-----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, L4Kcnc6DdDfl0ybNllC+nbhAEiE1AXRWEJZPTuDCEnohsY6WnBMRAd721TWxWjez 3hzL60J2pOiXZepGCs2onw== 0000950123-04-003185.txt : 20040311 0000950123-04-003185.hdr.sgml : 20040311 20040311160041 ACCESSION NUMBER: 0000950123-04-003185 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 4 CONFORMED PERIOD OF REPORT: 20031231 FILED AS OF DATE: 20040311 EFFECTIVENESS DATE: 20040311 FILER: COMPANY DATA: COMPANY CONFORMED NAME: TRAVELERS SERIES TRUST CENTRAL INDEX KEY: 0000880583 IRS NUMBER: 061346133 STATE OF INCORPORATION: MA FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-CSR SEC ACT: 1940 Act SEC FILE NUMBER: 811-06465 FILM NUMBER: 04663080 BUSINESS ADDRESS: STREET 1: ONE TOWER SQUARE STREET 2: C/O TRAVELERS INSURANCE CO CITY: HARTFORD STATE: CT ZIP: 06183-2020 BUSINESS PHONE: 2032777379 MAIL ADDRESS: STREET 1: ONE TOWER SQUARE STREET 2: ATTN FINANCIAL SERVICES LEGAL DIVISION CITY: HARTFORD STATE: CT ZIP: 06183-2020 N-CSR 1 y93435nnvcsr.txt N-CSR 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 811-6465 The Travelers Series 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: December 31, 2003 ITEM 1. REPORT TO STOCKHOLDERS. The Annual Report to Stockholders is filed herewith. [INSERT SHAREHOLDER REPORT] ANNUAL REPORT DECEMBER 31, 2003 [UMBRELLA ART TOP] [UMBRELLA ART BOTTOM] THE TRAVELERS SERIES TRUST: ZERO COUPON BOND FUND PORTFOLIO SERIES 2005 [TRAVELERS LOGO] The Travelers Insurance Company The Travelers Life and Annuity Company One Cityplace Hartford, CT 06103 ANNUAL REPORT FOR THE TRAVELERS SERIES TRUST - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- WHAT'S INSIDE LETTER FROM THE CHAIRMAN.................................... 1 MANAGER OVERVIEW............................................ 2 PERFORMANCE COMPARISON...................................... 3 SCHEDULE OF INVESTMENTS..................................... 4 STATEMENT OF ASSETS AND LIABILITIES......................... 6 STATEMENT OF OPERATIONS..................................... 7 STATEMENTS OF CHANGES IN NET ASSETS......................... 8 NOTES TO FINANCIAL STATEMENTS............................... 9 FINANCIAL HIGHLIGHTS........................................ 12 TAX INFORMATION............................................. 12 INDEPENDENT AUDITORS' REPORT................................ 13 ADDITIONAL INFORMATION...................................... 14
- -------------------------------------------------------------------------------- LETTER FROM THE CHAIRMAN [R. JAY GERKEN PHOTO] R. JAY GERKEN, CFA Chairman, President and Chief Executive Officer DEAR SHAREHOLDER, After several years of outperforming domestic stocks, the U.S. bond market settled back into a more modest range of gains. With short-term interest rates already at their lowest levels in 45 years, many market pundits expect rates to rise, albeit marginally. For now, low inflation rates, high productivity and a sluggish job picture appear to be restraining any desire for the Federal Reserve to raise rates or to take other monetary measures to restrict growth. Within this environment, the Zero Coupon Bond Fund Portfolio Series 2005 performed as follows: Performance of the Fund as of December 31, 2003
6 MONTHS 12 MONTHS -------- --------- Zero Coupon Bond Fund Portfolio Series 2005.................................... (0.01)% 2.36% Merrill Lynch Zero Coupon 10-Year Index... (3.93) 2.61 U.S. Treasury STRIP Maturity 11/15/2005... 0.06 2.21 Lipper Target Maturity Variable Funds Category Average........................ (1.98) 2.50
ALL FIGURES REPRESENT PAST PERFORMANCE AND ARE NOT A GUARANTEE OF FUTURE RESULTS. Principal value and investment returns will fluctuate and investors' shares, when redeemed may be worth more or less than their original cost. The fund's returns reflect expenses incurred by the fund, but do not reflect any charges or expenses imposed by the variable annuity or life contract you own, and do not reflect the deduction of any taxes. Therefore, your actual returns would have been lower. An investor may not invest directly in the fund. Index returns are provided for comparison, but an investor cannot invest directly in an index. Additionally, these returns do not reflect any deduction for fees or expenses, as indices are unmanaged, and do not incur such expenses. Index returns also do not reflect any deduction for taxes. Treasury Separate Trading of Registered Interest and Principal of Securities ("STRIPS") are Treasuries that have been stripped of their interest payment (its coupon). A STRIP pays no cash income but is purchased at a substantial discount from its value at maturity. The Merrill Lynch Zero Coupon 10-Year Index is a U.S. Government stripped security that has a maturity not greater than 10 years. Lipper, Inc. is a major independent mutual-fund tracking organization. Returns are based on the period ended December 31, 2003 and include the reinvestment of dividends and capital gains, if any. Returns were calculated among the 9 funds for the six- and 12-month periods in the Lipper target maturity variable funds category. Please read on for a more detail look at prevailing economic and market conditions during the fund's fiscal year and to learn how those conditions and changes made to the portfolio during this time may have affected fund performance. INFORMATION ABOUT YOUR FUND In recent months several issues in the mutual fund and variable insurance products 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, and other mutual fund and variable product issues in connection with various investigations. The fund has 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. As always, thank you for your confidence in out 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 January 16, 2004 1 - -------------------------------------------------------------------------------- MANAGER OVERVIEW ZERO COUPON BOND FUND PORTFOLIO SERIES 2005 SPECIAL SHAREHOLDER NOTICE Gene Collins has replaced Mr. Tyson as Portfolio Manager. Mr. Collins is a Senior Vice President of Travelers Asset Management International Company LLC. PERFORMANCE UPDATE During its fiscal year ended December 31, 2003, the fund returned 2.36%. In comparison, a U.S. Treasury STRIP maturing on November 15, 2005, which is similar to securities in the fund, returned 2.21% during these same 12 months. The fund underperformed both its benchmark, the unmanaged Merrill Lynch Zero Coupon 10-Year Index(i), which returned 2.61% as well as the Lipper target maturity variable funds category average, which was 2.50% for the same period.(1) Bond returns were muted in 2003, after several strong years. After shunning stocks for several years, many investors were lured back into the equity markets, seeing an opportunity to make up some ground they had lost in their portfolios in 2000-2002. With low yields and no prospect of additional gains precipitated by falling interest rates, fixed income assets were seen to have limited performance potential. The fund is managed to have a neutral duration -- that is, equal to a zero coupon bond due on its maturity date. As of December 31, 2003, the fund's average duration was 2.4 years. To boost yield, we have added zero coupon corporate bonds. Because these issues are hard to find, we purchased a range of maturities and used Treasury STRIPS(ii) to bring the total duration in line with our neutral-duration objective. We invested in coupon-paying bonds to boost the fund's return potential. The fund's investment policy limits coupon-bearing holdings to 25% of the fund's assets. Thank you for your investment in the Zero Coupon Bond Fund Portfolio Series 2005. We appreciate that you have entrusted us to manage your money and value our relationship with you. Sincerely, [/s/ DAVID A. TYSON] David A. Tyson Travelers Asset Management International Company LLC January 16, 2004 The information provided is not intended to be a forecast of future events, a guarantee of future results or investment advice. The opinions expressed are current only through the end of the period of this report as stated on the cover and are subject to change at any time based on market or other conditions. Views expressed may differ from those of the firm as a whole. Portfolio holdings and breakdowns are as of December 31, 2003 and are subject to change. Please refer to page 4 for a list and percentage breakdown of the fund's holdings. Fund performance reflects fund expenses, but does not reflect any charges or expenses imposed by your variable contract. Index performance does not reflect any deduction for fees or expenses. An investor may not invest directly in an index. (1) Lipper, Inc. is a major independent mutual-fund tracking organization. Returns are based on the 12-month period ended December 31, 2003, calculated among the 9 funds in the Lipper target maturity variable funds category including the reinvestment of dividends and capital gains, if any. (i) The Merrill Lynch Zero Coupon 10-Year Index is a U.S. Government stripped security that has a maturity not greater than 10 years. Please note than an investor cannot invest directly in an index. (ii) Treasury Separate Trading of Registered Interest and Principal of Securities ("STRIPS") are Treasuries that have been stripped of their interest payment (its coupon). A STRIP pays no cash income but is purchased at a substantial discount from its value at maturity. 2 - -------------------------------------------------------------------------------- PERFORMANCE COMPARISON -- ZERO COUPON BOND FUND PORTFOLIO SERIES 2005 (UNAUDITED)
AVERAGE ANNUAL TOTAL RETURNS ---------------------------- Twelve Months Ended 12/31/03 2.36% Five Years Ended 12/31/03 5.43 10/11/95* through 12/31/03 6.87 CUMULATIVE TOTAL RETURN ------------------------------------------------- 10/11/95* through 12/31/03 72.68% * Commencement of operations.
This chart assumes an initial investment of $10,000 made on October 11, 1995, assuming reinvestment of dividends, through December 31, 2003. The STRIP issue is not an index. Rather, it is a U.S. Treasury zero coupon bond with a maturity date that is similar to those in the Portfolio. The Merrill Lynch Zero Coupon 10-Year Index is comprised of U.S. Government stripped securities which have a maturity not greater than ten years. [Performance graph - Series 2005]
ZERO COUPON BOND FUND U.S. TREASURY STRIP MERRILL LYNCH ZERO COUPON PORTFOLIO SERIES 2005 MATURING 11/15/05 10-YEAR INDEX --------------------- ------------------- ------------------------- 10/11/95 10000 10000 10000 12/95 10480 10687 10691 12/96 10580 10584 10585 12/97 11810 11101 12072 12/98 13258 12542 13945 12/99 12540 11820 12502 12/00 14311 13583 15436 12/01 15228 14845 15976 12/02 16871 16880 19332 12/31/03 17268 17253 19836
- -------------------------------------------------------------------------------- ALL FIGURES REPRESENT PAST PERFORMANCE AND ARE NOT A GUARANTEE OF FUTURE RESULTS. The performance data represents past performance and the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Average annual total returns are historical in nature and measure net investment income and capital gains or losses from portfolio investments assuming reinvestment of dividends. The total returns and graph presented above 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. 3 - -------------------------------------------------------------------------------- SCHEDULE OF INVESTMENTS DECEMBER 31, 2003
FACE AMOUNT RATING(A) SECURITY VALUE - ------------------------------------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS -- 92.0% $1,350,000 AAA U.S. Treasury Note, Stripped Principal Payment only, to yield 6.461% due 8/15/05.................................. $1,315,759 1,375,000 AAA U.S. Treasury Note, Stripped Principal Payment only, to yield 6.301% due 11/15/05................................. 1,331,117 2,800,000 AAA U.S. Treasury Note, Stripped Principal Payment only, to yield 4.044% due 5/15/07.................................. 2,562,991 - ------------------------------------------------------------------------------------------------- TOTAL U.S. TREASURY OBLIGATIONS (Cost -- $4,889,201)........ 5,209,867 - ------------------------------------------------------------------------------------------------- CORPORATE BONDS AND NOTES -- 7.4% - ------------------------------------------------------------------------------------------------- FOOD -- 4.6% 180,000 A+ Diageo PLC, zero coupon note to yield 7.323% due 1/6/04..... 180,000 80,000 BBB+ General Mills Inc., zero coupon bond to yield 6.787% due 8/15/04..................................................... 79,200 - ------------------------------------------------------------------------------------------------- 259,200 - ------------------------------------------------------------------------------------------------- INSURANCE -- 1.4% 80,000 AAA American International Group, zero coupon bond to yield 6.596% due 8/15/04.......................................... 79,400 - ------------------------------------------------------------------------------------------------- OIL -- 1.4% 80,000 AAA Exxon Capital Corp., zero coupon bond to yield 6.563% due 11/15/04.................................................... 78,822 - ------------------------------------------------------------------------------------------------- TOTAL CORPORATE BONDS AND NOTES (Cost -- $409,230).......... 417,422 - ------------------------------------------------------------------------------------------------- REPURCHASE AGREEMENT -- 0.6% 34,000 State Street Bank and Trust Co., 0.800% due 1/2/04; Proceeds at maturity -- $34,002; (Fully collateralized by U.S. Treasury Bond, 7.125% due 2/15/23; Market value -- $38,213) (Cost -- $34,000)................ 34,000 - ------------------------------------------------------------------------------------------------- TOTAL INVESTMENTS -- 100.0% (Cost -- $5,332,431*)........... $5,661,289 - -------------------------------------------------------------------------------------------------
(a) All ratings are by Standard & Poor's Ratings Service. * Aggregate cost for Federal income tax purposes is $5,334,411. See page 5 for definitions of ratings. SEE NOTES TO FINANCIAL STATEMENTS. 4 - -------------------------------------------------------------------------------- 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 "BBB" may be modified by the addition of a plus (+) or minus (-) sign to show relative standings within the major rating categories. AAA -- Bonds rated "AAA" have the highest rating assigned by Standard & Poor's to a debt obligation. 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 differ from the highest rated issues only in small degree. A -- Bonds rated "A" have a strong capacity to pay interest and repay principal although they are somewhat more susceptible to the adverse effects of changes in circumstances and economic conditions than bonds 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 in higher rated categories.
5 - -------------------------------------------------------------------------------- STATEMENT OF ASSETS AND LIABILITIES DECEMBER 31, 2003 ASSETS: Investments, at value (Cost -- $5,332,431)................ $5,661,289 Cash...................................................... 811 Receivable from Fund shares sold.......................... 66 Interest receivable....................................... 1 Receivable from administrator............................. 2,780 - ------------------------------------------------------------------------- TOTAL ASSETS.............................................. 5,664,947 - ------------------------------------------------------------------------- LIABILITIES: Investment advisory fee payable........................... 343 Payable for Fund shares purchased......................... 66 Accrued expenses.......................................... 33,005 - ------------------------------------------------------------------------- TOTAL LIABILITIES......................................... 33,414 - ------------------------------------------------------------------------- TOTAL NET ASSETS............................................ $5,631,533 - ------------------------------------------------------------------------- NET ASSETS: Capital paid in excess of par value....................... $5,287,790 Undistributed net investment income....................... 2,209 Accumulated net realized gain from investment transactions........................................... 12,676 Net unrealized appreciation of investments................ 328,858 - ------------------------------------------------------------------------- TOTAL NET ASSETS............................................ $5,631,533 - ------------------------------------------------------------------------- SHARES OUTSTANDING.......................................... 491,869 - ------------------------------------------------------------------------- NET ASSET VALUE............................................. $11.45 - -------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 6 - -------------------------------------------------------------------------------- STATEMENT OF OPERATIONS FOR THE YEAR ENDED DECEMBER 31, 2003 INVESTMENT INCOME: Interest.................................................. $ 291,390 - --------------------------------------------------------------------------- EXPENSES: Audit and legal........................................... 26,211 Shareholder communications................................ 20,177 Custody................................................... 10,730 Investment advisory fee (Note 2).......................... 6,840 Directors' fees........................................... 6,156 Shareholder servicing fees................................ 5,005 Administration fee (Note 2)............................... 4,104 Other..................................................... 328 - --------------------------------------------------------------------------- TOTAL EXPENSES............................................ 79,551 Less: Expense reimbursement (Note 2)...................... (69,291) - --------------------------------------------------------------------------- NET EXPENSES.............................................. 10,260 - --------------------------------------------------------------------------- NET INVESTMENT INCOME....................................... 281,130 - --------------------------------------------------------------------------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 3): Realized Gain From Investment Transactions (excluding short-term investments): Proceeds from sales.................................... 166,379 Cost of securities sold................................ 151,723 - --------------------------------------------------------------------------- NET REALIZED GAIN......................................... 14,656 - --------------------------------------------------------------------------- Change in Net Unrealized Appreciation of Investments: Beginning of year...................................... 474,733 End of year............................................ 328,858 - --------------------------------------------------------------------------- DECREASE IN NET UNREALIZED APPRECIATION................... (145,875) - --------------------------------------------------------------------------- NET LOSS ON INVESTMENTS..................................... (131,219) - --------------------------------------------------------------------------- INCREASE IN NET ASSETS FROM OPERATIONS...................... $ 149,911 - ---------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 7 - -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS FOR THE YEARS ENDED DECEMBER 31
2003 2002 - ------------------------------------------------------------------------------------- OPERATIONS: Net investment income..................................... $ 281,130 $ 279,320 Net realized gain......................................... 14,656 36,113 Increase (decrease) in net unrealized appreciation........ (145,875) 314,217 - ------------------------------------------------------------------------------------- INCREASE IN NET ASSETS FROM OPERATIONS.................... 149,911 629,650 - ------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income..................................... (285,700) (539,398) Net realized gains........................................ (36,106) (71,822) - ------------------------------------------------------------------------------------- DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO SHAREHOLDERS........................................... (321,806) (611,220) - ------------------------------------------------------------------------------------- FUND SHARE TRANSACTIONS (NOTE 6): Net proceeds from sale of shares.......................... 1,190,465 760,093 Net asset value of shares issued for reinvestment of dividends.............................................. 321,806 611,220 Cost of shares reacquired................................. (2,187,042) (655,671) - ------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS FROM FUND SHARE TRANSACTIONS........................................... (674,771) 715,642 - ------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS........................... (846,666) 734,072 NET ASSETS: Beginning of year......................................... 6,478,199 5,744,127 - ------------------------------------------------------------------------------------- END OF YEAR*.............................................. $5,631,533 $6,478,199 - ------------------------------------------------------------------------------------- * Includes undistributed net investment income of:.......... $2,209 $6,779 - -------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 8 - -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS 1. SIGNIFICANT ACCOUNTING POLICIES The Zero Coupon Bond Fund Portfolio Series 2005 ("Fund"), a separate investment fund of The Travelers Series Trust ("Trust"), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended, as a diversified, open-end management investment company and consists of this fund and fifteen other separate investment funds: U.S. Government Securities, Social Awareness Stock, Pioneer Fund, formerly known as Utilities, Travelers Quality Bond, Lazard International Stock, MFS Emerging Growth, Federated High Yield, Federated Stock, Large Cap, Equity Income, Disciplined Mid Cap Stock, Convertible Securities, Merrill Lynch Large Cap Core (formerly known as MFS Research), MFS Mid Cap Growth and MFS Value 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 significant accounting policies consistently followed by the Fund are: (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 agencies and obligations are valued at the mean between the last reported bid and ask prices or on the basis of quotations received from reputable brokers or other recognized sources; (c) securities maturing within 60 days are valued at cost plus accreted discount, or minus amortized premium, which approximates value; (d) securities that have a maturity of 60 days or more are valued at prices based on market quotations for securities of similar type, yield and maturity; (e) interest income, adjusted for amortization of premium and accretion of discount, is recorded on an accrual basis; (f) gains or losses on the sale of securities are calculated by using the specific identification method; (g) dividends and distributions to shareholders are recorded on the ex-dividend date; the Fund distributes dividends and capital gains, if any, at least annually; (h) the Fund intends to comply with the requirements 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; (i) the character of income and gains to be distributed are determined in accordance with income tax regulations which may differ from accounting principles generally accepted in the United States of America; At December 31, 2003, reclassifications were made to the Fund's capital accounts to reflect permanent book/tax differences and income and gains available for distributions under income tax regulations. Net investment income, net realized gains and net assets were not affected by this change; and (j) 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 the Fund. The Fund pays TAMIC an investment advisory fee calculated at an annual rate of 0.10% of the Fund's average daily net assets. This fee is calculated daily and paid monthly. The Travelers Insurance Company ("TIC"), another indirect wholly-owned subsidiary of Citigroup, acts as administrator to the Fund. The Fund pays TIC an administration fee calculated at an annual rate of 0.06% of the Fund's average daily net assets. This fee is calculated daily and paid monthly. TIC has entered into a sub-administrative service agreement with Smith Barney Fund Management LLC ("SBFM"). TIC pays SBFM, as sub-administrator, a fee calculated at an annual rate of 0.02% of the Fund's average daily net assets plus $30,000, subject to a maximum of 0.06% of the Fund's average daily net assets. For the year ended December 31, 2003, the Fund had a voluntary expense limitation in place of 0.15%. As a result, TIC has agreed to reimburse the Fund for expenses in the amount of $69,291. This expense limitation can be terminated at any time by TIC. Citicorp Trust Bank, fsb. ("CTB"), another subsidiary of Citigroup, acts as the Fund's transfer agent. CTB receives account fees and asset-based fees that vary according to the size and type of account. During the year ended December 31, 2003, the Fund paid transfer agent fees of $5,000 to CTB. One Trustee and all officers of the Trust are employees of Citigroup or its affiliates. 9 - -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) 3. INVESTMENTS During the year ended December 31, 2003, the aggregate cost of purchases and proceeds from sales of investments (including maturities of long-term investments, but excluding short-term investments) were as follows: - ---------------------------------------------------------------------- Purchases................................................... -- - ---------------------------------------------------------------------- Sales....................................................... $166,379 - ----------------------------------------------------------------------
At December 31, 2003, the aggregate unrealized appreciation and depreciation of investments for Federal income tax purposes were as follows: - ---------------------------------------------------------------------- Gross unrealized appreciation............................... $328,858 Gross unrealized depreciation............................... (1,980) - ---------------------------------------------------------------------- Net unrealized appreciation................................. $326,878 - ----------------------------------------------------------------------
4. REPURCHASE AGREEMENTS The Fund purchases (and the custodian takes possession of) U.S. government securities from securities dealers subject to agreements to resell the securities to the sellers at a future date (generally, the next business day), at an agreed-upon higher repurchase price. The Fund requires continual maintenance of the market value (plus accrued interest) of the collateral in amounts at least equal to the repurchase price. 5. STRIPPED SECURITIES The Fund invests primarily in "Stripped Securities," a term used collectively for Stripped Treasury Securities, Stripped Government Securities, Stripped Corporate Securities, and Stripped Eurodollar Obligations; as well as other stripped securities. Stripped securities can be securities consisting of debt obligations that have been stripped of unmatured interest coupons, securities consisting of unmatured interest coupons that have been stripped from debt obligations, or debt obligations that are issued without interest coupons and are sold at substantial discounts from their face amounts. Stripped Securities do not make periodic payments of interest prior to maturity. The market value of Stripped Securities will fluctuate in response to changes in economic conditions, interest rates and the market's perception of the securities. Fluctuations in response to interest rates may be greater than those for debt obligations of comparable maturities that pay interest currently. The amount of fluctuation increases with a longer period of maturity. 6. 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 the Fund were as follows:
YEAR ENDED YEAR ENDED DECEMBER 31, 2003 DECEMBER 31, 2002 - ---------------------------------------------------------------------------------------------------- Shares sold................................................. 99,770 62,086 Shares issued on reinvestment............................... 27,948 51,242 Shares reacquired........................................... (182,780) (54,160) - ---------------------------------------------------------------------------------------------------- Net Increase (Decrease)..................................... (55,062) 59,168 - ----------------------------------------------------------------------------------------------------
7. INCOME TAX INFORMATION AND DISTRIBUTIONS TO SHAREHOLDERS The tax basis components of distributable earnings for December 31 were:
2003 2002 - ---------------------------------------------------------------------------------- Undistributed ordinary income............................... $ 2,209 $ 6,779 Accumulated capital gains................................... 14,656 36,106 Unrealized appreciation..................................... 326,878 472,753 - ----------------------------------------------------------------------------------
At December 31, 2003 and December 31, 2002, the difference between book basis and tax basis unrealized appreciation was attributable primarily to wash sale loss deferrals. 10 - -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) The tax character of distributions paid during the year ended December 31 was:
2003 2002 - ---------------------------------------------------------------------------------- Ordinary income............................................. $285,700 $539,398 Long-term capital gains..................................... 36,106 71,822 - ---------------------------------------------------------------------------------- Total....................................................... $321,806 $611,220 - ----------------------------------------------------------------------------------
8. ADDITIONAL INFORMATION The Fund has received the following information from Citigroup Asset Management ("CAM"), the Citigroup business unit which includes the Fund's Investment Manager and other investment advisory companies, all of which are indirect, wholly-owned subsidiaries of Citigroup. CAM is reviewing its entry, through an affiliate, into the transfer agent business in the period 1997-1999. As CAM currently understands the facts, at the time CAM decided to enter the transfer agent business, CAM sub-contracted for a period of five years certain of the transfer agency services to a third party and also concluded a revenue guarantee agreement with this sub-contractor providing that the sub-contractor would guarantee certain benefits to CAM or its affiliates (the "Revenue Guarantee Agreement"). In connection with the subsequent purchase of the sub- contractor's business by an affiliate of the current sub-transfer agent (PFPC Inc.) used by CAM on many of the funds it manages, this Revenue Guarantee Agreement was amended eliminating those benefits in exchange for arrangements that included a one-time payment from the sub-contractor. The Boards of CAM-managed funds (the "Boards") were not informed of the Revenue Guarantee Agreement with the sub-contractor at the time the Boards considered and approved the transfer agent arrangements. Nor were the Boards informed of the subsequent amendment to the Revenue Guarantee Agreement when that occurred. CAM has begun to take corrective actions. CAM will pay to the applicable funds approximately $17 million (plus interest) that CAM and its affiliates received from the Revenue Guarantee Agreement and its amendment. CAM also plans an independent review to verify that the transfer agency fees charged by CAM were fairly priced as compared to competitive alternatives. CAM is instituting new procedures and making changes designed to ensure no similar arrangements are entered into in the future. CAM has briefed the SEC, the New York State Attorney General and other regulators with respect to this matter, as well as the U.S. Attorney who is investigating the matter. CAM is cooperating with governmental authorities on this matter, the ultimate outcome of which is not yet determinable. 11 - -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS For a share of beneficial interest outstanding throughout each year ended December 31, unless otherwise noted:
2003(1) 2002(1) 2001(1) 2000(1) 1999 - ---------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF YEAR............... $11.84 $11.78 $11.56 $10.65 $11.26 - ---------------------------------------------------------------------------------------------------------------------- INCOME (LOSS) FROM OPERATIONS: Net investment income(2)....................... 0.49 0.55 0.61 0.67 0.62 Net realized and unrealized gain (loss)........ (0.21) 0.70 0.13 0.79 (1.23) - ---------------------------------------------------------------------------------------------------------------------- Total Income (Loss) From Operations.............. 0.28 1.25 0.74 1.46 (0.61) - ---------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS FROM: Net investment income.......................... (0.61) (1.05) (0.50) (0.55) -- Net realized gains............................. (0.06) (0.14) (0.02) -- -- - ---------------------------------------------------------------------------------------------------------------------- Total Distributions.............................. (0.67) (1.19) (0.52) (0.55) -- - ---------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF YEAR..................... $11.45 $11.84 $11.78 $11.56 $10.65 - ---------------------------------------------------------------------------------------------------------------------- TOTAL RETURN(3).................................. 2.36% 10.79% 6.41% 14.13% (5.42)% - ---------------------------------------------------------------------------------------------------------------------- NET ASSETS, END OF YEAR (000'S).................. $5,632 $6,478 $5,744 $4,346 $3,001 - ---------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: Expenses(2)(4)................................. 0.15% 0.15% 0.15% 0.15% 0.15% Net investment income.......................... 4.11 4.58 5.18 6.07 5.68 - ---------------------------------------------------------------------------------------------------------------------- PORTFOLIO TURNOVER RATE.......................... 0% 0% 16% 30% 18% - ----------------------------------------------------------------------------------------------------------------------
(1) Per share amounts have been calculated using the monthly average shares method. (2) For the five years ended December 31, 2003, Travelers Insurance Company reimbursed the Fund for $69,291, $68,397, $57,934, $46,621 and $55,152 in expenses, respectively. If such expenses were not reimbursed, the per share decrease to net investment income and actual expense ratios would have been as follows:
EXPENSE RATIOS PER SHARE DECREASES WITHOUT EXPENSE TO NET INVESTMENT INCOME REIMBURSEMENT ------------------------ ------------------- 2003 $0.12 1.16% 2002 0.14 1.27 2001 0.13 1.28 2000 0.14 1.44 1999 0.20 1.95
(3) 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. 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. (4) As a result of a voluntary expense limitation, the ratio of expenses to average net assets will not exceed 0.15%. - -------------------------------------------------------------------------------- TAX INFORMATION (UNAUDITED) For Federal tax purposes, the Fund hereby designates for the fiscal year ended December 31, 2003: - Total long-term capital gain distributions paid of $36,106. A total of 86.76% of the ordinary dividends paid by the Fund from net investment income are derived from Federal obligations and may be exempt from taxation at the state level. 12 - -------------------------------------------------------------------------------- INDEPENDENT AUDITORS' REPORT THE SHAREHOLDERS AND BOARD OF TRUSTEES OF THE TRAVELERS SERIES TRUST: We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of the Zero Coupon Bond Fund Portfolio Series 2005 ("Fund") of The Travelers Series Trust ("Trust") as of December 31, 2003, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended and the financial highlights for each of the years in the five-year period then ended. These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We conducted our audits in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2003, by correspondence with the custodian. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Zero Coupon Bond Fund Portfolio Series 2005 of The Travelers Series Trust as of December 31, 2003, and the results of its operations for the year then ended, the changes in its net assets for each of the years in the two-year period then ended and the financial highlights for each of the years in the five-year period then ended, in conformity with accounting principles generally accepted in the United States of America. /s/ KPMG LLP New York, New York February 13, 2004 13 - -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (UNAUDITED) INFORMATION ABOUT TRUSTEES AND OFFICERS The business and affairs of The Travelers Series Trust ("Trust") are managed under the direction of the Trust's Board of Trustees. Information pertaining to the Trustees and Officers of the Trust is set forth below. The Statement of Additional Information includes additional information about the Trustees and is available, without charge, upon request by calling the Trust's administrator at 1-800-842-9368.
TERM OF NUMBER OF OFFICE(1) AND PORTFOLIOS IN POSITION(S) LENGTH FUND COMPLEX OTHER NAME, ADDRESS HELD WITH OF TIME PRINCIPAL OCCUPATION(S) DURING OVERSEEN BY BOARD MEMBERSHIPS AND AGE FUND SERVED PAST FIVE YEARS TRUSTEE HELD BY TRUSTEE - ------------------------------------------------------------------------------------------------------------------------- NON-INTERESTED TRUSTEES(2): Robert E. McGill, Trustee Since 1990 Retired 5 Lydall Inc.; Board III of Managers of 6 295 Hancock Road Variable Annuity Williamstown, MA Separate Accounts Age 72 of The Travelers Insurance Co. ("TIC") Lewis Mandell Trustee Since 1990 Professor, University of 5 Delaware North 160 Jacobs Hall Buffalo Corp.; Board of Buffalo, NY Managers of 6 Age 60 Variable Annuity Separate Accounts of TIC Frances M. Hawk Trustee Since 1991 Private Investor 5 Board of Managers CFA, CFP of 6 Variable 108 Oxford Hill Annuity Separate Lane Accounts of TIC Downingtown, PA Age 55 INTERESTED TRUSTEE: R. Jay Gerken, Chairman, Since 2002 Managing Director of Citigroup 221 Chairman, Board of CFA(3) President Global Markets ("CGM"); Managers of 6 Citigroup Asset and Chief Chairman, President and Chief Variable Annuity Management ("CAM") Executive Executive Officer of Smith Separate Accounts 399 Park Avenue, Officer Barney Fund Management LLC of TIC 4th Floor ("SBFM"), Travelers Investment New York, NY 10022 Adviser, Inc. ("TIA") and Citi Age 52 Fund Management Inc. ("CFM"); President and Chief Executive Officer of certain mutual funds associated with Citigroup Inc. ("Citigroup"); formerly, Portfolio Manager of Smith Barney Allocation Series Inc. (from 1996 to 2001) and Smith Barney Growth and Income Fund (from 1996 to 2000)
14 - -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (UNAUDITED) (CONTINUED)
TERM OF NUMBER OF OFFICE(1) AND PORTFOLIOS IN POSITION(S) LENGTH FUND COMPLEX OTHER NAME, ADDRESS HELD WITH OF TIME PRINCIPAL OCCUPATION(S) DURING OVERSEEN BY BOARD MEMBERSHIPS AND AGE FUND SERVED PAST FIVE YEARS TRUSTEE HELD BY TRUSTEE - --------------------------------------------------------------------------------------------------------------------------- OFFICERS: Andrew B. Shoup(4) Senior Vice Since 2004 Director of CAM; Senior Vice N/A N/A CAM President and President and Chief 125 Broad Street Chief Administrative Officer of 10th Floor Administrative mutual funds associated with New York, NY 10004 Officer Citigroup; Treasurer of Age 47 certain mutual funds associated with Citigroup; Head of International Funds Administration of CAM (from 2001 to 2003); Director of Global Funds Administration of CAM from 2000 to 2001; Head of U.S. Citibank Funds Administration of CAM (from 1998 to 2000) Richard L. Peteka Treasurer Since 2002 Director of CGM; Chief N/A N/A CAM Financial Officer and 125 Broad Street Treasurer of certain mutual 11th Floor funds associated with New York, NY 10004 Citigroup; Director and Head Age 42 of Internal Control for CAM U.S. Mutual Fund Administration (from 1999 to 2002); Vice President, Head of Mutual Fund Administration and Treasurer at Oppenheimer Capital (from 1996 to 1999) Andrew Beagley Chief Anti- Since 2002 Director of CGM (since 2000); N/A N/A CAM Money Director of Compliance, North 399 Park Avenue, Laundering America, CAM (since 2000); 4th Floor Compliance Chief Anti-Money Laundering New York, NY 10022 Officer Compliance Officer and Vice Age 40 President of certain mutual funds associated with Citigroup; Director of Compliance, Europe, the Middle East and Africa, CAM (from 1999 to 2000); Compliance Officer, Salomon Brothers Asset Management Limited, Smith Barney Global Capital Management Inc., Salomon Brothers Asset Management Asia Pacific Limited (from 1997 to 1999)
15 - -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (UNAUDITED) (CONTINUED)
TERM OF NUMBER OF OFFICE(1) AND PORTFOLIOS IN POSITION(S) LENGTH FUND COMPLEX OTHER NAME, ADDRESS HELD WITH OF TIME PRINCIPAL OCCUPATION(S) DURING OVERSEEN BY BOARD MEMBERSHIPS AND AGE FUND SERVED PAST FIVE YEARS TRUSTEE HELD BY TRUSTEE - --------------------------------------------------------------------------------------------------------------------------- Kaprel Ozsolak Controller Since 2002 Vice President of CGM; N/A N/A CAM Controller of certain funds 125 Broad Street associated with Citigroup 11th Floor New York, NY 10004 Age 38 Ernest J. Wright Secretary Since 1994 Vice President and Secretary N/A N/A Travelers Life & of TIC Annuity One Cityplace Hartford, CT 06103 Age 63 Kathleen A. McGah Assistant Since 1995 Deputy General Counsel of TIC N/A N/A Travelers Life & Secretary Annuity One Cityplace Hartford, CT 06103 Age 53
- --------------- (1) Each Trustee and officer serves until his or her respective successor has been duly elected and qualified. (2) Mr. Knight Edwards is an Emeritus Trustee. An Emeritus Trustee is permitted to attend meetings, but has no voting power. (3) Mr. Gerken is an "interested person" of the Trust as defined in the Investment Company Act of 1940, as amended, because Mr. Gerken is Managing Director of CGM, an indirect wholly-owned subsidiary of Citigroup, and his ownership shares and options to purchase shares of Citigroup, the indirect parent of TIC. (4) As of January 21, 2004. 16 THE TRAVELERS SERIES TRUST - -------------------------------------------------------------------------------- TRUSTEES R. Jay Gerken, CFA Chairman Robert E. McGill, III Frances M. Hawk, CFA, CFP Lewis Mandell OFFICERS R. Jay Gerken, CFA President and Chief Executive Officer Andrew B. Shoup* Senior Vice President and Chief Administrative Officer Richard L. Peteka Treasurer Andrew Beagley Chief Anti-Money Laundering Compliance Officer Kaprel Ozsolak Controller Ernest J. Wright Secretary Kathleen A. McGah Assistant Secretary INVESTMENT ADVISER Travelers Asset Management International Company LLC ADMINISTRATOR The Travelers Insurance Company CUSTODIAN State Street Bank and Trust Company TRANSFER AGENT Citicorp Trust Bank, fsb. - --------- * As of January 21, 2004. The Fund is a separate investment fund of The Travelers Series Trust, a Massachusetts business trust. This report is prepared for the general information of contract owners and is not an offer of shares of Zero Coupon Bond Fund Portfolio Series 2005. It should not be used in connection with any offer except in conjunction with the Prospectuses for the Variable Universal Life Insurance products offered by The Travelers Insurance Company and The Travelers Life and Annuity Company and the Prospectuses for the underlying funds, which collectively contain all pertinent information, including more complete information on charges and expenses. VG-ZERO (Annual) (2-04) Printed in U.S.A. ITEM 2. CODE OF ETHICS. The registrant has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. The Board of Trustees of the registrant has determined that Robert E. McGill, a member of the Board's Audit Committee, possesses the technical attributes identified in Instruction 2(b) of Item 3 to Form N-CSR to qualify as an "audit committee financial expert," and has designated Mr. McGill as the Audit Committee's financial expert. Mr. McGill is an "independent" Trustee pursuant to paragraph (a)(2) of Item 3 to Form N-CSR. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. (a) Audit Fees for The Travelers Series Trust of $276,000 and $225,000 for the years ended 12/31/03 and 12/31/02. (b) Audit-Related Fees for The Travelers Series Trust of $0 and $0 for the years ended 12/31/03 and 12/31/02. (c) Tax Fees for The Travelers Series Trust of $30,000 and $30,000 for the years ended 12/31/03 and 12/31/02. These amounts represent aggregate fees paid for tax compliance, tax advice and tax planning services, which include (the filing and amendment of federal, state and local income tax returns, timely RIC qualification review and tax distribution and analysis planning) rendered by the Accountant to Travelers Series Trust. (d) All Other Fees for The Travelers Series Trust of $0 and $0 for the years ended 12/31/03 and 12/31/02. (e) (1) Audit Committee's pre-approval policies and procedures described in paragraph (c) (7) of Rule 2-01 of Regulation S-X. The Audit Committee ("Committee") has adopted policies and procedures to, among other purposes, approve all audit and non-audit services provided to the Registrant and certain other persons by the Registrant's independent auditors. The Committee shall not approve non-audit services that the Committee believes may taint the independence of the auditors. As of the date of the approval of this Audit Committee Charter, permissible non-audit services include any professional services (including tax services), that are not prohibited services as described below, provided to the Fund by the independent auditors, other than those provided to the Fund in connection with an audit or a review of the financial statements of the Fund. Permissible non-audit services may not include: (i) bookkeeping or other services related to the accounting records or financial statements of the Fund; (ii) financial information systems design and implementation; (iii) appraisal or valuation services, fairness opinions or contribution-in-kind reports; (iv) actuarial services; (v) internal audit outsourcing services; (vi) management functions or human resources; (vii) broker or dealer, investment adviser or investment banking services; (viii) legal services and expert services unrelated to the audit; and (ix) any other service the Public Company Accounting Oversight Board determines, by regulation, is impermissible. The policies and procedures require the Committee to approve (a) all audit and permissible non-audit services to be provided to the Registrant and (b) all permissible non-audit services to be provided by the Fund's independent auditors to the Adviser and any Covered Service Providers if the engagement relates directly to the operations and financial reporting of the Registrant. In carrying out this responsibility, the Committee shall seek periodically from the Adviser and from the independent auditors a list of audit and permissible non-audit services that can be expected to be rendered to the Registrant, the Adviser or any Covered Service Providers by the Registrant's independent auditors, and an estimate of the fees sought to be paid in connection with such services. The Committee may delegate its responsibility to approve any such audit and permissible non-audit services to a sub-committee consisting of the Chairperson of the Committee (the "Chairperson") and at least one other member of the Committee, as the Chairperson, from time to time, may determine and appoint, and such sub-committee shall report to the Committee, at its next meeting after the sub-committee's meeting, its decision(s). From year to year, and at such other times as the Committee deems appropriate, the Committee shall report to the Board whether this system of approval has been effective and efficient or whether this Charter should be amended to allow for pre-approval pursuant to such policies and procedures as the Committee shall approve, including the delegation of some or all of the Committee's per-approval responsibilities to other persons (other than the Adviser or the Fund's officers). Pre-approval by the Committee of any permissible non-audit services is not required so long as: (i) the aggregate amount of all such permissible non-audit services provided to the Fund, the Adviser and any service providers controlling, controlled by or under common control with the Adviser that provide ongoing services to the Fund ("Covered Service Providers") constitutes not more than 5% of the total amount of revenues paid to the independent auditors during the fiscal year in which the permissible non-audit services are provided by (a) the Fund, (b) the Adviser and (c) any entity controlling, controlled by or under common control with the Adviser that provides ongoing services to the Fund during the fiscal year in which the services are provided that would have to be approved by the Committee; (ii) the permissible non-audit services were not recognized by the Fund at the time of the engagement to be non-audit services; and (iii) such services are promptly brought to the attention of the Committee and approved by the Committee (or its delegate(s)) prior to the completion of the audit. (f) N/A (g) Non-audit fees billed - $100,000 and $1.2 million for the years ended 12/31/2003 and 12/31/2002. (h) Yes. Travelers Series Trust's Audit Committee has considered whether the provision of non-audit services that were rendered to Service Affiliates which were not pre-approved (not requiring pre-approval) is compatible with maintaining the Accountant's independence. All services provided by the Accountant to the Travelers Series Trust or to Service Affiliates which were required to be pre-approved were pre-approved as required. 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. 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 10. EXHIBITS. (a) Code of Ethics attached hereto. Exhibit 99.CODE ETH (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. The Travelers Series Trust By: /s/ R. Jay Gerken R. Jay Gerken Chief Executive Officer of The Travelers Series Trust Date: March 10, 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 The Travelers Series Trust Date: March 10, 2004 By: /s/ Richard L. Peteka Richard L. Peteka Chief Financial Officer of The Travelers Series Trust Date: March 10, 2004 EX-99.CODE ETH 3 y93435nexv99wcodeeth.txt CODE OF ETHICS JUNE, 2003 EX 99.CODE ETH SARBANES-OXLEY ACT CODE OF ETHICS FOR PRINCIPAL EXECUTIVE AND SENIOR FINANCIAL OFFICERS OF CAM/U.S. REGISTERED INVESTMENT COMPANIES I. COVERED OFFICERS/PURPOSE OF THE CODE This code of ethics (the "Code") for Citigroup Asset Management's ("CAM's") U. S. registered proprietary investment companies (collectively, "Funds" and each a, "Company") applies to each Company's Chief Executive Officer, Chief Administrative Officer, Chief Financial Officer and Controller (the "Covered Officers") for the purpose of promoting: - honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships; - full, fair, accurate, timely and understandable disclosure in reports and documents that the Company files with, or submits to, the Securities and Exchange Commission ("SEC") and in other public communications made by the Company; - compliance with applicable laws and governmental rules and regulations; - the prompt internal reporting of violations of the Code to an appropriate person or persons identified in the Code; and - accountability for adherence to the Code. Each Covered Officer should adhere to a high standard of business ethics and should be sensitive to situations that may give rise to actual as well as apparent conflicts of interest. II. ADMINISTRATION OF CODE The Regional Director of CAM Compliance, North America ("Compliance Officer") is responsible for administration of this Code, including granting pre-approvals (see Section III below) and waivers (as described in Section VI below), applying this Code in specific situations in which questions are presented under it and interpreting this Code in any particular situation. III. COVERED OFFICERS SHOULD ETHICALLY HANDLE ACTUAL AND APPARENT CONFLICTS OF INTEREST OVERVIEW. A "conflict of interest" occurs when a Covered Officer's private interest interferes with the interests of, or his service to, the Company. For example, a conflict of interest would arise if a Covered Officer, or a member of his family, receives improper personal benefits as a result of his position with the Company. Certain conflicts of interest arise out of the relationships between Covered Officers and the Company and already are subject to conflict of interest provisions in the Investment Company Act of 1940 ("Investment Company Act") and the Investment Advisers Act of 1940 ("Investment Advisers Act"). For example, Covered Officers may not individually engage in certain transactions (such as the purchase or sale of securities or other property) with the Company because of their status as "affiliated persons" of the Company. The compliance programs and procedures of the Company and its investment adviser are designed to prevent, or identify and correct, violations of these provisions. This Code does not, and is not intended to, repeat or replace these programs and procedures, and such conflicts fall outside of the parameters of this Code (see Section VII below). Although typically not presenting an opportunity for improper personal benefit, conflicts arise from, or as a result of, the contractual relationship between a Company and the investment adviser of which the Covered Officers are also officers or employees. As a result, this Code recognizes that the Covered Officers will, in the normal course of their duties (whether formally for a Company or for the adviser, or for both), be involved in establishing policies and implementing decisions that will have different effects on the adviser and a Company. The participation of the Covered Officers in such activities is inherent in the contractual relationship between the Company and the adviser and is consistent with the performance by the Covered Officers of their duties as officers of a Company. Thus, if performed in conformity with the provisions of the Investment Company Act and the Investment Advisers Act, such activities will be deemed to have been handled ethically. In addition, it is recognized by the Funds' Boards of Directors\Trustees ("Boards") that the Covered Officers may also be officers or employees of one or more other investment companies covered by this or other codes. Other conflicts of interest are covered by the Code, even if such conflicts of interest are not subject to provisions in the Investment Company Act and the Investment Advisers Act. The following list provides examples of conflicts of interest under the Code, but Covered Officers should keep in mind that these examples are not exhaustive. The overarching principle is that the personal interest of a Covered Officer should not be placed improperly before the interest of the Company. * * * * Each Covered Officer must: - not use his personal influence or personal relationships improperly to influence investment decisions or financial reporting ( e.g. through fraudulent accounting practices) by the Company whereby the Covered Officer(1) would benefit personally to the detriment of the Company; or - not cause the Company to take action, or fail to take action, for the individual personal benefit of the Covered Officer rather than for the benefit of the Company; and - not use material non-public knowledge of portfolio transactions made or contemplated for the Company to trade personally or cause others to trade personally in contemplation of the market affect of such transactions. - There are some potential conflict of interest situations that should always be discussed with the Compliance Officer, if material. Examples are as follows: (1) service as a director on the board of any public or private company; (2) any ownership interest in, or any consulting or employment relationship with, any of the Company's service providers, other than its investment adviser, (3) a direct or indirect financial interest in commissions, transaction charges or spreads paid by the Company for effecting portfolio transactions or for selling or redeeming shares other than an interest arising from the Covered Officer's employment, such as compensation or equity ownership; and (4) the receipt of any gifts or the conveyance of any value (including entertainment) from any company with which the Company has current or prospective business dealings, except: (a) any non-cash gifts of nominal value (nominal value is less than $100); and (b) customary and reasonable meals and entertainment at which the giver is present, such as the occasional business meal or sporting event. IV. DISCLOSURE AND COMPLIANCE Each Covered Officer: - should be familiar with his or her responsibilities in connection with the disclosure requirements generally applicable to the Company; - --------------------------- (1) Any activity or relationship that would present a conflict for a Covered Officer would also present a conflict for the Covered Officer if a member of a Covered Officer's family (spouse, minor children and any account over which a Covered Officer is deemed to have beneficial interest) engages in such an activity or has such a relationship. - should not knowingly misrepresent, or knowingly cause others to misrepresent, facts about the Company to others, whether within or outside the Company, including to the Company's directors and auditors, and to governmental regulators and self-regulatory organizations; - should, to the extent appropriate within his or her area of responsibility, consult with other officers and employees of the Funds and the investment adviser with the goal of promoting full, fair, accurate, timely and understandable disclosure in the reports and documents the Funds file with, or submit to, the SEC and in other public communications made by the Funds; and - is responsible to promote compliance with the standards and restrictions imposed by applicable laws, rules and regulations. V. REPORTING AND ACCOUNTABILITY Each Covered Officer must: - upon adoption of the Code (or thereafter as applicable, upon becoming a Covered Officer), affirm in writing to the Board that the Covered Officer has received, read, and understands the Code; - annually thereafter affirm to the Board that he or she has complied with the requirements of the Code; - annually disclose affiliations and other relationships related to conflicts of interest; - not retaliate against any other Covered Officer or any employee of the Funds or their affiliated persons for reports of potential violations that are made in good faith; and - notify the Compliance Officer promptly if he knows of any violation of this Code (failure to do so is itself a violation of this Code). In rendering decisions and interpretations and in conducting investigations of potential violations under the Code, the Compliance Officer may, at his discretion, consult with such persons as he determines to be appropriate, including, but not limited to, a senior legal officer of the Company or its investment adviser or its affiliates, independent auditors or other consultants, subject to any requirement to seek pre-approval from the Company's audit committee for the retention of independent auditors to perform permissible non-audit services. The Funds will follow these procedures in investigating and enforcing the Code: - the compliance Officer will take all appropriate action to investigate any potential violation of which he becomes aware; - if, after investigation the Compliance Officer believes that no violation has occurred, the Compliance Officer is not required to take any further action; - any matter that the Compliance Officer believes is a violation will be reported to the Directors of the Fund who are not "interested persons" as defined in the Investment Company Act the ("Non-interested Directors") - if the Non-interested Directors of the Board concur that a violation has occurred, it will consider appropriate action, which may include review of, and appropriate modifications to, applicable policies and procedures; notification to appropriate personnel of the investment adviser or its board; or a recommendation to dismiss the Covered Officer; and - any changes to or waivers of this Code will, to the extent required, be disclosed as provided by SEC rules The Compliance Officer shall submit an annual report to the Board describing any waivers granted. VI. WAIVERS(2) A Covered Officer may request a waiver of any of the provisions of the Code by submitting a written request for such waiver to the Compliance Officer, setting forth the basis of such request and explaining how the waiver would be consistent with the standards of conduct described herein. The Compliance Officer shall review such request and make a determination thereon in writing, which shall be binding. In determining whether to waive any provisions of this Code, the Compliance Officer shall consider whether the proposed waiver is consistent with honest and ethical conduct and other purposes of this Code. VII. OTHER POLICIES AND PROCEDURES This Code shall be the sole code of ethics adopted by the Funds for purposes of Section 406 of the Sarbanes-Oxley Act and the rules and forms applicable to registered investment companies thereunder. Insofar as other policies or procedures of the Funds, the Funds' investment advisers, principal underwriters, or other service providers govern or purport to govern the behavior or activities of the Covered Officers who are subject to this Code, they are superseded by this Code to the extent that they overlap or conflict with the provisions of this Code. The codes of ethics of the funds and the investment advisers and principal underwriters under Rule 17j-1 of the Investment Company Act and the Citigroup Code of Conduct and Citigroup Statement of Business Practices as well as other policies of the Fund's investment advisers or their affiliates are separate requirements applying to the Covered Officers and others, and are not part of this Code. - --------------------------- (2) For purposes of this Code, Item 2 of Form N-CSR defines "waiver" as "the approval by a Company of a material departure from a provision of the Code" and includes an"implicit waiver," which means a Company's failure to take action within a reasonable period of time regarding a material departure from a provision of the Code that has been made known to an executive officer of the Company. VIII. AMENDMENTS Any amendments to this Code, other than amendments to Exhibits A, B and C must be approved or ratified by a majority vote of the Board, including a majority of Non-interested Directors. IX. CONFIDENTIALITY All reports and records prepared or maintained pursuant to this Code will be considered confidential and shall be maintained and protected accordingly. Except as otherwise required by law or this Code, such matters shall not be disclosed to anyone other than the appropriate Board and Company and their respective counsel, counsel to the non-Interested Directors or independent auditors or other consultants referred to in Section V above. X. INTERNAL USE The Code is intended solely for the internal use by the Funds and does not constitute an admission, by or on behalf of any Company, as to any fact, circumstance, or legal conclusion. EX-99.CERT 4 y93435nexv99wcert.txt SECTION 302 CERTIFICATIONS 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 The Travelers Series Trust - Zero Coupon Bond Fund Series 2005 Portfolio; 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: March 10, 2004 /s/ R. Jay Gerken ----------------------------------- R. Jay Gerken Chief Executive Officer I, Richard L. Peteka, certify that: 1. I have reviewed this report on Form N-CSR of The Travelers Series Trust - Zero Coupon Bond Fund Series 2005 Portfolio; 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: March 10, 2004 /s/ Richard L. Peteka ----------------------------------- Richard L. Peteka Chief Financial Officer EX-99.906CERT 5 y93435nexv99w906cert.txt SECTION 906 CERTIFICATIONS CERTIFICATIONS PURSUANT TO SECTION 906 EX-99.906CERT CERTIFICATION R. JAY GERKEN, Chief Executive Officer, and RICHARD L. PETEKA, Chief Financial Officer of The Travelers Series Trust - Zero Coupon Bond Fund Series 2005 Portfolio (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 December 31, 2003 (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 Financial Officer The Travelers Series Trust - The Travelers Series Trust - Zero Coupon Bond Fund Series 2005 Portfolio Zero Coupon Bond Fund Series 2005 Portfolio /s/ R. Jay Gerken /s/ Richard L. Peteka - --------------------------- ----------------------------------- R. Jay Gerken Richard L. Peteka Date: March 10, 2004 Date: March 10, 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-----