EXPERIENCE | Greenwich Street Series Fund Annual Report Diversified Strategic Income Portfolio Equity Index Portfolio Salomon Brothers Variable Growth & Income Fund Salomon Brothers Variable Aggressive Growth Fund |
ANNUAL REPORT
DECEMBER 31, 2005 |
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Greenwich Street Series Fund |
Annual Report • December 31, 2005 |
What’s | |
Inside |
Letter from the Chairman | I | ||
Diversified Strategic Income Portfolio: | |||
Manager Overview | 1 | ||
Fund at a Glance | 9 | ||
Fund Performance | 10 | ||
Historical Performance | 11 | ||
Equity Index Portfolio: | |||
Manager Overview | 12 | ||
Fund at a Glance | 15 | ||
Fund Performance | 16 | ||
Historical Performance | 17 | ||
Salomon Brothers Variable Growth & Income Fund: | |||
Manager Overview | 18 | ||
Fund at a Glance | 21 | ||
Fund Performance | 22 | ||
Historical Performance | 23 | ||
Salomon Brothers Variable Aggressive Growth Fund: | |||
Manager Overview | 24 | ||
Fund at a Glance | 27 | ||
Fund Performance | 28 | ||
Historical Performance | 29 | ||
Fund Expenses | 30 | ||
Schedules of Investments | 32 | ||
Statements of Assets and Liabilities | 76 | ||
Statements of Operations | 77 | ||
Statements of Changes in Net Assets | 78 | ||
Financial Highlights | 82 | ||
Notes to Financial Statements | 88 | ||
Report of Independent Registered Public Accounting Firm | 105 | ||
Board Approval of Management and Subadvisory Agreements | 106 | ||
Additional Information | 117 | ||
Additional Shareholder Information | 123 | ||
Important Tax Information | 125 |
Under a licensing agreement between Citigroup and Legg Mason, the names of funds, the names of any classes of shares of funds, and the names of investment advisers of funds, as well as all logos, trademarks and service marks related to Citigroup or any of its affiliates (“Citi Marks”) are licensed for use by Legg Mason. Citi Marks include, but are not limited to, “Smith Barney,” “Salomon Brothers,” “Citi” and “Citigroup Asset Management”. Legg Mason and its affiliates, as well as the Funds’ investment adviser, are not affiliated with Citigroup. | |
All Citi Marks are owned by Citigroup, and are licensed for use until no later than one year after the date of the licensing agreement. |
Letter from the Chairman |
R. Jay Gerken, CFA
Dear Shareholder, | |
Despite numerous obstacles, including rising short-term interest rates, surging oil prices, a destructive hurricane season, and geopolitical issues, the U.S. economy continued to expand at a healthy pace during the reporting period. After a 3.8% advance in the first quarter of 2005, gross domestic product (“GDP”)i growth was 3.3% during the second quarter and 4.1% in the third quarter. While fourth quarter figures have not yet been released, another slight gain is anticipated. |
Given the strength of the economy and inflationary pressures, the Federal Reserve Board (“Fed”)ii continued to raise interest rates throughout the period. After raising rates five times from June 2004 through December 2004, the Fed increased its target for the federal funds rateiii in 0.25% increments eight additional times over the reporting period. This represents the longest sustained Fed tightening cycle since the 1970s. All told, the Fed’s thirteen rate hikes have brought the target for the federal funds rate from 1.00% to 4.25%. After the end of the Funds’ reporting period, at its January meeting, the Fed once again raised its target for the federal funds rate by 0.25% to 4.50%. | |
For the one-year period ended December 31, 2005, the U.S. stock market generated positive results, with the S&P 500 Indexiv returning 4.91%. While corporate profits remained strong during the year, they were often overshadowed by rising interest rates and higher oil prices. | |
Looking at the fiscal year as a whole, mid-cap stocks outperformed their large- and small-cap counterparts, with the Russell Midcapv, Russell 1000vi, and Russell 2000vii Indexes returning 12.65%, 6.27%, and 4.55%, respectively. From an investment style perspective, value stocks outperformed growth stocks for the sixth consecutive calendar year, with the Russell 3000 Valueviii and Russell 3000 Growthix Indexes returning 6.85% and 5.17%, respectively, in 2005. |
Within this environment, the Funds performed as follows:1 |
Performance Snapshot as of December 31, 2005 (unaudited) |
6 Months | 12 Months | |||||||
Diversified Strategic Income Portfolio | 0.61% | 2.56% | ||||||
Lehman Brothers U.S. Aggregate Bond Index | -0.08% | 2.43% | ||||||
Lipper Variable General Bond Funds Category Average | 0.64% | 2.03% | ||||||
Equity Index Portfolio — Class I Shares | 5.56% | 4.52% | ||||||
Equity Index Portfolio — Class II Shares | 5.42% | 4.25% | ||||||
S&P 500 Index | 5.76% | 4.91% | ||||||
Lipper Variable S&P 500 Index Objective Funds Category Average | 5.56% | 4.52% | ||||||
Salomon Brothers Variable Growth & Income Fund | 5.56% | 3.63% | ||||||
S&P 500 Index | 5.76% | 4.91% | ||||||
Russell 1000 Index | 6.15% | 6.27% | ||||||
Lipper Variable Large-Cap Core Funds Category Average | 6.56% | 5.77% | ||||||
Salomon Brothers Variable Aggressive Growth Fund — Class I Shares | 12.92% | 9.89% | ||||||
Salomon Brothers Variable Aggressive Growth Fund — Class II Shares | 12.75% | 9.64% | ||||||
Russell 3000 Growth Index | 7.19% | 5.17% | ||||||
Lipper Variable Multi-Cap Growth Funds Category Average | 11.23% | 10.80% | ||||||
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. To obtain performance data current to the most recent month-end, please visit our website at www.citigroupam.com. |
Fund returns assume the reinvestment of all distributions, including returns of capital, 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 period ended December 31, 2005 and include the reinvestment of all distributions, including returns of capital, if any. Returns were calculated among the 50 funds for the 6-month period and among the 50 funds for the 12-month period in the variable general bond funds category. Returns were calculated among the 55 funds for the 6-month period and among the 55 funds for the 12-month period in the variable S&P 500 Index objective funds category. Returns were calculated among the 223 funds for the 6-month period and among the 220 funds for the 12-month period in the variable large-cap core funds category. Returns were calculated among the 119 funds for the 6-month period and among the 115 funds for the 12-month period in the variable multi-cap growth funds category.
1 | 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. |
Please read on for a more detailed look at prevailing economic and market conditions during the Funds’ fiscal year and to learn how these conditions have affected Fund performance. |
Special Shareholder Notices | |
On or about May 1, 2006, the Greenwich Street Series Fund will be renamed Legg Mason Partners Variable Portfolios II. | |
Diversified Strategic Income Portfolio | |
On December 1, 2005, Citigroup Inc. (“Citigroup”) completed the sale of substantially all of its asset management business, Citigroup Asset Management (“CAM”), to Legg Mason, Inc. (“Legg Mason”). As a result, the Fund’s investment adviser (the “Manager”), previously an indirect wholly-owned subsidiary of Citigroup, has become a wholly-owned subsidiary of Legg Mason. Completion of the sale caused the Fund’s existing investment advisory contract and sub-advisory contract to terminate. The Fund’s shareholders previously approved a new investment management contract between the Fund and the Manager and a new sub-advisory contract, which became effective on December 1, 2005. | |
Equity Index Portfolio | |
On December 1, 2005, Citigroup Inc. (“Citigroup”) completed the sale of substantially all of its asset management business, Citigroup Asset Management (“CAM”), to Legg Mason, Inc. (“Legg Mason”). As a result, the Fund’s investment adviser (the “Manager”), previously an indirect wholly-owned subsidiary of Citigroup, has become a wholly-owned subsidiary of Legg Mason. Completion of the sale caused the Fund’s existing investment advisory contract to terminate. The Fund’s shareholders previously approved a new investment management contract between the Fund and the Manager, which became effective on December 1, 2005. | |
Salomon Brothers Variable Growth & Income Fund | |
On December 1, 2005, Citigroup Inc. (“Citigroup”) completed the sale of substantially all of its asset management business, Citigroup Asset Management (“CAM”), to Legg Mason, Inc. (“Legg Mason”). As a result, the Fund’s investment adviser (the “Manager”), previously an indirect wholly-owned subsidiary of Citigroup, has become a wholly-owned subsidiary of Legg Mason. Completion of the sale caused the Fund’s existing investment advisory contract to terminate. The Fund’s |
shareholders previously approved a new investment management contract between the Fund and the Manager, which became effective on December 1, 2005. | |
Salomon Brothers Variable Aggressive Growth Fund | |
On December 1, 2005, Citigroup Inc. (“Citigroup”) completed the sale of substantially all of its asset management business, Citigroup Asset Management (“CAM”), to Legg Mason, Inc. (“Legg Mason”). As a result, the Fund’s investment adviser (the “Manager”), previously an indirect wholly-owned subsidiary of Citigroup, has become a wholly-owned subsidiary of Legg Mason. Completion of the sale caused the Fund’s existing investment advisory contract to terminate. The Fund’s shareholders previously approved a new investment management contract between the Fund and the Manager, which became effective on December 1, 2005. | |
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’ Managers and Adviser and some of its 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 Managers and 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 their Managers and Adviser with regard to recent regulatory developments is contained in the Notes to Financial Statements included in this report. |
As always, thank you for your confidence in our stewardship of your assets. We look forward to helping you continue to meet your financial goals. |
Sincerely,
February 2, 2006
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 S&P 500 Index is an unmanaged index of 500 stocks that is generally representative of the performance of larger companies in the U.S. | |
v | The Russell Midcap Index measures the performance of the 800 smallest companies in the Russell 1000 Index whose average market capitalization was approximately $4.7 billion as of 6/24/05. | |
vi | The Russell 1000 Index measures the performance of the 1,000 largest companies in the Russell 3000 Index, which represents approximately 92% of the total market capitalization of the Russell 3000 Index. | |
vii | The Russell 2000 Index measures the performance of the 2,000 smallest companies in the Russell 3000 Index, which represents approximately 8% of the total market capitalization of the Russell 3000 Index. | |
viii | The Russell 3000 Value Index measures the performance of those Russell 3000 Index companies with lower price-to-book ratios and lower forecasted growth values. (A price-to-book ratio is the price of a stock compared to the difference between a company’s assets and liabilities.) | |
ix | The Russell 3000 Growth Index measures the performance of those Russell 3000 Index companies with higher price-to-book ratios and higher forecasted growth values. |
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Diversified Strategic Income Portfolio
Funds’ Fee Rate | Advisory | Administration | ||||||||||
Average Daily Net Assets | Fee Rate | Fee Rate | Total | |||||||||
First $1 billion | 0.450% | 0.200% | 0.650% | |||||||||
Next $1 billion | 0.450% | 0.175% | 0.625% | |||||||||
Next $3 billion | 0.450% | 0.150% | 0.600% | |||||||||
Next $5 billion | 0.450% | 0.125% | 0.575% | |||||||||
Over $10 billion | 0.450% | 0.100% | 0.550% | |||||||||
Q. | What were the overall market conditions during the Fund’s reporting period? |
Investment Grade Market Review
U.S. High Yield Market Review
Emerging Markets Debt Review
Performance Update1
1 | The Fund is an underlying investment option of various variable annuity and variable life insurance products. The Fund’s performance returns do not reflect the deduction of 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 Fund. Past performance is no guarantee of future results. |
Q. | What were the most significant factors affecting Fund performance? What were the leading contributors to performance? |
A.The portfolio’s allocation to higher-yielding bonds, specifically emerging markets debt, once again proved beneficial to portfolio performance during the annual period, as emerging debt was the best performer among broad fixed income asset classes during the year, according to the Lehman family of indices. |
What were the leading detractors from performance? |
A.Although we outperformed our benchmark, our underweight exposure to agencies slightly detracted from performance in the investment grade section of the portfolio, as agencies outperformed U.S. Treasuries and mortgage-backed securities during the 12 months. |
Q. | Were there any significant changes to the Fund during the reporting period? |
We maintained our neutral duration position versus the benchmark during the annual period. (Duration is a measure of a portfolio’s price sensitivity to interest rate movements. A shorter duration helps cushion price declines in the event of rising rates.) We believe this neutral stance will benefit the portfolio as the Fed nears the end of its current rate tightening cycle, which should allow possible yield advantage during a period of expected low volatility. We also slightly extended our yield curve positioning versus the benchmark from the beginning of the period. We plan to maintain our current allocation to emerging markets debt and high yield in an effort to provide diversification and achieve greater total return than a pure U.S. investment grade portfolio alone.
2 | Lipper, Inc. is a major independent mutual-fund tracking organization. Returns are based on the 12-month period ended December 31, 2005, including the reinvestment of all distributions, including returns of capital, if any, calculated among the 50 funds in the Fund’s Lipper category, and excluding sales charges. |
Thank you for your investment in the Diversified Strategic Income Portfolio. As ever, we appreciate that you have chosen us to manage your assets and we remain focused on seeking to achieve the Fund’s investment goals.
Sincerely,
![]() | ![]() | |
Peter J. Wilby | Beth A. Semmel | |
Vice President and Investment Officer | Vice President and Investment Officer | |
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Roger M. Lavan | David M. Zahn | |
Vice President and Investment Officer | Vice President and Investment Officer | |
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Olivier Asselin | ||
Vice President and Investment Officer |
February 2, 2006
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.
The mention of sector breakdowns is for informational purposes only and should not be construed as a recommendation to purchase or sell any securities. The information provided regarding such sectors is not a sufficient basis upon which to make an investment decision. Investors seeking financial advice regarding the appropriateness of investing in any securities or investment strategies discussed should consult their financial professional. Portfolio holdings are subject to change at any time and may not be representative of the portfolio manager’s current or future investments. The Fund’s top five sector holdings (as a percentage of net assets) as of December 31, 2005 were: Mortgage-Backed Securities (49.7%), Repurchase Agreement (46.6%), Corporate Bonds and Notes (20.7%), U.S. Government Obligations (19.7%) and Sovereign Bonds (5.1%). The Fund’s portfolio composition is subject to change at any time.
RISKS: Foreign securities are subject to certain risks of overseas investing including currency fluctuations and changes in political and economic conditions, which could result in significant market fluctuations. These risks are magnified in emerging or developing markets. High yield bonds are subject to additional risks such as the increased risk of default and greater volatility because of the lower credit quality of the issues. The Fund may invest in derivatives, such as options and futures, which can be illiquid, may disproportionately increase losses and have a potentially large impact on fund performance. As interest rates rise, bond prices fall, reducing the value of the Fund’s share price. 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 | 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. |
ii | A basis point is one one-hundredth (1/100 or 0.01) of one percent. |
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 FOMC is a policy-making body of the Federal Reserve System 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. |
v | Gross domestic product is a market value of goods and services produced by labor and property in a given country. |
vi | The Consumer Price Index measures the average change in U.S. consumer prices over time in a fixed market basket of goods and services determined by the U.S. Bureau of Labor Statistics. |
vii | The Citigroup High Yield Market Index is a broad-based unmanaged index of high yield securities. |
viii | Source: Altman High Yield Bond Default ad Return Report, November 2, 2005. |
ix | As measured by the yield on the Citigroup High Yield Market Index as of the period’s close. |
x | Yields are subject to change and will fluctuate. |
xi | JPMorgan Emerging Markets Bond Index Global (“EMBI Global”) tracks total returns for U.S. dollar denominated debt instruments issued by emerging market sovereign and quasi-sovereign entities: Brady bonds, loans, Eurobonds, and local market instruments. Countries covered are Algeria, Argentina, Brazil, Bulgaria, Chile, China, Colombia, Cote d’Ivoire, Croatia, Ecuador, Greece, Hungary, Lebanon, Malaysia, Mexico, Morocco, Nigeria, Panama, Peru, the Philippines, Poland, Russia, South Africa, South Korea, Thailand, Turkey and Venezuela. |
xii | The Lehman Brothers U.S. 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. |
Diversified Strategic Income Portfolio
Investment Breakdown |
* | Position represents less than 0.1%. |
Diversified Strategic Income Portfolio
Average Annual Total Returns(1) (unaudited) |
Twelve Months Ended 12/31/05 | 2.56 | % | |||
Five Years Ended 12/31/05 | 5.76 | ||||
Ten Years Ended 12/31/05 | 5.87 | ||||
Inception* through 12/31/05 | 6.08 | ||||
Cumulative Total Return(1) (unaudited) |
12/31/95 through 12/31/05 | 76.97 | % | |||
(1) | Assumes reinvestment of all distributions, including returns of capital, if any, at net asset value. All figures represent past performance and are not a guarantee of future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would have been lower. |
* | Inception date is October 16, 1991. |
Value of $10,000 Invested in the Diversified Strategic Income Portfolio vs. Lehman Brothers U.S. Aggregate Bond Index vs. Blended Index (December 1995 - December 2005) |
The chart above compares the growth in value of a hypothetical $10,000 investment in Diversified Strategic Income Portfolio on December 31, 1995 through December 31, 2005, with that of a similar investment in the Lehman Brothers U.S. Aggregate Bond Index and the Blended Index. Figures for the Lehman Brothers U.S. Aggregate Bond Index, an unmanaged index, are composed of the Lehman Brothers Intermediate Government/ Corporate Bond Index and the Mortgage-Backed Securities Index and include treasury issues, agency issues, corporate bond issues and mortgage-backed securities. The Merrill Lynch GNMA Master Index is a market capitalization weighted index of securities backed by mortgage pools of the Government National Mortgage Association (“GNMA”). The Merrill Lynch Global Bond Index is a broad-based index consisting of fixed-rate, coupon-bearing bonds with an outstanding par greater than or equal to $25 million and a maturity range greater than or equal to one year. This index includes BBB-rated bonds and some bonds that are not rated by the major U.S. rating agencies. The Merrill Lynch High-Yield Master II Index is a market capitalization-weighted index of all domestic and Yankee High-Yield Bonds. Issues included in the index have maturities of at least one year and have a credit rating lower than BBB-Baa3, but are not in default.
Assumes reinvestment of all distributions, including returns of capital, if any, at net asset value. All figures represent past performance and are not a guarantee of future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The graph does 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 voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would have been lower.
Equity Index Portfolio
Special Shareholder Notices
Q. | What were the overall market conditions during the Fund’s reporting period? |
A positive sign for sustainable economic growth came from the industrial sector. For the fourth quarter in a row, operating cash flow exceeded what companies spent on capital goods and inventories. The capability of corporations to increase capital spending is substantial, as the expenditures could be more than accommodated by internal funds. Although cash flow has been strong, the corporate sector is making little demand on the capital markets. After spending most of the past few years as the weakest part of the economy, the industrial sector has made a transition to a strong expansion path. Rising demand has provided a potent stimulus for industrial activity. While production has still not recovered to its previous peak level, the upward trend appears to be encouraging.
Performance Update(1)
1 | The Fund is an underlying investment option of various variable annuity and variable life insurance products. The Fund’s 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 Fund. Past performance is no guarantee of future results. |
Q. | What were the most significant factors affecting Fund performance? |
What were the leading contributors to performance? | ||
A. In the energy sector, our holdings in Exxon Mobil Corp., ConocoPhillips, and Schlumberger Ltd. contributed to performance. Similarly, in the financials sector, our positions in Citigroup Inc., Lehman Brothers Holdings Inc., and Goldman Sachs Group Inc. also added to the overall result. | ||
What were the leading detractors from performance? | ||
A. In the telecommunication services sector, our holdings in Verizon Communications Inc., Sprint Nextel Corp., and CenturyTel Inc. hurt us. Similarly, we were negatively impacted by positions in eBay Inc., Comcast Corp., and Ford Motor Co. |
Q. | Were there any significant changes to the Fund during the reporting period? |
Thank you for your investment in the Equity Index Portfolio. As ever, we appreciate that you have chosen us to manage your assets and we remain focused on seeking to achieve the Fund’s investment goals.
Sincerely,
The TIMCO Asset Management Inc. Portfolio Management Team
February 2, 2006
2 | Lipper, Inc. is a major independent mutual-fund tracking organization. Returns are based on the 12-month period ended December 31, 2005, including the reinvestment of all distributions, including returns of capital, if any, calculated among the 55 funds in the Fund’s Lipper category, and excluding sales charges. |
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 December 31, 2005 and are subject to change and may not be representative of the portfolio manager’s current or future investments. The Fund’s top ten holdings (as a percentage of net assets) as of this date were: General Electric Co. (3.3%), Exxon Mobil Corp. (3.1%), Citigroup Inc. (2.2%), Microsoft Corp. (2.1%), Procter & Gamble Co. (1.7%), Bank of America Corp. (1.6%), Johnson & Johnson (1.6%), American International Group Inc. (1.6%), Pfizer Inc. (1.5%) and Altria Group Inc. (1.4%). Please refer to pages 49 through 65 for a list and percentage breakdown of the Fund’s holdings.
The mention of sector breakdowns is for informational purposes only and should not be construed as a recommendation to purchase or sell any securities. The information provided regarding such sectors is not a sufficient basis upon which to make an investment decision. Investors seeking financial advice regarding the appropriateness of investing in any securities or investment strategies discussed should consult their financial professional. Portfolio holdings are subject to change at any time and may not be representative of the portfolio manager’s current or future investments. The Fund’s top five sector holdings (as a percentage of net assets) as of December 31, 2005 were: Financials (21.3%), Information Technology (15.1%), Health Care (13.3%), Industrials (11.4%) and Consumer Discretionary (10.8%). The Fund’s portfolio composition is subject to change at any time.
RISKS: Derivatives, such as options and futures, can be illiquid and harder to value, especially in declining markets. A small investment in certain derivatives may have a potentially large impact on the fund’s performance. Derivatives can disproportionately increase losses, as stated in the prospectus. 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 | 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. |
ii | The S&P 500 Index is an unmanaged index of 500 stocks that is generally representative of the performance of larger companies in the U.S. |
Equity Index Portfolio
Investment Breakdown |
* | Position represents less than 0.1%. |
Equity Index Portfolio
Average Annual Total Returns(1) (unaudited) |
Class I | Class II | ||||||||
Twelve Months Ended 12/31/05 | 4.52 | % | 4.25 | % | |||||
Five Years Ended 12/31/05 | 0.24 | (0.03 | ) | ||||||
Ten Years Ended 12/31/05 | 8.66 | N/A | |||||||
Inception* through 12/31/05 | 9.99 | 0.47 | |||||||
Cumulative Total Returns(1) (unaudited) |
Class I (12/31/95 through 12/31/05) | 129.36 | % | |||
Class II (Inception* through 12/31/05) | 3.22 | ||||
(1) | Assumes the reinvestment of all distributions, including returns of capital, if any, at net asset value. All figures represent past performance and are not a guarantee of future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would have been lower. |
* | Inception dates for Class I and II shares are October 16, 1991 and March 22, 1999, respectively. |
Equity Index Portfolio
Value of $10,000 Invested in the Equity Index (Class I Shares) vs. S&P 500 Index (December 1995 - December 2005) |
The chart above compares the growth in value of a hypothetical $10,000 investment in Equity Index Portfolio (Class I shares) on December 31, 1995 through December 31, 2005, with that of a similar investment in the S&P 500 Index. The S&P 500 Index is an unmanaged index composed of 500 widely held common stocks listed on the New York Stock Exchange, American Stock Exchange and over-the-counter markets. The performance of the Fund’s other class may be greater or less than the Class I share’s performance indicated on this chart, depending on whether greater or lesser sales charges and fees were incurred by shareholders investing in the other class.
Assumes reinvestment of all distributions, including returns of capital, if any, at net asset value. All figures represent past performance and are not a guarantee of future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The graph does 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 voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would have been lower.
Salomon Brothers Variable Growth & Income Fund
Q. | What were the overall market conditions during the Fund’s reporting period? |
The Chinese government partly floated its currency vs. the dollar and the Yen starting in late July. Gold prices began to rise coincident with the first floating of the Yuan.
General Motors faced two crises in 2005, first the downgrading of its credit rating to below investment grade and second the bankruptcy of Delphi Automotive, its largest parts supplier and onetime spin off. Currently, the debt markets are pricing in a 30% probability of GM’s own bankruptcy within eighteen months. General Motors and Ford are struggling with high costs, declining market shares and a mix shift away from high profit SUV’s. The portfolio has avoided and will continue to avoid any auto related exposure.
Performance Update(1)
1 | The Fund is an underlying investment option of various variable annuity and variable life insurance products. The Fund’s 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 Fund. Past performance is no guarantee of future results. |
2 | Lipper, Inc. is a major independent mutual-fund tracking organization. Returns are based on the 12-month period ended December 31, 2005, including the reinvestment of all distributions, including returns of capital, if any, calculated among the 220 funds in the Fund’s Lipper category, and excluding sales charges. |
Q. | What were the most significant factors affecting Fund performance? |
The Fund was hurt by poor stock picking in the information technology sector. Information technology appears to be seeing a changing of the guard, and the Fund owned too many of the old guard and not enough of the new. Positions in IBM and Dell Inc. detracted from performance.
What were the leading contributors to performance? | ||
A. The biggest contributors to performance were Boeing Co., Nexen Inc. and Coventry Health Care Inc. The best performing sectors were health care, consumer discretionary and industrials. Boeing was helped by terrific orders of the new 787 plane, which trounced rival Airbus’ A350. Nexen had excellent success in oil exploration and development projects. Coventry delivered better than expected cost savings, and saw favorable medical cost trends. The Fund continued to maintain positions in these securities at the end of the period. | ||
What were the leading detractors from performance? | ||
A. The stocks that most hurt performance were OSI Pharmaceuticals, Dell Inc. and Nortel Networks Corp. The worst performing sectors were information technology, consumer staples and utilities. OSI had unfavorable tests of its Tarceva drug, and made, what was in the eyes of Wall Street, a poor acquisition of Eyetech. Dell saw weaker than expected sales. Sales growth at Nortel was insufficient to create earnings leverage. The Fund sold its positions in OSI Pharmaceuticals and Nortel Networks during the period and continued to maintain a position in Dell. |
Q. | Were there any significant changes to the Fund during the reporting period? |
Sincerely,
![]() | ![]() | |
Michael A. Kagan | Kevin Caliendo | |
Portfolio Management Team Leader | Vice President and Investment Officer |
January 20, 2006
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 December 31, 2005 and are subject to change and may not be representative of the portfolio manager’s current or future investments. The Fund’s top ten holdings (as a percentage of net assets) as of this date were: General Electric Co. (3.8%), Microsoft Corp. (3.7%), Boeing Co. (3.1%), Barrick Gold Corp. (2.6%), Wells Fargo & Co. (2.6%), Wal-Mart Stores Inc. (2.5%), Exxon Mobil Corp. (2.4%), Sprint Nextel Corp. (2.3%), JPMorgan Chase & Co. (2.2%) and Total SA, Sponsored ADR (2.1%). Please refer to pages 66 through 70 for a list and percentage breakdown of the Fund’s holdings.
The mention of sector breakdowns is for informational purposes only and should not be construed as a recommendation to purchase or sell any securities. The information provided regarding such sectors is not a sufficient basis upon which to make an investment decision. Investors seeking financial advice regarding the appropriateness of investing in any securities or investment strategies discussed should consult their financial professional. Portfolio holdings are subject to change at any time and may not be representative of the portfolio manager’s current or future investments. The Fund’s top five sector holdings (as a percentage of net assets) as of December 31, 2005 were: Financials (20.2%), Information Technology (15.6%), Industrials (11.6%), Health Care (11.3%) and Consumer Staples (10.9%). The Fund’s portfolio composition is subject to change at any time.
RISKS: High-yield bonds are subject to additional risks such as the increased risk of default and greater volatility because of the lower credit quality of the issues. The Fund may invest in derivatives, such as options and futures, which can be illiquid, may disproportionately increase losses, and have a potentially large impact on fund performance. Investments in small and medium capitalization companies may involve a higher degree of risk and volatility than investments in larger, more established companies. Investments in foreign securities are subject to certain risks of overseas investing including currency fluctuations and changes in political and economic conditions, which could result in significant market fluctuations. 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 | 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. |
ii | 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. |
iii | The S&P 500 Index is an unmanaged index of 500 stocks that is generally representative of the performance of larger companies in the U.S. |
iv | The Russell 1000 Index measures the performance of the 1,000 largest companies in the Russell 3000 Index, which represents approximately 92% of the total market capitalization of the Russell 3000 Index. |
Salomon Brothers Variable Growth & Income Fund
Investment Breakdown |
Salomon Brothers Variable Growth & Income Fund
Average Annual Total Returns(1) (unaudited) |
Twelve Months Ended 12/31/05 | 3.63 | % | |||
Five Years Ended 12/31/05 | (0.54 | ) | |||
Ten Years Ended 12/31/05 | 6.37 | ||||
Inception* through 12/31/05 | 7.55 | ||||
Cumulative Total Return(1) (unaudited) |
12/31/95 through 12/31/05 | 85.52 | % | |||
(1) | Assumes reinvestment of all distributions, including returns of capital, if any, at net asset value. All figures represent past performance and are not a guarantee of future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would have been lower. |
Salomon Brothers Variable Growth & Income Fund
Value of $10,000 Invested in the Salomon Brothers Variable Growth & Income Fund (Class I Shares) vs. Lipper Variable Large-Cap Core Funds Category Average and S&P 500 Index and Russell 1000 Index (December 1995 - December 2005) |
The chart above compares the growth in value of a hypothetical $10,000 investment in Salomon Brothers Variable Growth & Income Fund Class I Shares on December 31, 1995 through December 31, 2005, with that of a similar investment in the Lipper Variable Large-Cap Core Funds Category Average, S&P 500 Index and Russell 1000 Index. The S&P 500 Index is an unmanaged index composed of 500 widely held common stocks listed on the New York Stock Exchange, American Stock Exchange and over-the-counter markets. The Russell 1000 Index measures the performance of the 1,000 largest companies in the Russell 3000 Index, which represents approximately 92% of the total market capitalization of the Russell 3000 Index.
The Lipper Variable Large-Cap Core Funds Category Average is composed of 220 large-cap funds as of December 31, 2005, which underlie variable annuities.
Assumes reinvestment of all distributions, including returns of capital, if any, at net asset value. All figures represent past performance and are not a guarantee of future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The graph does 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 voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would have been lower.
Salomon Brothers Variable Aggressive Growth Fund
Special Shareholder Notice
Fund’s Fee Rate | Advisory | Administration | ||||||||||
Average Daily Net Assets | Fee Rate | Fee Rate | Total | |||||||||
First $1 billion | 0.600% | 0.150% | 0.750% | |||||||||
Next $1 billion | 0.600% | 0.125% | 0.725% | |||||||||
Next $3 billion | 0.600% | 0.100% | 0.700% | |||||||||
Next $5 billion | 0.600% | 0.075% | 0.675% | |||||||||
Next $10 billion | 0.600% | 0.050% | 0.650% | |||||||||
Q. | What were the overall market conditions during the Fund’s reporting period? |
Performance Update1
1 | The Fund is an underlying investment option of various variable annuity and variable life insurance products. The Fund’s 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 Fund. Past performance is no guarantee of future results. |
Q. What were the most significant factors affecting Fund performance?
What were the leading contributors to performance? | ||
A. The greatest contributors to performance for the period included positions in Anadarko Petroleum Corp., Weatherford International Ltd. and Grant Prideco Inc. in energy, Lehman Brothers Holdings Inc. in financials, and UnitedHealth Group Inc. in health care. All five top contributors were still held by the Fund at the close of the year. | ||
What were the leading detractors from performance? | ||
A. The greatest detractors from performance for the period included positions in Biogen Idec Inc. and ImClone Systems Inc. in health care, Comcast Corp. and Time Warner Inc. in consumer discretionary, and Tyco International Ltd. in industrials. All five top detractors were still held by the Fund at the close of the year. |
Q. | Were there any significant changes to the Fund during the reporting period? |
2 | Lipper, Inc. is a major independent mutual-fund tracking organization. Returns are based on the 12-month period ended December 31, 2005, including the reinvestment of all distributions, including returns of capital, if any, calculated among the 115 funds in the Fund’s Lipper category, and excluding sales charges. |
Sincerely,
January 27, 2006
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 December 31, 2005 and are subject to change and may not be representative of the portfolio manager’s current or future investments. The Fund’s top ten holdings (as a percentage of net assets) as of this date were: Lehman Brothers Holdings Inc. (5.1%), UnitedHealth Group Inc. (5.1%), Anadarko Petroleum Corp. (5.0%), Forest Laboratories Inc. (4.8%), Amgen Inc. (4.7%), Merrill Lynch & Co. Inc. (4.6%), Genzyme Corp. (4.6%), Weatherford International Ltd. (4.4%), Time Warner Inc. (4.1%) and Biogen Idec Inc. (4.1%). Please refer to pages 71 through 74 for a list and percentage breakdown of the Fund’s holdings.
The mention of sector breakdowns is for informational purposes only and should not be construed as a recommendation to purchase or sell any securities. The information provided regarding such sectors is not a sufficient basis upon which to make an investment decision. Investors seeking financial advice regarding the appropriateness of investing in any securities or investment strategies discussed should consult their financial professional. Portfolio holdings are subject to change at any time and may not be representative of the portfolio manager’s current or future investments. The Fund’s top five sector holdings (as a percentage of net assets) as of December 31, 2005 were: Health Care (33.6%), Consumer Discretionary (14.7%), Information Technology (14.1%), Energy (11.9%) and Financials (10.7%). The Fund’s portfolio’s composition is subject to change at any time.
RISKS: Investments in small- and medium-capitalization companies may involve a higher degree of risk and volatility than investments in larger, more established companies. Derivatives, such as options and futures, can be illiquid and harder to value, especially in declining markets. A small investment in certain derivatives may have a potentially large impact on the fund’s performance. Derivatives can disproportionately increase losses, as stated in the prospectus. Foreign securities are subject to certain risks of overseas investing including currency fluctuations, and changes in political and economic conditions, which could result in significant market fluctuations. 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 | The Russell 3000 Growth Index measures the performance of those Russell 3000 Index companies with higher price-to-book ratios and higher forecasted growth values. |
Salomon Brothers Variable Aggressive Growth Fund
Investment Breakdown |
Average Annual Total Returns(1) (unaudited) |
Class I | Class II | ||||||||
Twelve Months Ended 12/31/05 | 9.89 | % | 9.64 | % | |||||
Five Years Ended 12/31/05 | 1.38 | N/A | |||||||
Ten Years Ended 12/31/05 | 18.65 | N/A | |||||||
Inception* through 12/31/05 | 18.30 | 15.89 | |||||||
Cumulative Total Returns(1) (unaudited) |
Class I (12/31/95 through 12/31/05) | 452.87 | % | |||
Class II (Inception* through 12/31/05) | 47.57 | ||||
(1) | Assumes reinvestment of all distributions, including returns of capital, if any, at net asset value. All figures represent past performance and are not a guarantee of future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would have been lower. |
* Inception dates for Class I and II shares are December 3, 1993 and May 12, 2003, respectively.
Value of $10,000 Invested in the Salomon Brothers Variable Aggressive Growth Fund (Class I Shares) vs. Nasdaq Composite Index and Russell 3000 Growth Index (December 1995 - December 2005) |
The chart above compares the growth in value of a hypothetical $10,000 investment in Salomon Brothers Variable Aggressive Growth Fund Class I Shares on December 31, 1995 through December 31, 2005, with that of a similar investment in the Nasdaq Composite Index (“Nasdaq”) and Russell 3000 Growth Index. The Nasdaq is a market capitalization price-only index that tracks the performance of domestic common stocks traded on the regular NASDAQ market as well as foreign common stocks and ADRs traded on the National Market System. Russell 3000 Growth Index measures the performance of those Russell 3000 Index companies with higher price-to-book ratios and higher forecasted growth values.
Assumes reinvestment of all distributions, including returns of capital, if any, at net asset value. All figures represent past performance and are not a guarantee of future results. Prior to February 10, 2000, the Fund was managed by an advisor not affiliated with the current advisor. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would have been lower.
Example
Actual Expenses
Based on Actual Total Return(1) |
Beginning | Ending | Annualized | Expenses | ||||||||||||||||||
Actual Total | Account | Account | Expense | Paid During | |||||||||||||||||
Return(2) | Value | Value | Ratio | the Period(3) | |||||||||||||||||
Diversified Strategic Income Portfolio | 0.61 | % | $ | 1,000.00 | $ | 1,006.10 | 0.76 | % | $ | 3.84 | |||||||||||
Equity Index Portfolio | |||||||||||||||||||||
Class I | 5.56 | 1,000.00 | 1,055.60 | 0.35 | 1.81 | ||||||||||||||||
Class II | 5.42 | 1,000.00 | 1,054.20 | 0.60 | 3.11 | ||||||||||||||||
Salomon Brothers Variable | |||||||||||||||||||||
Growth & Income Fund | |||||||||||||||||||||
Class I | 5.56 | 1,000.00 | 1,055.60 | 1.22 | 6.32 | ||||||||||||||||
Salomon Brothers Variable | |||||||||||||||||||||
Aggressive Growth Fund | |||||||||||||||||||||
Class I | 12.92 | 1,000.00 | 1,129.20 | 0.91 | 4.88 | ||||||||||||||||
Class II | 12.75 | 1,000.00 | 1,127.50 | 1.16 | 6.22 | ||||||||||||||||
(1) | For the six months ended December 31, 2005. |
(2) | Assumes reinvestment of all distributions, including returns of capital, if any, at net asset value. Total return is not annualized, as it may not be representative of the total return for the year. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. Past performance is no guarantee of future results. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would have been lower. |
(3) | Expenses (net of voluntary fee waiver and/or expense reimbursements) are equal to each Funds’ or class’ 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. |
Hypothetical Example for Comparison Purposes
Based on Hypothetical Total Return(1) |
Hypothetical | Beginning | Ending | Annualized | Expenses | |||||||||||||||||
Annualized | Account | Account | Expense | Paid During | |||||||||||||||||
Total Return | Value | Value | Ratio | the Period(2) | |||||||||||||||||
Diversified Strategic Income Portfolio | 5.00 | % | $ | 1,000.00 | $ | 1,021.37 | 0.76 | % | $ | 3.87 | |||||||||||
Equity Index Portfolio | |||||||||||||||||||||
Class I | 5.00 | 1,000.00 | 1,023.44 | 0.35 | 1.79 | ||||||||||||||||
Class II | 5.00 | 1,000.00 | 1,022.18 | 0.60 | 3.06 | ||||||||||||||||
Salomon Brothers Variable | |||||||||||||||||||||
Growth & Income Fund | |||||||||||||||||||||
Class I | 5.00 | 1,000.00 | 1,019.05 | 1.22 | 6.21 | ||||||||||||||||
Salomon Brothers Variable | |||||||||||||||||||||
Aggressive Growth Fund | |||||||||||||||||||||
Class I | 5.00 | 1,000.00 | 1,020.62 | 0.91 | 4.63 | ||||||||||||||||
Class II | 5.00 | 1,000.00 | 1,019.36 | 1.16 | 5.90 | ||||||||||||||||
(1) | For the six months ended December 31, 2005. |
(2) | Expenses (net of voluntary fee waiver and/or expense reimbursements) are equal to each Funds’ or class’ 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. |
Schedule of Investments (December 31, 2005) |
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
Face | ||||||||||
Amount | Rating‡ | Security | Value | |||||||
CORPORATE BONDS & NOTES — 20.7% | ||||||||||
Aerospace & Defense — 0.3% | ||||||||||
L-3 Communications Corp., Senior Subordinated Notes: | ||||||||||
$ | 25,000 | BB+ | 7.625% due 6/15/12 | $ | 26,437 | |||||
125,000 | BB+ | 6.375% due 10/15/15 (a) | 125,312 | |||||||
150,000 | BB- | Sequa Corp., Senior Notes, Series B, 8.875% due 4/1/08 | 157,125 | |||||||
Total Aerospace & Defense | 308,874 | |||||||||
Airlines — 0.2% | ||||||||||
Continental Airlines Inc., Pass-Through Certificates: | ||||||||||
19,776 | B+ | Series 2000-2, Class C, 8.312% due 4/2/11 | 17,705 | |||||||
100,000 | B | Series 2001-2, Class D, 7.568% due 12/1/06 | 98,594 | |||||||
United Airlines Inc., Pass-Through Certificates: | ||||||||||
23,260 | NR | Series 2000-1, Class B, 8.030% due 7/1/11 (b) | 16,992 | |||||||
49,094 | Caa1 (i) | Series 2000-2, Class B, 7.811% due 10/1/09 (b) | 42,766 | |||||||
45,000 | NR | Series 2001-1, Class C, 6.831% due 9/1/08 (b) | 31,899 | |||||||
Total Airlines | 207,956 | |||||||||
Auto Components — 0.2% | ||||||||||
25,000 | B | Arvin Capital I, Capital Securities, 9.500% due 2/1/27 | 25,250 | |||||||
25,000 | B- | Rexnord Corp., Senior Subordinated Notes, 10.125% due 12/15/12 | 27,000 | |||||||
134,000 | BB- | TRW Automotive Inc., Senior Subordinated Notes, 9.375% due 2/15/13 | 145,725 | |||||||
Total Auto Components | 197,975 | |||||||||
Automobiles — 0.7% | ||||||||||
300,000 | BBB | DaimlerChrysler North America Holding Corp., 4.050% due 6/4/08 | 292,214 | |||||||
Ford Motor Co.: | ||||||||||
Debentures: | ||||||||||
50,000 | BB+ | 6.625% due 10/1/28 | 32,500 | |||||||
25,000 | BB+ | 8.900% due 1/15/32 | 18,437 | |||||||
250,000 | BB+ | Notes, 7.450% due 7/16/31 | 171,250 | |||||||
General Motors Corp., Senior Debentures: | ||||||||||
15,000 | B | 8.250% due 7/15/23 | 9,713 | |||||||
145,000 | B | 8.375% due 7/15/33 | 96,425 | |||||||
Total Automobiles | 620,539 | |||||||||
Beverages — 0.0% | ||||||||||
40,000 | B+ | Cott Beverages USA Inc., Senior Subordinated Notes, 8.000% due 12/15/11 | 41,200 | |||||||
32 Greenwich Street Series Fund 2005 Annual Report
Schedule of Investments (December 31, 2005) (continued) |
Face | |||||||||||
Amount | Rating‡ | Security | Value | ||||||||
Building Products — 0.1% | |||||||||||
Associated Materials Inc.: | |||||||||||
$ | 50,000 | CCC+ | Senior Discount Notes, step bond to yield 9.399% due 3/1/14 | $ | 24,750 | ||||||
20,000 | CCC+ | Senior Subordinated Notes, 9.750% due 4/15/12 | 19,400 | ||||||||
Total Building Products | 44,150 | ||||||||||
Capital Markets — 0.1% | |||||||||||
65,000 | B- | BCP Crystal U.S. Holdings Corp., Senior Subordinated Notes, 9.625% due 6/15/14 | 72,638 | ||||||||
Chemicals — 1.1% | |||||||||||
50,000 | BB- | Arco Chemical Co., Debentures, 9.800% due 2/1/20 | 56,375 | ||||||||
25,000 | B- | Borden U.S. Finance Corp./ Nova Scotia Finance ULC, Second Priority Senior Secured Notes, 9.000% due 7/15/14 (a) | 24,875 | ||||||||
25,000 | BBB- | FMC Corp., Senior Debentures, 7.750% due 7/1/11 | 27,044 | ||||||||
35,000 | B | Huntsman International LLC, Senior Notes, 9.875% due 3/1/09 | 37,100 | ||||||||
50,000 | BB- | ISP Chemco Inc., Senior Subordinated Notes, Series B, 10.250% due 7/1/11 | 53,500 | ||||||||
75,000 | B+ | ISP Holdings Inc., Senior Secured Notes, Series B, 10.625% due 12/15/09 | 79,125 | ||||||||
105,000 | BB- | Lyondell Chemical Co., Senior Secured Notes, 11.125% due 7/15/12 | 117,994 | ||||||||
85,000 | BBB- | Methanex Corp., Senior Notes, 8.750% due 8/15/12 | 94,987 | ||||||||
50,000 | B- | OM Group Inc., Senior Subordinated Notes, 9.250% due 12/15/11 | 49,125 | ||||||||
75,000 | B- | Resolution Performance Products LLC, Senior Subordinated Notes, 13.500% due 11/15/10 | 79,688 | ||||||||
200,000 | CCC+ | Rhodia SA, Senior Notes, 7.625% due 6/1/10 | 202,000 | ||||||||
114,000 | BB- | Westlake Chemical Corp., Senior Notes, 8.750% due 7/15/11 | 122,550 | ||||||||
Total Chemicals | 944,363 | ||||||||||
Commercial Banks — 1.2% | |||||||||||
550,000 | A+ | Bank of America Corp., Subordinated Notes, 7.400% due 1/15/11 | 606,478 | ||||||||
350,000 | A- | Standard Chartered Bank PLC, Subordinated Notes, 8.000% due 5/30/31 (a) | 453,067 | ||||||||
Total Commercial Banks | 1,059,545 | ||||||||||
Greenwich Street Series Fund 2005 Annual Report 33
Schedule of Investments (December 31, 2005) (continued) |
Face | ||||||||||
Amount | Rating‡ | Security | Value | |||||||
Commercial Services & Supplies — 0.5% | ||||||||||
$ | 50,000 | CCC+ | Allied Security Escrow Corp., Senior Subordinated Notes, 11.375% due 7/15/11 | $ | 48,452 | |||||
Allied Waste North America Inc., Senior Secured Notes, Series B: | ||||||||||
115,000 | BB- | 8.500% due 12/1/08 | 121,325 | |||||||
50,000 | B+ | 7.375% due 4/15/14 | 48,875 | |||||||
75,000 | CCC+ | Brand Services Inc., Senior Notes, 12.000% due 10/15/12 | 79,125 | |||||||
25,000 | B- | Cardtronics Inc., Senior Subordinated Notes, 9.250% due 8/15/13 (a) | 25,000 | |||||||
75,000 | B+ | Cenveo Corp., Senior Notes, 9.625% due 3/15/12 | 81,375 | |||||||
25,000 | BB- | Corrections Corporation of America, Senior Subordinated Notes, 6.250% due 3/15/13 | 24,875 | |||||||
Total Commercial Services & Supplies | 429,027 | |||||||||
Communications Equipment — 0.1% | ||||||||||
75,000 | B- | Nortel Networks Corp., Notes, 6.875% due 9/1/23 | 67,500 | |||||||
Computers & Peripherals — 0.0% | ||||||||||
25,000 | B- | SunGard Data Systems Inc., Senior Notes, 9.125% due 8/15/13 (a) | 26,000 | |||||||
Containers & Packaging — 0.7% | ||||||||||
75,000 | B- | Berry Plastics Corp., Senior Subordinated Notes, 10.750% due 7/15/12 | 81,000 | |||||||
75,000 | B- | Graphic Packaging International Corp., Senior Subordinated Notes, 9.500% due 8/15/13 | 72,000 | |||||||
150,000 | B- | JSG Funding PLC, Senior Notes, 9.625% due 10/1/12 | 150,750 | |||||||
155,000 | BB- | Owens-Brockway Glass Container Inc., Senior Secured Notes, 8.875% due 2/15/09 | 162,556 | |||||||
25,000 | B | Plastipak Holdings Inc., Senior Notes, 8.500% due 12/15/15 (a) | 25,375 | |||||||
Pliant Corp.: | ||||||||||
15,000 | C | Senior Secured Second Lien Notes, 11.125% due 9/1/09 (b) | 13,425 | |||||||
10,000 | C | Senior Subordinated Notes, 13.000% due 6/1/10 (b) | 2,000 | |||||||
25,000 | CCC- | Radnor Holdings Corp., Senior Notes, 11.000% due 3/15/10 | 20,375 | |||||||
100,000 | CCC+ | Stone Container Finance Co. of Canada II, Senior Notes, 7.375% due 7/15/14 | 91,500 | |||||||
35,000 | C | Tekni-Plex Inc., Senior Subordinated Notes, Series B, 12.750% due 6/15/10 | 19,250 | |||||||
Total Containers & Packaging | 638,231 | |||||||||
34 Greenwich Street Series Fund 2005 Annual Report
Schedule of Investments (December 31, 2005) (continued) |
Face | |||||||||||
Amount | Rating‡ | Security | Value | ||||||||
Diversified Consumer Services — 0.3% | |||||||||||
Service Corp. International: | |||||||||||
$ | 55,000 | BB | Debentures, 7.875% due 2/1/13 | $ | 57,887 | ||||||
195,000 | BB | Senior Notes, 6.500% due 3/15/08 | 197,925 | ||||||||
Total Diversified Consumer Services | 255,812 | ||||||||||
Diversified Financial Services — 1.1% | |||||||||||
Alamosa Delaware Inc.: | |||||||||||
44,000 | CCC+ | Senior Discount Notes, step bond to yield 11.437% due 7/31/09 | 48,345 | ||||||||
54,000 | CCC+ | Senior Notes, 11.000% due 7/31/10 | 61,155 | ||||||||
20,000 | BB- | Case Credit Corp., Notes, 6.750% due 10/21/07 | 20,300 | ||||||||
300,000 | A- | EnCana Holdings Finance Corp., 5.800% due 5/1/14 | 313,225 | ||||||||
Ford Motor Credit Co., Notes: | |||||||||||
15,000 | BB+ | 6.625% due 6/16/08 | 13,613 | ||||||||
25,000 | BB+ | 7.875% due 6/15/10 | 22,518 | ||||||||
General Motors Acceptance Corp., Notes: | |||||||||||
20,000 | BB | 7.250% due 3/2/11 | 18,402 | ||||||||
275,000 | BB | 6.875% due 9/15/11 | 251,071 | ||||||||
150,000 | BB | 6.750% due 12/1/14 | 135,160 | ||||||||
40,000 | B- | Nell AF SARL, Senior Notes, 8.375% due 8/15/15 (a) | 39,800 | ||||||||
75,000 | B- | Sensus Metering Systems Inc., Senior Subordinated Notes, 8.625% due 12/15/13 | 66,750 | ||||||||
50,000 | CCC+ | Vanguard Health Holdings Co. I LLC, Senior Discount Notes, step bond to yield 9.384% due 10/1/15 | 36,750 | ||||||||
Total Diversified Financial Services | 1,027,089 | ||||||||||
Diversified Telecommunication Services — 0.5% | |||||||||||
50,000 | D | GT Group Telecom Inc., Senior Discount Notes, step bond to yield 15.233% due 2/1/10 (b)(c)(d) | 0 | ||||||||
25,000 | B+ | Intelsat Bermuda Ltd., Senior Notes, 8.695% due 1/15/12 (a)(e) | 25,531 | ||||||||
75,000 | B | Intelsat Ltd., Senior Discount Notes, step bond to yield 9.207% due 2/1/15 (a) | 49,687 | ||||||||
10,000 | B+ | MCI Inc., Senior Notes, 8.735% due 5/1/14 | 11,088 | ||||||||
50,000 | B- | Northern Telecom Capital Corp., Notes, 7.875% due 6/15/26 | 48,625 | ||||||||
16,000 | B+ | PanAmSat Corp., 9.000% due 8/15/14 | 16,840 | ||||||||
Qwest Communications International Inc., Senior Notes: | |||||||||||
75,000 | B | 7.500% due 2/15/14 | 77,437 | ||||||||
90,000 | B | 7.500% due 2/15/14 (a) | 92,925 | ||||||||
Qwest Corp.: | |||||||||||
10,000 | BB | 7.500% due 6/15/23 | 9,988 | ||||||||
135,000 | BB | Debentures, 6.875% due 9/15/33 | 127,575 | ||||||||
Total Diversified Telecommunication Services | 459,696 | ||||||||||
Greenwich Street Series Fund 2005 Annual Report 35
Schedule of Investments (December 31, 2005) (continued) |
Face | ||||||||||
Amount | Rating‡ | Security | Value | |||||||
Electric Utilities — 0.6% | ||||||||||
Edison Mission Energy, Senior Notes: | ||||||||||
$ | 100,000 | B+ | 10.000% due 8/15/08 | $ | 110,000 | |||||
25,000 | B+ | 7.730% due 6/15/09 | 25,938 | |||||||
25,000 | B+ | 9.875% due 4/15/11 | 29,281 | |||||||
25,000 | B- | Inergy L.P./ Inergy Finance Corp., 6.875% due 12/15/14 | 22,875 | |||||||
90,000 | B | Orion Power Holdings Inc., Senior Notes, 12.000% due 5/1/10 | 102,150 | |||||||
Reliant Energy Inc., Senior Secured Notes: | ||||||||||
25,000 | B+ | 9.250% due 7/15/10 | 25,125 | |||||||
125,000 | B+ | 9.500% due 7/15/13 | 125,937 | |||||||
75,000 | B | Texas Genco LLC/ Texas Genco Financing Corp., Senior Notes, 6.875% due 12/15/14 (a) | 81,563 | |||||||
Total Electric Utilities | 522,869 | |||||||||
Electronic Equipment & Instruments — 0.2% | ||||||||||
Muzak LLC/ Muzak Finance Corp.: | ||||||||||
135,000 | CCC- | Senior Notes, 10.000% due 2/15/09 | 118,462 | |||||||
50,000 | CCC- | Senior Subordinated Notes, 9.875% due 3/15/09 | 27,813 | |||||||
Total Electronic Equipment & Instruments | 146,275 | |||||||||
Energy Equipment & Services — 0.0% | ||||||||||
22,000 | B- | Dresser-Rand Group Inc., Senior Subordinated Notes, 7.625% due 11/1/14 (a) | 22,770 | |||||||
Food & Staples Retailing — 0.3% | ||||||||||
75,000 | B- | Jean Coutu Group Inc., Senior Subordinated Notes, 8.500% due 8/1/14 | 69,000 | |||||||
200,000 | BBB- | Safeway Inc., Senior Debentures, 7.250% due 2/1/31 | 216,462 | |||||||
Total Food & Staples Retailing | 285,462 | |||||||||
Food Products — 0.6% | ||||||||||
45,000 | BB- | Dean Foods Co., Senior Notes, 6.900% due 10/15/17 | 45,900 | |||||||
25,000 | B- | Doane Pet Care Co., Senior Subordinated Notes, 10.625% due 11/15/15 (a) | 26,187 | |||||||
75,000 | B+ | Dole Food Co. Inc., Senior Notes, 7.250% due 6/15/10 | 73,125 | |||||||
355,000 | BBB+ | Kraft Foods Inc., Senior Notes, 5.625% due 11/1/11 | 364,679 | |||||||
Total Food Products | 509,891 | |||||||||
Health Care Providers & Services — 0.9% | ||||||||||
25,000 | B | Community Health Systems Inc., Senior Subordinated Notes, 6.500% due 12/15/12 | 24,469 | |||||||
25,000 | B | DaVita Inc., Senior Notes, 6.625% due 3/15/13 | 25,563 | |||||||
50,000 | B+ | Extendicare Health Services Inc., Senior Subordinated Notes, 9.500% due 7/1/10 | 53,312 | |||||||
140,000 | BB+ | HCA Inc., Debentures, 8.360% due 4/15/24 | 153,342 |
36 Greenwich Street Series Fund 2005 Annual Report
Schedule of Investments (December 31, 2005) (continued) |
Face | ||||||||||
Amount | Rating‡ | Security | Value | |||||||
Health Care Providers & Services — 0.9% (continued) | ||||||||||
$ | 50,000 | B- | IASIS Healthcare LLC/ IASIS Capital Corp., Senior Subordinated Notes, 8.750% due 6/15/14 | $ | 52,750 | |||||
50,000 | CCC+ | InSight Health Services Corp., Senior Subordinated Notes, Series B, 9.875% due 11/1/11 | 38,000 | |||||||
50,000 | B- | Psychiatric Solutions Inc., Senior Subordinated Notes, 7.750% due 7/15/15 | 51,875 | |||||||
Tenet Healthcare Corp., Senior Notes: | ||||||||||
75,000 | B | 7.375% due 2/1/13 | 69,562 | |||||||
25,000 | B | 9.875% due 7/1/14 | 25,438 | |||||||
300,000 | BBB+ | WellPoint Health Networks Inc., Notes, 6.375% due 1/15/12 | 319,057 | |||||||
Total Health Care Providers & Services | 813,368 | |||||||||
Hotels, Restaurants & Leisure — 1.2% | ||||||||||
40,000 | CCC+ | AMC Entertainment Inc., Senior Subordinated Notes, 9.500% due 2/1/11 | 39,550 | |||||||
75,000 | B+ | Boyd Gaming Corp., Senior Subordinated Notes, 6.750% due 4/15/14 | 74,812 | |||||||
75,000 | BB+ | Caesars Entertainment Inc., Senior Subordinated Notes, 8.875% due 9/15/08 | 81,281 | |||||||
25,000 | B- | Carrols Corp. Senior Subordinated Notes, 9.000% due 1/15/13 | 24,438 | |||||||
25,000 | B- | Equinox Holdings Inc., Senior Notes, 9.000% due 12/15/09 | 26,844 | |||||||
75,000 | B- | Gaylord Entertainment Co., Senior Notes, 6.750% due 11/15/14 | 73,875 | |||||||
75,000 | B- | Herbst Gaming Inc., Senior Subordinated Notes, 7.000% due 11/15/14 | 75,000 | |||||||
75,000 | CCC- | Icon Health & Fitness Inc., Senior Subordinated Notes, 11.250% due 4/1/12 | 63,187 | |||||||
50,000 | B | Las Vegas Sands Corp., Senior Notes, 6.375% due 2/15/15 | 48,375 | |||||||
25,000 | B- | Leslie’s Poolmart, Senior Notes, 7.750% due 2/1/13 | 25,187 | |||||||
MGM MIRAGE Inc.: | ||||||||||
125,000 | BB | Senior Notes, 6.750% due 9/1/12 | 127,344 | |||||||
30,000 | B+ | Senior Subordinated Debentures, 7.625% due 7/15/13 | 31,275 | |||||||
80,000 | B+ | Senior Subordinated Notes, Series B, 10.250% due 8/1/07 | 85,700 | |||||||
50,000 | B+ | Mohegan Tribal Gaming Authority, Senior Subordinated Notes, 6.875% due 2/15/15 | 50,625 | |||||||
75,000 | B | Penn National Gaming Inc., Senior Subordinated Notes, 6.875% due 12/1/11 | 76,125 | |||||||
75,000 | B- | Pinnacle Entertainment Inc., Senior Subordinated Notes, 8.750% due 10/1/13 | 80,250 |
Greenwich Street Series Fund 2005 Annual Report 37
Schedule of Investments (December 31, 2005) (continued) |
Face | |||||||||||
Amount | Rating‡ | Security | Value | ||||||||
Hotels, Restaurants & Leisure — 1.2% (continued) | |||||||||||
$ | 25,000 | B+ | Scientific Games Corp., Senior Subordinated Notes, 6.250% due 12/15/12 | $ | 24,719 | ||||||
50,000 | B+ | Turning Stone Casino Resort Enterprise, Senior Notes, 9.125% due 12/15/10 (a) | 51,750 | ||||||||
Total Hotels, Restaurants & Leisure | 1,060,337 | ||||||||||
Household Durables — 0.4% | |||||||||||
19,000 | CCC- | Applica Inc., Senior Subordinated Notes, 10.000% due 7/31/08 | 18,525 | ||||||||
50,000 | CC | Home Interiors & Gifts Inc., Senior Subordinated Notes, 10.125% due 6/1/08 | 35,250 | ||||||||
70,000 | BB- | Schuler Homes Inc., Senior Subordinated Notes, 10.500% due 7/15/11 | 75,600 | ||||||||
50,000 | B- | Sealy Mattress Co., Senior Subordinated Notes, 8.250% due 6/15/14 | 51,750 | ||||||||
35,000 | B+ | Standard Pacific Corp., Senior Subordinated Notes, 9.250% due 4/15/12 | 36,181 | ||||||||
98,000 | B | Tempur-Pedic Inc./ Tempur Production USA Inc., Senior Subordinated Notes, 10.250% due 8/15/10 | 106,453 | ||||||||
Total Household Durables | 323,759 | ||||||||||
Independent Power Producers & Energy Traders — 0.6% | |||||||||||
55,000 | B- | AES Corp., Senior Notes, 9.500% due 6/1/09 | 59,675 | ||||||||
100,000 | D | Calpine Corp., Second Priority Senior Secured Notes, 8.500% due 7/15/10 (a)(b) | 82,500 | ||||||||
Dynegy Holdings Inc.: | |||||||||||
125,000 | B- | Second Priority Senior Secured Notes, 10.650% due 7/15/08 (a)(e) | 132,656 | ||||||||
Senior Debentures: | |||||||||||
125,000 | CCC+ | 7.125% due 5/15/18 | 111,875 | ||||||||
30,000 | CCC+ | 7.625% due 10/15/26 | 26,850 | ||||||||
50,000 | B- | Mirant North America LLC, Senior Notes, 7.375% due 12/31/13 (a) | 50,813 | ||||||||
64,000 | B | NRG Energy Inc., Second Priority Senior Secured Notes, 8.000% due 12/15/13 | 71,680 | ||||||||
Total Independent Power Producers & Energy Traders | 536,049 | ||||||||||
Industrial Conglomerates — 0.1% | |||||||||||
50,000 | NR | Aqua-Chem Inc., Senior Subordinated Notes, 11.250% due 7/1/08 (c) | 42,000 | ||||||||
50,000 | B | Koppers Inc., Senior Notes, 9.875% due 10/15/13 | 54,500 | ||||||||
Total Industrial Conglomerates | 96,500 | ||||||||||
38 Greenwich Street Series Fund 2005 Annual Report
Schedule of Investments (December 31, 2005) (continued) |
Face | |||||||||||
Amount | Rating‡ | Security | Value | ||||||||
Insurance — 0.1% | |||||||||||
$ | 65,000 | BB | Markel Capital Trust I, Capital Securities, Series B, 8.710% due 1/1/46 | $ | 69,967 | ||||||
IT Services — 0.2% | |||||||||||
200,000 | B | Iron Mountain Inc., Senior Subordinated Notes, 8.625% due 4/1/13 | 209,500 | ||||||||
Machinery — 0.1% | |||||||||||
100,000 | B- | Mueller Holdings Inc., Discount Notes, step bond to yield 12.068% due 4/15/14 | 75,750 | ||||||||
30,000 | B+ | NMHG Holding Co., Senior Notes, 10.000% due 5/15/09 | 32,100 | ||||||||
30,000 | CCC+ | Wolverine Tube Inc., Senior Notes, 10.500% due 4/1/09 | 23,400 | ||||||||
Total Machinery | 131,250 | ||||||||||
Media — 3.0% | |||||||||||
125,000 | B | Advanstar Communications Inc., Senior Secured Notes, 10.750% due 8/15/10 | 137,656 | ||||||||
65,000 | B+ | Cablevision Systems Corp., Senior Notes, Series B, 8.716% due 4/1/09 (e) | 65,975 | ||||||||
50,000 | B | Cadmus Communications Corp., Senior Subordinated Notes, 8.375% due 6/15/14 | 51,625 | ||||||||
188,212 | B- | CanWest Media Inc., Senior Subordinated Notes, 8.000% due 9/15/12 | 193,153 | ||||||||
Charter Communications Holdings LLC: | |||||||||||
175,000 | CCC- | Senior Accreting Notes, step bond to yield 18.099% due 5/15/14 (a) | 98,000 | ||||||||
189,000 | CCC- | Senior Secured Notes, 11.000% due 10/1/15 (a) | 159,705 | ||||||||
245,000 | BBB+ | Comcast Cable Communications Holdings Inc., Notes, 8.375% due 3/15/13 | 283,974 | ||||||||
CSC Holdings Inc., Senior Notes: | |||||||||||
50,000 | B+ | 7.000% due 4/15/12 (a) | 47,500 | ||||||||
30,000 | B+ | Series B, 7.625% due 4/1/11 | 30,000 | ||||||||
65,000 | B | Dex Media East LLC/ Dex Media East Finance Co., Senior Notes, Series B, 12.125% due 11/15/12 | 76,375 | ||||||||
100,000 | B | Dex Media West LLC/ Dex Media Finance Co., Senior Notes, Series B, 8.500% due 8/15/10 | 105,250 | ||||||||
81,000 | BB- | DIRECTV Holdings LLC/ DIRECTV Financing Co. Inc., Senior Notes, 8.375% due 3/15/13 | 87,480 | ||||||||
150,000 | BB- | EchoStar DBS Corp., Senior Notes, 6.625% due 10/1/14 | 144,562 |
Greenwich Street Series Fund 2005 Annual Report 39
Schedule of Investments (December 31, 2005) (continued) |
Face | ||||||||||
Amount | Rating‡ | Security | Value | |||||||
Media — 3.0% (continued) | ||||||||||
$ | 100,000 | B- | Houghton Mifflin Co., Senior Discount Notes, step bond to yield 11.492% due 10/15/13 | $ | 79,000 | |||||
130,000 | CCC+ | Insight Communications Co. Inc., Senior Discount Notes, step bond to yield 12.269% due 2/15/11 | 136,500 | |||||||
40,000 | B | Lamar Media Corp. Senior Subordinated Notes, 6.625% due 8/15/15 | 40,350 | |||||||
175,000 | B- | LodgeNet Entertainment Corp., Senior Subordinated Debentures, 9.500% due 6/15/13 | 191,187 | |||||||
175,000 | B | Mediacom LLC/ Mediacom Capital Corp., Senior Notes, 9.500% due 1/15/13 | 171,719 | |||||||
100,000 | B+ | R.H. Donnelley Finance Corp. I, Senior Subordinated Notes, 10.875% due 12/15/12 (a) | 113,250 | |||||||
25,000 | B+ | R.H. Donnelley Inc., Senior Subordinated Notes, 10.875% due 12/15/12 | 28,313 | |||||||
25,000 | B | Rainbow National Services LLC, Senior Subordinated Debentures, 10.375% due 9/1/14 (a) | 28,125 | |||||||
75,000 | B | Sinclair Broadcast Group Inc., Senior Subordinated Notes, 8.750% due 12/15/11 | 79,312 | |||||||
250,000 | BBB+ | Time Warner Inc., Senior Notes, 7.625% due 4/15/31 | 279,237 | |||||||
33,000 | B+ | Yell Finance BV, Senior Discount Notes, step bond to yield 12.263% due 8/1/11 | 34,073 | |||||||
Total Media | 2,662,321 | |||||||||
Metals & Mining — 0.3% | ||||||||||
75,000 | B+ | Aleris International Inc., Senior Secured Notes, 10.375% due 10/15/10 | 82,312 | |||||||
75,000 | B | Novelis Inc., Senior Notes, 7.500% due 2/15/15 (a) | 70,313 | |||||||
75,000 | BBB | Phelps Dodge Corp., Senior Notes, 8.750% due 6/1/11 | 86,331 | |||||||
Total Metals & Mining | 238,956 | |||||||||
Multi-Utilities — 0.3% | ||||||||||
45,000 | BB+ | Avista Corp., Senior Notes, 9.750% due 6/1/08 | 49,343 | |||||||
200,000 | BBB | Dominion Resources Inc., Senior Notes, 6.300% due 3/15/33 | 204,156 | |||||||
Total Multi-Utilities | 253,499 | |||||||||
Multiline Retail — 0.0% | ||||||||||
25,000 | B- | Neiman Marcus Group Inc., Senior Subordinated Notes, 10.375% due 10/15/15 (a) | 25,531 | |||||||
Oil, Gas & Consumable Fuels — 2.0% | ||||||||||
Chesapeake Energy Corp., Senior Notes: | ||||||||||
100,000 | BB | 6.625% due 1/15/16 | 101,750 | |||||||
50,000 | BB | 6.250% due 1/15/18 | 49,250 | |||||||
88,000 | B+ | Cimarex Energy Co., Senior Notes, 9.600% due 3/15/12 | 95,920 |
40 Greenwich Street Series Fund 2005 Annual Report
Schedule of Investments (December 31, 2005) (continued) |
Face | ||||||||||
Amount | Rating‡ | Security | Value | |||||||
Oil, Gas & Consumable Fuels — 2.0% (continued) | ||||||||||
El Paso Corp., Medium-Term Notes: | ||||||||||
$ | 50,000 | B- | 7.375% due 12/15/12 | $ | 50,500 | |||||
350,000 | B- | 7.800% due 8/1/31 | 350,875 | |||||||
75,000 | B | EXCO Resources Inc., Senior Notes, 7.250% due 1/15/11 | 76,500 | |||||||
175,000 | BB | Gaz Capital SA, 8.625% due 4/28/34 | 222,250 | |||||||
25,000 | BB- | Massey Energy Co., Senior Notes, 6.625% due 11/15/10 | 25,531 | |||||||
35,000 | BB- | SESI LLC, Senior Notes, 8.875% due 5/15/11 | 36,838 | |||||||
75,000 | B- | Stone Energy Corp., Senior Subordinated Notes, 6.750% due 12/15/14 | 71,438 | |||||||
105,000 | B | Swift Energy Co., Senior Subordinated Notes, 9.375% due 5/1/12 | 113,400 | |||||||
275,000 | BBB- | Valero Energy Corp., Notes, 4.750% due 6/15/13 | 267,331 | |||||||
Vintage Petroleum Inc.: | ||||||||||
50,000 | BB- | Senior Notes, 8.250% due 5/1/12 | 53,875 | |||||||
25,000 | B | Senior Subordinated Notes, 7.875% due 5/15/11 | 26,250 | |||||||
Williams Cos. Inc.: | ||||||||||
150,000 | B+ | Notes, 7.125% due 9/1/11 | 156,562 | |||||||
125,000 | B+ | Senior Notes, 7.625% due 7/15/19 | 134,687 | |||||||
Total Oil, Gas & Consumable Fuels | 1,832,957 | |||||||||
Paper & Forest Products — 0.2% | ||||||||||
50,000 | BB- | Appleton Papers Inc., Senior Notes, 8.125% due 6/15/11 | 48,875 | |||||||
75,000 | B+ | Bowater Canada Finance Corp., Notes, 7.950% due 11/15/11 | 73,125 | |||||||
Buckeye Technologies Inc.: | ||||||||||
25,000 | B+ | Senior Notes, 8.500% due 10/1/13 | 25,125 | |||||||
23,000 | B | Senior Subordinated Notes, 9.250% due 9/15/08 | 23,115 | |||||||
25,000 | B+ | Domtar Inc., Notes, 7.125% due 8/15/15 | 21,438 | |||||||
Total Paper & Forest Products | 191,678 | |||||||||
Personal Products — 0.0% | ||||||||||
50,000 | CCC+ | DEL Laboratories Inc., Senior Subordinated Notes, 8.000% due 2/1/12 | 39,750 | |||||||
Pharmaceuticals — 0.1% | ||||||||||
75,000 | BB- | Valeant Pharmaceuticals International, Senior Notes, 7.000% due 12/15/11 | 74,063 | |||||||
Greenwich Street Series Fund 2005 Annual Report 41
Schedule of Investments (December 31, 2005) (continued) |
Face | ||||||||||
Amount | Rating‡ | Security | Value | |||||||
Real Estate — 0.9% | ||||||||||
$ | 275,000 | BBB | Boston Properties LP, Senior Notes, 6.250% due 1/15/13 | $ | 288,899 | |||||
130,000 | BB- | Host Marriott LP, Senior Notes, Series I, 9.500% due 1/15/07 | 135,200 | |||||||
300,000 | BBB- | iStar Financial Inc., Senior Notes, 5.150% due 3/1/12 | 290,913 | |||||||
75,000 | CCC+ | MeriStar Hospitality Operating Partnership LP/ MeriStar Hospitality Finance Corp., Senior Notes, 10.500% due 6/15/09 | 79,406 | |||||||
Total Real Estate | 794,418 | |||||||||
Semiconductors & Semiconductor Equipment — 0.2% | ||||||||||
Amkor Technology Inc.: | ||||||||||
125,000 | CCC+ | Senior Notes, 7.125% due 3/15/11 | 110,625 | |||||||
60,000 | CCC | Senior Subordinated Notes, 10.500% due 5/1/09 | 55,500 | |||||||
Total Semiconductors & Semiconductor Equipment | 166,125 | |||||||||
Textiles, Apparel & Luxury Goods — 0.2% | ||||||||||
75,000 | B- | Levi Strauss & Co., Senior Notes, 9.750% due 1/15/15 | 78,375 | |||||||
125,000 | B- | Simmons Co., Senior Discount Notes, step bond to yield 9.955% due 12/15/14 (a) | 68,125 | |||||||
Total Textiles, Apparel & Luxury Goods | 146,500 | |||||||||
Thrifts & Mortgage Finance — 0.1% | ||||||||||
100,000 | CCC- | Ocwen Capital Trust I, Capital Securities, 10.875% due 8/1/27 | 106,000 | |||||||
Wireless Telecommunication Services — 1.0% | ||||||||||
50,600 | CCC | AirGate PCS Inc., Senior Secured Subordinated Notes, 9.375% due 9/1/09 | 53,130 | |||||||
225,000 | A | New Cingular Wireless Services Inc., Senior Notes, 8.750% due 3/1/31 | 298,972 | |||||||
125,000 | A- | Nextel Communications Inc., Senior Notes, Series D, 7.375% due 8/1/15 | 132,018 | |||||||
49,000 | B- | SBA Communications Corp., Senior Notes, 8.500% due 12/1/12 | 54,635 | |||||||
250,000 | A- | Sprint Capital Corp., Notes, 8.375% due 3/15/12 | 290,098 | |||||||
50,000 | B- | UbiquiTel Operating Co., Senior Notes, 9.875% due 3/1/11 | 55,625 | |||||||
Total Wireless Telecommunication Services | 884,478 | |||||||||
TOTAL CORPORATE BONDS & NOTES (Cost — $18,344,159) | 18,544,868 | |||||||||
42 Greenwich Street Series Fund 2005 Annual Report
Schedule of Investments (December 31, 2005) (continued) |
Face | ||||||||||
Amount | Rating‡ | Security | Value | |||||||
ASSET-BACKED SECURITIES — 1.8% | ||||||||||
Credit Card — 0.5% | ||||||||||
$ | 42,854 | B | First Consumers Master Trust, Series 2001-A, Class A, 4.679% due 9/15/08 (e) | $ | 42,611 | |||||
423,000 | BBB | Metris Master Trust, Series 2001-2, Class B, 5.450% due 11/20/09 (e) | 423,907 | |||||||
Total Credit Card | 466,518 | |||||||||
Home Equity — 1.3% | ||||||||||
200,000 | A | Ameriquest Mortgage Securities Inc., Series 2004-R11, Class M5, 5.579% due 11/25/34 (e) | 203,533 | |||||||
Bear Stearns Asset-Backed Securities NIM Trust: | ||||||||||
599 | BBB | Series 2003-HE1N, Class N1, 6.500% due 1/25/34 (a) | 599 | |||||||
27,457 | BBB | Series 2004-FR1N, Class A1, 5.000% due 5/25/34 (a) | 27,343 | |||||||
40,004 | BBB | Series 2004-HE6N, Class A1, 5.250% due 8/25/34 (a) | 39,858 | |||||||
Countrywide Asset-Backed Certificates: | ||||||||||
270,000 | AA | Series 2004-05, Class M4, 5.629% due 6/25/34 (e) | 273,992 | |||||||
37,138 | BBB | Series 2004-05N, Class N1, 5.500% due 10/25/35 (a) | 37,036 | |||||||
Novastar Home Equity Loan: | ||||||||||
90,000 | A | Series 2003-04, Class M2, 6.004% due 2/25/34 (e) | 91,581 | |||||||
200,000 | A+ | Series 2004-01, Class M4, 5.354% due 6/25/34 (e) | 200,901 | |||||||
Sail Net Interest Margin Notes: | ||||||||||
10,224 | BBB | Series 2003-003, Class A, 7.750% due 4/27/33 (a) | 10,189 | |||||||
24,617 | BBB+ | Series 2004-004A, Class A, 5.000% due 4/27/34 (a) | 24,603 | |||||||
55,270 | BBB | Series 2004-11A, Class A2, 4.750% due 1/27/35 (a) | 54,988 | |||||||
60,441 | BB+ | Series 2004-11A, Class B, 7.500% due 1/27/35 (a) | 59,337 | |||||||
74,865 | BBB- | Series 2004-BN2A, Class A, 5.000% due 12/27/34 (a) | 74,741 | |||||||
Total Home Equity | 1,098,701 | |||||||||
TOTAL ASSET-BACKED SECURITIES (Cost — $1,510,124) | 1,565,219 | |||||||||
MORTGAGE-BACKED SECURITIES — 49.7% | ||||||||||
FHLMC — 21.7% | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Gold: | ||||||||||
142,309 | 7.000% due 2/1/15-5/1/16 | 147,707 | ||||||||
198,133 | 6.500% due 9/1/31 | 203,520 | ||||||||
15,100,000 | 5.000% due 1/12/36 (f)(g) | 14,618,688 | ||||||||
2,000,000 | 5.500% due 1/12/36 (f)(g) | 1,981,876 | ||||||||
2,500,000 | 6.000% due 1/12/36 (f)(g) | 2,525,000 | ||||||||
Total FHLMC | 19,476,791 | |||||||||
Greenwich Street Series Fund 2005 Annual Report 43
Schedule of Investments (December 31, 2005) (continued) |
Face | ||||||||||
Amount | Rating‡ | Security | Value | |||||||
FNMA — 27.5% | ||||||||||
Federal National Mortgage Association (FNMA): | ||||||||||
$ | 775,769 | 6.500% due 3/1/16-3/1/32 | $ | 797,874 | ||||||
1,387,787 | 6.000% due 8/1/16-4/1/32 | 1,406,273 | ||||||||
164,423 | 5.500% due 12/1/16 | 165,680 | ||||||||
3,000,000 | 4.000% due 1/12/21 (f)(g) | 2,865,000 | ||||||||
63,138 | 7.500% due 2/1/30-7/1/31 | 66,169 | ||||||||
648,299 | 7.000% due 5/1/30-4/1/32 | 676,827 | ||||||||
2,600,000 | 4.500% due 1/12/36 (f)(g) | 2,448,875 | ||||||||
1,500,000 | 5.000% due 1/12/36 (f)(g) | 1,453,593 | ||||||||
9,250,000 | 5.500% due 1/12/36 (f)(g) | 9,160,386 | ||||||||
5,500,000 | 6.000% due 1/12/36 (f)(g) | 5,551,562 | ||||||||
Total FNMA | 24,592,239 | |||||||||
GNMA — 0.5% | ||||||||||
Government National Mortgage Association (GNMA): | ||||||||||
77,749 | 7.000% due 6/15/28-7/15/29 | 81,731 | ||||||||
361,893 | 6.500% due 9/15/28-2/15/31 | 378,814 | ||||||||
Total GNMA | 460,545 | |||||||||
TOTAL MORTGAGE-BACKED SECURITIES (Cost — $45,152,871) | 44,529,575 | |||||||||
COLLATERALIZED MORTGAGE OBLIGATION — 0.4% | ||||||||||
388,155 | AAA | Commercial Mortgage Pass-Through Certificates, Series 2001-J2A, Class A1, 5.447% due 7/16/34 (a) (Cost — $402,332) | 392,882 | |||||||
U.S. GOVERNMENT & AGENCY OBLIGATIONS — 19.7% | ||||||||||
U.S. Government Obligations — 19.7% | ||||||||||
U.S. Treasury Notes: | ||||||||||
1,000,000 | 3.625% due 1/15/10 | 972,891 | ||||||||
700,000 | 4.000% due 3/15/10 | 690,184 | ||||||||
6,400,000 | 4.000% due 4/15/10 (h) | 6,309,005 | ||||||||
2,500,000 | 4.125% due 8/15/10 | 2,476,173 | ||||||||
2,100,000 | 5.000% due 2/15/11 | 2,163,575 | ||||||||
2,500,000 | 3.875% due 2/15/13 | 2,423,928 | ||||||||
630,000 | 4.250% due 11/15/14 | 622,863 | ||||||||
2,000,000 | 4.250% due 8/15/15 (h) | 1,974,766 | ||||||||
TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS (Cost — $17,920,979) | 17,633,385 | |||||||||
44 Greenwich Street Series Fund 2005 Annual Report
Schedule of Investments (December 31, 2005) (continued) |
Shares | Security | Value | ||||||||
COMMON STOCKS — 0.4% | ||||||||||
CONSUMER STAPLES — 0.0% | ||||||||||
Food Products — 0.0% | ||||||||||
3,630 | Aurora Foods Inc. (c)(d)* | $ | 0 | |||||||
FINANCIALS — 0.0% | ||||||||||
Diversified Financial Services — 0.0% | ||||||||||
369 | Outsourcing Solutions Inc. (d)* | 1,567 | ||||||||
INDUSTRIALS — 0.0% | ||||||||||
Aerospace & Defense — 0.0% | ||||||||||
95 | Northrop Grumman Corp. | 5,710 | ||||||||
INFORMATION TECHNOLOGY — 0.0% | ||||||||||
Communications Equipment — 0.0% | ||||||||||
578 | Motorola Inc. | 13,057 | ||||||||
Semiconductors & Semiconductor Equipment — 0.0% | ||||||||||
63 | Freescale Semiconductor Inc., Class B Shares* | 1,586 | ||||||||
TOTAL INFORMATION TECHNOLOGY | 14,643 | |||||||||
TELECOMMUNICATION SERVICES — 0.4% | ||||||||||
Diversified Telecommunication Services — 0.2% | ||||||||||
66 | McLeodUSA Inc., Class A Shares* | 1 | ||||||||
6,485 | Telewest Global Inc.* | 154,472 | ||||||||
Total Diversified Telecommunication Services | 154,473 | |||||||||
Wireless Telecommunication Services — 0.2% | ||||||||||
6,004 | Alamosa Holdings Inc.* | 111,735 | ||||||||
1,308 | Crown Castle International Corp.* | 35,198 | ||||||||
Total Wireless Telecommunication Services | 146,933 | |||||||||
TOTAL TELECOMMUNICATION SERVICES | 301,406 | |||||||||
TOTAL COMMON STOCKS (Cost — $402,637) | 323,326 | |||||||||
CONVERTIBLE PREFERRED STOCKS — 0.2% | ||||||||||
TELECOMMUNICATION SERVICES — 0.2% | ||||||||||
Wireless Telecommunication Services — 0.2% | ||||||||||
125 | Alamosa Holdings Inc., Series B, 7.500% due 7/31/13 | 171,422 | ||||||||
700 | Crown Castle International Corp., 6.250% due 8/15/12 | 37,100 | ||||||||
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost — $56,298) | 208,522 | |||||||||
Greenwich Street Series Fund 2005 Annual Report 45
Schedule of Investments (December 31, 2005) (continued) |
Warrants | Security | Value | ||||||||
WARRANTS — 0.0% | ||||||||||
50 | American Tower Corp., Class A Shares, Expires 8/1/08 (a)* | $ | 19,138 | |||||||
60 | Cybernet Internet Services International Inc., Expires 7/1/09 (a)(c)(d)* | 0 | ||||||||
50 | GT Group Telecom Inc., Class B Shares, Expires 2/1/10 (a)(c)(d)* | 0 | ||||||||
50 | IWO Holdings Inc., Expires 1/15/11 (a)(c)(d)* | 0 | ||||||||
60 | Merrill Corp., Class B Shares, Expires 5/1/09 (a)(c)(d)* | 0 | ||||||||
10 | Pliant Corp., Expires 6/1/10 (a)(c)(d)* | 0 | ||||||||
150 | RSL Communications Ltd., Class A Shares, Expires 11/15/06 (c)(d)* | 0 | ||||||||
1,000 | United Mexican States, Series XW10, Expires 10/10/06* | 4,250 | ||||||||
TOTAL WARRANTS (Cost — $26,526) | 23,388 | |||||||||
Face | ||||||||||
Amount† | Rating‡ | |||||||||
SOVEREIGN BONDS — 5.1% | ||||||||||
Argentina — 0.2% | ||||||||||
Republic of Argentina: | ||||||||||
$ | 209,260 | ARS | B- | 5.830% due 12/31/33 | 75,461 | |||||
70,345 | B- | Discount Notes, 8.280% due 12/31/33 | 59,266 | |||||||
195,557 | NR | Series GDP, zero coupon, due 12/15/35 (e) | 10,365 | |||||||
593,471 | ARS | NR | Series PGDP, zero coupon, due 12/15/35 (e) | 9,315 | ||||||
Total Argentina | 154,407 | |||||||||
Brazil — 1.1% | ||||||||||
Federative Republic of Brazil: | ||||||||||
250,000 | BB- | 8.750% due 2/4/25 | 276,875 | |||||||
485,000 | BB- | Collective Action Securities, 8.000% due 1/15/18 | 523,679 | |||||||
214,122 | BB- | DCB, Series L, 5.250% due 4/15/12 | 211,980 | |||||||
Total Brazil | 1,012,534 | |||||||||
Bulgaria — 0.1% | ||||||||||
50,000 | BBB | Republic of Bulgaria, 8.250% due 1/15/15 | 60,500 | |||||||
Colombia — 0.3% | ||||||||||
Republic of Colombia: | ||||||||||
50,000 | BB | 10.000% due 1/23/12 | 59,550 | |||||||
50,000 | BB | 10.750% due 1/15/13 | 62,250 | |||||||
125,000 | BB | 8.125% due 5/21/24 | 135,313 | |||||||
Total Colombia | 257,113 | |||||||||
Ecuador — 0.1% | ||||||||||
75,000 | CCC+ | Republic of Ecuador, step bond to yield 11.055% due 8/15/30 | 68,438 | |||||||
Italy — 0.4% | ||||||||||
350,000 | AA- | Region of Lombardy, 5.804% due 10/25/32 | 378,702 | |||||||
46 Greenwich Street Series Fund 2005 Annual Report
Schedule of Investments (December 31, 2005) (continued) |
Face | ||||||||||
Amount† | Rating‡ | Security | Value | |||||||
Mexico — 0.9% | ||||||||||
United Mexican States: | ||||||||||
$ | 225,000 | BBB | 8.125% due 12/30/19 | $ | 276,750 | |||||
Series A, Notes: | ||||||||||
225,000 | BBB | 6.375% due 1/16/13 | 239,625 | |||||||
275,000 | BBB | 5.875% due 1/15/14 | 285,312 | |||||||
Total Mexico | 801,687 | |||||||||
Panama — 0.2% | ||||||||||
Republic of Panama: | ||||||||||
50,000 | BB | 7.250% due 3/15/15 | 53,325 | |||||||
75,000 | BB | 9.375% due 1/16/23 | 94,313 | |||||||
Total Panama | 147,638 | |||||||||
Peru — 0.2% | ||||||||||
Republic of Peru: | ||||||||||
50,000 | BB | 9.125% due 2/21/12 | 57,375 | |||||||
73,500 | BB | FLIRB, 5.000% due 3/7/17 | 69,090 | |||||||
61,500 | BB | PDI, 5.000% due 3/7/17 | 58,348 | |||||||
Total Peru | 184,813 | |||||||||
Philippines — 0.4% | ||||||||||
Republic of the Philippines: | ||||||||||
50,000 | BB- | 8.375% due 3/12/09 | 53,563 | |||||||
50,000 | BB- | 8.875% due 3/17/15 | 55,437 | |||||||
100,000 | BB- | 9.875% due 1/15/19 | 118,875 | |||||||
75,000 | BB- | 10.625% due 3/16/25 | 95,437 | |||||||
50,000 | BB- | 9.500% due 2/2/30 | 58,875 | |||||||
Total Philippines | 382,187 | |||||||||
Russia — 0.4% | ||||||||||
250,000 | BBB | Russian Federation, 11.000% due 7/24/18 | 369,687 | |||||||
South Africa — 0.1% | ||||||||||
50,000 | BBB+ | Republic of South Africa, 6.500% due 6/2/14 | 54,125 | |||||||
Turkey — 0.4% | ||||||||||
Republic of Turkey: | ||||||||||
100,000 | BB- | 9.000% due 6/30/11 | 114,250 | |||||||
25,000 | BB- | 11.500% due 1/23/12 | 31,781 | |||||||
75,000 | BB- | 7.375% due 2/5/25 | 77,625 | |||||||
100,000 | BB- | 11.875% due 1/15/30 | 154,000 | |||||||
Total Turkey | 377,656 | |||||||||
Greenwich Street Series Fund 2005 Annual Report 47
Schedule of Investments (December 31, 2005) (continued) |
Face | ||||||||||
Amount† | Rating‡ | Security | Value | |||||||
Venezuela — 0.3% | ||||||||||
Bolivarian Republic of Venezuela, Collective Action Security: | ||||||||||
$ | 150,000 | B+ | 10.750% due 9/19/13 | $ | 184,875 | |||||
75,000 | B+ | 9.375% due 1/13/34 | 89,063 | |||||||
Total Venezuela | 273,938 | |||||||||
TOTAL SOVEREIGN BONDS (Cost — $4,266,505) | 4,523,425 | |||||||||
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT (Cost — $88,082,431) | 87,744,590 | |||||||||
SHORT-TERM INVESTMENT — 46.6% | ||||||||||
Repurchase Agreement — 46.6% | ||||||||||
$ | 41,675,000 | Interest in $577,312,000 joint tri-party repurchase agreement dated 12/30/05 with Morgan Stanley, 4.250% due 1/3/06; Proceeds at maturity — $41,694,680; (Fully collateralized by various U.S. government agency obligations, 0.000% to 6.300% due 2/5/07 to 10/6/25; Market value — $42,949,861) (Cost — $41,675,000) (h) | 41,675,000 | |||||||
TOTAL INVESTMENTS — 144.6% (Cost — $129,757,431#) | 129,419,590 | |||||||||
Liabilities in Excess of Other Assets — (44.6)% | (39,898,077) | |||||||||
TOTAL NET ASSETS — 100.0% | $ | 89,521,513 | ||||||||
‡ | All ratings are by Standard & Poor’s Ratings Service, unless otherwise footnoted. All ratings are unaudited. |
* | Non-income producing security. |
† | Face amount denominated in U.S. dollars, unless otherwise indicated. |
(a) | 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 Trustees, unless otherwise noted. |
(b) | Security is currently in default. |
(c) | Illiquid security. |
(d) | Security is valued in good faith at fair value by or under the direction of the Board of Trustees (See Note 1). |
(e) | Variable rate security. Interest rate disclosed is that which is in effect at December 31, 2005. |
(f) | This security is traded on a “to-be-announced” basis (See Note 1). |
(g) | All or a portion of this security is acquired under mortgage dollar roll agreement (See Notes 1 and 3). |
(h) | All or a portion of this security is segregated for open futures contracts, TBA’s and mortgage dollar rolls. |
(i) | Ratings by Moody’s Investors Service. All ratings are unaudited. |
# | Aggregate cost for federal income tax purposes is $129,774,456. |
Abbreviations used in this schedule: | |
ARS — Argentine Peso | |
DCB — Debt Conversion Bond | |
FLIRB — Front-Loaded Interest Reduction Bonds | |
GDP — Gross Domestic Product | |
NIM — Net Interest Margin | |
PDI — Past Due Interest |
48 Greenwich Street Series Fund 2005 Annual Report
Schedule of Investments (December 31, 2005) |
EQUITY INDEX PORTFOLIO
Shares | Security | Value | ||||||
COMMON STOCKS — 100.1% | ||||||||
CONSUMER DISCRETIONARY — 10.8% | ||||||||
Auto Components — 0.2% | ||||||||
9,248 | Cooper Tire & Rubber Co. | $ | 141,679 | |||||
22,568 | Dana Corp. | 162,038 | ||||||
26,308 | Goodyear Tire & Rubber Co.* | 457,233 | ||||||
28,596 | Johnson Controls Inc. | 2,084,935 | ||||||
Total Auto Components | 2,845,885 | |||||||
Automobiles — 0.3% | ||||||||
275,291 | Ford Motor Co. | 2,125,247 | ||||||
84,129 | General Motors Corp. | 1,633,785 | ||||||
40,900 | Harley-Davidson Inc. | 2,105,941 | ||||||
Total Automobiles | 5,864,973 | |||||||
Distributors — 0.1% | ||||||||
25,682 | Genuine Parts Co. | 1,127,953 | ||||||
Diversified Consumer Services — 0.1% | ||||||||
21,713 | Apollo Group Inc., Class A Shares* | 1,312,768 | ||||||
47,973 | H&R Block Inc. | 1,177,737 | ||||||
Total Diversified Consumer Services | 2,490,505 | |||||||
Hotels, Restaurants & Leisure — 1.5% | ||||||||
64,126 | Carnival Corp. | 3,428,817 | ||||||
19,771 | Darden Restaurants Inc. | 768,696 | ||||||
27,404 | Harrah’s Entertainment Inc. | 1,953,631 | ||||||
48,952 | Hilton Hotels Corp. | 1,180,233 | ||||||
50,866 | International Game Technology | 1,565,655 | ||||||
25,431 | Marriott International Inc., Class A Shares | 1,703,114 | ||||||
185,973 | McDonald’s Corp. | 6,271,010 | ||||||
114,261 | Starbucks Corp.* | 3,428,973 | ||||||
32,294 | Starwood Hotels & Resorts Worldwide Inc. | 2,062,295 | ||||||
17,145 | Wendy’s International Inc. | 947,433 | ||||||
42,338 | Yum! Brands Inc. | 1,984,805 | ||||||
Total Hotels, Restaurants & Leisure | 25,294,662 | |||||||
Household Durables — 0.7% | ||||||||
12,022 | Black & Decker Corp. | 1,045,433 | ||||||
19,103 | Centex Corp. | 1,365,674 | ||||||
40,588 | D.R. Horton Inc. | 1,450,209 | ||||||
21,687 | Fortune Brands Inc. | 1,692,020 | ||||||
11,607 | KB HOME | 843,365 | ||||||
28,278 | Leggett & Platt Inc. | 649,263 |
Greenwich Street Series Fund 2005 Annual Report 49
Schedule of Investments (December 31, 2005) (continued) |
Shares | Security | Value | ||||||
Household Durables — 0.7% (continued) | ||||||||
19,805 | Lennar Corp., Class A Shares | $ | 1,208,501 | |||||
11,698 | Maytag Corp. | 220,156 | ||||||
41,191 | Newell Rubbermaid Inc. | 979,522 | ||||||
31,756 | Pulte Homes Inc. | 1,249,916 | ||||||
8,406 | Snap-on Inc. | 315,729 | ||||||
10,915 | Stanley Works | 524,357 | ||||||
9,959 | Whirlpool Corp. | 834,166 | ||||||
Total Household Durables | 12,378,311 | |||||||
Internet & Catalog Retail — 0.6% | ||||||||
45,739 | Amazon.com Inc.* | 2,156,594 | ||||||
170,498 | eBay Inc.* | 7,374,038 | ||||||
Total Internet & Catalog Retail | 9,530,632 | |||||||
Leisure Equipment & Products — 0.2% | ||||||||
14,350 | Brunswick Corp. | 583,471 | ||||||
42,487 | Eastman Kodak Co. | 994,196 | ||||||
26,893 | Hasbro Inc. | 542,701 | ||||||
59,939 | Mattel Inc. | 948,235 | ||||||
Total Leisure Equipment & Products | 3,068,603 | |||||||
Media — 3.3% | ||||||||
10,047 | CCE Spinco Inc.* | 131,616 | ||||||
80,383 | Clear Channel Communications Inc. | 2,528,045 | ||||||
326,033 | Comcast Corp., Class A Shares* | 8,463,817 | ||||||
8,631 | Dow Jones & Co. Inc. | 306,314 | ||||||
12,841 | E.W. Scripps Co., Class A Shares | 616,625 | ||||||
36,133 | Gannett Co. Inc. | 2,188,576 | ||||||
62,447 | Interpublic Group of Cos. Inc.* | 602,613 | ||||||
10,191 | Knight-Ridder Inc. | 645,090 | ||||||
55,677 | McGraw-Hill Cos. Inc. | 2,874,603 | ||||||
6,282 | Meredith Corp. | 328,800 | ||||||
21,275 | New York Times Co., Class A Shares | 562,724 | ||||||
364,011 | News Corp., Class A Shares | 5,660,371 | ||||||
26,989 | Omnicom Group Inc. | 2,297,574 | ||||||
697,221 | Time Warner Inc. | 12,159,534 | ||||||
39,307 | Tribune Co. | 1,189,430 | ||||||
34,385 | Univision Communications Inc., Class A Shares* | 1,010,575 | ||||||
235,506 | Viacom Inc., Class B Shares | 7,677,496 | ||||||
287,039 | Walt Disney Co. | 6,880,325 | ||||||
Total Media | 56,124,128 | |||||||
50 Greenwich Street Series Fund 2005 Annual Report
Schedule of Investments (December 31, 2005) (continued) |
Shares | Security | Value | ||||||
Multiline Retail — 1.2% | ||||||||
17,052 | Big Lots Inc.* | $ | 204,795 | |||||
9,840 | Dillard’s Inc., Class A Shares | 244,229 | ||||||
48,033 | Dollar General Corp. | 915,989 | ||||||
23,033 | Family Dollar Stores Inc. | 570,988 | ||||||
39,368 | Federated Department Stores Inc. | 2,611,279 | ||||||
37,083 | J.C. Penney Co. Inc. | 2,061,815 | ||||||
51,140 | Kohl’s Corp.* | 2,485,404 | ||||||
32,810 | Nordstrom Inc. | 1,227,094 | ||||||
15,236 | Sears Holdings Corp.* | 1,760,215 | ||||||
131,533 | Target Corp. | 7,230,369 | ||||||
Total Multiline Retail | 19,312,177 | |||||||
Specialty Retail — 2.2% | ||||||||
27,162 | AutoNation Inc.* | 590,230 | ||||||
8,326 | AutoZone Inc.* | 763,911 | ||||||
43,878 | Bed Bath & Beyond Inc.* | 1,586,190 | ||||||
60,303 | Best Buy Co. Inc. | 2,621,975 | ||||||
24,073 | Circuit City Stores Inc. | 543,809 | ||||||
86,006 | Gap Inc. | 1,517,146 | ||||||
318,163 | Home Depot Inc. | 12,879,238 | ||||||
52,123 | Limited Brands Inc. | 1,164,949 | ||||||
115,954 | Lowe’s Cos. Inc. | 7,729,494 | ||||||
46,802 | Office Depot Inc.* | 1,469,583 | ||||||
10,320 | OfficeMax Inc. | 261,715 | ||||||
19,979 | RadioShack Corp. | 420,158 | ||||||
17,079 | Sherwin-Williams Co. | 775,728 | ||||||
109,402 | Staples Inc. | 2,484,519 | ||||||
21,331 | Tiffany & Co. | 816,764 | ||||||
69,418 | TJX Cos. Inc. | 1,612,580 | ||||||
Total Specialty Retail | 37,237,989 | |||||||
Textiles, Apparel & Luxury Goods — 0.4% | ||||||||
56,369 | Coach Inc.* | 1,879,343 | ||||||
17,608 | Jones Apparel Group Inc. | 540,918 | ||||||
16,077 | Liz Claiborne Inc. | 575,878 | ||||||
28,323 | NIKE Inc., Class B Shares | 2,458,153 | ||||||
7,954 | Reebok International Ltd. | 463,161 | ||||||
13,324 | V.F. Corp. | 737,350 | ||||||
Total Textiles, Apparel & Luxury Goods | 6,654,803 | |||||||
TOTAL CONSUMER DISCRETIONARY | 181,930,621 | |||||||
Greenwich Street Series Fund 2005 Annual Report 51
Schedule of Investments (December 31, 2005) (continued) |
Shares | Security | Value | ||||||
CONSUMER STAPLES — 9.6% | ||||||||
Beverages — 2.1% | ||||||||
115,526 | Anheuser-Busch Cos. Inc. | $ | 4,962,997 | |||||
12,410 | Brown-Forman Corp., Class B Shares | 860,261 | ||||||
308,675 | Coca-Cola Co. | 12,442,689 | ||||||
44,557 | Coca-Cola Enterprises Inc. | 854,158 | ||||||
29,305 | Constellation Brands Inc., Class A Shares* | 768,670 | ||||||
8,496 | Molson Coors Brewing Co., Class B Shares | 569,147 | ||||||
20,837 | Pepsi Bottling Group Inc. | 596,147 | ||||||
247,992 | PepsiCo Inc. | 14,651,367 | ||||||
Total Beverages | 35,705,436 | |||||||
Food & Staples Retailing — 2.4% | ||||||||
54,666 | Albertson’s Inc. | 1,167,119 | ||||||
71,354 | Costco Wholesale Corp. | 3,529,882 | ||||||
120,677 | CVS Corp. | 3,188,286 | ||||||
107,967 | Kroger Co.* | 2,038,417 | ||||||
66,335 | Safeway Inc. | 1,569,486 | ||||||
20,217 | SUPERVALU INC | 656,648 | ||||||
94,006 | Sysco Corp. | 2,918,886 | ||||||
371,003 | Wal-Mart Stores Inc. | 17,362,941 | ||||||
151,766 | Walgreen Co. | 6,717,163 | ||||||
19,617 | Whole Foods Market Inc. | 1,518,160 | ||||||
Total Food & Staples Retailing | 40,666,988 | |||||||
Food Products — 1.1% | ||||||||
96,621 | Archer-Daniels-Midland Co. | 2,382,674 | ||||||
27,566 | Campbell Soup Co. | 820,640 | ||||||
77,318 | ConAgra Foods Inc. | 1,568,009 | ||||||
54,497 | General Mills Inc. | 2,687,792 | ||||||
50,454 | H.J. Heinz Co. | 1,701,309 | ||||||
27,408 | Hershey Co. | 1,514,292 | ||||||
38,207 | Kellogg Co. | 1,651,306 | ||||||
19,710 | McCormick & Co. Inc., Non Voting Shares | 609,433 | ||||||
116,384 | Sara Lee Corp. | 2,199,658 | ||||||
37,420 | Tyson Foods Inc., Class A Shares | 639,882 | ||||||
26,720 | Wm. Wrigley Jr. Co. | 1,776,613 | ||||||
Total Food Products | 17,551,608 | |||||||
Household Products — 2.3% | ||||||||
22,629 | Clorox Co. | 1,287,364 | ||||||
77,119 | Colgate-Palmolive Co. | 4,229,977 |
52 Greenwich Street Series Fund 2005 Annual Report
Schedule of Investments (December 31, 2005) (continued) |
Shares | Security | Value | ||||||
Household Products — 2.3% (continued) | ||||||||
70,664 | Kimberly-Clark Corp. | $ | 4,215,108 | |||||
500,549 | Procter & Gamble Co. | 28,971,776 | ||||||
Total Household Products | 38,704,225 | |||||||
Personal Products — 0.2% | ||||||||
11,172 | Alberto-Culver Co. | 511,119 | ||||||
69,836 | Avon Products Inc. | 1,993,818 | ||||||
Total Personal Products | 2,504,937 | |||||||
Tobacco — 1.5% | ||||||||
310,876 | Altria Group Inc. | 23,228,655 | ||||||
12,619 | Reynolds American Inc. | 1,202,969 | ||||||
24,600 | UST Inc. | 1,004,418 | ||||||
Total Tobacco | 25,436,042 | |||||||
TOTAL CONSUMER STAPLES | 160,569,236 | |||||||
ENERGY — 9.3% | ||||||||
Energy Equipment & Services — 1.7% | ||||||||
50,651 | Baker Hughes Inc. | 3,078,568 | ||||||
48,052 | BJ Services Co. | 1,762,067 | ||||||
75,464 | Halliburton Co. | 4,675,749 | ||||||
23,361 | Nabors Industries Ltd.* | 1,769,596 | ||||||
25,750 | National-Oilwell Varco Inc.* | 1,614,525 | ||||||
20,398 | Noble Corp. | 1,438,875 | ||||||
16,315 | Rowan Cos. Inc. | 581,467 | ||||||
87,374 | Schlumberger Ltd. | 8,488,384 | ||||||
48,942 | Transocean Inc.* | 3,410,768 | ||||||
48,943 | Weatherford International Ltd.* | 1,771,736 | ||||||
Total Energy Equipment & Services | 28,591,735 | |||||||
Oil, Gas & Consumable Fuels — 7.6% | ||||||||
11,848 | Amerada Hess Corp. | 1,502,563 | ||||||
35,057 | Anadarko Petroleum Corp. | 3,321,651 | ||||||
48,824 | Apache Corp. | 3,345,421 | ||||||
56,705 | Burlington Resources Inc. | 4,887,971 | ||||||
334,746 | Chevron Corp. | 19,003,530 | ||||||
206,938 | ConocoPhillips | 12,039,653 | ||||||
67,229 | Devon Energy Corp. | 4,204,502 | ||||||
98,348 | El Paso Corp. | 1,195,912 | ||||||
35,575 | EOG Resources Inc. | 2,610,138 | ||||||
929,278 | Exxon Mobil Corp. | 52,197,545 | ||||||
17,140 | Kerr-McGee Corp. | 1,557,340 | ||||||
15,605 | Kinder Morgan Inc. | 1,434,880 |
Greenwich Street Series Fund 2005 Annual Report 53
Schedule of Investments (December 31, 2005) (continued) |
Shares | Security | Value | ||||||
Oil, Gas & Consumable Fuels — 7.6% (continued) | ||||||||
54,364 | Marathon Oil Corp. | $ | 3,314,573 | |||||
24,382 | Murphy Oil Corp. | 1,316,384 | ||||||
59,475 | Occidental Petroleum Corp. | 4,750,863 | ||||||
20,200 | Sunoco Inc. | 1,583,276 | ||||||
90,690 | Valero Energy Corp. | 4,679,604 | ||||||
84,755 | Williams Cos. Inc. | 1,963,773 | ||||||
53,843 | XTO Energy Inc. | 2,365,861 | ||||||
Total Oil, Gas & Consumable Fuels | 127,275,440 | |||||||
TOTAL ENERGY | 155,867,175 | |||||||
FINANCIALS — 21.3% | ||||||||
Capital Markets — 3.1% | ||||||||
115,595 | Bank of New York Co. Inc. | 3,681,701 | ||||||
16,679 | Bear Stearns Cos. Inc. | 1,926,925 | ||||||
154,809 | Charles Schwab Corp. | 2,271,048 | ||||||
60,267 | E*TRADE Financial Corp.* | 1,257,170 | ||||||
12,745 | Federated Investors Inc., Class B Shares | 472,075 | ||||||
22,147 | Franklin Resources Inc. | 2,082,039 | ||||||
69,150 | Goldman Sachs Group Inc. | 8,831,146 | ||||||
33,452 | Janus Capital Group Inc. | 623,211 | ||||||
40,451 | Lehman Brothers Holdings Inc. | 5,184,605 | ||||||
62,133 | Mellon Financial Corp. | 2,128,055 | ||||||
137,533 | Merrill Lynch & Co. Inc. | 9,315,110 | ||||||
161,283 | Morgan Stanley | 9,151,197 | ||||||
27,695 | Northern Trust Corp. | 1,435,155 | ||||||
49,069 | State Street Corp. | 2,720,385 | ||||||
19,226 | T. Rowe Price Group Inc. | 1,384,849 | ||||||
Total Capital Markets | 52,464,671 | |||||||
Commercial Banks — 5.7% | ||||||||
52,076 | AmSouth Bancorp | 1,364,912 | ||||||
597,187 | Bank of America Corp. | 27,560,180 | ||||||
81,367 | BB&T Corp. | 3,410,091 | ||||||
24,802 | Comerica Inc. | 1,407,762 | ||||||
18,572 | Compass Bancshares Inc. | 896,842 | ||||||
82,578 | Fifth Third Bancorp | 3,114,842 | ||||||
18,595 | First Horizon National Corp. | 714,792 | ||||||
34,243 | Huntington Bancshares Inc. | 813,271 | ||||||
60,612 | KeyCorp | 1,995,953 | ||||||
11,990 | M&T Bank Corp. | 1,307,509 | ||||||
30,678 | Marshall & Ilsley Corp. | 1,320,381 | ||||||
84,719 | National City Corp. | 2,844,017 | ||||||
70,792 | North Fork Bancorporation Inc. | 1,936,869 |
54 Greenwich Street Series Fund 2005 Annual Report
Schedule of Investments (December 31, 2005) (continued) |
Shares | Security | Value | ||||||
Commercial Banks — 5.7% (continued) | ||||||||
43,236 | PNC Financial Services Group Inc. | $ | 2,673,282 | |||||
68,324 | Regions Financial Corp. | 2,333,948 | ||||||
53,913 | SunTrust Banks Inc. | 3,922,710 | ||||||
46,264 | Synovus Financial Corp. | 1,249,591 | ||||||
271,326 | U.S. Bancorp | 8,109,934 | ||||||
234,420 | Wachovia Corp. | 12,391,441 | ||||||
250,893 | Wells Fargo & Co. | 15,763,607 | ||||||
15,512 | Zions Bancorporation | 1,172,087 | ||||||
Total Commercial Banks | 96,304,021 | |||||||
Consumer Finance — 1.3% | ||||||||
184,537 | American Express Co. | 9,496,274 | ||||||
44,763 | Capital One Financial Corp. | 3,867,523 | ||||||
187,122 | MBNA Corp. | 5,080,362 | ||||||
62,121 | SLM Corp. | 3,422,246 | ||||||
Total Consumer Finance | 21,866,405 | |||||||
Diversified Financial Services — 3.9% | ||||||||
36,718 | Ameriprise Financial Inc. | 1,505,438 | ||||||
29,989 | CIT Group Inc. | 1,552,830 | ||||||
755,360 | Citigroup Inc. (a) | 36,657,621 | ||||||
521,962 | JPMorgan Chase & Co. | 20,716,672 | ||||||
37,430 | Moody’s Corp. | 2,298,950 | ||||||
41,497 | Principal Financial Group Inc. | 1,968,203 | ||||||
Total Diversified Financial Services | 64,699,714 | |||||||
Insurance — 4.9% | ||||||||
46,985 | ACE Ltd. | 2,510,878 | ||||||
74,558 | AFLAC Inc. | 3,460,982 | ||||||
97,680 | Allstate Corp. | 5,281,558 | ||||||
15,991 | Ambac Financial Group Inc. | 1,232,266 | ||||||
387,605 | American International Group Inc. | 26,446,289 | ||||||
47,169 | Aon Corp. | 1,695,726 | ||||||
29,491 | Chubb Corp. | 2,879,796 | ||||||
26,146 | Cincinnati Financial Corp. | 1,168,203 | ||||||
56,059 | Genworth Financial Inc., Class A Shares | 1,938,520 | ||||||
44,541 | Hartford Financial Services Group Inc. | 3,825,627 | ||||||
20,161 | Jefferson-Pilot Corp. | 1,147,766 | ||||||
25,548 | Lincoln National Corp. | 1,354,810 | ||||||
20,144 | Loews Corp. | 1,910,658 | ||||||
79,433 | Marsh & McLennan Cos. Inc. | 2,522,792 | ||||||
20,044 | MBIA Inc. | 1,205,847 | ||||||
112,263 | MetLife Inc. | 5,500,887 | ||||||
29,331 | Progressive Corp. | 3,425,274 |
Greenwich Street Series Fund 2005 Annual Report 55
Schedule of Investments (December 31, 2005) (continued) |
Shares | Security | Value | ||||||
Insurance — 4.9% (continued) | ||||||||
76,129 | Prudential Financial Inc. | $ | 5,571,882 | |||||
18,528 | SAFECO Corp. | 1,046,832 | ||||||
100,528 | St. Paul Travelers Cos. Inc. | 4,490,586 | ||||||
15,468 | Torchmark Corp. | 860,021 | ||||||
44,442 | UnumProvident Corp. | 1,011,056 | ||||||
25,836 | XL Capital Ltd., Class A Shares | 1,740,830 | ||||||
Total Insurance | 82,229,086 | |||||||
Real Estate — 0.7% | ||||||||
14,092 | Apartment Investment and Management Co., Class A Shares | 533,664 | ||||||
31,525 | Archstone-Smith Trust | 1,320,582 | ||||||
60,940 | Equity Office Properties Trust | 1,848,310 | ||||||
42,779 | Equity Residential | 1,673,515 | ||||||
27,422 | Plum Creek Timber Co. Inc. | 988,563 | ||||||
36,868 | ProLogis | 1,722,473 | ||||||
12,250 | Public Storage Inc. | 829,570 | ||||||
27,231 | Simon Property Group Inc. | 2,086,712 | ||||||
17,500 | Vornado Realty Trust | 1,460,725 | ||||||
Total Real Estate | 12,464,114 | |||||||
Thrifts & Mortgage Finance — 1.7% | ||||||||
88,530 | Countrywide Financial Corp. | 3,026,841 | ||||||
143,921 | Fannie Mae | 7,024,784 | ||||||
102,795 | Freddie Mac | 6,717,653 | ||||||
38,077 | Golden West Financial Corp. | 2,513,082 | ||||||
13,931 | MGIC Investment Corp. | 916,939 | ||||||
53,831 | Sovereign Bancorp Inc. | 1,163,826 | ||||||
148,292 | Washington Mutual Inc. | 6,450,702 | ||||||
Total Thrifts & Mortgage Finance | 27,813,827 | |||||||
TOTAL FINANCIALS | 357,841,838 | |||||||
HEALTH CARE — 13.3% | ||||||||
Biotechnology — 1.5% | ||||||||
183,274 | Amgen Inc.* | 14,452,988 | ||||||
29,279 | Applera Corp.— Applied Biosystems Group | 777,650 | ||||||
50,429 | Biogen Idec Inc.* | 2,285,946 | ||||||
16,348 | Chiron Corp.* | 726,832 | ||||||
38,100 | Genzyme Corp.* | 2,696,718 | ||||||
67,614 | Gilead Sciences Inc.* | 3,558,525 | ||||||
36,753 | MedImmune Inc.* | 1,287,090 | ||||||
Total Biotechnology | 25,785,749 | |||||||
56 Greenwich Street Series Fund 2005 Annual Report
Schedule of Investments (December 31, 2005) (continued) |
Shares | Security | Value | ||||||
Health Care Equipment & Supplies — 2.2% | ||||||||
7,928 | Bausch & Lomb Inc. | $ | 538,311 | |||||
92,542 | Baxter International Inc. | 3,484,206 | ||||||
37,019 | Becton, Dickinson, & Co. | 2,224,102 | ||||||
36,881 | Biomet Inc. | 1,348,738 | ||||||
87,785 | Boston Scientific Corp.* | 2,149,855 | ||||||
15,545 | C.R. Bard Inc. | 1,024,726 | ||||||
18,106 | Fisher Scientific International Inc.* | 1,120,037 | ||||||
49,155 | Guidant Corp. | 3,182,786 | ||||||
23,618 | Hospira Inc.* | 1,010,378 | ||||||
179,817 | Medtronic Inc. | 10,352,065 | ||||||
7,615 | Millipore Corp.* | 502,895 | ||||||
19,533 | PerkinElmer Inc. | 460,198 | ||||||
54,028 | St. Jude Medical Inc.* | 2,712,206 | ||||||
43,218 | Stryker Corp. | 1,920,176 | ||||||
23,932 | Thermo Electron Corp.* | 721,071 | ||||||
17,228 | Waters Corp.* | 651,218 | ||||||
36,701 | Zimmer Holdings Inc.* | 2,475,115 | ||||||
Total Health Care Equipment & Supplies | 35,878,083 | |||||||
Health Care Providers & Services — 3.2% | ||||||||
43,070 | Aetna Inc. | 4,061,932 | ||||||
30,802 | AmerisourceBergen Corp. | 1,275,203 | ||||||
63,411 | Cardinal Health Inc. | 4,359,506 | ||||||
66,781 | Caremark Rx Inc.* | 3,458,588 | ||||||
19,142 | CIGNA Corp. | 2,138,161 | ||||||
23,899 | Coventry Health Care Inc.* | 1,361,287 | ||||||
22,077 | Express Scripts Inc.* | 1,850,053 | ||||||
62,827 | HCA Inc. | 3,172,763 | ||||||
36,791 | Health Management Associates Inc., Class A Shares | 807,930 | ||||||
24,220 | Humana Inc.* | 1,315,873 | ||||||
33,515 | IMS Health Inc. | 835,194 | ||||||
20,009 | Laboratory Corp. of America Holdings* | 1,077,485 | ||||||
11,576 | Manor Care Inc. | 460,377 | ||||||
45,724 | McKesson Corp. | 2,358,901 | ||||||
45,091 | Medco Health Solutions Inc.* | 2,516,078 | ||||||
20,412 | Patterson Cos. Inc.* | 681,761 | ||||||
24,883 | Quest Diagnostics Inc. | 1,280,977 | ||||||
70,628 | Tenet Healthcare Corp.* | 541,010 | ||||||
204,819 | UnitedHealth Group Inc. | 12,727,453 | ||||||
97,404 | WellPoint Inc.* | 7,771,865 | ||||||
Total Health Care Providers & Services | 54,052,397 | |||||||
Greenwich Street Series Fund 2005 Annual Report 57
Schedule of Investments (December 31, 2005) (continued) |
Shares | Security | Value | ||||||
Pharmaceuticals — 6.4% | ||||||||
230,920 | Abbott Laboratories | $ | 9,105,176 | |||||
19,480 | Allergan Inc. | 2,103,061 | ||||||
290,388 | Bristol-Myers Squibb Co. | 6,673,116 | ||||||
168,530 | Eli Lilly & Co. | 9,537,113 | ||||||
50,603 | Forest Laboratories Inc.* | 2,058,530 | ||||||
442,120 | Johnson & Johnson | 26,571,412 | ||||||
36,109 | King Pharmaceuticals Inc.* | 610,964 | ||||||
326,145 | Merck & Co. Inc. | 10,374,672 | ||||||
32,541 | Mylan Laboratories Inc. | 649,518 | ||||||
1,101,041 | Pfizer Inc. | 25,676,276 | ||||||
219,075 | Schering-Plough Corp. | 4,567,714 | ||||||
15,596 | Watson Pharmaceuticals Inc.* | 507,026 | ||||||
199,467 | Wyeth | 9,189,445 | ||||||
Total Pharmaceuticals | 107,624,023 | |||||||
TOTAL HEALTH CARE | 223,340,252 | |||||||
INDUSTRIALS — 11.4% | ||||||||
Aerospace & Defense — 2.3% | ||||||||
121,952 | Boeing Co. | 8,565,908 | ||||||
29,803 | General Dynamics Corp. | 3,399,032 | ||||||
17,931 | Goodrich Corp. | 736,964 | ||||||
126,942 | Honeywell International Inc. | 4,728,590 | ||||||
17,720 | L-3 Communications Holdings Inc. | 1,317,482 | ||||||
53,979 | Lockheed Martin Corp. | 3,434,684 | ||||||
53,052 | Northrop Grumman Corp. | 3,188,956 | ||||||
67,156 | Raytheon Co. | 2,696,313 | ||||||
26,278 | Rockwell Collins Inc. | 1,221,139 | ||||||
152,210 | United Technologies Corp. | 8,510,061 | ||||||
Total Aerospace & Defense | 37,799,129 | |||||||
Air Freight & Logistics — 1.0% | ||||||||
45,061 | FedEx Corp. | 4,658,856 | ||||||
9,450 | Ryder System Inc. | 387,639 | ||||||
164,639 | United Parcel Service Inc., Class B Shares | 12,372,621 | ||||||
Total Air Freight & Logistics | 17,419,116 | |||||||
Airlines — 0.1% | ||||||||
103,405 | Southwest Airlines Co. | 1,698,944 | ||||||
Building Products — 0.2% | ||||||||
27,276 | American Standard Cos. Inc. | 1,089,676 | ||||||
63,999 | Masco Corp. | 1,932,130 | ||||||
Total Building Products | 3,021,806 | |||||||
58 Greenwich Street Series Fund 2005 Annual Report
Schedule of Investments (December 31, 2005) (continued) |
Shares | Security | Value | ||||||
Commercial Services & Supplies — 0.7% | ||||||||
31,750 | Allied Waste Industries Inc.* | $ | 277,495 | |||||
16,481 | Avery Dennison Corp. | 910,905 | ||||||
155,941 | Cendant Corp. | 2,689,982 | ||||||
20,371 | Cintas Corp. | 838,878 | ||||||
19,321 | Equifax Inc. | 734,584 | ||||||
18,217 | Monster Worldwide Inc.* | 743,618 | ||||||
33,990 | Pitney Bowes Inc. | 1,436,078 | ||||||
31,923 | R.R. Donnelley & Sons Co. | 1,092,086 | ||||||
25,275 | Robert Half International Inc. | 957,670 | ||||||
83,581 | Waste Management Inc. | 2,536,683 | ||||||
Total Commercial Services & Supplies | 12,217,979 | |||||||
Construction & Engineering — 0.1% | ||||||||
12,928 | Fluor Corp. | 998,817 | ||||||
Electrical Equipment — 0.5% | ||||||||
25,188 | American Power Conversion Corp. | 554,136 | ||||||
13,876 | Cooper Industries Ltd., Class A Shares | 1,012,948 | ||||||
61,415 | Emerson Electric Co. | 4,587,701 | ||||||
27,084 | Rockwell Automation Inc. | 1,602,289 | ||||||
Total Electrical Equipment | 7,757,074 | |||||||
Industrial Conglomerates — 4.4% | ||||||||
113,692 | 3M Co. | 8,811,130 | ||||||
1,575,122 | General Electric Co. | 55,208,026 | ||||||
19,853 | Textron Inc. | 1,528,284 | ||||||
301,017 | Tyco International Ltd. | 8,687,351 | ||||||
Total Industrial Conglomerates | 74,234,791 | |||||||
Machinery — 1.4% | ||||||||
100,640 | Caterpillar Inc. | 5,813,973 | ||||||
6,897 | Cummins Inc. | 618,868 | ||||||
35,454 | Danaher Corp. | 1,977,624 | ||||||
35,798 | Deere & Co. | 2,438,202 | ||||||
30,067 | Dover Corp. | 1,217,413 | ||||||
21,803 | Eaton Corp. | 1,462,763 | ||||||
31,058 | Illinois Tool Works Inc. | 2,732,793 | ||||||
50,090 | Ingersoll-Rand Co., Ltd., Class A Shares | 2,022,133 | ||||||
13,726 | ITT Industries Inc. | 1,411,307 | ||||||
9,148 | Navistar International Corp.* | 261,816 | ||||||
25,534 | PACCAR Inc. | 1,767,719 | ||||||
18,779 | Pall Corp. | 504,404 | ||||||
17,871 | Parker Hannifin Corp. | 1,178,771 | ||||||
Total Machinery | 23,407,786 | |||||||
Greenwich Street Series Fund 2005 Annual Report 59
Schedule of Investments (December 31, 2005) (continued) |
Shares | Security | Value | ||||||
Road & Rail — 0.7% | ||||||||
55,496 | Burlington Northern Santa Fe Corp. | $ | 3,930,227 | |||||
32,140 | CSX Corp. | 1,631,748 | ||||||
60,261 | Norfolk Southern Corp. | 2,701,500 | ||||||
39,217 | Union Pacific Corp. | 3,157,361 | ||||||
Total Road & Rail | 11,420,836 | |||||||
Trading Companies & Distributors — 0.0% | ||||||||
11,369 | W. W. Grainger Inc. | 808,336 | ||||||
TOTAL INDUSTRIALS | 190,784,614 | |||||||
INFORMATION TECHNOLOGY — 15.1% | ||||||||
Communications Equipment — 2.7% | ||||||||
17,023 | ADC Telecommunications Inc.* | 380,294 | ||||||
24,848 | Andrew Corp.* | 266,619 | ||||||
62,737 | Avaya Inc.* | 669,404 | ||||||
86,998 | Ciena Corp.* | 258,384 | ||||||
917,511 | Cisco Systems Inc.* | 15,707,788 | ||||||
30,014 | Comverse Technology Inc.* | 798,072 | ||||||
227,367 | Corning Inc.* | 4,470,035 | ||||||
247,313 | JDS Uniphase Corp.* | 583,659 | ||||||
662,783 | Lucent Technologies Inc.* | 1,763,003 | ||||||
366,750 | Motorola Inc. | 8,284,883 | ||||||
242,402 | QUALCOMM Inc. | 10,442,678 | ||||||
22,835 | Scientific-Atlanta Inc. | 983,503 | ||||||
66,900 | Tellabs Inc.* | 729,210 | ||||||
Total Communications Equipment | 45,337,532 | |||||||
Computers & Peripherals — 3.7% | ||||||||
125,755 | Apple Computer Inc.* | 9,040,527 | ||||||
356,224 | Dell Inc.* | 10,683,158 | ||||||
358,196 | EMC Corp.* | 4,878,629 | ||||||
37,614 | Gateway Inc.* | 94,411 | ||||||
425,701 | Hewlett-Packard Co. | 12,187,820 | ||||||
237,049 | International Business Machines Corp. | 19,485,428 | ||||||
17,542 | Lexmark International Inc., Class A Shares* | 786,408 | ||||||
27,630 | NCR Corp.* | 937,762 | ||||||
54,821 | Network Appliance Inc.* | 1,480,167 | ||||||
12,105 | QLogic Corp.* | 393,533 | ||||||
508,084 | Sun Microsystems Inc.* | 2,128,872 | ||||||
Total Computers & Peripherals | 62,096,715 | |||||||
60 Greenwich Street Series Fund 2005 Annual Report
Schedule of Investments (December 31, 2005) (continued) |
Shares | Security | Value | ||||||
Electronic Equipment & Instruments — 0.3% | ||||||||
60,864 | Agilent Technologies Inc.* | $ | 2,026,163 | |||||
25,725 | Jabil Circuit Inc.* | 954,140 | ||||||
21,714 | Molex Inc. | 563,478 | ||||||
76,591 | Sanmina-SCI Corp.* | 326,278 | ||||||
136,778 | Solectron Corp.* | 500,607 | ||||||
36,073 | Symbol Technologies Inc. | 462,456 | ||||||
12,547 | Tektronix Inc. | 353,951 | ||||||
Total Electronic Equipment & Instruments | 5,187,073 | |||||||
Internet Software & Services — 0.4% | ||||||||
186,149 | Yahoo! Inc.* | 7,293,318 | ||||||
IT Services — 1.1% | ||||||||
18,731 | Affiliated Computer Services Inc., Class A Shares* | 1,108,501 | ||||||
86,356 | Automatic Data Processing Inc. | 3,962,877 | ||||||
27,385 | Computer Sciences Corp.* | 1,386,777 | ||||||
20,916 | Convergys Corp.* | 331,519 | ||||||
76,979 | Electronic Data Systems Corp. | 1,850,575 | ||||||
22 | Enterasys Networks Inc.* | 292 | ||||||
114,636 | First Data Corp. | 4,930,494 | ||||||
27,856 | Fiserv Inc.* | 1,205,329 | ||||||
49,527 | Paychex Inc. | 1,887,969 | ||||||
19,819 | Sabre Holdings Corp., Class A Shares | 477,836 | ||||||
50,070 | Unisys Corp.* | 291,908 | ||||||
Total IT Services | 17,434,077 | |||||||
Office Electronics — 0.1% | ||||||||
142,948 | Xerox Corp.* | 2,094,188 | ||||||
Semiconductors & Semiconductor Equipment — 3.2% | ||||||||
59,320 | Advanced Micro Devices Inc.* | 1,815,192 | ||||||
55,322 | Altera Corp.* | 1,025,117 | ||||||
55,180 | Analog Devices Inc. | 1,979,307 | ||||||
241,407 | Applied Materials Inc. | 4,330,842 | ||||||
44,372 | Applied Micro Circuits Corp.* | 114,036 | ||||||
42,090 | Broadcom Corp., Class A Shares* | 1,984,543 | ||||||
60,023 | Freescale Semiconductor Inc., Class B Shares* | 1,510,779 | ||||||
905,584 | Intel Corp. | 22,603,377 | ||||||
29,277 | KLA-Tencor Corp. | 1,444,234 | ||||||
45,532 | Linear Technology Corp. | 1,642,339 | ||||||
58,439 | LSI Logic Corp.* | 467,512 | ||||||
48,939 | Maxim Integrated Products Inc. | 1,773,549 | ||||||
91,058 | Micron Technology Inc.* | 1,211,982 | ||||||
50,741 | National Semiconductor Corp. | 1,318,251 | ||||||
20,786 | Novellus Systems Inc.* | 501,358 |
Greenwich Street Series Fund 2005 Annual Report 61
Schedule of Investments (December 31, 2005) (continued) |
Shares | Security | Value | ||||||
Semiconductors & Semiconductor Equipment — 3.2% (continued) | ||||||||
24,987 | NVIDIA Corp.* | $ | 913,525 | |||||
26,200 | PMC-Sierra Inc.* | 202,002 | ||||||
28,842 | Teradyne Inc.* | 420,228 | ||||||
241,311 | Texas Instruments Inc. | 7,738,844 | ||||||
52,052 | Xilinx Inc. | 1,312,231 | ||||||
Total Semiconductors & Semiconductor Equipment | 54,309,248 | |||||||
Software — 3.6% | ||||||||
88,728 | Adobe Systems Inc. | 3,279,387 | ||||||
34,026 | Autodesk Inc. | 1,461,417 | ||||||
32,679 | BMC Software Inc.* | 669,593 | ||||||
25,262 | Citrix Systems Inc.* | 727,040 | ||||||
68,723 | Computer Associates International Inc. | 1,937,301 | ||||||
57,023 | Compuware Corp.* | 511,496 | ||||||
45,007 | Electronic Arts Inc.* | 2,354,316 | ||||||
26,929 | Intuit Inc.* | 1,435,316 | ||||||
13,121 | Mercury Interactive Corp.* | 364,633 | ||||||
1,369,200 | Microsoft Corp. | 35,804,580 | ||||||
57,366 | Novell Inc.* | 506,542 | ||||||
560,325 | Oracle Corp.* | 6,841,568 | ||||||
41,657 | Parametric Technology Corp.* | 254,108 | ||||||
77,728 | Siebel Systems Inc. | 822,362 | ||||||
160,544 | Symantec Corp.* | 2,809,520 | ||||||
Total Software | 59,779,179 | |||||||
TOTAL INFORMATION TECHNOLOGY | 253,531,330 | |||||||
MATERIALS — 3.0% | ||||||||
Chemicals — 1.6% | ||||||||
33,057 | Air Products & Chemicals Inc. | 1,956,644 | ||||||
11,151 | Ashland Inc. | 645,643 | ||||||
143,527 | Dow Chemical Co. | 6,289,353 | ||||||
136,413 | E.I. du Pont de Nemours & Co. | 5,797,552 | ||||||
12,065 | Eastman Chemical Co. | 622,433 | ||||||
27,225 | Ecolab Inc. | 987,451 | ||||||
18,116 | Engelhard Corp. | 546,197 | ||||||
17,474 | Hercules Inc.* | 197,456 | ||||||
12,216 | International Flavors & Fragrances Inc. | 409,236 | ||||||
39,917 | Monsanto Co. | 3,094,765 | ||||||
25,275 | PPG Industries Inc. | 1,463,423 | ||||||
47,900 | Praxair Inc. | 2,536,784 |
62 Greenwich Street Series Fund 2005 Annual Report
Schedule of Investments (December 31, 2005) (continued) |
Shares | Security | Value | ||||||
Chemicals — 1.6% (continued) | ||||||||
21,643 | Rohm & Haas Co. | $ | 1,047,954 | |||||
10,123 | Sigma-Aldrich Corp. | 640,685 | ||||||
Total Chemicals | 26,235,576 | |||||||
Construction Materials — 0.1% | ||||||||
15,292 | Vulcan Materials Co. | 1,036,033 | ||||||
Containers & Packaging — 0.2% | ||||||||
16,143 | Ball Corp. | 641,200 | ||||||
15,812 | Bemis Co. Inc. | 440,680 | ||||||
22,467 | Pactiv Corp.* | 494,274 | ||||||
12,256 | Sealed Air Corp.* | 688,420 | ||||||
16,937 | Temple-Inland Inc. | 759,625 | ||||||
Total Containers & Packaging | 3,024,199 | |||||||
Metals & Mining — 0.8% | ||||||||
129,865 | Alcoa Inc. | 3,840,108 | ||||||
12,501 | Allegheny Technologies Inc. | 451,036 | ||||||
26,306 | Freeport-McMoRan Copper & Gold Inc., Class B Shares | 1,415,263 | ||||||
66,180 | Newmont Mining Corp. | 3,534,012 | ||||||
23,168 | Nucor Corp. | 1,545,769 | ||||||
14,391 | Phelps Dodge Corp. | 2,070,433 | ||||||
17,099 | United States Steel Corp. | 821,949 | ||||||
Total Metals & Mining | 13,678,570 | |||||||
Paper & Forest Products — 0.3% | ||||||||
72,883 | International Paper Co. | 2,449,598 | ||||||
16,598 | Louisiana-Pacific Corp. | 455,947 | ||||||
27,365 | MeadWestvaco Corp. | 767,041 | ||||||
36,280 | Weyerhaeuser Co. | 2,406,815 | ||||||
Total Paper & Forest Products | 6,079,401 | |||||||
TOTAL MATERIALS | 50,053,779 | |||||||
TELECOMMUNICATION SERVICES — 3.0% | ||||||||
Diversified Telecommunication Services — 2.2% | ||||||||
272,113 | BellSouth Corp. | 7,374,262 | ||||||
19,193 | CenturyTel Inc. | 636,440 | ||||||
50,425 | Citizens Communications Co. | 616,698 | ||||||
227,547 | Qwest Communications International Inc.* | 1,285,640 | ||||||
584,100 | SBC Communications Inc. | 14,304,609 | ||||||
411,051 | Verizon Communications Inc. | 12,380,856 | ||||||
Total Diversified Telecommunication Services | 36,598,505 | |||||||
Greenwich Street Series Fund 2005 Annual Report 63
Schedule of Investments (December 31, 2005) (continued) |
Shares | Security | Value | ||||||
Wireless Telecommunication Services — 0.8% | ||||||||
56,785 | ALLTEL Corp. | $ | 3,583,134 | |||||
435,848 | Sprint Nextel Corp. | 10,181,409 | ||||||
Total Wireless Telecommunication Services | 13,764,543 | |||||||
TOTAL TELECOMMUNICATION SERVICES | 50,363,048 | |||||||
UTILITIES — 3.3% | ||||||||
Electric Utilities — 1.6% | ||||||||
23,941 | Allegheny Energy Inc.* | 757,733 | ||||||
58,327 | American Electric Power Co. Inc. | 2,163,348 | ||||||
29,637 | Cinergy Corp. | 1,258,387 | ||||||
48,533 | Edison International | 2,116,524 | ||||||
30,761 | Entergy Corp. | 2,111,743 | ||||||
99,642 | Exelon Corp. | 5,294,976 | ||||||
49,111 | FirstEnergy Corp. | 2,405,948 | ||||||
58,361 | FPL Group Inc. | 2,425,483 | ||||||
14,615 | Pinnacle West Capital Corp. | 604,330 | ||||||
56,593 | PPL Corp. | 1,663,834 | ||||||
37,514 | Progress Energy Inc. | 1,647,615 | ||||||
110,850 | Southern Co. | 3,827,651 | ||||||
Total Electric Utilities | 26,277,572 | |||||||
Gas Utilities — 0.0% | ||||||||
6,595 | Nicor Inc. | 259,249 | ||||||
5,883 | Peoples Energy Corp. | 206,317 | ||||||
Total Gas Utilities | 465,566 | |||||||
Independent Power Producers & Energy Traders — 0.6% | ||||||||
96,657 | AES Corp.* | 1,530,080 | ||||||
82,589 | Calpine Corp.* | 17,179 | ||||||
26,565 | Constellation Energy Group Inc. | 1,530,144 | ||||||
137,513 | Duke Energy Corp. | 3,774,732 | ||||||
46,472 | Dynegy Inc., Class A Shares* | 224,924 | ||||||
71,287 | TXU Corp. | 3,577,895 | ||||||
Total Independent Power Producers & Energy Traders | 10,654,954 | |||||||
Multi-Utilities — 1.1% | ||||||||
30,339 | Ameren Corp. | 1,554,570 | ||||||
46,155 | CenterPoint Energy Inc. | 593,092 | ||||||
32,195 | CMS Energy Corp.* | 467,149 | ||||||
36,396 | Consolidated Edison Inc. | 1,686,227 | ||||||
50,604 | Dominion Resources Inc. | 3,906,629 | ||||||
26,233 | DTE Energy Co. | 1,133,003 | ||||||
26,026 | KeySpan Corp. | 928,868 |
64 Greenwich Street Series Fund 2005 Annual Report
Schedule of Investments (December 31, 2005) (continued) |
Shares | Security | Value | ||||||
Multi-Utilities — 1.1% (continued) | ||||||||
40,377 | NiSource Inc. | $ | 842,264 | |||||
50,914 | PG&E Corp. | 1,889,927 | ||||||
35,642 | Public Service Enterprise Group Inc. | 2,315,661 | ||||||
38,080 | Sempra Energy | 1,707,507 | ||||||
30,449 | TECO Energy Inc. | 523,114 | ||||||
59,545 | Xcel Energy Inc. | 1,099,201 | ||||||
Total Multi-Utilities | 18,647,212 | |||||||
TOTAL UTILITIES | 56,045,304 | |||||||
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT (Cost — $1,578,763,423) | 1,680,327,197 | |||||||
Face | ||||||||
Amount | ||||||||
SHORT-TERM INVESTMENT — 0.0% | ||||||||
U.S. Government Obligation — 0.0% | ||||||||
$ | 500,000 | U.S. Treasury Bills, 3.820% due 3/16/06 (b) (Cost — $496,115) | 496,099 | |||||
TOTAL INVESTMENTS — 100.1% (Cost — $1,579,259,538#) | 1,680,823,296 | |||||||
Liabilities in Excess of Other Assets — (0.1)% | (2,505,751 | ) | ||||||
TOTAL NET ASSETS — 100.0% | $ | 1,678,317,545 | ||||||
* | Non-income producing security. |
(a) | Citigroup Inc. was the parent company of the Travelers Investment Management Company, the Fund’s investment advisor, as of December 31, 2005. |
(b) | Yield to maturity on date of purchase, except in the case of Variable Rate Demand Obligations (“VRDO”), whose yields are determined on the date of the last interest change. |
# | Aggregate cost for federal income tax purposes is $1,586,514,009. |
Abbreviation used in this schedule: | |
MBIA — Municipal Bond Investors Assurance Corporation |
Greenwich Street Series Fund 2005 Annual Report 65
Schedule of Investments (December 31, 2005) |
SALOMON BROTHERS VARIABLE GROWTH & INCOME FUND
Shares | Security | Value | ||||||
COMMON STOCKS — 99.7% | ||||||||
CONSUMER DISCRETIONARY — 10.1% | ||||||||
Hotels, Restaurants & Leisure — 2.5% | ||||||||
4,840 | McDonald’s Corp. | $ | 163,205 | |||||
1,700 | Station Casinos Inc. | 115,260 | ||||||
Total Hotels, Restaurants & Leisure | 278,465 | |||||||
Household Durables — 1.0% | ||||||||
4,650 | Newell Rubbermaid Inc. | 110,577 | ||||||
Media — 3.6% | ||||||||
3,530 | EchoStar Communications Corp., Class A Shares* | 95,910 | ||||||
9,400 | News Corp., Class B Shares | 156,134 | ||||||
8,430 | Time Warner Inc. | 147,019 | ||||||
Total Media | 399,063 | |||||||
Specialty Retail — 3.0% | ||||||||
5,180 | Best Buy Co. Inc. | 225,226 | ||||||
4,750 | Staples Inc. | 107,873 | ||||||
Total Specialty Retail | 333,099 | |||||||
TOTAL CONSUMER DISCRETIONARY | 1,121,204 | |||||||
CONSUMER STAPLES — 10.9% | ||||||||
Beverages — 2.1% | ||||||||
3,910 | PepsiCo Inc. | 231,003 | ||||||
Food & Staples Retailing — 2.4% | ||||||||
5,850 | Wal-Mart Stores Inc. | 273,780 | ||||||
Food Products — 3.8% | ||||||||
3,550 | Kellogg Co. | 153,431 | ||||||
3,650 | McCormick & Co. Inc., Non Voting Shares | 112,858 | ||||||
8,040 | Sara Lee Corp. | 151,956 | ||||||
Total Food Products | 418,245 | |||||||
Household Products — 1.8% | ||||||||
500 | Kimberly-Clark Corp. | 29,825 | ||||||
2,960 | Procter & Gamble Co. | 171,325 | ||||||
Total Household Products | 201,150 | |||||||
Tobacco — 0.8% | ||||||||
1,170 | Altria Group Inc. | 87,422 | ||||||
TOTAL CONSUMER STAPLES | 1,211,600 | |||||||
66 Greenwich Street Series Fund 2005 Annual Report
Schedule of Investments (December 31, 2005) (continued) |
Shares | Security | Value | ||||||
ENERGY — 9.4% | ||||||||
Energy Equipment & Services — 1.7% | ||||||||
1,890 | ENSCO International Inc. | $ | 83,822 | |||||
2,230 | GlobalSantaFe Corp. | 107,374 | ||||||
Total Energy Equipment & Services | 191,196 | |||||||
Oil, Gas & Consumable Fuels — 7.7% | ||||||||
1,470 | Burlington Resources Inc. | 126,714 | ||||||
4,680 | Exxon Mobil Corp. | 262,876 | ||||||
2,950 | Nexen Inc. | 140,508 | ||||||
1,350 | Suncor Energy Inc. | 85,225 | ||||||
1,840 | Total SA, Sponsored ADR | 232,576 | ||||||
Total Oil, Gas & Consumable Fuels | 847,899 | |||||||
TOTAL ENERGY | 1,039,095 | |||||||
FINANCIALS — 20.2% | ||||||||
Capital Markets — 3.6% | ||||||||
1,520 | Goldman Sachs Group Inc. | 194,119 | ||||||
3,020 | Merrill Lynch & Co. Inc. | 204,545 | ||||||
Total Capital Markets | 398,664 | |||||||
Commercial Banks — 5.7% | ||||||||
4,846 | Bank of America Corp. | 223,643 | ||||||
2,390 | Wachovia Corp. | 126,335 | ||||||
4,550 | Wells Fargo & Co. | 285,877 | ||||||
Total Commercial Banks | 635,855 | |||||||
Consumer Finance — 3.1% | ||||||||
3,130 | American Express Co. | 161,070 | ||||||
2,070 | Capital One Financial Corp. | 178,848 | ||||||
Total Consumer Finance | 339,918 | |||||||
Diversified Financial Services — 2.2% | ||||||||
6,205 | JPMorgan Chase & Co. | 246,276 | ||||||
Insurance — 4.4% | ||||||||
2,420 | AFLAC Inc. | 112,336 | ||||||
2,500 | American International Group Inc. | 170,575 | ||||||
1 | Berkshire Hathaway Inc., Class A Shares* | 88,620 | ||||||
1,180 | Chubb Corp. | 115,227 | ||||||
Total Insurance | 486,758 | |||||||
Thrifts & Mortgage Finance — 1.2% | ||||||||
1,950 | Golden West Financial Corp. | 128,700 | ||||||
TOTAL FINANCIALS | 2,236,171 | |||||||
Greenwich Street Series Fund 2005 Annual Report 67
Schedule of Investments (December 31, 2005) (continued) |
Shares | Security | Value | ||||||
HEALTH CARE — 11.3% | ||||||||
Biotechnology — 1.6% | ||||||||
2,318 | Amgen Inc.* | $ | 182,798 | |||||
Health Care Providers & Services — 4.5% | ||||||||
2,160 | Coventry Health Care Inc.* | 123,034 | ||||||
3,260 | UnitedHealth Group Inc. | 202,576 | ||||||
2,200 | WellPoint Inc.* | 175,538 | ||||||
Total Health Care Providers & Services | 501,148 | |||||||
Pharmaceuticals — 5.2% | ||||||||
2,970 | Pfizer Inc. | 69,260 | ||||||
4,300 | Sanofi-Aventis, ADR | 188,770 | ||||||
1,860 | Sepracor Inc.* | 95,976 | ||||||
5,090 | Teva Pharmaceutical Industries Ltd., Sponsored ADR | 218,921 | ||||||
Total Pharmaceuticals | 572,927 | |||||||
TOTAL HEALTH CARE | 1,256,873 | |||||||
INDUSTRIALS — 11.6% | ||||||||
Aerospace & Defense — 4.6% | ||||||||
4,860 | Boeing Co. | 341,366 | ||||||
4,220 | Raytheon Co. | 169,433 | ||||||
Total Aerospace & Defense | 510,799 | |||||||
Building Products — 2.3% | ||||||||
2,830 | American Standard Cos. Inc. | 113,059 | ||||||
4,700 | Masco Corp. | 141,893 | ||||||
Total Building Products | 254,952 | |||||||
Industrial Conglomerates — 4.7% | ||||||||
11,930 | General Electric Co. | 418,146 | ||||||
1,350 | Textron Inc. | 103,923 | ||||||
Total Industrial Conglomerates | 522,069 | |||||||
TOTAL INDUSTRIALS | 1,287,820 | |||||||
INFORMATION TECHNOLOGY — 15.6% | ||||||||
Communications Equipment — 1.5% | ||||||||
5,246 | ADC Telecommunications Inc.* | 117,196 | ||||||
2,300 | Motorola Inc. | 51,957 | ||||||
Total Communications Equipment | 169,153 | |||||||
68 Greenwich Street Series Fund 2005 Annual Report
Schedule of Investments (December 31, 2005) (continued) |
Shares | Security | Value | ||||||
Computers & Peripherals — 1.8% | ||||||||
2,330 | Dell Inc.* | $ | 69,877 | |||||
1,590 | International Business Machines Corp. | 130,698 | ||||||
Total Computers & Peripherals | 200,575 | |||||||
Electronic Equipment & Instruments — 0.3% | ||||||||
1,670 | Dolby Laboratories Inc., Class A Shares* | 28,473 | ||||||
Internet Software & Services — 1.0% | ||||||||
2,830 | Yahoo! Inc.* | 110,879 | ||||||
IT Services — 1.1% | ||||||||
3,220 | Paychex Inc. | 122,746 | ||||||
Semiconductors & Semiconductor Equipment — 3.7% | ||||||||
3,430 | Applied Materials Inc. | 61,534 | ||||||
4,640 | ASML Holding NV, NY Registered Shares* | 93,171 | ||||||
8,090 | Intel Corp. | 201,927 | ||||||
1,600 | Texas Instruments Inc. | 51,312 | ||||||
Total Semiconductors & Semiconductor Equipment | 407,944 | |||||||
Software — 6.2% | ||||||||
3,200 | Adobe Systems Inc. | 118,272 | ||||||
1,640 | Cognos Inc.* | 56,925 | ||||||
2,020 | Electronic Arts Inc.* | 105,666 | ||||||
15,680 | Microsoft Corp. | 410,032 | ||||||
Total Software | 690,895 | |||||||
TOTAL INFORMATION TECHNOLOGY | 1,730,665 | |||||||
MATERIALS — 6.0% | ||||||||
Chemicals — 2.3% | ||||||||
3,180 | E.I. du Pont de Nemours & Co. | 135,150 | ||||||
3,290 | Ecolab Inc. | 119,328 | ||||||
Total Chemicals | 254,478 | |||||||
Metals & Mining — 3.7% | ||||||||
10,390 | Barrick Gold Corp. | 289,570 | ||||||
5,400 | Placer Dome Inc. | 123,822 | ||||||
Total Metals & Mining | 413,392 | |||||||
TOTAL MATERIALS | 667,870 | |||||||
TELECOMMUNICATION SERVICES — 3.4% | ||||||||
Wireless Telecommunication Services — 3.4% | ||||||||
1,780 | ALLTEL Corp. | 112,318 | ||||||
11,102 | Sprint Nextel Corp. | 259,343 | ||||||
TOTAL TELECOMMUNICATION SERVICES | 371,661 | |||||||
Greenwich Street Series Fund 2005 Annual Report 69
Schedule of Investments (December 31, 2005) (continued) |
Shares | Security | Value | ||||||
UTILITIES — 1.2% | ||||||||
Multi-Utilities — 1.2% | ||||||||
3,020 | Sempra Energy | $ | 135,417 | |||||
TOTAL INVESTMENTS — 99.7% (Cost — $8,906,238#) | 11,058,376 | |||||||
Other Assets in Excess of Liabilities — 0.3% | 37,805 | |||||||
TOTAL NET ASSETS — 100.0% | $ | 11,096,181 | ||||||
* | Non-income producing security. |
# | Aggregate cost for federal income tax purposes is $8,990,039. |
Abbreviation used in this schedule: | |
ADR — American Depositary Receipt |
70 Greenwich Street Series Fund 2005 Annual Report
Schedule of Investments (December 31, 2005) |
SALOMON BROTHERS VARIABLE AGGRESSIVE GROWTH FUND
Shares | Security | Value | ||||||
COMMON STOCKS — 94.5% | ||||||||
CONSUMER DISCRETIONARY — 14.7% | ||||||||
Media — 14.5% | ||||||||
53,820 | Cablevision Systems Corp., New York Group, Class A Shares* | $ | 1,263,155 | |||||
4,117 | Comcast Corp., Class A Shares* | 106,877 | ||||||
93,525 | Comcast Corp., Special Class A Shares* | 2,402,657 | ||||||
11,540 | Discovery Holding Co., Class A Shares* | 174,831 | ||||||
2,730 | Liberty Global Inc., Class A Shares* | 61,425 | ||||||
2,730 | Liberty Global Inc., Series C Shares* | 57,876 | ||||||
125,400 | Liberty Media Corp., Class A Shares* | 986,898 | ||||||
145,200 | Time Warner Inc. | 2,532,288 | ||||||
9,653 | Viacom Inc., Class B Shares | 314,688 | ||||||
38,000 | Walt Disney Co. | 910,860 | ||||||
5,600 | World Wrestling Entertainment Inc. | 82,208 | ||||||
Total Media | 8,893,763 | |||||||
Specialty Retail — 0.2% | ||||||||
9,700 | Charming Shoppes, Inc.* | 128,040 | ||||||
TOTAL CONSUMER DISCRETIONARY | 9,021,803 | |||||||
ENERGY — 11.9% | ||||||||
Energy Equipment & Services — 6.9% | ||||||||
7,600 | Core Laboratories NV* | 283,936 | ||||||
27,650 | Grant Prideco Inc.* | 1,219,918 | ||||||
74,500 | Weatherford International Ltd.* | 2,696,900 | ||||||
Total Energy Equipment & Services | 4,200,754 | |||||||
Oil, Gas & Consumable Fuels — 5.0% | ||||||||
32,300 | Anadarko Petroleum Corp. | 3,060,425 | ||||||
255 | Bill Barrett Corp.* | 9,845 | ||||||
Total Oil, Gas & Consumable Fuels | 3,070,270 | |||||||
TOTAL ENERGY | 7,271,024 | |||||||
EXCHANGE TRADED FUND — 1.7% | ||||||||
26,600 | Nasdaq-100 Index Tracking Stock | 1,075,172 | ||||||
FINANCIALS — 10.7% | ||||||||
Capital Markets — 9.8% | ||||||||
3,900 | Cohen & Steers Inc. | 72,657 | ||||||
24,550 | Lehman Brothers Holdings Inc. | 3,146,574 | ||||||
41,800 | Merrill Lynch & Co. Inc. | 2,831,114 | ||||||
Total Capital Markets | 6,050,345 | |||||||
Greenwich Street Series Fund 2005 Annual Report 71
Schedule of Investments (December 31, 2005) (continued) |
Shares | Security | Value | ||||||
Diversified Financial Services — 0.4% | ||||||||
4,500 | CIT Group Inc. | $ | 233,010 | |||||
Thrifts & Mortgage Finance — 0.5% | ||||||||
17,849 | New York Community Bancorp Inc. | 294,865 | ||||||
TOTAL FINANCIALS | 6,578,220 | |||||||
HEALTH CARE — 33.6% | ||||||||
Biotechnology — 20.4% | ||||||||
6,420 | Alkermes Inc.* | 122,750 | ||||||
36,900 | Amgen Inc.* | 2,909,934 | ||||||
54,850 | Biogen Idec Inc.* | 2,486,351 | ||||||
2,600 | CancerVax Corp.* | 3,588 | ||||||
48,175 | Chiron Corp.* | 2,141,861 | ||||||
5,300 | Genentech Inc.* | 490,250 | ||||||
39,448 | Genzyme Corp.* | 2,792,129 | ||||||
28,428 | ImClone Systems Inc.* | 973,375 | ||||||
8,200 | Isis Pharmaceuticals Inc.* | 42,968 | ||||||
33,546 | Millennium Pharmaceuticals Inc.* | 325,396 | ||||||
4,800 | Nabi Biopharmaceuticals* | 16,224 | ||||||
4,860 | Nanogen Inc.* | 12,733 | ||||||
6,410 | Vertex Pharmaceuticals Inc.* | 177,365 | ||||||
1,265 | ViaCell Inc.* | 7,109 | ||||||
Total Biotechnology | 12,502,033 | |||||||
Health Care Equipment & Supplies — 0.3% | ||||||||
3,400 | Biosite Inc.* | 191,386 | ||||||
Health Care Providers & Services — 5.1% | ||||||||
50,520 | UnitedHealth Group Inc. | 3,139,313 | ||||||
Pharmaceuticals — 7.8% | ||||||||
73,080 | Forest Laboratories Inc.* | 2,972,894 | ||||||
13,100 | Johnson & Johnson | 787,310 | ||||||
24,900 | King Pharmaceuticals Inc.* | 421,308 | ||||||
3,500 | Pfizer Inc. | 81,620 | ||||||
6,442 | Teva Pharmaceutical Industries Ltd., Sponsored ADR | 277,071 | ||||||
14,000 | Valeant Pharmaceuticals International | 253,120 | ||||||
Total Pharmaceuticals | 4,793,323 | |||||||
TOTAL HEALTH CARE | 20,626,055 | |||||||
72 Greenwich Street Series Fund 2005 Annual Report
Schedule of Investments (December 31, 2005) (continued) |
Shares | Security | Value | ||||||
INDUSTRIALS — 7.7% | ||||||||
Aerospace & Defense — 2.9% | ||||||||
23,600 | L-3 Communications Holdings Inc. | $ | 1,754,660 | |||||
Industrial Conglomerates — 3.7% | ||||||||
78,634 | Tyco International Ltd. | 2,269,377 | ||||||
Machinery — 1.1% | ||||||||
25,000 | Pall Corp. | 671,500 | ||||||
TOTAL INDUSTRIALS | 4,695,537 | |||||||
INFORMATION TECHNOLOGY — 14.1% | ||||||||
Communications Equipment — 2.5% | ||||||||
14,700 | C-COR Inc.* | 71,442 | ||||||
51,600 | Motorola Inc. | 1,165,644 | ||||||
16,400 | Nokia Oyj, Sponsored ADR | 300,120 | ||||||
Total Communications Equipment | 1,537,206 | |||||||
Computers & Peripherals — 2.9% | ||||||||
3,500 | LaserCard Corp.* | 52,465 | ||||||
48,162 | Maxtor Corp.* | 334,244 | ||||||
31,500 | Quantum Corp.* | 96,075 | ||||||
20,100 | SanDisk Corp.* | 1,262,682 | ||||||
Total Computers & Peripherals | 1,745,466 | |||||||
Electronic Equipment & Instruments — 0.2% | ||||||||
5,750 | Excel Technology Inc.* | 136,735 | ||||||
Semiconductors & Semiconductor Equipment — 7.4% | ||||||||
22,000 | Broadcom Corp., Class A Shares* | 1,037,300 | ||||||
6,500 | Cirrus Logic Inc.* | 43,420 | ||||||
8,400 | Cree Inc.* | 212,016 | ||||||
6,700 | DSP Group Inc.* | 167,902 | ||||||
4,173 | Freescale Semiconductor Inc., Class B Shares* | 105,035 | ||||||
26,725 | Intel Corp. | 667,056 | ||||||
132,555 | Micron Technology Inc.* | 1,764,307 | ||||||
17,700 | RF Micro Devices Inc.* | 95,757 | ||||||
5,400 | Standard Microsystems Corp.* | 154,926 | ||||||
17,600 | Teradyne Inc.* | 256,432 | ||||||
Total Semiconductors & Semiconductor Equipment | 4,504,151 | |||||||
Greenwich Street Series Fund 2005 Annual Report 73
Schedule of Investments (December 31, 2005) (continued) |
Shares | Security | Value | ||||||
Software — 1.1% | ||||||||
5,800 | Advent Software Inc.* | $ | 167,678 | |||||
8,800 | Autodesk Inc. | 377,960 | ||||||
3,800 | Microsoft Corp. | 99,370 | ||||||
4,300 | RSA Security Inc.* | 48,289 | ||||||
Total Software | 693,297 | |||||||
TOTAL INFORMATION TECHNOLOGY | 8,616,855 | |||||||
TELECOMMUNICATION SERVICES — 0.1% | ||||||||
Diversified Telecommunication Services — 0.1% | ||||||||
2,416 | AT&T Inc. | 59,168 | ||||||
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost — $50,577,045) | 57,943,834 | |||||||
Face | ||||||||
Amount | ||||||||
SHORT-TERM INVESTMENTS — 5.6% | ||||||||
REPURCHASE AGREEMENTS — 5.6% | ||||||||
$ | 1,409,000 | Interest in $577,312,000 joint tri-party repurchase agreement dated 12/30/05 with Morgan Stanley, 4.250% due 1/3/06; Proceeds at maturity — $1,409,665; (Fully collateralized by various U.S. government agency obligations, 0.000% to 6.300% due 2/5/07 to 10/6/25; Market Value — $1,452,102) | 1,409,000 | |||||
2,000,000 | Interest in $599,979,000 joint tri-party repurchase agreement dated 12/30/05 with Merrill Lynch, Pierce, Fenner & Smith Inc., 4.250% due 1/3/06; Proceeds at maturity — $2,000,944; (Fully collateralized by various U.S. Treasury obligations, 0.000% to 4.500% due 1/5/06 to 11/15/15; Market value — $2,040,014) | 2,000,000 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost — $3,409,000) | 3,409,000 | |||||||
TOTAL INVESTMENTS — 100.1% (Cost — $53,986,045#) | 61,352,834 | |||||||
Liabilities in Excess of Other Assets — (0.1)% | (48,566 | ) | ||||||
TOTAL NET ASSETS — 100.0% | $ | 61,304,268 | ||||||
* | Non-income producing security. |
# | Aggregate cost for federal income tax purposes is $53,989,800. |
Abbreviation used in this schedule: | |
ADR — American Depositary Receipt |
74 Greenwich Street Series Fund 2005 Annual Report
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 debt 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 debt 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 ranking within its generic category. | ||||
Aaa | — | Bonds rated “Aaa” are judged to be of the best quality. They carry the smallest degree of investment risk and are generally referred to as “gilt edge.” Interest payments are protected by a large or by an exceptionally stable margin and principal is secure. While the various protective elements are likely to change, such changes as can be visualized are most unlikely to impair the fundamentally strong position of such 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 in “Aaa” securities or fluctuation of protective elements may be of greater amplitude or there may be other elements present which make the long-term risks appear somewhat larger than in “Aaa” securities. | ||
A | — | Bonds rated “A” possess many favorable investment attributes and are to be considered as upper medium grade obligations. Factors giving security to principal and interest are considered adequate but elements may be present which suggest a susceptibility to impairment some time in the future. | ||
Baa | — | Bonds rated “Baa” are considered as medium grade obligations, i.e., they are neither highly protected nor poorly secured. Interest payments and principal security appear adequate for the present but certain protective elements may be lacking or may be characteristically unreliable over any great length of time. Such bonds lack outstanding investment characteristics and in fact have speculative characteristics as well. | ||
Ba | — | Bonds rated “Ba” are judged to have speculative elements; their future cannot be considered as well assured. Often the protection of interest and principal payments may be very moderate and thereby not well safeguarded during both good and bad times over the future. Uncertainly of position characterizes bonds in this class. | ||
B | — | Bonds that are rated “B” generally lack characteristics of desirable investments. Assurance of interest and principal payments or of maintenance of other terms of the contract over any long period of time may be small. | ||
Caa | — | Bonds rated “Caa” are of poor standing. These issues may be in default, or present elements of danger may exist with respect to principal or interest. | ||
Ca | — | Bonds rated “Ca” represent obligations which are speculative in a high degree. Such Issues are often in default or have other marked short-comings. | ||
NR | — | Indicates that the bond is not rated by Standard & Poor’s and Moody’s. |
Statements of Assets and Liabilities (December 31, 2005) |
Salomon | Salomon | ||||||||||||||||
Brothers | Brothers | ||||||||||||||||
Variable | Variable | ||||||||||||||||
Diversified Strategic | Equity Index | Growth & | Aggressive | ||||||||||||||
Income Portfolio | Portfolio | Income Fund | Growth Fund | ||||||||||||||
ASSETS: | |||||||||||||||||
Investments, at cost | $ | 88,082,431 | $ | 1,579,259,538 | $ | 8,906,238 | $ | 50,577,045 | |||||||||
Repurchase agreements, at cost | 41,675,000 | — | — | 3,409,000 | |||||||||||||
Foreign currency, at cost | 39,000 | — | — | — | |||||||||||||
Investments, at value | $ | 87,744,590 | $ | 1,680,823,296 | $ | 11,058,376 | $ | 57,943,834 | |||||||||
Repurchase agreements, at value | 41,675,000 | — | — | 3,409,000 | |||||||||||||
Foreign currency, at value | 34,250 | — | — | — | |||||||||||||
Cash | 134 | — | — | 780 | |||||||||||||
Dividends and interest receivable | 833,770 | 2,221,757 | 13,708 | 26,130 | |||||||||||||
Deposits with brokers for open futures contracts | 16,220 | — | — | — | |||||||||||||
Receivable for Fund shares sold | — | 492,217 | 226 | 14,078 | |||||||||||||
Receivable for securities sold | — | 113,197 | 89,835 | — | |||||||||||||
Prepaid expenses | 15,515 | 23,902 | 757 | 394 | |||||||||||||
Total Assets | 130,319,479 | 1,683,674,369 | 11,162,902 | 61,394,216 | |||||||||||||
LIABILITIES: | |||||||||||||||||
Payable for securities purchased | 40,421,297 | 2,021,108 | 24,642 | — | |||||||||||||
Payable for Fund shares repurchased | 260,397 | 2,270,726 | 10 | 24,788 | |||||||||||||
Investment advisory fee payable | 49,494 | 361,466 | 6,243 | 38,994 | |||||||||||||
Due to custodian | — | 282,743 | 18,471 | — | |||||||||||||
Distribution fees payable (Notes 2 and 4) | — | 26,062 | — | 3,098 | |||||||||||||
Administration fee payable | — | 86,752 | — | — | |||||||||||||
Deferred dollar roll income | 13,715 | — | — | — | |||||||||||||
Payable to broker — variation margin on open futures contracts | 4,281 | — | — | — | |||||||||||||
Deferred compensation payable | 2,773 | 3,063 | 2,292 | 1,981 | |||||||||||||
Transfer agent fees payable | 976 | 1,719 | 12 | 137 | |||||||||||||
Trustees’ fees payable | 56 | 26 | — | 116 | |||||||||||||
Accrued expenses | 44,977 | 303,159 | 15,051 | 20,834 | |||||||||||||
Total Liabilities | 40,797,966 | 5,356,824 | 66,721 | 89,948 | |||||||||||||
Total Net Assets | $ | 89,521,513 | $ | 1,678,317,545 | $ | 11,096,181 | $ | 61,304,268 | |||||||||
NET ASSETS: | |||||||||||||||||
Par value (Note 6) | $ | 9,931 | $ | 55,240 | $ | 2,187 | $ | 2,641 | |||||||||
Paid-in capital in excess of par value | 96,998,514 | 1,591,717,537 | 9,662,321 | 54,518,178 | |||||||||||||
Undistributed (overdistributed) net investment income | (2,773 | ) | 114,615 | (2,292 | ) | — | |||||||||||
Accumulated net investment loss | — | — | — | (1,981 | ) | ||||||||||||
Accumulated net realized loss on investments, futures contracts and foreign currencies | (7,159,475 | ) | (15,133,605 | ) | (718,173 | ) | (581,359 | ) | |||||||||
Net unrealized appreciation (depreciation) on investments, futures contracts and foreign currencies | (324,684 | ) | 101,563,758 | 2,152,138 | 7,366,789 | ||||||||||||
Total Net Assets | $ | 89,521,513 | $ | 1,678,317,545 | $ | 11,096,181 | $ | 61,304,268 | |||||||||
Shares Outstanding: | |||||||||||||||||
Class I shares | 9,931,070 | 47,549,158 | 2,186,650 | 1,423,968 | |||||||||||||
Class II shares | — | 7,690,661 | — | 1,216,924 | |||||||||||||
Net Asset Value: | |||||||||||||||||
Class I shares | $9.01 | $30.38 | $5.07 | $23.33 | |||||||||||||
Class II shares | — | $30.40 | — | $23.08 | |||||||||||||
76 Greenwich Street Series Fund 2005 Annual Report
Statements of Operations (For the year ended December 31, 2005) |
Salomon | Salomon | |||||||||||||||||
Brothers | Brothers | |||||||||||||||||
Variable | Variable | |||||||||||||||||
Diversified Strategic | Equity Index | Growth & | Aggressive | |||||||||||||||
Income Portfolio | Portfolio | Income Fund | Growth Fund | |||||||||||||||
INVESTMENT INCOME: | ||||||||||||||||||
Dividends | $ | 4,733 | $ | 30,095,878 | $ | 166,199 | $ | 217,755 | ||||||||||
Interest | 5,357,517 | 543,325 | 5,700 | 123,614 | ||||||||||||||
Less: Foreign taxes withheld | — | — | (2,251 | ) | (1,053 | ) | ||||||||||||
Total Investment Income | 5,362,250 | 30,639,203 | 169,648 | 340,316 | ||||||||||||||
EXPENSES: | ||||||||||||||||||
Investment advisory fee (Note 2) | 443,690 | 4,125,841 | 52,282 | 312,648 | ||||||||||||||
Administration fees (Note 2) | 175,198 | 990,202 | 20,461 | 86,456 | ||||||||||||||
Custody fees | 55,376 | 92,649 | 18,706 | 15,855 | ||||||||||||||
Audit and tax | 16,218 | 22,567 | 14,105 | 15,330 | ||||||||||||||
Legal fees | 13,988 | 6,604 | 8,114 | 15,147 | ||||||||||||||
Shareholder reports (Note 4) | 11,210 | 169,402 | 12,216 | 16,080 | ||||||||||||||
Insurance | 5,493 | 16,493 | 1,423 | 2,737 | ||||||||||||||
Transfer agent fees (Notes 2 and 4) | 5,030 | 10,015 | 728 | 169 | ||||||||||||||
Trustees’ fees | 3,172 | 35,820 | 1,665 | 2,546 | ||||||||||||||
Distribution fees (Notes 2 and 4) | — | 578,430 | — | 59,904 | ||||||||||||||
License fee | — | 165,034 | — | — | ||||||||||||||
Miscellaneous expenses | 2,355 | 59,669 | 1,099 | 4,203 | ||||||||||||||
Total Expenses | 731,730 | 6,272,726 | 130,799 | 531,075 | ||||||||||||||
Net Investment Income (Loss) | 4,630,520 | 24,366,477 | 38,849 | (190,759 | ) | |||||||||||||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS AND FOREIGN CURRENCIES (NOTES 1 AND 3): | ||||||||||||||||||
Net Realized Gain (Loss) From: | ||||||||||||||||||
Investments | 1,399,450 | 17,788,667 | 371,234 | 18,120 | ||||||||||||||
Futures contracts | (94,986 | ) | (585,775 | ) | — | — | ||||||||||||
Foreign currencies | 617,933 | — | 3 | — | ||||||||||||||
Net Realized Gain | 1,922,397 | 17,202,892 | 371,237 | 18,120 | ||||||||||||||
Change in Net Unrealized Appreciation/ Depreciation From: | ||||||||||||||||||
Investments | (4,113,649 | ) | 32,557,471 | (22,620 | ) | 5,564,067 | ||||||||||||
Futures contracts | (13,228 | ) | (671,094 | ) | — | — | ||||||||||||
Foreign currencies | 37,661 | — | — | — | ||||||||||||||
Change in Net Unrealized Appreciation/ Depreciation | (4,089,216 | ) | 31,886,377 | (22,620 | ) | 5,564,067 | ||||||||||||
Net Gain (Loss) on Investments, Futures Contracts and Foreign Currencies | (2,166,819 | ) | 49,089,269 | 348,617 | 5,582,187 | |||||||||||||
Increase in Net Assets From Operations | $ | 2,463,701 | $ | 73,455,746 | $ | 387,466 | $ | 5,391,428 | ||||||||||
Greenwich Street Series Fund 2005 Annual Report 77
Statements of Changes in Net Assets (For the years ended December 31,) |
Diversified Strategic | |||||||||
Income Portfolio | |||||||||
2005 | 2004 | ||||||||
OPERATIONS: | |||||||||
Net investment income | $ | 4,630,520 | $ | 5,004,061 | |||||
Net realized gain | 1,922,397 | 1,766,018 | |||||||
Change in net unrealized appreciation/depreciation | (4,089,216 | ) | (424,571 | ) | |||||
Increase in Net Assets From Operations | 2,463,701 | 6,345,508 | |||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM (NOTES 1 AND 5): | |||||||||
Net investment income | (5,001,106 | ) | (4,799,696 | ) | |||||
Decrease in Net Assets From Distributions to Shareholders | (5,001,106 | ) | (4,799,696 | ) | |||||
FUND SHARE TRANSACTIONS (NOTE 6): | |||||||||
Net proceeds from sale of shares | 5,234,458 | 12,777,163 | |||||||
Reinvestment of distributions | 5,001,106 | 4,799,696 | |||||||
Cost of shares repurchased | (18,480,976 | ) | (13,390,612 | ) | |||||
Increase (Decrease) in Net Assets From Fund Share Transactions | (8,245,412 | ) | 4,186,247 | ||||||
Increase (Decrease) in Net Assets | (10,782,817 | ) | 5,732,059 | ||||||
NET ASSETS: | |||||||||
Beginning of year | 100,304,330 | 94,572,271 | |||||||
End of year* | $ | 89,521,513 | $ | 100,304,330 | |||||
* Includes overdistributed net investment income of: | $(2,773 | ) | $(112,788 | ) | |||||
78 Greenwich Street Series Fund 2005 Annual Report
Statements of Changes in Net Assets (For the years ended December 31,) |
Equity Index Portfolio | |||||||||
2005 | 2004 | ||||||||
OPERATIONS: | |||||||||
Net investment income | $ | 24,366,477 | $ | 24,537,742 | |||||
Net realized gain | 17,202,892 | 7,049,449 | |||||||
Change in net unrealized appreciation/depreciation | 31,886,377 | 124,448,953 | |||||||
Increase in Net Assets From Operations | 73,455,746 | 156,036,144 | |||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM (NOTES 1 AND 5): | |||||||||
Net investment income | (24,301,557) | (24,899,544) | |||||||
Decrease in Net Assets From Distributions to Shareholders | (24,301,557) | (24,899,544) | |||||||
FUND SHARE TRANSACTIONS (NOTE 6): | |||||||||
Net proceeds from sale of shares | 79,504,116 | 219,053,115 | |||||||
Reinvestment of distributions | 24,301,557 | 24,899,544 | |||||||
Cost of shares repurchased | (126,400,333) | (73,428,986) | |||||||
Increase (Decrease) in Net Assets From Fund Share Transactions | (22,594,660) | 170,523,673 | |||||||
Increase in Net Assets | 26,559,529 | 301,660,273 | |||||||
NET ASSETS: | |||||||||
Beginning of year | 1,651,758,016 | 1,350,097,743 | |||||||
End of year* | $ | 1,678,317,545 | $ | 1,651,758,016 | |||||
* Includes undistributed net investment income of: | $114,615 | $47,585 | |||||||
Greenwich Street Series Fund 2005 Annual Report 79
Statements of Changes in Net Assets (For the years ended December 31,) |
Salomon Brothers Variable | |||||||||
Growth & Income Fund | |||||||||
2005 | 2004 | ||||||||
OPERATIONS: | |||||||||
Net investment income | $ | 38,849 | $ | 99,926 | |||||
Net realized gain | 371,237 | 336,947 | |||||||
Change in net unrealized appreciation/depreciation | (22,620) | 456,349 | |||||||
Increase in Net Assets From Operations | 387,466 | 893,222 | |||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM (NOTES 1 AND 5): | |||||||||
Net investment income | (40,002) | (101,977) | |||||||
Decrease in Net Assets From Distributions to Shareholders | (40,002) | (101,977) | |||||||
FUND SHARE TRANSACTIONS (NOTE 6): | |||||||||
Net proceeds from sale of shares | 966,534 | 2,677,330 | |||||||
Reinvestment of distributions | 40,002 | 101,977 | |||||||
Cost of shares repurchased | (2,016,392) | (1,681,850) | |||||||
Increase (Decrease) in Net Assets From Fund Share Transactions | (1,009,856) | 1,097,457 | |||||||
Increase (Decrease) in Net Assets | (662,392) | 1,888,702 | |||||||
NET ASSETS: | |||||||||
Beginning of year | 11,758,573 | 9,869,871 | |||||||
End of year* | $ | 11,096,181 | $ | 11,758,573 | |||||
* Includes overdistributed net investment income of: | $(2,292) | $(1,537) | |||||||
80 Greenwich Street Series Fund 2005 Annual Report
Statements of Changes in Net Assets (For the years ended December 31,) |
Salomon Brothers Variable | |||||||||
Aggressive Growth Fund | |||||||||
2005 | 2004 | ||||||||
OPERATIONS: | |||||||||
Net investment loss | $ | (190,759) | $ | (161,918) | |||||
Net realized gain | 18,120 | 505,017 | |||||||
Change in net unrealized appreciation/depreciation | 5,564,067 | 2,563,072 | |||||||
Increase in Net Assets From Operations | 5,391,428 | 2,906,171 | |||||||
FUND SHARE TRANSACTIONS (NOTE 6): | |||||||||
Net proceeds from sale of shares | 17,389,739 | 25,873,371 | |||||||
Cost of shares repurchased | (3,934,857) | (3,424,165) | |||||||
Increase in Net Assets From Fund Share Transactions | 13,454,882 | 22,449,206 | |||||||
Increase in Net Assets | 18,846,310 | 25,355,377 | |||||||
NET ASSETS: | |||||||||
Beginning of year | 42,457,958 | 17,102,581 | |||||||
End of year* | $ | 61,304,268 | $ | 42,457,958 | |||||
* Includes accumulated net investment loss of: | $(1,981) | $(1,323) | |||||||
Greenwich Street Series Fund 2005 Annual Report 81
Financial Highlights |
For a share of each class of beneficial interest outstanding throughout each year ended December 31:
Diversified Strategic Income | |||||||||||||||||||||||
Portfolio(1) | 2005 | 2004 | 2003 | 2002 | 2001 | ||||||||||||||||||
Net Asset Value, Beginning of Year | $9.30 | $9.15 | $8.69 | $9.13 | $9.70 | ||||||||||||||||||
Income (Loss) From Operations: | |||||||||||||||||||||||
Net investment income | 0.46 | 0.48 | 0.52 | 0.53 | 0.65 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.22 | ) | 0.14 | 0.50 | (0.11 | ) | (0.36 | ) | |||||||||||||||
Total Income From Operations | 0.24 | 0.62 | 1.02 | 0.42 | 0.29 | ||||||||||||||||||
Less Distributions From: | |||||||||||||||||||||||
Net investment income | (0.53 | ) | (0.47 | ) | (0.56 | ) | (0.86 | ) | (0.86 | ) | |||||||||||||
Total Distributions | (0.53 | ) | (0.47 | ) | (0.56 | ) | (0.86 | ) | (0.86 | ) | |||||||||||||
Net Asset Value, End of Year | $9.01 | $9.30 | $9.15 | $8.69 | $9.13 | ||||||||||||||||||
Total Return(2) | 2.56 | % | 6.74 | % | 11.73 | % | 4.84 | % | 3.17 | % | |||||||||||||
Net Assets, End of Year (000s) | $89,522 | $100,304 | $94,572 | $78,009 | $79,399 | ||||||||||||||||||
Ratios to Average Net Assets: | |||||||||||||||||||||||
Gross expenses | 0.77 | % | 0.76 | % | 0.76 | % | 0.87 | % | 0.76 | % | |||||||||||||
Net expenses | 0.77 | 0.76 | (3) | 0.76 | 0.87 | 0.76 | |||||||||||||||||
Net investment income | 4.86 | 5.15 | 5.73 | 5.82 | 6.86 | ||||||||||||||||||
Portfolio Turnover Rate | 83 | %(4) | 57 | %(4) | 54 | %(4) | 149 | % | 118 | % | |||||||||||||
(1) | Per share amounts have been calculated using the average shares method. | |
(2) | Performance figures may reflect voluntary fee waivers and/or expense reimbursements. Past performance is no guarantee of future results. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would be lower. Total returns do not reflect expenses associated with the separate accounts such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total return for all periods shown. | |
(3) | The investment adviser voluntarily waived a portion of its fees. | |
(4) | Excluding mortgage dollar roll transactions. If mortgage dollar roll transactions had been included, the portfolio turnover rate would have been 538%, 382% and 256% for the years ended December 31, 2005, December 31, 2004 and December 31, 2003, respectively. |
82 Greenwich Street Series Fund 2005 Annual Report
Financial Highlights (continued) |
For a share of each class of beneficial interest outstanding throughout each year ended December 31:
Equity Index Portfolio — Class I Shares(1) | 2005 | 2004 | 2003 | 2002 | 2001 | ||||||||||||||||||
Net Asset Value, Beginning of Year | $29.50 | $27.11 | $21.41 | $28.21 | $32.40 | ||||||||||||||||||
Income (Loss) From Operations: | |||||||||||||||||||||||
Net investment income | 0.45 | 0.47 | 0.34 | 0.32 | 0.34 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.89 | 2.38 | 5.68 | (6.57 | ) | (4.26 | ) | ||||||||||||||||
Total Income (Loss) From Operations | 1.34 | 2.85 | 6.02 | (6.25 | ) | (3.92 | ) | ||||||||||||||||
Less Distributions From: | |||||||||||||||||||||||
Net investment income | (0.46 | ) | (0.46 | ) | (0.32 | ) | (0.55 | ) | (0.27 | ) | |||||||||||||
Total Distributions | (0.46 | ) | (0.46 | ) | (0.32 | ) | (0.55 | ) | (0.27 | ) | |||||||||||||
Net Asset Value, End of Year | $30.38 | $29.50 | $27.11 | $21.41 | $28.21 | ||||||||||||||||||
Total Return(2) | 4.52 | % | 10.52 | % | 28.11 | % | (22.17 | )% | (12.12 | )% | |||||||||||||
Net Assets, End of Year (millions) | $1,444 | $1,425 | $1,218 | $831 | $897 | ||||||||||||||||||
Ratios to Average Net Assets: | |||||||||||||||||||||||
Gross expenses | 0.34 | % | 0.34 | % | 0.34 | % | 0.31 | % | 0.23 | % | |||||||||||||
Net expenses | 0.34 | 0.34 | (3) | 0.34 | 0.31 | 0.23 | |||||||||||||||||
Net investment income | 1.51 | 1.69 | 1.44 | 1.32 | 1.17 | ||||||||||||||||||
Portfolio Turnover Rate | 7 | % | 1 | % | 0 | % | 2 | % | 2 | % | |||||||||||||
(1) | Per share amounts have been calculated using the average shares method. |
(2) | Performance figures may reflect voluntary fee waivers and/or expense reimbursements. Past performance is no guarantee of future results. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would be lower. Total returns do not reflect expenses associated with the separate accounts such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total return for all periods shown. |
(3) | The investment adviser voluntarily waived a portion of its fees. |
Greenwich Street Series Fund 2005 Annual Report 83
Financial Highlights (continued) |
For a share of each class of beneficial interest outstanding throughout each year ended December 31:
Equity Index Portfolio — Class II Shares(1) | 2005 | 2004 | 2003 | 2002 | 2001 | ||||||||||||||||||
Net Asset Value, Beginning of Year | $29.52 | $27.13 | $21.43 | $28.17 | $32.36 | ||||||||||||||||||
Income (Loss) From Operations: | |||||||||||||||||||||||
Net investment income | 0.37 | 0.42 | 0.28 | 0.24 | 0.27 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.89 | 2.36 | 5.66 | (6.54 | ) | (4.26 | ) | ||||||||||||||||
Total Income (Loss) From Operations | 1.26 | 2.78 | 5.94 | (6.30 | ) | (3.99 | ) | ||||||||||||||||
Less Distributions From: | |||||||||||||||||||||||
Net investment income | (0.38 | ) | (0.39 | ) | (0.24 | ) | (0.44 | ) | (0.20 | ) | |||||||||||||
Total Distributions | (0.38 | ) | (0.39 | ) | (0.24 | ) | (0.44 | ) | (0.20 | ) | |||||||||||||
Net Asset Value, End of Year | $30.40 | $29.52 | $27.13 | $21.43 | $28.17 | ||||||||||||||||||
Total Return(2) | 4.25 | % | 10.24 | % | 27.74 | % | (22.37 | )% | (12.36 | )% | |||||||||||||
Net Assets, End of Year (millions) | $234 | $227 | $132 | $86 | $97 | ||||||||||||||||||
Ratios to Average Net Assets: | |||||||||||||||||||||||
Gross expenses | 0.60 | % | 0.59 | % | 0.60 | % | 0.56 | % | 0.49 | % | |||||||||||||
Net expenses | 0.60 | 0.59 | (3) | 0.60 | 0.56 | 0.49 | |||||||||||||||||
Net investment income | 1.26 | 1.50 | 1.18 | 0.97 | 0.91 | ||||||||||||||||||
Portfolio Turnover Rate | 7 | % | 1 | % | 0 | % | 2 | % | 2 | % | |||||||||||||
(1) | Per share amounts have been calculated using the average shares method. |
(2) | Performance figures may reflect voluntary fee waivers and/or expense reimbursements. Past performance is no guarantee of future results. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would be lower. Total returns do not reflect expenses associated with the separate accounts such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total return for all periods shown. |
(3) | The investment adviser voluntarily waived a portion of its fees. |
84 Greenwich Street Series Fund 2005 Annual Report
Financial Highlights (continued) |
For a share of each class of beneficial interest outstanding throughout each year ended December 31:
Salomon Brothers Variable Growth & Income Fund — Class I Shares | 2005(1) | 2004(1) | 2003(1) | 2002 | 2001 | ||||||||||||||||||
Net Asset Value, Beginning of Year | $4.91 | $4.57 | $3.52 | $4.90 | $7.92 | ||||||||||||||||||
Income (Loss) From Operations: | |||||||||||||||||||||||
Net investment income | 0.02 | 0.04 | 0.01 | 0.00 | (2) | 0.03 | |||||||||||||||||
Net realized and unrealized gain (loss) | 0.16 | 0.34 | 1.05 | (1.14 | ) | (1.04 | ) | ||||||||||||||||
Total Income (Loss) From Operations | 0.18 | 0.38 | 1.06 | (1.14 | ) | (1.01 | ) | ||||||||||||||||
Less Distributions From: | |||||||||||||||||||||||
Net investment income | (0.02 | ) | (0.04 | ) | (0.01 | ) | (0.02 | ) | (0.12 | ) | |||||||||||||
Net realized gains | — | — | — | (0.22 | ) | (1.89 | ) | ||||||||||||||||
Total Distributions | (0.02 | ) | (0.04 | ) | (0.01 | ) | (0.24 | ) | (2.01 | ) | |||||||||||||
Net Asset Value, End of Year | $5.07 | $4.91 | $4.57 | $3.52 | $4.90 | ||||||||||||||||||
Total Return(3) | 3.63 | % | 8.38 | % | 30.16 | % | (23.35 | )% | (13.14 | )% | |||||||||||||
Net Assets, End of Year (000s) | $11,096 | $11,759 | $9,870 | $6,777 | $11,087 | ||||||||||||||||||
Ratios to Average Net Assets: | |||||||||||||||||||||||
Gross expenses | 1.17 | % | 1.09 | % | 1.27 | % | 1.36 | % | 0.94 | % | |||||||||||||
Net expenses | 1.17 | 1.07 | (4) | 1.27 | 1.36 | 0.94 | |||||||||||||||||
Net investment income | 0.35 | 0.95 | 0.36 | 0.04 | 0.31 | ||||||||||||||||||
Portfolio Turnover Rate | 54 | % | 83 | % | 63 | % | 46 | % | 81 | % | |||||||||||||
(1) | Per share amounts have been calculated using the average shares method. |
(2) | Amount represents less than $0.01 per share. |
(3) | Performance figures may reflect voluntary fee waivers and/or expense reimbursements. Past performance is no guarantee of future results. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would be lower. Total returns do not reflect expenses associated with the separate accounts such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total return for all periods shown. |
(4) | The investment adviser voluntarily waived a portion of its fees. |
Greenwich Street Series Fund 2005 Annual Report 85
Financial Highlights (continued) |
For a share of each class of beneficial interest outstanding throughout each year ended December 31:
Salomon Brothers Variable Aggressive Growth Fund — Class I Shares(1) | 2005 | 2004 | 2003 | 2002 | 2001(2) | ||||||||||||||||||
Net Asset Value, Beginning of Year | $21.23 | $19.46 | $13.89 | $25.98 | $178.99 | ||||||||||||||||||
Income (Loss) From Operations: | |||||||||||||||||||||||
Net investment loss | (0.06 | ) | (0.09 | ) | (0.19 | ) | (0.25 | ) | (0.50 | ) | |||||||||||||
Net realized and unrealized gain (loss) | 2.16 | 1.86 | 5.76 | (8.18 | ) | (9.85 | ) | ||||||||||||||||
Total Income (Loss) From Operations | 2.10 | 1.77 | 5.57 | (8.43 | ) | (10.35 | ) | ||||||||||||||||
Less Distributions From: | |||||||||||||||||||||||
Net realized gains | — | — | — | (3.66 | ) | (142.66 | ) | ||||||||||||||||
Total Distributions | — | — | — | (3.66 | ) | (142.66 | ) | ||||||||||||||||
Net Asset Value, End of Year | $23.33 | $21.23 | $19.46 | $13.89 | $25.98 | ||||||||||||||||||
Total Return(3) | 9.89 | % | 9.10 | % | 40.10 | % | (32.65 | )% | (5.32 | )% | |||||||||||||
Net Assets, End of Year (000s) | $33,220 | $21,706 | $11,684 | $5,975 | $12,745 | ||||||||||||||||||
Ratios to Average Net Assets: | |||||||||||||||||||||||
Gross expenses | 0.93 | % | 1.04 | % | 1.56 | % | 1.56 | % | 1.18 | % | |||||||||||||
Net expenses | 0.93 | 1.04 | (4) | 1.56 | 1.56 | 1.18 | |||||||||||||||||
Net investment loss | (0.26 | ) | (0.47 | ) | (1.16 | ) | (1.25 | ) | (0.97 | ) | |||||||||||||
Portfolio Turnover Rate | 0 | % | 4 | % | 3 | % | 4 | % | 0 | % | |||||||||||||
(1) | Per share amounts have been calculated using the average shares method. |
(2) | Per share amounts have been restated to reflect a 1 for 7 reverse stock split which was effective on September 7, 2001. |
(3) | Performance figures may reflect voluntary fee waivers and/or expense reimbursements. Past performance is no guarantee of future results. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would be lower. Total returns do not reflect expenses associated with the separate accounts such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total return for all periods shown. |
(4) | The investment adviser voluntarily waived a portion of its fees. |
86 Greenwich Street Series Fund 2005 Annual Report
Financial Highlights (continued) |
For a share of each class of beneficial interest outstanding throughout each year ended December 31, unless otherwise noted:
Salomon Brothers Variable | |||||||||||||||
Aggressive Growth Fund — Class II Shares(1) | 2005 | 2004 | 2003(2) | ||||||||||||
Net Asset Value, Beginning of Year | $21.05 | $19.35 | $15.64 | ||||||||||||
Income (Loss) From Operations: | |||||||||||||||
Net investment loss | (0.11 | ) | (0.14 | ) | (0.13 | ) | |||||||||
Net realized and unrealized gain | 2.14 | 1.84 | 3.84 | ||||||||||||
Total Income From Operations | 2.03 | 1.70 | 3.71 | ||||||||||||
Net Asset Value, End of Year | $23.08 | $21.05 | $19.35 | ||||||||||||
Total Return(3) | 9.64 | % | 8.79 | % | 23.72 | % | |||||||||
Net Assets, End of Year (000s) | $28,084 | $20,752 | $5,419 | ||||||||||||
Ratios to Average Net Assets: | |||||||||||||||
Gross expenses | 1.18 | % | 1.28 | % | 1.64 | % (4) | |||||||||
Net expenses | 1.18 | 1.28 | (5) | 1.64 | (4) | ||||||||||
Net investment loss | (0.51 | ) | (0.70 | ) | (1.25 | )(4) | |||||||||
Portfolio Turnover Rate | 0 | % | 4 | % | 3 | % | |||||||||
(1) | Per share amounts have been calculated using the average shares method. |
(2) | For the period May 12, 2003 (inception date) to December 31, 2003. |
(3) | Performance figures may reflect voluntary fee waivers and/or expense reimbursements. Past performance is no guarantee of future results. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would be lower. Total returns do not reflect expenses associated with the separate accounts such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total return for all periods shown. Total returns for periods of less than one year are not annualized. |
(4) | Annualized. |
(5) | The investment adviser voluntarily waived a portion of its fees. |
Greenwich Street Series Fund 2005 Annual Report 87
1. | Organization and Significant Accounting Policies |
recognized equal to the difference between the proceeds from (or cost of) the closing transactions and the Funds’ basis in the contracts.
interest income ratably over the term of the dollar roll and any gain or loss on the roll is deferred and realized upon disposition of the rolled security.
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.
reclassifications have no effect on net assets or net asset values per share. During the current year, the following reclassifications have been made:
Accumulated Net | |||||||||||||||||
Investment Loss/ | |||||||||||||||||
Undistributed/Overdistributed | Accumulated Net | ||||||||||||||||
Fund | Net Investment Income | Realized Losses | Paid-in Capital | ||||||||||||||
Diversified Strategic Income | (a) | $ | 11,886 | — | $ | (11,886 | ) | ||||||||||
Portfolio | (b) | 468,715 | $ | (468,715 | ) | — | |||||||||||
Equity Index Portfolio | (c) | 2,110 | (2,110 | ) | — | ||||||||||||
Growth & Income Fund | (d) | 395 | — | (395 | ) | ||||||||||||
(e) | 3 | (3 | ) | — | |||||||||||||
Aggressive Growth Fund | (f) | 190,101 | — | (190,101 | ) | ||||||||||||
(a) | Reclassifications are primarily due to a taxable overdistribution. |
(b) | Reclassifications are primarily due to foreign currency transactions treated as ordinary income for tax purposes, income from mortgage backed securities treated as capital gains for tax purposes, book/tax differences in the treatment of consent fees, and book/tax differences in the treatment of passive foreign investment companies. |
(c) | Reclassifications are primarily due to book/tax differences in the treatment of various items. |
(d) | Reclassifications are primarily due to a taxable overdistribution and rounding. |
(e) | Reclassifications are primarily due to foreign currency transactions treated as ordinary income for tax purposes. |
(f) | Reclassifications are primarily due to a tax net operating loss. |
2. | Management Agreement and Other Transactions with Affiliates |
net assets. These fees were calculated daily and paid monthly. The respective advisers and the annual rates were as follows:
Advisory | ||||||||
Adviser | Fee Rate | |||||||
Diversified Strategic Income Portfolio | SBFM | 0.450 | % | |||||
Equity Index Portfolio | TIMCO | 0.250 | ||||||
Aggressive Growth Fund | SBAM | 0.600 | ||||||
Growth and Income Fund paid investment advisory fees to SBAM, in accordance with the following breakpoint schedule:
Advisory | ||||
Average Daily Net Assets | Fee Rate | |||
First $1.0 billion | 0.450 | % | ||
Next $1.0 billion | 0.425 | |||
Next $1.0 billion | 0.400 | |||
Next $1.0 billion | 0.375 | |||
Over $4.0 billion | 0.350 | |||
CAM Ltd. served as sub-investment adviser to the Diversified Strategic Income Portfolio and was paid a monthly fee by SBFM calculated at a rate of 0.15% of the Fund’s average daily net assets. The Diversified Strategic Income Portfolio did not make any direct payments to CAM Ltd.
Diversified Strategic Income Portfolio:
Administration | ||||
Average Daily Net Assets | Fee Rate | |||
First $1.0 billion | 0.200% | |||
Next $1.0 billion | 0.175 | |||
Next $3.0 billion | 0.150 | |||
Next $5.0 billion | 0.125 | |||
Over $10.0 billion | 0.100 | |||
Growth & Income Fund:
Administration | ||||
Average Daily Net Assets | Fee Rate | |||
First $1.0 billion | 0.200% | |||
Next $1.0 billion | 0.175 | |||
Next $1.0 billion | 0.150 | |||
Next $1.0 billion | 0.125 | |||
Over $4.0 billion | 0.100 | |||
Aggressive Growth Fund:
Administration | ||||
Average Daily Net Assets | Fee Rate | |||
First $1.0 billion | 0.150% | |||
Next $1.0 billion | 0.125 | |||
Next $3.0 billion | 0.100 | |||
Next $5.0 billion | 0.075 | |||
Over $10.0 billion | 0.050 | |||
Not withstanding the foregoing, prior to October 1, 2005, the Aggressive Growth Fund paid an investment advisory fee to SBAM, in accordance with the following breakpoint schedule:
Advisory | ||||
Average Daily Net Assets | Fee Rate | |||
First $5.0 billion | 0.600% | |||
Next $2.5 billion | 0.575 | |||
Next $2.5 billion | 0.550 | |||
Over $10.0 billion | 0.500 | |||
Under the new Management Agreement, the Funds pay the Manager a management fee for advisory and administrative services in accordance with the following breakpoint schedules:
Diversified Strategic Income Portfolio:
Management | ||||
Average Daily Net Assets | Fee Rate | |||
First $1.0 billion | 0.650% | |||
Next $1.0 billion | 0.625 | |||
Next $3.0 billion | 0.600 | |||
Next $5.0 billion | 0.575 | |||
Over $10.0 billion | 0.550 | |||
Growth & Income Fund:
Management | ||||
Average Daily Net Assets | Fee Rate | |||
First $1.0 billion | 0.650% | |||
Next $1.0 billion | 0.600 | |||
Next $1.0 billion | 0.550 | |||
Next $1.0 billion | 0.500 | |||
Over $4.0 billion | 0.450 | |||
Aggressive Growth Fund:
Management | ||||
Average Daily Net Assets | Fee Rate | |||
First $1.0 billion | 0.750% | |||
Next $1.0 billion | 0.725 | |||
Next $3.0 billion | 0.700 | |||
Next $5.0 billion | 0.675 | |||
Over $10.0 billion | 0.650 | |||
The Equity Index Portfolio pays the Manager an advisory fee calculated at an annual rate of 0.25% of the Fund’s average daily net assets and an administration fee calculated at an annual rate of 0.06% of the Fund’s average daily net assets.
shareholder recordkeeping and financial processing for all shareholder accounts and was paid by CTB. For the period ended December 31, 2005, the Funds paid transfer agent fees of $13,823 to CTB.
Transfer Agent | ||||
Diversified Strategic Income Portfolio | $4,583 | |||
Equity Index Portfolio | 9,167 | |||
Growth & Income Fund | 35 | |||
Aggressive Growth Fund | 38 | |||
The Funds’ Board has appointed the Funds’ current distributor, Citigroup Global Markets Inc. (“CGM”) and Legg Mason Investor Services, LLC (“LMIS”), a wholly-owned broker-dealer subsidiary of Legg Mason, as co-distributors of the Funds. The Funds’ Board has also approved amended and restated Rule 12b-1 Plans (each, a “Rule 12b-1 Plan”). CGM and other broker-dealers, financial intermediaries and financial institutions (each called a “Service Agent”) that currently offer Fund shares will continue to make the Funds’ shares available to their clients. Additional Service Agents may offer Funds shares in the future.
3. | Investments |
U.S. Government & | ||||||||||||||||
Investments | Agency Obligations | |||||||||||||||
Purchases | Sales | Purchases | Sales | |||||||||||||
Diversified Strategic Income Portfolio | $ | 21,452,646 | $ | 46,637,749 | $ | 53,454,223 | $ | 34,717,503 | ||||||||
Equity Index Portfolio | 155,492,992 | 109,398,527 | — | — | ||||||||||||
Growth & Income Fund | 5,986,348 | 6,788,169 | — | — | ||||||||||||
Aggressive Growth Fund | 13,063,121 | 60,988 | — | — | ||||||||||||
At December 31, 2005, the aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes were as follows:
Gross unrealized | Gross unrealized | Net unrealized | ||||||||||
appreciation | depreciation | appreciation/depreciation | ||||||||||
Diversified Strategic Income Portfolio | $ | 1,485,048 | $ | (1,839,914 | ) | $ | (354,866 | ) | ||||
Equity Index Portfolio | 321,228,586 | (226,919,299 | ) | 94,309,287 | ||||||||
Growth & Income Fund | 2,210,520 | (142,183 | ) | 2,068,337 | ||||||||
Aggressive Growth Fund | 11,892,061 | (4,529,027 | ) | 7,363,034 | ||||||||
At December 31, 2005, the Funds had the following open futures contracts:
Diversified Strategic | Number of | Expiration | Basis | Market | Unrealized | |||||||||||||||
Income Portfolio | Contracts | Date | Value | Value | Gain/Loss | |||||||||||||||
Contracts to Buy: | ||||||||||||||||||||
U.S. Treasury 10 Year Notes | 21 | 3/06 | $ | 2,278,743 | $ | 2,297,531 | $ | 18,788 | ||||||||||||
U.S. Treasury 2 Year Notes | 11 | 3/06 | 2,255,851 | 2,257,062 | 1,211 | |||||||||||||||
19,999 | ||||||||||||||||||||
Contracts to Sell: | ||||||||||||||||||||
U.S. Treasury 5 Year Notes | 4 | 3/06 | $ | 423,329 | $ | 425,375 | (2,046 | ) | ||||||||||||
Net Unrealized Gain on Open Futures Contracts | $ | 17,953 | ||||||||||||||||||
During the year ended December 31, 2005, the Diversified Strategic Income Portfolio entered into mortgage dollar roll transactions in the aggregate amount of $412,431,914. For the year ended December 31, 2005, the Fund recorded interest income of $699,262
related to such transactions. At December 31, 2005, the Fund had outstanding net contracts to repurchase mortgage-backed securities of $40,407,598 for scheduled settlements on January 12 and 18, 2006.
4. | Class Specific Expenses |
Class II | ||
Equity Index Portfolio | $578,430 | |
Aggressive Growth Fund | 59,904 | |
For the year ended December 31, 2005, total Transfer Agent fees were as follows:
Class I | Class II | |||||||
Equity Index Portfolio | $ | 5,007 | $ | 5,008 | ||||
Aggressive Growth Fund | 88 | 81 | ||||||
For the year ended December 31, 2005, total Shareholder Reports expenses were as follows:
Class I | Class II | |||||
Equity Index Portfolio | $143,229 | $ | 26,173 | |||
Aggressive Growth Fund | 8,419 | 7,661 | ||||
5. | Distributions to Shareholders by Class |
Year Ended | Year Ended | |||||||
December 31, 2005 | December 31, 2004 | |||||||
Diversified Strategic Income Portfolio | ||||||||
Net investment income | $ | 5,001,106 | $ | 4,799,696 | ||||
Equity Index Portfolio Class I | ||||||||
Net investment income | $ | 21,430,279 | $ | 21,936,892 | ||||
Equity Index Portfolio Class II | ||||||||
Net investment income | $ | 2,871,278 | $ | 2,962,652 | ||||
Growth & Income Fund | ||||||||
Net investment income | $ | 40,002 | $ | 101,977 | ||||
For the years ended December 31, 2005 and 2004, the Aggressive Growth Fund did not make any distributions.
6. | Shares of Beneficial Interest |
Year Ended | Year Ended | |||||||||||||||
December 31, 2005 | December 31, 2004 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Diversified Strategic Income Portfolio | ||||||||||||||||
Shares sold | 559,692 | $ | 5,234,458 | 1,370,414 | $ | 12,777,163 | ||||||||||
Shares issued on reinvestment | 552,927 | 5,001,106 | 517,828 | 4,799,696 | ||||||||||||
Shares repurchased | (1,970,148 | ) | (18,480,976 | ) | (1,436,108 | ) | (13,390,612 | ) | ||||||||
Net Increase (Decrease) | (857,529 | ) | $ | (8,245,412 | ) | 452,134 | $ | 4,186,247 | ||||||||
Year Ended | Year Ended | |||||||||||||||
December 31, 2005 | December 31, 2004 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Equity Index Portfolio Class I | ||||||||||||||||
Shares sold | 1,783,407 | $ | 52,469,338 | 4,668,053 | $ | 129,139,424 | ||||||||||
Shares issued on reinvestment | 699,911 | 21,430,279 | 743,910 | 21,936,892 | ||||||||||||
Shares repurchased | (3,243,069 | ) | (96,663,549 | ) | (2,029,271 | ) | (56,382,704 | ) | ||||||||
Net Increase (Decrease) | (759,751 | ) | $ | (22,763,932 | ) | 3,382,692 | $ | 94,693,612 | ||||||||
Equity Index Portfolio Class II | ||||||||||||||||
Shares sold | 917,995 | $ | 27,034,778 | 3,314,334 | $ | 89,913,691 | ||||||||||
Shares issued on reinvestment | 93,715 | 2,871,278 | 100,387 | 2,962,652 | ||||||||||||
Shares repurchased | (1,001,831 | ) | (29,736,784 | ) | (610,686 | ) | (17,046,282 | ) | ||||||||
Net Increase | 9,879 | $ | 169,272 | 2,804,035 | $ | 75,830,061 | ||||||||||
Growth & Income Fund | ||||||||||||||||
Shares sold | 199,677 | $ | 966,534 | 578,485 | $ | 2,677,330 | ||||||||||
Shares issued on reinvestment | 7,828 | 40,002 | 20,749 | 101,977 | ||||||||||||
Shares repurchased | (414,168 | ) | (2,016,392 | ) | (367,287 | ) | (1,681,850 | ) | ||||||||
Net Increase (Decrease) | (206,663 | ) | $ | (1,009,856 | ) | 231,947 | $ | 1,097,457 | ||||||||
Aggressive Growth Fund Class I | ||||||||||||||||
Shares sold | 473,718 | $ | 10,157,123 | 523,041 | $ | 10,418,783 | ||||||||||
Shares repurchased | (72,209 | ) | (1,562,217 | ) | (101,052 | ) | (2,029,612 | ) | ||||||||
Net Increase | 401,509 | $ | 8,594,906 | 421,989 | $ | 8,389,171 | ||||||||||
Aggressive Growth Fund Class II | ||||||||||||||||
Shares sold | 342,024 | $ | 7,232,616 | 777,437 | $ | 15,454,588 | ||||||||||
Shares repurchased | (110,836 | ) | (2,372,640 | ) | (71,755 | ) | (1,394,553 | ) | ||||||||
Net Increase | 231,188 | $ | 4,859,976 | 705,682 | $ | 14,060,035 | ||||||||||
7. | Income Tax Information and Distributions to Shareholders |
Diversified Strategic | Equity Index | Growth & | |||||||||||
Income Portfolio | Portfolio | Income Fund | |||||||||||
Distributions paid from: | |||||||||||||
Ordinary Income | $ | 5,001,106 | $ | 24,301,557 | $ | 40,002 | |||||||
The Aggressive Growth Fund did not make any distributions during the fiscal year ended December 31, 2005.
The tax character of distributions paid during the fiscal year ended December 31, 2004 was as follows:
Diversified Strategic | Equity Index | Growth & | |||||||||||
Income Portfolio | Portfolio | Income Fund | |||||||||||
Distributions paid from: | |||||||||||||
Ordinary Income | $ | 4,799,696 | $ | 24,899,544 | $ | 101,977 | |||||||
The Aggressive Growth Fund did not make any distributions during the fiscal year ended December 31, 2004.
Diversified | ||||||||||||||||
Strategic Income | Equity Index | Growth & | Aggressive | |||||||||||||
Portfolio | Portfolio | Income Fund | Growth Fund | |||||||||||||
Undistributed ordinary income — net | — | $ | 117,678 | — | — | |||||||||||
Capital loss carryforward* | $ | (7,111,968 | ) | (7,879,134 | ) | $ | (625,649 | ) | $ | (577,590 | ) | |||||
Other book/tax temporary differences | (33,255 | )(a) | (3,063 | )(c) | (11,015 | ) (e) | (1,995 | )(e) | ||||||||
Unrealized appreciation/(depreciation) | (341,709 | )(b) | 94,309,287 | (d) | 2,068,337 | (f) | 7,363,034 | (g) | ||||||||
Total accumulated earnings/(losses) — net | $ | (7,486,932 | ) | $ | 86,544,768 | $ | 1,431,673 | $ | 6,783,449 | |||||||
* | During the taxable year ended December 31, 2005, Diversified Strategic Income Portfolio utilized $1,332,611, Equity Index Portfolio utilized $22,423,970, Growth & Income Fund utilized $264,015, and Aggressive Growth Fund utilized $18,134, of each of their respective capital loss carryovers available from prior years. As of December 31, 2005, the Funds had the following net capital loss carryforwards remaining: |
Diversified | ||||||||||||||||
Strategic Income | Equity Index | Growth & | Aggressive | |||||||||||||
Portfolio | Portfolio | Income Fund | Growth Fund | |||||||||||||
Years of Expiration | ||||||||||||||||
12/31/2008 | $ | (449,197 | ) | — | — | — | ||||||||||
12/31/2009 | (4,543,816 | ) | — | — | — | |||||||||||
12/31/2010 | (2,118,955 | ) | $ | (7,879,134 | ) | — | $ | (577,590 | ) | |||||||
12/31/2011 | — | — | $ | (625,649 | ) | — | ||||||||||
$ | (7,111,968 | ) | $ | (7,879,134 | ) | $ | (625,649 | ) | $ | (577,590 | ) | |||||
These amounts will be available to offset any future taxable gains. |
(a) | Other book/tax temporary differences are attributable primarily to the realization for tax purposes of unrealized gains on certain futures contracts, the deferral of post- October capital losses for tax purposes, and differences in the book/tax treatment of various items. |
(b) | The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to the tax deferral of losses on wash sales and book/tax differences in the treatment of consent fees. |
(c) | Other book/tax temporary differences are attributable primarily to differences in the book/tax treatment of various items. |
(d) | The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to the tax deferral of losses on wash sales, the difference between the book and tax cost basis of investments in real estate investment trusts, and other book/tax basis of adjustments. |
(e) | Other book/tax temporary differences are attributable primarily to the deferral of post-October capital losses for tax purposes and differences in the book/tax treatment of various items. |
(f) | The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to the tax deferral of losses on wash sales. |
(g) | The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to other book/tax basis adjustments. |
8. | Regulatory Matters |
proposal to serve as transfer agent. Under the order, SBFM also must comply with an amended version of a vendor policy that Citigroup instituted in August 2004.
9. | Legal Matters |
* * *
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, the Funds’ investment manager believes the Funds have significant defenses to such allegations, which the Funds intend to vigorously assert in responding to the Complaint.
10. | Other Matters |
The Shareholders and Board of Trustees
Greenwich Street Series Fund:
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Diversified Strategic Income Portfolio, Equity Index Portfolio, Salomon Brothers Variable Growth & Income Fund and Salomon Brothers Variable Aggressive Growth Fund (formerly Salomon Brothers Variable Emerging Growth Fund), each a series of Greenwich Street Series Fund, as of December 31, 2005, and the related statements of operations for the year then ended, statements of changes in net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
New York, New York
February 22, 2006
Greenwich Street Series Fund
Analysis of the Nature, Extent and Quality of the Services
Fund Performance
three-, five- and ten-year periods. In fact, the Aggressive Growth Fund’s performance for the five- and ten-year periods ranked in the 1st quintile of the Performance Universe. The Board also reviewed performance information provided by the Manager for periods ended June 2005, which showed the Fund outperformed the Lipper category average during the second quarter. The Board discussed with representatives of the Manager the reasons for the Fund’s underperformance compared to the Lipper category average for the one-year period ended March 31, 2005. The Board members noted that the portfolio manager is very experienced with a superior long-term performance record, and expressed their confidence in the portfolio management team. Based on its review, the Board generally was satisfied with the Aggressive Growth Fund’s performance.
Management Fees and Expense Ratios
executive, chief financial and chief compliance officers), and that the Manager coordinates and oversees the provision of services to the Funds by other fund providers. The Board considered the fee comparisons in light of the differences required to manage these different types of accounts. The Board received an analysis of complex-wide management fees provided by the Manager, which, among other things, set out a proposed framework of fees based on asset classes.
with the Board, the Manager offered an additional reduction to the Contractual Management Fee and to institute revised fee breakpoints effective October 1, 2005, acknowledging that Aggressive Growth Fund did not yet have enough assets to realize the benefits of the new fee schedule. The Board noted that breakpoints will help reduce the management fee of Aggressive Growth Fund to the extent Aggressive Growth Fund’s assets increase to a level at which the breakpoints are triggered.
Manager Profitability
Economies of Scale
levels for those management fees with breakpoints) would be more appropriate or reasonable taking into consideration economies of scale or other efficiencies.
Other Benefits to the Manager
of brokerage commissions and the opportunity to offer additional products and services to each Fund’s shareholders.
Additional Information
Legg Mason, including its financial condition, asset management capabilities and organization, and CAM provided materials and information about the Transaction between Legg Mason and Citigroup. To assist the Board in its consideration of the New Subadvisory Agreement, the Board received in advance of their meeting certain materials and information. Representatives of CAM and Legg Mason also made presentations to and responded to questions from the Board. The Independent Board Members, through their independent legal counsel, also requested and received additional information from CAM and Legg Mason in connection with their consideration of the New Management Agreement [and the New Subadvisory Agreement. The additional information was provided in advance of and at the August meeting. After the presentations and after reviewing the written materials provided, the Independent Board Members met in executive session with their counsel to consider the New Management Agreement and the New Subadvisory Agreement. The Independent Board Members also conferred separately and with their counsel about the Transaction on a number of occasions, including in connection with the July and August meetings.
(i) the reputation, financial strength and resources of Legg Mason and its investment advisory subsidiaries; | |
(ii) that, following the Transaction, CAM will be part of an organization focused on the asset management business; | |
(iii) that Legg Mason is an experienced and respected asset management firm, and that Legg Mason has advised the Board Members that (a) it may wish to combine certain CAM operations with those of certain Legg Mason subsidiaries; (b) it is expected that these combination processes will result in changes to portfolio managers or portfolio management teams for a number of the CAM funds, subject to Board oversight and appropriate notice to shareholders, and that, in other cases, the current portfolio managers or portfolio management teams will remain in place; and (c) in the future, it may recommend that Legg Mason subsidiaries be appointed as the adviser or subadviser to some or all of the CAM funds, subject to applicable regulatory requirements; | |
(iv) that Legg Mason and its wholly-owned subsidiary, Western Asset Management Company and its affiliates (“Western Asset”), are experienced and respected asset management firms, and that Legg Mason has advised the Board Members that (a) it intends to combine the fixed income investment operations (including money market fund operations) of CAM with those of Western Asset and may also wish to combine other CAM operations with those of other Legg Mason subsidiaries; (b) after the closing of the Transaction, it will take steps to combine the investment management operations of Western Asset with the fixed income operations of the Adviser, which, among other things, may involve Western Asset and the Adviser sharing common systems and procedures, employees (including portfolio managers), investment and trading platforms, and other resources; (c) it is expected |
that these combination processes will result in changes to portfolio managers or portfolio management teams for a number of the CAM funds, subject to Board oversight and appropriate notice to shareholders, and that, in other cases, the current portfolio managers or portfolio management teams will remain in place; and (d) in the future, it may recommend that Western Asset or other Legg Mason subsidiaries be appointed as the adviser or subadviser to some or all of the CAM funds, subject to applicable regulatory requirements; | |
(v) that CAM management had advised the Board that a number of portfolio managers and other key CAM personnel would be retained after the closing of the Transaction; | |
(vi) that CAM management and Legg Mason have advised the Board that following the Transaction, there is not expected to be any diminution in the nature, quality and extent of services provided to the Funds and their shareholders by the Adviser, including compliance services; | |
(vii) that under the Transaction Agreement, Citigroup and Legg Mason have agreed not to take any action that is not contemplated by the Transaction or fail to take any action that to their respective knowledge would cause any “undue burden” on each Fund’s shareholders under applicable provisions of the 1940 Act; | |
(viii) the assurances from Citigroup and Legg Mason that, for a three-year period following the closing of the Transaction, Citigroup-affiliated broker-dealers will continue to offer the Funds as an investment product, and the potential benefits to each Fund’s shareholders from this and other third-party distribution access; | |
(ix) the division of responsibilities between the Adviser and the Subadviser and the services provided by each of them, and the cost to the Adviser of obtaining those services; | |
(x) the potential benefits to each Fund’s shareholders from being part of a combined fund family with Legg Mason-sponsored funds; | |
(xi) that Citigroup and Legg Mason would derive benefits from the Transaction and that, as a result, they have a financial interest in the matters that were being considered; | |
(xii) the potential effects of regulatory restrictions on the Funds if Citigroup-affiliated broker-dealers remain principal underwriters of the Funds’ after the closing of the Transaction; | |
(xiii) the fact that the Funds’ total advisory and administrative fees will not increase by virtue of the New Management Agreement, but will remain the same; | |
(xiv) the terms and conditions of the New Management Agreement, including the differences from the current advisory agreement, and the benefits of a single, uniform form of agreement covering these services; | |
(xv) that the Funds would not bear the costs of obtaining shareholder approval of the New Management Agreement; | |
(xvi) that the Funds would avail themselves of permissions granted under certain licensing arrangements between Citigroup and Legg Mason that would permit |
the Funds (including any share classes thereof) to maintain their current name, as well as all logos, trademarks and service marks, related to Citigroup or any of its affiliates for some agreed upon time period after the closing of the Transaction; and | |
(xvii) that, as discussed in detail above, within the past year the Board had performed a full annual review of the current advisory agreement as required by the 1940 Act. In that regard, the Board, in its deliberations concerning the New Management Agreement, considered the same factors regarding the nature, quality and extent of services provided, costs of services provided, profitability, fall-out benefits, fees and economies of scale and investment performance as it did when it renewed the current advisory agreement, and reached substantially the same conclusions. |
(i) the current responsibilities of the Subadviser and the services currently provided by it; | |
(ii) Legg Mason’s combination plans, as described above; | |
(iii) that CAM management and Legg Mason have advised the Board that following the Transaction, there is not expected to be any diminution in the nature, quality and extent of services provided to the Fund and its shareholders by the Subadviser, including compliance services; | |
(iv) the fact that the fees paid to the Subadviser (which are paid by the Adviser and not the Fund) will not increase by virtue of the New Subadvisory Agreement, but will remain the same; | |
(v) the terms and conditions of the New Subadvisory Agreement, and, the benefits of a single, uniform form of agreement covering these services; | |
(vi) that, as discussed in greater detail above, within the past year the Board had performed a full annual review of the current subadvisory agreement as required by the 1940 Act. In that regard, the Board, in its deliberations concerning the New Subadvisory Agreement, considered the same factors regarding the nature, quality and extent of services provided, costs of services provided, fees and economies of scale and investment performance as it did when it renewed the current subadvisory agreement, and reached substantially the same conclusions. | |
(vii) that the Fund would not bear the costs of obtaining shareholder approval of the New Subadvisory Agreement; and | |
(viii) the factors enumerated and/or discussed above in connection with the approval of the New Management Agreement, to the extent relevant. |
Information about Trustees and Officers
Number of | ||||||||||||||
Term of | Portfolios | |||||||||||||
Office* and | Principal | in Fund | ||||||||||||
Position(s) | Length of | Occupation(s) | Complex | Other Board | ||||||||||
Held with | Time | During Past | Overseen by | Memberships Held | ||||||||||
Name, Address and Birth Year | Trust | Served | 5 Years | Trustee | by Trustee | |||||||||
Non-Interested Trustees: | ||||||||||||||
Dwight B. Crane Harvard Business School Soldiers Field Morgan Hall #375 Boston, MA 02163 Birth Year: 1937 | Trustee | Since 1995 | Professor, Harvard Business School | 49 | None | |||||||||
Burt N. Dorsett 201 East 62nd Street New York, NY 10021 Birth Year: 1930 | Trustee | Since 1991 | President of Dorsett McCabe Capital Management Inc.; Chief Investment Officer of Leeb Capital Management, Inc. (since 1999) | 27 | None | |||||||||
Elliot S. Jaffe The Dress Barn, Inc. Executive Office 30 Dunnigan Drive Suffern, NY 10901 Birth Year: 1926 | Trustee | Since 1991 | Chairman of the Board of The Dress Barn, Inc. | 27 | The Dress Barn, Inc. | |||||||||
Stephen E. Kaufman Stephen E. Kaufman PC 277 Park Avenue, 47th Floor New York, NY 10172 Birth Year: 1932 | Trustee | Since 1995 | Attorney | 55 | None | |||||||||
Cornelius C. Rose, Jr. Meadowbrook Village Building 1, Apt. 6 West Lebanon, NH 03784 Birth Year: 1932 | Trustee | Since 1991 | Chief Executive Officer of Performance Learning Systems | 27 | None |
Number of | ||||||||||||||
Term of | Portfolios | |||||||||||||
Office* and | Principal | in Fund | ||||||||||||
Position(s) | Length of | Occupation(s) | Complex | Other Board | ||||||||||
Held with | Time | During Past | Overseen by | Memberships Held | ||||||||||
Name, Address and Birth Year | Trust | Served | 5 Years | Trustee | by Trustee | |||||||||
Interested Trustee: | ||||||||||||||
R. Jay Gerken** CAM 399 Park Avenue Mezzanine New York, NY 10022 Birth Year: 1951 | Chairman, President and Chief Executive Officer | Since 2002 | Managing Director of CAM; Chairman, President and Chief Executive Officer of Smith Barney Fund Management LLC (“SBFM”), and Citi Fund Management Inc. (“CFM”); President and Chief Executive Officer of certain mutual funds associated with CAM; Formerly Portfolio Manager of Smith Barney Allocation Series Inc. (from 1996 to 2001) and Smith Barney Growth and Income Fund (from 1996 to 2000); Chairman, President and Chief Executive Officer of Travelers Investment Adviser, Inc. (“TIA”) (from 2002 to 2005) | 183 | None |
Number of | ||||||||||||||
Term of | Portfolios | |||||||||||||
Office* and | Principal | in Fund | ||||||||||||
Position(s) | Length of | Occupation(s) | Complex | Other Board | ||||||||||
Held with | Time | During Past | Overseen by | Memberships Held | ||||||||||
Name, Address and Birth Year | Trust | Served | 5 Years | Trustee | by Trustee | |||||||||
Officers: | ||||||||||||||
Andrew B. Shoup CAM 125 Broad Street 11th Floor New York, NY 10004 Birth Year: 1956 | Senior Vice President and Chief Administrative Officer | Since 2003 | Director of CAM; Senior Vice President and Chief Administrative Officer of certain mutual funds associated with CAM; Chief Financial Officer and Treasurer of certain mutual funds associated with CAM; Head of International Funds Administration of CAM (from 2001 to 2003); Director of Global Funds to Administration of CAM (from 2000 to 2001); Head of U.S. Citibank Funds Administration of CAM (from 1998 to 2000) | N/A | N/A | |||||||||
Kaprel Ozsolak CAM 125 Broad Street 11th Floor New York, NY 10004 Birth Year: 1965 | Chief Financial Officer and Treasurer | Since 2004 | Director of CAM; Chief Financial Officer and Treasurer of certain mutual funds associated with Citigroup; Controller of certain funds associated with Citigroup (from 2002 to 2004) | N/A | N/A | |||||||||
Olivier Asselin Citigroup Asset Management Limited (“CAM Ltd”) Citigroup Centre Canada Square Canary Wharf, London E14 5LB Birth Year: 1963 | Vice President and Investment Officer | Since 2002 | Investment Officer of CAM Ltd. | N/A | N/A |
Number of | ||||||||||||||
Term of | Portfolios | |||||||||||||
Office* and | Principal | in Fund | ||||||||||||
Position(s) | Length of | Occupation(s) | Complex | Other Board | ||||||||||
Held with | Time | During Past | Overseen by | Memberships Held | ||||||||||
Name, Address and Birth Year | Trust | Served | 5 Years | Trustee | by Trustee | |||||||||
Kevin Caliendo CAM 399 Park Avenue New York, NY 10022 Birth Year: 1970 | Vice President and Investment Officer | Since 2002 | Managing Director of CAM Investment Officer of Salomon Brothers Assets Management Inc. (“SBAM”) | N/A | N/A | |||||||||
Richard A. Freeman CAM 399 Park Avenue 4th Floor New York, NY 10022 Birth Year: 1953 | Vice President and Investment Officer | Since 2004 | Managing Director of CAM and Investment Officer of SBAM | N/A | N/A | |||||||||
John G. Goode CAM One Sansome Street 36th Floor San Francisco, CA 94104 Birth Year: 1944 | Vice President and Investment Officer | Since 1993 | Managing Director of CAM; Investment Officer of SBFM | N/A | N/A | |||||||||
Martin R. Hanley CAM 399 Park Avenue 4th Floor New York, NY 10022 Birth Year: 1965 | Vice President and Investment Officer | Since 2001 | Managing Director of CAM; Investment Officer of SBFM | N/A | N/A | |||||||||
Michael A. Kagan CAM 399 Park Avenue 4th Floor New York, NY 10022 Birth Year: 1960 | Vice President and Investment Officer | Since 2000 | Managing Director of CAM; Investment Officer of SBFM | N/A | N/A | |||||||||
John Lau TIMCO 100 First Stamford Place 7th Floor Stamford CT 06902 Birth Year: 1965 | Vice President and Investment Officer | Since 2000 | Investment Officer of TIMCO Asset Management, Inc. (“TIMCO”) | N/A | N/A | |||||||||
Daniel Willey TIMCO 100 First Stamford Place 7th Floor Stamford, CT 06902 Birth Year: 1955 | Vice President and Investment Officer | Since 1994 | Investment Officer of TIMCO | N/A | N/A | |||||||||
Alex Romeo TIMCO 100 First Stamford Place 7th Floor Stamford, CT 06902 Birth Year: 1964 | Vice President and Investment Officer | Since 1998 | Investment Officer of TIMCO | N/A | N/A |
Number of | ||||||||||||||
Term of | Portfolios | |||||||||||||
Office* and | Principal | in Fund | ||||||||||||
Position(s) | Length of | Occupation(s) | Complex | Other Board | ||||||||||
Held with | Time | During Past | Overseen by | Memberships Held | ||||||||||
Name, Address and Birth Year | Trust | Served | 5 Years | Trustee | by Trustee | |||||||||
Louis Scott TIMCO 100 First Stamford Place 7th Floor Stamford, CT 06902 Birth Year: 1962 | Vice President and Investment Officer | Since 1999 | Investment Officer of TIMCO | N/A | N/A | |||||||||
Roger M. Lavan CAM 399 Park Avenue 4th Floor New York, NY 10022 Birth Year: 1963 | Vice President and Investment Officer | Since 2002 | Managing Director of CAM; Investment Officer of SBAM | N/A | N/A | |||||||||
Beth A. Semmel, CFA CAM 399 Park Avenue 4th Floor New York, NY 10022 Birth Year: 1960 | Vice President and Investment Officer | Since 2002 | Managing Director of CAM; Investment Officer of SBAM | N/A | N/A | |||||||||
Peter J. Wilby, CFA CAM 399 Park Avenue 4th Floor New York, NY 10022 Birth Year: 1958 | Vice President and Investment Officer | Since 2002 | Managing Director of CAM; Chief Investment Officer of SBAM | N/A | N/A | |||||||||
David M. Zahn CAM Ltd Citigroup Centre Canada Square 7th Floor Canary Wharf, London E14 5LB Birth Year: 1970 | Vice President and Investment Officer | Since 2002 | Investment Officer of CAM Ltd | N/A | N/A | |||||||||
John Chiota CAM 100 First Stamford Place 5th Floor Stamford, CT 06902 Birth Year: 1968 | Chief Anti-Money Laundering Compliance Officer | Since 2006 | Vice President of CAM (since 2004); Chief Anti-Money Laundering Compliance Officer with certain mutual funds associated with CAM (since 2006); prior to August 2004, Chief AML Compliance Officer with TD Waterhouse. | N/A | N/A |
Number of | ||||||||||||||
Term of | Portfolios | |||||||||||||
Office* and | Principal | in Fund | ||||||||||||
Position(s) | Length of | Occupation(s) | Complex | Other Board | ||||||||||
Held with | Time | During Past | Overseen by | Memberships Held | ||||||||||
Name, Address and Birth Year | Trust | Served | 5 Years | Trustee | by Trustee | |||||||||
Ted P. Becker CAM 399 Park Avenue New York, NY 10022 Birth Year: 1951 | Chief Compliance Officer | Since 2006 | Managing Director of Compliance at Legg Mason & Co., LLC, (2005- Present); Chief Compliance Officer with certain mutual funds associated with CAM (since 2006); Managing Director of Compliance at Citigroup Asset Management (2002-2005). Prior to 2002, Managing Director-Internal Audit & Risk Review at Citigroup Inc. | N/A | N/A | |||||||||
Steven Frank CAM 125 Broad Street New York, NY 10004 Birth Year: 1967 | Controller | Since 2005 | Vice President of CAM (since 2002); Controller of certain mutual funds associated with Citigroup; Assistant Controller of CAM (from 2001 to 2005). | N/A | N/A | |||||||||
Robert I. Frenkel CAM 300 First Stamford Place 4th Floor Stamford, CT 06902 Birth Year: 1954 | Secretary and Chief Legal Officer Secretary | Since 2003 | Managing Director and General Counsel of Global Mutual Funds for CAM and its predecessor (since 1994); Secretary and Chief Legal Officer of certain mutual funds associated with CAM | N/A | N/A |
* | Each Trustee and Officer serves until his or her successor has been duly elected and qualified. | |
** | Mr. Gerken is an “interested person” of the Trust as defined in the Investment Company Act of 1940, as amended, because Mr. Gerken is an officer of SBFM and certain of its affiliates. |
On November 15, 2005, a Special Meeting of Shareholders was held to elect Trustees. The following table provides the number of votes cast for, authority withheld as well as the number of abstentions.
Authority | ||||||||||||
Election of Trustees1 | Votes For | Withheld | Abstentions | |||||||||
Nominees: | ||||||||||||
Dwight B. Crane | 143,577,643.247 | 5,339,555.080 | 0.000 | |||||||||
Burt N. Dorsett | 143,517,903.371 | 5,399,294.956 | 0.000 | |||||||||
Elliot S. Jaffe | 143,458,316.975 | 5,458,881.352 | 0.000 | |||||||||
Stephen E. Kaufman | 143,448,491.617 | 5,468,706.710 | 0.000 | |||||||||
Cornelius C. Rose, Jr. | 143,482,573.616 | 5,434,624.711 | 0.000 | |||||||||
R. Jay Gerken | 143,426,673.737 | 5,490,524.590 | 0.000 | |||||||||
Diversified Strategic Income Portfolio
Results of a Special Meeting of Shareholders
Votes | Broker | |||||||||||||||
Item Voted On | Votes For | Against | Abstentions | Non-Votes | ||||||||||||
New Management Agreement | 9,225,960.911 | 307,849.153 | 395,829.466 | 0.000 | ||||||||||||
New Subadvisory Agreement | 9,215,603.171 | 304,908.753 | 409,127.606 | 0.000 | ||||||||||||
Equity Index Portfolio
Results of a Special Meeting of Shareholders
Votes | Broker | |||||||||||||||
Item Voted On | Votes For | Against | Abstentions | Non-Votes | ||||||||||||
New Advisory Agreement | 51,616,707.923 | 1,916,002.153 | 2,291,391.535 | 0.000 | ||||||||||||
Salomon Brothers Variable Growth & Income Fund
Results of a Special Meeting of Shareholders
Votes | Broker | |||||||||||||||
Item Voted On | Votes For | Against | Abstentions | Non-Votes | ||||||||||||
New Management Agreement | 1,134,516.500 | 28,857.866 | 76,759.267 | 0.000 | ||||||||||||
Salomon Brother Variable Aggressive Growth Fund
Results of a Special Meeting of Shareholders
Votes | Broker | |||||||||||||||
Item Voted On | Votes For | Against | Abstentions | Non-Votes | ||||||||||||
New Management Agreement | 1,819,836.540 | 9,047.655 | 11,477.008 | 0.000 | ||||||||||||
The following information is provided with respect to the distributions paid during the taxable year ended December 31, 2005:
Equity Index Portfolio | Growth & Income Fund | |||||||||
Record Date: | 8/18/2005 | 12/27/2005 | 12/27/2005 | |||||||
Payable Date: | 8/19/2005 | 12/28/2005 | 12/28/2005 | |||||||
Dividends Qualifying for the Dividends Received Deduction for Corporations | 100.00% | 100.00% | 100.00% |
Greenwich Street Series Fund |
TRUSTEES |
Dwight B. Crane Burt N. Dorsett R. Jay Gerken, CFA Chairman Elliot S. Jaffe Stephen E. Kaufman Cornelius C. Rose, Jr. |
OFFICERS |
R. Jay Gerken, CFA President and Chief Executive Officer Andrew B. Shoup Senior Vice President and Chief Administrative Officer Kaprel Ozsolak Chief Financial Officer and Treasurer Oliver Asselin Vice President and Investment Officer Kevin Caliendo Vice President and Investment Officer Richard A. Freeman Vice President and Investment Officer Martin R. Hanley Vice President and Investment Officer Michael A. Kagan Vice President and Investment Officer John Lau Vice President and Investment Officer Roger M. Lavan Vice President and Investment Officer |
OFFICERS (Cont’d.) |
Alex A. Romeo Vice President and Investment Officer Beth A. Semmel, CFA Vice President and Investment Officer Louis Scott Vice President and Investment Officer Peter J. Wilby, CFA Vice President and Investment Officer Daniel Willey Vice President and Investment Officer David M. Zahn Vice President and Investment Officer Ted P. Becker Chief Compliance Officer John Chiota Chief Anti-Money Laundering Compliance Officer Steven Frank Controller Robert I. Frenkel Secretary and Chief Legal Officer |
INVESTMENT MANAGERS |
Smith Barney Fund Management LLC |
Salomon Brothers Asset Management Inc |
TIMCO Asset Management, Inc. |
ADMINISTRATOR |
Smith Barney Fund Management LLC |
DISTRIBUTORS |
Citigroup Global Markets Inc. Legg Mason Investor Services, LLC |
CUSTODIAN |
State Street Bank and Trust Company |
TRANSFER AGENT |
PFPC Inc. 4400 Computer Drive Westborough, Massachusetts 01581 |
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
KPMG LLP 345 Park Avenue New York, New York 10154 |
This report is submitted for the general information of shareholders of the Greenwich Street Series Fund, but it may also be used as sales literature when proceeded or accompanied by the current prospectus. This report must be preceded or accompanied by a free prospectus. Investors should consider the Funds’ investment objectives, risks, charges and expenses carefully before investing. The prospectus contains this and other information about the Funds. Please read the prospectus carefully before investing. www.citigroupam.com ©2005 Legg Mason Investors Services, LLC, Member NASD, SIPC S-6223P (2/06) 06-9665 ![]() | Greenwich Street Series Fund Diversified Strategic Income Portfolio Equity Index Portfolio Salomon Brothers Variable Growth & Income Fund Salomon Brothers Variable Aggressive Growth Fund The Funds are separate investment funds of the Greenwich Street Series Fund, a Massachusetts business trust. The Funds file their complete schedule of portfolio holdings with the Securities and 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 most recent 12-month period ended June 30 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. |