UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-6465
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 ART TOP
UMBRELLA ART BOTTOM
THE TRAVELERS SERIES TRUST:
TRAVELERS QUALITY BOND PORTFOLIO
LAZARD INTERNATIONAL STOCK PORTFOLIO
MFS EMERGING GROWTH PORTFOLIO
FEDERATED HIGH YIELD PORTFOLIO
FEDERATED STOCK PORTFOLIO
DISCIPLINED MID CAP STOCK PORTFOLIO
TRAVELERS 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........................ 43
Statements of Operations.................................... 44
Statements of Changes in Net Assets......................... 45
Notes to Financial Statements............................... 47
Financial Highlights........................................ 52
</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 24, 2003
1
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SCHEDULES OF INVESTMENTS (UNAUDITED) JUNE 30, 2003
TRAVELERS QUALITY BOND PORTFOLIO
<Table>
<Caption>
FACE
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT OBLIGATIONS -- 43.5%
U.S. Treasury Notes:
$17,000,000 2.875% due 6/30/04........................................ $ 17,314,772
16,000,000 1.250% due 5/31/05........................................ 15,995,632
21,350,000 3.500% due 11/15/06....................................... 22,511,760
9,250,000 4.750% due 11/15/08....................................... 10,257,029
8,000,000 5.750% due 8/15/10........................................ 9,366,568
1,500,000 4.000% due 11/15/12....................................... 1,561,349
13,800,000 3.875% due 2/15/13........................................ 14,204,837
4,000,000 U.S. Treasury Bonds, 8.875% due 8/15/17..................... 6,052,500
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TOTAL U.S. GOVERNMENT OBLIGATIONS
(Cost -- $96,203,250)....................................... 97,264,447
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<Caption>
FACE
AMOUNT RATING(a) SECURITY VALUE
- --------------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES -- 47.4%
- --------------------------------------------------------------------------------------------------------
AEROSPACE/DEFENSE -- 3.4%
3,800,000 BBB- Northrop Grumman Corp., Notes, 8.625% due 10/15/04.......... 4,114,344
3,400,000 BBB- Raytheon Co., Notes, 5.700% due 11/1/03..................... 3,430,767
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7,545,111
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AUTOMOTIVE -- 2.0%
4,500,000 A3* DaimlerChrysler North America Holding Corp., Notes,
4.050% due 6/4/08......................................... 4,461,332
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FINANCIAL SERVICES -- 9.7%
2,165,000 A2* FleetBoston Financial Corp., Sub. Notes, 7.125% due
4/15/06................................................... 2,429,061
1,900,000 A3* Ford Motor Credit Co., Notes, 6.875% due 2/1/06............. 2,016,331
2,000,000 AAA General Electric Capital Corp., Global Medium-Term Notes,
Series A, 5.450% due 1/15/13.............................. 2,170,342
1,800,000 A3* General Motors Acceptance Corp., Notes, 7.250% due 3/2/11... 1,849,684
2,590,000 A1* Household Finance Corp., Notes, 6.375% due 11/27/12......... 2,955,659
2,100,000 A J.P. Morgan Chase & Co., Jr. Sub. Notes, 5.750% due
1/2/13.................................................... 2,300,136
1,700,000 AAA MassMutual, Global Funding II, Notes, 2.550% due 7/15/08
(b)....................................................... 1,674,558
Morgan Stanley:
2,000,000 Aa3* Notes, 4.250% due 5/15/10................................. 2,061,636
2,600,000 Aa3* Sr. Notes, 5.300% due 3/1/13.............................. 2,768,636
1,600,000 C* Osprey Trust/Osprey I Inc., Secured Notes, 8.310% due
1/15/49 (b)(c)............................................ 224,000
1,100,000 A3* Washington Mutual, Inc., Notes, 4.375% due 1/15/08.......... 1,165,279
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21,615,322
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FOOD -- 0.7%
1,300,000 BBB- Fred Meyer, Inc., Notes, 7.450% due 3/1/08.................. 1,516,255
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HEALTH CARE -- 0.1%
250,000 BBB- Nationwide Health Properties, Inc., Medium-Term Notes,
Series C,
6.900% due 10/1/37........................................ 262,958
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</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
2
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
TRAVELERS QUALITY BOND PORTFOLIO
<Table>
<Caption>
FACE
AMOUNT RATING(a) SECURITY VALUE
- --------------------------------------------------------------------------------------------------------
MULTI-LINE RETAIL -- 3.9%
$ 3,900,000 BBB+ Sears Roebuck Acceptance Corp., Medium-Term Notes, Series
VI,
4.229% due 1/7/04 (d)..................................... $ 3,936,761
4,500,000 AA Wal-Mart Stores, Inc., Notes, 4.550% due 5/1/13............. 4,690,476
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8,627,237
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MULTIMEDIA -- 6.4%
3,600,000 BBB+ AOL Time Warner Inc., Notes, 6.150% due 5/1/07.............. 4,053,938
4,575,000 BBB- Clear Channel Communications, Inc., Sr. Notes, 7.250% due
9/15/03................................................... 4,621,125
900,000 BBB Comcast Cable Communications, Inc., Notes, 8.500% due
5/1/27.................................................... 1,164,329
3,700,000 Baa1* Cox Enterprises Inc., Notes, 7.875% due 9/15/10 (b)......... 4,503,644
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14,343,036
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REAL ESTATE -- 2.6%
530,000 BBB+ EOP Operating L.P., Notes, 8.100% due 8/1/10................ 649,180
5,000,000 BBB Post Apartment Homes, L.P., MOPPRS(SM), Sr. Notes, 6.850%
due 3/16/15............................................... 5,292,435
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5,941,615
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TELECOMMUNICATIONS -- 3.9%
3,400,000 A+ New York Telephone Co., Debentures, 7.000% due 8/15/25...... 3,494,180
5,000,000 CCC+ Qwest Capital Funding, Inc., Notes, 7.000% due 8/3/09....... 4,137,500
800,000 BBB- Sprint Corp., Notes, 8.375% due 3/15/12..................... 959,695
800,000 Ca* WorldCom, Inc. -- WorldCom Group, Notes, 7.500% due 5/15/11
(c)....................................................... 238,000
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8,829,375
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UTILITIES -- 14.7%
5,122,000 B Aquila, Inc., Sr. Notes, 6.875% due 10/1/04................. 4,821,082
3,200,000 BBB The Cleveland Electric Illuminating Co., First Mortgage
Bonds, Series E, 9.000% due 7/1/23........................ 3,360,771
CMS Energy Corp.:
650,000 B+ Notes, 7.625% due 11/15/04................................ 663,000
2,000,000 B+ Sr. Notes, Series B, 6.750% due 1/15/04................... 2,030,000
870,000 BBB Duke Energy Field Services, LLC, Notes, 7.500% due
8/16/05................................................... 951,914
3,000,000 B El Paso Corp., Medium-Term Notes, 6.950% due 12/15/07....... 2,820,000
2,700,000 B Gemstone Investors Ltd., Secured Notes, 7.710% due 10/31/04
(b)....................................................... 2,700,000
1,640,000 BBB- MidAmerican Energy Holdings Co., Sr. Notes, 6.960% due
9/15/03................................................... 1,657,986
2,800,000 Baa1* Pepco Holdings, Inc., Notes, 5.500% due 8/15/07............. 3,019,386
2,900,000 BBB Progress Energy, Inc., Sr. Notes, 6.050% due 4/15/07........ 3,203,575
PSEG Energy Holdings Inc., Sr. Notes:
900,000 BBB- 9.125% due 2/10/04........................................ 927,164
750,000 BBB- 8.625% due 2/15/08........................................ 807,175
3,600,000 B+ Transcontinental Gas Pipe Line Corp., Notes, 6.125% due
1/15/05................................................... 3,618,000
2,200,000 BBB- Xcel Energy, Inc., Sr. Notes, 3.400% due 7/1/08 (b)......... 2,187,302
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32,767,355
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TOTAL CORPORATE BONDS AND NOTES (Cost -- $104,220,932)...... 105,909,596
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ASSET-BACKED SECURITIES -- 5.2%
1,900,000 AAA California Infrastructure PG&E-1, Series 1997-1, Class A7,
6.420% due 9/25/08........................................ 2,059,747
2,500,000 AAA DaimlerChrysler Auto Trust, Series 2001-C, Class A4,
4.630% due 12/6/06........................................ 2,615,720
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
3
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
TRAVELERS QUALITY BOND PORTFOLIO
<Table>
<Caption>
FACE
AMOUNT RATING(a) SECURITY VALUE
- --------------------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES -- 5.2% (CONTINUED)
$ 1,700,000 AAA Discover Card Master Trust I, Series 1996-3, Class A,
6.050% due 8/18/08........................................ $ 1,875,741
2,200,000 AAA Ford Auto Owner Trust, Series 2002-B, Class A4, 4.750% due
8/15/06................................................... 2,331,508
600,000 AA- Metris Master Trust, Series 2001-1, Class A, 1.324% due
12/20/07.................................................. 590,510
2,000,000 AAA Toyota Auto Receivables Owner Trust, Series 2002-C, Class
A3,
2.650% due 11/15/06....................................... 2,032,358
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TOTAL ASSET-BACKED SECURITIES (Cost -- $11,437,305)......... 11,505,584
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COLLATERALIZED MORTGAGE OBLIGATIONS -- 1.3%
1,450,000 Aaa* CS First Boston Mortgage Securities Corp., Series 2001-CK1,
Class A3,
6.380% due 12/16/35....................................... 1,675,997
1,090,000 AAA LB-UBS Commercial Mortgage Trust, Series 2002-C4, Class A5,
4.853% due 9/15/31........................................ 1,151,962
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TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost -- $2,722,200)........................................ 2,827,959
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<Caption>
FACE
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 2.6%
5,856,000 State Street Bank and Trust Co., 1.000% due 7/1/03: Proceeds
at
maturity -- $5,856,163; (Fully collateralized by Federal
National
Mortgage Association Notes, 5.250% due 4/15/07; Market
value -- $5,975,200) (Cost -- $5,856,000)................. 5,856,000
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TOTAL INVESTMENTS -- 100.0% (Cost -- $220,439,687**)........ $223,363,586
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</Table>
(a) 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.
(b) Security is exempt from registration under Rule 144A of the Securities Act
of 1933. This security may be resold in transactions that are exempt from
registration, normally to qualified institutional buyers.
(c) Security is currently in default.
(d) Variable rate security -- rate resets quarterly.
** Aggregate cost for Federal income tax purposes is substantially the same.
Abbreviation used in this schedule:
MOPPRS(SM) -- MandatOry Par Put Remarketed Securities(SM). "MandatOry Par Put
Remarketed Securities(SM)" and "MOPPRS(SM)" are service marks
owned by Merrill Lynch & Co., Inc.
See pages 41 and 42 for definitions of ratings.
SEE NOTES TO FINANCIAL STATEMENTS.
4
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
LAZARD INTERNATIONAL STOCK PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- -------------------------------------------------------------------------------------------
STOCK -- 99.1%
- -------------------------------------------------------------------------------------------
AUSTRALIA -- 2.1%
375,338 BHP Billiton Ltd.+.......................................... $ 2,177,459
- -------------------------------------------------------------------------------------------
BELGIUM -- 1.2%
67,700 Fortis (NL) N.V.+........................................... 1,177,424
- -------------------------------------------------------------------------------------------
DENMARK -- 1.3%
36,800 Novo Nordisk A/S, Class B Shares............................ 1,290,199
- -------------------------------------------------------------------------------------------
FINLAND -- 2.7%
163,800 Nokia Oyj................................................... 2,695,687
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FRANCE -- 8.9%
31,000 BNP Paribas S.A.+........................................... 1,577,856
21,400 Carrefour S.A. ............................................. 1,050,583
52,200 Credit Agricole S.A. ....................................... 993,713
28,200 Lagardere S.C.A.+........................................... 1,227,743
18,400 Schneider Electric S.A.+.................................... 866,479
21,551 Total Fina Elf S.A. ........................................ 3,262,238
- -------------------------------------------------------------------------------------------
8,978,612
- -------------------------------------------------------------------------------------------
GERMANY -- 1.9%
15,900 Bayerische Motoren Werke (BMW) AG........................... 612,681
35,300 Deutsche Telekom AG*........................................ 539,625
15,400 Siemens AG.................................................. 756,736
- -------------------------------------------------------------------------------------------
1,909,042
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HONG KONG -- 1.5%
241,500 CLP Holdings Ltd. .......................................... 1,049,845
395,000 Hong Kong & China Gas Co., Ltd. ............................ 498,932
- -------------------------------------------------------------------------------------------
1,548,777
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IRELAND -- 4.1%
76,992 Allied Irish Banks PLC...................................... 1,159,251
142,900 Bank of Ireland............................................. 1,732,041
82,442 CRH PLC..................................................... 1,294,415
- -------------------------------------------------------------------------------------------
4,185,707
- -------------------------------------------------------------------------------------------
ITALY -- 7.0%
105,219 Alleanza Assicurazioni S.p.A.+.............................. 1,002,113
117,350 ENI S.p.A.+................................................. 1,777,711
283,500 Snam Rete Gas S.p.A. ....................................... 1,115,248
353,100 Telecom Italia S.p.A.+...................................... 3,200,489
- -------------------------------------------------------------------------------------------
7,095,561
- -------------------------------------------------------------------------------------------
JAPAN -- 14.2%
28,000 Acom Co., Ltd. ............................................. 1,013,892
46,000 CANON INC................................................... 2,114,722
228 East Japan Railway Co. ..................................... 1,015,828
13,900 FANUC Ltd................................................... 690,042
12,400 Honda Motor Co., Ltd. ...................................... 470,736
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
5
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
LAZARD INTERNATIONAL STOCK PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- -------------------------------------------------------------------------------------------
JAPAN -- 14.2% (CONTINUED)
81,000 KAO Corp. .................................................. $ 1,510,450
285,000 Nissan Motor Co., Ltd. ..................................... 2,729,799
976 NTT DoCoMo, Inc. ........................................... 2,117,225
52,200 Takeda Chemical Industries, Ltd. ........................... 1,929,381
272,000 Tokyo Gas Co., Ltd. ........................................ 782,946
- -------------------------------------------------------------------------------------------
14,375,021
- -------------------------------------------------------------------------------------------
NETHERLANDS -- 9.4%
88,100 ABN AMRO Holdings N.V. ..................................... 1,687,262
43,586 Heineken N.V. .............................................. 1,549,166
189,700 Koninklijke KPN N.V.*....................................... 1,346,309
68,072 Koninklijke (Royal) Philips Electronics N.V. ............... 1,296,645
79,000 Royal Dutch Petroleum Co.+.................................. 3,672,956
- -------------------------------------------------------------------------------------------
9,552,338
- -------------------------------------------------------------------------------------------
NORWAY -- 0.5%
62,600 Statoil ASA................................................. 533,697
- -------------------------------------------------------------------------------------------
SINGAPORE -- 1.7%
152,700 Overseas-Chinese Banking Corp. Ltd. ........................ 867,244
127,624 United Overseas Bank Ltd. .................................. 898,786
- -------------------------------------------------------------------------------------------
1,766,030
- -------------------------------------------------------------------------------------------
SPAIN -- 3.4%
65,600 Altadis, S.A.+.............................................. 1,684,187
103,900 Endesa, S.A.+............................................... 1,742,471
- -------------------------------------------------------------------------------------------
3,426,658
- -------------------------------------------------------------------------------------------
SWEDEN -- 1.0%
38,000 Sandvik AB+................................................. 995,722
- -------------------------------------------------------------------------------------------
SWITZERLAND -- 7.6%
78,000 Compagnie Financiere Richemont AG........................... 1,263,835
76,000 Credit Suisse Group......................................... 2,004,587
35,600 Novartis AG................................................. 1,411,779
6,000 Roche Holding AG............................................ 471,663
44,900 UBS AG...................................................... 2,503,119
- -------------------------------------------------------------------------------------------
7,654,983
- -------------------------------------------------------------------------------------------
UNITED KINGDOM -- 30.6%
377,800 Barclays PLC................................................ 2,810,097
213,200 Boots Co. PLC............................................... 2,285,304
309,600 BP PLC...................................................... 2,150,579
70,670 BT Group PLC................................................ 238,001
174,096 Cadbury Schweppes PLC....................................... 1,030,193
201,174 Diageo PLC.................................................. 2,151,409
182,100 GlaxoSmithKline PLC......................................... 3,681,147
354,019 HSBC Holdings PLC........................................... 4,189,733
113,820 Imperial Tobacco Group PLC.................................. 2,037,482
421,800 Kingfisher PLC*............................................. 1,932,969
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
6
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
LAZARD INTERNATIONAL STOCK PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- -------------------------------------------------------------------------------------------
UNITED KINGDOM -- 30.6% (CONTINUED)
81,000 Royal Bank of Scotland Group PLC............................ $ 2,276,044
300,300 Tesco PLC................................................... 1,088,283
160,600 Unilever PLC................................................ 1,280,825
1,992,100 Vodafone Group PLC.......................................... 3,901,901
- -------------------------------------------------------------------------------------------
31,053,967
- -------------------------------------------------------------------------------------------
TOTAL STOCK (Cost -- $97,366,197)........................... 100,416,884
- -------------------------------------------------------------------------------------------
<Caption>
FACE
SECURITY VALUE
- -------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 0.9%
$ 889,000 State Street Bank and Trust Co., 1.000% due 7/1/03; Proceeds
at maturity --
$889,025; (Fully collateralized by U.S. Treasury Bonds,
5.250% due 2/15/29;
Market value -- $908,957) (Cost -- $889,000).............. 889,000
- -------------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% (Cost -- $98,255,197**)......... $101,305,884
- -------------------------------------------------------------------------------------------
</Table>
+ All or a portion of this security is on loan (See Note 8).
* Non-income producing security.
** Aggregate cost for Federal income tax purposes is substantially the same.
- --------------------------------------------------------------------------------
LOANED SECURITIES COLLATERAL (UNAUDITED) JUNE 30, 2003
LAZARD INTERNATIONAL STOCK PORTFOLIO
<Table>
<Caption>
FACE
AMOUNT SECURITY VALUE
- -------------------------------------------------------------------------------------------
$14,563,828 State Street Navigator Securities Lending Trust Prime
Portfolio (Cost -- $14,563,828)............................. $ 14,563,828
- -------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
7
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
MFS EMERGING GROWTH PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- ----------------------------------------------------------------------------------------
COMMON STOCK -- 94.4%
- ----------------------------------------------------------------------------------------
AEROSPACE AND DEFENSE -- 1.5%
9,520 Alliant Techsystems Inc.*................................... $ 494,183
25,600 Lockheed Martin Corp. ...................................... 1,217,792
7,910 Northrop Grumman Corp. ..................................... 682,554
- ----------------------------------------------------------------------------------------
2,394,529
- ----------------------------------------------------------------------------------------
AIR FREIGHT AND COURIERS -- 0.4%
12,520 Expeditors International of Washington, Inc. ............... 433,693
3,900 FedEx Corp. ................................................ 241,917
- ----------------------------------------------------------------------------------------
675,610
- ----------------------------------------------------------------------------------------
AIRLINES -- 0.4%
14,100 JetBlue Airways Corp.*...................................... 596,289
- ----------------------------------------------------------------------------------------
BANKS -- 0.8%
12,200 Banknorth Group, Inc. ...................................... 311,344
7,500 First Tennessee National Corp. ............................. 329,325
15,250 Mellon Financial Corp. ..................................... 423,188
3,700 Northern Trust Corp. ....................................... 154,623
- ----------------------------------------------------------------------------------------
1,218,480
- ----------------------------------------------------------------------------------------
BEVERAGES -- 1.3%
4,200 The Pepsi Bottling Group, Inc. ............................. 84,084
44,000 PepsiCo, Inc. .............................................. 1,958,000
- ----------------------------------------------------------------------------------------
2,042,084
- ----------------------------------------------------------------------------------------
BIOTECHNOLOGY -- 5.1%
3,900 Affymetrix, Inc.*........................................... 76,869
43,520 Amgen, Inc.*................................................ 2,891,469
9,240 Biogen, Inc.*............................................... 351,120
7,100 Celgene Corp.*.............................................. 215,840
4,300 Genentech, Inc.*............................................ 310,116
34,510 Genzyme Corp. - General Division*........................... 1,442,518
17,800 Gilead Sciences, Inc.*...................................... 989,324
4,100 ICOS Corp.*................................................. 150,675
15,900 IDEC Pharmaceuticals Corp.*................................. 540,600
10,790 Invitrogen Corp.*........................................... 414,012
15,060 MedImmune, Inc.*............................................ 547,732
- ----------------------------------------------------------------------------------------
7,930,275
- ----------------------------------------------------------------------------------------
CHEMICALS -- 0.6%
14,800 Praxair, Inc. .............................................. 889,480
- ----------------------------------------------------------------------------------------
COMMERCIAL SERVICES AND SUPPLIES -- 7.3%
6,790 Apollo Group, Inc., Class A Shares*......................... 419,350
26,350 ARAMARK Corp., Class B Shares*.............................. 590,767
117,160 The BISYS Group, Inc.*...................................... 2,152,229
1,200 Career Education Corp.*..................................... 82,104
100,610 Cendant Corp.*.............................................. 1,843,175
12,200 ChoicePoint Inc.*........................................... 421,144
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
8
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
MFS EMERGING GROWTH PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- ----------------------------------------------------------------------------------------
COMMERCIAL SERVICES AND SUPPLIES -- 7.3% (CONTINUED)
37,850 DST Systems, Inc.*.......................................... $ 1,438,300
27,810 First Data Corp. ........................................... 1,152,446
15,810 Fiserv, Inc.*............................................... 562,994
10,630 Iron Mountain Inc.*......................................... 394,267
12,220 Manpower Inc................................................ 453,240
5,600 Monster Worldwide, Inc.*.................................... 110,488
6,800 Paychex, Inc................................................ 199,308
11,000 Robert Half International Inc.*............................. 208,340
29,640 Weight Watchers International, Inc.*........................ 1,348,324
- ----------------------------------------------------------------------------------------
11,376,476
- ----------------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT -- 2.2%
11,800 Adtran, Inc.*............................................... 605,222
17,970 Advanced Fibre Communications, Inc.*........................ 292,372
136,378 Cisco Systems, Inc.*........................................ 2,276,149
8,400 Scientific-Atlanta, Inc. ................................... 200,256
- ----------------------------------------------------------------------------------------
3,373,999
- ----------------------------------------------------------------------------------------
COMPUTERS AND PERIPHERALS -- 3.2%
11,600 Apple Computer, Inc.*....................................... 221,792
61,670 Dell Computer Corp.*+....................................... 1,970,973
36,100 Hewlett-Packard Co. ........................................ 768,930
19,130 International Business Machines Corp........................ 1,578,225
4,120 Lexmark International, Inc.*................................ 291,572
12,600 Seagate Technology, Inc.* .................................. 222,390
- ----------------------------------------------------------------------------------------
5,053,882
- ----------------------------------------------------------------------------------------
CONTAINERS AND PACKAGING -- 0.1%
13,760 Smurfit-Stone Container Corp.*.............................. 179,293
- ----------------------------------------------------------------------------------------
DIVERSIFIED FINANCIALS -- 5.0%
3,500 Affiliated Managers Group*.................................. 213,325
4,930 American Express Co. ....................................... 206,123
29,400 Ameritrade Holding Corp.*................................... 217,854
15,500 E*TRADE Group, Inc.*........................................ 131,750
21,090 Fannie Mae.................................................. 1,422,310
10,200 Freddie Mac................................................. 517,854
13,860 The Goldman Sachs Group, Inc. .............................. 1,160,775
21,530 Investors Financial Services Corp. ......................... 624,585
3,500 Legg Mason, Inc. ........................................... 227,325
7,170 Lehman Brothers Holdings, Inc. ............................. 476,662
30,100 Merrill Lynch & Co., Inc. .................................. 1,405,068
21,900 SLM Corp. .................................................. 857,823
6,600 T. Rowe Price Group Inc. ................................... 249,150
4,500 Waddell & Reed Financial, Inc. ............................. 115,515
- ----------------------------------------------------------------------------------------
7,826,119
- ----------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
9
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
MFS EMERGING GROWTH PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- ----------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT -- 0.4%
3,500 Energizer Holdings, Inc.*................................... $ 109,900
19,290 Rockwell Automation, Inc. .................................. 459,874
- ----------------------------------------------------------------------------------------
569,774
- ----------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT AND INSTRUMENTS -- 1.5%
20,010 Millipore Corp.*............................................ 887,844
31,700 Thermo Electron Corp.*...................................... 666,334
29,580 Waters Corp.*............................................... 861,665
- ----------------------------------------------------------------------------------------
2,415,843
- ----------------------------------------------------------------------------------------
ENERGY EQUIPMENT AND SERVICES -- 3.0%
41,300 Baker Hughes, Inc. ......................................... 1,386,441
23,070 BJ Services Co.*............................................ 861,895
7,720 Cooper Cameron Corp.*....................................... 388,934
30,800 GlobalSantaFe Corp.......................................... 718,872
9,000 Nabors Industries, Ltd.*.................................... 355,950
350 Noble Corp.*................................................ 12,005
10,400 Rowan Cos., Inc.*........................................... 232,960
7,800 Schlumberger Ltd. .......................................... 371,046
8,200 Smith International, Inc.*.................................. 301,268
- ----------------------------------------------------------------------------------------
4,629,371
- ----------------------------------------------------------------------------------------
FOOD AND DRUG RETAILING -- 1.2%
26,590 CVS Corp. .................................................. 745,318
24,200 Sysco Corp. ................................................ 726,968
12,060 Walgreen Co. ............................................... 363,006
- ----------------------------------------------------------------------------------------
1,835,292
- ----------------------------------------------------------------------------------------
FOOD PRODUCTS -- 0.3%
7,430 Archer-Daniels-Midland Co. ................................. 95,624
5,980 Hershey Foods Corp. ........................................ 416,567
- ----------------------------------------------------------------------------------------
512,191
- ----------------------------------------------------------------------------------------
HEALTH CARE EQUIPMENT AND SUPPLIES -- 3.1%
5,700 Alcon, Inc. ................................................ 260,490
23,900 Apogent Technologies, Inc.*................................. 478,000
5,600 Baxter International, Inc. ................................. 145,600
9,400 Boston Scientific Corp.*.................................... 574,340
54,080 Cytyc Corp.*................................................ 568,922
19,320 DENTSPLY International Inc. ................................ 790,188
15,370 Guidant Corp.*.............................................. 682,274
22,260 Medtronic, Inc.............................................. 1,067,812
400 St. Jude Medical, Inc.*..................................... 23,000
4,420 Varian Medical Systems, Inc.*............................... 254,459
- ----------------------------------------------------------------------------------------
4,845,085
- ----------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS AND SERVICES -- 5.0%
16,400 AmerisourceBergen Corp. .................................... 1,137,340
75,110 Caremark Rx, Inc.*.......................................... 1,928,824
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
10
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
MFS EMERGING GROWTH PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- ----------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS AND SERVICES -- 5.0% (CONTINUED)
22,230 Express Scripts, Inc.*...................................... $ 1,518,754
50,850 Health Management Associates, Inc., Class A Shares.......... 938,183
10,580 Laboratory Corp. of America Holdings*....................... 318,987
7,080 Lincare Holdings Inc.*...................................... 223,091
51,400 Tenet Healthcare Corp.*..................................... 598,810
15,900 WebMD Corp.*................................................ 172,197
11,180 WellPoint Health Networks, Inc.*............................ 942,474
- ----------------------------------------------------------------------------------------
7,778,660
- ----------------------------------------------------------------------------------------
HOTELS, RESTAURANTS AND LEISURE -- 4.5%
32,860 Brinker International, Inc.*................................ 1,183,617
7,390 CEC Entertainment Inc.*..................................... 272,913
6,700 The Cheesecake Factory Inc.*................................ 240,463
5,500 Four Seasons Hotels, Inc. .................................. 237,930
10,100 McDonald's Corp. ........................................... 222,806
23,100 MGM MIRAGE*................................................. 789,558
43,000 Outback Steakhouse, Inc. ................................... 1,677,000
15,000 Royal Caribbean Cruises Ltd. ............................... 347,400
10,260 Starbucks Corp.*............................................ 251,575
49,750 Starwood Hotels & Resorts Worldwide, Inc. .................. 1,422,353
12,500 Wendy's International, Inc. ................................ 362,125
- ----------------------------------------------------------------------------------------
7,007,740
- ----------------------------------------------------------------------------------------
HOUSEHOLD DURABLES -- 0.3%
9,600 Ethan Allen Interiors Inc. ................................. 337,536
5,500 Newell Rubbermaid Inc. ..................................... 154,000
- ----------------------------------------------------------------------------------------
491,536
- ----------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS -- 0.4%
4,200 Kimberly-Clark Corp. ....................................... 218,988
4,400 The Procter & Gamble Co. ................................... 392,392
- ----------------------------------------------------------------------------------------
611,380
- ----------------------------------------------------------------------------------------
INDUSTRIAL CONGLOMERATES -- 1.8%
3,170 3M Co. ..................................................... 408,867
23,030 General Electric Co. ....................................... 660,500
95,500 Tyco International Ltd. .................................... 1,812,590
- ----------------------------------------------------------------------------------------
2,881,957
- ----------------------------------------------------------------------------------------
INSURANCE -- 1.8%
6,370 ACE Ltd. ................................................... 218,427
5,930 Arthur J. Gallagher & Co. .................................. 161,296
17,500 Marsh & McLennan Cos., Inc. ................................ 893,725
9,940 MetLife, Inc. .............................................. 281,501
18,700 Willis Group Holdings Ltd.*................................. 575,025
8,740 XL Capital Ltd., Class A Shares............................. 725,420
- ----------------------------------------------------------------------------------------
2,855,394
- ----------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
11
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
MFS EMERGING GROWTH PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- ----------------------------------------------------------------------------------------
INTERNET AND CATALOG RETAIL -- 0.3%
4,700 eBay Inc.*.................................................. $ 489,646
- ----------------------------------------------------------------------------------------
INTERNET SOFTWARE AND SERVICES -- 0.8%
10,600 Expedia, Inc., Class A Shares*.............................. 809,628
12,480 Yahoo! Inc.*................................................ 408,845
- ----------------------------------------------------------------------------------------
1,218,473
- ----------------------------------------------------------------------------------------
IT CONSULTING AND SERVICES -- 1.8%
16,610 Affiliated Computer Services Inc., Class A Shares*.......... 759,575
21,100 BearingPoint, Inc.*......................................... 203,615
74,150 SunGard Data Systems Inc.*.................................. 1,921,227
- ----------------------------------------------------------------------------------------
2,884,417
- ----------------------------------------------------------------------------------------
LEISURE EQUIPMENT AND PRODUCTS -- 0.4%
32,150 Mattel, Inc. ............................................... 608,278
- ----------------------------------------------------------------------------------------
MACHINERY -- 0.3%
7,000 ITT Industries, Inc. ....................................... 458,220
- ----------------------------------------------------------------------------------------
MEDIA -- 11.8%
36,720 AOL Time Warner Inc.*....................................... 590,825
37,980 Clear Channel Communications, Inc.*......................... 1,609,972
Comcast Corp.:
13,230 Class A Shares*........................................... 399,281
44,000 Special Class A Shares*................................... 1,268,520
22,020 Cox Communications, Inc., Class A Shares*................... 702,438
9,730 The E.W. Scripps Co., Class A Shares........................ 863,246
86,680 EchoStar Communications Corp., Class A Shares*.............. 3,000,858
19,630 Entercom Communications Corp.*.............................. 962,066
7,720 Fox Entertainment Group Inc., Class A Shares*............... 222,182
5,100 Getty Images, Inc.*......................................... 210,630
11,590 Hearst-Argyle Television, Inc.*............................. 300,181
4,860 Hispanic Broadcasting Corp.*................................ 123,687
28,850 InterActiveCorp.*........................................... 1,141,595
5,370 Lamar Advertising Co.*...................................... 189,078
69,200 Liberty Media Corp., Class A Shares*........................ 799,952
3,700 Lin TV Corp., Class A Shares*............................... 87,135
5,940 The McGraw-Hill Cos., Inc. ................................. 368,280
8,230 Meredith Corp. ............................................. 362,120
6,800 The New York Times Co., Class A Shares...................... 309,400
15,200 Tribune Co. ................................................ 734,160
9,760 Univision Communications Inc., Class A Shares*.............. 296,704
51,640 Viacom Inc., Class B Shares*................................ 2,254,602
25,100 The Walt Disney Co. ........................................ 495,725
31,540 Westwood One, Inc.*......................................... 1,070,152
- ----------------------------------------------------------------------------------------
18,362,789
- ----------------------------------------------------------------------------------------
MULTI-LINE RETAIL -- 2.0%
12,690 Family Dollar Stores, Inc. ................................. 484,124
17,180 Kohl's Corp.*............................................... 882,708
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
12
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
MFS EMERGING GROWTH PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- ----------------------------------------------------------------------------------------
MULTI-LINE RETAIL -- 2.0% (CONTINUED)
34,570 Target Corp. ............................................... $ 1,308,129
8,990 Wal-Mart Stores Inc. ....................................... 482,493
- ----------------------------------------------------------------------------------------
3,157,454
- ----------------------------------------------------------------------------------------
OIL AND GAS -- 0.3%
10,980 EnCana Corp. ............................................... 421,303
- ----------------------------------------------------------------------------------------
PAPER AND FOREST PRODUCTS -- 0.5%
21,050 International Paper Co. .................................... 752,117
- ----------------------------------------------------------------------------------------
PERSONAL PRODUCTS -- 1.2%
27,340 Avon Products, Inc. ........................................ 1,700,548
5,780 The Gillette Co. ........................................... 184,151
- ----------------------------------------------------------------------------------------
1,884,699
- ----------------------------------------------------------------------------------------
PHARMACEUTICALS -- 5.8%
34,700 Abbott Laboratories......................................... 1,518,472
20,480 Forest Laboratories, Inc.*.................................. 1,121,280
22,500 ICN Pharmaceuticals, Inc. .................................. 377,100
3,960 InterMune, Inc.*............................................ 63,796
6,700 Johnson & Johnson........................................... 346,390
11,500 Medicis Pharmaceutical Corp., Class A Shares................ 652,050
14,610 Mylan Laboratories Inc. .................................... 507,990
27,300 Pfizer Inc. ................................................ 932,295
55,900 Schering-Plough Corp. ...................................... 1,039,740
13,400 SICOR Inc.*................................................. 272,556
26,820 Teva Pharmaceutical Industries Ltd., Sponsored ADR.......... 1,526,863
6,200 Watson Pharmaceuticals, Inc.*............................... 250,294
9,400 Wyeth....................................................... 428,170
- ----------------------------------------------------------------------------------------
9,036,996
- ----------------------------------------------------------------------------------------
ROAD AND RAIL -- 0.2%
7,420 Swift Transportation Co.*................................... 138,160
5,100 Werner Enterprises, Inc. ................................... 108,120
- ----------------------------------------------------------------------------------------
246,280
- ----------------------------------------------------------------------------------------
SEMICONDUCTOR EQUIPMENT AND PRODUCTS -- 4.4%
125,600 Agere Systems, Inc.*........................................ 288,880
46,600 Altera Corp.*............................................... 764,240
57,910 Analog Devices, Inc.*....................................... 2,016,426
10,600 Lam Research Corp.*......................................... 193,026
16,080 Linear Technology Corp. .................................... 517,937
16,570 Maxim Integrated Products, Inc. ............................ 566,528
41,900 Microchip Technology Inc. .................................. 1,031,997
33,770 Novellus Systems, Inc.*..................................... 1,236,691
7,200 Texas Instruments Inc. ..................................... 126,720
7,200 Xilinx, Inc.*............................................... 182,232
- ----------------------------------------------------------------------------------------
6,924,677
- ----------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
13
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
MFS EMERGING GROWTH PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- ----------------------------------------------------------------------------------------
SOFTWARE -- 7.4%
45,100 Amdocs Ltd.*................................................ $ 1,082,400
34,180 BEA Systems, Inc.*.......................................... 371,195
14,100 Business Objects SA*........................................ 309,495
5,480 Mercury Interactive Corp.*.................................. 211,583
132,820 Microsoft Corp.*............................................ 3,401,520
54,560 Network Associates, Inc.*................................... 691,821
118,030 Oracle Corp.*............................................... 1,418,721
27,200 SAP AG, Sponsored ADR....................................... 794,784
15,000 Symantec Corp.*............................................. 657,900
91,690 VERITAS Software Corp.*..................................... 2,628,752
- ----------------------------------------------------------------------------------------
11,568,171
- ----------------------------------------------------------------------------------------
SPECIALTY RETAIL -- 4.8%
71,340 The Home Depot, Inc. ....................................... 2,362,781
2,200 Lowe's Cos., Inc. .......................................... 94,490
32,690 Office Depot, Inc.*......................................... 474,332
34,690 PETsMART, Inc.*............................................. 578,282
66,500 Staples, Inc.*.............................................. 1,220,275
19,630 The Talbots, Inc. .......................................... 578,104
20,800 Tiffany & Co. .............................................. 679,744
30,300 The TJX Cos., Inc. ......................................... 570,852
32,500 Williams-Sonoma, Inc.*...................................... 949,000
- ----------------------------------------------------------------------------------------
7,507,860
- ----------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES -- 1.2%
51,120 American Tower Corp., Class A Shares*....................... 452,412
66,800 AT&T Wireless Services Inc.*................................ 548,428
110,000 Sprint Corp. (PCS Group)*................................... 632,500
13,666 Vodafone Group PLC, Sponsored ADR........................... 268,537
- ----------------------------------------------------------------------------------------
1,901,877
- ----------------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $128,768,107)................... 147,413,996
- ----------------------------------------------------------------------------------------
FOREIGN STOCK -- 2.3%
- ----------------------------------------------------------------------------------------
GERMANY -- 0.9%
31,400 Bayerische Motoren Werke (BMW) AG........................... 1,209,948
1,900 SAP AG...................................................... 224,448
- ----------------------------------------------------------------------------------------
1,434,396
- ----------------------------------------------------------------------------------------
NETHERLANDS -- 0.5%
21,210 ASM International N.V., NY Registered Shares*............... 202,768
27,470 STMicroelectronics N.V., NY Registered Shares............... 571,101
- ----------------------------------------------------------------------------------------
773,869
- ----------------------------------------------------------------------------------------
SWITZERLAND -- 0.7%
26,870 Novartis AG*................................................ 1,065,576
- ----------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
14
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
MFS EMERGING GROWTH PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- ----------------------------------------------------------------------------------------
UNITED KINGDOM -- 0.2%
8,700 AstraZeneca PLC............................................. $ 349,440
- ----------------------------------------------------------------------------------------
TOTAL FOREIGN STOCK (Cost -- $3,264,651).................... 3,623,281
- ----------------------------------------------------------------------------------------
</Table>
<Table>
<Caption>
FACE
AMOUNT SECURITY VALUE
- ---------------------------------------------------------------------------------------
SHORT-TERM INVESTMENT -- 3.3%
$5,217,000 Federal Home Loan Bank, Discount Notes, zero coupon bond due
7/1/03 (Cost -- $5,217,000)............................... 5,217,000
- ---------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% (Cost -- $137,249,758**)........ $156,254,277
- ---------------------------------------------------------------------------------------
</Table>
* Non-income producing security.
+ Subsequent to the reporting period, the company changed its name to Dell Inc.
** 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.
15
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
FEDERATED HIGH YIELD PORTFOLIO
<Table>
<Caption>
FACE
AMOUNT RATING(a) SECURITY VALUE
- ----------------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES -- 94.3%
- ----------------------------------------------------------------------------------------------------------
AEROSPACE AND DEFENSE -- 0.7%
$ 175,000 B Alliant Techsystems Inc., Sr. Sub. Notes, 8.500% due 5/15/11..... $ 195,125
132,000 B Anteon Corp., Sr. Sub. Notes, 12.000% due 5/15/09................ 145,860
75,000 B+ Esterline Technologies, Sr. Sub. Notes, 7.750% due 6/15/13 (b)... 77,250
- ----------------------------------------------------------------------------------------------------------
418,235
- ----------------------------------------------------------------------------------------------------------
AUTOMOTIVE -- 4.1%
50,000 CCC+ Accuride Corp., Sr. Sub. Notes, Series B, 9.250% due 2/1/08...... 46,313
100,000 B2* Advanced Accessory Systems, Sr. Notes, 10.750% due 6/15/11 (b)... 106,500
250,000 Ba2* American Axle & Manufacturing Inc., Sr. Sub. Notes, 9.750% due
3/1/09......................................................... 270,000
Arvin Industries, Inc.:
100,000 Baa3* Notes, 7.125% due 3/15/09...................................... 105,625
100,000 Baa3* Sr. Notes, 6.750% due 3/15/08.................................. 104,500
75,000 Baa3* Arvinmeritor Inc., Sr. Notes, 8.750% due 3/1/12.................. 84,375
General Motors Corp., Sr. Notes:
175,000 Baa1* 7.125% due 7/15/13............................................. 174,312
175,000 Baa1* 8.375% due 7/15/33............................................. 172,254
Lear Corp., Sr. Notes, Series B:
200,000 BB+ 7.960% due 5/15/05............................................. 214,000
525,000 BB+ 8.110% due 5/15/09............................................. 603,750
225,000 B Stoneridge Inc., Sr. Notes, 11.500% due 5/1/12................... 253,125
350,000 B+ TRW Automotive Inc., Sr. Sub. Notes, 11.000% due 2/15/13 (b)..... 383,250
100,000 B United Components Inc., Sr. Sub. Notes, 9.375% due 6/15/13 (b)... 104,250
- ----------------------------------------------------------------------------------------------------------
2,622,254
- ----------------------------------------------------------------------------------------------------------
BEVERAGE AND TOBACCO -- 0.9%
Constellation Brands, Inc., Sr. Notes, Series B:
150,000 BB 8.000% due 2/15/08............................................. 165,375
50,000 Ba3* 8.125% due 1/15/12............................................. 54,250
200,000 B+ Cott Beverages Inc., Sr. Sub. Notes, 8.000% due 12/15/11......... 217,000
DIMON Inc., Sr. Notes:
50,000 BB 7.750% due 6/1/13 (b).......................................... 51,625
100,000 BB Series B, 9.625% due 10/15/11.................................. 110,500
- ----------------------------------------------------------------------------------------------------------
598,750
- ----------------------------------------------------------------------------------------------------------
BROADCAST RADIO AND TELEVISION -- 3.0%
250,000 BBB- Chancellor Media Corp., Sr. Sub. Notes, 8.000% due 11/1/08....... 291,875
Lamar Media Corp., Sr. Sub. Notes:
100,000 Ba3* 7.250% due 1/1/13.............................................. 106,500
75,000 Ba3* 7.250% due 1/1/13 (b).......................................... 79,875
125,000 Baa3* Liberty Media Corp., Sr. Notes, 7.750% due 7/15/09............... 145,830
125,000 B Muzak LLC/Muzak Finance, Sr. Notes, 10.000% due 2/15/09 (b)...... 131,563
350,000 Ba3* PanAmSat Corp., Sr. Notes, 8.500% due 2/1/12..................... 380,625
300,000 B Sinclair Broadcast Group, Inc., Sr. Sub. Notes, 8.750% due
12/15/11....................................................... 330,750
200,000 B+ Vivendi Universal SA, Sr. Notes, 9.250% due 4/15/10 (b).......... 228,500
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
16
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
FEDERATED HIGH YIELD PORTFOLIO
<Table>
<Caption>
FACE
AMOUNT RATING(a) SECURITY VALUE
- ----------------------------------------------------------------------------------------------------------
BROADCAST RADIO AND TELEVISION -- 3.0% (CONTINUED)
XM Satellite Radio Inc.:
$ 197,950 CCC+ Sr. Discount Notes, step bond to yield 21.882% due 12/31/09.... $ 142,025
100,000 CCC+ Sr. Notes, 12.000% due 6/15/10 (b)............................. 98,500
- ----------------------------------------------------------------------------------------------------------
1,936,043
- ----------------------------------------------------------------------------------------------------------
BUILDING AND DEVELOPMENT -- 2.1%
100,000 B American Builders & Contractors Supply Co., Sr. Sub. Notes,
Series B,
10.625% due 5/15/07............................................ 104,250
125,000 B Associated Materials Inc., Sr. Sub. Notes, 9.750% due 4/15/12.... 137,031
125,000 B- Brand Services, Inc., Sr. Sub. Notes, 12.000% due 10/15/12....... 143,125
150,000 B Collins & Aikman Floorcovering Inc., Sr. Sub. Notes, 9.750% due
2/15/10........................................................ 157,500
175,000 B- Interline Brands Inc., Sr. Sub. Notes, 11.500% due 5/15/11 (b)... 185,500
225,000 B NCI Building Systems, Inc., Sr. Sub. Notes, Series B, 9.250% due
5/1/09......................................................... 241,875
150,000 B+ Nortek Inc., Sr. Notes, Series B, 9.125% due 9/1/07.............. 157,500
175,000 BB Shaw Group Inc., Sr. Notes, 10.750% due 3/15/10 (b).............. 175,875
- ----------------------------------------------------------------------------------------------------------
1,302,656
- ----------------------------------------------------------------------------------------------------------
BUSINESS EQUIPMENT AND SERVICES -- 2.3%
325,000 B- Buhrmann U.S. Inc., Sr. Sub. Notes, 12.250% due 11/1/09.......... 351,000
50,000 B+ Cooperative Computing Inc., Sr. Notes, 10.500% due 6/15/11 (b)... 51,500
125,000 B+ Danka Business Systems PLC, Sr. Notes, 11.000% due 6/15/10 (b)... 123,750
150,000 BBB-++ Unisys Corp., Sr. Notes, 6.875% due 3/15/10...................... 156,750
50,000 BB++ Xerox Cap Europe PLC, Notes, 5.875% due 5/15/04.................. 50,500
Xerox Corp., Sr. Notes:
450,000 BB++ 9.750% due 1/15/09 (b)......................................... 508,500
225,000 BB++ 7.625% due 6/15/13............................................. 226,406
- ----------------------------------------------------------------------------------------------------------
1,468,406
- ----------------------------------------------------------------------------------------------------------
CABLE TELEVISION -- 4.8%
Charter Communications Holdings LLC, Sr. Discount Notes:
450,000 CCC- Step bond to yield 11.758% due 1/15/11......................... 236,250
925,000 CCC- Step bond to yield 10.926% due 4/1/11.......................... 612,813
CSC Holdings Inc.:
375,000 BB- Sr. Notes, 7.875% due 12/15/07................................. 385,313
300,000 B+ Sr. Sub. Debentures, 9.875% due 2/15/13........................ 315,000
325,000 B1* DirectTV Holdings/Finance, Sr. Notes, 8.375% due 3/15/13 (b)..... 364,000
Echostar DBS Corp., Sr. Notes:
100,000 BB- 10.375% due 10/1/07............................................ 111,250
425,000 BB- 9.375% due 2/1/09.............................................. 455,280
175,000 BBB Lenfest Communications Inc., Sr. Notes, 8.375% due 11/1/05....... 197,615
50,000 B- LodgeNet Entertainment Corp., Sr. Sub. Notes, 9.500% due
6/15/13........................................................ 51,500
300,000 B Quebecor Media, Inc., Sr. Notes, 11.125% due 7/15/11............. 345,000
- ----------------------------------------------------------------------------------------------------------
3,074,021
- ----------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
17
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
FEDERATED HIGH YIELD PORTFOLIO
<Table>
<Caption>
FACE
AMOUNT RATING(a) SECURITY VALUE
- ----------------------------------------------------------------------------------------------------------
CHEMICALS AND PLASTICS -- 3.5%
$ 175,000 B- Compass Minerals Group Inc., Sr. Sub. Notes, 10.000% due
8/15/11........................................................ $ 196,875
250,000 BB Equistar Chemical, L.P., Sr. Notes, 10.125% due 9/1/08........... 258,750
125,000 BB+ FMC Corp., Secured Notes, 10.250% due 11/1/09.................... 141,250
Foamex L.P.:
125,000 B- Sr. Notes, 10.750% due 4/1/09.................................. 100,625
Sr. Sub. Notes:
100,000 CCC+ 13.500% due 8/15/05.......................................... 41,000
100,000 CCC+ 9.875% due 6/15/07........................................... 39,000
125,000 C* General Chemical Industrial Products Inc., Sr. Sub. Notes,
10.625% due 5/1/09 (c)......................................... 38,125
50,000 B Huntsman Advanced Materials LLC, Sr. Secured Notes, 11.000% due
7/15/10 (b).................................................... 52,250
350,000 B- Huntsman ICI Chemicals LLC, Sr. Sub. Notes, 10.125% due 7/1/09... 337,750
Lyondell Chemical Co.:
Sr. Notes:
225,000 BB 9.500% due 12/15/08.......................................... 214,875
150,000 BB Series B, 9.875% due 5/1/07.................................. 147,750
250,000 B+ Sr. Sub. Notes, 10.875% due 5/1/09............................. 233,750
100,000 BB- Rhodia SA, Sr. Sub. Notes, 8.875% due 6/1/11 (b)................. 104,000
Salt Holdings Corp.:
275,000 B- Sr. Discount Notes, step bond to yield 11.996% due 6/1/13
(b)............................................................ 155,375
150,000 B- Sr. Notes, step bond to yield 12.791% due 12/15/12 (b)......... 101,625
150,000 Caa3* Texas Petrochemical Corp., Sr. Sub. Notes, 11.125% due 7/1/06.... 41,250
- ----------------------------------------------------------------------------------------------------------
2,204,250
- ----------------------------------------------------------------------------------------------------------
CLOTHING AND TEXTILES -- 1.9%
200,000 B3* GFSI Inc., Sr. Sub. Notes, Series B, 9.625% due 3/1/07........... 171,000
50,000 NR Glenoit Corp., Notes, 11.000% due 4/15/07 (c)(d)................. 1,000
300,000 BB- Levi Strauss & Co., Sr. Notes, 11.625% due 1/15/08............... 258,750
150,000 BB- Phillips Van-Heusen Corp., Sr. Notes, 8.125% due 5/1/13 (b)...... 154,688
200,000 BB Russell Corp., Sr. Notes, 9.250% due 5/1/10...................... 219,000
150,000 B Warnaco Inc., Sr. Notes, 8.875% due 6/15/13 (b).................. 156,000
200,000 B William Carter Co., Sr. Sub. Notes, Series B, 10.875% due
8/15/11........................................................ 227,000
- ----------------------------------------------------------------------------------------------------------
1,187,438
- ----------------------------------------------------------------------------------------------------------
CONGLOMERATES -- 0.5%
300,000 B- Eagle Picher Industries Inc., Sr. Sub. Notes, 9.375% due
3/1/08......................................................... 282,000
- ----------------------------------------------------------------------------------------------------------
CONSUMER PRODUCTS -- 5.5%
200,000 Baa1* Albecca, Inc., Sr. Sub. Notes, 10.750% due 8/15/08............... 213,500
125,000 B2* Alltrista Corp., Sr. Sub. Notes, 9.750% due 5/1/12............... 134,375
250,000 B+ American Achievement Corp., Sr. Notes, Series B, 11.625% due
1/1/07......................................................... 268,750
200,000 BB+ American Greetings Corp., Sr. Sub. Notes, 11.750% due 7/15/08.... 234,000
225,000 B Amscan Holdings, Inc., Sr. Sub. Notes, 9.875% due 12/15/07....... 229,500
175,000 B2* Armkel LLC, Sr. Sub. Notes, 9.500% due 8/15/09................... 196,000
200,000 B2* Chattem Inc., Sr. Sub. Notes, Series B, 8.875% due 4/1/08........ 207,500
50,000 B- Commemorative Brands Inc., Sr. Sub. Notes, 11.000% due 1/15/07... 47,750
50,000 NR Diamond Brand Operating Corp., Sr. Sub. Notes, 10.125% due
4/15/08 (c).................................................... 5
100,000 B- Icon Health & Fitness Inc., Sr. Sub. Notes, 11.250% due 4/1/12... 107,000
75,000 B Jacuzzi Brands Inc., Sr. Notes, 9.625% due 7/1/10 (b)............ 75,000
100,000 B2* Jarden Corp., Sr. Sub. Notes, 9.750% due 5/1/12.................. 107,500
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
18
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
FEDERATED HIGH YIELD PORTFOLIO
<Table>
<Caption>
FACE
AMOUNT RATING(a) SECURITY VALUE
- ----------------------------------------------------------------------------------------------------------
CONSUMER PRODUCTS -- 5.5% (CONTINUED)
$ 200,000 B Jostens Inc., Sr. Sub. Notes, 12.750% due 5/1/10................. $ 237,000
125,000 B- Le-Natures Inc., Sr. Sub. Notes, 9.000% due 6/15/13 (b).......... 129,375
250,000 B- Playtex Products Inc., Sr. Sub. Notes, 9.375% due 6/1/11......... 251,250
50,000 B2* Remington Arms Co., Sr. Notes, 10.500% due 2/1/11 (b)............ 52,500
175,000 BB+ Royal Caribbean Cruises Ltd., Sr. Notes, 8.000% due 5/15/10...... 182,875
Sealy Mattress Co., Sr. Sub. Notes:
50,000 B- 9.875% due 12/15/07 (b)........................................ 50,000
Series B:
175,000 B- 9.875% due 12/15/07......................................... 175,000
25,000 B- 10.875% due 12/15/07........................................ 25,625
150,000 B- True Temper Sports Inc., Sr. Sub. Notes, Series B, 10.875% due
12/1/08........................................................ 160,500
250,000 B- United Industries Corp., Sr. Sub. Notes, Series B, 9.875% due
4/1/09......................................................... 265,000
150,000 B- Volume Service America Inc., Sr. Sub. Notes, 11.250% due
3/1/09......................................................... 150,000
- ----------------------------------------------------------------------------------------------------------
3,500,005
- ----------------------------------------------------------------------------------------------------------
CONTAINERS AND GLASS PRODUCTS -- 3.9%
125,000 B- Berry Plastics Corp., Sr. Sub. Notes, 10.750% due 7/15/12........ 138,125
Graham Packaging, Sr. Sub. Notes, Series B:
175,000 CCC+ 5.545% due 1/15/08............................................. 157,500
175,000 CCC+ 8.750% due 1/15/08............................................. 175,000
200,000 B+ Greif Bros. Corp., Sr. Sub. Notes, 8.875% due 8/1/12............. 216,000
150,000 B- Huntsman Packaging Corp., 13.000% due 6/1/10..................... 141,750
Owens-Brockway Glass Container Inc., Sr. Notes:
250,000 BB 8.875% due 2/15/09............................................. 272,500
150,000 BB 7.750% due 5/15/11 (b)......................................... 159,375
100,000 B+ 8.250% due 5/15/13 (b)......................................... 105,000
350,000 B+ Owens Illinois Inc., Sr. Notes, 8.100% due 5/15/07............... 360,500
175,000 B+ Plastipak Holdings, Inc., Sr. Notes, 10.750% due 9/1/11.......... 188,125
Pliant Corp., Sr. Sub. Notes:
50,000 B- 11.125% due 9/1/09 (b)......................................... 53,375
150,000 B- 13.000% due 6/1/10............................................. 141,750
15,286 NR Russell-Stanley Holdings Inc., Sr. Sub. Notes, Payment-in-Kind,
9.000% due 11/30/08 (b)........................................ 2
Tekni-Plex Inc., Sr. Sub. Notes:
125,000 B- 12.750% due 6/15/10 (b)........................................ 122,500
225,000 B- Series B, 12.750% due 6/15/10.................................. 220,500
- ----------------------------------------------------------------------------------------------------------
2,452,002
- ----------------------------------------------------------------------------------------------------------
ECOLOGICAL SERVICE AND EQUIPMENT -- 2.1%
Allied Waste North America Inc., Series B:
Sr. Notes:
525,000 BB- 7.625% due 1/1/06............................................ 546,655
150,000 BB- 7.875% due 1/1/09............................................ 157,688
425,000 B+ Sr. Sub. Notes, 10.000% due 8/1/09............................. 453,688
175,000 B Synagro Technologies Inc., Sr. Sub. Notes, 9.500% due 4/1/09..... 188,125
- ----------------------------------------------------------------------------------------------------------
1,346,156
- ----------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
19
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
FEDERATED HIGH YIELD PORTFOLIO
<Table>
<Caption>
FACE
AMOUNT RATING(a) SECURITY VALUE
- ----------------------------------------------------------------------------------------------------------
ELECTRONICS -- 0.9%
$ 250,000 Ba2* Ingram Micro Inc., Sr. Sub. Notes, 9.875% due 8/15/08............ $ 271,250
100,000 B+ Legrand S.A., Sr. Notes, 10.500% due 2/15/13 (b)................. 112,000
175,000 BB+ Seagate Technology HDD Holdings, Sr. Notes, 8.000% due 5/15/09... 190,313
- ----------------------------------------------------------------------------------------------------------
573,563
- ----------------------------------------------------------------------------------------------------------
FOOD PRODUCTS -- 5.2%
250,000 B- AgriLink Foods Inc., Sr. Sub. Notes, 11.875% due 11/1/08......... 270,625
Ahold Finance Inc., Sr. Notes:
75,000 B+ 8.250% due 7/15/10............................................. 77,250
50,000 B+ 6.875% due 5/1/29.............................................. 43,000
250,000 B American Seafood Group LLC, Sr. Sub. Notes, 10.125% due
4/15/10........................................................ 285,000
150,000 B- B&G Foods, Inc., Sr. Sub. Notes, Series D, 9.625% due 8/1/07..... 155,250
400,000 B Del Monte Corp., Sr. Sub. Notes, 8.625% due 12/15/12 (b)......... 426,000
Dole Foods Co., Sr. Notes:
125,000 BB- 8.625% due 5/1/09.............................................. 132,813
175,000 BB- 7.250% due 6/15/10 (b)......................................... 176,313
300,000 CCC+ Eagle Family Foods Holdings, Inc., Sr. Sub. Notes, Series B,
8.750% due 1/15/08............................................. 205,500
100,000 B+ Land O' Lakes, Inc., Sr. Notes, 8.750% due 11/15/11.............. 80,500
175,000 B2* Michael Foods, Inc., Sr. Sub. Notes, Series B, 11.750% due
4/1/11......................................................... 202,125
150,000 Caa3* New World Pasta Co., Sr. Sub. Notes, 9.250% due 2/15/09.......... 48,000
175,000 BB- Pilgrim's Pride Corp., Sr. Notes, 9.625% due 9/15/11............. 187,686
Smithfield Foods Inc., Sr. Notes:
200,000 BB 7.750% due 5/15/13 (b)......................................... 215,500
250,000 BB Series B, 8.000% due 10/15/09.................................. 271,875
375,000 B Smurfit-Stone Container Corp., Sr. Notes, 8.250% due 10/1/12..... 404,063
125,000 B Swift & Co., Sr. Sub. Notes, 12.500% due 1/1/10 (b).............. 129,375
- ----------------------------------------------------------------------------------------------------------
3,310,875
- ----------------------------------------------------------------------------------------------------------
FOOD SERVICES -- 0.9%
150,000 CCC+ Advantica Restaurant Group, Inc., Sr. Notes, 11.125% due
1/15/08........................................................ 116,250
150,000 B- Buffets Inc., Sr. Sub. Notes, 11.250% due 7/15/10................ 149,250
250,000 B- Carrols Corp., Sr. Notes, 9.500% due 12/1/08..................... 244,390
75,000 B- Dominos Inc., Sr. Sub. Notes, 8.250% due 7/1/11 (b).............. 77,813
- ----------------------------------------------------------------------------------------------------------
587,703
- ----------------------------------------------------------------------------------------------------------
FOREST PRODUCTS AND PAPER -- 3.1%
Georgia Pacific Corp., Notes:
500,000 BB+ 7.500% due 5/15/06............................................. 515,000
200,000 BB+ 8.125% due 5/15/11............................................. 206,500
275,000 BB+ 9.375% due 2/1/13 (b).......................................... 304,562
MDP Acquisitions PLC:
107,854 B 15.500% due 10/1/13 (b)........................................ 124,032
250,000 B Sr. Notes, 9.625% due 10/1/12 (b).............................. 277,500
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
20
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
FEDERATED HIGH YIELD PORTFOLIO
<Table>
<Caption>
FACE
AMOUNT RATING(a) SECURITY VALUE
- ----------------------------------------------------------------------------------------------------------
FOREST PRODUCTS AND PAPER -- 3.1% (CONTINUED)
Riverwood International Co.:
$ 175,000 B3* Sr. Notes, 10.625% due 8/1/07.................................. $ 182,438
125,000 CCC+ Sr. Sub. Notes, 10.875% due 4/1/08............................. 128,750
225,000 B Stone Container Corp., Sr. Notes, 9.750% due 2/1/11.............. 247,500
- ----------------------------------------------------------------------------------------------------------
1,986,282
- ----------------------------------------------------------------------------------------------------------
GAMING -- 7.1%
Boyd Gaming Corp., Sr. Sub. Notes:
100,000 B+ 8.750% due 4/15/12............................................. 110,000
175,000 B+ 7.750% due 12/15/12............................................ 186,594
200,000 B Coast Hotels & Casinos, Inc., Sr. Sub. Notes, 9.500% due
4/1/09......................................................... 215,000
500,000 BB+ Harrah's Operating Co., Inc., Sr. Sub. Notes, 7.875% due
12/15/05....................................................... 545,000
225,000 B Isle of Capri Casinos, Inc., Sr. Sub. Notes, 9.000% due
3/15/12........................................................ 246,375
Mandalay Resort Group:
50,000 BB+ Sr. Notes, 9.500% due 8/1/08................................... 57,500
475,000 BB- Sr. Sub. Notes, Series B, 10.250% due 8/1/07................... 539,125
MGM MIRAGE:
150,000 BBB- Sr. Notes, 8.500% due 9/15/10.................................. 177,000
Sr. Sub. Notes:
475,000 BB+ 9.750% due 6/1/07........................................... 541,500
50,000 BB+ 8.375% due 2/1/11........................................... 57,125
Mohegan Tribal Gaming Authority, Sr. Sub. Notes:
100,000 BB- 8.750% due 1/1/09.............................................. 108,250
25,000 BB- 8.375% due 7/1/11.............................................. 27,187
100,000 BB- 8.000% due 4/1/12.............................................. 108,500
150,000 B+ MTR Gaming Group, Sr. Notes, 9.750% due 4/1/10 (b)............... 155,250
Park Place Entertainment Corp., Sr. Sub. Notes:
275,000 BB+ 7.875% due 3/15/10............................................. 297,000
250,000 BB+ 8.125% due 5/15/11............................................. 275,625
Penn National Gaming, Inc., Sr. Sub. Notes:
50,000 B- 8.875% due 3/15/10............................................. 53,250
175,000 B- Series B, 11.125% due 3/1/08................................... 194,688
200,000 B+ Sun International Hotels Ltd., Sr. Sub. Notes, 8.875% due
8/15/11........................................................ 217,500
225,000 B- Venetian Casino Resort LLC/Las Vegas Sands Inc., Second Mortgage,
11.000% due 6/15/10............................................ 254,812
125,000 B3* Wynn Las Vegas LLC/Corp., Second Mortgage, 12.000% due 11/1/10... 138,750
- ----------------------------------------------------------------------------------------------------------
4,506,031
- ----------------------------------------------------------------------------------------------------------
HEALTHCARE SERVICES -- 4.7%
200,000 B Advanced Medical Optics Inc., Sr. Sub. Notes, 9.250% due
7/15/10........................................................ 218,000
200,000 B2* Alaris Medical Systems Inc., Secured Notes, Series B, 11.625% due
12/1/06........................................................ 244,000
150,000 B- Ameripath Inc., Sr. Sub. Notes, 10.500% due 4/1/13 (b)........... 161,625
Hanger Orthopedic Group, Sr. Sub. Notes:
50,000 B 10.375% due 2/15/09............................................ 55,500
275,000 B- 11.250% due 6/15/09............................................ 298,375
HCA Inc., Notes:
350,000 BBB- 6.910% due 6/15/05............................................. 371,482
375,000 BBB- 8.750% due 9/1/10.............................................. 437,424
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
21
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
FEDERATED HIGH YIELD PORTFOLIO
<Table>
<Caption>
FACE
AMOUNT RATING(a) SECURITY VALUE
- ----------------------------------------------------------------------------------------------------------
HEALTHCARE SERVICES -- 4.7% (CONTINUED)
$ 325,000 B- Kinetic Concepts, Inc., Sr. Sub. Notes, Series B, 9.625% due
11/1/07........................................................ $ 339,625
100,000 NR Magellan Health Services, Inc., Sr. Notes, 9.375% due 11/15/07
(b)............................................................ 100,500
200,000 BBB Manor Care Inc., Sr. Notes, 8.000% due 3/1/08.................... 226,000
100,000 B Sybron Dental Specialties, Inc., Sr. Sub. Notes, 8.125% due
6/15/12........................................................ 106,000
Tenet Healthcare Corp., Sr. Notes:
100,000 BB+++ 5.375% due 11/15/06............................................ 96,500
50,000 BB+++ 6.375% due 12/1/11............................................. 46,500
300,000 B3* Vanguard Health Systems, Inc., Sr. Sub. Notes, 9.750% due
8/1/11......................................................... 300,000
- ----------------------------------------------------------------------------------------------------------
3,001,531
- ----------------------------------------------------------------------------------------------------------
INDUSTRIAL PRODUCTS AND EQUIPMENT -- 3.6%
200,000 B Cabot Safety Corp., Sr. Sub. Notes, 12.500% due 7/15/05.......... 205,000
225,000 B Euramax International PLC, Sr. Sub. Notes, 11.250% due 10/1/06... 232,875
Hexcel Corp.:
50,000 B Sr. Secured Notes, 9.875% due 10/1/08 (b)...................... 55,250
200,000 CCC+ Sr. Sub. Notes, 9.750% due 1/15/09............................. 200,000
150,000 CCC+ MMI Products, Inc., Sr. Sub. Notes, Series B, 11.250% due
4/15/07........................................................ 106,125
100,000 C* Neenah Corp., Sr. Sub. Notes, Series B, 11.125% due 5/1/07 (c)... 48,000
200,000 B- Rexnord Corp., Sr. Sub. Notes, 10.125% due 12/15/12.............. 221,000
Tyco International Group S.A., Sr. Sub. Notes:
75,000 BBB- 6.375% due 6/15/05............................................. 78,563
350,000 BBB- 6.375% due 2/15/06............................................. 366,625
425,000 BBB- 5.800% due 8/1/06.............................................. 440,937
134,000 B Unifrax Investment Corp., Sr. Notes, 10.500% due 11/1/03......... 134,837
200,000 B- Wesco Distribution Inc., Sr. Sub. Notes, 9.125% due 6/1/08....... 187,500
- ----------------------------------------------------------------------------------------------------------
2,276,712
- ----------------------------------------------------------------------------------------------------------
LEISURE AND ENTERTAINMENT -- 2.7%
300,000 CCC+ AMC Entertainment Inc., Sr. Sub. Notes, 9.875% due 2/1/12........ 324,000
150,000 B3* AMF Bowling Worldwide Inc., Sr. Sub. Notes, 13.000% due 9/1/08... 164,250
150,000 B- Cinemark USA Inc., Sr. Sub. Notes, 9.000% due 2/1/13 (b)......... 163,500
175,000 B+ Intrawest Corp., Sr. Notes, 10.500% due 2/1/10................... 189,000
200,000 B Regal Cinemas, Inc., Sr. Sub. Notes, Series B, 9.375% due
2/1/12......................................................... 221,500
250,000 B Six Flags Inc., Sr. Notes, 9.750% due 4/15/13 (b)................ 248,750
325,000 B2* Universal City Development, Sr. Notes, 11.750% due 4/1/10 (b).... 358,313
50,000 B2* Worldspan LP/WS Corp., Sr. Notes, 9.625% due 6/15/11 (b)......... 51,750
- ----------------------------------------------------------------------------------------------------------
1,721,063
- ----------------------------------------------------------------------------------------------------------
MACHINERY AND EQUIPMENT -- 1.6%
175,000 BB AGCO Corp., Sr. Notes, 9.500% due 5/1/08......................... 189,875
100,000 BB+ Briggs & Stratton Corp., Sr. Notes, 8.875% due 3/15/11........... 116,000
150,000 NR Clark Material Handling Co., Sr. Notes, Series D, 10.750% due
11/15/06 (c)................................................... 765
225,000 CCC+ Columbus McKinnon Corp., Sr. Sub. Notes, 8.500% due 4/1/08....... 168,750
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
22
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
FEDERATED HIGH YIELD PORTFOLIO
<Table>
<Caption>
FACE
AMOUNT RATING(a) SECURITY VALUE
- ----------------------------------------------------------------------------------------------------------
MACHINERY AND EQUIPMENT -- 1.6% (CONTINUED)
United Rentals Inc., Series B:
$ 375,000 BB- Sr. Notes, 10.750% due 4/15/08................................. $ 411,563
150,000 B+ Sr. Sub. Notes, 9.000% due 4/1/09.............................. 147,000
- ----------------------------------------------------------------------------------------------------------
1,033,953
- ----------------------------------------------------------------------------------------------------------
MOTELS, HOTELS AND INNS -- 3.3%
125,000 B2* Courtyard by Marriott II, Sr. Secured Notes, Series B, 10.750%
due 2/1/08..................................................... 125,313
100,000 B1* FelCor Lodging Trust Inc., L.P., Sr. Notes, 9.500% due 9/15/08... 103,750
250,000 B2* Florida Panthers Holdings, Sr. Sub. Notes, 9.875% due 4/15/09.... 270,625
Hilton Hotels Corp., Notes:
300,000 BBB- 8.250% due 2/15/11............................................. 337,500
50,000 BBB- 7.625% due 12/1/12............................................. 55,000
HMH Properties, Inc., Sr. Notes:
250,000 Ba3* Series B, 7.875% due 8/1/08.................................... 255,000
200,000 Ba3* Series C, 8.450% due 12/1/08................................... 207,500
MeriStar Hospitality Corp., Sr. Notes:
50,000 B2* 10.500% due 6/15/09............................................ 51,375
75,000 B2* 9.125% due 1/15/11............................................. 73,875
150,000 B+ RFS Partnership L.P., Notes, 9.750% due 3/1/12................... 152,250
Starwood Hotels & Resorts Worldwide Inc., Notes:
350,000 BB+ 7.375% due 5/1/07.............................................. 370,125
100,000 BB+ 7.875% due 5/1/12.............................................. 110,000
- ----------------------------------------------------------------------------------------------------------
2,112,313
- ----------------------------------------------------------------------------------------------------------
OIL AND GAS -- 2.8%
175,000 BB- Citgo Petroleum Corp., Sr. Notes, 11.375% due 2/1/11 (b)......... 196,000
175,000 B Compton Petroleum Corp., Sr. Notes, 9.900% due 5/15/09........... 193,375
200,000 CCC+ Continental Resources, Inc., Sr. Sub. Notes, 10.250% due
8/1/08......................................................... 202,000
200,000 B Lone Star Technologies, Inc., Sr. Sub. Notes, Series B, 9.000%
due 6/1/11..................................................... 209,500
75,000 B+ Magnum Hunter Resources, Inc., Sr. Notes, 9.600% due 3/15/12..... 82,875
150,000 BB- Petroleum Helicopters Inc., Sr. Notes, Series B, 9.375% due
5/1/09......................................................... 168,938
275,000 BB Pogo Producing Co., Sr. Sub. Notes, Series B, 10.375% due
2/15/09........................................................ 300,781
200,000 B Swift Energy Co., Sr. Sub. Notes, 9.375% due 5/1/12.............. 218,500
Tesoro Petroleum Corp.:
50,000 BB Sr. Notes, 8.000% due 4/15/08 (b).............................. 51,500
175,000 B Sr. Sub. Notes, Series B, 9.625% due 11/1/08................... 162,750
- ----------------------------------------------------------------------------------------------------------
1,786,219
- ----------------------------------------------------------------------------------------------------------
PRINTING AND PUBLISHING -- 3.8%
250,000 CCC+ Advanstar Communications Inc., Sr. Sub. Notes, Series B,
12.000% due 2/15/11............................................ 236,562
75,000 NR Advanstar Inc., Sr. Sub. Notes, Series B, step bond to yield
14.993% due 10/15/11........................................... 42,094
75,000 B American Color Graphics, Sr. Notes, 10.000% due 6/15/10 (b)...... 75,000
American Media Operations Inc.:
175,000 B2* Notes, Series B, 10.250% due 5/1/09............................ 189,875
50,000 B2* Sr. Sub. Notes, 8.875% due 1/15/11 (b)......................... 54,375
175,000 B2* Block Communications Inc., 9.250% due 4/15/09.................... 191,625
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
23
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
FEDERATED HIGH YIELD PORTFOLIO
<Table>
<Caption>
FACE
AMOUNT RATING(a) SECURITY VALUE
- ----------------------------------------------------------------------------------------------------------
PRINTING AND PUBLISHING -- 3.8% (CONTINUED)
$ 375,000 B Dex Media East, LLC, Sr. Sub. Notes, 12.125% due 11/15/12........ $ 445,313
275,000 B+ R.H. Donnelley Corp., Sr. Sub. Notes, 10.875% due 12/15/12 (b)... 321,750
Vertis, Inc., Sr. Notes:
50,000 B2* 9.750% due 4/1/09 (b).......................................... 52,250
400,000 B- Series B, 10.875% due 6/15/09.................................. 402,000
Yell Finance BV:
275,000 B Sr. Discount Notes, step bond to yield 16.740% due 8/1/11...... 236,500
150,000 B Sr. Notes, 10.750% due 8/1/11.................................. 173,625
- ----------------------------------------------------------------------------------------------------------
2,420,969
- ----------------------------------------------------------------------------------------------------------
REAL ESTATE -- 0.1%
50,000 B+ CBRE Escrow Inc., Sr. Notes, 9.750% due 5/15/10 (b).............. 52,813
- ----------------------------------------------------------------------------------------------------------
RETAIL -- 1.9%
J.C. Penney Co., Inc., Notes:
50,000 BB+ 7.600% due 4/1/07.............................................. 52,750
276,000 BB+ 9.000% due 8/1/12.............................................. 300,880
150,000 Ba1* Michaels Stores Inc., Sr. Notes, 9.250% due 7/1/09............... 168,750
150,000 B+ Mothers Work, Inc., Sr. Notes, 11.250% due 8/1/10................ 162,750
Rite Aid Corp., Sr. Notes:
100,000 B+ 9.500% due 2/15/11 (b)......................................... 108,000
225,000 B- 6.875% due 8/15/13............................................. 195,750
225,000 B United Auto Group Inc., Sr. Sub. Notes, 9.625% due 3/15/12....... 241,875
- ----------------------------------------------------------------------------------------------------------
1,230,755
- ----------------------------------------------------------------------------------------------------------
SERVICES -- 1.2%
175,000 B Brickman Group, Ltd., Sr. Sub. Notes, 11.750% due 12/15/09 (b)... 196,438
100,000 B Coinmach Corp., Sr. Notes, 9.000% due 2/1/10..................... 107,500
250,000 B- PCA LLC/PCA Finance Corp., Sr. Notes, 11.875% due 8/1/09......... 273,750
175,000 CCC SITEL Corp., Sr. Sub. Notes, 9.250% due 3/15/06.................. 167,125
- ----------------------------------------------------------------------------------------------------------
744,813
- ----------------------------------------------------------------------------------------------------------
STEEL -- 0.5%
28,235 NR Republic Engineer Products, LLC, Sr. Notes, 10.000% due
8/16/09........................................................ 7,058
150,000 NR Republic Technology Inc., Sr. Notes, 13.750% due 7/15/09 (c)..... 1,500
150,000 B1* Ryerson Tull Inc., Notes, 9.125% due 7/15/06..................... 146,438
175,000 BB- United States Steel Corp., Sr. Notes, 9.750% due 5/15/10......... 178,500
- ----------------------------------------------------------------------------------------------------------
333,496
- ----------------------------------------------------------------------------------------------------------
SURFACE TRANSPORTATION -- 1.0%
250,000 CCC+ Allied Holdings Inc., Sr. Notes, Series B, 8.625% due 10/1/07.... 226,562
100,000 C* The Holt Group Inc., Sub. Notes, 9.750% due 1/15/06 (c).......... 3,500
Stena AB, Sr. Notes:
150,000 BB 8.750% due 6/15/07............................................. 155,250
250,000 BB 9.625% due 12/1/12............................................. 275,938
- ----------------------------------------------------------------------------------------------------------
661,250
- ----------------------------------------------------------------------------------------------------------
TECHNOLOGY -- 0.4%
200,000 B AMI Semiconductor Inc., Sr. Sub. Notes, 10.750% due 2/1/13 (b)... 227,000
- ----------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
24
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
FEDERATED HIGH YIELD PORTFOLIO
<Table>
<Caption>
FACE
AMOUNT RATING(a) SECURITY VALUE
- ----------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS AND CELLULAR -- 7.2%
$ 225,000 Caa2* AirGate PCS Inc., Sr. Sub. Notes, step bond to yield 16.103% due
10/1/09........................................................ $ 106,875
375,000 CCC- Alamosa Holdings Inc., Sr. Discount Notes, step bond to yield
15.942% due 2/15/10............................................ 219,375
125,000 C Horizon PCS Inc., Sr. Notes, 13.750% due 6/15/11................. 24,375
Nextel Communications Inc.:
Sr. Discount Notes:
250,000 B+++ Step bond to yield 10.770% due 9/15/07...................... 259,375
375,000 B+++ Step bond to yield 9.777% due 2/15/08....................... 393,750
600,000 B+++ Sr. Notes, 9.375% due 11/15/09................................. 647,250
Nextel Partners Inc., Sr. Notes:
175,000 CCC+ 12.500% due 11/15/09........................................... 197,750
50,000 CCC+ 8.125% due 7/1/11 (b).......................................... 50,125
225,000 CCC+ Qwest Communications International Inc., Sr. Notes, Series B,
7.500% due 11/1/08............................................. 209,250
600,000 Ba3* Qwest Corp., Sr. Notes, 8.875% due 3/15/12 (b)................... 673,500
850,000 CCC+ Qwest Services Corp., Sr. Notes, 13.500% due 12/15/10 (b)........ 964,750
150,000 BB++ Rogers Wireless Communication Inc., Sr. Sub. Notes, 8.800% due
10/1/07........................................................ 153,938
250,000 BBB Telecorp PCS, Inc., Sr. Sub. Notes, step bond to yield 11.014%
due 4/15/09.................................................... 260,000
250,000 B+ Triton PCS, Inc., Sr. Notes, 8.500% due 6/1/13 (b)............... 270,000
150,000 BBB+ VoiceStream Wireless Corp., Sr. Discount Notes, step bond to
yield
14.675% due 11/15/09........................................... 154,125
- ----------------------------------------------------------------------------------------------------------
4,584,438
- ----------------------------------------------------------------------------------------------------------
UTILITIES -- 7.0%
267,475 BB Caithness Coso Fund Corp., Secured Notes, Series B, 9.050% due
12/15/09....................................................... 286,198
450,000 B1* Calpine Corp., Sr. Notes, 8.500% due 2/15/11..................... 339,750
CMS Energy Corp., Sr. Notes:
200,000 B+ 8.900% due 7/15/08............................................. 210,250
100,000 B+ 7.500% due 1/15/09............................................. 99,375
175,000 B+ 8.500% due 4/15/11............................................. 183,531
El Paso Corp.:
Notes:
50,000 B+ 6.750% due 11/15/03......................................... 50,313
175,000 B 6.950% due 12/15/07......................................... 164,500
Sr. Notes:
225,000 B 6.750% due 5/15/09.......................................... 207,000
325,000 Caa1* 8.050% due 10/15/30......................................... 282,750
200,000 B 7.800% due 8/1/31........................................... 169,500
175,000 B+ El Paso Production Holdings, Sr. Notes, 7.750% due 6/1/13 (b).... 175,437
125,000 BB- Gulfterra Energy Partner, Sr. Notes, 10.625% due 12/1/12......... 145,000
200,000 B Illinois Power Corp., First Mortgage, 11.500% due 12/15/10 (b)... 229,500
100,000 NR PG&E Corp., Sr. Notes, 6.875% due 7/15/08 (b).................... 104,250
PSEG Energy Holdings, Sr. Notes:
200,000 BBB- 8.625% due 2/15/08............................................. 215,247
250,000 BBB- 10.000% due 10/1/09............................................ 284,153
Reliant Resources Inc., Sr. Notes:
125,000 B1* 9.250% due 7/15/10 (b)......................................... 126,250
125,000 B1* 9.500% due 7/15/13 (b)......................................... 126,563
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
25
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
FEDERATED HIGH YIELD PORTFOLIO
<Table>
<Caption>
FACE
AMOUNT RATING(a) SECURITY VALUE
- ----------------------------------------------------------------------------------------------------------
UTILITIES -- 7.0% (CONTINUED)
$ 125,000 BB Semco Energy Inc., Sr. Notes, 7.125% due 5/15/08 (b)............. $ 131,250
Tennessee Gas Pipeline Co., Debentures:
150,000 B+ 7.500% due 4/1/17.............................................. 154,875
100,000 B+ 8.375% due 6/15/32............................................. 109,250
The Williams Cos., Inc., Sr. Notes:
125,000 B+ 8.625% due 6/1/10.............................................. 131,250
200,000 B+ 7.625% due 7/15/19............................................. 195,000
350,000 BBB++ 7.875% due 9/1/21.............................................. 343,000
- ----------------------------------------------------------------------------------------------------------
4,464,192
- ----------------------------------------------------------------------------------------------------------
TOTAL CORPORATE BONDS AND NOTES (Cost -- $58,376,207)............ 60,008,187
- ----------------------------------------------------------------------------------------------------------
<Caption>
SHARES SECURITY VALUE
- ----------------------------------------------------------------------------------------------------------
COMMON STOCK (e) -- 0.1%
- ----------------------------------------------------------------------------------------------------------
BROADCAST RADIO AND TELEVISION -- 0.1%
1,823 NTL Inc. ........................................................ 62,201
- ----------------------------------------------------------------------------------------------------------
CONTAINER AND PACKAGING -- 0.0%
2,000 Russell-Stanley Holdings, Inc. .................................. 20
- ----------------------------------------------------------------------------------------------------------
LEISURE AND ENTERTAINMENT -- 0.0%
392 AMF Bowling Worldwide, Inc. ..................................... 10,212
- ----------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS AND CELLULAR -- 0.0%
5,773 Call-Net Enterprises, Inc., Class B Shares....................... 14,433
1,076 Viatel Holding Bermuda Ltd. ..................................... 834
- ----------------------------------------------------------------------------------------------------------
15,267
- ----------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $792,134)............................ 87,700
- ----------------------------------------------------------------------------------------------------------
PREFERRED STOCK -- 0.7%
- ----------------------------------------------------------------------------------------------------------
BROADCAST RADIO AND TELEVISION -- 0.2%
1,000 Sinclair Capital, 11.625%........................................ 105,500
- ----------------------------------------------------------------------------------------------------------
PRINTING AND PUBLISHING -- 0.5%
Primedia Inc.:
2,000 Series F, 9.200%............................................... 188,500
1,500 Series H, 8.625%............................................... 136,875
- ----------------------------------------------------------------------------------------------------------
325,375
- ----------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS AND CELLULAR -- 0.0%
1,878 McLeodUSA Inc., Series A, 2.500%................................. 13,597
- ----------------------------------------------------------------------------------------------------------
TOTAL PREFERRED STOCK (Cost -- $908,992)......................... 444,472
- ----------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
26
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
FEDERATED HIGH YIELD PORTFOLIO
<Table>
<Caption>
WARRANTS SECURITY VALUE
- ----------------------------------------------------------------------------------------------------------
WARRANTS (e) -- 0.1%
- ----------------------------------------------------------------------------------------------------------
BROADCAST RADIO AND TELEVISION -- 0.0%
$ 125 XM Satellite Radio Holdings Inc., Expire 3/15/10................. $ 750
- ----------------------------------------------------------------------------------------------------------
CONSUMER PRODUCTS -- 0.1%
200 Jostens Inc., Expire 5/1/10 (b).................................. 16,600
175,000 Pillowtex Corp., Expire 11/24/09................................. 0
- ----------------------------------------------------------------------------------------------------------
16,600
- ----------------------------------------------------------------------------------------------------------
CONTAINER AND GLASS PRODUCTS -- 0.0%
100 Pliant Corp., Expire 6/1/10 (b).................................. 113
- ----------------------------------------------------------------------------------------------------------
FOREST PRODUCTS AND PAPER -- 0.0%
100 MDP Acquisitions PLC, Expire 10/1/13 (b)......................... 1
- ----------------------------------------------------------------------------------------------------------
LEISURE AND ENTERTAINMENT -- 0.0%
AMF Bowling Worldwide, Inc.:
923 Series A, Expire 3/9/09........................................ 6,277
901 Series B, Expire 3/9/09........................................ 3,289
- ----------------------------------------------------------------------------------------------------------
9,566
- ----------------------------------------------------------------------------------------------------------
PRINTING AND PUBLISHING -- 0.0%
75 Advanstar Holdings Corp., Expire 10/15/11........................ 1
- ----------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS AND CELLULAR -- 0.0%
4,162 McLeodUSA Inc., Expire 4/16/07................................... 1,705
- ----------------------------------------------------------------------------------------------------------
TOTAL WARRANTS (Cost -- $218,427)................................ 28,736
- ----------------------------------------------------------------------------------------------------------
<Caption>
FACE
AMOUNT SECURITY VALUE
- ----------------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 4.8%
$3,055,000 State Street Bank and Trust Co., 1.000% due 7/1/03; Proceeds at
maturity --
$3,055,085; (Fully collateralized by U.S. Treasury Bonds,
6.250% due 8/15/23; Market value -- $3,121,813)
(Cost -- $3,055,000)........................................... 3,055,000
- ----------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% (Cost -- $63,350,760**)....................... $63,624,095
- ----------------------------------------------------------------------------------------------------------
</Table>
<Table>
(a) All ratings are by Standard & Poor's Ratings Service, except
for those which are identified by an asterisk (*) or a
double dagger (++), are rated by Moody's Investors Service
and Fitch Ratings, respectively.
(b) Security is exempt from registration under Rule 144A of the
Securities Act of 1933. This security may be resold in
transactions that are exempt from registration, normally to
qualified institutional buyers.
(c) Security is currently in default.
(d) Security is valued in accordance with fair valuation
procedures.
(e) Non-income producing security.
** Aggregate cost for Federal income tax purposes is
substantially the same.
See pages 41 and 42 for definitions of ratings.
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
27
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
FEDERATED STOCK PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- ------------------------------------------------------------------------------------
COMMON STOCK -- 97.1%
- ------------------------------------------------------------------------------------
AEROSPACE AND DEFENSE -- 1.6%
3,400 General Dynamics Corp. ..................................... $ 246,500
2,417 Northrop Grumman Corp. ..................................... 208,563
- ------------------------------------------------------------------------------------
455,063
- ------------------------------------------------------------------------------------
AUTO COMPONENTS -- 1.7%
5,600 Johnson Controls, Inc. ..................................... 479,360
- ------------------------------------------------------------------------------------
AUTOMOBILES -- 1.7%
20,757 Ford Motor Co. ............................................. 228,120
7,390 General Motors Corp. ....................................... 266,040
- ------------------------------------------------------------------------------------
494,160
- ------------------------------------------------------------------------------------
BANKS -- 11.8%
10,300 Bank of America Corp. ...................................... 814,009
6,200 PNC Financial Services Group................................ 302,622
12,900 U.S. Bancorp................................................ 316,050
15,600 Wachovia Corp. ............................................. 623,376
18,250 Washington Mutual, Inc. .................................... 753,725
11,800 Wells Fargo & Co. .......................................... 594,720
- ------------------------------------------------------------------------------------
3,404,502
- ------------------------------------------------------------------------------------
CHEMICALS -- 3.9%
8,700 Air Products & Chemicals, Inc. ............................. 361,920
8,400 E.I. du Pont de Nemours & Co. .............................. 349,776
8,000 PPG Industries, Inc. ....................................... 405,920
- ------------------------------------------------------------------------------------
1,117,616
- ------------------------------------------------------------------------------------
COMMERCIAL SERVICES AND SUPPLIES -- 6.1%
39,870 Cendant Corp.*.............................................. 730,418
11,800 First Data Corp. ........................................... 488,992
6,800 H&R Block, Inc. ............................................ 294,100
9,790 Waste Management, Inc. ..................................... 235,841
- ------------------------------------------------------------------------------------
1,749,351
- ------------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT -- 0.8%
25,200 Motorola, Inc. ............................................. 237,636
- ------------------------------------------------------------------------------------
COMPUTERS AND PERIPHERALS -- 6.3%
32,093 Hewlett-Packard Co. ........................................ 683,581
4,400 International Business Machines Corp. ...................... 363,000
4,300 Lexmark International, Inc.*................................ 304,311
18,600 Storage Technology Corp.*................................... 478,764
- ------------------------------------------------------------------------------------
1,829,656
- ------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
28
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
FEDERATED STOCK PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- ------------------------------------------------------------------------------------
DIVERSIFIED FINANCIALS -- 9.2%
7,780 The Bear Stearns Cos. Inc. ................................. $ 563,428
5,100 Fannie Mae.................................................. 343,944
11,800 J.P. Morgan Chase & Co. .................................... 403,324
13,400 MBNA Corp. ................................................. 279,256
13,200 Morgan Stanley.............................................. 564,300
15,300 Principal Financial Group, Inc. ............................ 493,425
- ------------------------------------------------------------------------------------
2,647,677
- ------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 5.3%
12,600 BellSouth Corp. ............................................ 335,538
15,600 SBC Communications, Inc. ................................... 398,580
18,400 Sprint Corp. (FON Group).................................... 264,960
13,450 Verizon Communications Inc. ................................ 530,602
- ------------------------------------------------------------------------------------
1,529,680
- ------------------------------------------------------------------------------------
ELECTRIC UTILITIES -- 4.9%
7,500 Cinergy Corp. .............................................. 275,925
5,600 Entergy Corp. .............................................. 295,568
7,400 FPL Group, Inc. ............................................ 494,690
8,300 Public Service Enterprise Group Inc. ....................... 350,675
- ------------------------------------------------------------------------------------
1,416,858
- ------------------------------------------------------------------------------------
ENERGY EQUIPMENT AND SERVICES -- 1.0%
11,000 ENSCO International Inc. ................................... 295,900
- ------------------------------------------------------------------------------------
FOOD PRODUCTS -- 1.4%
5,600 General Mills, Inc. ........................................ 265,496
7,700 Sara Lee Corp. ............................................. 144,837
- ------------------------------------------------------------------------------------
410,333
- ------------------------------------------------------------------------------------
HEALTH CARE EQUIPMENT AND SUPPLIES -- 0.9%
4,200 Boston Scientific Corp.*.................................... 256,620
- ------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS AND SERVICES -- 0.5%
2,800 UnitedHealth Group Inc. .................................... 140,700
- ------------------------------------------------------------------------------------
HOUSEHOLD DURABLES -- 0.8%
11,775 Koninklijke Philips Electronics N.V., NY Shares ADR......... 225,020
- ------------------------------------------------------------------------------------
INDUSTRIAL CONGLOMERATES -- 2.8%
4,100 Textron, Inc. .............................................. 159,982
34,491 Tyco International Ltd. .................................... 654,639
- ------------------------------------------------------------------------------------
814,621
- ------------------------------------------------------------------------------------
INSURANCE -- 8.6%
13,400 The Allstate Corp. ......................................... 477,710
8,600 American International Group, Inc. ......................... 474,548
4,900 The Hartford Financial Services Group, Inc. ................ 246,764
7,000 Lincoln National Corp. ..................................... 249,410
5,200 Loews Corp. ................................................ 245,908
8,400 Marsh & McLennan Cos., Inc. ................................ 428,988
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
29
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
FEDERATED STOCK PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- ------------------------------------------------------------------------------------
INSURANCE -- 8.6% (CONTINUED)
1,800 MBIA, Inc. ................................................. $ 87,750
10,100 MetLife, Inc. .............................................. 286,032
- ------------------------------------------------------------------------------------
2,497,110
- ------------------------------------------------------------------------------------
IT CONSULTING AND SERVICES -- 1.1%
2,000 Computer Sciences Corp.*.................................... 76,240
12,000 Electronic Data Systems Corp. .............................. 257,400
- ------------------------------------------------------------------------------------
333,640
- ------------------------------------------------------------------------------------
MACHINERY -- 0.3%
1,900 Ingersoll-Rand Co., Class A Shares.......................... 89,908
- ------------------------------------------------------------------------------------
MEDIA -- 4.3%
14,300 AOL Time Warner Inc.*....................................... 230,087
18,700 The News Corp. Ltd., Preferred Shares ADR................... 468,435
12,200 Viacom Inc., Class B Shares*................................ 532,652
- ------------------------------------------------------------------------------------
1,231,174
- ------------------------------------------------------------------------------------
METALS AND MINING -- 0.9%
10,300 Alcoa Inc. ................................................. 262,650
- ------------------------------------------------------------------------------------
MULTI-LINE RETAIL -- 2.3%
9,800 Federated Department Stores, Inc.*.......................... 361,130
8,900 Sears, Roebuck & Co. ....................................... 299,396
- ------------------------------------------------------------------------------------
660,526
- ------------------------------------------------------------------------------------
OIL AND GAS -- 9.0%
11,400 BP Amoco PLC................................................ 479,028
8,551 ChevronTexaco Corp. ........................................ 617,382
8,800 ConocoPhillips.............................................. 482,240
15,900 Exxon Mobil Corp. .......................................... 570,969
2,800 Kerr-McGee Corp. ........................................... 125,440
12,400 Marathon Oil Corp. ......................................... 326,740
- ------------------------------------------------------------------------------------
2,601,799
- ------------------------------------------------------------------------------------
PAPER AND FOREST PRODUCTS -- 1.1%
8,900 International Paper Co. .................................... 317,997
- ------------------------------------------------------------------------------------
PHARMACEUTICALS -- 3.7%
11,100 Bristol-Myers Squibb Co. ................................... 301,365
4,900 Merck & Co. Inc. ........................................... 296,695
13,600 Pfizer Inc. ................................................ 464,440
- ------------------------------------------------------------------------------------
1,062,500
- ------------------------------------------------------------------------------------
ROAD AND RAIL -- 1.6%
7,800 Union Pacific Corp. ........................................ 452,556
- ------------------------------------------------------------------------------------
SOFTWARE -- 0.0%
10,300 Seagate Technology, Escrow Shares*.......................... 0
- ------------------------------------------------------------------------------------
SPECIALTY RETAIL -- 0.5%
8,100 The Gap, Inc. .............................................. 151,956
- ------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
30
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
FEDERATED STOCK PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- ------------------------------------------------------------------------------------
TOBACCO -- 3.0%
14,100 Altria Group, Inc. ......................................... $ 640,705
6,100 UST Inc. ................................................... 213,683
- ------------------------------------------------------------------------------------
854,388
- ------------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $28,045,867).................... 28,020,957
- ------------------------------------------------------------------------------------
<Caption>
FACE
SECURITY VALUE
- ------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 2.9%
$845,000 State Street Bank and Trust Co., 1.000% due 7/1/03; Proceeds
at maturity --
$845,023; (Fully collateralized by Federal National
Mortgage Association Bonds,
5.500% due 2/15/06; Market value -- $865,456)
(Cost -- $845,000)........................................ 845,000
- ------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% (Cost -- $28,890,867**) $28,865,957
- ------------------------------------------------------------------------------------
</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.
31
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
DISCIPLINED MID CAP STOCK PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- ------------------------------------------------------------------------------------------
COMMON STOCK -- 99.8%
- ------------------------------------------------------------------------------------------
AEROSPACE AND DEFENSE -- 1.2%
18,937 L-3 Communications Holdings, Inc.*.......................... $ 823,570
22,781 Precision Castparts Corp. .................................. 708,489
- ------------------------------------------------------------------------------------------
1,532,059
- ------------------------------------------------------------------------------------------
AIR FREIGHT AND COURIERS -- 1.7%
25,081 CH Robinson Worldwide, Inc. ................................ 891,880
25,586 EGL, Inc.*.................................................. 388,907
10,620 Expeditors International of Washington, Inc. ............... 367,877
15,159 JB Hunt Transport Services, Inc.*........................... 572,252
- ------------------------------------------------------------------------------------------
2,220,916
- ------------------------------------------------------------------------------------------
AIRLINES -- 0.2%
10,620 Alaska Air Group, Inc.*..................................... 227,799
- ------------------------------------------------------------------------------------------
AUTO COMPONENTS -- 1.9%
7,033 ArvinMeritor, Inc. ......................................... 141,926
13,354 Bandag, Inc. ............................................... 497,704
10,864 BorgWarner, Inc. ........................................... 699,642
9,602 Gentex Corp.*............................................... 293,917
16,214 Lear Corp.*................................................. 746,168
- ------------------------------------------------------------------------------------------
2,379,357
- ------------------------------------------------------------------------------------------
BANKS -- 9.9%
25,145 Associated Banc-Corp. ...................................... 927,348
13,384 Astoria Financial Corp. .................................... 373,815
21,920 Bank of Hawaii Corp. ....................................... 726,648
6,028 Banknorth Group, Inc. ...................................... 153,835
7,769 City National Corp. ........................................ 346,187
20,615 Commerce Bancorp, Inc. ..................................... 764,816
23,478 Compass Bancshares, Inc. ................................... 820,087
10,006 First Tennessee National Corp. ........................... 439,363
23,604 First Virginia Banks, Inc. ................................. 1,017,804
5,086 Greater Bay Bancorp. ....................................... 103,856
25,138 Greenpoint Financial Corp. ................................. 1,280,530
16,018 Hibernia Corp., Class A Shares.............................. 290,887
16,538 Independence Community Bank Corp. ........................ 466,702
9,264 IndyMac Bancorp, Inc. ...................................... 235,491
14,603 M&T Bank Corp. ............................................. 1,229,865
15,810 National Commerce Financial Corp. .......................... 350,824
25,934 New York Community Bancorp, Inc. ........................... 754,420
23,328 Silicon Valley Bancshares* ............................... 555,440
49,044 Sovereign Bancorp, Inc. .................................... 767,539
11,721 TCF Financial Corp. ........................................ 466,965
7,628 Webster Financial Corp. .................................... 288,338
7,358 Whitney Holding Corp. .................................... 235,235
- ------------------------------------------------------------------------------------------
12,595,995
- ------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
32
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
DISCIPLINED MID CAP STOCK PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- ------------------------------------------------------------------------------------------
BEVERAGES -- 0.2%
8,666..... Constellation Brands, Inc., Class A Shares*................. $ 272,112
- ------------------------------------------------------------------------------------------
BIOTECHNOLOGY -- 3.7%
10,615.... Charles River Laboratories International, Inc.*............. 341,591
36,370.... Gilead Sciences, Inc.*...................................... 2,021,445
30,719.... IDEC Pharmaceuticals Corp.*................................. 1,044,446
61,920.... Millennium Pharmaceuticals, Inc.*........................... 974,002
14,187.... Protein Design Labs, Inc.*.................................. 198,334
11,491.... Vertex Pharmaceuticals Inc.*................................ 167,769
- ------------------------------------------------------------------------------------------
4,747,587
- ------------------------------------------------------------------------------------------
BUILDING PRODUCTS -- 0.7%
........... Lennar Corp.:
11,727.... Class A Shares............................................ 838,480
1,406..... Class B Shares............................................ 96,592
- ------------------------------------------------------------------------------------------
935,072
- ------------------------------------------------------------------------------------------
CHEMICALS -- 2.3%
18,556 Airgas, Inc. ............................................... 310,813
8,175 Albemarle Corp. ............................................ 228,655
9,491 Cabot Corp. ................................................ 272,392
23,765 Crompton Corp. ............................................. 167,543
9,502 Cytec Industries, Inc.*..................................... 321,168
8,920 FMC Corp.*.................................................. 201,860
4,245 HB Fuller Co. .............................................. 93,475
20,026 IMC Global, Inc. ........................................... 134,374
7,904 Lubrizol Corp. ............................................. 244,945
24,611 Lyondell Chemical Co. ...................................... 332,987
16,880 RPM International, Inc. .................................... 232,100
18,793 Solutia, Inc. .............................................. 40,969
7,378 Valspar Corp. .............................................. 311,499
- ------------------------------------------------------------------------------------------
2,892,780
- ------------------------------------------------------------------------------------------
COMMERCIAL SERVICES AND SUPPLIES -- 7.4%
1,046 Apollo Group, Inc., Class A Shares.......................... 64,601
16,604 Banta Corp. ................................................ 537,471
10,187 The BISYS Group, Inc.*...................................... 187,135
30,516 The Brink's Co. ............................................ 444,618
11,375 Career Education Corp.*..................................... 778,278
26,509 Ceridian Corp.*............................................. 449,858
25,681 Certegy, Inc.*.............................................. 712,648
21,299 Checkfree Corp.*............................................ 592,964
16,172 ChoicePoint Inc.*........................................... 558,257
4,772 Corinthian Colleges, Inc.*.................................. 231,776
19,428 D&B Corp.*.................................................. 798,491
13,671 DeVry, Inc.*................................................ 318,398
6,117 DST Systems, Inc.*.......................................... 232,446
13,187 Education Management Corp.*................................. 701,285
26,372 HON Industries, Inc. ....................................... 804,346
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
33
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
DISCIPLINED MID CAP STOCK PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- ------------------------------------------------------------------------------------------
COMMERCIAL SERVICES AND SUPPLIES -- 7.4% (CONTINUED)
20,869 Manpower Inc. .............................................. $ 774,031
6,500 Republic Services, Inc.*.................................... 147,355
6,157 University of Phoenix Online*............................... 312,160
13,921 Viad Corp. ................................................. 311,691
18,104 West Corp.*................................................. 482,472
- ------------------------------------------------------------------------------------------
9,440,281
- ------------------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT -- 1.8%
52,897 3Com Corp.*................................................. 247,558
15,416 Adtran, Inc.*............................................... 790,687
19,050 Advanced Fibre Communications, Inc.*........................ 309,944
22,727 Avocent Corp.*.............................................. 680,219
14,869 McData Corp., Class A Shares*............................... 218,128
- ------------------------------------------------------------------------------------------
2,246,536
- ------------------------------------------------------------------------------------------
COMPUTERS AND PERIPHERALS -- 2.0%
14,009 Imation Corp. .............................................. 529,820
931 Lexmark International, Inc., Class A Shares*................ 65,887
29,238 Sandisk Corp.*.............................................. 1,179,753
29,096 Storage Technology Corp.*................................... 748,931
- ------------------------------------------------------------------------------------------
2,524,391
- ------------------------------------------------------------------------------------------
CONSTRUCTION AND ENGINEERING -- 1.0%
31,010 Dycom Industries, Inc.*..................................... 505,463
6,558 Granite Construction, Inc. ................................. 125,651
14,123 Jacobs Engineering Group, Inc.*............................. 595,284
- ------------------------------------------------------------------------------------------
1,226,398
- ------------------------------------------------------------------------------------------
CONSTRUCTION MATERIALS -- 0.2%
8,262 Martin Marietta Materials, Inc. ............................ 277,686
- ------------------------------------------------------------------------------------------
CONTAINERS AND PACKAGING -- 0.6%
19,003 Packaging Corp. of America*................................. 350,225
15,350 Sonoco Products Co. ........................................ 368,707
- ------------------------------------------------------------------------------------------
718,932
- ------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIALS -- 0.8%
4,801 Affiliated Managers Group*.................................. 292,621
35,890 E*TRADE Group, Inc.*........................................ 305,065
6,318 Legg Mason, Inc. ........................................... 410,354
- ------------------------------------------------------------------------------------------
1,008,040
- ------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.2%
47,260 Cincinnati Bell, Inc.*...................................... 316,642
- ------------------------------------------------------------------------------------------
ELECTRIC UTILITIES -- 2.9%
20,128 Allete, Inc. ............................................... 534,398
21,835 Black Hills Corp. .......................................... 670,334
9,173 Great Plains Energy, Inc. .................................. 264,916
12,249 OGE Energy Corp. ........................................... 261,761
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
34
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
DISCIPLINED MID CAP STOCK PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- ------------------------------------------------------------------------------------------
ELECTRIC UTILITIES -- 2.9% (CONTINUED)
7,592 Pepco Holdings, Inc. ....................................... $ 145,463
30,554 Puget Energy, Inc. ......................................... 729,324
36,995 Wisconsin Energy Corp. ..................................... 1,072,855
- ------------------------------------------------------------------------------------------
3,679,051
- ------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT -- 0.6%
11,737 Ametek, Inc. ............................................... 430,161
4,111 Energizer Holdings, Inc.*................................... 129,085
6,934 Harris Corp. ............................................... 208,367
- ------------------------------------------------------------------------------------------
767,613
- ------------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT AND INSTRUMENTS -- 1.2%
4,677 Amphenol Corp., Class A Shares*............................. 218,977
36,213 Arrow Electronics, Inc.*.................................... 551,886
19,081 Avnet, Inc.*................................................ 241,947
8,715 Diebold, Inc. .............................................. 376,924
11,724 Vishay Intertechnology, Inc.*............................... 154,757
- ------------------------------------------------------------------------------------------
1,544,491
- ------------------------------------------------------------------------------------------
ENERGY EQUIPMENT AND SERVICES -- 3.8%
7,177 Cooper Cameron Corp.*....................................... 361,577
23,536 ENSCO International Inc. ................................... 633,118
9,833 FMC Technologies, Inc.*..................................... 206,985
16,080 Grant Prideco, Inc.*........................................ 188,940
8,977 Hanover Compressor Co.*..................................... 101,440
8,037 Helmerich & Payne, Inc. .................................... 234,680
11,179 National-Oilwell, Inc.*..................................... 245,938
12,184 Patterson-UTI Energy, Inc.*................................. 394,762
19,927 Pride International, Inc.*.................................. 375,026
15,304 Smith International, Inc.*.................................. 562,269
9,929 Tidewater, Inc. ............................................ 291,615
16,043 Varco International, Inc.*.................................. 314,443
20,469 Weatherford International Ltd.*............................. 857,651
- ------------------------------------------------------------------------------------------
4,768,444
- ------------------------------------------------------------------------------------------
FOOD AND DRUG RETAILING -- 0.3%
9,161 Whole Foods Market, Inc.*................................... 435,422
- ------------------------------------------------------------------------------------------
FOOD PRODUCTS -- 2.3%
4,975 Dean Foods Co.*............................................. 156,712
10,266 Dreyer's Grand Ice Cream Holdings Inc., Class A Shares*..... 806,086
10,656 The J. M. Smucker Co. ...................................... 425,068
6,954 McCormick & Co., Inc. ...................................... 189,149
33,092 Sensient Technologies Corp. ................................ 760,785
16,993 Smithfield Foods, Inc.*..................................... 389,480
18,078 Tyson Foods, Inc., Class A Shares........................... 191,988
- ------------------------------------------------------------------------------------------
2,919,268
- ------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
35
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
DISCIPLINED MID CAP STOCK PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- ------------------------------------------------------------------------------------------
GAS UTILITIES -- 1.4%
30,528 AGL Resources, Inc. ........................................ $ 776,632
17,060 National Fuel Gas Co. ...................................... 444,413
19,950 WGL Holdings Inc. .......................................... 532,665
- ------------------------------------------------------------------------------------------
1,753,710
- ------------------------------------------------------------------------------------------
HEALTH CARE EQUIPMENT AND SUPPLIES -- 3.3%
5,087 Advanced Medical Optics, Inc.*.............................. 86,733
10,794 Apogent Technologies, Inc.*................................. 215,880
20,161 Beckman Coulter, Inc. ...................................... 819,343
12,386 DENTSPLY International Inc. ................................ 506,587
17,352 Edwards Lifesciences Corp.*................................. 557,693
9,962 Fisher Scientific International Inc.*....................... 347,674
8,467 Hillenbrand Industries, Inc. ............................... 427,160
8,555 Steris Corp.*............................................... 197,535
10,859 Varian Medical Systems, Inc.*............................... 625,153
23,476 VISX, Inc.*................................................. 407,309
- ------------------------------------------------------------------------------------------
4,191,067
- ------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS AND SERVICES -- 5.5%
24,791 AdvancePCS*................................................. 947,760
2,700 AETNA, Inc. ................................................ 162,540
22,548 Apria Healthcare Group, Inc.*............................... 560,994
7,443 Coventry Health Care, Inc.*................................. 343,569
5,324 Express Scripts, Inc.*...................................... 363,736
25,225 First Health Group Corp.*................................... 696,210
21,783 Health Net, Inc.*........................................... 717,750
9,937 Henry Schein, Inc.*......................................... 520,103
3,447 Lincare Holdings Inc.*...................................... 108,615
15,471 Omnicare, Inc. ............................................. 522,765
9,146 Oxford Health Plans Inc.*................................... 384,406
13,098 PacifiCare Health Systems, Inc.*............................ 646,124
10,307 Patterson Dental Co.*....................................... 467,732
9,121 Renal Care Group, Inc.*..................................... 321,150
9,347 Triad Hospitals, Inc.*...................................... 231,993
- ------------------------------------------------------------------------------------------
6,995,447
- ------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS AND LEISURE -- 3.5%
18,979 Bob Evans Farms Inc. ....................................... 524,390
17,928 Brinker International, Inc.*................................ 645,767
17,750 CBRL Group, Inc. ........................................... 689,765
20,681 Extended Stay America, Inc.*................................ 278,987
18,606 GTECH Holdings Corp.*....................................... 700,516
8,671 Krispy Kreme Doughnuts, Inc.*............................... 357,072
10,772 Mandalay Resort Group....................................... 343,088
2,110 Outback Steakhouse, Inc.*................................... 82,290
30,770 Ruby Tuesday, Inc. ......................................... 760,942
- ------------------------------------------------------------------------------------------
4,382,817
- ------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
36
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
DISCIPLINED MID CAP STOCK PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- ------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES -- 1.3%
14,177 Blyth, Inc. ................................................ $ 385,614
28,184 D.R. Horton, Inc. .......................................... 791,970
2,766 Pulte Homes, Inc. .......................................... 170,552
12,668 Toll Brothers, Inc.*........................................ 358,631
- ------------------------------------------------------------------------------------------
1,706,767
- ------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS -- 0.6%
7,819 Church & Dwight, Inc. ...................................... 255,916
23,321 The Dial Corp. ............................................. 453,593
- ------------------------------------------------------------------------------------------
709,509
- ------------------------------------------------------------------------------------------
INDUSTRIAL CONGLOMERATES -- 0.5%
16,162 Carlisle Cos., Inc. ........................................ 681,390
- ------------------------------------------------------------------------------------------
INSURANCE -- 5.6%
31,276 American Financial Group, Inc. ............................. 713,093
14,709 AmerUs Group Co. ........................................... 414,647
10,716 Brown & Brown, Inc. ........................................ 348,270
11,684 Everest Re Group Ltd. ...................................... 893,826
37,151 Fidelity National Financial, Inc. .......................... 1,142,765
15,958 First American Corp. ....................................... 420,493
10,091 Mony Group, Inc. ........................................... 271,952
22,617 Old Republic International Corp. ........................... 775,085
11,553 The PMI Group, Inc. ........................................ 310,083
17,836 Radian Group, Inc. ......................................... 653,689
14,188 Stancorp Financial Group, Inc. ............................. 740,897
16,613 Unitrin, Inc. .............................................. 450,545
- ------------------------------------------------------------------------------------------
7,135,345
- ------------------------------------------------------------------------------------------
IT CONSULTING AND SERVICES -- 1.6%
31,319 Affiliated Computer Services Inc., Class A Shares*.......... 1,432,218
25,775 Keane, Inc.*................................................ 351,313
39,392 MPS Group, Inc.*............................................ 271,017
- ------------------------------------------------------------------------------------------
2,054,548
- ------------------------------------------------------------------------------------------
LEISURE EQUIPMENT AND PRODUCTS -- 0.2%
18,052 Callaway Golf Co. .......................................... 238,647
- ------------------------------------------------------------------------------------------
MACHINERY -- 1.0%
8,576 Albany International Corp., Class A Shares.................. 234,982
1,970 PACCAR Inc. ................................................ 133,093
18,169 Pentair, Inc. .............................................. 709,681
3,144 SPX Corp.*.................................................. 138,525
- ------------------------------------------------------------------------------------------
1,216,281
- ------------------------------------------------------------------------------------------
MARINE -- 0.4%
25,125 Overseas Shipholding Group, Inc. ........................... 553,001
- ------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
37
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
DISCIPLINED MID CAP STOCK PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- ------------------------------------------------------------------------------------------
MEDIA -- 2.3%
22,190 Belo Corp., Class A Shares.................................. $ 496,168
2,122 Dow Jones & Co., Inc. ...................................... 91,310
20,494 Harte-Hanks, Inc. .......................................... 389,386
4,571 Hearst-Argyle Television, Inc.*............................. 118,389
9,308 Hispanic Broadcasting Corp.*................................ 236,889
1,266 Pixar, Inc.*................................................ 77,023
8,778 Univision Communications Inc., Class A Shares*.............. 266,851
943 Washington Post Co., Class B Shares......................... 691,125
18,154 Westwood One, Inc.*......................................... 615,965
- ------------------------------------------------------------------------------------------
2,983,106
- ------------------------------------------------------------------------------------------
METALS AND MINING -- 0.4%
17,401 AK Steel Holding Corp.*..................................... 62,992
7,950 Arch Coal, Inc. ............................................ 182,691
8,649 Peabody Energy Corp. ....................................... 290,520
- ------------------------------------------------------------------------------------------
536,203
- ------------------------------------------------------------------------------------------
MULTI-LINE RETAIL -- 1.2%
20,985 99 Cents Only Stores*....................................... 720,205
13,115 Dollar Tree Stores, Inc.*................................... 416,139
38,561 Saks, Inc.*................................................. 374,042
- ------------------------------------------------------------------------------------------
1,510,386
- ------------------------------------------------------------------------------------------
MULTI-UTILITIES -- 2.5%
38,086 Energy East Corp. .......................................... 790,665
24,832 MDU Resources Group, Inc. .................................. 831,624
21,037 Questar Corp. .............................................. 704,108
12,627 SCANA Corp. ................................................ 432,854
22,224 Westar Energy, Inc. ........................................ 360,696
- ------------------------------------------------------------------------------------------
3,119,947
- ------------------------------------------------------------------------------------------
OIL AND GAS -- 3.9%
3,564 Cimarex Energy Co.*......................................... 84,645
11,060 Devon Energy Corp. ......................................... 590,604
23,151 Equitable Resources, Inc. .................................. 943,172
7,476 Forest Oil Corp.*........................................... 187,797
13,783 Murphy Oil Corp. ........................................... 724,986
8,920 Noble Energy, Inc. ......................................... 337,176
15,655 Pioneer Natural Resources Co.*.............................. 408,596
9,602 Pogo Producing Co. ......................................... 410,486
20,330 Valero Energy Corp. ........................................ 738,589
26,768 XTO Energy, Inc. ........................................... 538,304
- ------------------------------------------------------------------------------------------
4,964,355
- ------------------------------------------------------------------------------------------
PAPER AND FOREST PRODUCTS -- 0.7%
9,388 Bowater Inc. ............................................... 351,581
11,568 Glatfelter.................................................. 170,628
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
38
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
DISCIPLINED MID CAP STOCK PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- ------------------------------------------------------------------------------------------
PAPER AND FOREST PRODUCTS -- 0.7% (CONTINUED)
4,440 Potlatch Corp. ............................................. $ 114,330
6,146 Rayonier, Inc. ............................................. 202,802
- ------------------------------------------------------------------------------------------
839,341
- ------------------------------------------------------------------------------------------
PHARMACEUTICALS -- 2.0%
12,211 Barr Laboratories, Inc.*.................................... 799,820
29,368 Mylan Laboratories Inc. .................................... 1,021,125
25,291 Sepracor, Inc.*............................................. 455,997
11,830 SICOR Inc.*................................................. 240,622
- ------------------------------------------------------------------------------------------
2,517,564
- ------------------------------------------------------------------------------------------
REAL ESTATE -- 1.4%
13,220 AMB Property Corp. ......................................... 372,407
8,272 Hospitality Properties Trust................................ 258,500
14,094 Liberty Property Trust...................................... 487,652
19,227 New Plan Excel Realty Trust................................. 410,496
17,098 United Dominion Realty Trust, Inc. ......................... 294,428
- ------------------------------------------------------------------------------------------
1,823,483
- ------------------------------------------------------------------------------------------
ROAD AND RAIL -- 0.4%
30,055 GATX Corp. ................................................. 491,399
- ------------------------------------------------------------------------------------------
SEMICONDUCTOR EQUIPMENT AND PRODUCTS -- 3.3%
92,101 Atmel Corp.*................................................ 233,016
3,577 Cabot Microelectronics Corp.*............................... 180,531
22,466 Credence Systems Corp.*..................................... 190,287
11,657 Cree, Inc.*................................................. 189,776
14,988 Cypress Semiconductor Corp.*................................ 179,856
48,046 Integrated Device Technology, Inc.*......................... 530,908
28,592 International Rectifier Corp.*.............................. 766,837
26,546 Lam Research Corp.*......................................... 483,403
22,822 Microchip Technology Inc. .................................. 562,106
11,934 QLogic Corp.*............................................... 576,770
12,296 Semtech Corp.*.............................................. 175,095
32,615 Triquint Semiconductor, Inc.*............................... 135,678
- ------------------------------------------------------------------------------------------
4,204,263
- ------------------------------------------------------------------------------------------
SOFTWARE -- 3.7%
29,586 Cadence Design Systems, Inc.*............................... 356,807
4,393 Fair Isaac Corp. ........................................... 226,020
81,249 Legato Systems, Inc.*....................................... 681,679
29,699 Macromedia, Inc.*........................................... 624,867
46,438 Mentor Graphics Corp.*...................................... 672,422
7,563 National Instruments Corp.*................................. 285,730
22,744 The Reynolds & Reynolds Co., Class A Shares................. 649,569
18,529 Synopsys, Inc.*............................................. 1,146,019
- ------------------------------------------------------------------------------------------
4,643,113
- ------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
39
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
DISCIPLINED MID CAP STOCK PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- ------------------------------------------------------------------------------------------
SPECIALTY RETAIL -- 4.0%
11,947 Abercrombie & Fitch Co., Class A Shares*.................... $ 339,414
15,538 Borders Group, Inc.*........................................ 273,624
32,180 Carmax, Inc.*............................................... 970,227
34,756 Claire's Stores, Inc. ...................................... 881,412
19,546 Michaels Stores, Inc.*...................................... 743,921
11,194 Petco Animal Supplies, Inc.*................................ 243,358
13,861 PETsMART, Inc.*............................................. 231,063
7,011 Ross Stores, Inc. .......................................... 299,650
36,464 Williams-Sonoma, Inc.*...................................... 1,064,749
- ------------------------------------------------------------------------------------------
5,047,418
- ------------------------------------------------------------------------------------------
TEXTILES AND APPAREL -- 1.1%
24,105 Coach, Inc.*................................................ 1,198,983
2,668 Columbia Sportswear Co.*.................................... 137,162
- ------------------------------------------------------------------------------------------
1,336,145
- ------------------------------------------------------------------------------------------
TOBACCO -- 0.3%
10,508 Universal Corp. ............................................ 444,488
- ------------------------------------------------------------------------------------------
TRADING COMPANIES AND DISTRIBUTORS -- 0.4%
10,448 CDW Corp.*.................................................. 478,518
- ------------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES -- 0.4%
10,657 Telephone & Data Systems, Inc. ............................. 529,653
- ------------------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $119,702,732)................... 126,764,783
- ------------------------------------------------------------------------------------------
</Table>
<Table>
<Caption>
FACE
AMOUNT SECURITY VALUE
- ----------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 0.2%
$ 277,000 State Street Bank and Trust Co., 1.000% due 7/1/03; Proceeds
at maturity -- $277,008; (Fully collateralized by Federal
National Mortgage Association Notes,
7.125% due 1/15/30; Market value -- $285,460)
(Cost -- $277,000)........................................ 277,000
- ----------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% (Cost -- $119,979,732**)........ $127,041,783
- ----------------------------------------------------------------------------------------
</Table>
* Non-income producing security.
** Aggregate cost for Federal income tax purposes is substantially the same.
SEE NOTES TO FINANCIAL STATEMENTS.
40
- --------------------------------------------------------------------------------
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
Standard & Poor's. Capacity to pay interest and repay
principal is extremely strong.
AA -- Bonds rated "AA" have a very strong capacity to pay interest
and repay principal and differ from the highest rated issue
only in a small degree.
A -- Bonds rated "A" have a strong capacity to pay interest and
repay principal although they are somewhat more susceptible
to the adverse effects of changes in circumstances and
economic conditions than bonds in higher rated categories.
BBB -- Bonds rated "BBB" are regarded as having an adequate
capacity to pay interest and repay principal. Whereas they
normally exhibit adequate protection parameters, adverse
economic conditions or changing circumstances are more
likely to lead to a weakened capacity to pay interest and
repay principal for bonds in this category than in higher
rated categories.
BB, B, CCC and CC -- Bonds rated "BB" and "B" 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 "CC" 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.
C -- Bonds rated "C" are bonds on which no interest is being
paid.
D -- Bonds rated "D" are in default, and payment of interest
and/or repayment of principal is in arrears.
</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 such issues.
Aa -- Bonds rated "Aa" are judged to be of high quality by all
standards. Together with the Aaa group they comprise what
are generally known as high grade bonds. They are rated
lower than the best bonds because margins of protection may
not be as large as in Aaa securities or fluctuation of
protective elements may be of greater amplitude or there may
be other elements present which make the long-term risks
appear somewhat larger than in Aaa securities.
A -- Bonds rated "A" possess many favorable investment attributes
and are to be considered as upper medium grade obligations.
Factors giving security to principal and interest are
considered adequate but elements may be present which
suggest a susceptibility to impairment some time in the
future.
Baa -- Bonds rated "Baa" are considered as medium grade
obligations, i.e., they are neither highly protected nor
poorly secured. Interest payments and principal security
appear adequate for the present but certain protective
elements may be lacking or may be characteristically
unreliable over any great length of time. Such bonds lack
outstanding investment characteristics and in fact have
speculative characteristics as well.
Ba -- Bonds rated "Ba" are judged to have speculative elements;
their future cannot be considered as well assured. Often the
protection of interest and principal payments may be very
moderate, and therefore 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.
</Table>
41
- --------------------------------------------------------------------------------
BOND RATINGS (UNAUDITED) (CONTINUED)
Fitch Ratings ("Fitch") -- Ratings from "AA" to "B" 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 lowest expectation of credit
risk. They are assigned only in case of exceptionally strong
capacity for timely payment of financial commitments. This
capacity is highly unlikely to be adversely affected by
foreseeable events.
AA -- Bonds rated "AA" have a very low expectation of credit risk.
They indicate very strong capacity for timely payment of
financial commitments. This capacity is not significantly
vulnerable to foreseeable events.
A -- Bonds rated "A" have a low expectation of credit risk. The
capacity for timely payment of financial commitments is
considered strong. This capacity may, nevertheless, be more
vulnerable to changes in circumstances or in economic
conditions than is the case for higher ratings.
BBB -- Bonds rated "BBB" have a low expectation of credit risk. The
capacity for timely payment of financial commitments is
considered adequate, but adverse changes in circumstances
and in economic conditions are more likely to impair this
capacity.
BB -- Bonds rated "BB" indicate that there is a possibility of
credit risk developing, particularly as the result of
adverse economic change over time; however, business of
financial alternatives may be available to allow financial
commitments to be met.
B -- Bonds rated "B" indicate that significant credit risk is
present, but a limited margin of safety remains. Financial
Commitments are currently being met; however, capacity for
continued payment is contingent upon a sustained, favourable
business and economic environment.
NR -- Indicates that the bond is not rated by Standard & Poor's,
Moody's or Fitch.
</Table>
42
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED) JUNE 30, 2003
<Table>
<Caption>
TRAVELERS LAZARD MFS FEDERATED DISCIPLINED
QUALITY INTERNATIONAL EMERGING HIGH FEDERATED MID CAP
BOND STOCK GROWTH YIELD STOCK STOCK
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- ---------------------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments, at cost............ $220,439,687 $ 98,255,197 $ 137,249,758 $ 63,350,760 $28,890,867 $119,979,732
Loaned securities collateral, at
cost (Note 8)................. -- 14,563,828 -- -- -- --
Foreign currency, at cost....... -- 1,218,685 -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Investments, at value........... $223,363,586 $101,305,884 $ 156,254,277 $ 63,624,095 $28,865,957 $127,041,783
Loaned securities collateral, at
value (Note 8)................ -- 14,563,828 -- -- -- --
Foreign currency, at value...... -- 1,212,788 -- -- -- --
Cash............................ 445 383 527 648 892 213
Dividends and interest
receivable.................... 2,601,537 340,867 38,972 1,257,159 34,621 71,735
Receivable for securities
sold.......................... -- 522,185 2,479,426 105,998 68,629 --
Receivable for Fund shares
sold.......................... -- -- -- 34,732 787 1,917
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL ASSETS.................... 225,965,568 117,945,935 158,773,202 65,022,632 28,970,886 127,115,648
- ---------------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable for securities
purchased..................... 4,200,780 657,190 979,511 1,099,475 427,282 --
Payable for Fund shares
purchased..................... 1,338,273 512,031 1,003,589 -- 13,166 61,480
Investment advisory fees
payable....................... 59,835 71,641 86,411 33,422 14,826 73,488
Administration fees payable..... 10,746 5,194 19,285 3,085 1,429 6,308
Payable for loaned securities
collateral (Note 8)........... -- 14,563,828 -- -- -- --
Payable for open forward foreign
currency contracts (Note 6)... -- 3,207 -- -- -- --
Accrued expenses................ 38,256 69,602 59,967 15,933 14,535 42,499
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES............... 5,647,890 15,882,693 2,148,763 1,151,915 471,238 183,775
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL NET ASSETS.................. $220,317,678 $102,063,242 $ 156,624,439 $ 63,870,717 $28,499,648 $126,931,873
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
Paid-in capital................. $210,556,971 $147,185,285 $ 353,228,228 $ 75,035,490 $30,836,999 $133,629,794
Undistributed net investment
income........................ 4,526,757 1,577,188 -- 2,310,836 214,308 215,996
Accumulated net investment
loss.......................... -- -- (192,430) -- -- --
Accumulated net realized gain
(loss) from investment
transactions and futures
contracts..................... 2,310,051 (49,743,001) (215,416,081) (13,748,944) (2,526,749) (13,975,968)
Net unrealized appreciation
(depreciation) of investments
and
foreign currencies............ 2,923,899 3,043,770 19,004,722 273,335 (24,910) 7,062,051
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL NET ASSETS.................. $220,317,678 $102,063,242 $ 156,624,439 $ 63,870,717 $28,499,648 $126,931,873
- ---------------------------------------------------------------------------------------------------------------------------------
SHARES OUTSTANDING................ 18,819,499 11,912,869 18,672,791 7,660,289 2,142,044 8,651,834
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, PER SHARE........ $11.71 $8.57 $8.39 $8.34 $13.30 $14.67
- ---------------------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
43
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS (UNAUDITED) FOR THE SIX MONTHS ENDED JUNE 30, 2003
<Table>
<Caption>
TRAVELERS LAZARD MFS FEDERATED DISCIPLINED
QUALITY INTERNATIONAL EMERGING HIGH FEDERATED MID CAP
BOND STOCK GROWTH YIELD STOCK STOCK
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- ---------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest........................... $ 5,230,159 $ 69,523 $ 36,013 $ 2,488,272 $ 7,763 $ 26,390
Dividends.......................... -- 2,175,857 445,661 35,064 324,027 646,649
Less: Foreign withholding tax...... -- (232,633) (10,195) -- (1,689) --
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME............ 5,230,159 2,012,747 471,479 2,523,336 330,101 673,039
- ---------------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Investment advisory fees (Note
2)............................... 344,508 395,721 541,236 156,835 81,895 400,708
Administration fees (Note 2)....... 63,936 28,780 43,299 36,613 7,862 34,346
Shareholder communications......... 29,882 9,044 9,477 2,709 3,173 9,831
Audit and legal.................... 12,876 15,981 16,938 18,411 10,911 13,963
Custody............................ 8,167 41,932 41,076 23,000 6,992 7,212
Shareholder servicing fees......... 2,477 2,469 2,354 2,458 2,480 2,466
Trustees' fees..................... 2,025 3,088 2,207 1,984 1,984 3,133
Registration fees.................. -- 35 -- -- -- --
Other.............................. 1,555 453 6,276 496 496 382
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL EXPENSES..................... 465,426 497,503 662,863 242,506 115,793 472,041
- ---------------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME (LOSS)....... 4,764,733 1,515,244 (191,384) 2,280,830 214,308 200,998
- ---------------------------------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS, FUTURES CONTRACTS AND
FOREIGN CURRENCIES
(NOTES 3 AND 6):
Realized Gain (Loss) From:
Investment transactions.......... 1,835,633 (5,543,965) (4,694,074) (1,016,690) (443,821) (2,982,878)
Futures contracts................ -- -- -- -- -- 51,898
Foreign currency transactions.... -- 60,102 457 -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
NET REALIZED GAIN (LOSS)........... 1,835,633 (5,483,863) (4,693,617) (1,016,690) (443,821) (2,930,980)
- ---------------------------------------------------------------------------------------------------------------------------------
Change in Net Unrealized
Appreciation (Depreciation) From:
Investments...................... 6,188,384 12,139,524 26,524,497 5,680,325 2,848,447 16,191,227
Foreign currencies............... -- (37,347) (33) -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
CHANGE IN NET UNREALIZED
APPRECIATION (DEPRECIATION)...... 6,188,384 12,102,177 26,524,464 5,680,325 2,848,447 16,191,227
- ---------------------------------------------------------------------------------------------------------------------------------
NET GAIN ON INVESTMENTS, FUTURES
CONTRACTS AND
FOREIGN CURRENCIES................. 8,024,017 6,618,314 21,830,847 4,663,635 2,404,626 13,260,247
- ---------------------------------------------------------------------------------------------------------------------------------
INCREASE IN NET ASSETS FROM
OPERATIONS......................... $12,788,750 $ 8,133,558 $ 21,639,463 $ 6,944,465 $ 2,618,934 $ 13,461,245
- ---------------------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
44
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED) FOR THE SIX MONTHS ENDED JUNE
30, 2003
<Table>
<Caption>
TRAVELERS LAZARD MFS FEDERATED DISCIPLINED
QUALITY INTERNATIONAL EMERGING HIGH FEDERATED MID CAP
BOND STOCK GROWTH YIELD STOCK STOCK
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- ---------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net investment income (loss)..... $ 4,764,733 $ 1,515,244 $ (191,384) $ 2,280,830 $ 214,308 $ 200,998
Net realized gain (loss)......... 1,835,633 (5,483,863) (4,693,617) (1,016,690) (443,821) (2,930,980)
Change in net unrealized
appreciation (depreciation).... 6,188,384 12,102,177 26,524,464 5,680,325 2,848,447 16,191,227
- ---------------------------------------------------------------------------------------------------------------------------------
INCREASE IN NET ASSETS FROM
OPERATIONS..................... 12,788,750 8,133,558 21,639,463 6,944,465 2,618,934 13,461,245
- ---------------------------------------------------------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS (NOTE 9):
Net proceeds from sale of
shares......................... 30,733,002 75,592,974 2,824,372 32,326,534 767,205 10,303,365
Cost of shares reacquired........ (29,072,604) (79,135,875) (11,911,661) (23,197,232) (1,936,642) (7,933,942)
- ---------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
FROM
FUND SHARE TRANSACTIONS........ 1,660,398 (3,542,901) (9,087,289) 9,129,302 (1,169,437) 2,369,423
- ---------------------------------------------------------------------------------------------------------------------------------
INCREASE IN NET ASSETS............. 14,449,148 4,590,657 12,552,174 16,073,767 1,449,497 15,830,668
NET ASSETS:
Beginning of period.............. 205,868,530 97,472,585 144,072,265 47,796,950 27,050,151 111,101,205
- ---------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD*................... $220,317,678 $102,063,242 $156,624,439 $ 63,870,717 $28,499,648 $126,931,873
- ---------------------------------------------------------------------------------------------------------------------------------
*Note:
Includes undistributed net
investment income of:.......... $4,526,757 $1,577,188 -- $2,310,836 $214,308 $215,996
- ---------------------------------------------------------------------------------------------------------------------------------
Includes accumulated net
investment loss of:............ -- -- $(192,430) -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
45
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) FOR THE YEAR ENDED DECEMBER
31, 2002
<Table>
<Caption>
TRAVELERS LAZARD MFS FEDERATED DISCIPLINED
QUALITY INTERNATIONAL EMERGING HIGH FEDERATED MID CAP
BOND STOCK GROWTH YIELD STOCK STOCK
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- ---------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net investment income (loss)... $ 8,078,244 $ 1,465,505 $ (604,238) $ 3,812,819 $ 393,778 $ 266,823
Net realized gain (loss)....... 3,722,973 (18,276,682) (75,179,979) (5,245,997) (1,290,074) (9,361,311)
Change in net unrealized
appreciation
(depreciation)............... (642,907) 5,022,074 (8,789,751) 3,056,684 (6,011,824) (10,533,043)
- ---------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS....... 11,158,310 (11,789,103) (84,573,968) 1,623,506 (6,908,120) (19,627,531)
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net investment income.......... (14,569,091) (2,266,863) -- (7,888,998) (832,675) (660,997)
Net realized gains............. (2,872,440) -- -- -- -- (125,180)
- ---------------------------------------------------------------------------------------------------------------------------------
DECREASE IN NET ASSETS FROM
DISTRIBUTIONS TO
SHAREHOLDERS................. (17,441,531) (2,266,863) -- (7,888,998) (832,675) (786,177)
- ---------------------------------------------------------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS (NOTE 9):
Net proceeds from sale of
shares....................... 95,124,858 506,647,467 9,100,113 18,111,636 5,094,575 33,422,635
Net asset value of shares
issued for reinvestment of
dividends.................... 17,441,531 2,266,863 -- 7,888,998 832,675 786,177
Cost of shares reacquired...... (52,329,902) (517,627,040) (38,067,740) (11,459,844) (15,380,343) (16,041,994)
- ---------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET
ASSETS FROM
FUND SHARE TRANSACTIONS...... 60,236,487 (8,712,710) (28,967,627) 14,540,790 (9,453,093) 18,166,818
- ---------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET
ASSETS......................... 53,953,266 (22,768,676) (113,541,595) 8,275,298 (17,193,888) (2,246,890)
NET ASSETS:
Beginning of year.............. 151,915,264 120,241,261 257,613,860 39,521,652 44,244,039 113,348,095
- ---------------------------------------------------------------------------------------------------------------------------------
END OF YEAR*................... $205,868,530 $ 97,472,585 $ 144,072,265 $ 47,796,950 $ 27,050,151 $111,101,205
- ---------------------------------------------------------------------------------------------------------------------------------
*Note:
Includes undistributed
(overdistributed) net
investment income of:........ $(237,976) $1,842 -- $30,006 -- $14,998
- ---------------------------------------------------------------------------------------------------------------------------------
Includes accumulated net
investment loss of:.......... -- -- $(1,503) -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
46
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1. SIGNIFICANT ACCOUNTING POLICIES
The Travelers Quality Bond, Lazard International Stock, MFS Emerging
Growth, Federated High Yield, Federated Stock and Disciplined Mid Cap Stock
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 ten other separate
investment funds: U.S. Government Securities, Social Awareness Stock, Pioneer
Fund, formerly known as Utilities, Large Cap, Equity Income, Convertible
Securities, MFS Research, MFS Mid Cap Growth, Zero Coupon Bond Fund Series 2005
and MFS Value Portfolios. Shares 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 financial statements and financial highlights for the other funds are
presented in separate shareholder reports.
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 last reported
bid and asked prices or on the basis of quotations received from unaffiliated
reputable brokers or other recognized sources; 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 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 traded in the over-the-counter market are valued
on the basis of the bid price at the close of business on each day; U.S.
government agencies and obligations are valued at the mean between the last
reported bid and asked prices; (c) securities for which market quotations are
not available will be valued in good faith at fair value by or under the
direction of the Board of Trustees; (d) securities maturing within 60 days are
valued at cost plus accreted discount or minus amortized premium, which
approximates value; (e) securities 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; (f) 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 a Fund determines the existence
of a dividend declaration after exercising reasonable due diligence; (g) gains
or losses on the sale of securities are calculated by using the specific
identification method; (h) dividends and distributions to shareholders are
recorded on the ex-dividend date; the Funds distribute dividends and capital
gains, if any, at least annually; (i) 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; (j) each Fund intends 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;
(k) the character of income and capital gains to be distributed is determined in
accordance with income tax regulations which may differ from accounting
principles generally accepted in the United States of America; and (l) 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.
The Federated High Yield Portfolio invests in high yield instruments that
are subject to certain credit and market risks. The yields of high yield debt
obligations reflect, among other things, perceived credit risk. The Federated
High Yield Portfolio's investment in securities rated below investment grade
typically involve risks not associated with higher rated securities including,
among others, greater risk of timely and ultimate payment of interest and
principal, greater market price volatility and less liquid secondary market
trading.
47
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
In addition, the Lazard International Stock and MFS Emerging Growth
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
market 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 Travelers Quality Bond ("TQB"), Lazard International Stock
("LIS"), MFS Emerging Growth ("MEG"), Federated High Yield ("FHY"), Federated
Stock ("FSP") and Disciplined Mid Cap Stock ("DMCS") Portfolios. TQB, LIS, MEG,
FHY, FSP and DMCS each pay TAMIC an investment advisory fee calculated at the
annual rate of 0.3233%, 0.825%, 0.75%, 0.65%, 0.625% and 0.70%, respectively, of
the average daily net assets. These fees are calculated daily and paid monthly.
TAMIC has entered into sub-advisory agreements with Lazard Freres Asset
Management ("Lazard"), Massachusetts Financial Services ("MFS"), Federated
Investment Management Company ("Federated") and Travelers Investment Management
Co., Inc. ("TIMCO"), another indirect wholly-owned subsidiary of Citigroup.
Pursuant to each sub-advisory agreement, Lazard, MFS and TIMCO are responsible
for the day-to-day fund operations and investment decisions for LIS, MEG and
DMCS, respectively. Federated is responsible for the day-to-day fund operations
and investment decisions for FHY and FSP. As a result, the following fees are
paid and calculated at an annual rate:
- TAMIC pays Lazard 0.475% of LIS's average daily net assets.
- TAMIC pays MFS 0.375% of MEG's average daily net assets.
- TAMIC pays Federated 0.40% and 0.375% of the average daily net
assets of FHY and FSP, respectively.
- TAMIC pays TIMCO 0.35% of DMCS's average daily net assets.
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 their average
daily net assets. 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
- -----------------------------------------------------------------------------------------
Travelers Quality Bond Portfolio............................ $250,936,486 $238,528,765
Lazard International Stock Portfolio........................ 20,147,245 21,307,253
MFS Emerging Growth Portfolio............................... 59,658,038 69,696,740
Federated High Yield Portfolio.............................. 26,124,119 14,759,849
Federated Stock Portfolio................................... 6,540,352 7,106,283
Disciplined Mid Cap Stock Portfolio......................... 46,951,204 41,693,214
- -----------------------------------------------------------------------------------------
</Table>
48
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
At June 30, 2003, the aggregate gross unrealized appreciation and
depreciation of investments for Federal income tax purposes were substantially
as follows:
<Table>
<Caption>
GROSS GROSS NET UNREALIZED
UNREALIZED UNREALIZED APPRECIATION
APPRECIATION DEPRECIATION (DEPRECIATION)
- ----------------------------------------------------------------------------------------------------------
Travelers Quality Bond Portfolio............................ $ 6,286,368 $(3,362,469) $ 2,923,899
Lazard International Stock Portfolio........................ 8,802,407 (5,751,720) 3,050,687
MFS Emerging Growth Portfolio............................... 21,380,061 (2,375,542) 19,004,519
Federated High Yield Portfolio.............................. 4,294,990 (4,021,655) 273,335
Federated Stock Portfolio................................... 3,606,771 (3,631,681) (24,910)
Disciplined Mid Cap Stock Portfolio......................... 17,549,751 (10,487,700) 7,062,051
- ----------------------------------------------------------------------------------------------------------
</Table>
4. REPURCHASE AGREEMENTS
The Funds purchase (and the custodians take 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, MEG did not have any repurchase agreements outstanding.
5. FUTURES CONTRACTS
LIS, MEG and DMCS may from time to time enter into futures contracts.
Securities or cash equal to the initial margin amount are either deposited with
the broker or segregated by the custodian upon entering into the futures
contract. Additional securities are also segregated up to the current market
value of the futures contracts. During the period the futures contract is open,
changes in the value of the contract are recognized as unrealized gains or
losses by "marking-to-market" on a daily basis to reflect the market value of
the contract at the end of each day's trading. Variation margin payments are
received or made and recognized as assets due from or liabilities due to broker,
depending upon whether unrealized gains or losses are incurred. When the
contract is closed, the Funds record a realized gain or loss equal to the
difference between the proceeds from (or cost of) the closing transactions and
the Funds' basis in the contract.
The Funds enter into such contracts typically to hedge a portion of their
portfolios. The Funds bear the market risk that arises from changes in the value
of the financial instruments and securities indices.
At June 30, 2003, the Funds did not have any open futures contracts.
6. FORWARD FOREIGN CURRENCY CONTRACTS
LIS and MEG may from time to time 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 Funds bear
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.
At June 30, 2003, LIS had open forward foreign currency contracts as
described below. The unrealized loss on the contracts reflected in the
accompanying financial statements were as follows:
LAZARD INTERNATIONAL STOCK PORTFOLIO
<Table>
<Caption>
LOCAL MARKET SETTLEMENT UNREALIZED
FOREIGN CURRENCY CURRENCY VALUE DATE LOSS
- ------------------------------------------------------------------------------------------------------------
CONTRACTS TO BUY:
Euro........................................................ 159,494 $183,458 7/1/03 $ (200)
- ------------------------------------------------------------------------------------------------------------
</Table>
49
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
LAZARD INTERNATIONAL STOCK PORTFOLIO (CONTINUED)
<Table>
<Caption>
LOCAL MARKET SETTLEMENT UNREALIZED
FOREIGN CURRENCY CURRENCY VALUE DATE LOSS
- ------------------------------------------------------------------------------------------------------------
CONTRACTS TO SELL:
Euro........................................................ 134,291 $154,469 7/1/03 $(2,934)
Japanese Yen................................................ 820,800 6,848 7/1/03 (73)
- ------------------------------------------------------------------------------------------------------------
(3,007)
- ------------------------------------------------------------------------------------------------------------
Net Unrealized Loss on Open Forward Foreign
Currency Contracts........................................ $(3,207)
- ------------------------------------------------------------------------------------------------------------
</Table>
At June 30, 2003, MEG did not have any open forward foreign currency
contracts.
7. FOREIGN SECURITIES
Investing in securities of foreign companies and foreign governments
involves additional risks and considerations not typically associated with
investing in U.S. companies and the U.S. government. These risks include
revaluation of currencies and future adverse political and economic
developments. Moreover, securities of many foreign companies and foreign
governments and their markets may be less liquid and their prices more volatile
than those of securities of comparable U.S. companies and the U.S. government.
8. LENDING OF PORTFOLIO SECURITIES
The Funds have an agreement with their custodian whereby the custodian may
lend securities owned by a Fund to brokers, dealers and other financial
organizations. Fees earned by the Funds on securities lending are recorded as
interest income. Loans of securities by the Funds are collateralized by cash,
U.S. government securities or high quality money market instruments that are
maintained at all times in an amount at least equal to the current market value
of the loaned securities, plus a margin which may vary depending on the type of
securities loaned. The custodian establishes and maintains the collateral in a
segregated account. The Funds maintain exposure for the risk of any losses in
the investments of amounts received as collateral.
At June 30, 2003, LIS loaned securities having a market value of
$13,841,973. LIS received cash collateral amounting to $14,563,828 which was
invested in the State Street Navigator Securities Lending Trust Prime Portfolio.
Income earned by LIS from securities lending for the six months ended June
30, 2003 was $52,696.
9. 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 MONTHS ENDED YEAR ENDED
JUNE 30, 2003 DECEMBER 31, 2002
- ------------------------------------------------------------------------------------------------------
TRAVELERS QUALITY BOND PORTFOLIO
Shares sold................................................. 2,721,694 8,361,815
Shares issued on reinvestment............................... -- 1,568,847
Shares reacquired........................................... (2,568,228) (4,599,695)
- ------------------------------------------------------------------------------------------------------
Net Increase................................................ 153,466 5,330,967
- ------------------------------------------------------------------------------------------------------
LAZARD INTERNATIONAL STOCK PORTFOLIO
Shares sold................................................. 9,780,099 56,655,129
Shares issued on reinvestment............................... -- 282,266
Shares reacquired........................................... (10,194,754) (57,538,184)
- ------------------------------------------------------------------------------------------------------
Net Decrease................................................ (414,655) (600,789)
- ------------------------------------------------------------------------------------------------------
</Table>
50
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
<Table>
<Caption>
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2003 DECEMBER 31, 2002
- ------------------------------------------------------------------------------------------------------
MFS EMERGING GROWTH PORTFOLIO
Shares sold................................................. 367,544 1,009,475
Shares reacquired........................................... (1,592,205) (4,521,297)
- ------------------------------------------------------------------------------------------------------
Net Decrease................................................ (1,224,661) (3,511,822)
- ------------------------------------------------------------------------------------------------------
FEDERATED HIGH YIELD PORTFOLIO
Shares sold................................................. 4,150,364 2,215,620
Shares issued on reinvestment............................... -- 1,051,969
Shares reacquired........................................... (2,978,434) (1,401,244)
- ------------------------------------------------------------------------------------------------------
Net Increase................................................ 1,171,930 1,866,345
- ------------------------------------------------------------------------------------------------------
FEDERATED STOCK PORTFOLIO
Shares sold................................................. 62,095 351,152
Shares issued on reinvestment............................... -- 66,878
Shares reacquired........................................... (162,639) (1,047,691)
- ------------------------------------------------------------------------------------------------------
Net Decrease................................................ (100,544) (629,661)
- ------------------------------------------------------------------------------------------------------
DISCIPLINED MID CAP STOCK PORTFOLIO
Shares sold................................................. 776,864 2,217,193
Shares issued on reinvestment............................... -- 58,969
Shares reacquired........................................... (600,333) (1,155,780)
- ------------------------------------------------------------------------------------------------------
Net Increase................................................ 176,531 1,120,382
- ------------------------------------------------------------------------------------------------------
</Table>
51
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
For a share of beneficial interest outstanding throughout each year ended
December 31, unless otherwise noted:
<Table>
<Caption>
TRAVELERS QUALITY BOND PORTFOLIO 2003(1)(2) 2002(2) 2001(2) 2000(2) 1999(2) 1998
- --------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD........ $11.03 $11.39 $11.00 $10.82 $10.76 $10.36
- --------------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income(3).................. 0.25 0.51 0.59 0.73 0.64 0.37
Net realized and unrealized gain
(loss)(3).............................. 0.43 0.14 0.20 0.00* (0.51) 0.51
- --------------------------------------------------------------------------------------------------------------------
Total Income From Operations................ 0.68 0.65 0.79 0.73 0.13 0.88
- --------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income..................... -- (0.85) (0.40) (0.55) (0.00)* (0.37)
Net realized gains........................ -- (0.16) -- -- (0.07) (0.11)
- --------------------------------------------------------------------------------------------------------------------
Total Distributions......................... -- (1.01) (0.40) (0.55) (0.07) (0.48)
- --------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD.............. $11.71 $11.03 $11.39 $11.00 $10.82 $10.76
- --------------------------------------------------------------------------------------------------------------------
TOTAL RETURN................................ 6.16%++ 5.81% 7.13% 6.97% 1.09% 8.49%
- --------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (MILLIONS)........ $220 $206 $152 $73 $59 $36
- --------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses(4)............................... 0.44%+ 0.44% 0.45% 0.49% 0.54% 0.63%
Net investment income(3).................. 4.47+ 4.48 5.14 6.81 5.86 5.51
- --------------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE..................... 120% 176% 225% 157% 357% 364%
- --------------------------------------------------------------------------------------------------------------------
</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) 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, those amounts would have been $0.61, $0.18 and 5.31% for net
investment income, net realized and unrealized gain and the ratio of net
investment income to average net assets, respectively. 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.
(4) As a result of a voluntary expense limitation, the ratio of expenses to
average net assets will not exceed 0.75%.
* 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.
52
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (CONTINUED)
For a share of beneficial interest outstanding throughout each year ended
December 31, unless otherwise noted:
<Table>
<Caption>
LAZARD INTERNATIONAL STOCK PORTFOLIO 2003(1)(2) 2002(2) 2001(2) 2000(2) 1999(2) 1998(2)
- ----------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD........ $7.91 $9.30 $13.15 $15.65 $12.88 $11.57
- ----------------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income..................... 0.12 0.11 0.11 0.13 0.17 0.10
Net realized and unrealized gain (loss)... 0.54 (1.31) (3.50) (1.88) 2.63 1.37
- ----------------------------------------------------------------------------------------------------------------------
Total Income (Loss) From Operations......... 0.66 (1.20) (3.39) (1.75) 2.80 1.47
- ----------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income..................... -- (0.19) (0.02) (0.32) (0.03) (0.04)
Net realized gains........................ -- -- (0.44) (0.43) (0.00)* (0.12)
- ----------------------------------------------------------------------------------------------------------------------
Total Distributions......................... -- (0.19) (0.46) (0.75) (0.03) (0.16)
- ----------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD.............. $8.57 $7.91 $ 9.30 $13.15 $15.65 $12.88
- ----------------------------------------------------------------------------------------------------------------------
TOTAL RETURN................................ 8.34%++ (12.96)% (26.19)% (11.50)% 21.78% 12.59%
- ----------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (MILLIONS)........ $102 $97 $120 $141 $119 $53
- ----------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses(3)............................... 1.04%+ 1.06% 1.01% 1.02% 1.06% 1.25%
Net investment income..................... 3.16+ 1.32 1.01 0.92 1.25 0.78
- ----------------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE..................... 22% 55% 81% 39% 35% 44%
- ----------------------------------------------------------------------------------------------------------------------
</Table>
<Table>
<Caption>
MFS EMERGING GROWTH PORTFOLIO 2003(1) 2002(2) 2001(2) 2000(2) 1999(2) 1998(2)
- -------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD........ $7.24 $11.00 $22.60 $29.82 $16.87 $12.56
- -------------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment loss....................... (0.01) (0.03) (0.02) (0.05) (0.06) (0.07)
Net realized and unrealized gain (loss)... 1.16 (3.73) (8.20) (5.70) 13.01 4.38
- -------------------------------------------------------------------------------------------------------------------
Total Income (Loss) From Operations......... 1.15 (3.76) (8.22) (5.75) 12.95 4.31
- -------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net realized gains........................ -- -- (3.38) (1.47) -- --
- -------------------------------------------------------------------------------------------------------------------
Total Distributions......................... -- -- (3.38) (1.47) -- --
- -------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD.............. $8.39 $7.24 $11.00 $22.60 $29.82 $16.87
- -------------------------------------------------------------------------------------------------------------------
TOTAL RETURN................................ 15.88%++ (34.18)% (36.18)% (20.13)% 76.76% 34.32%
- -------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (MILLIONS)........ $157 $144 $258 $420 $413 $170
- -------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses(4)............................... 0.92%+ 0.89% 0.89% 0.90% 0.87% 0.89%
Net investment loss....................... (0.27)+ (0.32) (0.12) (0.18) (0.29) (0.47)
- -------------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE..................... 43% 114% 266% 203% 168% 77%
- -------------------------------------------------------------------------------------------------------------------
</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) As a result of a voluntary expense limitation, the ratio of expenses to
average net assets will not exceed 1.25%.
(4) As a result of a voluntary expense limitation, the ratio of expenses to
average net assets (excluding interest expense) will not exceed 0.95%.
* 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.
53
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (CONTINUED)
For a share of beneficial interest outstanding throughout each year ended
December 31, unless otherwise noted:
<Table>
<Caption>
FEDERATED HIGH YIELD PORTFOLIO 2003(1)(2) 2002(2) 2001(2) 2000 1999 1998
- -------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF
PERIOD.............................. $7.37 $8.55 $9.50 $11.44 $11.11 $11.34
- -------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income(3)............ 0.32 0.74 0.97 1.25 1.01 0.71
Net realized and unrealized gain
(loss)(3)........................ 0.65 (0.46) (0.77) (2.11) (0.67) (0.18)
- -------------------------------------------------------------------------------------------------------------
Total Income (Loss) From Operations... 0.97 0.28 0.20 (0.86) 0.34 0.53
- -------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income............... -- (1.46) (1.15) (1.08) (0.00)* (0.71)
Net realized gains.................. -- -- -- -- (0.01) (0.05)
- -------------------------------------------------------------------------------------------------------------
Total Distributions................... -- (1.46) (1.15) (1.08) (0.01) (0.76)
- -------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD........ $8.34 $7.37 $8.55 $ 9.50 $11.44 $11.11
- -------------------------------------------------------------------------------------------------------------
TOTAL RETURN.......................... 13.16%++ 3.72% 1.94% (8.15)% 3.10% 4.71%
- -------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000'S)..... $63,871 $47,797 $39,522 $38,736 $49,816 $40,989
- -------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses(4)......................... 0.89%+ 0.89% 0.89% 0.88% 0.84% 0.90%
Net investment income(3)............ 8.37+ 9.09 10.45 10.61 9.15 8.60
- -------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE............... 29% 58% 44% 19% 23% 31%
- -------------------------------------------------------------------------------------------------------------
</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) 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, those amounts would have been $0.98, $0.78 and 10.51% for net
investment income, net realized and unrealized loss and the ratio of net
investment income to average net assets, respectively. 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.
(4) As a result of a voluntary expense limitation, the ratio of expenses to
average net assets will not exceed 0.95%.
* 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.
54
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (CONTINUED)
For a share of beneficial interest outstanding throughout each year ended
December 31, unless otherwise noted:
<Table>
<Caption>
FEDERATED STOCK PORTFOLIO 2003(1)(2) 2002(2) 2001(2) 2000 1999 1998
- -------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF
PERIOD.............................. $12.06 $15.40 $15.99 $16.34 $15.66 $13.83
- -------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income............... 0.10 0.16 0.16 0.21 0.16 0.13
Net realized and unrealized gain
(loss)........................... 1.14 (3.13) 0.11 0.33 0.68 2.33
- -------------------------------------------------------------------------------------------------------------
Total Income (Loss) From Operations... 1.24 (2.97) 0.27 0.54 0.84 2.46
- -------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income............... -- (0.37) (0.20) (0.18) -- (0.13)
Net realized gains.................. -- -- (0.66) (0.71) (0.16) (0.50)
- -------------------------------------------------------------------------------------------------------------
Total Distributions................... -- (0.37) (0.86) (0.89) (0.16) (0.63)
- -------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD........ $13.30 $12.06 $15.40 $15.99 $16.34 $15.66
- -------------------------------------------------------------------------------------------------------------
TOTAL RETURN.......................... 10.28%++ (19.32)% 1.67% 3.77% 5.34% 17.84%
- -------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000'S)..... $28,500 $27,050 $44,244 $44,813 $49,612 $35,420
- -------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses(3)......................... 0.88%+ 0.84% 0.81% 0.82% 0.82% 0.91%
Net investment income............... 1.63+ 1.14 0.99 1.23 1.14 1.14
- -------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE............... 25% 13% 14% 24% 23% 31%
- -------------------------------------------------------------------------------------------------------------
</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) As a result of a voluntary expense limitation, the ratio of expenses to
average net assets will not exceed 0.95%.
++ Total return is not annualized, as it may not be representative of the
total return for the year.
+ Annualized.
55
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (CONTINUED)
For a share of beneficial interest outstanding throughout each year ended
December 31, unless otherwise noted:
<Table>
<Caption>
DISCIPLINED MID CAP STOCK PORTFOLIO 2003(1) 2002 2001(2) 2000(2) 1999(2) 1998
- -----------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF
PERIOD............................. $13.11 $15.41 $17.26 $15.61 $14.34 $12.47
- -----------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income(3)........... 0.02 0.03 0.06 0.08 0.02 0.04
Net realized and unrealized gain
(loss).......................... 1.54 (2.23) (0.78) 2.46 1.84 2.05
- -----------------------------------------------------------------------------------------------------------
Total Income (Loss) From
Operations......................... 1.56 (2.20) (0.72) 2.54 1.86 2.09
- -----------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income.............. -- (0.08) (0.04) (0.03) (0.02) --
Net realized gains................. -- (0.02) (1.09) (0.86) (0.57) (0.22)
- -----------------------------------------------------------------------------------------------------------
Total Distributions.................. -- (0.10) (1.13) (0.89) (0.59) (0.22)
- -----------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD....... $14.67 $13.11 $15.41 $17.26 $15.61 $14.34
- -----------------------------------------------------------------------------------------------------------
TOTAL RETURN(4)...................... 11.90%++ (14.32)% (4.02)% 16.61% 13.47% 16.91%
- -----------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000'S).... $126,932 $111,101 $113,348 $95,216 $45,068 $19,460
- -----------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses(3)(5)..................... 0.82%+ 0.85% 0.83% 0.88% 0.95% 0.95%
Net investment income.............. 0.35+ 0.23 0.37 0.49 0.28 0.48
- -----------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE.............. 37% 67% 40% 67% 71% 109%
- -----------------------------------------------------------------------------------------------------------
</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) The Travelers Insurance Company has waived all or a portion of its fees for
the years ended December 31, 1999 and 1998. In addition, The Travelers
Insurance Company has reimbursed the Fund for $13,500 and $29,138 of the
Fund's expenses for the years ended December 31, 1999 and 1998,
respectively. If such fees were not waived or expenses not reimbursed, the
per share decreases to net investment income and the actual expense ratios
would have been as follows:
<Table>
<Caption>
PER SHARE DECREASES EXPENSE RATIOS WITHOUT
TO NET INVESTMENT INCOME FEE WAIVERS AND REIMBURSEMENTS
------------------------ ------------------------------
1999 $0.01 0.99%
1998 0.02 1.22
</Table>
(4) 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.
(5) As a result of a voluntary expense limitation, the ratio of expenses to
average net assets will not exceed 0.95%.
++ Total return is not annualized, as it may not be representative of the
total return for the year.
+ Annualized.
56
THE TRAVELERS SERIES TRUST
- --------------------------------------------------------------------------------
<Table>
TRUSTEES INVESTMENT ADVISER
R. Jay Gerken, CFA Travelers Asset Management International Company LLC
Chairman
Frances M. Hawk, CFA, CPA ADMINISTRATOR
Lewis Mandell The Travelers Insurance Company
Robert E. McGill
CUSTODIAN
OFFICERS
State Street Bank and Trust Company
R. Jay Gerken, CFA
President and TRANSFER AGENT
Chief Executive Officer
Citicorp Trust Bank, fsb.
Lewis E. Daidone
Senior Vice President and
Chief Administrative
Officer
Richard L. Peteka
Chief Financial Officer
and Treasurer
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: Travelers Quality Bond,
Lazard International Stock, MFS Emerging Growth, Federated High Yield, Federated
Stock and Disciplined Mid Cap Stock 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 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 29, 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 29, 2003
By: /s/ Richard L. Peteka
(Richard L. Peteka)
Chief Financial Officer of
The Travelers Series Trust
Date: August 29, 2003