UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSRS
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-6465
The Travelers Series Trust
(Exact name of registrant as specified in charter)
125 Broad Street, New York, NY 10004
(Address of principal executive offices) (Zip code)
Christina T. Sydor, Esq.
300 First Stamford Place
Stamford, CT 06902
(Name and address of agent for service)
Registrant's telephone number, including area code:
(800) 451-2010
Date of fiscal year end: DECEMBER 31
Date of reporting period: JUNE 30, 2003
ITEM 1. REPORT TO STOCKHOLDERS.
The SEMI-ANNUAL Report to Stockholders is filed herewith.
SEMI-ANNUAL REPORT
JUNE 30, 2003
[UMBRELLA GRAPHIC]
THE TRAVELERS SERIES TRUST:
CONVERTIBLE SECURITIES PORTFOLIO
MFS MID CAP GROWTH PORTFOLIO
MFS RESEARCH PORTFOLIO
[TRAVELERS LIFE AND ANNUITY LOGO]
The Travelers Insurance Company
The Travelers Life and Annuity Company
One Cityplace
Hartford, CT 06103
SEMI-ANNUAL REPORT FOR THE TRAVELERS SERIES TRUST
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WHAT'S INSIDE
<Table>
Letter from the Chairman.................................... 1
Schedules of Investments.................................... 2
Statements of Assets and Liabilities........................ 17
Statements of Operations.................................... 18
Statements of Changes in Net Assets......................... 19
Notes to Financial Statements............................... 21
Financial Highlights........................................ 24
</Table>
SEMI-ANNUAL REPORT FOR THE TRAVELERS SERIES TRUST
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LETTER FROM THE CHAIRMAN
[R. JAY GERKEN PHOTO]
R. JAY GERKEN, CFA
Chairman, President and
Chief Executive Officer
DEAR SHAREHOLDER,
The philosopher Bertrand Russell famously remarked that,
"Change is one thing, progress is another." You will
notice in the following pages that we have begun to
implement some changes to your shareholder report and we
will be reflecting other changes in future reports. Our
aim is to make meaningful improvements in reporting on
the management of your Fund and its performance, not
just to enact change for change's sake. Please bear with
us during this transition period.
We invite you to read this report in full. Please take
the opportunity to talk to your financial adviser about
this report or any other questions or concerns you have
about your Fund and your financial future. As always,
thank you for entrusting your assets to us. We look
forward to helping you continue to meet your financial
goals.
Sincerely,
/s/ R. JAY GERKEN
R. Jay Gerken, CFA
Chairman, President and Chief Executive Officer
July 23, 2003
1
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SCHEDULES OF INVESTMENTS (UNAUDITED) JUNE 30, 2003
CONVERTIBLE SECURITIES PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCK -- 34.3%
- -----------------------------------------------------------------------------------------------
AUTOMOTIVE -- 7.8%
50,000 Ford Motor Co. Capital Trust II, 6.500%..................... $ 2,172,500
General Motors Corp.:
53,000 5.250%.................................................... 1,187,200
47,000 6.250%.................................................... 1,170,300
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4,530,000
- -----------------------------------------------------------------------------------------------
ELECTRIC -- 3.0%
Calenergy Capital Trust:
3,150 6.250%.................................................... 148,050
3,070 6.500%.................................................... 136,615
39,000 Calpine Capital Trust III, 5.000%........................... 1,467,375
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1,752,040
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HOUSEWARES -- 4.6%
56,000 Newell Financial Trust I, 5.250%............................ 2,667,000
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MEDIA -- 4.8%
33,250 Tribune Co., 2.000%......................................... 2,807,963
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PHARMACEUTICALS -- 0.8%
8,000 Omnicare, Inc., 4.000%...................................... 438,400
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PIPELINES -- 2.1%
43,200 El Paso Energy Corp. Capital Trust I, 4.750%................ 1,248,480
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REAL ESTATE INVESTMENT TRUST -- 7.1%
39,515 Equity Office Properties Trust, 5.250%...................... 1,963,895
72,841 Equity Residential Properties, 7.250%....................... 1,856,717
13,900 Reckson Associates Realty Corp., 7.625%..................... 337,770
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4,158,382
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SAVINGS AND LOANS -- 4.1%
25,000 Washington Mutual Capital Trust I, 5.375% (a)............... 1,481,250
15,000 Washington Mutual Inc., 5.375%.............................. 888,750
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2,370,000
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TELECOMMUNICATIONS -- 0.0%
Global Crossing Ltd.:
1,200 6.750% (b)................................................ 12
1,200 7.000% (a)(b)............................................. 12
6,000 Loral Space & Communications Ltd., 6.000% (a)............... 21,000
8,000 Williams Communications Group Inc., 6.750% (a).............. 3,000
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24,024
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TOTAL CONVERTIBLE PREFERRED STOCK (Cost -- $21,164,531)..... 19,996,289
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</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
2
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
CONVERTIBLE SECURITIES PORTFOLIO
<Table>
<Caption>
FACE
AMOUNT RATING(c) SECURITY VALUE
- -------------------------------------------------------------------------------------------------
CONVERTIBLE BONDS AND NOTES -- 63.6%
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AUTOMOTIVE -- 2.9%
Lear Corp.:
$2,060,000 BB+ Zero coupon due 2/20/22................................... $ 970,775
1,500,000 BB+ Zero coupon due 2/20/22 (a)............................... 706,875
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1,677,650
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BIOTECHNOLOGY -- 0.9%
74,000 NR Aviron, 5.250% due 2/1/08................................... 77,237
Inhale Therapeutic Systems, Inc.:
250,000 NR 3.500% due 10/17/07....................................... 196,250
300,000 NR 3.500% due 10/17/07 (a)................................... 235,500
- -------------------------------------------------------------------------------------------------
508,987
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COMMERCIAL SERVICES -- 0.1%
100,000 NR Quanta Services Inc., 4.000% due 7/1/07..................... 82,250
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COMPUTER SERVICES -- 0.9%
500,000 BBB Electric Data Systems Corp., 3.875% due 7/15/23 (a)......... 515,625
- -------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES -- 7.8%
3,250,000 AAA American International Group, Inc., zero coupon due
11/9/31................................................... 2,136,875
500,000 AAA IBK Cayman Finance Co., 1.500% due 8/17/03 (a).............. 537,235
3,370,000 Aa3* Merrill Lynch & Co., Inc., zero coupon due 5/23/31.......... 1,845,075
50,000 B Providian Financial Corp., 4.000% due 5/15/08............... 55,688
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4,574,873
- -------------------------------------------------------------------------------------------------
ELECTRIC -- 2.4%
800,000 B1* Calpine Corp., 4.000% due 12/26/06 (a)...................... 724,000
350,000 BBB PPL Energy Supply LLC, 2.625% due 5/15/23 (a)............... 365,750
200,000 B2* Sierra Pacific Resources, 7.250% due 2/14/10 (a)............ 328,250
- -------------------------------------------------------------------------------------------------
1,418,000
- -------------------------------------------------------------------------------------------------
ELECTRONICS -- 3.4%
800,000 BB Agilent Technologies Inc., 3.000% due 12/1/21............... 782,000
2,400,000 BBB- Arrow Electronics Inc., zero coupon due 2/21/21............. 1,182,000
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1,964,000
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HEALTHCARE -- 2.5%
500,000 NR Lincare Holdings Inc., 3.000% due 6/15/33 (a)............... 510,000
Universal Health Services, Inc.:
1,100,000 BBB- 0.426% due 6/23/20........................................ 653,125
450,000 BBB- 0.426% due 6/23/20 (a).................................... 267,188
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1,430,313
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LEISURE TIME -- 1.4%
1,950,000 BB+ Royal Caribbean Cruises Ltd., zero coupon due 2/2/21........ 845,813
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</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
3
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
CONVERTIBLE SECURITIES PORTFOLIO
<Table>
<Caption>
FACE
AMOUNT RATING(C) SECURITY VALUE
- -------------------------------------------------------------------------------------------------
MANUFACTURING -- 3.8%
Tyco International Group, S.A.:
$ 300,000 BBB- 2.750% due 1/15/18 (a).................................... $ 324,750
1,700,000 BBB- 3.125% due 1/15/23 (a).................................... 1,870,000
- -------------------------------------------------------------------------------------------------
2,194,750
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MEDIA -- 10.0%
1,000,000 NR Adelphia Communications Corp., 6.000% due 2/15/06 (d)....... 192,500
1,330,000 CCC- Charter Communications Inc., 4.750% due 6/1/06.............. 884,450
Liberty Media Corp.:
500,000 BBB- 0.750% due 3/30/23 (a).................................... 568,750
1,800,000 BBB- 4.000% due 11/15/29....................................... 1,172,250
950,000 BBB- 3.500% due 1/15/31........................................ 719,625
250,000 BBB- 3.500% due 1/15/31 (a).................................... 189,375
2,000,000 BBB+ The Walt Disney Co., 2.125% due 4/15/23..................... 2,087,500
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5,814,450
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OIL AND GAS -- 7.2%
Diamond Offshore Drilling Inc.:
1,130,000 A 1.500% due 4/15/31........................................ 1,063,612
400,000 A 1.500% due 4/15/31 (a).................................... 376,500
Global Marine Inc.:
2,000,000 A- Zero coupon due 6/23/20................................... 1,147,500
600,000 A- Zero coupon due 6/23/20 (a)............................... 344,250
1,000,000 BBB Halliburton Co., 3.125% due 7/15/23 (a)..................... 1,012,500
300,000 B Hanover Compressor Co., 4.750% due 3/15/08.................. 270,375
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4,214,737
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PHARMACEUTICALS -- 5.3%
600,000 B Advanced Medical Optics, Inc., 3.500% due 4/15/23 (a)....... 642,750
400,000 A Allergan, Inc., zero coupon due 11/6/22 (a)................. 390,500
Cephalon Inc.:
600,000 B- 2.500% due 12/15/06 (a)................................... 555,750
600,000 B- Tranche A, zero coupon due 6/15/33 (a).................... 554,250
800,000 B- Tranche B, zero coupon due 6/15/33 (a).................... 731,000
200,000 BBB- Watson Pharmaceuticals, Inc., 1.750% due 3/15/23 (a)........ 242,750
- -------------------------------------------------------------------------------------------------
3,117,000
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PIPELINES -- 1.5%
2,027,000 B El Paso Corp., zero coupon due 2/28/21...................... 896,947
- -------------------------------------------------------------------------------------------------
RETAIL -- 7.2%
300,000 BB+ Best Buy Co., Inc., 2.250% due 1/15/22 (a).................. 312,000
1,500,000 BB+ The Gap, Inc., 5.750% due 3/15/09........................... 2,023,125
J.C. Penney Co. Inc.:
1,150,000 BB- 5.000% due 10/15/08....................................... 1,125,563
750,000 BB- 5.000% due 10/15/08 (a)................................... 734,062
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4,194,750
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SEMICONDUCTORS -- 0.2%
100,000 AA- DuPont Photomasks, Inc., zero coupon due 7/24/04............ 99,000
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</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
4
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
CONVERTIBLE SECURITIES PORTFOLIO
<Table>
<Caption>
FACE
AMOUNT RATING(C) SECURITY VALUE
- -------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS -- 6.1%
Anixter International Inc.:
$2,295,000 BB+ Zero coupon due 6/28/20................................... $ 743,006
400,000 BB+ Zero coupon due 6/28/20 (a)............................... 129,500
2,700,000 BBB- Cox Communications Inc., 0.426% due 4/19/20................. 1,360,125
100,000 NR Tekelec, 2.250% due 6/15/08 (a)............................. 97,625
2,000,000 A+ Verizon Global Funding Corp., zero coupon due 5/15/21....... 1,200,000
- -------------------------------------------------------------------------------------------------
3,530,256
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TOTAL CONVERTIBLE BONDS AND NOTES (Cost -- $36,693,691)..... 37,079,401
- -------------------------------------------------------------------------------------------------
<Caption>
FACE
AMOUNT SECURITY VALUE
- -------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 2.1%
1,216,000 State Street Bank and Trust Co., 1.000% due 7/1/03; Proceeds
at
maturity -- $1,216,034; (Fully collateralized by Federal
National
Mortgage Association Notes, 5.500% due 2/15/06; Market
value -- $1,245,141) (Cost -- $1,216,000)................. 1,216,000
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TOTAL INVESTMENTS -- 100.0% (Cost -- $59,074,222**)......... $58,291,690
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</Table>
(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.
(b) Non-income producing security.
(c) All ratings are by Standard & Poor's Ratings Service, except for those which
are identified by an asterisk (*), are rated by Moody's Investors Service.
(d) Security is currently in default.
** Aggregate cost for Federal income tax purposes is substantially the same.
See page 16 for definitions of ratings.
SEE NOTES TO FINANCIAL STATEMENTS.
5
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
MFS MID CAP GROWTH PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- ----------------------------------------------------------------------------------------
COMMON STOCK -- 97.3%
- ----------------------------------------------------------------------------------------
AEROSPACE AND DEFENSE -- 0.3%
9,900 Alliant Techsystems Inc.+................................... $ 513,909
- ----------------------------------------------------------------------------------------
AIR FREIGHT AND COURIERS -- 1.0%
44,800 Expeditors International of Washington, Inc. ............... 1,551,872
- ----------------------------------------------------------------------------------------
AIRLINES -- 0.8%
28,900 JetBlue Airways Corp.+...................................... 1,222,181
- ----------------------------------------------------------------------------------------
BIOTECHNOLOGY -- 7.2%
14,200 Affymetrix, Inc.+........................................... 279,882
11,490 Biogen, Inc.+............................................... 436,620
25,500 Celgene Corp.+.............................................. 775,200
61,940 Genzyme Corp. -- General Division+.......................... 2,589,092
21,200 Gilead Sciences, Inc.+...................................... 1,178,296
15,100 ICOS Corp.+................................................. 554,925
56,900 IDEC Pharmaceuticals Corp.+................................. 1,934,600
38,920 Invitrogen Corp.+........................................... 1,493,360
54,440 MedImmune, Inc.+............................................ 1,979,983
- ----------------------------------------------------------------------------------------
11,221,958
- ----------------------------------------------------------------------------------------
COMMERCIAL SERVICES AND SUPPLIES -- 7.9%
14,100 Apollo Group, Inc., Class A Shares+......................... 870,816
110,720 The BISYS Group, Inc.+...................................... 2,033,926
45,300 ChoicePoint Inc.+........................................... 1,563,756
51,900 DST Systems, Inc.+.......................................... 1,972,200
45,100 Manpower Inc. .............................................. 1,672,759
20,200 Monster Worldwide Inc.+..................................... 398,546
24,400 Paychex, Inc. .............................................. 715,164
40,800 Robert Half International Inc.+............................. 772,752
52,790 Weight Watchers International, Inc.+........................ 2,401,417
- ----------------------------------------------------------------------------------------
12,401,336
- ----------------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT -- 1.4%
20,900 ADTRAN, Inc.+............................................... 1,071,961
65,700 Advanced Fibre Communications, Inc.+........................ 1,068,939
600 Scientific-Atlanta, Inc. ................................... 14,304
- ----------------------------------------------------------------------------------------
2,155,204
- ----------------------------------------------------------------------------------------
COMPUTERS AND PERIPHERALS -- 0.5%
41,500 Apple Computer, Inc.+....................................... 793,480
- ----------------------------------------------------------------------------------------
CONTAINERS AND PACKAGING -- 0.4%
41,900 Smurfit-Stone Container Corp.+.............................. 545,957
- ----------------------------------------------------------------------------------------
DIVERSIFIED FINANCIALS -- 5.0%
12,600 Affiliated Managers Group, Inc.+............................ 767,970
106,200 Ameritrade Holding Corp.+................................... 786,942
55,800 E*TRADE Group, Inc.+........................................ 474,300
80,000 Investors Financial Services Corp. ......................... 2,320,800
12,700 Legg Mason, Inc. ........................................... 824,865
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
6
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
MFS MID CAP GROWTH PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- ----------------------------------------------------------------------------------------
DIVERSIFIED FINANCIALS -- 5.0% (CONTINUED)
26,000 Lehman Brothers Holdings Inc. .............................. $ 1,728,480
13,800 T. Rowe Price Group Inc. ................................... 520,950
16,400 Waddell & Reed Financial, Inc. ............................. 420,988
- ----------------------------------------------------------------------------------------
7,845,295
- ----------------------------------------------------------------------------------------
ELECTRIC UTILITIES -- 0.0%
570 Reliant Resources, Inc.+.................................... 3,494
- ----------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT -- 1.3%
13,200 Energizer Holdings, Inc.+................................... 414,480
70,500 Rockwell Automation, Inc. .................................. 1,680,720
- ----------------------------------------------------------------------------------------
2,095,200
- ----------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT AND INSTRUMENTS -- 4.6%
74,500 Millipore Corp.+............................................ 3,305,565
37,600 Thermo Electron Corp.+...................................... 790,352
108,350 Waters Corp.+............................................... 3,156,236
- ----------------------------------------------------------------------------------------
7,252,153
- ----------------------------------------------------------------------------------------
ENERGY EQUIPMENT AND SERVICES -- 4.8%
45,600 Baker Hughes Inc. .......................................... 1,530,792
58,770 BJ Services Co.+............................................ 2,195,647
26,260 Cooper Cameron Corp.+....................................... 1,322,979
58,100 GlobalSantaFe Corp. ........................................ 1,356,054
1,500 Noble Corp.+................................................ 51,450
30,300 Smith International, Inc.+.................................. 1,113,222
- ----------------------------------------------------------------------------------------
7,570,144
- ----------------------------------------------------------------------------------------
FOOD PRODUCTS -- 1.0%
21,600 Hershey Foods Corp. ........................................ 1,504,656
- ----------------------------------------------------------------------------------------
HEALTHCARE EQUIPMENT AND SUPPLIES -- 4.8%
40,900 Apogent Technologies Inc.+.................................. 818,000
200,200 Cytyc Corp.+................................................ 2,106,104
71,200 DENTSPLY International Inc. ................................ 2,912,080
38,700 Guidant Corp.+.............................................. 1,717,893
- ----------------------------------------------------------------------------------------
7,554,077
- ----------------------------------------------------------------------------------------
HEALTHCARE PROVIDERS AND SERVICES -- 4.6%
24,000 AmerisourceBergen Corp. .................................... 1,664,400
127,070 Caremark Rx, Inc.+.......................................... 3,263,158
53,800 Health Management Associates, Inc., Class A Shares.......... 992,610
61,100 Tenet Healthcare Corp.+..................................... 711,815
57,400 WebMD Corp.+................................................ 621,642
- ----------------------------------------------------------------------------------------
7,253,625
- ----------------------------------------------------------------------------------------
HOTELS, RESTAURANTS AND LEISURE -- 5.6%
23,900 The Cheesecake Factory Inc.+................................ 857,771
19,400 Four Seasons Hotels, Inc. .................................. 839,244
35,700 MGM MIRAGE+................................................. 1,220,226
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
7
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
MFS MID CAP GROWTH PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- ----------------------------------------------------------------------------------------
HOTELS, RESTAURANTS AND LEISURE -- 5.6% (CONTINUED)
66,080 Outback Steakhouse, Inc. ................................... $ 2,577,120
54,300 Royal Caribbean Cruises Ltd. ............................... 1,257,588
37,180 Starbucks Corp.+............................................ 911,654
39,930 Starwood Hotels & Resorts Worldwide, Inc. .................. 1,141,599
- ----------------------------------------------------------------------------------------
8,805,202
- ----------------------------------------------------------------------------------------
INSURANCE -- 0.9%
21,900 Arthur J. Gallagher & Co. .................................. 595,680
26,700 Willis Group Holdings Ltd.+................................. 821,025
- ----------------------------------------------------------------------------------------
1,416,705
- ----------------------------------------------------------------------------------------
INTERNET SOFTWARE AND SERVICES -- 2.5%
2,600 Digex, Inc., Class A Shares+................................ 1,196
38,500 Expedia, Inc., Class A Shares+.............................. 2,940,630
27,700 Yahoo! Inc.+................................................ 907,452
- ----------------------------------------------------------------------------------------
3,849,278
- ----------------------------------------------------------------------------------------
IT CONSULTING AND SERVICES -- 2.0%
76,100 BearingPoint, Inc.+......................................... 734,365
500 Gartner Group Inc., Class A Shares+......................... 3,790
94,290 SunGard Data Systems Inc.+.................................. 2,443,054
- ----------------------------------------------------------------------------------------
3,181,209
- ----------------------------------------------------------------------------------------
LEISURE EQUIPMENT AND PRODUCTS -- 0.1%
4,400 Mattel, Inc. ............................................... 83,248
- ----------------------------------------------------------------------------------------
MACHINERY -- 1.0%
25,100 ITT Industries, Inc. ....................................... 1,643,046
- ----------------------------------------------------------------------------------------
MEDIA -- 12.6%
27,020 The E.W. Scripps Co., Class A Shares........................ 2,397,214
96,330 EchoStar Communications Corp., Class A Shares+.............. 3,334,943
32,590 Entercom Communications Corp.+.............................. 1,597,236
18,200 Getty Images, Inc.+......................................... 751,660
42,600 Hearst-Argyle Television, Inc.+............................. 1,103,340
43,900 InterActiveCorp+............................................ 1,737,123
13,500 Lin TV Corp., Class A Shares+............................... 317,925
22,320 The McGraw-Hill Cos., Inc. ................................. 1,383,840
29,760 Meredith Corp. ............................................. 1,309,440
9,690 The New York Times Co., Class A Shares...................... 440,895
33,000 Tribune Co. ................................................ 1,593,900
49,160 Univision Communications Inc., Class A Shares+.............. 1,494,464
68,760 Westwood One, Inc.+......................................... 2,333,027
- ----------------------------------------------------------------------------------------
19,795,007
- ----------------------------------------------------------------------------------------
MULTI-LINE RETAIL -- 1.1%
46,200 Family Dollar Stores, Inc. ................................. 1,762,530
- ----------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
8
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
MFS MID CAP GROWTH PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- ----------------------------------------------------------------------------------------
PHARMACEUTICALS -- 2.6%
14,640 InterMune, Inc.+............................................ $ 235,850
18,500 Medicis Pharmaceutical Corp.+............................... 1,048,950
52,085 Mylan Laboratories Inc. .................................... 1,810,995
18,340 Teva Pharmaceutical Industries Ltd., Sponsored ADR.......... 1,044,096
- ----------------------------------------------------------------------------------------
4,139,891
- ----------------------------------------------------------------------------------------
ROAD AND RAIL -- 0.6%
27,200 Swift Transportation Co., Inc.+............................. 506,464
18,800 Werner Enterprises, Inc. ................................... 398,560
- ----------------------------------------------------------------------------------------
905,024
- ----------------------------------------------------------------------------------------
SEMICONDUCTOR EQUIPMENT AND PRODUCTS -- 7.4%
453,400 Agere Systems Inc.+......................................... 1,042,820
86,300 Altera Corp.+............................................... 1,415,320
67,640 Analog Devices, Inc.+....................................... 2,355,225
76,500 ASM International N.V., NY Registered Shares+............... 731,340
38,000 Lam Research Corp.+......................................... 691,980
36,280 Maxim Integrated Products, Inc. ............................ 1,240,413
35,060 Microchip Technology Inc. .................................. 863,528
71,890 Novellus Systems, Inc.+..................................... 2,632,684
26,600 Xilinx, Inc.+............................................... 673,246
- ----------------------------------------------------------------------------------------
11,646,556
- ----------------------------------------------------------------------------------------
SOFTWARE -- 6.5%
62,800 Amdocs Ltd.+................................................ 1,507,200
123,440 BEA Systems, Inc.+.......................................... 1,340,558
20,150 Mercury Interactive Corp.+.................................. 777,992
144,400 Network Associates, Inc.+................................... 1,830,992
25,340 Symantec Corp.+............................................. 1,111,412
127,610 VERITAS Software Corp.+..................................... 3,658,579
- ----------------------------------------------------------------------------------------
10,226,733
- ----------------------------------------------------------------------------------------
SPECIALTY RETAIL -- 6.4%
117,570 Office Depot, Inc.+......................................... 1,705,941
106,640 PETsMART, Inc.+............................................. 1,777,689
75,700 The Talbots, Inc. .......................................... 2,229,365
74,900 Tiffany & Co. .............................................. 2,447,732
67,200 The TJX Cos., Inc. ......................................... 1,266,048
22,200 Williams-Sonoma, Inc.+...................................... 648,240
- ----------------------------------------------------------------------------------------
10,075,015
- ----------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES -- 2.4%
282,110 American Tower Corp., Class A Shares+....................... 2,496,674
207,400 Sprint Corp. (PCS Group)+................................... 1,192,550
- ----------------------------------------------------------------------------------------
3,689,224
- ----------------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $131,456,760)................... 152,703,209
- ----------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
9
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
MFS MID CAP GROWTH PORTFOLIO
<Table>
<Caption>
FACE
AMOUNT SECURITY VALUE
- ----------------------------------------------------------------------------------------
SHORT-TERM INVESTMENT -- 2.7%
$ 4,236,000 Federal Home Loan Bank, Discount Notes, zero coupon bond due
7/1/03
(Cost -- $4,236,000)...................................... $ 4,236,000
- ----------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% (Cost -- $135,692,760*)......... $156,939,209
- ----------------------------------------------------------------------------------------
</Table>
+ Non-income producing security.
* Aggregate cost for Federal income tax purposes is substantially the same.
Abbreviation used in this schedule:
ADR -- American Depositary Receipt
SEE NOTES TO FINANCIAL STATEMENTS.
10
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
MFS RESEARCH PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------
COMMON STOCK -- 90.9%
- -----------------------------------------------------------------------------------------
AEROSPACE AND DEFENSE -- 1.2%
26,400 Lockheed Martin Corp. ...................................... $ 1,255,848
- -----------------------------------------------------------------------------------------
BANKS -- 9.2%
34,250 Bank of America Corp. ...................................... 2,706,778
24,000 Bank One Corp. ............................................. 892,320
21,000 Banknorth Group, Inc. ...................................... 535,920
19,090 Charter One Financial, Inc. ................................ 595,226
48,840 FleetBoston Financial Corp. ................................ 1,451,036
57,200 Mellon Financial Corp. ..................................... 1,587,300
7,720 SouthTrust Corp. ........................................... 209,984
27,100 SunTrust Banks, Inc. ....................................... 1,608,114
12,200 TCF Financial Corp. ........................................ 486,048
- -----------------------------------------------------------------------------------------
10,072,726
- -----------------------------------------------------------------------------------------
BEVERAGES -- 3.1%
19,000 Anheuser-Busch Cos., Inc. .................................. 969,950
52,900 PepsiCo, Inc. .............................................. 2,354,050
- -----------------------------------------------------------------------------------------
3,324,000
- -----------------------------------------------------------------------------------------
BIOTECHNOLOGY -- 4.4%
30,750 Amgen, Inc.+................................................ 2,043,030
22,800 Genentech, Inc.+............................................ 1,644,336
26,000 Genzyme Corp. - General Division+........................... 1,086,800
- -----------------------------------------------------------------------------------------
4,774,166
- -----------------------------------------------------------------------------------------
BUILDING PRODUCTS -- 0.2%
3,700 American Standard Cos. Inc.+................................ 273,541
- -----------------------------------------------------------------------------------------
CHEMICALS -- 2.0%
7,100 Air Products & Chemicals, Inc. ............................. 295,360
36,600 The Dow Chemical Co. ....................................... 1,133,136
19,000 Lyondell Chemical Co. ...................................... 257,070
7,550 Praxair, Inc. .............................................. 453,755
- -----------------------------------------------------------------------------------------
2,139,321
- -----------------------------------------------------------------------------------------
CONTAINERS AND PACKAGING -- 1.1%
95,300 Smurfit-Stone Container Corp.+.............................. 1,241,759
- -----------------------------------------------------------------------------------------
DIVERSIFIED FINANCIALS -- 6.7%
40,820 Fannie Mae.................................................. 2,752,901
28,160 Freddie Mac................................................. 1,429,683
18,300 The Goldman Sachs Group, Inc. .............................. 1,532,625
11,400 MBNA Corp. ................................................. 237,576
29,100 Merrill Lynch & Co., Inc. .................................. 1,358,388
- -----------------------------------------------------------------------------------------
7,311,173
- -----------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
11
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
MFS RESEARCH PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 2.5%
8,900 CenturyTel, Inc. ........................................... $ 310,165
61,400 Verizon Communications Inc. ................................ 2,422,230
- -----------------------------------------------------------------------------------------
2,732,395
- -----------------------------------------------------------------------------------------
ELECTRIC UTILITIES -- 1.5%
5,900 Dominion Resources, Inc. ................................... 379,193
12,900 PG&E Corp.+................................................. 272,835
7,900 Public Service Enterprise Group Inc. ....................... 333,775
30,100 TXU Corp. .................................................. 675,745
- -----------------------------------------------------------------------------------------
1,661,548
- -----------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT AND INSTRUMENTS -- 0.1%
2,400 Waters Corp.+............................................... 69,912
- -----------------------------------------------------------------------------------------
ENERGY EQUIPMENT AND SERVICES -- 2.2%
27,780 GlobalSantaFe Corp. ........................................ 648,385
16,900 Halliburton Co. ............................................ 388,700
12,800 Noble Corp.+................................................ 439,040
18,900 Schlumberger Ltd. .......................................... 899,073
- -----------------------------------------------------------------------------------------
2,375,198
- -----------------------------------------------------------------------------------------
FOOD AND DRUG RETAILING -- 1.2%
53,200 The Kroger Co.+............................................. 887,376
13,500 Walgreen Co. ............................................... 406,350
- -----------------------------------------------------------------------------------------
1,293,726
- -----------------------------------------------------------------------------------------
FOOD PRODUCTS -- 0.8%
24,500 Kellogg Co. ................................................ 842,065
- -----------------------------------------------------------------------------------------
HEALTHCARE EQUIPMENT AND SUPPLIES -- 1.2%
24,000 Baxter International, Inc. ................................. 624,000
16,200 Guidant Corp.+.............................................. 719,118
- -----------------------------------------------------------------------------------------
1,343,118
- -----------------------------------------------------------------------------------------
HEALTHCARE PROVIDERS AND SERVICES -- 1.5%
9,800 Caremark Rx, Inc.+.......................................... 251,664
14,700 Lincare Holdings Inc.+...................................... 463,197
81,700 Tenet Healthcare Corp.+..................................... 951,805
- -----------------------------------------------------------------------------------------
1,666,666
- -----------------------------------------------------------------------------------------
HOTELS, RESTAURANTS AND LEISURE -- 1.9%
9,400 CEC Entertainment Inc.+..................................... 347,142
28,600 Hilton Hotels Corp. ........................................ 365,794
11,700 MGM MIRAGE+................................................. 399,906
18,500 Starwood Hotels & Resorts Worldwide, Inc., Class B Shares... 528,915
14,600 Yum! Brands, Inc.+.......................................... 431,576
- -----------------------------------------------------------------------------------------
2,073,333
- -----------------------------------------------------------------------------------------
HOUSEHOLD DURABLES -- 0.3%
12,700 Newell Rubbermaid Inc. ..................................... 355,600
- -----------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
12
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
MFS RESEARCH PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS -- 2.2%
26,500 The Procter & Gamble Co. ................................... $ 2,363,270
- -----------------------------------------------------------------------------------------
INDUSTRIAL CONGLOMERATES -- 1.3%
7,260 3M Co. ..................................................... 936,395
26,500 Tyco International Ltd. .................................... 502,970
- -----------------------------------------------------------------------------------------
1,439,365
- -----------------------------------------------------------------------------------------
INSURANCE -- 5.2%
38,200 ACE Ltd. ................................................... 1,309,878
12,100 The Chubb Corp. ............................................ 726,000
32,550 MetLife, Inc. .............................................. 921,816
25,010 The St. Paul Cos., Inc. .................................... 913,115
27,900 Willis Group Holdings Ltd. ................................. 857,925
11,500 XL Capital Ltd., Class A Shares............................. 954,500
- -----------------------------------------------------------------------------------------
5,683,234
- -----------------------------------------------------------------------------------------
IT CONSULTING AND SERVICES -- 0.8%
31,600 SunGard Data Systems Inc.+.................................. 818,756
- -----------------------------------------------------------------------------------------
MACHINERY -- 0.6%
14,600 Deere & Co. ................................................ 667,220
- -----------------------------------------------------------------------------------------
MEDIA -- 6.4%
92,700 AOL Time Warner, Inc.+...................................... 1,491,543
14,800 Clear Channel Communications, Inc.+......................... 627,372
35,990 EchoStar Communications Corp., Class A Shares+.............. 1,245,974
4,300 Getty Images, Inc.+......................................... 177,590
13,800 Lamar Advertising Co.+...................................... 485,898
11,500 The New York Times Co., Class A Shares...................... 523,250
18,500 Tribune Co. ................................................ 893,550
36,078 Viacom Inc., Class B Shares+................................ 1,575,165
- -----------------------------------------------------------------------------------------
7,020,342
- -----------------------------------------------------------------------------------------
MULTI-LINE RETAIL -- 5.2%
14,500 Kohl's Corp.+............................................... 745,010
40,100 Target Corp. ............................................... 1,517,384
62,680 Wal-Mart Stores, Inc. ...................................... 3,364,036
- -----------------------------------------------------------------------------------------
5,626,430
- -----------------------------------------------------------------------------------------
OIL AND GAS -- 4.2%
14,600 ConocoPhillips.............................................. 800,080
5,300 Devon Energy Corp. ......................................... 283,020
17,920 Equitable Resources, Inc. .................................. 730,061
78,142 Exxon Mobil Corp. .......................................... 2,806,079
- -----------------------------------------------------------------------------------------
4,619,240
- -----------------------------------------------------------------------------------------
PAPER AND FOREST PRODUCTS -- 1.2%
7,000 Bowater Inc. ............................................... 262,150
30,100 International Paper Co. .................................... 1,075,473
- -----------------------------------------------------------------------------------------
1,337,623
- -----------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
13
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
MFS RESEARCH PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------
PHARMACEUTICALS -- 12.8%
75,700 Abbott Laboratories......................................... $ 3,312,632
54,400 Johnson & Johnson........................................... 2,812,480
84,025 Pfizer Inc. ................................................ 2,869,454
123,200 Schering-Plough Corp. ...................................... 2,291,520
57,700 Wyeth....................................................... 2,628,235
- -----------------------------------------------------------------------------------------
13,914,321
- -----------------------------------------------------------------------------------------
ROAD AND RAIL -- 0.5%
9,000 Union Pacific Corp. ........................................ 522,180
- -----------------------------------------------------------------------------------------
SEMICONDUCTOR EQUIPMENT AND PRODUCTS -- 0.9%
16,220 Analog Devices, Inc.+....................................... 564,780
12,100 Novellus Systems, Inc.+..................................... 443,114
- -----------------------------------------------------------------------------------------
1,007,894
- -----------------------------------------------------------------------------------------
SOFTWARE -- 3.8%
99,800 Microsoft Corp. ............................................ 2,555,878
27,400 Network Associates, Inc.+................................... 347,432
40,530 Oracle Corp.+............................................... 487,171
25,500 VERITAS Software Corp.+..................................... 731,085
- -----------------------------------------------------------------------------------------
4,121,566
- -----------------------------------------------------------------------------------------
SPECIALTY RETAIL -- 1.7%
54,800 The Home Depot, Inc. ....................................... 1,814,976
- -----------------------------------------------------------------------------------------
TEXTILES AND APPAREL -- 0.3%
9,100 Liz Claiborne, Inc. ........................................ 320,775
- -----------------------------------------------------------------------------------------
TOBACCO -- 2.2%
51,900 Altria Group, Inc. ......................................... 2,358,336
- -----------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES -- 0.5%
100,500 Sprint Corp. (PCS Group)+................................... 577,875
- -----------------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $94,829,326).................... 99,019,498
- -----------------------------------------------------------------------------------------
FOREIGN STOCK -- 5.4%
- -----------------------------------------------------------------------------------------
CANADA -- 1.3%
21,500 Encana Corp. ............................................... 819,878
12,600 Talisman Energy Inc. ....................................... 571,566
- -----------------------------------------------------------------------------------------
1,391,444
- -----------------------------------------------------------------------------------------
FRANCE -- 0.4%
3,400 Total S.A. ................................................. 514,668
- -----------------------------------------------------------------------------------------
NETHERLANDS -- 1.0%
51,300 STMicroelectronics N.V., NY Registered Shares............... 1,066,527
- -----------------------------------------------------------------------------------------
SWITZERLAND -- 0.5%
2,491 Nestle S.A. ................................................ 515,119
- -----------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
14
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
MFS RESEARCH PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------
UNITED KINGDOM -- 2.2%
191,200 BHP Billiton PLC............................................ $ 1,008,151
71,397 BP PLC...................................................... 495,946
33,700 Rio Tinto Ltd. ............................................. 635,011
33,800 Unilever PLC................................................ 269,563
- -----------------------------------------------------------------------------------------
2,408,671
- -----------------------------------------------------------------------------------------
TOTAL FOREIGN STOCK (Cost -- $5,687,585).................... 5,896,429
- -----------------------------------------------------------------------------------------
</Table>
<Table>
<Caption>
FACE
AMOUNT SECURITY VALUE
- -----------------------------------------------------------------------------------------
SHORT-TERM INVESTMENT -- 3.7%
$3,996,000 Federal Home Loan Bank, Discount Notes, zero coupon bond due
7/1/03 (Cost -- $3,996,000)............................... 3,996,000
- -----------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% (Cost -- $104,512,911*)......... $108,911,927
- -----------------------------------------------------------------------------------------
</Table>
+ Non-income producing security.
* Aggregate cost for Federal income tax purposes is substantially the same.
SEE NOTES TO FINANCIAL STATEMENTS.
15
- --------------------------------------------------------------------------------
BOND RATINGS (UNAUDITED)
The definitions of the applicable rating symbols are set forth below:
Standard & Poor's Ratings Service ("Standard & Poor's") -- Ratings from "AA" to
"CCC" may be modified by the addition of a plus (+) or minus (-) sign to show
relative standings within the major rating categories.
<Table>
AAA -- Bonds rated "AAA" have the highest rating assigned by S&P to
a debt obligation. 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
issues only in a small degree.
A -- Bonds rated "A" have a strong capacity to pay interest and
repay principal although they are 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 bonds in this category than for bonds in
higher rated categories.
BB, B and CCC -- Bonds rated "BB", "B" and "CCC" 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 a lower degree of
speculation than "B", and "CCC" 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.
</Table>
Moody's Investors Service ("Moody's") -- Numerical modifiers 1, 2, and 3 may be
applied to each generic rating from "Aa" to "Caa", where 1 is the highest and 3
the lowest rating within its generic category.
<Table>
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 these bonds.
Aa -- Bonds rated "Aa" are judged to be of the high quality by all
standards. Together with the Aaa group they comprise what
are generally known as high grade bonds. They are rated
lower than the best bonds because margins of protection may
not be as large as in Aaa securities, or fluctuation of
protective elements may be of greater amplitude, or there
may be other elements present that 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 that
suggest a susceptibility to impairment some time in the
future.
Baa -- Bonds rated "Baa" are considered to be medium grade
obligations; that is they are neither highly protected nor
poorly secured. Interest payment 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. These bonds lack
outstanding investment characteristics and may 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 may not well safeguarded during both
good and bad times over the future. Uncertainty of position
characterizes bonds in this class.
B -- Bonds rated "B" generally lack characteristics of desirable
investments. Assurance of interest and principal payment 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 and C -- Bonds rated "Ca" and "C" represent obligations which are
speculative in a high degree. Such issues are often in
default or have other marked shortcomings.
NR -- Indicates that the bond is not rated by Standard & Poor's or
Moody's.
</Table>
16
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED) JUNE 30, 2003
<Table>
<Caption>
MFS
CONVERTIBLE MID CAP MFS
SECURITIES GROWTH RESEARCH
PORTFOLIO PORTFOLIO PORTFOLIO
- -------------------------------------------------------------------------------------------------------
ASSETS:
Investments, at cost...................................... $59,074,222 $135,692,760 $104,512,911
- -------------------------------------------------------------------------------------------------------
Investments, at value..................................... $58,291,690 $156,939,209 $108,911,927
Cash...................................................... 88 311 548
Receivable for securities sold............................ 1,243,029 2,472,925 487,587
Dividends and interest receivable......................... 231,087 34,348 149,460
Receivable for Fund shares sold........................... 97,877 -- --
- -------------------------------------------------------------------------------------------------------
TOTAL ASSETS.............................................. 59,863,771 159,446,793 109,549,522
- -------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable for securities purchased.......................... 1,175,000 1,508,192 783,084
Payable for Fund shares purchased......................... 30,048 13,113 18,729
Investment advisory fees payable.......................... 28,775 103,748 64,604
Administration fees payable............................... 2,877 7,781 13,214
Payable for open forward foreign currency contracts (Note
5)...................................................... -- -- 802
Accrued expenses.......................................... 20,689 47,342 37,044
- -------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES......................................... 1,257,389 1,680,176 917,477
- -------------------------------------------------------------------------------------------------------
TOTAL NET ASSETS............................................ $58,606,382 $157,766,617 $108,632,045
=======================================================================================================
NET ASSETS:
Paid-in capital........................................... $60,607,021 $401,145,077 $193,852,271
Undistributed net investment income....................... 1,130,743 -- 469,455
Accumulated net investment loss........................... -- (310,930) --
Accumulated net realized loss from investment
transactions............................................ (2,348,850) (264,314,103) (90,090,350)
Net unrealized appreciation (depreciation) of investments
and foreign currencies.................................. (782,532) 21,246,573 4,400,669
- -------------------------------------------------------------------------------------------------------
TOTAL NET ASSETS............................................ $58,606,382 $157,766,617 $108,632,045
=======================================================================================================
SHARES OUTSTANDING.......................................... 5,255,575 26,561,301 15,196,651
- -------------------------------------------------------------------------------------------------------
NET ASSET VALUE, PER SHARE.................................. $11.15 $5.94 $7.15
- -------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
17
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS (UNAUDITED) FOR THE SIX MONTHS ENDED JUNE 30, 2003
<Table>
<Caption>
MFS
CONVERTIBLE MID CAP MFS
SECURITIES GROWTH RESEARCH
PORTFOLIO PORTFOLIO PORTFOLIO
- -----------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest.................................................. $ 698,719 $ 35,517 $ 26,260
Dividends................................................. 596,116 317,663 925,095
Less: Foreign withholding tax............................. -- (5,777) (12,293)
- -----------------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME................................... 1,294,835 347,403 939,062
- -----------------------------------------------------------------------------------------------------
EXPENSES:
Investment advisory fees (Note 2)......................... 157,232 559,612 410,089
Administration fees (Note 2).............................. 15,723 41,971 30,757
Audit and legal........................................... 10,855 14,145 14,411
Custody................................................... 7,518 20,362 21,195
Shareholder communications................................ 3,778 12,373 13,252
Trustees' fees............................................ 2,787 2,270 2,610
Shareholder servicing fees................................ 2,488 2,484 2,479
Other..................................................... 208 4,498 975
- -----------------------------------------------------------------------------------------------------
TOTAL EXPENSES............................................ 200,589 657,715 495,768
- -----------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME (LOSS)................................ 1,094,246 (310,312) 443,294
- -----------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
AND FOREIGN CURRENCIES (NOTES 3 AND 5):
Realized Loss From:
Investment transactions................................. (360,747) (2,156,775) (4,485,669)
Foreign currency transactions........................... -- (618) (606)
- -----------------------------------------------------------------------------------------------------
NET REALIZED LOSS......................................... (360,747) (2,157,393) (4,486,275)
- -----------------------------------------------------------------------------------------------------
Change in Net Unrealized Appreciation (Depreciation) From:
Investments............................................. 6,881,042 26,897,034 13,511,767
Foreign currencies...................................... -- 119 (371)
- -----------------------------------------------------------------------------------------------------
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION)...... 6,881,042 26,897,153 13,511,396
- -----------------------------------------------------------------------------------------------------
NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES.............. 6,520,295 24,739,760 9,025,121
- -----------------------------------------------------------------------------------------------------
INCREASE IN NET ASSETS FROM OPERATIONS...................... $7,614,541 $24,429,448 $ 9,468,415
=====================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
18
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED) FOR THE SIX MONTHS ENDED JUNE
30, 2003
<Table>
<Caption>
MFS
CONVERTIBLE MID CAP MFS
SECURITIES GROWTH RESEARCH
PORTFOLIO PORTFOLIO PORTFOLIO
- -------------------------------------------------------------------------------------------------------
OPERATIONS:
Net investment income (loss).............................. $ 1,094,246 $ (310,312) $ 443,294
Net realized loss......................................... (360,747) (2,157,393) (4,486,275)
Change in net unrealized appreciation (depreciation)...... 6,881,042 26,897,153 13,511,396
- -------------------------------------------------------------------------------------------------------
INCREASE IN NET ASSETS FROM OPERATIONS.................... 7,614,541 24,429,448 9,468,415
- -------------------------------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS (NOTE 6):
Net proceeds from sale of shares.......................... 7,441,385 4,766,649 931,596
Cost of shares reacquired................................. (5,271,031) (9,650,608) (7,778,335)
- -------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM
FUND SHARE TRANSACTIONS................................. 2,170,354 (4,883,959) (6,846,739)
- -------------------------------------------------------------------------------------------------------
INCREASE IN NET ASSETS...................................... 9,784,895 19,545,489 2,621,676
NET ASSETS:
Beginning of period....................................... 48,821,487 138,221,128 106,010,369
- -------------------------------------------------------------------------------------------------------
END OF PERIOD*............................................ $58,606,382 $157,766,617 $108,632,045
=======================================================================================================
* Note:
Includes undistributed net investment income of:.......... $1,130,743 -- $469,455
- -------------------------------------------------------------------------------------------------------
Includes accumulated net investment loss of:.............. -- $(310,930) --
=======================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
19
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) FOR THE YEAR ENDED DECEMBER
31, 2002
<Table>
<Caption>
MFS
CONVERTIBLE MID CAP MFS
SECURITIES GROWTH RESEARCH
PORTFOLIO PORTFOLIO PORTFOLIO
- ---------------------------------------------------------------------------------------------------------
OPERATIONS:
Net investment income (loss).............................. $ 2,129,705 $ (1,066,424) $ 591,918
Net realized loss......................................... (1,887,243) (206,726,742) (38,917,113)
Change in net unrealized appreciation (depreciation)...... (4,052,465) 69,770,853 (1,621,852)
- ---------------------------------------------------------------------------------------------------------
DECREASE IN NET ASSETS FROM OPERATIONS.................... (3,810,003) (138,022,313) (39,947,047)
- ---------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income..................................... (3,673,756) -- (745,864)
Net realized gains........................................ (328,641) -- --
- ---------------------------------------------------------------------------------------------------------
DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO
SHAREHOLDERS............................................ (4,002,397) -- (745,864)
- ---------------------------------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS (NOTE 6):
Net proceeds from sale of shares.......................... 16,726,051 21,659,027 3,400,629
Net asset value of shares issued for reinvestment of
dividends............................................... 4,002,397 -- 745,864
Cost of shares reacquired................................. (14,450,595) (23,919,477) (23,370,733)
- ---------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM FUND SHARE
TRANSACTIONS............................................ 6,277,853 (2,260,450) (19,224,240)
- ---------------------------------------------------------------------------------------------------------
DECREASE IN NET ASSETS...................................... (1,534,547) (140,282,763) (59,917,151)
NET ASSETS:
Beginning of year......................................... 50,356,034 278,503,891 165,927,520
- ---------------------------------------------------------------------------------------------------------
END OF YEAR*.............................................. $ 48,821,487 $ 138,221,128 $106,010,369
=========================================================================================================
* Includes undistributed net investment income of:.......... $36,497 -- $26,767
=========================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
20
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1. SIGNIFICANT ACCOUNTING POLICIES
The Convertible Securities, MFS Mid Cap Growth and MFS Research Portfolios
("Fund(s)") are separate investment funds of The Travelers Series Trust
("Trust"). The Trust is a Massachusetts business trust registered under the
Investment Company Act of 1940, as amended, as a diversified, open-end
management investment company and consists of these Funds and thirteen other
separate investment funds: Travelers Quality Bond, Lazard International Stock,
MFS Emerging Growth, Federated High Yield, Federated Stock, Disciplined Mid Cap
Stock, U.S. Government Securities, Social Awareness Stock, Pioneer Fund,
formerly known as Utilities, Large Cap, Equity Income, Zero Coupon Bond Fund
(Series 2005) and MFS Value Portfolios. Shares of the Trust are offered only to
insurance company separate accounts that fund certain variable annuity and
variable life insurance contracts. The financial statements and financial
highlights for the other funds are presented in separate shareholder reports.
The Funds and the other investment funds of the Trust are offered exclusively
for use with certain variable annuity and variable life insurance contracts
offered through the separate accounts of various affiliated life insurance
companies.
The significant accounting policies consistently followed by the Funds are:
(a) security transactions are accounted for on trade date; (b) securities traded
on national securities markets are valued at the closing price on such markets
or, if there were no sales during the day, at the mean between the closing bid
and asked prices; securities primarily traded on foreign exchanges are generally
valued at the closing values of such securities on their respective exchanges,
except that when a significant occurrence exists subsequent to the time a value
was so established and it is likely to have significantly changed the value,
then the fair value of those securities will be determined by consideration of
other factors by or under the direction of the Board of Trustees; securities
listed on the NASDAQ National Market System for which market quotations are
available are valued at the official closing price or, if there is no official
closing price on that day, at the last sale price; securities traded in the
over-the-counter market are valued at prices based on market quotations for
securities of similar type; U.S. government agencies and obligations are valued
at the mean between the last reported bid and asked prices; (c) securities
maturing within 60 days are valued at cost plus accreted discount or minus
amortized premium, which approximates value; (d) securities, other than U.S.
government agencies, that have a maturity of 60 days or more are valued at
prices based on market quotations for securities of similar type, yield and
maturity; (e) interest income, adjusted for amortization of premium and
accretion of discount, is recorded on an accrual basis and dividend income is
recorded on the ex-dividend date; foreign dividends are recorded on the
ex-dividend date or as soon as practical after the Fund determines the existence
of a dividend declaration after exercising reasonable due diligence; (f) gains
or losses on the sale of securities are calculated by using the specific
identification method; (g) dividends and distributions to shareholders are
recorded on the ex-dividend date; the Funds distribute dividends and capital
gains, if any, at least annually; (h) the accounting records of the Funds are
maintained in U.S. dollars. All assets and liabilities denominated in foreign
currencies are translated into U.S. dollars based on the rate of exchange of
such currencies against U.S. dollars on the date of valuation. Purchases and
sales of securities, income and expenses are translated at the rate of exchange
quoted on the respective date that such transactions are recorded. Differences
between income or expense amounts recorded and collected or paid are adjusted
when reported by the custodian bank; (i) the Funds intend to comply with the
requirements of the Internal Revenue Code of 1986, as amended, pertaining to
regulated investment companies and to make distributions of taxable income
sufficient to relieve it from substantially all Federal income and excise taxes;
(j) the character of income and gains to be distributed are determined in
accordance with income tax regulations which may differ from accounting
principles generally accepted in the United States of America; and (k) estimates
and assumptions are required to be made regarding assets, liabilities and
changes in net assets resulting from operations when financial statements are
prepared. Changes in the economic environment, financial markets and any other
parameters used in determining these estimates could cause actual results to
differ.
In addition, the MFS Mid Cap Growth and MFS Research Portfolios may enter
into forward exchange contracts in order to hedge against foreign currency risk.
These contracts are marked to market daily, by recognizing the difference
between the contract exchange rate and the current forward rate as an unrealized
gain or loss. Realized gains or losses are recognized when the contracts are
settled or offset by entering into another forward exchange contract.
2. INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS
Travelers Asset Management International Company LLC ("TAMIC"), an indirect
wholly-owned subsidiary of Citigroup Inc. ("Citigroup"), acts as investment
adviser to the Convertible Securities ("CS"), MFS Mid Cap Growth ("MMCG") and
MFS Research ("MRP") Portfolios. CS, MMCG, and MRP each pay TAMIC an investment
advisory fee calculated at annual rates of 0.60%, 0.80% and 0.80%, respectively.
These fees are calculated daily and paid monthly.
21
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
TAMIC has entered into a sub-advisory agreement with Massachusetts
Financial Services ("MFS"). Pursuant to each sub-advisory agreement, MFS is
responsible for the day-to-day fund operations and investment decisions for MMCG
and MRP. As a result, TAMIC pays MFS a sub-advisory fee at an annual rate of
0.375% of the average daily net assets of MMCG and MRP.
The Travelers Insurance Company ("TIC"), another indirect wholly-owned
subsidiary of Citigroup, acts as administrator to the Funds. The Funds pay TIC
an administration fee calculated at an annual rate of 0.06% of the average daily
net assets of each Fund. This fee is calculated daily and paid monthly. TIC has
entered into a sub-administrative service agreement with Smith Barney Fund
Management LLC ("SBFM"), another indirect wholly-owned subsidiary of Citigroup.
TIC pays SBFM, as sub-administrator, a fee calculated at an annual rate of 0.06%
of the average daily net assets of the Funds.
Citicorp Trust Bank, fsb. ("CTB"), another subsidiary of Citigroup, acts as
the Funds' transfer agent. CTB receives account fees and asset-based fees that
vary according to the size and type of account. For the six months ended June
30, 2003, each Fund paid transfer agent fees of $2,500 to CTB.
For the six months ended June 30, 2003, Citigroup Global Markets Inc.,
formerly known as Salomon Smith Barney Inc., another indirect wholly-owned
subsidiary of Citigroup, did not receive any brokerage commissions from the
Funds.
One Trustee and all officers of the Trust are employees of Citigroup or its
subsidiaries.
3. INVESTMENTS
During the six months ended June 30, 2003, the aggregate costs of purchases
and proceeds from sales of investments (including maturities of long-term
investments, but excluding short-term investments), were as follows:
<Table>
<Caption>
PURCHASES SALES
- ----------------------------------------------------------------------------------------
Convertible Securities Portfolio............................ $14,948,702 $11,571,088
MFS Mid Cap Growth Portfolio................................ 62,929,451 67,857,242
MFS Research Portfolio...................................... 43,875,999 49,439,591
- ----------------------------------------------------------------------------------------
</Table>
At June 30, 2003, the aggregate gross unrealized appreciation and
depreciation of investments for Federal income tax purposes were substantially
as follows:
<Table>
<Caption>
NET
UNREALIZED
APPRECIATION
APPRECIATION DEPRECIATION (DEPRECIATION)
- -----------------------------------------------------------------------------------------------------------
Convertible Securities Portfolio............................ $ 3,253,131 $ (4,035,663) $ (782,532)
MFS Mid Cap Growth Portfolio................................ 24,358,804 (3,112,355) 21,246,449
MFS Research Portfolio...................................... 7,957,781 (3,558,765) 4,399,016
- -----------------------------------------------------------------------------------------------------------
</Table>
4. REPURCHASE AGREEMENTS
The Funds purchase (and the custodian takes possession of) U.S. government
securities from securities dealers subject to agreements to resell the
securities to the sellers at a future date (generally, the next business day) at
an agreed-upon higher repurchase price. The Funds require continual maintenance
of the market value (plus accrued interest) of the collateral in amounts at
least equal to the repurchase price.
At June 30, 2003, MMCG and MRP did not have any repurchase agreements
outstanding.
5. FORWARD FOREIGN CURRENCY CONTRACTS
MMCG and MRP may enter into forward foreign currency contracts. A forward
foreign currency contract is an agreement between two parties to buy and sell a
currency at a set price on a future date. The contract is marked-to-market daily
and the change in value is recorded by the Fund as an unrealized gain or loss.
When a forward foreign currency contract is extinguished, through either
delivery or offset by entering into another forward foreign currency contract,
the Fund records a realized gain or loss equal to the difference between the
value of the contract at the time it was opened and the value of the contract at
the time it was extinguished or offset. The Fund bears the market risk that
arises from changes in foreign currency exchange rates and the credit risk
should a counterparty be unable to meet the terms of such contracts.
22
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
At June 30, 2003, MRP had open foreign currency contracts as described
below. The unrealized loss on the contracts reflected in the accompanying
financial statements were as follows:
MFS RESEARCH PORTFOLIO
<Table>
<Caption>
LOCAL MARKET SETTLEMENT UNREALIZED
FOREIGN CURRENCY CURRENCY VALUE DATE LOSS
- -------------------------------------------------------------------------------------------------------
CONTRACTS TO BUY:
Canadian Dollar......................................... 6,170 $ 4,551 7/2/03 $ (31)
Canadian Dollar......................................... 6,160 4,544 7/3/03 (31)
- -------------------------------------------------------------------------------------------------------
(62)
- -------------------------------------------------------------------------------------------------------
CONTRACTS TO SELL:
British Pound........................................... 127,471 210,696 7/2/03 (740)
- -------------------------------------------------------------------------------------------------------
Net Unrealized Loss on Open Forward Foreign
Currency Contracts.................................... $(802)
=======================================================================================================
</Table>
At June 30, 2003, MMCG did not have any open forward foreign currency
contracts.
6. SHARES OF BENEFICIAL INTEREST
The Declaration of Trust authorizes the issuance of an unlimited number of
shares of beneficial interest without par value. Transactions in shares of each
Fund were as follows:
<Table>
<Caption>
SIX MONTH ENDED YEAR ENDED
JUNE 30, 2003 DECEMBER 31, 2002
- -----------------------------------------------------------------------------------------------------
CONVERTIBLE SECURITIES PORTFOLIO
Shares sold................................................. 710,087 1,574,176
Shares issued on reinvestment............................... -- 413,531
Shares reacquired........................................... (504,550) (1,386,512)
- -----------------------------------------------------------------------------------------------------
Net Increase................................................ 205,537 601,195
=====================================================================================================
MFS MID CAP GROWTH PORTFOLIO
Shares sold................................................. 888,025 3,032,958
Shares reacquired........................................... (1,864,912) (3,875,252)
- -----------------------------------------------------------------------------------------------------
Net Decrease................................................ (976,887) (842,294)
=====================================================================================================
MFS RESEARCH PORTFOLIO
Shares sold................................................. 137,543 439,734
Shares issued on reinvestment............................... -- 113,691
Shares reacquired........................................... (1,192,901) (3,216,184)
- -----------------------------------------------------------------------------------------------------
Net Decrease................................................ (1,055,358) (2,662,759)
=====================================================================================================
</Table>
7. SUBSEQUENT EVENT
On July 25, 2003, the Board of Trustees of The Travelers Series Trust: MFS
Research Portfolio approved a new sub-advisory agreement for the Fund. Subject
to shareholder approval, the new sub-advisory agreement replaces Massachusetts
Financial Services, as sub-advisor, with Merrill Lynch Investment Manager L.P.
23
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
For a share of beneficial interest outstanding throughout each year ended
December 31, unless otherwise noted:
<Table>
<Caption>
CONVERTIBLE SECURITIES PORTFOLIO 2003(1) 2002(2) 2001(2) 2000(2) 1999(2) 1998(3)
- -------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF
PERIOD.............................. $ 9.67 $11.32 $12.06 $11.69 $ 9.86 $10.00
- -------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income(4)(5)......... 0.21 0.45 0.47 0.58 0.46 0.22
Net realized and unrealized gain
(loss)(5)........................ 1.27 (1.26) (0.56) 0.85 1.38 (0.12)
- -------------------------------------------------------------------------------------------------------------
Total Income (Loss) From Operations... 1.48 (0.81) (0.09) 1.43 1.84 0.10
- -------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income............... -- (0.77) (0.21) (0.25) -- (0.22)
Net realized gains.................. -- (0.07) (0.44) (0.81) (0.01) (0.02)
- -------------------------------------------------------------------------------------------------------------
Total Distributions................... -- (0.84) (0.65) (1.06) (0.01) (0.24)
- -------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD........ $11.15 $ 9.67 $11.32 $12.06 $11.69 $ 9.86
- -------------------------------------------------------------------------------------------------------------
TOTAL RETURN(6)....................... 15.31%++ (6.99)% (0.82)% 12.51% 18.70% 0.98%++
- -------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000'S)..... $58,606 $48,821 $50,356 $26,294 $11,238 $4,617
- -------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses(4)(7)...................... 0.77%+ 0.80% 0.79% 0.80% 0.80% 0.80%+
Net investment income(5)............ 4.18+ 4.36 3.95 4.76 4.33 4.31+
- -------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE............... 23% 46% 56% 48% 79% 7%
=============================================================================================================
</Table>
(1) For the six months ended June 30, 2003 (unaudited).
(2) Per share amounts have been calculated using the monthly average shares
method.
(3) For the period May 1, 1998 (commencement of operations) to December 31,
1998.
(4) The Travelers Insurance Company has agreed to reimburse the Fund for
expenses in the amounts of $6,833, $18,530, $32,000 and $24,996 for the
years ended December 31, 2002, December 31, 2000, December 31, 1999 and the
period ended December 31, 1998, respectively. If such expenses were not
reimbursed, the per share decreases to net investment income and the actual
expense ratios would have been as follows:
<Table>
<Caption>
DECREASES TO NET EXPENSE RATIOS WITHOUT
INVESTMENT INCOME PER SHARE EXPENSE REIMBURSEMENTS
------------------------------ -------------------------------
2002 2000 1999 1998 2002 2000 1999 1998
------ ----- ----- ----- ------ ----- ----- ------
Convertible Securities Portfolio $0.00* $0.01 $0.05 $0.05 0.81% 0.90% 1.23% 1.86%+
</Table>
(5) Effective January 1, 2001, the Fund adopted a change in the accounting
method that requires the Fund to amortize premiums and accrete all
discounts. Without the adoption of this change, for the year ended December
31, 2001, the ratio of net investment income to average net assets would
have been 3.99%. Per share information, ratios and supplemental data for the
periods prior to January 1, 2001 have not been restated to reflect this
change in presentation. In addition, the impact of this change to net
investment income and net realized an unrealized loss was less than $0.01
per share.
(6) Performance figures may reflect fee waivers and/or expense reimbursements.
Past performance is no guarantee of future results. In the absence of fee
waivers and/or expense reimbursements, the total return would be reduced.
(7) As a result of a voluntary expense limitation, the ratio of expenses to
average net assets will not exceed 0.80%.
* Amount represents less than $0.01 per share.
++ Total return is not annualized, as it may not be representative of the
total return for the year.
+ Annualized.
24
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (CONTINUED)
For a share of beneficial interest outstanding throughout each year ended
December 31, unless otherwise noted:
<Table>
<Caption>
MFS MID CAP GROWTH PORTFOLIO 2003(1) 2002(2) 2001(2) 2000(2) 1999(2) 1998(2)(3)
- -------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD.......... $5.02 $9.81 $16.75 $16.43 $10.05 $10.00
- -------------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment loss(4)...................... (0.01) (0.04) (0.06) (0.05) (0.04) (0.02)
Net realized and unrealized gain (loss)..... 0.93 (4.75) (3.90) 1.69 6.46 0.07
- -------------------------------------------------------------------------------------------------------------------
Total Income (Loss) From Operations........... 0.92 (4.79) (3.96) 1.64 6.42 0.05
- -------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net realized gains.......................... -- -- (2.98) (1.32) (0.04) --
- -------------------------------------------------------------------------------------------------------------------
Total Distributions........................... -- -- (2.98) (1.32) (0.04) --
- -------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD................ $5.94 $5.02 $ 9.81 $16.75 $16.43 $10.05
- -------------------------------------------------------------------------------------------------------------------
TOTAL RETURN(5)............................... 18.33%++ (48.83)% (23.62)% 9.29% 64.17% 0.50%++
- -------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000'S)............. $157,767 $138,221 $278,504 $314,150 $94,124 $13,234
- -------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses(4)(6).............................. 0.94%+ 0.93% 0.92% 0.90% 1.00% 1.00%+
Net investment loss......................... (0.44)+ (0.56) (0.49) (0.30) (0.33) (0.25)+
- -------------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE....................... 46% 167% 96% 143% 162% 100%
===================================================================================================================
</Table>
(1) For the six months ended June 30, 2003 (unaudited).
(2) Per share amounts have been calculated using the monthly average shares
method.
(3) For the period March 23, 1998 (commencement of operations) to December 31,
1998.
(4) The Travelers Insurance Company has agreed to reimburse the Fund for the
expenses in the amounts of $27,304 and $32,634 for the year ended December
31, 1999 and the period ended December 31, 1998, respectively. If such
expenses were not reimbursed, the increases to net investment loss and the
actual expense ratios would have been as follows:
<Table>
<Caption>
INCREASES TO NET EXPENSE RATIOS WITHOUT
INVESTMENT LOSS PER SHARE EXPENSE REIMBURSEMENTS
-------------------------- ---------------------------
1999 1998 1999 1998
----- ----- ----- ------
MFS Mid Cap Growth Portfolio $0.01 $0.04 1.07% 1.62%+
</Table>
(5) Performance figures may reflect fee waivers and/or expense reimbursements.
Past performance is no guarantee of future results. In the absence of fee
waivers and/or expense reimbursements, the total return would be reduced.
(6) As a result of a voluntary expense limitation, the ratio of expenses to
average net assets will not exceed 1.00%.
++ Total return is not annualized, as it may not be representative of the
total return for the year.
+ Annualized.
25
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (CONTINUED)
For a share of beneficial interest outstanding throughout each year ended
December 31, unless otherwise noted:
<Table>
<Caption>
MFS RESEARCH PORTFOLIO 2003(1) 2002(2) 2001(2) 2000(2) 1999(2) 1998(3)
- ------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD.......... $6.52 $8.77 $12.15 $13.06 $10.56 $10.00
- ------------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income (loss)(4)............. 0.03 0.03 0.01 (0.01) 0.00* 0.01
Net realized and unrealized gain (loss)..... 0.60 (2.23) (2.74) (0.70) 2.50 0.57
- ------------------------------------------------------------------------------------------------------------------
Total Income (Loss) From Operations........... 0.63 (2.20) (2.73) (0.71) 2.50 0.58
- ------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income....................... -- (0.05) (0.00)* -- -- (0.02)
Net realized gains.......................... -- -- (0.65) (0.20) -- --
Capital..................................... -- -- -- -- -- (0.00)*
- ------------------------------------------------------------------------------------------------------------------
Total Distributions........................... -- (0.05) (0.65) (0.20) -- (0.02)
- ------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD................ $7.15 $6.52 $ 8.77 $12.15 $13.06 $10.56
- ------------------------------------------------------------------------------------------------------------------
TOTAL RETURN(5)............................... 9.66%++ (25.14)% (22.45)% (5.58)% 23.67% 5.77%++
- ------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000'S)............. $108,632 $106,010 $165,928 $222,953 $152,073 $37,870
- ------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses(4)(6).............................. 0.97%+ 0.94% 0.92% 0.94% 0.99% 1.00%+
Net investment income (loss)................ 0.86+ 0.44 0.10 (0.07) 0.02 0.42+
- ------------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE....................... 44% 104% 98% 86% 85% 54%
==================================================================================================================
</Table>
(1) For the six months ended June 30, 2003 (unaudited).
(2) Per share amounts have been calculated using the monthly average shares
method.
(3) For the period March 23, 1998 (commencement of operations) to December 31,
1998.
(4) The Travelers Insurance Company has agreed to reimburse the Fund for
expenses in the amount of $41,049 for the period ended December 31, 1998. If
such expenses were not reimbursed, the per share decrease to net investment
income and the actual annualized expense ratio would have been $0.01 and
1.37%, respectively.
(5) Performance figures may reflect fee waivers and/or expense reimbursements.
Past performance is no guarantee of future results. In the absence of fee
waivers and/or expense reimbursements, the total return would be reduced.
(6) As a result of a voluntary expense limitation, the ratio of expenses
(excluding interest expense) to average net assets will not exceed 1.00%.
* Amount represents less than $0.01 per share.
++ Total return is not annualized, as it may not be representative of the
total return for the year.
+ Annualized.
26
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(This page intentionally left blank.)
THE TRAVELERS SERIES TRUST
- --------------------------------------------------------------------------------
<Table>
TRUSTEES INVESTMENT ADVISER
R. Jay Gerken, CFA Travelers Asset Management International Company LLC
Chairman
Frances M. Hawk, CFA, CPA
Lewis Mandell
Robert E. McGill ADMINISTRATOR
OFFICERS The Travelers Insurance Company
R. Jay Gerken, CFA
President and
Chief Executive Officer CUSTODIAN
Lewis E. Daidone State Street Bank and Trust Company
Senior Vice President and
Chief Administrative Officer
Richard L. Peteka TRANSFER AGENT
Chief Financial Officer
and Treasurer Citicorp Trust Bank, fsb.
Kaprel Ozsolak
Controller
Ernest J. Wright
Secretary
Kathleen A. McGah
Assistant Secretary
</Table>
The Funds are separate investment funds of The Travelers Series Trust, a
Massachusetts business trust.
This report is prepared for the general information of contract owners and is
not an offer of shares of The Travelers Series Trust: Convertible Securities,
MFS Mid Cap Growth and MFS Research Portfolios. It should not be used in
connection with any offer except in conjunction with the Prospectuses for the
Variable Annuity and Variable Universal Life Insurance products offered by The
Travelers Insurance Company or The Travelers Life and Annuity Company and the
Prospectuses for the underlying funds, which collectively contain all pertinent
information, including the applicable sales commissions.
Series Trust (Semi-Annual) (8-03) Printed in U.S.A. 03-4964
ITEM 2. CODE OF ETHICS.
Not applicable.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. [RESERVED]
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. [RESERVED]
ITEM 9. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive officer and principal
financial officer have concluded that the registrant's
disclosure controls and procedures (as defined in Rule
30a-2(c) under the Investment Company Act of 1940, as
amended) are effective based on their evaluation of the
disclosure controls and procedures as of a date within 90
days of the filing date of this document.
(b) In the last 90 days, there have been no significant
changes in the Registrant's internal controls or in other
factors that could significantly affect these controls.
ITEM 10. EXHIBITS.
(a) Not applicable.
(b) Attached hereto.
Exhibit 99.CERT Certifications pursuant to section 302 of the
Sarbanes-Oxley Act of 2002
Exhibit 99.906CERT Certifications pursuant to Section 906 of the
Sarbanes-Oxley Act of 2002
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this Report to be
signed on its behalf by the undersigned, there unto duly authorized.
The Travelers Series Trust
By: /s/ R. Jay Gerken
R. Jay Gerken
Chief Executive Officer of
The Travelers Series Trust
Date: August 28, 2003
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By: /s/ R. Jay Gerken
(R. Jay Gerken)
Chief Executive Officer of
The Travelers Series Trust
Date: August 28, 2003
By: /s/ Richard L. Peteka
(Richard L. Peteka)
Chief Financial Officer of
The Travelers Series Trust
Date: August 28, 2003