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 811-8709
Salomon Brothers High Income Fund II Inc.
(Exact name of registrant as specified in charter)
125 Broad Street, New York, NY 10004
(Address of principal executive offices) (Zip code)
Robert I. Frenkel, Esq.
c/o Citigroup Asset Management
300 First Stamford Place, 4th Floor
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: April 30,
Date of reporting period: July 31, 2005
| ITEM 1. | SCHEDULE OF INVESTMENTS |
SALOMON BROTHERS HIGH INCOME FUND II INC.
FORM N-Q
JULY 31, 2005
SALOMON BROTHERS HIGH INCOME FUND II INC.
| Schedule of Investments (unaudited) | July 31, 2005 |
| FACE AMOUNT |
SECURITY(a) |
VALUE | ||||
| CORPORATE BONDS & NOTES - 56.8% | ||||||
| Advertising - 0.5% | ||||||
| $ | 2,500,000 | Bear Creek Corp., Senior Notes, 9.000% due 3/1/13 (b) |
$ | 2,487,500 | ||
| 2,100,000 | Interep National Radio Sales Inc., Senior Subordinated Notes, Series B, 10.000% due 7/1/08 (c) |
1,590,750 | ||||
| 3,600,000 | SITEL Corp., Senior Subordinated Notes, 9.250% due 3/15/06 |
3,600,000 | ||||
| Total Advertising | 7,678,250 | |||||
| Aerospace/Defense - 1.2% | ||||||
| 3,325,000 | Alliant Techsystems Inc., Senior Subordinated Notes, 8.500% due 5/15/11 |
3,541,125 | ||||
| 4,200,000 | Argo-Tech Corp., Senior Notes, 9.250% due 6/1/11 |
4,599,000 | ||||
| 5,500,000 | L-3 Communications Corp., Senior Subordinated Notes, 7.625% due 6/15/12 |
5,912,500 | ||||
| 4,000,000 | Sequa Corp., Senior Notes, 9.000% due 8/1/09 |
4,460,000 | ||||
| Total Aerospace/Defense | 18,512,625 | |||||
| Airlines - 0.2% | ||||||
| Continental Airlines Inc., Pass-Through Certificates: |
||||||
| 1,141,346 | Series 1998-1C, Series B, 6.541% due 9/15/08 |
1,031,544 | ||||
| 675,000 | Series 1998-3, 7.250% due 11/1/05 |
669,082 | ||||
| 1,736,840 | Series 2000-2, Class C, 8.312% due 4/2/11 |
1,424,272 | ||||
| Total Airlines | 3,124,898 | |||||
| Apparel - 0.7% | ||||||
| Levi Strauss & Co., Senior Notes: |
||||||
| 1,150,000 | 8.254% due 4/1/12 (d) |
1,155,750 | ||||
| 810,000 | 12.250% due 12/15/12 |
913,275 | ||||
| 4,825,000 | 9.750% due 1/15/15 |
5,090,375 | ||||
| 3,275,000 | Tommy Hilfiger USA Inc., Notes, 6.850% due 6/1/08 (c) |
3,307,750 | ||||
| Total Apparel | 10,467,150 | |||||
| Auto Manufacturers - 1.7% | ||||||
| Ford Motor Co.: |
||||||
| Debentures: |
||||||
| 1,050,000 | 6.625% due 10/1/28 |
821,799 | ||||
| 1,150,000 | 8.900% due 1/15/32 (c) |
1,050,186 | ||||
| 16,475,000 | Notes, 7.450% due 7/16/31 (c) |
14,004,524 | ||||
| General Motors Corp., Senior Debentures: |
||||||
| 2,375,000 | 8.250% due 7/15/23 (c) |
2,137,500 | ||||
| 9,375,000 | 8.375% due 7/15/33 (c) |
8,507,813 | ||||
| Total Auto Manufacturers | 26,521,822 | |||||
| Auto Parts & Equipment - 0.5% | ||||||
| 2,100,000 | Keystone Automotive Operations Inc., Senior Subordinated Notes, 9.750% due 11/1/13 (c) |
2,152,500 | ||||
| 1,700,000 | Tenneco Automotive Inc., Senior Secured Notes, Series B, 10.250% due 7/15/13 (c) |
1,946,500 | ||||
| 2,409,000 | TRW Automotive Inc., Senior Subordinated Notes, 9.375% due 2/15/13 |
2,710,125 | ||||
| Total Auto Parts & Equipment | 6,809,125 | |||||
| Building Materials - 0.9% | ||||||
| 8,500,000 | Associated Materials Inc., Senior Discount Notes, step bond to yield 12.010% due 3/1/14 |
5,440,000 | ||||
| 4,175,000 | Nortek Inc., Senior Subordinated Notes, 8.500% due 9/1/14 |
4,086,281 | ||||
| 5,075,000 | Ply Gem Industries Inc., Senior Subordinated Notes, 9.000% due 2/15/12 |
4,466,000 | ||||
| Total Building Materials | 13,992,281 | |||||
| Chemicals - 4.9% | ||||||
| 7,230,000 | Acetex Corp., Senior Notes, 10.875% due 8/1/09 |
7,663,800 | ||||
See Notes to Schedule of Investments.
1
SALOMON BROTHERS HIGH INCOME FUND II INC.
| Schedule of Investments (unaudited) (continued) | July 31, 2005 |
| FACE AMOUNT |
SECURITY(a) |
VALUE | ||||
| Chemicals (continued) | ||||||
| $ | 2,500,000 | Airgas Inc., Senior Subordinated Notes, 9.125% due 10/1/11 |
$ | 2,718,750 | ||
| 981,818 | Applied Extrusion Technologies Inc., Senior Notes, 12.000% due 3/15/12 (b)(c)(e) |
978,248 | ||||
| 2,800,000 | Borden Chemicals & Plastics LP, Notes, 9.500% due 5/1/05 (e)(f)(g) |
49,000 | ||||
| 2,850,000 | Borden U.S. Finance Corp./Nova Scotia Finance ULC, Second Priority Senior Secured Notes, 9.000% due 7/15/14 (b) |
2,960,437 | ||||
| 3,500,000 | Equistar Chemicals LP/Equistar Funding Corp., Senior Notes, 10.625% due 5/1/11 |
3,920,000 | ||||
| 8,500,000 | FMC Corp., Debentures, 7.750% due 7/1/11 |
9,392,500 | ||||
| Huntsman International LLC, Senior Subordinated Notes: |
||||||
| 3,873,000 | 10.125% due 7/1/09 (c) |
4,018,237 | ||||
| 675,000 | 7.375% due 1/1/15 (b) |
688,500 | ||||
| 3,675,000 | Innophos Inc., Senior Subordinated Notes, 8.875% due 8/15/14 (b) |
3,794,437 | ||||
| 6,950,000 | ISP Chemco Inc., Senior Subordinated Notes, Series B, 10.250% due 7/1/11 |
7,592,875 | ||||
| 8,000,000 | Key Plastics Holdings Inc., Senior Subordinated Notes, Series B, 10.250% due 3/15/07 (e)(f)(g) |
90,000 | ||||
| Lyondell Chemical Co., Senior Secured Notes: |
||||||
| 2,575,000 | 9.500% due 12/15/08 |
2,745,594 | ||||
| 1,400,000 | 11.125% due 7/15/12 (c) |
1,594,250 | ||||
| 117,000 | Series B, 9.875% due 5/1/07 (c) |
120,803 | ||||
| 3,075,000 | Methanex Corp., Senior Notes, 8.750% due 8/15/12 |
3,509,344 | ||||
| 3,550,000 | Millennium America Inc., Senior Notes, 9.250% due 6/15/08 (c) |
3,887,250 | ||||
| 4,250,000 | Nalco Co., Senior Subordinated Notes, 8.875% due 11/15/13 (c) |
4,653,750 | ||||
| 1,325,000 | OM Group Inc., Senior Subordinated Notes, 9.250% due 12/15/11 |
1,358,125 | ||||
| 4,075,000 | Resolution Performance Products Inc., Senior Subordinated Notes, 13.500% due 11/15/10 (c) |
4,421,375 | ||||
| Rhodia SA: |
||||||
| 575,000 | Senior Notes, 10.250% due 6/1/10 (c) |
622,438 | ||||
| 5,850,000 | Senior Subordinated Notes, 8.875% due 6/1/11 (c) |
5,703,750 | ||||
| 1,657,000 | Westlake Chemical Corp., Senior Notes, 8.750% due 7/15/11 |
1,808,201 | ||||
| Total Chemicals | 74,291,664 | |||||
| Commercial Services - 1.1% | ||||||
| 2,100,000 | Allied Security Escrow Corp., Senior Subordinated Notes, 11.375% due 7/15/11 |
2,089,500 | ||||
| 3,200,000 | Brand Services Inc., Senior Notes, 12.000% due 10/15/12 |
3,408,000 | ||||
| Cenveo Corp.: |
||||||
| 1,000,000 | Senior Notes, 9.625% due 3/15/12 |
1,085,000 | ||||
| 3,050,000 | Senior Subordinated Notes, 7.875% due 12/1/13 (c) |
2,962,312 | ||||
| Iron Mountain Inc., Senior Subordinated Notes: |
||||||
| 4,035,000 | 8.625% due 4/1/13 |
4,256,925 | ||||
| 1,600,000 | 7.750% due 1/15/15 |
1,656,000 | ||||
| 900,000 | R.H. Donnelley Finance Corp. I, Senior Subordinated Notes, 10.875% due 12/15/12 (b) |
1,048,500 | ||||
| Total Commercial Services | 16,506,237 | |||||
| Computers - 0.7% | ||||||
| 3,000,000 | Seagate Technology HDD Holdings, Senior Notes, 8.000% due 5/15/09 (c) |
3,206,250 | ||||
| 1,350,000 | SunGard Data Systems Inc., Senior Notes, 9.125% due 8/15/13 (b) |
1,409,063 | ||||
| 5,175,000 | Unisys Corp., Senior Notes, 8.125% due 6/1/06 (c) |
5,317,312 | ||||
| Total Computers | 9,932,625 | |||||
| Containers & Packaging - 0.3% | ||||||
| 3,750,000 | JSG Funding PLC, Senior Notes, 9.625% due 10/1/12 |
3,806,250 | ||||
| Diversified Financial Services - 2.9% | ||||||
| Alamosa Delaware Inc.: |
||||||
| 4,430,000 | Senior Discount Notes, 8.371% due 7/31/09 |
4,967,137 | ||||
See Notes to Schedule of Investments.
2
SALOMON BROTHERS HIGH INCOME FUND II INC.
| Schedule of Investments (unaudited) (continued) | July 31, 2005 |
| FACE AMOUNT |
SECURITY(a) |
VALUE | ||||
| Diversified Financial Services (continued) | ||||||
| $ | 1,950,000 | Senior Notes, 11.000% due 7/31/10 |
$ | 2,232,750 | ||
| 3,104,000 | BCP Crystal U.S. Holdings Corp., Senior Subordinated Notes, 9.625% due 6/15/14 |
3,523,040 | ||||
| Ford Motor Credit Co.: |
||||||
| Notes: |
||||||
| 3,075,000 | 7.875% due 6/15/10 (c) |
3,106,722 | ||||
| 1,175,000 | 7.000% due 10/1/13 (c) |
1,143,281 | ||||
| 2,700,000 | Senior Notes, 7.250% due 10/25/11 (c) |
2,660,653 | ||||
| General Motors Acceptance Corp.: |
||||||
| 11,725,000 | Bonds, 8.000% due 11/1/31 (c) |
11,403,782 | ||||
| Notes: |
||||||
| 775,000 | 7.250% due 3/2/11 (c) |
755,734 | ||||
| 6,475,000 | 6.750% due 12/1/14 (c) |
6,108,981 | ||||
| 6,163,689 | Iowa Select Farm LP, Secured Notes, 6.500% due 12/1/12 (b) |
3,081,845 | ||||
| 6,910,000 | Vanguard Health Holdings Co. I LLC, Senior Discount Notes, step bond to yield 9.544% due 10/1/15 (c) |
5,044,300 | ||||
| Total Diversified Financial Services | 44,028,225 | |||||
| Electric - 3.6% | ||||||
| AES Corp., Senior Notes: |
||||||
| 1,325,000 | 9.500% due 6/1/09 |
1,484,000 | ||||
| 1,400,000 | 9.375% due 9/15/10 (c) |
1,596,000 | ||||
| 4,425,000 | 7.750% due 3/1/14 (c) |
4,845,375 | ||||
| 3,450,000 | Allegheny Energy Supply Statutory Trust, Senior Secured Notes, Series 2001-A, 10.250% due 11/15/07 (b) |
3,786,375 | ||||
| Calpine Corp.: |
||||||
| 6,180,000 | Second Priority Senior Secured Notes, 8.500% due 7/15/10 (b)(c) |
4,789,500 | ||||
| 500,000 | Senior Notes, 7.875% due 4/1/08 (c) |
353,750 | ||||
| 1,575,000 | Senior Secured Notes, 8.750% due 7/15/13 (b)(c) |
1,181,250 | ||||
| 2,500,000 | Calpine Generating Co. LLC, Senior Secured Notes, 12.390% due 4/1/11 (c)(d) |
2,387,500 | ||||
| Edison Mission Energy, Senior Notes: |
||||||
| 4,575,000 | 7.730% due 6/15/09 |
4,849,500 | ||||
| 5,175,000 | 9.875% due 4/15/11 (c) |
6,119,437 | ||||
| Mirant Americas Generation LLC, Senior Notes: |
||||||
| 2,075,000 | 7.625% due 5/1/06 (f) |
2,401,813 | ||||
| 2,925,000 | 9.125% due 5/1/31 (f) |
3,480,750 | ||||
| 7,315,000 | NRG Energy Inc., Senior Secured Notes, 8.000% due 12/15/13 |
7,863,625 | ||||
| Reliant Energy Inc., Senior Secured Notes: |
||||||
| 5,325,000 | 9.250% due 7/15/10 |
5,857,500 | ||||
| 3,975,000 | 9.500% due 7/15/13 |
4,442,062 | ||||
| Total Electric | 55,438,437 | |||||
| Electrical Components & Equipment - 0.1% | ||||||
| 1,750,000 | Kinetek Inc., Senior Notes, Series D, 10.750% due 11/15/06 |
1,627,500 | ||||
| Electronics - 0.1% | ||||||
| 2,325,000 | Muzak LLC/Muzak Finance Corp., Senior Notes, 10.000% due 2/15/09 |
2,089,594 | ||||
| Entertainment - 1.9% | ||||||
| 3,550,000 | Argosy Gaming Co., Senior Subordinated Notes, 7.000% due 1/15/14 |
3,927,188 | ||||
| 6,325,000 | Cinemark Inc., Senior Discount Notes, step bond to yield 10.009% due 3/15/14 |
4,395,875 | ||||
| 4,150,000 | Herbst Gaming Inc., Senior Subordinated Notes, 7.000% due 11/15/14 |
4,243,375 | ||||
| 4,800,000 | Isle of Capri Casinos Inc., Senior Subordinated Notes, 7.000% due 3/1/14 (c) |
4,860,000 | ||||
| 2,475,000 | Mohegan Tribal Gaming Authority, Senior Subordinated Notes, 6.875% due 2/15/15 (c) |
2,570,906 | ||||
See Notes to Schedule of Investments.
3
SALOMON BROTHERS HIGH INCOME FUND II INC.
| Schedule of Investments (unaudited) (continued) | July 31, 2005 |
| FACE AMOUNT |
SECURITY(a) |
VALUE | ||||
| Entertainment (continued) | ||||||
| $ | 4,700,000 | Pinnacle Entertainment Inc., Senior Subordinated Notes, 8.250% due 3/15/12 |
$ | 4,970,250 | ||
| Six Flags Inc., Senior Notes: |
||||||
| 84,000 | 8.875% due 2/1/10 (c) |
83,370 | ||||
| 1,500,000 | 9.750% due 4/15/13 (c) |
1,471,875 | ||||
| 2,225,000 | 9.625% due 6/1/14 (c) |
2,172,156 | ||||
| Total Entertainment | 28,694,995 | |||||
| Environmental Control - 0.8% | ||||||
| Aleris International Inc.: |
||||||
| 1,525,000 | Senior Notes, 9.000% due 11/15/14 |
1,605,063 | ||||
| 2,225,000 | Senior Secured Notes, 10.375% due 10/15/10 |
2,464,187 | ||||
| Allied Waste North America Inc.: |
||||||
| Senior Notes, Series B: |
||||||
| 250,000 | 8.500% due 12/1/08 |
264,688 | ||||
| 6,000,000 | 7.375% due 4/15/14 (c) |
5,640,000 | ||||
| 1,050,000 | 7.250% due 3/15/15 (b)(c) |
1,039,500 | ||||
| 1,617,000 | Series B, Senior Secured Notes, 9.250% due 9/1/12 (c) |
1,772,636 | ||||
| Total Environmental Control | 12,786,074 | |||||
| Food - 0.8% | ||||||
| 5,250,000 | Doane Pet Care Co., Senior Subordinated Notes, 9.750% due 5/15/07 (c) |
5,197,500 | ||||
| 1,600,000 | Dole Food Co. Inc., Debentures, 8.750% due 7/15/13 |
1,776,000 | ||||
| 385,368 | Nutritional Sourcing Corp., Notes, 10.125% due 8/1/09 |
287,099 | ||||
| 4,675,000 | Pinnacle Foods Holding Corp., Senior Subordinated Notes, 8.250% due 12/1/13 (c) |
4,277,625 | ||||
| Total Food | 11,538,224 | |||||
| Forest Products & Paper - 1.0% | ||||||
| 3,850,000 | Abitibi-Consolidated Inc., Debentures, 8.850% due 8/1/30 (c) |
3,773,000 | ||||
| 4,375,000 | Appleton Papers Inc., Senior Subordinated Notes, Series B, 9.750% due 6/15/14 (c) |
4,221,875 | ||||
| 4,850,000 | Buckeye Technologies Inc., Senior Subordinated Notes, 8.000% due 10/15/10 (c) |
4,728,750 | ||||
| 1,000,000 | Newark Group Inc., Senior Subordinated Notes, 9.750% due 3/15/14 |
925,000 | ||||
| 1,000,000 | Smurfit Capital Funding PLC, Debentures, 7.500% due 11/20/25 |
940,000 | ||||
| Total Forest Products & Paper |
14,588,625 | |||||
| Health Care - Products - 0.4% | ||||||
| 3,045,000 | Accellent Corp., Senior Subordinated Notes, Series B, 10.000% due 7/15/12 |
3,288,600 | ||||
| 2,500,000 | Sybron Dental Specialties Inc., Senior Subordinated Notes, 8.125% due 6/15/12 (c) |
2,700,000 | ||||
| Total Health Care-Products | 5,988,600 | |||||
| Health Care - Services - 2.0% | ||||||
| 4,425,000 | AmeriPath Inc., Senior Subordinated Notes, 10.500% due 4/1/13 |
4,502,438 | ||||
| 2,100,000 | DaVita Inc., Senior Subordinated Notes, 7.250% due 3/15/15 (b)(c) |
2,184,000 | ||||
| 5,120,000 | Extendicare Health Services Inc., Senior Notes, 9.500% due 7/1/10 |
5,542,400 | ||||
| 2,100,000 | HCA Inc., Senior Notes, 6.375% due 1/15/15 (c) |
2,159,900 | ||||
| 4,800,000 | IASIS Healthcare LLC/IASIS Capital Corp., Senior Subordinated Notes, 8.750% due 6/15/14 (c) |
5,250,000 | ||||
| 2,350,000 | InSight Health Services Corp., Senior Subordinated Notes, Series B, 9.875% due 11/1/11 |
2,050,375 | ||||
| Tenet Healthcare Corp., Senior Notes: |
||||||
| 1,800,000 | 6.500% due 6/1/12 (c) |
1,723,500 | ||||
| 6,000,000 | 7.375% due 2/1/13 (c) |
5,910,000 | ||||
| 150,000 | 9.875% due 7/1/14 |
161,250 | ||||
See Notes to Schedule of Investments.
4
SALOMON BROTHERS HIGH INCOME FUND II INC.
| Schedule of Investments (unaudited) (continued) | July 31, 2005 |
| FACE AMOUNT |
SECURITY(a) |
VALUE | ||||
| Health Care - Services (continued) | ||||||
| $ | 1,525,000 | 6.875% due 11/15/31 |
$ | 1,265,750 | ||
| Total Health Care-Services | 30,749,613 | |||||
| Home Furnishings - 0.4% | ||||||
| 1,961,000 | Applica Inc., Senior Subordinated Notes, 10.000% due 7/31/08 (c) |
1,872,755 | ||||
| 4,425,000 | Sealy Mattress Co., Senior Subordinated Notes, 8.250% due 6/15/14 (c) |
4,734,750 | ||||
| Total Home Furnishings | 6,607,505 | |||||
| Household Durables - 0.3% | ||||||
| 5,225,000 | Home Interiors & Gifts Inc., Senior Subordinated Notes, 10.125% due 6/1/08 (c) |
4,088,563 | ||||
| Household Products/Wares - 0.3% | ||||||
| 4,350,000 | Playtex Products Inc., Senior Subordinated Notes, 9.375% due 6/1/11 (c) |
4,632,750 | ||||
| Iron/Steel - 0.0% | ||||||
| 5,000,000 | Republic Technologies International LLC/RTI Capital Corp., Senior Secured Notes, 13.750% due 7/15/09 (e)(f)(g)* |
0 | ||||
| Leisure Time - 0.7% | ||||||
| 5,000,000 | AMF Bowling Worldwide Inc., Senior Subordinated Notes, 10.000% due 3/1/10 |
5,075,000 | ||||
| 2,225,000 | Equinox Holdings Inc., Senior Notes, 9.000% due 12/15/09 |
2,325,125 | ||||
| 3,325,000 | Icon Health & Fitness Inc., Senior Subordinated Notes, 11.250% due 4/1/12 (c) |
2,610,125 | ||||
| Total Leisure Time | 10,010,250 | |||||
| Lodging - 2.8% | ||||||
| 3,055,000 | Ameristar Casinos Inc., Senior Subordinated Notes, 10.750% due 2/15/09 |
3,322,313 | ||||
| Caesars Entertainment Inc., Senior Subordinated Notes: |
||||||
| 700,000 | 9.375% due 2/15/07 |
745,500 | ||||
| 4,500,000 | 8.875% due 9/15/08 |
5,017,500 | ||||
| 3,000,000 | 8.125% due 5/15/11 (c) |
3,438,750 | ||||
| 3,780,000 | Inn of the Mountain Gods Resort & Casino, Senior Notes, 12.000% due 11/15/10 (c) |
4,380,075 | ||||
| 3,000,000 | John Q. Hammons Hotels LP, First Mortgage Senior Notes, Series B, 8.875% due 5/15/12 |
3,303,750 | ||||
| 3,750,000 | Kerzner International Ltd., Senior Subordinated Notes, 8.875% due 8/15/11 |
4,031,250 | ||||
| 3,850,000 | Las Vegas Sands Corp., Senior Notes, 6.375% due 2/15/15 (c) |
3,792,250 | ||||
| MGM MIRAGE Inc.: |
||||||
| 1,775,000 | Senior Notes, 6.750% due 9/1/12 |
1,846,000 | ||||
| 6,375,000 | Senior Subordinated Notes, 9.750% due 6/1/07 |
6,908,906 | ||||
| 4,300,000 | Starwood Hotels & Resorts Worldwide Inc., Senior Notes, 7.875% due 5/1/12 |
4,837,500 | ||||
| 475,000 | Station Casinos Inc., Senior Subordinated Notes, 6.875% due 3/1/16 |
491,625 | ||||
| Total Lodging | 42,115,419 | |||||
| Machinery - Construction & Mining - 0.3% | ||||||
| 4,000,000 | Terex Corp., Senior Subordinated Notes\Series B, 10.375% due 4/1/11 |
4,340,000 | ||||
| Machinery - Diversified - 0.4% | ||||||
| 450,000 | Case New Holland Inc., Senior Notes, 9.250% due 8/1/11 |
489,375 | ||||
| 3,825,000 | Flowserve Corp., Senior Subordinated Notes, 12.250% due 8/15/10 |
4,092,750 | ||||
| 1,850,000 | NMHG Holding Co., Senior Notes, 10.000% due 5/15/09 |
1,970,250 | ||||
| Total Machinery-Diversified | 6,552,375 | |||||
| Media - 5.9% | ||||||
| 6,435,325 | CanWest Media Inc., Senior Subordinated Notes, 8.000% due 9/15/12 |
6,861,665 | ||||
| 10,000,000 | Charter Communications Holdings LLC, Senior Discount Notes, step bond to yield 8.415% due 1/15/12 (c) |
6,375,000 | ||||
See Notes to Schedule of Investments.
5
SALOMON BROTHERS HIGH INCOME FUND II INC.
| Schedule of Investments (unaudited) (continued) | July 31, 2005 |
| FACE AMOUNT |
SECURITY(a) |
VALUE | ||||
| Media (continued) | ||||||
| Charter Communications Holdings LLC/Charter Communications Holdings Capital Corp.: |
||||||
| Senior Discount Notes: |
||||||
| $ | 4,530,000 | 11.750% due 1/15/10 (c) |
$ | 3,782,550 | ||
| 11,525,000 | Step bond to yield 6.468% due 5/15/11 |
8,355,625 | ||||
| Senior Notes: |
||||||
| 350,000 | 8.625% due 4/1/09 (c) |
281,750 | ||||
| 50,000 | 10.750% due 10/1/09 |
41,250 | ||||
| 925,000 | Charter Communications Operating LLC, Second Lien Senior Notes, 8.375% due 4/30/14 (b) |
941,188 | ||||
| 10,500,000 | CSC Holdings Inc., Senior Subordinated Debentures, 10.500% due 5/15/16 (c) |
11,471,250 | ||||
| Dex Media East LLC/Dex Media East Finance Co.: |
||||||
| 813,000 | Senior Note, Series B, 12.125% due 11/15/12 (c) |
973,568 | ||||
| 1,750,000 | Senior Notes, 9.875% due 11/15/09 |
1,929,375 | ||||
| 4,500,000 | Dex Media Inc., Discount Notes, step bond to yield 7.639% due 11/15/13 (c) |
3,712,500 | ||||
| 2,344,000 | Dex Media West LLC/Dex Media Finance Co., Senior Subordinated Notes, Series B, 9.875% due 8/15/13 |
2,683,880 | ||||
| 3,022,000 | DirecTV Holdings LLC/DirecTV Financing Co., Senior Notes, 8.375% due 3/15/13 |
3,365,753 | ||||
| 7,183,000 | EchoStar DBS Corp., Senior Notes, 9.125% due 1/15/09 (c) |
7,649,895 | ||||
| 2,500,000 | Houghton Mifflin Co., Senior Discount Notes, step bond to yield 9.696% due 10/15/13 (c) |
1,975,000 | ||||
| 4,875,000 | Mediacom LLC/Mediacom Capital Corp., Senior Notes, 9.500% due 1/15/13 (c) |
5,009,062 | ||||
| 4,825,000 | Nexstar Finance Inc., Senior Subordinated Notes, 7.000% due 1/15/14 (b) |
4,535,500 | ||||
| 3,800,000 | NextMedia Operating Inc., Senior Subordinated Notes, 10.750% due 7/1/11 |
4,165,750 | ||||
| 3,475,000 | Radio One Inc., Senior Subordinated Notes, Series B, 8.875% due 7/1/11 (c) |
3,739,969 | ||||
| 4,625,000 | Sinclair Broadcast Group Inc., Senior Subordinated Notes, 8.000% due 3/15/12 |
4,798,437 | ||||
| Yell Finance BV: |
||||||
| 6,776,000 | Senior Discount Notes, step bond to yield 10.409% due 8/1/11 (c) |
6,843,760 | ||||
| 606,000 | Senior Notes, 10.750% due 8/1/11 (c) |
671,145 | ||||
| Total Media | 90,163,872 | |||||
| Metal Fabricate-Hardware - 0.3% | ||||||
| 1,525,000 | Mueller Group Inc., Senior Subordinated Notes, 10.000% due 5/1/12 |
1,639,375 | ||||
| 4,375,000 | Mueller Holdings Inc., Discount Notes, step bond to yield 11.610% due 4/15/14 |
3,215,625 | ||||
| Total Metal Fabricate-Hardware |
4,855,000 | |||||
| Mining - 0.3% | ||||||
| 4,500,000 | Novelis Inc., Senior Notes, 7.250% due 2/15/15 (b) |
4,623,750 | ||||
| Miscellaneous Manufacturing - 0.4% | ||||||
| 2,100,000 | Invensys PLC, Senior Notes, 9.875% due 3/15/11 (b)(c) |
2,079,000 | ||||
| 7,000,000 | KI Holdings Inc., Senior Discount Notes, step bond to yield 10.388% due 11/15/14 |
4,445,000 | ||||
| 2,750,000 | Moll Industries Inc., Senior Subordinated Notes, 10.500% due 7/1/08 (e)(f)(g)* |
0 | ||||
| Total Miscellaneous Manufacturing |
6,524,000 | |||||
| Office Furnishings - 0.5% | ||||||
| Interface Inc.: |
||||||
| 2,875,000 | Senior Notes, 10.375% due 2/1/10 |
3,205,625 | ||||
| 1,500,000 | Senior Subordinated Notes, 9.500% due 2/1/14 (c) |
1,545,000 | ||||
See Notes to Schedule of Investments.
6
SALOMON BROTHERS HIGH INCOME FUND II INC.
| Schedule of Investments (unaudited) (continued) | July 31, 2005 |
| FACE AMOUNT |
SECURITY(a) |
VALUE | ||||
| Office Furnishings (continued) | ||||||
| $ | 2,145,000 | Tempur-Pedic Inc./Tempur Production USA Inc., Senior Subordinated Notes, 10.250% due 8/15/10 |
$ | 2,397,037 | ||
| Total Office Furnishings |
7,147,662 | |||||
| Office/Business Equipment - 0.1% | ||||||
| 1,750,000 | General Binding Corp., Senior Subordinated Notes, 9.375% due 6/1/08 |
1,776,250 | ||||
| Oil & Gas - 1.6% | ||||||
| 6,250,000 | Chesapeake Energy Corp., Senior Notes, 6.625% due 1/15/16 (b) |
6,484,375 | ||||
| 5,127,000 | Magnum Hunter Resources Inc., Senior Notes, 9.600% due 3/15/12 |
5,716,605 | ||||
| Pemex Project Funding Master Trust: |
||||||
| 3,100,000 | 6.125% due 8/15/08 |
3,185,250 | ||||
| 250,000 | 7.375% due 12/15/14 (c) |
276,875 | ||||
| 4,575,000 | Plains Exploration & Production Co., Senior Notes, 7.125% due 6/15/14 |
4,963,875 | ||||
| 2,000,000 | Pogo Producing Co., Senior Subordinated Notes, Series B, 8.250% due 4/15/11 |
2,125,000 | ||||
| 1,000,000 | Swift Energy Co., Senior Subordinated Notes, 9.375% due 5/1/12 |
1,095,000 | ||||
| Total Oil & Gas |
23,846,980 | |||||
| Oil & Gas Services - 0.2% | ||||||
| 3,175,000 | Hanover Compressor Co., Senior Notes, 9.000% due 6/1/14 |
3,476,625 | ||||
| Packaging & Containers - 2.3% | ||||||
| 4,050,000 | Anchor Glass Container Corp., Senior Secured Notes, 11.000% due 2/15/13 |
2,511,000 | ||||
| 3,250,000 | Berry Plastics Corp., Senior Subordinated Notes, 10.750% due 7/15/12 |
3,583,125 | ||||
| 4,575,000 | Graphic Packaging International Corp., Senior Subordinated Notes, 9.500% due 8/15/13 (c) |
4,712,250 | ||||
| 3,800,000 | Jefferson Smurfit Corp., Senior Notes, 8.250% due 10/1/12 (c) |
3,847,500 | ||||
| 7,000,000 | Plastipak Holdings Inc., Senior Notes, 10.750% due 9/1/11 (c) |
7,735,000 | ||||
| 2,000,000 | Pliant Corp., Senior Secured Second Lien Notes, 11.125% due 9/1/09 (c) |
1,940,000 | ||||
| 2,700,000 | Radnor Holdings Corp., Senior Notes, 11.000% due 3/15/10 (c) |
1,822,500 | ||||
| 4,950,000 | Smurfit-Stone Container Enterprises Inc., Senior Notes, 8.375% due 7/1/12 (c) |
5,061,375 | ||||
| 550,000 | Stone Container Finance Corp., Senior Notes, 7.375% due 7/15/14 (c) |
526,625 | ||||
| Tekni-Plex Inc.: |
||||||
| 1,525,000 | Senior Secured Notes, 8.750% due 11/15/13 (b)(c) |
1,372,500 | ||||
| 2,725,000 | Senior Subordinated Notes, Series B, 12.750% due 6/15/10 (c) |
2,016,500 | ||||
| Total Packaging & Containers |
35,128,375 | |||||
| Pharmaceuticals* - 0.4% | ||||||
| 3,975,000 | aaiPharma Inc., Senior Subordinated Notes, 11.000% due 4/1/10 (c)(f) |
3,706,687 | ||||
| 2,025,000 | Leiner Health Products Inc., Senior Subordinated Notes, 11.000% due 6/1/12 |
1,944,000 | ||||
| 565,000 | Valeant Pharmaceuticals International, Senior Notes, 7.000% due 12/15/11 |
563,588 | ||||
| Total Pharmaceuticals |
6,214,275 | |||||
| Pipelines - 2.9% | ||||||
| Dynegy Holdings Inc.: |
||||||
| Debentures: |
||||||
| 4,550,000 | 7.125% due 5/15/18 (c) |
4,436,250 | ||||
| 8,350,000 | 7.625% due 10/15/26 (c) |
8,183,000 | ||||
| 2,000,000 | Senior Secured Notes, 9.875% due 7/15/10 (b) |
2,220,000 | ||||
| El Paso Corp.: |
||||||
| Medium-Term Notes: |
||||||
| 5,425,000 | 7.800% due 8/1/31 (c) |
5,506,375 | ||||
| 6,325,000 | 7.750% due 1/15/32 (c) |
6,435,687 | ||||
| 5,200,000 | Notes, 7.875% due 6/15/12 (c) |
5,486,000 | ||||
| Williams Cos. Inc.: |
||||||
| Notes: |
||||||
See Notes to Schedule of Investments.
7
SALOMON BROTHERS HIGH INCOME FUND II INC.
| Schedule of Investments (unaudited) (continued) | July 31, 2005 |
| FACE AMOUNT |
SECURITY(a) |
VALUE | ||||
| Pipelines (continued) | ||||||
| $ | 3,650,000 | 7.875% due 9/1/21 |
$ | 4,243,125 | ||
| 3,225,000 | 8.750% due 3/15/32 |
4,007,063 | ||||
| 3,700,000 | Senior Notes, 7.625% due 7/15/19 (c) |
4,236,500 | ||||
| Total Pipelines |
44,754,000 | |||||
| Real Estate Investment Trust - 0.8% | ||||||
| Host Marriott LP, Senior Notes: |
||||||
| 2,500,000 | 7.125% due 11/1/13 (c) |
2,621,875 | ||||
| 1,625,000 | Series I, 9.500% due 1/15/07 |
1,724,531 | ||||
| 3,400,000 | Series O, 6.375% due 3/15/15 (c) |
3,383,000 | ||||
| 3,525,000 | MeriStar Hospitality Corp., Senior Notes, 9.125% due 1/15/11 (c) |
3,762,937 | ||||
| 825,000 | MeriStar Hospitality Operating Partnership LP/MeriStar Hospitality Finance Corp., Senior Notes, 10.500% due 6/15/09 (c) |
884,813 | ||||
| Total Real Estate Investment Trust |
12,377,156 | |||||
| Retail - 2.2% | ||||||
| 4,050,000 | Buffets Inc., Senior Subordinated Notes, 11.250% due 7/15/10 (c) |
4,110,750 | ||||
| 2,725,000 | Carrols Corp., Senior Subordinated Notes, 9.000% due 1/15/13 (b) |
2,840,813 | ||||
| 4,725,000 | Denny’s Holdings Inc., Senior Notes, 10.000% due 10/1/12 (c) |
5,079,375 | ||||
| 2,400,000 | Eye Care Centers of America Inc., Senior Subordinated Notes, 10.750% due 2/15/15 (b) |
2,292,000 | ||||
| 1,600,000 | Finlay Fine Jewelry Corp., Senior Notes, 8.375% due 6/1/12 (c) |
1,504,000 | ||||
| 3,325,000 | Hines Nurseries Inc., Senior Subordinated Notes, 10.250% due 10/1/11 |
3,491,250 | ||||
| 2,281,000 | Jafra Cosmetics International Inc./Distribuidora Comercial Jafra SA de CV, Senior Subordinated Notes, 10.750% due 5/15/11 |
2,566,125 | ||||
| 4,725,000 | Jean Coutu Group Inc., Senior Subordinated Notes, 8.500% due 8/1/14 (c) |
4,707,281 | ||||
| Rite Aid Corp., Notes: |
||||||
| 1,000,000 | 6.000% due 12/15/05 (b)(c) |
1,005,000 | ||||
| 310,000 | 7.125% due 1/15/07 |
313,100 | ||||
| 1,543,000 | Saks Inc., Notes, 9.875% due 10/1/11 (c) |
1,651,010 | ||||
| 2,825,000 | Sbarro Inc., Senior Notes, 11.000% due 9/15/09 (c) |
2,874,437 | ||||
| 1,425,000 | Toys “R” Us Inc., Senior Notes, 7.375% due 10/15/18 |
1,157,813 | ||||
| Total Retail |
33,592,954 | |||||
| Semiconductors - 0.3% | ||||||
| Amkor Technology Inc.: |
||||||
| 2,825,000 | Senior Notes, 9.250% due 2/15/08 (c) |
2,683,750 | ||||
| 2,300,000 | Senior Subordinated Notes, 10.500% due 5/1/09 (c) |
2,081,500 | ||||
| Total Semiconductors |
4,765,250 | |||||
| Telecommunications - 6.7% | ||||||
| American Tower Corp., Senior Notes: |
||||||
| 6,454,000 | 9.375% due 2/1/09 (c) |
6,825,105 | ||||
| 1,825,000 | 7.500% due 5/1/12 (c) |
1,943,625 | ||||
| 1,800,000 | American Tower Escrow Corp., Discount Notes, zero coupon bond to yield 8.825% due 8/1/08 |
1,390,500 | ||||
| 4,600,000 | AT&T Corp., Senior Notes, 9.750% due 11/15/31 |
5,980,000 | ||||
| 4,350,000 | Insight Midwest LP/Insight Capital Inc., Senior Notes, 10.500% due 11/1/10 (c) |
4,632,750 | ||||
| 1,375,000 | Intelsat Bermuda Ltd., Senior Notes, 8.695% due 1/15/12 (b)(d) |
1,409,375 | ||||
| 3,200,000 | Intelsat Ltd., Senior Discount Notes, step bond to yield 8.772% due 2/1/15 (b) |
2,216,000 | ||||
| 12,600,000 | Lucent Technologies Inc., Debentures, 6.450% due 3/15/29 |
11,403,000 | ||||
| 6,075,000 | MCI Inc., Senior Notes, 8.735% due 5/1/14 |
6,849,562 | ||||
| 14,050,000 | Nextel Communications Inc., Senior Serial Redeemable Notes, 7.375% due 8/1/15 |
15,209,125 | ||||
| 3,775,000 | Nortel Networks Ltd., Notes, 6.125% due 2/15/06 |
3,803,313 | ||||
| 1,430,000 | PanAmSat Corp., Senior Notes, 9.000% due 8/15/14 |
1,587,300 | ||||
See Notes to Schedule of Investments.
8
SALOMON BROTHERS HIGH INCOME FUND II INC.
| Schedule of Investments (unaudited) (continued) | July 31, 2005 |
| FACE AMOUNT |
SECURITY(a) |
VALUE | |||||
| Telecommunications (continued) | |||||||
| $ | 7,325,000 | Qwest Corp., Notes, 8.875% due 3/15/12 |
$ | 8,057,500 | |||
| Qwest Services Corp., Senior Secured Notes: |
|||||||
| 8,325,000 | 13.500% due 12/15/10 |
9,615,375 | |||||
| 2,071,000 | 14.000% due 12/15/14 (c) |
2,516,265 | |||||
| 4,175,000 | SBA Communications Corp., Senior Notes, 8.500% due 12/1/12 |
4,519,437 | |||||
| 850,000 | SpectraSite Inc., Senior Notes, 8.250% due 5/15/10 |
911,625 | |||||
| 3,900,000 | UbiquiTel Operating Co., Senior Notes, 9.875% due 3/1/11 |
4,372,875 | |||||
| 3,800,000 | U.S. Unwired Inc., Second Priority Secured Notes, Series B, 10.000% due 6/15/12 |
4,408,000 | |||||
| 4,175,000 | Western Wireless Corp., Senior Notes, 9.250% due 7/15/13 |
4,780,375 | |||||
| Total Telecommunications |
102,431,107 | ||||||
| Textiles - 0.3% | |||||||
| 3,275,000 | Collins & Aikman Floor Covering Inc., Senior Subordinated Notes, Series B, 9.750% due 2/15/10 |
3,430,563 | |||||
| 2,950,000 | Simmons Bedding Co., Senior Discount Notes, step bond to yield 13.327% due 12/15/14 (b) |
1,563,500 | |||||
| Total Textiles |
4,994,063 | ||||||
| Transportation - 0.1% | |||||||
| 1,675,000 | General Maritime Corp., Senior Notes, 10.000% due 3/15/13 |
1,838,313 | |||||
| 4,000,000 | Holt Group Inc., Senior Notes, 9.750% due 1/15/06 (e)(f)(g)* |
0 | |||||
| Total Transportation |
1,838,313 | ||||||
| TOTAL CORPORATE BONDS & NOTES (Cost - $848,205,240) |
866,029,308 | ||||||
| CONVERTIBLE BONDS & NOTES - 0.2% | |||||||
| Electronics - 0.0% | |||||||
| 568,000 | Sanmina-SCI Corp., Subordinated Debentures, zero coupon bond to yield 4.072% due 9/12/20 |
308,850 | |||||
| Telecommunications - 0.2% | |||||||
| 2,675,000 | American Tower Corp., Notes, 5.000% due 2/15/10 |
2,664,969 | |||||
| TOTAL CONVERTIBLE BONDS & NOTES (Cost - $1,682,408) |
2,973,819 | ||||||
| ASSET-BACKED SECURITY - 0.0% | |||||||
| Diversified Financial Services - 0.0% | |||||||
| 1,975,400 | Airplanes Pass-Through Trust, Series 1, Class D, 10.875% due 3/15/12 (e)(f)(g)* (Cost - $2,055,768) |
0 | |||||
| FACE AMOUNT† |
|||||||
| SOVEREIGN BONDS - 22.8% | |||||||
| Argentina - 0.9% | |||||||
| Republic of Argentina: |
|||||||
| 17,161,368 | ARS | 5.830% due 12/31/33 |
7,020,816 | ||||
| 6,375,000 | Discount Bonds, 3.010% due 8/3/12 (f) |
5,769,375 | |||||
| Total Argentina |
12,790,191 | ||||||
| Brazil - 5.3% | |||||||
| Federative Republic of Brazil: |
|||||||
| 5,555,000 | 10.125% due 5/15/27 |
6,332,700 | |||||
| 12,365,000 | 12.250% due 3/6/30 |
16,167,237 | |||||
| 9,340,000 | 11.000% due 8/17/40 |
10,979,170 | |||||
| 17,927,498 | C Bonds, 8.000% due 4/15/14 |
18,190,584 | |||||
| Collective Action Securities: |
|||||||
| 3,000,000 | 10.500% due 7/14/14 |
3,488,250 | |||||
| 3,200,000 | 8.000% due 1/15/18 |
3,260,800 | |||||
See Notes to Schedule of Investments.
9
SALOMON BROTHERS HIGH INCOME FUND II INC.
| Schedule of Investments (unaudited) (continued) | July 31, 2005 |
| FACE AMOUNT† |
SECURITY(a) |
VALUE | |||
| Brazil (continued) | |||||
| 19,336,719 | DCB, Series L, 4.313% due 4/15/12 (d) |
$ | 18,726,404 | ||
| FLIRB, Series L: |
|||||
| 584,615 | Bearer, 4.250% due 4/15/09 (d) |
573,654 | |||
| 1,661,539 | Registered, 4.250% due 4/15/09 (d) |
1,630,385 | |||
| 1,270,674 | NMB, Series L, 4.313% due 4/15/09 (d) |
1,261,144 | |||
| Total Brazil |
80,610,328 | ||||
| Bulgaria - 0.2% | |||||
| 2,625,000 | Republic of Bulgaria, 8.250% due 1/15/15 (b) |
3,255,000 | |||
| Chile - 0.3% | |||||
| 4,825,000 | Republic of Chile, 5.500% due 1/15/13 |
5,046,006 | |||
| Colombia - 1.2% | |||||
| Republic of Colombia: |
|||||
| 4,425,000 | 10.000% due 1/23/12 |
5,088,750 | |||
| 2,500,000 | 10.750% due 1/15/13 |
2,968,750 | |||
| 1,955,000 | 10.375% due 1/28/33 |
2,306,900 | |||
| 6,025,000 | Medium-Term Notes, 11.750% due 2/25/20 |
7,847,562 | |||
| Total Colombia |
18,211,962 | ||||
| Ecuador - 0.3% | |||||
| Republic of Ecuador: |
|||||
| 715,000 | 12.000% due 11/15/12 (b) |
704,275 | |||
| 3,605,000 | Step bond to yield 11.534% due 8/15/30 (b) |
3,118,325 | |||
| Total Ecuador |
3,822,600 | ||||
| El Salvador - 0.3% | |||||
| 3,165,000 | Republic of El Salvador, 7.750% due 1/24/23 (b) |
3,568,538 | |||
| Mexico - 5.2% | |||||
| United Mexican States: |
|||||
| 5,200,000 | 11.375% due 9/15/16 |
7,631,000 | |||
| 1,650,000 | 8.125% due 12/30/19 |
1,994,850 | |||
| Medium-Term Notes: |
|||||
| 3,450,000 | 8.300% due 8/15/31 |
4,269,375 | |||
| Series A: |
|||||
| 1,075,000 | 6.375% due 1/16/13 |
1,139,231 | |||
| 12,819,000 | 5.875% due 1/15/14 |
13,171,523 | |||
| 33,510,000 | 6.625% due 3/3/15 |
36,274,575 | |||
| 9,850,000 | 8.000% due 9/24/22 |
11,884,025 | |||
| 2,090,000 | 7.500% due 4/8/33 |
2,401,410 | |||
| Total Mexico |
78,765,989 | ||||
| Panama - 0.8% | |||||
| Republic of Panama: |
|||||
| 1,835,000 | 9.625% due 2/8/11 |
2,202,000 | |||
| 1,675,000 | 7.250% due 3/15/15 |
1,822,400 | |||
| 5,545,000 | 9.375% due 1/16/23 |
6,903,525 | |||
| 1,689,509 | PDI, 4.688% due 7/17/16 (d) |
1,638,824 | |||
| Total Panama | 12,566,749 | ||||
| Peru - 1.0% | |||||
| Republic of Peru: |
|||||
| 4,725,000 | 8.750% due 11/21/33 |
5,386,500 | |||
| FLIRB: |
|||||
| 10,459,350 | 5.000% due 3/7/17 (d) |
9,988,679 | |||
See Notes to Schedule of Investments.
10
SALOMON BROTHERS HIGH INCOME FUND II INC.
| Schedule of Investments (unaudited) (continued) | July 31, 2005 |
| FACE AMOUNT† |
SECURITY(a) |
VALUE | |||
| Peru (continued) | |||||
| 173,250 | 5.000% due 3/7/17 (b)(d) |
$ | 165,454 | ||
| Total Peru | 15,540,633 | ||||
| Philippines - 1.1% | |||||
| Republic of the Philippines: |
|||||
| 1,675,000 | 8.250% due 1/15/14 |
1,691,750 | |||
| 1,900,000 | 9.375% due 1/18/17 |
2,033,000 | |||
| 4,975,000 | 9.875% due 1/15/19 |
5,360,563 | |||
| 5,025,000 | 10.625% due 3/16/25 |
5,575,991 | |||
| 1,975,000 | 9.500% due 2/2/30 |
1,992,874 | |||
| Total Philippines | 16,654,178 | ||||
| Russia - 3.2% | |||||
| 225,000 | Aries Vermogensverwaltungs GmbH, Russian Federation Credit-Linked Notes, Series C, 9.600% due 10/25/14 (b)(c) |
290,025 | |||
| Russian Federation: |
|||||
| 275,000 | 12.750% due 6/24/28 (b) |
496,031 | |||
| 43,185,000 | Step bond to yield 5.683% due 3/31/30 (b) |
47,935,350 | |||
| Total Russia | 48,721,406 | ||||
| South Africa - 0.4% | |||||
| Republic of South Africa: |
|||||
| 575,000 | 9.125% due 5/19/09 |
658,950 | |||
| 5,000,000 | 6.500% due 6/2/14 |
5,437,500 | |||
| Total South Africa | 6,096,450 | ||||
| Turkey - 1.2% | |||||
| Republic of Turkey: |
|||||
| 500,000 | 11.750% due 6/15/10 |
620,625 | |||
| 10,225,000 | 11.500% due 1/23/12 |
13,049,656 | |||
| 3,225,000 | 11.875% due 1/15/30 |
4,598,044 | |||
| Total Turkey | 18,268,325 | ||||
| Ukraine - 0.3% | |||||
| Republic of Ukraine: |
|||||
| 2,417,441 | 11.000% due 3/15/07 (b) |
2,544,357 | |||
| 2,150,000 | 7.650% due 6/11/13 (b) |
2,367,687 | |||
| Total Ukraine | 4,912,044 | ||||
| Uruguay - 0.2% | |||||
| 3,550,000 | Republic of Uruguay, Benchmark Bonds, 7.500% due 3/15/15 |
3,514,500 | |||
| Venezuela - 0.9% | |||||
| Bolivarian Republic of Venezuela: |
|||||
| 1,175,000 | 5.375% due 8/7/10 (b) |
1,103,619 | |||
| 3,050,000 | 8.500% due 10/8/14 |
3,164,375 | |||
| 8,200,000 | Collective Action Securities, 10.750% due 9/19/13 |
9,532,500 | |||
| 425,000 | Par Bonds, Series A, 6.750% due 3/31/20 |
427,125 | |||
| Total Venezuela | 14,227,619 | ||||
| TOTAL SOVEREIGN BONDS (Cost - $325,260,232) |
346,572,518 | ||||
| SHARES |
|||||
| ESCROWED SHARES - 0.0%(g) | |||||
| 8,800,000 | Breed Technologies Inc. (e)(f)* |
0 | |||
| 5,500,000 | Imperial Holly Co.* |
0 | |||
| 2,025,000 | Pillowtex Corp.* |
0 | |||
See Notes to Schedule of Investments.
11
SALOMON BROTHERS HIGH INCOME FUND II INC.
| Schedule of Investments (unaudited) (continued) | July 31, 2005 |
| SHARES |
SECURITY(a) |
VALUE | ||||
| ESCROWED SHARES (g) (continued) | ||||||
| $ | 2,648,056 | Vlasic Foods International Inc. (e)(f)* (Cost - $0) |
$ | 95,860 | ||
| FACE AMOUNT |
||||||
| LOAN PARTICIPATION (d)(h) - 0.1% | ||||||
| Morocco - 0.1% | ||||||
| 977,861 | Kingdom of Morocco, Tranche A, 3.803% due 1/2/09 (CS First Boston Inc.) (Cost - $967,609) |
970,527 | ||||
| SHARES |
||||||
| COMMON STOCK - 3.6% | ||||||
| CONSUMER DISCRETIONARY - 1.4% | ||||||
| Household Durables - 0.0% | ||||||
| 52,472 | Mattress Discounters Corp. (e)(g)* |
0 | ||||
| Media - 1.4% | ||||||
| 141,843 | Liberty Global Inc., Class A Shares* |
6,729,010 | ||||
| 229,356 | NTL Inc. (c)* |
15,281,990 | ||||
| 22,011,000 | ||||||
| TOTAL CONSUMER DISCRETIONARY | 22,011,000 | |||||
| MATERIALS - 0.1% | ||||||
| Chemicals - 0.1% | ||||||
| 93,506 | Applied Extrusion Technologies Inc., Class A Shares (c)* |
1,425,967 | ||||
| TELECOMMUNICATION SERVICES - 2.1% | ||||||
| Diversified Telecommunication Services - 0.6% | ||||||
| 375,814 | Telewest Global Inc.* |
8,395,685 | ||||
| Wireless Telecommunication Services - 1.5% | ||||||
| 283,656 | SpectraSite Inc.* |
23,174,695 | ||||
| TOTAL TELECOMMUNICATION SERVICES | 31,570,380 | |||||
| TOTAL COMMON STOCK | ||||||
| (Cost - $48,855,900) |
55,007,347 | |||||
| PREFERRED STOCK (e)(g) - 0.0% | ||||||
| FINANCIALS - 0.0% | ||||||
| Diversified Financial Services - 0.0% | ||||||
| 17,552 | TCR Holdings Corp., Class B Shares* |
17 | ||||
| 9,654 | TCR Holdings Corp., Class C Shares* |
10 | ||||
| 25,451 | TCR Holdings Corp., Class D Shares* |
25 | ||||
| 52,657 | TCR Holdings Corp., Class E Shares* |
53 | ||||
| TOTAL PREFERRED STOCK (Cost - $6,260) | 105 | |||||
| CONVERTIBLE PREFERRED STOCK - 0.5% | ||||||
| TELECOMMUNICATION SERVICES - 0.5% | ||||||
| Wireless Telecommunication Services - 0.5% | ||||||
| 6,845 | Alamosa Holdings Inc., 7.500%, Cumulative Convertible, Series B (c) |
|||||
| (Cost - $2,104,638) |
8,117,314 | |||||
| WARRANT |
||||||
| WARRANTS - 0.1% | ||||||
| 1,800 | American Tower Corp., expires 8/1/08(b)* |
580,386 | ||||
| 18,500 | Bolivarian Republic of Venezuela, Oil-linked payment obligations, expires 4/15/20* |
444,000 | ||||
| 3,500 | Brown Jordan International Inc., expires 8/15/07(b)(e)* |
31 | ||||
See Notes to Schedule of Investments.
12
SALOMON BROTHERS HIGH INCOME FUND II INC.
| Schedule of Investments (unaudited) (continued) | July 31, 2005 |
| WARRANT |
SECURITY(a) |
VALUE | ||||
| WARRANTS (continued) | ||||||
| 30,928,049 | ContiFinancial Corp., Liquidating Trust, Units of Interest (Represents interest in a trust in the liquidation of ContiFinancial Corp. and its affiliates) (e)* |
$ | 38,660 | |||
| 2,750 | Leap Wireless International Inc., expires 4/15/10(b)(e)(g)* |
0 | ||||
| 3,500 | Mattress Discounters Co., expires 7/15/07(b)(e)(g)* |
0 | ||||
| 2,000 | Mueller Holdings Inc., expires 4/15/14(b)* |
720,500 | ||||
| 13,614 | Pillowtex Corp., expires 11/24/09(e)(g)* |
14 | ||||
| 5,000 | UbiquiTel Inc., expires 4/15/10(b)(e)(g)* |
50 | ||||
| TOTAL WARRANTS (Cost - $728,219) |
1,783,641 | |||||
| TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost - $1,229,866,274) |
1,281,550,439 | |||||
| FACE AMOUNT |
||||||
| SHORT-TERM INVESTMENTS - 15.9% | ||||||
| Repurchase Agreement - 0.7% | ||||||
| $ | 10,669,000 | Interest in $675,460,000 joint tri-party repurchase agreement dated 7/29/05 with Goldman Sachs & Co., 3.300% due 8/1/05, Proceeds at maturity - $10,671,934; (Fully collateralized by various U.S. Treasury Obligations, 0.000% to 12.000% due 8/15/05 to 4/15/32; Market value - $10,882,403) (Cost - $10,669,000) |
10,669,000 | |||
| SHARES |
||||||
| Securities Purchased from Securities Lending Collateral - 15.2% | ||||||
| 231,654,999 | State Street Navigator Securities Lending Trust Prime Portfolio (Cost - $231,654,999) |
231,654,999 | ||||
| TOTAL SHORT-TERM INVESTMENTS (Cost - $242,323,999) |
242,323,999 | |||||
| TOTAL INVESTMENTS - 100.0% (Cost - $1,472,190,273#) |
$ | 1,523,874,438 | ||||
| * | Non-income producing security. |
| † | Face amount denominated in U.S. dollars, unless otherwise indicated. |
| (a) | All securities (except those on loan) are segregated as collateral pursuant to a loan agreement, futures contracts, reverse repurchase agreements, swap agreements and/or extended settlements. |
| (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) | All or a portion of this security is on loan. |
| (d) | Variable rate securities. Coupon rates disclosed are those which are in effect at July 31, 2005. Maturity date shown is the date of the next coupon rate reset or actual maturity. |
| (e) | Illiquid security. |
| (f) | Security is currently in default. |
| (g) | Security is valued in good faith at fair value by or under the direction of the Board of Directors. |
| (h) | Participation interest was acquired through the financial institutions indicated parenthetically. |
| # | Aggregate cost for federal income tax purposes is substantially the same. |
| Abbreviations used in this schedule: | ||
| ARS | — Argentine Peso | |
| C Bond | — Capitalization Bond | |
| DCB | — Debt Conversion Bond | |
| FLIRB | — Front-Loaded Interest Reduction Bonds | |
| NMB | — New Money Bond | |
| PDI | — Past Due Interest | |
See Notes to Schedule of Investments.
13
Notes to Schedule of Investments (unaudited)
1. Organization and Significant Accounting Policies
The Salomon Brothers High Income Fund II Inc. (the “Fund”) was incorporated in Maryland and is registered as a diversified, closed-end management investment company under the Investment Company Act of 1940, as amended. The Fund seeks to maximize current income by investing at least 80% of its net assets plus any borrowings for investment purposes in high yield debt securities (as defined in the Fund’s prospectus). As a secondary objective, the Fund seeks capital appreciation to the extent consistent with its objective of seeking to maximize current income.
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 price 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 relationship between securities. Equity securities for which market quotations are available are valued at the last sale price or official closing price on the primary market or exchange on which they trade. Publicly traded foreign government debt securities are typically traded internationally in the over-the-counter market, and are valued at the mean between the bid and asked price as of the close of business of that market. However, when the spread between the bid and asked price exceeds five percent of the par value of the security, the security is valued at the bid price. 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 takes 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 Fund’s custodian delivers liquid assets to the counterparty in an amount at least equal to the repurchase price marked-to-market daily (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 by the Fund.
(d) Lending of Portfolio Securities. The Fund has an agreement with its custodian whereby the custodian may lend securities owned by the Fund to brokers, dealers and other financial organizations. In exchange for lending securities under the terms of the agreement with its custodian, the Fund receives a lender’s fee. Fees earned by the Fund on securities lending are recorded as securities lending income. Loans of securities by the Fund are collateralized by cash, U.S. government securities or high quality money market instruments that are maintained at all times in an amount at least equal to the current market value of the loaned securities, plus a margin which varies depending on the type of securities loaned. The custodian establishes and maintains the collateral in a segregated account. The Fund has the right under the lending agreement to recover the securities from the borrower on demand.
The Fund maintains the risk of any loss on the securities on loan as well as the potential loss on investments purchased with cash collateral received from securities lending.
(e) Loan Participations. The Fund may invest in loans arranged through private negotiation between one or more financial institutions. The Fund’s investment in any such loan may be in the form of a participation in or an assignment 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.
14
Notes to Schedule of Investments (unaudited) (continued)
The Fund will assume the credit risk of both the borrower and the lender that is selling the participation and any other persons interpositioned between the Fund and borrower. In the event of the insolvency of the lender selling the participation, the Fund may be treated as a general creditor of the lender and may not benefit from any set-off between the lender and the borrower.
(f) Credit Default Swaps. The Fund enters into credit default swap contracts (“swaps”) for investment purposes, to manage its credit risk or to add leverage. As a seller in a credit default swap contract, the Fund is required to pay the notional or other agreed-upon value to the counterparty in the event of a default by a third party, such as a U.S. or foreign corporate issuer, on the referenced debt obligation. In return, the Fund receives from the counterparty a periodic stream of payments over the term of the contract provided that no event of default has occurred. If no default occurs, the Fund keeps the stream of payments and has no payment obligations. Such periodic payments are accrued daily and accounted for as realized gain.
The Fund may also purchase credit default swap contracts in order to hedge against the risk of default of debt securities held, in which case the Fund functions as the counterparty referenced in the preceding paragraph. As a purchaser of a credit default swap contract, the Fund receives the notional or other agreed upon value from the counterparty in the event of a default by a third party, such as a U.S. or foreign corporate issuer on the referenced debt obligation. In return, the Fund makes periodic payments to the counterparty over the term of the contract provided no event of default has occurred. Such periodic payments are accrued daily and accounted for as realized loss.
Swaps are mark to market daily based upon quotations from market makers. For a credit default swap sold by the Fund, payment of the agreed upon amount made by the Fund in the event of default of the referenced debt obligation is recorded as the cost of the referenced debt obligation purchased/received. For a credit default swap purchased by the Fund, the agreed upon amount received by the Fund in the event of default of the referenced debt obligation is recorded as proceeds from sale/delivery of the referenced debt obligation and the resulting gain or loss realized on the referenced debt obligation is recorded as such by the Fund.
Entering into Credit Default Swaps involves, to varying degrees, elements of credit, market and documentation risk. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there will be unfavorable changes in net interest rates.
(g) Credit and Market Risk. The Fund invests in high yield and emerging market instruments that are subject to certain credit and market risks. The yields of high yield and emerging market debt obligations reflect, among other things, perceived credit and market 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.
(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) Security Transactions. Security transactions are accounted for on a trade date basis.
2. Investments
At July 31, 2005, the aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes were substantially as follows:
| Gross unrealized appreciation |
$ | 104,811,414 | ||
| Gross unrealized depreciation |
(53,127,249 | ) | ||
| Net unrealized appreciation |
$ | 51,684,165 | ||
15
Notes to Schedule of Investments (unaudited) (continued)
At July 31, 2005, the Fund had the following open reverse repurchase agreements:
| FACE AMOUNT |
SECURITY |
VALUE | ||||
| $ | 12,846,000 | Reverse Repurchase Agreement with JPMorgan Chase & Co., dated 7/5/05 bearing 3.000% to be repurchased at $13,236,733 on 7/5/06, collateralized by: $12,000,000 United Mexican States, Medium-Term Notes, Series A, 5.875% due 1/15/14; Market value (including accrued interest) - $12,362,568 |
$ | 12,846,000 | ||
| 11,800,000 | Reverse Repurchase Agreement with UBS Financial Services Inc., dated 7/5/05 bearing 3.350% to be repurchased at $12,200,790 on 7/5/06, collateralized by: $10,000,000 Federative Republic of Brazil, 12.250% due 3/6/30; Market value (including accrued interest) - $13,567,663 |
11,800,000 | ||||
| 20,070,000 | Reverse Repurchase Agreement with JPMorgan Chase & Co., dated 7/18/05 bearing 1.750% to be repurchased at $20,426,103 on 7/18/06, collateralized by: $18,000,000 United Mexican States, Medium-Term Notes, Series A, 6.625% due 3/3/15; Market value (including accrued interest) - $19,974,314 |
20,070,000 | ||||
| 15,610,000 | Reverse Repurchase Agreement with JPMorgan Chase & Co., dated 7/18/05 bearing 1.750% to be repurchased at $15,886,969 on 7/18/06, collateralized by: $14,000,000 United Mexican States, Medium-Term Notes, Series A, 6.625% due 3/3/15; Market value (including accrued interest) - $15,535,577 |
15,610,000 | ||||
| 35,318,500 | Reverse Repurchase Agreement with CS First Boston Corp., dated 7/27/05 bearing 3.400% to be repurchased at $36,536,007 on 7/27/06, collateralized by: $35,000,000 Russian Federation, 5.000% due 3/31/30; Market value (including accrued interest) - $39,439,981 |
35,318,500 | ||||
| Total Reverse Repurchase Agreements (Cost - $95,644,500) |
$ | 95,644,500 | ||||
At July 31, 2005, the Fund loaned securities having a market value of $227,216,236. The Fund received cash collateral amounting to $231,654,999 which was invested into the State Street Navigator Securities Lending Trust Prime Portfolio, a Rule 2a-7 money market fund registered, under the 1940 Act.
At July 31, 2005, the Fund held one loan participation with a total cost of $967,609 and a total market value of $970,527.
At July 31, 2005, the Fund held the following credit default swap contract:
| Swap Counterparty: | Morgan Stanley & Co. International Ltd. | |
| Effective Date: | 3/16/05 | |
| Reference Entity: | Federative Republic of Brazil 12.250% due 3/6/30 | |
| Notional Amount: | $16,000,000 Fixed Rate 3.600% | |
| Termination Date: | 3/20/10 | |
| Unrealized Appreciation |
$313,437 | |
3. Loan
At July 31, 2005, the Fund had a $300,000,000 loan pursuant to a revolving credit and security agreement with Crown Point Capital Company, LLC and Citicorp North America, Inc. (“CNA”), an affiliate of SBAM. In addition, CNA acts as administrative agent of the credit facility. The loan generally bears interest at a variable rate based on the weighted average interest rates of the commercial paper or LIBOR plus any applicable margin. Securities held by the Fund are subject to a lien, granted to the lenders, to the extent of the borrowings outstanding and any additional expenses.
In the course of discussions with the Securities and Exchange Commission regarding modifying the exemptive relief that CNA and the Fund rely upon for this type of financing, interpretive issues arose with respect to the existing relief. The Fund cannot predict the outcome of these discussions. If the Fund is required to seek alternate financing sources, it’s cost of borrowing may increase.
16
| 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 High Income Fund II Inc. | ||
| By | /s/ R. JAY GERKEN | |
| R. Jay Gerken | ||
| Chief Executive Officer | ||
| Date |
September 28, 2005 | |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| By |
/s/ R. JAY GERKEN | |
| R. Jay Gerken | ||
| Chief Executive Officer | ||
| Date |
September 28, 2005 | |
| By |
/s/ FRANCES M. GUGGINO | |
| Frances M. Guggino | ||
| Chief Financial Officer | ||
| Date |
September 28, 2005 | |