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 number 811- 21337
Salomon Brothers Global High Income Fund Inc.
(Exact name of registrant as specified in charter)
125 Broad Street, New York, NY 10004
(Address of principal executive offices) (Zip code)
Robert I. Frenkel, Esq.
Legg Mason & Co., LLC
300 First Stamford Place
Stamford, CT 06902
(Name and address of agent for service)
Registrants telephone number, including area code: 1-800-725-6666
Date of fiscal year end: May 31
Date of reporting period: August 31, 2006
ITEM 1. | SCHEDULE OF INVESTMENTS |
SALOMON BROTHERS GLOBAL HIGH INCOME FUND INC.
FORM N-Q
AUGUST 31, 2006
SALOMON BROTHERS GLOBAL HIGH INCOME FUND INC.
Schedule of Investments (unaudited) |
August 31, 2006 |
FACE AMOUNT |
SECURITY (a) |
VALUE | |||
CORPORATE BONDS & NOTES - 35.2% | |||||
Aerospace & Defense - 0.4% | |||||
410,000 | Alliant Techsystems Inc., Senior Subordinated Notes, 6.750% due 4/1/16 |
$ | 399,750 | ||
1,150,000 | DRS Technologies Inc., Senior Subordinated Notes, 6.875% due 11/1/13 |
1,121,250 | |||
845,000 | L-3 Communications Corp., Senior Subordinated Notes, 7.625% due 6/15/12 |
870,350 | |||
650,000 | Moog Inc., Senior Subordinated Notes, 6.250% due 1/15/15 |
617,500 | |||
Total Aerospace & Defense |
3,008,850 | ||||
Airlines - 0.1% | |||||
Continental Airlines Inc., Pass-Through Certificates: |
|||||
190,167 | Series 974C, 6.800% due 7/2/07 |
181,922 | |||
142,411 | Series 1998-1, Class C, 6.541% due 9/15/08 |
136,242 | |||
475,000 | Series 2001-2, Class D, 7.568% due 12/1/06 |
474,546 | |||
Total Airlines |
792,710 | ||||
Auto Components - 0.3% | |||||
750,000 | Keystone Automotive Operations Inc., Senior Subordinated Notes, 9.750% due 11/1/13 | 716,250 | |||
347,000 | TRW Automotive Inc., Senior Notes, 9.375% due 2/15/13 | 372,158 | |||
Visteon Corp., Senior Notes: |
|||||
865,000 | 8.250% due 8/1/10 |
852,025 | |||
280,000 | 7.000% due 3/10/14 |
249,900 | |||
Total Auto Components | 2,190,333 | ||||
Automobiles - 1.1% | |||||
Ford Motor Co.: |
|||||
Debentures: |
|||||
545,000 | 8.875% due 1/15/22 |
465,975 | |||
275,000 | 8.900% due 1/15/32 |
248,188 | |||
7,205,000 | Notes, 7.450% due 7/16/31 |
5,691,950 | |||
General Motors Corp.: |
|||||
570,000 | Notes, 7.200% due 1/15/11 |
513,712 | |||
Senior Debentures: |
|||||
300,000 | 8.250% due 7/15/23 |
250,500 | |||
1,540,000 | 8.375% due 7/15/33 |
1,297,450 | |||
Total Automobiles | 8,467,775 | ||||
Biotechnology - 0.0% | |||||
80,000 | Angiotech Pharmaceuticals Inc., Senior Subordinated Notes, 7.750% due 4/1/14 (b) | 78,400 | |||
Building Products - 0.5% | |||||
Associated Materials Inc.: |
|||||
270,000 | Senior Discount Notes, step bond to yield 16.177% due 3/1/14 |
148,500 | |||
1,095,000 | Senior Subordinated Notes, 9.750% due 4/15/12 |
1,078,575 | |||
510,000 | Jacuzzi Brands Inc., Secured Notes, 9.625% due 7/1/10 | 543,150 | |||
1,180,000 | Nortek Inc., Senior Subordinated Notes, 8.500% due 9/1/14 | 1,103,300 | |||
1,275,000 | NTK Holdings Inc., Senior Discount Notes, step bond to yield 11.228% due 3/1/14 | 860,625 | |||
Total Building Products | 3,734,150 | ||||
Capital Markets - 0.2% | |||||
815,000 | BCP Crystal U.S. Holdings Corp., Senior Subordinated Notes, 9.625% due 6/15/14 | 887,331 | |||
730,000 | E*TRADE Financial Corp., Senior Notes, 7.375% due 9/15/13 | 740,950 | |||
Total Capital Markets |
1,628,281 | ||||
See Notes to Schedule of Investments.
1
SALOMON BROTHERS GLOBAL HIGH INCOME FUND INC.
Schedule of Investments (unaudited) (continued) | August 31, 2006 |
FACE AMOUNT |
SECURITY (a) |
VALUE | |||
Chemicals - 0.8% | |||||
750,000 | Equistar Chemicals LP, Senior Notes, 10.625% due 5/1/11 |
$ | 810,000 | ||
Huntsman International LLC, Senior Subordinated Notes: |
|||||
762,000 | 10.125% due 7/1/09 |
781,050 | |||
160,000 | 8.375% due 1/1/15 (b) |
159,600 | |||
175,000 | IMC Global Inc., Senior Notes, 10.875% due 8/1/13 |
196,875 | |||
1,425,000 | Lyondell Chemical Co., Senior Secured Notes, Series A, 9.625% due 5/1/07 |
1,460,625 | |||
100,000 | Millennium America Inc., Senior Notes, 9.250% due 6/15/08 |
102,750 | |||
1,190,000 | Montell Finance Co. BV, Debentures, 8.100% due 3/15/27 (b) |
1,109,675 | |||
Rhodia SA: |
|||||
410,000 | Senior Notes, 10.250% due 6/1/10 |
452,025 | |||
825,000 | Senior Subordinated Notes, 8.875% due 6/1/11 |
847,687 | |||
Total Chemicals |
5,920,287 | ||||
Commercial Banks - 0.4% | |||||
2,710,000 | Russian Agricultural Bank, Notes, 7.175% due 5/16/13 (b) |
2,804,850 | |||
Commercial Services & Supplies - 0.8% | |||||
225,000 | Allied Security Escrow Corp., Senior Subordinated Notes, 11.375% due 7/15/11 |
223,313 | |||
Allied Waste North America Inc.: |
|||||
Senior Notes, Series B: |
|||||
1,083,000 | 9.250% due 9/1/12 |
1,164,225 | |||
400,000 | 7.250% due 3/15/15 |
395,000 | |||
900,000 | Senior Secured Notes, Series B, 7.375% due 4/15/14 |
884,250 | |||
600,000 | Corrections Corporation of America, Senior Subordinated Notes, 6.250% due 3/15/13 |
582,750 | |||
1,118,000 | DynCorp International LLC/DIV Capital Corporation, Senior Subordinated Notes, 9.500% due 2/15/13 |
1,159,925 | |||
1,225,000 | Windstream Corp., Senior Notes, 8.625% due 8/1/16 (b) |
1,301,562 | |||
Total Commercial Services & Supplies |
5,711,025 | ||||
Communications Equipment - 0.3% | |||||
3,000,000 | Lucent Technologies Inc., Debentures, 6.450% due 3/15/29 |
2,572,500 | |||
Consumer Finance - 1.3% | |||||
Ford Motor Credit Co.: |
|||||
Notes: |
|||||
50,000 | 7.875% due 6/15/10 |
49,180 | |||
1,300,000 | 7.000% due 10/1/13 |
1,214,932 | |||
Senior Notes: |
|||||
1,650,000 | 10.486% due 6/15/11 (b)(c) |
1,746,837 | |||
115,000 | 9.875% due 8/10/11 |
120,269 | |||
General Motors Acceptance Corp., Notes: |
|||||
2,040,000 | 6.875% due 8/28/12 |
1,993,855 | |||
4,830,000 | 8.000% due 11/1/31 |
4,894,886 | |||
Total Consumer Finance |
10,019,959 | ||||
Containers & Packaging - 1.2% | |||||
1,050,000 | Berry Plastics Corp., Senior Subordinated Notes, 10.750% due 7/15/12 |
1,149,750 | |||
1,020,000 | Graham Packaging Co. Inc., Senior Subordinated Notes, 9.875% due 10/15/14 |
986,850 | |||
Graphic Packaging International Corp.: |
|||||
590,000 | Senior Notes, 8.500% due 8/15/11 |
601,800 | |||
535,000 | Senior Subordinated Notes, 9.500% due 8/15/13 |
540,350 | |||
1,250,000 | JSG Funding PLC, Senior Notes, 9.625% due 10/1/12 |
1,310,937 | |||
1,575,000 | Owens-Illinois Inc., Senior Notes, 7.350% due 5/15/08 |
1,582,875 |
See Notes to Schedule of Investments.
2
SALOMON BROTHERS GLOBAL HIGH INCOME FUND INC.
Schedule of Investments (unaudited) (continued) | August 31, 2006 |
FACE AMOUNT |
SECURITY (a) |
VALUE | |||
Containers & Packaging - 1.2% (continued) | |||||
390,000 | Plastipak Holdings Inc., Senior Notes, 8.500% due 12/15/15 (b) |
$ | 390,000 | ||
Pliant Corp.: |
|||||
381,113 | Senior Secured Notes, 11.625% due 6/15/09 |
423,035 | |||
100,000 | Senior Secured Second Lien Notes, 11.125% due 9/1/09 |
97,000 | |||
575,000 | Radnor Holdings Corp., Senior Notes, 11.000% due 3/15/10 (d) |
140,875 | |||
Smurfit-Stone Container Enterprises Inc., Senior Notes: |
|||||
559,000 | 9.750% due 2/1/11 |
577,168 | |||
745,000 | 8.375% due 7/1/12 |
713,338 | |||
600,000 | Tekni-Plex Inc., Senior Subordinated Notes, Series B, 12.750% due 6/15/10 |
435,000 | |||
Total Containers & Packaging |
8,948,978 | ||||
Diversified Consumer Services - 0.4% | |||||
515,000 | Education Management LLC/Education Management Corp., Senior Notes, 8.750% due 6/1/14 (b) |
512,425 | |||
Hertz Corp.: |
|||||
750,000 | Senior Notes, 8.875% due 1/1/14 (b) |
781,875 | |||
1,660,000 | Senior Subordinated Notes, 10.500% due 1/1/16 (b) |
1,796,950 | |||
Total Diversified Consumer Services |
3,091,250 | ||||
Diversified Financial Services - 2.4% | |||||
487,000 | Alamosa Delaware Inc., Senior Notes, 11.000% due 7/31/10 |
534,482 | |||
755,000 | Basell AF SCA, Senior Subordinated Notes, 8.375% due 8/15/15 (b) |
759,719 | |||
550,000 | CCM Merger Inc., Notes, 8.000% due 8/1/13 (b) |
529,375 | |||
CitiSteel USA Inc., Senior Secured Notes: |
|||||
335,000 | 12.490% due 9/1/10 (c) |
345,887 | |||
225,000 | 15.000% due 10/1/10 (b)(e) |
241,875 | |||
3,160,000 | Dow Jones CDX HY, Pass-Through Trust, Series 6-T3, 8.125% due 6/29/11 (b) |
3,161,975 | |||
860,000 | El Paso Performance-Linked Trust, Notes, 7.750% due 7/15/11 (b) |
880,425 | |||
487,000 | Global Cash Access LLC/Global Cash Finance Corp., Senior Subordinated Notes, 8.750% due 3/15/12 |
511,959 | |||
300,000 | Hexion U.S. Finance Corp./Hexion Nova Scotia Finance ULC, Second Priority, Senior Secured Notes, 9.000% due 7/15/14 |
303,000 | |||
525,000 | Hughes Network Systems LLC/HNS Finance Corp., Senior Notes, 9.500% due 4/15/14 (b) |
535,500 | |||
6,429,000 | Targeted Return Index Securities (TRAINS), Secured Notes, Series HY-1-2006, 7.548% due 5/1/16 (b) |
6,385,971 | |||
1,750,000 | TNK-BP Finance SA, 7.500% due 7/18/16 (b) |
1,819,466 | |||
360,000 | UCAR Finance Inc., Senior Notes, 10.250% due 2/15/12 |
379,800 | |||
430,000 | UGS Corp., Senior Subordinated Notes, 10.000% due 6/1/12 |
464,400 | |||
890,000 | Vanguard Health Holdings Co. I LLC, Senior Discount Notes, step bond to yield 9.952% due 10/1/15 |
645,250 | |||
555,000 | Vanguard Health Holdings Co. II LLC, Senior Subordinated Notes, 9.000% due 10/1/14 |
541,125 | |||
Total Diversified Financial Services |
18,040,209 | ||||
Diversified Telecommunication Services - 2.1% | |||||
Cincinnati Bell Inc.: |
|||||
865,000 | Senior Notes, 7.000% due 2/15/15 |
847,700 | |||
185,000 | Senior Subordinated Notes, 8.375% due 1/15/14 |
186,619 | |||
50,000 | Cincinnati Bell Telephone Co., Senior Debentures, 6.300% due 12/1/28 |
43,000 | |||
660,000 | Citizens Communications Co., Senior Notes, 9.000% due 8/15/31 |
699,600 | |||
1,020,000 | Hawaiian Telcom Communications Inc., Senior Subordinated Notes, Series B, 12.500% due 5/1/15 |
1,048,050 | |||
1,000,000 | Insight Midwest LP/Insight Capital Inc., Senior Notes, 10.500% due 11/1/10 |
1,055,000 |
See Notes to Schedule of Investments.
3
SALOMON BROTHERS GLOBAL HIGH INCOME FUND INC.
Schedule of Investments (unaudited) (continued) | August 31, 2006 |
FACE AMOUNT |
|
SECURITY (a) |
VALUE | |||
Diversified Telecommunication Services - 2.1% (continued) | ||||||
Intelsat Bermuda Ltd., Senior Notes: |
||||||
755,000 | 9.250% due 6/15/16 (b) |
$ | 788,975 | |||
1,505,000 | 11.250% due 6/15/16 (b) |
1,567,081 | ||||
195,000 | Intelsat Ltd., Notes, 7.625% due 4/15/12 |
170,138 | ||||
500,000 | Nordic Telephone Co. Holdings, Senior Notes, 8.875% due 5/1/16 (b) |
522,500 | ||||
1,200,000 | NTL Cable PLC, Senior Notes, 8.750% due 4/15/14 |
1,251,000 | ||||
315,000 | PanAmSat Corp., Senior Notes, 9.000% due 8/15/14 |
322,087 | ||||
Qwest Communications International Inc., Senior Notes: |
||||||
590,000 | 7.500% due 2/15/14 |
587,787 | ||||
1,520,000 | Series B, 7.500% due 2/15/14 |
1,514,300 | ||||
2,155,000 | Qwest Corp., Debentures, 6.875% due 9/15/33 |
1,939,500 | ||||
1,760,000 | Southwestern Bell Telephone Co., Debentures, 7.000% due 11/15/27 |
1,772,739 | ||||
1,255,000 | Telcordia Technologies Inc., Senior Subordinated Notes, 10.000% due 3/15/13 (b) |
1,007,137 | ||||
8,000,000 | MXN | Telefonos de Mexico SA de CV, 8.750% due 1/31/16 |
722,062 | |||
155,000 | Wind Acquisition Finance SA, Senior Bond, 10.750% due 12/1/15 (b) |
169,144 | ||||
Total Diversified Telecommunication Services |
16,214,419 | |||||
Electric Utilities - 0.3% | ||||||
Enersis SA Notes: |
||||||
962,000 | 7.375% due 1/15/14 |
1,015,042 | ||||
364,000 | 7.400% due 12/1/16 |
386,734 | ||||
530,225 | Midwest Generation LLC, Pass-Through Certificates, Series B, 8.560% due 1/2/16 |
563,695 | ||||
280,000 | Orion Power Holdings Inc., Senior Notes, 12.000% due 5/1/10 |
319,200 | ||||
Total Electric Utilities |
2,284,671 | |||||
Energy Equipment & Services - 0.2% | ||||||
969,000 | Dresser-Rand Group Inc., Senior Subordinated Notes, 7.375% due 11/1/14 |
937,507 | ||||
160,000 | GulfMark Offshore Inc., Senior Notes 7.750% due 7/15/14 |
160,000 | ||||
125,000 | Pride International Inc., Senior Notes, 7.375% due 7/15/14 |
127,813 | ||||
Total Energy Equipment & Services |
1,225,320 | |||||
Food Products - 0.2% | ||||||
Dole Food Co. Inc., Senior Notes: |
||||||
575,000 | 7.250% due 6/15/10 |
541,938 | ||||
432,000 | 8.875% due 3/15/11 |
423,360 | ||||
600,000 | Pinnacle Foods Holding Corp., Senior Subordinated Notes, 8.250% due 12/1/13 |
592,500 | ||||
Total Food Products |
1,557,798 | |||||
Health Care Providers & Services - 1.8% | ||||||
1,100,000 | AmeriPath Inc., Senior Subordinated Notes, 10.500% due 4/1/13 |
1,168,750 | ||||
775,000 | Community Health Systems Inc., Senior Subordinated Notes, 6.500% due 12/15/12 |
728,500 | ||||
1,300,000 | DaVita Inc., Senior Subordinated Notes, 7.250% due 3/15/15 |
1,280,500 | ||||
440,000 | Extendicare Health Services Inc., Senior Notes, 9.500% due 7/1/10 |
462,000 | ||||
1,075,000 | Genesis HealthCare Corp., Senior Subordinated Notes, 8.000% due 10/15/13 |
1,120,687 | ||||
HCA Inc.: |
||||||
Debentures: |
||||||
2,025,000 | 7.050% due 12/1/27 |
1,447,903 | ||||
335,000 | 7.500% due 11/15/95 |
230,470 | ||||
75,000 | Notes, 7.690% due 6/15/25 |
58,334 | ||||
Senior Notes: |
||||||
360,000 | 6.375% due 1/15/15 |
287,100 | ||||
200,000 | 6.500% due 2/15/16 |
158,500 |
See Notes to Schedule of Investments.
4
SALOMON BROTHERS GLOBAL HIGH INCOME FUND INC.
Schedule of Investments (unaudited) (continued) | August 31, 2006 |
FACE AMOUNT |
SECURITY (a) |
VALUE | |||
Health Care Providers & Services - 1.8% (continued) | |||||
1,675,000 | IASIS Healthcare LLC/IASIS Capital Corp., Senior Subordinated Notes, 8.750% due 6/15/14 |
$ | 1,603,812 | ||
667,000 | Psychiatric Solutions Inc., Senior Subordinated Notes, 10.625% due 6/15/13 |
715,358 | |||
Tenet Healthcare Corp., Senior Notes: |
|||||
125,000 | 7.375% due 2/1/13 |
111,875 | |||
2,740,000 | 9.875% due 7/1/14 |
2,685,200 | |||
95,000 | 6.875% due 11/15/31 |
72,438 | |||
1,275,000 | Triad Hospitals Inc., Senior Subordinated Notes, 7.000% due 11/15/13 |
1,224,000 | |||
Total Health Care Providers & Services |
13,355,427 | ||||
Hotels, Restaurants & Leisure - 3.1% | |||||
675,000 | Boyd Gaming Corp., Senior Subordinated Notes, 6.750% due 4/15/14 |
639,563 | |||
Caesars Entertainment Inc.: |
|||||
1,825,000 | Senior Notes, 7.000% due 4/15/13 |
1,886,315 | |||
650,000 | Senior Subordinated Notes, 8.875% due 9/15/08 |
683,313 | |||
575,000 | Choctaw Resort Development Enterprise, Senior Notes, 7.250% due 11/15/19 (b) |
566,375 | |||
875,000 | Dennys Holdings Inc., Senior Notes, 10.000% due 10/1/12 |
885,937 | |||
1,175,000 | Gaylord Entertainment Co., Senior Notes, 6.750% due 11/15/14 |
1,122,125 | |||
825,000 | Herbst Gaming Inc., Senior Subordinated Notes, 7.000% due 11/15/14 |
798,187 | |||
950,000 | Hilton Hotels Corp., Notes, 7.625% due 12/1/12 |
1,009,189 | |||
1,000,000 | Inn of the Mountain Gods Resort & Casino, Senior Notes, 12.000% due 11/15/10 |
1,015,000 | |||
1,150,000 | Isle of Capri Casinos Inc., Senior Subordinated Notes, 7.000% due 3/1/14 |
1,098,250 | |||
420,000 | Kerzner International Ltd., Senior Subordinated Notes, 6.750% due 10/1/15 |
451,500 | |||
975,000 | Las Vegas Sands Corp., Senior Notes, 6.375% due 2/15/15 |
911,625 | |||
MGM MIRAGE Inc., Senior Notes: |
|||||
1,050,000 | 6.750% due 9/1/12 |
1,026,375 | |||
675,000 | 5.875% due 2/27/14 |
619,313 | |||
400,000 | 6.625% due 7/15/15 |
378,500 | |||
Mohegan Tribal Gaming Authority, Senior Subordinated Notes: |
|||||
675,000 | 7.125% due 8/15/14 |
661,500 | |||
625,000 | 6.875% due 2/15/15 |
600,000 | |||
1,150,000 | Penn National Gaming Inc., Senior Subordinated Notes, 6.750% due 3/1/15 |
1,112,625 | |||
Pinnacle Entertainment Inc., Senior Subordinated Notes: |
|||||
450,000 | 8.250% due 3/15/12 |
454,500 | |||
675,000 | 8.750% due 10/1/13 |
712,125 | |||
940,000 | Pokagon Gaming Authority, Senior Notes, 10.375% due 6/15/14 (b) |
998,750 | |||
85,000 | River Rock Entertainment Authority, Senior Notes, 9.750% due 11/1/11 |
90,419 | |||
1,150,000 | Seneca Gaming Corp., Senior Notes, 7.250% due 5/1/12 |
1,135,625 | |||
1,225,000 | Starwood Hotels & Resorts Worldwide Inc., Senior Notes, 7.875% due 5/1/12 |
1,332,187 | |||
Station Casinos Inc.: |
|||||
105,000 | Senior Notes, 7.750% due 8/15/16 |
108,806 | |||
1,125,000 | Senior Subordinated Notes, 6.875% due 3/1/16 |
1,047,656 | |||
2,000,000 | Turning Stone Casino Resort Enterprise, Senior Notes, 9.125% due 12/15/10 (b) |
2,020,000 | |||
Total Hotels, Restaurants & Leisure |
23,365,760 | ||||
Household Durables - 0.8% | |||||
80,000 | American Greetings Corp., Senior Notes, 7.375% due 6/1/16 |
80,900 | |||
Beazer Homes USA Inc., Senior Notes: |
|||||
75,000 | 6.875% due 7/15/15 |
67,125 | |||
460,000 | 8.125% due 6/15/16 (b) |
441,600 |
See Notes to Schedule of Investments.
5
SALOMON BROTHERS GLOBAL HIGH INCOME FUND INC.
Schedule of Investments (unaudited) (continued) | August 31, 2006 |
FACE AMOUNT |
SECURITY (a) |
VALUE | |||
Household Durables - 0.8% (continued) | |||||
1,100,000 | Interface Inc., Senior Subordinated Notes, 9.500% due 2/1/14 |
$ | 1,135,750 | ||
K Hovnanian Enterprises Inc., Senior Notes: |
|||||
780,000 | 7.500% due 5/15/16 |
721,500 | |||
840,000 | 8.625% due 1/15/17 |
824,250 | |||
1,400,000 | Norcraft Cos. LP/Norcraft Finance Corp., Senior Subordinated Notes, 9.000% due 11/1/11 |
1,414,000 | |||
525,000 | Sealy Mattress Co., Senior Subordinated Notes, 8.250% due 6/15/14 |
532,875 | |||
1,061,000 | Tempur-Pedic Inc./Tempur Production USA Inc., Senior Subordinated Notes, 10.250% due 8/15/10 |
1,116,702 | |||
Total Household Durables |
6,334,702 | ||||
Household Products - 0.2% | |||||
Nutro Products Inc.: |
|||||
115,000 | Senior Notes, 9.230% due 10/15/13 (b)(c) |
119,025 | |||
320,000 | Senior Subordinated Notes, 10.750% due 4/15/14 (b) |
339,200 | |||
Spectrum Brands Inc., Senior Subordinated Notes: |
|||||
480,000 | 8.500% due 10/1/13 |
401,400 | |||
257,000 | 7.562% due 2/1/15 |
200,460 | |||
490,000 | Visant Holding Corp., Senior Notes, 8.750% due 12/1/13 (b) |
482,650 | |||
Total Household Products |
1,542,735 | ||||
Independent Power Producers & Energy Traders - 1.1% | |||||
695,000 | AES China Generating Co., Ltd., Class A, 8.250% due 6/26/10 |
685,442 | |||
AES Corp.: |
|||||
Senior Notes: |
|||||
525,000 | 9.375% due 9/15/10 |
569,625 | |||
570,000 | 8.875% due 2/15/11 |
612,750 | |||
910,000 | 7.750% due 3/1/14 |
941,850 | |||
190,000 | Senior Secured Notes, 9.000% due 5/15/15 (b) |
205,913 | |||
625,000 | Calpine Generating Co. LLC, Senior Secured Notes, 14.120% due 4/1/11 (c)(d) |
670,312 | |||
360,000 | Dynegy Holdings Inc., Senior Notes, 8.375% due 5/1/16 (b) |
356,400 | |||
Edison Mission Energy, Senior Notes: |
|||||
75,000 | 7.500% due 6/15/13 (b) |
75,375 | |||
690,000 | 7.750% due 6/15/16 (b) |
693,450 | |||
100,000 | Mirant Americas Generation LLC, Senior Notes, 9.125% due 5/1/31 |
101,000 | |||
845,000 | Mirant North America LLC, Senior Notes, 7.375% due 12/31/13 |
840,775 | |||
NRG Energy Inc., Senior Notes: |
|||||
450,000 | 7.250% due 2/1/14 |
445,500 | |||
2,135,000 | 7.375% due 2/1/16 |
2,108,312 | |||
Total Independent Power Producers & Energy Traders |
8,306,704 | ||||
Industrial Conglomerates - 0.1% | |||||
523,000 | Koppers Inc., Senior Notes, 9.875% due 10/15/13 |
568,763 | |||
225,000 | Sequa Corp., Senior Notes, 9.000% due 8/1/09 |
238,500 | |||
Total Industrial Conglomerates |
807,263 | ||||
Insurance - 0.2% | |||||
1,185,000 | Crum & Forster Holdings Corp., Senior Notes, 10.375% due 6/15/13 |
1,185,000 | |||
Internet & Catalog Retail - 0.1% | |||||
175,000 | Brookstone Co. Inc., Senior Secured Notes, 12.000% due 10/15/12 |
160,125 | |||
520,000 | FTD Inc., Senior Subordinated Notes, 7.750% due 2/15/14 |
509,600 | |||
Total Internet & Catalog Retail |
669,725 | ||||
IT Services - 0.2% | |||||
Sungard Data Systems Inc.: |
|||||
325,000 | Senior Notes, 9.125% due 8/15/13 |
337,187 |
See Notes to Schedule of Investments.
6
SALOMON BROTHERS GLOBAL HIGH INCOME FUND INC.
Schedule of Investments (unaudited) (continued) | August 31, 2006 |
FACE AMOUNT |
SECURITY (a) |
VALUE | |||
IT Services - 0.2% (continued) | |||||
1,415,000 | Senior Subordinated Notes, 10.250% due 8/15/15 |
$ | 1,452,144 | ||
Total IT Services |
1,789,331 | ||||
Leisure Equipment & Products - 0.1% | |||||
470,000 | Warner Music Group, Senior Subordinated Notes, 7.375% due 4/15/14 |
454,725 | |||
Machinery - 0.2% | |||||
550,000 | Case New Holland Inc., Senior Notes, 9.250% due 8/1/11 |
585,750 | |||
360,000 | Commercial Vehicle Group Inc., Senior Notes, 8.000% due 7/1/13 |
344,700 | |||
179,000 | Mueller Group Inc., Senior Subordinated Notes, 10.000% due 5/1/12 |
196,005 | |||
601,000 | Mueller Holdings Inc., Discount Notes, step bond to yield 11.446% due 4/15/14 |
531,885 | |||
91,000 | Terex Corp., Senior Subordinated Notes, 7.375% due 1/15/14 |
91,455 | |||
Total Machinery |
1,749,795 | ||||
Media - 4.4% | |||||
805,000 | Affinion Group Inc., Senior Notes, 10.125% due 10/15/13 (b) |
839,212 | |||
AMC Entertainment Inc.: |
|||||
105,000 | Senior Notes, Series B, 8.625% due 8/15/12 |
108,150 | |||
1,265,000 | Senior Subordinated Notes, 11.000% due 2/1/16 |
1,380,431 | |||
200,000 | Barrington Broadcasting Group LLC/Barrington Broadcasting Capital Corp., Senior Subordinated Notes, 10.500% due 8/15/14 (b) |
197,000 | |||
55,000 | Block Communications Inc., Senior Notes, 8.250% due 12/15/15 (b) |
53,556 | |||
2,487,678 | CanWest Media Inc., Senior Subordinated Notes, 8.000% due 9/15/12 |
2,419,267 | |||
840,000 | CCH I Holdings LLC/CCH I Holding Capital Corp., Senior Notes, 11.750% due 5/15/14 |
575,400 | |||
1,210,000 | CCH I LLC/CCH Capital Corp., Senior Secured Notes, 11.000% due 10/1/15 |
1,079,925 | |||
1,050,000 | CCH II LLC/CCH II Capital Corp., Senior Notes, 10.250% due 9/15/10 |
1,068,375 | |||
Charter Communications Holdings LLC/Charter Communications Holdings Capital Corp., Senior Notes: |
|||||
340,000 | 8.625% due 4/1/09 |
311,950 | |||
160,000 | 10.750% due 10/1/09 |
147,200 | |||
350,000 | Charter Communications Holdings LLC/Charter Communications Holdings II Capital Corp., Senior Notes, 9.625% due 11/15/09 |
320,250 | |||
1,650,000 | Charter Communications Operating LLC, Second Lien Senior Notes, 8.375% due 4/30/14 (b) |
1,674,750 | |||
400,000 | Chukchansi Economic Development Authority, Senior Notes, 8.000% due 11/15/13 (b) |
406,000 | |||
170,000 | CMP Susquehanna Corp., Senior Subordinated Notes, 9.875% due 5/15/14 (b) |
159,375 | |||
CSC Holdings Inc.: |
|||||
425,000 | Debentures, Series B, 8.125% due 8/15/09 |
440,938 | |||
Senior Debentures: |
|||||
305,000 | 7.875% due 2/15/18 |
313,388 | |||
150,000 | 7.625% due 7/15/18 |
152,063 | |||
Senior Notes: |
|||||
Series B: |
|||||
550,000 | 8.125% due 7/15/09 |
571,312 | |||
250,000 | 7.625% due 4/1/11 |
256,875 | |||
575,000 | Series WI, 6.750% due 4/15/12 (f) |
567,813 | |||
790,000 | Dex Media Inc., Discount Notes, step bond to yield 8.015% due 11/15/13 |
661,625 | |||
1,367,000 | Dex Media West LLC/Dex Media Finance Co., Senior Subordinated Notes, Series B, 9.875% due 8/15/13 |
1,474,651 | |||
1,365,000 | DIRECTV Holdings LLC/DIRECTV Financing Co. Inc., Senior Notes, 8.375% due 3/15/13 |
1,440,075 | |||
EchoStar DBS Corp., Senior Notes: |
|||||
1,775,000 | 6.625% due 10/1/14 |
1,710,656 |
See Notes to Schedule of Investments.
7
SALOMON BROTHERS GLOBAL HIGH INCOME FUND INC.
Schedule of Investments (unaudited) (continued) | August 31, 2006 |
FACE AMOUNT |
SECURITY (a) |
VALUE | |||
Media - 4.4% (continued) | |||||
865,000 | 7.125% due 2/1/16 (b) |
$ | 846,619 | ||
1,300,000 | Houghton Mifflin Co., Senior Discount Notes, step bond to yield 20.129% due 10/15/13 |
1,095,250 | |||
475,000 | Interep National Radio Sales Inc., Senior Subordinated Notes, Series B, 10.000% due 7/1/08 |
408,500 | |||
485,000 | Kabel Deutschland GMBH, Senior Notes, 10.625% due 7/1/14 (b) |
521,375 | |||
1,175,000 | Lamar Media Corp., Senior Subordinated Notes, 6.625% due 8/15/15 |
1,107,437 | |||
1,000,000 | LodgeNet Entertainment Corp., Senior Subordinated Notes, 9.500% due 6/15/13 |
1,077,500 | |||
500,000 | Mediacom Broadband LLC/Mediacom Broadband Corp., Senior Notes, 8.500% due 10/15/15 |
497,500 | |||
700,000 | Primedia Inc., Senior Notes, 8.875% due 5/15/11 |
682,500 | |||
270,000 | Quebecor Media Inc., Senior Notes, 7.750% due 3/15/16 |
268,650 | |||
R.H. Donnelley Corp.: |
|||||
Senior Discount Notes: |
|||||
200,000 | Series A-1, 6.875% due 1/15/13 |
180,500 | |||
325,000 | Series A-2, 6.875% due 1/15/13 |
293,313 | |||
550,000 | Senior Notes, Series A-3, 8.875% due 1/15/16 |
544,500 | |||
1,000,000 | R.H. Donnelley Inc., Senior Subordinated Notes, 10.875% due 12/15/12 |
1,100,000 | |||
1,850,000 | Radio One Inc., Senior Subordinated Notes, 6.375% due 2/15/13 |
1,683,500 | |||
1,310,000 | Rainbow National Services LLC, Senior Notes, 8.750% due 9/1/12 (b) |
1,388,600 | |||
Rogers Cable Inc.: |
|||||
80,000 | Secured Notes, 5.500% due 3/15/14 |
74,500 | |||
Senior Secured Notes: |
|||||
1,100,000 | 7.875% due 5/1/12 |
1,164,625 | |||
45,000 | 6.250% due 6/15/13 |
44,044 | |||
130,000 | Senior Secured Second Priority Notes, 6.750% due 3/15/15 |
129,675 | |||
1,150,000 | Sinclair Broadcast Group Inc., Senior Subordinated Notes, 8.000% due 3/15/12 |
1,170,125 | |||
140,000 | Vertis Inc., Senior Secured Second Lien Notes, 9.750% due 4/1/09 |
142,450 | |||
225,000 | Videotron Ltee., Senior Notes, 6.375% due 12/15/15 |
211,781 | |||
XM Satellite Radio Inc., Senior Notes: |
|||||
230,000 | 9.989% due 5/1/13 (b)(c) |
215,625 | |||
520,000 | 9.750% due 5/1/14 (b) |
491,400 | |||
Total Media |
33,670,206 | ||||
Metals & Mining - 0.8% | |||||
80,000 | Chaparral Steel Co., Senior Notes, 10.000% due 7/15/13 |
88,800 | |||
1,050,000 | Corporacion Nacional del Cobre-Codelco, Notes, 5.500% due 10/15/13 (b) |
1,041,666 | |||
485,000 | International Steel Group Inc., Senior Notes, 6.500% due 4/15/14 |
463,175 | |||
275,000 | IPSCO Inc., Senior Notes, 8.750% due 6/1/13 |
294,938 | |||
1,180,000 | Metals USA Inc., Senior Secured Notes, 11.125% due 12/1/15 (b) |
1,306,850 | |||
140,000 | PNA Group Inc., Senior Notes, 10.750% due 9/1/16 (b) |
143,500 | |||
530,000 | RathGibson Inc., Senior Notes, 11.250% due 2/15/14 (b) |
548,550 | |||
Vale Overseas Ltd., Notes: |
|||||
475,000 | 6.250% due 1/11/16 |
473,812 | |||
1,448,000 | 8.250% due 1/17/34 |
1,674,612 | |||
Total Metals & Mining |
6,035,903 | ||||
Multiline Retail - 0.2% | |||||
625,000 | Harry & David Operations, Senior Notes, 9.000% due 3/1/13 |
575,000 | |||
1,215,000 | Neiman Marcus Group Inc., Senior Subordinated Notes, 10.375% due 10/15/15 |
1,306,125 | |||
Total Multiline Retail |
1,881,125 | ||||
Office Electronics - 0.1% | |||||
800,000 | Xerox Capital Trust I Exchange Capital Securities, 8.000% due 2/1/27 |
825,000 |
See Notes to Schedule of Investments.
8
SALOMON BROTHERS GLOBAL HIGH INCOME FUND INC.
Schedule of Investments (unaudited) (continued) | August 31, 2006 |
FACE AMOUNT |
|
SECURITY (a) |
VALUE | |||
Office Electronics - 0.1% (continued) | ||||||
250,000 | Xerox Corp., Senior Notes, 6.750% due 2/1/17 |
$ | 251,875 | |||
Total Office Electronics |
1,076,875 | |||||
Oil, Gas & Consumable Fuels - 4.5% | ||||||
1,135,000 | Belden & Blake Corp., Secured Notes, 8.750% due 7/15/12 |
1,169,050 | ||||
Chesapeake Energy Corp., Senior Notes: |
||||||
1,350,000 | 6.375% due 6/15/15 |
1,289,250 | ||||
980,000 | 6.625% due 1/15/16 |
945,700 | ||||
150,000 | 6.875% due 1/15/16 |
146,250 | ||||
50,000 | 6.500% due 8/15/17 |
46,625 | ||||
812,000 | Cimarex Energy Co., Senior Notes, 9.600% due 3/15/12 |
862,750 | ||||
160,000 | Colorado Interstate Gas Co., Senior Notes, 6.800% due 11/15/15 |
159,371 | ||||
245,000 | Compagnie Generale de Geophysique SA, Senior Notes, 7.500% due 5/15/15 |
245,000 | ||||
El Paso Corp.: |
||||||
Medium-Term Notes: |
||||||
2,050,000 | 7.375% due 12/15/12 |
2,078,187 | ||||
1,400,000 | 7.750% due 1/15/32 |
1,414,000 | ||||
125,000 | Notes, 7.875% due 6/15/12 |
129,688 | ||||
540,000 | Enterprise Products Operating LP, Junior Subordinated Notes, 8.375% due 8/1/66 (c) |
563,882 | ||||
1,030,000 | EXCO Resources Inc., Senior Notes, 7.250% due 1/15/11 |
1,006,825 | ||||
61,340,000 RUB | Gazprom OAO, Series A6, 6.950% due 8/6/09 |
2,311,909 | ||||
800,000 | Hanover Equipment Trust, Secured Notes, 8.750% due 9/1/11 |
836,000 | ||||
600,000 | Holly Energy Partners, L.P., Senior Notes, 6.250% due 3/1/15 |
556,500 | ||||
1,400,000 | Inergy L.P./Inergy Finance Corp., Senior Notes, 6.875% due 12/15/14 |
1,333,500 | ||||
1,250,000 | International Coal Group Inc., Senior Notes, 10.250% due 7/15/14 (b) |
1,296,875 | ||||
390,000 | Mariner Energy Inc., Senior Notes, 7.500% due 4/15/13 (b) |
381,225 | ||||
845,000 | Northwest Pipelines Corp., Senior Notes, 7.000% due 6/15/16 (b) |
858,731 | ||||
115,000 | OMI Corp., Senior Notes, 7.625% due 12/1/13 |
115,575 | ||||
Pemex Project Funding Master Trust: |
||||||
5,000,000 | 8.625% due 12/1/23 |
5,987,500 | ||||
800,000 | Guaranteed Bonds, 9.500% due 9/15/27 |
1,042,000 | ||||
520,000 | Petrohawk Energy Corp., Senior Notes, 9.125% due 7/15/13 (b) |
531,700 | ||||
3,000,000 | Petronas Capital Ltd., Notes, 7.875% due 5/22/22 (b) |
3,587,664 | ||||
1,800,000 | Petrozuata Finance Inc., 8.220% due 4/1/17 |
1,809,000 | ||||
610,000 | Pogo Producing Co., Senior Subordinated Notes, 7.875% due 5/1/13 (b) |
625,250 | ||||
40,000 | SESI LLC, Senior Notes, 6.875% due 6/1/14 (b) |
39,400 | ||||
275,000 | Swift Energy Co., Senior Subordinated Notes, 9.375% due 5/1/12 |
291,500 | ||||
630,000 | Whiting Petroleum Corp., Senior Subordinated Notes, 7.000% due 2/1/14 |
623,700 | ||||
Williams Cos. Inc.: |
||||||
1,060,000 | Notes, 8.750% due 3/15/32 |
1,147,450 | ||||
1,000,000 | Senior Notes, 7.625% due 7/15/19 |
1,020,000 | ||||
Total Oil, Gas & Consumable Fuels |
34,452,057 | |||||
Paper & Forest Products - 0.5% | ||||||
425,000 | Abitibi-Consolidated Inc., Notes, 7.750% due 6/15/11 |
394,188 | ||||
Appleton Papers Inc.: |
||||||
375,000 | Senior Notes, 8.125% due 6/15/11 |
373,125 | ||||
715,000 | Senior Subordinated Notes, Series B, 9.750% due 6/15/14 |
709,637 | ||||
1,375,000 | Boise Cascade LLC, Senior Subordinated Notes, Series B, 7.125% due 10/15/14 |
1,285,625 | ||||
195,000 | Domtar Inc., Notes, 5.375% due 12/1/13 |
167,700 | ||||
NewPage Corp.: |
||||||
205,000 | Senior Secured Notes, 11.739% due 5/1/12 (c) |
222,425 | ||||
275,000 | Senior Subordinated Notes, 12.000% due 5/1/13 |
285,313 |
See Notes to Schedule of Investments.
9
SALOMON BROTHERS GLOBAL HIGH INCOME FUND INC.
Schedule of Investments (unaudited) (continued) | August 31, 2006 |
FACE AMOUNT |
SECURITY (a) |
VALUE | |||
Paper & Forest Products - 0.5% (continued) | |||||
210,000 | P.H. Glatfelter, Senior Notes, 7.125% due 5/1/16 (b) |
$ | 208,065 | ||
Verso Paper Holdings LLC: |
|||||
260,000 | Senior Secured Notes, 9.125% due 8/1/14 (b) |
260,000 | |||
280,000 | Senior Subordinated Notes, 11.375% due 8/1/16 (b) |
278,600 | |||
Total Paper & Forest Products |
4,184,678 | ||||
Personal Products - 0.1% | |||||
515,000 | Playtex Products Inc., Senior Secured Notes, 8.000% due 3/1/11 |
538,175 | |||
Pharmaceuticals - 0.1% | |||||
940,000 | Leiner Health Products Inc., Senior Subordinated Notes, 11.000% due 6/1/12 |
897,700 | |||
Real Estate Investment Trusts (REITs) - 0.6% | |||||
1,200,000 | Felcor Lodging LP, Senior Notes, 8.500% due 6/1/11 |
1,275,000 | |||
30,000 | Forest City Enterprises Inc., Senior Notes, 7.625% due 6/1/15 |
30,375 | |||
Host Marriott LP: |
|||||
2,275,000 | Senior Notes, 7.125% due 11/1/13 |
2,309,125 | |||
390,000 | Series Q, 6.750% due 6/1/16 |
380,250 | |||
410,000 | Kimball Hill Inc., Senior Subordinated Notes, 10.500% due 12/15/12 |
353,625 | |||
175,000 | Ventas Realty LP/Ventas Capital Corp., Senior Notes, 6.500% due 6/1/16 |
173,250 | |||
Total Real Estate Investment Trusts (REITs) |
4,521,625 | ||||
Road & Rail - 0.2% | |||||
490,000 | Avis Budget Car Rental LLC/Avis Budget Finance Inc., Senior Notes, 7.905% due 5/15/14 (b)(c) |
481,425 | |||
Grupo Transportacion Ferroviaria Mexicana SA de CV, Senior Notes: |
|||||
150,000 | 10.250% due 6/15/07 |
153,750 | |||
790,000 | 9.375% due 5/1/12 |
840,363 | |||
50,000 | 12.500% due 6/15/12 |
55,750 | |||
Total Road & Rail |
1,531,288 | ||||
Semiconductors & Semiconductor Equipment - 0.1% | |||||
960,000 | MagnaChip Semiconductor, Senior Subordinated Notes, 8.000% due 12/15/14 |
619,200 | |||
Software - 0.2% | |||||
500,000 | Activant Solutions Inc., Senior Subordinated Notes, 9.500% due 5/1/16 (b) |
471,250 | |||
740,000 | UGS Capital Corp. II, Senior Subordinated Notes, 10.380% due 6/1/11 (b)(c)(e) |
749,250 | |||
Total Software |
1,220,500 | ||||
Specialty Retail - 0.9% | |||||
AutoNation Inc., Senior Notes: |
|||||
185,000 | 7.507% due 4/15/13 (b)(c) |
186,850 | |||
235,000 | 7.000% due 4/15/14 (b) |
232,944 | |||
510,000 | Blockbuster Inc., Senior Subordinated Notes, 9.000% due 9/1/12 |
474,300 | |||
2,000,000 | Buffets Inc., Senior Subordinated Notes, 11.250% due 7/15/10 |
2,120,000 | |||
160,000 | EPL Finance Corp., Senior Notes, 11.750% due 11/15/13 (b) |
179,600 | |||
345,000 | Eye Care Centers of America, Senior Subordinated Notes, 10.750% due 2/15/15 |
371,738 | |||
1,400,000 | Hines Nurseries Inc., Senior Notes, 10.250% due 10/1/11 |
1,253,000 | |||
990,000 | Jafra Cosmetics International Inc., Senior Subordinated Notes, 10.750% due 5/15/11 |
1,074,150 | |||
785,000 | Suburban Propane Partners LP/Suburban Energy Finance Corp., Senior Notes, 6.875% due 12/15/13 |
755,562 | |||
Total Specialty Retail |
6,648,144 | ||||
See Notes to Schedule of Investments.
10
SALOMON BROTHERS GLOBAL HIGH INCOME FUND INC.
Schedule of Investments (unaudited) (continued) | August 31, 2006 |
FACE AMOUNT |
SECURITY (a) |
VALUE | |||
Textiles, Apparel & Luxury Goods - 0.4% | |||||
1,625,000 | Levi Strauss & Co., Senior Notes, 9.750% due 1/15/15 |
$ | 1,690,000 | ||
175,000 | Russell Corp., Senior Notes, 9.250% due 5/1/10 |
183,094 | |||
350,000 | Simmons Bedding Co., Senior Subordinated Notes, 7.875% due 1/15/14 |
339,500 | |||
1,375,000 | Simmons Co., Senior Discount Notes, step bond to yield 9.983% due 12/15/14 |
965,937 | |||
Total Textiles, Apparel & Luxury Goods |
3,178,531 | ||||
Tobacco - 0.1% | |||||
480,000 | Alliance One International Inc., Senior Notes 11.000% due 5/15/12 |
482,400 | |||
Trading Companies & Distributors - 0.3% | |||||
340,000 | Ashtead Capital Inc., Notes, 9.000% due 8/15/16 (b) |
348,500 | |||
350,000 | H&E Equipment Services Inc., Senior Notes, 8.375% due 7/15/16 (b) |
357,000 | |||
905,000 | Penhall International Corp., Senior Secured Notes, 12.000% due 8/1/14 (b) |
927,625 | |||
610,000 | Transdigm Inc., Senior Subordinated Notes, 7.750% due 7/15/14 (b) |
608,475 | |||
Total Trading Companies & Distributors |
2,241,600 | ||||
Wireless Telecommunication Services - 0.8% | |||||
315,000 | Centennial Communications Corp., Senior Notes, 10.125% due 6/15/13 |
333,900 | |||
3,020,000 | Nextel Communications Inc., Senior Notes, Series D, 7.375% due 8/1/15 |
3,110,564 | |||
20,000 | Rogers Wireless Communications Inc., Senior Secured Notes, 7.250% due 12/15/12 |
20,725 | |||
Rogers Wireless Inc.: |
|||||
1,125,000 | Secured Notes, 7.500% due 3/15/15 |
1,181,250 | |||
170,000 | Senior Subordinated Notes, 8.000% due 12/15/12 |
178,500 | |||
845,000 | Rural Cellular Corp., Senior Notes, 9.875% due 2/1/10 |
876,687 | |||
700,000 | UbiquiTel Operating Co., Senior Notes, 9.875% due 3/1/11 |
764,750 | |||
Total Wireless Telecommunication Services |
6,466,376 | ||||
TOTAL CORPORATE BONDS & NOTES (Cost - $268,456,386) |
267,499,315 | ||||
ASSET-BACKED SECURITIES - 0.2% | |||||
Home Equity - 0.2% | |||||
12,364 | Ameriquest Finance Net Interest Margin Trust, Series 2004-RN5, Class A, 5.193% due 6/25/34 (b) |
12,329 | |||
110,125 | Finance America Net Interest Margin Trust, Series 2004-01, Class A, 5.250% due 6/27/34 (b) |
58,638 | |||
Sail Net Interest Margin Notes: |
|||||
14,101 | Series 2003-6A, Class A, 7.000% due 7/27/33 (b) |
10,849 | |||
42,974 | Series 2003-7A, Class A, 7.000% due 7/27/33 (b) |
42,322 | |||
1,500,000 | Structured Asset Investment Loan Trust, Series 2003-BC10, Class M2, 7.174% due 10/25/33 (c) |
1,506,773 | |||
TOTAL ASSET-BACKED SECURITIES (Cost - $1,685,750) |
1,630,911 | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS - 0.7% | |||||
Federal National Mortgage Association (FNMA) STRIP: |
|||||
9,752,317 | Series 329, Class 2, IO, 5.500% due 1/1/33 |
2,389,436 | |||
11,903,697 | Series 338, Class 2, IO, 5.500% due 6/1/33 |
2,934,545 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost - $6,054,299) |
5,323,981 | ||||
See Notes to Schedule of Investments.
11
SALOMON BROTHERS GLOBAL HIGH INCOME FUND INC.
Schedule of Investments (unaudited) (continued) | August 31, 2006 |
FACET AMOUNT |
|
SECURITY (a) |
VALUE | |||
CONVERTIBLE BOND - 0.0% | ||||||
Semiconductors & Semiconductor Equipment - 0.0% | ||||||
270,000 | Amkor Technologies Inc., Senior Subordinated Bond, 2.500% due 5/15/11 (Cost - $246,362) |
$ | 230,513 | |||
MORTGAGE-BACKED SECURITIES- 31.0% | ||||||
FHLMC - 6.4% | ||||||
Federal Home Loan Mortgage Corp. (FHLMC): |
||||||
Gold:
|
||||||
40,000,000 | 5.000% due 9/13/36 (g)(h) |
38,350,000 | ||||
5,000,000 | 5.500% due 9/13/36 (g)(h) |
4,910,940 | ||||
5,000,000 | 5.500% due 10/12/36 (g)(h) |
4,907,810 | ||||
410,000 | Notes, 5.125% due 4/18/11 |
411,880 | ||||
TOTAL FHLMC |
48,580,630 | |||||
FNMA - 24.6% | ||||||
Federal National Mortgage Association (FNMA): |
||||||
340,000 | 6.625% due 9/15/09 |
355,527 | ||||
41,700,000 | 5.000% due 9/13/36-10/12/36 (g)(h) |
39,952,342 | ||||
127,400,000 | 6.000% due 9/13/36-10/12/36 (g)(h) |
127,460,760 | ||||
20,000,000 | 5.500% due 10/12/36 (g)(h) |
19,618,760 | ||||
TOTAL FNMA |
187,387,389 | |||||
TOTAL MORTGAGE-BACKED SECURITIES (Cost - $238,104,740) |
235,968,019 | |||||
SOVEREIGN BONDS - 13.5% | ||||||
Argentina - 0.7% | ||||||
Republic of Argentina: |
||||||
1,074,000 | EUR | 9.000% due 6/20/03 (d) |
431,821 | |||
1,100,000 | EUR | 10.250% due 1/26/07 (d) |
462,398 | |||
1,729,117 | EUR | 8.000% due 2/26/08 (d) |
708,495 | |||
1,311,750 | 5.590% due 8/3/12 (c) |
1,220,954 | ||||
1,550,000 | DEM | 11.750% due 11/13/26 (d) |
308,908 | |||
2,998,943 | ARS | Bonds, 2.000% due 1/3/10 (c) |
1,882,887 | |||
GDP Linked Securities: |
||||||
127,000 | EUR | 0.000% due 12/15/35 (c) |
15,109 | |||
27,000 | 0.000% due 12/15/35 (c) |
2,592 | ||||
522,000 | EUR | Medium-Term Notes, 10.000% due 2/22/07 (d) |
217,492 | |||
Total Argentina |
5,250,656 | |||||
Brazil - 3.5% | ||||||
16,706,000 | Federative Republic of Brazil: |
21,830,565 | ||||
11.000% due 8/17/40 |
||||||
Collective Action Securities: |
||||||
2,565,000 | 8.750% due 2/4/25 |
3,053,633 | ||||
1,360,000 | Notes, 8.000% due 1/15/18 |
1,494,980 | ||||
Total Brazil |
26,379,178 | |||||
Colombia - 0.8% | ||||||
Republic of Colombia:
|
||||||
1,125,000 | 11.750% due 2/25/20 |
1,580,625 | ||||
1,150,000 | 8.125% due 5/21/24 |
1,269,313 | ||||
2,555,000 | 10.375% due 1/28/33 |
3,471,606 | ||||
Total Colombia |
6,321,544 | |||||
See Notes to Schedule of Investments.
12
SALOMON BROTHERS GLOBAL HIGH INCOME FUND INC.
Schedule of Investments (unaudited) (continued) | August 31, 2006 |
FACE AMOUNT |
SECURITY (a) |
VALUE | |||
Ecuador - 0.4% | |||||
2,765,000 | Republic of Ecuador, 10.000% due 8/15/30 (b) |
$ | 2,758,088 | ||
El Salvador - 0.3% | |||||
Republic of El Salvador: |
|||||
1,720,000 | 7.750% due 1/24/23 (b) |
1,909,200 | |||
330,000 | 8.250% due 4/10/32 (b) |
371,250 | |||
Total El Salvador |
2,280,450 | ||||
Indonesia - 0.1% | |||||
525,000 | Republic of Indonesia, 8.500% due 10/12/35 (b) |
607,005 | |||
Mexico - 2.1% | |||||
United Mexican States: |
|||||
300,000 | 11.375% due 9/15/16 |
429,375 | |||
Medium-Term Notes: |
|||||
4,400,000 | 5.625% due 1/15/17 |
4,352,700 | |||
Series A: |
|||||
5,098,000 | 6.375% due 1/16/13 |
5,312,116 | |||
5,115,000 | 8.000% due 9/24/22 |
6,157,181 | |||
Total Mexico |
16,251,372 | ||||
Panama - 0.2% | |||||
1,275,000 | Republic of Panama, 9.375% due 4/1/29 |
1,625,625 | |||
Peru - 0.8% | |||||
Republic of Peru: |
|||||
425,000 | 9.875% due 2/6/15 |
524,344 | |||
378,000 | 8.750% due 11/21/33 |
457,380 | |||
4,001,250 | FLIRB, 5.000% due 3/7/17 (c) |
3,932,478 | |||
Global Bonds: |
|||||
305,000 | 8.375% due 5/3/16 |
349,987 | |||
50,000 | 7.350% due 7/21/25 |
53,000 | |||
PDI: |
|||||
813,700 | 5.000% due 3/7/17 (c) |
804,546 | |||
139,040 | 5.000% due 3/7/17 (b)(c) |
137,650 | |||
Total Peru |
6,259,385 | ||||
Philippines - 0.4% | |||||
Republic of the Philippines: |
|||||
755,000 | 9.000% due 2/15/13 |
846,053 | |||
1,725,000 | 9.375% due 1/18/17 |
2,020,406 | |||
Total Philippines |
2,866,459 | ||||
Russia - 1.8% | |||||
Russian Federation: |
|||||
1,244,444 | 8.250% due 3/31/10 (b) |
1,301,222 | |||
4,236,000 | 12.750% due 6/24/28 (b) |
7,582,440 | |||
4,400,000 | 5.000% due 3/31/30 (b) |
4,898,960 | |||
Total Russia |
13,782,622 | ||||
South Africa - 0.3% | |||||
Republic of South Africa: |
|||||
1,350,000 | 9.125% due 5/19/09 |
1,470,150 | |||
525,000 | 6.500% due 6/2/14 |
548,943 | |||
Total South Africa |
2,019,093 | ||||
See Notes to Schedule of Investments.
13
SALOMON BROTHERS GLOBAL HIGH INCOME FUND INC.
Schedule of Investments (unaudited) (continued) | August 31, 2006 |
FACE AMOUNT |
SECURITY (a) |
VALUE | |||
Turkey - 1.1% | |||||
Republic of Turkey: |
|||||
475,000 | 11.750% due 6/15/10 |
$ | 558,125 | ||
502,000 | 11.500% due 1/23/12 |
609,302 | |||
1,397,000 | 11.000% due 1/14/13 |
1,690,370 | |||
1,475,000 | 7.250% due 3/15/15 |
1,502,656 | |||
117,000 | 7.000% due 6/5/20 |
115,538 | |||
1,536,000 | 11.875% due 1/15/30 (m) |
2,296,320 | |||
483,000 | 8.000% due 2/14/34 |
506,546 | |||
Collective Action Securities, Notes: |
|||||
491,000 | 9.500% due 1/15/14 |
563,423 | |||
878,000 | 7.375% due 2/5/25 |
876,902 | |||
Total Turkey |
8,719,182 | ||||
Uruguay - 0.3% | |||||
2,075,000 | Republic of Uruguay, Benchmark Bonds, 7.500% due 3/15/15 |
2,155,406 | |||
Venezuela - 0.7% | |||||
Bolivarian Republic of Venezuela: |
|||||
3,245,000 | 5.375% due 8/7/10 (b) |
3,164,686 | |||
1,120,000 | 5.750% due 2/26/16 |
1,047,200 | |||
475,000 | 7.650% due 4/21/25 |
508,488 | |||
875,000 | Collective Action Securities, Notes, 10.750% due 9/19/13 |
1,075,156 | |||
Total Venezuela | 5,795,530 | ||||
TOTAL SOVEREIGN BONDS (Cost - $95,539,836) |
103,071,595 | ||||
U.S. GOVERNMENT OBLIGATIONS - 1.1% | |||||
U.S. Government Obligations - 1.1% | |||||
700,000 | U.S. Treasury Bonds, 4.500% due 2/15/36 |
659,040 | |||
7,310,000 | U.S. Treasury Notes, 5.125% due 5/15/16 |
7,519,877 | |||
TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS (Cost - $8,015,357) |
8,178,917 | ||||
U.S. TREASURY INFLATION PROTECTED SECURITIES - 0.4% | |||||
U.S. Treasury Bonds, Inflation Indexed: |
|||||
715,554 | 2.000% due 1/15/16 |
700,768 | |||
2,422,661 | 2.000% due 1/15/26 |
2,334,556 | |||
TOTAL U.S. TREASURY INFLATION PROTECTED SECURITIES (Cost - $2,943,714) |
3,035,324 | ||||
Shares | |||||
COMMON STOCKS - 0.0% | |||||
CONSUMER DISCRETIONARY - 0.0% | |||||
Household Durables - 0.0% | |||||
2,085,181 | Home Interiors of Gifts Inc. (i)(j)* |
20,852 | |||
MATERIALS - 0.0% | |||||
Chemicals - 0.0% | |||||
30,303 | Applied Extrusion Technologies Inc., Class A Shares * |
196,969 | |||
TOTAL COMMON STOCKS (Cost - $1,798,746) |
217,821 | ||||
PREFERRED STOCKS - 0.2% | |||||
CONSUMER DISCRETIONARY - 0.1% | |||||
Automobiles - 0.1% | |||||
30,500 | Ford Motor Co.,7.400% |
556,625 |
See Notes to Schedule of Investments.
14
SALOMON BROTHERS GLOBAL HIGH INCOME FUND INC.
Schedule of Investments (unaudited) (continued) | August 31, 2006 |
SHARES |
SECURITY (a) |
VALUE | ||||
Automobiles - 0.1% (continued) | ||||||
1,900 | Ford Motor Co., 8.000% |
$ | 37,050 | |||
TOTAL CONSUMER DISCRETIONARY | 593,675 | |||||
ENERGY - 0.1% | ||||||
Oil, Gas & Consumable Fuels - 0.1% | ||||||
1,283 | Chesapeake Energy Corp., Convertible 6.250% | 344,485 | ||||
FINANCIALS - 0.0% | ||||||
Diversified Financial Services - 0.0% | ||||||
2,600 | Preferred Plus, Series FRD-1, 7.400% | 47,554 | ||||
9,700 | Saturns, Series F 2003-5, 8.125% | 187,113 | ||||
TOTAL FINANCIALS | 234,667 | |||||
TOTAL PREFERRED STOCKS (Cost - $1,060,771) |
1,172,827 | |||||
CONTRACTS | ||||||
PURCHASED OPTION - 0.0% | ||||||
19 | Eurodollar Midcurve 1 Year Futures, Call @ $94.75, expires 9/15/06 (Cost - $2,707) |
14,250 | ||||
WARRANTS | ||||||
WARRANTS - 0.0% | ||||||
2,675 | Bolivarian Republic of Venezuela, Oil-linked payment obligations, Expires 4/15/20 | 98,975 | ||||
27,000 | United Mexican States, Series XW05, Expires 11/9/06 * | 94,500 | ||||
21,250 | United Mexican States, Series XW10, Expires 10/10/06 * | 79,687 | ||||
TOTAL WARRANTS (Cost - $196,800) |
273,162 | |||||
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost - $624,105,468) |
626,616,635 | |||||
FACE AMOUNT |
||||||
SHORT-TERM INVESTMENTS - 17.7% | ||||||
U.S. Government Agency - 0.6% | ||||||
$ 4,050,000 | Federal National Mortgage Association (FNMA), Discount Notes, 5.053% due 9/25/06 (k)(l) (Cost - $4,036,608) |
4,036,608 | ||||
Repurchase Agreement 17.1% | ||||||
130,300,000 | Nomura Securities International, Inc. tri-party repurchase agreement dated 8/31/06, 5.240% due 9/1/06; Proceeds at maturity - $130,318,966; (Fully collateralized by various U.S government agency obligations, 3.375% to 7.125% due 3/15/07 to 2/1/11; Market value - $132,906,832) (Cost - $130,300,000) |
130,300,000 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost - $134,336,608) |
134,336,608 | |||||
TOTAL INVESTMENTS - 100.0% (Cost - $758,442,076#) |
$ | 760,953,243 | ||||
* | Non-income producing security. |
| Face amount denominated in U.S. dollars, unless otherwise noted. |
(a) | All securities are segregated pursuant to a revolving credit facility, mortgage dollar rolls, futures contracts, written options and reverse repurchase agreements. |
(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 security. Interest rate disclosed is that which is in effect at August 31, 2006. |
(d) | Security is currently in default. |
(e) | Payment-in-kind security for which part of the income earned may be paid as additional principal. |
See Notes to Schedule of Investments.
15
SALOMON BROTHERS GLOBAL HIGH INCOME FUND INC.
Schedule of Investments (unaudited) (continued) | August 31, 2006 |
(f) | Security is issued on a when-issued basis. |
(g) | This security is traded on a to-be-announced (TBA) basis (See Note 1). |
(h) | All or a portion of this security was acquired under a mortgage dollar roll agreement (See Notes 1 and 2). |
(i) | Illiquid security. |
(j) | Security is valued in good faith at fair value by or under the direction of the Board of Directors (See Note 1). |
(k) | All or a portion of this security is held at the broker as collateral for open futures contracts. |
(l) | Rate shown represents yield-to-maturity. |
(m) | All or a portion of this security is held by the counterparty as collateral for reverse repurchase agreements. |
# | Aggregate cost for federal income tax purposes is substantially the same. |
Abbreviations used in this schedule: | ||
ARS |
Argentine Peso | |
DEM |
German Mark | |
EUR |
Euro | |
FLIRB |
Front-Loaded Interest Reduction Bonds | |
GDP |
Gross Domestic Product | |
IO |
Interest Only | |
MXN |
Mexican Peso | |
PDI |
Past Due Interest | |
RUB |
Russian Ruble | |
STRIP |
Seperate Trading of Registered Interest and Principle |
Schedule of Options Written | ||||||||||
Contracts | Security |
Expiration Date |
Strike Price |
Value | ||||||
17 | Eurodollar Futures, Call | 9/18/06 | $ | 95.00 | $ | 106 | ||||
10 | Eurodollar Futures, Call | 9/18/06 | 94.88 | 63 | ||||||
125 | Eurodollar Futures, Call | 9/18/06 | 94.75 | 781 | ||||||
4 | Eurodollar Futures, Call | 9/18/06 | 94.38 | 2,300 | ||||||
56 | Eurodollar Futures, Put | 9/18/06 | 94.63 | 3,850 | ||||||
24 | Eurodollar Futures, Put | 9/18/06 | 94.50 | 150 | ||||||
32 | U.S. Treasury Bonds Futures, Call | 9/25/06 | 113.00 | 500 | ||||||
8 | U.S. Treasury Bonds Futures, Call | 11/21/06 | 110.00 | 15,125 | ||||||
79 | U.S. Treasury Bonds Futures, Put | 11/21/06 | 100.00 | 1,235 | ||||||
23 | U.S. Treasury Notes 10 Year Futures, Call | 11/21/06 | 109.00 | 5,750 | ||||||
16 | U.S. Treasury Notes 10 Year Futures, Call | 11/21/06 | 108.00 | 8,500 | ||||||
59 | U.S. Treasury Notes 10 Year Futures, Call | 11/21/06 | 107.00 | 56,234 | ||||||
TOTAL OPTIONS WRITTEN (Premiums received - $154,854) |
$ | 94,594 | ||||||||
See Notes to Schedule of Investments.
16
Notes to Schedule of Investments (unaudited)
1. Organization and Significant Accounting Policies
Salomon Brothers Global High Income Fund Inc. (the Fund) was incorporated in Maryland and is registered as a non-diversified, closed-end management investment company under the Investment Company Act of 1940, as amended, (the 1940 Act).
The 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 other relationships between securities. Publicly traded foreign government debt securities are typically traded internationally in the over-the-counter market, and are valued at the mean between the bid and asked prices as of the close of business of that market. 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. 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 Funds 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 its custodian or a third party custodian take possession of the underlying collateral securities, the market value of which at least equals the principal amount of the repurchase transaction, including accrued interest. To the extent that any repurchase transaction exceeds one business day, the value of the collateral is marked-to-market to ensure the adequacy of the collateral. If the seller defaults, and the market value of the collateral declines or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Fund may be delayed or limited.
(c) Reverse Repurchase Agreements. The Fund may enter into reverse repurchase agreements in which the Fund sells portfolio securities and agrees to repurchase them from the buyer at a specified date and price. Whenever the Fund enters into a reverse repurchase agreement, the Funds custodian delivers liquid assets to the counterparty in an amount at least equal to the repurchase price (including accrued interest). The Fund pays interest on amounts obtained pursuant to reverse repurchase agreements. Reverse repurchase agreements are considered to be borrowings, which may create leverage risk to the Fund.
(d) Financial Futures Contracts. The Fund may enter into financial futures contracts typically to hedge a portion of the portfolio. Upon entering into a financial futures contract, the Fund is required to deposit cash or securities as initial margin. Additional securities are also segregated up to the current market value of the financial futures contracts. Subsequent payments, known as variation margin, are made or received by the Fund each day, depending on the daily fluctuation in the value of the underlying financial instruments. The Fund recognizes an unrealized gain or loss equal to the daily variation margin. When the financial futures contracts are closed, a realized gain or loss is recognized equal to the difference between the proceeds from (or cost of) the closing transactions and the Funds basis in the contracts.
The risks associated with entering into financial futures contracts include the possibility that a change in the value of the contract may not correlate with the changes in the value of the underlying instruments. In addition, investing in financial futures contracts involves the risk that the Fund could lose more than the original margin deposit and subsequent payments required for a futures transaction. Risks may also arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts.
(e) Written Options. When the Fund writes an option, an amount equal to the premium received by the Fund is recorded as a liability, the value of which is marked-to-market daily to reflect the current market value of the option written. If the option expires, the Fund realizes a gain from investments equal to the amount of the premium received. When a written call option is exercised, the difference between the premium 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.
A 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.
(f) Mortgage Dollar Rolls. The Fund enters into dollar rolls in which the Fund sells mortgage-backed securities for delivery in the current month and simultaneously contracts to repurchase substantially similar (same type, coupon and
17
Notes to Schedule of Investments (unaudited) (continued)
maturity) securities to settle on a specified future date. During the roll period, the Fund forgoes principal and interest paid on the securities. The Fund is compensated by a fee paid by the counterparty, often in the form of a drop in the repurchase price of the securities. Dollar rolls are accounted for as financing arrangements; the fee is accrued into interest income ratably over the term of the dollar roll and any gain or loss on the roll is deferred and realized upon disposition of the rolled security.
The risk of entering into a mortgage dollar roll is that the market value of the securities the Fund is obligated to repurchase under the agreement may decline below the repurchase price. In the event the buyer of securities under a mortgage dollar roll files for bankruptcy or becomes insolvent, the Funds use of proceeds of the dollar roll may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce the Funds obligation to repurchase the securities.
(g) Securities Traded on a To-Be-Announced Basis. The Fund may trade securities on a to-be-announced (TBA) basis. In a TBA transaction, the Fund commits to purchasing or selling securities which have not yet been issued by the issuer and for which specific information is not known, such as the face amount and maturity date and the underlying pool of investments in U.S. government agency mortgage pass-through transactions. Securities purchased on a TBA basis are not settled until they are delivered to the Fund, normally 15 to 45 days later. Beginning on the date the Fund enters into a TBA transaction, cash, U.S. government securities or other liquid high-grade debt obligations are segregated in an amount equal in value to the purchase price of the TBA security. These transactions are subject to market fluctuations and their current value is determined in the same manner as for other securities.
(h) Foreign Currency Translation. Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts based upon prevailing exchange rates on the date of valuation. Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. dollar amounts based upon prevailing exchange rates on the respective dates of such transactions.
Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of U.S. dollar denominated transactions as a result of, among other factors, the possibility of lower levels of governmental supervision and regulation of foreign securities markets and the possibility of political or economic instability.
(i) Stripped Securities. The Fund invests in Stripped Securities, a term used collectively for stripped fixed income securities. Stripped securities can be principal only securities (PO), which are debt obligations that have been stripped of unmatured interest coupons or interest only securities (IO), which are unmatured interest coupons that have been stripped from debt obligations. As is the case with all securities, the market value of Stripped Securities will fluctuate in response to changes in economic conditions, interest rates and the markets perception of the securities. However, fluctuations in response to interest rates may be greater in Stripped Securities than for debt obligations of comparable maturities that pay interest currently. The amount of fluctuation increases with a longer period of maturity.
The yield to maturity on IOs is sensitive to the rate of principal repayments (including prepayments) on the related underlying debt obligation and principal payments may have a material effect on yield to maturity. If the underlying debt obligation experiences greater than anticipated prepayments of principal, the Fund may not fully recoup its initial investment in IOs.
(j) Security Transactions. Security transactions are accounted for on a trade date basis.
2. Investments
At August 31, 2006, the aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes were substantially as follows:
Gross unrealized appreciation |
$ | 13,742,338 | ||
Gross unrealized depreciation | (11,231,171 | ) | ||
Net unrealized appreciation | $ | 2,511,167 | ||
Written option transactions entered into during the period ended August 31, 2006, were as follows:
Number of Contracts |
Premiums Received |
||||||
Options written, outstanding May 31, 2006 |
1,073 | $ | 529,871 | ||||
Options written |
227 | 94,391 | |||||
Options closed |
(138 | ) | (106,420 | ) | |||
Options expired |
(709 | ) | (362,988 | ) | |||
Options written, outstanding August 31, 2006 |
453 | $ | 154,854 | ||||
18
Notes to Schedule of Investments (unaudited) (continued)
At August 31, 2006, the Fund had the following open futures contracts:
Number of Contracts |
Expiration Date |
Basis Value |
Market Value |
Unrealized Gain (Loss) |
||||||||||
Contracts to Buy: |
||||||||||||||
Eurodollar |
38 | 9/06 | $ | 8,991,440 | $ | 8,987,475 | $ | (3,965 | ) | |||||
Eurodollar |
211 | 12/06 | 49,741,668 | 49,930,513 | 188,845 | |||||||||
Eurodollar |
7 | 3/07 | 1,656,410 | 1,658,737 | 2,327 | |||||||||
Eurodollar |
12 | 3/08 | 2,844,610 | 2,853,750 | 9,140 | |||||||||
$ | 196,347 | |||||||||||||
Contracts to Sell: |
||||||||||||||
U.S. Treasury 2 Year Note |
42 | 12/06 | $ | 8,582,228 | $ | 8,582,438 | $ | (210 | ) | |||||
U.S. Treasury 5 Year Note |
1 | 9/06 | 104,495 | 105,016 | (521 | ) | ||||||||
U.S. Treasury 5 Year Note |
598 | 12/06 | 62,633,760 | 62,855,406 | (221,646 | ) | ||||||||
U.S. Treasury 10 Year Note |
202 | 9/06 | 21,588,771 | 21,699,218 | (110,447 | ) | ||||||||
U.S. Treasury 10 Year Note |
275 | 12/06 | 29,411,618 | 29,528,125 | (116,507 | ) | ||||||||
U.S. Treasury Bond |
25 | 9/06 | 2,675,000 | 2,767,188 | (92,188 | ) | ||||||||
$ | (541,519 | ) | ||||||||||||
Net Unrealized Loss on Open Futures Contracts |
$ | (345,172 | ) | |||||||||||
At August 31, 2006, the Fund had outstanding mortgage dollar rolls with a total cost of $237,346,196.
The average monthly balance of mortgage dollar rolls outstanding for the Fund during the period ended August 31, 2006 was approximately $211,138,134.
Counterparties with mortgage dollar rolls outstanding in excess of 10% of total net assets at August 31, 2006 included Merrill Lynch, Pierce, Fenner & Smith Inc. ($73,124,063), JPMorgan Chase ($66,373,594) and Goldman Sachs & Co. ($44,164,797).
At August 31, 2006, the Fund had the following reverse repurchase agreements outstanding:
FACE AMOUNT |
SECURITY |
VALUE | |||
$594,159 | Reverse Repurchase Agreement with Credit Suisse First Boston, dated 8/9/06 bearing 0.350% to be repurchased at $594,326 on 9/7/06, collateralized by: $441,000 Republic of Turkey, 11.875% due 1/15/30; Market value (Including accrued interest) - $666,126 |
$ | 594,159 | ||
1,476,060 | Reverse Repurchase Agreement with Deutsche Bank Securities Inc., dated 8/23/06 bearing 1.500% to be repurchased at $1,478,397 on 9/25/06, collateralized by: $1,095,000 Republic of Turkey, 11.875% due 1/15/30; Market value (Including accrued interest) - $1,653,986 |
1,476,060 | |||
Total Reverse Repurchase Agreements |
$ | 2,070,219 | |||
Transactions in reverse repurchase agreements for the Fund during the period ended August 31, 2006 were as follows:
Average Daily Balance |
Weighted Average Interest Rate |
Maximum Amount Outstanding | ||||
$1,474,319 | 0.47 | % | $ | 2,070,219 |
Interest rates on reverse repurchase agreements ranged from 0.20% to 1.50% during the period ended August 31, 2006.
3. Loan
At August 31, 2006, the Fund had a $150,000,000 loan available pursuant to a revolving credit and security agreement, of which the Fund had $100,000,000 loan outstanding with Three Pillars Funding Corp. and Citicorp North America Inc. (CNA). In addition CNA act as administrative agent. The loan generally bears interest at a variable rate based on the weighted average interest rates of the underlying commercial paper or LIBOR, plus any applicable margin. Securities held by the Fund are subject to a lien, granted to the lenders, to the extent of the borrowing outstanding and any additional expenses.
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ITEM 2. | CONTROLS AND PROCEDURES. |
(a) | The registrants principal executive officer and principal financial officer have concluded that the registrants 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 registrants internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrants last fiscal quarter that have materially affected, or are likely to materially affect the registrants 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 Global High Income Fund Inc. | ||
By | /s/ R. JAY GERKEN | |
R. Jay Gerken | ||
Chief Executive Officer | ||
Date: October 26, 2006 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By | /s/ R. JAY GERKEN | |
R. Jay Gerken | ||
Chief Executive Officer | ||
Date: October 26, 2006 |
By |
/s/ FRANCES M. GUGGINO | |
Frances M. Guggino | ||
Chief Financial Officer | ||
Date: October 26, 2006 |