N-Q 1 c37581_n-q.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: March 31, 2005 ITEM 1. Schedule of Investments. THE TRAVELERS GROWTH AND INCOME STOCK ACCOUNT FOR VARIABLE ANNUITIES STATEMENT OF INVESTMENTS (UNAUDITED) MARCH 31, 2005 NO. OF FAIR SHARES VALUE ------------ ------------ COMMON STOCKS (97.9%) AEROSPACE (0.9%) Boeing Co. 4,777 $ 279,263 General Dynamics Corp. 4,290 459,244 ------------ 738,507 ------------ AUTOMOTIVE (1.5%) Ford Motor Co. 26,244 297,345 General Motors Corp. 10,670 313,591 Harley-Davidson 4,937 285,161 PACCAR Inc. 5,757 416,519 ------------ 1,312,616 ------------ BANKING (7.8%) Bank of America Corp. 218,963 9,656,268 Capital One Financial Corp. 39,987 2,989,828 Comerica, Inc. 29,659 1,633,618 First Horizon National 187 7,628 JP Morgan Chase & Co. 209,479 7,247,973 KeyCorp 20,142 653,608 Marshall & Ilsley Corp. 17,222 719,019 MBNA Corp. 19,071 468,193 National City Corp. 62,443 2,091,841 Providian Financial Corp. 58,660 1,006,606 U.S. Bancorp 65,057 1,874,943 Wachovia Corp. 101,743 5,179,736 Washington Mutual, Inc. 12,511 494,185 Wells Fargo & Co. 77,788 4,651,722 ------------ 38,675,168 ------------ BEVERAGE (1.9%) Coca-Cola Co. 99,008 4,125,663 Coca-Cola Enterprises Inc. 20,500 420,660 PepsiCo, Inc. 92,172 4,887,881 ------------ 9,434,204 ------------ BIOTECHNOLOGY (0.2%) Genetech Inc. (A) 18,908 1,070,382 ------------ BROKERAGE (3.3%) Bear Stearns Companies 33,989 3,395,501 Franklin Resources, Inc. 13,430 921,970 Goldman Sachs Group Inc. 32,055 3,525,730 Lehman Brothers Holdings Inc. 28,282 2,663,033 Merrill Lynch & Co. Inc. 44,764 2,533,642 Morgan Stanley 56,288 3,222,488 ------------ 16,262,364 ------------ BUILDING MATERIALS (0.2%) Masco Corp. 33,757 1,170,355 ------------ CAPITAL GOODS (1.0%) Danaher Corp. 41,870 2,236,277 Deere & Co. 33,356 2,239,188 Eaton Corp. 9,304 608,482 ------------ 5,083,947 ------------ CHEMICALS (1.6%) Dow Chemical 53,111 2,647,583 E.I. du Pont de Nemours & Co. 19,818 1,015,474 Ecolab Inc. 34,071 1,126,047 Monsanto Co. 52,040 3,356,580 ------------ 8,145,684 ------------ CONGLOMERATES (5.5%) 3M Co. 24,333 2,085,095 General Electric Co. 469,406 16,926,780 Honeywell International, Inc. 38,396 1,428,715 Parker-Hannifin 21,745 1,324,705 Tyco International Ltd. 95,801 3,238,074 United Technologies Corp. 23,099 2,348,244 ------------ 27,351,613 ------------ CONSUMER (4.3%) Avery Dennison Corp. 12,266 759,633 Ball Corp. 20,685 858,014 Black & Decker Corp. 3,870 305,691 Colgate-Palmolive Co. 15,415 804,201 Eastman Kodak 43,780 1,425,039 Energizer Holdings (A) 12,224 730,995 Fortune Brands 25,817 2,081,625 Gillette Co. 22,552 1,138,425 Molson Coors Brewing Co. (Class B) 16,217 1,251,466 NIKE, Inc. (Class B) 37,336 3,110,462 Pactiv Corp. (A) 48,156 1,124,443 Procter & Gamble Co. 119,445 6,330,585 Sealed Air Corp. (A) 25,632 1,331,326 ------------ 21,251,905 ------------ DEFENSE (0.7%) Lockheed Martin Corp. 28,481 1,739,050 Northrop Grumman Corp. 37,063 2,000,661 ------------ 3,739,711 ------------ ELECTRIC UTILITIES (1.5%) American Electric Power 60,665 2,066,250 Edison International 45,193 1,569,101 FirstEnergy Corp. 51,594 2,164,368 Public Service Enterprise Group 12,894 701,305 Southern Co. 26,538 844,705 ------------ 7,345,729 ------------ 1 THE TRAVELERS GROWTH AND INCOME STOCK ACCOUNT FOR VARIABLE ANNUITIES STATEMENT OF INVESTMENTS (UNAUDITED) - CONTINUED MARCH 31, 2005 NO. OF FAIR SHARES VALUE ------------ ------------ ENTERTAINMENT (1.6%) Carnival Corp. 36,495 $ 1,890,806 Electronic Arts (A) 9,830 509,047 The Walt Disney Co. 141,177 4,056,015 Viacom, Inc. (Class B) 36,988 1,288,292 ------------ 7,744,160 ------------ FINANCE (1.8%) American Express Co. 68,437 3,515,609 CIT Group Holdings, Inc. 39,850 1,514,300 Countrywide Financial 51,029 1,656,401 E*Trade Financial Corp. (A) 88,060 1,056,720 Principal Financial Group 28,366 1,091,807 ------------ 8,834,837 ------------ FOOD (2.3%) Archer-Daniels-Midland Co. 111,395 2,738,089 Hormel Foods Corp. 16,152 502,489 Kellogg Co. 9,520 411,930 McDonald's Corp. 94,647 2,947,308 Sara Lee Corp. 96,936 2,148,102 Smithfield Foods (A) 37,541 1,184,419 Starbucks Corp. (A) 17,722 916,405 Yum! Brands 12,609 653,272 ------------ 11,502,014 ------------ HEALTHCARE (2.4%) Aetna Inc. 23,912 1,792,204 Caremark Rx, Inc. (A) 29,016 1,154,257 Humana, Inc. (A) 58,548 1,870,023 Medco Health Solutions (A) 12,935 641,188 UnitedHealth Group, Inc. 49,977 4,766,806 Wellpoint, Inc. (A) 12,764 1,599,967 ------------ 11,824,445 ------------ HOME CONSTRUCTION (0.3%) Pulte Homes, Inc. 22,207 1,635,102 ------------ INDEPENDENT ENERGY (1.0%) Anadarko Petroleum Corp. 13,825 1,052,083 Burlington Resources 40,138 2,009,710 Devon Energy Corp. 14,999 716,202 Kerr-McGee Corp. 18,734 1,467,434 ------------ 5,245,429 ------------ INSURANCE (5.9%) ACE Limited 13,541 558,837 AFLAC Inc. 24,524 913,764 Allstate Corp. 62,001 3,351,774 Ambac Financial Group 26,448 1,976,988 American International Group, Inc. 124,482 6,897,548 Aon Corp. 13,980 319,303 Chubb Corp. 29,535 2,341,240 CIGNA Corp. 17,637 1,574,984 Hartford Financial Services Group, Inc. 9,777 670,311 Jefferson-Pilot Corp. 6,681 327,703 Lincoln National Corp. 8,921 402,694 Marsh & McLennan Cos., Inc. 23,911 727,373 MetLife Inc. 34,595 1,352,665 MGIC Investment Corp. 16,983 1,047,342 Prudential Financial, Inc. 77,556 4,451,714 The Progressive Corp. 26,067 2,391,908 ------------ 29,306,148 ------------ INTERGRATED ENERGY (5.5%) ChevronTexaco Corp. 90,532 5,278,921 ConocoPhillips 32,058 3,457,135 Exxon Mobil Corp. 289,791 17,271,544 Marathon Oil 29,800 1,398,216 ------------ 27,405,816 ------------ LODGING (0.6%) Marriott International (Class A) 34,427 2,301,789 Starwood Hotels & Resorts 8,105 486,543 ------------ 2,788,332 ------------ MACHINERY (0.4%) Ingersoll-Rand Co. (Class A) 27,942 2,225,580 ------------ MEDIA NON-CABLE (0.3%) News Corp. Limited 81,567 1,380,114 ------------ MEDICAL SUPPLIES (2.0%) Abbott Laboratories 70,208 3,273,097 Becton, Dickinson and Company 11,267 658,218 Boston Scientific (A) 38,168 1,117,941 Cardinal Health 7,768 433,454 Hospira, Inc. (A) 4,029 130,016 Medtronic, Inc. 54,818 2,792,977 Zimmer Holdings, Inc. (A) 23,665 1,841,374 ------------ 10,247,077 ------------ METALS (0.9%) Alcoa Inc. 100,799 3,063,282 Newmont Mining Corp. 18,793 794,004 Nucor Corp. 12,173 700,678 ------------ 4,557,964 ------------ MULTIMEDIA (2.3%) Brown-Forman Corp. (Class B) 11,879 650,375 Comcast Corp. (Class A) 97,360 3,282,979 Gannett Co., Inc. 21,593 1,707,575 Lamar Advertising (Class A) (A) 22,067 888,969 Time Warner Inc. (A) 278,170 4,881,884 ------------ 11,411,782 ------------ 2 THE TRAVELERS GROWTH AND INCOME STOCK ACCOUNT FOR VARIABLE ANNUITIES STATEMENT OF INVESTMENTS (UNAUDITED) - CONTINUED MARCH 31, 2005 NO. OF FAIR SHARES VALUE ------------ ------------ OIL COMPANIES (1.7%) Baker Hughes Inc. 22,470 $ 999,690 Halliburton Co. 18,971 820,496 Occidental Petroleum Corp. 18,015 1,282,128 Schlumberger Ltd. 31,217 2,200,174 Sunoco Inc. 7,447 770,914 Transocean, Inc. 20,528 1,056,371 Valero Energy Corp. 17,634 1,292,043 ------------ 8,421,816 ------------ PAPER (0.7%) Georgia-Pacific Corp. 16,984 602,762 International Paper 22,871 841,424 Kimberly Clark Corp. 23,085 1,517,377 Weyerhaeuser Co. 9,572 655,682 ------------ 3,617,245 ------------ PHARMACEUTICALS (7.6%) AmerisourceBergen Corp. 16,096 922,140 Amgen, Inc. 59,608 3,467,397 Biogen Idec Inc. (A) 30,088 1,038,186 Bristol-Myers Squibb 86,443 2,200,839 Eli Lilly & Co. 40,884 2,130,056 Forest Laboratories (Class A) (A) 32,163 1,188,423 Gilead Sciences, Inc. (A) 47,748 1,709,140 IVAX Corp. 46,614 921,559 Johnson & Johnson 133,499 8,965,793 Merck & Co., Inc. 98,917 3,201,943 Pfizer Inc. 341,866 8,980,820 Schering-Plough Corp. 65,700 1,192,455 Wyeth 42,527 1,793,789 ------------ 37,712,540 ------------ RETAILERS (5.8%) Autozone, Inc. (A) 5,522 473,235 Best Buy Co. Inc. 29,694 1,603,773 Borders Group, Inc. 44,467 1,183,712 Costco Wholesale Corp. 20,962 927,673 CVS Corp. 31,185 1,640,955 Federated Department Stores, Inc. 12,017 764,762 GameStop Corp. (Class A) (A) 14,792 329,862 Home Depot, Inc. 154,949 5,925,250 Jones Apparel Group, Inc. 6,769 226,694 Limited Brands 44,991 1,093,281 Lowe's Cos 18,362 1,048,287 Staples Inc. 22,803 716,242 Supervalu, Inc. 36,693 1,223,712 Target Corp. 12,992 649,860 Toys R Us, Inc. (A) 68,705 1,769,841 Walgreen Co. 53,298 2,367,497 Wal-Mart Stores, Inc. 139,606 6,995,657 ------------ 28,940,293 ------------ SERVICES (0.9%) Cendant Corp. 50,044 1,027,904 eBay Inc. (A) 39,912 1,486,922 Yahoo! Inc. (A) 59,995 2,037,130 ------------ 4,551,956 ------------ TECHNOLOGY (14.0%) Adobe Systems 31,844 2,138,325 Advanced Micro Devices (A) 81,418 1,312,458 Analog Devices, Inc. 17,393 628,583 Apple Computer (A) 34,826 1,453,986 Autodesk, Inc. 64,587 1,924,693 Cisco Systems, Inc. (A) 305,759 5,477,673 Computer Sciences Corp. (A) 22,663 1,039,099 Comverse Technology Inc. (A) 79,351 2,000,042 Corning Inc. 61,088 679,910 Dell Inc. (A) 113,171 4,348,596 EMC Corp. (A) 112,064 1,380,629 Fiserv Inc. (A) 11,837 470,935 Hewlett Packard Co. 137,739 3,021,994 Intel Corp. 292,373 6,791,825 International Business Machine 81,101 7,411,009 Jabil Circuit (A) 44,275 1,262,723 KLA-Tencor Corp. 9,190 422,786 Lexmark International (Class A) (A) 5,855 468,224 Maxim Integrated Products 14,404 587,971 Micron Technology, Inc. 96,872 1,001,657 Microsoft Corp. 428,928 10,365,045 Motorola, Inc. 200,433 3,000,482 NCR Corp. (A) 50,049 1,688,653 Oracle Corp. (A) 225,764 2,816,406 Scientific-Atlanta, Inc. 48,056 1,356,140 Sun Microsystems, Inc. (A) 159,356 643,002 Texas Instruments Inc. 90,993 2,319,412 Thomas & Betts Corp. 41,868 1,352,336 VERITAS Software (A) 52,298 1,214,098 Waters Corp. (A) 27,303 977,174 ------------ 69,555,866 ------------ TELECOMMUNICATIONS (4.0%) AT&T Corp. 144,021 2,700,394 BellSouth Corp. 72,134 1,896,403 CenturyTel, Inc. 52,570 1,726,399 NEXTEL Communications (Class A) (A) 28,858 820,289 Nextel Partners, Inc. (A) 28,730 629,905 Polycom, Inc. (A) 47,689 808,567 QUALCOMM, Inc. 67,204 2,462,019 SBC Communications Inc. 185,563 4,395,988 Verizon Communications 123,017 4,367,104 ------------ 19,807,068 ------------ 3 THE TRAVELERS GROWTH AND INCOME STOCK ACCOUNT FOR VARIABLE ANNUITIES STATEMENT OF INVESTMENTS (UNAUDITED) - CONTINUED MARCH 31, 2005 NO. OF FAIR SHARES VALUE ------------ ------------ TOBACCO (1.2%) Altria Group 92,672 $ 6,059,822 ------------ TRANSPORTATION SERVICES (1.4%) Burlington Northern Santa Fe 37,538 2,024,424 CSX Corp. 34,469 1,435,634 United Parcel Service (Class B) 51,588 3,752,511 ------------ 7,212,569 ------------ UNITED STATES AGENCY SECURITIES (1.0%) Federal Association National Mortgage 51,346 2,795,790 Federal Home Loan Mortgage Corp. 33,802 2,136,286 ------------ 4,932,076 ------------ UTILITIES (1.9%) AES Corp. (A) 123,089 2,016,198 Constellation Energy Group 45,424 2,348,421 Exelon Corp. 54,723 2,511,239 Kinder Morgan 29,212 2,211,348 National Fuel Gas Co. 11,875 339,506 ------------ 9,426,712 ------------ TOTAL COMMON STOCKS (COST $438,311,965) 487,640,063 ------------ PRINCIPAL AMOUNT ------------ SHORT-TERM INVESTMENTS (2.0%) COMMERCIAL PAPER (1.8%) UBS AG, 2.87% due April 1, 2005 $ 9,025,000 9,025,000 ------------ UNITED STATES TREASURY (0.2%) United States of America Treasury, 2.52% due May 12, 2005 (B) 900,000 897,366 ------------ TOTAL SHORT-TERM INVESTMENTS (COST $9,922,465) 9,922,366 ------------ NOTIONAL VALUE ------------ FUTURES CONTRACTS (0.0%) S&P 500 Stock Index, Exp. June, 2005 (C) $ 2,959,750 -- ------------ FAIR VALUE ------------ TOTAL INVESTMENTS (99.9%) (COST $448,234,174) (D) $497,562,429 ------------ OTHER ASSETS AND LIABILITIES (0.1%) 406,740 ------------ TOTAL NET ASSETS (100.0%) $497,969,169 ============ NOTES (A) Non-income Producing Security. (B) Par value of $900,000 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 March 31, 2005, net unrealized appreciation for all securities was $49,328,255. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of fair value over cost of $89,260,607 and aggregate gross unrealized depreciation for all securities in which there was an excess of cost over fair value of $39,932,352. See Notes to Statement of Investments 4 THE TRAVELERS GROWTH AND INCOME STOCK ACCOUNT FOR VARIABLE ANNUITIES NOTES TO STATEMENT OF INVESTMENTS (UNAUDITED) MARCH 31, 2005 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, Universal Select Annuity, and Universal Annuity Advantage 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 March 31, 2005. 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 March 31, 2005. 5 THE TRAVELERS GROWTH AND INCOME STOCK ACCOUNT FOR VARIABLE ANNUITIES NOTES TO STATEMENT OF INVESTMENTS (UNAUDITED) - CONTINUED MARCH 31, 2005 2. INVESTMENTS The aggregate costs of purchases and proceeds from sales of investments (other than short-term securities), were $43,562,570 and $56,803,695 respectively; the costs of purchases and proceeds from sales of direct and indirect U.S. government securities were $894,392 and $1,400,000, respectively, for the three months ended March 31, 2005. Realized gains and losses from investment security transactions are reported on an identified cost basis. At March 31, 2005, Account GIS held ten open S&P 500 Stock Index futures contracts expiring in June, 2005. The underlying face value, or notional value, of these contracts at March 31, 2005 amounted to $2,959,750. In connection with these contracts, short-term investments with a par value of $900,000 had been pledged as margin deposits. Net realized gains (losses) resulting from futures contracts were ($99,198) for the three months ended March 31, 2005. 6 THE TRAVELERS QUALITY BOND ACCOUNT FOR VARIABLE ANNUITIES STATEMENT OF INVESTMENTS (UNAUDITED) MARCH 31, 2005
PRINCIPAL FAIR AMOUNT VALUE ------------- ------------- BONDS (70.7%) AIRLINES (0.3%) Delta Air Lines, Inc., 9.25% Debentures, 2007 (A)....................................... $ 439,660 $ 263,796 ------------ ASSET BACKED SECURITIES (4.5%) CA Infrastructure, 3.05% Debentures, 2008............................................... 502,636 513,724 Chase Funding Mortgage Loan Asset Backed Security Certificate, 4.43% Debentures, 2032... 500,000 513,753 Daimler Chrysler Auto, 2.45% Debentures, 2006........................................... 604,990 607,328 Discover Card Mt, 2.94% Debentures, 2008................................................ 1,100,000 1,122,226 Ford Credit Auto Owner Trust, 2.69% Debentures, 2006.................................... 1,177,904 1,183,454 Toyota Auto Recovery Owner Trust, 2.67% Debentures, 2006................................ 309,395 309,245 ------------ 4,249,730 ------------ AUTOMOTIVE (1.6%) Daimler Chrysler NA Holdings, 5.09% Debentures, 2012.................................... 700,000 764,273 Ford Motor Co., 7.66% Debentures, 2031.................................................. 200,000 181,406 Lear Corp., 2.35% Debentures, 2005...................................................... 600,000 602,840 ------------ 1,548,519 ------------ BANKING (7.8%) ABN AMRO Holdings ADS, 2.83% Debentures, 2007........................................... 920,000 921,056 Bank of America Corp., 4.75% Debentures, 2014........................................... 600,000 610,684 Capital One Bank, 4.66% Debentures, 2009................................................ 620,000 623,360 Credit Suisse First Boston Corp., 4.86% Debentures, 2011................................ 300,000 318,717 Credit Suisse First Boston Corp., 4.93% Debentures, 2015................................ 700,000 675,331 HSBC Bank USA, 5.91% Debentures, 2034................................................... 400,000 404,047 Huntington National Bank, 4.68% Debentures, 2009........................................ 400,000 399,978 JP Morgan Chase & Co., 4.94% Debentures, 2015........................................... 200,000 199,605 Royal Bank of Scotland PLC, 5.05% Debentures, 2015...................................... 600,000 596,557 U.S. Bancorp NA MN, 2.89% Debentures, 2007.............................................. 1,000,000 980,589 U.S. Bancorp NA MN, 4.95% Debentures, 2014.............................................. 200,000 197,829 Wachovia Corp. NA, 4.87% Debentures, 2014............................................... 300,000 291,578 Wachovia Corp. NA, 3.07% Debentures, 2014............................................... 700,000 708,981 Washington Mutual Inc. NA, 5.71% Debentures, 2014....................................... 500,000 509,606 ------------ 7,437,918 ------------ BEVERAGE (1.1%) Pepsi Bottling Group, 4.34% Debentures, 2012............................................ 400,000 393,518 PepsiAmericas, Inc., 4.91% Debentures, 2015............................................. 700,000 686,522 ------------ 1,080,040 ------------ BROKERAGE (3.7%) Goldman Sachs Group Inc., 4.95% Debentures, 2013........................................ 1,100,000 1,094,599 Lehman Brothers Holdings Inc., 4.85% Debentures, 2014................................... 700,000 676,351 Merrill Lynch & Co. Inc., 4.2% Debentures, 2009......................................... 800,000 780,428 Merrill Lynch & Co. Inc., 5.09% Debentures, 2015........................................ 400,000 388,379 Morgan Stanley, 5.31% Debentures, 2012.................................................. 500,000 546,557 ------------ 3,486,314 ------------
7 THE TRAVELERS QUALITY BOND ACCOUNT FOR VARIABLE ANNUITIES STATEMENT OF INVESTMENTS (UNAUDITED) - CONTINUED MARCH 31, 2005
PRINCIPAL FAIR AMOUNT VALUE --------------- ------------ BUILDING MATERIALS (0.4%) D.R. Horton, 5.41% Debentures, 2015..................................................... $ 400,000 $ 367,451 ------------ COLLATERALIZED MORTGAGE OBLIGATIONS (5.5%) Bank of America Commercial Mortgage Inc. , 4.84% Debentures, 2042....................... 1,400,000 1,369,844 Credit Suisse First Boston Commercial Mortgage Corp., 4.85% Debentures, 2037............ 220,000 215,470 JP Morgan Chase & Co. Commercial M0rtgage, 4.88% Debentures, 2042....................... 1,600,000 1,569,882 JP Morgan Chase & Co. Commercial M0rtgage, 5.05% Debentures, 2046....................... 775,000 770,072 LB UBS Commercial Mortgage Trust, 4.74% Debentures, 2031................................ 670,000 667,575 Morgan Stanley Capital, 4.79% Debentures, 2056.......................................... 700,000 681,064 ------------ 5,273,907 ------------ CONGLOMERATES (2.5%) General Electric Co., 4.66% Debentures, 2013............................................ 1,300,000 1,300,192 Tyco International Ltd., 4.28% Debentures, 2008......................................... 1,000,000 1,050,220 ------------ 2,350,412 ------------ DEFENSE (0.6%) Northrop Grumman Corp., 3.41% Debentures, 2006.......................................... 600,000 599,458 ------------ ELECTRIC UTILITIES (2.4%) Dominion Resources Inc., 5.22% Debentures, 2033......................................... 400,000 399,306 PSEG Energy Holdings, 21.8% Debentures, 2008............................................ 450,000 477,000 SCANA Corp., 3.24% Debentures, 2006..................................................... 1,000,000 1,001,176 TransAlta Corp., 5.22% Debentures, 2013................................................. 400,000 407,603 ------------ 2,285,085 ------------ FINANCE (7.0%) AIG SunAmerica Global Financial, 3.55% Debentures, 2008 (B)............................. 500,000 521,526 American General Financial Corp., 3.98% Debentures, 2009................................ 900,000 864,944 Caterpillar Financial Services Corp., 4.72% Debentures, 2012............................ 800,000 789,366 Countrywide Home Loan, 4.07% Debentures, 2011........................................... 610,000 578,284 Ford Motor Credit Co., 6.56% Debentures, 2006........................................... 1,000,000 1,013,800 Ford Motor Credit Co., 5.75% Debentures, 2010........................................... 100,000 94,292 General Motors Acceptance Corp., 6.65% Debentures, 2011................................. 650,000 604,195 General Motors Acceptance Corp., 6.06% Debentures, 2011................................. 200,000 181,196 Glencore Funding LLC, 6.7% Debentures, 2014 (B)......................................... 300,000 285,785 Household Financial Corp., 4.7% Debentures, 2011........................................ 1,400,000 1,514,447 Rabobank Capital Funding Trust III, 5.25% Debentures, 2016 (B).......................... 200,000 198,507 ------------ 6,646,342 ------------ FOOD (1.1%) Fred Meyer Inc., 4.83% Debentures, 2008................................................. 1,000,000 1,072,362 ------------ HEALTHCARE (0.5%) Anthem Inc., 4.86% Debentures, 2012..................................................... 400,000 444,230 ------------
8 THE TRAVELERS QUALITY BOND ACCOUNT FOR VARIABLE ANNUITIES STATEMENT OF INVESTMENTS (UNAUDITED) - CONTINUED MARCH 31, 2005
PRINCIPAL FAIR AMOUNT VALUE --------------- ------------ HOME CONSTRUCTION (0.4%) Pulte Homes Inc., 5.59% Debentures, 2015................................................ $ 400,000 $ 378,399 ------------ INDEPENDENT ENERGY (1.0%) Anadarko Financial Co., 4.88% Debentures, 2011.......................................... 400,000 440,831 Devon Energy Corp., 5.42% Debentures, 2011.............................................. 500,000 551,240 ------------ 992,071 ------------ INSURANCE (2.1%) GE Global Insurnace, 6.18% Debentures, 2026............................................. 100,000 107,915 Mass Mutual Global Funding, 2.58% Debentures, 2008 (B).................................. 900,000 849,857 New York Life Global Funding, 5.42% Debentures, 2013 (B)................................ 1,000,000 1,023,924 ------------ 1,981,696 ------------ MACHINERY (0.2%) Cooper Cameron Corp. , 2.67% Debentures, 2007........................................... 200,000 192,858 ------------ MEDIA CABLE (2.8%) Comcast Cable Communications, 8.7% Debentures, 2027..................................... 500,000 643,660 Cox Communications Inc., 4.98% Debentures, 2012......................................... 800,000 873,750 Liberty Media Corp., 4.74% Debentures, 2006............................................. 1,100,000 1,114,883 ------------ 2,632,293 ------------ METALS (0.4%) Phelps Dodge Corp., 5.31% Debentures, 2011.............................................. 300,000 359,676 ------------ MULTIMEDIA (2.8%) Clear Channel Communications Inc., 4.72% Debentures, 2011............................... 200,000 188,662 Time Warner Inc., 9.66% Debentures, 2007................................................ 2,400,000 2,478,475 ------------ 2,667,137 ------------ NATURAL GAS DISTRIBUTION (1.4%) Duke Capital LLC, 3.77% Debentures, 2006................................................ 400,000 400,424 Duke Energy Field Service, 5.68% Debentures, 2005....................................... 500,000 507,225 Southern California Gas Co., 4.38% Debentures, 2011..................................... 400,000 391,465 ------------ 1,299,114 ------------ NATURAL GAS PIPELINE (0.2%) Consolidated Natural Gas Co., 5.04% Debentures, 2014.................................... 200,000 195,925 ------------ PAPER (0.2%) International Paper, 5.38% Debentures, 2015............................................. 200,000 199,768 ------------ PHARMACEUTICALS (1.3%) Wyeth, 5.52% Debentures, 2014........................................................... 1,200,000 1,222,142 ------------
9 THE TRAVELERS QUALITY BOND ACCOUNT FOR VARIABLE ANNUITIES STATEMENT OF INVESTMENTS (UNAUDITED) - CONTINUED MARCH 31, 2005
PRINCIPAL FAIR AMOUNT VALUE --------------- ------------ REAL ESTATE (6.0%) Avalonbay Communties, Inc., 5% Debentures, 2013......................................... $ 100,000 $ 98,525 Colonial Realty LP, 4.75% Debentures, 2010.............................................. 200,000 196,854 Health Retirement Properties, 6.39% Debentures, 2016.................................... 300,000 317,655 iStar Financial, 6.32% Debentures, 2010................................................. 240,000 247,697 Kimco Reality, 2.94% Debentures, 2006................................................... 100,000 100,111 Nationwide Health Properties Inc., 6.9% Debentures, 2037................................ 4,500,000 4,791,681 ------------ 5,752,523 ------------ SUPERMARKETS (0.8%) Safeway Inc., 4.96% Debentures, 2011.................................................... 700,000 742,742 ------------ TECHNOLOGY (0.8%) Computer Associates International, 4.72% Debentures, 2009 (B)........................... 800,000 785,058 ------------ TELECOMMUNICATIONS (2.7%) Deutsche Telecomm International Financial, 6.1% Debentures, 2030........................ 200,000 262,344 Deutsche Telekom ADS, 2.31% Debentures, 2005............................................ 1,100,000 1,110,664 SBC Communications Inc., 5.04% Debentures, 2014......................................... 400,000 390,593 Sprint Capital Corp., 4.9% Debentures, 2008............................................. 720,000 753,160 ------------ 2,516,761 ------------ TOBACCO (1.0%) Altria Group, 5.74% Debentures, 2008.................................................... 900,000 926,634 ------------ UNITED STATES AGENCY SECURITIES (3.5%) Federal Association National Mortgage, 2.13% Debentures, 2006........................... 1,300,000 1,268,881 Federal Association National Mortgage, 3% Debentures, 2007.............................. 1,400,000 1,389,580 Federal Home Loan Mortgage Corp., 2.9% Debentures, 2019................................. 700,000 695,792 ------------ 3,354,253 ------------ UTILITIES (4.1%) Kinder Morgan , 5.14% Debentures, 2014.................................................. 200,000 194,956 Pepco Holdings, 5.15% Debentures, 2007.................................................. 1,600,000 1,637,958 SP Powerassets Ltd., 5.08% Debentures, 2013............................................. 900,000 898,985 Xcel Energy Inc., 3.44% Debentures, 2008 (B)............................................ 1,200,000 1,158,956 ------------ 3,890,855 ------------ TOTAL BONDS (COST $67,207,788)...................................................................... 67,195,469 ------------ UNITED STATES GOVERNMENT SECURITIES (15.9%) United States of America Treasury, 2.14% Debentures, 2006............................... 3,075,000 3,066,353 United States of America Treasury, 1.5% Debentures, 2005................................ 6,060,000 6,158,954 United States of America Treasury, 3.01% Debentures, 2011............................... 2,400,000 2,341,032 United States of America Treasury, 3.67% Debentures, 2014............................... 665,000 649,285 United States of America Treasury, 4% Debentures, 2014.................................. 100,000 97,090 United States of America Treasury, 4.45% Debentures, 2019............................... 2,950,000 2,835,227 ------------
10 THE TRAVELERS QUALITY BOND ACCOUNT FOR VARIABLE ANNUITIES STATEMENT OF INVESTMENTS (UNAUDITED) - CONTINUED MARCH 31, 2005
PRINCIPAL FAIR AMOUNT VALUE --------------- ------------ TOTAL UNITED STATES GOVERNMENT SECURITIES (COST $15,358,866)...................................................................... $ 15,147,941 ------------ COMMERCIAL PAPER (12.4%) Goldman Sachs Group Inc., 2.84% Debentures, 2005........................................ $ 3,000,000 3,000,000 Morgan Stanley, 2.84% Debentures, 2005.................................................. 2,725,000 2,725,000 Chesham Finance LLC, 2.85% Debentures, 2005............................................. 3,115,000 3,113,312 Galleon Capital Corp., 2.89% Debentures, 2009........................................... 3,004,000 3,004,000 ------------ TOTAL SHORT-TERM INVESTMENTS (COST $11,842,541)...................................................................... 11,842,312 ------------ TOTAL INVESTMENTS (99.0%) (COST $94,409,195)...................................................................... 94,185,722 ------------ OTHER ASSETS AND LIABILITIES (1.0%)...................................................... 917,958 ------------ TOTAL NET ASSETS (100.0%)................................................................ $ 95,103,680 ============
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 March 31, 2005, The Travelers Quality Bond Account for Variable Annuities held 5.1% of its net assets, with a current market value of $4,823,613, in securities restricted as to resale (C) At March 31, 2005, net unrealized depreciation for all securities was $223,473. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of fair value over cost of $1,073,574 and aggregate gross unrealized depreciation for all securities in which there was an excess of cost over fair value of $1,297,047. See Notes to Statement of Investments 11 THE TRAVELERS QUALITY BOND ACCOUNT FOR VARIABLE ANNUITIES NOTES TO STATEMENT OF INVESTMENTS (UNAUDITED) MARCH 31, 2005 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, Universal Select Annuity, and Universal Annuity Advantage 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 March 31, 2005. 12 THE TRAVELERS QUALITY BOND ACCOUNT FOR VARIABLE ANNUITIES NOTES TO STATEMENT OF INVESTMENTS (UNAUDITED) - CONTINUED MARCH 31, 2005 2. INVESTMENTS The aggregate costs of purchases and proceeds from sales of investments (other than short-term securities) were $9,383,850 and $20,171,995, respectively; the costs of purchases and proceeds from sales of direct and indirect U.S. government securities were $3,903,021 and $1,214,484, respectively, for the three months ended March 31, 2005. Realized gains and losses from investment security transactions are reported on an identified cost basis. 13 THE TRAVELERS MONEY MARKET ACCOUNT FOR VARIABLE ANNUITIES STATEMENT OF INVESTMENTS (UNAUDITED) MARCH 31, 2005
PRINCIPAL FAIR AMOUNT VALUE --------------- ------------ SHORT-TERM INVESTMENTS (100.0%) COMMERCIAL PAPER (95.6%) American General Financial Corp., 2.77% due April 13, 2005........................ $ 3,190,000 $ 3,186,794 American Honda Financial Corp., 2.75% due April 26, 2005.......................... 3,200,000 3,193,523 Bank of America Corp., 2.65% due April 18, 2005................................... 3,300,000 3,295,403 Barclays U.S. Funding Corp., 2.83% due April 29, 2005............................. 3,327,000 3,319,474 Bryant Park Funding LLC, 2.77% due April 11, 2005................................. 3,200,000 3,197,277 E.I. du Pont de Nemours & Co., 2.74% due April 20, 2005........................... 3,200,000 3,195,040 General Electric Capital Corp., 2.69% due April 6, 2005........................... 3,208,000 3,206,508 Goldman Sachs Group Inc., 2.71% due April 7, 2005................................. 3,200,000 3,198,266 ING U.S. Funding LLC, 2.73% due April 12, 2005.................................... 3,200,000 3,197,031 Jupiter Securitization Corp., 2.81% due April 15, 2005............................ 3,200,000 3,196,294 Morgan Stanley, 2.84% due April 21, 2005.......................................... 3,200,000 3,194,787 Nieuw Amsterdam Receivables Corp., 2.84% due April 27, 2005....................... 3,200,000 3,193,270 Preferred Receivables Funding Corp., 2.79% due April 14, 2005..................... 3,181,000 3,177,561 Quebec Providence of Canada, 2.79% due April 25, 2005............................. 3,200,000 3,193,779 Royal Bank of Scotland PLC, 2.83% due May 3, 2005................................. 2,994,000 2,986,258 Shell Finance (UK) PLC, 2.76% due April 14, 2005.................................. 3,075,000 3,071,676 Societe Generale North America, 2.64% due April 4, 2005........................... 2,100,000 2,099,349 Toronto Dominion Bank, 2.67% due April 8, 2005.................................... 3,200,000 3,199,888 Toyota Motor Credit Corp., 2.7% due, April 7, 2005................................ 3,200,000 3,198,266 UBS AG, 2.87% due April 1, 2005................................................... 1,759,000 1,759,000 Victory Receivables Corp., 2.81% due April 19, 2005............................... 3,100,000 3,095,440 ------------- 64,354,884 ------------- UNITED STATES AGENCY SECURITIES (4.4%) Federal Home Loan, 2.71% due April 8, 2005........................................ 3,000,000 2,998,425 ------------- TOTAL INVESTMENTS (100.0%) (COST $67,359,548)................................................................ 67,353,309 ------------- OTHER ASSETS AND LIABILITIES (0.0%)................................................. (4,741) ------------- TOTAL NET ASSETS (100.0%)........................................................... $ 67,348,568 =============
14 THE TRAVELERS MONEY MARKET ACCOUNT FOR VARIABLE ANNUITIES NOTES TO STATEMENT OF INVESTMENTS (UNAUDITED) MARCH 31, 2005 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, Universal Select Annuity, and Universal Annuity Advantage 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 March 31, 2005. 15 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 as of a date within 90 days of the filing date of this document. (b) There were no changes in the registrant's internal control over financials 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. (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 May 25, 2005 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 May 25, 2005 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 May 25, 2005