N-Q 1 c37352_nq.htm

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 811-06087

Salomon Brothers Series Funds 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.
Salomon Brothers Asset Management Inc.
300 First Stamford Place
Stamford, CT 06902
(Name and address of agent for service)

Registrant's telephone number, including area code: 1-800-451-2010

Date of fiscal year end: December 31
Date of reporting period: March 31, 2005

SALOMON BROTHERS INVESTMENT SERIES

CASH MANAGEMENT FUND
NEW YORK MUNICIPAL MONEY MARKET FUND

 

FORM N-Q
MARCH 31, 2005

ITEM 1.      SCHEDULES OF INVESTMENTS

SALOMON BROTHERS CASH MANAGEMENT FUND

Schedules of Investments (unaudited) 
 
March 31, 2005 

FACE         
AMOUNT   
SECURITY 
VALUE 
 
BANK NOTE - 1.3% 
   
$      500,000    Bank of America Corp., 2.91% due 8/3/05  $ 500,000   
CERTIFICATE OF DEPOSIT - 22.4%     
500,000    Barclay's Bank Plc, 2.62% due 4/20/05  500,000   
500,000    Depfa Bank Plc, 2.90% due 8/2/05  500,000   
500,000    Dexia Credit Local S.A., 2.67% due 5/2/05  500,000   
500,000    Fortis Bank, 2.86% due 6/2/05  500,000   
500,000    HSBC Bank U.S.A., 2.71% due 5/9/05  500,005   
500,000    Lloyds TSB Bank Plc, 2.625% due 4/21/05  499,996   
500,000    Nordea Bank Finland Plc, 2.63% due 5/11/05  500,000   
1,000,000    Royal Bank of Scotland Plc, 2.79% due 5/3/05  1,000,009   
1,000,000    Societe Generale, 2.80% due 5/3/05  1,000,000   
1,000,000    Toronto Dominion Bank, 2.80% due 4/29/05  1,000,000   
500,000    UBS AG, 2.65% due 4/18/05  500,000   
500,000    Unicredito Italiano, 2.62% due 4/18/05  499,994   
1,000,000    Wells Fargo Bank, N.A., 2.78% due 4/4/05  999,999   
    TOTAL CERTIFICATE OF DEPOSIT  8,500,003   
COMMERCIAL PAPER - 57.9%     
500,000    Aquinas Funding LLC, Credit Enhanced by Rabobank, 2.88% due 8/3/05 (a)  495,040   
500,000    Barton Capital LLC, Credit Enhanced by Societe Generale, 2.89% due 8/1/05 (a)  495,103   
1,000,000    Bryant Park Funding LLC, Credit Enhanced by HSBC Bank U.S.A., 2.81% due 4/25/05 (a)  998,127   
500,000    Cancara Asset Securitization Ltd., Credit Enhanced by Lloyds TSB Bank Plc, 2.69% due 4/4/05 (a)  499,888   
1,000,000    Chariot Funding LLC, Credit Enhanced by JPMorgan Chase Bank, 2.80% due 4/25/05 (a)  998,133   
    Chesham Finance LLC, Credit Enhanced by BSN Holdings (a):     
500,000       2.74% due 4/8/05  499,734   
514,000       2.81% due 4/7/05  513,759   
1,000,000    Compass Securitization, Credit Enhanced by Westdeutsche Landesbank, 2.80% due 4/18/05 (a)  998,678   
500,000    Concord Minutemen Capital Co. LLC, Credit Enhanced by Liberty Hampshire, 2.55% due 4/6/05 (a)  499,823   
500,000    Crown Point Capital Co. LLC, Credit Enhanced by Liberty Hampshire, 2.88% due 6/8/05 (a)  497,280   
1,000,000    Ebury Finance Ltd., 2.82% due 4/18/05 (a)  998,668   
500,000    Edison Asset Securitization LLC, Credit Enhanced by GE Capital Corp., 2.88% due 6/7/05 (a)  497,320   
1,000,000    Fenway Funding LLC, 2.85% due 4/29/05 (a)  997,783   
500,000    Ford Credit Floorplan Master Owner Trust A (Motown Notes), Series 2002-1, 2.88% due 6/1/05 (a)  497,560   
1,000,000    Fountain Square Commercial Funding Corp., Credit Enhanced by Fifth Third Bank,     
     2.87% due 5/17/05 (a)  996,333   
1,000,000    Georgetown Funding Co., LLC, 2.85% due 5/5/05 (a)  997,308   
500,000    Lake Constance Funding LLC, Credit Enhanced by Landesbank Baden-Wurttemberg,     
     2.70% due 4/8/05 (a)  499,738   
1,000,000    Landale Funding LLC, Credit Enhanced by HBOS, 2.80% due 4/15/05 (a)  998,911   
500,000    Main Street Warehouse Funding Trust, Credit Enhanced by Ameriquest, 2.74% due 4/6/05 (a)  499,810   
500,000    Monument Gardens Funding LLC, Credit Enhanced by Rabobank, 2.66% due 4/25/05 (a)  499,113   
500,000    Nieuw Amsterdam Receivables Corp., Credit Enhanced by Rabobank, 2.64% due 4/4/05 (a)  499,890   
1,000,000    Paradigm Funding LLC, Credit Enhanced by Westdeutsche Landesbank, 2.80% due 4/18/05 (a)  998,678   
500,000    Park Granada LLC, Credit Enhanced by Countrywide, 2.70% due 4/8/05 (a)  499,737   
1,000,000    Park Sienna LLC, Credit Enhanced by Countrywide, 2.84% due 4/5/05 (a)  999,684   
500,000    Perry Global Funding LLC, Credit Enhanced by Bank of America N.A., 2.65% due 4/14/05 (a)  499,522   
1,000,000    Regency Markets No. 1 LLC, Credit Enhanced by HSBC Bank U.S.A., 2.80% due 4/18/05 (a)  998,678   
1,000,000    Scaldis Capital LLC, Credit Enhanced by Fortis Bank, 3.17% due 9/9/05 (a)  985,823   
500,000    Solitaire Funding LLC, Credit Enhanced by HSBC Bank U.S.A., 2.63% due 4/12/05 (a)  499,598   
500,000    Surrey Funding Corp., Credit Enhanced by Barclay's Bank Plc, 2.88% due 6/8/05 (a)  497,280   
500,000    Tasman Funding Inc., Credit Enhanced by ABN Amro, 2.745% due 4/11/05 (a)  499,619   
1,000,000    Tulip Funding Corp., Credit Enhanced by ABN Amro, 2.83% due 4/29/05 (a)  997,799   
    TOTAL COMMERCIAL PAPER  21,954,417   
DISCOUNT NOTES - 1.3%     
500,000    Federal National Mortgage Association, 3.56% due 3/17/06  482,694   
MEDIUM TERM NOTES - 5.3%     
1,000,000    Credit Suisse First Boston, 2.83% due 4/20/05 (b)  1,000,000   
1,000,000    Stanfield Victoria Finance Ltd., 2.81% due 4/25/05 (a)(b)  999,800   
    TOTAL MEDIUM TERM NOTES  1,999,800   
MUNICIPAL NOTES - 1.1%     
420,000    District of Columbia University Revenue, VRDO, Credit Enhanced by First Union National Bank,     
     2.91% due 4/7/05 (c)  420,000   

See Notes to Schedules of Investments.

1

SALOMON BROTHERS CASH MANAGEMENT FUND

Schedules of Investments (unaudited) (continued) 
 
March 31, 2005 

FACE         
AMOUNT   
SECURITY 
VALUE 
 
REPURCHASE AGREEMENT - 10.9%   
$4,117,000    Interest in $954,517,000 joint tri-party repurchase agreement dated 3/31/05 with   
       UBS Securities LLC, 2.840% due 4/1/05; Proceeds at maturity - $4,117,325; (Fully   
       collateralized by various U.S. government agency obligations, 0.000% to 8.875%   
       due 4/19/05 to 11/15/30; Market value - $4,199,340)  $ 4,117,000  
    TOTAL INVESTMENTS - 100.2%   
    (Cost - $37,973,914*)  37,973,914  
    Liabilities in Excess of Other Assets - (0.2)%  (82,833 ) 
    TOTAL NET ASSETS - 100.0%  $ 37,891,081  

(a)  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.
 
(b)  Rate shown reflects rate in effect at March 31, 2005 on instrument with variable coupon rates.
 
(c)  For VRDO's, maturity date shown is the date of next interest rate change.
   
*      Aggregate cost for Federal income tax purposes is substantially the same.
   
  Abbreviations used in this schedule:
  VRDO - Variable Rate Demand Obligation
 

See Notes to Schedules of Investments.

2

SALOMON BROTHERS NEW YORK MUNICIPAL MONEY MARKET FUND

Schedules of Investments (unaudited) (continued) 
 
March 31, 2005 

FACE         
AMOUNT   
SECURITY 
VALUE 
 
BOND, REVENUE, TAX, TAX & REVENUE ANTICIPATION NOTES - 21.3%     
$2,195,000    New York State, Dormitory Authority Revenue, Personal Income Tax Revenue State Facilities & Equipment, Series A,
   4.00% due 3/15/06 
$
2,227,872   
2,000,000    New York State Thruway Authority General Revenue - Series A, BAN's, 2.25% due 10/6/05  2,005,892   
2,000,000    Oneida County, NY, BAN's, 2.00% due 4/27/05  2,001,254   
3,000,000    Sachem Century School District Holbrook NY, Credit Enhanced by State Aid withholdings, TANs, 2.75% due 6/23/05  3,008,263   
5,000,000    William Floyd University Free School District Mastics - Moriches - Shirley, BAN's, 3.00% due 6/27/05  5,015,231   
    TOTAL BONDS, REVENUE, TAX, TAX & REVENUE ANTICIPATION NOTES  14,258,512   
VARIABLE RATE DEMAND NOTES (a) - 78.2%     
1,850,000    Auburn, NY IDA Goulds Pumps Inc. Project, AMT, 2.38% due 4/6/05  1,850,000   
505,000    Colonie, NY HDC Colonie Terrence Apartments Project, Credit Enhanced by Keybank of New York, 2.22% due 4/6/05  505,000   
250,000    Dutchess County, NY IDA Adam Fairacre Farms, AMT, Credit Enhanced by HSBC Bank USA, 2.30% due 4/7/05  250,000   
1,400,000    Long Island Power Authority NY Electric System Subseries 7-A, Credit Enhanced by MBIA, 2.20% due 4/6/05  1,400,000   
3,500,000    Metropolitan Transit Authority, NY Series G-2, Insured by AMBAC, 2.24% due 4/7/05  3,500,000   
    Monroe County, NY IDA:     
650,000       Axelrod Realty, Credit Enhanced by JPMorgan Chase Bank, AMT, 2.30% due 6/1/05  650,000   
2,405,000       BenMar Manufacturing Facility, Credit Enhanced by Chappy Realty, Ltd., AMT, 2.42% due 4/7/05  2,405,000   
405,000       Mercury Printing, AMT, 2.47% due 4/7/05  405,000   
1,600,000    Nassau Health Care Corp., Sub Series C2, Credit Enhanced by FSA County Guaranteed, 2.20% due 4/7/05  1,600,000   
    New York, NY:     
2,400,000       Series F-6, Credit Enhanced by Morgan Guarantee Trust, 2.23% due 4/6/05  2,400,000   
400,000       Sub-Series B-3, Credit Enhanced by JPMorgan Chase Bank, 2.25% due 4/1/05  400,000   
    New York City, NY HDC:     
1,500,000       Monterey Multi-Family Revenue, Series A, Insured by FNMA Collateralized, 2.23% due 4/6/05  1,500,000   
2,550,000       Multi-Family Revenue First Avenue Development, Series A, AMT, Insured by FNMA Collateralized, 2.27% due 4/6/05  2,550,000   
1,300,000       Multi-Family Revenue One Columbus Place Development, Series A, AMT, Insured by FNMA Collateralized, 2.28% due 4/6/05  1,300,000   
800,000       Parkgate Development, Series A, Insured by FNMA Collateralized, 2.20% due 4/6/05  800,000   
1,300,000    New York City, NY IDA Children's Oncology Society, Credit Enhanced by Bank of New York, 2.28% due 4/6/05  1,300,000   
1,655,000    New York City, NY Transitional Finance Authority, N.Y.C. Recovery, Sub-Series 3C, Credit Enhanced by Bank of New York,
    2.27% due 4/6/05  		1,655,000   
2,700,000    New York City, NY Trust For Cultural Resources Museum Of Broadcasting, Credit Enhanced by KBC Bank N.V.,
    2.23% due 4/6/05  		2,700,000   
    New York State, Dormitory Authority Revenue:     
480,000       Cornell University, Series B, Credit Enhanced by Morgan Guarantee Trust, 2.29% due 4/1/05  480,000   
1,000,000       Mental Health Services, Sub-Series D-2C, Credit Enhanced by MBIA, 2.24% due 4/7/05  1,000,000   
4,000,000       Mental Health Services, Sub-Series D-2D, Insured by AMBAC, 2.24% due 4/7/05  4,000,000   
1,000,000    New York State Environmental Facilities Corp. Solid Waste Series B, AMT, Credit Enhanced by JPMorgan Chase Bank,
    2.28% due 4/6/05  		1,000,000   
    New York State HFA:     
3,000,000       900 8th Avenue Housing, Series A, AMT, Credit Enhanced by Keybank N.A., 2.31% due 4/6/05  3,000,000   
1,450,000       Contract Revenue, Series G, Credit Enhanced by West Landesbank AG, 2.28% due 4/6/05  1,450,000   
3,130,000       Normandie Court I Project, Credit Enhanced by Landesbank Hessen Thuringen Girozentrale, 2.22% due 4/6/05  3,130,000   
1,100,000       River Terrace Housing Revenue, Series A, Insured by FNMA Collateralized, 2.28% due 4/6/05  1,100,000   
    New York State Local Government Assistance Corp.:     
2,400,000       Series B, Credit Enhanced by West Landesbank, 2.21% due 4/6/05  2,400,000   
700,000       Series D, Credit Enhanced by Societe Generale, 2.20% due 4/6/05  700,000   
1,720,000    Otsego County, NY IDA Civil Facilities Revenue, St. James Retirement Community, 2.43% due 4/7/05  1,720,000   
750,000    Puerto Rico Commonwealth Government Development, 2.19% due 4/6/05  750,000   
3,070,000    Suffolk County, NY IDA Third Project Wolf Family, AMT, Credit Enhanced by HSBC Bank U.S.A., 2.30% due 4/7/05  3,070,000   
1,200,000    Triborough Bridge & Tunnel Authority of NY, Series F, Credit Enhanced by ABN Amro Bank N.V., 2.28% due 4/7/05  1,200,000   
375,000    Wyoming County, NY IDA American Precision Industries, Inc., Credit Enhanced by HSBC Bank U.S.A., 2.30% due 4/7/05  375,000   
    TOTAL VARIABLE RATE DEMAND NOTES  52,545,000   
    TOTAL INVESTMENTS - 99.5%     
    (Cost - $66,803,512*)  66,803,512   
    Other Assets in Excess of Liabilities - 0.5%  364,758   
    TOTAL NET ASSETS - 100.0%  $ 67,168,270   

AMT - Interest earned from these securities may be considered a tax preference item for purposes of the Federal Alternative Minimum Tax. The Fund invests primarily in short-term debt securities. The ability of the issuers of the debt securities to meet their obligations obligations may be affected by economic developments in a specific industry or municipality. In order to reduce the risk associated with such economic developments, 76.1% of the securities in the portfolio at March 31, 2005 were backed by bond insurance of various financial institutions and financial guaranty assurance agencies. The aggregate percentage insured by any one financial institution ranged from 1.1% to 11.2% of total investments.

(a) Variable rate demand notes have a demand feature under which the fund could tender them back to the issuer on no more than 7 days notice.
   
* Aggregate cost for Federal income tax purposes is substantially the same.

 

  Abbreviations used in the schedule: 
  AMBAC  
-
  American Municipal Bond Assurance Indemnity Corporation 
  AMT  -    Alternative Minimum Tax 
  BAN's  -    Bond Anticipation Notes 
  FNMA  -    Federal National Mortgage Association 
  HDC  -    Housing Development Corporation 
  HFA  -    Housing Finance Authority 
  IDA  -    Industrial Development Authority 
  TAN's  -    Tax Anticipation Notes 

See Notes to Schedules of Investments.

3

Notes to Schedules of Investments (unaudited)

1. Organization and Significant Accounting Policies

Salomon Brothers Cash Management Fund (“Cash Management Fund”) and Salomon Brothers New York Municipal Money Market Fund (“New York Municipal Money Fund”) (together the “Funds”) are separate investment funds of the Salomon Brothers Series Funds; a Maryland corporation, registered under the Investment Company Act of 1940 as amended (“1940 Act”) as, an open-end management investment company.

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

(a) Investment Valuation. Money market instruments are valued at amortized cost, in accordance with Rule 2a-7 under the Investment Company Act of 1940 Act (the “1940 Act”), which approximates market value. This method involves valuing a portfolio security at its cost and thereafter assuming a constant amortization to maturity of any discount or premium. The Funds’ use of amortized cost is subject to its compliance with certain conditions as specified under Rule 2a-7 of the 1940 Act.

(b) Repurchase Agreements. When entering into repurchase agreements, it is the Cash Management Fund’s policy that a custodian takes possession of the underlying collateral securities, the 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 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) Investment Transactions. Investment transactions are recorded on a trade date basis.

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 Series Fund Inc

By
/s/ R. Jay Gerken 
 
 
 
 
R. Jay Gerken 
 
 
Chief Executive Officer 
 
     
Date:
May 27, 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:
May 27, 2005
 
     
By
/s/ Frances M. Guggino 
 
 
 
 
Frances M. Guggino 
 
 
Chief Financial Officer 
 
     
Date:
May 27, 2005