UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-8372
Travelers Series Fund Inc.
(Exact name of registrant as specified in charter)
| | |
| 125 Broad Street, New York, NY | | 10004 |
| (Address of principal executive offices) | | (Zip code) |
Robert I. Frenkel, Esq.
Smith Barney Fund Management LLC
300 First Stamford Place
Stamford, CT 06902
(Name and address of agent for service)
Registrant’s telephone number, including area code: (800) 451-2010
Date of fiscal year end: October 31
Date of reporting period: April 30, 2005
| ITEM 1. | REPORT TO STOCKHOLDERS. |
The Semi-Annual Report to Stockholders is filed herewith.
TRAVELERS SERIES FUND INC.
SMITH BARNEY HIGH
INCOME PORTFOLIO
PIONEER STRATEGIC
INCOME PORTFOLIO
SEMI-ANNUAL REPORT | APRIL 30, 2005
NOT FDIC INSURED • NOT BANK GUARANTEED • MAY LOSE VALUE
WHAT’S INSIDE
LETTER FROM THE CHAIRMAN
R. JAY GERKEN, CFA
Chairman, President and Chief Executive Officer
Dear Shareholder,
Despite rising interest rates, climbing oil prices, geopolitical concerns and uncertainties surrounding the Presidential election, the U.S. economy continued to expand during the period. Following a robust 4.0% gain in the third quarter of 2004, gross domestic product (“GDP”)i growth was 3.8% in the fourth quarter. After the end of the Fund’s reporting period, the advance first quarter 2005 GDP figure was revised up to 3.5% from 3.1%.
Given the overall strength of the economy, the Federal Reserve Board (“Fed”)ii continued to raise interest rates over the period in an attempt to ward off inflation. Following three rate hikes from June through September 2004, the Fed again increased its target for the federal funds rateiii in 0.25% increments four times during the reporting period. After the Fund’s reporting period had ended, at its May meeting, the Fed once again raised its fed funds target rate by 0.25% to 3.00%.
During the first half of the reporting period, the fixed income market confounded many investors as short-term interest rates rose in concert with the Fed rate tightening, while longer-term rates, surprisingly, remained fairly steady. However, this began to change in late February 2005, as strong economic data and inflationary concerns caused longer-term rates to rise as well. This continued through March, before longer-term rates again declined on the back of mixed economic data. Looking at the six-month period as a whole, the overall municipal bond market, as measured by the Lehman Brothers Aggregate Bond Index,iv returned 0.98%.
1 Travelers Series Fund Inc. | 2005 Semi-Annual Report
Within this environment, the Funds performed as follows:v
PERFORMANCE OF THE FUNDS
AS OF APRIL 30, 2005
(unaudited)
| | | | |
| | | 6 Months | |
| | | | | |
Smith Barney High Income Portfolio | | - | 0.52 | % |
| | | | | |
Citigroup High Yield Market Index | | - | 0.31 | % |
| | | | | |
Bear Stearns High Yield Index | | - | 0.07 | % |
| | | | | |
Lipper Variable High Current Yield Funds Category Average | | - | 0.30 | % |
| | | | | |
Pioneer Strategic Income Portfolio | | | 3.30 | % |
| | | | | |
Lehman Brothers Aggregate Bond Index | | | 0.98 | % |
| | | | | |
Citigroup Non-U.S. World Government Bond Index—Unhedged | | | 5.03 | % |
| | | | | |
Lipper Variable General Bond Funds Category Average | | | 1.34 | % |
The performance shown represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above. Principal value and investment returns will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost.
Fund returns assume the reinvestment of all distributions, if any, at net asset value and the deduction of all fund expenses.
Lipper, Inc. is a major independent mutual-fund tracking organization. Returns are based on the six-month period ended April 30, 2005, and include the reinvestment of dividends and capital gains distributions, if any. Returns were calculated among the 92 funds in the variable high current yield funds category. Returns were calculated among the 48 funds in the variable general bond funds category.
Smith Barney High Income Portfolio
Special Shareholder Notice
Effective January 1, 2005, the Citigroup High Yield Market Indexvi replaced the Bear Stearns High Yield Indexvii as the sole benchmark against which the Portfolio’s performance will be measured. The manager has determined that the Citigroup High Yield Market Index is a more appropriate index reflecting more closely the composition of the portfolio of securities.
Performance Updatev
For the six months ended April 30, 2005, the Smith Barney High Income Portfolio, returned -0.52%. The Lipper Variable High Current Yield Funds Category Average1 was -0.30% for the same time frame. The Fund’s
| 1 | Lipper, Inc. is a major independent mutual-fund tracking organization. Returns are based on the 6-month period ended April 30, 2005, including the reinvestment of dividends and capital gains distributions, if any, calculated among the 92 funds in the Fund’s Lipper category, and excluding sales charges. |
2 Travelers Series Fund Inc. | 2005 Semi-Annual Report
unmanaged benchmark, the Citigroup High Yield Market Index, returned -0.31% while the Bear Stearns High Yield Index, its former benchmark, returned -0.07% for the same period.
Pioneer Strategic Income Portfolio
Special Shareholder Notice
At meetings held on March 24, 2005 and April 20, 2005, the Board of Directors approved a proposal to reorganize the Pioneer Strategic Income Portfolio (the “Acquired Fund”) of Travelers Series Fund Inc. (“TSF”) into a newly organized “shell” portfolio (the “Acquiring Fund”) of Travelers Series Trust (“TST”) (the “Reorganization”).
In connection with the Reorganization, the Board of Directors approved an Agreement and Plan of Reorganization (the “Plan”) between TSF, on behalf of the Acquired Fund, and TST, on behalf of the Acquiring Fund, under which the Acquiring Fund would acquire all of the assets of the Acquired Fund and assume all of the liabilities of the Acquired Fund. The Reorganization is being proposed to the Acquired Fund’s shareholders because Travelers Investment Adviser Inc., which serves as investment adviser to the Acquired Fund and is currently an indirect wholly owned subsidiary of Citigroup, Inc. (“Citigroup”), will become an indirect wholly owned subsidiary of MetLife, Inc. (“MetLife”) as part of MetLife’s acquisition of Travelers Life & Annuity, the life insurance and annuity businesses of Citigroup.
A Special Meeting of Shareholders of the Acquired Fund has been called on June 29, 2005 for the purpose of submitting the Plan and such other matters as may properly come before the meeting to the stockholders of the Acquired Fund for approval. The close of business on April 15, 2005 has been fixed as the record date for the determination of stockholders of the Acquired Fund, who are entitled to notice of, and to vote at, the Special Meeting of Shareholders, including any adjournment or adjournments thereof.
Performance Updatev
For the six months ended April 30, 2005, the Pioneer Strategic Income Portfolio returned 3.30%. The Lipper Variable General Bond Funds Category Average2 was 1.34% for the same period. The Fund’s unmanaged benchmarks, the Lehman Brothers Aggregate Bond Indexiv and the Citigroup Non-U.S. World Government Bond Index—Unhedged,viii returned 0.98% and 5.03%, respectively, for the same time frame.
| 2 | Lipper, Inc. is a major independent mutual-fund tracking organization. Returns are based on the 6-month period ended April 30, 2005, including the reinvestment of dividends and capital gains distributions, if any, calculated among the 48 funds in the Fund’s Lipper category, and excluding sales charges. |
3 Travelers Series Fund Inc. | 2005 Semi-Annual Report
Information About Your Funds
As you may be aware, several issues in the mutual fund industry have recently come under the scrutiny of federal and state regulators. The Funds’ Adviser and some of their affiliates have received requests for information from various government regulators regarding market timing, late trading, fees and other mutual fund issues in connection with various investigations. The regulators appear to be examining, among other things, the Funds’ response to market timing and shareholder exchange activity, including compliance with prospectus disclosure related to these subjects. The Funds have been informed that the Adviser and its affiliates are responding to those information requests, but are not in a position to predict the outcome of these requests and investigations.
Important information concerning the Funds and its Adviser with regard to recent regulatory developments is contained in the “Additional Information” note in the Notes to the Financial Statements included in this report.
As always, thank you for your continued confidence in our stewardship of your assets. We look forward to helping you continue to meet your financial goals.
Sincerely,
R. Jay Gerken, CFA
Chairman, President and Chief Executive Officer
May 18, 2005
4 Travelers Series Fund Inc. | 2005 Semi-Annual Report
The information provided is not intended to be a forecast of future events, a guarantee of future results or investment advice. Views expressed may differ from those of the firm as a whole.
Portfolio holdings and breakdowns are as of April 30, 2005 and are subject to change. Please refer to pages 10 through 44 for a list and percentage breakdown of the Funds’ holdings.
RISKS:
Smith Barney High Income Portfolio: Keep in mind, high-yielding bonds are rated below investment grade and carry more risk than higher rated securities. Also, the Fund is subject to fluctuations in share price as interest rates rise and fall and is subject to certain risks of overseas investing, including currency fluctuations, differing securities regulations and periods of illiquidity, which could result in significant market fluctuations. These risks are magnified in emerging markets. As interest rates rise, bond prices fall, reducing the value of the Fund’s share price. The Fund may use derivatives, such as options and futures, which can be illiquid, may disproportionately increase losses, and have a potentially large impact on Fund performance. Please see the Fund’s prospectus for more information on these and other risks.
Pioneer Strategic Income Portfolio: The Fund may invest in high yield bonds. High yield bonds involve greater credit and liquidity risks than investment grade bonds. The Fund may invest in foreign securities. Investing in foreign securities is subject to certain risks not associated with domestic investing, such as currency fluctuations, and changes in political and economic conditions. These risks are magnified in emerging or developing markets. The Fund may use derivatives, such as options and futures, which can be illiquid, may disproportionately increase losses, and have a potentially large impact on Fund performance. Please see the Fund’s prospectus for more information on these and other risks.
All index performance reflects no deduction for fees, expenses or taxes. Please note that an investor cannot invest directly in an index.
| i | Gross domestic product is a market value of goods and services produced by labor and property in a given country. |
| ii | The Federal Reserve Board is responsible for the formulation of a policy designed to promote economic growth, full employment, stable prices, and a sustainable pattern of international trade and payments. |
| iii | The federal funds rate is the interest rate that banks with excess reserves at a Federal Reserve district bank charge other banks that need overnight loans. |
| iv | The Lehman Brothers Aggregate Bond Index is a broad-based bond index comprised of Government, Corporate, Mortgage and Asset-backed issues, rated investment grade or higher, and having at least one year to maturity. |
| v | The Funds are underlying investment options of various variable annuity and variable life insurance products. The Funds’ performance returns do not reflect the deduction of initial sales charges and expenses imposed in connection with investing in variable annuity or variable life insurance contracts, such as administrative fees, account charges, and surrender charges which, if reflected, would reduce the performance of the Funds. Past performance is no guarantee of future results. |
| vi | The Citigroup High Yield Market Index is a broad-based unmanaged index of high yield securities. |
| vii | The Bear Stearns High Yield Index comprises securities across a wide spectrum of industries with at least one year to maturity. All fixed-income, non-convertible, dollar-denominated securities rated both BB+ and Ba1 or lower (split-rated crossover issues are not included) with outstanding par value of at least $100 million are included. |
| viii | The Citigroup Non-U.S. World Government Bond Index—Unhedged is an index of bonds from several major world government bond markets outside the U.S. with maturities of less than 1 year. |
5 Travelers Series Fund Inc. | 2005 Semi-Annual Report
Smith Barney High Income Portfolio
Fund at a Glance (unaudited)
6 Travelers Series Fund Inc. | 2005 Semi-Annual Report
Pioneer Strategic Income Portfolio
Fund at a Glance (unaudited)
7 Travelers Series Fund Inc. | 2005 Semi-Annual Report
Fund Expenses (unaudited)
As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
This example is based on an investment of $1,000 invested on November 1, 2004 and held for the six months ended April 30, 2005.
Actual Expenses
The table below titled “Based on Actual Total Return” provides information about actual account values and actual expenses. You may use the information provided in this table, together with the amount you invested, to estimate the expenses that you paid over the period. To estimate the expenses you paid on your account, divide your ending account value by $1,000 (for example, an $8,600 ending account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Expenses Paid During the Period”.
Based on Actual Total Return(1)
| | | | | | | | | | | | | | | |
| | | Actual Total Return(2) | | | Beginning Account Value | | Ending Account Value | | Annualized Expense Ratio | | | Expenses Paid During the Period(3) |
Smith Barney High Income Portfolio | | (0.52 | )% | | $ | 1,000.00 | | $ | 994.80 | | 0.66 | % | | $ | 3.26 |
|
Pioneer Strategic Income Portfolio | | 3.30 | | | | 1,000.00 | | | 1,033.00 | | 0.87 | | | | 4.39 |
|
| (1) | | For the six months ended April 30, 2005. |
| (2) | | Assumes reinvestment of dividends and capital gains distributions, if any, at net asset value. Total return is not annualized, as it may not be representative of the total return for the year. Total returns do not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges, which, if reflected, would reduce the total returns. Performance figures may reflect fee waivers and/or expense reimbursements. Past performance is no guarantee of future results. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. |
| (3) | | Expenses are equal to each Fund’s respective annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 365. |
8 Travelers Series Fund Inc. | 2005 Semi-Annual Report
Fund Expenses (unaudited) (continued)
Hypothetical Example for Comparison Purposes
The table below titled “Based on Hypothetical Total Return” provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5.00% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use the information provided in this table to compare the ongoing costs of investing in the Fund and other funds. To do so, compare the 5.00% hypothetical example relating to the Fund with the 5.00% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table below are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
Based on Hypothetical Total Return(1)
| | | | | | | | | | | | | | | |
| | | Hypothetical Annualized Total Return | | | Beginning Account Value | | Ending Account Value | | Annualized Expense Ratio | | | Expenses Paid During the Period(2) |
Smith Barney High Income Portfolio | | 5.00 | % | | $ | 1,000.00 | | $ | 1,021.52 | | 0.66 | % | | $ | 3.31 |
|
Pioneer Strategic Income Portfolio | | 5.00 | | | | 1,000.00 | | | 1,020.48 | | 0.87 | | | | 4.36 |
|
| (1) | | For the six months ended April 30, 2005. |
| (2) | | Expenses are equal to each Fund’s respective annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 365. |
9 Travelers Series Fund Inc. | 2005 Semi-Annual Report
| | |
| Schedules of Investments (unaudited) | | April 30, 2005 |
SMITH BARNEY HIGH INCOME PORTFOLIO
| | | | | | | |
FACE AMOUNT | | RATING(a) | | SECURITY | | VALUE |
| | | | | | | | |
| | | | | | | | |
| CORPORATE BONDS & NOTES — 91.6% | | | |
Aerospace & Defense — 0.6% | | | |
| $ 1,225,000 | | B | | Argo-Tech Corp., Sr. Notes, 9.250% due 6/1/11 | | $ | 1,316,875 |
| 325,000 | | BB- | | Sequa Corp., Sr. Notes, 9.000% due 8/1/09 | | | 344,500 |
|
| | | | | | | | 1,661,375 |
|
Automotive — 1.8% | | | |
| 260,000 | | B | | Arvin Capital Trust I, Capital Securities, 9.500% due 2/1/27 | | | 269,100 |
| 1,025,000 | | B- | | CSK Auto, Inc., Sr. Sub. Notes, 7.000% due 1/15/14 | | | 932,750 |
| 715,000 | | BBB- | | Dana Corp., Notes, 6.500% due 3/1/09 | | | 688,940 |
| 325,000 | | BB+ | | Ford Motor Co., Notes, 7.450% due 7/16/31 | | | 267,744 |
| | | | | General Motors Corp.: | | | |
| 625,000 | | BB | | Sr. Debentures, 8.375% due 7/15/33 | | | 476,789 |
| 975,000 | | BB | | Sr. Notes, 7.125% due 7/15/13 | | | 775,211 |
| 225,000 | | B- | | Rexnord Corp., Sr. Sub. Notes, 10.125% due 12/15/12 | | | 241,875 |
| | | | | Tenneco Automotive Inc.: | | | |
| 400,000 | | B- | | Sr. Secured 2nd Lein Notes, Series B, 10.250% due 7/15/13 | | | 439,000 |
| 925,000 | | B- | | Sr. Sub. Notes, 8.625% due 11/15/14 (b) | | | 848,687 |
| 97,000 | | BB- | | TRW Automotive Inc., Sr. Sub. Notes, 11.000% due 2/15/13 | | | 104,760 |
|
| | | | | | | | 5,044,856 |
|
Broadcasting — 1.1% | | | |
| 1,000,000 | | B- | | Nexstar Broadcasting, Inc., Sr. Sub. Notes,
7.000% due 1/15/14 | | | 920,000 |
| 1,075,000 | | B- | | NextMedia Operating, Inc., Sr. Sub. Notes,
10.750% due 7/1/11 | | | 1,162,344 |
| 550,000 | | B | | Radio One, Inc., Sr. Sub. Notes, Series B, 8.875% due 7/1/11 | | | 591,250 |
| 285,000 | | CCC+ | | Spanish Broadcasting System Inc., Sub. Notes,
9.625% due 11/1/09 | | | 298,894 |
|
| | | | | | | | 2,972,488 |
|
Building/Construction — 2.9% | | | |
| | | | | Ainsworth Lumber Co., Ltd., Sr. Notes: | | | |
| 600,000 | | B+ | | 7.250% due 10/1/12 | | | 570,000 |
| 875,000 | | B+ | | 6.750% due 3/15/14 | | | 791,875 |
| | | | | Associated Materials Inc.: | | | |
| 2,000,000 | | B- | | Sr. Discount Notes, step bond to yield 11.250% due 3/1/14 | | | 1,360,000 |
| 160,000 | | B- | | Sr. Sub. Notes, 9.750% due 4/15/12 | | | 170,800 |
| | | | | D.R. Horton, Inc.: | | | |
| 320,000 | | BB+ | | Sr. Notes, 8.000% due 2/1/09 | | | 349,193 |
| 340,000 | | BB- | | Sr. Sub. Notes, 9.375% due 3/15/11 | | | 367,815 |
| 480,000 | | BB- | | KB HOME, Sr. Sub. Notes, 9.500% due 2/15/11 | | | 519,618 |
| 585,000 | | BBB- | | Lennar Corp., Sr. Notes, Series B, 9.950% due 5/1/10 | | | 614,117 |
| 750,000 | | CCC+ | | Nortek Inc., Sr. Sub. Notes, 8.500% due 9/1/14 | | | 667,500 |
| 1,275,000 | | B- | | Ply Gem Industries, Inc., Sr. Sub. Notes, 9.000% due 2/15/12 | | | 1,109,250 |
See Notes to Financial Statements.
10 Travelers Series Fund Inc. | 2005 Semi-Annual Report
| | |
| Schedules of Investments (unaudited) (continued) | | April 30, 2005 |
SMITH BARNEY HIGH INCOME PORTFOLIO
| | | | | | | |
FACE AMOUNT | | RATING(a) | | SECURITY | | VALUE |
| | | | | | | | |
Building/Construction — 2.9% (continued) | | | |
| $ 385,000 | | BBB- | | The Ryland Group, Inc., Sr. Notes, 9.750% due 9/1/10 | | $ | 411,717 |
| 570,000 | | BB- | | Schuler Homes, Inc., Sr. Sub. Notes, 10.500% due 7/15/11 | | | 629,396 |
| 325,000 | | B+ | | Standard Pacific Corp., Sr. Sub. Notes, 9.250% due 4/15/12 | | | 359,125 |
|
| | | | | | | | 7,920,406 |
|
Business Services — 2.1% | | | |
| 788,000 | | B- | | Advanstar Communications Inc., 2nd Priority Sr. Secured Notes, 10.294% due 8/15/08 (c) | | | 829,370 |
| 850,000 | | B- | | Allied Security Escrow Corp., Sr. Sub. Notes,
11.375% due 7/15/11 | | | 871,250 |
| 575,000 | | CCC+ | | Brand Services, Inc., Sr. Notes, 12.000% due 10/15/12 | | | 641,125 |
| | | | | Iron Mountain Inc., Sr. Sub. Notes: | | | |
| 700,000 | | B | | 8.250% due 7/1/11 | | | 700,280 |
| 850,000 | | B | | 8.625% due 4/1/13 | | | 856,375 |
| 1,175,000 | | B | | 7.750% due 1/15/15 | | | 1,128,000 |
| | | | | Muzak LLC/Muzak Finance Corp.: | | | |
| 750,000 | | CCC- | | Sr. Notes, 10.000% due 2/15/09 | | | 633,750 |
| 275,000 | | CCC- | | Sr. Sub. Notes, 9.875% due 3/15/09 | | | 141,625 |
|
| | | | | | | | 5,801,775 |
|
Cable — 6.5% | | | | | |
| | | | | Charter Communications Holdings, LLC/Charter Communications Holdings Capital Corp.: | | | |
| | | | | Sr. Discount Notes: | | | |
| 3,966,000 | | CCC- | | Step bond to yield 12.272% due 1/15/10 | | | 3,152,970 |
| 1,035,000 | | CCC- | | Step bond to yield 13.504% due 1/15/11 | | | 776,250 |
| 1,535,000 | | CCC- | | Step bond to yield 17.772% due 5/15/11 | | | 986,237 |
| 100,000 | | CCC- | | Sr. Notes, 10.750% due 10/1/09 | | | 76,000 |
| | | | | CSC Holdings, Inc.: | | | |
| 1,700,000 | | BB- | | Sr. Debentures, 7.625% due 7/15/18 | | | 1,691,500 |
| 260,000 | | BB- | | Sr. Notes, Series B, 7.625% due 4/1/11 | | | 265,200 |
| 910,000 | | B+ | | Sr. Sub. Debentures, 10.500% due 5/15/16 | | | 998,725 |
| 875,000 | | BB- | | DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Sr. Notes, 8.375% due 3/15/13 | | | 951,562 |
| | | | | Echostar DBS Corp., Sr. Notes: | | | |
| 748,000 | | BB- | | 9.125% due 1/15/09 | | | 799,425 |
| 1,850,000 | | BB- | | 6.625% due 10/1/14 (b) | | | 1,803,750 |
| 1,065,000 | | B- | | Insight Communications Co., Inc., Sr. Discount Notes, step bond to yield 14.115% due 2/15/11 | | | 1,054,350 |
| 375,000 | | B+ | | Insight Midwest, L.P./Insight Capital, Inc., Sr. Notes,
10.500% due 11/1/10 | | | 401,250 |
| 1,125,000 | | B- | | Lodgenet Entertainment Corp., Sr. Sub. Debentures,
9.500% due 6/15/13 | | | 1,215,000 |
See Notes to Financial Statements.
11 Travelers Series Fund Inc. | 2005 Semi-Annual Report
| | |
| Schedules of Investments (unaudited) (continued) | | April 30, 2005 |
SMITH BARNEY HIGH INCOME PORTFOLIO
| | | | | | | |
FACE AMOUNT | | RATING(a) | | SECURITY | | VALUE |
| | | | | | | | |
Cable — 6.5% (continued) | | | |
| $ 325,000 | | B | | Mediacom Broadband LLC, Sr. Notes,
11.000% due 7/15/13 | | $ | 342,875 |
| 1,150,000 | | B | | Mediacom LLC/Mediacom Capital Corp., Sr. Notes,
9.500% due 1/15/13 | | | 1,106,875 |
| 200,000 | | B- | | NTL Cable PLC, Sr. Notes, 8.750% due 4/15/14 (b) | | | 212,500 |
| 406,000 | | B+ | | PanAmSat Corp., Sr. Notes, 9.000% due 8/15/14 | | | 424,270 |
| 1,670,000 | | B+ | | Rogers Cablesystems Ltd., Sr. Sub. Debentures,
11.000% due 12/1/15 | | | 1,814,037 |
|
| | | | | | | | 18,072,776 |
|
Chemicals — 5.3% | | | |
| 1,025,000 | | B+ | | Acetex Corp., Sr. Notes, 10.875% due 8/1/09 | | | 1,086,500 |
| 345,000 | | BB- | | Airgas, Inc., Sr. Sub. Notes, 9.125% due 10/1/11 | | | 374,325 |
| 181,818 | | NR | | Applied Extrusion Technologies, Inc., Sr. Notes,
12.000% due 3/15/12 (b) | | | 181,242 |
| 1,150,000 | | BB- | | Equistar Chemicals, L.P./Equistar Funding Corp., Sr. Notes, 10.625% due 5/1/11 | | | 1,288,000 |
| | | | | FMC Corp.: | | | |
| 825,000 | | BB+ | | Medium-Term Notes, Series A, 6.750% due 5/5/05 | | | 825,000 |
| 125,000 | | BB+ | | Secured Notes, 10.250% due 11/1/09 | | | 138,750 |
| 675,000 | | B+ | | Hercules Inc., Sr. Sub. Notes, 6.750% due 10/15/29 | | | 659,813 |
| 1,250,000 | | BB- | | Huntsman Advanced Materials LLC, Sr. Secured Notes, 11.000% due 7/15/10 (b) | | | 1,431,250 |
| 600,000 | | B+ | | International Specialty Holdings Inc., Sr. Secured Notes, Series B, 10.625% due 12/15/09 | | | 648,000 |
| 655,000 | | BB- | | ISP Chemco Inc., Sr. Sub. Notes, Series B,
10.250% due 7/1/11 | | | 712,312 |
| | | | | Lyondell Chemical Co., Sr. Secured Notes: | | | |
| 655,000 | | BB- | | 11.125% due 7/15/12 | | | 751,612 |
| 250,000 | | BB- | | Series B, 9.875% due 5/1/07 | | | 257,500 |
| 760,000 | | BBB- | | Methanex Corp., Sr. Notes, 8.750% due 8/15/12 | | | 885,400 |
| 1,700,000 | | BB- | | Millennium America Inc., Sr. Notes, 9.250% due 6/15/08 | | | 1,819,000 |
| 235,000 | | B- | | OM Group, Inc., Sr. Sub. Notes, 9.250% due 12/15/11 | | | 238,525 |
| | | | | Resolution Performance Products LLC/RPP Capital Corp.: | | | |
| 225,000 | | CCC+ | | Sr. Secured Notes, 9.500% due 4/15/10 | | | 231,188 |
| 1,050,000 | | CCC | | Sr. Sub. Notes, 13.500% due 11/15/10 | | | 1,141,875 |
| | | | | Rhodia SA: | | | |
| | | | | Sr. Notes: | | | |
| 750,000 | | CCC+ | | 7.625% due 6/1/10 | | | 723,750 |
| 225,000 | | CCC+ | | 10.250% due 6/1/10 | | | 239,625 |
| 650,000 | | CCC+ | | Sr. Sub. Notes, 8.875% due 6/1/11 | | | 611,000 |
| 65,000 | | B+ | | Terra Capital Inc., Sr. Secured Notes, 12.875% due 10/15/08 | | | 77,350 |
See Notes to Financial Statements.
12 Travelers Series Fund Inc. | 2005 Semi-Annual Report
| | |
| Schedules of Investments (unaudited) (continued) | | April 30, 2005 |
SMITH BARNEY HIGH INCOME PORTFOLIO
| | | | | | | |
FACE AMOUNT | | RATING(a) | | SECURITY | | VALUE |
| | | | | | | | |
Chemicals — 5.3% (continued) | | | |
| $ 390,000 | | BB- | | Westlake Chemical Corp., Sr. Notes, 8.750% due 7/15/11 | | $ | 426,075 |
|
| | | | | | | | 14,748,092 |
|
Consumer Products & Services — 3.6% | | | |
| 1,025,000 | | CCC+ | | Del Laboratories Inc., Sr. Sub. Notes, 8.000% due 2/1/12 (b) | | | 973,750 |
| 1,264,000 | | B- | | FTD, Inc., Sr. Sub. Notes, Series B, 7.750% due 2/15/14 | | | 1,264,000 |
| 1,025,000 | | CCC | | Home Interiors & Gifts, Inc., Sr. Sub. Notes,
10.125% due 6/1/08 | | | 871,250 |
| 900,000 | | B- | | Interface, Inc., Sr. Notes, 10.375% due 2/1/10 | | | 967,500 |
| 668,000 | | B- | | Jafra Cosmetics International, Inc., Sr. Sub. Notes,
10.750% due 5/15/11 | | | 754,840 |
| 309,000 | | Aa3* | | Pennzoil-Quaker State Co., Sr. Notes, 10.000% due 11/1/08 | | | 333,338 |
| | | | | Playtex Products, Inc.: | | | |
| 900,000 | | B | | Sr. Secured Notes, 8.000% due 3/1/11 | | | 965,250 |
| 150,000 | | CCC+ | | Sr. Sub. Notes, 9.375% due 6/1/11 | | | 156,375 |
| 875,000 | | B- | | Riddell Bell Holdings, Sr. Sub. Notes, 8.375% due 10/1/12 (b) | | | 885,937 |
| 1,275,000 | | B- | | Sealy Mattress Co., Sr. Sub. Notes, 8.250% due 6/15/14 | | | 1,294,125 |
| | | | | Service Corp. International: | | | |
| 460,000 | | BB | | Debentures, 7.875% due 2/1/13 | | | 476,100 |
| | | | | Sr. Notes: | | | |
| 470,000 | | BB | | 6.875% due 10/1/07 | | | 479,988 |
| 570,000 | | BB | | 6.500% due 3/15/08 | | | 575,700 |
|
| | | | | | | | 9,998,153 |
|
Energy — 7.9% | | | |
| 2,325,000 | | BB- | | Chesapeake Energy Corp., Sr. Notes, 6.375% due 6/15/15 (b) | | | 2,290,125 |
| | | | | Dynegy Holdings Inc.: | | | |
| 1,375,000 | | B- | | 2nd Priority Sr. Secured Notes, 9.641% due 7/15/08 (b)(c) | | | 1,436,875 |
| | | | | Sr. Debentures: | | | |
| 1,300,000 | | CCC+ | | 7.125% due 5/15/18 | | | 955,500 |
| 1,250,000 | | CCC+ | | 7.625% due 10/15/26 | | | 906,250 |
| | | | | El Paso Corp., Global Sr. Medium-Term Notes: | | | |
| 915,000 | | CCC+ | | 7.800% due 8/1/31 | | | 834,937 |
| 2,125,000 | | CCC+ | | 7.750% due 1/15/32 | | | 1,965,625 |
| 1,300,000 | | B | | Exco Resources, Inc., Sr. Notes, 7.250% due 1/15/11 | | | 1,287,000 |
| | | | | Hanover Compressor Co.: | | | |
| 1,000,000 | | B | | Sr. Sub. Notes, 8.625% due 12/15/10 | | | 1,030,000 |
| 900,000 | | B- | | Sub. Notes, zero coupon bond to yield
11.312% due 3/31/07 | | | 778,500 |
| 415,000 | | B- | | Key Energy Services, Inc., Sr. Notes, Series C,
8.375% due 3/1/08 | | | 430,563 |
| 480,000 | | BB | | Luscar Coal Ltd., Sr. Notes, 9.750% due 10/15/11 | | | 528,000 |
| 842,000 | | B+ | | Magnum Hunter Resources, Inc., Sr. Notes,
9.600% due 3/15/12 | | | 938,830 |
See Notes to Financial Statements.
13 Travelers Series Fund Inc. | 2005 Semi-Annual Report
| | |
| Schedules of Investments (unaudited) (continued) | | April 30, 2005 |
SMITH BARNEY HIGH INCOME PORTFOLIO
| | | | | | | | |
FACE AMOUNT | | | RATING(a) | | SECURITY | | VALUE |
| | | | | | | | | |
| Energy — 7.9% (continued) | | | |
| $ 955,000 | | | B+ | | Plains Exploration & Production Co., Sr. Sub. Notes, | | | |
| | | | | | Series B, 8.750% due 7/1/12 | | $ | 1,036,175 |
| 195,000 | | | BB | | Pogo Producing Co., Sr. Sub. Notes, Series B,
8.250% due 4/15/11 | | | 208,163 |
| 320,000 | | | BB- | | SESI, LLC, Sr. Notes, 8.875% due 5/15/11 | | | 344,000 |
| 1,450,000 | | | B+ | | Stone Energy Corp., Sr. Sub. Notes, 6.750% due 12/15/14 | | | 1,384,750 |
| 1,185,000 | | | B | | Swift Energy Co., Sr. Sub. Notes, 9.375% due 5/1/12 | | | 1,273,875 |
| | | | | | Vintage Petroleum, Inc.: | | | |
| 455,000 | | | BB- | | Sr. Notes, 8.250% due 5/1/12 | | | 492,538 |
| 125,000 | | | B | | Sr. Sub. Notes, 7.875% due 5/15/11 | | | 130,625 |
| | | | | | The Williams Cos., Inc., Notes: | | | |
| 600,000 | | | B+ | | 7.625% due 7/15/19 | | | 646,500 |
| 1,275,000 | | | B+ | | 7.875% due 9/1/21 | | | 1,377,000 |
| 1,375,000 | | | B+ | | 8.750% due 3/15/32 | | | 1,588,125 |
|
| | | | | | | | | 21,863,956 |
|
| Environmental Services — 1.4% | | | |
| | | | | | Allied Waste North America, Inc.: | | | |
| 133,000 | | | BB- | | Sr. Debentures, Series B, 9.250% due 9/1/12 | | | 140,980 |
| | | | | | Sr. Notes, Series B: | | | |
| 890,000 | | | BB- | | 8.500% due 12/1/08 | | | 911,137 |
| 1,500,000 | | | B+ | | 7.375% due 4/15/14 | | | 1,320,000 |
| 225,000 | | | BB- | | 7.250% due 3/15/15 (b) | | | 205,875 |
| 1,200,000 | | | B | | Aleris International Inc., Sr. Secured Notes, Series B,
10.375% due 10/15/10 | | | 1,311,000 |
|
| | | | | | | | | 3,888,992 |
|
| Financial Services — 4.8% | | | |
| 1,235,000 | | | B- | | BCP Crystal US Holdings Corp., Sr. Sub. Notes,
9.625% due 6/15/14 | | | 1,367,762 |
| 475,000 | | | B- | | Borden US Finance Corp./Nova Scotia Finance ULC,
2nd Priority Sr. Secured Notes, 9.000% due 7/15/14 (b) | | | 477,375 |
| 1,589,557 | | | B- | | CanWest Media Inc., Sr. Sub. Notes, 8.000% due 9/15/12 (b) | | | 1,633,270 |
| 160,000 | | | BB- | | Case Credit Corp., Notes, 6.750% due 10/21/07 | | | 157,200 |
| | | | | | Ford Motor Credit Co.: | | | |
| | | | | | Notes: | | | |
| 550,000 | | | BB+ | | 7.875% due 6/15/10 | | | 529,862 |
| 375,000 | | | BB+ | | 7.000% due 10/1/13 | | | 338,007 |
| 1,250,000 | | | BB+ | | Sr. Notes, 7.250% due 10/25/11 | | | 1,156,819 |
| | | | | | General Motors Acceptance Corp.: | | | |
| | | | | | Bonds: | | | |
| 475,000 | EUR | | BB | | 6.000% due 7/3/08 | | | 573,249 |
| 1,825,000 | | | BB | | 8.000% due 11/1/31 | | | 1,539,377 |
See Notes to Financial Statements.
14 Travelers Series Fund Inc. | 2005 Semi-Annual Report
| | |
| Schedules of Investments (unaudited) (continued) | | April 30, 2005 |
SMITH BARNEY HIGH INCOME PORTFOLIO
| | | | | | | |
FACE AMOUNT | | RATING(a) | | SECURITY | | VALUE |
| | | | | | | | |
| Financial Services — 4.8% (continued) | | | |
| | | | | Notes: | | | |
| $ 450,000 | | BB | | 6.875% due 8/28/12 | | $ | 388,185 |
| 1,950,000 | | BB | | 6.750% due 12/1/14 | | | 1,636,309 |
| 1,250,000 | | B- | | Global Cash Access, Inc./Global Cash Access Finance Corp., | | | |
| | | | | Sr. Sub. Notes, 8.750% due 3/15/12 | | | 1,350,000 |
| 555,000 | | BB | | Markel Capital Trust I, Capital Securities, Series B,
8.710% due 1/1/46 | | | 612,011 |
| 1,075,000 | | CCC- | | Ocwen Capital Trust I, Capital Securities, 10.875% due 8/1/27 | | | 1,101,875 |
| 450,000 | | B+ | | Rainbow National Services LLC, Sr. Sub. Debentures,
10.375% due 9/1/14 (b) | | | 510,750 |
|
| | | | | | | | 13,372,051 |
|
| Food & Beverage — 3.6% | | | |
| 725,000 | | CCC- | | Carrols Corp., Sr. Sub. Notes, 9.000% due 1/15/13 (b) | | | 746,750 |
| 1,575,000 | | B+ | | Constellation Brands Inc., Sr. Sub. Notes, Series B,
8.125% due 1/15/12 | | | 1,622,250 |
| 330,000 | | B+ | | Cott Beverages Inc., Sr. Sub. Notes, 8.000% due 12/15/11 | | | 348,150 |
| 335,000 | | BB- | | Dean Foods Co., Sr. Notes, 6.900% due 10/15/17 | | | 340,025 |
| 975,000 | | B | | Del Monte Corp., Sr. Sub. Notes, 8.625% due 12/15/12 | | | 1,048,125 |
| | | | | Doane Pet Care Co.: | | | |
| 1,000,000 | | CCC+ | | Sr. Notes, 10.750% due 3/1/10 | | | 1,055,000 |
| 65,000 | | CCC+ | | Sr. Sub. Notes, 9.750% due 5/15/07 | | | 64,350 |
| | | | | Dole Food Co., Inc.: | | | |
| 1,000,000 | | B+ | | Debentures, 8.750% due 7/15/13 | | | 1,065,000 |
| 44,000 | | B+ | | Sr. Notes, 8.875% due 3/15/11 | | | 46,860 |
| 625,000 | | B- | | Friendly Ice Cream Corp., Sr. Notes, 8.375% due 6/15/12 | | | 584,375 |
| 1,525,000 | | B- | | Pinnacle Foods Holding Corp., Sr. Sub. Notes,
8.250% due 12/1/13 | | | 1,273,375 |
| 725,000 | | B+ | | Swift & Co., Sr. Notes, 10.125% due 10/1/09 | | | 779,375 |
| 1,152,000 | | B | | United Agri Products, Inc., Sr. Notes, 8.250% due 12/15/11 | | | 1,134,720 |
|
| | | | | | | | 10,108,355 |
|
| Healthcare — 5.2% | | | |
| 675,000 | | D | | aaiPharma Inc., Sr. Sub. Notes, 11.500% due 4/1/10 (c)(e) | | | 246,375 |
| 1,150,000 | | B- | | Ameripath, Inc., Sr. Sub. Notes, 10.500% due 4/1/13 | | | 1,155,750 |
| 150,000 | | B | | Athena Neurosciences Finance LLC, Sr. Notes,
7.250% due 2/21/08 | | | 131,625 |
| 725,000 | | B | | Community Health Systems, Sr. Sub. Notes,
6.500% due 12/15/12 | | | 714,125 |
| 731,620 | | BB+ | | Dade Behrings Inc., Sr. Sub. Notes, 11.910% due 10/3/10 | | | 800,209 |
| 650,000 | | B | | DaVita, Inc., Sr. Notes, 6.625% due 3/15/13 (b) | | | 646,750 |
| 270,000 | | B | | Extendicare Health Services, Inc., Sr. Sub. Notes,
9.500% due 7/1/10 | | | 294,638 |
See Notes to Financial Statements.
15 Travelers Series Fund Inc. | 2005 Semi-Annual Report
| | |
| Schedules of Investments (unaudited) (continued) | | April 30, 2005 |
SMITH BARNEY HIGH INCOME PORTFOLIO
| | | | | | | |
FACE AMOUNT | | RATING(a) | | SECURITY | | VALUE |
| | | | | | | | |
Healthcare — 5.2% (continued) | | | |
| $ 2,925,000 | | BB+ | | HCA Inc., Notes, 6.375% due 1/15/15 | | $ | 2,950,178 |
| 1,875,000 | | B- | | IASIS Healthcare LLC/IASIS Capital Corp., Sr. Sub. Notes, 8.750% due 6/15/14 | | | 1,935,937 |
| 675,000 | | CCC+ | | Insight Health Services Corp., Sr. Sub. Notes, Series B,
9.875% due 11/1/11 | | | 644,625 |
| 1,275,000 | | B- | | Medical Device Manufacturing Inc., Sr. Sub. Notes, Series B, 10.000% due 7/15/12 | | | 1,370,625 |
| 700,000 | | B- | | National Mentor Inc., Sr. Sub Notes, 9.625% due 12/1/12 (b) | | | 733,250 |
| 583,000 | | B- | | Psychiatric Solutions, Inc., Sr. Sub. Notes,
10.625% due 6/15/13 | | | 647,130 |
| | | | | Tenet Healthcare Corp.: | | | |
| 650,000 | | B | | Notes, 7.375% due 2/1/13 | | | 612,625 |
| | | | | Sr. Notes: | | | |
| 1,325,000 | | B | | 6.500% due 6/1/12 | | | 1,232,250 |
| 25,000 | | B | | 9.875% due 7/1/14 | | | 25,813 |
| 325,000 | | B | | 6.875% due 11/15/31 | | | 264,875 |
|
| | | | | | | | 14,406,780 |
|
Hotels/Casinos/Gaming — 9.1% | | | |
| 1,015,000 | | B+ | | Ameristar Casinos, Inc., Sr. Sub. Notes, 10.750% due 2/15/09 | | | 1,108,887 |
| 800,000 | | B+ | | Argosy Gaming Co., Sr. Sub. Notes, 9.000% due 9/1/11 | | | 878,000 |
| 1,300,000 | | B+ | | Boyd Gaming Corp., Sr. Sub. Notes, 6.750% due 4/15/14 | | | 1,287,000 |
| | | | | Caesars Entertainment, Inc., Sr. Sub. Notes: | | | |
| 450,000 | | BB- | | 8.875% due 9/15/08 | | | 496,688 |
| 1,400,000 | | BB- | | 8.125% due 5/15/11 | | | 1,575,000 |
| 1,300,000 | | B- | | Herbst Gaming Inc., Sr. Sub. Notes, 8.125% due 6/1/12 | | | 1,361,750 |
| | | | | Hilton Hotels Corp., Sr. Notes: | | | |
| 510,000 | | BBB- | | 7.950% due 4/15/07 | | | 544,163 |
| 250,000 | | BBB- | | 7.625% due 12/1/12 | | | 287,588 |
| 25,000 | | B+ | | HMH Properties, Inc., Sr. Secured Notes, Series B,
7.875% due 8/1/08 | | | 25,625 |
| | | | | Host Marriott, L.P.: | | | |
| 1,020,000 | | B+ | | Notes, Series I, 9.500% due 1/15/07 | | | 1,091,400 |
| | | | | Sr. Notes: | | | |
| 625,000 | | B+ | | 7.125% due 11/1/13 | | | 635,938 |
| 600,000 | | B+ | | 6.375% due 3/15/15 (b) | | | 573,750 |
| 1,375,000 | | B | | Isle of Capri Casinos, Inc., Sr. Sub. Notes, 7.000% due 3/1/14 | | | 1,340,625 |
| 1,275,000 | | B | | Kerzner International Ltd., Sr. Sub. Notes,
8.875% due 8/15/11 | | | 1,370,625 |
| 1,150,000 | | B | | Las Vegas Sands Corp., Sr. Notes, 6.375% due 2/15/15 (b) | | | 1,083,875 |
| | | | | Mandalay Resort Group: | | | |
| 260,000 | | B+ | | Sr. Sub. Debentures, 7.625% due 7/15/13 | | | 269,750 |
| 585,000 | | B+ | | Sr. Sub. Notes, Series B, 10.250% due 8/1/07 | | | 644,963 |
See Notes to Financial Statements.
16 Travelers Series Fund Inc. | 2005 Semi-Annual Report
| | |
| Schedules of Investments (unaudited) (continued) | | April 30, 2005 |
SMITH BARNEY HIGH INCOME PORTFOLIO
| | | | | | | |
FACE AMOUNT | | RATING(a) | | SECURITY | | VALUE |
Hotels/Casinos/Gaming — 9.1% (continued) | | | |
| | | | | MeriStar Hospitality Operating Partnership, L.P./MeriStar Hospitality Finance Corp., Sr. Notes: | | | |
| $ 225,000 | | CCC+ | | 9.000% due 1/15/08 | | $ | 228,375 |
| 925,000 | | CCC+ | | 10.500% due 6/15/09 | | | 975,875 |
| 50,000 | | CCC+ | | 9.125% due 1/15/11 | | | 50,500 |
| | | | | MGM MIRAGE, Inc.: | | | |
| 1,275,000 | | BB | | Sr. Notes, 6.750% due 9/1/12 | | | 1,281,375 |
| | | | | Sr. Sub. Notes: | | | |
| 325,000 | | B+ | | 9.750% due 6/1/07 | | | 351,813 |
| 900,000 | | B+ | | 8.375% due 2/1/11 | | | 960,750 |
| 750,000 | | B+ | | Mohegan Tribal Gaming Authority, Sr. Sub. Notes,
6.875% due 2/15/15 (b) | | | 742,500 |
| 1,225,000 | | BB- | | Seneca Gaming Corp., Sr. Notes, 7.250% due 5/1/12 | | | 1,218,875 |
| 425,000 | | BB+ | | Starwood Hotels & Resorts Worldwide, Inc., Notes,
7.875% due 5/1/12 | | | 468,031 |
| 1,225,000 | | B+ | | Station Casinos, Inc., Sr. Sub. Notes, 6.875% due 3/1/16 | | | 1,243,375 |
| 275,000 | | B+ | | Turning Stone Casino Resort Enterprise, Sr. Notes,
9.125% due 12/15/10 (b) | | | 283,250 |
| 3,000,000 | | NR | | UPC Broadband, Holding BV, Term Loan, 5.752% due 3/15/12 | | | 3,004,714 |
|
| | | | | | | | 25,385,060 |
|
Leisure — 1.7% | | | |
| 338,000 | | CCC+ | | AMC Entertainment Inc., Sr. Sub. Notes, 9.500% due 2/1/11 | | | 336,310 |
| 1,925,000 | | B- | | Cinemark, Inc., Sr. Discount Notes, step bond to yield
9.338% due 3/15/14 | | | 1,333,062 |
| 1,200,000 | | B- | | Equinox Holdings, Inc., Sr. Notes, 9.000% due 12/15/09 | | | 1,233,000 |
| 600,000 | | CCC- | | ICON Health & Fitness, Inc., Sr. Sub. Notes,
11.250% due 4/1/12 | | | 429,000 |
| 125,000 | | CCC+ | | LCE Acquisition Corp., Sr. Sub. Notes, 9.000% due 8/1/14 (b) | | | 120,625 |
| 725,000 | | B- | | Leslie’s Poolmart, Sr. Notes, 7.750% due 2/1/13 (b) | | | 721,375 |
| | | | | Six Flags, Inc., Sr. Notes: | | | |
| 75,000 | | CCC | | 9.750% due 4/15/13 | | | 66,000 |
| 700,000 | | CCC | | 9.625% due 6/1/14 | | | 595,000 |
|
| | | | | | | | 4,834,372 |
|
Machinery — 1.0% | | | |
| 175,000 | | BB- | | Case New Holland Inc., Sr. Notes, 9.250% due 8/1/11 (b) | | | 179,375 |
| 325,000 | | B- | | Dresser-Rand Group Inc., Sr. Sub. Notes,
7.375% due 11/1/14 (b) | | | 318,500 |
| 685,000 | | B | | Flowserve Corp., Sr. Sub. Notes, 12.250% due 8/15/10 | | | 743,225 |
| 260,000 | | B+ | | NMHG Holding Co., Sr. Notes, 10.000% due 5/15/09 | | | 281,450 |
See Notes to Financial Statements.
17 Travelers Series Fund Inc. | 2005 Semi-Annual Report
| | |
| Schedules of Investments (unaudited) (continued) | | April 30, 2005 |
SMITH BARNEY HIGH INCOME PORTFOLIO
| | | | | | | |
FACE AMOUNT | | RATING(a) | | SECURITY | | VALUE |
Machinery — 1.0% (continued) | | | |
| | | | | Terex Corp., Sr. Sub. Notes: | | | |
| $ 650,000 | | B | | 9.250% due 7/15/11 | | $ | 708,500 |
| 500,000 | | B | | Series B, 10.375% due 4/1/11 | | | 545,000 |
|
| | | | | | | | 2,776,050 |
|
Manufacturing — 1.2% | | | |
| 445,000 | | NR | | Aqua-Chem, Inc., Sr. Sub. Notes, 11.250% due 7/1/08‡ | | | 380,475 |
| 575,000 | | B- | | Blount Inc., Sr. Sub. Notes, 8.875% due 8/1/12 | | | 595,125 |
| 400,000 | | B- | | General Binding Corp., Sr. Sub. Notes, 9.375% due 6/1/08 | | | 404,000 |
| 575,000 | | B- | | Invensys PLC, Sr. Notes, 9.875% due 3/15/11 (b) | | | 572,125 |
| 1,075,000 | | B- | | Sensus Metering Systems, Sr. Sub. Notes,
8.625% due 12/15/13 | | | 1,015,875 |
| 454,000 | | B | | Wesco Distribution Inc., Sr. Sub. Notes, Series B,
9.125% due 6/1/08 | | | 460,810 |
|
| | | | | | | | 3,428,410 |
|
Metals/Mining — 1.3% | | | |
| 575,000 | | B+ | | AK Steel Corp., Sr. Notes, 7.875% due 2/15/09 | | | 530,438 |
| 536,000 | | BBB+ | | Ispat Inland ULC, Sr. Secured Notes, 9.750% due 4/1/14 | | | 615,060 |
| 1,200,000 | | B- | | Mueller Group, Inc., Sr. Sub. Notes, 10.000% due 5/1/12 | | | 1,296,000 |
| 605,000 | | BBB | | Phelps Dodge Corp., Sr. Notes, 8.750% due 6/1/11 | | | 727,471 |
| 560,000 | | B | | Wolverine Tube, Inc., Sr. Notes, 7.375% due 8/1/08 (b) | | | 512,400 |
|
| | | | | | | | 3,681,369 |
|
Packaging/Containers — 3.7% | | | |
| 1,225,000 | | B- | | Anchor Glass Container Corp., Sr. Secured Notes,
11.000% due 2/15/13 | | | 998,375 |
| 725,000 | | B- | | Berry Plastics Corp., Sr. Sub. Notes, 10.750% due 7/15/12 | | | 804,750 |
| 1,000,000 | | B- | | JSG Funding PLC, Sr. Notes, 9.625% due 10/1/12 | | | 995,000 |
| 1,220,000 | | BB- | | Owens-Brockway Glass Container Inc., Sr. Secured Notes, 8.875% due 2/15/09 | | | 1,305,400 |
| 1,020,000 | | B+ | | Plastipak Holdings, Inc., Sr. Notes, 10.750% due 9/1/11 | | | 1,116,900 |
| | | | | Pliant Corp.: | | | |
| 475,000 | | CCC+ | | Sr. Secured 2nd Lien Notes, 11.125% due 9/1/09 | | | 434,625 |
| 80,000 | | CCC+ | | Sr. Sub. Notes, 13.000% due 6/1/10 | | | 60,400 |
| 1,000,000 | | CCC- | | Radnor Holdings Corp., Sr. Notes, 11.000% due 3/15/10 | | | 670,000 |
| 345,000 | | BBB | | Sealed Air Corp., Notes, 6.950% due 5/15/09 (b) | | | 369,601 |
| | | | | Smurfit-Stone Container Enterprises Inc., Sr. Notes: | | | |
| 600,000 | | B | | 9.750% due 2/1/11 | | | 631,500 |
| 675,000 | | B | | 8.375% due 7/1/12 | | | 669,937 |
| 1,275,000 | | B | | Stone Container Finance Co. of Canada II, Sr. Notes,
7.375% due 7/15/14 | | | 1,179,375 |
See Notes to Financial Statements.
18 Travelers Series Fund Inc. | 2005 Semi-Annual Report
| | |
| Schedules of Investments (unaudited) (continued) | | April 30, 2005 |
SMITH BARNEY HIGH INCOME PORTFOLIO
| | | | | | | |
FACE AMOUNT | | RATING(a) | | SECURITY | | VALUE |
| Packaging/Containers — 3.7% (continued) | | | |
| | | | | Tekni-Plex, Inc.: | | | |
| $ 650,000 | | CCC- | | Sr. Secured Notes, 8.750% due 11/15/13 (b) | | $ | 607,750 |
| 495,000 | | CCC- | | Sr. Sub. Notes, Series B, 12.750% due 6/15/10 | | | 410,850 |
|
| | | | | | | | 10,254,463 |
|
| Paper/Forestry Products — 2.3% | | | |
| | | | | Abitibi-Consolidated Inc.: | | | |
| 645,000 | | BB- | | Debentures, 8.850% due 8/1/30 | | | 551,475 |
| 500,000 | | BB- | | Notes, 8.550% due 8/1/10 | | | 483,750 |
| 1,250,000 | | B+ | | Appleton Papers Inc., Sr. Sub. Notes, Series B,
9.750% due 6/15/14 | | | 1,281,250 |
| 750,000 | | B- | | Blue Ridge Paper Products Inc., Sr. Secured Notes,
9.500% due 12/15/08 | | | 731,250 |
| | | | | Bowater Inc.: | | | |
| 550,000 | | BB | | Debentures, 9.500% due 10/15/12 | | | 572,000 |
| 1,000,000 | | BB | | Notes, 6.500% due 6/15/13 | | | 912,500 |
| | | | | Buckeye Technologies Inc., Sr. Sub. Notes: | | | |
| 252,000 | | B | | 9.250% due 9/15/08 | | | 254,520 |
| 1,190,000 | | B | | 8.000% due 10/15/10 | | | 1,172,150 |
| 600,000 | | BB- | | Norske Skog Canada Ltd., Sr. Notes, 7.375% due 3/1/14 | | | 567,000 |
|
| | | | | | | | 6,525,895 |
|
| Printing/Publishing — 2.6% | | | |
| 1,375,000 | | B | | Cadmus Communications Corp., Sr. Sub. Notes,
8.375% due 6/15/14 | | | 1,443,750 |
| | | | | Cenveo Corp.: | | | |
| 530,000 | | B+ | | Sr. Notes, 9.625% due 3/15/12 | | | 567,100 |
| 800,000 | | B- | | Sr. Sub. Notes, 7.875% due 12/1/13 | | | 754,000 |
| 504,000 | | B | | Dex Media East LLC/Dex Media East Finance Co., Notes,
12.125% due 11/15/12 | | | 595,350 |
| 1,000,000 | | B | | Dex Media, Inc., Discount Notes, step bond to yield
9.002% due 11/15/13 | | | 755,000 |
| 1,001,000 | | B | | Dex Media West LLC/Dex Media West Finance Co., Sr. Sub. Notes, Series B, 9.875% due 8/15/13 | | | 1,116,115 |
| 1,100,000 | | B- | | HM Publishing Corp., Sr. Discount Notes, step bond to yield 10.515% due 10/15/13 | | | 737,000 |
| | | | | R.H. Donnelley Finance Corp. I, Sr. Sub. Notes: | | | |
| 175,000 | | B+ | | 10.875% due 12/15/12 (b) | | | 200,813 |
| 400,000 | | B+ | | 10.875% due 12/15/12 | | | 459,000 |
| 275,000 | | CCC | | Vertis, Inc., Sr. Secured 2nd Lien Notes, 9.750% due 4/1/09 | | | 276,375 |
| 211,000 | | BB- | | Yell Finance BV, Sr. Discount Notes, step bond to yield
12.262% due 8/1/11 | | | 210,736 |
|
| | | | | | | | 7,115,239 |
|
See Notes to Financial Statements.
19 Travelers Series Fund Inc. | 2005 Semi-Annual Report
| | |
| Schedules of Investments (unaudited) (continued) | | April 30, 2005 |
SMITH BARNEY HIGH INCOME PORTFOLIO
| | | | | | | |
FACE AMOUNT | | RATING(a) | | SECURITY | | VALUE |
| | | | | | | | |
Retail — 2.6% | | | |
| $ 175,000 | | BB- | | Ahold Finance USA, Inc., Notes, 8.250% due 7/15/10 | | $ | 190,750 |
| 300,000 | | B+ | | Finlay Fine Jewelry Corp., Sr. Notes, 8.375% due 6/1/12 | | | 265,500 |
| 725,000 | | BBB- | | The Gap, Inc., Notes, 10.050% due 12/15/08 | | | 838,458 |
| 1,325,000 | | CCC+ | | General Nutrition Centers, Inc., Sr. Sub. Notes,
8.500% due 12/1/10 | | | 1,020,250 |
| | | | | J.C. Penney Co., Inc.: | | | |
| 705,000 | | BB+ | | Notes, 9.000% due 8/1/12 | | | 810,750 |
| 950,000 | | BB+ | | Sr. Notes, 8.000% due 3/1/10 | | | 1,045,000 |
| 675,000 | | B | | Jean Coutu Group (PJC) Inc., Sr. Sub. Notes,
8.500% due 8/1/14 | | | 639,563 |
| 1,305,000 | | B- | | Rite Aid Corp., Sr. Notes, 7.125% due 1/15/07 | | | 1,305,000 |
| 717,000 | | B+ | | Saks Inc., Notes, 9.875% due 10/1/11 | | | 774,360 |
| 425,000 | | BB | | Toys “R” Us, Inc., Notes, 7.375% due 10/15/18 | | | 337,875 |
|
| | | | | | | | 7,227,506 |
|
Technology — 0.8% | | | |
| | | | | Amkor Technology, Inc.: | | | |
| 250,000 | | B- | | Sr. Notes, 9.250% due 2/15/08 | | | 223,125 |
| 1,290,000 | | CCC | | Sr. Sub. Notes, 10.500% due 5/1/09 | | | 1,032,000 |
| 224,000 | | B | | Sanmina — SCI Corp., Sub. Debentures, zero coupon bond to yield 10.672% due 9/12/20 (d) | | | 121,800 |
| 690,000 | | BBB- | | Thomas & Betts Corp., Medium-Term Notes,
6.625% due 5/7/08 | | | 725,816 |
|
| | | | | | | | 2,102,741 |
|
Telecommunications — 10.7% | | | |
| 439,900 | | CCC | | AirGate PCS, Inc., Sr. Sub. Secured Notes, 9.375% due 9/1/09 | | | 469,593 |
| | | | | Alamosa (Delaware), Inc.: | | | |
| 363,000 | | CCC+ | | Sr. Discount Notes, step bond to yield
11.437% due 7/31/09 | | | 397,485 |
| 650,000 | | CCC+ | | Sr. Notes, 11.000% due 7/31/10 | | | 728,812 |
| 277,000 | | CCC+ | | American Tower Corp., Sr. Notes, 9.375% due 2/1/09 | | | 291,196 |
| 360,000 | | CCC+ | | American Towers Escrow Corp., Sr. Sub. Discount Notes, zero coupon bond to yield 14.432% due 8/1/08 | | | 273,600 |
| | | | | AT&T Corp., Sr. Notes: | | | |
| 350,000 | | BB+ | | 9.050% due 11/15/11 (c) | | | 401,188 |
| 1,800,000 | | BB+ | | 9.750% due 11/15/31 (c) | | | 2,250,000 |
| | | | | Crown Castle International Corp., Sr. Notes: | | | |
| 400,000 | | CCC+ | | 9.375% due 8/1/11 | | | 440,000 |
| 685,000 | | CCC+ | | 10.750% due 8/1/11 | | | 736,375 |
| 75,000 | | CCC+ | | 7.500% due 12/1/13 | | | 80,250 |
| 500,000 | | CCC+ | | Series B, 7.500% due 12/1/13 | | | 535,000 |
| 695,000 | | NR | | GT Group Telecom Inc., Sr. Discount Notes, step bond to yield 15.232% due 2/1/10 (e)(f)‡ | | | 0 |
See Notes to Financial Statements.
20 Travelers Series Fund Inc. | 2005 Semi-Annual Report
| | |
| Schedules of Investments (unaudited) (continued) | | April 30, 2005 |
SMITH BARNEY HIGH INCOME PORTFOLIO
| | | | | | | |
FACE AMOUNT | | RATING(a) | | SECURITY | | VALUE |
| | | | | | | | |
Telecommunications — 10.7% (continued) | | | |
| $ 500,000 | | B+ | | Intelsat Bermuda Ltd., Sr. Notes, 7.805% due 1/15/12 (b)(c) | | $ | 503,750 |
| 3,275,000 | | B | | Lucent Technologies Inc., Debentures, 6.450% due 3/15/29 | | | 2,779,656 |
| 125,000 | | B+ | | MCI Inc., Sr. Notes, 8.735% due 5/1/14 | | | 135,625 |
| 3,550,000 | | A | | New Cingular Wireless Services Inc., Sr. Notes,
8.750% due 3/1/31 | | | 4,856,116 |
| | | | | Nextel Communications, Inc., Sr. Serial Redeemable Notes: | | | |
| 1,775,000 | | BB | | 6.875% due 10/31/13 | | | 1,872,625 |
| 1,650,000 | | BB | | 7.375% due 8/1/15 | | | 1,765,500 |
| 373,000 | | BB- | | Nextel Partners, Inc., Sr. Notes, 12.500% due 11/15/09 | | | 410,300 |
| 750,000 | | B- | | Nortel Networks Corp., Notes, 6.875% due 9/1/23 | | | 690,000 |
| 375,000 | | B- | | Nortel Networks Ltd., Sr. Notes, 6.125% due 2/15/06 | | | 377,813 |
| 305,000 | | B- | | Northern Telecom Capital Corp., Notes, 7.875% due 6/15/26 | | | 305,000 |
| 1,445,000 | | BB- | | Qwest Corp., Notes, 9.125% due 3/15/12 (b) | | | 1,538,925 |
| | | | | Qwest Services Corp.: | | | |
| 596,000 | | B | | Notes, 14.000% due 12/15/14 (b)(c) | | | 694,340 |
| 2,840,000 | | B | | Sr. Notes, 13.500% due 12/15/10 (b)(c) | | | 3,209,200 |
| 850,000 | | B- | | SpectraSite, Inc., Sr. Notes, 8.250% due 5/15/10 | | | 890,375 |
| | | | | Sprint Capital Corp.: | | | |
| 1,350,000 | | BBB- | | Notes, 8.750% due 3/15/32 | | | 1,820,907 |
| 775,000 | | BBB- | | Sr. Secured Debenture Notes, 6.875% due 11/15/28 | | | 866,833 |
| 825,000 | | B | | Zeus Special Subsidary Ltd., Sr. Discount Notes, step bond to yield 9.253% due 8/1/08 (b) | | | 503,250 |
|
| | | | | | | | 29,823,714 |
|
Textiles/Apparel — 1.2% | | | |
| | | | | Levi Strauss & Co., Sr. Notes: | | | |
| 325,000 | | B- | | 7.730% due 4/1/12 (b)(c) | | | 300,625 |
| 255,000 | | B- | | 12.250% due 12/15/12 | | | 271,575 |
| 1,225,000 | | B- | | 9.750% due 1/15/15 (b) | | | 1,176,000 |
| 1,275,000 | | B | | Oxford Industries Inc., Sr. Notes, 8.875% due 6/1/11 | | | 1,326,000 |
| 292,000 | | B+ | | The William Carter Co., Sr. Sub. Notes, Series B,
10.875% due 8/15/11 | | | 322,660 |
|
| | | | | | | | 3,396,860 |
|
Transportation — 0.6% | | | |
| 650,000 | | B+ | | General Maritime Corp., Sr Notes, 10.000% due 3/15/13 | | | 710,125 |
| 625,000 | | CCC+ | | Horizon Lines LLC, Notes, 9.000% due 11/1/12 (b) | | | 660,937 |
| 360,000 | | BB+ | | Windsor Petroleum Transport Corp., Secured Notes,
7.840% due 1/15/21 (b) | | | 387,595 |
|
| | | | | | | | 1,758,657 |
|
Utilities — 6.0% | | | |
| | | | | The AES Corp., Sr. Notes: | | | |
| 1,470,000 | | B- | | 9.500% due 6/1/09 | | | 1,602,300 |
| 1,125,000 | | B- | | 7.750% due 3/1/14 | | | 1,153,125 |
See Notes to Financial Statements.
21 Travelers Series Fund Inc. | 2005 Semi-Annual Report
| | |
| Schedules of Investments (unaudited) (continued) | | April 30, 2005 |
SMITH BARNEY HIGH INCOME PORTFOLIO
| | | | | | | |
FACE AMOUNT | | RATING(a) | | SECURITY | | VALUE |
| | | | | | | | |
| Utilities — 6.0% (continued) | | | |
| $ 1,225,000 | | BB | | Allegheny Energy Supply Statutory Trust, Secured Notes, Series 2001-A, 10.250% due 11/15/07 (b) | | $ | 1,353,625 |
| 180,000 | | BB+ | | Avista Corp., Sr. Notes, 9.750% due 6/1/08 | | | 206,644 |
| | | | | Calpine Corp.: | | | |
| 2,285,000 | | B- | | 2nd Priority Sr. Secured Notes, 8.500% due 7/15/10 (b) | | | 1,599,500 |
| 85,000 | | CCC | | Sr. Notes, 8.625% due 8/15/10 | | | 42,288 |
| 645,000 | | B- | | Sr. Secured Notes, 8.750% due 7/15/13 (b) | | | 448,275 |
| | | | | Edison Mission Energy, Sr. Notes: | | | |
| 640,000 | | B+ | | 10.000% due 8/15/08 | | | 702,400 |
| 325,000 | | B+ | | 7.730% due 6/15/09 | | | 334,750 |
| 1,525,000 | | B+ | | 9.875% due 4/15/11 | | | 1,730,875 |
| | | | | Mirant Americas Generation, LLC, Sr. Notes: | | | |
| 475,000 | | NR | | 7.625% due 5/1/06 (e) | | | 542,688 |
| 900,000 | | NR | | 9.125% due 5/1/31 (e) | | | 954,000 |
| 1,956,000 | | B | | NRG Energy Inc., 2nd Priority Sr. Secured Notes,
8.000% due 12/15/13 (b) | | | 1,985,340 |
| 1,165,000 | | B | | Orion Power Holdings, Inc., Sr. Notes, 12.000% due 5/1/10 | | | 1,398,000 |
| | | | | Reliant Resources, Inc., Sr. Secured Notes: | | | |
| 800,000 | | B+ | | 9.250% due 7/15/10 | | | 822,000 |
| 1,650,000 | | B+ | | 9.500% due 7/15/13 | | | 1,720,125 |
|
| | | | | | | | 16,595,935 |
|
| | | | | TOTAL CORPORATE BONDS & NOTES
(Cost — $249,876,836) | | | 254,766,326 |
|
| ASSET-BACKED SECURITIES — 1.0% | | | |
| Airlines — 0.5% | | | |
| | | | | Continental Airlines, Inc., Pass Through Certificates: | | | |
| 151,353 | | B+ | | Series 2000-2, Class C, 8.312% due 4/2/11 | | | 118,068 |
| 885,000 | | B | | Series 2001-2, Class D, 7.568% due 12/1/06 | | | 720,697 |
| | | | | United Airlines, Inc., Pass-Through Certificate: | | | |
| 437,290 | | NR | | Series 2000-1, Class B, 8.030% due 7/1/11 (e) | | | 103,047 |
| 888,598 | | NR | | Series 2000-2, Class B, 7.811% due 10/1/09 (e) | | | 332,153 |
| | | | | Series 2001-1: | | | |
| 160,000 | | NR | | Class B, 6.932% due 9/1/11 (e) | | | 76,668 |
| 365,000 | | NR | | Class C, 6.831% due 9/1/08 (e) | | | 50,420 |
|
| | | | | | | | 1,401,053 |
|
| Financial Services — 0.1% | | | |
| 1,402,534 | | D | | Airplanes Pass-Through Trust, Series 1, Class D,
10.875% due 3/15/12 (f)‡ | | | 0 |
| 148,396 | | B | | First Consumer Master Trust,
Series 2001-A, Class A, 3.264% due 9/15/08 (c) | | | 147,553 |
|
| | | | | | | | 147,553 |
|
See Notes to Financial Statements.
22 Travelers Series Fund Inc. | 2005 Semi-Annual Report
| | |
| Schedules of Investments (unaudited) (continued) | | April 30, 2005 |
SMITH BARNEY HIGH INCOME PORTFOLIO
| | | | | | | | |
FACE AMOUNT | | | RATING(a) | | SECURITY | | VALUE |
| | | | | | | | | |
| Retail — 0.4% | | | |
| | | | | | Ahold Lease USA, Inc., Pass-Through Certificates: | | | |
| $ 675,559 | | | BB | | Series 2001-A-1, 7.820% due 1/2/20 | | $ | 723,271 |
| 400,000 | | | BB | | Series 2001-A-2, 8.620% due 1/2/25 | | | 438,250 |
|
| | | | | | | | | 1,161,521 |
|
| | | | | | TOTAL ASSET-BACKED SECURITIES
(Cost — $5,439,860) | | | 2,710,127 |
|
| | | |
| SHARES | | | | | | | |
| COMMON STOCK (g) — 0.7% | | | |
| Aerospace & Defense — 0.0% | | | |
| 1,150 | UNIT | | | | Northrop Grumman Corp. | | | 63,066 |
|
| Business Services — 0.0% | | | |
| 1,619 | | | | | Outsourcing Solutions Inc. (f) | | | 5,668 |
|
| Chemical — 0.2% | | | |
| 17,316 | | | | | Applied Extrusion Technologies, Inc. (f) | | | 403,181 |
|
| Food & Beverage — 0.0% | | | |
| 23,465 | | | | | Aurora Foods Inc. (f)‡ | | | 0 |
|
| Technology — 0.0% | | | |
| 478 | | | | | Freescale Semiconductor Inc., Class B Shares | | | 9,015 |
|
| Telecommunications — 0.7% | | | |
| 52,153 | | | | | Alamosa Holdings, Inc. | | | 677,467 |
| 12,806 | | | | | Crown Castle International Corp. | �� | | 206,561 |
| 870 | | | | | McLeodUSA, Inc., Class A Shares | | | 113 |
| 4,335 | | | | | Motorola, Inc. | | | 66,499 |
| 27,795 | | | | | Telewest Global Inc. | | | 515,319 |
|
| | | | | | | | | 1,465,959 |
|
| | | | | | TOTAL COMMON STOCK
(Cost — $2,652,805) | | | 1,946,889 |
|
| PREFERRED STOCK — 0.7% | | | |
| Telecommunications — 0.7% | | | |
| 1,457 | | | | | Alamosa Holdings, Inc., 7.500% Cumulative, Series B (h) | | | 1,420,393 |
| 7,000 | | | | | Crown Castle International Corp., 6.250% (g)(h) | | | 338,625 |
|
| | | | | | | | | 1,759,018 |
|
| | | | | | TOTAL PREFERRED STOCK (Cost — $639,775) | | | 1,759,018 |
|
See Notes to Financial Statements.
23 Travelers Series Fund Inc. | 2005 Semi-Annual Report
| | |
| Schedules of Investments (unaudited) (continued) | | April 30, 2005 |
SMITH BARNEY HIGH INCOME PORTFOLIO
| | | | | | | |
| WARRANTS | | | | SECURITY | | VALUE |
| WARRANTS (b)(g) — 0.0% | | | |
Commercial Printing Forms — 0.0% | | | |
| 435 | | | | Merrill Corp., Expire 5/1/09 (f)‡ | | $ | 0 |
|
Internet Software/Services — 0.0% | | | |
| 430 | | | | Cybernet Internet Services International Inc., Expire 7/1/09 (f)‡ | | | 0 |
|
Packaging/Containers — 0.0% | | | |
| 80 | | | | Pliant Corp., Expire 6/1/10 (f)‡ | | | 1 |
|
Telecommunications — 0.0% | | | |
| 360 | | | | American Tower Corp., Expire 8/1/08 | | | 87,661 |
| 695 | | | | GT Group Telecom Inc., Expire 2/1/10 (f)‡ | | | 0 |
| 350 | | | | Horizon PCS Inc., Expire 10/1/10 (f)‡ | | | 0 |
| 925 | | | | Iridium World Communications Inc., Expire 7/15/05 (f)‡ | | | 9 |
| 375 | | | | IWO Holdings Inc., Expire 1/15/11 (f)‡ | | | 0 |
| 700 | | | | RSL Communications Ltd., Expire 11/15/06 (f)‡ | | | 0 |
|
| | | | | | | | 87,670 |
|
| | | | | TOTAL WARRANTS (Cost — $303,120) | | | 87,671 |
|
| | | |
FACE
AMOUNT | | | | | | |
| REPURCHASE AGREEMENT — 3.9% | | | |
| $10,853,000 | | | | Interest in $850,128,000 joint tri-party repurchase agreement dated 4/29/05 with UBS Securities LLC, 2.950% due 5/2/05; Proceeds at maturity — $10,855,668; (Fully collateralized by various U.S. Government Agency Obligations, 0.000% to 8.875% due 5/26/05 to 8/6/38; Market value — $11,070,107) (Cost — $10,853,000) | | | 10,853,000 |
|
| | | | | TOTAL INVESTMENTS — 97.9%
(Cost — $269,765,396**) | | | 272,123,031 |
| | | | | Other Assets in Excess of Liabilities — 2.1% | | | 5,868,495 |
|
| | | | | TOTAL NET ASSETS — 100.0% | | $ | 277,991,526 |
|
| (a) | | All ratings are by Standard & Poor’s Ratings Service, except for those identified by an asterisk (*), which are rated by Moody’s Investors Service. |
| (b) | | Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Directors. |
| (c) | | Variable rate security. Rate shown is rate in effect at April 30, 2005. |
| (d) | | Convertible bonds exchangeable for shares of common stock. |
| (e) | | Security is currently in default. |
| (f) | | Security is valued in good faith at fair value by or under the direction of the Board of Directors. |
| (g) | | Non-income producing security. |
| (h) | | Convertible preferred stock exchangeable for shares of common stock. |
| ** | | Aggregate cost for federal income tax purposes is substantially the same. |
| ‡ | | This security has been deemed illiquid. |
| | | | |
Abbreviation used in this schedule:
|
See Notes to Financial Statements.
24 Travelers Series Fund Inc. | 2005 Semi-Annual Report
| | |
| Schedules of Investments (unaudited) (continued) | | April 30, 2005 |
PIONEER STRATEGIC INCOME PORTFOLIO
| | | | | | |
FACE AMOUNT† | | | SECURITY | | VALUE |
| | | | | | | |
| U.S. GOVERNMENT SECTOR — 23.2% |
| U.S. Treasury Obligations — 5.2% |
| | | | U.S. Treasury Bonds: | | | |
| 1,600,000 | | | 5.250% due 11/15/28 | | $ | 1,745,750 |
| 820,000 | | | 5.250% due 2/15/29 (a) | | | 895,754 |
| 565,000 | | | 5.375% due 2/15/31 | | | 638,318 |
| 330,000 | | | U.S. Treasury Notes, 4.000% due 2/15/15 | | | 324,754 |
| | | | U.S. Treasury Strips: | | | |
| 3,200,000 | | | Zero coupon due 2/15/11 (b) | | | 2,548,976 |
| 1,500,000 | | | Zero coupon due 5/15/13 | | | 1,071,525 |
|
| | | | | | | 7,225,077 |
|
| U.S. Government Agencies — 16.7% |
| | | | Federal Home Loan Mortgage Corp. (FHLMC): | | | |
| 962,064 | | | 6.000% due 6/1/17 | | | 998,110 |
| 1,000,000 | | | 4.500% due 5/1/20 (c) | | | 989,688 |
| 390,451 | | | 6.000% due 11/1/33 | | | 401,226 |
| 973,055 | | | 5.000% due 5/1/34 | | | 964,397 |
| 2,458,555 | | | 5.500% due 11/1/34-1/1/35 | | | 2,489,101 |
| | | | Federal National Mortgage Association (FNMA): | | | |
| 340,666 | | | 5.500% due 12/1/18-4/1/19 | | | 349,119 |
| 591,575 | | | 5.000% due 2/1/20 | | | 596,439 |
| 988,716 | | | 5.500% due 3/1/25 | | | 1,000,529 |
| 10,461 | | | 7.500% due 1/1/30-10/1/30 | | | 11,221 |
| 439,074 | | | 4.500% due 3/1/35 | | | 424,345 |
| 1,350,000 | AUD | | Sr. Notes, 6.375% due 8/15/07 | | | 1,073,040 |
| | | | Government National Mortgage Association (GNMA): | | | |
| 394,585 | | | 5.000% due 10/15/18 | | | 401,593 |
| 1,349,509 | | | 6.000% due 8/15/19 (b) | | | 1,406,620 |
| 1,253,264 | | | 5.500% due 8/15/19-10/15/19 | | | 1,294,950 |
| 500,000 | | | 4.500% due 10/15/27 (c) | | | 487,945 |
| 1,200,000 | | | 5.000% due 10/15/28 (c) | | | 1,197,750 |
| 40,476 | | | 6.500% due 11/15/32 | | | 42,413 |
| 1,473,095 | | | 6.000% due 2/15/24-7/15/33 | | | 1,521,112 |
| 276,021 | | | 5.000% due 8/20/34 | | | 275,428 |
| 2,971,813 | | | 5.500% due 1/15/34-10/15/34 | | | 3,027,162 |
| 4,613,541 | | | 4.500% due 8/15/33-4/15/35 | | | 4,502,140 |
|
| | | | | | | 23,454,328 |
|
| U.S. Government Agency Collateralized Mortgage Obligations — 1.3% |
| | | | Federal Home Loan Mortgage Corp. (FHLMC): | | | |
| | | | Interest-Only Strips: | | | |
| 479,138 | | | Series 216, Class IO, 6.000% due 1/1/32 | | | 99,265 |
| 305,638 | | | Series 2448, Class SM, 5.046% due 3/15/32 (d) | | | 30,773 |
See Notes to Financial Statements.
25 Travelers Series Fund Inc. | 2005 Semi-Annual Report
| | |
| Schedules of Investments (unaudited) (continued) | | April 30, 2005 |
PIONEER STRATEGIC INCOME PORTFOLIO
| | | | | |
FACE AMOUNT† | | SECURITY | | VALUE |
| | | | | | |
U.S. Government Agency Collateralized Mortgage Obligations — 1.3% (continued) |
| 25,488 | | Series 2478, Class SY, 5.196% due 3/15/21 (d) | | $ | 1,290 |
| 256,700 | | Series 2515, Class IG, 5.500% due 3/15/32 | | | 68,412 |
| 351,389 | | Series 2579, Class GS, 4.696% due 1/15/17 (d) | | | 26,653 |
| | | Principal-Only Strips: | | | |
| 65,435 | | Series 215, Class PO, zero coupon due 6/1/31 | | | 58,592 |
| 49,941 | | Series 2235, Class PO, zero coupon due 6/15/30 | | | 42,535 |
| | | Federal National Mortgage Association (FNMA): | | | |
| | | Interest-Only Strips: | | | |
| 182,325 | | Series 318, Class 2, 6.000% due 1/1/32 | | | 35,290 |
| 118,986 | | Series 322, Class 2, 6.000% due 4/1/32 | | | 23,286 |
| 670,284 | | Series 329, Class 2, 5.500% due 1/1/33 | | | 140,036 |
| 142,332 | | Series 332, Class 2, 6.000% due 2/1/33 | | | 28,035 |
| 46,249 | | Series 2001-74, Class MI, 6.000% due 12/25/15 | | | 3,738 |
| 279,995 | | Series 2002-9, Class MS, 5.080% due 3/25/32 (d) | | | 29,650 |
| 116,952 | | Series 2002-52, Class SL, 4.980% due 9/25/32 (d) | | | 11,741 |
| 131,132 | | Series 2002-63, Class SN, 4.980% due 10/25/32 (d) | | | 13,205 |
| 687,023 | | Series 2003-23, Class AI, 5.000% due 3/25/17 | | | 94,268 |
| 136,779 | | Series 2003-26, Class IG, 6.000% due 4/25/33 | | | 24,236 |
| 1,041,550 | | Series 2003-34, Class ES, 3.980% due 2/25/33 (d) | | | 85,392 |
| 442,870 | | Series 2003-34, Class SG, 3.980% due 2/25/33 (d) | | | 36,363 |
| 1,220,314 | | Series 2003-34, Class SP, 4.080% due 1/25/32 (d) | | | 88,456 |
| 568,618 | | Series 2003-49, Class TS, 4.680% due 3/25/18 (d) | | | 62,648 |
| 50,902 | | Pass-Through Certificates, Series 2002-14, Class A2,
7.500% due 1/25/42 | | | 53,908 |
| 28,308 | | Principal-Only Strip, Series 1999-51, Class N,
zero coupon due 9/17/29 | | | 24,187 |
| | | Federal National Mortgage Association (FNMA) Grantor Trust: | | | |
| | | Pass-Through Certificates: | | | |
| 53,668 | | Series 1999-T2, Class A1, 7.500% due 1/19/39 | | | 56,853 |
| 26,525 | | Series 2000-T6, Class A1, 7.500% due 6/25/30 | | | 27,993 |
| 129,697 | | Series 2001-T1, Class A1, 7.500% due 10/25/40 | | | 136,790 |
| 42,694 | | Series 2001-T3, Class A1, 7.500% due 11/25/40 | | | 45,077 |
| 126,063 | | Series 2001-T4, Class A1, 7.500% due 7/25/41 | | | 133,945 |
| 280,184 | | Series 2001-T7, Class A1, 7.500% due 2/25/41 | | | 296,574 |
| 7,785 | | Series 2001-T10, Class A1, 7.000% due 12/25/41 | | | 8,153 |
| 71,651 | | Series 2001-T10, Class A2, 7.500% due 12/25/41 | | | 75,911 |
| 642 | | Series 2002-T1, Class A2, 7.000% due 11/25/31 | | | 680 |
| 31,611 | | Government National Mortgage Association (GNMA), Interest-Only Strip, Series 2001-43, Class SJ, 4.610% due 1/20/29 (d) | | | 361 |
|
| | | | | | 1,864,296 |
|
| | | TOTAL U.S. GOVERNMENT SECTOR
(Cost — $33,020,796) | | | 32,543,701 |
|
See Notes to Financial Statements.
26 Travelers Series Fund Inc. | 2005 Semi-Annual Report
| | |
| Schedules of Investments (unaudited) (continued) | | April 30, 2005 |
PIONEER STRATEGIC INCOME PORTFOLIO
| | | | | | | |
FACE AMOUNT† | | RATING(e) | | SECURITY | | VALUE |
| | | | | | | | |
| COLLATERALIZED MORTGAGE OBLIGATIONS — 0.9% | | | |
| 70,000 | | BB+ | | CS First Boston Mortgage Securities Corp., Series 2002-CKN2, Class H, 6.122% due 4/15/37 (f) | | $ | 71,419 |
| | | | | Global Signal Trust: | | | |
| 660,000 | | BBB- | | Series 2004-1A, Class E, 5.395% due 1/15/34 (f) | | | 648,196 |
| 450,000 | | Ba2* | | Series 2004-2A, Class F, 6.376% due 12/15/14 (f) | | | 448,987 |
| | | | | iStar Asset Receivables Trust, Series 2003-1A: | | | |
| 36,297 | | AAA | | Class A2, 3.410% due 8/28/22 (d)(f) | | | 36,325 |
| 31,760 | | A+ | | Class E, 4.070% due 8/28/22 (d)(f) | | | 31,798 |
| 27,223 | | A | | Class F, 4.120% due 8/28/22 (d)(f) | | | 27,255 |
| 20,825 | | AAA | | Rural Housing Trust, Series 1987-1, Class D,
6.330% due 4/1/26 | | | 20,836 |
| 47,114 | | BB+** | | Sasco Net Interest Margin Trust, Series 2003-BC1, Class B, zero coupon due 5/27/33 (f)(g) | | | 30,624 |
|
| | | | | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost — $1,315,071) | | | 1,315,440 |
|
| ASSET-BACKED SECURITIES — 5.0% | | | |
| | | | | Ameriquest Mortgage Securities Inc.: | | | |
| 59,000 | | BBB- | | Series 2002-4, Class M4, 6.770% due 2/25/33 (d) | | | 59,515 |
| 61,000 | | BBB- | | Series 2003-1, Class M4, 6.100% due 2/25/33 (d) | | | 62,287 |
| 61,000 | | BBB- | | Series 2003-2, Class M4, 6.100% due 3/25/33 (d) | | | 62,315 |
| 25,000 | | BBB | | Series 2003-AR3, Class M5, 6.770% due 10/25/33 (d) | | | 25,882 |
| | | | | Asset Backed Funding Corp., Mortgage Loan Asset-Backed Certificates, Series 2003-WF1: | | | |
| 66,000 | | BBB | | Class M3, 6.070% due 12/25/32 (d) | | | 68,767 |
| 25,000 | | BBB- | | Class M4, 6.270% due 12/25/32 (d) | | | 25,032 |
| | | | | Asset Backed Securities Corp., Home Equity Loan Trust: | | | |
| 56,000 | | BBB- | | Series 2003-HE1, Class M4, 7.450% due 1/15/33 (d) | | | 54,837 |
| 123,000 | | BBB | | Series 2003-HE2, Class M4, 6.804% due 4/15/33 (d) | | | 125,666 |
| 2,593,000 | | BBB- | | Series 2003-HE3, Class M5, 6.954% due 6/15/33 (b)(d) | | | 2,632,420 |
| 334,000 | | BBB | | Bank One Issuance Trust, Series 2002-C1, Class C1, 3.914% due 12/15/09 (d) | | | 338,315 |
| 50,000 | | BBB- | | CDC Mortgage Capital Trust, Series 2003-HE2, Class B3, 6.770% due 10/25/33 (d) | | | 47,144 |
| | | | | Conseco Finance Securitizations Corp.: | | | |
| 27,377 | | CCC | | Series 2000-2, Class A4, 8.480% due 12/1/30 | | | 28,266 |
| 220,000 | | CCC- | | Series 2000-6, Class M2, 8.200% due 9/1/32# | | | 13,063 |
| 5,000 | | B- | | Series 2001-3, Class A4, 6.910% due 5/1/33 | | | 4,884 |
| 4,000 | | B- | | Series 2001-4, Class A4, 7.360% due 9/1/33 | | | 4,172 |
| 196,000 | | CC | | Series 2001-4, Class B1, 9.400% due 9/1/33# | | | 28,971 |
| 368,766 | | BB+ | | Series 2002-1, Class A, 6.681% due 12/1/32 | | | 380,425 |
| 250,000 | | BBB- | | Consumer Credit Reference Index Securities Program, Series 2002-1A, Class A, 5.050% due 3/22/07 (d)(f) | | | 253,887 |
See Notes to Financial Statements.
27 Travelers Series Fund Inc. | 2005 Semi-Annual Report
| | |
| Schedules of Investments (unaudited) (continued) | | April 30, 2005 |
PIONEER STRATEGIC INCOME PORTFOLIO
| | | | | | | |
FACE AMOUNT† | | RATING(e) | | SECURITY | | VALUE |
| | | | | | | | |
| ASSET-BACKED SECURITIES — 5.0% (continued) | | | |
| 188,000 | | CCC | | Green Tree Financial Corp., Series 1999-5, Class A5,
7.860% due 3/1/30 | | $ | 173,335 |
| 22,200 | | Ba3* | | Green Tree Home Improvement Loan Trust, Series 1995-F, Class B2, 7.100% due 1/15/21 | | | 22,041 |
| 313,601 | | BB | | Greenpoint Manufactured Housing, Series 2000-3, Class IA, 8.450% due 6/20/31 | | | 299,526 |
| 50,000 | | Baa3* | | GSAMP Trust, Series 2003-FM1, Class B3,
7.490% due 3/20/33 (d) | | | 49,270 |
| 7,403 | | BBB** | | Home Equity Asset Trust, Series 2002-5N, Class A,
8.000% due 6/27/33 (f) | | | 7,403 |
| 215,000 | | BBB- | | LNR CDO Ltd., Series 2002-1A, Class FFL,
5.770% due 7/24/37 (d)(f) | | | 212,420 |
| 250,000 | | BB+ | | Madison Avenue Manufactured Housing Contract Trust, Series 2002-A, Class B1, 6.270% due 3/25/32 (d) | | | 112,980 |
| 50,000 | | BBB- | | MASTR Asset Backed Securities Trust, Series 2003-OPT1, Class MV5, 6.520% due 12/25/32 (d) | | | 50,456 |
| 104,000 | | AA | | Merrill Lynch Mortgage Investors, Inc., Series 2003-WMC1, Class B2, 6.020% due 11/25/33 (d) | | | 103,251 |
| 88,896 | | BBB | | Mid-State Trust, Series 10, Class B, 7.540% due 2/15/36 | | | 85,647 |
| 54,000 | | BBB- | | Morgan Stanley ABS Capital I Inc., Series 2002-NC6, Class B2, 6.770% due 11/25/32 (d) | | | 52,847 |
| | | | | Morgan Stanley Dean Witter Capital I Inc.: | | | |
| 13,248 | | BBB- | | Series 2001-AM1, Class B1, 5.220% due 2/25/32 (d) | | | 13,315 |
| 33,015 | | BBB- | | Series 2001-NC3, Class B1, 5.470% due 10/25/31 (d) | | | 32,932 |
| 124,290 | | BBB- | | Series 2001-NC4, Class B1, 5.520% due 1/25/32 (d) | | | 124,105 |
| 115,000 | | BBB- | | Series 2002-AM2, Class B1, 5.270% due 5/25/32 (d) | | | 114,005 |
| 58,000 | | BBB- | | Series 2002-AM3, Class B2, 6.770% due 2/25/33 (d) | | | 59,253 |
| 59,000 | | BBB- | | Series 2002-NC5, Class B2, 5.270% due 10/25/32 (d) | | | 60,223 |
| 59,000 | | BBB- | | Series 2003-NC2, Class B2, 6.770% due 2/25/33 (d) | | | 59,962 |
| 58,000 | | BBB- | | Series 2003-NC3, Class B3, 6.770% due 3/25/33 (d) | | | 58,732 |
| 15,080 | | BBB- | | Pass-Through Amortizing Credit Card Trust, Series 2002-1A, Class A4FL, 8.470% due 6/18/12 (d)(f) | | | 15,115 |
| 827,100 | | BBB- | | PF Export Receivables Master Trust, Notes, Series A,
6.436% due 6/1/15 (f) | | | 842,306 |
| 10,353 | | Baa3* | | Sail Net Interest Margin Notes, Series 2003-BC1A, Class A, 7.750% due 1/27/33 (f) | | | 10,368 |
| 146,000 | | BBB+ | | Structured Asset Investment Loan Trust, Series 2003-BC1, Class M3, 6.020% due 1/25/33 (d) | | | 148,731 |
| 100,000 | | BB | | TIAA Commercial Real Estate Securitization, Series 2002-1A, Class IV, 6.840% due 5/22/37 (f) | | | 94,759 |
|
| | | | | TOTAL ASSET-BACKED SECURITIES
(Cost — $6,957,874) | | | 7,018,830 |
|
See Notes to Financial Statements.
28 Travelers Series Fund Inc. | 2005 Semi-Annual Report
| | |
| Schedules of Investments (unaudited) (continued) | | April 30, 2005 |
PIONEER STRATEGIC INCOME PORTFOLIO
| | | | | | | |
FACE AMOUNT† | | RATING(e) | | SECURITY | | VALUE |
| | | | | | | | |
| MUNICIPAL BONDS — 2.2% | | | |
Iowa — 0.8% | | | |
| 1,130,000 | | BBB | | Tobacco Settlement Authority, Tobacco Settlement Asset-Backed Bonds, Series 2001B, 5.600% due 6/1/35 | | $ | 1,073,353 |
|
Louisiana — 0.2% | | | |
| 300,000 | | BBB | | Tobacco Settlement Financing Corp., LA Tobacco Settlement Asset-Backed Bonds, Series 2001B, 5.875% due 5/15/39 | | | 299,334 |
|
Minnesota — 0.3% | | | |
| 500,000 | | NR | | Minneapolis & St. Paul Metropolitan Airports Commission, Special Facilities Revenue, Northwest Airlines Project, Series A, 7.000% due 4/1/25 | | | 461,265 |
|
New Jersey — 0.6% | | | |
| 430,000 | | B | | New Jersey Economic Development Authority, Special Facilities Revenue, (Continental Airlines Inc. Project),
6.250% due 9/15/29 | | | 350,579 |
| 440,000 | | BBB | | Tobacco Settlement Financing Corp., NJ Tobacco Settlement Asset-Backed Bonds, 7.000% due 6/1/41 | | | 475,402 |
|
| | | | | | | | 825,981 |
|
Rhode Island — 0.1% | | | |
| 150,000 | | BBB | | Tobacco Settlement Financing Corp., RI Tobacco Settlement Asset-Backed Bonds, Series A, 6.250% due 6/1/42 | | | 151,269 |
|
Washington — 0.2% | | | |
| 220,000 | | BBB | | Tobacco Settlement Authority, WA Tobacco Settlement Asset-Backed Bonds, 6.625% due 6/1/32 | | | 230,261 |
|
| | | | | TOTAL MUNICIPAL BONDS
(Cost — $2,683,151) | | | 3,041,463 |
|
| HIGH-YIELD SECTOR — 50.7% | | | |
|
| CORPORATE BONDS AND NOTES — 49.7% | | | |
Aerospace/Defense — 0.0% | | | |
| 50,000 | | B | | Titan Corp., Notes, 8.000% due 5/15/11 | | | 52,375 |
|
Airlines — 0.6% | | | | | |
| | | | | AMR Corp., Debentures: | | | |
| 160,000 | | CCC | | 9.000% due 8/1/12 (a) | | | 120,000 |
| 400,000 | | CCC | | 9.800% due 10/1/21 | | | 248,000 |
| 180,000 | | CCC+ | | Calair LLC/Calair Capital Corp., Sr. Notes,
8.125% due 4/1/08 | | | 137,700 |
| 360,000 | | B | | Continental Airlines, Inc., Pass-Through Certificates, Series D, 7.568% due 12/1/06 | | | 293,165 |
See Notes to Financial Statements.
29 Travelers Series Fund Inc. | 2005 Semi-Annual Report
| | |
| Schedules of Investments (unaudited) (continued) | | April 30, 2005 |
PIONEER STRATEGIC INCOME PORTFOLIO
| | | | | | | | |
FACE AMOUNT† | | | RATING(e) | | SECURITY | | VALUE |
| | | | | | | | | |
| Airlines — 0.6% (continued) | | | |
| | | | | | Northwest Airlines, Inc., Notes: | | | |
| 25,000 | | | CCC+ | | 8.700% due 3/15/07 | | $ | 15,875 |
| 120,000 | | | CCC+ | | 9.875% due 3/15/07 (a) | | | 76,200 |
| 109,000 | | | NR | | United Airlines, Inc., Debentures, 9.125% due 1/15/12 (h) | | | 9,129 |
|
| | | | | | | | | 900,069 |
|
| Automotive — 2.3% | | | |
| 350,000 | | | B | | Asbury Automotive Group, Sr. Sub. Notes,
8.000% due 3/15/14 (a) | | | 322,000 |
| 1,080,000 | | | BB | | Delphi Corp., Notes, 6.550% due 6/15/06 (a) | | | 1,015,200 |
| 45,000 | EUR | | BBB- | | Lear Corp., Sr. Notes, 8.125% due 4/1/08 | | | 62,493 |
| 475,000 | | | BB- | | Navistar International, Sr. Notes, 7.500% due 6/15/11 (a) | | | 451,250 |
| 86,000 | | | B | | The Pep Boys — Manny, Moe & Jack, Sr. Sub. Notes,
7.500% due 12/15/14 (a) | | | 82,990 |
| 600,000 | | | B- | | Tenneco Automotive Inc., Sr. Sub Notes,
8.625% due 11/15/14 (a)(f) | | | 550,500 |
| 775,000 | | | B+ | | United Rentals (North America), Inc.,
7.750% due 11/15/13 (a) | | | 730,437 |
|
| | | | | | | | | 3,214,870 |
|
| Broadcasting — 0.0% | | | |
| 20,000 | | | NR | | Pegasus Communications Corp., Sr. Notes, Series B, 9.750% due 12/1/06 (h) | | | 11,700 |
|
| Building/Construction — 4.2% | | | |
| 9,825,000 | NOK | | NR | | Aker Kvaerner ASA, Sub. Notes, step bond to yield 18.695% due 10/30/11 | | | 1,329,753 |
| 895,000 | | | BB | | Asia Aluminum Holdings Ltd., Notes,
8.000% due 12/23/11 (f) | | | 852,488 |
| 85,000 | | | BB | | Beazer Homes USA, Inc., Sr. Notes, 8.625% due 5/15/11 | | | 90,525 |
| 600,000 | | | B- | | Builders FirstSource, Inc., Secured Notes,
7.024% due 2/15/12 (d)(f) | | | 585,000 |
| 475,000 | | | CCC+ | | J. Ray McDermott, S.A., Sr. Secured Notes,
11.000% due 12/15/13 (f) | | | 527,250 |
| 30,000 | | | B+ | | K. Hovnanian Enterprises, Inc., Sr. Sub. Notes,
7.750% due 5/15/13 (a) | | | 30,675 |
| 15,000 | EUR | | B | | Manitowoc Co., Inc., Sr. Sub. Notes, 10.375% due 5/15/11# | | | 21,461 |
| 540,000 | | | BB- | | Meritage Homes Corp., Sr. Notes, 6.250% due 3/15/15 (f) | | | 499,500 |
| | | | | | Owens Corning: | | | |
| 11,000 | | | NR | | Bonds, 7.500% due 8/1/18 (h) | | | 8,580 |
| 137,000 | | | NR | | Notes, 7.500% due 5/1/05 (h) | | | 107,203 |
| 66,000 | | | BB- | | Schuler Homes, Notes, 10.500% due 7/15/11 (a) | | | 72,877 |
| 1,000,000 | | | B | | Ship Finance International Ltd., Sr. Notes,
8.500% due 12/15/13 | | | 955,000 |
See Notes to Financial Statements.
30 Travelers Series Fund Inc. | 2005 Semi-Annual Report
| | |
| Schedules of Investments (unaudited) (continued) | | April 30, 2005 |
PIONEER STRATEGIC INCOME PORTFOLIO
| | | | | | | | |
FACE AMOUNT† | | | RATING(e) | | SECURITY | | VALUE |
| | | | | | | | | |
| Building/Construction — 4.2% (continued) | | | |
| | | | | | Technical Olympic USA, Inc.: | | | |
| 20,000 | | | B+ | | Sr. Notes, 9.000% due 7/1/10 | | $ | 20,700 |
| 20,000 | | | B- | | Sr. Sub. Notes, 10.375% due 7/1/12 | | | 21,100 |
| 915,000 | | | B+ | | WCI Communities, Inc., Sr. Sub. Notes,
6.625% due 3/15/15 (a)(f) | | | 837,225 |
|
| | | | | | | | | 5,959,337 |
|
| Business Services — 2.4% | | | |
| 879 | | | B- | | CanWest Media Inc., Sr. Sub. Notes,
8.000% due 9/15/12 (f) | | | 903 |
| 450,000 | | | B- | | Cornell Cos., Inc., Sr. Notes, 10.750% due 7/1/12 | | | 470,250 |
| 480,000 | | | B- | | Hydrochem Industrial Services, Inc., Sr. Sub. Notes,
9.250% due 2/15/13 (f) | | | 458,400 |
| 80,000 | | | B | | Lamar Media Corp., Sr. Sub. Notes, 7.250% due 1/1/13 | | | 82,800 |
| 540,000 | | | BBB- | | Odyssey Re Holdings Corp., Notes, 7.650% due 11/1/13 | | | 588,301 |
| 595,000 | | | CCC+ | | Rural/Metro Corp., Sr. Sub Notes, 9.875% due 3/15/15 (f) | | | 568,225 |
| 775,000 | | | B+ | | Trustreet Properties Inc., 7.500% due 4/1/15 (f) | | | 780,813 |
| | | | | | Xerox Corp., Sr. Notes: | | | |
| 100,000 | | | BB- | | 9.750% due 1/15/09 | | | 114,000 |
| 35,000 | EUR | | BB- | | 9.750% due 1/15/09 | | | 53,184 |
| 245,000 | | | BB- | | 7.125% due 6/15/10 | | | 257,862 |
|
| | | | | | | | | 3,374,738 |
|
| Cable — 1.0% | | | |
| 47,000 | | | BB- | | CSC Holdings Inc., Sr. Notes, 7.875% due 12/15/07 | | | 48,293 |
| | | | | | Kabel Deutschland GmbH, Notes: | | | |
| 300,000 | | | B- | | 10.625% due 7/1/14 (f) | | | 318,000 |
| 250,000 | EUR | | B- | | 10.750% due 7/1/14 (f) | | | 359,296 |
| 9,744 | | | NR | | KNOLOGY Holdings, Inc., Sr. Notes,
12.000% due 11/30/09 (f) | | | 8,818 |
| 470,000 | EUR | | B- | | NTL Cable PLC, Sr. Notes, 8.750% due 4/15/14 (f) | | | 629,938 |
| 20,000 | | | B+ | | Rogers Cablesystems Ltd., Sr. Sub. Debentures,
11.000% due 12/1/15 | | | 21,725 |
|
| | | | | | | | | 1,386,070 |
|
| Chemicals — 2.3% | | | |
| 150,000 | | | B+ | | Acetex Corp., Sr. Notes, 10.875% due 8/1/09 | | | 159,000 |
| 665,000 | | | BBB- | | Basell Finance Co. B.V., Notes, 8.100% due 3/15/27 (f) | | | 674,193 |
| 120,000 | | | A- | | Dow Chemical Co., Sr. Notes, 5.750% due 11/15/09 | | | 127,747 |
| 338,000 | | | BB- | | Hercules Inc., Sr. Notes, 11.125% due 11/15/07 | | | 387,855 |
| 50,000 | | | BB- | | Huntsman Advanced Materials LLC, Sr. Notes,
11.000% due 7/15/10 (f) | | | 57,250 |
| 205,000 | | | BB- | | ISP Chemco Inc., Sr. Sub. Notes, Series B,
10.250% due 7/1/11 | | | 222,938 |
See Notes to Financial Statements.
31 Travelers Series Fund Inc. | 2005 Semi-Annual Report
| | |
| Schedules of Investments (unaudited) (continued) | | April 30, 2005 |
PIONEER STRATEGIC INCOME PORTFOLIO
| | | | | | | | |
FACE AMOUNT† | | | RATING(e) | | SECURITY | | VALUE |
| | | | | | | | | |
| Chemicals — 2.3% (continued) | | | |
| 35,000 | | | B+ | | ISP Holdings, Inc., Sr. Secured Notes, Series B,
10.625% due 12/15/09 | | $ | 37,800 |
| 30,000 | | | BB- | | Lyondell Chemical Co., Sr. Secured Notes,
9.500% due 12/15/08 | | | 32,138 |
| 30,000 | | | BB- | | Millennium America, Inc., Sr. Notes, 9.250% due 6/15/08 | | | 32,100 |
| 229,000 | | | B- | | OM Group, Inc., Notes, 9.250% due 12/15/11 | | | 232,435 |
| 500,000 | | | B | | Resolution Performance Products LLC, Sr. Secured Notes, 8.000% due 12/15/09 | | | 523,750 |
| | | | | | Rhodia S.A.: | | | |
| 500,000 | EUR | | CCC+ | | Sr. Notes, 8.000% due 6/1/10 (f) | | | 620,088 |
| 120,000 | EUR | | CCC+ | | Sr. Sub. Notes, 9.250% due 6/1/11 (f) | | | 143,395 |
| 27,275 | | | NR | | Sterling Chemicals Inc., Sr. Secured Notes,
10.000% due 12/19/07 (i) | | | 27,411 |
|
| | | | | | | | | 3,278,100 |
|
| Consumer Products & Services — 1.4% | | | |
| 500,000 | | | BBB | | Bausch & Lomb Inc., Debentures, 7.125% due 8/1/28 | | | 538,443 |
| 1,010,000 | | | BBB- | | Glencore Funding LLC, Notes, 6.000% due 4/15/14 (f) | | | 958,273 |
| 500,000 | | | BB- | | Stewart Enterprises, Inc., Sr. Notes, 6.250% due 2/15/13 (f) | | | 487,500 |
|
| | | | | | | | | 1,984,216 |
|
| Electronics — 0.1% | | | |
| 120,000 | | | BB- | | Legrand Holding S.A., Sr. Notes, 10.500% due 2/15/13 | | | 135,600 |
| 20,000 | | | BB- | | Legrand S.A., Debentures, 8.500% due 2/15/25 | | | 24,000 |
|
| | | | | | | | | 159,600 |
|
| Energy — 5.8% | | | |
| 235,000 | | | CCC+ | | Aventine Renewable Energy, Inc., Notes,
8.501% due 12/15/11 (d)(f) | | | 215,025 |
| 1,000,000 | | | B- | | Baytex Energy Ltd., Sr. Sub. Notes, 9.625% due 7/15/10 (a) | | | 1,047,500 |
| 365,000 | | | B | | Comstock Resources, Inc., Sr. Notes, 6.875% due 3/1/12 | | | 357,700 |
| 781,000 | | | B- | | Crystal U.S. Holdings Corp., Sr. Discount Notes,
Series B, step bond to yield 9.401% due 10/1/14 (f) | | | 511,555 |
| 95,000 | | | B- | | Delta Petroleum Corp., Sr. Notes, 7.000% due 4/1/15 (f) | | | 90,250 |
| 760,000 | | | BBB- | | FPL Energy American Wind, LLC, Sr. Secured Notes,
6.639% due 6/20/23 (f) | | | 819,079 |
| 236,500 | | | BB- | | FPL Energy Wind Funding LLC, Notes, 6.876% due 6/27/17 (f) | | | 242,117 |
| 800,000 | | | BBB- | | Gazprom International S.A., Notes, 7.201% due 2/1/20 (f) | | | 834,000 |
| 635,000 | | | B+ | | Holly Energy Partners LP, Sr. Notes, 6.250% due 3/1/15 (f) | | | 600,075 |
| 650,000 | | | BBB- | | Kiowa Power Partners LLC, Notes, Series B,
5.737% due 3/30/21 (f) | | | 654,274 |
| 997,308 | | | NR | | Ormat Funding Corp., Sr. Secured Notes,
8.250% due 12/30/20 | | | 997,308 |
See Notes to Financial Statements.
32 Travelers Series Fund Inc. | 2005 Semi-Annual Report
| | |
| Schedules of Investments (unaudited) (continued) | | April 30, 2005 |
PIONEER STRATEGIC INCOME PORTFOLIO
| | | | | | | |
FACE AMOUNT† | | RATING(e) | | SECURITY | | VALUE |
| | | | | | | | |
Energy — 5.8% (continued) | | | |
| 39,000 | | B- | | Parker Drilling Co., Sr. Notes, Series B,
10.125% due 11/15/09 (a) | | $ | 41,047 |
| 17,000 | | BBB- | | Pioneer Natural Resources Co., Sr. Notes,
6.500% due 1/15/08 | | | 17,666 |
| 65,000 | | BB- | | SEMCO Energy, Inc., Sr. Notes, 7.750% due 5/15/13 | | | 65,993 |
| 60,000 | | NR | | Seven Seas Petroleum Inc., Sr. Notes, Series B,
12.500% due 5/15/05 (g)(h)# | | | 1,200 |
| | | | | Stone Energy Corp., Sr. Sub. Notes: | | | |
| 80,000 | | B+ | | 8.250% due 12/15/11 | | | 82,400 |
| 600,000 | | B+ | | 6.750% due 12/15/14 | | | 573,000 |
| 800,000 | | Baa3* | | TengizChevroil Finance Co., Notes, 6.124% due 11/15/14 (f) | | | 806,000 |
| 99,337 | | B | | Tiverton Power Associates LP/Rumford Power Associates L.P., Pass-Through Certificates, 9.000% due 7/15/18 (f) | | | 65,066 |
| 110,000 | | BB- | | Westar Energy Inc., Sr. Notes, 7.125% due 8/1/09 (a) | | | 119,827 |
| 80,000 | | NR | | XCL Ltd., Sr. Secured Discount Notes,
13.500% due 5/1/04 (g)(h)# | | | 0 |
| 30,000 | | BBB- | | XTO Energy, Inc., Sr. Notes, 6.250% due 4/15/13 (a) | | | 32,602 |
|
| | | | | | | | 8,173,684 |
|
Entertainment — 0.1% | | | |
| 65,000 | | BB+ | | Capitol Records, Inc., Notes, 8.375% due 8/15/09 (f) | | | 70,525 |
| 20,000GBP | | BB+ | | EMI Group PLC., Notes, 9.750% due 5/20/08 | | | 41,480 |
|
| | | | | | | | 112,005 |
|
Environmental Services — 0.4% | | | |
| 475,000 | | B | | Clean Harbors, Inc., Secured Notes, 11.250% due 7/15/12 (f) | | | 529,625 |
|
Financial Services — 7.8% | | | |
| 1,000,000 | | BB | | Allmerica Financial Corp., Sr. Debentures,
7.625% due 10/15/25 | | | 1,087,336 |
| 20,000 | | BB | | Arch Western Finance LLC, Sr. Notes, 6.750% due 7/1/13 | | | 20,150 |
| 350,000 | | B | | ATF Bank JSC, Bonds, 9.250% due 4/12/12 (f) | | | 346,574 |
| 650,000 | | BB** | | Bombardier Capital Inc., Sr. Notes, Series AI,
7.090% due 3/30/07 | | | 657,312 |
| 500,000 | | B | | Dollar Financial Group, Notes, 9.750% due 11/15/11 | | | 527,500 |
| 625,000 | | B+ | | E*Trade Financial Corp., Sr. Notes, 8.000% due 6/15/11 | | | 643,750 |
| 890,000 | | BBB- | | Ford Motor Credit Co., Notes, 5.700% due 1/15/10 | | | 805,193 |
| 500,000 | | B+ | | Halyk Savings Bank of Kazakhstan, Notes,
8.125% due 10/7/09 (f) | | | 513,750 |
| 760,000 | | BBB- | | Kingsway America, Inc., Sr. Notes, 7.500% due 2/1/14 | | | 795,785 |
| 850,000 | | BB | | Ohio Casualty Corp., Notes, 7.300% due 6/15/14 | | | 918,887 |
| 553,187 | | BBB | | Power Receivables Finance LLC, Sr. Notes,
6.290% due 1/1/12 (f) | | | 574,291 |
| 1,000,000 | | B+ | | Presidential Life Corp., Sr. Notes, 7.875% due 2/15/09 | | | 995,000 |
See Notes to Financial Statements.
33 Travelers Series Fund Inc. | 2005 Semi-Annual Report
| | |
| Schedules of Investments (unaudited) (continued) | | April 30, 2005 |
PIONEER STRATEGIC INCOME PORTFOLIO
| | | | | | | | |
FACE AMOUNT† | | | RATING(e) | | SECURITY | | VALUE |
| | | | | | | | | |
| Financial Services — 7.8% (continued) | | | |
| 500,000 | | | BB+ | | Provident Cos. Inc., Sr. Notes, 7.000% due 7/15/18 | | $ | 504,474 |
| 1,010,000 | | | B | | Refco Finance Holdings, Notes, 9.000% due 8/1/12 (f) | | | 1,095,850 |
| 775,000 | | | A | | SLM Corp., Medium-Term Notes, 4.000% due 7/25/14 | | | 763,654 |
| 600,000 | | | Baa2* | | Turanalem Finance B.V., Notes, 8.500% due 2/10/15 (a)(f) | | | 603,000 |
| 90,000 | | | BB- | | Western Financial Bank, Sub. Debentures,
9.625% due 5/15/12 | | | 98,100 |
|
| | | | | | | | | 10,950,606 |
|
| Food & Beverage — 1.7% | | | |
| 475,000 | | | B-** | | Argentine Beverages Financial Trust, Bonds,
7.375% due 3/22/12 (f) | | | 473,812 |
| 1,000,000 | | | B | | Burns Philp Capital Pty Ltd., Sr. Sub. Notes, Series B,
9.750% due 7/15/12 | | | 1,095,000 |
| 600,000 | | | BBB | | Companhia Brasileira de Bebida, Notes, 8.750% due 9/15/13 | | | 690,000 |
| 120,000 | | | CCC+ | | Doane Pet Care Co., Sr. Sub. Notes, 9.750% due 5/15/07 (a) | | | 118,800 |
| 10,000 | | | CCC | | Eagle Family Foods, Inc., Sr. Sub. Notes, Series B,
8.750% due 1/15/08 | | | 8,450 |
| 190,660 | | | NR | | Vlasic Foods International, Sr. Sub. Notes, Series B,
10.250% due 7/1/09 (g)(h)# | | | 6,902 |
|
| | | | | | | | | 2,392,964 |
|
| Healthcare — 1.0% | | | |
| | | | | | HCA Inc.: | | | |
| | | | | | Debentures: | | | |
| 10,000 | | | BB+ | | 7.190% due 11/15/15 | | | 10,490 |
| 50,000 | | | BB+ | | 8.360% due 4/15/24 | | | 54,725 |
| 50,000 | | | BB+ | | Notes, 7.690% due 6/15/25 | | | 52,181 |
| 135,000 | | | CCC+ | | Inverness Medical Innovations, Inc., Sr. Sub. Notes,
8.750% due 2/15/12 | | | 133,650 |
| 620,000 | | | BB | | Mayne Group Ltd., Sr. Notes, 5.875% due 12/1/11 (f) | | | 604,500 |
| 330,000 | | | NR | | Multicare Cos., Inc., Sr. Sub. Notes,
9.000% due 8/1/07 (g)(h)# | | | 2,310 |
| 580,000 | | | CCC+ | | Warner Chilcott Corp., Sr. Sub. Notes, 8.750% due 2/1/15 (f) | | | 571,300 |
|
| | | | | | | | | 1,429,156 |
|
| Hotel/Casino — 0.8% | | | |
| 750,000 | | | B+ | | Host Marriott, L.P., Sr. Notes, 6.375% due 3/15/15 (f) | | | 717,187 |
| 400,000 | | | B+ | | Turning Stone Casino Resort Enterprise, Sr. Notes,
9.125% due 12/15/10 (f) | | | 412,000 |
|
| | | | | | | | | 1,129,187 |
|
| Industrial Goods & Services — 1.7% | | | |
| 20,000 | EUR | | B | | Flowserve Finance B.V., Sr. Sub. Notes, 12.250% due 8/15/10 | | | 28,162 |
| 400,000 | | | B | | Gardner Denver, Inc., Sr. Sub. Notes, 8.000% due 5/1/13 (f) | | | 404,000 |
See Notes to Financial Statements.
34 Travelers Series Fund Inc. | 2005 Semi-Annual Report
| | |
| Schedules of Investments (unaudited) (continued) | | April 30, 2005 |
PIONEER STRATEGIC INCOME PORTFOLIO
| | | | | | | | |
FACE AMOUNT† | | | RATING(e) | | SECURITY | | VALUE |
| | | | | | | | | |
| Industrial Goods & Services — 1.7% (continued) | | | |
| 1,450,000 | | | BB+ | | Noble Group Ltd., Sr. Notes, 6.625% due 3/17/15 (f) | | $ | 1,295,237 |
| 650,000 | | | B+ | | Sun Sage B.V., Bonds, 8.250% due 3/26/09 (f) | | | 676,000 |
|
| | | | | | | | | 2,403,399 |
|
| Manufacturing — 0.4% | | | |
| 25,000 | | | B- | | Invensys PLC, Sr. Notes, 6.500% due 1/15/10 (f) | | | 21,875 |
| 10,000 | | | BBB- | | Louisiana Pacific Corp., Sr. Notes, 8.875% due 8/15/10 | | | 11,325 |
| 530,000 | | | CCC+ | | Park-Ohio Industries Inc., Sr. Sub. Notes,
8.375% due 11/15/14 (f) | | | 479,650 |
|
| | | | | | | | | 512,850 |
|
| Metals/Mining — 3.7% | | | |
| 380,000 | | | BB- | | CSN Islands VIII Corp., Sr. Notes, 9.750% due 12/16/13 (f) | | | 393,300 |
| 850,000 | | | BB- | | CSN Islands IX Corp., Sr. Notes, 10.000% due 1/15/15 (f) | | | 879,750 |
| | | | | | Compass Minerals International, Inc., Series B: | | | |
| 60,000 | | | B- | | Sr. Discount Notes, step bond to yield
12.491% due 12/15/12 | | | 51,900 |
| 90,000 | | | B- | | Sr. Sub. Discount Notes, step bond to yield
11.994% due 6/1/13 | | | 75,600 |
| 8,491 | | | NR | | Doe Run Resources Corp., Notes, Series AI,
11.750% due 11/1/08 (i) | | | 7,854 |
| 430,000 | | | B+ | | Freeport-McMoRan Copper & Gold Inc., Sr. Notes,
6.875% due 2/1/14 | | | 406,350 |
| 250,000 | | | BBB+ | | Ispat Inland ULC, Secured Notes, 9.310% due 4/1/10 (d) | | | 267,500 |
| 500,000 | | | BBB | | Kennametal Inc., Sr. Notes, 7.200% due 6/15/12 | | | 556,971 |
| 400,000 | | | B | | Novelis Inc., Sr. Notes, 7.250% due 2/15/15 (f) | | | 389,000 |
| 155,000 | | | BB | | Steel Dynamics, Inc., Sr. Notes, 9.500% due 3/15/09 | | | 166,625 |
| 1,100,000 | | | Ba1* | | Vale Overseas Ltd., Notes, 8.250% due 1/17/34 | | | 1,152,250 |
| 840,000 | | | BB+ | | Vedanta Resources PLC, Sr. Notes, 6.625% due 2/22/10 (f) | | | 797,252 |
| | | | | | Wheeling-Pittsburgh Corp., Sr. Notes: | | | |
| 4,308 | | | NR | | 6.000% due 8/1/10 | | | 3,554 |
| 8,360 | | | NR | | 5.000% due 8/1/11 | | | 6,897 |
|
| | | | | | | | | 5,154,803 |
|
| Packaging/Containers — 0.9% | | | |
| | | | | | Crown Euro Holdings, S.A., Secured 2nd Lien Notes: | | | |
| 200,000 | | | B+ | | 9.500% due 3/1/11 | | | 217,000 |
| 300,000 | EUR | | B+ | | 10.250% due 3/1/11 | | | 435,030 |
| 30,000 | | | B | | 10.875% due 3/1/13 | | | 34,425 |
| 530,000 | | | CCC+ | | Graham Packaging Co., Sub. Notes, 9.875% due 10/15/14 (f) | | | 508,800 |
|
| | | | | | | | | 1,195,255 |
|
See Notes to Financial Statements.
35 Travelers Series Fund Inc. | 2005 Semi-Annual Report
| | |
| Schedules of Investments (unaudited) (continued) | | April 30, 2005 |
PIONEER STRATEGIC INCOME PORTFOLIO
| | | | | | | | |
FACE AMOUNT† | | | RATING(e) | | SECURITY | | VALUE |
| | | | | | | | | |
| Paper/Forestry Products — 1.4% | | | |
| 1,000 | | | BB- | | Abitibi Consolidated Inc., Notes, 7.875% due 8/1/09 | | $ | 968 |
| 950,000 | | | BB | | Bowater Inc., Sr. Notes, 6.500% due 6/15/13 (a) | | | 866,875 |
| 615,000 | | | B | | Mercer International Inc., Sr. Notes, 9.250% due 2/15/13 | | | 568,875 |
| 500,000 | | | BB- | | Sino-Forest Corp., Sr. Notes, 9.125% due 8/17/11 (f) | | | 527,500 |
| 20,000 | | | B | | Tembec Industries Inc., Sr. Notes, 7.750% due 3/15/12 | | | 15,200 |
|
| | | | | | | | | 1,979,418 |
|
| Real Estate — 0.9% | | | |
| 470,000 | | | B+ | | B.F. Saul REIT, Sr. Secured Notes, 7.500% due 3/1/14 | | | 488,800 |
| 150,000 | | | B | | Crescent Real Estate Equities, LP, Sr. Notes,
9.250% due 4/15/09 | | | 158,275 |
| 500,000 | | | BBB- | | Hospitality Properties Trust, Notes, 6.750% due 2/15/13 (a) | | | 545,449 |
|
| | | | | | | | | 1,192,524 |
|
| Retail — 1.0% | | | |
| 477,000 | | | BB- | | Brown Shoe Co., Inc., Sr. Notes, 8.750% due 5/1/12 (f) | | | 485,348 |
| | | | | | Duane Reade Inc.: | | | |
| 325,000 | | | B- | | Secured Notes, 7.510% due 12/15/10 (d)(f) | | | 328,250 |
| 440,000 | | | CCC | | Sr. Sub. Notes, 9.750% due 8/1/11 (a) | | | 380,600 |
| 350,000 | | | BB | | Toys “R” Us, Inc., Notes, 7.375% due 10/15/18 (a) | | | 278,250 |
|
| | | | | | | | | 1,472,448 |
|
| Technology — 0.7% | | | |
| 440,000 | | | NR | | Cybernet Internet Services International, Inc., Convertible Sr. Discount Notes, 13.000% due 8/15/09 (f)(g)(h)# | | | 0 |
| 21,444 | | | NR | | Globix Corp., Sr. Notes, 11.000% due 5/1/08 (i) | | | 20,693 |
| 615,000 | | | BB | | Hanaro Telecom Inc., Sr. Notes, 7.000% due 2/1/12 (f) | | | 590,314 |
| 225,000 | EUR | | B- | | Riverdeep Group Ltd., Sr. Notes, 9.250% due 4/15/11 (f) | | | 313,919 |
| 138,403 | | | NR | | Verado Holdings, Inc., Sr. Discount Notes,
13.000% due 4/15/08 (g)(h)# | | | 0 |
|
| | | | | | | | | 924,926 |
|
| Telecommunications — 3.9% | | | |
| | | | | | Alamosa Delaware, Inc., Sr. Notes: | | | |
| 90,000 | | | CCC+ | | 11.000% due 7/31/10 (a) | | | 100,913 |
| 200,000 | | | CCC+ | | 8.500% due 1/31/12 | | | 208,000 |
| 93,000 | | | BB+ | | Anixter Inc., Notes, 5.950% due 3/1/15 | | | 90,945 |
| 181,592 | | | NR | | COLO.COM Inc., Sr. Notes, 13.875% due 3/15/10 (f)(g)(h)# | | | 0 |
| 15,000 | EUR | | B- | | Colt Telecom Group PLC, Sr. Notes, 7.625% due 12/15/09 | | | 19,378 |
| 700,000 | | | BBB- | | Corning Inc., Notes, 5.900% due 3/15/14 (a) | | | 710,510 |
| 500,000 | | | B+ | | GCI, Inc., Sr. Notes, 7.250% due 2/15/14 | | | 478,750 |
| 295,000 | | | B+ | | Innova S. de R.L., Notes, 9.375% due 9/19/13 (a) | | | 324,131 |
| 15,000 | | | B+ | | Insight Midwest LP/Insight Capital Inc., Sr. Notes,
9.750% due 10/1/09 (a) | | | 15,712 |
See Notes to Financial Statements.
36 Travelers Series Fund Inc. | 2005 Semi-Annual Report
| | |
| Schedules of Investments (unaudited) (continued) | | April 30, 2005 |
PIONEER STRATEGIC INCOME PORTFOLIO
| | | | | | | | |
FACE AMOUNT† | | | RATING(e) | | SECURITY | | VALUE |
| | | | | | | | | |
| Telecommunications — 3.9% (continued) | | | |
| 400,000 | | | BB+ | | L3 Communications Corp., Sr. Sub. Notes,
6.125% due 1/15/14 | | $ | 395,000 |
| | | | | | MCI, Inc., Sr. Notes: | | | |
| 19,000 | | | B+ | | 6.908% due 5/1/07 | | | 19,332 |
| 19,000 | | | B+ | | 7.688% due 5/1/09 | | | 19,665 |
| 16,000 | | | B+ | | 8.735% due 5/1/14 | | | 17,360 |
| 575,000 | | | CCC | | MetroPCS Inc., Sr. Notes, 10.750% due 10/1/11 (a) | | | 672,750 |
| 360,000 | | | BB- | | Mobile TeleSystems, Notes, 8.375% due 10/14/10 (f) | | | 370,800 |
| 10,000 | | | B+ | | Rogers Communications Inc., Convertible Sr. Debentures,
2.000% due 11/26/05 | | | 9,875 |
| 700,000 | CAD | | BB | | Rogers Wireless Inc., Secured Notes, 7.625% due 12/15/11 | | | 576,441 |
| 450,000 | | | Baa3* | | Tele Norte Celular Participacoes S.A., Sr. Notes,
8.000% due 12/18/13 (a) | | | 452,250 |
| 21,000 | | | A | | TeleCorp PCS, Inc., Sr. Sub. Notes, 10.625% due 7/15/10 | | | 22,375 |
| 23,223 | | | NR | | Telex Communications Intermediate Holdings, Inc.,
Sr. Sub. Notes, zero coupon due 1/15/09 (d)(g) | | | 15,211 |
| 800,000 | | | CCC | | UbiquiTel Operating Co., Sr. Notes, 9.875% due 3/1/11 | | | 870,000 |
| 250,000 | | | B | | Zeus Special Subsidiary Ltd./Intelsat Ltd., Sr. Discount Notes,
zero coupon to yield 12.995% due 2/1/15 (f) | | | 152,500 |
|
| | | | | | | | | 5,541,898 |
|
| Textiles/Apparel — 0.6% | | | |
| 735,000 | | | B+ | | INVISTA, Notes, 9.125% due 5/1/12 (f) | | | 787,369 |
|
| Transportation — 1.5% | | | |
| 525,000 | | | CCC+ | | Atlantic Express Transportation Corp., Sr. Secured Notes,
12.250% due 4/15/08 (f)(j) | | | 502,688 |
| 330,000 | | | B+ | | Grupo Transportación Ferroviara Mexicana, S.A. de C.V., Sr. Notes, 9.375% due 5/1/12 (f) | | | 333,300 |
| 1,000,000 | | | BB- | | Stena AB, Sr. Notes, 7.000% due 12/1/16 | | | 905,000 |
| 400,000 | | | B- | | Trailer Bridge Inc., Secured Notes, 9.250% due 11/15/11 (f) | | | 402,000 |
|
| | | | | | | | | 2,142,988 |
|
| Utilities — 1.1% | | | |
| 7,000 | | | B- | | The AES Corp. Sr. Notes, 8.750% due 6/15/08 (a) | | | 7,420 |
| 30,000 | | | CCC+ | | Mission Energy Holding Co., Sr. Secured Notes,
13.500% due 7/15/08 | | | 35,325 |
| 600,000 | | | BB- | | MSW Energy Holdings II LLC/MSW Energy Finance Co. II, Inc., Sr. Secured Notes, Series B, 7.375% due 9/1/10 | | | 600,000 |
| 20 | | | BBB | | Northeast Utilities, Notes, Series A, 8.580% due 12/1/06 | | | 20 |
| 800,000 | | | B+ | | Reliant Energy Inc., Sr. Secured Notes, 6.750% due 12/15/14 | | | 712,000 |
| 5,000 | | | BB | | Sierra Pacific Power Co., General and Refunding Mortgage Bonds, Series A, 8.000% due 6/1/08 | | | 5,300 |
| 20,000 | | | BBB | | Southern California Edison Co., Notes, 6.375% due 1/15/06 | | | 20,353 |
See Notes to Financial Statements.
37 Travelers Series Fund Inc. | 2005 Semi-Annual Report
| | |
| Schedules of Investments (unaudited) (continued) | | April 30, 2005 |
PIONEER STRATEGIC INCOME PORTFOLIO
| | | | | | | |
FACE AMOUNT† | | RATING(e) | | SECURITY | | VALUE |
| | | | | | | | |
Utilities — 1.1% (continued) | | | |
| | | | | The Williams Cos. Inc., Notes: | | | |
| 50,000 | | B+ | | 6.500% due 12/1/08 | | $ | 49,464 |
| 40,000 | | B+ | | Series A, 6.750% due 1/15/06 (d) | | | 40,500 |
| 51,032 | | D | | York Power Funding, Secured Bonds,
12.000% due 10/30/07 (g)(h)# | | | 0 |
|
| | | | | | | | 1,470,382 |
|
| | | | | TOTAL CORPORATE BONDS AND NOTES
(Cost — $70,077,663) | | | 69,816,562 |
|
| LOAN PARTICIPATIONS (k) — 0.5% | | | |
| 332,000 | | BBB- | | Empresa Electrica Guacolda S.A., Sr. Notes,
8.625% due 4/30/13 (CS First Boston) (f) | | | 368,311 |
| 200,000 | | BB- | | Gaz Capital S.A., Notes, 8.625% due 4/28/34 (CS First Boston /Deutsche Bank) (f) | | | 230,000 |
| 36,164 | | B2* | | Olympus Cable Holdings LLC, Term Loans, Tranche B,
6.284% due 9/30/10 (First Union Securities, Inc. / The Bank of Nova Scotia) (d)(f) | | | 36,096 |
|
| | | | | TOTAL LOAN PARTICIPATIONS
(Cost — $586,802) | | | 634,407 |
|
| | | |
| SHARES | | | | | | |
| COMMON STOCK — 0.3% | | | |
Airlines — 0.0% | | | |
| 25 | | | | U.S. Airways Group, Inc., Class A Shares (l) | | | 18 |
| 340,222 | | | | U.S. Airways Group, Inc. Liquidating Trust, Certificates of Beneficial Interest | | | 6,804 |
|
| | | | | | | | 6,822 |
|
Business Services — 0.0% | | | |
| 246 | | | | Outsourcing Solutions Inc. (g)(l) | | | 862 |
|
Cable — 0.0% | | | |
| 49 | | | | KNOLOGY, Inc. (l)# | | | 82 |
|
Chemicals — 0.0% | | | |
| 35 | | | | Sterling Chemicals, Inc. (l) | | | 1,068 |
|
Consumer Products and Services — 0.0% | | | |
| 20,000 | | | | Loewen Group, Inc. (g)(l)# | | | 2 |
|
Energy — 0.0% | | | |
| 79 | | | | New XCL-China, LLC, Class C Units (g)(l) | | | 11,123 |
|
See Notes to Financial Statements.
38 Travelers Series Fund Inc. | 2005 Semi-Annual Report
| | |
| Schedules of Investments (unaudited) (continued) | | April 30, 2005 |
PIONEER STRATEGIC INCOME PORTFOLIO
| | | | | | | |
| SHARES | | | | SECURITY | | VALUE |
| | | | | | | | |
Financial Services — 0.1% | | | |
| 150,000 | | | | Amresco Inc., Liquidating Trust Shares (g)(l) | | $ | 595 |
| 5,666 | | | | Conseco, Inc. (a)(l) | | | 109,014 |
| 845,262 | | | | Contifinancial Corp. Liquidating Trust, Units of Interest (l)# | | | 1,057 |
|
| | | | | | | | 110,666 |
|
Food & Beverage — 0.0% | | | |
| 308 | | | | Archibald Candy Corp. (g)(l)# | | | 878 |
| 2,833 | | | | Aurora Foods Inc. (g)(l)# | | | 0 |
| 22 | | | | PSF Group Holdings Inc. LLC, Class A Shares (g)(l) | | | 38,553 |
|
| | | | | | | | 39,431 |
|
Industrial Goods & Services — 0.0% | | | |
| 33 | | | | AGY Holdings Corp. (g)(l) | | | 3,465 |
| 136 | | | | Polymer Group Inc., Class A Shares (a)(l) | | | 3,026 |
|
| | | | | | | | 6,491 |
|
Technology — 0.0% | | | |
| 83 | | | | Comdisco Holding Co., Inc. (l) | | | 1,349 |
|
Telecommunications — 0.2% | | | |
| 35 | | | | Cincinnati Bell Inc. (l) | | | 140 |
| 10 | | | | Covad Communications Group Inc. (a)(l) | | | 11 |
| 15,125 | | | | Dobson Communications Corp, Class A Shares (l) | | | 30,250 |
| 176 | | | | Ionex Communications, Inc. (g)(l) | | | 0 |
| 5,414 | | | | iPCS, Inc. (l) | | | 191,926 |
| 2,281 | | | | IWO Holdings, Inc. (g)(l) | | | 82,116 |
| 13 | | | | Leucadia National Corp. | | | 452 |
| 1 | | | | MCI, Inc. (a) | | | 27 |
| 4 | | | | USA Mobility, Inc. (l) | | | 120 |
|
| | | | | | | | 305,042 |
|
Utilities — 0.0% | | | |
| 337 | | | | York Research Corp. (g)(l)# | | | — |
|
| | | | | TOTAL COMMON STOCK
(Cost — $719,279) | | | 482,938 |
|
| PREFERRED STOCK — 0.2% | | | |
Airlines — 0.0% | | | |
| 15 | | | | US Airways Group, Inc., Class A (g)(l)# | | | 0 |
|
Broadcasting — 0.0% | | | |
| 1 | | | | PTV, Inc., 10.000% Cumulative, Series A (g) | | | 4 |
|
Food & Beverage — 0.2% | | | |
| 3,000 | | | | Doane Pet Care Co., 14.250% Sr. Exchangeable | | | 225,750 |
|
Metals/Mining — 0.0% | | | |
| 7,000 | | | | The LTV Corp., 8.250% Cumulative Convertible, Series A (f)(g)(h)# | | | 0 |
| 180 | | | | Weirton Steel Corp., zero coupon Convertible, Series C (g)(l)# | | | 0 |
|
| | | | | | | | 0 |
|
See Notes to Financial Statements.
39 Travelers Series Fund Inc. | 2005 Semi-Annual Report
| | |
| Schedules of Investments (unaudited) (continued) | | April 30, 2005 |
PIONEER STRATEGIC INCOME PORTFOLIO
| | | | | | | |
| SHARES | | | | SECURITY | | VALUE |
| | | | | | | | |
Telecommunications — 0.0% | | | |
| 235 | | | | Dobson Communications Corp., 6.000% Convertible, Series F (f)# | | $ | 18,154 |
| 1,417 | | | | Telex Communications, Inc., Variable Rate Convertible, Series B (d)# | | | 14 |
|
| | | | | | | | 18,168 |
|
| | | | | TOTAL PREFERRED STOCK
(Cost — $522,485) | | | 243,922 |
|
| | |
| WARRANTS | | | | |
| WARRANTS (l) — 0.0% | | | |
Airlines — 0.0% | | | |
| 15 | | | | US Airways Group, Inc., Class A1, Expire 4/1/10 (g)# | | | 0 |
|
Broadcasting — 0.0% | | | |
| 100 | | | | XM Satellite Radio Holdings Inc., Expire 3/15/10 (f) | | | 6,100 |
|
Building/Construction — 0.0% | | | |
| 210 | | | | Dayton Superior Corp., Expire 6/15/09 (f)(g)# | | | 0 |
|
Business Services — 0.0% | | | |
| 42 | | | | JSG Funding plc, Expire 10/1/13 (f)(g) | | | 1,470 |
|
Chemicals — 0.0% | | | |
| 18 | | | | Solutia Inc., Expire 7/15/09 (g)# | | | — |
|
Food & Beverage — 0.0% | | | |
| 750 | | | | TravelCenters of America, Inc., Expire 5/1/09 (g)# | | | 4,125 |
|
Healthcare — 0.0% | | | |
| 110 | | | | Mediq, Inc., Expire 6/1/09 (f)(g)# | | | 0 |
|
Hotel/Casino — 0.0% | | | |
| 70 | | | | Mikohn Gaming Corp., Expire 8/15/08 (g)# | | | 1 |
|
Packaging/Containers — 0.0% | | | |
| 90 | | | | Pliant Corp., Expire 6/1/10 (f)(g)# | | | 1 |
|
Industrial Goods & Services — 0.0% | | | |
| 27 | | | | AGY Holding Corp., Non-Expiring (g)# | | | — |
|
Telecommunications — 0.0% | | | |
| 140 | | | | American Tower Corp., Expire 8/1/08 (f) | | | 34,090 |
| 220 | | | | COLO.COM, Inc., Expire 3/15/10 (f)(g)# | | | 0 |
| 495 | | | | ICG Communications Inc., Expire 10/15/05 (f)(g)# | | | 0 |
| 250 | | | | KMC Telecom Holdings, Inc., Expire 4/15/08 (f)(g)# | | | 0 |
| 215 | | | | KNOLOGY Holdings, Inc., Expire 10/22/07 (f)(g)# | | | 0 |
| 170 | | | | Startec Global Communications Corp., Expire 5/15/08 (f)(g)# | | | 0 |
| 310 | | | | UbiquiTel Inc., Expire 4/15/10 (f)(g)# | | | 3 |
|
| | | | | | | | 34,093 |
|
| | | | | TOTAL WARRANTS
(Cost — $77,982) | | | 45,790 |
|
| | | | | TOTAL HIGH-YIELD SECTOR
(Cost — $71,984,211) | | | 71,223,619 |
|
See Notes to Financial Statements.
40 Travelers Series Fund Inc. | 2005 Semi-Annual Report
| | |
| Schedules of Investments (unaudited) (continued) | | April 30, 2005 |
PIONEER STRATEGIC INCOME PORTFOLIO
| | | | | | | | |
FACE AMOUNT‡ | | | RATING(e) | | SECURITY | | VALUE |
| | | | | | | | | |
| FOREIGN BONDS — 12.7% | | | |
| Brazil — 0.7% | | | |
| | | | | | Federal Republic of Brazil: | | | |
| 284,051 | EUR | | BB- | | Banco Nacional de Desenvolvimento Economico e Social, Notes, 8.000% due 4/28/10 | | $ | 386,081 |
| 152,354 | USD | | BB- | | Debt Conversion Bonds, 3.125% due 4/15/12 (d) | | | 142,784 |
| | | | | | Global Bonds: | | | |
| 290,000 | USD | | BB- | | 10.125% due 5/15/27 | | | 313,708 |
| 66,000 | USD | | BB- | | Series B, 8.875% due 4/15/24 | | | 64,515 |
| | | | | | Global Notes: | | | |
| 100,000 | USD | | BB- | | 10.000% due 1/16/07 | | | 107,625 |
| 30,000 | USD | | BB- | | 10.000% due 8/7/11 | | | 33,375 |
|
| | | | | | | | | 1,048,088 |
|
| Canada — 2.8% | | | |
| | | | | | Government of Canada, Bonds: | | | |
| 282,000 | | | Aaa* | | 4.250% due 9/1/09 | | | 230,675 |
| 330,000 | | | AAA | | 5.500% due 6/1/10 | | | 284,393 |
| 1,230,000 | | | AAA | | 5.250% due 6/1/12 | | | 1,055,294 |
| 3,000,000 | AUD | | AA | | Province of Ontario, Medium-Term Notes, Series E,
5.500% due 4/23/13 (b) | | | 2,308,895 |
|
| | | | | | | | | 3,879,257 |
|
| Colombia — 1.0% | | | |
| | | | | | Republic of Colombia: | | | |
| �� | | | | | Global Bonds: | | | |
| 50,000 | USD | | BB | | 9.750% due 4/23/09 | | | 55,300 |
| 648,441 | USD | | BB+ | | 9.750% due 4/9/11 | | | 722,850 |
| 135,000 | USD | | BB | | 10.375% due 1/28/33 (a) | | | 146,138 |
| 485,000 | USD | | BB | | Global Notes, 10.750% due 1/15/13 | | | 551,930 |
|
| | | | | | | | | 1,476,218 |
|
| France — 1.1% | | | |
| 1,099,620 | EUR | | AAA | | French Republic, Bonds, Series OATi, 3.000% due 7/25/09 | | | 1,562,309 |
|
| Mexico — 1.1% | | | |
| | | | | | United Mexican States: | | | |
| | | | | | Global Notes: | | | |
| 230,000 | USD | | BBB | | 4.625% due 10/8/08 | | | 229,425 |
| 144,000 | USD | | BBB | | 7.500% due 1/14/12 (a) | | | 160,128 |
| 200,000 | USD | | BBB | | Medium-Term Notes, 8.300% due 8/15/31 | | | 235,250 |
| | | | | | Pemex Project Funding Master Trust: | | | |
| | | | | | Bonds: | | | |
| 90,000 | USD | | BBB | | 8.625% due 2/1/22 | | | 104,400 |
| 500,000 | USD | | BBB | | 8.625% due 12/1/23 (f) | | | 581,000 |
| 200,000 | USD | | BBB | | Notes, 7.375% due 12/15/14 | | | 217,800 |
|
| | | | | | | | | 1,528,003 |
|
See Notes to Financial Statements.
41 Travelers Series Fund Inc. | 2005 Semi-Annual Report
| | |
| Schedules of Investments (unaudited) (continued) | | April 30, 2005 |
PIONEER STRATEGIC INCOME PORTFOLIO
| | | | | | | |
FACE AMOUNT† | | RATING(e) | | SECURITY | | VALUE |
| | | | | | | | |
The Netherlands — 0.1% | | | |
| 130,000EUR | | AAA | | Kingdom of the Netherlands, Bonds, 5.000% due 7/15/12 | | $ | 187,623 |
|
Norway — 1.8% | | | |
| | | | | Government of Norway, Bonds: | | | |
| 8,045,000 | | AAA | | 6.750% due 1/15/07 (b) | | | 1,370,717 |
| 2,200,000 | | AAA | | 5.500% due 5/15/09 | | | 381,196 |
| 4,220,000 | | AAA | | 6.000% due 5/16/11 | | | 764,804 |
|
| | | | | | | | 2,516,717 |
|
Panama — 0.4% | | | |
| 550,000USD | | BB | | Republic of Panama, Global Notes, 7.250% due 3/15/15 (a) | | | 572,000 |
|
Peru — 0.6% | | | |
| | | | | Republic of Peru: | | | |
| | | | | FLIRB Bonds: | | | |
| 490,050USD | | BB | | 5.000% due 3/7/17 (d) | | | 459,422 |
| 113,850USD | | BB | | 5.000% due 3/17/17 (d)(f) | | | 106,734 |
| 225,250USD | | BB | | PDI Bonds, 5.000% due 3/7/17 (d) | | | 215,114 |
|
| | | | | | | | 781,270 |
|
Russia — 1.0% | | | |
| | | | | Russian Federation: | | | |
| 1,197,500USD | | BBB- | | Bonds, 5.000% due 3/31/30 (a)(f) | | | 1,275,337 |
| 60,000USD | | BBB- | | Euro-Dollar Bonds, 8.250% due 3/31/10 (f) | | | 65,850 |
|
| | | | | | | | 1,341,187 |
|
Sweden — 2.1% | | | |
| | | | | Kingdom of Sweden, Bonds: | | | |
| 5,645,000 | | AAA | | Series 1045, 5.250% due 3/15/11 | | | 890,190 |
| 12,740,000 | | AAA | | Series 1046, 5.500% due 10/8/12 (b) | | | 2,067,313 |
|
| | | | | | | | 2,957,503 |
|
Ukraine — 0.0% | | | |
| 35,468USD | | B+ | | Government of Ukraine, Sr. Notes, 11.000% due 3/15/07 | | | 38,040 |
|
| | | | | TOTAL FOREIGN BONDS
(Cost—$15,062,448) | | | 17,888,215 |
|
| | | |
| RIGHTS | | | | | | |
| FOREIGN RIGHTS (l) — 0.0% | | | |
Mexico — 0.0% | | | |
| | | | | United Mexican States, Value Recovery Rights: | | | |
| 250,000 | | | | Series C, Expire 6/30/05 | | | 1,700 |
| 250,000 | | | | Series D, Expire 6/30/06 | | | 6,188 |
| 250,000 | | | | Series E, Expire 6/30/07 | | | 5,813 |
|
| | | | | TOTAL FOREIGN RIGHTS
(Cost—$0) | | | 13,701 |
|
See Notes to Financial Statements.
42 Travelers Series Fund Inc. | 2005 Semi-Annual Report
| | |
| Schedules of Investments (unaudited) (continued) | | April 30, 2005 |
PIONEER STRATEGIC INCOME PORTFOLIO
| | | | | | |
| WARRANTS | | SECURITY | | VALUE | |
| | | | | | | |
| FOREIGN WARRANTS (l) — 0.0% | | | | |
Venezuela — 0.0% | | | | |
| 1,700 | | Republic of Venezuela, Expire 4/15/20 (Cost—$0) | | $ | 35,700 | |
|
|
| | |
FACE AMOUNT | | | | | |
| SHORT-TERM INVESTMENTS — 10.6% | | | | |
| REPURCHASE AGREEMENT — 2.9% | | | | |
| 4,060,000 | | State Street Bank & Trust Co., dated 4/29/05, 2.600% due 5/2/05; Proceeds at maturity — $4,060,880; (Fully collateralized by U.S. Treasury Bonds, 7.250% due 8/15/22; Market value — $4,144,967) (Cost — $4,060,000) | | | 4,060,000 | |
|
|
| | |
| SHARES | | | | | |
| SECURITIES PURCHASED FROM SECURITIES LENDING COLLATERAL — 7.7% | |
| 10,901,405 | | State Street Navigator Securities Lending Trust Prime Portfolio (Cost — $10,901,405) | | | 10,901,405 | |
|
|
| | | TOTAL SHORT-TERM INVESTMENTS (Cost — $14,961,405) | | | 14,961,405 | |
|
|
| | | TOTAL INVESTMENTS — 105.3% (Cost — $145,984,956***) | | | 148,042,074 | |
| | | Liabilities in Excess of Other Assets — (5.3)% | | | (7,508,183 | ) |
|
|
| | | TOTAL NET ASSETS — 100.0% | | $ | 140,533,891 | |
|
|
| † | | Face amount denominated in U.S. dollars unless otherwise indicated. |
| ‡ | | Face amount denominated in local currency unless otherwise indicated. |
| (a) | | All or a portion of this security is on loan (Notes 1 and 3). |
| (b) | | All or a portion of this security is segregated for extended settlements and open forward foreign currency contracts. |
| (c) | | Security is traded on a to-be-announced basis. |
| (d) | | Variable rate security. Rate shown is the rate in effect on April 30, 2005. |
| (e) | | All ratings are by Standard & Poor’s Ratings Service, except those identified by an asterisk (*) which are rated by Moody’s Investors Service and by a double asterisk (**) which are rated by Fitch Ratings. |
| (f) | | Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines established by the Board of Directors. |
| (g) | | Security is valued in good faith at fair value by or under the direction of the Board of Directors. |
| (h) | | Security is currently in default. |
| (i) | | Payment-in-kind security for which part of the income earned may be paid as additional principal. |
| (j) | | Security issued with attached warrants. |
| # | | This security has been deemed illiquid. |
See Notes to Financial Statements.
43 Travelers Series Fund Inc. | 2005 Semi-Annual Report
| | |
| Schedules of Investments (unaudited) (continued) | | April 30, 2005 |
| (k) | | Participation interests were acquired through the financial institutions indicated parenthetically. |
| (l) | | Non-income producing security. |
| *** | | Aggregate cost for federal income tax purposes is substantially the same. |
| | | | |
See pages 45 and 46 for definitions of ratings. |
| | | | |
Abbreviations used in this schedule:
|
| | | | |
| AUD | | — | | Australian Dollar |
| CAD | | — | | Canadian Dollar |
| EUR | | — | | Euro |
| FLIRB | | — | | Front Loaded Interest Reduction Bond |
| GBP | | — | | British Pound |
| NOK | | — | | Norwegian Krone |
| PDI | | — | | Past Due Interest |
| USD | | — | | United States Dollar |
See Notes to Financial Statements.
44 Travelers Series Fund Inc. | 2005 Semi-Annual Report
Bond Ratings (unaudited)
The definitions of the applicable rating symbols are set forth below:
Standard & Poor’s Ratings Service (“Standard & Poor’s”) — Ratings from “AA” to “CCC” may be modified by the addition of a plus (+) or minus (-) sign to show relative standings within the major rating categories.
| | |
AAA | | — Bonds rated “AAA” have the highest rating assigned by Standard & Poor’s. Capacity to pay interest and repay principal is extremely strong. |
AA | | — Bonds rated “AA” have a very strong capacity to pay interest and repay principal and differs from the highest rated issue only in a small degree. |
A | | — Bonds rated “A” have a strong capacity to pay interest and repay principal although it is somewhat more susceptible to the adverse effects of changes in circumstances and economic conditions than bonds in higher rated categories. |
BBB | | — Bonds rated “BBB” are regarded as having an adequate capacity to pay interest and repay principal. Whereas they normally exhibit adequate protection parameters, adverse economic conditions or changing circumstances are more likely to lead to a weakened capacity to pay interest and repay principal for bonds in this category than in higher rated categories. |
BB, B, CCC, CC and C | | — Bonds rated “BB”, “B”, “CCC”, “CC”, and “C” are regarded, on balance, as predominantly speculative with respect to capacity to pay interest and repay principal in accordance with the terms of the obligation. “BB” represents the lowest degree of speculation and “C” the highest degree of speculation. While such bonds will likely have some quality and protective characteristics, these are outweighed by large uncertainties or major risk exposures to adverse conditions. |
D | | — Bonds rated “D” are in default, and payment of interest and/or repayment of principal is in arrears. |
Moody’s Investors Service (“Moody’s”) — Numerical modifiers 1, 2 and 3 may be applied to each generic rating from “Aa” to “Caa”, where 1 is the highest and 3 the lowest rating within its generic category.
| | |
Aaa | | — Bonds rated “Aaa” are judged to be of the best quality. They carry the smallest degree of investment risk and are generally referred to as “gilt edge.” Interest payments are protected by a large or by an exceptionally stable margin and principal is secure. While the various protective elements are likely to change, such changes as can be visualized are most unlikely to impair the fundamentally strong position of such issues. |
Aa | | — Bonds rated “Aa” are judged to be of high quality by all standards. Together with the “Aaa” group they comprise what are generally known as high grade bonds. They are rated lower than the best bonds because margins of protection may not be as large as in “Aaa” securities or fluctuation of protective elements may be of greater amplitude or there may be other elements present which make the long-term risks appear somewhat larger than in “Aaa” securities. |
A | | — Bonds rated “A” possess many favorable investment attributes and are to be considered as upper medium grade which suggest a susceptibility to impairment some time in the future. |
Baa | | — Bonds rated “Baa” are considered as medium grade obligations, i.e., they are neither highly protected nor poorly secured. Interest payments and principal security appear adequate for the present but certain protective elements may be lacking or may be characteristically unreliable over any great length of time. Such bonds lack outstanding investment characteristics and in fact have speculative characteristics as well. |
Ba | | — Bonds rated “Ba” are judged to have speculative elements; their future cannot be considered as well-assured. Often the protection of interest and principal payments may be very moderate and thereby not well safeguarded during both good and bad times over the future. Uncertainty of position characterizes bonds in this class. |
B | | — Bonds rated “B” generally lack characteristics of desirable investments. Assurance of interest and principal payments or of maintenance of other terms of the contract over any long period of time may be small. |
45 Travelers Series Fund Inc. | 2005 Semi-Annual Report
Bond Ratings (unaudited) (continued)
| | |
Caa | | — Bonds rated “Caa” are of poor standing. These issues may be in default, or present elements of danger may exist with respect to principal or interest. |
Ca and C | | — Bonds rated “Ca” and “C” represent obligations which are speculative in a high degree. Such issues are often in default or have other marked shortcomings. |
Fitch Ratings (“Fitch”) — Ratings from “AAA” to “CCC” may be modified by the addition of a plus (+) or minus (-) sign to show relative standings with the major rating categories.
| | |
AAA | | — Bonds rated “AAA” by Fitch have the lowest expectation of credit risk. The obligor has an exceptionally strong capacity for timely payment of financial commitments which is highly unlikely to be adversely affected by foreseeable events. |
BBB | | — Bonds rated “BBB” by Fitch currently have a low expectation of credit risk. The capacity for timely payment of financial commitments is considered to be adequate. Adverse changes in economic conditions and circumstances, however, are more likely to impair this capacity. This is the lowest investment grade category assigned by Fitch. |
BB | | — Bonds rated “BB” by Fitch carry the possibility of credit risk developing, particularly as the result of adverse economic change over time. Business or financial alternatives may, however, be available to allow financial commitments to be met. Securities rated in this category are not considered by Fitch to be investment grade. |
B | | — Bonds rated “B” are considered highly speculative. While securities in this class are currently meeting debt service requirements or paying dividends, the probability of continued timely payment of principal and interest reflects the obligor’s limited margin of safety and the need for reasonable business and economic activity throughout the life of the issue. |
CCC | | — Bonds rated “CCC” have certain identifiable characteristics that, if not remedied, may lead to default. The ability to meet obligations requires on advantageous business and economic environment. |
CC | | — Bonds rated “CC” are minimally protected. Default in payment of interest and/or principal seems probable over time. |
C | | — Bonds rated “C” are in imminent default in payment of interest or principal or suspension of preferred stock dividends is imminent. |
D | | — Bonds rated “D” are in default on interest and/or principal payments or preferred stock dividends are suspended. Such securities are extremely speculative and should be valued on the basis of their ultimate recovery value in liquidation or reorganization of the obligor and have the lowest potential for recover. |
| |
NR | | — Indicates that the bond is not rated by Standard & Poor’s, Moody’s or Fitch. |
46 Travelers Series Fund Inc. | 2005 Semi-Annual Report
| | |
| Statements of Assets and Liabilities (unaudited) | | April 30, 2005 |
| | | | | | | | |
| | | Smith Barney
High Income
Portfolio | | | Pioneer
Strategic
Income
Portfolio | |
| ASSETS: | | | | | | | | |
Investments, at value (Cost — $269,765,396 and
$145,984,956, respectively) | | $ | 272,123,031 | | | $ | 148,042,074 | |
Foreign currency, at value (Cost — $3,032,900) | | | — | | | | 3,053,163 | |
Cash | | | 414 | | | | 917 | |
Receivable for securities sold | | | 784,578 | | | | 2,127,719 | |
Dividends and interest receivable | | | 6,203,591 | | | | 2,042,022 | |
Receivable for Fund shares sold | | | — | | | | 130,882 | |
Receivable for open forward foreign currency contracts (Note 3) | | | — | | | | 14,044 | |
Prepaid expenses | | | 32,603 | | | | 159 | |
|
|
Total Assets | | | 279,144,217 | | | | 155,410,980 | |
|
|
| LIABILITIES: | | | | | | | | |
Payable for securities purchased | | | 784,578 | | | | 3,808,343 | |
Payable for Fund shares reacquired | | | 189,182 | | | | — | |
Management fees payable | | | 139,300 | | | | 84,573 | |
Transfer agency services payable | | | 835 | | | | 828 | |
Payable for loaned securities collateral (Note 3) | | | — | | | | 10,901,405 | |
Payable for open forward foreign currency contracts (Note 3) | | | — | | | | 47,967 | |
Directors’ fees payable | | | 80 | | | | 73 | |
Accrued expenses | | | 38,716 | | | | 33,900 | |
|
|
Total Liabilities | | | 1,152,691 | | | | 14,877,089 | |
|
|
Total Net Assets | | $ | 277,991,526 | | | $ | 140,533,891 | |
|
|
| NET ASSETS: | | | | | | | | |
Par value of capital shares (Note 4) | | $ | 379 | | | $ | 150 | |
Capital paid in excess of par value | | | 366,214,371 | | | | 165,118,176 | |
Undistributed net investment income | | | 6,313,020 | | | | 2,009,600 | |
Accumulated net realized loss from investment transactions and foreign currencies | | | (96,893,851 | ) | | | (28,636,444 | ) |
Net unrealized appreciation of investments and foreign currencies | | | 2,357,607 | | | | 2,042,409 | |
|
|
Total Net Assets | | $ | 277,991,526 | | | $ | 140,533,891 | |
|
|
Shares Outstanding | | | 37,885,840 | | | | 14,969,908 | |
|
|
Net Asset Value | | | $7.34 | | | | $9.39 | |
|
|
See Notes to Financial Statements.
47 Travelers Series Fund Inc. | 2005 Semi-Annual Report
| | |
| Statements of Operations (unaudited) | | |
For the Six Months Ended April 30, 2005
| | | | | | | | |
| | | Smith Barney
High Income
Portfolio | | | Pioneer
Strategic
Income
Portfolio | |
| INVESTMENT INCOME: | | | | | | | | |
Interest | | $ | 11,502,623 | | | $ | 4,096,797 | |
Dividends | | | 28,119 | | | | 16,392 | |
Securities lending income | | | — | | | | 7,139 | |
Less: Foreign withholding tax | | | — | | | | (179 | ) |
|
|
Total Investment Income | | | 11,530,742 | | | | 4,120,149 | |
|
|
| EXPENSES: | | | | | | | | |
Management fees (Note 2) | | | 864,695 | | | | 456,789 | |
Custody | | | 30,806 | | | | 32,210 | |
Shareholder communications | | | 21,719 | | | | 11,970 | |
Audit and legal | | | 16,627 | | | | 19,591 | |
Directors’ fees | | | 4,132 | | | | 2,764 | |
Transfer agency services (Note 2) | | | 2,481 | | | | 2,497 | |
Other | | | 6,710 | | | | 3,552 | |
|
|
Net Expenses | | | 947,170 | | | | 529,373 | |
|
|
Net Investment Income | | | 10,583,572 | | | | 3,590,776 | |
|
|
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES
(NOTES 1 AND 3): | �� | | | | | | | |
Realized Gain (Loss) From: | | | | | | | | |
Investment transactions | | | 2,661,427 | | | | 1,685,794 | |
Foreign currency transactions | | | (4,833 | ) | | | (43,961 | ) |
|
|
Net Realized Gain | | | 2,656,594 | | | | 1,641,833 | |
|
|
Net Change in Unrealized Appreciation/Depreciation From: | | | | | | | | |
Investments | | | (14,918,737 | ) | | | (1,676,568 | ) |
Foreign currencies | | | (28 | ) | | | (46,136 | ) |
|
|
Net Change in Unrealized Appreciation/Depreciation | | | (14,918,765 | ) | | | (1,722,704 | ) |
|
|
Increase from Payment by Affiliate | | | 92,400 | | | | — | |
|
|
Net Loss on Investments and Foreign Currencies | | | (12,169,771 | ) | | | (80,871 | ) |
|
|
Increase (Decrease) in Net Assets From Operations | | $ | (1,586,199 | ) | | $ | 3,509,905 | |
|
|
See Notes to Financial Statements.
48 Travelers Series Fund Inc. | 2005 Semi-Annual Report
| | |
| Statements of Changes in Net Assets | | |
For the Six Months Ended April 30, 2005 (unaudited)
and the Year Ended October 31, 2004
| | | | | | | | |
| Smith Barney High Income Portfolio | | 2005 | | | 2004 | |
| OPERATIONS: | | | | | | | | |
Net investment income | | $ | 10,583,572 | | | $ | 20,792,898 | |
Net realized gain | | | 2,656,594 | | | | 4,139,124 | |
Net change in unrealized appreciation/depreciation | | | (14,918,765 | ) | | | 5,544,059 | |
Increase from payment by affiliate | | | 92,400 | | | | — | |
|
|
Increase (Decrease) in Net Assets From Operations | | | (1,586,199 | ) | | | 30,476,081 | |
|
|
| DISTRIBUTIONS TO SHAREHOLDERS FROM: | | | | | | | | |
Net investment income | | | (23,581,997 | ) | | | (17,859,204 | ) |
|
|
Decrease in Net Assets From
Distributions to Shareholders | | | (23,581,997 | ) | | | (17,859,204 | ) |
|
|
| FUND SHARE TRANSACTIONS (NOTE 4): | | | | | | | | |
Net proceeds from sale of shares | | | 23,990,319 | | | | 41,540,000 | |
Net asset value of shares issued for reinvestment of distributions | | | 23,581,997 | | | | 17,859,204 | |
Cost of shares reacquired | | | (23,896,888 | ) | | | (29,126,715 | ) |
|
|
Increase in Net Assets From Fund Share Transactions | | | 23,675,428 | | | | 30,272,489 | |
|
|
Increase (Decrease) in Net Assets | | | (1,492,768 | ) | | | 42,889,366 | |
| NET ASSETS: | | | | | | | | |
Beginning of period | | | 279,484,294 | | | | 236,594,928 | |
|
|
End of period* | | $ | 277,991,526 | | | $ | 279,484,294 | |
|
|
* Includes undistributed net investment income of: | | | $6,313,020 | | | | $19,311,445 | |
|
|
See Notes to Financial Statements.
49 Travelers Series Fund Inc. | 2005 Semi-Annual Report
| | |
| Statements of Changes in Net Assets (continued) | | |
For the Six Months Ended April 30, 2005 (unaudited) and the Year Ended October 31, 2004
| | | | | | | | |
| Pioneer Strategic Income Portfolio | | 2005 | | | 2004 | |
| OPERATIONS: | | | | | | | | |
Net investment income | | $ | 3,590,776 | | | $ | 6,101,917 | |
Net realized gain | | | 1,641,833 | | | | 2,872,293 | |
Net change in unrealized appreciation/depreciation | | | (1,722,704 | ) | | | 2,161,849 | |
|
|
Increase in Net Assets From Operations | | | 3,509,905 | | | | 11,136,059 | |
|
|
| DISTRIBUTIONS TO SHAREHOLDERS FROM: | | | | | | | | |
Net investment income | | | (7,620,245 | ) | | | (8,542,499 | ) |
|
|
Decrease in Net Assets From
Distributions to Shareholders | | | (7,620,245 | ) | | | (8,542,499 | ) |
|
|
| FUND SHARE TRANSACTIONS (NOTE 4): | | | | | | | | |
Net proceeds from sale of shares | | | 33,006,678 | | | | 12,560,775 | |
Net asset value of shares issued for reinvestment of distributions | | | 7,620,245 | | | | 8,542,499 | |
Cost of shares reacquired | | | (2,964,257 | ) | | | (17,203,671 | ) |
|
|
Increase in Net Assets From Fund Share Transactions | | | 37,662,666 | | | | 3,899,603 | |
|
|
Increase in Net Assets | | | 33,552,326 | | | | 6,493,163 | |
| NET ASSETS: | | | | | | | | |
Beginning of period | | | 106,981,565 | | | | 100,488,402 | |
|
|
End of period* | | $ | 140,533,891 | | | $ | 106,981,565 | |
|
|
* Includes undistributed net investment income of: | | | $2,009,600 | | | | $6,039,069 | |
|
|
See Notes to Financial Statements.
50 Travelers Series Fund Inc. | 2005 Semi-Annual Report
Financial Highlights
For a share of capital stock outstanding throughout each year or period ended October 31, unless otherwise noted:
| | | | | | | | | | | | | | | | | | |
Smith Barney High Income Portfolio | | 2005(1) | | | 2004 | | | 2003 | | | 2002 | | | 2001 | | | 2000 | |
Net Asset Value, Beginning of Period | | $8.02 | | | $7.67 | | | $6.65 | | | $8.32 | | | $10.29 | | | $11.72 | |
| |
|
| |
|
| |
|
| |
|
| |
|
| |
|
|
Income (Loss) From Operations: | | | | | | | | | | | | | | | | | | |
Net investment income | | 0.27 | | | 0.58 | | | 0.63 | | | 0.82 | (2) | | 1.02 | | | 1.20 | |
Net realized and unrealized gain (loss) | | (0.29 | ) | | 0.32 | | | 1.28 | | | (1.44 | )(2) | | (1.80 | ) | | (1.56 | ) |
| |
|
| |
|
| |
|
| |
|
| |
|
| |
|
|
Total Income (Loss) From Operations | | (0.02 | ) | | 0.90 | | | 1.91 | | | (0.62 | ) | | (0.78 | ) | | (0.36 | ) |
| |
|
| |
|
| |
|
| |
|
| |
|
| |
|
|
Less Distributions From: | | | | | | | | | | | | | | | | | | |
Net investment income | | (0.66 | ) | | (0.55 | ) | | (0.89 | ) | | (1.05 | ) | | (1.19 | ) | | (1.07 | ) |
| |
|
| |
|
| |
|
| |
|
| |
|
| |
|
|
Total Distributions | | (0.66 | ) | | (0.55 | ) | | (0.89 | ) | | (1.05 | ) | | (1.19 | ) | | (1.07 | ) |
| |
|
| |
|
| |
|
| |
|
| |
|
| |
|
|
Net Asset Value, End of Period | | $7.34 | | | $8.02 | | | $7.67 | | | $6.65 | | | $ 8.32 | | | $10.29 | |
| |
|
| |
|
| |
|
| |
|
| |
|
| |
|
|
Total Return(3) | | (0.52 | )%(4)‡ | | 12.33 | % | | 31.70 | % | | (7.39 | )% | | (8.08 | )% | | (3.54 | )% |
| |
|
| |
|
| |
|
| |
|
| |
|
| |
|
|
Net Assets, End of Period (millions) | | $278 | | | $279 | | | $237 | | | $155 | | | $176 | | | $191 | |
| |
|
| |
|
| |
|
| |
|
| |
|
| |
|
|
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | |
Expenses | | 0.66 | %† | | 0.66 | %(5) | | 0.69 | % | | 0.69 | % | | 0.67 | % | | 0.66 | % |
Net investment income | | 7.34 | † | | 7.93 | | | 9.53 | | | 10.39 | (2) | | 11.52 | | | 10.46 | |
| |
|
| |
|
| |
|
| |
|
| |
|
| |
|
|
Portfolio Turnover Rate | | 11 | % | | 33 | % | | 36 | % | | 78 | % | | 77 | % | | 70 | % |
| |
|
| |
|
| |
|
| |
|
| |
|
| |
|
|
| (1) | | For the six months ended April 30, 2005 (unaudited). |
| (2) | | Effective November 1, 2001, the Fund adopted a change in the accounting method that requires the Fund to amortize premiums and accrete all discounts. Without the adoption of this change, for the year ended October 31, 2002, the ratio of net investment income to average net assets would have been 10.48%. In addition, the impact of this change to net investment income and net realized and unrealized loss was less than $0.01 per share. Per share information, ratios and supplemental data for the periods prior to November 1, 2001 have not been restated to reflect this change in presentation. |
| (3) | | Total returns do not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. Past performance is no guarantee of future results. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. |
| (4) | | The investment manager fully reimbursed the Fund for losses incurred resulting from an investment transaction error. The total return did not change due to this reimbursement. |
| (5) | | The investment manager voluntarily waived a portion of its management fee for the year ended October 31, 2004. The actual expense ratio did not change due to this waiver. |
| ‡ | | Total return is not annualized, as it may not be representative of the total return for the year. |
See Notes to Financial Statements.
51 Travelers Series Fund Inc. | 2005 Semi-Annual Report
| | |
| Financial Highlights (continued) | | |
For a share of capital stock outstanding throughout each year or period ended October 31, unless otherwise noted:
| | | | | | | | | | | | | | | | | | | | |
Pioneer Strategic Income Portfolio | | 2005(1)(2) | | | 2004(2) | | | 2003(2) | | | 2002 | | | 2001 | | | 2000 | | | |
Net Asset Value, Beginning of Period | | $9.73 | | | $9.53 | | | $8.94 | | | $9.94 | | | $10.31 | | | $11.24 | | | |
|
| | |
Income (Loss) From Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | 0.28 | | | 0.57 | | | 0.63 | | | 1.14 | (3) | | 0.93 | | | 0.93 | | | |
Net realized and unrealized gain (loss) | | 0.04 | | | 0.48 | | | 1.04 | | | (0.94 | )(3) | | (0.47 | ) | | (0.88 | ) | | |
|
| | |
Total Income From Operations | | 0.32 | | | 1.05 | | | 1.67 | | | 0.20 | | | 0.46 | | | 0.05 | | | |
|
| | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | (0.66 | ) | | (0.85 | ) | | (1.08 | ) | | (1.20 | ) | | (0.83 | ) | | (0.98 | ) | | |
|
| | |
Total Distributions | | (0.66 | ) | | (0.85 | ) | | (1.08 | ) | | (1.20 | ) | | (0.83 | ) | | (0.98 | ) | | |
|
| | |
Net Asset Value, End of Period | | $9.39 | | | $9.73 | | | $9.53 | | | $8.94 | | | $9.94 | | | $10.31 | | | |
|
| | |
Total Return(4) | | 3.30 | %‡ | | 11.66 | % | | 20.56 | % | | 2.00 | % | | 4.60 | % | | 0.21 | % | | |
|
| | |
Net Assets, End of Period (millions) | | $141 | | | $107 | | | $100 | | | $97 | | | $128 | | | $141 | | | |
|
| | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
Expenses | | 0.87 | %(5)† | | 0.90 | %(6) | | 1.00 | % | | 0.93 | % | | 0.90 | % | | 0.87 | % | | |
Net investment income | | 5.90 | † | | 6.19 | | | 7.05 | | | 8.24 | (3) | | 8.83 | | | 7.78 | | | |
|
| | |
Portfolio Turnover Rate | | 33 | % | | 56 | % | | 141 | % | | 208 | % | | 150 | % | | 105 | % | | |
|
| | |
| (1) | | For the six months ended April 30, 2005 (unaudited). |
| (2) | | Per share amounts have been calculated using the monthly average shares method. |
| (3) | | Effective November 1, 2001, the Fund adopted a change in the accounting method that requires the Fund to amortize premiums and accrete all discounts. Without the adoption of this change, for the year ended October 31, 2002, net investment income, net realized and unrealized loss and the ratio of net investment income to average net assets would have been $1.16, $(0.96), and 8.42%, respectively. Per share information, ratios and supplemental data for the periods prior to November 1, 2001 have not been restated to reflect this change in presentation. |
| (4) | | Total returns do not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. Past performance is no guarantee of future results. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. |
| (5) | | As a result of a voluntary expense limitation, the ratio of expenses to average net assets will not exceed 1.25%. |
| (6) | | The investment manager voluntarily waived a portion of its management fee for the year ended October 31, 2004. The actual expense ratio did not change due to this waiver. |
| ‡ | | Total return is not annualized, as it may not be representative of the total return for the year. |
See Notes to Financial Statements.
52 Travelers Series Fund Inc. | 2005 Semi-Annual Report
Notes to Financial Statements (unaudited)
| 1. | Organization and Significant Accounting Policies |
The Smith Barney High Income Portfolio (“SBHI”) and Pioneer Strategic Income Portfolio (“PSIP”) (“Fund(s)”) are separate diversified investment funds of the Travelers Series Fund Inc. (“Company”). The Company, a Maryland corporation, is registered under the Investment Company Act of 1940 (the “1940 Act”), as amended, as an open-end management investment company.
The following are significant accounting policies consistently followed by the Funds and are in conformity with U.S. generally accepted accounting principles (“GAAP”). Estimates and assumptions are required to be made regarding assets, liabilities and changes in net assets resulting from operations when financial statements are prepared. Changes in the economic environment, financial markets and any other parameters used in determining these estimates could cause actual results to differ.
(a) Investment Valuation. Debt securities are valued at the mean between the bid and asked price provided by an independent pricing service that are based on transactions in debt obligations, quotations from bond dealers, market transactions in comparable securities and various relationships between securities. Equity securities for which market quotations are available are valued at the last sale price or official closing price on the primary market or exchange on which they trade. When prices are not readily available, or are determined not to reflect fair value, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Funds calculate their net asset value, the Funds may value these investments at fair value as determined in accordance with the procedures approved by the Funds’ Board of Directors. Short-term obligations with maturities of 60 days or less are valued at amortized cost, which approximates market value.
(b) Repurchase Agreements. When entering into repurchase agreements, it is the Funds’ policy that their custodian or a third party custodian take possession of the underlying collateral securities, the market value of which at least equals the principal amount of the repurchase transaction, including accrued interest. To the extent that any repurchase transaction exceeds one business day, the value of the collateral is marked-to-market to ensure the adequacy of the collateral. If the seller defaults, and the market value of the collateral declines or
53 Travelers Series Fund Inc. | 2005 Semi-Annual Report
Notes to Financial Statements (unaudited) (continued)
if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Funds may be delayed or limited.
(c) Forward Foreign Currency Contracts. The Funds may enter into forward foreign currency contracts to hedge against foreign currency exchange rate risk on its non-US dollar denominated securities or to facilitate settlement of foreign currency denominated portfolio transactions. A forward foreign currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. The contract is marked-to-market daily and the change in value is recorded by the Funds as an unrealized gain or loss. When a forward foreign currency contract is extinguished, through either delivery or offset by entering into another forward foreign currency contract, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished.
Forward foreign currency contracts involve elements of market risk in excess of the amounts reflected in the Statements of Assets and Liabilities. The Funds bear the risk of an unfavorable change in the foreign exchange rate underlying the forward foreign currency contract. Risks may also arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts.
(d) Lending of Portfolio Securities. The Funds have an agreement with their custodian whereby the custodian may lend securities owned by the Funds to brokers, dealers and other financial organizations. In exchange for lending securities under the terms of the agreement with their custodian, the Funds receive a lender’s fee. Fees earned by the Funds on securities lending are recorded as securities lending income. Loans of securities by the Funds are collateralized by cash, U.S. government securities or high quality money market instruments that are maintained at all times in an amount at least equal to the current market value of the loaned securities, plus a margin which varies depending on the type of securities loaned. The custodian establishes and maintains the collateral in a segregated account. The Funds have the right under the lending agreement to recover the securities from the borrower on demand.
54 Travelers Series Fund Inc. | 2005 Semi-Annual Report
Notes to Financial Statements (unaudited) (continued)
The Funds maintain the risk of any loss on the securities on loan as well as the potential loss on investments purchased with cash collateral received from securities lending.
(e) Loan Participations. The Funds may invest in loans arranged through private negotiation between one or more financial institutions. The Funds’ investment in any such loan may be in the form of a participation in or an assignment of the loan. In connection with purchasing participations, the Funds generally will have no right to enforce compliance by the borrower with the terms of the loan agreement relating to the loan, nor any rights of set-off against the borrower and the Funds may not benefit directly from any collateral supporting the loan in which they have purchased the participation.
The Funds will assume the credit risk of both the borrower and the lender that is selling the participation. In the event of the insolvency of the lender selling the participation, the Funds may be treated as a general creditor of the lender and may not benefit from any set-off between the lender and the borrower.
(f) Stripped Securities. The Funds invest in ‘‘Stripped Securities,’’ a term used collectively for stripped fixed income securities. Stripped securities can be principal only securities (“PO”), which are debt obligations that have been stripped of unmatured interest coupons or interest only securities (“IO”), which are unmatured interest coupons that have been stripped from debt obligations. Stripped Securities do not make periodic payments of interest prior to maturity. As is the case with all securities, the market value of Stripped Securities will fluctuate in response to changes in economic conditions, interest rates and the market’s perception of the securities. However, fluctuations in response to interest rates may be greater in Stripped Securities than for debt obligations of comparable maturities that currently pay interest. The amount of fluctuation increases with a longer period of maturity.
The yield to maturity on IO’s is sensitive to the rate of principal repayments (including prepayments) on the related underlying debt obligation and principal payments may have a material effect on yield to maturity. If the underlying debt obligation experiences greater than anticipated prepayments of principal, the Funds may not fully recoup its initial investment in IO’s.
(g) Securities Traded on a To-Be-Announced Basis. The Funds may trade securities on a to-be-announced (“TBA”) basis. In a TBA transaction, the
55 Travelers Series Fund Inc. | 2005 Semi-Annual Report
Notes to Financial Statements (unaudited) (continued)
Funds commit to purchasing or selling securities, which have not yet been issued by the issuer and for which specific information is not known, such as the face amount and maturity date and the underlying pool of investments in U.S. government agency mortgage pass-through transactions. Securities purchased on a TBA basis are not settled until they are delivered to the Fund, normally 15 to 45 days later. Beginning on the date the Funds enter into a TBA transaction, cash, U.S. government securities or other liquid high-grade debt obligations are segregated in an amount equal in value to the purchase price of the TBA security. These transactions are subject to market fluctuations and their current value is determined in the same manner as for other securities.
(h) Credit and Market Risk. The Funds invest in high yield instruments that are subject to certain credit and market risks. The yields of high yield instruments reflect, among other things, perceived credit risk. The Funds’ investments in securities rated below investment grade typically involve risks not associated with higher rated securities including, among others, greater risk related to timely and ultimate payment of interest and principal, greater market price volatility and less liquid secondary market trading.
(i) Security Transactions and Investment Income. Security transactions are accounted for on a trade date basis. Interest income, adjusted for amortization of premium and accretion of discount, is recorded on the accrual basis. Dividend income is recorded on the ex-dividend date. Foreign dividend income is recorded on the ex-dividend date or as soon as practical after the Funds determine the existence of a dividend declaration after exercising reasonable due diligence. The cost of investments sold is determined by use of the specific identification method. To the extent any issuer defaults on an expected interest payment, the Funds’ policy is to generally halt any additional interest income accruals and consider the realizability of interest accrued up to the date of default.
(j) Foreign Currency Translation. Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts based upon prevailing exchange rates on the date of valuation. Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. dollar amounts based upon prevailing exchange rates on the respective dates of such transactions.
56 Travelers Series Fund Inc. | 2005 Semi-Annual Report
Notes to Financial Statements (unaudited) (continued)
The Funds do not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.
Net realized foreign exchange gains or losses arise from sales of foreign currencies, including gains and losses on forward foreign currency contracts, currency gains or losses realized between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities, at the date of valuation, resulting from changes in exchange rates.
Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of U.S. dollar denominated transactions as a result of, among other factors, the possibility of lower levels of governmental supervision and regulation of foreign securities markets and the possibility of political or economic instability.
(k) Distributions to Shareholders. Distributions from net investment income and distributions of net realized gains, if any, are declared at least annually. Distributions to shareholders of the Funds are recorded on the ex-dividend date and are determined in accordance with income tax regulations, which may differ from GAAP.
(l) Federal and Other Taxes. It is the Funds’ policy to comply with the federal income and excise tax requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies. Accordingly, the Funds intend to distribute substantially all of their taxable income and net realized gains on investments, if any, to shareholders each year. Therefore, no federal income tax provision is required in the Funds’ financial statements. Under the applicable foreign tax laws, a withholding tax may be imposed on interest, dividends and capital gains at various rates.
(m) Reclassifications. GAAP requires that certain components of net assets be adjusted to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or net asset values per share.
57 Travelers Series Fund Inc. | 2005 Semi-Annual Report
Notes to Financial Statements (unaudited) (continued)
| 2. | Management Agreement and Transactions with Affiliates |
Smith Barney Fund Management LLC (“SBFM”), an indirect wholly-owned subsidiary of Citigroup Inc. (“Citigroup”), acts as the investment manager of SBHI. SBHI pays SBFM a management fee calculated at an annual rate of 0.60% of the average daily net assets of the Fund. Travelers Investment Adviser, Inc. (“TIA”), an affiliate of SBFM, acts as the investment manager of PSIP. PSIP pays TIA a management fee calculated at an annual rate of 0.75% of the average daily net assets of the Fund. These fees are calculated daily and paid monthly.
TIA has entered into a sub-advisory agreement with Pioneer Investment Management, Inc. (“Pioneer”). Pursuant to the sub-advisory agreement, Pioneer is responsible for the day-to-day fund operations and investment decisions for PSIP and is compensated by TIA for such service at the annual rate of 0.35% of the average daily net assets of PSIP.
TIA has entered into a sub-administrative services agreement with SBFM. TIA pays SBFM, as sub-administrator, a fee calculated at an annual rate of 0.10% of the average daily net assets of PSIP.
During the six months ended April 30, 2005 SBFM reimbursed SBHI in the amount of $92,400 for losses incurred resulting from an investment transaction error.
Citicorp Trust Bank, fsb. (“CTB”), another subsidiary of Citigroup, acts as the Funds’ transfer agent. PFPC Inc. (“PFPC”) acts as the Funds’ sub-transfer agent. CTB receives account fees and asset-based fees that vary according to the size and type of account. PFPC is responsible for shareholder recordkeeping and financial processing for all shareholder accounts and is paid by CTB. For the six
months ended April 30, 2005, each Fund paid transfer agent fees of $2,083 to CTB.
During the six months ended April 30, 2005, Citigroup Global Markets Inc. (“CGM”), another indirect wholly-owned subsidiary of Citigroup, did not receive any brokerage commissions.
Most of the officers and one Director of the Company are employees of Citigroup or its affiliates and do not receive compensation from the Company.
58 Travelers Series Fund Inc. | 2005 Semi-Annual Report
Notes to Financial Statements (unaudited) (continued)
During the six months ended April 30, 2005, the aggregate cost of purchases and proceeds from sales of investments (excluding short-term investments) were as follows:
| | | | | | |
| | | SBHI | | PSIP |
Purchases | | $ | 42,325,744 | | $ | 65,163,979 |
|
Sales | | | 30,186,189 | | | 38,881,422 |
|
At April 30, 2005, the aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes were substantially as follows:
| | | | | | | | |
| | | SBHI | | | PSIP | |
Gross unrealized appreciation | | $ | 16,100,340 | | | $ | 7,036,130 | |
Gross unrealized depreciation | | | (13,742,705 | ) | | | (4,979,012 | ) |
|
|
Net unrealized appreciation | | $ | 2,357,635 | | | $ | 2,057,118 | |
|
|
At April 30, 2005, PSIP had open forward currency contracts as described below. The unrealized loss on the contracts reflected in the accompanying financial statements was as follows:
| | | | | | | | | | | |
| Foreign Currency | | Local
Currency | | Market
Value | | Settlement
Date | | Unrealized
Gain (Loss) | |
Contracts to Sell: | | | | | | | | | | | |
Australian Dollar | | 2,315,000 | | $ | 1,812,164 | | 5/9/05 | | $ | (44,662 | ) |
Australian Dollar | | 400,000 | | | 313,117 | | 5/9/05 | | | (3,305 | ) |
Euro | | 3,100,000 | | | 4,007,803 | | 5/27/05 | | | 14,044 | |
|
|
Net Unrealized Loss on Open Forward Foreign Currency Contracts | | | | | | | | | $ | (33,923 | ) |
|
|
At April 30, 2005, SBHI did not have any open forward foreign currency contracts.
At April 30, 2005, PSIP loaned securities having a market value of $10,667,141. PSIP received cash collateral amounting to $10,901,405, which was invested into the State Street Navigator Securities Lending Trust Prime Portfolio, a Rule 2a-7 money market fund, registered under the 1940 Act.
At April 30, 2005, the Company had six billion shares of $0.00001 par value capital stock authorized. Each share of a Fund represents an equal proportionate interest in that Fund with each share of the same Fund and has an equal entitlement to any dividends and distributions made by the Fund.
59 Travelers Series Fund Inc. | 2005 Semi-Annual Report
Notes to Financial Statements (unaudited) (continued)
Transactions in shares of each Fund were as follows:
| | | | | | |
| | | Six Months Ended
April 30, 2005 | | | Year Ended
October 31, 2004 | |
Smith Barney High Income Portfolio | | | | | | |
Shares sold | | 3,049,543 | | | 5,397,647 | |
Shares issued on reinvestment | | 3,127,586 | | | 2,406,900 | |
Shares reacquired | | (3,122,235 | ) | | (3,826,668 | ) |
|
|
Net Increase | | 3,054,894 | | | 3,977,879 | |
|
|
Pioneer Strategic Income Portfolio | | | | | | |
Shares sold | | 3,466,534 | | | 1,345,497 | |
Shares issued on reinvestment | | 814,129 | | | 946,013 | |
Shares reacquired | | (306,323 | ) | | (1,844,513 | ) |
|
|
Net Increase | | 3,974,340 | | | 446,997 | |
|
|
| 5. | Capital Loss Carryforward |
On October 31, 2004, PSIP had a net capital loss carryforward of $30,266,745, of which $1,027,479 expires in 2006, $5,085,828 expires in 2007, $3,076,895 expires in 2008, $7,414,445 expires in 2009, $11,398,536 expires in 2010 and $2,263,562 expires in 2011. SBHI had a net capital loss carryforward of $99,331,544, of which $11,677,045 expires in 2007, $18,327,807 expires in 2008, $42,940,350 expires in 2009, $21,882,303 expires in 2010 and $4,504,039 expires in 2011.
On May 31, 2005, the U.S. Securities and Exchange Commission (“SEC”) issued an order in connection with the settlement of an administrative proceeding against Smith Barney Fund Management LLC (“SBFM”) and Citigroup Global Markets Inc. (“CGMI”) relating to the appointment of an affiliated transfer agent for the Smith Barney family of mutual funds (the “Funds”).
The SEC order finds that SBFM and CGMI willfully violated Section 206(1) of the Investment Advisers Act of 1940 (“Advisers Act”). Specifically, the order finds that SBFM and CGMI knowingly or recklessly failed to disclose to the boards of the Funds in 1999 when proposing a new transfer agent arrangement with an affiliated transfer agent that: First Data Investors Services Group (“First Data”), the Funds’ then-existing transfer agent, had offered to continue as transfer agent and do the same work for substantially less money than before; and that Citigroup Asset Management (“CAM”), the Citigroup business unit that
60 Travelers Series Fund Inc. | 2005 Semi-Annual Report
Notes to Financial Statements (unaudited) (continued)
includes the fund’s investment manager and other investment advisory companies, had entered into a side letter with First Data under which CAM agreed to recommend the appointment of First Data as sub-transfer agent to the affiliated transfer agent in exchange, among other things, for a guarantee by First Data of specified amounts of asset management and investment banking fees to CAM and CGMI. The order also finds that SBFM and CGMI willfully violated Section 206(2) of the Advisers Act by virtue of the omissions discussed above and other misrepresentations and omissions in the materials provided to the Funds’ boards, including the failure to make clear that the affiliated transfer agent would earn a high profit for performing limited functions while First Data continued to perform almost all of the transfer agent functions, and the suggestion that the proposed arrangement was in the Funds’ best interests and that no viable alternatives existed. SBFM and CGMI do not admit or deny any wrongdoing or liability. The settlement does not establish wrongdoing or liability for purposes of any other proceeding.
The SEC censured SBFM and CGMI and ordered them to cease and desist from violations of Sections 206(1) and 206(2) of the Advisers Act. The order requires Citigroup to pay $208.1 million, including $109 million in disgorgement of profits, $19.1 million in interest, and a civil money penalty of $80 million. Approximately $24.4 million has already been paid to the Funds, primarily through fee waivers. The remaining $183.7 million, including the penalty, has been paid to the U.S. Treasury and will be distributed pursuant to a plan to be prepared by Citigroup and submitted within 90 days of the entry of the order for approval by the SEC. The order also requires that transfer agency fees received from the Funds since December 1, 2004 less certain expenses be placed in escrow and provides that a portion of such fees may be subsequently distributed in accordance with the terms of the order.
The order requires SBFM to recommend a new transfer agent contract to the Fund boards within 180 days of the entry of the order; if a Citigroup affiliate submits a proposal to serve as transfer agent or sub-transfer agent, an independent monitor must be engaged at the expense of SBFM and CGMI to oversee a competitive bidding process. Under the order, Citigroup also must comply with an amended version of a vendor policy that Citigroup instituted in August 2004. That policy, as amended, among other things, requires that when requested by a Fund board, CAM will retain at its own expense an independent
61 Travelers Series Fund Inc. | 2005 Semi-Annual Report
Notes to Financial Statements (unaudited) (continued)
consulting expert to advise and assist the board on the selection of certain service providers affiliated with Citigroup.
At this time, there is no certainty as to how the proceeds of the settlement will be distributed, to whom such distributions will be made, the methodology by which such distributions will be allocated, and when such distributions will be made. Although there can be no assurance, Citigroup does not believe that this matter will have a material adverse effect on the Funds.
Beginning in June 2004, class action lawsuits alleging violations of the federal securities laws were filed against Citigroup Global Markets Inc. (the “Distributor”) and a number of its affiliates, including Smith Barney Fund Management LLC and Salomon Brothers Asset Management Inc (the “Advisers”), substantially all of the mutual funds managed by the Advisers, including the Fund (the “Funds”), and directors or trustees of the Funds (collectively, the “Defendants”). The complaints alleged, among other things, that the Distributor created various undisclosed incentives for its brokers to sell Smith Barney and Salomon Brothers funds. In addition, according to the complaints, the Advisers caused the Funds to pay excessive brokerage commissions to the Distributor for steering clients towards proprietary funds. The complaints also alleged that the defendants breached their fiduciary duty to the Funds by improperly charging Rule 12b-1 fees and by drawing on fund assets to make undisclosed payments of soft dollars and excessive brokerage commissions. The complaints also alleged that the Funds failed to adequately disclose certain of the allegedly wrongful conduct. The complaints sought injunctive relief and compensatory and punitive damages, rescission of the Funds’ contracts with the Advisers, recovery of all fees paid to the Advisers pursuant to such contracts and an award of attorneys’ fees and litigation expenses.
On December 15, 2004, a consolidated amended complaint (the “Complaint”) was filed alleging substantially similar causes of action. While the lawsuit is in its earliest stages, to the extent that the Complaint purports to state causes of action against the Funds, Citigroup Asset Management believes the Funds have significant defenses to such allegations, which the Funds intend to vigorously assert in responding to the Complaint.
62 Travelers Series Fund Inc. | 2005 Semi-Annual Report
Notes to Financial Statements (unaudited) (continued)
Additional lawsuits arising out of these circumstances and presenting similar allegations and requests for relief may be filed against the Defendants in the future.
As of the date of this report, Citigroup Asset Management and the Funds believe that the resolution of the pending lawsuit will not have a material effect on the financial position or results of operations of the Funds or the ability of the Advisers and their affiliates to continue to render services to the Funds under their respective contracts.
On January 31, 2005, Citigroup announced that it had reached an agreement with MetLife, Inc. (“MetLife”) to sell Citigroup’s life insurance and annuity businesses (“Travelers Life & Annuity”) to MetLife. As part of this transaction, Travelers Investment Adviser Inc. (“TIA”), currently an indirect wholly owned subsidiary of Citigroup, would become an indirect wholly owned subsidiary of MetLife. TIA is the investment adviser to the Pioneer Strategic Income Portfolio.
The transaction is subject to certain regulatory approvals, as well as other customary conditions to closing. The transaction is scheduled to close on June 30, 2005.
In connection with this transaction, at meetings held on March 24, 2005 and April 20, 2005, the Board of Directors approved a proposal to reorganize the Pioneer Strategic Income Portfolio (the “Acquired Fund”) of Travelers Series Fund Inc., into a newly organized “shell” portfolio (the “ Acquiring Fund”) of The Travelers Series Trust. In connection with the reorganization, the Acquiring Fund would acquire all of the assets and assume the liabilities of the Acquired Fund.
The proposed reorganization is subject to the fulfillment of certain conditions, including approval by the Acquired Fund shareholders. Proxy materials describing the proposed reorganization were mailed on or about June 9, 2005, to the Acquired Fund shareholders of record on April 15, 2005, in anticipation of a meeting of shareholders scheduled to be held on June 29, 2005. If approved by the Acquired Fund shareholders, the reorganization will occur as soon as possible after the shareholder meeting.
On June 24, 2005, Citigroup announced that it has signed a definitive agreement under which Citigroup will sell substantially all of its worldwide asset management business to Legg Mason, Inc. (“Legg Mason”).
63 Travelers Series Fund Inc. | 2005 Semi-Annual Report
Notes to Financial Statements (unaudited) (continued)
As part of this transaction, SBFM (the “Manager”), currently an indirect wholly owned subsidiary of Citigroup, would become an indirect wholly owned subsidiary of Legg Mason. The Manager is the investment manager to SBHI.
The transaction is subject to certain regulatory approvals, as well as other customary conditions to closing. Subject to such approvals and the satisfaction of the other conditions, Citigroup expects the transaction to be completed later this year.
Under the Investment Company Act of 1940, consummation of the transaction will result in the automatic termination of the investment management contract between SBHI and the Manager. Therefore, SBHI’s Board of Directors will be asked to approve a new investment management contract between SBHI and the Manager. If approved by the Board, the new investment management contract will be presented to the shareholders of SBHI for their approval.
64 Travelers Series Fund Inc. | 2005 Semi-Annual Report
TRAVELERS SERIES
FUND INC.
| | |
DIRECTORS Robert A. Frankel Michael E. Gellert R. Jay Gerken, CFA
Chairman Rainer Greeven Susan M. Heilbron OFFICERS R. Jay Gerken, CFA President and Chief Executive Officer Andrew B. Shoup Senior Vice President and Chief Administrative Officer James M. Giallanza Chief Financial Officer and Treasurer Beth A. Semmel, CFA Investment Officer Kenneth J. Taubes Investment Officer Peter J. Wilby, CFA Investment Officer Andrew Beagley Chief Anti-Money
Laundering Compliance
Officer and Chief
Compliance Officer | | OFFICERS (Continued) Robert I. Frenkel Secretary and Chief Legal Officer INVESTMENT MANAGERS Smith Barney Fund Management LLC Travelers Investment Adviser, Inc. CUSTODIAN State Street Bank and Trust Company ANNUITY ADMINISTRATION Travelers Annuity Investor Services One Cityplace Hartford, Connecticut 06103-3415 TRANSFER AGENT Citicorp Trust Bank, fsb. 125 Broad Street, 11th Floor New York, New York 10004 SUB-TRANSFER AGENT PFPC Inc. P.O. Box 9699 Providence, Rhode Island 02940-9699 |
Travelers Series Fund Inc.
Smith Barney High Income Portfolio
Pioneer Strategic Income Portfolio
The Funds are separate investment funds of the Travelers Series Fund Inc., a Maryland corporation.
The Funds file their complete schedule of portfolio holdings with Securities Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the Commission’s website at www.sec.gov. The Funds’ Forms N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington D.C., and information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. To obtain information on Form N-Q from the Funds, shareholders can call 1-800-451-2010.
Information on how the Funds voted proxies relating to portfolio securities during the 12 month period ended June 30, 2004 and a description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available (1) without charge, upon request, by calling 1-800-451-2010, (2) on the Funds’ website at www.citigroupam.com and (3) on the SEC’s website at www.sec.gov.
This report is submitted for the general information of the shareholders of Travelers Series Fund Inc. — Smith Barney High Income Portfolio and Pioneer Strategic Income Portfolio.
TRAVELERS SERIES FUND INC.
125 Broad Street
10th Floor, MF-2
New York, New York 10004
IN0805 6/0505-8638
Not Applicable.
| ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. |
Not Applicable.
| ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. |
Not applicable.
| ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. |
Not applicable.
| ITEM 6. | SCHEDULE OF INVESTMENTS. |
Not applicable.
| ITEM 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
| ITEM 9. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. |
Not applicable.
| ITEM 10. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. |
Not applicable.
| ITEM 11. | CONTROLS AND PROCEDURES. |
| | (a) | The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a- 3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the disclosure controls and procedures required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934. |
| | (b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s last fiscal half-year (the registrant’s second fiscal half-year in the case of an annual report) that have materially affected, or are likely to materially affect the registrant’s internal control over financial reporting. |
| | |
| Exhibit 99.CERT | | Certifications pursuant to section 302 of the Sarbanes-Oxley Act of 2002 |
| |
| Exhibit 99.906CERT | | Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this Report to be signed on its behalf by the undersigned, there unto duly authorized.
| | |
| Travelers Series Fund Inc. |
| |
By: | | /s/ R. Jay Gerken |
| | | R. Jay Gerken |
| | | Chief Executive Officer of |
| | | Travelers Series Fund Inc. |
Date: July 7, 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 |
| | | Chief Executive Officer of |
| | | Travelers Series Fund Inc. |
Date: July 7, 2005
| | |
| |
By: | | /s/ James M. Giallanza |
| | | James M. Giallanza |
| | | Chief Financial Officer of |
| | | Travelers Series Fund Inc. |
Date: July 7, 2005
