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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
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FORM N-CSR
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CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-8372
TRAVELERS SERIES FUND INC.
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(Exact name of registrant as specified in charter)
125 Broad Street, New York, NY 10004
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(Address of principal executive offices) (Zip code)
Robert I. Frenkel, Esq.
Smith Barney Fund Management LLC
300 First Stamford Place
Stamford, CT 06902
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(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: APRIL 30, 2004
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ITEM 1. REPORT TO STOCKHOLDERS.
The Semi-Annual Report to Stockholders is filed herewith.
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TRAVELERS SERIES FUND INC.
SMITH BARNEY HIGH
INCOME PORTFOLIO
PIONEER STRATEGIC
INCOME PORTFOLIO
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SEMI-ANNUAL REPORT | APRIL 30, 2004
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NOT FDIC INSURED . NOT BANK GUARANTEED . MAY LOSE VALUE
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WHAT'S INSIDE
Letter from the Chairman............ 1
Schedules of Investments............ 5
Statements of Assets and Liabilities 42
Statements of Operations............ 43
Statements of Changes in Net Assets. 44
Notes to Financial Statements....... 46
Financial Highlights................ 54
LETTER FROM THE CHAIRMAN
[PHOTO]
R. Jay Gerken
R. JAY GERKEN, CFA
Chairman, President and Chief Executive Officer
Dear Shareholder,
Investors spent much of the six months ended April 30, 2004 dissecting language
from the Federal Reserve for clues on adjustments to what was seen as an
artificially low Fed Funds rate of 1%. Most economic indicators, with the
exception of job growth, indicated that growth was well under way. When
extremely strong job numbers in March and April supported the view that the
economy was humming, investor concerns began to focus on the prospects of
higher inflation and future tightening by the Federal Reserve. These fears
contributed to sharply higher yields in the Treasury market; U.S. 10-year
Treasury yields, for example, rose by nearly 100 basis points (100 basis points
is equal to one percentage point -1%)./i/
Although higher levels of growth and inflation can be expected to improve
already strong fundamentals in both the high-yield and emerging markets
sectors, investors reacted to the higher Treasury yields by selling out of
their riskier higher yielding positions, in many cases unwinding their
leveraged positions in front of expectations of a move by the Federal Reserve
to raise interest rates. This short-term technical sell-off over the last six
weeks of the period somewhat muted the strong gains previously seen in these
asset classes. Nevertheless, we still believe that their long-term performance
will be determined by their strong underlying fundamentals.
1 Travelers Series Fund Inc. | 2004 Semi-Annual Report
Within this environment, the funds performed as follows:/1/
PERFORMANCE OF THE FUNDS
AS OF APRIL 30, 2004
6 Months
Smith Barney High Income Portfolio 5.89%
Bear Stearns High Yield Index/2/ 5.61%
Lipper High Current Yields Variable Funds Category Average/5/ 4.39%
Pioneer Strategic Income Portfolio 4.32%
Lehman Brothers Aggregate Bond Index/3/ 1.25%
Citigroup Non-U.S. World Government Bond Index Unhedged/4/ 3.68%
Lipper General Bonds Variable Funds Category Average/6/ 2.51%
The performance shown represents past performance. Past performance is no
guarantee of future results and current performance may be higher or lower
than the performance shown above. Principal value and investment returns
will fluctuate and investors' shares, when redeemed, may be worth more or
less than their original cost.
The performance returns set forth above do not reflect the reduction of
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.
All index performance reflects no deduction for fees, expenses or taxes.
Please note that an investor cannot invest directly in an index.
/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.
/3/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.
/4/The Citigroup Non-U.S. World Government Bond Index Unhedged is an index of
bonds from several major world government bond markets outside the U.S.
with maturities of less than one year.
Lipper, Inc. is a major independent mutual-fund tracking organization.
Returns are based on the six-month period ended April 30, 2004 and include
the reinvestment of dividends and capital gains, if any.
/5/Returns were calculated among the 868 funds in the high current yields
variable funds category.
/6/Returns were calculated among the 268 in the general bonds funds variable
funds category.
/1/The fund is an underlying investment option of various variable annuity
products. A variable annuity product is a contract issued by an insurance
company where the annuity premium (a set amount of dollars) is immediately
turned into units of a portfolio of securities. Upon retirement, the
policyholder is paid according to accumulated units whose dollar value
varies according to the performance of the securities within the sub
accounts. Its objective is to preserve, through investment, the purchasing
value of the annuity, which otherwise is subject to erosion through
inflation. The fund's performance returns do not reflect the deduction of
initial sales 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
fund. Past performance is no guarantee of future results.
2 Travelers Series Fund Inc. | 2004 Semi-Annual Report
Performance Update (Smith Barney High Income Portfolio)
For the six months ended April 30, 2004, the Smith Barney High Income Portfolio
returned 5.89%. The fund outperformed its benchmark, the Bear Stearns High
Yield Index,/ii/ which returned 5.61%. The fund also outperformed its Lipper
variable high current yield funds category average, which returned 4.39% over
the same period./2/
Performance Update (Pioneer Strategic Income Portfolio)
For the six months ended April 30, 2004, the Pioneer Strategic Income Portfolio
returned 4.32%. In comparison, the fund outperformed its unmanaged benchmarks,
the Lehman Brothers Aggregate Bond Index/iii/, which returned 1.25% and the
Citigroup Non-U.S. World Government Bond Index Unhedged,/iv/ which returned
3.68%. It also significantly outperformed its Lipper general bonds variable
funds category average, which returned 2.51% over the same period./3/
Special Shareholder Notice
Effective July 1, 2003, the fund's sub-advisor 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 the sub-advisor.
Information About Your Fund
In recent months several issues in the mutual fund industry have come under the
scrutiny of federal and state regulators. The fund's Adviser 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 fund has been informed
that the Adviser and its affiliates are responding to those information
requests, but are not in a position to predict the outcome of these requests
and investigations.
/2/Lipper, Inc. is a major independent mutual-fund tracking organization.
Returns are based on the six-month period ended April 30, 2004 and include
the reinvestment of dividends and capital gains, if any. Returns were
calculated among the 868 funds in the high current yield variable funds
category.
/3/Lipper, Inc. is a major independent mutual-fund tracking organization.
Returns are based on the six-month period ended April 30, 2004 and include
the reinvestment of dividends and capital gains, if any. Returns were
calculated among the 268 funds in the high current yield variable funds
category.
3 Travelers Series Fund Inc. | 2004 Semi-Annual Report
As always, thank you for your continued confidence in our stewardship of your
assets. We look forward to helping you continue to meet your financial goals.
Sincerely,
/s/ R. Jay Gerken
R. Jay Gerken, CFA
Chairman, President and Chief Executive Officer
May 20, 2004
The information provided is not intended to be a forecast of future events, a
guarantee of future results or investment advice. Views expressed may differ
from those of the firm as a whole.
Portfolio holdings and breakdowns are as of April 30, 2004 and are subject to
change. Please refer to pages 5 through 39 for a list and percentage breakdown
of each fund's holdings.
All index performance reflects no deduction for fees, expenses or taxes. Please
note that an investor cannot invest directly in an index.
RISKS:
Pioneer Strategic Income Portfolio: The fund may invest in high yield bonds.
High yield bonds involve greater credit and liquidity risks than investment
grade bonds. The fund may invest in foreign securities. Investing in foreign
securities is subject to certain risks not associated with domestic investing,
such as currency fluctuations, and changes in political and economic
conditions. These risks are magnified in emerging or developing markets. The
fund may use derivatives, such as options and futures, which can be illiquid,
may disproportionately increase losses, and have a potentially large impact on
fund performance.
Smith Barney High Income Portfolio: Keep in mind, high-yielding bonds are rated
below investment-grade and carry more risk than higher rated securities. Also,
the fund is subject to fluctuations in share price as interest rates rise and
fall and is subject to certain risks of overseas investing, including currency
fluctuations, differing securities regulations and periods of illiquidity,
which could result in significant market fluctuations. These risks are
magnified in emerging markets. The fund may use derivatives, such as options
and futures, which can be illiquid, may disproportionately increase losses, and
have a potentially large impact on fund performance.
/i/A basis point is one one-hundredth (1/100 or 0.01) of one percent.
/ii/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.
/iii/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.
/iv/The Citigroup Non-U.S. World Government Bond Index Unhedged is an index of
bonds from several major world government bond markets outside the U.S.
with maturities of less than one year.
4 Travelers Series Fund Inc. | 2004 Semi-Annual Report
SCHEDULES OF INVESTMENTS (UNAUDITED) APRIL 30, 2004
FACE
AMOUNT+ RATING(a) SECURITY VALUE
- --------------------------------------------------------------------------------------------------
CORPORATE BONDS & NOTES -- 97.3%
Aerospace & Defense -- 0.6%
Dunlop Standard Aerospace Holdings PLC, Sr. Notes:
725,000 B3* 11.875% due 5/15/09 $ 770,312
425,000 B3* 11.875% due 5/15/09 (b) 451,563
300,000 BB- Sequa Corp., Sr. Notes, 9.000% due 8/1/09 333,000
- --------------------------------------------------------------------------------------------------
1,554,875
- --------------------------------------------------------------------------------------------------
Airlines -- 0.7%
Continental Airlines, Inc., Pass-Through Trust Certificates:
560,000 BB- Series 1999-2, Class C-2, 7.434% due 9/15/04 553,710
885,000 B Series 2001-2, Class D, 7.568% due 12/1/06 745,100
United Airlines, Inc., Pass-Through Certificates:
888,599 CC+ Series 2000-2, Class B, 7.811% due 10/1/09 346,380
160,000 B+ Series 2001-1, Class B, 6.932% due 9/1/11 73,884
365,000 CCC+ Series 2001-1, Class C, 6.831% due 9/1/08 71,927
- --------------------------------------------------------------------------------------------------
1,791,001
- --------------------------------------------------------------------------------------------------
Automotive -- 2.3%
1,025,000 B2* CSK Auto, Inc., Sr. Sub. Notes, 7.000% due 1/15/14 (b) 1,014,750
Dana Corp., Notes:
715,000 BB 6.500% due 3/1/09 754,325
320,000 BB 10.125% due 3/15/10 368,000
925,000 B- Eagle Picher Industries, Inc., Sr. Sub. Notes, 9.750% due 9/1/13 1,017,500
325,000 Baa1* Ford Motor Co., Notes, 7.450% due 7/16/31 317,733
450,000 A3* General Motors Acceptance Corp., Notes, 6.875% due 8/28/12 469,938
General Motors Corp.:
175,000 Baa1* Sr. Debentures, 8.375% due 7/15/33 189,808
975,000 Baa1* Sr. Notes, 7.125% due 7/15/13 1,024,468
225,000 B- Rexnord Corp., Sr. Sub. Notes, 10.125% due 12/15/12 246,375
400,000 B2* Tenneco Automotive Inc., Sr. Secured 2nd Lien Notes, Series B,
10.250% due 7/15/13 463,000
97,000 BB- TRW Automotive Inc., Sr. Sub. Notes, 11.000% due 2/15/13 115,915
- --------------------------------------------------------------------------------------------------
5,981,812
- --------------------------------------------------------------------------------------------------
Broadcasting -- 2.3%
1,432,000 B- Emmis Communications Corp., Sr. Discount Notes,
step bond to yield 12.396% due 3/15/11 1,439,160
625,000 B3* Granite Broadcasting Corp., Sr. Secured Notes,
9.750% due 12/1/10 (b) 615,625
1,000,000 B- Nexstar Broadcasting, Inc., Sr. Sub. Notes,
7.000% due 1/15/14 (b) 980,000
1,125,000 B- NextMedia Operating, Inc., Sr. Sub. Notes,
10.750% due 7/1/11 1,274,062
See Notes to Financial Statements.
5 Travelers Series Fund Inc. | 2004 Semi-Annual Report
SMITH BARNEY HIGH INCOME PORTFOLIO
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) APRIL 30, 2004
SMITH BARNEY HIGH INCOME PORTFOLIO
FACE
AMOUNT+ RATING(a) SECURITY VALUE
- ----------------------------------------------------------------------------------------------------
Broadcasting -- 2.3% (continued)
Paxson Communications Corp.:
490,000 CCC+ Sr. Sub. Discount Notes, step bond to yield
12.263% due 1/15/09 $ 427,525
270,000 CCC+ Sr. Sub. Notes, 10.750% due 7/15/08 286,200
550,000 B2* Radio One, Inc., Sr. Sub. Notes, Series B, 8.875% due 7/1/11 611,875
285,000 CCC+ Spanish Broadcasting System Inc., Sub. Notes,
9.625% due 11/1/09 302,813
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5,937,260
- -------------------------------------------------------------------------------------------------
Building/Construction -- 3.6%
Associated Materials Inc.:
2,000,000 B- Sr. Discount Notes, step bond to yield
11.244% due 3/1/14 (b) 1,310,000
160,000 B- Sr. Sub. Notes, 9.750% due 4/15/12 179,200
690,000 B- Atrium Cos., Inc., Sr. Sub. Notes, Series B, 10.500% due 5/1/09 728,812
575,000 B- Brand Services, Inc., Sr. Notes, 12.000% due 10/15/12 669,875
D.R. Horton, Inc.:
320,000 BB+ Sr. Notes, 8.000% due 2/1/09 355,200
340,000 Ba2* Sr. Sub. Notes, 9.375% due 3/15/11 380,800
480,000 Ba2* KB HOME, Sr. Sub. Notes, 9.500% due 2/15/11 538,800
585,000 BBB- Lennar Corp., Sr. Notes, Series B, 9.950% due 5/1/10 661,075
870,000 B- Nortek Inc., Sr. Sub. Notes, Series B, 9.875% due 6/15/11 980,925
1,275,000 B- Ply Gem Industries, Inc., Sr. Sub. Notes,
9.000% due 2/15/12 (b) 1,313,250
385,000 BBB- The Ryland Group, Inc., Sr. Notes, 9.750% due 9/1/10 434,088
570,000 Ba2* Schuler Homes, Inc., Sr. Sub. Notes, 10.500% due 7/15/11 658,350
325,000 Ba3* Standard Pacific Corp., Sr. Sub. Notes, 9.250% due 4/15/12 359,938
500,000 B+ URS Corp., Sr. Sub. Notes, Series B, 12.250% due 5/1/09 532,500
- -------------------------------------------------------------------------------------------------
9,102,813
- -------------------------------------------------------------------------------------------------
Business Services -- 1.3%
796,000 B- Advanstar Communications Inc., 2nd Priority Sr. Secured Notes,
8.620% due 8/15/08 (c) 835,800
1,100,000 BBB- Avis Group Holdings Inc., Sr. Sub. Notes, 11.000% due 5/1/09 1,160,500
Muzak LLC/Muzak Finance Corp.:
750,000 B3* Sr. Notes, 10.000% due 2/15/09 772,500
275,000 CCC+ Sr. Sub. Notes, 9.875% due 3/15/09 265,375
790,000 D Outsourcing Solutions Inc., Sr. Sub. Notes, Series B,
11.000% due 11/1/06 (d) 8,098
275,000 B2* Vertis, Inc., Sr. Secured 2nd Lien Notes, 9.750% due 4/1/09 300,438
- -------------------------------------------------------------------------------------------------
3,342,711
- -------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
6 Travelers Series Fund Inc. | 2004 Semi-Annual Report
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) APRIL 30, 2004
SMITH BARNEY HIGH INCOME PORTFOLIO
FACE
AMOUNT+ RATING(a) SECURITY VALUE
- -----------------------------------------------------------------------------------------------------
Cable -- 7.3%
Charter Communications Holdings, LLC:
Sr. Discount Notes:
3,966,000 Ca* Step bond to yield 12.272% due 1/15/10 $ 3,281,865
1,035,000 Ca* Step bond to yield 13.504% due 1/15/11 771,075
1,535,000 Ca* Step bond to yield 17.772% due 5/15/11 1,009,262
100,000 Ca* Sr. Notes, 10.750% due 10/1/09 88,250
CSC Holdings, Inc.:
1,700,000 BB- Sr. Debentures, 7.625% due 7/15/18 1,725,500
260,000 BB- Sr. Notes, Series B, 7.625% due 4/1/11 271,700
910,000 B+ Sr. Sub. Debentures, 10.500% due 5/15/16 1,051,050
875,000 BB- DIRECTV Holdings LLC, Sr. Notes, 8.375% due 3/15/13 982,187
Echostar DBS Corp., Sr. Notes:
1,310,000 BB- 10.375% due 10/1/07 1,422,987
748,000 BB- 9.125% due 1/15/09 841,500
1,065,000 B- Insight Communications Co., Inc., Sr. Discount Notes,
step bond to yield 14.115% due 2/15/11 921,225
375,000 B+ Insight Midwest L.P., Sr. Notes, 10.500% due 11/1/10 410,625
1,125,000 B- Lodgenet Entertainment Corp., Sr. Sub. Debentures,
9.500% due 6/15/13 1,243,125
325,000 B+ Mediacom Broadband LLC, Sr. Notes, 11.000% due 7/15/13 349,375
1,150,000 B+ Mediacom LLC, Sr. Notes, 9.500% due 1/15/13 1,150,000
200,000 B- NTL Cable PLC, Sr. Notes, 8.750% due 4/15/14 (b) 207,500
Pegasus Communications Corp., Sr. Notes, Series B:
65,000 Ca* 9.625% due 10/15/05 48,100
265,000 Ca* 9.750% due 12/1/06 186,825
315,000 CC Pegasus Satellite Communications Inc., Sr. Discount Notes,
step bond to yield 23.919% due 3/1/07 187,425
1,670,000 BB- Rogers Cablesystems Ltd., Sr. Sub. Debentures,
11.000% due 12/1/15 1,935,112
450,000/GBP/ Ca* Telewest Communications PLC, Sr. Notes,
5.250% due 2/19/07 (b)(d)(e) 423,147
- --------------------------------------------------------------------------------------------------
18,507,835
- --------------------------------------------------------------------------------------------------
Chemicals -- 7.8%
1,025,000 B+ Acetex Corp., Sr. Notes, 10.875% due 8/1/09 1,132,625
345,000 Ba2* Airgas, Inc., Sr. Sub. Notes, 9.125% due 10/1/11 391,575
370,000 CCC Avecia Group PLC, Sr. Notes, 11.000% due 7/1/09 296,000
1,150,000 B+ Equistar Chemicals, L.P./Equistar Funding Corp., Sr. Notes,
10.625% due 5/1/11 1,293,750
FMC Corp.:
825,000 BB+ Medium-Term Notes, Series A, 6.750% due 5/5/05 848,719
125,000 BB+ Sr. Secured Notes, 10.250% due 11/1/09 148,125
See Notes to Financial Statements.
7 Travelers Series Fund Inc. | 2004 Semi-Annual Report
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) APRIL 30, 2004
SMITH BARNEY HIGH INCOME PORTFOLIO
FACE
AMOUNT+ RATING(a) SECURITY VALUE
- --------------------------------------------------------------------------------------------------------
Chemicals -- 7.8% (continued)
675,000 Ba3* Hercules Inc., Sr. Sub. Notes, 6.750% due 10/15/29 (b) $ 671,625
1,250,000 B Huntsman Advanced Materials LLC, Sr. Secured Notes,
11.000% due 7/15/10 (b) 1,425,000
5,710,000 CCC+ Huntsman ICI Holdings LLC, Sr. Discount Notes, zero coupon
bond to yield 17.445% due 12/31/09 2,897,825
660,000 B+ IMC Global Inc., Sr. Notes, Series B, 11.250% due 6/1/11 768,900
600,000 B+ International Specialty Holdings Inc., Sr. Secured Notes, Series B,
10.625% due 12/15/09 669,000
655,000 BB- ISP Chemco Inc., Sr. Sub. Notes, Series B, 10.250% due 7/1/11 743,425
1,200,000 B Kraton Polymers LLC, Sr. Sub. Notes, 8.125% due 1/15/14 (b) 1,284,000
Lyondell Chemical Co., Sr. Secured Notes:
655,000 B+ 11.125% due 7/15/12 730,325
500,000 B+ Series B, 9.875% due 5/1/07 527,500
760,000 BBB- Methanex Corp., Sr. Notes, 8.750% due 8/15/12 874,000
1,700,000 BB- Millennium America Inc., Sr. Notes, 9.250% due 6/15/08 1,861,500
235,000 B- OM Group, Inc., Sr. Sub. Notes, 9.250% due 12/15/11 242,050
Resolution Performance Inc.:
200,000 B- Sr. Notes, 9.500% due 4/15/10 205,000
1,050,000 CCC+ Sr. Sub. Notes, 13.500% due 11/15/10 876,750
Rhodia SA:
750,000 B3* Sr. Notes, 7.625% due 6/1/10 (b) 682,500
650,000 CCC+ Sr. Sub. Notes, 8.875% due 6/1/11 (b) 539,500
65,000 B+ Terra Capital Inc., Sr. Secured Notes, 12.875% due 10/15/08 78,650
600,000 Ba3* Westlake Chemical Corp., Sr. Notes, 8.750% due 7/15/11 661,500
- -----------------------------------------------------------------------------------------------------
19,849,844
- -----------------------------------------------------------------------------------------------------
Consumer Products & Services -- 4.8%
American Greetings Corp.:
385,000 BBB- Notes, 6.100% due 8/1/28 404,250
295,000 BB+ Sr. Sub. Notes, 11.750% due 7/15/08 346,625
Doane Pet Care Co.:
1,000,000 B2* Sr. Notes, 10.750% due 3/1/10 1,060,000
65,000 CCC Sr. Sub. Notes, 9.750% due 5/15/07 60,125
1,025,000 CCC+ Home Interiors & Gifts, Inc., Sr. Sub. Notes,
10.125% due 6/1/08 1,041,656
Icon Health and Fitness, Sr. Sub. Notes,
600,000 B- 11.250% due 4/1/12 678,000
900,000 B- Interface, Inc., Sr. Notes, Series B, 10.375% due 2/1/10 1,011,375
1,025,000 B- Jafra Cosmetics International Inc., Sr. Sub. Notes,
10.750% due 5/15/11 1,165,937
Playtex Products, Inc.:
900,000 B Sr. Secured Notes, 8.000% due 3/1/11 (b) 949,500
150,000 CCC+ Sr. Sub. Notes, 9.375% due 6/1/11 149,250
1,000,000 B+ Rayovac Corp., Sr. Sub. Notes, 8.500% due 10/1/13 1,075,000
See Notes to Financial Statements.
8 Travelers Series Fund Inc. | 2004 Semi-Annual Report
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) APRIL 30, 2004
SMITH BARNEY HIGH INCOME PORTFOLIO
FACE
AMOUNT+ RATING(a) SECURITY VALUE
- ----------------------------------------------------------------------------------------------------
Consumer Products & Services -- 4.8% (continued)
675,000 B- Sealy Mattress Co., Sr. Sub. Notes, 8.250% due 6/15/14 (b) $ 661,500
Service Corp. International:
460,000 BB- Debentures, 7.875% due 2/1/13 483,000
Notes:
470,000 BB- 6.875% due 10/1/07 498,200
570,000 BB- 6.500% due 3/15/08 591,375
460,000 B1* Sola International Inc., Sr. Notes, 6.875% due 3/15/08 472,754
875,000 B+ Stewart Enterprises, Inc., Sr. Sub. Notes, 10.750% due 7/1/08 993,125
525,000 B- United Industries Corp., Sr. Sub. Notes, Series D,
9.875% due 4/1/09 553,550
- -------------------------------------------------------------------------------------------------
12,195,222
- -------------------------------------------------------------------------------------------------
Energy -- 8.2%
Dynegy Holdings Inc.:
Sr. Debentures:
1,300,000 CCC+ 7.125% due 5/15/18 1,040,000
1,250,000 CCC+ 7.625% due 10/15/26 1,000,000
1,375,000 B- Sr. Secured 2nd Priority Notes, 7.640% due 7/15/08 (b) 1,474,687
El Paso Corp. Sr. Medium-Term Notes:
915,000 CCC+ 7.800% due 8/1/31 718,275
2,125,000 CCC+ 7.750% due 1/15/32 1,668,125
1,300,000 B Exco Resources, Inc., Sr. Notes, 7.250% due 1/15/11 (b) 1,319,500
352,000 BB- GulfTerra Energy Partners, L.P., Sr. Sub. Notes, Series B,
8.500% due 6/1/11 390,720
Hanover Compressor Co.:
1,000,000 B- Sr. Notes, 8.625% due 12/15/10 1,065,000
900,000 B Sub. Notes, zero coupon to yield 11.312% due 3/31/07 697,500
760,000 BB- Leviathan Gas Pipeline Partners L.P., Sr. Sub. Notes, Series B,
10.375% due 6/1/09 798,000
480,000 BB Luscar Coal Ltd., Sr. Notes, 9.750% due 10/15/11 547,200
1,295,000 B+ Magnum Hunter Resources, Inc., Sr. Notes,
9.600% due 3/15/12 1,443,925
85,000 CCC+ Parker Drilling Co., Sub. Notes, 5.500% due 8/1/04 (e) 84,575
309,000 Aa3* Pennzoil-Quaker State Co., Sr. Notes, 10.000% due 11/1/08 356,300
Plains Exploration & Production Co., Sr. Sub. Notes:
625,000 B 8.750% due 7/1/12 690,625
330,000 B Series B, 8.750% due 7/1/12 364,650
195,000 BB Pogo Producing Co., Sr. Sub. Notes, Series B,
8.250% due 4/15/11 219,863
710,000 BB Pride International, Inc., Sr. Notes, 10.000% due 6/1/09 752,600
320,000 BB- SESI, LLC, Sr. Notes, 8.875% due 5/15/11 348,000
Swift Energy Co., Sr. Sub. Notes:
575,000 B 10.250% due 8/1/09 612,375
460,000 B 9.375% due 5/1/12 512,900
See Notes to Financial Statements.
9 Travelers Series Fund Inc. | 2004 Semi-Annual Report
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) APRIL 30, 2004
SMITH BARNEY HIGH INCOME PORTFOLIO
FACE
AMOUNT+ RATING(a) SECURITY VALUE
- --------------------------------------------------------------------------------------------------
Energy -- 8.2% (continued)
Vintage Petroleum, Inc.:
455,000 BB- Sr. Notes, 8.250% due 5/1/12 $ 500,500
125,000 B1* Sr. Sub. Notes, 7.875% due 5/15/11 133,125
750,000 Ba3* Westport Resources Corp., Sr. Sub. Notes,
8.250% due 11/1/11 845,625
The Williams Cos., Inc.:
Notes:
600,000 B+ 7.625% due 7/15/19 588,000
1,275,000 B+ 7.875% due 9/1/21 1,249,500
250,000 B+ 8.750% due 3/15/32 256,250
1,100,000 B+ Sr. Notes, 8.625% due 6/1/10 1,215,500
- -----------------------------------------------------------------------------------------------
20,893,320
- -----------------------------------------------------------------------------------------------
Entertainment -- 2.1%
338,000 CCC+ AMC Entertainment Inc., Sr. Sub. Notes, 9.500% due 2/1/11 354,900
1,350,000 B- Cinemark, Inc., Sr. Discount Notes, step bond to yield
9.747% due 3/15/14 (b) 852,187
1,200,000 B- Equinox Holdings, Inc., Sr. Notes, 9.000% due 12/15/09 (b) 1,248,000
600,000 B- Six Flags, Inc., Sr. Notes, 9.625% due 6/1/14 (b) 631,500
Vivendi Universal S.A., Sr. Notes:
1,575,000 BB 6.250% due 7/15/08 1,651,781
450,000 Ba3* 9.250% due 4/15/10 527,625
- -----------------------------------------------------------------------------------------------
5,265,993
- -----------------------------------------------------------------------------------------------
Environmental Services -- 1.5%
Allied Waste North America Inc., Sr. Notes:
1,500,000 B+ 7.375% due 4/15/14 (b) 1,496,250
Series B:
890,000 BB- 8.500% due 12/1/08 994,575
30,000 BB- 7.875% due 1/1/09 31,275
1,200,000 B- IMCO Recycling Inc., Sr. Secured Notes, Series B,
10.375% due 10/15/10 1,287,000
- -----------------------------------------------------------------------------------------------
3,809,100
- -----------------------------------------------------------------------------------------------
Financial Services -- 1.1%
475,000 A3* Ford Motor Credit Co., Notes, 7.250% due 10/25/11 504,756
1,000,000 B JSG Funding PLC, Sr. Notes, 9.625% due 10/1/12 1,130,000
1,075,000 B3 Ocwen Capital Trust I, Capital Securities, 10.875% due 8/1/27 1,080,375
- -----------------------------------------------------------------------------------------------
2,715,131
- -----------------------------------------------------------------------------------------------
Food & Beverage -- 4.1%
1,575,000 Ba3* Constellation Brands Inc., Sr. Sub. Notes, Series B,
8.125% due 1/15/12 1,724,625
330,000 B+ Cott Beverages Inc., Sr. Sub. Notes, 8.000% due 12/15/11 361,350
335,000 Ba2* Dean Foods Co., Sr. Notes, 6.900% due 10/15/17 343,375
See Notes to Financial Statements.
10 Travelers Series Fund Inc. | 2004 Semi-Annual Report
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) APRIL 30, 2004
SMITH BARNEY HIGH INCOME PORTFOLIO
FACE
AMOUNT+ RATING(a) SECURITY VALUE
- -------------------------------------------------------------------------------------------------
Food & Beverage -- 4.1% (continued)
975,000 B Del Monte Corp., Sr. Sub. Notes, Series B, 8.625% due 12/15/12 $ 1,082,250
Dole Food Co., Inc.:
1,000,000 BB- Debentures, 8.750% due 7/15/13 1,075,000
125,000 BB- Sr. Notes, 8.875% due 3/15/11 133,750
750,000 B Land O' Lakes, Inc., Sr. Secured Notes, 9.000% due 12/15/10 (b) 789,375
1,200,000 B Pinnacle Foods Holding Corp., Sr. Sub. Notes,
8.250% due 12/1/13 (b) 1,258,500
1,250,000 B- Premier International Foods PLC, Sr. Notes, 12.000% due 9/1/09 1,356,250
800,000 B+ Swift & Co., Sr. Notes, 10.125% due 10/1/09 859,000
1,275,000 B- United Agri Products, Inc., Sr. Notes, 8.250% due 12/15/11 (b) 1,450,312
- -------------------------------------------------------------------------------------------------
10,433,787
- -------------------------------------------------------------------------------------------------
Healthcare -- 3.4%
675,000 CC aaiPharma Inc., Sr. Sub. Notes, 11.000% due 4/1/10 610,875
1,150,000 B- AmeriPath, Inc. Sr. Sub. Notes, 10.500% due 4/1/13 1,184,500
1,250,000 B- Athena Neurosciences Finance LLC, Sr. Notes,
7.250% due 2/21/08 1,271,875
783,288 B+ Dade Behring Inc., Sr. Sub. Notes, 11.910% due 10/3/10 908,614
270,000 B1* Extendicare Health Services, Inc., Sr. Sub. Notes,
9.500% due 7/1/10 301,050
1,000,000 B- InSight Health Services Corp., Sr. Sub. Notes, Series B,
9.875% due 11/1/11 1,015,000
Tenet Healthcare Corp.:
825,000 B- Notes, 7.375% due 2/1/13 750,750
Sr. Notes:
225,000 B- 5.375% due 11/15/06 214,313
1,325,000 B- 6.500% due 6/1/12 1,156,063
325,000 B- 6.875% due 11/15/31 269,750
925,000 B- Vanguard Health Systems, Sr. Sub. Notes, 9.750% due 8/1/11 1,008,250
- -------------------------------------------------------------------------------------------------
8,691,040
- -------------------------------------------------------------------------------------------------
Hotels/Casinos/Gaming -- 7.4%
260,000 B+ AKI, Inc., Sr. Notes, 10.500% due 7/1/08 271,700
1,015,000 B Ameristar Casinos, Inc., Sr. Sub. Notes, 10.750% due 2/15/09 1,182,475
800,000 B+ Argosy Gaming Co., Sr. Sub. Notes, 9.000% due 9/1/11 906,000
1,300,000 B+ Boyd Gaming Corp., Sr. Sub. Notes, 6.750% due 4/15/14 (b) 1,287,000
Caesars Entertainment, Inc., Sr. Sub. Notes:
450,000 Ba2* 8.875% due 9/15/08 502,875
1,400,000 Ba2* 8.125% due 5/15/11 1,554,000
580,000 Ba2* Courtyard By Marriott II L.P., Sr. Notes, Series B,
10.750% due 2/1/08 585,075
1,000,000 B1* Felcor Lodging, L.P., Sr. Notes, 10.000% due 9/15/08 1,072,500
1,150,000 B- Gaylord Entertainment Co., Sr. Notes, 8.000% due 11/15/13 (b) 1,201,750
See Notes to Financial Statements.
11 Travelers Series Fund Inc. | 2004 Semi-Annual Report
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) APRIL 30, 2004
SMITH BARNEY HIGH INCOME PORTFOLIO
FACE
AMOUNT+ RATING(a) SECURITY VALUE
- -------------------------------------------------------------------------------------------------
Hotels/Casinos/Gaming -- 7.4% (continued)
Hilton Hotels Corp., Sr. Notes:
510,000 BBB- 7.950% due 4/15/07 $ 562,275
250,000 BBB- 7.625% due 12/1/12 280,625
132,000 Ba3* HMH Properties, Inc., Sr. Secured Notes, Series B,
7.875% due 8/1/08 136,950
225,000 B+ Horseshoe Gaming Holding Corp., Sr. Sub. Notes, Series B,
8.625% due 5/15/09 236,250
1,020,000 Ba3* Host Marriott, L.P., Notes, Series I, 9.500% due 1/15/07 1,137,300
1,375,000 B Isle of Capri Casinos, Inc., Sr. Sub. Notes,
7.000% due 3/1/14 (b) 1,354,375
Mandalay Resort Group:
260,000 BB- Sr. Sub. Debentures, 7.625% due 7/15/13 280,800
585,000 BB- Sr. Sub. Notes, Series B, 10.250% due 8/1/07 682,987
MeriStar Hospitality Operating Partnership, L.P./MeriStar
Hospitality Finance Corp., Sr. Notes:
225,000 B2* 9.000% due 1/15/08 232,875
925,000 B2* 10.500% due 6/15/09 994,375
MGM MIRAGE, Sr. Sub. Notes:
325,000 Ba2* 9.750% due 6/1/07 368,875
900,000 Ba2* 8.375% due 2/1/11 999,000
550,000 B Prime Hospitality Corp., Sr. Sub. Notes, Series B,
8.375% due 5/1/12 583,000
425,000 BB+ Starwood Hotels & Resorts Worldwide, Inc., Notes,
7.875% due 5/1/12 466,969
625,000 B+ Station Casinos, Inc., Sr. Sub. Notes, 6.875% due 3/1/16 (b) 625,000
275,000 B+ Turning Stone Casino Resort Enterprise, Sr. Notes,
9.125% due 12/15/10 (b) 297,688
930,000 B- Venetian Casino Resort LLC/Las Vegas Sands, Inc.,
Mortgage Secured Notes, 11.000% due 6/15/10 1,092,750
- ----------------------------------------------------------------------------------------------
18,895,469
- ----------------------------------------------------------------------------------------------
Insurance -- 0.2%
555,000 Ba1* Markel Capital Trust I, Capital Securities, Series B,
8.710% due 1/1/46 577,562
- ----------------------------------------------------------------------------------------------
Machinery -- 0.8%
160,000 BB- Case Credit Corp., Notes, 6.750% due 10/21/07 162,800
250,000 BB- Case New Holland Inc., Sr. Notes, 9.250% due 8/1/11 (b) 280,000
260,000 B+ NMHG Holding Co., Sr. Notes, 10.000% due 5/15/09 289,900
Terex Corp., Sr. Sub. Notes:
650,000 B 9.250% due 7/15/11 728,000
500,000 B Series B, 10.375% due 4/1/11 571,250
- ----------------------------------------------------------------------------------------------
2,031,950
- ----------------------------------------------------------------------------------------------
See Notes to Financial Statements.
12 Travelers Series Fund Inc. | 2004 Semi-Annual Report
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) APRIL 30, 2004
FACE
AMOUNT+ RATING(a) SECURITY VALUE
- ---------------------------------------------------------------------------------------------------
Manufacturing -- 3.2%
445,000 NR Aqua-Chem, Inc., Sr. Sub. Notes, 11.250% due 7/1/08 $ 371,575
260,000 B+ Arvin Capital Trust I, Capital Securities, 9.500% due 2/1/27 275,600
500,000 B- Columbus McKinnon Corp., Sr. Secured Notes,
10.000% due 8/1/10 532,500
685,000 B Flowserve Corp., Sr. Sub. Notes, 12.250% due 8/15/10 791,175
400,000 B- General Binding Corp., Sr. Sub. Notes, 9.375% due 6/1/08 408,500
575,000 B- Invensys PLC, Sr. Notes, 9.875% due 3/15/11 (b) 609,500
800,000 B- Mueller Group, Inc., Sr. Sub. Notes, 10.000% due 5/1/12 (b) 842,000
860,000 CCC+ Park-Ohio Industries, Inc., Sr. Sub. Notes, 9.250% due 12/1/07 864,300
1,075,000 B- Sensus Metering Systems Inc., Sr. Sub. Notes,
8.625% due 12/15/13 (b) 1,064,250
Wesco Distribution Inc., Sr. Sub. Notes:
600,000 B- 9.125% due 6/1/08 618,000
525,000 B- Series B, 9.125% due 6/1/08 540,750
1,260,000 B+ Wolverine Tube, Inc., Sr. Notes, 7.375% due 8/1/08 (b) 1,247,400
- ------------------------------------------------------------------------------------------------
8,165,550
- ------------------------------------------------------------------------------------------------
Metals/Mining -- 1.2%
1,450,000 B+ AK Steel Corp., Sr. Notes, 7.875% due 2/15/09 1,341,250
950,000 B- Ispat Inland ULC, Sr. Secured Notes, 9.750% due 4/1/14 (b) 973,750
605,000 BBB- Phelps Dodge Corp., Sr. Notes, 8.750% due 6/1/11 730,634
- ------------------------------------------------------------------------------------------------
3,045,634
- ------------------------------------------------------------------------------------------------
Packaging/Containers -- 4.0%
950,000 B+ Anchor Glass Container Corp., Sr. Secured Notes,
11.000% due 2/15/13 1,102,000
1,000,000 CCC Applied Extrusion Technologies, 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 1,331,325
250,000 B Owens-Illinois, Inc., Sr. Notes, 7.150% due 5/15/05 261,250
1,020,000 B+ Plastipak Holdings, Inc., Sr. Notes, 10.750% due 9/1/11 1,106,700
Pliant Corp.:
475,000 B- Sr. Secured 2nd Lien Notes, 11.125% due 9/1/09 508,250
80,000 B- Sr. Sub. Notes, 13.000% due 6/1/10 72,800
1,000,000 CCC+ Radnor Holdings Corp., Sr. Notes, 11.000% due 3/15/10 875,000
560,000 BBB Sealed Air Corp., Notes, 6.950% due 5/15/09 (b) 623,126
600,000 B Stone Container Corp., Sr. Notes, 9.750% due 2/1/11 669,000
1,660,000 B Stone Container Finance Co. of Canada, Sr. Notes,
11.500% due 8/15/06 (b) 1,705,650
Tekni-Plex, Inc.:
650,000 B2* Sr. Secured Notes, 8.750% due 11/15/13 (b) 643,500
495,000 B- Sr. Sub. Notes, Series B, 12.750% due 6/15/10 502,425
- ------------------------------------------------------------------------------------------------
10,176,026
- ------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
13 Travelers Series Fund Inc. | 2004 Semi-Annual Report
SMITH BARNEY HIGH INCOME PORTFOLIO
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) APRIL 30, 2004
SMITH BARNEY HIGH INCOME PORTFOLIO
FACE
AMOUNT+ RATING(a) SECURITY VALUE
- --------------------------------------------------------------------------------------------------
Paper/Forestry Products -- 3.1%
1,275,000 BB Abitibi-Consolidated Inc., Debentures, 8.850% due 8/1/30 $ 1,300,051
1,025,000 B+ Appleton Papers Inc., Sr. Sub. Notes, Series B,
12.500% due 12/15/08 1,158,250
500,000 B2* Blue Ridge Paper Products Inc., Sr. Secured Notes,
9.500% due 12/15/08 (b) 457,500
Bowater Inc.:
550,000 BB Debentures, 9.500% due 10/15/12 627,000
1,000,000 BB Notes, 6.500% due 6/15/13 972,500
Buckeye Technologies Inc., Sr. Sub. Notes:
315,000 B 9.250% due 9/15/08 313,425
1,190,000 B 8.000% due 10/15/10 1,142,400
600,000 BB Norske Skog Canada Ltd., Sr. Notes, 7.375% due 3/1/14 (b) 618,000
Tembec Industries Inc., Sr. Notes:
600,000 BB- 8.625% due 6/30/09 615,000
650,000 BB- 8.500% due 2/1/11 666,250
- -----------------------------------------------------------------------------------------------
7,870,376
- -----------------------------------------------------------------------------------------------
Printing/Publishing -- 2.4%
775,000 B Dex Media East LLC/Dex Media East Finance Co., Notes,
12.125% due 11/15/12 902,875
1,000,000 B Dex Media, Inc., Discount Notes, Series A, step bond to yield
9.002% due 11/15/13 (b) 615,000
1,025,000 B Dex Media West LLC/Dex Media West Finance Co.,
Sr. Sub. Notes, 9.875% due 8/15/13 (b) 1,127,500
1,209,030 B- Hollinger Participation Trust, Sr. Notes, Payment-in-Kind,
12.125% due 11/15/10 (b) 1,413,054
1,100,000 B Houghton Mifflin Co., Sr. Discount Notes, step bond to yield
11.583% due 10/15/13 (b) 544,500
530,000 BB- Mail-Well I Corp., Sr. Notes, 9.625% due 3/15/12 585,650
R.H. Donnelley Finance Corp. I, Sr. Sub. Notes:
175,000 B+ 10.875% due 12/15/12 (b) 209,125
400,000 B+ 10.875% due 12/15/12 478,000
211,000 BB- Yell Finance BV, Sr. Discount Notes, step bond to yield
12.262% due 8/1/11 199,395
- -----------------------------------------------------------------------------------------------
6,075,099
- -----------------------------------------------------------------------------------------------
Retail -- 4.6%
175,000 BB- Ahold Finance USA, Inc., Notes, 8.250% due 7/15/10 191,625
Ahold Lease USA, Inc., Exchange Pass-Through Certificates:
1,418,594 BB Series 2001-A-1, 7.820% due 1/2/20 1,476,225
400,000 BB Series 2001-A-2, 8.620% due 1/2/25 416,250
195,000 Caa2* American Restaurant Group, Inc., Sr. Secured Notes, Series D,
11.500% due 11/1/06 (c) 88,725
460,000 B3* CKE Restaurants, Inc., Sr. Sub. Notes, 9.125% due 5/1/09 481,850
See Notes to Financial Statements.
14 Travelers Series Fund Inc. | 2004 Semi-Annual Report
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) APRIL 30, 2004
SMITH BARNEY HIGH INCOME PORTFOLIO
FACE
AMOUNT+ RATING(a) SECURITY VALUE
- -------------------------------------------------------------------------------------------------------
Retail -- 4.6% (continued)
175,000 B Cole National Group, Inc., Sr. Sub. Notes, 8.625% due 8/15/07 $ 178,938
325,000 CC Denny's Corp., Sr. Notes, 11.250% due 1/15/08 312,000
1,050,000 B+ Finlay Fine Jewelry Corp., Sr. Notes, 8.375% due 5/1/08 1,085,437
The Gap, Inc., Notes:
190,000 BB+ 9.900% due 12/15/05 211,375
725,000 BB+ 10.550% due 12/15/08 895,375
1,325,000 B- General Nutrition Centers, Inc., Sr. Sub. Notes,
8.500% due 12/1/10 (b) 1,391,250
J.C. Penney Co., Inc., Notes:
950,000 BB+ 8.000% due 3/1/10 1,087,750
705,000 BB+ 9.000% due 8/1/12 860,100
350,000 B- Nash-Finch Co., Sr. Sub. Notes, Series B, 8.500% due 5/1/08 342,125
305,000 BB- The Pep Boys -- Manny, Moe & Jack, Medium-Term Notes,
Series A, 6.710% due 11/3/04 307,669
Rite Aid Corp.:
1,305,000 B- Notes, 7.125% due 1/15/07 1,331,100
325,000 B- Sr. Notes, 7.625% due 4/15/05 334,750
717,000 BB Saks Inc., Notes, 9.875% due 10/1/11 858,607
- ----------------------------------------------------------------------------------------------------
11,851,151
- ----------------------------------------------------------------------------------------------------
Technology -- 0.6%
765,000 B3* Amkor Technology, Inc., Sub. Notes, 5.000% due 3/15/07 (e) 725,794
1,755,000 B1* Sanmina - SCI Corp., Sub. Debentures, zero coupon
bond to yield 10.672% due 9/12/20 (e) 916,988
- ----------------------------------------------------------------------------------------------------
1,642,782
- ----------------------------------------------------------------------------------------------------
Telecommunications -- 10.2%
439,900 Caa1* AirGate PCS, Inc., Sr. Sub. Secured Notes, 9.375% due 9/1/09 428,903
Alamosa (Delaware), Inc.:
363,324 Caa1* Sr. Discount Notes, step bond to yield 11.437% due 7/31/09 343,341
650,000 Caa1* Sr. Notes, 11.000% due 7/31/10 708,500
525,000 B- American Cellular Corp., Sr. Notes, Series B,
10.000% due 8/1/11 509,250
1,450,000 Caa1* American Tower Corp., Sr. Notes, 9.375% due 2/1/09 1,562,375
360,000 B3* American Tower Inc., Sr. Sub. Discount Notes,
zero coupon bond to yield 14.440% due 8/1/08 263,700
AT&T Corp., Sr. Notes:
350,000 BBB 8.050% due 11/15/11 384,590
1,150,000 BBB 8.750% due 11/15/31 1,220,343
3,550,000 BBB AT&T Wireless Services Inc., Sr. Notes, 8.750% due 3/1/31 4,343,372
244,000 B+ Avaya, Inc., Sr. Secured Notes, 11.125% due 4/1/09 289,140
1,105,000/EUR/ NR COLT Telecom Group PLC, Sr. Notes, 2.000% due 4/3/07 (b)(e) 1,535,149
See Notes to Financial Statements.
15 Travelers Series Fund Inc. | 2004 Semi-Annual Report
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) APRIL 30, 2004
SMITH BARNEY HIGH INCOME PORTFOLIO
FACE
AMOUNT+ RATING(a) SECURITY VALUE
- --------------------------------------------------------------------------------------------------
Telecommunications -- 10.2% (continued)
Crown Castle International Corp., Sr. Notes:
400,000 B3* 9.375% due 8/1/11 $ 440,000
685,000 B3* 10.750% due 8/1/11 780,900
75,000 B3* 7.500% due 12/1/13 75,188
500,000 B3* Series B, 7.500% due 12/1/13 501,250
175,000 CCC+ Dobson Communications Corp., Sr. Notes, 8.875% due 10/1/13 137,813
695,000 NR GT Group Telecom Inc., Sr. Discount Notes, step bond to yield
15.232% due 2/1/10 (d) 70
335,000 D Horizon PCS, Inc., Sr. Discount Notes, step bond to yield
15.526% due 10/1/10 (d) 80,400
2,350,000 B Lucent Technologies, Inc., Debentures, 6.450% due 3/15/29 1,874,125
Nextel Communications, Inc., Sr. Notes:
600,000 BB 9.375% due 11/15/09 651,750
1,650,000 BB 7.375% due 8/1/15 1,722,187
373,000 B- Nextel Partners, Inc., Sr. Notes, 12.500% due 11/15/09 438,275
Nortel Networks Ltd.:
750,000 B- Notes, 6.875% due 9/1/23 675,000
275,000 B- Sr. Notes, 6.125% due 2/15/06 273,281
305,000 B- Northern Telecom Capital Corp., Notes, 7.875% due 6/15/26 291,275
Qwest Corp.:
725,000 Ba3* Debentures, 6.875% due 9/15/33 598,125
1,420,000 Ba3* Notes, 9.125% due 3/15/12 (b) 1,515,850
Qwest Services Corp., Notes:
25,000 CCC+ 13.500% due 12/15/10 (b) 29,125
596,000 CCC+ 14.000% due 12/15/14 (b) 713,710
400,000 Caa2* SBA Communications Corp., Sr. Notes, 10.250% due 2/1/09 402,000
850,000 B3* SpectraSite, Inc., Sr. Notes, 8.250% due 5/15/10 896,750
Sprint Capital Corp.:
1,350,000 BBB- Notes, 8.750% due 3/15/32 1,617,295
775,000 BBB- Sr. Notes, 6.875% due 11/15/28 763,072
- -----------------------------------------------------------------------------------------------
26,066,104
- -----------------------------------------------------------------------------------------------
Textiles/Footwear -- 0.8%
Levi Strauss & Co.:
1,065,000 CCC Notes, 7.000% due 11/1/06 931,875
Sr. Notes:
750,000 CCC 11.625% due 1/15/08 686,250
145,000 CCC 12.250% due 12/15/12 130,500
292,000 B+ The William Carter Co., Sr. Sub. Notes, Series B,
10.875% due 8/15/11 337,260
- -----------------------------------------------------------------------------------------------
2,085,885
- -----------------------------------------------------------------------------------------------
See Notes to Financial Statements.
16 Travelers Series Fund Inc. | 2004 Semi-Annual Report
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) APRIL 30, 2004
SMITH BARNEY HIGH INCOME PORTFOLIO
FACE
AMOUNT+ RATING(a) SECURITY VALUE
- -----------------------------------------------------------------------------------------------
Tobacco -- 0.2%
609,000 NR Standard Commercial Tobacco Corp., Inc., Sr. Notes,
8.875% due 8/1/05 $ 621,052
- --------------------------------------------------------------------------------------------
Transportation -- 0.6%
425,000 B+ General Maritime Corp., Sr. Notes, 10.000% due 3/15/13 480,250
750,000 B Iron Mountain, Inc., Sr. Sub. Notes, 8.625% due 4/1/13 806,250
360,000 BB+ Windsor Petroleum Transport Corp., Notes,
7.840% due 1/15/21 (b) 369,450
- --------------------------------------------------------------------------------------------
1,655,950
- --------------------------------------------------------------------------------------------
Utilities -- 6.9%
The AES Corp.:
Sr. Notes:
1,295,000 B- 9.500% due 6/1/09 1,392,125
50,000 B- 7.750% due 3/1/14 49,875
175,000 B- Sr. Sub. Exchange Notes:
8.500% due 11/1/07 180,031
1,225,000 B Allegheny Energy Supply Co., LLC, Secured Notes, Series A,
10.250% due 11/15/07 (b) 1,359,750
180,000 BB+ Avista Corp., Sr. Notes, 9.750% due 6/1/08 216,900
2,770,000 CCC+ Calpine Canada Energy Finance PLC, Sr. Notes,
8.500% due 5/1/08 1,966,700
Calpine Corp.:
635,000 CCC+ Sr. Notes, 8.625% due 8/15/10 447,675
1,425,000 B Sr. Secured 2nd Priority Notes, 8.500% due 7/15/10 (b) 1,268,250
330,000 B+ CMS Energy Corp., Sr. Notes, 7.625% due 11/15/04 339,075
Edison Mission Energy, Sr. Notes:
640,000 B 10.000% due 8/15/08 675,200
325,000 B 7.730% due 6/15/09 308,750
1,525,000 B 9.875% due 4/15/11 1,578,375
Mirant Americas Generation, Inc., Sr. Notes:
475,000 D 7.625% due 5/1/06 (d) 349,125
900,000 D 9.125% due 5/1/31 (d) 657,000
1,875,000 B+ NRG Energy, Inc., 2nd Priority Sr. Secured Notes,
8.000% due 12/15/13 (b) 1,898,437
1,165,000 B2* Orion Power Holdings, Inc., Sr. Notes, 12.000% due 5/1/10 1,438,775
Reliant Resources, Inc., Sr. Secured Notes:
800,000 B1* 9.250% due 7/15/10 860,000
1,650,000 B1* 9.500% due 7/15/13 1,798,500
690,000 BBB- Thomas & Betts Corp., Medium-Term Notes,
6.625% due 5/7/08 734,490
- --------------------------------------------------------------------------------------------
17,519,033
- --------------------------------------------------------------------------------------------
TOTAL CORPORATE BONDS & NOTES
(Cost -- $233,052,360) 248,351,367
- --------------------------------------------------------------------------------------------
See Notes to Financial Statements.
17 Travelers Series Fund Inc. | 2004 Semi-Annual Report
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) APRIL 30, 2004
SMITH BARNEY HIGH INCOME PORTFOLIO
FACE
AMOUNT+ RATING(a) SECURITY VALUE
- ----------------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES -- 0.4%
1,402,534 Ca* Airplanes Pass-Through Trust, Series 1, Class D,
10.875% due 3/15/12 (d) $ 0
165,035 BB Continental Airlines, Inc., Series 2000-2, Class C,
8.312% due 4/2/11 141,528
First Consumer Master Trust,
276,368 Ba1* Series 1999-A, Class A, 5.800% due 12/15/05 (b) 276,328
400,055 Ba1* Series 2001-A, Class A, 1.410% due 9/15/08 (c) 382,189
437,290 CCC United Airlines, Inc., Series 2000-1, Class B,
8.030% due 7/1/11 140,935
- ----------------------------------------------------------------------------------------------------
TOTAL ASSET-BACKED SECURITIES
(Cost -- $2,750,976) 940,980
- ----------------------------------------------------------------------------------------------------
SHARES SECURITY VALUE
- ----------------------------------------------------------------------------------------------------
COMMON STOCK (f) -- 0.2%
Food & Beverage -- 0.0%
23,465 Aurora Foods Inc. 0
- ----------------------------------------------------------------------------------------------------
Telecommunications -- 0.2%
18,172 AirGate PCS, Inc. 345,631
11,275 Crown Castle International Corp. 157,286
870 McLeodUSA, Inc., Class A Shares 774
- ----------------------------------------------------------------------------------------------------
503,691
- ----------------------------------------------------------------------------------------------------
TOTAL COMMON STOCK
(Cost -- $481,035) 503,691
- ----------------------------------------------------------------------------------------------------
PREFERRED STOCK -- 0.8%
Aerospace/Defense -- 0.0%
600/UNIT/ Northrop Grumman Corp., 7.250% Equity Security Units (g) 62,778
- ----------------------------------------------------------------------------------------------------
Telecommunications -- 0.8%
1,457 Alamosa Holdings, Inc., 7.500% Cumulative, Series B (h) 784,758
7,000 Crown Castle International Corp., 6.250% (h) 326,375
6,875 CSC Holdings Inc., 11.750% Cumulative Exchangeable, Series H 721,875
270 Dobson Communications Corp.,
Payment-in-Kind, 13.000% Sr. Exchangeable (h) 19,103
1,500 Motorola, Inc., 7.000% Equity Security Units (g) 75,210
- ----------------------------------------------------------------------------------------------------
1,927,321
- ----------------------------------------------------------------------------------------------------
TOTAL PREFERRED STOCK
(Cost -- $1,411,692) 1,990,099
- ----------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
18 Travelers Series Fund Inc. | 2004 Semi-Annual Report
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) APRIL 30, 2004
SMITH BARNEY HIGH INCOME PORTFOLIO
WARRANTS SECURITY VALUE
- ------------------------------------------------------------------------------------
WARRANTS (b)(f) -- 0.0%
Commercial Printing Forms -- 0.0%
435 Merrill Corp., Expire 5/1/09 $ 0
- ------------------------------------------------------------------------------------
Internet Software/Services -- 0.0%
430 Cybernet Internet Services International Inc., Expire 7/1/09 0
1,545 WAM!NET Inc., Expire 3/1/05 15
- ------------------------------------------------------------------------------------
15
- ------------------------------------------------------------------------------------
Packaging/Containers -- 0.0%
80 Pliant Corp., Expire 6/1/10 1
- ------------------------------------------------------------------------------------
Telecommunications -- 0.0%
360 American Tower Corp., Expire 8/1/08 57,420
695 GT Group Telecom Inc., Expire 2/1/10 521
350 Horizon PCS Inc., Expire 10/1/10 0
925 Iridium World Communications Inc., Expire 7/15/05 9
375 IWO Holdings Inc., Expire 1/15/11 4
700 RSL Communications Ltd., Expire 11/15/06 0
- ------------------------------------------------------------------------------------
57,954
- ------------------------------------------------------------------------------------
TOTAL WARRANTS
(Cost -- $326,484) 57,970
- ------------------------------------------------------------------------------------
FACE
AMOUNT SECURITY VALUE
- ------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 1.3%
$3,326,000 UBS Securities LLC dated 4/30/04, 0.920% due 5/3/04;
Proceeds at maturity -- $3,326,255; (U.S. Treasury
Inflation-Indexed Notes, 3.000% due 7/15/12;
Market value -- $3,392,541) (Cost -- $3,326,000) 3,326,000
- ------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0%
(Cost -- $241,348,547**) $255,170,107
- ------------------------------------------------------------------------------------
+ Face amount denominated in U.S. dollars unless otherwise indicated.
(a) All ratings are by Standard & Poor's Rating Services, except for those
which are identified by an asterisk (*), are rated by Moody's Investors
Service.
(b) Security is exempt from registration under Rule 144A of the Securities Act
of 1933. This security may be resold in transactions that are exempt from
registration, normally to qualified institutional buyers. This security has
been deemed liquid pursuant to guidelines approved by the Board of
Directors.
(c) Variable-rate security.
(d) Security is currently in default.
(e) Convertible bonds exchangeable for shares of common stock.
(f) Non-income producing security.
(g) Security is issued as an equity unit, with each unit consisting of a
contract to buy common stock and senior notes.
(h) Convertible preferred stock exchangeable for shares of common stock.
** Aggregate cost for Federal income tax purposes is substantially the same.
Abbreviations used in this schedule:
EUR -- Euro
GBP -- British Pound
See pages 40 and 41 for definitions of ratings.
See Notes to Financial Statements.
19 Travelers Series Fund Inc. | 2004 Semi-Annual Report
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) APRIL 30, 2004
PIONEER STRATEGIC INCOME PORTFOLIO
FACE
AMOUNT+ SECURITY VALUE
- --------------------------------------------------------------------------------------------------
U.S. GOVERNMENT SECTOR -- 12.0%
U.S. Treasury Obligations -- 3.1%
600,000 U.S. Treasury Bonds, 5.375% due 2/15/31 $ 608,063
776,558 U.S. Treasury Inflation-Indexed Bonds, 3.000% due 7/15/12 (a) 839,623
1,500,000 U.S. Treasury Notes, 3.625% due 5/15/13 (a) 1,415,861
- --------------------------------------------------------------------------------------------------
2,863,547
- --------------------------------------------------------------------------------------------------
U.S. Government Agencies -- 8.9%
Federal Home Loan Mortgage Corp. (FHLMC):
1,389,515 6.000% due 6/1/17 (b) 1,452,005
497,313 6.000% due 11/1/33 509,127
Federal National Mortgage Association (FNMA):
338,530 5.500% due 12/1/18 347,746
16,823 7.500% due 1/1/30 - 10/1/30 18,014
1,300,000/AUD/ Sr. Notes, 6.375% due 8/15/07 951,088
Government National Mortgage Association (GNMA):
507,290 6.500% due 10/15/32 - 11/15/32 530,224
4,369,568 6.000% due 2/15/24 - 7/15/33 4,484,230
- --------------------------------------------------------------------------------------------------
8,292,434
- --------------------------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT SECTOR
(Cost -- $11,212,857) 11,155,981
- --------------------------------------------------------------------------------------------------
FACE
AMOUNT+ RATING(c) SECURITY VALUE
- --------------------------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS -- 4.9%
784 Baa2* Arc Net Interest Margin Trust, Series 2002-1, Class A,
7.750% due 1/27/32 (d) 785
70,000 BB+ CS First Boston Mortgage Securities Corp., Series 2002-CKN2,
Class H, 6.122% due 4/15/37 (d) 63,634
Federal Home Loan Mortgage Corp. (FHLMC):
Interest-Only Strips:
755,942 AAA Series 216, Class IO, 6.000% due 1/1/32 171,636
8,024 AAA Series 2448, Class SE, 7.000% due 7/15/29 (e) 28
515,787 AAA Series 2448, Class SM, 6.900% due 3/15/32 (e) 58,480
59,696 AAA Series 2478, Class SY, 7.050% due 3/15/21 (e) 3,891
256,700 AAA Series 2515, Class IG, 5.500% due 3/15/32 82,970
467,841 AAA Series 2579, Class GS, 6.550% due 1/15/17 (e) 44,930
Principal-Only Strips:
112,321 AAA Series 215, Class PO, zero coupon due 6/1/31 98,685
75,940 AAA Series 2235, Class PO, zero coupon due 6/15/30 63,499
Federal National Mortgage Association (FNMA):
Interest-Only Strips:
277,497 AAA Series 318, Class 2, 6.000% due 1/1/32 64,365
See Notes to Financial Statements.
20 Travelers Series Fund Inc. | 2004 Semi-Annual Report
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) APRIL 30, 2004
PIONEER STRATEGIC INCOME PORTFOLIO
FACE
AMOUNT+ RATING(c) SECURITY VALUE
- --------------------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS -- 4.9% (continued)
177,770 AAA Series 322, Class 2, 6.000% due 4/1/32 $ 41,288
884,127 AAA Series 329, Class 2, 5.500% due 1/1/33 230,319
212,987 AAA Series 332, Class 2, 6.000% due 2/1/33 52,667
90,139 AAA Series 2001-74, Class MI, 6.000% due 12/25/15 8,302
469,864 AAA Series 2002-9, Class MS, 7.000% due 3/25/32 (e) 48,808
35,249 AAA Series 2002-29, Class SL, 6.950% due 7/25/29 (e) 455
200,956 AAA Series 2002-52, Class SL, 6.900% due 9/25/32 (e) 23,783
219,219 AAA Series 2002-63, Class SN, 6.900% due 10/25/32 (e) 25,396
899,663 AAA Series 2003-23, Class AI, 5.000% due 3/25/17 115,233
158,309 AAA Series 2003-23, Class SC, 6.450% due 4/25/33 (e) 8,112
269,810 AAA Series 2003-26, Class IG, 6.000% due 4/25/33 46,963
1,596,426 AAA Series 2003-34, Class ES, 5.900% due 2/25/33 (e) 149,260
642,753 AAA Series 2003-34, Class SG, 5.900% due 2/25/33 (e) 59,971
1,951,258 AAA Series 2003-34, Class SP, 6.000% due 1/25/32 (e) 176,049
690,136 AAA Series 2003-49, Class TS, 6.600% due 3/25/18 (e) 79,353
Pass-Through Certificates:
75,409 AAA Series 2002-14, Class A2, 7.500% due 1/25/42 81,206
652,419 AAA Series 2003-W3, Class 1A3, 7.500% due 8/25/42 702,573
Principal-Only Strips:
2,045 AAA Series 1996-5, Class PB, zero coupon due 4/25/24 2,044
44,260 AAA Series 1999-51, Class N, zero coupon due 9/17/29 38,759
771 AAA Series 2002-97, Class PO, zero coupon due 1/25/33 770
Federal National Mortgage Association (FNMA) Grantor Trust,
Pass-Through Certificates:
75,034 AAA Series 1999-T2, Class A1, 7.500% due 1/19/39 80,802
39,604 AAA Series 2000-T6, Class A1, 7.500% due 6/25/30 42,648
188,111 AAA Series 2001-T1, Class A1, 7.500% due 10/25/40 202,572
61,791 AAA Series 2001-T3, Class A1, 7.500% due 11/25/40 66,542
185,080 AAA Series 2001-T4, Class A1, 7.500% due 7/25/41 200,048
416,638 AAA Series 2001-T7, Class A1, 7.500% due 2/25/41 449,542
11,523 AAA Series 2001-T10, Class A1, 7.000% due 12/25/41 12,238
107,757 AAA Series 2001-T10, Class A2, 7.500% due 12/25/41 116,040
971 AAA Series 2002-T1, Class A2, 7.000% due 11/25/31 1,033
660,000 BBB- Global Signal Trust, Series 2004-1A, Class E,
5.395% due 1/15/34 (e) 641,853
Government National Mortgage Association (GNMA),
Interest-Only Strip:
238,948 AAA Series 2001-43, Class SJ, 6.500% due 1/20/29 (e) 8,168
33,017 AAA Series 2002-29, Class SX, 6.950% due 4/16/29 (e) 170
iStar Asset Receivables Trust:
36,297 AAA Series 2003-1A, Class A2, 1.450% due 8/28/22 (d)(e) 36,319
31,760 A+ Series 2003-1A, Class E, 2.150% due 8/28/22 (d)(e) 31,786
27,223 A Series 2003-1A, Class F, 2.200% due 8/28/22 (d)(e) 27,246
See Notes to Financial Statements.
21 Travelers Series Fund Inc. | 2004 Semi-Annual Report
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) APRIL 30, 2004
PIONEER STRATEGIC INCOME PORTFOLIO
FACE
AMOUNT+ RATING(c) SECURITY VALUE
- --------------------------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS -- 4.9% (continued)
32,665 AAA Rural Housing Trust, Series 1987-1, Class D, 6.330% due 4/1/26 $ 32,680
12,189 BBB- Sasco ARC Net Interest Margin Notes, Series 2002-BC10,
Class A, 7.750% due 1/27/33 (d) 12,250
47,128 BB+** Sasco Net Interest Margin Trust, Series 2003-BC1, Class B,
zero coupon due 5/27/33 (d) 30,634
- -----------------------------------------------------------------------------------------------
TOTAL COLLATERALIZED MORTGAGE
OBLIGATIONS (Cost -- $5,013,410) 4,536,785
- -----------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES -- 8.5%
Ameriquest Mortgage Securities Inc.:
59,000 BBB- Series 2002-4, Class M4, 4.850% due 2/25/33 (e) 60,113
61,000 BBB- Series 2003-1, Class M4, 4.180% due 2/25/33 (e) 62,062
61,000 BBB- Series 2003-2, Class M4, 4.180% due 3/25/33 (e) 62,063
25,000 BBB Series 2003-AR3, Class M5, 4.850% due 10/25/33 (e) 26,489
50,732 BBB- AQ Finance NIM Trust, Series 2003-N2A, Class Notes,
9.300% due 3/25/33 (d) 50,732
11,197 Baa3* Arc Net Interest Margin Trust, Series 2002-8A, Class A1,
7.750% due 11/27/32 (d) 11,209
Asset Backed Funding Corp., Mortgage Loan Asset-Backed
Certificates, Series 2003-WF1:
66,000 BBB Class M3, 4.150% due 12/25/32 (e) 68,735
25,000 BBB- Class M4, 4.350% due 12/25/32 (e) 24,483
Asset Backed Securities Corp., Home Equity Loan Trust:
56,000 BBB- Series 2003-HE1, Class M4, 5.600% due 1/15/33 (e) 52,365
123,000 BBB Series 2003-HE2, Class M4, 4.950% due 4/15/33 (e) 128,339
2,593,000 BBB- Series 2003-HE3, Class M5, 5.100% due 6/15/33 (b)(e) 2,422,850
334,000 BBB Bank One Issuance Trust, Series 2002-C1, Class C1,
2.060% due 12/15/09 (e) 339,203
Bayview Financial Acquisition Trust:
114,112 A Series 2001-DA, Class M3, 2.500% due 11/25/31 (d)(e) 114,549
124,998 AAA Series 2002-CA, Class AIO, 5.100% due 10/25/04 (d)(e) 3,008
50,000 BBB- CDC Mortgage Capital Trust, Series 2003-HE2, Class B3,
4.850% due 10/25/33 (e) 43,635
2,454 BBB Chase Funding Net Interest Margin Trust, Series 2003-1A,
Class Notes, 8.750% due 3/27/36 (d) 2,434
Conseco Finance Securitizations Corp.:
39,000 B2* Series 2000-2, Class A4, 8.480% due 12/1/30 41,766
220,000 Caa2* Series 2000-6, Class M2, 8.200% due 9/1/32 26,538
5,000 A3* Series 2001-3, Class A4, 6.910% due 5/1/33 4,829
4,000 A2* Series 2001-4, Class A4, 7.360% due 9/1/33 4,046
196,000 B3* Series 2001-4, Class B1, 9.400% due 9/1/33 29,522
472,737 A1* Series 2002-1, Class A, 6.681% due 12/1/32 486,980
See Notes to Financial Statements.
22 Travelers Series Fund Inc. | 2004 Semi-Annual Report
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) APRIL 30, 2004
PIONEER STRATEGIC INCOME PORTFOLIO
FACE
AMOUNT+ RATING(c) SECURITY VALUE
- -----------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES -- 8.5% (continued)
250,000 Baa2* Consumer Credit Reference Index Securities Program,
Series 2002-1A, Class A, 3.110% due 3/22/07 (d)(e) $ 253,492
188,000 B+ Green Tree Financial Corp., Series 1999-5, Class A5,
7.860% due 3/1/30 166,529
35,773 Ba3* Green Tree Home Improvement Loan Trust, Series 1995-F,
Class B2, 7.100% due 1/15/21 34,525
360,126 BB Greenpoint Manufactured Housing, Series 2000-3, Class IA,
8.450% due 6/20/31 354,113
GSAMP Trust:
68 BBB- Series 2002-HE2N, Class Notes, 8.250% due 10/20/32 (d) 68
50,000 Baa3* Series 2003-FM1, Class B3, 5.600% due 3/20/33 (e) 46,747
52,562 BBB** Home Equity Asset Trust, Series 2002-5N, Class A,
8.000% 6/27/33 (d) 52,562
215,000 BBB- LNR CDO Ltd., Series 2002-1A, Class FFL,
3.850% due 7/24/37 (d)(e) 209,575
250,000 Baa2* Madison Avenue Manufactured Housing Contract Trust,
Series 2002-A, Class B1, 4.350% due 3/25/32 (e) 150,156
50,000 BBB- MASTR Asset Backed Securities Trust, Series 2003-OPT1,
Class MV5, 4.600% due 12/25/32 (e) 50,322
104,000 BBB- Merrill Lynch Mortgage Investors, Inc., Series 2003-WMC1,
Class B2, 4.100% due 11/25/33 (e) 96,305
100,654 BBB Mid-State Trust, Series 10, Class B, 7.540% due 2/15/36 85,699
54,000 BBB- Morgan Stanley ABS Capital I Inc., Series 2002-NC6, Class B2,
4.850% due 11/25/32 (e) 49,978
Morgan Stanley Dean Witter Capital I Inc.:
54,000 BBB- Series 2001-AM1, Class B1, 3.300% due 2/25/32 (e) 54,293
134,000 BBB- Series 2001-NC3, Class B1, 3.550% due 10/25/31 (e) 132,000
316,000 BBB- Series 2001-NC4, Class B1, 3.600% due 1/25/32 (e) 307,959
115,000 BBB- Series 2002-AM2, Class B1, 3.350% due 5/25/32 (e) 110,344
58,000 BBB- Series 2002-AM3, Class B2, 4.850% due 2/25/33 (e) 60,097
59,000 BBB- Series 2002-NC5, Class B2, 4.350% due 10/25/32 (e) 60,320
59,000 BBB- Series 2003-NC2, Class B2, 4.850% due 2/25/33 (e) 60,475
58,000 BBB- Series 2003-NC3, Class B3, 4.850% due 3/25/33 (e) 59,427
28,456 BBB+ Option One Mortgage Securities Corp., Series 2003-2B,
Class N1, 7.630% due 4/26/33 (d) 28,480
93,427 Baa2* Pass-Through Amortizing Credit Card Trust, Series 2002-1A,
Class A4FL, 6.600% due 6/18/12 (d)(e) 94,130
923,636 Baa2* PF Export Receivables Master Trust, Notes, Series A,
6.436% due 6/1/15 (d) 918,589
65,399 Baa3* Sail Net Interest Margin Notes, Series 2003-BC1A, Class A,
7.750% due 1/27/33 (d) 64,745
See Notes to Financial Statements.
23 Travelers Series Fund Inc. | 2004 Semi-Annual Report
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) APRIL 30, 2004
PIONEER STRATEGIC INCOME PORTFOLIO
FACE
AMOUNT+ RATING(c) SECURITY VALUE
- ------------------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES -- 8.5% (continued)
Structured Asset Investment Loan Trust:
146,000 BBB+ Series 2003-BC1, Class M3, 4.100% due 1/25/33 (e) $ 151,575
1,083,093 AAA Series 2003-BC2, Class AIO, 6.000% due 3/25/05 45,084
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 -- $8,076,031) 7,828,539
- ---------------------------------------------------------------------------------------------------
MUNICIPAL BONDS -- 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 -- $427,179) 449,575
- ---------------------------------------------------------------------------------------------------
HIGH-YIELD SECTOR -- 55.3%
- ---------------------------------------------------------------------------------------------------
CORPORATE BONDS & NOTES -- 53.1%
Aerospace/Defense -- 2.6%
290,000 CCC Decrane Aircraft Holdings Inc., Sr. Sub. Notes,
Series B, 12.000% due 9/30/08 191,400
425,000 B DRS Technologies Inc., Sr. Sub. Notes.,
6.875% due 11/1/13 429,250
620,000 CCC+ Hexcel Corp., Sr. Sub. Notes, 9.750% due 1/15/09 (a) 654,100
K & F Industries, Inc., Sr. Sub. Notes, Series B:
35,000 B 9.250% due 10/15/07 (a) 36,400
55,000 B 9.625% due 12/15/10 61,875
L-3 Communications Corp., Sr. Sub. Notes:
500,000 BB- 6.125% due 7/15/13 500,000
400,000 BB- 6.125% due 1/15/14 (d) 400,000
100,000 BB- Series B, 8.000% due 8/1/08 105,125
50,000 B Titan Corp., 8.000% due 5/15/11 (d) 57,250
- ---------------------------------------------------------------------------------------------------
2,435,400
- ---------------------------------------------------------------------------------------------------
Airlines -- 1.0%
AMR Corp., Debentures:
160,000 CCC 9.000% due 8/1/12 (a) 136,000
400,000 CCC 9.800% due 10/1/21 308,000
180,000 CCC+ Calair LLC/Calair Capital Corp., Sr. Notes, 8.125% due 4/1/08 151,200
60,000 B Continental Airlines, Inc., Pass-Through Certificates, Series D,
7.568% due 12/1/06 50,515
Northwest Airlines, Inc., Notes:
120,000 B- 7.625% due 3/15/05 118,200
145,000 B- 9.875% due 3/15/07 (a) 121,800
109,000 NR United Airlines, Inc., Debentures, 9.125% due 1/15/12 (f) 13,353
37,802 B US Airways, Inc., Pass-Through Certificates, Series 93-A3,
10.375% due 3/1/13 (f) 9,451
- ---------------------------------------------------------------------------------------------------
908,519
- ---------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
24 Travelers Series Fund Inc. | 2004 Semi-Annual Report
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) APRIL 30, 2004
PIONEER STRATEGIC INCOME PORTFOLIO
FACE
AMOUNT+ RATING(c) SECURITY VALUE
- ------------------------------------------------------------------------------------------------------
Automotive -- 1.0%
Asbury Automotive Group:
90,000 B Notes, 9.000% due 6/15/12 (a) $ 94,050
550,000 NR Sr. Sub. Notes, 8.000% due 3/15/14 (d) 541,750
15,000/EUR/ BB Dana Corp., Notes, 9.000 due 8/15/11 21,378
45,000/EUR/ BBB- Lear Corp., Sr. Notes, 8.125% due 4/1/08 61,709
164,000 Caa1* Motors and Gears, Inc., Sr. Notes, Series D,
10.750% due 11/15/06 145,960
25,000 B Navistar International Inc., Sr. Sub. Notes, Series B,
8.000% due 2/1/08 25,812
- ------------------------------------------------------------------------------------------------------
890,659
- ------------------------------------------------------------------------------------------------------
Broadcasting -- 0.6%
500,000 BBB- Grupo Televisa, S.A., Sr. Notes, 8.500% due 3/11/32 530,000
20,000 CC Pegasus Communications Corp., Sr. Notes, Series B,
9.750% due 12/1/06 14,100
- ------------------------------------------------------------------------------------------------------
544,100
- ------------------------------------------------------------------------------------------------------
Building/Construction -- 3.4%
2,100,000/NOK/ NR Aker Kvaerner ASA, Notes, zero coupon due 10/30/11 1,136,192
56,000 B- Atrium Cos., Inc., Sr. Sub. Notes, Series B, 10.500% due 5/1/09 59,150
85,000 BB Beazer Homes USA, Inc., Sr. Notes, 8.625% due 5/15/11 92,437
K. Hovnanian Enterprises, Inc.:
100,000 BB Sr. Notes, 8.000% due 4/1/12 108,000
30,000 Ba3* Sr. Sub. Notes, 7.750% due 5/15/13 (a) 30,975
Manitowoc Co., Inc., Sr. Sub. Notes:
15,000/EUR/ B 10.375% due 5/15/11 20,031
50,000 B 10.500% due 8/1/12 57,250
500,000 B+ North American Energy Partners Inc., Sr. Notes,
8.750% due 12/1/11 (d) 495,000
Owens Corning:
11,000 NR Bonds, 7.500% due 8/1/18 (f) 4,620
137,000 NR Notes, 7.500% due 5/1/05 (f) 57,540
66,000 Ba2* Schuler Homes Inc., Notes, 10.500% due 7/15/11 (a) 76,230
450,000 B Ship Finance International Ltd., Sr. Notes,
8.500% due 12/15/13 (d) 436,500
Technical Olympic USA, Inc.:
20,000 Ba3* Sr. Notes, 9.000% due 7/1/10 21,100
20,000 B2* Sr. Sub. Notes, 10.375% due 7/1/12 22,100
47,000 B Terex Corp., Sr. Sub. Notes, Series B, 10.375% due 4/1/11 53,698
500,000 B+ Votorantim Overseas Trading Operations III Ltd., Sr. Notes,
7.875% due 1/23/14 (d) 457,500
60,000 Ba3* WCI Communities, Inc., Sr. Sub. Notes, 9.125% due 5/1/12 65,700
- ------------------------------------------------------------------------------------------------------
3,194,023
- ------------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
25 Travelers Series Fund Inc. | 2004 Semi-Annual Report
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) APRIL 30, 2004
PIONEER STRATEGIC INCOME PORTFOLIO
FACE
AMOUNT+ RATING(c) SECURITY VALUE
- -----------------------------------------------------------------------------------------------------
Business Services -- 3.1%
1,000,000 B1* Corrections Corp. of America, Sr. Notes, 7.500% due 5/1/11 (d) $ 1,052,500
52,737 B JSG Funding PLC, Sub. Notes, 15.500% due 10/1/13 (d)(g) 60,912
80,000 Ba3* Lamar Media Corp., Sr. Sub. Notes, 7.250% due 1/1/13 86,400
850,000 BBB- Odyssey Re Holdings Corp., Notes, 7.650% due 11/1/13 914,984
120,000 D Outsourcing Solutions Inc., Sr. Sub. Notes, Series B,
11.000% due 11/1/06 (f) 1,230
R.H. Donnelley Finance Corp:
77,000 B+ Sr. Notes, 8.875% due 12/15/10 (d) 86,240
159,000 B+ Sr. Sub. Notes, 10.875% due 12/15/12 (d) 190,005
30,000 B+ Xerox Capital (Europe) PLC, Notes, 5.875% due 5/15/04 30,000
Xerox Corp., Sr. Notes:
100,000 B+ 9.750% due 1/15/09 114,000
35,000/EUR/ B+ 9.750% due 1/15/09 48,520
245,000 B+ 7.125% due 6/15/10 249,900
- -----------------------------------------------------------------------------------------------------
2,834,691
- -----------------------------------------------------------------------------------------------------
Cable -- 0.1%
47,000 BB- CSC Holdings Inc., Sr. Notes, 7.875% due 12/15/07 50,290
9,150 NR KNOLOGY Holdings, Inc., Sr. Notes, 12.000% due 11/30/09 (d)(g) 9,013
20,000 BB- Rogers Cablesystems Ltd., Sr. Sub. Debentures,
11.000% due 12/1/15 23,175
- -----------------------------------------------------------------------------------------------------
82,478
- -----------------------------------------------------------------------------------------------------
Chemicals -- 3.9%
150,000 B+ Acetex Corp., Sr. Notes, 10.875% due 8/1/09 165,750
10,000 Ba2* Airgas, Inc., Sr. Sub. Notes 9.125% due 10/1/11 11,350
120,000 A- Dow Chemical Co., Sr. Notes, 5.750% due 11/15/09 126,965
338,000 Ba2* Hercules Inc., Sr. Notes, 11.125% due 11/15/07 407,290
50,000 B Huntsman Advanced Materials LLC, Sr. Notes,
11.000% due 7/15/10 (d) 57,000
Huntsman ICI Chemicals LLC:
235,000 CCC+ Sr. Discount Notes, zero coupon bond to yield
20.193% due 12/31/09 119,262
155,000 CCC+ Sr. Sub. Notes, 10.125% due 7/1/09 (a) 163,138
495,000/EUR/ CCC+ Huntsman International LLC, Sr. Sub. Notes, 10.125% due 7/1/09 601,730
205,000 BB- ISP Chemco Inc., Sr. Sub. Notes, Series B, 10.250% due 7/1/11 232,675
35,000 B+ ISP Holdings, Inc., Sr. Secured Notes, Series B,
10.625% due 12/15/09 39,025
30,000 B+ Lyondell Chemical Co., Sr. Secured Notes, 9.500% due 12/15/08 31,500
40,000/EUR/ B+ Messer Griesheim Holding, AG, Sr. Notes, 10.375% due 6/1/11 57,667
335,000 BBB- Methanex Corp., Sr. Notes, 8.750% due 8/15/12 385,250
30,000 BB- Millennium America, Inc., Sr. Notes, 9.250% due 6/15/08 (d) 32,850
80,000 B Noveon, Inc., Sr. Sub. Notes, Series B, 11.000% due 2/28/11 93,600
See Notes to Financial Statements.
26 Travelers Series Fund Inc. | 2004 Semi-Annual Report
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) APRIL 30, 2004
PIONEER STRATEGIC INCOME PORTFOLIO
FACE
AMOUNT+ RATING(c) SECURITY VALUE
- ------------------------------------------------------------------------------------------------------
Chemicals -- 3.9% (continued)
79,396 NR Noveon International, Inc., Sr. Sub. Notes,
13.000% due 8/31/11 (d)(g) $ 84,159
349,000 B- OM Group, Inc., Notes, 9.250% due 12/15/11 359,470
35,000 B- Resolution Performance Products LLC/RPP Capital, Sr.
Secured 2nd Priority Notes, 9.500% due 4/15/10 (a) 35,875
500,000/EUR/ B3* Rhodia SA, Sr. Notes, 8.000% due 6/1/10 (d) 547,925
27,276 NR Sterling Chemicals Inc., Sr. Secured Notes,
10.000% due 12/19/07 (g) 26,457
- ------------------------------------------------------------------------------------------------------
3,578,938
- ------------------------------------------------------------------------------------------------------
Consumer Products & Services -- 1.2%
500 NR Alderwoods Group, Inc., Sr. Notes, 12.250% due 1/2/09 560
500,000 BBB- Bausch & Lomb Inc., Debentures, 7.125% due 8/1/28 504,897
200,000 B+ Central Garden & Pet Co., Sr. Sub. Notes, 9.125% due 2/1/13 223,000
Derby Cycle Corp., Sr. Notes:
163,739/EUR/ NR 9.375% due 5/15/08 (f) 1,755
136,116 NR 10.000% due 5/15/08 (f) 5,240
130,000 B- Jostens, Inc., Sr. Sub. Notes, 12.750% due 5/1/10 146,900
Service Corp. International:
30,000 BB- Debentures, 7.875% due 2/1/13 31,500
Notes:
10,000 BB- 7.200% due 6/1/06 10,675
19,000 BB- 6.500% due 3/15/08 19,713
38,000 BB- 7.700% due 4/15/09 40,755
130,000 B+ Stewart Enterprises Inc., Sr. Sub. Notes, 10.750% due 7/1/08 147,550
- ------------------------------------------------------------------------------------------------------
1,132,545
- ------------------------------------------------------------------------------------------------------
Electronics -- 0.2%
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 21,175
- ------------------------------------------------------------------------------------------------------
161,575
- ------------------------------------------------------------------------------------------------------
Energy -- 6.5%
1,000,000 B- Baytex Energy Ltd., Sr. Sub. Notes, 9.625% due 7/15/10 1,060,000
500,000 BB Compagnie Generale de Geophysique S.A., Sr. Notes,
10.625% due 11/15/07 540,000
365,000 B Comstock Resources, Inc., Sr. Notes, 6.875% due 3/1/12 359,525
800,000 BBB- FPL Energy American Wind, LLC, Sr. Secured Notes,
6.639% due 6/20/23 (d) 818,142
850,000 B1* Illinova Corp., First Mortgage Notes, 7.500% due 6/15/09 (a) 947,750
40,000 Ba3* Key Energy Services Inc., Sr. Notes, 6.375% due 5/1/13 39,600
25,000 BB- Leviathan Gas Pipe Line Partners, L.P./Leviathan Finance Corp.,
Sr. Sub. Notes, Series B, 10.375% due 6/1/09 26,250
500,000 B Paramount Resources Ltd., Sr. Notes, 7.875% due 11/1/10 497,500
95,000 B2* Parker Drilling Co., Sr. Notes, Series B, 10.125% due 11/15/09 102,362
See Notes to Financial Statements.
27 Travelers Series Fund Inc. | 2004 Semi-Annual Report
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) APRIL 30, 2004
PIONEER STRATEGIC INCOME PORTFOLIO
FACE
AMOUNT+ RATING(c) SECURITY VALUE
- ----------------------------------------------------------------------------------------------------
Energy -- 6.5% (continued)
Pemex Project Funding Master Trust:
90,000 Baa1* Bonds, 8.625% due 2/1/22 $ 96,750
200,000 Baa1* Notes, 7.375% due 12/15/14 210,000
17,000 BBB- Pioneer Natural Resources Co., Sr. Notes,
6.500% due 1/15/08 18,460
70,000 BB Pogo Producing Co., Sr. Sub. Notes, Series B,
8.250% due 4/15/11 78,925
67,000 BB Pride International, Inc., Sr. Notes, 9.375% due 5/1/07 (a) 68,340
65,000 Ba2* SEMCO Energy, Inc., Sr. Notes, 7.750% due 5/15/13 68,575
60,000 NR Seven Seas Petroleum Inc., Sr. Notes, Series B,
12.500% due 5/15/05 (f) 1,200
80,000 B+ Stone Energy Corp., Sr. Sub. Notes, 8.250% due 12/15/11 86,800
70,000 B Swift Energy Co., Sr. Sub. Notes, 9.375% due 5/1/12 78,050
400,000 B Tesoro Petroleum Corp., Sr. Sub. Notes, Series B,
9.625% due 11/1/08 (a) 442,000
100,000 B Tiverton Power Associates L.P./Rumford Power Associates L.P.,
Pass-Through Certificates, 9.000% due 7/15/18 (d) 83,500
110,000 Ba2* Westar Energy Inc., Sr. Notes, 7.125% due 8/1/09 123,200
The Williams Cos. Inc.:
Notes:
95,000 B+ 6.500% due 8/1/06 99,869
50,000 B+ 6.500% due 12/1/08 (a) 52,250
40,000 B+ Series A, 6.750% due 1/15/06 (e) 42,050
50,000 B+ Sr. Notes, 8.625% due 6/1/10 55,250
80,000 NR XCL Ltd., Sr. Secured Discount Notes,
13.500% due 5/1/04 (d)(f)(h) 24,400
30,000 BBB- XTO Energy, Inc., Sr. Notes, 6.250% due 4/15/13 32,019
- ----------------------------------------------------------------------------------------------------
6,052,767
- ----------------------------------------------------------------------------------------------------
Entertainment -- 0.1%
65,000 BBB- Capitol Records, Inc., Notes, 8.375% due 8/15/09 (d) 72,228
20,000/GBP/ BBB- EMI Group PLC, Notes, 9.750% due 5/20/08 38,292
- ----------------------------------------------------------------------------------------------------
110,520
- ----------------------------------------------------------------------------------------------------
Environmental Services -- 1.1%
370,000 BB- Allied Waste Industries, Inc., Debentures, 7.400% due 9/15/35 344,100
Allied Waste North America, Inc.:
Sr. Notes, Series B:
52,000 BB- 8.875% due 4/1/08 57,980
223,000 BB- 9.250% due 9/1/12 (a) 254,220
Sr. Sub. Notes, Series B:
156,000 BB- 8.500% due 12/1/08 174,330
121,000 B+ 10.000% due 8/1/09 (a) 129,470
83,000 B- IESI Corp., Sr. Sub. Notes, 10.250% due 6/15/12 91,923
- ----------------------------------------------------------------------------------------------------
1,052,023
- ----------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
28 Travelers Series Fund Inc. | 2004 Semi-Annual Report
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) APRIL 30, 2004
PIONEER STRATEGIC INCOME PORTFOLIO
FACE
AMOUNT+ RATING(c) SECURITY VALUE
- -----------------------------------------------------------------------------------------------------
Financial Services -- 4.7%
1,000,000 BB- Allmerica Financial Corp., Sr. Debentures, 7.625% due 10/15/25 $ 1,015,000
20,000 BB+ Arch Western Finance LLC, Sr. Notes, 6.750% due 7/1/13 (d) 20,700
660,000 BBB- Kingsway America, Inc., Sr. Notes, 7.500% due 2/1/14 (d) 652,161
500,000 A Loews Corp., Sr. Notes, 5.250% due 3/15/16 471,491
2,975,703/DKK/ Aaa* Nykredit, Mortgage Bonds, 5.000% due 10/1/35 467,443
589,791 BBB Power Receivables Finance LLC, Sr. Notes,
6.290% due 1/1/12 (d) 606,434
1,000,000 B+ Presidential Life Corp., Sr. Notes, 7.875% due 2/15/09 1,025,000
90,000 BB- Western Financial Bank, Sub. Debentures, 9.625% due 5/15/12 102,375
- -----------------------------------------------------------------------------------------------------
4,360,604
- -----------------------------------------------------------------------------------------------------
Food & Beverage -- 2.1%
26,000/EUR/ B2* BSN Financing Co., S.A., Sr. Notes, 10.250% due 8/1/09 33,319
1,000,000 B- Burns Philp Capital Ltd., Sr. Sub. Notes, Series B,
9.750% due 7/15/12 1,060,000
600,000 BBB- Companhia Brasileira de Bebida, Notes,
8.750% due 9/15/13 (d) 637,500
120,000 Caa1* Doane Pet Care Co., Sr. Sub. Notes, 9.750% due 5/15/07 111,000
10,000 CCC+ Eagle Family Foods, Inc., Sr. Sub. Notes, Series B,
8.750% due 1/15/08 8,050
40,000 B TravelCenters of America Inc., Sr. Sub. Notes,
12.750% due 5/1/09 47,200
190,660 NR Vlasic Foods International, Sr. Sub. Notes, Series B,
10.250% due 7/1/09 (f) 17,159
- -----------------------------------------------------------------------------------------------------
1,914,228
- -----------------------------------------------------------------------------------------------------
Healthcare -- 1.7%
750,000 B ALARIS Medical Inc., Sr. Sub. Notes, 7.250% due 7/1/11 776,250
HCA Inc.:
Debentures:
10,000 BBB- 7.190% due 11/15/15 10,426
50,000 BBB- 8.360% due 4/15/24 54,002
Notes:
500,000 BBB- 6.300% due 10/1/12 502,713
50,000 BBB- 7.690% due 6/15/25 50,595
135,000 B- Inverness Medical Innovations, Inc., Sr. Sub. Notes,
8.750% due 2/15/12 (d) 138,712
110,000 NR Mediq Inc., Sr. Discount Debentures, step bond to yield
15.798% due 6/1/09 (f) 11
330,000 NR Multicare Cos., Inc., Sr. Sub. Notes, 9.000% due 8/1/07 (f) 2,310
- -----------------------------------------------------------------------------------------------------
1,535,019
- -----------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
29 Travelers Series Fund Inc. | 2004 Semi-Annual Report
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) APRIL 30, 2004
PIONEER STRATEGIC INCOME PORTFOLIO
FACE
AMOUNT+ RATING(c) SECURITY VALUE
- -----------------------------------------------------------------------------------------------------
Hotel/Casino -- 1.6%
153,000 B Herbst Gaming Inc., Sr. Secured Notes, Series B,
10.750% due 9/1/08 $ 172,890
123,000 BBB- Hilton Hotels Corp., Sr. Notes, 7.625% due 12/1/12 138,068
500,000 BBB- Hospitality Properties Trust, Notes, 6.750% due 2/15/13 (a) 523,895
100,000 B John Q. Hammons Hotels Inc., First Mortgage Notes, Series B,
8.875% due 5/15/12 110,500
500,000 B+ Turning Stone Casino Resort Enterprise, Sr. Notes,
9.125% due 12/15/10 (d) 541,250
15,000 B+ Wheeling Island Gaming, Notes, 10.125% due 12/15/09 16,275
- ----------------------------------------------------------------------------------------------------
1,502,878
- ----------------------------------------------------------------------------------------------------
Industrial Goods & Services -- 0.0%
20,000/EUR/ B Flowserve Finance B.V., Sr. Sub. Notes, 12.250% due 8/15/10 27,067
- ----------------------------------------------------------------------------------------------------
Manufacturing -- 1.6%
35,000 NR Advanced Glassfiber Yarns/AGY Capital Corp., Sr. Sub. Notes,
9.875% due 1/15/09 (f) 1,925
140,000 B Dresser Inc., Sr. Sub. Notes, 9.375% due 4/15/11 151,900
Invensys PLC:
35,000/EUR/ B- Medium-Term Notes, Series E, 5.500% due 4/1/05 43,280
40,000 B- Notes, 7.125% due 1/15/07 (d) 40,450
25,000 B- Sr. Notes, 6.500% due 1/15/10 (a)(d) 23,125
850,000 Baa3* Jabil Circuit Inc., Sr. Notes, 5.875% due 7/15/10 883,967
10,000 BBB- Louisiana Pacific Corp., Sr. Notes, 8.875% due 8/15/10 12,050
280,000 B- Samsonite Corp., Sr. Sub. Notes, 10.750% due 6/15/08 292,600
- ----------------------------------------------------------------------------------------------------
1,449,297
- ----------------------------------------------------------------------------------------------------
Metals/Mining -- 3.4%
250,000 B+ CSN Islands VIII Corp., Sr. Notes, 9.750% due 12/16/13 (d) 226,250
Compass Minerals International, Inc., Series B:
60,000 B- Sr. Discount Notes, step bond to yield 12.491% due 12/15/12 48,900
90,000 B- Sr. Sub. Discount Notes, step bond to yield
11.994% due 6/1/13 68,850
7,180 NR Doe Run Resources Corp., Notes, Series AI,
11.750% due 11/1/08 (g) 3,985
113,000 B2* Earle M. Jorgensen Co., Secured Notes, 9.750% due 6/1/12 127,125
350,000 B- Ispat Inland ULC, Sr. Secured Notes, 9.750% due 4/1/14 (d) 358,750
500,000 BBB Kennametal Inc., Sr. Notes, 7.200% due 6/15/12 533,879
155,000 B+ Steel Dynamics, Inc., Sr. Notes, 9.500% due 3/15/09 (a) 173,988
500,000 BBB- Timken Co., Notes, 5.750% due 2/15/10 507,350
84,000 B Trimas Corp., Sr. Sub. Notes, 9.875% due 6/15/12 91,140
1,000,000 Ba2* Vale Overseas Limited, First Mortgage Notes, Series B,
9.000% due 8/15/13 1,048,750
See Notes to Financial Statements.
30 Travelers Series Fund Inc. | 2004 Semi-Annual Report
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) APRIL 30, 2004
PIONEER STRATEGIC INCOME PORTFOLIO
FACE
AMOUNT+ RATING(c) SECURITY VALUE
- --------------------------------------------------------------------------------------------------
Metals/Mining -- 3.4% (continued)
Wheeling-Pittsburgh Corp., Sr. Notes:
4,010 NR 6.000% due 7/30/10 (f) $ 2,506
8,021 NR 5.000% due 7/30/11 (f) 5,013
- --------------------------------------------------------------------------------------------------
3,196,486
- --------------------------------------------------------------------------------------------------
Packaging/Containers -- 1.5%
Crown Euro Holdings, S.A., Secured 2nd Lien Notes:
200,000 B+ 9.500% due 3/1/11 225,250
750,000/EUR/ B+ 10.250% due 3/1/11 1,010,518
30,000 B 10.875% due 3/1/13 35,100
70,000 B Stone Container Finance Corp., Sr. Notes,
11.500% due 8/15/06 (d) 71,925
- --------------------------------------------------------------------------------------------------
1,342,793
- --------------------------------------------------------------------------------------------------
Paper/Forestry Products -- 1.0%
1,000 BB Abitibi Consolidated Inc., Notes, 7.875% due 8/1/09 1,056
950,000 BB Bowater Inc., Sr. Notes, 6.500% due 6/15/13 (a) 923,875
20,000 BB- Tembec Industries Inc., Sr. Notes, 7.750% due 3/15/12 19,600
- --------------------------------------------------------------------------------------------------
944,531
- --------------------------------------------------------------------------------------------------
Publishing -- 0.9%
110,000 B+ Garden State Newspapers, Inc., Sr. Sub. Notes,
8.625% due 7/1/11 116,050
670 B- Hollinger Participation Trust, Sr. Notes,
12.125% due 11/15/10 (d)(g) 783
506,000 B- Vertis Inc., Sr. Notes, Series B, 10.875% due 6/15/09 533,830
Von Hoffman Corp.:
43,840 NR Debentures, 13.500% due 5/15/09 (g) 39,894
130,000 B Sr. Notes, 10.250% due 3/15/09 135,850
30,000 B- Von Hoffman Press, Inc., Notes, 10.375% due 5/15/07 30,225
- --------------------------------------------------------------------------------------------------
856,632
- --------------------------------------------------------------------------------------------------
Real Estate -- 0.7%
470,000 B+ B.F. Saul REIT, Sr. Notes, 7.500% due 3/1/14 (d) 473,525
150,000 B+ Crescent Real Estate Equities, L.P., Sr. Notes,
9.250% due 4/15/09 166,500
- --------------------------------------------------------------------------------------------------
640,025
- --------------------------------------------------------------------------------------------------
Retail -- 1.2%
J.C. Penney Co., Inc., Debentures:
26,000 BB+ 7.650% due 8/15/16 29,380
130,000 BB+ 7.950% due 4/1/17 149,500
450,000 BB+ 7.125% due 11/15/23 488,250
350,000 BB Toys "R" Us, Notes, 7.375% due 10/15/18 336,875
85,000 B United Auto Group, Inc., Sr. Sub. Notes, 9.625% due 3/15/12 95,413
- --------------------------------------------------------------------------------------------------
1,099,418
- --------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
31 Travelers Series Fund Inc. | 2004 Semi-Annual Report
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) APRIL 30, 2004
PIONEER STRATEGIC INCOME PORTFOLIO
FACE
AMOUNT+ RATING(c) SECURITY VALUE
- ------------------------------------------------------------------------------------------------------
Technology -- 0.0%
440,000 NR Cybernet Internet Services International, Inc., Convertible Sr.
Discount Notes, step bond to yield 12.995% due 8/15/09 (d) $ 440
19,319 NR Globix Corp., Sr. Notes, 11.000% due 5/1/08 (h) 17,484
156,000 NR Verado Holdings, Inc., Sr. Discount Notes,
13.000% due 4/15/08 (f) 16
- ------------------------------------------------------------------------------------------------------
17,940
- ------------------------------------------------------------------------------------------------------
Telecommunications -- 6.7%
Alamosa Delaware, Inc.:
400,000 Caa1* Sr. Discount Notes, step bond to yield 10.811% due 7/31/09 378,000
Sr. Notes:
91,000 CCC 11.000% due 7/31/10 99,190
200,000 CCC 8.500% due 1/31/12 (d) 194,500
90,000 NR Asia Global Crossing Ltd., Sr. Notes, 13.375% due 10/15/10 (f) 9,000
183,243 NR COLO.COM Inc., Sr. Notes, 13.875% due 3/15/10 (d)(f) 18
Colt Telecom Group PLC, Sr. Notes:
30,000/GBP/ B- 10.125% due 11/30/07 54,024
15,000/EUR/ B- 7.625% due 12/15/09 18,263
700,000 BB+ Corning Inc., Notes, 5.900% due 3/15/14 684,250
500,000 B+ GCI Inc., Sr. Notes, 7.250% due 2/15/14 (d) 487,500
20,000 D Horizon PCS, Inc., Sr. Notes, 13.750% due 6/15/11 (f) 6,000
345,000 B+ Innova S. de R.L., Notes, 9.375% due 9/19/13 376,481
15,000 B+ Insight Midwest L.P./Insight Capital Inc., Sr. Notes,
9.750% due 10/1/09 (a) 15,900
190,000 NR iPCS, Inc., Sr. Discount Notes, step bond to yield
14.115% due 7/15/10 (f) 78,850
73,000 Ca* IWO Holdings, Inc., Sr. Notes, 14.000% due 1/15/11 (a) 26,645
MCI Inc., Sr. Notes:
20,056 NR 5.908% due 5/1/07 (a) 19,930
20,056 NR 6.688% due 5/1/09 (a) 19,153
17,191 NR 7.735% due 5/1/14 (a) 16,030
500,000 B3* MetroPCS Inc., Sr. Notes, 10.750% due 10/1/11 530,000
3,000 NR Millicom International Cellular S.A., Convertible Notes,
2.000% due 6/1/06 (d) 27,034
500,000 B- MobiFon Holdings BV, Sr. Notes, 12.500% due 7/31/10 572,500
360,000 BB- Mobile TeleSystems, Notes, 8.375% due 10/14/10 (d) 349,200
190,000 BB Nextel Communications, Inc., Convertible Notes,
6.000% due 6/1/11 204,250
550,000 B- Nortel Networks Corp., Convertible Notes, 4.250% due 9/1/08 518,375
10,000 BB- Rogers Communications Inc., Convertible Sr. Debentures,
2.000% due 11/26/05 9,413
30,000 CCC Rural Cellular Corp., Sr. Sub. Notes, Series B,
9.625% due 5/15/08 (a) 28,500
See Notes to Financial Statements.
32 Travelers Series Fund Inc. | 2004 Semi-Annual Report
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) APRIL 30, 2004
PIONEER STRATEGIC INCOME PORTFOLIO
FACE
AMOUNT+ RATING(c) SECURITY VALUE
- ------------------------------------------------------------------------------------------------------
Telecommunications -- 6.7% (continued)
200,000 Baa3* Tele Norte Celular Participacoes S.A., Sr. Notes,
8.000% due 12/18/13 (d) $ 181,000
650,000/EUR/ BBB+ Telecom Italia S.p.A., Medium-Term Notes,
6.250% due 2/1/12 (d) 853,192
21,000 BBB TeleCorp PCS, Inc., Sr. Sub. Notes, 10.625% due 7/15/10 23,981
20,688 NR Telex Communications Intermediate Holdings, Inc.,
Sr. Sub. Notes, zero coupon due 1/15/09 13,551
60,000 B- TSI Telecommunication Services, Inc., Sr. Sub. Notes, Series B,
12.750% due 2/1/09 (a) 65,700
UbiquiTel Operating Co.:
300,000 Caa1* Sr. Notes, 9.875% due 3/1/11 (d) 301,500
77,000 Caa1* Sr. Sub. Discount Notes, step bond to yield
16.796% due 5/15/10 75,845
- ------------------------------------------------------------------------------------------------------
6,237,775
- ------------------------------------------------------------------------------------------------------
Transportation -- 0.1%
60,000 B+ Hornbeck Offshore Services, Inc., Sr. Notes,
10.625% due 8/1/08 66,150
- ------------------------------------------------------------------------------------------------------
Utilities -- 1.1%
The AES Corp.:
15,096 BB Secured Notes, 10.000% due 7/15/05 (a)(d) 15,549
7,000 B- Sr. Notes, 8.750% due 6/15/08 7,315
30,000 CCC Mission Energy Holding Co., Sr. Secured Notes,
13.500% due 7/15/08 33,075
350,000 Ba2* MSW Energy Holdings II, LLC/ MSW Energy Finance Co., Inc.
Sr. Secured Notes, Series B, 7.375% due 9/1/10 (d) 364,000
29 Baa1* Northeast Utilities, Notes, Series A, 8.580% due 12/1/06 31
Reliant Resources, Inc., Sr. Secured Notes:
200,000 B1* 9.250% due 7/15/10 215,000
200,000 B1* 9.500% due 7/15/13 218,000
5,000 BB Sierra Pacific Power Co., General and Refunding
Mortgage Bonds, Series A, 8.000% due 6/1/08 5,400
Southern California Edison Co.:
160,000 BBB First and Refunding Mortgage Notes, 8.000% due 2/15/07 179,511
20,000 BBB- Notes, 6.375% due 1/15/06 21,159
51,032 D York Power Funding, Secured Bonds,
12.000% due 10/30/07 (d)(f) 5
- ------------------------------------------------------------------------------------------------------
1,059,045
- ------------------------------------------------------------------------------------------------------
TOTAL CORPORATE BONDS
(Cost -- $48,904,772) 49,228,126
- ------------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
33 Travelers Series Fund Inc. | 2004 Semi-Annual Report
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) APRIL 30, 2004
PIONEER STRATEGIC INCOME PORTFOLIO
FACE
AMOUNT+ RATING(c) SECURITY VALUE
- ------------------------------------------------------------------------------------------------------
LOAN PARTICIPATIONS (j) -- 1.4%
360,000 BBB- Empresa Electrica Guacolda S.A., Sr. Notes,
8.625% due 4/30/13 (Credit Suisse First Boston) (d) $ 389,181
Gazprom OAO:
50,000 BB- 9.625% due 3/1/13 (Morgan Stanley Bank AG) (d) 51,753
800,000 Ba2* 8.625% due 4/28/34 (Gaz Capital) (d) 776,000
36,164 B2* Olympus Cable Holdings, Term Loans, Tranche B,
6.000% due 9/30/10 (e) 35,531
- ------------------------------------------------------------------------------------------------
TOTAL LOAN PARTICIPATIONS
(Cost -- $1,273,228) 1,252,465
- ------------------------------------------------------------------------------------------------
SHARES SECURITY VALUE
- ------------------------------------------------------------------------------------------------------
COMMON STOCK -- 0.3%
Cable -- 0.0%
49 KNOLOGY, Inc. (a)(i) 390
- ------------------------------------------------------------------------------------------------
Chemicals -- 0.0%
35 Sterling Chemicals, Inc. (i) 897
- ------------------------------------------------------------------------------------------------
Consumer Products and Services -- 0.0%
20,000 Loewen Group, Inc. (i) 2
- ------------------------------------------------------------------------------------------------
Financial Services -- 0.1%
150,00 Amresco Inc., Liquidating Trust Shares 11,100
5,666 Conseco, Inc. (a)(i) 112,187
845,262 Contifinancial Corp. Liquidating Trust, Units of Interest (i) 14,792
- ------------------------------------------------------------------------------------------------
138,079
- ------------------------------------------------------------------------------------------------
Food & Beverage -- 0.1%
308 Archibald Candy Corp. (i) 878
22 PSF Group Holdings Inc. LLC, Class A Shares (i) 38,552
- ------------------------------------------------------------------------------------------------
39,430
- ------------------------------------------------------------------------------------------------
Metals/Mining -- 0.0%
686 Wheeling-Pittsburgh Corp. (a)(i) 11,662
- ------------------------------------------------------------------------------------------------
Technology -- 0.0%
83 Comdisco Holding Co., Inc. (a)(i) 2,864
- ------------------------------------------------------------------------------------------------
Telecommunications -- 0.1%
2 Arch Wireless Inc., Class A Shares (a)(i) 68
563 Birch Telecom, Inc. (i) 1,948
35 Cincinnati Bell Inc. (a)(i) 138
15,125 Dobson Communications Corp., Class A Shares (i) 54,147
9 Leucadia National Corp. 443
1,002 MCI Inc. (i) 14,215
666 Microcell Telecommunications Inc., Class B Shares (i) 12,047
- ------------------------------------------------------------------------------------------------
83,006
- ------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
34 Travelers Series Fund Inc. | 2004 Semi-Annual Report
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) APRIL 30, 2004
PIONEER STRATEGIC INCOME PORTFOLIO
SHARES SECURITY VALUE
- -------------------------------------------------------------------------------------------
Utilities -- 0.0%
337 York Research Corp. (i) $ 3
- -------------------------------------------------------------------------------------------
TOTAL COMMON STOCK
(Cost -- $563,410) 276,333
- -------------------------------------------------------------------------------------------
PREFERRED STOCK -- 0.5%
Broadcasting -- 0.0%
1 PTV, Inc., 10.000% Cumulative, Series A (a) 8
- -------------------------------------------------------------------------------------------
Food & Beverage -- 0.2%
3,000 Doane Pet Care Co., 14.250% Sr. Exchangeable 144,750
- -------------------------------------------------------------------------------------------
Industrial Goods & Services -- 0.0%
1 North Atlantic Trading Co., Inc 12.000% Sr. Exchangeable (g) 19
- -------------------------------------------------------------------------------------------
Metals/Mining -- 0.0%
180 Weirton Steel Corp., zero coupon Convertible, Series C 270
- -------------------------------------------------------------------------------------------
Telecommunications -- 0.3%
140 Alamosa Holdings, Inc., 7.500% Convertible, Series B 75,396
235 Dobson Communications Corp., 6.000% Convertible, Series F (d) 28,011
3,061 Rural Cellular Corp., 12.500% Jr. Exchangeable (g) 215,032
1,417 Telex Communications, Inc., Variable Rate Convertible, Series B (e) 14
- -------------------------------------------------------------------------------------------
318,453
- -------------------------------------------------------------------------------------------
TOTAL PREFERRED STOCK
(Cost -- $905,251) 463,500
- -------------------------------------------------------------------------------------------
WARRANTS SECURITY VALUE
- -------------------------------------------------------------------------------------------
WARRANTS (j) -- 0.0%
Broadcasting -- 0.0%
100 XM Satellite Radio Holdings Inc., Expire 3/15/10 (d) 3,750
- -------------------------------------------------------------------------------------------
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 2,643
258 Series B 2,496
138 Series C 1,277
- -------------------------------------------------------------------------------------------
6,418
- -------------------------------------------------------------------------------------------
Business Services -- 0.0%
42 JSG Funding PLC, Expire 10/1/13 (d) 546
- -------------------------------------------------------------------------------------------
Food & Beverage -- 0.0%
750 TravelCenters of America, Inc., Expire 5/1/09 4,125
- -------------------------------------------------------------------------------------------
See Notes to Financial Statements.
35 Travelers Series Fund Inc. | 2004 Semi-Annual Report
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) APRIL 30, 2004
PIONEER STRATEGIC INCOME PORTFOLIO
WARRANTS SECURITY VALUE
- -----------------------------------------------------------------------------------------------
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) 1
- ----------------------------------------------------------------------------------------------
Telecommunications -- 0.0%
140 American Tower Corp., Expire 8/1/08 (d) 22,330
Microcell Telecommunications Inc.:
205 Expire 5/1/05 824
342 Expire 5/1/08 1,821
310 UbiquiTel Inc., Expire 4/15/10 (d) 3
- ----------------------------------------------------------------------------------------------
24,978
- ----------------------------------------------------------------------------------------------
TOTAL WARRANTS
(Cost -- $101,359) 39,819
- ----------------------------------------------------------------------------------------------
TOTAL HIGH YIELD SECTOR
(Cost -- $51,748,020) 51,260,243
- ----------------------------------------------------------------------------------------------
FACE
AMOUNT++ RATING(a) SECURITY VALUE
- -----------------------------------------------------------------------------------------------
FOREIGN BONDS -- 18.8%
Brazil -- 1.1%
Federal Republic of Brazil:
284,051/EUR/ B+ Banco Nacional de Desenvolvimento Economico e Social,
Notes, 8.000% due 4/28/10 315,765
105,550/USD/ B+ Capitalization Bonds, 8.000% due 4/15/14 97,172
174,118/USD/ B+ Debt Conversion Bonds, 2.125% due 4/15/12 (e) 145,824
Global Bonds:
290,000/USD/ B+ 10.125% due 5/15/27 255,562
66,000/USD/ B+ Series B, 8.875% due 4/15/24 53,130
Global Notes:
100,000/USD/ B+ 10.000% due 1/16/07 104,875
30,000/USD/ B+ 10.000% due 8/7/11 29,175
- ----------------------------------------------------------------------------------------------
1,001,503
- ----------------------------------------------------------------------------------------------
Canada -- 5.2%
Government of Canada, Bonds:
2,286,000 AAA 5.750% due 9/1/06 (b) 1,779,412
330,000 AAA 5.500% due 6/1/10 258,507
1,000,000 AAA 5.250% due 6/1/12 767,578
3,000,000/AUD/ AA Province of Ontario, Medium-Term Notes, Series E,
5.500% due 4/23/13 (b) 2,038,342
- ----------------------------------------------------------------------------------------------
4,843,839
- ----------------------------------------------------------------------------------------------
See Notes to Financial Statements.
36 Travelers Series Fund Inc. | 2004 Semi-Annual Report
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) APRIL 30, 2004
PIONEER STRATEGIC INCOME PORTFOLIO
FACE
AMOUNT++ RATING(a) SECURITY VALUE
- ------------------------------------------------------------------------------------------------------
Colombia -- 1.5%
Republic of Colombia:
Global Bonds:
50,000/USD/ BB 9.750% due 4/23/09 $ 54,500
645,654/USD/ BB+ 9.750% due 4/9/11 719,905
135,000/USD/ BB 10.375% due 1/28/33 136,350
485,000/USD/ BB Global Notes, 10.750% due 1/15/13 534,713
- ------------------------------------------------------------------------------------------------------
1,445,468
- ------------------------------------------------------------------------------------------------------
Dominican Republic -- 0.3%
350,000/USD/ B3* Dominican Republic, Notes, 9.040% due 1/23/13 (d) 259,000
- ------------------------------------------------------------------------------------------------------
Ecuador -- 0.3%
395,000/USD/ CCC+ Republic of Ecuador, Euro-Dollar Bonds, 7.000% due 8/15/30 (d) 277,981
- ------------------------------------------------------------------------------------------------------
France -- 1.5%
1,080,950/EUR/ AAA French Republic, Bonds, Series OATi, 3.000% due 7/25/09 1,395,916
- ------------------------------------------------------------------------------------------------------
Mexico -- 0.6%
United Mexican States:
Global Notes:
230,000/USD/ Baa2* 4.625% due 10/8/08 230,000
144,000/USD/ Baa2* 7.500% due 1/14/12 158,400
200,000/USD/ Baa2* Medium-Term Notes, 8.300% due 8/15/31 215,500
- ------------------------------------------------------------------------------------------------------
603,900
- ------------------------------------------------------------------------------------------------------
The Netherlands -- 0.2%
130,000/EUR/ AAA Kingdom of the Netherlands, Bonds,
5.000% due 7/15/12 165,979
- ------------------------------------------------------------------------------------------------------
New Zealand -- 0.7%
970,000 AAA Government of New Zealand, Bonds, Series 709,
7.000% due 7/15/09 631,745
- ------------------------------------------------------------------------------------------------------
Norway -- 1.4%
8,045,000 /NOK/ AAA Kingdom of Norway, Bonds, 6.750% due 1/15/07 1,276,303
- ------------------------------------------------------------------------------------------------------
Peru -- 0.8%
Republic of Peru:
FLIRB Bonds:
495,000/USD/ BB- 4.500% due 3/7/17 (e) 418,275
115,000/USD/ BB- 4.500% due 3/17/17 (d)(e) 97,175
241,150/USD/ BB- PDI Bonds, 5.000% due 3/7/17 (e) 213,418
- ------------------------------------------------------------------------------------------------------
728,868
- ------------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
37 Travelers Series Fund Inc. | 2004 Semi-Annual Report
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) APRIL 30, 2004
PIONEER STRATEGIC INCOME PORTFOLIO
FACE
AMOUNT++ RATING(a) SECURITY VALUE
- ----------------------------------------------------------------------------------------------
Russia -- 1.3%
Russian Federation:
1,197,500/USD/ Baa3* Bonds, 5.000% due 3/31/30 (d) $ 1,099,455
Euro-Dollar Bonds:
60,000/USD/ Baa3* 8.250% due 3/31/10 (d) 65,325
70,000/USD/ Baa3* 5.000% due 3/31/30 (d) 64,269
- -------------------------------------------------------------------------------------------
1,229,049
- -------------------------------------------------------------------------------------------
South Africa -- 1.1%
900,000/EUR/ BBB Republic of South Africa, Global Bonds,
5.250% due 5/16/13 1,051,919
- -------------------------------------------------------------------------------------------
Sweden -- 2.7%
Kingdom of Sweden, Bonds:
5,020,000 AAA Series 1045, 5.250% due 3/15/11 694,629
12,740,000 AAA Series 1046, 5.500% due 10/8/12 (b) 1,786,075
- -------------------------------------------------------------------------------------------
2,480,704
- -------------------------------------------------------------------------------------------
Ukraine -- 0.1%
53,201/USD/ B1* Government of Ukraine, Sr. Notes, 11.000% due 3/15/07 58,255
- -------------------------------------------------------------------------------------------
TOTAL FOREIGN BONDS
(Cost -- $15,912,197) 17,450,429
- -------------------------------------------------------------------------------------------
See Notes to Financial Statements.
38 Travelers Series Fund Inc. | 2004 Semi-Annual Report
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) APRIL 30, 2004
PIONEER STRATEGIC INCOME PORTFOLIO
RIGHTS SECURITY VALUE
- --------------------------------------------------------------------------------------
FOREIGN RIGHTS (i) -- 0.0%
Mexico -- 0.0%
United Mexican States, Value Recovery Rights:
250,000 Series B, Expire 6/30/04 $ 1,250
250,000 Series C, Expire 6/30/05 5,000
250,000 Series D, Expire 6/30/06 3,750
250,000 Series E, Expire 6/30/07 2,500
- --------------------------------------------------------------------------------------
TOTAL FOREIGN RIGHTS
(Cost -- $0) 12,500
- --------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0%
(Cost -- $92,389,694***) $92,694,052
- --------------------------------------------------------------------------------------
FACE
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------------
LOANED SECURITIES COLLATERAL
$7,138,279 State Street Navigator Securities Lending Trust Prime Portfolio
(Cost -- $7,138,279) $ 7,138,279
- --------------------------------------------------------------------------------------
+ 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 (Note 6).
(b) All or a portion of this security is segregated for open forward foreign
currency contracts.
(c) All ratings are by Standard & Poor's Ratings Services, except for those
which are identified by an asterisk (*), are rated by Moody's Investors
Service and those which are identify by a double asterisk (**), are rated
by Fitch Ratings.
(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. This security has
been deemed liquid pursuant to guidelines approved by the Board of
Directors.
(e) Variable rate security.
(f) Security is currently in default.
(g) Payment-in-Kind security for which all or part of the income earned may be
paid as additional principal.
(h) Security issued with attached warrants.
(i) Non-income producing security.
(j) Participation interests were acquired through the financial institutions
indicated parenthetically.
*** Aggregate cost for Federal income tax purposes is substantially the same.
Abbreviations used in this schedule:
AUD -- Australian Dollar
DKK -- Danish Krone
EUR -- Euro
FLIRB -- Front Loaded Interest Reduction Bond
GBP -- British Pound
NOK -- Norwegian Krone
PDI -- Past Due Interest
USD -- United States Dollar
See pages 40 and 41 for definitions of ratings.
See Notes to Financial Statements.
39 Travelers Series Fund Inc. | 2004 Semi-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.
40 Travelers Series Fund Inc. | 2004 Semi-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.
41 Travelers Series Fund Inc. | 2004 Semi-Annual Report
STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED) APRIL 30, 2004
Pioneer
Smith Barney Strategic
High Income Income
Portfolio Portfolio
- -------------------------------------------------------------------------------------------------
ASSETS:
Investments, at value (Cost -- $241,348,547 and
$92,389,694, respectively) $ 255,170,107 $ 92,694,052
Loaned securities collateral, at value
(Cost -- $7,138,279) (Note 6) -- 7,138,279
Foreign currency, at value (Cost -- $935,858) -- 924,902
Cash 727 --
Dividends and interest receivable 5,685,448 1,545,762
Receivable for securities sold 250,234 488,938
Receivable for open forward currency contracts (Note 4) -- 2,973
Other assets -- 5,922
Prepaid expenses 152 150
Other receivables 56,380 --
- ------------------------------------------------------------------------------------------------
Total Assets 261,163,048 102,800,978
- ------------------------------------------------------------------------------------------------
LIABILITIES:
Payable for securities purchased 232,069 401,057
Management fees payable 131,486 59,300
Payable for Fund shares reacquired 119,413 6,868
Payable for loaned securities collateral (Note 6) -- 7,138,279
Bank overdraft -- 235,542
Payable for open forward foreign currency contracts (Note 4) -- 4,884
Accrued expenses 71,557 48,845
- ------------------------------------------------------------------------------------------------
Total Liabilities 554,525 7,894,775
- ------------------------------------------------------------------------------------------------
Total Net Assets $ 260,608,523 $ 94,906,203
- ------------------------------------------------------------------------------------------------
NET ASSETS:
Par value of capital shares $ 345 $ 104
Capital paid in excess of par value 339,583,476 122,184,111
Undistributed net investment income 8,427,205 1,642,470
Accumulated net realized loss from investment transactions (101,224,059) (29,207,456)
Net unrealized appreciation of investments and foreign currencies 13,821,556 286,974
- ------------------------------------------------------------------------------------------------
Total Net Assets $ 260,608,523 $ 94,906,203
- ------------------------------------------------------------------------------------------------
Shares Outstanding 34,456,800 10,440,477
- ------------------------------------------------------------------------------------------------
Net Asset Value $7.56 $9.09
- ------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
42 Travelers Series Fund Inc. | 2004 Semi-Annual Report
STATEMENTS OF OPERATIONS (UNAUDITED)
For the Six Months Ended April 30, 2004
Pioneer
Smith Barney Strategic
High Income Income
Portfolio Portfolio
- ---------------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest $11,210,928 $ 3,530,744
Dividends 46,993 40,834
- --------------------------------------------------------------------------------------
Total Investment Income 11,257,921 3,571,578
- --------------------------------------------------------------------------------------
EXPENSES:
Management fees (Note 2) 773,762 369,569
Custody 30,820 29,727
Shareholder communications 24,052 18,366
Audit and legal 16,175 30,124
Directors' fees 5,698 3,007
Transfer agency services 2,516 2,501
Other 2,401 2,007
- --------------------------------------------------------------------------------------
Total Expenses 855,424 455,301
- --------------------------------------------------------------------------------------
Net Investment Income 10,402,497 3,116,277
- --------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCIES
(NOTES 3 AND 4):
Realized Gain From:
Investment transactions 2,063,748 2,468,085
Foreign currency transactions 323 64,070
- --------------------------------------------------------------------------------------
Net Realized Gain 2,064,071 2,532,155
- --------------------------------------------------------------------------------------
Change in Net Unrealized Appreciation (Depreciation) From:
Investments 2,089,550 (1,289,147)
Foreign currencies (307) (27,143)
- --------------------------------------------------------------------------------------
Change in Net Unrealized Appreciation 2,089,243 (1,316,290)
- --------------------------------------------------------------------------------------
Net Gain on Investments and Foreign Currencies 4,153,314 1,215,865
- --------------------------------------------------------------------------------------
Increase in Net Assets From Operations $14,555,811 $ 4,332,142
- --------------------------------------------------------------------------------------
See Notes to Financial Statements.
43 Travelers Series Fund Inc. | 2004 Semi-Annual Report
STATEMENTS OF CHANGES IN NET ASSETS
For the Six Months Ended April 30, 2004 (unaudited)
and the Year Ended October 31, 2003
Smith Barney High Income Portfolio 2004 2003
- -------------------------------------------------------------------------------
OPERATIONS:
Net investment income $ 10,402,497 $ 18,580,175
Net realized gain (loss) 2,064,071 (3,862,317)
Increase in net unrealized appreciation 2,089,243 36,429,889
- ------------------------------------------------------------------------------
Increase in Net Assets From Operations 14,555,811 51,147,747
- ------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (17,859,204) (20,588,597)
- ------------------------------------------------------------------------------
Decrease in Net Assets From Distributions to
Shareholders (17,859,204) (20,588,597)
- ------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS (NOTE 8):
Net proceeds from sale of shares 28,006,924 62,010,341
Net asset value of shares issued for reinvestment 17,859,204
of dividends 20,588,597
Cost of shares reacquired (18,549,140) (31,197,259)
- ------------------------------------------------------------------------------
Increase in Net Assets From Fund Share
Transactions 27,316,988 51,401,679
- ------------------------------------------------------------------------------
Increase in Net Assets 24,013,595 81,960,829
NET ASSETS:
Beginning of period 236,594,928 154,634,099
- ------------------------------------------------------------------------------
End of period* $260,608,523 $236,594,928
- ------------------------------------------------------------------------------
* Includes undistributed net investment income of: $8,427,205 $15,883,589
- ------------------------------------------------------------------------------
See Notes to Financial Statements.
44 Travelers Series Fund Inc. | 2004 Semi-Annual Report
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
For the Six Months Ended April 30, 2004 (unaudited)
and the Year Ended October 31, 2003
Pioneer Strategic Income Portfolio 2004 2003
- -------------------------------------------------------------------------------
OPERATIONS:
Net investment income $ 3,116,277 $ 7,141,566
Net realized gain (loss) 2,532,155 (39,056)
Increase (decrease) in net unrealized appreciation (1,316,290) 11,776,220
- -------------------------------------------------------------------------------
Increase in Net Assets From Operations 4,332,142 18,878,730
- -------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (8,542,499) (11,472,635)
- -------------------------------------------------------------------------------
Decrease in Net Assets From Distributions to
Shareholders (8,542,499) (11,472,635)
- -------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS (NOTE 8):
Net proceeds from sale of shares 2,144,406 4,101,224
Net asset value of shares issued for reinvestment 8,542,499
of dividends 11,472,635
Cost of shares reacquired (12,058,747) (19,986,029)
- -------------------------------------------------------------------------------
Decrease in Net Assets From Fund Share
Transactions (1,371,842) (4,412,170)
- -------------------------------------------------------------------------------
Increase (Decrease) in Net Assets (5,582,199) 2,993,925
NET ASSETS:
Beginning of period 100,488,402 97,494,477
- -------------------------------------------------------------------------------
End of period* $ 94,906,203 $100,488,402
- -------------------------------------------------------------------------------
* Includes undistributed net investment income of: $1,642,470 $7,004,622
- -------------------------------------------------------------------------------
See Notes to Financial Statements.
45 Travelers Series Fund Inc. | 2004 Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1. Significant Accounting Policies
The Smith Barney High Income Portfolio and Pioneer Strategic 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 Portfolio, Strategic Equity
Portfolio, Van Kampen Enterprise Portfolio, Smith Barney Large Cap Value
Portfolio, Smith Barney International All Cap Growth Portfolio, Travelers
Managed Income Portfolio, Salomon Brothers Total Return Strategic Bond
Portfolio, SB Adjustable Rate Income Portfolio, MFS Total Return Portfolio,
Smith Barney Money Market Portfolio, Smith Barney Large Capitalization Growth
Portfolio, Smith Barney Mid Cap Core Portfolio and Smith Barney Aggressive
Growth Portfolio. 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 following are significant accounting policies consistently followed by the
Funds and are in conformity with generally accepted accounting principles
("GAAP"): (a) security transactions are accounted for on trade date; (b)
securities traded on national securities markets are valued at the closing
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 ) gains or losses on the sale of securities are calculated by using
46 Travelers Series Fund Inc. | 2004 Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
the specific identification method; ( g) interest income, adjusted for
amortization of premium and accretion of discount, is recorded on an accrual
basis; (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 U.S. generally accepted accounting principles; (k) the Funds
intend to comply with the applicable provisions of the Internal Revenue Code of
1986, as amended, pertaining to regulated investment companies and to make
distributions of taxable income sufficient to relieve 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.
47 Travelers Series Fund Inc. | 2004 Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (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 six months ended April 30, 2004, each Fund paid transfer agent fees of
$2,500 to CTB.
During the six months ended April 30, 2004, Citigroup Global Markets Inc.
("CGM"), another indirect wholly-owned subsidiary of Citigroup, did not receive
any brokerage commissions.
48 Travelers Series Fund Inc. | 2004 Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
Most of the officers and one Director of the Company are employees of Citigroup
or its affiliates.
3. Investments
During the six months ended April 30, 2004, the aggregate cost of purchases and
proceeds from sales of investments (including maturities of long-term
investments, but excluding short-term investments) were as follows:
SBHI PSIP
------------------------------------------------------------------------------
Purchases $58,535,288 $25,693,764
------------------------------------------------------------------------------
Sales 35,070,784 29,794,433
------------------------------------------------------------------------------
At April 30, 2004, the aggregate gross unrealized appreciation and depreciation
of investments for Federal income tax purposes were substantially as follows:
SBHI PSIP
-----------------------------------------------------------------------------
Gross unrealized appreciation $21,215,866 $ 4,741,002
Gross unrealized depreciation (7,394,306) (4,436,644)
-----------------------------------------------------------------------------
Net unrealized appreciation $13,821,560 $ 304,358
-----------------------------------------------------------------------------
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.
49 Travelers Series Fund Inc. | 2004 Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
At April 30, 2004, PSIP had open forward currency contracts as described below.
The unrealized gain (loss) on the contracts reflected in the accompanying
financial statements were as follows:
Local Market Settlement Unrealized
Foreign Currency Currency Value Date Gain (Loss)
--------------------------------------------------------------------------
Contracts to Buy:
Japanese Yen 66,000,000 $ 598,016 5/6/04 $ 1,325
--------------------------------------------------------------------------
Contracts to Sell:
Euro 1,170,000 1,400,521 5/19/04 (31)
Euro 300,000 359,108 5/19/04 1,648
Euro 700,000 837,918 5/19/04 (3,070)
Euro 400,000 478,411 5/19/04 (1,783)
--------------------------------------------------------------------------
(3,236)
--------------------------------------------------------------------------
Total Unrealized Loss on Open
Forward Foreign Currency
Contracts $(1,911)
--------------------------------------------------------------------------
At April 30, 2004, SBHI did not have any open forward foreign currency
contracts.
5. Repurchase Agreements
When entering into repurchase agreements, it is the Funds' policy that a
custodian takes possession of the underlying collateral securities, the value
of which at least equals the principal amount of the repurchase transaction,
including accrued interest. To the extent that any repurchase transaction
exceeds one business day, the value of the collateral is marked-to-market to
ensure the adequacy of the collateral. If the seller defaults and the value of
the collateral declines or if bankruptcy proceedings are commenced with respect
to the seller of the security, realization of the collateral by the Funds may
be delayed or limited.
6. Lending of Portfolio Securities
The Funds have an agreement with their custodian whereby the custodian may lend
securities owned by the Funds to brokers, dealers and other financial
organizations. Fees earned by the Funds on securities lending are recorded as
interest income. Loans of securities by the Funds are collateralized by cash,
U.S. government securities 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
50 Travelers Series Fund Inc. | 2004 Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
loaned. The Funds maintain exposure for the risk of any losses in the
investment of amounts received as collateral.
At April 30, 2004, PSIP loaned securities having a market value of $6,981,185.
PSIP received cash collateral amounting to $7,138,279, which was invested into
the State Street Navigator Securities Lending Trust Prime Portfolio.
Income earned by PSIP from securities lending for the six months ended April
30, 2004 was $9,699.
At April 30, 2004, SBHI did not have any securities on loan.
7. 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
agreement 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 April 30, 2004, PSIP held loan participations with a total cost of
$1,273,228.
At April 30, 2004, SBHI did not hold any loan participations.
8. Capital Shares
At April 30, 2004, 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.
51 Travelers Series Fund Inc. | 2004 Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
Transactions in shares of each Fund were as follows:
Six Months Ended Year Ended
April 30, 2004 October 31, 2003
- -------------------------------------------------------------------------------
Smith Barney High Income Portfolio
Shares sold 3,636,245 8,846,534
Shares issued on reinvestment 2,406,900 3,294,176
Shares reacquired (2,439,412) (4,543,218)
- ------------------------------------------------------------------------------
Net Increase 3,603,733 7,597,492
- ------------------------------------------------------------------------------
Pioneer Strategic Income Portfolio
Shares sold 233,209 465,666
Shares issued on reinvestment 946,013 1,387,259
Shares reacquired (1,287,316) (2,214,743)
- ------------------------------------------------------------------------------
Net Decrease (108,094) (361,818)
- ------------------------------------------------------------------------------
9. Additional Information
The Funds have received the following information from Citigroup Asset
Management ("CAM"), the Citigroup business unit which includes the Funds'
Investment Manager and other investment advisory companies, all of which are
indirect, wholly-owned subsidiaries of Citigroup. CAM is reviewing its entry,
through an affiliate, into the transfer agent business in the period 1997-1999.
As CAM currently understands the facts, at the time CAM decided to enter the
transfer agent business, CAM sub-contracted for a period of five years certain
of the transfer agency services to a third party and also concluded a revenue
guarantee agreement with this sub-contractor providing that the sub-contractor
would guarantee certain benefits to CAM or its affiliates (the "Revenue
Guarantee Agreement"). In connection with the subsequent purchase of the
sub-contractor's business by an affiliate of the current sub-transfer agent
(PFPC Inc.) used by CAM on many of the funds it manages, this Revenue Guarantee
Agreement was amended, eliminating those benefits in exchange for arrangements
that included a one-time payment from the sub-contractor.
The Boards of CAM-managed funds (the "Boards") were not informed of the Revenue
Guarantee Agreement with the sub-contractor at the time the Boards considered
and approved the transfer agent arrangements. Nor were the Boards informed of
the subsequent amendment to the Revenue Guarantee Agreement when that occurred.
CAM has begun to take corrective actions. CAM will pay to the applicable funds
approximately $17 million (plus interest) that CAM and its affiliates received
from the Revenue Guarantee Agreement and its amendment. CAM
52 Travelers Series Fund Inc. | 2004 Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
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.
53 Travelers Series Fund Inc. | 2004 Semi-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 2004/(1)/ 2003 2002 2001 2000 1999
- --------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $7.67 $6.65 $8.32 $10.29 $11.72 $11.97
- ---------------------------------------------- -------- ----- ----- ------ ------ ------
Income (Loss) From Operations:
Net investment income/(2)/ 0.28 0.63 0.82 1.02 1.20 0.92
Net realized and unrealized gain (loss)/(2)/ 0.16 1.28 (1.44) (1.80) (1.56) (0.28)
- -------------------------------------------------------------------------------------------------
Total Income (Loss) From Operations 0.44 1.91 (0.62) (0.78) (0.36) 0.64
- ---------------------------------------------- -------- ----- ----- ------ ------ ------
Less Distributions From:
Net investment income (0.55) (0.89) (1.05) (1.19) (1.07) (0.89)
- ---------------------------------------------- -------- ----- ----- ------ ------ ------
Total Distributions (0.55) (0.89) (1.05) (1.19) (1.07) (0.89)
- ---------------------------------------------- -------- ----- ----- ------ ------ ------
Net Asset Value, End of Period $7.56 $7.67 $6.65 $ 8.32 $10.29 $11.72
- ---------------------------------------------- -------- ----- ----- ------ ------ ------
Total Return/(3)/ 5.89%++ 31.70% (7.39)% (8.08)% (3.54)% 5.28%
- ---------------------------------------------- -------- ----- ----- ------ ------ ------
Net Assets, End of Period (millions) $261 $237 $155 $176 $191 $199
- ---------------------------------------------- -------- ----- ----- ------ ------ ------
Ratios to Average Net Assets:
Expenses 0.66%+ 0.69% 0.69% 0.67% 0.66% 0.66%
Net investment income/(2)/ 8.07+ 9.53 10.39 11.52 10.46 9.44
- ---------------------------------------------- -------- ----- ----- ------ ------ ------
Portfolio Turnover Rate 14% 36% 78% 77% 70% 73%
- ---------------------------------------------- -------- ----- ----- ------ ------ ------
(1) For the six months ended April 30, 2004 (unaudited).
(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, the ratio of net investment income to average net assets would
have been 10.48%. In addition, the impact of this change to net investment
income and net realized and unrealized loss was less than $0.01 per share.
Per share information, ratios and supplemental data for the periods prior
to November 1, 2001 have not been restated to reflect this change in
presentation.
(3) Total returns do not reflect expenses associated with the separate account
such as administrative fees, account charges and surrender charges which,
if reflected, would reduce the total returns for all periods shown.
++ Total return is not annualized, as it may not be representative of the total
return for the year.
+ Annualized.
54 Travelers Series Fund Inc. | 2004 Semi-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 2004/(1)(2)/ 2003/(2)/ 2002 2001 2000 1999
- -------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $9.53 $8.94 $9.94 $10.31 $11.24 $11.70
- --------------------------------------------------------------------------------------------------
Income (Loss) From Operations:
Net investment income/(3)/ 0.29 0.63 1.14 0.93 0.93 0.91
Net realized and unrealized gain (loss)/(3)/ 0.12 1.04 (0.94) (0.47) (0.88) (0.70)
- --------------------------------------------------------------------------------------------------
Total Income From Operations 0.41 1.67 0.20 0.46 0.05 0.21
- --------------------------------------------------------------------------------------------------
Less Distributions From:
Net investment income (0.85) (1.08) (1.20) (0.83) (0.98) (0.67)
- --------------------------------------------------------------------------------------------------
Total Distributions (0.85) (1.08) (1.20) (0.83) (0.98) (0.67)
- --------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $9.09 $9.53 $8.94 $ 9.94 $10.31 $11.24
- --------------------------------------------------------------------------------------------------
Total Return/(4)/ 4.32%++ 20.56% 2.00% 4.60% 0.21% 1.80%
- --------------------------------------------------------------------------------------------------
Net Assets, End of Period (millions) $95 $100 $97 $128 $141 $156
- --------------------------------------------------------------------------------------------------
Ratios to Average Net Assets:
Expenses 0.92%+ 1.00% 0.93% 0.90% 0.87% 0.83%
Net investment income/(3)/ 6.32+ 7.05 8.24 8.83 7.78 7.85
- --------------------------------------------------------------------------------------------------
Portfolio Turnover Rate 26% 141% 208% 150% 105% 118%
- --------------------------------------------------------------------------------------------------
(1) For the six months ended April 30, 2004 (unaudited).
(2) Per share amount have been calculated using the monthly average shares
method.
(3) 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 information, ratios and
supplemental data for the periods prior to November 1, 2001 have not been
restated to reflect this change in presentation.
(4) Total returns do not reflect expenses associated with the separate account
such as administrative fees, account charges and surrender charges which,
if reflected, would reduce the total returns for all periods shown.
++ Total return is not annualized, as it may not be representative of the total
return for the year.
+ Annualized.
55 Travelers Series Fund Inc. | 2004 Semi-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
Beth A. Semmel, CFA
Investment Officer
Peter J. Wilby, CFA
Investment Officer
Andrew Beagley
Chief Anti-Money
Laundering Compliance
Officer
Kaprel Ozsolak
Controller
Robert I. Frenkel
Secretary and Chief
Legal Officer
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.
A description of the policies and procedures that the Fund uses to determine
how to vote proxies relating to portfolio securities is available without
charge, upon request, by telephoning the Fund (toll-free) at 1-800-451-2010
and by visiting the SEC's website at www.sec.gov.
This report is submitted for the general information of the shareholders of
Travelers Series Fund Inc. -- Smith Barney High Income Portfolio and Pioneer
Strategic Income Portfolio. It is not authorized for distribution to
prospective investors unless accompanied or preceded by a current Prospectus.
TRAVELERS SERIES FUND INC.
125 Broad Street
10th Floor, MF-2
New York, New York 10004
IN0805 6/04 04-6784
ITEM 2. CODE OF ETHICS.
Not Applicable.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not Applicable.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. [RESERVED]
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR
CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. [RESERVED]
ITEM 9. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive officer and
principal financial officer have concluded that the
registrant's disclosure controls and procedures (as
defined in Rule 30a- 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) Not applicable.
(b) Attached hereto.
Exhibit 99.CERT Certifications pursuant to section 302
of the Sarbanes-Oxley Act of 2002
Exhibit 99.906CERT Certifications pursuant to Section 906
of the Sarbanes-Oxley Act of 2002
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, the registrant has duly caused this Report
to be signed on its behalf by the undersigned, there unto duly authorized.
TRAVELERS SERIES FUND INC.
By: /s/ R. Jay Gerken
-----------------------------
R. Jay Gerken
Chief Executive Officer of
Travelers Series Fund Inc.
Date: July 1, 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: July 1, 2004
By: /s/ Andrew B. Shoup
-----------------------------
Andrew B. Shoup
Chief Administrative Officer of
Travelers Series Fund Inc.
Date: July 1, 2004