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

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

     Date of fiscal year end: October 31
Date of reporting period: January 31, 2006

ITEM 1.                SCHEDULE OF INVESTMENTS

     SALOMON BROTHERS CAPITAL AND INCOME FUND INC.

FORM N-Q
JANUARY 31, 2006

SALOMON BROTHERS CAPITAL AND INCOME FUND INC.

Schedule of Investments (unaudited) 
 
January 31, 2006 

SHARES 
          
SECURITY (a) 
VALUE 
COMMON STOCKS — 47.1% 
 
CONSUMER DISCRETIONARY — 5.0% 
 
Hotels, Restaurants & Leisure — 0.5% 
 
4,800 
  Ctrip.com International Ltd., ADR 
$
297,216 
72,800 
  McDonald's Corp.  2,548,728 
25,000 
  Outback Steakhouse Inc.  1,155,750 
  Total Hotels, Restaurants & Leisure  4,001,694 
Household Durables — 0.3% 
 
117,400 
  Newell Rubbermaid Inc.  2,775,336 
Media — 3.3% 
 
83,000 
  Cablevision Systems Corp., New York Group, Class A Shares *  2,041,800 
22,800 
  Comcast Corp., Class A Shares *  634,296 
172,400 
  EchoStar Communications Corp., Class A Shares *  4,758,240 
194,600 
  Interpublic Group of Cos. Inc. *  1,965,460 
46,875 
  Liberty Global Inc., Series A Shares *  1,003,125 
52,875 
  Liberty Global Inc., Series C Shares *  1,069,133 
162,500 
  Liberty Media Corp., Class A Shares *  1,358,500 
184,800 
  News Corp., Class B Shares  3,056,592 
8,400 
  NTL Inc. *  531,300 
94,300 
  Regal Entertainment Group, Class A Shares  1,745,493 
345,800 
  SES Global SA, FDR  6,389,916 
103,600 
   Telewest Global Inc. (c)* 2,413,880 
132,400 
  Time Warner Inc.  2,320,972 
  Total Media  29,288,707 
Multiline Retail — 0.4% 
 
50,000 
  Family Dollar Stores Inc.  1,197,500 
43,900 
  J.C. Penney Co. Inc.  2,449,620 
  Total Multiline Retail  3,647,120 
Specialty Retail — 0.5% 
 
40,000 
  Bed Bath & Beyond Inc. *  1,496,400 
38,000 
  Best Buy Co. Inc.  1,925,080 
25,000 
  Sherwin-Williams Co.  1,322,500 
  Total Specialty Retail  4,743,980 
  TOTAL CONSUMER DISCRETIONARY  44,456,837 
CONSUMER STAPLES — 2.2% 
 
Beverages — 0.2% 
 
25,000 
  PepsiCo Inc.  1,429,500 
Food & Staples Retailing — 0.6% 
 
162,600 
  Kroger Co. *  2,991,840 
53,000 
  Wal-Mart Stores Inc.  2,443,830 
  Total Food & Staples Retailing  5,435,670 
Food Products — 0.6% 
 
30,000 
  Hormel Foods Corp.  1,005,900 
24,100 
  Kellogg Co.  1,033,890 
60,000 
  McCormick & Co. Inc., Non Voting Shares  1,812,600 
75,000 
  Sara Lee Corp.  1,371,000 
  Total Food Products  5,223,390 
Household Products — 0.3% 
 
45,400 
  Kimberly-Clark Corp.  2,593,248 
Tobacco — 0.5% 
 
63,000 
  Altria Group Inc.  4,557,420 
  TOTAL CONSUMER STAPLES  19,239,228 
ENERGY — 7.0% 
 
Energy Equipment & Services — 2.0% 
 
23,500 
  Cooper Cameron Corp. *  1,137,165 
82,700 
  ENSCO International Inc.  4,227,624 

See Notes to Schedule of Investments.

1

SALOMON BROTHERS CAPITAL AND INCOME FUND INC.

Schedule of Investments (unaudited) (continued) 
 
January 31, 2006 

SHARES
   
SECURITY (a) 
VALUE 
Energy Equipment & Services — 2.0% (continued)   
37,200              GlobalSantaFe Corp. 
$
2,271,060 
71,500     Halliburton Co.  5,687,825 
141,000     Pride International Inc. *  4,978,710 
    Total Energy Equipment & Services  18,302,384 
Oil, Gas & Consumable Fuels — 5.0%   
82,500     Arlington Tankers Ltd.  1,848,000 
58,100     CNX Gas Corp. (b)*  1,205,575 
87,200     Marathon Oil Corp.  6,703,064 
196,414     Nexen Inc.  11,278,092 
127,000
 
  OPTI Canada Inc. *  4,991,625 
17,600     Suncor Energy Inc.  1,410,112 
87,480     Total SA, Sponsored ADR  12,101,108 
190,400     Williams Cos. Inc.  4,539,136 
    Total Oil, Gas & Consumable Fuels  44,076,712 
    TOTAL ENERGY  62,379,096 
FINANCIALS — 14.6%
 
Capital Markets — 0.5%
 
6,600     Goldman Sachs Group Inc.  932,250 
8,000     Lehman Brothers Holdings Inc.  1,123,600 
35,600     Merrill Lynch & Co. Inc.  2,672,492 
    Total Capital Markets  4,728,342 
Commercial Banks — 1.0%
 
77,844     Bank of America Corp.  3,443,040 
16,500     Wachovia Corp.  904,695 
62,300     Wells Fargo & Co.  3,885,028 
13,000     Zions Bancorp.  1,027,910 
    Total Commercial Banks  9,260,673 
Consumer Finance — 1.3%
 
65,000     American Express Co.  3,409,250 
95,032     Capital One Financial Corp.  7,916,165 
    Total Consumer Finance  11,325,415 
Diversified Financial Services — 0.2%   
49,940     JPMorgan Chase & Co.  1,985,115 
Insurance — 0.9%
 
35,200     AFLAC Inc.  1,652,640 
24,300     American International Group Inc.  1,590,678 
12     Berkshire Hathaway Inc., Class A Shares *  1,073,880 
30,800     Chubb Corp.  2,905,980 
8,000     Hartford Financial Services Group Inc.  657,840 
    Total Insurance  7,881,018 
Real Estate — 9.8%
 
19,300     Alexandria Real Estate Equities Inc.  1,703,225 
65,200     AMB Property Corp.  3,403,440 
155,000     American Financial Realty Trust  1,926,650 
7,400     Apartment Investment and Management Co., Class A Shares  314,648 
62,100     Archstone-Smith Trust  2,910,006 
60,000     Arden Realty Inc.  2,710,200 
25,000     Ashford Hospitality Trust Inc.  306,000 
31,900     Avalonbay Communities Inc.  3,173,412 
46,500     BioMed Realty Trust Inc.  1,247,595 
17,200     Boston Properties Inc.  1,346,072 
41,400     Brandywine Realty Trust  1,302,030 
12,400     BRE Properties Inc., Class A Shares  618,760 
66,800     CarrAmerica Realty Corp.  2,458,240 
12,000     Developers Diversified Realty Corp.  591,120 
20,900     Duke Realty Corp.  758,252 
218,000     Equity Office Properties Trust  6,936,760 

See Notes to Schedule of Investments.

2

SALOMON BROTHERS CAPITAL AND INCOME FUND INC.

Schedule of Investments (unaudited) (continued) 
 
January 31, 2006 

SHARES 
          
SECURITY (a) 
VALUE 
Real Estate — 9.8% (continued) 
 
50,200 
  Equity Residential 
$
2,128,982 
29,800 
  Federal Realty Investment Trust  1,991,236 
60,700 
  General Growth Properties Inc.  3,132,120 
43,400 
  Global Signal Inc.  2,096,220 
47,500 
  Gramercy Capital Corp.  1,251,150 
57,900 
  Heritage Property Investment Trust  2,055,450 
27,000 
  Highwoods Properties Inc.  851,580 
388,054 
  Host Marriott Corp.  7,741,677 
90,000 
  iStar Financial Inc.  3,230,100 
24,800 
  Kimco Realty Corp.  870,232 
70,000 
  Liberty Property Trust  3,168,200 
7,400 
  Macerich Co.  537,018 
100,000 
  Maguire Properties Inc.  3,380,000 
105,000 
  New Plan Excel Realty Trust Inc.  2,588,250 
7,200 
  Pan Pacific Retail Properties Inc.  498,240 
106,300 
  ProLogis  5,444,686 
39,200 
  PS Business Parks Inc.  2,150,120 
16,400 
  Public Storage Inc.  1,190,148 
26,393 
  Reckson Associates Realty Corp.  1,053,873 
18,000 
  Republic Property Trust  208,800 
34,500 
  Simon Property Group Inc.  2,857,980 
41,300 
  SL Green Realty Corp.  3,470,852 
25,000 
  United Dominion Realty Trust Inc.  635,250 
26,900 
  Vornado Realty Trust  2,376,346 
    Total Real Estate  86,614,920 
Thrifts & Mortgage Finance — 0.9%   
54,950 
  Freddie Mac  3,728,907 
60,000 
  Golden West Financial Corp.  4,237,200 
    Total Thrifts & Mortgage Finance  7,966,107 
    TOTAL FINANCIALS  129,761,590 
HEALTH CARE — 5.1% 
 
Biotechnology — 1.2% 
 
74,400 
  Abgenix Inc. *  1,642,008 
18,500 
  Amgen Inc. *  1,348,465 
28,400 
  CV Therapeutics Inc. *  698,924 
8,700 
  Genentech Inc. *  747,504 
15,500 
  Genzyme Corp. *  1,099,570 
34,400 
  InterMune Inc. *  695,912 
11,100 
  Invitrogen Corp. *  764,568 
34,600 
  PDL BioPharma Inc. *  1,008,590 
79,609 
  Vertex Pharmaceuticals Inc. *  2,843,634 
    Total Biotechnology  10,849,175 
Health Care Equipment & Supplies — 0.4%   
12,200 
  Biomet Inc.  461,282 
88,000 
  Boston Scientific Corp. *  1,924,560 
37,400 
  DJ Orthopedics Inc. *  1,227,842 
    Total Health Care Equipment & Supplies  3,613,684 
Health Care Providers & Services — 1.4%   
18,600 
  Aetna Inc.  1,800,480 
32,200 
  Coventry Health Care Inc. *  1,918,154 
33,000 
  DaVita Inc. *  1,806,750 
47,070 
  UnitedHealth Group Inc.  2,796,899 
48,500 
  WellPoint Inc. *  3,724,800 
    Total Health Care Providers & Services  12,047,083 
Pharmaceuticals — 2.1% 
 
61,500    Abbott Laboratories  2,653,725 
49,200    GlaxoSmithKline PLC, Sponsored ADR  2,521,008 
51,100    Novartis AG, Sponsored ADR  2,818,676 

See Notes to Schedule of Investments.

3

SALOMON BROTHERS CAPITAL AND INCOME FUND INC.

Schedule of Investments (unaudited) (continued) 
 
January 31, 2006 

SHARES
            
SECURITY (a) 
VALUE 
Pharmaceuticals — 2.1% (continued)  
93,400     Pfizer Inc. 
$
2,398,512 
23,900
 
  Sanofi-Aventis  2,192,218 
23,100     Sanofi-Aventis, Sponsored ADR  1,062,600 
89,700     Schering-Plough Corp.  1,717,755 
14,100     Sepracor Inc. *  802,431 
22,800     Teva Pharmaceutical Industries Ltd., Sponsored ADR  971,964 
41,000     Wyeth  1,896,250 
    Total Pharmaceuticals  19,035,139 
    TOTAL HEALTH CARE  45,545,081 
INDUSTRIALS — 3.3%
 
Aerospace & Defense — 1.2%
 
98,400     Boeing Co.  6,721,704 
90,000     Raytheon Co.  3,687,300 
    Total Aerospace & Defense  10,409,004 
Building Products — 0.2%
 
56,000     Masco Corp.  1,660,400 
Commercial Services & Supplies — 0.3%   
35,700     Avery Dennison Corp.  2,132,718 
27,000     IHS Inc., Class A Shares *  655,020 
    Total Commercial Services & Supplies  2,787,738 
Construction & Engineering — 0.4%   
100,500     Chicago Bridge & Iron Co. NV, New York Shares  3,100,425 
Industrial Conglomerates — 1.2%
 
259,800     General Electric Co.  8,508,450 
30,100     Textron Inc.  2,542,246 
    Total Industrial Conglomerates  11,050,696 
Trading Companies & Distributors — 0.0%   
9,600     MSC Industrial Direct Co. Inc., Class A Shares  431,328 
    TOTAL INDUSTRIALS  29,439,591 
INFORMATION TECHNOLOGY — 3.5% 
 
Communications Equipment — 1.2%   
141,375     ADC Telecommunications Inc. *  3,585,270 
23,000     Cisco Systems Inc. *  427,110 
52,451     Comverse Technology Inc. *  1,436,633 
73,900     Juniper Networks Inc. *  1,339,807 
91,900     Nokia Oyj, Sponsored ADR  1,689,122 
589,700     Nortel Networks Corp. *  1,769,100 
    Total Communications Equipment  10,247,042 
Computers & Peripherals — 0.2%
 
420,000     Sun Microsystems Inc. *  1,890,000 
Internet Software & Services — 0.4%   
188,900     Digitas Inc. *  2,472,701 
42,400     Jupitermedia Corp. *  686,456 
26,100     Openwave Systems Inc. *  562,716 
    Total Internet Software & Services  3,721,873 
IT Services — 0.1%
 
47,100     Wright Express Corp. *  1,198,224 
Semiconductors & Semiconductor Equipment — 0.5%   
67,700     Advanced Micro Devices Inc. *  2,833,922 
80,000     Applied Materials Inc.  1,524,000 
    Total Semiconductors & Semiconductor Equipment  4,357,922 
Software — 1.1%
 
27,186     Adobe Systems Inc. *  1,079,828 
54,500     Cognos Inc. *  2,076,450 

See Notes to Schedule of Investments.

4

SALOMON BROTHERS CAPITAL AND INCOME FUND INC.

Schedule of Investments (unaudited) (continued) 
 
January 31, 2006 

SHARES 
          
SECURITY (a) 
VALUE 
Software — 1.1% (continued) 
 
223,400    Microsoft Corp. 
$
6,288,710 
    Total Software 
9,444,988 
    TOTAL INFORMATION TECHNOLOGY 
30,860,049 
MATERIALS — 1.4% 
 
Chemicals — 0.7% 
 
61,700    Air Products & Chemicals Inc. 
3,806,273 
62,000    E.I. du Pont de Nemours & Co. 
2,427,300 
    Total Chemicals 
6,233,573 
Metals & Mining — 0.7% 
 
153,400    Barrick Gold Corp. 
4,825,964 
56,200    Compass Minerals International Inc. 
1,383,644 
    Total Metals & Mining 
6,209,608 
    TOTAL MATERIALS 
12,443,181 
TELECOMMUNICATION SERVICES — 2.6% 
 
Diversified Telecommunication Services — 0.5% 
 
260,900    Citizens Communications Co. 
3,201,243 
42,600    PanAmSat Holding Corp. 
1,053,498 
    Total Diversified Telecommunication Services 
4,254,741 
Wireless Telecommunication Services — 2.1% 
 
59,300    ALLTEL Corp. 
3,559,779 
203,797    American Tower Corp., Class A Shares * 
6,305,479 
211,400    Dobson Communications Corp., Class A Shares * 
1,568,588 
301,468    Sprint Nextel Corp. 
6,900,603 
30,640    WiderThan Co. Ltd., ADR * 
459,600 
    Total Wireless Telecommunication Services 
18,794,049 
    TOTAL TELECOMMUNICATION SERVICES 
23,048,790 
UTILITIES — 2.4% 
 
Electric Utilities — 0.3% 
 
100,000    ITC Holdings Corp. 
2,720,000 
Independent Power Producers & Energy Traders — 1.3% 
 
133,000    AES Corp. * 
2,266,320 
60,200    Mirant Corp. * 
1,685,600 
73,800    NRG Energy Inc. * 
3,562,326 
83,200    TXU Corp. 
4,213,248 
    Total Independent Power Producers & Energy Traders 
11,727,494 
Multi-Utilities — 0.8% 
 
152,300    Sempra Energy 
7,318,015 
    TOTAL UTILITIES 
21,765,509 
    TOTAL COMMON STOCKS 
 
           (Cost — $342,645,719) 
418,938,952 
PREFERRED STOCK — 0.0% 
 
CONSUMER DISCRETIONARY — 0.0% 
 
Auto Components — 0.0% 
 
14,000    Delphi Trust I, 8.250% * 
 
           (Cost — $368,200) 
83,300 
CONVERTIBLE PREFERRED STOCKS — 1.0% 
 
ENERGY — 0.2% 
 
Energy Equipment & Services — 0.2% 
 
38,000    Hanover Compressor Capital Trust, 7.250%
1,881,000 

See Notes to Schedule of Investments.

5

SALOMON BROTHERS CAPITAL AND INCOME FUND INC.

Schedule of Investments (unaudited) (continued) 
 
January 31, 2006 

SHARES 
          
SECURITY (a) 
 
VALUE 
FINANCIALS — 0.5%   
Real Estate — 0.2%   
26,000    Simon Property Group Inc., 6.000%
$ 
1,787,500 
Thrifts & Mortgage Finance — 0.3%   
60,000    Sovereign Capital Trust IV, 4.375%  
2,722,500 
    TOTAL FINANCIALS   
4,510,000 
TELECOMMUNICATION SERVICES — 0.3%   
Wireless Telecommunication Services — 0.3%   
12,514    Dobson Communications Corp., 6.000%  
2,141,458 
    TOTAL CONVERTIBLE PREFERRED STOCKS   
         (Cost — $8,101,554)   
8,532,458 
FACE 
     
AMOUNT† 
     
CORPORATE BONDS & NOTES — 15.7%   
Aerospace & Defense — 0.0%   
150,000    Goodrich Corp., Notes, 7.500% due 4/15/08   
157,033 
125,000    Lockheed Martin Corp., Notes, 7.700% due 6/15/08   
131,905 
112,000    Raytheon Co., Notes, 6.750% due 8/15/07   
114,392 
    Total Aerospace & Defense   
403,330 
Auto Components — 0.0% 
 
213,000    Dura Operating Corp., Senior Unsecured Notes, Series B, 8.625% due 4/15/12 
175,725 
125,000    Johnson Controls Inc., Senior Unsecured Notes, 5.000% due 11/15/06   
124,740 
    Total Auto Components   
300,465 
Automobiles — 0.4%   
150,000    DaimlerChrysler North America Holding Corp., Notes, 6.400% due 5/15/06 
150,555 
    Ford Motor Co.:   
250,000          Debentures, 6.625% due 10/1/28   
173,750 
1,675,000          Notes, 7.450% due 7/16/31   
1,243,688 
650,000          Senior Notes, 4.950% due 1/15/08   
599,832 
    General Motors Corp., Senior Debentures:   
150,000          8.250% due 7/15/23   
110,250 
1,200,000          8.375% due 7/15/33   
894,000 
    Total Automobiles   
3,172,075 
Beverages — 0.1%   
100,000    Bottling Group LLC, Senior Notes, 2.450% due 10/16/06   
98,224 
500,000    Constellation Brands Inc., Senior Subordinated Notes, Series B, 8.125% due 
          1/15/12   
526,250 
100,000    PepsiAmericas Inc., Senior Notes, 6.375% due 5/1/09   
103,569 
    Total Beverages   
728,043 
Building Products — 0.0% 
 
100,000    Masco Corp., Notes, 6.750% due 3/15/06   
100,202 
Capital Markets — 0.1%   
125,000    Amvescap PLC, Senior Notes, 5.900% due 1/15/07   
125,913 
325,000    BCP Crystal U.S. Holdings Corp., Senior Subordinated Notes, 9.625% due 
          6/15/14   
362,375 
150,000    Morgan Stanley, Notes, 5.800% due 4/1/07   
150,855 
    Total Capital Markets   
639,143 
Chemicals — 1.1%   
500,000    Hexion US Finance Corp., Second Priority Senior 
          Secured Notes, 9.000% due 7/15/14 (b)   
510,000 
1,000,000    Equistar Chemicals LP, Senior Notes, 10.625% due 5/1/11   
1,105,000 

See Notes to Schedule of Investments.

6

SALOMON BROTHERS CAPITAL AND INCOME FUND INC.

Schedule of Investments (unaudited) (continued) 
 
January 31, 2006 

FACE 
                
AMOUNT† 
  SECURITY (a)    VALUE 
Chemicals — 1.1% (continued)     
     650,000    Hercules Inc., Senior Subordinated Notes, 6.750% due 10/15/29 
$ 
628,875 
1,000,000    Huntsman International LLC, Senior Subordinated Notes, 10.125% due 7/1/09  1,038,750 
104,000    ICI Wilmington Inc., Global Notes, 4.375% due 12/1/08    101,122 
500,000    ISP Holdings Inc., Senior Secured Notes, Series B, 10.625% due 12/15/09    530,000 
1,000,000    Lyondell Chemical Co., Senior Secured Notes, 11.125% due 7/15/12    1,127,500 
1,116,000    Millennium America Inc., Senior Notes, 9.250% due 6/15/08    1,205,280 
50,000    Monsanto Co., Notes, 4.000% due 5/15/08    48,889 
600,000    Nalco Co., Senior Subordinated Notes, 8.875% due 11/15/13    630,000 
500,000    OM Group Inc., Senior Subordinated Notes, 9.250% due 12/15/11    502,500 
6,000    PPG Industries Inc., Notes, 6.500% due 11/1/07    6,132 
650,000    PQ Corp., Senior Subordinated Notes, 7.500% due 2/15/13 (b)    615,875 
125,000    Praxair Inc., Notes, 2.750% due 6/15/08    118,989 
500,000    Resolution Performance Products LLC/RPP Capital Corp., Senior Secured     
           Notes, 9.500% due 4/15/10    512,500 
    Rhodia SA:     
500,000           Senior Notes, 7.625% due 6/1/10    505,000 
392,000           Senior Subordinated Notes, 8.875% due 6/1/11    401,800 
325,000    Westlake Chemical Corp., Senior Notes, 8.750% due 7/15/11    356,688 
    Total Chemicals    9,944,900 
Commercial Banks — 0.2% 
   
125,000    American Express Centurion Bank, Notes, 4.573% due 7/19/07 (d)    125,221 
380,000    Banesto Finance Ltd., 7.500% due 3/25/07    387,912 
125,000    Bank of America Corp., Subordinated Notes, 6.375% due 2/15/08    128,405 
250,000    Bank United Corp., Senior Notes, 8.875% due 5/1/07    259,409 
300,000    Corporacion Andina de Fomento, Notes, 4.980% due 1/26/07 (d)    300,238 
109,091    Fifth Third Bank, Notes, 2.870% due 8/10/09    105,272 
200,000    SunTrust Bank, 4.550% due 5/25/09    196,928 
150,000    Wells Fargo & Co., Notes, 4.564% due 3/23/07 (d)    150,163 
100,000    Zions Bancorp., Senior Notes, 2.700% due 5/1/06    99,479 
    Total Commercial Banks    1,753,027 
Commercial Services & Supplies — 0.3%     
    Allied Waste North America Inc.:     
75,000           Senior Notes, 7.250% due 3/15/15    76,125 
217,000   
       Senior Secured Debenture Notes, Series B, 9.250% due 9/1/12 
  235,987 
1,000,000           Senior Secured Notes, Series B, 7.375% due 4/15/14    972,500 
100,000    Cendant Corp., Senior Notes, 6.875% due 8/15/06    100,871 
450,000    Cenveo Corp., Senior Subordinated Notes, 7.875% due 12/1/13    441,000 
125,000    Cintas Corp., Number 2, Senior Notes, 5.125% due 6/1/07    125,035 
350,000    Corrections Corporation of America, Senior Subordinated Notes, 6.250% due   
           3/15/13    346,500 
    Total Commercial Services & Supplies    2,298,018 
Communications Equipment — 0.1%     
1,500,000    Lucent Technologies Inc., Debentures, 6.450% due 3/15/29    1,267,500 
Computers & Peripherals — 0.1% 
   
125,000    Hewlett-Packard Co., Senior Notes, 5.500% due 7/1/07    125,771 
125,000    IBM Canada Credit Services Co., Senior Notes, 3.750% due 11/30/07 (b)    122,230 
200,000    SunGard Data Systems Inc., Senior Notes, 9.125% due 8/15/13 (b)    209,000 
    Total Computers & Peripherals    457,001 
Consumer Finance — 0.0% 
   
125,000    SLM Corp., Medium-Term Notes, Series A, 4.823% due 1/26/09 (d)    125,268 

See Notes to Schedule of Investments.

7

SALOMON BROTHERS CAPITAL AND INCOME FUND INC.

Schedule of Investments (unaudited) (continued) 
 
January 31, 2006 

FACE 
       
AMOUNT† 
          
SECURITY (a) 
  VALUE 
Containers & Packaging — 0.5% 
   
     500,000    Berry Plastics Corp., Senior Subordinated Notes, 10.750% due 7/15/12 
$ 
545,000 
625,000    Graphic Packaging International Corp., Senior Subordinated Notes, 9.500%   
         due 8/15/13    590,625 
1,463,000    Jefferson Smurfit Corp., Senior Notes, 8.250% due 10/1/12    1,397,165 
750,000    JSG Funding PLC, Senior Notes, 9.625% due 10/1/12    778,125 
900,000    Owens-Illinois Inc., Debentures, 7.500% due 5/15/10    918,000 
    Pliant Corp.:     
247,622         Senior Secured Notes, 11.625% due 6/15/09 (e)    270,527 
         Senior Subordinated Notes:     
100,000               13.000% due 6/1/10 (e)    25,000 
50,000               13.000% due 6/1/10 (e)    12,500 
50,000    Stone Container Finance Co. of Canada II, Senior Notes, 7.375% due 7/15/14  44,875 
    Total Containers & Packaging    4,581,817 
Diversified Financial Services — 2.6%     
1,000,000    Alamosa Delaware Inc., Senior Discount Notes, step bond to yield 10.290%   
         due 7/31/09    1,091,250 
275,000    Basell AT SCA, Senior Notes, 8.375% due 8/15/15 (b)    276,031 
125,000    Bear Stearns Cos. Inc., Notes, 5.700% due 1/15/07    125,853 
75,000    Boeing Capital Corp., Senior Notes, 5.650% due 5/15/06    75,260 
125,000    Capital One Bank, Notes, 5.750% due 9/15/10    127,681 
125,000    CIT Group Inc., Senior Notes, 5.500% due 11/30/07    125,977 
113,579    Core Investment Grade Bond Trust I, Pass-Through Certificates, 4.659% due   
          11/30/07    112,087 
125,000    Countrywide Home Loans Inc., Medium-Term Notes, Series M, 4.125% due   
           9/15/09    120,387 
    Ford Motor Credit Co.:     
200,000           Global Landmark Securities, 6.500% due 1/25/07    197,895 
1,050,000           Notes, 7.000% due 10/1/13    952,472 
125,000    General Electric Capital Corp., Medium-Term Notes, Series A, 4.561% due   
           6/22/07 (d)    125,169 
    General Motors Acceptance Corp., Notes:     
156,000           6.125% due 9/15/06    154,368 
1,600,000           6.750% due 12/1/14    1,518,851 
162,000    Global Cash Access LLC/Global Cash Finance Corp., Senior Subordinated   
           Notes, 8.750% due 3/15/12    174,150 
125,000    HSBC Finance Corp., Senior Subordinated Notes, 5.875% due 2/1/09    127,748 
125,000    International Lease Finance Corp., Notes, 5.750% due 10/15/06    125,542 
125,000    John Deere Capital Corp., Medium-Term Notes, Series D, 4.400% due     
           7/15/09    122,423 
150,000    JPMorgan Chase & Co., Senior Notes, 5.350% due 3/1/07    150,759 
125,000    Nationwide Building Society, Medium-Term Notes, 2.625% due 1/30/07 (b)  122,184 
150,000    Rio Tinto Finance USA Ltd., Notes, 2.625% due 9/30/08    141,322 
500,000    Sensus Metering Systems Inc., Senior Subordinated Notes, 8.625% due     
           12/15/13    457,500 
15,365,850    Targeted Return Index Securities (TRAINS), Secured Notes, Series HY-2005-   
           1, 7.651% due 6/15/15 (b)    15,698,705 
125,000    Textron Financial Corp., Medium-Term Notes, Series E, 2.750% due 6/1/06  124,203 
125,000    TIAA Global Markets Inc., Notes, 4.125% due 11/15/07 (b)    123,141 
350,000    Vanguard Health Holdings Co. I LLC, Senior Discount Notes, step bond to   
           yield 5.594% due 10/1/15    257,250 
125,000    Vanguard Health Holdings Co. II LLC, Senior Subordinated Notes, 9.000%   
           due 10/1/14    132,500 
    Total Diversified Financial Services    22,760,708 

See Notes to Schedule of Investments.

8

SALOMON BROTHERS CAPITAL AND INCOME FUND INC.

Schedule of Investments (unaudited) (continued) 
 
January 31, 2006 

FACE
         
AMOUNT†
            
SECURITY (a) 
  VALUE 
Diversified Telecommunication Services — 0.7%     
125,000     GTE Corp., Debentures, 6.360% due 4/15/06 
$ 
125,325 
750,000     Insight Midwest LP/Insight Capital Inc., Senior Notes, 10.500% due 11/1/10  794,062 
150,000     Intelsat Bermuda Ltd., Senior Notes, 9.609% due 1/15/12 (b)(d)    153,375 
550,000     Intelsat Ltd. , Senior Discount Notes, step bond to yield 9.253% due 2/1/15 (b) 
365,750 
850,000     MCI Inc., Senior Notes, 8.735% due 5/1/14    960,500 
50,000     NTL Cable PLC, Senior Notes, 8.750% due 4/15/14    51,500 
190,000     PanAmSat Corp., Senior Notes, 9.000% due 8/15/14    200,688 
     
Qwest Communications International Inc., Senior Notes:
   
740,000            7.500% due 2/15/14 (b)    751,100 
285,000            7.500% due 2/15/14    289,275 
    Qwest Corp.:     
130,000            7.500% due 6/15/23    128,213 
1,065,000            Debentures, 6.875% due 9/15/33    987,787 
125,000     SBC Communications Inc., Notes, 5.750% due 5/2/06    125,246 
9,000,000
MXN 
  Telefonos de Mexico S.A. de C.V., 8.750% due 1/31/16    854,153 
    Total Diversified Telecommunication Services    5,786,974 
Electric Utilities — 0.3%
   
1,000,000     Edison Mission Energy, Senior Notes, 7.730% due 6/15/09    1,032,500 
75,000     Entergy Gulf States Inc., First Mortgage Notes, 3.600% due 6/1/08    72,134 
125,000     Niagara Mohawk Power Corp., First Mortgage Notes, 7.750% due 5/15/06  126,025 
1,000,000     Reliant Energy Inc., Senior Secured Notes, 9.500% due 7/15/13    995,000 
325,000     Texas Genco LLC/Texas Genco Financing Corp., Senior Notes, 6.875% due   
         12/15/14 (b)    353,438 
    Total Electric Utilities    2,579,097 
Electrical Equipment — 0.0%
   
    Cooper Industries Inc., Senior Notes:     
125,000            5.250% due 7/1/07    125,182 
100,000            5.500% due 11/1/09    101,493 
125,000     Rockwell International, Notes, 6.150% due 1/15/08    127,172 
    Total Electrical Equipment    353,847 
Energy Equipment & Services — 0.1%     
75,000     Cooper Cameron Corp., Senior Notes, 2.650% due 4/15/07    72,531 
529,000     Dresser-Rand Group Inc., Senior Subordinated Notes, 7.625% due 11/1/14 (b)  550,160 
250,000     Duke Energy Field Services LLC, Senior Notes, 5.750% due 11/15/06    251,204 
    Total Energy Equipment & Services    873,895 
Food & Staples Retailing — 0.1%
   
125,000     CVS Corp., Notes, 5.625% due 3/15/06    125,075 
325,000     Jean Coutu Group Inc., Senior Subordinated Notes, 8.500% due 8/1/14    311,188 
500,000     Rite Aid Corp., Senior Debentures, 6.875% due 8/15/13    420,000 
150,000     Safeway Inc., Senior Unsecured Notes, 6.500% due 11/15/08    154,140 
    Total Food & Staples Retailing    1,010,403 
Food Products — 0.4%
   
75,000     Bunge Ltd. Finance Corp., Senior Note, 4.375% due 12/15/08    73,548 
125,000     Campbell Soup Co., Notes, 6.900% due 10/15/06    126,336 
325,000     Dean Foods Co., Senior Notes, 6.900% due 10/15/17    330,688 
500,000     Del Monte Corp., Senior Subordinated Notes, 8.625% due 12/15/12    532,500 
325,000     Doane Pet Care Co., Senior Subordinated Notes, 10.625% due 11/15/15 (b)  341,250 
    Dole Food Co. Inc.:     
350,000            Debentures, 8.750% due 7/15/13    354,812 
161,000            Senior Notes, 8.875% due 3/15/11    164,019 

See Notes to Schedule of Investments.

9

SALOMON BROTHERS CAPITAL AND INCOME FUND INC.

Schedule of Investments (unaudited) (continued) 
 
January 31, 2006 

FACE 
       
AMOUNT† 
           SECURITY (a)    VALUE 
Food Products — 0.4% (continued) 
   
     125,000    Kellogg Co., Senior Notes, 2.875% due 6/1/08 
$ 
118,993 
200,000    Kraft Foods Inc., Notes, 4.625% due 11/1/06    199,509 
500,000    Pinnacle Foods Holding Corp., Senior Subordinated Notes, 8.250% due     
           12/1/13    483,750 
625,000    United Agri Products Inc., Senior Notes, 8.250% due 12/15/11    666,406 
    Total Food Products    3,391,811 
Health Care Providers & Services — 0.6%     
250,000    AmeriPath Inc., Senior Subordinated Notes, 10.500% due 4/1/13    265,000 
300,000    DaVita Inc., Senior Subordinated Notes, 7.250% due 3/15/15    303,375 
500,000    Extendicare Health Services Inc., Senior Subordinated Notes, 6.875% due   
           5/1/14    491,250 
600,000    Genesis HealthCare Corp., Senior Subordinated Notes, 8.000% due 10/15/13  630,750 
    HCA Inc.:     
375,000           Debentures, 7.050% due 12/1/27    355,540 
           Notes:     
142,000           7.125% due 6/1/06    143,548 
975,000           6.375% due 1/15/15    978,255 
925,000    IASIS Healthcare LLC/IASIS Capital Corp., Senior Subordinated Notes,     
           8.750% due 6/15/14    951,594 
325,000    InSight Health Services Corp., Senior Subordinated Notes, 9.930% due     
           11/1/11 (d)    303,875 
150,000    Quest Diagnostics Inc., Senior Notes, 6.750% due 7/12/06    151,084 
    Tenet Healthcare Corp., Senior Notes:     
650,000           7.375% due 2/1/13    594,750 
375,000           9.875% due 7/1/14    376,875 
150,000    UnitedHealth Group Inc., Senior Notes, 3.300% due 1/30/08    145,317 
75,000    WellPoint Health Networks Inc., Notes, 6.375% due 6/15/06    75,392 
    Total Health Care Providers & Services    5,766,605 
Hotels, Restaurants & Leisure — 1.4%     
625,000    AMF Bowling Worldwide Inc., Senior Subordinated Notes, 10.000% due     
         3/1/10    642,187 
1,000,000    Boyd Gaming Corp., Senior Subordinated Notes, 6.750% due 4/15/14    987,500 
200,000    Carnival Corp., Secured Notes, 3.750% due 11/15/07    195,586 
125,000    Carrols Corp., Senior Subordinated Notes, 9.000% due 1/15/13    122,500 
325,000    Choctaw Resort Development Enterprise, Senior Notes, 7.250% due 11/15/19   
         (b)    330,688 
875,000    Cinemark Inc., Senior Discount Notes, step bond to yield 18.468% due     
         3/15/14    643,125 
550,000    Denny's Holdings Inc., Senior Notes, 10.000% due 10/1/12    565,125 
325,000    Gaylord Entertainment Co., Senior Notes, 6.750% due 11/15/14    318,500 
450,000    Herbst Gaming Inc., Senior Subordinated Notes, 7.000% due 11/15/14    451,125 
1,000,000    Isle of Capri Casinos Inc., Senior Subordinated Notes, 7.000% due 3/1/14  986,250 
500,000    Kerzner International Ltd., Senior Subordinated Notes, 6.750% due 10/1/15  490,000 
550,000    Las Vegas Sands Corp., Senior Notes, 6.375% due 2/15/15    527,312 
250,000    Leslie's Poolmart, Senior Notes, 7.750% due 2/1/13    252,188 
125,000    McDonald's Corp., Medium-Term Notes, Series E, 5.950% due 1/15/08    127,062 
    MGM MIRAGE Inc.:     
           Senior Notes:     
700,000           6.750% due 9/1/12    715,750 
575,000           5.875% due 2/27/14    557,031 
203,000           Senior Subordinated Notes, 9.375% due 2/15/10    224,823 
    Mohegan Tribal Gaming Authority, Senior Subordinated Notes:     
300,000           7.125% due 8/15/14    311,250 
350,000           6.875% due 2/15/15    356,563 
325,000    Penn National Gaming Inc., Senior Subordinated Notes, 6.750% due 3/1/15  325,813 

See Notes to Schedule of Investments.

10

SALOMON BROTHERS CAPITAL AND INCOME FUND INC.

Schedule of Investments (unaudited) (continued) 
 
January 31, 2006 

FACE 
       
AMOUNT† 
           SECURITY (a)    VALUE 
Hotels, Restaurants & Leisure — 1.4% (continued)     
     500,000    Pinnacle Entertainment Inc., Senior Subordinated Notes, 8.250% due 3/15/12   $ 520,000 
325,000    Riddell Bell Holdings Inc., Senior Subordinated Notes, 8.375% due 10/1/12    306,313 
625,000    Seneca Gaming Corp., Senior Notes, 7.250% due 5/1/12    635,937 
425,000    Six Flags Inc., Senior Notes, 9.625% due 6/1/14    434,562 
625,000    Station Casinos Inc., Senior Subordinated Notes, 6.875% due 3/1/16    638,281 
500,000    Turning Stone Casino Resort Enterprise, Senior Notes, 9.125% due 12/15/10 (b)    522,500 
500,000    VICORP Restaurants Inc., Senior Notes, 10.500% due 4/15/11    471,250 
    Total Hotels, Restaurants & Leisure    12,659,221 
Household Durables — 0.3% 
   
100,000    Centex Corp., Notes, 4.750% due 1/15/08    98,792 
125,000    Fortune Brands Inc., Notes, 2.875% due 12/1/06    122,498 
500,000    Home Interiors & Gifts Inc., Senior Subordinated Notes, 10.125% due 6/1/08    402,500 
600,000    Interface Inc., Senior Subordinated Notes, 9.500% due 2/1/14    603,000 
600,000    Sealy Mattress Co., Senior Subordinated Notes, 8.250% due 6/15/14    622,500 
575,000    Tempur-Pedic Inc./Tempur Production USA Inc., Senior Subordinated Notes,     
         10.250% due 8/15/10    622,437 
    Total Household Durables    2,471,727 
Independent Power Producers & Energy Traders — 0.8%     
    AES Corp., Senior Notes:     
100,000           9.500% due 6/1/09    108,625 
1,400,000           7.750% due 3/1/14    1,484,000 
    Calpine Corp.:     
75,000   
       Second Priority Senior Secured Notes, 8.500% due 7/15/10 (b)(e) 
  67,406 
525,000           Senior Secured Notes, 8.750% due 7/15/13 (b)(e)    469,875 
175,000    Calpine Generating Co. LLC, Senior Secured Notes, 13.216% due 4/1/11     
           (d)(e)    186,813 
100,000    Duke Energy Corp., Senior Notes, 4.200% due 10/1/08    97,631 
    Dynegy Holdings Inc.:     
450,000           Second Priority Senior Secured Notes, 10.125% due 7/15/13 (b)    510,187 
1,725,000           Senior Debentures, 7.125% due 5/15/18    1,664,625 
425,000    Mirant North America LLC, Senior Notes, 7.375% due 12/31/13 (b)    434,562 
    NRG Energy Inc.:     
835,000           Second Priority Senior Secured Notes, 8.000% due 12/15/13    935,200 
           Senior Notes:     
250,000                   7.250% due 2/1/14    254,688 
725,000                   7.375% due 2/1/16    741,312 
    Total Independent Power Producers & Energy Traders    6,954,924 
Industrial Conglomerates — 0.2% 
   
1,000,000    Koppers Inc., Senior Notes, 9.875% due 10/15/13    1,090,000 
350,000    Park-Ohio Industries Inc., Senior Subordinated Notes, 8.375% due 11/15/14    306,250 
    Total Industrial Conglomerates    1,396,250 
Insurance — 0.1%     
125,000    Genworth Financial Inc., Notes, 4.750% due 6/15/09    123,670 
125,000    Hartford Financial Services Group Inc., Senior Notes, 2.375% due 6/1/06    123,996 
75,000    Marsh & McLennan Cos. Inc., Notes, 4.720% due 7/13/07 (d)    74,911 
500,000    Nationwide Life Global Funding I, Notes, 4.609% due 9/28/07 (b)(d)    500,697 
150,000    Protective Life Secured Trust, Senior Secured Notes, Medium-Term Notes,     
           4.660% due 4/13/07 (d)    150,219 
156,000    Prudential Financial Inc., Medium Term Notes, 3.750% due 5/1/08    151,882 
75,000    Unitrin Inc., Senior Notes, 5.750% due 7/1/07    75,298 
    Total Insurance    1,200,673 

See Notes to Schedule of Investments.

11

SALOMON BROTHERS CAPITAL AND INCOME FUND INC.

Schedule of Investments (unaudited) (continued) 
 
January 31, 2006 

FACE 
       
AMOUNT† 
          
SECURITY (a) 
  VALUE 
IT Services — 0.2%     
     1,325,000    Iron Mountain Inc., Senior Subordinated Notes, 7.750% due 1/15/15 
$ 
1,351,500 
Machinery — 0.2% 
   
412,000    Caterpillar Inc., Senior Debentures, 7.250% due 9/15/09    442,078 
200,000    Ingersoll-Rand Co., Notes, 6.250% due 5/15/06    200,805 
475,000    Invensys PLC, Senior Notes, 9.875% due 3/15/11 (b)    489,250 
225,000    Mueller Group Inc., Senior Subordinated Notes, 10.000% due 5/1/12    239,625 
775,000    Mueller Holdings Inc., Discount Notes, step bond to yield 11.895% due     
           4/15/14    596,750 
213,000    Terex Corp., Senior Subordinated Notes, 7.375% due 1/15/14    215,130 
    Total Machinery    2,183,638 
Media — 1.6% 
   
400,000    AMC Entertainment Inc., Senior Subordinated Notes, 11.000% due 2/1/16 (b)  402,000 
625,000    CanWest Media Inc., Senior Subordinated Notes, 8.000% due 9/15/12    635,937 
2,020,000    CCH I Holdings LLC, Senior Secured Notes, 11.000% due 10/1/15 (b)    1,671,550 
700,000    Charter Communications Operating LLC, Second Lien Senior Notes, 8.375%   
           due 4/30/14 (b)    702,625 
250,000    Clear Channel Communications Inc., Senior Notes, 3.125% due 2/1/07    244,627 
250,000    COX Communications Inc., 7.750% due 8/15/06    253,101 
    CSC Holdings Inc.:     
700,000           Debentures, Series B, 8.125% due 8/15/09    714,000 
375,000           Senior Notes, Series B, 8.125% due 7/15/09    382,500 
    Dex Media Inc., Discount Notes:     
750,000           step bond to yield 8.608% due 11/15/13    622,500 
1,000,000           step bond to yield 8.873% due 11/15/13    830,000 
    DIRECTV Holdings LLC/DIRECTV Financing Co. Inc., Senior Notes:     
764,000           8.375% due 3/15/13    823,210 
475,000           6.375% due 6/15/15    467,875 
    EchoStar DBS Corp., Senior Notes:     
1,000,000           6.625% due 10/1/14    975,000 
325,000           7.125% due 2/1/16 (b)    322,156 
102,857    Emmis Communications Corp., Senior Notes, 10.366% due 6/15/12 (d)    103,500 
500,000    LodgeNet Entertainment Corp., Senior Subordinated Debentures, 9.500% due   
           6/15/13    542,500 
750,000    Mediacom Broadband LLC/Mediacom Broadband Corp., Senior Notes,     
           11.000% due 7/15/13    810,000 
200,000    Nexstar Finance Holdings LLC, Senior Discount Notes, step bond to yield   
           9.548% due 4/1/13    154,750 
    R.H. Donnelley Corp.:     
           Senior Discount Notes:     
175,000                   Series A-1, 6.875% due 1/15/13 (b)    161,000 
300,000                   Series A-2, 6.875% due 1/15/13 (b)    276,750 
450,000           Senior Notes, Series A-3, 8.875% due 1/15/16 (b)    457,313 
50,000    Rainbow National Services LLC, Senior Subordinated Debentures, 10.375%   
           due 9/1/14 (b)    56,250 
125,000    Reed Elsevier Capital Inc., Notes, 6.125% due 8/1/06    125,687 
600,000    Rogers Cable Inc., Senior Secured Notes, 7.875% due 5/1/12    646,500 
575,000    Sinclair Broadcast Group Inc., Senior Subordinated Notes, 8.000% due     
           3/15/12    585,063 
150,000    TCI Communications Inc., Senior Notes, 6.875% due 2/15/06    150,076 
150,000    Time Warner Inc., Notes, 6.125% due 4/15/06    150,312 
    Walt Disney Co.:     
100,000           Medium-Term Notes, 5.500% due 12/29/06    100,458 
125,000           Senior Notes, Series B, 6.750% due 3/30/06    125,400 
    Young Broadcasting Inc., Senior Subordinated Notes:     

See Notes to Schedule of Investments.

12

SALOMON BROTHERS CAPITAL AND INCOME FUND INC.

Schedule of Investments (unaudited) (continued) 
 
January 31, 2006 

FACE       
AMOUNT† 
          
SECURITY (a) 
VALUE 
Media — 1.6% (continued)   
     325,000           10.000% due 3/1/11 
$
296,563 
300,000           8.750% due 1/15/14  258,000 
    Total Media  14,047,203 
Metals & Mining — 0.2%   
475,000    Aleris International Inc., Senior Secured Notes, 10.375% due 10/15/10  524,875 
600,000    Corporacion Nacional del Cobre-Codelco, Notes, 5.500% due 10/15/13 (b)  608,892 
275,000    IPSCO Inc., Senior Notes, 8.750% due 6/1/13  302,500 
325,000    Novelis Inc., Senior Notes, 7.500% due 2/15/15 (b)  308,750 
150,000    WMC Finance USA, 6.750% due 12/1/06  151,988 
    Total Metals & Mining  1,897,005 
Multi-Utilities — 0.0%   
125,000    Keyspan Gas East Corp., Medium Term Notes, 6.900% due 1/15/08  129,125 
155,000    United Utilities PLC, Notes, 6.450% due 4/1/08  158,889 
    Total Multi-Utilities  288,014 
Multiline Retail — 0.1%   
300,000    Harry & David Operations, Senior Notes, 9.000% due 3/1/13  306,000 
225,000    Neiman Marcus Group Inc., Senior Subordinated Notes, 10.375% due   
           10/15/15 (b)  233,157 
125,000    Target Corp., Senior Notes, 5.500% due 4/1/07  125,621 
    Total Multiline Retail  664,778 
Oil, Gas & Consumable Fuels — 0.9%   
255,000    Burlington Resources Finance Corp., Senior Notes, 5.600% due 12/1/06  256,237 
    Chesapeake Energy Corp., Senior Notes:   
775,000           6.375% due 6/15/15  776,937 
75,000           6.625% due 1/15/16  76,125 
425,000           6.875% due 11/15/20 (b)  435,625 
    El Paso Corp., Medium-Term Notes:   
1,000,000           7.800% due 8/1/31  1,055,000 
1,050,000           7.750% due 1/15/32  1,115,625 
500,000    EXCO Resources Inc., Senior Notes, 7.250% due 1/15/11  510,000 
325,000    Holly Energy Partners, L.P., Senior Notes, 6.250% due 3/1/15  315,250 
125,000    Norsk Hydro ASA, Notes, 6.360% due 1/15/09  129,574 
1,550,000    Petronas Capital Ltd., 7.875% due 5/22/22 (b)  1,908,951 
1,500,000    Williams Cos. Inc., Senior Notes, 7.750% due 6/15/31  1,635,000 
    Total Oil, Gas & Consumable Fuels  8,214,324 
Paper & Forest Products — 0.3%   
440,000    Abitibi-Consolidated Inc., Debentures, 8.850% due 8/1/30  378,400 
500,000    Appleton Papers Inc., Senior Subordinated Notes, Series B, 9.750% due   
           6/15/14  477,500 
150,000    Bowater Inc., Notes, 6.500% due 6/15/13  135,188 
    Buckeye Technologies Inc.:   
150,000           Senior Notes, 8.500% due 10/1/13  151,500 
           Senior Subordinated Notes:   
400,000                 9.250% due 9/15/08  402,000 
75,000                 8.000% due 10/15/10  72,750 
650,000    Newark Group Inc., Senior Subordinated Notes, 9.750% due 3/15/14  578,500 
1,000,000    Norske Skog Canada Ltd., Senior Notes, 7.375% due 3/1/14  885,000 
    Total Paper & Forest Products  3,080,838 
Personal Products — 0.2% 
 
125,000    Avon Products Inc., Senior Notes, 7.150% due 11/15/09  133,473 
675,000    Del Laboratories Inc., Senior Subordinated Notes, 8.000% due 2/1/12  550,125 

See Notes to Schedule of Investments.

13

SALOMON BROTHERS CAPITAL AND INCOME FUND INC.

Schedule of Investments (unaudited) (continued) 
 
January 31, 2006 

FACE 
       
AMOUNT† 
           SECURITY (a)    VALUE 
Personal Products — 0.2% (continued) 
   
     150,000    Gillette Co., Notes, 3.500% due 10/15/07 
$ 
146,708 
600,000    Playtex Products Inc., Senior Subordinated Notes, 9.375% due 6/1/11    633,750 
    Total Personal Products    1,464,056 
Pharmaceuticals — 0.0% 
   
350,000    Warner Chilcott Corp., Senior Subordinated Notes, 8.750% due 2/1/15 (b)    344,750 
Real Estate — 0.4% 
   
1,000,000    Felcor Lodging LP, Senior Notes, 9.000% due 6/1/11    1,106,250 
1,250,000    Host Marriott LP, Senior Notes\, 7.125% due 11/1/13    1,292,187 
75,000    iStar Financial Inc., Senior Notes, Series B, 4.875% due 1/15/09    73,920 
500,000    MeriStar Hospitality Corp., Senior Notes, 9.125% due 1/15/11    543,750 
50,000    Simon Property Group LP, Notes, 6.375% due 11/15/07    51,026 
200,000    Vornado Realty LP, Senior Notes, 5.625% due 6/15/07    200,703 
    Total Real Estate    3,267,836 
Road & Rail — 0.0% 
   
75,000    Burlington Northern Santa Fe Corp., Notes, 7.875% due 4/15/07    77,491 
Semiconductors & Semiconductor Equipment — 0.1%     
    Amkor Technology Inc., Senior Notes:     
400,000           9.250% due 2/15/08    394,000 
500,000           7.125% due 3/15/11    445,000 
213,000           7.750% due 5/15/13    188,505 
    Total Semiconductors & Semiconductor Equipment    1,027,505 
Specialty Retail — 0.2% 
   
500,000    Buffets Inc., Senior Subordinated Notes, 11.250% due 7/15/10    521,875 
500,000    CSK Auto Inc., Senior Subordinated Notes, 7.000% due 1/15/14    458,750 
325,000    Eye Care Centers of America, Senior Subordinated Notes, 10.750% due     
           2/15/15    320,937 
225,000    Finlay Fine Jewelry Corp., Senior Notes, 8.375% due 6/1/12    200,813 
150,000    Home Depot Inc., Senior Notes, 5.375% due 4/1/06    150,106 
200,000    Toys "R" Us Inc., Senior Notes, 7.375% due 10/15/18    147,500 
    Total Specialty Retail    1,799,981 
Textiles, Apparel & Luxury Goods — 0.2% 
   
    Levi Strauss & Co., Senior Notes:     
150,000           9.280% due 4/1/12 (d)    154,500 
800,000           9.750% due 1/15/15    847,000 
300,000    Oxford Industries Inc., Senior Notes, 8.875% due 6/1/11    308,625 
250,000    Simmons Bedding Co., Senior Subordinated Notes, 7.875% due 1/15/14    236,250 
    Total Textiles, Apparel & Luxury Goods    1,546,375 
Thrifts & Mortgage Finance — 0.0%     
100,000    GreenPoint Financial Corp., Senior Notes, 3.200% due 6/6/08    96,196 
Tobacco — 0.0% 
   
75,000    Altria Group Inc., Notes, 7.200% due 2/1/07    76,149 
125,000    Cargill Inc., Notes, 6.250% due 5/1/06 (b)    125,451 
    Total Tobacco    201,600 
Wireless Telecommunication Services — 0.6%     
1,000,000    American Tower Corp., Senior Notes, 7.500% due 5/1/12    1,052,500 
1,450,000    Nextel Communications Inc., Senior Notes\ Series E, 6.875% due 10/31/13    1,521,507 
625,000    Rogers Wireless Communications Inc., Secured Notes, 7.500% due 3/15/15    681,250 
423,000    SBA Communications Corp., Senior Notes, 8.500% due 12/1/12    469,530 
250,000    Sprint Capital Corp., Notes, 6.000% due 1/15/07    252,161 
650,000    UbiquiTel Operating Co., Senior Notes, 9.875% due 3/1/11    716,625 

See Notes to Schedule of Investments.

14

SALOMON BROTHERS CAPITAL AND INCOME FUND INC.

Schedule of Investments (unaudited) (continued) 
 
January 31, 2006 

FACE 
     
AMOUNT† 
           SECURITY (a)  VALUE 
Wireless Telecommunication Services — 0.6% (continued)   
     325,000    US Unwired Inc., Second Priority Secured Notes, Series B, 10.000% due   
           6/15/12 
$
369,687 
    Total Wireless Telecommunication Services  5,063,260 
    TOTAL CORPORATE BONDS & NOTES   
           (Cost — $141,347,527)  139,593,274 
CONVERTIBLE BONDS & NOTES — 8.1%   
Airlines — 0.2% 
 
2,000,000    Continental Airlines Inc., Series B, 4.500% due 2/1/07  1,942,500 
Biotechnology — 2.1% 
 
5,100,000    BioMarin Pharmaceuticals Inc., Subordinated Notes, 3.500% due 6/15/08  5,119,125 
3,000,000    Enzon Pharmaceuticals Inc., Subordinated Notes, 4.500% due 7/1/08  2,763,750 
3,330,000    InterMune Inc., Senior Notes, 0.250% due 3/1/11 (b)  3,396,600 
1,700,000    Isis Pharmaceuticals Inc., 5.500% due 5/1/09  1,538,500 
4,000,000    NPS Pharmaceuticals Inc., Senior Notes, 3.000% due 6/15/08  3,560,000 
3,060,000    Oscient Pharmaceutical Corp., 3.500% due 4/15/11  2,440,350 
    Total Biotechnology  18,818,325 
Commercial Services & Supplies — 0.5%   
4,500,000    Allied Waste North America Inc., Senior Subordinated Debentures, 4.250%   
           due 4/15/34  3,920,625 
Communications Equipment — 1.3%   
9,000,000    Ciena Corp., Senior Notes, 3.750% due 2/1/08  8,482,500 
2,000,000    Nortel Networks Corp., Senior Notes, 4.250% due 9/1/08  1,907,500 
1,000,000    Terayon Communication Systems Inc., Subordinated Notes, 5.000% due   
           8/1/07  965,000 
    Total Communications Equipment  11,355,000 
Computers & Peripherals — 0.1% 
 
1,500,000    Silicon Graphics Inc., Senior Notes, 6.500% due 6/1/09  969,375 
Electrical Equipment — 0.1% 
 
1,250,000    GrafTech International Ltd, Senior Debentures, 1.625% due 1/15/24  945,312 
Media — 0.8% 
 
   
Charter Communications Inc., Senior Notes, Class A Shares:
   
1,810,000           5.875% due 11/16/09  1,280,575 
690,000           5.875% due 11/16/09 (b)  488,175 
5,000,000    Mediacom Communications Corp., Senior Notes, 5.250% due 7/1/06  4,975,000 
    Total Media  6,743,750 
Oil, Gas & Consumable Fuels — 0.9%   
15,000,000    El Paso Corp., Debentures, zero coupon bond to yield 8.696% due 2/28/21  8,306,250 
Pharmaceuticals — 0.2% 
 
2,000,000    Sepracor Inc., Subordinated Debentures, 5.000% due 2/15/07  1,995,000 
Semiconductors & Semiconductor Equipment — 1.1%   
2,000,000    Amkor Technology Inc., Subordinated Notes, 5.000% due 3/15/07  1,912,500 
8,500,000    Atmel Corp., Subordinated Notes, zero coupon bond to yield 5.762% due   
           5/23/21  4,154,375 
3,500,000    Conexant Systems Inc., Subordinated Notes, 4.000% due 2/1/07  3,465,000 
    Total Semiconductors & Semiconductor Equipment  9,531,875 
Software — 0.5% 
 
5,000,000    Manugistics Group Inc., Subordinated Notes, 5.000% due 11/1/07  4,700,000 

See Notes to Schedule of Investments.

15

SALOMON BROTHERS CAPITAL AND INCOME FUND INC.

Schedule of Investments (unaudited) (continued) 
 
January 31, 2006 

FACE 
       
AMOUNT 
           SECURITY (a)    VALUE 
Wireless Telecommunication Services — 0.3%     
     4,500,000    Liberty Media Corp., Senior Debentures, 4.000% due 11/15/29 (f) 
$ 
2,677,500 
    TOTAL CONVERTIBLE BONDS & NOTES     
           (Cost — $75,313,415)    71,905,512 
ASSET-BACKED SECURITIES — 6.0%     
Credit Card — 0.0% 
   
66,117    First Consumers Master Trust, Series 2001-A, Class A, 4.780% due 9/15/08     
           (d)    65,994 
Home Equity — 5.8% 
   
1,000,000    ACE Securities Corp., Series 2004-OP1, Class M3, 5.780% due 4/25/34 (d)    1,002,459 
    Aegis Asset-Backed Securities Trust:     
85,799           Series 2004-2N, Class N1, 4.500% due 4/25/34 (b)    85,687 
1,250,000           Series 2004-5, Class M2, 5.750% due 12/25/34 (d)    1,262,180 
272,202           Series 2004-5N, 5.000% due 12/25/34 (b)    269,854 
688,813           Series 2004-6N, 4.750% due 3/25/35 (b)    684,938 
    Ameriquest Mortgage Securities Inc.:     
1,000,000           Series 2003-12, Class M2, 6.230% due 11/25/33 (d)    1,023,190 
1,000,000           Series 2004-R08, Class M10, 7.030% due 9/25/34 (b)(d)    957,804 
1,000,000           Series 2004-R11, Class M5, 5.730% due 11/25/34 (d)    1,018,374 
1,000,000    Amortizing Residential Collateral Trust, Series 2004-1, Class M4, 5.580%     
           due 10/25/34 (d)    1,019,416 
80,216    AQ Finance NIM Trust, Series 2004-RN5, Class A, 5.193% due 6/25/34 (b)    79,931 
500,000    Argent NIM Trust, Series 2004-WN10, Class B, 7.385% due 11/25/34 (b)    502,187 
    Argent Securities Inc.:     
600,000           Series 2004-W8, Class M10, 8.030% due 5/25/34 (d)    591,133 
2,000,000           Series 2004-W8, Class M04, 5.830% due 5/25/34 (d)    2,017,502 
750,000    Asset-Backed Funding Certificates, Series 2004-FF1, Class M2, 5.980% due     
           1/25/34 (d)    759,590 
114,858    Asset-Backed Funding Corp. NIM Trust, Series 2004-OPT4, Class N1,     
           4.450% due 5/26/34 (b)    114,493 
    Bear Stearns Asset-Backed Securities Inc.:     
2,000,000           Series 2004-HE5, Class M1, 5.100% due 7/25/34 (d)    2,001,176 
1,197,858           Series 2005-AC4, Class M2, 5.200% due 7/25/35 (d)    1,202,043 
    Bear Stearns Asset-Backed Securities Inc. NIM Trust, Series 2004-HE5N:     
4,946           Class A1, 5.000% due 7/25/34 (b)    4,942 
79,000           Class A2, 5.000% due 7/25/34 (b)    78,871 
    Bear Stearns Asset-Backed Securities NIM Trust:     
33,161           Series 2004-FR1N, Class A1, 5.000% due 5/25/34 (b)    33,040 
64,349           Series 2004-HE6N, Class A1, 5.250% due 8/25/34 (b)    64,141 
    Countrywide Asset-Backed Certificates:     
750,000           Series 2003-03, Class M4, 5.930% due 3/25/33 (d)    755,803 
118,423           Series 2004-02N, Class N1, 5.000% due 2/25/35 (b)    117,916 
410,000           Series 2004-05, Class M4, 5.780% due 6/25/34 (d)    416,051 
120,262           Series 2004-05N, Class N1, 5.500% due 10/25/35 (b)    119,975 
2,000,000           Series 2004-BC4, Class M2, 5.380% due 10/25/34 (d)    2,010,108 
814,991    CS First Boston Mortgage Securities Corp., Series 2001-HE16, Class M2,     
           5.730% due 11/25/31 (d)    816,713 
179,802    Finance America NIM Trust, Series 2004-01, Class A, 5.250% due 6/27/34     
           (b)    179,460 
750,000    First Franklin Mortgage Loan Asset Backed Certificates, Series 2004-FF2,     
           Class M4, 5.430% due 3/25/34 (d)    757,060 
1,000,000    First Franklin Mortgage Loan Trust NIM, Series 2004-FF10, Class N2,     
           6.000% due 11/26/34 (b)(g)    979,380 
207,323    First Franklin NIM Trust, Series 2004-FF7A, Class A, 5.000% due 9/27/34     
           (b)    206,510 

See Notes to Schedule of Investments.

16

SALOMON BROTHERS CAPITAL AND INCOME FUND INC.

Schedule of Investments (unaudited) (continued) 
 
January 31, 2006 

FACE 
       
AMOUNT 
           SECURITY (a)    VALUE 
Home Equity — 5.8% (continued) 
   
    Fremont Home Loan Trust:     
     1,000,000           Series 2004-01, Class M5, 5.630% due 2/25/34 (d) 
$ 
1,007,180 
2,000,000           Series 2004-B, Class M4, 5.700% due 5/25/34 (d)    2,003,173 
875,000           Series 2004-D, Class M5, 5.530% due 11/25/34 (d)    879,921 
1,005,000   
GSAMP Trust, Series 2004-OPT, Class M3, 5.680% due 11/25/34 (d) 
  1,006,835 
785,710   
Long Beach Asset Holdings Corp., Series 2004-06, Class N2, 7.500% due 
   
           11/25/34 (b)    627,279 
750,000   
Long Beach Mortgage Loan Trust, Series 2004-06, Class M2, 5.680% due 
   
           11/25/34 (d)    753,563 
1,000,000   
MASTR Asset-Backed Securities Trust, Series 2004-OPT2, Class M4, 
   
           5.530% due 9/25/34 (d)    1,008,571 
    Merrill Lynch Mortgage Investors Inc.:     
60,777           Series 2004-WM2N, Class N1, 4.500% due 12/25/34 (b)    60,447 
159,413           Series 2005-WM1N, Class N1, 5.000% due 9/25/35 (b)    158,039 
    Morgan Stanley Asset Backed Securities Capital I:     
1,400,000           Series 2004-HE4, Class M2, 5.830% due 5/25/34 (d)    1,400,821 
500,000           Series 2004-HE9, Class M6, 5.780% due 11/25/34 (d)    503,010 
1,000,000           Series 2004-NC8, Class M4, 5.530% due 9/25/34 (d)    1,011,722 
1,000,000           Series 2004-OP1, Class M5, 5.580% due 11/25/34 (d)    1,012,948 
    New Century Home Equity Loan Trust:     
1,250,000           Series 2001-NC1, Class M2, 5.590% due 6/20/31 (d)    1,251,802 
1,500,000           Series 2003-04, Class M2, 6.350% due 10/25/33 (d)    1,518,525 
    Novastar Home Equity Loan:     
2,000,000           Series 2003-04, Class M2, 6.155% due 2/25/34 (d)    2,033,485 
1,000,000           Series 2004-01, Class M4, 5.505% due 6/25/34 (d)    1,005,233 
1,250,000           Series 2004-02, Class M5, 6.030% due 9/25/34 (d)    1,264,818 
1,000,000           Series 2004-4, Class M4, 5.630% due 3/25/35 (d)    1,002,388 
750,000           Series 2005-02, Class M10, 7.530% due 10/25/35 (d)    688,042 
    Option One Mortgage Loan Trust:     
375,135           Series 2002-02, Class M2, 5.680% due 6/25/32 (d)    375,723 
812,748           Series 2002-4, Class M2, 5.660% due 7/25/32 (d)    814,758 
1,500,000           Series 2004-02, Class M2, 5.580% due 5/25/34 (d)    1,500,882 
    Park Place Securities NIM Trust:     
500,000           Series 2004-WWF1, Class B, 6.290% due 1/25/35 (b)    497,812 
449,475           Series 2005-WHQ2, Class A, 5.192% due 5/25/35 (b)    448,126 
1,000,000   
Renaissance Home Equity Loan Trust, Series 2003-4, Class M3, 6.430% due 
 
           3/25/34 (d)    1,009,030 
1,000,000   
Residential Asset Securities Corp., Series 2004-KS10, Class M2, 5.680% due 
 
           11/25/34 (d)    1,013,307 
    Sail Net Interest Margin Notes:     
141,210           Series 2003-BC2A, Class A, 7.750% due 4/27/33 (b)    83,384 
           Series 2005-1A:     
426,884                      Class A, 4.250% due 2/27/35 (b)    424,351 
305,236                      Class B, 7.500% due 2/27/35 (b)    291,500 
130,464           Series 2004 11A, Class A2, 4.750% due 1/27/35 (b)    129,725 
129,481           Series 2004-002A, Class A, 5.500% due 3/27/34 (b)    129,061 
127,677           Series 2004-004A, Class A, 5.000% due 4/27/34 (b)    127,625 
36,642           Series 2004-005A, Class A, 4.500% due 6/27/34 (b)    36,573 
132,099           Series 2004-008A, Class A, 5.000% due 9/27/34 (b)    131,620 
273,479           Series 2004-11A, Class B, 7.500% due 1/27/35 (b)    269,163 
381,031           Series 2004-AA, Class B, 7.500% due 10/27/34 (b)    313,856 
           Series 2004-BN2A:     
255,588                      Class A, 5.000% due 12/27/34 (b)    254,966 
357,524                      Class B, 7.000% due 12/27/34 (b)    334,415 
    Sharp SP I LLC, NIM Trust:     

See Notes to Schedule of Investments.

17

SALOMON BROTHERS CAPITAL AND INCOME FUND INC.

Schedule of Investments (unaudited) (continued) 
 
January 31, 2006 

FACE     
   
AMOUNT 
            
SECURITY (a)
  VALUE 
Home Equity — 5.8% (continued) 
   
     163,691     
          Series 2004-HS1N, 5.920% due 2/25/34 (b)
$ 
161,742 
54,772     
          Series 2004-OP1N, 5.190% due 4/25/34 (b)
  54,750 
198,982     
          Series 2005-HE1N, 5.190% due 2/25/35 (b)
  198,163 
1,500,000     
Structured Asset Investment Loan Trust, Series 2003-BC10, Class M2,
   
     
          6.380% due 10/25/33 (d)
  1,508,858 
     
Total Home Equity
  51,439,119 
Student Loan — 0.2% 
   
1,561,915     
Saco I Trust, Series 2005-02, Class A, 4.730% due 4/25/35 (b)(d)
  1,562,202 
     
TOTAL ASSET-BACKED SECURITIES
   
     
          (Cost — $53,063,579)
  53,067,315 
MORTGAGE-BACKED SECURITIES — 2.5%    
FHLMC — 1.9% 
   
     
Federal Home Loan Mortgage Corp. (FHLMC), Gold:
   
1,471,009     
          7.000% due 6/1/17
  1,520,464 
478,931     
          8.500% due 9/1/25
  520,485 
1,009,142     
          6.500% due 8/1/29
  1,037,823 
13,478,352     
          6.000% due 9/1/32-2/1/34
  13,631,571 
     
TOTAL FHLMC
  16,710,343 
FNMA — 0.6% 
   
     
Federal National Mortgage Association (FNMA):
   
1,813,027     
          8.000% due 12/1/12
  1,889,594 
1,663,752     
          7.000% due 6/1/32
  1,729,734 
1,859,007     
          5.500% due 4/1/35
  1,840,290 
     
TOTAL FNMA
  5,459,618 
     
TOTAL MORTGAGE-BACKED SECURITIES
   
     
          (Cost — $22,396,316)
  22,169,961 
COLLATERALIZED MORTGAGE OBLIGATIONS — 0.7%    
260,000     
American Home Mortgage Investment Trust, Series 2005-4, Class M3,
   
     
          5.330% due 11/25/45 (d)
  260,299 
186,860     
Commercial Mortgage Pass-Through Certificates, Series 2003-FL9, Class E,
   
     
          5.470% due 11/15/15 (b)(d)
  187,724 
     
Federal Home Loan Mortgage Corp. (FHLMC):
   
209,725     
          Series 2764, Class DT, 6.000% due 3/15/34 (d)
  205,897 
678,728     
          Series 2780, Class SL PAC, 6.000% due 4/15/34 (d)
  670,830 
748,354     
Harborview Mortgage Loan Trust, Series 2005-10, Class B6, 5.553% due
   
     
          11/19/35 (d)
  741,339 
203,877     
Homestar NIM Trust, Series 2004-6, Class A1, 5.500% due 1/25/35 (b)
  203,781 
1,186,464     
Impac CMB Trust, Series 2004-04, Class 2M2, 6.030% due 9/25/34 (d)
  1,190,359 
836,738     
Merit Securities Corp., Series 11PA, Class B2, 6.060% due 9/28/32 (b)(d)
  816,834 
     
MLCC Mortgage Investors Inc.:
   
750,000     
          Series 2004-A, Class B2, 5.450% due 4/25/29 (d)
  749,552 
1,000,000     
          Series 2004-B, Class B2, 5.410% due 5/25/29 (d)
  1,005,022 
     
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
   
     
          (Cost — $6,011,499)
  6,031,637 
SOVEREIGN BONDS — 15.3% 
   
Argentina — 0.7% 
   
     
Republic of Argentina:
   
837,000 
EUR 
 
          10.250% due 1/26/07 (e)
  309,078 
1,133,125 
 
          4.889% due 8/3/12 (d)
  1,026,287 
1,100,000 
EUR 
 
          9.500% due 3/4/49 (e)
  399,510 
1,680,000 
 
          0.000% due 3/29/49 (d)(e)
  453,600 
6,042,370 
ARS 
 
          Discount Bonds, 5.830% due 12/31/33 (d)
  2,329,571 

See Notes to Schedule of Investments.

18

SALOMON BROTHERS CAPITAL AND INCOME FUND INC.

Schedule of Investments (unaudited) (continued) 
 
January 31, 2006 

FACE         
AMOUNT† 
            
SECURITY (a) 
VALUE 
Argentina — 0.7% (continued)   
2,200,000 
EUR 
         Medium-Term Notes, 7.000% due 3/18/49 (e) 
$
782,303 
800,000 
         Par Bonds, step bond to yield 1.330% due 12/31/38  281,800 
 
         Series GDP:   
16,879,931 
ARS 
                      0.000% due 12/15/35 (d)  303,026 
1,175,000 
EUR 
                      0.000% due 12/15/35 (d)  97,492 
800,000                          0.000% due 12/15/35 (d)  55,200 
      Total Argentina  6,037,867 
Brazil — 3.1% 
 
      Federative Republic of Brazil:   
1,700,000             7.875% due 3/7/15  1,841,100 
             Collective Action Securities:   
12,080,000                          8.000% due 1/15/18  13,206,460 
2,815,000                          8.750% due 2/4/25  3,223,175 
8,889,870             DCB, Series L, 5.250% due 4/15/12 (d)  8,867,645 
      Total Brazil  27,138,380 
Bulgaria — 0.2% 
 
1,715,000      Republic of Bulgaria, 8.250% due 1/15/15 (b)  2,058,000 
Chile — 0.2% 
 
2,000,000      Republic of Chile, 5.500% due 1/15/13  2,043,083 
China — 0.1% 
 
705,000     
People's Republic of China, Bonds, 4.750% due 10/29/13 
687,243 
Colombia — 0.8% 
 
      Republic of Colombia:   
4,300,000             8.125% due 5/21/24  4,805,250 
145,000             10.375% due 1/28/33  198,433 
1,640,000             Medium-Term Notes, 11.750% due 2/25/20  2,345,200 
      Total Colombia  7,348,883 
Ecuador — 0.2% 
 
      Republic of Ecuador:   
190,000             12.000% due 11/15/12 (b)  196,650 
1,835,000             step bond to yield 12.021% due 8/15/30 (b)  1,789,125 
      Total Ecuador  1,985,775 
El Salvador — 0.3% 
 
      Republic of El Salvador:   
1,705,000             7.750% due 1/24/23 (b)  1,911,731 
370,000             8.250% due 4/10/32 (b)  419,950 
      Total El Salvador  2,331,681 
Malaysia — 0.2% 
 
      Federation of Malaysia:   
350,000             8.750% due 6/1/09  389,437 
1,625,000             7.500% due 7/15/11  1,811,205 
      Total Malaysia  2,200,642 
Mexico — 3.0% 
 
      United Mexican States:   
1,170,000             11.375% due 9/15/16  1,727,213 
7,770,000             8.125% due 12/30/19  9,518,250 
             Medium-Term Notes, Series A:   
425,000                          5.875% due 1/15/14  438,281 
275,000                          8.300% due 8/15/31  348,150 

See Notes to Schedule of Investments.

19

SALOMON BROTHERS CAPITAL AND INCOME FUND INC.

Schedule of Investments (unaudited) (continued) 
 
January 31, 2006 

FACE 
     
AMOUNT† 
          
SECURITY (a) 
VALUE 
Mexico — 3.0% (continued) 
 
     1,675,000 
               6.375% due 1/16/13 
$
1,776,337 
8,325,000 
               6.625% due 3/3/15  9,018,056 
3,200,000 
               8.000% due 9/24/22  3,908,800 
265,000 
         Series A, Notes, 7.500% due 4/8/33  310,050 
  Total Mexico  27,045,137 
Panama — 0.6% 
 
  Republic of Panama:   
700,000 
         7.250% due 3/15/15  760,900 
1,625,000 
         8.875% due 9/30/27  2,015,000 
2,504,000 
         6.700% due 1/26/36  2,498,366 
  Total Panama  5,274,266 
Peru — 1.0% 
 
  Republic of Peru:   
505,000 
         9.125% due 2/21/12  585,800 
2,075,000 
         9.875% due 2/6/15  2,578,188 
560,000 
         8.750% due 11/21/33  660,800 
2,989,000 
         FLIRB, 5.000% due 3/7/17 (d)  2,869,440 
         Global Bonds:   
600,000 
               8.375% due 5/3/16  685,500 
1,630,000 
               7.350% due 7/21/25  1,691,125 
  Total Peru  9,070,853 
Philippines — 0.7% 
 
  Republic of the Philippines:   
2,625,000 
         9.000% due 2/15/13  2,931,731 
375,000 
         8.250% due 1/15/14  401,944 
1,975,000 
         10.625% due 3/16/25  2,510,719 
625,000 
         9.500% due 2/2/30  732,781 
  Total Philippines  6,577,175 
Poland — 0.2% 
 
1,495,000 
  Republic of Poland, 5.250% due 1/15/14  1,512,753 
Russia — 1.5% 
 
  Russian Federation:   
1,665,000 
         11.000% due 7/24/18 (b)  2,447,550 
9,615,000 
         step bond to yield 5.000% due 3/31/30 (b)  10,744,762 
  Total Russia  13,192,312 
South Africa — 0.3% 
 
  Republic of South Africa:   
250,000 
         9.125% due 5/19/09  280,000 
1,825,000 
         6.500% due 6/2/14  1,971,000 
  Total South Africa  2,251,000 
Turkey — 1.1% 
 
  Republic of Turkey:   
200,000 
         11.750% due 6/15/10  244,500 
725,000 
         11.500% due 1/23/12  919,844 
4,150,000 
         11.000% due 1/14/13  5,275,687 
900,000 
         7.250% due 3/15/15  945,000 
1,250,000 
         7.000% due 6/5/20  1,267,188 
800,000 
         11.875% due 1/15/30  1,225,500 
  Total Turkey  9,877,719 

See Notes to Schedule of Investments.

20

SALOMON BROTHERS CAPITAL AND INCOME FUND INC.

Schedule of Investments (unaudited) (continued) 
 
January 31, 2006 

FACE 
 
   
AMOUNT† 
          
SECURITY (a)
  VALUE 
Ukraine — 0.2% 
   
1,400,000   
Republic of Ukraine, 7.650% due 6/11/13 (b)
$ 
1,487,500 
Uruguay — 0.2% 
   
   
Republic of Uruguay, Benchmark Bonds:
   
575,000   
          7.250% due 2/15/11
  601,594 
750,000   
          7.500% due 3/15/15
  791,250 
   
Total Uruguay
  1,392,844 
Venezuela — 0.7% 
   
   
Bolivarian Republic of Venezuela:
   
2,750,000   
          5.375% due 8/7/10
  2,692,250 
1,050,000   
          8.500% due 10/8/14
  1,179,675 
275,000   
          7.650% due 4/21/25
  291,844 
1,900,000   
          Collective Action Securities, 10.750% due 9/19/13
  2,375,000 
   
Total Venezuela
  6,538,769 
   
TOTAL SOVEREIGN BONDS
   
   
          (Cost — $128,243,543)
  136,051,882 
LOAN PARTICIPATION — 0.1% 
   
1,000,000   
UPC Broadband Inc. Term Loan, Tranche H2, 7.280% due 3/15/12 (Bank of 
 
   
          America)(d)(g) (Cost — $1,000,000)
  1,012,232 
CONTRACTS 
       
PURCHASED OPTION — 0.1% 
   
2,250   
S&P 500 Index, Put @ 1,200, expires 3/06
   
   
          (Cost — $2,507,175)
  810,000 
WARRANT 
       
WARRANTS — 0.0% 
   
2,935   
Bolivarian Republic of Venezuela, Oil-linked payment obligations, Expires 
 
   
          4/15/20*
  93,920 
2,800   
United Mexican States, Series XW05, Expires 11/9/06*
  91,000 
2,275   
United Mexican States, Series XW10, Expires 10/10/06*
  96,688 
1,700   
United Mexican States, Series XW20, Expires 9/1/06*
  119,000 
   
TOTAL WARRANTS
   
   
          (Cost — $270,360)
  400,608 
   
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS 
 
   
          (Cost — $781,268,887)
  858,597,131 
FACE 
 
   
AMOUNT 
 
   
SHORT-TERM INVESTMENTS — 3.4%    
Repurchase Agreements — 3.4% 
   
$     10,095,000   
Interest in $386,481,000 joint tri-party repurchase agreement dated 1/31/06 
 
   
          with Greenwich Capital Markets Inc., 4.450% due 2/1/06; Proceeds at
   
   
          maturity - $10,096,248; (Fully collateralized by various U.S. government 
 
   
          agency & Treasury obligations, 0.000% to 9.375% due 4/15/06 to 4/15/30; 
 
   
          Market value - $10,296,981)
  10,095,000 
10,000,000   
Interest in $479,208,000 joint tri-party repurchase agreement dated 1/31/06 
 
   
          with Morgan Stanley, 4.450% due 2/1/06; Proceeds at maturity -
   
   
          $10,001,236; (Fully collateralized by various U.S. government agency
   
   
          obligations, 0.000% to 6.300% due 8/17/07 to 9/19/25; Market value -
   
   
          $10,321,709)
  10,000,000 
10,000,000   
Interest in $588,238,000 joint tri-party repurchase agreement dated 1/31/06 
 
   
          with Deutsche Bank Securities Inc., 4.450% due 2/1/06; Proceeds at
   
   
          maturity - $10,001,236; (Fully collateralized by various U.S. Government 
 
   
          Agency Obligations 0.000% to 5.365% due 2/13/06 to 9/9/24; Market
   
   
          value - $10,200,041)
  10,000,000 
    TOTAL SHORT-TERM INVESTMENTS     
              (Cost — $30,095,000)    30,095,000 
    TOTAL INVESTMENTS — 100.0% (Cost — $811,363,887#)  $ 888,692,131 

See Notes to Schedule of Investments.

21

SALOMON BROTHERS CAPITAL AND INCOME FUND INC.

Schedule of Investments (unaudited) (continued) 
 
January 31, 2006 

* Non-income producing security.
† Face amount denominated in U.S. dollars, unless otherwise noted.
(a)      All securities 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) Company changed name to NTL Inc.
(d) Variable rate security. Interest rate disclosed is that which is in effect at January 31, 2006.
(e) Security is currently in default.
(f) This security is exchangeable for Sprint Nextel Corp. common stock.
(g) Participation interest was acquired through the financial institution 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
DCB - Debt Conversion Bond
EUR - Euro
FDR - Foreign Depositary Receipt
FLIRB - Front-Loaded Interest Reduction Bonds
GDP - Gross Domestic Product
MASTR - Mortgage Asset Securitization Transactions Inc.
MTN - Medium-Term Note
MXN - Mexican Peso
NIM - Net Interest Margin

 

See Notes to Schedule of Investments.

22

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, as amended, (the "1940 Act"). The Board of Directors authorized 100 million shares of $0.001 par value common stock. The Fund seeks total return with an emphasis on income by investing primarily in a portfolio consisting of a broad range of equity and fixed income securities of both U.S. and foreign issues.

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

(a) Investment Valuation. Equity securities for which market quotations are available are valued at the last sale price or official closing price on the primary market or exchange on which they trade. Debt securities are valued at the mean between the bid and asked prices provided by an independent pricing service that are based on transactions in debt obligations, quotations from bond dealers, market transactions in comparable securities and various 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 ask prices as of the close of business of that market. When prices are not readily available, or are determined not to reflect fair value, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund may value these investments at fair value as determined in accordance with the procedures approved by the Fund’s Board of Directors. Short-term obligations with maturities of 60 days or less are valued at amortized cost, which approximates market value.

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

(c) Loan Participations. The Fund may invest in loans arranged through private negotiation between one or more financial institutions. The Fund’s investment in any such loan may be in the form of a participation in or an assignment of the loan. In connection with purchasing participations, the Fund generally will have no right to enforce compliance by the borrower with the terms of the loan agreement relating to the loan, nor any rights of set-off against the borrower and the Fund may not benefit directly from any collateral supporting the loan in which it has purchased the participation.

(d) Credit and Market Risk. The Fund invests in high yield and emerging market instruments that are subject to certain credit and market risks. The yields of high yield and emerging market debt obligations reflect, among other things, perceived credit 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 Fund. The Fund’s investment in non-dollar denominated securities may also result in foreign currency losses caused by devaluations and exchange rate fluctuations.

(e) 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.

23

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

2. Investments

At January 31, 2006, the aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes were substantially as follows:

Gross unrealized appreciation    $ 97,592,896  
Gross unrealized depreciation    (20,264,652 ) 
Net unrealized appreciation    $ 77,328,244  

At January 31, 2006, the Fund held loan participations with a total cost of $1,000,000 and a total market value of $1,012,232.

3. Loan

At January 31, 2006, 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”). In addition, CNA acts as administrative agent of the credit facility. The loan generally bear interest at a variable rate based on the weight 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.

 

24

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 
/s/ R. Jay Gerken 
 
 
 
 
R. Jay Gerken 
 
 
Chief Executive Officer 
 
     
Date:       
March 31, 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 
 
 
 
 
 
 
Chief Executive Officer 
 
     
Date:       
March 31, 2006
 

 

By 
/s/ Frances Guggino
 
 
 
 
Frances Guggino
 
 
Chief Financial Officer 
 
     
Date:       
March 31, 2006