N-Q 1 c34503.txt OMB APPROVAL --------------------------- OMB Number: 3235-0578 Expires: February 28,2006 Estimated average burden hours per response: 20.0 --------------------------- 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 811-01539 811-02571 811-03409 Travelers Growth and Income Stock Account For Variable Annuities Travelers Quality Bond Account For Variable Annuities Travelers Money Market Account For Variable Annuities One Cityplace, Hartford, CT 06103 Kathleen A. McGah One Cityplace Hartford, CT 06103 (860) 308-6202 Date of fiscal year end: December 31 Date of reporting period: September 30, 2004 ITEM 1. Schedule of Investments. The Quarterly Schedule of Investments is filed herewith. THE TRAVELERS GROWTH AND INCOME STOCK ACCOUNT FOR VARIABLE ANNUITIES STATEMENT OF INVESTMENTS (UNAUDITED) SEPTEMBER 30, 2004 NO. OF FAIR SHARES VALUE ---------- ------------- COMMON STOCK (97.1%) AEROSPACE (0.8%) Boeing Co. 28,246 $ 1,458,059 General Dynamics 25,345 2,587,725 ------------- 4,045,784 ------------- AUTOMOTIVE (1.3%) Ford Motor Co. 154,802 2,174,968 General Motors Corp. 63,120 2,681,338 Harley-Davidson 29,269 1,739,749 ------------- 6,596,055 ------------- BANKING (8.0%) Bank of America Corp. 251,896 10,914,654 Capital One Financial Corp. 41,225 3,046,528 First Horizon National 194 8,412 J.P. Morgan Chase & Co. 215,959 8,580,051 KeyCorp 20,766 656,206 Marshall & Ilsley Corp. 17,756 715,567 MBNA Corp. 19,662 495,482 National City Corp. 64,375 2,486,163 U.S. Bancorp 49,664 1,435,290 Wachovia Corp. 102,940 4,833,033 Washington Mutual, Inc. 12,899 504,093 Wells Fargo & Co. 95,736 5,708,738 ------------- 39,384,217 ------------- BEVERAGE (2.3%) Anheuser Busch Cos. 10,621 530,519 Brown-Forman Corp. 12,247 560,913 Coca-Cola Co. 115,700 4,633,785 Coca-Cola Enterprises Inc. 63,679 1,203,533 PepsiCo. Inc. 95,024 4,622,918 ------------- 11,551,668 ------------- BROKERAGE (2.9%) Bear Stearns Cos. 35,041 3,369,893 Goldman Sachs Group 39,880 3,718,411 Lehman Brothers Holding, 29,158 2,324,476 Inc. Merrill Lynch & Co. 37,104 1,844,811 Morgan Stanley 64,849 3,197,056 ------------- 14,454,647 ------------- BUILDING MATERIALS (0.2%) Masco Corp. 34,802 1,201,713 ------------- NO. OF FAIR SHARES VALUE ---------- ------------- CAPITAL GOODS (1.7%) Danaher Corp. 43,166 $ 2,213,552 Deere & Co. 34,389 2,219,810 Dover Corp. 37,305 1,450,045 Eaton Corp. 9,593 608,292 Nucor Corp. 6,275 573,347 Waters Corp. (A) 28,148 1,241,327 ------------- 8,306,373 ------------- CHEMICALS (1.3%) Dow Chemical 54,755 2,473,831 E.I. duPont de Nemours & Co. 20,432 874,490 Ecolab Inc. 35,126 1,104,361 Monsanto Co. 53,651 1,953,969 ------------- 6,406,651 ------------- CONGLOMERATES (5.1%) General Electric Co. 460,123 15,450,930 Honeywell International, Inc. 39,585 1,419,518 Parker-Hannifin 22,419 1,319,582 3M Co. 25,087 2,006,207 Tyco International Ltd. 98,765 3,028,135 United Technologies Corp. 23,814 2,223,751 ------------- 25,448,123 ------------- CONSTRUCTION MACHINERY (0.4%) Ingersoll-Rand Co. 28,807 1,958,012 ------------- CONSUMER (2.9%) Avery Dennison Corp. 12,646 831,854 Ball Corp. 21,326 798,232 Black & Decker Corp. 3,991 309,063 Colgate-Palmolive Co. 15,893 718,046 Eastman Kodak 45,135 1,454,250 Gillette Co. 23,251 970,497 Kimberly Clark Corp. 23,800 1,537,242 Procter & Gamble Co. 123,140 6,664,337 Sealed Air (A) 26,426 1,224,845 ------------- 14,508,366 ------------- DEFENSE (0.7%) Lockheed Martin Corp. 29,363 1,637,868 Northrop Grumman Corp. 38,210 2,037,739 ------------- 3,675,607 ------------- 1 THE TRAVELERS GROWTH AND INCOME STOCK ACCOUNT FOR VARIABLE ANNUITIES STATEMENT OF INVESTMENTS (UNAUDITED) - CONTINUED SEPTEMBER 30, 2004 NO. OF FAIR SHARES VALUE ---------- ------------- ENTERTAINMENT (2.3%) Carnival Corp. 28,628 $ 1,353,818 Electronic Arts (A) 41,081 1,889,521 Fox Entertainment Group (Class A) (A) 55,501 1,539,598 Viacom, Inc. 80,233 2,692,619 Walt Disney Co. 162,229 3,658,264 ------------ 11,133,820 ------------ FINANCE (1.9%) American Express Co. 85,707 4,410,482 Countrywide Financial 80,244 3,160,811 Principal Financial Group 29,244 1,051,907 Providian Financial 60,475 939,782 ------------ 9,562,982 ------------ FOOD (1.7%) Archer-Daniels-Midland Co. 114,841 1,950,000 Hormel Foods 16,653 445,967 Kellogg Co. 9,815 418,708 McDonald's Corp. 97,575 2,735,027 Sara Lee Corp. 99,935 2,284,514 Yum! Brands 13,000 528,580 ------------ 8,362,796 ------------ HEALTHCARE (3.2%) Abbott Laboratories 72,380 3,066,017 Aetna Inc. 21,495 2,147,995 Anthem Inc. (A) 6,327 552,031 Becton, Dickinson 11,617 600,599 Cardinal Health 8,009 350,554 Caremark Rx (A) 29,914 959,342 Genentech Inc. (A) 19,494 1,021,875 Hospira Inc. (A) 4,155 127,143 Medco Health Solutions (A) 13,336 412,082 UnitedHealth Group, Inc. 51,524 3,799,380 Wellpoint Health Networks (A) 6,833 718,080 Zimmer Holdings (A) 24,398 1,928,418 ------------ 15,683,516 ------------ HOME CONSTRUCTION (0.3%) Pulte Homes 22,895 1,405,066 ------------ INDEPENDENT ENERGY (0.7%) Burlington Resources 41,380 1,688,304 Devon Energy 7,732 549,049 Occidental Petroleum 18,573 1,038,788 ------------ 3,276,141 ------------ INSURANCE (5.8%) Ace Limited 13,961 559,278 AFLAC Inc. 25,283 991,346 Allstate Corp. 22,459 1,077,807 NO. OF FAIR SHARES VALUE ---------- ------------- INSURANCE (CONTINUED) Ambac Financial Group 27,267 $ 2,179,997 American International 123,922 8,425,457 Group Aon Corp. 24,699 709,849 Chubb Corp. 44,325 3,115,161 CIGNA Corp. 18,183 1,266,082 Hartford Financial Services Group 10,080 624,254 Jefferson-Pilot Corp. 6,889 342,108 Lincoln National Corp. 9,198 432,306 MetLife Inc. 71,335 2,757,098 MGIC Investment Corp. 17,509 1,165,224 Progressive Corp. 15,227 1,290,488 Prudential Financial 79,956 3,761,130 ------------ 28,697,585 ------------ INTEGRATED ENERGY (5.1%) Anadarko Petroleum 14,254 945,895 ChevronTexaco Corp. 101,398 5,438,989 ConocoPhillips 33,050 2,738,193 Exxon Mobil Corp. 304,077 14,696,041 Marathon Oil 30,723 1,268,245 ------------ 25,087,363 ------------ LODGING (0.5%) Marriott International 35,493 1,844,216 Starwood Hotels & Resorts 8,357 387,932 ------------ 2,232,148 ------------ MEDIA (1.7%) Comcast Corp. (Class A) 107,389 3,032,128 Gannett Co. 22,262 1,864,665 Time Warner, Inc. (A) 210,873 3,403,490 ------------ 8,300,283 ------------ MEDIA CABLE (0.3%) Univision Communications (Class A) (A) 44,785 1,415,654 ------------ MEDIA NON-CABLE (0.2%) Lamar Advertising (Class A) (A) 22,751 944,735 ------------ METALS (0.9%) Alcoa, Inc. 103,917 3,490,572 Pactiv Corp. (A) 49,646 1,154,270 ------------ 4,644,842 ------------ NATURAL GAS DISTRIBUTORS (0.5%) Kinder Morgan 30,116 1,891,887 National Fuel Gas 12,243 346,844 ------------ 2,238,731 ------------ 2 THE TRAVELERS GROWTH AND INCOME STOCK ACCOUNT FOR VARIABLE ANNUITIES STATEMENT OF INVESTMENTS (UNAUDITED) - CONTINUED SEPTEMBER 30, 2004 NO. OF FAIR SHARES VALUE ---------- ------------- OIL FIELD (0.9%) Baker Hughes, Inc. 23,166 $ 1,012,818 Halliburton Co. 19,559 658,943 Schlumberger Ltd. 32,183 2,166,238 Transocean, Inc. 21,164 757,248 ----------- 4,595,247 ----------- PAPER (0.5%) Georgia-Pacific Corp. 17,510 629,485 International Paper 23,579 952,827 Weyerhaeuser Co. 9,869 656,091 ----------- 2,238,403 ----------- PHARMACEUTICALS (7.7%) AmerisourceBergen Corp. 16,595 891,317 Amgen, Inc. (A) 61,453 3,490,223 Bristol-Myers Squibb 89,117 2,109,399 Eli Lilly & Co. 42,149 2,531,047 Forest Laboratories (A) 33,159 1,491,492 Gilead Sciences (A) 49,226 1,839,822 IVAX Corp. 48,057 920,292 Johnson & Johnson 137,629 7,752,642 Merck & Co., Inc. 101,977 3,365,241 Pfizer, Inc. 352,440 10,784,664 Schering-Plough 67,733 1,290,991 Wyeth 43,843 1,639,728 ----------- 38,106,858 ----------- RAILROADS (0.1%) Norfolk Southern 16,776 498,918 ----------- REFINING (0.4%) Newmont Mining Corp. 19,375 882,144 Sunoco Inc. 7,678 568,018 Valero Energy Corp. 9,090 729,109 ----------- 2,179,271 ----------- RETAILERS (6.5%) AutoZone, Inc. (A) 5,694 439,862 Best Buy 30,613 1,660,449 Costco Wholesale 21,611 897,397 Federated Department Stores, Inc. 12,390 562,878 Gap Inc. 110,912 2,074,054 Home Depot, Inc. 159,742 6,261,886 Jones Apparel Group 6,979 249,848 Limited Brands 46,384 1,033,899 Lowe's Cos. 18,931 1,028,900 Staples Inc. 78,821 2,348,472 Target Corp. 42,236 1,911,179 Toys R Us (A) 70,831 1,256,542 Walgreen Co. 54,947 1,968,751 Wal-Mart Stores 199,075 10,590,790 ----------- 32,284,907 ----------- ------------ NO. OF FAIR SHARES VALUE ---------- ------------- SERVICES (2.6%) Biogen, Inc. (A) 31,020 $ 1,897,338 Boston Scientific (A) 39,349 1,563,336 Cendant Corp. 51,593 1,114,409 eBay Inc. (A) 30,784 2,831,051 KLA-Tencor Corp. (A) 9,475 392,976 Medtronic, Inc. 56,514 2,933,077 Yahoo Inc. (A) 61,852 2,100,803 ----------- 12,832,990 ----------- TECHNOLOGY (15.0%) Adobe Systems 32,830 1,623,936 Advanced Micro Devices (A) 83,937 1,091,181 Analog Devices, Inc. 17,932 695,403 Apple Computer (A) 48,337 1,873,542 Autodesk 33,293 1,620,870 BMC Software (A) 47,206 746,327 Cisco Systems, Inc. (A) 315,216 5,691,225 Comverse Technology (A) 81,806 1,542,452 Corning Inc 153,910 1,705,323 Dell Inc. (A) 116,672 4,147,690 EMC Corp. (A) 36,361 419,606 First Data 40,316 1,753,746 Fiserv Inc. (A) 12,204 425,370 Gateway Inc. (A) 115,654 572,487 Hewlett Packard Co. 142,000 2,662,500 Intel Corp. 301,416 6,040,377 International Business Machine Corp. 76,824 6,586,890 ITT Industries 16,129 1,290,159 Jabil Circuit (A) 45,645 1,049,835 Lexmark International (Class A) (A) 6,037 507,168 Maxim Integrated Products 14,850 627,264 Micron Technology, Inc. 99,869 1,201,424 Microsoft 502,687 13,896,782 Motorola, Inc. 206,633 3,727,659 NCR Corp. (A) 25,799 1,279,372 Nvidia Corp. (A) 58,421 846,812 Oracle Corp. (A) 232,747 2,628,877 QUALCOMM, Inc. 69,284 2,704,501 Scientific-Atlanta, Inc. 49,543 1,284,155 Texas Instruments, Inc. 93,808 1,996,234 Thomas & Betts Corp. 43,164 1,157,659 VERITAS Software (A) 53,916 961,053 ----------- 74,357,879 ----------- 3 THE TRAVELERS GROWTH AND INCOME STOCK ACCOUNT FOR VARIABLE ANNUITIES STATEMENT OF INVESTMENTS (UNAUDITED) - CONTINUED SEPTEMBER 30, 2004 NO. OF FAIR SHARES VALUE ---------- ------------- TELECOMMUNICATIONS (3.9%) AT&T Wireless Services (A) 25,309 $ 374,067 BellSouth Corp. 124,064 3,364,616 CenturyTel, Inc. 12,604 431,561 NEXTEL Communications (Class A) (A) 115,869 2,766,372 Polycom, Inc. (A) 49,165 974,204 SBC Communications, Inc. 153,659 3,987,451 Sprint Corp. - PCS Group 111,288 2,240,227 Verizon Communications 129,042 5,081,674 ------------ 19,220,172 ------------ TEXTILE (0.6%) NIKE, Inc. 38,492 3,033,170 ------------ TOBACCO (1.3%) Altria Group 95,539 4,494,155 Fortune Brands 26,616 1,971,979 ------------ 6,466,134 ------------ TRANSPORTATION SERVICES (1.3%) PACCAR Inc. 34,033 2,350,149 United Parcel 53,185 4,037,805 ------------ 6,387,954 ------------ U.S. AGENCY (1.2%) Federal Association National 59,606 3,779,020 Mortgage Federal Home Loan Mortgage Corp. 31,633 2,063,737 ------------ 5,842,757 ------------ UTILITIES (2.4%) The AES Corp. (A) 126,897 1,267,701 American Electric Power 62,542 1,998,842 Constellation Energy Group 46,830 1,865,707 Edison International 46,592 1,235,154 Exelon Corp. 56,416 2,069,903 FirstEnergy Corp. 53,191 2,185,086 Public Service Enterprise 13,294 566,324 Southern Co. 27,360 820,253 ------------ 12,008,970 ------------ TOTAL COMMON STOCKS (COST $452,002,041) 480,576,508 ------------- PRINCIPAL FAIR AMOUNT VALUE ---------- ------------- SHORT-TERM INVESTMENTS (3.4%) COMMERCIAL PAPER (3.1%) American General Financial Corp., 1.79% due October 13, 2004 $2,670,000 $ 2,668,264 Caterpillar, Inc., 1.79% due November 17, 2004 2,500,000 2,493,943 Coca-Cola Enterprises Inc., 1.79% due November 4, 2004 1,832,000 1,828,785 Federal Home Loan, 1.67% due October 8, 2004 2,203,000 2,202,255 Morgan Stanley Dean Witter & Co., 1.76% due October 6, 2004 3,084,000 3,083,075 UBS Financial Inc., 1.91% due October 1, 2004 3,145,000 3,145,000 ------------ 15,421,322 ------------ U.S. TREASURY (0.3%) United States of America Treasury, 1.48% due November 4, 2004 (B) 1,400,000 1,398,050 ------------ TOTAL SHORT-TERM INVESTMENTS (COST $16,820,267) 16,819,372 ------------ NOTIONAL VALUE ---------- FUTURES CONTRACTS (0.0%) S&P 500 Stock Index, Exp. December, 2004 (C) $8,361,750 - ------------ TOTAL INVESTMENTS (100.5%) (COST $468,822,308) (D) 497,395,880 ------------ OTHER ASSETS AND LIABILITIES (-0.5%) (2,304,474) ------------ TOTAL NET ASSETS (100.0%) $495,091,406 ============ 4 THE TRAVELERS GROWTH AND INCOME STOCK ACCOUNT FOR VARIABLE ANNUITIES STATEMENT OF INVESTMENTS (UNAUDITED) - CONTINUED SEPTEMBER 30, 2004 NOTES (A) Non-income Producing Security. (B) Par value of $1,400,000 pledged to cover margin deposits on futures contracts. (C) As more fully discussed in Note 1 to the financial statements, it is The Travelers Growth and Income Stock Account for Variable Annuities practice to hold cash and cash equivalents (including short-term investments) at least equal to the underlying face value, or notional value, of outstanding purchased futures contracts, less the initial margin. The Travelers Growth and Income Stock Account for Variable Annuities uses futures contracts as a substitute for holding individual securities. (D) At September 30, 2004, net unrealized appreciation for all securities was $28,573,572. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of fair value over cost of $69,803,187 and aggregate gross unrealized depreciation for all securities in which there was an excess of cost over fair value of $41,229,615. See Notes to Statement of Investments 5 THE TRAVELERS GROWTH AND INCOME STOCK ACCOUNT FOR VARIABLE ANNUITIES NOTES TO STATEMENT OF INVESTMENTS (UNAUDITED) SEPTEMBER 30, 2004 1. SIGNIFICANT ACCOUNTING POLICIES The Travelers Growth and Income Stock Account for Variable Annuities ("Account GIS") is a separate account of The Travelers Insurance Company ("The Company"), an indirect wholly owned subsidiary of Citigroup Inc., and is available for funding Universal Annuity contracts issued by The Company. Account GIS is registered under the Investment Company Act of 1940, as amended, as a diversified, open-end management investment company. The following is a summary of significant accounting policies consistently followed by Account GIS. SECURITY VALUATION. Investments in securities traded on a national securities exchange are valued at the 4:00 p.m. Eastern Standard Time price of such exchanges; securities traded on the over-the-counter market and listed securities with no reported sales are valued at the mean between the last reported bid and asked prices or on the basis of quotations received from a reputable broker or other recognized source. Short-term investments are reported at fair value based on quoted market prices. Short-term investments, for which there is no reliable quoted market price, are recorded at amortized cost which approximates fair value. SECURITY TRANSACTIONS. Security transactions are accounted for on the trade date. FUTURES CONTRACTS. Account GIS may use stock index futures contracts as a substitute for the purchase or sale of individual securities. When Account GIS enters into a futures contract, it agrees to buy or sell a specified index of stocks at a future time for a fixed price, unless the contract is closed prior to expiration. Account GIS is obligated to deposit with a broker an "initial margin" equivalent to a percentage of the face, or notional value of the contract. It is Account GIS's practice to hold cash and cash equivalents in an amount at least equal to the notional value of outstanding purchased futures contracts, less the initial margin. Cash and cash equivalents include cash on hand, securities segregated under federal and brokerage regulations, and short-term highly liquid investments with maturities generally three months or less when purchased. Generally, futures contracts are closed prior to expiration. Futures contracts purchased by Account GIS are priced and settled daily; accordingly, changes in daily prices are recorded as realized gains or losses and no asset is recorded in the Statement of Investments. Therefore, when Account GIS holds open futures contracts, it assumes a market risk generally equivalent to the underlying market risk of change in the value of the specified indexes associated with the futures contract. OPTIONS. Account GIS may purchase index or individual equity put or call options, thereby obtaining the right to sell or buy a fixed number of shares of the underlying asset at the stated price on or before the stated expiration date. Account GIS may sell the options before expiration. Options held by Account GIS are listed on either national securities exchanges or on over-the-counter markets and are short-term contracts with a duration of less than nine months. The market value of the options will be based on the 4:00 p.m. Eastern Standard Time price of the respective exchange, or in the absence of such price, the latest bid quotation. There were no put or call options in Account GIS at September 30, 2004. REPURCHASE AGREEMENTS. When Account GIS enters into a repurchase agreement (a purchase of securities whereby the seller agrees to repurchase the securities at a mutually agreed upon date and price), the repurchase price of the securities will generally equal the amount paid by Account GIS plus a negotiated interest amount. The seller under the repurchase agreement will be required to provide to Account GIS securities (collateral) whose market value, including accrued interest, will be at least equal to 102% of the repurchase price. Account GIS monitors the value of collateral on a daily basis. Repurchase agreements will be limited to transactions with national banks and reporting broker dealers believed to present minimal credit risks. Account GIS's custodian will take actual or constructive receipt of all securities underlying repurchase agreements until such agreements expire. There were no repurchase agreements in Account GIS at September 30, 2004. 6 THE TRAVELERS GROWTH AND INCOME STOCK ACCOUNT FOR VARIABLE ANNUITIES NOTES TO STATEMENT OF INVESTMENTS (UNAUDITED) - CONTINUED SEPTEMBER 30, 2004 2. INVESTMENTS The aggregate costs of purchases and proceeds from sales of investments (other than short-term securities), were $197,080,848 and $230,016,309 respectively; the costs of purchases and proceeds from sales of direct and indirect U.S. government securities were $5,485,931 and $3,798,970, respectively, for the nine months ended September 30, 2004. Realized gains and losses from investment security transactions are reported on an identified cost basis. At September 30, 2004, Account GIS held 30 open S&P 500 Stock Index futures contracts expiring in December, 2004. The underlying face value, or notional value, of these contracts at September 30, 2004 amounted to $8,361,750. In connection with these contracts, short-term investments with a par value of $1,400,000 had been pledged as margin deposits. Net realized gains resulting from futures contracts were ($120,867) for the nine months ended September 30, 2004. 7 THE TRAVELERS QUALITY BOND ACCOUNT FOR VARIABLE ANNUITIES STATEMENT OF INVESTMENTS (UNAUDITED) SEPTEMBER 30, 2004
PRINCIPAL FAIR AMOUNT VALUE -------------- --------------- BONDS (80.0%) AIRLINES (0.4%) Delta Airlines Inc., 9.25% Debentures, 2007 (A) .................................... $ 675,233 $ 371,378 --------------- ASSET BACKED SECURITIES (5.4%) CA Infrastructure, 3.05% Debentures, 2008 .......................................... 694,409 722,138 Chase Funding Mortgage Loan Asset Backed Certificate, 4.42% Debentures, 2032 ....... 500,000 525,591 Daimler Chrysler Auto, 2.41% Debentures, 2006 ...................................... 1,044,965 1,055,946 Discover Card Mt, 2.94% Debentures, 2008 ........................................... 1,100,000 1,150,405 Ford Credit Auto Owner Trust, 2.64% Debentures, 2006 ............................... 1,400,000 1,423,274 Toyota Auto Recovery Owner Trust, 2.67% Debentures, 2006 ........................... 675,198 676,692 --------------- 5,554,046 --------------- AUTOMOTIVE (1.4%) Daimler Chrysler NA Holdings, 5.09% Debentures, 2012 ............................... 700,000 796,237 Lear Corp., 2.35% Debentures, 2005 ................................................. 600,000 618,812 --------------- 1,415,049 --------------- BANKING (4.3%) ABN AMRO Holding ADS, 1.73% Debentures, 2007 ....................................... 920,000 921,964 Bank of America Corp., 5.50% Debentures, 2014 ...................................... 600,000 624,265 Capital One Financial, 4.66% Debentures, 2009 ...................................... 620,000 642,739 Credit Suisse First Boston Corp., 4.86% Debentures, 2011 ........................... 300,000 327,320 Huntington National Bank, 4.68% Debentures, 2009 ................................... 400,000 410,937 U.S. Bancorp NA MN, 2.89% Debentures, 2007 ......................................... 1,000,000 993,970 Washington Mutual Inc., 5.71% Debentures, 2014 ..................................... 500,000 519,288 --------------- 4,440,483 --------------- BEVERAGE (0.4%) Pepsi Bottling Group, 4.34% Debentures, 2012 ....................................... 400,000 404,841 --------------- BROKERAGE (3.0%) Goldman Sachs Group Inc., 4.77% Debentures, 2013 ................................... 1,100,000 1,081,162 Lehman Brothers Holdings, Inc., 4.85% Debentures, 2014 ............................. 700,000 691,697 Merrill Lynch & Co. Inc., 4.20% Debentures, 2009 ................................... 800,000 803,071 Morgan Stanley, 5.31% Debentures, 2012 ............................................. 500,000 558,381 --------------- 3,134,311 --------------- COLLATERALIZED MORTGAGE OBLIGATIONS (4.4%) Credit Suisse First Boston Corp., 4.86% Debentures, 2036 ........................... 1,000,000 1,014,887 LB UBS Commercial Mortgage Trust, 4.17% Debentures, 2027 ........................... 1,000,000 980,998 LB UBS Commercial Mortgage Trust, 4.54% Debentures, 2031 ........................... 1,000,000 990,257 LB UBS Commercial Mortgage Trust, 4.74% Debentures, 2031 ........................... 670,000 684,302 Wachovia Bank Commercial Mortgage, 4.44% Debentures, 2035 .......................... 900,000 931,292 --------------- 4,601,736 ---------------
8 THE TRAVELERS QUALITY BOND ACCOUNT FOR VARIABLE ANNUITIES STATEMENT OF INVESTMENTS (UNAUDITED) - CONTINUED SEPTEMBER 30, 2004
PRINCIPAL FAIR AMOUNT VALUE -------------- --------------- CONGLOMERATES (2.4%) General Electric Capital Corp., 4.97% Debentures, 2013 ............................. $ 1,300,000 $ 1,379,572 Tyco International, 4.28% Debentures, 2008 ......................................... 1,000,000 1,085,545 --------------- 2,465,117 --------------- CONSUMER (1.5%) Procter & Gamble, 4.99% Debentures, 2014 ........................................... 1,200,000 1,231,601 Sealed Air, 5.52% Debentures, 2013 (B) ............................................. 300,000 308,974 --------------- 1,540,575 --------------- DEFENSE (2.5%) Northrop Grumman Corp., 1.75% Debentures, 2004 ..................................... 2,000,000 2,003,572 Northrop Grumman Corp., 3.41% Debentures, 2006 ..................................... 600,000 609,844 --------------- 2,613,416 --------------- FINANCE (5.6%) AIG SunAmerica Global Financials, 3.55% Debentures, 2008 (B) ....................... 500,000 539,479 American General Financial Corp., 3.98% Debentures, 2009 ........................... 900,000 893,140 Countrywide Home Loan, 4.07% Debentures, 2011 ...................................... 610,000 593,241 Ford Motor Credit Co., 6.56% Debentures, 2006 ...................................... 1,000,000 1,046,754 Ford Motor Credit Co., 7.07% Debentures, 2013 ...................................... 300,000 317,717 General Motors Acceptance Corp., 6.65% Debentures, 2011 ............................ 650,000 694,899 General Motors Acceptance Corp., 6.06% Debentures, 2011 ............................ 200,000 210,094 Household Financial Corp., 5.78% Debentures, 2012 .................................. 1,400,000 1,553,756 --------------- 5,849,080 --------------- HEALTHCARE (0.4%) Anthem Inc., 4.86% Debentures, 2012 ................................................ 400,000 451,574 --------------- HOME CONSTRUCTION (0.5%) M.D.C. Holdings, 5.47% Debentures, 2013 ............................................ 500,000 509,060 --------------- INDEPENDENT ENERGY (1.2%) Anadarko Petroleum, 4.88% Debentures, 2011 ......................................... 400,000 453,623 Cooper Cameron, 2.67% Debentures, 2007 ............................................. 200,000 196,064 Devon Energy, 5.42% Debentures, 2011 ............................................... 500,000 564,927 --------------- 1,214,614 --------------- INSURANCE (1.8%) Massachusetts Mutual Life, 2.58% Debentures, 2008 (B) .............................. 900,000 873,118 New York Life, 5.42% Debentures, 2013 (B) .......................................... 1,000,000 1,045,580 --------------- 1,918,698 --------------- MEDIA CABLE (7.1%) Comcast Cable Communications, 8.70% Debentures, 2027 ............................... 500,000 638,263 Cox Enterprises Inc., 7.25% Debentures, 2010 (B) ................................... 3,800,000 4,192,293 AOL Time Warner Inc., 9.66% Debentures, 2007 ....................................... 2,400,000 2,552,395 --------------- 7,382,951 ---------------
9 THE TRAVELERS QUALITY BOND ACCOUNT FOR VARIABLE ANNUITIES STATEMENT OF INVESTMENTS (UNAUDITED) - CONTINUED SEPTEMBER 30, 2004
PRINCIPAL FAIR AMOUNT VALUE -------------- --------------- MEDIA NON-CABLE (1.3%) Clear Channel Communications Inc., 4.72% Debentures, 2011 .......................... $ 200,000 $ 193,371 Liberty Media Corp., 3.60% Debentures, 2006 ........................................ 1,100,000 1,112,056 --------------- 1,305,427 --------------- METALS (0.4%) Phelps Dodge Corp., 5.31% Debentures, 2011 ......................................... 300,000 365,749 --------------- NATURAL GAS DISTRIBUTION (0.4%) Duke Capital LLC, 3.77% Debentures, 2006 ........................................... 400,000 407,422 --------------- NATURAL GAS PIPELINE (3.2%) Duke Energy Field Service, 5.68% Debentures, 2005 .................................. 500,000 519,662 Southern California Gas Co., 4.38% Debentures, 2011 ................................ 400,000 404,598 Transcontinental Gas Pipeline, 10.33% Debentures, 2005 ............................. 2,400,000 2,427,000 --------------- 3,351,260 --------------- PAPER (0.2%) International Paper, 5.38% Debentures, 2015 ........................................ 200,000 199,283 --------------- PHARMACEUTICALS (1.2%) Wyeth, 5.52% Debentures, 2014 ...................................................... 1,200,000 1,219,584 --------------- REAL ESTATE (8.7%) Canada Mortgage & Housing Corp., 3.43% Debentures, 2008 ............................ 1,000,000 999,431 Health Retirement Properties, 6.39% Debentures, 2016 ............................... 300,000 311,202 iStar Financial, 6.32% Debentures, 2010 ............................................ 240,000 250,914 Kimco Reality, 1.88% Debentures, 2006 .............................................. 100,000 100,058 Nationwide Health Properties Inc., 6.90% Debentures, 2037 .......................... 4,500,000 4,879,278 Post Apartment Homes LP, 4.05% Debentures, 2005 .................................... 2,510,000 2,542,705 --------------- 9,083,588 --------------- RETAIL (2.4%) Wal-Mart Stores Inc., 4.58% Debentures, 2013 ....................................... 2,500,000 2,521,867 --------------- SUPERMARKETS (1.8%) Fred Meyer Inc., 4.83% Debentures, 2008 ............................................ 1,000,000 1,117,774 Safeway Inc., 4.96% Debentures, 2011 ............................................... 700,000 766,081 --------------- 1,883,855 --------------- TELECOMMUNICATIONS (3.4%) Deutsche Telekom AG, 2.31% Debentures, 2005 ........................................ 1,100,000 1,142,719 Sprint Capital Corp., 4.90% Debentures, 2008 ....................................... 720,000 777,861 Telecom Italia S.p.A., 4.06% Debentures, 2010 (B) .................................. 100,000 99,361 Telecom Italia S.p.A., 5.28% Debentures, 2013 (B) .................................. 1,500,000 1,531,054 --------------- 3,550,995 --------------- TOBACCO (0.9) Altria Group, 5.74% Debentures, 2008 ............................................... 900,000 919,776 ---------------
10 THE TRAVELERS QUALITY BOND ACCOUNT FOR VARIABLE ANNUITIES STATEMENT OF INVESTMENTS (UNAUDITED) - CONTINUED SEPTEMBER 30, 2004
PRINCIPAL FAIR AMOUNT VALUE -------------- --------------- U.S. AGENCY (5.6%) Federal Home Loan Mortgage Corp., 2.90% Debentures, 2019 ........................... $ 700,000 $ 699,166 Federal Association National Mortgage, 2.13% Debentures, 2006 ...................... 1,300,000 1,280,636 Federal Association National Mortgage, 3.00% Debentures, 2007 ...................... 1,400,000 1,397,147 Federal Association National Mortgage, 4.01% Debentures, 2011 ...................... 2,200,000 2,432,736 --------------- 5,809,685 --------------- UTILITIES (8.2%) Pepco Holdings Inc., 5.15% Debentures, 2007 ........................................ 1,600,000 1,676,366 Progress Energy Inc., 6.06% Debentures, 2007 ....................................... 2,700,000 2,858,166 PSEG Energy Holdings, 21.80% Debentures, 2008 ...................................... 450,000 498,375 SCANA Corp., 2.16% Debentures, 2006 ................................................ 1,000,000 1,002,471 SP Powerassets Ltd., 5.08% Debentures, 2013 ........................................ 900,000 913,788 TransAlta Corp., 5.22% Debentures, 2013 ............................................ 400,000 411,641 Xcel Energy Inc., 3.44% Debentures, 2008 (B) ....................................... 1,200,000 1,183,163 --------------- 8,543,970 --------------- TOTAL BONDS (COST $81,064,890) ................................................................. 83,029,390 --------------- UNITED STATES GOVERNMENT SECURITIES (15.1%) United States of America Treasury, 1.50% due November, 2005 ........................ 6,060,000 6,304,297 United States of America Treasury, 2.14% due November, 2006 ........................ 3,075,000 3,129,895 United States of America Treasury, 3.14% due September, 2008 ....................... 3,000,000 2,998,596 United States of America Treasury, 4.10% due August, 2014 .......................... 3,250,000 3,285,041 --------------- TOTAL UNITED STATES GOVERNMENT SECURITIES (COST $15,795,154) ................................................................. 15,717,829 --------------- TOTAL SHORT-TERM INVESTMENTS (3.9%) COMMERCIAL PAPER (3.9%) Barton Capital Corp., 1.80% due October, 2004 ...................................... 1,305,000 1,304,739 Polonius Inc., 1.92% due October, 2004 ............................................. 2,734,000 2,734,000 --------------- TOTAL SHORT-TERM INVESTMENTS (COST $4,038,807) .................................................................. 4,038,739 --------------- TOTAL INVESTMENTS (99.0%) (COST $100,898,851)(C) ............................................................. 102,785,958 --------------- OTHER ASSETS AND LIABILITIES (1.0%) ................................................. 1,059,133 --------------- TOTAL NET ASSETS (100.0%) ........................................................... $ 103,845,091 ===============
11 THE TRAVELERS QUALITY BOND ACCOUNT FOR VARIABLE ANNUITIES STATEMENT OF INVESTMENTS (UNAUDITED) - CONTINUED SEPTEMBER 30, 2004 NOTES (A) Private Placement. (B) Security is not registered under the Securities Act of 1933. These securities may be resold in transactions in accordance with Rule 144A under that Act, to qualified institutional buyers. As of September 30, 2004, The Travelers Quality Bond Account for Variable Annuites held 9.4% of its net assets, with a current market value of $9,773,020, in securities restricted as to resale (C) At September 30, 2004 net unrealized appreciation for all securities was $1,887,107. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of fair value over cost of $2,449,298 and aggregate gross unrealized depreciation for all securities in which there was an excess of cost over fair value of $562,191. See Notes to Statement of Investments 12 THE TRAVELERS QUALITY BOND ACCOUNT FOR VARIABLE ANNUITIES NOTES TO STATEMENT OF INVESTMENTS (UNAUDITED) SEPTEMBER 30, 2004 1. SIGNIFICANT ACCOUNTING POLICIES The Travelers Quality Bond Account for Variable Annuities ("Account QB") is a separate account of The Travelers Insurance Company ("The Company"), an indirect wholly owned subsidiary of Citigroup Inc., and is available for funding Universal Annuity contracts issued by The Company. Account QB is registered under the Investment Company Act of 1940, as amended, as a diversified, open-end management investment company. The following is a summary of significant accounting policies consistently followed by Account QB. SECURITY VALUATION. Investments in securities traded on a national securities exchange are valued at the 4:00 p.m. Eastern Standard Time price of such exchanges; securities traded on the over-the-counter market and listed securities with no reported sales are valued at the mean between the last-reported bid and asked prices or on the basis of quotations received from a reputable broker or other recognized source. When market quotations are not considered to be readily available for long-term corporate bonds and notes, such investments are generally stated at fair value on the basis of valuations furnished by a pricing service. These valuations are determined for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships between securities, which are generally recognized by institutional traders. Securities, including restricted securities, for which pricing services are not readily available, are valued by management at prices which it deems, in good faith, to be fair value. Short-term investments are reported at fair value based on quoted market prices. Short-term investments, for which there is no reliable quoted market price, are recorded at amortized cost, which approximates fair value. SECURITY TRANSACTIONS. Security transactions are accounted for on the trade date. FUTURES CONTRACTS. Account QB may use interest rate futures contracts as a substitute for the purchase or sale of individual securities. When Account QB enters into a futures contract, it agrees to buy or sell specified debt securities at a future time for a fixed price, unless the contract is closed prior to expiration. Account QB is obligated to deposit with a broker an "initial margin" equivalent to a percentage of the face, or notional value of the contract. It is Account QB's practice to hold cash and cash equivalents in an amount at least equal to the notional value of outstanding purchased futures contracts, less the initial margin. Cash and cash equivalents include cash on hand, securities segregated under federal and brokerage regulations, and short-term highly liquid investments with maturities generally three months or less when purchased. Generally, futures contracts are closed prior to expiration. Futures contracts purchased by Account QB are priced and settled daily; accordingly, changes in daily prices are recorded as realized gains or losses and no asset is recorded in the Statement of Investments. Therefore, when Account QB holds open futures contracts, it assumes a market risk generally equivalent to the underlying market risk of change in the value of the debt securities associated with the futures contract. REPURCHASE AGREEMENTS. When Account QB enters into a repurchase agreement (a purchase of securities whereby the seller agrees to repurchase the securities at a mutually agreed upon date and price), the repurchase price of the securities will generally equal the amount paid by Account QB plus a negotiated interest amount. The seller under the repurchase agreement will be required to provide to Account QB securities (collateral) whose market value, including accrued interest, will be at least equal to 102% of the repurchase price. Account QB monitors the value of collateral on a daily basis. Repurchase agreements will be limited to transactions with national banks and reporting broker dealers believed to present minimal credit risks. Account QB's custodian will take actual or constructive receipt of all securities underlying repurchase agreements until such agreements expire. There were no repurchase agreements in Account QB at September 30, 2004. 13 THE TRAVELERS QUALITY BOND ACCOUNT FOR VARIABLE ANNUITIES NOTES TO STATEMENT OF INVESTMENTS (UNAUDITED) - CONTINUED SEPTEMBER 30, 2004 2. INVESTMENTS The aggregate costs of purchases and proceeds from sales of investments (other than short-term securities) were $26,092,405 and $25,891,880, respectively; the costs of purchases and proceeds from sales of direct and indirect U.S. government securities were $46,951,880 and $52,252,718, respectively, for the nine months ended September 30, 2004. Realized gains and losses from investment security transactions are reported on an identified cost basis. 14 THE TRAVELERS MONEY MARKET ACCOUNT FOR VARIABLE ANNUITIES STATEMENT OF INVESTMENTS (UNAUDITED) SEPTEMBER 30, 2004
PRINCIPAL FAIR AMOUNT VALUE -------------- --------------- SHORT-TERM INVESTMENTS (100%) COMMERCIAL PAPER (63.2%) Barton Capital Corp., 1.80% due October 18, 2004 ................................... $ 3,600,000 $ 3,596,760 BMW U.S. Capital Corp. LLC, 1.80% due October 26, 2004 ............................. 3,607,000 3,602,311 Canadian Imperial Bank of Commerce, 1.83% due November 22, 2004 .................... 3,397,000 3,387,886 Caterpillar Inc., 1.77% due October 12, 2004 ....................................... 3,558,000 3,555,865 General Electric Capital Corp., 1.80% due October 25, 2004 ......................... 3,613,000 3,608,484 ING U.S. Funding LLC, 1.82% due October 25, 2004 ................................... 2,700,000 2,696,625 Marsh & McLennan Companies, 1.65% due October 14, 2004 ............................. 3,649,000 3,646,446 Paradigm Funding LLC, 1.83% due October 15, 2004 ................................... 3,626,000 3,623,280 Pfizer Inc., 1.76% due October 21, 2004 ............................................ 3,068,000 3,064,779 Ranger Funding Co. LLC, 1.74% due October 7, 2004 .................................. 3,620,000 3,618,733 Royal Bank of Scotland PLC, 1.80% due October 19, 2004 ............................. 1,500,000 1,498,575 Sheffield Receivables Corp., 1.76% due October 13, 2004 ............................ 3,540,000 3,537,699 UBS Financial Inc., 1.91% due October 1, 2004 ...................................... 3,411,000 3,411,000 Yorktown Capital LLC, 1.81% due October 20, 2004 ................................... 3,636,000 3,632,364 --------------- 46,480,807 --------------- UNITED STATES AGENCY SECURITIES (36.7%) Federal Home Loan, 1.66% due October 8, 2004 ....................................... 19,061,000 19,054,557 Federal Home Loan, 1.76% due October 20, 2004 ...................................... 4,041,000 4,037,290 Federal Home Loan Mortgage Corp., 1.69% due October 5, 2004 ........................ 3,940,000 3,939,240 --------------- 27,031,087 --------------- TOTAL INVESTMENTS (99.9%) (COST $73,515,403) ................................................................. 73,511,894 --------------- OTHER ASSETS AND LIABILITIES (0.1%) ................................................. 46,193 --------------- TOTAL NET ASSETS (100.0%) ........................................................... $ 73,558,087 ===============
15 THE TRAVELERS MONEY MARKET ACCOUNT FOR VARIABLE ANNUITIES NOTES TO STATEMENT OF INVESTMENTS (UNAUDITED) SEPTEMBER 30, 2004 1. SIGNIFICANT ACCOUNTING POLICIES The Travelers Money Market Account for Variable Annuities ("Account MM") is a separate account of The Travelers Insurance Company ("The Company"), an indirect wholly owned subsidiary of Citigroup Inc., and is available for funding Universal Annuity contracts issued by The Company. Account MM is registered under the Investment Company Act of 1940, as amended, as a diversified, open-end management investment company. The following is a summary of significant accounting policies consistently followed by Account MM. SECURITY VALUATION. Investments in securities traded on a national securities exchange are valued at the 4:00 p.m. Eastern Standard Time price of such exchanges; securities traded on the over-the-counter market and listed securities with no reported sales are valued at the mean between the last reported bid and asked prices or on the basis of quotations received from a reputable broker or other recognized source. Short-term investments are reported at fair value based on quoted market prices. Short-term investments, for which there is no reliable quoted market price, are recorded at amortized cost which approximates fair value. SECURITY TRANSACTIONS. Security transactions are accounted for on the trade date. REPURCHASE AGREEMENTS. When Account MM enters into a repurchase agreement (a purchase of securities whereby the seller agrees to repurchase the securities at a mutually agreed upon date and price), the repurchase price of the securities will generally equal the amount paid by Account MM plus a negotiated interest amount. The seller under the repurchase agreement will be required to provide to Account MM securities (collateral) whose market value, including accrued interest, will be at least equal to 102% of the repurchase price. Account MM monitors the value of collateral on a daily basis. Repurchase agreements will be limited to transactions with national banks and reporting broker dealers believed to present minimal credit risks. Account MM's custodian will take actual or constructive receipt of all securities underlying repurchase agreements until such agreements expire. There were no repurchase agreements in Account MM at September 30, 2004. 16 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) are effective based on their evaluation of the disclosure controls and procedures as of a date within 90 days of the filing date of this document. (b) In the last 90 days, there have been no significant changes in the registrant's internal controls or in other factors that could significantly affect these controls. ITEM 3. EXHIBITS. (a)(2) Certifications pursuant to section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto as Exhibit 99.CERT. 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 Growth and Income Stock Account For Variable Annuities Travelers Quality Bond Account For Variable Annuities Travelers Money Market Account For Variable Annuities By: /s/ R. Jay Gerken R. Jay Gerken Chairman of the Board Chief Executive Officer Travelers Growth and Income Stock Account For Variable Annuities Travelers Quality Bond Account For Variable Annuities Travelers Money Market Account For Variable Annuities Date November 24, 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 Chairman of the Board Chief Executive Officer Travelers Growth and Income Stock Account For Variable Annuities Travelers Quality Bond Account For Variable Annuities Travelers Money Market Account For Variable Annuities Date November 24, 2004 By: /s/ David A. Golino David A. Golino Principal Accounting Officer Travelers Growth and Income Stock Account For Variable Annuities Travelers Quality Bond Account For Variable Annuities Travelers Money Market Account For Variable Annuities Date November 24, 2004