UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-6465
-----------------
THE TRAVELERS SERIES TRUST
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(Exact name of registrant as specified in charter)
One Cityplace, Hartford, CT 06103-3415
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(Address of principal executive offices)(Zip code)
(Name and Address of Agent for Copy to:
Service)
Elizabeth M. Forget
------------------- Robert N. Hickey, Esq.
President Sullivan & Worcester LLP
260 Madison Avenue, 10/th/ Floor 1666 K Street, N.W.
New York, NY 10006 Washington, D.C. 20006
Registrant's telephone number, including area code: 800-842-9368
Date of fiscal year end: October 31
Date of reporting period: October 31, 2005
ITEM 1: REPORT TO SHAREHOLDERS.
THE TRAVELERS
SERIES TRUST
AIM Capital Appreciation Portfolio
MFS Total Return Portfolio
Pioneer Strategic Income Portfolio
Salomon Brothers Strategic Total Return Bond Portfolio
Strategic Equity Portfolio
Travelers Managed Income Portfolio
Van Kampen Enterprise Portfolio
ANNUAL REPORT
OCTOBER 31, 2005
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AIM CAPITAL APPRECIATION PORTFOLIO FOR THE YEAR ENDED 10/31/05
MANAGED BY AIM CAPITAL MANAGEMENT, INC.
LETTER TO POLICYHOLDERS
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PERFORMANCE UPDATE
For the 12 months ended October 31, 2005, the portfolio returned 11.47%. In
comparison, the portfolio outperformed its unmanaged benchmark, the S&P 500
Index, which returned 8.72% for the same period.
MARKET OVERVIEW NOVEMBER 2004 THROUGH OCTOBER 2005
Despite widespread concern about the potential impact of rising short-term
interest rates and historically high energy prices, the U.S. economy expanded,
inflation remained contained and corporate profits generally rose during the
fiscal year covered by this report. Late in the year, higher energy prices and
rising interest rates threatened to crimp consumer spending, which accounts for
approximately two-thirds of the U.S. economy.
There was wide variance in corporate profits during the year. Rising prices
caused many companies in the energy and utilities sectors to report record
earnings and profits--while profits of companies that use a lot of energy, such
as chemical companies and airlines, were depressed. The broad stock market rose
for the year. Not surprisingly, energy and utilities stocks led the market with
strong double-digit returns, while consumer discretionary stocks lagged, one of
only two sectors that declined for the year.
CONTRIBUTORS TO PERFORMANCE
During the one year period ending October 31, 2005, the portfolio was
significantly overweight relative to the S&P 500 Index in the health care,
materials and the information technology sectors. Over the same period, the
portfolio was underweight in the consumer staples, financials,
telecommunication services and utilities sectors.
The portfolio's exposure to the healthcare sector enhanced results over the
reporting period due to good stock selection. Within the sector, holdings in
the healthcare supplies industry made the largest contribution to relative
performance. The energy sector also contributed positively to relative results.
Relative performance was negatively impacted the most by the portfolio's
weightings in the consumer discretionary and utilities sectors. The portfolio's
lack of exposure to the utilities sector also detracted from the portfolio's
relative performance. On an absolute basis, the energy sector was the largest
positive contributor to the portfolio's performance, followed by the health
care sector.
On September 16, 2005, a change was announced to the portfolio's management
team. Lanny Sachnowitz (lead), Gabe Birdsall and Kirk Anderson joined Rob Lloyd
as portfolio managers for the portfolio. In addition, the new managers will be
assisted by the large/multi-cap growth team, a new team formed of members of
the large-cap growth team and the multi-cap growth team (formerly assigned to
the portfolio). The changes are part of AIM's ongoing effort to organize teams
around common processes and shared beliefs.
Our investment process combines rigorous quantitative and independent
fundamental analysis to find companies exhibiting long- term, sustainable
earnings and cash flow growth not yet reflected in stock prices or current
valuations. The process we employ is similar to that of the previous management
team, though there will be differences in execution. Over time, we believe the
changes will be beneficial for shareholders.
PLEASE REFER TO PAGES 21 THROUGH 23 FOR A LIST AND PERCENTAGE BREAKDOWN OF THE
PORTFOLIO'S HOLDINGS.
The views expressed above are those of the investment subadvisory firm and are
subject to change based on market and other conditions. Information about the
Portfolio's holdings, asset allocation, industry allocation or country
diversification is historical and is not an indication of future portfolio
composition which will vary.
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TOP TEN HOLDINGS BY MARKET VALUE
As of 10/31/05
Percent of
Description Net Assets
-------------------------------------
Apple Computer, Inc. 2.67%
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Johnson & Johnson 1.97%
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QUALCOMM, Inc. 1.71%
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Microchip Technology, Inc. 1.68%
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Procter & Gamble Co. 1.68%
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Alcon, Inc. 1.67%
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Yahoo!, Inc. 1.61%
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Office Depot, Inc. 1.59%
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Amgen, Inc. 1.57%
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Exxon Mobil Corp. 1.56%
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PORTFOLIO COMPOSITION (% of portfolio market value)
As of 10/31/05
[CHART]
Non-Cyclical 27.6%
Technology 14.2%
Energy 13.1%
Industrials 11.0%
Financials 10.0%
Communications 9.4%
Cyclical 9.3%
Basic Materials 5.4%
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1
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AIM CAPITAL APPRECIATION PORTFOLIO FOR THE YEAR ENDED 10/31/05
MANAGED BY AIM CAPITAL MANAGEMENT, INC.
LETTER TO POLICYHOLDERS (CONTINUED)
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AIM CAPITAL APPRECIATION PORTFOLIO MANAGED BY
AIM CAPITAL MANAGEMENT, INC. VS. S&P 500 INDEX/1/
Growth Based on $10,000
[CHART]
S&P 500 AIM Capital
Index Appreciation Portfolio
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10/10/1995 $10,000 $10,000
10/31/1995 10,076 9,990
10/30/1996 12,504 10,771
10/31/1997 16,522 12,706
10/31/1998 20,155 12,351
10/31/1999 25,329 16,355
10/31/2000 26,872 22,329
10/31/2001 20,180 12,646
10/31/2002 17,131 11,161
10/31/2003 20,694 13,368
10/31/2004 22,643 13,854
10/31/2005 24,618 15,443
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Average Annual Return/2/
(for the period ended 10/31/05)
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1 Year 3 Year 5 Year 10 Year Since Inception/3/
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AIM Capital
Appreciation
- -- Portfolio 11.47% 11.43% -7.11% 4.45% 4.41%
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- - - S&P 500 Index/1/ 8.72% 12.85% -1.74% 9.34% 9.43%
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/1/The S&P 500 Index is an unmanaged index consisting of 500 stocks chosen for
market size, liquidity, and industry group representation. It is a market-value
weighted index (stock price times number of shares outstanding), with each
stock's weight in the Index proportionate to its market value. The Index does
not include fees or expenses and is not available for direct investment.
/2/"Average Annual Return" is calculated including reinvestment of all income
dividends and capital gains distributions.
/3/Inception date of Portfolio is 10/10/1995.
Past Performance does not guarantee future results. The investment return and
principal value of an investment in the Portfolio will fluctuate, so that
shares, on any given day or when redeemed, may be worth more or less than their
original cost. Performance numbers are net of all Portfolio expenses but do not
include any insurance, sales, or administrative charges of variable annuity or
life insurance contracts. If these charges were included, the returns would be
lower.
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2
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MFS TOTAL RETURN PORTFOLIO FOR THE YEAR ENDED 10/31/05
MANAGED BY MASSACHUSETTS FINANCIAL SERVICES COMPANY
LETTER TO POLICYHOLDERS
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For the 12 months ended October 31, 2005 the portfolio returned 6.09%. In
comparison, the portfolio outperformed its unmanaged benchmarks, the Lehman
Brothers Aggregate Bond Index and S&P 500 Index, which returned 1.13% and 8.72%
respectively for the same period.
DETRACTORS FROM PERFORMANCE
In the equity portion of the portfolio, the leisure, utilities and
communications, and basic materials sectors detracted from results. Stock
selection and, to a lesser extent, our overweighting in the leisure sector
hindered relative performance during the period. Media company Viacom was among
the top detractors from relative performance in this sector.
While overweighting the utilities and communication sector helped performance,
stock selection held back the sector's overall results. Telecom services
provider Verizon Communications was the portfolio's largest detractor from
performance during the period. Our overweighted position and, to a lesser
extent, stock selection, in the basic materials sector also hurt performance.
News print maker Bowater (not an index constituent) was a top detractor from
performance in the basic materials sector.
Stocks in other sectors that detracted from relative results included home
improvement manufacturer Masco, manufacturing conglomerate Tyco, clothing
retailer Gap, and health care services provider Tenet Healthcare. Not owning
the strong performing health insurer UnitedHealth Group and PC maker Apple
Computer also weakened relative performance.
In the fixed income portion of the portfolio our overweighting of the "BBB"
sector detracted from results. This was slightly offset by our allocation to
"BB" rated debt that the index does not hold.
During the reporting period, shifts in currency valuations detracted from the
portfolio's performance relative to the benchmark. The base currency of the
portfolio is U.S. dollars and the performance of the portfolio, and that of its
benchmark, are presented in terms of this currency. Nevertheless, specific
holdings of the portfolio and benchmark may be denominated in different
currencies, and therefore present the possibility of currency depreciation or
appreciation. Because the exposure of the portfolio and the benchmark to
foreign currency movements may differ from time to time, these movements may
have a material impact on relative performance.
CONTRIBUTORS TO PERFORMANCE
Relative to the portfolio's equity benchmark, energy, technology, and financial
services were the strongest performing sectors during the period. A combination
of stock selection and allocation drove returns in these sectors.
In the energy sector, stock selection and an overweighted position boosted
results. Within the sector, oil and gas producer Devon Energy, drilling rig
operator GlobalSantaFe (not an index constituent), offshore drilling company
Noble, and oil and gas manufacturer/provider/servicer Cooper Cameron (not an
index constituent) were among the portfolio's top contributors.
Underweighting the weak-performing technology sector was also beneficial. Our
underweighted position in computer technology company IBM helped as the stock
significantly underperformed the benchmark. Stock selection was the main driver
of the outperformance of the financial services sector. Our investments in
financial services firms PNC and Hartford contributed to relative performance
over the period.
During the period, relative performance also benefited from our smaller
allocations to drug maker Pfizer and discounted retailer Wal-Mart, both
benchmark constituents underperformed significantly. Although the utilities and
communication sector detracted from results, our holdings in the wireless giant
Sprint Nextel was among the top contributors to performance.
Relative to the portfolio's fixed income benchmark, performance was enhanced by
the portfolio's duration. During the period, the portfolio maintained a shorter
duration than that of the index, which added to relative results as rates rose.
The portfolio also benefited from allocations to banking, finance, and
mortgage-related issues. Security selection in the industrial sector and our
holdings in inflation-linked issues also added to performance.
PLEASE REFER TO PAGES 24 THROUGH 31 FOR A LIST AND PERCENTAGE BREAKDOWN OF THE
PORTFOLIO'S HOLDINGS.
The views expressed above are those of the investment subadvisory firm and are
subject to change based on market and other conditions. Information about the
Portfolio's holdings, asset allocation, industry allocation or country
diversification is historical and is not an indication of future portfolio
composition which will vary.
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TOP TEN HOLDINGS BY MARKET VALUE
As of 10/31/05
Percent of
Description Net Assets
---------------------------------------------------
U.S. Treasury Notes (5.625%, 05/15/2008) 2.69%
---------------------------------------------------
Bank of America Corp. 2.48%
---------------------------------------------------
U.S. Treasury Bond (6.250%, 08/15/2023) 1.64%
---------------------------------------------------
JPMorgan Chase & Co. 1.64%
---------------------------------------------------
Sprint Nextel Corp. 1.63%
---------------------------------------------------
PNC Financial Services Group, Inc. 1.56%
---------------------------------------------------
Wyeth 1.38%
---------------------------------------------------
Verizon Communications, Inc. 1.34%
---------------------------------------------------
Altria Group, Inc. 1.22%
---------------------------------------------------
Viacom, Inc. 1.22%
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PORTFOLIO COMPOSITION (% of portfolio market value)
As of 10/31/05
[CHART]
Common Stocks 60.4%
U.S. Government & Agency Obligations 28.0%
Domestic Bonds & Debt Securities 11.4%
Foreign Bonds & Debt Securities 0.2%
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3
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MFS TOTAL RETURN PORTFOLIO FOR THE YEAR ENDED 10/31/05
MANAGED BY MASSACHUSETTS FINANCIAL SERVICES COMPANY
LETTER TO POLICYHOLDERS (CONTINUED)
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MFS TOTAL RETURN PORTFOLIO MANAGED BY
MASSACHUSETTS FINANCIAL SERVICES COMPANY VS. LEHMAN BROTHERS AGGREGATE BOND
INDEX/1/
Growth Based on $10,000
[CHART]
MFS Total Return Lehman Brothers Aggregate
Portfolio Bond Index (1) S&P 500 Index (2)
---------------- ------------------------- -----------------
6/16/1994 $10,000 $10,000 $10,000
10/31/1994 $9,980 10,030 10,325
10/31/1995 11,589 11,600 13,055
10/31/1996 13,577 12,278 16,201
10/31/1997 16,380 13,370 21,406
10/31/1998 18,172 14,619 26,113
10/31/1999 19,557 14,696 32,817
10/31/2000 22,057 15,769 34,816
10/31/2001 22,008 18,065 26,145
10/31/2002 21,217 19,129 22,196
10/31/2003 23,985 20,066 26,812
10/31/2004 26,710 21,176 29,337
10/31/2005 28,337 21,415 31,895
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Average Annual Return/3/
(for the period ended 10/31/05)
----------------------------------------------------------------
1 Year 3 Year 5 Year 10 Year Since Inception/4/
----------------------------------------------------------------
MFS Total
- -- Return Portfolio 6.09% 10.13% 5.14% 9.35% 9.59%
----------------------------------------------------------------
Lehman
Brothers
Aggregate Bond
- - - Index/1/ 1.13% 3.84% 6.31% 6.32% 7.91%
----------------------------------------------------------------
S&P 500 Index/2/ 8.72% 12.85% -1.74% 9.34% 12.30%
----------------------------------------------------------------
/1/The Lehman Brothers Aggregate Bond Index is a broad measure of the
performance of the taxable bonds in the U.S. market, with maturities of at
least one year. The Index does not include fees or expenses and is not
available for direct investment.
/2/The S&P 500 Index is an unmanaged index consisting of 500 stocks chosen for
market size, liquidity, and industry group representation. It is a market-value
weighted index (stock price times number of shares outstanding), with each
stock's weight in the Index proportionate to its market value. The Index does
not include fees or expenses and is not available for direct investment.
/3/"Average Annual Return" is calculated including reinvestment of all income
dividends and capital gains distributions.
/4/Inception date of Portfolio is 06/16/1994.
Past Performance does not guarantee future results. The investment return and
principal value of an investment in the Portfolio will fluctuate, so that
shares, on any given day or when redeemed, may be worth more or less than their
original cost. Performance numbers are net of all Portfolio expenses but do not
include any insurance, sales, or administrative charges of variable annuity or
life insurance contracts. If these charges were included, the returns would be
lower.
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4
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PIONEER STRATEGIC INCOME PORTFOLIO FOR THE YEAR ENDED 10/31/05
MANAGED BY PIONEER INVESTMENT MANAGEMENT USA, INC.
LETTER TO POLICYHOLDERS
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PERFORMANCE REVIEW
Most domestic fixed-income investments delivered modest returns during the
12-month period ended October 31, 2005, as investors attempted to assess the
economic impact of the Federal Reserve Board's hikes in short term interest
rates. While the Fed persisted in its efforts to guard against any increase in
inflationary pressures, the economies of the United States and most foreign
countries continued to expand, helping support growth in corporate profits.
These factors all contributed to absolute performance of 5.17% for the
portfolio and solid outperformance of the benchmark, the Lehman Brothers
Aggregate Bond Index which returned 1.13%.
MARKET OVERVIEW
Fixed-income markets were affected by many cross-currents, and our investments
in long-term U.S. Treasury bonds and our continued emphasis on lower-rated,
high-yield bonds--both domestic corporate bonds and emerging market
debt--helped drive the Portfolio's performance. For most of the 12 months, we
focused our Treasury investments in longer-term bonds. That tactic helped
support performance as yields of shorter-term bonds rose and the prices of
bonds with maturities of 10 years or less declined. In contrast, the 30-year
Treasury outperformed other higher-rated bonds as its yield declined and its
price rose, gaining 34 basis points in price while the Merrill Lynch U.S.
Agency/Treasury Master Index declined 3.3% in price.
During a period in which most economies, with the exception of some European
markets, grew strongly, corporate profits tended to continue to improve, and
high-yield bonds outperformed investment-grade debt. We emphasized both
domestic and emerging-market debt throughout the 12 months, although we lowered
our exposure to both groups as the period progressed and their prices became
less attractive as their spreads over investment-grade debt tightened.
CONTRIBUTORS TO PERFORMANCE
Earlier in the fiscal year, we increased our investments in mortgage-backed
securities and have generally maintained our greater emphasis on mortgages,
since they continue to look attractive when compared with other investment
opportunities. Within our domestic high-yield investments, we gradually
upgraded the average credit quality of our bonds as a defensive measure against
a possible slowing of corporate profit growth. We also continued to invest in
investment-grade foreign debt, primarily government bonds, which offered higher
yields than U.S. Treasuries.
Another major shift made was the reduction of our non-dollar exposure at the
start of 2005. In the fourth quarter of 2004, during which the euro rose 9%, we
held significant foreign currency versus the dollar, which enhanced
performance. We anticipated that the U.S. dollar would begin to strengthen
against the euro and other foreign currencies. Early in 2005, we scaled back a
large portion of our non-dollar exposure to protect portfolio gains made from
foreign investments as the trends leading up to the weaker dollar indeed
reversed. This step helped performance because our foreign government security
investments, most notably from France and Sweden, outperformed U.S. government
securities, but the underlying foreign currencies were losing relative value
against a strengthening U.S. dollar.
At the end of the period, about 16% of Portfolio assets were invested in
Treasuries, including a position in Treasury Inflation Protection Securities
(TIPS) that we added late in the period to hedge against rising interest rates
and potential inflation. At the end of the period, mortgage-backed securities
represented 24% of Portfolio assets, US investment-grade corporate bonds
represented 5.4%, International Investment Grade 11.9%, US high yield 26.5%,
and emerging market debt 14.3%.
Our investments in bonds of several basic materials companies helped notably,
as rising commodity prices supported the performance of bonds issued by
companies such as Freeport McMoRan, a copper and gold mining corporation, and
CSN, Brazil's largest steel company. Sino Forest, a Canadian forestry company,
also contributed positively. Within the energy sector, bonds of oil and gas
producers such as Petroquest and Baytex were outstanding performers. A few
investments proved disappointing, however. Those included bonds of Delphi, an
auto parts manufacturer, and Duane Reade, a New York-based retail
pharmaceutical chain whose business performance hasn't met investors'
expectations.
Sincerely,
KENNETH J. TAUBES
DIRECTOR OF FIXED INCOME INVESTMENTS
PIONEER INVESTMENTS
PLEASE REFER TO PAGES 32 THROUGH 43 FOR A LIST AND PERCENTAGE BREAKDOWN OF THE
PORTFOLIO'S HOLDINGS.
The views expressed above are those of the investment subadvisory firm and are
subject to change based on market and other conditions. Information about the
Portfolio's holdings, asset allocation, industry allocation or country
diversification is historical and is not an indication of future portfolio
composition which will vary.
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5
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PIONEER STRATEGIC INCOME PORTFOLIO FOR THE YEAR ENDED 10/31/05
MANAGED BY PIONEER INVESTMENT MANAGEMENT USA, INC.
LETTER TO POLICYHOLDERS (CONTINUED)
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TOP TEN HOLDINGS BY MARKET VALUE
As of 10/31/05
Percent of
Description Net Assets
----------------------------------------------------------------------------
U.S. Treasury Inflation Index Note (3.500%, 01/15/11) 5.32%
----------------------------------------------------------------------------
Federal Home Loan Mortgage Corp. (FHLMC) (6.000%, 11/01/35) 2.17%
----------------------------------------------------------------------------
Ginnie Mae I Pool (5.000%, 06/15/35) 1.82%
----------------------------------------------------------------------------
United States Treasury Inflation Indexed Bonds (3.375%, 01/15/12) 1.81%
----------------------------------------------------------------------------
U.S. Treasury Bonds (3.000%, 07/15/12) 1.68%
----------------------------------------------------------------------------
U.S. Treasury Bonds (7.250%, 05/15/16) 1.53%
----------------------------------------------------------------------------
U.S. Treasury Notes (4.000%, 02/15/15) 1.45%
----------------------------------------------------------------------------
Ginnie Mae I Pool (5.500%, 04/15/34) 1.42%
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U.S. Treasury STRIPS (4.447%, 02/15/11) 1.36%
----------------------------------------------------------------------------
Province of Ontario (5.500%, 04/23/13) 1.18%
----------------------------------------------------------------------------
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PORTFOLIO COMPOSITION (% of portfolio market value)
As of 10/31/05
[CHART]
High Yield Corporate Bonds 26.5%
Mortgage-Backed Securities 24.3%
U.S. Treasuries 16.8%
Foreign Bonds - Emerging Markets 14.3%
Foreign Bonds - Investment Grade 11.9%
Investment Grade Corporate Bonds 3.8%
Municipal Bonds 1.6%
Stocks/Other 0.8%
6
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PIONEER STRATEGIC INCOME PORTFOLIO FOR THE YEAR ENDED 10/31/05
MANAGED BY PIONEER INVESTMENT MANAGEMENT USA, INC.
LETTER TO POLICYHOLDERS (CONTINUED)
- --------------------------------------------------------------------------------
PIONEER STRATEGIC INCOME PORTFOLIO MANAGED BY
PIONEER INVESTMENT MANAGEMENT USA, INC. VS. CITIGROUP NON-U.S. WORLD
GOVERNMENT BOND INDEX-UNHEDGED/1/ AND LEHMAN BROTHERS AGGREGATE BOND INDEX/2/
Growth Based on $10,000
[CHART]
Citigroup Non-U.S.
Pioneer Strategic World Government Bond Lehman Brothers
Income Portfolio Index--Unhedged/1/ Aggregate Bond Index/2/
----------------- --------------------- -----------------------
6/94 $10,000 $10,000
10/94 $10,000 10,732 10,030
10/95 11,560 12,362 11,600
10/96 12,650 13,036 12,278
10/97 13,717 12,996 13,370
10/98 13,628 14,659 14,619
10/99 13,873 14,225 14,696
10/00 13,906 12,845 15,769
10/01 14,545 13,732 18,065
10/02 14,836 15,114 19,129
10/03 17,887 17,797 20,066
10/04 19,973 19,974 21,176
10/05 21,004 19,484 21,415
----------------------------------------------------------------
Average Annual Return/3/
(for the period ended 10/31/05)
----------------------------------------------------------------
1 Year 3 Year 5 Year 10 Year Since Inception/4/
----------------------------------------------------------------
Pioneer
Strategic Income
- -- Portfolio 5.17% 12.29% 8.60% 6.15% 6.74%
----------------------------------------------------------------
Citigroup
Non-U.S. World
Government
Bond Index--
- - - Unhedged/1/ -2.45% 8.83% 8.69% 4.65% 6.90%
----------------------------------------------------------------
Lehman
Brothers
Aggregate Bond
- -- Index/2/ 1.13% 3.84% 6.31% 6.32% 7.91%
----------------------------------------------------------------
/1/The Citigroup Non-U.S. World Government Bond Index--Unhedged is comprised of
fixed rate bonds with a maturity of one year or longer, and at least $25
million outstanding. This Index includes securities from 10 countries,
providing a comprehensive measure of the total return performance of the
domestic bond markets in each country included, as well as the ten combined
countries. The Index does not include fees or expenses and is not available for
direct investment.
/2/The Lehman Brothers Aggregate Bond Index is a broad measure of the
performance of the taxable bonds in the U.S. market, with maturities of at
least one year. The Index does not include fees or expenses and is not
available for direct investment.
/3/"Average Annual Return" is calculated including reinvestment of all income
dividends and capital gains distributions.
/4/Inception date of Portfolio is 06/16/1994.
Past Performance does not guarantee future results. The investment return and
principal value of an investment in the Portfolio will fluctuate, so that
shares, on any given day or when redeemed, may be worth more or less than their
original cost. Performance numbers are net of all Portfolio expenses but do not
include any insurance, sales, or administrative charges of variable annuity or
life insurance contracts. If these charges were included, the returns would be
lower.
- --------------------------------------------------------------------------------
7
- --------------------------------------------------------------------------------
SALOMON BROTHERS STRATEGIC TOTAL RETURN BOND
PORTFOLIO FOR THE YEAR ENDED 10/31/05
MANAGED BY SALOMON BROTHERS ASSET MANAGEMENT INC
LETTER TO POLICYHOLDERS
- --------------------------------------------------------------------------------
HOW DID THE PORTFOLIO PERFORM DURING THE REPORTING PERIOD?
Due to the Portfolio's allocations across investment grade, high yield and
emerging markets debt, please find three separate market overviews for the
period included below.
INVESTMENT GRADE MARKET REVIEW
During the 12 months ended October 31, 2005, markets were primarily driven by
Federal Reserve ("Fed") activity, employment and inflation data and rising
energy costs, exacerbated near period end by the devastating impact of
Hurricane Katrina on the U.S. Gulf Coast. The Fed's eight "measured"
25-basis-point hikes during the period brought the Fed Funds rate to 3.75% from
1.75% by period end. The Fed raised rates an additional quarter point to 4.00%
on November 1, after the close of the reporting period. These measured,
consecutive rate hikes exerted upward pressure on short-term bond yields,
driving 2-year yields up about 183 basis points during the 12 months. However,
in what Fed Chairman Alan Greenspan termed a "conundrum," yields on the long
bond stayed low during the period, even declining slightly (four basis points)
over the 12 months despite relinquishing all gains to end 53 basis points
higher by period end. This sharp rise in short yields and relative stagnation
in longer yields resulted in the extensive yield curve flattening seen during
the period.
As the market fully expected each 25-basis-point hike in the Federal funds rate
during the period--thanks to the Fed's well-advertised intentions to raise
rates at a measured pace--investors spent much of the period dissecting
language from the Fed for clues on its assessment of the U.S. economy and the
pace of rate hikes. The Fed reiterated throughout the year that it would
increase rates "at a pace that is likely to be measured" and, starting in June
2004, added that, "the Committee will respond to changes in economic prospects
as needed to fulfill its obligation to maintain price stability." In its most
recent statement (from the September 20/th /meeting), the Fed noted that core
inflation remained low near the end of the period and long-term inflation
expectations remained "contained" (even if the language was downgraded from the
"well contained" language used at prior meetings).
Slowing global growth, rising inflation and surging oil prices undoubtedly
restrained economic activity during the period, with Gross Domestic Product
("GDP") declining year-over-year to 3.8% growth in first quarter 2005 (from
first quarter 2004's 4.5% pace) and to 3.4% growth in second quarter 2005 (from
second quarter 2004's 3.5%). However, economic growth remained remarkably
resilient into the third quarter, particularly after fears of a sharp slowdown
in the wake of Hurricanes Katrina and Rita, gaining 3.8% on an annualized basis
versus 3.9% last year and consensus expectations of 3.6% growth. Although
growth remained strong throughout the period, fears of potential slowing,
combined with increasing inflation, drove markets. Oil prices, which breached
$70 per barrel before period end, continue to cast a pall on growth and
consumer spending expectations.
This was particularly true in the latter half of the period, as investors
assessed the potential impact of Hurricanes Katrina and Rita on U.S. economic
growth, inflation and the pace of interest rates and growth indicators turned
increasingly mixed. For example, the U.S. labor market began to pick up in
early 2004 and continued to improve through most of the Portfolio's fiscal
year, although the pace of improvement remained uneven from month to month.
Unemployment fell through the majority of the period, declining from 5.5% in
October 2004 to 4.9% in August 2005. However, employment skyrocketed, even if
not as much as expected, in the wake of Hurricane Katrina, and the unemployment
rate rose to 5.0% in October. Industrial production and retail sales also
remained positive through most of the period, even considering the volatility
in the auto sector as General Motors and Ford were successively downgraded by
three major statistical credit rating agencies to below investment grade.
Again, however, as with employment, industrial production and retail sales data
turned negative near period end as the effects of Hurricane Katrina roiled
through the economy, reductions in auto production hit the market and the
highly successful automotive dealer incentive packages offered through the
summer came to an end.
While inflationary pressures from sustained high commodity prices began to
creep into the economy, particularly near the end of the period, continued
strong growth and limited wage pressures are keeping long-term inflation
expectations "contained". Core inflation rates, in particular, remained subdued
throughout the period despite growing inflationary pressure. Specifically, core
Consumer Price Index (CPI) inflation rose only 0.1% year-over-year to 2.1% in
October 2005, and core Producer Price Index (PPI) inflation edged up only 0.1%
year-over-year to 1.9% in September 2005. However, both consumer and producer
headline inflation rose dramatically by period end as continually high and
rising energy prices and competitive pricing pressures began to be passed
through to the consumer. Headline CPI inflation rose approximately 1.1% to 4.3%
in October 2005 versus October 2004, and headline PPI inflation increased 1.5%
to 5.9% over the same period. Pricing pressures were also seen in the core PCE
deflator/i/, the Fed's preferred measure of inflation, which rose 0.5% versus
September 2004 to 2.0% year-over-year in the latest September reading.
HIGH YIELD MARKET REVIEW
During the 12 months ended October 31, 2005, the high yield market, as
represented by the Citigroup High Yield Market Index, returned 3.55%. High
yield debt markets rallied through the last two months of 2004 as investors
gained confidence that inflation was contained and the Fed would continue to
raise rates at a "measured pace." Reduced U.S. Treasury market volatility,
combined with the continued low interest rate environment, set a positive tone
for high yield, engendering generally positive mutual fund flows and
contributing both to the record number of deals that came to market during 2004
and strong demand for higher yielding assets. Additionally, default rates
reached 20-year lows as the improving economy and the low interest rate
environment enabled companies to extend their debt maturities and improve their
liquidity.
However, rising oil prices, weak equity markets and isolated hawkish comments
from the Fed regarding inflation led the market down in the first few months of
2005. The steady stream of negative auto sector headlines through Spring 2005,
including General Motor's unexpected
- --------------------------------------------------------------------------------
8
- --------------------------------------------------------------------------------
SALOMON BROTHERS STRATEGIC TOTAL RETURN BOND
PORTFOLIO FOR THE YEAR ENDED 10/31/05
MANAGED BY SALOMON BROTHERS ASSET MANAGEMENT INC
LETTER TO POLICYHOLDERS (CONTINUED)
- --------------------------------------------------------------------------------
negative earnings warning in mid-March and Ford's reduced earnings guidance and
second quarter production cuts announced in late April, reintroduced investor
fears of both companies' potential downgrades to high yield status. This caused
spreads to widen dramatically within the auto sector and across fixed income
credit markets. Markets began recovering in mid-May on stronger technicals,
positive economic developments and S&P and Fitch's long-anticipated downgrades
of Ford and GM to non-investment grade. The rating agencies' actions removed
some of the uncertainty in the market surrounding the credits' ultimate resting
places, allowing both high yield and investment grade investors to shore up
their positions.
Improving technicals, better overall demand and the relative absence of further
negative headlines continued to buoy markets through June and July, despite a
stronger new issue calendar in June and renewed outflows from high yield mutual
funds. Resurgent investor risk appetites on the back of strong U.S. economic
news and positive 2Q earnings announcements also contributed to positive
performance, allowing markets to outperform despite the July 7/th/ terrorist
bombings in London (and the July 21/st/ reprise) and weaker consumer sentiment.
However, higher-than-expected August new issuance, combined with stronger
inflation, increasingly mixed economic data and rising energy prices, slowed
activity near the end of the period, although low trading volumes and light
issuance in the latter half of August (ahead of the Labor Day holiday) kept
markets in positive territory. High yield markets continued to decline through
October end, as volatility in the auto sector, higher energy costs, rising
inflation and fears of a potentially slowing economy in the aftermath of
Hurricane Katrina converged with abundant new supply and continued retail
outflows following the Labor Day holiday.
Spreads tightened 45 basis points during the 12-month period ended October 31,
2005 to close at 363 basis points over U.S. Treasuries. Based on the 8.13%
yield/ii/ of the Citigroup High Market Yield Index as of October 31, 2005,
high-yield bonds continued to offer competitive yields relative to U. S.
Treasury notes./iii/ However, high-yield issues are subject to additional
risks, such as the increased possibility of default because of their lower
credit quality, and yields and prices will fluctuate.
EMERGING MARKETS DEBT REVIEW
Emerging markets debt returned 10.54% during the 12 months ended October 31,
2005, as represented by the J.P. Morgan Emerging Markets Bond Index Global.
Strong country fundamentals and market technicals offset the downward pressure
exerted by eight "measured" increases in the Fed Funds rate throughout the 12
months and credit contagion from the auto sector during volatile Spring 2005.
Continued progress on political and economic reform in many emerging countries,
continued commodity price strength and the generally positive macro environment
supported broad credit quality improvements across emerging markets during the
12 months.
Sovereign debt markets achieved positive momentum at the start of the period
after recovering from depressed levels earlier in 2004 and rallied through the
remainder of the year. Positive returns were supported by strong underlying
country fundamentals, commodity prices strength (particularly in metals,
agriculture and oil) and relatively low U.S. Treasury market volatility.
Emerging debt continued to trend positive during the first two months of 2005
despite concerns over the path of U.S. interest rates, risks of higher
inflation and new bond issuance weighing on the market. However, indications of
potentially more aggressive tightening (50-basis-point increments) from the
Federal Reserve and increasingly prominent inflation worries led the market
down in March, broadly in line with the U.S. Treasury market. Emerging debt
markets remained under pressure in early April as spillover from volatile
credit markets, with the highly visible troubles in the auto sector, worsened
technicals.
Markets turned again by mid-April and followed a generally upward trajectory
through the remainder of the period as U.S. Treasury market volatility
declined, the U.S. equity market recovered and country fundamentals remained
broadly supportive. Although sovereign market volatility trended upward near
the end of the period, emerging markets proved relatively resilient, boosted by
strong investor demand for greater risk assets despite the early July terrorist
bombings in London, continued political noise in key emerging countries and
increasing volatility in U.S. Treasuries.
Spreads tightened 157 basis points/iv/ during the 12-month period ended
October 31, 2005, closing at 242 basis points over U.S. Treasuries. (Of note,
sovereign spreads tightened 67 basis points alone during the month of June 2005
due primarily to index rebalancing with the conclusion of the Argentine bond
exchange.) Over the period, 12-month return volatility stood at 4.92%,/v/
substantially below long-term, historical levels of approximately 16%.
HOW DID THE PORTFOLIO PERFORM DURING THE REPORTING PERIOD? PERFORMANCE VS.
BENCHMARK? PERFORMANCE VS. LIPPER CATEGORY AVERAGE?
For the 12 months ended October 31, 2005, the Salomon Brothers Strategic Total
Return Bond Portfolio returned 2.67%. In comparison, the portfolio's unmanaged
benchmark, the Lehman Brothers Aggregate Bond Index, returned 1.13%, and its
Lipper variable global income funds category average was 2.80% over the same
period.
WHAT WERE THE MOST SIGNIFICANT FACTORS AFFECTING THE PORTFOLIO'S PERFORMANCE?
3A) WHAT WERE THE LEADING CONTRIBUTORS TO PERFORMANCE?
During the annual period, the Portfolio benefited from its yield curve
positioning, underweight to shorter maturities in favor of the longer portion
of the curve. The flattening yield curve positively impacted portfolio returns.
The Portfolio's exposure to higher yielding assets, specifically U.S. high
yield and emerging markets debt, also proved to be beneficial in benchmark
outperformance over the period as both markets enjoyed favorable market
fundamentals and technicals during the 12 months.
3B) WHAT WERE THE LEADING DETRACTORS FROM PERFORMANCE?
Our shorter duration detracted from overall absolute returns early in the
period, as the longer end (10+ year) of the yield curve held up
- --------------------------------------------------------------------------------
9
- --------------------------------------------------------------------------------
SALOMON BROTHERS STRATEGIC TOTAL RETURN BOND
PORTFOLIO FOR THE YEAR ENDED 10/31/05
MANAGED BY SALOMON BROTHERS ASSET MANAGEMENT INC
LETTER TO POLICYHOLDERS (CONTINUED)
- --------------------------------------------------------------------------------
better than market participants expected. The Portfolio's allocation to
investment grade corporates detracted from performance during the annual period
due to market volatility predicated on idiosyncratic risk (i.e. negative auto
sector headlines, M&A and LBO activity and shareholder-friendly corporate
actions).
WERE THERE ANY SIGNIFICANT CHANGES MADE TO THE PORTFOLIO DURING THE REPORTING
PERIOD?
We reduced overall duration in the portfolio versus the benchmark in advance of
the remarkable yield curve flattening seen during the 12 months ended
October 31, 2005. Although remaining somewhat defensive (i.e., slightly short),
we brought the portfolio's duration closer to neutral as rates backed up and
the 10-year U.S. Treasury bond sold off in the latter half of the period. We
also removed our yield curve flattener trade, in which we had underweighted the
short end of the yield curve and overweighted the long end in anticipation of
further flattening.
We took profits in non-U.S. investment grade and emerging markets debt near the
end of the reporting period to decrease the portfolio's overall risk exposure
from its early overweight toward more neutral levels of credit risk. We
opportunistically reallocated assets into mortgage-backed and U.S. Treasury
securities during market troughs as both asset classes sold off during the
period, although we remain underweight mortgages relative to historical levels.
PLEASE REFER TO PAGES 44 THROUGH 48 FOR A LIST AND PERCENTAGE BREAKDOWN OF THE
PORTFOLIO'S HOLDINGS.
Your clients should consider the investment objectives, risks, charges and
expenses of a portfolio carefully before investing. The prospectus contains
this and other important information. Your clients should read the prospectus
carefully before investing.
/i/ The PCE deflator is a nation-wide indicator of the average increase in
prices for all domestic personal consumption. It's derived from the largest
Gross Domestic Product (GDP) component, personal consumption expenditures, and
is indexed to a base of 100 in 1992.
/ii/ As measured by the yield on the Citigroup High Yield Market Index as of
the period's close. The Citigroup High Yield Market Index is a broad-based
unmanaged index of high yield securities. Please note that an investor cannot
invest directly in an index.
/iii/ Yields are subject to change and will fluctuate.
/iv/ A basis point is one one-hundredth (1/100 or 0.01) of one percent.
/v/ Source: J.P. Morgan Chase.
The views expressed above are those of the investment subadvisory firm and are
subject to change based on market and other conditions. Information about the
Portfolio's holdings, asset allocation, industry allocation or country
diversification is historical and is not an indication of future portfolio
composition which will vary.
- --------------------------------------------------------------------------------
TOP TEN HOLDINGS BY MARKET VALUE
As of 10/31/05
Percent of
Description Net Assets
---------------------------------------------------------------
Federal National Mortgage Association ( 5.000%, TBA) 15.80%
---------------------------------------------------------------
Federal Home Loan Mortgage Corp. (6.000%, TBA) 9.21%
---------------------------------------------------------------
Federal Home Loan Mortgage Corp. (5.000%, TBA) 7.02%
---------------------------------------------------------------
U.S. Treasury Note (4.000%, 04/15/10) 4.30%
---------------------------------------------------------------
U.S. Treasury Bond (6.250%, 05/15/30) 3.53%
---------------------------------------------------------------
Federal National Mortgage Association ( 4.000%, TBA) 3.46%
---------------------------------------------------------------
Federal National Mortgage Association ( 6.500%, TBA) 3.07%
---------------------------------------------------------------
U.S. Treasury Note (4.250%, 08/15/13) 2.86%
---------------------------------------------------------------
U.S. Treasury Note (3.875%, 05/15/10) 2.14%
---------------------------------------------------------------
U.S. Treasury Note (5.000%, 02/15/11) 1.87%
---------------------------------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION (% of portfolio market value)
As of 10/31/05
[CHART]
Common Stocks 1.5%
Domestic Bonds & Debt Securities 33.7%
Foreign Bonds & Debt Securities 5.9%
Preferred Stock 0.2%
Rights/ Warrants 0.0%
U.S. Government & Agency Obligations 58.7%
- --------------------------------------------------------------------------------
10
- --------------------------------------------------------------------------------
SALOMON BROTHERS STRATEGIC TOTAL RETURN BOND
PORTFOLIO FOR THE YEAR ENDED 10/31/05
MANAGED BY SALOMON BROTHERS ASSET MANAGEMENT INC
LETTER TO POLICYHOLDERS (CONTINUED)
- --------------------------------------------------------------------------------
SALOMON BROTHERS STRATEGIC TOTAL RETURN BOND PORTFOLIO MANAGED BY
SALOMON BROTHERS ASSET MANAGEMENT VS. J.P. MORGAN GLOBAL GOVERNMENT BOND
INDEX-UNHEDGED/1/ AND LEHMAN BROTHERS U.S. AGGREGATE BOND INDEX/2/
Growth Based on $10,000
[CHART]
Salomon Strategic J.P. Morgan Global Lehman Brothers
Total Return Government Bond Index Aggregate Bond Index
----------------- --------------------- --------------------
6/94 $10,000 $10,000
10/94 9,950 $10,000 10,030
10/95 10,882 11,443 11,600
10/96 13,066 12,027 12,278
10/97 14,284 13,109 13,370
10/98 13,927 14,655 14,619
10/99 13,793 14,391 14,696
10/00 14,396 15,600 15,769
10/01 15,978 17,986 18,065
10/02 16,515 19,118 19,129
10/03 19,008 19,697 20,066
10/04 20,306 20,729 21,176
10/05 20,847 20,924 21,415
---------------------------------------------------------------
Average Annual Return/3/
(for the period ended 10/31/05)
---------------------------------------------------------------
1 Year 3 Year 5 Year 10 Year Since Inception/4/
---------------------------------------------------------------
Salomon
Strategic Total
Return Bond
- -- Portfolio 2.67% 8.08% 7.69% 6.72% 6.67%
---------------------------------------------------------------
J.P. Morgan
Global
Government
Bond Index--
- - - Unhedged/1/ 0.94% 3.06% 6.05% 6.22% 7.66%
---------------------------------------------------------------
Lehman Brothers
Aggregate Bond
- -- Index/2/ 1.13% 3.84% 6.31% 6.32% 7.91%
---------------------------------------------------------------
/1/The J.P. Morgan Global Government Bond Index--Unhedged is a daily, market
capitalization weighted international fixed-income index consisting of 13
countries. The Index does not include fees or expenses and is not available for
direct investment.
/2/The Lehman Brothers Aggregate Bond Index is a broad measure of the
performance of the taxable bonds in the U.S. market, with maturities of at
least one year. The Index does not include fees or expenses and is not
available for direct investment.
/3/"Average Annual Return" is calculated including reinvestment of all income
dividends and capital gains distributions.
/4/Inception date of Portfolio is 06/16/1994.
Past Performance does not guarantee future results. The investment return and
principal value of an investment in the Portfolio will fluctuate, so that
shares, on any given day or when redeemed, may be worth more or less than their
original cost. Performance numbers are net of all Portfolio expenses but do not
include any insurance, sales, or administrative charges of variable annuity or
life insurance contracts. If these charges were included, the returns would be
lower.
- --------------------------------------------------------------------------------
11
- --------------------------------------------------------------------------------
STRATEGIC EQUITY PORTFOLIO FOR THE YEAR ENDED 10/31/05
MANAGED BY FIDELITY MANAGEMENT & RESEARCH COMPANY
LETTER TO POLICYHOLDERS
- --------------------------------------------------------------------------------
STRATEGIC EQUITY PORTFOLIO
For the year ending October 31st, 2005 most of the world's major stock markets
posted gains as many foreign economies catapulted to new highs. Domestically,
the S&P 500 returned 8.72%. The economy continued to expand and overall
corporate profits improved at a strong, albeit slowing, rate. As of the end of
October approximately 85% of companies in the S&P 500 have reported earnings,
with two thirds surprising on the upside. With the third quarter earnings
season nearly complete, S&P 500 companies are on pace to register their 14th
quarter of double digit earnings growth. This expansion occurred despite
dramatically higher energy prices, Federal Reserve tightenings, geopolitical
uncertainties, as well as regulatory and legal issues at some major U.S.
corporations. For the year ending October 31st, 2005 mid cap stocks
outperformed both large and small cap stocks. Value stocks outpaced growth
stocks across all market capitalization ranges.
Against this backdrop, the Strategic Equity Portfolio underperformed the S&P
500 Index. For the 12 months ended October 31st the portfolio returned 6.85%
while the S&P 500 returned 8.72% for the same period. The largest detractor
from relative performance was an underweight to the energy sector. Energy was
by far the best performing sector in the S&P 500 over the past twelve months as
record high oil and natural gas prices created a positive environment for
energy companies. Stock selection in the industrial sector, more specifically
the transportation industry, hurt performance as several airline and automobile
parts companies posted negative returns for the year. Weak stock returns and an
overweight to the slumping telecommunications sector also contributed to the
portfolio's relative underperformance. On the up side, an underweight in
financials and solid stock picking in the materials sector helped to bolster
portfolio performance.
PLEASE REFER TO PAGES 49 THROUGH 51 FOR A LIST AND PERCENTAGE BREAKDOWN OF THE
PORTFOLIO'S HOLDINGS.
The views expressed above are those of the investment subadvisory firm and are
subject to change based on market and other conditions. Information about the
Portfolio's holdings, asset allocation, industry allocation or country
diversification is historical and is not an indication of future portfolio
composition which will vary.
TOP TEN HOLDINGS BY MARKET VALUE
As of 10/31/05
Percent of
Description Net Assets
---------------------------------------------
American International Group, Inc. 7.61%
---------------------------------------------
Microsoft Corp. 6.99%
---------------------------------------------
Altria Group, Inc. 3.48%
---------------------------------------------
General Electric Co. 3.46%
---------------------------------------------
UnitedHealth Group, Inc. 2.83%
---------------------------------------------
SLM Corp. 2.80%
---------------------------------------------
Wyeth 2.30%
---------------------------------------------
Roche Holding AG 2.28%
---------------------------------------------
Johnson & Johnson 2.22%
---------------------------------------------
CIENA Corp. 1.77%
---------------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION (% portfolio market value)
As of 10/31/05
[CHART]
Consumer Discretionary 0.3%
Non-Cyclical 34.6%
Energy 3.9%
Basic Materials 1.7%
Financials 18.6%
Cyclical 5.6%
Industrials 6.5%
Technology 15.4%
Communications 12.1%
Utilities 1.2%
Health Care 0.1%
- --------------------------------------------------------------------------------
12
- --------------------------------------------------------------------------------
STRATEGIC EQUITY PORTFOLIO FOR THE YEAR ENDED 10/31/05
MANAGED BY FIDELITY MANAGEMENT & RESEARCH COMPANY
LETTER TO POLICYHOLDERS (CONTINUED)
- --------------------------------------------------------------------------------
STRATEGIC EQUITY PORTFOLIO MANAGED BY
FIDELITY VS. S&P 500 INDEX/1/
Growth Based on $10,000
[CHART]
Strategic Equity Portfolio S&P 500
-------------------------- -------
6/94 $10,000 $10,000
10/94 10,650 10,325
10/95 13,428 13,055
10/96 17,007 16,201
10/97 22,549 21,406
10/98 25,463 26,113
10/99 34,504 32,817
10/00 37,683 34,816
10/01 25,606 26,145
10/02 19,449 22,196
10/03 23,450 26,812
10/04 25,430 29,337
10/05 27,173 31,895
----------------------------------------------------------------
Average Annual Return/2/
(for the period ended 10/31/05)
----------------------------------------------------------------
1 Year 3 Year 5 Year 10 Year Since Inception/3/
----------------------------------------------------------------
Strategic Equity
- -- Portfolio 6.85% 11.79% -6.33% 7.30% 9.18%
----------------------------------------------------------------
- - - S&P 500 Index/1/ 8.72% 12.85% -1.74% 9.34% 12.30%
----------------------------------------------------------------
/1/The S&P 500 Index is an unmanaged index consisting of 500 stocks chosen for
market size, liquidity, and industry group representation. It is a market-value
weighted index (stock price times number of shares outstanding), with each
stock's weight in the Index proportionate to its market value. The Index does
not include fees or expenses and is not available for direct investment
/2/"Average Annual Return" is calculated including reinvestment of all income
dividends and capital gains distributions.
/3/Inception date of Portfolio is 06/16/1994.
Past Performance does not guarantee future results. The investment return and
principal value of an investment in the Portfolio will fluctuate, so that
shares, on any given day or when redeemed, may be worth more or less than their
original cost. Performance numbers are net of all Portfolio expenses but do not
include any insurance, sales, or administrative charges of variable annuity or
life insurance contracts. If these charges were included, the returns would be
lower.
- --------------------------------------------------------------------------------
13
- --------------------------------------------------------------------------------
TRAVELERS MANAGED INCOME PORTFOLIO FOR THE YEAR ENDED 10/31/05
MANAGED BY SALOMON BROTHERS ASSET MANAGEMENT INC
LETTER TO POLICYHOLDERS
- --------------------------------------------------------------------------------
PERFORMANCE UPDATE
For the 12 months ended October 31, 2005, the Portfolio returned 0.35%. In
comparison, the Lehman Brothers Intermediate Government/Credit Bond Index
("Lehman Index") returned 0.27% for the same period.
MARKET REVIEW
The U.S. economy continued to grow at a solid pace throughout the period, with
gross domestic product (GDP) surpassing 3.0% in each quarter covered by this
report. Given the strength of the economy and rising oil prices triggering
inflationary concerns, the Federal Reserve Board (the "Fed") continued to raise
short-term interest rates at a measured pace. While there were expectations
that the Fed may pause in its tightening cycle following the devastation
wrought by Hurricanes Katrina and Rita, it continued to raise rates. In its
statement accompanying the September 2005 rate hike the Fed said: "The
widespread devastation in the Gulf region, the associated dislocation of
economic activity, and the boost to energy prices imply that spending,
production, and unemployment will be set back in the near term...While these
unfortunate developments have increased uncertainty about near-term economic
performance, it is the Open Market Committee's view that they do not pose a
more persistent threat."
Rising interest rates, a widening of swap and credit spreads, a decline in
volatility, and the flattening of the yield curve were the main drivers of the
fixed income market during the reporting period. In the Treasury market, 3- and
5-year securities generated the worst performance during the fiscal year. In
contrast, 30-year Treasuries had the best performance of any fixed income
security or sector, followed by the positive performance of 3- and 6-month
Treasury bills. High-grade credit spreads widened to 86 basis points over the
period.
CONTRIBUTORS TO PERFORMANCE
During the reporting period, the Portfolio's yield curve and duration
management, sector allocations, and security selection enhanced results. In
particular, the Portfolio's overweight in asset-backed securities relative to
the Lehman Index added to the performance of the Portfolio, as did our
overweight in collateralized mortgage-backed securities. The Portfolio's
exposure to the corporate bond market produced mixed results over the period.
On one hand, the Portfolio's strong security selection and an underweight
position in the poor performing auto industry were positives for performance.
However, our general overweight of the corporate bond sector detracted from
results, as it was the worst performing sector over the fiscal year.
Thank you for your investment in the Travelers Managed Income Portfolio. We
appreciate that you have entrusted us to manage your money and value our
relationship with you.
Sincerely,
GENE C. COLLINS
TRAVELERS ASSET MANAGEMENT INTERNATIONAL COMPANY, LLC
NOVEMBER 22, 2005
PLEASE REFER TO PAGES 52 THROUGH 55 FOR A LIST AND PERCENTAGE BREAKDOWN OF THE
PORTFOLIO'S HOLDINGS.
The views expressed above are those of the investment subadvisory firm and are
subject to change based on market and other conditions. Information about the
Portfolio's holdings, asset allocation, industry allocation or country
diversification is historical and is not an indication of future portfolio
composition which will vary.
TOP TEN HOLDINGS BY MARKET VALUE
As of 10/31/05
Percent of
Description Net Assets
-----------------------------------------------------------------------
U.S. Treasury Note (4.125%, 08/15/08) 11.99%
-----------------------------------------------------------------------
U.S. Treasury Note (5.625%, 05/15/08) 9.04%
-----------------------------------------------------------------------
U.S. Treasury Note (4.000%, 08/31/07) 5.82%
-----------------------------------------------------------------------
U.S. Treasury Note (2.875%, 11/30/06) 4.68%
-----------------------------------------------------------------------
U.S. Treasury Note (4.125%, 05/15/15) 2.39%
-----------------------------------------------------------------------
Federal National Mortgage Association (6.000%, 05/15/11) 1.89%
-----------------------------------------------------------------------
Banc of America Commercial Mortgage, Inc. (4.870%, 12/10/42) 1.50%
-----------------------------------------------------------------------
Time Warner, Inc. (6.150%, 05/01/07) 1.49%
-----------------------------------------------------------------------
U.S. Treasury Note (2.750%, 08/15/07) 1.42%
-----------------------------------------------------------------------
JP Morgan Chase Commercial Mortgage Securities Corp.
(4.922%, 01/15/42) 1.41%
-----------------------------------------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION (% of portfolio market value)
As of 10/31/05
[CHART]
Asset - Backed 2.8%
Cash/Other 5.6%
Collateralized Mortgage Obligations 7.6%
Domestic Corporate Bonds 41.5%
Rights/Warrants 0.0%
U.S. Agency Mortgage 4.9%
U.S. Treasury 37.6%
- --------------------------------------------------------------------------------
14
- --------------------------------------------------------------------------------
TRAVELERS MANAGED INCOME PORTFOLIO FOR THE YEAR ENDED 10/31/05
MANAGED BY SALOMON BROTHERS ASSET MANAGEMENT INC
LETTER TO POLICYHOLDERS (CONTINUED)
- --------------------------------------------------------------------------------
TRAVELERS MANAGED INCOME PORTFOLIO MANAGED BY
SALOMON BROTHERS ASSET MANAGEMENT VS. LEHMAN BROTHERS
INTERMEDIATE GOVERNMENT/CREDIT BOND INDEX/1/
Growth Based on $10,000
[CHART]
Travelers Managed Lehman Brothers Intermediate
Income Portfolio Government/Credit Bond Index
----------------- ----------------------------
6/99 $10,000 $10,000
10/94 10,040 10,035
10/95 11,313 11,293
10/96 11,835 11,950
10/97 12,923 12,845
10/98 13,661 14,016
10/99 13,900 14,155
10/00 14,534 15,069
10/01 16,496 17,216
10/02 15,827 18,234
10/03 17,544 19,224
10/04 18,278 20,056
10/05 18,341 20,111
----------------------------------------------------------------
Average Annual Return/2/
(for the period ended 10/31/05)
----------------------------------------------------------------
1 Year 3 Year 5 Year 10 Year Since Inception/3/
----------------------------------------------------------------
Travelers
Managed
- -- Income Portfolio 0.35% 5.04% 4.76% 4.95% 5.48%
----------------------------------------------------------------
Lehman
Brothers
Intermediate
Government/
Credit Bond
- - - Index/1/ 0.27% 3.32% 5.94% 5.94% 7.24%
----------------------------------------------------------------
/1/The Lehman Brothers Intermediate Government/Credit Bond Index, is a
broad-based unmanaged index of bonds issued by the U.S. government and its
agencies as well as certain corporate issuers. The Index is unmanaged and is
not subject to the same management and trading expenses of a mutual fund.
/2/"Average Annual Return" is calculated including reinvestment of all income
dividends and capital gains distributions.
/3/Inception date of Portfolio is 06/16/1994.
Past Performance does not guarantee future results. The investment return and
principal value of an investment in the Portfolio will fluctuate, so that
shares, on any given day or when redeemed, may be worth more or less than their
original cost. Performance numbers are net of all Portfolio expenses but do not
include any insurance, sales, or administrative charges of variable annuity or
life insurance contracts. If these charges were included, the returns would be
lower.
- --------------------------------------------------------------------------------
15
- --------------------------------------------------------------------------------
VAN KAMPEN ENTERPRISE PORTFOLIO FOR THE YEAR ENDED 10/31/05
MANAGED BY VAN KAMPEN ASSET MANAGEMENT, INC.
LETTER TO POLICYHOLDERS
- --------------------------------------------------------------------------------
PERFORMANCE REVIEW
For the 12 months ended October 31, 2005, the Van Kampen Enterprise Portfolio
returned 10.48%. The Portfolio outperformed its benchmark, the Russell 1000(R)
Growth Index, which returned 8.81% for the same period. It outperformed the
Lipper Variable Large Cap Growth fund category average, which was 10.06%.
MARKET REVIEW
The annual reporting period opened on an optimistic note. Despite high oil
prices and ongoing increases to the federal funds target rate, stocks rallied
briskly in November and December. The stock market was buoyed by a variety of
factors, including the undisputed presidential election, indications of steady
economic growth, merger-and-acquisition activity, initial public offerings and
good corporate earnings.
In contrast to the strong close of 2004, the first months of 2005 were far less
ebullient. Stocks retreated amid profit taking and deteriorating sentiment.
Investors grew increasingly apprehensive about soaring oil prices, inflationary
pressures, the Federal Open Market Committee's (the Fed) interest rate
tightenings, and the pace of economic growth. The misfortunes of the auto
industry called into question the strength of the U.S. economy. Although oil
prices continued to increase, the climate brightened by late spring.
Encouraging economic data, increased consumer confidence, waning inflationary
fears and many solid corporate earnings announcements boosted the stock market.
Against the backdrop of mixed economic data and additional increases to the
federal funds rate, the markets became increasingly choppy during the final
months of the period. The Gulf Coast hurricanes sent oil prices spiking and
created anxiety about the economy, particularly given the Fed's resolve to
continue raising rates. The stock market regained its footing as the period
wound to a close, helped by a dip in oil prices, better-than-expected economic
data, and the nomination of Benjamin Bernanke to head the Federal Reserve.
CONTRIBUTORS TO PERFORMANCE
The Portfolio's performance relative to the Russell 1000(R) Growth Index was
boosted by strong performance from health care stocks. Biotechnology stocks
contributed robust gains, helped by company specific events. Fueled by positive
earnings surprises and good revenues, managed care companies also advanced
notably. Relative to the benchmark, the portfolio was overweighted in both
industries.
The Portfolio's consumer discretionary holdings served the portfolio well.
Relative returns benefited both from an overall sector underweight as well as
from solid security selection. In particular, the Portfolio's homebuilder
stocks performed solidly, as new home purchases remained strong. Overall
strength in consumer spending also provided a favorable environment for a
number of the Portfolio's leisure and retail stocks.
In contrast, information technology stocks slowed the portfolio's pace relative
to the benchmark. Throughout the period, we positioned the Portfolio according
to our risk-managed growth discipline. Many of the top-performing technology
stocks fell short of our criteria, and our underweighting of these names
hindered the Portfolio's relative performance. Additionally, a handful of the
Portfolio's technology holdings underperformed as a result of event-driven news
or disappointing earnings. The Portfolio's energy allocation also tempered
relative returns. Although its energy holdings performed well in absolute
terms, the Portfolio was slightly underweighted in the sector relative to the
benchmark as a result of some very lofty valuations.
Thank you for your investment in the Van Kampen Enterprise Portfolio. As ever,
we appreciate that you have chosen us to manage your assets and we remain
focused on seeking to achieve the portfolio's investment goals.
Sincerely,
SANDIP BHAGAT
Lead Portfolio Manager
VAN KAMPEN ASSET MANAGEMENT INC.
NOVEMBER 7, 2005
PLEASE REFER TO PAGES 56 THROUGH 58 FOR A LIST AND PERCENTAGE BREAKDOWN OF THE
PORTFOLIO'S HOLDINGS.
The views expressed above are those of the investment subadvisory firm and are
subject to change based on market and other conditions. Information about the
Portfolio's holdings, asset allocation, industry allocation or country
diversification is historical and is not an indication of future portfolio
composition which will vary.
- --------------------------------------------------------------------------------
16
- --------------------------------------------------------------------------------
VAN KAMPEN ENTERPRISE PORTFOLIO FOR THE YEAR ENDED 10/31/05
MANAGED BY VAN KAMPEN ASSET MANAGEMENT, INC.
LETTER TO POLICYHOLDERS (CONTINUED)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TOP TEN HOLDINGS BY MARKET VALUE
As of 10/31/05
Percent of
Description Net Assets
------------------------------------
Proctor & Gamble Co. 3.28%
------------------------------------
Johnson & Johnson 3.20%
------------------------------------
General Electric Co. 3.08%
------------------------------------
Amgen, Inc. 2.77%
------------------------------------
Unitedhealth Group, Inc. 2.76%
------------------------------------
Dell, Inc. 2.60%
------------------------------------
Microsoft Corp. 2.38%
------------------------------------
United Technologies Corp. 2.19%
------------------------------------
Intel Corp. 2.16%
------------------------------------
Celgene Corp 1.83%
------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION (% of portfolio market value)
As of 10/31/05
[CHART]
Consumer Discretionary 0.0%
Non-Cyclical 32.6%
Energy 3.1%
Basic Materials 1.3%
Financials 5.7%
Cyclical 13.2%
Industrials 13.7%
Technology 19.7%
Communications 10.1%
Utilities 0.6%
17
- --------------------------------------------------------------------------------
VAN KAMPEN ENTERPRISE PORTFOLIO FOR THE YEAR ENDED 10/31/05
MANAGED BY VAN KAMPEN ASSET MANAGEMENT, INC.
LETTER TO POLICYHOLDERS (CONTINUED)
- --------------------------------------------------------------------------------
VAN KAMPEN ENTERPRISE PORTFOLIO MANAGED BY
VAN KAMPEN ASSET MANAGEMENT, INC. VS. RUSSELL 1000 GROWTH INDEX/1/
Growth Based on $10,000
[CHART]
Van Kampen Enterprise Portfolio Russell 1000 Growth Index
------------------------------- -------------------------
6/94 $10,000 $10,000
10/94 10,380 10,614
10/95 12,948 13,714
10/96 15,972 16,663
10/97 20,733 21,740
10/98 22,592 27,097
10/99 28,576 36,378
10/00 32,527 39,772
10/01 20,323 23,883
10/02 16,244 19,197
10/03 19,157 23,386
10/04 19,166 24,176
10/05 21,175 26,306
---------------------------------------------------------------
Average Annual Return/2/
(for the period ended 10/31/05)
---------------------------------------------------------------
1 Year 3 Year 5 Year 10 Year Since Inception/3/
---------------------------------------------------------------
Van Kampen
Enterprise
- -- Portfolio 10.48% 9.24% -8.23% 5.04% 6.82%
---------------------------------------------------------------
Russell 1000
- - - Growth Index/1/ 8.81% 11.07% -7.93% 6.73% 10.16%
---------------------------------------------------------------
/1/The Russell 1000 Growth Index measures the performance of those Russell 1000
companies with higher price-to-book ratios and higher forecasted growth values.
(A price-to-book ratio is the price of a stock compared to the difference
between a company's assets and liabilities.) The Index does not include fees or
expenses and is not available for direct investment.
/2/"Average Annual Return" is calculated including reinvestment of all income
dividends and capital gains distributions.
/3/Inception date of Portfolio is 06/16/1994.
Past Performance does not guarantee future results. The investment return and
principal value of an investment in the Portfolio will fluctuate, so that
shares, on any given day or when redeemed, may be worth more or less than their
original cost. Performance numbers are net of all Portfolio expenses but do not
include any insurance, sales, or administrative charges of variable annuity or
life insurance contracts. If these charges were included, the returns would be
lower.
- --------------------------------------------------------------------------------
18
UNDERSTANDING YOUR PORTFOLIO'S EXPENSES
SHAREHOLDER EXPENSE EXAMPLE
As a mutual fund shareholder you may incur two types of costs: (1) TRANSACTION
COSTS, including sales charges (loads) on purchase payments and redemption fees
and (2) ONGOING COSTS, including management fees, shareholder services fees and
other Portfolio expenses. For Travelers Series Trust sales charges, redemption
fees do not apply. Costs are described in more detail in the Portfolio's
prospectus. The examples below are intended to help you understand your ongoing
costs of investing in the Portfolios and help you compare these with the
ongoing costs of investing in other mutual funds.
ACTUAL EXPENSES
The first line in the table for each Portfolio shows the ACTUAL account values
and ACTUAL Portfolio expenses you would have paid on a $1,000 investment in the
Portfolio from May 1, 2005 through October 31, 2005. It also shows how much a
$1,000 investment would be worth at the close of the period, assuming ACTUAL
Portfolio returns and expenses. To estimate the expenses you paid over the
period, simply divide your account by $1,000 (for example $8,600 account value
divided by $1,000 = 8.6) and multiply the result by the number in the "Expenses
Paid During Period" column as shown below for your Portfolio.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line of the table below provides information about hypothetical
account values and hypothetical expenses based on the Portfolio's actual
expense ratio and an ASSUMED rate of return of 5% per year before expenses,
which is not the Portfolio's actual return. Thus, you should NOT use the
hypothetical account values and expenses to estimate the actual ending account
balance or your expenses for the period. Rather, these figures are provided to
enable you to compare the ongoing costs of investing in the Portfolio and other
Portfolios. To do so, compare this 5% hypothetical example with the 5%
hypothetical examples that appear in the shareholder reports of the other
Portfolios.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only. Therefore, the second line of the table is useful in
comparing ongoing costs only, and will not help you determine the relative
TOTAL costs of owning different Portfolios. In addition, if these transaction
costs were included, your costs would have been higher.
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING PERIOD*
5/1/05 10/31/05 5/1/05-10/31/05
AIM CAPITAL APPRECIATION PORTFOLIO ------------- ------------- ---------------
Actual $1,000.00 $1,115.50 $4.53
Hypothetical (5% return before expenses) 1,000.00 $1,020.92 $4.33
- ------------------------------------------ ------------- ------------- ---------------
* Expenses are equal to the Portfolio's annualized expense ratio of 0.85%,
multiplied by the average account value over the period, multiplied by 184/365
(to reflect the one-half year period).
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING PERIOD*
5/1/05 10/31/05 5/1/05-10/31/05
MFS TOTAL RETURN PORTFOLIO ------------- ------------- ---------------
Actual $1,000.00 $1,024.90 $4.08
Hypothetical (5% return before expenses) 1,000.00 $1,021.17 $4.08
- ------------------------------------------ ------------- ------------- ---------------
* Expenses are equal to the Portfolio's annualized expense ratio of 0.80%,
multiplied by the average account value over the period, multiplied by 184/365
(to reflect the one-half year period).
- - ------------- ------------- ---------------
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING PERIOD*
5/1/05 10/31/05 5/1/05-10/31/05
PIONEER STRATEGIC INCOME PORTFOLIO ------------- ------------- ---------------
Actual $1,000.00 $1,018.10 $4.32
Hypothetical (5% return before expenses) 1,000.00 $1,020.92 $4.33
- ------------------------------------------ ------------- ------------- ---------------
* Expenses are equal to the Portfolio's annualized expense ratio of 0.85%,
multiplied by the average account value over the period, multiplied by 184/365
(to reflect the one-half year period).
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING PERIOD*
5/1/05 10/31/05 5/1/05-10/31/05
SALOMON BROTHERS STRATEGIC TOTAL RETURN BOND PORTFOLIO ------------- ------------- ---------------
Actual $1,000.00 $1,008.40 $7.69
Hypothetical (5% return before expenses) 1,000.00 $1,017.54 $7.73
- ------------------------------------------------------ ------------- ------------- ---------------
* Expenses are equal to the Portfolio's annualized expense ratio of 1.52%,
multiplied by the average account value over the period, multiplied by 184/365
(to reflect the one-half year period).
19
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING PERIOD*
5/1/05 10/31/05 5/1/05-10/31/05
STRATEGIC EQUITY PORTFOLIO ------------- ------------- ---------------
Actual $1,000.00 $1,089.30 $4.32
Hypothetical (5% return before expenses) 1,000.00 $1,021.07 $4.18
- ------------------------------------------ ------------- ------------- ---------------
* Expenses are equal to the Portfolio's annualized expense ratio of 0.82%,
multiplied by the average account value over the period, multiplied by 184/365
(to reflect the one-half year period).
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING PERIOD*
5/1/05 10/31/05 5/1/05-10/31/05
TRAVELERS MANAGED INCOME PORTFOLIO ------------- ------------- ---------------
Actual $1,000.00 $1,000.00 $3.53
Hypothetical (5% return before expenses) 1,000.00 $1,021.68 $3.57
- ------------------------------------------ ------------- ------------- ---------------
* Expenses are equal to the Portfolio's annualized expense ratio of 0.70%,
multiplied by the average account value over the period, multiplied by 184/365
(to reflect the one-half year period).
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING PERIOD*
5/1/05 10/31/05 5/1/05-10/31/05
VAN KAMPEN ENTERPRISE PORTFOLIO ------------- ------------- ---------------
Actual $1,000.00 $1,068.80 $4.38
Hypothetical (5% return before expenses) 1,000.00 $1,020.97 $4.28
- ------------------------------------------ ------------- ------------- ---------------
* Expenses are equal to the Portfolio's annualized expense ratio of 0.84%,
multiplied by the average account value over the period, multiplied by 184/365
(to reflect the one-half year period).
20
THE TRAVELERS SERIES TRUST
AIM CAPITAL APPRECIATION PORTFOLIO
PORTFOLIO OF INVESTMENTS
OCTOBER 31, 2005
(PERCENTAGE OF NET ASSETS)
-----------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
-----------------------------------------------------------------------
COMMON STOCKS - 97.6%
AEROSPACE & DEFENSE - 1.5%
Boeing Co. (The).............................. 37,500 $ 2,424,000
General Dynamics Corp......................... 10,000 1,163,000
-------------
3,587,000
-------------
BANKS - 1.5%
Bank of America Corp.......................... 50,500 2,208,870
Kookmin Bank (ADR)*(a)........................ 22,100 1,291,082
-------------
3,499,952
-------------
BEVERAGES - 0.7%
PepsiCo, Inc.................................. 26,532 1,567,511
-------------
BIOTECHNOLOGY - 4.4%
Amgen, Inc.*.................................. 49,297 3,734,741
Genentech, Inc.*.............................. 13,664 1,237,958
Genzyme Corp.*................................ 6,294 455,676
Gilead Sciences, Inc.*........................ 54,417 2,571,203
Protein Design Labs, Inc.*(a)................. 46,600 1,305,732
Serono S.A. Class B........................... 1,820 1,178,074
-------------
10,483,384
-------------
CHEMICALS - 2.8%
Air Products & Chemicals, Inc................. 23,016 1,317,436
Dow Chemical Co............................... 45,000 2,063,700
Monsanto Co................................... 30,954 1,950,411
Rohm & Haas Co................................ 31,179 1,357,222
-------------
6,688,769
-------------
COMMERCIAL SERVICES & SUPPLIES - 3.2%
Fiserv, Inc.*................................. 27,713 1,210,504
Iron Mountain, Inc.*(a)....................... 44,220 1,724,580
Paychex, Inc.................................. 44,220 1,713,967
Robert Half International, Inc................ 77,384 2,853,922
-------------
7,502,973
-------------
COMMUNICATIONS EQUIPMENT - 2.4%
Cisco Systems, Inc.*.......................... 96,362 1,681,517
QUALCOMM, Inc................................. 102,334 4,068,800
-------------
5,750,317
-------------
COMPUTERS, PERIPHERALS & SERVICES - 4.3%
Apple Computer, Inc.*......................... 110,549 6,366,517
Dell, Inc.*................................... 61,907 1,973,595
EMC Corp.*.................................... 139,074 1,941,473
-------------
10,281,585
-------------
ELECTRICAL EQUIPMENT - 0.5%
Matsushita Electric Industrial Co., Ltd. (ADR) 70,100 1,289,840
-------------
ELECTRONIC EQUIPMENT & INSTRUMENTS - 0.6%
Agilent Technologies, Inc.*................... 44,220 1,415,482
-------------
ENERGY EQUIPMENT & SERVICES - 4.4%
Baker Hughes, Inc............................. 32,723 1,798,456
Emerson Electric Co........................... 22,574 1,570,022
ENSCO International, Inc...................... 46,961 2,140,952
----------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
----------------------------------------------------------------
ENERGY EQUIPMENT & SERVICES - CONTINUED
GlobalSantaFe Corp........................ 33,165 $ 1,477,501
National-Oilwell Varco, Inc.*............. 33,165 2,071,817
Patterson-UTI Energy, Inc................. 39,500 1,348,135
-------------
10,406,883
-------------
FINANCIALS - DIVERSIFIED - 5.6%
American Express Co....................... 33,165 1,650,622
Charles Schwab Corp. (The)................ 125,000 1,900,000
Chicago Mercantile Exchange Holdings, Inc. 2,395 874,534
Franklin Resources, Inc................... 13,266 1,172,316
Goldman Sachs Group, Inc.................. 24,321 3,073,445
Merrill Lynch & Co., Inc.................. 35,261 2,282,797
SLM Corp.................................. 44,220 2,455,537
-------------
13,409,251
-------------
FOOD & DRUG RETAILING - 1.9%
CVS Corp.................................. 89,500 2,184,695
Shoppers Drug Mart Corp................... 31,200 1,038,987
Whole Foods Market, Inc................... 9,494 1,368,370
-------------
4,592,052
-------------
FOOD PRODUCTS - 0.5%
Kellogg Co................................ 25,561 1,129,029
-------------
HEALTH CARE EQUIPMENT & SUPPLIES - 4.9%
Alcon, Inc................................ 29,954 3,980,887
Becton, Dickinson & Co.................... 3,078 156,208
Medtronic, Inc............................ 53,000 3,002,980
St. Jude Medical, Inc.*................... 51,799 2,489,978
Varian Medical Systems, Inc.*............. 46,028 2,097,036
-------------
11,727,089
-------------
HEALTH CARE PROVIDERS & SERVICES - 5.7%
Aetna, Inc................................ 36,561 3,237,842
Caremark Rx, Inc.*........................ 68,836 3,607,006
PacifiCare Health Systems, Inc.*.......... 21,194 1,745,538
UnitedHealth Group, Inc................... 40,956 2,370,943
WellPoint, Inc.*.......................... 35,831 2,675,859
-------------
13,637,188
-------------
HOTELS, RESTAURANTS & LEISURE - 0.5%
Brinker International, Inc.*.............. 31,387 1,196,472
-------------
HOUSEHOLD DURABLES - 2.3%
Garmin, Ltd.(a)........................... 21,815 1,252,835
Harman International Industries, Inc...... 30,653 3,061,009
Jarden Corp.*(a).......................... 35,228 1,190,354
-------------
5,504,198
-------------
HOUSEHOLD PRODUCTS - 1.7%
Procter & Gamble Co....................... 71,457 4,000,877
-------------
INDUSTRIAL - DIVERSIFIED - 2.2%
General Electric Co....................... 66,329 2,249,216
Rockwell Automation, Inc.................. 22,990 1,221,918
Textron, Inc.............................. 24,188 1,742,504
-------------
5,213,638
-------------
See notes to financial statements
21
THE TRAVELERS SERIES TRUST
AIM CAPITAL APPRECIATION PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
OCTOBER 31, 2005
(PERCENTAGE OF NET ASSETS)
------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
------------------------------------------------------------------
INSURANCE - 2.7%
Allstate Corp. (The)..................... 44,395 $ 2,343,612
CIGNA Corp............................... 16,096 1,865,044
Millea Holdings, Inc. (ADR)(a)........... 16,400 1,491,908
Mitsui Sumitomo Insurance Co., Ltd. (ADR) 5,800 737,425
-------------
6,437,989
-------------
INTERNET SOFTWARE & SERVICES - 5.2%
eBay, Inc.*.............................. 84,017 3,327,073
Google, Inc., Class A*................... 8,805 3,276,693
McAfee, Inc.*............................ 61,907 1,859,067
Yahoo!, Inc.*............................ 103,540 3,827,874
-------------
12,290,707
-------------
IT CONSULTING & SERVICES - 0.7%
Cognizant Technology Solutions Corp.,
Class A*............................... 15,169 667,133
NAVTEQ*.................................. 26,941 1,053,932
-------------
1,721,065
-------------
MACHINERY - 4.5%
Caterpillar, Inc......................... 53,064 2,790,636
Eaton Corp............................... 22,110 1,300,731
Illinois Tool Works, Inc................. 16,065 1,361,669
Ingersoll-Rand Co., Ltd., Class A........ 62,283 2,353,675
Komatsu Ltd. (ADR)(a).................... 22,500 1,195,875
Parker Hannifin Corp..................... 26,532 1,663,026
-------------
10,665,612
-------------
MEDIA - 1.2%
Pixar*................................... 17,688 897,312
XM Satellite Radio Holdings, Inc.,
Class A*(a)............................ 68,660 1,979,468
-------------
2,876,780
-------------
METALS & MINING - 3.3%
Companhia Vale do Rio Doce (ADR)......... 35,376 1,462,090
Nucor Corp............................... 19,899 1,190,955
Phelps Dodge Corp........................ 17,688 2,130,873
POSCO (ADR)(a)........................... 24,144 1,238,346
United States Steel Corp.(a)............. 50,180 1,833,076
-------------
7,855,340
-------------
OIL & GAS - 9.1%
Apache Corp.............................. 26,532 1,693,538
Burlington Resources, Inc................ 26,532 1,916,141
ConocoPhillips........................... 48,642 3,180,214
Devon Energy Corp........................ 35,376 2,136,003
Exxon Mobil Corp......................... 66,329 3,723,710
Newfield Exploration Co.*................ 26,532 1,202,696
Occidental Petroleum Corp................ 23,791 1,876,634
Sunoco, Inc.............................. 13,266 988,317
Valero Energy Corp....................... 30,954 3,257,599
XTO Energy, Inc.......................... 39,827 1,730,881
-------------
21,705,733
-------------
-----------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
-----------------------------------------------------------------
PHARMACEUTICALS - 4.5%
Johnson & Johnson....................... 75,001 $ 4,696,563
Medicis Pharmaceutical Corp., Class A(a) 37,407 1,103,506
Roche Holding AG........................ 12,185 1,819,710
Teva Pharmaceutical Industries, Ltd.
(ADR)(a).............................. 46,398 1,768,692
Wyeth................................... 28,424 1,266,573
-------------
10,655,044
-------------
RETAIL - MULTILINE - 1.1%
Federated Department Stores, Inc........ 23,276 1,428,448
J.C. Penney Co., Inc.................... 25,400 1,300,480
-------------
2,728,928
-------------
RETAIL - SPECIALTY - 3.7%
Best Buy Co., Inc....................... 33,165 1,467,883
Coach, Inc.*............................ 52,913 1,702,740
Home Depot, Inc. (The).................. 45,000 1,846,800
Office Depot, Inc.*..................... 137,963 3,798,122
-------------
8,815,545
-------------
ROAD & RAIL - 0.8%
Burlington Northern Santa Fe Corp....... 30,641 1,901,580
-------------
SEMICONDUCTOR EQUIPMENT & PRODUCTS - 5.2%
Analog Devices, Inc..................... 88,439 3,075,909
Freescale Semiconductor, Inc., Class B*. 26,781 639,530
KLA-Tencor Corp......................... 28,500 1,319,265
Linear Technology Corp.................. 4,763 158,179
Marvell Technology Group, Ltd.*......... 42,300 1,963,143
Maxim Integrated Products, Inc.......... 35,685 1,237,556
Microchip Technology, Inc.(a)........... 132,661 4,002,382
-------------
12,395,964
-------------
SOFTWARE - 3.5%
Amdocs, Ltd.*........................... 68,431 1,811,369
Autodesk, Inc........................... 53,064 2,394,778
Electronic Arts, Inc.*.................. 24,321 1,383,379
Microsoft Corp.......................... 110,549 2,841,109
-------------
8,430,635
-------------
TEXTILES, APPAREL & LUXURY GOODS - 0.5%
NIKE, Inc., Class B..................... 15,439 1,297,648
-------------
Total Common Stocks
(Cost $197,916,000) 232,662,060
-------------
See notes to financial statements
22
THE TRAVELERS SERIES TRUST
AIM CAPITAL APPRECIATION PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
OCTOBER 31, 2005
(PERCENTAGE OF NET ASSETS)
-------------------------------------------------------------------
SECURITY SHARES/PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
-------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 9.9%
State Street Bank & Trust Co., Repurchase
Agreement, dated 10/31/05 at 1.70% to
be repurchased at $3,898,184 on
11/01/05 collateralized by $3,375,000
U.S. Treasury Bond 6.250% due
08/15/23 with a value of $3,980,229.... $ 3,898,000 $ 3,898,000
State Street Navigator Securities Lending
Prime Portfolio(b)..................... 19,752,473 19,752,473
------------
Total Short-Term Investments
(Cost $23,650,473) 23,650,473
------------
TOTAL INVESTMENTS - 107.5%
(Cost $221,566,473) 256,312,533
Other Assets and Liabilities (net) - (7.5)% (17,980,353)
------------
TOTAL NET ASSETS - 100.0% $238,332,180
============
PORTFOLIO FOOTNOTES:
* Non-income producing security.
(a) All or a portion of security out on loan.
(b) Represents investment of collateral received from securities lending
transactions. (Note 6)
ADR - American Depositary Receipt
See notes to financial statements
23
THE TRAVELERS SERIES TRUST
MFS TOTAL RETURN PORTFOLIO
PORTFOLIO OF INVESTMENTS
OCTOBER 31, 2005
(PERCENTAGE OF NET ASSETS)
---------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
---------------------------------------------------------------------
DOMESTIC BONDS & DEBT SECURITIES - 11.2%
AEROSPACE & DEFENSE - 0.6%
BAE Systems Holdings, Inc.
6.400%, due 12/15/11(144A)(a)......... $ 1,038,000 $ 1,093,666
5.200%, due 8/15/15(144A)(a).......... 1,700,000 1,650,952
Boeing Capital Corp.
6.500%, due 2/15/12(b)............... 1,663,000 1,790,713
Continental Airlines, Inc., Series 981A
6.648%, due 9/15/17.................. 978,918 929,837
Northrop Grumman Corp.
7.750%, due 2/15/31(b)............... 1,395,000 1,759,434
Raytheon Co. 6.150%, due 11/1/08....... 615,000 635,035
---------------
7,859,637
---------------
ASSET-BACKED SECURITIES - 0.3%
Capital One Auto Finance Trust,
Series 2002-A, Class A 4 4.790%,
due 1/15/09.......................... 1,596,741 1,596,308
Entergy Louisiana, Inc., Waterford 3
Secured Lease Obligation Bonds
8.090%, due 1/2/17................... 723,615 773,393
Falcon Franchise Loan LLC,
Series 2000-1, Class A-1 7.382%, due
5/5/10 (144A)(a)..................... 287,297 299,119
System Energy Resources, Inc., Secured
Lease Obligation Bonds 5.129%, due
1/15/14 (144A)(a).................... 674,172 648,587
---------------
3,317,407
---------------
AUTO MANUFACTURERS - 0.0%
Ford Motor Co. 7.450%, due
7/16/31(b)........................... 597,000 441,780
---------------
BANKS - 1.0%
Abbey National Capital Trust I, Trust
Preferred Securities 8.963%, due
12/29/49**........................... 801,000 1,064,871
Bank of America Corp. 5.375%,
due 6/15/14(b)....................... 840,000 851,747
Barclays Bank Plc, Perpetual Bonds
6.860%, due 12/15/49 (144A)(a)....... 975,000 1,044,983
DBS Capital Funding Corp., Series A
7.657%, due 12/31/49
(144A)**(a).......................... 872,000 964,753
HBOS Capital Funding LP, Tier 1 Notes
6.071%, due 6/30/49 (144A)(a)........ 550,000 567,078
Mizuho Financial Group Cayman Ltd.
5.790%, due 4/15/14 (144A)(a)........ 568,000 583,434
Nordea Bank AB 5.424%,
due 12/29/49 (144A)(a)............... 610,000 602,002
Popular North America, Inc. 4.250%,
due 4/1/08(b)........................ 1,910,000 1,877,899
RBS Capital Trust I, Trust Preferred
Securities, 6.425%, due
12/29/49**........................... 2,000,000 2,048,582
-------------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
-------------------------------------------------------------------------
BANKS - CONTINUED
Unicredito Italiano Capital Trust II, Trust
Preferred Securities, 9.200%, due
10/5/49 (144A)**(a)...................... $ 1,412,000 $ 1,640,985
Wachovia Corp. 5.250%, due
8/1/14(b)................................ 2,045,000 2,042,697
---------------
13,289,031
---------------
BEVERAGES - 0.2%
FBG Finance Ltd. 5.875%, due
6/15/35 (144A)(a)........................ 1,050,000 1,008,014
Miller Brewing Co. 5.500%, due
8/15/13 (144A)(a)........................ 1,641,000 1,656,714
---------------
2,664,728
---------------
CHEMICALS - 0.1%
Dow Chemical Co.
5.750%, due 12/15/08...................... 659,000 677,319
6.000%, due 10/1/12....................... 493,000 516,425
---------------
1,193,744
---------------
COLLATERALIZED MORTGAGE OBLIGATIONS - 1.7%
Bear Stearns Commercial Mortgage
Securities
Series 1999-WF2, Class A 16.800%,
due 9/15/08............................. 262,576 267,344
Series 2005-Pwr7, Class A3 5.116%,
due 2/11/41............................. 1,046,000 1,033,152
BlackRock Capital Finance LP, Series
1996-R1, Class B2 7.750%, due
9/25/26 (144A)(a)....................... 164,481 165,203
Chase Commercial Mortgage Securities
Corp.
Series 1998-2, Class A2 6.390%, due
11/18/30................................ 1,166,048 1,208,718
Series 1998-C1, Class A2 7.543%,
due 7/15/32............................. 182,805 192,140
Citigroup/Deutsche Bank Commercial
Mortgage Trust, Series 2005-CD1,
Class A3 5.225%, due 9/15/20............. 930,000 931,238
CRIIMI MAE Commercial Mortgage
Trust
Series 1998-1, Class C 6.701%, due
6/20/30 (144A)(a)....................... 420,000 425,286
Series 1998-C1, Class A2 7.000%,
due 6/2/33 (144A)(a).................... 2,150,000 2,209,125
CS First Boston Mortgage Securities
Corp., Series 2001-CK1, Class A3
6.380%, due 12/16/35..................... 550,000 578,354
Deutsche Mortgage and Asset Receiving
Corp., Series 1998-C1, Class A2
6.538%, due 6/15/31...................... 910,699 936,156
See notes to financial statements
24
THE TRAVELERS SERIES TRUST
MFS TOTAL RETURN PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
OCTOBER 31, 2005
(PERCENTAGE OF NET ASSETS)
-----------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
-----------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS - CONTINUED
Greenwich Capital Commercial Funding
Corp., Series 2005 Gg5 Class A5
5.214%, due 9/10/15................. $ 948,905 $ 953,639
Greenwich Capital Commercial Funding
Corp., Series. 2004-GG1, Class A7
5.317%, due 6/10/36**............... 1,200,000 1,203,028
JP Morgan Chase Commercial Mortgage
Securities Corp.
Series 1998-C6, Class A3 6.613%,
due 1/15/30........................ 321,818 330,042
Series 2004-C2, Class A3 5.214%,
due 5/15/41**...................... 1,200,000 1,199,675
Series 2005-CB12 4.948%, due
9/12/37............................ 1,000,000 969,761
Series 2005-LDP2, Class AM 4.780%,
due 7/15/42........................ 850,000 815,108
Morgan Stanley Capital I, Inc., Series
1998-HF2, Class X, IO 0.743%, due
11/15/30 (144A)**(a)................ 32,443,043 627,419
Mortgage Capital Funding, Inc., Series
1998-MC3, Class A2 6.337%, due
11/18/31............................ 1,200,668 1,232,369
Multi-Family Capital Access One, Inc.,
Series 1, Class A 6.650%, due
1/15/24............................. 264,432 273,727
RAAC Series 2004-SP3 Trust, Series
2004-SP3 Trust, Class AI3 4.971%,
due 9/25/34**....................... 548,000 524,685
Residential Asset Mortgage Products,
Inc., Series 2003-RZ5, Class A3
3.800%, due 7/25/30................. 492,383 490,347
Spirit Master Funding, LLC 5.050%, due
7/20/23 (144A)(a)................... 1,088,423 1,059,785
Wachovia Bank Commercial Mortgage
Trust
Series 2005-C16, Class A4 4.847%,
due 10/15/41**..................... 1,775,000 1,717,950
Series 2005-C17, Class A4 5.083%,
due 3/15/42**...................... 1,260,000 1,239,418
Series 2005-C21, Class AM 5.274%,
due 10/17/44....................... 1,000,000 992,970
---------------
21,576,639
---------------
COMMERCIAL SERVICES - 0.1%
Cendant Corp. 6.875%, due 8/15/06..... 1,108,000 1,122,559
---------------
ENERGY - 0.3%
CenterPoint Energy Resources Corp.,
Series B 7.875%, due 4/1/13......... 502,000 567,733
Duke Capital LLC 8.000%, due
10/1/19............................. 1,022,000 1,209,158
-------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
-------------------------------------------------------------------
ENERGY - CONTINUED
Kinder Morgan Energy Partners LP
6.750%, due 3/15/11................. $ 875,000 $ 931,849
7.750%, due 3/15/32................. 985,000 1,163,834
---------------
3,872,574
---------------
ENVIRONMENTAL SERVICES - 0.2%
Waste Management, Inc.
7.375%, due 8/1/10.................. 774,000 842,366
7.000%, due 7/15/28................. 1,268,000 1,401,268
---------------
2,243,634
---------------
FINANCIALS - DIVERSIFIED - 1.5%
Bank of America Corp. 7.400%, due
1/15/11............................ 2,663,000 2,942,932
EnCana Holdings Finance Corp. 5.800%,
due 5/1/14(b)...................... 887,000 923,539
Ford Motor Credit Co. 4.950%, due
1/15/08............................ 465,000 436,312
Ford Motor Credit Co. 5.700%, due
1/15/10............................ 1,224,000 1,102,451
Fund American Cos., Inc. 5.875%, due
5/15/13(b)......................... 630,000 626,414
General Electric Capital Corp.
8.750%, due 5/21/07................. 313,000 331,700
8.500%, due 7/24/08................. 553,000 602,446
5.450%, due 1/15/13................. 322,000 328,307
General Motors Acceptance Corp.
5.850%, due 1/14/09(b).............. 920,000 880,133
7.250%, due 3/2/11.................. 587,000 578,001
Goldman Sachs Group, Inc. 5.700%,
due 9/1/12......................... 1,591,000 1,627,370
JPMorgan Chase & Co. 5.125%, due
9/15/14............................ 1,292,000 1,266,695
Lehman Brothers Holdings, Inc.
8.250%, due 6/15/07(b)............. 771,000 809,827
Merrill Lynch & Co., Inc. 5.450%, due
7/15/14(b)......................... 1,235,000 1,247,245
Midamerican Funding LLC 6.927%, due
3/1/29............................. 599,000 655,531
Morgan Stanley
6.750%, due 4/15/11................. 864,000 927,474
4.750%, due 4/1/14.................. 798,000 754,065
Natexis AMBS Co., LLC, Series A,
Preferred Securities 8.440%, due
12/29/49 (144A)**(a)............... 280,000 302,700
Prudential Funding LLC 6.600%, due
5/15/08 (144A)(a).................. 600,000 625,015
SLM Corp., Series A 4.000%, due
1/15/09(b)......................... 744,000 722,577
UFJ Finance Aruba AEC 6.750%, due
7/15/13(b)......................... 860,000 932,084
---------------
18,622,818
---------------
See notes to financial statements
25
THE TRAVELERS SERIES TRUST
MFS TOTAL RETURN PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
OCTOBER 31, 2005
(PERCENTAGE OF NET ASSETS)
---------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
---------------------------------------------------------------------
FOOD PRODUCTS - 0.2%
Cadbury Schweppes US Finance LLC
5.125%, due 10/1/13 (144A)(a)........ $ 1,585,000 $ 1,563,997
Kraft Foods, Inc. 6.250%, due 6/1/12... 903,000 950,456
---------------
2,514,453
---------------
HAND/MACHINE TOOLS - 0.1%
Kennametal, Inc. 7.200%, due
6/15/12.............................. 927,000 1,001,422
---------------
HEALTH CARE PROVIDERS & SERVICES - 0.2%
HCA, Inc.
8.750%, due 9/1/10.................... 213,000 234,108
6.950%, due 5/1/12.................... 828,000 847,723
Wyeth 5.500%, due 3/15/13.............. 1,029,000 1,039,483
---------------
2,121,314
---------------
INDUSTRIAL CONGLOMERATES - 0.1%
Tyco International Group S.A. 6.750%,
due 2/15/11.......................... 802,000 853,882
---------------
INSURANCE - 0.5%
Ace INA Holdings, Inc. 5.875%, due
6/15/14.............................. 1,300,000 1,316,238
AIG SunAmerica Institutional Funding II
5.750%, due 2/16/09.................. 816,000 835,945
Allstate Corp. 5.550%, due
5/9/35(b)............................ 956,000 903,031
American International Group, Inc.
4.250%, due 5/15/13.................. 1,307,000 1,232,528
Genworth Financial, Inc. - Class A
5.750%, due 6/15/14.................. 600,000 620,240
JET Equipment Trust, Series 95-D
11.440%, due 11/1/14
(144A)(a)(c)(d)...................... 300,000 0
Prudential Financial, Inc., Series B
4.500%, due 7/15/13(b)............... 1,500,000 1,433,675
---------------
6,341,657
---------------
INVESTMENT COMPANIES - 0.2%
Credit Suisse First Boston USA, Inc.
4.125%, due 1/15/10(b)............... 2,579,000 2,488,389
---------------
MEDIA - 0.4%
COX Communications, Inc. 4.625%, due
6/1/13............................... 998,000 928,123
News America Holdings, Inc. 8.500%,
due 2/23/25.......................... 572,000 683,270
News America, Inc. 6.200%, due
12/15/34(b).......................... 923,000 892,334
Time Warner Entertainment Co. LP
10.150%, due 5/1/12................... 484,000 597,653
8.375%, due 7/15/33(b)................ 463,000 560,697
-------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
-------------------------------------------------------------------
MEDIA - CONTINUED
Walt Disney Co.
6.375%, due 3/1/12.................. $ 1,204,000 $ 1,269,730
Series B 6.750%, due 3/30/06......... 370,000 373,300
---------------
5,305,107
---------------
OIL & GAS - 0.4%
Alcan Inc 5.750%, due 6/1/35......... 707,000 667,267
Amerada Hess Corp. 7.300%, due
8/15/31............................ 850,000 962,872
Devon Financing Corp. ULC 6.875%, due
9/30/11............................ 988,000 1,071,118
Halliburton Co. 5.500%, due
10/15/10........................... 1,045,000 1,067,860
Ocean Energy, Inc. 7.250%, due
10/1/11(b)......................... 520,000 571,016
Valero Energy Corp. 6.875%, due
4/15/12............................ 737,000 800,122
---------------
5,140,255
---------------
PAPER & FOREST PRODUCTS - 0.1%
MeadWestvaco Corp. 6.800%, due
11/15/32........................... 441,000 442,342
Weyerhaeuser Co. 6.750%, due
3/15/12............................ 1,500,000 1,590,401
---------------
2,032,743
---------------
REAL ESTATE - 0.6%
EOP Operating, LP 6.800%, due
1/15/09............................ 1,751,000 1,835,272
HRPT Properties Trust, (REIT) 6.250%,
due 8/15/16........................ 672,000 692,642
Simon Property Group LP
6.375%, due 11/15/07(b) (REIT)...... 843,000 864,386
5.100%, due 6/15/15(b).............. 394,000 379,452
Socgen Real Estate Co., LLC, Series A
7.640%, due 12/29/49
(144A)**(a)........................ 1,555,000 1,627,874
Vornado Realty LP
5.625%, due 6/15/07................. 1,804,000 1,820,485
4.750%, due 12/1/10................. 348,000 338,531
---------------
7,558,642
---------------
RETAIL - 0.1%
Wal-Mart Stores, Inc. 5.250%, due
9/1/35............................. 1,248,000 1,175,455
---------------
SOVEREIGN - 0.0%
Financing Corp. 9.650%, due
11/2/18............................ 310,000 443,427
---------------
See notes to financial statements
26
THE TRAVELERS SERIES TRUST
MFS TOTAL RETURN PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
OCTOBER 31, 2005
(PERCENTAGE OF NET ASSETS)
-----------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
-----------------------------------------------------------------------
TELECOMMUNICATIONS SERVICES - DIVERSIFIED - 1.1%
AT&T Wireless Services, Inc. 7.350%,
due 3/1/06............................. $ 410,000 $ 413,589
BellSouth Corp. 6.550%, due
6/15/34(b)............................. 852,000 880,002
Cingular Wireless LLC 6.500%, due
12/15/11............................... 650,000 693,252
Deutsche Telekom International Finance
BV 8.750%/ 8.750%, due 6/15/30......... 1,269,000 1,578,189
France Telecom S.A. 7.750%, due
3/1/11................................. 346,000 385,814
PCCW Capital II, Ltd. 6.000%, due
7/15/13 (144A)(a)...................... 737,000 746,932
SBC Communications, Inc.
5.100%, due 9/15/14(b).................. 1,337,000 1,293,042
6.150%, due 9/15/34(b).................. 442,000 433,191
Sprint Capital Corp. 6.875%, due
11/15/28............................... 879,000 939,974
TCI Communications, Inc. 9.650%, due
3/31/27................................ 3,319,000 3,604,862
Telecom Italia Capital S.A.
5.250%, due 11/15/13.................... 545,000 533,678
6.000%, due 9/30/34(b).................. 620,000 590,606
Verizon New York, Inc., Series A
6.875%, due 4/1/12..................... 2,400,000 2,486,506
---------------
14,579,637
---------------
TRANSPORTATION - 0.1%
Csx Corp. 6.750%, due 3/15/11............ 415,000 444,758
Union Pacific Corp
6.125%, due 1/15/12..................... 292,000 306,456
5.375%, due 5/1/14...................... 763,000 767,117
---------------
1,518,331
---------------
UTILITIES - 1.1%
Dominion Resources, Inc. 5.150%, due
7/15/15(b)............................. 1,150,000 1,104,590
DTE Energy Co. 7.050%, due 6/1/11........ 800,000 859,934
Exelon Generation Co. LLC 6.950%, due
6/15/11................................ 1,407,000 1,513,877
FirstEnergy Corp., Series B 6.450%, due
11/15/11............................... 1,388,000 1,461,871
Hydro-Quebec, Series JL 6.300%, due
5/11/11(b)............................. 1,250,000 1,334,878
Midamerican Energy Holdings Co.
3.500%, due 5/15/08..................... 544,000 523,376
5.875%, due 10/1/12..................... 268,000 275,029
Niagara Mohawk Power Corp. 7.750%,
due 5/15/06............................ 271,000 275,589
Northeast Utilities, Series A 8.580%, due
12/1/06................................ 204,766 208,910
Pacific Gas & Electric Co. 4.800%, due
3/1/14................................. 1,500,000 1,446,596
--------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
--------------------------------------------------------------------
UTILITIES - CONTINUED
PSEG Power LLC
6.950%, due 6/1/12(b)................ $ 405,000 $ 435,083
8.625%, due 4/15/31(b)............... 533,000 674,589
Small Business Administration
Participation Certificates, Series
2003-20G, Class 1 4.350%, due
7/1/23.............................. 1,940,086 1,867,870
TXU Energy Co. LLC
7.000%, due 3/15/13(b)............... 351,000 366,022
7.000%, due 9/1/22................... 1,171,000 1,276,889
---------------
13,625,103
---------------
Total Domestic Bonds & Debt Securities
(Cost $143,474,332) 142,904,369
---------------
U. S. GOVERNMENT AGENCY MORTGAGE BACKED SECURITIES - 14.5%
Federal Home Loan Mortgage Corp.
3.750%, due 11/15/06................. 2,663,000 2,641,416
4.125%, due 11/18/09................. 3,100,000 3,031,753
5.500%, due 6/1/25-9/1/35............ 3,822,267 3,794,926
4.500%, due 4/1/35................... 799,240 746,379
5.000%, due 5/1/35-10/1/35........... 2,407,026 2,317,369
6.000%, due 7/1/35-8/1/35............ 700,260 707,658
Federal Home Loan Mortgage Corp. - Gold Pool
6.000%, due 4/1/16-8/1/34............ 8,383,040 8,508,164
4.500%, due 5/1/18-2/1/20............ 4,986,458 4,832,113
5.000%, due 5/1/18-4/1/34............ 8,195,853 7,967,691
5.500%, due 4/1/19-12/1/34........... 9,998,128 9,893,610
6.500%, due 5/1/34-10/1/34........... 2,152,009 2,208,370
Federal National Mortgage Association
3.250%, due 7/31/06.................. 3,000,000 2,971,872
5.722%, due 2/1/09................... 1,400,000 1,423,626
6.330%, due 3/1/11................... 185,976 194,923
4.621%, due 4/1/13................... 114,480 111,798
4.010%, due 8/1/13................... 112,962 105,998
4.019%, due 8/1/13................... 769,123 723,928
4.630%, due 4/1/14................... 279,870 271,317
4.518%, due 5/1/14................... 989,623 956,326
4.846%, due 8/1/14................... 582,101 574,000
4.925%, due 4/1/15................... 1,752,111 1,734,090
6.000%, due 7/1/16-12/1/34........... 21,897,910 22,174,573
5.000%, due 11/1/17-8/1/35........... 16,003,218 15,684,025
5.500%, due 11/1/17-9/1/35........... 60,709,290 60,144,121
4.500%, due 4/1/18-3/1/35............ 8,109,147 7,799,924
4.880%, due 3/1/20................... 243,525 241,233
6.500%, due 11/1/28-8/1/34........... 7,813,540 8,035,659
7.500%, due 10/1/29-2/1/32........... 766,524 809,742
Government National Mortgage
Association
6.500%, due 3/15/28-7/15/34.......... 621,067 645,536
6.000%, due 10/15/32-4/20/35......... 4,938,523 5,025,441
See notes to financial statements
27
THE TRAVELERS SERIES TRUST
MFS TOTAL RETURN PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
OCTOBER 31, 2005
(PERCENTAGE OF NET ASSETS)
--------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
--------------------------------------------------------------------
U. S. GOVERNMENT AGENCY MORTGAGE BACKED SECURITIES - CONTINUED
5.500%, due 11/15/32-2/15/35......... $ 6,106,454 $ 6,103,681
4.500%, due 7/20/33-3/20/35.......... 1,170,214 1,104,752
5.000%, due 3/15/34-12/15/34......... 1,111,893 1,085,650
---------------
Total U. S. Government Agency Mortgage
Backed Securities
(Cost $188,102,166) 184,571,664
---------------
U. S. GOVERNMENT & AGENCY OBLIGATIONS - 13.2%
Federal Home Loan Bank
3.250%, due 7/21/06(b)............... 1,985,000 1,968,106
3.750%, due 9/28/06.................. 6,120,000 6,071,242
3.900%, due 2/25/08.................. 740,000 727,839
Federal National Mortgage Association
3.000%, due 3/2/07................... 1,533,000 1,501,564
6.000%, due 5/15/08-5/15/11.......... 4,498,000 4,668,857
6.625%, due 9/15/09-11/15/10......... 7,765,000 8,344,837
6.125%, due 3/15/12.................. 5,955,000 6,373,702
4.625%, due 10/15/14(b).............. 1,447,000 1,415,972
5.500%, due 11/1/34.................. 1,853,315 1,830,342
U.S. Treasury Notes
5.750%, due 11/15/05(b).............. 3,004,000 3,006,935
5.875%, due 11/15/05(b).............. 1,178,000 1,179,197
6.875%, due 5/15/06(b)............... 2,913,000 2,953,738
7.000%, due 7/15/06(b)............... 9,955,000 10,138,550
4.375%, due 5/15/07(b)............... 1,719,000 1,719,337
3.250%, due 8/15/07(b)............... 3,098,000 3,038,825
3.000%, due 11/15/07(b).............. 9,974,000 9,711,404
5.500%, due 2/15/08(b)............... 3,161,000 3,238,546
5.625%, due 5/15/08(b)............... 33,273,000 34,249,097
4.750%, due
11/15/08-5/15/14(b)................ 11,607,000 11,715,420
4.000%, due
6/15/09-11/15/12(b)................ 3,720,000 3,607,883
10.375%, due 11/15/12(b)............. 884,000 986,144
3.875%, due 2/15/13(b)............... 1,294,000 1,242,595
4.125%, due 5/15/15(b)............... 7,021,000 6,777,463
9.875%, due 11/15/15(b).............. 1,165,000 1,651,570
6.250%, due 8/15/23(b)............... 17,909,000 20,906,662
6.000%, due 2/15/26(b)............... 3,011,000 3,462,415
5.375%, due 2/15/31(b)............... 3,732,000 4,071,381
Inflation Indexed
4.250%, due 1/15/10.................. 4,403,657 4,855,551
3.000%, due 7/15/12(b)............... 5,467,303 5,847,669
---------------
Total U. S. Government & Agency Obligations
(Cost $168,927,607) 167,262,843
---------------
-----------------------------------------------------------------
SECURITY SHARES/PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
-----------------------------------------------------------------
FOREIGN BONDS & DEBT SECURITIES - 0.2%
MEXICO - 0.2%
United Mexican States
8.625%, due 2/1/22.................. $ 153,000 $ 183,218
Series A
6.625%, due 3/3/15................ 1,334,000 1,428,047
7.500%, due 4/8/33................ 527,000 598,672
--------------
Total Foreign Bonds & Debt Securities
(Cost $2,199,550) 2,209,937
--------------
COMMON STOCKS - 59.6%
AEROSPACE & DEFENSE - 1.4%
Lockheed Martin Corp................. 133,870 8,107,167
Northrop Grumman Corp................ 89,160 4,783,434
Precision Castparts Corp............. 4,520 214,067
United Technologies Corp............. 95,980 4,921,855
--------------
18,026,523
--------------
AIR FREIGHT & LOGISTICS - 0.1%
CNF, Inc............................. 11,240 632,475
--------------
BANKS - 6.6%
Bank of America Corp................. 719,802 31,484,140
Mellon Financial Corp................ 470,600 14,913,314
PNC Financial Services Group, Inc.... 327,000 19,852,170
SunTrust Banks, Inc.................. 121,490 8,805,595
UBS AG............................... 24,301 2,062,007
Wachovia Corp........................ 45,560 2,301,691
Wells Fargo & Co..................... 81,490 4,905,698
--------------
84,324,615
--------------
BEVERAGES - 1.0%
Coca-Cola Co......................... 74,410 3,183,260
Diageo Plc........................... 241,203 3,563,235
Molson Coors Brewing Co.,
Class B(b)......................... 24,060 1,484,502
PepsiCo, Inc......................... 66,380 3,921,730
--------------
12,152,727
--------------
BIOTECHNOLOGY - 0.1%
MedImmune, Inc.*..................... 27,700 968,946
--------------
BUILDING PRODUCTS - 1.2%
Masco Corp........................... 529,500 15,090,750
--------------
CHEMICALS - 1.9%
Air Liquide S.A...................... 2,650 482,327
Air Products & Chemicals, Inc........ 78,500 4,493,340
Dow Chemical Co...................... 51,370 2,355,828
E.I. du Pont de Nemours & Co......... 127,230 5,304,219
Nalco Holding Co.*................... 164,850 2,802,450
PPG Industries, Inc.................. 88,190 5,288,755
Praxair, Inc......................... 16,430 811,806
Syngenta AG*......................... 20,020 2,145,242
--------------
23,683,967
--------------
See notes to financial statements
28
THE TRAVELERS SERIES TRUST
MFS TOTAL RETURN PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
OCTOBER 31, 2005
(PERCENTAGE OF NET ASSETS)
---------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
---------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES - 0.2%
Cendant Corp......................... 176,450 $ 3,073,759
---------------
COMMUNICATIONS EQUIPMENT - 1.8%
Cisco Systems, Inc.*................. 137,270 2,395,361
Nokia Oyj, (ADR)..................... 456,750 7,682,535
Nortel Networks Corp.*(b)............ 3,736,060 12,142,195
---------------
22,220,091
---------------
COMPUTERS, PERIPHERALS & SERVICES - 0.7%
International Business Machines Corp. 31,280 2,561,206
Sun Microsystems, Inc.*.............. 1,586,120 6,344,480
---------------
8,905,686
---------------
CONTAINERS & PACKAGING - 0.9%
Owens-Illinois, Inc.*................ 551,440 10,499,418
Smurfit-Stone Container Corp......... 48,990 517,334
---------------
11,016,752
---------------
ELECTRIC UTILITIES - 2.0%
Calpine Corp.*(b).................... 1,481,290 3,525,470
Dominion Resources, Inc.............. 100,920 7,677,994
Entergy Corp......................... 40,400 2,857,088
Exelon Corp.......................... 70,600 3,673,318
FirstEnergy Corp..................... 35,200 1,672,000
FPL Group, Inc....................... 10,030 431,892
NRG Energy, Inc.*.................... 10,500 451,605
PPL Corp............................. 124,510 3,902,143
Public Service Enterprise Group, Inc. 10,470 658,458
---------------
24,849,968
---------------
ELECTRICAL EQUIPMENT - 0.1%
Hubbell, Inc., Class B............... 24,730 1,190,997
---------------
ENERGY EQUIPMENT & SERVICES - 2.2%
BJ Services Co....................... 95,640 3,323,490
Cooper Cameron Corp.*................ 41,900 3,089,287
Cooper Industries Ltd., Class A...... 27,740 1,966,489
Emerson Electric Co.................. 8,660 602,303
GlobalSantaFe Corp................... 185,260 8,253,333
Noble Corp........................... 131,980 8,496,872
Samsung Electronics Co., Ltd.,
(GDR)*(a).......................... 4,670 1,246,890
TXU Corp............................. 12,780 1,287,585
---------------
28,266,249
---------------
FINANCIALS - DIVERSIFIED - 5.8%
American Express Co.................. 147,510 7,341,573
Ameriprise Financial, Inc............ 43,102 1,604,256
Capital One Financial Corp........... 31,180 2,380,593
Fannie Mae........................... 73,600 3,497,472
Franklin Resources, Inc.............. 40,150 3,548,056
Freddie Mac.......................... 20,860 1,279,761
Genworth Financial, Inc., Class A.... 119,870 3,798,680
---------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
---------------------------------------------------------------
FINANCIALS - DIVERSIFIED - CONTINUED
Goldman Sachs Group, Inc............... 74,120 $ 9,366,544
JPMorgan Chase & Co.................... 570,138 20,878,454
Lehman Brothers Holdings, Inc.......... 43,750 5,235,563
MBNA Corp.............................. 50,500 1,291,285
Merrill Lynch & Co., Inc............... 151,250 9,791,925
Morgan Stanley......................... 62,730 3,413,139
---------------
73,427,301
---------------
FOOD PRODUCTS - 1.0%
Archer-Daniels-Midland Co.............. 75,330 1,835,792
H.J. Heinz Co.......................... 118,360 4,201,780
Kellogg Co............................. 84,190 3,718,672
Nestle S.A.(b)......................... 5,004 1,488,881
Sara Lee Corp.......................... 89,130 1,590,971
---------------
12,836,096
---------------
HEALTH CARE EQUIPMENT & SUPPLIES - 0.2%
Boston Scientific Corp.*............... 98,820 2,482,358
---------------
HEALTH CARE PROVIDERS & SERVICES - 0.5%
Baxter International, Inc.............. 12,420 474,817
Tenet Healthcare Corp.*................ 693,300 5,837,586
---------------
6,312,403
---------------
HOTELS, RESTAURANTS & LEISURE - 0.2%
International Game Technology.......... 53,440 1,415,626
McDonald's Corp........................ 49,450 1,562,620
---------------
2,978,246
---------------
HOUSEHOLD PRODUCTS - 0.4%
Colgate-Palmolive Co................... 47,310 2,505,538
Kimberly-Clark Corp.................... 53,690 3,051,739
---------------
5,557,277
---------------
INDUSTRIAL - DIVERSIFIED - 2.0%
3M Co.................................. 40,550 3,080,989
General Electric Co.................... 260,240 8,824,738
Tyco International, Ltd................ 486,820 12,847,180
---------------
24,752,907
---------------
INSURANCE - 2.8%
ACE, Ltd............................... 39,400 2,052,740
AFLAC, Inc............................. 15,380 734,856
Allstate Corp. (The)................... 261,840 13,822,534
Chubb Corp............................. 23,180 2,155,045
CIGNA Corp............................. 2,100 243,327
Conseco, Inc.*......................... 294,900 5,986,470
Hartford Financial Services Group, Inc. 85,830 6,844,942
Lincoln National Corp.................. 64,150 3,246,632
---------------
35,086,546
---------------
IT CONSULTING & SERVICES - 0.5%
Accenture, Ltd., Class A............... 242,550 6,381,491
---------------
See notes to financial statements
29
THE TRAVELERS SERIES TRUST
MFS TOTAL RETURN PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
OCTOBER 31, 2005
(PERCENTAGE OF NET ASSETS)
-------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
-------------------------------------------------------------
LEISURE EQUIPMENT & PRODUCTS - 0.3%
Hasbro, Inc.......................... 48,020 $ 904,697
Mattel, Inc.......................... 223,470 3,296,182
---------------
4,200,879
---------------
MACHINERY - 0.9%
Deere & Co........................... 71,510 4,339,227
Finning International, Inc.*......... 2,830 92,538
Illinois Tool Works, Inc............. 52,480 4,448,205
Ingersoll-Rand Co., Ltd., Class A.... 30,800 1,163,932
Sandvik AB........................... 5,100 245,578
SPX Corp............................. 32,180 1,384,384
---------------
11,673,864
---------------
MEDIA - 3.3%
Interpublic Group of Cos., Inc.*..... 332,770 3,437,514
Knight Ridder, Inc.(b)............... 59,290 3,164,900
New York Times Co., Class A(b)....... 45,370 1,235,879
Reed Elsevier Plc.................... 189,500 1,728,812
Time Warner, Inc..................... 198,970 3,547,635
Tribune Co........................... 42,270 1,331,928
Viacom, Inc., Class B................ 500,993 15,515,753
Walt Disney Co. (The)................ 480,140 11,701,012
---------------
41,663,433
---------------
METALS & MINING - 0.1%
BHP Billiton Plc..................... 117,770 1,734,113
---------------
OIL & GAS - 5.3%
AGL Resources, Inc................... 51,820 1,823,546
Amerada Hess Corp.................... 39,120 4,893,912
BP Plc, (ADR)........................ 51,090 3,392,376
Chevron Corp......................... 79,312 4,526,335
ConocoPhillips....................... 175,680 11,485,958
Devon Energy Corp.................... 211,370 12,762,521
EnCana Corp.......................... 62,690 2,874,963
EOG Resources, Inc................... 44,900 3,043,322
Exxon Mobil Corp..................... 192,796 10,823,567
Sempra Energy........................ 31,350 1,388,805
Total S.A., (ADR)(b)................. 85,130 10,728,083
---------------
67,743,388
---------------
PAPER & FOREST PRODUCTS - 0.6%
Bowater, Inc......................... 158,290 4,194,685
International Paper Co............... 83,120 2,425,441
MeadWestvaco Corp.................... 53,030 1,390,447
---------------
8,010,573
---------------
PERSONAL PRODUCTS - 0.2%
Estee Lauder Companies, Inc., Class A 87,200 2,892,424
---------------
PHARMACEUTICALS - 4.2%
Abbott Laboratories.................. 177,190 7,628,029
Eli Lilly & Co....................... 9,550 475,494
Johnson & Johnson.................... 192,050 12,026,171
----------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
----------------------------------------------------------
PHARMACEUTICALS - CONTINUED
Merck & Co., Inc.................. 543,330 $ 15,332,773
Pfizer, Inc....................... 29,070 631,982
Wyeth............................. 393,580 17,537,925
---------------
53,632,374
---------------
RETAIL - MULTILINE - 1.0%
Family Dollar Stores, Inc......... 225,620 4,995,227
Wal-Mart Stores, Inc.............. 171,020 8,090,956
---------------
13,086,183
---------------
RETAIL - SPECIALTY - 1.9%
Circuit City Stores, Inc.......... 184,960 3,290,438
Gap, Inc.......................... 682,990 11,802,067
Lowe's Cos., Inc.................. 27,190 1,652,336
OfficeMax, Inc.................... 155,340 4,352,627
TJX Cos., Inc..................... 161,620 3,479,679
---------------
24,577,147
---------------
ROAD & RAIL - 0.4%
Burlington Northern Santa Fe Corp. 45,260 2,808,836
Norfolk Southern Corp............. 61,500 2,472,300
---------------
5,281,136
---------------
SEMICONDUCTOR EQUIPMENT & PRODUCTS - 0.5%
Analog Devices, Inc............... 86,240 2,999,427
Intel Corp........................ 71,000 1,668,500
Xilinx, Inc....................... 51,250 1,227,438
---------------
5,895,365
---------------
SOFTWARE - 2.2%
Compuware Corp.*.................. 595,530 4,817,838
Microsoft Corp.................... 46,340 1,190,938
Oracle Corp.*..................... 463,500 5,877,180
Symantec Corp.*................... 645,850 15,403,522
---------------
27,289,478
---------------
TELECOMMUNICATION SERVICES - DIVERSIFIED - 3.2%
SBC Communications, Inc........... 144,524 3,446,897
Sprint Nextel Corp................ 889,880 20,743,103
Verizon Communications, Inc....... 542,190 17,084,407
---------------
41,274,407
---------------
WIRELESS TELECOMMUNICATION SERVICES - 0.5%
Vodafone Group Plc, (ADR)(b)...... 249,917 6,562,820
---------------
THRIFTS & MORTGAGES - 0.1%
Countrywide Financial Corp........ 57,660 1,831,858
---------------
TOBACCO - 1.2%
Altria Group, Inc................. 207,280 15,556,364
---------------
TRADING COMPANIES & DISTRIBUTORS - 0.1%
W. W. Grainger, Inc............... 19,820 1,327,543
---------------
Total Common Stocks
(Cost $699,650,011) 758,451,479
---------------
See notes to financial statements
30
THE TRAVELERS SERIES TRUST
MFS TOTAL RETURN PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
OCTOBER 31, 2005
(PERCENTAGE OF NET ASSETS)
----------------------------------------------------------------------
SECURITY SHARES/PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
----------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 15.7%
Citigroup Funding, Inc. 4.000%, due
11/1/05................................ $ 13,086,000 $ 13,086,000
State Street Navigator Securities Lending
Prime Portfolio(e)..................... 186,909,499 186,909,499
--------------
Total Short-Term Investments
(Cost $199,995,499) 199,995,499
--------------
TOTAL INVESTMENTS - 114.4%
(Cost $1,402,349,165) 1,455,395,791
Other Assets & Liabilities (net) - (14.4)% (183,591,077)
--------------
TOTAL NET ASSETS - 100.0% $1,271,804,714
==============
PORTFOLIO FOOTNOTES:
* Non-income producing security.
** Variable or floating rate security. The stated rate represents the rate at
October 31, 2005.
(a) Securities that may be resold to "qualified institutional buyers" under
Rule 144A or securities offered pursuant to Section 4(2) of the Securities
Act of 1933, as amended. These securities have been determined to be liquid
under guidelines established by the Board of Trustees. These securities
represent 1.66% of net assets.
(b) All or a portion of this security is on loan.
(c) Security is in default.
(d) Security is valued in good faith at fair value by or under the direction of
the Board of Trustees.
(e) Represents investment of collateral received from securities lending
transactions. (Note 6)
ABBREVIATIONS USED IN THIS SCHEDULE:
ADR - American Depositary Receipt
AIG - American International Guaranty
GDR - Global Depository Receipt
IO - Interest Only
MTN - Medium-Term Note
The following table summarizes the credit composition of the portfolio holdings
of the MFS Total Return Portfolio at October 31, 2005, based upon quality
ratings issued by Standard & Poor's. For Securities not rated by Standard &
Poor's, the equivalent Moody's rating is used.
PERCENT OF
PORTFOLIO
PORTFOLIO COMPOSITION BY CREDIT QUALITY (UNAUDITED)
---------------------------------------------------
AAA/Government/Government Agency 29.49%
AA 0.84
A 6.32
BBB 27.53
BB 4.07
B 19.12
Below B 2.27
Equities/Other 10.36
------
Total: 100.00%
======
See notes to financial statements
31
THE TRAVELERS SERIES TRUST
PIONEER STRATEGIC INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS
OCTOBER 31, 2005
(PERCENTAGE OF NET ASSETS)
-----------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
-----------------------------------------------------------------------
DOMESTIC BONDS & DEBT SECURITIES - 45.3%
ADVERTISING - 0.0%
Lamar Media Corp. 7.250%, due
1/1/13................................ $ 80,000 $ 83,400
-------------
AEROSPACE & DEFENSE - 0.2%
L-3 Communications Corp. 6.125%, due
1/15/14............................... 400,000 393,000
-------------
AGRICULTURE - 0.2%
Hines Nurseries, Inc. 10.250%, due
10/1/11............................... 340,000 338,300
-------------
AIRLINES - 0.4%
AMR Corp. 9.800%, due 10/1/21(a)........ 400,000 228,000
Calair LLC/Calair Capital Corp. 8.125%,
due 4/1/08............................ 180,000 144,000
Continental Airlines, Inc., Pass-Through
Certificates, Series D 7.568%, due
12/1/06............................... 435,000 379,587
United Airlines, Inc. 9.125%, due
1/15/12(b)............................ 109,000 15,805
-------------
767,392
-------------
ASSET-BACKED SECURITIES - 2.2%
Ameriquest Mortgage Securities, Inc.
Series 2002-4, Class M4 7.788%, due
2/25/33**............................ 59,000 59,186
Series 2003-1, Class M4 7.118%, due
2/25/33**............................ 61,000 61,567
Series 2003-2, Class M4 7.118%, due
3/25/33**............................ 61,000 61,765
Series 2003-AR3, Class M5 7.788%,
due 10/25/33**....................... 25,000 25,449
Asset Backed Funding Corp.
Mortgage Loan Asset-Backed
Certificate, Series 2003-WF1, Class
M3 7.088%, due 12/27/32**............ 66,000 67,990
Mortgage Loan Asset-Backed
Certificate, Series 2003-WF1, Class
M4 7.288%, due 12/25/32**............ 25,000 25,073
Asset Backed Securities Corp.
Home Equity Loan Trust, Series
2003-HE1, Class M4 8.470%, due
1/15/33**............................ 56,000 55,733
Home Equity Loan Trust, Series
2003-HE2, Class M4 7.820%, due
4/15/33**............................ 123,000 124,352
Bank One Issuance Trust, Series
2002-C1, Class C1 4.930%, due
12/15/09**............................ 334,000 337,574
CDC Mortgage Capital Trust, Series
2003-HE2, Class B3 7.788%, due
10/25/33**............................ 50,000 49,411
-------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
-------------------------------------------------------------------
ASSET-BACKED SECURITIES - CONTINUED
Conseco Finance Securitizations Corp.
Series 2000-2, Class A4 8.480%, due
12/1/31............................. $ 18,634 $ 18,930
Series 2000-6, Class M2 8.200%, due
9/1/32.............................. 220,000 4,222
Series 2001-3, Class A4 6.910%, due
5/1/33.............................. 5,000 4,866
Series 2001-4, Class A4 7.360%, due
9/1/33.............................. 4,000 4,090
Series 2001-4, Class B1 9.400%, due
9/1/33.............................. 196,000 25,041
Series 2002-1, Class A 6.681%, due
12/1/33............................. 321,886 326,499
Consumer Credit Reference Index
Securities Program, Series 2002-1A,
Class A 5.924%, due 3/22/07.......... 250,000 253,365
Green Tree Financial Corp., Series
1999-5, Class A5 7.860%, due
4/1/30............................... 188,000 166,214
Green Tree Home Improvement Loan
Trust, Series 1995-F, Class B2
7.100%, due 1/15/21.................. 16,734 16,406
Greenpoint Manufactured Housing,
Series 2000-3, Class IA 8.450%, due
6/20/31.............................. 290,625 268,838
GSAMP Trust, Series 2003-FM1, Class
B3 8.500%, due 3/20/33............... 50,000 49,948
Home Equity Asset Trust, Series
2002-5N, Class A 8.000%, due
6/25/33 (144A)(c).................... 3,864 3,864
LNR CDO Ltd., Series 2002-1A, Class FFL
6.781%, due 7/24/37
(144A)**(c).......................... 215,000 215,000
Madison Avenue Manufactured Housing
Contract Trust, Series 2002-A, Class
B1 7.288%, due 10/25/15**............ 250,000 186,540
Master Asset Backed Securities Trust,
Series 2003-OPT1, Class MV5
7.538%, due 12/25/32**............... 50,000 50,306
Merrill Lynch Mortgage Investors, Inc.,
Series 2003-WMC1, Class B2
7.038%, due 11/25/33**............... 104,000 103,707
Mid-State Trust, Series 10, Class B
7.540%, due 7/15/26.................. 83,524 78,072
Morgan Stanley ABS Capital I, Inc.,
Series 2002-NC6, Class B2 7.788%,
due 11/25/32**....................... 17,669 17,419
See notes to financial statements
32
THE TRAVELERS SERIES TRUST
PIONEER STRATEGIC INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
OCTOBER 31, 2005
(PERCENTAGE OF NET ASSETS)
--------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
--------------------------------------------------------------------
ASSET-BACKED SECURITIES - CONTINUED
Morgan Stanley Dean Witter Capital I,
Inc.
Series 2001-AM1, Class B1 6.238%,
due 2/25/32**....................... $ 10,456 $ 10,482
Series 2001-NC3, Class B1 6.488%,
due 10/25/31**...................... 23,710 23,749
Series 2001-NC4, Class B1 6.538%,
due 1/25/32**....................... 72,565 72,573
Series 2002-AM2, Class B1 6.288%,
due 5/25/32**....................... 26,491 26,294
Series 2002-AM3, Class B2 7.788%,
due 2/25/33**....................... 58,000 58,685
Series 2002-NC5, Class B2 7.288%,
due 10/25/32**...................... 19,231 19,011
Series 2003-NC2, Class B2 7.788%,
due 2/25/33**....................... 59,000 59,412
Series 2003-NC3, Class B3 7.788%,
due 3/25/33**....................... 58,000 58,365
Nykredit Realkredit AS, Series ANN
5.000%, due 10/1/35.................. 1 0
PF Export Receivables Master Trust,
Series A 6.436%, due 6/1/15
(144A)(c)............................ 786,755 783,100
Sail Net Interest Margin Notes, Series
2003-BC1A, Class A 7.750%, due
1/27/33 (144A)(c).................... 5,156 5,183
Structured Asset Investment Loan Trust,
Series 2003-BC1, Class M3 7.038%,
due 1/25/33**........................ 146,000 147,609
TIAA Commercial Real Estate
Securitization, Series 2002-1A, Class
IV 6.840%, due 5/22/37............... 100,000 96,574
York Power Funding 12.000%, due
10/30/07 (144A)(b)(c)(d)(e).......... 51,032 0
-------------
4,022,464
-------------
AUTO COMPONENTS - 0.8%
Goodyear Tire & Rubber Co., (The)
9.000%, due 7/1/15 (144A)(c)......... 1,185,000 1,149,450
Sun Sage BV 8.250%, due 3/26/09
(144A)(c)............................ 310,000 328,600
-------------
1,478,050
-------------
AUTOMOBILES - 0.5%
Comml. Vehicle Group, Inc. 8.000%,
due 7/1/13 (144A)(c)................. 345,000 339,825
Lear Corp. 8.125%, due 4/1/08.......... 45,000 53,168
Navistar International Corp. 7.500%,
due 6/15/11(a)....................... 575,000 549,125
-------------
942,118
-------------
------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
------------------------------------------------------------------
BANKS - 1.1%
ATF Bank 9.250%, due 4/12/12
(144A)(c)........................... $ 455,000 $ 469,196
Kazkommerts International B.V.
8.000%, due 11/3/15................. 530,000 521,096
Russian Standard Finance S.A. 7.500%,
due 10/7/10......................... 415,000 409,294
Turanalem Finance BV 8.500%, due
2/10/15 (144A)(c)................... 600,000 613,500
-------------
2,013,086
-------------
BEVERAGES - 1.0%
Argentine Beverages Financial 7.375%,
due 3/22/12 (144A)(c)............... 475,000 477,375
Central European Distribution Corp.
8.000%, due 7/25/12 (144A)(c)....... 590,000 758,659
CIA Brasileira de Bebidas 8.750%, due
9/15/13............................. 600,000 705,000
-------------
1,941,034
-------------
BUILDING MATERIALS - 1.7%
Asia Aluminum Holdings, Ltd. 8.000%,
due 12/23/11 (144A)(c).............. 1,105,000 1,085,663
Caue Fin., Ltd. 8.875%, due 8/1/15
(144A)(c)........................... 520,000 538,200
HydroChem Industrial Services, Inc.
9.250%, due 2/15/13 (144A)(c)....... 660,000 607,200
Owens Corning 7.500%, due
5/1/05-8/1/18(b).................... 148,000 111,740
Texas Industries, Inc. 7.250%, due
7/15/13 (144A)(c)................... 146,000 152,570
U.S. Concrete, Inc. 8.375%, due
4/1/14.............................. 760,000 762,850
-------------
3,258,223
-------------
CABLE AND SATELLITE TELEVISION - 0.9%
CSC Holdings, Inc., Senior Notes
7.875%, due 12/15/07................ 47,000 48,410
Innova S de RL 9.375%, due 9/19/13.... 295,000 328,188
Kabel Deutschland GMBH 10.625%, due
7/1/14 (144A)(c).................... 450,000 486,562
NTL Cable Plc 8.750%, due 4/15/14..... 570,000 733,284
Rogers Cablesystems, Ltd. 11.000%, due
12/1/15............................. 20,000 21,200
-------------
1,617,644
-------------
CHEMICALS - 2.0%
Aventine Renewable Energy
Holdings, Inc. 9.870%,
due 12/15/11 (144A)**(c)............ 235,000 245,575
Basell Finance Co. BV 8.100%, due
3/15/27 (144A)(c)................... 295,000 278,775
See notes to financial statements
33
THE TRAVELERS SERIES TRUST
PIONEER STRATEGIC INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
OCTOBER 31, 2005
(PERCENTAGE OF NET ASSETS)
-------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
-------------------------------------------------------------------
CHEMICALS - CONTINUED
Crystal U.S. Holdings 3 LLC, Series B
0.000%/10.500%, due
10/1/14(f)........................... $ 1,031,000 $ 719,122
Hercules, Inc. 11.125%, due
11/15/07(a).......................... 338,000 376,447
Huntsman Advanced Materials LLC
11.000%, due 7/15/10................. 50,000 55,750
ISP Chemco, Inc., Series B 10.250%,
due 7/1/11........................... 205,000 219,094
ISP Holdings, Inc., Series B 10.625%,
due 12/15/09......................... 35,000 36,925
Lyondell Chemical Co. 9.500%, due
12/15/08............................. 30,000 31,575
Millennium America, Inc. 9.250%, due
6/15/08.............................. 30,000 32,325
Nell AF SARL 8.375%, due 8/15/15
(144A)(c)............................ 430,000 518,364
Resolution Performance Products LLC
8.000%, due 12/15/09................. 500,000 511,250
Rhodia S.A.
8.000%, due 6/1/10................... 500,000 610,245
9.250%, due 6/1/11.................... 120,000 146,819
Sterling Chemicals, Inc. 10.000%, due
12/19/07(g).......................... 27,275 26,730
-------------
3,808,996
-------------
COAL - 0.4%
Indocoal Exports Cayman Ltd. 7.134%,
due 7/6/12 (144A)(c)................. 765,909 745,294
-------------
COLLATERALIZED MORTGAGE OBLIGATIONS - 0.7%
CS First Boston Mortgage Securities
Corp., Series 2002-CKN2, Class H
6.122%, due 4/15/37 (144A)(c)........ 70,000 69,759
Federal National Mortgage Association
(FNMA) STRIP, Series 329, Class 2,
IO 5.500%, due 1/1/33................ 585,560 142,913
Global Signal Trust
Series 2004-1A, Class E 5.395%, due
1/15/34 (144A)(c)................... 660,000 640,079
Series 2004-2A, Class F 6.376%, due
12/15/14 (144A)(c).................. 450,000 443,893
Rural Housing Trust, Series 1987-1,
Class D 6.330%, due 4/1/26........... 15,709 15,693
Sasco Net Interest Margin Trust, Series
2003-BC1, Class B 0.000%, due
5/27/33 (144A)(c)(d)................. 47,114 15,548
-------------
1,327,885
-------------
COMMERCIAL SERVICES & SUPPLIES - 1.1%
Dollar Financial Group 9.750%, due
11/15/11............................. 625,000 640,625
Rural/Metro Corp. 9.875%, due
3/15/15 (144A)(c).................... 595,000 603,925
-----------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
-----------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES - CONTINUED
United Rentals North America, Inc.
7.750%, due 11/15/13(a)............ $ 755,000 $ 721,025
-------------
1,965,575
-------------
ENGINEERING & CONSTRUCTION - 0.3%
Dycom Industries, Inc. 8.125%, due
10/15/15 (144A)(c)................. 550,000 554,125
-------------
CONTAINERS & PACKAGING - 0.8%
AEP Industries, Inc. 7.875%, due
3/15/13............................ 580,000 554,255
Crown European Holdings S.A.
9.500%, due 3/1/11................. 200,000 220,000
10.875%, due 3/1/13................. 30,000 35,325
Graham Packaging Co., Inc. 9.875%,
due 10/15/14(a).................... 480,000 451,200
Graphic Packaging International Corp.
9.500%, due 8/15/13................ 360,000 324,600
-------------
1,585,380
-------------
ELECTRONIC EQUIPMENT & SERVICES - 0.2%
Digicel, Ltd. 9.250%, due 9/1/12
(144A)(c).......................... 135,000 139,725
Legrand Holding S.A. 10.500%, due
2/15/13............................ 120,000 136,500
Legrand S.A. 8.500%, due 2/15/25..... 20,000 23,900
Telex Communications Intermediate
Holdings, Inc. 12.000%, due
1/15/09**(d)....................... 24,616 15,262
-------------
315,387
-------------
ENERGY - 0.3%
Targa Resources, Inc. 8.500%, due
11/1/13 (144A)(c).................. 530,000 540,600
Williams Cos., Inc.
6.500%, due 12/1/08................ 50,000 49,806
Series A 6.750%, due 1/15/06**...... 40,000 40,300
-------------
630,706
-------------
ENTERTAINMENT & LEISURE - 0.5%
Capitol Records, Inc. 8.375%, due
8/15/09 (144A)(c).................. 65,000 69,713
Corp. Interamericana de
Entretenimiento S.A. 8.875%, due
6/14/15 (144A)(c).................. 950,000 916,750
EMI Group Plc 9.750%, due 5/20/08.... 20,000 38,320
-------------
1,024,783
-------------
ENVIRONMENTAL CONTROL - 0.3%
Clean Harbors, Inc. 11.250%, due
7/15/12 (144A)(c).................. 475,000 534,375
-------------
EQUIPMENT LEASING - 0.1%
Ashtead Holdings Plc 8.625%, due
8/1/15 (144A)(c)................... 140,000 145,250
-------------
See notes to financial statements
34
THE TRAVELERS SERIES TRUST
PIONEER STRATEGIC INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
OCTOBER 31, 2005
(PERCENTAGE OF NET ASSETS)
---------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
---------------------------------------------------------------------
FINANCIALS - DIVERSIFIED - 3.2%
Arch Western Financial LLC 6.750%,
due 7/1/13.......................... $ 20,000 $ 20,200
Bombardier Capital, Inc., Series AI
7.090%, due 3/30/07................. 650,000 654,875
E*TRADE Financial Corp.
8.000%, due 6/15/11................. 625,000 637,500
7.375%, due 9/15/13
(144A)(a)(c)....................... 310,000 306,900
Ford Motor Credit Co. 5.700%, due
1/15/10(a).......................... 890,000 801,618
Glencore Funding LLC 6.000%, due
4/15/14 (144A)(c)................... 1,010,000 931,839
Noble Group Ltd. 6.625%, due 3/17/15
(144A)(c)........................... 1,450,000 1,315,736
Power Receivables Finance LLC 6.290%,
due 1/1/12 (144A)(c)................ 520,453 529,396
SLM Corp. 4.000%, due 7/25/14**....... 775,000 755,493
-------------
5,953,557
-------------
FOOD PRODUCTS - 0.1%
Doane Pet Care Co. 9.750%, due
5/15/07............................. 120,000 120,150
Eagle Family Foods, Inc., Series B
8.750%, due 1/15/08................. 10,000 7,850
-------------
128,000
-------------
HEALTH CARE PROVIDERS & SERVICES - 0.8%
Bausch & Lomb, Inc. 7.125%, due
8/1/28.............................. 500,000 529,703
HCA, Inc.
7.190%, due 11/15/15................ 10,000 10,272
8.360%, due 4/15/24.................. 50,000 52,685
7.690%, due 6/15/25.................. 50,000 50,420
Inverness Medical Innovations 8.750%,
due 2/15/12......................... 135,000 138,375
Mayne Group, Ltd. 5.875%, due
12/1/11 (144A)(c)................... 620,000 653,325
Multicare Cos., Inc. 9.000%, due
8/1/07(d)(e)........................ 330,000 2,310
-------------
1,437,090
-------------
HOLDING COMPANIES-DIVERSIFIED - 0.2%
Stewart Enterprises 6.250%, due
2/15/13 (144A)(c)................... 300,000 285,000
-------------
HOMEBUILDERS - 1.8%
Beazer Homes USA, Inc. 8.625%, due
5/15/11............................. 85,000 87,975
Builders FirstSource, Inc. 8.040%, due
2/15/12 (144A)**(c)................. 910,000 919,100
Desarrolladora Homex S.A . 7.500%,
due 9/28/15......................... 750,000 727,500
------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
------------------------------------------------------------------
HOMEBUILDERS - CONTINUED
K. Hovnanian Enterprises, Inc. 7.750%,
due 5/15/13(a)...................... $ 30,000 $ 29,850
Meritage Homes Corp. 6.250%, due
3/15/15............................. 540,000 472,500
Schuler Homes, Inc. 10.500%, due
7/15/11(a).......................... 66,000 71,610
Technical Olympic USA, Inc.
9.000%, due 7/1/10(a)............... 20,000 20,000
10.375%, due 7/1/12.................. 20,000 20,200
WCI Communities, Inc.
7.875%, due 10/1/13................. 460,000 438,150
6.625%, due 3/15/15.................. 605,000 521,813
-------------
3,308,698
-------------
INDUSTRIAL - DIVERSIFIED - 0.4%
AKer Kvaerner ASA 0.000%/5.000%,
due 10/30/11(f)..................... 50,000 44,750
Invensys Plc 6.500%, due 1/15/10
(144A)(c)........................... 25,000 21,625
Park-Ohio Industries, Inc. 8.375%, due
11/15/14............................ 750,000 660,000
-------------
726,375
-------------
INSURANCE - 3.3%
Allmerica Financial Corp. 7.625%, due
10/15/25............................ 1,000,000 1,006,973
Conseco, Inc.
7.620%, due 8/9/06(b)(d)............ 80,000 0
9.500%, due 10/15/06(b)(d)........... 40,000 0
Kingsway America, Inc. 7.500%, due
2/1/14.............................. 760,000 776,942
Odyssey Re Holdings Corp. 7.650%, due
11/1/13............................. 540,000 560,041
Ohio Casualty Corp. 7.300%, due
6/15/14............................. 850,000 903,742
Platinum Underwriters Fin. Inc.
7.500%, due 6/1/17 (144A)(c)........ 1,305,000 1,281,689
Presidential Life Corp. 7.875%, due
2/15/09............................. 1,075,000 1,058,875
Provident Cos., Inc. 7.000%, due
7/15/18............................. 500,000 498,515
-------------
6,086,777
-------------
INTERNET SOFTWARE & SERVICES - 0.7%
Anixter, Inc., Co. Guaranteed 5.950%,
due 3/1/15.......................... 714,000 684,163
Globix Corp. 11.000%, due 5/1/08(g)... 23,802 22,790
Hanarotelecom, Inc. 7.000%, due
2/1/12 (144A)(c).................... 615,000 599,224
Verado Holdings, Inc. 13.000%, due
4/15/08(b)(d)(e).................... 138,403 0
-------------
1,306,177
-------------
See notes to financial statements
35
THE TRAVELERS SERIES TRUST
PIONEER STRATEGIC INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
OCTOBER 31, 2005
(PERCENTAGE OF NET ASSETS)
--------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
--------------------------------------------------------------------
LODGING - 0.1%
Trump Entertainment Resorts, Inc.
8.500%, due 6/1/15................. $ 200,000 $ 194,750
-------------
MACHINERY - 0.2%
Gardner Denver, Inc., Series WI
8.000%, due 5/1/13................. 400,000 418,000
Manitowoc Co., Inc. 10.375%, due
5/15/11(e)......................... 15,000 19,792
-------------
437,792
-------------
MEDIA - 0.0%
CanWest Media, Inc. 8.000%, due
9/15/12............................ 879 925
Pegasus Communications Corp., Series
B 9.750%, due 12/1/06(b)........... 20,000 5,025
-------------
5,950
-------------
METALS & MINING - 2.1%
CSN Islands IX Corp. 10.000%, due
1/15/15 (144A)(c).................. 125,000 137,188
Freeport-McMoRan C & G 6.875%, due
2/1/14............................. 430,000 425,700
Intl. Steel Group, Inc. 6.500%, due
4/15/14............................ 571,000 563,862
Ispat Inland ULC 10.804%, due
4/1/10**........................... 250,000 261,250
Novelis, Inc. 7.250%, due 2/15/15
(144A)(c).......................... 400,000 367,000
Steel Dynamics, Inc. 9.500%, due
3/15/09............................ 155,000 164,300
Vale Overseas, Ltd. 8.250%, due
1/17/34............................ 1,100,000 1,193,500
Vedanta Resources Plc 6.625%, due
2/22/10 (144A)(c).................. 840,000 813,656
Wheeling-Pittsburgh Corp.
Series A 5.000%, due 7/30/11........ 8,360 6,730
Series B 6.000%, due 7/30/10........ 4,420 3,558
-------------
3,936,744
-------------
OFFICE - 0.2%
Xerox Corp.
9.750%, due 1/15/09................ 100,000 111,000
9.750%, due 1/15/09................. 35,000 49,329
7.125%, due 6/15/10................. 245,000 256,025
-------------
416,354
-------------
OIL & GAS - 5.5%
Aker Kvaerner ASA 5.00%/0.000%, due
10/30/11(f)........................ 10,675,000 1,470,442
Baytex Energy, Ltd. 9.625%, due
7/15/10............................ 1,000,000 1,047,500
Clayton Williams Energy, Inc. 7.750%,
due 8/1/13 (144A)(c)............... 560,000 543,200
------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
------------------------------------------------------------------
OIL & GAS - CONTINUED
Compass Minerals International, Inc.
12.750%/0.000%, due
12/15/12(f)........................ $ 60,000 $ 53,100
Series B12.000%0.000%/, due
6/1/13(f).......................... 90,000 76,950
Comstock Resources, Inc. 6.875%, due
3/1/12.............................. 365,000 362,263
Delta Petroleum Corp. 7.000%, due
4/1/15 (144A)(c).................... 95,000 90,250
Doe Run Resources Corp., Series AI
11.750%, due 11/1/08(g)............. 8,491 6,666
Dresser-Rand Group, Inc. 7.375%, due
11/1/14 (144A)(c)................... 88,000 90,640
Gazprom International SA 7.201%, due
2/1/20 (144A)(c).................... 800,000 853,000
Harvest Operations Corp. 7.875%, due
10/15/11............................ 490,000 477,750
Holly Energy Partners LP 6.250%, due
3/1/15 (144A)(c).................... 1,035,000 1,009,125
J. Ray McDermott S.A. 11.500%, due
12/15/13 (144A)(c).................. 925,000 1,063,750
Parker Drilling Co., Series B 10.125%,
due 11/15/09........................ 39,000 40,414
Pemex Project Funding Master Trust
7.375%, due 12/15/14................ 200,000 219,100
Petroquest Energy, Inc. 10.375%, due
5/15/12............................. 750,000 796,875
Pioneer Natural Resources Co. 6.500%,
due 1/15/08......................... 17,000 17,336
SEMCO Energy, Inc. 7.750%, due
5/15/13............................. 65,000 67,339
Seven Seas Petroleum, Inc., Series B
12.500%, due 5/15/05(b)(d)(e)....... 60,000 0
Stone Energy Corp.
8.250%, due 12/15/11................ 80,000 83,600
6.750%, due 12/15/14................. 600,000 573,000
TengizChevroil Finance Co. 6.124%, due
11/15/14 (144A)(c).................. 800,000 806,000
Whiting Petroleum Corp. 7.000%, due
2/1/14 (144A)(c).................... 557,000 561,177
XCL Ltd., Series UNIT 13.500%, due
5/1/04 (144A)(b)(c)(d)(e)........... 80,000 0
XTO Energy, Inc. 6.250%, due
4/15/13............................. 30,000 31,540
-------------
10,341,017
-------------
PAPER & FOREST PRODUCTS - 0.8%
Abitibi Consolidated, Inc. 7.875%, due
8/1/09.............................. 1,000 962
Bowater, Inc. 6.500%, due
6/15/13(a).......................... 950,000 840,750
See notes to financial statements
36
THE TRAVELERS SERIES TRUST
PIONEER STRATEGIC INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
OCTOBER 31, 2005
(PERCENTAGE OF NET ASSETS)
------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
------------------------------------------------------------------
PAPER & FOREST PRODUCTS - CONTINUED
Louisiana-Pacific Corp. 8.875%, due
8/15/10............................. $ 10,000 $ 11,108
Mercer International, Inc. 9.250%, due
2/15/13(a).......................... 115,000 97,175
Sino-Forest Corp. 9.125%, due 8/17/11
(144A)(c)........................... 500,000 533,750
Tembec Industries, Inc. 7.750%, due
3/15/12(a).......................... 20,000 12,600
-------------
1,496,345
-------------
PHARMACEUTICALS - 0.3%
Warner Chilcott Corp. 8.750%, due
2/1/15 (144A)(c).................... 580,000 536,500
-------------
REAL ESTATE INVESTMENT TRUST - 1.6%
B.F. Saul, (REIT) 7.500%, due
3/1/14.............................. 470,000 481,750
Crescent Real Estate Equities LP
9.250%, due 4/15/09................. 150,000 159,000
Host Marriott LP, Series O 6.375%, due
3/15/15............................. 990,000 965,250
Trustreet Properties, Inc.
7.500%, due 4/1/15................... 775,000 788,563
7.500%, due 4/1/15 (144A)(c)......... 300,000 305,250
Ventas Realty LP/Ventas Capital Corp.
7.125%, due 6/1/15.................. 350,000 363,125
-------------
3,062,938
-------------
RETAIL - MULTILINE - 1.1%
Asbury Automotive Group 8.000%, due
3/15/14(a).......................... 350,000 323,750
Brown Shoe Co., Inc. 8.750%, due
5/1/12.............................. 477,000 491,310
Duane Reade, Inc.
8.370%, due 12/15/10**.............. 325,000 310,375
9.750%, due 8/1/11................... 440,000 325,600
GSC Holdings Corp. 8.000%, due
10/1/12 (144A)(a)(c)................ 285,000 278,588
Pep Boys-Manny, Moe & Jack 7.500%,
due 12/15/14(a)..................... 86,000 80,840
Toys "R" Us, Inc. 7.375%, due
10/15/18(a)......................... 350,000 250,250
-------------
2,060,713
-------------
SAVINGS & LOANS - 0.1%
Western Financial Bank 9.625%, due
5/15/12............................. 90,000 103,275
-------------
SEMICONDUCTOR EQUIPMENT & PRODUCTS - 0.3%
Chartered Semiconductor
Manufacturing, Ltd. 6.375%, due
8/3/15.............................. 495,000 474,039
-------------
-----------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
-----------------------------------------------------------------------
SOFTWARE - 0.2%
Riverdeep Group, Ltd. 9.250%, due
4/15/11 (144A)(c)..................... $ 225,000 $ 305,310
-------------
TELECOMMUNICATIONS SERVICES - DIVERSIFIED - 1.8%
Alamosa Delaware, Inc. 11.000%, due
7/31/10............................... 90,000 100,125
COLO.COM, Inc. 13.875%, due 3/15/10
(144A)(b)(c)(d)(e).................... 181,448 0
Colt Telecom Group Plc 7.625%, due
12/15/09.............................. 15,000 18,127
Corning, Inc. 5.900%, due
3/15/14(a)............................ 700,000 699,256
GCI, Inc. 7.250%, due 2/15/14(a)........ 500,000 487,500
Insight Midwest LP/Insight Capital, Inc.
9.750%, due 10/1/09................... 15,000 15,488
Intelsat, Ltd./Zeus Special 9.250%, due
2/1/15 (144A)(c)(f)................... 810,000 536,625
MCI, Inc.
6.908%, due 5/1/07.................... 19,000 19,238
7.688%, due 5/1/09..................... 19,000 19,736
8.735%, due 5/1/14..................... 16,000 17,760
Mobile TeleSystems 8.375%, due
10/14/10 (144A)(c).................... 360,000 377,100
Rogers Wireless, Inc. 7.625%, due
12/15/11.............................. 700,000 628,893
Tele Norte Celular Participacoes SA,
Series B 8.000%, due 12/18/13......... 450,000 481,500
-------------
3,401,348
-------------
TEXTILES, APPAREL & LUXURY GOODS - 0.4%
INVISTA 9.250%, due 5/1/12
(144A)(c)............................. 735,000 792,881
-------------
TRANSPORTATION - 2.0%
Atlantic Express Transportation Corp.,
Series B 12.000%, due 4/15/08......... 525,000 464,625
Greenbrier Cos., Inc. 8.375%, due
5/15/15............................... 860,000 887,950
Grupo Transportacion Ferroviaria
Mexicana S.A. DE CV 9.375%, due
5/1/12 (144A)(c)...................... 330,000 359,700
Ship Finance International Ltd. 8.500%,
due 12/15/13.......................... 1,000,000 958,750
Stena AB 7.000%, due 12/1/16............ 1,000,000 905,000
Trailer Bridge, Inc. 9.250%, due
11/15/11.............................. 100,000 103,250
-------------
3,679,275
-------------
UTILITIES - 2.4%
AES Corp. 8.750%, due 6/15/08........... 7,000 7,332
Caithness Coso Funding Corp. 6.263%,
due 6/15/14 (144A)(c)................. 775,000 786,939
See notes to financial statements
37
THE TRAVELERS SERIES TRUST
PIONEER STRATEGIC INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
OCTOBER 31, 2005
(PERCENTAGE OF NET ASSETS)
---------------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
---------------------------------------------------------------------------
UTILITIES - CONTINUED
FPL Energy American Wind LLC 6.639%,
due 6/20/23 (144A)(c).................. $ 712,880 $ 741,193
FPL Energy Wind Funding LLC 6.876%,
due 6/27/17 (144A)(c).................. 217,750 221,288
Kiowa Power Partners LLC, Series B
5.737%, due 3/30/21 (144A)(c).......... 650,000 645,013
Mission Energy Holding Co. 13.500%,
due 7/15/08............................ 30,000 34,875
MSW Energy Holdings II LLC/MSW
Energy Finance Co. II, Inc. 7.375%,
due 9/1/10............................. 600,000 624,000
Northeast Utilities, Series A 8.580%, due
12/1/06................................ 20 20
Ormat Funding Corp. 8.250%, due
12/30/20............................... 981,611 991,427
Reliant Energy, Inc. 6.750%, due
12/15/14............................... 315,000 294,525
Sierra Pacific Power Co., General and
Refunding Mortgage Bonds, Series A
8.000%, due 6/1/08..................... 5,000 5,275
Southern California Edison Co. 6.375%,
due 1/15/06(a)......................... 20,000 20,070
Tiverton Power Associates LP/Rumford
Power Associates LP, Pass-Through
Certificate 9.000%, due 7/15/18
(144A)(c).............................. 99,337 77,980
Westar Energy, Inc. 7.125%, due
8/1/09................................. 110,000 115,955
-------------
4,565,892
-------------
Total Domestic Bonds & Debt Securities
(Cost $84,954,267) 84,535,264
-------------
CONVERTIBLE BOND & NOTE - 0.0%
INTERNET - 0.0%
Cybernet Internet Services International,
Inc. 13.000%, due 8/15/09
(144A)(b)(c)(d)(e)
(Cost - $440,068)...................... 440,000 0
-------------
U. S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES - 7.0%
Federal Home Loan Mortgage Corp.
4.500%, due 4/1/35..................... 1,648,943 1,539,883
Federal Home Loan Mortgage Corp.
(FHLMC) 6.000%, due 10/1/35............ 4,000,000 4,042,258
Series 216, Class IO 6.000%, due
12/1/31............................... 397,712 87,905
Series 2235, Class PO 0.000%, due
6/15/30............................... 42,346 34,756
Series 2448, Class SM 4.030%, due
3/15/32**............................. 243,566 22,112
-----------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
-----------------------------------------------------------------------
U. S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES - CONTINUED
Series 2478, Class SY 4.180%, due
3/15/21**......................... $ 15,076 $ 441
Series 2515, Class IG 5.500%, due
3/15/32........................... 256,700 71,568
Series 2579, Class GS 3.680%, due
1/15/17**......................... 300,555 19,299
STRIP, Series 215, Class PO 0.000%,
due 6/1/31........................ 51,757 43,470
Federal Home Loan Mortgage Corp.
(FHLMC) Gold Pool 6.000%, due
4/1/35-6/1/35...................... 1,226,278 1,239,233
Federal National Mortgage Association
(FNMA) 7.500%, due 1/1/30.......... 5,242 5,541
Pass-Through Certificate, Series
2002-14, Class A2 7.500%, due
1/25/42............................ 43,427 45,136
Series 1999-51, Class N, PO 0.000%,
due 9/17/29....................... 22,921 19,498
Series 2001-74, Class MI, IO
6.000%, due 12/25/15.............. 33,527 2,180
Series 2002-52, Class SL, IO 3.962%,
due 9/25/32**..................... 94,939 10,163
Series 2002-63, Class SN, IO 3.962%,
due 10/25/32**.................... 105,555 8,272
Series 2002-9, Class MS, IO 4.062%,
due 3/25/32**..................... 225,127 18,236
Series 2003-23, Class AI, IO 5.000%,
due 3/25/17....................... 596,880 74,493
Series 2003-26, Class IG, IO 6.000%,
due 4/25/33....................... 105,493 23,245
Series 2003-34, Class ES, IO 2.962%,
due 12/31/50**.................... 871,963 51,564
Series 2003-34, Class SG, IO 2.962%,
due 2/25/33**..................... 361,964 21,440
Series 2003-34, Class SP, IO 3.062%,
due 1/25/32**..................... 982,945 55,859
Series 2003-49, Class TS, IO 3.662%,
due 12/31/50**.................... 511,471 43,462
Series 318, Class 2, IO 6.000%, due
12/31/31.......................... 152,302 35,672
Series 322, Class 2, IO 6.000%, due
3/1/32............................ 100,503 23,571
Series 332, Class 2, IO 6.000%, due
2/1/33............................ 117,799 28,216
Federal National Mortgage Association
(FNMA) Grantor Trust: Pass-Through
Certificate
Series 1999-T2, Class A1 7.500%,
due 1/19/39....................... 45,682 47,909
Series 2001-T1, Class A1 7.500%,
due 10/25/40...................... 109,458 113,328
See notes to financial statements
38
THE TRAVELERS SERIES TRUST
PIONEER STRATEGIC INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
OCTOBER 31, 2005
(PERCENTAGE OF NET ASSETS)
-----------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
-----------------------------------------------------------------
U. S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES - CONTINUED
Series 2001-T10, Class A2 7.500%,
due 12/25/41...................... $ 59,856 $ 62,694
Series 2001-T3, Class A1 7.500%,
due 11/25/40...................... 35,302 36,585
Series 2001-T4, Class A1 7.500%,
due 7/25/41....................... 106,545 111,532
Series 2001-T7, Class A1 7.500%,
due 2/25/41....................... 234,265 244,717
Series 2002-T1, Class A2 7.000%,
due 11/25/31...................... 535 554
Series. 2000-T6, Class A1 7.500%,
due 6/25/30....................... 22,155 22,952
Series. 2001-T10, Class A1 7.000%,
due 12/25/41...................... 6,430 6,655
Government National Mortgage
Association 4.500%, due 3/20/35.... 1,426,620 1,342,945
Government National Mortgage
Association (GNMA)
6.000%, due 12/15/33............... 662,755 674,704
4.500%, due 10/15/35................ 3,000,000 2,839,043
-------------
Total U. S. Government Agency
Mortgage-Backed Securities
(Cost $14,011,107) 13,071,091
-------------
U. S. GOVERNMENT & AGENCY OBLIGATIONS - 31.6%
Federal Home Loan Mortgage Corp.
(FHLMC)
5.000%, due 5/1/34................. 965,485 931,311
5.500%, due 11/1/34-1/1/35.......... 2,344,673 2,317,892
Federal National Mortgage Association
(FNMA)
6.375%, due 8/15/07................ 1,350,000 1,019,669
5.500%, due 12/1/18-3/1/25.......... 1,217,649 1,213,346
5.000%, due 2/1/20.................. 565,612 558,312
7.500%, due 1/1/30-10/1/30.......... 3,218 3,401
4.500%, due 3/1/35.................. 424,936 397,169
Freddie Mac Gold Pool
4.500%, due 11/1/18-5/1/20......... 1,444,016 1,398,437
5.000%, due 6/1/35.................. 546,907 526,536
Ginnie Mae I Pool
5.000%, due 10/15/33-6/15/35....... 4,600,295 4,491,697
5.500%, due 4/15/34-6/15/35......... 3,884,640 3,882,157
4.500%, due 4/15/35................. 3,445,781 3,260,907
Government National Mortgage
Association (GNMA)
5.000%, due 10/15/18-8/20/34....... 601,472 593,140
5.500%, due 8/15/19-10/15/34........ 3,709,590 3,725,539
6.000%, due 2/15/24-7/15/33......... 849,490 864,383
6.500%, due 11/15/32................ 24,864 25,806
4.500%, due 9/15/33-4/15/35......... 4,429,171 4,192,100
--------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
--------------------------------------------------------------------
U. S. GOVERNMENT & AGENCY OBLIGATIONS - CONTINUED
U.S. Treasury Bonds
7.250%, due 5/15/16(a)................ $ 2,350,000 $ 2,852,681
5.250%, due 11/15/28-2/15/29(a)........ 820,000 869,892
U.S. Treasury Notes
4.875%, due 2/15/12(a)................ 745,000 760,046
4.000%, due 2/15/14-2/15/15(a)......... 3,630,000 3,475,995
4.125%, due 5/15/15(a)................. 900,000 868,782
6.250%, due 8/15/23(a)................. 370,000 431,932
5.375%, due 2/15/31(a)................. 265,000 289,099
Inflation Indexed 3.000%, due
7/15/12(a)............................ 2,932,423 3,136,434
U.S. Treasury STRIPS
4.447%, due 2/15/11(a)(h)............. 3,200,000 2,535,459
4.577%, due 5/15/13(a)(h).............. 1,500,000 1,065,390
United States Treasury Inflation Indexed
Bonds 3.375%, due 1/15/12(a).......... 3,107,579 3,383,743
United States Treasury Inflation
Protected (TIPS) Notes 3.500%, due
1/15/11(a)............................ 9,161,471 9,926,601
-------------
Total U. S. Government & Agency
Obligations
(Cost $60,101,978) 58,997,856
-------------
MUNICIPALS - 1.6%
IOWA - 0.6%
Tobacco Settlement Authority, Tobacco
Settlements Asset-Backed Bonds,
Series 2001B 5.600%, due 6/1/35....... 1,130,000 1,154,860
-------------
LOUISIANA - 0.2%
Tobacco Settlement Financing Corp., LA
Tobacco Settlement Asset-Backed
Bonds, Series 2001B 5.875%, due
5/15/39............................... 300,000 313,113
-------------
MINNESOTA - 0.2%
Minneapolis & St. Paul Metropolitan
Airports Commission, Special
Facilities Revenue, Northwest Airlines
Project, Series A 7.000%, due
4/1/25................................ 500,000 327,020
-------------
NEW JERSEY - 0.5%
New Jersey Economic Development
Authority, Special Facilities Revenue,
Continental Airlines, Inc. Project
6.250%, due 9/15/29................... 430,000 346,881
Tobacco Settlement Financing Corp., NJ
Tobacco Settlement Asset-Backed
Bonds 7.000%, due 6/1/41.............. 440,000 516,116
-------------
862,997
-------------
See notes to financial statements
39
THE TRAVELERS SERIES TRUST
PIONEER STRATEGIC INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
OCTOBER 31, 2005
(PERCENTAGE OF NET ASSETS)
--------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
--------------------------------------------------------------------
WASHINGTON - 0.1%
Tobacco Settlement Authority, WA
Tobacco Settlement Asset-Backed
Bonds 6.625%, due 6/1/32........... $ 220,000 $ 238,700
-------------
Total Municipals
(Cost $2,561,548) 2,896,690
-------------
FOREIGN BONDS & DEBT SECURITIES - 5.6%
CANADA - 2.1%
Government of Canada
4.250%, due 9/1/09................. 282,000 242,902
5.500%, due 6/1/10.................. 330,000 298,856
5.250%, due 6/1/12.................. 1,230,000 1,117,670
Province of Ontario, Series E
5.500%, due 4/23/13................ 3,000,000 2,195,279
-------------
3,854,707
-------------
FRANCE - 0.8%
Government of France, Series OATi
3.000%, due 7/25/09................ 1,113,900 1,446,039
-------------
NETHERLANDS - 0.1%
Kingdom of the Netherlands
5.000%, due 7/15/12................ 130,000 172,900
-------------
NORWAY - 1.3%
Government of Norway
6.750%, due 1/15/07................ 8,045,000 1,294,841
5.500%, due 5/15/09................. 2,200,000 361,703
6.000%, due 5/16/11................. 4,220,000 726,647
-------------
2,383,191
-------------
SWEDEN - 1.4%
Kingdom of Sweden
5.250%, due 3/15/11................ 5,645,000 789,723
5.500%, due 10/8/12................. 12,740,000 1,839,343
-------------
2,629,066
-------------
UKRAINE - 0.0%
Government of Ukraine
11.000%, due 3/15/07............... 26,602 27,977
-------------
Total Foreign Bonds & Debt Securities
(Cost $9,688,679) 10,513,880
-------------
FOREIGN BONDS & DEBT SECURITIES - EMERGING MARKETS - 2.6%
BRAZIL - 0.6%
Federative Republic of Brazil
10.000%, due 1/16/07-8/7/11........ 130,000 140,325
10.125%, due 5/15/27................ 290,000 335,675
Banco Nacional de Desenvolvimento
Economico e Social, Notes
8.000%, due 4/28/10................ 550,000,000 367,817
DCB, Series L, Registered
5.250%, due 4/15/12**.............. 141,516 138,417
Series B 8.875%, due 4/15/24........ 66,000 68,475
-------------
1,050,709
-------------
--------------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
--------------------------------------------------------------------------
COLOMBIA - 0.7%
Republic of Colombia
9.750%, due 4/23/09...................... $ 50,000 $ 56,225
9.750%, due 4/9/11........................ 607,407 695,481
10.750%, due 1/15/13...................... 485,000 591,700
-------------
1,343,406
-------------
MEXICO - 0.4%
United Mexican States
4.625%, due 10/8/08...................... 230,000 227,527
7.500%, due 1/14/12(a).................... 144,000 159,912
8.625%, due 2/1/22........................ 90,000 107,775
8.300%, due 8/15/31....................... 200,000 245,500
-------------
740,714
-------------
PERU - 0.2%
Republic of Peru, FLIRB Bonds
5.000%, due 3/7/17 (144A)**(c)........... 112,700 106,783
Republic of Peru 5.000%, due
3/7/17................................... 217,300 209,423
-------------
316,206
-------------
RUSSIA - 0.7%
Russian Federation
8.250%, due 3/31/10...................... 60,000 64,188
5.000%, due 3/31/30
(144A)(a)(c)............................ 1,197,500 1,332,219
-------------
1,396,407
-------------
Total Foreign Bonds & Debt Securities -
Emerging Markets
(Cost $3,423,359) 4,847,442
-------------
ESCROWED SHARES - 0.0%
Vlasic Foods International, Inc. 0.000%,
due 1/1/49 (Cost - $0)................... 190,660 6,902
-------------
LOAN PARTICIPATION - 0.2%
CHILE - 0.2%
Empresa Electrica Guacolda S.A. (CS
First Boston) 8.625%, due 4/30/13
(144A)(c)................................ 324,000 360,490
-------------
UNITED STATES - 0.0%
Olympus Cable Holdings LLC, Tranche B
(First Union Securities, Inc. The Bank of
Nova Scotia) 4.798%, due 9/30/10......... 36,164 35,802
-------------
Total Loan Participation
(Cost $383,618) 396,292
-------------
See notes to financial statements
40
THE TRAVELERS SERIES TRUST
PIONEER STRATEGIC INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
OCTOBER 31, 2005
(PERCENTAGE OF NET ASSETS)
----------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
----------------------------------------------------------------
COMMON STOCKS - 0.3%
AIRLINES - 0.0%
US Airways Group, Inc., Class A
Shares*(a)......................... 25 $ 0
US Airways Group, Inc., Liquidating
Trust, Certificate of Beneficial
Interest*.......................... 37,802 757
US Airways Group, Inc., Liquidating
Trust, Certificate of Beneficial
Interest*.......................... 37,802 756
US Airways Group, Inc., Liquidating
Trust, Certificate of Beneficial
Interest*.......................... 37,802 756
US Airways Group, Inc., Liquidating
Trust, Certificate of Beneficial
Interest*.......................... 37,802 756
US Airways Group, Inc., Liquidating
Trust, Certificate of Beneficial
Interest*.......................... 37,802 756
US Airways Group, Inc., Liquidating
Trust, Certificate of Beneficial
Interest*.......................... 37,802 756
US Airways Group, Inc., Liquidating
Trust, Certificate of Beneficial
Interest*.......................... 37,802 756
US Airways Group, Inc., Liquidating
Trust, Certificate of Beneficial
Interest*.......................... 37,802 756
US Airways Group, Inc., Liquidating
Trust, Certificate of Beneficial
Interest*.......................... 37,802 756
-------------
6,805
-------------
COMMERCIAL SERVICES & SUPPLIES - 0.0%
AGY Holding Corp.*(d)................ 33 4,686
Loewen Group, Inc.*(d)(e)............ 20,000 2
Polymer Group, Inc., Class A
Shares*(a)......................... 136 3,260
-------------
7,948
-------------
FINANCIALS - DIVERSIFIED - 0.0%
Amresco, Inc., Liquidating Trust
Shares*(d)......................... 150,000 0
Outsourcing Solutions, Inc.*(d)...... 246 1,047
-------------
1,047
-------------
FOOD PRODUCTS - 0.0%
Archibald Candy Corp.*(d)(e)......... 308 878
Aurora Foods, Inc.*(d)(e)............ 2,833 0
PSF Group Holdings, Inc. LLC, Class A
Shares*(d)......................... 22 38,552
-------------
39,430
-------------
----------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
----------------------------------------------------------------
INSURANCE - 0.1%
Conseco, Inc.*...................... 5,666 $ 115,020
Leucadia National Corp.............. 13 558
-------------
115,578
-------------
IT CONSULTING & SERVICES - 0.0%
Comdisco Holding Co., Inc.*......... 83 1,411
-------------
MEDIA - 0.0%
Rogers Communications, Inc.......... 343 13,559
-------------
OIL & GAS - 0.0%
New XCL-China LLC, Class C
Units*(d)......................... 79 11,123
Sterling Chemicals, Inc.*........... 35 822
York Research*(d)(e)................ 337 0
-------------
11,945
-------------
TELECOMMUNICATION SERVICES - DIVERSIFIED - 0.0%
Cincinnati Bell, Inc.*.............. 35 139
Covad Communications Group, Inc.*... 10 9
Ionex Communications, Inc.*(d)...... 176 0
KNOLOGY, Inc.*(a)(e)................ 49 93
MCI, Inc............................ 1 20
-------------
261
-------------
TELECOMMUNICATION SERVICES - WIRELESS - 0.2%
Dobson Communications Corp., Class A
Shares*........................... 15,125 110,261
iPCS, Inc.*......................... 5,531 215,709
USA Mobility, Inc.*(a).............. 4 100
-------------
326,070
-------------
Total Common Stocks
(Cost $667,765) 524,054
-------------
PREFERRED STOCKS - 0.2%
AIRLINES - 0.0%
US Airways Group, Inc., Class A
Shares*(d)(e)..................... 16 0
-------------
FOOD PRODUCTS - 0.2%
Doane Pet Care Co., 14.25%, Senior
Exchangeable*..................... 3,000 312,750
-------------
MEDIA - 0.0%
PTV, Inc., 10.00%, Cumulative,
Series A(d)....................... 1 2
-------------
Total Preferred Stocks
(Cost $120,375) 312,752
-------------
CONVERTIBLE PREFERRED STOCK - 0.0%
COMMUNICATIONS EQUIPMENT - 0.0%
Telex Communications, Inc.,
Series B^......................... $ 1,417 14
-------------
See notes to financial statements
41
THE TRAVELERS SERIES TRUST
PIONEER STRATEGIC INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
OCTOBER 31, 2005
(PERCENTAGE OF NET ASSETS)
------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
------------------------------------------------------------------------
METALS & MINING - 0.0%
LTV Corp. 8.250%,
(144A)(b)(c)(d)...................... 7,000 $ 0
Weirton Steel Corp., Series C (d)(h)... 180 0
-------------
0
-------------
WIRELESS TELECOMMUNICATION SERVICES - 0.0%
Dobson Communications Corp., 6.00%,
Series F 6.000%, due 8/19/16
(144A)(c)(e)......................... 259 43,642
-------------
Total Convertible Preferred Stock
(Cost $406,371) 43,656
-------------
RIGHTS - 0.0%
VENEZUELA - 0.0%
United Mexican States, Value Recovery
Rights, Series D, due 6/30/06........ 250,000 4,625
United Mexican States, Value Recovery
Rights:, Series E, due 6/30/07....... 250,000 6,125
-------------
Total Rights
(Cost $0) 10,750
-------------
WARRANTS - 0.1%
AIRLINES - 0.0%
US Airways Group, Inc., Expire 4/15/08,
Class A1,*(d)(e)..................... 16 0
-------------
COMMERCIAL SERVICES & SUPPLIES - 0.0%
AGY Holding Corp.,
Non-Expiring*(d)(e).................. 27 0
MDP Acquisitions Plc Corp.*
(144A)(c)............................ 42 840
-------------
840
-------------
COMMUNICATIONS EQUIPMENT - 0.0%
American Tower Corp., Expire 8/1/08*
(144A)(c)............................ 140 47,253
COLO.COM, Inc., Expire 3/15/10*
(144A)(c)(d)(e)...................... 220 0
ICG Communications, Inc., Expire
9/15/05*(d)(e)....................... 495 0
KMC Telecom Holdings, Inc., Expire
1/31/08*(d)(e)....................... 250 0
Startec Global Communications Corp.,
Expire 5/15/08*(d)(e)................ 170 0
-------------
47,253
-------------
CONTAINERS & PACKAGING - 0.0%
Pliant Corp.* (144A)(c)(d)(e).......... 90 1
-------------
------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
------------------------------------------------------------------
FINANCIALS - DIVERSIFIED - 0.0%
ContiFinancial Corp., Liquidating Trust, Units of
Interest (Represents interest in a trust in the
liquidation of ContiFinancial Corp. and its
affiliates),*.................................. 845,262 $ 1,056
Mediq Inc., Expire 6/1/09*(d)(e)................. 110 0
--------
1,056
--------
FOOD PRODUCTS - 0.0%
TravelCenters of America, Inc., Expire
11/14/10*(d)(e)................................ 750 4,125
--------
HOTELS, RESTAURANTS & LEISURE - 0.0%
Mikohn Gaming Corp., Expire 8/15/08*(d)(e)....... 70 1
--------
INDUSTRIAL - DIVERSIFIED - 0.0%
Dayton Superior Corp., Expire 6/15/09*
(144A)(c)(d)(e)................................ 210 0
Solutia Inc., Expire 7/15/09*(c)(d)(e)........... 18 0
--------
0
--------
MEDIA - 0.0%
XM Satellite Radio Holdings Inc., Expire 3/15/10*
(144A)(c)...................................... 100 6,451
--------
DIVERSIFIED TELECOMMUNICATION SERVICES - 0.0%
KNOLOGY Holdings, Inc., Expire
10/22/07*(d)(e)................................ 215 0
--------
WIRELESS TELECOMMUNICATION SERVICES - 0.0%
UbiquiTel Inc., Expire 4/15/10*
(144A)(c)(d)(e)................................ 310 3
--------
TRANSPORTATION INFRASTRUCTURE - 0.0%
Atlantic Express Transportation Corp. Expires
4/15/08, Series B,*............................ 525 2,100
--------
FOREIGN GOVERNMENT - 0.1%
Republic of Venezuela, Expire 4/15/20 expires
4/15/20........................................ 1,700 52,700
--------
Total Warrants
(Cost $77,982) 114,530
--------
See notes to financial statements
42
THE TRAVELERS SERIES TRUST
PIONEER STRATEGIC INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
OCTOBER 31, 2005
(PERCENTAGE OF NET ASSETS)
----------------------------------------------------------------------------
SECURITY SHARES/PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
----------------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 23.2%
State Street Bank & Trust Co.,
Repurchase Agreement, dated
10/31/05 at 2.45% to be purchased
at $6,305,429 on 11/01/05
collateralized by $5,825,000 U.S.
Treasury Bonds 5.500% due 8/15/28
with a value of $6,433,579................ $ 6,305,000 $ 6,305,000
State Street Navigator Securities Lending
Prime Portfolio(i)........................ 36,905,531 36,905,531
-------------
Total Short-Term Investments
(Cost $43,210,531) 43,210,531
-------------
TOTAL INVESTMENTS - 117.7%
(Cost $220,047,648) 219,481,690
Other Assets and Liabilities (net) - (17.7)% (33,033,077)
-------------
TOTAL NET ASSETS - 100.0% $ 186,448,613
=============
PORTFOLIO FOOTNOTES:
* Non-income producing security.
** Variable or floating rate security. The stated rate represents the rate at
October 31, 2005.
(a) All or a portion of security is out on loan.
(b) Security is in default.
(c) Securities that may be resold to "qualified institutional buyers" under
Rule 144A or securities offered pursuant to Section 4 (2) of the Securities
Act of 1933, as amended. These securities have been determined to be liquid
under the guidelines established by the Board of Trustees. These securities
represent 19.20% of net assets.
(d) Security is valued in good faith at fair value by or under the direction of
the Board of Trustees.
(e) Illiquid security. At October 31, 2005, the value of these securities
amounted to 70,847 or 0.04% of net assets.
(f) Security is a "Step-up" bond where coupon increases or steps up at a
predetermined date. Rates shown are current coupon and next coupon rate
when security steps up.
(g) Payment-in-kind security for which part of the income earned may be paid as
additional principal.
(h) Zero coupon bond - Interest rate represents current yield to maturity.
(i) Represents investment of collateral received from securities lending
transactions. (Note 6)
ABBREVIATIONS USED IN THIS SCHEDULE:
Comml. - Commercial
DCB - Debt Conversion Bond
FHLMC - Federal Home Loan Mortgage Corporation
FLIRB - Front-Loaded Interest Reduction Bonds
FNMA - Federal National Mortgage Association
Fin. - Finance
GNMA - Government National Mortgage Association
IO - Interest Only
Intl. - International
PO - Principal Only
The following table summarizes the credit composition of the portfolio holdings
of the Pioneer Strategic Income Portfolio at October 31, 2005, based upon
quality ratings issued by Standard & Poor's. For Securities not rated by
Standard & Poor's, the equivalent Moody's rating is used.
PERCENT OF
PORTFOLIO
PORTFOLIO COMPOSITION BY CREDIT QUALITY (UNAUDITED)
---------------------------------------------------
AAA/Government/Government Agency 45.69%
AA 1.30
A 0.43
BBB 11.14
BB 14.89
B 19.54
Below B 4.63
Equities/Other 2.38
------
Total: 100.00%
======
See notes to financial statements
43
THE TRAVELERS SERIES TRUST
SALOMON BROTHERS STRATEGIC TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
OCTOBER 31, 2005
(PERCENTAGE OF NET ASSETS)
--------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
--------------------------------------------------------------------
DOMESTIC BONDS & DEBT SECURITIES - 31.7%
ADVERTISING - 0.0%
Lamar Media Corp. 6.625%, due 8/15/15
(144A)(a)................................ $ 5,000 $ 5,063
------------
AEROSPACE & DEFENSE - 0.4%
Alliant Techsystems, Inc. 8.500%,
due 5/15/11.............................. 25,000 26,250
Sequa Corp. 9.000%, due 8/1/09............. 25,000 26,063
------------
52,313
------------
AIRLINES - 0.2%
Continental Airlines, Inc., Pass-Through
Certificates, Series 1998-3 7.250%,
due 11/1/05.............................. 25,000 25,008
------------
ASSET-BACKED SECURITIES - 2.5%
Amortizing Residential Collateral Trust,
Series 2002-BC6, Class M2 5.238%,
due 8/25/32**............................ 150,000 150,980
Bear Stearns Asset-Backed Securities, Inc.
Series 2003-HE1N, Class N1 6.500%,
due 1/25/34(a).......................... 2,068 2,067
Series 2004-FR1N, Class A1 5.000%,
due 5/25/34(a).......................... 9,020 8,971
Bear Stearns Asset-Backed Securities, Inc.
NIM Trust, Series 2004-HE6N, Class A1
5.250%, due 8/25/34 (144A)(a)............ 9,268 9,224
Countrywide Asset-Backed Certificates,
Series 2004-05, Class M4 5.290%,
due 6/25/34**............................ 50,000 50,776
Countrywide Asset-Backed Securities, Inc.,
Series 2004-05N, Class N1 5.500%,
due 10/25/35 (144A)(a)................... 9,210 9,176
First Consumers Credit Card Master Trust,
Series 2001-A, Class A 4.280%,
due 9/15/08**............................ 15,877 15,787
Metris Master Trust, Series 2001-2, Class B
5.080%, due 11/20/09**................... 70,000 70,172
Novastar Home Equity Loan, Series 2003-04,
Class M2 5.663%, due 2/25/34**........... 20,000 20,383
Sail Net Interest Margin Notes
Series 2003-3, Class A 7.750%,
due 4/27/33(a).......................... 1,105 1,109
Series 2004-4A, Class A 5.000%,
due 4/27/34(a).......................... 6,801 6,795
------------
345,440
------------
AUTOMOBLIES - 1.0%
DaimlerChrysler North America Holding Corp.
4.050%, due 6/4/08....................... 50,000 48,572
Delphi Corp. 6.500%, due 8/15/13........... 5,000 3,488
-------------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
-------------------------------------------------------------------------
AUTOMOBLIES - CONTINUED
Ford Motor Co.
6.625%, due 10/1/28......................... $ 10,000 $ 6,900
7.450%, due 7/16/31......................... 40,000 29,600
8.900%, due 1/15/32......................... 5,000 4,112
General Motors Corp. 8.375%,
due 7/15/33................................ 20,000 14,925
TRW Automotive, Inc. 9.375%,
due 2/15/13................................ 22,000 23,760
------------
131,357
------------
CHEMICALS - 1.8%
FMC Corp. 7.750%, due 7/1/11................. 25,000 26,945
Huntsman Advanced Materials LLC 11.000%,
due 7/15/10................................ 25,000 27,875
Huntsman International LLC 10.125%,
due 7/1/09................................. 14,000 14,472
ISP Chemco, Inc., Series B 10.250%, due
7/1/11..................................... 25,000 26,719
Lyondell Chemical Co. 11.125%,
due 7/15/12................................ 25,000 28,000
Methanex Corp. 8.750%, due 8/15/12........... 25,000 27,844
Millennium America, Inc. 9.250%,
due 6/15/08................................ 25,000 26,937
Resolution Performance Products, Inc.
13.500%, due 11/15/10...................... 25,000 26,469
Rhodia S.A. 8.875%, due 6/1/11............... 25,000 23,750
Westlake Chemical Corp. 8.750%,
due 7/15/11................................ 16,000 17,200
------------
246,211
------------
COLLATERALIZED MORTGAGE OBLIGATIONS - 1.0%
Commercial Mortgage Pass-Through
Certificates, Series 2003-FL9, Class E
4.970%, due 11/15/15 (144A)**(a)........... 28,029 28,165
Merit Securities Corp., Series 11PA, Class B2
5.570%, due 9/28/32 (144A)**(a)............ 114,473 111,701
------------
139,866
------------
CONTAINERS & PACKAGING - 0.8%
Berry Plastics Corp. 10.750%, due 7/15/12.... 25,000 25,875
Graphic Packaging International Corp.
9.500%, due 8/15/13........................ 10,000 9,025
Jefferson Smurfit Corp. 8.250%,
due 10/1/12................................ 25,000 23,687
Plastipak Holdings, Inc. 10.750%,
due 9/1/11................................. 25,000 27,500
Pliant Corp. 11.125%, due 9/1/09............. 5,000 4,100
Radnor Holdings Corp. 11.000%,
due 3/15/10................................ 25,000 19,625
------------
109,812
------------
See notes to financial statements
44
THE TRAVELERS SERIES TRUST
SALOMON BROTHERS STRATEGIC TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
OCTOBER 31, 2005
(PERCENTAGE OF NET ASSETS)
--------------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
--------------------------------------------------------------------------
ELECTRIC UTILITIES - 0.7%
Edison Mission Energy 9.875%,
due 4/15/11.............................. $ 15,000 $ 17,550
NRG Energy, Inc. 8.000%, due 12/15/13...... 17,000 18,615
Reliant Energy, Inc. 9.250%, due 7/15/10... 25,000 26,375
Texas Genco LLC/Texas Genco Financing
Corp. 6.875%, due 12/15/14
(144A)(a)................................ 25,000 26,875
------------
89,415
------------
ENTERTAINMENT & LEISURE - 0.3%
Gaylord Entertainment Co. 6.750%,
due 11/15/14............................. 10,000 9,700
Loews Cineplex Entertainment Corp.
9.000%, due 8/1/14....................... 25,000 24,188
------------
33,888
------------
ENVIRONMENTAL SERVICES - 0.3%
Allied Waste North America, Inc. 9.250%,
due 9/1/12............................... 17,000 18,408
IMCO Recycling, Inc. 10.375%, due
10/15/10................................. 25,000 27,438
------------
45,846
------------
FINANCIALS - DIVERSIFIED - 6.5%
Bank of America Corp. 7.400%, due
1/15/11.................................. 65,000 71,833
BCP Crystal U.S. Holdings Corp. 9.625%, due
6/15/14.................................. 16,000 17,680
Capital One Bank 5.750%, due 9/15/10....... 50,000 50,978
CIT Group, Inc. 7.750%, due 4/2/12......... 75,000 84,947
Corp Andina de Fomento 6.875%, due
3/15/12.................................. 100,000 108,246
Countrywide Home Loans, Inc., Series L
4.000%, due 3/22/11...................... 75,000 70,465
EnCana Holdings Finance Corp. 5.800%, due
5/1/14................................... 50,000 52,060
General Motors Acceptance Corp.
6.750%, due 12/1/14....................... 25,000 23,946
8.000%, due 11/1/31....................... 5,000 5,176
HSBC Finance Corp. 5.250%, due 4/15/15..... 75,000 74,241
International Lease Finance Corp. 5.875%,
due 5/1/13............................... 50,000 51,355
JPMorgan Chase & Co. 6.625%, due
3/15/12.................................. 70,000 75,122
MBNA Corp. 4.625%, due 9/15/08............. 55,000 54,586
Morgan Stanley 6.600%, due 4/1/12.......... 75,000 80,523
Nell AF SARL 8.375%, due 8/15/15
(144A)(a)................................ 5,000 4,825
Standard Chartered Bank Plc 8.000%, due
5/30/31 (144A)(a)........................ 50,000 63,810
------------
889,793
------------
-------------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
-------------------------------------------------------------------------
FOOD PRODUCTS - 0.7%
Kraft Foods, Inc. 5.625%, due 11/1/11........ $ 40,000 $ 40,938
Safeway, Inc. 7.250%, due 2/1/31............. 50,000 51,554
------------
92,492
------------
HEALTH CARE PROVIDERS & SERVICES - 1.0%
Extendicare Health Services, Inc. 9.500%, due
7/1/10..................................... 25,000 26,750
Medical Device Manufacturing, Inc., Series B
10.000%, due 7/15/12....................... 25,000 29,375
Tenet Healthcare Corp. 9.875%, due
7/1/14..................................... 25,000 24,313
Vanguard Health Holdings Co. I LLC 11.250%,
due 10/1/15(b)............................. 10,000 7,050
Vanguard Health Holdings II 9.000%, due
10/1/14.................................... 5,000 5,237
Wyeth 5.500%, due 3/15/13**.................. 50,000 50,509
------------
143,234
------------
INDUSTRIAL CONGLOMERATES - 0.4%
Tyco International Group S.A. 6.125%, due
11/1/08.................................... 50,000 51,580
------------
LEISURE TIME - 0.1%
Icon Health & Fitness, Inc. 11.250%, due
4/1/12..................................... 25,000 20,125
------------
LODGING - 0.4%
Kerzner International, Ltd. 6.750%, due
10/1/15.................................... 10,000 9,550
MGM MIRAGE, Inc. 6.750%, due 9/1/12.......... 25,000 25,000
Turning Stone Casino Resort Enterprise
9.125%, due 12/15/10 (144A)(a)............. 25,000 25,875
------------
60,425
------------
MACHINERY - 0.6%
Case New Holland, Inc. 9.250%, due
8/1/11..................................... 25,000 26,438
NMHG Holding Co. 10.000%, due 5/15/09........ 25,000 26,812
Terex Corp., Series B 10.375%, due
4/1/11..................................... 25,000 26,813
------------
80,063
------------
MEDIA - 2.6%
AT&T Broadband Corp. 8.375%, due
3/15/13.................................... 50,000 57,676
CCH I Holdings LLC 10.000%, due 5/15/14
(144A)(a).................................. 5,000 3,250
CCH I LLC 11.000%, due 10/1/15
(144A)(a).................................. 44,000 40,040
Cenveo Corp. 9.625%, due 3/15/12............. 25,000 26,500
CSC Holdings, Inc. 10.500%, due 5/15/16...... 25,000 26,937
Dex Media West LLC/Dex Media Finance Co.,
Series B 9.875%, due 8/15/13............... 23,000 25,473
DirecTV Holdings LLC/DirectTV Financing Co.
8.375%, due 3/15/13........................ 16,000 17,400
Mediacom LLC/Mediacom Capital Corp.
9.500%, due 1/15/13........................ 25,000 24,563
See notes to financial statements
45
THE TRAVELERS SERIES TRUST
SALOMON BROTHERS STRATEGIC TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
OCTOBER 31, 2005
(PERCENTAGE OF NET ASSETS)
--------------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
--------------------------------------------------------------------------
MEDIA - CONTINUED
Muzak LLC/Muzak Finance Corp. 10.000%,
due 2/15/09.............................. $ 25,000 $ 21,500
NextMedia Operating, Inc. 10.750%, due
7/1/11................................... 25,000 27,281
R.H. Donnelley Finance Corp. I 10.875%, due
12/15/12 (144A)(a)....................... 25,000 28,125
Time Warner, Inc. 7.625%, due 4/15/31...... 50,000 56,544
------------
355,289
------------
METAL FABRICATE/HARDWARE - 0.2%
Mueller Group, Inc. 10.000%, due 5/1/12.... 25,000 26,375
------------
IRON/STEEL - 0.0%
Republic Technologies International LLC/RTI
Capital Corp. 13.750%, due
7/15/09(c)(d)(e)......................... 200,000 0
------------
OFFICE FURNISHINGS - 0.1%
Tempur-Pedic, Inc./Tempur Production USA,
Inc. 10.250%, due 8/15/10................ 16,000 17,360
------------
OIL & GAS - 1.7%
Chesapeake Energy Corp 6.250%, due
1/15/18.................................. 25,000 24,375
Devon Financing Corp. ULC 6.875%, due
9/30/11.................................. 50,000 54,206
EXCO Resources, Inc. 7.250%, due 1/15/11... 15,000 15,225
Magnum Hunter Resources, Inc. 9.600%, due
3/15/12.................................. 16,000 17,360
Stone Energy Corp. 8.250%, due 12/15/11.... 25,000 26,125
Valero Energy Corp. 4.750%, due 6/15/13.... 50,000 48,209
Vintage Petroleum, Inc. 7.875%, due
5/15/11.................................. 25,000 26,313
Williams Cos, Inc. 7.625%, due 7/15/19..... 25,000 26,625
------------
238,438
------------
PAPER & FOREST PRODUCTS - 0.2%
Buckeye Technologies, Inc. 8.000%, due
10/15/10................................. 25,000 23,750
Domtar Inc. 7.125%, due 8/15/15............ 5,000 4,250
------------
28,000
------------
PHARMACEUTICALS - 0.1%
Valeant Pharmaceuticals International
7.000%, due 12/15/11..................... 10,000 9,800
------------
REAL ESTATE INVESTMENT TRUST - 1.2%
Boston Properties LP 6.250%, due 1/15/13... 65,000 67,870
Host Marriott LP 7.125%, due 11/1/13....... 25,000 25,469
iStar Financial, Inc. 5.150%, due 3/1/12... 50,000 47,992
MeriStar Hospitality Operating Partnership
LP/MeriStar Hospitality Finance Corp.
10.500%, due 6/15/09..................... 25,000 26,531
------------
167,862
------------
-------------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
-------------------------------------------------------------------------
RETAIL - MULTILINE - 1.1%
Home Interiors & Gifts, Inc. 10.125%, due
6/1/08..................................... $ 10,000 $ 6,350
Jafra Cosmetics International, Inc./
Distribuidora Comercial Jafra S.A. de CV
10.750%, due 5/15/11....................... 16,000 17,640
Jean Coutu Group PJC, Inc. 8.500%, due
8/1/14..................................... 25,000 23,313
Levi Strauss & Co. 12.250%, due 12/15/12..... 10,000 11,025
Limited Brands, Inc. 6.950%, due 3/1/33...... 60,000 56,944
Neiman Marcus Group, Inc. 10.375%, due
10/15/15 (144A)(a)......................... 5,000 4,850
PETCO Animal Supplies, Inc. 10.750%, due
11/1/11.................................... 25,000 27,219
Windmere Durable Holdings, Inc. 10.000%,
due 7/31/08................................ 1,000 945
------------
148,286
------------
SAVINGS & LOANS - 0.2%
Gaz Capital S.A. 8.625%, due 4/28/34
(144A)(a).................................. 25,000 31,600
------------
SEMICONDUCTOR EQUIPMENT & PRODUCTS - 0.2%
Amkor Technologies, Inc. 10.500%, due
5/1/09..................................... 25,000 21,500
------------
SOFTWARE - 0.0%
Sungard Data Systems, Inc. 9.125%, due
8/15/13 (144A)(a).......................... 5,000 5,100
------------
TELECOMMUNICATIONS SERVICES - DIVERSIFIED - 2.9%
Alamosa Delaware, Inc. 11.000%, due
7/31/10.................................... 7,000 7,788
AT&T Wireless Services, Inc. 8.750%, due
3/1/31..................................... 50,000 65,396
Centennial Cellular Operating Co./Centennial
Communications Corp. 8.125%, due
2/1/14..................................... 25,000 26,000
Insight Midwest LP/Insight Capital, Inc.
10.500%, due 11/1/10....................... 15,000 15,825
Intelsat Ltd./Zeus Special 9.250%, due 2/1/15
(144A)(a)(b)............................... 10,000 6,625
L-3 Communications Corp. 7.625%, due
6/15/12.................................... 25,000 26,250
Lucent Technologies, Inc. 6.450%, due
3/15/29.................................... 25,000 21,500
Nextel Communications, Inc. 6.875%, due
10/31/13................................... 25,000 26,174
PanAmSat Corp. 9.000%, due 8/15/14........... 16,000 16,920
Qwest Services Corp.
13.500%, due 12/15/10....................... 25,000 28,687
14.000%, due 12/15/14....................... 25,000 30,406
Sprint Capital Corp. 8.375%, due 3/15/12..... 50,000 57,762
See notes to financial statements
46
THE TRAVELERS SERIES TRUST
SALOMON BROTHERS STRATEGIC TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
OCTOBER 31, 2005
(PERCENTAGE OF NET ASSETS)
-----------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
-----------------------------------------------------------------------
TELECOMMUNICATIONS SERVICES - DIVERSIFIED - CONTINUED
Verizon Florida, Inc., Series F 6.125%, due
1/15/13.................................. $ 70,000 $ 69,956
------------
399,289
------------
UTILITIES - 2.5%
AES Corp. 9.500%, due 6/1/09............... 25,000 27,000
Appalachian Power Co., Series H 5.950%, due
5/15/33.................................. 50,000 49,070
Calpine Corp.
8.750%, due 7/15/07....................... 25,000 15,250
8.500%, due 7/15/10(a).................... 25,000 17,625
Duke Energy Corp. 4.200%, due 10/1/08...... 50,000 48,882
Dynegy Holdings, Inc. 9.875%, due 7/15/10
(144A)(a)................................ 25,000 27,000
El Paso Corp., MTN 7.375%, due 12/15/12.... 50,000 50,000
Entergy Gulf States, Inc. 6.200%, due
7/1/33................................... 75,000 69,547
Mirant Americas Generation LLC 9.125%, due
5/1/31(d)................................ 25,000 32,812
------------
337,186
------------
Total Domestic Bonds & Debt Securities
(Cost $4,434,565) 4,348,016
------------
U. S. GOVERNMENT AGENCY MORTGAGE BACKED SECURITIES - 38.6%
Federal Home Loan Mortgage Corp.
5.000%, TBA(f)(g)......................... 1,000,000 962,188
6.000%, TBA(f)(g)......................... 1,250,000 1,262,500
Federal National Mortgage Association
4.000%, TBA(f)(g)......................... 500,000 473,906
5.000%, TBA(f)(g)......................... 2,250,000 2,165,625
6.500%, TBA(f)(g)......................... 410,000 420,890
------------
Total U. S. Government Agency Mortgage
Backed Securities
(Cost $5,450,217) 5,285,109
------------
U. S. GOVERNMENT & AGENCY OBLIGATIONS - 16.7%
U.S. Treasury Bonds 6.250%, due 5/15/30.... 400,000 483,438
U.S. Treasury Notes
4.000%, due 3/15/10-2/15/14............... 885,000 864,317
3.875%, due 5/15/10....................... 300,000 292,758
5.000%, due 2/15/11....................... 250,000 256,270
4.250%, due 8/15/13....................... 400,000 392,391
------------
Total U. S. Government & Agency Obligations
(Cost $2,268,869) 2,289,174
------------
FOREIGN BONDS & DEBT SECURITIES - 5.5%
ARGENTINA - 0.2%
Republic of Argentina 8.280%, due
12/31/33................................. 26,651 25,985
------------
-----------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
-----------------------------------------------------------------------
BRAZIL - 1.2%
Brazilian Government International Bond
8.000%, due 1/15/18................... $ 80,000 $ 82,840
Federal Republic of Brazil 5.250%, due
4/15/12**............................. 76,472 74,797
------------
157,637
------------
BULGARIA - 0.2%
Republic of Bulgaria 8.250%, due 1/15/15 25,000 29,992
------------
CANADA - 0.5%
Province of Quebec 4.600%, due 5/26/15.. 75,000 72,496
------------
COLOMBIA - 0.2%
Republic of Colombia 8.125%, due
5/21/24............................... 25,000 26,025
------------
ITALY - 0.4%
Region of Lombardy 5.804%, due
10/25/32.............................. 50,000 52,999
------------
MEXICO - 1.0%
United Mexican States, Class A
5.875%, due 1/15/14.................... 25,000 25,463
8.125%, due 12/30/19................... 25,000 29,962
United Mexican States, Series A
6.375%, due 1/16/13................... 80,000 84,000
------------
139,425
------------
PANAMA - 0.2%
Republic of Panama 7.250%, due 3/15/15.. 25,000 26,375
------------
PERU - 0.3%
Republic of Peru
5.000%, due 3/7/17**................... 24,500 23,152
5.000%, due 3/7/17..................... 20,500 19,757
------------
42,909
------------
PHILIPPINES - 0.2%
Republic of the Philippines 9.875%, due
1/15/19............................... 25,000 27,938
------------
RUSSIA - 0.5%
Russian Federation 11.000%, due 7/24/18. 50,000 73,233
------------
SOUTH AFRICA - 0.2%
Republic of South Africa 6.500%, due
6/2/14................................ 25,000 26,781
------------
TURKEY - 0.2%
Republic of Turkey 9.000%, due 6/30/11.. 25,000 28,375
------------
VENEZUELA - 0.2%
Republic of Venezuela 9.375%, due
1/13/34............................... 25,000 29,138
------------
Total Foreign Bonds & Debt Securities
(Cost $750,604) 759,308
------------
See notes to financial statements
47
THE TRAVELERS SERIES TRUST
SALOMON BROTHERS STRATEGIC TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
OCTOBER 31, 2005
(PERCENTAGE OF NET ASSETS)
-----------------------------------------------------------------------
SECURITY SHARES/PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
-----------------------------------------------------------------------
COMMON STOCKS. - 1.4%
CONTAINERS & PACKAGING - 0.0%
Applied Extrusion Technologies, Inc.,
Class B.................................... 260 $ 1,950
------------
TELECOMMUNICATION SERVICES - DIVERSIFIED - 0.7%
Liberty Global, Inc., Series A............... 430 10,651
Liberty Global, Inc., Series C............... 430 10,200
NTL, Inc..................................... 653 40,042
Telewest Global, Inc......................... 1,719 39,210
------------
100,103
------------
WIRELESS TELECOMMUNICATION SERVICES - 0.7%
American Tower Corp., Class A................ 3,753 89,509
------------
Total Common Stocks
(Cost $114,017) 191,562
------------
CONVERTIBLE PREFERRED STOCK - 0.2%
WIRELESS TELECOMMUNICATION SERVICES - 0.2%
Alamosa Holdings, Inc., Series B 7.500%, due
7/31/13 (Cost - $7,125).................... $ 25 27,587
------------
WARRANTS. - 0.0%
CAPITAL MARKETS - 0.0%
Pillowtex Corp Loan 9, Term B 8.190%, due
11/15/06(d)................................ 250,000 0
Pillowtex Corp.(c)........................... 1,701 30
Winsloew Furniture, Inc. (144A)(a)........... 200 2
------------
32
------------
COMMUNICATIONS EQUIPMENT - 0.0%
American Tower Corp., Expire 8/1/08
(144A)(a).................................. 15 5,063
------------
Total Warrants
(Cost $4,367) 5,095
------------
SHORT-TERM INVESTMENT - 44.3%
State Street Bank & Trust Co., Repurchase
Agreement, dated 10/31/05 2.450% to be
repurchased at $6,069,413 on 11/01/05
collateralized by $5,605,000 U. S. Treasury
Bond 5.500% due 08/15/28 with a value of
$6,190,594 (Cost - $6,069,000)............. 6,069,000 6,069,000
------------
TOTAL INVESTMENTS - 138.4%
(Cost $19,098,764) 18,974,851
Other Assets & Liabilities (net) - (38.4)% (5,269,354)
------------
TOTAL NET ASSETS - 100.0% $ 13,705,497
============
PORTFOLIO FOOTNOTES:
.. Non-income producing security.
** Variable or floating rate security. The stated rate represents the rate at
October 31, 2005.
(a) Securities that may be resold to "qualified institutional buyers" under
Rule 144A or securities offered pursuant to Section 4 (2) of the Securities
Act of 1933, as amended. These securities have been determined to be liquid
under guidelines established by the Board of Trustees. These securities
represent 3.45% of net assets.
(b) Security is a "step-up" bond where coupon increases or steps up at a
predetermined date. Rates shown are current coupon and next coupon when
security steps up.
(c) Illiquid Securities representing in the aggregate 0.00% of net assets
(d) Security is in default.
(e) Security is valued in good faith at fair value by or under the direction of
the Board of Trustees.
(f) Settlement is on a delayed delivery or when-issued basis with final
maturity to be announced (TBA) in the future.
(g) All or a portion of this security is acquired under mortgage dollar roll
agreement.
MTN - Medium-Term Note
NIM - Net Interest Margin
Term - Term Loan
The following table summarizes the credit composition of the portfolio holdings
of the Salomon Strategic Total Return Portfolio at October 31, 2005, based upon
quality ratings issued by Standard & Poor's. For Securities not rated by
Standard & Poor's, the equivalent Moody's rating is used.
PERCENT OF
PORTFOLIO
PORTFOLIO COMPOSITION BY CREDIT QUALITY (UNAUDITED)
---------------------------------------------------
AAA/Government/Government Agency 58.69%
AA 1.20
A 10.34
BBB 9.97
BB 5.38
B 9.82
Below B 2.36
Equities/Other 2.24
------
Total: 100.00%
======
See notes to financial statements
48
THE TRAVELERS SERIES TRUST
STRATEGIC EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS
OCTOBER 31, 2005
(PERCENTAGE OF NET ASSETS)
-------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
-------------------------------------------------------------------
COMMON STOCKS - 91.5%
AEROSPACE & DEFENSE - 0.8%
Boeing Co. (The)......................... 20,300 $ 1,312,192
United Technologies Corp................. 44,500 2,281,960
-------------
3,594,152
-------------
AUTO COMPONENTS - 0.5%
Compagnie Generale des Etablissements
Michelin, Class B(a)(b)................ 37,053 2,001,217
Gentex Corp.(a).......................... 3,600 67,752
-------------
2,068,969
-------------
AUTOMOBILES - 0.2%
Coachmen Industries, Inc................. 1,900 22,629
Fleetwood Enterprises, Inc.*(a).......... 67,100 741,455
Monaco Coach Corp.(a).................... 16,225 199,081
-------------
963,165
-------------
BANKS - 2.1%
Bank of America Corp..................... 100,200 4,382,748
Boston Private Financial Holdings, Inc... 2,300 66,585
Unibanco-Uniao de Bancos Brasileiros
S.A., (GDR)(a)......................... 45,000 2,353,500
Wachovia Corp............................ 50,100 2,531,052
-------------
9,333,885
-------------
BEVERAGES - 2.5%
Coca-Cola Co. (The)...................... 185,500 7,935,690
Coca-Cola Enterprises, Inc............... 167,100 3,158,190
-------------
11,093,880
-------------
BIOTECHNOLOGY - 4.2%
Biogen Idec, Inc.*....................... 99,000 4,022,370
Cephalon, Inc.*(a)....................... 39,400 1,796,246
Charles River Laboratories International,
Inc.*.................................. 111,300 4,870,488
Gilead Sciences, Inc.*................... 74,100 3,501,225
MedImmune, Inc.*......................... 130,000 4,547,400
Onyx Pharmaceuticals, Inc.*(a)........... 13,200 339,108
-------------
19,076,837
-------------
COMMUNICATIONS EQUIPMENT - 3.9%
ADC Telecommunications, Inc.*(a)......... 9,300 162,285
Alcatel S.A., (ADR)*(a).................. 254,400 2,986,656
CIENA Corp.*(a).......................... 3,354,300 7,949,691
Corning, Inc.*........................... 16,900 339,521
Finisar Corp.*(a)........................ 1,729,203 2,611,096
Juniper Networks, Inc.*.................. 52,000 1,213,160
NMS Communications Corp.*(a)............. 172,402 603,407
Nokia OYJ, (ADR)......................... 37,100 621,991
Sonus Networks, Inc.*(a)................. 185,600 809,216
Sycamore Networks, Inc.*................. 82,500 320,925
-------------
17,617,948
-------------
-----------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
-----------------------------------------------------------
COMPUTERS, PERIPHERALS & SERVICES - 1.2%
ATI Technologies, Inc.*.......... 35,700 $ 514,387
ATI Technologies, Inc., (ADR)*(a) 247,400 3,574,930
Dell, Inc.*...................... 37,395 1,192,153
Seagate Technology*.............. 1,600 22,768
-------------
5,304,238
-------------
CONSTRUCTION & MATERIALS - 0.7%
Foster Wheeler, Ltd.*............ 51,000 1,442,280
Jacobs Engineering Group, Inc.*.. 24,200 1,542,750
-------------
2,985,030
-------------
ENERGY EQUIPMENT & SERVICES - 2.2%
American Power Conversion Corp... 17,837 381,533
Halliburton Co................... 76,100 4,497,510
TXU Corp......................... 48,300 4,866,225
-------------
9,745,268
-------------
FINANCIALS - DIVERSIFIED - 4.5%
Fannie Mae....................... 66,900 3,179,088
Freddie Mac...................... 57,900 3,552,165
Morgan Stanley................... 16,900 919,529
SLM Corp......................... 226,450 12,574,769
-------------
20,225,551
-------------
FOOD PRODUCTS - 1.7%
Campbell Soup Co................. 30,800 896,280
Corn Products International, Inc. 44,600 1,061,926
Hormel Foods Corp................ 37,810 1,202,358
Nestle S.A.(b)................... 7,421 2,208,031
Nestle S.A., (ADR)(a)............ 29,700 2,211,907
-------------
7,580,502
-------------
HEALTH CARE EQUIPMENT & SUPPLIES - 2.4%
Alcon, Inc....................... 11,100 1,475,190
BioLase Technology, Inc.(a)...... 17,746 118,543
C.R. Bard, Inc................... 27,400 1,709,212
Guidant Corp..................... 27,200 1,713,600
Nobel Biocare Holding AG(b)...... 11,133 2,565,635
Phonak Holding AG(a)(b).......... 28,348 1,181,579
Straumann Holding AG(a)(b)....... 8,903 2,074,545
-------------
10,838,304
-------------
HEALTH CARE PROVIDERS & SERVICES - 6.9%
Aetna, Inc....................... 77,900 6,898,824
Humana, Inc.*.................... 137,400 6,099,186
PacifiCare Health Systems, Inc.*. 57,600 4,743,936
UnitedHealth Group, Inc.......... 219,700 12,718,433
WebMD Health Corp., Class A*(a).. 17,700 462,324
-------------
30,922,703
-------------
HOTELS, RESTAURANTS & LEISURE - 0.7%
Dominos Pizza, Inc.(a)........... 62,400 1,492,608
WMS Industries, Inc.*(a)......... 71,400 1,794,282
-------------
3,286,890
-------------
See notes to financial statements
49
THE TRAVELERS SERIES TRUST
STRATEGIC EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
OCTOBER 31, 2005
(PERCENTAGE OF NET ASSETS)
---------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
---------------------------------------------------------------------
HOUSEHOLD DURABLES - 0.1%
Garmin, Ltd.(a)............................ 9,000 $ 516,870
-------------
HOUSEHOLD PRODUCTS - 1.2%
Colgate-Palmolive Co....................... 39,000 2,065,440
Procter & Gamble Co. (The)................. 61,065 3,419,029
-------------
5,484,469
-------------
INDUSTRIAL - DIVERSIFIED - 4.3%
General Electric Co........................ 458,500 15,547,735
Honeywell International, Inc............... 107,900 3,690,180
-------------
19,237,915
-------------
INSURANCE - 10.5%
ACE, Ltd................................... 83,200 4,334,720
AFLAC, Inc................................. 91,500 4,371,870
Ambac Financial Group, Inc................. 43,400 3,076,626
American International Group, Inc.......... 527,050 34,152,840
St. Paul Travelers Cos., Inc............... 25,300 1,139,259
-------------
47,075,315
-------------
INTERNET SOFTWARE & SERVICES - 1.4%
eBay, Inc.*................................ 66,770 2,644,092
NetRatings, Inc.*(a)....................... 26,610 395,957
Yahoo!, Inc.*.............................. 87,100 3,220,087
-------------
6,260,136
-------------
IT CONSULTING & SERVICES - 0.0%
NAVTEQ Corp.*.............................. 3,700 144,744
-------------
LEISURE EQUIPMENT & PRODUCTS - 0.2%
Brunswick Corp............................. 100 3,813
MarineMax, Inc.*(a)........................ 1,828 45,152
Marvel Entertainment, Inc.*(a)............. 55,000 968,000
-------------
1,016,965
-------------
MEDIA - 3.8%
Clear Channel Communications, Inc.......... 62,200 1,892,124
Cumulus Media, Inc., Class A*(a)........... 21,018 255,579
DreamWorks Animation SKG, Inc.,
Class A*................................. 52,800 1,353,792
Entercom Communications Corp.*............. 19,850 573,069
GameLoft*(b)............................... 148,415 982,307
Getty Images, Inc.*(a)..................... 4,500 373,545
Lamar Advertising Co., Class A*............ 32,658 1,457,200
News Corp., Class A........................ 259,600 3,699,300
Omnicom Group, Inc......................... 7,100 589,016
Pixar*..................................... 53,500 2,714,055
Univision Communications, Inc.,
Class A*................................. 113,276 2,961,035
XM Satellite Radio Holdings, Inc., Class A* 5,500 158,565
-------------
17,009,587
-------------
METALS & MINING - 1.7%
Alamos Gold, Inc.*......................... 96,000 371,030
Apex Silver Mines Ltd.*(a)................. 22,500 344,700
---------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
---------------------------------------------------------------
METALS & MINING - CONTINUED
Glamis Gold Ltd.*(a)................. 74,500 $ 1,580,890
IAMGOLD Corp......................... 112,400 776,421
Newmont Mining Corp.................. 55,660 2,371,116
Placer Dome, Inc.(a)................. 22,200 442,890
Placer Dome, Inc., (ADR)............. 85,400 1,688,674
-------------
7,575,721
-------------
OIL & GAS - 2.6%
BP Plc, (ADR)........................ 10,000 664,000
Giant Industries, Inc.*(a)........... 49,100 2,808,029
Tesoro Corp.......................... 57,500 3,516,125
Valero Energy Corp................... 44,500 4,683,180
-------------
11,671,334
-------------
PHARMACEUTICALS - 9.4%
Johnson & Johnson.................... 159,300 9,975,366
Novartis AG, (ADR)................... 92,900 4,999,878
Roche Holding AG(a)(b)............... 68,675 10,255,934
Sepracor, Inc.*...................... 79,200 4,455,000
Teva Pharmaceutical Industries, Ltd.,
(ADR)(a)........................... 63,100 2,405,372
Wyeth................................ 231,800 10,329,008
-------------
42,420,558
-------------
MULTILINE RETAIL - 0.7%
Wal-Mart Stores, Inc................. 70,400 3,330,624
-------------
RETAIL - SPECIALTY - 2.7%
Game Group Plc(b).................... 1,031,146 1,564,116
GameStop Corp., Class A*(a).......... 211,415 7,501,014
Staples, Inc......................... 133,900 3,043,547
-------------
12,108,677
-------------
SEMICONDUCTOR EQUIPMENT & PRODUCTS - 2.7%
Analog Devices, Inc.................. 18,400 639,952
Applied Micro Circuits Corp.*........ 582,600 1,421,544
ASML Holding NV, NY Registered
Shares*(a)......................... 93,100 1,580,838
Broadcom Corp., Class A*............. 11,100 471,306
Intel Corp........................... 800 18,800
Linear Technology Corp............... 31,500 1,046,115
Maxim Integrated Products, Inc....... 14,800 513,264
PMC-Sierra, Inc.*(a)................. 275,800 1,958,180
Teradyne, Inc.*...................... 215,300 2,915,162
United Microelectronics Corp., (ADR). 18,763 54,788
Xilinx, Inc.......................... 55,666 1,333,201
-------------
11,953,150
-------------
SOFTWARE - 9.6%
Activision, Inc.*.................... 271,849 4,287,064
Cadence Design Systems, Inc.*........ 126,100 2,015,078
Microsoft Corp....................... 1,221,123 31,382,861
NDS Group Plc, (ADR)*................ 20,000 732,000
Oracle Corp.*........................ 3,700 46,916
See notes to financial statements
50
THE TRAVELERS SERIES TRUST
STRATEGIC EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
OCTOBER 31, 2005
(PERCENTAGE OF NET ASSETS)
-----------------------------------------------------------------------
SECURITY SHARES/PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
-----------------------------------------------------------------------
SOFTWARE - CONTINUED
Take-Two Interactive Software, Inc.*(a).... 83,100 $ 1,716,015
THQ, Inc.*(a).............................. 130,753 3,030,855
-------------
43,210,789
-------------
TELECOMMUNICATION SERVICES - DIVERSIFIED - 2.5%
SBC Communications, Inc.................... 189,700 4,524,345
Verizon Communications, Inc................ 207,700 6,544,627
-------------
11,068,972
-------------
TOBACCO - 3.6%
Altria Group, Inc.......................... 208,100 15,617,905
UST, Inc................................... 11,200 463,568
-------------
16,081,473
-------------
Total Common Stocks
(Cost $396,323,992) 410,804,621
-------------
CONVERTIBLE BOND & NOTE - 0.5%
TELECOMMUNICATIONS - 0.5%
CIENA Corp. 3.750%, due 2/1/08
(Cost - $2,387,345)...................... $ 2,550,000 2,330,062
-------------
SHORT-TERM INVESTMENTS - 17.8%
State Street Bank & Trust Co.,
Repurchase Agreement, dated
10/31/05 at 2.45% to be repurchased
at $35,760,434 on 11/01/05
collateralized by $33,655,000 U.S.
Treasury Bond 5.250% due 11/15/28
with a value of $36,475,222.............. 35,758,000 35,758,000
State Street Navigator Securities Trust
Prime Portfolio(c)....................... 43,982,109 43,982,109
-------------
Total Short-Term Investments
(Cost $79,740,109) 79,740,109
-------------
TOTAL INVESTMENTS - 109.8%
(Cost $478,451,446) 492,874,792
Other Assets and Liabilities (net) - (9.8)% (43,827,127)
-------------
TOTAL NET ASSETS - 100.0% $ 449,047,665
=============
* Non-income producing security.
(a) All or a portion of security out on loan.
(b) Security is valued in good faith at fair value by or under the direction of
the Board of Trustees.
(c) Represents investment of collateral received from securities lending
transactions. (Note 6)
ADR - American Depositary Receipt
GDR - Global Depository Receipt
See notes to financial statements
51
THE TRAVELERS SERIES TRUST
TRAVELERS MANAGED INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS
OCTOBER 31, 2005
(PERCENTAGE OF NET ASSETS)
-------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
-------------------------------------------------------------------
DOMESTIC BONDS & DEBT SECURITIES - 51.4%
AEROSPACE & DEFENSE - 0.8%
Northrop Grumman Corp.
4.079%, due 11/16/06................... $ 1,600,000 $ 1,587,595
7.125%, due 2/15/11.................... 500,000 546,557
-------------
2,134,152
-------------
ASSET-BACKED SECURITIES - 2.8%
Bank One Issuance Trust, Series 2003,
Class A3 4.080%, due 12/15/10^........ 2,000,000 2,006,287
California Infrastructure PG&E-1, Series
1997-1, Class A7 6.420%, due
9/25/08............................... 592,232 597,864
Capital One Multi-Asset Execution Trust,
Series 2003-A7 4.150%, due
9/15/11^.............................. 1,000,000 1,005,753
Chase Funding Mortgage Loan Asset-
Backed Certificates, Series 2002-2,
Class 1A5 5.833%, due 4/25/32......... 1,100,000 1,111,119
Chase Issuance Trust, Series 2005-A4,
Class A4 4.230%, due 1/15/13.......... 850,000 834,886
Discover Card Master Trust I, Series
1996-3, Class A 6.050%, due
8/18/08............................... 2,000,000 2,010,007
-------------
7,565,916
-------------
AUTOMOBLIES - 0.7%
DaimlerChrysler North America Holding
Corp. 7.300%, due 1/15/12............. 1,800,000 1,929,897
Ford Motor Co. 7.450%, due 7/16/31...... 100,000 74,000
-------------
2,003,897
-------------
BANKS - 5.6%
ABN AMRO Bank NV 3.840%, due
5/11/07^.............................. 2,290,000 2,294,037
Bank of America Corp. 5.375%, due
6/15/14............................... 1,500,000 1,520,976
HSBC Bank USA 5.875%, due 11/1/34....... 1,200,000 1,191,731
Huntington National Bank 4.650%, due
6/30/09............................... 1,000,000 990,210
Rabobank Capital Funding Trust III
5.254%, due 12/31/49
(144A)^(a)............................ 500,000 483,407
RBS Capital Trust I 4.709%, due
12/29/49^............................. 800,000 752,989
Royal Bank of Scotland Group Plc
5.050%, due 1/8/15.................... 1,100,000 1,082,919
U.S. Bank North America
2.870%, due 2/1/07..................... 2,000,000 1,953,670
4.950%, due 10/30/14................... 1,100,000 1,083,140
Wachovia Bank North America,
Series BKNT
4.800%, due 11/1/14.................... 700,000 676,913
4.090%, due 11/3/14^................... 2,000,000 2,020,580
--------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
--------------------------------------------------------------------
BANKS - CONTINUED
Washington Mutual Bank FA., Series Unit
5.125%, due 1/15/15.................... $ 1,300,000 $ 1,262,778
-------------
15,313,350
-------------
BEVERAGES - 1.0%
Bottling Group LLC 4.625%, due
11/15/12............................... 1,000,000 979,327
PepsiAmericas, Inc. 4.875%, due
1/15/15................................ 1,800,000 1,753,245
-------------
2,732,572
-------------
COLLATERALIZED MORTGAGE OBLIGATIONS - 7.5%
Banc of America Commercial Mortgage,
Inc., Series 2004-6, Class AJ 4.870%,
due 12/10/42........................... 4,250,000 4,096,033
Commercial Mortgage Pass Through
Certificates, Series 2005-C6, Class A5B
5.167%, due 6/10/44.................... 3,100,000 3,060,571
Credit Suisse First Boston Mortgage
Securities Corp., Series 2004-C5, Class
AJ 4.889%, due 11/15/37................ 2,000,000 1,927,986
General Motors Acceptance Corporation
Commercial Mortgage Securities, Inc.,
Series 2004-C2, Class A3 5.134%, due
8/10/38................................ 3,000,000 2,979,725
JP Morgan Chase Commercial Mortgage
Securities Corp.
Series 2004-C3, Class AJ4.922%, due
1/15/42............................... 4,000,000 3,865,424
Series 2005-LDP3, Class A4B4.996%,
due 8/15/42........................... 950,000 922,896
Series 2005-LDP4, Class AM4.999%,
due 10/15/42.......................... 1,050,000 1,019,894
LB-UBS Commercial Mortgage Trust,
Series 2005-C1, Class AJ 4.806%, due
2/15/40................................ 2,700,000 2,589,181
-------------
20,461,710
-------------
FINANCIALS - DIVERSIFIED - 11.5%
AIG SunAmerica Global Financing VII
5.850%, due 8/1/08 (144A)(a)........... 1,400,000 1,432,914
American General Finance Corp. 3.875%,
due 10/1/09............................ 2,500,000 2,390,597
Capital One Bank 5.000%, due
6/15/09................................ 1,700,000 1,689,676
Capital One Financial Corp. 5.500%, due
6/1/15................................. 700,000 686,454
Caterpillar Financial Services 4.700%,
due 3/15/12............................ 2,200,000 2,161,971
Countrywide Financial Corp., Series A
4.500%, due 6/15/10.................... 1,500,000 1,452,397
See notes to financial statements
52
THE TRAVELERS SERIES TRUST
TRAVELERS MANAGED INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
OCTOBER 31, 2005
(PERCENTAGE OF NET ASSETS)
-------------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
-------------------------------------------------------------------------
FINANCIALS - DIVERSIFIED - CONTINUED
Countrywide Home Loans, Inc., Series L
4.000%, due 3/22/11................... $ 1,780,000 $ 1,672,378
Credit Suisse First Boston USA, Inc.
3.875%, due 1/15/09.................... 2,000,000 1,934,530
6.125%, due 11/15/11................... 700,000 734,100
Ford Motor Credit Co.
6.875%, due 2/1/06..................... 2,000,000 1,999,094
6.500%, due 1/25/07.................... 1,200,000 1,186,103
5.700%, due 1/15/10.................... 300,000 270,209
Glencore Funding LLC 6.000%, due
4/15/14 (144A)(a)..................... 900,000 830,352
Goldman Sachs Group, Inc. 5.250%, due
10/15/13.............................. 2,300,000 2,278,276
HSBC Finance Corp. 6.375%, due
10/15/11.............................. 3,400,000 3,596,170
JPMorgan Chase & Co. 5.250%, due
5/1/15................................ 1,100,000 1,090,279
Lehman Brothers Holdings, Inc., Series G
4.800%, due 3/13/14................... 1,700,000 1,647,278
Merrill Lynch & Co., Inc., Series C
4.125%, due 9/10/09.................... 1,000,000 967,882
4.250%, due 2/8/10..................... 1,000,000 968,820
5.000%, due 1/15/15.................... 1,000,000 976,376
Morgan Stanley 5.050%, due 1/21/11...... 1,600,000 1,587,830
-------------
31,553,686
-------------
FOOD PRODUCTS - 1.7%
Delhaize America, Inc. 9.000%, due
4/15/31............................... 500,000 562,092
Fred Meyer, Inc. 7.450%, due 3/1/08..... 2,000,000 2,093,464
Safeway, Inc. 6.500%, due 3/1/11........ 1,900,000 1,954,038
-------------
4,609,594
-------------
HEALTHCARE-SERVICES - 0.4%
WellPoint, Inc. 6.800%, due 8/1/12...... 1,100,000 1,199,070
-------------
HOME BUILDERS - 0.3%
D.R. Horton, Inc. 5.250%, due
2/15/15............................... 900,000 826,378
-------------
INDUSTRIAL - DIVERSIFIED - 2.1%
General Electric Co. 5.000%, due
2/1/13................................ 3,500,000 3,475,745
Tyco International Group S.A. 6.125%,
due 11/1/08........................... 2,300,000 2,372,701
-------------
5,848,446
-------------
INSURANCE - 1.4%
Berkshire Hathaway Finance Corp.
3.850%, due 5/16/08^................... 500,000 500,284
4.750%, due 5/15/12.................... 1,000,000 981,474
GE Global Insurance Holding Corp.
7.000%, due 2/15/26................... 500,000 505,136
-----------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
-----------------------------------------------------------------
INSURANCE - CONTINUED
MassMutual Global Funding II 2.550%,
due 7/15/08 (144A)(a)............... $ 1,800,000 $ 1,693,867
-------------
3,680,761
-------------
MEDIA - 3.4%
Clear Channel Communications, Inc.
4.400%, due 5/15/11................. 500,000 461,858
Comcast Cable Communications, Inc.
8.500%, due 5/1/27.................. 1,000,000 1,233,915
COX Communications, Inc. 7.125%, due
10/1/12............................. 2,300,000 2,466,939
Liberty Media Corp. 5.370%, due
9/17/06^............................ 1,055,000 1,063,545
Time Warner, Inc. 6.150%, due
5/1/07.............................. 4,000,000 4,070,564
-------------
9,296,821
-------------
OIL & GAS - 2.4%
Anadarko Finance Co., Series B 6.750%,
due 5/1/11.......................... 800,000 860,780
Consolidated Natural Gas Co., Series A
5.000%, due 12/1/14................. 500,000 484,937
Cooper Cameron Corp. 2.650%, due
4/15/07............................. 500,000 482,527
Devon Financing Corp. ULC 6.875%, due
9/30/11............................. 1,300,000 1,409,365
Duke Capital LLC 4.331%, due
11/16/06............................ 1,000,000 992,409
Kinder Morgan Energy Partners LP
5.125%, due 11/15/14................ 500,000 485,915
Phelps Dodge Corp. 8.750%, due
6/1/11.............................. 800,000 923,452
PSEG Energy Holdings LLC 8.625%, due
2/15/08............................. 800,000 834,000
-------------
6,473,385
-------------
FOREST PRODUCTS & PAPER - 0.2%
International Paper Co. 5.300%, due
4/1/15.............................. 600,000 568,650
-------------
PHARMACEUTICALS - 1.0%
Wyeth 5.500%, due 2/1/14.............. 2,600,000 2,622,904
-------------
REAL ESTATE - 1.5%
AvalonBay Communities, Inc. 4.950%,
due 3/15/13......................... 200,000 194,920
Colonial Realty LP 4.750%, due
2/1/10.............................. 700,000 679,590
HRPT Properties Trust, (REIT) 6.250%,
due 8/15/16......................... 700,000 721,503
iStar Financial, Inc. 6.000%, due
12/15/10............................ 1,130,000 1,144,375
See notes to financial statements
53
THE TRAVELERS SERIES TRUST
TRAVELERS MANAGED INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
OCTOBER 31, 2005
(PERCENTAGE OF NET ASSETS)
----------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
----------------------------------------------------------------------
REAL ESTATE - CONTINUED
Kimco Realty Corp., Series C 3.893%, due
8/1/06**.............................. $ 300,000 $ 300,437
Simon Property Group LP, (REIT)
4.600%, due 6/15/10.................... 500,000 488,796
5.100%, due 6/15/15.................... 500,000 481,538
-------------
4,011,159
-------------
SOFTWARE - 0.7%
Computer Associates International, Inc.
4.750%, due 12/1/09 (144A)(a)......... 1,900,000 1,846,808
-------------
TELECOMMUNICATIONS SERVICES - DIVERSIFIED - 2.0%
Deutsche Telekom International Finance
BV 8.750%/ 8.250%, due
6/15/30(b)............................ 1,100,000 1,368,013
SBC Communications, Inc. 6.450%, due
6/15/34............................... 1,000,000 1,017,013
Sprint Capital Corp.
6.125%, due 11/15/08................... 1,830,000 1,885,994
8.375%, due 3/15/12.................... 200,000 231,049
Telecom Italia Capital S.A. 4.000%, due
1/15/10............................... 1,000,000 951,485
-------------
5,453,554
-------------
TOBACCO - 0.7%
Altria Group, Inc. 5.625%, due
11/4/08............................... 2,000,000 2,029,800
-------------
UTILITIES - 3.7%
Dominion Resources, Inc., Series F
5.250%, due 8/1/33.................... 1,000,000 975,069
Pepco Holdings, Inc. 5.500%, due
8/15/07............................... 3,000,000 3,026,010
Southern California Gas Co., Series II
4.375%, due 1/15/11................... 900,000 875,587
SP PowerAssets, Ltd. 5.000%, due
10/22/13 (144A)(a).................... 2,000,000 1,989,714
TransAlta Corp. 5.750%, due
12/15/13.............................. 1,000,000 1,009,346
Xcel Energy, Inc. 3.400%, due 7/1/08.... 2,300,000 2,210,141
-------------
10,085,867
-------------
Total Domestic Bonds & Debt Securities
(Cost $142,793,292) 140,318,480
-------------
U. S. GOVERNMENT & AGENCY OBLIGATIONS - 42.0%
Federal Home Loan Mortgage Corp.
2.9000%/ 7.000%, due 2/27/19(c)....... 1,500,000 1,491,102
Federal National Mortgage Association
1.750%, due 6/16/06.................... 3,100,000 3,049,473
2.000%/ 4.000% due 2/9/07(c)........... 3,450,000 3,425,470
6.000%, due 5/15/11.................... 4,900,000 5,177,948
U.S. Treasury Bonds 5.250%, due
2/15/29............................... 100,000 106,121
-----------------------------------------------------------------------
SECURITY SHARES/PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
-----------------------------------------------------------------------
U. S. GOVERNMENT & AGENCY OBLIGATIONS - CONTINUED
U.S. Treasury Notes
2.875%, due 11/30/06.................... $ 13,000,000 $ 12,798,916
2.750%, due 8/15/07..................... 4,000,000 3,889,376
4.000%, due 8/31/07..................... 16,000,000 15,895,008
5.625%, due 5/15/08..................... 24,000,000 24,704,064
4.125%, due 8/15/08-5/15/15............. 39,975,000 39,502,429
3.875%, due 5/15/10..................... 400,000 390,344
4.250%, due 10/15/10-8/15/15............ 3,700,000 3,616,201
U.S. Treasury Strips 4.250%, due
11/15/09(d)............................ 1,000,000 833,761
-------------
Total U. S. Government & Agency Obligations
(Cost $117,546,489) 114,880,213
-------------
WARRANT - 0.0%
COMMUNICATIONS EQUIPMENT - 0.0%
Loral Space & Communications expires
1/15/07*(e)
(Cost - $105).......................... 150 1
-------------
SHORT-TERM INVESTMENT - 5.5%
State Street Bank & Trust Co., Repurchase
Agreement, dated 10/31/05 at 2.450%
to be repurchased at $15,136,030 on
11/01/05 collateralized by
$14,245,000 U.S. Treasury Bond
5.250% due 11/15/28 with a value of
$15,438,702 (Cost - $15,135,000)....... 15,135,000 15,135,000
-------------
TOTAL INVESTMENTS - 98.9%
(Cost $275,474,886) 270,333,694
Other Assets and Liabilities (net) - 1.1% 2,948,750
-------------
TOTAL NET ASSETS - 100.0% $ 273,282,444
=============
PORTFOLIO FOOTNOTES:
* Non-income producing security.
** Variable or floating rate security. The stated rate represents the rate at
October 31, 2005.
(a) Securities that may be resold to "qualified institutional buyers" under
Rule 144A or securities offered pursuant to Section 4 (2) of the Securities
Act of 1933, as amended. These securities have been determined to be liquid
under the guidelines established by the Board of Trustees. These securities
represent 3.03% of net assets.
(b) Security is a "step-down" bond where the coupon decreases or steps down at
a predetermined date. Rates shown are current coupon and next coupon rate
when a security steps down.
See notes to financial statements
54
THE TRAVELERS SERIES TRUST
TRAVELERS MANAGED INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
OCTOBER 31, 2005
(PERCENTAGE OF NET ASSETS)
(c) Security is a "Step-up" bond where coupon increases or steps up at a
predetermined date. Rates shown are current coupon and next coupon rate
when security steps up.
(d) Zero Coupon Bond - interest rate represents current yield to maturity.
(e) Security is valued in good faith at fair value by or under the direction of
the Board of Trustees.
AIG - American International Guaranty
REIT - Real Estate Investment Trust
The following table summarizes the credit composition of the portfolio holdings
of the Travelers Managed Income Portfolio at October 31, 2005, based upon
quality ratings issued by Standard & Poor's. For Securities not rated by
Standard & Poor's, the equivalent Moody's rating is used.
PERCENT OF
PORTFOLIO
PORTFOLIO COMPOSITION BY CREDIT QUALITY (UNAUDITED)
---------------------------------------------------
AAA/Government/Government Agency 58.60%
AA 3.79
A 17.07
BBB 17.87
BB 2.67
------
Total: 100.00%
======
See notes to financial statements
55
THE TRAVELERS SERIES TRUST
VAN KAMPEN ENTERPRISE PORTFOLIO
PORTFOLIO OF INVESTMENTS
OCTOBER 31, 2005
(PERCENTAGE OF NET ASSETS)
-------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
-------------------------------------------------------------
COMMON STOCKS - 98.5%
AEROSPACE & DEFENSE - 2.9%
Precision Castparts Corp............. 10,746 $ 508,930
United Technologies Corp............. 30,170 1,547,118
------------
2,056,048
------------
AIR FREIGHT & LOGISTICS - 0.5%
FedEx Corp........................... 3,750 344,738
------------
BANKS - 1.1%
Bank of America Corp................. 17,975 786,226
------------
BEVERAGES - 3.3%
Brown-Forman Corp., Class B.......... 13,310 843,056
Constellation Brands, Inc., Class A
Shares*............................ 4,600 108,284
Pepsi Bottling Group, Inc............ 8,280 235,400
PepsiCo, Inc......................... 18,810 1,111,295
------------
2,298,035
------------
BIOTECHNOLOGY - 6.6%
Amgen, Inc.*......................... 25,750 1,950,820
Celgene Corp.*(a).................... 22,970 1,288,617
Gilead Sciences, Inc.*............... 24,560 1,160,460
MedImmune, Inc.*..................... 7,130 249,407
------------
4,649,304
------------
CHEMICALS - 0.3%
Dow Chemical Co...................... 4,730 216,918
------------
COMMERCIAL SERVICES & SUPPLIES - 3.2%
Acco Brands Corp.*................... 1,084 26,352
Automatic Data Processing, Inc....... 13,970 651,840
Brink's Co.(a)....................... 7,590 298,060
Career Education Corp.*(a)........... 10,158 361,523
Fair Isaac Corp.(a).................. 6,880 287,309
First Data Corp...................... 7,000 283,150
Fiserv, Inc.*........................ 7,890 344,635
------------
2,252,869
------------
COMMUNICATIONS EQUIPMENT - 5.8%
ADTRAN, Inc.(a)...................... 23,570 712,992
Cisco Systems, Inc.*................. 18,190 317,415
Comverse Technology, Inc.*........... 12,532 314,553
Corning, Inc.*....................... 57,230 1,149,751
Harris Corp.......................... 5,720 235,092
Motorola, Inc........................ 38,850 860,916
QUALCOMM, Inc........................ 6,610 262,814
Scientific-Atlanta, Inc.............. 7,490 265,446
------------
4,118,979
------------
COMPUTERS, PERIPHERALS & SERVICES - 5.4%
Apple Computer, Inc.*................ 13,370 769,978
Dell, Inc.*.......................... 57,637 1,837,468
EMC Corp.*........................... 58,270 813,449
SanDisk Corp.*....................... 6,690 393,974
------------
3,814,869
------------
-------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
-------------------------------------------------------------
ENERGY EQUIPMENT & SERVICES - 3.6%
AMETEK, Inc.......................... 11,340 $ 461,878
Avnet, Inc.*......................... 11,480 264,614
Baker Hughes, Inc.................... 7,790 428,138
Broadcom Corp., Class A Shares*...... 8,280 351,569
Mettler-Toledo International, Inc.*.. 5,820 300,312
Patterson-UTI Energy, Inc............ 9,560 326,283
TXU Corp............................. 4,130 416,098
------------
2,548,892
------------
FINANCIALS - DIVERSIFIED - 4.1%
American Express Co.................. 20,197 1,005,205
Ameriprise Financial, Inc............ 4,039 150,332
Capital One Financial Corp........... 6,710 512,308
IndyMac Bancorp, Inc.(a)............. 4,240 158,279
Merrill Lynch & Co., Inc............. 16,270 1,053,320
------------
2,879,444
------------
FOOD & DRUG RETAILING - 3.2%
7-Eleven, Inc.*...................... 3,800 142,158
CVS Corp............................. 50,490 1,232,461
Hershey Co........................... 9,531 541,647
Wm. Wrigley Jr. Co................... 5,244 364,458
------------
2,280,724
------------
HEALTH CARE EQUIPMENT & SUPPLIES - 0.9%
Lumenis Ltd.*(a)..................... 580 1,160
St. Jude Medical, Inc.*.............. 13,480 647,984
------------
649,144
------------
HEALTH CARE PROVIDERS & SERVICES - 9.7%
Aetna, Inc........................... 11,094 982,485
Caremark Rx, Inc.*................... 10,350 542,340
Coventry Health Care, Inc.*.......... 16,748 904,198
Express Scripts, Inc.*............... 4,720 355,935
Laboratory Corp. of America Holdings* 6,510 314,107
PacifiCare Health Systems, Inc.*..... 9,760 803,834
Quest Diagnostics, Inc............... 6,210 290,069
UnitedHealth Group, Inc.............. 33,690 1,950,314
WellPoint, Inc.*..................... 9,144 682,874
------------
6,826,156
------------
HOTELS, RESTAURANTS & LEISURE - 2.8%
Marriott International, Inc., Class A
Shares............................. 10,450 623,029
Penn National Gaming, Inc.*(a)....... 9,660 285,453
Starwood Hotels & Resorts Worldwide,
Inc................................ 11,445 668,731
Yum! Brands, Inc..................... 7,200 366,264
------------
1,943,477
------------
HOUSEHOLD DURABLES - 0.4%
Black & Decker Corp.................. 3,550 291,562
------------
See notes to financial statements
56
THE TRAVELERS SERIES TRUST
VAN KAMPEN ENTERPRISE PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
OCTOBER 31, 2005
(PERCENTAGE OF NET ASSETS)
-------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
-------------------------------------------------------------
HOUSEHOLD PRODUCTS - 3.6%
Church & Dwight Co., Inc............. 5,630 $ 197,332
Procter & Gamble Co.................. 41,380 2,316,866
------------
2,514,198
------------
INDUSTRIAL - DIVERSIFIED - 4.7%
General Electric Co.................. 64,090 2,173,292
Rockwell Automation, Inc............. 8,090 429,983
Tyco International, Ltd.............. 27,410 723,350
------------
3,326,625
------------
INSURANCE - 0.4%
Unitrin, Inc......................... 6,310 290,260
------------
INTERNET SOFTWARE & SERVICES - 3.2%
eBay, Inc.*.......................... 9,760 386,496
Google, Inc., Class A*............... 730 271,662
McAfee, Inc.*........................ 11,540 346,546
Yahoo!, Inc.*........................ 33,130 1,224,816
------------
2,229,520
------------
IT CONSULTING & SERVICES - 0.5%
Cognizant Technology Solutions Corp.,
Class A Shares*.................... 7,200 316,656
------------
LEISURE EQUIPMENT & PRODUCTS - 0.3%
Brunswick Corp....................... 6,110 232,974
------------
MACHINERY - 3.4%
Caterpillar, Inc..................... 7,400 389,166
Cummins, Inc......................... 2,960 252,695
Danaher Corp......................... 12,230 637,183
Deere & Co........................... 5,028 305,099
Ingersoll-Rand Co., Ltd., Class A.... 7,300 275,867
ITT Industries, Inc.................. 2,960 300,736
Oshkosh Truck Corp................... 5,520 240,451
------------
2,401,197
------------
MEDIA - 0.9%
News Corp., Ltd., (The), Class A..... 32,440 462,270
Walt Disney Co. (The)................ 7,300 177,901
------------
640,171
------------
METALS & MINING - 1.0%
Allegheny Technologies, Inc.......... 15,190 436,105
Freeport-McMoRan Copper & Gold, Inc.,
Class B(a)......................... 5,620 277,740
------------
713,845
------------
OIL & GAS - 2.0%
Chesapeake Energy Corp............... 8,580 275,418
ConocoPhillips....................... 4,140 270,673
Exxon Mobil Corp..................... 3,609 202,609
Newfield Exploration Co.*............ 5,230 237,076
Sunoco, Inc.......................... 2,970 221,265
Total SA, (ADR)(a)................... 1,770 223,056
------------
1,430,097
------------
---------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
---------------------------------------------------------------
PERSONAL PRODUCTS - 0.1%
Avon Products, Inc..................... 3,180 $ 85,828
------------
PHARMACEUTICALS - 6.1%
Allergan, Inc.......................... 4,830 431,319
Forest Laboratories, Inc.*............. 8,180 310,104
Johnson & Johnson...................... 36,089 2,259,893
Medco Health Solutions, Inc.*.......... 7,790 440,135
Wyeth.................................. 19,620 874,267
------------
4,315,718
------------
RETAIL - SPECIALITY - 7.7%
Abercrombie & Fitch Co., Class A....... 16,960 881,750
American Eagle Outfitters, Inc......... 39,590 932,345
Bebe Stores, Inc.(a)................... 13,800 195,132
Chico's FAS, Inc.*..................... 1,800 71,172
Claire's Stores, Inc................... 11,040 287,592
Coach, Inc.*........................... 11,440 368,139
Home Depot, Inc. (The)................. 7,848 322,082
Nordstrom, Inc......................... 15,480 536,382
O'Reilly Automotive, Inc.*(a).......... 7,490 211,218
Pacific Sunwear of California, Inc.*(a) 9,170 229,433
Reebok International, Ltd.............. 5,361 305,845
Target Corp............................ 19,130 1,065,350
------------
5,406,440
------------
SEMICONDUCTOR EQUIPMENT & PRODUCTS - 4.9%
Applied Materials, Inc................. 34,841 570,696
Intel Corp............................. 64,980 1,527,030
NVIDIA Corp.*(a)....................... 17,400 583,770
Texas Instruments, Inc................. 26,670 761,428
------------
3,442,924
------------
SOFTWARE - 5.9%
Activision, Inc.*...................... 18,667 294,373
Adobe Systems, Inc..................... 27,710 893,648
Autodesk, Inc.......................... 8,780 396,242
Cadence Design Systems, Inc.*.......... 17,950 286,841
Microsoft Corp......................... 65,280 1,677,696
SAP AG, (ADR)(b)....................... 14,495 622,415
------------
4,171,215
------------
Total Common Stocks
(Cost $62,067,521) 69,475,053
------------
WARRANT - 0.0%
Lucent Technologies, Inc. 0/0/0*
(Cost - $0).......................... 1,831 1,263
------------
See notes to financial statements
57
THE TRAVELERS SERIES TRUST
VAN KAMPEN ENTERPRISE PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
OCTOBER 31, 2005
(PERCENTAGE OF NET ASSETS)
-------------------------------------------------------------------
SHARES/PAR VALUE
SECURITY DESCRIPTION AMOUNT (NOTE 2)
-------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 5.6%
Federal Home Loan Bank Discount Notes
3.72%, due 11/1/05(c).................... $1,195,000 $ 1,195,000
State Street Navigator Securities Lending
Prime Portfolio(b)....................... 2,736,135 2,736,135
-----------
Total Short-Term Investments
(Cost $3,931,135) 3,931,135
-----------
TOTAL INVESTMENTS - 104.1%
(Cost $65,998,656) 73,407,451
Other Assets and Liabilities (net) - (4.1)% (2,870,708)
-----------
TOTAL NET ASSETS - 100.0% $70,536,743
===========
PORTFOLIO FOOTNOTES:
* Non-income producing security.
(a) All or a portion of security out on loan.
(b) Represents investment of collateral received from securities lending
transactions. (Note 6)
(c) Zero Coupon Bond - interest rate represents current yield to maturity.
ADR - American Depositary Receipt
See notes to financial statements
58
(THIS PAGE INTENTIONALLY LEFT BLANK)
59
THE TRAVELERS SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2005
AIM Capital MFS
Appreciation Total Return
Portfolio Portfolio
------------ --------------
ASSETS
Investments, at value (Note 2)* $252,414,533 $1,455,395,791
Repurchase Agreement 3,898,000 --
Cash 771 52,098
Cash denominated in foreign currencies** 2,248 --
Receivable for investments sold 11,928,349 7,780,005
Receivable for Trust shares sold 743 41,528
Dividends receivable 138,448 862,390
Interest receivable 184 5,908,595
Unrealized appreciation on forward currency contracts (Note 8) -- --
Other assets 11,813 66,469
------------ --------------
Total assets 268,395,089 1,470,106,876
------------ --------------
LIABILITIES
Due to Bank -- --
Payables for:
Investments purchased 9,415,005 8,168,710
Trust shares redeemed 512,772 1,400,702
Net variation margin on financial futures contracts (Note 7) -- --
Collateral on securities on loan 19,752,473 186,909,499
Investment advisory fee payable (Note 3) 318,540 1,689,136
Custodian and accounting fees payable 12,566 41,635
Directors fee payable 1,426 10,395
Accrued expenses 50,127 82,085
------------ --------------
Total liabilities 30,062,909 198,302,162
------------ --------------
NET ASSETS $238,332,180 $1,271,804,714
============ ==============
NET ASSETS REPRESENTED BY:
Paid in surplus $254,980,656 $1,142,260,060
Accumulated net realized gain (loss) (51,906,505) 52,762,025
Unrealized appreciation (depreciation) on investments, futures contracts and foreign currency 34,748,955 53,047,103
Undistributed (distributions in excess of) net investment income 509,074 23,735,526
------------ --------------
NET ASSETS $238,332,180 $1,271,804,714
============ ==============
CAPITAL SHARES OUTSTANDING 21,452,931 73,558,110
============ ==============
NET ASSET VALUE AND OFFERING PRICE PER SHARE $ 11.11 $ 17.29
============ ==============
- --------------------------------------------------------------------------------------------------------------------------------
*Investments at cost, excluding Repurchase Agreement $217,668,473 $1,402,349,165
**Cost of cash denominated in foreign currencies 2,237 --
Pioneer
Strategic Income
Portfolio
----------------
ASSETS
Investments, at value (Note 2)* $213,176,690
Repurchase Agreement 6,305,000
Cash 879
Cash denominated in foreign currencies** 7,007,058
Receivable for investments sold 8,000
Receivable for Trust shares sold 430,182
Dividends receivable --
Interest receivable 2,452,320
Unrealized appreciation on forward currency contracts (Note 8) 84,463
Other assets 9,087
----------------
Total assets 229,473,679
----------------
LIABILITIES
Due to Bank --
Payables for:
Investments purchased 5,815,759
Trust shares redeemed 148
Net variation margin on financial futures contracts (Note 7) --
Collateral on securities on loan 36,905,531
Investment advisory fee payable (Note 3) 226,267
Custodian and accounting fees payable 23,022
Directors fee payable 3,125
Accrued expenses 51,214
----------------
Total liabilities 43,025,066
----------------
NET ASSETS $186,448,613
================
NET ASSETS REPRESENTED BY:
Paid in surplus $208,588,602
Accumulated net realized gain (loss) (28,771,775)
Unrealized appreciation (depreciation) on investments, futures contracts and foreign currency (729,630)
Undistributed (distributions in excess of) net investment income 7,361,416
----------------
NET ASSETS $186,448,613
================
CAPITAL SHARES OUTSTANDING 19,495,007
================
NET ASSET VALUE AND OFFERING PRICE PER SHARE $ 9.56
================
- --------------------------------------------------------------------------------------------------------------------
*Investments at cost, excluding Repurchase Agreement $213,742,648
**Cost of cash denominated in foreign currencies 7,250,568
See notes to financial statements
60
Salomon Strategic Strategic Travelers Van Kampen
Total Return Bond Equity Managed Income Enterprise
Portfolio Portfolio Portfolio Portfolio
- ----------------- ------------- -------------- ------------
$12,905,851 $ 457,116,792 $255,198,694 $ 73,407,451
6,069,000 35,758,000 15,135,000 --
37,574 193 967 --
-- 5,471 -- --
14,756 16,567,472 -- --
1,963 10,229 105,064 50,464
-- 238,789 -- 27,775
128,806 285,449 3,315,696 --
-- -- -- --
867 24,712 14,683 3,837
- ----------------- ------------- -------------- ------------
19,158,817 510,007,107 273,770,104 73,489,527
- ----------------- ------------- -------------- ------------
-- -- -- 160
5,378,283 15,375,482 -- --
1,332 898,820 129,312 69,567
328 -- -- --
-- 43,982,109 -- 2,736,135
18,848 606,527 302,105 82,794
10,531 43,314 11,093 8,223
4,437 5,867 3,367 2,054
39,561 47,323 41,783 53,851
- ----------------- ------------- -------------- ------------
5,453,320 60,959,442 487,660 2,952,784
- ----------------- ------------- -------------- ------------
$13,705,497 $ 449,047,665 $273,282,444 $ 70,536,743
================= ============= ============== ============
$14,791,407 $ 641,236,903 $279,807,465 $130,066,294
(1,494,909) (209,309,829) (9,044,660) (67,008,538)
(80,145) 14,424,515 (5,141,192) 7,408,795
489,144 2,696,076 7,660,831 70,192
- ----------------- ------------- -------------- ------------
$13,705,497 $ 449,047,665 $273,282,444 $ 70,536,743
================= ============= ============== ============
1,270,316 25,913,243 24,117,027 5,822,441
================= ============= ============== ============
$ 10.79 $ 17.33 $ 11.33 $ 12.11
================= ============= ============== ============
- ---------------------------------------------------------------
$13,029,764 $ 442,693,446 $260,339,886 $ 65,998,656
-- 5,471 -- --
See notes to financial statements
61
THE TRAVELERS SERIES TRUST
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2005
AIM Capital MFS
Appreciation Total Return
Portfolio Portfolio
------------ ------------
INVESTMENT INCOME:
Dividends (1) $ 2,715,466 $ 16,694,775
Interest (2) 167,388 24,181,666
------------ ------------
Total investment income 2,882,854 40,876,441
------------ ------------
EXPENSES:
Investment advisory fee (Note 3) 1,932,760 9,717,086
Custody and accounting fees 43,054 128,230
Transfer agent fees 4,695 4,939
Audit 24,983 22,287
Legal 11,995 13,718
Trustee fees and expenses 8,420 26,566
Shareholder reporting 21,573 62,138
Insurance 12,701 43,594
Other 996 6,392
------------ ------------
Net expenses 2,061,177 10,024,950
------------ ------------
Net investment income 821,677 30,851,491
------------ ------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES
CONTRACTS, OPTIONS CONTRACTS AND FOREIGN CURRENCY RELATED TRANSACTIONS
Net realized gain (loss) on:
Investments 14,764,129 63,672,770
Futures contracts -- --
Options contracts (120,778) --
Foreign currency related transactions (12,461) (51,392)
------------ ------------
Net realized gain (loss) on investments, futures contracts, options
contracts and foreign currency related transactions 14,630,890 63,621,378
------------ ------------
Unrealized appreciation (depreciation) on investments, futures contracts,
options contracts and foreign currency
Beginning of year 24,515,602 75,776,116
End of year 34,748,955 53,047,103
------------ ------------
Net change in unrealized appreciation (depreciation) on investments, futures
contracts, options contracts and foreign currency 10,233,353 (22,729,013)
------------ ------------
Net realized and unrealized gain (loss) on investments, futures contracts,
options contracts and foreign currency related transactions 24,864,243 40,892,365
------------ ------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $25,685,920 $ 71,743,856
============ ============
- ------------------------------------------------------------------------------------------------------------------
(1)Dividend income is net of withholding taxes of: $ 9,531 $ 130,194
(2)Interest income includes security lending income of: 23,275 239,650
Pioneer
Strategic Income
Portfolio
----------------
INVESTMENT INCOME:
Dividends (1) $ 29,028
Interest (2) 9,205,901
----------------
Total investment income 9,234,929
----------------
EXPENSES:
Investment advisory fee (Note 3) 1,076,933
Custody and accounting fees 69,313
Transfer agent fees 5,009
Audit 24,471
Legal 12,796
Trustee fees and expenses 8,923
Shareholder reporting 23,714
Insurance 5,022
Other 3,129
----------------
Net expenses 1,229,310
----------------
Net investment income 8,005,619
----------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES
CONTRACTS, OPTIONS CONTRACTS AND FOREIGN CURRENCY RELATED TRANSACTIONS
Net realized gain (loss) on:
Investments 2,418,592
Futures contracts --
Options contracts --
Foreign currency related transactions 24,883
----------------
Net realized gain (loss) on investments, futures contracts, options
contracts and foreign currency related transactions 2,443,475
----------------
Unrealized appreciation (depreciation) on investments, futures contracts,
options contracts and foreign currency
Beginning of year 3,765,113
End of year (729,630)
----------------
Net change in unrealized appreciation (depreciation) on investments, futures
contracts, options contracts and foreign currency (4,494,743)
----------------
Net realized and unrealized gain (loss) on investments, futures contracts,
options contracts and foreign currency related transactions (2,051,268)
----------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 5,954,351
================
- -------------------------------------------------------------------------------------------------------
(1)Dividend income is net of withholding taxes of: $ 179
(2)Interest income includes security lending income of: 25,492
See notes to financial statements
62
Salomon Strategic Strategic Travelers Van Kampen
Total Return Bond Equity Managed Income Enterprise
Portfolio Portfolio Portfolio Portfolio
- ----------------- ----------- -------------- ----------
$ 469 $ 8,507,315 $ -- $ 932,386
818,946 1,429,017 10,577,752 39,577
- ----------------- ----------- -------------- ----------
819,415 9,936,332 10,577,752 971,963
- ----------------- ----------- -------------- ----------
121,766 3,851,653 1,821,285 531,693
32,323 125,830 34,108 23,831
4,713 5,006 5,104 4,893
22,248 22,274 22,258 22,261
12,688 14,143 14,908 13,329
10,305 15,398 11,905 5,173
8,942 19,174 15,174 26,372
1,789 24,225 5,552 5,173
2,050 2,181 8,913 --
- ----------------- ----------- -------------- ----------
216,824 4,079,884 1,939,207 632,725
- ----------------- ----------- -------------- ----------
602,591 5,856,448 8,638,545 339,238
- ----------------- ----------- -------------- ----------
371,802 25,602,638 833,358 3,609,871
9,370 -- -- --
-- -- -- --
2,062 (118,567) -- --
- ----------------- ----------- -------------- ----------
383,234 25,484,071 833,358 3,609,871
- ----------------- ----------- -------------- ----------
481,177 13,751,913 3,280,594 3,503,173
(80,145) 14,424,515 (5,141,192) 7,408,795
- ----------------- ----------- -------------- ----------
(561,322) 672,602 (8,421,786) 3,905,622
- ----------------- ----------- -------------- ----------
(178,088) 26,156,673 (7,588,428) 7,515,493
- ----------------- ----------- -------------- ----------
$ 424,503 $32,013,121 $ 1,050,117 $7,854,731
================= =========== ============== ==========
- ----------------------------------------------------------
$ -- $ 85,618 $ -- $ 1,581
-- 432,743 -- 2,025
See notes to financial statements
63
THE TRAVELERS SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
OCTOBER 31, 2005
AIM MFS
Capital Appreciation Portfolio Total Return portfolio
----------------------------- ------------------------------
Year Ended Year Ended Year Ended Year Ended
October 31, October 31, October 31, October 31,
2005 2004* 2005 2004*
------------------------------- -------------------------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss) $ 821,677 $ (382,450) $ 30,851,491 $ 24,511,979
Net realized gain (loss) on investments,
futures contracts, options contracts
and foreign currency related
transactions 14,630,890 11,819,139 63,621,378 67,430,520
Net change in unrealized appreciation
(depreciation) on investments,
futures contracts, options contracts
and foreign currency related
transactions 10,233,353 (3,853,039) (22,729,013) 23,535,893
------------ ------------ -------------- --------------
Net increase (decrease) in net assets
resulting from operations 25,685,920 7,583,650 71,743,856 115,478,392
------------ ------------ -------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (322,782) -- (31,800,072) (22,438,758)
From net realized gains -- -- (32,429,912) --
------------ ------------ -------------- --------------
Net decrease in net assets resulting from
distributions (322,782) -- (64,229,984) (22,438,758)
------------ ------------ -------------- --------------
CAPITAL SHARE TRANSACTIONS (NOTES 4 AND 10):
Proceeds from shares sold 35,483,412 81,806,468 105,571,655 86,033,895
Net asset value of shares issued through
dividend reinvestment 322,782 -- 64,229,984 22,438,758
Cost of shares repurchased (56,459,693) (34,221,120) (65,667,151) (38,315,281)
------------ ------------ -------------- --------------
Net increase (decrease) in net assets
from capital share transactions (20,653,499) 47,585,348 104,134,488 70,157,372
------------ ------------ -------------- --------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 4,709,639 55,168,998 111,648,360 163,197,006
Net assets at beginning of year 233,622,541 178,453,543 1,160,156,354 996,959,348
------------ ------------ -------------- --------------
Net assets at end of year $238,332,180 $233,622,541 $1,271,804,714 $1,160,156,354
============ ============ ============== ==============
Net assets at end of year includes
undistributed (distributions in
excess of) net investment income $ 509,074 $ -- $ 23,735,526 $ 21,872,798
============ ============ ============== ==============
* Audited by other Independent Registered Public Accounting Firm. (Note 15)
See notes to financial statements
64
Pioneer Salomon Strategic
Strategic Income Portfolio Total Return Bond Portfolio Strategic Equity Portfolio
- -------------------------- -------------------------- --------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended
October 31, October 31, October 31, October 31, October 31, October 31,
2005 2004* 2005 2004* 2005 2004*
- ---------------------------- ---------------------------- ---------------------------
$ 8,005,619 $ 6,101,917 $ 602,591 $ 841,792 $ 5,856,448 $ 4,350,288
2,443,475 2,872,293 383,234 615,915 25,484,071 30,288,099
(4,494,743) 2,161,849 (561,322) (251,887) 672,602 9,523,067
- ------------ ------------ - ----------- ----------- - ------------ ------------
5,954,351 11,136,059 424,503 1,205,820 32,013,121 44,161,454
- ------------ ------------ - ----------- ----------- - ------------ ------------
(7,620,245) (8,542,499) (938,016) (1,228,728) (7,201,167) --
-- -- -- -- -- --
- ------------ ------------ - ----------- ----------- - ------------ ------------
(7,620,245) (8,542,499) (938,016) (1,228,728) (7,201,167) --
- ------------ ------------ - ----------- ----------- - ------------ ------------
79,604,243 12,560,775 680,330 1,406,864 1,089,216 1,522,056
7,620,245 8,542,499 938,016 1,228,728 7,201,167 --
(6,091,546) (17,203,671) (3,951,875) (7,295,139) (91,950,765) (87,338,249)
- ------------ ------------ - ----------- ----------- - ------------ ------------
81,132,942 3,899,603 (2,333,529) (4,659,547) (83,660,382) (85,816,193)
- ------------ ------------ - ----------- ----------- - ------------ ------------
79,467,048 6,493,163 (2,847,042) (4,682,455) (58,848,428) (41,654,739)
106,981,565 100,488,402 16,552,539 21,234,994 507,896,093 549,550,832
- ------------ ------------ - ----------- ----------- - ------------ ------------
$186,448,613 $106,981,565 $13,705,497 $16,552,539 $449,047,665 $507,896,093
============ ============ = =========== =========== = ============ ============
$ 7,361,416 $ 6,039,069 $ 489,144 $ 728,377 $ 2,696,076 $ 4,340,700
============ ============ = =========== =========== = ============ ============
See notes to financial statements
65
THE TRAVELERS SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
OCTOBER 31, 2005
Travelers Van Kampen
Managed Income Portfolio Enterprise Portfolio
-------------------------- --------------------------
Year Ended Year Ended Year Ended Year Ended
October 31, October 31, October 31, October 31,
2005 2004* 2005 2004*
---------------------------- ---------------------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss) $ 8,638,545 $ 8,271,956 $ 339,238 $ 228,592
Net realized gain (loss) on investments,
futures contracts, options
contracts and foreign currency
related transactions 833,358 474,777 3,609,871 9,114,312
Net change in unrealized appreciation
(depreciation) on investments,
futures contracts, options contracts
and foreign currency related
transactions (8,421,786) 2,195,501 3,905,622 (9,035,638)
------------ ------------ - ------------ ------------
Net increase (decrease) in net assets
resulting from operations 1,050,117 10,942,234 7,854,731 307,266
------------ ------------ - ------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (13,026,736) (10,421,800) (440,542) (134,925)
From net realized gains -- -- -- --
------------ ------------ - ------------ ------------
Net decrease in net assets resulting from
distributions (13,026,736) (10,421,800) (440,542) (134,925)
------------ ------------ - ------------ ------------
CAPITAL SHARE TRANSACTIONS (NOTES 4 AND 10):
Proceeds from shares sold 23,995,069 40,399,247 3,620,309 1,291,178
Net asset value of shares issued through
dividend reinvestment 13,026,736 10,421,800 440,542 134,925
Cost of shares repurchased (29,836,550) (25,644,982) (20,224,023) (18,943,158)
------------ ------------ - ------------ ------------
Net increase (decrease) in net assets
from capital share transactions 7,185,255 25,176,065 (16,163,172) (17,517,055)
------------ ------------ - ------------ ------------
TOTAL INCREASE (DECREASE) IN NET ASSETS (4,791,364) 25,696,499 (8,748,983) (17,344,714)
Net assets at beginning of year 278,073,808 252,377,309 79,285,726 96,630,440
------------ ------------ - ------------ ------------
Net assets at end of year $273,282,444 $278,073,808 $ 70,536,743 $ 79,285,726
============ ============ = ============ ============
Net assets at end of year includes
undistributed (distributions
in excess of) net investment income $ 7,660,831 $ 7,500,405 $ 70,192 $ 171,496
============ ============ = ============ ============
* Audited by other Independent Public Accounting Firm. (Note 15)
See notes to financial statements
66
(THIS PAGE INTENTIONALLY LEFT BLANK)
67
THE TRAVELERS SERIES TRUST
FINANCIAL HIGHLIGHTS
NET ASSET NET REALIZED/ DIVIDENDS DISTRIBUTIONS
VALUE UNREALIZED TOTAL FROM FROM NET FROM NET
BEGINNING NET INVESTMENT GAIN (LOSS) ON INVESTMENT INVESTMENT REALIZED
SELECTED PER SHARE DATA FOR THE YEAR ENDED: OF YEAR INCOME (LOSS) INVESTMENTS OPERATIONS INCOME CAPITAL GAINS
AIM CAPITAL APPRECIATION PORTFOLIO --------- -------------- -------------- ---------- ---------- -------------
10/31/2005 $ 9.98 $ 0.04 (a) $ 1.10 (a) $ 1.14 $ (0.01) $ --
10/31/2004** 9.63 (0.02) 0.37 0.35 -- --
10/31/2003** 8.04 (0.02) 1.61 1.59 -- --
10/31/2002** 9.11 (0.03) (1.04) (1.07) -- --
10/31/2001** 21.73 (0.02) (8.72) (8.74) -- (3.88)
- ---------------------------------- --------- -------------- -------------- ---------- ---------- -------------
MFS TOTAL RETURN PORTFOLIO --------- -------------- -------------- ---------- ---------- -------------
10/31/2005 $17.19 $ 0.42 (a) $ 0.61 (a) $ 1.03 $ (0.46) $(0.47)
10/31/2004** 15.77 0.36 1.41 1.77 (0.35) --
10/31/2003** 14.44 0.34 1.49 1.83 (0.50) --
10/31/2002** 16.08 0.39 (c) (0.98)(c) (0.59) (0.44) (0.61)
10/31/2001** 17.16 0.42 (0.42) (0.00)+ (0.48) (0.60)
- ---------------------------------- --------- -------------- -------------- ---------- ---------- -------------
PIONEER STRATEGIC INCOME PORTFOLIO --------- -------------- -------------- ---------- ---------- -------------
10/31/2005 $ 9.73 $ 0.53 (a) $ (0.04)(a) $ 0.49 $ (0.66) $ --
10/31/2004** 9.53 0.57 (a) 0.48 (a) 1.05 (0.85) --
10/31/2003** 8.94 0.63 (a) 1.04 (a) 1.67 (1.08) --
10/31/2002** 9.94 1.14 (c) (0.94)(c) 0.20 (1.20) --
10/31/2001** 10.31 0.93 (0.47) 0.46 (0.83) --
- ---------------------------------- --------- -------------- -------------- ---------- ---------- -------------
SALOMON STRATEGIC TOTAL RETURN BOND PORTFOLIO --------- -------------- -------------- ---------- ---------- -------------
10/31/2005 $11.16 $ 0.43 (a) $ (0.14)(a) $ 0.29 $ (0.66) $ --
10/31/2004** 11.10 0.48 (a) 0.25 (a) 0.73 (0.67) --
10/31/2003** 10.13 0.54 (a) 0.93 (a) 1.47 (0.50) --
10/31/2002** 10.27 0.51 (a)(c) (0.17)(a)(c) 0.34 (0.48) --
10/31/2001** 9.89 0.58 (a) 0.48 (a) 1.06 (0.68) --
- ---------------------------------- --------- -------------- -------------- ---------- ---------- -------------
STRATEGIC EQUITY PORTFOLIO --------- -------------- -------------- ---------- ---------- -------------
10/31/2005 $16.44 $ 0.21 (a) $ 0.92 (a) $ 1.13 $ (0.24) $ --
10/31/2004** 15.16 0.14 1.14 1.28 -- --
10/31/2003** 12.59 (0.03) 2.62 2.59 (0.02) --
10/31/2002** 16.67 0.04 (4.05) (4.01) (0.07) --
10/31/2001** 28.63 0.07 (8.60) (8.53) (0.05) (3.38)
- ---------------------------------- --------- -------------- -------------- ---------- ---------- -------------
TRAVELERS MANAGED INCOME PORTFOLIO --------- -------------- -------------- ---------- ---------- -------------
10/31/2005 $11.84 $ 0.35 (a) $ (0.31)(a) $ 0.04 $ (0.55) $ --
10/31/2004** 11.84 0.36 0.12 0.48 (0.48) --
10/31/2003** 11.38 0.50 (a) 0.69 (a) 1.19 (0.68) (0.05)
10/31/2002** 12.57 0.56 (a)(c) (1.07)(a)(c) (0.51) (0.63) (0.05)
10/31/2001** 11.58 0.71 (a) 0.83 (a) 1.54 (0.55) --
- ---------------------------------- --------- -------------- -------------- ---------- ---------- -------------
VAN KAMPEN ENTERPRISE PORTFOLIO --------- -------------- -------------- ---------- ---------- -------------
10/31/2005 $11.02 $ 0.05 (a) $ 1.10 (a) $ 1.15 $ (0.06) $ --
10/31/2004** 11.03 0.03 (0.02) 0.01 (0.02) --
10/31/2003** 9.40 0.01 1.67 1.68 (0.05) --
10/31/2002** 11.81 0.05 (2.42) (2.37) (0.04) --
10/31/2001** 25.60 0.03 (9.05) (9.02) (0.00)+ (4.77)
- ---------------------------------- --------- -------------- -------------- ---------- ---------- -------------
* Performance figures may reflect fee waivers and/or expense reimbursements.
Past performance is no guarantee of future results. In the absence of fee
waivers and/or expense reimbursements, the total return would have been lower.
Total returns do not reflect expenses associated with the separate account such
as administration fees, account charges and surrender charges which, if
reflected, would reduce the total returns for all years shown.
** Audited by other Independent Public Accounting Firm. (Note 15)
+ Rounds to less than $0.005 per share
(a) Per share amounts based on average shares outstanding during the year.
(b) The investment manager waived a portion of its management fee for the year
ended October 31, 2004. The actual expense ratios did not change due to these
waivers for any portfolio except Salomon Brothers Strategic Total Return
Portfolio. If such fee was not waived, the actual expense ratio would have been
1.25%.
(c) Effective November 1, 2001, the Portfolio adopted a change in the
accounting method that requires the Portfolio to amortize premiums and accrete
all discounts. 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. Without the adoption of this change, for the year ended
October 31, 2002, those amounts would have been $0.40, $0.99 and 2.91% for net
investment income, net realized and unrealized loss and the ratio net
investment income to average net assets, respectively for the MFS Total Return
Portfolio. Without the adoption of this change, for the year ended October 31,
2002, those amounts would have been $1.16, $(0.96) and 8.42% for net investment
income, net realized and unrealized loss and the ratio net investment income to
average net assets, respectively for the Pioneer Strategic Income Portfolio.
Without the adoption of this change, for the year ended October 31, 2002, those
amounts would have been $0.52, $0.18 and 5.04% for net investment income, net
realized and unrealized loss and the ratio net investment income to average net
assets, respectively for the Salomon Strategic Total Return Portfolio. Without
the adoption of this change, for the year ended October 31, 2002, those amounts
would have been $0.60, $1.11 and 5.02% for net investment income, net realized
and unrealized loss and the ratio net investment income to average net assets,
respectively for the Travelers Managed Income Portfolio.
(d) Excluding mortgage dollar roll transactions. If mortgage dollar roll
transactions had been included, the portfolio turnover rate would have been
498%, 414% and 376% for the years ended October 31, 2005, 2004 and 2003,
respectively.
See notes to financial statements
68
RATIO OF NET
RATIO OF INVESTMENT
NET ASSET NET ASSETS END EXPENSES TO INCOME (LOSS)
TOTAL VALUE END OF YEAR AVERAGE NET TO AVERAGE NET PORTFOLIO
DISTRIBUTIONS OF YEAR TOTAL RETURN* (IN MILLIONS) ASSETS ASSETS TURNOVER RATE
- ------------- --------- ------------- -------------- ----------- -------------- -------------
$(0.01) $11.11 11.47 % $ 238 0.85% 0.34 % 83%
-- 9.98 3.63 234 0.85(b) (0.18) 71
-- 9.63 19.78 178 0.85 (0.25) 49
-- 8.04 (11.75) 172 0.85 (0.28) 65
(3.88) 9.11 (43.36) 224 0.83 (0.20) 77
- --------- --------- ------------- -------------- ----------- -------------- -------------
- ------------- --------- ------------- -------------- ----------- -------------- -------------
$(0.93) $17.29 6.09 % $1,272 0.79% 2.45 % 47%
(0.35) 17.19 11.36 1,160 0.82(b) 2.25 66
(0.50) 15.77 13.05 997 0.82 2.37 49
(1.05) 14.44 (3.59) 830 0.83 2.81(c) 81
(1.08) 16.08 (0.22) 804 0.83 3.08 88
- --------- --------- ------------- -------------- ----------- -------------- -------------
- ------------- --------- ------------- -------------- ----------- -------------- -------------
$(0.66) $ 9.56 5.17 % $ 186 0.86% 5.58 % 37%
(0.85) 9.73 11.66 107 0.90(b) 6.19 56
(1.08) 9.53 20.56 100 1.00 7.05 141
(1.20) 8.94 2.00 97 0.93 8.24(c) 208
(0.83) 9.94 4.60 128 0.90 8.83 150
- --------- --------- ------------- -------------- ----------- -------------- -------------
- ------------- --------- ------------- -------------- ----------- -------------- -------------
$(0.66) $10.79 2.67 % $ 14 1.42% 3.96 % 42%(d)
(0.67) 11.16 6.83 17 1.24(b) 4.47 42(d)
(0.50) 11.10 15.10 21 1.20 5.06 68(d)
(0.48) 10.13 3.36 21 1.24 4.95(c) 385
(0.68) 10.27 10.99 18 1.23 5.69 448
- --------- --------- ------------- -------------- ----------- -------------- -------------
- ------------- --------- ------------- -------------- ----------- -------------- -------------
$(0.24) $17.33 6.85 % $ 449 0.85% 1.23 % 220%
-- 16.44 8.44 508 0.85(b) 0.81 213
(0.02) 15.16 20.57 550 0.84 (0.20) 167
(0.07) 12.59 (24.05) 516 0.83 0.19 100
(3.43) 16.67 (32.05) 845 0.82 0.31 46
- --------- --------- ------------- -------------- ----------- -------------- -------------
- ------------- --------- ------------- -------------- ----------- -------------- -------------
$(0.55) $11.33 0.35 % $ 273 0.69% 3.08 % 95%
(0.48) 11.84 4.19 278 0.69(b) 3.10 123
(0.73) 11.84 10.85 252 0.68 4.34 163
(0.68) 11.38 (4.06) 208 0.69 4.68(c) 177
(0.55) 12.57 13.50 221 0.68 5.76 194
- --------- --------- ------------- -------------- ----------- -------------- -------------
- ------------- --------- ------------- -------------- ----------- -------------- -------------
$(0.06) $12.11 10.48 % $ 71 0.83% 0.45 % 57%
(0.02) 11.02 0.05 79 0.80(b) 0.26 157
(0.05) 11.03 17.93 97 0.80 0.13 123
(0.04) 9.40 (20.07) 100 0.76 0.30 87
(4.77) 11.81 (37.52) 165 0.74 0.18 107
- --------- --------- ------------- -------------- ----------- -------------- -------------
See notes to financial statements
69
THE TRAVELERS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
OCTOBER 31, 2005
1. ORGANIZATION
Travelers Series Trust (the "Trust"), a Massachusetts business trust, is
registered as an open-end management investment company under the Investment
Company Act of 1940, as amended (the "1940 Act"). On July 1, 2005, the Trust
succeeded to the operations of seven portfolios of Travelers Series Fund, Inc.,
a Maryland corporation ("Travelers Series Fund, Inc."). Each of the AIM Capital
Appreciation Portfolio, MFS Total Return Portfolio, Pioneer Strategic Income
Portfolio, Salomon Brothers Strategic Total Return Bond Portfolio (which is
non-diversified), Strategic Equity Portfolio, Travelers Managed Income
Portfolio and Van Kampen Enterprise Portfolio was formerly a portfolio of
Travelers Series Fund. Shares of the Trust are offered exclusively for use with
certain variable annuity and variable life insurance contracts offered through
the separate accounts of various affiliated life insurance companies.
2. SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements in conformity with accounting
principles generally accepted in the United States of America requires
management to make estimates and assumptions that affect the reported amounts
of assets and liabilities at the date of the financial statements and the
reported amounts of income and expenses during the reporting period. Actual
results could differ from these estimates.
The following is a summary of significant accounting policies consistently
followed by the Trust in the preparation of its financial statements.
(A) SECURITY VALUATION - Portfolio securities for which the primary market is
on a domestic or foreign exchange (except the NASDAQ) will be valued at the
last sale price on the day of valuation or, if there was no sale that day, at
the last reported bid price, using prices as of the close of trading. Portfolio
securities traded over-the-counter and quoted on NASDAQ are valued at the
NASDAQ Official Closing Price. Portfolio securities not quoted on NASDAQ that
are actively traded in the over-the-counter market, including listed securities
for which the primary market is believed to be over-the-counter, will be valued
at the most recently quoted bid price provided by the principal market makers.
Debt securities are valued at the mean between the bid and asked prices
provided by an independent pricing service that are based on transactions in
debt obligations, quotations from bond dealers, market transactions in
comparable securities and various relationships between securities. Short-term
securities with remaining maturities of less than 60 days are valued at
amortized cost, which approximates market value. The Portfolios may hold
securities traded in foreign markets. Foreign securities are valued at the
market price in the foreign market. However, if events occurring after the
close of the foreign market (but before the close of regular trading on the New
York Stock Exchange) are believed to materially affect the value of those
securities, such securities are fair valued pursuant to procedures approved by
the Board of Trustees. When fair valuing equity securities, a Portfolio may,
among other things, use modeling tools or other processes that may take into
account factors such as securities market activity and/or significant events
that occur after the close of the foreign market and before the Portfolio
calculates its net asset value. Futures contracts and options are valued based
upon their daily settlement prices. Forward currency exchange contracts are
valued daily at forward foreign currency exchange rates. Investments in mutual
funds are valued at the daily net asset value of the mutual fund. In the case
of any securities which are not actively trading or are restricted as to
resale, reliable market quotations may not be considered to be readily
available. These investments are stated at fair value as determined under the
direction of the Board of Trustees. Such fair value may be determined by
utilizing information furnished by a pricing service which determines
valuations for normal, institutional-size trading units of such securities
using methods based on market transactions for comparable securities and
various relationships between securities which are generally recognized by
institutional traders.
(B) SECURITY TRANSACTIONS - Security transactions are recorded on a trade date
basis. Realized gains and losses are determined on an identified cost basis.
The Portfolios may purchase and sell securities on a "when issued" or "delayed
delivery" basis, with settlement to occur at a later date. The value of the
security so purchased is subject to market fluctuations during this period. The
Portfolios segregate assets having an aggregate value at least equal to the
amount of the when issued or delayed delivery purchase commitments until
payment is made.
(C) INVESTMENT INCOME AND EXPENSES - Interest income, adjusted for amortization
of premium and accretion of discount, is recorded on the accrual basis.
Dividend income is recorded on the ex-dividend date. Foreign dividend income is
recorded on the ex-dividend date or as soon as practical after the Portfolios
determine the existence of a dividend declaration after exercising reasonable
due diligence. Foreign income and foreign capital gains on some foreign
securities may be subject to foreign withholding taxes, which are accrued as
applicable.
(D) FEDERAL INCOME TAXES - It is the Portfolios' policy to comply with the
federal income and excise tax requirements of the Internal Revenue Code of
1986, as amended ("the Code"), applicable to regulated investment companies.
Accordingly, the Portfolios intend to distribute substantially all of their
taxable income and net realized gains on investments, if any, to shareholders
each year. Therefore, no federal income tax provision is required in the
Portfolios' financial statements. It is also the Portfolios' policy to comply
with the diversification requirements of the Code so that variable annuity and
variable life contracts investing in a portfolio will not fail to qualify as
annuity and life insurance contracts for tax purposes.
Distributions from net investment income and capital gains are determined in
accordance with federal income tax regulations which may differ from generally
accepted accounting principles. As a result, distributions from net investment
income and net realized capital gains may differ from their ultimate
characterization for federal income tax purposes due to timing differences.
70
THE TRAVELERS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
OCTOBER 31, 2005
2. SIGNIFICANT ACCOUNTING POLICIES - CONTINUED
The Portfolios utilize the provisions of the federal income tax laws that
provide for the carryforward of capital losses for eight years, offsetting such
losses against any future net realized capital gains. At October 31, 2005, the
accumulated capital loss carryforwards and expiration dates by the Portfolios
were as follows:
Expiring Expiring Expiring Expiring Expiring Expiring Expiring
Portfolio 12/31/2007 12/31/2008 12/31/2009 12/31/2010 12/31/2011 12/31/2012 12/31/2013
- --------- ---------- ---------- ----------- ------------ ----------- ---------- ----------
AIM Capital Appreciation Portfolio $ -- $ -- $13,282,680 $ 25,303,918 $11,887,038 $ -- $ --
MFS Total Return Portfolio -- -- -- -- -- -- --
Pioneer Strategic Income Portfolio 4,613,853 3,076,895 7,414,445 11,398,536 2,263,562 -- --
Salomon Brothers Strategic Total
Return Bond Portfolio 435,020 938,295 42,124 19,636 -- -- --
Strategic Equity Portfolio -- -- -- 207,061,308 -- -- --
Travelers Managed Income Portfolio -- -- -- -- 4,796,406 532,995 3,630,067
Van Kampen Enterprise Portfolio -- -- 24,042,500 34,687,599 8,209,090 -- --
(E) DISTRIBUTION OF INCOME AND GAINS - Each Portfolio intends to distribute
substantially all of its net investment income and net realized capital gains,
if any, annually.
(F) FUTURES CONTRACTS - A futures contract is an agreement involving the
delivery of a particular asset on a specified future date at an agreed upon
price. These contracts are generally used to provide the return of an index
without purchasing all of the securities underlying the index or as a temporary
substitute for purchasing or selling specific securities.
Upon entering into a futures contract, the Portfolios are required to make
initial margin deposits with the broker or segregate liquid investments to
satisfy the broker's margin requirements. Initial margin deposits are recorded
as assets and held in a segregated account at the custodian. 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" the contract on
a daily basis to reflect the value of the contract's settlement price at the
end of each day's trading. Variation margin payments are made or received and
recognized as assets due from or liabilities to the broker depending upon
whether unrealized gains or losses, respectively, are incurred. When the
contract is closed, the Portfolio records a realized gain or loss equal to the
difference between the proceeds from (or cost of) the closing transaction and
its basis in the contract.
Risks of entering into futures contracts include the possibility that there may
be an illiquid market and that the change in the value of the contract may not
correlate with changes in the value of the underlying securities.
(G) FORWARD FOREIGN CURRENCY CONTRACTS - The Portfolios may enter into forward
foreign currency contracts to hedge their portfolio holdings against future
movements in certain foreign currency exchange rates. A forward currency
contract is a commitment to purchase or sell a foreign currency at a future
date at a set price. The forward currency contracts are valued at the forward
rate and are marked-to-market daily. The change in market value is recorded by
the Portfolio as an unrealized gain or loss. When the contract is closed, the
Portfolio recognizes a realized gain or loss equal to the difference between
the value of the contract at the time it was opened and the value at the time
it was closed.
The use of forward foreign currency contracts does not eliminate fluctuations
in the underlying prices of the securities of the Portfolio, but it does
establish a rate of exchange that can be achieved in the future. Although
forward foreign currency contracts to sell limit the risk of loss due to a
decline in the value of the currency holdings, they also limit any potential
gain that might result should the value of the currency increase. In addition,
the Portfolio could be exposed to risks if the counterparties to the contracts
are unable to meet the terms of the contracts.
(H) SECURITIES LENDING - The Portfolios may lend their securities to certain
qualified brokers who borrow securities in order to complete certain
transactions. By lending its investment securities, the Portfolio attempts to
increase its net investment income through the receipt of interest on the loan.
Any gain or loss in the market price of the securities loaned that might occur
and any interest earned or dividends declared during the term of the loan would
accrue to the account of the Portfolio. Risks of delay in recovery of the
securities or even loss of rights in the collateral may occur should the
borrower of the securities fail financially. Risks may also arise to the extent
that the value of the collateral decreases below the value of the securities
loaned.
Upon entering into a securities lending transaction, the Portfolio receives
cash or other securities as collateral in an amount equal to or exceeding 100%
of the current market value of the loaned securities. Any cash received as
collateral is generally invested by State Street Bank and Trust Company ("State
Street"), acting in its capacity as securities lending agent (the Agent), in
the State Street Navigator Securities Lending Prime Portfolio which is a money
market fund registered under the 1940 Act. A portion of the dividends received
on the collateral is rebated to the borrower of the securities and the
remainder is split between the Agent and the Portfolio.
71
THE TRAVELERS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
OCTOBER 31, 2005
2. SIGNIFICANT ACCOUNTING POLICIES - CONTINUED
(I) FOREIGN CURRENCY TRANSLATION - The books and records of the Portfolios' are
maintained in U.S. dollars. Foreign currencies, investment and other assets and
liabilities are translated into U.S. dollars on a daily basis using prevailing
exchange rates. Purchases and sales of securities are translated at the rates
of exchange prevailing when such securities were acquired or sold. Income is
translated at rates of exchange prevailing when interest is accrued or
dividends are recorded.
The Portfolio does not isolate that portion of operations resulting from
changes in foreign exchange rates on investments from the fluctuations arising
from changes in market prices of securities held. Such fluctuations are
included with the net realized and unrealized gain or loss from investments.
Reported net realized foreign exchange gains or losses arise from activity in
forward foreign currency contracts, sales of foreign currencies, currency gains
or losses realized between the trade and settlement dates on securities
transactions, and the difference between the amounts of dividends, interest,
and foreign withholding taxes recorded on the Portfolio's books, and the U.S.
dollar equivalent of the amounts actually received or paid. Net unrealized
foreign exchange gains and losses arise from changes in the value of assets and
liabilities other than investments in securities at fiscal year end, from
changes in the exchange rates of foreign currency held, and from changes in the
contract value of forward foreign currency contracts.
(J) REPURCHASE AGREEMENTS - The Portfolios may enter into repurchase agreements
with selected commercial banks and broker-dealers, under which the Portfolio
acquires securities as collateral and agrees to resell the securities at an
agreed upon time and at an agreed upon price. The Portfolio accrues interest
for the difference between the amount it pays for the securities and the amount
it receives upon resale. At the time the Portfolio enters into a repurchase
agreement, the value of the collateral securities including accrued interest
will be equal to or exceed the value of the repurchase agreement and, for
repurchase agreements that mature in more than one day, the seller will agree
that the value of the collateral securities including accrued interest will
continue to be at least equal to the value of the repurchase agreement.
(K) FORWARD COMMITMENTS, WHEN-ISSUES AND DELAYED DELIVERY SECURITIES - All
Portfolios may purchase securities on a when-issued or delayed delivery basis
and may purchase or sell securities on a forward commitment basis. Settlement
of such transactions normally occurs within a month or more after the purchase
or sale commitment is made. A Portfolio may purchase securities under such
conditions only with the intention of actually acquiring them, but may enter
into a separate agreement to sell the securities before the settlement date.
Since the value of securities purchased may fluctuate prior to settlement, the
Portfolio may be required to pay more at settlement than the security is worth.
In addition, the purchaser is not entitled to any of the interest earned prior
to settlement. Upon making a commitment to purchase a security on a
when-issued, delayed delivery or forward commitment basis, the Portfolio will
hold liquid assets in a segregated account at the Portfolio's custodian bank
worth at least the equivalent of the amount due. The liquid assets will be
monitored on a daily basis and adjusted as necessary to maintain the necessary
value.
(L) STRIPPED SECURITIES - MFS Total Return Portfolio, Pioneer Strategic Income
Portfolio and Travelers Managed Income Portfolio may invest in "Stripped
Securities," a term used collectively for certain structured fixed income
securities. Stripped securities can be principal only securities ("PO"), which
are debt obligations that have been stripped of unmatured interest coupons or
interest only securities ("IO"), which are unmatured interest coupons that have
been stripped from debt obligations. Stripped Securities do not make periodic
payments of interest prior to maturity. As is the case with all securities, the
market value of Stripped Securities will fluctuate in response to changes in
economic conditions, interest rates and the market's perception of the
securities. However, fluctuations in response to interest rates may be greater
in Stripped Securities than for debt obligations of comparable maturities that
currently pay interest. The amount of fluctuation increases with a longer
period of maturity.
The yield to maturity on IOs' is sensitive to the rate of principal repayments
(including prepayments) on the related underlying debt obligation and principal
payments may have a material effect on yield to maturity. If the underlying
debt obligation experiences greater than anticipated prepayments of principal,
the Porfolios may not fully recoup the initial investment in IOs'.
(M) MORTGAGE DOLLAR ROLLS - Salomon Brothers Strategic Total Return Bond
Portfolio may enter into dollar rolls in which the Portfolio sells
mortgage-backed securities for delivery in the current month and simultaneously
contracts to repurchase substantially similar (same type, coupon and maturity)
securities to settle on a specified future date. During the roll period, the
Portfolio forgoes principal and interest paid on the securities. The Portfolio
is compensated by a fee paid by the counterparty, often in the form of a drop
in the repurchase price of the securities. Dollar rolls are accounted for as
financing arrangements; the fee is accrued into interest income ratably over
the term of the dollar roll and any gain or loss on the roll is deferred and
realized upon disposition of the rolled security. The average monthly balance
of dollar rolls outstanding during the year ended October 31, 2005 was
approximately $5,507,940 for the Salomon Brothers Strategic Total Return Bond
Portfolio.
The risk of entering into a mortgage dollar roll is that the market value of
the securities the Portfolio is obligated to repurchase under the agreement may
decline below the repurchase price. In the event the buyer of securities under
a mortgage dollar roll files for bankruptcy or becomes insolvent, the
Portfolios' use of proceeds of the dollar roll may be restricted pending a
determination by the other party, or its trustee or receiver, whether to
enforce the Portfolio's obligation to repurchase the securities.
(N) FUND CONCENTRATION - The investments by Salomon Brothers Strategic Total
Return Bond Portfolio in foreign securities may involve risks not present in
domestic investments. Since securities may be denominated in a foreign currency
and may require settlement in foreign currencies and pay interest or dividends
in foreign currencies, changes in the relationship of these foreign currencies
to the U.S. dollar can significantly affect the
72
THE TRAVELERS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
OCTOBER 31, 2005
2. SIGNIFICANT ACCOUNTING POLICIES - CONTINUED
value of the investments and earnings of Salomon Brothers Strategic Total
Return Bond Portfolio. Foreign investments may also subject Salomon Brothers
Strategic Total Return Bond Portfolio to foreign government exchange
restrictions, expropriation, taxation or other political, social or economic
developments, all of which could affect the market and/or credit risk of the
investments. In addition to the risks described above, risks may arise from
forward foreign currency contracts with respect to the potential inability of
counterparties to meet the terms of their contracts.
(O) CREDIT AND MARKET RISK - MFS Total Return Portfolio, Pioneer Strategic
Income Portfolio, Salomon Brothers Strategic Total Return Bond Portfolio and
Travelers Managed Income Portfolio may invest in high yield instruments that
are subject to certain credit and market risks. The yields of high yield
instruments reflect, among other things, perceived credit risk. The Portfolios'
investments in securities rated below investment grade typically involve risks
not associated with higher rated securities including, among others, greater
risk related to timely and ultimate payment of interest and principal, greater
market price volatility and less liquid secondary market trading.
(P) LOAN PARTICIPATIONS - Pioneer Strategic Income Portfolio may invest in
loans arranged through private negotiation between one or more financial
institutions. The Portfolios' 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 Portfolio 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 Portfolio may not
benefit directly from any collateral supporting the loan in which they have
purchased the participation.
The Portfolio 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 Portfolio may be treated as a general creditor
of the lender and may not benefit from any set-off between the lender and the
borrower.
(Q) OPTIONS - Certain Portfolios may use options to hedge against changes in
values of securities the Portfolio owns or expects to purchase. Writing puts or
buying calls tends to increase the Portfolio's exposure to the underlying
instrument and writing calls or buying puts tends to decrease the Portfolio's
exposure to the underlying instrument, or hedge other Portfolio investments.
For options purchased to hedge the Portfolio's investments, the potential risk
to the Portfolio is that the change in value of options contracts may not
correspond to the change in value of the hedged instruments. In addition,
losses may arise from changes in the value of the underlying instruments if
there is an illiquid secondary market, or if the counter party is unable to
perform. The maximum loss for purchased options is limited to the premium
initially paid for the option. For options written by the Portfolio, the
maximum loss is not limited to the premium initially received for the option.
3. INVESTMENT MANAGEMENT AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES
Travelers Investment Adviser, Inc. ("TIA") manages the investment operations of
AIM Capital Appreciation Portfolio, MFS Total Return Portfolio, Pioneer
Strategic Income Portfolio, Salomon Brothers Strategic Total Return Bond
Portfolio, Strategic Equity Portfolio and Van Kampen Enterprise Portfolio,
(each a "TIA Portfolios" and collectively the "TIA Portfolios") pursuant to
management agreements entered into by the Trust on behalf of each TIA
Portfolio. Effective July 1, 2005, TIA became an indirect wholly owned
subsidiary of MetLife, Inc. Prior to that date, TIA was an indirect
wholly-owned subsidiary of Citigroup, Inc. ("Citigroup"). TIA has entered into
sub-advisory agreements with AIM Capital Management, Inc., Massachusetts
Financial Services Company, Pioneer Investment Management, Inc., Fidelity
Management & Research Co., Van Kampen Asset Management and Salomon Brothers
Asset Management, Inc. (the "Advisers") for investment advisory services in
connection with the investment management of the Portfolios.
Travelers Asset Management International Company LLC ("TAMIC") serves as
investment adviser to the Travelers Managed Income Portfolio. TAMIC is a
registered investment adviser that has provided investment advisory services
since its incorporation in 1978. Effective July 1, 2005, TAMIC became an
indirect wholly owned subsidiary of MetLife, Inc. Prior to that date, TAMIC was
an indirect wholly-owned subsidiary of Citigroup. On July 1, 2005, Salomon
Brothers Asset Management Inc ("SaBAM") began to perform subadvisory services
under a subadvisory agreement between TAMIC and SaBAM for Travelers Managed
Income Portfolio.
TIA acts as administrator to the AIM Capital Appreciation Portfolio, MFS Total
Return Portfolio, Pioneer Strategic Income Portfolio, Salomon Brothers
Strategic Total Return Bond Portfolio, Strategic Equity Portfolio and Van
Kampen Enterprise Portfolio. TAMIC acts as administrator to the Travelers
Managed Income Portfolio.
The administrators have entered into a sub-administrative service agreement
with State Street Bank and Trust Company ("State Street"), as of July 1, 2005,
to serve as sub-administrator to the Portfolios. Smith Barney Fund Management
LLC ("SBFM") served as sub-administrator to the Portfolios until June 30, 2005
and was paid a fee by TIA and TAMIC calculated at an annual rate of 0.10% of
the Portfolios' average daily net assets.
Subject to the supervision and direction of the Trustees of the Trust, the
Manager supervises the Advisers and has full discretion with respect to the
retention or renewal of the advisory agreements. The Manager pays the Advisers
a fee based on the Portfolio's average daily net assets.
73
THE TRAVELERS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
OCTOBER 31, 2005
3. INVESTMENT MANAGEMENT AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES -
CONTINUED
Under the terms of the Portfolios' investment advisory agreement, the
Portfolios pay the Manager a monthly fee based upon annual rates applied to
each of the Portfolios' average daily net assets as follows:
Management Fees earned
by Manager for the
Year ended
Portfolio October 31, 2005 % per annum Average Daily Assets
- --------- ---------------------- ----------- ------------------------------------
AIM Capital Appreciation Portfolio $1,932,760 0.80% All
MFS Total Return Portfolio 9,717,086 0.80% First $600 Million
0.775% Over $600 Million up to $900 Million
0.75% Over $900 Million up to $1.5 Billion
0.725% Over $1.5 Billion up to $2.5 Billion
0.675% Over $2.5 Billion
Pioneer Strategic Income Portfolio 1,076,933 0.75% All
Salomon Brothers Strategic Total Return Bond
Portfolio 121,766 0.80% All
Strategic Equity Portfolio 3,851,653 0.80% All
Travelers Managed Income Portfolio 1,821,285 0.65% All
Van Kampen Enterprise Portfolio 531,693 0.70% All
For the year ended October 31, 2005, AIM Capital Appreciation Portfolio, MFS
Total Return Portfolio, Salomon Brothers Strategic Total Return Bond Portfolio,
Strategic Equity Portfolio, Travelers Managed Income Portfolio and Van Kampen
Enterprise Portfolio had a voluntary expense limitation in place of 1.25%,
1.25%, 1.50%, 1.25%, 1.25% and 1.50%, respectively. This limitation can be
terminated at any time by TIA.
TIA has entered into a sub-advisory agreement with SaBAM, an indirect
wholly-owned subsidiary of Legg Mason, Inc. Prior to December 1, 2005, SaBAM
was an indirect wholly-owned subsidiary of Citigroup. Pursuant to
the sub-advisory agreement, SaBAM is responsible for the day-to-day portfolio
operations and investment decisions for Salomon Brothers Strategic Total Return
Bond Portfolio and is compensated for such services by TIA at an annual rate of
0.375% of the average daily net assets of Salomon Brothers Strategic Total
Return Bond Portfolio.
Prior to July 1, 2005, Citicorp Trust Bank, fsb. ("CTB"), another subsidiary of
Citigroup, acted as the Portfolios' transfer agent. PFPC Inc. ("PFPC") acted as
the Portfolios' sub-transfer agent. Effective July 1, 2005, PFPC became the
Portfolios' transfer agent and is paid by TAMIC and TIA for transfer agent
services. CTB received account fees and asset-based fees that varied according
to the size and type of account. PFPC was responsible for shareholder
recordkeeping and financial processing for all shareholder accounts and was
paid by CTB. For the period ended June 30, 2005, each Portfolio paid transfer
agent fees to CTB as follows:
Portfolio Total
--------- ------
AIM Capital Appreciation Portfolio $3,284
MFS Total Return Portfolio 3,392
Pioneer Strategic Income Portfolio 3,334
Salomon Brothers Strategic Total Return Bond Portfolio 3,044
Strategic Equity Portfolio 3,324
Travelers Managed Income Portfolio 3,318
Van Kampen Enterprise Portfolio 3,324
74
THE TRAVELERS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
OCTOBER 31, 2005
3. INVESTMENT MANAGEMENT AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES -
CONTINUED
For the year ended October 31, 2005, Citigroup Global Markets Inc. ("CGM"), an
indirect wholly-owned subsidiary of Citigroup, and its affiliates received
brokerage commissions as follows:
Portfolio Total
--------- -------
AIM Capital Appreciation Portfolio $28,967
MFS Total Return Portfolio 13,220
Pioneer Strategic Income Portfolio --
Salomon Brothers Strategic Total Return Bond Portfolio --
Strategic Equity Portfolio 86,848
Travelers Managed Income Portfolio --
Van Kampen Enterprise Portfolio 198
4. SHARES OF BENEFICIAL INTEREST
The Declaration of Trust authorizes the issuance of an unlimited number of
shares of beneficial interest without par value. Transactions in shares of the
Portfolios were as follows:
SHARES ISSUED NET INCREASE
THROUGH (DECREASE)
BEGINNING SHARES DIVIDEND SHARES IN SHARES ENDING
SHARES SOLD REINVESTMENT REPURCHASED OUTSTANDING SHARES
AIM CAPITAL APPRECIATION PORTFOLIO ---------- --------- ------------- ----------- ------------ ----------
10/31/2005 23,420,686 3,341,204 30,138 (5,339,097) (1,967,755) 21,452,931
10/31/2004 18,522,851 8,342,805 -- (3,444,970) 4,897,835 23,420,686
- ------------------------------------- ---------- --------- ------------- ----------- ------------ ----------
MFS TOTAL RETURN PORTFOLIO ---------- --------- ------------- ----------- ------------ ----------
10/31/2005 67,488,682 6,108,117 3,751,751 (3,790,440) 6,069,428 73,558,110
10/31/2004 63,201,460 5,224,464 1,385,108 (2,322,350) 4,287,222 67,488,682
- ------------------------------------- ---------- --------- ------------- ----------- ------------ ----------
PIONEER STRATEGIC INCOME PORTFOLIO ---------- --------- ------------- ----------- ------------ ----------
10/31/2005 10,995,568 8,316,413 814,129 (631,103) 8,499,439 19,495,007
10/31/2004 10,548,571 1,345,497 946,013 (1,844,513) 446,997 10,995,568
- ------------------------------------- ---------- --------- ------------- ----------- ------------ ----------
SALOMON BROTHERS STRATEGIC TOTAL RETURN BOND PORTFOLIO ---------- --------- ------------- ----------- ------------ ----------
10/31/2005 1,482,707 62,779 87,912 (363,082) (212,391) 1,270,316
10/31/2004 1,912,402 129,079 115,157 (673,931) (429,695) 1,482,707
- ------------------------------------- ---------- --------- ------------- ----------- ------------ ----------
STRATEGIC EQUITY PORTFOLIO ---------- --------- ------------- ----------- ------------ ----------
10/31/2005 30,895,419 64,786 410,323 (5,457,285) (4,982,176) 25,913,243
10/31/2004 36,245,051 94,460 -- (5,444,092) (5,349,632) 30,895,419
- ------------------------------------- ---------- --------- ------------- ----------- ------------ ----------
TRAVELERS MANAGED INCOME PORTFOLIO ---------- --------- ------------- ----------- ------------ ----------
10/31/2005 23,484,047 2,094,601 1,156,904 (2,618,525) 632,980 24,117,027
10/31/2004 21,313,793 3,469,389 907,032 (2,206,167) 2,170,254 23,484,047
- ------------------------------------- ---------- --------- ------------- ----------- ------------ ----------
VAN KAMPEN ENTERPRISE PORTFOLIO ---------- --------- ------------- ----------- ------------ ----------
10/31/2005 7,194,756 303,957 37,176 (1,713,448) (1,372,315) 5,822,441
10/31/2004 8,761,608 114,164 11,815 (1,692,831) (1,566,852) 7,194,756
- ------------------------------------- ---------- --------- ------------- ----------- ------------ ----------
75
THE TRAVELERS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
OCTOBER 31, 2005
5. INVESTMENT TRANSACTIONS
Aggregate cost of purchases and proceeds of sales of investment securities,
excluding short-term securities, for the year ended October 31, 2005 were as
follows:
Purchase Sales
- - ------------------------------ ------------------------------
Portfolio U.S. Government Non-Government U.S. Government Non-Government
- --------- --------------- -------------- --------------- --------------
AIM Capital Appreciation Portfolio $ -- $194,789,679 $ -- $ 217,012,808
MFS Total Return Portfolio 198,090,684 505,439,120 139,880,344 434,853,844
Pioneer Strategic Income Portfolio 69,955,296 61,378,180 12,319,245 38,223,870
Salomon Brothers Strategic Total Return Bond Portfolio 3,304,944 3,005,978 719,251 5,485,985
Strategic Equity Portfolio 7,797,192 990,617,034 1,567,097 1,088,902,707
Travelers Managed Income Portfolio 184,501,546 81,893,158 169,733,567 76,682,455
Van Kampen Enterprise Portfolio -- 42,730,042 -- 57,346,556
At October 31, 2005, the cost of securities for federal income tax purposes and
the unrealized appreciation (depreciation) of investments for federal income
tax purposes for each Portfolio was as follows:
Gross Gross Net Unrealized
Federal Income Unrealized Unrealized Appreciation/
Portfolio Tax Cost Appreciation Depreciation (Depreciation)
- --------- -------------- ------------ ------------ --------------
AIM Capital Appreciation Portfolio $ 222,999,342 $37,003,001 $ (3,689,810) $33,313,191
MFS Total Return Portfolio 1,413,914,954 83,351,435 (41,870,598) 41,480,837
Pioneer Strategic Income Portfolio 220,658,762 5,308,043 (6,485,115) (1,177,072)
Salomon Brothers Strategic Total Return Bond Portfolio 19,143,372 378,004 (546,525) (168,521)
Strategic Equity Portfolio 480,699,968 22,539,426 (10,364,602) 12,174,824
Travelers Managed Income Portfolio 277,794,616 860,738 (8,321,660) (7,460,922)
Van Kampen Enterprise Portfolio 66,068,004 9,012,756 (1,673,309) 7,339,447
6. SECURITIES LENDING
As of October 31, 2005, certain Portfolios had loaned securities which were
collateralized by short term investments. The value of securities on loan and
the value of the related collateral were as follows:
Value of Value of
Securities Collateral
------------ ------------
AIM Capital Appreciation Portfolio $ 19,277,457 $ 19,752,473
MFS Total Return Portfolio 131,693,545 186,909,499
Pioneer Strategic Income Portfolio 36,168,819 36,905,531
Salomon Brothers Strategic Total Return Bond Portfolio -- --
Strategic Equity Portfolio 42,574,946 43,982,109
Travelers Managed Income Portfolio -- --
Van Kampen Enterprise Portfolio 2,673,059 2,736,135
76
THE TRAVELERS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
OCTOBER 31, 2005
7. FUTURES CONTRACTS
The futures contracts outstanding as of October 31, 2005 and the description
and unrealized appreciation or depreciation were as follows:
SALOMON STRATEGIC TOTAL RETURN PORTFOLIO
Unrealized
Number of Notional Appreciation/
Description Expiration Date Contracts Value (Depreciation)
- ----------- --------------- --------- ------------ --------------
U.S. Treasury Notes 10 yrs Futures 12/20/05 1 $(2,011,922) $42,681
U.S. Treasury Notes 5 yrs Futures 12/20/05 19 (108,453) 1,090
-------
43,771
8. FORWARD FOREIGN CURRENCY CONTRACTS
Open forward foreign currency contracts at October 31, 2005, were as follows:
PIONEER STRATEGIC INCOME PORTFOLIO
Forward Foreign Currency Contracts to Sell:
Net Unrealized
Value at In Exchange Appreciation/
Settlement Date Contacts to Deliver October 31, 2005 for U.S. $ (Depreciation)
- --------------- ------------------- ---------------- ----------- --------------
12/13/2005 3,571,000 $2,666,498 2,739,671 $73,173
12/1/2005 1,050,000 890,742 891,636 894
11/3/2005 2,907,000 3,487,510 3,497,906 10,397
-------
84,463
9. COMMISSION RECAPTURE PROGRAM
In addition to trade execution, many of the brokers with whom FMR places trades
pay for certain expenses of Strategic Equity Portfolio or provide other
services. During the year ended October 31, 2005, Strategic Equity Portfolio
received cash rebates from these brokers in lieu of additional services or
expense reductions. The amounts of these rebates, included in realized gains in
the statement of operations, is noted below.
Brokerage
Service
Arrangements
------------
Strategic Equity Portfolio $810,469
Certain amounts on the prior year statement of changes in net assets with
respect to this arrangement have been reclassified to conform with the current
year presentation.
10. DISTRIBUTIONS TO SHAREHOLDERS
The tax character of distributions paid during the period ended October 31,
2005 and 2004 were as follows:
Ordinary Income Long-Term Capital Gain Total
- - ----------------------- ---------------------- -----------------------
2005 2004 2005 2004 2005 2004
- - ----------- ----------- ----------- ------ ----------- -----------
AIM Capital Appreciation Portfolio $ 322,782 $ -- $ -- $-- $ 322,782 $ --
MFS Total Return Portfolio 31,800,072 22,438,758 32,429,912 -- 64,229,984 22,438,758
Pioneer Strategic Income Portfolio 7,620,245 8,542,499 -- -- 7,620,245 8,542,499
Salomon Brothers Strategic Total Return Bond
Portfolio 938,016 1,228,728 -- -- 938,016 1,228,728
Strategic Equity Portfolio 7,201,167 -- -- -- 7,201,167 --
Travelers Managed Income Portfolio 13,026,736 10,421,800 -- -- 13,026,736 10,421,800
Van Kampen Enterprise Portfolio 440,542 134,925 -- -- 440,542 134,925
77
THE TRAVELERS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
OCTOBER 31, 2005
10. DISTRIBUTIONS TO SHAREHOLDERS - CONTINUED
As of October 31, 2005, the components of distributable earnings (accumulated
losses) on a federal income tax basis were as follows:
Undistributed Undistributed Unrealized
Ordinary Long-Term Appreciation Loss Carryforwards
Income Gain (Depreciation) and Deferrals Total
- - ------------- ------------- -------------- ------------------ -------------
AIM Capital Appreciation Portfolio $ 509,074 $ -- $33,316,086 $ (50,473,636) $ (16,648,476)
MFS Total Return Portfolio 38,152,383 49,909,295 41,481,314 -- 129,542,992
Pioneer Strategic Income Portfolio 8,052,511 -- (1,340,744) (28,767,291) (22,055,524)
Salomon Brothers Strategic Total Return Bond
Portfolio 517,579 -- (124,643) (1,435,075) (1,042,139)
Strategic Equity Portfolio 2,696,323 -- 12,175,993 (207,061,308) (192,188,992)
Travelers Managed Income Portfolio 9,895,370 -- (7,460,922) (8,959,468) (6,525,020)
Van Kampen Enterprise Portfolio 70,192 -- 7,339,447 (66,939,189) (59,529,550)
11. CONTRACTUAL OBLIGATIONS
The Trust has a variety of indemnification obligations under contracts with its
service providers. The Trust's maximum exposure under these arrangements is
unknown. However, the Trust has not had prior claims or losses pursuant to
these contracts and expects the risk of loss to be remote.
12. ADDITIONAL INFORMATION
On May 31, 2005, the U.S. Securities and Exchange Commission ("SEC") issued an
order in connection with the settlement of an administrative proceeding against
Smith Barney Fund Management LLC ("SBFM") and Citigroup Global Markets Inc.
("CGMI") relating to the appointment of an affiliated transfer agent for the
Smith Barney family of mutual funds (the "Funds"), which included the
Portfolios at that time. Prior to June 30, 2005, the Portfolios' managers, TIA
or TAMIC, were wholly-owned subsidiaries of Citigroup and the Portfolios were
considered to be in part of the Smith Barney family of mutual funds.
The SEC order finds that SBFM and CGMI willfully violated Section 206(1) of the
Investment Advisers Act of 1940 ("Advisers Act"). Specifically, the order finds
that SBFM and CGMI knowingly or recklessly failed to disclose to the boards of
the Funds in 1999 when proposing a new transfer agent arrangement with an
affiliated transfer agent that: First Data Investors Services Group ("First
Data"), the Funds' then-existing transfer agent, had offered to continue as
transfer agent and do the same work for substantially less money than before;
and that Citigroup Asset Management ("CAM"), the Citigroup business unit that
included the Portfolios' investment manager at that time and other investment
advisory companies, had entered into a side letter with First Data under which
CAM agreed to recommend the appointment of First Data as sub-transfer agent to
the affiliated transfer agent in exchange, among other things, for a guarantee
by First Data of specified amounts of asset management and investment banking
fees to CAM and CGMI. The order also finds that SBFM and CGMI willfully
violated Section 206(2) of the Advisers Act by virtue of the omissions
discussed above and other misrepresentations and omissions in the materials
provided to the Funds' boards, including the failure to make clear that the
affiliated transfer agent would earn a high profit for performing limited
functions while First Data continued to perform almost all of the transfer
agent functions, and the suggestion that the proposed arrangement was in the
Funds' best interests and that no viable alternatives existed. SBFM and CGMI do
not admit or deny any wrongdoing or liability. The settlement does not
establish wrongdoing or liability for purposes of any other proceeding.
The SEC censured SBFM and CGMI and ordered them to cease and desist from
violations of Sections 206(1) and 206(2) of the Advisers Act. The order
requires Citigroup to pay $208.1 million, including $109 million in
disgorgement of profits, $19.1 million in interest, and a civil money penalty
of $80 million. Approximately $24.4 million has already been paid to the Funds,
primarily through fee waivers. The remaining $183.7 million, including the
penalty, has been paid to the U.S. Treasury and will be distributed pursuant to
a plan to be prepared by Citigroup and submitted within 90 days of the entry of
the order for approval by the SEC. The order also requires that transfer agency
fees received from the Funds since December 1, 2004 less certain expenses be
placed in escrow and provides that a portion of such fees may be subsequently
distributed in accordance with the terms of the order.
At this time, there is no certainty as to how the proceeds of the settlement
will be distributed, to whom such distributions will be made, the methodology
by which such distributions will be allocated, and when such distributions will
be made.
78
THE TRAVELERS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
OCTOBER 31, 2005
The Portfolios were liable for excise tax payments resulting from the timing of
required distribution payments made to taxable shareholders for the years
1999-2001. SBFM indemnified the Portfolios for any associated excise tax as
well as any interest and penalties or any other costs. Subsequent to June 30,
2005, SBFM has filed all past excise tax returns and made certain tax payments
on behalf of the Portfolios. The Portfolios' net asset values were not impacted
by the outcome of this matter.
13. LEGAL MATTERS
Beginning in June 2004, class action lawsuits alleging violations of the
federal securities laws were filed against Citigroup Global Markets Inc. (the
"Distributor") and a number of its affiliates, including Smith Barney Fund
Management LLC and Salomon Brothers Asset Management, Inc. (the "Advisers"),
substantially all of the mutual funds managed by the Advisers, including the
Fund (the "Funds"), and directors or trustees of the Funds (collectively, the
"Defendants"). The complaints alleged, among other things, that the Distributor
created various undisclosed incentives for its brokers to sell Smith Barney and
Salomon Brothers funds. In addition, according to the complaints, the Advisers
caused the Funds to pay excessive brokerage commissions to the Distributor for
steering clients towards proprietary funds. The complaints also alleged that
the defendants breached their fiduciary duty to the Funds by improperly
charging Rule 12b-1 fees and by drawing on fund assets to make undisclosed
payments of soft dollars and excessive brokerage commissions. The complaints
also alleged that the Funds failed to adequately disclose certain of the
allegedly wrongful conduct. The complaints sought injunctive relief and
compensatory and punitive damages, rescission of the Funds' contracts with the
Advisers, recovery of all fees paid to the Advisers pursuant to such contracts
and an award of attorneys' fees and litigation expenses.
On December 15, 2004, a consolidated amended complaint (the "Complaint") was
filed alleging substantially similar causes of action. While the lawsuit is in
its earliest stages, to the extent that the Complaint purports to state causes
of action against the Funds, Citigroup Asset Management believes the Funds have
significant defenses to such allegations, which the Funds intend to vigorously
assert in responding to the Complaint.
Additional lawsuits arising out of these circumstances and presenting similar
allegations and requests for relief may be filed against the Defendants in the
future.
As of the date of this report, Citigroup Asset Management and the Funds believe
that the resolution of the pending lawsuit will not have a material effect on
the financial position or results of operations of the Funds or the ability of
the Advisers and their affiliates to continue to render services to the Funds
under their respective contracts.
14. RE-ORGANIZATION
On July 1, 2005, MetLife, Inc., a Delaware corporation ("MetLife"), acquired
all of the outstanding shares of capital stock of certain indirect subsidiaries
held by Citigroup including Travelers Insurance Company ("TIC"), The Travelers
Life and Annuity Company, a wholly owned subsidiary of TIC and certain other
domestic insurance companies of Citigroup and substantially all of Citigroup's
international insurance businesses for $11.8 billion. The sale also included
TIC's affiliated investment advisers, TAMIC and TIA, which serve as the
investment advisers to the Portfolios.
TIC filed a Form 8-K Current Report with The United States Securities and
Exchange Commission on July 8, 2005, with additional information about the
transaction.
On July 1, 2005, SaBAM began to perform subadvisory service under a subadvisory
agreement between TAMIC and SaBAM for Travelers Managed Income Portfolio.
Also effective July 1, 2005, PFPC Inc. replaced CTB as transfer agent for the
Portfolios; and State Street Bank and Trust Company replaced SBFM as
sub-administrator for the Portfolios.
15. CHANGE OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Based on the recommendation of the Audit Committee of the Portfolios, the Board
of Trustees determined not to retain KPMG LLP ("KPMG") as the Portfolios'
Independent Auditor, and voted to appoint Deloitte & Touche LLP as the
Portfolios' Independent Auditor for the fiscal year ended October 31, 2005,
effective July 1, 2005. During the two most recent fiscal years and through
June 30, 2005, the date the Board of Trustees notified KPMG of their decision
not to retain them as the Portfolios' auditor, KPMG's audit reports contained
no adverse opinion or disclaimer of opinion; nor were their reports qualified
as to uncertainty, audit scope or accounting principles. Further, there were no
disagreements between the Portfolios and KPMG on accounting principles,
financial statements disclosure or audit scope, which, if not resolved to the
satisfaction of KPMG, would have caused them to make reference to the
disagreement in their reports.
16. OTHER MATTERS
On December 1, 2005, Legg Mason, Inc. ("Legg Mason") and Citigroup announced
that they had completed their previously announced transaction that resulted in
Legg Mason acquiring substantially all of Citigroup's asset management
business. As a result, SaBAM, which serves as subadvisor to Salomon Brothers
Strategic Total Return Bond Portfolio and Travelers Managed Income Portfolio,
previously an indirect wholly-owned subsidiary of Citigroup, has become a
wholly-owned subsidiary if Legg Mason. Under the Investment Company Act of
1940, consummation of the transaction resulted in the automatic termination of
the subadvisory agreements between SaBAM and TIA for Salomon Brothers Strategic
Total Return Bond Portfolio, and SaBAM and TAMIC for Travelers Managed Income
Portfolio. Therefore, the Board approved new subadvisory agreements for Salomon
Brothers Strategic Total Return Bond Portfolio and Travelers Managed Income
Portfolio.
79
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees and Shareholders of the Travelers Series Trust
We have audited the accompanying statements of assets and liabilities,
including the schedules of investments of AIM Capital Appreciation Portfolio,
MFS Total Return Portfolio, Pioneer Strategic Income Portfolio, Salomon
Strategic Total Return Bond Portfolio, Strategic Equity Portfolio, Travelers
Managed Income Portfolio, and Van Kampen Enterprise Portfolio (the
"Portfolios"), each a series of the Travelers Series Trust, as of October 31,
2005, and the related statements of operations, statements of changes in net
assets and financial highlights for the year then ended. These financial
statements and financial highlights are the responsibility of the Portfolios'
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audits. The statements of
changes in net assets for the year ended October 31, 2004 and the financial
highlights for each of the four years in the period ended October 31, 2004 were
audited by other auditors whose report, dated December 17, 2004, expressed an
unqualified opinion on those statements.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we
plan and perform the audit to obtain reasonable assurance about whether the
financial statements and financial highlights are free of material
misstatement. The Portfolios are not required to have, nor were we engaged to
perform, an audit of their internal control over financial reporting. Our
audits included consideration of internal control over financial reporting as a
basis for designing audit procedures that are appropriate in the circumstances,
but not for the purpose of expressing an opinion on the effectiveness of the
Portfolios' internal control over financial reporting. Accordingly, we express
no such opinion. An audit also includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management, as
well as evaluating the overall financial statement presentation. Our procedures
included confirmation of securities owned as of October 31, 2005, by
correspondence with the custodian and brokers; where replies were not received
from brokers, we performed other auditing procedures. We believe that our
audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
Portfolio as of October 31, 2005, the results of their operations, the changes
in their net assets and the financial highlights for the year ended October 31,
2005 in conformity with accounting principles generally accepted in the United
States of America.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
December 20, 2005
80
THE TRAVELERS SERIES TRUST
OCTOBER 31, 2005
FACTORS CONSIDERED BY THE INDEPENDENT TRUSTEES IN APPROVING THE INVESTMENT
ADVISORY AND THE SUBADVISORY AGREEMENTS (UNAUDITED)
At an in person meeting on July 20, 2005, the Board of Trustees, including the
Independent Trustees (together, the "Board") of the Travelers Series Trust: AIM
Capital Appreciation Portfolio, MFS Total Return Portfolio, Pioneer Strategic
Income Portfolio, Salomon Brothers Strategic Total Return Bond Portfolio,
Strategic Equity Portfolio, Travelers Managed Income Portfolio and Van Kampen
Enterprise Portfolio (the "Portfolios") approved the investment advisory
agreements (the "Agreements") between TAMIC and Travelers Managed Income
Portfolio, and between TIA and each of the other Portfolios. In addition, the
Independent Trustees, at the in person meeting on July 20, 2005, approved the
investment subadvisory agreements ("Subadvisory Agreements") between TAMIC and
SaBAM for Travelers Managed Income Portfolio, TIA and AIM for the AIM Capital
Appreciation Portfolio, TIA and MFS for the MFS Total Return Portfolio, TIA and
Pioneer for the Pioneer Strategic Income Portfolio, TIA and SaBAM for Salomon
Brothers Strategic Total Return Bond Portfolio, TIA and FMR for Strategic
Equity Portfolio, and TIA and Van Kampen for Van Kampen Enterprise Portfolio.
In voting to approve the Agreements and the Subadvisory Agreements, the Board
considered whether the approval of the Agreements and the Subadvisory
Agreements would be in the best interests of the Portfolios and their
shareholders, an evaluation largely based on the nature and quality of the
services provided under the Agreements and the Subadvisory Agreements and the
overall fairness of the Agreement and the Subadvisory Agreements to the
shareholders.
As part of the process, legal counsel to the Portfolios requested certain
information from TAMIC, TIA and the subadvisors, and in response such parties
provided certain written and oral information to the Board in its consideration
of the Agreements and Subadvisory Agreements. The Board did not identify any
one factor, piece of information or written document as all important or
controlling, and each Board Member attributed different weight to different
factors. Prior to voting, the Board reviewed the proposed continuance of the
Agreements and the Subadvisory Agreements with management and with experienced
independent and fund counsel and received materials from counsel discussing the
legal standards for their consideration of the proposed continuation of the
Agreements and the Subadvisory Agreement. The Independent Trustees also
reviewed the proposed continuation of the Agreements and the Subadvisory
Agreements in private sessions alone and with their independent counsel at
which no representatives of management were present. Based on an evaluation of
all material factors including those described below, the Board concluded that
the Agreements and the Subadvisory Agreements were reasonable and fair and in
the best interest of the Portfolios and their shareholders.
Specifically, the Board considered, among other factors: (a) the nature, extent
and quality of the services to be provided by TAMIC and TIA, and by SaBAM, AIM,
MFS, Pioneer, FMR, and Van Kampen (the "subadvisors") under the Agreements and
the Subadvisory Agreements; (b) the investment performance of the Portfolios;
(c) the cost of services to be provided and the profit realized by TAMIC and
TIA and their affiliates; (d) the extent to which TAMIC, TIA and the
subadvisors realize economies of scale as each Portfolio grows; and (e) whether
the fee levels reflect these economies of scale for the benefit of the
shareholders.
CONSIDERATIONS RELEVANT TO ALL PORTFOLIOS
With respect to the nature, scope and quality of the services to be provided by
TAMIC and TIA (each an "advisor" and collectively, the "advisors"), the Board
considered, and expressed its satisfaction with, the level and depth of
knowledge of TAMIC and TIA, including the professional experience and
qualifications of their personnel as well as current staffing levels and
overall resources. The Board also noted that TAMIC and TIA had been acquired by
MetLife, Inc. ("MetLife"), effective on July 1, 2005, and took into account the
information that the Board had received at earlier meetings in connection with
its consideration of this change in control of TAMIC and TIA. The Board also
noted the responsibilities that the advisors have to the Portfolios, including
oversight of the subadvisors' compliance with Portfolio policies and
objectives, review of brokerage matters, oversight of general Portfolio
compliance with federal and state laws, and the implementation of Board
directives as they related to the Portfolios. Based on its consideration and
review of the foregoing information, the Board determined that the Portfolios
were likely to benefit from the nature and quality of these services, as well
as the advisors' ability to render such services based on their experience,
operations and resources.
With respect to the nature, scope and quality of the services to be provided by
the subadvisors, the Board considered the level and depth of knowledge of each
subadvisor, including the professional experience and qualifications of their
personnel as well as current staffing levels and overall resources. The Board
also considered the subadvisor's management style and long-term performance
record with respect to each Portfolio; the subadvisor's financial condition;
the subadvisor's compliance systems and any disciplinary history. Based on its
consideration and review of the foregoing information, the Board determined
that the Portfolios were likely to benefit from the nature and quality of these
services, as well as the subadvisors' ability to render such services based on
their experience, operations and resources.
The Board also examined the fees paid by each Portfolio in light of fees paid
to other investment managers by comparable funds and the method of computing
each Portfolio's advisory and subadvisory fee. The Board considered the
Portfolios' advisory fees and total expenses as compared to investment
companies deemed to be comparable to the Portfolios as determined by an
independent third party. Portfolio expenses were compared to a group of funds
in the same investment category as each Portfolio, chosen by the independent
third party to be comparable to the Portfolio (the "expense group"). The Board
also examined the fees paid to each subadviser in light of fees paid to other
subadvisers of funds deemed to be comparable by the independent third party
(the "subadviser expense group"). The Board also noted the advisors' commitment
to keep expense limitation agreements in place with the Portfolios. The Board
noted that a major component of profitability of the advisors was the
difference between the amount each advisor would receive from the Portfolios
that it managed and what would be paid to the subadvisor for each
81
THE TRAVELERS SERIES TRUST
OCTOBER 31, 2005
respective Portfolio. In terms of the investment advisory fees paid by the
Portfolios and the comparison of such fees with the fees paid by other mutual
funds, the Board considered that the Portfolios' advisory fees included
compensation for TAMIC and TIA for performing or obtaining certain
administrative services that other mutual funds often pay for separately from
their advisory fees. After comparing the fees with those of comparable funds as
described below and in light of the quality and extent of services to be
provided, the costs to be incurred by the advisors and subadvisors, and the
other factors considered, the Board concluded that the level of the fees paid
to each advisor and subadvisor with respect to each Portfolio was fair and
reasonable.
In general, the Board considered Portfolio performance not only for the
existing Portfolios that are part of The Travelers Series Trust, but also for
their predecessor portfolios that were part of Travelers Series Fund, Inc. The
Board reviewed the Portfolios' performance record and the advisors' and
subadvisors' management styles and long-term performance records with the
Portfolios and comparable funds. The Board noted that the Board reviews on a
quarterly basis detailed information about the Portfolios' performance results
and investment strategies. The Board also reviewed various comparative data
provided to them in connection with their consideration of the renewal of the
Agreement with respect to each of the Portfolios, including, among other
information, a comparison of each Portfolio's total return with its respective
Lipper index and with that of other mutual funds deemed to be comparable by an
independent third party in its report (the "peer universe").
In terms of the profits realized by TAMIC and TIA from their relationships with
the Portfolios, the Board noted that it was satisfied that TAMIC's and TIA's
profits had not been excessive in the past, and that it was not possible to
predict how the recent acquisition of TAMIC and TIA by MetLife would affect
their future profitability. Because the fees paid to the subadvisors are paid
by TAMIC or TIA and not directly by the Portfolios, the Board determined that
the profitability of the subadvisors was not material to the consideration of
the Subadvisory Agreements. For similar reasons, while the Board did consider
pursuing advisory and subadvisory fee breakpoints for certain of the Portolios
the Board did not consider the potential economies of scale in the subadvisors'
management of the Portfolios to be a substantial factor in its considerations
at this time.
The Board also considered the effect of the Portfolios' growth and size on
their performance and fees. The Board considered the effective fees under the
Agreement for each Portfolio as a percentage of assets at different asset
levels and possible economies of scale that may be realized if the assets of
the Portfolio grow. The Board also noted that if the Portfolios' assets
increase over time, the Portfolios may realize other economies of scale if
assets increase proportionally more than certain other expenses. The Board also
considered the fact that each advisor pays subadvisory fees out of the advisory
fees it receives from the Portfolios.
The Board considered, among other data, the specific factors and related
conclusions set forth below with respect to each Portfolio.
AIM CAPITAL APPRECIATION PORTFOLIO
After reviewing the relevant materials, the Board noted that this Portfolio had
generated mid-range performance and was subject to average fees. Among other
data considered, the Board noted that the Portfolio had underperformed its
performance universe average and its Lipper index for the 1- and 3-year periods
ended March 31, 2005 and that the Portfolio's performance was comparable to its
peer universe average and outperformed its Lipper index for the 5-year period
ended March 31, 2005. The Board also noted that the Portfolio's actual advisory
fees were above the median of its expense group and that its total expenses
were below the median. The Board also noted that the Portfolio's subadvisory
fees were generally below or comparable to its subadviser expense group average
across all assets levels up to $3 billion. In view of all factors considered,
the Board concluded that the Portfolio's performance was satisfactory and that
the actual advisory and subadvisory fees were reasonable based upon the nature
and quality of services provided to the Portfolio, but requested that
management explore with AIM the possibility of instituting subadvisory fee
breakpoints that would reduce the fees paid to AIM at higher asset levels, and
that could be passed on to shareholders in the form of corresponding advisory
fees breakpoints, if the Portfolio garnered additional assets.
MFS TOTAL RETURN PORTFOLIO
The Board noted that the performance of the Portfolio over both the short and
long term had been above average compared to similar funds. Among other data
considered, the Board noted that the Portfolio had outperformed its peer
universe average and its Lipper index for the 1-, 3- and 5-year periods ended
March 31, 2005. The Board also noted that the Portfolio's actual advisory fees
and total expenses were above the median of its expense group. The Board also
noted that the Portfolio's subadvisory fees were generally above its subadviser
expense group average across all assets levels. In light of certain legal
issues faced by MFS (among other mutual fund complexes) with respect to market
timing activity by fund shareholders, the Board expressed satisfaction with the
efforts MFS had been taking to prevent future legal and compliance issues, but
noted that such efforts should continue to be monitored by TIA. The Board
concluded that the Portfolio's performance was satisfactory and that the
Portfolio's fees were reasonable in light of the nature and quality of the
services provided by the advisor and the subadvisor. In addition, the Board
noted that the advisory and subadvisory fees included breakpoints reducing such
fees at higher asset levels that were appropriate in light of the economies of
scale involved in managing a fund of the Portfolio's size. The Board was also
informed by management that MFS served as the subadviser for a similar fund
advised by a MetLife affiliate for a lower subadvisory fee, and that management
intended to pursue with MFS making such fees consistent, which could result in
reduced fees paid by the Portfolio.
82
THE TRAVELERS SERIES TRUST
OCTOBER 31, 2005
PIONEER STRATEGIC INCOME PORTFOLIO
The Board, noted that the performance of the Portfolio had generally been above
average compared to similar funds. Among other data considered, the Board noted
that the Portfolio had outperformed its peer universe average and its Lipper
index for the 1-, 3- and 5-year periods ended March 31, 2005. The Board also
noted that the Portfolio's actual advisory fees and total expenses were above
the median of its expense group. The Board also noted that the Portfolio's
subadvisory fees were generally above its subadviser expense group average
across all assets levels. The Board also noted the strength and reputation of
Pioneer and its parent company, and Pioneer's subadvisory services to certain
other investment company portfolios overseen by the Board. The Board concluded
that the Portfolio's performance was satisfactory and that the Portfolio's fees
were reasonable in light of the quality and nature of services provided by the
adviser and subadviser, but requested management explore the possibility of
instituting fee breakpoints with respect to the advisory and subadvisory fees
which would reduce such fees at higher asset levels.
SALOMON BROTHERS STRATEGIC TOTAL RETURN BOND PORTFOLIO
The Board noted that the performance of the Portfolio had generally been below
average compared to similar funds. Among other data considered, the Board noted
that the Portfolio had underperformed its peer universe average and its Lipper
index for the 1- and 3-year periods ended March 31, 2005 and also
underperformed its peer universe average but outperformed the Lipper index for
the 5-year period. The Board also noted that the Portfolio's actual advisory
fees and total expenses were above the median of its expense group. The report
did not provide information relating to subadvisory fees. The Board concluded
that the Portfolio's performance was satisfactory and that the Portfolio's fees
were reasonable in light of the quality and nature of services provided by the
adviser and subadviser. The Board took into account the Portfolio's relatively
small asset base and requested that TIA explore alternatives for changes to the
Portfolio, including the possibility of a merger of the Portfolio into a
larger, similarly managed fund. The Board concluded that appropriate action was
being taken with respect to the Portfolio.
STRATEGIC EQUITY PORTFOLIO
The Board noted that the performance of the Portfolio had been below average
compared to similar funds. Among other data considered, the Board noted that
the Portfolio had underperformed its peer universe average and its Lipper index
for the 1-, 3-and 5-year periods ended March 31, 2005. The Board also noted
that the Portfolio's actual advisory fees and total expenses were above the
median of its expense group but total expenses were below the median of its
expense group. The Board also noted that the Portfolio's subadvisory fees were
generally above its subadviser expense group average across all assets levels.
The Board also noted that: (1) the presentation made to the Board by the
portfolio manager of the Portfolio; (2) most of the Portfolio's historical
performance had been generated while the Portfolio was subadvised by another
investment advisory firm (FMR became subadviser in September 2003); and (3) the
strength and depth of the FMR organization and its personnel could prove
beneficial to the Portfolio going forward. It also noted that the Portfolio's
overall expense ratio was competitive. The Board concluded that the Portfolio's
performance was satisfactory but requested that the Portfolio's ongoing
performance continue to be monitored closely and that the Portfolio's fees were
reasonable in light of the quality and nature of services provided by the
adviser and subadviser, but requested management explore the possibility of
instituting fee breakpoints with respect to the advisory and subadvisory fees
which would reduce such fees at higher asset levels.
TRAVELERS MANAGED INCOME PORTFOLIO
The Board noted that the performance of the Portfolio had been below average
compared to similar funds. Among other data considered, the Board noted that
the Portfolio had underperformed its peer universe average and its Lipper index
for the 1-, 3- and 5-year periods ended March 31, 2005. The Board also noted
that the Portfolio's actual advisory fees and total expenses were above the
median of its expense group. The Board asked TAMIC to recommend at the next
meeting of the Board a plan of action with respect to the Portfolio that would
benefit the Portfolio's shareholders. The Board also concluded that the
Portfolio's fees were reasonable in light of the quality and nature of services
provided by the adviser and subadviser. The Board determined to re-approve the
Agreement and Subadvisory Agreement pending receipt of such plan of action,
noting its familiarity with the portfolio managers and noting that appropriate
action was being taken to address the Portfolio's underperformance.
VAN KAMPEN ENTERPRISE PORTFOLIO
The Board noted that the performance of the Portfolio had been below average
compared to similar funds. Among other data considered, the Board noted that
the Portfolio had underperformed its peer universe average and its Lipper index
for the 1-, 3-, and 5- year periods ended March 31, 2005. However, the Board
also considered the historical performance of the Portfolio to have limited
relevance given recent changes in its portfolio manager and investment style.
The Board noted its familiarity with the new portfolio manager (who had
previously managed other funds overseen by the Board while he had been employed
by another investment advisory firm), and expressed confidence in the new
manager and his investment style. The Board noted that the Portfolio's actual
advisory fees were above the median of its expense group and total expenses
were below the median of its expense group. The Board also noted that the
Portfolio's subadvisory fees were generally below or comparable to its
subadviser expense group average across all assets levels up to $500 million.
The Board also noted that the overall expense ratio of the Portfolio was below
average. The Board concluded that the Portfolio's performance was satisfactory
but should continue to be monitored. The Board also concluded that the
Portfolio's fees were reasonable in light of the quality and nature of services
provided by the adviser and subadviser and noted that it did not appear that
any breakpoints were necessary at present in light of the current level of
assets of the Portfolio.
83
THE TRAVELERS SERIES TRUST
OCTOBER 31, 2005
OTHER BUSINESS RELATIONSHIPS
The Independent Trustees considered other business relationships that MetLife,
TAMIC and TIA would enter into with Citigroup. In connection with the closing
of the MetLife Transaction, MetLife, Citigroup and certain of their affiliates
entered into a Distribution Agreement under which Citigroup-affiliated
broker-dealers will continue to offer certain Travelers Life & Annuity and
MetLife insurance contracts until July 1, 2015. In addition, MetLife, Citigroup
and certain of their affiliates entered into an Investment Products Agreement
under which certain TIC and MetLife insurance products will include certain
Citigroup-sponsored mutual funds as investment options until July 1, 2010.
CONCLUSION
Based on the deliberations of the Independent Trustees and their evaluation of
the information described above, the Independent Trustees unanimously concluded
that (a) the terms of the Agreements and the Subadvisory Agreements are fair
and reasonable; (b) the fees are reasonable in light of the services TAMIC, TIA
and the subadvisors provided to the Portfolio and their shareholders;
(d) TAMIC, TIA and the subadvisors possess the capabilities to perform the
duties required of them under the Agreements and the Subadvisory Agreements;
(e) the investment performance of the Portfolios is satisfactory except as
discussed above and (f) the Agreements and the Subadvisory Agreements are
approved.
SPECIAL SHAREHOLDER MEETINGS (UNAUDITED)
Special Meetings of AIM Capital Appreciation Portfolio, MFS Total Return
Portfolio, Pioneer Strategic Income Portfolio, Salomon Brothers Strategic Total
Return Bond Portfolio, Strategic Equity Portfolio, Travelers Managed Income
Portfolio and Van Kampen Enterprise Portfolio were held on June 29, 2005.
There was one proposal submitted to shareholders of each Portfolio. The
proposal was the approval of an agreement and plan of reorganization whereby
each Portfolio, formerly of Travelers Series Fund, Inc., was merged into a
corresponding investment Portfolio of the Travelers Series Trust.
The shareholders of each Portfolio approved the proposal.
The following table sets forth the number of shares of each Portfolio voted
for, against and withheld as to the Proposal.
NUMBER OF
AIM CAPITAL APPRECIATION PORTFOLIO SHARES
-----------------------------------------------------------------
For 20,107,583
Against 988,387
Withhold 2,767,096
-----------------------------------------------------------------
Total 23,863,066
-----------------------------------------------------------------
MFS TOTAL RETURN PORTFOLIO
For 63,229,597
Against 3,360,860
Withhold 7,138,614
-----------------------------------------------------------------
Total 73,729,071
-----------------------------------------------------------------
PIONEER STRATEGIC INCOME PORTFOLIO
For 12,889,027
Against 553,682
Withhold 1,253,716
-----------------------------------------------------------------
Total 14,696,425
-----------------------------------------------------------------
SALOMON BROTHERS STRATEGIC TOTAL RETURN BOND PORTFOLIO
For 1,213,396
Against 37,232
Withhold 167,542
-----------------------------------------------------------------
Total 1,418,170
-----------------------------------------------------------------
84
THE TRAVELERS SERIES TRUST
OCTOBER 31, 2005
SPECIAL SHAREHOLDER MEETINGS (UNAUDITED) - CONTINUED
NUMBER OF
STRATEGIC EQUITY PORTFOLIO SHARES
---------------------------------------------
For 24,237,325
Against 1,798,585
Withhold 2,845,499
---------------------------------------------
Total 28,881,409
---------------------------------------------
TRAVELERS MANAGED INCOME PORTFOLIO
For 21,571,452
Against 959,188
Withhold 2,368,398
---------------------------------------------
Total 24,899,038
---------------------------------------------
VAN KAMPEN ENTERPRISE PORTFOLIO
For 5,763,894
Against 232,650
Withhold 485,865
---------------------------------------------
Total 6,482,409
---------------------------------------------
85
THE TRAVELERS SERIES TRUST
OCTOBER 31, 2005
TRUSTEES AND OFFICERS (UNAUDITED)
The Trustees and executive officers of the Trust, their ages and their
principal occupations during the past five years are set forth below. Each
Trustee who is deemed an "interested person," as such term is defined in the
1940 Act, is indicated by an asterisk. Those Trustees who are not "interested
persons" as defined in the 1940 Act are referred to as "Disinterested Trustees."
The Trustees
- ------------
Number of
Portfolios
in Fund Other Public
Position(s) Term of Office Complex Company
Held with and Length of Principal Occupation Overseen Directorships
Name Address and Age Fund Time Served During Last Five Years by Director Held by Director
- -------------------- ----------- -------------- ---------------------------------------- ----------- ----------------
Interested Trustees
- -------------------
Elizabeth M. Forget* Chairman of Since July President, Met Investors Advisory LLC 66 None
260 Madison Ave. the Board, 2005 (2000 to present); Executive Vice
11/th/ Floor Chief President (2000 to present) and Chief
New York, NY Executive Marketing Officer (2003 to present),
Age 39 Officer and MetLife Investors Group, Inc; President,
President TAMIC (July 2005-present); Senior Vice
President, Equitable Distributors, Inc.
and Vice President, Equitable Life
Assurance Society of the United States
(1996 to 2000).
Disinterested Trustees
- ----------------------
Robert E. McGill, III Trustee Since 1991 Retired manufacturing executive. 39 None
295 Hancock Street Director (1983-1995), Executive Vice
Williamstown, MA President (1989-1994) and Senior Vice
Age 74 President, Finance and Administration
(1983-1989), The Dexter Corporation
(manufacturer of specialty chemicals
and materials); Vice Chairman (1990-
1992), Director (1983-1995), Life
Technologies, Inc. (life science/
biotechnology products); Director,
(1994-1999), The Connecticut Surety
Corporation (insurance); Director
(1995-2000), Chemfab Corporation
(specialty materials manufacturer);
Director (1999-2001), Ravenwood
Winery, Inc.; Director (1999-2003),
Lydall Inc. (manufacturer of fiber
materials); Member, Board of Managers
(1974-present), six Variable Annuity
Separate Accounts of The Travelers
Insurance Company+; Trustee (1990-
present), five Mutual Funds sponsored
by The Travelers Insurance Company.++
86
THE TRAVELERS SERIES TRUST
OCTOBER 31, 2005
TRUSTEES AND OFFICERS (UNAUDITED) - CONTINUED
Number of
Portfolios
in Fund Other Public
Position(s) Term of Office Complex Company
Held with and Length of Principal Occupation Overseen Directorships
Name Address and Age Fund Time Served During Last Five Years by Director Held by Director
- -------------------- ----------- -------------- ---------------------------------------- ----------- ------------------
Disinterested Trustees (cont.)
- ------------------------------
Lewis Mandell Trustee Since 1991 Professor of Finance and Managerial 39 Director
160 Jacobs Hall Economics, University at Buffalo since (2000-present),
Buffalo, NY 1998. Dean, School of Management Delaware North
Age 62 (1998-2001), University at Buffalo; Corp. (hospitality
Dean, College of Business business)
Administration (1995-1998), Marquette
University; Professor of Finance (1980-
1995) and Associate Dean (1993-
1995), School of Business
Administration, and Director, Center for
Research and Development in Financial
Services (1980-1995), University of
Connecticut; Member, Board of
Managers (1990-present), six Variable
Annuity Separate Accounts of The
Travelers Insurance Company+; Trustee
(1990-present), five Mutual Funds
sponsored by The Travelers Insurance
Company.++
Frances M. Hawk, Trustee Since 1991 Private Investor, (1997-present); 39 None
CFA, CFP Portfolio Manager (1992-1997), HLM
108 Oxford Hill Lane Management Company, Inc. (investment
Downingtown, PA management); Assistant Treasurer,
Age 57 Pensions and Benefits. Management
(1989-1992), United Technologies
Corporation (broad-based designer and
manufacturer of high technology
products); Member, Board of Managers
(1991-present), six Variable Annuity
Separate Accounts of The Travelers
Insurance Company+; Trustee (1991-
present), five Mutual Funds sponsored
by The Travelers Insurance Company.++
87
THE TRAVELERS SERIES TRUST
OCTOBER 31, 2005
TRUSTEES AND OFFICERS (UNAUDITED) - CONTINUED
Number of
Portfolios
in Fund Other Public
Position(s) Term of Office Complex Company
Held with and Length of Principal Occupation Overseen Directorships
Name Address and Age Fund Time Served During Last Five Years by Director Held by Director
- -------------------- ------------- -------------- ---------------------------------------- ----------- ----------------
Officers
- --------
Paul Cellupica Secretary and Since July Chief Counsel, Securities Products and N/A N/A
MetLife, Inc. Chief Legal 2005 Regulation, MetLife Inc. (2004-present);
One MetLife Plaza Officer Vice President and Chief Legal Officer,
27-01 Queens Plaza TAMIC (July 2005-present); Assistant
North Long Island City, Director, Division of Investment
NY 11101 Management, U.S. Securities and
Age 41 Exchange Commission (2001-2003),
Senior Special Counsel, Division of
Investment Management, Securities and
Exchange Commission (2000-2001).
Peter Duffy Chief Since July Senior Vice President, MetLife Advisers, N/A N/A
MetLife Advisers LLC Financial 2005 since December 1998; Vice President;
501 Boylston Street Officer and NELICO; Vice President, MetLife.
Boston, MA 02116 Treasurer
Age 49
Jeffrey P . Halperin Interim Since Assistant Vice President, Corporate N/A N/A
Metropolitan Life Chief November Ethics and Compliance Department,
Insurance Company Compliance 2005 Metlife, Inc. (October 2002-present);
One MetLife Plaza Officer Interim Chief Compliance Officer of
27-01 Queens Plaza funds sponsored by Metlife and its
North Long Island City, affiliates (November 2005-present);
NY 11101 Associate, Goldman Sachs & Co.
Age 37 (May 2000-July 2001).
- --------
* "Interested person" of the Trust (as that term is defined in the 1940 Act).
Ms. Forget is an interested person of the Trust as a result of her
affiliation with the Manager.
+ The six Variable Annuity Separate Accounts are: The Travelers Growth and
Income Stock Account for Variable Annuities, The Travelers Quality Bond
Account for Variable Annuities, The Travelers Money Market Account for
Variable Annuities, Tactical Growth and Income Stock Account for Variable
Annuities, Tactical Short-Term Bond Account for Variable Annuities and
Tactical Aggressive Stock Account for Variable Annuities.
++ The five Mutual Funds are: Capital Appreciation Fund, Money Market
Portfolio, High Yield Bond Trust, Managed Assets Trust and The Travelers
Series Trust.
Additional information about the Portfolio's trustees and executive officers
may be found in the Statement of Additional Information. A copy of the current
version of this document is available to you free upon request by contacting
the Trust either by mail at Travelers Series Trust, One Cityplace, Hartford, CT
06103 or by phone at 1-800-848-3854.
This report is prepared for the general information of variable annuity and
life contract owners and is not an offer of shares of the Travelers Series
Trust and is not for use with the general public.
THIS REPORT MUST BE PRECEDED OR ACCOMPANIED BY A FREE PROSPECTUS. INVESTORS
SHOULD CONSIDER THE PORTFOLIOS' INVESTMENT OBJECTIVES, RISKS, CHARGES AND
EXPENSES CAREFULLY BEFORE INVESTING. THE PROSPECTUS CONTAINS THIS AND OTHER
INFORMATION ABOUT THE PORTFOLIOS. PLEASE READ THE PROSPECTUS CAREFULLY BEFORE
INVESTING.
The Trust files its complete schedule of portfolio holdings with the Securities
and Exchange Commission for the first and third quarters of each fiscal year on
Form N-Q. The Trust's Form N-Q are available on the Commission's website at
www.sec.gov. The Trust's Forms N-Q may be reviewed and copied at the
Commission's Public Reference Room in Washington, D.C. and information on the
operation of the Public Reference Room may be obtained by calling
1-800-SEC-0330. To obtain information on Form N-Q from the Trust, shareholders
can call 1-800-842-9406.
Information on how the Trust voted proxies relating to portfolio securities
during the most recent 12-month period ended June 30 and a description of the
policies and procedures that the Trust uses to determine how to vote proxies
relating to portfolio securities is available (1) without charge, upon request,
by calling 1-800-842-9406 and (2) on the SEC's website at www.sec.gov.
88
ITEM 2. CODE OF ETHICS.
On June 13, 2005, the registrant adopted a code of ethics that applies to the
registrant's principal executive officer, principal financial officer,
principal accounting officer or controller, or persons performing similar
functions, regardless of whether these individuals are employed by the
registrant or a third party (the "Code of Ethics"). During the period covered
by this report, no amendments were made to the provisions of the Code of
Ethics, nor did the registrant grant any waivers, including any implicit
waivers, from any provision of the Code of Ethics.
The Code of Ethics is attached hereto as Exhibit 12(a)(1).
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The Board of Trustees of the registrant has determined that Mr. Robert E.
McGill, a member of the Board's Audit Committee, possesses the technical
attributes identified in Instruction 2(b) of Item 3 to Form N-CSR to qualify as
an "audit committee financial expert," and has designated Mr. McGill as the
Audit Committee's financial expert. Mr. McGill is an "independent" Trustee
pursuant to paragraph (a)(2) of Item 3 to Form N-CSR.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Audit Fees
As of October 31, 2005, the registrant had 29 series. The following series of
the registrant have a fiscal year ended October 31: Strategic Equity Portfolio,
Van Kampen Enterprise Portfolio, Pioneer Strategic Income Portfolio, Travelers
Managed Income Portfolio, Salomon Brothers Strategic Total Return Bond
Portfolio, MFS Total Return Portfolio and AIM Capital Appreciation Portfolio
(the "10/31 Travelers Funds"). The 10/31 Travelers Funds became series of the
registrant on July 1, 2005. Prior to that time each of the series was a series
of Travelers Series Fund, Inc.
The following series of the registrant have a fiscal year ended December 31:
Convertible Securities Portfolio, Disciplined Mid Cap Stock Portfolio, Equity
Income Portfolio, Federated High Yield Portfolio, Federated Stock Portfolio,
Large Cap Portfolio, Mondrian International Stock Portfolio, MFS Mid Cap Growth
Portfolio, MFS Value Portfolio, Mercury Large Cap Core Portfolio, Pioneer Fund
Portfolio, Travelers Quality Bond Portfolio, U.S. Government Securities
Portfolio, Zero Coupon Bond Fund Portfolio (Series 2005), Pioneer Mid Cap Value
Portfolio, Style Focus Series: Small Cap Growth Portfolio, Style Focus Series:
Small Cap Value Portfolio, Managed Allocation Series: Conservative Portfolio,
Managed Allocation Series: Moderate Portfolio, Managed Allocation Series:
Moderate-Conservative Portfolio, Managed Allocation Series: Moderate-Aggressive
Portfolio and Managed Allocation Series: Aggressive Portfolio (the "12/31
Travelers Funds").
Information provided in response to Item 4 includes amounts billed during the
applicable time period for services rendered by Deloitte & Touche LLP ("D&T"),
the registrant's principal accountant. Prior to July 1, 2005, KPMG LLP ("KPMG")
was the registrant's principal
accountant and information provided in response to Item 4 prior to July 1,
2005, includes amounts billed by KPMG.
The aggregate fees billed for professional services rendered by D&T and KMPG
for the audit of the registrant's annual financial statements or services
normally provided in connection with statutory and regulatory filings for the
period July 1, 2005 through October 31, 2005 for the 10/31 Travelers Funds and
for the last two fiscal years ended December 31 for the 12/31 Travelers Funds,
respectively, are as set forth below.
12/31 10/31
Travelers Funds Travelers Funds
Period 7/1/05 through 10/31/05..... N/A $133,000
Year ended 12/31/04................ $276,000 N/A
Year ended 12/31/03................ $276,000 N/A
(b) Audit-Related Fees
The registrant was not billed any fees by D&T for the period July 1, 2005
through October 31, 2005 for the 10/31 Travelers Funds for assurance and
related services that were reasonably related to the performance of the audit
of the registrant's financial statements.
The registrant was not billed any fees by KPMG for the fiscal years ended
December 31, 2004 and 2003 for the 12/31 Travelers Funds, for assurance and
related services that were reasonably related to the performance of the audit
of the registrant's financial statements.
During the period July 1, 2005 through October 31, 2005, no fees for assurance
and related services that relate directly to the operations and financial
reporting of the registrant were billed by D&T to the registrant's investment
adviser or any other entity controlling, controlled by, or under common control
with the investment adviser that provides ongoing services to the registrant.
(c) Tax Fees
The aggregate fees billed for professional services rendered by D&T and KMPG
for tax compliance, tax advice and tax planning services, which include (the
filing and amendment of federal, state and local income tax returns, timely RIC
qualification review and tax distribution and analysis planning) for the period
July 1, 2005 through October 31, 2005 for the 10/31 Travelers Funds and for the
last two fiscal years ended December 31 for the 12/31 Travelers Funds,
respectively, are as set forth below.
12/31 10/31
Travelers Funds Travelers Funds
Period 7/1/05 through 10/31/05..... N/A $22,750
Year ended 12/31/04................ $36,400 N/A
Year ended 12/31/03................ $36,400 N/A
During the period July 1, 2005 through October 31, 2005, no fees for tax
compliance, tax advice or tax planning services that relate directly to the
operations and financial reporting of the registrant were billed by D&T to the
registrant's investment adviser or any other entity controlling, controlled by,
or under common control with the investment adviser that provides ongoing
services to the registrant.
(d) All Other Fees
The registrant was not billed for any other products or services provided by
D&T for the period July 1, 2005 through October 31, 2005 and KPMG for the
fiscal years ended December 31, 2004 and 2003, other than the services reported
in paragraphs (a) through (c) above.
During the period July 1, 2005 through October 31, 2005, no fees for other
services that relate directly to the operations and financial reporting of the
registrant were billed by D&T to the registrant's investment adviser or any
other entity controlling, controlled by, or under common control with the
investment adviser that provides ongoing services to the registrant.
(e) (1) The Audit Committee's pre-approval policies and procedures described in
paragraph (c) (7) of Rule 2-01 of Regulation S-X.
The Charter for the Audit Committee (the "Committee") of the Board of the
registrant requires that the Committee shall approve (a) all audit and
permissible non-audit services to be provided to the registrant and (b) all
permissible non-audit services to be provided by the registrant's independent
auditors to the advisers and any Covered Service Providers if the engagement
relates directly to the operations and financial reporting of the registrant.
The Committee may implement policies and procedures by which such services are
approved other than by the full Committee.
The Committee shall not approve non-audit services that the Committee believes
may impair the independence of the auditors. As of the date of the approval of
the Audit Committee Charter, permissible non-audit services include any
professional services (including tax services), that are not prohibited
services as described below, provided to the registrant by the independent
auditors, other than those provided to the registrant in connection with an
audit or a review of the financial statements of the registrant. Permissible
non-audit services may not include: (i) bookkeeping or other services related
to the accounting records or financial statements of the registrant;
(ii) financial information systems design and implementation; (iii) appraisal
or valuation services, fairness opinions or contribution-in-kind reports;
(iv) actuarial services; (v) internal audit outsourcing services;
(vi) management functions or human resources; (vii) broker or dealer,
investment adviser or investment banking services; (viii) legal services and
expert services unrelated to the audit; and (ix) any other service the Public
Company Accounting Oversight Board determines, by regulation, is impermissible.
Pre-approval by the Committee of any permissible non-audit services is not
required so long as: (i) the aggregate amount of all such permissible non-audit
services provided to the registrant, the advisers and any service providers
controlling, controlled by or under common control with the advisers that
provide ongoing services to the registrant ("Covered Service Providers")
constitutes
not more than 5% of the total amount of revenues paid to the independent
auditors during the fiscal year in which the permissible non-audit services are
provided to (a) the registrant, (b) the advisers and (c) any entity
controlling, controlled by or under common control with the advisers that
provides ongoing services to the registrant during the fiscal year in which the
services are provided that would have to be approved by the Committee; (ii) the
permissible non-audit services were not recognized by the registrant at the
time of the engagement to be non-audit services; and (iii) such services are
promptly brought to the attention of the Committee and approved by the
Committee (or its delegate(s)) prior to the completion of the audit.
(2) None of the services described under the categories, "Audit-Related Fees,"
"Tax Fees" or "All Other Fees," were approved by the audit committee pursuant
to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) Not applicable.
(g) Fees billed by KMPG for services rendered to the registrant and the
registrant's investment advisers and any entity controlling, controlled by, or
under common control with the investment advisers that provide ongoing services
to the registrant were $75,000 and $0 to the 12/31 Travelers Funds for the
fiscal years ended December 31, 2004 and 2003. These fees were paid by
Citigroup Global Markets, Inc. and related to the transfer agent matter as
fully described in the notes to the financial statements titled "additional
information" for the fiscal year ended December 31, 2004.
The registrant and the registrant's investment advisers or any other entity
controlling, controlled by, or under common control with the investment adviser
that provides ongoing services to the registrant were not billed for any
aggregate non-audit fees by D&T for the 10/31 Travelers Funds for the period
July 1, 2005 through October 31, 2005.
(h) Yes. The registrant's Audit Committee has considered whether the provision
of non-audit services that were rendered to service affiliates which were not
pre-approved (not requiring pre-approval) is compatible with maintaining KMPG's
or D&T's independence. All services provided by KMPG or D&T to the registrant
or to service affiliates which were required to be pre-approved were
pre-approved as required.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS.
Schedule of Investments is included as a part of the report to shareholders
filed under Item 1 of this Form N-CSR.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
The registrant does not have procedures by which shareholders may recommend
nominees to the registrant's Board of Trustees.
ITEM 11. CONTROLS AND PROCEDURES.
(a) Within 90 days of the filing date of this Form N-CSR, Elizabeth M. Forget,
the registrant's President and Peter Duffy, the registrant's Chief Financial
Officer and Treasurer, reviewed 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")) (the "Procedures") and evaluated their
effectiveness. Based on their review, Ms. Forget and Mr. Duffy determined that
the Procedures adequately ensure that information required to be disclosed by
the registrant in its periodic reports filed under the Securities Exchange Act
of 1934 is recorded, processed, summarized and reported within the time periods
required by the Securities and Exchange Commission.
(b) There were no significant 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 second fiscal quarter of the period covered by
this report that has materially affected, or is reasonably likely to materially
affect, the registrant's internal control over financial reporting.
ITEM 12. EXHIBITS
(a)(1) Code of Ethics is attached hereto.
(a)(2) The certifications required by Rule 30a-2(a) of the 1940 Act are
attached hereto.
(a)(3) Not applicable.
(b) The certifications required by Rule 30a-2(b) of the 1940 Act and
Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.
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, thereunto duly authorized.
THE TRAVELERS SERIES TRUST
By: /s/ Elizabeth M. Forget
-----------------------------
Elizabeth M. Forget
President
Date: December 20, 2005
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/ Elizabeth M. Forget
-----------------------------
Elizabeth M. Forget
President
Date: December 20, 2005
By: /s/ Peter Duffy
-----------------------------
Peter Duffy
Chief Financial Officer and
Treasurer
Date: December 20, 2005