N-Q 1 dnq.htm TRAVELERS SERIES FUND INC. Travelers Series Fund Inc.

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number 811- 8372

 

Travelers Series Fund Inc.

(Exact name of registrant as specified in charter)

 

125 Broad Street, New York, NY 10004

(Address of principal executive offices) (Zip code)

 

Robert I. Frenkel, Esq.

Legg Mason & Co., LLC

300 First Stamford Place

Stamford, CT 06902

(Name and address of agent for service)

 

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

 

Date of fiscal year end: October 31

Date of reporting period: January 31, 2006

 

ITEM 1. SCHEDULE OF INVESTMENTS

TRAVELERS SERIES FUND INC.

 

SMITH BARNEY MONEY MARKET PORTFOLIO

 

FORM N-Q

JANUARY 31, 2006

SMITH BARNEY MONEY MARKET PORTFOLIO

 

Schedule of Investments (unaudited)    January 31, 2006

 

FACE

AMOUNT

   

SECURITY

    VALUE
  SHORT-TERM INVESTMENTS - 100.3%       
  Certificates of Deposit - 5.9%       
      

HSBC Bank USA:

       
$ 10,000,000   

4.260%, 2/9/06

    $ 9,999,978
  2,000,000   

3.990%, 7/17/06

      2,000,000
  5,000,000   

SunTrust Bank, 4.700%, 7/25/06

      5,000,000
      

Wells Fargo Bank NA:

       
  5,000,000   

4.500%, 2/28/06

      4,999,962
  3,000,000   

4.800%, 1/29/07

      2,998,850
  3,000,000   

4.865%, 1/31/07

      2,999,856
           
      

Total Certificates of Deposit

(Cost - $27,998,646)

      27,998,646
           
  Commercial Paper - 51.3%       
  10,000,000   

Abbey National North America LLC, 4.350%, 2/3/06 (a)

      9,997,594
  5,000,000   

Amstel Funding Corp., 4.520%, 4/3/06 (a)

      4,962,129
      

ANZ Delaware Inc.:

       
  5,425,000   

4.460%, 3/22/06 (a)

      5,392,436
  5,000,000   

4.460%, 4/18/06 (a)

      4,953,767
  9,036,000   

Atomium Funding LLC, 4.670%, 6/12/06 (a)

      8,885,405
      

Bank of America Corp.:

       
  5,000,000   

4.210%, 2/3/06 (a)

      4,998,844
  5,000,000   

4.570%, 4/3/06 (a)

      4,961,621
  5,000,000   

4.480%, 4/12/06 (a)

      4,957,076
  7,000,000   

Beethoven Funding Corp., 4.470%, 2/16/06 (a)

      6,987,021
  15,000,000   

Belmont Funding LLC, 4.520%, 2/1/06 (a)

      15,000,000
  10,000,000   

CBA Delaware Finance, 4.400%, 2/9/06 (a)

      9,990,245
  11,689,000   

Chesham Finance LLC, 4.480%, 2/9/06 (a)

      11,677,389
  5,000,000   

Cobbler Funding LLC, 4.330%, 2/15/06 (a)

      4,991,678
  6,579,000   

Cullinan Finance Corp., 4.770%, 7/21/06 (a)

      6,434,226
  3,000,000   

Danske Corp., Series A, 4.130%, 2/13/06 (a)

      2,995,930
  5,000,000   

Deutsche Bank Financial LLC, 4.350%, 2/6/06 (a)

      4,996,993
      

General Electric Capital Corp.:

       
  5,000,000   

3.890%, 2/13/06 (a)

      4,993,617
  5,000,000   

4.390%, 2/21/06 (a)

      4,987,889
  5,000,000   

3.930%, 3/2/06 (a)

      4,984,493
      

Goldman Sachs Group Inc.:

       
  5,000,000   

4.530%, 2/2/06 (a)

      4,999,371
  10,000,000   

4.330%, 2/23/06 (a)

      9,973,844
  11,350,000   

HBOS Treasury Services PLC, 4.360%, 2/24/06 (a)

      11,318,747
      

ING U.S. Funding LLC:

       
  4,825,000   

4.320%, 2/2/06 (a)

      4,824,424
  10,000,000   

4.350%, 2/28/06 (a)

      9,967,750
      

Nordea North America Inc.:

       
  10,000,000   

4.350%, 2/24/06 (a)

      9,972,464
  5,000,000   

4.390%, 4/27/06 (a)

      4,949,295
  7,000,000   

Rabobank USA Finance Corp., 4.520%, 5/15/06 (a)

      6,911,277
  5,700,000   

Societe Generale North America, 4.300%, 2/3/06 (a)

      5,698,648
  5,000,000   

Svenska Handlesbanken NY Inc., 4.590%, 6/15/06 (a)

      4,916,436
  10,000,000   

Tasman Funding Inc., 4.500%, 2/21/06 (a)

      9,975,111
  15,000,000   

Three Pillars Funding Corp., 4.510%, 2/1/06 (a)

      15,000,000
      

UBS Finance Delaware LLC:

       
  10,000,000   

4.320%, 2/1/06 (a)

      10,000,000
  2,738,000   

4.670%, 5/24/06 (a)

      2,698,816

 

See Notes to Schedule of Investments.

 

1

SMITH BARNEY MONEY MARKET PORTFOLIO

 

Schedule of Investments (unaudited) (continued)    January 31, 2006

 

FACE

AMOUNT

   

SECURITY

    VALUE
  Commercial Paper - 51.3% (continued)       
$ 3,000,000   

Westpac Banking Corp., 4.600%, 6/15/06 (a)

    $ 2,949,750
           
      

Total Commercial Paper

(Cost - $241,304,286)

      241,304,286
           
  Foreign Certificate of Deposit - 1.0%       
  5,000,000   

Credit Agricole SA, 4.495%, 5/15/06 (Cost - $4,998,336)

      4,998,336
           
  Time Deposit - 0.8%       
  3,597,000   

Royal Bank Of Canada, 4.480%, 2/1/06 (Cost - $3,597,000)

      3,597,000
           
  U.S. Government Agencies - 3.6%       
      

Federal Home Loan Mortgage Corp. (FHLMC):

       
      

Discount Notes:

       
  3,000,000   

3.610%, 3/27/06 (a)

      2,984,205
  5,000,000   

4.550%, 6/20/06 (a)

      4,914,283
  2,000,000   

4.610%, 9/27/06 (a)

      1,941,492
  5,000,000   

Discount Notes, Series RB, 3.900%, 2/14/06 (a)

      4,993,094
  2,000,000   

Federal National Mortgage Association (FNMA), Discount Notes, 4.340%, 9/29/06 (a)

      1,944,466
           
      

Total U.S. Government Agencies

(Cost - $16,777,540)

      16,777,540
           
  Certificates of Deposit (Yankee) - 37.7%       
  5,000,000   

Abbey National Treasury Services PLC, 4.090%, 5/22/06

      5,000,000
  10,000,000   

Bank of Montreal, 4.380%, 2/27/06

      10,000,000
      

Bank of Nova Scotia NY:

       
  5,000,000   

4.700%, 9/29/06

      5,000,000
  3,000,000   

4.860%, 1/30/07

      2,999,404
      

Barclays Bank PLC NY:

       
  7,000,000   

4.310%, 2/2/06

      7,000,000
  5,000,000   

4.335%, 2/6/06

      5,000,000
  5,000,000   

4.180%, 3/6/06

      5,000,000
      

BNP Paribas NY Branch:

       
  5,000,000   

4.010%, 2/28/06

      4,999,656
  5,000,000   

4.480%, 4/13/06

      5,000,000
  3,500,000   

4.235%, 8/25/06

      3,498,088
      

Calyon NY:

       
  5,000,000   

4.255%, 2/1/06

      5,000,000
  2,500,000   

4.015%, 2/28/06

      2,499,981
  5,000,000   

4.750%, 10/26/06

      5,000,000
  15,000,000   

Credit Suisse New York, 4.540%, 3/2/06

      15,000,000
  5,000,000   

Deutsche Bank NY, 4.100%, 5/22/06

      5,000,000
  15,000,000   

Dexia Credit Local NY, 4.335%, 2/1/06

      15,000,000
  10,000,000   

Dresdner Bank NY, 4.380%, 2/9/06

      10,000,000
  10,000,000   

Fortis Bank, 4.410%, 2/17/06

      10,000,000
  5,000,000   

HBOS Treasury Services, 3.230%, 2/14/06

      4,998,572
  3,000,000   

Nordea Bank Finland NY, 4.590%, 6/5/06

      3,000,045
  5,000,000   

Rabobank Nederland NV NY, 4.625%, 7/5/06

      4,999,285
      

Royal Bank of Canada NY:

       
  5,000,000   

3.990%, 2/21/06

      5,000,000
  5,000,000   

4.500%, 3/31/06

      5,000,000
  2,000,000   

4.030%, 7/24/06

      1,999,034
      

Royal Bank of Scotland NY:

       
  10,000,000   

4.300%, 2/1/06

      10,000,000
  5,000,000   

3.830%, 3/6/06

      5,000,135
  1,500,000   

4.225%, 8/15/06

      1,500,000

 

See Notes to Schedule of Investments.

 

2

SMITH BARNEY MONEY MARKET PORTFOLIO

 

Schedule of Investments (unaudited) (continued)    January 31, 2006

 

FACE

AMOUNT

   

SECURITY

    VALUE
  
  Certificates of Deposit (Yankee) - 37.7% (continued)         
$ 3,000,000   

4.640%, 11/1/06

    $ 3,000,000  
      

Societe Generale NY:

         
  10,000,000   

4.540%, 3/28/06

      10,000,000  
  2,000,000   

3.730%, 6/23/06

      2,000,000  
           
      

Total Certificates of Deposit (Yankee)

(Cost - $177,494,200)

      177,494,200  
           
      

TOTAL INVESTMENTS - 100.3%

(Cost - $472,170,008#)

      472,170,008  
      

Liabilities in Excess of Other Assets - (0.3)%

      (1,445,317 )
           
       TOTAL NET ASSETS - 100.0%    $ 470,724,691  
           

 

(a) Rate shown represents yield-to-maturity.

 

# Aggregate cost for federal income tax purposes is substantially the same.

 

See Notes to Schedule of Investments.

 

3

Notes to Schedule of Investments (unaudited)

 

1. Organization and Significant Accounting Policies

 

The Smith Barney Money Market Portfolio (the “Fund”), is a separate investment fund of the Travelers Series Fund Inc. (“Company”). The Company, a Maryland corporation, is registered under the Investment Company Act of 1940, as amended, (“1940 Act”), as a diversified open-end management investment company.

 

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

 

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

 

(b) Security Transactions. Security transactions are accounted for on a trade date basis.

 

4

ITEM 2. CONTROLS AND PROCEDURES.

 

  (a) The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a- 3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the disclosure controls and procedures required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934.

 

  (b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are likely to materially affect the registrant’s internal control over financial reporting.

 

ITEM 3. EXHIBITS.

 

Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are attached hereto.

SIGNATURES

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

Travelers Series Fund Inc.

By

   /s/    R. JAY GERKEN        
    R. Jay Gerken
    Chief Executive Officer

Date  April 3, 2006

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By   /s/    R. JAY GERKEN        
    R. Jay Gerken
    Chief Executive Officer

Date  April 3, 2006

 

By   /s/    JAMES M. GIALLANZA        
    James M. Giallanza
    Chief Financial Officer
Date  April 3, 2006