-----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, CAFQz6JrPvlvrvIl5wMg28gq1ooGMIhdPyMwMXZXysH3Oq+HhSimvReUeF58Rx+W EuknH9sgLoraRkBsx+KGSA== 0000950123-04-010794.txt : 20040909 0000950123-04-010794.hdr.sgml : 20040909 20040909104624 ACCESSION NUMBER: 0000950123-04-010794 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: TRAVELERS SERIES TRUST CENTRAL INDEX KEY: 0000880583 IRS NUMBER: 061346133 STATE OF INCORPORATION: MA FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-06465 FILM NUMBER: 041021828 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 y99452nvcsrs.txt THE TRAVELERS SERIES 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 811-6465 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: 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] THE TRAVELERS SERIES TRUST: TRAVELERS QUALITY BOND PORTFOLIO LAZARD INTERNATIONAL STOCK PORTFOLIO MFS EMERGING GROWTH PORTFOLIO FEDERATED HIGH YIELD PORTFOLIO FEDERATED STOCK PORTFOLIO DISCIPLINED MID CAP STOCK PORTFOLIO [TRAVELERS LOGO] The Travelers Insurance Company The Travelers Life and Annuity Company One Cityplace Hartford, CT 06103 SEMI-ANNUAL REPORT FOR THE TRAVELERS SERIES TRUST - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- WHAT'S INSIDE LETTER FROM THE CHAIRMAN.................................... 1 SCHEDULES OF INVESTMENTS.................................... 5 STATEMENTS OF ASSETS AND LIABILITIES........................ 47 STATEMENTS OF OPERATIONS.................................... 48 STATEMENTS OF CHANGES IN NET ASSETS......................... 49 NOTES TO FINANCIAL STATEMENTS............................... 51 FINANCIAL HIGHLIGHTS........................................ 57
- -------------------------------------------------------------------------------- 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 changed 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, which helps 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 rate(i) target 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, municipal bonds, mortgage-backed securities, U.S. Agencies, and corporate issues in general held up better than those of U.S. Treasury bonds on a total return basis. High-yield bonds outpaced most other sectors of the U.S. fixed-income market. Although investor sentiment was shaky this past spring, by the end of the period the U.S. Consumer Confidence Index(ii) 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. PORTFOLIO PERFORMANCE Within this environment, the Portfolios performed as follows:(1) TRAVELERS QUALITY BOND PORTFOLIO During the period ended June 30, 2004, the Travelers Quality Bond Portfolio returned -0.14%. The Portfolio performed essentially in-line with its unmanaged benchmark, the Lehman Brothers Intermediate Government/Credit Bond Index(iii), which returned -0.11%. The Portfolio slightly lagged its Lipper short-intermediate investment grade debt variable funds category average(2), which returned 0.12%. (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 the fund. 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 31 funds in the Lipper short-intermediate investment grade debt variable funds category with reinvestment of dividends and capital gains, if any. 1 LAZARD INTERNATIONAL STOCK PORTFOLIO During the period ended June 30, 2004, the Lazard International Stock Portfolio returned 1.61%. The Portfolio underperformed its unmanaged benchmark, the MSCI EAFE GDP Index(iv), which returned 5.60% and its Lipper international value variable funds category average(3), which returned 5.27%. MFS EMERGING GROWTH PORTFOLIO During the period ended June 30, 2004, the MFS Emerging Growth Portfolio returned 5.03%. The Portfolio outperformed its unmanaged benchmark, the Russell 3000 Growth Index(v), which returned 2.96% and its Lipper multi-cap growth variable funds category average(4), which returned 3.96%. FEDERATED HIGH YIELD PORTFOLIO During the period ended June 30, 2004, the Federated High Yield Portfolio returned 2.08%. The Portfolio outperformed its unmanaged benchmarks, the Lehman Brothers High Yield Index(vi) and the Lehman Brothers Aggregate Bond Index(vii), which returned 1.36% and 0.15%, respectively. The Portfolio also outperformed its Lipper high current yield variable funds category average(5), which returned 1.07%. FEDERATED STOCK PORTFOLIO During the period ended June 30, 2004, the Federated Stock Portfolio returned 3.18%. The Portfolio slightly underperformed its unmanaged benchmark, the S&P 500/Barra Value Index(viii), which returned 4.17%. The Portfolio also underperformed its Lipper multi-cap value variable funds category average(6), which returned 4.49%. DISCIPLINED MID CAP STOCK PORTFOLIO During the period ended June 30, 2004, the Disciplined Mid Cap Stock Portfolio returned 6.65%. The Portfolio slightly outperformed its unmanaged benchmark, the S&P 500 MidCap 400 Index(ix), which returned 6.08%. The Portfolio also outperformed its Lipper mid-cap core variable funds category average(7), which returned 6.00%. (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 33 funds in the Lipper international value variable funds category with reinvestment of dividends and capital gains, if any. (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 106 funds in the Lipper multi-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 88 funds in the Lipper high current yield 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 99 funds in the Lipper multi-cap value 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 73 funds in the Lipper mid-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 TRAVELERS QUALITY BOND PORTFOLIO -0.14% Lehman Brothers Intermediate Government/Credit Bond Index -0.11% Lipper Short-Intermediate Investment Grade Debt Variable Funds Category Average 0.12% LAZARD INTERNATIONAL STOCK PORTFOLIO 1.61% MSCI EAFE GDP Index 5.60% Lipper International Value Variable Funds Category Average 5.27% MFS EMERGING GROWTH PORTFOLIO 5.03% Russell 3000 Growth Index 2.96% Lipper Multi-Cap Growth Variable Funds Category Average 3.96% FEDERATED HIGH YIELD PORTFOLIO 2.08% Lehman Brothers High Yield Index 1.36% Lehman Brothers Aggregate Bond Index 0.15% Lipper High Current Yield Variable Funds Category Average 1.07% FEDERATED STOCK PORTFOLIO 3.18% S&P 500/Barra Value Index 4.17% Lipper Multi-Cap Value Variable Funds Category Average 4.49% DISCIPLINED MID CAP STOCK PORTFOLIO 6.65% S&P MidCap 400 Index 6.08% Lipper Mid-Cap Core Variable Funds Category Average 6.00%
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. INFORMATION ABOUT YOUR FUND 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. 3 SPECIAL SHAREHOLDER NOTICE Effective January 1, 2004, Gene Collins replaced F. Denney Voss as Portfolio Manager of the Travelers Quality Bond Portfolio. Mr. Collins is a Senior Vice President of Travelers Asset Management International Company LLC. Effective June 28, 2004, a new team of individuals employed by Travelers Investment Management Company replaced Sandip Bhagat as Portfolio Manager of the Disciplined Mid Cap Stock Portfolio. Effective July 7, 2004, Camille H. Lee joined the Portfolio Management Team of David E. Sette-Ducati and Eric B. Fischman for the MFS Emerging Growth Portfolio. 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 an investor cannot invest directly in an index. Past performance is no guarantee of future results. The performance returns set forth above 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 44 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) Source: June 2004 Consumer Confidence Index, The Conference Board. (iii) 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. (iv) The MSCI EAFE GDP Index is an unmanaged index of common stocks of companies located in Europe, Australasia, and the Far East, generally considered representative of the foreign markets. (v) The Russell 3000 Growth Index measures the performance of those Russell 3000 Index companies with higher price-to-book ratios and higher forecasted growth values. (vi) The Lehman Brothers High Yield Index covers the universe of fixed-rate, non-investment grade debt, including corporate and non-corporate sectors. Pay-in-kind (PIK) bonds, Eurobonds, and debt issues from countries designated as emerging markets are excluded, but Canadian and global bonds (SEC registered) of issuers in non-emerging market countries are included. Original issue zero coupon bonds, step-up coupon structures, and 144-As also are included. (vii) The Lehman Brothers Aggregate Bond Index is a broad-based bond index comprised of Government, Corporate, Mortgage and Asset-backed issues, rated investment grade or higher, and having at least one year to maturity. (viii) The S&P 500 Barra Value is a market-capitalization weighted index of stocks in the S&P 500 having lower price-to-book ratios relative to the S&P 500 as a whole. (A price-to-book ratio is the price of a stock compared to the difference between a company's assets and liabilities.) (ix) The S&P MidCap 400 Index is a market-value weighted index which consists of 400 domestic stocks chosen for market size, liquidity, and industry group representation. 4 - -------------------------------------------------------------------------------- SCHEDULE OF INVESTMENTS (UNAUDITED) JUNE 30, 2004 TRAVELERS QUALITY BOND PORTFOLIO
FACE AMOUNT SECURITY VALUE - -------------------------------------------------------------------------------------------------------- U.S. GOVERNMENT & AGENCY OBLIGATIONS -- 38.6% U.S. Treasury Notes: $14,610,000 5.875% due 11/15/05....................................... $ 15,305,699 21,350,000 3.500% due 11/15/06....................................... 21,632,738 4,500,000 3.125% due 9/15/08........................................ 4,417,209 1,920,000 3.375% due 11/15/08....................................... 1,899,602 4,550,000 4.750% due 11/15/08....................................... 4,753,330 7,400,000 5.750% due 8/15/10........................................ 8,070,632 8,899,000 4.750% due 5/15/14........................................ 8,994,602 Fannie Mae: Benchmark Notes: 2,400,000 1.750% due 6/16/06...................................... 2,344,056 3,900,000 6.000% due 5/15/11...................................... 4,193,253 2,600,000 Notes, 2.000% due 2/9/07 (a).............................. 2,582,174 1,200,000 Freddie Mac, Medium-Term Notes, 2.900% due 2/27/19 (a)...... 1,191,431 - -------------------------------------------------------------------------------------------------------- TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS (Cost -- $76,733,022)....................................... 75,384,726 - -------------------------------------------------------------------------------------------------------- FACE AMOUNT RATING(B) SECURITY VALUE - -------------------------------------------------------------------------------------------------------- CORPORATE BONDS & NOTES -- 48.8% - -------------------------------------------------------------------------------------------------------- AEROSPACE/DEFENSE -- 2.0% 3,800,000 BBB Northrop Grumman Corp., Notes, 8.625% due 10/15/04.......... 3,869,240 - -------------------------------------------------------------------------------------------------------- AUTOMOTIVE -- 1.6% 2,100,000 A3* DaimlerChrysler North America Holding Corp., Notes, 4.050% due 6/4/08................................................ 2,060,942 1,000,000 BBB- Lear Corp., Sr. Notes, Series B, 7.960% due 5/15/05......... 1,042,934 - -------------------------------------------------------------------------------------------------------- 3,103,876 - -------------------------------------------------------------------------------------------------------- BANKING -- 4.2% 1,720,000 AA- ABN AMRO Bank N.V., Sr. Notes, 1.250% due 5/11/07 (a) 1,723,194 970,000 Baa2* Capital One Bank, Notes, 5.000% due 6/15/09................. 973,831 600,000 Aa3* Credit Suisse First Boston (USA), Inc., Notes, 6.125% due 11/15/11.................................................. 632,451 2,165,000 A2* FleetBoston Financial Corp., Sub. Notes, 7.125% due 4/15/06................................................... 2,323,004 700,000 A Huntington National Bank, Notes, 4.650% due 6/30/09......... 702,628 1,800,000 Aa2* U.S. Bank N.A., Notes, 2.870% due 2/1/07.................... 1,770,241 - -------------------------------------------------------------------------------------------------------- 8,125,349 - -------------------------------------------------------------------------------------------------------- BROKERAGE -- 3.5% 2,100,000 Aa3* The Goldman Sachs Group, Inc., Notes, 4.750% due 7/15/13.... 1,976,289 1,300,000 A1* Lehman Brothers Holdings Inc., Medium-Term Notes, Series G, 4.800% due 3/13/14........................................ 1,217,745 1,200,000 Aa3* Merrill Lynch & Co., Medium-Term Notes, Series B, 3.375% due 9/14/07................................................... 1,188,857 Morgan Stanley: 1,000,000 Aa3* Notes, 6.600% due 4/1/12.................................. 1,078,203 1,600,000 A1* Sub. Notes, 4.750% due 4/1/14............................. 1,479,002 - -------------------------------------------------------------------------------------------------------- 6,940,096 - -------------------------------------------------------------------------------------------------------- CONGLOMERATES -- 1.0% 1,800,000 BBB Tyco International Group S.A., Notes, 6.125% due 11/1/08.... 1,916,797 - --------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 5 - -------------------------------------------------------------------------------- SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 TRAVELERS QUALITY BOND PORTFOLIO
FACE AMOUNT RATING(B) SECURITY VALUE - -------------------------------------------------------------------------------------------------------- CONSTRUCTION -- 0.4% $ 800,000 BBB- MDC Holdings, Inc., Notes, 5.500% due 5/15/13............... $ 776,762 - -------------------------------------------------------------------------------------------------------- DISTRIBUTORS -- 0.3% 700,000 A+ Southern California Gas Co., First Mortgage Bonds, Series II, 4.375% due 1/15/11........................................ 685,718 - -------------------------------------------------------------------------------------------------------- ENERGY -- 2.9% 700,000 BBB+ Anadarko Finance Co., Sr. Notes, Series B, 6.750% due 5/1/11.................................................... 770,974 400,000 A- Cooper Cameron Corp., Sr. Notes, 2.650% due 4/15/07......... 388,287 870,000 BBB Duke Energy Field Services, LLC, Notes, 7.500% due 8/16/05................................................... 913,653 3,600,000 B+ Transcontinental Gas Pipe Line Corp., Notes, 6.125% due 1/15/05................................................... 3,672,000 - -------------------------------------------------------------------------------------------------------- 5,744,914 - -------------------------------------------------------------------------------------------------------- FINANCE CAPTIVE -- 3.4% 1,000,000 BBB Devon Financing Corp., ULC, Notes, 6.875% due 9/30/11....... 1,090,219 Ford Motor Credit Co., Global Landmark Securities(TM): 1,900,000 A3* 6.875% due 2/1/06......................................... 1,993,647 1,300,000 A3* 7.000% due 10/1/13........................................ 1,314,520 1,200,000 A3* General Motors Acceptance Corp., Notes, 7.250% due 3/2/11... 1,261,099 1,100,000 A+ National Rural Utilities Cooperative Finance Corp., Collateral Trust Bonds, 4.750% due 3/1/14................. 1,058,531 - -------------------------------------------------------------------------------------------------------- 6,718,016 - -------------------------------------------------------------------------------------------------------- FINANCE NON-CAPTIVE -- 3.0% 1,130,000 A Countrywide Home Loans, Inc., Medium-Term Notes, Series L, 4.000% due 3/22/11........................................ 1,055,472 2,000,000 AAA General Electric Capital Corp., Medium-Term Notes, Series A, 5.450% due 1/15/13........................................ 2,031,242 2,590,000 A1* Household Finance Corp., Notes, 6.375% due 11/27/12......... 2,750,603 - -------------------------------------------------------------------------------------------------------- 5,837,317 - -------------------------------------------------------------------------------------------------------- INSURANCE -- 1.8% 1,700,000 AAA MassMutual, Global Funding II, Notes, 2.550% due 7/15/08 (c)....................................................... 1,602,828 1,900,000 AA+ New York Life Global Funding, Medium-Term Notes, 5.375% due 9/15/13 (c).................................... 1,911,011 - -------------------------------------------------------------------------------------------------------- 3,513,839 - -------------------------------------------------------------------------------------------------------- MEDIA -- 5.9% 400,000 BBB- Clear Channel Communications, Inc., Sr. Notes, 4.400% due 5/15/11................................................... 378,355 900,000 BBB Comcast Cable Communications, Inc., Exchange Notes, 8.500% due 5/1/27......................................... 1,092,868 3,700,000 Baa1* Cox Enterprises Inc., Notes, 7.875% due 9/15/10 (c)......... 4,210,866 2,000,000 BBB- Liberty Media Corp., Sr. Notes, 2.670% due 9/17/06 (a)...... 2,037,560 3,600,000 BBB+ Time Warner Inc., Notes, 6.150% due 5/1/07.................. 3,814,150 - -------------------------------------------------------------------------------------------------------- 11,533,799 - -------------------------------------------------------------------------------------------------------- PACKAGING -- 0.3% 550,000 BBB Sealed Air Corp., Sr. Notes, 5.625% due 7/15/13 (c)......... 544,250 - -------------------------------------------------------------------------------------------------------- PAPER PRODUCTS -- 0.4% 800,000 BBB International Paper Co., Notes, 5.500% due 1/15/14.......... 784,607 - --------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 6 - -------------------------------------------------------------------------------- SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 TRAVELERS QUALITY BOND PORTFOLIO
FACE AMOUNT RATING(B) SECURITY VALUE - -------------------------------------------------------------------------------------------------------- PHARMACEUTICALS -- 1.1% $ 2,200,000 A Wyeth, Notes, 5.500% due 2/1/14............................. $ 2,105,968 - -------------------------------------------------------------------------------------------------------- REAL ESTATE INVESTMENT TRUST -- 3.0% 460,000 BB+ iStar Financial Inc., Sr. Notes, 6.000% due 12/15/10........ 459,424 250,000 BBB- Nationwide Health Properties, Inc., Medium-Term Notes, Series C, 6.900% due 10/1/37........................................ 253,484 5,000,000 BBB Post Apartment Homes, L.P., MOPPRS(SM), 6.850% due 3/16/15................................................... 5,096,415 - -------------------------------------------------------------------------------------------------------- 5,809,323 - -------------------------------------------------------------------------------------------------------- RETAILERS -- 2.2% 4,500,000 AA Wal-Mart Stores, Inc., Notes, 4.550% due 5/1/13............. 4,343,180 - -------------------------------------------------------------------------------------------------------- SUPERMARKETS -- 0.7% 1,300,000 BBB Fred Meyer, Inc., Notes, 7.450% due 3/1/08.................. 1,443,748 - -------------------------------------------------------------------------------------------------------- TELECOMMUNICATIONS -- 3.1% 2,000,000 BBB+ Deutsche Telekom International Finance B.V., Bonds, 8.250% due 6/15/05........................................ 2,103,334 1,350,000 BBB- Sprint Capital Corp., Notes, 6.125% due 11/15/08............ 1,420,365 2,700,000 BBB+ Telecom Italia Capital S.A., Sr. Global Notes, 5.250% due 11/15/13 (c).............................................. 2,617,939 - -------------------------------------------------------------------------------------------------------- 6,141,638 - -------------------------------------------------------------------------------------------------------- TOBACCO -- 0.9% 1,700,000 BBB Altria Group, Inc., Notes, 5.625% due 11/4/08............... 1,709,024 - -------------------------------------------------------------------------------------------------------- UTILITIES -- 7.1% 650,000 B+ CMS Energy Corp., Notes, 7.625% due 11/15/04................ 663,000 2,800,000 BBB Pepco Holdings, Inc., Notes, 5.500% due 8/15/07............. 2,892,621 2,900,000 Baa* Progress Energy, Inc., Sr. Notes, 6.050% due 4/15/07........ 3,059,233 750,000 BB- PSE&G Energy Holdings Inc., Sr. Notes, 8.625% due 2/15/08... 810,000 1,800,000 A3* SCANA Corp., Sr. Notes, 1.620% due 11/15/06 (a)............. 1,802,174 1,700,000 AA+ SP PowerAssets Ltd., Notes, 5.000% due 10/22/13 (c)......... 1,658,313 800,000 Baa2* TransAlta Corp., Sr. Notes, 5.750% due 12/15/13............. 793,539 2,200,000 BBB- Xcel Energy Inc., Sr. Notes, 3.400% due 7/1/08.............. 2,125,504 - -------------------------------------------------------------------------------------------------------- 13,804,384 - -------------------------------------------------------------------------------------------------------- TOTAL CORPORATE BONDS & NOTES (Cost -- $94,420,032)......... 95,451,845 - -------------------------------------------------------------------------------------------------------- ASSET-BACKED SECURITIES -- 5.2% 1,358,878 AAA California Infrastructure PG&E-1, Series 1997-1, Class A7, 6.420% due 9/25/08........................................ 1,418,882 1,000,000 AAA Chase Funding Trust, Series 2002-2, Class 1A5, 5.833% due 4/25/32........................................ 1,041,113 2,207,939 AAA DaimlerChrysler Auto Trust, Series 2001-C, Class A4, 4.630% due 12/6/06........................................ 2,239,953 1,700,000 AAA Discover Card Master Trust I, Series 1996-3, Class A, 6.050% due 8/18/08........................................ 1,785,605 2,200,000 AAA Ford Credit Auto Owner Trust, Series 2002-B, Class A4, 4.750% due 8/15/06........................................ 2,249,449 1,510,188 AAA Toyota Auto Receivables Owner Trust, Series 2002-C, Class A3, 2.650% due 11/15/06....................................... 1,515,760 - -------------------------------------------------------------------------------------------------------- TOTAL ASSET-BACKED SECURITIES (Cost -- $10,516,165)......... 10,250,762 - --------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 7 - -------------------------------------------------------------------------------- SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 TRAVELERS QUALITY BOND PORTFOLIO
FACE AMOUNT RATING(B) SECURITY VALUE - -------------------------------------------------------------------------------------------------------- COLLATERALIZED MORTGAGE OBLIGATIONS -- 4.5% $ 1,000,000 AAA Banc of America Commercial Mortgage Inc., Series 2004-3, Class A4, 5.176% due 6/10/39.............................. $ 1,005,001 1,500,000 AAA Credit Suisse First Boston Mortgage Securities Corp., Series 2003-C5, Class A4, 4.900% due 12/15/36............................. 1,456,619 LB-UBS Commercial Mortgage Trust: 1,090,000 AAA Series 2002-C4, Class A5, 4.853% due 9/15/31.............. 1,069,755 2,000,000 AAA Series 2003-C3, Class A2, 3.086% due 5/15/27.............. 1,923,624 1,900,000 AAA Series 2004-C1, Class A4, 4.568% due 1/15/31.............. 1,795,702 1,450,000 AAA Wachovia Bank Commercial Mortgage Trust, Series 2003-C6, Class A3, 4.957% due 8/15/35.............................. 1,452,127 - -------------------------------------------------------------------------------------------------------- TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost -- $8,946,440)........................................ 8,702,828 - -------------------------------------------------------------------------------------------------------- REPURCHASE AGREEMENT -- 2.9% 5,615,000 State Street Bank & Trust Co. dated 6/30/04, 1.150% due 7/1/04; Proceeds at maturity -- $5,615,179; (Fully collateralized by U.S. Treasury Notes, 6.500% due 10/15/06; Market value -- $5,730,730) (Cost -- $5,615,000)...................................... 5,615,000 - -------------------------------------------------------------------------------------------------------- TOTAL INVESTMENTS -- 100.0% (Cost -- $196,230,659**)........ $195,405,161 - --------------------------------------------------------------------------------------------------------
(a) Variable rate security. (b) All ratings are by Standard & Poor's Ratings Service, except those identified by an asterisk (*), which are rated by Moody's Investors Service, Inc. (c) 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. Abbreviation used in this Schedule: MOPPRS(SM) -- MandatOry Par Put Remarketed Securities(SM). "MandatOry Par Put Remarketed Securities(SM)" and MOPPRS(SM) are service marks owned by Merrill Lynch & Co., Inc. See pages 45 and 46 for definitions of ratings. SEE NOTES TO FINANCIAL STATEMENTS. 8 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 LAZARD INTERNATIONAL STOCK PORTFOLIO
SHARES SECURITY VALUE - ------------------------------------------------------------------------------------------- STOCK -- 97.8% - ------------------------------------------------------------------------------------------- FINLAND -- 4.5% 132,800 Stora Enso Oyj, Series R Shares............................. $ 1,803,664 378,800 Nokia Oyj................................................... 5,514,314 - ------------------------------------------------------------------------------------------- 7,317,978 - ------------------------------------------------------------------------------------------- FRANCE -- 11.2% 37,200 Aventis S.A.+............................................... 2,811,690 18,400 BNP Paribas S.A.+........................................... 1,132,979 49,700 Carrefour S.A.+............................................. 2,414,317 144,400 Credit Agricole S.A.+....................................... 3,517,871 35,700 Lagardere S.C.A.+........................................... 2,233,014 25,900 Sanofi-Synthelabo+.......................................... 1,643,691 23,251 Total S.A.+................................................. 4,438,062 - ------------------------------------------------------------------------------------------- 18,191,624 - ------------------------------------------------------------------------------------------- GERMANY -- 10.0% 45,600 BASF AG+.................................................... 2,443,439 82,800 Deutsche Telekom AG++....................................... 1,456,399 49,100 E.ON AG+.................................................... 3,546,655 35,500 Muenchener Rueckversicherungs-Gesellschaft AG+.............. 3,852,910 1,440 Porsche AG, Preferred Shares................................ 964,823 32,600 Schering AG................................................. 1,923,157 27,300 Siemens AG.................................................. 1,965,651 - ------------------------------------------------------------------------------------------- 16,153,034 - ------------------------------------------------------------------------------------------- HONG KONG -- 0.9% 279,500 CLP Holdings Ltd. .......................................... 1,530,142 - ------------------------------------------------------------------------------------------- IRELAND -- 4.3% 133,892 Allied Irish Banks, PLC..................................... 2,071,613 206,400 Bank of Ireland............................................. 2,755,516 103,942 CRH PLC..................................................... 2,199,027 - ------------------------------------------------------------------------------------------- 7,026,156 - ------------------------------------------------------------------------------------------- ITALY -- 2.8% 195,150 Eni S.p.A.+................................................. 3,879,462 307,800 Terna S.p.A.++.............................................. 667,377 - ------------------------------------------------------------------------------------------- 4,546,839 - ------------------------------------------------------------------------------------------- JAPAN -- 16.3% 20,650 ACOM CO., LTD. ............................................. 1,338,959 31,600 Canon Inc.+................................................. 1,661,713 309 East Japan Railway Co. ..................................... 1,729,462 34,700 FANUC Ltd. ................................................. 2,065,911 170,000 Mitsubishi Estate Co., Ltd. ................................ 2,105,080 26,700 NEC Electronics Corp.+...................................... 1,636,014 317,000 Nissan Motor Co., Ltd. ..................................... 3,516,585 205,000 Nomura Holdings, Inc. ...................................... 3,027,802 781 NTT DoCoMo, Inc. ........................................... 1,392,794
SEE NOTES TO FINANCIAL STATEMENTS. 9 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 LAZARD INTERNATIONAL STOCK PORTFOLIO
SHARES SECURITY VALUE - ------------------------------------------------------------------------------------------- JAPAN -- 16.3% (CONTINUED) 40,200 Shin-Etsu Chemical Co., Ltd. ............................... $ 1,433,810 253,000 The Sumitomo Trust and Banking Co., Ltd.+................... 1,797,805 66,700 Takeda Chemical Industries, Ltd. ........................... 2,921,880 499,000 Tokyo Gas Co., Ltd. ........................................ 1,766,089 - ------------------------------------------------------------------------------------------- 26,393,904 - ------------------------------------------------------------------------------------------- THE NETHERLANDS -- 10.0% 44,700 Akzo Nobel N.V. ............................................ 1,645,995 58,357 Heineken N.V. .............................................. 1,919,996 320,000 Koninklijke KPN N.V. ....................................... 2,440,097 148,172 Koninklijke (Royal) Philips Electronics N.V. ............... 3,994,205 122,500 Royal Dutch Petroleum Co. .................................. 6,293,981 - ------------------------------------------------------------------------------------------- 16,294,274 - ------------------------------------------------------------------------------------------- NORWAY -- 1.1% 100,000 DnB NOR ASA................................................. 682,451 81,700 Statoil ASA+................................................ 1,037,326 - ------------------------------------------------------------------------------------------- 1,719,777 - ------------------------------------------------------------------------------------------- SINGAPORE -- 1.2% 286,800 Oversea-Chinese Banking Corp. Ltd. ......................... 2,016,081 - ------------------------------------------------------------------------------------------- SPAIN -- 1.9% 83,300 Altadis, S.A.+.............................................. 2,577,279 8,900 Antena 3 de Television, S.A.++.............................. 471,587 - ------------------------------------------------------------------------------------------- 3,048,866 - ------------------------------------------------------------------------------------------- SWITZERLAND -- 6.2% 61,700 Compagnie Financiere Richemont AG, Class A Shares........... 1,611,622 111,030 Credit Suisse Group++....................................... 3,946,669 43,800 Swiss Reinsurance Co. ...................................... 2,846,178 24,300 UBS AG...................................................... 1,712,976 - ------------------------------------------------------------------------------------------- 10,117,445 - ------------------------------------------------------------------------------------------- UNITED KINGDOM -- 27.4% 480,800 Barclays PLC................................................ 4,094,543 273,800 BP PLC...................................................... 2,417,334 197,696 Cadbury Schweppes PLC....................................... 1,705,104 198,874 Diageo PLC.................................................. 2,680,607 270,500 GlaxoSmithKline PLC......................................... 5,472,750 385,207 HSBC Holdings PLC........................................... 5,726,407 54,120 Imperial Tobacco Group PLC.................................. 1,165,597 148,260 Kesa Electricals PLC........................................ 777,448 306,600 Prudential PLC.............................................. 2,637,440 465,300 Rentokil Initial PLC........................................ 1,218,920 109,100 Rio Tinto PLC............................................... 2,622,663 162,900 Royal Bank of Scotland Group PLC............................ 4,689,707 63,800 Smiths Group PLC............................................ 863,425
SEE NOTES TO FINANCIAL STATEMENTS. 10 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 LAZARD INTERNATIONAL STOCK PORTFOLIO
SHARES SECURITY VALUE - ------------------------------------------------------------------------------------------- UNITED KINGDOM -- 27.4% (CONTINUED) 224,600 Unilever PLC................................................ $ 2,202,831 2,823,400 Vodafone Group PLC.......................................... 6,180,644 - ------------------------------------------------------------------------------------------- 44,455,420 - ------------------------------------------------------------------------------------------- TOTAL STOCK (Cost -- $144,047,557).......................... 158,811,540 - ------------------------------------------------------------------------------------------- FACE AMOUNT SECURITY VALUE - ------------------------------------------------------------------------------------------- REPURCHASE AGREEMENT -- 2.2% $ 3,604,000 State Street Bank and Trust Co. dated 6/30/04, 1.150% due 7/1/04; Proceeds at maturity -- $3,604,115; (Fully collateralized by U.S. Treasury Bonds, 8.125% due 8/15/19; Market value -- $3,679,549) (Cost -- $3,604,000)...................................... 3,604,000 - ------------------------------------------------------------------------------------------- TOTAL INVESTMENTS -- 100.0% (Cost -- $147,651,557*)......... $162,415,540 - ------------------------------------------------------------------------------------------- LOANED SECURITIES COLLATERAL 29,910,541 State Street Navigator Securities Lending Trust Prime Portfolio (Cost -- $29,910,541)........................... $ 29,910,541 - -------------------------------------------------------------------------------------------
+ All or a portion of this security is on loan (See Note 8). ++ Non-income producing security. * Aggregate cost for Federal income tax purposes is substantially the same. SEE NOTES TO FINANCIAL STATEMENTS. 11 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 MFS EMERGING GROWTH PORTFOLIO
SHARES SECURITY VALUE - ----------------------------------------------------------------------------------------- COMMON STOCK -- 94.7% - ----------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY -- 20.5% HOTELS, RESTAURANTS & LEISURE -- 4.3% 38,870 Carnival Corp. ............................................. $ 1,826,890 11,840 The Cheesecake Factory Inc.+................................ 471,114 5,620 Four Seasons Hotels, Inc. .................................. 338,380 13,760 GTECH Holdings Corp. ....................................... 637,226 18,040 International Game Technology............................... 696,344 11,270 Outback Steakhouse, Inc. ................................... 466,127 9,930 P.F. Chang's China Bistro, Inc.+............................ 408,620 35,540 Royal Caribbean Cruises Ltd. ............................... 1,542,791 6,720 Starbucks Corp.+............................................ 292,186 17,350 WMS Industries Inc.+........................................ 517,030 - ----------------------------------------------------------------------------------------- 7,196,708 - ----------------------------------------------------------------------------------------- INTERNET & CATALOG RETAIL -- 3.3% 34,950 eBay Inc.+.................................................. 3,213,653 74,770 InterActiveCorp+............................................ 2,253,568 - ----------------------------------------------------------------------------------------- 5,467,221 - ----------------------------------------------------------------------------------------- MEDIA -- 6.3% 43,490 Citadel Broadcasting Co.+................................... 633,649 66,860 EchoStar Communications Corp., Class A Shares+.............. 2,055,945 37,460 Getty Images, Inc.+......................................... 2,247,600 15,660 Grupo Televisa, S.A., Sponsored ADR......................... 708,928 15,300 Meredith Corp. ............................................. 840,888 48,780 The News Corp. Ltd., Sponsored Preferred ADR................ 1,603,886 19,940 Playboy Enterprises, Inc., Class B Shares+.................. 231,503 42,270 The Walt Disney Co. ........................................ 1,077,462 47,040 Westwood One, Inc.+......................................... 1,119,552 - ----------------------------------------------------------------------------------------- 10,519,413 - ----------------------------------------------------------------------------------------- MULTI-LINE RETAIL -- 2.1% 26,310 Family Dollar Stores, Inc. ................................. 800,350 20,940 Kohl's Corp.+............................................... 885,343 41,250 Target Corp. ............................................... 1,751,888 - ----------------------------------------------------------------------------------------- 3,437,581 - ----------------------------------------------------------------------------------------- SPECIALTY RETAIL -- 3.6% 13,050 Best Buy Co., Inc. ......................................... 662,157 13,650 CDW Corp. .................................................. 870,324 25,920 PETsMART, Inc. ............................................. 841,104 42,190 Ross Stores, Inc. .......................................... 1,129,004 42,070 Staples, Inc.+.............................................. 1,233,072 33,940 Tiffany & Co. .............................................. 1,250,689 - ----------------------------------------------------------------------------------------- 5,986,350 - -----------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 12 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 MFS EMERGING GROWTH PORTFOLIO
SHARES SECURITY VALUE - ----------------------------------------------------------------------------------------- TEXTILES & APPAREL -- 0.9% 13,320 Coach, Inc.+................................................ $ 601,931 27,030 Reebok International Ltd. .................................. 972,539 - ----------------------------------------------------------------------------------------- 1,574,470 - ----------------------------------------------------------------------------------------- TOTAL CONSUMER DISCRETIONARY................................ 34,181,743 - ----------------------------------------------------------------------------------------- CONSUMER STAPLES -- 1.6% FOOD & DRUG RETAILING -- 1.6% 15,590 CVS Corp. .................................................. 655,092 57,180 Walgreen Co. ............................................... 2,070,488 - ----------------------------------------------------------------------------------------- TOTAL CONSUMER STAPLES...................................... 2,725,580 - ----------------------------------------------------------------------------------------- ENERGY -- 1.8% ENERGY EQUIPMENT & SERVICES -- 1.8% 24,490 BJ Services Co.+............................................ 1,122,622 10,650 Cooper Cameron Corp.+....................................... 518,655 22,670 GlobalSantaFe Corp. ........................................ 600,755 15,060 Smith International, Inc.+.................................. 839,746 - ----------------------------------------------------------------------------------------- TOTAL ENERGY................................................ 3,081,778 - ----------------------------------------------------------------------------------------- FINANCIALS -- 4.6% BANKS -- 0.5% 17,100 Investors Financial Services Corp. ......................... 745,218 - ----------------------------------------------------------------------------------------- DIVERSIFIED FINANCIALS -- 4.1% 29,130 American Express Co. ....................................... 1,496,699 121,000 Ameritrade Holding Corp.+................................... 1,373,350 600 The Chicago Mercantile Exchange............................. 86,622 12,020 The Goldman Sachs Group, Inc. .............................. 1,131,803 18,780 Legg Mason, Inc. ........................................... 1,709,168 20,700 Merrill Lynch & Co., Inc. .................................. 1,117,386 - ----------------------------------------------------------------------------------------- 6,915,028 - ----------------------------------------------------------------------------------------- TOTAL FINANCIALS............................................ 7,660,246 - ----------------------------------------------------------------------------------------- HEALTHCARE -- 24.3% BIOTECHNOLOGY -- 7.1% 22,900 Amgen Inc.+................................................. 1,249,653 22,070 Celgene Corp.+.............................................. 1,263,728 8,130 Genentech, Inc.+............................................ 456,906 21,670 Gen-Probe Inc.+............................................. 1,025,424 45,960 Genzyme Corp.+.............................................. 2,175,287 44,590 Gilead Sciences, Inc.+...................................... 2,987,530 8,140 ImClone Systems Inc.+....................................... 698,331 9,040 Invitrogen Corp.+........................................... 650,790 35,610 MedImmune, Inc.+............................................ 833,274 9,540 Neurocrine Biosciences, Inc.+............................... 494,649 - ----------------------------------------------------------------------------------------- 11,835,572 - -----------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 13 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 MFS EMERGING GROWTH PORTFOLIO
SHARES SECURITY VALUE - ----------------------------------------------------------------------------------------- HEALTHCARE EQUIPMENT & SUPPLIES -- 10.5% 16,370 Alcon, Inc. ................................................ $ 1,287,500 6,870 Apogent Technologies, Inc.+................................. 219,840 42,720 Baxter International, Inc. ................................. 1,474,267 36,440 C.R. Bard, Inc. ............................................ 2,064,326 146,940 Cytyc Corp.+................................................ 3,727,868 21,720 DENTSPLY International Inc. ................................ 1,131,612 37,770 Fisher Scientific International Inc.+....................... 2,181,218 41,350 Guidant Corp. .............................................. 2,310,638 32,390 Medtronic, Inc. ............................................ 1,578,041 28,930 Millipore Corp.+............................................ 1,630,784 - ----------------------------------------------------------------------------------------- 17,606,094 - ----------------------------------------------------------------------------------------- HEALTHCARE PROVIDERS & SERVICES -- 1.8% 47,820 Caremark Rx, Inc.+.......................................... 1,575,191 32,910 HCA Inc. ................................................... 1,368,727 - ----------------------------------------------------------------------------------------- 2,943,918 - ----------------------------------------------------------------------------------------- PHARMACEUTICALS -- 4.9% 19,890 Allergan, Inc. ............................................. 1,780,553 19,200 Elan Corp. PLC, Sponsored ADR+.............................. 475,008 12,240 Eli Lilly and Co. .......................................... 855,698 52,630 Johnson & Johnson........................................... 2,931,491 52,200 Medicis Pharmaceutical Corp., Class A Shares................ 2,085,390 - ----------------------------------------------------------------------------------------- 8,128,140 - ----------------------------------------------------------------------------------------- TOTAL HEALTHCARE............................................ 40,513,724 - ----------------------------------------------------------------------------------------- INDUSTRIALS -- 11.6% AIR FREIGHT & COURIERS -- 0.3% 11,260 Expeditors International of Washington, Inc. ............... 556,357 - ----------------------------------------------------------------------------------------- AIRLINES -- 1.1% 15,280 JetBlue Airways Corp.+...................................... 448,926 79,500 Southwest Airlines Co. ..................................... 1,333,215 - ----------------------------------------------------------------------------------------- 1,782,141 - ----------------------------------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES -- 9.0% 42,580 Alliance Data Systems Corp.+................................ 1,799,005 10,860 Apollo Group, Inc., Class A Shares+......................... 958,829 57,900 ARAMARK Corp., Class B Shares............................... 1,665,204 48,000 Career Education Corp.+..................................... 2,186,880 33,770 Ceridian Corp.+............................................. 759,825 80,730 Corinthian Colleges, Inc.+.................................. 1,997,260 14,060 The Corporate Executive Board Co.+.......................... 812,527 42,140 DST Systems, Inc.+.......................................... 2,026,513 484 Employee Solutions, Inc.+................................... 1 14,780 Manpower Inc. .............................................. 750,381 19,180 Monster Worldwide, Inc.+.................................... 493,310 17,480 Paychex, Inc. .............................................. 592,222
SEE NOTES TO FINANCIAL STATEMENTS. 14 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 MFS EMERGING GROWTH PORTFOLIO
SHARES SECURITY VALUE - ----------------------------------------------------------------------------------------- COMMERCIAL SERVICES AND SUPPLIES -- 9.0% (CONTINUED) 21,100 Robert Half International Inc.+............................. $ 628,147 3,510 Strayer Education, Inc. .................................... 391,611 - ----------------------------------------------------------------------------------------- 15,061,715 - ----------------------------------------------------------------------------------------- INDUSTRIAL CONGLOMERATES -- 1.2% 57,950 Tyco International Ltd. .................................... 1,920,463 - ----------------------------------------------------------------------------------------- TOTAL INDUSTRIALS........................................... 19,320,676 - ----------------------------------------------------------------------------------------- INFORMATION TECHNOLOGY -- 24.0% COMMUNICATIONS EQUIPMENT -- 5.8% 75,770 Andrew Corp.+............................................... 1,516,158 139,038 Cisco Systems, Inc.+........................................ 3,295,201 60,130 Comverse Technology, Inc.+.................................. 1,198,992 10,880 F5 Networks, Inc. .......................................... 288,102 13,170 Harris Corp. ............................................... 668,378 21,321 Juniper Networks, Inc.+..................................... 523,857 100,440 Nokia Oyj, Sponsored ADR.................................... 1,460,398 11,350 Research In Motion Ltd.+.................................... 776,794 - ----------------------------------------------------------------------------------------- 9,727,880 - ----------------------------------------------------------------------------------------- COMPUTERS & PERIPHERALS -- 2.6% 31,770 Apple Computer, Inc.+....................................... 1,033,796 72,200 Dell Inc.+.................................................. 2,586,204 7,040 Lexmark International, Inc., Class A Shares+................ 679,571 - ----------------------------------------------------------------------------------------- 4,299,571 - ----------------------------------------------------------------------------------------- ELECTRONIC EQUIPMENT & INSTRUMENTS -- 1.0% 34,830 Waters Corp.+............................................... 1,664,177 - ----------------------------------------------------------------------------------------- INTERNET SOFTWARE & SERVICES -- 2.0% 27,560 Akamai Technologies, Inc.+.................................. 494,702 76,710 Yahoo! Inc.+................................................ 2,786,874 - ----------------------------------------------------------------------------------------- 3,281,576 - ----------------------------------------------------------------------------------------- SEMICONDUCTOR EQUIPMENT & PRODUCTS -- 3.5% 31,340 Analog Devices, Inc.+....................................... 1,475,487 26,810 Integrated Circuit Systems, Inc.+........................... 728,160 83,140 Marvell Technology Group Ltd.+.............................. 2,219,838 60,710 PMC-Sierra, Inc.+........................................... 871,188 15,230 Xilinx, Inc.+............................................... 507,311 - ----------------------------------------------------------------------------------------- 5,801,984 - ----------------------------------------------------------------------------------------- SOFTWARE -- 9.1% 33,560 Adobe Systems Inc. ......................................... 1,560,540 110,280 Amdocs Ltd.+................................................ 2,583,860 35,270 Electronic Arts Inc.+....................................... 1,923,978 26,500 Mercury Interactive Corp.+.................................. 1,320,495 96,650 Microsoft Corp. ............................................ 2,760,324 58,120 Red Hat, Inc.+.............................................. 1,335,016
SEE NOTES TO FINANCIAL STATEMENTS. 15 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 MFS EMERGING GROWTH PORTFOLIO
SHARES SECURITY VALUE - ----------------------------------------------------------------------------------------- SOFTWARE -- 9.1% (CONTINUED) 37,580 Symantec Corp.+............................................. $ 1,645,252 75,180 VERITAS Software Corp.+..................................... 2,082,486 - ----------------------------------------------------------------------------------------- 15,211,951 - ----------------------------------------------------------------------------------------- TOTAL INFORMATION TECHNOLOGY................................ 39,987,139 - ----------------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES -- 6.3% DIVERSIFIED TELECOMMUNICATION SERVICES -- 2.4% 39,427 NTL Inc.+................................................... 2,271,784 41,450 SpectraSite, Inc.+.......................................... 1,791,469 - ----------------------------------------------------------------------------------------- 4,063,253 - ----------------------------------------------------------------------------------------- WIRELESS TELECOMMUNICATION SERVICES -- 3.9% 74,750 Alamosa Holdings, Inc.+..................................... 549,413 30,640 America Movil S.A. de C.V., Sponsored ADR................... 1,114,377 180,490 American Tower Corp., Class A Shares+....................... 2,743,448 18,240 Nextel Communications, Inc., Class A Shares+................ 486,278 69,079 Vodafone Group PLC, Sponsored ADR........................... 1,526,646 - ----------------------------------------------------------------------------------------- 6,420,162 - ----------------------------------------------------------------------------------------- TOTAL TELECOMMUNICATION SERVICES............................ 10,483,415 - ----------------------------------------------------------------------------------------- TOTAL COMMON STOCK (Cost -- $131,390,207)................... 157,954,301 - ----------------------------------------------------------------------------------------- FOREIGN STOCK -- 3.1% - ----------------------------------------------------------------------------------------- CANADA -- 0.5% 5,200 Aber Diamond Corp+.......................................... 153,797 38,700 CoolBrands International, Inc.+............................. 632,202 - ----------------------------------------------------------------------------------------- 785,999 - ----------------------------------------------------------------------------------------- GERMANY -- 1.1% 41,100 Bayerische Motoren Werke (BMW) AG........................... 1,820,824 - ----------------------------------------------------------------------------------------- JAPAN -- 0.4% 17,200 SOFTBANK Corp. ............................................. 755,041 - ----------------------------------------------------------------------------------------- SWITZERLAND -- 1.1% 26,290 Novartis AG+................................................ 1,160,254 6,420 Roche Holding AG............................................ 635,898 - ----------------------------------------------------------------------------------------- 1,796,152 - ----------------------------------------------------------------------------------------- TOTAL FOREIGN STOCK (Cost -- $4,551,104).................... 5,158,016 - -----------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 16 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 MFS EMERGING GROWTH PORTFOLIO
FACE AMOUNT SECURITY VALUE - --------------------------------------------------------------------------------------- SHORT-TERM INVESTMENT -- 2.2% $3,756,000 Federal National Mortgage Association, Discount Notes, 0.010% due 7/1/04 (Cost -- $3,756,000)........................................ $ 3,756,000 - --------------------------------------------------------------------------------------- TOTAL INVESTMENTS -- 100.0% (Cost -- $139,697,311*)......... $166,868,317 - ---------------------------------------------------------------------------------------
+ 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. 17 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 FEDERATED HIGH YIELD PORTFOLIO
FACE AMOUNT RATING(A) SECURITY VALUE - ---------------------------------------------------------------------------------------------------------- CORPORATE BONDS & NOTES -- 96.9% - ---------------------------------------------------------------------------------------------------------- AEROSPACE & DEFENSE -- 1.8% $ 175,000 B Alliant Techsystems Inc., Sr. Sub. Notes, 8.500% due 5/15/11..... $ 189,875 100,000 B Argo Tech Corp., Sr. Notes, 9.250% due 6/1/11 (b)................ 103,500 Hexcel Corp.: 50,000 B Sr. Secured Notes, 9.875% due 10/1/08.......................... 55,125 350,000 CCC+ Sr. Sub. Notes, 9.750% due 1/15/09............................. 368,812 425,000 BB- L-3 Communications Corp., Sr. Sub. Notes, 6.125% due 1/15/14 (b)............................................................ 408,000 225,000 B- Transdigm Inc., Sr. Sub. Notes, 8.375% due 7/15/11............... 229,500 - ---------------------------------------------------------------------------------------------------------- 1,354,812 - ---------------------------------------------------------------------------------------------------------- AUTOMOTIVE -- 3% 50,000 CCC+ Accuride Corp., Sr. Sub. Notes, Series B, 9.250% due 2/1/08...... 51,250 275,000 CCC+ Advanced Accessory Systems, Sr. Notes, 10.750% due 6/15/11....... 268,125 50,000 BB+ Dana Corp., Notes, 9.000% due 8/15/11............................ 58,750 General Motors Corp.: 325,000 BBB Debentures, 8.375% due 7/15/33................................. 344,980 275,000 BBB Sr. Notes, 7.125% due 7/15/13.................................. 282,906 100,000 BBB- Lear Corp., Sr. Notes, Series B, 7.960% due 5/15/05.............. 104,294 275,000 B+ Stoneridge Inc., Sr. Notes, 11.500% due 5/1/12................... 325,187 225,000 CCC+ Transportation Technologies Industries Inc., Sr. Sub. Notes, 12.500% due 3/31/10 (b)........................................ 223,875 385,000 BB- TRW Automotive Inc., Sr. Sub. Notes, 11.000% due 2/15/13......... 456,225 175,000 B United Components Inc., Sr. Sub. Notes, 9.375% due 6/15/13....... 179,375 - ---------------------------------------------------------------------------------------------------------- 2,294,967 - ---------------------------------------------------------------------------------------------------------- BUILDING & MATERIALS -- 2.7% Associated Materials Inc.: 325,000 B- Sr. Discount Notes, zero-coupon due 3/1/14 (b)................. 219,375 125,000 B- Sr. Sub. Notes, 9.750% due 4/15/12............................. 139,375 200,000 B- Collins & Aikman Floorcovering Inc., Sr. Sub. Notes, 9.750% due 2/15/10........................................................ 204,000 50,000 B- MAAX Corp., Sr. Sub. Notes, 9.750% due 6/15/12 (b)............... 51,750 150,000 CCC MMI Products, Inc., Sr. Sub. Notes, Series B, 11.250% due 4/15/07........................................................ 145,500 175,000 B- Mueller Group Inc., Sr. Sub. Notes, 10.000% due 5/1/12 (b)....... 182,875 225,000 B+ NCI Building Systems, Inc., Sr. Sub. Notes, Series B, 9.250% due 5/1/09......................................................... 237,375 275,000 B- Norcraft Co., Sr. Sub. Notes, 9.000% due 11/1/11 (b)............. 291,500 375,000 B- Nortek Holdings Inc., Sr. Notes, zero coupon, due 5/15/11 (b).... 301,875 200,000 B- Ply Gem Industries Inc., Sr. Sub. Notes, 9.000% due 2/15/12 (b)............................................................ 205,000 125,000 B- U.S. Concrete, Inc., Sr. Sub. Notes, 8.375% due 4/1/14 (b)....... 125,312 - ---------------------------------------------------------------------------------------------------------- 2,103,937 - ---------------------------------------------------------------------------------------------------------- CHEMICALS & PLASTICS -- 5.3% 325,000 B- BCP Caylux Holding LUX SCA, Sr. Sub. Notes, 9.625% due 6/15/14 (b)............................................................ 338,406 225,000 B- Compass Minerals Group Inc., Sr. Sub. Notes, 10.000% due 8/15/11........................................................ 250,875 Compass Minerals International, Inc., Sr. Discount Notes: 150,000 B- Zero-coupon due 12/15/12....................................... 119,250 275,000 B- Zero-coupon due 6/1/13......................................... 210,375 250,000 B+ Equistar Chemical, L.P., Sr. Notes, 10.125% due 9/1/08........... 275,000 125,000 BB+ FMC Corp., Secured Notes, 10.250% due 11/1/09.................... 144,375
SEE NOTES TO FINANCIAL STATEMENTS. 18 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 FEDERATED HIGH YIELD PORTFOLIO
FACE AMOUNT RATING(A) SECURITY VALUE - ---------------------------------------------------------------------------------------------------------- CHEMICALS & PLASTICS -- 5.3% (CONTINUED) $ 150,000 B Huntsman Advanced Materials, Sr. Secured Notes, 11.000% due 7/15/10 (b).................................................... $ 169,875 425,000 CCC+ Huntsman ICI Chemicals, Sr. Sub Notes, 10.125% due 7/1/09........ 435,625 200,000 B+ Invista, Notes, 9.250% due 5/1/12 (b)............................ 202,000 150,000 B Koppers Inc., Sr. Notes, 9.875% due 10/15/13 (b)................. 165,000 Lyondell Chemical Co.: Sr. Secured Notes: 75,000 B+ 9.6250% due 5/1/07........................................... 78,750 275,000 B+ 9.500% due 12/15/08.......................................... 288,063 150,000 B+ Series B, 9.875% due 5/1/07.................................. 157,500 250,000 B- Sr. Sub. Notes, 10.875% due 5/1/09............................. 262,500 175,000 B- Nalco Co., Sr. Sub. Notes, 8.875% due 11/15/13 (b)............... 184,187 325,000 B- Nalco Finance Holdings Inc., Sr. Notes, zero coupon due 2/1/14 (b)............................................................ 216,937 250,000 CCC+ Rhodia S.A., Sr. Sub. Notes, 8.875% due 6/1/11 (b)............... 212,500 Union Carbide Chemicals & Plastics: 50,000 BBB- Debentures, 7.875% due 4/1/23.................................. 48,000 200,000 BBB- Sr. Notes, 8.750% due 8/1/22................................... 197,000 Union Carbide Corp., Debentures: 75,000 BBB- 6.790% due 6/1/25.............................................. 76,125 50,000 BBB- 7.500% due 6/1/25.............................................. 47,000 - ---------------------------------------------------------------------------------------------------------- 4,079,343 - ---------------------------------------------------------------------------------------------------------- CONSTRUCTION MACHINERY -- 1.7% 175,000 BB- AGCO Corp., Sr. Notes, 9.500% due 5/1/08......................... 191,625 400,000 BB- Case New Holland Inc., Sr. Notes, 9.250% due 8/1/11 (b).......... 422,000 150,000 NR Clark Material Handling Co., Sr. Notes, Series D, 10.750% due 11/15/06 (c)................................................... 0 Columbus McKinnon Corp: 50,000 B- Sr. Secured Notes, 10.000% due 8/1/10.......................... 53,250 225,000 CCC+ Sr. Sub. Notes, 8.500% due 4/1/08.............................. 208,125 300,000 BB- Nationsrent Inc., Secured Sr. Notes, 9.500% due 10/15/10 (b)..... 321,000 125,000 BB- United Rentals (North America), Inc., Sr. Notes, 6.500% due 2/15/12 (b).................................................... 118,750 - ---------------------------------------------------------------------------------------------------------- 1,314,750 - ---------------------------------------------------------------------------------------------------------- CONSUMER PRODUCTS -- 5.1% 325,000 B- Alltrista Corp., Sr. Sub. Notes, 9.750% due 5/1/12............... 355,062 75,000 B- American Achievement Corp., Sr. Sub. Notes, 8.250% due 4/1/12 (b)............................................................ 76,500 175,000 CCC+ Ames True Temper Inc., Sr. Sub. Notes, 10.000% due 7/15/12 (b)... 176,313 175,000 B+ Armkel LLC, Sr. Sub. Notes, 9.500% due 8/15/09................... 192,063 150,000 B- Chattem Inc., Sr. Sub. Notes, 7.000% due 3/1/14.................. 144,750 50,000 D Diamond Brands Operating Corp., Sr. Sub. Notes, 10.125% due 4/15/08 (c).................................................... -- 175,000 B- Icon Health & Fitness Inc., Sr. Sub. Notes, 11.250% due 4/1/12... 191,625 475,000 B- Jostens Holding Corp., Sr. Discount Notes, 10.250% due 12/1/13 (b)............................................................ 325,375 200,000 B- Jostens Inc., Sr. Sub. Notes, 12.750% due 5/1/10................. 224,000 50,000 BB K2, Inc., Sr. Notes, 7.375% due 7/1/14 (b)....................... 51,125 150,000 CCC+ Leiner Health Products, Sr. Sub. Notes, 11.000% due 6/1/12 (b)... 155,625 175,000 CCC+ NBC Acquisition Corp., zero coupon due 3/15/13................... 111,125 150,000 CCC+ Nebraska Book Co., Inc., Sr. Sub. Notes, 8.625% due 3/15/12...... 147,750 275,000 CCC+ Playtex Products Inc., Sr. Sub. Notes, 9.375% due 6/1/11......... 268,812 250,000 B- Sealy Mattress Co., Sr. Sub. Notes, 8.250% due 6/15/14 (b)....... 252,500
SEE NOTES TO FINANCIAL STATEMENTS. 19 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 FEDERATED HIGH YIELD PORTFOLIO
FACE AMOUNT RATING(A) SECURITY VALUE - ---------------------------------------------------------------------------------------------------------- CONSUMER PRODUCTS -- 5.1% (CONTINUED) $ 350,000 B- Simmons Co., Sr. Sub. Notes, 7.875% due 1/15/14 (b).............. $ 358,750 205,000 B Tempur-Pedic Inc., Sr. Sub. Notes, 10.250% due 8/15/10 (b)....... 232,162 150,000 B- True Temper Sports Inc., Sr. Sub. Notes, 8.375% due 9/15/11 (b)............................................................ 150,750 350,000 B- United Industries Corp., Sr. Sub. Notes, Series D, 9.875% due 4/1/09......................................................... 365,750 150,000 B WH Holdings Limited, Sr. Notes, 9.500% due 4/1/11 (b)............ 156,750 - ---------------------------------------------------------------------------------------------------------- 3,936,787 - ---------------------------------------------------------------------------------------------------------- DIVERSIFIED MANUFACTURING -- 1.2% 100,000 B Amsted Industries Inc., Sr. Notes, 10.250% due 10/15/11 (b)...... 109,000 175,000 B- Polypore Inc., Sr. Sub. Notes, 8.750% due 5/15/12 (b)............ 183,312 200,000 B- Thermadyne Holdings Corp., Sr. Secured Notes, 9.250% due 2/1/14......................................................... 198,500 Tyco International Group S.A., Notes: 75,000 BBB 6.375% due 6/15/05............................................. 77,338 375,000 BBB 5.800% due 8/1/06.............................................. 391,277 - ---------------------------------------------------------------------------------------------------------- 959,427 - ---------------------------------------------------------------------------------------------------------- ENERGY -- 2.4% 75,000 BB- Chesapeake Energy Corp., Sr. Notes, 7.500% due 6/15/14 (b)....... 77,625 175,000 BB Citgo Petroleum Corp., Sr. Notes, 11.375% due 2/1/11............. 203,875 225,000 B Compton Petroleum Corp., Sr. Notes, Series A, 9.900% due 5/15/09........................................................ 246,938 200,000 CCC+ Continental Resources, Inc., Sr. Sub. Notes, 10.250% due 8/1/08......................................................... 207,500 150,000 BB- Ferrellgas Escrow LLC, Sr. Notes, 6.750% due 5/1/14 (b).......... 145,500 50,000 B- Lone Star Technologies, Inc., Sr. Sub. Notes, Series B, 9.000% due 6/1/11..................................................... 52,375 75,000 B+ Magnum Hunter Resources, Inc., Sr. Notes, 9.600% due 3/15/12..... 82,875 150,000 BB- Petroleum Helicopters Inc., Sr. Notes, Series B, 9.375% due 5/1/09......................................................... 158,250 75,000 B Range Resources Corp., Sr. Sub. Notes, 7.375% due 7/15/13 (b).... 75,000 250,000 B Swift Energy Co., Sr. Sub. Notes, 9.375% due 5/1/12.............. 268,125 Tesoro Petroleum Corp.: 100,000 BB Sr. Secured Notes, 8.000% due 4/15/08.......................... 107,500 175,000 B Sr. Sub. Notes, Series B, 9.625% due 11/1/08................... 192,500 - ---------------------------------------------------------------------------------------------------------- 1,818,063 - ---------------------------------------------------------------------------------------------------------- ENTERTAINMENT -- 2.1% 300,000 CCC+ AMC Entertainment Inc., Sr. Sub. Notes, 9.875% due 2/1/12........ 316,500 350,000 B- Cinemark Inc., Sr. Discount Notes, zero coupon due 3/15/14 (b)... 230,125 150,000 B- Cinemark USA Inc., Sr. Sub. Notes, 9.000% due 2/1/13............. 164,438 225,000 B+ Intrawest Corp., Sr. Notes, 10.500% due 2/1/10................... 244,406 Six Flags Inc., Sr. Notes: 150,000 B- 9.750% due 4/15/13............................................. 151,500 50,000 B- 9.625% due 6/1/14 (b).......................................... 50,000 425,000 B- Universal City Development Partners, Sr. Notes, 11.750% due 4/1/10 (b)..................................................... 494,062 - ---------------------------------------------------------------------------------------------------------- 1,651,031 - ----------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 20 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 FEDERATED HIGH YIELD PORTFOLIO
FACE AMOUNT RATING(A) SECURITY VALUE - ---------------------------------------------------------------------------------------------------------- ENVIRONMENTAL -- 1.8% Allied Waste North America Inc., Series B: $ 275,000 BB- 9.250% due 9/1/12.............................................. $ 309,375 625,000 BB- Sr. Notes, 7.625% due 1/1/06................................... 658,594 200,000 B Clean Harbors Inc., 11.250% due 7/15/12 (b)...................... 203,000 175,000 B Synagro Technologies Inc., Sr. Sub. Notes, 9.500% due 4/1/09..... 183,750 - ---------------------------------------------------------------------------------------------------------- 1,354,719 - ---------------------------------------------------------------------------------------------------------- FINANCIAL INSTITUTIONS -- 0.3% 200,000 B Dollar Financial Group, Sr. Notes, 9.750% due 11/15/11 (b)....... 210,000 - ---------------------------------------------------------------------------------------------------------- FINANCIAL/OTHER -- 1.6% 1,225,000 BB- Targeted Return Index Sector, Trains HY-2004-1, Secured Notes, 8.218% due 8/1/15 (b)(d)....................................... 1,273,249 - ---------------------------------------------------------------------------------------------------------- FOOD & BEVERAGE -- 6.4% 63,000 B- AgriLink Foods Inc., Sr. Sub. Notes, 11.875% due 11/1/08......... 66,938 250,000 B- American Seafood Group LLC, Sr. Sub. Notes, 10.125% due 4/15/10........................................................ 300,000 150,000 CCC+ B&G Foods, Inc., Sr. Sub. Notes, Series D, 9.625% due 8/1/07..... 153,375 150,000 BB Constellation Brands, Inc., Sr. Notes, Series B, 8.000% due 2/15/08........................................................ 162,000 200,000 B+ Cott Beverages Inc., Sr. Sub. Notes, 8.000% due 12/15/11......... 213,500 Del Monte Corp.: 75,000 B Series B, 9.250% due 5/15/11................................... 82,313 400,000 B Sr. Sub. Notes, 8.625% due 12/15/12............................ 433,000 Dole Foods Co., Sr. Notes: 275,000 B+ 8.625% due 5/1/09.............................................. 289,438 175,000 B+ 7.250% due 6/15/10............................................. 173,688 300,000 CCC+ Eagle Family Foods Holdings, Inc., Sr. Sub. Notes, Series B, 8.750% due 1/15/08............................................. 211,500 200,000 B- Gold Kist, Inc., Sr. Notes, 10.250% due 3/15/14 (b).............. 218,000 225,000 B- Land O' Lakes, Inc., Sr. Notes, 8.750% due 11/15/11.............. 208,125 175,000 B- Michael Foods Inc., Sr. Sub. Notes, 8.000% due 11/15/13 (b)...... 181,563 150,000 B- National Beef Packing Co. LLC, Sr. Notes, 10.500% due 8/1/11 (b)............................................................ 159,750 100,000 NR Nebco Evans Holding Co., Sr. Discount Notes, 12.375% due 7/15/07 (c)............................................................ 0 275,000 B- Pierre Foods Inc., Sr. Sub. Notes, 9.875% due 7/15/12 (b)........ 280,156 Pilgrim's Pride Corp.: 275,000 BB- Sr. Notes, 9.625% due 9/15/11.................................. 305,250 225,000 B+ Sr. Sub. Notes, 9.250% due 11/15/13............................ 240,750 200,000 B- Reddy Ice Group, Inc., Sr. Sub. Notes, 8.875% due 8/1/11 (b)..... 212,000 Smithfield Foods Inc., Sr. Notes: 200,000 BB- 7.750% due 5/15/13............................................. 211,000 250,000 BB- Series B, 8.000% due 10/15/09.................................. 270,625 Swift & Co.: 100,000 B+ Sr. Notes, 10.125% due 10/1/09................................. 107,250 125,000 B- Sr. Sub. Notes, 12.500% due 1/1/10............................. 134,375 300,000 CCC+ UAP Holding Corp., Sr. Discount Notes, zero coupon due 7/15/12 (b)............................................................ 241,200 75,000 B- United Agricultural Products Inc., Sr. Notes, 8.250% due 12/15/11 (b)............................................................ 84,000 - ---------------------------------------------------------------------------------------------------------- 4,939,796 - ----------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 21 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 FEDERATED HIGH YIELD PORTFOLIO
FACE AMOUNT RATING(A) SECURITY VALUE - ---------------------------------------------------------------------------------------------------------- GAMING -- 7.4% $ 75,000 B American Casino & Entertainment, Sr. Secured Notes, 7.850% due 2/1/12 (b)..................................................... $ 76,500 Boyd Gaming Corp., Sr. Sub. Notes: 100,000 B+ 8.750% due 4/15/12............................................. 107,000 175,000 B+ 7.750% due 12/15/12............................................ 177,625 200,000 NR Coast Hotels & Casino, Inc., Sr. Sub. Notes, 9.500% due 4/1/09... 211,000 225,000 B- Global Cash Access LLC, Sr. Sub. Notes, 8.750% due 3/15/12 (b)... 235,125 500,000 BB+ Harrah's Operating Co., Inc., Sr. Sub. Notes, 7.875% due 12/15/05....................................................... 529,375 225,000 B Isle of Capri Casinos, Inc., Sr. Sub. Notes, 9.000% due 3/15/12........................................................ 243,563 150,000 B Majestic Star Casino LLC, Sr. Secured Notes, 9.500% due 10/15/10 (b)............................................................ 151,500 Mandalay Resort Group: 125,000 BB+ Sr. Notes, 9.500% due 8/1/08................................... 140,625 475,000 BB- Sr. Sub. Notes, Series B, 10.250% due 8/1/07................... 529,625 MGM MIRAGE: 150,000 BB+ Sr. Notes, 8.500% due 9/15/10.................................. 162,750 Sr. Sub. Notes: 600,000 BB- 9.750% due 6/1/07............................................ 658,500 200,000 BB- 8.375% due 2/1/11............................................ 210,000 Mohegan Tribal Gaming Authority, Sr. Sub. Notes: 25,000 BB- 8.375% due 7/1/11.............................................. 27,125 250,000 BB- 8.000% due 4/1/12.............................................. 267,500 225,000 B+ MTR Gaming Group, Sr. Notes, 9.750% due 4/1/10................... 243,000 Park Place Entertainment Corp., Sr. Sub. Notes: 275,000 BB- 7.875% due 3/15/10............................................. 291,500 300,000 BB- 8.125% due 5/15/11............................................. 319,875 Penn National Gaming, Inc., Sr. Sub. Notes: 50,000 B 8.875% due 3/15/10............................................. 54,562 175,000 B Series B, 11.125% due 3/1/08................................... 193,375 200,000 B+ Station Casinos, Inc., Sr. Sub. Notes, 6.500% due 2/1/14......... 193,500 250,000 B Sun International Hotels Ltd., Sr. Sub. Notes, 8.875% due 8/15/11........................................................ 268,125 225,000 B Venetian Casino Resort LLC/Las Vegas Sands Inc., Mortgage Notes, 11.000% due 6/15/10............................................ 261,000 117,000 CCC+ Wynn Las Vegas LLC/Corp., Second Mortgage, 12.000% due 11/1/10... 140,692 - ---------------------------------------------------------------------------------------------------------- 5,693,442 - ---------------------------------------------------------------------------------------------------------- HEALTHCARE -- 4.4% 300,000 B- Ameripath Inc., Sr. Sub. Notes, 10.500% due 4/1/13............... 304,500 175,000 B- Ardent Health Services, Sr. Sub. Notes, 10.000% due 8/15/13 (b)............................................................ 188,125 Concentra Operating Corp. Sr. Secured Notes: 175,000 B- 9.500% due 8/15/10............................................. 187,250 50,000 B- 9.125% due 6/1/12 (b).......................................... 52,500 325,000 B+ Fisher Scientific International, Sr. Notes, 8.000% due 9/1/13 (b)............................................................ 349,375 100,000 B- Hanger Orthopedic Group, Sr. Notes, 10.375% due 2/15/09.......... 102,750 HCA Inc., Notes: 350,000 BBB- 6.910% due 6/15/05............................................. 360,457 375,000 BBB- 8.750% due 9/1/10.............................................. 428,717 200,000 BBB- 6.750% due 7/15/13............................................. 205,220 143,382 B+ Magellan Health Services, Inc., Sr. Notes, 9.375% due 11/15/08... 154,494 200,000 BBB Manor Care Inc., Sr. Notes, 8.000% due 3/1/08.................... 222,250
SEE NOTES TO FINANCIAL STATEMENTS. 22 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 FEDERATED HIGH YIELD PORTFOLIO
FACE AMOUNT RATING(A) SECURITY VALUE - ---------------------------------------------------------------------------------------------------------- HEALTHCARE -- 4.4% (CONTINUED) $ 100,000 B- Medical Device Manufacturing, Inc., Sr. Sub. Notes, 10.000% due 7/15/12 (b).................................................... $ 102,500 150,000 BB- Sybron Dental Specialties, Inc., Sr. Sub. Notes, 8.125% due 6/15/12........................................................ 161,250 125,000 B- Universal Hospital Services Inc., Sr. Notes, 10.125% due 11/1/11 (b)............................................................ 127,500 350,000 B- Vanguard Health Systems, Inc., Sr. Sub. Notes, 9.750% due 8/1/11......................................................... 380,625 75,000 B VWR International Inc., Sr. Sub. Notes, 8.000% due 4/15/14 (b)... 77,250 - ---------------------------------------------------------------------------------------------------------- 3,404,763 - ---------------------------------------------------------------------------------------------------------- INDUSTRIAL/OTHER -- 4.4% 100,000 B- Aearo Co. I, Sr. Sub. Notes, 8.250% due 4/15/12 (b).............. 102,500 225,000 B- Brand Services, Inc., Sr. Sub. Notes, 12.000% due 10/15/12....... 257,625 400,000 B- Eagle-Picher Inc., Sr. Notes, 9.750% due 9/1/13.................. 432,000 Foamex L.P.: 125,000 B- Sr. Secured Notes, 10.750% due 4/1/09.......................... 124,375 100,000 CCC+ Sr. Sub. Notes, 9.875% due 6/15/07............................. 85,500 50,000 NR Glenoit Corp., Sr. Sub. Notes, 11.000% due 4/15/07 (c)........... 1,000 200,000 B+ Greif Bros. Corp., Sr. Sub. Notes, 8.875% due 8/1/12............. 216,250 175,000 B Hines Nurseries Inc., Sr. Notes, 10.250% due 10/1/11 (b)......... 191,625 225,000 B- Interline Brands Inc., Sr. Sub. Notes, 11.500% due 5/15/11....... 249,750 250,000 CCC+ Milacron Escrow Corp., Sr. Secured Notes, 11.500% due 5/15/11 (b)............................................................ 250,000 Neenah Corp.: 191,000 CCC+ Sr. Secured Notes, 11.000% due 9/30/10 (b)..................... 203,415 159,574 CCC+ Sr. Sub. Notes, 13.000% due 9/30/13 (b)........................ 157,180 250,000 B- Norcross Safety Products, Sr. Sub. Notes, 9.875% due 8/15/11 (b)............................................................ 271,250 200,000 B- Rexnord Corp., Sr. Sub. Notes, 10.125% due 12/15/12.............. 221,000 300,000 B- Sensus Metering Systems, Sr. Sub. Notes, 8.625% due 12/15/13 (b)............................................................ 289,500 150,000 B Superior Essex Communications LLC, Sr. Notes, 9.000% due 4/15/12 (b)............................................................ 144,000 100,000 B+ Valmont Industries, Inc., Sr. Sub. Notes, 6.875% due 5/1/14 (b)............................................................ 98,750 125,000 B- Wesco Distribution Inc., Sr. Sub. Notes, 9.125% due 6/1/08....... 129,219 - ---------------------------------------------------------------------------------------------------------- 3,424,939 - ---------------------------------------------------------------------------------------------------------- LODGING -- 2.0% 125,000 CCC+ Courtyard by Marriott, Sr. Secured Notes, Series B, 10.750% due 2/1/08......................................................... 125,938 250,000 B- Florida Panthers Holdings, Sr. Sub. Notes, 9.875% due 4/15/09.... 264,375 Hilton Hotels Corp., Notes: 300,000 BBB- 8.250% due 2/15/11............................................. 335,250 50,000 BBB- 7.625% due 12/1/12............................................. 54,000 133,000 B+ HMH Properties, Inc. Sr. Notes, Series B, 7.875% due 8/1/08...... 136,990 175,000 BB+ Royal Caribbean Cruises Ltd., Sr. Notes, 8.000% due 5/15/10...... 189,437 Starwood Hotels & Resorts Worldwide Inc., Sr. Notes: 350,000 BB+ 7.375% due 5/1/07.............................................. 370,125 100,000 BB+ 7.875% due 5/1/12.............................................. 107,500 - ---------------------------------------------------------------------------------------------------------- 1,583,615 - ---------------------------------------------------------------------------------------------------------- MEDIA/CABLE -- 2.4% 250,000 B+ Cablevision Systems Corp., Sr. Notes, 8.000% due 4/15/12 (b)..... 247,500 350,000 CCC- Charter Communications Holdings II, Sr. Notes, 10.250% due 9/15/10 (b).................................................... 354,375
SEE NOTES TO FINANCIAL STATEMENTS. 23 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 FEDERATED HIGH YIELD PORTFOLIO
FACE AMOUNT RATING(A) SECURITY VALUE - ---------------------------------------------------------------------------------------------------------- MEDIA/CABLE -- 2.4% (CONTINUED) Charter Communications Holdings LLC, Sr. Discount Notes: $ 75,000 CCC- Step bond to yield 11.758% due 1/15/11......................... $ 55,313 450,000 CCC- Step bond to yield 10.959% due 4/1/11.......................... 357,750 375,000 BB- CSC Holdings Inc., Sr. Notes, 7.875% due 12/15/07................ 391,875 450,000 B Kabel Deutschland GMBH, Sr. Notes, 10.625% due 7/1/14 (b)........ 464,625 - ---------------------------------------------------------------------------------------------------------- 1,871,438 - ---------------------------------------------------------------------------------------------------------- MEDIA/NON-CABLE -- 8.6% Advanstar Communications Inc.: 125,000 B- Sr. Secured Notes, 10.750% due 8/15/10 (b)..................... 138,906 250,000 CCC+ Sr. Sub. Notes, Series B, 12.000% due 2/15/11.................. 267,500 125,000 NR Advanstar Inc., Sr. Sub. Notes, Series B, step bond to yield 14.993% due 10/15/11 (e)....................................... 101,406 150,000 B- Affinity Group, Inc., Sr. Sub. Note, 9.000% due 2/15/12 (b)...... 154,500 American Media Operations Inc., Sr Sub. Notes: 150,000 B- 8.875% due 1/15/11............................................. 145,875 175,000 B- Series B, 10.250% due 5/1/09................................... 182,438 200,000 B- Block Communications Inc., Sr. Sub. Notes, 9.250% due 4/15/09.... 211,000 100,000 B Cadmus Communication Corp, Sr. Sub. Notes, 8.375% due 6/15/14 (b)............................................................ 100,500 425,000 B Dex Media East, LLC, Sr. Sub. Notes, 12.125% due 11/15/12........ 498,313 275,000 B Dex Media Inc., Notes, 8.000% due 11/15/13 (b)................... 178,750 500,000 B Dex Media West, LLC, Sr. Sub. Notes, 9.875% due 8/15/13 (b)...... 551,250 325,000 BB- DIRECTV Holdings, LLC, Sr. Notes, 8.375% due 3/15/31............. 361,156 Echostar DBS Corp., Sr. Notes: 100,000 BB- 10.375% due 10/1/07............................................ 107,375 225,000 BB- 5.750% due 10/1/08............................................. 223,031 150,000 B Houghton Mifflin Co., Sr. Discount Notes, zero coupon due 10/15/13....................................................... 80,437 50,000 B Inmarsat Finance PLC, Sr. Notes, 7.625% due 6/30/12 (b).......... 48,625 175,000 B Lamar Media Corp., Sr. Sub. Notes, 7.250% due 1/1/13............. 178,938 50,000 CCC+ Liberty Group Operating, Inc., Sr. Sub. Notes, 9.375% due 2/1/08......................................................... 50,000 175,000 B- Lodgenet Entertainment Corp., Sr. Sub. Notes, 9.500% due 6/15/13........................................................ 192,063 400,000 B+ PanAmSat Corp., Sr. Notes, 8.500% due 2/1/12..................... 456,000 300,000 B Quebecor Media, Inc., Sr. Notes, 11.125% due 7/15/11............. 343,875 200,000 BB- Reader's Digest Association, Inc., Sr. Notes, 6.500% due 3/1/11......................................................... 196,250 275,000 B+ R.H. Donnelley Corp., Sr. Sub. Notes, 10.875% due 12/15/12....... 320,375 Sinclair Broadcast Group, Sr. Sub. Notes: 300,000 B 8.750% due 12/15/11............................................ 322,500 50,000 B 8.000% due 3/15/12............................................. 51,375 Vertis, Inc.: 550,000 B- Notes, Series B, 10.875% due 6/15/09........................... 594,000 50,000 B- Sr. Secured Notes, 9.750% due 4/1/09........................... 54,000 XM Satellite Radio Inc.: 186,747 CCC+ Sr. Discount Notes, step bond to yield 21.882%% due 12/31/09... 176,943 94,000 CCC+ Sr. Secured Notes, 12.000% due 6/15/10 (e)..................... 108,217
SEE NOTES TO FINANCIAL STATEMENTS. 24 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 FEDERATED HIGH YIELD PORTFOLIO
FACE AMOUNT RATING(A) SECURITY VALUE - ---------------------------------------------------------------------------------------------------------- MEDIA/NON-CABLE -- 8.6% (CONTINUED) Yell Finance B.V.: $ 179,000 BB- Sr. Discount Notes, step bond to yield 13.494% due 8/1/11...... $ 169,155 97,000 BB- Sr. Notes, 10.750% due 8/1/11.................................. 112,278 - ---------------------------------------------------------------------------------------------------------- 6,677,031 - ---------------------------------------------------------------------------------------------------------- METALS & MINING -- 1.5% 125,000 BB- California Steel Industries, Inc., Sr. Notes, 6.125% due 3/15/14........................................................ 117,188 75,000 B- Commonwealth Industries, Sr. Sub. Notes, 10.750% due 10/1/06..... 76,125 225,000 B- IMCO Recycling Inc., Secured Sr. Notes, 10.375% due 10/15/10 (b)............................................................ 244,125 150,000 B- Ispat Inland ULC, Sr. Secured Notes, 9.750% due 4/1/14 (b)....... 155,250 150,000 NR Republic Technology Inc., Sr. Secured Notes, 13.750% due 7/15/09 (c)(e)......................................................... 0 150,000 B Ryerson Tull Inc., Notes, 9.125% due 7/15/06..................... 157,500 210,000 BB- United States Steel Corp., Sr. Notes, 9.750% due 5/15/10......... 233,625 150,000 B Wise Metals Group LLC, Sr. Secured Notes, 10.250% due 5/15/12 (b)............................................................ 154,500 - ---------------------------------------------------------------------------------------------------------- 1,138,313 - ---------------------------------------------------------------------------------------------------------- PACKAGING -- 3.1% 225,000 B- Berry Plastics, Sr. Sub. Notes, 10.750% due 7/15/12.............. 250,875 250,000 CCC+ Graham Packaging/GPC CAP Co., Sr. Sub. Notes, 8.750% due 1/15/08 (b)............................................................ 252,500 175,000 CCC+ Graham Packaging, Sr. Sub. Notes, Series B, 4.795 due 1/15/08 (d)............................................................ 168,875 Owens-Brockway Glass Containers, Sr. Secured Notes: 250,000 BB- 8.875% due 2/15/09............................................. 271,250 150,000 BB- 7.750% due 5/15/11............................................. 156,750 100,000 B- 8.25% due 5/15/13.............................................. 103,750 350,000 B- Owens Illinois Inc., Sr. Notes, 8.100% due 5/15/07............... 362,250 125,000 B+ Plastipak Holdings, Inc., Sr. Notes, 10.750% due 9/1/11.......... 135,000 Pliant Corp. 50,000 B- Sr. Secured Notes, 11.125% due 9/1/09.......................... 53,750 300,000 B- Sr. Secured Sub. Notes, 13.000% due 6/1/10..................... 270,000 16,707 NR Russell-Stanley Holdings Inc., Sr. Sub. Notes, 9.000% due 11/30/08 (b)................................................... 2 375,000 B- Tekni-Plex Inc., Sr. Sub. Notes, Series B, 12.750% due 6/15/10... 361,875 - ---------------------------------------------------------------------------------------------------------- 2,386,877 - ---------------------------------------------------------------------------------------------------------- PAPER -- 4.0% 50,000 BB Boise Cascade Corp., Sr. Notes, 7.000% due 11/1/13............... 51,375 Georgia Pacific Corp.: 500,000 BB+ Notes, 7.500% due 5/15/06...................................... 532,500 Sr. Notes: 250,000 BB+ 8.125% due 5/15/11........................................... 277,500 400,000 BB+ 9.375% due 2/1/13............................................ 460,000 250,000 B- Graphic Packaging International Inc., Sr. Sub. Notes, 9.500% due 8/15/13 (b).................................................... 272,500 MDP Acquisitions PLC, Sr. Notes: 250,000 B 9.625% due 10/1/12............................................. 275,000 205,485 B 15.500% due 10/1/13............................................ 237,336 150,000 B+ Riverside Forest Products Limited, Sr. Notes, 7.875% due 3/1/14 (b)............................................................ 153,750 375,000 B Smurfit-Stone Container Corp., Sr. Notes, 8.250% due 10/1/12..... 391,875
SEE NOTES TO FINANCIAL STATEMENTS. 25 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 FEDERATED HIGH YIELD PORTFOLIO
FACE AMOUNT RATING(A) SECURITY VALUE - ---------------------------------------------------------------------------------------------------------- PAPER -- 4.0% (CONTINUED) $ 225,000 B Stone Container Corp., Sr. Notes, 9.750% due 2/1/11.............. $ 248,625 175,000 BB- Tembec Industries Inc., Sr. Notes, 8.500% due 2/1/11............. 177,625 - ---------------------------------------------------------------------------------------------------------- 3,078,086 - ---------------------------------------------------------------------------------------------------------- RESTAURANTS -- 0.8% 125,000 CCC- Advantica Restaurant Group, Inc., Sr. Notes, 11.125% due 1/15/08........................................................ 121,250 50,000 CCC+ Buffets Inc., Sr. Sub. Notes, 11.250% due 7/15/10................ 52,500 250,000 B- Carrols Corp., Sr. Sub. Notes, 9.500% due 12/1/08................ 260,000 175,000 B- Dominos Inc., Sr. Sub. Notes, 8.250% due 7/1/11 (b).............. 186,375 - ---------------------------------------------------------------------------------------------------------- 620,125 - ---------------------------------------------------------------------------------------------------------- RETAILERS -- 4.1% 325,000 B Buhrmann U.S. Inc., Sr. Sub. Notes, 12.250% due 11/1/09.......... 357,694 200,000 B Couche-Tard US/ Finance, Sr. Sub. Notes, 7.500% due 12/15/13 (b)............................................................ 201,000 125,000 B+ Finlay Fine Jewelry Corp., Sr. Notes, 8.375% due 6/1/12 (b)...... 130,312 200,000 B- FTD, Inc., Sr. Sub Notes, 7.750% due 2/15/14..................... 186,500 125,000 B- General Nutrition Center Inc., Sr. Sub. Notes, 8.500% due 12/1/10 (f)............................................................ 130,312 J.C. Penney Co., Inc., Notes: 50,000 BB+ 7.600% due 4/1/07.............................................. 54,187 476,000 BB+ 9.000% due 8/1/12.............................................. 564,060 200,000 B- Lazydays RV Center Inc., Sr. Notes, 11.750% due 5/15/12 (b)...... 212,000 150,000 BB+ Michaels Stores Inc., Sr. Notes, 9.250% due 7/1/09............... 165,000 250,000 B- PCA LLC/PCA Finance Corp., Sr. Notes, 11.875% due 8/1/09......... 270,000 200,000 B- Petro Stopping Centers LP, Sr. Secured Notes, 9.000% due 2/15/12 (b)............................................................ 199,000 Rite Aid Corp., Sr. Notes: 300,000 B+ 8.125% due 5/1/10.............................................. 317,250 100,000 B+ 9.500% due 2/15/11............................................. 110,750 225,000 B United Auto Group Inc., Sr. Sub. Notes, 9.625% due 3/15/12....... 247,500 400,000 NR US Office Products Co., Sr. Sub. Notes, 9.750% due 6/15/08 (c)... 40 - ---------------------------------------------------------------------------------------------------------- 3,145,605 - ---------------------------------------------------------------------------------------------------------- SERVICES -- 1.0% 225,000 B Brickman Group, Ltd., Sr. Sub. Notes, 11.750% due 12/15/09....... 259,875 175,000 B+ CB Richard Ellis Services, Sr. Notes, 9.750% due 5/15/10......... 193,375 Language Line Holdings Inc.: 75,000 CCC+ Sr. Sub. Notes, 11.125% due 6/15/12 (b)........................ 76,500 75,000 CCC+ Sr. Discount Notes, zero coupon due 6/15/13 (b)................ 39,375 175,000 CCC SITEL Corp., Sr. Sub. Notes, 9.250% due 3/15/06.................. 172,390 - ---------------------------------------------------------------------------------------------------------- 741,515 - ---------------------------------------------------------------------------------------------------------- TECHNOLOGY -- 2.8% 250,000 B+ Activant Solutions Inc., Sr. Notes, 10.500% due 6/15/11.......... 265,000 155,000 B AMI Semiconductor Inc., Sr. Sub. Notes, 10.750% due 2/1/13....... 181,738 125,000 B- Da-Lite Screen Co., Inc., Sr. Notes, 9.500% due 5/15/11 (b)...... 130,625 125,000 B+ Danka Business Services, Sr. Notes, 11.000% due 6/15/10.......... 130,625 250,000 BB- Ingram Micro Inc., Sr. Sub. Notes, 9.875% due 8/15/08............ 275,000 175,000 BB+ Seagate Technology HDD Holdings, Sr. Notes, 8.000% due 5/15/09... 183,750 225,000 BB+ Unisys Corp., Sr. Notes, 6.875% due 3/15/10...................... 232,875
SEE NOTES TO FINANCIAL STATEMENTS. 26 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 FEDERATED HIGH YIELD PORTFOLIO
FACE AMOUNT RATING(A) SECURITY VALUE - ---------------------------------------------------------------------------------------------------------- TECHNOLOGY -- 2.8% (CONTINUED) Xerox Corp., Sr. Notes: $ 450,000 B+ 9.750% due 1/15/09............................................. $ 514,125 225,000 B+ 7.625% due 6/15/13............................................. 231,188 - ---------------------------------------------------------------------------------------------------------- 2,144,926 - ---------------------------------------------------------------------------------------------------------- TEXTILE -- 1.2% 175,000 B3* GFSI Inc., Sr. Sub. Notes, Series B, 9.625% due 3/1/07........... 168,875 125,000 CCC Levi Strauss & Co., Sr. Notes, 11.625% due 1/15/08............... 123,125 150,000 BB- Phillips Van-Heusen, Sr. Notes, 8.125% due 5/1/13................ 157,125 300,000 B Warnaco Inc., Sr. Notes, 8.875% due 6/15/13 (b).................. 324,000 162,000 B+ William Carter Co., Sr. Sub. Notes, Series B, 10.875% due 8/15/11........................................................ 184,275 - ---------------------------------------------------------------------------------------------------------- 957,400 - ---------------------------------------------------------------------------------------------------------- TOBACCO -- 0.6% 200,000 NR Commonwealth Brands Inc., 10.625% due 9/1/08 (b)................. 215,000 DIMON Inc., Sr. Notes: 50,000 BB- 7.750% due 6/1/13 (b).......................................... 46,750 150,000 BB- Series B, 9.625% due 10/15/11.................................. 152,250 75,000 BB+ Standard Commercial Corp., Sr. Notes, 8.000% due 4/15/12 (b)..... 73,875 - ---------------------------------------------------------------------------------------------------------- 487,875 - ---------------------------------------------------------------------------------------------------------- TRANSPORTATION -- 0.7% 150,000 B- Allied Holdings Inc., Sr. Notes, Series B, 8.625% due 10/1/07.... 137,250 100,000 C* Holt Group, Sr. Sub. Notes, 9.750% due 1/15/06 (c)............... 0 Stena AB, Sr. Notes: 250,000 BB- 9.625% due 12/1/12............................................. 278,750 150,000 BB- 7.500% due 11/1/13 (b)......................................... 149,062 - ---------------------------------------------------------------------------------------------------------- 565,062 - ---------------------------------------------------------------------------------------------------------- UTILITY/ELECTRIC -- 3.3% 238,691 BB+ Caithness Coso Fund Corp., Secured Notes, Series B, 9.050% due 12/15/09....................................................... 261,367 375,000 CCC+ Calpine Corp., Sr. Notes, 8.500% due 2/15/11..................... 246,563 325,000 B+ CMS Energy Corp., Sr. Notes, 8.900% due 7/15/08.................. 342,063 300,000 B+ Illinois Power, 11.500% due 12/15/10............................. 356,250 Nevada Power Co.: 50,000 BB 6.500% due 4/15/12 (b)......................................... 47,750 325,000 BB 2nd Mortgage, 9.000% due 8/15/13............................... 355,062 175,000 B+ NRG Energy Inc., Sr. Secured Notes, 8.000% due 12/15/13 (b)...... 177,625 PSEG Energy Holdings: 250,000 BB- Notes 10.000% due 10/1/09...................................... 283,750 200,000 BB- Sr. Notes, 8.625% due 2/15/08.................................. 216,000 Reliant Resources Inc., Sr. Secured Notes: 125,000 B 9.250% due 7/15/10 (b)......................................... 134,062 125,000 B 9.500% due 7/15/13 (b)......................................... 135,312 - ---------------------------------------------------------------------------------------------------------- 2,555,804 - ----------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 27 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 FEDERATED HIGH YIELD PORTFOLIO
FACE AMOUNT RATING(A) SECURITY VALUE - ---------------------------------------------------------------------------------------------------------- UTILITY/NATURAL GAS -- 3.9% El Paso Corp.: Medium-Term Notes: $ 175,000 CCC+ 6.95% due 12/15/07........................................... $ 170,188 325,000 Caa1-* 8.050% due 10/15/30.......................................... 266,500 450,000 CCC+ 7.800% due 8/1/31............................................ 363,375 225,000 CCC+ Sr. Notes, 6.750% due 5/15/09.................................. 204,750 175,000 B- El Paso Production Holding Co., 7.750% due 6/1/13................ 161,438 175,000 BB Pacific Energy Partners L.P., Sr. Notes, 7.125% due 6/15/14 (b)............................................................ 178,500 125,000 BB- Semco Energy Inc., Sr. Notes, 7.125% due 5/15/08................. 128,750 Tennessee Gas Pipeline: 150,000 B- Debentures, 7.500% due 4/1/17.................................. 147,000 450,000 B- Notes, 8.375% due 6/15/32...................................... 441,000 150,000 B+ Transcontinental Gas Pipeline Corp., Sr. Notes, Series B, 8.875% due 7/15/12.................................................... 170,250 The Williams Cos., Inc.: Notes: 200,000 B+ 7.625% due 7/15/19........................................... 193,500 425,000 B+ 7.875% due 9/1/21............................................ 411,187 125,000 B+ Sr. Notes, 8.625% due 6/1/10................................... 138,125 - ---------------------------------------------------------------------------------------------------------- 2,974,563 - ---------------------------------------------------------------------------------------------------------- WIRELESS COMMUNICATIONS -- 1.7% 225,000 B- American Cellular Corp., Sr. Notes, Series B, 10.000% due 8/1/11......................................................... 195,188 Nextel Communications, Inc.: 475,000 BB 7.375% due 8/1/15.............................................. 482,125 300,000 BB Sr. Notes, 9.375% due 11/15/09................................. 322,125 Nextel Partners Inc., Sr. Notes: 120,000 B- 12.500% due 11/15/09........................................... 140,400 50,000 B- 8.125% due 7/1/11.............................................. 51,250 100,000 CCC- U.S. Unwired Inc., Sr. Secured Notes, 10.000% due 6/15/12 (b).... 101,500 - ---------------------------------------------------------------------------------------------------------- 1,292,588 - ---------------------------------------------------------------------------------------------------------- WIRELINE COMMUNICATIONS -- 3.6% 225,000 B- Alaska Communications Holdings Inc., Sr. Notes, 9.875% due 8/15/11 (b).................................................... 235,688 Cincinnati Bell Inc.: 250,000 B- Sr. Notes, 7.250% due 7/15/13 (b).............................. 235,000 200,000 B- Sr. Sub. Notes, 8.375% due 1/15/14 (b)......................... 179,000 125,000 BB- Eircom Funding, Sr. Sub. Notes, 8.250% due 8/15/13............... 130,625 175,000 CCC Primus Telecommunications Group, Inc., Sr. Notes, 8.000% due 1/15/14 (b).................................................... 154,875 100,000 B Qwest Capital Funding, Inc., 7.250% due 2/15/11.................. 86,000 850,000 BB- Qwest Corp., Notes, 8.875% due 3/15/12 (b)....................... 922,250 725,000 B Qwest Services Corp., Sr. Sub. Secured Notes, 13.500% due 12/15/10 (b)................................................... 846,437 - ---------------------------------------------------------------------------------------------------------- 2,789,875 - ---------------------------------------------------------------------------------------------------------- TOTAL CORPORATE BONDS & NOTES (Cost -- $72,638,755).............. 74,824,723 - ----------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 28 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 FEDERATED HIGH YIELD PORTFOLIO
SHARES SECURITY VALUE - ---------------------------------------------------------------------------------------------------------- COMMON STOCK (g) -- 0.1% - ---------------------------------------------------------------------------------------------------------- CHEMICALS -- 0.0% 45 General Chemical Industrial Products, Inc........................ $ 8,349 - ---------------------------------------------------------------------------------------------------------- CONTAINER & PACKAGING -- 0.0% 2,000 Russell-Stanley Holdings, Inc. (b)............................... 20 - ---------------------------------------------------------------------------------------------------------- DIVERSIFIED FINANCIALS -- 0.1% 710 NTL Inc. ........................................................ 40,910 - ---------------------------------------------------------------------------------------------------------- MEDIA/CABLE -- 0.0% 1,237 Viatel Holding Bermuda Ltd. ..................................... 1,515 - ---------------------------------------------------------------------------------------------------------- TOTAL COMMON STOCK (Cost -- $502,527) 50,794 - ---------------------------------------------------------------------------------------------------------- PREFERRED STOCK -- 0.6% - ---------------------------------------------------------------------------------------------------------- PRINTING & PUBLISHING -- 0.3% PRIMEDIA Inc.: 1,150 Series F, 9.200%............................................... 102,350 1,500 Series H, 8.625%............................................... 129,750 - ---------------------------------------------------------------------------------------------------------- 232,100 - ---------------------------------------------------------------------------------------------------------- RETAIL -- 0.3% 200 General Nutrition Centers Holding Co., Series A (b).............. 216,000 - ---------------------------------------------------------------------------------------------------------- TELECOMMUNICATIONS & CELLULAR -- 0.0% 1,878 McLeodUSA Inc., Series A (e)..................................... 4,885 - ---------------------------------------------------------------------------------------------------------- TOTAL PREFERRED STOCK (Cost -- $915,704)......................... 452,985 - ---------------------------------------------------------------------------------------------------------- WARRANTS SECURITY VALUE - ---------------------------------------------------------------------------------------------------------- WARRANTS (G) -- 0.1% 30,652 ACP Holdings Corp., Expire 10/7/13 (b)........................... 34,483 75 Advanstar Holdings Corp., Expire 10/15/11 (b).................... 2 901 AMF Bowling Worldwide, Inc., Class B Shares, Expire 3/9/09....... 0 26 General Chemical Industrial Products, Inc., Series A, Expire 4/30/11........................................................ 0 19 General Chemical Industrial Products, Inc., Series B, Expire 4/30/11........................................................ 0 4,162 McLeodUSA Inc., Class A Shares, Expire 4/16/07................... 583 100 MDP Acquisitors PLC, Expire 10/1/13 (b).......................... 2,800 100 Pliant Corp., Expire 6/1/10...................................... 1 150 Republic Technologies International LLC, Class D Shares, Expire 7/15/09 (b)(c)................................................. 2 125 XM Satellite Radio Holdings Inc., Expire 3/15/10 (b)............. 6,937 - ---------------------------------------------------------------------------------------------------------- TOTAL WARRANTS (Cost -- $105,613) 44,808 - ----------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 29 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 FEDERATED HIGH YIELD PORTFOLIO
FACE AMOUNT SECURITY VALUE - -------------------------------------------------------------------------------------------------------- REPURCHASE AGREEMENT -- 2.3% $1,792,000 State Street Bank and Trust Co. dated 6/30/04, 1.1500% due 7/1/04; Proceeds at maturity -- $1,792,057; (Fully collateralized by U.S. Treasury Notes, 6.500% due 10/15/06; Market value -- $1,832,089) (Cost -- $1,792,000)............... $ 1,792,000 - -------------------------------------------------------------------------------------------------------- TOTAL INVESTMENTS -- 100.0% (Cost -- $75,954,599**)..................... $77,165,310 - --------------------------------------------------------------------------------------------------------
(a) All ratings are by Standard & Poor's Ratings Service, except for those that are identified by an asterisk (*) or a double dagger (++), which are rated by Moody's Investors Service and Fitch Ratings, respectively. (b) Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from registration, normally to qualified institutional buyers. These securities have been deemed liquid pursuant to guidelines established by the Board of Trustees. (c) Security is currently in default. (d) Interest rate shown reflects current rate on instrument which is a floater or has variable rate. (e) Security has been issued with attached warrants. (f) Payment-in-kind security for which all or part of the dividend earned is paid by the issuance of additional stock. (g) Non-income producing security. ** Aggregate cost for Federal income tax purposes is substantially the same. See pages 45 and 46 for definitions of ratings.
SEE NOTES TO FINANCIAL STATEMENTS. 30 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 FEDERATED STOCK PORTFOLIO
SHARES SECURITY VALUE - ------------------------------------------------------------------------------------ COMMON STOCK -- 96.4% - ------------------------------------------------------------------------------------ CONSUMER DISCRETIONARY -- 11.8% AUTO COMPONENTS -- 1.6% 9,700 Johnson Controls, Inc. ..................................... $ 517,786 - ------------------------------------------------------------------------------------ AUTOMOBILES -- 1.8% 26,757 Ford Motor Co. ............................................. 418,747 3,290 General Motors Corp. ....................................... 153,281 - ------------------------------------------------------------------------------------ 572,028 - ------------------------------------------------------------------------------------ HOUSEHOLD DURABLES -- 1.2% 13,875 Koninklijke Philips Electronics N.V., Sponsored ADR......... 377,400 - ------------------------------------------------------------------------------------ MEDIA -- 3.8% 22,900 The Interpublic Group of Cos., Inc. ........................ 314,417 12,000 Viacom Inc., Class B Shares................................. 428,640 18,700 The Walt Disney Co. ........................................ 476,663 - ------------------------------------------------------------------------------------ 1,219,720 - ------------------------------------------------------------------------------------ MULTI-LINE RETAIL -- 0.7% 4,300 Federated Department Stores, Inc. .......................... 211,130 - ------------------------------------------------------------------------------------ SPECIALTY RETAIL -- 2.7% 15,900 The Gap, Inc. .............................................. 385,575 13,300 The Home Depot, Inc. ....................................... 468,160 - ------------------------------------------------------------------------------------ 853,735 - ------------------------------------------------------------------------------------ TOTAL CONSUMER DISCRETIONARY................................ 3,751,799 - ------------------------------------------------------------------------------------ CONSUMER STAPLES -- 3.3% FOOD PRODUCTS -- 1.1% 17,300 Tyson Foods, Inc., Class A Shares........................... 362,435 - ------------------------------------------------------------------------------------ TOBACCO -- 2.2% 13,800 Altria Group, Inc. ......................................... 690,690 - ------------------------------------------------------------------------------------ TOTAL CONSUMER STAPLES...................................... 1,053,125 - ------------------------------------------------------------------------------------ ENERGY -- 10.9% ENERGY EQUIPMENT & SERVICES -- 1.1% 12,000 Halliburton Co. ............................................ 363,120 - ------------------------------------------------------------------------------------ OIL & GAS -- 9.8% 11,200 BP PLC, Sponsored ADR....................................... 599,984 8,351 ChevronTexaco Corp. ........................................ 785,913 8,600 ConocoPhillips.............................................. 656,094 15,600 Exxon Mobil Corp. .......................................... 692,796 9,800 Marathon Oil Corp. ......................................... 370,832 - ------------------------------------------------------------------------------------ 3,105,619 - ------------------------------------------------------------------------------------ TOTAL ENERGY................................................ 3,468,739 - ------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 31 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 FEDERATED STOCK PORTFOLIO
SHARES SECURITY VALUE - ------------------------------------------------------------------------------------ x FINANCIALS -- 28.4% BANKS -- 8.5% 14,700 Bank of America Corp. ...................................... $ 1,243,914 21,700 U.S. Bancorp................................................ 598,052 6,700 Wachovia Corp. ............................................. 298,150 10,000 Wells Fargo & Co. .......................................... 572,300 - ------------------------------------------------------------------------------------ 2,712,416 - ------------------------------------------------------------------------------------ DIVERSIFIED FINANCIALS -- 12.1% 5,080 The Bear Stearns Cos., Inc. ................................ 428,295 5,600 Capital One Financial Corp. ................................ 382,928 4,400 Fannie Mae.................................................. 313,984 2,600 Freddie Mac................................................. 164,580 4,300 The Goldman Sachs Group, Inc. .............................. 404,888 27,700 J.P. Morgan Chase & Co. .................................... 1,073,929 15,200 MBNA Corp. ................................................. 392,008 13,000 Morgan Stanley.............................................. 686,010 - ------------------------------------------------------------------------------------ 3,846,622 - ------------------------------------------------------------------------------------ INSURANCE -- 7.8% 7,400 ACE Ltd. ................................................... 312,872 13,200 The Allstate Corp. ......................................... 614,460 8,400 American International Group, Inc. ......................... 598,752 8,600 Aon Corp. .................................................. 244,842 6,800 The Hartford Financial Services Group, Inc. ................ 467,432 6,500 Nationwide Financial Services............................... 244,465 - ------------------------------------------------------------------------------------ 2,482,823 - ------------------------------------------------------------------------------------ TOTAL FINANCIALS............................................ 9,041,861 - ------------------------------------------------------------------------------------ HEALTHCARE -- 4.0% HEALTHCARE PROVIDERS & SERVICES -- 2.5% 10,300 McKesson Corp. ............................................. 353,599 18,800 Tenet Healthcare Corp.++.................................... 252,108 2,800 UnitedHealth Group Inc. .................................... 174,300 - ------------------------------------------------------------------------------------ 780,007 - ------------------------------------------------------------------------------------ PHARMACEUTICALS -- 1.5% 2,800 Johnson & Johnson........................................... 155,960 9,700 Pfizer Inc. ................................................ 332,516 - ------------------------------------------------------------------------------------ 488,476 - ------------------------------------------------------------------------------------ TOTAL HEALTHCARE............................................ 1,268,483 - ------------------------------------------------------------------------------------ INDUSTRIALS -- 14.8% AEROSPACE & DEFENSE -- 1.1% 6,234 Northrop Grumman Corp. ..................................... 334,766 - ------------------------------------------------------------------------------------ BUILDING PRODUCTS -- 1.1% 11,400 Masco Corp. ................................................ 355,452 - ------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 32 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 FEDERATED STOCK PORTFOLIO
SHARES SECURITY VALUE - ------------------------------------------------------------------------------------ x COMMERCIAL SERVICES & SUPPLIES -- 6.4% 39,170 Cendant Corp. .............................................. $ 958,882 6,700 H&R Block, Inc. ............................................ 319,456 7,900 Pitney Bowes, Inc. ......................................... 349,575 12,790 Waste Management, Inc. ..................................... 392,013 - ------------------------------------------------------------------------------------ 2,019,926 - ------------------------------------------------------------------------------------ INDUSTRIAL CONGLOMERATES -- 4.5% 5,000 Textron, Inc. .............................................. 296,750 33,891 Tyco International Ltd. .................................... 1,123,148 - ------------------------------------------------------------------------------------ 1,419,898 - ------------------------------------------------------------------------------------ MACHINERY -- 0.5% 2,500 Eaton Corp. ................................................ 161,850 - ------------------------------------------------------------------------------------ ROAD & RAIL -- 1.2% 6,400 Union Pacific Corp. ........................................ 380,480 - ------------------------------------------------------------------------------------ TOTAL INDUSTRIALS........................................... 4,672,372 - ------------------------------------------------------------------------------------ INFORMATION TECHNOLOGY -- 10.5% COMMUNICATIONS EQUIPMENT -- 0.9% 15,400 Motorola, Inc. ............................................. 281,050 - ------------------------------------------------------------------------------------ COMPUTERS & PERIPHERALS -- 5.2% 33,093 Hewlett-Packard Co. ........................................ 698,262 5,800 International Business Machines Corp. ...................... 511,270 15,600 Storage Technology Corp.++.................................. 452,400 - ------------------------------------------------------------------------------------ 1,661,932 - ------------------------------------------------------------------------------------ IT CONSULTING & SERVICES -- 1.7% 4,900 Computer Sciences Corp.+.................................... 227,507 11,700 SunGard Data Systems Inc.+.................................. 304,200 - ------------------------------------------------------------------------------------ 531,707 - ------------------------------------------------------------------------------------ SEMICONDUCTOR EQUIPMENT & PRODUCTS -- 0.6% 9,600 Applied Materials, Inc.++................................... 188,352 - ------------------------------------------------------------------------------------ SOFTWARE -- 2.1% 17,800 BMC Software, Inc.++........................................ 329,300 11,900 Microsoft Corp. ............................................ 339,864 - ------------------------------------------------------------------------------------ 669,164 - ------------------------------------------------------------------------------------ TOTAL INFORMATION TECHNOLOGY................................ 3,332,205 - ------------------------------------------------------------------------------------ MATERIALS -- 6.5% CHEMICALS -- 4.1% 8,500 Air Products & Chemicals, Inc. ............................. 445,825 8,200 E.I. du Pont de Nemours & Co. .............................. 364,244 7,800 PPG Industries, Inc. ....................................... 487,422 - ------------------------------------------------------------------------------------ 1,297,491 - ------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 33 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 FEDERATED STOCK PORTFOLIO
SHARES SECURITY VALUE - ------------------------------------------------------------------------------------ METALS & MINING -- 1.2% 11,800 Alcoa, Inc. ................................................ $ 389,754 - ------------------------------------------------------------------------------------ PAPER & FOREST PRODUCTS -- 1.2% 8,700 International Paper Co. .................................... 388,890 - ------------------------------------------------------------------------------------ TOTAL MATERIALS............................................. 2,076,135 - ------------------------------------------------------------------------------------ TELECOMMUNICATION SERVICES -- 3.8% DIVERSIFIED TELECOMMUNICATION SERVICES -- 3.8% 5,700 BellSouth Corp. ............................................ 149,454 10,100 SBC Communications, Inc. ................................... 244,925 18,100 Sprint Corp. (FON Group).................................... 318,560 13,250 Verizon Communications, Inc. ............................... 479,517 - ------------------------------------------------------------------------------------ TOTAL TELECOMMUNICATION SERVICES............................ 1,192,456 - ------------------------------------------------------------------------------------ UTILITIES -- 2.4% ELECTRIC UTILITIES -- 2.4% 5,700 FirstEnergy Corp. .......................................... 213,237 4,300 FPL Group, Inc. ............................................ 274,985 6,900 Public Service Enterprise Group Inc. ....................... 276,207 - ------------------------------------------------------------------------------------ TOTAL UTILITIES............................................. 764,429 - ------------------------------------------------------------------------------------ TOTAL COMMON STOCK (Cost -- $26,964,000).................... 30,621,604 - ------------------------------------------------------------------------------------ PREFERRED STOCK -- 1.9% MEDIA -- 1.9% 18,400 The News Corp. Ltd., Sponsored ADR.......................... 604,992 - ------------------------------------------------------------------------------------ TOTAL PREFERRED STOCK (Cost -- $495,529).................... 604,992 - ------------------------------------------------------------------------------------ FACE AMOUNT SECURITY VALUE - ------------------------------------------------------------------------------------ REPURCHASE AGREEMENT -- 1.7% $526,000 State Street Bank & Trust Co. dated 6/30/04, 1.150% due 7/1/04; Proceeds at maturity -- $526,017; (Fully collateralized by U.S. Treasury Bond, 10.375% due 11/15/09; Market value -- $538,175) (Cost -- $526,000).... 526,000 - ------------------------------------------------------------------------------------ TOTAL INVESTMENTS -- 100.0% (Cost -- $27,985,529*).......... $31,752,596 - ------------------------------------------------------------------------------------
++ 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. 34 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 DISCIPLINED MID CAP STOCK PORTFOLIO
SHARES SECURITY VALUE - ------------------------------------------------------------------------------------------ COMMON STOCK -- 96.2% - ------------------------------------------------------------------------------------------ CONSUMER DISCRETIONARY -- 18.9% AUTO COMPONENTS -- 1.5% 7,344 Bandag, Inc. ............................................... $ 327,028 33,170 BorgWarner, Inc. ........................................... 1,451,851 16,978 Lear Corp. ................................................. 1,001,532 - ------------------------------------------------------------------------------------------ 2,780,411 - ------------------------------------------------------------------------------------------ AUTOMOBILES -- 0.7% 35,148 Thor Industries, Inc. ...................................... 1,176,052 - ------------------------------------------------------------------------------------------ DISTRIBUTORS -- 0.3% 25,238 CarMax, Inc.++.............................................. 551,955 - ------------------------------------------------------------------------------------------ HOTELS, RESTAURANTS & LEISURE -- 2.9% 43,966 Brinker International, Inc.+++.............................. 1,500,120 50,944 Caesars Entertainment, Inc.++............................... 764,160 19,152 CBRL Group, Inc. ........................................... 590,839 8,958 GTECH Holdings Corp. ....................................... 414,845 11,307 Mandalay Resort Group....................................... 776,112 42,626 Ruby Tuesday, Inc. ......................................... 1,170,084 - ------------------------------------------------------------------------------------------ 5,216,160 - ------------------------------------------------------------------------------------------ HOUSEHOLD DURABLES -- 4.7% 22,797 Blyth, Inc. ................................................ 786,269 45,615 D.R. Horton, Inc. .......................................... 1,295,466 11,030 Harman International Industries, Inc. ...................... 1,003,730 22,627 HNI Corp. .................................................. 957,801 10,242 Hovnanian Enterprises, Inc., Class A Shares++............... 355,500 26,917 Lennar Corp., Class A Shares................................ 1,203,728 18,368 Mohawk Industries Inc.+++................................... 1,346,925 991 NVR, Inc.*.................................................. 479,842 5,969 Pulte Homes, Inc. .......................................... 310,567 2,818 The Ryland Group, Inc. ..................................... 220,368 12,691 Toll Brothers, Inc.++....................................... 537,083 - ------------------------------------------------------------------------------------------ 8,497,279 - ------------------------------------------------------------------------------------------ MEDIA -- 2.5% 23,943 Belo Corp., Class A Shares.................................. 642,870 23,016 Emmis Communications Corp., Class A Shares++................ 482,876 9,626 Entercom Communications Corp., Class A Shares++............. 359,050 22,113 Harte-Hanks, Inc. .......................................... 539,778 32,879 Macrovision Corp.++......................................... 822,961 6,947 Media General, Inc., Class A Shares......................... 446,136 1,200 Washington Post Co., Class B Shares......................... 1,116,012 - ------------------------------------------------------------------------------------------ 4,409,683 - ------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 35 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 DISCIPLINED MID CAP STOCK PORTFOLIO
SHARES SECURITY VALUE - ------------------------------------------------------------------------------------------ MULTI-LINE RETAIL -- 0.6% 14,151 Dollar Tree Stores, Inc.++.................................. $ 388,162 13,160 The Neiman Marcus Group, Inc., Class A Shares++............. 732,354 - ------------------------------------------------------------------------------------------ 1,120,516 - ------------------------------------------------------------------------------------------ SPECIALTY RETAIL -- 4.6% 12,891 Abercrombie & Fitch Co., Class A Shares..................... 499,526 15,992 American Eagle Outfitters, Inc.++........................... 462,329 12,462 AnnTaylor Stores Corp.++.................................... 361,149 11,274 CDW Corp. .................................................. 718,830 22,216 Chico's FAS, Inc.++......................................... 1,003,275 66,484 Claire's Stores, Inc.+...................................... 1,442,703 21,089 Michaels Stores, Inc. ...................................... 1,159,895 7,892 O'Reilly Automotive, Inc.++................................. 356,718 14,956 PETsMART, Inc. ............................................. 485,322 18,333 Ross Stores, Inc. .......................................... 490,591 39,343 Williams-Sonoma, Inc.++..................................... 1,296,745 - ------------------------------------------------------------------------------------------ 8,277,083 - ------------------------------------------------------------------------------------------ TEXTILES & APPAREL -- 1.1% 37,267 Coach, Inc.+++.............................................. 1,684,096 4,539 The Timberland Co., Class A Shares++........................ 293,174 - ------------------------------------------------------------------------------------------ 1,977,270 - ------------------------------------------------------------------------------------------ TOTAL CONSUMER DISCRETIONARY................................ 34,006,409 - ------------------------------------------------------------------------------------------ CONSUMER STAPLES -- 4.7% BEVERAGES -- 0.6% 4,062 Constellation Brands, Inc., Class A Shares++................ 150,822 39,756 PepsiAmericas Inc. ......................................... 844,417 - ------------------------------------------------------------------------------------------ 995,239 - ------------------------------------------------------------------------------------------ FOOD & DRUG RETAILING -- 0.8% 37,200 Ruddick Corp. .............................................. 835,140 7,244 Whole Foods Market, Inc. ................................... 691,440 - ------------------------------------------------------------------------------------------ 1,526,580 - ------------------------------------------------------------------------------------------ FOOD PRODUCTS -- 2.8% 19,548 Dean Foods Co.++............................................ 729,336 27,722 Hormel Foods Corp. ......................................... 862,154 19,382 The J.M. Smucker Co. ....................................... 889,828 20,431 Sensient Technologies Corp. ................................ 438,858 18,335 Smithfield Foods, Inc.++.................................... 539,049 71,233 Tyson Foods, Inc., Class A Shares+.......................... 1,492,331 - ------------------------------------------------------------------------------------------ 4,951,556 - ------------------------------------------------------------------------------------------ HOUSEHOLD PRODUCTS -- 0.2% 8,436 Church & Dwight, Inc. ...................................... 386,200 - ------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 36 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 DISCIPLINED MID CAP STOCK PORTFOLIO
SHARES SECURITY VALUE - ------------------------------------------------------------------------------------------ TOBACCO -- 0.3% 11,338 Universal Corp. ............................................ $ 577,558 - ------------------------------------------------------------------------------------------ TOTAL CONSUMER STAPLES...................................... 8,437,133 - ------------------------------------------------------------------------------------------ ENERGY -- 6.7% ENERGY EQUIPMENT & SERVICES -- 3.0% 7,743 Cooper Cameron Corp.++...................................... 377,084 25,395 ENSCO International Inc. ................................... 738,995 10,609 FMC Technologies, Inc.++.................................... 305,539 17,350 Grant Prideco, Inc.++....................................... 320,281 8,672 Helmerich & Payne, Inc. .................................... 226,773 12,062 National-Oilwell, Inc.++.................................... 379,832 24,320 Smith International, Inc.++................................. 1,356,083 10,713 Tidewater, Inc. ............................................ 319,247 17,310 Varco International, Inc.++................................. 378,916 22,085 Weatherford International Ltd.++............................ 993,383 - ------------------------------------------------------------------------------------------ 5,396,133 - ------------------------------------------------------------------------------------------ OIL & GAS -- 3.7% 214 Cross Timbers Royalty Trust. ............................... 5,919 11,933 Devon Energy Corp. ......................................... 787,578 17,768 Forest Oil Corp.++.......................................... 485,422 7,319 Kerr-McGee Corp. ........................................... 393,543 14,871 Murphy Oil Corp. ........................................... 1,095,993 9,529 Newfield Exploration Co.++.................................. 531,146 9,625 Noble Energy, Inc. ......................................... 490,875 16,891 Pioneer Natural Resources Co. .............................. 592,536 10,361 Pogo Producing Co. ......................................... 511,833 8,991 Valero Energy Corp. ........................................ 663,176 36,102 XTO Energy, Inc. ........................................... 1,075,479 - ------------------------------------------------------------------------------------------ 6,633,500 - ------------------------------------------------------------------------------------------ TOTAL ENERGY................................................ 12,029,633 - ------------------------------------------------------------------------------------------ FINANCIALS -- 17.1% BANKS -- 7.9% 27,210 Associated Banc-Corp........................................ 806,232 13,384 Astoria Financial Corp. .................................... 489,587 9,195 Bank of Hawaii Corp. ....................................... 415,798 29,581 Banknorth Group, Inc. ...................................... 960,791 5,887 City National Corp. ........................................ 386,776 53,867 The Colonial BancGroup, Inc. ............................... 978,763 22,243 Commerce Bancorp, Inc. ..................................... 1,223,587 15,232 Compass Bancshares, Inc. ................................... 654,976 10,797 First Horizon National Corp. ............................... 490,940 7,517 Greater Bay Bancorp......................................... 217,241 29,738 Greenpoint Financial Corp. ................................. 1,180,599 8,071 Hibernia Corp., Class A Shares.............................. 196,125 27,605 Independence Community Bank Corp. .......................... 1,004,822 16,211 Investors Financial Services Corp. ......................... 706,475
SEE NOTES TO FINANCIAL STATEMENTS. 37 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 DISCIPLINED MID CAP STOCK PORTFOLIO
SHARES SECURITY VALUE - ------------------------------------------------------------------------------------------ BANKS -- 7.9% (CONTINUED) 13,461 Mercantile Bankshares Corp. ................................ $ 630,244 17,059 National Commerce Financial Corp. .......................... 554,418 37,309 New York Community Bancorp. Inc. ........................... 732,376 11,387 North Fork Bancorp, Inc. ................................... 433,275 11,734 Regions Financial Corp. .................................... 428,878 46,590 Sovereign Bancorp, Inc. .................................... 1,029,639 15,422 Webster Financial Corp. .................................... 725,142 - ------------------------------------------------------------------------------------------ 14,246,684 - ------------------------------------------------------------------------------------------ DIVERSIFIED FINANCIALS -- 2.0% 13,697 A.G. Edwards, Inc. ......................................... 466,109 3,600 Affiliated Managers Group++................................. 181,332 20,790 E*TRADE Financial Corp.++................................... 231,808 8,609 Franklin Resources, Inc. ................................... 431,139 26,391 IndyMac Bancorp., Inc. ..................................... 833,956 9,192 Jefferies Group, Inc. ...................................... 284,217 9,109 Legg Mason, Inc. ........................................... 829,010 16,254 Raymond James Financial, Inc. .............................. 429,918 - ------------------------------------------------------------------------------------------ 3,687,489 - ------------------------------------------------------------------------------------------ INSURANCE -- 6.0% 7,137 Ambac Financial Group, Inc. ................................ 524,141 20,890 American Financial Group, Inc. ............................. 638,607 7,788 AmerUs Group Co. ........................................... 322,423 14,387 Brown & Brown, Inc. ........................................ 620,080 12,607 Everest Re Group, Ltd. ..................................... 1,013,099 44,093 Fidelity National Financial, Inc. .......................... 1,646,433 15,283 First American Corp. ....................................... 395,677 11,014 HCC Insurance Holdings, Inc. ............................... 367,978 26,170 Horace Mann Educators Corp. ................................ 457,452 10,702 Leucadia National Corp. .................................... 531,889 12,466 The PMI Group, Inc. ........................................ 542,520 24,376 Protective Life Corp. ...................................... 942,620 5,974 Reinsurance Group of America, Inc. ......................... 242,843 16,252 Stancorp Financial Group, Inc. ............................. 1,088,884 17,926 Unitrin, Inc. .............................................. 763,648 14,404 W.R. Berkley Corp. ......................................... 618,652 - ------------------------------------------------------------------------------------------ 10,716,946 - ------------------------------------------------------------------------------------------ REAL ESTATE -- 1.2% 14,264 AMB Property Corp. ......................................... 493,962 3,718 Hospitality Properties Trust................................ 157,271 15,207 Liberty Property Trust...................................... 611,473 20,745 New Plan Excel Realty Trust, Inc. .......................... 484,603 18,448 United Dominion Realty Trust, Inc. ......................... 364,901 - ------------------------------------------------------------------------------------------ 2,112,210 - ------------------------------------------------------------------------------------------ TOTAL FINANCIALS............................................ 30,763,329 - ------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 38 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 DISCIPLINED MID CAP STOCK PORTFOLIO
SHARES SECURITY VALUE - ------------------------------------------------------------------------------------------ HEALTHCARE -- 10.5% BIOTECHNOLOGY -- 1.3% 15,310 Charles River Laboratories International, Inc.++............ $ 748,200 7,270 Gilead Sciences, Inc.++..................................... 487,090 53,096 Millennium Pharmaceuticals, Inc.++.......................... 732,725 15,307 Protein Design Labs, Inc.++................................. 292,823 12,398 Vertex Pharmaceuticals Inc.++............................... 134,394 - ------------------------------------------------------------------------------------------ 2,395,232 - ------------------------------------------------------------------------------------------ HEALTHCARE EQUIPMENT & SUPPLIES -- 3.2% 21,754 Beckman Coulter, Inc. ...................................... 1,326,994 56,124 Cytyc Corp.++............................................... 1,423,866 6,035 DENTSPLY International Inc. ................................ 314,424 17,496 Edwards Lifesciences Corp.++................................ 609,736 9,135 Hillenbrand Industries, Inc. ............................... 552,211 23,317 Steris Corp.++.............................................. 526,032 11,716 Varian Medical Systems, Inc.++.............................. 929,665 - ------------------------------------------------------------------------------------------ 5,682,928 - ------------------------------------------------------------------------------------------ HEALTHCARE PROVIDERS & SERVICES -- 4.3% 2,913 Aetna, Inc. ................................................ 247,605 12,045 Coventry Health Care, Inc.++................................ 589,000 27,217 First Health Group Corp.++.................................. 424,857 23,503 Health Net, Inc.++.......................................... 622,830 3,632 Henry Schein, Inc.++........................................ 229,324 28,033 LifePoint Hospitals, Inc.++................................. 1,043,388 46,742 Lincare Holdings, Inc.++.................................... 1,535,942 9,868 Oxford Health Plans, Inc.++................................. 543,135 28,265 PacifiCare Health Systems, Inc.++........................... 1,092,725 11,121 Patterson Dental Co.++...................................... 850,645 10,086 Triad Hospitals, Inc.++..................................... 375,502 21,133 WebMD Corp.++............................................... 196,960 - ------------------------------------------------------------------------------------------ 7,751,913 - ------------------------------------------------------------------------------------------ PHARMACEUTICALS -- 1.7% 4,912 Eon Labs, Inc.++............................................ 201,048 36,375 IVAX Corp.++................................................ 872,636 21,306 Sepracor, Inc.++............................................ 1,127,087 42,447 Valeant Pharmaceuticals International....................... 848,940 - ------------------------------------------------------------------------------------------ 3,049,711 - ------------------------------------------------------------------------------------------ TOTAL HEALTHCARE............................................ 18,879,784 - ------------------------------------------------------------------------------------------ INDUSTRIALS -- 14.1% AEROSPACE & DEFENSE -- 1.5% 20,433 L-3 Communications Holdings, Inc. .......................... 1,364,924 24,579 Precision Castparts Corp. .................................. 1,344,226 - ------------------------------------------------------------------------------------------ 2,709,150 - ------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 39 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 DISCIPLINED MID CAP STOCK PORTFOLIO
SHARES SECURITY VALUE - ------------------------------------------------------------------------------------------ AIR FREIGHT & COURIERS -- 0.8% 21,361 CNF Inc. ................................................... $ 887,763 11,458 Expeditors International of Washington, Inc. ............... 566,140 - ------------------------------------------------------------------------------------------ 1,453,903 - ------------------------------------------------------------------------------------------ AIRLINES -- 0.1% 5,960 JetBlue Airways Corp.++..................................... 175,105 - ------------------------------------------------------------------------------------------ COMMERCIAL SERVICES & SUPPLIES -- 6.1% 9,221 Alliance Data Systems Corp.++............................... 389,587 27,780 Banta Corp. ................................................ 1,233,710 32,926 The Brink's Co. ............................................ 1,127,716 12,252 Career Education Corp.++.................................... 558,201 28,602 Ceridian Corp.++............................................ 643,545 20,976 CheckFree Corp.++........................................... 629,280 13,908 ChoicePoint Inc.++.......................................... 635,039 10,298 Corinthian Colleges, Inc.++................................. 254,773 10,055 D&B Corp.++................................................. 542,065 14,750 DeVry, Inc.++............................................... 404,445 6,601 DST Systems, Inc.++......................................... 317,442 28,456 Education Management Corp.++................................ 935,064 10,837 H&R Block, Inc. ............................................ 516,708 34,967 Korn/Ferry International++.................................. 677,311 17,024 Laureate Education, Inc++................................... 650,998 22,518 Manpower Inc. .............................................. 1,143,239 7,013 Republic Services, Inc. .................................... 202,956 6,996 West Corp.++................................................ 182,945 - ------------------------------------------------------------------------------------------ 11,045,024 - ------------------------------------------------------------------------------------------ CONSTRUCTION & ENGINEERING -- 0.5% 7,076 Granite Construction, Inc. ................................. 128,995 15,239 Jacobs Engineering Group Inc.++............................. 600,112 38,046 Quanta Services, Inc.++..................................... 236,646 - ------------------------------------------------------------------------------------------ 965,753 - ------------------------------------------------------------------------------------------ ELECTRICAL EQUIPMENT -- 1.1% 38,789 Ametek, Inc. ............................................... 1,198,580 17,547 Energizer Holdings, Inc.++.................................. 789,615 - ------------------------------------------------------------------------------------------ 1,988,195 - ------------------------------------------------------------------------------------------ MACHINERY -- 1.9% 23,204 AGCO Corp.++................................................ 472,665 9,531 Flowserve Corp.++........................................... 237,703 21,056 Kennametal Inc. ............................................ 964,365 49,690 Pentair, Inc. .............................................. 1,671,572 - ------------------------------------------------------------------------------------------ 3,346,305 - ------------------------------------------------------------------------------------------ MARINE -- 0.5% 20,236 Overseas Shipholding Group, Inc. ........................... 893,015 - ------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 40 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 DISCIPLINED MID CAP STOCK PORTFOLIO
SHARES SECURITY VALUE - ------------------------------------------------------------------------------------------ ROAD & RAIL -- 1.6% 14,234 C.H. Robinson Worldwide, Inc. .............................. $ 652,487 32,428 GATX Corp. ................................................. 882,042 32,712 J.B. Hunt Transport Services, Inc. ......................... 1,262,029 - ------------------------------------------------------------------------------------------ 2,796,558 - ------------------------------------------------------------------------------------------ TOTAL INDUSTRIALS........................................... 25,373,008 - ------------------------------------------------------------------------------------------ INFORMATION TECHNOLOGY -- 12.9% COMMUNICATIONS EQUIPMENT -- 1.6% 57,075 3Com Corp.++................................................ 356,719 11,440 Adtran, Inc. ............................................... 381,753 22,804 Brocade Communications Systems, Inc.++...................... 136,368 25,294 Harris Corp. ............................................... 1,283,670 13,110 Juniper Networks, Inc.++.................................... 322,113 8,568 Plantronics, Inc............................................ 360,713 - ------------------------------------------------------------------------------------------ 2,841,336 - ------------------------------------------------------------------------------------------ COMPUTERS & PERIPHERALS -- 1.4% 15,115 Imation Corp. .............................................. 644,050 94,818 Quantum Corp.++............................................. 293,936 30,442 SanDisk Corp.++............................................. 660,287 31,394 Storage Technology Corp.++.................................. 910,426 - ------------------------------------------------------------------------------------------ 2,508,699 - ------------------------------------------------------------------------------------------ ELECTRONIC EQUIPMENT & INSTRUMENTS -- 1.3% 4,008 Amphenol Corp., Class A Shares++............................ 133,547 29,492 Arrow Electronics, Inc.++................................... 790,975 20,587 Avnet, Inc.++............................................... 467,325 9,403 Diebold, Inc. .............................................. 497,137 11,775 Jabil Circuit, Inc.++....................................... 296,494 12,649 Vishay Intertechnology, Inc.++.............................. 235,018 - ------------------------------------------------------------------------------------------ 2,420,496 - ------------------------------------------------------------------------------------------ INTERNET SOFTWARE & SERVICES -- 0.2% 58,370 RealNetworks, Inc.++........................................ 399,251 - ------------------------------------------------------------------------------------------ IT CONSULTING & SERVICES -- 0.8% 43,042 Acxiom Corp.++.............................................. 1,068,733 27,810 Keane, Inc.++............................................... 380,719 - ------------------------------------------------------------------------------------------ 1,449,452 - ------------------------------------------------------------------------------------------ OFFICE ELECTRONICS -- 0.5% 11,213 Zebra Technologies Corp., Class A Shares++.................. 975,531 - ------------------------------------------------------------------------------------------ SEMICONDUCTOR EQUIPMENT & PRODUCTS -- 4.9% 246,686 Atmel Corp.++............................................... 1,460,381 3,577 Cabot Microelectronics Corp.++.............................. 109,492 24,240 Credence Systems Corp.++.................................... 334,512 12,578 Cree, Inc.++................................................ 292,816 11,906 Integrated Circuit Systems, Inc.++.......................... 323,367
SEE NOTES TO FINANCIAL STATEMENTS. 41 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 DISCIPLINED MID CAP STOCK PORTFOLIO
SHARES SECURITY VALUE - ------------------------------------------------------------------------------------------ SEMICONDUCTOR EQUIPMENT & PRODUCTS -- 4.9% (CONTINUED) 32,251 Integrated Device Technology, Inc.++........................ $ 446,354 25,520 International Rectifier Corp.++............................. 1,057,038 28,643 Lam Research Corp.++........................................ 767,632 20,981 Micrel, Inc.++.............................................. 254,919 24,625 Microchip Technology Inc. .................................. 776,672 42,503 MPS Group, Inc.++........................................... 515,136 35,334 RF Micro Devices, Inc.++.................................... 265,005 13,267 Semtech Corp.++............................................. 312,305 29,518 Silicon Laboratories Inc.++................................. 1,368,159 11,625 Teradyne, Inc.++............................................ 263,888 35,191 Triquint Semiconductor, Inc.++.............................. 192,143 - ------------------------------------------------------------------------------------------ 8,739,819 - ------------------------------------------------------------------------------------------ SOFTWARE -- 2.2% 31,922 Cadence Design Systems, Inc.++.............................. 467,019 16,512 Jack Henry and Associates, Inc. ............................ 331,891 9,365 Macromedia, Inc.++.......................................... 229,911 19,200 National Instruments Corp. ................................. 588,480 8,006 The Reynolds and Reynolds Co., Class A Shares............... 185,179 37,059 Sybase, Inc.++.............................................. 667,062 19,503 Synopsys, Inc.++............................................ 554,470 39,653 Transaction Systems Architects, Inc., Class A Shares++...... 853,729 - ------------------------------------------------------------------------------------------ 3,877,741 - ------------------------------------------------------------------------------------------ TOTAL INFORMATION TECHNOLOGY................................ 23,212,325 - ------------------------------------------------------------------------------------------ MATERIALS -- 4.4% CHEMICALS -- 2.6% 20,021 Airgas, Inc. ............................................... 478,702 8,821 Albemarle Corp. ............................................ 279,185 3,682 Cabot Corp. ................................................ 149,857 25,642 Crompton Corp. ............................................. 161,545 10,252 Cytec Industries, Inc. ..................................... 465,953 9,625 FMC Corp.++................................................. 414,934 21,607 IMC Global, Inc. ........................................... 289,534 8,528 Lubrizol Corp. ............................................. 312,295 26,554 Lyondell Chemical Co. ...................................... 461,774 18,213 RPM International, Inc. .................................... 276,838 18,582 The Scotts Co.++............................................ 1,187,018 3,806 Valspar Corp. .............................................. 191,784 - ------------------------------------------------------------------------------------------ 4,669,419 - ------------------------------------------------------------------------------------------ CONSTRUCTION MATERIALS -- 0.2% 8,914 Martin Marietta Materials, Inc. ............................ 395,158 - ------------------------------------------------------------------------------------------ CONTAINERS & PACKAGING -- 0.2% 24,952 Longview Fibre Co. ......................................... 367,543 - ------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 42 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 DISCIPLINED MID CAP STOCK PORTFOLIO
SHARES SECURITY VALUE - ------------------------------------------------------------------------------------------ METALS & MINING -- 0.6% 8,578 Arch Coal, Inc. ............................................ $ 313,869 8,141 Freeport-McMoRan Copper & Gold, Inc., Class B Shares........ 269,874 9,332 Peabody Energy Corp. ....................................... 522,499 - ------------------------------------------------------------------------------------------ 1,106,242 - ------------------------------------------------------------------------------------------ PAPER & FOREST PRODUCTS -- 0.8% 10,129 Bowater Inc. ............................................... 421,265 12,481 Glatfelter.................................................. 175,732 4,790 Potlatch Corp. ............................................. 199,456 7,339 Rayonier, Inc. ............................................. 326,219 19,552 Wausau-Mosinee Paper Corp. ................................. 338,250 - ------------------------------------------------------------------------------------------ 1,460,922 - ------------------------------------------------------------------------------------------ TOTAL MATERIALS............................................. 7,999,284 - ------------------------------------------------------------------------------------------ TELECOMMUNICATION SERVICES -- 0.6% DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.1% 50,993 Cincinnati Bell, Inc.++..................................... 226,409 - ------------------------------------------------------------------------------------------ WIRELESS TELECOMMUNICATION SERVICES -- 0.5% 11,499 Telephone & Data Systems, Inc. ............................. 818,729 - ------------------------------------------------------------------------------------------ TOTAL TELECOMMUNICATION SERVICES............................ 1,045,138 - ------------------------------------------------------------------------------------------ UTILITIES -- 6.3% ELECTRIC UTILITIES -- 3.3% 21,717 Allete, Inc. ............................................... 723,176 33,275 Alliant Energy Corp. ....................................... 867,812 20,988 Black Hills Corp. .......................................... 661,122 29,906 Energy East Corp. .......................................... 725,220 9,897 Great Plains Energy, Inc. .................................. 293,941 3,835 NSTAR....................................................... 183,620 13,216 OGE Energy Corp. ........................................... 336,612 32,966 Puget Energy, Inc. ......................................... 722,285 34,776 Wisconsin Energy Corp. ..................................... 1,134,045 6,260 WPS Resources Corp. ........................................ 290,151 - ------------------------------------------------------------------------------------------ 5,937,984 - ------------------------------------------------------------------------------------------ GAS UTILITIES -- 1.9% 34,302 AGL Resources, Inc. ........................................ 996,473 40,190 MDU Resources Group, Inc. .................................. 965,766 37,372 National Fuel Gas Co. ...................................... 934,300 19,495 WGL Holdings Inc. .......................................... 559,896 - ------------------------------------------------------------------------------------------ 3,456,435 - ------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 43 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 DISCIPLINED MID CAP STOCK PORTFOLIO
SHARES SECURITY VALUE - ------------------------------------------------------------------------------------------ MULTI-UTILITIES -- 1.0% 22,698 Questar Corp. .............................................. $ 877,051 13,624 SCANA Corp. ................................................ 495,505 23,979 Westar Energy, Inc. ........................................ 477,422 - ------------------------------------------------------------------------------------------ 1,849,978 - ------------------------------------------------------------------------------------------ TOTAL UTILITIES............................................. 11,244,397 - ------------------------------------------------------------------------------------------ TOTAL COMMON STOCK (Cost -- $143,369,148)................... 172,990,440 - ------------------------------------------------------------------------------------------ FACE AMOUNT SECURITY VALUE - ------------------------------------------------------------------------------------------ SHORT-TERM INVESTMENTS -- 3.8% U.S. TREASURY BILLS -- 0.1% $ 265,000 U.S. Treasury Bills due 9/16/04 (a) (Cost -- $264,266)...... 264,297 - ------------------------------------------------------------------------------------------ REPURCHASE AGREEMENT -- 3.7% 6,578,000 State Street Bank & Trust Co. dated 6/30/04, 1.150% due 7/1/04; Proceeds at maturity -- $6,578,210; (Fully collateralized by U.S. Treasury Bonds, 12.750% due 11/15/10; Market value -- $6,710,876) (Cost -- $6,578,000)............ 6,578,000 - ------------------------------------------------------------------------------------------ TOTAL SHORT-TERM INVESTMENTS (Cost -- $6,842,266)........... 6,842,297 - ------------------------------------------------------------------------------------------ TOTAL INVESTMENTS -- 100.0% (Cost -- $150,211,414*)......... $179,832,737 - ------------------------------------------------------------------------------------------
++ Non-income producing security. + All or a portion of this security is segregated as collateral for open futures contracts. (a) All or a portion of this security is held as collateral for open futures contracts. * Aggregate cost for Federal income tax purposes is substantially the same. SEE NOTES TO FINANCIAL STATEMENTS. 44 - -------------------------------------------------------------------------------- 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 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 differ 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 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" are regarded as having 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. BB, B, CCC and CC -- Bonds rated "BB" and "B" are regarded, on balance, as predominantly speculative with respect to capacity to pay interest and repay principal in accordance with the terms of the obligation. "BB" represents a lower degree of speculation than "B", "CCC" 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 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" possess 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 as medium grade obligations, i.e., they are neither highly protected nor poorly secured. Interest payments 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. Such bonds lack outstanding investment characteristics and in fact 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 therefore 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 payment 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 and C -- Bonds rated "Ca" and "C" represent obligations which are speculative in a high degree. Such issues are often in default or have other marked shortcomings.
45 - -------------------------------------------------------------------------------- BOND RATINGS (UNAUDITED) (CONTINUED) Fitch Ratings ("Fitch") -- Ratings from "AA" to "B" 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 lowest expectation of credit risk. They are assigned only in case of exceptionally strong capacity for timely payment of financial commitments. This capacity is highly unlikely to be adversely affected by foreseeable events. AA -- Bonds rated "AA" have a very low expectation of credit risk. They indicate very strong capacity for timely payment of financial commitments. This capacity is not significantly vulnerable to foreseeable events. A -- Bonds rated "A" have a low expectation of credit risk. The capacity for timely payment of financial commitments is considered strong. This capacity may, nevertheless, be more vulnerable to changes in circumstances or in economic conditions than is the case for higher ratings. BBB -- Bonds rated "BBB" have a low expectation of credit risk. The capacity for timely payment of financial commitments is considered adequate, but adverse changes in circumstances and in economic conditions are more likely to impair this capacity. BB -- Bonds rated "BB" indicate that there is a possibility of credit risk developing, particularly as the result of adverse economic change over time; however, business of financial alternatives may be available to allow financial commitments to be met. B -- Bonds rated "B" indicate that significant credit risk is present, but a limited margin of safety remains. Financial Commitments are currently being met; however, capacity for continued payment is contingent upon a sustained, favourable business and economic environment. NR -- Indicates that the bond is not rated by Standard & Poor's, Moody's or Fitch.
46 - -------------------------------------------------------------------------------- STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED) JUNE 30, 2004
TRAVELERS LAZARD MFS FEDERATED DISCIPLINED QUALITY INTERNATIONAL EMERGING HIGH FEDERATED MID CAP BOND STOCK GROWTH YIELD STOCK STOCK PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO - --------------------------------------------------------------------------------------------------------------------------------- ASSETS: Investments, at cost............ $196,230,659 $147,651,557 $ 139,697,311 $ 75,954,599 $27,985,529 $150,211,414 Loaned securities collateral, at cost.......................... -- 29,910,541 -- -- -- -- Foreign currency, at cost....... -- 12,595 -- -- -- -- - --------------------------------------------------------------------------------------------------------------------------------- Investments, at value........... $195,405,161 $162,415,540 $ 166,868,317 $ 77,165,310 $31,752,596 $179,832,737 Loaned securities collateral, at value (Note 8)................ -- 29,910,541 -- -- -- -- Foreign currency, at value...... -- 12,480 -- -- -- -- Cash............................ 738 22 400 354 564 343 Dividends and interest receivable.................... 2,005,658 319,014 53,442 1,586,326 35,367 114,176 Receivable for securities sold.......................... 1,779,918 2,273,115 977,502 495,885 318,607 8,971,998 Receivable for Fund shares sold.......................... -- -- 19,599 28,242 49 58,151 Receivable for open forward foreign currency contracts (Note 6)...................... -- 7,086 -- -- -- -- Receivable from broker -- variation margin.... -- -- -- -- -- 38,436 - --------------------------------------------------------------------------------------------------------------------------------- TOTAL ASSETS.................... 199,191,475 194,937,798 167,919,260 79,276,117 32,107,183 189,015,841 - --------------------------------------------------------------------------------------------------------------------------------- LIABILITIES: Payable for securities purchased..................... 1,006,870 743,376 938,278 554,740 349,344 8,023,424 Payable for Fund shares reacquired.................... 229,287 718,954 581,129 47,453 26,389 106,936 Investment advisory fees payable....................... 52,654 109,761 93,002 41,668 16,029 101,142 Administration fees payable..... 9,715 8,873 16,564 3,846 1,541 8,679 Payable for loaned securities collateral (Note 8)........... -- 29,910,541 -- -- -- -- Payable for open forward foreign currency contracts (Note 6)... -- 1,566 -- -- -- -- Accrued expenses................ 41,995 53,418 45,801 33,754 17,766 45,924 - --------------------------------------------------------------------------------------------------------------------------------- TOTAL LIABILITIES............... 1,340,521 31,546,489 1,674,774 681,461 411,069 8,286,105 - --------------------------------------------------------------------------------------------------------------------------------- TOTAL NET ASSETS.................. $197,850,954 $163,391,309 $ 166,244,486 $ 78,594,656 $31,696,114 $180,729,736 - --------------------------------------------------------------------------------------------------------------------------------- NET ASSETS: Paid-in capital................. $197,385,810 $188,129,684 $ 336,222,688 $ 87,797,508 $29,076,927 $151,126,624 Undistributed net investment income........................ 2,906,478 1,126,749 -- 2,742,944 200,221 273,297 Accumulated net investment loss.......................... -- -- (377,568) -- -- -- Accumulated net realized loss from investment transactions and futures contracts......... (1,615,836) (40,619,574) (196,772,013) (13,156,507) (1,348,101) (387,691) Net unrealized appreciation (depreciation) of investments, futures contracts and foreign currencies.................... (825,498) 14,754,450 27,171,379 1,210,711 3,767,067 29,717,506 - --------------------------------------------------------------------------------------------------------------------------------- TOTAL NET ASSETS.................. $197,850,954 $163,391,309 $ 166,244,486 $ 78,594,656 $31,696,114 $180,729,736 - --------------------------------------------------------------------------------------------------------------------------------- SHARES OUTSTANDING................ 17,673,920 16,072,388 16,925,739 9,156,179 2,023,098 9,689,230 - --------------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, PER SHARE........ $11.19 $10.17 $9.82 $8.58 $15.67 $18.65 - ---------------------------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 47 - -------------------------------------------------------------------------------- STATEMENTS OF OPERATIONS (UNAUDITED) FOR THE SIX MONTHS ENDED JUNE 30, 2004
TRAVELERS LAZARD MFS FEDERATED DISCIPLINED QUALITY INTERNATIONAL EMERGING HIGH FEDERATED MID CAP BOND STOCK GROWTH YIELD STOCK STOCK PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO - --------------------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME: Interest (Note 8)...................... $ 4,078,978 $ 71,317 $ 19,412 $ 3,215,558 $ 14,185 $ 22,070 Dividends.............................. -- 2,455,716 382,350 12,851 327,765 922,287 Less: Foreign withholding tax.......... -- (294,047) (15,538) -- (1,717) -- - --------------------------------------------------------------------------------------------------------------------------------- TOTAL INVESTMENT INCOME................ 4,078,978 2,232,986 386,224 3,228,409 340,233 944,357 - --------------------------------------------------------------------------------------------------------------------------------- EXPENSES: Investment advisory fees (Note 2)...... 326,937 591,015 630,923 252,315 98,518 603,782 Administration fees (Note 2)........... 60,675 42,983 50,474 23,291 9,458 51,753 Audit and legal........................ 25,763 22,764 19,886 18,996 16,725 23,140 Shareholder communications............. 13,901 13,108 15,866 2,380 3,190 16,026 Custody................................ 13,209 53,785 35,817 35,653 7,031 10,794 Trustees' fees......................... 3,469 4,094 3,066 1,995 1,995 5,256 Transfer agency services............... 2,493 2,611 2,494 2,891 2,493 2,501 Other.................................. 731 9,203 3,177 339 499 873 - --------------------------------------------------------------------------------------------------------------------------------- TOTAL EXPENSES......................... 447,178 739,563 761,703 337,860 139,909 714,125 - --------------------------------------------------------------------------------------------------------------------------------- NET INVESTMENT INCOME (LOSS)........... 3,631,800 1,493,423 (375,479) 2,890,549 200,324 230,232 - --------------------------------------------------------------------------------------------------------------------------------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS AND FOREIGN CURRENCIES (NOTES 3, 5 AND 6): Realized Gain (Loss) From: Investment transactions.............. 46,818 7,680,502 10,826,120 423,416 707,178 7,076,648 Futures contracts.................... -- -- -- -- -- 286,881 Foreign currency transactions........ -- (116,612) (2,089) -- -- -- - --------------------------------------------------------------------------------------------------------------------------------- NET REALIZED GAIN...................... 46,818 7,563,890 10,824,031 423,416 707,178 7,363,529 - --------------------------------------------------------------------------------------------------------------------------------- Change in Net Unrealized Appreciation (Depreciation) From: Investments.......................... (3,765,711) (6,729,073) (2,101,066) (1,733,182) 87,506 3,526,577 Futures contracts.................... -- -- -- -- -- 4,894 Foreign currencies................... -- (21,524) (123) -- -- -- - --------------------------------------------------------------------------------------------------------------------------------- CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION)....................... (3,765,711) (6,750,597) (2,101,189) (1,733,182) 87,506 3,531,471 - --------------------------------------------------------------------------------------------------------------------------------- NET GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS AND FOREIGN CURRENCIES....... (3,718,893) 813,293 8,722,842 (1,309,766) 794,684 10,895,000 - --------------------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS............................. $ (87,093) $ 2,306,716 $ 8,347,363 $ 1,580,783 $995,008 $11,125,232 - ---------------------------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 48 - -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS FOR THE SIX MONTHS ENDED JUNE 30, 2004 (UNAUDITED) AND THE YEAR ENDED DECEMBER 31, 2003
TRAVELERS QUALITY LAZARD INTERNATIONAL MFS EMERGING BOND PORTFOLIO STOCK PORTFOLIO GROWTH PORTFOLIO ---------------------------- ----------------------------- ---------------------------- 2004 2003 2004 2003 2004 2003 - --------------------------------------------------------------------------------------------------------------------------------- OPERATIONS: Net investment income (loss).... $ 3,631,800 $ 8,841,220 $ 1,493,423 $ 1,877,744 $ (375,479) $ (468,854) Net realized gain (loss)........ 46,818 (813,388) 7,563,890 (4,181,788) 10,824,031 3,125,140 Change in net unrealized appreciation (depreciation)... (3,765,711) 6,204,698 (6,750,597) 30,563,454 (2,101,189) 36,792,310 - --------------------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS........ (87,093) 14,232,530 2,306,716 28,259,410 8,347,363 39,448,596 - --------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income........... (74,339) (10,103,492) (12,923) (2,035,977) -- -- Net realized gains.............. -- (474,419) -- -- -- -- - --------------------------------------------------------------------------------------------------------------------------------- DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO SHAREHOLDERS.................. (74,339) (10,577,911) (12,923) (2,035,977) -- -- - --------------------------------------------------------------------------------------------------------------------------------- FUND SHARE TRANSACTIONS (NOTE 9): Net proceeds from sale of shares........................ 8,301,184 43,240,349 41,762,732 104,649,317 2,757,953 8,640,718 Net asset value of shares issued for reinvestment of dividends..................... 74,339 10,577,911 12,923 2,035,977 -- -- Cost of shares reacquired....... (19,436,258) (54,268,288) (8,553,054) (102,506,397) (12,918,820) (24,103,589) - --------------------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS FROM FUND SHARE TRANSACTIONS.................. (11,060,735) (450,028) 33,222,601 4,178,897 (10,160,867) (15,462,871) - --------------------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS............................ (11,222,167) 3,204,591 35,516,394 30,402,330 (1,813,504) 23,985,725 NET ASSETS: Beginning of period............. 209,073,121 20,586,530 127,874,915 97,472,585 168,057,990 144,072,265 - --------------------------------------------------------------------------------------------------------------------------------- END OF PERIOD*.................. $197,850,954 $209,073,121 $163,391,309 $ 127,874,915 $166,244,486 $168,057,990 - --------------------------------------------------------------------------------------------------------------------------------- *Includes undistributed (overdistributed) net investment income of:......... $2,906,478 $(650,983) $1,126,749 $(237,139) -- -- - --------------------------------------------------------------------------------------------------------------------------------- *Includes accumulated net investment loss of:........... -- -- -- -- $(377,568) -- - ---------------------------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 49 - -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) FOR THE SIX MONTHS ENDED JUNE 30, 2004 (UNAUDITED) AND THE YEAR ENDED DECEMBER 31, 2003
FEDERATED HIGH FEDERATED DISCIPLINED MID CAP YIELD PORTFOLIO STOCK PORTFOLIO STOCK PORTFOLIO --------------------------- -------------------------- ---------------------------- 2004 2003 2004 2003 2004 2003 - --------------------------------------------------------------------------------------------------------------------------------- OPERATIONS: Net investment income............... $ 2,890,549 $ 4,932,912 $ 200,324 $ 421,055 $ 230,232 $ 492,767 Net realized gain (loss)............ 423,416 (800,373) 707,178 27,649 7,363,529 3,281,954 Change in net unrealized appreciation (depreciation)....... (1,733,182) 8,350,883 87,506 6,552,918 3,531,471 35,315,211 - --------------------------------------------------------------------------------------------------------------------------------- INCREASE IN NET ASSETS FROM OPERATIONS........................ 1,580,783 12,483,422 995,008 7,001,622 11,125,232 39,089,932 - --------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income............... (47,634) (5,110,185) (6,889) (414,269) (26,158) (426,728) - --------------------------------------------------------------------------------------------------------------------------------- DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO SHAREHOLDERS..... (47,634) (5,110,185) (6,889) (414,269) (26,158) (426,728) - --------------------------------------------------------------------------------------------------------------------------------- FUND SHARE TRANSACTIONS (NOTE 9): Net proceeds from sale of shares.... 7,378,843 45,580,198 1,438,651 2,031,831 11,379,716 27,684,956 Net asset value of shares issued for reinvestment of dividends......... 47,634 5,110,185 6,889 414,269 26,158 426,728 Cost of shares reacquired........... (6,161,112) (30,064,428) (2,540,931) (4,280,218) (6,691,900) (12,959,405) - --------------------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS FROM FUND SHARE TRANSACTIONS...... 1,265,365 20,625,955 (1,095,391) (1,834,118) 4,713,974 15,152,279 - --------------------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS..... 2,798,514 27,999,192 (107,272) 4,753,235 15,813,048 53,815,483 NET ASSETS: Beginning of period................. 75,796,142 47,796,950 31,803,386 27,050,151 164,916,688 111,101,205 - --------------------------------------------------------------------------------------------------------------------------------- END OF PERIOD*...................... $78,594,656 $ 75,796,142 $31,696,114 $31,803,386 $180,729,736 $164,916,688 - --------------------------------------------------------------------------------------------------------------------------------- *Includes undistributed (overdistributed) net investment income of:........................ $2,742,944 $(99,971) $200,221 $6,786 $273,297 $69,223 - ---------------------------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 50 - -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (UNAUDITED) 1. SIGNIFICANT ACCOUNTING POLICIES The Travelers Quality Bond, Lazard International Stock, MFS Emerging Growth, Federated High Yield, Federated Stock and Disciplined Mid Cap Stock Portfolios ("Fund(s)") are separate 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 a diversified, open-end management investment company and consists of these Funds and ten other separate investment funds: U.S. Government Securities, Social Awareness Stock, Pioneer Fund, Large Cap, Equity Income, Convertible Securities, Merrill Lynch Large Cap Core, MFS Mid Cap Growth, Zero Coupon Bond Fund Series 2005 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 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 price on such markets or, if there were no sales during the day, 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; securities primarily traded on foreign exchanges are generally valued at the closing values of such securities on their respective exchanges, except that when a significant occurrence exists subsequent to the time a value was so established and it is likely to have significantly changed the value, then the fair value of those securities will be determined by consideration of other factors by and under the direction of the Board of Trustees; securities traded in the over-the-counter market are valued on the basis of the bid price at the close of business on each day; U.S. government agencies and obligations are valued at the mean between the last reported bid and asked prices; (c) securities for which market quotations are not available will be valued in good faith at fair value by and 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 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 a 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 based on the rate of exchange of such currencies against U.S. dollars on the date of valuation. Purchases and sales of securities, income and expenses are translated at the rate of exchange quoted on the respective date that such transactions are recorded. Differences between income or expense amounts recorded and collected or paid are adjusted when reported by the custodian bank; (j) the character of income and capital gains to be distributed is determined in accordance with income tax regulations which may differ from GAAP; (k) each Fund intends to comply with the 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. The Federated High Yield Portfolio 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. The Federated High Yield Portfolio's investment in securities rated below investment-grade typically involves 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, the Lazard International Stock and MFS Emerging Growth Portfolios may from time to time 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 market 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. 51 - -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED) 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 Travelers Quality Bond ("TQB"), Lazard International Stock ("LIS"), MFS Emerging Growth ("MEG"), Federated High Yield ("FHY"), Federated Stock ("FSP") and Disciplined Mid Cap Stock ("DMCS") Portfolios. TQB, LIS, MEG, FHY, FSP and DMCS each pay TAMIC an investment advisory fee calculated at the annual rate of 0.3233%, 0.825%, 0.75%, 0.65%, 0.625% and 0.70%, respectively, of each Fund's respective average daily net assets. These fees are calculated daily and paid monthly. TAMIC has entered into sub-advisory agreements with Lazard Asset Management LLC ("Lazard"), Massachusetts Financial Services ("MFS"), Federated Investment Management Company ("Federated") and The Travelers Investment Management Company ("TIMCO"), another indirect wholly-owned subsidiary of Citigroup. Pursuant to each sub-advisory agreement, Lazard, MFS and TIMCO are responsible for the day-to-day fund operations and investment decisions for LIS, MEG and DMCS, respectively. Federated is responsible for the day-to-day fund operations and investment decisions for FHY and FSP. As a result, the following fees are paid and calculated at an annual rate: - TAMIC pays Lazard 0.475% of LIS's average daily net assets. - TAMIC pays MFS 0.375% of MEG's average daily net assets. - TAMIC pays Federated 0.40% and 0.375% of the average daily net assets of FHY and FSP, respectively. - TAMIC pays TIMCO 0.35% of DMCS's average daily net assets. 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 each Fund's respective 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"), 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 respective 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, did not receive any brokerage commissions from the Funds. One Trustee and all officers of the Trust are employees of Citigroup or its subsidiaries. 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), were as follows:
PURCHASES SALES - ---------------------------------------------------------------------------------------- Travelers Quality Bond Portfolio............................ $87,104,694 $ 88,913,122 Lazard International Stock Portfolio........................ 80,953,474 46,987,456 MFS Emerging Growth Portfolio............................... 95,254,780 109,085,877 Federated High Yield Portfolio.............................. 15,467,699 15,358,857 Federated Stock Portfolio................................... 4,291,248 5,444,640 Disciplined Mid Cap Stock Portfolio......................... 46,750,773 41,870,806 - ----------------------------------------------------------------------------------------
52 - -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED) At June 30, 2004, the aggregate gross unrealized appreciation and depreciation of investments for Federal income tax purposes were substantially as follows:
GROSS GROSS NET UNREALIZED UNREALIZED UNREALIZED APPRECIATION APPRECIATION DEPRECIATION (DEPRECIATION) - ---------------------------------------------------------------------------------------------------------- Travelers Quality Bond Portfolio............................ $ 2,159,662 $(2,985,160) $ (825,498) Lazard International Stock Portfolio........................ 16,829,887 (2,065,904) 14,763,983 MFS Emerging Growth Portfolio............................... 29,432,937 (2,261,931) 27,171,006 Federated High Yield Portfolio.............................. 4,234,453 (3,023,742) 1,210,711 Federated Stock Portfolio................................... 5,088,436 (1,321,369) 3,767,067 Disciplined Mid Cap Stock Portfolio......................... 35,704,020 (6,082,697) 29,621,323 - ----------------------------------------------------------------------------------------------------------
4. REPURCHASE AGREEMENTS When entering into repurchase agreements, it is the Fund's policy that a custodian takes possession of the underlying collateral securities, the value of which at least equals the principal amount of the repurchase transaction, including accrued interest. To the extent that any repurchase transaction exceeds one business day, the value of the collateral is marked-to-market to ensure the adequacy of the collateral. If the seller defaults and the value of the collateral declines or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Fund may be delayed or limited. At June 30, 2004, MEG did not have any repurchase agreements outstanding. 5. FUTURES CONTRACTS TQB, LIS, MEG, FSP and DMCS may from time to time enter into futures contracts. Securities or cash equal to the initial margin amount are either deposited with the broker or segregated by the custodian upon entering into the futures contract. Additional securities are also segregated up to the current market value of the futures contracts. During the period the futures contract is open, changes in the value of the contract are recognized as unrealized gains or losses by "marking-to-market" on a daily basis to reflect the market value of the contract at the end of each day's trading. Variation margin payments are received or made and recognized as assets due from or liabilities due to broker, depending upon whether unrealized gains or losses are incurred. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transactions and the Funds' basis in the contract. The Funds enter into such contracts typically to hedge a portion of their respective portfolios. The Funds bear the market risk that arises from changes in the value of the financial instruments and securities indices. At June 30, 2004, DMCS had the following open futures contracts:
NUMBER OF BASIS MARKET UNREALIZED EXPIRATION CONTRACTS VALUE VALUE GAIN - -------------------------------------------------------------------------------------------------------- PURCHASED CONTRACTS: S&P Midcap 400........................... 9/04 22 $6,594,567 $6,690,750 $96,183 - --------------------------------------------------------------------------------------------------------
At June 30, 2004, TQB, LIS, MEG and FSP did not have any open futures contracts. 6. FORWARD FOREIGN CURRENCY CONTRACTS LIS and MEG may from time to time 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 Funds bear 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. 53 - -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED) At June 30, 2004, LIS had open forward foreign currency contracts as described below. The unrealized gain (loss) on the contracts reflected in the financial statements were as follows:
LOCAL MARKET SETTLEMENT UNREALIZED FOREIGN CURRENCY CURRENCY VALUE DATE GAIN (LOSS) - -------------------------------------------------------------------------------------------------------------- CONTRACTS TO BUY: Euro........................................................ 68,166 $ 83,032 7/1/04 $ 586 Euro........................................................ 312,272 380,378 7/1/04 (281) Euro........................................................ 13,124 15,986 7/2/04 14 Euro........................................................ 20,892 25,448 7/2/04 23 Norwegian Krone............................................. 288,473 41,621 7/1/04 (156) Norwegian Krone............................................. 157,940 22,788 7/2/04 (19) - -------------------------------------------------------------------------------------------------------------- 167 - -------------------------------------------------------------------------------------------------------------- CONTRACTS TO SELL: Euro........................................................ 86,950 105,913 7/1/04 (443) Euro........................................................ 38,554 46,962 7/1/04 (389) Euro........................................................ 17,681 21,537 7/1/04 (179) Euro........................................................ 19,002 23,146 7/2/04 (49) Euro........................................................ 19,185 23,370 7/2/04 (50) Euro........................................................ 83,970 102,283 7/2/04 75 Japanese Yen................................................ 21,627,912 197,795 7/1/04 2,260 Japanese Yen................................................ 55,930,718 511,507 7/1/04 3,461 Japanese Yen................................................ 388,740 3,555 7/1/04 -- Japanese Yen................................................ 45,511,317 416,218 7/2/04 667 - -------------------------------------------------------------------------------------------------------------- 5,353 - -------------------------------------------------------------------------------------------------------------- NET UNREALIZED GAIN ON OPEN FORWARD FOREIGN CURRENCY CONTRACTS.................................................................... $5,520 - --------------------------------------------------------------------------------------------------------------
At June 30, 2004, MEG did not have any open forward foreign currency contracts. 7. FOREIGN SECURITIES Investing in securities of foreign companies and foreign governments involves additional risks and considerations not typically associated with investing in U.S. companies and the U.S. government. These risks include revaluation of currencies and future adverse political and economic developments. Moreover, securities of many foreign companies and foreign governments and their markets may be less liquid and their prices more volatile than those of securities of comparable U.S. companies and the U.S. government. 8. LENDING OF PORTFOLIO SECURITIES The Funds have an agreement with their custodian whereby the custodian may lend securities owned by a Fund to brokers, dealers and other financial organizations. Fees earned by the Funds on securities lending are recorded as interest income. Loans of securities by the Funds are collateralized by cash, U.S. government securities or high quality money market instruments that are maintained at all times in an amount at least equal to the current market value of the securities loaned, plus a margin which may vary depending on the type of securities loaned. The custodian establishes and maintains the collateral in a segregated account. The Funds maintain exposure for the risk of any losses in the investments of amounts received as collateral. At June 30, 2004, LIS loaned securities having a market value of $28,375,327. LIS received cash collateral amounting to $29,910,541 which was invested in the State Street Navigator Securities Lending Trust Prime Portfolio. Income earned by LIS from securities lending for the six months ended June 30, 2004 was $48,834. At June 30, 2004, TQB, MEG, FHY, FSP, and DMCS did not have any securities on loan. 54 - -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED) 9. 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 - ----------------------------------------------------------------------------------------------------- TRAVELERS QUALITY BOND PORTFOLIO Shares sold................................................. 735,291 3,799,891 Shares issued on reinvestment............................... 6,649 943,628 Shares reacquired........................................... (1,723,870) (4,753,702) - ----------------------------------------------------------------------------------------------------- Net Decrease................................................ (981,930) (10,183) - ----------------------------------------------------------------------------------------------------- LAZARD INTERNATIONAL STOCK PORTFOLIO Shares sold................................................. 4,128,810 13,041,118 Shares issued on reinvestment............................... 1,266 204,469 Shares reacquired........................................... (831,789) (12,799,010) - ----------------------------------------------------------------------------------------------------- Net Increase................................................ 3,298,287 446,577 - ----------------------------------------------------------------------------------------------------- MFS EMERGING GROWTH PORTFOLIO Shares sold................................................. 284,968 1,024,938 Shares reacquired........................................... (1,330,333) (2,951,286) - ----------------------------------------------------------------------------------------------------- Net Decrease................................................ (1,045,365) (1,926,348) - ----------------------------------------------------------------------------------------------------- FEDERATED HIGH YIELD PORTFOLIO Shares sold................................................. 865,973 5,705,531 Shares issued on reinvestment............................... 5,552 607,710 Shares reacquired........................................... (724,760) (3,792,186) - ----------------------------------------------------------------------------------------------------- Net Increase................................................ 146,765 2,521,055 - ----------------------------------------------------------------------------------------------------- FEDERATED STOCK PORTFOLIO Shares sold................................................. 93,704 152,214 Shares issued on reinvestment............................... 443 27,308 Shares reacquired........................................... (164,549) (328,610) - ----------------------------------------------------------------------------------------------------- Net Decrease................................................ (70,402) (149,088) - ----------------------------------------------------------------------------------------------------- DISCIPLINED MID CAP STOCK PORTFOLIO Shares sold................................................. 628,743 1,842,815 Shares issued on reinvestment............................... 1,411 24,260 Shares reacquired........................................... (369,390) (913,912) - ----------------------------------------------------------------------------------------------------- Net Increase................................................ 260,764 953,163 - -----------------------------------------------------------------------------------------------------
10. 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 Citigroup 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 55 - -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED) 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 on the previous page through a waiver of their fees. The amount paid to each Fund is as follows:
- ---------------------------------------------------------------------- Travelers Quality Bond Portfolio............................ $1,726 Lazard International Stock Portfolio........................ 1,726 MFS Emerging Growth Portfolio............................... 1,689 Federated High Yield Portfolio.............................. 1,726 Federated Stock Portfolio................................... 1,726 Disciplined Mid Cap Stock Portfolio......................... 1,726 - ----------------------------------------------------------------------
11. SUBSEQUENT EVENT The Board of Trustees of the Trust, on behalf of LIS, has approved an amendment to the investment advisory agreement between LIS and TAMIC, and an amendment to the sub-advisory agreement between TAMIC and Lazard. Effective September 1, 2004, the investment advisory fee and sub-advisory fee for LIS will be revised from the annual rates of 0.825% and 0.475%, respectively, of the average daily net assets of LIS, to a fee calculated at the annual rates in accordance with the following schedule.
INVESTMENT ADVISORY SUB-ADVISORY AVERAGE DAILY NET ASSETS FEE RATE FEE RATE - --------------------------------------------------------------------------------------------------- First $100 million.......................................... 0.825% 0.475% Next $400 million........................................... 0.775 0.425 Next $500 million........................................... 0.725 0.375 Over $1 billion............................................. 0.700 0.350 - ---------------------------------------------------------------------------------------------------
The Board of Trustees of the Trust, on behalf of MEG, has approved an amendment to the investment advisory agreement between MEG and TAMIC, and an amendment to the sub-advisory agreement between TAMIC and MFS. Effective September 1, 2004, the investment advisory fee and sub-advisory fee for MEG will be revised from the annual rate of 0.750% and 0.375%, respectively, of the average daily net assets of MEG, to a fee calculated at the annual rates in accordance with the following schedule:
INVESTMENT ADVISORY SUB-ADVISORY AVERAGE DAILY NET ASSETS FEE RATE FEE RATE - --------------------------------------------------------------------------------------------------- First $600 million.......................................... 0.750% 0.370% Next $300 million........................................... 0.725 0.350 Next $600 million........................................... 0.700 0.325 Next $1 billion............................................. 0.675 0.300 Over $2.5 billion........................................... 0.625 0.250 - ---------------------------------------------------------------------------------------------------
56 - -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS For a share of beneficial interest outstanding throughout each year ended December 31, unless otherwise noted:
TRAVELERS QUALITY BOND PORTFOLIO 2004(1) 2003(2) 2002(2) 2001(2) 2000(2) 1999(2) - ------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD....... $11.21 $11.03 $11.39 $11.00 $10.82 $10.76 - ------------------------------------------------------------------------------------------------------------------- INCOME (LOSS) FROM OPERATIONS: Net investment income(3)................. 0.20 0.48 0.51 0.59 0.73 0.64 Net realized and unrealized gain (loss)(3)............................. (0.22) 0.29 0.14 0.20 0.00* (0.51) - ------------------------------------------------------------------------------------------------------------------- Total Income (Loss) From Operations........ (0.02) 0.77 0.65 0.79 0.73 0.13 - ------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS FROM: Net investment income.................... (0.00)* (0.56) (0.85) (0.40) (0.55) (0.00)* Net realized gains....................... -- (0.03) (0.16) -- -- (0.07) - ------------------------------------------------------------------------------------------------------------------- Total Distributions........................ (0.00)* (0.59) (1.01) (0.40) (0.55) (0.07) - ------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD............. $11.19 $11.21 $11.03 $11.39 $11.00 $10.82 - ------------------------------------------------------------------------------------------------------------------- TOTAL RETURN(4)............................ (0.14)%++ 6.98% 5.81% 7.13% 6.97% 1.09% - ------------------------------------------------------------------------------------------------------------------- NET ASSETS, END OF PERIOD (MILLIONS)....... $198 $209 $206 $152 $73 $59 - ------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: Expenses(5).............................. 0.44%+ 0.43% 0.44% 0.45% 0.49% 0.54% Net investment income(3)................. 3.59+ 4.15 4.48 5.14 6.81 5.86 - ------------------------------------------------------------------------------------------------------------------- PORTFOLIO TURNOVER RATE.................... 45% 191% 176% 225% 157% 357% - -------------------------------------------------------------------------------------------------------------------
(1) For the six months ended June 30, 2004 (unaudited). (2) Per share amounts have been calculated using the monthly average shares method. (3) Effective January 1, 2001, the Fund adopted a change in the accounting method that requires the Fund to amortize premiums and accrete all discounts. Without the adoption of this change, for the year ended December 31, 2001, those amounts would have been $0.61, $0.18 and 5.31% for net investment income, net realized and unrealized gain and the ratio of net investment income to average net assets, respectively. Per share information, ratios and supplemental data for the periods prior to January 1, 2001 have not been restated to reflect this change in presentation. (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. 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. (5) As a result of a voluntary expense limitation, the ratio of expenses to average net assets will not exceed 0.75%. * Amount represents less than $0.01 per share. ++ Total return is not annualized, as it may not be representative of the total return for the year. + Annualized. 57 - -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (CONTINUED) For a share of beneficial interest outstanding throughout each year ended December 31, unless otherwise noted:
LAZARD INTERNATIONAL STOCK PORTFOLIO 2004(1)(2) 2003(2) 2002(2) 2001(2) 2000(2) 1999(2) - ---------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD....... $10.01 $7.91 $9.30 $13.15 $15.65 $12.88 - ---------------------------------------------------------------------------------------------------------------------- INCOME (LOSS) FROM OPERATIONS: Net investment income.................... 0.11 0.15 0.11 0.11 0.13 0.17 Net realized and unrealized gain (loss)................................ 0.05 2.11 (1.31) (3.50) (1.88) 2.63 - ---------------------------------------------------------------------------------------------------------------------- Total Income (Loss) From Operations........ 0.16 2.26 (1.20) (3.39) (1.75) 2.80 - ---------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS FROM: Net investment income.................... (0.00)* (0.16) (0.19) (0.02) (0.32) (0.03) Net realized gains....................... -- -- -- (0.44) (0.43) (0.00)* - ---------------------------------------------------------------------------------------------------------------------- Total Distributions........................ (0.00)* (0.16) (0.19) (0.46) (0.75) (0.03) - ---------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD............. $10.17 $10.01 $7.91 $ 9.30 $13.15 $15.65 - ---------------------------------------------------------------------------------------------------------------------- TOTAL RETURN(3)............................ 1.61%++ 28.60% (12.96)% (26.19)% (11.50)% 21.78% - ---------------------------------------------------------------------------------------------------------------------- NET ASSETS, END OF PERIOD (MILLIONS)....... $163 $128 $97 $120 $141 $119 - ---------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: Expenses(4).............................. 1.03%+ 1.00% 1.06% 1.01% 1.02% 1.06% Net investment income.................... 2.08+ 1.79 1.32 1.01 0.92 1.25 - ---------------------------------------------------------------------------------------------------------------------- PORTFOLIO TURNOVER RATE.................... 34% 44% 55% 81% 39% 35% - ----------------------------------------------------------------------------------------------------------------------
MFS EMERGING GROWTH PORTFOLIO 2004(1) 2003 2002(2) 2001(2) 2000(2) 1999(2) - ----------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD....... $9.35 $7.24 $11.00 $22.60 $29.82 $16.87 - ----------------------------------------------------------------------------------------------------------------- INCOME (LOSS) FROM OPERATIONS: Net investment loss...................... (0.02) (0.03) (0.03) (0.02) (0.05) (0.06) Net realized and unrealized gain (loss)................................ 0.49 2.14 (3.73) (8.20) (5.70) 13.01 - ----------------------------------------------------------------------------------------------------------------- Total Income (Loss) From Operations........ 0.47 2.11 (3.76) (8.22) (5.75) 12.95 - ----------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS FROM: Net realized gains....................... -- -- -- (3.38) (1.47) -- - ----------------------------------------------------------------------------------------------------------------- Total Distributions........................ -- -- -- (3.38) (1.47) -- - ----------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD............. $9.82 $9.35 $7.24 $11.00 $22.60 $29.82 - ----------------------------------------------------------------------------------------------------------------- TOTAL RETURN(3)............................ 5.03%++ 29.14% (34.18)% (36.18)% (20.13)% 76.76% - ----------------------------------------------------------------------------------------------------------------- NET ASSETS, END OF PERIOD (MILLIONS)....... $166 $168 $144 $258 $420 $413 - ----------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: Expenses(5).............................. 0.91%+ 0.89% 0.89% 0.89% 0.90% 0.87% Net investment loss...................... (0.45)+ (0.30) (0.32) (0.12) (0.18) (0.29) - ----------------------------------------------------------------------------------------------------------------- PORTFOLIO TURNOVER RATE.................... 58% 106% 114% 266% 203% 168% - -----------------------------------------------------------------------------------------------------------------
(1) For the six months ended June 30, 2004 (unaudited). (2) Per share amounts have been calculated using the monthly average shares method. (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 1.25%. (5) As a result of a voluntary expense limitation, the ratio of expenses to average net assets (excluding interest expense) will not exceed 0.95%. * Amount represents less than $0.01 per share. ++ Total return is not annualized, as it may not be representative of the total return for the year. + Annualized. 58 - -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (CONTINUED) For a share of beneficial interest outstanding throughout each year ended December 31, unless otherwise noted:
FEDERATED HIGH YIELD PORTFOLIO 2004(1)(2) 2003(2) 2002(2) 2001(2) 2000 1999 - ---------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD..... $8.41 $7.37 $8.55 $9.50 $11.44 $11.11 - ---------------------------------------------------------------------------------------------------------------- INCOME (LOSS) FROM OPERATIONS: Net investment income(3)............... 0.32 0.65 0.74 0.97 1.25 1.01 Net realized and unrealized gain (loss)(3)........................... (0.14) 1.00 (0.46) (0.77) (2.11) (0.67) - ---------------------------------------------------------------------------------------------------------------- Total Income (Loss) From Operations...... 0.18 1.65 0.28 0.20 (0.86) 0.34 - ---------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS FROM: Net investment income.................. (0.01) (0.61) (1.46) (1.15) (1.08) (0.00)* Net realized gains..................... -- -- -- -- -- (0.01) - ---------------------------------------------------------------------------------------------------------------- Total Distributions...................... (0.01) (0.61) (1.46) (1.15) (1.08) (0.01) - ---------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD........... $8.58 $8.41 $7.37 $8.55 $9.50 $11.44 - ---------------------------------------------------------------------------------------------------------------- TOTAL RETURN(4).......................... 2.08%++ 22.39% 3.72% 1.94% (8.15)% 3.10% - ---------------------------------------------------------------------------------------------------------------- NET ASSETS, END OF PERIOD (MILLIONS)..... $79 $76 $48 $40 $39 $50 - ---------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: Expenses(5)............................ 0.87%+ 0.90% 0.89% 0.89% 0.88% 0.84% Net investment income(3)............... 7.45+ 7.93 9.09 10.45 10.61 9.15 - ---------------------------------------------------------------------------------------------------------------- PORTFOLIO TURNOVER RATE.................. 21% 57% 58% 44% 19% 23% - ----------------------------------------------------------------------------------------------------------------
(1) For the six months ended June 30, 2004 (unaudited). (2) Per share amounts have been calculated using the monthly average shares method. (3) Effective January 1, 2001, the Fund adopted a change in the accounting method that requires the Fund to amortize premiums and accrete all discounts. Without the adoption of this change, for the six months ended June 30, 2004, those amounts would have been $0.98, $0.78 and 10.51% for net investment income, net realized and unrealized loss and the ratio of net investment income to average net assets, respectively. Per share information, ratios and supplemental data for the periods prior to January 1, 2001 have not been restated to reflect this change in presentation. (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. 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. (5) As a result of a voluntary expense limitation, the ratio of expenses to average net assets will not exceed 0.95%. * Amount represents less than $0.01 per share. ++ Total return is not annualized, as it may not be representative of the total return for the year. + Annualized. 59 - -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (CONTINUED) For a share of beneficial interest outstanding throughout each year ended December 31, unless otherwise noted:
FEDERATED STOCK PORTFOLIO 2004(1)(2) 2003(2) 2002(2) 2001(2) 2000 1999 - ---------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD....... $15.19 $12.06 $15.40 $15.99 $16.34 $15.66 - ---------------------------------------------------------------------------------------------------------------------- INCOME (LOSS) FROM OPERATIONS: Net investment income.................... 0.10 0.20 0.16 0.16 0.21 0.16 Net realized and unrealized gain (loss)................................ 0.38 3.13 (3.13) 0.11 0.33 0.68 - ---------------------------------------------------------------------------------------------------------------------- Total Income (Loss) From Operations........ 0.48 3.33 (2.97) 0.27 0.54 0.84 - ---------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS FROM: Net investment income.................... (0.00)* (0.20) (0.37) (0.20) (0.18) -- Net realized gains....................... -- -- -- (0.66) (0.71) (0.16) - ---------------------------------------------------------------------------------------------------------------------- Total Distributions........................ (0.00)* (0.20) (0.37) (0.86) (0.89) (0.16) - ---------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD............. $15.67 $15.19 $12.06 $15.40 $15.99 $16.34 - ---------------------------------------------------------------------------------------------------------------------- TOTAL RETURN(3)............................ 3.18%++ 27.61% (19.32)% 1.67% 3.77% 5.34% - ---------------------------------------------------------------------------------------------------------------------- NET ASSETS, END OF PERIOD (MILLIONS)....... $32 $32 $27 $44 $45 $50 - ---------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: Expenses(4).............................. 0.89%+ 0.91% 0.84% 0.81% 0.82% 0.82% Net investment income.................... 1.27+ 1.50 1.14 0.99 1.23 1.14 - ---------------------------------------------------------------------------------------------------------------------- PORTFOLIO TURNOVER RATE.................... 14% 41% 13% 14% 24% 23% - ----------------------------------------------------------------------------------------------------------------------
(1) For the six months ended June 30, 2004 (unaudited). (2) Per share amounts have been calculated using the monthly average shares method. (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 0.95%. * Amount represents less than $0.01 per share. ++ Total return is not annualized, as it may not be representative of the total return for the year. + Annualized. 60 - -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (CONTINUED) For a share of beneficial interest outstanding throughout each year ended December 31, unless otherwise noted:
DISCIPLINED MID CAP STOCK PORTFOLIO 2004(1) 2003 2002 2001(2) 2000(2) 1999(2) - ---------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD........ $17.49 $13.11 $15.41 $17.26 $15.61 $14.34 - ---------------------------------------------------------------------------------------------------------------------- INCOME (LOSS) FROM OPERATIONS: Net investment income(3).................. 0.02 0.05 0.03 0.06 0.08 0.02 Net realized and unrealized gain (loss)... 1.14 4.38 (2.23) (0.78) 2.46 1.84 - ---------------------------------------------------------------------------------------------------------------------- Total Income (Loss) From Operations......... 1.16 4.43 (2.20) (0.72) 2.54 1.86 - ---------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS FROM: Net investment income..................... (0.00)* (0.05) (0.08) (0.04) (0.03) (0.02) Net realized gains........................ -- -- (0.02) (1.09) (0.86) (0.57) - ---------------------------------------------------------------------------------------------------------------------- Total Distributions......................... (0.00)* (0.05) (0.10) (1.13) (0.89) (0.59) - ---------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD.............. $18.65 $17.49 $13.11 $15.41 $17.26 $15.61 - ---------------------------------------------------------------------------------------------------------------------- TOTAL RETURN(4)............................. 6.65%++ 33.75% (14.32)% (4.02)% 16.61% 13.47% - ---------------------------------------------------------------------------------------------------------------------- NET ASSETS, END OF PERIOD (MILLIONS)........ $181 $165 $111 $113 $95 $45 - ---------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: Expenses(3)(5)............................ 0.83%+ 0.82% 0.85% 0.83% 0.88% 0.95% Net investment income..................... 0.27+ 0.38 0.23 0.37 0.49 0.28 - ---------------------------------------------------------------------------------------------------------------------- PORTFOLIO TURNOVER RATE..................... 25% 61% 67% 40% 67% 71% - ----------------------------------------------------------------------------------------------------------------------
(1) For the six months ended June 30, 2004 (unaudited). (2) Per share amounts have been calculated using the monthly average shares method. (3) The Travelers Insurance Company has waived all or a portion of its fees for the year ended December 31, 1999. In addition, The Travelers Insurance Company has reimbursed the Fund for $13,500 of the Fund's expenses for the year ended December 31, 1999. If such expenses were not reimbursed, the per share decreases to net investment income and the actual expense ratio would have been $0.01 and 0.99%, respectively. (4) Total returns do no 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. (5) As a result of a voluntary expense limitation, the ratio of expenses to average net assets will not exceed 0.95%. * Amount represents less than $0.01 per share. ++ Total return is not annualized, as it may not be representative of the total return for the year. + Annualized. 61 (This page intentionally left blank.) (This page intentionally left blank.) (This page intentionally left blank.) THE TRAVELERS SERIES TRUST - -------------------------------------------------------------------------------- TRUSTEES INVESTMENT ADVISER R. Jay Gerken, CFA Chairman Travelers Asset Management International Company LLC Frances M. Hawk, CFA, CFP Lewis Mandell ADMINISTRATOR Robert E. McGill, III The Travelers Insurance Company OFFICERS CUSTODIAN R. Jay Gerken, CFA President and State Street Bank and Trust Company Chief Executive Officer TRANSFER AGENT Andrew B. Shoup Senior Vice President and Citicorp Trust Bank, fsb. Chief Administrative Officer Andrew Beagley Chief Anti-Money Laundering Compliance Officer William D. Wilcox* Chief Compliance Officer Kaprel Ozsolak Controller Kathleen McGah Secretary Ernest J. Wright Assistant Secretary - --------------- * As of July 23, 2004.
The Funds 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 the Travelers Quality Bond Portfolio, Lazard International Stock Portfolio, MFS Emerging Growth Portfolio, Federated High Yield Portfolio, Federated Stock Portfolio, and Disciplined Mid Cap Stock Portfolio. All the Funds contained in this report may not be available under our variance annuity or life contract. Beginning August 31, 2004, information on how the Fund 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 and procedures that the funds use to determine how to vote proxies relating to portfolio securities is available without charge, upon request, by telephoning the funds (toll-free) at 1-800-842-9368 and by visiting the SEC's website at www.sec.gov. Series Trust (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. THE TRAVELERS SERIES TRUST By: /s/ R. Jay Gerken R. Jay Gerken Chief Executive Officer of THE TRAVELERS SERIES 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 THE TRAVELERS SERIES TRUST Date: September 9, 2004 By: /s/ Andrew B. Shoup Andrew B. Shoup Chief Administrative Officer of THE TRAVELERS SERIES TRUST Date: September 9, 2004 EX-99.CERT 2 y99452exv99wcert.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 The Travelers Series Trust - Travelers Quality Bond 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: 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 The Travelers Series Trust - Travelers Quality Bond 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: September 9, 2004 /s/ Andrew B. Shoup ------------------------------------- Andrew B. Shoup Chief Administrative Officer 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 - Lazard International Stock 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: 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 The Travelers Series Trust - Lazard International Stock 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: September 9, 2004 /s/ Andrew B. Shoup --------------------------------- Andrew B. Shoup Chief Administrative Officer 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 - MFS Emerging Growth 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: 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 The Travelers Series Trust - MFS Emerging Growth 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: September 9, 2004 /s/ Andrew B. Shoup ---------------------------------------- Andrew B. Shoup Chief Administrative Officer 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 - Federated High Yield 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: 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 The Travelers Series Trust - Federated High Yield 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: September 9, 2004 /s/ Andrew B. Shoup ------------------------------------- Andrew B. Shoup Chief Administrative Officer 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 - Federated Stock 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: 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 The Travelers Series Trust - Federated Stock 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: September 9, 2004 /s/ Andrew B. Shoup ----------------------------------- Andrew B. Shoup Chief Administrative Officer 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 - Disciplined Mid Cap Stock 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: 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 The Travelers Series Trust - Disciplined Mid Cap Stock 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: September 9, 2004 /s/ Andrew B. Shoup ----------------------------------- Andrew B. Shoup Chief Administrative Officer EX-99.906CERT 3 y99452exv99w906cert.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 The Travelers Series Trust - Travelers Quality Bond 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 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 The Travelers Series Trust - The Travelers Series Trust - Travelers Quality Bond Portfolio Travelers Quality Bond Portfolio /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. CERTIFICATIONS PURSUANT TO SECTION 906 EX-99.906CERT CERTIFICATION R. JAY GERKEN, Chief Executive Officer, and ANDREW B. SHOUP, Chief Administrative Officer of The Travelers Series Trust - Lazard International Stock 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 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 The Travelers Series Trust - The Travelers Series Trust - Lazard International Stock Portfolio Lazard International Stock Portfolio /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. CERTIFICATIONS PURSUANT TO SECTION 906 EX-99.906CERT CERTIFICATION R. JAY GERKEN, Chief Executive Officer, and ANDREW B. SHOUP, Chief Administrative Officer of The Travelers Series Trust - MFS Emerging Growth 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 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 The Travelers Series Trust - The Travelers Series Trust - MFS Emerging Growth Portfolio MFS Emerging Growth Portfolio /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. CERTIFICATIONS PURSUANT TO SECTION 906 EX-99.906CERT CERTIFICATION R. JAY GERKEN, Chief Executive Officer, and ANDREW B. SHOUP, Chief Administrative Officer of The Travelers Series Trust - Federated High Yield 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 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 The Travelers Series Trust - The Travelers Series Trust - Federated High Yield Portfolio Federated High Yield Portfolio /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. CERTIFICATIONS PURSUANT TO SECTION 906 EX-99.906CERT CERTIFICATION R. JAY GERKEN, Chief Executive Officer, and ANDREW B. SHOUP, Chief Administrative Officer of The Travelers Series Trust - Federated Stock 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 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 The Travelers Series Trust - The Travelers Series Trust - Federated Stock Portfolio Federated Stock Portfolio /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. CERTIFICATIONS PURSUANT TO SECTION 906 EX-99.906CERT CERTIFICATION R. JAY GERKEN, Chief Executive Officer, and ANDREW B. SHOUP, Chief Administrative Officer of The Travelers Series Trust - Disciplined Mid Cap Stock 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 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 The Travelers Series Trust - The Travelers Series Trust - Disciplined Mid Cap Stock Portfolio Disciplined Mid Cap Stock Portfolio /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-----