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 HIGH
INCOME PORTFOLIO
PIONEER STRATEGIC
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 High Income Portfolio. 3
Pioneer Strategic Income Portfolio. 5
Fund Performance:
Smith Barney High Income Portfolio. 8
Pioneer Strategic Income Portfolio. 10
Schedules of Investments............ 12
Statements of Assets and Liabilities 56
Statements of Operations............ 57
Statements of Changes in Net Assets. 58
Notes to Financial Statements....... 60
Financial Highlights................ 69
Independent Auditors' Report........ 71
Additional Information.............. 72
Tax Information..................... 75
LETTER FROM THE CHAIRMAN
[PHOTO]
R. Jay Gerken
R. JAY GERKEN, CFA
Chairman, President and Chief Executive Officer
Dear Shareholder,
The corporate bond market and, in particular, the high-yield market benefited
from improving economic conditions and a more promising environment for
corporate profitability, along with declining default rates and attractive
yields. The high-yield market advanced for eight consecutive months through
June, before falling sharply in July due to an abrupt sell-off in U.S.
Treasuries, as yields on 10-year Treasuries rose rapidly in response to
expectations that interest rates had bottomed. Once U.S. Treasuries stabilized
in August, the high-yield market rebounded. Global bonds also performed
well with additional support from rising currency values relative to the U.S.
dollar.
Within this volatile but overall very positive environment, the funds performed
well in absolute terms as well as in relation to their respective benchmark
indices.
For a more detailed review of how your fund performed within this market
environment, continue reading this report. As always, thank you for entrusting
your assets to us. We look forward to helping you continue to meet your
financial goals.
Sincerely,
/s/ R. Jay Gerken
R. Jay Gerken, CFA
Chairman, President and Chief Executive Officer
November 20, 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 High Income Portfolio 8.03% 31.70%
Bear Stearns High Yield Index/2/ 8.69% 33.58%
Average of Lipper variable high
current yield funds/3/ 8.24% 27.23%
Pioneer Strategic Income Portfolio 6.84% 20.56%
Lehman Brothers Aggregate Bond
Index/4/ 0.57% 4.90%
Citigroup Non-U.S. World
Government Bond Index/5/ 5.34% 17.75%
Average of Lipper variable general
bond funds/6/ 3.23% 12.80%
/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 Bear Stearns High Yield Index comprises securities across a wide
spectrum of industries with at least one year to maturity. All
fixed-income, non-convertible, dollar-denominated securities rated both BB+
and Ba1 or lower (split-rated crossover issues are not included) with
outstanding par value of at least $100 million are included. 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 86
funds for the six-month period and among 85 funds for the 12-month period,
in the fund's Lipper peer group including the reinvestment of dividends and
capital gains.
/4/The Lehman Brothers Aggregate Bond Index is a broad-based bond index
comprised of Government, Corporate, Mortgage and Asset-backed issues, rated
investment-grade or higher, and having at least one year to maturity.
Please note that an investor cannot invest directly in an index.
/5/The Citigroup Non-U.S. World Government Bond Index is an unmanaged index
composed of foreign government bonds. Please note that an investor cannot
invest directly in an index.
/6/Returns are based on the period ended October 31, 2003, calculated among 42
funds for the six-month period and among 41 funds for the 12-month period,
in the fund's Lipper peer group including the reinvestment of dividends and
capital gains.
2 Travelers Series Fund Inc. | 2003 Annual Report
MANAGER OVERVIEW
Smith Barney High Income Portfolio
Performance Update
For the 12 months ended October 31, 2003, the fund returned 31.70%. The fund
performed better than its Lipper peer group of variable high current yield
funds, which had an average return of 27.23% for the same period./7/ However,
it underperformed its unmanaged benchmark, the Bear Stearns High Yield Index
("High Yield Index"),/i/ which returned 33.58% during the same period.
Market Overview
Declining default rates, fewer reports of fraudulent corporate accounting
activity, and signs of an improving economy triggered a rally in the high-yield
market over the 12 months ending October 31, 2003.
The high-yield market continued to gain momentum throughout the first quarter
of 2003, despite weak equity markets, a struggling economy and investor concern
regarding the conflict with Iraq.
In June, the Fed cut its target for the federal funds rate to a four-decade low
of 1% to trigger a more accommodative borrowing environment to promote economic
growth. Treasury bond prices (which move opposite to yields) subsequently fell,
particularly in July, amid stronger than expected economic data. Likewise, the
high-yield market lost ground from the end of June into the middle of August as
the yield on 10-year U.S. Treasuries soared from the low 3% range in mid-June
to almost 4.5% by mid-August. These rising yields, the subsequent outflows of
cash from high-yield bond funds, and the abundant quantity of new issues on the
market (which created supply pressures) caused the high-yield market to move
lower. However, the market reversed course and rallied through the end of the
year, sparking the return of mutual fund inflows, due to stronger-than-expected
third-quarter economic results and third-quarter earnings that were in line
with expectations.
/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 85 funds in the Lipper variable high current yield funds category with
reinvestment of dividends and capital gains.
3 Travelers Series Fund Inc. | 2003 Annual Report
Contributors to Fund Performance
Rallying from distressed levels last year, bonds rated CCC and those in a
variety of credit categories in the airlines, cable and media, communications
towers, energy, technology, telecommunications and utilities sectors finished
the year among the top performers of the High Yield Index. For the 12 months,
the portfolio benefited as it increased its weighting in issues rated CCC, as
well as in the cable and media, communications towers and telecommunications
sectors. During the period, the High Yield Index added many bonds in the
utilities and energy sectors. Although the portfolio increased its exposure to
these sectors during the period, it remained underweighted in relation to this
index. This underweighted position detracted from its performance versus the
High Yield Index. The portfolio also decreased its airlines and technology
holdings, which detracted from performance.
The most significant underperforming sectors included bonds rated BB and bonds
in the gaming, healthcare, metals and mining, restaurants, and textiles
sectors. The portfolio held underweight positions in issues rated BB and in the
gaming, healthcare, metals and mining, and restaurants sectors. It remained
overweight textiles during the period.
Thank you for your investment in the Smith Barney High Income 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 20, 2003
4 Travelers Series Fund Inc. | 2003 Annual Report
MANAGER OVERVIEW
Pioneer Strategic Income Portfolio
Special Shareholder Notice
Effective July 1, 2003, the fund's sub-adviser changed from Putnam Investments
to Pioneer Investment Management, Inc. Although the fund's investment
objectives did not change (it still seeks a high level of current income), its
name changed in accordance with the change in sub-adviser.
Performance Update
For the 12 months ended October 31, 2003, the fund returned 20.56%. In
comparison, the fund outperformed its unmanaged benchmarks, the Lehman Brothers
Aggregate Bond Index/ii/ and the Citigroup Non-U.S. World Government Bond
Index/iii/, which returned 4.90% and 17.75%, respectively, during the same
period. It also performed better than its Lipper peer group of variable general
bond funds, which had an average return of 12.80% during its fiscal year./8/
Market Overview
The portfolio benefited from a series of events that have, in general, helped
bolster the fixed income markets. These events included the Fed's favorable
interest rate adjustments throughout the year, which helped trigger a sustained
rally for corporate bonds and stocks. Investors now expect the long-awaited
economic recovery to begin. Expectations received further encouragement when
corporate earnings began to improve, leading economic indicators became more
positive, and Congress approved President Bush's tax-cut legislation. At the
same time, the U.S. dollar lost ground against major foreign currencies. The
weakening dollar helped U.S. manufacturers in two ways: by making their
products more competitive in overseas markets and by making foreign imports
less competitive in the United States. The financial markets reacted to these
positive signs by anticipating a full economic recovery.
/8/Lipper Inc. is a major independent mutual-fund tracking organization.
Returns are based on the 12-month period ended October 31, 2003, calculated
among 41 funds in the Lipper variable general bond funds category with
reinvestment of dividends and capital gains.
5 Travelers Series Fund Inc. | 2003 Annual Report
Corporate bonds, which had lagged Treasuries when the economy slumped,
rebounded vigorously, with high-yield bonds outperforming investment-grade
securities. Foreign investment grade bonds and emerging market bonds also did
very well, boosted by the rising value of their underlying currencies. In
contrast, Treasuries and government agency bonds tended to lag other classes of
fixed-income assets, as interest rates on bonds with maturities of five years
or longer started to rise, undercutting bond prices.
Portfolio Performance/9/
Since assuming responsibility for the fund, we have re-positioned the portfolio
so that approximately 60% of its assets are invested in either domestic
high-yield corporate bonds or in bonds denominated in foreign currencies,
giving the portfolio a large exposure to the bond market's best-performing
segments. We have de-emphasized Treasuries and bonds with long maturities, two
areas that lagged in performance during the year. We also have kept the
portfolio's sensitivity to interest-rate changes, commonly known as duration,
relatively low to guard against exposure to rising interest rates.
At the close of the fiscal period, on October 31st, domestic high-yield bonds
comprised 41% of the portfolio's assets, with U.S. and international
investment-grade bonds accounting for an additional 26%. Emerging market and
international high-yield debt totaled 11% of assets, while non-dollar assets
accounted for 18%. Only 4% of assets were invested in Treasuries and Agencies.
The performance of domestic high-yield bonds had a major impact on the
portfolio's returns. In addition, we emphasized cyclical sectors that had the
greatest potential to perform well during a period of accelerating economic
growth. These included industries such as commodities and basic materials,
where the fund had strong performance from mining companies such as Phelps
Dodge Corp. and Brazilian firm, Companhia Vale do Rio Doce, as well as from the
airline industry. In the latter group, the fund invested both in the upper tier
of commercial airlines, such as Continental Airlines, Inc. and Northwest
Airlines Inc., and in municipal bonds backed by revenues from airport
facilities. For example, the fund owned bonds secured by revenues from
Continental gates in New Jersey and Northwest gates in Detroit.
/9/The portfolio's holdings during the 12 months ended October 31, 2003
included securities (in some cases multiple securities) issued by Phelps
Dodge Corp., Companhia Vale do Rio Doce, Continental Airlines, Inc.,
Northwest Airlines Inc., Companhia de Bebidas das Americas, Mobile
TeleSystems OJSC, Huntsman ICI Chemicals LLC and Lyondell Chemical Co. On
October 31, 2003, securities of these issuers, including those of the parent
company and/or affiliate or subsidiaries, held by the fund on an aggregate
basis constituted 0.14%, 1.06%, 0.05%, 0.70%, 0.52%, 0.35%, 0.34% and 0.33%
of the fund's holdings, respectively. Percentages are based upon net assets.
Portfolio holdings are subject to change.
6 Travelers Series Fund Inc. | 2003 Annual Report
Among its emerging market investments, the fund had particularly strong results
from Companhia de Bebidas das Americas (Ambev), a Brazilian brewing company,
and Mobile TeleSystems OJSC (MTS), a telecommunications services company
serving major parts of Russia and the Ukraine.
Although we had no disasters, some bonds lagged the rally in high yield assets
even though they had positive returns. The bonds include securities in the
chemical sector such as Huntsman ICI Chemicals LLC and Lyondell Chemical Co.
Thank you for your investment in the Pioneer Strategic Income Portfolio. We
appreciate that you have entrusted us to manage your money and we value our
relationship with you.
Sincerely,
The Portfolio Management Team
Pioneer Investments
October 31, 2003
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 12 through 53 for a list and percentage breakdown
of the funds' holdings.
/i/The High Yield Index comprises securities across a wide spectrum of
industries with at least one year to maturity. All fixed-income,
non-convertible, dollar-denominated securities rated both BB+ and Ba1 or
lower (split-rated crossover issues are not included) with outstanding par
value of at least $100 million are included. Please note that an investor
cannot invest directly in an index.
/ii/The Lehman Brothers Aggregate Bond Index is a broad-based bond index
comprised of Government, Corporate, Mortgage and Asset-backed issues, rated
investment-grade or higher, and having at least one year to maturity.
Please note that an investor cannot invest directly in an index.
/iii/The Citigroup Non-U.S. World Government Bond Index is an unmanaged index
composed of foreign government bonds. 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.
7 Travelers Series Fund Inc. | 2003 Annual Report
SMITH BARNEY HIGH INCOME PORTFOLIO
AVERAGE ANNUAL TOTAL RETURNS+ (UNAUDITED)
Twelve Months Ended 10/31/03 31.70%
- --------------------------------------
Five Years Ended 10/31/03 2.63
- --------------------------------------
6/16/94* through 10/31/03 5.49
- --------------------------------------
CUMULATIVE TOTAL RETURN+ (UNAUDITED)
6/16/94* through 10/31/03 65.09%
- --------------------------------------------------------
+ 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.
8 Travelers Series Fund Inc. | 2003 Annual Report
HISTORICAL PERFORMANCE (UNAUDITED)
Value of $10,000 Invested in Shares of the
Smith Barney High Income Portfolio vs.
Bear Stearns High Yield Index+
- --------------------------------------------------------------------------------
June 1994 -- October 2003
[CHART]
Smith Barney High Bear Stearns
Income Portfolio High Yield Index
----------------- ----------------
6/16/94 $10,000 $10,000
10/94 10,070 10,282
10/95 11,510 11,932
10/96 12,912 13,295
10/97 15,008 15,264
10/98 14,500 15,117
10/99 15,265 15,808
10/00 14,725 15,584
10/01 13,536 15,423
10/02 12,536 14,690
10/31/03 16,509 19,662
+ Hypothetical illustration of $10,000 invested in shares of the Smith Barney
High Income 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 Bear Stearns High Yield Index is a
broad-based unmanaged index of high-yield corporate bonds. The Index is
unmanaged and is not subject to the same management and trading expenses as
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.
9 Travelers Series Fund Inc. | 2003 Annual Report
PIONEER STRATEGIC INCOME PORTFOLIO
AVERAGE ANNUAL TOTAL RETURNS+ (UNAUDITED)
Twelve Months Ended 10/31/03 20.56%
- -----------------------------------
Five Years Ended 10/31/03 5.58
- -----------------------------------
6/16/94* through 10/31/03 6.40
- -----------------------------------
CUMULATIVE TOTAL RETURN+ (UNAUDITED)
6/16/94* through 10/31/03 78.83%
- --------------------------------------------------------
+ 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.
10 Travelers Series Fund Inc. | 2003 Annual Report
HISTORICAL PERFORMANCE (UNAUDITED)
Value of $10,000 Invested in Shares of the
Pioneer Strategic Income Portfolio vs.
Citigroup Non-U.S. World
Government Bond Index - Unhedged and
Lehman Brothers Aggregate Bond Index+
- --------------------------------------------------------------------------------
June 1994 -- October 2003
[CHART]
Citigroup
Pioneer Non-U.S. World Lehman Brothers
Strategic Government Bond Aggregate
Income Portfolio Index - Unhedged Bond Index
---------------- --------------------- ---------------
6/16/94 $10,000 $10,000 $10,000
10/94 10,180 10,554 10,052
10/95 11,560 12,155 11,626
10/96 12,650 12,818 12,305
10/97 13,717 14,410 13,399
10/98 13,628 16,254 14,651
10/99 13,873 15,772 14,730
10/00 13,902 13,265 16,029
10/01 14,541 14,322 19,506
10/02 14,833 15,765 20,654
10/31/03 17,883 18,563 21,666
+ Hypothetical illustration of $10,000 invested in shares of the Pioneer
Strategic Income 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 Citigroup Non-U.S. World Government Bond
Index - Unhedged is comprised of fixed rate bonds with a maturity of one year
or longer, and at least $25 million outstanding. This Index includes
securities from 10 countries, providing a comprehensive measure of the total
return performance of the domestic bond markets in each country included, as
well as the ten combined countries. The Lehman Brothers Aggregate Bond Index
is comprised of over 6,500 issues of U.S. Treasuries, Agencies, Corporate
Bonds and Mortgage-Backed Securities. These Indexes are unmanaged and are not
subject to the same management and trading expenses as 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.
11 Travelers Series Fund Inc. | 2003 Annual Report
SCHEDULES OF INVESTMENTS OCTOBER 31, 2003
SMITH BARNEY HIGH INCOME PORTFOLIO
FACE
AMOUNT+ RATING(a) SECURITY VALUE
- -------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES -- 93.6%
Aerospace and Defense -- 0.3%
725,000 B3* Dunlop Standard Aerospace Holdings PLC, Sr. Notes,
11.875% due 5/15/09 $ 790,250
- ----------------------------------------------------------------------------------------------
Airlines -- 0.9%
655,000 C* Air Canada, Sr. Notes, 10.250% due 3/15/11 (b) 235,800
Continental Airlines, Inc., Pass-Through Trust Certificates:
885,000 B Series 01-2, Class D, 7.568% due 12/1/06 717,025
560,000 BB- Series 99-2, Class C-2, 7.434% due 9/15/04 535,310
United Airlines, Inc., Pass-Through Certificates:
888,599 CCC+ Series 00-2, Class B, 7.811% due 10/1/09 (b) 267,872
160,000 B+ Series 01-1, Class B, 6.932% due 9/1/11 45,054
365,000 CCC+ Series 01-1, Class C, 6.831% due 9/1/08 30,349
304,954 A+ US Airways, Inc., Pass-Through Certificates, Series 99-1,
Class A, 8.360% due 1/20/19 296,085
- ----------------------------------------------------------------------------------------------
2,127,495
- ----------------------------------------------------------------------------------------------
Automotive -- 2.1%
Dana Corp., Notes:
715,000 BB 6.500% due 3/1/09 711,425
320,000 BB 10.125% due 3/15/10 363,200
925,000 B- Eagle-Picher Inc., Sr. Notes, 9.750% due 9/1/13 (c) 985,125
325,000 Baa1* Ford Motor Co., Notes, 7.450% due 7/16/31 292,745
450,000 A3* General Motors Acceptance Corp., Notes,
6.875% due 8/28/12 462,041
General Motors Corp.:
175,000 Baa1* Sr. Debentures, 8.375% due 7/15/33 185,159
975,000 Baa1* Sr. Notes, 7.125% due 7/15/13 1,016,383
225,000 B- Rexnord Corp., Sr. Sub. Notes, 10.125% due 12/15/12 250,875
400,000 B2* Tenneco Automotive Inc., Sr. Secured Second Lien Notes,
Series B, 10.250% due 7/15/13 444,000
150,000 B+ TRW Automotive, Inc., Sr. Sub. Notes,
11.000% due 2/15/13 (c) 177,750
- ----------------------------------------------------------------------------------------------
4,888,703
- ----------------------------------------------------------------------------------------------
Broadcasting -- 1.3%
1,432,000 B- Emmis Communications Corp., Sr. Discount Notes,
step bond to yield 12.396% due 3/15/11 1,321,020
125,000 B- NextMedia Operating, Inc., Sr. Sub. Notes,
10.750% due 7/1/11 141,875
Paxson Communications Corp.:
490,000 CCC+ Sr. Sub. Discount Notes, step bond to yield
12.263% due 1/15/09 414,050
270,000 CCC+ Sr. Sub. Notes, 10.750% due 7/15/08 292,275
See Notes to Financial Statements.
12 Travelers Series Fund Inc. | 2003 Annual Report
SCHEDULES OF INVESTMENTS (CONTINUED) OCTOBER 31, 2003
SMITH BARNEY HIGH INCOME PORTFOLIO
FACE
AMOUNT+ RATING(a) SECURITY VALUE
- -------------------------------------------------------------------------------------------------
Broadcasting -- 1.3% (continued)
550,000 B2* Radio One, Inc., Sr. Sub. Notes, Series B, 8.875% due 7/1/11 $ 607,750
285,000 CCC+ Spanish Broadcasting System Inc., Sub. Notes,
9.625% due 11/1/09 297,113
- ----------------------------------------------------------------------------------------------
3,074,083
- ----------------------------------------------------------------------------------------------
Building/Construction -- 2.8%
160,000 B- Associated Materials Inc., Sr. Sub. Notes,
9.750% due 4/15/12 173,800
690,000 B- Atrium Cos., Inc., Sr. Sub. Notes, Series B,
10.500% due 5/1/09 736,575
575,000 B- Brand Services, Inc., Sr. Notes,12.000% due 10/15/12 644,000
D.R. Horton, Inc.:
320,000 Ba1* Sr. Notes, 8.000% due 2/1/09 358,400
340,000 Ba2* Sr. Sub. Notes, 9.375% due 3/15/11 375,700
480,000 BB- KB HOME, Sr. Sub. Notes, 9.500% due 2/15/11 535,200
585,000 BBB- Lennar Corp., Notes, Series B, 9.950% due 5/1/10 675,207
870,000 B- Nortek Holdings, Inc., Sr. Sub. Notes, Series B,
9.875% due 6/15/11 941,775
330,000 Ca* Oglebay Norton Co., Sr. Sub. Notes, 10.000% due 2/1/09 141,900
385,000 BBB- The Ryland Group, Inc., Sr. Notes, 9.750% due 9/1/10 442,750
570,000 Ba2* Schuler Homes, Inc., Sr. Sub. Notes, 10.500% due 7/15/11 653,362
Standard Pacific Corp.:
430,000 BB Sr. Notes, 8.500% due 4/1/09 453,650
325,000 Ba3* Sr. Sub. Notes, 9.250% due 4/15/12 359,125
- ----------------------------------------------------------------------------------------------
6,491,444
- ----------------------------------------------------------------------------------------------
Business Services -- 1.6%
800,000 B- Advanstar Communications Inc., Sr. Secured Second Priority
Notes, 8.680% due 8/15/08 (c) 836,000
1,100,000 BBB- Avis Group Holdings Inc., Sr. Sub. Notes, 11.000% due 5/1/09 1,216,875
Muzak LLC/Muzak Finance Corp.:
750,000 B- Sr. Notes, 10.000% due 2/15/09 793,125
275,000 CCC+ Sr. Sub. Notes, 9.875% due 3/15/09 268,813
790,000 D Outsourcing Solutions Inc., Sr. Sub. Notes, Series B,
11.000% due 11/1/06 (b) 7,900
640,000 B Williams Scotsman, Inc., Sr. Notes, 9.875% due 6/1/07 652,800
- ----------------------------------------------------------------------------------------------
3,775,513
- ----------------------------------------------------------------------------------------------
Cable -- 8.2%
Charter Communications Holdings, LLC:
Sr. Discount Notes:
3,966,000 Ca* Step bond to yield 12.272% due 1/15/10 2,944,755
1,035,000 Ca* Step bond to yield 13.504% due 1/15/11 703,800
1,535,000 Ca* Step bond to yield 17.772% due 5/15/11 909,487
1,000,000 Ca* Sr. Notes, 10.750% due 10/1/09 850,000
See Notes to Financial Statements.
13 Travelers Series Fund Inc. | 2003 Annual Report
SCHEDULES OF INVESTMENTS (CONTINUED) OCTOBER 31, 2003
SMITH BARNEY HIGH INCOME PORTFOLIO
FACE
AMOUNT+ RATING(a) SECURITY VALUE
- ---------------------------------------------------------------------------------------------------
Cable -- 8.2% (continued)
CSC Holdings, Inc.:
1,700,000 BB- Sr. Debentures, 7.625% due 7/15/18 $ 1,683,000
260,000 BB- Sr. Notes, Series B, 7.625% due 4/1/11 266,500
1,060,000 B+ Sr. Sub. Debentures, 10.500% due 5/15/16 1,171,300
875,000 B1* DIRECTV Holdings LLC, Sr. Notes, 8.375% due 3/15/13 988,750
Echostar DBS Corp., Sr. Notes:
1,310,000 BB- 10.375% due 10/1/07 1,452,462
748,000 BB- 9.125% due 1/15/09 845,240
1,025,000 BB- 9.375% due 2/1/09 1,089,062
1,065,000 B- InSight Communications Co., Inc., Sr. Discount Notes,
step bond to yield 14.115% due 2/15/11 750,825
375,000 B+ Insight Midwest LP, Sr. Notes, 10.500% due 11/1/10 393,750
1,000,000 B- Lodgenet Entertainment Corp., Sr. Sub. Debentures,
9.500% due 6/15/13 1,085,000
325,000 B+ MediaCom Broadband LLC, Sr. Notes, 11.000% due 7/15/13 341,250
1,150,000 B+ MediaCom LLC, Sr. Notes, 9.500% due 1/15/13 1,098,250
Pegasus Communications Corp., Sr. Notes, Series B:
65,000 Ca* 9.625% due 10/15/05 54,438
265,000 Ca* 9.750% due 12/1/06 221,275
315,000 CCC- Pegasus Satellite Communications Corp., Sr. Sub. Discount
Notes, step bond to yield 23.919% due 3/1/07 222,863
1,670,000 BB- Rogers Cablesystems Ltd., Sr. Sub. Debentures,
11.000% due 12/1/15 1,912,150
450,000/GBP/ Ca* Telewest Communications PLC, Sr. Notes,
5.250% due 2/19/07 (b)(c)(d) 366,325
- ------------------------------------------------------------------------------------------------
19,350,482
- ------------------------------------------------------------------------------------------------
Chemicals -- 6.2%
Acetex Corp., Sr. Notes:
600,000 B+ 10.875% due 8/1/09 675,000
425,000 B+ 10.875% due 8/1/09 (c) 478,125
345,000 Ba2* Airgas, Inc., Sr. Sub. Notes, 9.125% due 10/1/11 387,263
645,000 CCC+ Avecia Group PLC, Sr. Notes, 11.000% due 7/1/09 603,075
FMC Corp.:
825,000 BB+ Medium-Term Notes, Series A, 6.750% due 5/5/05 843,562
125,000 BB+ Sr. Secured Notes, 10.250% due 11/1/09 146,875
5,710,000 CCC+ Huntsman ICI Holdings LLC, Sr. Discount Notes,
zero coupon bond to yield 17.445% due 12/31/09 2,312,550
660,000 B+ IMC Global Inc., Sr. Notes, Series B, 11.250% due 6/1/11 684,750
600,000 B+ International Specialty Holdings Inc., Sr. Secured Notes,
Series B, 10.625% due 12/15/09 660,000
655,000 BB- ISP Chemco Inc., Sr. Sub. Notes, Series B,
10.250% due 7/1/11 735,237
See Notes to Financial Statements.
14 Travelers Series Fund Inc. | 2003 Annual Report
SCHEDULES OF INVESTMENTS (CONTINUED) OCTOBER 31, 2003
SMITH BARNEY HIGH INCOME PORTFOLIO
FACE
AMOUNT+ RATING(a) SECURITY VALUE
- --------------------------------------------------------------------------------------------------
Chemicals -- 6.2% (continued)
Lyondell Chemical Co., Sr. Secured Notes:
655,000 BB- 11.125% due 7/15/12 $ 691,025
500,000 BB- Series B, 9.875% due 5/1/07 510,000
760,000 BBB- Methanex Corp., Sr. Notes, 8.750% due 8/15/12 832,200
1,700,000 BB- Millennium America Inc., Sr. Sub. Notes, 9.250% due 6/15/08 1,806,250
235,000 B- OM Group, Inc., Sr. Sub. Notes, 9.250% due 12/15/11 238,525
Resolution Performance Inc.:
200,000 B+ Sr. Notes, 9.500% due 4/15/10 212,000
1,050,000 B- Sr. Sub. Notes, 13.500% due 11/15/10 997,500
Rhodia SA:
500,000 B+ Sr. Notes, 7.625% due 6/1/10 (c) 472,500
650,000 B Sr. Sub. Notes, 8.875% due 6/1/11 (c) 581,750
65,000 B+ Terra Capital Inc., Sr. Secured Notes, 12.875% due 10/15/08 75,725
600,000 Ba3* Westlake Chemical Corp., Sr. Notes, 8.750% due 7/15/11 (c) 636,000
- -----------------------------------------------------------------------------------------------
14,579,912
- -----------------------------------------------------------------------------------------------
Consumer Products and Services -- 4.2%
American Greetings Corp.:
385,000 BBB- Notes, 6.100% due 8/1/28 393,181
295,000 BB+ Sr. Sub. Notes, 11.750% due 7/15/08 338,144
65,000 CCC Doane Pet Care Co., Sr. Sub. Notes, 9.750% due 5/15/07 58,825
1,025,000 B- Home Interiors & Gifts, Inc., Sr. Sub. Notes,
10.125% due 6/1/08 1,055,750
600,000 B- Icon Health & Fitness, Inc., Sr. Sub. Notes,
11.250% due 4/1/12 657,000
1,025,000 B- Jafra Cosmetics International Inc., Sr. Sub. Notes,
10.750% due 5/15/11 1,132,625
150,000 CCC+ Playtex Products Inc., Sr. Sub. Notes, 9.375% due 6/1/11 148,875
1,000,000 B- Rayovac Corp., Sr. Sub. Notes, 8.500% due 10/1/13 (c) 1,045,000
200,000 B- Salton, Inc., Sr. Sub. Notes, 12.250% due 4/15/08 198,000
Sealy Mattress Co.:
1,080,000 B- Sr. Sub. Discount Notes, Series B, 10.875% due 12/15/07 1,134,000
150,000 B- Sr. Sub. Notes, Series B, 9.875% due 12/15/07 155,625
Service Corp. International:
460,000 BB- Debentures, 7.875% due 2/1/13 451,950
Notes:
470,000 BB- 6.875% due 10/1/07 479,400
570,000 BB- 6.500% due 3/15/08 574,275
460,000 BB- Sola International Inc., Notes, 6.875% due 3/15/08 450,800
875,000 B+ Stewart Enterprises, Inc., Sr. Sub. Notes, 10.750% due 7/1/08 990,938
525,000 B- United Industries Corp., Sr. Sub. Notes, Series D,
9.875% due 4/1/09 548,625
- -----------------------------------------------------------------------------------------------
9,813,013
- -----------------------------------------------------------------------------------------------
See Notes to Financial Statements.
15 Travelers Series Fund Inc. | 2003 Annual Report
SCHEDULES OF INVESTMENTS (CONTINUED) OCTOBER 31, 2003
SMITH BARNEY HIGH INCOME PORTFOLIO
FACE
AMOUNT+ RATING(a) SECURITY VALUE
- ----------------------------------------------------------------------------------------------------
Energy -- 8.0%
Dynegy Holdings Inc.:
Sr. Debentures:
1,300,000 CCC+ 7.125% due 5/15/18 $ 1,049,750
1,250,000 CCC+ 7.625% due 10/15/26 1,000,000
1,375,000 B- Sr. Secured Second Priority Notes, 7.700% due 7/15/08 (c) 1,450,625
El Paso Corp., Sr. Medium-Term Notes:
915,000 B 7.800% due 8/1/31 697,687
2,125,000 B 7.750% due 1/15/32 1,620,312
525,000 BB- GulfTerra Energy Partners, L.P., Sr. Sub. Notes, Series B,
8.500% due 6/1/11 574,875
760,000 BB- Leviathan Gas Pipeline Partners L.P., Sr. Sub. Notes, Series B,
10.375% due 6/1/09 828,400
480,000 BB Luscar Coal Ltd., Sr. Notes, 9.750% due 10/15/11 543,600
1,295,000 B+ Magnum Hunter Resources, Inc., Sr. Notes,
9.600% due 3/15/12 1,450,400
202,000 B Nuevo Energy Co., Sr. Sub. Notes, Series B,
9.500% due 6/1/08 212,858
85,000 CCC+ Parker Drilling Co., Sub. Notes, 5.500% due 8/1/04 (d) 85,213
309,000 Aa2* Pennzoil-Quaker State Co., Sr. Notes, 10.000% due 11/1/08 368,546
Plains Exploration & Production Co., Sr. Sub. Notes:
625,000 B 8.750% due 7/1/12 684,375
330,000 B Series B, 8.750% due 7/1/12 361,350
Pogo Producing Co., Sr. Sub. Notes, Series B:
130,000 BB 10.375% due 2/15/09 140,400
195,000 BB 8.250% due 4/15/11 216,450
710,000 BB Pride International, Inc., Sr. Notes, 10.000% due 6/1/09 768,575
320,000 BB- SESI, LLC, Sr. Notes, 8.875% due 5/15/11 345,600
Swift Energy Co., Sr. Sub. Notes:
575,000 B 10.250% due 8/1/09 629,625
460,000 B 9.375% due 5/1/12 501,400
Vintage Petroleum, Inc.:
455,000 BB- Sr. Notes, 8.250% due 5/1/12 500,500
Sr. Sub. Notes:
515,000 B1* 9.750% due 6/30/09 549,762
125,000 B1* 7.875% due 5/15/11 132,813
750,000 Ba3* Westport Resources Corp., Sr. Sub. Notes,
8.250% due 11/1/11 830,625
The Williams Cos., Inc.:
Notes:
600,000 B+ 7.625% due 7/15/19 591,000
1,275,000 B+ 7.875% due 9/1/21 1,268,625
250,000 B+ 8.750% due 3/15/32 262,500
1,100,000 B+ Sr. Notes, 8.625% due 6/1/10 1,210,000
- -------------------------------------------------------------------------------------------------
18,875,866
- -------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
16 Travelers Series Fund Inc. | 2003 Annual Report
SCHEDULES OF INVESTMENTS (CONTINUED) OCTOBER 31, 2003
SMITH BARNEY HIGH INCOME PORTFOLIO
FACE
AMOUNT+ RATING(a) SECURITY VALUE
- ------------------------------------------------------------------------------------------------
Entertainment -- 1.6%
AMC Entertainment Inc., Sr. Sub. Notes:
895,000 CCC+ 9.500% due 3/15/09 $ 928,562
470,000 CCC+ 9.500% due 2/1/11 496,438
250,000 CCC+ IMAX Corp., Sr. Notes, 7.875% due 12/1/05 253,750
Vivendi Universal SA, Sr. Notes:
1,575,000 BB 6.250% due 7/15/08 (c) 1,653,750
450,000 BB 9.250% due 4/15/10 (c) 525,375
- ------------------------------------------------------------------------------------------------
3,857,875
- ------------------------------------------------------------------------------------------------
Environmental Services -- 1.3%
Allied Waste Corp.:
Sr. Notes, Series B:
890,000 BB- 8.500% due 12/1/08 985,675
520,000 BB- 7.875% due 1/1/09 546,000
1,365,000 B+ Sr. Sub. Notes, Series B, 10.000% due 8/1/09 1,491,262
- ------------------------------------------------------------------------------------------------
3,022,937
- ------------------------------------------------------------------------------------------------
Financial Services -- 1.1%
475,000 A3* Ford Motor Credit Co., Notes, 7.250% due 10/25/11 483,174
1,000,000 B JSG Funding PLC, Sr. Notes, 9.625% due 10/1/12 1,115,000
1,075,000 B3* Ocwen Capital Trust I, Capital Securities, 10.875% due 8/1/27 1,022,594
- ------------------------------------------------------------------------------------------------
2,620,768
- ------------------------------------------------------------------------------------------------
Food and Beverage -- 3.0%
1,575,000 Ba3* Constellation Brands Inc., Sr. Sub. Notes, Series B,
8.125% due 1/15/12 1,736,437
330,000 B+ Cott Beverages Inc., Sr. Sub. Notes, 8.000% due 12/15/11 358,050
335,000 Ba2* Dean Foods Co., Sr. Notes, 6.900% due 10/15/17 346,725
975,000 B Del Monte Corp., Sr. Sub. Notes, 8.625% due 12/15/12 (c) 1,082,250
1,000,000 B2* Dole Foods Co., Debentures, 8.750% due 7/15/13 1,097,500
640,000 B- Michael Foods, Inc., Sr. Sub. Notes, Series B,
11.750% due 4/1/11 812,000
265,000 CCC Mrs. Field's Original Cookies, Inc., Sr. Sub. Notes, Series B,
10.125% due 12/1/04 133,825
1,250,000 B- Premier International Foods PLC, Sr. Notes,
12.000% due 9/1/09 1,384,375
- ------------------------------------------------------------------------------------------------
6,951,162
- ------------------------------------------------------------------------------------------------
Healthcare -- 2.8%
175,000 B- aaiPharma Inc., Sr. Sub. Notes, 11.000% due 4/1/10 195,125
700,000 B- AmeriPath, Inc., Sr. Sub. Notes, 10.500% due 4/1/13 742,000
1,250,000 B- Athena Neurosciences Finance LLC, Sr. Notes,
7.250% due 2/21/08 1,118,750
825,000 B3* Dade Behring Inc., Sr. Sub. Notes, 11.910% due 10/3/10 944,625
See Notes to Financial Statements.
17 Travelers Series Fund Inc. | 2003 Annual Report
SCHEDULES OF INVESTMENTS (CONTINUED) OCTOBER 31, 2003
SMITH BARNEY HIGH INCOME PORTFOLIO
FACE
AMOUNT+ RATING(a) SECURITY VALUE
- -----------------------------------------------------------------------------------------------
Healthcare -- 2.8% (continued)
270,000 B Extendicare Health Services, Inc., Sr. Sub. Notes,
9.500% due 7/1/10 $ 298,350
1,000,000 B- InSight Health Services Corp., Sr. Sub. Notes, Series B,
9.875% due 11/1/11 1,080,000
Tenet Healthcare Corp.:
150,000 BB- Notes, 7.375% due 2/1/13 146,250
Sr. Notes:
225,000 BB- 5.375% due 11/15/06 217,125
500,000 BB- 6.500% due 6/1/12 466,250
325,000 BB- 6.875% due 11/15/31 287,625
925,000 B3* Vanguard Health Systems, Sr. Sub. Notes, 9.750% due 8/1/11 994,375
- -----------------------------------------------------------------------------------------------
6,490,475
- -----------------------------------------------------------------------------------------------
Hotels/Casinos/Gaming -- 7.1%
260,000 B+ AKI, Inc., Sr. Notes, 10.500% due 7/1/08 274,300
840,000 B Ameristar Casinos, Inc., Sr. Sub. Notes, 10.750% due 2/15/09 972,300
800,000 B+ Argosy Gaming Co., Sr. Sub. Notes, 9.000% due 9/1/11 886,000
580,000 B2* Courtyard By Marriott II, Sr. Notes, Series B,
10.750% due 2/1/08 585,075
1,000,000 B1* Felcor Lodging, L.P., Sr. Notes, 9.500% due 9/15/08 1,080,000
1,150,000 B- Gaylord Entertainment Co., Sr. Notes, 8.000% due 11/15/13 (c) 1,188,812
Hilton Hotels Corp.:
250,000 BBB- Notes, 7.625% due 12/1/12 277,813
510,000 BBB- Sr. Notes, 7.950% due 4/15/07 563,550
HMH Properties, Inc.:
225,000 Ba3* Sr. Notes, Series B, 7.875% due 8/1/08 233,438
596,000 Ba3* Sr. Secured Notes, Series A, 7.875% due 8/1/05 616,264
225,000 B+ Horseshoe Gaming Holding Corp., Sr. Sub. Notes, Series B,
8.625% due 5/15/09 240,469
1,020,000 Ba3* Host Marriott, L.P., Notes, Series I, 9.500% due 1/15/07 1,134,750
Mandalay Resort Group:
260,000 BB- Sr. Sub. Debentures, 7.625% due 7/15/13 274,300
585,000 BB- Sr. Sub. Notes, Series B, 10.250% due 8/1/07 677,137
1,000,000 B2* Meristar Hospitality Operating Partnership, L.P., Sr. Notes,
10.500% due 6/15/09 1,090,000
MGM MIRAGE, Sr. Sub. Notes:
325,000 Ba2* 9.750% due 6/1/07 370,094
900,000 Ba2* 8.375% due 2/1/11 1,008,000
Park Place Entertainment Corp., Sr. Sub. Notes:
450,000 Ba2* 8.875% due 9/15/08 501,188
1,400,000 Ba2* 8.125% due 5/15/11 1,536,500
550,000 B Prime Hospitality Corp., Sr. Sub. Notes, Series B,
8.375% due 5/1/12 563,750
425,000 BB+ Starwood Hotels & Resorts Worldwide, Inc., Notes,
7.875% due 5/1/12 471,750
See Notes to Financial Statements.
18 Travelers Series Fund Inc. | 2003 Annual Report
SCHEDULES OF INVESTMENTS (CONTINUED) OCTOBER 31, 2003
SMITH BARNEY HIGH INCOME PORTFOLIO
FACE
AMOUNT+ RATING(a) SECURITY VALUE
- ---------------------------------------------------------------------------------------------------
Hotels/Casinos/Gaming -- 7.1% (continued)
665,000 B+ Station Casinos, Inc., Sr. Sub. Notes, 8.875% due 12/1/08 $ 690,769
275,000 B+ Turning Stone Casino Resort Enterprise, Sr. Notes,
9.125% due 12/15/10 (c) 299,406
930,000 B- Venetian Casino Resort LLC/Las Vegas Sands, Inc.,
Mortgage Secured Notes, 11.000% due 6/15/10 1,077,637
- ------------------------------------------------------------------------------------------------
16,613,302
- ------------------------------------------------------------------------------------------------
Insurance -- 0.4%
555,000 BB Markel Capital Trust I, Capital Securities, Series B,
8.710% due 1/1/46 568,518
390,000 BB+ PXRE Capital Trust I, Capital Trust Pass-Through Securities,
8.850% due 2/1/27 352,950
- ------------------------------------------------------------------------------------------------
921,468
- ------------------------------------------------------------------------------------------------
Machinery -- 0.7%
290,000 BB- Case Corp., Notes, 7.250% due 1/15/16 275,500
160,000 BB- Case Credit Corp., Notes, 6.750% due 10/21/07 164,410
250,000 BB- Case New Holland Inc., Sr. Notes, 9.250% due 8/1/11 (c) 278,750
260,000 B+ NMHG Holding Co., Sr. Notes, 10.000% due 5/15/09 287,300
500,000 B Terex Corp., Sr. Sub. Notes, Series B, 10.375% due 4/1/11 566,250
- ------------------------------------------------------------------------------------------------
1,572,210
- ------------------------------------------------------------------------------------------------
Manufacturing -- 2.8%
445,000 NR Aqua-Chem, Inc., Sr. Sub. Notes, 11.250% due 7/1/08 358,225
260,000 Ba2* Arvin Capital Trust I, Capital Securities, 9.500% due 2/1/27 258,700
500,000 B- Columbus McKinnon Corp., Sr. Secured Notes,
10.000% due 8/1/10 (c) 532,500
685,000 B Flowserve Corp., Sr. Sub. Notes, 12.250% due 8/15/10 798,025
400,000 B- General Binding Corp., Sr. Sub. Notes, 9.375% due 6/1/08 402,000
65,000 CCC LDM Technologies, Inc., Sr. Sub. Notes, Series B,
10.750% due 1/15/07 65,325
1,135,000 Ba2* Louisiana-Pacific Corp., Sr. Sub. Notes, 10.875% due 11/15/08 1,339,300
860,000 CCC+ Park-Ohio Industries, Inc., Sr. Sub. Notes, 9.250% due 12/1/07 839,575
Wesco Distribution Inc., Sr. Sub. Notes:
600,000 B- 9.125% due 6/1/08 609,000
525,000 B- Series B, 9.125% due 6/1/08 532,875
935,000 B+ Wolverine Tube, Inc., Sr. Notes, 10.500% due 4/1/09 902,275
- ------------------------------------------------------------------------------------------------
6,637,800
- ------------------------------------------------------------------------------------------------
Metals/Mining -- 0.6%
750,000 B- IMCO Recycling Inc., Secured Notes, 10.375% due 10/15/10 (c) 746,250
605,000 BBB- Phelps Dodge Corp., Sr. Notes, 8.750% due 6/1/11 722,080
- ------------------------------------------------------------------------------------------------
1,468,330
- ------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
19 Travelers Series Fund Inc. | 2003 Annual Report
SMITH BARNEY HIGH INCOME PORTFOLIO
SCHEDULES OF INVESTMENTS (CONTINUED) OCTOBER 31, 2003
SMITH BARNEY HIGH INCOME PORTFOLIO
FACE
AMOUNT+ RATING(a) SECURITY VALUE
- ----------------------------------------------------------------------------------------------------
Packaging/Containers -- 3.8%
Anchor Glass Container Corp., Sr. Secured Notes:
700,000 B+ 11.000% due 2/15/13 $ 801,500
250,000 B+ 11.000% due 2/15/13 (c) 286,250
1,000,000 B- Applied Extrusion Technologies, Inc., Sr. Notes, Series B,
10.750% due 7/1/11 775,000
1,220,000 BB Owens-Brockway Glass Container Inc., Sr. Secured Notes,
8.875% due 2/15/09 1,329,800
250,000 B+ Owens-Illinois, Inc., Sr. Notes, 7.150% due 5/15/05 257,500
1,020,000 B+ Plastipak Holdings, Inc., Sr. Notes, 10.750% due 9/1/11 1,132,200
Pliant Corp.:
475,000 B- Sr. Secured Second Lien Notes, 11.125% due 9/1/09 510,625
80,000 B- Sr. Sub. Notes, 13.000% due 6/1/10 76,800
1,000,000 B Radnor Holdings Inc., Sr. Notes, 11.000% due 3/15/10 (c) 860,000
560,000 BBB Sealed Air Corp., Notes, 6.950% due 5/15/09 (c) 619,147
1,660,000 B Stone Container Finance Co. of Canada, Sr. Notes,
11.500% due 8/15/06 (c) 1,763,750
495,000 B- Tekni-Plex, Inc., Sr. Sub. Notes, Series B, 12.750% due 6/15/10 509,850
- -------------------------------------------------------------------------------------------------
8,922,422
- -------------------------------------------------------------------------------------------------
Paper/Forestry Products -- 3.3%
825,000 BB+ Abitibi-Consolidated Inc., Debentures, 8.850% due 8/1/30 853,776
1,000,000 B+ Appleton Papers Inc., Sr. Sub. Notes, Series B,
12.500% due 12/15/08 1,110,000
Bowater Inc.:
550,000 BB+ Debentures, 9.500% due 10/15/12 599,197
1,000,000 BB+ Notes, 6.500% due 6/15/13 921,038
Buckeye Technologies Inc., Sr. Sub. Notes:
315,000 B 9.250% due 9/15/08 321,300
1,190,000 B 8.000% due 10/15/10 1,130,500
845,000 B+ Millar Western Forest Products Ltd., Sr. Notes,
9.875% due 5/15/08 887,250
600,000 BB Pacifica Papers Inc., Sr. Notes, 10.000% due 3/15/09 639,000
Tembec Industries Inc., Sr. Notes:
600,000 BB 8.625% due 6/30/09 588,000
650,000 BB 8.500% due 2/1/11 630,500
- -------------------------------------------------------------------------------------------------
7,680,561
- -------------------------------------------------------------------------------------------------
Printing/Publishing -- 2.5%
775,000 B Dex Media East LLC/Dex Media East Finance Co., Notes,
12.125% due 11/15/12 938,719
1,025,000 B Dex Media West LLC/Dex Media West Finance Co.,
Sr. Sub. Notes, 9.875% due 8/15/13 (c) 1,171,062
330,000 B+ Garden State Newspapers, Inc., Sr. Sub. Notes, Series B,
8.750% due 10/1/09 341,963
See Notes to Financial Statements.
20 Travelers Series Fund Inc. | 2003 Annual Report
SCHEDULES OF INVESTMENTS (CONTINUED) OCTOBER 31, 2003
SMITH BARNEY HIGH INCOME PORTFOLIO
FACE
AMOUNT+ RATING(a) SECURITY VALUE
- -----------------------------------------------------------------------------------------------
Printing/Publishing -- 2.5% (continued)
1,139,410 B- Hollinger Participation Trust, Sr. Notes, Payment-in-Kind,
12.125% due 11/15/10 (c) $ 1,327,413
600,000 B Houghton Mifflin Co., Sr. Discount Notes,
step bond to yield 12.176% due 10/15/13 (c) 378,000
530,000 BB- Mail-Well I Corp., Sr. Notes, 9.625% due 3/15/11 597,575
R.H. Donnelley Finance Corp. I, Sr. Sub. Notes:
400,000 B+ 10.875% due 12/15/12 479,000
175,000 B+ 10.875% due 12/15/12 (c) 209,563
275,000 B2* Vertis Inc., Sr. Secured Notes, 9.750% due 4/1/09 (c) 293,563
211,000 B+ Yell Finance BV, Sr. Discount Notes, step bond to yield
12.262% due 8/1/11 193,065
- -----------------------------------------------------------------------------------------------
5,929,923
- -----------------------------------------------------------------------------------------------
Retail -- 4.5%
175,000 B+ Ahold Finance USA, Inc., Notes, 8.250% due 7/15/10 189,438
1,418,594 BB- Ahold Lease, USA Inc., Pass-Through Trust Certificates,
Series 2001-A-2, 7.820% due 1/2/20 1,419,481
195,000 CCC+ American Restaurant Group, Inc., Sr. Secured Notes, Series D,
11.500% due 11/1/06 137,475
460,000 B3* CKE Restaurants, Inc., Sr. Sub. Notes, 9.125% due 5/1/09 469,200
175,000 B Cole National Group, Inc., Sr. Sub. Notes, 8.625% due 8/15/07 179,813
325,000 Caa3* Denny's Corp., Sr. Notes, 11.250% due 1/15/08 203,125
1,050,000 B+ Finlay Fine Jewelry Corp., Sr. Notes, 8.375% due 5/1/08 1,086,750
165,000 B- Friendly Ice Cream Corp., Sr. Notes, 10.500% due 12/1/07 171,806
The Gap, Inc., Notes:
190,000 BB+ 9.900% due 12/15/05 213,275
725,000 BB+ 10.550% due 12/15/08 886,312
345,000 B The Great Atlantic & Pacific Tea Co. Inc., Notes,
7.750% due 4/15/07 298,425
J.C. Penney Co., Inc., Notes:
950,000 BB+ 8.000% due 3/1/10 1,061,625
705,000 BB+ 9.000% due 8/1/12 821,325
376,000 B2* Jo-Ann Stores, Inc., Sr. Sub. Notes, 10.375% due 5/1/07 396,680
305,000 BB- The Pep Boys - Manny, Moe & Jack, Medium-Term Notes,
Series A, 6.710% due 11/3/04 308,050
220,000 B- Petro Stopping Centers L.P., Sr. Notes, 10.500% due 2/1/07 224,950
Rite Aid Corp.:
1,305,000 B- Notes, 7.125% due 1/15/07 1,324,575
325,000 B- Sr. Notes, 7.625% due 4/15/05 330,688
717,000 BB Saks Inc., Notes, 9.875% due 10/1/11 853,230
- -----------------------------------------------------------------------------------------------
10,576,223
- -----------------------------------------------------------------------------------------------
See Notes to Financial Statements.
21 Travelers Series Fund Inc. | 2003 Annual Report
SCHEDULES OF INVESTMENTS (CONTINUED) OCTOBER 31, 2003
SMITH BARNEY HIGH INCOME PORTFOLIO
FACE
AMOUNT+ RATING(a) SECURITY VALUE
- --------------------------------------------------------------------------------------------------------
Technology -- 1.1%
765,000 B3* Amkor Technology, Inc., Sub. Notes, 5.000% due 3/15/07 (d) $ 756,394
995,000 Ba3* LSI Logic Corp., Sub. Notes, 4.000% due 2/15/05 (d) 995,000
1,755,000 B1* Sanmina-SCI Corp., Sub. Debentures, zero coupon bond to yield
10.672% due 9/12/20 (d) 890,662
- -----------------------------------------------------------------------------------------------------
2,642,056
- -----------------------------------------------------------------------------------------------------
Telecommunications -- 12.9%
1,025,000 B2* ACC Escrow Corp., Sr. Notes, 10.000% due 8/1/11 (c) 1,122,375
825,000 C AirGate PCS, Inc., Sr. Sub. Notes, step bond to yield
16.144% due 10/1/09 561,000
1,000,000 Caa3* Alamosa (Delaware) Inc., Sr. Notes, 13.625% due 8/15/11 965,000
535,000 Caa3* Alamosa Holdings, Inc., Sr. Discount Notes, step bond to yield
14.446% due 2/15/10 419,975
1,450,000 CCC American Tower Corp., Sr. Notes, 9.375% due 2/1/09 1,529,750
360,000 B3* American Tower Inc., Sr. Sub. Discount Notes,
zero coupon bond to yield 14.440% due 8/1/08 248,400
AT&T Corp., Sr. Notes:
350,000 BBB 7.300% due 11/15/11 397,364
2,025,000 BBB 8.000% due 11/15/31 2,304,065
3,550,000 BBB AT&T Wireless Services Inc., Sr. Notes, 8.750% due 3/1/31 4,283,948
375,000 B+ Avaya, Inc., Sr. Secured Notes, 11.125% due 4/1/09 444,375
1,105,000/EUR/ B- COLT Telecom Group PLC, Sr. Notes, 2.000% due 4/3/07 (c)(d) 1,327,864
Crown Castle International Corp.:
640,000 B3* Sr. Discount Notes, step bond to yield 11.583% due 5/15/11 659,200
Sr. Notes:
400,000 B3* 9.375% due 8/1/11 440,000
685,000 B3* 10.750% due 8/1/11 772,337
Dobson/Sygnet Communications Co., Sr. Notes:
250,000 B3* 10.875% due 7/1/10 276,250
400,000 B3* 8.875% due 10/1/13 (c) 408,000
695,000 D GT Group Telecom Inc., Sr. Discount Notes, step bond to yield
15.232% due 2/1/10 (b) 70
335,000 C* Horizon PCS, Inc., Sr. Discount Notes, step bond to yield
15.526% due 10/1/10 (b) 60,300
1,475,000 B- Lucent Technologies, Inc., Debentures, 6.450% due 3/15/29 1,146,812
625,000 B3* MetroPcs Inc., Sr. Notes, 10.750% due 10/1/11 (c) 621,875
Nextel Communications, Inc.:
1,551,000 B+ Sr. Discount Notes, 9.950% due 2/15/08 1,636,305
Sr. Notes:
600,000 B+ 9.375% due 11/15/09 657,000
225,000 B+ 7.375% due 8/1/15 235,125
545,000 CCC+ Nextel Partners, Inc., Sr. Notes, 12.500% due 11/15/09 634,925
750,000 B Nortel Networks Corp., Notes, 6.875% due 9/1/23 714,375
305,000 B Northern Telecom Capital Corp., Notes, 7.875% due 6/15/26 306,525
See Notes to Financial Statements.
22 Travelers Series Fund Inc. | 2003 Annual Report
SCHEDULES OF INVESTMENTS (CONTINUED) OCTOBER 31, 2003
SMITH BARNEY HIGH INCOME PORTFOLIO
FACE
AMOUNT+ RATING(a) SECURITY VALUE
- ---------------------------------------------------------------------------------------------
Telecommunications -- 12.9% (continued)
Qwest Corp.:
725,000 Ba3* Debentures, 6.875% due 9/15/33 $ 650,687
1,420,000 Ba3* Notes, 8.875% due 3/15/12 (c) 1,611,700
Qwest Services Corp.:
Notes:
25,000 CCC+ 13.500% due 12/15/10 (c) 29,313
596,000 CCC+ 14.000% due 12/15/14 (c) 730,100
850,000 CCC+ Sr. Notes, Series B, 7.500% due 11/1/08 828,750
SBA Communications Corp.:
800,000 CC Sr. Discount Notes, 12.000% due 3/1/08 852,000
400,000 CC Sr. Notes, 10.250% due 2/1/09 360,000
850,000 B3* SpectraSite Inc., Sr. Notes, 8.250% due 5/15/10 (c) 905,250
Sprint Capital Corp.:
1,350,000 BBB- Notes, 8.750% due 3/15/32 1,540,748
775,000 BBB- Sr. Notes, 6.875% due 11/15/28 731,850
- ------------------------------------------------------------------------------------------
30,413,613
- ------------------------------------------------------------------------------------------
Textiles/Footwear -- 1.1%
Levi Strauss & Co.:
1,065,000 B Notes, 7.000% due 11/1/06 836,025
Sr. Notes:
750,000 B 11.625% due 1/15/08 648,750
145,000 B 12.250% due 12/15/12 121,075
535,000 B- Tropical Sportswear International Corp., Sr. Sub. Notes,
Series A, 11.000% due 6/15/08 508,250
450,000 B The William Carter Co., Sr. Sub. Notes, Series B,
10.875% due 8/15/11 511,875
- ------------------------------------------------------------------------------------------
2,625,975
- ------------------------------------------------------------------------------------------
Tobacco -- 0.3%
609,000 BB+ Standard Commercial Tobacco Corp., Inc., Sr. Notes,
8.875% due 8/1/05 623,464
- ------------------------------------------------------------------------------------------
Transportation -- 0.7%
425,000 B+ General Maritime Corp., Sr. Notes, 10.000% due 3/15/13 477,062
750,000 B Iron Mountain, Inc., Sr. Sub. Notes, 8.625% due 4/1/13 823,125
360,000 Baa2* Windsor Petroleum Transport Corp., Notes,
7.840% due 1/15/21 (c) 330,750
- ------------------------------------------------------------------------------------------
1,630,937
- ------------------------------------------------------------------------------------------
Utilities -- 6.4%
The AES Corp.:
1,295,000 B- Sr. Notes, 9.500% due 6/1/09 1,385,650
Sr. Sub. Exchange Notes:
50,000 B- 8.500% due 8/1/07 49,875
175,000 B- 8.500% due 11/1/07 174,563
See Notes to Financial Statements.
23 Travelers Series Fund Inc. | 2003 Annual Report
SCHEDULES OF INVESTMENTS (CONTINUED) OCTOBER 31, 2003
SMITH BARNEY HIGH INCOME PORTFOLIO
FACE
AMOUNT+ RATING(a) SECURITY VALUE
- ------------------------------------------------------------------------------------------------
Utilities -- 6.4% (continued)
180,000 BB+ Avista Corp., Sr. Notes, 9.750% due 6/1/08 $ 213,300
Avon Energy Partners Holdings:
1,300,000 CC Notes, 6.460% due 3/4/08 (c) 1,105,000
750,000 CC Sr. Notes, 7.050% due 12/11/07 (c) 637,500
3,345,000 CCC+ Calpine Canada Energy Finance PLC, Sr. Notes,
8.500% due 5/1/08 2,475,300
Calpine Corp.:
635,000 CCC+ Sr. Notes, 8.625% due 8/15/10 455,613
450,000 B Sr. Secured Second Priority Notes, 8.500% due 7/15/10 (c) 414,000
330,000 B+ CMS Energy Corp., Sr. Notes, 7.625% due 11/15/04 338,250
Edison Mission Energy, Sr. Notes:
640,000 B 10.000% due 8/15/08 598,400
325,000 B 7.730% due 6/15/09 279,500
1,625,000 B 9.875% due 4/15/11 1,503,125
Mirant Americas Generation, Inc., Sr. Notes:
475,000 D 7.625% due 5/1/06 (b) 396,625
900,000 D 9.125% due 5/1/31 (b) 749,250
1,165,000 B2* Orion Power Holdings, Inc., Sr. Notes, 12.000% due 5/1/10 1,345,575
Reliant Resources Inc., Sr. Secured Notes:
800,000 B1* 9.250% due 7/15/10 (c) 720,000
1,650,000 B1* 9.500% due 7/15/13 (c) 1,476,750
690,000 BBB- Thomas & Betts Corp., Notes, 6.625% due 5/7/08 702,075
- ------------------------------------------------------------------------------------------------
15,020,351
- ------------------------------------------------------------------------------------------------
TOTAL CORPORATE BONDS AND NOTES
(Cost -- $206,314,467) 219,988,613
- ------------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES -- 0.6%
1,402,534 CC Airplanes Pass-Through Trust, Series 1, Class D,
10.875% due 3/15/12 42,076
200,291 BB Continental Airlines, Inc., Series 00-2, Class C,
8.312% due 4/2/11 168,045
First Consumer Master Trust:
591,619 Ba1* Series 99-A, Class A, 5.800% due 12/15/05 (c) 571,713
626,817 Ba1* Series 01-A, Class A, 1.430% due 9/15/08 567,173
437,290 CCC United Airlines, Inc., Series 00-1, Class B, 8.030% due 7/1/11 57,268
- ------------------------------------------------------------------------------------------------
TOTAL ASSET-BACKED SECURITIES
(Cost -- $3,296,516) 1,406,275
- ------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
24 Travelers Series Fund Inc. | 2003 Annual Report
SCHEDULES OF INVESTMENTS (CONTINUED) OCTOBER 31, 2003
SMITH BARNEY HIGH INCOME PORTFOLIO
SHARES SECURITY VALUE
- ---------------------------------------------------------------------------------------
COMMON STOCK (e) -- 0.1%
Food and Beverage -- 0.0%
23,465 Aurora Foods Inc. $ 657
- ---------------------------------------------------------------------------------------
Telecommunications -- 0.1%
18,795 Cincinnati Bell Inc. 96,042
10,330 Crown Castle International Corp. 130,778
870 McLeodUSA, Inc., Class A Shares 1,027
- ---------------------------------------------------------------------------------------
227,847
- ---------------------------------------------------------------------------------------
TOTAL COMMON STOCK
(Cost -- $255,950) 228,504
- ---------------------------------------------------------------------------------------
PREFERRED STOCK -- 0.8%
Aerospace/Defense -- 0.0%
600 Northrop Grumman Corp., 7.250% due 11/16/04 (d)(f) 60,540
- ---------------------------------------------------------------------------------------
Telecommunications -- 0.8%
7,000 Crown Castle International Corp., 6.250% (d) 298,375
CSC Holdings Inc., Cumulative Exchangeable:
12,000 Series H, 11.750% due 10/1/07 1,257,000
1,500 Series M, 11.125% due 4/1/08 157,500
318 Dobson Communications Corp., Payment-in-Kind,
13.000% Sr. Exchangeable 34,062
1,500 Motorola, Inc., 7.000% (d)(f) 63,435
- ---------------------------------------------------------------------------------------
1,810,372
- ---------------------------------------------------------------------------------------
TOTAL PREFERRED STOCK
(Cost -- $1,620,206) 1,870,912
- ---------------------------------------------------------------------------------------
WARRANTS SECURITY VALUE
- ---------------------------------------------------------------------------------------
WARRANTS (e) -- 0.0%
Commercial Printing Forms -- 0.0%
435 Merrill Corp., Expire 5/1/09 0
- ---------------------------------------------------------------------------------------
Packaging/Containers -- 0.0%
80 Pliant Corp., Expire 6/1/10 (c) 14
- ---------------------------------------------------------------------------------------
Internet Software/Services -- 0.0%
430 Cybernet Internet Services International Inc., Expire 7/1/09 (c) 1
1,545 WAM!NET Inc., Expire 3/1/05 (c) 15
- ---------------------------------------------------------------------------------------
16
- ---------------------------------------------------------------------------------------
Telecommunications -- 0.0%
360 American Tower Corp., Expire 8/1/08 (c) 50,580
695 GT Group Telecom Inc., Expire 2/1/10 (c) 608
350 Horizon PCS Inc., Expire 10/1/10 (c) 0
See Notes to Financial Statements.
25 Travelers Series Fund Inc. | 2003 Annual Report
SCHEDULES OF INVESTMENTS (CONTINUED) OCTOBER 31, 2003
SMITH BARNEY HIGH INCOME PORTFOLIO
WARRANTS SECURITY VALUE
- -----------------------------------------------------------------------------------------
Telecommunications -- 0.0% (continued)
925 Iridium World Communications Inc., Expire 7/15/05 (c) $ 9
375 IWO Holdings Inc., Expire 1/15/11 (c) 4
700 RSL Communications Ltd., Expire 11/15/06 (c) 98
- -----------------------------------------------------------------------------------------
51,299
- -----------------------------------------------------------------------------------------
TOTAL WARRANTS
(Cost -- $326,484) 51,329
- -----------------------------------------------------------------------------------------
FACE
AMOUNT SECURITY VALUE
- -----------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 4.9%
$11,637,000 Merrill Lynch & Co., Inc., 0.990% due 11/3/03; Proceeds at
maturity -- $11,637,980; (Fully collateralized by U.S. Treasury
Notes and Bonds, 0.000% to 3.625% due 7/15/12 to 4/15/28;
Market value -- $11,857,720) (Cost -- $11,637,000) 11,637,000
- -----------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0%
(Cost -- $223,450,623**) $235,182,633
- -----------------------------------------------------------------------------------------
+ Face amount denominated in U.S. dollars unless otherwise indicated.
(a) All ratings are by Standard & Poor's Ratings Services, except those
indicated by an asterisk (*), are rated by Moody's Investors Service.
(b) Security is currently in default.
(c) 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.
(d) Convertible bonds exchangeable for shares of common stock.
(e) Non-income producing security.
(f) Security is issued as an equity unit, with each unit consisting of a
contract to buy common stock and senior notes.
** Aggregate cost for Federal income tax purposes is $224,104,314.
Abbreviations used in this schedule:
ADR -- American Depositary Receipt
EUR -- Euro
GBP -- British Pound
See pages 54 and 55 for definitions of ratings.
See Notes to Financial Statements.
26 Travelers Series Fund Inc. | 2003 Annual Report
SCHEDULES OF INVESTMENTS (CONTINUED) OCTOBER 31, 2003
PIONEER STRATEGIC INCOME PORTFOLIO
FACE
AMOUNT SECURITY VALUE
- ------------------------------------------------------------------------------------------------
U.S. GOVERNMENT SECTOR -- 8.8%
U.S. Treasury Obligations -- 3.1%
$ 1,533,285 U.S. Treasury Inflation-Indexed Bonds, 3.000% due 7/15/12 (a) $ 1,678,409
1,500,000 U.S. Treasury Notes, 3.625% due 5/15/13 1,436,661
- ------------------------------------------------------------------------------------------------
3,115,070
- ------------------------------------------------------------------------------------------------
U.S. Government Agencies -- 5.7%
22,385 Federal National Mortgage Association (FNMA),
7.500% due 1/1/30 - 10/1/30 23,865
Government National Mortgage Association (GNMA):
419,070 6.500% due 10/15/32 438,931
1,807,127 6.000% due 2/15/24 - 5/15/33 1,867,884
1,001 5.000% due 8/15/33 947
3,200,000 6.000% due 11/15/33 (b) 3,302,000
- ------------------------------------------------------------------------------------------------
5,633,627
- ------------------------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT SECTOR
(Cost -- $8,743,049) 8,748,697
- ------------------------------------------------------------------------------------------------
FACE
AMOUNT+ RATING(c) SECURITY VALUE
- ------------------------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS -- 4.8%
4,198 Baa2* Arc Net Interest Margin Trust, Series 2002-1, Class A,
7.750% due 1/27/32 (d) 4,114
70,000 BB+ CS First Boston Mortgage Securities Corp., Series 2002-CKN2,
Class H, 6.122% due 4/15/37 (d) 62,946
Federal Home Loan Mortgage Corp. (FHLMC):
Interest-Only Strips:
1,014,110 AAA Series 216, Class IO, 6.000% due 1/1/32 182,167
127,825 AAA Series 2448, Class SE, 6.980% due 7/15/29 (e) 2,015
536,900 AAA Series 2448, Class SM, 6.880% due 3/15/32 (e) 64,502
89,531 AAA Series 2478, Class SY, 7.030% due 3/15/21 (e) 5,376
256,700 AAA Series 2515, Class IG, 5.500% due 3/15/32 47,559
525,126 AAA Series 2579, Class GS, 6.530% due 1/15/17 (e) 58,600
Principal-Only Strips:
155,542 AAA Series 215, Class PO, zero coupon due 6/1/31 140,138
98,547 AAA Series 2235, Class PO, zero coupon due 6/15/30 85,104
Federal National Mortgage Association (FNMA):
Interest-Only Strips:
356,446 AAA Series 318, Class 2, 6.000% due 1/1/32 64,787
226,032 AAA Series 322, Class 2, 6.000% due 4/1/32 41,530
996,778 AAA Series 329, Class 2, 5.500% due 1/1/33 237,680
261,383 AAA Series 332, Class 2, 6.000% due 2/1/33 55,697
127,214 AAA Series 2001-74, Class MI, 6.000% due 12/25/15 9,196
See Notes to Financial Statements.
27 Travelers Series Fund Inc. | 2003 Annual Report
SCHEDULES OF INVESTMENTS (CONTINUED) OCTOBER 31, 2003
PIONEER STRATEGIC INCOME PORTFOLIO
FACE
AMOUNT+ RATING(c) SECURITY VALUE
- ------------------------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS -- 4.8% (continued)
656,229 AAA Series 2002-9, Class MS, 6.980% due 3/25/32 (e) $ 60,940
114,555 AAA Series 2002-29, Class SL, 6.930% due 7/25/29 (e) 2,375
279,071 AAA Series 2002-52, Class SL, 6.880% due 9/25/32 (e) 24,977
300,559 AAA Series 2002-63, Class SN, 6.880% due 10/25/32 (e) 29,001
1,001,785 AAA Series 2003-23, Class AI, 5.000% due 3/25/17 128,441
163,841 AAA Series 2003-23, Class SC, 6.430% due 4/25/33 (e) 6,240
352,969 AAA Series 2003-26, Class IG, 6.000% due 4/25/33 66,718
1,748,504 AAA Series 2003-34, Class ES, 5.880% due 2/25/33 (e) 182,570
712,553 AAA Series 2003-34, Class SG, 5.880% due 2/25/33 (e) 75,975
2,043,518 AAA Series 2003-34, Class SP, 5.980% due 1/25/32 (e) 209,671
788,300 AAA Series 2003-49, Class TS, 6.580% due 3/25/18 (e) 113,960
Pass-Through Certificates:
93,064 AAA Series 2002-14, Class A2, 7.500% due 1/25/42 101,963
797,439 AAA Series 2003-W3, Class 1A3, 7.500% due 8/25/42 873,694
Principal-Only Strips:
15,588 AAA Series 1996-5, Class PB, zero coupon due 4/25/24 15,576
58,515 AAA Series 1999-51, Class N, zero coupon due 9/17/29 53,565
34,294 AAA Series 2002-97, Class PO, zero coupon due 1/25/33 34,248
Federal National Mortgage Association (FNMA) Grantor Trust,
Pass-Through Certificates:
90,356 AAA Series 1999-T2, Class A1, 7.500% due 1/19/39 98,996
48,693 AAA Series 2000-T6, Class A1, 7.500% due 6/25/30 53,349
226,638 AAA Series 2001-T1, Class A1, 7.500% due 10/25/40 248,310
74,995 AAA Series 2001-T3, Class A1, 7.500% due 11/25/40 82,166
223,612 AAA Series 2001-T4, Class A1, 7.500% due 7/25/41 244,995
510,696 AAA Series 2001-T7, Class A1, 7.500% due 2/25/41 559,532
13,984 AAA Series 2001-T10, Class A1, 7.000% due 12/25/41 15,015
132,439 AAA Series 2001-T10, Class A2, 7.500% due 12/25/41 145,103
1,189 AAA Series 2002-T1, Class A2, 7.000% due 11/25/31 1,276
Government National Mortgage Association (GNMA),
Interest-Only Strip:
393,295 AAA Series 2001-43, Class SJ, 6.480% due 1/20/29 (e) 14,998
213,679 AAA Series 2002-29, Class SX, 6.930% due 4/16/29 (e) 4,976
iStar Asset Receivables Trust:
40,000 AAA Series 2003-1A, Class A2, 1.470% due 8/28/22 (d)(e) 40,024
35,000 A+ Series 2003-1A, Class E, 2.170% due 8/28/22 (d)(e) 35,021
30,000 A Series 2003-1A, Class F, 2.220% due 8/28/22 (d)(e) 30,018
39,793 AAA Rural Housing Trust, Series 1987-1, Class D, 6.330% due 4/1/26 40,030
See Notes to Financial Statements.
28 Travelers Series Fund Inc. | 2003 Annual Report
SCHEDULES OF INVESTMENTS (CONTINUED) OCTOBER 31, 2003
PIONEER STRATEGIC INCOME PORTFOLIO
FACE
AMOUNT+ RATING(c) SECURITY VALUE
- ----------------------------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS -- 4.8% (continued)
26,015 BBB- Sasco ARC Net Interest Margin Notes, Series 2002-BC10,
Class A, 7.750% due 1/27/33 (d) $ 25,235
47,565 BB+** Sasco Net Interest Margin Trust, Series 2003-BC1, Class B,
zero coupon due 5/27/33 (d) 30,918
- ---------------------------------------------------------------------------------------------
TOTAL COLLATERALIZED MORTGAGE
OBLIGATIONS (Cost -- $5,202,927) 4,711,287
- ---------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES -- 8.4%
Ameriquest Mortgage Securities Inc.:
59,000 BBB- Series 2002-4, Class M4, 4.870% due 2/25/33 (e) 59,910
61,000 BBB- Series 2003-1, Class M4, 4.200% due 2/25/33 (e) 60,294
61,000 BBB- Series 2003-2, Class M4, 4.200% due 3/25/33 (e) 60,233
25,000 BBB Series 2003-AR3, Class M5, 4.870% due 10/25/33 (e) 25,676
136,367 BBB- AQ Finance NIM Trust, Series 2003-N2A, Class Note,
9.300% due 3/25/33 (d)(f) 136,366
42,010 Baa3* Arc Net Interest Margin Trust, Series 2002-8A, Class A1,
7.750% due 11/27/32 (d) 40,749
Asset Backed Funding Corp.:
Mortgage Loan Asset Backed Certificates, Series 2003-WF1:
66,000 BBB Class M3, 4.170% due 12/25/32 (e) 65,121
25,000 BBB- Class M4, 4.370% due 12/25/32 (e) 23,732
7,472 BB+ NIM Trust, Series 2002-WFI, Class Note,
9.320% due 12/26/32 (d) 7,481
Asset Backed Securities Corp., Home Equity Loan Trust:
56,000 BBB- Series 2003-HE1, Class M4, 5.620% due 1/15/33 (e) 49,730
123,000 BBB Series 2003-HE2, Class M4, 4.970% due 4/15/33 (e) 122,383
2,593,000 BBB- Series 2003-HE3, Class M5, 5.120% due 6/15/33 (e) 2,314,881
334,000 BBB Bank One Issuance Trust, Series 2002-C1, Class C1,
2.080% due 12/15/09 (e) 336,588
Bayview Financial Acquisition Trust:
136,448 A Series 2001-DA, Class M3, 2.520% due 11/25/31 (d)(e) 134,955
187,499 AAA Series 2002-CA, Class AIO, 5.700% due 10/25/04 (d)(e) 8,086
50,000 BBB- CDC Mortgage Capital Trust, Series 2003-HE2, Class B3,
4.870% due 10/25/33 41,060
Chase Funding Net Interest Margin Trust:
3,024 BBB+ Series 2002-2, Class Note, 8.500% due 7/27/35 (d) 3,017
20,398 BBB Series 2003-1A, Class Note, 8.750% due 3/27/36 (d) 20,373
Conseco Finance Securitizations Corp.:
39,000 Aa3* Series 2000-2, Class A4, 8.480% due 12/1/30 41,216
220,000 A2* Series 2000-6, Class M2, 8.200% due 9/1/32 50,738
5,000 Aaa* Series 2001-3, Class A4, 6.910% due 5/1/33 4,424
4,000 Aaa* Series 2001-4, Class A4, 7.360% due 9/1/33 3,769
See Notes to Financial Statements.
29 Travelers Series Fund Inc. | 2003 Annual Report
SCHEDULES OF INVESTMENTS (CONTINUED) OCTOBER 31, 2003
PIONEER STRATEGIC INCOME PORTFOLIO
FACE
AMOUNT+ RATING(c) SECURITY VALUE
- -----------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES -- 8.4% (continued)
196,000 Baa2* Series 2001-4, Class B1, 9.400% due 9/1/33 $ 55,003
531,651 Aaa* Series 2002-1, Class A, 6.681% due 12/1/32 541,741
250,000 Baa2* Consumer Credit Reference Index Securities Program,
Series 2002-1A, Class A, 3.140% due 3/22/07 (d)(e) 249,290
188,000 BBB- Green Tree Financial Corp., Series 1999-5, Class A5,
7.860% due 3/1/30 160,298
45,177 Ba3* Green Tree Home Improvement Loan Trust, Series 1995-F,
Class B2, 7.100% due 1/15/21 43,300
384,961 A- Greenpoint Manufactured Housing, Series 2000-3, Class IA,
8.450% due 6/20/31 379,684
GSAMP Trust:
15,587 BBB- Series 2002-HE2N, Class Note, 8.250% due 10/20/32 (d) 15,616
50,000 Baa3* Series 2003-FM1, Class B3, 5.620% due 3/20/33 (e) 44,563
Home Equity Asset Trust:
15,145 BBB+ Series 2002-1N, Class A, 8.000% due 12/25/32 (d) 14,955
97,141 BBB** Series 2002-5N, Class A, 8.000% due 6/27/33 (d) 95,198
215,000 BBB- LNR CDO Ltd., Series 2002-1A, Class FFL,
3.870% due 7/24/37 (d)(e) 198,897
250,000 BBB Madison Avenue Manufactured Housing Contract Trust,
Series 2002-A, Class B1, 4.370% due 3/25/32 (e) 150,156
50,000 BBB- MASTR Asset Backed Securities Trust, Series 2003-OPT1,
Class MV5, 4.620% due 12/25/32 (e) 49,017
104,000 BBB- Merrill Lynch Mortgage Investors, Inc., Series 2003-WMC1,
Class B2, 4.120% due 11/25/33 (e) 91,989
106,031 BBB Mid-State Trust, Series 10, Class B, 7.540% due 2/15/36 95,883
54,000 BBB- Morgan Stanley ABS Capital I Inc., Series 2002-NC6, Class B2,
4.870% due 11/25/32 (e) 47,480
Morgan Stanley Dean Witter Capital I Inc.:
54,000 BBB- Series 2001-AM1, Class B1, 3.320% due 2/25/32 (e) 53,009
3,090 BB Series 2001-AM1N, Class Note, 12.750% due 2/25/32 3,090
134,000 BBB- Series 2001-NC3, Class B1, 3.570% due 10/25/31 (e) 126,665
316,000 BBB- Series 2001-NC4, Class B1, 3.620% due 1/25/32 (e) 291,670
32,057 BBB-** Series 2001-NC4N, Class Note, 8.500% due 1/25/32 32,057
115,000 BBB- Series 2002-AM2, Class B1, 3.370% due 5/25/32 (e) 105,246
58,000 BBB- Series 2002-AM3, Class B2, 4.870% due 2/25/33 (e) 58,690
59,000 BBB- Series 2002-NC5, Class B2, 4.370% due 10/25/32 (e) 58,812
59,000 BBB- Series 2003-NC2, Class B2, 4.870% due 2/25/33 (e) 58,100
58,000 BBB- Series 2003-NC3, Class B3, 4.870% due 3/25/33 (e) 55,975
9,565 A1* NovaStar Capital Securities Trust, Series 2002-C1, Class A,
7.150% due 9/25/31 (d) 9,565
Option One Mortgage Securities Corp.:
25,411 BBB Series 2002-1, Class CTFS, 6.750% due 2/26/32 (d) 24,903
22,480 BBB- Series 2002-2A, Class CFTS, 8.830% due 6/26/32 (d) 22,508
61,399 BBB+ Series 2003-2B, Class N1, 7.630% due 4/26/33 (d) 61,446
See Notes to Financial Statements.
30 Travelers Series Fund Inc. | 2003 Annual Report
SCHEDULES OF INVESTMENTS (CONTINUED) OCTOBER 31, 2003
PIONEER STRATEGIC INCOME PORTFOLIO
FACE
AMOUNT+ RATING(c) SECURITY VALUE
- --------------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES -- 8.4% (continued)
151,240 Baa2* Pass-Through Amortizing Credit Card Trust, Series 2002-1A,
Class A4FL, 6.620% due 6/18/12 (d)(e) $ 150,855
974,545 Baa2* PF Export Receivables Master Trust, Notes, Series A,
6.436% due 6/1/15 (d) 961,618
122,918 Baa3* Sail Net Interest Margin Notes, Series 2003-BC1A, Class A,
7.750% due 1/27/33 (d) 120,460
Structured Asset Investment Loan Trust:
146,000 BBB+ Series 2003-BC1, Class M3, 4.120% due 1/25/33 (e) 143,203
1,702,000 AAA Series 2003-BC2, Class AIO, 6.000% due 3/25/05 101,629
100,000 BB TIAA Commercial Real Estate Securitization, Series 2002-1A,
Class IV, 6.840% due 5/22/37 (d) 65,000
- --------------------------------------------------------------------------------------------------
TOTAL ASSET-BACKED SECURITIES
(Cost -- $8,702,808) 8,348,353
- --------------------------------------------------------------------------------------------------
MUNICIPAL BONDS -- 0.5%
Transportation -- 0.5%
500,000 Minneapolis & St. Paul Metropolitan Airports Commission,
Special Facilities Revenue, Northwest Airlines Project,
Series A, 7.000% due 4/1/25 (Cost -- $426,552) 455,265
- --------------------------------------------------------------------------------------------------
HIGH-YIELD SECTOR -- 55.3%
- --------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES -- 52.9%
Aerospace/Defense -- 1.5%
22,000 B- BE Aerospace Inc., Sr. Sub. Notes, Series B, 8.875% due 5/1/11 19,910
290,000 Caa1* Decrane Aircraft Holdings Inc., Sr. Sub. Notes, Series B,
12.000% due 9/30/08 146,450
425,000 B DRS Technologies Inc., Sr. Sub. Notes, 6.875% due 11/1/13 (d) 429,250
620,000 CCC+ Hexcel Corp., Sr. Sub. Notes, 9.750% due 1/15/09 (a) 649,450
K & F Industries, Inc., Sr. Sub. Notes, Series B:
35,000 B 9.250% due 10/15/07 36,400
55,000 B 9.625% due 12/15/10 61,875
100,000 BB- L-3 Communications Corp., Sr. Sub. Notes, Series B,
8.000% due 8/1/08 104,250
50,000 B Titan Corp., 8.000% due 5/15/11 (d) 57,750
- --------------------------------------------------------------------------------------------------
1,505,335
- --------------------------------------------------------------------------------------------------
Airlines -- 0.9%
AMR Corp., Debentures:
160,000 CCC 9.000% due 8/1/12 (a) 133,200
400,000 CCC 9.800% due 10/1/21 (f) 301,000
180,000 CCC+ Calair LLC/Calair Capital Corp., Sr. Notes, 8.125% due 4/1/08 156,150
60,000 B Continental Airlines, Inc., Pass-Through Certificates, Series D,
7.568% due 12/1/06 48,612
See Notes to Financial Statements.
31 Travelers Series Fund Inc. | 2003 Annual Report
SCHEDULES OF INVESTMENTS (CONTINUED) OCTOBER 31, 2003
PIONEER STRATEGIC INCOME PORTFOLIO
FACE
AMOUNT+ RATING(c) SECURITY VALUE
- ------------------------------------------------------------------------------------------------------
Airlines -- 0.9% (continued)
Northwest Airlines Inc., Notes:
120,000 B- 7.625% due 3/15/05 (a) $ 114,600
145,000 B- 9.875% due 3/15/07 (a) 130,138
109,000 Ca* United Airlines, Inc., Debentures, 9.125% due 1/15/12 (g) 14,851
37,802 Ca* US Airways, Inc., Pass-Through Certificates, Series 93-A3,
10.375% due 3/1/13 (g) 9,451
- ------------------------------------------------------------------------------------------------------
908,002
- ------------------------------------------------------------------------------------------------------
Automotive -- 0.7%
90,000 B Asbury Automotive Group, Notes, 9.000% due 6/15/12 94,050
15,000/EUR/ BB Dana Corp., Notes, 9.000% due 8/15/11 18,983
102,000 B Dura Operating Corp., Sr. Sub. Notes, Series D,
9.000% due 5/1/09 (a) 93,840
45,000/EUR/ BBB- Lear Corp., Sr. Notes, 8.125% due 4/1/08 58,517
164,000 CCC+ Motors and Gears, Inc., Sr. Notes, Series D,
10.750% due 11/15/06 135,300
Navistar International Inc.:
132,000 BB- Sr. Notes, Series B, 9.375% due 6/1/06 145,200
25,000 B Sr. Sub. Notes, Series B, 8.000% due 2/1/08 25,563
96,000 B Williams Scotsman Inc., Sr. Notes, 9.875% due 6/1/07 97,920
- ------------------------------------------------------------------------------------------------------
669,373
- ------------------------------------------------------------------------------------------------------
Broadcasting -- 1.2%
200,000 B Affinity Group Holding Inc., Sr. Notes, 11.000% due 4/1/07 (f) 208,250
Emmis Communications Corp.:
27,000 B- Sr. Discount Notes, step bond to yield
12.501% due 3/15/11 (a) 24,907
35,000 B2* Sr. Sub. Notes, Series B, 8.125% due 3/15/09 (a) 36,794
65,000 B2* Gray Television Inc., Sr. Sub. Notes, 9.250% due 12/15/11 72,312
500,000 BBB- Grupo Televisa, S.A., Sr. Notes, 8.500% due 3/11/32 527,500
40,000 B+ LIN Television Corp., Sr. Notes, 8.000% due 1/15/08 43,100
20,000 Ca* Pegasus Communications Corp., Sr. Notes, Series B,
9.750% due 12/1/06 (a) 16,700
205,000 CCC+ Young Broadcasting Inc., Sr. Sub. Notes,
10.000% due 3/1/11 (a) 219,350
- ------------------------------------------------------------------------------------------------------
1,148,913
- ------------------------------------------------------------------------------------------------------
Building/Construction -- 2.0%
8,100,000/NOK/ NR Aker Kvaerner ASA, Notes, zero coupon due 10/30/11 643,157
56,000 B- Atrium Cos., Inc., Sr. Sub. Notes, Series B, 10.500% due 5/1/09 59,780
85,000 BB Beazer Homes USA, Inc., Sr. Notes, 8.625% due 5/15/11 93,075
56,000 B- Brand Services Inc., Sr. Notes, 12.000% due 10/15/12 62,720
60,000 B Building Materials Corp. of America, Sr. Notes,
8.000% due 12/1/08 58,800
75,000 B+ Dayton Superior Corp., Secured Notes, 10.750% due 9/15/08 (d) 78,562
30,000 BB+ Del Webb Corp., Sr. Sub. Debentures, 10.250% due 2/15/10 32,288
See Notes to Financial Statements.
32 Travelers Series Fund Inc. | 2003 Annual Report
SCHEDULES OF INVESTMENTS (CONTINUED) OCTOBER 31, 2003
PIONEER STRATEGIC INCOME PORTFOLIO
FACE
AMOUNT+ RATING(c) SECURITY VALUE
- -----------------------------------------------------------------------------------------------------
Building/Construction -- 2.0% (continued)
K. Hovnanian Enterprises, Inc.:
100,000 BB Sr. Notes, 8.000% due 4/1/12 $ 109,000
30,000 Ba3* Sr. Sub. Notes, 7.750% due 5/15/13 (d) 31,650
KB Home, Sr. Sub. Notes:
10,000 BB- 7.750% due 2/1/10 10,600
160,000 BB- 9.500% due 2/15/11 178,400
Manitowoc Co., Inc., Sr. Sub. Notes:
15,000/EUR/ B 10.375% due 5/15/11 18,809
50,000 B 10.500% due 8/1/12 57,000
Nortek Inc., Sr. Notes, Series B:
30,000 B+ 9.125% due 9/1/07 31,200
70,000 B+ 8.875% due 8/1/08 73,325
Owens Corning:
11,000 NR Bonds, 7.500% due 8/1/18 (g) 4,785
137,000 NR Notes, 7.500% due 5/1/05 (g) 59,595
66,000 Ba2* Schuler Homes Inc., Notes, 10.500% due 7/15/11 (a) 75,653
Technical Olympic USA, Inc.:
20,000 Ba3* Sr. Notes, 9.000% due 7/1/10 21,425
20,000 B2* Sr. Sub. Notes, 10.375% due 7/1/12 22,000
Terex Corp., Sr. Sub. Notes:
96,000 B 8.875% due 4/1/08 100,560
47,000 B Series B, 10.375% due 4/1/11 (a) 53,228
60,000 Ba3* WCI Communities, Inc., Sr. Sub. Notes, 9.125% due 5/1/12 66,000
- -----------------------------------------------------------------------------------------------------
1,941,612
- -----------------------------------------------------------------------------------------------------
Business Services -- 2.9%
1,000,000 B1* Corrections Corp. of America, Sr. Notes, 7.500% due 5/1/11 (d) 1,050,000
JSG Funding PLC:
120,000/EUR/ B Sr. Notes, 10.125% due 10/1/12 153,955
48,876 B Sub. Notes, 15.500% due 10/1/13 (d)(h) 56,452
80,000 Ba3* Lamar Media Corp., Sr. Sub. Notes, 7.250% due 1/1/13 84,600
750,000 BBB- Odyssey Re Holdings Corp., Notes, 7.650% due 11/1/13 743,558
120,000 D Outsourcing Solutions Inc., Sr. Sub. Notes, Series B,
11.000% due 11/1/06 (g) 1,200
R.H. Donnelley Financial Corp.:
77,000 B+ Sr. Notes, 8.875% due 12/15/10 (d) 86,721
159,000 B+ Sr. Sub. Notes, 10.875% due 12/15/12 (d) 190,403
20,000 B+ Universal Compression, Inc., Sr. Notes, 7.250% due 5/15/10 20,900
30,000 B+ Xerox Capital (Europe) PLC, Notes, 5.875% due 5/15/04 (a) 30,450
Xerox Corp., Sr. Notes:
100,000 B+ 9.750% due 1/15/09 113,750
35,000/EUR/ B+ 9.750% due 1/15/09 45,818
245,000 B+ 7.125% due 6/15/10 251,125
30,000 B+ Xerox Credit Corp., Notes, 6.100% due 12/16/03 30,528
- -----------------------------------------------------------------------------------------------------
2,859,460
- -----------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
33 Travelers Series Fund Inc. | 2003 Annual Report
SCHEDULES OF INVESTMENTS (CONTINUED) OCTOBER 31, 2003
PIONEER STRATEGIC INCOME PORTFOLIO
FACE
AMOUNT+ RATING(c) SECURITY VALUE
- ----------------------------------------------------------------------------------------------------
Cable -- 0.4%
60,000 NR Adelphia Communications Corp., Notes, Series B,
9.875% due 3/1/05 (g) $ 48,900
47,000 BB- CSC Holdings Inc., Sr. Notes, 7.875% due 12/15/07 48,292
180,000 B1* DIRECTV Holdings/Finance, Sr. Notes, 8.375% due 3/15/13 203,400
8,592 NR KNOLOGY Holdings, Inc., Sr. Notes,
12.000% due 11/30/09 (d)(h) 8,463
Rogers Cablesystems Ltd.:
100,000 BBB- Sr. Secured Second Priority Notes, Series B,
10.000% due 3/15/05 108,000
20,000 BB- Sr. Sub. Debentures, 11.000% due 12/1/15 22,900
- ----------------------------------------------------------------------------------------------------
439,955
- ----------------------------------------------------------------------------------------------------
Chemicals -- 3.4%
150,000 B+ Acetex Corp., Sr. Notes, 10.875% due 8/1/09 (f) 168,750
10,000 Ba2* Airgas, Inc., Sr. Sub. Notes, 9.125% due 10/1/11 11,225
120,000 A- Dow Chemical Co., Sr. Notes, 5.750% due 11/15/09 126,697
Equistar Chemicals, LP/Equistar Funding Corp.:
Notes:
25,000 BB- 6.500% due 2/15/06 24,750
26,000 BB- 8.750% due 2/15/09 (a) 26,000
288,000 BB- Sr. Notes, 10.125% due 9/1/08 (a) 303,840
338,000 Ba2* Hercules Inc., Sr. Notes, 11.125% due 11/15/07 393,770
50,000 B Huntsman Advanced Materials LLC, Sr. Notes,
11.000% due 7/15/10 (d) 53,812
Huntsman ICI Chemicals LLC:
235,000 CCC+ Sr. Discount Notes, zero coupon bond to yield 20.193%
due 12/31/09 (a) 95,175
155,000 CCC+ Sr. Sub. Notes, 10.125% due 7/1/09 (a) 148,412
45,000/EUR/ CCC+ Huntsman International LLC, Sr. Sub. Notes,
10.125% due 7/1/09 45,978
IMC Global Inc., Sr. Notes, Series B:
140,000 B+ 10.875% due 6/1/08 145,250
60,000 B+ 11.250% due 6/1/11 62,250
205,000 BB- ISP Chemco Inc., Sr. Sub. Notes, Series B, 10.250% due 7/1/11 230,112
35,000 B+ ISP Holdings, Inc., Sr. Secured Notes, Series B,
10.625% due 12/15/09 38,500
Lyondell Chemical Co.:
20,000 BB- Secured Notes, 11.125% due 7/15/12 21,100
Sr. Secured Notes:
30,000 BB- 9.500% due 12/15/08 30,150
186,000 BB- Series A, 9.625% due 5/1/07 189,720
90,000 B Sr. Sub. Notes, 10.875% due 5/1/09 89,100
40,000/EUR/ B+ Messer Griesheim Holding, AG, Sr. Notes, 10.375% due 6/1/11 53,989
335,000 BBB- Methanex Corp., Sr. Notes, 8.750% due 8/15/12 366,825
See Notes to Financial Statements.
34 Travelers Series Fund Inc. | 2003 Annual Report
SCHEDULES OF INVESTMENTS (CONTINUED) OCTOBER 31, 2003
PIONEER STRATEGIC INCOME PORTFOLIO
FACE
AMOUNT+ RATING(c) SECURITY VALUE
- ------------------------------------------------------------------------------------------------------
Chemicals -- 3.4% (continued)
Millennium America, Inc.:
Sr. Notes:
15,000 BB- 7.000% due 11/15/06 (a) $ 14,813
30,000 BB- 9.250% due 6/15/08 (d) 31,875
170,000 BB- Sr. Sub. Notes, 9.250% due 6/15/08 180,625
80,000 B Noveon, Inc., Sr. Sub. Notes, Series B, 11.000% due 2/28/11 92,400
74,550 NR Noveon International Inc., Sr. Sub. Notes,
13.000% due 8/31/11 (d)(h) 76,787
99,000 B- OM Group, Inc., Notes, 9.250% due 12/15/11 100,485
45,540 NR PCI Chemicals Canada, Inc., Sr. Secured Notes,
10.000% due 12/31/08 41,214
58,755 NR Pioneer Cos., Inc., Sr. Secured Notes, 4.790% due 12/31/06 (e) 53,173
35,000 B+ Resolution Performance Products LLC/RPP Capital,
Sr. Secured Second Priority Notes, 9.500% due 4/15/10 (a) 37,100
5,000 Ba3* Rhodia S.A., Sr. Sub. Notes, 8.875% due 6/1/11 (d) 4,475
Salt Holdings Corp., Inc.:
90,000 B- Sr. Discount Notes, step bond to yield
12.005% due 6/1/13 (d) 55,350
60,000 B- Sr. Notes, step bond to yield 12.751% due 12/15/12 (d) 42,900
25,566 NR Sterling Chemicals Inc., Sr. Secured Notes,
10.000% due 12/19/07 (h) 24,160
- ------------------------------------------------------------------------------------------------------
3,380,762
- ------------------------------------------------------------------------------------------------------
Consumer Products and Services -- 1.7%
500 NR Alderwoods Group, Inc., Sr. Notes, 12.250% due 1/2/09 560
101,000 B Armkel, LLC/Armkel Finance, Inc., Sr. Sub. Notes,
9.500% due 8/15/09 112,110
500,000 BBB- Bausch & Lomb Inc., Debentures, 7.125% due 8/1/28 493,750
200,000 B+ Central Garden & Pet Co., Sr. Sub. Notes, 9.125% due 2/1/13 220,500
112,000 B Coinmach Corp., Sr. Notes, 9.000% due 2/1/10 122,640
Derby Cycle Corp., Sr. Notes:
163,739/EUR/ NR 9.375% due 5/15/08 (g) 2,430
136,116 NR 10.000% due 5/15/08 (g) 7,486
Elizabeth Arden, Inc.:
15,000 B+ Secured Notes, Series B, 11.750% due 2/1/11 (a) 17,250
Sr. Notes:
45,000 B- Series B, 10.375% due 5/15/07 47,025
13,000 B- Series D, 10.375% due 5/15/07 13,455
166,000 B- ICON Health & Fitness, Inc., Sr. Sub. Notes, 11.250% due 4/1/12 181,770
130,000 B Jostens, Inc., Sr. Sub. Notes, 12.750% due 5/1/10 151,450
75,000 B Royster-Clark, Inc., Secured First Mortgage Notes,
10.250% due 4/1/09 (a) 62,250
See Notes to Financial Statements.
35 Travelers Series Fund Inc. | 2003 Annual Report
SCHEDULES OF INVESTMENTS (CONTINUED) OCTOBER 31, 2003
PIONEER STRATEGIC INCOME PORTFOLIO
FACE
AMOUNT+ RATING(c) SECURITY VALUE
- --------------------------------------------------------------------------------------------
Consumer Products and Services -- 1.7% (continued)
Service Corp. International:
30,000 BB- Debentures, 7.875% due 2/1/13 $ 29,475
Notes:
10,000 BB- 7.200% due 6/1/06 10,225
5,000 BB- 6.875% due 10/1/07 5,100
19,000 BB- 6.500% due 3/15/08 (a) 19,143
59,000 BB- 7.700% due 4/15/09 61,507
130,000 B+ Stewart Enterprises Inc., Sr. Sub. Notes, 10.750% due 7/1/08 147,225
- --------------------------------------------------------------------------------------------
1,705,351
- --------------------------------------------------------------------------------------------
Electronics -- 0.7%
120,000 B+ FIMEP S.A., Sr. Notes, 10.500% due 2/15/13 140,400
20,000 Ba3* Legrand S.A., Debentures, 8.500% due 2/15/25 21,100
110,000 CCC+ SCG Holding Corp./Semiconductor Components Industries, LLC,
Sr. Sub. Notes, 12.000% due 8/1/09 117,700
350,000 Ba3* Vestel Electronics Finance, Notes, 11.500% due 5/14/07 (d) 378,000
- --------------------------------------------------------------------------------------------
657,200
- --------------------------------------------------------------------------------------------
Energy -- 7.5%
850,000 B- Baytex Energy Ltd., Sr. Sub. Notes, 9.625% due 7/15/10 892,500
95,000 CCC- Belden & Blake Corp., Sr. Sub. Notes, Series B,
9.875% due 6/15/07 90,250
Chesapeake Energy Corp., Sr. Notes:
155,000 BB- 8.125% due 4/1/11 170,887
1,000 BB- 9.000% due 8/15/12 1,145
45,000 BB- 7.500% due 9/15/13 (d) 48,600
6,000 BB- Series B, 8.500% due 3/15/12 (a) 6,390
140,000 B2* Comstock Resources, Inc., Sr. Notes, 11.250% due 5/1/07 152,600
38,000 CCC+ Dynegy Holdings, Inc., Sr. Notes, 6.875% due 4/1/11 33,250
500,000 B El Paso CGP Co., Notes, 7.500% due 8/15/06 458,125
El Paso Corp.:
Notes:
40,000 B 6.950% due 12/15/07 (a) 36,000
15,000 B 7.875% due 6/15/12 (a) 12,862
Sr. Notes:
20,000 B 6.750% due 5/15/09 (a) 17,100
30,000 B 7.000% due 5/15/11 (a) 25,425
130,000 B+ El Paso Production Holding, Notes, 7.750% due 6/1/13 (d) 125,450
80,000 B Encore Acquisition Co., Sr. Notes, 8.375% due 6/15/12 86,000
Forest Oil Corp., Sr. Notes:
120,000 BB 8.000% due 6/15/08 129,000
50,000 BB 8.000% due 12/15/11 54,000
20,000 BB 7.750% due 5/1/14 20,900
See Notes to Financial Statements.
36 Travelers Series Fund Inc. | 2003 Annual Report
SCHEDULES OF INVESTMENTS (CONTINUED) OCTOBER 31, 2003
PIONEER STRATEGIC INCOME PORTFOLIO
FACE
AMOUNT+ RATING(c) SECURITY VALUE
- -------------------------------------------------------------------------------------------------------
Energy -- 7.5% (continued)
800,000 BBB- FPL Energy American Wind, LLC, Sr. Secured Notes,
6.639% due 6/20/23 (d) $ 800,905
850,000 B Illinova Corp., First Mortgage Notes, 7.500% due 6/15/09 926,500
40,000 BB Key Energy Services Inc., Sr. Notes, 6.375% due 5/1/13 40,400
25,000 BB- Leviathan Gas Pipe Line Partners, L.P./Leviathan Finance Corp.,
Sr. Sub. Notes, Series B, 10.375% due 6/1/09 27,250
40,000 B+ Northwest Pipeline Corp., Sr. Notes, 8.125% due 3/1/10 44,300
500,000 B Paramount Resources Ltd., Sr. Notes, 7.875% due 11/1/10 500,000
95,000 B2* Parker Drilling Co., Sr. Notes, Series B, 10.125% due 11/15/09 99,750
Pemex Project Funding Master Trust:
90,000 Baa1* Bonds, 8.625% due 2/1/22 98,550
200,000 Baa1* Notes, 7.375% due 12/15/14 211,000
17,000 BB+ Pioneer Natural Resources Co., Sr. Notes, 6.500% due 1/15/08 18,274
57,000 BB+ Plains All American Pipeline L.P./PAA Finance Corp., Sr. Notes,
7.750% due 10/15/12 63,270
160,000 B Plains Exploration & Production Co., Sr. Sub. Notes,
8.750% due 7/1/12 175,200
70,000 BB Pogo Producing Co., Sr. Sub. Notes, Series B,
8.250% due 4/15/11 77,700
67,000 BB Pride International, Inc., Sr. Notes, 9.375% due 5/1/07 (a) 69,345
85,000 BB- PSE&G Energy Holdings LLC, Notes, 7.750% due 4/16/07 86,275
65,000 BB SEMCO Energy, Inc., Sr. Notes, 7.750% due 5/15/13 (d) 67,275
60,000 NR Seven Seas Petroleum Inc., Sr. Notes, Series B,
12.500% due 5/15/05 (g) 1,200
105,000 B Star Gas Partners, L.P./Star Gas Finance Co., Sr. Notes,
10.250% due 2/15/13 113,400
80,000 B+ Stone Energy Corp., Sr. Sub. Notes, 8.250% due 12/15/11 86,000
70,000 B Swift Energy Co., Sr. Sub. Notes, 9.375% due 5/1/12 76,300
Tesoro Petroleum Corp.:
50,000 BB Secured Notes, 8.000% due 4/15/05 53,250
400,000 B Sr. Sub. Notes, Series B, 9.625% due 11/1/08 415,000
100,000 B Tiverton Power Associates LP/Rumford Power Associates L.P.,
Pass-Through Certificates, 9.000% due 7/15/18 (d) 82,500
Vintage Petroleum, Inc.:
80,000 BB- Sr. Notes, 8.250% due 5/1/12 88,000
Sr. Sub. Notes:
110,000 B1* 9.750% due 6/30/09 117,425
20,000 B1* 7.875% due 5/15/11 21,250
110,000 Ba2* Westar Energy Inc., Sr. Notes, 7.125% due 8/1/09 114,538
Westport Resources Corp., Sr. Sub. Notes:
115,000 Ba3* 8.250% due 11/1/11 127,363
55,000 Ba3* 8.250% due 11/1/11 (d) 60,913
See Notes to Financial Statements.
37 Travelers Series Fund Inc. | 2003 Annual Report
SCHEDULES OF INVESTMENTS (CONTINUED) OCTOBER 31, 2003
PIONEER STRATEGIC INCOME PORTFOLIO
FACE
AMOUNT+ RATING(c) SECURITY VALUE
- -------------------------------------------------------------------------------------------------------
Energy -- 7.5% (continued)
The Williams Cos. Inc.:
Notes:
95,000 B+ 6.500% due 8/1/06 $ 98,325
50,000 B+ 6.500% due 12/1/08 50,750
40,000 B+ Series A, 6.750% due 1/15/06 (a)(e) 41,400
50,000 B+ Sr. Notes, 8.625% due 6/1/10 55,000
80,000 NR XCL Ltd., Sr. Secured Discount Notes,
13.500% due 5/1/04 (d)(g)(i) 24,400
XTO Energy, Inc., Sr. Notes:
110,000 BB 7.500% due 4/15/12 123,750
30,000 BB 6.250% due 4/15/13 31,463
- -------------------------------------------------------------------------------------------------------
7,448,705
- -------------------------------------------------------------------------------------------------------
Entertainment -- 0.4%
80,000 CCC+ AMC Entertainment Inc., Sr. Sub. Notes, 9.875% due 2/1/12 88,200
65,000 BBB- Capitol Records, Inc., Notes, 8.375% due 8/15/09 (d) 66,391
20,000/GBP/ BBB- EMI Group PLC, Notes, 8.250% due 5/20/08 35,133
89,000 CCC+ Pinnacle Entertainment, Sr. Sub. Notes, Series B,
9.250% due 2/15/07 (a) 91,336
70,000 B Regal Cinemas, Inc., Sr. Sub. Notes, Series B, 9.375% due 2/1/12 79,450
- -------------------------------------------------------------------------------------------------------
360,510
- -------------------------------------------------------------------------------------------------------
Environmental Services -- 1.1%
Allied Waste Industries, Inc.:
370,000 BB- Debentures, 7.400% due 9/15/35 345,950
40,000 BB- Sr. Notes, 6.375% due 1/15/08 39,400
Allied Waste North America, Inc.:
Sr. Notes, Series B:
52,000 BB- 8.875% due 4/1/08 (f) 57,720
223,000 BB- 9.250% due 9/1/12 (a)(f) 251,990
Sr. Sub. Notes, Series B:
156,000 BB- 8.500% due 12/1/08 (f) 172,770
121,000 B+ 10.000% due 8/1/09 (a)(f) 132,192
83,000 B- IESI Corp., Sr. Sub. Notes, 10.250% due 6/15/12 (d) 90,262
- -------------------------------------------------------------------------------------------------------
1,090,284
- -------------------------------------------------------------------------------------------------------
Financial Services -- 2.6%
1,000,000 BB- Allmerica Financial Corp., Sr. Debentures,
7.625% due 10/15/25 (f) 930,000
150,000 NR Amresco Inc., Sr. Sub. Notes, Series 97-A,
10.000% due 3/15/04 (g) 11,100
20,000 BB+ Arch Western Finance LLC, Sr. Notes, 6.750% due 7/1/13 (d) 20,800
200,000 BB- Chevy Chase Savings Bank, Sub. Debentures,
9.250% due 12/1/05 202,000
381,000 NR Finova Group, Inc., Notes, 7.500% due 11/15/09 192,405
See Notes to Financial Statements.
38 Travelers Series Fund Inc. | 2003 Annual Report
SCHEDULES OF INVESTMENTS (CONTINUED) OCTOBER 31, 2003
PIONEER STRATEGIC INCOME PORTFOLIO
FACE
AMOUNT+ RATING(c) SECURITY VALUE
- ----------------------------------------------------------------------------------------------------
Financial Services -- 2.6% (continued)
3,000,000/DKK/ Aa1* Nykredit, Mortgage Bonds, 5.000% due 10/1/35 $ 446,556
550,000 B+ Presidential Life Corp., Sr. Notes, 7.875% due 2/15/09 525,250
145,000 B- Resource America Inc., Sr. Notes, 12.000% due 8/1/04 148,625
90,000 BB- Western Financial Bank, Sub. Debentures, 9.625% due 5/15/12 98,775
- ----------------------------------------------------------------------------------------------------
2,575,511
- ----------------------------------------------------------------------------------------------------
Food and Beverage -- 1.1%
26,000/EUR/ B2* BSN Financing Co., S.A., Sr. Notes, 10.250% due 8/1/09 31,999
500,000 BBB- Companhia Brasileira de Bebida, Notes, 8.750% due 9/15/13 (d) 520,000
Constellation Brands, Inc., Sr. Sub. Notes:
30,000 Ba3* 8.500% due 3/1/09 31,725
50,000 Ba3* Series B, 8.125% due 1/15/12 (a) 55,125
40,000 B Del Monte Corp., Sr. Sub. Notes, Series B, 9.250% due 5/15/11 44,400
120,000 Caa1* Doane Pet Care Co., Sr. Sub. Notes, 9.750% due 5/15/07 (a) 108,600
30,000 BB- Dole Foods Co., Sr. Notes, 8.625% due 5/1/09 32,550
10,000 CCC+ Eagle Family Foods, Inc., Sr. Sub. Notes, Series B,
8.750% due 1/15/08 7,050
Fleming Cos., Inc., Sr. Notes:
122,000 NR 10.125% due 4/1/08 (g) 19,520
59,000 NR 9.250% due 6/15/10 (g) 9,440
86,000 B2* Land O' Lakes, Inc., Sr. Notes, 8.750% due 11/15/11 (a) 73,960
120,000 B- Premier International Foods PLC, Sr. Notes,
12.000% due 9/1/09 132,900
40,000 B TravelCenters of America Inc., Sr. Sub. Notes,
12.750% due 5/1/09 45,800
180,000 NR Vlasic Foods International, Sr. Sub. Notes, Series B,
10.250% due 7/1/09 (g) 21,354
- ----------------------------------------------------------------------------------------------------
1,134,423
- ----------------------------------------------------------------------------------------------------
Healthcare -- 2.2%
750,000 B ALARIS Medical Inc., Sr. Sub. Notes, 7.250% due 7/1/11 (f) 772,500
80,000 B Extendicare Health Services, Inc., Sr. Notes,
9.500% due 7/1/10 (a) 88,400
HCA Inc.:
Debentures:
10,000 BBB- 7.190% due 11/15/15 10,354
50,000 BBB- 8.360% due 4/15/24 53,694
Notes:
500,000 BBB- 6.300% due 10/1/12 497,443
50,000 BBB- 7.690% due 6/15/25 50,868
See Notes to Financial Statements.
39 Travelers Series Fund Inc. | 2003 Annual Report
SCHEDULES OF INVESTMENTS (CONTINUED) OCTOBER 31, 2003
PIONEER STRATEGIC INCOME PORTFOLIO
FACE
AMOUNT+ RATING(c) SECURITY VALUE
- ------------------------------------------------------------------------------------------------------
Healthcare -- 2.2% (continued)
HEALTHSOUTH Corp.:
106,000 Caa2* Notes, 7.625% due 6/1/12 (g) $ 92,750
Sr. Notes:
77,000 Caa2* 8.500% due 2/1/08 (g) 68,530
30,000 Caa2* 7.000% due 6/15/08 (g) 26,250
37,000 Caa2* 8.375% due 10/1/11 (a)(g) 32,930
IASIS Healthcare Corp., Sr. Sub. Notes:
15,000 B- 8.500% due 10/15/09 15,750
60,000 B- 13.000% due 10/15/09 67,650
110,000 NR Mediq Inc., Sr. Discount Debentures, step bond to yield
15.798% due 6/1/09 (g) 11
136,000 B- Medquest Inc., Sr. Sub. Notes, 11.875% due 8/15/12 (d) 148,920
330,000 NR Multicare Cos., Inc., Sr. Sub. Notes, 9.000% due 8/1/07 (g) 3,300
55,000/EUR/ B- Nyco Holdings 2 ApS, Sr. Notes, 11.500% due 3/31/13 (d) 68,647
Omnicare, Inc., Sr. Sub. Notes:
50,000 BB+ 6.125% due 6/1/13 49,750
75,000 BB+ Series B, 8.125% due 3/15/11 82,500
75,000 B- Province Healthcare Co., Sr. Sub. Notes, 7.500% due 6/1/13 75,375
10,000 BB- Tenet Healthcare Corp., Sr. Notes, 6.375% due 12/1/11 9,325
- ---------------------------------------------------------------------------------------------------
2,214,947
- ---------------------------------------------------------------------------------------------------
Hotel/Casino -- 2.4%
80,000 B Ameristar Casinos, Inc., Sr. Sub. Notes, 10.750% due 2/15/09 92,600
10,000 B+ Argosy Gaming Co., Sr. Sub. Notes, 9.000% due 9/1/11 11,075
50,000 BB- Chumash Casino & Resort Enterprise, Sr. Notes,
9.000% due 7/15/10 (d) 55,000
153,000 B Herbst Gaming Inc., Sr. Secured Notes, Series B,
10.750% due 9/1/08 171,934
123,000 BBB- Hilton Hotels Corp., Sr. Notes, 7.625% due 12/1/12 136,684
558,000 Ba3* HMH Properties, Inc., Sr. Secured Notes, Series B,
7.875% due 8/1/08 578,925
170,000 B+ Horseshoe Gaming Holding Corp., Sr. Sub. Notes, Series B,
8.625% due 5/15/09 181,687
500,000 BBB- Hospitality Properties Trust, Notes, 6.750% due 2/15/13 516,426
100,000 B John Q. Hammons Hotels Inc., First Mortgage Notes, Series B,
8.875% due 5/15/12 109,500
MGM MIRAGE:
80,000 BB+ Notes, 6.750% due 2/1/08 84,700
140,000 BB+ Sr. Notes, 8.500% due 9/15/10 159,425
Park Place Entertainment Corp., Sr. Sub. Notes:
37,000 Ba2* 8.875% due 9/15/08 (a) 41,209
15,000 Ba2* 8.125% due 5/15/11 16,463
See Notes to Financial Statements.
40 Travelers Series Fund Inc. | 2003 Annual Report
SCHEDULES OF INVESTMENTS (CONTINUED) OCTOBER 31, 2003
PIONEER STRATEGIC INCOME PORTFOLIO
FACE
AMOUNT+ RATING(c) SECURITY VALUE
- ---------------------------------------------------------------------------------------------------
Hotel/Casino -- 2.4% (continued)
175,000 B- Venetian Casino Resort LLC/Las Vegas Sands, Inc., Notes,
11.000% due 6/15/10 $ 202,781
15,000 B+ Wheeling Island Gaming, Inc., Notes, 10.125% due 12/15/09 15,525
- ---------------------------------------------------------------------------------------------------
2,373,934
- ---------------------------------------------------------------------------------------------------
Industrial Goods and Services -- 0.4%
95,000 CCC- Better Minerals & Aggregates Co., Sr. Sub. Notes,
13.000% due 9/15/09 60,325
20,000/EUR/ B Flowserve Finance B.V., Sr. Sub. Notes, 12.250% due 8/15/10 26,472
205,000 B North Atlantic Trading Co., Inc., Sr. Notes, Series B,
11.000% due 6/15/04 193,725
70,000 D** Polaroid Corp., Sr. Notes, 11.500% due 2/15/06 (g) 15,750
100,000 B Ucar Finance Inc., Notes, 10.250% due 2/15/12 111,250
- ---------------------------------------------------------------------------------------------------
407,522
- ---------------------------------------------------------------------------------------------------
Manufacturing -- 1.6%
35,000 NR Advanced Glassfiber Yarns/AGY Capital Corp., Sr. Sub. Notes,
9.875% due 1/15/09 (g) 1,925
140,000 B Dresser Inc., Sr. Sub. Notes, 9.375% due 4/15/11 144,550
90,000 Caa2* High Voltage Engineering Corp., Sr. Notes,
10.750% due 8/15/04 (g) 21,150
Invensys PLC:
35,000/EUR/ Ba3* Medium-Term Notes, Series E, 5.500% due 4/1/05 40,789
40,000 Ba3* Notes, 7.125% due 1/15/07 (d) 41,600
25,000 Ba3* Sr. Notes, 6.500% due 1/15/10 (d) 24,344
850,000 Baa3* Jabil Circuit Inc., Sr. Notes, 5.875% due 7/15/10 879,335
Louisiana Pacific Corp.:
10,000 BB+ Sr. Notes, 8.875% due 8/15/10 11,800
50,000 Ba2* Sr. Sub. Notes, 10.875% due 11/15/08 59,000
280,000 CCC+ Samsonite Corp., Sr. Sub. Notes, 10.750% due 6/15/08 295,400
31,000 BBB- Tyco International Group, S.A., Notes, 6.375% due 6/15/05 32,666
- ---------------------------------------------------------------------------------------------------
1,552,559
- ---------------------------------------------------------------------------------------------------
Metals/Mining -- 2.7%
90,000 B- Compass Minerals Group, Inc., Sr. Sub. Notes,
10.000% due 8/15/11 100,800
7,180 NR Doe Run Resources Corp., Notes, Series AI,
11.750% due 11/1/08 (d)(h) 2,872
113,000 B2* Earle M. Jorgensen Co., Secured Notes, 9.750% due 6/1/12 (a) 123,170
500,000 BBB Kennametal Inc., Sr. Notes, 7.200% due 6/15/12 528,796
114,000 BBB- Phelps Dodge Corp., Sr. Notes, 8.750% due 6/1/11 136,061
155,000 B+ Steel Dynamics, Inc., Sr. Notes, 9.500% due 3/15/09 171,275
500,000 BBB- Timken Co., Notes, 5.750% due 2/15/10 488,531
84,000 B Trimas Corp., Sr. Sub. Notes, 9.875% due 6/15/12 84,840
1,000,000 Ba2* Vale Overseas Limited, Notes, 9.000% due 8/15/13 (d) 1,065,000
See Notes to Financial Statements.
41 Travelers Series Fund Inc. | 2003 Annual Report
SCHEDULES OF INVESTMENTS (CONTINUED) OCTOBER 31, 2003
PIONEER STRATEGIC INCOME PORTFOLIO
FACE
AMOUNT+ RATING(c) SECURITY VALUE
- ------------------------------------------------------------------------------------------------------------
Metals/Mining -- 2.7% (continued)
Wheeling-Pittsburgh Corp., Sr. Notes:
4,011 NR 6.000% due 7/30/10 (g) $ 1,203
8,022 NR 5.000% due 7/30/11 (g) 3,209
- ---------------------------------------------------------------------------------------------------------
2,705,757
- ---------------------------------------------------------------------------------------------------------
Packaging/Containers -- 2.0%
Crown Euro Holdings, S.A., Secured Second Lien Notes:
200,000 B+ 9.500% due 3/1/11 223,000
750,000/EUR/ B+ 10.250% due 3/1/11 966,575
30,000 B 10.875% due 3/1/13 34,350
Owens-Brockway Glass Container Inc.:
185,000 BB Secured Notes, 8.875% due 2/15/09 201,650
80,000 B+ Sr. Notes, 8.250% due 5/15/13 84,800
70,000 BB Sr. Secured Notes, 7.750% due 5/15/11 74,200
160,000 B+ Owens-Illinois, Inc., Sr. Debentures, 7.800% due 5/15/18 (a) 154,400
Stone Container Corp., Sr. Notes:
50,000 B 9.750% due 2/1/11 54,750
90,000 B 8.375% due 7/1/12 95,400
70,000 B Stone Container Finance Corp., Sr. Notes,
11.500% due 8/15/06 (d) 74,375
- ---------------------------------------------------------------------------------------------------------
1,963,500
- ---------------------------------------------------------------------------------------------------------
Paper/Forestry Products -- 1.4%
1,000 BB+ Abitibi Consolidated Inc., Notes, 7.875% due 8/1/09 1,058
170,000 B+ Appleton Papers, Inc., Sr. Sub. Notes, Series B,
12.500% due 12/15/08 188,700
950,000 BB+ Bowater Inc., Sr. Notes, 6.500% due 6/15/13 (d) 874,986
Georgia-Pacific Corp.:
57,000 BB+ Debentures, 9.500% due 12/1/11 (a) 66,405
Sr. Notes:
35,000 BB+ 7.500% due 5/15/06 (a) 37,100
20,000 BB+ 8.125% due 5/15/11 (a) 21,850
133,000 Ba1* Potlatch Corp., Sr. Sub. Notes, 10.000% due 7/15/11 149,791
20,000 BB Tembec Industries Inc., Sr. Notes, 7.750% due 3/15/12 18,650
- ---------------------------------------------------------------------------------------------------------
1,358,540
- ---------------------------------------------------------------------------------------------------------
Publishing -- 1.6%
Garden State Newspapers, Inc., Sr. Sub. Notes:
110,000 B+ 8.625% due 7/1/11 117,013
85,000 B+ Series B, 8.750% due 10/1/09 88,081
65,000 B Hollinger International Publishing Inc., Sr. Notes,
9.000% due 12/15/10 69,225
632 B- Hollinger Participation Trust, Sr. Notes, 12.125% due 11/15/10 (d) 736
80,000 BB- Mail Well I Corp., Sr. Notes, 9.625% due 3/15/12 (a) 90,200
See Notes to Financial Statements.
42 Travelers Series Fund Inc. | 2003 Annual Report
SCHEDULES OF INVESTMENTS (CONTINUED) OCTOBER 31, 2003
PIONEER STRATEGIC INCOME PORTFOLIO
FACE
AMOUNT+ RATING(c) SECURITY VALUE
- ---------------------------------------------------------------------------------------------------------
Publishing -- 1.6% (continued)
PRIMEDIA Inc., Sr. Notes:
120,000 B 7.625% due 4/1/08 (a) $ 120,000
215,000 B 8.875% due 5/15/11 223,062
125,000 B 8.000% due 5/15/13 (d) 127,813
184,000 B Quebecor Media Inc., Sr. Notes, 11.125% due 7/15/11 212,520
Vertis Inc.:
155,000 B2* Secured Notes, 9.750% due 4/1/09 (d) 165,463
136,000 B- Sr. Notes, Series B, 10.875% due 6/15/09 139,740
Von Hoffman Corp.:
41,068 NR Debentures, 13.500% due 5/15/09 (h) 38,193
130,000 B Sr. Notes, 10.250% due 3/15/09 140,725
30,000 B- Von Hoffman Press, Inc., Notes, 10.375% due 5/15/07 30,825
- ------------------------------------------------------------------------------------------------------
1,563,596
- ------------------------------------------------------------------------------------------------------
Real Estate -- 0.2%
150,000 Ba3* Crescent Real Estate Equities, L.P., Sr. Notes,
9.250% due 4/15/09 162,750
- ------------------------------------------------------------------------------------------------------
Retail -- 1.4%
35,000/EUR/ B+ Ahold Finance USA, Inc., Sr. Medium-Term Notes, Series E,
6.375% due 6/8/05 41,856
140,000 BB+ AutoNation, Inc., Sr. Notes, 9.000% due 8/1/08 160,300
55,000 B The Great Atlantic & Pacific Tea Co., Inc., Notes,
7.750% due 4/15/07 47,575
120,000 CCC J. Crew Operating Corp., Sr. Sub. Notes, 10.375% due 10/15/07 124,200
J.C. Penney Co., Inc.:
Debentures:
26,000 BB+ 7.650% due 8/15/16 27,560
130,000 BB+ 7.950% due 4/1/17 140,075
5,000 BB+ Notes, 8.000% due 3/1/10 5,588
105,000 B2* Remington Arms Co., Sr. Notes, 10.500% due 2/1/11 (d) 110,381
Rite Aid Corp., Notes:
15,000 B- 6.000% due 12/15/05 (d) 15,038
120,000 B- 7.125% due 1/15/07 (a) 121,800
145,000 B- Sbarro Inc., Sr. Notes, 11.000% due 9/15/09 (a) 126,331
350,000 BBB- Toys "R" Us, Notes, 7.375% due 10/15/18 360,824
85,000 B United Auto Group, Inc., Sr. Sub. Notes, 9.625% due 3/15/12 94,350
- ------------------------------------------------------------------------------------------------------
1,375,878
- ------------------------------------------------------------------------------------------------------
Technology -- 0.4%
85,000 NR Affymetrix Inc., Convertible Notes, 5.000% due 10/1/06 86,381
90,000 B AMI Semiconductor, Inc., Sr. Sub. Notes, 10.750% due 2/1/13 (f) 104,850
440,000 NR Cybernet Internet Services International, Inc., Convertible Sr.
Discount Notes, step bond to yield 12.995% due 8/15/09 (d) 440
See Notes to Financial Statements.
43 Travelers Series Fund Inc. | 2003 Annual Report
SCHEDULES OF INVESTMENTS (CONTINUED) OCTOBER 31, 2003
PIONEER STRATEGIC INCOME PORTFOLIO
FACE
AMOUNT+ RATING(c) SECURITY VALUE
- -----------------------------------------------------------------------------------------------------
Technology -- 0.4% (continued)
32,807 NR Globix Corp., Sr. Notes, 11.000% due 5/1/08 (h) $ 28,050
40,000 CCC+ Kulicke & Soffa Industries Inc., Convertible Notes,
4.750% due 12/15/06 38,700
85,000 B Lam Research Corp., Convertible Notes, 4.000% due 6/1/06 85,212
85,000 NR Veeco Instruments Inc., Convertible Notes, 4.125% due 12/21/08 83,725
- -----------------------------------------------------------------------------------------------------
427,358
- -----------------------------------------------------------------------------------------------------
Telecommunications -- 6.6%
55,000 C AirGate PCS, Inc., Sr. Sub. Discount Notes, step bond to yield
38.268% due 10/1/09 37,400
Alamosa Delaware, Inc., Sr. Notes:
30,000 C 12.500% due 2/1/11 (a) 28,950
110,000 C 13.625% due 8/15/11 (f) 106,150
American Tower Corp.:
70,000 CCC Convertible Notes, 5.000% due 2/15/10 66,325
50,000 CCC Sr. Notes, 9.375% due 2/1/09 (a) 52,750
90,000 NR Asia Global Crossing Ltd., Sr. Notes, 13.375% due 10/15/10 (g) 13,500
185,022 NR COLO.COM Inc., Sr. Notes, 13.875% due 3/15/10 (d)(g) 1,619
Colt Telecom Group PLC:
5,000 B- Sr. Discount Notes, 12.000% due 12/15/06 5,031
Sr. Notes:
30,000/GBP/ B- 10.125% due 11/30/07 47,063
15,000/EUR/ B- 7.625% due 12/15/09 16,545
400,000 B3* Dobson Communications Corp., Sr. Notes,
8.875% due 10/1/13 (d) 408,000
750,000 BB- EchoStar Broadband Corp., Sr. Notes, 10.375% due 10/1/07 831,562
55,000 B- FairPoint Communications, Inc., Sr. Sub. Notes,
12.500% due 5/1/20 (a) 59,400
500,000 B+ GCI Inc., Sr. Notes, 9.750% due 8/1/04 516,875
20,000 C Horizon PCS, Inc., Sr. Notes, 13.750% due 6/15/11 (g) 4,700
345,000 B+ Innova S. de R.L., Notes, 9.375% due 9/19/13 (d) 349,312
15,000 B+ Insight Midwest L.P./Insight Capital Inc., Sr. Notes,
9.750% due 10/1/09 (a) 15,375
190,000 Ca* iPCS, Inc., Sr. Discount Notes, step bond to yield
14.115% due 7/15/10 (g) 20,900
73,000 Ca* IWO Holdings, Inc., Sr. Notes, 14.000% due 1/15/11 13,140
Lucent Technologies, Inc.:
Debentures:
30,000 B- 6.500% due 1/15/28 (a) 23,400
250,000 B- 6.450% due 3/15/29 (a) 194,375
110,000 B- Notes, 7.250% due 7/15/06 (a) 112,750
5,000 B- Unsub. Notes, 5.500% due 11/15/08 (a) 4,675
500,000 B3* MetroPCS Inc., Sr. Notes, 10.750% due 10/1/11 (d) 497,500
Millicom International Cellular S.A.:
3,000 NR Convertible Notes, 2.000% due 6/1/06 (d)(h) 17,228
84,000 B2* Sr. Notes, 11.000% due 6/1/06 (d) 86,310
See Notes to Financial Statements.
44 Travelers Series Fund Inc. | 2003 Annual Report
SCHEDULES OF INVESTMENTS (CONTINUED) OCTOBER 31, 2003
PIONEER STRATEGIC INCOME PORTFOLIO
FACE
AMOUNT+ RATING(c) SECURITY VALUE
- -------------------------------------------------------------------------------------------------
Telecommunications -- 6.6% (continued)
300,000 B3* Mobifon Holdings BV, Sr. Notes, 12.500% due 7/31/10 (d) $ 332,250
360,000 Ba3* Mobile TeleSystems, Notes, 8.375% due 10/14/10 (d) 356,400
Nextel Communications, Inc.:
190,000 B+ Convertible Notes, 6.000% due 6/1/11 219,450
9,000 B+ Sr. Discount Notes, 9.950% due 2/15/08 9,495
Sr. Notes:
125,000 B+ 12.000% due 11/1/08 (a) 133,125
59,000 B+ 9.500% due 2/1/11 66,818
550,000 B+ 7.375% due 8/1/15 574,750
Nextel Partners, Inc., Sr. Notes:
60,000 CCC+ 12.500% due 11/15/09 69,900
75,000 CCC+ 11.000% due 3/15/10 (a) 83,438
140,000 B Nortel Networks Ltd., Notes, 6.125% due 2/15/06 144,025
10,000 BB- Rogers Communications Inc., Convertible Sr. Debentures,
2.000% due 11/26/05 9,213
265,000 BB- Rogers Wireless Communications Inc., Sr. Sub. Notes,
8.800% due 10/1/07 (a) 272,950
30,000 CCC Rural Cellular Corp., Sr. Sub. Notes, Series B,
9.625% due 5/15/08 27,000
TeleCorp PCS, Inc.:
32,000 BBB Sr. Sub. Discount Notes, step bond to yield
13.383% due 4/15/09 33,304
21,000 BBB Sr. Sub. Notes, 10.625% due 7/15/10 24,778
29,855 NR Telex Communications, Inc., Sr. Sub. Notes, Series A,
zero coupon due 11/15/06 16,420
Telus Corp., Notes:
174,000 BBB 7.500% due 6/1/07 193,423
306,000 BBB 8.000% due 6/1/11 352,411
60,000 B- TSI Telecommunication Services, Inc., Sr. Sub. Notes, Series B,
12.750% due 2/1/09 62,100
77,000 CC UbiquiTel Operating Co., Sr. Sub. Discount Notes, step bond to
yield 16.796% due 5/15/10 53,515
- -------------------------------------------------------------------------------------------------
6,565,600
- -------------------------------------------------------------------------------------------------
Telephone -- 0.1%
10,000 NR Intermedia Communications Inc., Sr. Notes, Series B,
8.600% due 6/1/08 (g) 9,275
WorldCom, Inc.:
Debentures:
30,000 NR 7.750% due 3/15/24 (g) 24,975
25,000 NR 7.750% due 3/23/25 (g) 20,813
80,000 NR Sr. Notes, 6.400% due 8/15/05 (g) 29,600
- -------------------------------------------------------------------------------------------------
84,663
- -------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
45 Travelers Series Fund Inc. | 2003 Annual Report
SCHEDULES OF INVESTMENTS (CONTINUED) OCTOBER 31, 2003
PIONEER STRATEGIC INCOME PORTFOLIO
FACE
AMOUNT+ RATING(c) SECURITY VALUE
- ----------------------------------------------------------------------------------------------------
Textiles/Apparel -- 0.1%
82,000 B William Carter Co., Sr. Sub. Notes, Series B,
10.875% due 8/15/11 $ 93,275
- ----------------------------------------------------------------------------------------------------
Transportation -- 0.6%
67,000 B- Allied Holdings, Sr. Notes, Series B, 8.625% due 10/1/07 (a)(f) 63,147
430,000 B3* Evergreen International Aviation, Inc., Secured Notes,
12.000% due 5/15/10 (d) 380,550
60,000 B+ Hornbeck Offshore Services, Inc., Sr. Notes,
10.625% due 8/1/08 66,600
45,000 BB+ Offshore Logistic, Inc., Sr. Notes, 6.125% due 6/15/13 43,425
- ----------------------------------------------------------------------------------------------------
553,722
- ----------------------------------------------------------------------------------------------------
Utilities -- 1.1%
The AES Corp.:
24,317 BB Secured Notes, 10.000% due 7/15/05 (d) 25,168
7,000 B- Sr. Notes, 8.750% due 6/15/08 (a) 7,280
45,000 B2* Allegheny Energy, Inc., Notes, 7.750% due 8/1/05 45,900
90,000 B3* Allegheny Energy Supply Co., LLC, Bonds,
8.750% due 4/15/12 (d) 84,375
Avon Energy Partners Holdings:
5,000 CC Notes, 6.460% due 3/4/08 (d) 4,250
55,000 CC Sr. Notes, 7.050% due 12/11/07 (d) 46,750
110,000 BB- BRL Universal Equipment 2001A, L.P., Sr. Secured Notes,
8.875% due 2/15/08 119,350
Edison Mission Energy, Sr. Notes:
90,000 B 10.000% due 8/15/08 (a) 84,150
60,000 B 9.875% due 4/15/11 55,500
30,000 CCC Mission Energy Holding Co., Sr. Secured Notes,
13.500% due 7/15/08 (a) 20,100
38 Baa1* Northeast Utilities, Notes, Series A, 8.580% due 12/1/06 41
70,000 B2* Pacific Gas and Electric Co., Sr. Notes, 7.375% due 11/1/05 (d)(g) 71,750
5,000 BB Sierra Pacific Power Co., Secured Notes, Series A,
8.000% due 6/1/08 5,275
95,000 B2* Sierra Pacific Resources, Sr. Notes, 8.750% due 5/15/05 95,000
Southern California Edison Co.:
160,000 BB First and Refunding Mortgage Notes, 8.000% due 2/15/07 180,400
20,000 Ba3* Notes, 6.375% due 1/15/06 21,050
Teco Energy Inc.:
Notes:
20,000 BB+ 7.200% due 5/1/11 20,250
60,000 BB+ 7.000% due 5/1/12 (a) 59,550
40,000 BB+ Sr. Notes, 10.500% due 12/1/07 (a) 45,300
199,286 D York Power Funding, Secured Bonds,
12.000% due 10/30/07 (d)(g) 139,501
- ----------------------------------------------------------------------------------------------------
1,130,940
- ----------------------------------------------------------------------------------------------------
TOTAL CORPORATE BONDS AND NOTES
(Cost -- $51,235,476) 52,359,937
- ----------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
46 Travelers Series Fund Inc. | 2003 Annual Report
SCHEDULES OF INVESTMENTS (CONTINUED) OCTOBER 31, 2003
PIONEER STRATEGIC INCOME PORTFOLIO
FACE
AMOUNT+ RATING(c) SECURITY VALUE
- -------------------------------------------------------------------------------------------------
LOAN PARTICIPATIONS (j) -- 0.5%
Gazprom OAO:
50,000 B+ 9.625% due 3/1/13 (Morgan Stanley Bank AG) $ 54,294
330,000 B+ 9.625% due 3/1/13 (Morgan Stanley Bank AG) (d) 359,700
36,164 B2* Olympus Cable Holdings, Term Loans, Tranche B,
6.000% due 9/30/10 (e) 34,356
- -------------------------------------------------------------------------------------------
TOTAL LOAN PARTICIPATIONS
(Cost -- $410,490) 448,350
- -------------------------------------------------------------------------------------------
SHARES SECURITY VALUE
- -------------------------------------------------------------------------------------------------
COMMON STOCK (k) -- 0.3%
Business Services -- 0.0%
336 NCI Holdings, Inc. 126
- -------------------------------------------------------------------------------------------
Chemicals -- 0.0%
35 Sterling Chemicals, Inc. 604
- -------------------------------------------------------------------------------------------
Consumer Products and Services -- 0.0%
20,000 Loewen Group, Inc. 2
- -------------------------------------------------------------------------------------------
Diversified Financials -- 0.0%
845,262 Contifinancial Corp. Liquidating Trust, Units of Interest 12,679
- -------------------------------------------------------------------------------------------
Energy -- 0.0%
1,648 Jasper Energy LLC, Class A Shares 103
- -------------------------------------------------------------------------------------------
Food Processing -- 0.0%
22 PSF Group Holdings Inc. LLC, Class A Shares 38,552
- -------------------------------------------------------------------------------------------
Food Products -- 0.0%
308 Archibald Candy Corp. 878
2,833 Aurora Foods Inc. 79
- -------------------------------------------------------------------------------------------
957
- -------------------------------------------------------------------------------------------
Healthcare -- 0.0%
257 Mediq Inc. 26
- -------------------------------------------------------------------------------------------
Information Technology Consulting and Services -- 0.0%
83 Comdisco Holding Co., Inc. (a) 5,570
- -------------------------------------------------------------------------------------------
Insurance -- 0.1%
5,667 Conseco, Inc. 115,608
- -------------------------------------------------------------------------------------------
Telecommunications -- 0.2%
2 Arch Wireless Inc., Class A Shares 31
563 Birch Telecom, Inc. 1,948
36 Cincinnati Bell Inc. 183
15,125 Dobson Communications Corp., Class A Shares 131,134
23 WilTel Communications, Inc. 408
- -------------------------------------------------------------------------------------------
133,704
- -------------------------------------------------------------------------------------------
See Notes to Financial Statements.
47 Travelers Series Fund Inc. | 2003 Annual Report
SCHEDULES OF INVESTMENTS (CONTINUED) OCTOBER 31, 2003
PIONEER STRATEGIC INCOME PORTFOLIO
SHARES SECURITY VALUE
- -------------------------------------------------------------------------------
Utilities -- 0.0%
337 York Research Corp. 21
- -------------------------------------------------------------------------------
TOTAL COMMON STOCK
(Cost -- $730,585) 307,952
- -------------------------------------------------------------------------------
PREFERRED STOCK -- 1.6%
Broadcasting -- 0.3%
Paxson Communications Corp.:
14 9.750% Convertible (d)(h) 109,350
1,900 14.250% Cumulative Jr. Exchangeable (h) 179,075
- -------------------------------------------------------------------------------
288,425
- -------------------------------------------------------------------------------
Cable -- 0.5%
CSC Holdings Inc.:
1 11.750% Redeemable Exchangeable, Series H 105
4,532 11.125% Redeemable Exchangeable, Series M 475,860
- -------------------------------------------------------------------------------
475,965
- -------------------------------------------------------------------------------
Energy -- 0.1%
950 The Williams Cos., Inc., 5.500% Convertible, Jr. Sub.
Debentures (d) 62,462
- -------------------------------------------------------------------------------
Financial Services -- 0.1%
1,372 Chevy Chase Preferred Capital Corp., 10.375% Exchangeable,
Series A (a) 78,547
- -------------------------------------------------------------------------------
Food and Beverage -- 0.1%
3,000 Doane Pet Care Co., 14.250% Sr. Exchangeable 120,750
- -------------------------------------------------------------------------------
Healthcare -- 0.0%
749 Omnicare, Inc., 4.000% Convertible 44,094
- -------------------------------------------------------------------------------
Hotel/Casino -- 0.1%
2,706 Lodgian Inc., 12.250% Cumulative Redeemable, Series A (a)(h) 60,488
- -------------------------------------------------------------------------------
Industrial Goods and Services -- 0.0%
199 North Atlantic Trading Co., Inc., 12.000% Sr. Exchangeable (h) 4,025
- -------------------------------------------------------------------------------
Metals/Mining -- 0.0%
180 Weirton Steel Corp., zero coupon Convertible, Series C 144
- -------------------------------------------------------------------------------
Technology -- 0.0%
1 NTL Europe, Inc., 10.000% Cumulative Redeemable, Series A 5
- -------------------------------------------------------------------------------
Telecommunications -- 0.4%
Dobson Communications Corp.:
235 6.000% Convertible, Series F (d) 49,497
1,434 13.000% Sr. Exchangeable (h) 153,845
15 Metrocall Holdings Inc., 15.000% Cumulative Redeemable,
Series A 169
555 Microcell Telecommunications, Convertible Redeemable, Series D 7,229
See Notes to Financial Statements.
48 Travelers Series Fund Inc. | 2003 Annual Report
SCHEDULES OF INVESTMENTS (CONTINUED) OCTOBER 31, 2003
PIONEER STRATEGIC INCOME PORTFOLIO
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------------------
Telecommunications -- 0.4% (continued)
497 KNOLOGY, Inc., Variable Rate Convertible, Series D (d)(e) $ 870
2,900 Rural Cellular Corp., 12.500% Jr. Exchangeable (h) 192,110
1,417 Telex Communications, Inc., Variable Rate Convertible, Series B (e) 1,417
- --------------------------------------------------------------------------------------------
405,137
- --------------------------------------------------------------------------------------------
TOTAL PREFERRED STOCK
(Cost -- $2,045,630) 1,540,042
- --------------------------------------------------------------------------------------------
WARRANTS SECURITY VALUE
- --------------------------------------------------------------------------------------------
WARRANTS (k) -- 0.0%
Broadcasting -- 0.0%
100 XM Satellite Radio Holdings Inc., Expire 3/15/10 2,150
- --------------------------------------------------------------------------------------------
Building/Construction -- 0.0%
210 Dayton Superior Corp., Expire 6/15/09 (d) 2
Washington Group International Inc., Expire 1/25/06:
225 Series A 1,372
258 Series B 1,200
138 Series C 569
- --------------------------------------------------------------------------------------------
3,143
- --------------------------------------------------------------------------------------------
Business Services -- 0.0%
42 JSG Funding PLC, Expire 10/1/13 (d) 420
- --------------------------------------------------------------------------------------------
Chemicals -- 0.0%
18 Solutia Inc., Expire 7/15/09 (d) 333
- --------------------------------------------------------------------------------------------
Food and Beverage -- 0.0%
750 TravelCenters of America, Inc., Expire 5/1/09 (d) 7,875
- --------------------------------------------------------------------------------------------
Hotel/Casino -- 0.0%
70 Mikohn Gaming Corp., Expire 8/15/08 1
- --------------------------------------------------------------------------------------------
Packaging/Containers -- 0.0%
90 Pliant Corp., Expire 6/1/10 (d) 16
- --------------------------------------------------------------------------------------------
Telecommunications -- 0.0%
140 American Tower Corp., Expire 8/1/08 (d) 19,670
Microcell Telecommunications Inc.:
205 Expire 5/1/05 218
342 Expire 5/1/08 557
310 UbiquiTel Inc., Expire 4/15/10 (d) 3
- --------------------------------------------------------------------------------------------
20,448
- --------------------------------------------------------------------------------------------
TOTAL WARRANTS
(Cost -- $104,251) 34,386
- --------------------------------------------------------------------------------------------
TOTAL HIGH-YIELD SECTOR
(Cost -- $54,526,432) 54,690,667
- --------------------------------------------------------------------------------------------
See Notes to Financial Statements.
49 Travelers Series Fund Inc. | 2003 Annual Report
SCHEDULES OF INVESTMENTS (CONTINUED) OCTOBER 31, 2003
PIONEER STRATEGIC INCOME PORTFOLIO
FACE
AMOUNT++ RATING(c) SECURITY VALUE
- ---------------------------------------------------------------------------------------------------
FOREIGN BONDS -- 21.4%
Brazil -- 0.7%
Federal Republic of Brazil:
110,827/USD/ B+ Capitalization Bonds, 8.000% due 4/15/14 $ 103,797
185,000/USD/ B+ Debt Conversion Bonds, 2.063% due 4/15/12 (e) 156,556
Global Bonds:
290,000/USD/ B+ 10.125% due 5/15/27 273,325
66,000/USD/ B+ Series B, 8.875% due 5/15/24 56,100
Global Notes:
100,000/USD/ B+ 10.000% due 1/16/07 108,175
30,000/USD/ B+ 10.000% due 8/7/11 30,900
- ---------------------------------------------------------------------------------------------------
728,853
- ---------------------------------------------------------------------------------------------------
Bulgaria -- 0.1%
140,000/USD/ BB+ Republic of Bulgaria, Secured Bonds, Series A,
1.938% due 7/28/24 (e) 138,600
- ---------------------------------------------------------------------------------------------------
Canada -- 4.9%
Government of Canada, Bonds:
2,286,000 AAA 5.750% due 9/1/06 1,841,695
330,000 AAA 5.500% due 6/1/10 265,063
1,000,000 AAA 5.250% due 6/1/12 785,269
3,000,000 /AUD/ AA Province of Ontario, Unsub. Medium-Term Notes, Series E,
5.500% due 4/23/13 2,006,592
- ---------------------------------------------------------------------------------------------------
4,898,619
- ---------------------------------------------------------------------------------------------------
Colombia -- 1.5%
Republic of Colombia:
Global Bonds:
50,000 /USD/ BB 9.750% due 4/23/09 54,625
677,340 /USD/ BB+ 9.750% due 4/9/11 752,017
135,000 /USD/ BB 10.375% due 1/28/33 136,181
485,000 /USD/ BB Global Notes, 10.750% due 1/15/13 531,439
- ---------------------------------------------------------------------------------------------------
1,474,262
- ---------------------------------------------------------------------------------------------------
Dominican Republic -- 0.5%
600,000 /USD/ B2* Dominican Republic, Notes, 9.040% due 1/23/13 (d) 465,000
- ---------------------------------------------------------------------------------------------------
Ecuador -- 0.3%
395,000 /USD/ CCC+ Republic of Ecuador, Euro-Dollar Bonds, 7.000% due 8/15/30 (d) 265,638
- ---------------------------------------------------------------------------------------------------
France -- 4.2%
French Republic:
Bonds:
1,399,125 AAA 5.500% due 10/25/10 1,772,933
1,607,960 AAA Series OATi, 3.000% due 7/25/09 2,000,001
360,750 AAA Debentures, 4.000% due 10/25/09 422,322
- ---------------------------------------------------------------------------------------------------
4,195,256
- ---------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
50 Travelers Series Fund Inc. | 2003 Annual Report
SCHEDULES OF INVESTMENTS (CONTINUED) OCTOBER 31, 2003
PIONEER STRATEGIC INCOME PORTFOLIO
FACE
AMOUNT++ RATING(c) SECURITY VALUE
- -------------------------------------------------------------------------------------------------
Germany -- 0.8%
Federal Republic of Germany, Bonds:
120,500 AAA Series 94, 6.250% due 1/4/24 $ 164,191
500,000 AAA Series 97, 6.000% due 1/4/07 629,393
- -------------------------------------------------------------------------------------------------
793,584
- -------------------------------------------------------------------------------------------------
Mexico -- 0.9%
United Mexican States:
200,000 /USD/ Baa2* Global Bonds, 8.300% due 8/15/31 222,800
Global Notes:
230,000 /USD/ Baa2* 4.625% due 10/8/08 231,725
144,000 /USD/ Baa2* 7.500% due 1/14/12 161,280
255,000 /USD/ Baa2* 8.125% due 12/30/19 283,050
- -------------------------------------------------------------------------------------------------
898,855
- -------------------------------------------------------------------------------------------------
Netherlands -- 0.2%
130,000 /EUR/ AAA Government of the Netherlands, Bonds, 5.000% due 7/15/12 159,493
- -------------------------------------------------------------------------------------------------
New Zealand -- 1.6%
Government of New Zealand, Bonds:
1,495,000 AAA Series 413, 6.500% due 4/15/13 936,651
970,000 AAA Series 709, 7.000% due 7/15/09 620,896
- -------------------------------------------------------------------------------------------------
1,557,547
- -------------------------------------------------------------------------------------------------
Peru -- 0.8%
Republic of Peru:
FLIRB Bonds:
495,000 /USD/ BB- Series 20YR, 4.500% due 3/7/17 (e) 443,025
115,000 /USD/ BB- Series US, 4.500% due 3/17/17 (d)(e) 102,925
249,100 /USD/ BB- PDI Bonds, Series 20YR, 5.000% due 3/7/17 (e) 234,154
- -------------------------------------------------------------------------------------------------
780,104
- -------------------------------------------------------------------------------------------------
Russia -- 1.3%
Russian Federation:
1,197,500 /USD/ Baa3* Bonds, 5.000% due 3/31/30 (d) 1,120,040
Euro-Dollar Bonds:
60,000 /USD/ Baa3* 8.250% due 3/31/10 67,293
70,000 /USD/ Baa3* 5.000% due 3/31/30 65,472
- -------------------------------------------------------------------------------------------------
1,252,805
- -------------------------------------------------------------------------------------------------
South Africa -- 1.0%
900,000 /EUR/ BBB Republic of South Africa, Global Bonds, 5.250% due 5/16/13 998,934
- -------------------------------------------------------------------------------------------------
Spain -- 0.1%
92,500 Aaa* Kingdom of Spain, Bonds, 6.000% due 1/31/29 123,334
- -------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
51 Travelers Series Fund Inc. | 2003 Annual Report
SCHEDULES OF INVESTMENTS (CONTINUED) OCTOBER 31, 2003
PIONEER STRATEGIC INCOME PORTFOLIO
FACE
AMOUNT++ RATING(c) SECURITY VALUE
- -----------------------------------------------------------------------------------------------------
Sweden -- 2.4%
Kingdom of Sweden, Bonds:
5,000,000 AAA Series 1045, 5.250% due 3/15/11 $ 661,305
10,480,000 AAA Series 1046, 5.500% due 10/8/12 1,405,037
2,000,000 AAA Series 3105, 3.500% due 12/1/15 296,138
- -----------------------------------------------------------------------------------------------------
2,362,480
- -----------------------------------------------------------------------------------------------------
Ukraine -- 0.1%
62,067 /USD/ B1* Government of Ukraine, Sr. Notes, 11.000% due 3/15/07 68,972
- -----------------------------------------------------------------------------------------------------
TOTAL FOREIGN BONDS
(Cost -- $18,925,394) 21,162,336
- -----------------------------------------------------------------------------------------------------
RIGHTS SECURITY VALUE
- -----------------------------------------------------------------------------------------------------
FOREIGN RIGHTS (k) -- 0.0%
Mexico -- 0.0%
United Mexican States, Value Recovery Rights:
250,000 Series B, Expire 6/30/04 2,625
250,000 Series C, Expire 6/30/05 938
250,000 Series D, Expire 6/30/06 312
250,000 Series E, Expire 6/30/07 187
- -----------------------------------------------------------------------------------------------------
TOTAL FOREIGN RIGHTS
(Cost -- $0) 4,062
- -----------------------------------------------------------------------------------------------------
FACE
AMOUNT SECURITY VALUE
- -----------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 0.8%
$ 822,000 State Street Bank & Trust Co., 0.940% due 11/3/03; Proceeds at
maturity -- $822,064; (Fully collateralized by U.S. Treasury
Bonds, 9.875% due 11/15/15; Market value -- $841,500)
(Cost -- $822,000) 822,000
- -----------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0%
(Cost -- $97,349,162***) $98,942,667
- -----------------------------------------------------------------------------------------------------
+ Face amount denominated in U.S. dollars unless otherwise indicated.
++ Face amount denominated in local currency unless otherwise indicated.
(a) All or a portion of this security is on loan (See Note 8).
(b) Security is traded on a to-be-announced basis (See Note 9).
(c) All ratings are by Standard & Poor's Ratings Services, except those which
are identified by an asterisk (*) or a double asterisk (**), are rated by
Moody's Investors Service and Fitch Ratings, respectively.
See Notes to Financial Statements.
52 Travelers Series Fund Inc. | 2003 Annual Report
SCHEDULES OF INVESTMENTS (CONTINUED) OCTOBER 31, 2003
(d) Security is exempt from registration under Rule 144A of the Securities Act
of 1933. This security may be resold in transactions that are exempt from
registration, normally to qualified institutional buyers.
(e) Variable rate security.
(f) All or a portion of this security is segregated for extended settlements.
(g) Security is currently in default.
(h) Payment-in-Kind security for which all or part of the income earned may be
paid as additional principal.
(i) Security issued with attached warrants.
(j) Participation interests were acquired through the financial institutions
indicated parenthetically.
(k) Non-income producing security.
*** Aggregate cost for Federal income tax purposes is $98,414,905.
Abbreviations used in this schedule:
AUD -- Australian Dollar
EUR -- Euro
FLIRB -- Front Loaded Interest Reduction Bond
DKK -- Danish Krone
GBP -- British Pound
NOK -- Norwegian Krone
PDI -- Past Due Interest
USD -- United States Dollar
See pages 54 and 55 for definitions of ratings.
LOANED SECURITIES COLLATERAL OCTOBER 31, 2003
FACE
AMOUNT SECURITY VALUE
- -------------------------------------------------------------------------------------
$5,170,308 State Street Navigator Securities Lending Trust Prime Portfolio
(Cost -- $5,170,308) $5,170,308
- -------------------------------------------------------------------------------------
See Notes to Financial Statements.
53 Travelers Series Fund Inc. | 2003 Annual Report
BOND RATINGS (UNAUDITED)
The definitions of the applicable rating symbols are set forth below:
Standard & Poor's Ratings Service ("Standard & Poor's") -- Ratings from "AA" to
"CCC" may be modified by the addition of a plus (+) or minus (-) sign to show
relative standings within the major rating categories.
AAA -- Bonds rated "AAA" have the highest rating assigned by Standard &
Poor's. Capacity to pay interest and repay principal is extremely
strong.
AA -- Bonds rated "AA" have a very strong capacity to pay interest and
repay principal and differs from the highest rated issue only in a
small degree.
A -- Bonds rated "A" have a strong capacity to pay interest and repay
principal although it is somewhat more susceptible to the adverse
effects of changes in circumstances and economic conditions than
bonds in higher rated categories.
BBB -- Bonds rated "BBB" are regarded as having an adequate capacity to
pay interest and repay principal. Whereas they normally exhibit
adequate protection parameters, adverse economic conditions or
changing circumstances are more likely to lead to a weakened
capacity to pay interest and repay principal for bonds in this
category than in higher rated categories.
BB, B, -- Bonds rated "BB", "B", "CCC", "CC", and "C" are regarded, on
CCC, CC balance, as pre- dominantly speculative with respect to capacity
and C to pay interest and repay principal in accordance with the terms
of the obligation. "BB" represents the lowest degree of
speculation and "C" the highest degree of speculation. While such
bonds will likely have some quality and protective
characteristics, these are outweighed by large uncertainties or
major risk exposures to adverse conditions.
D -- Bonds rated "D" are in default, and payment of interest and/or
repayment of princi- pal is in arrears.
Moody's Investors Service ("Moody's") -- Numerical modifiers 1, 2 and 3 may be
applied to each generic rating from "Aa" to "Caa", where 1 is the highest and 3
the lowest rating within its generic category.
Aaa -- Bonds rated "Aaa" are judged to be of the best quality. They carry
the smallest degree of investment risk and are generally referred
to as "gilt edge." Interest pay- ments are protected by a large or
by an exceptionally stable margin and principal is secure. While
the various protective elements are likely to change, such changes
as can be visualized are most unlikely to impair the fundamentally
strong position of such issues.
Aa -- Bonds rated "Aa" are judged to be of high quality by all
standards. Together with the "Aaa" group they comprise what are
generally known as high grade bonds. They are rated lower than the
best bonds because margins of protection may not be as large as in
"Aaa" securities or fluctuation of protective elements may be of
greater amplitude or there may be other elements present which
make the long-term risks appear somewhat larger than in "Aaa"
securities.
A -- Bonds rated "A" possess many favorable investment attributes and
are to be consid- ered as upper medium grade which suggest a
susceptibility to impairment some time in the future.
Baa -- Bonds rated "Baa" are considered as medium grade obligations,
i.e., they are neither highly protected nor poorly secured.
Interest payments and principal security appear adequate for the
present but certain protective elements may be lacking or may be
characteristically unreliable over any great length of time. Such
bonds lack out- standing investment characteristics and in fact
have speculative characteristics as well.
Ba -- Bonds rated "Ba" are judged to have speculative elements; their
future cannot be considered as well-assured. Often the protection
of interest and principal payments may be very moderate and
thereby not well safeguarded during both good and bad times over
the future. Uncertainty of position characterizes bonds in this
class.
B -- Bonds rated "B" generally lack characteristics of desirable
investments. Assurance of interest and principal payments or of
maintenance of other terms of the contract over any long period of
time may be small.
54 Travelers Series Fund Inc. | 2003 Annual Report
BOND RATINGS (UNAUDITED) (CONTINUED)
Caa -- Bonds rated "Caa" are of poor standing. These issues may be in
default, or present elements of danger may exist with respect to
principal or interest.
Ca and C -- Bonds rated "Ca" and "C" represent obligations which are
speculative in a high degree. Such issues are often in default or
have other marked shortcomings.
Fitch Ratings ("Fitch") -- Ratings from "AAA" to "CCC" may be modified by the
addition of a plus (+) or minus (-) sign to show relative standings with the
major rating categories.
AAA -- Bonds rated "AAA" by Fitch have the lowest expectation of credit
risk. The obligor has an exceptionally strong capacity for timely
payment of financial commitments which is highly unlikely to be
adversely affected by foreseeable events.
BBB -- Bonds rated "BBB" by Fitch currently have a low expectation of
credit risk. The capacity for timely payment of financial
commitments is considered to be adequate. Adverse changes in
economic conditions and circumstances, however, are more likely to
impair this capacity. This is the lowest investment grade category
assigned by Fitch.
BB -- Bonds rated "BB" by Fitch carry the possibility of credit risk
developing, particularly as the result of adverse economic change
over time. Business or financial alternatives may, however, be
available to allow financial commitments to be met. Securities
rated in this category are not considered by Fitch to be
investment grade.
B -- Bonds rated "B" are considered highly speculative. While
securities in this class are currently meeting debt service
requirements or paying dividends, the probability of continued
timely payment of principal and interest reflects the obligor's
limited margin of safety and the need for reasonable business and
economic activity throughout the life of the issue.
CCC -- Bonds rated "CCC" have certain identifiable characteristics that,
if not remedied, may lead to default. The ability to meet
obligations requires on advantageous busi- ness and economic
environment.
CC -- Bonds rated "CC" are minimally protected. Default in payment of
interest and/or principal seems probable over time.
C -- Bonds rated "C" are in imminent default in payment of interest or
principal or sus- pension of preferred stock dividends is imminent.
D -- Bonds rated "D" are in default on interest and/or principal
payments or preferred stock dividends are suspended. Such
securities are extremely speculative and should be valued on the
basis of their ultimate recovery value in liquidation or
reorganiza- tion of the obligor and have the lowest potential for
recover.
NR -- Indicates that the bond is not rated by Standard & Poor's, Moody's
or Fitch.
55 Travelers Series Fund Inc. | 2003 Annual Report
STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2003
Pioneer
Smith Barney Strategic
High Income Income
Portfolio Portfolio
- -------------------------------------------------------------------------------------------------
ASSETS:
Investments, at value (Cost -- $223,450,623 and
$97,349,162, respectively) $ 235,182,633 $ 98,942,667
Loaned securities collateral, at value
(Cost -- $5,170,308) (Note 8) -- 5,170,308
Cash 884 5,660
Dividends and interest receivable 5,269,311 1,647,303
Receivable for Fund shares sold 34,931 5,531
Receivable for securities sold -- 3,376,023
Other assets -- 4,608
Prepaid expenses -- 1,928
Other receivables 31,840 --
- ------------------------------------------------------------------------------------------------
Total Assets 240,519,599 109,154,028
- ------------------------------------------------------------------------------------------------
LIABILITIES:
Payable for securities purchased 3,751,715 3,324,225
Management fees payable 119,082 64,813
Payable for Fund shares reacquired 1,655 34,286
Payable for loaned securities collateral (Note 8) -- 5,170,308
Foreign currency overdraft, at value (Cost -- $8,444) -- 7,579
Accrued expenses 52,219 64,415
- ------------------------------------------------------------------------------------------------
Total Liabilities 3,924,671 8,665,626
- ------------------------------------------------------------------------------------------------
Total Net Assets $ 236,594,928 $100,488,402
- ------------------------------------------------------------------------------------------------
NET ASSETS:
Par value of capital shares $ 309 $ 105
Capital paid in excess of par value 312,266,524 123,555,952
Undistributed net investment income 15,883,589 7,004,622
Accumulated net realized loss from investment transactions,
futures contracts and swaps (103,287,807) (31,675,541)
Net unrealized appreciation of investments and foreign currencies 11,732,313 1,603,264
- ------------------------------------------------------------------------------------------------
Total Net Assets $ 236,594,928 $100,488,402
- ------------------------------------------------------------------------------------------------
Shares Outstanding 30,853,067 10,548,571
- ------------------------------------------------------------------------------------------------
Net Asset Value $7.67 $9.53
- ------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
56 Travelers Series Fund Inc. | 2003 Annual Report
STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2003
Pioneer
Smith Barney Strategic
High Income Income
Portfolio Portfolio
-----------------------------------------------------------------------
INVESTMENT INCOME:
Interest $19,879,849 $ 7,801,430
Dividends 36,015 356,344
----------------------------------------------------------------------
Total Investment Income 19,915,864 8,157,774
----------------------------------------------------------------------
EXPENSES:
Management fees (Note 2) 1,169,585 759,584
Custody 51,543 150,994
Audit and legal 48,175 50,410
Shareholder communications 46,364 42,810
Shareholder servicing fees 9,130 5,003
Directors' fees 6,625 4,476
Other 4,267 2,931
----------------------------------------------------------------------
Total Expenses 1,335,689 1,016,208
----------------------------------------------------------------------
Net Investment Income 18,580,175 7,141,566
----------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS, FOREIGN CURRENCIES, FUTURES
CONTRACTS AND SWAPS (NOTES 3, 4, 6 AND 7):
Realized Gain (Loss) From:
Investment transactions (3,871,273) (33,650)
Foreign currency transactions 8,956 234,852
Futures contracts -- (416,447)
Swap contracts -- 176,189
----------------------------------------------------------------------
Net Realized Loss (3,862,317) (39,056)
----------------------------------------------------------------------
Change in Net Unrealized Appreciation From:
Investments 36,435,358 11,779,389
Foreign currencies (5,469) (3,169)
----------------------------------------------------------------------
Increase in Net Unrealized Appreciation 36,429,889 11,776,220
----------------------------------------------------------------------
Net Gain on Investments, Foreign
Currencies, Futures Contracts and Swaps 32,567,572 11,737,164
----------------------------------------------------------------------
Increase in Net Assets From Operations $51,147,747 $18,878,730
----------------------------------------------------------------------
See Notes to Financial Statements.
57 Travelers Series Fund Inc. | 2003 Annual Report
STATEMENTS OF CHANGES IN NET ASSETS
For the Years
Ended October 31,
Smith Barney High Income Portfolio 2003 2002
- -------------------------------------------------------------------------------
OPERATIONS:
Net investment income $ 18,580,175 $ 18,437,222
Net realized loss (3,862,317) (23,124,497)
Increase (decrease) in net unrealized appreciation 36,429,889 (8,502,329)
- -------------------------------------------------------------------------------
Increase (Decrease) in Net Assets From Operations 51,147,747 (13,189,604)
- -------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (20,588,597) (21,089,088)
- -------------------------------------------------------------------------------
Decrease in Net Assets From Distributions to
Shareholders (20,588,597) (21,089,088)
- -------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS (NOTE 13):
Net proceeds from sale of shares 62,010,341 26,024,621
Net asset value of shares issued for reinvestment
of dividends 20,588,597 21,089,088
Cost of shares reacquired (31,197,259) (34,227,458)
- -------------------------------------------------------------------------------
Increase in Net Assets From Fund Share
Transactions 51,401,679 12,886,251
- -------------------------------------------------------------------------------
Increase (Decrease) in Net Assets 81,960,829 (21,392,441)
NET ASSETS:
Beginning of year 154,634,099 176,026,540
- -------------------------------------------------------------------------------
End of year* $236,594,928 $154,634,099
- -------------------------------------------------------------------------------
* Includes undistributed net investment income of: $15,883,589 $17,721,293
- -------------------------------------------------------------------------------
See Notes to Financial Statements.
58 Travelers Series Fund Inc. | 2003 Annual Report
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
For the Years
Ended October 31,
Pioneer Strategic Income Portfolio 2003 2002
- -------------------------------------------------------------------------------
OPERATIONS:
Net investment income $ 7,141,566 $ 9,464,028
Net realized loss (39,056) (10,763,655)
Increase in net unrealized appreciation 11,776,220 4,063,168
- ------------------------------------------------------------------------------
Increase in Net Assets From Operations 18,878,730 2,763,541
- ------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (11,472,635) (11,516,581)
- ------------------------------------------------------------------------------
Decrease in Net Assets From Distributions to
Shareholders (11,472,635) (11,516,581)
- ------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS (NOTE 13):
Net proceeds from sale of shares 4,101,224 6,049,296
Net asset value of shares issued for reinvestment
of dividends 11,472,635 11,516,581
Cost of shares reacquired (19,986,029) (39,620,239)
- ------------------------------------------------------------------------------
Decrease in Net Assets From Fund Share
Transactions (4,412,170) (22,054,362)
- ------------------------------------------------------------------------------
Increase (Decrease) in Net Assets 2,993,925 (30,807,402)
NET ASSETS:
Beginning of year 97,494,477 128,301,879
- ------------------------------------------------------------------------------
End of year* $100,488,402 $ 97,494,477
- ------------------------------------------------------------------------------
* Includes undistributed net investment income of: $7,004,622 $9,129,682
- ------------------------------------------------------------------------------
See Notes to Financial Statements.
59 Travelers Series Fund Inc. | 2003 Annual Report
NOTES TO FINANCIAL STATEMENTS
1. Significant Accounting Policies
The Smith Barney High Income Portfolio and Pioneer Strategic Income Portfolio
(formerly known as Putnam Diversified Income Portfolio) ("Fund(s)") are
separate investment funds of the Travelers Series Fund Inc. ("Company"). The
Company, a Maryland corporation, is registered under the Investment Company Act
of 1940, as amended, as a diversified, open-end management investment company
and consists of these Funds and thirteen other separate investment funds: AIM
Capital Appreciation, Strategic Equity (formerly known as Alliance Growth), Van
Kampen Enterprise, Smith Barney Large Cap Value, Smith Barney International All
Cap Growth, Travelers Managed Income, Salomon Brothers Total Return Strategic
Bond, SB Adjustable Rate Income, MFS Total Return, Smith Barney Money Market,
Smith Barney Large Capitalization Growth, 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 the Funds are: (a)
security transactions are accounted for on trade date; (b) securities traded on
national securities markets are valued at the closing prices on such markets;
fixed-income securities are valued at the mean between the bid and the asked
prices provided by an independent pricing service; securities for which no
sales price was reported and U.S. government agencies and obligations are
valued at the mean between the bid and asked prices; securities listed on the
NASDAQ National Market System for which market quotations are available are
valued at the official closing price or, if there is no official closing price
on that day, at the last sale price; (c) securities 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 60 days are
valued at cost plus accreted discount, or minus amortized premium, which
approximates value; (e) dividend income is recorded on the ex-dividend date;
foreign dividends are recorded on the ex-dividend date or as soon as practical
after the Fund determines the existence of a dividend declaration after
exercising reasonable due diligence; (f ) interest income, adjusted for
amortization of premium and accretion of discount, is recorded on an accrual
basis; (g) gains or losses on the sale of securities are
60 Travelers Series Fund Inc. | 2003 Annual Report
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
calculated by using the specific identification method; (h) dividends and
distributions to shareholders are recorded on the ex-dividend date; the Funds
distribute dividends and capital gains, if any, 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
bank; ( 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 the Funds to
reflect permanent book/tax differences and income and gains available for
distributions under income tax regulations. Net investment income, gains and
net assets were not affected by this adjustment; (k) the Funds intend to comply
with the requirements of the Internal Revenue Code of 1986, as amended,
pertaining to regulated investment companies and to make distributions of
taxable income sufficient to relieve them from substantially all Federal income
and excise taxes; and (l) estimates and assumptions are required to be made
regarding assets, liabilities and changes in net assets resulting from
operations when financial statements are prepared. Changes in the economic
environment, financial markets and any other parameters used in determining
these estimates could cause actual results to differ.
In addition, the Funds invest in high-yield instruments that are subject to
certain credit and market risks. The yields of high-yield debt obligations
reflect, among other things, perceived credit risk. The Funds' investment in
securities rated below investment grade typically involve risks not associated
with higher rated securities including, among others, greater risk of timely
and ultimate payment of interest and principal, greater market price volatility
and less liquid secondary market trading.
The Funds may enter into foreign currency 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 closed.
61 Travelers Series Fund Inc. | 2003 Annual Report
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
In addition, the Funds may enter into 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.
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 the investment manager of the Smith
Barney High Income Portfolio ("SBHI"). SBHI pays SBFM a management fee
calculated at an annual rate of 0.60% of the average daily net assets of the
Fund. Travelers Investment Adviser, Inc. ("TIA"), an affiliate of SBFM, acts as
the investment manager of the Pioneer Strategic Income Portfolio ("PSIP"). PSIP
pays TIA a management fee calculated at an annual rate of 0.75% of the average
daily net assets of the Fund. These fees are calculated daily and paid monthly.
TIA has entered into a sub-advisory agreement with Pioneer Investment
Management, Inc. ("Pioneer"). Pursuant to the sub-advisory agreement, Pioneer
is responsible for the day-to-day fund operations and investment decisions for
PSIP and is compensated by TIA for such service at the annual rate of 0.35% of
the average daily net assets of PSIP.
TIA has 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 PSIP.
Citicorp Trust Bank, fsb. ("CTB"), another subsidiary of Citigroup, acts as the
Funds' transfer agent. 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 financial processing for all shareholder accounts and is paid by CTB. For
the year ended October 31, 2003, each Fund paid transfer agent fees of $5,000
to CTB.
During the year ended October 31, 2003, Citigroup Global Markets Inc. ("CGM")
(formerly known as Salomon Smith Barney Inc.), another indirect wholly-owned
subsidiary of Citigroup, did not receive any brokerage commissions.
Most of the officers and one Director of the Company are employees of Citigroup
or its affiliates.
62 Travelers Series Fund Inc. | 2003 Annual Report
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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) were as follows:
SBHI PSIP
- --------------------------------------------------------------------------------
Purchases $111,935,448 $135,495,035
- --------------------------------------------------------------------------------
Sales 65,320,578 135,571,100
- --------------------------------------------------------------------------------
At October 31, 2003, the aggregate gross unrealized appreciation and
depreciation of investments for Federal income tax purposes were as follows:
SBHI PSIP
-----------------------------------------------------------------------------
Gross unrealized appreciation $19,777,363 $ 5,508,360
Gross unrealized depreciation (8,699,044) (4,980,598)
-----------------------------------------------------------------------------
Net unrealized appreciation $11,078,319 $ 527,762
-----------------------------------------------------------------------------
4. 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 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, SBHI and PSIP did not have any open forward foreign
currency contracts.
5. 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
63 Travelers Series Fund Inc. | 2003 Annual Report
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
value (plus accrued interest) of the collateral in amounts at least equal to
the repurchase price.
6. Futures Contracts
Securities or cash equal to the initial margin amount are either deposited with
the broker or segregated by the custodian upon entering into the futures
contract. Additional securities are also segregated up to the current market
value of the futures contracts. During the period the futures contract is open,
changes in the value of the contract are recognized as unrealized gains or
losses by "marking to market" on a daily basis to reflect the market value of
the contract at the end of each day's trading. Variation margin payments are
received or made and recognized as assets due from or liabilities due to
broker, depending upon whether unrealized gains or losses are incurred. When
the contract is closed, the Funds record a realized gain or loss equal to the
difference between the proceeds from (or cost of ) the closing transactions and
the Fund's basis in the contract. The Funds enter into such contracts typically
to hedge a portion of their funds. The Funds bear the market risk that arises
from changes in the value of the financial instruments and securities indices.
At October 31, 2003, SBHI and PSIP did not have any open futures contracts.
7. Interest Rate Swap Contracts
PSIP has entered into interest rate swap agreements with Merrill Lynch, Pierce,
Fenner & Smith Inc. and Goldman, Sachs & Co. PSIP will record the difference
between a predetermined fixed interest rate and the closing value of the
Three-Month LIBOR floating rate. These differences are netted out as a cash
settlement on the expiration date, with the portfolio receiving or paying, as
the case may be, only the net amount of the two differences. PSIP is exposed to
credit risk in the event of nonperformance by the swap counterparty.
At October 31, 2003, PSIP did not have any open interest rate swap agreements.
8. 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.
64 Travelers Series Fund Inc. | 2003 Annual Report
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
government securities or high quality money market instruments that are
maintained at all times in an amount at least equal to the current market value
of the loaned securities, plus a margin which may vary depending on the type of
securities loaned. The Funds maintain exposure for the risk of any losses in
the investment of amounts received as collateral.
At October 31, 2003, PSIP loaned securities having a market value of
$6,760,876. PSIP received cash collateral amounting to $5,170,308, which was
invested into the State Street Navigator Securities Lending Trust Prime
Portfolio. In addition, PSIP received securities collateral amounting to
$1,736,250, which is maintained in a segregated account by the custodian.
Income earned by PSIP from securities lending for the year ended October 31,
2003 was $27,310.
At October 31, 2003, SBHI did not have any securities on loan.
9. Securities Traded on a To-Be-Announced Basis
The Funds may trade securities on a to-be-announced ("TBA") basis.
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. 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 fund securities.
At October 31, 2003, PSIP held TBA securities with a cost of $3,302,000.
At October 31, 2003, SBHI did not hold any TBA securities.
10.Loan Participations
The Funds invest in fixed and floating rate loans arranged through private
negotiations between a foreign sovereign entity or a corporate borrower and one
or more financial institutions. The Funds' investment in any such loan may be
in the form of a participation in or an assignment of the loan.
In connection with purchasing participations, the Funds generally will have no
right to enforce compliance by the borrower with the terms of the loan agree-
65 Travelers Series Fund Inc. | 2003 Annual Report
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
ment relating to the loan, nor any rights of set-off against the borrower, and
the Funds may not benefit directly from any collateral supporting the loan in
which it has purchased the participation. As a result, the Funds will assume
the credit risk of both the borrower and the lender that is selling the
participation. In the event of the insolvency of the lender selling the
participation, the Funds may be treated as a general creditor of the lender and
may not benefit from any set-off between the lender and the borrower.
At October 31, 2003, PSIP held loan participations with a total cost of
$410,490.
At October 31, 2003, SBHI did not hold any loan participations.
11.Capital Loss Carryforwards
At October 31, 2003, SBHI and PSIP had, for Federal income tax purposes,
approximately $102,972,000 and $31,560,000, respectively, of capital loss
carryforwards available to offset future realized gains. To the extent that
these carryforwards losses are used to offset gains, it is probable that the
gains so offset will not be distributed. Expirations occur on October 31 of the
years below:
2006 2007 2008 2009 2010 2011
--------------------------------------------------------------------------
SBHI $3,001,000 $12,317,000 $18,328,000 $42,940,000 $21,882,000 $4,504,000
--------------------------------------------------------------------------
PSIP 2,321,000 5,086,000 3,077,000 7,414,000 11,399,000 2,263,000
--------------------------------------------------------------------------
12.Income Tax Information and Distributions to Shareholders
At October 31, 2003, the tax basis components of distributable earnings were:
SBHI PSIP
----------------------------------------------------------
Undistributed ordinary income $ 16,221,313 $ 7,955,057
----------------------------------------------------------
Accumulated capital losses (102,971,840) (31,560,231)
----------------------------------------------------------
Unrealized appreciation 11,078,622 537,521
----------------------------------------------------------
The difference between book basis and tax basis unrealized appreciation and
depreciation is attributable primarily to wash sale loss deferrals, straddle
loss deferrals, the treatment of accretion of discounts and amortization of
premiums and consent fees received.
66 Travelers Series Fund Inc. | 2003 Annual Report
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
The tax character of distributions paid during the year ended October 31, 2003
was:
SBHI PSIP
---------------------------------------
Ordinary income $20,588,597 $11,472,635
---------------------------------------
13.Capital Shares
At October 31, 2003, the Company had six billion shares of $0.00001 par value
capital stock authorized. 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 High Income Portfolio
Shares sold 8,846,534 3,084,610
Shares issued on reinvestment 3,294,176 3,190,482
Shares reacquired (4,543,218) (4,176,862)
- ------------------------------------------------------------------------------
Net Increase 7,597,492 2,098,230
- ------------------------------------------------------------------------------
Pioneer Strategic Income Portfolio
Shares sold 465,666 595,222
Shares issued on reinvestment 1,387,259 1,292,545
Shares reacquired (2,214,743) (3,888,880)
- ------------------------------------------------------------------------------
Net Decrease (361,818) (2,001,113)
- ------------------------------------------------------------------------------
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
67 Travelers Series Fund Inc. | 2003 Annual Report
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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.
68 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
High Income Portfolio 2003 2002 2001 2000 1999
- ----------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year $6.65 $8.32 $10.29 $11.72 $11.97
- ---------------------------------------------- ----- ----- ------ ------ ------
Income (Loss) From Operations:
Net investment income/(1)/ 0.63 0.82 1.02 1.20 0.92
Net realized and unrealized gain (loss)/(1)/ 1.28 (1.44) (1.80) (1.56) (0.28)
- ---------------------------------------------- ----- ----- ------ ------ ------
Total Income (Loss) From Operations 1.91 (0.62) (0.78) (0.36) 0.64
- ---------------------------------------------- ----- ----- ------ ------ ------
Less Distributions From:
Net investment income (0.89) (1.05) (1.19) (1.07) (0.89)
- ---------------------------------------------- ----- ----- ------ ------ ------
Total Distributions (0.89) (1.05) (1.19) (1.07) (0.89)
- ---------------------------------------------- ----- ----- ------ ------ ------
Net Asset Value, End of Year $7.67 $6.65 $ 8.32 $10.29 $11.72
- ---------------------------------------------- ----- ----- ------ ------ ------
Total Return/(2)/ 31.70% (7.39)% (8.08)% (3.54)% 5.28%
- ---------------------------------------------- ----- ----- ------ ------ ------
Net Assets, End of Year (millions) $237 $155 $176 $191 $199
- ---------------------------------------------- ----- ----- ------ ------ ------
Ratios to Average Net Assets:
Expenses 0.69% 0.69% 0.67% 0.66% 0.66%
Net investment income/(1)/ 9.53 10.39 11.52 10.46 9.44
- ---------------------------------------------- ----- ----- ------ ------ ------
Portfolio Turnover Rate 36% 78% 77% 70% 73%
- ---------------------------------------------- ----- ----- ------ ------ ------
(1) 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, the ratio of net investment income to average net assets would
have been 10.48%. Per share, ratios and supplemental data for the periods
prior to November 1, 2001 have not been restated to reflect this change in
presentation. In addition, the impact of this change to net investment
income and net realized and unrealized loss was less than $0.01 per share.
(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.
69 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:
Pioneer Strategic
Income Portfolio 2003/(1)/ 2002 2001 2000 1999
- ------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year $8.94 $9.94 $10.31 $11.24 $11.70
- ----------------------------------------------------------------------------------------
Income (Loss) From Operations:
Net investment income/(2)/ 0.63 1.14 0.93 0.93 0.91
Net realized and unrealized gain (loss)/(2)/ 1.04 (0.94) (0.47) (0.88) (0.70)
- ----------------------------------------------------------------------------------------
Total Income From Operations 1.67 0.20 0.46 0.05 0.21
- ----------------------------------------------------------------------------------------
Less Distributions From:
Net investment income (1.08) (1.20) (0.83) (0.98) (0.67)
- ----------------------------------------------------------------------------------------
Total Distributions (1.08) (1.20) (0.83) (0.98) (0.67)
- ----------------------------------------------------------------------------------------
Net Asset Value, End of Year $9.53 $8.94 $ 9.94 $10.31 $11.24
- ----------------------------------------------------------------------------------------
Total Return/(3)/ 20.56% 2.00% 4.60% 0.21% 1.80%
- ----------------------------------------------------------------------------------------
Net Assets, End of Year (millions) $100 $97 $128 $141 $156
- ----------------------------------------------------------------------------------------
Ratios to Average Net Assets:
Expenses 1.00% 0.93% 0.90% 0.87% 0.83%
Net investment income/(2)/ 7.05 8.24 8.83 7.78 7.85
- ----------------------------------------------------------------------------------------
Portfolio Turnover Rate 141% 208% 150% 105% 118%
- ----------------------------------------------------------------------------------------
(1) Per share amount 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 $1.16,
$0.96, and 8.42%, respectively. Per share, 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.
70 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 Smith Barney High Income Portfolio
and Pioneer Strategic Income Portfolio, formerly known as Putnam Diversified
Income Portfolio ("Portfolios") of Travelers Series Fund Inc. ("Fund") 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 financial highlights for each of the years in
the five-year period then ended. These financial statements and financial
highlights are the responsibility of the Fund'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 or 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
Portfolios of the Fund as of October 31, 2003, and the results of their
operations for the year then ended, the changes in their net assets for each of
the years in the two-year period then ended and financial highlights for each
of the years in the five-year period then ended, in conformity with accounting
principles generally accepted in the United States of America.
/s/
New York, New York
December 10, 2003
71 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. ("Fund") are managed
under the direction of the Fund's Board of Directors. Information pertaining to
the Directors and Officers of the Fund 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:
Abraham E. Cohen Director Since Consultant to Chugai 17 Director of
444 Madison Avenue 1996 Pharmaceutical Co. Ltd. Agouron
Suite 1201 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
Corporation.
Robert A. Frankel Director Since Managing Partner 24 None
1961 Deergrass Way 1999 of 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 17 Director of
630 5th Avenue 1994 Greeven 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 National Multiple
Chilmark, MA 02533 public relations firm Sclerosis Society,
Age 58 New York City
Chapter
72 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 Directors:
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
New York, NY 10022 Officer Executive Officer of Smith
Age 52 Barney Fund Management
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)
73 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
- ----------------------------------------------------------------------------------------------------------
Beth A. Semmel, CFA Vice President Since Managing Director of N/A N/A
CAM and 2002 CGM
399 Park Avenue Investment
4th Floor Officer
New York, NY 10022
Age 42
Kenneth J. Taubes Investment Since Senior Vice President and N/A N/A
Pioneer Investment Officer 2003 Director of Fixed Income
Management, Inc. Investments; Pioneer
60 State Street Investment Management,
Boston, MA 02019 Inc. Previously, Senior Vice
Age President of Pioneer
Investment Management,
Inc.
Peter J. Wilby, CFA Vice President Since Managing Director of N/A N/A
CAM and 2002 CGM
399 Park Avenue Investment
4th Floor Officer
New York, NY 10022
Age 44
Kaprel Ozsolak Controller Since Vice President of CGM; N/A N/A
CAM 2002 Controller of certain
125 Broad Street mutual funds associated
11th Floor with Citigroup
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 Fund as defined in the
Investment Company Act of 1940, as amended, because Mr. Gerken is an
officer of SBFM and of certain of its affiliates.
*** As of November 25, 2003.
74 Travelers Series Fund Inc. | 2003 Annual Report
TAX INFORMATION (UNAUDITED)
For Federal tax purposes the Funds hereby designate for the fiscal year ended
October 31, 2003:
. A corporate dividends received deduction of:
SBHI 0.73%
PSIP 2.00%
A total of 5.12% of the ordinary dividends paid by PSIP from net investment
income are derived from Federal obligations and may be exempt from taxation at
the state level.
75 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 ADMINISTRATION
R. Jay Gerken, CFA Travelers Annuity
President and Chief Investor Services
Executive Officer One Cityplace
Hartford, Connecticut 06103-3415
Andrew B. Shoup*
Senior Vice President
and Chief Administrative
Officer
Richard L. Peteka
Chief Financial Officer
and Treasurer
Beth A. Semmel, CFA
Vice President
Peter J. Wilby, CFA
Vice President
Kaprel Ozsolak
Controller
Robert I. Frenkel
Secretary* and Chief
Legal Officer
* As of November 25, 2003.
Travelers Series Fund Inc.
Smith Barney High Income Portfolio
Pioneer Strategic 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 High Income and Pioneer Strategic
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
IN0254 12/03 03-5813
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