399,960
322		KLA-Tencor Corp., Put @ $60.00, expires 1/19/08	199,640
627		Marsh & McLennan Cos. Inc., Call @ $25.00, expires 1/19/08	263,340
742		S & P 500 Index, Put @ $1,425.00, expires 10/20/07	3,153,500
335		U.S. Treasury Notes 10 Year Futures, Call @ $103.00, expires 8/24/07	1,481,328
209		U.S. Treasury Notes 5 Year Futures, Call @ $102.00, expires 8/24/07	724,969
		TOTAL PURCHASED OPTIONS (Cost — $7,578,118)	8,644,407
		TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost — $771,908,711)	774,011,258

Face Amount
SHORT-TERM INVESTMENTS — 7.5%
U.S. Government Agencies — 3.7%
$	30,400,000	Federal Home Loan Bank (FHLB) Discount Notes, 5.091% due 8/1/07 (h)(i)	30,400,000
100,000		Federal National Mortgage Association (FNMA), Discount Notes, 5.203% due 3/17/08 (h)	96,861
		Total U.S. Government Agencies	30,496,861
Repurchase Agreements — 3.8%
16,080,000		Morgan Stanley repurchase agreement dated 7/31/07, 5.230% due 8/1/07; Proceeds at maturity - $16,082,336; (Fully collateralized by U.S. government note, 0.000% due 4/25/08; Market value - $16,483,774) (i)	16,080,000
16,084,000		Nomura Securities International Inc. repurchase agreement dated 7/31/07, 5.250% due 8/1/07; Proceeds at maturity - $16,086,346; (Fully collateralized by U.S. government note, 4.750% due 11/17/15; Market value -$16,406,183) (i)	16,084,000
		Total Repurchase Agreements	32,164,000
		TOTAL SHORT-TERM INVESTMENTS (Cost — $62,660,813)	62,660,861
		TOTAL INVESTMENTS — 100.0% (Cost — $834,569,524#)	836,672,119

†		Face amount denominated in U.S. dollars, unless otherwise noted.
*		Non-income producing security.
(a)		Security is valued in good faith at fair value by or under the direction of the Board of Directors (See Note 1).
(b)		Illiquid security.
(c)		Variable rate security. Interest rate disclosed is that which is in effect at July 31, 2007.
(d)		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, unless otherwise noted.
(e)		Payment-in-kind security for which part of the income earned may be paid as additional principal.

See Notes to Schedule of Investments.

LMP Capital and Income Fund Inc.

Schedule of Investments (unaudited) (continued)

July 31, 2007

(f)		Security has no maturity date. The date shown represents the next call date.
(g)		This security is traded on a to-be-announced (“TBA”) basis (See Note 1).
(h)		Rate shown represents yield-to-maturity.
(i)		All or a portion of this security is segregated for open futures contracts, extended settlements, and forward currency contracts.
#		Aggregate cost for federal income tax purposes is substantially the same.

		Abbreviations used in this schedule:
		ADR - American Depositary Receipt
		ARS - Argentine Peso
		GDP - Gross Domestic Product
		PAC - Planned Amortization Class

See Notes to Schedule of Investments.

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 Boards authorized 100 million shares of $0.001 par value common stock. The Fund’s investment objective is total return with an emphasis on income. The Fund pursues its investment objective by investing at least 80% of its assets in a board range of equity and fixed income securities of both U.S. and foreign issuers.

The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S. generally accepted accounting principles (“GAAP”).

(a) Investment Valuation. Equity securities for which market quotations are available are valued at the last reported sale price or official closing price on the primary market or exchange on which they trade. Debt securities are valued at the mean between the last quoted bid and asked prices provided by an independent pricing service that are based on transactions in debt obligations, quotations from bond dealers, market transactions in comparable securities and various other relationships between securities. Publicly traded foreign government debt securities are typically traded internationally in the over-the-counter market, and are valued at the mean between the bid and asked prices as of the close of business of that market. When prices are not readily available, or are determined not to reflect fair value, 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 may value these investments at fair value as determined in accordance with the procedures approved by the Fund’s Board of Directors. Short-term obligations with maturities of 60 days or less are valued at amortized cost, which approximates market value.

(b) Repurchase Agreements. When entering into repurchase agreements, it is the Fund’s policy that its custodian or a third party custodian take possession of the underlying collateral securities, the market value of which, at all times, at least equals the principal amount of the repurchase transaction, including accrued interest. To the extent that any repurchase transaction exceeds one business day, the value of the collateral is marked-to-market to ensure the adequacy of the collateral. If the seller defaults, and the market value of the collateral declines or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Fund may be delayed or limited.

(c) Written Options. When the Fund writes an option, an amount equal to the premium received by the Fund is recorded as a liability, the value of which is marked-to-market daily to reflect the current market value of the option written. If the option expires, the Fund realizes a gain from investments equal to the amount of the premium received. When a written call option is exercised, the difference between the premium received plus the option exercise price and the Fund’s basis in the underlying security (in the case of a covered written call option), or the cost to purchase the underlying security (in the case of an uncovered written call option), including brokerage commission, is treated as a realized gain or loss. When a written put option is exercised, the amount of the premium received is added to the cost of the security purchased by the Fund from the exercise of the written put option to form the Fund’s basis in the underlying security purchased. The writer or buyer of an option traded on an exchange can liquidate the position before the exercise of the option by entering into a closing transaction. The cost of a closing transaction is deducted from the original premium received resulting in a realized gain or loss to the Fund.

The risk in writing a covered call option is that the Fund may forego the opportunity of profit if the market price of the underlying security increases and the option is exercised. The risk in writing a put option is that the Fund may incur a loss if the market price of the underlying security decreases and the option is exercised. The risk in writing a call option is that the Fund is exposed to the risk of loss if the market price of the underlying security increases. In addition, there is the risk that the Fund may not be able to enter into a closing transaction because of an illiquid secondary market.

(d) Financial Futures Contracts. The Fund may enter into financial futures contracts typically to hedge a portion of the portfolio. Upon entering into a financial futures contract, the Fund is required to deposit cash or securities as initial margin, equal to a certain percentage of the contract amount (initial margin deposit). Additional securities are also segregated up to the current market value of the financial futures contracts. Subsequent payments, known as “variation margin”, are made or received by the Fund each day, depending on the daily fluctuations in the value of the underlying financial instruments. The Fund recognizes an unrealized gain or loss equal to the daily variation margin. When the

Notes to Schedule of Investments (unaudited) (continued)

financial futures contracts are closed, a realized gain or loss is recognized equal to the difference between the proceeds from (or cost of) the closing transactions and the Fund’s basis in the contracts.

The risks associated with entering into financial futures contracts include the possibility that a change in the value of the contract may not correlate with the changes in the value of the underlying financial instruments. In addition, investing in financial futures contracts involves the risk that the Fund could lose more than the initial margin deposit and subsequent payments required for a futures transaction. Risks may also arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts.

(e) Forward Foreign Currency Contracts. The Fund may enter into a forward foreign currency contract to hedge against foreign currency exchange rate risk on its non-U.S. dollar denominated securities or to facilitate settlement of a foreign currency denominated portfolio transaction. A forward foreign currency contract is an agreement between two parties to buy and sell a currency at a set price with delivery and settlement at a future date. The contract is marked-to-market daily and the change in value is recorded by the Fund as an unrealized gain or loss. When a forward foreign currency contract is closed, through either delivery or offset by entering into another forward foreign currency contract, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was closed.

The Fund bears the risk of an unfavorable change in the foreign exchange rate underlying the forward foreign currency contract. Risks may also arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts.

(f) Securities Traded on a To-Be-Announced Basis. The Fund may trade securities on a to-be-announced (“TBA”) basis. In a TBA transaction, the Fund commits to purchasing or selling securities which have not yet been issued by the issuer and for which specific information is not known, such as the face amount and maturity date and the underlying pool of investments in U.S. government agency mortgage pass-through securities. Securities purchased on a TBA basis are not settled until they are delivered to the Fund, normally 15 to 45 days after purchase. Beginning on the date the Fund enters into a TBA transaction, cash, U.S. government securities or other liquid high-grade debt obligations are segregated in an amount equal in value to the purchase price of the TBA security. These securities are subject to market fluctuations and their current value is determined in the same manner as for other securities.

(g) REIT Distributions. The character of distributions received from Real Estate Investment Trusts (“REITs”) held by the Fund is generally comprised of net investment income, capital gains, and return of capital. It is the policy of the Fund to estimate the character of distributions received from underlying REITs based on historical data provided by the REITs. After each calendar year end, REITs report the actual tax character of these distributions. Differences between the estimated and actual amounts reported by the REITs are reflected in the Fund’s records in the year in which they are reported by the REITs.

(h) 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.

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.

(i) Credit and Market Risk. The Fund invests in high yield and emerging market instruments that are subject to certain credit and market risks. The yields of high yield and emerging market debt obligations reflect, among other things, perceived credit and market risks. The Fund’s investment in securities rated below investment grade typically involves risks not associated with higher rated securities including, among others, greater risk related to timely and ultimate payment of interest and principal, greater market price volatility and less liquid secondary market trading. The consequences of political, social, economic or diplomatic changes may have disruptive effects on the market prices of investments held by the Fund. The Fund’s investment in non-dollar denominated securities may also result in foreign currency losses caused by devaluations and exchange rate fluctuations.

(j) Security Transactions. Security transactions are accounted for on a trade date basis.

Notes to Schedule of Investments (unaudited) (continued)

2. Investments

At July 31, 2007, the aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes were substantially as follows:

Gross unrealized appreciation	$	33,469,424
Gross unrealized depreciation	(31,366,829		)
Net unrealized appreciation	$	2,102,595

During the period ended July 31, 2007, written option transactions for the Fund were as follows:

	Number of Contracts		Premiums
Options written, outstanding October 31, 2006	1,090		$	215,858
Options written	2,956		1,341,798
Options closed	(4,046	)	(1,557,656		)
Options written, outstanding July 31, 2007	—			—

At July 31, 2007, the Fund had open forward foreign currency contracts as described below. The unrealized gain on the open contracts reflected in the accompanying financial statements were as follows:

Foreign Currency	Local Currency	Market Value		Settlement Date	Unrealized Loss
Contracts to Buy:
Japanese Yen	72,660,000	$	610,494	8/8/07	$	(94	)
Contracts to Sell:
Pound Sterling	808,000	1,645,103		8/8/07	(40,440		)
Net Unrealized Loss on Open Forward Foreign Currency Contracts					$	(40,534	)

At July 31, 2007, the Fund had the following open futures contracts:

	Number of Contracts	Expiration Date	Basis Value		Market Value		Unrealized Gain (Loss)
Contracts to Buy:
Eurodollar	2	3/08	$	474,672	$	475,300	$	628
Eurodollar	2	6/08	476,048		475,725		(323		)
Fin Euro	1	9/08	238,218		237,913		(305		)
Stearling Futures	184	3/08	347,881		381,695		33,814
U.S. Treasury 2 Year Notes	62	9/07	12,664,513		12,706,125		41,612
U.S. Treasury Bonds	25	9/07	2,728,891		2,751,563		22,672
							$	98,098
Contracts to Sell:
U.S. Treasury 5 Year Notes	16	9/07	$	1,657,795	$	1,687,500	$	(29,705	)
U.S. Treasury 10 Year Notes	21	9/07	2,230,160		2,255,859		(25,699		)
							$	(55,404	)
Net Unrealized Gain on Open Futures Contracts							$	42,694

At July 31, 2007, the Fund held TBA securities with a total cost of $12,611,578.

ITEM 2. CONTROLS AND PROCEDURES.

(a) The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a- 3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the disclosure controls and procedures required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934.

(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are likely to materially affect the registrant’s internal control over financial reporting.

ITEM 3. EXHIBITS.

Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are attached hereto.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

LMP Capital and Income Fund Inc.

By	/s/ R. Jay Gerken
	R. Jay Gerken
	Chief Executive Officer

Date: September 26, 2007

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By	/s/ R. Jay Gerken
	R. Jay Gerken
	Chief Executive Officer

Date: September 26, 2007

By	/s/ Kaprel Ozsolak
	Kaprel Ozsolak
	Chief Financial Officer

Date: September 26, 2007