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)
Robert I. Frenkel, Esq.
Smith Barney Fund Management LLC
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, 2004
ITEM 1. REPORT TO STOCKHOLDERS.
The Semi-Annual Report to Stockholders is filed herewith.
[INSERT SHAREHOLDER REPORT]
SEMI-ANNUAL REPORT
JUNE 30, 2004
[UMBRELLA GRAPHIC]
THE TRAVELERS SERIES TRUST:
CONVERTIBLE SECURITIES PORTFOLIO
MFS MID CAP GROWTH PORTFOLIO
MERRILL LYNCH LARGE CAP CORE PORTFOLIO
[TRAVELERS LIFE AND ANNUITY LOGO]
The Travelers Insurance Company
The Travelers Life and Annuity Company
One Cityplace
Hartford, CT 06103
SEMI-ANNUAL REPORT FOR THE TRAVELERS SERIES TRUST
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WHAT'S INSIDE
<Table>
LETTER FROM THE CHAIRMAN.................................... 1
SCHEDULES OF INVESTMENTS.................................... 4
STATEMENTS OF ASSETS AND LIABILITIES........................ 19
STATEMENTS OF OPERATIONS.................................... 20
STATEMENTS OF CHANGES IN NET ASSETS......................... 21
NOTES TO FINANCIAL STATEMENTS............................... 24
FINANCIAL HIGHLIGHTS........................................ 28
</Table>
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LETTER FROM THE CHAIRMAN
[R. JAY GERKEN PHOTO]
R. JAY GERKEN, CFA
Chairman, President, and
Chief Executive Officer
DEAR SHAREHOLDER,
After a torrid second half of 2003, the equity markets
took a breather in the first half of this year. Markets
typically abhor uncertainty, so as the year progressed,
investors grew increasingly lethargic amid questions
over Iraq, global terrorism, a rise in oil prices,
interest rates, inflation, and the presidential
election. The good news -- solid corporate earnings, the
improving economy, renewed job growth, and the still low
level of interest rates -- largely was ignored. As a
result, stock market returns for the first six months of
2004 generally were modest, as opposed to the strong,
double-digit gains late last year.
As was the case in 2003, small- and mid-capitalization
stocks generally outperformed their larger brethren in
the first half of this year. Value- and growth-oriented
stocks frequently traded short-term performance
leadership during the past six months, but value stocks
slightly outperformed growth stocks over the full
six-month period. The performance of foreign stock
markets in the first half largely was in-line with that
of the broad U.S. market.
Stocks continued to outpace bonds in the first half of
the year. Bonds generally suffered, particularly during
the spring, due to heightened worries about resurgent
inflation, rising rates, and anticipation that the
Federal Reserve Bank ("Fed") would begin to raise key
short-term rates after a long accommodative stance on
monetary policy. Indeed, the Fed edged up the federal
funds target rate(i) at the end of June to
1.25%. Over the six-month period, bonds generally experienced slightly negative
returns. Although the convertibles market got off to a relatively strong start
earlier this year, as the period progressed, it experienced a pullback as
volatility and the bond markets declined. However, the convertibles market ended
the period in modestly positive territory as the markets stabilized toward the
end of the period.
After a sharp drop early in the year, by the end of the period the U.S. Consumer
Confidence Index(ii) rose to levels not seen since June of 2002. The domestic
unemployment rate held steady for the six-month period, but the rate of job
growth slowed following a strong increase in the first three months of the year.
Real (inflation-adjusted) gross domestic product (GDP)(iii) increased at an
annual rate of 3.90% in the first fiscal quarter of 2004, the most recent figure
available at the close of the period, down slightly from the 4.10% increase seen
in the last quarter of 2003.(iv)
PERFORMANCE REVIEW
Within this environment, The Travelers Series Trust: Convertible Securities
Portfolio, MFS Mid Cap Growth Portfolio, and Merrill Lynch Large Cap Core
Portfolio performed as follows:(1)
CONVERTIBLE SECURITIES PORTFOLIO
For the six months ended June 30, 2004, the Convertible Securities Portfolio
returned 2.22%. The Portfolio outperformed its unmanaged benchmark, the Merrill
Lynch Investment Grade Convertible Bond Index,(v) which returned 0.89% for the
same period. It also slightly outperformed the Portfolio's Lipper
specialty/miscellaneous variable funds category average,(2) which returned
2.17%.
MFS MID CAP GROWTH PORTFOLIO
For the six months ended June 30, 2004, the MFS Mid Cap Growth Portfolio
returned 7.99%. The Portfolio outperformed its unmanaged benchmarks, the Russell
Mid Cap Growth Index(vi) and the Russell 2000 Index(vii), which returned 5.94%
and 6.76%, respectively, for the same period. It also outperformed the
Portfolio's Lipper mid-cap growth variable funds category average,(3) which
returned 5.93%.
(1) Each fund is an underlying investment option of various variable annuity and
life products. Fund performance returns do not reflect the deduction of
sales charges and expenses imposed in connection with investing in variable
annuity and life contracts such as administrative fees, account charges, and
surrender charges, which if reflected, would reduce the performance of the
fund. An investor may not invest directly in the fund. PAST PERFORMANCE IS
NO GUARANTEE FUTURE RESULTS.
(2) Lipper, Inc. is a major independent mutual-fund tracking organization.
Returns are based on the six-month period ended June 30, 2004 and include
the reinvestment of dividends and capital gains, if any. Returns were
calculated among the 128 funds in the Lipper specialty/miscellaneous
variable funds category.
(3) Lipper, Inc. is a major independent mutual-fund tracking organization.
Returns are based on the six-month period ended June 30, 2004 and include
the reinvestment of dividends and capital gains, if any. Returns were
calculated among the 124 funds in the Lipper mid-cap growth variable funds
category.
1
MERRILL LYNCH LARGE CAP CORE PORTFOLIO
For the six months ended June 30, 2004, the Merrill Lynch Large Cap Core
Portfolio (formerly MFS Research Portfolio) returned 5.64%. The Portfolio
outperformed its unmanaged benchmarks, the S&P 500 Index(viii) and the Russell
1000 Index,(ix) which returned 3.44% and 3.33%, respectively, for the same
period. It also outperformed the Portfolio's Lipper large-cap core variable
funds category average,(4) which returned 2.37% for the same period.
PERFORMANCE OF THE FUNDS
AS OF JUNE 30, 2004
<Table>
<Caption>
6 MONTHS
CONVERTIBLE SECURITIES PORTFOLIO 2.22%
Merrill Lynch Investment Grade Convertible Bond Index 0.89%
Lipper Specialty/Miscellaneous Variable Funds Category
Average 2.17%
MFS MID CAP GROWTH PORTFOLIO 7.99%
Russell Mid Cap Growth Index 5.94%
Russell 2000 Index 6.76%
Lipper Mid-Cap Growth Variable Funds Category Average 5.93%
MERRILL LYNCH LARGE CAP CORE PORTFOLIO (FORMERLY MFS
RESEARCH PORTFOLIO) 5.64%
S&P 500 Index 3.44%
Russell 1000 Index 3.33%
Lipper Large-Cap Core Variable Funds Category Average 2.37%
</Table>
THE PERFORMANCE SHOWN REPRESENTS PAST PERFORMANCE. PAST PERFORMANCE IS
NO GUARANTEE OF FUTURE RESULTS AND CURRENT PERFORMANCE MAY BE HIGHER
OR LOWER THAN THE PERFORMANCE SHOWN ABOVE. PRINCIPAL VALUE AND
INVESTMENT RETURNS WILL FLUCTUATE AND INVESTORS' SHARES, WHEN
REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST.
The performance returns set forth above do not reflect the reduction
of sales charges and expenses imposed in connection with investing in
variable annuity and life contracts such as administrative fees,
account charges, and surrender charges, which if reflected, would
reduce the performance of the funds.
SPECIAL SHAREHOLDER NOTICE
Effective July 7, 2004, Camille H. Lee joined the Portfolio Management Team of
David E. Sette-Ducati and Eric B. Fischman for the MFS Mid Cap Growth Portfolio.
INFORMATION ABOUT YOUR FUND
In recent months several issues in the mutual fund and variable insurance
products industries have come under the scrutiny of federal and state
regulators. Travelers Life & Annuity and some of its affiliates have received
requests for information from various government regulators regarding market
timing, late trading, revenue sharing, and other mutual fund and variable
product issues in connection with various investigations. The funds have been
informed that Travelers Life & Annuity and its affiliates are responding to
those information requests and cooperating with the regulators, but are not in a
position to predict the outcome of these requests and investigations.
In November 2003, Citigroup Asset Management disclosed an investigation by the
Securities and Exchange Commission ("SEC") and the U.S. Attorney relating to
Citigroup Asset Management's entry into the transfer agency business during
1997-1999. On July 20, 2004, Citigroup disclosed that it had been notified by
the Staff of the SEC that the Staff is considering recommending a civil
injunctive action and/or an administrative proceeding against certain advisory
and transfer agent entities affiliated with Citigroup relating to the creation
and operation of its internal transfer agent unit to serve primarily the Smith
Barney family of mutual funds. Citigroup is cooperating with the SEC and will
seek to resolve this matter in discussion with the SEC Staff. Although there can
be no assurance, Citigroup does not believe that this matter will have a
material adverse effect on the funds.
4 Lipper, Inc. is a major independent mutual-fund tracking organization. Returns
are based on the six-month period ended June 30, 2004 and include the
reinvestment of dividends and capital gains, if any. Returns were calculated
among the 215 funds in the Lipper large-cap core variable funds category.
2
As always, thank you for your continued confidence in our stewardship of your
assets. 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 20, 2004
The information provided is not intended to be a forecast of future events, a
guarantee of future results or investment advice. Views expressed may differ
from those of the firm as a whole. Please note an investor cannot invest
directly in an index.
Past performance is no guarantee of future results. The performance returns set
forth above do not reflect the deduction of sales charges and expenses imposed
in connection with investing in variable annuity and life contracts including,
but not limited to, administrative fees, account charges, and surrender charges,
which if reflected, would reduce performance.
Portfolio holdings and breakdowns are as of June 30, 2004 and are subject to
change. Please refer to pages 4 through 17 for a list and percentage breakdown
of the fund's holdings.
The commentary provided is as of July 20, 2004 and is subject to change based on
the market and other conditions. The views expressed are those of the portfolio
manager and are not intended to be a forecast of future events, a guarantee of
future results or investment advice. These views may differ from those of other
portfolio managers or the firm as a whole. Past performance is no guarantee of
future results.
(i) The federal funds rate is the interest rate that banks with excess reserves
at a Federal Reserve district bank charge other banks that need overnight
loans.
(ii) Source: June 2004 Consumer Confidence Index, The Conference Board.
(iii) Gross domestic product is a market value of goods and services produced
by labor and property in a given country.
(iv) Source: Bureau of Economic Analysis, U.S. Department of Commerce, June 25,
2004.
(v) The Merrill Lynch Investment Grade Convertible Bond Index is an index
comprised of convertible bonds rated investment grade.
(vi) The Russell Mid Cap Growth Index measures the performance of those Russell
Mid-cap companies with higher price-to-book ratios and higher forecasted
growth values. (A price-to-book ratio is the price of a stock compared to
the difference between a company's assets and liabilities.)
(vii) The Russell 2000 Index measures the performance of the 2000 smallest
companies in the Russell 3000 Index, which represents approximately eight
percent of the total market capitalization of the Russell 3000 Index.
(viii) The S&P 500 Index is a market capitalization-weighted index of 500 widely
held common stocks.
(ix) The Russell 1000 Index measures the performance of the 1,000 largest
companies in the Russell 3000 Index, which represents approximately 92% of
the total market capitalization of the Russell 3000 Index.
3
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SCHEDULES OF INVESTMENTS (UNAUDITED) JUNE 30, 2004
CONVERTIBLE SECURITIES PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
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CONVERTIBLE PREFERRED STOCK -- 19.1%
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AUTOMOTIVE -- 6.5%
50,000 Ford Motor Co. Capital Trust II, 6.500%..................... $ 2,738,000
General Motors Corp.:
68,000 5.250%.................................................... 1,680,280
60,000 6.250%.................................................... 1,742,400
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6,160,680
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ELECTRIC -- 0.3%
3,150 Calenergy Capital Trust II, 6.250%.......................... 156,019
3,070 Calenergy Capital Trust III, 6.500% (a)..................... 147,360
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303,379
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HOUSEWARES -- 2.6%
56,000 Newell Financial Trust I, 5.250%............................ 2,492,000
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MEDIA -- 2.8%
33,250 Tribune Co., 2.000%......................................... 2,716,525
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PHARMACEUTICALS -- 0.5%
8,000 Omnicare, Inc., 4.000%...................................... 496,240
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PIPELINES -- 0.8%
25,700 El Paso Energy Corp. Capital Trust I, 4.750%................ 718,315
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REAL ESTATE INVESTMENT TRUST -- 2.5%
39,515 Equity Office Properties Trust, 5.250%...................... 1,984,641
13,900 Reckson Associates Realty Corp., 7.625%..................... 362,790
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2,347,431
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SAVINGS AND LOANS -- 3.1%
25,000 Washington Mutual Capital Trust I, 5.375% (b)............... 1,346,750
30,000 Washington Mutual Inc., 5.375%.............................. 1,621,512
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2,968,262
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TELECOMMUNICATIONS -- 0.0%
6,000 Loral Space & Communications Ltd., 6.000% (a)(b)............ 8,100
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TOTAL CONVERTIBLE PREFERRED STOCK (Cost -- $17,513,861)..... 18,210,932
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<Caption>
FACE
AMOUNT RATING(C) SECURITY VALUE
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CONVERTIBLE BONDS AND NOTES -- 69.8%
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AUTOMOTIVE -- 2.6%
$ 75,000 BBB American Axle & Manufacturing Inc., 2.000% due 2/15/24
(b)....................................................... 70,594
4,760,000 BBB- Lear Corp., zero coupon due 2/20/22......................... 2,439,500
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2,510,094
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</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
4
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
CONVERTIBLE SECURITIES PORTFOLIO
<Table>
<Caption>
FACE
AMOUNT RATING(C) SECURITY VALUE
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BIOTECHNOLOGY -- 1.1%
Inhale Therapeutic Systems, Inc.:
$ 250,000 NR 3.500% due 10/17/07....................................... $ 240,313
300,000 NR 3.500% due 10/17/07 (b)................................... 288,375
600,000 NR Invitrogen Corp., 1.500% due 2/15/24 (b).................... 566,250
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1,094,938
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COMMERCIAL SERVICES -- 1.2%
1,175,000 Ba1* Beazer Homes USA, Inc., 4.625% due 6/15/24 (b).............. 1,183,812
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COMPUTER SERVICES -- 2.6.%
500,000 NR DST Systems, Inc., 4.125% due 8/15/23 (b)................... 627,500
1,916,000 BBB- Electric Data Systems Corp., 3.875% due 7/15/23............. 1,848,940
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2,476,440
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DIVERSIFIED FINANCIAL SERVICES -- 6.1%
4,750,000 AAA American International Group, Inc., zero coupon due
11/9/31................................................... 3,140,937
4,770,000 Aa3* Merrill Lynch & Co., Inc., zero coupon due 5/23/31.......... 2,629,463
50,000 B Providian Financial Corp., 4.000% due 5/15/08............... 63,812
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5,834,212
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ELECTRIC -- 1.5%
900,000 BBB- CenterPoint Energy, Inc., 3.750% due 5/15/23 (b)............ 1,026,000
350,000 BBB PPL Energy Supply LLC, 2.625% due 5/15/23 (b)............... 362,250
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1,388,250
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ELECTRONICS -- 2.2%
800,000 BB Agilent Technologies Inc., 3.000% due 12/1/24............... 846,000
2,400,000 BBB- Arrow Electronics Inc., zero coupon due 2/21/21............. 1,284,000
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2,130,000
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GOLD MINING -- 0.1%
100,000 BBB+ Placer Dome Inc., 2.750% due 10/15/23 (b)................... 113,500
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HEALTHCARE -- 5.1%
Health Management Associates, Inc.:
1,400,000 BBB+ 1.500% due 8/1/23......................................... 1,475,250
1,200,000 BBB+ 1.500% due 8/1/23 (b)..................................... 1,264,500
830,000 NR Lincare Holdings Inc., 3.000% due 6/15/33................... 822,737
Universal Health Services, Inc.:
1,700,000 BBB 0.426% due 6/23/20........................................ 1,017,875
450,000 BBB 0.426% due 6/23/20 (b).................................... 269,438
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4,849,800
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LEISURE TIME -- 6.0%
1,325,000 BBB- Four Seasons Hotels Inc., 1.875% due 7/30/24................ 1,401,187
1,270,000 B+ Host Marriott L.P., 3.250% due 3/15/24 (b).................. 1,219,200
1,950,000 BB+ Royal Caribbean Cruises Ltd., zero coupon due 2/2/21........ 1,053,000
3,500,000 BB+ Starwood Hotels & Resorts Worldwide, Inc., zero coupon due
5/25/21................................................... 2,043,125
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5,716,512
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</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
5
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
CONVERTIBLE SECURITIES PORTFOLIO
<Table>
<Caption>
FACE
AMOUNT RATING(C) SECURITY VALUE
- --------------------------------------------------------------------------------------------------
MANUFACTURING -- 4.8%
$ 150,000 NR Ciber Inc., 2.875% due 12/15/23 (b)......................... $ 143,063
50,000 B- The Goodyear Tire & Rubber Co., 4.000% due 6/15/34 (b)...... 50,875
1,800,000 BB+ SPX Corp., zero coupon due 2/6/21........................... 1,143,000
Tyco International Group, S.A.:
300,000 BBB 2.750% due 1/15/18 (b).................................... 452,250
1,700,000 BBB 3.125% due 1/15/23 (b).................................... 2,760,375
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4,549,563
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MEDIA -- 9.2%
1,000,000 NR Adelphia Communications Corp., 6.000% due 2/15/06 (d)....... 380,000
1,330,000 Ca* Charter Communications Inc., 4.750% due 6/1/06.............. 1,233,575
Liberty Media Corp.:
175,000 BBB- 0.750% due 3/30/23........................................ 200,594
500,000 BBB- 0.750% due 3/30/23 (b).................................... 573,125
2,100,000 BBB- 4.000% due 11/15/29....................................... 1,480,500
1,200,000 BBB- 3.500% due 1/15/31........................................ 1,089,000
3,500,000 BBB+ The Walt Disney Co., 2.125% due 4/15/23..................... 3,771,250
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8,728,044
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OIL AND GAS -- 9.0%
350,000 A- Cooper Cameron Corp., 1.500% due 5/15/24 (b)................ 349,125
2,130,000 A Diamond Offshore Drilling Inc., 1.500% due 4/15/31.......... 1,980,900
Global Marine Inc.:
3,000,000 A- Zero coupon due 6/23/20................................... 1,751,250
600,000 A- Zero coupon due 6/23/20 (b)............................... 350,250
Halliburton Co.:
700,000 BBB 3.125% due 7/15/23........................................ 752,500
1,000,000 BBB 3.125% due 7/15/23 (b).................................... 1,075,000
Hanover Compressor Co.:
300,000 B 4.750% due 3/15/08........................................ 280,125
75,000 B 4.750% due 1/15/14........................................ 85,313
1,800,000 A+ Schlumberger Ltd., 1.500% due 6/1/23........................ 1,914,750
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8,539,213
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PHARMACEUTICALS -- 4.9%
1,730,000 B Advanced Medical Optics, Inc., 2.500% due 7/15/24 (b)....... 1,900,838
400,000 A Allergan, Inc., zero coupon due 11/6/22 (b)................. 426,000
Cephalon Inc.:
600,000 B- Tranche A, zero coupon due 6/15/33 (b).................... 630,750
800,000 B- Tranche B, zero coupon due 6/15/33 (b).................... 864,000
500,000 NR IVAX Corp., 1.500% due 3/1/24 (b)........................... 513,750
Valeant Pharmaceuticals International:
75,000 B1* 3.000% due 8/16/10 (b).................................... 71,813
75,000 B1* 4.000% due 11/15/13 (b)................................... 71,062
200,000 BBB- Watson Pharmaceuticals, Inc., 1.750% due 3/15/23 (b)........ 189,750
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4,667,963
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</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
6
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
CONVERTIBLE SECURITIES PORTFOLIO
<Table>
<Caption>
FACE
AMOUNT RATING(C) SECURITY VALUE
- --------------------------------------------------------------------------------------------------
RETAIL -- 6.0%
Best Buy Co., Inc.:
$ 500,000 Baa3* 2.250% due 1/15/22........................................ $ 520,625
300,000 Baa3* 2.250% due 1/15/22 (b).................................... 312,375
1,500,000 BB+ The Gap, Inc., 5.750% due 3/15/09........................... 2,340,000
J.C. Penney Co. Inc.:
1,150,000 BB- 5.000% due 10/15/08....................................... 1,543,875
750,000 BB- 5.000% due 10/15/08 (b)................................... 1,006,875
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5,723,750
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TELECOMMUNICATIONS -- 7.4%
1,500,000 BBB- Amdocs Ltd., 0.500% due 3/15/24 (b)......................... 1,340,625
Anixter International Inc.:
1,400,000 BB+ Zero coupon due 7/7/33.................................... 719,250
1,400,000 BB+ Zero coupon due 7/7/33 (b)................................ 1,618,312
150,000 Ba3* CommScope, Inc., 1.000% due 3/15/24 (b)..................... 173,437
100,000 NR Tekelec Inc., 2.250% due 6/15/08 (b)........................ 116,625
5,000,000 A+ Verizon Global Funding Corp., zero coupon due 5/15/21....... 3,043,750
- --------------------------------------------------------------------------------------------------
7,011,999
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TOTAL CONVERTIBLE BONDS AND NOTES (Cost -- $62,437,621)..... 66,518,090
- --------------------------------------------------------------------------------------------------
SUB-TOTAL INVESTMENTS (Cost -- $79,951,482)................. 84,729,022
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REPURCHASE AGREEMENT -- 11.1%
10,589,000 State Street Bank and Trust Co. dated 6/30/04, 1.150% due
7/1/04; Proceeds at maturity -- $10,589,338; (Fully
collateralized by U.S. Treasury Bonds, 8.750% due 5/15/17;
Market value -- $10,805,200) (Cost -- $10,589,000)........ 10,589,000
- --------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% (Cost -- $90,540,482**)......... $95,318,022
- --------------------------------------------------------------------------------------------------
</Table>
(a) Non-income producing security.
(b) Security is exempt from registration under Rule 144A of the Securities Act
of 1933. This security may be resold in transactions that are exempt from
registration, normally to qualified institutional buyers. These securities
have been deemed liquid pursuant to guidelines established by the Board of
Trustees.
(c) All ratings are by Standard & Poor's Ratings Service, except for those that
are identified by an asterisk (*), which are rated by Moody's Investors
Service.
(d) Security is currently in default.
** Aggregate cost for Federal income tax purposes is substantially the same.
See page 18 for definitions of ratings.
SEE NOTES TO FINANCIAL STATEMENTS.
7
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
MFS MID CAP GROWTH PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------
COMMON STOCK -- 96.3%
- ---------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 18.8%
HOTELS, RESTAURANTS AND LEISURE -- 4.8%
44,980 The Cheesecake Factory Inc.+................................ $ 1,789,754
20,260 Four Seasons Hotels, Inc. .................................. 1,219,855
16,600 GTECH Holdings Corp. ....................................... 768,746
35,920 International Game Technology............................... 1,386,512
15,960 Outback Steakhouse, Inc. ................................... 660,106
14,040 P.F. Chang's China Bistro, Inc.+............................ 577,746
61,870 Royal Caribbean Cruises Ltd. ............................... 2,685,777
36,530 WMS Industries Inc.+........................................ 1,088,594
- ---------------------------------------------------------------------------------------
10,177,090
- ---------------------------------------------------------------------------------------
INTERNET AND CATALOG RETAIL -- 0.9%
62,546 InterActiveCorp+............................................ 1,885,136
- ---------------------------------------------------------------------------------------
MEDIA -- 7.2%
218,760 Citadel Broadcasting Co.+................................... 3,187,333
96,760 EchoStar Communications Corp., Class A Shares+.............. 2,975,370
3,500 Entercom Communications Corp.+.............................. 130,550
66,420 Getty Images, Inc.+......................................... 3,985,200
58,300 Meredith Corp. ............................................. 3,204,168
67,510 Westwood One, Inc.+......................................... 1,606,738
- ---------------------------------------------------------------------------------------
15,089,359
- ---------------------------------------------------------------------------------------
MULTILINE RETAIL -- 1.9%
120,400 99 Cents Only Stores+....................................... 1,836,100
68,400 Family Dollar Stores, Inc. ................................. 2,080,728
- ---------------------------------------------------------------------------------------
3,916,828
- ---------------------------------------------------------------------------------------
SPECIALTY RETAIL -- 2.9%
56,220 Pacific Sunwear of California, Inc.+........................ 1,100,225
74,040 PETsMART, Inc. ............................................. 2,402,598
67,580 Tiffany & Co. .............................................. 2,490,323
- ---------------------------------------------------------------------------------------
5,993,146
- ---------------------------------------------------------------------------------------
TEXTILES AND APPAREL -- 1.1%
52,320 Coach, Inc.+................................................ 2,364,341
- ---------------------------------------------------------------------------------------
TOTAL CONSUMER DISCRETIONARY................................ 39,425,900
- ---------------------------------------------------------------------------------------
ENERGY -- 1.9%
ENERGY EQUIPMENT AND SERVICES -- 1.9%
46,570 BJ Services Co.+............................................ 2,134,769
31,790 Cooper Cameron Corp.+....................................... 1,548,173
9,800 GlobalSantaFe Corp. ........................................ 259,700
- ---------------------------------------------------------------------------------------
TOTAL ENERGY................................................ 3,942,642
- ---------------------------------------------------------------------------------------
FINANCIALS -- 4.5%
BANKS -- 1.2%
60,300 Investors Financial Services Corp. ......................... 2,627,874
- ---------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
8
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
MFS MID CAP GROWTH PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------
DIVERSIFIED FINANCIALS -- 3.3%
227,620 Ameritrade Holding Corp.+................................... $ 2,583,487
8,200 The Chicago Mercantile Exchange............................. 1,183,834
34,420 Legg Mason, Inc. ........................................... 3,132,564
- ---------------------------------------------------------------------------------------
6,899,885
- ---------------------------------------------------------------------------------------
TOTAL FINANCIALS............................................ 9,527,759
- ---------------------------------------------------------------------------------------
HEALTHCARE -- 26.1%
BIOTECHNOLOGY -- 9.1%
22,470 Biogen Idec Inc.+........................................... 1,421,228
26,700 Celgene Corp.+.............................................. 1,528,842
37,900 Gen-Probe Inc.+............................................. 1,793,428
89,130 Genzyme Corp.+.............................................. 4,218,523
50,430 Gilead Sciences, Inc.+...................................... 3,378,810
44,350 Invitrogen Corp.+........................................... 3,192,756
103,630 MedImmune, Inc.+............................................ 2,424,942
13,120 Neurocrine Biosciences, Inc.+............................... 680,272
21,170 Protein Design Labs, Inc.+.................................. 404,982
- ---------------------------------------------------------------------------------------
19,043,783
- ---------------------------------------------------------------------------------------
HEALTHCARE EQUIPMENT AND SUPPLIES -- 12.1%
58,960 C.R. Bard, Inc. ............................................ 3,340,084
253,870 Cytyc Corp.+................................................ 6,440,682
65,870 DENTSPLY International Inc. ................................ 3,431,827
53,130 Fisher Scientific International+............................ 3,068,257
60,960 Guidant Corp. .............................................. 3,406,445
84,460 Millipore Corp.+............................................ 4,761,010
101,300 Thoratec Corp.+............................................. 1,086,949
- ---------------------------------------------------------------------------------------
25,535,254
- ---------------------------------------------------------------------------------------
HEALTHCARE PROVIDERS AND SERVICES -- 1.4%
52,100 Community Health Systems Inc.+.............................. 1,394,717
122,950 Tenet Healthcare Corp.+..................................... 1,648,760
- ---------------------------------------------------------------------------------------
3,043,477
- ---------------------------------------------------------------------------------------
PHARMACEUTICALS -- 3.5%
12,820 Allergan, Inc. ............................................. 1,147,646
49,900 Elan Corp. PLC, Sponsored ADR+.............................. 1,234,526
55,900 Endo Pharmaceuticals Holdings, Inc.+........................ 1,310,855
91,860 Medicis Pharmaceutical Corp., Class A Shares................ 3,669,807
- ---------------------------------------------------------------------------------------
7,362,834
- ---------------------------------------------------------------------------------------
TOTAL HEALTHCARE............................................ 54,985,348
- ---------------------------------------------------------------------------------------
INDUSTRIALS -- 12.4%
AIR FREIGHT AND COURIERS -- 1.0%
42,340 Expeditors International of Washington, Inc. ............... 2,092,019
- ---------------------------------------------------------------------------------------
AIRLINES -- 0.9%
60,850 JetBlue Airways Corp.+...................................... 1,787,773
- ---------------------------------------------------------------------------------------
BUILDING PRODUCTS -- 0.4%
21,180 American Standard Cos. Inc.+................................ 853,766
- ---------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
9
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
MFS MID CAP GROWTH PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------
COMMERCIAL SERVICES AND SUPPLIES -- 9.9%
39,220 Alliance Data Systems Corp.+................................ $ 1,657,045
6,200 Apollo Group, Inc., Class A Shares+......................... 547,398
50,710 Career Education Corp.+..................................... 2,310,348
76,460 Ceridian Corp.+............................................. 1,720,350
99,400 Corinthian Colleges, Inc.+.................................. 2,459,156
56,400 The Corporate Executive Board Co.+.......................... 3,259,356
49,170 DST Systems, Inc.+.......................................... 2,364,585
47,000 Manpower Inc. .............................................. 2,386,190
113,590 Monster Worldwide, Inc.+.................................... 2,921,535
42,530 Robert Half International Inc.+............................. 1,266,118
- ---------------------------------------------------------------------------------------
20,892,081
- ---------------------------------------------------------------------------------------
TRADING COMPANIES AND DISTRIBUTORS -- 0.2%
14,560 MSC Industrial Direct Co., Class A Shares................... 478,150
- ---------------------------------------------------------------------------------------
TOTAL INDUSTRIALS........................................... 26,103,789
- ---------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 25.5%
COMMUNICATIONS EQUIPMENT -- 5.7%
54,060 Andrew Corp.+............................................... 1,081,741
202,600 Comverse Technology, Inc.+.................................. 4,039,844
23,800 F5 Networks, Inc.+.......................................... 630,224
82,500 Foundry Networks, Inc.+..................................... 1,160,775
30,050 Harris Corp. ............................................... 1,525,038
32,460 Interdigital Communications Corp.+.......................... 610,573
120,714 Juniper Networks, Inc.+..................................... 2,965,943
- ---------------------------------------------------------------------------------------
12,014,138
- ---------------------------------------------------------------------------------------
COMPUTERS AND PERIPHERALS -- 0.9%
10,600 Lexmark International, Inc., Class A Shares+................ 1,023,218
40,900 Network Appliance, Inc.+.................................... 880,577
- ---------------------------------------------------------------------------------------
1,903,795
- ---------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT AND INSTRUMENTS -- 2.4%
15,600 Amphenol Corp., Class A Shares+............................. 519,792
51,460 Thermo Electron Corp.+...................................... 1,581,880
59,610 Waters Corp.+............................................... 2,848,166
- ---------------------------------------------------------------------------------------
4,949,838
- ---------------------------------------------------------------------------------------
SEMICONDUCTOR EQUIPMENT AND PRODUCTS -- 5.7%
23,250 Analog Devices, Inc.+....................................... 1,094,610
14,660 Cymer, Inc.+................................................ 548,870
93,440 Integrated Circuit Systems, Inc.+........................... 2,537,830
122,160 Marvell Technology Group Ltd.+.............................. 3,261,672
74,370 Novellus Systems, Inc.+..................................... 2,338,193
153,600 PMC-Sierra, Inc.+........................................... 2,204,160
- ---------------------------------------------------------------------------------------
11,985,335
- ---------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
10
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
MFS MID CAP GROWTH PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------
SOFTWARE -- 10.8%
156,110 Amdocs Ltd.+................................................ $ 3,657,657
41,580 Ascential Software Corp.+................................... 664,864
41,100 Electronic Arts Inc.+....................................... 2,242,005
60,900 Intuit Inc.+................................................ 2,349,522
43,900 Mercury Interactive Corp.+.................................. 2,187,537
92,700 Network Associates, Inc.+................................... 1,680,651
145,600 PeopleSoft, Inc.+........................................... 2,693,600
81,600 Red Hat, Inc.+.............................................. 1,874,352
44,750 Symantec Corp.+............................................. 1,959,155
123,130 VERITAS Software Corp.+..................................... 3,410,701
- ---------------------------------------------------------------------------------------
22,720,044
- ---------------------------------------------------------------------------------------
TOTAL INFORMATION TECHNOLOGY................................ 53,573,150
- ---------------------------------------------------------------------------------------
MATERIALS -- 0.5%
CHEMICALS -- 0.5%
65,370 Lyondell Chemical Co. ...................................... 1,136,784
- ---------------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES -- 6.6%
DIVERSIFIED TELECOMMUNICATION SERVICES -- 2.7%
3,980 Covad Communications Group, Inc.+........................... 9,552
48,190 NTL Inc.+................................................... 2,776,708
66,430 SpectraSite Inc.+........................................... 2,871,105
- ---------------------------------------------------------------------------------------
5,657,365
- ---------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES -- 3.9%
333,660 American Tower Corp., Class A Shares+....................... 5,071,632
217,500 Crown Castle International Corp.+........................... 3,208,125
- ---------------------------------------------------------------------------------------
8,279,757
- ---------------------------------------------------------------------------------------
TOTAL TELECOMMUNICATION SERVICES............................ 13,937,122
- ---------------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $166,355,806)................... 202,632,494
- ---------------------------------------------------------------------------------------
FOREIGN STOCK -- 1.3%
- ---------------------------------------------------------------------------------------
CANADA -- 1.3%
20,400 Aber Diamond Corp.+......................................... 603,357
129,760 Coolbrands International Inc.+.............................. 2,119,755
- ---------------------------------------------------------------------------------------
TOTAL FOREIGN STOCK (Cost -- $2,740,518).................... 2,723,112
- ---------------------------------------------------------------------------------------
SUB-TOTAL INVESTMENTS (Cost -- $169,096,324)................ 205,355,606
- ---------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
11
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
MFS MID CAP GROWTH PORTFOLIO
<Table>
<Caption>
FACE
AMOUNT SECURITY VALUE
- ---------------------------------------------------------------------------------------
SHORT-TERM INVESTMENT -- 2.4%
$5,030,000 Federal Home Loan Bank Discount Notes, zero coupon due
7/1/04
(Cost -- $5,030,000)........................................ $ 5,030,000
- ---------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% (Cost -- $174,126,324*)......... $210,385,606
- ---------------------------------------------------------------------------------------
</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.
12
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
MERRILL LYNCH LARGE CAP CORE PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------
COMMON STOCK -- 99.2%
- -----------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 21.6%
AUTO COMPONENTS -- 0.9%
19,000 Lear Corp. ................................................. $ 1,120,810
- -----------------------------------------------------------------------------------------
AUTOMOBILES -- 1.6%
38,000 Ford Motor Co. ............................................. 594,700
29,000 General Motors Corp. ....................................... 1,351,110
- -----------------------------------------------------------------------------------------
1,945,810
- -----------------------------------------------------------------------------------------
HOTELS, RESTAURANTS AND LEISURE -- 1.2%
56,000 McDonald's Corp. ........................................... 1,456,000
- -----------------------------------------------------------------------------------------
HOUSEHOLD DURABLES -- 6.7%
42,000 D.R. Horton, Inc. .......................................... 1,192,800
17,000 Fortune Brands, Inc. ....................................... 1,282,310
17,000 KB HOME..................................................... 1,166,710
22,000 Lennar Corp., Class A Shares................................ 983,840
23,000 Pulte Homes, Inc. .......................................... 1,196,690
13,000 The Ryland Group, Inc. ..................................... 1,016,600
26,000 Toll Brothers, Inc.+........................................ 1,100,320
- -----------------------------------------------------------------------------------------
7,939,270
- -----------------------------------------------------------------------------------------
MEDIA -- 1.0%
20,000 Getty Images, Inc.+......................................... 1,200,000
- -----------------------------------------------------------------------------------------
MULTILINE RETAIL -- 3.3%
35,000 J.C. Penney Co., Inc. ...................................... 1,321,600
42,000 The May Department Stores Co. .............................. 1,154,580
29,000 Nordstrom, Inc. ............................................ 1,235,690
4,000 Wal-Mart Stores, Inc. ...................................... 211,040
- -----------------------------------------------------------------------------------------
3,922,910
- -----------------------------------------------------------------------------------------
SPECIALTY RETAIL -- 6.6%
28,000 Abercrombie & Fitch Co., Class A Shares+.................... 1,085,000
27,000 Chico's FAS, Inc.+.......................................... 1,219,320
44,000 Foot Locker, Inc. .......................................... 1,070,960
56,000 The Gap, Inc. .............................................. 1,358,000
57,000 The Home Depot, Inc. ....................................... 2,006,400
9,000 PETsMART, Inc. ............................................. 292,050
32,000 The TJX Cos., Inc. ......................................... 772,480
- -----------------------------------------------------------------------------------------
7,804,210
- -----------------------------------------------------------------------------------------
TEXTILES AND APPAREL -- 0.3%
7,000 Coach, Inc.+................................................ 316,330
- -----------------------------------------------------------------------------------------
TOTAL CONSUMER DISCRETIONARY................................ 25,705,340
- -----------------------------------------------------------------------------------------
CONSUMER STAPLES -- 4.6%
FOOD AND DRUG RETAILING -- 0.2%
32,000 Rite Aid Corp.+............................................. 167,040
- -----------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
13
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
MERRILL LYNCH LARGE CAP CORE PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------
FOOD PRODUCTS -- 2.9%
78,000 Archer-Daniels-Midland Co. ................................. $ 1,308,840
21,000 Kellogg Co. ................................................ 878,850
62,000 Tyson Foods, Inc., Class A Shares........................... 1,298,900
- -----------------------------------------------------------------------------------------
3,486,590
- -----------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS -- 0.3%
6,000 The Procter & Gamble Co. ................................... 326,640
- -----------------------------------------------------------------------------------------
PERSONAL PRODUCTS -- 1.2%
31,000 Avon Products, Inc. ........................................ 1,430,340
- -----------------------------------------------------------------------------------------
TOTAL CONSUMER STAPLES...................................... 5,410,610
- -----------------------------------------------------------------------------------------
ENERGY -- 10.7%
OIL AND GAS -- 10.7%
17,000 Amerada Hess Corp. ......................................... 1,346,230
24,000 Anadarko Petroleum Corp. ................................... 1,406,400
24,000 ChevronTexaco Corp. ........................................ 2,258,640
22,000 ConocoPhillips.............................................. 1,678,380
45,000 Exxon Mobil Corp. .......................................... 1,998,450
24,000 Kerr-McGee Corp. ........................................... 1,290,480
20,000 Sunoco, Inc. ............................................... 1,272,400
19,000 Valero Energy Corp. ........................................ 1,401,440
- -----------------------------------------------------------------------------------------
TOTAL ENERGY................................................ 12,652,420
- -----------------------------------------------------------------------------------------
FINANCIALS -- 12.2%
BANKS -- 0.5%
8,000 Bank of America Corp. ...................................... 676,960
- -----------------------------------------------------------------------------------------
DIVERSIFIED FINANCIALS -- 4.6%
19,000 Countrywide Financial Corp. ................................ 1,334,750
98,000 E*TRADE Financial Corp.+.................................... 1,092,700
50,000 J.P. Morgan Chase & Co. .................................... 1,938,500
12,000 Legg Mason, Inc. ........................................... 1,092,120
- -----------------------------------------------------------------------------------------
5,458,070
- -----------------------------------------------------------------------------------------
INSURANCE -- 7.1%
26,000 ACE Ltd. ................................................... 1,099,280
33,000 Allstate Corp. ............................................. 1,536,150
9,000 American International Group, Inc. ......................... 641,520
6,000 Fidelity National Financial, Inc. .......................... 224,040
20,000 The Hartford Financial Services Group, Inc. ................ 1,374,800
28,000 Lincoln National Corp. ..................................... 1,323,000
4,000 Loews Corp. ................................................ 239,840
20,000 MBIA Inc. .................................................. 1,142,400
22,000 Nationwide Financial Services, Inc. ........................ 827,420
- -----------------------------------------------------------------------------------------
8,408,450
- -----------------------------------------------------------------------------------------
TOTAL FINANCIALS............................................ 14,543,480
- -----------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
14
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
MERRILL LYNCH LARGE CAP CORE PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------
HEALTHCARE -- 11.6%
BIOTECHNOLOGY -- 3.0%
22,000 Charles River Laboratories International, Inc.+............. $ 1,075,140
22,000 Genentech, Inc.+............................................ 1,236,400
17,000 Invitrogen Corp.+........................................... 1,223,830
- -----------------------------------------------------------------------------------------
3,535,370
- -----------------------------------------------------------------------------------------
HEALTHCARE EQUIPMENT AND SUPPLIES -- 2.2%
2,000 Beckman Coulter, Inc. ...................................... 122,000
26,000 Becton Dickinson & Co. ..................................... 1,346,800
20,000 Fisher Scientific International Inc.+....................... 1,155,000
- -----------------------------------------------------------------------------------------
2,623,800
- -----------------------------------------------------------------------------------------
HEALTHCARE PROVIDERS AND SERVICES -- 4.3%
15,000 Anthem, Inc.+............................................... 1,343,400
19,000 CIGNA Corp. ................................................ 1,307,390
21,000 DaVita, Inc.+............................................... 647,430
33,000 PacifiCare Health Systems, Inc.+............................ 1,275,780
77,000 Service Corp. International+................................ 567,490
- -----------------------------------------------------------------------------------------
5,141,490
- -----------------------------------------------------------------------------------------
PHARMACEUTICALS -- 2.1%
11,000 Johnson & Johnson........................................... 612,700
55,000 Pfizer Inc. ................................................ 1,885,400
- -----------------------------------------------------------------------------------------
2,498,100
- -----------------------------------------------------------------------------------------
TOTAL HEALTHCARE............................................ 13,798,760
- -----------------------------------------------------------------------------------------
INDUSTRIALS -- 7.8%
AIR FREIGHT AND COURIERS -- 0.2%
6,000 Ryder Systems, Inc. ........................................ 240,420
- -----------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT -- 1.1%
34,000 Rockwell Automation, Inc. .................................. 1,275,340
- -----------------------------------------------------------------------------------------
INDUSTRIAL CONGLOMERATES -- 4.3%
74,000 General Electric Co. ....................................... 2,397,600
40,000 Honeywell International Inc. ............................... 1,465,200
21,000 Textron Inc. ............................................... 1,246,350
- -----------------------------------------------------------------------------------------
5,109,150
- -----------------------------------------------------------------------------------------
MACHINERY -- 1.0%
20,000 Cummins Inc. ............................................... 1,250,000
- -----------------------------------------------------------------------------------------
ROAD AND RAIL -- 1.2%
52,000 Norfolk Southern Corp. ..................................... 1,379,040
- -----------------------------------------------------------------------------------------
TOTAL INDUSTRIALS........................................... 9,253,950
- -----------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
15
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
MERRILL LYNCH LARGE CAP CORE PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 22.0%
COMMUNICATIONS EQUIPMENT -- 7.7%
78,000 Avaya Inc.+................................................. $ 1,231,620
121,000 Cisco Systems, Inc.+........................................ 2,867,700
354,000 Lucent Technologies Inc.+................................... 1,338,120
91,000 Motorola, Inc. ............................................. 1,660,750
25,000 QUALCOMM Inc. .............................................. 1,824,500
22,000 Tellabs, Inc.+.............................................. 192,280
- -----------------------------------------------------------------------------------------
9,114,970
- -----------------------------------------------------------------------------------------
COMPUTERS - MEMORY DEVICES -- 0.0%
27,200 Seagate Technology, Escrow Shares+.......................... 0
- -----------------------------------------------------------------------------------------
COMPUTERS AND PERIPHERALS -- 1.1%
5,000 International Business Machines Corp. ...................... 440,750
38,000 SanDisk Corp.+.............................................. 824,220
- -----------------------------------------------------------------------------------------
1,264,970
- -----------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT AND INSTRUMENTS -- 1.7%
39,000 Agilent Technologies, Inc.+................................. 1,141,920
50,000 Vishay Intertechnology, Inc.+............................... 929,000
- -----------------------------------------------------------------------------------------
2,070,920
- -----------------------------------------------------------------------------------------
IT CONSULTING AND SERVICES -- 0.9%
44,000 Cognizant Technology Solutions Corp.+....................... 1,118,040
- -----------------------------------------------------------------------------------------
OFFICE ELECTRONICS -- 1.2%
97,000 Xerox Corp.+................................................ 1,406,500
- -----------------------------------------------------------------------------------------
SEMICONDUCTOR EQUIPMENT AND PRODUCTS -- 5.6%
80,000 Advanced Micro Devices, Inc.+............................... 1,272,000
217,000 Atmel Corp.+................................................ 1,284,640
56,000 Cypress Semiconductor Corp.+................................ 794,640
29,000 Intel Corp. ................................................ 800,400
23,000 Silicon Laboratories Inc.+.................................. 1,066,050
57,000 Texas Instruments Inc. ..................................... 1,378,260
- -----------------------------------------------------------------------------------------
6,595,990
- -----------------------------------------------------------------------------------------
SOFTWARE -- 3.8%
31,000 Autodesk, Inc. ............................................. 1,327,110
108,000 Microsoft Corp. ............................................ 3,084,480
18,000 Novell, Inc.+............................................... 151,020
- -----------------------------------------------------------------------------------------
4,562,610
- -----------------------------------------------------------------------------------------
TOTAL INFORMATION TECHNOLOGY................................ 26,134,000
- -----------------------------------------------------------------------------------------
MATERIALS -- 5.3%
CHEMICALS -- 1.0%
21,000 E.I. du Pont de Nemours & Co. .............................. 932,820
14,000 RPM International, Inc. .................................... 212,800
- -----------------------------------------------------------------------------------------
1,145,620
- -----------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
16
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) JUNE 30, 2004
MERRILL LYNCH LARGE CAP CORE PORTFOLIO
<Table>
<Caption>
SHARES SECURITY VALUE
- -----------------------------------------------------------------------------------------
METALS AND MINING -- 3.2%
17,000 Nucor Corp. ................................................ $ 1,304,920
16,000 Phelps Dodge Corp.+......................................... 1,240,160
36,000 United States Steel Corp. .................................. 1,264,320
- -----------------------------------------------------------------------------------------
3,809,400
- -----------------------------------------------------------------------------------------
PAPER AND FOREST PRODUCTS -- 1.1%
37,000 Georgia-Pacific Corp. ...................................... 1,368,260
- -----------------------------------------------------------------------------------------
TOTAL MATERIALS............................................. 6,323,280
- -----------------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES -- 1.2%
WIRELESS TELECOMMUNICATION SERVICES -- 1.2%
54,000 Nextel Communications, Inc., Class A Shares+................ 1,439,640
- -----------------------------------------------------------------------------------------
UTILITIES -- 2.2%
ELECTRIC UTILITIES -- 2.2%
49,000 Edison International+....................................... 1,252,930
33,000 TXU Corp. .................................................. 1,336,830
- -----------------------------------------------------------------------------------------
TOTAL UTILITIES............................................. 2,589,760
- -----------------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $109,187,277)................... 117,851,240
- -----------------------------------------------------------------------------------------
</Table>
<Table>
FACE
AMOUNT SECURITY VALUE
- ---------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 0.8%
$999,000 State Street Bank and Trust Co. dated 6/30/04, 1.150% due
7/1/04; Proceeds at
maturity -- $999,032; (Fully collateralized by U.S.
Treasury Notes, 6.500% due 10/15/06;
Market value -- $1,019,645) (Cost -- $999,000)............ 999,000
- ---------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% (Cost -- $110,186,277*)......... $118,850,240
- ---------------------------------------------------------------------------------------
</Table>
+ Non-income producing security.
* Aggregate cost for Federal income tax purposes is substantially the same.
SEE NOTES TO FINANCIAL STATEMENTS.
17
- --------------------------------------------------------------------------------
BOND RATINGS (UNAUDITED)
The definitions of the applicable rating symbols are set forth below:
Standard & Poor's Ratings Service ("Standard & Poor's") -- Ratings from "AA" to
"CCC" may be modified by the addition of a plus (+) or minus (-) sign to show
relative standings within the major rating categories.
<Table>
AAA -- Bonds rated "AAA" have the highest rating assigned by
Standard & Poor's. Capacity to pay interest and repay
principal is extremely strong.
AA -- Bonds rated "AA" have a very strong capacity to pay interest
and repay principal and differ from the highest rated issue
only in a small degree.
A -- Bonds rated "A" have a strong capacity to pay interest and
repay principal although they are somewhat more susceptible
to the adverse effects of changes in circumstances and
economic conditions than bonds in higher rated categories.
BBB -- Bonds rated "BBB" are regarded as having an adequate
capacity to pay interest and repay principal. Whereas they
normally exhibit adequate protection parameters, adverse
economic conditions or changing circumstances are more
likely to lead to a weakened capacity to pay interest and
repay principal for bonds in this category than in higher
rated categories.
BB, B, CCC and CC -- Bonds rated "BB", "B", "CCC" and "CC" are regarded, on
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 "CC" the highest degree
of speculation. While such bonds will likely have some
quality and protective characteristics, these are outweighed
by large uncertainties or major risk exposures to adverse
conditions.
</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 an issue.
Aa -- Bonds rated "Aa" are judged to be of high quality by all
standards. Together with the "Aaa" group they comprise what
are generally known as high grade bonds. They are rated
lower than the best bonds because margins of protection may
not be as large in "Aaa" securities or fluctuation of
protective elements may be of greater amplitude or there may
be other elements present which make the long-term risks
appear somewhat larger than in "Aaa" securities.
A -- Bonds rated "A" possess many favorable investment attributes
and are to be considered as upper medium grade obligations.
Factors giving security to principal and interest are
considered adequate but elements may be present which
suggest a susceptibility to impairment some time in the
future.
Baa -- Bonds rated "Baa" are considered as medium grade
obligations; i.e., they are neither highly protected nor
poorly secured. Interest payments and principal security
appear adequate for the present but certain protective
elements may be lacking or may be characteristically
unreliable over any great length of time. Such bonds lack
outstanding investment characteristics and in fact have
speculative characteristics as well.
Ba -- Bonds rated "Ba" are judged to have speculative elements;
their future cannot be considered as well assured. Often the
protection of interest and principal payments may be very
moderate and thereby not well safeguarded during both good
and bad times over the future. 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
of maintenance of other terms of the contract over any long
period of time may be small.
Caa -- Bonds rated "Caa" are of poor standing. 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>
18
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED) JUNE 30, 2004
<Table>
<Caption>
MFS MERRILL LYNCH
CONVERTIBLE MID CAP LARGE CAP
SECURITIES GROWTH CORE
PORTFOLIO PORTFOLIO PORTFOLIO
- ---------------------------------------------------------------------------------------------------------
ASSETS:
Investments, at cost...................................... $79,951,482 $ 169,096,324 $109,187,277
Short-term investments, at cost........................... 10,589,000 5,030,000 999,000
- ---------------------------------------------------------------------------------------------------------
Investments, at value..................................... $84,729,022 $ 205,355,606 $117,851,240
Short-term investments, at value.......................... 10,589,000 5,030,000 999,000
Cash...................................................... 406 17 442
Dividends and interest receivable......................... 359,887 30,059 84,851
Receivable for Fund shares sold........................... 38,760 28,230 --
Receivable for securities sold............................ -- 1,230,592 4,084,693
- ---------------------------------------------------------------------------------------------------------
TOTAL ASSETS.............................................. 95,717,075 211,674,504 123,020,226
- ---------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable for securities purchased.......................... 887,926 3,744,308 5,054,526
Investment advisory fees payable.......................... 45,699 133,442 75,452
Administration fees payable............................... 4,570 10,008 5,670
Payable for Fund shares reacquired........................ -- 116,833 64,230
Accrued expenses.......................................... 30,007 40,349 34,768
- ---------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES......................................... 968,202 4,044,940 5,234,646
- ---------------------------------------------------------------------------------------------------------
TOTAL NET ASSETS............................................ $94,748,873 $ 207,629,564 $117,785,580
- ---------------------------------------------------------------------------------------------------------
NET ASSETS:
Paid-in capital........................................... $90,873,544 $ 409,166,061 $186,114,883
Undistributed net investment income....................... 1,063,515 -- 125,758
Accumulated net investment loss........................... -- (695,633) --
Accumulated net realized loss from investment
transactions............................................ (1,965,726) (237,100,147) (77,119,986)
Net unrealized appreciation of investments and foreign
currencies.............................................. 4,777,540 36,259,283 8,664,925
- ---------------------------------------------------------------------------------------------------------
TOTAL NET ASSETS............................................ $94,748,873 $ 207,629,564 $117,785,580
- ---------------------------------------------------------------------------------------------------------
SHARES OUTSTANDING.......................................... 7,808,812 27,928,811 14,201,837
- ---------------------------------------------------------------------------------------------------------
NET ASSET VALUE, PER SHARE.................................. $12.13 $7.43 $8.29
- ---------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
19
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS (UNAUDITED) FOR THE SIX MONTHS ENDED JUNE 30, 2004
<Table>
<Caption>
MFS MERRILL LYNCH
CONVERTIBLE MID CAP LARGE CAP
SECURITIES GROWTH CORE
PORTFOLIO PORTFOLIO PORTFOLIO
- -------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest.................................................. $ 911,838 $ 22,109 $ 36,776
Dividends................................................. 477,973 223,358 642,166
Less: Foreign withholding tax............................. -- (1,039) (768)
- -------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME................................... 1,389,811 244,428 678,174
- -------------------------------------------------------------------------------------------------------
EXPENSES:
Investment advisory fees (Note 2)......................... 256,040 810,675 466,013
Administration fees (Note 2).............................. 25,604 60,801 34,951
Audit and legal........................................... 17,255 18,299 18,336
Custody................................................... 9,727 30,989 16,833
Shareholder communications................................ 5,303 12,963 11,313
Trustees' fees............................................ 2,872 3,169 3,066
Transfer agency services.................................. 2,501 2,494 2,493
Other..................................................... 594 6,478 712
- -------------------------------------------------------------------------------------------------------
TOTAL EXPENSES............................................ 319,896 945,868 553,717
- -------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME (LOSS)................................ 1,069,915 (701,440) 124,457
- -------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
AND FOREIGN CURRENCIES (NOTE 3):
Realized Gain From:
Investment transactions................................. 161,543 13,994,217 3,816,216
Foreign currency transactions........................... -- 5,807 1,441
- -------------------------------------------------------------------------------------------------------
NET REALIZED GAIN......................................... 161,543 14,000,024 3,817,657
- -------------------------------------------------------------------------------------------------------
Change in Net Unrealized Appreciation From:
Investments............................................. 592,159 2,056,456 2,522,044
Foreign currencies...................................... -- (338) (2,000)
- -------------------------------------------------------------------------------------------------------
INCREASE IN NET UNREALIZED APPRECIATION................... 592,159 2,056,118 2,520,044
- -------------------------------------------------------------------------------------------------------
NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES.............. 753,702 16,056,142 6,337,701
- -------------------------------------------------------------------------------------------------------
INCREASE IN NET ASSETS FROM OPERATIONS...................... $1,823,617 $15,354,702 $6,462,158
- -------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
20
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS ENDED JUNE 30, 2004 (UNAUDITED)
AND THE YEAR ENDED DECEMBER 31, 2003
<Table>
<Caption>
CONVERTIBLE SECURITIES PORTFOLIO 2004 2003
- ---------------------------------------------------------------------------------------
OPERATIONS:
Net investment income..................................... $ 1,069,915 $ 2,126,998
Net realized gain (loss).................................. 161,543 (200,129)
Increase in net unrealized appreciation................... 592,159 11,848,955
- ---------------------------------------------------------------------------------------
INCREASE IN NET ASSETS FROM OPERATIONS.................... 1,823,617 13,775,824
- ---------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income..................................... (26,438) (2,082,494)
- ---------------------------------------------------------------------------------------
DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO
SHAREHOLDERS............................................ (26,438) (2,082,494)
- ---------------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS (NOTE 5):
Net proceeds from sale of shares.......................... 18,620,214 21,865,525
Net asset value of shares issued for reinvestment of
dividends............................................... 26,438 2,082,494
Cost of shares reacquired................................. (2,026,337) (8,131,457)
- ---------------------------------------------------------------------------------------
INCREASE IN NET ASSETS FROM FUND SHARE TRANSACTIONS....... 16,620,315 15,816,562
- ---------------------------------------------------------------------------------------
INCREASE IN NET ASSETS...................................... 18,417,494 27,509,892
NET ASSETS:
Beginning of period....................................... 76,331,379 48,821,487
- ---------------------------------------------------------------------------------------
END OF PERIOD*............................................ $94,748,873 $76,331,379
- ---------------------------------------------------------------------------------------
* Includes undistributed net investment income of:.......... $1,063,515 $20,038
- ---------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
21
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FOR THE SIX MONTHS ENDED JUNE 30, 2004 (UNAUDITED)
AND THE YEAR ENDED DECEMBER 31, 2003
<Table>
<Caption>
MFS MID CAP GROWTH PORTFOLIO 2004 2003
- -----------------------------------------------------------------------------------------
OPERATIONS:
Net investment loss....................................... $ (701,440) $ (783,038)
Net realized gain......................................... 14,000,024 11,062,320
Increase in net unrealized appreciation................... 2,056,118 39,853,745
- -----------------------------------------------------------------------------------------
INCREASE IN NET ASSETS FROM OPERATIONS.................... 15,354,702 50,133,027
- -----------------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS (NOTE 5):
Net proceeds from sale of shares.......................... 10,555,255 18,867,585
Cost of shares reacquired................................. (10,888,172) (14,613,961)
- -----------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM FUND SHARE
TRANSACTIONS............................................ (332,917) 4,253,624
- -----------------------------------------------------------------------------------------
INCREASE IN NET ASSETS...................................... 15,021,785 54,386,651
NET ASSETS:
Beginning of period....................................... 192,607,779 138,221,128
- -----------------------------------------------------------------------------------------
END OF PERIOD*............................................ $207,629,564 $192,607,779
- -----------------------------------------------------------------------------------------
* Includes accumulated net investment loss of:.............. $(695,633) --
- -----------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
22
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FOR THE SIX MONTHS ENDED JUNE 30, 2004 (UNAUDITED)
AND THE YEAR ENDED DECEMBER 31, 2003
<Table>
<Caption>
MERRILL LYNCH LARGE CAP CORE PORTFOLIO 2004 2003
- ------------------------------------------------------------------------------------------
OPERATIONS:
Net investment income..................................... $ 124,457 $ 721,954
Net realized gain......................................... 3,817,657 4,686,105
Increase in net unrealized appreciation................... 2,520,044 15,255,608
- ------------------------------------------------------------------------------------------
INCREASE IN NET ASSETS FROM OPERATIONS.................... 6,462,158 20,663,667
- ------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income..................................... (42,697) (723,790)
- ------------------------------------------------------------------------------------------
DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO
SHAREHOLDERS............................................ (42,697) (723,790)
- ------------------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS (NOTE 5):
Net proceeds from sale of shares.......................... 2,990,093 2,493,380
Net asset value of shares issued for reinvestment of
dividends............................................... 42,697 723,790
Cost of shares reacquired................................. (6,866,949) (13,967,138)
- ------------------------------------------------------------------------------------------
DECREASE IN NET ASSETS FROM FUND SHARE TRANSACTIONS....... (3,834,159) (10,749,968)
- ------------------------------------------------------------------------------------------
INCREASE IN NET ASSETS...................................... 2,585,302 9,189,909
NET ASSETS:
Beginning of period....................................... 115,200,278 106,010,369
- ------------------------------------------------------------------------------------------
END OF PERIOD*............................................ $117,785,580 $115,200,278
- ------------------------------------------------------------------------------------------
* Includes undistributed net investment income of: ......... $125,758 $42,557
- ------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
23
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1. SIGNIFICANT ACCOUNTING POLICIES
The Convertible Securities, MFS Mid Cap Growth and Merrill Lynch Large Cap
Core Portfolios ("Fund(s)") are separate investment funds of The Travelers
Series Trust ("Trust"). The Convertible Securities Portfolio and the Merrill
Lynch Large Cap Core Portfolio are separate diversified investment funds of the
Trust. The MFS Mid Cap Growth Portfolio is a separate non-diversified investment
fund of the Trust. The Trust is a Massachusetts business trust registered under
the Investment Company Act of 1940, as amended, as an open-end management
investment company and consists of these Funds and thirteen other separate
investment funds: Travelers Quality Bond, Lazard International Stock, MFS
Emerging Growth, Federated High Yield, Federated Stock, Disciplined Mid Cap
Stock, U.S. Government Securities, Social Awareness Stock, Pioneer Fund, Large
Cap, Equity Income, Zero Coupon Bond Fund (Series 2005) and MFS Value
Portfolios. The financial statements and financial highlights for the other
funds are presented in separate shareholder reports. The Funds and the other
investment funds of the Trust are offered exclusively for use with certain
variable annuity and variable life insurance contracts offered through the
separate accounts of various affiliated life insurance companies.
The following are significant accounting policies consistently followed by
the Funds and are in conformity with U.S. generally accepted accounting
principles ("GAAP"): (a) security transactions are accounted for on trade date;
(b) securities traded on national securities markets are valued at the closing
price on such markets or, if there were no sales during the day, at the mean
between the closing bid and asked prices; securities primarily traded on foreign
exchanges are generally valued at the closing values of such securities on their
respective exchanges, except that when a significant occurrence exists
subsequent to the time a value was so established and it is likely to have
significantly changed the value, then the fair value of those securities will be
determined by consideration of other factors by or under the direction of the
Board of Trustees; securities listed on the NASDAQ National Market System for
which market quotations are available are valued at the official closing price
or, if there is no official closing price on that day, at the last sale price;
securities traded in the over-the-counter market are valued at prices based on
market quotations for securities of similar type; U.S. government agencies and
obligations are valued at the mean between the last reported bid and asked
prices; (c) securities maturing within 60 days are valued at cost plus accreted
discount or minus amortized premium, which approximates value; (d) securities,
other than U.S. government agencies, that have a maturity of 60 days or more are
valued at prices based on market quotations for securities of similar type,
yield and maturity; (e) securities for which market quotations are not available
will be valued in good faith at fair value by or under the direction of the
Board of Trustees; (f) interest income, adjusted for amortization of premium and
accretion of discount, is recorded on an accrual basis and dividend income is
recorded on the ex-dividend date; foreign dividends are recorded on the
ex-dividend date or as soon as practical after the Fund determines the existence
of a dividend declaration after exercising reasonable due diligence; (g) gains
or losses on the sale of securities are calculated by using the specific
identification method; (h) dividends and distributions to shareholders are
recorded on the ex-dividend date; the Funds distribute dividends and capital
gains, if any, at least annually; (i) the accounting records of the Funds are
maintained in U.S. dollars. All assets and liabilities denominated in foreign
currencies are translated into U.S. dollars on the date of valuation. Purchases
and sales of securities, income and expenses are translated at the rate of
exchange quoted on the respective date that such transactions are recorded.
Differences between income or expense amounts recorded and collected or paid are
adjusted when reported by the custodian; (j) the character of income and gains
to be distributed is determined in accordance with income tax regulations which
may differ from GAAP; (k) the Funds intend to comply with the applicable
provisions of the Internal Revenue Code of 1986, as amended, pertaining to
regulated investment companies and to make distributions of taxable income
sufficient to relieve it from substantially all Federal income and excise taxes;
and (l) estimates and assumptions are required to be made regarding assets,
liabilities and changes in net assets resulting from operations when financial
statements are prepared. Changes in the economic environment, financial markets
and any other parameters used in determining these estimates could cause actual
results to differ.
In addition, the MFS Mid Cap Growth and Merrill Lynch Large Cap Core
Portfolios may enter into forward exchange contracts in order to hedge against
foreign currency risk. These contracts are marked to market daily, by
recognizing the difference between the contract exchange rate and the current
forward rate as an unrealized gain or loss. Realized gains or losses are
recognized when the contracts are settled or offset by entering into another
forward exchange contract.
24
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
2. INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS
Travelers Asset Management International Company LLC ("TAMIC"), an indirect
wholly-owned subsidiary of Citigroup Inc. ("Citigroup"), acts as investment
adviser to the Convertible Securities ("CS"), MFS Mid Cap Growth ("MMCG") and
Merrill Lynch Large Cap Core ("MLLCC") Portfolios. CS, MMCG and MLLCC each pay
TAMIC an investment advisory fee calculated at annual rates of 0.60%, 0.80% and
0.80% of each Fund's respective average daily net assets. These fees are
calculated daily and paid monthly.
TAMIC has entered into a sub-advisory agreement with Massachusetts
Financial Services ("MFS"). Pursuant to the sub-advisory agreement, MFS is
responsible for the day-to-day fund operations and investment decisions for
MMCG. As a result, TAMIC pays MFS a sub-advisory fee at an annual rate of 0.375%
of the average daily net assets of MMCG.
TAMIC has also entered into a sub-advisory agreement with Merrill Lynch
Investment Managers, L.P. ("MLIM"). Pursuant to the sub-advisory agreement, MLIM
is responsible for the day-to-day fund operations and investment decisions and
is compensated by TAMIC for such services at an annual rate of 0.375% of the
average daily net assets of MLLCC.
The Travelers Insurance Company ("TIC"), another indirect wholly-owned
subsidiary of Citigroup, acts as administrator to the Funds. The Funds pay TIC
an administration fee calculated at an annual rate of 0.06% of the average daily
net assets of each respective Fund. This fee is calculated daily and paid
monthly. TIC has entered into a sub-administrative service agreement with Smith
Barney Fund Management LLC ("SBFM"), another indirect wholly-owned subsidiary of
Citigroup. TIC pays SBFM, as sub-administrator, a fee calculated at an annual
rate of 0.02% of the average daily net assets of each Fund, plus $30,000 per
Fund, subject to a maximum of 0.06% of each Fund's average daily net assets.
Citicorp Trust Bank, fsb. ("CTB"), another subsidiary of Citigroup, acts as
the Funds' transfer agent. CTB receives account fees and asset-based fees that
vary according to the size and type of account. For the six months ended June
30, 2004, each Fund paid transfer agent fees of $2,500 to CTB.
For the six months ended June 30, 2004, Citigroup Global Markets Inc.
("CGM"), another indirect wholly-owned subsidiary of Citigroup, did not receive
any brokerage commissions from the Funds.
One Trustee and all officers of the Trust are employees of Citigroup or its
subsidiaries.
3. INVESTMENTS
During the six months ended June 30, 2004, the aggregate cost of purchases
and proceeds from sales of investments (including maturities of long-term
investments, but excluding short-term investments) were as follows:
<Table>
<Caption>
PURCHASES SALES
- -----------------------------------------------------------------------------------------
Convertible Securities Portfolio............................ $ 22,507,163 $10,933,369
MFS Mid Cap Growth Portfolio................................ 100,935,175 97,292,084
Merrill Lynch Large Cap Core Portfolio...................... 79,043,069 81,768,621
- -----------------------------------------------------------------------------------------
</Table>
At June 30, 2004, the aggregate gross unrealized appreciation and
depreciation of investments for Federal income tax purposes were substantially
as follows:
<Table>
<Caption>
NET
UNREALIZED
APPRECIATION DEPRECIATION APPRECIATION
- ----------------------------------------------------------------------------------------------------------
Convertible Securities Portfolio............................ $ 6,552,284 $(1,774,744) $ 4,777,540
MFS Mid Cap Growth Portfolio................................ 40,536,804 (4,277,522) 36,259,282
Merrill Lynch Large Cap Core Portfolio...................... 10,996,388 (2,332,425) 8,663,963
- ----------------------------------------------------------------------------------------------------------
</Table>
4. REPURCHASE AGREEMENTS
When entering into repurchase agreements, it is the Funds' policy that a
custodian takes possession of the underlying collateral securities, the value of
which at least equals the principal amount of the repurchase transaction,
including accrued interest. To the extent that any repurchase transaction
exceeds one business day, the value of the collateral is marked-to-market to
ensure the adequacy of the collateral. If the seller defaults and the value of
the
25
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
collateral declines or if bankruptcy proceedings are commenced with respect to
the seller of the security, realization of the collateral by the Funds may be
delayed or limited.
At June 30, 2004, MMCG did not have any repurchase agreements outstanding.
5. SHARES OF BENEFICIAL INTEREST
The Declaration of Trust authorizes the issuance of an unlimited number of
shares of beneficial interest without par value. Transactions in shares of each
Fund were as follows:
<Table>
<Caption>
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2004 DECEMBER 31, 2003
- ------------------------------------------------------------------------------
CONVERTIBLE SECURITIES PORTFOLIO
Shares sold................................................. 1,542,522 1,960,310
Shares issued on reinvestment............................... 2,178 175,782
Shares reacquired........................................... (167,759) (754,259)
- --------------------------------------------------------------------------------------------------
Net Increase................................................ 1,376,941 1,381,833
- --------------------------------------------------------------------------------------------------
MFS MID CAP GROWTH PORTFOLIO
Shares sold................................................. 1,443,160 3,078,239
Shares reacquired........................................... (1,495,272) (2,635,504)
- --------------------------------------------------------------------------------------------------
Net Increase (Decrease)..................................... (52,112) 442,735
- --------------------------------------------------------------------------------------------------
MERRILL LYNCH LARGE CAP CORE PORTFOLIO
Shares sold................................................. 368,760 347,978
Shares issued on reinvestment............................... 5,169 92,361
Shares reacquired........................................... (841,158) (2,023,282)
- --------------------------------------------------------------------------------------------------
Net Decrease................................................ (467,229) (1,582,943)
- --------------------------------------------------------------------------------------------------
</Table>
6. ADDITIONAL INFORMATION
Citigroup has been notified by the Staff of the Securities and Exchange
Commission ("SEC") that the Staff is considering recommending a civil injunctive
action and/or an administrative proceeding against Citigroup Asset Management
("CAM"), including its applicable investment advisory companies and Citicorp
Trust Bank ("CTB"), an internal transfer agent, relating to the creation and
operation of the internal transfer agent unit to serve certain CAM-managed
funds, including the Funds. This notification arises out of a previously
disclosed investigation by the SEC and the U.S. Attorney and relates to CTB's
entry in 1999 into the transfer agency business, CAM's retention of, and
agreements with an unaffiliated sub transfer agent, the adequacy of the
disclosures made to the fund boards that approved the transfer agency
arrangements, (including CAM's failure to disclose a related revenue guarantee
agreement benefiting CAM and its affiliates), and CAM's operation of and
compensation for the transfer agency business. The revenue guarantee described
above was terminated in 1999 and CAM will be paying the applicable funds,
primarily through fee waivers, a total of approximately $17 million (plus
interest) that is the amount of the revenue received by Citigroup relating to
the revenue guarantee. Citigroup is cooperating fully in the investigation and
will seek to resolve the matter in discussions with the SEC Staff. Although
there can be no assurance, Citigroup does not believe that this matter will have
a material adverse effect on the Funds. On August 12, 2004, CAM paid each Fund
their allocable share of the amount described above through a waiver of their
fees. The amount paid to each Fund is as follows:
<Table>
- ---------------------------------------------------------------------
Convertible Securities Portfolio............................ $ 1,726
MFS Mid Cap Growth Portfolio................................ 1,707
Merrill Lynch Large Cap Core Portfolio...................... 1,726
- ---------------------------------------------------------------------
</Table>
26
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
7. SUBSEQUENT EVENTS
The Board of Trustees of the Trust, on behalf of MMCG, has approved an
amendment to the investment advisory agreement between the MMCG and TAMIC and an
amendment to the sub-advisory agreement between TAMIC and MFS. Effective
September 1, 2004, the investment advisory fee and sub-advisory fee will be
revised from the annual rates of 0.80% and 0.375%, respectively, of the average
daily net assets of MMCG to a fee calculated at the annual rates in accordance
with the following schedule:
<Table>
<Caption>
INVESTMENT SUB-ADVISORY
AVERAGE DAILY NET ASSETS ADVISORY FEE FEE
- --------------------------------------------------------------------------
First $600 million.......................................... 0.800% 0.370%
Next $300 million........................................... 0.775% 0.350%
Next $600 million........................................... 0.750% 0.325%
Next $1 billion............................................. 0.725% 0.300%
Over $2.5 billion........................................... 0.675% 0.250%
- --------------------------------------------------------------------------
</Table>
The Board of Trustees of the Trust, on behalf of MLLCC, has approved an
amendment to the investment advisory agreement between the MLLCC and TAMIC and
an amendment to the sub-advisory agreement between TAMIC and MLIM. Effective
September 1, 2004, the investment advisory fee and sub-advisory fee will be
revised from the annual rates of 0.80% and 0.375%, respectively, of the average
daily net assets of MLLCC to a fee calculated at the annual rates in accordance
with the following schedule:
<Table>
<Caption>
INVESTMENT SUB-ADVISORY
AVERAGE DAILY NET ASSETS ADVISORY FEE FEE
- --------------------------------------------------------------------------
First $250 million.......................................... 0.775% 0.350%
Next $250 million........................................... 0.750% 0.325%
Next $500 million........................................... 0.725% 0.300%
Next $1 billion............................................. 0.700% 0.275%
Over $2 billion............................................. 0.650% 0.225%
- --------------------------------------------------------------------------
</Table>
27
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
For a share of beneficial interest outstanding throughout each year ended
December 31, unless otherwise noted:
<Table>
<Caption>
CONVERTIBLE SECURITIES PORTFOLIO 2004(1) 2003(2) 2002(2) 2001(2) 2000(2) 1999(2)
- --------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD...... $11.87 $ 9.67 $11.32 $12.06 $11.69 $ 9.86
- -------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income(3)(4)............. 0.14 0.39 0.45 0.47 0.58 0.46
Net realized and unrealized gain
(loss)(4)............................ 0.12 2.15 (1.26) (0.56) 0.85 1.38
- -------------------------------------------------------------------------------------------------------------
Total Income (Loss) From Operations....... 0.26 2.54 (0.81) (0.09) 1.43 1.84
- -------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income................... (0.00)* (0.34) (0.77) (0.21) (0.25) --
Net realized gains...................... -- -- (0.07) (0.44) (0.81) (0.01)
- -------------------------------------------------------------------------------------------------------------
Total Distributions....................... (0.00)* (0.34) (0.84) (0.65) (1.06) (0.01)
- -------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD............ $12.13 $11.87 $ 9.67 $11.32 $12.06 $11.69
- -------------------------------------------------------------------------------------------------------------
TOTAL RETURN(5)........................... 2.22%++ 26.26% (6.99)% (0.82)% 12.51% 18.70%
- -------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000'S)......... $94,749 $76,331 $48,821 $50,356 $26,294 $11,238
- -------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses(3)(6).......................... 0.75%+ 0.78% 0.80% 0.79% 0.80% 0.80%
Net investment income(4)................ 2.51+ 3.61 4.36 3.95 4.76 4.33
- -------------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE................... 14% 44% 46% 56% 48% 79%
- -------------------------------------------------------------------------------------------------------------
</Table>
(1) For the six months ended June 30, 2004 (unaudited).
(2) Per share amounts have been calculated using the monthly average shares
method.
(3) The Travelers Insurance Company has agreed to reimburse the Fund for
expenses in the amounts of $6,833, $18,530 and $32,000 for the years ended
December 31, 2002, December 31, 2000 and December 31, 1999, respectively. If
such expenses were not reimbursed, the per share decreases to net investment
income and the actual expense ratios would have been as follows:
<Table>
<Caption>
DECREASES TO NET INVESTMENT EXPENSE RATIOS WITHOUT
INCOME PER SHARE EXPENSE REIMBURSEMENTS
--------------------------- ------------------------
2002 2000 1999 2002 2000 1999
------- ------ ------ ------ ----- -----
$0.00* $0.01 $0.05 0.81% 0.90% 1.23%
</Table>
(4) Effective January 1, 2001, the Fund adopted a change in the accounting
method that requires the Fund to amortize premiums and accrete all
discounts. Without the adoption of this change, for the year ended December
31, 2001, the ratio of net investment income to average net assets would
have been 3.99%. Per share information, ratios and supplemental data for the
periods prior to January 1, 2001 have not been restated to reflect this
change in presentation. In addition, the impact of this change to net
investment income and net realized and unrealized loss was less than $0.01
per share.
(5) Total returns do not reflect expenses associated with your variable contract
such as administrative fees, account charges and surrender charges which, if
reflected, would reduce the total returns for all periods shown. Performance
figures may reflect fee waivers and/or expense reimbursements. Past
performance is no guarantee of future results. In the absence of fee waivers
and/or expense reimbursements, the total return would be reduced.
(6) As a result of a voluntary expense limitation, the ratio of expenses to
average net assets will not exceed 0.80%.
* Amount represents less than $0.01 per share.
++ Total return is not annualized, as it may not be representative of the
total return for the year.
+ Annualized.
28
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (CONTINUED)
For a share of beneficial interest outstanding throughout each year ended
December 31, unless otherwise noted:
<Table>
<Caption>
MFS MID CAP GROWTH PORTFOLIO 2004(1) 2003 2002(2) 2001(2) 2000(2) 1999(2)
- ---------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF
PERIOD............................ $6.88 $5.02 $9.81 $16.75 $16.43 $10.05
- -------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment loss(3)............ (0.03) (0.03) (0.04) (0.06) (0.05) (0.04)
Net realized and unrealized gain
(loss)......................... 0.58 1.89 (4.75) (3.90) 1.69 6.46
- -------------------------------------------------------------------------------------------------------
Total Income (Loss) From
Operations........................ 0.55 1.86 (4.79) (3.96) 1.64 6.42
- -------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net realized gains................ -- -- -- (2.98) (1.32) (0.04)
- -------------------------------------------------------------------------------------------------------
Total Distributions................. -- -- -- (2.98) (1.32) (0.04)
- -------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD...... $7.43 $6.88 $5.02 $ 9.81 $16.75 $16.43
- -------------------------------------------------------------------------------------------------------
TOTAL RETURN(4)..................... 7.99%++ 37.05% (48.83)% (23.62)% 9.29% 64.17%
- -------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000'S)... $207,630 $192,608 $138,221 $278,504 $314,150 $94,124
- -------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses(3)(5).................... 0.93%+ 0.92% 0.93% 0.92% 0.90% 1.00%
Net investment loss............... (0.69)+ (0.49) (0.56) (0.49) (0.30) (0.33)
- -------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE............. 49% 98% 167% 96% 143% 162%
- -------------------------------------------------------------------------------------------------------
</Table>
(1) For the six months ended June 30, 2004 (unaudited).
(2) Per share amounts have been calculated using the monthly average shares
method.
(3) The Travelers Insurance Company has agreed to reimburse the Fund for
expenses in the amount of $27,304 for the year ended December 31, 1999. If
such expenses were not reimbursed, the per share increase to net investment
loss and the actual expense ratio would have been $0.01 and 1.07%,
respectively.
(4) Total returns do not reflect expenses associated with your variable contract
such as administrative fees, account charges and surrender charges which, if
reflected, would reduce the total returns for all periods shown. Performance
figures may reflect fee waivers and/or expense reimbursements. Past
performance is no guarantee of future results. In the absence of fee waivers
and/or expense reimbursements, the total return would be reduced.
(5) As a result of a voluntary expense limitation, the ratio of expenses to
average net assets will not exceed 1.00%.
++ Total return is not annualized, as it may not be representative of the
total return for the year.
+ Annualized.
29
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (CONTINUED)
For a share of beneficial interest outstanding throughout each year ended
December 31, unless otherwise noted:
<Table>
<Caption>
MERRILL LYNCH LARGE CAP
CORE PORTFOLIO 2004(1) 2003 2002(2) 2001(2) 2000(2) 1999(2)
- -------------------------------------------------------------------------------------------------------
NET ASSET VALUE,
BEGINNING OF PERIOD............ $7.85 $6.52 $8.77 $12.15 $13.06 $10.56
- -------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income (loss)... 0.01 0.05 0.03 0.01 (0.01) 0.00*
Net realized and unrealized
gain (loss)................. 0.43 1.33 (2.23) (2.74) (0.70) 2.50
- -------------------------------------------------------------------------------------------------------
Total Income (Loss) From
Operations..................... 0.44 1.38 (2.20) (2.73) (0.71) 2.50
- -------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income.......... (0.00)* (0.05) (0.05) (0.00)* -- --
Net realized gains............. -- -- -- (0.65) (0.20) --
- -------------------------------------------------------------------------------------------------------
Total Distributions.............. (0.00)* (0.05) (0.05) (0.65) (0.20) --
- -------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD... $8.29 $7.85 $6.52 $ 8.77 $12.15 $13.06
- -------------------------------------------------------------------------------------------------------
TOTAL RETURN(3).................. 5.64%++ 21.16% (25.14)% (22.45)% (5.58)% 23.67%
- -------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD
(000'S)........................ $117,786 $115,200 $106,010 $165,928 $222,953 $152,073
- -------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses(4).................... 0.95%+ 0.99% 0.94% 0.92% 0.94% 0.99%
Net investment income (loss)... 0.21+ 0.67 0.44 0.10 (0.07) 0.02
- -------------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE.......... 68% 182% 104% 98% 86% 85%
- -------------------------------------------------------------------------------------------------------
</Table>
(1) For the six months ended June 30, 2004 (unaudited).
(2) Per share amounts have been calculated using the monthly average shares
method.
(3) Total returns do not reflect expenses associated with your variable contract
such as administrative fees, account charges and surrender charges which, if
reflected, would reduce the total returns for all periods shown. 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 1.00%.
* Amount represents less than $0.01 per share.
++ Total return is not annualized, as it may not be representative of the
total return for the year.
+ Annualized.
30
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THE TRAVELERS SERIES TRUST
- --------------------------------------------------------------------------------
<Table>
TRUSTEES INVESTMENT ADVISER
R. Jay Gerken, CFA
Chairman Travelers Asset Management International Company LLC
Frances M. Hawk, CFA, CFP
Lewis Mandell ADMINISTRATOR
Robert E. McGill, III
The Travelers Insurance Company
OFFICERS
CUSTODIAN
R. Jay Gerken, CFA
President and State Street Bank and Trust Company
Chief Executive Officer
TRANSFER AGENT
Andrew B. Shoup
Senior Vice President and Citicorp Trust Bank, fsb.
Chief Administrative Officer
William D. Wilcox(*)
Chief Compliance Officer
Andrew Beagley
Chief Anti-Money Laundering
Compliance Officer
Kaprel Ozsolak
Controller
Kathleen A. McGah
Secretary
Ernest J. Wright
Assistant Secretary
- ---------------
* As of July 23, 2004.
</Table>
The Funds are separate investment funds of The Travelers Series Trust, a
Massachusetts business trust.
This report is prepared for the general information of variable annuity or life
contract owners and is not an offer of shares of The Travelers Series Trust:
Convertible Securities Portfolio, MFS Mid Cap Growth Portfolio, and Merrill
Lynch Large Cap Core Portfolio.
Beginning August 31, 2004, information on how the Fund voted proxies relating to
portfolio securities during the 12 month period ended June 30, 2004 will be
available (1) without charge, upon request, by calling 1-800-842-9368 and (2) on
the SEC's website at www.sec.gov.
A description of the policies and procedures that the Funds use to determine how
to vote proxies relating to portfolio securities is available without charge,
upon request, by telephoning the Fund (toll-free) at 1-800-842-9368 and by
visiting the SEC's website at www.sec.gov.
Series Trust (Semi) (8-04) Printed in U.S.A.
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. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Not applicable.
ITEM 10. 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-
3(c) under the Investment Company Act of 1940, as amended (the
"1940 Act")) are effective as of a date within 90 days of the
filing date of this report that includes the disclosure
required by this paragraph, based on their evaluation of the
disclosure controls and procedures required by Rule 30a-3(b)
under the 1940 Act and 15d-15(b) under the Securities Exchange
Act of 1934.
(b) There were no changes in the registrant's internal control
over financial reporting (as defined in Rule 30a-3(d) under
the 1940 Act) that occurred during the registrant's last
fiscal half-year (the registrant's second fiscal half-year in
the case of an annual report) that have materially affected,
or are likely to materially affect the registrant's internal
control over financial reporting.
ITEM 11. 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: September 9, 2004
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: September 9, 2004
By: /s/ Andrew B. Shoup
Andrew B. Shoup
Chief Administrative Officer of
The Travelers Series Trust
Date: September 9, 2004