UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES

ITEM 1.     REPORT TO STOCKHOLDERS.

The Annual Report to Stockholders is filed herewith.

Annual Report

LMP Capital and Income Fund Inc.
(SCD)

Fund objective

The Fund’s investment objective is total return with an emphasis on income.

What’s inside

Dear Shareholder,

In mid-November 2011, it was announced that the fiscal year-end of the Fund changed from December 31 to November 30. As a result of this change, shareholders are being provided with a short period audited annual report for the eleven-month period from January 1, 2011 through November 30, 2011. Please read on for a detailed look at the prevailing economic and market conditions during the Fund’s abbreviated reporting period and to learn how those conditions have affected Fund performance.

As always, we remain committed to providing you with excellent service and a full spectrum of investment choices. We also remain committed to supplementing the support you receive from your financial advisor. One way we accomplish this is through our website, www.leggmason.com/cef. Here you can gain immediate access to market and investment information, including:

·                  Fund prices and performance,

·                  Market insights and commentaries from our portfolio managers, and

·                  A host of educational resources.

Special shareholder notice

In March 2011, the Fund’s Board of Directors approved a tender offer for up to 30% of the Fund’s outstanding shares of common stock. In addition, upon the prior occurrence of certain events, as set forth below as well as certain other terms and conditions, the Fund’s Board of Directors approved three quarterly conditional tender offers of up to 5% of the outstanding shares of common stock. All tender offers will be conducted at a price equal to at least 98% of the Fund’s net asset value (“NAV”)i per share on the dates the tender offers expire.

The Fund’s three tender offers are conditioned on the failure to meet certain threshold requirements related to the discount at which the Fund’s shares trade from their NAV during a thirty-calendar day measuring period (“measuring period”). If the Fund’s shares have traded at a market price that represents an average daily discount from NAV of more than 5%, the Fund will commence a

tender offer on the first day of the month following the end of the measuring period for up to 5% of outstanding common stock at a price equal to at least 98% of the Fund’s NAV on the date each of these three respective tender offers expires.

The measuring periods for the three conditional tenders are July 20th to August 19, 2011, October 19th to November 18, 2011 and January 19th to February 18, 2012, respectively. The average of the Fund’s daily premium or discount to NAV for each trading day in the applicable measuring period will be the percentage difference between the NAV and the volume-weighted average price (“VWAP”) of the Fund on each trading day during such measuring period. If the Fund’s market price is discounted to its NAV by 5% or less during the measuring period, the Fund will not commence a tender offer during that quarter or in any subsequent quarters.

The Fund commenced its initial tender offer of up to 30% of the Fund’s common stock, equivalent to up to 8,989,232 shares of its issued and outstanding shares of common stock, on June 1, 2011. The offer expired at 5:00 p.m., New York time, on June 30, 2011. On July 7, 2011, the Fund announced that it had accepted 8,989,232 shares for payment at $14.15 per share. These shares represented approximately 30% of the Fund’s outstanding shares.

The Fund commenced its first conditional tender offer on September 1, 2011, as the Fund’s shares had traded at a market price that represents an average daily discount from NAV of more than 5% during the July 20th to August 19th measuring period. The Fund’s tender offer for up to 1,048,744 shares of its issued and outstanding shares of common stock, representing approximately 5% of the Fund’s outstanding shares, expired on September 30, 2011, at 5:00 p.m., New York time.

As more than 1,048,744 shares were properly tendered, making the offer oversubscribed, the Fund purchased shares from tendering stockholders on a pro-rata basis (disregarding fractional shares), in accordance with the terms and conditions specified in the Offer to Purchase. Accordingly, on a pro rata basis, 14.455% of shares for each stockholder who properly tendered shares were accepted for payment at $12.22 per share. The Fund transmitted payment to purchase the duly tendered and accepted shares on October 7, 2011.

On November 21, 2011, the Fund announced that a second conditional tender offer would commence on November 30, 2011, and would expire at 5:00 p.m., New York time on December 28, 2011, unless the offer was extended. The Fund offered to purchase up to 5% of the Fund’s common stock, equivalent to up to 996,307 shares of its issued and outstanding shares of common stock, at a price equal to 98% of the Fund’s NAV on the day on which the tender offer expires.

A total of 5,893,339 shares were properly tendered, making the offer oversubscribed. Accordingly, on a pro rata basis, 16.91% of shares for each stockholder who properly tendered shares were accepted for payment. Payment for such shares was made on January 4, 2012. The purchase price of properly tendered shares is $13.07 per share, equal to 98% of the per share NAV of $13.33 as of the close of the regular trading session of the New York Stock Exchange on December 28, 2011.

Letter from the chairman (cont’d)

Further information about any subsequent tender offers will be announced by press release. The tender offers will be made and shareholders will be notified in accordance with the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, either by publication or mailing or both.

This notice is not an offer to purchase or a solicitation of an offer to buy shares of the Fund. The tender offers will be made only by an Offer to Purchase and the related Letter of Transmittal. As soon as each tender offer commences, the Fund will file a tender offer statement with the Securities and Exchange Commission (“SEC”). When available, shareholders of the Fund should read these documents because they contain important information. Shareholders may obtain free of charge, when available, the Offer to Purchase and Letter of Transmittal from the web site of the SEC (www.sec.gov). The Fund will also make available to its shareholders, without charge, the Offer to Purchase and Letter of Transmittal. The offer is not being made to, nor will tenders be accepted from or on behalf of, holders of shares in any jurisdiction in which making or accepting the offer would violate that jurisdiction’s laws.

We look forward to helping you meet your financial goals.

Sincerely,

R. Jay Gerken, CFA

Chairman, President and Chief Executive Officer

January 4, 2012

i                     Net asset value (“NAV”) is calculated by subtracting total liabilities and outstanding preferred stock (if any) from the closing value of all securities held by the Fund (plus all other assets) and dividing the result (total net assets) by the total number of the common shares outstanding. The NAV fluctuates with changes in the market prices of securities in which the Fund has invested. However, the price at which an investor may buy or sell shares of the Fund is the Fund’s market price as determined by supply of and demand for the Fund’s shares.

Investment commentary

Economic review

Although the U.S. economy continued to grow over the eleven months ended November 30, 2011, the pace of the expansion was generally disappointing. U.S. gross domestic product (“GDP”)i growth, as reported by the U.S. Department of Commerce, has been less robust than during most other periods exiting a severe recession. GDP growth was 2.3% during the fourth quarter of 2010 and 3.0% for calendar 2010 as a whole. The Commerce Department then reported that first and second quarter 2011 GDP growth were 0.4% and 1.3%, respectively. This moderation in growth during the first half of the calendar year was due to a variety of factors, including less robust export activity and a deceleration in consumer spending given higher oil and food prices. Third quarter GDP growth then rose to 1.8%. Improving growth was attributed, in part, to higher consumer spending, which grew 1.7% in the third quarter, versus a modest 0.7% gain in the second quarter.

Two factors holding back the economy have been the weak job market and continued strains in the housing market. While there was some improvement in early 2011 and late in the reporting period, unemployment remained elevated. After dipping below 9.0% in February and March 2011 (to 8.9% and 8.8%, respectively), unemployment, as reported by the U.S. Department of Labor, moved back to 9.0% in April. Unemployment stayed above 9.0% over the next five months before falling to 9.0% in October. Unemployment then fell to 8.6% in November, its lowest rate since March 2009.

The housing market continued to experience challenges. Looking back, existing-home sales moved somewhat higher toward the end of 2010 and in January 2011, according to the National Association of Realtors (“NAR”). Existing-home sales then declined during five of the next ten months. Existing-home prices were weak versus a year ago, with the NAR reporting that the median existing-home price for all housing types was $164,200 in November 2011, down 3.5% from November 2010.

While the manufacturing sector continued to expand, it experienced a soft patch during a portion of the reporting period. Based on the Institute for Supply Management’s PMI (“PMI”)ii, in February 2011, the manufacturing sector expanded at its fastest pace since May 2004, with a reading of 61.4 (a reading below 50 indicates a contraction, whereas a reading above 50 indicates an expansion). The PMI then generally moderated over the next several months and was 50.6 in August 2011, its lowest reading in two years. However, the manufacturing sector gained some momentum late in the period and ended November at 52.7.

The Federal Reserve Board (“Fed”)iii took a number of actions as it sought to meet its dual mandate of fostering maximum employment and price stability. As has been the case since December 2008, the Fed kept the federal funds rateiv at a historically low range between zero and 0.25%. In addition, in August 2011, the Fed declared its intention to keep the federal funds rate on hold until mid-2013. In September 2011, the Fed announced its intention to purchase $400 billion of longer-term Treasury securities and to sell an equal amount of shorter-term Treasury securities by June 2012 (often referred to as “Operation Twist”). Finally, at its

Investment commentary (cont’d)

meeting in December (after the reporting period ended), the Fed potentially opened the door to another round of quantitative easing in 2012, saying it is “prepared to employ its tools to promote a stronger economic recovery in a context of price stability.”

As always, thank you for your confidence in our stewardship of your assets.

Sincerely,

R. Jay Gerken, CFA

Chairman, President and Chief Executive Officer

December 30, 2011

All investments are subject to risk including the possible loss of principal. Past performance is no guarantee of future results.

i                     Gross domestic product (“GDP”) is the market value of all final goods and services produced within a country in a given period of time.

ii                  The Institute for Supply Management’s PMI is based on a survey of purchasing executives who buy the raw materials for manufacturing at more than 350 companies. It offers an early reading on the health of the manufacturing sector.

iii               The Federal Reserve Board (“Fed”) is responsible for the formulation of policies designed to promote economic growth, full employment, stable prices and a sustainable pattern of international trade and payments.

iv                The federal funds rate is the rate charged by one depository institution on an overnight sale of immediately available funds (balances at the Federal Reserve) to another depository institution; the rate may vary from depository institution to depository institution and from day to day.

Fund overview

Q. What is the Fund’s investment strategy?

A. The Fund’s investment objective is total return with an emphasis on income. The Fund invests in a broad range of equity and fixed-income securities of both U.S. and foreign issuers, including up to 25% of its total assets in energy master limited partnerships (“MLPs”). The Fund will vary its allocation between equity and fixed-income securities depending on the investment manager’s view of economic, market or political conditions, fiscal and monetary policy and security valuation. Depending on the investment manager’s view of these factors, which may vary from time to time, the investment manager may allocate substantially all of the investments in the portfolio to equity securities or fixed-income securities.

The Fund’s investment manager applies a rigorous, “bottom-up” research process to identify companies with strong fundamentals, skilled and committed management teams and a clear market advantage. Through patient management, the Fund seeks to capture earnings growth from companies offering new or innovative technologies, products and services.

Peter Vanderlee, CFA of ClearBridge Advisors, LLC (“ClearBridge”), one of the Fund’s subadvisers, oversees the Fund’s allocation between equity and fixed-income securities, as well as the Fund’s equity investments in general, with a focus on dividend-paying securities. The ClearBridge portfolio management team also includes Mark McAllister, CFA, Tim Daubenspeck and Tatiana Thibodeau, who are focused on their respective areas of expertise: Mr. McAllister on real estate investment trusts (“REITs”)i, Mr. Daubenspeck on telecommunications, and Ms. Thibodeau on utilities. They manage the equity side of the Fund with a “bottom-up” approach focused on the risk and reward of each investment opportunity. A portfolio management team at Western Asset Management Company (“Western Asset”) manages the fixed-income portion of the Fund. The fixed-income portfolio management team includes portfolio managers Stephen A. Walsh, Keith J. Gardner, Mark Lindbloom, Michael C. Buchanan and Ryan Brist. Their focus is on portfolio structure, including sector allocation, durationii weighting and term-structure decisions. Effective May 1, 2011, S. Kenneth Leech no longer serves as a portfolio manager for this Fund. While Mr. Leech continues to help shape Western Asset’s overall investment strategy, his day-to-day role is becoming more concentrated on global portfolios. To reflect this global focus, he will continue to serve as a portfolio manager of the global funds, but not of the non-global funds.

Q. What were the overall market conditions during the Fund’s reporting period?

A. Despite a poor macroeconomic background, including weak growth indications, high unemployment numbers and a depressed housing market, the domestic stock market managed to make fairly steady gains during the early part of the reporting period. A series of negative headline events, including the March earthquake and tsunami in Japan, quickly erased most of the gains for the period, but the market then recovered rapidly and went on to set new highs for the year in May. Elevated levels of stock market volatility continued into summer as the market weakened and tested the lows of March in June due primarily to concerns about the federal debt ceiling,

Fund overview (cont’d)

before changing course yet again and revisiting the highs of the spring once it became clear a deal would be reached and a government shutdown would be averted.

However, in early August, fears of the widening European sovereign debt crisis and the downgrading of the U.S.’s credit rating by Standard & Poor’s triggered a significant stock market decline. The market officially “corrected” in August, losing more than 10% in the first week and falling almost 5% on one day alone — Thursday, August 4th — marking the largest one-day decline since 2008. This sharp move downwards was followed by a prolonged period of high volatility and increased asset class correlation.

Notwithstanding the sovereign debt crisis that had engulfed much of the Eurozone, led by the turmoil in Greece, the domestic U.S. market managed to generate one of the best October performances on record, with most major domestic stock indices producing double-digit returns for the month. Positive corporate quarterly earnings news and weak (but still positive) domestic economic growth data helped fuel gains across all sectors. Following October’s remarkably strong performance, November’s equity market endured two weeks of disappointing economic news that drove most domestic stock indices down significantly. Ending the reporting period on the upswing, the final week of November saw a sharp rally fueled by improving economic data and, in particular, news of a coordinated action from the Federal Reserve Board (“Fed”)iii and several other central banks designed to aid bank liquidity. On the final day of the reporting period, November 30th, the rally produced the biggest one-day gain in the Dow Jones Industrial Averageiv — 4.2% — since March of 2009, and helped most major stock indices recover almost all of the month’s earlier losses.

Both short- and long-term Treasury yields fluctuated but, overall, moved lower during the reporting period. When the period began, two- and ten-year Treasury yields were 0.61% and 3.30%, respectively. Yields initially moved higher given expectations for stronger growth in 2011 and the potential for rising inflation. Two- and ten-year Treasury yields peaked at 0.87% and 3.75%, respectively, in February 2011. Yields then declined during much of the next seven months due to disappointing economic data and several flights to quality. Two-year Treasuries hit their low for the reporting period of 0.16% on September 19, 2011. Ten-year Treasuries reached their reporting period trough of 1.72% on September 22, 2011. Yields then moved higher in October as investor risk appetite increased. Two-year Treasury yields again moved higher in November, whereas ten-year Treasury yields declined during the month. When the reporting period ended on November 30, 2011, two-year Treasury yields were 0.25% and ten-year Treasury yields were 2.08%. All told, the Barclays Capital U.S. Aggregate Indexv returned 6.67% during the reporting period.

Q. How did we respond to these changing market conditions?

A. On the equity side of the Fund, we seek out companies with sound or improving balance sheets that demonstrate leadership in their industry. We also focus on companies that generate ample free cash flow and which exhibit a strong dividend profile. Against a backdrop where, during the reporting

period, investment grade bonds did not offer what we consider to be an attractive yield, as exemplified by the low yield on the ten-year Treasury of approximately 2%, we felt equities could provide a better avenue to capture income and growth potential. As such, we heavily tilted the portfolio to equity securities, in particular those that provide a high and sustainable current income stream. The case for equities over bonds was further underscored by observing that many stocks offered dividends that exceeded the yields on their bonds and notes, a situation that is a rare occurrence since the 1950s.

Since the change in the Fund’s portfolio management team on May 20, 2011, we have continued to reposition the Fund’s portfolio to capitalize on income opportunities that we believe are best suited for our shareholders. Over the course of the period, the bulk of the Fund’s portfolio was allocated to equities, with less than 1% allocated to mortgage-backed securities (“MBS”) or to other asset-backed securities, and under 5% in cash and other securities. We believe that the Fund’s positioning offers our shareholders an attractive current yield combined with the potential for distribution growth and capital appreciation over time.

The Fund has a managed distribution policy and pays a quarterly distribution of $0.28 per share. As of the close of the period, we remain comfortable with our ability to sustain the Fund’s distribution rate.

Regarding the Fund’s exposure to the Utilities sector, our holdings largely had regulated returns, low earnings volatility and a relatively attractive dividend yield. Within the Utilities sector, we have been focusing on what we feel are quality names that offer an attractive dividend yield and where we feel the dividend is sustainable and could grow over time. The Fund’s meaningful Telecommunication Services (“Telecom”) weighting is due to the sector’s attractive dividend yield profile, as well as our belief that the sector’s yields are very sustainable.

Given the previously discussed changes to the Fund’s investment strategy, we began to reduce its fixed-income exposure in March 2011. By the end of the reporting period, the fixed-income portion of the Fund represented approximately 1% of its total assets. The fixed-income portion of the portfolio used U.S. Treasury futures and options to manage our duration and yield curvevi exposure. The use of these instruments detracted from performance. Fannie Mae mortgage-related swaps were used to take advantage of slow prepayment speeds, Euriborvii options were used to manage our exposure to the short end of the euro curve and index credit default swaps were used to manage our commercial mortgage-backed security exposure. In all three cases, the use of these instruments did not meaningfully impact the Fund’s performance.

Performance review

For the eleven-month period from January 1, 2011 through November 30, 2011, LMP Capital and Income Fund Inc. returned 1.84% based on its net asset value (“NAV”)viii and 2.80% based on its New York Stock Exchange (“NYSE”) market price per share. The Fund’s unmanaged benchmarks, the Barclays Capital U.S. Aggregate Index and the S&P 500 Indexix, returned 6.67% and 1.08%, respectively. The Lipper Income and Preferred Stock Closed-End Funds Category Averagex returned 4.13% over the same time frame. Please note that

Fund overview (cont’d)

Lipper performance returns are based on each fund’s NAV.

During the period, the Fund made distributions to shareholders totaling $0.58 per share. The performance table shows the Fund’s eleven-month total return based on its NAV and market price as of November 30, 2011. Past performance is no guarantee of future results.

Performance Snapshot

as of November 30, 2011 (unaudited)

All figures represent past performance and are not a guarantee of future results. Performance figures for periods shorter than one year represent cumulative figures and are not annualized.

Q. What were the leading contributors to performance?

A. With respect to the equity portion of the portfolio, on an absolute basis the Fund had positive returns in seven out of ten economic sectors during the reporting period, with the greatest contributions to returns coming from the Utilities, Health Care and Information Technology (“IT”) sectors.

Relative to the S&P 500 Index, the Fund’s overall stock selection contributed to performance for the period, specifically in the IT, Financials, Health Care, Industrials and Materials sectors. As for sector allocation, the Fund’s overweight to the Utilities sector and its underweights to the Industrials, Energy and Materials sectors also contributed to relative performance.

In terms of individual Fund holdings, leading contributors to performance for the period included positions in Seagate Technology Inc. in the IT sector, Bristol-Myers Squibb Co. in the Health Care sector, CenterPoint Energy Inc. in the Utilities sector, El Paso Corp. in the Energy sector, and Kimberly-Clark Corp. in the Consumer Staples sector.

In the fixed-income portion of the Fund, relative to the Barclays Capital U.S. Aggregate Index, the largest contributor to performance was our out-of-benchmark exposure to the high-yield sector. Individual overweight positions in Charter Communications Inc., Inn of the Mountain Gods and Appleton Paper Inc. were the best performers. An overweight to agency MBS was beneficial given their outperformance versus the Barclays Capital U.S. Aggregate Index. An overweight exposure to investment grade corporate bonds was rewarded. In particular, our overweights in Wells Fargo Capital, Merrill Lynch & Co. and Williams Companies boosted the Fund’s results.

Q. What were the leading detractors from performance?

A. With respect to the equity portion of the portfolio, on an absolute basis the Fund had negative returns in three out of ten economic sectors during the reporting period, but only the Financials and Telecom sectors significantly detracted from performance. Relative to the benchmark, the Fund’s overall sector allocation detracted from performance for the period. In particular, an overweight to the Financials sector

and underweights to the IT, Consumer Discretionary, Consumer Staples and Health Care sectors detracted from relative performance for the period. Stock selection in the Energy and Telecom sectors also hurt relative performance for the period.

In terms of individual Fund holdings, leading detractors from performance for the period included positions in First Niagara Financial Group Inc., Chimera Investment Corp. and New York Community Bancorp Inc. in the Financials sector, as well as Frontier Communications Corp. and France Telecom ADR, both in the Telecom sector.

In the fixed-income portion of the portfolio, the only detractor from relative performance for the period was the Fund’s overweight to non-agency MBS, as they lagged the Barclays Capital U.S. Aggregate Index.

Q. Were there any significant changes to the Fund during the reporting period?

A. In addition to the broader changes made to the Fund that were announced via press release over the course of the reporting period (altering the Fund’s investment policy and fiscal year, repositioning its equity assets to include a broader range of higher-yielding securities, and changing the portfolio management team), there were a number of specific changes made to the equity portion of the portfolio over the course of the reporting period. Approximately three-fourths of the portfolio’s equity positions were either closed or opened during the course of the period.

Among the largest additions to the Fund’s portfolio were new positions in Vodafone Group PLC ADR, France Telecom ADR and CenturyLink Inc., all in the Telecom sector, Integrys Energy Group Inc., UIL Holdings Corp. and PPL Corp., all in the Utilities sector, Hatteras Financial Corp. and Health Care REIT Inc. in the Financials sector, SandRidge Permian Trust in the Energy sector, and TAL International Group Inc. in the Industrials sector.

Some of the largest existing holdings that were sold over the course of the period were positions in Spectra Energy Corp. in the Energy sector, H.J. Heinz Co., Procter & Gamble Co. and CVS Caremark Corp. in the Consumer Staples sector, Johnson & Johnson in the Health Care sector, CenterPoint Energy Inc. in the Utilities sector, El Paso Corp. in the Energy sector, McDonald’s Corp. in the Consumer Discretionary sector, as well as General Electric Co. in the Industrials sector and Travelers Cos. Inc. in the Financials sector.

Looking for additional information?

The Fund is traded under the symbol “SCD” and its closing market price is available in most newspapers under the NYSE listings. The daily NAV is available on-line under the symbol “XSCDX” on most financial websites. Barron’s and the Wall Street Journal’s Monday edition both carry closed-end fund tables that provide additional information. In addition, the Fund issues a quarterly press release that can be found on most major financial websites as well as www.leggmason.com/cef.

In a continuing effort to provide information concerning the Fund, shareholders may call 1-888-777-0102 (toll free), Monday through Friday from 8:00 a.m. to 5:30 p.m. Eastern Time, for the Fund’s current NAV, market price and other information.

Thank you for your investment in LMP Capital and Income Fund Inc. As always, we appreciate that you have

Fund overview (cont’d)

chosen us to manage your assets and we remain focused on achieving the Fund’s investment goals.

Sincerely,

Tim Daubenspeck

Portfolio Manager
ClearBridge Advisors, LLC

Mark McAllister

Portfolio Manager
ClearBridge Advisors, LLC

Tatiana Thibodeau

Portfolio Manager
ClearBridge Advisors, LLC

Peter Vanderlee, CFA

Portfolio Manager
ClearBridge Advisors, LLC

Western Asset Management Company

(Fixed-Income Portion)

December 20, 2011

RISKS: Stock and bond prices are subject to fluctuation. As interest rates rise, bond prices fall, reducing the value of the fixed-income securities held by the Fund. Investing in foreign securities is subject to certain risks not associated with domestic investing, such as currency fluctuations and changes in political and economic conditions. These risks are magnified in emerging or developing markets. High-yield bonds involve greater credit and liquidity risks than investment grade bonds. The repositioning of the Fund’s portfolio may increase a shareholder’s risk of loss associated with an investment in the Fund’s shares. The Fund may use derivatives, such as options and futures, which can be illiquid, may disproportionately increase losses, and have a potentially large impact on Fund performance. Leverage may magnify gains and increase losses in the Fund’s portfolio.

Portfolio holdings and breakdowns are as of November 30, 2011 and are subject to change and may not be representative of the portfolio managers’ current or future investments. The Fund’s top ten holdings (as a percentage of total investments) as of this date were: Vodafone Group PLC, ADR (4.8%), Total SA, ADR (4.4%), Integrys Energy Group Inc. (3.8%), NextEra Energy Inc. (3.6%), Annaly Capital Management Inc. (3.6%), France Telecom SA, ADR (3.5%), CenturyLink Inc. (3.3%), AT&T Inc. (3.2%), New York Community Bancorp Inc. (2.9%) and Great Plains Energy Inc. (2.9%). Please refer to pages 9 through 14 for a list and percentage breakdown of the Fund’s holdings.

The mention of sector breakdowns is for informational purposes only and should not be construed as a recommendation to purchase or sell any securities. The information provided regarding such sectors is not a sufficient basis upon which to make an investment decision. Investors seeking financial advice regarding the appropriateness of investing in any securities or investment strategies discussed should consult their financial professional. The Fund’s top five sector holdings (as a percentage of total investments) as of November 30, 2011 were: Financials (36.2%), Telecommunication Services (20.7%), Utilities (17.8%), Energy (9.4%) and Health Care (4.7%). The Fund’s portfolio composition is subject to change at any time.

All investments are subject to risk including the possible loss of principal. Past performance is no guarantee of future results. All index performance reflects no deduction for fees, expenses or taxes. Please note that an investor cannot invest directly in an index.

The information provided is not intended to be a forecast of future events, a guarantee of future results or investment advice. Views expressed may differ from those of the firm as a whole.

i                     Real estate investment trusts (“REITs”) invest in real estate or loans secured by real estate and issue shares in such investments, which can be illiquid.

ii                  Duration is the measure of the price sensitivity of a fixed-income security to an interest rate change of 100 basis points. Calculation is based on the weighted average of the present values for all cash flows.

iii               The Federal Reserve Board (“Fed”) is responsible for the formulation of policies designed to promote economic growth, full employment, stable prices and a sustainable pattern of international trade and payments.

iv                The Dow Jones Industrial Average is a widely followed measurement of the stock market. The average is comprised of thirty stocks that represent leading companies in major industries. These stocks, widely held by both individual and institutional investors, are considered to be all blue-chip companies.

v                   The Barclays Capital U.S. Aggregate Index is a broad-based bond index comprised of government, corporate, mortgage- and asset-backed issues, rated investment grade or higher, and having at least one year to maturity.

vi                The yield curve is the graphical depiction of the relationship between the yield on bonds of the same credit quality but different maturities.

vii             The Euro Interbank Offered Rate (“Euribor”) is the benchmark rate at which euro interbank term deposits within the Eurozone are offered by one prime bank to another prime bank.

viii          Net asset value (“NAV”) is calculated by subtracting total liabilities and outstanding preferred stock (if any) from the closing value of all securities held by the Fund (plus all other assets) and dividing the result (total investments) by the total number of the common shares outstanding. The NAV fluctuates with changes in the market prices of securities in which the Fund has invested. However, the price at which an investor may buy or sell shares of the Fund is the Fund’s market price as determined by supply of and demand for the Fund’s shares.

ix                 The S&P 500 Index is an unmanaged index of 500 stocks and is generally representative of the performance of larger companies in the U.S.

x                    Lipper, Inc., a wholly-owned subsidiary of Reuters, provides independent insight on global collective investments. Returns are based on the eleven-month period ended November 30, 2011, including the reinvestment of all distributions, including returns of capital, if any, calculated among the 24 funds in the Fund’s Lipper category.

Fund at a glance† (unaudited)

Investment breakdown (%) as a percent of total investments

†           The bar graph above represents the composition of the Fund’s investments as of November 30, 2011 and December 31, 2010 and does not include derivatives, such as written options, futures contracts, options on futures and swap contracts. The Fund is actively managed. As a result, the composition of the Fund’s investments is subject to change at any time.

Schedule of investments

November 30, 2011

LMP Capital and Income Fund Inc.

See Notes to Financial Statements.

Schedule of investments (cont’d)

November 30, 2011

LMP Capital and Income Fund Inc.

See Notes to Financial Statements.

LMP Capital and Income Fund Inc.

See Notes to Financial Statements.

Schedule of investments (cont’d)

November 30, 2011

LMP Capital and Income Fund Inc.

See Notes to Financial Statements.

LMP Capital and Income Fund Inc.

*    Non-income producing security.

(a)   All or a portion of this security is pledged as collateral pursuant to the loan agreement.

See Notes to Financial Statements.

Schedule of investments (cont’d)

November 30, 2011

LMP Capital and Income Fund Inc.

(b)   Security is valued in good faith in accordance with procedures approved by the Board of Directors (See Note 1).

(c)   Illiquid security (unaudited).

(d)   Variable rate security. Interest rate disclosed is as of the most recent information available.

(e)   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.

(f)    The coupon payment on these securities is currently in default as of November 30, 2011.

(g)   Security has no maturity date. The date shown represents the next call date.

#    Aggregate cost for federal income tax purposes is $352,929,197.

Abbreviations used in this schedule:

See Notes to Financial Statements.

Statement of assets and liabilities

November 30, 2011

See Notes to Financial Statements.

Statements of operations