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 811-8372
Travelers Series Fund Inc.
(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: October 31
Date of reporting period: October 31, 2003
ITEM 1. REPORT TO STOCKHOLDERS.
The Annual Report to Stockholders is filed herewith.
TRAVELERS SERIES FUND INC.
SMITH BARNEY
INTERNATIONAL ALL CAP
GROWTH PORTFOLIO
SALOMON BROTHERS
STRATEGIC TOTAL RETURN
BOND PORTFOLIO
SB ADJUSTABLE RATE
INCOME PORTFOLIO
ANNUAL REPORT | OCTOBER 31, 2003
NOT FDIC INSURED . NOT BANK GUARANTEED . MAY LOSE VALUE
WHAT'S INSIDE
Letter from the Chairman.................................. 1
Manager Overview:
Smith Barney International All Cap Growth Portfolio.... 3
Salomon Brothers Strategic Total Return Bond Portfolio. 5
SB Adjustable Rate Income Portfolio.................... 8
Fund Performance:
Smith Barney International All Cap Growth Portfolio.... 9
Salomon Brothers Strategic Total Return Bond Portfolio. 11
SB Adjustable Rate Income Portfolio.................... 13
Schedules of Investments.................................. 14
Statements of Assets and Liabilities...................... 30
Statements of Operations.................................. 31
Statements of Changes in Net Assets....................... 32
Notes to Financial Statements............................. 35
Financial Highlights...................................... 46
Tax Information........................................... 48
Independent Auditors' Report.............................. 49
Additional Information.................................... 50
LETTER FROM THE CHAIRMAN
[PHOTO]
R. Jay Gerken
R. JAY GERKEN, CFA
Chairman, President and Chief Executive Officer
Dear Shareholder,
I am pleased to announce Smith Barney International All Cap Growth Portfolio
and Salomon Brothers Strategic Total Return Bond Portfolio, both enjoyed strong
absolute returns during their fiscal years ended October 31, 2003. Furthermore,
I am gratified to report that we added another investment option, the SB
Adjustable Rate Income Portfolio on September 12, 2003. We are particularly
excited about this new addition, because it has enabled us to tap the expertise
of its managers, David A. Torchia and Theresa M. Veres, who together have more
than 31 years of industry experience. The fund seeks to provide high current
income and to limit the degree of fluctuation of its net asset value, resulting
from movements in interest rates.
For a more detailed overview of your fund, please read the accompanying letter
from your funds' managers. As always, thank you for your continued confidence
in our stewardship of your assets.
Sincerely,
/s/ R Jay Gerken
R. Jay Gerken, CFA
Chairman, President and Chief Executive Officer
November 19, 2003
1 Travelers Series Fund Inc. | 2003 Annual Report
PERFORMANCE OF THE FUNDS AS OF OCTOBER 31, 2003/1/
6 Months 12 Months
Smith Barney International All Cap
Growth Portfolio 18.52% 19.45%
MSCI EAFE Index/2/ 24.77% 27.03%
Average of Lipper variable international
funds/3/ 24.18% 25.54%
Salomon Brothers Strategic Total Return
Bond Portfolio 3.16% 15.10%
J.P. Morgan Global Government
Bond Index -- Unhedged/4/ 4.03% 13.84%
Average of Lipper variable global
income funds/5/ 3.70% 14.77%
SB Adjustable Rate Income Portfolio 0.10%/6/ N/A
/1/The performance returns set forth above do not reflect the reduction of
initial charges and expenses imposed in connection with investing in
variable annuity contracts such as administrative fees, account charges and
surrender charges, which if reflected, would reduce the performance of the
funds. Past performance is not indicative of future results.
/2/The MSCI EAFE Index is an unmanaged index of common stocks of companies
located in Europe, Australasia and the Far East. Please note that an
investor cannot invest directly in an index.
/3/Lipper Inc. is a major independent mutual-fund tracking organization.
Returns are based on the period ended October 31, 2003, calculated among 196
funds for the six-month period and 192 funds for the 12-month period, in the
fund's Lipper peer group including the reinvestment of dividends and capital
gains.
/4/The J.P. Morgan Global Government Bond Index -- Unhedged is a daily, market
capitalization-weighted, international fixed-income index consisting of 13
countries. Please note that an investor cannot invest directly in an index.
/5/Returns are based on the period ended October 31, 2003, calculated among 29
funds for both the six- and 12-month periods, in the fund's Lipper peer
group including the reinvestment of dividends and capital gains.
/6/The SB Adjustable Rate Income Portfolio was in existence for less than six
months as of October 31, 2003. Performance shown is for the period from the
fund's inception date on 9/12/03 to 10/31/03.
2 Travelers Series Fund Inc. | 2003 Annual Report
MANAGER OVERVIEW
Smith Barney International All Cap Growth Portfolio
Performance Update
For the 12 months ended October 31, 2003, the fund returned 19.45%. In
comparison, the fund underperformed the MSCI EAFE Index,/i/ its unmanaged
benchmark, which returned 27.03%. The fund's Lipper peer group of variable
international funds had an average return of 25.54% for the same period./7/
A Year of Economic and Market Recovery
In the past year, a massive government stimulus in the form of low interest
rates and deficit spending, combined with corporate actions and market reforms
to overcome a litany of negative factors for international stocks. Although
evidence of economic recovery was scant early in 2003, it later became quite
clear that a recovery was emerging. Strong economic growth in the U.S. was
reasserted, European indicators turned up and Japan reported several quarters
of expansion. China, a big consumer of raw materials and other goods, continued
to demonstrate exceptional economic vitality. In this positive economic
environment, international markets recovered from the deeply oversold
conditions resulting from two years of steep losses.
Fund Had Positive Returns, But Lagged Its Benchmark and Lipper Peer Group
Although the fund earned healthy returns in this environment, it underperformed
its benchmark. This underperformance, which was consistent with the targeted
quantitative risk controls described in last year's shareholder letter, was due
to several factors. First, the fund had different currency exposure than that
of its benchmark. In a year, when the Australian dollar soared against the U.S.
dollar, for example, the fund was underweighted in Australian assets versus the
benchmark.
In addition, the fund was underweighted in Japanese stocks, which generally
began a sharp rally in late April 2003, after performing poorly for a decade.
/7/Lipper Inc. is a major independent mutual-fund tracking organization.
Returns are based on the 12-month period ended October 31, 2003, calculated
among 192 funds in the fund's Lipper peer group including the reinvestment
of dividends and capital gains.
3 Travelers Series Fund Inc. | 2003 Annual Report
The fund was also underweighted in the resource-rich Australian market. Less
rewarding were the fund's positions in economies with lower cyclicality, such
as the U.K. and Ireland -- which also appreciated, but not as dramatically.
Unusual asset flows during the period may have been caused by market timing and
may have negatively affected the fund's performance.
Finally, we entered the market rally with an excessively defensive position.
The stocks with stable revenue growth and strong balance sheets that we
emphasized were relative underperformers during the fiscal year. Outperformers
included stocks of companies with financially stressed balance sheets that
raised equity capital, as well as companies with strong operating leverage from
relatively low earnings and profitability levels. The fund also owned
securities that underperformed due to operating difficulties, such as Tomra
Systems ASA in Norway and Sony Corp. in Japan./8/ The composition of the fund
shifted over the past year, due primarily to increased weightings in Japan.
Underperformance versus the fund's Lipper peer group, which includes both
growth- and value-oriented international funds, resulted from the fund's focus
on growth stocks. During the reporting period, international growth stocks
generally underperformed the international value sector.
As always, thank you for entrusting your assets to us. We look forward to
helping you continue to meet your financial goals.
Sincerely,
/s/ Jeffrey J. Russell
Jeffrey J. Russell
Portfolio Manager
November 21, 2003
/8/The portfolio's holdings during the 12 months ended October 31, 2003
included securities (in some cases multiple securities) issued by Tomra
Systems ASA and Sony Corp. On October 31, 2003 the securities of these
issuers, including those of the parent company and/or affiliate or
subsidiaries, held by the fund on an aggregate basis constituted 1.36% and
0% of the fund's holdings, respectively. Percentages are in relation to the
value of the fund's net assets. Portfolio holdings are subject to change.
4 Travelers Series Fund Inc. | 2003 Annual Report
MANAGER OVERVIEW
Salomon Brothers Strategic Total Return Bond Portfolio
Performance Update
For the 12 months ended October 31, 2003, the fund returned 15.10%. In
comparison, the fund outperformed its benchmark, the unmanaged J.P. Morgan
Global Government Bond Index - Unhedged,/ii/ which returned 13.84% for the same
period. The fund also outperformed its Lipper peer group of variable global
income funds, which had an average return of 14.77% for the same period./9/
Market Review
Investment-Grade Market
Early in the period in the wake of a sputtering U.S. economy, the conflict with
Iraq, and more pronounced concerns about North Korea's nuclear program, U.S.
Treasuries fluctuated but performed relatively well as investors in search of
safer-haven investments turned to U.S. government securities. In May, Treasury
bond prices rose significantly in anticipation that the Fed would lower its
target for short-term rates to create a more accommodative borrowing
environment (as prices of bonds move opposite to interest rates and yields).
The Fed proceeded to lower its interest rate targets in June to their lowest
levels since the Eisenhower Administration. Given the combination of rate cuts
and a significant tax-cut package passed by lawmakers this year, it seemed that
the U.S. government was going to throw "everything but the kitchen sink" at the
economy in an attempt to revive its growth.
Shortly after the Fed's rate reduction, U.S. Treasury bonds sold off. Treasury
prices spiraled lower in July, due to stronger-than-expected economic data,
which generated interest rate concerns. For example, yields on the two-year
U.S. Treasury note edged higher from July through August, as estimates of Gross
Domestic Product ("GDP")/iii/ growth soared. The decline was exacerbated, due
to selling from investors holding mortgage-backed securities ("MBS") in their
portfolios. (Many investors who had previously bought U.S. Treasuries, when
long-term yields were dropping to help hedge their portfolios'
/9/Lipper Inc. is a major independent mutual-fund tracking organization.
Returns are based on the 12-month period ended October 31, 2003, calculated
among 29 funds in the fund's Lipper peer group including the reinvestment of
dividends and capital gains.
5 Travelers Series Fund Inc. | 2003 Annual Report
exposure to MBS reversed course as yields rose in July, by selling Treasuries
to help lower the duration/iv/ of their portfolios to better preserve the value
of their portfolios against a further rise in long-term rates.)
Although U.S. Treasury bonds fluctuated significantly in July, the prices of
MBS held up considerably better that month.
Prices of U.S. Treasuries bounced back in September, as investors questioned
the strength of 2004 economic growth, but rate concerns resurfaced after the
Commerce Department released preliminary third-quarter economic data, stating
that the economy grew at its fastest pace in almost 20 years. However, selling
in the U.S. Treasury markets was more contained than in July.
Domestic market participants have recently continued to debate the
sustainability of economic growth into 2004, with particular attention fixed on
the employment situation, which has remained rather tepid. The Fed has recently
held interest rates steady, although investor interpretation of just what the
Fed means by being on hold for "a considerable period" of time proved to be
fickle. Looking back, the residential MBS market has been a focus of market
attention this past year.
U.S. High Yield Market
The U.S. high yield market rallied over the period amid declining default rates
and relatively favorable yields available through high-yield bonds in the low
interest rate environment. Although U.S. high-yield bond market lost ground
during the summer when U.S. Treasury bonds sold off, it subsequently bounced
back in September amid the rebound in U.S. Treasuries and return of positive
mutual fund inflows. During the final quarter of the period, the market also
made headway due to stronger-than-expected third-quarter economic results and
corporate earnings data that was in line with expectations. As of the end of
October, high-yield issues, (as measured by the Citigroup High-Yield Market
Index/v/) generally had generated stellar returns, with issues rated CCC having
performed particularly well.
Emerging Markets
The rally in the sovereign debt markets that began last year continued into
2003, despite concerns regarding the military conflict in Iraq, several
high-profile elections in some emerging market countries and high volatility in
global equity markets. However, the rally was temporarily halted in the middle
of June, due to a significant sell-off in the U.S. Treasury market. As a result
of the weakness
6 Travelers Series Fund Inc. | 2003 Annual Report
in the U.S. Treasury market in July, emerging markets debt posted negative
monthly returns for the first time in 10 months.
Despite the volatility, emerging market country performance for the 12 months
as a whole was solid. Developments in Latin America, namely presidential
elections in Brazil and Ecuador, drove the overall market's performance as
investors welcomed ambitious new political and economic reform programs. The
markets were also helped by signs of economic growth in the U.S. as well as by
stable oil prices, which are important drivers of revenues for many emerging
market economies.
Factors Influencing Fund Performance
We strategically allocated assets to investment-grade, high-yield and emerging
market debt securities within the portfolio. During the period, we increased
the fund's exposure to high-yield and emerging market debt securities, as part
of our active sector-allocation investment process. As noted earlier, the fund
outperformed its benchmark and the average return of its Lipper peers during
the 12-month period. Its allocation among high-yield and emerging markets debt
securities, favorably contributed to the fund's performance.
Thank you for your investment in the Salomon Brothers Strategic Total Return
Bond Portfolio. We appreciate that you have entrusted us to manage your money
and we value our relationship with you.
Sincerely,
/s/ Peter J. Wilby /s/ Beth A. Semmel
Peter J. Wilby, CFA Beth A. Semmel, CFA
Portfolio Manager Portfolio Manager
November 21, 2003
7 Travelers Series Fund Inc. | 2003 Annual Report
MANAGER OVERVIEW
SB Adjustable Rate Income Portfolio
The fund's inception date was September 12, 2003. As of October 31, 2003, the
fund did not have an operating history to generate the management discussion of
fund performance that other funds give in this section of the annual
shareholder report. However, you can review the fund's performance since
inception in the pages that follow in this report.
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.
Portfolio holdings and breakdowns are as of October 31, 2003 and are subject to
change. Please refer to pages 14 through 29 for a list and percentage breakdown
of the funds' holdings.
/i/The MSCI EAFE Index is an unmanaged index of common stocks of companies
located in Europe, Australasia and the Far East. Please note that an
investor cannot invest directly in an index.
/ii/The J.P. Morgan Global Government Bond Index -- Unhedged is a daily, market
capitalization-weighted, international fixed-income index consisting of 13
countries. Please note that an investor cannot invest directly in an index.
/iii/Gross Domestic Product is a market value of goods and services produced by
labor and property in a given country.
/iv/Duration is a common gauge of the price sensitivity of a fixed-income asset
or portfolio to a change in interest rates.
/v/The Citigroup High-Yield Market Index is a broad-based unmanaged index of
high yield securities. Please note that an investor cannot invest directly
in an index.
Additional Information About Your Fund
The Funds' Manager and some of its affiliates have received requests for
information from various government regulators regarding market timing, late
trading, fees and other mutual fund issues in connection with various
investigations. The Manager and its affiliates are responding to those
information requests, but are not in a position to predict the outcome of these
requests and investigations.
8 Travelers Series Fund Inc. | 2003 Annual Report
SMITH BARNEY INTERNATIONAL ALL CAP GROWTH PORTFOLIO
AVERAGE ANNUAL TOTAL RETURNS+ (UNAUDITED)
Twelve Months Ended 10/31/03 19.45%
- -------------------------------------------------------------------------
Five Years Ended 10/31/03 (3.29)
- -------------------------------------------------------------------------
6/16/94* through 10/31/03 0.71
- -------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN+ (UNAUDITED)
6/16/94* through 10/31/03 6.82%
- -------------------------------
+ Assumes the reinvestment of all dividends and capital gains distributions.
Total returns do not reflect expenses associated with the separate account
such as administrative fees, account charges and surrender charges which, if
reflected, would reduce the total returns for all periods shown.
* Commencement of operations.
9 Travelers Series Fund Inc. | 2003 Annual Report
HISTORICAL PERFORMANCE (UNAUDITED)
Value of $10,000 Invested in Shares of the
Smith Barney International All Cap Growth Portfolio vs.
MSCI EAFE Index+
- --------------------------------------------------------------------------------
June 1994 -- October 2003
[CHART]
Smith Barney
International
All Cap Growth MSCI EAFE
Portfolio Index
--------- ------
6/16/1994 $10,000 $10,000
10/1994 10,550 10,443
10/1995 10,480 10,436
10/1996 12,194 11,563
10/1997 13,259 12,133
10/1998 12,628 13,340
10/1999 17,013 16,413
10/2000 18,745 15,956
10/2001 11,316 11,966
10/2002 8,943 10,385
10/31/2003 10,682 13,192
+Hypothetical illustration of $10,000 invested in shares of the Smith Barney
International All Cap Growth Portfolio on June 16, 1994 (commencement of
operations), assuming reinvestment of dividends and capital gains, if any, at
net asset value through October 31, 2003. The Morgan Stanley Capital
International Europe, Australasia and the Far East Index ("MSCI EAFE Index")
is an unmanaged index of common stocks of companies located in Europe,
Australasia and the Far East. The MSCI EAFE Index is weighted based on each
company's market capitalization. The index is unmanaged and is not subject to
the same management and trading expenses of a mutual fund. Please note that an
investor cannot invest directly in an index.
All figures represent past performance and are not a guarantee of future
results. The performance data represents past performance including the
investment return and principal value of an investment, which will fluctuate
so that an investor's shares, when redeemed, may be worth more or less than
their original cost. The graph does not reflect expenses associated with the
separate account such as administrative fees, account charges and surrender
charges which, if reflected, would reduce the total returns for all periods
shown.
10 Travelers Series Fund Inc. | 2003 Annual Report
SALOMON BROTHERS STRATEGIC TOTAL RETURN BOND PORTFOLIO
AVERAGE ANNUAL TOTAL RETURNS+ (UNAUDITED)
Twelve Months Ended 10/31/03 15.10%
- -------------------------------------------------------------------------------
Five Years Ended 10/31/03 6.41
- -------------------------------------------------------------------------------
6/16/94* through 10/31/03 7.09
- -------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN+ (UNAUDITED)
6/16/94* through 10/31/03 90.04%
- -------------------------------------------------------------------------------
+ Assumes the reinvestment of all dividends and capital gains distributions.
Total returns do not reflect expenses associated with the separate account
such as administrative fees, account charges and surrender charges which, if
reflected, would reduce the total returns for all periods shown.
* Commencement of operations.
11 Travelers Series Fund Inc. | 2003 Annual Report
HISTORICAL PERFORMANCE (UNAUDITED)
Value of $10,000 Invested in Shares of the
Salomon Brothers Strategic Total Return Bond Portfolio vs.
J.P. Morgan Global Government Bond Index -- Unhedged+
- --------------------------------------------------------------------------------
June 1994 -- October 2003
[CHART]
Salomon Brothers J.P. Morgan
Strategic Total Return Global Government
Bond Portfolio Bond Index -- Unhedged
------------------------ ----------------------
6/16/1994 $10,000 $10,000
10/1994 9,950 10,391
10/1995 10,882 11,985
10/1996 13,066 12,716
10/1997 14,284 13,161
10/1998 13,927 14,869
10/1999 13,793 14,429
10/2000 14,392 13,759
10/2001 15,974 14,413
10/2002 16,511 14,920
10/31/2003 19,004 16,985
+Hypothetical illustration of $10,000 invested in shares of the Salomon
Brothers Strategic Total Return Bond Portfolio on June 16, 1994 (commencement
of operations), assuming reinvestment of dividends and capital gains, if any,
at net asset value through October 31, 2003. The J.P. Morgan Global Government
Bond Index -- Unhedged is a daily, market capitalization weighted
international fixed-income index consisting of 13 countries. The Index is
unmanaged and is not subject to the same management and trading expenses of a
mutual fund. Please note that an investor cannot invest directly in an index.
All figures represent past performance and are not a guarantee of future
results. The performance data represents past performance including the
investment return and principal value of an investment, which will fluctuate
so that an investor's shares, when redeemed, may be worth more or less than
their original cost. The graph does not reflect expenses associated with the
separate account such as administrative fees, account charges and surrender
charges which, if reflected, would reduce the total returns for all periods
shown.
12 Travelers Series Fund Inc. | 2003 Annual Report
SB ADJUSTABLE RATE INCOME PORTFOLIO
AVERAGE ANNUAL TOTAL RETURN+ (UNAUDITED)
9/12/03* through 10/31/03++ 0.10%
- ------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN+ (UNAUDITED)
9/12/03* through 10/31/03 0.10%
- -------------------------------
+ Assumes the reinvestment of all dividends and capital gains distributions.
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.
Total returns do not reflect expenses associated with the separate account
such as administrative fees, account charges and surrender charges which, if
reflected, would reduce the total returns for all periods shown.
++ Total return is not annualized, as it may not be representative of the total
return for the year.
* Commencement of operations.
13 Travelers Series Fund Inc. | 2003 Annual Report
SCHEDULES OF INVESTMENTS OCTOBER 31, 2003
SMITH BARNEY INTERNATIONAL ALL CAP GROWTH PORTFOLIO
SHARES SECURITY VALUE
- -----------------------------------------------------
STOCKS -- 98.4%
Australia -- 2.8%
122,500 Macquarie Bank Ltd.+ $ 3,022,314
225,287 The News Corp. Ltd. 2,002,189
- -----------------------------------------------------
5,024,503
- -----------------------------------------------------
Canada -- 1.1%
84,000 Celestica Inc.* 1,190,902
86,000 Patheon, Inc.* 831,312
- -----------------------------------------------------
2,022,214
- -----------------------------------------------------
Denmark -- 1.0%
49,200 Novo Nordisk A/S, Class B Shares 1,767,573
- -----------------------------------------------------
Finland -- 2.6%
279,000 Nokia Oyj 4,734,299
- -----------------------------------------------------
France -- 4.8%
200,000 Axa 3,785,024
17,000 Groupe Danone+ 2,561,974
15,000 Total Fina Elf SA 2,328,487
- -----------------------------------------------------
8,675,485
- -----------------------------------------------------
Germany -- 4.5%
55,600 Altana AG 3,499,494
31,000 BASF AG+ 1,420,267
23,000 SAP AG 3,342,026
- -----------------------------------------------------
8,261,787
- -----------------------------------------------------
Hong Kong -- 4.2%
94,965 HSBC Holdings PLC+ 1,430,343
468,000 Hutchison Whampoa Ltd. 3,614,830
837,000 Johnson Electric Holdings Ltd. 1,082,885
930,000 Li & Fung Ltd. 1,562,371
- -----------------------------------------------------
7,690,429
- -----------------------------------------------------
Ireland -- 5.1%
144,000 Bank of Ireland 1,772,227
188,000 CRH PLC 3,376,753
650,000 Grafton Group PLC* 4,037,553
- -----------------------------------------------------
9,186,533
- -----------------------------------------------------
Italy -- 0.9%
220,000 Saipem S.p.A. 1,598,999
- -----------------------------------------------------
Japan -- 18.6%
185,000 Ajinomoto Co., Inc. 1,864,953
87,000 CANON INC. 4,203,433
See Notes to Financial Statements.
14 Travelers Series Fund Inc. | 2003 Annual Report
SCHEDULES OF INVESTMENTS (CONTINUED) OCTOBER 31, 2003
SMITH BARNEY INTERNATIONAL ALL CAP GROWTH PORTFOLIO
SHARES SECURITY VALUE
- ---------------------------------------------------------------
Japan -- 18.6% (continued)
10,000 DaiichiKosho Co., Ltd. $ 531,287
470 Dentsu Inc. 2,112,887
201,000 Dowa Mining Co., Ltd. 1,084,316
50,000 Honda Motor Co., Ltd. 1,970,756
37,000 Hoya Corp. 3,343,475
65,000 Ito-Yokado Co., Ltd. 2,384,888
24,000 Mabuchi Motor Co., Ltd. 1,826,537
335 Mitsubishi Tokyo Financial Group, Inc. 2,403,505
179,000 Nomura Holdings, Inc. 3,069,222
1,305 NTT DoCoMo, Inc. 2,820,725
13,500 Rohm Co. Ltd. 1,817,001
39,000 Seven-Eleven Japan Co., Ltd.+ 1,232,586
90,000 Terumo Corp. 1,708,292
21,000 Tokyo Electron Ltd. 1,502,861
- ---------------------------------------------------------------
33,876,724
- ---------------------------------------------------------------
Mexico -- 1.9%
1,302,000 Wal-Mart De Mexico S.A. de C.V. 3,390,380
- ---------------------------------------------------------------
The Netherlands -- 3.5%
59,000 Heineken NV 2,103,011
42,000 ING Groep N.V. 870,927
150,000 Reed Elsevier NV 1,668,430
38,000 Royal Dutch Petroleum Co. 1,684,057
- ---------------------------------------------------------------
6,326,425
- ---------------------------------------------------------------
Norway -- 1.3%
426,000 Tomra Systems ASA 2,447,446
- ---------------------------------------------------------------
Singapore -- 5.9%
256,000 DBS Group Holdings, Ltd. 2,104,089
270,000 Singapore Airlines Ltd. 1,877,748
150,000 Singapore Press Holdings, Ltd. 1,698,422
1,860,000 Singapore Technologies Engineering, Ltd. 2,063,281
279,000 Venture Corp. Ltd. 3,030,779
- ---------------------------------------------------------------
10,774,319
- ---------------------------------------------------------------
Spain -- 4.3%
724 Antena 3 Television, S.A.* 24,165
163,000 Banco Bilbao Vizcaya Argentaria S.A.+ 1,867,910
290,000 Indra Sistemas, S.A. 3,259,301
214,000 Telefonica S.A. 2,658,573
- ---------------------------------------------------------------
7,809,949
- ---------------------------------------------------------------
Sweden -- 2.1%
77,000 Atlas Copco AB 2,703,070
600,000 Telefonaktiebolaget LM Ericsson+* 1,030,082
- ---------------------------------------------------------------
3,733,152
- ---------------------------------------------------------------
See Notes to Financial Statements.
15 Travelers Series Fund Inc. | 2003 Annual Report
SCHEDULES OF INVESTMENTS (CONTINUED) OCTOBER 31, 2003
SMITH BARNEY INTERNATIONAL ALL CAP GROWTH PORTFOLIO
SHARES SECURITY VALUE
- ----------------------------------------------------------------------------------------------
Switzerland -- 9.2%
82,000 Credit Suisse Group $ 2,884,453
130,000 Mettler-Toledo International Inc.* 4,984,200
8,650 Nestle S.A. 1,901,312
46,000 Novartis AG 1,750,514
21,000 Roche Holdings AG 1,734,888
57,000 UBS AG 3,494,449
- ----------------------------------------------------------------------------------------------
16,749,816
- ----------------------------------------------------------------------------------------------
United Kingdom -- 24.6%
180,000 BOC Group PLC 2,452,852
372,000 BP PLC 2,580,354
837,000 Capita Group PLC 3,509,739
605,000 Compass Group PLC 3,486,004
207,000 Diageo PLC 2,432,857
93,000 GlaxoSmithKline PLC 1,990,469
127,000 HBOS PLC 1,476,469
236,000 Irish Continental Group PLC 2,767,480
350,000 Kingfisher PLC 1,676,871
81,000 Man Group PLC 1,990,520
186,000 Misys PLC 946,340
100,000 Rio Tinto Ltd. 2,423,513
1,720,000 Serco Group PLC 5,177,736
615,418 Tesco PLC 2,465,784
3,595,000 Vodafone Group PLC 7,544,964
200,000 WPP Group PLC 1,904,552
- ----------------------------------------------------------------------------------------------
44,826,504
- ----------------------------------------------------------------------------------------------
TOTAL STOCKS
(Cost -- $163,164,132) 178,896,537
- ----------------------------------------------------------------------------------------------
FACE
AMOUNT SECURITY VALUE
- ----------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 1.6%
$2,997,000 Merrill Lynch & Co., Inc., 0.990% due 11/3/03; Proceeds at maturity --
$2,997,247; (Fully collateralized by U.S. Treasury Inflation Indexed
Notes and Bonds, 1.875% to 3.625% due 7/15/12 to 4/15/28; Market
value -- $3,056,959) (Cost -- $2,997,000) 2,997,000
- ----------------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0%
(Cost -- $166,161,132**) $181,893,537
- ---------- ---------------------------------------------------------------------- ------------
+ All or a portion of this security is on loan (See Note 7).
* Non-income producing security.
** Aggregate cost for Federal income tax purposes is $166,175,917.
See Notes to Financial Statements.
16 Travelers Series Fund Inc. | 2003 Annual Report
LOANED SECURITIES COLLATERAL OCTOBER 31, 2003
SMITH BARNEY INTERNATIONAL ALL CAP GROWTH PORTFOLIO
FACE
AMOUNT SECURITY VALUE
- -------------------------------------------------------------------------------------
$6,261,521 State Street Navigator Securities Lending Trust Prime Portfolio
(Cost -- $6,261,521) $6,261,521
- -------------------------------------------------------------------------------------
See Notes to Financial Statements.
17 Travelers Series Fund Inc. | 2003 Annual Report
SCHEDULES OF INVESTMENTS (CONTINUED) OCTOBER 31, 2003
SALOMON BROTHERS STRATEGIC TOTAL RETURN BOND PORTFOLIO
FACE
AMOUNT+ SECURITY VALUE
- -------------------------------------------------------------------------------------------------
BONDS AND NOTES -- 75.7%
Australia -- 0.2%
65,000 WMC Finance USA, Ltd., Notes, 5.125% due 5/15/13 $ 63,582
- -------------------------------------------------------------------------------------------------
The Bahamas -- 0.1%
25,000 Sun International Hotels Ltd., Sr. Sub. Notes,
8.875% due 8/15/11 27,406
- -------------------------------------------------------------------------------------------------
Brazil -- 2.7%
Republic of Brazil:
Bonds:
424,836 8.000% due 4/15/14 (a) 397,887
75,000 12.250% due 3/6/30 (a) 81,937
Notes:
25,000 11.250% due 7/26/07 (a) 27,781
90,000 11.500% due 3/12/08 (a) 100,350
125,000 12.000% due 4/15/10 (a) 141,500
- -------------------------------------------------------------------------------------------------
749,455
- -------------------------------------------------------------------------------------------------
Bulgaria -- 0.4%
85,716 Bulgaria FLIRB, Series A, 1.938% due 7/28/12 84,323
25,000 Republic of Bulgaria, Bonds, Series REGS, 8.250% due 1/15/15 28,562
- -------------------------------------------------------------------------------------------------
112,885
- -------------------------------------------------------------------------------------------------
Canada -- 0.9%
25,000 Acetex Corp., Sr. Notes, 10.875% due 8/1/09 28,125
25,000 Calpine Canada Energy Finance ULC, Sr. Notes, 8.500% due 5/1/08 18,500
32,000 Iron Mountain Inc., Sr. Notes, 8.125% due 5/15/08 33,520
45,000 Luscar Coal Ltd., Sr. Notes, 9.750% due 10/15/11 50,963
25,000 Methanex Corp., Sr. Notes, 8.750% due 8/15/12 27,375
25,000 Millar Western Forest Products Ltd., Sr. Notes, 9.875% due 5/15/08 26,250
50,000 Potash Corp. of Saskatchewan Inc., Notes, 4.875% due 3/1/13 48,624
25,000 Tembec Industries, Inc., Sr. Notes, 8.625% due 6/30/09 24,500
- -------------------------------------------------------------------------------------------------
257,857
- -------------------------------------------------------------------------------------------------
Cayman Islands -- 0.4%
100,000 G-Force cdo, Ltd., Series 2002-1A, 2.020% due 6/25/37 (a)(b) 99,125
18,081 Sail Net Interest Margin Notes, Series 2003-3, Class A, 7.750% due 4/27/33 (b) 17,900
- -------------------------------------------------------------------------------------------------
117,025
- -------------------------------------------------------------------------------------------------
Colombia -- 0.5%
Republic of Colombia:
50,000 Bonds, 8.625% due 4/1/08 52,700
75,000 Notes, 10.000% due 1/23/12 79,012
- -------------------------------------------------------------------------------------------------
131,712
- -------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
18 Travelers Series Fund Inc. | 2003 Annual Report
SCHEDULES OF INVESTMENTS (CONTINUED) OCTOBER 31, 2003
SALOMON BROTHERS STRATEGIC TOTAL RETURN BOND PORTFOLIO
FACE
AMOUNT+ SECURITY VALUE
- -------------------------------------------------------------------------------------------
Ecuador -- 0.4%
155,000 Republic of Ecuador, step bond to yield 18.335% due 8/15/30 (a) $ 104,238
- -------------------------------------------------------------------------------------------
France -- 2.1%
470,000/EUR/ French Treasury Notes, 3.500% due 1/12/08 (a) 546,084
25,000 Vivendi Universal SA, Sr. Notes, 9.250% due 4/15/10 (b) 29,187
- -------------------------------------------------------------------------------------------
575,271
- -------------------------------------------------------------------------------------------
Germany -- 3.6%
Bundesobligation, Bonds:
310,000/EUR/ Series 98, 4.750% due 7/4/08 (a) 379,263
500,000/EUR/ Series 141, 4.250% due 2/15/08 (a) 596,995
- -------------------------------------------------------------------------------------------
976,258
- -------------------------------------------------------------------------------------------
Italy -- 0.5%
125,000 Region of Lombardy, Inc., Notes, 5.804% due 10/25/32 (a) 127,457
- -------------------------------------------------------------------------------------------
The Marshall Islands -- 0.2%
50,000 General Maritime Corp., Sr. Notes, 10.000% due 3/15/13 56,125
- -------------------------------------------------------------------------------------------
Mexico -- 1.9%
475,000 United Mexican States, Bonds, Series MTN, 8.300% due 8/15/31 (a) 529,150
- -------------------------------------------------------------------------------------------
Morocco -- 0.4%
97,238 Kingdom of Morocco, Restructured Debentures, 2.031% due 1/5/09 (a) 94,321
- -------------------------------------------------------------------------------------------
The Netherlands -- 0.1%
26,000 Yell Finance B.V., Sr. Notes, 10.750% due 8/1/11 30,550
- -------------------------------------------------------------------------------------------
Panama -- 0.5%
Republic of Panama, Bonds:
25,000 9.625% due 2/8/11 28,938
100,000 9.375% due 1/16/23 109,000
- -------------------------------------------------------------------------------------------
137,938
- -------------------------------------------------------------------------------------------
Peru -- 0.4%
117,500 Republic of Peru, 4.500% due 3/7/17 (a) 110,450
- -------------------------------------------------------------------------------------------
Philippines -- 0.7%
175,000 Republic of the Philippines, Bonds, 8.375% due 3/12/09 (a) 182,875
- -------------------------------------------------------------------------------------------
Russia -- 1.8%
Russian Federation, Bonds:
273,108 8.250% due 3/31/10 (a) 306,304
200,400 5.000% due 3/31/30 (a) 187,437
- -------------------------------------------------------------------------------------------
493,741
- -------------------------------------------------------------------------------------------
Supra-National -- 0.4%
100,000 Corporacion Andina de Fomento, Notes, 6.875% due 3/15/12 (a)(c) 110,235
- -------------------------------------------------------------------------------------------
See Notes to Financial Statements.
19 Travelers Series Fund Inc. | 2003 Annual Report
SCHEDULES OF INVESTMENTS (CONTINUED) OCTOBER 31, 2003
SALOMON BROTHERS STRATEGIC TOTAL RETURN BOND PORTFOLIO
FACE
AMOUNT+ SECURITY VALUE
- ----------------------------------------------------------------------------------------
Turkey -- 0.4%
100,000 Republic of Turkey, Notes, 11.500% due 1/23/12 $ 120,250
- ----------------------------------------------------------------------------------------
United Kingdom -- 0.7%
Avon Energy Partners Holdings:
50,000 Notes, 6.460% due 3/4/08 (b) 42,500
25,000 Sr. Notes, 7.050% due 12/11/07 (b) 21,250
50,000 Premier International Foods PLC, Sr. Notes, 12.000% due 9/1/09 55,375
55,000 Telewest Communication PLC, Sr. Discount Notes, step bond to yield
23.448% due 2/1/10 22,825
50,000 XEROX Cap Europe PLC, Notes, 5.875% due 5/15/04 50,750
- ----------------------------------------------------------------------------------------
192,700
- ----------------------------------------------------------------------------------------
United States -- 56.4%
50,000 aaiPharma Inc., Sr. Sub. Notes, 11.000% due 4/1/10 55,750
25,000 AES Corp., Sr. Sub. Notes, 8.500% due 11/1/07 24,938
25,000 Ahold Finance USA Inc., Notes, 6.875% due 5/1/29 22,250
50,000 Alamosa (Delaware), Inc., Sr. Notes, 12.500% due 2/1/11 48,250
50,000 Alliant Techsystems Inc., Sr. Sub. Notes, 8.500% due 5/15/11 55,500
Allied Waste North America:
25,000 Sr. Notes, 9.250% due 9/1/12 28,250
25,000 Sr. Sub. Notes, 10.000% due 8/1/09 27,312
American Tower Corp.:
15,000 Discount Notes, zero coupon bond to yield 14.433% due 8/1/08 10,350
25,000 Notes, 5.000% due 2/15/10 (c) 23,687
30,000 Sr. Notes, 9.375% due 2/1/09 31,650
50,000 Ameristar Casinos, Inc., Sr. Sub. Notes, 10.750% due 2/15/09 57,875
150,000 Amortizing Residential Collateral Trust, Series 2002-BC6, Class M2,
2.320% due 8/25/32 (a) 147,461
25,000 Anchor Glass Container Corp., Sr. Secured Notes, 11.000% due 2/15/13 28,625
50,000 AOL Time Warner Inc., Debentures, 7.625% due 4/15/31 56,076
21,000 Applica Inc., Sr. Sub. Notes, 10.000% due 7/31/08 21,840
15,000 Applied Extrusion Technologies, Inc., Sr. Notes, Series B,
10.750% due 7/1/11 11,625
50,000 AT&T Corp., Sr. Notes, 8.500% due 11/15/31 (a) 56,890
125,000 AT&T Wireless Services Inc., Sr. Notes, 8.750% due 3/1/31 (a) 150,843
80,000 Bank of America Corp., Sr. Notes, 4.875% due 9/15/12 79,959
250,000 Bayview Financial Acquisition Trust 2001, Class M3,
Home Equity Loan Trust, 2.370% due 8/25/36 (a)(b) 244,687
25,000 Berry Plastics Corp., Sr. Sub. Notes, 10.750% due 7/15/12 (a) 28,250
65,000 Boston Properties L.P., Sr. Notes, 6.250% due 1/15/13 (a) 69,315
Bowater Inc.:
25,000 Debentures, 9.500% due 10/15/12 27,236
25,000 Notes, 6.500% due 6/15/13 23,026
25,000 BRL Universal Equipment Corp., Sr. Secured Notes, 8.875% due 2/15/08 27,125
See Notes to Financial Statements.
20 Travelers Series Fund Inc. | 2003 Annual Report
SCHEDULES OF INVESTMENTS (CONTINUED) OCTOBER 31, 2003
SALOMON BROTHERS STRATEGIC TOTAL RETURN BOND PORTFOLIO
FACE
AMOUNT+ SECURITY VALUE
- -------------------------------------------------------------------------------------------
United States -- 56.4% (continued)
Buckeye Technologies Inc., Sr. Sub. Notes:
25,000 9.250% due 9/15/08 $ 25,500
25,000 8.000% due 10/15/10 23,750
50,000 Calpine Corp., Sr. Notes, 8.750% due 7/15/07 39,000
100,000 Capital One Financial Corp., Notes, 7.250% due 5/1/06 (a) 107,345
25,000 Case New Holland Inc., Sr. Notes, 9.250% due 8/1/11 (b) 27,875
Charter Communications Holdings, LLC:
40,000 Sr. Discount Notes, step bond to yield 23.220% due 5/15/11 23,700
Sr. Notes:
25,000 8.250% due 4/1/07 22,625
25,000 10.750% due 10/1/09 21,250
75,000 10.250% due 1/15/10 62,625
10,000 10.000% due 5/15/11 8,225
75,000 CIT Group Inc., Sr. Notes, 7.750% due 4/2/12 87,669
25,000 Coast Hotels and Casinos, Inc., Sr. Sub. Notes, 9.500% due 4/1/09 26,750
Cole National Group Inc., Sr. Sub. Notes:
25,000 8.625% due 8/15/07 25,687
25,000 8.875% due 5/15/12 26,687
50,000 Comcast Cable Communications Holdings Inc., Notes,
8.375% due 3/15/13 (a) 60,562
25,000 Compass Minerals Group, Inc., Sr. Sub. Notes, 10.000% due 8/15/11 28,000
25,000 Constellation Brands Inc., Sr. Sub. Notes, Series B, 8.125% due 1/15/12 27,562
100,000 Cox Communications Inc., Notes, 7.750% due 11/1/10 (a) 117,750
50,000 Crown Castle International Corp., Sr. Notes, 10.750% due 8/1/11 56,375
CSC Holdings, Inc., Sr. Sub. Debentures:
25,000 9.875% due 2/15/13 26,312
25,000 10.500% due 5/15/16 27,625
50,000 CSK Auto Inc., Sr. Notes, 12.000% due 6/15/06 56,500
25,000 Del Monte Corp., Sr. Sub. Notes, Series B, 9.250% due 5/15/11 27,750
50,000 Devon Financing Corp., Notes, 6.875% due 9/30/11 56,511
Dex Media West LLC/Dex Media Finance Co.:
25,000 Sr. Notes, 8.500% due 8/15/10 (b) 27,375
25,000 Sr. Sub. Notes, 9.875% due 8/15/13 (b) 28,563
50,000 DIRECTV Holdings LLC, Sr. Notes, 8.375% due 3/15/13 56,500
25,000 Dobson Communications Corp., Sr. Notes, 10.875% due 7/1/10 27,625
50,000 Duke Energy Corp., Sr. Notes, 4.200% due 10/1/08 50,005
75,000 Dynegy Holdings Inc., Sr. Secured Notes, 9.875% due 7/15/10 (a)(b) 81,000
25,000 Eagle-Pitcher Industries, Inc., Sr. Notes, 9.750% due 9/1/13 (b) 26,625
EchoStar DBS Corp., Sr. Notes:
25,000 10.375% due 10/1/07 27,719
32,000 9.125% due 1/15/09 36,160
90,000 Edison Mission Energy, Sr. Notes, 9.875% due 4/15/11 83,250
50,000 El Paso Corp., Medium Term Notes, Sr. Notes, 7.375% due 12/15/12 41,500
See Notes to Financial Statements.
21 Travelers Series Fund Inc. | 2003 Annual Report
SCHEDULES OF INVESTMENTS (CONTINUED) OCTOBER 31, 2003
SALOMON BROTHERS STRATEGIC TOTAL RETURN BOND PORTFOLIO
FACE
AMOUNT+ SECURITY VALUE
- -------------------------------------------------------------------------------------------------
United States -- 56.4% (continued)
75,000 Entergy Gulf States, Inc., Mortgage Bonds, 6.200% due 7/1/33 (b) $ 67,909
25,000 Extendicare Health Service, Inc., Sr. Notes, 9.500% due 7/1/10 27,625
50,000 Eye Care Centers of America Inc., Sr. Sub. Notes, 9.125% due 5/1/08 49,250
25,000 Fedders North America, Inc., Sr. Sub. Notes, 9.375% due 8/15/07 24,250
Federal Home Loan Mortgage Corp., Gold:
1,250,000 6.000% due 11/1/03 (d)(e) 1,283,203
1,000,000 5.000% due 11/1/33 (d)(e) 984,375
Federal National Mortgage Association:
1,000,000 5.000% due 11/1/03 (d)(e) 986,562
500,000 6.500% due 11/1/03 (d)(e) 519,531
2,500,000 7.000% due 11/1/03 (d)(e) 2,632,813
25,000 Felcor Lodging L.P., Sr. Notes, 8.500% due 6/1/11 27,188
50,000 Finlay Fine Jewelry Corp., Sr. Notes, 8.375% due 5/1/08 51,750
25,000 Fleming Cos. Inc., Sr. Notes, 10.125% due 4/1/08 (f) 4,000
35,000 Flowserve Corp., Sr. Sub. Notes, 12.250% due 8/15/10 40,775
50,000 FMC Corp., Debentures, 7.750% due 7/1/11 51,500
25,000 Ford Motor Credit Corp., Notes, 7.250% due 10/25/11 25,430
25,000 Forest Oil Corp., Sr. Notes, 8.000% due 12/15/11 27,000
10,000 The Gap Inc., Notes, 10.550% due 12/15/08 12,225
115,000 General Electric Capital Corp., Notes, 3.500% due 5/1/08 114,808
295,937 Green Tree Home Equity Loan Trust, 7.880% due 9/15/30 (a) 309,031
25,000 Herbst Gaming Inc., Sr. Secured Notes, Series B, 10.750% due 9/1/08 28,094
50,000 HMH Properties, Inc., Sr. Notes, Series C, 8.450% due 12/1/08 52,250
25,000 Holmes Group Inc., Sr. Sub. Notes, Series B, 9.875% due 11/15/07 24,875
50,000 Home Interiors & Gifts Inc., Sr. Sub. Notes, 10.125% due 6/1/08 51,500
50,000 Horseshoe Gaming Holding Corp., Sr. Sub. Notes, Series B,
8.625% due 5/15/09 53,438
200,000 Household Finance Corp., Notes, 8.000% due 7/15/10 (a) 237,838
25,000 Huntsman Advanced Materials LLC, Sr. Secured Notes,
11.000% due 7/15/10 (b) 26,906
40,000 IASIS Healthcare Corp., Sr. Sub. Notes, 13.000% due 10/15/09 (a) 45,100
25,000 Icon Health & Fitness Inc., Sr. Sub. Notes, 11.250% due 4/1/12 27,375
25,000 InSight Health Services Corp., Sr. Sub. Notes, Series B, 9.875% due 11/1/11 27,000
25,000 Insight Midwest L.P., Sr. Notes, 10.500% due 11/1/10 26,250
25,000 Interface Inc., Sr. Sub. Notes, Series B, 9.500% due 11/15/05 24,250
50,000 International Lease Finance Corp., Notes, 6.375% due 3/15/09 54,902
50,000 ISP Chemco Inc., Sr. Sub. Notes, Series B, 10.250% due 7/1/11 56,125
25,000 Jafra Cosmetics International Inc., Sr. Sub. Notes, 10.750% due 5/15/11 27,625
25,000 Jefferson Smurfit Corp., Sr. Notes, 8.250% due 10/1/12 26,375
25,000 John Q. Hammons Hotels LP/John Q. Hammons Hotels Finance Corp. III
Mortgage Notes, Series B, 8.875% due 5/15/12 27,375
50,000 Kellogg Co., Notes, Series B, 6.600% due 4/1/11 55,947
40,000 Kraft Foods Inc., Notes, 5.625% due 11/1/11 41,670
See Notes to Financial Statements.
22 Travelers Series Fund Inc. | 2003 Annual Report
SCHEDULES OF INVESTMENTS (CONTINUED) OCTOBER 31, 2003
SALOMON BROTHERS STRATEGIC TOTAL RETURN BOND PORTFOLIO
FACE
AMOUNT+ SECURITY VALUE
- ------------------------------------------------------------------------------------------------
United States -- 56.4% (continued)
25,000 L-3 Communications Corp., Sr. Sub. Notes, 7.625% due 6/15/12 $ 27,375
25,000 LDM Technologies, Inc., Sr. Sub. Notes, Series B, 10.750% due 1/15/07 25,125
100,000 Lehman Brothers Holdings Inc., Notes, 3.500% due 8/7/08 (a) 98,657
40,000 Levi Strauss & Co., Sr. Notes, 12.250% due 12/15/12 33,400
10,000 LodgeNet Entertainment Corp., Sr. Sub. Debentures, 9.500% due 6/15/13 10,850
50,000 Magnum Hunter Resources, Inc., Sr. Notes, 9.600% due 3/15/12 56,000
Mail-Well I Corp.:
25,000 Sr. Notes, 9.625% due 3/15/12 28,188
25,000 Sr. Sub. Notes, Series B, 8.750% due 12/15/08 25,313
50,000 Mediacom Broadband LLC, Sr. Notes, 9.500% due 1/15/13 47,750
25,000 MeriStar Hospitality Operating Partnership L.P., Sr. Notes,
10.500% due 6/15/09 27,250
125,000 Merit Securities Corp., Series 11PA, Class B2, 2.620% due 9/28/32 (a)(b) 111,250
Metris Master Trust, Class B:
50,000 Series 2001-2, 2.200% due 11/20/09 42,660
30,000 Series 2001-4A, 2.520% due 8/20/08 28,918
25,000 MGM MIRAGE, Sr. Sub. Notes, 9.750% due 6/1/07 28,469
25,000 Millennium America Inc., Sr. Notes, 9.250% due 6/15/08 (b) 26,563
25,000 Mirant Americas Generation, LLC, Sr. Notes, 9.125% due 5/1/31 (f) 20,813
75,000 Morgan Stanley, Notes, 6.600% due 4/1/12 83,647
25,000 Muzak LLC/Muzak Finance Corp., Sr. Notes, 10.000% due 2/15/09 26,438
Nextel Communications, Inc., Sr. Notes:
75,000 9.375% due 11/15/09 (a) 82,125
25,000 7.375% due 8/1/15 26,125
25,000 NextMedia Operating Inc., Sr. Sub. Notes, 10.750% due 7/1/11 28,375
60,000 NiSource Finance Corp., Sr. Notes, 7.625% due 11/15/05 65,818
25,000 NMHG Holding Co., Sr. Notes, 10.000% due 5/15/09 27,625
25,000 North Atlantic Trading Inc., Sr. Notes, Series B, 11.000% due 6/15/04 23,625
15,000 Noveon Inc., Sr. Sub. Notes, Series B, 11.000% due 2/28/11 17,325
Park Place Entertainment Corp., Sr. Sub. Notes:
25,000 7.875% due 3/15/10 27,125
25,000 8.125% due 5/15/11 27,438
25,000 PETCO Animal Supplies, Inc., Sr. Sub. Notes, 10.750% due 11/1/11 29,500
25,000 Plastipak Holdings, Inc., Sr. Notes, 10.750% due 9/1/11 27,750
50,000 Playtex Products, Inc., Sr. Sub. Notes, 9.375% due 6/1/11 49,625
25,000 Pliant Corp., Sr. Secured Notes, 11.125% due 9/1/09 26,875
45,000 Pogo Producing Co., Sr. Sub. Notes, Series B, 8.250% due 4/15/11 49,950
25,000 Pride International Inc., Sr. Notes, 10.000% due 6/1/09 27,063
25,000 Qwest Corp., Notes, 8.875% due 3/15/12 (b) 28,375
Qwest Services Corp., Notes:
25,000 13.500% due 12/15/10 (b) 29,313
50,000 14.000% due 12/15/14 (b) 61,250
25,000 R.H. Donnelly Financial Corp. Inc., Sr. Sub. Notes, 10.875% due 12/15/12 (b) 29,938
See Notes to Financial Statements.
23 Travelers Series Fund Inc. | 2003 Annual Report
SCHEDULES OF INVESTMENTS (CONTINUED) OCTOBER 31, 2003
SALOMON BROTHERS STRATEGIC TOTAL RETURN BOND PORTFOLIO
FACE
AMOUNT+ SECURITY VALUE
- -------------------------------------------------------------------------------------------
United States -- 56.4% (continued)
25,000 Radio One, Inc., Sr. Sub. Notes, Series B, 8.875% due 7/1/11 $ 27,625
25,000 Radnor Holdings Corp., Sr. Notes, 11.000% due 3/15/10 (b) 21,500
50,000 Reliant Resources, Inc., Secured Notes, 9.250% due 7/15/10 (b) 45,000
200,000 Republic Technologies International, LLC, Sr. Secured Notes,
13.750% due 7/15/09 (f) 3,000
25,000 Rexnord Corp., Sr. Sub. Notes, 10.125% due 12/15/12 27,875
25,000 Rite Aid Corp., Sr. Notes, 11.250% due 7/1/08 28,250
75,000 Safeway Inc., Debentures, 7.250% due 2/1/31 82,693
25,000 Saks Inc., Notes, 9.875% due 10/1/11 29,750
50,000 SBA Communications Corp., Sr. Notes, 10.250% due 2/1/09 45,000
60,000 Sears Roebuck Acceptance Corp., Notes, 7.000% due 6/1/32 65,748
25,000 Sequa Corp., Sr. Notes, 9.000% due 8/1/09 27,625
25,000 Sitel Corp., Sr. Sub. Notes, 9.250% due 3/15/06 23,688
25,000 SpectraSite, Inc., Sr. Notes, 8.250% due 5/15/10 (b) 26,625
Sprint Capital Corp., Notes:
200,000 8.375% due 3/15/12 228,714
25,000 8.750% due 3/15/32 28,532
25,000 Starwood Hotels & Resorts Worldwide, Inc., Sr. Notes, 7.875% due 5/1/12 27,750
25,000 Station Casinos, Inc., Sr. Sub. Notes, 9.875% due 7/1/10 27,906
25,000 Stone Energy Corp., Sr. Sub. Notes, 8.250% due 12/15/11 26,875
25,000 Swift Energy Co., Sr. Sub. Notes, 10.250% due 8/1/09 27,375
16,000 TeleCorp PCS, Inc., Sr. Sub. Notes, 10.625% due 7/15/10 18,878
25,000 Tempur-Pedic Inc., Sr. Sub. Notes, 10.250% due 8/15/10 (b) 27,875
25,000 Tenet Healthcare Corp., Sr. Notes, 6.875% due 11/15/31 22,125
25,000 Terex Corp., Sr. Sub. Notes, Series B, 10.375% due 4/1/11 28,313
25,000 Triad Hospitals Inc., Sr. Notes, Series B, 8.750% due 5/1/09 27,188
25,000 Tropical Sportswear International Corp., Sr. Sub. Notes, Series A,
11.000% due 6/15/08 23,750
25,000 TRW Automotive Inc., Sr. Notes, 9.375% due 2/15/13 (b) 28,500
25,000 Turning Stone Casino Resort Enterprise, Sr. Notes,
9.125% due 12/15/10 (b) 27,219
400,000 U.S. Treasury Bonds, 6.250% due 5/15/30 (a)(g) 457,484
750,000 U.S. Treasury Notes, 4.875% due 2/15/12 (a)(g) 791,426
50,000 Unisys Corp., Sr. Notes, 8.125% due 6/1/06 55,000
75,000 United Industries Corp., Sr. Sub. Notes, Series D, 9.875% due 4/1/09 78,375
25,000 Vanguard Health Systems Inc., Sr. Sub. Notes, 9.750% due 8/1/11 26,875
25,000 Venetian Casino Resort LLC/Las Vegas Sands, Inc., Mortgage Notes,
11.000% due 6/15/10 28,969
50,000 Viacom Inc., Sr. Notes, 6.625% due 5/15/11 56,092
25,000 Vicar Operating Inc., Notes, 9.875% due 12/1/09 28,000
Vintage Petroleum, Inc., Sr. Sub. Notes:
25,000 9.750% due 6/30/09 26,687
25,000 7.875% due 5/15/11 26,562
See Notes to Financial Statements.
24 Travelers Series Fund Inc. | 2003 Annual Report
SCHEDULES OF INVESTMENTS (CONTINUED) OCTOBER 31, 2003
SALOMON BROTHERS STRATEGIC TOTAL RETURN BOND PORTFOLIO
FACE
AMOUNT+ SECURITY VALUE
- --------------------------------------------------------------------------------------------
United States -- 56.4% (continued)
200,000 Washington Mutual Finance Corp., Sr. Notes, 6.875% due 5/15/11 (a) $ 224,945
50,000 Western Gas Resources, Inc., Sr. Sub. Notes, 10.000% due 6/15/09 53,625
25,000 Westlake Chemical Corp., Sr. Notes, 8.750% due 7/15/11 (b) 26,500
25,000 Westport Resources Corp., Sr. Sub. Notes, 8.250% due 11/1/11 27,687
The Williams Cos., Inc., Notes:
25,000 7.625% due 7/15/19 24,625
50,000 8.750% due 3/15/32 52,500
25,000 Winsloew Furniture Inc., Sr. Sub. Notes, Series B, 12.750% due 8/15/07 18,875
- -------------------------------------------------------------------------------------------
15,476,339
- -------------------------------------------------------------------------------------------
TOTAL BONDS AND NOTES
(Cost -- $20,043,618) 20,777,820
- -------------------------------------------------------------------------------------------
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------------------
COMMON STOCK (h) -- 0.5%
644 NTL Inc. 39,754
1,048 SpectraSite, Inc. 40,610
639 UGC Europe, Inc. 42,813
- -------------------------------------------------------------------------------------------
TOTAL COMMON STOCK
(Cost -- $112,803) 123,177
- -------------------------------------------------------------------------------------------
PREFERRED STOCK -- 0.2%
500 CSC Holdings Inc., Series H, 11.750% due 10/1/07 (Cost -- $43,406) 52,375
- -------------------------------------------------------------------------------------------
WARRANTS SECURITY VALUE
- --------------------------------------------------------------------------------------------
WARRANTS (h) -- 0.0%
15 American Tower Corp., Expire 8/1/08 (b) 2,107
1,701 Pillowtex Corp., Expire 11/24/09 2
200 Republic Technologies International, LLC, Expire 7/15/09 2
200 Winsloew Furniture Inc., Expire 8/15/07 100
- -------------------------------------------------------------------------------------------
TOTAL WARRANTS
(Cost -- $4,367) 2,211
- -------------------------------------------------------------------------------------------
SUB-TOTAL INVESTMENTS
(Cost -- $20,204,194) 20,955,583
- -------------------------------------------------------------------------------------------
See Notes to Financial Statements.
25 Travelers Series Fund Inc. | 2003 Annual Report
SCHEDULES OF INVESTMENTS (CONTINUED) OCTOBER 31, 2003
SALOMON BROTHERS STRATEGIC TOTAL RETURN BOND PORTFOLIO
FACE
AMOUNT SECURITY VALUE
- ---------------------------------------------------------------------------------------------
REPURCHASE AGREEMENTS -- 23.6%
$1,581,000 Goldman, Sachs & Co., 0.960% due 11/3/03; Proceeds at maturity --
$1,581,126; (Fully collateralized by U.S. Treasury Inflation Indexed
Notes and Bonds, 3.375% to 13.875% due 5/15/11 to 4/15/32;
Market value -- $1,612,624) $ 1,581,000
4,889,000 Merrill Lynch & Co., Inc., 0.990% due 11/3/03; Proceeds at maturity --
$4,889,403; (Fully collateralized by U.S. Treasury Inflation Indexed
Notes and U.S. Treasury Notes, 1.875% to 3.625% due
7/15/12 to 4/15/28; Market value -- $4,986,811) 4,889,000
- ---------------------------------------------------------------------------------------------
TOTAL REPURCHASE AGREEMENTS
(Cost -- $6,470,000) 6,470,000
- ---------------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0%
(Cost -- $26,674,194*) $27,425,583
- ---------------------------------------------------------------------------------------------
(a) All or a portion of this security has been segregated for open futures
contracts commitments and/or "to-be-announced" securities.
(b) Security is exempt from registration under Rule 144A of the Securities Act
of 1933. This security may be resold in transactions that are exempt from
registration, normally to qualified institutional buyers.
(c) Convertible bonds exchangeable for shares of common stock.
(d) Security is traded on a "to-be-announced" basis (See Note 9).
(e) Security acquired under mortgage dollar roll agreement (See Note 10).
(f) Security is currently in default.
(g) All or a portion of this security is held as collateral for open futures
contracts commitments.
(h) Non-income producing security.
+ Face amount denominated in U.S. dollars unless otherwise indicated.
* Aggregate cost for Federal income tax purposes is $26,777,767.
Abbreviations used in this schedule:
EUR -- Euro
FLIRB -- Front Loaded Interest Reduction Bond
See Notes to Financial Statements.
26 Travelers Series Fund Inc. | 2003 Annual Report
SCHEDULES OF INVESTMENTS (CONTINUED) OCTOBER 31, 2003
SB ADJUSTABLE RATE INCOME PORTFOLIO
FACE
AMOUNT SECURITY VALUE
- ----------------------------------------------------------------------------------------
ADJUSTABLE-RATE SECURITIES -- 82.2%
ASSET-BACKED SECURITIES -- 33.1%
$281,568 Ameriquest Mortgage Securities Inc., Series 2003-AR2,
Class A4, 1.470% due 5/25/33 $ 281,568
265,041 Amortizing Residential Collateral Trust, Series 2002-BC10,
Class A3, 1.550% due 1/25/33 265,660
275,536 Asset Backed Securities Corp., Home Equity Loan Trust,
Series 2003-HE3, Class A2, 1.470% due 6/15/33 (a) 275,272
250,000 Bayview Financial Acquisition Trust, Series 2002-BA, Class A2,
1.770% due 3/25/35 (a) 250,776
232,075 CDC Mortgage Capital Trust, Series 2003-HE2, Class A,
1.470% due 10/25/33 232,159
180,940 Household Mortgage Loan Trust, Series 2002-HC1, Class A,
1.420% due 5/20/32 181,212
271,066 Long Beach Mortgage Loan Trust, Series 2003-1, Class A2,
1.520% due 3/25/33 271,475
240,642 NovaStar Home Equity Loan, Series 2003-1, Class A2,
1.510% due 5/25/33 240,792
260,586 Option One Mortgage Loan Trust, Series 2003-1, Class A2,
1.540% due 2/25/33 261,422
291,835 Residential Asset Securities Corp., Series 2003-KS2, Class AI1,
1.220% due 8/25/19 291,907
272,808 Saxon Asset Securities Trust, Series 2002-1, Class AV1,
1.370% due 3/25/32 272,753
218,190 Soundview Home Equity Loan Trust, Series 2003-1, Class A,
1.570% due 8/25/31 218,191
300,429 Specialty Underwriting & Residential Finance Trust, Series 2003-BC1,
Class A, 1.460% due 1/25/34 300,335
300,000 Structured Asset Investment Loan Trust, Series 2003-BC10,
Class 3A5, 1.600% due 10/25/33 299,625
- ----------------------------------------------------------------------------------------
TOTAL ASSET-BACKED SECURITIES
(Cost -- $3,640,695) 3,643,147
- ----------------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS -- 23.8%
296,564 Bear Stearns Asset Backed Securities Trust, Series 2003-AC5,
Class A3, 1.720% due 10/25/33 296,564
261,349 Credit-Based Asset Servicing and Securitization LLC,
Series 2002-CB6, Class 2A1, 1.620% due 1/25/33 262,343
250,000 Countrywide Alternative Loan Trust, Series 2003-21T1, Class A6,
1.620% due 12/25/33 250,000
194,980 Fannie Mae REMIC Trust, Series 2003-W15, Class 3A,
4.431% due 12/25/42 204,363
See Notes to Financial Statements.
27 Travelers Series Fund Inc. | 2003 Annual Report
SCHEDULES OF INVESTMENTS (CONTINUED) OCTOBER 31, 2003
SB ADJUSTABLE RATE INCOME PORTFOLIO
FACE
AMOUNT SECURITY VALUE
- ---------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS -- 23.8% (continued)
Freddie Mac:
$247,588 Series 2543, Class FJ, 1.620% due 12/15/32 $ 246,505
250,000 Series 2710, Class FC, 1.670% due 11/15/33 (b) 249,375
246,214 Residential Asset Securitization Trust, Series 2003-A11,
Class A2, 1.570% due 11/25/33 246,214
219,995 Structured Asset Mortgage Investments Inc., Series 2002-AR1,
Class 2A, 3.351% due 3/25/32 222,611
287,691 Structured Asset Securities Corp., Series 2002-8A, Class 7A1,
2.636% due 5/25/32 288,197
353,929 Washington Mutual Mortgage Securities Corp., Mortgage
Pass-Through Certificates, Series 2002-AR1, Class 1A1,
3.955% due 11/25/30 354,835
- ---------------------------------------------------------------------------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost -- $2,626,460) 2,621,007
- ---------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 25.3%
Federal Home Loan Mortgage Corporation (FHLMC) -- 5.6%
299,152 FHLMC One Year CMT ARM, 3.662% due 2/1/23 307,475
300,166 FHLMC 3/1 Hybrid ARM, 3.417% due 10/1/33 302,641
- ---------------------------------------------------------------------------------
Total Federal Home Loan Mortgage Corporation
(Cost -- $611,456) 610,116
- ---------------------------------------------------------------------------------
Federal National Mortgage Association (FNMA) -- 19.7%
FNMA Six Month LIBOR:
102,809 4.926% due 2/1/33 105,594
401,481 4.492% due 4/1/33 410,688
287,257 4.575% due 5/1/33 294,004
97,785 4.472% due 6/1/33 100,581
299,775 FNMA One Year LIBOR, 3.484% due 7/1/43 307,572
FNMA One Year CMT ARM:
294,809 3.573% due 7/1/26 (c) 302,379
339,616 4.818% due 9/1/32 347,277
298,606 3.143% due 8/1/33 300,802
- ---------------------------------------------------------------------------------
Total Federal National Mortgage Association
(Cost -- $2,164,982) 2,168,897
- ---------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(Cost -- $2,776,438) 2,779,013
- ---------------------------------------------------------------------------------
TOTAL ADJUSTABLE-RATE SECURITIES
(Cost -- $9,043,593) 9,043,167
- ---------------------------------------------------------------------------------
See Notes to Financial Statements.
28 Travelers Series Fund Inc. | 2003 Annual Report
SCHEDULES OF INVESTMENTS (CONTINUED) OCTOBER 31, 2003
SB ADJUSTABLE RATE INCOME PORTFOLIO
FACE
AMOUNT SECURITY VALUE
- -----------------------------------------------------------------------------------------
FIXED-RATE SECURITIES -- 9.8%
ASSET-BACKED SECURITIES -- 5.3%
$250,000 AmeriCredit Automobile Receivables Trust, Series 2002-1,
Class A3, 4.230% due 10/6/06 $ 255,323
316,351 MMCA Automobile Trust, Series 2001-4, Class A4,
4.920% due 8/15/07 323,169
- -----------------------------------------------------------------------------------------
TOTAL ASSET-BACKED SECURITIES
(Cost -- $576,566) 578,492
- -----------------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS -- 4.5%
250,000 Merrill Lynch Mortgage Investors, Inc., Series 2003-A5,
Class 2A3, 3.246% due 8/25/33 249,479
250,000 Structured Asset Securities Corp., Series 2003-3XS, Class A2,
3.420% due 3/25/33 251,714
- -----------------------------------------------------------------------------------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost -- $501,166) 501,193
- -----------------------------------------------------------------------------------------
TOTAL FIXED-RATE SECURITIES
(Cost -- $1,077,732) 1,079,685
- -----------------------------------------------------------------------------------------
SUB-TOTAL INVESTMENTS
(Cost -- $10,121,325) 10,122,852
- -----------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 8.0%
882,000 State Street Bank and Trust Co., 0.940% due 11/3/03; Proceeds at
maturity -- $882,069; (Fully collateralized by U.S. Treasury Bonds,
8.125% due 8/15/19; Market value -- $904,400) (Cost -- $882,000) 882,000
- -----------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0%
(Cost -- $11,003,325*) $11,004,852
- -----------------------------------------------------------------------------------------
(a) Security is exempt from registration under Rule 144A of the Securities Act
of 1933. This security may be resold in transactions that are exempt from
registration, normally to qualified institutional buyers.
(b) Security is traded on a when-issued basis (See Note 9).
(c) All or a portion of this security has been segregated for extended
settlements.
* Aggregate cost for Federal income tax purposes is substantially the same.
Abbreviations used in this schedule:
ARM -- Adjustable Rate Mortgage
CMT -- Constant Maturity Treasury Indexes
REMIC -- Real Estate Mortgage Investment Conduit
See Notes to Financial Statements.
29 Travelers Series Fund Inc. | 2003 Annual Report
STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2003
Smith Barney Salomon Brothers
International Strategic Total SB Adjustable
All Cap Growth Return Bond Rate Income
Portfolio Portfolio Portfolio
- ---------------------------------------------------------------------------------------
ASSETS:
Investments, at value (Cost --
$163,164,132, $20,204,194 and
$10,121,325, respectively) $178,896,537 $20,955,583 $10,122,852
Short-term investments, at value
(Cost -- $2,997,000, $6,470,000
and $882,000, respectively) 2,997,000 6,470,000 882,000
Loaned securities collateral, at value
(Cost -- $6,261,521) (Note 7) 6,261,521 -- --
Foreign currency, at value (Cost --
$427,154 and $5,196, respectively) 424,138 5,251 --
Cash 548 1,416 213
Dividends and interest receivable 279,223 293,033 18,702
Receivable for securities sold 57,732 707 3,496
Receivable for open forward foreign
currency contracts (Note 5) -- 64,581 --
Receivable from manager -- -- 23,671
Receivable for Fund shares sold -- -- 1,061
Other receivables 23,854 -- --
- --------------------------------------------------------------------------------------
Total Assets 188,940,553 27,790,571 11,051,995
- --------------------------------------------------------------------------------------
LIABILITIES:
Payable for loaned securities
collateral (Note 7) 6,261,521 -- --
Payable for securities purchased 2,746,185 6,426,031 497,245
Management fees payable 138,000 17,479 --
Payable for Fund shares reacquired 54,040 4,970 --
Payable for open forward foreign
currency contracts (Note 5) 13,894 76,354 --
Payable to broker -- variation margin -- 1,719 --
Accrued expenses 55,905 29,024 32,757
- --------------------------------------------------------------------------------------
Total Liabilities 9,269,545 6,555,577 530,002
- --------------------------------------------------------------------------------------
Total Net Assets $179,671,008 $21,234,994 $10,521,993
- --------------------------------------------------------------------------------------
NET ASSETS:
Par value of capital shares $ 172 $ 19 $ 11
Capital paid in excess of par value 236,271,802 21,784,464 10,508,411
Undistributed net investment income 1,776,622 1,079,213 14,955
Accumulated net realized loss from
investment transactions and
futures contracts (74,125,166) (2,361,766) (2,911)
Net unrealized appreciation of
investments, futures contracts
and foreign currencies 15,747,578 733,064 1,527
- --------------------------------------------------------------------------------------
Total Net Assets $179,671,008 $21,234,994 $10,521,993
- --------------------------------------------------------------------------------------
Shares Outstanding 17,227,801 1,912,402 1,050,796
- --------------------------------------------------------------------------------------
Net Asset Value $10.43 $11.10 $10.01
- --------------------------------------------------------------------------------------
See Notes to Financial Statements.
30 Travelers Series Fund Inc. | 2003 Annual Report
STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2003
Smith Barney Salomon Brothers
International Strategic Total SB Adjustable
All Cap Growth Return Bond Rate Income
Portfolio Portfolio Portfolio+
- ------------------------------------------------------------------------------------
INVESTMENT INCOME:
Dividends $ 3,797,400 $ 735 --
Interest 62,047 1,425,964 $ 26,115
Less: Foreign withholding tax (390,645) -- --
- ------------------------------------------------------------------------------------
Total Investment Income 3,468,802 1,426,699 26,115
- ------------------------------------------------------------------------------------
EXPENSES:
Management fees (Note 2) 1,518,148 182,258 8,379
Custody 84,914 41,283 6,000
Shareholder communications 28,329 14,589 11,000
Audit and legal 22,695 24,340 33,743
Directors' fees 6,151 2,748 600
Shareholder servicing fees 5,003 5,000 834
Distribution plan fees -- -- 3,491
Other 2,005 3,383 1,809
- ------------------------------------------------------------------------------------
Total Expenses 1,667,245 273,601 65,856
Less:Management and distribution plan
fee waivers and expense
reimbursement (Note 2) -- -- (51,891)
- ------------------------------------------------------------------------------------
Net Expenses 1,667,245 273,601 13,965
- ------------------------------------------------------------------------------------
Net Investment Income 1,801,557 1,153,098 12,150
- ------------------------------------------------------------------------------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS,
FUTURES CONTRACTS AND
FOREIGN CURRENCIES
(NOTES 3, 4 AND 5):
Realized Gain (Loss) From:
Investment transactions (9,759,697) 715,888 (106)
Futures contracts -- (10,120) --
Foreign currency transactions 8,140 77,865 --
- ------------------------------------------------------------------------------------
Net Realized Gain (Loss) (9,751,557) 783,633 (106)
- ------------------------------------------------------------------------------------
Change in Net Unrealized
Appreciation From:
Investments 39,166,665 1,284,307 1,527
Foreign currencies 5,307 (10,117) --
- ------------------------------------------------------------------------------------
Increase in Net Unrealized
Appreciation 39,171,972 1,274,190 1,527
- ------------------------------------------------------------------------------------
Net Gain on Investments, Futures
Contracts and Foreign Currencies 29,420,415 2,057,823 1,421
- ------------------------------------------------------------------------------------
Increase in Net Assets From
Operations $31,221,972 $3,210,921 $ 13,571
- ------------------------------------------------------------------------------------
+ For the SB Adjustable Rate Income Portfolio, transactions are for the period
September 12, 2003 (commencement of operations) to October 31, 2003.
See Notes to Financial Statements.
31 Travelers Series Fund Inc. | 2003 Annual Report
STATEMENTS OF CHANGES IN NET ASSETS
For the Years
Ended October 31,
Smith Barney
International All Cap Growth Portfolio 2003 2002
- -------------------------------------------------------------------------------
OPERATIONS:
Net investment income $ 1,801,557 $ 951,109
Net realized loss (9,751,557) (13,651,037)
Increase (decrease) in net unrealized
appreciation 39,171,972 (30,620,765)
- ------------------------------------------------------------------------------
Increase (Decrease) in Net Assets From
Operations 31,221,972 (43,320,693)
- ------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (947,561) (1,049,300)
- ------------------------------------------------------------------------------
Decrease in Net Assets From Distributions to
Shareholders (947,561) (1,049,300)
- ------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS (NOTE 11):
Net proceeds from sale of shares 247,482,410 604,439,911
Net asset value of shares issued for
reinvestment of dividends 947,561 1,049,300
Cost of shares reacquired (269,100,352) (634,627,288)
- ------------------------------------------------------------------------------
Decrease in Net Assets From Fund Share
Transactions (20,670,381) (29,138,077)
- ------------------------------------------------------------------------------
Increase (Decrease) in Net Assets 9,604,030 (73,508,070)
NET ASSETS:
Beginning of year 170,066,978 243,575,048
- ------------------------------------------------------------------------------
End of year* $ 179,671,008 $ 170,066,978
- ------------------------------------------------------------------------------
* Includes undistributed net investment income
of: $1,776,622 $914,486
- ------------------------------------------------------------------------------
See Notes to Financial Statements.
32 Travelers Series Fund Inc. | 2003 Annual Report
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
For the Years
Ended October 31,
Salomon Brothers Strategic Total Return Bond
Portfolio 2003 2002
- ------------------------------------------------------------------------------
OPERATIONS:
Net investment income $ 1,153,098 $ 863,613
Net realized gain 783,633 24,529
Increase (decrease) in net unrealized appreciation 1,274,190 (244,459)
- -----------------------------------------------------------------------------
Increase in Net Assets From Operations 3,210,921 643,683
- -----------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (1,052,602) (956,847)
- -----------------------------------------------------------------------------
Decrease in Net Assets From Distributions to
Shareholders (1,052,602) (956,847)
- -----------------------------------------------------------------------------
FUND SHARE TRANSACTIONS (NOTE 11):
Net proceeds from sale of shares 5,123,382 10,242,369
Net asset value of shares issued for reinvestment
of dividends 1,052,602 956,847
Cost of shares reacquired (8,248,954) (7,554,055)
- -----------------------------------------------------------------------------
Increase (Decrease) in Net Assets From
Fund Share Transactions (2,072,970) 3,645,161
- -----------------------------------------------------------------------------
Increase in Net Assets 85,349 3,331,997
NET ASSETS:
Beginning of year 21,149,645 17,817,648
- -----------------------------------------------------------------------------
End of year* $21,234,994 $21,149,645
- -----------------------------------------------------------------------------
* Includes undistributed net investment income of: $1,079,213 $871,505
- -----------------------------------------------------------------------------
See Notes to Financial Statements.
33 Travelers Series Fund Inc. | 2003 Annual Report
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
For the Period Ended October 31, 2003+
SB Adjustable Rate Income Portfolio
- -----------------------------------------------------------------
OPERATIONS:
Net investment income $ 12,150
Net realized loss (106)
Increase in net unrealized appreciation 1,527
- -----------------------------------------------------------------
Increase in Net Assets From Operations 13,571
- -----------------------------------------------------------------
FUND SHARE TRANSACTIONS (NOTE 11):
Net proceeds from sale of shares 10,515,078
Cost of shares reacquired (6,656)
- -----------------------------------------------------------------
Increase in Net Assets From Fund Share Transactions 10,508,422
- -----------------------------------------------------------------
Increase in Net Assets 10,521,993
NET ASSETS:
Beginning of period --
- -----------------------------------------------------------------
End of period* $10,521,993
- -----------------------------------------------------------------
* Includes undistributed net investment income of: $14,955
- -----------------------------------------------------------------
+For the period September 12, 2003 (commencement of operations) to October 31,
2003.
See Notes to Financial Statements.
34 Travelers Series Fund Inc. | 2003 Annual Report
NOTES TO FINANCIAL STATEMENTS
1. Significant Accounting Policies
The Smith Barney International All Cap Growth Portfolio ("SBIACG") and the SB
Adjustable Rate Income Portfolio ("SBARIP") are separate diversified investment
funds of the Travelers Series Fund Inc. ("Company"). The Salomon Brothers
Strategic Total Return Bond Portfolio ("SBSTRB") is a separate non-diversified
investment fund of the Company. The Company, a Maryland corporation, is
registered under the Investment Company Act of 1940, as amended, ("1940 Act")
as an open-end management investment company and consists of these Funds and
twelve other separate investment funds: AIM Capital Appreciation, Strategic
Equity (formerly known as Alliance Growth), MFS Total Return, Pioneer Strategic
Income (formerly known as Putnam Diversified Income), Smith Barney High Income,
Smith Barney Large Cap Value, Smith Barney Money Market, Smith Barney Large
Capitalization Growth, Travelers Managed Income, Van Kampen Enterprise, Smith
Barney Mid Cap Core and Smith Barney Aggressive Growth Portfolios. Shares of
the Company are offered only to insurance company separate accounts which fund
certain variable annuity and variable life insurance contracts. The financial
statements and financial highlights for the other funds are presented in
separate shareholder reports.
The significant accounting policies consistently followed by SBIACG, SBSTRB and
SBARIP ("Funds") are: (a) security transactions are accounted for on trade
date; (b) securities traded on national securities markets are valued at the
closing prices on such markets or, if there were no sales during the day, at
the mean between the bid and asked prices; securities primarily traded on
foreign exchanges are generally valued at the preceding closing values of such
securities on their respective exchanges, except that when a significant event,
subsequent to the time a value was so established, is likely to have
significantly changed the value then, the fair value of those securities will
be determined by consideration of other factors by or under the direction of
the Board of Directors or its delegates; over-the-counter securities are valued
on the basis of the bid price at the close of business on each day; U.S.
government and agency obligations are valued at the average between bid and
asked prices in the over-the-counter market; securities listed on the NASDAQ
National Market System for which market quotations are available are valued at
the official closing price or, if there is no official closing price on that
day, at the last sale price; (c) securities 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 Directors; (d) securities maturing within
35 Travelers Series Fund Inc. | 2003 Annual Report
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
60 days are valued at cost plus accreted discount) or minus amortized premium,
which approximates value; (e) gains or losses on the sale of securities are
calculated by using the specific identification method; (f ) interest income,
adjusted for amortization of premium and accretion of discount, is recorded on
an accrual basis; (g) 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 Funds determine the existence of a dividend declaration after
exercising reasonable due diligence; (h) dividends and distributions to
shareholders are recorded on the ex-dividend date; the Funds distribute
dividends and capital gains, if any, at least annually; (i) the accounting
records of the Funds are maintained in U.S. dollars. All assets and liabilities
denominated in foreign currencies are translated into U.S. dollars based on the
rate of exchange of such currencies against U.S. dollars on the date of
valuation. Purchases and sales of securities and 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 accounting
principles generally accepted in the United States of America. At October 31,
2003, reclassifications were made to the capital accounts of SBSTRB and SBARIP
to reflect permanent book/tax differences and income and gains available for
distributions under income tax regulations. Net investment income, net realized
gains and net assets were not affected by this change; (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.
SBIACG and SBSTRB may enter into forward exchange contracts in order to hedge
against foreign currency risk. These contracts are marked to market daily, by
recognizing the difference between the contract exchange rate and the current
market rate as an unrealized gain or loss. Realized gains or losses are
recognized when contracts are settled or offset by entering into another forward
36 Travelers Series Fund Inc. | 2003 Annual Report
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
exchange contract. The Funds may from time to time enter into options and/or
futures contracts in order to hedge market or currency risk.
In addition, the yields of emerging market debt obligations reflect, among
other things, perceived credit risk. The consequences of political, social,
economic or diplomatic changes may have disruptive effects on market prices of
investments held by SBIACG and SBSTRB. The investments by SBIACG and SBSTRB in
non-dollar-denominated securities may also result in foreign currency losses
caused by devaluations and exchange rate fluctuations.
2. Management Agreement and Transactions with Affiliated Persons
Smith Barney Fund Management LLC ("SBFM"), an indirect wholly-owned subsidiary
of Citigroup Inc. ("Citigroup"), acts as investment manager of SBIACG and
SBARIP. SBIACG and SBARIP each pay SBFM a management fee calculated at the
annual rate of 0.90% and 0.60%, respectively, of the average daily net assets
of SBIACG and SBARIP. In addition, Travelers Investment Adviser, Inc. ("TIA"),
an affiliate of SBFM, acts as the investment manager of SBSTRB. SBSTRB pays TIA
a management fee calculated at an annual rate of 0.80% of the average daily net
assets of SBSTRB. These fees are calculated daily and paid monthly. For the
period ended October 31, 2003, SBFM waived management fees of $8,379 and
voluntarily absorbed expenses of $40,021 for SBARIP.
TIA has entered into a sub-advisory agreement with Salomon Brothers Asset
Management Inc ("SaBAM"), another indirect wholly-owned subsidiary of
Citigroup. Pursuant to the sub-advisory agreement, SaBAM is responsible for the
day-to-day portfolio operations and investment decisions for SBSTRB and is
compensated for such services by TIA at an annual rate of 0.375% of the average
daily net assets of SBSTRB.
TIA has also entered into a sub-administrative services agreement with SBFM.
TIA pays SBFM, as sub-administrator, a fee calculated at an annual rate of
0.10% of the average daily net assets of SBSTRB.
Citicorp Trust Bank, fsb. ("CTB"), another subsidiary of Citigroup, acts as the
Funds' transfer agent and PFPC Inc. ("PFPC") acts as the Funds' sub-transfer
agent. CTB receives account fees and asset-based fees that vary according to
the size and type of account. PFPC is responsible for shareholder recordkeeping
and
37 Travelers Series Fund Inc. | 2003 Annual Report
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
financial processing for all shareholder accounts and is paid by CTB. For the
year ended October 31, 2003, the Funds paid transfer agent fees totaling
$10,833 to CTB.
The Company, on behalf of SBARIP, has adopted a plan ("Plan") pursuant to Rule
12b-1 under the 1940 Act for SBARIP's Smith Barney Class shares. The Plan
provides that SBARIP shall pay a fee in an amount not to exceed 0.25% of the
average daily net assets of SBARIP's Smith Barney Class shares. This fee is
calculated daily and paid monthly. For the period ended October 31, 2003, Rule
12b-1 distribution plan fees of $3,491 were waived for SBARIP.
During the year ended October 31, 2003, Citigroup Global Markets Inc. (formerly
known as Salomon Smith Barney Inc.), another indirect wholly-owned subsidiary
of Citigroup, did not receive any brokerage commissions from SBIACG.
Most of the officers and one Director of the Company are employees of Citigroup
or its affiliates.
3. Investments
During the year ended October 31, 2003, the aggregate cost of purchases and
proceeds from sales of investments (including maturities of long-term
investments, but excluding short-term investments and mortgage dollar rolls)
were as follows:
SBIACG SBSTRB SBARIP
- --------------------------------------------------------------------------------------
Purchases $76,161,054 $15,115,105 $10,717,499
- --------------------------------------------------------------------------------------
Sales 97,572,900 16,807,771 250,000
- --------------------------------------------------------------------------------------
At October 31, 2003, the aggregate gross unrealized appreciation and
depreciation of investments for Federal income tax purposes were substantially
as follows:
SBIACG SBSTRB SBARIP
- -----------------------------------------------------------------------------------
Gross unrealized appreciation $ 27,305,550 $1,015,913 $ 11,786
Gross unrealized depreciation (11,587,930) (368,097) (10,259)
- -----------------------------------------------------------------------------------
Net unrealized appreciation $ 15,717,620 $ 647,816 $ 1,527
- -----------------------------------------------------------------------------------
38 Travelers Series Fund Inc. | 2003 Annual Report
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
4. Futures Contracts
The Funds may from time to time enter into futures contracts. Securities or
cash equal to the initial margin amount are either deposited with the broker or
segregated by the custodian upon entering the futures contract. Additional
securities are also segregated up to the current market value of the futures
contracts. During the period the futures contract is open, changes in the value
of the contract are recognized as unrealized gains or losses by
"marking-to-market" on a daily basis to reflect the market value of the
contract at the end of each day's trading. Variation margin payments are
received or made and recognized as assets due from or liabilities due to
broker, depending upon whether unrealized gains or losses are incurred. When
the contract is closed, the Funds record a realized gain or loss equal to the
difference between the proceeds from (or cost o f) the closing transactions and
the Funds' basis in the contract. The Funds enter into such contracts typically
to hedge a portion of their portfolios. The Funds bear the market risk that
arises from changes in the value of the financial instruments and securities
indices.
At October 31, 2003, SBSTR had the following open futures contracts:
Number of Basis Market Unrealized
Contracts Expiration Value Value Loss
- --------------------------------------------------------------------------------------------------------
Contracts to Sell:
U.S. Treasury Notes 10 12/03 $1,109,862 $1,118,125 $(8,263)
- --------------------------------------------------------------------------------------------------------
At October 31, 2003, SBIACG and SBARIP did not have any open futures contracts.
5. Forward Foreign Currency Contracts
SBIACG and SBSTRB may from time to time enter into forward foreign currency
contracts. A forward foreign currency contract is an agreement between two
parties to buy and sell a currency at a set price on a future date. The
contract is marked-to-market daily and the change in value is recorded by the
Funds as an unrealized gain or loss. When a forward foreign currency contract
is extinguished, through either delivery or offset by entering into another
forward foreign currency contract, the Funds record a realized gain or loss
equal to the difference between the value of the contract at the time it was
opened and the value of the contract at the time it was extinguished or offset.
The Funds bear
39 Travelers Series Fund Inc. | 2003 Annual Report
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
the market risk that arises from changes in foreign currency exchange rates and
the credit risk should a counterparty be unable to meet the terms of such
contracts.
At October 31, 2003, SBIACG and SBSTRB had open forward foreign currency
contracts as described below. The unrealized gain (loss) on the open contracts
reflected in the accompanying financial statements are as follows:
Smith Barney International All Cap Growth Portfolio
Local Market Settlement Unrealized
Foreign Currency Currency Value Date Loss
- -------------------------------------------------------------------------
Contracts To Buy:
Pound Sterling 1,090,836 $1,850,003 11/3/03 $ (3,545)
Swedish Krona 6,994,878 886,182 11/3/03 (10,349)
- -------------------------------------------------------------------------
Net Unrealized Loss on Open Forward
Foreign Currency Contracts $(13,894)
- -------------------------------------------------------------------------
Salomon Brothers Strategic Total Return Bond Portfolio
Local Market Settlement Unrealized
Foreign Currency Currency Value Date Gain (Loss)
- -----------------------------------------------------------------------------
Contracts To Buy:
Euro 1,550,923 $1,799,429 11/25/03 $ 62,954
- -----------------------------------------------------------------------------
Contracts To Sell:
Euro 1,380,000 1,601,119 11/25/03 1,627
Euro 1,550,923 1,799,429 11/25/03 (76,354)
- -----------------------------------------------------------------------------
(74,727)
- -----------------------------------------------------------------------------
Net Unrealized Loss on Open Forward
Foreign Currency Contracts $(11,773)
- -----------------------------------------------------------------------------
6. Repurchase Agreements
The Funds purchase (and the custodian takes possession of) U.S. government
securities from securities dealers subject to agreements to resell the
securities to the sellers at a future date (generally, the next business day)
at an agreed-upon higher repurchase price. The Funds require continual
maintenance of the market value (plus accrued interest) of the collateral in
amounts at least equal to the repurchase price.
40 Travelers Series Fund Inc. | 2003 Annual Report
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
7. Lending of Portfolio Securities
The Funds have an agreement with their custodian whereby the custodian may lend
securities owned by the Funds to brokers, dealers and other financial
organizations. Fees earned by the Funds on securities lending are recorded as
interest income. Loans of securities by the Funds are collateralized by cash,
U.S. government securities, high quality money market instruments or other
securities that are maintained at all times in an amount at least equal to the
current market value of the loaned securities, plus a margin which may vary
depending on the type of securities loaned. The Funds maintain exposure for the
risk of any loss in the investment of amounts received as collateral.
At October 31, 2003, SBIACG loaned securities having a market value of
$6,116,849. SBIACG received cash collateral amounting to $6,261,521 which was
invested in the State Street Navigator Securities Lending Trust Prime
Portfolio. In addition, SBIACG received securities collateral amounting to
$195,468, which is maintained in a segregated account by the custodian.
Income earned by SBIACG from securities lending for the year ended October 31,
2003, was $48,677.
At October 31, 2003, SBSTRB and SBARIP did not have any securities on loan.
8. Portfolio Concentration
The investments by SBIACG and SBSTRB in foreign securities may involve risks
not present in domestic investments. Since securities may be denominated in a
foreign currency and may require settlement in foreign currencies and pay
interest or dividends in foreign currencies, changes in the relationship of
these foreign currencies to the U.S. dollar can significantly affect the value
of the investments and earnings of SBIACG and SBSTRB. Foreign investments may
also subject SBIACG and SBSTRB to foreign government exchange restrictions,
expropriation, taxation or other political, social or economic developments,
all of which could affect the market and/or credit risk of the investments.
In addition to the risks described above, risks may arise from forward foreign
currency contracts with respect to the potential inability of counterparties to
meet the terms of their contracts.
41 Travelers Series Fund Inc. | 2003 Annual Report
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
9. Securities Traded on a When-Issued or To-Be-Announced Basis
The Funds may trade securities on a when-issued basis or on a "to-be-announced"
("TBA") basis.
In a when-issued transaction, the securities are purchased or sold by the Funds
with payment and delivery taking place in the future in order to secure what is
considered to be an advantageous price and yield to the Funds at the time of
entering into the transaction. Purchasing such securities involves the risk of
loss if the value of the securities declines prior to settlement.
At October 31, 2003, SBARIP held when-issued securities with a total cost of
$249,766. SBIACG and SBSTRB did not hold any when-issued securities.
In a TBA transaction, the Funds commit to purchasing or selling securities for
which specific information is not yet known at the time of the trade,
particularly the face amount and maturity date in GNMA transactions. Securities
purchased on a TBA basis are not settled until they are delivered to the Funds,
normally 15 to 45 days later. These transactions are subject to market
fluctuations and their current value is determined in the same manner as for
other securities.
At October 31, 2003, SBSTRB held TBA securities with a total cost of
$6,431,250. SBIACG and SBARIP did not hold any TBA securities.
10.Mortgage Dollar Rolls
SBSTRB and SBARIP may enter into mortgage dollar roll transactions. A mortgage
dollar roll transaction involves a sale by the Fund of mortgage related
securities that it holds with an agreement by the Fund to repurchase similar
securities at an agreed upon price and date. The securities purchased will bear
the same interest rate as those sold, but generally will be collateralized by
pools of mortgages with different prepayment histories than those securities
sold. Proceeds from the sale will be reinvested and the income from these
investments, together with any additional income received on the sale, is
included in investment income. Losses may arise due to changes in the value of
the securities or if the counterparty does not perform under the terms of the
agreement. If the counterparty files for bankruptcy or becomes insolvent, the
Fund's right to repurchase the securities may be limited.
During the year ended October 31, 2003, SBSTRB entered into mortgage dollar
roll transactions in the aggregate amount of $66,500,000.
42 Travelers Series Fund Inc. | 2003 Annual Report
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
At October 31, 2003, SBSTRB had outstanding mortgage dollar rolls with a total
cost of $6,426,031. SBARIP did not have any outstanding mortgage dollar rolls.
11.Capital Shares
At October 31, 2003, the Company had six billion shares of capital stock
authorized with a par value of $0.00001 per share. Each share of a Fund
represents an equal proportionate interest in that Fund with each share of the
same Fund and has an equal entitlement to any dividends and distributions made
by the Fund.
Transactions in shares of each Fund were as follows:
Year Ended Year Ended
October 31, 2003* October 31, 2002
- --------------------------------------------------------------------------------
Smith Barney International All Cap Growth Portfolio
Shares sold 28,109,301 57,913,258
Shares issued on reinvestment 108,915 121,870
Shares reacquired (30,354,096) (60,467,175)
- --------------------------------------------------------------------------------
Net Decrease (2,135,880) (2,432,047)
- --------------------------------------------------------------------------------
Salomon Brothers Strategic Total Return Bond Portfolio
Shares sold 493,019 986,807
Shares issued on reinvestment 105,155 95,020
Shares reacquired (772,892) (730,344)
- --------------------------------------------------------------------------------
Net Increase (Decrease) (174,718) 351,483
- --------------------------------------------------------------------------------
SB Adjustable Rate Income Portfolio
Shares sold 1,051,462 --
Shares reacquired (666) --
- --------------------------------------------------------------------------------
Net Increase 1,050,796 --
- --------------------------------------------------------------------------------
*For the SB Adjustable Rate Income Portfolio, transactions are for the period
September 12, 2003 (commencement of operations) to October 31, 2003.
12.Capital Loss Carryforward
At October 31, 2003, SBIACG, SBSTRB and SBARIP had, for Federal income tax
purposes, approximately $74,110,000, $2,344,000 and $3,000, respectively, of
unused capital loss carryforwards available to offset future capital gains. To
the extent that these carryforward losses are used to offset capital gains, it
is probable that the gains so offset will not be distributed.
43 Travelers Series Fund Inc. | 2003 Annual Report
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
The amount and year of expiration for each carryforward loss is indicated
below. Expiration occurs on October 31 of the year indicated:
SBIACG SBSTRB SBARIP
-------------------------------------
2006 $ 5,750,000 $ 191,000 --
-------------------------------------
2007 6,247,000 1,153,000 --
-------------------------------------
2008 -- 938,000 --
-------------------------------------
2009 38,754,000 42,000 --
-------------------------------------
2010 13,574,000 20,000 --
-------------------------------------
2011 9,785,000 -- $3,000
-------------------------------------
13.Income Tax Information and Distributions to Shareholders
At October 31, 2003, the tax basis components of distributable earnings were:
SBIACG SBSTRB SBARIP
--------------------------------------------------------------------
Undistributed ordinary income $ 1,762,728 $ 1,144,616 $14,955
--------------------------------------------------------------------
Accumulated capital losses (74,110,380) (2,343,632) (2,911)
--------------------------------------------------------------------
Unrealized appreciation 15,746,687 649,527 1,527
--------------------------------------------------------------------
The difference between book basis and tax basis unrealized appreciation and
depreciation is attributable primarily to wash sale loss deferrals, mark to
market of derivative contracts and the treatment of accretion of discounts and
amortization of premiums.
The tax character of distributions paid during the year ended October 31, 2003
was:
SBIACG SBSTRB
--------------------------------------
Ordinary income $947,561 $1,052,602
--------------------------------------
For the period ended October 31, 2003, SBARIP did not make any distributions.
44 Travelers Series Fund Inc. | 2003 Annual Report
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
14.Subsequent Event
The Funds have received the following information from Citigroup Asset
Management ("CAM"), the Citigroup business unit which includes the Funds'
Investment Manager and other investment advisory companies, all of which are
indirect, wholly-owned subsidiaries of Citigroup. CAM is reviewing its entry,
through an affiliate, into the transfer agent business in the period 1997-1999.
As CAM currently understands the facts, at the time CAM decided to enter the
transfer agent business, CAM sub-contracted for a period of five years certain
of the transfer agency services to a third party and also concluded a revenue
guarantee agreement with this sub-contractor providing that the sub-contractor
would guarantee certain benefits to CAM or its affiliates (the "Revenue
Guarantee Agreement"). In connection with the subsequent purchase of the
sub-contractor's business by an affiliate of the current sub-transfer agent
(PFPC Inc.) used by CAM on many of the funds it manages, this Revenue Guarantee
Agreement was amended eliminating those benefits in exchange for arrangements
that included a one-time payment from the sub-contractor.
The Boards of CAM-managed funds (the "Boards") were not informed of the Revenue
Guarantee Agreement with the sub-contractor at the time the Boards considered
and approved the transfer agent arrangements. Nor were the Boards informed of
the subsequent amendment to the Revenue Guarantee Agreement when that occurred.
CAM has begun to take corrective actions. CAM will pay to the applicable funds
$16 million (plus interest) that CAM and its affiliates received from the
Revenue Guarantee Agreement and its amendment. CAM also plans an independent
review to verify that the transfer agency fees charged by CAM were fairly
priced as compared to competitive alternatives. CAM is instituting new
procedures and making changes designed to ensure no similar arrangements are
entered into in the future.
CAM has briefed the SEC, the New York State Attorney General and other
regulators with respect to this matter, as well as the U.S. Attorney who is
investigating the matter. CAM is cooperating with governmental authorities on
this matter, the ultimate outcome of which is not yet determinable.
45 Travelers Series Fund Inc. | 2003 Annual Report
FINANCIAL HIGHLIGHTS
For a share of capital stock outstanding throughout each year ended October 31,
unless otherwise noted:
Smith Barney International
All Cap Growth Portfolio 2003/(1)/ 2002/(1)/ 2001/(1)/ 2000/(1)/ 1999
- ------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year $ 8.78 $11.18 $18.52 $16.92 $12.60
- ------------------------------------------------------------------------------------------
Income (Loss) From Operations:
Net investment income 0.10 0.04 0.05 0.02 0.02
Net realized and unrealized gain (loss) 1.60 (2.39) (7.39) 1.71 4.35
- ------------------------------------------------------------------------------------------
Total Income (Loss) From Operations 1.70 (2.35) (7.34) 1.73 4.37
- ------------------------------------------------------------------------------------------
Less Distributions From:
Net investment income (0.05) (0.05) -- (0.13) (0.05)
- ------------------------------------------------------------------------------------------
Total Distributions (0.05) (0.05) -- (0.13) (0.05)
- ------------------------------------------------------------------------------------------
Net Asset Value, End of Year $10.43 $ 8.78 $11.18 $18.52 $16.92
- ------------------------------------------------------------------------------------------
Total Return/(2)/ 19.45% (20.97)% (39.63)% 10.18% 34.73%
- ------------------------------------------------------------------------------------------
Net Assets, End of Year (millions) $180 $170 $244 $462 $309
- ------------------------------------------------------------------------------------------
Ratios to Average Net Assets:
Expenses 0.99% 1.00% 1.00% 0.98% 1.00%
Net investment income 1.07 0.42 0.31 0.11 0.16
- ------------------------------------------------------------------------------------------
Portfolio Turnover Rate 45% 27% 22% 15% 36%
- ------------------------------------------------------------------------------------------
(1) Per share amounts have been calculated using the monthly average shares
method.
(2) Total returns do not reflect expenses associated with the separate account
such as administrative fees, account charges and surrender charges which,
if reflected, would reduce the total returns for all periods shown.
46 Travelers Series Fund Inc. | 2003 Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
For a share of capital stock outstanding throughout each year ended October 31,
unless otherwise noted:
Salomon Brothers Strategic
Total Return Bond Portfolio 2003/(1)/ 2002/(1)/ 2001/(1)/ 2000/(1)/ 1999
- ------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year $10.13 $10.27 $ 9.89 $10.22 $10.97
- --------------------------------------------------------------------------------------------
Income (Loss) From Operations:
Net investment income/(2)/ 0.54 0.51 0.58 0.81 0.75
Net realized and unrealized gain (loss)/(2)/ 0.93 (0.17) 0.48 (0.37) (0.85)
- --------------------------------------------------------------------------------------------
Total Income (Loss) From Operations 1.47 0.34 1.06 0.44 (0.10)
- --------------------------------------------------------------------------------------------
Less Distributions From:
Net investment income (0.50) (0.48) (0.68) (0.77) (0.65)
- --------------------------------------------------------------------------------------------
Total Distributions (0.50) (0.48) (0.68) (0.77) (0.65)
- --------------------------------------------------------------------------------------------
Net Asset Value, End of Year $11.10 $10.13 $10.27 $ 9.89 $10.22
- --------------------------------------------------------------------------------------------
Total Return/(3)/ 15.10% 3.36% 10.99% 4.34% (0.96)%
- --------------------------------------------------------------------------------------------
Net Assets, End of Year (millions) $21 $21 $18 $20 $23
- --------------------------------------------------------------------------------------------
Ratios to Average Net Assets:
Expenses 1.20% 1.24% 1.23% 0.98% 1.13%
Net investment income/(2)/ 5.06 4.95 5.69 7.93 6.43
- --------------------------------------------------------------------------------------------
Portfolio Turnover Rate 68%* 385% 448% 54% 135%
- --------------------------------------------------------------------------------------------
(1) Per share amounts have been calculated using the monthly average shares
method.
(2) Effective November 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 October
31, 2002, net investment income, net realized and unrealized loss and the
ratio of net investment income to average net assets would have been $0.52,
$0.18 and 5.04%, respectively. Per share information, ratios and
supplemental data for the periods prior to November 1, 2001 have not been
restated to reflect this change in presentation.
(3) Total returns do not reflect expenses associated with the separate account
such as administrative fees, account charges and surrender charges which,
if reflected, would reduce the total returns for all periods shown.
* Excluding mortgage dollar roll transactions. If mortgage dollar roll
transactions had been included, the portfolio turnover rate would have been
376%.
47 Travelers Series Fund Inc. | 2003 Annual Report
FINANCIAL HIGHLIGHTS (CONTINUED)
For a share of capital stock outstanding throughout the period ended October 31:
SB Adjustable Rate Income Portfolio 2003/(1)/
- -----------------------------------------------
Net Asset Value, Beginning of Period $10.00
- -----------------------------------------------
Income From Operations:
Net investment income/(2)/ 0.01
- -----------------------------------------------
Total Income From Operations 0.01
- -----------------------------------------------
Net Asset Value, End of Period $10.01
- -----------------------------------------------
Total Return/(3)/ 0.10%++
- -----------------------------------------------
Net Assets, End of Period (millions) $11
- -----------------------------------------------
Ratios to Average Net Assets:
Expenses/(2)/ 1.00%+
Net investment income 0.87+
- -----------------------------------------------
Portfolio Turnover Rate 3%
- -----------------------------------------------
(1) For the period September 12, 2003 (commencement of operations) to October
31, 2003.
(2) The investment manager has waived all of its management fee and has agreed
to reimburse the Fund for expenses in the amount of $40,021 for the period
ended October 31, 2003. In addition, Rule 12b-1 distribution plan fees of
$3,491 were waived for the period ended October 31, 2003. If such fees were
not waived or expenses not reimbursed, the per share decrease to net
investment income and the actual annualized expense ratio would have been
$0.05 and 4.72%, respectively.
(3) Performance figures may reflect fee waivers and/or expense reimbursements.
Past performance is no guarantee of future results. In the absence of fee
waivers and/or expense reimbursements, the total return would be reduced.
Total returns do not reflect expenses associated with the separate account
such as administrative fees, account charges and surrender charges which,
if reflected, would reduce the total returns for all periods shown.
++ Total return is not annualized, as it may not be representative of the
total return for the year.
+ Annualized.
TAX INFORMATION (UNAUDITED)
The following October 31, 2003 fiscal year end disclosures are of various tax
benefits that will be reported to shareholders at calendar year end:
. The total foreign sourced income received by SBIACG was $0.2204 per share
(or a total amount of $3,797,399). The total amount of foreign taxes paid
was $0.0227 per share (or a total amount of $390,645).
. A total of 8.46% of the ordinary dividends paid by SBSTRB from net
investment income are derived from Federal obligations and may be exempt
from taxation at the state level.
48 Travelers Series Fund Inc. | 2003 Annual Report
INDEPENDENT AUDITORS' REPORT
The Shareholders and Board of Directors of
Travelers Series Fund Inc.:
We have audited the accompanying statements of assets and liabilities,
including the schedules of investments, of the Smith Barney International All
Cap Growth, Salomon Brothers Strategic Total Return Bond and SB Adjustable Rate
Income Portfolios ("Funds") of Travelers Series Fund Inc. ("Company") as of
October 31, 2003, and the related statements of operations for the year then
ended, the statements of changes in net assets for each of the years in the
two-year period then ended and the financial highlights for each of the years
in the five-year period then ended with respect to the Smith Barney
International All Cap Growth and Salomon Brothers Strategic Total Return Bond
Portfolios, and the statement of operations, the statement of changes in net
assets and the financial highlights for the period from September 12, 2003
(commencement of operations) to October 31, 2003 with respect to the SB
Adjustable Rate Income Portfolio. These financial statements and financial
highlights are the responsibility of the Company's management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits.
We conducted our audits in accordance with auditing standards generally
accepted in the United States of America. Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the
financial statements and financial highlights are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements. Our procedures
included confirmation of securities owned as of October 31, 2003, by
correspondence with the custodian and brokers. As to securities purchased or
sold but not yet received or delivered, we performed other appropriate auditing
procedures. An audit also includes assessing the accounting principles used and
significant estimates made by management, as well as evaluating the overall
financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Funds of the Company as of October 31, 2003, and the results of their
operations, the changes in their net assets and the financial highlights for
the periods described above in conformity with accounting principles generally
accepted in the United States of America.
/s/ KPMG LLP
New York, New York
December 10, 2003
49 Travelers Series Fund Inc. | 2003 Annual Report
ADDITIONAL INFORMATION (UNAUDITED)
Information about Directors and Officers
The business and affairs of the Travelers Series Fund Inc. ("Company") are
managed under the direction of the Company's Board of Directors. Information
pertaining to the Directors and Officers of the Company is set forth below.
Number of
Term of Portfolios
Office* and Principal in Fund Other
Position(s) Length Occupation(s) Complex Directorships
Held with of Time During Past Overseen by Held by
Name, Address and Age Fund Served Five Years Director Director
- --------------------------------------------------------------------------------------------------------
Non-Interested Directors:
A.E. Cohen Director Since Consultant to Chugai 17 Director of
444 Madison Avenue 1996 Pharmaceutical Agouron
Suite 1201 Co. Ltd. Pharmaceuticals,
New York, NY 10022 Inc., Akzo Nobel
Age 67 NV, Teva
Pharmaceutical
Inc., Ltd., Chugai
Pharmaceutical
Co. Ltd.,
Pharmaceutical
Product
Development,
Inc. and Axonyx
Inc.; Chairman of
Vasomedical,
Inc.,
Neurobiological
Technologies Inc.
and Kramex Corp.
Robert A. Frankel Director Since Managing Partner of 24 None
1961 Deergrass Way 1999 Robert A. Frankel
Carlsbad, CA 92009 Managing Consultants;
Age 76 Former Vice President of
The Readers Digest
Association, Inc.
Michael E. Gellert Director Since General Partner of 17 Director of Dalet
122 East 42nd Street 1999 Windcrest Partners, a S.A., Devon
47th Floor venture capital firm Energy Corp.,
New York, NY 10168 High Speed
Age 72 Access Corp.,
Human, Inc.,
SEACOR Smit,
Inc. and Six Flags,
Inc.
Rainer Greeven Director Since Attorney, Rainer Greeven 17 Director of
630 5th Avenue 1994 PC Continental
Suite 1905 Container Corp.
New York, NY 10111
Age 67
Susan M. Heilbron Director Since Owner/Consultant of 17 Director of
P.O. Box 557 1994 Lacey & Heilbron, a public National Multiple
Chilimark, MA 02535 relations firm Sclerosis Society,
Age 58 New York City
Chapter
50 Travelers Series Fund Inc. | 2003 Annual Report
ADDITIONAL INFORMATION (UNAUDITED) (CONTINUED)
Number of
Term of Portfolios
Office* and Principal in Fund Other
Position(s) Length Occupation(s) Complex Directorships
Held with of Time During Past Overseen by Held by
Name, Address and Age Fund Served Five Years Director Director
- ----------------------------------------------------------------------------------------------------------
Interested Director:
R. Jay Gerken, CFA** Chairman, Since Managing Director of 220 None
Citigroup Asset Management President and 2002 Citigroup Global Markets
("CAM") Chief Inc. ("CGM"); Chairman,
399 Park Avenue Executive President and Chief
4th Floor Officer Executive Officer of Smith
New York, NY 10022 Barney Fund Management
Age 52 LLC ("SBFM"), Travelers
Investment Adviser, Inc.
("TIA") and Citi Fund
Management Inc.
("CFM"); President and
Chief Executive Officer of
certain mutual funds
associated with Citigroup
Inc. ("Citigroup");
Formerly, Portfolio
Manager of Smith Barney
Allocation Series Inc.
(from 1996-2001) and
Smith Barney Growth and
Income Fund (from 1996-
2000)
Officers:
Andrew B. Shoup*** Senior Vice Since Director of CAM; Senior N/A N/A
CAM President and 2003 Vice President and Chief
125 Broad Street Chief Administrative Officer of
10th Floor Administrative mutual funds associated
New York, NY 10004 Officer with Citigroup; Head of
Age 47 International Funds
Administration of CAM
from 2001 to 2003;
Director of Global Funds
Administration of CAM
from 2000 to 2001; Head
of U.S. Citibank Funds
Administration of CAM
from 1998 to 2000
Richard L. Peteka Chief Since Director of CGM; Chief N/A N/A
CAM Financial 2002 Financial Officer and
125 Broad Street Officer and Treasurer of certain
11th Floor Treasurer mutual funds associated
New York, NY 10004 with Citigroup; Director
Age 42 and Head of Internal
Control for CAM
U.S. Mutual Fund
Administration from
1999-2002; Vice
President, Head of Mutual
Fund Administration and
Treasurer at Oppenheimer
Capital from 1996-1999
51 Travelers Series Fund Inc. | 2003 Annual Report
ADDITIONAL INFORMATION (UNAUDITED) (CONTINUED)
Number of
Term of Portfolios
Office* and Principal in Fund Other
Position(s) Length Occupation(s) Complex Directorships
Held with of Time During Past Overseen by Held by
Name, Address and Age Fund Served Five Years Director Director
- --------------------------------------------------------------------------------------------------------
Jeffrey J. Russell Vice Since Managing Director N/A N/A
CAM President 1994 of CGM
399 Park Avenue and
4th Floor Investment
New York, NY 10022 Officer
Age 46
Beth A. Semmel, CFA Vice Since Managing Director N/A N/A
CAM President 2002 of CGM
399 Park Avenue and
4th Floor Investment
New York, NY 10022 Officer
Age 42
Peter J. Wilby, CFA Vice Since Managing Director N/A N/A
CAM President 2000 of CGM
399 Park Avenue and
4th Floor Investment
New York, NY 10022 Officer
Age 44
David A. Torchia Investment Since Managing Director N/A N/A
CAM Officer 2003 of CGM
399 Park Avenue
4th Floor
New York, NY 10022
Age 44
Theresa M. Veres Investment Since Director of CGM N/A N/A
CAM Officer 2003
399 Park Avenue
4th Floor
New York, NY 10022
Age 37
Kaprel Ozsolak Controller Since Vice President of CGM; N/A N/A
CAM 2002 Controller of certain funds
125 Broad Street associated with Citigroup
11th Floor
New York, NY 10004
Age 38
Robert I. Frenkel Secretary*** Since Managing Director and N/A N/A
CAM and Chief 2003 General Counsel of Global
300 First Stamford Place Legal Officer Mutual Funds for CAM
4th Floor and its predecessor (since
Stamford, CT 06902 1994); Secretary of CFM;
Age 48 Secretary and Chief Legal
Officer of mutual funds
associated with Citigroup
- --------
* Each Director and Officer serves until his or her successor has been duly
elected and qualified.
** Mr. Gerken is an "interested person" of the Company as defined in the
Investment Company Act of 1940, as amended, because Mr. Gerken is an
officer of SBFM and certain of its affiliates.
*** As of November 25, 2003.
52 Travelers Series Fund Inc. | 2003 Annual Report
TRAVELERS SERIES
FUND INC.
DIRECTORS INVESTMENT MANAGERS
A.E. Cohen Smith Barney Fund
Robert A. Frankel Management LLC
Michael E. Gellert Travelers Investment Adviser, Inc.
R. Jay Gerken, CFA
Chairman CUSTODIAN
Rainer Greeven State Street Bank and
Susan M. Heilbron Trust Company
OFFICERS ANNUITY
R. Jay Gerken, CFA ADMINISTRATION
President and Chief Travelers Annuity Investor Services
Executive Officer One Cityplace
Hartford, CT 06103-3415
Andrew B. Shoup*
Senior Vice President
and Chief
Administrative Officer * As of November 25, 2003.
Richard L. Peteka
Chief Financial Officer
and Treasurer
Jeffrey J. Russell
Vice President and
Investment Officer
Beth A. Semmel, CFA
Vice President and
Investment Officer
Peter J. Wilby, CFA
Vice President and
Investment Officer
David A. Torchia
Investment Officer
Theresa M. Veres
Investment Officer
Kaprel Ozsolak
Controller
Robert I. Frenkel
Secretary* and
Chief Legal Officer
Travelers Series Fund Inc.
Smith Barney International All Cap Growth Portfolio
Salomon Brothers Strategic Total Return Bond Portfolio
SB Adjustable Rate Income Portfolio
The Funds are separate investment funds of the Travelers Series Fund Inc., a
Maryland corporation.
This report is submitted for the general information of the shareholders of
Travelers Series Fund Inc. -- Smith Barney International All Cap Growth,
Salomon Brothers Strategic Total Return Bond and SB Adjustable Rate Income
Portfolios. It is not authorized for distribution to prospective investors
unless accompanied or preceded by a current Prospectus for the Funds, which
contains information concerning the Funds' investment policies and expenses
as well as other pertinent information.
TRAVELERS SERIES FUND INC.
125 Broad Street
10th Floor, MF-2
New York, New York 10004
IN0252 12/03
03-5776
ITEM 2. CODE OF ETHICS.
The registrant has adopted a code of ethics that applies to the
registrant's principal executive officer, principal financial officer,
principal accounting officer or controller.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The Board of Directors of the registrant has determined that Robert A.
Frankel, the Chairman of the Board's Audit Committee, possesses the
technical attributes identified in Instruction 2(b) of Item 3 to Form
N-CSR to qualify as an "audit committee financial expert," and has
designated Mr. Frankel as the Audit Committee's financial expert. Mr.
Frankel is an "independent" Director pursuant to paragraph (a)(2) of
Item 3 to Form N-CSR.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. [RESERVED]
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. [RESERVED]
ITEM 9. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive officer and principal
financial officer have concluded that the registrant's disclosure
controls and procedures (as defined in Rule 30a- 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 10. EXHIBITS.
(a) Code of Ethics attached hereto.
Exhibit 99.CODE ETH
(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.
Travelers Series Fund Inc.
By: /s/ R. Jay Gerken
R. Jay Gerken
Chief Executive Officer of
Travelers Series Fund Inc.
Date: January 2, 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
Travelers Series Fund Inc.
Date: January 2, 2004
By: /s/ Richard L. Peteka
(Richard L. Peteka)
Chief Financial Officer of
Travelers Series Fund Inc.
Date: January 2, 2004