-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, H2nVv7hEjUw1/on8ce+J+ExcbpOUeSIO+QbK0icjPxhh9sCkPrz+dwDFIuBSySSJ b2jjB6nVRTrLq2bOJpGFug== 0000950123-04-010842.txt : 20040909 0000950123-04-010842.hdr.sgml : 20040909 20040909150032 ACCESSION NUMBER: 0000950123-04-010842 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20040630 FILED AS OF DATE: 20040909 DATE AS OF CHANGE: 20040909 EFFECTIVENESS DATE: 20040909 FILER: COMPANY DATA: COMPANY CONFORMED NAME: MANAGED ASSETS TRUST CENTRAL INDEX KEY: 0000706453 IRS NUMBER: 046480345 STATE OF INCORPORATION: MA FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-03568 FILM NUMBER: 041022690 BUSINESS ADDRESS: STREET 1: CITIGROUP ASSET MANAGEMENT STREET 2: 125 BROAD STREET, 10TH FLOOR CITY: NEW YORK STATE: NY ZIP: 10004 BUSINESS PHONE: 212-291-2556 MAIL ADDRESS: STREET 1: CITIGROUP ASSET MANAGEMENT STREET 2: 125 BROAD STREET, 10TH FLOOR CITY: NEW YORK STATE: NY ZIP: 10004 N-CSRS 1 y99490anvcsrs.txt MANAGED ASSETS TRUST UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-3568 MANAGED ASSETS TRUST (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. Smith Barney Fund Management LLC 300 First Stamford Place Stamford, CT 06902 (Name and address of agent for service) Registrant's telephone number, including area code: (800) 451-2010 Date of fiscal year end: DECEMBER 31 Date of reporting period: JUNE 30, 2004 ITEM 1. REPORT TO STOCKHOLDERS. The Semi-Annual Report to Stockholders is filed herewith. [INSERT SHAREHOLDER REPORT] SEMI-ANNUAL REPORT JUNE 30, 2004 [UMBRELLA ART TOP] [UMBRELLA ART BOTTOM] MANAGED ASSETS TRUST HIGH YIELD BOND TRUST CAPITAL APPRECIATION FUND MONEY MARKET PORTFOLIO THE TRAVELERS SERIES TRUST: U.S. GOVERNMENT SECURITIES PORTFOLIO SOCIAL AWARENESS STOCK PORTFOLIO PIONEER FUND PORTFOLIO [TRAVELERS LOGO] The Travelers Insurance Company The Travelers Life and Annuity Company One Cityplace Hartford, CT 06103 SEMI-ANNUAL REPORT FOR MANAGED ASSETS TRUST, HIGH YIELD BOND TRUST, CAPITAL APPRECIATION FUND, MONEY MARKET PORTFOLIO AND THE TRAVELERS SERIES TRUST - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- WHAT'S INSIDE LETTER FROM THE CHAIRMAN.................................... 1 MANAGED ASSETS TRUST, HIGH YIELD BOND TRUST, CAPITAL APPRECIATION FUND AND MONEY MARKET PORTFOLIO: SCHEDULES OF INVESTMENTS: MANAGED ASSETS TRUST................................... 5 HIGH YIELD BOND TRUST.................................. 20 CAPITAL APPRECIATION FUND.............................. 29 MONEY MARKET PORTFOLIO................................. 32 STATEMENTS OF ASSETS AND LIABILITIES........................ 34 STATEMENTS OF OPERATIONS.................................... 35 STATEMENTS OF CHANGES IN NET ASSETS......................... 36 NOTES TO FINANCIAL STATEMENTS............................... 40 FINANCIAL HIGHLIGHTS........................................ 44 THE TRAVELERS SERIES TRUST - U.S. GOVERNMENT SECURITIES PORTFOLIO, SOCIAL AWARENESS STOCK PORTFOLIO AND PIONEER FUND PORTFOLIO: SCHEDULES OF INVESTMENTS: U.S. GOVERNMENT SECURITIES PORTFOLIO................... 46 SOCIAL AWARENESS STOCK PORTFOLIO....................... 48 PIONEER FUND PORTFOLIO................................. 53 STATEMENTS OF ASSETS AND LIABILITIES........................ 59 STATEMENTS OF OPERATIONS.................................... 60 STATEMENTS OF CHANGES IN NET ASSETS......................... 61 NOTES TO FINANCIAL STATEMENTS............................... 64 FINANCIAL HIGHLIGHTS........................................ 68
- -------------------------------------------------------------------------------- LETTER FROM THE CHAIRMAN [R. JAY GERKEN PHOTO] R. JAY GERKEN, CFA Chairman, President and Chief Executive Officer DEAR SHAREHOLDER, Both the stock and bond markets switched gears during the first half of this year, largely due to shifting tides of investor sentiment. After a torrid second half of 2003, the equity markets took a breather this year. Markets typically abhor uncertainty, so as the year progressed, investors grew increasingly lethargic amid questions over Iraq, global terrorism, a rise in oil prices, interest rates, inflation, and the presidential election. The good news -- solid corporate earnings, the improving economy, renewed job growth, and the still low level of interest rates -- largely was ignored. As a result, stock market returns for the first six months of 2004 generally were modest, as opposed to the strong, double-digit gains late last year. As was the case in 2003, small- and mid-capitalization stocks generally outperformed their larger brethren in the first half of this year. Value- and growth-oriented stocks frequently traded short-term performance leadership during the past six months, but value stocks slightly outperformed growth stocks over the full six-month period. The performance of foreign stock markets in the first half largely was in-line with that of the broad U.S. market. Although the bond market got off to a formidable start, its performance also was hampered by heightened worries about resurgent inflation, rising rates, and anticipation that the Federal Reserve Bank ("Fed") would begin to raise key short-term rates after a long accommodative stance on monetary policy. Higher interest rates can act as a brake on robust economic growth to help maintain a balance between steady growth and the inflation that generally accompanies that growth. Given that the economy appeared to be humming along at a healthy pace, as was widely expected, the central bank edged up its federal funds target rate(i) from a four-decade low to 1.25% at the end of June. Over the six-month period, following a significant pullback this past spring, bond prices finished on a flat note. However, mortgage-backed securities, U.S. Agencies, and corporate issues in general held up better than those of U.S. Treasury bonds(ii) on a total return basis. Signs during the period of economic recovery, which is favorable for corporate earnings and the credit environment, helped the high-yield market outperform Treasuries.(iii) Yields on most money market instruments, particularly those with longer maturities, rose during the second half of the period. Although investor sentiment was shaky this past spring, by the end of the period the U.S. Consumer Confidence Index(iv) rose to levels not seen since June of 2002. The domestic unemployment rate held steady, job growth slowed following a strong increase in March through the early spring, and inflation picked up during the period. FUND PERFORMANCE Within this environment, the funds performed as follows:(1) MANAGED ASSETS TRUST During the period ended June 30, 2004, the Managed Assets Trust returned 2.40%. Its unmanaged benchmarks, the S&P 500 Index(v) and Lehman Brothers Government/Credit Bond Index(vi), returned 3.44% and -0.19%, respectively. The Fund outperformed its Lipper flexible portfolio variable funds category average(2), which returned 2.05%. HIGH YIELD BOND TRUST During the period ended June 30, 2004, the High Yield Bond Trust returned 0.74%. The Fund underperformed its unmanaged benchmark, the Credit Suisse First Boston High Yield Index,(vii) which returned 2.47%. The Fund also underperformed its Lipper high current yield variable funds category average(3), which returned 1.07%. (1) Each fund is an underlying investment option of various variable annuity and life products. Fund performance returns do not reflect the deduction of sales charges and expenses imposed in connection with investing in variable annuity and life contracts such as administrative fees, account charges, and surrender charges, which if reflected, would reduce the performance of the fund. An investor may not invest directly in an index. PAST PERFORMANCE IS NO INDICATION OF FUTURE RESULTS. (2) Lipper is a major independent mutual fund tracking organization. Average annual returns are based on the six-month period ended June 30, 2004, calculated among 84 funds in the Lipper flexible portfolio variable funds category with reinvestment of dividends and capital gains, if any. (3) Lipper is a major independent mutual fund tracking organization. Average annual returns are based on the six-month period ended June 30, 2004, calculated among 88 funds in the Lipper high current yield variable funds category with reinvestment of dividends and capital gains, if any. 1 CAPITAL APPRECIATION FUND During the period ended June 30, 2004, the Capital Appreciation Fund returned 4.85%. Its unmanaged benchmarks, the S&P 500 Index and the Russell 2000 Index,(viii) returned 3.44% and 6.76%, respectively. The Fund outperformed its Lipper large-cap growth variable funds category average(4), which returned 2.56%. MONEY MARKET PORTFOLIO During the period ended June 30, 2004, the Money Market Portfolio returned 0.33%. The Portfolio slightly outperformed its Lipper money market variable funds category average(5), which returned 0.26%. U.S. GOVERNMENT SECURITIES PORTFOLIO During the period ended June 30, 2004, the U.S. Government Securities Portfolio returned -0.06%. The Portfolio performed in-line with its unmanaged benchmarks, the Merrill Lynch U.S. Treasury/Agency Master Index,(ix) returned -0.18% and a composite index which is an equally-weighted average of the Merrill Lynch U.S. Treasuries 15 Plus Year(x) and Merrill Lynch Mortgage Master Index,(xi) returned 0.29%. The Portfolio underperformed its Lipper general U.S. government variable funds category average(6), which returned 0.03%. SOCIAL AWARENESS STOCK PORTFOLIO During the period ended June 30, 2004, the Social Awareness Stock Portfolio returned -0.32%. The Portfolio underperformed its unmanaged benchmark, the S&P 500 Index, which returned 3.44%. The Portfolio also underperformed its Lipper specialty/miscellaneous variable funds category average(7), which returned 2.17%. PIONEER FUND PORTFOLIO During the period ended June 30, 2004, the Pioneer Fund Portfolio returned 1.83%. The Portfolio underperformed its unmanaged benchmark, the S&P 500 Index, which returned 3.44%. The Portfolio also underperformed its Lipper large cap core variable funds category average(8), which returned 2.37%. (4) Lipper is a major independent mutual fund tracking organization. Average annual returns are based on the six-month period ended June 30, 2004, calculated among 163 funds in the Lipper large-cap growth variable funds category with reinvestment of dividends and capital gains, if any. (5) Lipper is a major independent mutual fund tracking organization. Average annual returns are based on the six-month period ended June 30, 2004, calculated among 108 funds in the Lipper money market variable funds category with reinvestment of dividends and capital gains, if any. (6) Lipper is a major independent mutual fund tracking organization. Average annual returns are based on the six-month period ended June 30, 2004, calculated among 54 funds in the Lipper general U.S. government variable funds category with reinvestment of dividends and capital gains, if any. (7) Lipper is a major independent mutual fund tracking organization. Average annual returns are based on the six-month period ended June 30, 2004, calculated among 128 funds in the Lipper specialty/miscellaneous variable funds category with reinvestment of dividends and capital gains, if any. (8) Lipper is a major independent mutual fund tracking organization. Average annual returns are based on the six-month period ended June 30, 2004, calculated among 215 funds in the Lipper large-cap core variable funds category with reinvestment of dividends and capital gains, if any. 2 PERFORMANCE OF THE FUNDS AS OF JUNE 30, 2004
6 MONTHS MANAGED ASSETS TRUST 2.40% S&P 500 Index 3.44% Lehman Brothers Government/Credit Bond Index -0.19% Lipper Flexible Portfolio Variable Funds Category Average 2.05% HIGH YIELD BOND TRUST 0.74% Credit Suisse First Boston High Yield Index 2.47% Lipper High Current Yield Variable Funds Category Average 1.07% CAPITAL APPRECIATION FUND 4.85% S&P 500 Index 3.44% Russell 2000 Index 6.76% Lipper Large-Cap Growth Variable Funds Category Average 2.56% MONEY MARKET PORTFOLIO 0.33% Lipper Money Market Variable Funds Category Average 0.26% U.S. GOVERNMENT SECURITIES PORTFOLIO -0.06% Merrill Lynch U.S. Treasury/Agency Master Index -0.18% Merrill Lynch U.S. Treasury 15+/Mortgage Master Index 0.29% Lipper General U.S. Government Variable Funds Category Average 0.03% SOCIAL AWARENESS STOCK PORTFOLIO -0.32% S&P 500 Index 3.44% Lipper Specialty/Miscellaneous Variable Funds Category Average 2.17% PIONEER FUND PORTFOLIO 1.83% S&P 500 Index 3.44% Lipper Large-Cap Core Variable Funds Category Average 2.37%
THE PERFORMANCE SHOWN REPRESENTS PAST PERFORMANCE. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS AND CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE SHOWN ABOVE. PRINCIPAL VALUE AND INVESTMENT RETURNS WILL FLUCTUATE AND INVESTORS' SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. The performance returns set forth above do not reflect the reduction of sales charges and expenses imposed in connection with investing in variable annuity and life contracts such as administrative fees, account charges, and surrender charges; which, if reflected, would reduce the performance of the funds. MONEY MARKET PORTFOLIO YIELDS AS OF JUNE 30, 2004
SEVEN-DAY SEVEN-DAY CURRENT YIELD EFFECTIVE YIELD MONEY MARKET PORTFOLIO 0.75% 0.76%
THE PERFORMANCE SHOWN REPRESENTS PAST PERFORMANCE. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS AND CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE SHOWN ABOVE. PRINCIPAL VALUE AND INVESTMENT RETURNS WILL FLUCTUATE AND INVESTORS' SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. THE PORTFOLIO'S YIELDS WILL VARY. PLEASE NOTE THAT YOUR INVESTMENT IS NEITHER INSURED NOR GUARANTEED BY THE FEDERAL DEPOSIT INSURANCE CORPORATION ("FDIC") OR ANY OTHER GOVERNMENT AGENCY. ALTHOUGH THE FUND SEEKS TO PRESERVE THE VALUE OF YOUR INVESTMENT AT $1.00 PER SHARE, IT IS POSSIBLE TO LOSE MONEY BY INVESTING IN THE FUND. Both yields include a voluntary fee waiver, which may be reduced or terminated at any time. Without these fee waivers, the seven-day current yield and the seven-day effective yield would have been 0.74% and 0.74%, respectively. Performance figures may reflect fee waivers and/or expense reimbursements, if any. In the absence of fee waivers and/or expense reimbursements, if any, the total return would be reduced. The seven-day current yield reflects the amount of income generated by the investment during that seven-day period and assumes that the income is generated each week over a 365-day period. The yield is shown as a percentage of the investment. The seven-day effective yield is calculated similarly to the seven-day current yield but, when annualized, the income earned by an investment in the portfolio is assumed to be reinvested. The effective yield typically will be slightly higher than the current yield because of the compounding effect of the assumed reinvestment. 3 INFORMATION ABOUT YOUR FUNDS In recent months several issues in the mutual fund and variable product industries have come under the scrutiny of federal and state regulators. Travelers Life & Annuity and some of its affiliates have received requests for information from various government regulators regarding market timing, late trading, revenue sharing, and other mutual fund and variable product issues in connection with various investigations. The funds have been informed that Travelers Life & Annuity and its affiliates are responding to those information requests and cooperating with the regulators, but are not in a position to predict the outcome of these requests and investigations. In November 2003, Citigroup Asset Management disclosed an investigation by the Securities and Exchange Commission ("SEC") and the U.S. Attorney relating to Citigroup Asset Management's entry into the transfer agency business during 1997-1999. On July 20, 2004, Citigroup disclosed that it had been notified by the Staff of the SEC that the Staff is considering recommending a civil injunctive action and/or an administrative proceeding against certain advisory and transfer agent entities affiliated with Citigroup relating to the creation and operation of its internal transfer agent unit to serve primarily the Smith Barney family of mutual funds. Citigroup is cooperating with the SEC and will seek to resolve this matter in discussion with the SEC Staff. Although there can be no assurance, Citigroup does not believe that this matter will have a material adverse effect on the funds. As always, thank you for your continued confidence in our stewardship of your assets. We look forward to helping you continue to meet your financial goals. Sincerely, /s/ R. Jay Gerken R. Jay Gerken, CFA Chairman, President and Chief Executive Officer July 20, 2004 The information provided is not intended to be a forecast of future events, a guarantee of future results or investment advice. Views expressed may differ from those of the firm as a whole. Please note that an investor cannot invest directly in an index. Past performance is no guarantee of future results. The performance returns set forth do not reflect the deduction of sales charges and expenses imposed in connection with investing in variable annuity and life contracts including, but not limited to, administrative fees, account charges, and surrender charges, which if reflected, would reduce performance. Portfolio holdings and breakdowns are as of June 30, 2004 and are subject to change. Please refer to pages 5 through 32 and 46 through 58 for a list and percentage breakdown of the fund's holdings. The commentary provided is as of July 20, 2004 and is subject to change based on the market and other conditions. The views expressed are those of the portfolio manager and are not intended to be a forecast of future events, a guarantee of future results or investment advice. These views may differ from those of other portfolio managers or the firm as a whole. (i) The federal funds rate is the interest rate that banks with excess reserves at a Federal Reserve district bank charge other banks that need overnight loans. (ii) Government bonds are guaranteed by the full faith and credit of the U.S. government as to timely payment of principal and interest. Government bonds do fluctuate in price. (iii) Based upon Citigroup total rate of return indices that reflect the performance for each respective category of fixed-income securities over the six months ended June 30, 2004. (iv) Source: June 2004 Consumer Confidence Index, The Conference Board. (v) The S&P 500 Index is a market-capitalization weighted index of 500 widely held common stocks. (vi) The Lehman Brothers Intermediate Government/Credit Index is a market-value weighted performance benchmark for government and corporate fixed-rate debt issues (rated Baa/BBB or higher) with maturities between one and ten years. (vii) The Credit Suisse First Boston High Yield Index is a market-weighted index that includes publicly traded bonds rated below BBB by S&P and Baa by Moody's. Moody's Investors Service is a nationally recognized credit rating agency. Standard & Poor's Ratings Service is a nationally recognized credit rating agency. (viii) The Russell 2000 Index measures the performance of the 2000 smallest companies in the Russell 3000 Index, which represents approximately eight percent of the total market capitalization of the Russell 3000 Index. (ix) The Merrill Lynch/U.S. Treasury/Agency Index is an index comprised of U.S. Treasury and Agency securities. (x) The Merrill Lynch U.S. Treasuries 15 Plus Years Index is an index consisting of U.S. dollar denominated U.S. Treasury Notes and Bonds having at least 15 years remaining term to maturity and a minimum amount outstanding of $1 billion. (xi) The Merrill Lynch Mortgage Master Index consists of fixed-rate coupon-bearing pools of mortgage pass-through securities that have various maturities. 4 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) JUNE 30, 2004 MANAGED ASSETS TRUST
SHARES SECURITY VALUE - ----------------------------------------------------------------------------------------------------- COMMON STOCK -- 62.2% - ----------------------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY -- 10.1% AUTOMOBILES -- 1.1% 56,008 Ford Motor Co. ............................................. $ 876,525 22,840 General Motors Corp. ....................................... 1,064,116 21,192 Harley-Davidson, Inc. ...................................... 1,312,632 - ----------------------------------------------------------------------------------------------------- 3,253,273 - ----------------------------------------------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE -- 1.8% 31,757 Carnival Corp. ............................................. 1,492,579 18,609 Harrah's Entertainment, Inc. ............................... 1,006,747 16,581 Marriott International, Inc., Class A Shares................ 827,060 35,306 McDonald's Corp. ........................................... 917,956 3,024 Starwood Hotels & Resorts Worldwide, Inc. .................. 135,626 20,967 Yum! Brands, Inc. .......................................... 780,392 - ----------------------------------------------------------------------------------------------------- 5,160,360 - ----------------------------------------------------------------------------------------------------- HOUSEHOLD DURABLES -- 0.9% 4,979 The Black & Decker Corp. ................................... 309,345 9,630 Fortune Brands, Inc. ....................................... 726,391 10,447 KB HOME..................................................... 716,978 14,280 Pulte Homes, Inc. .......................................... 742,988 - ----------------------------------------------------------------------------------------------------- 2,495,702 - ----------------------------------------------------------------------------------------------------- INTERNET & CATALOG RETAIL -- 0.4% 13,706 eBay Inc. (a)............................................... 1,260,267 - ----------------------------------------------------------------------------------------------------- MEDIA -- 1.7% 14,978 Comcast Corp., Class A Shares (a)........................... 419,833 20,086 Fox Entertainment Group Inc., Class A Shares (a)............ 536,296 8,056 Gannett Co., Inc. .......................................... 683,552 25,384 Time Warner Inc. (a)........................................ 446,251 41,689 Viacom Inc., Class B Shares................................. 1,489,131 58,696 The Walt Disney Co. ........................................ 1,496,161 - ----------------------------------------------------------------------------------------------------- 5,071,224 - ----------------------------------------------------------------------------------------------------- MULTI-LINE RETAIL -- 1.9% 32,836 Big Lots, Inc. (a).......................................... 474,809 7,819 Costco Wholesale Corp. ..................................... 321,126 4,483 Federated Department Stores, Inc. .......................... 220,115 34,199 Target Corp. ............................................... 1,452,432 58,619 Wal-Mart Stores, Inc. ...................................... 3,092,738 - ----------------------------------------------------------------------------------------------------- 5,561,220 - ----------------------------------------------------------------------------------------------------- SPECIALTY RETAIL -- 1.8% 2,060 AutoZone, Inc. (a).......................................... 165,006 11,079 Best Buy Co., Inc. ......................................... 562,148 12,032 The Gap, Inc. .............................................. 291,776 62,692 The Home Depot, Inc. ....................................... 2,206,758 16,784 Limited Brands.............................................. 313,861
SEE NOTES TO FINANCIAL STATEMENTS. 5 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 MANAGED ASSETS TRUST
SHARES SECURITY VALUE - ----------------------------------------------------------------------------------------------------- SPECIALTY RETAIL -- 1.8% (CONTINUED) 6,851 Lowe's Cos., Inc. .......................................... $ 360,020 28,518 Staples, Inc. .............................................. 835,863 25,629 Toys "R" Us, Inc. (a)....................................... 408,270 - ----------------------------------------------------------------------------------------------------- 5,143,702 - ----------------------------------------------------------------------------------------------------- TEXTILES & APPAREL -- 0.5% 2,525 Jones Apparel Group, Inc. .................................. 99,687 17,138 NIKE, Inc., Class B Shares.................................. 1,298,204 - ----------------------------------------------------------------------------------------------------- 1,397,891 - ----------------------------------------------------------------------------------------------------- TOTAL CONSUMER DISCRETIONARY................................ 29,343,639 - ----------------------------------------------------------------------------------------------------- CONSUMER STAPLES -- 4.5% BEVERAGES -- 1.7% 3,843 Anheuser-Busch Co., Inc. ................................... 207,522 4,432 Brown-Forman Corp., Class B Shares.......................... 213,933 41,864 The Coca-Cola Co. .......................................... 2,113,295 23,041 Coca-Cola Enterprises Inc. ................................. 667,959 34,384 PepsiCo, Inc. .............................................. 1,852,610 - ----------------------------------------------------------------------------------------------------- 5,055,319 - ----------------------------------------------------------------------------------------------------- FOOD & DRUG RETAILING -- 0.4% 8,112 CVS Corp. .................................................. 340,866 19,883 Walgreen Co. ............................................... 719,963 - ----------------------------------------------------------------------------------------------------- 1,060,829 - ----------------------------------------------------------------------------------------------------- FOOD PRODUCTS -- 0.6% 41,549 Archer-Daniels-Midland Co. ................................. 697,192 6,026 Hormel Foods Corp. ......................................... 187,409 3,549 Kellogg Co. ................................................ 148,526 36,154 Sara Lee Corp. ............................................. 831,180 - ----------------------------------------------------------------------------------------------------- 1,864,307 - ----------------------------------------------------------------------------------------------------- HOUSEHOLD PRODUCTS -- 1.2% 5,750 Colgate-Palmolive Co. ...................................... 336,087 8,611 Kimberly-Clark Corp. ....................................... 567,293 44,556 The Procter & Gamble Co. ................................... 2,425,629 - ----------------------------------------------------------------------------------------------------- 3,329,009 - ----------------------------------------------------------------------------------------------------- TOBACCO -- 0.6% 34,569 Altria Group, Inc. ......................................... 1,730,178 - ----------------------------------------------------------------------------------------------------- TOTAL CONSUMER STAPLES...................................... 13,039,642 - ----------------------------------------------------------------------------------------------------- ENERGY -- 3.9% ENERGY EQUIPMENT & SERVICES -- 0.5% 8,383 Baker Hughes Inc. .......................................... 315,620 7,077 Halliburton Co. ............................................ 214,150
SEE NOTES TO FINANCIAL STATEMENTS. 6 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 MANAGED ASSETS TRUST
SHARES SECURITY VALUE - ----------------------------------------------------------------------------------------------------- ENERGY EQUIPMENT & SERVICES -- 0.5% (CONTINUED) 11,645 Schlumberger Ltd. .......................................... $ 739,574 7,657 Transocean Inc. (a)......................................... 221,594 - ----------------------------------------------------------------------------------------------------- 1,490,938 - ----------------------------------------------------------------------------------------------------- OIL & GAS -- 3.4% 5,200 Anadarko Petroleum Corp. ................................... 304,720 15,000 Burlington Resources, Inc. ................................. 542,700 18,345 ChevronTexaco Corp. ........................................ 1,726,448 11,958 ConocoPhillips.............................................. 912,276 2,798 Devon Energy Corp. ......................................... 184,668 113,242 Exxon Mobil Corp. .......................................... 5,029,077 11,117 Marathon Oil Corp. ......................................... 420,667 6,700 Occidental Petroleum Corp. ................................. 324,347 2,778 Sunoco, Inc. ............................................... 176,736 3,289 Valero Energy Corp. ........................................ 242,597 - ----------------------------------------------------------------------------------------------------- 9,864,236 - ----------------------------------------------------------------------------------------------------- TOTAL ENERGY................................................ 11,355,174 - ----------------------------------------------------------------------------------------------------- FINANCIALS -- 12.8% BANKS -- 3.6% 45,569 Bank of America Corp. ...................................... 3,856,049 21,851 Bank One Corp. ............................................. 1,114,401 69 First Horizon National Corp. ............................... 3,137 7,512 KeyCorp. ................................................... 224,534 6,425 Marshall & Ilsley Corp. .................................... 251,153 23,293 National City Corp. ........................................ 815,488 17,970 U.S. Bancorp................................................ 495,253 37,249 Wachovia Corp. ............................................. 1,657,580 4,665 Washington Mutual, Inc. .................................... 180,256 34,645 Wells Fargo & Co. .......................................... 1,982,733 - ----------------------------------------------------------------------------------------------------- 10,580,584 - ----------------------------------------------------------------------------------------------------- DIVERSIFIED FINANCIALS -- 5.1% 31,011 American Express Co. ....................................... 1,593,345 12,680 The Bear Stearns Cos. Inc. ................................. 1,069,051 14,913 Capital One Financial Corp. ................................ 1,019,751 14,518 Countrywide Financial Corp. ................................ 1,019,889 21,564 Fannie Mae.................................................. 1,538,807 11,446 Freddie Mac................................................. 724,532 14,428 The Goldman Sachs Group, Inc. .............................. 1,358,540 49,276 J.P. Morgan Chase & Co. .................................... 1,910,431 10,548 Lehman Brothers Holdings Inc. .............................. 793,737 38,983 MBNA Corp. ................................................. 1,005,372 13,422 Merrill Lynch & Co., Inc. .................................. 724,520 23,469 Morgan Stanley.............................................. 1,238,459
SEE NOTES TO FINANCIAL STATEMENTS. 7 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 MANAGED ASSETS TRUST
SHARES SECURITY VALUE - ----------------------------------------------------------------------------------------------------- DIVERSIFIED FINANCIALS -- 5.1% (CONTINUED) 10,583 Principal Financial Group, Inc. ............................ $ 368,077 21,880 Providian Financial Corp. (a).............................. 320,980 - ----------------------------------------------------------------------------------------------------- 14,685,491 - ----------------------------------------------------------------------------------------------------- INSURANCE -- 4.1% 5,050 ACE Ltd. ................................................... 213,514 9,150 AFLAC, Inc. ................................................ 373,412 27,255 Allstate Corp. ............................................. 1,268,720 9,864 Ambac Financial Group, Inc. ................................ 724,412 44,839 American International Group, Inc. ......................... 3,196,124 8,937 Aon Corp. .................................................. 254,436 16,040 The Chubb Corp. ............................................ 1,093,607 3,647 The Hartford Financial Services Group, Inc. ................ 250,695 7,408 Jefferson-Pilot Corp. ...................................... 376,326 3,328 Lincoln National Corp. ..................................... 157,248 16,565 Marsh & McLennan Cos., Inc. ................................ 751,720 25,813 MetLife, Inc. .............................................. 925,396 6,337 MGIC Investment Corp. ...................................... 480,725 5,509 The Progressive Corp. ...................................... 469,918 28,930 Prudential Financial, Inc. ................................. 1,344,377 - ----------------------------------------------------------------------------------------------------- 11,880,630 - ----------------------------------------------------------------------------------------------------- TOTAL FINANCIALS............................................ 37,146,705 - ----------------------------------------------------------------------------------------------------- HEALTHCARE -- 8.0% BIOTECHNOLOGY -- 0.8% 22,235 Amgen Inc. (a).............................................. 1,213,364 11,225 Biogen Idec Inc. (a)........................................ 709,981 7,054 Genentech, Inc. (a)......................................... 396,435 - ----------------------------------------------------------------------------------------------------- 2,319,780 - ----------------------------------------------------------------------------------------------------- HEALTHCARE EQUIPMENT & SUPPLIES -- 1.1% 19,265 Becton Dickinson & Co. ..................................... 997,927 35,786 Boston Scientific Corp. (a)................................. 1,531,641 15,415 Medtronic, Inc. ............................................ 751,019 - ----------------------------------------------------------------------------------------------------- 3,280,587 - ----------------------------------------------------------------------------------------------------- HEALTHCARE PROVIDERS & SERVICES -- 1.8% 13,237 Aetna, Inc. ................................................ 1,125,145 6,002 AmerisourceBergen Corp. .................................... 358,800 8,971 Anthem, Inc. (a)............................................ 803,443 2,898 Cardinal Health, Inc. ...................................... 203,005 10,822 Caremark Rx, Inc. (a)....................................... 356,477 6,580 CIGNA Corp. ................................................ 452,770 24,476 UnitedHealth Group Inc. .................................... 1,523,631 2,473 WellPoint Health Networks, Inc. (a)......................... 277,001 - ----------------------------------------------------------------------------------------------------- 5,100,272 - -----------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 8 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 MANAGED ASSETS TRUST
SHARES SECURITY VALUE - ----------------------------------------------------------------------------------------------------- PHARMACEUTICALS -- 4.3% 11,954 Abbott Laboratories......................................... $ 487,245 15,248 Eli Lilly and Co. .......................................... 1,065,988 11,998 Forest Laboratories, Inc. (a)............................... 679,447 1,503 Hospira, Inc. (a)........................................... 41,483 61,206 Johnson & Johnson........................................... 3,409,174 4,825 Medco Health Solutions, Inc. (a)............................ 180,938 26,069 Merck & Co., Inc. .......................................... 1,238,277 142,976 Pfizer Inc. ................................................ 4,901,217 15,864 Wyeth....................................................... 573,642 - ----------------------------------------------------------------------------------------------------- 12,577,411 - ----------------------------------------------------------------------------------------------------- TOTAL HEALTHCARE............................................ 23,278,050 - ----------------------------------------------------------------------------------------------------- INDUSTRIALS -- 7.0% AEROSPACE & DEFENSE -- 0.9% 10,216 The Boeing Co. ............................................. 521,935 9,171 General Dynamics Corp. ..................................... 910,680 10,625 Lockheed Martin Corp. ...................................... 553,350 13,960 Northrop Grumman Corp. ..................................... 749,652 - ----------------------------------------------------------------------------------------------------- 2,735,617 - ----------------------------------------------------------------------------------------------------- AIR FREIGHT & COURIERS -- 0.5% 19,243 United Parcel Service, Inc., Class B Shares................. 1,446,496 - ----------------------------------------------------------------------------------------------------- BUILDING PRODUCTS -- 0.1% 12,565 Masco Corp. ................................................ 391,777 - ----------------------------------------------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES -- 0.3% 4,600 Avery Dennison Corp. ....................................... 294,446 18,666 Cendant Corp. .............................................. 456,944 4,415 Fiserv, Inc. (a)............................................ 171,699 - ----------------------------------------------------------------------------------------------------- 923,089 - ----------------------------------------------------------------------------------------------------- ELECTRICAL EQUIPMENT -- 0.4% 9,729 Cooper Industries, Inc., Class A Shares..................... 578,000 15,618 Thomas & Betts Corp. (a).................................... 425,278 - ----------------------------------------------------------------------------------------------------- 1,003,278 - ----------------------------------------------------------------------------------------------------- INDUSTRIAL CONGLOMERATES -- 2.6% 2,379 3M Co. ..................................................... 214,134 155,247 General Electric Co. ....................................... 5,030,003 26,062 Honeywell International Inc. ............................... 954,651 35,733 Tyco International Ltd. .................................... 1,184,191 - ----------------------------------------------------------------------------------------------------- 7,382,979 - ----------------------------------------------------------------------------------------------------- MACHINERY -- 2.1% 23,980 Danaher Corp. .............................................. 1,243,363 17,578 Deere & Co. ................................................ 1,232,921 13,499 Dover Corp. ................................................ 568,308 3,470 Eaton Corp. ................................................ 224,648 16,370 Ingersoll-Rand Co. Ltd., Class A Shares..................... 1,118,235
SEE NOTES TO FINANCIAL STATEMENTS. 9 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 MANAGED ASSETS TRUST
SHARES SECURITY VALUE - ----------------------------------------------------------------------------------------------------- MACHINERY -- 2.1% (CONTINUED) 5,834 ITT Industries, Inc. ....................................... $ 484,222 12,313 PACCAR Inc. ................................................ 714,031 18,712 Pentair, Inc. .............................................. 629,472 - ----------------------------------------------------------------------------------------------------- 6,215,200 - ----------------------------------------------------------------------------------------------------- ROAD & RAIL -- 0.1% 6,069 Norfolk Southern Corp....................................... 160,950 - ----------------------------------------------------------------------------------------------------- TOTAL INDUSTRIALS........................................... 20,259,386 - ----------------------------------------------------------------------------------------------------- INFORMATION TECHNOLOGY -- 10.0% COMMUNICATIONS EQUIPMENT -- 2.3% 132,297 Cisco Systems, Inc. (a)..................................... 3,135,439 29,606 Comverse Technology, Inc. (a)............................... 590,344 24,096 Corning, Inc. (a)........................................... 314,694 63,896 Motorola, Inc. ............................................. 1,166,102 12,534 QUALCOMM, Inc. ............................................. 914,731 17,927 Scientific-Atlanta, Inc. ................................... 618,481 - ----------------------------------------------------------------------------------------------------- 6,739,791 - ----------------------------------------------------------------------------------------------------- COMPUTERS & PERIPHERALS -- 2.0% 32,738 Dell Inc. (a)............................................... 1,172,675 13,156 EMC Corp. (a)............................................... 149,978 41,849 Gateway, Inc. (a)........................................... 188,320 38,279 Hewlett-Packard Co. ........................................ 807,687 27,797 International Business Machines Corp. ...................... 2,450,306 9,335 NCR Corp. (a)............................................... 462,923 21,138 NVIDIA Corp. (a)............................................ 433,329 - ----------------------------------------------------------------------------------------------------- 5,665,218 - ----------------------------------------------------------------------------------------------------- ELECTRONIC EQUIPMENT & INSTRUMENTS -- 0.1% 16,515 Jabil Circuit, Inc. (a)..................................... 415,848 - ----------------------------------------------------------------------------------------------------- INTERNET SOFTWARE & SERVICES -- 0.5% 35,050 Yahoo! Inc. (a)............................................. 1,273,366 - ----------------------------------------------------------------------------------------------------- SEMICONDUCTOR EQUIPMENT & PRODUCTS -- 2.1% 30,371 Advanced Micro Devices, Inc. (a)............................ 482,899 18,793 Analog Devices, Inc. ....................................... 884,774 97,200 Intel Corp. ................................................ 2,682,720 10,758 KLA-Tencor Corp. (a)........................................ 531,230 36,129 Micron Technology, Inc. (a)................................. 553,135 33,941 Texas Instruments Inc. ..................................... 820,693 - ----------------------------------------------------------------------------------------------------- 5,955,451 - ----------------------------------------------------------------------------------------------------- SOFTWARE -- 3.0% 12,044 Autodesk, Inc. ............................................. 515,604 17,082 BMC Software, Inc. (a)...................................... 316,017 14,865 Electronic Arts Inc. (a).................................... 810,886 196,683 Microsoft Corp. ............................................ 5,617,266
SEE NOTES TO FINANCIAL STATEMENTS. 10 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 MANAGED ASSETS TRUST
SHARES SECURITY VALUE - ----------------------------------------------------------------------------------------------------- SOFTWARE -- 3.0% (CONTINUED) 80,978 Oracle Corp. (a)............................................ $ 966,068 19,509 VERITAS Software Corp. (a).................................. 540,399 - ----------------------------------------------------------------------------------------------------- 8,766,240 - ----------------------------------------------------------------------------------------------------- TOTAL INFORMATION TECHNOLOGY................................ 28,815,914 - ----------------------------------------------------------------------------------------------------- MATERIALS -- 2.3% CHEMICALS -- 0.8% 19,810 The Dow Chemical Co. ....................................... 806,267 7,393 E.I. du Pont de Nemours & Co. .............................. 328,397 12,710 Ecolab, Inc. ............................................... 402,907 19,406 Monsanto Co. ............................................... 747,131 - ----------------------------------------------------------------------------------------------------- 2,284,702 - ----------------------------------------------------------------------------------------------------- CONTAINERS & PACKAGING -- 0.6% 3,858 Ball Corp. ................................................. 277,969 39,788 Pactiv Corp. (a)............................................ 992,313 9,562 Sealed Air Corp. (a)........................................ 509,368 - ----------------------------------------------------------------------------------------------------- 1,779,650 - ----------------------------------------------------------------------------------------------------- METALS & MINING -- 0.6% 37,591 Alcoa Inc. ................................................. 1,241,631 7,010 Newmont Mining Corp. ....................................... 271,707 2,270 Nucor Corp. ................................................ 174,245 - ----------------------------------------------------------------------------------------------------- 1,687,583 - ----------------------------------------------------------------------------------------------------- PAPER & FOREST PRODUCTS -- 0.3% 6,300 Georgia-Pacific Corp. ...................................... 232,974 8,532 International Paper Co. .................................... 381,380 3,635 Weyerhaeuser Co. ........................................... 229,441 - ----------------------------------------------------------------------------------------------------- 843,795 - ----------------------------------------------------------------------------------------------------- TOTAL MATERIALS............................................. 6,595,730 - ----------------------------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES -- 1.8% DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.4% 44,893 BellSouth Corp. ............................................ 1,177,094 4,563 CenturyTel, Inc. ........................................... 137,073 32,863 SBC Communications Inc. .................................... 796,928 40,269 Sprint Corp., (FON Group)................................... 708,734 35,196 Verizon Communications Inc. ................................ 1,273,743 - ----------------------------------------------------------------------------------------------------- 4,093,572 - ----------------------------------------------------------------------------------------------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.4% 9,158 AT&T Wireless Services, Inc. (a)............................ 131,143 41,925 Nextel Communications, Inc., Class A Shares (a)............. 1,117,720 - ----------------------------------------------------------------------------------------------------- 1,248,863 - ----------------------------------------------------------------------------------------------------- TOTAL TELECOMMUNICATION SERVICES............................ 5,342,435 - -----------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 11 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 MANAGED ASSETS TRUST
SHARES SECURITY VALUE - ----------------------------------------------------------------------------------------------------- UTILITIES -- 1.8% ELECTRIC UTILITIES -- 1.3% 22,628 American Electric Power Co., Inc. .......................... $ 724,096 16,944 Constellation Energy Group, Inc. ........................... 642,178 16,862 Edison International ....................................... 431,161 20,414 Exelon Corp. ............................................... 679,582 19,243 FirstEnergy Corp. .......................................... 719,881 4,809 Public Service Enterprise Group Inc. ....................... 192,504 9,894 The Southern Co. ........................................... 288,410 - ----------------------------------------------------------------------------------------------------- 3,677,812 - ----------------------------------------------------------------------------------------------------- GAS UTILITIES -- 0.5% 17,770 KeySpan Corp. .............................................. 652,159 10,895 Kinder Morgan, Inc. ........................................ 645,964 4,433 National Fuel Gas Co. ...................................... 110,825 - ----------------------------------------------------------------------------------------------------- 1,408,948 - ----------------------------------------------------------------------------------------------------- TOTAL UTILITIES............................................. 5,086,760 - ----------------------------------------------------------------------------------------------------- TOTAL COMMON STOCK (Cost -- $163,992,929)................... 180,263,435 - ----------------------------------------------------------------------------------------------------- CONVERTIBLE PREFERRED STOCK -- 3.2% - ----------------------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY -- 2.2% AUTOMOBILES -- 1.3% 36,000 Ford Motor Co. Capital Trust II, 6.500% Cumulative Trust Preferred Securities...................................... 1,971,360 General Motors Corp., Sr. Debentures: 37,000 5.250% Series B........................................... 914,270 33,000 6.250% Series C........................................... 958,320 - ----------------------------------------------------------------------------------------------------- 3,843,950 - ----------------------------------------------------------------------------------------------------- CONTAINERS AND PACKAGING -- 0.1% 4,000 Amcor Ltd., 7.250% PRIDES(SM)............................... 212,500 - ----------------------------------------------------------------------------------------------------- HOUSEHOLD DURABLES -- 0.3% 21,000 Newell Financial Trust I, 5.250% Cumulative QUIPS(SM)....... 934,500 - ----------------------------------------------------------------------------------------------------- MEDIA -- 0.5% 17,000 Tribune Co., 2.000% PHONES(SM).............................. 1,388,900 - ----------------------------------------------------------------------------------------------------- TOTAL CONSUMER DISCRETIONARY................................ 6,379,850 - ----------------------------------------------------------------------------------------------------- FINANCIALS -- 0.7% BANKS -- 0.5% 3,000 Washington Mutual Capital Trust I, 5.375% Cumulative (b).... 162,151 25,000 Washington Mutual Inc., 5.375% Cumulative (b)............... 1,346,750 - ----------------------------------------------------------------------------------------------------- 1,508,901 - ----------------------------------------------------------------------------------------------------- REAL ESTATE INVESTMENT TRUSTS -- 0.2% 7,000 Equity Office Properties Trust, 5.250% Cumulative, Series B......................................................... 351,575 9,000 Reckson Associates Realty Corp., 7.625% Cumulative, Series A......................................................... 234,900 - ----------------------------------------------------------------------------------------------------- 586,475 - ----------------------------------------------------------------------------------------------------- TOTAL FINANCIALS............................................ 2,095,376 - -----------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 12 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 MANAGED ASSETS TRUST
SHARES SECURITY VALUE - ----------------------------------------------------------------------------------------------------- UTILITIES -- 0.3% ELECTRIC UTILITIES -- 0.2% 10,000 CalEnergy Capital Trust II, 6.250% Trust Preferred Securities................................................ $ 495,300 - ----------------------------------------------------------------------------------------------------- GAS UTILITIES -- 0.1% 9,100 El Paso Energy Capital Trust I, 4.750% Trust Preferred Securities................................................ 254,345 - ----------------------------------------------------------------------------------------------------- TOTAL UTILITIES............................................. 749,645 - ----------------------------------------------------------------------------------------------------- TOTAL CONVERTIBLE PREFERRED STOCK (Cost -- $8,783,368)...... 9,224,871 - -----------------------------------------------------------------------------------------------------
FACE AMOUNT SECURITY VALUE - -------------------------------------------------------------------------------------------------- U.S. GOVERNMENT OBLIGATIONS -- 7.5% - -------------------------------------------------------------------------------------------------- U.S. Treasury Notes: $ 2,080,000 5.875% due 11/15/05............................................. 2,179,045 2,320,000 3.000% due 2/15/08.............................................. 2,288,736 3,300,000 3.250% due 8/15/08.............................................. 3,260,169 500,000 3.375% due 12/15/08............................................. 493,789 800,000 3.000% due 2/15/09.............................................. 775,438 6,225,000 5.750% due 8/15/10.............................................. 6,789,147 4,921,000 4.750% due 5/15/14.............................................. 4,973,866 1,082,000 U.S. Treasury Bonds, 5.375% due 2/15/31........................... 1,091,595 - -------------------------------------------------------------------------------------------------- TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost -- $22,484,013)........... 21,851,785 - --------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 4.1% - -------------------------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY NOTES AND BONDS -- 3.4% Federal Home Loan Mortgage Corp. (FHLMC): 500,000 Medium-Term Notes, 2.900% due 2/27/19 (d)....................... 496,430 Reference Notes: 6,000,000 2.125% due 11/15/05........................................... 5,964,216 500,000 4.875% due 11/15/13........................................... 490,933 2,100,000 4.500% due 1/15/14............................................ 1,999,570 1,000,000 Federal National Mortgage Association (FNMA), Benchmark Notes, 1.750% due 6/16/06............................. 976,690 - -------------------------------------------------------------------------------------------------- 9,927,839 - --------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 13 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 MANAGED ASSETS TRUST
FACE AMOUNT SECURITY VALUE - -------------------------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY MORTGAGE PASS-THROUGHS -- 0.7% Federal National Mortgage Association (FNMA): $ 1,807 8.500% due 3/1/05........................................ $ 1,857 618,850 6.000% due 1/1/13........................................ 647,072 61,985 6.500% due 12/1/27....................................... 64,832 154,679 6.000% due 3/1/28........................................ 158,738 42,253 6.000% due 4/1/28........................................ 43,384 119,672 6.000% due 5/1/28........................................ 122,814 190,672 6.000% due 6/1/28........................................ 195,676 118,302 6.000% due 7/1/28........................................ 121,408 425,736 5.500% due 8/1/28........................................ 426,993 596,909 6.000% due 8/1/28........................................ 175,666 Government National Mortgage Association (GNMA): 24,506 9.000% due 11/15/19...................................... 27,660 7,343 9.500% due 1/15/20....................................... 8,307 9,689 7.500% due 5/15/23....................................... 10,500 - -------------------------------------------------------------------------------------------------- 2,004,907 - -------------------------------------------------------------------------------------------------- TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost -- $11,883,353)...................................... 11,932,746 - -------------------------------------------------------------------------------------------------- FACE AMOUNT RATING(c) SECURITY VALUE - ------------------------------------------------------------------------------------------------------- CORPORATE BONDS AND NOTES -- 12.7% - ------------------------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY -- 3.8% AUTOMOBILES -- 0.4% 1,000,000 A3* DaimlerChrylser North America Holding Corp., Notes, 8.500% due 1/18/31............................................... 1,152,211 - ------------------------------------------------------------------------------------------------------- MEDIA -- 3.4% 4,000,000 BBB- Clear Channel Communications, Inc., Sr. Notes, 6.625% due 6/15/08................................................... 4,286,744 2,000,000 BBB Comcast Cable Communications, Inc., Notes, 8.875% due 5/1/17.................................................... 2,443,672 800,000 BBB- Liberty Media Corp., Sr. Notes, 3.020% due 9/17/06 (d)...... 815,024 2,000,000 BBB+ Time Warner, Inc., Guaranteed Debentures, 7.625% due 4/15/31................................................... 2,170,730 - ------------------------------------------------------------------------------------------------------- 9,716,170 - ------------------------------------------------------------------------------------------------------- TOTAL CONSUMER DISCRETIONARY........................................... 10,868,381 - ------------------------------------------------------------------------------------------------------- CONSUMER STAPLES -- 0.4% FOOD AND DRUG RETAILING -- 0.2% 420,000 BBB Albertson's Inc., Sr. Notes, 8.000% due 5/1/31.............. 482,582 - ------------------------------------------------------------------------------------------------------- TOBACCO -- 0.2% 700,000 BBB Altria Group, Inc., Notes, 5.625% due 11/4/08............... 703,716 - ------------------------------------------------------------------------------------------------------- TOTAL CONSUMER STAPLES................................................. 1,186,298 - -------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 14 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 MANAGED ASSETS TRUST
FACE AMOUNT RATING(c) SECURITY VALUE - ------------------------------------------------------------------------------------------------------- ENERGY -- 0.4% OIL AND GAS -- 0.4% $ 300,000 BBB+ Anadarko Finance Co., Sr. Notes, Series B, 6.750% due 5/1/11.................................................... $ 330,417 200,000 A- Cooper Cameron Corp., Sr. Notes, 2.650% due 4/15/07......... 194,143 420,000 BBB Devon Energy Corp., Sr. Debentures, 7.950% due 4/15/32...... 486,614 - ------------------------------------------------------------------------------------------------------- TOTAL ENERGY................................................ 1,011,174 - ------------------------------------------------------------------------------------------------------- FINANCIALS -- 4.8% BANKS -- 0.7% 700,000 AA- ABN AMRO Bank NV, Sr. Notes, 1.250% due 5/11/07 (d)......... 701,300 1,000,000 A+ Fleet National Bank, Sub. Notes, 5.750% due 1/15/09......... 1,057,188 300,000 A1* Huntington National Bank, Sr. Notes, 4.650% due 6/30/09..... 301,126 - ------------------------------------------------------------------------------------------------------- 2,059,614 - ------------------------------------------------------------------------------------------------------- DIVERSIFIED FINANCIALS -- 1.8% 420,000 Baa2* Capital One Bank, Notes, 5.000% due 6/15/09................. 421,659 480,000 A Countrywide Home Loans, Inc., Medium-Term Notes, Series L, 4.000% due 3/22/11........................................ 448,342 300,000 A+ Credit Suisse First Boston (USA), Inc., Notes, 6.125% due 11/15/11.................................................. 316,226 1,000,000 BBB- Ford Motor Credit Co., Global Landmark Securities(TM), 7.000% due 10/1/13........................................ 1,011,169 1,000,000 A3* General Motors Acceptance Corp., Bonds, 8.000% due 11/1/31................................................... 1,027,465 400,000 A1* Goldman Sachs Capital I, Capital Securities, 6.345% due 2/15/34................................................... 376,835 500,000 A Lehman Brothers Holdings Inc., Medium-Term Notes, Series G, 4.800% due 3/13/14........................................ 468,363 600,000 A+ Merrill Lynch & Co., Inc., Medium-Term Notes, Series B, 3.375% due 9/14/07........................................ 594,428 500,000 A+ National Rural Utilities Cooperative Finance, Collateral Trust Bonds, 4.750% due 3/1/14............................ 481,150 - ------------------------------------------------------------------------------------------------------- 5,145,637 - ------------------------------------------------------------------------------------------------------- INSURANCE -- 0.6% 1,000,000 AA+ New York Life Global Funding, Notes, 5.375% due 9/15/13 (e)............................................... 1,005,795 600,000 AA Principal Life Global Funding I, Bonds, 6.125% due 10/15/33 (e).............................................. 590,867 - ------------------------------------------------------------------------------------------------------- 1,596,662 - ------------------------------------------------------------------------------------------------------- REAL ESTATE -- 1.7% 5,000,000 BBB- Nationwide Health Properties, Inc., Medium-Term Notes, Series C, 6.900% due 10/1/37.............................. 5,069,685 - ------------------------------------------------------------------------------------------------------- TOTAL FINANCIALS............................................ 13,871,598 - ------------------------------------------------------------------------------------------------------- HEALTHCARE -- 0.2% PHARMACEUTICALS -- 0.2% 500,000 A Wyeth, Notes, 6.500% due 2/1/34............................. 472,763 - ------------------------------------------------------------------------------------------------------- INDUSTRIALS -- 0.3% AEROSPACE/DEFENSE -- 0.2% 400,000 BBB Lockheed Martin Corp., Debentures, 8.500% due 12/1/29....... 503,227 - ------------------------------------------------------------------------------------------------------- ROAD AND RAIL -- 0.1% 420,000 BBB CSX Corp., Debentures, 7.950% due 5/1/27.................... 488,807 - ------------------------------------------------------------------------------------------------------- TOTAL INDUSTRIALS........................................... 992,034 - -------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 15 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 MANAGED ASSETS TRUST
FACE AMOUNT RATING(c) SECURITY VALUE - ------------------------------------------------------------------------------------------------------- MATERIALS -- 0.6% CONSTRUCTION SERVICES -- 0.1% $ 300,000 BBB- MDC Holdings, Inc., Sr. Notes, 5.500% due 5/15/13........... $ 291,286 - ------------------------------------------------------------------------------------------------------- CONTAINERS AND PACKAGING -- 0.1% 200,000 BBB Sealed Air Corp., Sr. Notes, 5.625% due 7/15/13 (e)......... 197,909 - ------------------------------------------------------------------------------------------------------- METALS AND MINING -- 0.2% 700,000 A- Alcan Inc., Notes, 6.125% due 12/15/33...................... 679,553 - ------------------------------------------------------------------------------------------------------- PAPER AND FOREST PRODUCTS -- 0.2% 560,000 BBB International Paper Co., Notes, 5.500% due 1/15/14.......... 549,225 - ------------------------------------------------------------------------------------------------------- TOTAL MATERIALS............................................. 1,717,973 - ------------------------------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES -- 1.1% DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.1% 800,000 BBB+ Deutsche Telekom International Finance BV, Bonds, 8.250% due 6/15/05................................................... 841,334 1,000,000 BBB+ France Telecom S.A., Sr. Notes, 9.500% due 3/1/31........... 1,258,595 300,000 BBB- Sprint Capital Corp., Notes, 8.750% due 3/15/32............. 350,586 900,000 BBB+ Telecom Italia Capital SA, Global Notes, 6.375% due 11/15/33 (e).............................................. 871,632 - ------------------------------------------------------------------------------------------------------- TOTAL TELECOMMUNICATION SERVICES............................ 3,322,147 - ------------------------------------------------------------------------------------------------------- UTILITIES -- 1.1% ELECTRIC UTILITIES -- 1.0% 2,000,000 BB- PSEG Energy Holdings LLC, Sr. Notes, 8.500% due 6/15/11..... 2,150,000 700,000 AA+ SP PowerAssets Ltd., Notes, 5.000% due 10/22/13 (e)......... 682,835 200,000 Baa2* TransAlta Corp., Sr. Notes, 5.750% due 12/15/13............. 198,385 - ------------------------------------------------------------------------------------------------------- 3,031,220 - ------------------------------------------------------------------------------------------------------- GAS UTILITIES -- 0.1% 300,000 A+ Southern California Gas Co., First Mortgage Bonds, Series II, 4.375% due 1/15/11.................................... 293,879 - ------------------------------------------------------------------------------------------------------- TOTAL UTILITIES............................................. 3,325,099 - ------------------------------------------------------------------------------------------------------- TOTAL CORPORATE BONDS AND NOTES (Cost -- $34,068,427)....... 36,767,467 - ------------------------------------------------------------------------------------------------------- CONVERTIBLE CORPORATE BONDS -- 6.2% - ------------------------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY -- 3.1% AUTO COMPONENTS -- 0.4% 25,000 BBB American Axle & Manufacturing Holdings, Inc., Sr. Notes, 2.000% due 2/15/24 (e).................................... 23,531 2,150,000 BBB- Lear Corp., Sr. Notes, zero coupon due 2/20/22.............. 1,101,875 - ------------------------------------------------------------------------------------------------------- 1,125,406 - ------------------------------------------------------------------------------------------------------- HOTELS, RESTAURANTS AND LEISURE -- 0.4% 660,000 BBB- Four Seasons Hotels Inc., Sr. Notes, 1.875% due 7/30/24..... 697,950 1,050,000 BB+ Royal Caribbean Cruises Ltd., Sr. LYO(TM)Ns, zero coupon due 2/2/21.................................................... 567,000 - ------------------------------------------------------------------------------------------------------- 1,264,950 - -------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 16 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 MANAGED ASSETS TRUST
FACE AMOUNT RATING(c) SECURITY VALUE - ------------------------------------------------------------------------------------------------------- MEDIA -- 1.1% Liberty Media Corp., Sr. Exchangeable Debentures: $ 500,000 BBB- 0.750% due 3/30/23 (e).................................... $ 573,125 650,000 BBB- 4.000% due 11/15/29....................................... 458,250 750,000 BBB- 3.500% due 1/15/31........................................ 680,625 1,500,000 BBB+ The Walt Disney Co., Sr. Notes, 2.125% due 4/15/23.......... 1,616,250 - ------------------------------------------------------------------------------------------------------- 3,328,250 - ------------------------------------------------------------------------------------------------------- MULTI-LINE RETAIL -- 0.6% J.C. Penney Co., Inc., Sub. Notes: 650,000 BB- 5.000% due 10/15/08 (e)................................... 872,625 550,000 BB- 5.000% due 10/15/08....................................... 738,375 - ------------------------------------------------------------------------------------------------------- 1,611,000 - ------------------------------------------------------------------------------------------------------- SPECIALTY RETAIL -- 0.6% 200,000 BB+ Best Buy Co., Inc., Sub. Debentures, 2.250% due 1/15/22 (e)............................................... 208,250 1,000,000 BB+ The Gap, Inc., Sr. Notes, 5.750% due 3/15/09................ 1,560,000 - ------------------------------------------------------------------------------------------------------- 1,768,250 - ------------------------------------------------------------------------------------------------------- TOTAL CONSUMER DISCRETIONARY................................ 9,097,856 - ------------------------------------------------------------------------------------------------------- ENERGY -- 1.3% ENERGY EQUIPMENT AND SERVICES -- 1.3% 175,000 A- Cooper Cameron Corp., Sr. Debentures, 1.500% due 5/15/24 (e)............................................... 174,563 1,215,000 A Diamond Offshore Drilling Inc., Sr. Debentures, 1.500% due 4/15/31................................................... 1,129,950 Global Marine Inc., Debentures: 300,000 A- Zero coupon due 6/23/20 (e)............................... 175,125 1,000,000 A- Zero coupon due 6/23/20................................... 583,750 500,000 BBB Halliburton Co., Sr. Notes, 3.125% due 7/15/23 (e).......... 537,500 100,000 B Hanover Compressor Co., Sr. Notes, 4.750% due 3/15/08....... 93,375 900,000 A+ Schlumberger Ltd., Sr. Notes, 1.500% due 6/1/23............. 957,375 - ------------------------------------------------------------------------------------------------------- TOTAL ENERGY................................................ 3,651,638 - ------------------------------------------------------------------------------------------------------- FINANCIALS -- 0.8% DIVERSIFIED FINANCIALS -- 0.3% 1,662,000 A+ Merrill Lynch & Co., Inc., LYO(TM)Ns, zero coupon due 5/23/31................................................... 916,177 - ------------------------------------------------------------------------------------------------------- INSURANCE -- 0.5% 2,150,000 AAA American International Group Inc., Sr. Debentures, zero coupon due 11/9/31........................................ 1,421,688 - ------------------------------------------------------------------------------------------------------- TOTAL FINANCIALS............................................ 2,337,865 - ------------------------------------------------------------------------------------------------------- HEALTHCARE -- 0.5% HEALTHCARE PROVIDERS AND SERVICES -- 0.4% Health Management Associates, Inc., Sr. Sub. Notes: 200,000 BBB+ 1.500% due 8/1/23......................................... 210,750 800,000 BBB+ 1.500% due 8/1/23 (e)..................................... 843,000 - ------------------------------------------------------------------------------------------------------- 1,053,750 - -------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 17 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 MANAGED ASSETS TRUST
FACE AMOUNT RATING(c) SECURITY VALUE - ------------------------------------------------------------------------------------------------------- PHARMACEUTICALS -- 0.1% $ 250,000 A Allergan, Inc., Sr. Notes, zero coupon due 11/6/22 (e)...... $ 266,250 140,000 BBB- Watson Pharmaceuticals, Inc., Sr. Debentures, 1.750% due 3/15/23 (e)............................................... 132,825 - ------------------------------------------------------------------------------------------------------- 399,075 - ------------------------------------------------------------------------------------------------------- TOTAL HEALTHCARE............................................ 1,452,825 - ------------------------------------------------------------------------------------------------------- INFORMATION TECHNOLOGY -- 0.4% ELECTRONIC EQUIPMENT AND INSTRUMENTS -- 0.1% 440,000 BBB- Arrow Electronics, Inc., Sr. Debentures, zero coupon due 2/21/21................................................... 235,400 - ------------------------------------------------------------------------------------------------------- IT CONSULTING & SERVICES -- 0.3% 955,000 BBB- Electronic Data Systems Corp., Sr. Notes, 3.875% due 7/15/23................................................... 921,575 - ------------------------------------------------------------------------------------------------------- TOTAL INFORMATION TECHNOLOGY................................ 1,156,975 - ------------------------------------------------------------------------------------------------------- MATERIALS -- 0.0% METALS AND MINING -- 0.0% 50,000 BBB+ Placer Dome Inc., Sr. Notes, 2.750% due 10/15/23 (a)........ 56,750 - ------------------------------------------------------------------------------------------------------- UTILITIES -- 0.1% ELECTRIC UTILITIES -- 0.1% 250,000 BBB PPL Energy Supply LLC, Sr. Notes, 2.625% due 5/15/23 (e).... 258,750 - ------------------------------------------------------------------------------------------------------- TOTAL CONVERTIBLE CORPORATE BONDS (Cost -- $16,314,435)..... 18,012,659 - ------------------------------------------------------------------------------------------------------- SOVEREIGN DEBT -- 0.2% - ------------------------------------------------------------------------------------------------------- CANADA -- 0.2% 500,000 AAA Canada Mortgage and Housing Corp., Notes, 3.375% due 12/1/08 (Cost -- $498,817).......................................... 491,506 - ------------------------------------------------------------------------------------------------------- ASSET-BACKED SECURITIES -- 2.1% 500,000 AAA Chase Funding Mortgage Loan, Series 2002-2, Class 1A5, 5.833% due 4/25/32........................................ 520,556 337,585 AAA Delta Funding Mortgage Corp., Series 1987-1, 9.250% due 1/2/07.................................................... 239,685 5,000,000 AAA PP&L Transition Bond Co. LLC, Series 1999-1, Class A7, 7.050% due 6/25/09........................................ 5,419,846 - ------------------------------------------------------------------------------------------------------- TOTAL ASSET-BACKED SECURITIES (Cost -- $5,859,484).......... 6,180,087 - ------------------------------------------------------------------------------------------------------- COLLATERALIZED MORTGAGE OBLIGATIONS -- 1.5% Bank of America Commercial Mortgage Inc.: 500,000 AAA Series 2004-2, Class A5, 4.580% due 11/10/38.............. 472,653 400,000 AAA Series 2004-3, Class A4, 5.176% due 6/10/39............... 402,001 500,000 AAA CS First Boston Mortgage Securities Corp., Series 2003-C5, Class A4, 4.900% due 12/15/36............................. 485,540 LB-UBS Commercial Mortgage Trust: 2,000,000 AAA Series 2003-C3, Class A2, 3.086% due 5/15/27.............. 1,923,624 1,000,000 AAA Series 2004-C2, Class A4, 4.367% due 3/15/36.............. 930,173 - ------------------------------------------------------------------------------------------------------- TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost -- $4,336,046)........................................ 4,213,991 - ------------------------------------------------------------------------------------------------------- SUB-TOTAL INVESTMENTS (Cost -- $268,220,872)................ 288,938,547 - -------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 18 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 MANAGED ASSETS TRUST
FACE AMOUNT SECURITY VALUE - -------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS -- 0.3% - -------------------------------------------------------------------------------------------------- U.S. TREASURY BILLS -- 0.3% $ 721,000 U.S. Treasury Bills, due 8/26/04 (Cost -- $719,693)......... $ 719,693 - -------------------------------------------------------------------------------------------------- REPURCHASE AGREEMENT -- 0.0% 74,000 State Street Bank and Trust Co. dated 6/30/04, 1.150% due 7/1/04; Proceeds at maturity -- $74,002; (Fully collateralized by U.S. Treasury Bonds, 8.125% due 8/15/19; Market value -- $79,990) (Cost -- $74,000)................ 74,000 - -------------------------------------------------------------------------------------------------- TOTAL SHORT-TERM INVESTMENTS (Cost -- $793,693)............. 793,693 - -------------------------------------------------------------------------------------------------- TOTAL INVESTMENTS -- 100.0% (Cost -- $269,014,565**)........ $289,732,240 - --------------------------------------------------------------------------------------------------
(a) Non-income producing security. (b) Security is issued with attached warrants. (c) All ratings are by Standard & Poor's Ratings Service, except for those that are identified by an asterisk (*), which are rated by Moody's Investors Service. (d) Variable rate security. (e) 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. These securities have been deemed liquid pursuant to guidelines established by the Board of Trustees. ** Aggregate cost for Federal income tax purposes is substantially the same. Abbreviations used in this schedule:
HIGH -- Remarketable Term Income Deferrable Equity TIDES(SM) Securities(SM) -- Service Mark of CS First Boston Corp. LYO(TM)Ns -- Liquid Yield Option(TM) Notes -- Trademark of Merrill Lynch & Co., Inc. PHONES(SM) -- Participation Hybrid Option Note Exchangeable Securities(SM) -- Service Mark of Merrill Lynch & Co., Inc. PIERS(SM) -- Preferred Income Equity Redeemable Securities(SM) -- Service Mark of Merrill Lynch & Co., Inc. PRIDES(SM) -- Perpetual Redeemable Income Debt, Exchangeable for Stock(SM) -- Service Mark of Merrill Lynch & Co., Inc. QUIPS(SM) -- Quarterly Income Preferred Securities(SM) -- Service Mark of Goldman Sachs & Co.
SEE NOTES TO FINANCIAL STATEMENTS. 19 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 HIGH YIELD BOND TRUST
FACE AMOUNT RATING(a) SECURITY VALUE - -------------------------------------------------------------------------------------------------- CORPORATE BONDS AND NOTES -- 80.9% - -------------------------------------------------------------------------------------------------- AEROSPACE/DEFENSE -- 1.1% $ 75,000 B Argo-Tech Corp., Sr. Notes, 9.250% due 6/1/11 (b)........... $ 77,625 475,000 B- BE Aerospace, Inc., Sr. Sub. Notes, Series B, 8.875% due 5/1/11.................................................... 444,125 500,000 CCC+ Hexcel Corp., Sr. Sub. Notes, 9.750% due 1/15/09............ 526,875 - -------------------------------------------------------------------------------------------------- 1,048,625 - -------------------------------------------------------------------------------------------------- AIRLINES -- 0.5% 1,150,000 CCC Delta Air Lines, Inc., Notes, 8.300% due 12/15/29........... 483,000 - -------------------------------------------------------------------------------------------------- AUTOMOTIVE -- 3.6% Collins & Aikman Products Co., Sr. Sub. Notes: 500,000 B- 11.500% due 4/15/06....................................... 495,000 500,000 B- 10.750% due 12/31/11...................................... 505,000 325,000 B Intermet Corp., Sr. Notes, 9.750% due 6/15/09............... 294,125 1,150,000 B Metaldyne Corp., Sr. Sub. Notes, 11.000% due 6/15/12........ 983,250 575,000 B- RJ Tower Corp., Sr. Notes, 12.000% due 6/1/13............... 553,438 500,000 B- Tenneco Automotive Inc., Sr. Notes, 11.625% due 10/15/09.... 540,000 - -------------------------------------------------------------------------------------------------- 3,370,813 - -------------------------------------------------------------------------------------------------- BROADCASTING -- 0.5% 200,000 BBB- Chancellor Media Corp., Sr. Notes, 8.000% due 11/1/08....... 227,269 250,000 CCC Granite Broadcasting Corp., Sr. Secured Notes, 9.750% due 12/1/10 (b)............................................... 233,750 - -------------------------------------------------------------------------------------------------- 461,019 - -------------------------------------------------------------------------------------------------- BUILDING/CONSTRUCTION -- 1.6% Armstrong World Industries, Inc., Sr. Notes: 475,000 NR 6.500% due 8/15/05 (c).................................... 292,125 175,000 NR 7.450% due 5/15/29 (c).................................... 106,313 KB Home: 425,000 BB+ Sr. Notes, 6.375% due 8/15/11 (b)......................... 422,875 Sr. Sub. Notes: 125,000 BB- 8.625% due 12/15/08.................................... 135,000 325,000 BB- 9.500% due 2/15/11..................................... 359,938 225,000 B William Lyon Homes, Inc., Sr. Notes, 10.750% due 4/1/13..... 249,750 - -------------------------------------------------------------------------------------------------- 1,566,001 - -------------------------------------------------------------------------------------------------- BUSINESS SERVICES -- 0.7% 525,000 B+ Danka Business Systems PLC, Sr. Notes, 11.000% due 6/15/10................................................... 548,625 125,000 B- Vertis, Inc., Sr. Notes, Series B, 10.875% due 6/15/09...... 135,000 - -------------------------------------------------------------------------------------------------- 683,625 - -------------------------------------------------------------------------------------------------- CABLE -- 7.9% Adelphia Communications Corp., Sr. Notes: 875,000 NR 10.250% due 6/15/11 (c)................................... 901,250 Series B: 725,000 NR 8.375% due 2/1/08 (c).................................. 712,313 250,000 NR 8.125% due 12/31/49 (c)................................ 243,750 1,200,000 CCC- CCO Holdings, LLC/CCO Holdings Capital Corp., Sr. Notes, 8.750% due 11/15/13 (b)................................... 72,188
SEE NOTES TO FINANCIAL STATEMENTS. 20 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 HIGH YIELD BOND TRUST
FACE AMOUNT RATING(a) SECURITY VALUE - -------------------------------------------------------------------------------------------------- CABLE -- 7.9% (CONTINUED) Charter Communications Holdings, LLC/Charter Communications Holdings Capital Corp: Sr. Discount Notes: $ 550,000 CCC- Step bond to yield 9.920% due 4/1/11................. $ 437,250 1,250,000 CCC- Step bond to yield 18.487% due 5/15/11............... 815,625 100,000 B- Sr. Notes, 8.375% due 4/30/14 (b)...................... 97,250 1,200,000 BB- CSC Holdings Inc., Sr. Notes, Series B, 7.625% due 4/1/11... 1,209,000 100,000 NR Frontiervision Holdings LP, Sr. Discount Notes, 11.875% due 9/15/07 (c)............................................... 124,500 725,000 B+ Insight Midwest, L.P./Insight Capital, Inc., Sr. Notes, 9.750% due 10/1/09........................................ 768,500 125,000 B Kabel Deutschland GmbH, Sr. Notes, 10.625% due 7/1/14 (b)... 129,062 1,350,000 B+ Mediacom LLC/Mediacom Capital Corp., Sr. Notes, 9.500% due 1/15/13................................................... 1,309,500 375,000 BB+ Shaw Communications Inc., Sr. Notes, 7.250% due 4/6/11...... 391,020 175,000 B- Telenet Communications NV, Sr. Notes, 9.000% due 12/15/13 (b)....................................................... 214,233 - -------------------------------------------------------------------------------------------------- 7,425,441 - -------------------------------------------------------------------------------------------------- CHEMICALS -- 7.4% 325,000 BBB- Georgia Gulf Corp., Notes, 7.625% due 11/15/05.............. 342,875 475,000 CCC+ Huntsman ICI Chemicals LLC, Sr. Sub. Notes, 10.125% due 7/1/09.................................................... 486,875 450,000 B- Huntsman International LLC, Sr. Notes, 9.875% due 3/1/09.... 488,250 Lyondell Chemical Co.: 450,000 B+ Sr. Notes, Series B, 9.875% due 5/1/07.................... 472,500 825,000 B- Sr. Sub. Notes, 10.875% due 5/1/09........................ 866,250 1,500,000 BB- Millennium America Inc., Sr. Notes, 7.000% due 11/15/06..... 1,548,750 Nalco Co.: 75,000 B- Sr. Notes, 7.750% due 11/15/11 (b)........................ 78,937 125,000 B- Sr. Sub. Notes, 8.875% due 11/15/13 (b)................... 131,563 125,000 BB+ NOVA Chemicals Corp., Sr. Notes, 6.500% due 1/15/12......... 123,750 PolyOne Corp., Sr. Notes: 200,000 B+ 10.625% due 5/15/10....................................... 213,000 50,000 B+ 8.875% due 5/1/12......................................... 49,500 Resolution Performance Products LLC/RPP Capital Corp.: 225,000 B+ Sr. Secured Notes, 8.000% due 12/15/09.................... 234,563 400,000 B- Sr. Second Secured Notes, 9.500% due 4/15/10.............. 414,000 Rhodia SA: 750,000 CCC+ Sr. Notes, 7.625% due 6/1/10 (b).......................... 682,500 425,000 CCC+ Sr. Sub. Notes, 8.875% due 6/1/11 (b)..................... 361,250 475,000 BBB- Union Carbide Corp., Debentures, 6.790% due 6/1/25.......... 482,125 - -------------------------------------------------------------------------------------------------- 6,976,688 - -------------------------------------------------------------------------------------------------- CONSUMER PRODUCTS & SERVICES -- 2.0% 50,000 B+ Adesa, Inc., Sr. Sub. Notes, 7.625% due 6/15/12............. 50,688 675,000 NR Alderwoods Group, Inc., Sr. Notes, 12.250% due 1/2/09....... 749,250 450,000 CCC- Home Products International, Inc., Sr. Sub. Notes, 9.625% due 5/15/08........................................ 369,000 525,000 CCC+ Playtex Products, Inc., Sr. Sub. Notes, 9.375% due 6/1/11... 513,187 225,000 B- Sealy Mattress Co., Sr. Sub. Notes, 8.250% due 6/15/14 (b)....................................................... 227,250 - -------------------------------------------------------------------------------------------------- 1,909,375 - --------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 21 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 HIGH YIELD BOND TRUST
FACE AMOUNT RATING(a) SECURITY VALUE - -------------------------------------------------------------------------------------------------- ENERGY -- 3.6% $ 150,000 CCC+ Belden & Blake Corp., Sr. Sub. Notes, Series B, 9.875% due 6/15/07........................................ $ 154,125 650,000 B El Paso Production Holding Co., Sr. Notes, 7.750% due 6/1/13.................................................... 599,625 50,000 B Encore Acquisition Co., Sr. Sub. Notes, 6.250% due 4/15/14 (b)....................................................... 47,250 50,000 BB- Evergreen Resources, Inc., Sr. Sub. Notes, 5.875% due 3/15/12 (b)............................................... 50,750 150,000 BB- Forest Oil Corp., Sr. Notes, 8.000% due 12/15/11............ 161,625 300,000 B Key Energy Services, Inc., Sr. Notes, Series C, 8.375% due 3/1/08.................................................... 312,000 325,000 BB Pogo Producing Co., Sr. Sub. Notes, Series B, 8.250% due 4/15/11................................................... 357,500 Pride International, Inc., Sr. Notes: 150,000 BB- 10.000% due 6/1/09........................................ 159,000 125,000 BB- 7.375% due 7/15/14 (b).................................... 126,875 225,000 B- Seitel, Inc., Sr. Notes, 11.750% due 7/15/11 (b)............ 226,125 Tesoro Petroleum Corp.: 125,000 BB Sr. Secured Notes, Series B, 8.000% due 4/15/08........... 134,375 225,000 B Sr. Sub. Notes, 9.625% due 4/1/12......................... 253,687 775,000 BB- USEC Inc., Sr. Notes, 6.625% due 1/20/06.................... 771,125 - -------------------------------------------------------------------------------------------------- 3,354,062 - -------------------------------------------------------------------------------------------------- EQUIPMENT RENTAL -- 1.2% 150,000 BB- NationsRent, Inc., Sr. Secured Notes, 9.500% due 10/15/10 (b)....................................................... 160,500 Williams Scotsman, Inc.: 850,000 B- Sr. Notes, 9.875% due 6/1/07.............................. 847,875 75,000 B+ Sr. Secured Notes, 10.000% due 8/15/08.................... 82,125 - -------------------------------------------------------------------------------------------------- 1,090,500 - -------------------------------------------------------------------------------------------------- FABRICATED GLASS, PLASTIC & FIBER -- 2.4% Crown Cork & Seal Co. Inc.: 850,000 B Debentures, 7.375% due 12/15/26........................... 709,750 75,000 B Notes, 7.000% due 12/15/06................................ 76,500 150,000 B Crown European Holdings SA, Third Priority Sr. Secured Notes, 10.875% due 3/1/13................................. 171,750 350,000 B Jefferson Smurfit Corp., Notes, 8.250% due 10/1/12.......... 365,750 Owens-Brockway Glass Container, Inc., Sr. Secured Notes: 575,000 BB- 8.875% due 2/15/09........................................ 623,875 300,000 BB- 7.750% due 5/15/11........................................ 313,500 - -------------------------------------------------------------------------------------------------- 2,261,125 - -------------------------------------------------------------------------------------------------- FINANCE -- 0.6% 550,000 B- BCP Caylux Holdings, Luxembourg SCA, Sr. Sub. Notes, 9.625% due 6/15/14 (b).................................... 572,688 - -------------------------------------------------------------------------------------------------- FOOD/BEVERAGE/TOBACCO -- 0.3% 50,000 B Land O'Lakes Inc., Sr. Secured Notes, 9.000% due 12/15/10 (b)....................................................... 52,312 50,000 B+ Swift & Co., Sr. Notes, 10.125% due 10/1/09................. 53,625 150,000 B+ The Wornick Co., Sr. Second Secured Notes, 10.875% due 7/15/11 (b)............................................... 154,125 - -------------------------------------------------------------------------------------------------- 260,062 - --------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 22 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 HIGH YIELD BOND TRUST
FACE AMOUNT RATING(a) SECURITY VALUE - -------------------------------------------------------------------------------------------------- FREIGHT/CONTAINERS/SHIPPING -- 1.1% $ 200,000 NR Atlas Air, Inc., Sr. Notes, 10.750% due 8/1/05 (c).......... $ 95,000 200,000 B CHC Helicopter Corp., Sr. Sub. Notes, 7.375% due 5/1/14 (b)....................................................... 197,500 450,000 CCC- Evergreen International Aviation, Inc., Sr. Second Secured Notes, 12.000% due 5/15/10................................ 281,250 475,000 B2* TFM, S.A. de C.V., Sr. Notes, 12.500% due 6/15/12........... 508,250 - -------------------------------------------------------------------------------------------------- 1,082,000 - -------------------------------------------------------------------------------------------------- GAMING -- 4.8% Aztar Corp., Sr. Sub. Notes: 675,000 B+ 8.875% due 5/15/07........................................ 700,852 275,000 B+ 7.875% due 6/15/14 (b).................................... 279,125 175,000 B+ Boyd Gaming Corp., Sr. Sub. Notes, 6.750% due 4/15/14 (b)... 165,813 275,000 BB+ Harrah's Operating Co., Inc., Sr. Sub. Notes, 7.875% due 12/15/05.................................................. 291,156 275,000 B Isle of Capri Casinos, Inc., Sr. Sub. Notes, 7.000% due 3/1/14 (b)................................................ 256,437 475,000 BB- MGM Mirage Inc., Notes, 8.375% due 2/1/11................... 498,750 Park Place Entertainment Corp., Sr. Sub. Notes: 325,000 BB- 7.875% due 12/15/05....................................... 342,469 800,000 BB- 7.875% due 3/15/10........................................ 848,000 52,000 CCC+ Pinnacle Entertainment, Inc., Sr. Sub. Notes, Series B, 9.250% due 2/15/07........................................ 53,560 525,000 B Resorts International Hotel and Casino, Inc., First Mortgage Notes, 11.500% due 3/15/09................................ 595,875 Station Casinos, Inc.: 200,000 BB- Sr. Notes, 6.000% due 4/1/12.............................. 194,500 50,000 B+ Sr. Sub. Notes, 6.500% due 2/1/14......................... 48,375 200,000 B Sun International Hotels Ltd., Sr. Sub. Notes, 8.875% due 8/15/11................................................... 214,500 - -------------------------------------------------------------------------------------------------- 4,489,412 - -------------------------------------------------------------------------------------------------- HEALTHCARE -- 3.2% 375,000 B- Alliance Imaging Inc., Sr. Sub. Notes, 10.375% due 4/15/11................................................... 394,687 650,000 NR HEALTHSOUTH Corp., Sr. Notes, 7.625% due 6/1/12............. 615,875 525,000 B Radiologix, Inc., Notes, Series B, 10.500% due 12/15/08..... 553,875 Tenet Healthcare Corp., Sr. Notes: 150,000 BB- 7.375% due 2/1/13......................................... 136,500 1,675,000 BB- 6.875% due 11/15/31....................................... 1,323,250 - -------------------------------------------------------------------------------------------------- 3,024,187 - -------------------------------------------------------------------------------------------------- INDUSTRIAL PRODUCTS -- 3.1% 100,000 CCC+ Ames True Temper Inc., Sr. Sub. Notes, 10.000% due 7/15/12 (b)....................................................... 100,750 550,000 CCC- BGF Industries, Inc., Sr. Sub. Notes, Series B, 10.250% due 1/15/09................................................... 511,500 375,000 BB- Case New Holland, Inc., Sr. Notes, 9.250% due 8/1/11 (b).... 395,625 Foamex L.P., Sr. Sub. Notes: 250,000 CCC+ 13.500% due 8/15/05....................................... 251,250 400,000 CCC+ 9.875% due 6/15/07........................................ 342,000 1,025,000 B- The Goodyear Tire & Rubber Co., Notes, 7.857% due 8/15/11... 940,437 275,000 B- MAAX Corp., Sr. Sub. Notes, 9.750% due 6/15/12 (b).......... 284,625 50,000 BB- Trinity Industries, Inc., Sr. Notes, 6.500% due 3/15/14 (b)....................................................... 46,000 100,000 B+ Wolverine Tube, Inc., Sr. Notes, Series B, 10.500% due 4/1/09.................................................... 110,000 - -------------------------------------------------------------------------------------------------- 2,982,187 - --------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 23 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 HIGH YIELD BOND TRUST
FACE AMOUNT RATING(a) SECURITY VALUE - -------------------------------------------------------------------------------------------------- LODGING AND LEISURE -- 5.6% Felcor Lodging LP, Sr. Notes: $ 185,000 B- 10.000% due 9/15/08....................................... $ 196,100 200,000 B- 9.000% due 6/1/11......................................... 207,500 334,000 B+ HMH Properties, Inc., Sr. Notes, Series B, 7.875% due 8/1/08.................................................... 344,020 650,000 BB+ ITT Corp., Notes, 6.750% due 11/15/05....................... 672,750 50,000 BB K2 Inc., Sr. Notes, 7.375% due 7/1/14 (b)................... 51,125 MeriStar Hospitality Corp., Sr. Notes: 125,000 CCC+ 9.000% due 1/15/08........................................ 126,875 725,000 CCC+ 9.125% due 1/15/11........................................ 735,875 1,625,000 BB+ Royal Caribbean Cruises Ltd., Sr. Debentures, 7.500% due 10/15/27.................................................. 1,527,500 1,350,000 B- Six Flags Inc., Sr. Notes, 9.750% due 4/15/13............... 1,363,500 100,000 B+ Steinway Musical Instruments, Inc., Sr. Notes, 8.750% due 4/15/11................................................... 108,500 - -------------------------------------------------------------------------------------------------- 5,333,745 - -------------------------------------------------------------------------------------------------- METAL/MINING -- 2.4% 1,525,000 B+ AK Steel Corp., Sr. Notes, 7.750% due 6/15/12............... 1,383,937 300,000 BB IPSCO Inc., Sr. Notes, 8.750% due 6/1/13.................... 336,000 504,000 BB- U.S. Steel LLC, Sr. Notes, 10.750% due 8/1/08............... 578,340 - -------------------------------------------------------------------------------------------------- 2,298,277 - -------------------------------------------------------------------------------------------------- MOTION PICTURES -- 1.0% AMC Entertainment Inc., Sr. Sub. Notes: 360,000 CCC+ 9.500% due 2/1/11......................................... 376,200 375,000 CCC+ 8.000% due 3/1/14 (b)..................................... 360,000 325,000 B- Cinemark, Inc., Sr. Discount Notes, step bond to yield 9.743% due 3/15/14 (b).................................... 213,687 - -------------------------------------------------------------------------------------------------- 949,887 - -------------------------------------------------------------------------------------------------- PAPER/FORESTRY PRODUCTS -- 3.4% 425,000 D Doman Industries Ltd., Sr. Notes, 12.000% due 7/1/04 (c).... 422,875 750,000 BB+ Fort James Corp., Sr. Notes, 6.875% due 9/15/07............. 791,250 300,000 BB+ Georgia-Pacific Corp., Sr. Notes, 9.375% due 2/1/13......... 345,000 75,000 BB Norske Skog Canada Ltd., Sr. Notes, 7.375% due 3/1/14 (b)... 72,938 1,600,000 BB- Tembec Inc., Sr. Notes, 7.750% due 3/15/12.................. 1,552,000 - -------------------------------------------------------------------------------------------------- 3,184,063 - -------------------------------------------------------------------------------------------------- PRINTING/PUBLISHING -- 2.5% 275,000 B American Color Graphics, Inc., Sr. Second Secured Notes, 10.000% due 6/15/10....................................... 246,812 Dex Media, Inc.: 575,000 B Discount Notes, step bond to yield 8.560% due 11/15/13 (b)....................................................... 373,750 125,000 B Notes, 8.000% due 11/15/13 (b)............................ 120,625 700,000 BB- Houghton Mifflin Co., Notes, 7.200% due 3/15/11............. 738,500 900,000 B Primedia, Inc., Sr. Notes, 8.875% due 5/15/11 895,500 - -------------------------------------------------------------------------------------------------- 2,375,187 - --------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 24 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 HIGH YIELD BOND TRUST
FACE AMOUNT RATING(a) SECURITY VALUE - -------------------------------------------------------------------------------------------------- RETAIL -- 1.5% $ 380,000 BB+ J.C. Penney Co., Inc., Debentures, 8.125% due 4/1/27........ $ 416,100 250,000 B- The Pantry, Inc., Sr. Sub. Notes, 7.750% due 2/15/14........ 245,000 700,000 BB Saks Inc., Notes, 7.500% due 12/1/10........................ 731,500 - -------------------------------------------------------------------------------------------------- 1,392,600 - -------------------------------------------------------------------------------------------------- SUPERMARKETS & DISTRIBUTORS -- 2.0% 425,000 BB+ Delhaize America, Inc., Debentures, 9.000% due 4/15/31...... 469,419 750,000 B The Great Atlantic & Pacific Tea Co., Inc., Sr. Notes, 9.125% due 12/15/11....................................... 641,250 375,000 B Roundy's, Inc., Sr. Sub. Notes, Series B, 8.875% due 6/15/12................................................... 399,375 350,000 BB- Stater Bros. Holdings Inc., Sr. Notes, 8.125% due 6/15/12 (b)....................................................... 353,062 - -------------------------------------------------------------------------------------------------- 1,863,106 - -------------------------------------------------------------------------------------------------- TECHNOLOGY -- 1.7% 50,000 B1* Amkor Technology, Inc., Sr. Notes, 9.250% due 2/15/08....... 52,500 1,325,000 B Lucent Technologies, Inc., Debentures, 6.450% due 3/15/29... 1,030,188 100,000 B+ Solectron Corp., Sr. Notes, 9.625% due 2/15/09.............. 110,250 175,000 BBB- Thomas & Betts Corp., Sr. Notes, 7.250% due 6/1/13.......... 186,238 225,000 BB+ Unisys Corp., Sr. Notes, 8.125% due 6/1/06.................. 240,187 - -------------------------------------------------------------------------------------------------- 1,619,363 - -------------------------------------------------------------------------------------------------- TELECOMMUNICATIONS -- 6.3% 499,000 CCC Alamosa (Delaware), Inc., Sr. Discount Notes, step bond to yield 11.482% due 7/31/09................................. 484,030 50,000 CCC American Tower Corp., Notes, 9.375% due 2/1/09.............. 53,625 300,000 B3* American Tower Escrow Corp., Discount Notes, zero coupon bond to yield 10.240% due 8/1/08.......................... 220,500 141,314 Caa1* Calpoint Receivables Structured Trust 2001, Notes, 7.440% due 12/10/06 (b)................................... 142,374 700,000 CCC Centennial Communications Corp./Centennial Cellular Operating Co. LLC, Sr. Notes, 10.125% due 6/15/13......... 726,250 375,000 B- Cincinnati Bell Inc., Sr. Sub. Notes, 8.375% due 1/15/14.... 335,625 Dobson Communications Corp., Sr. Notes: 325,000 CCC+ 10.875% due 7/1/10........................................ 281,125 700,000 CCC+ 8.875% due 10/1/13........................................ 535,500 75,000 NR Horizon PCS, Inc., Sr. Discount Notes, step bond to yield 30.460% due 10/1/10 (c)................................... 26,250 MCI, Inc., Sr. Notes: 76,000 NR 5.908% due 5/1/07......................................... 73,910 76,000 NR 6.688% due 5/1/09......................................... 70,490 65,000 NR 7.735% due 5/1/14......................................... 58,338 Nextel Communications, Inc., Sr. Serial Redeemable Notes: 50,000 BB 9.375% due 11/15/09....................................... 53,687 125,000 BB 5.950% due 3/15/14........................................ 115,625 925,000 BB- Qwest Corp., Notes, 7.200% due 11/1/04...................... 936,562
SEE NOTES TO FINANCIAL STATEMENTS. 25 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 HIGH YIELD BOND TRUST
FACE AMOUNT RATING(a) SECURITY VALUE - -------------------------------------------------------------------------------------------------- TELECOMMUNICATIONS -- 6.3% (CONTINUED) Rural Cellular Corp.: $ 100,000 B- Sr. Secured Notes, 8.250% due 3/15/12 (b)................. $ 102,750 750,000 CCC Sr. Sub. Notes, 9.750% due 1/15/10........................ 684,375 550,000 B- Syniverse Technologies Inc., Notes, Series B 12.750% due 2/1/09........................................ 594,000 550,000 B- Triton PCS, Inc., Sr. Sub. Notes, 8.750% due 11/15/11....... 456,500 - -------------------------------------------------------------------------------------------------- 5,951,516 - -------------------------------------------------------------------------------------------------- TEXTILES/APPAREL -- 0.9% 850,000 CCC Levi Strauss & Co., Sr. Notes, 12.250% due 12/15/12......... 841,500 - -------------------------------------------------------------------------------------------------- UTILITIES -- 8.0% Allegheny Energy Supply Co. LLC, Secured Bonds: 158,293 B Series A, 10.250% due 11/15/07 (b)........................ 171,352 16,706 B Series B, 13.000% due 11/15/07 (b)........................ 17,124 600,000 B Calpine Corp., Sr. Secured Notes, 8.750% due 7/15/13 (b).... 495,000 375,000 B+ Calpine Generating Co., LLC, First Priority Secured Notes, 5.000% due 4/1/09 (b)(d).................................. 375,937 100,000 BBB- Consumers Energy Co., First Mortgage Bonds, 7.375% due 9/15/23................................................... 101,964 325,000 B- Dynegy Holdings Inc., Sr. Secured Notes, 10.125% due 7/15/13 (b)....................................................... 353,438 270,930 CCC+ El Paso CGP Co., Sr. Debentures, 6.700% due 2/15/27......... 255,352 1,100,000 CCC+ NGC Corp., Sr. Debentures, 7.125% due 5/15/18............... 863,500 Northwestern Corp., Notes: 575,000 D 7.875% due 3/15/07 (c).................................... 481,563 250,000 D 8.750% due 3/15/12 (c).................................... 209,375 Reliant Resources, Inc., Sr. Secured Notes: 150,000 B 9.250% due 7/15/10........................................ 160,875 425,000 B 9.500% due 7/15/13........................................ 460,062 275,000 CCC+ Sonat Inc., Notes, 6.625% due 2/1/08........................ 259,187 1,525,000 B- Southern Natural Gas Co., Notes, 7.350% due 2/15/31......... 1,372,500 375,000 B+ Transcontinental Gas Pipe Line Corp., Sr. Notes, Series B, 8.875% due 7/15/12........................................ 425,625 The Williams Cos., Inc., Notes: 650,000 B+ 6.625% due 11/15/04....................................... 659,750 850,000 B+ 7.125% due 9/1/11......................................... 867,000 - -------------------------------------------------------------------------------------------------- 7,529,604 - -------------------------------------------------------------------------------------------------- TOTAL CORPORATE BONDS AND NOTES (Cost -- $72,778,882)....... 76,379,658 - -------------------------------------------------------------------------------------------------- SHARES SECURITY VALUE - -------------------------------------------------------------------------------------------------- COMMON STOCK(E) -- 0.4% - -------------------------------------------------------------------------------------------------- AUTOMOTIVE -- 0.1% 4,812 Hayes Lemmerz International, Inc. .......................... 72,661 - -------------------------------------------------------------------------------------------------- CABLE -- 0.0% 1,057 Classic Holdco LLC.......................................... 34,500 - -------------------------------------------------------------------------------------------------- MANUFACTURING -- 0.0% 303 AGY Holding Corp. .......................................... 17,862 - --------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 26 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 HIGH YIELD BOND TRUST
SHARES SECURITY VALUE - -------------------------------------------------------------------------------------------------- TELECOMMUNICATIONS -- 0.3% 25,745 Dobson Communications Corp., Class A shares................. 83,929 9,809 MCI Inc. ................................................... 141,544 - -------------------------------------------------------------------------------------------------- 225,473 - -------------------------------------------------------------------------------------------------- TOTAL COMMON STOCK (Cost -- $973,553)....................... 350,496 - -------------------------------------------------------------------------------------------------- PREFERRED STOCK -- 0.6% - -------------------------------------------------------------------------------------------------- AUTOMOTIVE -- 0.0% 40 Hayes Lemmerz International Operating Co., 8.000% Cumulative Exchangeable, Series A.................. 2,837 - -------------------------------------------------------------------------------------------------- BROADCASTING -- 0.4% 350 Granite Broadcasting Corp., 12.750% Cumulative Exchangeable.............................................. 198,625 2,100 Paxson Communications Corp., 14.250% Cumulative Jr. Exchangeable.............................................. 184,537 - -------------------------------------------------------------------------------------------------- 383,162 - -------------------------------------------------------------------------------------------------- TELECOMMUNICATIONS -- 0.2% 284 Alamosa Holdings Inc., 7.500% Cumulative Exchangeable, Series B.................................................. 164,826 400 Dobson Communications Corp., 6.000% Cumulative Exchangeable, Series F (b).............................................. 39,018 - -------------------------------------------------------------------------------------------------- 203,844 - -------------------------------------------------------------------------------------------------- TOTAL PREFERRED STOCK (Cost -- $602,720).................... 589,843 - -------------------------------------------------------------------------------------------------- WARRANTS SECURITY VALUE - -------------------------------------------------------------------------------------------------- WARRANTS (e) -- 0.0% - -------------------------------------------------------------------------------------------------- TECHNOLOGY -- 0.0% 9,411 Viasystems Group, Inc., Expire 1/31/10...................... 0 - -------------------------------------------------------------------------------------------------- TELECOMMUNICATIONS -- 0.0% 275 Horizon PCS Inc., Expire 10/1/10 (b)........................ 0 - -------------------------------------------------------------------------------------------------- TOTAL WARRANTS (Cost -- $147,600)........................... 0 - -------------------------------------------------------------------------------------------------- SUB-TOTAL INVESTMENTS (Cost -- $74,502,755)................. 77,319,997 - --------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 27 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 HIGH YIELD BOND TRUST
FACE AMOUNT SECURITY VALUE - -------------------------------------------------------------------------------------------------- REPURCHASE AGREEMENT -- 18.1% $17,120,000 State Street Bank and Trust Co. dated 6/30/04, 1.150% due 7/1/04; Proceeds at maturity -- $17,120,547; (Fully collateralized by U.S. Treasury Bonds, 8.750% due 5/15/17; Market value -- $17,462,400) (Cost -- $17,120,000)..................................... $17,120,000 - -------------------------------------------------------------------------------------------------- TOTAL INVESTMENTS -- 100.0% (Cost -- $91,622,755**)......... $94,439,997 - --------------------------------------------------------------------------------------------------
(a) All ratings are by Standard & Poor's Ratings Service, except for those that are identified by an asterisk (*), which are rated by Moody's Investors Service. (b) Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be sold in transactions that are exempt from registration, normally to qualified institutional buyers. These securities have been deemed liquid pursuant to guidelines established by the Board of Trustees. (c) Security is currently in default. (d) Variable rate security. (e) Non-income producing security. ** Aggregate cost for Federal income tax purposes is substantially the same. See page 33 for definitions of ratings. SEE NOTES TO FINANCIAL STATEMENTS. 28 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 CAPITAL APPRECIATION FUND
SHARES SECURITY VALUE - ---------------------------------------------------------------------------------------- COMMON STOCK -- 97.6% - ---------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY -- 20.3% HOTELS, RESTAURANTS & LEISURE -- 0.4% 91,990 Outback Steakhouse, Inc. ................................... $ 3,804,706 - ---------------------------------------------------------------------------------------- INTERNET & CATALOG RETAIL -- 7.1% 425,500 Amazon.com, Inc.+........................................... 23,147,200 497,700 eBay Inc.+.................................................. 45,763,515 - ---------------------------------------------------------------------------------------- 68,910,715 - ---------------------------------------------------------------------------------------- MEDIA -- 4.5% 55,165 EchoStar Communications Corp., Class A Shares+.............. 1,696,324 1,549,745 XM Satellite Radio Holdings Inc., Class A Shares+........... 42,292,541 - ---------------------------------------------------------------------------------------- 43,988,865 - ---------------------------------------------------------------------------------------- MULTI-LINE RETAIL -- 2.0% 457,090 Kohl's Corp.+............................................... 19,325,765 - ---------------------------------------------------------------------------------------- SPECIALTY RETAIL -- 1.8% 385,180 Advance Auto Parts+......................................... 17,017,252 - ---------------------------------------------------------------------------------------- TEXTILES & APPAREL -- 4.5% 569,510 NIKE, Inc., Class B Shares.................................. 43,140,382 - ---------------------------------------------------------------------------------------- TOTAL CONSUMER DISCRETIONARY................................ 196,187,685 - ---------------------------------------------------------------------------------------- ENERGY -- 7.1% OIL & GAS -- 7.1% 800,500 Murphy Oil Corp. ........................................... 58,996,850 376,800 Suncor Energy, Inc. ........................................ 9,649,848 - ---------------------------------------------------------------------------------------- TOTAL ENERGY................................................ 68,646,698 - ---------------------------------------------------------------------------------------- FINANCIALS -- 13.6% BANKS -- 6.6% 390,650 Bank of America Corp. ...................................... 33,056,803 529,990 Wells Fargo & Co. .......................................... 30,331,328 - ---------------------------------------------------------------------------------------- 63,388,131 - ---------------------------------------------------------------------------------------- DIVERSIFIED FINANCIALS -- 5.9% 278,855 The Goldman Sachs Group, Inc. .............................. 26,256,987 770,320 SLM Corp. .................................................. 31,159,444 - ---------------------------------------------------------------------------------------- 57,416,431 - ---------------------------------------------------------------------------------------- INSURANCE -- 1.1% 3,697 Berkshire Hathaway, Inc., Class B Shares+................... 10,924,635 - ---------------------------------------------------------------------------------------- TOTAL FINANCIALS............................................ 131,729,197 - ----------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 29 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 CAPITAL APPRECIATION FUND
SHARES SECURITY VALUE - ---------------------------------------------------------------------------------------- HEALTHCARE -- 22.7% BIOTECHNOLOGY -- 8.1% 982,580 Genentech, Inc.+............................................ $ 55,220,996 113,155 Gilead Sciences, Inc.+...................................... 7,581,385 212,335 Invitrogen Corp.+........................................... 15,285,997 - ---------------------------------------------------------------------------------------- 78,088,378 - ---------------------------------------------------------------------------------------- HEALTHCARE PROVIDERS & SERVICES -- 9.1% 125,745 Anthem, Inc.+............................................... 11,261,722 1,100,920 UnitedHealth Group Inc. .................................... 68,532,270 68,795 WellPoint Health Networks, Inc.+............................ 7,705,728 - ---------------------------------------------------------------------------------------- 87,499,720 - ---------------------------------------------------------------------------------------- PHARMACEUTICALS -- 5.5% 403,595 Forest Laboratories, Inc.+.................................. 22,855,585 309,765 Roche Holding AG............................................ 30,682,051 - ---------------------------------------------------------------------------------------- 53,537,636 - ---------------------------------------------------------------------------------------- TOTAL HEALTHCARE............................................ 219,125,734 - ---------------------------------------------------------------------------------------- INDUSTRIALS -- 4.7% AEROSPACE & DEFENSE -- 1.1% 203,200 Lockheed Martin Corp. ...................................... 10,582,656 - ---------------------------------------------------------------------------------------- ELECTRICAL EQUIPMENT -- 1.9% 400,000 Energizer Holdings, Inc.+................................... 18,000,000 - ---------------------------------------------------------------------------------------- INDUSTRIAL CONGLOMERATES -- 1.7% 185,830 3M Co. ..................................................... 16,726,558 - ---------------------------------------------------------------------------------------- TOTAL INDUSTRIALS........................................... 45,309,214 - ---------------------------------------------------------------------------------------- INFORMATION TECHNOLOGY -- 23.8% COMMUNICATIONS EQUIPMENT -- 1.8% 233,220 QUALCOMM, Inc. ............................................. 17,020,396 - ---------------------------------------------------------------------------------------- COMPUTERS & PERIPHERALS -- 6.4% 1,031,120 Apple Computer, Inc.+....................................... 33,552,645 1,066,840 NVIDIA Corp.+............................................... 21,870,220 300,010 SanDisk Corp.+.............................................. 6,507,217 - ---------------------------------------------------------------------------------------- 61,930,082 - ---------------------------------------------------------------------------------------- INTERNET SOFTWARE & SERVICES -- 2.3% 612,520 Yahoo! Inc.+................................................ 22,252,852 - ---------------------------------------------------------------------------------------- SEMICONDUCTOR EQUIPMENT & PRODUCTS -- 8.2% 1,542,985 Applied Materials, Inc.+.................................... 30,273,366 531,450 KLA-Tencor Corp.+........................................... 26,243,001 952,795 Texas Instruments Inc. ..................................... 23,038,583 - ---------------------------------------------------------------------------------------- 79,554,950 - ----------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 30 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 CAPITAL APPRECIATION FUND
SHARES SECURITY VALUE - ---------------------------------------------------------------------------------------- SOFTWARE -- 5.1% 903,910 Electronic Arts Inc.+....................................... $ 49,308,290 - ---------------------------------------------------------------------------------------- TOTAL INFORMATION TECHNOLOGY................................ 230,066,570 - ---------------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES -- 5.4% WIRELESS TELECOMMUNICATION SERVICES -- 5.4% 1,241,040 Nextel Communications, Inc., Class A Shares+................ 33,086,126 708,250 Vodafone Group PLC.......................................... 1,550,415 804,640 Vodafone Group PLC, Sponsored ADR........................... 17,782,544 - ---------------------------------------------------------------------------------------- TOTAL TELECOMMUNICATION SERVICES............................ 52,419,085 - ---------------------------------------------------------------------------------------- TOTAL COMMON STOCK (Cost -- $696,633,839)................... 943,484,183 - ---------------------------------------------------------------------------------------- FACE AMOUNT SECURITY VALUE - ---------------------------------------------------------------------------------------- U.S. GOVERNMENT OBLIGATIONS -- 0.2% $ 2,195,000 U.S. Treasury Notes, 1.875% due 9/30/04 (Cost -- $2,200,144)...................................... 2,198,431 - ---------------------------------------------------------------------------------------- SUB-TOTAL INVESTMENTS (Cost -- $698,833,983)................ 945,682,614 - ---------------------------------------------------------------------------------------- REPURCHASE AGREEMENT -- 2.2% 21,386,000 State Street Bank & Trust Co. dated 6/30/04, 1.150% due 7/1/04; Proceeds at maturity -- $21,386,683; (Fully collateralized by U.S. Treasury Bonds, 8.125% due 8/15/19; Market value -- $21,817,327) (Cost -- $21,386,000)........ 21,386,000 - ---------------------------------------------------------------------------------------- TOTAL INVESTMENTS -- 100.0% (Cost -- $720,219,983*)......... $967,068,614 - ----------------------------------------------------------------------------------------
+ Non-income producing security. * Aggregate cost for Federal income tax purposes is substantially the same. Abbreviations used in this schedule: --------------------------------------- ADR -- American Depositary Receipt SEE NOTES TO FINANCIAL STATEMENTS. 31 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 MONEY MARKET PORTFOLIO
FACE ANNUALIZED AMOUNT SECURITY YIELD VALUE - ------------------------------------------------------------------------------------------------------ U.S. GOVERNMENT AND AGENCY INSTRUMENTALITIES -- 9.7% $20,468,000 Federal Home Loan Bank matures 7/16/04...................... 1.28% $ 20,457,879 12,725,000 Federal National Mortgage Association mature 7/21/04 to 3/29/05..................................................... 1.26 to 1.40 12,719,593 - ------------------------------------------------------------------------------------------------------ TOTAL U.S. GOVERNMENT AND AGENCY INSTRUMENTALITIES (Cost -- $33,177,472)....................................... 33,177,472 - ------------------------------------------------------------------------------------------------------ COMMERCIAL PAPER -- 90.3% 10,731,000 American Honda Finance Corp. mature 7/7/04 to 8/4/04........ 1.07 to 1.13 10,729,978 5,000,000 Amstel Funding Corp. matures 8/11/04........................ 1.11 4,993,679 16,893,000 Amsterdam Funding Corp. mature 7/6/04 to 7/7/04............. 1.08 to 1.11 16,890,063 3,125,000 Atomium Funding Corp. mature 7/1/04 to 7/7/04............... 1.14 to 1.15 3,124,617 17,470,000 BMW US Capital Corp. matures 7/7/04......................... 1.15 17,466,914 5,000,000 CIT Group Inc. matures 12/1/04.............................. 1.39 5,000,000 15,000,000 Coca-Cola Co. matures 7/14/04............................... 1.28 14,993,175 13,465,000 Coca-Cola Enterprises Inc. mature 7/1/04 to 7/19/04......... 1.04 to 1.18 13,461,654 13,145,000 Galleon Capital LLC mature 7/6/04 to 7/7/04................. 1.08 to 1.09 13,142,770 15,000,000 Goldman Sachs Group L.P. matures 7/12/04.................... 1.13 15,000,000 8,000,000 Hannover Funding Corp. matures 7/19/04...................... 1.26 7,994,960 3,000,000 HBOS Treasury Services PLC matures 8/2/04................... 1.18 2,996,853 11,700,000 Household Financial Corp. matures 7/8/04.................... 1.15 11,697,384 1,700,000 ING U.S. Funding LLC matures 7/2/04......................... 1.07 1,699,949 10,425,000 JP Morgan Chase mature 7/1/04 to 7/12/04.................... 1.05 to 1.07 10,423,226 4,018,000 Jupiter Securitization Corp. matures 7/12/04................ 1.19 4,016,539 5,000,000 Marsh & McLennan Cos. Inc. matures 7/26/04.................. 1.26 4,995,625 13,077,000 Merrill Lynch & Co., Inc. matures 7/1/04.................... 1.45 13,077,000 16,086,000 Morgan Stanley Dean Witter mature 7/1/04 to 7/21/04......... 1.06 to 1.25 16,076,365 17,400,000 Nestle Capital Corp. matures 7/1/04......................... 1.05 17,400,000 7,785,000 Nieuw Amsterdam matures 7/8/04.............................. 1.28 7,783,062 16,700,000 Norddeutsche Landesbank mature 7/8/04 to 7/15/04............ 1.08 to 1.11 16,695,987 12,590,000 Nordea North America Inc. matures 7/19/04................... 1.17 12,582,635 6,858,000 Preferred Receivable Funding matures 7/6/04................. 1.08 6,856,971 15,776,000 Province of Quebec mature 7/12/04 to 8/3/04................. 1.08 to 1.10 15,767,428 5,000,000 Receivables Capital Corp. matures 7/9/04.................... 1.18 4,998,689 7,900,000 Royal Bank of Scotland PLC matures 7/6/04................... 1.12 7,898,817 2,384,000 Sheffield Receivable Funding Corp. matures 7/9/04........... 1.17 2,383,412 5,100,000 ST Germain Holdings matures 7/8/04.......................... 1.22 5,098,790 8,070,000 Toronto Dominion Holdings matures 7/29/04................... 1.27 8,062,029 5,200,000 Toyota Motor Credit Corp. matures 7/13/04................... 1.08 5,198,128 4,700,000 UBS Finance Inc. matures 7/6/04............................. 1.10 4,699,282 4,197,000 Victory Receivable Corp. matures 7/6/04..................... 1.13 4,196,341 - ------------------------------------------------------------------------------------------------------ TOTAL COMMERCIAL PAPER (Cost -- $307,402,322)............... 307,402,322 - ------------------------------------------------------------------------------------------------------ TOTAL INVESTMENTS -- 100.0% (Cost -- $340,579,794*)......... $340,579,794 - ------------------------------------------------------------------------------------------------------
* Aggregate cost for Federal income tax purposes is substantially the same. SEE NOTES TO FINANCIAL STATEMENTS. 32 - -------------------------------------------------------------------------------- BOND RATINGS (UNAUDITED) The definitions of the applicable rating symbols are set forth below: Standard & Poor's Ratings Service ("Standard & Poor's") -- Ratings from "AA" to "CCC" may be modified by the addition of a plus (+) or a minus (-) sign to show relative standings within the major rating categories. AAA -- Bonds rated "AAA" have the highest rating assigned by Standard & Poor's. Capacity to pay interest and repay principal is extremely strong. AA -- Bonds rated "AA" have a very strong capacity to pay interest and repay principal and differs from the highest rated issue only in a small degree. A -- Bonds rated "A" have a strong capacity to pay interest and repay principal although it is somewhat more susceptible to the adverse effects of changes in circumstances and economic conditions than debt in higher rated categories. BBB -- Bonds rated "BBB" have an adequate capacity to pay interest and repay principal. Whereas they normally exhibit adequate protection parameters, adverse economic conditions or changing circumstances are more likely to lead to a weakened capacity to pay interest and repay principal for bonds in this category than for bonds in higher rated categories. BB, B -- Bonds rated "BB", "B", "CCC" and "CC" are regarded, on CCC and balance, as predominantly speculative with respect to CC capacity to pay interest and repay principal in accordance with the terms of the obligation. "BB" represents the lowest degree of speculation and "CC" the highest degree of speculation. While such bonds will likely have some quality and protective characteristics, these are outweighed by large uncertainties or major risk exposures to adverse conditions. C -- Bonds rated "C" are income bonds on which no interest is being paid. D -- Bonds rated "D" are in default, and payment of interest and/or repayment of principal is in arrears.
Moody's Investors Service ("Moody's") -- Numerical modifiers 1, 2, and 3 may be applied to each generic rating from "Aa" to "Caa", where 1 is the highest and 3 the lowest rating within its generic category. Aaa -- Bonds rated "Aaa" are judged to be of the best quality. They carry the smallest degree of investment risk and are generally referred to as "gilt edge." Interest payments are protected by a large or by an exceptionally stable margin and principal is secure. While the various protective elements are likely to change, such changes as can be visualized are most unlikely to impair the fundamentally strong position of such issues. Aa -- Bonds rated "Aa" are judged to be of high quality by all standards. Together with the "Aaa" group they comprise what are generally known as high grade bonds. They are rated lower than the best bonds because margins of protection may not be as large as in "Aaa" securities or fluctuation of protective elements may be of greater amplitude or there may be other elements present which make the long-term risks appear somewhat larger than in "Aaa" securities. A -- Bonds rated "A" are judged to have many favorable investment attributes and are to be considered as upper medium grade obligations. Factors giving security to principal and interest are considered adequate but elements may be present which suggest a susceptibility to impairment some time in the future. Baa -- Bonds rated "Baa" are considered to be medium grade obligations; that is, they are neither highly protected nor poorly secured. Interest payment and principal security appear adequate for the present but certain protective elements may be lacking or may be characteristically unreliable over any great length of time. These bonds lack outstanding investment characteristics and may have speculative characteristics as well. Ba -- Bonds rated "Ba" are judged to have speculative elements; their future cannot be considered as well assured. Often the protection of interest and principal payments may be very moderate and thereby not well safeguarded during both good and bad times over the future. Uncertainty of position characterizes bonds in this class. B -- Bonds rated "B" generally lack characteristics of desirable investments. Assurance of interest and principal payments or of maintenance of other terms of the contract over any long period of time may be small. Caa -- Bonds rated "Caa" are of poor standing. These issues may be in default, or present elements of danger may exist with respect to principal or interest. Ca -- Bonds rated "Ca" are speculative in a high degree. Such issues are often in default or have other marked shortcomings. C -- Bonds rated "C" are the lowest rated class of bonds, and issues so rated can be regarded as having extremely poor prospects of ever attaining any real investment standing. NR -- Indicates that the bond is not rated by Standard & Poor's or Moody's.
33 - -------------------------------------------------------------------------------- STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED) JUNE 30, 2004
MANAGED HIGH YIELD CAPITAL MONEY ASSETS BOND APPRECIATION MARKET TRUST TRUST FUND PORTFOLIO - ------------------------------------------------------------------------------------------------------------- ASSETS: Investments, at cost........................... $268,220,872 $74,502,755 $ 698,833,983 -- Short-term investments, at cost................ 793,693 17,120,000 21,386,000 $340,579,794 Foreign currency, at cost...................... 9 -- -- -- - ------------------------------------------------------------------------------------------------------------- Investments, at value.......................... $288,938,547 $77,319,997 $ 945,682,614 -- Short-term investments, at value............... 793,693 17,120,000 21,386,000 $340,579,794 Foreign currency, at value..................... 11 -- -- -- Cash........................................... 525 687 339 5,902 Dividends and interest receivable.............. 1,168,287 1,446,706 351,114 46,302 Receivable for securities sold................. 242,899 241,360 -- -- Receivable for Fund shares sold................ 26,636 -- -- -- - ------------------------------------------------------------------------------------------------------------- TOTAL ASSETS................................... 291,170,598 96,128,750 967,420,067 340,631,998 - ------------------------------------------------------------------------------------------------------------- LIABILITIES: Payable for securities purchased............... 975,316 808,056 -- -- Investment advisory fees payable............... 117,685 32,179 582,017 87,918 Administration fees payable.................... 14,156 4,662 46,561 17,194 Payable for Fund shares reacquired............. -- 7,137 2,176,070 272,380 Dividends payable.............................. -- -- -- 88,645 Accrued expenses............................... 46,091 34,078 66,202 44,442 - ------------------------------------------------------------------------------------------------------------- TOTAL LIABILITIES.............................. 1,153,248 886,112 2,870,850 510,579 - ------------------------------------------------------------------------------------------------------------- TOTAL NET ASSETS................................. $290,017,350 $95,242,638 $ 964,549,217 $340,121,419 - ------------------------------------------------------------------------------------------------------------- NET ASSETS: Paid-in capital................................ $267,871,387 $88,865,463 $1,137,204,724 $340,121,228 Undistributed net investment income............ 3,046,456 3,432,888 -- 7,965 Accumulated net investment loss................ -- -- (790,402) -- Accumulated net realized gain (loss) from investment transactions and foreign currencies.................................. (1,618,170) 127,045 (418,715,700) (7,774) Net unrealized appreciation of investments and foreign currencies.......................... 20,717,677 2,817,242 246,850,595 -- - ------------------------------------------------------------------------------------------------------------- TOTAL NET ASSETS................................. $290,017,350 $95,242,638 $ 964,549,217 $340,121,419 - ------------------------------------------------------------------------------------------------------------- SHARES OUTSTANDING............................... 18,026,841 9,696,017 16,602,159 340,121,228 - ------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, PER SHARE....................... $16.09 $9.82 $58.10 $1.00 - -------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 34 - -------------------------------------------------------------------------------- STATEMENTS OF OPERATIONS (UNAUDITED) FOR THE SIX MONTHS ENDED JUNE 30, 2004
MANAGED HIGH YIELD CAPITAL MONEY ASSETS BOND APPRECIATION MARKET TRUST TRUST FUND PORTFOLIO - ------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME: Interest............................................ $ 2,321,894 $ 3,717,647 $ 222,424 $1,812,993 Dividends........................................... 1,599,042 19,009 3,177,613 -- Less: Foreign withholding tax....................... (118) -- (77,770) -- - ------------------------------------------------------------------------------------------------------------- TOTAL INVESTMENT INCOME............................. 3,920,818 3,736,656 3,322,267 1,812,993 - ------------------------------------------------------------------------------------------------------------- EXPENSES: Investment advisory fees (Note 3)................... 722,956 216,424 3,624,024 546,602 Administration fees (Note 3)........................ 86,755 28,734 289,922 101,442 Audit and legal..................................... 29,972 24,812 19,457 13,650 Custody............................................. 17,682 18,123 21,106 16,744 Shareholder communications.......................... 17,212 6,761 46,372 19,838 Trustees' fees...................................... 3,468 3,469 1,995 2,184 Transfer agency services............................ 2,493 2,494 2,493 2,548 Other............................................... 2,949 2,559 1,903 1,585 - ------------------------------------------------------------------------------------------------------------- TOTAL EXPENSES...................................... 883,487 303,376 4,007,272 704,593 Less: Expense reimbursement (Note 3)................ -- -- -- (28,314) - ------------------------------------------------------------------------------------------------------------- NET EXPENSES........................................ 883,487 303,376 4,007,272 676,279 - ------------------------------------------------------------------------------------------------------------- NET INVESTMENT INCOME (LOSS).......................... 3,037,331 3,433,280 (685,005) 1,136,714 - ------------------------------------------------------------------------------------------------------------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES (NOTES 4 AND 6): Realized Gain (Loss) From: Investment transactions.......................... 6,240,277 436,015 (36,689,819) 47 Foreign currency transactions.................... -- 111 (105,397) -- - ------------------------------------------------------------------------------------------------------------- NET REALIZED GAIN (LOSS)............................ 6,240,277 436,126 (36,795,216) 47 - ------------------------------------------------------------------------------------------------------------- Change in Net Unrealized Appreciation From: Investments...................................... (2,436,763) (3,178,511) 83,578,132 -- Foreign currencies............................... -- -- 1,453 -- - ------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET UNREALIZED APPRECIATION..................................... (2,436,763) (3,178,511) 83,579,585 -- - ------------------------------------------------------------------------------------------------------------- NET GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES.......................................... 3,803,514 (2,742,385) 46,784,369 47 - ------------------------------------------------------------------------------------------------------------- INCREASE IN NET ASSETS FROM OPERATIONS................ $ 6,840,845 $ 690,895 $ 46,099,364 $1,136,761 - -------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 35 - -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS FOR THE SIX MONTHS ENDED JUNE 30, 2004 (UNAUDITED) AND THE YEAR ENDED DECEMBER 31, 2003
MANAGED ASSETS TRUST 2004 2003 - ------------------------------------------------------------------------------------------ OPERATIONS: Net investment income..................................... $ 3,037,331 $ 6,949,844 Net realized gain......................................... 6,240,277 2,083,564 Increase (decrease) in net unrealized appreciation........ (2,436,763) 43,648,703 - ------------------------------------------------------------------------------------------ INCREASE IN NET ASSETS FROM OPERATIONS.................... 6,840,845 52,682,111 - ------------------------------------------------------------------------------------------ DISTRIBUTIONS TO SHAREHOLDERS FROM (NOTE 2): Net investment income..................................... (142,358) (6,863,313) - ------------------------------------------------------------------------------------------ DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO SHAREHOLDERS........................................... (142,358) (6,863,313) - ------------------------------------------------------------------------------------------ FUND SHARE TRANSACTIONS (NOTE 7): Net proceeds from sale of shares.......................... 4,679,796 9,228,282 Net asset value of shares issued for reinvestment of dividends.............................................. 142,358 6,863,313 Cost of shares reacquired................................. (11,377,591) (22,946,314) - ------------------------------------------------------------------------------------------ DECREASE IN NET ASSETS FROM FUND SHARE TRANSACTIONS....... (6,555,437) (6,854,719) - ------------------------------------------------------------------------------------------ INCREASE IN NET ASSETS...................................... 143,050 38,964,079 NET ASSETS: Beginning of period....................................... 289,874,300 250,910,221 - ------------------------------------------------------------------------------------------ END OF PERIOD*............................................ $290,017,350 $289,874,300 - ------------------------------------------------------------------------------------------ * Includes undistributed net investment income of:.......... $3,046,456 $151,483 - ------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 36 - -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) FOR THE SIX MONTHS ENDED JUNE 30, 2004 (UNAUDITED) AND THE YEAR ENDED DECEMBER 31, 2003
HIGH YIELD BOND TRUST 2004 2003 - ----------------------------------------------------------------------------------------- OPERATIONS: Net investment income..................................... $ 3,433,280 $ 6,424,038 Net realized gain......................................... 436,126 4,327,306 Increase (decrease) in net unrealized appreciation........ (3,178,511) 8,815,307 - ----------------------------------------------------------------------------------------- INCREASE IN NET ASSETS FROM OPERATIONS.................... 690,895 19,566,651 - ----------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM (NOTE 2): Net investment income..................................... (54,166) (6,515,534) Net realized gains........................................ (65,774) -- - ----------------------------------------------------------------------------------------- DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO SHAREHOLDERS........................................... (119,940) (6,515,534) - ----------------------------------------------------------------------------------------- FUND SHARE TRANSACTIONS (NOTE 7): Net proceeds from sale of shares.......................... 7,653,533 27,613,135 Net asset value of shares issued for reinvestment of dividends.............................................. 119,940 6,515,534 Cost of shares reacquired................................. (8,954,120) (12,145,093) - ----------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS FROM FUND SHARE TRANSACTIONS........................................... (1,180,647) 21,983,576 - ----------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS........................... (609,692) 35,034,693 NET ASSETS: Beginning of period....................................... 95,852,330 60,817,637 - ----------------------------------------------------------------------------------------- END OF PERIOD*............................................ $95,242,638 $ 95,852,330 - ----------------------------------------------------------------------------------------- * Includes undistributed net investment income of:.......... $3,432,888 $53,663 - -----------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 37 - -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) FOR THE SIX MONTHS ENDED JUNE 30, 2004 (UNAUDITED) AND THE YEAR ENDED DECEMBER 31, 2003
CAPITAL APPRECIATION FUND 2004 2003 - ------------------------------------------------------------------------------------------------- OPERATIONS: Net investment income (loss).............................. $ (685,005) $ 1,291,989 Net realized loss......................................... (36,795,216) (94,520,746) Increase in net unrealized appreciation................... 83,579,585 297,635,244 - ------------------------------------------------------------------------------------------------- INCREASE IN NET ASSETS FROM OPERATIONS.................... 46,099,364 204,406,487 - ------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM (NOTE 2): Net investment income..................................... -- (389,109) Capital................................................... -- (64,253) - ------------------------------------------------------------------------------------------------- DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO SHAREHOLDERS........................................... -- (453,362) - ------------------------------------------------------------------------------------------------- FUND SHARE TRANSACTIONS (NOTE 7): Net proceeds from sale of shares.......................... 1,361,209 14,007,803 Net asset value of shares issued for reinvestment of dividends.............................................. -- 453,362 Cost of shares reacquired................................. (68,653,395) (97,001,290) - ------------------------------------------------------------------------------------------------- DECREASE IN NET ASSETS FROM FUND SHARE TRANSACTIONS....... (67,292,186) (82,540,125) - ------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS........................... (21,192,822) 121,413,000 NET ASSETS: Beginning of period....................................... 985,742,039 864,329,039 - ------------------------------------------------------------------------------------------------- END OF PERIOD*............................................ $964,549,217 $985,742,039 - ------------------------------------------------------------------------------------------------- * Includes accumulated net investment loss of:.............. $(790,402) -- - -------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 38 - -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) FOR THE SIX MONTHS ENDED JUNE 30, 2004 (UNAUDITED) AND THE YEAR ENDED DECEMBER 31, 2003
MONEY MARKET PORTFOLIO 2004 2003 - -------------------------------------------------------------------------------------------- OPERATIONS: Net investment income..................................... $ 1,136,714 $ 3,029,174 Net realized gain (loss).................................. 47 (146) - -------------------------------------------------------------------------------------------- INCREASE IN NET ASSETS FROM OPERATIONS.................... 1,136,761 3,029,028 - -------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM (NOTE 2): Net investment income..................................... (1,136,714) (3,028,884) - -------------------------------------------------------------------------------------------- DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO SHAREHOLDERS........................................... (1,136,714) (3,028,884) - -------------------------------------------------------------------------------------------- FUND SHARE TRANSACTIONS (NOTE 7): Net proceeds from sale of shares.......................... 108,773,658 265,892,702 Net asset value of shares issued for reinvestment of dividends.............................................. 1,130,878 3,072,564 Cost of shares reacquired................................. (115,608,516) (316,384,220) - -------------------------------------------------------------------------------------------- DECREASE IN NET ASSETS FROM FUND SHARE TRANSACTIONS....... (5,703,980) (47,418,954) - -------------------------------------------------------------------------------------------- DECREASE IN NET ASSETS...................................... (5,703,933) (47,418,810) NET ASSETS: Beginning of period....................................... 345,825,352 393,244,162 - -------------------------------------------------------------------------------------------- END OF PERIOD*............................................ $ 340,121,419 $ 345,825,352 - -------------------------------------------------------------------------------------------- * Includes undistributed net investment income of:.......... $7,965 $7,965 - --------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 39 - -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (UNAUDITED) 1. SIGNIFICANT ACCOUNTING POLICIES The Managed Assets Trust ("MAT"), High Yield Bond Trust ("HYBT"), Capital Appreciation Fund ("CAF") and Money Market Portfolio ("MMP") (collectively, "Fund(s)") are each a Massachusetts business trust registered under the Investment Company Act of 1940, as amended, as diversified, open-end management investment companies. Shares of the Funds are offered exclusively for use with certain variable annuity and variable life insurance contracts offered through the separate accounts of various affiliated life insurance companies. The following are significant accounting policies consistently followed by the Funds and are in conformity with U.S. generally accepted accounting principles ("GAAP"): (a) security transactions are accounted for on trade date; (b) securities traded on national securities markets are valued at the closing prices on such markets; securities for which no sales price were reported and U.S. government and agency obligations are valued at the mean between the last reported bid and asked prices or on the basis of quotations received from unaffiliated reputable brokers or other recognized sources; securities listed on the NASDAQ National Market System for which market quotations are available are valued at the official closing price or, if there is no official closing price on that day, at the last sale price; (c) securities for which market quotations are not available will be valued in good faith at fair value by or under the direction of the Board of Trustees; (d) securities maturing within 60 days are valued at cost plus accreted discount, or minus amortized premium, which approximates value; (e) securities, other than U.S. government agencies and obligations, that have a maturity of more than 60 days are valued at prices based on market quotations for securities of similar type, yield and maturity; (f) interest income, adjusted for amortization of premium and accretion of discount, is recorded on an accrual basis and dividend income is recorded on the ex-dividend date; foreign dividends are recorded on the ex-dividend date or as soon as practical after the Fund determines the existence of a dividend declaration after exercising reasonable due diligence; (g) gains or losses on the sale of securities are calculated by using the specific identification method; (h) dividends and distributions to shareholders are recorded on the ex-dividend date; (i) the accounting records of the Funds are maintained in U.S. dollars. All assets and liabilities denominated in foreign currencies are translated into U.S. dollars on the date of valuation. Purchases and sales of securities and income and expenses are translated at the rate of exchange quoted on the respective date that such transactions are recorded. Differences between income and expense amounts recorded and collected or paid are adjusted when reported by the custodian; (j) the character of income and gains to be distributed is determined in accordance with income tax regulations which may differ from GAAP; (k) the Funds intend to comply with the applicable provisions of the Internal Revenue Code of 1986, as amended, pertaining to regulated investment companies and to make distributions of taxable income sufficient to relieve it from substantially all Federal income and excise taxes; and (l) estimates and assumptions are required to be made regarding assets, liabilities and changes in net assets resulting from operations when financial statements are prepared. Changes in the economic environment, financial markets and any other parameters used in determining these estimates could cause actual results to differ. HYBT invests in high-yield instruments that are subject to certain credit and market risks. The yields of high yield debt obligations reflect, among other things, perceived credit risk. HYBT's investment in securities rated below investment-grade typically involve risks not associated with higher rated securities including, among others, greater risk of timely and ultimate payment of interest and principal, greater market price volatility and less liquid secondary market trading. In addition, HYBT and CAF may enter into forward exchange contracts in order to hedge against foreign currency risk. These contracts are marked to market daily, by recognizing the difference between the contract exchange rate and the current forward rate as an unrealized gain or loss. Realized gains or losses are recognized when the contracts are settled or offset by entering into another forward exchange contract. 2. DIVIDENDS MMP declares and records a dividend of substantially all of its net investment income on each business day. Such dividends are paid or reinvested on the payable date. In addition, MAT, HYBT and CAF distribute dividends and capital gains, if any, at least annually. 40 - -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED) 3. INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS Travelers Asset Management International Company LLC ("TAMIC"), an indirect wholly-owned subsidiary of Citigroup Inc. ("Citigroup"), acts as investment adviser to MAT, HYBT, CAF and MMP. MAT, CAF and MMP pay TAMIC an investment advisory fee calculated at the annual rate of 0.50%, 0.75% and 0.3233%, respectively, of their average daily net assets. HYBT pays TAMIC an investment advisory fee calculated at an annual rate of 0.50% on the first $50 million, 0.40% on the next $100 million, 0.30% on the next $100 million and 0.25% on the amount over $250 million of the average daily net assets of HYBT. These fees are calculated daily and paid monthly. TAMIC has a sub-advisory agreement with The Travelers Investment Management Company ("TIMCO"), another indirect wholly-owned subsidiary of Citigroup. Pursuant to the sub-advisory agreement, TIMCO is responsible for the day-to-day portfolio operations and investment decisions for the equity portion of MAT. As a result, TAMIC pays TIMCO, as sub-adviser, an advisory fee calculated at an annual rate of 0.25% of the average daily net assets of MAT. TAMIC also has a sub-advisory agreement with Janus Capital Management LLC ("Janus"). Pursuant to the sub-advisory agreement, Janus is responsible for the day-to-day portfolio operations and investment decisions for CAF. As a result, TAMIC pays Janus, as sub-adviser, an advisory fee calculated at an annual rate of 0.55% on the first $100 million, 0.50% on the next $400 million and 0.45% on the amount over $500 million of the average daily net assets of CAF. The Travelers Insurance Company ("TIC"), another indirect wholly-owned subsidiary of Citigroup, acts as administrator to the Funds. The Funds pay TIC an administration fee calculated at an annual rate of 0.06% of the average daily net assets of each respective Fund. This fee is calculated daily and paid monthly. TIC has entered into a sub-administrative services agreement with Smith Barney Fund Management LLC ("SBFM"), another indirect wholly-owned subsidiary of Citigroup. TIC pays SBFM, as sub-administrator, a fee calculated at an annual rate of 0.02% of the average daily net assets of each Fund, plus $30,000 per Fund, subject to a maximum of 0.06% of each Fund's average daily net assets. During the six months ended June 30, 2004, MMP had a voluntary expense limitation in place of 0.40% of the average daily net assets of MMP, resulting in an expense reimbursement of $28,314. This expense limitation can be terminated at any time by TIC. Citicorp Trust Bank, fsb. ("CTB"), another subsidiary of Citigroup, acts as the Funds' transfer agent. CTB receives account fees and asset-based fees that vary according to the size and type of account. For the six months ended June 30, 2004, each Fund paid transfer agent fees of $2,500 to CTB. For the six months ended June 30, 2004, Citigroup Global Markets Inc., another indirect wholly-owned subsidiary of Citigroup, and its affiliates did not receive any brokerage commissions from the Funds. One Trustee and all officers of the Funds are employees of Citigroup or its affiliates. 4. INVESTMENTS During the six months ended June 30, 2004, the aggregate cost of purchases and proceeds from sales of investments (including maturities of long-term investments, but excluding short-term investments and proceeds from paydowns) were as follows:
MAT HYBT CAF - ------------------------------------------------------------------------------------------------------- Purchases................................................... $110,679,822 $12,928,068 $ 91,295,840 - ------------------------------------------------------------------------------------------------------- Sales....................................................... 109,758,094 15,527,134 142,026,835 - -------------------------------------------------------------------------------------------------------
At June 30, 2004, the aggregate gross unrealized appreciation and depreciation of investments for Federal income tax purposes were substantially as follows:
MAT HYBT CAF - ------------------------------------------------------------------------------------------------------ Gross unrealized appreciation............................... $30,302,318 $ 5,240,862 $255,840,439 Gross unrealized depreciation............................... (9,584,643) (2,423,620) (8,991,808) - ------------------------------------------------------------------------------------------------------ Net unrealized appreciation................................. $20,717,675 $ 2,817,242 $246,848,631 - ------------------------------------------------------------------------------------------------------
41 - -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED) 5. REPURCHASE AGREEMENTS When entering into repurchase agreements, it is the Funds' 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 Funds may be delayed or limited. At June 30, 2004, MMP did not have any repurchase agreements outstanding. 6. FORWARD FOREIGN CURRENCY CONTRACTS HYBT and CAF may enter into forward foreign currency contracts. A forward foreign currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. The contract is marked-to-market daily and the change in value is recorded by the Fund as an unrealized gain or loss. When a forward foreign currency contract is extinguished, through either delivery or offset by entering into another forward foreign currency contract, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished or offset. The Fund bears the market risk that arises from changes in foreign currency exchange rates and the credit risk should a counterparty be unable to meet the terms of such contracts. At June 30, 2004, HYBT and CAF did not have any open forward foreign currency contracts. 7. SHARES OF BENEFICIAL INTEREST The Declaration of Trust authorizes the issuance of an unlimited number of shares of beneficial interest without par value. Transactions in shares of each Fund were as follows:
SIX MONTHS ENDED YEAR ENDED JUNE 30, 2004 DECEMBER 31, 2003 - -------------------------------------------------------------------------------------------------- MANAGED ASSETS TRUST Shares sold................................................. 293,107 620,844 Shares issued on reinvestment............................... 8,886 437,644 Shares reacquired........................................... (711,874) (1,625,662) - -------------------------------------------------------------------------------------------------- Net Decrease................................................ (409,881) (567,174) - -------------------------------------------------------------------------------------------------- HIGH YIELD BOND TRUST Shares sold................................................. 776,659 2,977,348 Shares issued on reinvestment............................... 12,227 668,649 Shares reacquired........................................... (912,173) (1,324,438) - -------------------------------------------------------------------------------------------------- Net Increase (Decrease)..................................... (123,287) 2,321,559 - -------------------------------------------------------------------------------------------------- CAPITAL APPRECIATION FUND Shares sold................................................. 24,222 308,890 Shares issued on reinvestment............................... -- 8,160 Shares reacquired........................................... (1,212,533) (2,001,426) - -------------------------------------------------------------------------------------------------- Net Decrease................................................ (1,188,311) (1,684,376) - -------------------------------------------------------------------------------------------------- MONEY MARKET PORTFOLIO Shares sold................................................. 108,773,658 265,892,702 Shares issued on reinvestment............................... 1,130,878 3,072,564 Shares reacquired........................................... (115,608,516) (316,384,220) - -------------------------------------------------------------------------------------------------- Net Decrease................................................ (5,703,980) (47,418,954) - --------------------------------------------------------------------------------------------------
42 - -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED) 8. ADDITIONAL INFORMATION Citigroup has been notified by the Staff of the Securities and Exchange Commission ("SEC") that the Staff is considering recommending a civil injunctive action and/or an administrative proceeding against Citigroup Asset Management ("CAM"), including its applicable investment advisory companies and Citicorp Trust Bank ("CTB"), an internal transfer agent, relating to the creation and operation of the internal transfer agent unit to serve certain CAM-managed funds, including the Funds. This notification arises out of a previously disclosed investigation by the SEC and the U.S. Attorney and relates to CTB's entry in 1999 into the transfer agency business, CAM's retention of, and agreements with an unaffiliated sub transfer agent, the adequacy of the disclosures made to the fund boards that approved the transfer agency arrangements, (including CAM's failure to disclose a related revenue guarantee agreement benefiting CAM and its affiliates), and CAM's operation of and compensation for the transfer agency business. The revenue guarantee described above was terminated in 1999 and CAM will be paying the applicable funds, primarily through fee waivers, a total of approximately $17 million (plus interest) that is the amount of the revenue received by Citigroup relating to the revenue guarantee. Citigroup is cooperating fully in the investigation and will seek to resolve the matter in discussions with the SEC Staff. Although there can be no assurance, Citigroup does not believe that this matter will have a material adverse effect on the Funds. On August 12, 2004, CAM paid each Fund their allocable share of the amount described above through a waiver of their fees. The amount paid to each Fund is as follows:
- -------------------------------------------------------------------- Managed Assets Trust........................................ $1,726 High Yield Bond Trust....................................... 1,679 Capital Appreciation Fund................................... 1,698 Money Market Portfolio...................................... 1,726 - --------------------------------------------------------------------
9. SUBSEQUENT EVENT The Board of Trustees of the Trust, on behalf of CAF, has approved an amendment to the investment advisory agreement between the Fund and TAMIC, and an amendment to the sub-advisory agreement between TAMIC and Janus. Effective September 1, 2004, the investment advisory fee will be revised from the annual rate of 0.75% of the daily net assets of the Fund, to a fee calculated at the annual rates in accordance with the following schedule.
INVESTMENT AVERAGE DAILY NET ASSETS ADVISORY FEE - --------------------------------------------------------------------------- First $1.5 billion.......................................... 0.700% Over $1.5 billion........................................... 0.650% - ---------------------------------------------------------------------------
The sub-advisory fee will be revised from the current schedule:
AVERAGE DAILY NET ASSETS SUB-ADVISORY FEE - ------------------------------------------------------------------------------- First $100 million.......................................... 0.550% Next $400 million........................................... 0.500% Over $500 million........................................... 0.450% - -------------------------------------------------------------------------------
to a fee calculated at the annual rates in accordance with the following schedule:
AVERAGE DAILY NET ASSETS SUB-ADVISORY FEE - ----------------------------------------------------------------------------------- First $100 million.......................................... 0.500% Next $400 million........................................... 0.450% Next $1 billion............................................. 0.400% Over $1.5 billion........................................... 0.350% - -----------------------------------------------------------------------------------
43 - -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS For a share of beneficial interest outstanding throughout each year ended December 31, unless otherwise noted:
MANAGED ASSETS TRUST 2004(1) 2003 2002 2001(2) 2000(2) 1999 - -------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD.............................. $15.72 $13.20 $15.55 $17.94 $21.12 $19.99 - -------------------------------------------------------------------------------------------------------- INCOME (LOSS) FROM OPERATIONS: Net investment income............... 0.17 0.39 0.45 0.49 0.48 0.39 Net realized and unrealized gain (loss)........................... 0.21 2.51 (1.79) (1.40) (0.71) 2.30 - -------------------------------------------------------------------------------------------------------- Total Income (Loss) From Operations... 0.38 2.90 (1.34) (0.91) (0.23) 2.69 - -------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS FROM: Net investment income............... (0.01) (0.38) (0.92) (0.46) (0.41) (0.39) Net realized gains(3)............... -- -- (0.09) (1.02) (2.54) (1.17) - -------------------------------------------------------------------------------------------------------- Total Distributions................... (0.01) (0.38) (1.01) (1.48) (2.95) (1.56) - -------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD........ $16.09 $15.72 $13.20 $15.55 $17.94 $21.12 - -------------------------------------------------------------------------------------------------------- TOTAL RETURN(4)....................... 2.40%++ 21.98% (8.60)% (5.08)% (1.62)% 14.22% - -------------------------------------------------------------------------------------------------------- NET ASSETS, END OF PERIOD (000S)...... $290,017 $289,874 $250,910 $307,520 $342,834 $339,438 - -------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: Expenses(5)......................... 0.61%+ 0.59% 0.61% 0.59% 0.59% 0.60% Net investment income............... 2.10+ 2.64 2.80 2.95 2.47 2.17 - -------------------------------------------------------------------------------------------------------- PORTFOLIO TURNOVER RATE............... 38% 84% 39% 59% 56% 51% - --------------------------------------------------------------------------------------------------------
HIGH YIELD BOND TRUST 2004(1) 2003(2) 2002(2) 2001(2) 2000(2) 1999 - -------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD.............................. $9.76 $8.11 $9.04 $8.77 $9.47 $9.85 - -------------------------------------------------------------------------------------------------------- INCOME (LOSS) FROM OPERATIONS: Net investment income............... 0.35 0.77 0.78 0.80 0.79 0.81 Net realized and unrealized gain (loss)........................... (0.27) 1.59 (0.40) 0.04 (0.70) (0.38) - -------------------------------------------------------------------------------------------------------- Total Income From Operations.......... 0.08 2.36 0.38 0.84 0.09 0.43 - -------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS FROM: Net investment income............... (0.01) (0.71) (1.31) (0.57) (0.79) (0.81) Net realized gains.................. (0.01) -- -- -- -- -- - -------------------------------------------------------------------------------------------------------- Total Distributions................... (0.02) (0.71) (1.31) (0.57) (0.79) (0.81) - -------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD........ $9.82 $9.76 $8.11 $9.04 $8.77 $9.47 - -------------------------------------------------------------------------------------------------------- TOTAL RETURN(4)....................... 0.74%++ 29.15% 4.57% 9.55% 0.97% 4.42% - -------------------------------------------------------------------------------------------------------- NET ASSETS, END OF PERIOD (000S)...... $95,243 $95,852 $60,818 $50,016 $34,678 $30,317 - -------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: Expenses(5)......................... 0.63%+ 0.65% 0.71% 0.73% 0.83% 0.81% Net investment income............... 7.17+ 8.28 8.81 8.79 8.74 8.85 - -------------------------------------------------------------------------------------------------------- PORTFOLIO TURNOVER RATE............... 16% 80% 100% 110% 80% 112% - --------------------------------------------------------------------------------------------------------
(1) For the six months ended June 30, 2004 (unaudited). (2) Per share amounts have been calculated using the monthly average shares method. (3) Distributions from realized gains include both net realized short-term and long-term capital gains. (4) Total returns do not reflect expenses associated with your variable contract such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. (5) As a result of voluntary expense limitations, the ratio of expenses to average net assets will not exceed 1.25%. ++ Total return is not annualized, as it may not be representative of the total return for the year. + Annualized. 44 - -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (CONTINUED) For a share of beneficial interest outstanding throughout each year ended December 31, unless otherwise noted:
CAPITAL APPRECIATION FUND 2004(1)(2) 2003(2) 2002(2) 2001(2) 2000 1999 - --------------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD............................ $55.41 $44.38 $60.30 $82.01 $108.80 $ 72.74 - --------------------------------------------------------------------------------------------------------------------------------- INCOME (LOSS) FROM OPERATIONS: Net investment income (loss)...... (0.04) 0.07 0.14 0.61 0.29 0.04 Net realized and unrealized gain (loss)......................... 2.73 10.99 (15.24) (22.01) (23.29) 38.08 - --------------------------------------------------------------------------------------------------------------------------------- Total Income (Loss) From Operations........................ 2.69 11.06 (15.10) (21.40) (23.00) 38.12 - --------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS FROM: Net investment income............. -- (0.03) (0.81) (0.31) (0.04) (0.07) Net realized gains(3)............. -- -- -- -- (3.75) (1.99) Capital........................... -- (0.00)* (0.01) -- -- -- - --------------------------------------------------------------------------------------------------------------------------------- Total Distributions................. -- (0.03) (0.82) (0.31) (3.79) (2.06) - --------------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD...... $58.10 $55.41 $44.38 $60.30 $ 82.01 $108.80 - --------------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN(4)..................... 4.85%++ 24.91% (25.09)% (26.09)% (21.88)% 53.52% - --------------------------------------------------------------------------------------------------------------------------------- NET ASSETS, END OF PERIOD (MILLIONS)........................ $965 $986 $864 $1,300 $1,797 $1,915 - --------------------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: Expenses(5)....................... 0.83%+ 0.82% 0.84% 0.84% 0.83% 0.83% Net investment income (loss)...... (0.14)+ 0.14 0.27 0.91 0.30 0.07 - --------------------------------------------------------------------------------------------------------------------------------- PORTFOLIO TURNOVER RATE............. 15% 59% 52% 47% 30% 37% - --------------------------------------------------------------------------------------------------------------------------------- MONEY MARKET PORTFOLIO 2004(1) 2003 2002 2001 2000 1999 - --------------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD............................ $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 - --------------------------------------------------------------------------------------------------------------------------------- Net investment income(6)............ 0.003 0.008 0.014 0.036 0.060 0.049 Distributions from net investment income............................ (0.003) (0.008) (0.014) (0.036) (0.060) (0.049) - --------------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD...... $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 - --------------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN(4)(7).................. 0.33%++ 0.78% 1.39% 3.71% 6.18% 4.96% - --------------------------------------------------------------------------------------------------------------------------------- NET ASSETS, END OF PERIOD (000s).... $340,121 $345,825 $393,244 $353,269 $147,117 $119,970 - --------------------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: Expenses(6)(8).................... 0.40%+ 0.40% 0.40% 0.40% 0.40% 0.37% Net investment income............. 0.67+ 0.78 1.38 3.46 6.04 4.96 - ---------------------------------------------------------------------------------------------------------------------------------
(1) For the six months ended June 30, 2004 (unaudited). (2) Per share amounts have been calculated using the monthly average shares method. (3) Distributions from realized gains include both net realized short-term and long-term capital gains. (4) Total returns do not reflect expenses associated with your variable contract such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. (5) As a result of voluntary expense limitations, the ratio of expenses to average net assets will not exceed 1.25%. (6) The Travelers Insurance Company has reimbursed Money Market Portfolio for $28,314, $63,316, $71,805, $44,028, $47,023 and $85,612 in expenses for the six months ended June 30, 2004 and the years ended December 31, 2003, 2002, 2001, 2000 and 1999, respectively. If such expenses were not reimbursed, the per share decreases to net investment income and the actual expense ratios would have been:
DECREASES TO EXPENSE RATIO NET INVESTMENT INCOME WITHOUT REIMBURSEMENTS -------------------------------------------------------- ------------------------- 2004 2003 2002 2001 2000 1999 2004 2003 2002 ------ ------ ------ ------ ------ ------ ------ ------ ----- MMP $0.000** $0.000** $0.000** $0.000** $0.000** $0.001 0.42%+ 0.42% 0.42% EXPENSE RATIO WITHOUT REIMBURSEMENTS ----------------------- 2001 2000 1999 ----- ----- ----- MMP 0.42% 0.44% 0.50%
(7) Performance figures may reflect fee waivers and/or expense reimbursements. Past performance is no guarantee of future results. In the absence of fee waivers and/or expense reimbursements, the total return would be reduced. (8) As a result of voluntary expense limitations, the ratio of expenses to average net assets will not exceed 0.40%. * Amount represents less than $0.01 per share. ** Amount represents less than $0.001 per share. ++ Total return is not annualized, as it may not be representative of the total return for the year. + Annualized. 45 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) JUNE 30, 2004 U.S. GOVERNMENT SECURITIES PORTFOLIO
FACE AMOUNT SECURITY VALUE - ---------------------------------------------------------------------------------------- U.S. GOVERNMENT OBLIGATIONS -- 22.8% $ 3,850,000 U.S. Treasury Notes, 4.750% due 5/15/14..................... $ 3,891,361 U.S. Treasury Bonds: 8,000,000 8.875% due 8/15/17 (a).................................... 10,964,688 7,500,000 6.000% due 2/15/26........................................ 8,083,890 13,000,000 6.375% due 8/15/27........................................ 14,677,312 15,000,000 5.500% due 8/15/28 (a).................................... 15,200,985 - ---------------------------------------------------------------------------------------- TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost -- $53,802,015)..... 52,818,236 - ---------------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 58.0% - ---------------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY MORTGAGE PASS-THROUGHS -- 32.5% Federal Home Loan Mortgage Corp. (FHLMC): 11,154,654 4.000% due 5/1/19 (b)..................................... 10,725,932 415,678 7.000% due 7/1/29......................................... 432,954 72,970 8.000% due 9/1/30......................................... 79,261 740,450 7.500% due 5/1/32......................................... 796,761 9,320,575 4.500% due 4/1/33......................................... 8,722,465 Federal National Mortgage Association (FNMA): 2,489,084 5.500% due 6/1/16 (b)..................................... 2,556,924 22,150,000 4.000% due 7/1/19 (c)(d).................................. 21,097,875 6,605,166 4.500% due 10/1/23 (b).................................... 6,427,722 932,078 7.500% due 11/1/29 (b).................................... 996,429 1,257,780 6.500% due 5/1/32 (b)..................................... 1,313,427 5,570,539 4.000% due 5/1/33 (b)..................................... 5,395,996 16,726,141 5.000% due 6/1/34 (b)..................................... 16,288,353 Government National Mortgage Association (GNMA): 384,778 9.000% due 9/15/09 (b).................................... 418,979 130,853 8.500% due 5/15/18 (b).................................... 146,145 - ---------------------------------------------------------------------------------------- 75,399,223 - ---------------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY NOTES AND BONDS -- 25.5% Federal Home Loan Bank (FHLB): 3,000,000 5.875% due 2/15/11........................................ 3,186,693 8,000,000 5.750% due 5/15/12........................................ 8,456,016 Federal Home Loan Mortgage Corp. (FHLMC): 6,500,000 4.875% due 11/15/13....................................... 6,382,123 4,330,000 6.000% due 6/27/17........................................ 4,371,252 3,000,000 Federal National Mortgage Association (FNMA), 6.250% due 5/15/29................................................... 3,166,149 13,949,000 Financing Corp. (FICO) Strips, Series 13, due 6/27/11....... 10,050,171 5,731,794 National Archives Facility Trust, COP, 8.500% due 9/1/19.... 6,888,264 10,000,000 Resolution Funding Corp. Strips, due 1/15/21................ 3,911,030 4,680,000 Student Loan Marketing Association (SLMA), zero coupon due 5/15/14................................................... 2,144,540 9,000,000 Tennessee Valley Authority, Global Power Bonds 2000, Series G, 7.125% due 5/1/30...................................... 10,492,434 - ---------------------------------------------------------------------------------------- 59,048,672 - ---------------------------------------------------------------------------------------- TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost -- $135,671,116).................................... 134,447,895 - ----------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 46 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 U.S. GOVERNMENT SECURITIES PORTFOLIO
FACE AMOUNT SECURITY VALUE - ---------------------------------------------------------------------------------------- COLLATERALIZED MORTGAGE OBLIGATIONS -- 10.6% Federal Home Loan Mortgage Corp. (FHLMC): $ 553,396 Series 1103, Class J, 8.500% due 6/15/21.................. $ 556,089 3,000,000 Series 2422, Class CH, 6.500% due 2/15/32................. 3,094,141 Federal National Mortgage Association (FNMA): 5,399,000 Series 1999-15, Class PD, 6.000% due 4/25/19.............. 5,548,922 5,593,000 Series 2002-52, Class PC, 6.000% due 9/25/32.............. 5,682,179 5,000,000 Series 2003-63, Class GU, 4.000% due 7/25/33.............. 5,018,794 4,000,000 Government National Mortgage Association (GNMA), Series 2001-21, Class PE, 6.500% due 5/16/31.............. 4,192,329 500,000 LB-UBS Commercial Mortgage Trust, Series 2004-C2, Class A4, 4.367% due 3/15/36........................................ 465,086 - ---------------------------------------------------------------------------------------- TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost -- $25,004,226)....................................... 24,557,540 - ---------------------------------------------------------------------------------------- REPURCHASE AGREEMENT -- 8.6% 19,937,000 State Street Bank & Trust Co. dated 6/30/04, 1.150% due 7/1/04; Proceeds at maturity -- $19,937,637; (Fully collateralized by U.S. Treasury Notes, 6.500% due 10/15/06; Market value -- $20,338,366) (Cost -- $19,937,000)..................................... 19,937,000 - ---------------------------------------------------------------------------------------- TOTAL INVESTMENTS -- 100.0% (Cost -- $234,414,357*)......... $231,760,671 - ----------------------------------------------------------------------------------------
(a) All or a portion of this security is segregated for "to be announced" securities. (b) Date shown represents the last in range of maturity dates. (c) Security is traded on a "to be announced" basis (See Note 6). (d) Security acquired under mortgage dollar roll agreement (See Note 5). * Aggregate cost for Federal income tax purposes is substantially the same. Abbreviation used in this schedule: COP -- Certificate of Participation SEE NOTES TO FINANCIAL STATEMENTS. 47 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 SOCIAL AWARENESS STOCK PORTFOLIO
SHARES SECURITY VALUE - -------------------------------------------------------------------------------------- COMMON STOCK -- 99.7% - -------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY -- 12.8% HOUSEHOLD DURABLES -- 1.3% 6,900 The Black & Decker Corp..................................... $ 428,697 6,000 Centex Corp. ............................................... 274,500 7,117 KB Home..................................................... 488,440 - -------------------------------------------------------------------------------------- 1,191,637 - -------------------------------------------------------------------------------------- INTERNET & CATALOG RETAIL -- 2.0% 59,300 InterActiveCorp+............................................ 1,787,302 - -------------------------------------------------------------------------------------- MEDIA -- 6.2% 24,400 Cablevision Systems -- NY Group, Class A Shares+............ 479,460 4,700 Clear Channel Communications, Inc........................... 173,665 18,600 Comcast Corp., Special Class A Shares+...................... 513,546 13,400 Omnicom Group Inc........................................... 1,016,926 73,300 Time Warner Inc.+........................................... 1,288,614 41,950 Viacom Inc., Class B Shares................................. 1,498,454 22,900 Westwood One, Inc.+......................................... 545,020 - -------------------------------------------------------------------------------------- 5,515,685 - -------------------------------------------------------------------------------------- MULTI-LINE RETAIL -- 1.3% 10,000 Target Corp. ............................................... 424,700 14,300 Wal-Mart Stores, Inc. ...................................... 754,468 - -------------------------------------------------------------------------------------- 1,179,168 - -------------------------------------------------------------------------------------- SPECIALTY RETAIL -- 2.0% 28,000 The Home Depot, Inc. ....................................... 985,600 15,200 Lowe's Cos., Inc. .......................................... 798,760 - -------------------------------------------------------------------------------------- 1,784,360 - -------------------------------------------------------------------------------------- TOTAL CONSUMER DISCRETIONARY................................ 11,458,152 - -------------------------------------------------------------------------------------- CONSUMER STAPLES -- 6.0% BEVERAGES -- 2.3% 22,400 The Coca-Cola Co. .......................................... 1,130,752 17,500 PepsiCo, Inc. .............................................. 942,900 - -------------------------------------------------------------------------------------- 2,073,652 - -------------------------------------------------------------------------------------- FOOD & DRUG RETAILING -- 0.8% 19,000 Sysco Corp. ................................................ 681,530 - -------------------------------------------------------------------------------------- HOUSEHOLD PRODUCTS -- 2.4% 7,700 The Clorox Co. ............................................. 414,106 29,500 Colgate-Palmolive Co. ...................................... 1,724,275 - -------------------------------------------------------------------------------------- 2,138,381 - -------------------------------------------------------------------------------------- PERSONAL PRODUCTS -- 0.5% 10,500 The Gillette Co. ........................................... 445,200 - -------------------------------------------------------------------------------------- TOTAL CONSUMER STAPLES...................................... 5,338,763 - --------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 48 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 SOCIAL AWARENESS STOCK PORTFOLIO
SHARES SECURITY VALUE - -------------------------------------------------------------------------------------- ENERGY -- 5.7% ENERGY EQUIPMENT & SERVICES -- 1.2% 17,300 GlobalSantaFe Corp. ........................................ $ 458,450 17,400 Noble Corp.+................................................ 659,286 - -------------------------------------------------------------------------------------- 1,117,736 - -------------------------------------------------------------------------------------- OIL & GAS -- 4.5% 23,100 Apache Corp. ............................................... 1,006,005 32,726 BP PLC, Sponsored ADR....................................... 1,753,132 24,800 Royal Dutch Petroleum Co., NY Shares........................ 1,281,416 - -------------------------------------------------------------------------------------- 4,040,553 - -------------------------------------------------------------------------------------- TOTAL ENERGY................................................ 5,158,289 - -------------------------------------------------------------------------------------- FINANCIALS -- 18.3% BANKS -- 4.0% 45,000 The Bank of New York Co., Inc. ............................. 1,326,600 16,400 Bank One Corp. ............................................. 836,400 7,200 Comerica Inc. .............................................. 395,136 6,500 Fifth Third Bancorp......................................... 349,570 11,500 Wells Fargo & Co. .......................................... 658,145 - -------------------------------------------------------------------------------------- 3,565,851 - -------------------------------------------------------------------------------------- DIVERSIFIED FINANCIALS -- 9.1% 28,900 American Express Co. ....................................... 1,484,882 7,100 The Bear Stearns Cos. Inc. ................................. 598,601 5,100 Capital One Financial Corp. ................................ 348,738 16,200 The Charles Schwab Corp. ................................... 155,682 20,000 J.P. Morgan Chase & Co. .................................... 775,400 29,750 MBNA Corp. ................................................. 767,252 10,000 Merrill Lynch & Co., Inc. .................................. 539,800 16,500 Morgan Stanley.............................................. 870,705 44,900 SLM Corp. .................................................. 1,816,205 11,100 State Street Corp. ......................................... 544,344 4,500 T. Rowe Price Group Inc. ................................... 226,800 - -------------------------------------------------------------------------------------- 8,128,409 - -------------------------------------------------------------------------------------- INSURANCE -- 5.2% 22,000 Ambac Financial Group, Inc. ................................ 1,615,680 22,460 American International Group, Inc. ......................... 1,600,949 14,000 Prudential Financial, Inc. ................................. 650,580 11,300 XL Capital Ltd., Class A Shares............................. 852,698 - -------------------------------------------------------------------------------------- 4,719,907 - -------------------------------------------------------------------------------------- TOTAL FINANCIALS............................................ 16,414,167 - --------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 49 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 SOCIAL AWARENESS STOCK PORTFOLIO
SHARES SECURITY VALUE - -------------------------------------------------------------------------------------- HEALTHCARE -- 15.1% BIOTECHNOLOGY -- 3.2% 31,800 Amgen Inc.+................................................. $ 1,735,326 15,400 Genzyme Corp.+.............................................. 728,882 15,600 MedImmune, Inc.+............................................ 365,040 - -------------------------------------------------------------------------------------- 2,829,248 - -------------------------------------------------------------------------------------- HEALTHCARE EQUIPMENT & SUPPLIES -- 2.4% 11,900 Guidant Corp. .............................................. 664,972 22,200 Medtronic, Inc. ............................................ 1,081,584 5,600 St. Jude Medical, Inc.+..................................... 423,640 - -------------------------------------------------------------------------------------- 2,170,196 - -------------------------------------------------------------------------------------- HEALTHCARE PROVIDERS & SERVICES -- 1.5% 6,000 Aetna, Inc. ................................................ 510,000 5,000 Anthem, Inc.+............................................... 447,800 5,000 HCA Inc. ................................................... 207,950 16,200 Tenet Healthcare Corp.+..................................... 217,242 - -------------------------------------------------------------------------------------- 1,382,992 - -------------------------------------------------------------------------------------- PHARMACEUTICALS -- 8.0% 8,000 Eli Lilly and Co. .......................................... 559,280 14,000 Johnson & Johnson........................................... 779,800 65,000 Pfizer Inc. ................................................ 2,228,200 34,400 Teva Pharmaceutical Industries Ltd., Sponsored ADR.......... 2,314,776 34,200 Wyeth....................................................... 1,236,672 - -------------------------------------------------------------------------------------- 7,118,728 - -------------------------------------------------------------------------------------- TOTAL HEALTHCARE............................................ 13,501,164 - -------------------------------------------------------------------------------------- INDUSTRIALS -- 11.5% AIR FREIGHT & COURIERS -- 0.9% 10,800 United Parcel Service, Inc., Class B Shares................. 811,836 - -------------------------------------------------------------------------------------- AIRLINES -- 1.5% 81,430 Southwest Airlines Co. ..................................... 1,365,581 - -------------------------------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES -- 1.4% 10,200 First Data Corp. ........................................... 454,104 24,500 Paychex, Inc. .............................................. 830,060 - -------------------------------------------------------------------------------------- 1,284,164 - -------------------------------------------------------------------------------------- ELECTRICAL EQUIPMENT -- 1.7% 76,700 American Power Conversion Corp. ............................ 1,507,155 - -------------------------------------------------------------------------------------- INDUSTRIAL CONGLOMERATES -- 3.2% 12,800 Honeywell International Inc. ............................... 468,864 72,000 Tyco International Ltd. .................................... 2,386,080 - -------------------------------------------------------------------------------------- 2,854,944 - --------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 50 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 SOCIAL AWARENESS STOCK PORTFOLIO
SHARES SECURITY VALUE - -------------------------------------------------------------------------------------- MACHINERY -- 2.0% 9,000 Illinois Tool Works Inc. ................................... $ 863,010 23,200 Navistar International Corp.+............................... 899,232 - -------------------------------------------------------------------------------------- 1,762,242 - -------------------------------------------------------------------------------------- ROAD & RAIL -- 0.8% 26,800 Norfolk Southern Corp. ..................................... 710,736 - -------------------------------------------------------------------------------------- TOTAL INDUSTRIALS........................................... 10,296,658 - -------------------------------------------------------------------------------------- INFORMATION TECHNOLOGY -- 23.5% COMMUNICATIONS EQUIPMENT -- 6.2% 57,500 Cisco Systems, Inc.+........................................ 1,362,750 63,300 Juniper Networks, Inc.+..................................... 1,555,281 44,300 Motorola, Inc. ............................................. 808,475 112,200 Nokia Oyj, Sponsored ADR.................................... 1,631,388 49,100 Nortel Networks Corp.+...................................... 245,009 - -------------------------------------------------------------------------------------- 5,602,903 - -------------------------------------------------------------------------------------- COMPUTERS & PERIPHERALS -- 2.9% 33,300 Dell Inc.+.................................................. 1,192,806 54,900 EMC Corp.+.................................................. 625,860 38,300 Network Appliance, Inc.+.................................... 824,599 - -------------------------------------------------------------------------------------- 2,643,265 - -------------------------------------------------------------------------------------- ELECTRONIC EQUIPMENT & INSTRUMENTS -- 2.1% 33,100 Agilent Technologies, Inc.+................................. 969,168 50,000 Vishay Intertechnology, Inc.+............................... 929,000 - -------------------------------------------------------------------------------------- 1,898,168 - -------------------------------------------------------------------------------------- IT CONSULTING & SERVICES -- 1.2% 38,600 Accenture Ltd., Class A Shares+............................. 1,060,728 - -------------------------------------------------------------------------------------- SEMICONDUCTOR EQUIPMENT & PRODUCTS -- 3.1% 17,700 Applied Materials, Inc.+.................................... 347,274 87,500 Intel Corp. ................................................ 2,415,000 - -------------------------------------------------------------------------------------- 2,762,274 - -------------------------------------------------------------------------------------- SOFTWARE -- 8.0% 25,000 Amdocs Ltd.+................................................ 585,750 55,300 BEA Systems, Inc.+.......................................... 454,566 100,300 Microsoft Corp. ............................................ 2,864,568 64,900 Oracle Corp.+............................................... 774,257 35,500 Siebel Systems, Inc.+....................................... 379,140 75,100 VERITAS Software Corp.+..................................... 2,080,270 - -------------------------------------------------------------------------------------- 7,138,551 - -------------------------------------------------------------------------------------- TOTAL INFORMATION TECHNOLOGY................................ 21,105,889 - --------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 51 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 SOCIAL AWARENESS STOCK PORTFOLIO
SHARES SECURITY VALUE - -------------------------------------------------------------------------------------- MATERIALS -- 6.0% CHEMICALS -- 3.4% 22,400 Air Products & Chemicals, Inc. ............................. $ 1,174,880 25,000 E.I. du Pont de Nemours & Co. .............................. 1,110,500 20,000 Praxair, Inc. .............................................. 798,200 - -------------------------------------------------------------------------------------- 3,083,580 - -------------------------------------------------------------------------------------- METALS & MINING -- 1.7% 46,400 Alcoa Inc. ................................................. 1,532,592 - -------------------------------------------------------------------------------------- PAPER & FOREST PRODUCTS -- 0.9% 10,000 International Paper Co. .................................... 447,000 5,000 Weyerhaeuser Co. ........................................... 315,600 - -------------------------------------------------------------------------------------- 762,600 - -------------------------------------------------------------------------------------- TOTAL MATERIALS............................................. 5,378,772 - -------------------------------------------------------------------------------------- UTILITIES -- 0.8% ELECTRIC UTILITIES -- 0.8% 10,000 Consolidated Edison, Inc. .................................. 397,600 10,000 The Southern Co. ........................................... 291,500 - -------------------------------------------------------------------------------------- TOTAL UTILITIES............................................. 689,100 - -------------------------------------------------------------------------------------- TOTAL COMMON STOCK (Cost -- $77,876,757).................... 89,340,954 - -------------------------------------------------------------------------------------- FACE AMOUNT SECURITY VALUE - -------------------------------------------------------------------------------------- REPURCHASE AGREEMENT -- 0.3% $ 228,000 UBS Securities LLC dated 6/30/04, 1.280% due 7/1/04; Proceeds at maturity -- $228,008; (Fully collateralized by U.S. Treasury Bonds, 5.500% to 13.250% due 8/15/13 to 8/15/28; Market value -- $232,561) (Cost -- $228,000)........................................ 228,000 - -------------------------------------------------------------------------------------- TOTAL INVESTMENTS -- 100.0% (Cost -- $78,104,757*).......... $89,568,954 - --------------------------------------------------------------------------------------
+ Non-income producing security. * Aggregate cost for Federal income tax purposes is substantially the same. Abbreviation used in this schedule: ADR -- American Depository Receipt SEE NOTES TO FINANCIAL STATEMENTS. 52 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 PIONEER FUND PORTFOLIO
SHARES SECURITY VALUE - -------------------------------------------------------------------------------------- COMMON STOCK -- 98.7% - -------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY -- 13.3% AUTO COMPONENTS -- 0.9% 5,090 Johnson Controls, Inc. ..................................... $ 271,704 - -------------------------------------------------------------------------------------- AUTOMOBILES -- 1.2% 22,923 Ford Motor Co. ............................................. 358,745 - -------------------------------------------------------------------------------------- MEDIA -- 6.4% 4,542 Gannett Co., Inc. .......................................... 385,389 7,307 The McGraw Hill Cos., Inc. ................................. 559,497 4,022 Omnicom Group Inc. ......................................... 305,230 17,489 Reed Elsevier NV, Sponsored ADR............................. 497,212 3,833 The Walt Disney Co. ........................................ 97,703 - -------------------------------------------------------------------------------------- 1,845,031 - -------------------------------------------------------------------------------------- MULTI-LINE RETAIL -- 3.3% 3,161 Family Dollar Stores, Inc. ................................. 96,158 5,520 The May Department Stores Co. .............................. 151,745 12,484 Target Corp. ............................................... 530,195 3,468 Wal-Mart Stores, Inc. ...................................... 182,972 - -------------------------------------------------------------------------------------- 961,070 - -------------------------------------------------------------------------------------- SPECIALTY RETAIL -- 1.2% 2,745 Barnes & Noble, Inc.+....................................... 93,275 4,546 Lowe's Cos., Inc. .......................................... 238,892 - -------------------------------------------------------------------------------------- 332,167 - -------------------------------------------------------------------------------------- TEXTILES & APPAREL -- 0.3% 2,275 Liz Claiborne, Inc. ........................................ 81,854 - -------------------------------------------------------------------------------------- TOTAL CONSUMER DISCRETIONARY................................ 3,850,571 - -------------------------------------------------------------------------------------- CONSUMER STAPLES -- 10.9% BEVERAGES -- 1.2% 6,144 PepsiCo, Inc. .............................................. 331,039 - -------------------------------------------------------------------------------------- FOOD & DRUG RETAILING -- 2.6% 7,854 Sysco Corp. ................................................ 281,723 12,950 Walgreen Co. ............................................... 468,919 - -------------------------------------------------------------------------------------- 750,642 - -------------------------------------------------------------------------------------- FOOD PRODUCTS -- 3.7% 7,969 Campbell Soup Co. .......................................... 214,207 4,321 General Mills, Inc. ........................................ 205,377 6,788 H.J. Heinz Co. ............................................. 266,090 4,956 Hershey Foods Corp. ........................................ 229,314 7,104 Sara Lee Corp. ............................................. 163,321 - -------------------------------------------------------------------------------------- 1,078,309 - --------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 53 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 PIONEER FUND PORTFOLIO
SHARES SECURITY VALUE - -------------------------------------------------------------------------------------- HOUSEHOLD PRODUCTS -- 3.0% 1,329 The Clorox Co. ............................................. $ 71,474 6,158 Colgate-Palmolive Co. ...................................... 359,935 8,206 The Procter & Gamble Co. ................................... 446,735 - -------------------------------------------------------------------------------------- 878,144 - -------------------------------------------------------------------------------------- PERSONAL PRODUCTS -- 0.4% 2,045 The Estee Lauder Cos. Inc., Class A Shares.................. 99,755 - -------------------------------------------------------------------------------------- TOTAL CONSUMER STAPLES...................................... 3,137,889 - -------------------------------------------------------------------------------------- ENERGY -- 8.1% ENERGY EQUIPMENT & SERVICES -- 1.0% 5,128 Smith International, Inc.+.................................. 285,937 - -------------------------------------------------------------------------------------- OIL & GAS -- 7.1% 2,161 Apache Corp. ............................................... 94,112 1,534 BP PLC, Sponsored ADR....................................... 82,176 6,687 ChevronTexaco Corp. ........................................ 629,314 3,023 ConocoPhillips.............................................. 230,625 13,625 Exxon Mobil Corp. .......................................... 605,086 3,936 Occidental Petroleum Corp. ................................. 190,542 6,293 Pioneer Natural Resources Co. .............................. 220,758 - -------------------------------------------------------------------------------------- 2,052,613 - -------------------------------------------------------------------------------------- TOTAL ENERGY................................................ 2,338,550 - -------------------------------------------------------------------------------------- FINANCIALS -- 16.5% BANKS -- 7.7% 4,863 The Bank of New York Co., Inc. ............................. 143,361 3,629 Charter One Financial, Inc. ................................ 160,366 3,426 First Horizon National Corp. ............................... 155,780 12,988 National City Corp. ........................................ 454,710 3,781 SouthTrust Corp. ........................................... 146,741 5,198 SunTrust Banks, Inc. ....................................... 337,818 8,848 U.S. Bancorp................................................ 243,851 6,143 Washington Mutual, Inc. .................................... 237,366 4,085 Wells Fargo & Co. .......................................... 233,784 2,002 Zions Bancorp. ............................................. 123,023 - -------------------------------------------------------------------------------------- 2,236,800 - -------------------------------------------------------------------------------------- DIVERSIFIED FINANCIALS -- 5.2% 4,086 American Express Co. ....................................... 209,939 4,612 Federated Investors, Inc., Class B Shares................... 139,928 5,660 Merrill Lynch & Co., Inc. .................................. 305,527 7,340 State Street Corp. ......................................... 359,954 9,502 T. Rowe Price Group Inc. ................................... 478,901 - -------------------------------------------------------------------------------------- 1,494,249 - --------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 54 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 PIONEER FUND PORTFOLIO
SHARES SECURITY VALUE - -------------------------------------------------------------------------------------- INSURANCE -- 3.6% 4,381 American International Group, Inc. ......................... $ 312,278 5,344 The Chubb Corp. ............................................ 364,354 2,983 SAFECO Corp. ............................................... 131,252 5,942 The St. Paul Travelers Cos., Inc. .......................... 240,889 - -------------------------------------------------------------------------------------- 1,048,773 - -------------------------------------------------------------------------------------- TOTAL FINANCIALS............................................ 4,779,822 - -------------------------------------------------------------------------------------- HEALTHCARE -- 12.8% HEALTHCARE EQUIPMENT & SUPPLIES -- 2.8% 6,966 Becton Dickinson & Co. ..................................... 360,839 4,091 Biomet, Inc. ............................................... 181,804 2,909 Guidant Corp. .............................................. 162,555 1,483 St. Jude Medical, Inc.+..................................... 112,189 - -------------------------------------------------------------------------------------- 817,387 - -------------------------------------------------------------------------------------- HEALTHCARE PROVIDERS & SERVICES -- 1.1% 1,329 Cardinal Health, Inc. ...................................... 93,096 2,165 UnitedHealth Group Inc. .................................... 134,771 764 WellPoint Health Networks, Inc.+............................ 85,576 - -------------------------------------------------------------------------------------- 313,443 - -------------------------------------------------------------------------------------- PHARMACEUTICALS -- 8.9% 5,588 Abbott Laboratories......................................... 227,767 3,618 Barr Pharmaceuticals, Inc.+................................. 121,927 4,347 Eli Lilly and Co. .......................................... 303,899 8,643 Johnson & Johnson........................................... 481,415 6,364 Merck & Co., Inc. .......................................... 302,290 7,286 Mylan Laboratories Inc. .................................... 147,541 5,452 Novartis AG, ADR............................................ 242,614 7,296 Pfizer Inc. ................................................ 250,107 1,737 Roche Holding AG, Sponsored ADR............................. 171,980 17,236 Schering-Plough Corp. ...................................... 318,521 - -------------------------------------------------------------------------------------- 2,568,061 - -------------------------------------------------------------------------------------- TOTAL HEALTHCARE............................................ 3,698,891 - -------------------------------------------------------------------------------------- INDUSTRIALS -- 12.9% AEROSPACE & DEFENSE -- 2.7% 4,566 General Dynamics Corp. ..................................... 453,404 3,407 United Technologies Corp. .................................. 311,672 - -------------------------------------------------------------------------------------- 765,076 - -------------------------------------------------------------------------------------- AIR FREIGHT & COURIERS -- 0.5% 2,046 United Parcel Service, Inc., Class B Shares................. 153,798 - -------------------------------------------------------------------------------------- AIRLINES -- 0.9% 16,062 Southwest Airlines Co. ..................................... 269,360 - --------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 55 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 PIONEER FUND PORTFOLIO
SHARES SECURITY VALUE - -------------------------------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES -- 1.4% 4,589 Automatic Data Processing Inc. ............................. $ 192,187 2,560 DST Systems, Inc.+.......................................... 123,110 2,488 Fiserv, Inc.+............................................... 96,758 - -------------------------------------------------------------------------------------- 412,055 - -------------------------------------------------------------------------------------- ELECTRICAL EQUIPMENT -- 0.5% 2,031 Emerson Electric Co. ....................................... 129,070 - -------------------------------------------------------------------------------------- INDUSTRIAL CONGLOMERATES -- 0.3% 2,865 General Electric Co. ....................................... 92,826 - -------------------------------------------------------------------------------------- MACHINERY -- 4.4% 4,094 Caterpillar Inc. ........................................... 325,227 5,911 Deere & Co. ................................................ 414,598 2,188 Illinois Tool Works, Inc. .................................. 209,807 5,619 PACCAR Inc. ................................................ 325,846 - -------------------------------------------------------------------------------------- 1,275,478 - -------------------------------------------------------------------------------------- ROAD & RAIL -- 2.2% 4,819 Burlington Northern Santa Fe Corp. ......................... 169,002 17,035 Norfolk Southern Corp. ..................................... 451,768 - -------------------------------------------------------------------------------------- 620,770 - -------------------------------------------------------------------------------------- TOTAL INDUSTRIALS........................................... 3,718,433 - -------------------------------------------------------------------------------------- INFORMATION TECHNOLOGY -- 13.3% COMMUNICATIONS EQUIPMENT -- 2.0% 20,030 Motorola, Inc. ............................................. 365,547 14,083 Nokia Oyj, Sponsored ADR.................................... 204,767 - -------------------------------------------------------------------------------------- 570,314 - -------------------------------------------------------------------------------------- COMPUTERS & PERIPHERALS -- 3.1% 1,909 Apple Computer, Inc.+....................................... 62,119 7,345 Dell Inc.+.................................................. 263,098 7,892 Hewlett-Packard Co. ........................................ 166,521 2,834 International Business Machines Corp. ...................... 249,817 32,653 Sun Microsystems, Inc.+..................................... 141,714 - -------------------------------------------------------------------------------------- 883,269 - -------------------------------------------------------------------------------------- ELECTRONIC EQUIPMENT & INSTRUMENTS -- 0.4% 2,478 Diebold, Inc. .............................................. 131,012 - -------------------------------------------------------------------------------------- IT CONSULTING & SERVICES -- 0.9% 3,528 Computer Sciences Corp.+.................................... 163,805 3,504 SunGard Data Systems Inc.+.................................. 91,104 - -------------------------------------------------------------------------------------- 254,909 - -------------------------------------------------------------------------------------- OFFICE ELECTRONICS -- 1.0% 5,638 Canon Inc., Sponsored ADR................................... 301,069 - --------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 56 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 PIONEER FUND PORTFOLIO
SHARES SECURITY VALUE - -------------------------------------------------------------------------------------- SEMICONDUCTOR EQUIPMENT & PRODUCTS -- 3.4% 14,032 Applied Materials, Inc.+.................................... $ 275,308 14,713 Intel Corp. ................................................ 406,079 13,033 Texas Instruments Inc. ..................................... 315,138 - -------------------------------------------------------------------------------------- 996,525 - -------------------------------------------------------------------------------------- SOFTWARE -- 2.5% 4,168 Adobe Systems, Inc. ........................................ 193,812 13,973 Microsoft Corp. ............................................ 399,069 2,698 Symantec Corp.+............................................. 118,118 - -------------------------------------------------------------------------------------- 710,999 - -------------------------------------------------------------------------------------- TOTAL INFORMATION TECHNOLOGY................................ 3,848,097 - -------------------------------------------------------------------------------------- MATERIALS -- 5.4% CHEMICALS -- 1.8% 2,235 Air Products & Chemicals, Inc. ............................. 117,226 4,196 E.I. du Pont de Nemours & Co. .............................. 186,386 2,965 Ecolab Inc. ................................................ 93,990 1,815 PPG Industries, Inc. ....................................... 113,419 - -------------------------------------------------------------------------------------- 511,021 - -------------------------------------------------------------------------------------- METALS & MINING -- 3.1% 5,120 Alcoa Inc. ................................................. 169,114 4 Newmont Mining Corp. ....................................... 155 3,636 Phelps Dodge Corp. ......................................... 281,826 4,517 Rio Tinto PLC, Sponsored ADR................................ 442,892 - -------------------------------------------------------------------------------------- 893,987 - -------------------------------------------------------------------------------------- PAPER & FOREST PRODUCTS -- 0.5% 4,925 MeadWestvaco Corp. ......................................... 144,746 - -------------------------------------------------------------------------------------- TOTAL MATERIALS............................................. 1,549,754 - -------------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES -- 3.4% DIVERSIFIED TELECOMMUNICATION SERVICES -- 3.4% 2,293 ALLTEL Corp. ............................................... 116,072 13,876 BellSouth Corp. ............................................ 363,829 20,474 SBC Communications Inc. .................................... 496,494 - -------------------------------------------------------------------------------------- TOTAL TELECOMMUNICATION SERVICES............................ 976,395 - -------------------------------------------------------------------------------------- UTILITIES -- 2.1% ELECTRIC UTILITIES -- 1.4% 3,243 American Electric Power Co., Inc. .......................... 103,776 3,378 Consolidated Edison, Inc. .................................. 134,309 5,402 The Southern Co. ........................................... 157,468 - -------------------------------------------------------------------------------------- 395,553 - -------------------------------------------------------------------------------------- GAS UTILITIES -- 0.3% 2,513 KeySpan Corp. .............................................. 92,227 - -------------------------------------------------------------------------------------- MULTI-UTILITIES -- 0.3% 3,579 Vectren Corp. .............................................. 89,797 - --------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 57 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 PIONEER FUND PORTFOLIO
SHARES SECURITY VALUE - -------------------------------------------------------------------------------------- WATER UTILITIES -- 0.1% 1,672 Aqua America, Inc. ......................................... $ 33,524 - -------------------------------------------------------------------------------------- TOTAL UTILITIES............................................. 611,101 - -------------------------------------------------------------------------------------- TOTAL COMMON STOCK (Cost -- $23,953,830).................... 28,509,503 - -------------------------------------------------------------------------------------- FACE AMOUNT SECURITY VALUE - -------------------------------------------------------------------------------------- REPURCHASE AGREEMENT -- 1.3% $ 383,000 State Street Bank and Trust Co. dated 6/30/04, 1.150% due 7/1/04; Proceeds at maturity -- $383,012; (Fully collateralized by U.S. Treasury Notes, 6.500% due 10/15/06; Market value -- $392,590) (Cost -- $383,000).... 383,000 - -------------------------------------------------------------------------------------- TOTAL INVESTMENTS -- 100.0% (Cost -- $24,336,830*).......... $28,892,503 - --------------------------------------------------------------------------------------
+ Non-income producing security. * Aggregate cost for Federal income tax purposes is substantially the same. Abbreviation used in this schedule: ADR -- American Depositary Receipt SEE NOTES TO FINANCIAL STATEMENTS. 58 - -------------------------------------------------------------------------------- STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED) JUNE 30, 2004
U.S. GOVERNMENT SOCIAL AWARENESS PIONEER SECURITIES STOCK FUND PORTFOLIO PORTFOLIO PORTFOLIO - -------------------------------------------------------------------------------------------------------------- ASSETS: Investments, at cost................................. $234,414,357 $ 78,104,757 $ 24,336,830 - -------------------------------------------------------------------------------------------------------------- Investments, at value................................ $231,760,671 $ 89,568,954 $ 28,892,503 Cash................................................. 439 487 856 Dividends and interest receivable.................... 1,886,812 43,491 30,323 Receivable for Fund shares sold...................... -- 11,882 24,476 - -------------------------------------------------------------------------------------------------------------- TOTAL ASSETS......................................... 233,647,922 89,624,814 28,948,158 - -------------------------------------------------------------------------------------------------------------- LIABILITIES: Payable for securities purchased..................... 21,020,042 -- -- Payable for Fund shares reacquired................... 302,043 -- 488 Investment advisory fees payable..................... 55,857 44,375 17,411 Administration fees payable.......................... 10,371 4,351 1,412 Accrued expenses..................................... 41,989 24,589 28,150 - -------------------------------------------------------------------------------------------------------------- TOTAL LIABILITIES.................................... 21,430,302 73,315 47,461 - -------------------------------------------------------------------------------------------------------------- TOTAL NET ASSETS....................................... $212,217,620 $ 89,551,499 $ 28,900,697 - -------------------------------------------------------------------------------------------------------------- NET ASSETS: Paid-in capital...................................... $209,145,991 $ 89,889,289 $ 38,459,116 Undistributed net investment income.................. 4,586,211 160,271 88,425 Accumulated net realized gain (loss) from investment transactions...................................... 1,139,104 (11,962,258) (14,202,517) Net unrealized appreciation (depreciation) of investments....................................... (2,653,686) 11,464,197 4,555,673 - -------------------------------------------------------------------------------------------------------------- TOTAL NET ASSETS....................................... $212,217,620 $ 89,551,499 $ 28,900,697 - -------------------------------------------------------------------------------------------------------------- SHARES OUTSTANDING..................................... 16,900,170 3,900,929 2,598,649 - -------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, PER SHARE............................. $12.56 $22.96 $11.12 - --------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 59 - -------------------------------------------------------------------------------- STATEMENTS OF OPERATIONS (UNAUDITED) FOR THE SIX MONTHS ENDED JUNE 30, 2004
U.S. GOVERNMENT SOCIAL AWARENESS PIONEER SECURITIES STOCK FUND PORTFOLIO PORTFOLIO PORTFOLIO - ------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME: Interest................................................ $ 5,032,903 $ 6,169 $ 2,283 Dividends............................................... -- 465,076 253,605 Less: Foreign withholding tax........................... -- (9,505) (3,156) - ------------------------------------------------------------------------------------------------------------- TOTAL INVESTMENT INCOME................................. 5,032,903 461,740 252,732 - ------------------------------------------------------------------------------------------------------------- EXPENSES: Investment management and advisory fees (Note 2)........ 330,680 251,174 105,296 Administration fees (Note 2)............................ 61,370 24,688 8,424 Audit and legal......................................... 23,589 14,910 21,921 Shareholder communications.............................. 11,597 2,338 15,615 Custody................................................. 10,650 4,077 7,156 Trustees' fees.......................................... 5,256 1,561 3,057 Transfer agency services................................ 2,500 2,488 2,484 Other................................................... 1,050 398 657 - ------------------------------------------------------------------------------------------------------------- TOTAL EXPENSES.......................................... 446,692 301,634 164,610 - ------------------------------------------------------------------------------------------------------------- NET INVESTMENT INCOME..................................... 4,586,211 160,106 88,122 - ------------------------------------------------------------------------------------------------------------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 3): Realized Gain From Investment Transactions (excluding short-term investments): Proceeds from sales.................................. 96,515,477 14,312,432 3,569,295 Cost of securities sold.............................. 95,312,547 12,458,431 3,070,672 - ------------------------------------------------------------------------------------------------------------- NET REALIZED GAIN....................................... 1,202,930 1,854,001 498,623 - ------------------------------------------------------------------------------------------------------------- Change in Net Unrealized Appreciation (Depreciation) of Investments: Beginning of period.................................. 2,751,482 13,416,275 4,628,387 End of period........................................ (2,653,686) 11,464,197 4,555,673 - ------------------------------------------------------------------------------------------------------------- CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION).... (5,405,168) (1,952,078) (72,714) - ------------------------------------------------------------------------------------------------------------- NET GAIN (LOSS) ON INVESTMENTS............................ (4,202,238) (98,077) 425,909 - ------------------------------------------------------------------------------------------------------------- INCREASE IN NET ASSETS FROM OPERATIONS.................... $ 383,973 $ 62,029 $ 514,031 - -------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 60 - -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS FOR THE SIX MONTHS ENDED JUNE 30, 2004 (UNAUDITED) AND THE YEAR ENDED DECEMBER 31, 2003
U.S. GOVERNMENT SECURITIES PORTFOLIO 2004 2003 - ------------------------------------------------------------------------------------------ OPERATIONS: Net investment income..................................... $ 4,586,211 $ 10,080,394 Net realized gain......................................... 1,202,930 3,472,252 Increase in net unrealized depreciation................... (5,405,168) (7,330,998) - ------------------------------------------------------------------------------------------ INCREASE IN NET ASSETS FROM OPERATIONS.................... 383,973 6,221,648 - ------------------------------------------------------------------------------------------ DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income..................................... -- (10,812,735) Net realized gains........................................ (382,384) (3,572,312) - ------------------------------------------------------------------------------------------ DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO SHAREHOLDERS........................................... (382,384) (14,385,047) - ------------------------------------------------------------------------------------------ FUND SHARE TRANSACTIONS (NOTE 7): Net proceeds from sale of shares.......................... 25,308,709 29,246,982 Net asset value of shares issued for reinvestment of dividends.............................................. 382,384 14,385,047 Cost of shares reacquired................................. (23,357,018) (69,457,633) - ------------------------------------------------------------------------------------------ INCREASE (DECREASE) IN NET ASSETS FROM FUND SHARE TRANSACTIONS........................................... 2,334,075 (25,825,604) - ------------------------------------------------------------------------------------------ INCREASE (DECREASE) IN NET ASSETS........................... 2,335,664 (33,989,003) NET ASSETS: Beginning of period....................................... 209,881,956 243,870,959 - ------------------------------------------------------------------------------------------ END OF PERIOD*............................................ $212,217,620 $209,881,956 - ------------------------------------------------------------------------------------------ * Includes undistributed net investment income of:.......... $4,586,211 -- - ------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 61 - -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) FOR THE SIX MONTHS ENDED JUNE 30, 2004 (UNAUDITED) AND THE YEAR ENDED DECEMBER 31, 2003
SOCIAL AWARENESS STOCK PORTFOLIO 2004 2003 - ---------------------------------------------------------------------------------------- OPERATIONS: Net investment income..................................... $ 160,106 $ 404,628 Net realized gain (loss).................................. 1,854,001 (903,133) Increase (decrease) in net unrealized appreciation........ (1,952,078) 18,313,058 - ---------------------------------------------------------------------------------------- INCREASE IN NET ASSETS FROM OPERATIONS.................... 62,029 17,814,553 - ---------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income..................................... (22,632) (392,136) - ---------------------------------------------------------------------------------------- DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO SHAREHOLDERS........................................... (22,632) (392,136) - ---------------------------------------------------------------------------------------- FUND SHARE TRANSACTIONS (NOTE 7): Net proceeds from sale of shares.......................... 12,818,543 5,724,855 Net asset value of shares issued for reinvestment of dividends.............................................. 22,632 392,136 Cost of shares reacquired................................. (3,007,504) (6,158,720) - ---------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS FROM FUND SHARE TRANSACTIONS........................................... 9,833,671 (41,729) - ---------------------------------------------------------------------------------------- INCREASE IN NET ASSETS...................................... 9,873,068 17,380,688 NET ASSETS: Beginning of period....................................... 79,678,431 62,297,743 - ---------------------------------------------------------------------------------------- END OF PERIOD*............................................ $89,551,499 $79,678,431 - ---------------------------------------------------------------------------------------- * Includes undistributed net investment income of: ......... $160,271 $22,797 - ----------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 62 - -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) FOR THE SIX MONTHS ENDED JUNE 30, 2004 (UNAUDITED) AND THE YEAR ENDED DECEMBER 31, 2003
PIONEER FUND PORTFOLIO 2004 2003 - ---------------------------------------------------------------------------------------- OPERATIONS: Net investment income..................................... $ 88,122 $ 357,895 Net realized gain (loss).................................. 498,623 (562,398) Increase (decrease) in net unrealized appreciation........ (72,714) 5,280,877 - ---------------------------------------------------------------------------------------- INCREASE IN NET ASSETS FROM OPERATIONS.................... 514,031 5,076,374 - ---------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income..................................... -- (360,254) - ---------------------------------------------------------------------------------------- DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO SHAREHOLDERS........................................... -- (360,254) - ---------------------------------------------------------------------------------------- FUND SHARE TRANSACTIONS (NOTE 7): Net proceeds from sale of shares.......................... 2,587,117 4,118,215 Net asset value of shares issued for reinvestment of dividends.............................................. -- 360,254 Cost of shares reacquired................................. (1,601,444) (3,354,880) - ---------------------------------------------------------------------------------------- INCREASE IN NET ASSETS FROM FUND SHARE TRANSACTIONS....... 985,673 1,123,589 - ---------------------------------------------------------------------------------------- INCREASE IN NET ASSETS...................................... 1,499,704 5,839,709 NET ASSETS: Beginning of period....................................... 27,400,993 21,561,284 - ---------------------------------------------------------------------------------------- END OF PERIOD*............................................ $28,900,697 $27,400,993 - ---------------------------------------------------------------------------------------- * Includes undistributed net investment income of: ......... $88,425 $303 - ----------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 63 - -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (UNAUDITED) 1. SIGNIFICANT ACCOUNTING POLICIES The U.S. Government Securities Portfolio ("USGS"), Social Awareness Stock Portfolio ("SAS") and Pioneer Fund Portfolio ("PFP") (collectively, "Fund(s)") are separate diversified investment funds of The Travelers Series Trust ("Trust"). The Trust is a Massachusetts business trust registered under the Investment Company Act of 1940, as amended, as an open-end management investment company and consists of these funds and 13 other separate investment funds: Travelers Quality Bond, Lazard International Stock, MFS Emerging Growth, Federated High Yield, Federated Stock, Large Cap, Equity Income, Disciplined Mid Cap Stock, Convertible Securities, MFS Mid Cap Growth, Merrill Lynch Large Cap Core, MFS Value, and Zero Coupon Bond Fund (Series 2005) Portfolios. Shares of the Trust are offered exclusively for use with certain variable annuity and variable life insurance contracts offered through the separate accounts of various affiliated life insurance companies. The financial statements and financial highlights for the other funds are presented in separate shareholder reports. The following are significant accounting policies consistently followed by the Funds and are in conformity with U.S. generally accepted accounting principles ("GAAP"): (a) security transactions are accounted for on trade date; (b) securities traded on national securities markets are valued at the closing prices on such markets; securities for which no sales prices were reported and U.S. government and agency obligations are valued at the mean between the last reported bid and asked prices or on the basis of quotations received from unaffiliated reputable brokers or other recognized sources; securities listed on the NASDAQ National Market System for which market quotations are available are valued at the official closing price or, if there is no official closing price on that day, at the last sale price; (c) securities for which market quotations are not available will be valued in good faith at fair value by or under the direction of the Board of Trustees; (d) securities maturing within 60 days are valued at cost plus accreted discount, or minus amortized premium, which approximates value; (e) securities, other than U.S. government agencies and obligations, that have a maturity of more than 60 days are valued at prices based on market quotations for securities of similar type, yield and maturity; (f) interest income, adjusted for amortization of premium and accretion of discount, is recorded on an accrual basis and dividend income is recorded on the ex-dividend date; foreign dividends are recorded on the ex-dividend date or as soon as practical after the Fund determines the existence of a dividend declaration after exercising reasonable due diligence; (g) gains or losses on the sale of securities are calculated by using the specific identification method; (h) dividends and distributions to shareholders are recorded on the ex- dividend date; the Funds distribute dividends and capital gains, if any, at least annually; (i) the accounting records of the Funds are maintained in U.S. dollars. All assets and liabilities denominated in foreign currencies are translated into U.S. dollars on the date of valuation. Purchases and sales of securities and income and expenses are translated at the rate of exchange quoted on the respective date that such transactions are recorded. Differences between income and expense amounts recorded and collected or paid are adjusted when reported by the custodian; (j) the character of income and gains to be distributed is determined in accordance with income tax regulations which may differ from GAAP; (k) the Funds intend to comply with the applicable provisions of the Internal Revenue Code of 1986, as amended, pertaining to regulated investment companies and to make distributions of taxable income sufficient to relieve it from substantially all Federal income and excise taxes; and (l) estimates and assumptions are required to be made regarding assets, liabilities and changes in net assets resulting from operations when financial statements are prepared. Changes in the economic environment, financial markets and any other parameters used in determining these estimates could cause actual results to differ. 2. INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS Travelers Asset Management International Company LLC ("TAMIC"), an indirect wholly-owned subsidiary of Citigroup Inc., ("Citigroup"), acts as investment adviser to USGS and PFP. USGS and PFP pay TAMIC an investment advisory fee calculated at the annual rate of 0.3233% and 0.75% of its average daily net assets, respectively. Prior to May 1, 2003, Smith Barney Fund Management LLC ("SBFM"), another indirect wholly-owned subsidiary of Citigroup, acted as investment manager to PFP and under the previous agreement, PFP paid SBFM an investment management and advisory fee calculated at an annual rate of 0.65% of PFP's average daily net assets. These fees are calculated daily and paid monthly. 64 - -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED) SBFM acts as investment manager and adviser to SAS. SAS pays SBFM an investment management and advisory fee calculated at an annual rate of: 0.65% on the first $50 million, 0.55% on the next $50 million, 0.45% on the next $100 million and 0.40% on amounts over $200 million of the average daily net assets of SAS. This fee is calculated daily and paid monthly. TAMIC has a sub-advisory agreement with Pioneer Investment Management, Inc. ("Pioneer"). Pursuant to the sub-advisory agreement, Pioneer is responsible for the day-to-day operations and investment decisions for PFP. As a result, TAMIC pays Pioneer, as sub-adviser, an advisory fee calculated at an annual rate of 0.375% of the average daily net assets of PFP. The Travelers Insurance Company ("TIC"), another indirect wholly-owned subsidiary of Citigroup, acts as administrator to the Funds. The Funds pay TIC an administration fee calculated at an annual rate of 0.06% of the average daily net assets of each Fund. This fee is calculated daily and paid monthly. TIC has entered into a sub-administrative services agreement with SBFM. TIC pays SBFM, as sub-administrator, a fee calculated at an annual rate of 0.02% of the average daily net assets of each Fund, plus $30,000 per Fund, subject to a maximum of 0.06% of each Fund's average daily net assets. Citicorp Trust Bank, fsb. ("CTB"), another subsidiary of Citigroup, acts as the Funds' transfer agent. CTB receives account fees and asset-based fees that vary according to the size and type of account. For the six months ended June 30, 2004, each Fund paid transfer agent fees of $2,500 to CTB. For the six months ended June 30, 2004, Citigroup Global Markets Inc., another indirect wholly-owned subsidiary of Citigroup, and its affiliates received brokerage commissions of $326 from PFP. One Trustee and all officers of the Trust are employees of Citigroup or its affiliates. 3. INVESTMENTS During the six months ended June 30, 2004, the aggregate cost of purchases and proceeds from sales of investments (including maturities of long-term investments, but excluding short-term investments and mortgage dollar rolls) were as follows:
USGS SAS PFP - ----------------------------------------------------------------------------------------------------- Purchases................................................... $111,751,137 $26,310,563 $4,589,683 - ----------------------------------------------------------------------------------------------------- Sales....................................................... 96,515,477 14,312,432 3,569,295 - -----------------------------------------------------------------------------------------------------
At June 30, 2004, the aggregate gross unrealized appreciation and depreciation of investments for Federal income tax purposes were substantially as follows:
USGS SAS PFP - ---------------------------------------------------------------------------------------------------- Gross unrealized appreciation............................... $ 2,534,580 $15,518,313 $4,776,973 Gross unrealized depreciation............................... (5,188,266) (4,054,116) (221,300) - ---------------------------------------------------------------------------------------------------- Net unrealized appreciation (depreciation).................. $(2,653,686) $11,464,197 $4,555,673 - ----------------------------------------------------------------------------------------------------
4. REPURCHASE AGREEMENTS When entering into repurchase agreements, it is the Funds' 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 Funds may be delayed or limited. 65 - -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED) 5. MORTGAGE DOLLAR ROLLS The Funds may enter into mortgage dollar roll transactions. A mortgage dollar roll transaction involves a sale by the Fund of mortgage related securities that it holds with an agreement by the Fund to repurchase similar securities at an agreed upon price and date. The securities purchased will bear the same interest rate as those sold, but generally will be collateralized by pools of mortgages with different prepayment histories than those securities sold. Proceeds from the sale will be reinvested and the income from these investments, together with any additional income received on the sale, is included in investment income. Losses may arise due to changes in the value of the securities or if the counterparty does not perform under the terms of the agreement. If the counterparty files for bankruptcy or becomes insolvent, the Fund's right to repurchase the securities may be limited. During the six months ended June 30, 2004, USGS entered into mortgage dollar roll transactions in the aggregate amount of $80,238,842. At June 30, 2004, USGS had outstanding mortgage dollar rolls with a total cost of $22,053,094. SAS and PFP did not have any outstanding mortgage dollar rolls. 6. SECURITIES TRADED ON A TO-BE-ANNOUNCED BASIS The Funds may trade securities on a "to-be-announced" ("TBA") basis. In a TBA transaction, the Funds commit to purchasing or selling securities for which specific information is not yet known at the time of the trade, particularly the face amount and maturity date in GNMA/FNMA transactions. Securities purchased on a TBA basis normally settle 15 to 45 days after the trade date. These transactions are subject to market fluctuations and their current value is determined in the same manner as for other securities. At June 30, 2004, USGS held TBA securities with a total cost amounting to $22,053,094. 7. SHARES OF BENEFICIAL INTEREST The Declaration of Trust authorizes the issuance of an unlimited number of shares of beneficial interest without par value. Transactions in shares of each Fund were as follows:
SIX MONTHS ENDED YEAR ENDED JUNE 30, 2004 DECEMBER 31, 2003 - -------------------------------------------------------------------------------------------------- U.S. GOVERNMENT SECURITIES PORTFOLIO Shares sold................................................. 2,041,557 2,193,616 Shares issued on reinvestment............................... 30,542 1,138,891 Shares reacquired........................................... (1,838,547) (5,229,809) - -------------------------------------------------------------------------------------------------- Net Increase (Decrease)..................................... 233,552 (1,897,302) - -------------------------------------------------------------------------------------------------- SOCIAL AWARENESS STOCK PORTFOLIO Shares sold................................................. 572,403 283,273 Shares issued on reinvestment............................... 989 17,094 Shares reacquired........................................... (130,794) (309,569) - -------------------------------------------------------------------------------------------------- Net Increase (Decrease)..................................... 442,598 (9,202) - -------------------------------------------------------------------------------------------------- PIONEER FUND PORTFOLIO Shares sold................................................. 235,168 418,833 Shares issued on reinvestment............................... -- 33,048 Shares reacquired........................................... (145,166) (354,955) - -------------------------------------------------------------------------------------------------- Net Increase................................................ 90,002 96,926 - --------------------------------------------------------------------------------------------------
66 - -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED) 8. ADDITIONAL INFORMATION Citigroup has been notified by the Staff of the Securities and Exchange Commission ("SEC") that the Staff is considering recommending a civil injunctive action and/or an administrative proceeding against Citigroup Asset Management ("CAM"), including its applicable investment advisory companies and Citicorp Trust Bank ("CTB"), an internal transfer agent, relating to the creation and operation of the internal transfer agent unit to serve certain CAM-managed funds, including the Funds. This notification arises out of a previously disclosed investigation by the SEC and the U.S. Attorney and relates to CTB's entry in 1999 into the transfer agency business, CAM's retention of, and agreements with an unaffiliated sub transfer agent, the adequacy of the disclosures made to the fund boards that approved the transfer agency arrangements, (including CAM's failure to disclose a related revenue guarantee agreement benefiting CAM and its affiliates), and CAM's operation of and compensation for the transfer agency business. The revenue guarantee described above was terminated in 1999 and CAM will be paying the applicable funds, primarily through fee waivers, a total of approximately $17 million (plus interest) that is the amount of the revenue received by Citigroup relating to the revenue guarantee. Citigroup is cooperating fully in the investigation and will seek to resolve the matter in discussions with the SEC Staff. Although there can be no assurance, Citigroup does not believe that this matter will have a material adverse effect on the Funds. On August 12, 2004, CAM paid each Fund their allocable share of the amount described above through a waiver of their fees. The amount paid to each Fund is as follows:
- -------------------------------------------------------------------- U.S. Government Securities Portfolio........................ $1,726 Social Awareness Stock Portfolio............................ 1,652 Pioneer Fund Portfolio...................................... 1,707 - --------------------------------------------------------------------
67 - -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS For a share of beneficial interest outstanding throughout each year ended December 31, unless otherwise noted:
U.S. GOVERNMENT SECURITIES PORTFOLIO 2004(1) 2003(2) 2002(2) 2001(2) 2000(2) 1999(2) - -------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD............................ $12.59 $13.14 $12.44 $12.22 $11.30 $11.80 - -------------------------------------------------------------------------------------------------------- INCOME (LOSS) FROM OPERATIONS: Net investment income............. 0.27 0.56 0.63 0.69 0.74 0.68 Net realized and unrealized gain (loss)......................... (0.28) (0.20) 1.05 0.02 0.84 (1.18) - -------------------------------------------------------------------------------------------------------- Total Income (Loss) From Operations........................ (0.01) 0.36 1.68 0.71 1.58 (0.50) - -------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS FROM: Net investment income............. -- (0.68) (0.89) (0.49) (0.66) (0.00)* Net realized gains(3)............. (0.02) (0.23) (0.09) -- -- -- - -------------------------------------------------------------------------------------------------------- Total Distributions................. (0.02) (0.91) (0.98) (0.49) (0.66) (0.00)* - -------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD...... $12.56 $12.59 $13.14 $12.44 $12.22 $11.30 - -------------------------------------------------------------------------------------------------------- TOTAL RETURN(4)..................... (0.06)%++ 2.75% 13.63% 5.82% 14.53% (4.23)% - -------------------------------------------------------------------------------------------------------- NET ASSETS, END OF PERIOD (000S).... $212,218 $209,882 $243,871 $126,491 $90,970 $61,623 - -------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: Expenses(5)....................... 0.44%+ 0.42% 0.44% 0.45% 0.48% 0.48% Net investment income............. 4.48+ 4.23 4.82 5.55 6.46 5.97 - -------------------------------------------------------------------------------------------------------- PORTFOLIO TURNOVER RATE............. 47%** 143%** 165% 327% 289% 164% - --------------------------------------------------------------------------------------------------------
SOCIAL AWARENESS STOCK PORTFOLIO 2004(1) 2003(2) 2002 2001(2) 2000(2) 1999(2) - -------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD............................ $23.04 $17.97 $24.14 $28.76 $29.42 $25.92 - -------------------------------------------------------------------------------------------------------- INCOME (LOSS) FROM OPERATIONS: Net investment income............. 0.04 0.12 0.08 0.11 0.14 0.13 Net realized and unrealized gain (loss)......................... (0.11) 5.06 (6.06) (4.63) (0.29) 3.93 - -------------------------------------------------------------------------------------------------------- Total Income (Loss) From Operations........................ (0.07) 5.18 (5.98) (4.52) (0.15) 4.06 - -------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS FROM: Net investment income............. (0.01) (0.11) (0.19) (0.10) (0.16) (0.09) Net realized gains(3)............. -- -- -- -- (0.35) (0.47) - -------------------------------------------------------------------------------------------------------- Total Distributions................. (0.01) (0.11) (0.19) (0.10) (0.51) (0.56) - -------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD...... $22.96 $23.04 $17.97 $24.14 $28.76 $29.42 - -------------------------------------------------------------------------------------------------------- TOTAL RETURN(4)..................... (0.32)%++ 28.85% (24.81)% (15.71)% (0.49)% 15.84% - -------------------------------------------------------------------------------------------------------- NET ASSETS, END OF PERIOD (000S).... $89,551 $79,678 $62,298 $83,344 $81,184 $68,239 - -------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: Expenses(5)....................... 0.73%+ 0.78% 0.78% 0.74% 0.75% 0.80% Net investment income............. 0.39+ 0.59 0.40 0.45 0.48 0.69 - -------------------------------------------------------------------------------------------------------- PORTFOLIO TURNOVER RATE............. 18% 38% 37% 22% 33% 12% - --------------------------------------------------------------------------------------------------------
(1) For the six months ended June 30, 2004 (unaudited). (2) Per share amounts have been calculated using the monthly average shares method. (3) Distributions from realized gains include both net realized short-term and long-term capital gains. (4) Total returns do not reflect expenses associated with your variable contract such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. (5) As a result of voluntary expense limitations, the ratio of expenses to average net assets will not exceed 1.25%. * Amount represents less than $0.01 per share. ** Excluding mortgage dollar roll transactions. If mortgage dollar roll transactions had been included, the portfolio turnover rate would have been 86% and 168% for the six months ended June 30, 2004 and the year ended December 31, 2003, respectively. ++ Total return is not annualized, as it may not be representative of the total return for the year. + Annualized. 68 - -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (CONTINUED) For a share of beneficial interest outstanding throughout each year ended December 31, unless otherwise noted:
PIONEER FUND PORTFOLIO 2004(1) 2003(2) 2002(2) 2001(2) 2000(2) 1999(2) - -------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD.............................. $10.92 $ 8.94 $13.87 $19.22 $15.91 $17.18 - -------------------------------------------------------------------------------------------------------- INCOME (LOSS) FROM OPERATIONS: Net investment income............... 0.03 0.15 0.32 0.37 0.43 0.41 Net realized and unrealized gain (loss)........................... 0.17 1.98 (4.47) (4.65) 3.36 (0.36) - -------------------------------------------------------------------------------------------------------- Total Income (Loss) From Operations... 0.20 2.13 (4.15) (4.28) 3.79 0.05 - -------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS FROM: Net investment income............... -- (0.15) (0.78) (0.30) (0.45) (0.40) Net realized gains(3)............... -- -- -- (0.77) (0.03) (0.92) - -------------------------------------------------------------------------------------------------------- Total Distributions................... -- (0.15) (0.78) (1.07) (0.48) (1.32) - -------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD........ $11.12 $10.92 $ 8.94 $13.87 $19.22 $15.91 - -------------------------------------------------------------------------------------------------------- TOTAL RETURN(4)....................... 1.83%++ 23.78% (30.21)% (23.00)% 24.26% (0.08)% - -------------------------------------------------------------------------------------------------------- NET ASSETS, END OF PERIOD (000S)...... $28,901 $27,401 $21,561 $39,433 $48,456 $31,413 - -------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: Expenses(5)......................... 1.17%+ 1.12% 0.90% 0.81% 0.84% 0.88% Net investment income............... 0.63+ 1.56 2.88 2.18 2.47 2.41 - -------------------------------------------------------------------------------------------------------- PORTFOLIO TURNOVER RATE............... 13% 98% 25% 20% 22% 10% - --------------------------------------------------------------------------------------------------------
(1) For the six months ended June 30, 2004 (unaudited). (2) Per share amounts have been calculated using the monthly average shares method. (3) Distributions from realized gains include both net realized short-term and long-term capital gains. (4) Total returns do not reflect expenses associated with your variable contract such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. (5) As a result of voluntary expense limitations, the ratio of expenses to average net assets will not exceed 1.25%. ++ Total return is not annualized, as it may not be representative of the total return for the year. + Annualized. 69 MANAGED ASSETS TRUST, HIGH YIELD BOND TRUST, CAPITAL APPRECIATION FUND, MONEY MARKET PORTFOLIO AND THE TRAVELERS SERIES TRUST - -------------------------------------------------------------------------------- TRUSTEES R. Jay Gerken, CFA Chairman Frances M. Hawk, CFA, CFP Lewis Mandell Robert E. McGill, III OFFICERS R. Jay Gerken, CFA President and Chief Executive Officer Andrew B. Shoup Senior Vice President and Chief Administrative Officer William D. Wilcox* Chief Compliance Officer Andrew Beagley Chief Anti-Money Laundering Compliance Officer Kaprel Ozsolak Controller Kathleen A. McGah Secretary Ernest J. Wright Assistant Secretary *As of July 23, 2004. INVESTMENT MANAGER AND ADVISERS Travelers Asset Management International Company LLC Smith Barney Fund Management LLC (Social Awareness Stock Portfolio) ADMINISTRATOR The Travelers Insurance Company CUSTODIAN State Street Bank and Trust Company TRANSFER AGENT Citicorp Trust Bank, fsb. U.S. Government Securities Portfolio, Social Awareness Stock Portfolio and Pioneer Fund Portfolio are separate investment funds of The Travelers Series Trust, a Massachusetts business trust. This report is prepared for the general information of variable annuity or life contract owners and is not an offer of shares of Managed Assets Trust, High Yield Bond Trust, Capital Appreciation Fund, Money Market Portfolio, The Travelers Series Trust: U.S. Government Securities Portfolio, Social Awareness Stock Portfolio and Pioneer Fund Portfolio. All the funds contained in this report may not be available under your variable annuity or life contract. Beginning August 31, 2004, information on how the Funds voted proxies relating to portfolio securities during the 12 month period ended June 30, 2004 will be available (1) without charge, upon request, by calling 1-800-842-9368 and (2) on the SEC's website at www.sec.gov. A description of the policies that the Funds use to determine how to vote proxies relating to portfolio securities is available without charge, upon request, by telephoning the Fund (toll-free) at 1-800-842-9368 and by visiting the SEC's website at www.sec.gov. VG-181 (Semi-Annual) (8-04) Printed in U.S.A. ITEM 2. CODE OF ETHICS. Not Applicable. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. Not Applicable. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Not applicable. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. Not applicable. ITEM 6. [RESERVED] ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEM 8. [RESERVED] ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. Not applicable. ITEM 10. 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 half-year (the registrant's second fiscal half-year in the case of an annual report) that have materially affected, or are likely to materially affect the registrant's internal control over financial reporting. ITEM 11. EXHIBITS. (a) Not applicable. (b) Attached hereto. Exhibit 99.CERT Certifications pursuant to section 302 of the Sarbanes-Oxley Act of 2002 Exhibit 99.906CERT Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 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, there unto duly authorized. MANAGED ASSETS TRUST By: /s/ R. Jay Gerken R. Jay Gerken Chief Executive Officer of MANAGED ASSETS TRUST Date: September 9, 2004 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 of MANAGED ASSETS TRUST Date: September 9, 2004 By: /s/ Andrew B. Shoup Andrew B. Shoup Chief Administrative Officer of MANAGED ASSETS TRUST Date: September 9, 2004 EX-99.CERT 2 y99490aexv99wcert.txt 302 CERTIFICATION CERTIFICATIONS PURSUANT TO SECTION 302 EX-99.CERT CERTIFICATIONS I, R. Jay Gerken, certify that: 1. I have reviewed this report on Form N-CSR of Managed Assets Trust ; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) for the registrant and have: a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and c) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officers and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial data; and b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: September 9, 2004 /s/ R. Jay Gerken -------------------------------- R. Jay Gerken Chief Executive Officer I, Andrew B. Shoup, certify that: 1. I have reviewed this report on Form N-CSR of Managed Assets Trust ; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial information included in this report, and the financial statements on which the financial information is based, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act) for the registrant and have: a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and c) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officers and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial data; and b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: September 9, 2004 /s/ Andrew B. Shoup --------------------------------- Andrew B. Shoup Chief Administrative Officer EX-99.906CERT 3 y99490aexv99w906cert.txt 906 CERTIFICATION CERTIFICATIONS PURSUANT TO SECTION 906 EX-99.906CERT CERTIFICATION R. JAY GERKEN, Chief Executive Officer, and ANDREW B. SHOUP, Chief Administrative Officer of Managed Assets Trust (the "Registrant"), each certify to the best of his knowledge that: 1. The Registrant's periodic report on Form N-CSR for the period ended June 30, 2004 (the "Form N-CSR") fully complies with the requirements of section 15(d) of the Securities Exchange Act of 1934, as amended; and 2. The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Registrant. Chief Executive Officer Chief Administrative Officer Managed Assets Trust Managed Assets Trust /s/ R. Jay Gerken /s/ Andrew B. Shoup - -------------------------------- ------------------------------------------ R. Jay Gerken Andrew B. Shoup Date: September 9, 2004 Date: September 9, 2004 This certification is being furnished to the Securities and Exchange Commission solely pursuant to 18 U.S.C. Section 1350 and is not being filed as part of the Form N-CSR with the Commission. -----END PRIVACY-ENHANCED MESSAGE-----