-----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, QXm5saY0cGwXA4gVFB41B831eMAT7EdRDd3pd9gH32U1uElGFILWdSPG1NP7Q7/x 11hKNaYsR3hvd8Ol0QPqZQ== 0000950123-04-010821.txt : 20040909 0000950123-04-010821.hdr.sgml : 20040909 20040909113404 ACCESSION NUMBER: 0000950123-04-010821 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: 041022014 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 y99281znvcsrs.txt N-CSRS 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 GRAPHIC] THE TRAVELERS SERIES TRUST: CONVERTIBLE SECURITIES PORTFOLIO MFS MID CAP GROWTH PORTFOLIO MERRILL LYNCH LARGE CAP CORE PORTFOLIO [TRAVELERS LIFE AND ANNUITY 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.................................... 4 STATEMENTS OF ASSETS AND LIABILITIES........................ 19 STATEMENTS OF OPERATIONS.................................... 20 STATEMENTS OF CHANGES IN NET ASSETS......................... 21 NOTES TO FINANCIAL STATEMENTS............................... 24 FINANCIAL HIGHLIGHTS........................................ 28
- -------------------------------------------------------------------------------- LETTER FROM THE CHAIRMAN [R. JAY GERKEN PHOTO] R. JAY GERKEN, CFA Chairman, President, and Chief Executive Officer DEAR SHAREHOLDER, After a torrid second half of 2003, the equity markets took a breather in the first half of 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. Stocks continued to outpace bonds in the first half of the year. Bonds generally suffered, particularly during the spring, due to 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. Indeed, the Fed edged up the federal funds target rate(i) at the end of June to 1.25%. Over the six-month period, bonds generally experienced slightly negative returns. Although the convertibles market got off to a relatively strong start earlier this year, as the period progressed, it experienced a pullback as volatility and the bond markets declined. However, the convertibles market ended the period in modestly positive territory as the markets stabilized toward the end of the period. After a sharp drop early in the year, 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 for the six-month period, but the rate of job growth slowed following a strong increase in the first three months of the year. Real (inflation-adjusted) gross domestic product (GDP)(iii) increased at an annual rate of 3.90% in the first fiscal quarter of 2004, the most recent figure available at the close of the period, down slightly from the 4.10% increase seen in the last quarter of 2003.(iv) PERFORMANCE REVIEW Within this environment, The Travelers Series Trust: Convertible Securities Portfolio, MFS Mid Cap Growth Portfolio, and Merrill Lynch Large Cap Core Portfolio performed as follows:(1) CONVERTIBLE SECURITIES PORTFOLIO For the six months ended June 30, 2004, the Convertible Securities Portfolio returned 2.22%. The Portfolio outperformed its unmanaged benchmark, the Merrill Lynch Investment Grade Convertible Bond Index,(v) which returned 0.89% for the same period. It also slightly outperformed the Portfolio's Lipper specialty/miscellaneous variable funds category average,(2) which returned 2.17%. MFS MID CAP GROWTH PORTFOLIO For the six months ended June 30, 2004, the MFS Mid Cap Growth Portfolio returned 7.99%. The Portfolio outperformed its unmanaged benchmarks, the Russell Mid Cap Growth Index(vi) and the Russell 2000 Index(vii), which returned 5.94% and 6.76%, respectively, for the same period. It also outperformed the Portfolio's Lipper mid-cap growth variable funds category average,(3) which returned 5.93%. (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 GUARANTEE FUTURE RESULTS. (2) Lipper, Inc. is a major independent mutual-fund tracking organization. Returns are based on the six-month period ended June 30, 2004 and include the reinvestment of dividends and capital gains, if any. Returns were calculated among the 128 funds in the Lipper specialty/miscellaneous variable funds category. (3) Lipper, Inc. is a major independent mutual-fund tracking organization. Returns are based on the six-month period ended June 30, 2004 and include the reinvestment of dividends and capital gains, if any. Returns were calculated among the 124 funds in the Lipper mid-cap growth variable funds category. 1 MERRILL LYNCH LARGE CAP CORE PORTFOLIO For the six months ended June 30, 2004, the Merrill Lynch Large Cap Core Portfolio (formerly MFS Research Portfolio) returned 5.64%. The Portfolio outperformed its unmanaged benchmarks, the S&P 500 Index(viii) and the Russell 1000 Index,(ix) which returned 3.44% and 3.33%, respectively, for the same period. It also outperformed the Portfolio's Lipper large-cap core variable funds category average,(4) which returned 2.37% for the same period. PERFORMANCE OF THE FUNDS AS OF JUNE 30, 2004
6 MONTHS CONVERTIBLE SECURITIES PORTFOLIO 2.22% Merrill Lynch Investment Grade Convertible Bond Index 0.89% Lipper Specialty/Miscellaneous Variable Funds Category Average 2.17% MFS MID CAP GROWTH PORTFOLIO 7.99% Russell Mid Cap Growth Index 5.94% Russell 2000 Index 6.76% Lipper Mid-Cap Growth Variable Funds Category Average 5.93% MERRILL LYNCH LARGE CAP CORE PORTFOLIO (FORMERLY MFS RESEARCH PORTFOLIO) 5.64% S&P 500 Index 3.44% Russell 1000 Index 3.33% Lipper Large-Cap Core Variable Funds Category Average 2.37%
THE PERFORMANCE SHOWN REPRESENTS PAST PERFORMANCE. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS AND CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE SHOWN ABOVE. PRINCIPAL VALUE AND INVESTMENT RETURNS WILL FLUCTUATE AND INVESTORS' SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. The performance returns set forth above do not reflect the reduction of sales charges and expenses imposed in connection with investing in variable annuity and life contracts such as administrative fees, account charges, and surrender charges, which if reflected, would reduce the performance of the funds. SPECIAL SHAREHOLDER NOTICE Effective July 7, 2004, Camille H. Lee joined the Portfolio Management Team of David E. Sette-Ducati and Eric B. Fischman for the MFS Mid Cap Growth Portfolio. INFORMATION ABOUT YOUR FUND In recent months several issues in the mutual fund and variable insurance products industries have come under the scrutiny of federal and state regulators. Travelers Life & Annuity and some of its affiliates have received requests for information from various government regulators regarding market timing, late trading, 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. 4 Lipper, Inc. is a major independent mutual-fund tracking organization. Returns are based on the six-month period ended June 30, 2004 and include the reinvestment of dividends and capital gains, if any. Returns were calculated among the 215 funds in the Lipper large-cap core variable funds category. 2 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 4 through 17 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. Past performance is no guarantee of future results. (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) Gross domestic product is a market value of goods and services produced by labor and property in a given country. (iv) Source: Bureau of Economic Analysis, U.S. Department of Commerce, June 25, 2004. (v) The Merrill Lynch Investment Grade Convertible Bond Index is an index comprised of convertible bonds rated investment grade. (vi) The Russell Mid Cap Growth Index measures the performance of those Russell Mid-cap companies with higher price-to-book ratios and higher forecasted growth values. (A price-to-book ratio is the price of a stock compared to the difference between a company's assets and liabilities.) (vii) The Russell 2000 Index measures the performance of the 2000 smallest companies in the Russell 3000 Index, which represents approximately eight percent of the total market capitalization of the Russell 3000 Index. (viii) The S&P 500 Index is a market capitalization-weighted index of 500 widely held common stocks. (ix) The Russell 1000 Index measures the performance of the 1,000 largest companies in the Russell 3000 Index, which represents approximately 92% of the total market capitalization of the Russell 3000 Index. 3 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) JUNE 30, 2004 CONVERTIBLE SECURITIES PORTFOLIO
SHARES SECURITY VALUE - -------------------------------------------------------------------------------------------------- CONVERTIBLE PREFERRED STOCK -- 19.1% - -------------------------------------------------------------------------------------------------- AUTOMOTIVE -- 6.5% 50,000 Ford Motor Co. Capital Trust II, 6.500%..................... $ 2,738,000 General Motors Corp.: 68,000 5.250%.................................................... 1,680,280 60,000 6.250%.................................................... 1,742,400 - -------------------------------------------------------------------------------------------------- 6,160,680 - -------------------------------------------------------------------------------------------------- ELECTRIC -- 0.3% 3,150 Calenergy Capital Trust II, 6.250%.......................... 156,019 3,070 Calenergy Capital Trust III, 6.500% (a)..................... 147,360 - -------------------------------------------------------------------------------------------------- 303,379 - -------------------------------------------------------------------------------------------------- HOUSEWARES -- 2.6% 56,000 Newell Financial Trust I, 5.250%............................ 2,492,000 - -------------------------------------------------------------------------------------------------- MEDIA -- 2.8% 33,250 Tribune Co., 2.000%......................................... 2,716,525 - -------------------------------------------------------------------------------------------------- PHARMACEUTICALS -- 0.5% 8,000 Omnicare, Inc., 4.000%...................................... 496,240 - -------------------------------------------------------------------------------------------------- PIPELINES -- 0.8% 25,700 El Paso Energy Corp. Capital Trust I, 4.750%................ 718,315 - -------------------------------------------------------------------------------------------------- REAL ESTATE INVESTMENT TRUST -- 2.5% 39,515 Equity Office Properties Trust, 5.250%...................... 1,984,641 13,900 Reckson Associates Realty Corp., 7.625%..................... 362,790 - -------------------------------------------------------------------------------------------------- 2,347,431 - -------------------------------------------------------------------------------------------------- SAVINGS AND LOANS -- 3.1% 25,000 Washington Mutual Capital Trust I, 5.375% (b)............... 1,346,750 30,000 Washington Mutual Inc., 5.375%.............................. 1,621,512 - -------------------------------------------------------------------------------------------------- 2,968,262 - -------------------------------------------------------------------------------------------------- TELECOMMUNICATIONS -- 0.0% 6,000 Loral Space & Communications Ltd., 6.000% (a)(b)............ 8,100 - -------------------------------------------------------------------------------------------------- TOTAL CONVERTIBLE PREFERRED STOCK (Cost -- $17,513,861)..... 18,210,932 - -------------------------------------------------------------------------------------------------- FACE AMOUNT RATING(C) SECURITY VALUE - -------------------------------------------------------------------------------------------------- CONVERTIBLE BONDS AND NOTES -- 69.8% - -------------------------------------------------------------------------------------------------- AUTOMOTIVE -- 2.6% $ 75,000 BBB American Axle & Manufacturing Inc., 2.000% due 2/15/24 (b)....................................................... 70,594 4,760,000 BBB- Lear Corp., zero coupon due 2/20/22......................... 2,439,500 - -------------------------------------------------------------------------------------------------- 2,510,094 - --------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 4 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 CONVERTIBLE SECURITIES PORTFOLIO
FACE AMOUNT RATING(C) SECURITY VALUE - -------------------------------------------------------------------------------------------------- BIOTECHNOLOGY -- 1.1% Inhale Therapeutic Systems, Inc.: $ 250,000 NR 3.500% due 10/17/07....................................... $ 240,313 300,000 NR 3.500% due 10/17/07 (b)................................... 288,375 600,000 NR Invitrogen Corp., 1.500% due 2/15/24 (b).................... 566,250 - -------------------------------------------------------------------------------------------------- 1,094,938 - -------------------------------------------------------------------------------------------------- COMMERCIAL SERVICES -- 1.2% 1,175,000 Ba1* Beazer Homes USA, Inc., 4.625% due 6/15/24 (b).............. 1,183,812 - -------------------------------------------------------------------------------------------------- COMPUTER SERVICES -- 2.6.% 500,000 NR DST Systems, Inc., 4.125% due 8/15/23 (b)................... 627,500 1,916,000 BBB- Electric Data Systems Corp., 3.875% due 7/15/23............. 1,848,940 - -------------------------------------------------------------------------------------------------- 2,476,440 - -------------------------------------------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES -- 6.1% 4,750,000 AAA American International Group, Inc., zero coupon due 11/9/31................................................... 3,140,937 4,770,000 Aa3* Merrill Lynch & Co., Inc., zero coupon due 5/23/31.......... 2,629,463 50,000 B Providian Financial Corp., 4.000% due 5/15/08............... 63,812 - -------------------------------------------------------------------------------------------------- 5,834,212 - -------------------------------------------------------------------------------------------------- ELECTRIC -- 1.5% 900,000 BBB- CenterPoint Energy, Inc., 3.750% due 5/15/23 (b)............ 1,026,000 350,000 BBB PPL Energy Supply LLC, 2.625% due 5/15/23 (b)............... 362,250 - -------------------------------------------------------------------------------------------------- 1,388,250 - -------------------------------------------------------------------------------------------------- ELECTRONICS -- 2.2% 800,000 BB Agilent Technologies Inc., 3.000% due 12/1/24............... 846,000 2,400,000 BBB- Arrow Electronics Inc., zero coupon due 2/21/21............. 1,284,000 - -------------------------------------------------------------------------------------------------- 2,130,000 - -------------------------------------------------------------------------------------------------- GOLD MINING -- 0.1% 100,000 BBB+ Placer Dome Inc., 2.750% due 10/15/23 (b)................... 113,500 - -------------------------------------------------------------------------------------------------- HEALTHCARE -- 5.1% Health Management Associates, Inc.: 1,400,000 BBB+ 1.500% due 8/1/23......................................... 1,475,250 1,200,000 BBB+ 1.500% due 8/1/23 (b)..................................... 1,264,500 830,000 NR Lincare Holdings Inc., 3.000% due 6/15/33................... 822,737 Universal Health Services, Inc.: 1,700,000 BBB 0.426% due 6/23/20........................................ 1,017,875 450,000 BBB 0.426% due 6/23/20 (b).................................... 269,438 - -------------------------------------------------------------------------------------------------- 4,849,800 - -------------------------------------------------------------------------------------------------- LEISURE TIME -- 6.0% 1,325,000 BBB- Four Seasons Hotels Inc., 1.875% due 7/30/24................ 1,401,187 1,270,000 B+ Host Marriott L.P., 3.250% due 3/15/24 (b).................. 1,219,200 1,950,000 BB+ Royal Caribbean Cruises Ltd., zero coupon due 2/2/21........ 1,053,000 3,500,000 BB+ Starwood Hotels & Resorts Worldwide, Inc., zero coupon due 5/25/21................................................... 2,043,125 - -------------------------------------------------------------------------------------------------- 5,716,512 - --------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 5 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 CONVERTIBLE SECURITIES PORTFOLIO
FACE AMOUNT RATING(C) SECURITY VALUE - -------------------------------------------------------------------------------------------------- MANUFACTURING -- 4.8% $ 150,000 NR Ciber Inc., 2.875% due 12/15/23 (b)......................... $ 143,063 50,000 B- The Goodyear Tire & Rubber Co., 4.000% due 6/15/34 (b)...... 50,875 1,800,000 BB+ SPX Corp., zero coupon due 2/6/21........................... 1,143,000 Tyco International Group, S.A.: 300,000 BBB 2.750% due 1/15/18 (b).................................... 452,250 1,700,000 BBB 3.125% due 1/15/23 (b).................................... 2,760,375 - -------------------------------------------------------------------------------------------------- 4,549,563 - -------------------------------------------------------------------------------------------------- MEDIA -- 9.2% 1,000,000 NR Adelphia Communications Corp., 6.000% due 2/15/06 (d)....... 380,000 1,330,000 Ca* Charter Communications Inc., 4.750% due 6/1/06.............. 1,233,575 Liberty Media Corp.: 175,000 BBB- 0.750% due 3/30/23........................................ 200,594 500,000 BBB- 0.750% due 3/30/23 (b).................................... 573,125 2,100,000 BBB- 4.000% due 11/15/29....................................... 1,480,500 1,200,000 BBB- 3.500% due 1/15/31........................................ 1,089,000 3,500,000 BBB+ The Walt Disney Co., 2.125% due 4/15/23..................... 3,771,250 - -------------------------------------------------------------------------------------------------- 8,728,044 - -------------------------------------------------------------------------------------------------- OIL AND GAS -- 9.0% 350,000 A- Cooper Cameron Corp., 1.500% due 5/15/24 (b)................ 349,125 2,130,000 A Diamond Offshore Drilling Inc., 1.500% due 4/15/31.......... 1,980,900 Global Marine Inc.: 3,000,000 A- Zero coupon due 6/23/20................................... 1,751,250 600,000 A- Zero coupon due 6/23/20 (b)............................... 350,250 Halliburton Co.: 700,000 BBB 3.125% due 7/15/23........................................ 752,500 1,000,000 BBB 3.125% due 7/15/23 (b).................................... 1,075,000 Hanover Compressor Co.: 300,000 B 4.750% due 3/15/08........................................ 280,125 75,000 B 4.750% due 1/15/14........................................ 85,313 1,800,000 A+ Schlumberger Ltd., 1.500% due 6/1/23........................ 1,914,750 - -------------------------------------------------------------------------------------------------- 8,539,213 - -------------------------------------------------------------------------------------------------- PHARMACEUTICALS -- 4.9% 1,730,000 B Advanced Medical Optics, Inc., 2.500% due 7/15/24 (b)....... 1,900,838 400,000 A Allergan, Inc., zero coupon due 11/6/22 (b)................. 426,000 Cephalon Inc.: 600,000 B- Tranche A, zero coupon due 6/15/33 (b).................... 630,750 800,000 B- Tranche B, zero coupon due 6/15/33 (b).................... 864,000 500,000 NR IVAX Corp., 1.500% due 3/1/24 (b)........................... 513,750 Valeant Pharmaceuticals International: 75,000 B1* 3.000% due 8/16/10 (b).................................... 71,813 75,000 B1* 4.000% due 11/15/13 (b)................................... 71,062 200,000 BBB- Watson Pharmaceuticals, Inc., 1.750% due 3/15/23 (b)........ 189,750 - -------------------------------------------------------------------------------------------------- 4,667,963 - --------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 6 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 CONVERTIBLE SECURITIES PORTFOLIO
FACE AMOUNT RATING(C) SECURITY VALUE - -------------------------------------------------------------------------------------------------- RETAIL -- 6.0% Best Buy Co., Inc.: $ 500,000 Baa3* 2.250% due 1/15/22........................................ $ 520,625 300,000 Baa3* 2.250% due 1/15/22 (b).................................... 312,375 1,500,000 BB+ The Gap, Inc., 5.750% due 3/15/09........................... 2,340,000 J.C. Penney Co. Inc.: 1,150,000 BB- 5.000% due 10/15/08....................................... 1,543,875 750,000 BB- 5.000% due 10/15/08 (b)................................... 1,006,875 - -------------------------------------------------------------------------------------------------- 5,723,750 - -------------------------------------------------------------------------------------------------- TELECOMMUNICATIONS -- 7.4% 1,500,000 BBB- Amdocs Ltd., 0.500% due 3/15/24 (b)......................... 1,340,625 Anixter International Inc.: 1,400,000 BB+ Zero coupon due 7/7/33.................................... 719,250 1,400,000 BB+ Zero coupon due 7/7/33 (b)................................ 1,618,312 150,000 Ba3* CommScope, Inc., 1.000% due 3/15/24 (b)..................... 173,437 100,000 NR Tekelec Inc., 2.250% due 6/15/08 (b)........................ 116,625 5,000,000 A+ Verizon Global Funding Corp., zero coupon due 5/15/21....... 3,043,750 - -------------------------------------------------------------------------------------------------- 7,011,999 - -------------------------------------------------------------------------------------------------- TOTAL CONVERTIBLE BONDS AND NOTES (Cost -- $62,437,621)..... 66,518,090 - -------------------------------------------------------------------------------------------------- SUB-TOTAL INVESTMENTS (Cost -- $79,951,482)................. 84,729,022 - -------------------------------------------------------------------------------------------------- REPURCHASE AGREEMENT -- 11.1% 10,589,000 State Street Bank and Trust Co. dated 6/30/04, 1.150% due 7/1/04; Proceeds at maturity -- $10,589,338; (Fully collateralized by U.S. Treasury Bonds, 8.750% due 5/15/17; Market value -- $10,805,200) (Cost -- $10,589,000)........ 10,589,000 - -------------------------------------------------------------------------------------------------- TOTAL INVESTMENTS -- 100.0% (Cost -- $90,540,482**)......... $95,318,022 - --------------------------------------------------------------------------------------------------
(a) Non-income producing security. (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) All ratings are by Standard & Poor's Ratings Service, except for those that are identified by an asterisk (*), which are rated by Moody's Investors Service. (d) Security is currently in default. ** Aggregate cost for Federal income tax purposes is substantially the same. See page 18 for definitions of ratings. SEE NOTES TO FINANCIAL STATEMENTS. 7 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 MFS MID CAP GROWTH PORTFOLIO
SHARES SECURITY VALUE - --------------------------------------------------------------------------------------- COMMON STOCK -- 96.3% - --------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY -- 18.8% HOTELS, RESTAURANTS AND LEISURE -- 4.8% 44,980 The Cheesecake Factory Inc.+................................ $ 1,789,754 20,260 Four Seasons Hotels, Inc. .................................. 1,219,855 16,600 GTECH Holdings Corp. ....................................... 768,746 35,920 International Game Technology............................... 1,386,512 15,960 Outback Steakhouse, Inc. ................................... 660,106 14,040 P.F. Chang's China Bistro, Inc.+............................ 577,746 61,870 Royal Caribbean Cruises Ltd. ............................... 2,685,777 36,530 WMS Industries Inc.+........................................ 1,088,594 - --------------------------------------------------------------------------------------- 10,177,090 - --------------------------------------------------------------------------------------- INTERNET AND CATALOG RETAIL -- 0.9% 62,546 InterActiveCorp+............................................ 1,885,136 - --------------------------------------------------------------------------------------- MEDIA -- 7.2% 218,760 Citadel Broadcasting Co.+................................... 3,187,333 96,760 EchoStar Communications Corp., Class A Shares+.............. 2,975,370 3,500 Entercom Communications Corp.+.............................. 130,550 66,420 Getty Images, Inc.+......................................... 3,985,200 58,300 Meredith Corp. ............................................. 3,204,168 67,510 Westwood One, Inc.+......................................... 1,606,738 - --------------------------------------------------------------------------------------- 15,089,359 - --------------------------------------------------------------------------------------- MULTILINE RETAIL -- 1.9% 120,400 99 Cents Only Stores+....................................... 1,836,100 68,400 Family Dollar Stores, Inc. ................................. 2,080,728 - --------------------------------------------------------------------------------------- 3,916,828 - --------------------------------------------------------------------------------------- SPECIALTY RETAIL -- 2.9% 56,220 Pacific Sunwear of California, Inc.+........................ 1,100,225 74,040 PETsMART, Inc. ............................................. 2,402,598 67,580 Tiffany & Co. .............................................. 2,490,323 - --------------------------------------------------------------------------------------- 5,993,146 - --------------------------------------------------------------------------------------- TEXTILES AND APPAREL -- 1.1% 52,320 Coach, Inc.+................................................ 2,364,341 - --------------------------------------------------------------------------------------- TOTAL CONSUMER DISCRETIONARY................................ 39,425,900 - --------------------------------------------------------------------------------------- ENERGY -- 1.9% ENERGY EQUIPMENT AND SERVICES -- 1.9% 46,570 BJ Services Co.+............................................ 2,134,769 31,790 Cooper Cameron Corp.+....................................... 1,548,173 9,800 GlobalSantaFe Corp. ........................................ 259,700 - --------------------------------------------------------------------------------------- TOTAL ENERGY................................................ 3,942,642 - --------------------------------------------------------------------------------------- FINANCIALS -- 4.5% BANKS -- 1.2% 60,300 Investors Financial Services Corp. ......................... 2,627,874 - ---------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 8 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 MFS MID CAP GROWTH PORTFOLIO
SHARES SECURITY VALUE - --------------------------------------------------------------------------------------- DIVERSIFIED FINANCIALS -- 3.3% 227,620 Ameritrade Holding Corp.+................................... $ 2,583,487 8,200 The Chicago Mercantile Exchange............................. 1,183,834 34,420 Legg Mason, Inc. ........................................... 3,132,564 - --------------------------------------------------------------------------------------- 6,899,885 - --------------------------------------------------------------------------------------- TOTAL FINANCIALS............................................ 9,527,759 - --------------------------------------------------------------------------------------- HEALTHCARE -- 26.1% BIOTECHNOLOGY -- 9.1% 22,470 Biogen Idec Inc.+........................................... 1,421,228 26,700 Celgene Corp.+.............................................. 1,528,842 37,900 Gen-Probe Inc.+............................................. 1,793,428 89,130 Genzyme Corp.+.............................................. 4,218,523 50,430 Gilead Sciences, Inc.+...................................... 3,378,810 44,350 Invitrogen Corp.+........................................... 3,192,756 103,630 MedImmune, Inc.+............................................ 2,424,942 13,120 Neurocrine Biosciences, Inc.+............................... 680,272 21,170 Protein Design Labs, Inc.+.................................. 404,982 - --------------------------------------------------------------------------------------- 19,043,783 - --------------------------------------------------------------------------------------- HEALTHCARE EQUIPMENT AND SUPPLIES -- 12.1% 58,960 C.R. Bard, Inc. ............................................ 3,340,084 253,870 Cytyc Corp.+................................................ 6,440,682 65,870 DENTSPLY International Inc. ................................ 3,431,827 53,130 Fisher Scientific International+............................ 3,068,257 60,960 Guidant Corp. .............................................. 3,406,445 84,460 Millipore Corp.+............................................ 4,761,010 101,300 Thoratec Corp.+............................................. 1,086,949 - --------------------------------------------------------------------------------------- 25,535,254 - --------------------------------------------------------------------------------------- HEALTHCARE PROVIDERS AND SERVICES -- 1.4% 52,100 Community Health Systems Inc.+.............................. 1,394,717 122,950 Tenet Healthcare Corp.+..................................... 1,648,760 - --------------------------------------------------------------------------------------- 3,043,477 - --------------------------------------------------------------------------------------- PHARMACEUTICALS -- 3.5% 12,820 Allergan, Inc. ............................................. 1,147,646 49,900 Elan Corp. PLC, Sponsored ADR+.............................. 1,234,526 55,900 Endo Pharmaceuticals Holdings, Inc.+........................ 1,310,855 91,860 Medicis Pharmaceutical Corp., Class A Shares................ 3,669,807 - --------------------------------------------------------------------------------------- 7,362,834 - --------------------------------------------------------------------------------------- TOTAL HEALTHCARE............................................ 54,985,348 - --------------------------------------------------------------------------------------- INDUSTRIALS -- 12.4% AIR FREIGHT AND COURIERS -- 1.0% 42,340 Expeditors International of Washington, Inc. ............... 2,092,019 - --------------------------------------------------------------------------------------- AIRLINES -- 0.9% 60,850 JetBlue Airways Corp.+...................................... 1,787,773 - --------------------------------------------------------------------------------------- BUILDING PRODUCTS -- 0.4% 21,180 American Standard Cos. Inc.+................................ 853,766 - ---------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 9 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 MFS MID CAP GROWTH PORTFOLIO
SHARES SECURITY VALUE - --------------------------------------------------------------------------------------- COMMERCIAL SERVICES AND SUPPLIES -- 9.9% 39,220 Alliance Data Systems Corp.+................................ $ 1,657,045 6,200 Apollo Group, Inc., Class A Shares+......................... 547,398 50,710 Career Education Corp.+..................................... 2,310,348 76,460 Ceridian Corp.+............................................. 1,720,350 99,400 Corinthian Colleges, Inc.+.................................. 2,459,156 56,400 The Corporate Executive Board Co.+.......................... 3,259,356 49,170 DST Systems, Inc.+.......................................... 2,364,585 47,000 Manpower Inc. .............................................. 2,386,190 113,590 Monster Worldwide, Inc.+.................................... 2,921,535 42,530 Robert Half International Inc.+............................. 1,266,118 - --------------------------------------------------------------------------------------- 20,892,081 - --------------------------------------------------------------------------------------- TRADING COMPANIES AND DISTRIBUTORS -- 0.2% 14,560 MSC Industrial Direct Co., Class A Shares................... 478,150 - --------------------------------------------------------------------------------------- TOTAL INDUSTRIALS........................................... 26,103,789 - --------------------------------------------------------------------------------------- INFORMATION TECHNOLOGY -- 25.5% COMMUNICATIONS EQUIPMENT -- 5.7% 54,060 Andrew Corp.+............................................... 1,081,741 202,600 Comverse Technology, Inc.+.................................. 4,039,844 23,800 F5 Networks, Inc.+.......................................... 630,224 82,500 Foundry Networks, Inc.+..................................... 1,160,775 30,050 Harris Corp. ............................................... 1,525,038 32,460 Interdigital Communications Corp.+.......................... 610,573 120,714 Juniper Networks, Inc.+..................................... 2,965,943 - --------------------------------------------------------------------------------------- 12,014,138 - --------------------------------------------------------------------------------------- COMPUTERS AND PERIPHERALS -- 0.9% 10,600 Lexmark International, Inc., Class A Shares+................ 1,023,218 40,900 Network Appliance, Inc.+.................................... 880,577 - --------------------------------------------------------------------------------------- 1,903,795 - --------------------------------------------------------------------------------------- ELECTRONIC EQUIPMENT AND INSTRUMENTS -- 2.4% 15,600 Amphenol Corp., Class A Shares+............................. 519,792 51,460 Thermo Electron Corp.+...................................... 1,581,880 59,610 Waters Corp.+............................................... 2,848,166 - --------------------------------------------------------------------------------------- 4,949,838 - --------------------------------------------------------------------------------------- SEMICONDUCTOR EQUIPMENT AND PRODUCTS -- 5.7% 23,250 Analog Devices, Inc.+....................................... 1,094,610 14,660 Cymer, Inc.+................................................ 548,870 93,440 Integrated Circuit Systems, Inc.+........................... 2,537,830 122,160 Marvell Technology Group Ltd.+.............................. 3,261,672 74,370 Novellus Systems, Inc.+..................................... 2,338,193 153,600 PMC-Sierra, Inc.+........................................... 2,204,160 - --------------------------------------------------------------------------------------- 11,985,335 - ---------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 10 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 MFS MID CAP GROWTH PORTFOLIO
SHARES SECURITY VALUE - --------------------------------------------------------------------------------------- SOFTWARE -- 10.8% 156,110 Amdocs Ltd.+................................................ $ 3,657,657 41,580 Ascential Software Corp.+................................... 664,864 41,100 Electronic Arts Inc.+....................................... 2,242,005 60,900 Intuit Inc.+................................................ 2,349,522 43,900 Mercury Interactive Corp.+.................................. 2,187,537 92,700 Network Associates, Inc.+................................... 1,680,651 145,600 PeopleSoft, Inc.+........................................... 2,693,600 81,600 Red Hat, Inc.+.............................................. 1,874,352 44,750 Symantec Corp.+............................................. 1,959,155 123,130 VERITAS Software Corp.+..................................... 3,410,701 - --------------------------------------------------------------------------------------- 22,720,044 - --------------------------------------------------------------------------------------- TOTAL INFORMATION TECHNOLOGY................................ 53,573,150 - --------------------------------------------------------------------------------------- MATERIALS -- 0.5% CHEMICALS -- 0.5% 65,370 Lyondell Chemical Co. ...................................... 1,136,784 - --------------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES -- 6.6% DIVERSIFIED TELECOMMUNICATION SERVICES -- 2.7% 3,980 Covad Communications Group, Inc.+........................... 9,552 48,190 NTL Inc.+................................................... 2,776,708 66,430 SpectraSite Inc.+........................................... 2,871,105 - --------------------------------------------------------------------------------------- 5,657,365 - --------------------------------------------------------------------------------------- WIRELESS TELECOMMUNICATION SERVICES -- 3.9% 333,660 American Tower Corp., Class A Shares+....................... 5,071,632 217,500 Crown Castle International Corp.+........................... 3,208,125 - --------------------------------------------------------------------------------------- 8,279,757 - --------------------------------------------------------------------------------------- TOTAL TELECOMMUNICATION SERVICES............................ 13,937,122 - --------------------------------------------------------------------------------------- TOTAL COMMON STOCK (Cost -- $166,355,806)................... 202,632,494 - --------------------------------------------------------------------------------------- FOREIGN STOCK -- 1.3% - --------------------------------------------------------------------------------------- CANADA -- 1.3% 20,400 Aber Diamond Corp.+......................................... 603,357 129,760 Coolbrands International Inc.+.............................. 2,119,755 - --------------------------------------------------------------------------------------- TOTAL FOREIGN STOCK (Cost -- $2,740,518).................... 2,723,112 - --------------------------------------------------------------------------------------- SUB-TOTAL INVESTMENTS (Cost -- $169,096,324)................ 205,355,606 - ---------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 11 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 MFS MID CAP GROWTH PORTFOLIO
FACE AMOUNT SECURITY VALUE - --------------------------------------------------------------------------------------- SHORT-TERM INVESTMENT -- 2.4% $5,030,000 Federal Home Loan Bank Discount Notes, zero coupon due 7/1/04 (Cost -- $5,030,000)........................................ $ 5,030,000 - --------------------------------------------------------------------------------------- TOTAL INVESTMENTS -- 100.0% (Cost -- $174,126,324*)......... $210,385,606 - ---------------------------------------------------------------------------------------
+ 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. 12 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 MERRILL LYNCH LARGE CAP CORE PORTFOLIO
SHARES SECURITY VALUE - ----------------------------------------------------------------------------------------- COMMON STOCK -- 99.2% - ----------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY -- 21.6% AUTO COMPONENTS -- 0.9% 19,000 Lear Corp. ................................................. $ 1,120,810 - ----------------------------------------------------------------------------------------- AUTOMOBILES -- 1.6% 38,000 Ford Motor Co. ............................................. 594,700 29,000 General Motors Corp. ....................................... 1,351,110 - ----------------------------------------------------------------------------------------- 1,945,810 - ----------------------------------------------------------------------------------------- HOTELS, RESTAURANTS AND LEISURE -- 1.2% 56,000 McDonald's Corp. ........................................... 1,456,000 - ----------------------------------------------------------------------------------------- HOUSEHOLD DURABLES -- 6.7% 42,000 D.R. Horton, Inc. .......................................... 1,192,800 17,000 Fortune Brands, Inc. ....................................... 1,282,310 17,000 KB HOME..................................................... 1,166,710 22,000 Lennar Corp., Class A Shares................................ 983,840 23,000 Pulte Homes, Inc. .......................................... 1,196,690 13,000 The Ryland Group, Inc. ..................................... 1,016,600 26,000 Toll Brothers, Inc.+........................................ 1,100,320 - ----------------------------------------------------------------------------------------- 7,939,270 - ----------------------------------------------------------------------------------------- MEDIA -- 1.0% 20,000 Getty Images, Inc.+......................................... 1,200,000 - ----------------------------------------------------------------------------------------- MULTILINE RETAIL -- 3.3% 35,000 J.C. Penney Co., Inc. ...................................... 1,321,600 42,000 The May Department Stores Co. .............................. 1,154,580 29,000 Nordstrom, Inc. ............................................ 1,235,690 4,000 Wal-Mart Stores, Inc. ...................................... 211,040 - ----------------------------------------------------------------------------------------- 3,922,910 - ----------------------------------------------------------------------------------------- SPECIALTY RETAIL -- 6.6% 28,000 Abercrombie & Fitch Co., Class A Shares+.................... 1,085,000 27,000 Chico's FAS, Inc.+.......................................... 1,219,320 44,000 Foot Locker, Inc. .......................................... 1,070,960 56,000 The Gap, Inc. .............................................. 1,358,000 57,000 The Home Depot, Inc. ....................................... 2,006,400 9,000 PETsMART, Inc. ............................................. 292,050 32,000 The TJX Cos., Inc. ......................................... 772,480 - ----------------------------------------------------------------------------------------- 7,804,210 - ----------------------------------------------------------------------------------------- TEXTILES AND APPAREL -- 0.3% 7,000 Coach, Inc.+................................................ 316,330 - ----------------------------------------------------------------------------------------- TOTAL CONSUMER DISCRETIONARY................................ 25,705,340 - ----------------------------------------------------------------------------------------- CONSUMER STAPLES -- 4.6% FOOD AND DRUG RETAILING -- 0.2% 32,000 Rite Aid Corp.+............................................. 167,040 - -----------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 13 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 MERRILL LYNCH LARGE CAP CORE PORTFOLIO
SHARES SECURITY VALUE - ----------------------------------------------------------------------------------------- FOOD PRODUCTS -- 2.9% 78,000 Archer-Daniels-Midland Co. ................................. $ 1,308,840 21,000 Kellogg Co. ................................................ 878,850 62,000 Tyson Foods, Inc., Class A Shares........................... 1,298,900 - ----------------------------------------------------------------------------------------- 3,486,590 - ----------------------------------------------------------------------------------------- HOUSEHOLD PRODUCTS -- 0.3% 6,000 The Procter & Gamble Co. ................................... 326,640 - ----------------------------------------------------------------------------------------- PERSONAL PRODUCTS -- 1.2% 31,000 Avon Products, Inc. ........................................ 1,430,340 - ----------------------------------------------------------------------------------------- TOTAL CONSUMER STAPLES...................................... 5,410,610 - ----------------------------------------------------------------------------------------- ENERGY -- 10.7% OIL AND GAS -- 10.7% 17,000 Amerada Hess Corp. ......................................... 1,346,230 24,000 Anadarko Petroleum Corp. ................................... 1,406,400 24,000 ChevronTexaco Corp. ........................................ 2,258,640 22,000 ConocoPhillips.............................................. 1,678,380 45,000 Exxon Mobil Corp. .......................................... 1,998,450 24,000 Kerr-McGee Corp. ........................................... 1,290,480 20,000 Sunoco, Inc. ............................................... 1,272,400 19,000 Valero Energy Corp. ........................................ 1,401,440 - ----------------------------------------------------------------------------------------- TOTAL ENERGY................................................ 12,652,420 - ----------------------------------------------------------------------------------------- FINANCIALS -- 12.2% BANKS -- 0.5% 8,000 Bank of America Corp. ...................................... 676,960 - ----------------------------------------------------------------------------------------- DIVERSIFIED FINANCIALS -- 4.6% 19,000 Countrywide Financial Corp. ................................ 1,334,750 98,000 E*TRADE Financial Corp.+.................................... 1,092,700 50,000 J.P. Morgan Chase & Co. .................................... 1,938,500 12,000 Legg Mason, Inc. ........................................... 1,092,120 - ----------------------------------------------------------------------------------------- 5,458,070 - ----------------------------------------------------------------------------------------- INSURANCE -- 7.1% 26,000 ACE Ltd. ................................................... 1,099,280 33,000 Allstate Corp. ............................................. 1,536,150 9,000 American International Group, Inc. ......................... 641,520 6,000 Fidelity National Financial, Inc. .......................... 224,040 20,000 The Hartford Financial Services Group, Inc. ................ 1,374,800 28,000 Lincoln National Corp. ..................................... 1,323,000 4,000 Loews Corp. ................................................ 239,840 20,000 MBIA Inc. .................................................. 1,142,400 22,000 Nationwide Financial Services, Inc. ........................ 827,420 - ----------------------------------------------------------------------------------------- 8,408,450 - ----------------------------------------------------------------------------------------- TOTAL FINANCIALS............................................ 14,543,480 - -----------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 14 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 MERRILL LYNCH LARGE CAP CORE PORTFOLIO
SHARES SECURITY VALUE - ----------------------------------------------------------------------------------------- HEALTHCARE -- 11.6% BIOTECHNOLOGY -- 3.0% 22,000 Charles River Laboratories International, Inc.+............. $ 1,075,140 22,000 Genentech, Inc.+............................................ 1,236,400 17,000 Invitrogen Corp.+........................................... 1,223,830 - ----------------------------------------------------------------------------------------- 3,535,370 - ----------------------------------------------------------------------------------------- HEALTHCARE EQUIPMENT AND SUPPLIES -- 2.2% 2,000 Beckman Coulter, Inc. ...................................... 122,000 26,000 Becton Dickinson & Co. ..................................... 1,346,800 20,000 Fisher Scientific International Inc.+....................... 1,155,000 - ----------------------------------------------------------------------------------------- 2,623,800 - ----------------------------------------------------------------------------------------- HEALTHCARE PROVIDERS AND SERVICES -- 4.3% 15,000 Anthem, Inc.+............................................... 1,343,400 19,000 CIGNA Corp. ................................................ 1,307,390 21,000 DaVita, Inc.+............................................... 647,430 33,000 PacifiCare Health Systems, Inc.+............................ 1,275,780 77,000 Service Corp. International+................................ 567,490 - ----------------------------------------------------------------------------------------- 5,141,490 - ----------------------------------------------------------------------------------------- PHARMACEUTICALS -- 2.1% 11,000 Johnson & Johnson........................................... 612,700 55,000 Pfizer Inc. ................................................ 1,885,400 - ----------------------------------------------------------------------------------------- 2,498,100 - ----------------------------------------------------------------------------------------- TOTAL HEALTHCARE............................................ 13,798,760 - ----------------------------------------------------------------------------------------- INDUSTRIALS -- 7.8% AIR FREIGHT AND COURIERS -- 0.2% 6,000 Ryder Systems, Inc. ........................................ 240,420 - ----------------------------------------------------------------------------------------- ELECTRICAL EQUIPMENT -- 1.1% 34,000 Rockwell Automation, Inc. .................................. 1,275,340 - ----------------------------------------------------------------------------------------- INDUSTRIAL CONGLOMERATES -- 4.3% 74,000 General Electric Co. ....................................... 2,397,600 40,000 Honeywell International Inc. ............................... 1,465,200 21,000 Textron Inc. ............................................... 1,246,350 - ----------------------------------------------------------------------------------------- 5,109,150 - ----------------------------------------------------------------------------------------- MACHINERY -- 1.0% 20,000 Cummins Inc. ............................................... 1,250,000 - ----------------------------------------------------------------------------------------- ROAD AND RAIL -- 1.2% 52,000 Norfolk Southern Corp. ..................................... 1,379,040 - ----------------------------------------------------------------------------------------- TOTAL INDUSTRIALS........................................... 9,253,950 - -----------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 15 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 MERRILL LYNCH LARGE CAP CORE PORTFOLIO
SHARES SECURITY VALUE - ----------------------------------------------------------------------------------------- INFORMATION TECHNOLOGY -- 22.0% COMMUNICATIONS EQUIPMENT -- 7.7% 78,000 Avaya Inc.+................................................. $ 1,231,620 121,000 Cisco Systems, Inc.+........................................ 2,867,700 354,000 Lucent Technologies Inc.+................................... 1,338,120 91,000 Motorola, Inc. ............................................. 1,660,750 25,000 QUALCOMM Inc. .............................................. 1,824,500 22,000 Tellabs, Inc.+.............................................. 192,280 - ----------------------------------------------------------------------------------------- 9,114,970 - ----------------------------------------------------------------------------------------- COMPUTERS - MEMORY DEVICES -- 0.0% 27,200 Seagate Technology, Escrow Shares+.......................... 0 - ----------------------------------------------------------------------------------------- COMPUTERS AND PERIPHERALS -- 1.1% 5,000 International Business Machines Corp. ...................... 440,750 38,000 SanDisk Corp.+.............................................. 824,220 - ----------------------------------------------------------------------------------------- 1,264,970 - ----------------------------------------------------------------------------------------- ELECTRONIC EQUIPMENT AND INSTRUMENTS -- 1.7% 39,000 Agilent Technologies, Inc.+................................. 1,141,920 50,000 Vishay Intertechnology, Inc.+............................... 929,000 - ----------------------------------------------------------------------------------------- 2,070,920 - ----------------------------------------------------------------------------------------- IT CONSULTING AND SERVICES -- 0.9% 44,000 Cognizant Technology Solutions Corp.+....................... 1,118,040 - ----------------------------------------------------------------------------------------- OFFICE ELECTRONICS -- 1.2% 97,000 Xerox Corp.+................................................ 1,406,500 - ----------------------------------------------------------------------------------------- SEMICONDUCTOR EQUIPMENT AND PRODUCTS -- 5.6% 80,000 Advanced Micro Devices, Inc.+............................... 1,272,000 217,000 Atmel Corp.+................................................ 1,284,640 56,000 Cypress Semiconductor Corp.+................................ 794,640 29,000 Intel Corp. ................................................ 800,400 23,000 Silicon Laboratories Inc.+.................................. 1,066,050 57,000 Texas Instruments Inc. ..................................... 1,378,260 - ----------------------------------------------------------------------------------------- 6,595,990 - ----------------------------------------------------------------------------------------- SOFTWARE -- 3.8% 31,000 Autodesk, Inc. ............................................. 1,327,110 108,000 Microsoft Corp. ............................................ 3,084,480 18,000 Novell, Inc.+............................................... 151,020 - ----------------------------------------------------------------------------------------- 4,562,610 - ----------------------------------------------------------------------------------------- TOTAL INFORMATION TECHNOLOGY................................ 26,134,000 - ----------------------------------------------------------------------------------------- MATERIALS -- 5.3% CHEMICALS -- 1.0% 21,000 E.I. du Pont de Nemours & Co. .............................. 932,820 14,000 RPM International, Inc. .................................... 212,800 - ----------------------------------------------------------------------------------------- 1,145,620 - -----------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 16 - -------------------------------------------------------------------------------- SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004 MERRILL LYNCH LARGE CAP CORE PORTFOLIO
SHARES SECURITY VALUE - ----------------------------------------------------------------------------------------- METALS AND MINING -- 3.2% 17,000 Nucor Corp. ................................................ $ 1,304,920 16,000 Phelps Dodge Corp.+......................................... 1,240,160 36,000 United States Steel Corp. .................................. 1,264,320 - ----------------------------------------------------------------------------------------- 3,809,400 - ----------------------------------------------------------------------------------------- PAPER AND FOREST PRODUCTS -- 1.1% 37,000 Georgia-Pacific Corp. ...................................... 1,368,260 - ----------------------------------------------------------------------------------------- TOTAL MATERIALS............................................. 6,323,280 - ----------------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES -- 1.2% WIRELESS TELECOMMUNICATION SERVICES -- 1.2% 54,000 Nextel Communications, Inc., Class A Shares+................ 1,439,640 - ----------------------------------------------------------------------------------------- UTILITIES -- 2.2% ELECTRIC UTILITIES -- 2.2% 49,000 Edison International+....................................... 1,252,930 33,000 TXU Corp. .................................................. 1,336,830 - ----------------------------------------------------------------------------------------- TOTAL UTILITIES............................................. 2,589,760 - ----------------------------------------------------------------------------------------- TOTAL COMMON STOCK (Cost -- $109,187,277)................... 117,851,240 - -----------------------------------------------------------------------------------------
FACE AMOUNT SECURITY VALUE - --------------------------------------------------------------------------------------- REPURCHASE AGREEMENT -- 0.8% $999,000 State Street Bank and Trust Co. dated 6/30/04, 1.150% due 7/1/04; Proceeds at maturity -- $999,032; (Fully collateralized by U.S. Treasury Notes, 6.500% due 10/15/06; Market value -- $1,019,645) (Cost -- $999,000)............ 999,000 - --------------------------------------------------------------------------------------- TOTAL INVESTMENTS -- 100.0% (Cost -- $110,186,277*)......... $118,850,240 - ---------------------------------------------------------------------------------------
+ Non-income producing security. * Aggregate cost for Federal income tax purposes is substantially the same. SEE NOTES TO FINANCIAL STATEMENTS. 17 - -------------------------------------------------------------------------------- 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", "B", "CCC" and "CC" are regarded, on balance, as predominantly speculative with respect to the issuer's capacity to pay interest and repay principal in accordance with the terms of the obligation. "BB" indicates the lowest degree of speculation and "CC" the highest degree of speculation. While such bonds will likely have some quality and protective characteristics, these are outweighed by large uncertainties or major risk exposures to adverse conditions.
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 ranking 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 an issue. 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 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 thereby not well safeguarded during both good and bad times over the future. Uncertainty of position characterizes bonds in this class. B -- Bonds rated "B" generally lack characteristics of desirable investments. Assurance of interest and principal payments or of maintenance of other terms of the contract over any long period of time may be small. Caa -- Bonds rated "Caa" are of poor standing. Such issues may be in default, or there may be present elements of danger with respect to principal or interest. Ca -- Bonds rated "Ca" represent obligations which are speculative in a high degree. Such issues are often in default or have other marked shortcomings. C -- Bonds rated "C" are the lowest rated class of bonds, and issues so rated can be regarded as having extremely poor prospects of ever attaining any real investment standing. NR -- Indicates that the bond is not rated by Standard & Poor's or Moody's.
18 - -------------------------------------------------------------------------------- STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED) JUNE 30, 2004
MFS MERRILL LYNCH CONVERTIBLE MID CAP LARGE CAP SECURITIES GROWTH CORE PORTFOLIO PORTFOLIO PORTFOLIO - --------------------------------------------------------------------------------------------------------- ASSETS: Investments, at cost...................................... $79,951,482 $ 169,096,324 $109,187,277 Short-term investments, at cost........................... 10,589,000 5,030,000 999,000 - --------------------------------------------------------------------------------------------------------- Investments, at value..................................... $84,729,022 $ 205,355,606 $117,851,240 Short-term investments, at value.......................... 10,589,000 5,030,000 999,000 Cash...................................................... 406 17 442 Dividends and interest receivable......................... 359,887 30,059 84,851 Receivable for Fund shares sold........................... 38,760 28,230 -- Receivable for securities sold............................ -- 1,230,592 4,084,693 - --------------------------------------------------------------------------------------------------------- TOTAL ASSETS.............................................. 95,717,075 211,674,504 123,020,226 - --------------------------------------------------------------------------------------------------------- LIABILITIES: Payable for securities purchased.......................... 887,926 3,744,308 5,054,526 Investment advisory fees payable.......................... 45,699 133,442 75,452 Administration fees payable............................... 4,570 10,008 5,670 Payable for Fund shares reacquired........................ -- 116,833 64,230 Accrued expenses.......................................... 30,007 40,349 34,768 - --------------------------------------------------------------------------------------------------------- TOTAL LIABILITIES......................................... 968,202 4,044,940 5,234,646 - --------------------------------------------------------------------------------------------------------- TOTAL NET ASSETS............................................ $94,748,873 $ 207,629,564 $117,785,580 - --------------------------------------------------------------------------------------------------------- NET ASSETS: Paid-in capital........................................... $90,873,544 $ 409,166,061 $186,114,883 Undistributed net investment income....................... 1,063,515 -- 125,758 Accumulated net investment loss........................... -- (695,633) -- Accumulated net realized loss from investment transactions............................................ (1,965,726) (237,100,147) (77,119,986) Net unrealized appreciation of investments and foreign currencies.............................................. 4,777,540 36,259,283 8,664,925 - --------------------------------------------------------------------------------------------------------- TOTAL NET ASSETS............................................ $94,748,873 $ 207,629,564 $117,785,580 - --------------------------------------------------------------------------------------------------------- SHARES OUTSTANDING.......................................... 7,808,812 27,928,811 14,201,837 - --------------------------------------------------------------------------------------------------------- NET ASSET VALUE, PER SHARE.................................. $12.13 $7.43 $8.29 - ---------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 19 - -------------------------------------------------------------------------------- STATEMENTS OF OPERATIONS (UNAUDITED) FOR THE SIX MONTHS ENDED JUNE 30, 2004
MFS MERRILL LYNCH CONVERTIBLE MID CAP LARGE CAP SECURITIES GROWTH CORE PORTFOLIO PORTFOLIO PORTFOLIO - ------------------------------------------------------------------------------------------------------- INVESTMENT INCOME: Interest.................................................. $ 911,838 $ 22,109 $ 36,776 Dividends................................................. 477,973 223,358 642,166 Less: Foreign withholding tax............................. -- (1,039) (768) - ------------------------------------------------------------------------------------------------------- TOTAL INVESTMENT INCOME................................... 1,389,811 244,428 678,174 - ------------------------------------------------------------------------------------------------------- EXPENSES: Investment advisory fees (Note 2)......................... 256,040 810,675 466,013 Administration fees (Note 2).............................. 25,604 60,801 34,951 Audit and legal........................................... 17,255 18,299 18,336 Custody................................................... 9,727 30,989 16,833 Shareholder communications................................ 5,303 12,963 11,313 Trustees' fees............................................ 2,872 3,169 3,066 Transfer agency services.................................. 2,501 2,494 2,493 Other..................................................... 594 6,478 712 - ------------------------------------------------------------------------------------------------------- TOTAL EXPENSES............................................ 319,896 945,868 553,717 - ------------------------------------------------------------------------------------------------------- NET INVESTMENT INCOME (LOSS)................................ 1,069,915 (701,440) 124,457 - ------------------------------------------------------------------------------------------------------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES (NOTE 3): Realized Gain From: Investment transactions................................. 161,543 13,994,217 3,816,216 Foreign currency transactions........................... -- 5,807 1,441 - ------------------------------------------------------------------------------------------------------- NET REALIZED GAIN......................................... 161,543 14,000,024 3,817,657 - ------------------------------------------------------------------------------------------------------- Change in Net Unrealized Appreciation From: Investments............................................. 592,159 2,056,456 2,522,044 Foreign currencies...................................... -- (338) (2,000) - ------------------------------------------------------------------------------------------------------- INCREASE IN NET UNREALIZED APPRECIATION................... 592,159 2,056,118 2,520,044 - ------------------------------------------------------------------------------------------------------- NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES.............. 753,702 16,056,142 6,337,701 - ------------------------------------------------------------------------------------------------------- INCREASE IN NET ASSETS FROM OPERATIONS...................... $1,823,617 $15,354,702 $6,462,158 - -------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 20 - -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS FOR THE SIX MONTHS ENDED JUNE 30, 2004 (UNAUDITED) AND THE YEAR ENDED DECEMBER 31, 2003
CONVERTIBLE SECURITIES PORTFOLIO 2004 2003 - --------------------------------------------------------------------------------------- OPERATIONS: Net investment income..................................... $ 1,069,915 $ 2,126,998 Net realized gain (loss).................................. 161,543 (200,129) Increase in net unrealized appreciation................... 592,159 11,848,955 - --------------------------------------------------------------------------------------- INCREASE IN NET ASSETS FROM OPERATIONS.................... 1,823,617 13,775,824 - --------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income..................................... (26,438) (2,082,494) - --------------------------------------------------------------------------------------- DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO SHAREHOLDERS............................................ (26,438) (2,082,494) - --------------------------------------------------------------------------------------- FUND SHARE TRANSACTIONS (NOTE 5): Net proceeds from sale of shares.......................... 18,620,214 21,865,525 Net asset value of shares issued for reinvestment of dividends............................................... 26,438 2,082,494 Cost of shares reacquired................................. (2,026,337) (8,131,457) - --------------------------------------------------------------------------------------- INCREASE IN NET ASSETS FROM FUND SHARE TRANSACTIONS....... 16,620,315 15,816,562 - --------------------------------------------------------------------------------------- INCREASE IN NET ASSETS...................................... 18,417,494 27,509,892 NET ASSETS: Beginning of period....................................... 76,331,379 48,821,487 - --------------------------------------------------------------------------------------- END OF PERIOD*............................................ $94,748,873 $76,331,379 - --------------------------------------------------------------------------------------- * Includes undistributed net investment income of:.......... $1,063,515 $20,038 - ---------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 21 - -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) FOR THE SIX MONTHS ENDED JUNE 30, 2004 (UNAUDITED) AND THE YEAR ENDED DECEMBER 31, 2003
MFS MID CAP GROWTH PORTFOLIO 2004 2003 - ----------------------------------------------------------------------------------------- OPERATIONS: Net investment loss....................................... $ (701,440) $ (783,038) Net realized gain......................................... 14,000,024 11,062,320 Increase in net unrealized appreciation................... 2,056,118 39,853,745 - ----------------------------------------------------------------------------------------- INCREASE IN NET ASSETS FROM OPERATIONS.................... 15,354,702 50,133,027 - ----------------------------------------------------------------------------------------- FUND SHARE TRANSACTIONS (NOTE 5): Net proceeds from sale of shares.......................... 10,555,255 18,867,585 Cost of shares reacquired................................. (10,888,172) (14,613,961) - ----------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS FROM FUND SHARE TRANSACTIONS............................................ (332,917) 4,253,624 - ----------------------------------------------------------------------------------------- INCREASE IN NET ASSETS...................................... 15,021,785 54,386,651 NET ASSETS: Beginning of period....................................... 192,607,779 138,221,128 - ----------------------------------------------------------------------------------------- END OF PERIOD*............................................ $207,629,564 $192,607,779 - ----------------------------------------------------------------------------------------- * Includes accumulated net investment loss of:.............. $(695,633) -- - -----------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 22 - -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) FOR THE SIX MONTHS ENDED JUNE 30, 2004 (UNAUDITED) AND THE YEAR ENDED DECEMBER 31, 2003
MERRILL LYNCH LARGE CAP CORE PORTFOLIO 2004 2003 - ------------------------------------------------------------------------------------------ OPERATIONS: Net investment income..................................... $ 124,457 $ 721,954 Net realized gain......................................... 3,817,657 4,686,105 Increase in net unrealized appreciation................... 2,520,044 15,255,608 - ------------------------------------------------------------------------------------------ INCREASE IN NET ASSETS FROM OPERATIONS.................... 6,462,158 20,663,667 - ------------------------------------------------------------------------------------------ DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income..................................... (42,697) (723,790) - ------------------------------------------------------------------------------------------ DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO SHAREHOLDERS............................................ (42,697) (723,790) - ------------------------------------------------------------------------------------------ FUND SHARE TRANSACTIONS (NOTE 5): Net proceeds from sale of shares.......................... 2,990,093 2,493,380 Net asset value of shares issued for reinvestment of dividends............................................... 42,697 723,790 Cost of shares reacquired................................. (6,866,949) (13,967,138) - ------------------------------------------------------------------------------------------ DECREASE IN NET ASSETS FROM FUND SHARE TRANSACTIONS....... (3,834,159) (10,749,968) - ------------------------------------------------------------------------------------------ INCREASE IN NET ASSETS...................................... 2,585,302 9,189,909 NET ASSETS: Beginning of period....................................... 115,200,278 106,010,369 - ------------------------------------------------------------------------------------------ END OF PERIOD*............................................ $117,785,580 $115,200,278 - ------------------------------------------------------------------------------------------ * Includes undistributed net investment income of: ......... $125,758 $42,557 - ------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 23 - -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (UNAUDITED) 1. SIGNIFICANT ACCOUNTING POLICIES The Convertible Securities, MFS Mid Cap Growth and Merrill Lynch Large Cap Core Portfolios ("Fund(s)") are separate investment funds of The Travelers Series Trust ("Trust"). The Convertible Securities Portfolio and the Merrill Lynch Large Cap Core Portfolio are separate diversified investment funds of the Trust. The MFS Mid Cap Growth Portfolio is a separate non-diversified investment fund of the Trust. The Trust is a Massachusetts business trust registered under the Investment Company Act of 1940, as amended, as an open-end management investment company and consists of these Funds and thirteen other separate investment funds: Travelers Quality Bond, Lazard International Stock, MFS Emerging Growth, Federated High Yield, Federated Stock, Disciplined Mid Cap Stock, U.S. Government Securities, Social Awareness Stock, Pioneer Fund, Large Cap, Equity Income, Zero Coupon Bond Fund (Series 2005) and MFS Value Portfolios. The financial statements and financial highlights for the other funds are presented in separate shareholder reports. The Funds and the other investment funds 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 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 closing bid and asked prices; 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 or under the direction of the Board of Trustees; 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 traded in the over-the-counter market are valued at prices based on market quotations for securities of similar type; U.S. government agencies and obligations are valued at the mean between the last reported bid and asked prices; (c) securities maturing within 60 days are valued at cost plus accreted discount or minus amortized premium, which approximates value; (d) securities, other than U.S. government agencies, that have a maturity of 60 days or more are valued at prices based on market quotations for securities of similar type, yield and maturity; (e) securities for which market quotations are not available will be valued in good faith at fair value by or under the direction of the Board of Trustees; (f) interest income, adjusted for amortization of premium and accretion of discount, is recorded on an accrual basis and dividend income is recorded on the ex-dividend date; foreign dividends are recorded on the ex-dividend date or as soon as practical after the Fund determines the existence of a dividend declaration after exercising reasonable due diligence; (g) gains or losses on the sale of securities are calculated by using the specific identification method; (h) dividends and distributions to shareholders are recorded on the ex-dividend date; the Funds distribute dividends and capital gains, if any, at least annually; (i) the accounting records of the Funds are maintained in U.S. dollars. All assets and liabilities denominated in foreign currencies are translated into U.S. dollars on the date of valuation. Purchases and sales of securities, 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; (j) the character of income and gains to be distributed is determined in accordance with income tax regulations which may differ from GAAP; (k) the Funds intend to comply with the applicable provisions of the Internal Revenue Code of 1986, as amended, pertaining to regulated investment companies and to make distributions of taxable income sufficient to relieve it from substantially all Federal income and excise taxes; and (l) estimates and assumptions are required to be made regarding assets, liabilities and changes in net assets resulting from operations when financial statements are prepared. Changes in the economic environment, financial markets and any other parameters used in determining these estimates could cause actual results to differ. In addition, the MFS Mid Cap Growth and Merrill Lynch Large Cap Core Portfolios may enter into forward exchange contracts in order to hedge against foreign currency risk. These contracts are marked to market daily, by recognizing the difference between the contract exchange rate and the current forward rate as an unrealized gain or loss. Realized gains or losses are recognized when the contracts are settled or offset by entering into another forward exchange contract. 24 - -------------------------------------------------------------------------------- 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 Convertible Securities ("CS"), MFS Mid Cap Growth ("MMCG") and Merrill Lynch Large Cap Core ("MLLCC") Portfolios. CS, MMCG and MLLCC each pay TAMIC an investment advisory fee calculated at annual rates of 0.60%, 0.80% and 0.80% of each Fund's respective average daily net assets. These fees are calculated daily and paid monthly. TAMIC has entered into a sub-advisory agreement with Massachusetts Financial Services ("MFS"). Pursuant to the sub-advisory agreement, MFS is responsible for the day-to-day fund operations and investment decisions for MMCG. As a result, TAMIC pays MFS a sub-advisory fee at an annual rate of 0.375% of the average daily net assets of MMCG. TAMIC has also entered into a sub-advisory agreement with Merrill Lynch Investment Managers, L.P. ("MLIM"). Pursuant to the sub-advisory agreement, MLIM is responsible for the day-to-day fund operations and investment decisions and is compensated by TAMIC for such services at an annual rate of 0.375% of the average daily net assets of MLLCC. The Travelers Insurance Company ("TIC"), another indirect wholly-owned subsidiary of Citigroup, acts as administrator to the Funds. The Funds pay TIC an administration fee calculated at an annual rate of 0.06% of the average daily net assets of each respective Fund. This fee is calculated daily and paid monthly. TIC has entered into a sub-administrative 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 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. ("CGM"), 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 - ----------------------------------------------------------------------------------------- Convertible Securities Portfolio............................ $ 22,507,163 $10,933,369 MFS Mid Cap Growth Portfolio................................ 100,935,175 97,292,084 Merrill Lynch Large Cap Core Portfolio...................... 79,043,069 81,768,621 - -----------------------------------------------------------------------------------------
At June 30, 2004, the aggregate gross unrealized appreciation and depreciation of investments for Federal income tax purposes were substantially as follows:
NET UNREALIZED APPRECIATION DEPRECIATION APPRECIATION - ---------------------------------------------------------------------------------------------------------- Convertible Securities Portfolio............................ $ 6,552,284 $(1,774,744) $ 4,777,540 MFS Mid Cap Growth Portfolio................................ 40,536,804 (4,277,522) 36,259,282 Merrill Lynch Large Cap Core Portfolio...................... 10,996,388 (2,332,425) 8,663,963 - ----------------------------------------------------------------------------------------------------------
4. REPURCHASE AGREEMENTS When entering into repurchase agreements, it is the Funds' policy that a custodian takes possession of the underlying collateral securities, the value of which at least equals the principal amount of the repurchase transaction, including accrued interest. To the extent that any repurchase transaction exceeds one business day, the value of the collateral is marked-to-market to ensure the adequacy of the collateral. If the seller defaults and the value of the 25 - -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED) collateral declines or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Funds may be delayed or limited. At June 30, 2004, MMCG did not have any repurchase agreements outstanding. 5. 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 - ------------------------------------------------------------------------------ CONVERTIBLE SECURITIES PORTFOLIO Shares sold................................................. 1,542,522 1,960,310 Shares issued on reinvestment............................... 2,178 175,782 Shares reacquired........................................... (167,759) (754,259) - -------------------------------------------------------------------------------------------------- Net Increase................................................ 1,376,941 1,381,833 - -------------------------------------------------------------------------------------------------- MFS MID CAP GROWTH PORTFOLIO Shares sold................................................. 1,443,160 3,078,239 Shares reacquired........................................... (1,495,272) (2,635,504) - -------------------------------------------------------------------------------------------------- Net Increase (Decrease)..................................... (52,112) 442,735 - -------------------------------------------------------------------------------------------------- MERRILL LYNCH LARGE CAP CORE PORTFOLIO Shares sold................................................. 368,760 347,978 Shares issued on reinvestment............................... 5,169 92,361 Shares reacquired........................................... (841,158) (2,023,282) - -------------------------------------------------------------------------------------------------- Net Decrease................................................ (467,229) (1,582,943) - --------------------------------------------------------------------------------------------------
6. ADDITIONAL INFORMATION Citigroup has been notified by the Staff of the Securities and Exchange Commission ("SEC") that the Staff is considering recommending a civil injunctive action and/or an administrative proceeding against Citigroup Asset Management ("CAM"), including its applicable investment advisory companies and Citicorp Trust Bank ("CTB"), an internal transfer agent, relating to the creation and operation of the internal transfer agent unit to serve certain CAM-managed funds, including the Funds. This notification arises out of a previously disclosed investigation by the SEC and the U.S. Attorney and relates to CTB's entry in 1999 into the transfer agency business, CAM's retention of, and agreements with an unaffiliated sub transfer agent, the adequacy of the disclosures made to the fund boards that approved the transfer agency arrangements, (including CAM's failure to disclose a related revenue guarantee agreement benefiting CAM and its affiliates), and CAM's operation of and compensation for the transfer agency business. The revenue guarantee described above was terminated in 1999 and CAM will be paying the applicable funds, primarily through fee waivers, a total of approximately $17 million (plus interest) that is the amount of the revenue received by Citigroup relating to the revenue guarantee. Citigroup is cooperating fully in the investigation and will seek to resolve the matter in discussions with the SEC Staff. Although there can be no assurance, Citigroup does not believe that this matter will have a material adverse effect on the Funds. On August 12, 2004, CAM paid each Fund their allocable share of the amount described above through a waiver of their fees. The amount paid to each Fund is as follows: - --------------------------------------------------------------------- Convertible Securities Portfolio............................ $ 1,726 MFS Mid Cap Growth Portfolio................................ 1,707 Merrill Lynch Large Cap Core Portfolio...................... 1,726 - ---------------------------------------------------------------------
26 - -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED) 7. SUBSEQUENT EVENTS The Board of Trustees of the Trust, on behalf of MMCG, has approved an amendment to the investment advisory agreement between the MMCG 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 will be revised from the annual rates of 0.80% and 0.375%, respectively, of the average daily net assets of MMCG to a fee calculated at the annual rates in accordance with the following schedule:
INVESTMENT SUB-ADVISORY AVERAGE DAILY NET ASSETS ADVISORY FEE FEE - -------------------------------------------------------------------------- First $600 million.......................................... 0.800% 0.370% Next $300 million........................................... 0.775% 0.350% Next $600 million........................................... 0.750% 0.325% Next $1 billion............................................. 0.725% 0.300% Over $2.5 billion........................................... 0.675% 0.250% - --------------------------------------------------------------------------
The Board of Trustees of the Trust, on behalf of MLLCC, has approved an amendment to the investment advisory agreement between the MLLCC and TAMIC and an amendment to the sub-advisory agreement between TAMIC and MLIM. Effective September 1, 2004, the investment advisory fee and sub-advisory fee will be revised from the annual rates of 0.80% and 0.375%, respectively, of the average daily net assets of MLLCC to a fee calculated at the annual rates in accordance with the following schedule:
INVESTMENT SUB-ADVISORY AVERAGE DAILY NET ASSETS ADVISORY FEE FEE - -------------------------------------------------------------------------- First $250 million.......................................... 0.775% 0.350% Next $250 million........................................... 0.750% 0.325% Next $500 million........................................... 0.725% 0.300% Next $1 billion............................................. 0.700% 0.275% Over $2 billion............................................. 0.650% 0.225% - --------------------------------------------------------------------------
27 - -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS For a share of beneficial interest outstanding throughout each year ended December 31, unless otherwise noted:
CONVERTIBLE SECURITIES PORTFOLIO 2004(1) 2003(2) 2002(2) 2001(2) 2000(2) 1999(2) - -------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD...... $11.87 $ 9.67 $11.32 $12.06 $11.69 $ 9.86 - ------------------------------------------------------------------------------------------------------------- INCOME (LOSS) FROM OPERATIONS: Net investment income(3)(4)............. 0.14 0.39 0.45 0.47 0.58 0.46 Net realized and unrealized gain (loss)(4)............................ 0.12 2.15 (1.26) (0.56) 0.85 1.38 - ------------------------------------------------------------------------------------------------------------- Total Income (Loss) From Operations....... 0.26 2.54 (0.81) (0.09) 1.43 1.84 - ------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS FROM: Net investment income................... (0.00)* (0.34) (0.77) (0.21) (0.25) -- Net realized gains...................... -- -- (0.07) (0.44) (0.81) (0.01) - ------------------------------------------------------------------------------------------------------------- Total Distributions....................... (0.00)* (0.34) (0.84) (0.65) (1.06) (0.01) - ------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD............ $12.13 $11.87 $ 9.67 $11.32 $12.06 $11.69 - ------------------------------------------------------------------------------------------------------------- TOTAL RETURN(5)........................... 2.22%++ 26.26% (6.99)% (0.82)% 12.51% 18.70% - ------------------------------------------------------------------------------------------------------------- NET ASSETS, END OF PERIOD (000'S)......... $94,749 $76,331 $48,821 $50,356 $26,294 $11,238 - ------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: Expenses(3)(6).......................... 0.75%+ 0.78% 0.80% 0.79% 0.80% 0.80% Net investment income(4)................ 2.51+ 3.61 4.36 3.95 4.76 4.33 - ------------------------------------------------------------------------------------------------------------- PORTFOLIO TURNOVER RATE................... 14% 44% 46% 56% 48% 79% - -------------------------------------------------------------------------------------------------------------
(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 agreed to reimburse the Fund for expenses in the amounts of $6,833, $18,530 and $32,000 for the years ended December 31, 2002, December 31, 2000 and December 31, 1999, respectively. If such expenses were not reimbursed, the per share decreases to net investment income and the actual expense ratios would have been as follows:
DECREASES TO NET INVESTMENT EXPENSE RATIOS WITHOUT INCOME PER SHARE EXPENSE REIMBURSEMENTS --------------------------- ------------------------ 2002 2000 1999 2002 2000 1999 ------- ------ ------ ------ ----- ----- $0.00* $0.01 $0.05 0.81% 0.90% 1.23%
(4) 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, the ratio of net investment income to average net assets would have been 3.99%. 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. In addition, the impact of this change to net investment income and net realized and unrealized loss was less than $0.01 per share. (5) 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. (6) As a result of a voluntary expense limitation, the ratio of expenses to average net assets will not exceed 0.80%. * 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. 28 - -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (CONTINUED) For a share of beneficial interest outstanding throughout each year ended December 31, unless otherwise noted:
MFS MID CAP GROWTH PORTFOLIO 2004(1) 2003 2002(2) 2001(2) 2000(2) 1999(2) - --------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD............................ $6.88 $5.02 $9.81 $16.75 $16.43 $10.05 - ------------------------------------------------------------------------------------------------------- INCOME (LOSS) FROM OPERATIONS: Net investment loss(3)............ (0.03) (0.03) (0.04) (0.06) (0.05) (0.04) Net realized and unrealized gain (loss)......................... 0.58 1.89 (4.75) (3.90) 1.69 6.46 - ------------------------------------------------------------------------------------------------------- Total Income (Loss) From Operations........................ 0.55 1.86 (4.79) (3.96) 1.64 6.42 - ------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS FROM: Net realized gains................ -- -- -- (2.98) (1.32) (0.04) - ------------------------------------------------------------------------------------------------------- Total Distributions................. -- -- -- (2.98) (1.32) (0.04) - ------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD...... $7.43 $6.88 $5.02 $ 9.81 $16.75 $16.43 - ------------------------------------------------------------------------------------------------------- TOTAL RETURN(4)..................... 7.99%++ 37.05% (48.83)% (23.62)% 9.29% 64.17% - ------------------------------------------------------------------------------------------------------- NET ASSETS, END OF PERIOD (000'S)... $207,630 $192,608 $138,221 $278,504 $314,150 $94,124 - ------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: Expenses(3)(5).................... 0.93%+ 0.92% 0.93% 0.92% 0.90% 1.00% Net investment loss............... (0.69)+ (0.49) (0.56) (0.49) (0.30) (0.33) - ------------------------------------------------------------------------------------------------------- PORTFOLIO TURNOVER RATE............. 49% 98% 167% 96% 143% 162% - -------------------------------------------------------------------------------------------------------
(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 agreed to reimburse the Fund for expenses in the amount of $27,304 for the year ended December 31, 1999. If such expenses were not reimbursed, the per share increase to net investment loss and the actual expense ratio would have been $0.01 and 1.07%, respectively. (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 1.00%. ++ Total return is not annualized, as it may not be representative of the total return for the year. + Annualized. 29 - -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (CONTINUED) For a share of beneficial interest outstanding throughout each year ended December 31, unless otherwise noted:
MERRILL LYNCH LARGE CAP CORE PORTFOLIO 2004(1) 2003 2002(2) 2001(2) 2000(2) 1999(2) - ------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD............ $7.85 $6.52 $8.77 $12.15 $13.06 $10.56 - ------------------------------------------------------------------------------------------------------- INCOME (LOSS) FROM OPERATIONS: Net investment income (loss)... 0.01 0.05 0.03 0.01 (0.01) 0.00* Net realized and unrealized gain (loss)................. 0.43 1.33 (2.23) (2.74) (0.70) 2.50 - ------------------------------------------------------------------------------------------------------- Total Income (Loss) From Operations..................... 0.44 1.38 (2.20) (2.73) (0.71) 2.50 - ------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS FROM: Net investment income.......... (0.00)* (0.05) (0.05) (0.00)* -- -- Net realized gains............. -- -- -- (0.65) (0.20) -- - ------------------------------------------------------------------------------------------------------- Total Distributions.............. (0.00)* (0.05) (0.05) (0.65) (0.20) -- - ------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD... $8.29 $7.85 $6.52 $ 8.77 $12.15 $13.06 - ------------------------------------------------------------------------------------------------------- TOTAL RETURN(3).................. 5.64%++ 21.16% (25.14)% (22.45)% (5.58)% 23.67% - ------------------------------------------------------------------------------------------------------- NET ASSETS, END OF PERIOD (000'S)........................ $117,786 $115,200 $106,010 $165,928 $222,953 $152,073 - ------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: Expenses(4).................... 0.95%+ 0.99% 0.94% 0.92% 0.94% 0.99% Net investment income (loss)... 0.21+ 0.67 0.44 0.10 (0.07) 0.02 - ------------------------------------------------------------------------------------------------------- PORTFOLIO TURNOVER RATE.......... 68% 182% 104% 98% 86% 85% - -------------------------------------------------------------------------------------------------------
(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 1.00%. * 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. 30 (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 William D. Wilcox(*) Chief Compliance Officer Andrew Beagley Chief Anti-Money Laundering Compliance Officer Kaprel Ozsolak Controller Kathleen A. McGah Secretary Ernest J. Wright Assistant Secretary - --------------- * As of July 23, 2004.
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 Series Trust: Convertible Securities Portfolio, MFS Mid Cap Growth Portfolio, and Merrill Lynch Large Cap Core Portfolio. 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 Fund (toll-free) at 1-800-842-9368 and by visiting the SEC's website at www.sec.gov. Series Trust (Semi) (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 y99281zexv99wcert.txt SECTION 302 CERTIFICATIONS CERTIFICATIONS PURSUANT TO SECTION 302 EX-99.CERT CERTIFICATIONS I, R. Jay Gerken, certify that: 1. I have reviewed this report on Form N-CSR of The Travelers Series Trust - Merrill Lynch Large Cap Core 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 - Merrill Lynch Large Cap Core 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 - Convertible Securities 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 - Convertible Securities 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 Mid Cap 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 Mid Cap 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 EX-99.906CERT 3 y99281zexv99w906cert.txt SECTION 906 CERTIFICATIONS 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 Mid Cap 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 Mid Cap Growth Portfolio MFS Mid Cap 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 - Merrill Lynch Large Cap Core 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 - Merrill Lynch Large Cap Core Portfolio Merrill Lynch Large Cap Core 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 - Convertible Securities 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 - Convertible Securities Portfolio Convertible Securities 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-----