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

Salomon Brothers 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.
c/o Citigroup Asset Management
300 First Stamford Place
Stamford, CT 06902
(Name and address of agent for service)

Registrant's telephone number, including area code: 1-800-725-6666

Date of fiscal year end: October 31
Date of reporting period: July 31, 2005

 

SALOMON BROTHERS CAPITAL AND INCOME FUND INC.

 

FORM N-Q
JULY 31, 2005

 

ITEM 1. SCHEDULE OF INVESTMENTS

SALOMON BROTHERS CAPITAL AND INCOME FUND INC.

Schedule of Investments (unaudited) 
 
July 31, 2005 

FACE 
 
   
AMOUNT 
 
SECURITY(a)
  VALUE 
CORPORATE BONDS & NOTES — 16.1%
   
Advertising — 0.0% 
   
$     300,000 
 
Bear Creek Corp., Senior Notes, 9.000% due 3/1/13 (b)
$ 
298,500 
Aerospace/Defense — 0.0% 
   
150,000 
 
Goodrich Corp., Debentures, 7.500% due 4/15/08
  159,827 
Agriculture — 0.0% 
   
75,000 
 
Bunge Ltd. Finance Corp., Senior Note, 4.375% due 12/15/08
  74,173 
125,000 
 
Cargill Inc., Notes, 6.250% due 5/1/06 (b)
  126,971 
 
Total Agriculture
  201,144 
Apparel — 0.2% 
   
 
Levi Strauss & Co., Senior Notes:
   
150,000 
 
     8.254% due 4/1/12 (c)
  150,750 
800,000 
 
     9.750% due 1/15/15 (d)
  844,000 
300,000 
 
Oxford Industries Inc., Senior Notes, 8.875% due 6/1/11
  323,250 
300,000 
 
VF Corp., Notes, 8.100% due 10/1/05
  301,949 
 
Total Apparel
  1,619,949 
Auto Components — 0.0% 
   
125,000 
 
Johnson Controls Inc., Notes, 5.000% due 11/15/06
  125,924 
Auto Manufacturers — 0.3% 
   
150,000 
 
DaimlerChrysler North America Holding Corp., Notes, 6.400% due 5/15/06  (d)
152,423
 
Ford Motor Co.:
   
250,000 
 
     Debentures, 6.625% due 10/1/28
  195,666 
1,675,000 
 
     Notes, 7.450% due 7/16/31 (d)
  1,423,829 
 
General Motors Corp., Senior Debentures:
   
150,000 
 
     8.250% due 7/15/23 (d)
  135,000 
1,200,000 
 
     8.375% due 7/15/33 (d)
  1,089,000 
 
Total Auto Manufacturers
  2,995,918 
Banks — 0.2% 
   
125,000 
 
American Express Centurion Bank, Notes, 3.507% due 7/19/07 (c)
  125,213 
380,000 
 
Banesto Finance Ltd., 7.500% due 3/25/07
  396,916 
125,000 
 
Bank of America Corp., Subordinated Notes, 6.375% due 2/15/08
  130,617 
250,000 
 
Bank United Corp., Senior Notes, 8.875% due 5/1/07
  266,445 
300,000 
 
Corporacion Andina de Fomento, Notes, 4.010% due 1/26/07 (c)
  300,089 
122,727 
 
Fifth Third Bank, Notes, 2.870% due 8/10/09
  118,376 
200,000 
 
SunTrust Bank, 4.550% due 5/25/09
  195,707 
150,000 
 
Wells Fargo & Co., Notes, 3.512% due 3/23/07 (c)
  150,151 
100,000 
 
Zions Bancorp., Senior Notes, 2.700% due 5/1/06
  98,826 
 
Total Banks
  1,782,340 
Beverages — 0.1% 
   
100,000 
 
Bottling Group LLC, Senior Notes, 2.450% due 10/16/06
  97,873 
500,000 
 
Constellation Brands Inc., Senior Subordinated Notes, Series B,
 
 
     8.125% due 1/15/12 (d)
  537,500 
 
Total Beverages
  635,373 
Building Materials — 0.0% 
   
100,000 
 
Masco Corp., Notes, 6.750% due 3/15/06
  101,533 
Chemicals — 1.2% 
   
500,000 
 
Borden U.S. Finance Corp./Nova Scotia Finance ULC, Second Priority Senior 
 
 
     Secured Notes, 9.000% due 7/15/14 (b)
  519,375 
1,000,000 
 
Compass Minerals Group Inc., Senior Subordinated Notes, 10.000% due
   
 
     8/15/11
  1,100,000 

See Notes to Schedule of Investments

1

SALOMON BROTHERS CAPITAL AND INCOME FUND INC.

Schedule of Investments (unaudited) (continued) 
 
July 31, 2005 

         
FACE 
       
AMOUNT 
  SECURITY(a)    VALUE 
Chemicals (continued)     
$     1,000,000    Equistar Chemicals LP/Equistar Funding Corp., Senior Notes, 10.625% due   
         5/1/11 
$ 
1,120,000 
650,000    Hercules Inc., Senior Subordinated Notes, 6.750% due 10/15/29    652,437 
1,000,000    Huntsman International LLC, Senior Subordinated Notes, 10.125% due     
         7/1/09 (d)    1,037,500 
500,000    ISP Holdings Inc., Senior Secured Notes, Series B, 10.625% due 12/15/09    536,250 
1,000,000    Lyondell Chemical Co., Senior Secured Notes, 11.125% due 7/15/12    1,138,750 
1,116,000    Millennium America Inc., Senior Notes, 9.250% due 6/15/08    1,222,020 
600,000    Nalco Co., Senior Subordinated Notes, 8.875% due 11/15/13 (d)    657,000 
500,000    OM Group Inc., Senior Subordinated Notes, 9.250% due 12/15/11    512,500 
6,000    PPG Industries Inc., Notes, 6.500% due 11/1/07    6,248 
650,000    PQ Corp., Senior Subordinated Notes, 7.500% due 2/15/13 (b)    653,250 
500,000    Resolution Performance Products Inc./RPP Capital Corp., Senior Secured     
         Notes, 9.500% due 4/15/10    518,125 
    Rhodia SA:     
500,000         Senior Notes, 7.625% due 6/1/10 (d)    487,500 
500,000         Senior Subordinated Notes, 8.875% due 6/1/11 (d)    487,500 
325,000    Westlake Chemical Corp., Senior Notes, 8.750% due 7/15/11    354,656 
    Total Chemicals    11,003,111 
Commercial Services — 0.2% 
   
100,000    Cendant Corp., Senior Notes, 6.875% due 8/15/06    102,450 
450,000    Cenveo Corp., Senior Subordinated Notes, 7.875% due 12/1/13    437,062 
350,000    Corrections Corp. of America, Senior Notes, 6.250% due 3/15/13 (d)    350,000 
1,325,000    Iron Mountain Inc., Senior Subordinated Notes, 7.750% due 1/15/15    1,371,375 
    Total Commercial Services    2,260,887 
Computers — 0.1%     
125,000    Hewlett-Packard Co., Serior Notes, 5.500% due 7/1/07    127,465 
125,000    IBM Canada Credit Services Co., Senior Notes, 3.750% due 11/30/07 (b)    122,768 
200,000    SunGard Data Systems Inc., Senior Notes, 9.125% due 8/15/13 (b)    208,750 
    Total Computers    458,983 
Containers & Packaging — 0.1% 
   
750,000    JSG Funding PLC, Senior Notes, 9.625% due 10/1/12    761,250 
Cosmetics/Personal Care — 0.1% 
   
675,000    Del Laboratories Inc., Senior Subordinated Notes, 8.000% due 2/1/12    550,125 
500,000    Elizabeth Arden Inc., Senior Subordinated Notes, 7.750% due 1/15/14    530,625 
150,000    Gillette Co., Notes, 3.500% due 10/15/07    147,354 
    Total Cosmetics/Personal Care    1,228,104 
Diversified Financial Services — 2.8%     
1,000,000    Alamosa Delaware Inc., Senior Discount Notes, 10.290% due 7/31/09 (d)    1,121,250 
125,000    Amvescap PLC, Senior Notes, 5.900% due 1/15/07    127,466 
325,000    BCP Crystal U.S. Holdings Corp., Senior Subordinated Notes, 9.625% due     
         6/15/14    368,875 
125,000    Bear Stearns Cos. Inc., Notes, 5.700% due 1/15/07 (d)    127,382 
75,000    Boeing Capital Corp., Senior Notes, 5.650% due 5/15/06 (d)    75,979 
125,000    Capital One Bank, Notes, 5.750% due 9/15/10 (d)    130,215 
125,000    CIT Group Inc., Senior Notes, 5.500% due 11/30/07    127,477 
113,579    Core Investment Grade Bond Trust I, Pass-Through Certificates, 4.659% due   
         11/30/07    113,381 
125,000    Countrywide Home Loans Inc., Medium-Term Notes, Series M, 4.125% due   
         9/15/09    121,863 
    Ford Motor Credit Co.:     
200,000           Global Landmark Securities, 6.500% due 1/25/07    202,163 
1,050,000           Notes, 7.000% due 10/1/13 (d)    1,021,655 

See Notes to Schedule of Investments

2

SALOMON BROTHERS CAPITAL AND INCOME FUND INC.

Schedule of Investments (unaudited) (continued) 
 
July 31, 2005 

FACE 
       
AMOUNT 
 
SECURITY(a) 
  VALUE 
Diversified Financial Services (continued)     
$     125,000    General Electric Capital Corp., Medium-Term Notes, Series A, 3.504% due   
         6/22/07 (c) 
$ 
125,174 
    General Motors Acceptance Corp., Notes:     
156,000           6.125% due 9/15/06 (d)    157,070 
1,600,000           6.750% due 12/1/14 (d)    1,509,555 
250,000    Global Cash Access LLC/Global Cash Finance Corp., Senior Subordinated   
         Notes, 8.750% due 3/15/12    271,562 
125,000    HSBC Finance Corp., Senior Subordinated Notes, 5.875% due 2/1/09    129,628 
125,000    International Lease Finance Corp., Notes, 5.750% due 10/15/06    126,822 
125,000    John Deere Capital Corp., Medium-Term Notes, Series D, 4.400% due     
         7/15/09    124,160 
150,000    JPMorgan Chase & Co., Senior Notes, 5.350% due 3/1/07    152,326 
150,000    Morgan Stanley, 5.800% due 4/1/07    153,290 
125,000    Nationwide Building Society, Medium-Term Notes, 2.625% due 1/30/07 (b)  121,911 
1,500,000    North Street Referenced Linked Notes 2000-1 Ltd., Class A, 4.393% due     
         7/30/10 (b)(c)    787,500 
150,000    Rio Tinto Finance USA Ltd., 2.625% due 9/30/08    141,446 
500,000    Sensus Metering Systems Inc., Senior Subordinated Notes, 8.625% due     
         12/15/13    467,500 
125,000    SLM Corp., Medium-Term Notes, Series A, 3.850% due 1/26/09 (c)    125,397 
17,500,000    Targeted Return Index Securities (TRAINS), Series HY-2005-1, 7.651% due   
         6/15/15 (b)(c)    18,428,235 
125,000    Textron Financial Corp., Medium-Term Notes, Series E, 2.750% due 6/1/06  123,668 
125,000    TIAA Global Markets Inc., Notes, 4.125% due 11/15/07 (b)    124,053 
350,000    Vanguard Health Holdings Co. I LLC, Senior Discount Notes, step bond to   
         yield 5.594% due 10/1/15 (d)    255,500 
125,000    Vanguard Health Holdings Co. II LLC, Senior Subordinated Notes, 9.000%   
         due 10/1/14    136,562 
    Total Diversified Financial Services    26,999,065 
Electric — 1.5%     
    AES Corp., Senior Notes:     
100,000           9.500% due 6/1/09    112,000 
1,400,000           7.750% due 3/1/14 (d)    1,533,000 
    Calpine Corp.:     
11,375,000   
       Senior Notes, 8.500% due 2/15/11 (d) 
  7,962,500 
1,000,000   
       Senior Secured Notes, 8.750% due 7/15/13 (b) 
  750,000 
175,000    Calpine Generating Co. LLC, Senior Secured Notes, 12.390% due 4/1/11 (c)(d)  
167,125
100,000    Duke Energy Corp., Senior Notes, 4.200% due 10/1/08    98,732 
1,000,000    Edison Mission Energy, Senior Notes, 7.730% due 6/15/09    1,060,000 
75,000    Entergy Gulf States Inc., First Mortgage Notes, 3.600% due 6/1/08    72,789 
125,000    Niagara Mohawk Power Corp., First Mortgage Notes, 7.750% due 5/15/06  128,424 
150,000    Nisource Finance Corp., Senior Notes, 7.625% due 11/15/05    151,506 
782,000    NRG Energy Inc., Senior Secured Notes, 8.000% due 12/15/13    840,650 
250,000    Pinnacle West Capital Corp., Senior Notes, 6.400% due 4/1/06    252,927 
1,000,000    Reliant Energy Inc., Senior Secured Notes, 9.500% due 7/15/13    1,117,500 
325,000    Texas Genco LLC/Texas Genco Financing Corp., Senior Notes, 6.875% due   
         12/15/14 (b)    342,875 
    Total Electric    14,590,028 
Entertainment — 0.5% 
   
325,000    Choctaw Resort Development Enterprise, Senior Notes, 7.250% due 11/15/19  (b)(d)
332,313
875,000    Cinemark Inc., Senior Discount Notes, step bond to yield 9.767% due 3/15/14  608,125 
450,000    Herbst Gaming Inc., Senior Subordinated Notes, 7.000% due 11/15/14    460,125 
1,000,000    Isle of Capri Casinos Inc., Senior Subordinated Notes, 7.000% due 3/1/14  1,012,500 

See Notes to Schedule of Investments

3

SALOMON BROTHERS CAPITAL AND INCOME FUND INC.

Schedule of Investments (unaudited) (continued) 
 
July 31, 2005 

FACE 
       
AMOUNT 
  SECURITY(a)    VALUE 
Entertainment (continued)     
$     25,000    Loews Cineplex Entertainment Corp., Senior Subordinated Notes, 9.000%     
           due 8/1/14 (b) 
$ 
24,500 
    Mohegan Tribal Gaming Authority, Senior Subordinated Notes:     
300,000           7.125% due 8/15/14    316,500 
350,000           6.875% due 2/15/15    363,563 
325,000    Penn National Gaming Inc., Senior Subordinated Notes, 6.750% due 3/1/15  (b)(d)
328,656
500,000    Pinnacle Entertainment Inc., Senior Subordinated Notes, 8.250% due 3/15/12  528,750 
625,000    Seneca Gaming Corp., Senior Notes, 7.250% due 5/1/12 (d)    651,562 
425,000    Six Flags Inc., Senior Notes, 9.625% due 6/1/14 (d)    414,906 
    Total Entertainment    5,041,500 
Environmental Control — 0.2% 
   
475,000    Aleris International Inc., Senior Secured Notes, 10.375% due 10/15/10    526,063 
    Allied Waste North America Inc.:     
           Senior Notes, Series B:     
1,000,000                   7.375% due 4/15/14 (d)    940,000 
75,000                   7.250% due 3/15/15 (b)    74,250 
217,000           Senior Secured Notes, 9.250% due 9/1/12    237,886 
    Total Environmental Control    1,778,199 
Food — 0.5% 
   
396,017    Ahold Lease USA Inc., Pass-Through Certificates, Series 2001 A-1, 7.820%   
         due 1/2/20    431,906 
125,000    Campbell Soup Co., Notes, 6.900% due 10/15/06    128,572 
325,000    Dean Foods Co., Senior Notes, 6.900% due 10/15/17    344,500 
500,000    Del Monte Corp., Senior Subordinated Notes, 8.625% due 12/15/12    552,500 
500,000    Doane Pet Care Co., Senior Subordinated Notes, 9.750% due 5/15/07 (d)    495,000 
    Dole Food Co. Inc.:     
350,000           Debentures, 8.750% due 7/15/13 (d)    388,500 
161,000           Senior Notes, 8.875% due 3/15/11 (d)    173,477 
125,000    Kellogg Co., Senior Notes, 2.875% due 6/1/08    119,462 
200,000    Kraft Foods Inc., Notes, 4.625% due 11/1/06    200,678 
125,000    McDonald's Corp., Medium-Term Notes, Series E, 5.950% due 1/15/08    129,243 
500,000    Pinnacle Foods Holding Corp., Senior Subordinated Notes, 8.250% due     
         12/1/13    457,500 
150,000    Safeway Inc., Senior Notes, 4.800% due 7/16/07 (d)    150,238 
125,000    Unilever Capital Corp., Senior Notes, 6.875% due 11/1/05    125,916 
625,000    United Agri Products Inc., Senior Notes, 8.250% due 12/15/11    659,375 
    Total Food    4,356,867 
Forest Products & Paper — 0.4% 
   
440,000    Abitibi-Consolidated Inc., Debentures, 8.850% due 8/1/30    431,200 
500,000    Appleton Papers Inc., Senior Subordinated Notes, Series B, 9.750% due     
         6/15/14 (d)    482,500 
250,000    Bowater Inc., Notes, 6.500% due 6/15/13 (d)    248,125 
    Buckeye Technologies Inc.:     
150,000           Senior Notes, 8.500% due 10/1/13    155,625 
           Senior Subordinated Notes:     
400,000                   9.250% due 9/15/08 (d)    402,000 
75,000                   8.000% due 10/15/10    73,125 
1,000,000    Newark Group Inc., Senior Subordinated Notes, 9.750% due 3/15/14    925,000 
1,000,000    Norske Skog Canada Ltd., Senior Notes, 7.375% due 3/1/14 (d)    995,000 
115,000    Weyerhaeuser Co., 6.125% due 3/15/07    117,493 
    Total Forest Products & Paper    3,830,068 

See Notes to Schedule of Investments

4

SALOMON BROTHERS CAPITAL AND INCOME FUND INC.

Schedule of Investments (unaudited) (continued) 
 
July 31, 2005 

FACE 
       
AMOUNT 
  SECURITY(a)    VALUE 
Health Care-Services — 0.6%
    
$     250,000    AmeriPath Inc., Senior Subordinated Notes, 10.500% due 4/1/13 
$ 
254,375 
300,000    DaVita Inc., Senior Subordinated Notes, 7.250% due 3/15/15 (b)(d)    312,000 
500,000    Extendicare Health Services Inc., Senior Subordinated Notes, 6.875% due   
         5/1/14    500,000 
600,000    Genesis HealthCare Corp., Senior Subordinated Notes, 8.000% due 10/15/13  (d) 
655,500
    HCA Inc.:     
375,000           Debentures, 7.050% due 12/1/27    371,684 
           Senior Notes:     
142,000                   7.125% due 6/1/06    145,322 
975,000                   6.375% due 1/15/15 (d)    1,002,811 
925,000    IASIS Healthcare LLC/IASIS Capital Corp., Senior Subordinated Notes,     
         8.750% due 6/15/14    1,011,719 
150,000    Quest Diagnostics Inc., Senior Notes, 6.750% due 7/12/06    153,186 
    Tenet Healthcare Corp., Senior Notes:     
650,000           7.375% due 2/1/13 (d)    640,250 
375,000           9.875% due 7/1/14    403,125 
150,000    UnitedHealth Group Inc., Senior Notes, 3.300% due 1/30/08 (d)    145,441 
75,000    WellPoint Health Networks Inc., Notes, 6.375% due 6/15/06    76,339 
    Total Health Care-Services    5,671,752 
Home Builders — 0.0% 
   
100,000    Centex Corp., Notes, 4.750% due 1/15/08 (d)    99,847 
Home Furnishings — 0.1%     
650,000    Sealy Mattress Co., Senior Subordinated Notes, 8.250% due 6/15/14 (d)    695,500 
Household Durables — 0.0% 
   
500,000    Home Interiors & Gifts Inc., Senior Subordinated Notes, 10.125% due 6/1/08  391,250 
Household Products/Wares — 0.1%     
125,000    Fortune Brands Inc., 2.875% due 12/1/06    122,119 
600,000    Playtex Products Inc., Senior Subordinated Notes, 9.375% due 6/1/11    639,000 
    Total Household Products/Wares    761,119 
Insurance — 0.1%     
245,000    Chubb Corp., Notes, 6.150% due 8/15/05    245,176 
125,000    Hartford Financial Services Group Inc., Senior Notes, 2.375% due 6/1/06 (d)  123,110 
75,000    Marsh & McLennan Cos. Inc., Notes, 3.710% due 7/13/07 (c)    74,517 
125,000    MGIC Investment Corp., Senior Notes, 7.500% due 10/15/05    125,882 
500,000    Nationwide Life Global Funding I, Notes, 3.568% due 9/28/07 (b)(c)    500,435 
150,000    Protective Life Secured Trust, Senior Secured Notes, Medium-Term Notes,   
         3.650% due 4/13/07 (c)    150,161 
75,000    Unitrin Inc., Senior Notes, 5.750% due 7/1/07    76,341 
    Total Insurance    1,295,622 
Iron/Steel — 0.0%     
275,000    IPSCO Inc., Senior Notes, 8.750% due 6/1/13    308,688 
Leisure Time — 0.2%     
625,000    AMF Bowling Worldwide Inc., Senior Subordinated Notes, 10.000% due     
         3/1/10    634,375 
200,000    Carnival Corp., 3.750% due 11/15/07    196,688 
250,000    Leslie's Poolmart, Senior Notes, 7.750% due 2/1/13    255,625 
325,000    Riddell Bell Holdings Inc., Senior Subordinated Notes, 8.375% due 10/1/12  (d)
333,125
    Total Leisure Time    1,419,813 

 

See Notes to Schedule of Investments

5

SALOMON BROTHERS CAPITAL AND INCOME FUND INC.

Schedule of Investments (unaudited) (continued) 
 
July 31, 2005 

FACE 
       
AMOUNT 
  SECURITY(a)    VALUE 
Lodging — 0.5%     
$     1,000,000    Boyd Gaming Corp., Senior Subordinated Notes, 6.750% due 4/15/14 (d) 
$ 
1,038,750 
325,000    Gaylord Entertainment Co., Senior Notes, 6.750% due 11/15/14 (d)    325,000 
500,000    John Q. Hammons Hotels LP, First Mortgage Senior Notes, Series B, 8.875%   
         due 5/15/12    550,625 
550,000    Las Vegas Sands Corp., Senior Notes, 6.375% due 2/15/15 (d)    541,750 
203,488    Mandalay Resort Group, Senior Subordinated Notes, 9.375% due 2/15/10 (d)  227,907 
    MGM MIRAGE Inc., Senior Notes:     
700,000           6.750% due 9/1/12    728,000 
575,000           5.875% due 2/27/14 (d)    562,781 
625,000    Station Casinos Inc., Senior Subordinated Notes, 6.875% due 3/1/16 (d)    646,875 
500,000    Turning Stone Casino Resort Enterprise, Senior Notes, 9.125% due 12/15/10 (b)
532,500 
    Total Lodging    5,154,188 
Machinery — 0.1%     
600,000    Dresser-Rand Group Inc., Senior Subordinated Notes, 7.375% due 11/1/14 (b)  628,500 
Media — 1.5% 
   
625,000    Cablevision Systems Corp., Senior Notes, Series B, 7.890% due 4/1/09 (c)  647,656 
625,000    CanWest Media Inc., Senior Subordinated Notes, 8.000% due 9/15/12    666,406 
    Charter Communications Holdings LLC/Charter Communications Holdings   
    Capital Corp.:     
1,525,000   
       Senior Discount Notes, step bond to yield 18.428% due 5/15/11 
  1,105,625 
           Senior Notes:     
1,350,000                   10.000% due 4/1/09    1,113,750 
1,000,000                   10.750% due 10/1/09    825,000 
700,000    Charter Communications Operating LLC, Second Lien Senior Notes, 8.375%   
         due 4/30/14 (b)    712,250 
250,000    Clear Channel Communications Inc., Senior Notes, 3.125% due 2/1/07    242,824 
250,000    COX Communications Inc., 7.750% due 8/15/06    258,284 
    CSC Holdings Inc.:     
225,000           Debentures, Series B, 8.125% due 8/15/09    232,875 
375,000           Senior Notes, Series B, 8.125% due 7/15/09 (d)    388,125 
    Dex Media Inc., Discount Notes:     
750,000           step bond to yield 8.608% due 11/15/13    618,750 
1,000,000           step bond to yield 8.873% due 11/15/13    825,000 
764,000    DirecTV Holdings LLC/DirecTV Financing Co., Senior Notes, 8.375% due   
         3/15/13    850,905 
475,000    DirecTV Holdings/Finance, Senior Notes, 6.375% due 6/15/15 (b)    476,188 
1,000,000    EchoStar DBS Corp., Senior Notes, 6.625% due 10/1/14    997,500 
300,000    Emmis Communications Corp., Senior Notes, 9.314% due 6/15/12 (b)(c)    301,875 
500,000    LodgeNet Entertainment Corp., Senior Subordinated Debentures, 9.500% due   
         6/15/13    547,500 
750,000    Mediacom Broadband LLC, Senior Notes, 11.000% due 7/15/13 (d)    823,125 
200,000    Nexstar Finance Holdings LLC, Senior Discount Notes, step bond to yield   
         9.548% due 4/1/13 (d)    153,250 
50,000    Rainbow National Services LLC, Senior Subordinated Debentures, 10.375%   
         due 9/1/14 (b)    57,500 
125,000    Reed Elsevier Capital Inc., 6.125% due 8/1/06    126,465 
600,000    Rogers Cable Inc., Senior Secured Notes, 7.875% due 5/1/12    658,500 
625,000    Sinclair Broadcast Group Inc., Senior Subordinated Notes, 8.000% due     
         3/15/12    648,437 
150,000    TCI Communications Inc., Senior Notes, 6.875% due 2/15/06    152,009 
150,000    Time Warner Inc., 6.125% due 4/15/06    151,810 
100,000    Walt Disney Co., Medium-Term Notes, 5.500% due 12/29/06    101,062 

See Notes to Schedule of Investments

6

SALOMON BROTHERS CAPITAL AND INCOME FUND INC.

Schedule of Investments (unaudited) (continued) 
 
July 31, 2005 

FACE 
       
AMOUNT 
 
SECURITY(a) 
  VALUE 
Media (continued)     
    Young Broadcasting Inc., Senior Subordinated Notes:    
$     325,000           10.000% due 3/1/11 (d) 
$ 
308,750 
300,000           8.750% due 1/15/14 (d)    264,000 
    Total Media    14,255,421 
Metal Fabricate-Hardware — 0.1%     
225,000    Mueller Group Inc., Senior Subordinated Notes, 10.000% due 5/1/12    241,875 
775,000    Mueller Holdings Inc., Discount Notes, step bond to yield 11.895% due     
         4/15/14    569,625 
    Total Metal Fabricate-Hardware    811,500 
Mining — 0.1% 
   
325,000    Novelis Inc., Senior Notes, 7.250% due 2/15/15 (b)    333,937 
150,000    WMC Finance USA, 6.750% due 12/1/06    154,604 
    Total Mining    488,541 
Miscellaneous Manufacturing — 0.3%     
    Cooper Industries Inc.:     
125,000           5.250% due 7/1/07    126,441 
100,000           Senior Notes, 5.500% due 11/1/09    102,632 
352,000    Dover Corp., 6.450% due 11/15/05    354,164 
125,000    Honeywell International, Inc., Notes, 6.875% due 10/3/05 (d)    125,612 
200,000    Ingersoll-Rand Co., Notes, 6.250% due 5/15/06    202,816 
475,000    Invensys PLC, Senior Notes, 9.875% due 3/15/11 (b)(d)    470,250 
1,000,000    Koppers Inc., Senior Secured Notes, 9.875% due 10/15/13    1,095,000 
350,000    Park-Ohio Industries Inc., Senior Subordinated Notes, 8.375% due 11/15/14 (b)
330,750
    Total Miscellaneous Manufacturing    2,807,665 
Office Furnishings — 0.1% 
   
600,000    Interface Inc., Senior Subordinated Notes, 9.500% due 2/1/14    618,000 
575,000    Tempur-Pedic Inc./Tempur Production USA Inc., Senior Subordinated Notes,   
         10.250% due 8/15/10    642,562 
    Total Office Furnishings    1,260,562 
Oil & Gas — 0.4%     
255,000    Burlington Resources Finance Corp., Senior Notes, 5.600% due 12/1/06 (d)  257,632 
    Chesapeake Energy Corp., Senior Notes:     
775,000           6.375% due 6/15/15    800,187 
75,000           6.625% due 1/15/16 (b)    77,813 
500,000    EXCO Resources Inc., Senior Notes, 7.250% due 1/15/11    513,750 
125,000    Norsk Hydro ASA, Notes, 6.360% due 1/15/09    131,937 
1,550,000    Petronas Capital Ltd., 7.875% due 5/22/22    1,958,242 
    Total Oil & Gas    3,739,561 
Oil & Gas Services — 0.0%     
75,000    Cooper Cameron Corp., Senior Notes, 2.650% due 4/15/07    72,457 
Packaging & Containers — 0.5% 
   
500,000    Anchor Glass Container Corp., Senior Secured Notes, 11.000% due 2/15/13  310,000 
1,000,000    Berry Plastics Corp., Senior Subordinated Notes, 10.750% due 7/15/12    1,102,500 
625,000    Graphic Packaging International Corp., Senior Subordinated Notes, 9.500%   
         due 8/15/13    643,750 
1,250,000    Jefferson Smurfit Corp., Senior Notes, 8.250% due 10/1/12    1,265,625 
900,000    Owens-Illinois Inc., Debentures, 7.500% due 5/15/10 (d)    946,125 
500,000    Plastipak Holdings Inc., Senior Notes, 10.750% due 9/1/11 (d)    552,500 
    Pliant Corp.:     
234,020           Senior Secured Notes, 11.625% due 6/15/09 (b)    254,497 
150,000           Senior Subordinated Notes, 13.000% due 6/1/10 (d)    122,250 

See Notes to Schedule of Investments

7

SALOMON BROTHERS CAPITAL AND INCOME FUND INC.

Schedule of Investments (unaudited) (continued) 
 
July 31, 2005 

FACE 
       
AMOUNT 
  SECURITY(a)    VALUE 
Packaging & Containers (continued)     
$     50,000    Stone Container Finance Corp., Senior Notes, 7.375% due 7/15/14 (d) 
$ 
47,875 
    Total Packaging & Containers    5,245,122 
Pharmaceuticals — 0.0% 
   
350,000    Warner Chilcott Corp., 8.750% due 2/1/15 (b)    347,375 
Pipelines — 0.7%     
250,000    Duke Energy Field Services LLC, Senior Notes, 5.750% due 11/15/06    253,851 
    Dynegy Holdings Inc.:     
1,725,000           Debentures, 7.125% due 5/15/18    1,681,875 
450,000           Senior Secured Notes, 10.125% due 7/15/13 (b)    515,250 
    El Paso Corp., Medium-Term Notes:     
1,000,000           7.800% due 8/1/31 (d)    1,015,000 
1,050,000           7.750% due 1/15/32 (d)    1,068,375 
325,000    Holly Energy Partners LP, Senior Notes, 6.250% due 3/1/15 (b)    325,000 
1,500,000    Williams Cos. Inc., Senior Notes, 7.750% due 6/15/31 (d)    1,710,000 
    Total Pipelines    6,569,351 
REITs — 0.3%     
1,000,000    Felcor Lodging LP, Senior Notes, 9.000% due 6/1/11 (d)    1,110,000 
1,250,000    Host Marriott LP, Senior Notes\, 7.125% due 11/1/13 (d)    1,310,938 
500,000    MeriStar Hospitality Corp., Senior Notes, 9.125% due 1/15/11 (d)    533,750 
200,000    Vornado Realty LP, Senior Unsecured Notes, 5.625% due 6/15/07    202,516 
    Total REITs   3,157,204 
Retail — 0.4% 
   
500,000    Buffets Inc., Senior Subordinated Notes, 11.250% due 7/15/10    507,500 
125,000    Carrols Corp., Senior Subordinated Notes, 9.000% due 1/15/13 (b)    130,312 
500,000    CSK Auto Inc., Senior Subordinated Notes, 7.000% due 1/15/14    483,750 
125,000    CVS Corp., Notes, 5.625% due 3/15/06    126,017 
550,000    Denny's Holdings Inc., Senior Notes, 10.000% due 10/1/12 (d)    591,250 
325,000    Eye Care Centers of America Inc., Senior Subordinated Notes, 10.750% due     
         2/15/15 (b)    310,375 
225,000    Finlay Fine Jewelry Corp., Senior Notes, 8.375% due 6/1/12 (d)    211,500 
150,000    Home Depot Inc., Senior Notes, 5.375% due 4/1/06    151,100 
325,000    Jean Coutu Group Inc., Senior Subordinated Notes, 8.500% due 8/1/14 (d)    323,781 
125,000    Lowe's Cos. Inc., Notes, 7.500% due 12/15/05    126,592 
500,000    Rite Aid Corp., Senior Debentures, 6.875% due 8/15/13 (d)    443,750 
125,000    Target Corp., Senior Notes, 5.500% due 4/1/07 (d)    127,462 
200,000    Toys "R" Us Inc., Senior Notes, 7.375% due 10/15/18 (d)    162,500 
500,000    VICORP Restaurants Inc., Senior Notes, 10.500% due 4/15/11 (d)    502,500 
    Total Retail    4,198,389 
Semiconductors — 0.1% 
   
    Amkor Technology Inc., Senior Notes:     
400,000           9.250% due 2/15/08 (d)    380,000 
500,000           7.125% due 3/15/11 (d)    438,750 
    Total Semiconductors    818,750 
Telecommunications — 1.4% 
   
1,000,000    American Tower Corp., Senior Notes, 7.500% due 5/1/12 (d)    1,065,000 
125,000    GTE Corp., Debentures, 6.360% due 4/15/06    126,777 
750,000    Insight Midwest LP/Insight Capital Inc., Senior Notes, 10.500% due 11/1/10    798,750 
150,000    Intelsat Bermuda Ltd., Senior Notes, 8.695% due 1/15/12 (b)(c)    153,750 
550,000    Intelsat Ltd., Senior Discount Notes, step bond to yield 9.253% due 2/1/15  (b)(d)   
380,875 
2,000,000    Lucent Technologies Inc., Debentures, 6.450% due 3/15/29    1,810,000 
850,000    MCI Inc., Senior Notes, 8.735% due 5/1/14    958,375 

See Notes to Schedule of Investments

8

SALOMON BROTHERS CAPITAL AND INCOME FUND INC.

Schedule of Investments (unaudited) (continued) 
 
July 31, 2005 

FACE 
       
AMOUNT 
  SECURITY(a)    VALUE 
Telecommunications (continued) 
   
$     1,450,000    Nextel Communications Inc., Senior Serial Redeemable Notes, 6.875% due     
         10/31/13 
$ 
1,556,937 
50,000    NTL Cable PLC, Senior Notes, 8.750% due 4/15/14 (d)    53,250 
390,000    PanAmSat Corp., Senior Notes, 9.000% due 8/15/14    432,900 
2,125,000    Qwest Services Corp., Senior Secured Notes, 14.000% due 12/15/14    2,581,875 
625,000    Rogers Wireless Communications Inc., Senior Secured Notes, 7.500% due     
         3/15/15    685,938 
650,000    SBA Communications Corp., Senior Notes, 8.500% due 12/1/12    703,625 
125,000    SBC Communications Inc., Notes, 5.750% due 5/2/06    126,424 
500,000    SpectraSite Inc., Senior Notes, 8.250% due 5/15/10    536,250 
250,000    Sprint Capital Corp., 6.000% due 1/15/07    254,795 
650,000    UbiquiTel Operating Co., Senior Notes, 9.875% due 3/1/11    728,813 
325,000    US Unwired Inc., Second Priority Secured Notes, Series B, 10.000% due     
         6/15/12    377,000 
300,000    Western Wireless Corp., Senior Notes, 9.250% due 7/15/13    343,500 
    Total Telecommunications    13,674,834 
Textiles — 0.1%     
125,000    Cintas Corp., Number 2, 5.125% due 6/1/07 (d)    126,512 
425,000    Simmons Bedding Co., Senior Subordinated Notes, 7.875% due 1/15/14 (d)  400,562 
    Total Textiles    527,074 
Water — 0.0% 
   
155,000    United Utilities PLC, Notes, 6.450% due 4/1/08    161,762 
    TOTAL CORPORATE BONDS & NOTES     
         (Cost — $153,606,868)    154,790,417 
CONVERTIBLE BONDS & NOTES — 6.7%     
Biotechnology — 1.6%     
5,000,000    BioMarin Pharmaceuticals Inc., Subordinated Notes, 3.500% due 6/15/08    4,656,250 
1,000,000    Enzon Pharmaceuticals Inc., Subordinated Notes, 4.500% due 7/1/08    913,750 
4,875,000    InterMune Inc., Senior Notes, 0.250% due 3/1/11 (b)    4,107,187 
400,000    Isis Pharmaceuticals Inc., 5.500% due 5/1/09    331,500 
3,850,000    NPS Pharmaceuticals Inc., Senior Notes, 3.000% due 6/15/08    3,277,313 
1,500,000    Vertex Pharmaceuticals Inc., Senior Subordinated Notes, 5.750% due 2/15/11(b) 
1,839,375
    Total Biotechnology    15,125,375 
Computers — 0.1%     
1,500,000    Silicon Graphics Inc., Senior Notes, 6.500% due 6/1/09    1,057,500 
Environmental Control — 0.4% 
   
4,500,000    Allied Waste North America Inc., Senior Subordinated Debentures, 4.250%   
         due 4/15/34    3,937,500 
Media — 0.6% 
   
   
Charter Communications Inc., Senior Notes, Class A Shares:
   
690,000           5.875% due 11/16/09 (b)    498,525 
60,000           5.875% due 11/16/09    43,350 
5,000,000    Mediacom Communications Corp., Senior Notes, 5.250% due 7/1/06    4,981,250 
    Total Media    5,523,125 
Pharmaceuticals — 0.2%     
2,000,000    Sepracor Inc., Subordinated Debentures, 5.000% due 2/15/07    2,002,500 
Pipelines — 0.9%     
17,000,000    El Paso Corp., Debentures, zero coupon bond to yield 8.687% due 2/28/21    9,201,250 

See Notes to Schedule of Investments

9

SALOMON BROTHERS CAPITAL AND INCOME FUND INC.

Schedule of Investments (unaudited) (continued) 
 
July 31, 2005 

FACE 
     
AMOUNT 
  SECURITY(a)   
VALUE 
Semiconductors — 1.0% 
 
$     2,000,000 
  Agere Systems Inc., Subordinated Notes, 6.500% due 12/15/09 
$ 
2,015,000 
8,500,000 
  Atmel Corp., Subordinated Notes, zero coupon bond to yield 5.762% due   
       5/23/21   
4,016,250 
3,500,000 
  Conexant Systems Inc., Subordinated Notes, 4.000% due 2/1/07   
3,338,125 
  Total Semiconductors   
9,369,375 
Software — 0.8% 
 
500,000 
  BEA Systems Inc., Subordinated Notes, 4.000% due 12/15/06 (d)   
495,000 
4,500,000 
  i2 Technologies Inc., Subordinated Notes, 5.250% due 12/15/06   
4,342,500 
2,775,000 
  Manugistics Group Inc., Subordinated Notes, 5.000% due 11/1/07   
2,480,156 
  Total Software   
7,317,656 
Telecommunications — 1.0% 
 
8,525,000 
  Ciena Corp., Senior Notes, 3.750% due 2/1/08   
7,629,875 
2,300,000 
  Nortel Networks Corp., 4.250% due 9/1/08   
2,159,125 
  Total Telecommunications   
9,789,000 
Wireless Telecommunications — 0.1% 
 
2,250,000 
  Liberty Media Corp., Senior Debentures, 4.000% due 11/15/29 (e)   
1,392,188 
  TOTAL CONVERTIBLE BONDS & NOTES   
       (Cost — $69,589,979)   
64,715,469 
ASSET-BACKED SECURITIES — 6.1% 
 
Credit Card — 0.0% 
 
339,685 
  First Consumers Master Trust, Series 2001-A, Class A, 3.700% due 9/15/08 (c)  
337,758
Home Equity — 6.1% 
 
1,000,000 
  ACE Securities Corp., Series 2004-OP1, Class M3, 4.710% due 4/25/34 (c)   
1,002,466 
  Aegis Asset-Backed Securities Trust:   
260,430 
         Series 2004-2N, Class N1, 4.500% due 4/25/34 (b)   
260,068 
1,250,000 
         Series 2004-5, Class M2, 4.680% due 12/25/34 (c)   
1,263,096 
520,372 
         Series 2004-5N, 5.000% due 12/25/34 (b)   
518,335 
1,262,918 
         Series 2004-6N, 4.750% due 3/25/35 (b)   
1,256,011 
  Ameriquest Mortgage Securities Inc.:   
1,000,000 
         Series 2003-12, Class M2, 5.160% due 11/25/33 (c)   
1,028,232 
1,000,000 
         Series 2004-R08, Class M10, 5.960% due 9/25/34 (b)(c)   
932,715 
1,000,000 
         Series 2004-R11, Class M5, 4.660% due 11/25/34 (c)   
1,018,794 
1,000,000 
  Amortizing Residential Collateral Trust, Series 2004-1, Class M4, 4.510%   
       due 10/25/34 (c)   
1,018,870 
306,049 
  AQ Finance NIM Trust, Series 2004-RN5, Class A, 5.193% due 6/25/34 (b)   
304,752 
  Argent NIM Trust:   
145,375 
         Series 2004-WN08, Class A, 4.700% due 7/25/34 (b)   
145,004 
500,000 
         Series 2004-WN10, Class B, 7.385% due 11/25/34 (b)   
500,000 
  Argent Securities Inc.:   
600,000 
         Series 2004-W8, Class M10, 6.960% due 5/25/34 (c)   
588,428 
1,999,999 
         Series 2004-W8, Class M4, 4.760% due 5/25/34 (c)   
2,011,722 
750,000 
  Asset-Backed Funding Certificates, Series 2004-FF1, Class M2, 4.910% due   
       1/25/34 (c)   
760,627 
357,159 
  Asset-Backed Funding Corp. NIM Trust, Series 2004-OPT4, Class N1,   
       4.450% due 5/26/34 (b)   
355,180 
  Bayview Financial Acquisition Trust:   
850,000 
         Series 2001-CA, Class M3, 4.710% due 8/25/36 (b)(c)   
848,141 
712,314 
         Series 2002-DA, Class M1, 4.310% due 8/25/32 (b)(c)   
713,754 
2,000,000 
  Bear Stearns Asset-Backed Securities Inc., Series 2004-HE5, Class M1,   
       4.030% due 7/25/34 (c)   
2,001,165 

See Notes to Schedule of Investments

10

SALOMON BROTHERS CAPITAL AND INCOME FUND INC.

Schedule of Investments (unaudited) (continued) 
 
July 31, 2005 

FACE 
       
AMOUNT 
  SECURITY(a)    VALUE 
Home Equity (continued) 
   
    Bear Stearns Asset-Backed Securities Inc. NIM Trust:     
$     92,155           Series 2004-FR1N, Class A1, 5.000% due 5/25/34 (b) 
$ 
91,617 
           Series 2004-HE5N:     
247,277                   Class A1, 5.000% due 7/25/34 (b)    246,479 
79,000                   Class A2, 5.000% due 7/25/34 (b)    78,444 
174,562           Series 2004-HE6N, Class A1, 5.250% due 8/25/34 (b)    173,740 
    Countrywide Asset-Backed Certificates:     
750,000           Series 2003-03, Class M4, 4.860% due 3/25/33 (c)    755,928 
367,747           Series 2004-02N, Class N1, 5.000% due 2/25/35 (b)    365,575 
410,000           Series 2004-05, Class M4, 4.710% due 6/25/34 (c)    416,109 
358,982           Series 2004-05N, Class N1, 5.500% due 10/25/35 (b)    357,734 
2,000,000           Series 2004-BC4, Class M2, 4.310% due 10/25/34 (c)    2,003,268 
413,774   
Credit-Based Asset Servicing and Securitization, Series 2004-AN, Class A, 
   
          5.000% due 9/27/36 (b)    410,152 
950,000   
CS First Boston Mortgage Securities Corp., Series 2001-HE16, Class M2, 
   
          4.660% due 11/25/31 (c)    953,673 
369,028   
Finance America NIM Trust, Series 2004-01, Class A, 5.250% due 6/27/34 (b)
 
367,069
750,000   
First Franklin Mortgage Loan Asset Backed Certificates, Series 2004-FF2, 
   
         Class M4, 4.360% due 3/25/34 (c)    757,086 
1,000,000   
First Franklin Mortgage Loan Trust NIM, Series 2004-FF10, Class N2, 
   
          6.000% due 11/26/34 (b)(f)    965,200 
394,443   
First Franklin NIM Trust, Series 2004-FF7A, Class A, 5.000% due 9/27/34 (b)
 
392,843
    Fremont Home Loan Trust:     
1,000,000           Series 2004-01, Class M5, 4.560% due 2/25/34 (c)    1,000,582 
2,000,000           Series 2004-B, Class M4, 4.630% due 5/25/34 (c)    2,003,186 
875,000           Series 2004-D, Class M5, 4.460% due 11/25/34 (c)    877,915 
118,276    Fremont NIM Trust, Series 2004-B, 4.703% due 5/25/34 (b)    118,004 
1,005,000    GSAMP Trust, Series 2004-OPT, Class M3, 4.610% due 11/25/34 (c)    1,010,163 
899,305   
Long Beach Asset Holdings Corp., Series 2004-06, Class N2, 7.500% due 
   
         11/25/34 (b)    826,799 
750,000   
Long Beach Mortgage Loan Trust, Series 2004-06, Class M2, 4.610% due 
   
         11/25/34 (c)    752,029 
1,000,000   
MASTR Asset-Backed Securities Trust, Series 2004-OPT2, Class M4, 
   
         4.460% due 9/25/34 (c)    1,008,777 
    Merrill Lynch Mortgage Investors Inc.:     
191,565           Series 2004-WM2N, Class N1, 4.500% due 10/25/05 (b)    190,655 
329,327           Series 2005-WM1N, Class N1, 5.000% due 9/25/35 (b)    326,112 
    Morgan Stanley Asset Backed Securities Capital I:     
1,400,000           Series 2004-HE4, Class M2, 4.760% due 5/25/34 (c)    1,400,843 
500,000           Series 2004-HE9, Class M6, 4.710% due 11/25/34 (c)    505,157 
1,000,000           Series 2004-NC8, Class M4, 4.460% due 9/25/34 (c)    1,004,956 
1,000,000           Series 2004-OP1, Class M5, 4.510% due 11/25/34 (c)    1,015,423 
    New Century Home Equity Loan Trust:     
1,250,000           Series 2001-NC1, Class M2, 4.530% due 6/20/31 (c)    1,255,890 
1,500,000           Series 2003-04, Class M2, 5.280% due 10/25/33 (c)    1,535,278 
    Novastar Home Equity Loan:     
2,000,000           Series 2003-04, Class M2, 5.090% due 2/25/34 (c)    2,042,077 
1,000,000           Series 2004-01, Class M4, 4.430% due 6/25/34 (c)    1,002,329 
1,250,000           Series 2004-02, Class M5, 4.960% due 9/25/34 (c)    1,271,608 
1,000,000           Series 2004-4, Class M4, 4.560% due 3/25/35 (c)    998,751 
750,000           Series 2005-02, Class M10, 6.460% due 10/25/35 (c)    682,500 
214,530    Novastar NIM Trust, Series 2004-N2, 4.458% due 6/26/34 (b)    213,579 
    Option One Mortgage Loan Trust:     
1,523,366           Series 2002-02, Class M2, 4.610% due 6/25/32 (c)    1,528,878 
1,500,000           Series 2004-02, Class M2, 4.510% due 5/25/34 (c)    1,500,930 

See Notes to Schedule of Investments

11

SALOMON BROTHERS CAPITAL AND INCOME FUND INC.

Schedule of Investments (unaudited) (continued) 
 
July 31, 2005 

FACE 
     
AMOUNT 
  SECURITY(a)   
VALUE 
Home Equity (continued) 
 
    Park Place Securities NIM Trust:   
$     500,000           Series 2004-WWF1, Class B, 6.290% due 1/25/35 (b) 
$ 
500,000 
808,696           Series 2005-WHQ2, Class A, 5.192% due 5/25/35 (b)   
808,690 
1,000,000   
Residential Asset Securities Corp., Series 2004-KS10, Class M2, 4.610% due 
         11/25/34 (c)   
1,004,238 
    Sail Net Interest Margin Notes:   
162,008           Series 2003-BC2A, Class A, 7.750% due 4/27/33 (b)   
162,979 
420,425           Series 2004-02A, Class A, 5.500% due 3/27/34 (b)   
421,102 
           Series 2004-11A:   
244,885                   Class A2, 4.750% due 1/27/35 (b)   
244,205 
314,453                   Class B, 7.500% due 1/27/35 (b)   
309,540 
526,804           Series 2004-4A, Class A, 5.000% due 4/27/34 (b)   
526,843 
363,446           Series 2004-5A, Class A, 4.500% due 6/27/34 (b)   
363,191 
378,180           Series 2004-8A, Class A, 5.000% due 9/27/34 (b)   
376,247 
419,538           Series 2004-AA, Class B, 7.500% due 10/27/34 (b)   
383,615 
           Series 2004-BN2A:   
545,247                   Class A, 5.000% due 12/27/34 (b)   
544,563 
412,963                   Class B, 7.000% due 12/27/34 (b)   
400,058 
           Series 2005-1A:   
132,846                   Class A, 4.250% due 2/27/35 (b)   
132,335 
350,612                   Class B, 7.500% due 2/27/35 (b)   
345,243 
    Sharp SP I LLC, NIM Trust:   
453,204           Series 2004-HS1N, 5.920% due 2/25/34 (b)   
446,248 
357,711           Series 2004-OP1N, 5.190% due 4/25/34 (b)   
357,503 
382,716           Series 2005-HE1N, 5.190% due 2/25/35 (b)   
382,236 
1,500,000   
Structured Asset Investment Loan Trust, Series 2003-BC10, Class M2, 
 
         5.310% due 10/25/33 (c)   
1,521,283 
    Total Home Equity   
58,164,817 
    TOTAL ASSET-BACKED SECURITIES   
         (Cost — $58,352,799)   
58,502,575 
MORTGAGE-BACKED SECURITIES — 2.4%   
FHLMC — 1.9%   
    FHLMC, Gold:   
600,129           8.500% due 9/1/25   
655,327 
17,205,877           6.000% due 9/1/32-2/1/34   
17,584,410 
    TOTAL FHLMC   
18,239,737 
FNMA — 0.5% 
 
    FNMA:   
2,299,326           8.000% due 12/1/12   
2,431,012 
1,980,171           5.500% due 4/1/35   
1,991,663 
    TOTAL FNMA   
4,422,675 
    TOTAL MORTGAGE-BACKED SECURITIES   
         (Cost — $22,672,348)   
22,662,412 
COLLATERALIZED MORTGAGE OBLIGATIONS — 0.9%   
    Commercial Mortgage Pass-Through Certificates:   
2,000,000           Series 2002-FL6, Class E, 4.388% due 6/14/14 (b)(c)   
2,008,969 
236,006           Series 2003-FL9, Class E, 4.390% due 11/15/15 (b)(c)   
237,306 
    Federal Home Loan Mortgage Corp. (FHLMC):   
277,952           Series 2764, Class DT, 6.000% due 3/15/34 (c)   
267,185 
790,888           Series 2780, Class SL PAC, 6.000% due 4/15/34 (c)   
802,004 
721,590   
Homestar NIM Trust, Series 2004-6, Class A1, 5.500% due 1/25/35 (b) 
 
722,492 
1,449,846   
Impac CMB Trust, Series 2004-04, Class 2M2, 4.960% due 9/25/34 (c) 
 
1,454,299 
1,000,000   
Merit Securities Corp., Series 11PA, Class B2, 4.981% due 9/28/32 (b)(c) 
 
975,017 

See Notes to Schedule of Investments

12

SALOMON BROTHERS CAPITAL AND INCOME FUND INC.

Schedule of Investments (unaudited) (continued) 
 
July 31, 2005 

FACE       
AMOUNT† 
 
SECURITY(a) 
VALUE 
COLLATERALIZED MORTGAGE OBLIGATIONS (continued)   
    MLCC Mortgage Investors Inc.:   
$     750,000           Series 2004-A, Class B2, 4.380% due 4/25/29 (c) 
$
749,399 
1,000,000           Series 2004-B, Class B2, 4.340% due 5/25/29 (c)  1,006,539 
   
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS 
 
         (Cost — $8,175,286)  8,223,210 
SOVEREIGN BONDS — 13.9%   
Argentina — 0.5% 
 
    Republic of Argentina:   
437,000 
EUR 
       10.250% due 1/26/07  159,276 
8,201,438 
ARS 
       5.830% due 12/31/33  3,355,256 
1,775,000           Discount Bonds, 3.010% due 8/3/12 (c)  1,606,375 
    Total Argentina  5,120,907 
Brazil — 3.3% 
 
    Federative Republic of Brazil:   
2,125,000           10.125% due 5/15/27  2,422,500 
4,755,000           12.250% due 3/6/30  6,217,163 
3,950,000           11.000% due 8/17/40  4,643,225 
6,755,151           C Bonds, 8.000% due 4/15/14  6,854,283 
1,200,000           Collective Action Securities, 8.000% due 1/15/18  1,222,800 
10,417,781           DCB, Series L,, 4.313% due 4/15/12 (c)  10,088,970 
    Total Brazil  31,448,941 
Bulgaria — 0.2% 
 
1,125,000    Republic of Bulgaria, 8.250% due 1/15/15 (b)  1,395,000 
Chile — 0.2% 
 
2,000,000    Republic of Chile, 5.500% due 1/15/13  2,091,609 
Colombia — 0.8% 
 
    Republic of Colombia:   
385,000           10.750% due 1/15/13  457,187 
4,300,000           8.125% due 5/21/24  4,278,500 
1,950,000           Medium-Term Notes, 11.750% due 2/25/20  2,539,875 
    Total Colombia  7,275,562 
Ecuador — 0.2% 
 
    Republic of Ecuador:   
190,000           12.000% due 11/15/12 (b)  187,150 
1,385,000           step bond to yield 12.573% due 8/15/30 (b)  1,198,025 
    Total Ecuador  1,385,175 
El Salvador — 0.1% 
 
1,175,000    Republic of El Salvador, 7.750% due 1/24/23 (b)  1,324,813 
Malaysia — 0.1% 
 
    Federation of Malaysia:   
350,000           8.750% due 6/1/09  400,268 
225,000           7.500% due 7/15/11  257,290 
    Total Malaysia  657,558 
Mexico — 3.0% 
 
    United Mexican States:   
650,000           11.375% due 9/15/16  953,875 
7,770,000           8.125% due 12/30/19  9,393,930 
           Medium-Term Notes, Series A:   
1,000,000                   6.375% due 1/16/13  1,059,750 

See Notes to Schedule of Investments

13

SALOMON BROTHERS CAPITAL AND INCOME FUND INC.

Schedule of Investments (unaudited) (continued) 
 
July 31, 2005 

FACE 
     
AMOUNT† 
 
SECURITY(a) 
VALUE 
Mexico (continued) 
 
$     425,000 
                 5.875% due 1/15/14 
$
436,688 
10,800,000 
                 6.625% due 3/3/15  11,691,000 
3,425,000 
                 8.000% due 9/24/22  4,132,262 
1,340,000 
                 7.500% due 4/8/33  1,539,660 
  Total Mexico  29,207,165 
Panama — 0.5% 
 
  Republic of Panama:   
700,000 
         7.250% due 3/15/15  761,600 
1,915,000 
         9.375% due 1/16/23  2,384,175 
1,625,000 
         8.875% due 9/30/27  1,954,062 
  Total Panama  5,099,837 
Peru — 0.6% 
 
  Republic of Peru:   
380,000 
         9.125% due 2/21/12  449,730 
1,900,000 
         9.875% due 2/6/15  2,365,500 
3,019,500 
         FLIRB, 5.000% due 3/7/17 (c)  2,883,622 
  Total Peru  5,698,852 
Philippines — 0.7% 
 
  Republic of the Philippines:   
2,625,000 
         9.000% due 2/15/13  2,757,825 
375,000 
         8.250% due 1/15/14  378,750 
2,175,000 
         10.625% due 3/16/25  2,413,489 
625,000 
         9.500% due 2/2/30  630,656 
  Total Philippines  6,180,720 
Russia — 1.9% 
 
700,000 
 
Aries Vermogensverwaltungs GmbH, Russian Federation Credit-Linked 
 
       Notes, Series C, 9.600% due 10/25/14 (b)(d)  902,300 
15,935,000 
  Russian Federation, step bond to yield 1.074% due 3/31/30 (b)  17,687,850 
  Total Russia  18,590,150 
South Africa — 0.2% 
 
  Republic of South Africa:   
250,000 
         9.125% due 5/19/09  286,500 
1,825,000 
         6.500% due 6/2/14  1,984,688 
  Total South Africa  2,271,188 
Turkey — 0.7% 
 
  Republic of Turkey:   
200,000 
         11.750% due 6/15/10  248,250 
725,000 
         11.500% due 1/23/12  925,281 
4,150,000 
         11.000% due 1/14/13  5,249,750 
225,000 
         11.875% due 1/15/30  320,794 
  Total Turkey  6,744,075 
Ukraine — 0.2% 
 
  Republic of Ukraine:   
606,694 
         11.000% due 3/15/07 (b)  638,545 
1,375,000 
         7.650% due 6/11/13 (b)  1,514,219 
  Total Ukraine  2,152,764 
Uruguay — 0.1% 
 
  Republic of Uruguay, Benchmark Bonds:   
575,000 
         7.250% due 2/15/11  586,500 

See Notes to Schedule of Investments

14

SALOMON BROTHERS CAPITAL AND INCOME FUND INC.

Schedule of Investments (unaudited) (continued) 
 
July 31, 2005 

FACE       
AMOUNT† 
 
SECURITY(a) 
VALUE 
Uruguay (continued)   
$     750,000           7.500% due 3/15/15 
$
742,500 
    Total Uruguay  1,329,000 
Venezuela — 0.6%   
    Bolivarian Republic of Venezuela:   
2,475,000           5.375% due 8/7/10 (b)  2,324,644 
1,050,000           8.500% due 10/8/14  1,089,375 
1,900,000   
       Collective Action Securities, 10.750% due 9/19/13 
2,208,750 
    Total Venezuela  5,622,769 
    TOTAL SOVEREIGN BONDS   
         (Cost — $127,663,428)  133,596,085 
LOAN PARTICIPATIONS — 0.1%(c)(g)   
Morocco — 0.0%   
278,056    Kingdom of Morocco, Tranche A, 3.813% due 1/2/09 (JPMorgan Chase &   
         Co.)  275,970 
United States — 0.1%   
1,000,000    UPC Broadband Inc. Term Loan, Tranche H2, 6.254% due 3/15/12 (Bank of   
         America)  1,008,334 
    TOTAL LOAN PARTICIPATIONS   
         (Cost — $1,275,787)  1,284,304 
SHARES 
 
SECURITY(a) 
VALUE 
COMMON STOCK — 41.8%   
CONSUMER DISCRETIONARY — 4.4%   
Hotels, Restaurants & Leisure — 0.5%   
13,000    Ctrip.com International Ltd., ADR  720,265 
72,800    McDonald's Corp.  2,269,176 
25,000    Outback Steakhouse Inc.  1,164,500 
      4,153,941 
Household Durables — 0.3%   
117,400    Newell Rubbermaid Inc. (d)  2,919,738 
Media — 2.9% 
 
88,100    Cablevision Systems Corp., New York Group, Class A Shares*  2,728,457 
425,000    Charter Communications Inc., Class A Shares (d)*  573,750 
22,800    Comcast Corp., Class A Shares*  700,644 
17,240    Discovery Holding Co., Class A Shares*  246,015 
178,800    EchoStar Communications Corp., Class A Shares*  5,135,136 
156,500    Interpublic Group of Cos. Inc. (d)*  1,956,250 
57,575    Liberty Global Inc., Class A Shares*  2,731,358 
172,400    Liberty Media Corp., Class A Shares*  1,515,396 
181,100    News Corp., Class B Shares (d)  3,140,274 
8,400    NTL Inc. (d)*  559,692 
25,000    Regal Entertainment Group, Class A Shares  482,750 
345,800    SES Global, FDR  5,427,307 
140,500    Time Warner Inc.  2,391,310 
      27,588,339 
Multiline Retail — 0.3%   
56,100    J.C. Penney Co. Inc.  3,149,454 
Specialty Retail — 0.3% 
 
20,000    Best Buy Co. Inc.  1,532,000 
30,000    Sherwin-Williams Co.  1,428,300 
      2,960,300 

See Notes to Schedule of Investments

15

SALOMON BROTHERS CAPITAL AND INCOME FUND INC.

Schedule of Investments (unaudited) (continued) 
 
July 31, 2005 

SHARES 
 
SECURITY(a)
VALUE 
CONSUMER DISCRETIONARY (continued)
 
Textiles, Apparel & Luxury Goods — 0.1%
 
15,000 
 
NIKE Inc., Class B Shares
$
1,257,000 
 
TOTAL CONSUMER DISCRETIONARY
42,028,772 
CONSUMER STAPLES — 2.3%
 
Beverages — 0.2% 
 
25,000 
 
PepsiCo Inc.
1,363,250 
Food & Staples Retailing — 0.7% 
 
40,000 
 
CVS Corp.
1,241,200 
162,600 
 
Kroger Co.*
3,227,610 
53,000 
 
Wal-Mart Stores Inc.
2,615,550 
 
7,084,360 
Food Products — 0.5% 
 
39,100 
 
Kellogg Co.
1,771,621 
50,000 
 
McCormick & Co. Inc., Non Voting Shares
1,739,000 
75,000 
 
Sara Lee Corp.
1,494,750 
 
5,005,371 
Household Products — 0.3%
 
46,300 
 
Kimberly-Clark Corp.
2,952,088 
Tobacco — 0.6% 
 
78,000 
 
Altria Group Inc.
5,222,880 
 
TOTAL CONSUMER STAPLES
21,627,949 
ENERGY — 6.6% 
 
Energy Equipment & Services — 2.3%
 
30,900 
 
BJ Services Co.
1,884,591 
137,700 
 
ENSCO International Inc.
5,560,326 
58,900 
 
GlobalSantaFe Corp.
2,649,911 
71,500 
 
Halliburton Co.
4,007,575 
55,300 
 
Nabors Industries Ltd.*
3,619,385 
29,900 
 
National-Oilwell Varco Inc.*
1,565,265 
105,000 
 
Pride International Inc.*
2,732,100 
 
22,019,153 
Oil, Gas & Consumable Fuels — 4.3%
 
82,500 
  
Arlington Tankers Ltd. (d)
1,913,175 
35,300 
 
BP PLC, Sponsored ADR
2,325,564 
104,600 
 
Canadian Natural Resources Ltd.
4,349,268 
87,200 
 
Marathon Oil Corp.
5,088,992 
225,414 
 
Nexen Inc.
8,385,401 
127,000 
 
OPTI Canada Inc.*
3,066,732 
17,600 
 
Suncor Energy Inc.
860,640 
87,480 
 
Total SA, Sponsored ADR (d)
10,935,000 
190,400 
 
Williams Cos. Inc.
4,044,096 
 
40,968,868 
 
TOTAL ENERGY
62,988,021 
FINANCIALS — 12.3% 
 
Capital Markets — 0.5% 
 
6,600 
 
Goldman Sachs Group Inc.
709,368 
15,900 
 
Legg Mason Inc.
1,624,185 
8,000 
 
Lehman Brothers Holdings Inc.
841,040 
35,600 
 
Merrill Lynch & Co. Inc.
2,092,568 
 
5,267,161 
Commercial Banks — 1.1%
 
92,952 
 
Bank of America Corp.
4,052,707 
24,700 
 
Comerica Inc.
1,509,170 
16,500 
 
Wachovia Corp.
831,270 
53,800 
 
Wells Fargo & Co.
3,300,092 

See Notes to Schedule of Investments

16

SALOMON BROTHERS CAPITAL AND INCOME FUND INC.

Schedule of Investments (unaudited) (continued) 
 
July 31, 2005 

SHARES 
 
SECURITY(a) 
VALUE 
Commercial Banks (continued) 
 
13,000    Zions Bancorporation 
$
929,240 
      10,622,479 
Consumer Finance — 0.9% 
 
16,100    American Express Co.  885,500 
95,032    Capital One Financial Corp.  7,840,140 
      8,725,640 
Diversified Financial Services — 0.2%   
41,840    JPMorgan Chase & Co.  1,470,258 
Insurance — 0.9%   
26,800    AFLAC Inc.  1,208,680 
24,300    American International Group Inc.  1,462,860 
8    Berkshire Hathaway Inc., Class A Shares*  668,000 
30,800    Chubb Corp.  2,735,656 
8,000    Hartford Financial Services Group Inc.  644,560 
15,300    IPC Holdings Ltd.  618,885 
14,200    PartnerRe Ltd.  920,444 
17,250    Willis Group Holdings Ltd. (d)  572,010 
      8,831,095 
Real Estate — 8.1%   
19,300    Alexandria Real Estate Equities Inc.  1,552,685 
65,200    AMB Property Corp.  2,998,548 
155,000    American Financial Realty Trust  2,232,000 
7,400    Apartment Investment and Management Co., Class A Shares  325,600 
62,100    Archstone-Smith Trust  2,639,250 
60,000    Arden Realty Group Inc.  2,395,800 
25,000    Ashford Hospitality Trust Inc.  297,250 
31,900    Avalonbay Communities Inc.  2,793,164 
46,500    BioMed Realty Trust Inc.  1,182,495 
17,200    Boston Properties Inc.  1,309,780 
12,400    BRE Properties Inc., Class A Shares (d)  556,760 
66,800    CarrAmerica Realty Corp.  2,594,512 
12,000    Developers Diversified Realty Corp.  584,040 
20,900    Duke Realty Corp.  709,764 
218,000    Equity Office Properties Trust  7,728,100 
50,200    Equity Residential  2,028,080 
29,800    Federal Realty Investment Trust  1,946,238 
67,400    General Growth Properties Inc.  3,099,052 
46,000    Global Signal Inc. (d)  1,973,400 
22,500    Gramercy Capital Corp.  594,900 
57,900    Heritage Property Investment Trust  2,153,880 
27,000    Highwoods Properties Inc.  854,550 
90,000    iStar Financial Inc.  3,851,100 
12,400    Kimco Realty Corp.  814,184 
70,000    Liberty Property Trust  3,141,600 
7,400    Macerich Co.  519,628 
100,000    Maguire Properties Inc.  2,995,000 
105,000    New Plan Excel Realty Trust Inc. (d)  2,874,900 
7,200    Pan Pacific Retail Properties Inc.  500,472 
60,000    Prentiss Properties Trust  2,428,200 
106,300    ProLogis  4,843,028 
39,200    PS Business Parks Inc.  1,820,056 
21,000    Public Storage Inc.  1,401,750 
26,393    Reckson Associates Realty Corp.  926,922 
34,500    Simon Property Group Inc.  2,751,030 
45,900    SL Green Realty Corp.  3,199,230 
25,000    United Dominion Realty Trust Inc.  636,250 
26,900    Vornado Realty Trust  2,384,416 
      77,637,614 

See Notes to Schedule of Investments

17

SALOMON BROTHERS CAPITAL AND INCOME FUND INC.

Schedule of Investments (unaudited) (continued) 
 
July 31, 2005 

SHARES 
 
SECURITY(a) 
VALUE 
FINANCIALS (continued)   
Thrifts & Mortgage Finance — 0.6%   
54,950    Freddie Mac 
$
3,477,236 
36,300    Golden West Financial Corp.  2,363,856 
      5,841,092 
    TOTAL FINANCIALS  118,395,339 
HEALTH CARE — 4.7%   
Biotechnology — 0.9%   
74,400    Abgenix Inc. (d)*  771,528 
42,000    Amgen Inc.*  3,349,500 
87,400    CuraGen Corp. (d)*  554,116 
28,400    CV Therapeutics Inc.*  800,028 
13,700    Genentech Inc.*  1,223,821 
7,100    InterMune Inc. (d)*  107,423 
16,300    OSI Pharmaceuticals Inc.*  673,190 
34,600    Protein Design Labs Inc. (d)*  788,534 
42,700    Telik Inc. (d)*  725,900 
      8,994,040 
Health Care Equipment & Supplies — 1.0%   
47,400    DJ Orthopedics Inc. (d)*  1,162,722 
13,100    Fisher Scientific International Inc.*  878,355 
47,900    Guidant Corp.  3,295,520 
47,300    Zimmer Holdings Inc.*  3,895,628 
      9,232,225 
Health Care Providers & Services — 1.1%   
36,300    Aetna Inc.  2,809,620 
39,600    Coventry Health Care Inc.*  2,800,908 
64,500    WellPoint Inc.*  4,562,730 
      10,173,258 
Pharmaceuticals — 1.7%   
39,200    Connetics Corp. (d)*  733,432 
64,200    GlaxoSmithKline PLC, Sponsored ADR  3,045,648 
35,100    Novartis AG, Sponsored ADR  1,709,721 
93,400    Pfizer Inc.  2,475,100 
23,900    Sanofi-Aventis  2,068,316 
46,100    Sanofi-Aventis, ADR  1,996,130 
66,800    Sepracor Inc.*  3,496,980 
22,800    Teva Pharmaceutical Industries Ltd., Sponsored ADR  715,920 
      16,241,247 
    TOTAL HEALTH CARE  44,640,770 
INDUSTRIALS — 3.4%   
Aerospace & Defense — 1.2% 
 
116,400    Boeing Co.  7,683,564 
90,000    Raytheon Co.  3,539,700 
      11,223,264 
Building Products — 0.2%   
52,800    American Standard Cos. Inc.  2,337,984 
Commercial Services & Supplies — 0.2%   
35,700    Avery Dennison Corp.  2,023,119 
Construction & Engineering — 0.4%   
150,800    Chicago Bridge & Iron Co. NV, New York Shares (d)  4,214,860 

See Notes to Schedule of Investments

18

SALOMON BROTHERS CAPITAL AND INCOME FUND INC.

Schedule of Investments (unaudited) (continued) 
 
July 31, 2005 

SHARES 
 
SECURITY(a) 
VALUE 
INDUSTRIALS (continued) 
 
Industrial Conglomerates — 1.2%   
259,800    General Electric Co.  $ 8,963,100 
30,100 
  Textron Inc. 
2,232,517 
    11,195,617 
Machinery — 0.2% 
 
41,300 
  Navistar International Corp.*  1,410,395 
Trading Companies & Distributors — 0.0% 
 
9,600 
  MSC Industrial Direct Co. Inc., Class A Shares  371,424 
  TOTAL INDUSTRIALS  32,776,663 
INFORMATION TECHNOLOGY — 3.0% 
 
Communications Equipment — 1.3% 
 
158,085 
  ADC Telecommunications Inc.*  4,132,342 
56,451 
  Comverse Technology Inc.*  1,427,646 
141,000 
  Nokia Oyj, Sponsored ADR  2,248,950 
1,641,100 
  Nortel Networks Corp.*  4,316,093 
    12,125,031 
Computers & Peripherals — 0.1% 
 
18,500 
  Lexmark International Inc., Class A Shares*  1,159,950 
Internet Software & Services — 0.2% 
 
133,900 
  Digitas Inc. (d)*  1,510,392 
21,900 
  SINA Corp.*  609,039 
    2,119,431 
IT Services — 0.1% 
 
50,000 
  Wright Express Corp.*  1,049,000 
Semiconductors & Semiconductor Equipment — 0.7% 
 
25,000 
  Applied Materials Inc.  461,500 
20,000 
  ASML Holding NV, NY Registered Shares*  352,000 
24,000 
  Intel Corp.  651,360 
128,000 
  Maxim Integrated Products Inc.  5,359,360 
    6,824,220 
Software — 0.6% 
 
13,000 
  Cognos Inc.*  508,560 
12,000 
  Mercury Interactive Corp.*  472,440 
175,400 
  Microsoft Corp.  4,491,994 
    5,472,994 
  TOTAL INFORMATION TECHNOLOGY  28,750,626 
MATERIALS — 1.2% 
 
Chemicals — 0.6% 
 
61,700 
  Air Products & Chemicals Inc.  3,687,192 
46,700 
  E.I. du Pont de Nemours & Co.  1,993,156 
    5,680,348 
Containers & Packaging — 0.1% 
 
20,000 
  Sealed Air Corp.*  1,061,200 
Metals & Mining — 0.5% 
 
153,400 
  Barrick Gold Corp.  3,758,300 
56,200 
  Compass Minerals International Inc. (d)  1,430,290 
    5,188,590 
  TOTAL MATERIALS  11,930,138 

See Notes to Schedule of Investments

19

SALOMON BROTHERS CAPITAL AND INCOME FUND INC.

Schedule of Investments (unaudited) (continued) 
 
July 31, 2005 

SHARES 
 
SECURITY(a)
VALUE 
TELECOMMUNICATION SERVICES — 2.5% 
 
Diversified Telecommunication Services — 1.1% 
 
34,300 
  ALLTEL Corp.  2,280,950 
276,800 
  Citizens Communications Co.  3,637,152 
50,800 
 
New Skies Satellites Holdings Ltd.
$
1,051,560 
60,000 
 
Sprint Corp.
1,614,000 
107,600 
 
Telewest Global Inc.*
2,403,784 
 
10,987,446 
Wireless Telecommunication Services — 1.4%
 
174,300 
 
Dobson Communications Corp., Class A Shares (d)*
1,228,815 
169,600 
 
Nextel Communications Inc., Class A Shares*
5,902,080 
75,300 
 
SpectraSite Inc.*
6,152,010 
 
13,282,905 
 
TOTAL TELECOMMUNICATION SERVICES
24,270,351 
UTILITIES — 1.4% 
 
Electric Utilities — 0.3% 
 
100,000 
 
ITC Holdings Corp.
2,800,000 
Independent Power Producers & Energy Traders — 0.6%
 
150,000 
 
AES Corp.*
2,407,500 
79,000 
 
NRG Energy Inc. (d)*
3,029,650 
 
5,437,150 
Multi-Utilities — 0.5% 
 
123,300 
 
Sempra Energy
5,240,250 
 
TOTAL UTILITIES
13,477,400 
 
TOTAL COMMON STOCK
 
 
     (Cost — $345,783,253)
400,886,029 
PREFERRED STOCK — 0.0%
 
CONSUMER DISCRETIONARY — 0.0%
 
Auto Components — 0.0% 
 
14,000 
 
Delphi Trust I, 8.250% (d)
 
 
     (Cost — $368,200)
280,000 
CONVERTIBLE PREFERRED STOCK — 2.8%
 
ENERGY — 0.2% 
 
Energy Equipment & Services — 0.2%
 
38,000 
 
Hanover Compressor Capital Trust, 7.250% Preferred Securities (d)
1,990,250 
FINANCIALS — 2.4% 
 
Commercial Banks — 0.4%
 
60,000 
 
Commerce Capital Trust II, 5.950% Preferred Securities
3,877,500 
Real Estate — 1.3% 
 
167,000 
 
Host Marriott Finance Trust, 6.750% Quarterly Income Preferred Securities
10,187,000 
39,000 
 
Simon Property Group Inc., 6.000% (d)
2,594,670 
 
12,781,670 
Thrifts & Mortgage Finance — 0.7% 
 
140,000 
 
Sovereign Capital Trust IV, 4.375% Contingent Trust Preferred Income
 
 
     Equity Redeeemable Securities
6,527,500 
 
TOTAL FINANCIALS
23,186,670 
TELECOMMUNICATION SERVICES — 0.2%
 
Wireless Telecommunication Services — 0.2%
 
11,300 
 
Dobson Communications Corp., 6.000% Cumulative, Series F  (d)
1,925,237 
 
TOTAL CONVERTIBLE PREFERRED STOCK
 
 
     (Cost — $25,062,106)
27,102,157 

See Notes to Schedule of Investments

20

SALOMON BROTHERS CAPITAL AND INCOME FUND INC.

Schedule of Investments (unaudited) (continued) 
 
July 31, 2005 

CONTRACTS 
 
SECURITY(a)
VALUE 
PURCHASED OPTION — 0.1%
 
Purchased Put — 0.1% 
 
2,100 
 
S & P 500 Index, Put @ 1,150, expires 9/17/05
 
 
     (Cost — $2,510,928)
$
525,000 
   
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS
   
   
     (Cost — $815,060,982)
 
872,567,658 
SHORT-TERM INVESTMENTS — 9.1%    
Repurchase Agreement — 0.9%     
$     8,473,000 
 
Interest in $675,460,000 joint tri-party repurchase agreement dated 7/29/05
   
   
     with Goldman Sachs & Co., 3.300% due 8/1/05, Proceeds at maturity -
   
   
     $8,475,330 ; (Fully collateralized by various U.S. Treasury obligations, 
   
   
     0.000% to 12.000% due 8/15/05 to 4/15/32; Market value - $8,642,478)
   
   
     (Cost — $8,473,000)
 
8,473,000 
SHARES 
  SECURITY(a)  
VALUE 
Securities Purchased from Securities Lending Collateral — 8.2%    
78,585,562 
  State Street Navigator Securities Lending Trust Prime Portfolio    
   
     (Cost — $78,585,562)
 
78,585,562 
    TOTAL SHORT-TERM INVESTMENTS  
   
     (Cost — $87,058,562)
 
87,058,562 
    TOTAL INVESTMENTS — 100.0% (Cost — $902,119,544#) $
959,626,220 

* Non-income producing security.
† Face amount denominated in U.S. dollars, unless otherwise indicated.
(a) All securities (except those on loan) are segregated as collateral pursuant to revolving credit facility.
(b) 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.
(c) Variable rate securities. Coupon rates disclosed are those which are in effect at July 31, 2005. Maturity date shown is the date of the next coupon rate reset or actual maturity.
(d) All or a portion of this security is on loan.
(e) This security is exchangeable for Sprint Nextel Corp. common stock- Series I or cash based on the value of that stock.
(f) Security is valued in good faith at fair value by or under the direction of the Board of Directors.
(g) Participation interest was acquired through the financial institutions indicated parenthetically.
# Aggregate cost for federal income tax purposes is substantially the same.
   
  Abbreviations used in this schedule: 
ADR - American Depositary Receipt
ARS- Argentine Peso
C Bond- Capitalization Bond
DCB - Debt Conversion Bond
EUR - Euro
FDR - Foreign Depositary Receipt
FHLMC - Federal Home Loan Mortgage Corporation
FLIRB - Front-Loaded Interest Reduction Bonds
FNMA - Federal National Mortgage Association
MASTR - Mortgage Asset Securitization Transactions Inc.
MTN - Medium-Term Note
NIM - Net Interest Margin
PAC - Planned Amortization Class
Term - Term Loan


See Notes to Schedule of Investments

21

Notes to Schedule of Investments (unaudited)

1. Organization and Significant Accounting Policies

The Salomon Brothers 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 (“1940 Act”), as amended.

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. 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 relationships between securities. 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. Publicly traded foreign 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 thst 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 Funds' policy that their 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) Written Option. 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 and the amount for effecting a closing purchase transaction, including brokerage commission, is also treated as a realized gain or loss. When a written put option is exercised, the amount of the premium received reduces the cost of the security purchased by 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) Lending of Portfolio Securities. The Fund has an agreement with its custodian whereby the custodian may lend securities owned by the Fund to brokers, dealers and other financial organizations. In exchange for lending securities under the terms of the agreement with its custodian, the Fund receives a lender’s fee. Fees earned by the Fund on securities lending are recorded as securities lending income. Loans of securities by the Fund are collateralized by cash, U.S. government securities or high quality money market instruments that are maintained at all times in an amount at least equal to the current market value of the loaned securities, plus a margin which varies depending on the type of securities loaned. The custodian establishes and maintains the collateral in a segregated account. The Fund has the right under the lending agreement to recover the securities from the borrower on demand.

The Fund maintains the risk of any loss on the securities on loan as well as the potential loss on investments purchased with cash collateral received from securities lending.

(e) 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

22

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 will assume the credit risk of both the borrower and the lender that is selling the participation and any other persons interpositioned between the Fund and borrow. 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.

(f) Credit and Market Risk with Emerging Debt. 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 risk. 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 Funds. The Fund’s investment in non-dollar denominated securities may also result in foreign currency losses caused by devaluations and exchange rate fluctuations.

(g) 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.

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

2. Investments

At July 31, 2005, the aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes were substantially as follows:

Gross unrealized appreciation 
$
76,292,440  
Gross unrealized depreciation  (18,785,764 ) 
Net unrealized appreciation  $ 57,506,676  

At July 31, 2005, the Fund held purchased put options with a total cost of $2,510,928 and a total market value of $525,000.

At July 31, 2005, the Fund loaned securities having a market value of $76,917,290. The Fund received cash collateral amounting to $78,585,562 which was invested into the State Street Navigator Securities Lending Trust Prime Portfolio, a Rule 2a-7 money market fund, registered under the 1940 Act.

At July 31, 2005, the Fund held loan participations with a total cost of $1,275,787 and a total market value of $1,284,304.

3. Loan

At July 31, 2005, the Fund had a $220,000,000 loan pursuant to a revolving credit and security agreement with Crown Point Capital Company LLC and Citicorp North America, Inc. (“CNA”), an affiliate of SBAM. In addition, CNA acts as administrative agent of the credit facility. The loan generally bears interest at a variable rate based on the weighted average interest rates of the 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.

In the course of discussions with the Securities and Exchange Commission regarding modifying the exemptive relief that CNA and the Fund rely upon for this type of financing, interpretive issues arose with respect to the existing relief. The Fund cannot predict the outcome of these discussions. If the Fund is required to seek alternate financing sources, its cost of borrowing may increase.

23

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.

Salomon Brothers Capital and Income Fund Inc.

By    
 
 
 
R. Jay Gerken 
 
 
Chief Executive Officer 
 
     
Date September 29, 2005  

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    
 
 
 
R. Jay Gerken 
 
 
Chief Executive Officer 
 
     
Date September 29, 2005  
     
By    
 
 
 
Frances M. Guggino
 
 
Chief Financial Officer 
 
     
Date September 29, 2005