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 811-6310
GREENWICH STREET SERIES FUND
(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)-725-6666
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.
[INSERT SHAREHOLDER REPORT]
Greenwich Street Series Fund Semi-Annual Report
Equity Index Portfolio
Diversified Strategic Income Portfolio
Salomon Brothers Variable All Cap Value Fund
Salomon Brothers Variable Money Market Fund
Salomon Brothers Variable Emerging Growth Fund
Salomon Brothers Variable International Equity Fund
Salomon Brothers Variable Growth & Income Fund
June 30, 2003
SEMI-ANNUAL REPORT FOR GREENWICH STREET SERIES FUND
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WHAT'S INSIDE
<Table>
Letter from the Chairman.................................... 1
Schedules of Investments:
Salomon Brothers Variable Money Market Fund.......... 2
Diversified Strategic Income Portfolio............... 3
Salomon Brothers Variable All Cap Value Fund......... 17
Equity Index Portfolio............................... 21
Salomon Brothers Variable Growth & Income Fund....... 35
Salomon Brothers Variable Emerging Growth Fund....... 40
Salomon Brothers Variable International Equity
Fund................................................ 42
Statements of Assets and Liabilities........................ 46
Statements of Operations.................................... 48
Statements of Changes in Net Assets......................... 50
Notes to Financial Statements............................... 54
Financial Highlights........................................ 63
</Table>
SEMI-ANNUAL REPORT FOR GREENWICH STREET SERIES FUND
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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
SALOMON BROTHERS VARIABLE MONEY MARKET FUND
<Table>
<Caption>
FACE ANNUALIZED
AMOUNT SECURITY YIELD VALUE
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U.S. GOVERNMENT AGENCIES AND INSTRUMENTALITIES -- 95.7%
$210,000 Federal Farm Credit Bank mature 7/1/03 to 7/8/03............ 0.94% to 0.95% $ 209,981
200,000 Federal Home Loan Bank mature 7/2/03 to 7/7/03.............. 1.00 199,981
269,000 Federal Home Loan Mortgage Corp. mature 7/3/03 to 7/11/03... 1.00 to 1.05 268,954
200,000 Federal National Mortgage Association mature 7/9/03 to
7/16/03................................................... 0.90 to 0.96 199,940
150,000 United States Treasury Bill matures 1/3/03.................. 0.83 149,993
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TOTAL U.S. GOVERNMENT AGENCIES AND INSTRUMENTALITIES
(Cost -- $1,028,849)........................................ 1,028,849
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REPURCHASE AGREEMENT -- 4.3%
46,000 Merrill Lynch & Co., Inc., 1.050% due 7/1/03; Proceeds at
maturity -- $46,001; (Fully collateralized by various U.S.
government
and agency obligations, 3.500% to 11.250% due 11/15/04 to
2/15/26;
Market value -- $46,920) (Cost -- $46,000)................ 46,000
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TOTAL INVESTMENTS -- 100.0%
(Cost -- $1,074,849*)....................................... $1,074,849
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</Table>
* Aggregate cost for Federal income tax purposes is substantially the same.
SEE NOTES TO FINANCIAL STATEMENTS.
2
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<Table>
<Caption>
FACE
AMOUNT SECURITY VALUE
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U.S. GOVERNMENT SECTOR -- 43.8%
Federal Home Loan Bank:
$ 3,000,000 3.375% due 5/14/04 (a).................................... $ 3,058,350
1,052,793 6.500% due 9/1/31 (a)..................................... 1,095,882
Federal Home Loan Mortgage Corp. (FHLMC):
341,495 7.000% due 2/1/15 through 5/1/16.......................... 362,846
2,000,000 5.000% due 7/1/33 (b)..................................... 2,032,500
2,000,000 5.500% due 7/1/33 (b)+.................................... 2,063,750
2,500,000 6.500% due 7/1/33 (b)+.................................... 2,602,345
Federal National Mortgage Association (FNMA):
437,189 5.500% due 12/1/16........................................ 454,348
228,586 7.500% due 2/1/30 through 7/1/31.......................... 242,954
3,665,345 6.500% due 3/1/16 through 3/1/32 (a)...................... 3,834,856
5,150,295 6.000% due 8/1/16 through 4/1/32 (a)...................... 5,360,745
2,548,368 7.000% due 5/1/30 through 4/1/32 (a)...................... 2,684,495
2,000,000 6.000% due 7/1/33 (b)+.................................... 2,078,750
6,000,000 5.500% due 7/1/33 through 8/1/33 (b)+..................... 6,196,250
Government National Mortgage Association (GNMA):
1,506,204 6.500% due 9/15/28 through 2/15/31........................ 1,583,987
413,304 7.000% due 6/15/28 through 2/15/31........................ 436,988
U.S. Treasury Notes:
1,100,000 5.875% due 11/5/04 (a)++.................................. 1,171,028
3,000,000 3.250% due 8/15/07 (a).................................... 3,131,838
500,000 4.375% due 8/15/12 (a).................................... 536,270
5,000,000 3.875% due 2/15/13 (a).................................... 5,146,680
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TOTAL U.S. GOVERNMENT SECTOR (Cost -- $42,980,456).......... 44,074,862
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<Caption>
FACE
AMOUNT RATING(C) SECURITY VALUE
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ASSET-BACKED SECURITIES -- 1.4%
500,000 A CS First Boston Mortgage Securities Corp., Series 2001-HE12,
Class M2, 2.255% due 9/25/31.............................. 496,590
172,702 BBB+ First Consumers Master Trust, Series 2001-A, Class A, 1.490%
due 9/15/08............................................... 164,791
Metris Master Trust:
198,000 BBB+ Series 2001-2, Class B, 2.184% due 11/20/09............... 159,555
Series 2001-3:
185,000 BBB+ Class B, 2.004% due 7/21/08............................. 171,652
205,000 BB Class C, 2.804% due 7/21/08 (d)......................... 172,200
229,610 BBB Sail Net Interest Margin Notes, Series 2003-3, Class A,
7.750% due 4/27/33 (d).................................... 228,462
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TOTAL ASSET-BACKED SECURITIES (Cost -- $1,365,866).......... 1,393,250
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COLLATERALIZED MORTGAGE OBLIGATION (CMO) -- 0.5%
451,920 AAA Commercial Mortgage Pass-Through Certificates, Series
2001-J2A, Class A1, 5.447% due 7/16/34 (d)
(Cost -- $469,875)........................................ 484,179
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</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
3
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<Table>
<Caption>
FACE
AMOUNT RATING(C) SECURITY VALUE
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HIGH-YIELD SECTOR -- 30.2%
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CORPORATE BONDS AND NOTES -- 28.9%
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AIRLINES -- 0.3%
$ 80,000 C* Air Canada, Sr. Notes, 10.250% due 3/15/11 (e).............. $ 36,400
Continental Airlines Inc., Pass-Through Certificates:
100,000 B+ Class D, 7.568% due 12/1/06............................... 75,391
27,673 BB Series 00-2, Class C, 8.312% due 10/2/12.................. 21,442
70,000 BB- Series 99-2, Class C-2, 7.434% due 3/15/06................ 61,806
85,000 B3* Dunlop Standard Aerospace Holdings, Sr. Notes, 11.875% due
5/15/09................................................... 91,800
United Air Lines, Inc., Pass-Through Certificates:
23,260 B- Series 00-1, Class B, 8.030% due 7/1/11 (e)............... 5,824
49,094 Ba3* Series 00-2, Class B, 7.811% due 10/1/09 (e).............. 12,723
45,000 B- Series 01-1, Class C, 6.831% due 9/1/08 (e)............... 6,794
40,903 A+ US Airways, Inc., Pass-Through Trust, Secured Notes, 8.360%
due 7/20/20 (f)........................................... 39,345
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351,525
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AUTOMOTIVE -- 0.3%
25,000 Ba2* Arvin Capital Trust I, Jr. Sub. Notes, 9.500% due 2/1/27.... 26,062
115,000 BBB- Avis Group Holdings, Inc., Sr. Sub. Notes, 11.000% due
5/1/09.................................................... 129,375
Dana Corp.:
35,000 BB 10.125% due 3/15/10....................................... 38,762
75,000 BB 9.000% due 8/15/11........................................ 81,563
20,000 B- Eagle Picher Industries, 9.375% due 3/1/08.................. 18,800
50,000 Baa1* Ford Motor Co., 7.450% due 7/16/31.......................... 45,930
5,000 CCC LDM Technologies Inc., Sr. Sub. Notes, 10.750% due
1/15/07................................................... 5,213
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345,705
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CABLE AND OTHER MEDIA -- 3.4%
350,000 BBB+ AOL Time Warner Inc., 7.625% due 4/15/31.................... 405,454
220,000 BBB AT&T Broadband Corp., 8.375% due 3/15/13.................... 276,108
Charter Communications Holdings, LLC:
Sr. Discount Notes:
430,000 CCC- Step bond to yield 11.703% due 1/15/10................. 255,850
125,000 CCC- Step bond to yield 11.043% due 1/15/11................. 65,625
175,000 CCC- Step bond to yield 17.390% due 5/15/11................. 89,250
150,000 CCC- Sr. Notes, 10.750% due 10/1/09............................ 117,000
220,000 BBB Cox Communications, Inc., 7.750% due 11/1/10................ 269,495
CSC Holdings Inc.:
30,000 BB- Sr. Notes, Series B, 7.625% due 4/1/11.................... 30,450
250,000 B+ Sr. Sub. Debentures, 10.500% due 5/15/16.................. 273,750
125,000 B1* DIRECTV Holdings, Sr. Notes, 8.375% due 3/15/13 (d)......... 140,000
EchoStar DBS Corp., Sr. Notes:
155,000 BB- 10.375% due 10/1/07....................................... 172,437
160,000 BB- 9.125% due 1/15/09........................................ 179,600
110,000 BB- 9.375% due 2/1/09......................................... 117,838
190,000 B- Emmis Communications Corp., Sr. Discount Notes, step bond to
yield 12.489% due 3/15/11................................. 165,300
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
4
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<Table>
<Caption>
FACE
AMOUNT RATING(C) SECURITY VALUE
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CABLE AND OTHER MEDIA -- 3.4% (CONTINUED)
$ 130,000 B- Insight Communications Co., Inc., Sr. Discount Notes, step
bond to yield 12.269% due 2/15/11......................... $ 108,550
125,000 B2* Mediacom Communications Corp., Sr. Notes, 9.500% due
1/15/13................................................... 132,813
Paxson Communications Corp.:
65,000 CCC+ Sr. Sub. Discount Notes, step bond to yield 11.326% due
1/15/09................................................ 54,600
45,000 CCC+ Sr. Sub. Notes, 10.750% due 7/15/08....................... 48,600
Pegasus Communications Corp.:
40,000 CCC- Sr. Discount Notes, step bond to yield 18.184% due
3/1/07................................................. 33,600
Sr. Notes, Series B:
10,000 CCC- 9.625% due 10/1/05..................................... 9,200
30,000 CCC- 9.750% due 12/1/06..................................... 27,450
60,000 B2* Radio One, Inc., Sr. Sub. Notes, Series B, 8.875% due
7/1/11.................................................... 66,300
185,000 BB- Rogers Cablesystems Ltd., Sr. Sub. Debentures, 11.000% due
12/1/15................................................... 209,975
35,000 B- Spanish Broadcasting Systems, Inc., Sr. Sub. Notes, 9.625%
due 11/1/09............................................... 37,363
125,000 BBB+ Time Warner, Inc., 6.625% due 5/15/29....................... 129,375
50,000 B+ Vivendi Universal S.A., Sr. Notes, 9.250% due 4/15/10 (d)... 57,125
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3,473,108
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CAPITAL GOODS -- 0.1%
75,000 B Terex Corp., 8.875% due 4/1/08.............................. 78,375
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CHEMICALS -- 1.2%
45,000 Ba2* Airgas, Inc., Sr. Sub. Notes, 9.125% due 10/1/11............ 50,287
75,000 B- Avecia Group PLC, 11.000% due 7/1/09........................ 68,250
FMC Corp.:
50,000 BB+ 6.750% due 5/5/05......................................... 50,250
100,000 BB+ Debentures, 7.750% due 7/1/11............................. 98,500
Huntsman International LLC:
35,000 B 9.875% due 3/1/09......................................... 36,575
785,000 B- Sr. Discount Notes, zero coupon bond to yield 13.588% due
12/31/09............................................... 310,075
80,000 B+ IMC Global Inc., Sr. Notes, 11.250% due 6/1/11.............. 83,600
80,000 BB- ISP Chemco Inc., Sr. Sub. Notes, Series B, 10.250% due
7/1/11.................................................... 90,800
75,000 B+ ISP Holdings Inc., Sr. Secured Notes, Series B, 10.625% due
12/15/09.................................................. 80,063
80,000 BB Lyondell Chemical Co., Secured Notes, 11.125% due 7/15/12... 82,400
85,000 BBB- Methanex Corp., Sr. Notes, 8.750% due 8/15/12............... 95,625
45,000 B- OM Group, Inc., Sr. Sub. Notes, 9.250% due 12/15/11......... 44,100
75,000 BB Rhodia S.A., Sr. Notes, 7.625% due 6/1/10 (d)............... 79,687
10,000 BB- Terra Capital Inc., Sr. Secured Notes, 12.875% due
10/15/08.................................................. 10,700
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1,180,912
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CONSUMER PRODUCTS/TOBACCO -- 0.7%
30,000 B+ AKI, Inc., Sr. Notes, 10.500% due 7/1/08.................... 30,900
10,000 B- Doane Pet Care Co., Sr. Sub. Notes, 9.750% due 5/15/07...... 9,500
25,000 B- Home Interiors & Gifts, Inc., 10.125% due 6/1/08............ 25,500
160,000 CCC Remington Products Co. LLC, Sr. Sub. Notes, Series D,
11.000% due 5/15/06....................................... 161,600
60,000 CCC+ Revlon Consumer Products, Sr. Secured Notes, 12.000% due
12/1/05................................................... 58,650
55,000 B Salton Inc., Sr. Sub. Notes, 12.250% due 4/15/08............ 55,000
210,000 B- Sealy Mattress Co., Sr. Discount Notes, Series B, 10.875%
due 12/15/07.............................................. 215,250
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
5
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<Table>
<Caption>
FACE
AMOUNT RATING(C) SECURITY VALUE
- ----------------------------------------------------------------------------------------------------
CONSUMER PRODUCTS/TOBACCO -- 0.7% (CONTINUED)
$ 60,000 BB- Sola International Inc., Sr. Notes, 6.875% due 3/15/08...... $ 57,300
139,000 BB+ Standard Commercial Corp., 8.875% due 8/1/05................ 142,475
- ----------------------------------------------------------------------------------------------------
756,175
- ----------------------------------------------------------------------------------------------------
CONTAINERS/PACKAGING -- 0.7%
100,000 B+ Anchor Glass Container Corp., 11.000% due 2/15/13 (d)....... 109,750
100,000 B- Berry Plastics Corp., 10.750% due 7/15/12................... 110,500
155,000 BB Brockway-Illinois, Inc., 8.875% due 2/15/09................. 168,950
45,000 B+ Owens-Illinois, Inc., Sr. Notes, 7.150% due 5/15/05......... 46,350
75,000 B+ Plastipak Holdings Inc., Sr. Notes, 10.750% due 9/1/11...... 80,625
Pliant Corp.:
50,000 B- Sr. Secured Notes, 11.125% due 9/1/09 (d)................. 53,375
10,000 B- Sr. Sub. Notes, 13.000% due 6/1/10........................ 9,450
25,000 B Radnor Holdings Inc., Sr. Notes, 11.000% due 3/15/10 (d).... 25,813
75,000 BBB Sealed Air Corp., 6.950% due 5/15/09 (d).................... 82,947
60,000 B- Tekni-Plex Inc., Sr. Sub. Notes, Series B, 12.750% due
6/15/10................................................... 58,800
- ----------------------------------------------------------------------------------------------------
746,560
- ----------------------------------------------------------------------------------------------------
ENERGY -- 2.6%
Avon Energy Partners Holding:
100,000 Caa1* 6.460% due 3/4/08 (d)..................................... 86,250
125,000 Caa1* Sr. Notes, 7.050% due 12/11/07 (d)........................ 107,812
El Paso Corp., Sr. Notes:
250,000 B 7.800% due 8/1/31......................................... 211,875
50,000 B 7.750% due 1/15/32........................................ 42,375
60,000 BB- El Paso Energy Partners L.P., Sr. Sub. Notes, Series B,
8.500% due 6/1/11......................................... 64,500
95,000 BB- Leviathan Gas Pipeline Partners L.P., Sr. Sub. Notes, Series
B, 10.375% due 6/1/09..................................... 101,887
210,000 B+ Magnum Hunter Resources Inc., 9.600% due 3/15/12............ 232,050
330,000 CCC+ NGC Corp., Debentures, 7.625% due 10/15/26.................. 270,600
25,000 B Nuevo Energy Corp., Sr. Sub. Notes, Series B, 9.500% due
6/1/08.................................................... 26,344
35,000 Ba1* Ocean Energy Inc., Sr. Sub. Notes, Series B, 8.375% due
7/1/08.................................................... 36,706
Plains Exploration and Production Co., Sr. Sub. Notes:
75,000 B 8.750% due 7/1/12 (d)..................................... 80,625
40,000 B Series B, 8.750% due 7/1/12............................... 43,000
Pogo Producing Co., Sr. Sub. Notes, Series B:
15,000 BB 10.375% due 2/15/09....................................... 16,406
20,000 BB 8.250% due 4/15/11........................................ 22,250
80,000 BB Pride International Inc., Sr. Notes, 10.000% due 6/1/09..... 88,000
75,000 B- Range Resources Corp., Sr. Sub. Notes, 8.750% due 1/15/07... 76,688
125,000 B+ Stone Energy Corp., Sr. Sub. Notes, 8.750% due 9/15/07...... 130,313
35,000 BB- Superior Energy Services Inc., LLC, Sr. Notes, 8.875% due
5/15/11................................................... 37,800
30,000 B Swift Energy Co., Sr. Sub. Notes, 9.375% due 5/1/12......... 32,775
25,000 B2* Trico Marine Services Inc., 8.875% due 5/15/12.............. 21,625
275,000 BBB Valero Energy Corp., 4.750% due 6/15/13..................... 269,380
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
6
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<Table>
<Caption>
FACE
AMOUNT RATING(C) SECURITY VALUE
- ----------------------------------------------------------------------------------------------------
ENERGY -- 2.6% (CONTINUED)
Vintage Petroleum, Inc.:
$ 50,000 BB- Sr. Notes, 8.250% due 5/1/12.............................. $ 55,250
Sr. Sub. Notes:
40,000 B1* 9.750% due 6/30/09..................................... 43,200
25,000 B1* 7.875% due 5/15/11..................................... 26,938
100,000 Ba3* Westport Resources Corp., Sr. Sub. Notes, 8.250% due
11/1/11................................................... 110,000
Williams Cos., Inc.:
125,000 B+ 7.625% due 7/15/19........................................ 121,875
100,000 B+ 7.875% due 9/1/21......................................... 98,000
50,000 B+ 8.750% due 3/15/32........................................ 52,250
125,000 B+ Sr. Notes, 8.625% due 6/1/10.............................. 131,250
- ----------------------------------------------------------------------------------------------------
2,638,024
- ----------------------------------------------------------------------------------------------------
FINANCIAL -- 2.5%
400,000 Aa2* Bank of America Corp., Sr. Notes, 4.875% due 9/15/12........ 422,931
75,000 A3* Ford Motor Credit Co., 7.250% due 10/25/11.................. 77,225
525,000 AAA General Electric Capital Corp., 3.500% due 5/1/08........... 538,176
General Motors Acceptance Corp.:
275,000 A3* 6.875% due 9/15/11........................................ 276,345
75,000 A3* 6.875% due 8/28/12........................................ 74,950
275,000 AA- International Lease Finance Corp., 6.375% due 3/15/09....... 308,359
65,000 Ba1* Markel Capital Trust I, Jr. Sub. Notes, Series B, 8.710% due
1/1/46.................................................... 68,212
165,000 Aa3* Morgan Stanley, 4.250% due 5/15/10.......................... 170,085
100,000 B3* Ocwen Capital Trust I, Jr. Sub. Notes, 10.875% due 8/1/27... 84,500
45,000 BB+ PXRE Capital Trust I, 8.850% due 2/1/27..................... 37,125
325,000 A- Standard Chartered Bank PLC, Sub. Notes, 8.000% due 5/30/31
(d)....................................................... 414,348
- ----------------------------------------------------------------------------------------------------
2,472,256
- ----------------------------------------------------------------------------------------------------
FOOD/BEVERAGES/BOTTLING -- 0.8%
Aurora Foods Inc., Sr. Sub. Notes, Series B:
170,000 Ca* 9.875% due 2/15/07........................................ 61,200
100,000 Ca* 8.750% due 7/1/08......................................... 35,750
40,000 B+ Cott Beverages Inc., Sr. Sub. Notes, 8.000% due 12/15/11.... 43,400
45,000 BB- Dean Foods Corp., Sr. Notes, 6.900% due 10/15/17............ 46,125
25,000 Caa3* Fleming Cos., Inc., Sr. Notes, 10.125% due 4/1/08 (e)....... 3,875
200,000 BBB Kellogg Co., 2.875% due 6/1/08.............................. 198,819
155,000 A3* Kraft Foods, Inc., 5.625% due 11/1/11....................... 169,182
125,000 B Merisant Co., Sr. Sub. Notes, 9.500% due 7/15/13 (d)........ 130,000
70,000 B2* Michael Foods, Sr. Sub. Notes, Series B, 11.750% due
4/1/11.................................................... 80,850
30,000 Caa1* Mrs. Fields' Original Cookies, Inc., Sr. Sub. Notes, Series
B, 10.125% due 12/1/04.................................... 13,650
- ----------------------------------------------------------------------------------------------------
782,851
- ----------------------------------------------------------------------------------------------------
GAMING -- 1.4%
55,000 B Alliance Gaming Corp., Sr. Sub. Notes, Series B, 10.000% due
8/1/07.................................................... 57,337
115,000 B Ameristar Casinos Inc., Sr. Sub. Notes, 10.750% due
2/15/09................................................... 130,956
175,000 B+ Argosy Gaming Co., Sr. Sub. Notes, 9.000% due 9/1/11........ 189,875
100,000 B Herbst Gaming Inc., Sr. Secured Notes, Series B, 10.750% due
9/1/08.................................................... 110,750
75,000 B+ Horseshoe Gaming Holding Corp., Series B, 8.625% due
5/15/09................................................... 79,875
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
7
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<Table>
<Caption>
FACE
AMOUNT RATING(C) SECURITY VALUE
- ----------------------------------------------------------------------------------------------------
GAMING -- 1.4% (CONTINUED)
Mandalay Resort Group:
$ 30,000 BB- Sr. Sub. Debentures, 7.625% due 7/15/13................... $ 30,825
80,000 BB- Sr. Sub. Notes, Series B, 10.250% due 8/1/07.............. 90,800
MGM MIRAGE:
40,000 BB+ 9.750% due 6/1/07......................................... 45,600
185,000 BB+ Sr. Sub. Notes, 8.375% due 2/1/11......................... 211,363
Park Place Entertainment Corp., Sr. Sub. Notes:
75,000 BB+ 8.875% due 9/15/08........................................ 82,875
25,000 BB+ 7.875% due 3/15/10........................................ 27,000
115,000 BB+ 8.125% due 5/15/11........................................ 126,787
80,000 B+ Station Casinos Inc., Sr. Sub. Notes, 8.875% due 12/1/08.... 84,400
135,000 B- Venetian Casino Resort, LLC, 11.000% due 6/15/10............ 152,887
- ----------------------------------------------------------------------------------------------------
1,421,330
- ----------------------------------------------------------------------------------------------------
HEALTHCARE -- 0.8%
25,000 B- aaiPharma Inc., 11.000% due 4/1/10.......................... 27,625
75,000 CCC Athena Neuro Finance LLC, Sr. Notes, 7.250% due 2/21/08..... 63,469
100,000 B- Dade Behring Holdings, Inc., Sr. Sub. Notes, 11.910% due
10/3/10................................................... 113,500
50,000 B2* Extendicare Health Services Inc., Sr. Notes, 9.500% due
7/1/10.................................................... 52,750
20,000 B- Hanger Orthopedic Group, Sr. Sub. Notes, 11.250% due
6/15/09................................................... 21,700
140,000 BBB- HCA Inc., Debentures, 8.360% due 4/15/24.................... 158,036
100,000 B- Insight Heath Services Corp., Series B, 9.875% due
11/1/11................................................... 105,500
50,000 BBB- Tenet Healthcare Corp., Sr. Notes, 5.375% due 11/15/06...... 48,250
80,000 B2* Universal Hospital Services, Inc., Sr. Notes, 10.250% due
3/1/08.................................................... 82,800
125,000 B3* Vanguard Health Systems, Inc., 9.750% due 8/1/11............ 125,000
- ----------------------------------------------------------------------------------------------------
798,630
- ----------------------------------------------------------------------------------------------------
HOUSING/BUILDING PRODUCTS -- 0.7%
20,000 B Associated Materials Inc., Sr. Sub. Notes, 9.750% due
4/15/12................................................... 21,925
75,000 B- Atrium Cos. Inc., Sr. Sub. Notes, Series B, 10.500% due
5/1/09.................................................... 80,625
75,000 B- Brand Services Inc., Sr. Notes, 12.000% due 10/15/12........ 85,875
140,000 Ba2* Louisiana Pacific Corp., Sr. Sub. Notes, 10.875% due
11/15/08.................................................. 160,300
45,000 Ba3* Meritage Corp., Sr. Notes, 9.750% due 6/1/11................ 49,950
90,000 B- Nortek Holdings, Inc., Sr. Sub. Notes, Series B, 9.875% due
6/15/11................................................... 95,175
40,000 CCC Oglebay Norton Co., Sr. Sub. Notes, 10.000% due 2/1/09...... 17,400
70,000 Ba2* Schuler Homes Inc., Sr. Sub. Notes, 10.500% due 7/15/11..... 80,850
Standard Pacific Corp.:
50,000 BB Sr. Notes, 8.500% due 4/1/09.............................. 53,250
35,000 Ba3* Sr. Sub. Notes, 9.250% due 4/15/12........................ 39,463
- ----------------------------------------------------------------------------------------------------
684,813
- ----------------------------------------------------------------------------------------------------
INDUSTRIAL SPECIALTIES -- 0.2%
35,000 BB+ American Greetings Corp., Sr. Sub. Notes, 11.750% due
7/15/08................................................... 40,950
50,000 NR Aqua Chem Inc., Sr. Sub. Notes, 11.250% due 7/1/08.......... 43,000
65,000 B Flowserve Corp., 12.250% due 8/15/10........................ 76,050
- ----------------------------------------------------------------------------------------------------
160,000
- ----------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
8
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<Table>
<Caption>
FACE
AMOUNT RATING(C) SECURITY VALUE
- ----------------------------------------------------------------------------------------------------
LODGING/LEISURE -- 1.0%
$ 55,000 CCC+ AMC Entertainment Inc., Sr. Sub. Notes, 9.500% due 2/1/11... $ 57,200
70,000 B2* Courtyard by Marriott II L.P., Sr. Secured Notes, Series B,
10.750% due 2/1/08........................................ 70,175
125,000 B1* FelCor Lodging L.P., 8.500% due 6/1/11...................... 126,562
HMH Properties Inc., Sr. Notes:
80,000 Ba3* Series A, 7.875% due 8/1/05............................... 81,800
125,000 Ba3* Series C, 8.450% due 12/1/08.............................. 129,687
130,000 Ba3* Host Marriott L.P., Sr. Notes, 9.500% due 1/15/07........... 140,400
75,000 B- Icon Health & Fitness, Inc., 11.250% due 4/1/12............. 80,250
30,000 CCC Imax Corp., Sr. Notes, 7.875% due 12/1/05................... 29,850
225,000 BB+ Starwood Hotels and Resorts Worldwide, Inc., 7.875% due
5/1/12.................................................... 247,500
- ----------------------------------------------------------------------------------------------------
963,424
- ----------------------------------------------------------------------------------------------------
MACHINERY -- 0.2%
45,000 BB Case Corp., 7.250% due 1/15/16.............................. 39,656
20,000 BB Case Credit Corp., 6.750% due 10/21/07...................... 19,400
30,000 B+ NMGH Holding Co., 10.000% due 5/15/09....................... 33,150
110,000 CCC+ Park-Ohio Industries Inc., Sr. Sub. Notes, 9.250% due
12/1/07................................................... 94,050
25,000 B- Rexnord Corp., Sr. Sub. Notes, 10.125% due 12/15/12......... 27,625
- ----------------------------------------------------------------------------------------------------
213,881
- ----------------------------------------------------------------------------------------------------
METALS/MINING/STEEL -- 0.5%
60,000 BB Luscar Coal Ltd., Sr. Notes, 9.750% due 10/15/11............ 68,850
75,000 BBB- Phelps Dodge Corp., Sr. Notes, 8.750% due 6/1/11............ 88,309
285,000 BBB WMC Finance USA Ltd., 5.125% due 5/15/13 (d)................ 294,915
30,000 BB- Wolverine Tube Inc., 10.500% due 4/1/09..................... 32,400
- ----------------------------------------------------------------------------------------------------
484,474
- ----------------------------------------------------------------------------------------------------
MUNICIPAL -- 0.6%
525,000 AA+ Region of Lombardy, 5.804% due 10/25/32..................... 584,565
- ----------------------------------------------------------------------------------------------------
PAPER/FOREST PRODUCTS -- 1.0%
125,000 BB+ Abitibi-Consolidated Inc., Debentures, 8.850% due 8/1/30.... 133,242
125,000 BB+ Bowater Inc., Sr. Notes, 6.500% due 6/15/13 (d)............. 118,813
Buckeye Technologies Inc., Sr. Sub. Notes:
35,000 B+ 9.250% due 9/15/08........................................ 35,000
135,000 B+ 8.000% due 10/15/10....................................... 126,900
120,000 B+ Millar Western Forest Products Ltd., Sr. Notes, 9.875% due
5/15/08................................................... 125,400
235,000 BBB Nexfor Inc., 7.250% due 7/1/12.............................. 267,449
210,000 B Stone Container Corp., Sr. Notes, 11.500% due 8/15/06 (d)... 225,225
- ----------------------------------------------------------------------------------------------------
1,032,029
- ----------------------------------------------------------------------------------------------------
PUBLISHING/PRINTING -- 0.7%
100,000 B Dex Media East, LLC, 12.125% due 11/15/12................... 118,750
40,000 B+ Garden State Newspapers Inc., Sr. Sub. Notes, Series B,
8.750% due 10/1/09........................................ 41,500
127,264 B- Hollinger Participation, Sr. Notes, Payment-in-kind, 12.125%
due 11/15/10 (d).......................................... 143,490
100,000 B+ R.H. Donnelley Corp., Sr. Sub. Notes, 10.875% due 12/15/12
(d)....................................................... 117,000
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
9
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<Table>
<Caption>
FACE
AMOUNT RATING(C) SECURITY VALUE
- ----------------------------------------------------------------------------------------------------
PUBLISHING/PRINTING -- 0.7% (CONTINUED)
Yell Finance B.V.:
$ 50,000 B Sr. Discount Notes, step bond to yield 12.263% due
8/1/11................................................. $ 43,000
200,000 B Sr. Notes, 10.750% due 8/1/11............................. 231,500
- ----------------------------------------------------------------------------------------------------
695,240
- ----------------------------------------------------------------------------------------------------
RESTAURANTS -- 0.1%
35,000 CCC+ Advantica Restaurant Group, Sr. Notes, 11.250% due
1/15/08................................................... 27,125
25,000 B- American Restaurant Group Inc., Sr. Secured Notes, Series D,
11.500% due 11/1/06....................................... 17,375
50,000 CCC+ CKE Restaurants Inc., Sr. Sub. Notes, 9.125% due 5/1/09..... 48,750
20,000 B- Friendly Ice Cream Corp., Sr. Notes, 10.500% due 12/1/07.... 20,550
- ----------------------------------------------------------------------------------------------------
113,800
- ----------------------------------------------------------------------------------------------------
RETAIL -- 1.1%
Cole National Group, Inc., Sr. Sub. Notes:
25,000 B 8.625% due 8/15/07........................................ 24,375
175,000 B 8.875% due 5/15/12........................................ 169,312
150,000 CCC+ Eye Care Centers of America, Inc., 9.125% due 5/1/08........ 140,250
225,000 B+ Finlay Fine Jewelry Corp., Sr. Notes, 8.375% due 5/1/08..... 234,000
The Gap, Inc., Sr. Notes:
75,000 BB+ 10.550% due 12/15/08...................................... 91,500
20,000 BB+ Sr. Notes, 9.900% due 12/15/05............................ 22,600
252,000 BB+ J.C. Penny Co., Inc., 9.000% due 8/1/12..................... 274,680
43,000 B2* Jo-Ann Stores, Inc., Sr. Sub. Notes, 10.375% due 5/1/07..... 45,419
92,000 BB Saks Inc., 9.875% due 10/1/11............................... 103,960
- ----------------------------------------------------------------------------------------------------
1,106,096
- ----------------------------------------------------------------------------------------------------
SERVICES/OTHER -- 1.2%
Allied Waste North America Inc., Sr. Notes:
115,000 BB- 8.500% due 12/1/08........................................ 124,200
60,000 BB- 7.875% due 1/1/09......................................... 63,075
125,000 B+ 10.000% due 8/1/09........................................ 133,437
200,000 B Iron Mountain, Inc., 8.625% due 4/1/13...................... 215,000
75,000 BB- Mail-Well, Inc., 9.625% due 3/15/12......................... 79,313
50,000 B Muzak LLC, Sr. Notes, 10.000% due 2/15/09 (d)............... 52,625
180,000 Ca* Outsourcing Solutions Inc., Sr. Sub. Notes, 11.000% due
11/1/06 (e)............................................... 2,700
25,000 B- Petro Stopping Centers L.P., Sr. Notes, 10.500% due
2/1/07.................................................... 25,000
Service Corp. International:
55,000 BB- Debentures, 7.875% due 2/1/13............................. 55,275
Sr. Notes:
55,000 BB- 6.875% due 10/1/07..................................... 54,725
195,000 BB- 6.500% due 3/15/08..................................... 191,588
90,000 B+ Stewart Enterprises, Inc., Sr. Sub. Notes, 10.750% due
7/1/08.................................................... 100,800
70,000 B Williams Scotsman Inc., Sr. Notes, 9.875% due 6/1/07........ 68,950
- ----------------------------------------------------------------------------------------------------
1,166,688
- ----------------------------------------------------------------------------------------------------
SUPERMARKETS/DRUGSTORES -- 0.5%
25,000 B+ Ahold Finance USA, Inc., 8.250% due 7/15/10................. 25,750
20,000 B+ The Great Atlantic & Pacific Tea Co., Inc., 7.750% due
4/15/07................................................... 18,800
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
10
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<Table>
<Caption>
FACE
AMOUNT RATING(C) SECURITY VALUE
- ----------------------------------------------------------------------------------------------------
SUPERMARKETS/DRUGSTORES -- 0.5% (CONTINUED)
Rite Aid Corp., Sr. Notes:
$ 35,000 B- 7.625% due 4/15/05........................................ $ 34,912
25,000 B- 7.125% due 1/15/07........................................ 24,875
150,000 B- 11.250% due 7/1/08........................................ 162,000
200,000 BBB Safeway Inc., Debentures, 7.250% due 2/1/31................. 225,979
- ----------------------------------------------------------------------------------------------------
492,316
- ----------------------------------------------------------------------------------------------------
TECHNOLOGY/ELECTRONICS -- 0.4%
80,000 BB Compagnie Generale de Geophysique S.A., Sr. Notes, 10.625%
due 11/15/07.............................................. 82,400
75,000 B Nortel Networks Ltd., 6.875% due 9/1/23..................... 66,375
50,000 B Northern Telecom Capital Corp., 7.875% due 6/15/26.......... 46,125
75,000 B+ Per-Se Technologies, Inc., Sr. Notes, Series B, 9.500% due
2/15/05................................................... 76,875
115,000 BBB- Thomas & Betts Corp., Sr. Notes, 6.625% due 5/7/08.......... 117,300
- ----------------------------------------------------------------------------------------------------
389,075
- ----------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS -- 3.4%
95,000 Caa2* AirGate PCS, Inc., Sr. Sub. Discount Notes, step bond to
yield 13.775% to 10/1/09.................................. 45,125
Alamosa Holdings, Inc.:
125,000 CCC- 13.625% due 8/15/11....................................... 105,625
65,000 CCC- Sr. Discount Notes, step bond to yield 17.473% due
2/15/10................................................ 38,025
350,000 BBB AT&T Corp., Sr. Notes, 8.000% due 11/15/31.................. 398,241
AT&T Wireless Services Inc.:
150,000 BBB 8.125% due 5/1/12......................................... 181,083
500,000 BBB Sr. Notes, 8.750% due 3/1/31.............................. 620,234
45,000 B+ Avaya Inc., Sr. Secured Notes, 11.125% due 4/1/09........... 49,500
50,000 D GT Group Telecom Inc., Sr. Discount Notes, step bond to
yield 15.233% due 2/1/10 (e).............................. 5
40,000 C Horizon PCS, Inc., Sr. Discount Notes, step bond to yield
15.504% due 10/1/10....................................... 5,400
525,000 B Nextel Communications, Inc., Sr. Discount Notes, 9.950% due
2/15/08................................................... 551,250
65,000 CCC+ Nextel Partners, Inc., Sr. Notes, 12.500% due 11/15/09...... 73,450
Qwest Corp.:
195,000 Ba3* 8.875% due 3/15/12 (d).................................... 218,888
148,000 CCC+ 14.000% due 12/15/14 (d).................................. 172,420
125,000 Ba3* Debentures, 6.875% due 9/15/33............................ 115,625
Sprint Capital Corp.:
240,000 BBB- 8.375% due 3/15/12........................................ 287,909
225,000 BBB- 6.875% due 11/15/28....................................... 226,539
275,000 BBB- 8.750% due 3/15/32........................................ 330,346
- ----------------------------------------------------------------------------------------------------
3,419,665
- ----------------------------------------------------------------------------------------------------
TEXTILE/APPAREL -- 0.5%
Levi Strauss & Co.:
140,000 BB- 7.000% due 11/1/06........................................ 113,750
Sr. Notes:
110,000 BB- 11.625% due 1/15/08.................................... 94,875
25,000 BB- 12.250% due 12/15/12................................... 20,938
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
11
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<Table>
<Caption>
FACE
AMOUNT RATING(C) SECURITY VALUE
- ----------------------------------------------------------------------------------------------------
TEXTILE/APPAREL -- 0.5% (CONTINUED)
$ 210,000 B Tropical Sportswear International Corp., Sr. Sub. Notes,
Series A, 11.000% due 6/15/08............................. $ 217,350
50,000 B William Carter Co., Sr. Sub. Notes, Series B, 10.875% due
8/15/11................................................... 56,750
- ----------------------------------------------------------------------------------------------------
503,663
- ----------------------------------------------------------------------------------------------------
TOWER -- 0.8%
American Tower Corp.:
50,000 B3* Discount Notes, zero coupon bond to yield 14.314% due
8/1/08................................................. 32,500
250,000 Caa1* Sr. Notes, 9.375% due 2/1/09.............................. 252,500
Crown Castle International Corp.:
Sr. Discount Notes:
25,000 B3* 10.625% due 11/15/07................................... 26,437
140,000 B3* Step bond to yield 10.869% due 5/15/11................. 134,400
Sr. Notes:
25,000 B3* 9.000% due 5/15/11..................................... 25,375
85,000 B3* 10.750% due 8/1/11..................................... 93,075
SBA Communications Corp.:
100,000 Caa2* Sr. Discount Notes, 12.000% due 3/1/08.................... 102,750
50,000 Caa2* Sr. Notes, 10.250% due 2/1/09............................. 46,250
100,000 B3* SpectraSite, Inc., Sr. Notes, 8.250% due 5/15/10 (d)........ 104,500
- ----------------------------------------------------------------------------------------------------
817,787
- ----------------------------------------------------------------------------------------------------
TRANSPORTATION -- 0.1%
50,000 B+ General Maritime Corp., Sr. Notes, 10.000% due 3/15/13
(d)....................................................... 55,000
45,000 Baa2* Windsor Petroleum Transportation Corp., Notes, 7.840% due
1/15/21 (d)............................................... 42,975
- ----------------------------------------------------------------------------------------------------
97,975
- ----------------------------------------------------------------------------------------------------
UTILITIES -- 1.1%
AES Corp.:
55,000 B- Sr. Notes, 9.500% due 6/1/09.............................. 55,825
75,000 B- Sr. Sub. Notes, 10.250% due 7/15/06....................... 74,625
45,000 BB+ Avista Corp., Sr. Notes, 9.750% due 6/1/08.................. 52,425
175,000 B1* Calpine Canada Energy Finance ULC, Sr. Sub. Notes, 8.500%
due 5/1/08................................................ 137,375
285,000 B1* Calpine Corp., Sr. Notes, 8.625% due 8/15/10................ 215,175
50,000 B+ CMS Energy Corp., Sr. Notes, 7.625% due 11/15/04............ 51,000
Edison Mission Energy, Sr. Notes:
75,000 BB- 10.000% due 8/15/08....................................... 71,250
25,000 BB- 7.730% due 6/15/09........................................ 21,500
200,000 BB- 9.875% due 4/15/11........................................ 186,000
140,000 B2* Orion Power Holdings, Inc., Sr. Notes, 12.000% due 5/1/10... 163,100
100,000 B1* Reliant Resources, Inc., Sr. Secured Notes, 9.500% due
7/15/13 (d)............................................... 101,250
- ----------------------------------------------------------------------------------------------------
1,129,525
- ----------------------------------------------------------------------------------------------------
TOTAL CORPORATE BONDS AND NOTES (Cost -- $27,361,410)....... 29,100,467
- ----------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
12
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<Table>
<Caption>
FACE
AMOUNT(G) RATING(C) SECURITY VALUE
- ----------------------------------------------------------------------------------------------------
CONVERTIBLE CORPORATE NOTES -- 0.9%
- ----------------------------------------------------------------------------------------------------
ENERGY -- 0.0%
10,000 B- Parker Drilling Co., Sub. Notes, 5.500% due 8/1/04.......... $ 10,038
- ----------------------------------------------------------------------------------------------------
HEALTHCARE -- 0.1%
115,000 B Total Renal Care Holdings, Inc., Sub. Notes, 7.000% due
5/15/09................................................... 121,469
- ----------------------------------------------------------------------------------------------------
TECHNOLOGY/ELECTRONICS -- 0.4%
85,000 B3* Amkor Technologies, Inc., Sr. Notes, 5.000% due 3/15/07..... 71,506
135,000 Ba3* LSI Logic Corp., Sr. Notes, 4.000% due 2/15/05.............. 133,650
260,000 B1* Sanmina-SCI Corp., Sr. Notes, zero coupon bond to yield
10.305% due 9/12/20....................................... 126,100
80,000 NR TriQuint Semiconductor Inc., Sub. Notes, 4.000% due
3/1/07.................................................... 66,600
40,000 B3* Vitesse Semiconductor Corp., Sr. Sub. Notes, 4.000% due
3/15/05................................................... 37,350
- ----------------------------------------------------------------------------------------------------
435,206
- ----------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS -- 0.4%
335,000(EUR) B- COLT Telecom Group PLC, Sr. Notes, 2.000% due 4/3/07 (d).... 306,340
105,000(GBP) Ca* Telewest Communication PLC, 5.250% due 2/19/07 (d)(e)....... 65,083
- ----------------------------------------------------------------------------------------------------
371,423
- ----------------------------------------------------------------------------------------------------
TOTAL CONVERTIBLE CORPORATE NOTES (Cost -- $909,601)........ 938,136
- ----------------------------------------------------------------------------------------------------
<Caption>
SHARES SECURITY VALUE
- ----------------------------------------------------------------------------------------------------
COMMON STOCK (h) -- 0.0%
- ----------------------------------------------------------------------------------------------------
FOOD/BEVERAGES/BOTTLING -- 0.0%
3,630 Aurora Foods Inc. .......................................... 1,271
- ----------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS -- 0.0%
66 McLeodUSA Inc. ............................................. 100
5,226 Song Networks Holdings, ADR................................. 78
- ----------------------------------------------------------------------------------------------------
178
- ----------------------------------------------------------------------------------------------------
TOWER -- 0.0%
973 Crown Castle International Corp. ........................... 7,560
- ----------------------------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $13,183)........................ 9,009
- ----------------------------------------------------------------------------------------------------
PREFERRED STOCK -- 0.4%
- ----------------------------------------------------------------------------------------------------
AEROSPACE -- 0.0%
50 Northrop Grumman Corp., Equity Security Units, 7.250% due
11/16/04.................................................. 5,087
- ----------------------------------------------------------------------------------------------------
CABLE AND OTHER MEDIA -- 0.4%
CSC Holdings Inc.:
2,500 Series H, 11.750% due 10/1/07............................. 257,500
350 Series M, 11.125% due 4/1/08.............................. 35,962
- ----------------------------------------------------------------------------------------------------
293,462
- ----------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
13
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- ----------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS -- 0.0%
75 Broadwing Communications, Inc., 12.500%..................... $ 16,875
66 Dobson Communications Corp., Payment-in-kind, 13.000% due
5/1/09.................................................... 6,496
300 Global Crossing Ltd., 6.750% due 4/15/12 (f)................ 3
200 Motorola Inc., Equity Security Units, 7.000% due 11/16/04... 6,520
- ----------------------------------------------------------------------------------------------------
29,894
- ----------------------------------------------------------------------------------------------------
TOWER -- 0.0%
700 Crown Castle International Corp., 6.250% due 8/15/12........ 29,138
- ----------------------------------------------------------------------------------------------------
TOTAL PREFERRED STOCK (Cost -- $444,759).................... 357,581
- ----------------------------------------------------------------------------------------------------
<Caption>
WARRANTS SECURITY VALUE
- ----------------------------------------------------------------------------------------------------
WARRANTS (h) -- 0.0%
- ----------------------------------------------------------------------------------------------------
CABLE AND OTHER MEDIA -- 0.0%
450 UIH Australia, Expire 5/15/06............................... 5
- ----------------------------------------------------------------------------------------------------
CONTAINERS/PACKAGING -- 0.0%
10 Pliant Corp., Expire 6/1/10 (d)............................. 11
- ----------------------------------------------------------------------------------------------------
PUBLISHING/PRINTING -- 0.0%
60 Merrill Corp., Expire 5/1/09................................ 0
- ----------------------------------------------------------------------------------------------------
TECHNOLOGY/ELECTRONICS -- 0.0%
60 Cybernet Internet Services International, Inc., Expire
7/1/09.................................................... 0
90 WAM! NET Inc., Expire 3/1/05................................ 1
- ----------------------------------------------------------------------------------------------------
1
- ----------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS -- 0.0%
50 GT Group Telecom Inc., Expire 2/1/10 (d).................... 44
40 Horizon PCS, Inc., Expire 10/1/10 (d)....................... 2
100 Iridium World Communications Ltd., Expire 7/15/05 (d)....... 1
50 IWO Holdings Inc., Expire 1/15/11........................... 1
150 RSL Communications Ltd., Expire 11/15/06.................... 21
- ----------------------------------------------------------------------------------------------------
69
- ----------------------------------------------------------------------------------------------------
TOWER -- 0.0%
50 American Tower Corp., Expire 8/1/08 (d)..................... 5,150
- ----------------------------------------------------------------------------------------------------
TOTAL WARRANTS (Cost -- $24,883)............................ 5,236
- ----------------------------------------------------------------------------------------------------
TOTAL HIGH-YIELD SECTOR (Cost -- $28,753,836)............... 30,410,429
- ----------------------------------------------------------------------------------------------------
<Caption>
FACE
AMOUNT RATING(C) SECURITY VALUE
- ----------------------------------------------------------------------------------------------------
EMERGING MARKETS DEBT -- 8.5%
- ----------------------------------------------------------------------------------------------------
BONDS -- 8.0%
Federal Republic of Brazil:
$ 125,000 B+ 11.250% due 7/26/07....................................... 131,563
90,000 B+ 11.500% due 3/12/08....................................... 94,725
400,000 B+ 12.000% due 4/15/10....................................... 416,000
325,000 B+ 12.250% due 3/6/30........................................ 327,031
530,000 B+ Series 18 Years, 2.188% due 4/15/12....................... 401,144
788,102 B+ Series 20 Years, 8.000% due 4/15/14....................... 694,023
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
14
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<Table>
<Caption>
FACE
AMOUNT RATING(C) SECURITY VALUE
- ----------------------------------------------------------------------------------------------------
BONDS -- 8.0% (CONTINUED)
Republic of Bulgaria:
$ 135,714 BB+ Series A, 2.188% due 7/28/12.............................. $ 131,176
50,000 BB+ Series REGS, 8.250% due 1/15/15........................... 59,250
Republic of Colombia:
200,000 BB 7.625% due 2/15/07........................................ 216,000
90,000 BB 10.000% due 1/23/12....................................... 101,475
20,000 BB 11.750% due 2/25/20....................................... 25,000
125,000 BB 10.375% due 1/28/33....................................... 144,687
Republic of Ecuador, Series REGS:
225,000 CCC+ 12.000% due 11/15/12...................................... 183,375
450,000 CCC+ 6.000% due 8/15/30........................................ 276,750
Republic of Panama:
25,000 Ba1* 9.625% due 2/8/11......................................... 29,313
50,000 Ba1* 9.375% due 1/16/23........................................ 56,000
100,000 Ba1* 8.875% due 9/30/27........................................ 109,500
286,358 Ba1* Series 20 Years, 2.250% due 7/17/16....................... 234,813
Republic of Peru:
150,000 BB- 9.125% due 1/15/08........................................ 163,500
Series 20 Years:
60,000 BB- 4.500% due 3/7/17...................................... 47,250
57,600 BB- 5.000% due 3/7/17...................................... 49,248
Republic of the Philippines:
150,000 Ba1* 8.375% due 3/12/09........................................ 160,500
125,000 Ba1* 9.875% due 1/15/19........................................ 138,359
125,000 Ba1* 10.625% due 3/16/25....................................... 145,938
Republic of Turkey:
145,000 B1* 11.500% due 1/23/12....................................... 151,344
90,000 B1* 11.000% due 1/14/13....................................... 91,260
Russian Federation, Series REGS:
200,000 BB 10.000% due 6/26/07....................................... 243,490
410,000 BB 8.250% due 3/31/10........................................ 475,088
860,000 BB 5.000% due 3/31/30........................................ 834,738
United Mexican States:
400,000 Baa2* 8.375% due 1/14/11........................................ 481,100
650,000 Baa2* 8.300% due 8/15/31........................................ 750,425
600,000 Baa2* Series A, 8.000% due 9/24/22.............................. 677,250
- ----------------------------------------------------------------------------------------------------
8,041,315
- ----------------------------------------------------------------------------------------------------
LOAN PARTICIPATIONS (i) -- 0.5%
438,462 Ba1* Kingdom of Morocco, Tranche A, 2.188% due 1/2/09 (CS First
Boston Corp.)............................................. 420,923
70,000 NR People's Democratic Republic of Algeria, Tranche I, 2.188%
due 9/4/06 (CS First Boston Corp.)........................ 68,822
- ----------------------------------------------------------------------------------------------------
489,745
- ----------------------------------------------------------------------------------------------------
TOTAL EMERGING MARKETS DEBT (Cost -- $7,905,107)............ 8,531,060
- ----------------------------------------------------------------------------------------------------
SUB-TOTAL INVESTMENTS (Cost -- $81,475,140)................. 84,893,780
- ----------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
15
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<Table>
<Caption>
FACE
AMOUNT SECURITY VALUE
- ----------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 15.6%
$15,734,000 Merrill Lynch & Co., Inc., 1.050% due 7/1/03; Proceeds at
maturity -- $15,734,459; (Fully collateralized by various U.S.
government agency obligations, 3.500% to 11.250% due 11/15/04 to $ 15,734,000
2/15/26; Market value -- $16,048,682) (Cost -- $15,734,000)...........
- ----------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0%
(Cost -- $97,209,140**)................................................. $100,627,780
- ----------------------------------------------------------------------------------------------------
</Table>
<Table>
(a) All or a portion of this security is segregated for open
futures contracts commitments and/or "to-be-announced"
("TBA") securities (See Notes 5 and 10).
(b) Security is traded on a TBA basis (See Note 10).
(c) All ratings are by Standard & Poor's Ratings Service, except
for those identified by an asterisk (*), which are rated by
Moody's Investors Service.
(d) 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.
(e) Security is currently in default.
(f) The company filed for bankruptcy.
(g) Face amount represents local currency, unless otherwise
indicated.
(h) Non-income producing security.
(i) Participation interest was acquired through the financial
institution indicated parenthetically.
+ Mortgage dollar roll (See Note 11).
++ All or a portion of this security is held as collateral for
open futures contracts commitments (See Note 5).
** Aggregate cost for Federal income tax purposes is
substantially the same.
Abbreviations used in this schedule:
------------------------------------------------------------
ADR -- American Depositary Receipt
EUR -- Euro
GBP -- British Pound
See page 45 for definitions of ratings.
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
16
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
SALOMON BROTHERS VARIABLE ALL CAP VALUE FUND
<Table>
<Caption>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------
COMMON STOCK -- 99.0%
- ---------------------------------------------------------------------------------------
AEROSPACE AND DEFENSE -- 3.9%
1,200 Goodrich Corp. ............................................. $ 25,200
3,000 Honeywell International, Inc. .............................. 80,550
2,800 Raytheon Co. ............................................... 91,952
- ---------------------------------------------------------------------------------------
197,702
- ---------------------------------------------------------------------------------------
BANKS -- 1.1%
1,500 Bank One Corp. ............................................. 55,770
- ---------------------------------------------------------------------------------------
BIOTECHNOLOGY -- 3.0%
10,000... Aphton Corp.+............................................... 82,400
3,255.. Enzo Biochem, Inc.+......................................... 70,048
- ---------------------------------------------------------------------------------------
152,448
- ---------------------------------------------------------------------------------------
CHEMICALS -- 5.1%
2,500 Cabot Corp. ................................................ 71,750
1,900 The Dow Chemical Co. ....................................... 58,824
4,900 Engelhard Corp. ............................................ 121,373
1,300 IMC Global, Inc. ........................................... 8,723
- ---------------------------------------------------------------------------------------
260,670
- ---------------------------------------------------------------------------------------
COMMERCIAL SERVICES AND SUPPLIES -- 1.2%
500 NDCHealth Corp. ............................................ 9,175
2,000.. Sabre Holdings Corp.+....................................... 49,300
- ---------------------------------------------------------------------------------------
58,475
- ---------------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT -- 4.5%
7,300.. 3Com Corp.+................................................. 34,164
25,000... Lucent Technologies, Inc.+.................................. 50,750
10,000 Motorola, Inc. ............................................. 94,300
2,900.. Nokia Oyj, Sponsored ADR.................................... 47,647
- ---------------------------------------------------------------------------------------
226,861
- ---------------------------------------------------------------------------------------
COMPUTERS AND PERIPHERALS -- 2.8%
3,700 Hewlett-Packard Co. ........................................ 78,810
750 International Business Machines Corp. ...................... 61,875
- ---------------------------------------------------------------------------------------
140,685
- ---------------------------------------------------------------------------------------
CONTAINERS AND PACKAGING -- 1.0%
4,000.. Smurfit-Stone Container Corp.+.............................. 52,120
- ---------------------------------------------------------------------------------------
DIVERSIFIED FINANCIALS -- 5.1%
3,100 American Express Co. ....................................... 129,611
1,200 Countrywide Credit Industries, Inc. ........................ 83,484
1,200 State Street Corp. ......................................... 47,280
- ---------------------------------------------------------------------------------------
260,375
- ---------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
17
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
SALOMON BROTHERS VARIABLE ALL CAP VALUE FUND
<Table>
<Caption>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 3.3%
4,500 Nippon Telegraph & Telephone Corp. ......................... $ 89,100
3,000 SBC Communications, Inc. ................................... 76,650
- ---------------------------------------------------------------------------------------
165,750
- ---------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT AND INSTRUMENTS -- 3.4%
5,100.. Agilent Technologies, Inc.+................................. 99,705
19,400... Solectron Corp.+............................................ 72,556
- ---------------------------------------------------------------------------------------
172,261
- ---------------------------------------------------------------------------------------
ENERGY EQUIPMENT AND SERVICES -- 1.4%
3,000 GlobalSantaFe Corp. ........................................ 70,020
- ---------------------------------------------------------------------------------------
FOOD AND DRUG RETAILING -- 0.8%
2,100.. Safeway Inc.+............................................... 42,966
- ---------------------------------------------------------------------------------------
HEALTHCARE PROVIDERS AND SERVICES -- 0.4%
500 McKesson HBOC, Inc. ........................................ 17,870
- ---------------------------------------------------------------------------------------
HOUSEHOLD DURABLES -- 1.0%
4,800.. Fleetwood Enterprises, Inc.+................................ 35,520
500... Sony Corp.+................................................. 14,100
- ---------------------------------------------------------------------------------------
49,620
- ---------------------------------------------------------------------------------------
INSURANCE -- 12.3%
2,800 Allstate Corp. ............................................. 99,820
1,900 Ambac Financial Group, Inc. ................................ 125,875
2,100 The Chubb Corp. ............................................ 126,000
1,100 The Hartford Financial Services Group, Inc. ................ 55,396
1,800 MBIA, Inc. ................................................. 87,750
1,400 MGIC Investment Corp. ...................................... 65,296
1,700 Radian Group, Inc. ......................................... 62,305
- ---------------------------------------------------------------------------------------
622,442
- ---------------------------------------------------------------------------------------
INTERNET SOFTWARE AND SERVICES -- 1.3%
9,700.. RealNetworks, Inc.+......................................... 65,766
- ---------------------------------------------------------------------------------------
IT CONSULTING AND SERVICES -- 1.6%
6,600.. Unisys Corp.+............................................... 81,048
- ---------------------------------------------------------------------------------------
LEISURE EQUIPMENT AND PRODUCTS -- 4.5%
1,700 Eastman Kodak Co. .......................................... 46,495
6,500 Hasbro, Inc. ............................................... 113,685
3,500 Mattel, Inc. ............................................... 66,220
- ---------------------------------------------------------------------------------------
226,400
- ---------------------------------------------------------------------------------------
MACHINERY -- 1.2%
500 Caterpillar Inc. ........................................... 27,830
700... Ingersoll-Rand Co., Class A Shares.......................... 33,124
- ---------------------------------------------------------------------------------------
60,954
- ---------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
18
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
SALOMON BROTHERS VARIABLE ALL CAP VALUE FUND
<Table>
<Caption>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------
MEDIA -- 8.6%
5,050.. AOL Time Warner Inc.+....................................... $ 81,254
2,000.. Comcast Corp., Special Class A Shares+...................... 57,660
7,700.. Liberty Media Corp., Class A Shares+........................ 89,012
4,700.. Metro-Goldwyn-Mayer, Inc.+.................................. 58,374
1,900.. News Corp. Ltd., Sponsored ADR.............................. 57,513
4,700 The Walt Disney Co. ........................................ 92,825
- ---------------------------------------------------------------------------------------
436,638
- ---------------------------------------------------------------------------------------
METALS AND MINING -- 4.3%
4,400 Alcoa Inc. ................................................. 112,200
6,000.. Brush Engineered Materials, Inc.+........................... 50,100
1,700 Newmont Mining Corp. ....................................... 55,182
- ---------------------------------------------------------------------------------------
217,482
- ---------------------------------------------------------------------------------------
OFFICE ELECTRONICS -- 0.1%
600 IKON Office Solutions, Inc. ................................ 5,340
- ---------------------------------------------------------------------------------------
OIL AND GAS -- 3.5%
2,400 Anadarko Petroleum Corp. ................................... 106,728
1,000 ChevronTexaco Corp. ........................................ 72,200
- ---------------------------------------------------------------------------------------
178,928
- ---------------------------------------------------------------------------------------
PAPER AND FOREST PRODUCTS -- 2.0%
1,400 Georgia Pacific Corp. ...................................... 26,530
1,400 Weyerhaeuser Co. ........................................... 75,600
- ---------------------------------------------------------------------------------------
102,130
- ---------------------------------------------------------------------------------------
PHARMACEUTICALS -- 9.6%
1,800.. Abbott Laboratories......................................... 78,768
3,000 Bristol-Myers Squibb Co. ................................... 81,450
1,300.. Johnson & Johnson........................................... 67,210
4,500 Pfizer Inc. ................................................ 153,676
2,300.. Wyeth....................................................... 104,765
- ---------------------------------------------------------------------------------------
485,869
- ---------------------------------------------------------------------------------------
SEMICONDUCTOR EQUIPMENT AND PRODUCTS -- 7.3%
4,100 Intel Corp. ................................................ 85,214
10,100... Lattice Semiconductor Corp.+................................ 83,123
3,400.. LSI Logic Corp.+............................................ 24,072
8,500.. Taiwan Semiconductor Manufacturing Co. Ltd., Sponsored
ADR+........................................................ 85,680
5,100 Texas Instruments Inc. ..................................... 89,760
- ---------------------------------------------------------------------------------------
367,849
- ---------------------------------------------------------------------------------------
SOFTWARE -- 1.5%
9,600.. Micromuse, Inc.+............................................ 76,704
- ---------------------------------------------------------------------------------------
SPECIALTY RETAIL -- 1.8%
1,400 The Gap, Inc. .............................................. 26,264
1,900 The Home Depot, Inc. ....................................... 62,928
- ---------------------------------------------------------------------------------------
89,192
- ---------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
19
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
SALOMON BROTHERS VARIABLE ALL CAP VALUE FUND
<Table>
<Caption>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES -- 1.4%
3,600.. Vodafone Group PLC, Sponsored ADR........................... $ 70,740
- ---------------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $5,372,436)..................... 5,011,075
- ---------------------------------------------------------------------------------------
<Caption>
FACE
AMOUNT SECURITY VALUE
- ---------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 1.0%
$50,000 Merrill Lynch & Co., Inc, 1.050% due 7/1/03; Proceeds at
maturity -- $50,001;
(Fully collateralized by various U.S. government and
agency obligations,
0.000% to 11.250% due 11/15/04 to 2/15/26; Market
value -- $51,000)
(Cost -- $50,000)......................................... 50,000
- ---------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0%
(Cost -- $5,422,436*)....................................... $5,061,075
- ---------------------------------------------------------------------------------------
</Table>
<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
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
20
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
EQUITY INDEX PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------------
COMMON STOCK -- 97.0%
- -----------------------------------------------------------------------------------------------
AEROSPACE AND DEFENSE -- 1.7%
99,272 Boeing Co. ................................................. $ 3,407,015
23,788 General Dynamics Corp. ..................................... 1,724,630
14,093 Goodrich Corp. ............................................. 295,953
101,191 Honeywell International, Inc. .............................. 2,716,978
53,875 Lockheed Martin Corp. ...................................... 2,562,834
21,512 Northrop Grumman Corp. ..................................... 1,856,270
47,852 Raytheon Co. ............................................... 1,571,460
21,318 Rockwell Collins, Inc. ..................................... 525,062
55,497 United Technologies Corp. .................................. 3,930,853
- -----------------------------------------------------------------------------------------------
18,591,055
- -----------------------------------------------------------------------------------------------
AIR FREIGHT AND COURIERS -- 1.0%
35,267 FedEx Corp. ................................................ 2,187,612
7,256 Ryder Systems, Inc. ........................................ 185,899
132,707 United Parcel Service, Inc., Class B Shares................. 8,453,436
- -----------------------------------------------------------------------------------------------
10,826,947
- -----------------------------------------------------------------------------------------------
AIRLINES -- 0.2%
14,534 Delta Air Lines, Inc. (a)................................... 213,359
91,626 Southwest Airlines Co. (a).................................. 1,575,967
- -----------------------------------------------------------------------------------------------
1,789,326
- -----------------------------------------------------------------------------------------------
AUTO COMPONENTS -- 0.2%
8,739 Cooper Tire & Rubber Co. ................................... 153,719
17,787 Dana Corp. ................................................. 205,618
66,537 Delphi Corp. ............................................... 574,214
20,208 The Goodyear Tire & Rubber Co. ............................. 106,092
10,511 Johnson Controls, Inc. ..................................... 899,742
15,470 Visteon Corp. .............................................. 106,279
- -----------------------------------------------------------------------------------------------
2,045,664
- -----------------------------------------------------------------------------------------------
AUTOMOBILES -- 0.6%
217,122 Ford Motor Co. ............................................. 2,386,171
66,233 General Motors Corp. ....................................... 2,384,388
35,679 Harley-Davidson, Inc. ...................................... 1,422,165
- -----------------------------------------------------------------------------------------------
6,192,724
- -----------------------------------------------------------------------------------------------
BANKS -- 7.2%
42,193..... AmSouth Bancorp............................................. 921,495
177,523 Bank of America Corp. ...................................... 14,029,643
90,478 The Bank of New York Co., Inc. ............................. 2,601,242
137,592 Bank One Corp. ............................................. 5,115,671
55,556 BB&T Corp. ................................................. 1,905,571
26,529 Charter One Financial, Inc. ................................ 827,174
20,636 Comerica, Inc. ............................................. 959,574
68,289 Fifth Third Bancorp......................................... 3,915,691
14,722 First Tennessee National Corp. ............................. 646,443
123,947 FleetBoston Financial Corp. ................................ 3,682,465
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
21
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
EQUITY INDEX PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------------
BANKS -- 7.2% (CONTINUED)
18,078 Golden West Financial Corp. ................................ $ 1,446,421
27,828 Huntington Bancshares Inc. ................................. 543,203
50,186 KeyCorp..................................................... 1,268,200
25,955 Marshall & Ilsley Corp. .................................... 793,704
51,012 Mellon Financial Corp. ..................................... 1,415,583
72,167 National City Corp. ........................................ 2,360,583
18,937 North Fork Bancorp, Inc. ................................... 644,994
26,083 Northern Trust Corp. ....................................... 1,090,009
33,582 PNC Financial Services Group................................ 1,639,137
26,052 Regions Financial Corp. .................................... 880,037
40,696 SouthTrust Corp. ........................................... 1,106,931
33,439 SunTrust Banks, Inc. ....................................... 1,984,270
36,093 Synovus Financial Corp. .................................... 776,000
226,289 U.S. Bancorp................................................ 5,544,080
23,544 Union Planters Corp. ....................................... 730,570
160,601 Wachovia Corp. ............................................. 6,417,616
111,887 Washington Mutual, Inc. .................................... 4,620,933
199,933 Wells Fargo & Co. .......................................... 10,076,623
10,700 Zion Bancorporation......................................... 541,527
- -----------------------------------------------------------------------------------------------
78,485,390
- -----------------------------------------------------------------------------------------------
BEVERAGES -- 2.8%
4,236 Adolph Coors Co., Class B Shares............................ 207,479
101,212 Anheuser-Busch Co., Inc. ................................... 5,166,873
7,105 Brown-Forman Corp., Class B Shares.......................... 558,595
292,958 The Coca-Cola Co. .......................................... 13,596,180
53,087 Coca-Cola Enterprises Inc. ................................. 963,529
33,283 Pepsi Bottling Group, Inc. ................................. 666,326
203,932 PepsiCo, Inc. .............................................. 9,074,974
- -----------------------------------------------------------------------------------------------
30,233,956
- -----------------------------------------------------------------------------------------------
BIOTECHNOLOGY -- 1.3%
152,037 Amgen Inc. (a).............................................. 10,101,338
17,672 Biogen, Inc. (a)............................................ 671,536
22,157 Chiron Corp. (a)............................................ 968,704
25,446 Genzyme Corp. -- General Division (a)....................... 1,063,643
29,646 MedImmune, Inc. (a)......................................... 1,078,225
- -----------------------------------------------------------------------------------------------
13,883,446
- -----------------------------------------------------------------------------------------------
BUILDING PRODUCTS -- 0.2%
8,589 American Standard Cos. Inc. (a)............................. 634,985
7,229 Crane Co. .................................................. 163,592
57,963 Masco Corp. ................................................ 1,382,418
- -----------------------------------------------------------------------------------------------
2,180,995
- -----------------------------------------------------------------------------------------------
CHEMICALS -- 1.4%
26,908 Air Products & Chemicals, Inc. ............................. 1,119,373
107,752 The Dow Chemical Co. ....................................... 3,336,002
117,595 E.I. du Pont de Nemours & Co. .............................. 4,896,656
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
22
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
EQUITY INDEX PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------------
CHEMICALS -- 1.4% (CONTINUED)
9,049 Eastman Chemical Co. ....................................... $ 286,582
30,710 Ecolab, Inc. ............................................... 786,176
15,066 Engelhard Corp. ............................................ 373,185
5,888 Great Lakes Chemical Corp. ................................. 120,115
12,786 Hercules, Inc. (a).......................................... 126,581
11,193 International Flavors & Fragrances, Inc. ................... 357,392
30,733 Monsanto Co. ............................................... 665,062
20,081 PPG Industries, Inc. ....................................... 1,018,910
19,072 Praxair, Inc. .............................................. 1,146,227
25,999 Rohm & Hass Co. ............................................ 806,749
8,562 Sigma Aldrich Corp. ........................................ 463,889
- -----------------------------------------------------------------------------------------------
15,502,899
- -----------------------------------------------------------------------------------------------
COMMERCIAL SERVICES AND SUPPLIES -- 1.9%
24,734 Allied Waste Industries, Inc. (a)........................... 248,577
20,597 Apollo Group, Inc., Class A Shares.......................... 1,272,071
70,760 Automatic Data Processing Inc. ............................. 2,395,934
12,893 Avery Dennison Corp. ....................................... 647,229
121,939 Cendant Corp. (a)........................................... 2,233,922
20,090 Cintas Corp. ............................................... 711,990
59,918 Concord EFS, Inc. (a)....................................... 881,993
20,283 Convergys Corp. (a)......................................... 324,528
6,711 Deluxe Corp................................................. 300,653
17,014 Equifax, Inc. .............................................. 442,364
88,823 First Data Corp. ........................................... 3,680,825
22,733 Fiserv, Inc. (a)............................................ 809,522
21,024 H&R Block, Inc. ............................................ 909,288
13,052 Monster Worldwide, Inc. (a)................................. 257,516
44,283 Paychex, Inc. .............................................. 1,297,935
27,933 Pitney Bowes, Inc. ......................................... 1,072,907
13,289 R.R. Donnelley & Sons Co. .................................. 347,374
20,247 Robert Half International Inc. (a).......................... 383,478
16,910 Sabre Holdings Corp. (a).................................... 416,832
70,449 Waste Management, Inc. ..................................... 1,697,116
- -----------------------------------------------------------------------------------------------
20,332,054
- -----------------------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT -- 2.2%
94,224 ADC Telecommunications, Inc. (a)............................ 219,353
11,830 Andrew Corp. (a)............................................ 108,836
44,499 Avaya Inc. (a).............................................. 287,464
51,521 CIENA Corp. (a)............................................. 267,394
840,013 Cisco Systems, Inc. (a)..................................... 14,019,817
21,961 Comverse Technology, Inc. (a)............................... 330,074
141,962 Corning, Inc. (a)........................................... 1,049,099
168,724 JDS Uniphase Corp. (a)...................................... 592,221
488,049 Lucent Technologies, Inc. (a)............................... 990,739
272,081 Motorola, Inc. ............................................. 2,565,724
93,096 QUALCOMM, Inc. (a).......................................... 3,328,182
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
23
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
EQUITY INDEX PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT -- 2.2% (CONTINUED)
17,903 Scientific-Atlanta, Inc. ................................... $ 426,808
48,098 Tellabs, Inc. (a)........................................... 316,004
- -----------------------------------------------------------------------------------------------
24,501,715
- -----------------------------------------------------------------------------------------------
COMPUTERS AND PERIPHERALS -- 3.8%
42,668 Apple Computer, Inc. (a).................................... 815,812
304,751 Dell Computer Corp. (a)(b).................................. 9,739,842
259,989 EMC Corp. (a)............................................... 2,722,085
37,630 Gateway, Inc. (a)........................................... 137,350
360,604 Hewlett-Packard Co. ........................................ 7,680,865
199,631 International Business Machines Corp. ...................... 16,469,558
14,827 Lexmark International, Inc. (a)............................. 1,049,307
11,517 NCR Corp. (a)............................................... 295,066
39,823 Network Appliance, Inc. (a)................................. 645,531
378,480 Sun Microsystems, Inc. (a).................................. 1,741,008
- -----------------------------------------------------------------------------------------------
41,296,424
- -----------------------------------------------------------------------------------------------
CONSTRUCTION AND ENGINEERING -- 0.0%
9,481 Fluor Corp. ................................................ 318,941
7,039 McDermott International, Inc. (a)........................... 44,557
- -----------------------------------------------------------------------------------------------
363,498
- -----------------------------------------------------------------------------------------------
CONSTRUCTION MATERIALS -- 0.0%
12,125 Vulcan Materials Co. ....................................... 449,474
- -----------------------------------------------------------------------------------------------
CONTAINERS AND PACKAGING -- 0.2%
6,792 Ball Corp. ................................................. 309,104
6,160 Bemis, Inc. ................................................ 288,288
18,503 Pactiv Corp. (a)............................................ 364,694
9,927 Sealed Air Corp. (a)........................................ 473,121
6,432 Temple-Inland, Inc. ........................................ 275,997
- -----------------------------------------------------------------------------------------------
1,711,204
- -----------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIALS -- 7.9%
155,381 American Express Co. ....................................... 6,496,480
11,677 The Bear Stearns Cos. Inc. ................................. 845,648
26,269 Capital One Financial Corp. ................................ 1,291,909
158,469 The Charles Schwab Corp. ................................... 1,598,952
607,188 Citigroup Inc. ............................................. 25,987,646
15,000 Countrywide Credit Industries, Inc. ........................ 1,043,550
117,550 Fannie Mae.................................................. 7,927,572
12,985 Federated Investors, Inc., Class B Shares................... 356,049
30,298 Franklin Resources, Inc. ................................... 1,183,743
82,171 Freddie Mac................................................. 4,171,822
55,707 The Goldman Sachs Group, Inc. .............................. 4,665,461
235,787 J.P. Morgan Chase & Co. .................................... 8,059,200
26,302 Janus Capital Group, Inc. .................................. 431,353
28,710 Lehman Brothers Holdings, Inc. ............................. 1,908,641
150,936 MBNA Corp. ................................................. 3,145,506
109,520 Merrill Lynch & Co., Inc. .................................. 5,112,394
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
24
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
EQUITY INDEX PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIALS -- 7.9% (CONTINUED)
17,907 Moody's Corp. .............................................. $ 943,878
128,084 Morgan Stanley.............................................. 5,475,591
37,847 Principal Financial Group, Inc. ............................ 1,220,566
33,584 Providian Financial Corp. (a)............................... 310,988
54,375 SLM Corp. .................................................. 2,129,869
39,365 State Street Corp. ......................................... 1,550,981
14,359 T. Rowe Price Group Inc. ................................... 542,052
- -----------------------------------------------------------------------------------------------
86,399,851
- -----------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 3.3%
36,764 ALLTEL Corp. ............................................... 1,772,760
90,947 AT&T Corp. ................................................. 1,750,730
220,028 BellSouth Corp. ............................................ 5,859,346
16,829 CenturyTel, Inc. ........................................... 586,491
33,244 Citizens Communications Co. (a)............................. 428,515
201,353 Qwest Communications International Inc. .................... 962,467
392,242 SBC Communications, Inc. ................................... 10,021,783
105,342 Sprint Corp. (FON Group).................................... 1,516,925
323,312 Verizon Communications Inc. ................................ 12,754,658
- -----------------------------------------------------------------------------------------------
35,653,675
- -----------------------------------------------------------------------------------------------
ELECTRIC UTILITIES -- 2.2%
14,262 Allegheny Energy, Inc. ..................................... 120,514
18,785 Ameren Corp. ............................................... 828,418
45,929 American Electric Power, Inc. .............................. 1,370,062
20,004 Cinergy Corp. .............................................. 735,947
16,984 CMS Energy Corp. ........................................... 137,570
25,151 Consolidated Edison, Inc. .................................. 1,088,535
19,575 Constellation Energy Group.................................. 671,422
36,357 Dominion Resources, Inc. ................................... 2,336,664
19,737 DTE Energy Co. ............................................. 762,638
38,748 Edison International (a).................................... 636,630
26,292 Entergy Corp. .............................................. 1,387,692
38,147 Exelon Corp. ............................................... 2,281,572
35,185 FirstEnergy Corp. .......................................... 1,352,863
21,509 FPL Group, Inc. ............................................ 1,437,877
47,849 PG&E Corp. (a).............................................. 1,012,006
10,620 Pinnacle West Capital Corp. ................................ 397,719
19,419 PPL Corp. .................................................. 835,017
27,969 Progress Energy, Inc. ...................................... 1,227,839
26,260 Public Service Enterprise Group Inc. ....................... 1,109,485
84,330 Southern Co. ............................................... 2,627,723
20,751 TECO Energy, Inc. .......................................... 248,804
38,290 TXU Corp. .................................................. 859,610
46,992 Xcel Energy, Inc. .......................................... 706,760
- -----------------------------------------------------------------------------------------------
24,173,367
- -----------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
25
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
EQUITY INDEX PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT -- 0.4%
23,422 American Power Conversion Corp. (a)......................... $ 365,149
10,897 Cooper Industries Inc., Class A Shares...................... 450,046
49,763 Emerson Electric Co. ....................................... 2,542,889
22,691 Molex, Inc. ................................................ 612,430
9,109 Power-One, Inc. (a)......................................... 65,129
21,961 Rockwell Automation, Inc. .................................. 523,550
7,089 Thomas & Betts Corp. (a).................................... 102,436
- -----------------------------------------------------------------------------------------------
4,661,629
- -----------------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT AND INSTRUMENTS -- 0.4%
55,386 Agilent Technologies, Inc. (a).............................. 1,082,796
23,222 Jabil Circuit, Inc. (a)..................................... 513,206
5,676 Millipore Corp. ............................................ 251,844
14,798 PerkinElmer, Inc. .......................................... 204,360
60,649 Sanmina-SCI Corp. (a)....................................... 382,695
96,491 Solectron Corp. (a)......................................... 360,876
27,450 Symbol Technologies, Inc. .................................. 357,124
10,454 Tektronix, Inc. (a)......................................... 225,806
19,156 Thermo Electron Corp. (a)................................... 402,659
15,154 Waters Corp. (a)............................................ 441,436
- -----------------------------------------------------------------------------------------------
4,222,802
- -----------------------------------------------------------------------------------------------
ENERGY EQUIPMENT AND SERVICES -- 0.8%
39,816 Baker Hughes, Inc. ......................................... 1,336,623
18,745 BJ Services Co. (a)......................................... 700,313
51,645 Halliburton Co. ............................................ 1,187,835
17,199 Nabors Industries, Ltd. (a)................................. 680,220
15,802 Noble Corp. (a)............................................. 542,009
11,159 Rowan Cos., Inc. (a)........................................ 249,962
68,779 Schlumberger Ltd. .......................................... 3,271,817
37,529 Transocean Sedco Forex Inc. (a)............................. 824,512
- -----------------------------------------------------------------------------------------------
8,793,291
- -----------------------------------------------------------------------------------------------
FOOD AND DRUG RETAILING -- 1.0%
44,708 Albertson's, Inc. .......................................... 858,394
46,434 CVS Corp. .................................................. 1,301,545
90,170 Kroger Co. (a).............................................. 1,504,036
52,136 Safeway Inc. (a)............................................ 1,066,703
15,708 SUPERVALU INC. ............................................. 334,895
77,352 SYSCO Corp. ................................................ 2,323,654
121,127 Walgreen Co. ............................................... 3,645,923
16,507 Winn-Dixie Stores Inc. ..................................... 203,201
- -----------------------------------------------------------------------------------------------
11,238,351
- -----------------------------------------------------------------------------------------------
FOOD PRODUCTS -- 1.2%
76,351 Archer-Daniels-Midland Co. ................................. 982,637
48,370 Campbell Soup Co. .......................................... 1,185,065
63,396 ConAgra, Inc. .............................................. 1,496,146
43,519 General Mills, Inc. ........................................ 2,063,236
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
26
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
EQUITY INDEX PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------------
FOOD PRODUCTS -- 1.2% (CONTINUED)
41,560 H.J. Heinz Co. ............................................. $ 1,370,649
16,036 Hershey Foods Corp. ........................................ 1,117,068
48,163 Kellogg Co. ................................................ 1,655,362
16,507 McCormick & Co., Inc. ...................................... 448,990
92,273 Sara Lee Corp. ............................................. 1,735,655
26,613 Wm. Wrigley Jr. Co. ........................................ 1,496,449
- -----------------------------------------------------------------------------------------------
13,551,257
- -----------------------------------------------------------------------------------------------
GAS UTILITIES -- 0.3%
18,488 KeySpan Corp. .............................................. 655,400
14,478 Kinder Morgan, Inc. ........................................ 791,223
5,230 NICOR, Inc. ................................................ 194,085
29,472 NiSource Inc. .............................................. 559,968
4,113 Peoples Energy Corp. ....................................... 176,407
24,158 Sempra Energy............................................... 689,228
- -----------------------------------------------------------------------------------------------
3,066,311
- -----------------------------------------------------------------------------------------------
HEALTHCARE EQUIPMENT AND SUPPLIES -- 1.9%
24,710 Applera Corp. -- Applied Biosystems Group................... 470,231
6,430 Bausch & Lomb, Inc. ........................................ 241,125
70,056 Baxter International, Inc. ................................. 1,821,456
30,097 Becton Dickinson & Co. ..................................... 1,169,268
30,641 Biomet, Inc. ............................................... 878,171
48,206 Boston Scientific Corp. (a)................................. 2,945,387
6,034 C.R. Bard, Inc. ............................................ 430,285
36,266 Guidant Corp. (a)........................................... 1,609,848
143,977 Medtronic, Inc. ............................................ 6,906,577
20,990 St. Jude Medical, Inc. (a).................................. 1,206,925
23,320 Stryker Corp. .............................................. 1,617,708
23,059 Zimmer Holdings, Inc. (a)................................... 1,038,808
- -----------------------------------------------------------------------------------------------
20,335,789
- -----------------------------------------------------------------------------------------------
HEALTHCARE PROVIDERS AND SERVICES -- 1.7%
17,857 AETNA, Inc. ................................................ 1,074,991
12,939 AmerisourceBergen Corp. .................................... 897,320
16,672 Anthem, Inc. (a)............................................ 1,286,245
53,369 Cardinal Health, Inc. ...................................... 3,431,627
16,513 CIGNA Corp. ................................................ 775,120
60,513 HCA Inc. ................................................... 1,938,837
28,198 Health Management Associates, Inc., Class A Shares.......... 520,253
19,273 Humana, Inc. (a)............................................ 291,022
28,786 IMS Health, Inc. ........................................... 517,860
10,509 Manor Care, Inc. (a)........................................ 262,830
34,516 McKesson HBOC, Inc. ........................................ 1,233,602
12,489 Quest Diagnostics Inc. (a).................................. 796,798
13,974 Quintiles Transnational Corp. (a)........................... 198,291
56,197 Tenet Healthcare Corp. (a).................................. 654,695
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
27
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
EQUITY INDEX PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------------
HEALTHCARE PROVIDERS AND SERVICES -- 1.7% (CONTINUED)
71,902 UnitedHealth Group Inc. .................................... $ 3,613,076
17,606 WellPoint Health Networks, Inc. (a)......................... 1,484,186
- -----------------------------------------------------------------------------------------------
18,976,753
- -----------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS AND LEISURE -- 1.1%
74,382 Carnival Corp. ............................................. 2,418,159
20,199 Darden Restaurants, Inc. ................................... 383,377
13,122 Harrah's Entertainment, Inc. (a)............................ 528,029
44,333 Hilton Hotels Corp. ........................................ 567,019
10,081 International Game Technology (a)........................... 1,031,589
27,574 Marriott International Inc., Class A Shares................. 1,059,393
149,785 McDonald's Corp. ........................................... 3,304,257
45,770 Starbucks Corp. (a)......................................... 1,122,280
23,512 Starwood Hotels & Resorts Worldwide, Inc. .................. 672,208
13,594 Wendy's International, Inc. ................................ 393,818
34,950 Yum! Brands, Inc. .......................................... 1,033,122
- -----------------------------------------------------------------------------------------------
12,513,251
- -----------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES -- 0.5%
7,819 American Greetings Corp., Class A Shares (a)................ 153,565
9,290 Black & Decker Corp. ....................................... 403,650
7,229 Centex Corp. ............................................... 562,344
17,706 Fortune Brands, Inc. ....................................... 924,253
5,689 KB HOME..................................................... 352,604
23,067 Leggett & Platt, Inc. ...................................... 472,874
9,385 Maytag Corp. ............................................... 229,182
31,559 Newell Rubbermaid Inc. ..................................... 883,652
7,279 Pulte Homes, Inc. .......................................... 448,823
6,945 Snap-on Inc. ............................................... 201,613
10,592 The Stanley Works........................................... 292,339
6,727 Tupperware Corp. ........................................... 96,600
8,020 Whirlpool Corp. ............................................ 510,874
- -----------------------------------------------------------------------------------------------
5,532,373
- -----------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS -- 2.0%
25,981 Clorox Co. ................................................. 1,108,090
63,530 Colgate Palmolive Co. ...................................... 3,681,564
60,711 Kimberly-Clark Corp. ....................................... 3,165,472
152,741 The Procter & Gamble Co. ................................... 13,621,442
- -----------------------------------------------------------------------------------------------
21,576,568
- -----------------------------------------------------------------------------------------------
INDUSTRIAL CONGLOMERATES -- 4.1%
46,087 3M Co. ..................................................... 5,944,301
1,175,697 General Electric Co. ....................................... 33,718,990
16,046 Textron, Inc. .............................................. 626,115
235,601 Tyco International Ltd. .................................... 4,471,707
- -----------------------------------------------------------------------------------------------
44,761,113
- -----------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
28
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
EQUITY INDEX PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------------
INSURANCE -- 4.4%
30,990 ACE Ltd. ................................................... $ 1,062,647
61,025 AFLAC, Inc. ................................................ 1,876,519
82,938 Allstate Corp. ............................................. 2,956,740
12,512 Ambac Financial Group, Inc. ................................ 828,920
308,210 American International Group, Inc. ......................... 17,007,028
36,733 Aon Corp. .................................................. 884,531
20,250 The Chubb Corp. ............................................ 1,215,000
19,095 Cincinnati Financial Corp. ................................. 708,234
33,033 The Hartford Financial Services Group, Inc. ................ 1,663,542
16,994 Jefferson Pilot Corp. ...................................... 704,571
34,185 John Hancock Financial Services, Inc. ...................... 1,050,505
20,880 Lincoln National Corp. ..................................... 743,954
21,934 Loews Corp. ................................................ 1,037,259
63,515 Marsh & McLennan Cos., Inc. ................................ 3,243,711
17,125 MBIA, Inc. ................................................. 834,844
89,901 MetLife, Inc. .............................................. 2,545,996
11,939 MGIC Investment Corp. ...................................... 556,835
25,737 The Progressive Corp. ...................................... 1,881,375
67,033 Prudential Financial, Inc. ................................. 2,255,660
16,272 SAFECO Corp. ............................................... 574,076
26,673 The St. Paul Cos., Inc. .................................... 973,831
13,943 Torchmark Corp. ............................................ 519,377
118,557 Travelers Property Casualty Corp., Class B Shares........... 1,869,644
33,930 UnumProvident Corp. ........................................ 455,001
16,005 XL Capital Ltd., Class A Shares............................. 1,328,415
- -----------------------------------------------------------------------------------------------
48,778,215
- -----------------------------------------------------------------------------------------------
INTERNET AND CATALOG RETAIL -- 0.3%
36,488 eBay Inc. (a)............................................... 3,801,320
- -----------------------------------------------------------------------------------------------
INTERNET SOFTWARE AND SERVICES -- 0.2%
69,910 Yahoo! Inc. (a)............................................. 2,290,252
- -----------------------------------------------------------------------------------------------
IT CONSULTING AND SERVICES -- 0.3%
21,990 Computer Sciences Corp. (a)................................. 838,259
56,406 Electronic Data Systems Corp. .............................. 1,209,908
33,547 SunGard Data Systems Inc. (a)............................... 869,203
38,939 Unisys Corp. (a)............................................ 478,171
- -----------------------------------------------------------------------------------------------
3,395,541
- -----------------------------------------------------------------------------------------------
LEISURE EQUIPMENT AND PRODUCTS -- 0.2%
10,553 Brunswick Corp. ............................................ 264,036
34,414 Eastman Kodak Co. .......................................... 941,223
20,613 Hasbro, Inc. ............................................... 360,521
51,429 Mattel, Inc. ............................................... 973,037
- -----------------------------------------------------------------------------------------------
2,538,817
- -----------------------------------------------------------------------------------------------
MACHINERY -- 1.1%
40,600 Caterpillar Inc. ........................................... 2,259,796
4,926 Cummins Inc. ............................................... 176,794
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
29
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
EQUITY INDEX PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------------
MACHINERY -- 1.1% (CONTINUED)
18,017 Danaher Corp. .............................................. $ 1,226,057
28,223 Deere & Co. ................................................ 1,289,791
24,015 Dover Corp. ................................................ 719,489
8,340 Eaton Corp. ................................................ 655,607
36,376 Illinois Tool Works, Inc. .................................. 2,395,360
20,087 Ingersoll-Rand Co. ......................................... 950,517
10,797 ITT Industries, Inc. ....................................... 706,772
7,894 Navistar International Corp. (a)............................ 257,581
13,720 PACCAR Inc. (c)............................................. 926,923
14,423 Pall Corp. ................................................. 324,518
13,952 Parker-Hannifin Corp. ...................................... 585,844
- -----------------------------------------------------------------------------------------------
12,475,049
- -----------------------------------------------------------------------------------------------
MEDIA -- 4.1%
528,376 AOL Time Warner Inc. (a).................................... 8,501,570
72,263 Clear Channel Communications, Inc. (a)...................... 3,063,229
272,809 Comcast Corp., Class A Shares (a)........................... 8,233,376
9,771 Dow Jones & Co., Inc. ...................................... 420,446
31,616 Gannett Co., Inc. .......................................... 2,428,425
45,695 The Interpublic Group Cos., Inc. ........................... 611,399
9,702 Knight Ridder, Inc. ........................................ 668,759
22,938 McGraw Hill, Inc. .......................................... 1,422,156
5,865 Meredith Corp. ............................................. 258,060
17,777 The New York Times Co., Class A Shares...................... 808,854
22,196 Omnicom Group, Inc. ........................................ 1,591,453
35,911 Tribune Co. ................................................ 1,734,501
26,920 Univision Communications Inc., Class A Shares (a)........... 818,368
207,991 Viacom Inc., Class B Shares (a)............................. 9,080,887
241,265 The Walt Disney Co. ........................................ 4,764,984
- -----------------------------------------------------------------------------------------------
44,406,467
- -----------------------------------------------------------------------------------------------
METALS AND MINING -- 0.5%
99,938 Alcoa Inc. ................................................. 2,548,419
10,146 Allegheny Technologies, Inc. ............................... 66,964
17,025 Freeport-McMoRan Copper & Gold Inc., Class B Shares (a)..... 417,112
47,531 Newmont Mining Corp. ....................................... 1,542,856
9,144 Nucor Corp. ................................................ 446,684
10,531 Phelps Dodge Corp. (a)...................................... 403,759
12,147 United States Steel Corp. .................................. 198,846
10,041 Worthington Industries, Inc. ............................... 134,549
- -----------------------------------------------------------------------------------------------
5,759,189
- -----------------------------------------------------------------------------------------------
MULTILINE RETAIL -- 3.8%
13,547 Big Lots, Inc. (a).......................................... 203,747
53,738 Costco Wholesale Corp. (a).................................. 1,966,811
10,007 Dillard's, Inc., Class A Shares............................. 134,794
39,635 Dollar General Corp. ....................................... 723,735
20,414 Family Dollar Stores, Inc. ................................. 778,794
22,587 Federated Department Stores, Inc. .......................... 832,331
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
30
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
EQUITY INDEX PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------------
MULTILINE RETAIL -- 3.8% (CONTINUED)
31,441 J.C. Penney Co., Inc. ...................................... $ 529,781
39,907 Kohl's Corp. (a)............................................ 2,050,422
34,177 May Department Stores Co. .................................. 760,780
16,008 Nordstrom, Inc. ............................................ 312,476
37,501 Sears Roebuck & Co. ........................................ 1,261,534
107,388 Target Corp. ............................................... 4,063,562
521,440 Wal-Mart Stores Inc. ....................................... 27,985,685
- -----------------------------------------------------------------------------------------------
41,604,452
- -----------------------------------------------------------------------------------------------
MULTI-UTILITIES -- 0.4%
63,893 The AES Corp. (a)........................................... 405,721
43,830 Calpine Corp. (a)........................................... 289,278
36,302 CenterPoint Energy, Inc. ................................... 295,861
105,188 Duke Energy Corp. .......................................... 2,098,501
43,418 Dynegy Inc., Class A Shares................................. 182,356
48,511 Mirant Corp. (a)............................................ 140,682
60,492 Williams Cos., Inc. ........................................ 477,887
- -----------------------------------------------------------------------------------------------
3,890,286
- -----------------------------------------------------------------------------------------------
OFFICE ELECTRONICS -- 0.1%
87,142 Xerox Corp. (a)............................................. 922,834
- -----------------------------------------------------------------------------------------------
OIL AND GAS -- 4.9%
10,627 Amerada Hess Corp. ......................................... 522,636
29,369 Anadarko Petroleum Corp. ................................... 1,306,039
18,833 Apache Corp. ............................................... 1,225,275
8,127 Ashland, Inc. .............................................. 249,336
23,805 Burlington Resources, Inc. ................................. 1,287,136
126,220 ChevronTexaco Corp. ........................................ 9,113,084
79,982 ConocoPhillips.............................................. 4,383,014
27,112 Devon Energy Corp. ......................................... 1,447,781
70,933 El Paso Energy Corp. ....................................... 573,139
13,726 EOG Resources, Inc. ........................................ 574,296
794,874 Exxon Mobil Corp. .......................................... 28,543,925
11,795 Kerr-McGee Corp. ........................................... 528,416
36,863 Marathon Oil Corp. ......................................... 971,340
44,739 Occidental Petroleum Corp. ................................. 1,500,993
9,065 Sunoco, Inc. ............................................... 342,113
30,628 Unocal Corp. ............................................... 878,717
- -----------------------------------------------------------------------------------------------
53,447,240
- -----------------------------------------------------------------------------------------------
PAPER AND FOREST PRODUCTS -- 0.4%
6,800 Boise Cascade Corp. ........................................ 162,520
29,455 Georgia Pacific Corp. ...................................... 558,172
56,510 International Paper Co. .................................... 2,019,102
12,557 Louisiana Pacific Corp. (a)................................. 136,118
23,768 MeadWestvaco Corp. ......................................... 587,070
25,874 Weyerhaeuser Co. ........................................... 1,397,196
- -----------------------------------------------------------------------------------------------
4,860,178
- -----------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
31
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
EQUITY INDEX PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------------
PERSONAL PRODUCTS -- 0.5%
6,956 Alberto Culver Co., Class B Shares.......................... $ 355,452
27,758 Avon Products, Inc. ........................................ 1,726,548
123,336 The Gillette Co. ........................................... 3,929,485
- -----------------------------------------------------------------------------------------------
6,011,485
- -----------------------------------------------------------------------------------------------
PHARMACEUTICALS -- 9.5%
184,589 Abbott Laboratories......................................... 8,077,615
15,360 Allergan, Inc. ............................................. 1,184,256
228,874 Bristol-Myers Squibb Co. ................................... 6,213,929
132,696 Eli Lilly & Co. ............................................ 9,152,043
42,791 Forest Laboratories, Inc., Class A Shares (a)............... 2,342,807
350,980 Johnson & Johnson........................................... 18,145,666
28,602 King Pharmaceuticals, Inc. (a).............................. 422,166
265,306 Merck & Co. Inc. ........................................... 16,064,278
941,692 Pfizer Inc. (c)............................................. 32,158,782
173,144 Schering-Plough Corp. ...................................... 3,220,478
12,662 Watson Pharmaceuticals, Inc. (a)............................ 511,165
156,726 Wyeth....................................................... 7,138,869
- -----------------------------------------------------------------------------------------------
104,632,054
- -----------------------------------------------------------------------------------------------
REAL ESTATE -- 0.4%
10,962 Apartment Investment & Management Co., Class A Shares....... 379,285
48,614 Equity Office Properties Trust.............................. 1,313,064
31,820 Equity Residential Properties Trust......................... 825,729
21,877 Plum Creek Timber Co., Inc. ................................ 567,708
21,848 Simon Property Group, Inc. ................................. 852,727
- -----------------------------------------------------------------------------------------------
3,938,513
- -----------------------------------------------------------------------------------------------
ROAD AND RAIL -- 0.4%
44,415 Burlington Northern Santa Fe Corp. ......................... 1,263,163
25,301 CSX Corp. .................................................. 761,307
45,968 Norfolk Southern Corp. ..................................... 882,586
29,965 Union Pacific Corp. ........................................ 1,738,569
- -----------------------------------------------------------------------------------------------
4,645,625
- -----------------------------------------------------------------------------------------------
SEMICONDUCTOR EQUIPMENT AND PRODUCTS -- 3.2%
41,200 Advanced Micro Devices, Inc. (a)............................ 264,092
45,263 Altera Corp. (a)............................................ 742,313
42,946 Analog Devices, Inc. (a).................................... 1,495,380
195,036 Applied Materials, Inc. (a)................................. 3,093,271
36,527 Applied Micro Circuits Corp. (a)............................ 220,988
32,527 Broadcom Corp., Class A Shares (a).......................... 810,248
782,864 Intel Corp. ................................................ 16,271,045
22,463 KLA-Tencor Corp. (a)........................................ 1,044,305
36,941 Linear Technology Corp. .................................... 1,189,870
43,116 LSI Logic Corp. (a)......................................... 305,261
38,099 Maxim Integrated Products, Inc. ............................ 1,302,605
72,114 Micron Technology, Inc. (a)................................. 838,686
21,504 National Semiconductor Corp. (a)............................ 424,059
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
32
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
EQUITY INDEX PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------------
SEMICONDUCTOR EQUIPMENT AND PRODUCTS -- 3.2% (CONTINUED)
17,740 Novellus Systems, Inc. (a).................................. $ 649,657
18,816 NVIDIA Corp. (a)............................................ 432,956
19,530 PMC-Sierra, Inc. (a)........................................ 229,087
11,086 QLogic Corp. (a)............................................ 535,786
21,560 Teradyne, Inc. (a).......................................... 373,204
204,691 Texas Instruments Inc. ..................................... 3,602,562
40,012 Xilinx, Inc. (a)............................................ 1,012,704
- -----------------------------------------------------------------------------------------------
34,838,079
- -----------------------------------------------------------------------------------------------
SOFTWARE -- 4.5%
27,398 Adobe Systems, Inc. ........................................ 878,654
13,657 Autodesk, Inc. ............................................. 220,697
27,732 BMC Software, Inc. (a)...................................... 452,864
20,240 Citrix Systems, Inc. (a).................................... 412,086
67,675 Computer Associates International, Inc. .................... 1,507,799
44,253 Compuware Corp. (a)......................................... 255,340
16,845 Electronic Arts Inc. (a).................................... 1,246,362
24,190 Intuit Inc. (a)............................................. 1,077,181
10,081 Mercury Interactive Corp. (a)............................... 389,227
1,264,050 Microsoft Corp. ............................................ 32,372,315
43,193 Novell, Inc. (a)............................................ 133,034
622,718 Oracle Corp. (a)............................................ 7,485,070
29,808 Parametric Technology, Inc. (a)............................. 90,914
37,095 PeopleSoft, Inc. (a)........................................ 652,501
57,219 Siebel Systems, Inc. (a).................................... 545,869
17,548 Symantec Corp. (a).......................................... 769,655
48,491 VERITAS Software Corp. (a).................................. 1,390,237
- -----------------------------------------------------------------------------------------------
49,879,805
- -----------------------------------------------------------------------------------------------
SPECIALTY RETAIL -- 2.3%
34,615 AutoNation, Inc. (a)........................................ 544,148
11,550 AutoZone, Inc. (a).......................................... 877,454
34,665 Bed Bath and Beyond, Inc. (a)............................... 1,345,349
37,892 Best Buy Co., Inc. (a)...................................... 1,664,217
24,614 Circuit City Stores-Circuit City Group...................... 216,603
104,362 The Gap, Inc. .............................................. 1,957,831
274,724 The Home Depot, Inc. ....................................... 9,098,859
62,055 Limited Brands.............................................. 961,852
92,256 Lowe's Cos., Inc. .......................................... 3,962,395
36,241 Office Depot, Inc. (a)...................................... 525,857
19,809 RadioShack Corp. ........................................... 521,175
17,735 The Sherwin-Williams Co. ................................... 476,717
56,154 Staples, Inc. (a)........................................... 1,030,426
17,133 Tiffany & Co. .............................................. 559,906
62,096 The TJX Cos., Inc. ......................................... 1,169,889
25,038 Toys "R" Us, Inc. (a)....................................... 303,461
- -----------------------------------------------------------------------------------------------
25,216,139
- -----------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
33
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
EQUITY INDEX PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------------
TEXTILES AND APPAREL -- 0.3%
15,093 Jones Apparel Group, Inc. (a)............................... $ 441,621
12,492 Liz Claiborne, Inc. ........................................ 440,343
31,225 NIKE Inc., Class B Shares................................... 1,670,225
7,139 Reebok International Ltd. (a)............................... 240,085
12,717 VF Corp. ................................................... 431,996
- -----------------------------------------------------------------------------------------------
3,224,270
- -----------------------------------------------------------------------------------------------
TOBACCO -- 1.1%
244,325 Altria Group, Inc. ......................................... 11,102,128
10,032 R.J. Reynolds Tobacco Holdings, Inc. ....................... 373,291
19,817 UST Inc. ................................................... 694,190
- -----------------------------------------------------------------------------------------------
12,169,609
- -----------------------------------------------------------------------------------------------
TRADING COMPANIES AND DISTRIBUTORS -- 0.1%
20,711 Genuine Parts Co. .......................................... 662,959
10,760 W.W. Grainger, Inc. ........................................ 503,138
- -----------------------------------------------------------------------------------------------
1,166,097
- -----------------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES -- 0.5%
319,570 AT&T Wireless Services Inc. (a)............................. 2,623,670
121,328 Nextel Communications, Inc., Class A Shares (a)............. 2,193,610
117,376 Sprint Corp. (PCS Group) (a)................................ 674,912
- -----------------------------------------------------------------------------------------------
5,492,192
- -----------------------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $1,279,022,977)................. 1,063,226,860
- -----------------------------------------------------------------------------------------------
<Caption>
FACE
AMOUNT SECURITY VALUE
- -----------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 3.0%
- -----------------------------------------------------------------------------------------------
U.S. TREASURY BILL -- 0.4%
$ 4,825,000 United States Treasury Bill, zero coupon due 9/11/03 (d)
(Cost -- $4,814,328)........................................ 4,814,328
- -----------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 2.6%
28,655,000 Merrill Lynch & Co., Inc., 1.050% due 7/1/03; Proceeds at
maturity -- $28,655,836; (Fully collateralized by various
U.S. government and agency obligations,
3.500% to 11.500% due 11/15/04 to 2/15/26; Market
value -- $29,228,103)
(Cost -- $28,655,000)..................................... 28,655,000
- -----------------------------------------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENTS (Cost -- $33,469,328).......... 33,469,328
- -----------------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0%
(Cost -- $1,312,492,305*)................................... $1,096,696,188
- -----------------------------------------------------------------------------------------------
</Table>
(a) Non-income producing security.
(b) Subsequent to the reporting period, the company changed its name to Dell
Inc.
(c) All or a portion of this security is segregated for open futures contracts
commitments (See Note 5).
(d) All or a portion of this security is held as collateral for open futures
contracts commitments (See Note 5).
* Aggregate cost for Federal income tax purposes is substantially the same.
SEE NOTES TO FINANCIAL STATEMENTS.
34
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
SALOMON BROTHERS VARIABLE GROWTH & INCOME FUND
<Table>
<Caption>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------
COMMON STOCK -- 97.6%
- ---------------------------------------------------------------------------------------
AEROSPACE AND DEFENSE -- 1.4%
1,090 The Boeing Co. ............................................. $ 37,409
1,500 Lockheed Martin Corp. ...................................... 71,355
- ---------------------------------------------------------------------------------------
108,764
- ---------------------------------------------------------------------------------------
BANKS -- 9.7%
1,790 Bank of America Corp. ...................................... 141,464
4,760 The Bank of New York Co., Inc. ............................. 136,850
2,390 Bank One Corp. ............................................. 88,860
1,400 Fifth Third Bancorp......................................... 80,276
2,380 FleetBoston Financial Corp. ................................ 70,710
2,400 U.S. Bancorp................................................ 58,800
990 Wachovia Corp. ............................................. 39,560
2,670 Wells Fargo & Co. .......................................... 134,568
- ---------------------------------------------------------------------------------------
751,088
- ---------------------------------------------------------------------------------------
BEVERAGES -- 1.5%
2,670 PepsiCo, Inc. .............................................. 118,815
- ---------------------------------------------------------------------------------------
BIOTECHNOLOGY -- 2.9%
2,568 Amgen Inc.+................................................. 170,618
1,390 Cephalon, Inc.+............................................. 57,212
- ---------------------------------------------------------------------------------------
227,830
- ---------------------------------------------------------------------------------------
BUILDING PRODUCTS -- 1.0%
1,000 American Standard Cos. Inc.+................................ 73,930
- ---------------------------------------------------------------------------------------
COMMERCIAL SERVICES AND SUPPLIES -- 1.5%
700 Avery Dennison Corp. ....................................... 35,140
2,680 Paychex, Inc. .............................................. 78,551
- ---------------------------------------------------------------------------------------
113,691
- ---------------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT -- 2.6%
5,860 Cisco Systems, Inc.+........................................ 97,803
2,560 Comverse Technology, Inc.+.................................. 38,477
3,950 Nokia Oyj, Sponsored ADR.................................... 64,898
- ---------------------------------------------------------------------------------------
201,178
- ---------------------------------------------------------------------------------------
COMPUTERS AND PERIPHERALS -- 3.5%
4,260 Dell Computer Corp.+++...................................... 136,150
4,500 Hewlett-Packard Co. ........................................ 95,850
8,090 Sun Microsystems, Inc.+..................................... 37,214
- ---------------------------------------------------------------------------------------
269,214
- ---------------------------------------------------------------------------------------
CONTAINERS AND PACKAGING -- 0.4%
2,490 Smurfit-Stone Container Corp.+.............................. 32,445
- ---------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
35
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
SALOMON BROTHERS VARIABLE GROWTH & INCOME FUND
<Table>
<Caption>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------
DIVERSIFIED FINANCIALS -- 5.1%
1,090 American Express Co. ....................................... $ 45,573
890 Freddie Mac................................................. 45,185
1,290 The Goldman Sachs Group, Inc. .............................. 108,038
1,980 J.P. Morgan Chase & Co. .................................... 67,676
2,000 MBNA Corp. ................................................. 41,680
1,880 Merrill Lynch & Co., Inc. .................................. 87,758
- ---------------------------------------------------------------------------------------
395,910
- ---------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.7%
3,270 Verizon Communications Inc. ................................ 129,002
- ---------------------------------------------------------------------------------------
ELECTRIC UTILITIES -- 3.0%
1,690 Consolidated Edison, Inc. .................................. 73,143
1,090 Exelon Corp. ............................................... 65,193
1,690 Progress Energy, Inc. ...................................... 74,191
1,300 Xcel Energy, Inc. .......................................... 19,552
- ---------------------------------------------------------------------------------------
232,079
- ---------------------------------------------------------------------------------------
ENERGY EQUIPMENT AND SERVICES -- 1.3%
2,000 ENSCO International Inc. ................................... 53,800
2,180 Transocean Sedco Forex Inc.+................................ 47,895
- ---------------------------------------------------------------------------------------
101,695
- ---------------------------------------------------------------------------------------
FOOD AND DRUG RETAILING -- 1.1%
4,270 Safeway Inc.+............................................... 87,364
- ---------------------------------------------------------------------------------------
FOOD PRODUCTS -- 1.0%
2,290 Kraft Foods, Inc., Class A Shares........................... 74,540
- ---------------------------------------------------------------------------------------
GAS UTILITIES -- 0.6%
2,400 NiSource Inc. .............................................. 45,600
- ---------------------------------------------------------------------------------------
HEALTHCARE EQUIPMENT AND SUPPLIES -- 0.7%
1,300 Guidant Corp. .............................................. 57,707
- ---------------------------------------------------------------------------------------
HOTELS, RESTAURANTS AND LEISURE -- 1.7%
4,000 McDonald's Corp. ........................................... 88,240
1,380 MGM MIRAGE+................................................. 47,168
- ---------------------------------------------------------------------------------------
135,408
- ---------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS -- 2.2%
2,290 Kimberly-Clark Corp. ....................................... 119,401
600 The Procter & Gamble Co. ................................... 53,508
- ---------------------------------------------------------------------------------------
172,909
- ---------------------------------------------------------------------------------------
INDUSTRIAL CONGLOMERATES -- 3.7%
6,560 General Electric Co. ....................................... 188,141
5,370 Tyco International Ltd. .................................... 101,923
- ---------------------------------------------------------------------------------------
290,064
- ---------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
36
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
SALOMON BROTHERS VARIABLE GROWTH & INCOME FUND
<Table>
<Caption>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------
INSURANCE -- 3.7%
2,400 American International Group, Inc. ......................... $ 132,432
23 Berkshire Hathaway Inc., Class B Shares+.................... 55,890
1,390 Marsh & McLennan Cos., Inc. ................................ 70,987
300 XL Capital Ltd., Class A Shares............................. 24,900
- ---------------------------------------------------------------------------------------
284,209
- ---------------------------------------------------------------------------------------
IT CONSULTING AND SERVICES -- 1.3%
4,700 Electronic Data Systems Corp. .............................. 100,815
- ---------------------------------------------------------------------------------------
MACHINERY -- 1.7%
890 Cummins Inc. ............................................... 31,942
1,690 Navistar International Corp.+............................... 55,145
640 PACCAR Inc. ................................................ 43,238
- ---------------------------------------------------------------------------------------
130,325
- ---------------------------------------------------------------------------------------
MEDIA -- 5.7%
2,080 Interactive Corp.+.......................................... 82,306
2,900 Comcast Corp., Class A Shares+.............................. 87,522
2,490 Comcast Corp., Special Class A Shares+...................... 71,787
5,217 Liberty Media Corp., Class A Shares+........................ 60,309
5,150 The News Corp. Ltd., Preferred Shares ADR................... 129,008
2,300 UnitedGlobalCom, Inc., Class A Shares+...................... 11,891
- ---------------------------------------------------------------------------------------
442,823
- ---------------------------------------------------------------------------------------
METALS AND MINING -- 2.0%
4,760 Alcoa Inc. ................................................. 121,380
1,880 Barrick Gold Corp. ......................................... 33,652
- ---------------------------------------------------------------------------------------
155,032
- ---------------------------------------------------------------------------------------
MULTILINE RETAIL -- 2.2%
2,760 Costco Wholesale Corp.+..................................... 101,016
1,780 Federated Department Stores, Inc. .......................... 65,593
- ---------------------------------------------------------------------------------------
166,609
- ---------------------------------------------------------------------------------------
OIL AND GAS -- 6.0%
1,400 ChevronTexaco Corp. ........................................ 101,080
6,000 Exxon Mobil Corp. .......................................... 215,458
1,100 Occidental Petroleum Corp. ................................. 36,905
1,500 Total S.A. ADR.............................................. 113,700
- ---------------------------------------------------------------------------------------
467,143
- ---------------------------------------------------------------------------------------
PAPER AND FOREST PRODUCTS -- 0.5%
1,000 International Paper Co. .................................... 35,730
- ---------------------------------------------------------------------------------------
PERSONAL PRODUCTS -- 1.7%
590 Avon Products, Inc. ........................................ 36,698
2,880 The Estee Lauder Cos, Inc., Class A Shares.................. 96,566
- ---------------------------------------------------------------------------------------
133,264
- ---------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
37
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
SALOMON BROTHERS VARIABLE GROWTH & INCOME FUND
<Table>
<Caption>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------
PHARMACEUTICALS -- 11.4%
190 Eli Lilly & Co. ............................................ $ 13,104
1,400 Johnson & Johnson........................................... 72,380
1,200 Merck & Co. Inc. ........................................... 72,660
1,540 Mylan Laboratories Inc. .................................... 53,546
8,300 Pfizer Inc. ................................................ 283,445
5,990 Schering-Plough Corp. ...................................... 111,414
3,460 Teva Pharmaceutical Industries Ltd., Sponsored ADR.......... 196,978
1,700 Wyeth....................................................... 77,435
- ---------------------------------------------------------------------------------------
880,962
- ---------------------------------------------------------------------------------------
REAL ESTATE -- 0.3%
690 iStar Financial Inc. ....................................... 25,185
- ---------------------------------------------------------------------------------------
ROAD AND RAIL -- 0.6%
890 Canadian National Railway Co. .............................. 42,951
- ---------------------------------------------------------------------------------------
SEMICONDUCTOR EQUIPMENT AND PRODUCTS -- 2.5%
4,600 ASML Holding N.V., NY Registered Shares+.................... 43,976
4,080 Infineon Technologies AG ADR+............................... 39,127
4,570 Intel Corp. ................................................ 94,983
2,200 LSI Logic Corp.+............................................ 15,576
- ---------------------------------------------------------------------------------------
193,662
- ---------------------------------------------------------------------------------------
SOFTWARE -- 5.3%
4,660 BMC Software, Inc.+......................................... 76,098
6,320 Microsoft Corp. ............................................ 161,855
4,660 Oracle Corp.+............................................... 56,013
4,000 VERITAS Software Corp.+..................................... 114,680
- ---------------------------------------------------------------------------------------
408,646
- ---------------------------------------------------------------------------------------
SPECIALTY RETAIL -- 3.9%
4,080 Best Buy Co., Inc.+......................................... 179,194
3,770 The Home Depot, Inc. ....................................... 124,862
- ---------------------------------------------------------------------------------------
304,056
- ---------------------------------------------------------------------------------------
TOBACCO -- 0.9%
1,590 Altria Group, Inc. ......................................... 72,250
- ---------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES -- 1.3%
12,200 AT&T Wireless Services Inc.+................................ 100,162
- ---------------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $6,992,039)..................... 7,563,057
- ---------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
38
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
SALOMON BROTHERS VARIABLE GROWTH & INCOME FUND
<Table>
<Caption>
FACE
AMOUNT SECURITY VALUE
- ---------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 2.4%
$185,000 Merrill Lynch & Co., Inc., 1.050% due 7/1/03; Proceeds at
maturity -- $185,005;
(Fully collateralized by various U.S. government and
agency obligations,
3.500% to 11.250% due 11/15/04 to 2/15/26; Market
value -- $188,700)
(Cost -- $185,000)........................................ $ 185,000
- ---------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0%
(Cost -- $7,177,039*)....................................... $7,748,057
- ---------------------------------------------------------------------------------------
</Table>
<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
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
39
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
SALOMON BROTHERS VARIABLE EMERGING GROWTH FUND
<Table>
<Caption>
SHARES SECURITY VALUE
- ----------------------------------------------------------------------------------------
COMMON STOCK -- 92.7%
- ----------------------------------------------------------------------------------------
AEROSPACE AND DEFENSE -- 3.4%
5,850 L-3 Communications Holdings, Inc.+.......................... $ 254,416
- ----------------------------------------------------------------------------------------
BANKS -- 5.1%
17,850 Roslyn Bancorp, Inc......................................... 383,597
- ----------------------------------------------------------------------------------------
BIOTECHNOLOGY -- 22.7%
6,420 Alkermes, Inc.+............................................. 69,015
4,700 Amgen Inc.+................................................. 312,268
7,375 Chiron Corp.+............................................... 322,435
2,150 Genentech, Inc.+............................................ 155,058
4,848 Genzyme Corp. -- Biosurgery Division+....................... 9,599
3,610 Genzyme Corp. -- General Division+.......................... 150,898
7,150 IDEC Pharmaceuticals Corp.+................................. 243,100
7,228 ImClone Systems Inc.+....................................... 228,549
8,200 Isis Pharmaceuticals, Inc.+................................. 43,460
4,146 Millennium Pharmaceuticals, Inc.+........................... 65,217
4,860 Nanogen, Inc.+.............................................. 14,288
6,410 Vertex Pharmaceuticals Inc.+................................ 93,586
- ----------------------------------------------------------------------------------------
1,707,473
- ----------------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT -- 2.5%
14,700 C-COR.net Corp.+............................................ 72,030
7,000 Nokia Oyj................................................... 115,010
- ----------------------------------------------------------------------------------------
187,040
- ----------------------------------------------------------------------------------------
COMPUTERS AND PERIPHERALS -- 6.2%
3,500 Drexler Technology Corp.+................................... 54,250
38,162 Maxtor Corp.+............................................... 286,597
31,500 Quantum Corp. -- DLT & Storage Systems+..................... 127,575
- ----------------------------------------------------------------------------------------
468,422
- ----------------------------------------------------------------------------------------
DIVERSIFIED FINANCIALS -- 5.5%
4,650 Lehman Brothers Holdings Inc................................ 309,132
2,250 Merrill Lynch & Co., Inc.................................... 105,030
- ----------------------------------------------------------------------------------------
414,162
- ----------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.3%
1,000 AT&T Corp................................................... 19,250
- ----------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT AND INSTRUMENTS -- 1.8%
5,750 Excel Technology, Inc.+..................................... 131,272
- ----------------------------------------------------------------------------------------
ENERGY EQUIPMENT AND SERVICES -- 6.5%
7,600 Core Laboratories N.V.+..................................... 82,080
13,250 Grant Prideco, Inc.+........................................ 155,688
6,050 Weatherford International Ltd.+............................. 253,495
- ----------------------------------------------------------------------------------------
491,263
- ----------------------------------------------------------------------------------------
HEALTHCARE PROVIDERS AND SERVICES -- 3.7%
5,460 UnitedHealth Group Inc...................................... 274,365
- ----------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
40
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
SALOMON BROTHERS VARIABLE EMERGING GROWTH FUND
<Table>
<Caption>
SHARES SECURITY VALUE
- ----------------------------------------------------------------------------------------
INDUSTRIAL CONGLOMERATES -- 3.3%
13,134 Tyco International Ltd. .................................... $ 249,283
- ----------------------------------------------------------------------------------------
MEDIA -- 14.3%
10,400 AOL Time Warner Inc.+....................................... 167,336
6,520 Cablevision Systems -- NY Group, Class A Shares+............ 135,355
1,617 Comcast Corp., Class A Shares+.............................. 48,801
7,525 Comcast Corp., Special Class A Shares+...................... 216,946
19,200 Liberty Media Corp., Class A Shares+........................ 221,952
5,153 Viacom Inc., Class B Shares+................................ 224,980
5,600 World Wrestling Federation Entertainment, Inc. ............. 57,624
- ----------------------------------------------------------------------------------------
1,072,994
- ----------------------------------------------------------------------------------------
PHARMACEUTICALS -- 10.7%
5,280 Forest Laboratories, Inc., Class A Shares+.................. 289,080
2,300 Johnson & Johnson........................................... 118,910
1,500 Pfizer Inc. ................................................ 51,225
16,900 SICOR Inc.+................................................. 343,747
- ----------------------------------------------------------------------------------------
802,962
- ----------------------------------------------------------------------------------------
REAL ESTATE -- 0.0%
3 Corrections Corp. of America+............................... 76
- ----------------------------------------------------------------------------------------
SEMICONDUCTOR EQUIPMENT AND PRODUCTS -- 5.2%
6,500 Cirrus Logic, Inc.+......................................... 26,130
9,425 Intel Corp. ................................................ 195,889
7,555 Micron Technology, Inc.+.................................... 87,865
5,400 Standard Microsystems Corp.+................................ 81,918
- ----------------------------------------------------------------------------------------
391,802
- ----------------------------------------------------------------------------------------
SOFTWARE -- 1.3%
3,800 Microsoft Corp. ............................................ 97,318
- ----------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES -- 0.2%
1,930 AT&T Wireless Services Inc.+................................ 15,845
- ----------------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $9,700,219)..................... 6,961,540
- ----------------------------------------------------------------------------------------
<Caption>
FACE
AMOUNT SECURITY VALUE
- ----------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 7.3%
$552,000 Merrill Lynch & Co., Inc., 1.050% due 7/1/03; Proceeds at
maturity -- $552,016;
(Fully collateralized various U.S. government and agency
obligations,
0.000% to 11.250% due 11/15/04 to 2/15/26; Market
value -- $563,040)
(Cost -- $552,000)........................................ 552,000
- ----------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0%
(Cost -- $10,252,219*)...................................... $7,513,540
- ----------------------------------------------------------------------------------------
</Table>
<Table>
+ Non-income producing security.
* Aggregate cost for Federal income tax purposes is
substantially the same.
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
41
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
SALOMON BROTHERS VARIABLE INTERNATIONAL EQUITY FUND
<Table>
<Caption>
SHARES SECURITY VALUE
- ------------------------------------------------------------------------------------------------
COMMON STOCK -- 98.9%
- ------------------------------------------------------------------------------------------------
AUSTRALIA -- 0.6%
1,000 Macquarie Bank Ltd. ........................................ $ 19,338
- ------------------------------------------------------------------------------------------------
CANADA -- 1.4%
3,700 Patheon, Inc. .............................................. 40,937
- ------------------------------------------------------------------------------------------------
DENMARK -- 1.6%
1,400 Novo Nordisk A/S, Class B Shares............................ 49,084
- ------------------------------------------------------------------------------------------------
FINLAND -- 2.7%
5,000 Nokia Oyj................................................... 82,286
- ------------------------------------------------------------------------------------------------
FRANCE -- 4.6%
5,000 Axa......................................................... 77,699
800 Total Fina Elf S.A., Sponsored ADR.......................... 60,640
- ------------------------------------------------------------------------------------------------
138,339
- ------------------------------------------------------------------------------------------------
GERMANY -- 2.6%
800 BASF AG, Sponsored ADR...................................... 34,096
1,500 SAP AG, Sponsored ADR....................................... 43,830
- ------------------------------------------------------------------------------------------------
77,926
- ------------------------------------------------------------------------------------------------
HONG KONG -- 3.8%
14,000 Hutchinson Whampoa Ltd. .................................... 85,277
25,000 Johnson Electric Holdings Ltd. ............................. 31,097
- ------------------------------------------------------------------------------------------------
116,374
- ------------------------------------------------------------------------------------------------
IRELAND -- 10.8%
6,500 Bank of Ireland............................................. 78,878
2,500 CRH PLC..................................................... 39,252
22,000 Irish Continental Group PLC................................. 211,301
- ------------------------------------------------------------------------------------------------
329,431
- ------------------------------------------------------------------------------------------------
ITALY -- 1.0%
4,000 Saipem S.p.A. .............................................. 29,998
- ------------------------------------------------------------------------------------------------
JAPAN -- 17.6%
2,000 Canon Inc. ................................................. 91,944
5,000 Dowa Mining Co., Ltd. ...................................... 19,231
2,200 Eisai Co., Ltd. ............................................ 45,338
2,000 Honda Motor Co., Ltd., Sponsored ADR........................ 38,100
400 Hoya Corp................................................... 27,600
2,000 ITO-YOKADO CO., LTD. ....................................... 47,975
600 MABUCHI MOTOR CO., LTD. .................................... 45,956
1,400 NTT DoCoMo, Inc., Sponsored ADR............................. 30,772
1,800 Takeda Chemical Industries, Ltd. ........................... 66,530
7,300 Terumo Corp. ............................................... 121,509
- ------------------------------------------------------------------------------------------------
534,955
- ------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
42
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
SALOMON BROTHERS VARIABLE INTERNATIONAL EQUITY FUND
<Table>
<Caption>
SHARES SECURITY VALUE
- ------------------------------------------------------------------------------------------------
MEXICO -- 4.4%
50,000 Wal-Mart de Mexico S.A. de CV............................... $ 134,456
- ------------------------------------------------------------------------------------------------
NETHERLANDS -- 4.9%
1,000 Heineken N.V.+.............................................. 35,543
414 IHC Caland N.V. ............................................ 21,172
2,000 Royal Dutch Petroleum Co. .................................. 92,986
- ------------------------------------------------------------------------------------------------
149,701
- ------------------------------------------------------------------------------------------------
NORWAY -- 1.4%
10,000 Tomra Systems ASA........................................... 42,974
- ------------------------------------------------------------------------------------------------
SINGAPORE -- 8.6%
6,000 DBS Group Holdings Ltd. .................................... 35,099
13,000 Singapore Press Holdings Ltd. .............................. 135,113
10,000 Venture Manufacturing Ltd. ................................. 91,438
- ------------------------------------------------------------------------------------------------
261,650
- ------------------------------------------------------------------------------------------------
SPAIN -- 3.7%
11,000 Indra Sistemas S.A. ........................................ 111,977
- ------------------------------------------------------------------------------------------------
SWEDEN -- 0.6%
2,000 Assa Abloy AB, Class B Shares............................... 19,387
- ------------------------------------------------------------------------------------------------
SWITZERLAND -- 8.3%
3,500 Mettler-Toledo International Inc.+.......................... 128,275
300 Nestle S.A. ................................................ 62,038
1,100 UBS AG...................................................... 61,324
- ------------------------------------------------------------------------------------------------
251,637
- ------------------------------------------------------------------------------------------------
UNITED KINGDOM -- 20.3%
2,800 BOC Group PLC............................................... 35,984
7,800 BP PLC...................................................... 54,181
30,000 Capita Group PLC............................................ 112,067
7,000 Compass Group PLC........................................... 37,806
3,000 Diageo PLC.................................................. 32,083
2,000 GlaxoSmithKline PLC......................................... 40,430
2,300 HBOS PLC.................................................... 29,824
800 HSBC Holdings PLC, Sponsored ADR............................ 47,288
10,000 Kingfisher PLC.............................................. 45,827
7,700 Misys PLC................................................... 32,709
40,000 Serco Group PLC............................................. 105,931
12,267 Tesco PLC................................................... 44,455
- ------------------------------------------------------------------------------------------------
618,585
- ------------------------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $2,635,959)..................... 3,009,035
- ------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
43
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2003
SALOMON BROTHERS VARIABLE INTERNATIONAL EQUITY FUND
<Table>
<Caption>
FACE
AMOUNT SECURITY VALUE
- ------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 1.1%
$32,000 Merrill Lynch & Co., Inc., 1.050% due 7/1/03; Proceeds at
maturity -- $32,001; (Fully collateralized by various U.S.
government and agency obligations, 3.500% to 11.250% due
11/15/04 to 2/15/26; Market value -- $32,640)
(Cost -- $32,000)......................................... $ 32,000
- ------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0%
(Cost -- $2,667,959*)....................................... $3,041,035
- ------------------------------------------------------------------------------------------------
</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.
44
- --------------------------------------------------------------------------------
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 for bonds in
higher rated categories.
BB, B, CCC, -- Bonds rated "BB", "B", "CCC", "CC" and "C" are regarded, on
CC and C balance, as predominantly speculative with respect to the
issuer's capacity to pay interest and repay principal in
accordance with the terms of the obligation. "BB" indicates
the lowest degree of speculation and "C" the highest degree
of speculation. While such bonds will likely have some
quality and protective characteristics, these are outweighed
by large uncertainties or major risk exposures to adverse
conditions.
D -- Bonds rated "D" are in default, and payment of interest
and/or repayment of principal is in arrears.
</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 ranking 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 to be medium grade
obligations; that is, they are neither highly protected nor
poorly secured. Interest payment and principal security
appear adequate for the present but certain protective
elements may be lacking or may be characteristically
unreliable over any great length of time. Such bonds lack
outstanding investment characteristics and in fact have
speculative characteristics as well.
Ba -- Bonds rated "Ba" are judged to have speculative elements;
their future cannot be considered as well assured. Often the
protection of interest and principal payments may be very
moderate, and thereby not well safeguarded during both good
and bad times over the future. Uncertainty of position
characterizes bonds in this class.
B -- Bonds rated "B" generally lack characteristics of desirable
investments. Assurance of interest and principal payments or
maintenance of other terms of the contract over any long
period of time may be small.
Caa -- Bonds rated "Caa" are of poor standing. Such issues may be
in default, or there may be present elements of danger with
respect to principal or interest.
Ca -- Bonds rated "Ca" represent obligations which are speculative
in a high degree. Such issues are often in default or have
other marked shortcomings.
C -- Bonds rated "C" are the lowest rated class of bonds, and
issues so rated can be regarded as having extremely poor
prospects of ever attaining any real investment standing.
NR -- Indicates that the bond is not rated by Standard & Poor's or
Moody's.
</Table>
45
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED)
<Table>
<Caption>
DIVERSIFIED
MONEY STRATEGIC
MARKET INCOME
FUND PORTFOLIO
- ----------------------------------------------------------------------------------------------
ASSETS:
Investments, at cost...................................... $1,074,849 $ 81,475,140
Short-term investments, at cost........................... -- 15,734,000
Foreign currency, at cost................................. -- --
- ----------------------------------------------------------------------------------------------
Investments, at value..................................... $1,074,849 $ 84,893,780
Short-term investments, at value.......................... -- 15,734,000
Foreign currency, at value................................ -- --
Cash...................................................... -- 716
Receivable from manager................................... 5,670 --
Receivable for securities sold............................ -- 4,391,099
Dividends and interest receivable......................... -- 1,053,956
Receivable for Fund shares sold........................... -- --
Receivable from broker - variation margin................. -- 21,094
Prepaid expense........................................... -- 97,526
- ----------------------------------------------------------------------------------------------
TOTAL ASSETS.............................................. 1,080,519 106,192,171
- ----------------------------------------------------------------------------------------------
LIABILITIES:
Bank overdraft............................................ 997 --
Dividends payable......................................... 340 --
Payable for securities purchased.......................... -- 17,796,732
Payable for open forward foreign currency contracts (Note
6)..................................................... -- --
Payable for Fund shares purchased......................... -- 73,249
Investment advisory fees payable.......................... -- 33,495
Administration fees payable............................... -- 14,887
Distribution plan fees payable............................ -- --
Accrued expenses.......................................... 27,971 53,138
- ----------------------------------------------------------------------------------------------
TOTAL LIABILITIES......................................... 29,308 17,971,501
- ----------------------------------------------------------------------------------------------
TOTAL NET ASSETS............................................ $1,051,211 $ 88,220,670
- ----------------------------------------------------------------------------------------------
NET ASSETS:
Par value of beneficial interest.......................... $ 1,051 $ 9,399
Capital paid in excess of par value....................... 1,050,160 92,432,935
Undistributed net investment income....................... -- 2,295,100
Accumulated net investment loss........................... -- --
Accumulated net realized gain (loss) from investment
transactions
and futures contracts.................................. -- (9,862,299)
Net unrealized appreciation (depreciation) of investments,
futures contracts
and foreign currencies................................. -- 3,345,535
- ----------------------------------------------------------------------------------------------
TOTAL NET ASSETS............................................ $1,051,211 $ 88,220,670
- ----------------------------------------------------------------------------------------------
SHARES OUTSTANDING:
Class I Shares............................................ 1,051,211 9,399,418
Class II Shares........................................... -- --
- ----------------------------------------------------------------------------------------------
NET ASSET VALUE:
Class I Shares............................................ $1.00 $9.39
Class II Shares........................................... -- --
- ----------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
46
- -----------------------------------------------------------
JUNE 30, 2003
<Table>
<Caption>
ALL CAP EQUITY GROWTH EMERGING INTERNATIONAL
VALUE INDEX & INCOME GROWTH EQUITY
FUND PORTFOLIO FUND FUND FUND
- ----------------------------------------------------------------------------
$ 5,372,436 $1,279,022,977 $ 6,992,039 $ 9,700,219 $2,635,959
50,000 33,469,328 185,000 552,000 32,000
-- -- -- -- 424
- ----------------------------------------------------------------------------
$ 5,011,075 $1,063,226,860 $ 7,563,057 $ 6,961,540 $3,009,035
50,000 33,469,328 185,000 552,000 32,000
-- -- -- -- 424
891 198,441 888 282 505
4,329 -- -- -- --
-- -- 55,525 -- 83,250
6,917 1,307,164 8,016 592 13,170
-- 1,931,258 -- 14,279 --
-- -- -- -- --
-- -- -- -- --
- ----------------------------------------------------------------------------
5,073,212 1,100,133,051 7,812,486 7,528,693 3,138,384
- ----------------------------------------------------------------------------
-- -- -- -- --
-- -- -- -- --
-- -- 58,597 -- --
-- -- -- -- 461
7,180 25,853 9,082 50,812 13,506
-- 250,151 3,168 5,189 1,997
-- 54,425 1,408 1,233 470
-- 31,820 -- 1 --
12,772 59,757 18,431 14,944 27,125
- ----------------------------------------------------------------------------
19,952 422,006 90,686 72,179 43,559
- ----------------------------------------------------------------------------
$ 5,053,260 $1,099,711,045 $ 7,721,800 $ 7,456,514 $3,094,825
- ----------------------------------------------------------------------------
$ 1,762 $ 46,077 $ 1,926 $ 446 $ 471
6,794,156 1,348,899,025 8,585,469 11,353,900 2,557,803
-- 7,213,594 3,379 -- --
(8,337) -- -- (53,245) (9,357)
(1,372,960) (39,903,813) (1,439,990) (1,105,908) 171,215
(361,361) (216,543,838) 571,016 (2,738,679) 374,693
- ----------------------------------------------------------------------------
$ 5,053,260 $1,099,711,045 $ 7,721,800 $ 7,456,514 $3,094,825
- ----------------------------------------------------------------------------
1,762,022 41,743,883 1,926,368 443,339 471,003
-- 4,333,103 -- 2,667 --
- ----------------------------------------------------------------------------
$2.87 $23.87 $4.01 $16.72 $6.57
-- $23.85 -- $16.70 --
- ----------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
47
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS (UNAUDITED)
<Table>
<Caption>
DIVERSIFIED
MONEY STRATEGIC
MARKET INCOME
PORTFOLIO PORTFOLIO
- -----------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest.................................................. $ 8,008 $2,605,657
Dividends................................................. -- 17,619
Less: Foreign withholding tax............................. -- --
- -----------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME................................... 8,008 2,623,276
- -----------------------------------------------------------------------------------------------
EXPENSES:
Audit and legal........................................... 11,041 13,430
Custody................................................... 9,955 29,900
Shareholder communications (Note 13)...................... 4,525 7,095
Investment advisory fees (Note 3)......................... 1,952 182,414
Shareholder servicing fees (Note 13)...................... 1,810 2,534
Administration fees (Note 3).............................. 1,301 81,073
Trustees' fees............................................ 724 1,460
Registration fees......................................... 181 --
Distribution plan fees (Note 13).......................... -- --
License fees.............................................. -- --
Other..................................................... 724 2,365
- -----------------------------------------------------------------------------------------------
TOTAL EXPENSES............................................ 32,213 320,271
Less: Investment advisory and administration fee waiver
and expense reimbursement (Note 3).................. (25,832) --
- -----------------------------------------------------------------------------------------------
NET EXPENSES.............................................. 6,381 320,271
- -----------------------------------------------------------------------------------------------
NET INVESTMENT INCOME (LOSS)................................ 1,627 2,303,005
- -----------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES
CONTRACTS AND FOREIGN CURRENCIES (NOTES 4, 5 AND 6):
Realized Gain (Loss) From:
Investment transactions................................ -- 897,802
Futures contracts...................................... -- 601,603
Foreign currency transactions.......................... -- 965
- -----------------------------------------------------------------------------------------------
NET REALIZED GAIN (LOSS).................................. -- 1,500,370
- -----------------------------------------------------------------------------------------------
Change in Net Unrealized Appreciation (Depreciation) From:
Investments............................................ -- 2,220,607
Foreign currencies..................................... -- 239,016
- -----------------------------------------------------------------------------------------------
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION)...... -- 2,459,623
- -----------------------------------------------------------------------------------------------
NET GAIN ON INVESTMENTS, FUTURES CONTRACTS AND FOREIGN
CURRENCIES................................................ -- 3,959,993
- -----------------------------------------------------------------------------------------------
INCREASE IN NET ASSETS FROM OPERATIONS...................... $ 1,627 $6,262,998
- -----------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
48
- ---------------------------------------------------------
FOR THE SIX MONTHS ENDED JUNE 30, 2003
<Table>
<Caption>
ALL CAP EQUITY GROWTH EMERGING INTERNATIONAL
VALUE INDEX & INCOME GROWTH EQUITY
FUND PORTFOLIO FUND FUND FUND
- --------------------------------------------------------------------------------------
$ 207 $ 288,451 $ 956 $ 1,218 $ 741
31,870 8,261,654 57,250 12,617 43,202
(250) -- (1,049) (319) (4,254)
- --------------------------------------------------------------------------------------
31,827 8,550,105 57,157 13,516 39,689
- --------------------------------------------------------------------------------------
11,446 15,274 13,051 12,636 12,670
5,855 28,207 8,851 4,468 8,690
3,028 53,339 6,018 16,532 8,085
10,593 1,203,726 15,462 23,567 13,000
27 4,963 20 30 28
4,708 288,894 6,872 6,284 3,059
916 10,509 917 802 975
-- -- -- -- --
-- 112,416 -- 1 --
-- 48,149 -- -- --
1,779 5,343 1,014 1,068 1,032
- --------------------------------------------------------------------------------------
38,352 1,770,820 52,205 65,388 47,539
-- -- -- -- --
- --------------------------------------------------------------------------------------
38,352 1,770,820 52,205 65,388 47,539
- --------------------------------------------------------------------------------------
(6,525) 6,779,285 4,952 (51,872) (7,850)
- --------------------------------------------------------------------------------------
(218,999) (1,528,473) (322,016) 32,645 182,300
-- 6,448,026 -- -- --
(96) -- -- -- 180
- --------------------------------------------------------------------------------------
(219,095) 4,919,553 (322,016) 32,645 182,480
- --------------------------------------------------------------------------------------
911,516 99,086,501 1,250,491 1,201,599 29,258
-- -- (2) -- 426
- --------------------------------------------------------------------------------------
911,516 99,086,501 1,250,489 1,201,599 29,684
- --------------------------------------------------------------------------------------
692,421 104,006,054 928,473 1,234,244 212,164
- --------------------------------------------------------------------------------------
$ 685,896 $110,785,339 $ 933,425 $1,182,372 $204,314
- --------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
49
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED)
<Table>
<Caption>
DIVERSIFIED
MONEY STRATEGIC
MARKET INCOME
PORTFOLIO PORTFOLIO
- ---------------------------------------------------------------------------------------
OPERATIONS:
Net investment income (loss).............................. $ 1,627 $ 2,303,005
Net realized gain (loss).................................. -- 1,500,370
Change in net unrealized appreciation (depreciation)...... -- 2,459,623
- ---------------------------------------------------------------------------------------
INCREASE IN NET ASSETS FROM OPERATIONS.................... 1,627 6,262,998
- ---------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM (NOTES 2 AND 14):
Net investment income..................................... (1,627) --
- ---------------------------------------------------------------------------------------
DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO
SHAREHOLDERS........................................... (1,627) --
- ---------------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS (NOTE 15):
Net proceeds from sale of shares.......................... 145,841 9,072,236
Net asset value of shares issued for reinvestment of
dividends.............................................. 1,519 --
Cost of shares reacquired................................. (709,346) (5,123,988)
- ---------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM FUND SHARE
TRANSACTIONS........................................... (561,986) 3,948,248
- ---------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS........................... (561,986) 10,211,246
NET ASSETS:
Beginning of period....................................... 1,613,197 78,009,424
- ---------------------------------------------------------------------------------------
END OF PERIOD*............................................ $1,051,211 $88,220,670
- ---------------------------------------------------------------------------------------
* Includes undistributed net investment income of:.......... -- $2,295,100
- ---------------------------------------------------------------------------------------
* Includes accumulated net investment loss of:.............. -- --
- ---------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
50
- -----------------------------------------------------------
FOR THE SIX MONTHS ENDED JUNE 30, 2003
<Table>
<Caption>
ALL CAP EQUITY GROWTH EMERGING INTERNATIONAL
VALUE INDEX & INCOME GROWTH EQUITY
FUND PORTFOLIO FUND FUND FUND
- -------------------------------------------------------------------------
$ (6,525) $ 6,779,285 $ 4,952 $ (51,872) $ (7,850)
(219,095) 4,919,553 (322,016) 32,645 182,480
911,516 99,086,501 1,250,489 1,201,599 29,684
- -------------------------------------------------------------------------
685,896 110,785,339 933,425 1,182,372 204,314
- -------------------------------------------------------------------------
-- -- -- -- --
- -------------------------------------------------------------------------
-- -- -- -- --
- -------------------------------------------------------------------------
5,782 94,599,213 692,564 772,834 1,501
-- -- -- -- --
(372,573) (22,334,532) (681,025) (473,709) (392,610)
- -------------------------------------------------------------------------
(366,791) 72,264,681 11,539 299,125 (391,109)
- -------------------------------------------------------------------------
319,105 183,050,020 944,964 1,481,497 (186,795)
4,734,155 916,661,025 6,776,836 5,975,017 3,281,620
- -------------------------------------------------------------------------
$5,053,260 $1,099,711,045 $7,721,800 $7,456,514 $3,094,825
- -------------------------------------------------------------------------
-- $7,213,594 $3,379 -- --
- -------------------------------------------------------------------------
$(8,337) -- -- $(53,245) $(9,357)
- -------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
51
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
DIVERSIFIED
MONEY STRATEGIC
MARKET INCOME
FUND PORTFOLIO
- -----------------------------------------------------------------------------------------
OPERATIONS:
Net investment income (loss).............................. $ 12,525 $ 4,578,346
Net realized gain (loss).................................. -- (3,163,788)
Change in net unrealized appreciation (depreciation)...... -- 2,275,488
- -----------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS......... 12,525 3,690,046
- -----------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM (NOTES 2 AND 14):
Net investment income..................................... (12,525) (7,410,806)
Net realized gains........................................ -- --
- -----------------------------------------------------------------------------------------
DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO
SHAREHOLDERS........................................... (12,525) (7,410,806)
- -----------------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS (NOTE 15):
Net proceeds from sale of shares.......................... 3,934,835 11,644,494
Net asset value of shares issued for reinvestment of
dividends.............................................. 11,946 7,410,806
Cost of shares reacquired................................. (5,139,889) (16,723,637)
- -----------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM FUND SHARE
TRANSACTIONS........................................... (1,193,108) 2,331,663
- -----------------------------------------------------------------------------------------
DECREASE IN NET ASSETS...................................... (1,193,108) (1,389,097)
NET ASSETS:
Beginning of year......................................... 2,806,305 79,398,521
- -----------------------------------------------------------------------------------------
END OF YEAR*.............................................. $ 1,613,197 $ 78,009,424
- -----------------------------------------------------------------------------------------
* Includes undistributed (overdistributed) net investment
income of:................................................ -- $(8,870)
- -----------------------------------------------------------------------------------------
* Includes accumulated net investment loss of:.............. -- --
- -----------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
52
- -----------------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31, 2002
<Table>
<Caption>
ALL CAP EQUITY GROWTH EMERGING INTERNATIONAL
VALUE INDEX & INCOME GROWTH EQUITY
FUND PORTFOLIO FUND FUND FUND
- ---------------------------------------------------------------------------
$ (28,458) $ 12,270,917 $ 3,419 $ (108,250) $ (40,631)
(1,153,961) (33,846,341) (979,910) 249,125 92,831
(1,233,198) (219,511,681) (1,357,742) (4,035,588) (1,137,343)
- ---------------------------------------------------------------------------
(2,415,617) (241,087,105) (2,334,233) (3,894,713) (1,085,143)
- ---------------------------------------------------------------------------
(291,619) (22,298,625) (43,900) -- --
(1,932,654) -- (431,895) (1,418,185) (550,874)
- ---------------------------------------------------------------------------
(2,224,273) (22,298,625) (475,795) (1,418,185) (550,874)
- ---------------------------------------------------------------------------
8,722,666 206,817,634 222,292 199,892 10,791
2,224,273 22,298,625 475,795 1,418,185 550,874
(10,248,835) (42,622,765) (2,197,892) (3,075,541) (1,197,539)
- ---------------------------------------------------------------------------
698,104 186,493,494 (1,499,805) (1,457,464) (635,874)
- ---------------------------------------------------------------------------
(3,941,786) (76,892,236) (4,309,833) (6,770,362) (2,271,891)
8,675,941 993,553,261 11,086,669 12,745,379 5,553,511
- ---------------------------------------------------------------------------
$ 4,734,155 $ 916,661,025 $ 6,776,836 $ 5,975,017 $ 3,281,620
- ---------------------------------------------------------------------------
$(1,716) $434,309 $(1,573) -- --
- ---------------------------------------------------------------------------
-- -- -- $(1,373) $(1,687)
- ---------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
53
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1. SIGNIFICANT ACCOUNTING POLICIES
The Salomon Brothers Variable Money Market Fund ("Money Market Fund"),
Diversified Strategic Income Portfolio, Salomon Brothers Variable All Cap Value
Fund ("All Cap Value Fund"), Equity Index Portfolio, Salomon Brothers Variable
Growth & Income Fund ("Growth & Income Fund"), Salomon Brothers Variable
Emerging Growth Fund ("Emerging Growth Fund") and Salomon Brothers Variable
International Equity Fund ("International Equity Fund") ("Fund(s)") are separate
investment funds of the Greenwich Street Series Fund ("Trust"). The Trust, a
Massachusetts business trust, is registered under the Investment Company Act of
1940 ("1940 Act"), as amended, as a diversified, open-ended management
investment company. Shares of the Trust can be acquired through investing in an
individual flexible premium deferred combination fixed and variable annuity
contract or a certificate evidencing interest in a master group flexible premium
deferred annuity offered by certain insurance companies, including affiliates of
the investment manager. The Trust offers three other funds: Appreciation,
Fundamental Value and Intermediate High Grade Portfolios. The financial
statements and financial highlights for the other funds are presented in a
separate shareholder report.
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 prices on such markets
or, if there were no sales during the day, at current quoted bid price;
securities primarily traded on foreign exchanges are generally valued at the
preceding closing values of such securities on their respective exchanges,
except that when a significant occurrence subsequent to the time a value was so
established 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 or its delegates;
over-the-counter securities are valued at the mean between the bid and asked
prices at the close of business on each day; U.S. government and agency
obligations are valued at the average between bid and asked prices; 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; (c) securities maturing
within 60 days are valued at cost plus accreted discount, or minus amortized
premium, which approximates value; (d) interest income, adjusted for
amortization of premium and accretion of discount, is recorded on an accrual
basis; (e) dividend income is recorded on the ex-dividend date; foreign dividend
income is recorded on the ex-dividend date or as soon as practical after the
Funds determine the existence of a dividend declaration after exercising
reasonable due diligence; (f) gains or losses on the sale of securities are
calculated by using the specific identification method; (g) dividends and
distributions to shareholders are recorded by the Funds on the ex-dividend date;
(h) the accounting records of the Funds are maintained in U.S. dollars. All
assets and liabilities denominated in foreign currencies are translated into
U.S. dollars based on the rate of exchange of such currencies against U.S.
dollars on the date of valuation. Purchases and sales of securities, and income
and expenses are translated at the rate of exchange quoted on the respective
date that such transactions are recorded. Differences between income and expense
amounts recorded and collected or paid are adjusted when reported by the
custodian bank; (i) 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 tax; (j) the character of
income and gains distributed are determined in accordance with income tax
regulations which may differ from accounting principles generally accepted in
the United States of America; and (k) estimates and assumptions are required to
be made regarding assets, liabilities and changes in net assets resulting from
operations when financial statements are prepared. Changes in the economic
environment, financial markets and any other parameters used in determining
these estimates could cause actual results to differ.
In addition, certain Funds 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 contracts are settled.
2. DIVIDENDS
The Money Market Fund declares dividends daily from net investment income
and distributes such dividends monthly. Net realized capital gains, if any, are
declared and distributed at least annually.
In addition, the other Funds distribute dividends and capital gains, if
any, at least annually.
54
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
3. INVESTMENT ADVISORY AGREEMENT, ADMINISTRATION AGREEMENT AND OTHER
TRANSACTIONS
The Trust, on behalf of the Diversified Strategic Income Portfolio has
entered into an investment advisory agreement with Smith Barney Fund Management
LLC ("SBFM"), an indirect wholly-owned subsidiary of Citigroup Inc.,
("Citigroup").
The Trust, on behalf of the Equity Index Portfolio, has entered into an
investment advisory agreement with the Travelers Investment Management Company
("TIMCO"), another indirect wholly-owned subsidiary of Citigroup. On June 24,
2002, shareholders of the Equity Index Portfolio approved a new investment
advisory agreement with TIMCO. Under the investment advisory agreement, the Fund
pays an investment advisory fee calculated at an annual rate of their respective
average daily net assets. The fee is calculated daily and paid monthly. For the
six months ended June 30, 2003, for the Money Market Fund, SBAM has waived all
of its investment advisory fee amounting to $1,952.
The respective advisers and the annual rates are as follows:
<Table>
<Caption>
FUND ADVISER RATE
- ---------------------------------------------------------------------------------------
Money Market Fund Salomon Brothers Asset Management Inc 0.30%
Diversified Strategic Income Portfolio Smith Barney Fund Management LLC 0.45
All Cap Value Fund Salomon Brothers Asset Management Inc 0.45
Equity Index Portfolio Travelers Investment Management Company 0.25
Growth & Income Fund Salomon Brothers Asset Management Inc 0.45
Emerging Growth Fund Salomon Brothers Asset Management Inc 0.75
International Equity Fund Salomon Brothers Asset Management Inc 0.85
- ---------------------------------------------------------------------------------------
</Table>
Citigroup Asset Management Ltd. ("CAM Ltd.") serves as sub-investment
adviser to the Diversified Strategic Income Portfolio and is paid a monthly fee
by SBFM calculated at an annual rate of 0.15% of the Fund's average daily net
assets. The Diversified Strategic Income Portfolio does not make any direct
payments to CAM Ltd. The sub-advisory agreement between the Fund, SBFM and Smith
Barney Global Capital Management Inc. was transferred and assigned to CAM Ltd.
on March 14, 2003.
The Trust, on behalf of the Funds, has also entered into an administration
agreement with SBFM. Under the agreement, each Fund pays an administration fee
calculated at an annual rate of 0.20% of the average daily net assets; except
for the Equity Index Portfolio which pays an administration fee of 0.06%. These
fees are calculated daily and paid monthly. For the six months ended June 30,
2003, for the Money Market Fund, SBFM has waived all of its administration fee
amounting to $1,301.
In addition, SBFM has agreed to reimburse expenses in the amount of $22,579
on behalf of the Money Market Fund for the six months ended June 30, 2003.
Citicorp Trust Bank, fsb. ("CTB"), another subsidiary of Citigroup, acts as
the Funds' transfer agent. PFPC Global Fund Services ("PFPC") acts as the Funds'
sub-transfer agent. CTB receives account fees and asset-based fees that vary
according to the size and type of account. PFPC is responsible for shareholder
recordkeeping and financial processing for all shareholder accounts and is paid
by CTB. During the six months ended June 30, 2003, the Funds paid transfer agent
fees totaling $7,592 to CTB.
For the six months ended June 30, 2003, the All Cap Value Fund paid
Citigroup Global Markets Inc. ("CGM"), formerly known as Salomon Smith Barney
Inc., another indirect wholly-owned subsidiary of Citigroup, brokerage
commissions of $65.
The Trust, on behalf of the Equity Index Portfolio and Emerging Growth
Fund, has adopted a plan ("Plan") pursuant to Rule 12b-1 under the 1940 Act for
the Fund's Class II shares. The Plan provides that the Trust, on behalf of the
Fund, shall pay a fee up to 0.25% of the average daily net assets of the Fund
attributable to Class II shares.
No officer, Director or employee of CGM or its affiliates receives any
compensation from the Trust for serving as a Trustee or officer of the Trust.
55
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
4. 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>
FUND PURCHASES SALES
- ---------------------------------------------------------------------------------------
Diversified Strategic Income Portfolio...................... $99,340,325 $84,131,770
All Cap Value Fund.......................................... 664,788 1,084,657
Equity Index Portfolio...................................... 73,030,024 2,628,171
Growth & Income Fund........................................ 2,588,822 2,705,800
Emerging Growth Fund........................................ -- 234,963
International Equity Fund................................... 538,581 892,339
- ---------------------------------------------------------------------------------------
</Table>
At June 30, 2003, the aggregate gross unrealized appreciation and
depreciation of investments for Federal income tax purposes were substantially
as follows:
<Table>
<Caption>
NET UNREALIZED
APPRECIATION
FUND APPRECIATION DEPRECIATION (DEPRECIATION)
- ---------------------------------------------------------------------------------------------------------
Diversified Strategic Income Portfolio.................... $ 4,570,185 $ (1,151,545) $ 3,418,640
All Cap Value Fund........................................ 364,910 (726,271) (361,361)
Equity Index Portfolio.................................... 68,442,588 (284,238,705) (215,796,117)
Growth & Income Fund...................................... 1,011,439 (440,421) 571,018
Emerging Growth Fund...................................... 1,303,234 (4,041,913) (2,738,679)
International Equity Fund................................. 630,089 (257,013) 373,076
- ---------------------------------------------------------------------------------------------------------
</Table>
5. FUTURES CONTRACTS
The Diversified Strategic Income Portfolio, All Cap Value Fund, Equity
Index Portfolio, Growth & Income Fund, Emerging Growth Fund and International
Equity Fund 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. 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 Fund records a realized gain or loss equal to the difference between the
proceeds from (or cost of) the closing transaction and the Fund's basis in the
contract. The Fund enters into such contracts typically to hedge a portion of
its portfolio. The Fund bears the market risk that arises from changes in the
value of the financial instruments and securities indices.
56
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
At June 30, 2003, the Diversified Strategic Income Portfolio and Equity
Index Portfolio had the following open futures contracts:
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
<Table>
<Caption>
NUMBER OF BASIS MARKET UNREALIZED
CONTRACTS EXPIRATION VALUE DATE LOSS
- ------------------------------------------------------------------------------------------------------------
TO BUY:
U.S. Treasury 5 Year Notes................. 30 9/03 $ 3,474,555 $ 3,453,750 $ (20,805)
U.S. Treasury 10 Year Notes................ 35 9/03 4,162,632 4,110,313 (52,319)
- ------------------------------------------------------------------------------------------------------------
Net Unrealized Loss on Open Futures
Contracts................................ $ (73,124)
- ------------------------------------------------------------------------------------------------------------
</Table>
EQUITY INDEX PORTFOLIO
<Table>
<Caption>
NUMBER OF BASIS MARKET UNREALIZED
CONTRACTS EXPIRATION VALUE DATE LOSS
- ------------------------------------------------------------------------------------------------------------
TO BUY:
S&P 500 Index.............................. 135 9/03 $33,596,596 $32,848,875 $(747,721)
- ------------------------------------------------------------------------------------------------------------
</Table>
At June 30, 2003, the All Cap Value Fund, Growth & Income Fund, Emerging
Growth Fund and International Equity Fund did not have any open futures
contracts.
6. FORWARD FOREIGN CURRENCY CONTRACTS
The Diversified Strategic Income Portfolio, Emerging Growth Fund and
International Equity Fund have the ability to enter into forward foreign
currency contracts.
A forward foreign currency contract is an agreement between two parties to
buy and sell a currency at a set price on a future date. The contract is
marked-to-market daily and the change in value is recorded by the Fund as an
unrealized gain or loss. When a forward foreign currency contract is
extinguished, through either delivery or offset by entering into another forward
foreign currency contract, the Fund records a realized gain or loss equal to the
difference between the value of the contract at the time it was opened and the
value of the contract at the time it was extinguished or offset. The Fund bears
the market risk that arises from changes in foreign currency exchange rates and
the credit risk should a counterparty be unable to meet the terms of such
contracts.
At June 30, 2003, the International Equity Fund had open forward foreign
currency contracts as described below. The unrealized loss on the contracts
reflected in the accompanying financial statements were as follows:
INTERNATIONAL EQUITY FUND
<Table>
<Caption>
LOCAL MARKET SETTLEMENT UNREALIZED
FOREIGN CURRENCY CURRENCY VALUE DATE LOSS
- ------------------------------------------------------------------------------------------------------------
TO SELL:
Euro...................................................... 6,760 $ 7,776 7/1/03 $ (57)
Euro...................................................... 46,612 53,615 7/2/03 (361)
Norwegian Krone........................................... 157,683 21,859 7/3/03 (43)
- ------------------------------------------------------------------------------------------------------------
Net Unrealized Loss on Open Forward Foreign Currency
Contracts............................................... $(461)
- ------------------------------------------------------------------------------------------------------------
</Table>
At June 30, 2003, the Diversified Strategic Income Portfolio and Emerging
Growth Fund did not have any open forward foreign currency contracts.
57
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
7. REPURCHASE AGREEMENTS
The Funds purchase (and the custodian takes possession of) U.S. government
securities from securities dealers subject to agreements to resell the
securities to the sellers at a future date (generally, the next business day) at
an agreed-upon higher repurchase price. The Funds require continual maintenance
of the market value (plus accrued interest) of the collateral in amounts at
least equal to the repurchase price.
8. CONCENTRATION OF RISK
Under normal market conditions, the Money Market Fund invests at least 25%
of its assets in short-term bank instruments. Because of its concentration
policy, the Portfolio may be subject to greater risk and market fluctuation than
a portfolio that has securities representing a broader range of investment
alternatives.
9. FOREIGN SECURITIES
Investing in securities of foreign companies and foreign governments
involves special 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.
10. SECURITIES TRADED ON A WHEN-ISSUED OR TO-BE-ANNOUNCED BASIS
The Diversified Strategic Income Portfolio, All Cap Value Fund, Growth &
Income Fund, Emerging Growth Fund and International Equity Fund may from time to
time purchase securities on a when-issued or to-be-announced ("TBA") basis.
In a TBA transaction, the Fund commits to purchasing or selling securities
for which specific information is not yet known at the time of the trade,
particularly the face amount and maturity date in GNMA transactions. Securities
purchased on a TBA basis are not settled until they are delivered to the Fund,
normally 15 to 45 days later. Beginning on the date the Fund enters into the TBA
transaction, the custodian maintains cash, U.S. government securities or other
liquid high grade debt obligations in a segregated account equal in value to the
purchase price of the TBA security. These transactions are subject to market
fluctuations and their current value is determined in the same manner as for
other securities.
At June 30, 2003, Diversified Strategic Income Portfolio held TBA
securities with a total cost of $17,054,375.
At June 30, 2003, the All Cap Value Fund, Growth & Income Fund, Emerging
Growth Fund and International Equity Fund did not hold any TBA securities.
11. MORTGAGE ROLL TRANSACTIONS
The Diversified Strategic Income Portfolio has the ability to participate
in mortgage roll transactions.
A mortgage roll transaction involves a sale by the Fund of securities that
it holds with an agreement by the Fund to purchase similar securities at an
agreed upon price and date. The securities repurchased will bear the same
interest as those sold, but generally will be collateralized by pools of
mortgages with different prepayment histories than those securities sold.
Proceeds of the sale will be invested and the income from these investments,
together with any additional income from the Fund, in securities exceeding the
yield on the securities sold.
At June 30, 2003, Diversified Strategic Income Portfolio had outstanding
net contracts to repurchase mortgage-backed securities of $10,918,361 and
$2,063,042 for scheduled settlements on July 14, 2003 and August 13, 2003.
12. LOAN PARTICIPATIONS
The Diversified Strategic Income Portfolio invests in fixed and floating
rate loans arranged through private negotiations between a foreign sovereign
entity or a corporate borrower and one or more financial institutions. The
Fund's investment in any such loan may be in the form of a participation in or
an assignment of the loan.
In connection with purchasing participations, the Fund generally will have
no right to enforce compliance by the borrower with the terms of the loan
agreement relating to the loan, nor any rights of set-off against the borrower,
and the
58
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
Fund may not benefit directly from any collateral supporting the loan in which
it has purchased the participation. As a result, the Fund will assume the credit
risk of both the borrower and the lender that is selling the participation. In
the event of the insolvency of the lender selling the participation, the Fund
may be treated as a general creditor of the lender and may not benefit from any
set-off between the lender and the borrower.
At June 30, 2003, Diversified Strategic Income Portfolio held loan
participations with a total cost of $480,892.
13. CLASS SPECIFIC EXPENSES
Pursuant to a Distribution Plan, each of Equity Index Portfolio, Emerging
Growth Fund, All Cap Value Fund, Growth & Income Fund and International Equity
Fund pay an annual distribution fee calculated at an annual rate of 0.25% of the
average daily net assets of Class II shares. No Class II shares were outstanding
for All Cap Value Fund, Growth & Income Fund and International Equity Fund. For
the six months ended June 30, 2003, total Distribution Plan fees incurred, which
are accrued daily and paid monthly, were as follows:
<Table>
<Caption>
DISTRIBUTION
PLAN FEES
------------------
FUND CLASS I CLASS II
- --------------------------------------------------------------------------------
Equity Index Portfolio...................................... -- $112,416
Emerging Growth Fund........................................ -- 1
- --------------------------------------------------------------------------------
</Table>
For the six months ended June 30, 2003, total Shareholder Servicing fees
were as follows:
<Table>
<Caption>
SHAREHOLDER
SERVICING FEES
------------------
FUND CLASS I CLASS II
- --------------------------------------------------------------------------------
Equity Index Portfolio...................................... $2,481 $2,482
Emerging Growth Fund........................................ 29 1
- --------------------------------------------------------------------------------
</Table>
For the six months ended June 30, 2003, total Shareholder Communication
expenses were as follows:
<Table>
<Caption>
SHAREHOLDER
COMMUNICATION
EXPENSES
------------------
FUND CLASS I CLASS II
- --------------------------------------------------------------------------------
Equity Index Portfolio...................................... $47,414 $5,925
Emerging Growth Fund........................................ 16,530 2
- --------------------------------------------------------------------------------
</Table>
14. DISTRIBUTIONS PAID TO SHAREHOLDERS BY CLASS
<Table>
<Caption>
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2003 DECEMBER 31, 2002
- --------------------------------------------------------------------------------------------------
MONEY MARKET PORTFOLIO
Net investment income....................................... $1,627 $12,525
Net realized gains.......................................... -- --
- --------------------------------------------------------------------------------------------------
Total....................................................... $1,627 $12,525
- --------------------------------------------------------------------------------------------------
</Table>
59
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
<Table>
<Caption>
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2003 DECEMBER 31, 2002
- --------------------------------------------------------------------------------------------------
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
Net investment income....................................... -- $ 7,410,806
Net realized gains.......................................... -- --
- --------------------------------------------------------------------------------------------------
Total....................................................... -- $ 7,410,806
- --------------------------------------------------------------------------------------------------
ALL CAP VALUE FUND
Net investment income....................................... -- $ 291,619
Net realized gains.......................................... -- 1,932,654
- --------------------------------------------------------------------------------------------------
Total....................................................... -- $ 2,224,273
- --------------------------------------------------------------------------------------------------
EQUITY INDEX PORTFOLIO -- CLASS I SHARES
Net investment income....................................... -- $20,594,191
Net realized gains.......................................... -- --
- --------------------------------------------------------------------------------------------------
Total....................................................... -- $20,594,191
- --------------------------------------------------------------------------------------------------
EQUITY INDEX PORTFOLIO -- CLASS II SHARES
Net investment income....................................... -- $ 1,704,434
Net realized gains.......................................... --
- --------------------------------------------------------------------------------------------------
Total....................................................... -- $ 1,704,434
- --------------------------------------------------------------------------------------------------
GROWTH & INCOME FUND
Net investment income....................................... -- $ 43,900
Net realized gains.......................................... -- 431,895
- --------------------------------------------------------------------------------------------------
Total....................................................... -- $ 475,795
- --------------------------------------------------------------------------------------------------
EMERGING GROWTH FUND -- CLASS I SHARES
Net investment income....................................... -- $ --
Net realized gains.......................................... -- 1,418,185
- --------------------------------------------------------------------------------------------------
Total....................................................... -- $ 1,418,185
- --------------------------------------------------------------------------------------------------
EMERGING GROWTH FUND -- CLASS II SHARES
Net investment income....................................... -- --
Net realized gains.......................................... -- --
- --------------------------------------------------------------------------------------------------
Total....................................................... -- --
- --------------------------------------------------------------------------------------------------
INTERNATIONAL EQUITY FUND
Net investment income....................................... -- $ --
Net realized gains.......................................... -- 550,874
- --------------------------------------------------------------------------------------------------
Total....................................................... -- $ 550,874
- --------------------------------------------------------------------------------------------------
</Table>
60
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
15. SHARES OF BENEFICIAL INTEREST
At June 30, 2003, the Trust had an unlimited number of shares of beneficial
interest authorized with a par value of $0.001 per share.
Transactions in shares for each Fund were as follows:
<Table>
<Caption>
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2003 DECEMBER 31, 2002
------------------------ -------------------------
SHARES AMOUNT SHARES AMOUNT
- -----------------------------------------------------------------------------
MONEY MARKET PORTFOLIO
Shares sold........................................ 145,841 $ 145,841 3,934,835 $ 3,934,835
Shares issued on reinvestment...................... 1,519 1,519 11,946 11,946
Shares reacquired.................................. (709,346) (709,346) (5,139,889) (5,139,889)
- ---------------------------------------------------------------------------------------------------------
Net Decrease....................................... (561,986) $ (561,986) (1,193,108) $ (1,193,108)
=========================================================================================================
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
Shares sold........................................ 992,811 $ 9,072,236 1,271,477 $ 11,644,494
Shares issued on reinvestment...................... -- -- 849,663 7,410,806
Shares reacquired.................................. (569,815) (5,123,988) (1,841,600) (16,723,637)
- ---------------------------------------------------------------------------------------------------------
Net Increase....................................... 422,996 $ 3,948,248 279,540 $ 2,331,663
=========================================================================================================
ALL CAP VALUE FUND
Shares sold........................................ 4,210 $ 5,782 1,429,435 $ 8,722,666
Shares issued on reinvestment...................... -- -- 845,731 2,224,273
Shares reacquired.................................. (142,859) (372,573) (1,796,510) (10,248,835)
- ---------------------------------------------------------------------------------------------------------
Net Increase (Decrease)............................ (138,649) $ (366,791) 478,656 $ 698,104
=========================================================================================================
EQUITY INDEX PORTFOLIO -- CLASS I SHARES
Shares sold........................................ 3,798,864 $ 83,694,512 7,404,712 $183,765,319
Shares issued on reinvestment...................... -- -- 942,555 20,594,191
Shares reacquired.................................. (859,553) (18,844,069) (1,336,167) (32,369,186)
- ---------------------------------------------------------------------------------------------------------
Net Increase....................................... 2,939,311 $ 64,850,443 7,011,100 $171,990,324
=========================================================================================================
EQUITY INDEX PORTFOLIO -- CLASS II SHARES
Shares sold........................................ 490,214 $ 10,904,701 928,488 $ 23,052,315
Shares issued on reinvestment...................... -- -- 78,069 1,704,434
Shares reacquired.................................. (161,789) (3,490,463) (428,200) (10,253,579)
- ---------------------------------------------------------------------------------------------------------
Net Increase....................................... 328,425 $ 7,414,238 578,357 $ 14,503,170
=========================================================================================================
GROWTH & INCOME FUND
Shares sold........................................ 188,079 $ 692,564 60,146 $ 222,292
Shares issued on reinvestment...................... -- -- 129,389 475,795
Shares reacquired.................................. (187,543) (681,025) (524,563) (2,197,892)
- ---------------------------------------------------------------------------------------------------------
Net Increase (Decrease)............................ 536 $ 11,539 (335,028) $ (1,499,805)
=========================================================================================================
EMERGING GROWTH FUND -- CLASS I SHARES
Shares sold........................................ 45,678 $ 728,064 12,438 $ 199,892
Shares issued on reinvestment...................... -- -- 100,581 1,418,185
Shares reacquired.................................. (32,583) (473,702) (173,451) (3,075,541)
- ---------------------------------------------------------------------------------------------------------
Net Increase (Decrease)............................ 13,095 $ 254,362 (60,432) $ (1,457,464)
=========================================================================================================
</Table>
61
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
<Table>
<Caption>
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2003 DECEMBER 31, 2002
------------------------ -------------------------
SHARES AMOUNT SHARES AMOUNT
- -----------------------------------------------------------------------------
EMERGING GROWTH FUND -- CLASS II SHARES
Shares sold........................................ 2,668 $ 44,770 -- --
Shares issued on reinvestment...................... -- -- -- --
Shares reacquired.................................. (1) (7) -- --
- ---------------------------------------------------------------------------------------------------------
Net Increase....................................... 2,667 $ 44,763 -- --
=========================================================================================================
INTERNATIONAL EQUITY FUND
Shares sold........................................ 242 $ 1,501 1,528 $ 10,791
Shares issued on reinvestment...................... -- -- 83,527 550,874
Shares reacquired.................................. (66,541) (392,610) (157,512) (1,197,539)
- ---------------------------------------------------------------------------------------------------------
Net Decrease....................................... (66,299) $ (391,109) (72,457) $ (635,874)
=========================================================================================================
</Table>
62
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
For a share of beneficial interest outstanding throughout each year ended
December 31, unless otherwise noted:
<Table>
<Caption>
MONEY MARKET FUND 2003(1) 2002 2001 2000 1999 1998
- ------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF
PERIOD........................... $1.000 $1.000 $1.000 $1.000 $1.000 $1.000
- ------------------------------------------------------------------------------------------------------------------
Net investment income(2)......... 0.001 0.005 0.029 0.052 0.040 0.043
Dividends from net investment
income........................ (0.001) (0.005) (0.029) (0.052) (0.040) (0.043)
- ------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD..... $1.000 $1.000 $1.000 $1.000 $1.000 $1.000
- ------------------------------------------------------------------------------------------------------------------
TOTAL RETURN(3).................... 0.12%++ 0.52% 2.91% 5.32% 4.03% 4.40%
- ------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD
(000'S).......................... $1,051 $1,613 $2,806 $2,777 $4,726 $4,671
- ------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses(2)(4)................... 0.98%+ 1.23% 1.25% 1.22% 1.25% 1.24%
Net investment income............ 0.25+ 0.53 2.82 5.13 3.92 4.30
- ------------------------------------------------------------------------------------------------------------------
</Table>
<Table>
<Caption>
DIVERSIFIED STRATEGIC INCOME
PORTFOLIO 2003(1) 2002(5) 2001(5) 2000(5) 1999(5) 1998(5)
- -----------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF
PERIOD........................... $8.69 $9.13 $9.70 $10.44 $10.90 $10.89
- -----------------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income............ 0.25 0.53 0.65 0.73 0.73 0.69
Net realized and unrealized gain
(loss)........................ 0.45 (0.11) (0.36) (0.45) (0.55) (0.01)
- -----------------------------------------------------------------------------------------------------------------------
Total Income From Operations....... 0.70 0.42 0.29 0.28 0.18 0.68
- -----------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income............ -- (0.86) (0.86) (1.02) (0.51) (0.67)
Net realized gains............... -- -- -- -- (0.13) --
- -----------------------------------------------------------------------------------------------------------------------
Total Distributions................ -- (0.86) (0.86) (1.02) (0.64) (0.67)
- -----------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD..... $9.39 $8.69 $9.13 $ 9.70 $10.44 $10.90
- -----------------------------------------------------------------------------------------------------------------------
TOTAL RETURN....................... 8.06%++ 4.84% 3.17% 2.80% 1.72% 6.41%
- -----------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD
(000'S).......................... $88,221 $78,009 $79,399 $70,142 $74,035 $80,970
- -----------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses......................... 0.79%+ 0.87% 0.76% 0.78% 0.78% 0.78%
Net investment income............ 5.68+ 5.82 6.86 7.40 6.88 6.38
- -----------------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE............ 109% 149% 118% 102% 111% 86%
- -----------------------------------------------------------------------------------------------------------------------
</Table>
(1) For the six months ended June 30, 2003 (unaudited).
(2) For the Money Market Fund, the Investment Adviser and Administrator waived
all or part of their fees for the six months ended June 30, 2003 and years
ended December 31, 2002, 2001, 2000, 1999 and 1998. The Investment Adviser
also reimbursed expenses of $22,579, $29,796, $24,193, $5,374 and $7,100 for
the six months ended June 30, 2003, and the years ended December 31, 2002,
2001, 2000 and 1999, respectively. If such fees were not waived and expenses
not reimbursed, the per share effect on net investment income and the actual
expense ratios would have been as follows:
<Table>
<Caption>
DECREASES TO
NET INVESTMENT
INCOME PER SHARE
--------------------------------------------------------------------
FUND 2003 2002 2001 2000 1999 1998
---- ---- ---- ---- ---- ---- ----
Money Market Fund.... $0.018 $0.017 $0.017 $0.007 $0.005 $0.005
<Caption>
EXPENSE RATIOS WITHOUT
WAIVERS AND REIMBURSEMENTS
---------------------------------------------------------------------
FUND 2003 2002 2001 2000 1999 1998
---- ---- ---- ---- ---- ---- ----
Money Market Fund.... 4.94%+ 2.98% 2.59% 1.87% 1.74% 1.74%
</Table>
(3) 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.
(4) As a result of a voluntary expense limitation, the ratio of expenses to
average net assets will not exceed 1.25%.
(5) Per share amounts have been calculated using the monthly average shares
method.
++ Total return is not annualized, as it may not be representative of the
total return for the year.
+ Annualized.
63
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (CONTINUED)
For a share of beneficial interest outstanding throughout each year ended
December 31, unless otherwise noted:
<Table>
<Caption>
ALL CAP VALUE FUND 2003(1)(2) 2002(2) 2001 2000 1999 1998(2)
- ------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE,
BEGINNING OF PERIOD............. $2.49 $6.10 $10.90 $12.06 $16.38 $15.31
- ------------------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income (loss).... (0.00)* (0.02) 0.29 0.52 0.67 0.53
Net realized and unrealized gain
(loss)....................... 0.38 (1.75) (1.91) 1.35 (1.15) 1.94
- ------------------------------------------------------------------------------------------------------------------------
Total Income (Loss) From
Operations...................... 0.38 (1.77) (1.62) 1.87 (0.48) 2.47
- ------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income........... -- (0.24) (0.44) (0.70) (0.77) (0.71)
Net realized gains.............. -- (1.60) (2.74) (2.33) (3.07) (0.69)
- ------------------------------------------------------------------------------------------------------------------------
Total Distributions............... -- (1.84) (3.18) (3.03) (3.84) (1.40)
- ------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD.... $2.87 $2.49 $ 6.10 $10.90 $12.06 $16.38
- ------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN...................... 15.26%++ (30.65)% (16.39)% 18.56% (4.75)% 16.99%
- ------------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD
(000'S)......................... $5,053 $4,734 $8,676 $14,562 $20,906 $37,495
- ------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses........................ 1.63%+ 1.86% 0.97% 0.91% 0.87% 0.79%
Net investment income (loss).... (0.28)+ (0.44) 2.58 2.74 3.09 3.43
- ------------------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE........... 14% 45% 40% 0% 3% 43%
- ------------------------------------------------------------------------------------------------------------------------
</Table>
<Table>
<Caption>
EQUITY INDEX
PORTFOLIO - CLASS I SHARES 2003(1)(2) 2002(2) 2001(2) 2000(2) 1999(2) 1998(2)
- ----------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE,
BEGINNING OF PERIOD........... $21.41 $28.21 $32.40 $35.86 $29.99 $23.59
- ----------------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income(3)...... 0.16 0.32 0.34 0.36 0.39 0.36
Net realized and unrealized
gain (loss)................ 2.30 (6.57) (4.26) (3.61) 5.77 6.33
- ----------------------------------------------------------------------------------------------------------------------
Total Income (Loss) From
Operations.................... 2.46 (6.25) (3.92) (3.25) 6.16 6.69
- ----------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income......... -- (0.55) (0.27) (0.19) (0.12) (0.08)
Net realized gains............ -- -- -- (0.02) (0.17) (0.21)
- ----------------------------------------------------------------------------------------------------------------------
Total Distributions............. -- (0.55) (0.27) (0.21) (0.29) (0.29)
- ----------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD........................ $23.87 $21.41 $28.21 $32.40 $35.86 $29.99
- ----------------------------------------------------------------------------------------------------------------------
TOTAL RETURN(4)................. 11.49%++ (22.17)% (12.12)% (9.09)% 20.68% 28.46%
- ----------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD
(000'S)....................... $996,345 $830,854 $897,035 $819,913 $654,514 $177,167
- ----------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses(3)(5)................ 0.34%+ 0.31% 0.23% 0.23% 0.28% 0.30%
Net investment income......... 1.43+ 1.32 1.17 1.03 1.20 1.36
- ----------------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE......... 0% 2% 2% 2% 3% 5%
- ----------------------------------------------------------------------------------------------------------------------
</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 Investment Adviser waived all or part of its fees for the year ended
December 31, 1998. If such fees were not waived and expenses not
reimbursed, the per share effect on net investment income and the actual
expense ratio for Class I Shares would have been $0.02 and 0.42%,
respectively.
On June 24, 2002, the shareholders of the Equity Index Portfolio approved a
new investment advisory agreement with TIMCO. The new investment advisory
fee is 0.25% of the average daily net assets of the Fund.
(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 the 0.30% voluntary expense limitation for the ratio of
expenses to average net assets, which became effective during 1998, the
investment adviser will reimburse fees for the amount that exceeds the
limitation. The Investment Adviser eliminated the voluntary expense
limitations as of June 24, 2002.
* 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.
64
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (CONTINUED)
For a share of beneficial interest outstanding throughout each year ended
December 31, unless otherwise noted:
<Table>
<Caption>
EQUITY INDEX PORTFOLIO - CLASS II SHARES 2003(1)(2) 2002(2) 2001(2) 2000(2) 1999(2)(3)
- -----------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD......... $21.43 $28.17 $32.36 $35.81 $31.71
- -----------------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income...................... 0.13 0.24 0.27 0.26 0.24
Net realized and unrealized gain (loss).... 2.29 (6.54) (4.26) (3.59) 4.15
- -----------------------------------------------------------------------------------------------------------------------
Total Income (Loss) From Operations.......... 2.42 (6.30) (3.99) (3.33) 4.39
- -----------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income...................... -- (0.44) (0.20) (0.10) (0.12)
Net realized gains......................... -- -- -- (0.02) (0.17)
- -----------------------------------------------------------------------------------------------------------------------
Total Distributions.......................... -- (0.44) (0.20) (0.12) (0.29)
- -----------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD............... $23.85 $21.43 $28.17 $32.36 $35.81
- -----------------------------------------------------------------------------------------------------------------------
TOTAL RETURN................................. 11.29%++ (22.37)% (12.36)% (9.32)% 13.96%++
- -----------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000'S)............ $103,366 $85,807 $96,518 $71,508 $ 27,372
- -----------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses................................... 0.60%+ 0.56% 0.49% 0.50% 0.51%+
Net investment income...................... 1.17+ 0.97 0.91 0.76 0.93+
- -----------------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE...................... 0% 2% 2% 2% 3%
- -----------------------------------------------------------------------------------------------------------------------
</Table>
(1) For the six months ended June 30, 2003 (unaudited).
(2) Per share amounts have been calculated using the monthly average shares
method.
(3) For the period March 22, 1999 (inception date) to December 31, 1999.
++ Total return is not annualized, as it may not be representative of the
total return for the year.
+ Annualized.
65
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (CONTINUED)
For a share of beneficial interest outstanding throughout each year ended
December 31, unless otherwise noted:
<Table>
<Caption>
GROWTH & INCOME FUND 2003(1) 2002 2001 2000 1999 1998(2)
- ------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF
PERIOD............................ $3.52 $4.90 $7.92 $16.47 $18.47 $18.54
- --------------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income............. 0.00* 0.00* 0.03 0.17 0.30 0.27
Net realized and unrealized gain
(loss)......................... 0.49 (1.14) (1.04) 0.03 1.49 1.93
- --------------------------------------------------------------------------------------------------------------------
Total Income (Loss) From
Operations........................ 0.49 (1.14) (1.01) 0.20 1.79 2.20
- --------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income............. -- (0.02) (0.12) (0.32) (0.35) (0.33)
Net realized gains................ -- (0.22) (1.89) (8.43) (3.44) (1.94)
- --------------------------------------------------------------------------------------------------------------------
Total Distributions................. -- (0.24) (2.01) (8.75) (3.79) (2.27)
- --------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD...... $4.01 $3.52 $4.90 $ 7.92 $16.47 $18.47
- --------------------------------------------------------------------------------------------------------------------
TOTAL RETURN........................ 13.92%++ (23.35)% (13.14)% 4.52% 10.66% 11.88%
- --------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000'S)... $7,722 $6,777 $11,087 $16,159 $24,338 $35,781
- --------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses.......................... 1.52%+ 1.36% 0.94% 0.91% 0.80% 0.72%
Net investment income............. 0.14+ 0.31 1.08 1.21 1.45
- --------------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE............. 38% 46% 81% 55% 47% 13%
- --------------------------------------------------------------------------------------------------------------------
</Table>
<Table>
<Caption>
EMERGING GROWTH FUND -- CLASS I SHARES
2003(1)(2) 2002(2) 2001(2)(3) 2000(3) 1999(3) 1998(2)(3)
- ------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF
PERIOD............................ $13.89 $25.98 $178.99 $231.77 $137.41 $118.09
- ------------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment loss............... (0.12) (0.25) (0.50) (2.17) (1.82) (1.05)
Net realized and unrealized gain
(loss)......................... 2.95 (8.18) (9.85) 66.22 125.37 41.86
- ------------------------------------------------------------------------------------------------------------------
Total Income (Loss) From
Operations........................ 2.83 (8.43) (10.35) 64.05 123.55 40.81
- ------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net realized gains................ -- (3.66) (142.66) (116.83) (29.19) (21.49)
- ------------------------------------------------------------------------------------------------------------------
Total Distributions................. -- (3.66) (142.66) (116.83) (29.19) (21.49)
- ------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD...... $16.72 $13.89 $ 25.98 $178.99 $231.77 $137.41
- ------------------------------------------------------------------------------------------------------------------
TOTAL RETURN........................ 20.37%++ (32.65)% (5.32)% 27.27% 107.14% 37.14%
- ------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000'S)... $7,412 $5,975 $12,745 $18,646 $27,067 $21,147
- ------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses.......................... 2.08%+ 1.56% 1.18% 1.18% 1.30% 1.28%
Net investment loss............... (1.65)+ (1.25) (0.97) (0.90) (1.01) (0.88)
- ------------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE............. 0% 4% 0% 122% 113% 98%
- ------------------------------------------------------------------------------------------------------------------
</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) Per share amounts have been restated to reflect a 1 for 7 reverse stock
split which was effective on September 7, 2001.
* 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.
66
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (CONTINUED)
For the share of capital stock outstanding throughout the period ended June 30:
<Table>
<Caption>
EMERGING GROWTH FUND -- CLASS II SHARES 2003(1)(2)
- ----------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD........................ $15.64
- ----------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment loss....................................... (0.01)
Net realized and unrealized gain.......................... 1.07
- ----------------------------------------------------------------------------
Total Income From Operations................................ 1.06
- ----------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD.............................. $16.70
- ----------------------------------------------------------------------------
TOTAL RETURN++.............................................. 6.78%
- ----------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000'S)........................... $45
- ----------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS+:
Expenses.................................................. 2.31%
Net investment loss....................................... (1.96)
- ----------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE..................................... 0%
- ----------------------------------------------------------------------------
</Table>
(1) For the period May 12, 2003 (inception date) to June 30, 2003 (unaudited).
(2) Per share amounts have been calculated using the monthly average shares
method.
++ Total return is not annualized, as it may not be representative of the
total return for the year.
+ Annualized.
67
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (CONTINUED)
For a share of beneficial interest outstanding throughout each year ended
December 31, unless otherwise noted:
<Table>
<Caption>
INTERNATIONAL EQUITY FUND 2003(1) 2002(2) 2001(2)(3) 2000(2)(3) 1999(3) 1998(2)(3)
- -----------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF
PERIOD............................. $6.11 $9.11 $192.64 $331.20 $223.04 $188.48
- -----------------------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment loss................ (0.02) (0.07) (0.05) (1.92) (2.88) (0.48)
Net realized and unrealized gain
(loss).......................... 0.48 (1.87) (59.15) (53.92) 136.96 36.00
- -----------------------------------------------------------------------------------------------------------------------------
Total Income (Loss) From
Operations......................... 0.46 (1.94) (59.20) (55.84) 134.08 35.52
- -----------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income.............. -- -- -- (9.44) (0.16) (0.96)
Net realized gains................. -- (1.06) (124.33) (73.28) (25.76) --
- -----------------------------------------------------------------------------------------------------------------------------
Total Distributions.................. -- (1.06) (124.33) (82.72) (25.92) (0.96)
- -----------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD....... $6.57 $6.11 $ 9.11 $192.64 $331.20 $223.04
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN......................... 7.53%++ (21.82)% (30.80)% (18.90)% 66.20% 18.84%
- -----------------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000'S).... $3,095 $3,282 $5,554 $11,022 $24,370 $23,482
- -----------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses........................... 3.11%+ 2.54% 1.41% 1.41% 1.33% 1.40%
Net investment loss................ (0.51)+ (0.92) (0.23) (0.78) (0.33) (0.25)
- -----------------------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE.............. 18% 28% 0% 1% 17% 30%
- -----------------------------------------------------------------------------------------------------------------------------
</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) Per share amounts have been restated to reflect a 1 for 16 reverse stock
split which was effective on September 7, 2001.
++ Total return is not annualized, as it may not be representative of the
total return for the year.
+ Annualized.
68
GREENWICH STREET SERIES FUND
- --------------------------------------------------------------------------------
INVESTMENT ADVISER AND ADMINISTRATOR
Smith Barney Fund Management LLC
CUSTODIAN
State Street Bank and Trust Company
TRANSFER AGENT
Citicorp Trust Bank, fsb.
TRUSTEES
Herbert Barg
Dwight B. Crane
Burt N. Dorsett
R. Jay Gerken, CFA
Chairman
Elliot S. Jaffe
Stephen E. Kaufman
Joseph J. McCann
Cornelius C. Rose, Jr.
OFFICERS
R. Jay Gerken, CFA
President and
Chief Executive Officer
Lewis E. Daidone
Senior Vice President and
Chief Administrative Officer
Richard L. Peteka
Chief Financial Officer
and Treasurer
Oliver Asselin
Vice President and
Investment Officer
Sandip Bhagat, CFA
Vice President and
Investment Officer
John G. Goode
Vice President and
Investment Officer
Martin Hanley
Vice President and
Investment Officer
Michael Kagan
Vice President and
Investment Officer
John Lau
Vice President and
Investment Officer
Roger Lavan
Vice President and
Investment Officer
Jeff Russell
Vice President and
Investment Officer
Beth Semmel, CFA
Vice President and
Investment Officer
Peter Wilby
Vice President and
Investment Officer
David M. Zahn
Vice President and
Investment Officer
Kaprel Ozsolak
Controller
Christina T. Sydor
Secretary
GREENWICH STREET SERIES FUND
- --------------------------------------------------------------------------------
EQUITY INDEX PORTFOLIO
DIVERSIFIED STRATEGIC INCOME PORTFOLIO
SALOMON BROTHERS VARIABLE ALL CAP VALUE FUND
SALOMON BROTHERS VARIABLE MONEY MARKET FUND
SALOMON BROTHERS VARIABLE EMERGING GROWTH FUND
SALOMON BROTHERS VARIABLE INTERNATIONAL EQUITY FUND
SALOMON BROTHERS VARIABLE GROWTH & INCOME FUND
The Funds are separate investment funds of the Greenwich Street Series Fund, a
Massachusetts business trust.
This report is submitted for the general
information of the owners of the
Greenwich Street Series Fund. It is not
authorized for distribution to
prospective investors unless accompanied
or preceded by a current Prospectus for
the Trust, which contains information
concerning the Trust's investment
policies, fees and expenses, as well as
other pertinent information.
S-6225 M (8/03) 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.
GREENWICH STREET SERIES FUND
By: /s/ R. Jay Gerken
R. Jay Gerken
Chief Executive Officer of
Greenwich Street Series Fund
Date: August 28, 2003
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By: /s/ R. Jay Gerken
(R. Jay Gerken)
Chief Executive Officer of
Greenwich Street Series Fund
Date: August 28, 2003
By: /s/ Richard Peteka
(Richard Peteka)
Chief Financial Officer of
Greenwich Street Series Fund
Date: August 28, 2003