UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-6465
THE TRAVELERS SERIES TRUST
(Exact name of registrant as specified in charter)
125 Broad Street, New York, NY 10004
(Address of principal executive offices) (Zip code)
Christina T. Sydor, Esq.
300 First Stamford Place
Stamford, CT 06902
(Name and address of agent for service)
Registrant's telephone number, including area code:
(800) 451-2010
Date of fiscal year end: DECEMBER 31
Date of reporting period: JUNE 30, 2003
ITEM 1. REPORT TO STOCKHOLDERS.
The SEMI-ANNUAL Report to Stockholders is filed herewith.
[INSERT SHAREHOLDER REPORT]
SEMI-ANNUAL REPORTS
JUNE 30, 2003
[UMBRELLA GRAPHIC]
THE TRAVELERS SERIES TRUST:
EQUITY INCOME PORTFOLIO
LARGE CAP PORTFOLIO
[TRAVELERS LIFE & ANNUITY LOGO]
The Travelers Insurance Company
The Travelers Life and Annuity Company
One Cityplace
Hartford, CT 06103
CONTENTS
CHAIRMAN'S LETTER 3 Letter from the Chairman.
EQUITY INCOME PORTFOLIO
INVESTMENTS 4 A complete list of the fund's investments with their
market values.
FINANCIAL STATEMENTS 7 Statements of assets and liabilities, operations, and
changes in net assets, as well as financial highlights.
LARGE CAP PORTFOLIO
INVESTMENTS 9 A complete list of the fund's investments with their
market values.
FINANCIAL STATEMENTS 12 Statements of assets and liabilities, operations, and
changes in net assets, as well as financial highlights.
NOTES 14 Notes to the financial statements.
This report and the financial statements contained herein are submitted for the
general information of the shareholders of the funds. This report is not
authorized for distribution to prospective investors in the funds unless
preceded or accompanied by an effective prospectus.
MUTUAL FUND SHARES ARE NOT DEPOSITS OR OBLIGATIONS OF, OR GUARANTEED BY, ANY
DEPOSITORY INSTITUTION. SHARES ARE NOT INSURED BY THE FDIC, FEDERAL RESERVE
BOARD OR ANY OTHER AGENCY, AND ARE SUBJECT TO INVESTMENT RISKS, INCLUDING
POSSIBLE LOSS OF PRINCIPAL AMOUNT INVESTED.
Neither of the funds is a bank.
SEMIANNUAL REPORT
2
LETTER FROM THE CHAIRMAN
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.
I 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,
R. Jay Gerken, CFA
Chairman, President and Chief Executive Officer
July 21, 2003
SEMIANNUAL REPORT
3
EQUITY INCOME PORTFOLIO
INVESTMENTS JUNE 30, 2003 (UNAUDITED)
Showing Percentage of Net Assets
COMMON STOCK - 94.6%
SHARES VALUE (NOTE 1)
CONSUMER DISCRETIONARY- 13.6%
HOTELS, RESTAURANTS & LEISURE - 0.4%
Mandalay Resort Group ........................... 16,000 $ 509,600
MGM MIRAGE (a) .................................. 15,400 526,372
-----------
1,035,972
-----------
INTERNET & CATALOG RETAIL - 1 .0%
Amazon.com, Inc. (a) ............................ 10,600 386,794
Inter ActiveCorp (a) ............................ 49,700 1,966,629
-----------
2,353,423
-----------
LEISURE EQUIPMENT & PRODUCTS - 0.1%
Mattel, Inc. .................................... 9,000 170,280
-----------
MEDIA - 6.6%
AOL Time Warner, Inc. (a) ....................... 588,400 9,467,356
Belo Corp Series A .............................. 75,300 1,683,708
Comcast Corp. Class A (special) (a) .... ........ 64,800 1,868,184
McGraw-Hill Companies, Inc. ...................... 2,600 161,200
News Corp. Ltd. ADR ............................. 56,300 1,704,201
Omnicom Group, Inc. .............................. 2,800 200,760
Washington Post Co. Class B ..................... 300 219,870
-----------
15,305,279
-----------
MULTILINE RETAIL - 1.7%
Federated Department Stores, Inc. ............... 50,200 1,849,870
Target Corp. .................................... 52,700 1,994,168
-----------
3,844,038
-----------
SPECIALTY RETAIL - 2.9%
Home Depot, Inc. ................................ 153,700 5,090,544
TJX Companies, Inc. ............................. 79,500 1,497,780
-----------
6,588,324
-----------
TEXTILES APPAREL & LUXURY GOODS - 0.9%
NIKE, Inc. Class B .............................. 37,400 2,000,526
-----------
TOTAL CONSUMER DISCRETIONARY .............................................. 31,297,842
-----------
CONSUMER STAPLES - 2.1%
FOOD PRODUCTS - 1 .3%
Campbell Soup Co. ............................... 24,100 590,450
McCormick & Co., Inc. (non-vtg.) ................ 84,600 2,301,120
Tyson Foods, Inc. Class A ....................... 13,700 145,494
-----------
3,037,064
-----------
HOUSEHOLD PRODUCTS - 0.3%
Kimberly-Clark Corp. ............................ 9,400 490,116
Procter & Gamble Co. ............................ 2,100 187,278
-----------
677,394
-----------
PERSONAL PRODUCTS - 0.5%
Gillette Co. .................................... 36,500 1,162,890
-----------
TOTAL CONSUMER STAPLES .................................................... 4,877,348
-----------
ENERGY - 9.4%
ENERGY EQUIPMENT & SERVICES - 1.1%
Diamond Offshore Drilling, Inc. ................. 45,400 952,946
Schlumberger Ltd. (NY Shares).................... 33,900 1,612,623
------------
2,565,569
-----------
OIL & GAS-8.3%
Burlington Resources, Inc. ...................... 212,100 11,468,247
Exxon Mobil Corp. ............ .................. 208,600 7,490,826
-----------
18,959,073
-----------
TOTAL ENERGY ............................................................. 21,524,642
-----------
FINANCIALS - 24.2%
CAPITAL MARKETS - 17.9%
Bank of New York Co., Inc ....................... 161,100 4,631,625
Charles Schwab Corp ............................. 1,052,540 10,620,129
Friedman, Billings, Ramsey Group, Inc. Class A .. 13,500 180,900
Mellon Financial Corp. .......................... 172,000 4,773,000
Merrill Lynch & Co., Inc. ....................... 60,700 2,833,476
Morgan Stanley .................................. 190,100 8,126,775
Northern Trust Corp. ............................ 129,000 5,390,910
State Street Corp. .............................. 111,900 4,408,860
-----------
40,965,675
-----------
COMMERCIAL BANKS - 2.3%
Bank of America Corp ............................ 53,600 4,236,008
Synovus Financial Corp .......................... 25,700 552,550
Wachovia Corp ................................... 13,748 549,370
-----------
5,337,928
-----------
DIVERSIFIED FINANCIAL SERVICES - 0.1%
GATX Corp........................................ 13,200 215,820
-----------
INSURANCE - 1.9%
Allstate Corp.................................... 26,700 951,855
American International Group, Inc. .............. 46,200 2,549,316
Aon Corp......................................... 34,100 821,128
-----------
4,322,299
-----------
REAL ESTATE-1.4%
American Financial Really Trust (SBI) ........... 9,900 147,609
Duke Really Corp................................. 48,400 1,333,420
ProLogis ........................................ 65,006 1,774,664
-----------
3,255,693
-----------
THRIFTS & MORTGAGE FINANCE - 0.6%
Golden West Financial Corp., Delaware 17,600 1,408,176
-----------
TOTAL FINANCIALS.............................. 55,505,591
-----------
HEALTH CARE - 3.5%
HEALTH CARE EQUIPMENT & SUPPLIES - 0.7%
Becton, Dickinson & Co........................... 39,800 1,546,230
-----------
HEALTH CARE PROVIDERS & SERVICES - 0.3%
WebMD Corp. (a)...........,...................... 62,400 675,792
-----------
See accompanying notes which are an integral part of the financial statements.
SEMIANNUAL REPORT
4
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
HEALTH CARE - CONTINUED
PHARMACEUTICALS - 2.5%
Bristol-Myers Squibb Co. .......................... 40,800 $ 1,107,720
Merck & Co. Inc. .................................. 41,200 2,494,660
Pfizer Inc ........................................ 15,500 529,325
Schering-Plough Corp. ............................. 66,900 1,244,340
Wyeth ............................................. 7,700 350,735
-----------
5,726,780
-----------
TOTAL HEALTH CARE ............................... 7,948,802
-----------
INDUSTRIALS - 19.5%
AEROSPACE & DEFENSE - 1.8%
Boeing Co. ........................................ 6,700 229,944
Goodrich Corp. .................................... 67,500 1,417,500
Lockheed Martin Corp. ............................. 51,800 2,464,126
-----------
4,111,570
-----------
COMMERCIAL SERVICES & SUPPLIES - 0.0%
Equifax, Inc. ..................................... 2,200 57,200
-----------
ELECTRICAL EQUIPMENT - 2.2%
Emerson Electric Co. .............................. 97,300 4,972,030
-----------
INDUSTRIAL CONGLOMERATES - 2.7%
3M Co. ............................................ 10,700 1,380,086
General Electric Co. .............................. 139,180 3,991,682
Teleflex, Inc. .................................... 21,100 897,805
-----------
6,269,573
-----------
MACHINERY - 7.6%
Caterpillar, Inc. ................................. 41,500 2,309,890
Cummins, Inc. ..................................... 23,100 829,059
Dover Corp. ....................................... 53,500 1,602,860
Eaton Corp. ....................................... 58,700 4,614,407
Illinois Tool Works, Inc. ......................... 80,800 5,320,680
Navistar International Corp.(a) ................... 29,300 956,059
PACCAR, Inc. ...................................... 27,400 1,851,144
-----------
17,484,099
-----------
ROAD & RAIL - 5.1%
Norfolk Southern Corp. ............................ 181,900 3,492,480
Union Pacific Corp. ............................... 100,500 5,831,010
Werner Enterprises, Inc. .......................... 111,200 2,357,440
-----------
11,680,930
-----------
TRADING COMPANIES & DISTRIBUTORS - 0.1%
Fastenal Co. ...................................... 4,584 155,581
-----------
TOTAL INDUSTRIALS ............................................ 44,730,983
-----------
INFORMATION TECHNOLOGY - 10.1%
COMMUNICATIONS EQUIPMENT - 3.1%
ADC Telecommunications, Inc.(a) ................... 328,900 765,679
Alcatel SA sponsored ADR(a) ....................... 35,200 315,040
Brocade Communications Systems,Inc.(a) ............ 184,600 1,087,294
Enterasys Networks, Inc. (a) ...................... 49,100 148,773
Motorola, Inc. .................................... 308,100 2,905,383
Nokia Corp. sponsored ADR ......................... 70,800 1,163,244
Nortel Networks Corp. (a) ......................... 227,800 615,060
Tellabs, Inc. (a) ................................. 31,300 205,641
-----------
7,206,114
-----------
COMPUTERS & PERIPHERALS - 1.2%
Apple Computer, Inc. (a) .......................... 15,200 290,624
Hewlett-Packard Co. ............................... 55,200 1,175,760
International Business Machines Corp. ............. 6,500 536,250
Seagate Technology ................................ 13,700 241,805
Sun Microsystems, Inc. (a) ........................ 116,400 535,440
-----------
2,779,879
-----------
ELECTRONIC EQUIPMENT & INSTRUMENTS - 1.0%
Arrow Electronics, Inc. (a) ....................... 27,500 419,100
Avnet, Inc. (a) ................................... 24,800 314,464
Celestica, Inc. (sub. vtg.) (a) ................... 24,600 385,482
Flextronics International Ltd. (a) ................ 38,900 404,171
Ingram Micro, Inc. Class A (a) .................... 47,500 522,500
Molex, Inc. ....................................... 5,600 151,144
-----------
2,196,861
-----------
IT SERVICES - 0.4%
Electronic Data Systems Corp. ..................... 32,102 688,588
SunGard Data Systems, Inc. (a) .................... 3,800 98,458
The BISYS Group, Inc.(a) .......................... 7,600 139,612
-----------
926,658
-----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 1.8%
Cypress Semiconductor Corp. (a) ................... 20,500 246,000
LSI Logic Corp. (a) ............................... 21,800 154,344
Micron Technology, Inc. (a) ....................... 322,100 3,746,023
-----------
4,146,367
-----------
SOFTWARE - 2.6%
BEA Systems, Inc. (a) ............................. 133,100 1,445,466
Intuit, Inc. (a) .................................. 5,700 253,821
Microsoft Corp. ................................... 60,480 1,548,893
NetlQ Corp. (a) ................................... 8,600 132,956
Network Associates, Inc. (a) ...................... 99,800 1,265,464
PeopleSoft, Inc.(a) ............................... 61,300 1,078,267
Reynolds & Reynolds Co. Class A ................... 7,300 208,488
-----------
5,933,355
-----------
TOTAL INFORMATION TECHNOLOGY .................... 23,189,234
-----------
MATERIALS - 2.7%
METALS & MINING - 2.5%
Alcoa, Inc. ....................................... 225,200 5,742,600
-----------
PAPER & FOREST PRODUCTS - 0.2%
International Paper Co. ........................... 13,700 489,501
-----------
TOTAL MATERIALS ................................... 6,232,101
-----------
See accompanying notes which are an integral part of the financial statements.
SEMIANNUAL REPORT
5
EQUITY INCOME PORTFOLIO
INVESTMENTS (UNAUDITED) - CONTINUED
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
TELECOMMUNICATION SERVICES - 5.4%
DIVERSIFIED TELECOMMUNICATION SERVICES - 5.4%
BellSouth Corp.............................................. 98,800 $ 2,631,044
Level 3 Communications, Inc. (a)............................ 36,300 241,032
Time Warner Telecom, Inc. Class A (a)....................... 24,700 157,339
Verizon Communications, Inc ................................ 236,700 9,337,815
--------------
12,367,230
--------------
WIRELESS TELECOMMUNICATION SERVICES - 0.0%
Triton PCS Holdings, Inc. Class A (a) ...................... 10,100 51,005
Vodafone Group PLC sponsored ADR ........................... 2,800 55,020
--------------
106,025
--------------
TOTAL TELECOMMUNICATION SERVICES .................................... 12,473,255
--------------
UTILITIES - 4.1%
ELECTRIC UTILITIES - 3.7%
Allegheny Energy, Inc. (a) ................................. 14,600 123,370
American Electric Power Co., Inc. .......................... 56,400 1,682,412
DQE, Inc. .................................................. 5,300 79,871
Entergy Corp. .............................................. 49,000 2,586,220
Exelon Corp. ............................................... 39,900 2,386,419
Wisconsin Energy Corp. ..................................... 43,770 1,269,330
Xcel Energy, Inc. .......................................... 24,100 362,464
--------------
8,490,086
--------------
MULTI-UTILITIES & UNREGULATED POWER - 0.4%
AES Corp. (a) .............................................. 21,200 134,620
Duke Energy Corp............................................ 41,200 821,940
--------------
956,560
--------------
TOTAL UTILITIES ..................................................... 9,446,646
--------------
TOTAL COMMON STOCKS
(Cost $209,459,096)....................................... 217,226,444
--------------
CONVERTIBLE PREFERRED STOCKS - 0.1%
FINANCIALS - 0.1%
CAPITAL MARKETS - 0.1%
State Street Corp. 6.75%................................... 700 144,289
--------------
TOTAL CONVERTIBLE PREFERRED STOCKS
(Cost $142,800)............................................................ 144,289
--------------
CONVERTIBLE BONDS - 0.8%
PRINCIPAL
AMOUNT
INFORMATION TECHNOLOGY - 0.5%
COMMUNICATIONS EQUIPMENT - 0.2%
Avaya, Inc. 0% 10/31/21 .................................... $ 190,000 $ 96,900
CIENA Corp. 3.75% 2/1/08 ................................... 360,000 302,400
--------------
399,300
--------------
ELECTRONIC EQUIPMENT & INSTRUMENTS - 0.3%
Agilent Technologies, Inc. 3% 12/1/21 ...................... 640,000 627,302
--------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.0%
Micron Technology, Inc. 2.5% 2/1/10 (b) .................... 130,000 156,000
--------------
TOTAL INFORMATION TECHNOLOGY......................................... 1,182,602
--------------
TELECOMMUNICATION SERVICES - 0.3%
DIVERSIFIED TELECOMMUNICATION SERVICES - 0.3%
Level 3 Communications, Inc.:
6% 9/15/09 ............................................... 750,000 547,500
6% 3/15/10 ............................................... 250,000 180,000
--------------
727,500
--------------
TOTAL CONVERTIBLE BONDS
(Cost $1,566,370)......................................... 1,910,102
--------------
TOTAL INVESTMENT PORTFOLIO - 95.5%
(Cost $211,168,266)....................................... 219,280,835
NET OTHER ASSETS - 4.5% .................................... 10,316,849
--------------
NET ASSETS - 100%........................................... $ 229,597,684
==============
LEGEND
(a) Non-income producing
(b) Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At the period
end, the value of these securities amounted to $156,000 or 0.0% of net
assets.
OTHER INFORMATION
Purchases and sales of securities, other than short-term securities, aggregated
$134,495,372 and $123,229,741, respectively.
The fund placed a portion of its portfolio transactions with brokerage firms
which are affiliates of the sub-adviser. The commissions paid to these
affiliated firms were $8,479 for the period.
INCOME TAX INFORMATION
At December 31, 2002, the fund had a capital loss carryforward of approximately
$13,798,000 of which $2,334,000 and $11,464,000 will expire on December 31, 2009
and 2010, respectively.
See accompanying notes which are an integral part of the financial statements.
SEMIANNUAL REPORT
6
EQUITY INCOME PORTFOLIO
FINANCIAL STATEMENTS
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 2003 (UNAUDITED)
ASSETS
Investment in securities, at value
(cost $211,168,266)- See
accompanying schedule ................. $219,280,835
Cash ................................... 10,792,674
Receivable for investments sold ........ 334,292
Receivable for fund shares sold ........ 96,612
Dividends receivable ................... 223,339
Interest receivable .................... 24,475
Other receivables ...................... 57,479
------------
TOTAL ASSETS........................... 230,809,706
LIABILITIES
Payable for investments purchased ...... $ 894,184
Payable for fund shares redeemed ....... 140,565
Accrued management fee ................. 144,440
Other payables and accrued
expenses .............................. 32,833
------------
TOTAL LIABILITIES ..................... 1,212,022
------------
NET ASSETS ............................. $229,597,684
============
Net Assets consist of:
Paid in capital ........................ $237,763,149
Undistributed net investment income .... 1,272,017
Accumulated undistributed net
realized gain (loss) on
investments and foreign currency
transactions .......................... (17,550,051)
Net unrealized appreciation
(depreciation) on investments ......... 8,112,569
------------
NET ASSETS, for 15,941,193 shares
outstanding ........................... $229,597,684
============
NET ASSET VALUE, offering price and
redemption price per share
($229,597,684 / 15,941,193
shares) ............................... $ 14.40
============
STATEMENT OF OPERATIONS
SIX MONTHS ENDED JUNE 30, 2003 (UNAUDITED)
INVESTMENT INCOME
Dividends .............................. $ 1,786,205
Interest ............................... 181,258
------------
TOTAL INCOME .......................... 1,967,463
EXPENSES
Management fee ......................... $ 749,989
Transfer agent fees .................... 20,105
Accounting fees and expenses ........... 36,765
Non-interested trustees'
compensation .......................... 1,206
Custodian fees and expenses ............ 14,752
Audit .................................. 14,010
------------
Total expenses before reductions ...... 836,827
Expense reductions .................... (62,941) 773,886
------------ ------------
NET INVESTMENT INCOME (LOSS) ........... 1,193,577
------------
REALIZED AND UNREALIZED GAIN
(LOSS)
Net realized gain (loss) on:
Investment securities ................. (2,657,265)
Foreign currency transactions ......... 182
------------
Total net realized gain (loss) ......... (2,657,083)
Change in net unrealized
appreciation (depreciation) on
investment securities ................. 26,889,937
------------
NET GAIN (LOSS) ........................ 24,232,854
------------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM OPERATIONS ...... $ 25,426,431
============
See accompanying notes which are an integral part of the financial statements.
SEMIANNUAL REPORT
7
EQUITY INCOME PORTFOLIO
FINANCIAL STATEMENTS - CONTINUED
STATEMENT OF CHANGES IN NET ASSETS
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2003 DECEMBER 31,
(UNAUDITED) 2002
INCREASE (DECREASE) IN NET ASSETS
Operations
Net investment income (loss) ............................................. $ 1,193,577 $ 2,254,778
Net realized gain (loss) ................................................. (2,657,083) (12,434,800)
Change in net unrealized appreciation (depreciation) ..................... 26,889,937 (21,414,192)
---------------- ------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS .......... 25,426,431 (31,594,214)
---------------- ------------
Distributions to shareholders from net investment income ................... - (2,215,538)
---------------- ------------
Share transactions
Net proceeds from sales of shares ........................................ 20,149,684 55,472,889
Reinvestment of distributions ............................................ - 2,215,538
Cost of shares redeemed .................................................. (6,988,091) (33,257,838)
---------------- ------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS .. 13,161,593 24,430,589
---------------- ------------
TOTAL INCREASE (DECREASE) IN NET ASSETS .................................. 38,588,024 (9,379,163)
NET ASSETS
Beginning of period ...................................................... 191,009,660 200,388,823
---------------- ------------
End of period (including undistributed net investment income of $1,272,017
and undistributed net investment income of $78,440, respectively) ...... $ 229,597,684 $191,009,660
================ ============
OTHER INFORMATION
Shares
Sold ..................................................................... 1,501,710 3,849,060
Issued in reinvestment of distributions .................................. - 174,315
Redeemed ................................................................. (543,232) (2,411,017)
---------------- ------------
Net increase (decrease) .................................................. 958,478 1,612,358
================ ============
FINANCIAL HIGHLIGHTS
SIX MONTHS ENDED
JUNE 30, 2003 YEARS ENDED DECEMBER 31,
(UNAUDITED) 2002 2001 2000 1999 1998
SELECTED PER-SHARE DATA
Net asset value, beginning of period ........... $ 12.75 $ 14.99 $ 16.26 $ 15.05 $ 15.41 $ 13.91
-------- -------- -------- ---------- -------- --------
Income from Investment Operations
Net investment income (loss)(E) .............. .08 .16 .20(G) .13 .13 .18
Net realized and unrealized gain (loss) ...... 1.57 (2.25) (1.27)(G) 1.24 .59 1.53
-------- -------- -------- ---------- -------- --------
Total from investment operations ............. 1.65 (2.09) (1.07) 1.37 .72 1.71
-------- -------- -------- ---------- -------- --------
Distributions from net investment income ....... - (.15) (.16) (.16) (.12) (.13)
Distributions from net realized gain ........... - - (.04) - (.63) (.08)
Distributions in excess of net realized gain ... - - - - (.33) -
-------- -------- -------- ---------- -------- --------
Total distributions ........................... - (.15) (.20) (.16) (1.08) (.21)
-------- -------- -------- ---------- -------- --------
Net asset value, end of period ................. $ 14.40 $ 12.75 $ 14.99 $ 16.26 $ 15.05 $ 15.41
======== ======== ======== ========== ======== ========
TOTAL RETURN (B,C,D) ........................... 12.94% (13.94)% (6.61)% 9.13% 4.92% 12.38%
RATIOS TO AVERAGE NET ASSETS (F)
Expenses before expense reductions ............ .84%(A) .84% .85% .87% .88% 1.09%
Expenses net of voluntary waivers, if any ..... .84%(A) .84% .85% .87% .88% .95%
Expenses net of all reductions ................ .77%(A) .78% .79% .82% .82% .94%
Net investment income (loss) .................. 1.19%(A) 1.14% 1.28%(G) 1.17% .85% 1.22%
SUPPLEMENTAL DATA
Net assets, end of period (000 omitted) ....... $229,598 $191,010 $200,389 $ 170,727 $130,553 $ 79,198
Portfolio turnover rate ....................... 128%(A) 131% 121% 151% 201% 34%
(A) Annualized
(B) Total returns for periods of less than one year are not annualized.
(C) Total returns do not reflect charges attributable to your insurance
company's separate account. Inclusion of these charges would reduce the
total returns shown.
(D) Total returns would have been lower had certain expenses not been reduced
during the periods shown.
(E) Calculated based on average shares outstanding during the period.
(F) Expense ratios reflect operating expenses of the fund. Expenses before
reductions do not reflect amounts reimbursed by the investment adviser or
reductions from brokerage service arrangements or other expense offset
arrangements and do not represent the amount paid by the fund during
periods when reimbursements or reductions occur. Expenses net of any
voluntary waivers reflect expenses after reimbursement by the investment
adviser but prior to reductions from brokerage service arrangements or
other expense offset arrangements. Expenses net of all reductions represent
the net expenses paid by the fund.
(G) Effective January 1, 2001, the fund adopted the provisions of the AICPA
Audit and Accounting Guide for Investment Companies and began amortizing
premium and discount on all debt securities, as required. Per share data
and ratios for periods prior to adoption have not been restated to reflect
this change.
See accompanying notes which are an integral part of the financial statements.
SEMIANNUAL REPORT
8
LARGE CAP PORTFOLIO
INVESTMENTS JUNE 30, 2003 (UNAUDITED)
Showing Percentage of Net Assets
COMMON STOCK - 95.5%
SHARES VALUE (NOTE 1)
CONSUMER DISCRETIONARY - 14.4%
AUTO COMPONENTS - 0.2%
Michelin SA (Compagnie Generale des
Etablissements) Series B.............. 10,958 $ 428,979
--------------
HOTELS, RESTAURANTS & LEISURE - 0.3%
Hilton Group PLC........................ 233,100 709,900
--------------
INTERNET & CATALOG RETAIL - 1.2%
Amazon.com, Inc. (a) ................... 33,600 1,226,064
eBay, Inc. (a) ........................ 11,400 1,187,652
--------------
2,413,716
--------------
LEISURE EQUIPMENT & PRODUCTS - 0.5%
Mattel, Inc. ........................... 50,000 946,000
--------------
MEDIA - 9.5%
AOL Time Warner, Inc. (a) .............. 178,200 2,867,238
Belo Corp. Series A .................... 47,400 1,059,864
British Sky Broadcasting Group PLC
(BSkyB) sponsored ADR (a) ............ 36,024 1,624,682
Comcast Corp. Class A (special) (a)..... 67,700 1,951,791
Interpublic Group of Companies, Inc. ... 39,100 523,158
Liberty Media Corp. Class A (a)......... 53,500 618,460
Pixar (a) .............................. 7,900 480,636
Television Francaise 1 SA .............. 23,169 714,938
The New York Times Co. Class A ......... 15,300 696,150
Tribune Co ............................. 31,780 1,534,974
Univision Communications, Inc.
Class A (a) ......................... 34,000 1,033,600
Viacom, Inc. Class B (non-vtg.) (a) .... 61,331 2,677,711
Walt Disney Co. ........................ 137,300 2,711,675
--------------
18,494,877
--------------
SPECIALTY RETAIL - 1.6%
Abercrombie & Fitch Co. Class A (a)..... 14,600 414,786
Gap, Inc. .............................. 21,500 403,340
Home Depot, Inc. ....................... 33,900 1,122,768
Lowe's Companies, Inc. ................. 26,800 1,151,060
--------------
3,091,954
--------------
TEXTILES APPAREL & LUXURY GOODS - 1.1%
Coach, Inc. (a) ........................ 8,000 397,920
NIKE, Inc. Class B ..................... 18,900 1,010,961
Polo Ralph Lauren Corp. Class A ........ 26,800 691,172
--------------
2,100,053
--------------
TOTAL CONSUMER DISCRETIONARY................... 28,185,479
--------------
CONSUMER STAPLES - 8.8%
BEVERAGES - 2.0%
Anheuser-Busch Companies, Inc........... 17,400 888,270
PepsiCo, Inc............................ 24,900 1,108,050
The Coca-Cola Co........................ 39,500 1,833,195
--------------
3,829,515
--------------
FOOD & STAPLES RETAILING - 2.8%
Wal-Mart Stores, Inc.................... 102,200 5,485,074
--------------
FOOD PRODUCTS - 0.3%
Dean Foods Co. (a)...................... 18,600 585,900
--------------
HOUSEHOLD PRODUCTS - 1.0%
Procter & Gamble Co. ................... 15,000 1,337,700
The Dial Corp. ......................... 27,000 525,150
--------------
1,862,850
--------------
PERSONAL PRODUCTS - 2.0%
Alberto-Culver Co. Class B.............. 30,500 1,558,550
Gillette Co. ........................... 74,100 2,360,826
--------------
3,919,376
--------------
TOBACCO - 0.7%
Altria Group, Inc. ..................... 31,800 1,444,992
--------------
TOTAL CONSUMER STAPLES......................... 17,127,707
--------------
ENERGY - 5.2%
ENERGY EQUIPMENT & SERVICES - 2.0%
Rowan Companies, Inc. .................. 37,500 840,000
Schlumberger Ltd. (NY Shares)........... 38,800 1,845,716
Tidewater, Inc. ........................ 40,400 1,186,548
--------------
3,872,264
--------------
OIL & GAS - 3.2%
ChevronTexaco Corp...................... 26,500 1,913,300
Devon Energy Corp....................... 21,112 1,127,381
Exxon Mobil Corp........................ 88,000 3,160,080
--------------
6,200,761
--------------
TOTAL ENERGY................................... 10,073,025
--------------
FINANCIALS - 13.2%
CAPITAL MARKETS - 2.8%
Bank of New York Co., Inc. ............. 35,000 1,006,250
JAFCO Co. Ltd. ......................... 6,700 380,650
Legg Mason, Inc. ....................... 19,700 1,279,515
Morgan Stanley.......................... 58,500 2,500,875
Neuberger Berman, Inc. ................. 8,300 331,253
--------------
5,498,543
--------------
COMMERCIAL BANKS - 5.5%
Bank of America Corp. .................. 50,800 4,014,724
Bank One Corp. ......................... 64,300 2,390,674
Fifth Third Bancorp..................... 12,500 716,750
Wachovia Corp. ......................... 48,351 1,932,106
Wells Fargo & Co. ...................... 31,400 1,582,560
--------------
10,636,814
--------------
CONSUMER FINANCE - 2.1%
American Express Co. ................... 59,100 2,470,971
Credit Saison Co. Ltd. ................. 29,800 490,235
MBNA Corp. ............................. 58,300 1,214,972
--------------
4,176,178
--------------
DIVERSIFIED FINANCIAL SERVICES - 0.5%
Principal Financial Group, Inc. ........ 31,600 1,019,100
--------------
See accompanying notes which are an integral part of the financial statements.
SEMIANNUAL REPORT
9
LARGE CAP PORTFOLIO
INVESTMENTS (UNAUDITED) - CONTINUED
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
FINANCIALS - CONTINUED
INSURANCE - 1.4%
AFLAC, Inc. ............................ 23,300 $ 716,475
American International Group, Inc. ..... 24,650 1,360,187
Nationwide Financial Services, Inc.
Class A............................... 18,100 588,250
--------------
2,664,912
--------------
REAL ESTATE - 0.0%
Corrections Corp. of America (a) ....... 6 152
--------------
THRIFTS & MORTGAGE FINANCE - 0.9%
Fannie Mae ............................. 26,900 1,814,136
--------------
TOTAL FINANCIALS...................... 25,809,835
--------------
HEALTH CARE - 18.4%
BIOTECHNOLOGY - 3.2%
Amgen, Inc. (a)......................... 50,400 3,348,576
Cephalon, Inc. (a) ..................... 19,700 810,852
Medlmmune, Inc. (a)..................... 22,600 821,962
Neurocrine Biosciences, Inc. (a)........ 9,214 460,147
Protein Design Labs, Inc. (a)........... 53,920 753,802
--------------
6,195,339
--------------
HEALTH CARE EQUIPMENT & SUPPLIES - 3.1%
Boston Scientific Corp. (a)............. 47,500 2,902,250
Medtronic, Inc. ........................ 45,300 2,173,041
Stryker Corp............................ 14,500 1,005,865
--------------
6,081,156
--------------
HEALTH CARE PROVIDERS & SERVICES - 0.4%
Laboratory Corp. of America
Holdings (a) ........................ 15,300 461,295
Tenet Healthcare Corp. (a).............. 24,500 285,425
--------------
746,720
--------------
PHARMACEUTICALS - 11.7%
Abbott Laboratories..................... 12,900 564,504
Allergan, Inc. ......................... 17,700 1,364,670
Bristol-Myers Squibb Co. ............... 28,000 760,200
Eli Lilly & Co. ........................ 25,000 1,724,250
Forest Laboratories, Inc. (a)........... 16,900 925,275
Johnson & Johnson ..................... 62,600 3,236,420
Medicis Pharmaceutical Corp. Class A (a) 6,900 391,230
Merck & Co., Inc. ...................... 81,380 4,927,559
Mylan Laboratories, Inc. ............... 19,765 687,229
Pfizer, Inc. ........................... 141,360 4,827,444
Roche Holding AG (participation
certificate).......................... 7,620 599,190
Schering-Plough Corp. .................. 101,600 1,889,760
Wyeth................................... 19,400 883,670
--------------
22,781,401
--------------
TOTAL HEALTH CARE.................... 35,804,616
--------------
INDUSTRIALS - 9.9%
AEROSPACE & DEFENSE - 0.2%
Boeing Co. ............................. 14,700 504,504
--------------
AIR FREIGHT & LOGISTICS - 0.9%
FedEx Corp. ............................ 27,700 1,718,231
--------------
AIRLINES - 0.6%
Southwest Airlines Co. ................. 68,100 1,171,320
--------------
BUILDING PRODUCTS - 0.6%
American Standard Companies, Inc. (a)... 15,500 1,145,915
--------------
COMMERCIAL SERVICES & SUPPLIES - 0.5%
ChoicePoint, Inc. (a)................... 14,900 514,348
Waste Management, Inc. ................. 19,000 457,710
--------------
972,058
--------------
INDUSTRIAL CONGLOMERATES - 4.2%
3M Co. ................................. 12,000 1,547,760
General Electric Co. ................... 188,500 5,406,180
Tyco International Ltd. ................ 62,900 1,193,842
--------------
8,147,782
--------------
MACHINERY - 1.9%
Caterpillar, Inc. ...................... 27,000 1,502,820
Graco, Inc. ............................ 38,350 1,227,200
Illinois Tool Works, Inc. .............. 14,600 961,410
--------------
3,691,430
--------------
ROAD & RAIL - 1.0%
Union Pacific Corp. .................... 34,300 1,990,086
--------------
TOTAL INDUSTRIALS..................... 19,341,326
--------------
INFORMATION TECHNOLOGY - 21.0%
COMMUNICATIONS EQUIPMENT - 3.2%
Cisco Systems, Inc. (a)................. 223,161 3,724,557
Juniper Networks, Inc. (a).............. 47,400 586,338
Motorola, Inc. ......................... 122,700 1,157,061
UTStarcom, Inc. (a) ................... 21,000 746,970
--------------
6,214,926
--------------
COMPUTERS & PERIPHERALS - 5.3%
Dell Computer Corp. (a)................. 135,700 4,336,972
EMC Corp. (a)........................... 93,800 982,086
International Business Machines Corp. .. 43,200 3,564,000
Storage Technology Corp. (a)............ 18,400 473,616
Sun Microsystems, Inc. (a).............. 193,500 890,100
--------------
10,246,774
--------------
ELECTRONIC EQUIPMENT & INSTRUMENTS - 0.8%
CDW Corp. (a)........................... 18,200 833,560
Kyocera Corp. .......................... 4,900 281,252
Vishay Intertechnology, Inc. (a)........ 31,900 421,080
--------------
1,535,892
--------------
INTERNET SOFTWARE & SERVICES - 0.5%
Yahoo!, Inc. (a) ...................... 29,600 969,696
--------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 5.0%
Altera Corp. (a)........................ 31,400 514,960
See accompanying notes which are an integral part of the financial statements.
SEMIANNUAL REPORT
10
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
INFORMATION TECHNOLOGY - CONTINUED
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - CONTINUED
Analog Devices, Inc. (a) ............ 32,300 $ 1,124,686
Intel Corp. ......................... 156,900 3,261,010
Marvell Technology Group Ltd. (a) ... 21,900 752,703
Micrel, Inc. (a) .................... 35,200 365,728
Samsung Electronics Co. Ltd. GDR .... 3,700 550,375
Texas Instruments, Inc. ............. 141,800 2,495,680
Tokyo Electron Ltd. ................. 14,800 703,584
-------------
9,768,726
-------------
SOFTWARE-6.2%
Microsoft Corp. ..................... 374,300 9,585,823
Oracle Corp. (a) .................... 119,300 1,433,986
Reynolds & Reynolds Co. Class A ..... 39,000 1,113,840
-------------
12,133,649
-------------
TOTAL INFORMATION TECHNOLOGY.... 40,869,663
-------------
MATERIALS - 1.9%
CHEMICALS - 1.0%
Dow Chemical Co. .................... 36,700 1,136,232
Monsanto Co. ........................ 36,400 787,696
-------------
1,923,928
-------------
CONTAINERS & PACKAGING - 0.6%
Pactiv Corp. (a) .................... 32,400 638,604
Smurfit-Stone Container Corp. (a) ... 36,975 481,784
-------------
1,120,388
-------------
PAPER & FOREST PRODUCTS - 0.3%
International Paper Co. ............. 18,300 653,859
-------------
TOTAL MATERIALS ................... 3,698,175
-------------
TELECOMMUNICATION SERVICES - 2.7%
DIVERSIFIED TELECOMMUNICATION SERVICES - 1.5%
SBC Communications, Inc.............. 20,200 516,110
Verizon Communications, Inc.......... 62,200 2,453,790
-------------
2,969,900
-------------
WIRELESS TELECOMMUNICATION SERVICES - 1.2%
Nextel Communications, Inc. Class A (a) 43,400 784,672
Sprint Corp. - PCS Group
Series 1 (a)............... ...... 89,600 515,200
Vodafone Group PLC sponsored
ADR........................ ...... 55,700 1,094,505
-------------
2,394,377
-------------
TOTAL TELECOMMUNICATION SERVICES . 5,364,277
-------------
TOTAL COMMON STOCKS - 95.5%
(Cost $195,703,356)................ 186,274,103
NET OTHER ASSETS - 4.5%............. 8,681,423
-------------
NET ASSETS - 100%................... $ 194,955,526
=============
LEGEND
(a) Non-income producing
OTHER INFORMATION
Purchases and sales of securities, other than short-term securities, aggregated
$61,246,670 and $61,968,669, respectively.
The fund placed a portion of its portfolio transaction with brokerage firms
which are affiliates of the sub-adviser. The commissions paid to these
affiliated firms were $6,565 for the period.
INCOME TAX INFORMATION
At December 31, 2002, the fund had a capital loss carryforward of approximately
$93,572,000 of which $41,514,000 and $52,058,000 will expire on December 31,
2009 and 2010, respectively.
The fund intends to elect to defer to its fiscal year ending December 31, 2003
approximately $8,862,000 of losses recognized during the period November 1, 2002
to December 31, 2002.
See accompanying notes which are an integral part of the financial statements.
SEMIANNUAL REPORT
11
LARGE CAP PORTFOLIO
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2003 (UNAUDITED)
ASSETS
Investment in securities, at value
(cost $195,703,356)-See
accompanying schedule ............... $ 186,274,103
Cash .................................. 8,948,227
Receivable for investments sold ....... 1,948,629
Receivable for fund shares sold ....... 250
Dividends receivable .................. 199,619
Interest receivable ................... 6,762
Other receivables ..................... 26,385
-------------
TOTAL ASSETS ........................ 197,403,975
LIABILITIES
Payable for investments purchased $ 1,725,447
Payable for fund shares redeemed 568,327
Accrued management fee ................ 123,265
Other payables and accrued
expenses ............................ 31,410
-----------
TOTAL LIABILITIES ................... 2,448,449
-------------
NET ASSETS ............................ $ 194,955,526
=============
Net Assets consist of:
Paid in capital ....................... $ 318,083,192
Undistributed net investment income 453,689
Accumulated undistributed net
realized gain (loss) on
investments and foreign currency
transactions ........................ (114,152,708)
Net unrealized appreciation
(depreciation) on investments and
assets and liabilities in foreign
currencies .......................... (9,428,647)
-------------
NET ASSETS, for 16,842,889 shares
outstanding ......................... $ 194,955,526
=============
NET ASSET VALUE, offering price and
redemption price per share
($194,955,526/16,842,889
shares) ............................. $ 11.57
=============
STATEMENT OF OPERATIONS
SIX MONTHS ENDED JUNE 30, 2003(UNAUDITED)
INVESTMENT INCOME
Dividends ............................. $ 1,134,189
Interest .............................. 51,286
-------------
TOTAL INCOME ........................ 1,185,475
EXPENSES
Management fee ........................ $ 681,691
Transfer agent fees ................... 18,687
Accounting fees and expenses .......... 33,429
Non-interested trustees'
compensation ........................ 3,077
Custodian fees and expenses ........... 8,903
Audit ................................. 14,109
-----------
Total expenses before reductions 759,896
Expense reductions .................. (28,110) 731,786
----------- -------------
NET INVESTMENT INCOME (LOSS) .......... 453,689
-------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investment securities ............... (8,734,469)
Foreign currency transactions ....... (1,070)
-----------
Total net realized gain (loss) ........ (8,735,539)
Change in net unrealized
appreciation (depreciation) on:
Investment securities ............... 24,207,671
Assets and liabilities in foreign
currencies .......................... (447)
-----------
Total change in net unrealized
appreciation (depreciation) ......... 24,207,224
-------------
NET GAIN (LOSS) ....................... 15,471,685
-------------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM OPERATIONS $ 15,925,374
=============
See accompanying notes which are an integral part of the financial statements.
SEMIANNUAL REPORT
12
STATEMENT OF CHANGES IN NET ASSETS
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2003 DECEMBER 31,
(UNAUDITED) 2002
INCREASE (DECREASE) IN NET ASSETS
Operations
Net investment income (loss)................................................... $ 453,689 $ 942,851
Net realized gain (loss)....................................................... (8,735,539) (52,312,291)
Change in net unrealized appreciation (depreciation)........................... 24,207,224 (5,398,137)
------------- -------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................ 15,925,374 (56,767,577)
------------- -------------
Distributions to shareholders from net investment income........................ - (1,013,530)
------------- -------------
Share transactions
Net proceeds from sales of shares.............................................. 9,363,137 18,362,756
Reinvestment of distributions.................................................. - 1,013,530
Cost of shares redeemed........................................................ (10,195,872) (31,024,418)
------------- -------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS........ (832,735) (11,648,132)
------------- -------------
TOTAL INCREASE (DECREASE) IN NET ASSETS........................................ 15,092,639 (69,429,239)
NET ASSETS
Beginning of period............................................................ 179,862,887 249,292,126
------------- -------------
End of period (including undistributed net investment income of $453,689 and
undistributed net investment income of $0, respectively)..................... $ 194,955,526 $ 179,862,887
============= =============
OTHER INFORMATION
Shares
Sold........................................................................... 849,341 1,474,801
Issued in reinvestment of distributions........................................ -- 95,797
Redeemed....................................................................... (962,282) (2,653,092)
------------- -------------
Net increase (decrease)........................................................ (112,941) (1,082,494)
============= =============
FINANCIAL HIGHLIGHTS
SIX MONTHS ENDED
JUNE 30, 2003 YEARS ENDED DECEMBER 31,
(UNAUDITED) 2002 2001 2000 1999 1998
SELECTED PER-SHARE DATA
Net asset value, beginning of period................ $ 10.61 $ 13.82 $ 16.81 $ 21.11 $ 17.44 $ 13.50
--------- --------- -------- -------- -------- --------
Income from Investment Operations
Net investment income (loss)(E).................... .03 .05 .07 .03 .05 .04
Net realized and unrealized gain (loss)............ .93 (3.20) (2.98) (3.05) 4.94 4.73
--------- --------- -------- -------- -------- --------
Total from investment operations................... .96 (3.15) (2.91) (3.02) 4.99 4.77
--------- --------- -------- -------- -------- --------
Distributions from net investment income............ - (.06) (.07) (.02) (.03) (.02)
Distributions in excess of net investment income.... - - - (.01) - -
Distributions from net realized gain................ - - (.01) (.94) (1.29) (.81)
Distributions in excess of net realized gain........ - - - (.31) - -
--------- --------- -------- -------- -------- --------
Total distributions................................ - (.06) (.08) (1.28) (1.32) (.83)
--------- --------- -------- -------- -------- --------
Net asset value, end of period...................... $ 11.57 $ 10.61 $ 13.82 $ 16.81 $ 21.11 $ 17.44
========== ========= ======== ======== ======== ========
TOTAL RETURN(B,C,D)................................. 9.05% (22.79)% (17.33)% (14.48)% 29.24% 35.65%
RATIOS TO AVERAGE NET ASSETS(F) .84%(A) .85% .83% .84% .87% 1.23%
Expenses before expense reductions................. .84%(A) .85% .83% .84% .87% .95%
Expenses net of voluntary waivers, if any.......... .80%(A) .81% .78% .82% .85% .94%
Expenses net of all reductions..................... .50%(A) .44% .50% .15% .25% .22%
Net investment income (loss).......................
SUPPLEMENTAL DATA
Net assets, end of period (000 omitted)............ $ 194,956 $ 179,863 $249,292 $277,897 $202,128 $ 52,599
Portfolio turnover rate............................ .70%(A) 95% 131% 96% 90% 112%
(A) Annualized
(B) Total returns for periods of less man one year are not annualized.
(C) Total returns do not reflect charges attributable to your insurance
company's separate account. Inclusion of these charges would reduce the
total returns shown.
(D) Total returns would have been lower had certain expenses not been reduced
during the periods shown.
(E) Calculated based on average shares outstanding during the period.
(F) Expense ratios reflect operating expenses of the fund. Expenses before
reductions do not reflect amounts reimbursed by the investment adviser or
reductions from brokerage service arrangements or other expense offset
arrangements and do not represent the amount paid by the fund during
periods when reimbursements or reductions occur. Expenses net of any
voluntary waivers reflect expenses after reimbursement by the investment
adviser but prior to reductions from brokerage service arrangements or
other expense offset arrangements. Expenses net of all reductions represent
the net expenses paid by the fund.
See accompanying notes which are an integral part of the financial statements.
SEMIANNUAL REPORT
13
NOTES TO FINANCIAL STATEMENTS
For the period ended June 30, 2003 (Unaudited)
1. SIGNIFICANT ACCOUNTING POLICIES.
Equity Income Portfolio and Large Cap Portfolio (the funds) are funds of The
Travelers Series Trust (the trust). The trust is registered under the Investment
Company Act of 1940, as amended (the 1940 Act), as an open-end management
investment company organized as a Massachusetts business trust. Each fund is
authorized to issue an unlimited number of shares. Shares of each fund may only
be purchased by insurance companies for the purpose of funding variable annuity
or variable life insurance contracts. The financial statements have been
prepared in conformity with accounting principles generally accepted in the
United States of America, which require management to make certain estimates and
assumptions at the date of the financial statements. The following summarizes
the significant accounting policies of the funds:
SECURITY VALUATION. Net asset value per share (NAV calculation) is calculated as
of the close of business of the New York Stock Exchange, normally 4:00 p.m.
Eastern time. Equity securities for which market quotations are available are
valued at the last sale price or official closing price (closing bid price or
last evaluated quote if no sale has occurred) on the primary market or exchange
on which they trade. Debt securities for which quotations are readily available
are valued at their most recent bid prices (sales prices if the principal market
is an exchange) in the principal market in which such securities are normally
traded, as determined by recognized dealers in such securities, or securities
are valued on the basis of information provided by a pricing service. Pricing
services use valuation matrices that incorporate both dealer-supplied valuations
and electronic data processing techniques. If an event that is expected to
materially affect the value of a security occurs after the close of an exchange
or market on which that security trades, but prior to the NAV calculation, then
that security will be fair valued taking the event into account. Securities
(including restricted securities) for which market quotations are not readily
available are valued at their fair value as determined in good faith under
consistently applied procedures under the general supervision of the Board of
Trustees. Price movements in futures contracts and ADRs, market and trading
trends, the bid/ask quotes of brokers and off-exchange institutional trading may
be reviewed in the course of making a good faith determination of a security's
fair value. Short-term securities with remaining maturities of sixty days or
less for which quotations are not readily available are valued on the basis of
amortized cost. Investments in open-end investment companies are valued at their
net asset value each business day.
FOREIGN CURRENCY. Certain funds may use foreign currency contracts to facilitate
transactions in foreign-denominated securities. Losses from these transactions
may arise from changes in the value of the foreign currency or if the
counterparties do not perform under the contracts' terms.
Foreign denominated assets, including investment securities, and liabilities are
translated into U.S. dollars at the exchange rate at period end. Purchases and
sales of investment securities, income and dividends received and expenses
denominated in foreign currencies are translated into U.S. dollars at the
exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the
net realized and unrealized gain (loss) on investment securities. Other foreign
currency transactions resulting in realized and unrealized gain (loss) are
disclosed separately.
INVESTMENT TRANSACTIONS AND INCOME. Security transactions are accounted for as
of trade date. Gains and losses on securities sold are determined on the basis
of identified cost. Dividend income is recorded on the ex-dividend date, except
for certain dividends from foreign securities where the ex-dividend date may
have passed, which are recorded as soon as the funds are informed of the
ex-dividend date. Non-cash dividends included in dividend income, if any, are
recorded at the fair market value of the securities received. The fund estimates
the components of distributions received from Real Estate Investment Trusts
(REITs). Distributions received in excess of income are recorded as a reduction
of cost of investments and/or realized gain. Interest income, which includes
amortization of premium and accretion of discount on debt securities, as
required, is accrued as earned. Investment income is recorded net of foreign
taxes withheld where recovery of such taxes is uncertain.
EXPENSES. Most expenses of each trust can be directly attributed to a fund.
Expenses which cannot be directly attributed are apportioned among the funds in
the trust.
INCOME TAX INFORMATION AND DISTRIBUTIONS TO SHAREHOLDERS. Each year each fund
intends to qualify as a regulated investment company by distributing all of
their taxable income and realized gains under Subchapter M of the Internal
Revenue Code. As a result, no provision for income taxes is required in the
accompanying financial statements. Foreign taxes are provided for based on each
fund's understanding of the tax rules and rates that exist in the foreign
markets in which it invests. Distributions are recorded on the ex-dividend date.
Income and capital gain distributions are determined in accordance with income
tax regulations, which may differ from generally accepted accounting principles.
Capital accounts within the financial statements are adjusted for permanent and
temporary book and tax differences. These adjustments have no impact on net
assets or the results of operations. Temporary differences will reverse in a
subsequent period. These differences are primarily due to foreign currency
transactions, market discount, non-taxable dividends, capital loss carryforwards
and losses deferred due to wash sales and excise tax regulations.
SEMIANNUAL REPORT
14
1. SIGNIFICANT ACCOUNTING POLICIES - CONTINUED
INCOME TAX INFORMATION AND DISTRIBUTIONS TO SHAREHOLDERS - CONTINUED
The federal tax cost of investments including unrealized appreciation
(depreciation) as of period end was as follows for each fund:
COST FOR NET UNREALIZED
FEDERAL INCOME UNREALIZED UNREALIZED APPRECIATION/
TAX PURPOSES APPRECIATION DEPRECIATION (DEPRECIATION)
EQUITY INCOME PORTFOLIO............. $ 211,414,082 $ 19,990,632 $ (12,123,879) $ 7,866,753
LARGE CAP PORTFOLIO................. 198,563,778 11,387,708 (23,677,383) (12,289,675)
2. OPERATING POLICIES.
RESTRICTED SECURITIES. Certain funds may invest in securities that are subject
to legal or contractual restrictions on resale. These securities generally may
be resold in transactions exempt from registration or to the public if the
securities are registered. Disposal of these securities may involve
time-consuming negotiations and expense, and prompt sale at an acceptable price
maybe difficult. Information regarding restricted securities is included under
the captions "Legend" and/or "Other Information" at the end of each applicable
fund's Schedule of Investments.
3. PURCHASES AND SALES OF INVESTMENTS.
Information regarding purchases and sales of securities is included under the
caption "Other Information" at the end of each applicable fund's Schedule of
Investments.
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES.
MANAGEMENT FEE. Travelers Asset Management International Company LLC (TAMIC) an
indirect wholly owned subsidiary of Citigroup, Inc. provides the funds with
investment management related services. For these services TAMIC receives a fee
that is computed daily at an annual rate of .75% of each fund's average net
assets. For its services as each fund's sub-adviser, Fidelity Management &
Research Company (FMR), is paid a portion of TAMIC's management fee that is
computed at an annual rate of .45% of each fund's average net assets.
TRANSFER AGENT FEES. Fidelity Investments Institutional Operations Company, Inc.
(FIIOC), an affiliate of FMR, is each fund's transfer, dividend disbursing and
shareholder servicing agent. For its services, FIIOC receives account fees and
asset-based fees that vary according to account size and type of account.
ACCOUNTING FEES. The trust, on behalf of each fund, has entered into a service
agent agreement with Fidelity Service Company, Inc. (FSC), an affiliate of FMR,
under which FSC maintains each fund's accounting records. The fee is based on
the level of average net assets for the month plus out-of-pocket expenses.
CENTRAL FUNDS. The funds may invest in affiliated Central Funds managed by
Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR. The
Central Funds are open-end investment companies available only to investment
companies and other accounts managed by FMR and its affiliates. The Central
Funds seek preservation of capital and current income and do not pay a
management fee. Income distributions earned by the funds are recorded as income
in the accompanying financial statements. Distributions from the Central Funds
are noted in the table below:
INCOME DISTRIBUTIONS
EQUITY INCOME PORTFOLIO............................. $ 52,387
LARGE CAP PORTFOLIO................................. 50,972
BROKERAGE COMMISSIONS. Certain funds placed a portion of their portfolio
transactions with brokerage firms which are affiliates of the sub-adviser. The
commissions paid to these affiliated firms are shown under the caption "Other
Information" at the end of each applicable fund's Schedule of Investments.
SEMIANNUAL REPORT
15
NOTES TO FINANCIAL STATEMENTS - CONTINUED
5. EXPENSE REDUCTIONS.
Many of the brokers with whom FMR places trades on behalf of certain funds
provided services to these funds in addition to trade execution. These services
included payments of expenses on behalf of each applicable fund. In addition,
through arrangements with each applicable fund's custodian and transfer agent,
credits realized as a result of uninvested cash balances were used to reduce
each applicable fund's expenses. All of the applicable expense reductions are
noted in the table below.
TRANSFER
BROKERAGE CUSTODY AGENT
SERVICE EXPENSE EXPENSE
ARRANGEMENTS REDUCTION REDUCTION
EQUITY INCOME PORTFOLIO ................... $ 62,690 $ 113 $ 138
LARGE CAP PORTFOLIO ....................... 28,087 23 --
6. OTHER INFORMATION.
At the end of the period, Travelers Insurance Company and its affiliates owned
100% of the total outstanding shares of each fund.
7. SUBSEQUENT EVENTS.
Effective July 1,2003 the funds have entered into an administrative services
agreement with The Travelers Insurance Company for the pricing and bookkeeping
services of the funds. The funds will pay The Travelers Insurance Company an
administrative fee calculated at an annual rate of 0.06% of the average daily
net assets. The Travelers Insurance Company has entered into a
sub-administrative service agreement with Smith Barney Fund Management LLC.
Under the terms of the sub-administrative agreement, The Travelers Insurance
Company pays Smith Barney Fund Management LLC a fee calculated at an annual rate
of 0.06% of the average daily net assets of the funds.
In addition, effective July 1,2003, Citigroup Trust Bank, fsb will act as the
funds' transfer agent and State Street Bank and Trust Company will act as the
funds' custodian.
As a result of these changes, effective July 1,2003, the funds will no longer
invest in affiliated Central Funds managed by FIMM, an affiliate of FMR.
For the fiscal year ending December 31,2003, the funds have entered into a new
agreement with KPMG LLP as independent accountants.
SEMIANNUAL REPORT
16
INVESTMENT ADVISER
Travelers Asset Management International Company LLC
Hartford, Connecticut
INVESTMENT SUB-ADVISER
FMB Co., Inc.
Fidelity Management & Research Company
Boston, Massachusetts
INDEPENDENT ACCOUNTANTS
KPMG LLP
New York, New York
TRANSFER AGENT AND SHAREHOLDER SERVICING AGENT
Fidelity Investments Institutional Operations Company, Inc.
CUSTODIAN
Brown Brothers Harriman & Co.
Boston, Massachusetts
This report is prepared for the general information of contract owners and is
not an offer of shares of The Travelers Series Trust: Equity Income Portfolio or
Large Cap Portfolio. It should not be used in connection with any offer except
in conjunction with the prospectuses for the Variable Annuity or Variable Life
Insurance products offered by The Travelers Insurance Company or The Travelers
Life and Annuity Company and the prospectuses for the underlying funds, which
collectively contain all pertinent information, including the applicable sales
charges.
1.723889.104
ITEM 2. CODE OF ETHICS.
Not applicable.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. [RESERVED]
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR
CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. [RESERVED]
ITEM 9. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive officer and principal
financial officer have concluded that the registrant's
disclosure controls and procedures (as defined in Rule
30a-2(c) under the Investment Company Act of 1940, as
amended) are effective based on their evaluation of the
disclosure controls and procedures as of a date within 90
days of the filing date of this document.
(b) In the last 90 days, there have been no significant changes
in the Registrant's internal controls or in other factors
that could significantly affect these controls.
ITEM 10. EXHIBITS.
(a) Not applicable.
(b) Attached hereto.
Exhibit 99.CERT Certifications pursuant to section 302
of the Sarbanes-Oxley Act of 2002
Exhibit 99.906CERT Certifications pursuant to Section 906
of the Sarbanes-Oxley Act of 2002
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this Report to be
signed on its behalf by the undersigned, there unto duly authorized.
THE TRAVELERS SERIES TRUST
By: /s/ R. Jay Gerken
R. Jay Gerken
Chief Executive Officer of
The Travelers Series Trust
Date: August 29, 2003
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By: /s/ R. Jay Gerken
(R. Jay Gerken)
Chief Executive Officer of
The Travelers Series Trust
Date: August 29, 2003
By: /s/ Richard L. Peteka
(Richard L. Peteka)
Chief Financial Officer of
The Travelers Series Trust
Date: August 29, 2003