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: January 31, 2007

LMP CAPITAL AND INCOME FUND

FORM N-Q

JANUARY 31, 2007

ITEM 1. SCHEDULE OF INVESTMENTS

LMP Capital and Income Fund Inc.

Schedule of Investments (unaudited)

January 31, 2007

Shares	Security†	Value
COMMON STOCKS — 71.2%
CONSUMER DISCRETIONARY — 10.6%
Hotels, Restaurants & Leisure — 3.3%
35,320	Las Vegas Sands Corp. *	$	3,675,752
262,900	McDonald’s Corp.	11,659,615
140,600	Penn National Gaming Inc. *	6,161,092
93,300	Starwood Hotels & Resorts Worldwide Inc.	5,838,714
	Total Hotels, Restaurants & Leisure	27,335,173
Household Durables — 0.0%
1,226,577	Home Interiors & Gifts Inc. (a)(b) *	12,266
Media — 7.3%
182,030	Clear Channel Communications Inc.	6,611,330
130,000	EchoStar Communications Corp., Class A Shares *	5,244,200
79,444	Lamar Advertising Co., Class A Shares *	5,265,548
167,300	R.H. Donnelley Corp. *	11,138,834
498,400	SES Global SA, FDR	8,649,066
517,600	Time Warner Inc.	11,319,912
534,200	Warner Music Group Corp.	11,453,248
	Total Media	59,682,138
	TOTAL CONSUMER DISCRETIONARY	87,029,577
CONSUMER STAPLES — 2.7%
Household Products — 0.6%
79,200	Procter & Gamble Co.	5,137,704
Tobacco — 2.1%
199,300	Altria Group Inc.	17,416,827
	TOTAL CONSUMER STAPLES	22,554,531
ENERGY — 6.5%
Energy Equipment & Services — 2.0%
66,400	GlobalSantaFe Corp.	3,851,864
86,000	SEACOR Holdings Inc. *	8,705,780
48,300	Transocean Inc. *	3,736,971
	Total Energy Equipment & Services	16,294,615
Oil, Gas & Consumable Fuels — 4.5%
347,400	Anadarko Petroleum Corp.	15,198,750
143,190	Cheniere Energy Inc. *	3,963,499
72,300	Crosstex Energy Inc.	2,369,994
159,000	Range Resources Corp.	4,879,710
159,560	Total SA, ADR	10,858,058
	Total Oil, Gas & Consumable Fuels	37,270,011
	TOTAL ENERGY	53,564,626
EXCHANGE TRADED FUND — 1.7%
Exchange Traded — 1.7%
309,400	Nasdaq-100 Index Tracking Stock	13,635,258
FINANCIALS — 20.1%
Capital Markets — 3.0%
22,300	Goldman Sachs Group Inc.	4,731,168
318,300	UBS AG	20,056,083
	Total Capital Markets	24,787,251
Commercial Banks — 1.4%
328,200	Wells Fargo & Co.	11,788,944
Consumer Finance — 4.6%
437,600	American Express Co.	25,477,072
151,432	Capital One Financial Corp.	12,175,133
	Total Consumer Finance	37,652,205

See Notes to Schedule of Investments.

LMP Capital and Income Fund Inc.

Schedule of Investments (unaudited) (continued)

January 31, 2007

Shares	Security†	Value
Diversified Financial Services — 1.2%
185,352	Bank of America Corp.	$	9,745,808
Insurance — 9.9%
199,300	ACE Ltd.	11,515,554
282,900	AFLAC Inc.	13,468,869
219,400	American International Group Inc.	15,017,930
238,570	Chubb Corp.	12,415,183
504,710	Fidelity National Financial Inc., Class A	11,981,815
393,100	First American Corp.	16,659,578
	Total Insurance	81,058,929
	TOTAL FINANCIALS	165,033,137
HEALTH CARE — 4.0%
Health Care Providers & Services — 4.0%
317,300	UnitedHealth Group Inc.	16,582,098
202,600	WellPoint Inc.*	15,879,788
	TOTAL HEALTH CARE	32,461,886
INDUSTRIALS — 10.7%
Aerospace & Defense — 4.3%
108,920	Alliant Techsystems Inc.*	8,822,520
214,893	Hexcel Corp.*	4,134,541
219,500	Honeywell International Inc.	10,028,955
153,010	L-3 Communications Holdings Inc.	12,598,844
	Total Aerospace & Defense	35,584,860
Commercial Services & Supplies — 0.4%
130,920	Covanta Holding Corp.*	3,097,567
Electrical Equipment — 1.1%
493,200	ABB Ltd., ADR*	8,783,892
Industrial Conglomerates — 4.9%
677,900	General Electric Co.	24,438,295
506,000	Tyco International Ltd.	16,131,280
	Total Industrial Conglomerates	40,569,575
	TOTAL INDUSTRIALS	88,035,894
INFORMATION TECHNOLOGY — 11.7%
Communications Equipment — 2.6%
389,700	Cisco Systems Inc.*	10,362,123
299,400	QUALCOMM Inc.	11,275,404
	Total Communications Equipment	21,637,527
Electronic Equipment & Instruments — 1.2%
306,500	Agilent Technologies Inc.*	9,808,000
Internet Software & Services — 1.3%
366,900	Yahoo! Inc.*	10,386,939
IT Services — 3.4%
392,900	Ceridian Corp.*	11,775,213
375,011	Fidelity National Information Services Inc.	15,945,468
	Total IT Services	27,720,681
Software — 3.2%
557,300	Microsoft Corp.	17,198,278
527,200	Oracle Corp.*	9,046,752
	Total Software	26,245,030
	TOTAL INFORMATION TECHNOLOGY	95,798,177
MATERIALS — 0.9%
Chemicals — 0.9%
95,920	Koppers Holdings Inc.	2,437,327

See Notes to Schedule of Investments.

LMP Capital and Income Fund Inc.

Schedule of Investments (unaudited) (continued)

January 31, 2007

Shares		Security†	Value
Chemicals — 0.9% (continued)
224,260		Nalco Holding Co.*	$	5,155,738
		TOTAL MATERIALS	7,593,065
UTILITIES — 2.3%
Gas Utilities — 2.3%
471,700		National Fuel Gas Co.	19,193,473
		TOTAL COMMON STOCKS (Cost — $547,645,619)	584,899,624

Face Amount
ASSET-BACKED SECURITIES — 2.9%
Home Equity — 2.9%
$	1,000,000	Ameriquest Mortgage Securities Inc., Series 2003-12, Class M2, 7.020% due 11/25/33 (c)	1,013,150
2,000,000		Argent Securities Inc., Series 2004-W8, Class M04, 6.620% due 5/25/34 (c)	2,014,483
750,000		Asset-Backed Funding Certificates, Series 2004-FF1, Class M2, 6.770% due 1/25/34 (c)	757,442
2,000,000		Bear Stearns Asset-Backed Securities Inc., Series 2004-HE5, Class M1, 5.890% due 7/25/34 (c)	2,001,239
		Countrywide Asset-Backed Certificates:
233,414		Series 2003-03, Class M4, 6.750% due 3/25/33 (c)	235,292
17,430		Series 2004-02N, Class N1, 5.000% due 2/25/35 (d)	17,346
410,000		Series 2004-05, Class M4, 6.570% due 6/25/34 (c)	415,808
73,417		Finance America Net Interest Margin Trust, Series 2004-01, Class A, 5.250% due 6/27/34 (d)	4,750
750,000		First Franklin Mortgage Loan Asset Backed Certificates, Series 2004-FF2, Class M4, 6.220% due 3/25/34 (c)	752,345
		Fremont Home Loan Trust:
792,575		Series 2004-01, Class M5, 6.420% due 2/25/34 (c)	794,035
2,000,000		Series 2004-B, Class M4, 6.490% due 5/25/34 (c)	2,003,456
875,000		Series 2004-D, Class M5, 6.320% due 11/25/34 (c)	880,567
1,005,000		GSAMP Trust, Series 2004-OPT, Class M3, 6.470% due 11/25/34 (c)	1,013,240
		Merrill Lynch Mortgage Investors Inc.:
44,421		Series 2004-WM2N, Class N1, 4.500% due 12/25/34 (d)	44,066
4,417		Series 2005-WM1N, Class N1, 5.000% due 9/25/35 (d)	4,394
1,400,000		Morgan Stanley Asset-Backed Securities Capital I, Series 2004-HE4, Class M2, 6.620% due 5/25/34 (c)	1,400,863
		New Century Home Equity Loan Trust:
1,250,000		Series 2001-NC1, Class M2, 6.420% due 6/20/31 (c)	1,251,455
1,500,000		Series 2003-04, Class M2, 7.140% due 10/25/33 (c)	1,509,857
		Novastar Home Equity Loan:
1,000,000		Series 2004-01, Class M4, 6.295% due 6/25/34 (c)	1,005,601
1,250,000		Series 2004-02, Class M5, 6.820% due 9/25/34 (c)	1,260,224
750,000		Series 2005-02, Class M10, 8.320% due 10/25/35 (c)	712,684
		Option One Mortgage Loan Trust:
206,644		Series 2002-04, Class M2, 7.015% due 7/25/32 (c)	206,991
1,500,000		Series 2004-02, Class M2, 6.370% due 5/25/34 (c)	1,500,931
1,000,000		Renaissance Home Equity Loan Trust, Series 2003-4, Class M3, 7.220% due 3/25/34 (c)	1,009,592
511,479		SACO I Trust, Series 2005-02, Class A, 5.520% due 4/25/35 (c)(d)	511,748
		Sail Net Interest Margin Notes:
141,210		Series 2003-BC2A, Class A, 7.750% due 4/27/33 (d)	31,138
71,380		Series 2004-2A, Class A, 5.500% due 3/27/34 (d)	21,358
1,500,000		Structured Asset Investment Loan Trust, Series 2003-BC10, Class M2, 7.170% due 10/25/33 (c)	1,503,588
		TOTAL ASSET-BACKED SECURITIES (Cost — $24,073,166)	23,877,643

See Notes to Schedule of Investments.

LMP Capital and Income Fund Inc.

Schedule of Investments (unaudited) (continued)

January 31, 2007

Face Amount		Security†	Value
COLLATERALIZED MORTGAGE OBLIGATIONS(c) — 0.8%
$	260,000	American Home Mortgage Investment Trust, Series 2005-4, Class M3, 6.120% due 11/25/45	$	260,203
631,586		Banc of America Funding Corp., Series 2006-H, Class 1A1, 5.693% due 9/20/46	634,681
418,905		Banc of America Mortgage Securities, Series 2005-F, Class 2A-2, 5.018% due 7/25/35	413,947
		Federal Home Loan Mortgage Corp. (FHLMC):
89,585		Series 2764, Class DT, 6.000% due 3/15/34	83,965
578,380		Series 2780, Class SL, PAC, 6.000% due 4/15/34	571,814
748,268		Harborview Mortgage Loan Trust, Series 2005-10, Class B6, 6.390% due 11/19/35	754,105
950,702		Impac CMB Trust, Series 2004-04, Class 2M2, 6.820% due 9/25/34	957,924
622,463		Merit Securities Corp., Series 11PA, Class B2, 6.850% due 9/28/32 (d)	540,435
		MLCC Mortgage Investors Inc.:
550,625		Series 2004-A, Class B2, 6.240% due 4/25/29	552,172
732,307		Series 2004-B, Class B2, 6.200% due 5/25/29	736,481
880,313		Washington Mutual Inc., Series 2006-AR10, Class 1A1, 5.967% due 9/25/36	885,467
		TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost — $6,413,248)	6,391,194
CORPORATE BONDS & NOTES — 10.2%
Aerospace & Defense — 0.0%
275,000		Alliant Techsystems Inc., Senior Subordinated Notes, 6.750% due 4/1/16	275,000
Airlines — 0.0%
170,000		Continental Airlines Inc., Notes, 8.750% due 12/1/11	171,275
Auto Components — 0.2%
295,000		Keystone Automotive Operations Inc., Senior Subordinated Notes, 9.750% due 11/1/13	292,788
		Visteon Corp., Senior Notes:
1,075,000		8.250% due 8/1/10	1,080,375
90,000		7.000% due 3/10/14	79,650
		Total Auto Components	1,452,813
Automobiles — 0.2%
		Ford Motor Co.:
110,000		Debentures, 8.875% due 1/15/22	99,825
785,000		Notes, 7.450% due 7/16/31	640,756
630,000		General Motors Corp., Senior Debentures, 8.250% due 7/15/23	600,075
		Total Automobiles	1,340,656
Building Products — 0.2%
540,000		Associated Materials Inc., Senior Subordinated Notes, 9.750% due 4/15/12	564,300
230,000		Jacuzzi Brands Inc., Senior Secured Notes, 9.625% due 7/1/10	245,525
1,520,000		NTK Holdings Inc., Senior Discount Notes, step bond to yield 11.321% due 3/1/14	1,124,800
		Total Building Products	1,934,625
Capital Markets — 0.1%
285,000		BCP Crystal U.S. Holdings Corp., Senior Subordinated Notes, 9.625% due 6/15/14	316,350
		E*TRADE Financial Corp., Senior Notes:
120,000		7.375% due 9/15/13	125,100
105,000		7.875% due 12/1/15	112,875
340,000		Kaupthing Bank HF, Subordinated Notes, 7.125% due 5/19/16 (d)	359,723
		Total Capital Markets	914,048

See Notes to Schedule of Investments.

LMP Capital and Income Fund Inc.

Schedule of Investments (unaudited) (continued)

January 31, 2007

Face Amount		Security†	Value
Chemicals — 0.2%
$	50,000	Chemtura Corp., Senior Notes, 6.875% due 6/1/16	$	48,750
1,000,000		Equistar Chemicals LP, Senior Notes, 10.625% due 5/1/11	1,065,000
570,000		Georgia Gulf Corp., Senior Notes, 9.500% due 10/15/14 (d)	567,150
110,000		Huntsman International LLC, Senior Subordinated Notes, 7.875% due 11/13/14 (d)	113,850
6,000		PPG Industries Inc., Notes, 6.500% due 11/1/07	6,020
		Total Chemicals	1,800,770
Commercial Banks — 0.2%
125,000		American Express Centurion Bank, Notes, 5.410% due 7/19/07 (c)	125,090
380,000		Banesto Finance Ltd., 7.500% due 3/25/07	381,087
250,000		Bank United Corp., Senior Notes, 8.875% due 5/1/07	252,015
81,818		Fifth Third Bank, Notes, 2.870% due 8/10/09	79,284
340,000		Resona Preferred Global Securities Cayman Ltd., Bonds, 7.191% due 7/30/15 (c)(d)(e)	356,143
340,000		Shinsei Finance Cayman Ltd., Bonds, 6.418% due 7/20/16 (c)(d)(e)	338,599
150,000		Wells Fargo & Co., Notes, 5.426% due 3/23/07 (c)	150,030
		Total Commercial Banks	1,682,248
Commercial Services & Supplies — 0.3%
40,000		Aleris International Inc., Senior Subordinated Notes, 10.000% due 12/15/16 (d)	41,600
		Allied Waste North America Inc., Senior Notes, Series B:
925,000		7.375% due 4/15/14	927,312
75,000		7.250% due 3/15/15	75,469
		Aramark Corp., Senior Notes:
180,000		8.500% due 2/1/15 (d)	185,175
40,000		8.860% due 2/1/15 (c)(d)	41,000
315,000		DynCorp International LLC/DIV Capital Corporation, Senior Subordinated Notes, Series B, 9.500% due 2/15/13	332,325
600,000		Interface Inc., Senior Subordinated Notes, 9.500% due 2/1/14	642,000
210,000		Rental Services Corp., Senior Bonds, 9.500% due 12/1/14 (d)	220,500
		Total Commercial Services & Supplies	2,465,381
Consumer Finance — 0.5%
		Ford Motor Credit Co.:
1,050,000		Notes, 7.000% due 10/1/13	1,002,954
		Senior Notes:
750,000		5.800% due 1/12/09	736,389
135,000		9.750% due 9/15/10 (d)	144,114
559,000		10.610% due 6/15/11 (c)(d)	608,402
170,000		8.000% due 12/15/16	167,197
		General Motors Acceptance Corp., Notes:
1,000,000		5.625% due 5/15/09	990,252
300,000		6.750% due 12/1/14	304,842
125,000		SLM Corp., Medium-Term Notes, Series A, 5.560% due 1/26/09 (c)	125,515
		Total Consumer Finance	4,079,665
Containers & Packaging — 0.4%
885,000		Graham Packaging Co. Inc., Senior Subordinated Notes, 9.875% due 10/15/14	915,975
		Graphic Packaging International Corp.:
90,000		Senior Notes, 8.500% due 8/15/11	93,825
535,000		Senior Subordinated Notes, 9.500% due 8/15/13	569,775
750,000		JSG Funding PLC, Senior Notes, 9.625% due 10/1/12	800,625
900,000		Owens-Illinois Inc., Debentures, 7.500% due 5/15/10	918,000

See Notes to Schedule of Investments.

LMP Capital and Income Fund Inc.

Schedule of Investments (unaudited) (continued)

January 31, 2007

Face Amount		Security†	Value
Containers & Packaging — 0.4% (continued)
$	195,000	Plastipak Holdings Inc., Senior Notes, 8.500% due 12/15/15 (d)	$	204,750
		Total Containers & Packaging	3,502,950
Diversified Financial Services — 0.5%
150,000		AAC Group Holding Corp., step bond to yield 9.092% due 10/1/12	133,500
100,000		Aiful Corp., Notes, 5.000% due 8/10/10 (d)	96,833
100,000		Bank of America Corp., Subordinated Notes, 5.420% due 3/15/17 (d)	98,538
870,000		Basell AF SCA, Senior Secured Subordinated Second Priority Notes, 8.375% due 8/15/15 (d)	902,625
125,000		Capital One Bank, Notes, 5.750% due 9/15/10	126,657
		CitiSteel USA Inc., Senior Secured Notes:
125,000		12.949% due 9/1/10 (c)	129,687
110,000		15.000% due 10/1/10 (d)(f)	130,350
110,493		Core Investment Grade Bond Trust I, Pass-Through Certificates, 4.642% due 11/30/07	109,318
125,000		Countrywide Home Loans Inc., Medium-Term Notes, Series M, 4.125% due 9/15/09	121,310
162,000		Global Cash Access LLC/Global Cash Finance Corp., Senior Subordinated Notes, 8.750% due 3/15/12	170,100
125,000		HSBC Finance Corp., Senior Subordinated Notes, 5.875% due 2/1/09	126,493
410,000		Idearc Inc., Senior Notes, 8.000% due 11/15/16 (d)	418,712
60,000		Milacron Escrow Corp., Senior Secured Notes, 11.500% due 5/15/11	57,600
100,000		UCAR Finance Inc., Senior Notes, 10.250% due 2/15/12	105,500
160,000		UGS Corp., Senior Subordinated Notes, 10.000% due 6/1/12	176,000
620,000		Vanguard Health Holdings Co. I LLC, Senior Discount Notes, step bond to yield 10.257% due 10/1/15	500,650
260,000		Vanguard Health Holdings Co. II LLC, Senior Subordinated Notes, 9.000% due 10/1/14	267,475
		Total Diversified Financial Services	3,671,348
Diversified Telecommunication Services — 0.8%
120,000		Citizens Communications Co., Senior Notes, 7.875% due 1/15/27 (d)	122,100
100,000		Deutsche Telekom International Finance, Senior Notes, 5.750% due 3/23/16	98,674
		Hawaiian Telcom Communications Inc.:
45,000		Senior Notes, Series B, 10.889% due 5/1/13 (c)	46,463
700,000		Senior Subordinated Notes, Series B, 12.500% due 5/1/15	764,750
180,000		Inmarsat Finance PLC, 7.625% due 6/30/12	186,750
		Intelsat Bermuda Ltd., Senior Notes:
90,000		8.872% due 1/15/15 (c)(d)	92,025
370,000		9.250% due 6/15/16 (d)	407,925
680,000		11.250% due 6/15/16 (d)	771,800
35,000		Intelsat Ltd., Notes, 7.625% due 4/15/12	33,906
145,000		Level 3 Communications Inc., Senior Notes, 11.500% due 3/1/10	156,962
		Level 3 Financing Inc., Senior Notes:
500,000		11.800% due 3/15/11 (c)	532,500
35,000		9.250% due 11/1/14 (d)	35,963
		NTL Cable PLC, Senior Notes:
450,000		8.750% due 4/15/14	469,125
220,000		9.125% due 8/15/16	233,750
		Qwest Communications International Inc., Senior Notes:
285,000		7.500% due 2/15/14	295,687
740,000		Series B, 7.500% due 2/15/14	767,750
605,000		Telcordia Technologies Inc., Senior Subordinated Notes, 10.000% due 3/15/13 (d)	571,725
100,000		Telecom Italia Capital SA, Notes, 5.250% due 10/1/15	92,948

See Notes to Schedule of Investments.

LMP Capital and Income Fund Inc.

Schedule of Investments (unaudited) (continued)

January 31, 2007

Face Amount		Security†	Value
Diversified Telecommunication Services — 0.8% (continued)
$	660,000	Windstream Corp., 8.625% due 8/1/16	$	723,525
		Total Diversified Telecommunication Services	6,404,328
Electric Utilities — 0.0%
100,000		Orion Power Holdings Inc., Senior Notes, 12.000% due 5/1/10	115,250
Electronic Equipment & Instruments — 0.1%
1,065,000		NXP BV/NXP Funding LLC, Senior Notes, 9.500% due 10/15/15 (d)	1,106,269
Energy Equipment & Services — 0.2%
725,000		Complete Production Services Inc., Senior Notes, 8.000% due 12/15/16 (d)	737,687
529,000		Dresser-Rand Group Inc., Senior Subordinated Notes, 7.375% due 11/1/14	532,968
95,000		Geokinetics Inc., Secured Notes, 11.860% due 12/15/12 (c)(d)	95,950
55,000		Pride International Inc., Senior Notes, 7.375% due 7/15/14	56,100
10,000		Southern Natural Gas Co., Senior Notes, 8.000% due 3/1/32	11,624
		Total Energy Equipment & Services	1,434,329
Food & Staples Retailing — 0.0%
150,000		Safeway Inc., Senior Unsecured Notes, 6.500% due 11/15/08	152,444
Food Products — 0.0%
		Dole Food Co. Inc., Senior Notes:
125,000		7.250% due 6/15/10	121,406
261,000		8.875% due 3/15/11	261,000
		Total Food Products	382,406
Health Care Providers & Services — 0.5%
250,000		AmeriPath Inc., Senior Subordinated Notes, 10.500% due 4/1/13	272,500
600,000		Genesis HealthCare Corp., Senior Subordinated Notes, 8.000% due 10/15/13	640,500
		HCA Inc.:
295,000		Notes, 6.375% due 1/15/15	251,488
		Senior Notes:
345,000		6.300% due 10/1/12	317,400
345,000		6.500% due 2/15/16	292,387
		Senior Secured Notes:
215,000		9.250% due 11/15/16 (d)	228,975
165,000		9.625% due 11/15/16 (d)(f)	177,581
925,000		IASIS Healthcare LLC/IASIS Capital Corp., Senior Subordinated Notes, 8.750% due 6/15/14	949,281
		Tenet Healthcare Corp., Senior Notes:
650,000		7.375% due 2/1/13	604,500
70,000		9.875% due 7/1/14	71,313
70,000		6.875% due 11/15/31	55,125
175,000		Triad Hospitals Inc., Senior Subordinated Notes, 7.000% due 11/15/13	179,813
150,000		UnitedHealth Group Inc., Senior Notes, 3.300% due 1/30/08	146,769
		Total Health Care Providers & Services	4,187,632
Hotels, Restaurants & Leisure — 1.1%
1,000,000		Boyd Gaming Corp., Senior Subordinated Notes, 6.750% due 4/15/14	985,000
315,000		Choctaw Resort Development Enterprise, Senior Notes, 7.250% due 11/15/19 (d)	321,300
550,000		Denny’s Holdings Inc., Senior Notes, 10.000% due 10/1/12	587,812
100,000		El Pollo Loco Inc., Senior Notes, 11.750% due 11/15/14	109,000
450,000		Herbst Gaming Inc., Senior Subordinated Notes, 7.000% due 11/15/14	435,375
660,000		Inn of the Mountain Gods Resort & Casino, Senior Notes, 12.000% due 11/15/10	722,700
1,000,000		Isle of Capri Casinos Inc., Senior Subordinated Notes, 7.000% due 3/1/14	992,500
550,000		Las Vegas Sands Corp., Senior Notes, 6.375% due 2/15/15	537,625

See Notes to Schedule of Investments.

LMP Capital and Income Fund Inc.

Schedule of Investments (unaudited) (continued)

January 31, 2007

Face Amount		Security†	Value
Hotels, Restaurants & Leisure — 1.1% (continued)
		MGM MIRAGE Inc.:
		Senior Notes:
$	380,000	6.750% due 9/1/12	$	379,050
575,000		5.875% due 2/27/14	536,187
320,000		7.625% due 1/15/17	323,600
203,000		Senior Subordinated Notes, 9.375% due 2/15/10	217,464
		Mohegan Tribal Gaming Authority, Senior Subordinated Notes:
300,000		7.125% due 8/15/14	308,250
350,000		6.875% due 2/15/15	352,188
325,000		Penn National Gaming Inc., Senior Subordinated Notes, 6.750% due 3/1/15	314,844
500,000		Pinnacle Entertainment Inc., Senior Subordinated Notes, 8.250% due 3/15/12	514,375
625,000		Seneca Gaming Corp., Senior Notes, 7.250% due 5/1/12	629,687
		Station Casinos Inc.:
		Senior Notes:
60,000		6.000% due 4/1/12	57,075
460,000		7.750% due 8/15/16	471,500
105,000		Senior Subordinated Notes, 6.875% due 3/1/16	96,600
500,000		Turning Stone Casino Resort Enterprise, Senior Notes, 9.125% due 12/15/10 (d)	512,500
		Total Hotels, Restaurants & Leisure	9,404,632
Household Durables — 0.3%
190,000		Beazer Homes USA Inc., Senior Notes, 8.125% due 6/15/16	198,550
685,000		K Hovnanian Enterprises Inc., Senior Notes, 8.625% due 1/15/17	726,100
325,000		Norcraft Cos. LP/Norcraft Finance Corp., Senior Subordinated Notes, 9.000% due 11/1/11	337,188
700,000		Norcraft Holdings LP/Norcraft Capital Corp., Senior Discount Notes, step bond to yield 9.608% due 9/1/12	619,500
600,000		Sealy Mattress Co., Senior Subordinated Notes, 8.250% due 6/15/14	633,000
		Total Household Durables	2,514,338
Household Products — 0.0%
345,000		Nutro Products Inc., Senior Subordinated Notes, 10.750% due 4/15/14 (d)	379,500
Independent Power Producers & Energy Traders — 0.3%
175,000		Calpine Generating Co. LLC, Senior Secured Notes, 14.370% due 4/1/11 (c)(g)	186,375
1,000,000		Edison Mission Energy, Senior Notes, 7.730% due 6/15/09	1,035,000
		NRG Energy Inc., Senior Notes:
250,000		7.250% due 2/1/14	251,250
1,025,000		7.375% due 2/1/16	1,028,844
190,000		TXU Corp., Senior Notes, Series P, 5.550% due 11/15/14	179,779
		Total Independent Power Producers & Energy Traders	2,681,248
Industrial Conglomerates — 0.0%
237,000		Koppers Inc., Senior Notes, 9.875% due 10/15/13	258,330
Insurance — 0.2%
470,000		Crum & Forster Holdings Corp., Senior Notes, 10.375% due 6/15/13	509,950
75,000		Marsh & McLennan Cos. Inc., Notes, 5.500% due 7/13/07 (c)	75,013
500,000		Nationwide Life Global Funding I, Notes, 5.453% due 9/28/07 (c)(d)	500,468
150,000		Protective Life Secured Trust, Senior Secured Notes, Medium-Term Notes, 5.440% due 4/13/07 (c)	150,039
		Total Insurance	1,235,470
Internet & Catalog Retail — 0.0%
235,000		FTD Inc., Senior Subordinated Notes, 7.750% due 2/15/14	236,763

See Notes to Schedule of Investments.

LMP Capital and Income Fund Inc.

Schedule of Investments (unaudited) (continued)

January 31, 2007

Face Amount		Security†	Value
IT Services — 0.1%
		SunGard Data Systems Inc.:
$	400,000	Senior Notes, 9.125% due 8/15/13	$	423,000
270,000		Senior Subordinated Notes, 10.250% due 8/15/15	291,600
		Total IT Services	714,600
Machinery — 0.1%
839,000		Mueller Holdings Inc., Senior Discount Notes, step bond to yield 11.471% due 4/15/14	767,685
Media — 1.0%
		Affinion Group Inc.:
435,000		Senior Notes, 10.125% due 10/15/13	469,800
20,000		Senior Subordinated Notes, 11.500% due 10/15/15	21,600
		AMC Entertainment Inc.:
80,000		Senior Notes, Series B, 8.625% due 8/15/12	84,500
725,000		Senior Subordinated Notes, 11.000% due 2/1/16	822,875
19,000		CCH I Holdings LLC, Senior Notes, 11.000% due 10/1/15	19,665
380,000		CCH I Holdings LLC/CCH I Holdings Capital Corp., Senior Notes, 11.750% due 5/15/14	363,850
550,000		CCH I LLC/CCH Capital Corp., Senior Secured Notes, 11.000% due 10/1/15	570,625
		CCH II LLC/CCH II Capital Corp., Senior Notes:
480,000		10.250% due 9/15/10	501,000
65,000		10.250% due 10/1/13	69,875
90,000		Charter Communications Holdings LLC, Senior Discount Notes, 12.125% due 1/15/12	86,850
		Charter Communications Holdings LLC/Charter Communications Holdings Capital Corp., Senior Discount Notes:
25,000		9.920% due 4/1/11	23,875
105,000		11.750%due 5/15/11	102,375
700,000		Charter Communications Operating LLC, Second Lien Senior Notes, 8.375% due 4/30/14 (d)	731,500
250,000		Clear Channel Communications Inc., Senior Notes, 3.125% due 2/1/07	250,000
240,000		CMP Susquehanna Corp., Senior Subordinated Notes, 9.875% due 5/15/14 (d)	247,200
300,000		Comcast Corp., Notes, 6.500% due 1/15/17	314,556
764,000		DIRECTV Holdings LLC/DIRECTV Financing Co. Inc., Senior Notes, 8.375% due 3/15/13	803,155
65,000		ION Media Networks Inc., Senior Secured Notes, 11.610% due 1/15/13 (c)(d)	67,925
230,000		Lamar Media Corp., Senior Subordinated Notes, 6.625% due 8/15/15	227,700
300,000		Primedia Inc., Senior Notes, 8.875% due 5/15/11	307,500
		R.H. Donnelley Corp.:
		Senior Discount Notes:
355,000		Series A-1, 6.875% due 1/15/13	341,688
300,000		Series A-2, 6.875% due 1/15/13	288,750
450,000		Senior Notes, Series A-3, 8.875% due 1/15/16	473,625
		Rainbow National Services LLC:
100,000		Senior Notes, 8.750% due 9/1/12 (d)	107,000
50,000		Senior Subordinated Debentures, 10.375% due 9/1/14 (d)	56,500
420,000		Time Warner Inc., 6.875% due 5/1/12	444,502
		Total Media	7,798,491
Metals & Mining — 0.2%
420,000		Metals USA Holdings Corp., Senior Notes, 11.365% due 1/15/12 (c)(d)(f)	412,650
435,000		Metals USA Inc., Senior Secured Notes, 11.125% due 12/1/15	482,306
100,000		RathGibson Inc., Senior Notes, 11.250% due 2/15/14	106,500
135,000		Tube City IMS Corp., Senior Subordinated Notes, 9.750% due 2/1/15 (d)	139,050

See Notes to Schedule of Investments.

LMP Capital and Income Fund Inc.

Schedule of Investments (unaudited) (continued)

January 31, 2007

Face Amount		Security†	Value
Metals & Mining — 0.2% (continued)
$	150,000	Vale Overseas Ltd., Notes, 6.875% due 11/21/36	$	153,039
		Total Metals & Mining	1,293,545
Multi-Utilities — 0.0%
125,000		Keyspan Gas East Corp., Medium-Term Notes, 6.900% due 1/15/08	126,591
Multiline Retail — 0.1%
		Neiman Marcus Group Inc.:
170,000		Senior Notes, 9.000% due 10/15/15 (f)	187,000
535,000		Senior Subordinated Notes, 10.375% due 10/15/15	600,538
		Total Multiline Retail	787,538
Office Electronics — 0.0%
290,000		Xerox Corp., Senior Notes, 6.750% due 2/1/17	298,700
Oil, Gas & Consumable Fuels — 0.9%
60,000		Anadarko Petroleum Corp., Senior Notes, 5.950% due 9/15/16	59,585
440,000		Belden & Blake Corp., Secured Notes, 8.750% due 7/15/12	451,000
		Chesapeake Energy Corp., Senior Notes:
775,000		6.375% due 6/15/15	755,625
425,000		6.500% due 8/15/17	408,000
85,000		Compagnie Generale de Geophysique SA, Senior Notes, 7.500% due 5/15/15	85,638
		El Paso Corp., Medium-Term Notes:
180,000		7.800% due 8/1/31	193,050
1,050,000		7.750% due 1/15/32	1,126,125
500,000		EXCO Resources Inc., Senior Notes, 7.250% due 1/15/11	510,000
325,000		Holly Energy Partners, L.P., Senior Notes, 6.250% due 3/1/15	307,937
260,000		International Coal Group Inc., Senior Notes, 10.250% due 7/15/14	257,400
		Kerr-McGee Corp.:
140,000		6.950% due 7/1/24	147,774
300,000		Secured Notes, 6.875% due 9/15/11	315,394
605,000		OPTI Canada Inc., Senior Secured Notes, 8.250% due 12/15/14 (d)	635,250
240,000		Petrohawk Energy Corp., Senior Notes, 9.125% due 7/15/13	249,600
310,000		Pogo Producing Co., Senior Subordinated Notes, 7.875% due 5/1/13	313,875
290,000		SemGroup LP, Senior Notes, 8.750% due 11/15/15 (d)	292,175
170,000		Stone Energy Corp., Senior Subordinated Notes, 8.250% due 12/15/11	167,025
		Williams Cos. Inc.:
100,000		Notes, 8.750% due 3/15/32	114,250
470,000		Senior Notes, 7.750% due 6/15/31	495,850
170,000		XTO Energy Inc., Senior Notes, 7.500% due 4/15/12	184,198
		Total Oil, Gas & Consumable Fuels	7,069,751
Paper & Forest Products — 0.2%
545,000		Appleton Papers Inc., Senior Subordinated Notes, Series B, 9.750% due 6/15/14	569,525
		NewPage Corp.:
		Senior Secured Notes:
290,000		10.000% due 5/1/12	317,550
435,000		11.621% due 5/1/12 (c)	478,500
200,000		Senior Subordinated Notes, 12.000% due 5/1/13	219,000
115,000		Verso Paper Holdings LLC, Senior Secured Notes, 9.125% due 8/1/14 (d)	121,325
150,000		Weyerhaeuser Co., Notes, 6.750% due 3/15/12	157,766
		Total Paper & Forest Products	1,863,666
Pharmaceuticals — 0.1%
425,000		Leiner Health Products Inc., Senior Subordinated Notes, 11.000% due 6/1/12	444,125

See Notes to Schedule of Investments.

LMP Capital and Income Fund Inc.

Schedule of Investments (unaudited) (continued)

January 31, 2007

Face Amount		Security†	Value
Real Estate Investment Trusts (REITs) — 0.1%
$	15,000	Forest City Enterprises Inc., Senior Notes, 7.625% due 6/1/15	$	15,488
75,000		iStar Financial Inc., Senior Notes, Series B, 4.875% due 1/15/09	74,064
50,000		Simon Property Group LP, Notes, 6.375% due 11/15/07	50,327
85,000		Ventas Realty LP/Ventas Capital Corp., Senior Notes, 6.500% due 6/1/16	85,425
200,000		Vornado Realty LP, Senior Notes, 5.625% due 6/15/07	199,884
		Total Real Estate Investment Trusts (REITs)	425,188
Real Estate Management & Development — 0.0%
50,000		Ashton Woods USA LLC/Ashton Woods Finance Co., Senior Subordinated Notes, 9.500% due 10/1/15	48,250
Road & Rail — 0.2%
75,000		Burlington Northern Santa Fe Corp., Notes, 7.875% due 4/15/07	75,327
1,005,000		Hertz Corp., 10.500% due 1/1/16	1,135,650
50,000		Kansas City Southern de Mexico, Senior Notes, 7.625% due 12/1/13 (d)	50,250
430,000		Kansas City Southern Railway, Senior Notes, 7.500% due 6/15/09	438,062
		Total Road & Rail	1,699,289
Semiconductors & Semiconductor Equipment — 0.1%
765,000		Freescale Semiconductor Inc., Senior Notes, 8.875% due 12/15/14 (d)	765,000
Software — 0.1%
393,922		UGS Capital Corp. II, Senior Notes, 10.348% due 6/1/11 (c)(d)(f)	403,770
Specialty Retail — 0.1%
235,000		Blockbuster Inc., Senior Subordinated Notes, 9.000% due 9/1/12	235,587
165,000		Eye Care Centers of America, Senior Subordinated Notes, 10.750% due 2/15/15	183,769
100,000		Linens ‘n Things Inc., Senior Secured Notes, 10.985% due 1/15/14 (c)	97,500
		Total Specialty Retail	516,856
Textiles, Apparel & Luxury Goods — 0.2%
950,000		Levi Strauss & Co., Senior Notes, 9.750% due 1/15/15	1,030,750
300,000		Oxford Industries Inc., Senior Notes, 8.875% due 6/1/11	312,000
		Total Textiles, Apparel & Luxury Goods	1,342,750
Tobacco — 0.0%
70,000		Alliance One International Inc., Senior Notes, 11.000% due 5/15/12	75,950
75,000		Altria Group Inc., Notes, 7.200% due 2/1/07	75,000
		Total Tobacco	150,950
Trading Companies & Distributors (d) — 0.1%
355,000		Ashtead Capital Inc., Notes, 9.000% due 8/15/16	381,625
390,000		Penhall International Corp., Senior Secured Notes, 12.000% due 8/1/14	428,025
		Total Trading Companies & Distributors	809,650
Wireless Telecommunication Services — 0.3%
625,000		Rogers Wireless Inc., Secured Notes, 7.500% due 3/15/15	675,000
		Rural Cellular Corp.:
110,000		Secured Notes, 8.250% due 3/15/12	115,225
245,000		Senior Notes, 9.875% due 2/1/10	260,925
340,000		Sprint Capital Corp., Senior Notes, 8.375% due 3/15/12	377,693
780,000		True Move Co., Ltd., 10.750% due 12/16/13 (d)	772,200

See Notes to Schedule of Investments.

LMP Capital and Income Fund Inc.

Schedule of Investments (unaudited) (continued)

January 31, 2007

Face
Amount‡		Security†	Value
Wireless Telecommunication Services — 0.3% (continued)
$	600,000	UbiquiTel Operating Co., Senior Notes, 9.875% due 3/1/11	$	645,088
		Total Wireless Telecommunication Services	2,846,131
		TOTAL CORPORATE BONDS & NOTES
		(Cost — $82,435,997)	83,956,244
LOAN PARTICIPATION — 0.1%
1,000,000		UPC Broadband Holding B.V. Term Loan, 7.640% due 3/15/13 (Toronto Dominion) (c)(h)
		(Cost - $1,000,000)	1,005,170
MORTGAGE-BACKED SECURITIES — 6.7%
FHLMC — 4.2%
3,674,663		Federal Home Loan Mortgage Corp. (FHLMC):
		5.124% due 6/1/35 (c)	3,664,890
		Gold:
956,267		7.000% due 6/1/17	983,129
13,086,430		6.000% due 7/1/21	13,238,704
422,510		8.500% due 9/1/25	453,201
810,541		6.500% due 8/1/29	830,987
15,200,411		6.000% due 9/1/32-2/1/36	15,287,679
		TOTAL FHLMC	34,458,590
FNMA — 2.4%
		Federal National Mortgage Association (FNMA):
1,110,777		8.000% due 12/1/12	1,133,507
2,050,415		5.500% due 1/1/14-4/1/35	2,025,023
1,942,736		7.000% due 3/15/15-6/1/32	2,007,570
642,106		4.214% due 12/1/34 (c)	631,947
888,969		4.860% due 1/1/35 (c)	885,203
1,169,104		5.082% due 3/1/35 (c)	1,171,069
2,395,269		4.555% due 4/1/35 (c)	2,409,688
3,502,668		5.629% due 4/1/36 (c)	3,530,689
5,796,367		5.587% due 5/1/36 (c)	5,831,145
		TOTAL FNMA	19,625,841
GNMA — 0.1%
1,510,683		Government National Mortgage Association (GNMA), 5.500% due 8/15/21	1,509,884
		TOTAL MORTGAGE-BACKED SECURITIES
		(Cost — $55,816,884)	55,594,315
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)	2,693
U.S. GOVERNMENT & AGENCY OBLIGATIONS — 0.1%
U.S. Government Agency Obligations — 0.1%
		Federal Home Loan Bank (FHLB):
240,000		Bonds, 5.125% due 7/30/08	239,961
100,000		Global Bonds, 5.500% due 7/15/36	102,735
		Total U.S. Government Agency Obligations	342,696
U.S. Government Obligations — 0.0%
130,000		U.S. Treasury Bonds, 4.500% due 2/15/36	121,550
		TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS
		(Cost — $455,236)	464,246

See Notes to Schedule of Investments.

LMP Capital and Income Fund Inc.

Schedule of Investments (unaudited) (continued)

January 31, 2007

Face Amount		Security†	Value
U.S. TREASURY INFLATION PROTECTED SECURITIES — 0.0%
$	95,731	U.S. Treasury Notes, Inflation Indexed, 0.875% due 4/15/10 (Cost - $90,886)	$	91,053
Contracts
PURCHASED OPTIONS — 0.3%
1,820		Clear Channel Communications, Put @ $35.00, expires 4/21/07	91,000
549		S&P 500 Index, Put @ $1,400.00, expires 3/17/07	411,750
917		S&P 500 Index, Put @ $1,400.00, expires 6/16/07	1,898,190
		TOTAL PURCHASED OPTIONS (Cost — $3,086,003)	2,400,940
		TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost — $721,017,850)	758,683,122

Face Amount
SHORT-TERM INVESTMENTS — 7.7%
U.S. Government Agencies (i) — 2.5%
		Federal Home Loan Bank (FHLB), Discount Notes:
$	18,000,000	4.951% due 2/1/07	18,000,000
1,000,000		5.171% due 4/23/07	988,559
1,400,000		Federal Home Loan Mortgage Corp. (FHLMC), Discount Notes, Series RB, 5.198% due 4/17/07	1,385,168
100,000		Federal National Mortgage Association (FNMA), Discount Notes, 5.197% due 6/25/07 (k)	97,974
		Total U.S. Government Agencies (Cost — $20,471,545)	20,471,701
Repurchase Agreements — 5.2%
25,482,000		Interest in $535,536,000 joint tri-party repurchase agreement dated 1/31/07 with Deutsche Bank Securities Inc., 5.260% due 2/1/07; Proceeds at maturity - $25,485,723; (Fully collateralized by various U.S. government agency obligations, 0.000% to 14.299% due 11/25/15 to 2/25/37; Market value - $25,991,640)	25,482,000
16,986,000		Nomura Securities International Inc. repurchase agreement dated 1/31/07, 5.240% due 2/1/07; Proceeds at maturity - $16,988,472; (Fully collateralized by various U.S. government agency obligations, 3.375% to 6.000% due 12/15/08 to 4/21/26; Market value -$17,326,201)	16,986,000
		Total Repurchase Agreements (Cost — $42,468,000)	42,468,000
		TOTAL SHORT-TERM INVESTMENTS (Cost — $62,939,545)	62,939,701
		TOTAL INVESTMENTS — 100.0% (Cost — $783,957,395#)	$	821,622,823

*	Non-income producing security.
‡	Face amount denominated in U.S. dollars, unless otherwise noted.
†	All or a portion of this security is segregated pursuant to a revolving credit facility, open futures contracts and forward foreign currency contracts.
(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 January 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)	Security has no maturity date. The date shown represents the next call date.
(f)	Payment-in-kind security for which part of the income earned may be paid as additional principal.
(g)	Security is currently in default.
(h)	Participation interest was acquired through the financial institution indicated parenthetically.
(i)	Rate shown represents yield-to-maturity.

See Notes to Schedule of Investments.

LMP Capital and Income Fund Inc.

Schedule of Investments (unaudited) (continued)

January 31, 2007

(k)	All or a portion of this security is held at the broker as collateral for open futures contracts.
#	Aggregate cost for federal income tax purposes is substantially the same.

	Abbreviations used in this schedule:
	ADR - American Depositary Receipt
	ARS - Argentine Peso
	FDR - Foreign Depositary Receipt
	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 Board of Directors authorized 100 million shares of $0.001 par value common stock. The Fund seeks total return with an emphasis on income by investing primarily in a portfolio consisting of a broad 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 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 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 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) Loan Participations. The Fund may invest in loans arranged through private negotiation between one or more financial institutions. The Fund’s investment in any such loan may be in the form of a participation in or an assignment of the loan. In connection with purchasing participations, the Fund generally will have no right to enforce compliance by the borrower with the terms of the loan agreement relating to the loan, nor any rights of set-off against the borrower and the Fund may not benefit directly from any collateral supporting the loan in which it has purchased the participation.

The Fund assumes the credit risk of the borrower, the lender that is selling the participation and any other persons interpositioned between the Fund and the borrower. In the event of the insolvency of the lender selling the participation, the Fund may be treated as a general creditor of the lender and may not benefit from any set-off between the lender and the borrower.

(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. 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 fluctuation in the value of the underlying financial instruments. The Fund recognizes an unrealized gain or loss equal to the daily variation margin. When the 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 instruments. In addition, investing in financial futures contracts involves the risk that the Fund could lose more than the original 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 forward foreign currency contracts to hedge against foreign currency exchange rate risk on their non-U.S. dollar denominated securities or to facilitate settlement of foreign currency denominated portfolio transactions. A forward foreign currency contract is an agreement between two parties to buy and sell a currency at a set price on 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 extinguished, 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 extinguished.

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 transactions. Securities purchased on a TBA basis are not settled until they are delivered to the Fund, normally 15 to 45 days later. 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 transactions are subject to market fluctuations and their current value is determined in the same manner as for other securities.

(g) Mortgage Dollar Rolls. The Fund enters into mortgage dollar rolls in which the Fund sells mortgage-backed securities for delivery in the current month and simultaneously contracts to repurchase substantially similar (same type, coupon and maturity) securities to settle on a specified future date. During the roll period, the Fund forgoes principal and interest paid on the securities. The Fund is compensated by a fee paid by the counterparty, often in the form of a drop in the repurchase price of the securities. Mortgage dollar rolls are accounted for as financing arrangements; the fee is accrued into interest income ratably over the term of the mortgage dollar roll and any gain or loss on the roll is deferred and realized upon disposition of the rolled security.

The risk of entering into a mortgage dollar roll is that the market value of the securities the Fund is obligated to repurchase under the agreement may decline below the repurchase price. In the event the buyer of securities under a mortgage dollar roll files for bankruptcy or becomes insolvent, the Fund’s use of proceeds of the mortgage dollar roll may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce the Fund’s obligation to repurchase the securities.

(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 involve 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.

2. Investments

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

Gross unrealized appreciation	$	43,720,070
Gross unrealized depreciation	(6,054,642		)
Net unrealized appreciation	$	37,665,428

At January 31, 2007, the Fund held a loan participation with a total cost of $1,000,000 and a total market value of $1,005,170.

At January 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:
U.S. Treasury 2 Year Notes	72	3/07	$	14,728,735	$	14,658,750	$	(69,985	)
U.S. Treasury 5 Year Notes	47	3/07	4,916,141		4,912,969		(3,172		)
							(73,157		)

Contracts to Sell:
U.S. Treasury 10 Year Notes	66	3/07	$	7,132,318	$	7,045,500	$	86,818
Net Unrealized Gain on Open Futures Contracts							$	13,661

At January 31, 2007, the Fund had the following open forward foreign currency contracts as described below:

Foreign Currency	Local Currency	Market Value		Settlement Date	Unrealized Gain (Loss)
Contracts to Buy:
Japanese Yen	72,660,000	$	600,918	2/7/07	$	(25,461	)
Japanese Yen	72,660,000	608,267		5/9/07	2,767
					$	(22,694)
Contracts to Sell:
Japanese Yen	72,660,000	$	600,918	2/7/07	$	(2,746	)
Net Unrealized Loss on Open Forward Foreign Currency Contracts					$	(25,440	)

3. Loan

At January 31, 2007, the Fund had a $170,000,000 loan outstanding pursuant to a revolving credit and security agreement among the Fund, CHARTA, LLC and Citibank N.A. The loan generally bears interest at a variable rate based on the weighted average interest rates of the underlying commercial paper or LIBOR plus any applicable margin. Securities held by the Fund are subject to a lien, granted to the lenders, to the extent of the borrowings outstanding and any additional expenses.

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: March 29, 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: March 29, 2007

By	/s/ Frances M. Guggino
Frances Guggino
Chief Financial Officer


Date: March 29, 2007