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 Service) Copy to:
Elizabeth M. Forget Robert N. Hickey, Esq.
The Travelers Series Trust Sullivan & Worcester LLP
President 1666 K Street, N.W.
260 Madison Avenue, 10th Floor Washington, D.C. 20006
New York, NY 10006
Registrant's telephone number, including area code: (800) 842-9368
Date of fiscal year end: December 31
Date of reporting period: December 31, 2005
ITEM 1: REPORT TO SHAREHOLDERS.
THE TRAVELERS SERIES TRUST
Convertible Securities Portfolio
Disciplined Mid Cap Stock Portfolio
Equity Income Portfolio
Federated High Yield Portfolio
Federated Stock Portfolio
Large Cap Portfolio
Managed Allocation Series: Aggressive Portfolio
Managed Allocation Series: Conservative Portfolio
Managed Allocation Series: Moderate Portfolio
Managed Allocation Series: Moderate-Aggressive Portfolio
Managed Allocation Series: Moderate-Conservative Portfolio
Mercury Large Cap Core Portfolio
(formerly Merrill Lynch Large Cap Core Portfolio)
MFS Mid Cap Growth Portfolio
MFS Value Portfolio
Mondrian International Stock Portfolio
(formerly Lazard International Stock Portfolio)
Pioneer Fund Portfolio
Pioneer Mid Cap Value Portfolio
Style Focus Series: Small Cap Growth Portfolio
Style Focus Series: Small Cap Value Portfolio
Travelers Quality Bond Portfolio
U.S. Government Securities Portfolio
ANNUAL REPORT
DECEMBER 31, 2005
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February 1, 2006
LETTER TO POLICYHOLDERS:
In 2005, the U.S.stock market experienced moderate growth while non-U.S.
markets on average outperformed. For the year, the S&P 500 Index rose 4.9%
while the MSCI EAFE Index rose 14.0%. In addition on average, mid-cap stock
funds outperformed both large and small-cap funds and growth stock funds began
to outperform value stock funds for the first time in six years.
The Federal Reserve increased short term rates by 200 basis points during 2005
which impacted returns. The average U.S. Bond fund rose 1.9% during the year
while the Lehman Aggregate Bond Index rose 2.4%.
On the following pages you will find a complete review of your Portfolios and
their investment performance.
MetLife is committed to building your financial freedom. We appreciate your
trust and will continue to focus our efforts to meet your financial goals.
Sincerely,
/s/ Elizabeth Forget
Elizabeth M. Forget
President
The Travelers Series Trust
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CONVERTIBLE SECURITIES PORTFOLIO FOR THE YEAR ENDED 12/31/05
MANAGED BY SALOMON BROTHERS ASSET MANAGEMENT INC.
LETTER TO POLICYHOLDERS
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On December 1, 2005, Legg Mason, Inc. ("Legg Mason") and Citigroup, Inc.
("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 part of this transaction, the
investment subadviser for the Portfolio became a wholly owned subsidiary of
Legg Mason.
CONVERTIBLE SECURITIES PORTFOLIO
For the 12 months ended December 31, 2005, the Travelers Convertible Securities
Portfolio returned 0.34%. These shares underperformed the Portfolio's unmanaged
benchmark, the Merrill Lynch Investment Grade Convertible Bonds Index,/i/ which
returned 0.92% over the period. In comparison, the Lipper Variable Annuity
Specialty/ Misc Funds Category Average returned 6.88% for the year ended
December 31, 2005./ii/
For the period that the current manager has been managing the Portfolio (July
1, 2005 through December 31, 2005), the Portfolio returned 4.01%. This compares
to returns of 5.09% for the Merrill Lynch Investment Grade Convertible Bonds
Index and 10.11% for the Lipper Variable Annuity Specialty/ Misc funds category
average./iii/
Q. WHAT WERE THE OVERALL MARKET CONDITIONS DURING THE PORTFOLIO'S REPORTING
PERIOD?
A. The most noteworthy feature of the U.S. convertible market during the year
was the sharp decline in the market that took place in the first half of 2005
when, in a highly unusual circumstance, the convertible market actually
underperformed a declining stock market (the convertible market, as represented
by the Merrill Lynch Investment Grade Convertible Index, returned -3.97% for
the six months, while the stock market as represented by the S&P 500 Index/iv/
returned -0.81%). Convertibles can normally be expected to lag behind a
strongly rising equity market but also to decline by less than one that is
falling. As widely reported in the financial press, it appears that the reason
for the underperformance of convertibles in early 2005 may have been the
convertible arbitrage strategy employed by some hedge funds. Returns in this
particular hedge fund strategy had been relatively poor for about two years,
leading to redemptions. Because the majority of positions in this arbitrage
strategy involve being long the convertible and short the common stock into
which it is convertible, with cash having to be raised to meet redemptions the
positions had to be unwound--meaning that the common stocks were repurchased
and the convertibles sold. This naturally led to a weakening of the prices of
convertible securities relative to their underlying common stocks and resulted
in the convertible market becoming, in our opinion, more attractively priced
than it had been in some years.
With the selling pressure largely confined to the first half of the year, the
second half saw more normal conditions in the convertible market, which gained
5.09% compared to the 5.77% gain in the S&P 500 Index. Meanwhile, the U.S.
economy continued its fairly steady expansion despite rising energy prices,
natural disasters and a persistent increase in short term interest rates by the
Federal Reserve,/v/ which with core inflation remaining remarkably well
contained, finally indicated that at least a pause in the tightening cycle may
be close at hand.
It is important to note that the characteristics of the convertible market have
changed significantly over the past several years as the rise in equity prices
over that period has increased the sensitivity of convertible instruments to
their underlying stock prices while decreasing their relative sensitivity to
the interest rate movements.
Q. WHAT WERE THE MOST SIGNIFICANT FACTORS AFFECTING THE PORTFOLIO'S PERFORMANCE?
WHAT WERE THE LEADING CONTRIBUTORS TO PERFORMANCE?
A. For the year ended December 31,2005 the more significant groups contributing
to positive performance included the energy sector helped by holdings in the
convertible bonds of Diamond Offshore Drilling, a contract driller of oil and
gas wells offshore the U.S. Gulf Coast and other international locations and
the convertible bonds of Halliburton a provider of engineering and construction
services to the energy industry. The health care group was another positive
contributor to performance for the year. The group saw strong performances from
convertible bonds of Teva Pharmaceutical Industries, a manufacturer and
marketer of generic and branded human pharmaceuticals and active pharmaceutical
ingredients, and from the convertible bonds of Pacificare Health Systems, a
managed health care services company, the acquisition of which Capital United
Health Group, another managed health care services company, was announced
during the year.
Q. WHAT WERE THE LEADING DETRACTORS FROM PERFORMANCE?
A. The detractors from performance for the year were largely the result of
individual security situations rather than overall group movements in the
market. Significant negative contributors included the convertible bonds of
Calpine Corp., an owner and operator of electric generation stations and in the
utility sector, a group which otherwise did quite well for the year. Another
was the convertiblke bond position in Tyco International, a diversified
manufacturing and service company which lowered earnings expectations during
the year, and also the convertible bonds of Lear Corp., a supplier of
automobile interior systems to automobile manufacturers worldwide which
suffered from the travails of the U.S. Domestic automobile manufactuers."
Q. WERE THERE ANY SIGNIFICANT CHANGES MADE TO THE PORTFOLIO DURING THE
REPORTING PERIOD?
A. Following the appointment of new management on July 1, 2005, a wider range
of securities was introduced to the Fund. It is the view of current management
that exposure to a fuller range of convertible securities available in the
market, with prudent diversification, can lead to higher returns over time.
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1
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CONVERTIBLE SECURITIES PORTFOLIO FOR THE YEAR ENDED 12/31/05
MANAGED BY SALOMON BROTHERS ASSET MANAGEMENT INC.
LETTER TO POLICYHOLDERS (CONTINUED)
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/i/The Merrill Lynch Investment Grade Convertible Bond Index is an index
comprised of convertible bonds rated investment grade. Please note that an
investor cannot invest directly in an index.
/ii/Lipper, Inc. is a major independent mutual-fund tracking organization.
Returns are based on the 12-month period ended December 31, 2005 including the
reinvestment of distributions, including returns of capital, if any, calculated
among the 141 funds in the Fund's Lipper category, and excluding sales charges.
/iii/Lipper, Inc. is a major independent mutual-fund tracking organization.
Returns are based on the period from July 1, 2005 through December 31, 2005,
including the reinvestment of distributions, including returns of capital, if
any, calculated among the 141 funds in the Fund's Lipper category, and
excluding sales charges.
/iv/The S&P 500 Index is an unmanaged index of 500 stocks that is generally
representative of the performance of larger companies in the U.S. Please note
that an investor cannot invest directly in an index.
/v/The Federal Reserve Board is responsible for the formulation of a policy
designed to promote economic growth, full employment, stable prices, and a
sustainable pattern of international trade and payments.
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 12/31/05
Percent of
Description Net Assets
---------------------------------------------
Pacificare Health Systems, Inc. 2.92%
---------------------------------------------
Amgen, Inc. 2.50%
---------------------------------------------
ADC Telecommunications, Inc. 2.44%
---------------------------------------------
Waste Connections, Inc. 2.25%
---------------------------------------------
Men's Wearhouse, Inc. 2.25%
---------------------------------------------
CBRL Group, Inc. 2.24%
---------------------------------------------
Actuant Corp. 2.11%
---------------------------------------------
Affiliated Computer Services, Inc. 2.05%
---------------------------------------------
Commerce Bancorp, Inc. 2.01%
---------------------------------------------
NII Holdings, Inc. 2.00%
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PORTFOLIO COMPOSITION (% of portfolio market value)
As of 12/31/05
[CHART]
Non-Cyclical 26.6%
Communications 18.2%
Industrials 16.5%
Financials 12.5%
Cyclical 9.3%
Technology 8.4%
Energy 7.3%
Utilities 1.2%
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2
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CONVERTIBLE SECURITIES PORTFOLIO FOR THE YEAR ENDED 12/31/05
MANAGED BY SALOMON BROTHERS ASSET MANAGEMENT INC.
LETTER TO POLICYHOLDERS (CONTINUED)
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CONVERTIBLE SECURITIES PORTFOLIO MANAGED BY
SALOMON BROTHERS ASSET MANAGEMENT INC. VS.
MERRILL LYNCH INVESTMENT GRADE CONVERTIBLE BOND INDEX/1/
Growth Based on $10,000
[CHART]
Convertible Mer Lynch Inv grade
Securities Portfolio Bond Index
-------------------- -------------------
5/1/1998 $10,000 $10,000
12/31/1998 10,098 10,387
12/31/1999 11,987 11,594
12/31/2000 13,486 13,392
12/31/2001 13,376 13,375
12/31/2002 12,440 12,655
12/31/2003 15,707 14,111
12/31/2004 16,695 14,773
12/31/2005 16,752 14,909
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Average Annual Return/2/
(for the period ended 12/31/05)
----------------------------------------------------------------
1 Year 3 Year 5 Year Since Inception/3/
----------------------------------------------------------------
Convertible Securities
- -- Portfolio 0.34% 10.43% 4.43% 6.96%
----------------------------------------------------------------
Merrill Lynch Investment
Grade Convertible Bond
- - - Index/1/ 0.92% 5.43% 1.98% 5.87%
----------------------------------------------------------------
/1/The Merrill Lynch Investment Grade Convertible Bond Index is comprised of
115 investment-grade convertible bond issues. The Index excludes those issues
that have mandatory conversion features. (Investment-grade bonds are those
rated in one of the four highest rating categories by any nationally recognized
statistical rating organization.) The Index does not include fees and 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 05/01/1998.
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 administration charges of variable annuity or
life insurance contracts. If these charges were included, the returns would be
lower.
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3
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DISCIPLINED MID CAP STOCK PORTFOLIO FOR THE YEAR ENDED 12/31/05
MANAGED BY TIMCO ASSET MANAGEMENT, INC.
LETTER TO POLICYHOLDERS
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On December 1, 2005, Legg Mason, Inc. ("Legg Mason") and Citigroup, Inc.
("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 part of this transaction, the
investment subadviser for the Portfolio became a wholly owned subsidiary of
Legg Mason.
HOW DID THE PORTFOLIO PERFORM DURING THE REPORTING PERIOD?
For the 12-months ended December 31, 2005, Travelers Disciplined Mid Cap Stock
Portfolio returned 12.42%. The Lipper variable mid-cap core funds category
average/vi/ returned 11.77% and the Portfolio's unmanaged benchmark, the S&P
Midcap 400 Index returned 11.60% for the same period.
WHAT WERE THE OVERALL MARKET CONDITIONS DURING THE PORTFOLIO'S REPORTING PERIOD?
Following a run up in the market after the November 2004 presidential
elections, the equity markets moved sideways most of the year, finishing up
slightly. The S&P 500 Index/i/ rose from 1,212 on December 31, 2004 to 1,254 at
the end of year; a 3% gain. The S&P Midcap 400 Index/ii/ finished up 11.60%
The year was marked worldwide by natural disasters. A tsunami hit Indonesia in
December of 2004, Hurricanes Katrina and Wilma devastated Louisiana and
Florida, and earthquakes ravaged Afghanistan.
The war in Iraq continued, passing the 2000 casualty mark, and continuing to
put a strain on international relations and domestic spending. The continued
dual deficits (both trade and budget deficits) have become a concern to the
market with regards to their effect on long-term growth.
The price of oil skyrocketed throughout the year, as a result of tension in the
Middle East, increased demand from China, labor strikes in Venezuela, and
weather related supply interruptions. The price of crude oil rose from an
already high price of $43 at the start of 2005 to a high of just under $70 at
the end of August.
The housing market continued at a torrid pace throughout the year, showing
signs of cooling only in the last few months. Year-over-year housing price
index increases of over 10% continued, only beginning to cool in the last few
months. This despite increasing short-term interest rates throughout the year
and recent credit tightening from banks.
In the bond markets, the Federal Reserve Board ("Fed")/iii/ continued to raise
rates at a "measured pace", as core inflation remained tame and productivity
grew slowly. The Fed raised the fed funds rate/iv/ at each of its meetings
throughout the year, from 1.75% to 4.0%. The yield curve has flattened
throughout the year, as the spread between the 10-year Treasury Bond and 1-year
T-Bill has decreased from 180 basis points to 18 basis points./v/
WHAT WERE THE LEADING CONTRIBUTORS TO PERFORMANCE?
Our stock selection model's quintile spread showed positive results for the
year. The quintile spread for our stock selection model was 314 basis points.
The positive performance of our model's quintile spread was reflected in the
mid-cap portfolio. 44 basis points of the mid-cap portfolio's outperformance is
attributable to following our stock selection model. Our stock selection model
was helped primarily by our value composite signal, and slightly by our
earnings composite signal. Our technical price momentum signal also slightly
added to our stock selection model performance.
On an individual stock basis, the biggest contributors to performance were
Grant Prideco, which was up 120% over the year, and contributed 37 basis points
to overall portfolio performance, and Western Digital, which was up 72% over
the year, and contributed 32 basis points to overall portfolio performance.
Omnicare (21 basis points) and Peabody Energy (20 basis points) were also
portfolio holdings that contributed positively.
In terms of risk control, the investment process attempts to remain size
(market cap), style (growth vs. value), and sector neutral, while loading up on
our composite model signal. Our performance attribution analysis showed that
over the year, size, sector and style market movements negligibly contributed
to portfolio performance.
WHAT WERE THE LEADING DETRACTORS FROM PERFORMANCE?
SanDisk was the biggest detractor from performance, gaining 152% for the year,
where our underweight position cost the portfolio 49 basis points. Whole Foods
Market, up 64% for the year, and Arch Coal, up 125% for the year, were two
underweight stocks that detracted from performance. They both cost the
portfolio 19 basis points.
Aeropostale, which the portfolio owned throughout the year, was down 11% for
the year, costing the portfolio 25 basis points. ArvinMeritor, which was down
33%, also cost the portfolio 19 basis points.
Finally, Legg Mason, which is restricted from being held in the portfolio but
at the end of 2005 was the largest name in the S&P Midcap 400 Index at 1.3 %,
was up 64% for the year. This only cost the portfolio 7 basis points for the
year due to the fact that the restriction on Legg Mason began in the fourth
quarter.
WERE THERE ANY SIGNIFICANT CHANGES MADE TO THE PORTFOLIO DURING THE REPORTING
PERIOD?
There were no significant changes made to the Portfolio during the reporting
period.
PLEASE REFER TO PAGES 64 THROUGH 67 FOR A LIST AND PERCENTAGE BREAKDOWN OF THE
PORTFOLIO'S HOLDINGS.
/i/The S&P 500 Index is an unmanaged index of 500 stocks that is generally
representative of the performance of larger companies in the U.S. Please note
that an investor cannot invest directly in an index.
/ii/The S&P MidCap 400 Index is a market-value weighted index which consists of
400 domestic stocks chosen for market size, liquidity, and industry group
representation. An investor cannot invest directly in an index.
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4
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DISCIPLINED MID CAP STOCK PORTFOLIO FOR THE YEAR ENDED 12/31/05
MANAGED BY TIMCO ASSET MANAGEMENT, INC.
LETTER TO POLICYHOLDERS (CONTINUED)
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/iii/The Federal Reserve Board is responsible for the formulation of a policy
designed to promote economic growth, full employment, stable prices, and a
sustainable pattern of international trade and payments.
/iv/The federal funds rate is the interest rate that banks with excess reserves
at a Federal Reserve district bank charge other banks that need overnight loans.
/v/A basis point is one one-hundredth (1/100 or 0.01) of one percent.
/vi/Lipper, Inc. is a major independent mutual-fund tracking organization.
Returns are based on the 12-month period ended December 31, 2005, including the
reinvestment of distributions, including returns of capital, if any, calculated
among the 77 funds in the Fund's Lipper category, and excluding sales charges.
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 12/31/05
Percent of
Description Net Assets
-------------------------------------
Precision Castparts Corp. 1.19%
-------------------------------------
Barr Pharmaceuticals, Inc. 1.13%
-------------------------------------
Newfield Exploration Co. 1.11%
-------------------------------------
Peabody Energy Corp. 1.09%
-------------------------------------
Grant Prideco, Inc. 1.04%
-------------------------------------
Harris Corp. 1.03%
-------------------------------------
Western Digital Corp. 1.03%
-------------------------------------
Questar Corp. 1.00%
-------------------------------------
Patterson-UTI Energy, Inc. 0.98%
-------------------------------------
Radian Group, Inc. 0.98%
-------------------------------------
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PORTFOLIO COMPOSITION (% of portfolio market value)
As of 12/31/05
[CHART]
Non-Cyclical 18.7%
Financials 17.9%
Cyclical 16.0%
Industrials 12.7%
Energy 10.9%
Technology 9.3%
Communications 5.8%
Utilities 5.5%
Basic Materials 3.2%
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5
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DISCIPLINED MID CAP STOCK PORTFOLIO FOR THE YEAR ENDED 12/31/05
MANAGED BY TIMCO ASSET MANAGEMENT, INC.
LETTER TO POLICYHOLDERS (CONTINUED)
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DISCIPLINED MID CAP STOCK PORTFOLIO MANAGED BY
TIMCO ASSET MANAGEMENT, INC. VS. S&P MIDCAP 400 INDEX/1/
Growth Based on $10,000
[CHART]
Disciplined Mid Cap
Stock Portfolio S&P Midcap 400 Index
--------------- --------------------
4/1/1997 $10,000 $10,000
12/31/1997 13,438 11,512
12/31/1998 15,710 12,603
12/31/1999 17,826 14,459
12/31/2000 20,786 16,989
12/31/2001 19,950 16,885
12/31/2002 17,092 14,913
12/31/2003 22,862 20,225
12/31/2004 26,621 23,558
12/31/2005 29,929 26,291
-----------------------------------------------------------
Average Annual Return/2/
(for the period ended 12/31/05)
-----------------------------------------------------------
1 Year 3 Year 5 Year Since Inception/3/
-----------------------------------------------------------
Disciplined Mid Cap
- -- Stock Portfolio 12.42% 20.53% 7.56% 13.34%
-----------------------------------------------------------
S&P Mid Cap 400
- - - Index/1/ 11.60% 23.00% 12.38% 12.77%
-----------------------------------------------------------
/1/The S&P MidCap 400 Index is an unmanaged index composed of 400 widely held
mid cap common stocks listed on the New York Stock Exchange, American Stock
Exchange and the over-the-counter markets. The Index does not include fees and
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 04/01/1997.
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 administration charges of variable annuity or
life insurance contracts. If these charges were included, the returns would be
lower.
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6
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EQUITY INCOME PORTFOLIO FOR THE YEAR ENDED 12/31/05
MANAGED BY FIDELITY MANAGEMENT & RESEARCH COMPANY
LETTER TO POLICYHOLDERS
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HOW DID THE PORTFOLIO PERFORM DURING THE REPORTING PERIOD?
For the year ended December 31, 2005, the Equity Income Portfolio returned
4.47%. The unmanaged benchmark, the Russell 3000 Value Index returned 6.85%
over the same period.
WHAT WERE THE OVERALL MARKET CONDITIONS DURING THE PORTFOLIO'S REPORTING PERIOD?
For the 12 months ended December 31, 2005, equities posted modest total returns
and saw the broad market's third consecutive calendar year of recovery. The
economy demonstrated resiliency, the corporate profit cycle remained positive,
and the core inflation rate remained subdued amid ongoing Fed interest rate
hikes, dramatically higher energy prices, natural disasters and geopolitical
problems. The yield curve flattened, and bonds registered small total returns,
with relative strength in Treasuries. Energy was the equity market's
best-performing sector, while telecommunications and consumer discretionary
stocks fared the worst. Value stocks led growth stocks, and mid-cap stocks
outpaced large- and small-cap stocks.
WHAT WERE THE LEADING CONTRIBUTORS TO AND DETRACTORS FROM PERFORMANCE?
The Portfolio trailed the Russell 3000 Value Index and its peer group during
the 12-month period. Among sectors, overexposure and below-average returns in
the consumer discretionary sector--including several lagging media and
retailing companies--weighed on the Portfolio's relative return. Consumer
staples, including a leading food and staples retailer, also held back the
Portfolio's relative performance amid investor concerns about pressure on
consumer spending from the spike in energy prices. Although its positions
posted good gains in absolute terms, the Portfolio's underexposure and
below-average performance in the exceptionally strong energy sector worked
against its relative return. On the other hand, health care added the most to
the Portfolio's return versus the value index. Specifically, the Portfolio
avoided some poor-performing pharmaceuticals and benefited from several
biotechnology stocks with bright prospects for new products. The Portfolio's
materials positions also did well, including several late-stage industrial
chemicals producers with pricing power. An overweighting in information
technology stocks, including rallying semiconductor companies, was another
contributor to the portfolio's relative return.
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 12/31/05
Percent of
Description Net Assets
-------------------------------------------------
Citigroup, Inc. 4.00%
-------------------------------------------------
American International Group, Inc. 3.99%
-------------------------------------------------
Wal-Mart Stores, Inc. 3.73%
-------------------------------------------------
General Growth Properties, Inc. (REIT) 3.21%
-------------------------------------------------
Bank of America Corp. 2.98%
-------------------------------------------------
Exxon Mobil Corp. 2.63%
-------------------------------------------------
Intel Corp. 2.45%
-------------------------------------------------
Wyeth 2.39%
-------------------------------------------------
Merrill Lynch & Co., Inc. 1.93%
-------------------------------------------------
General Electric Co. 1.83%
-------------------------------------------------
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PORTFOLIO COMPOSITION (% of portfolio market value)
As of 12/31/05
[CHART]
Financials 37.9%
Non-Cyclical 13.1%
Cyclical 10.2%
Industrials 9.6%
Technology 9.3%
Energy 8.1%
Communications 7.4%
Basic Materials 4.1%
Convertible Bonds 0.3%
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7
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EQUITY INCOME PORTFOLIO FOR THE YEAR ENDED 12/31/05
MANAGED BY FIDELITY MANAGEMENT & RESEARCH COMPANY
LETTER TO POLICYHOLDERS (CONTINUED)
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EQUITY INCOME PORTFOLIO MANAGED BY
FIDELITY MANAGEMENT & RESEARCH COMPANY VS. RUSSELL 3000 VALUE INDEX/1/
Growth Based on $10,000
[CHART]
Equity Income Portfolio Russell 3000 Value Index
----------------------- ------------------------
8/30/1996 $10,000 $10,000
12/31/1996 11,169 11,421
12/31/1997 14,749 15,399
12/31/1998 16,574 17,478
12/31/1999 17,389 16,640
12/31/2000 18,976 20,139
12/31/2001 17,722 19,267
12/31/2002 15,252 16,342
12/31/2003 20,006 21,431
12/31/2004 21,982 25,061
12/31/2005 22,965 26,778
---------------------------------------------------------------
Average Annual Return/2/
(for the period ended 12/31/05)
---------------------------------------------------------------
1 Year 3 Year 5 Year Since Inception/3/
---------------------------------------------------------------
- -- Equity Income Portfolio 4.47% 14.62% 3.89% 9.31%
---------------------------------------------------------------
Russell 3000 Value
- - - Index/1/ 6.85% 17.89% 5.86% 11.57%
---------------------------------------------------------------
/1/The Russell 3000 Value Index measures the performance of those Russell 3000
Index companies with lower price-to-book ratios and lower 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 and 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 08/30/1996.
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 administration charges of variable annuity or
life insurance contracts. If these charges were included, the returns would be
lower.
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8
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FEDERATED HIGH YIELD PORTFOLIO FOR THE YEAR ENDED 12/31/05
MANAGED BY FEDERATED INVESTMENT MANAGEMENT COMPANY
LETTER TO POLICYHOLDERS
- --------------------------------------------------------------------------------
For the year ended December 31, 2005, the Federated High Yield Bond Portfolio
returned 2.55%.
For the year ended December 31, 2005 the high yield market modestly
outperformed the high quality bond market. For example, the Lehman Brothers
Aggregate Bond Index, a measure of high quality bond performance, returned
2.43% versus a 2.74% return for the Lehman Brothers High Yield Bond Index
(LBHYBI) and a 2.76% return for the Lehman Brothers 2% Issuer Constrained High
Yield Bond Index. The latter is constrained against the full inclusion of
General Motors and Ford, which were downgraded by S&P, placing them into
various high yield indices.
MARKET CONDITIONS DURING THE PERIOD:
The period was characterized by strong economic performance and generally good
corporate earnings. However, there were several factors which kept overall
returns for most fixed income asset classes, including high yield, at
relatively modest levels. The Federal Reserve hiked the overnight lending rate
eight times in 2005 causing the yield on most maturities of US Treasury
securities to rise and bond prices to decline. The Fed's impact was much more
pronounced in the shorter maturities and yields on 30-year Treasury securities
actually declined. The strong economic performance provided a relatively good
environment for corporate issuers and typically would have led to better
relative returns for high yield bonds but several factors tempered the overall
performance of the high yield market. First, the Federal Reserve's aggressive
rate hikes brought into question the ability of the economy to continue its
recent strong performance. Second, strong global demand for energy and supply
restrictions caused by September's hurricanes, which devastated the Gulf Coast
and its energy infrastructure, caused energy prices to increase substantially
during the year. Higher energy costs negatively impacted non-energy companies'
earnings, had the potential to negatively impact consumer spending habits and
attitudes and caused concerns that an energy induced increase in inflation
could force the Federal Reserve to continue aggressively hiking interest rates.
Also, several large high yield issuers filed for bankruptcy protection
including Delphi, Delta Airlines, Northwest Air and Calpine. This pushed par
value default rates up considerably although the actual number of companies
defaulting was still quite modest. Finally, General Motors and Ford, two large
bond issuers and important parts of the domestic economy, continued to
struggle, impacting not only their credit quality but also the companies that
supply them. Both auto manufacturers were downgraded to below investment grade
during the year. These factors led the spread between the Credit Suisse First
Boston High Yield Index and comparable Treasury securities to widen from 3.46%
on December 31, 2004 to 3.88% as of December 31, 2005. The lowest quality
sector, CCC and lower, generated the weakest performance. Major industries
within the high yield market which underperformed include Automotive, Paper,
Packaging, Building Materials, Media--Cable and Airlines. Major industries
which outperformed include Financial Institutions, Utilities--Natural Gas,
Energy, Telecommunications both Wireless and Wireline and Healthcare.
CONTRIBUTORS TO PERFORMANCE:
The Portfolio benefited from strong security selection in the Automotive,
Chemical, Food and Beverage, Healthcare, Media--non Cable and Retail industry
sectors. Specific issuers which substantially outperformed the overall market
include Ardent Health Services, ASG Consolidated, Commonwealth Brands,
Advanstar Inc., Medical Device Manufacturing, Reddy Ice, General Motors
Acceptance Corp., Union Carbide, El Paso and AT&T. The portfolio also benefited
from an overweight in the Food and Beverage sector and an underweight in the
Utilities--Electric and Airline sectors.
DETRACTORS FROM PERFORMANCE:
The Portfolio was negatively impacted by poor security selection in the
Consumer Product, Packaging and Telecommunication--Wireless sectors. Specific
issuers which substantially underperformed the overall market would include
Tembec, General Motors Corp., AMH Holdings, Allied Holdings, Calpine, Cooper
Standard, Coleman Cable, Eagle Pincher, Pliant and Tekni-Plex. Underweight
positions in the Energy, Financial Institutions and
Telecommunications--Wireless sectors negatively impacted performance. Also, the
Portfolio's total return for the period reflected actual cash flows,
transaction costs and other expenses which were not reflected in the total
return of the LBHYBI.
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 12/31/05
Percent of
Description Net Assets
----------------------------------------------------------------------
Qwest Corp. (8.875%, 03/15/12) 1.62%
----------------------------------------------------------------------
AT&T Corp. (9.750%, 11/15/31) 1.01%
----------------------------------------------------------------------
Rogers Wireless Communications, Inc. (6.375%, 03/01/14) 0.93%
----------------------------------------------------------------------
General Motors Acceptance Corp. (6.875%, 09/15/11) 0.80%
----------------------------------------------------------------------
Edison Mission Energy (9.875%, 04/15/11) 0.77%
----------------------------------------------------------------------
Nextel Communications Inc. (7.375%, 08/01/15) 0.72%
----------------------------------------------------------------------
Mandalay Resort Group, Series B (10.250%, 08/01/07) 0.70%
----------------------------------------------------------------------
Kabel Deutschland GMBH (10.625%, 07/01/14) 0.69%
----------------------------------------------------------------------
J.C. Penny Co., Inc. (9.000%, 08/01/12) 0.67%
----------------------------------------------------------------------
Dex Media West LLC/Dex Media Finance Co. (9.875%, 08/15/13) 0.65%
----------------------------------------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION (% of portfolio market value)
As of 12/31/05
[CHART]
Domestic Bonds & Debt Securities 99.3%
Convertible Bonds 0.2%
Escrowed Shares 0.0%
Common Stocks 0.2%
Preferred Stocks 0.2%
Warrants 0.1%
- --------------------------------------------------------------------------------
9
- --------------------------------------------------------------------------------
FEDERATED HIGH YIELD PORTFOLIO FOR THE YEAR ENDED 12/31/05
MANAGED BY FEDERATED INVESTMENT MANAGEMENT COMPANY
LETTER TO POLICYHOLDERS (CONTINUED)
- --------------------------------------------------------------------------------
FEDERATED HIGH YIELD PORTFOLIO MANAGED BY
FEDERATED INVESTMENT MANAGEMENT COMPANY VS. LEHMAN BROTHERS HIGH-YIELD BOND
INDEX/1/ AND LEHMAN BROTHERS AGGREGATE BOND INDEX/2/
Growth Based on $10,000
[CHART]
Federated High Lehman Brothers Lehman Brothers
Yield Portfolio High Yield Bond Index Aggregate Bond Index
--------------- --------------------- --------------------
8/30/1996 $10,000 $10,000 $10,000
12/31/1996 10,761 10,599 10,480
12/31/1997 12,394 11,952 11,491
12/31/1998 12,978 12,161 12,490
12/31/1999 13,380 12,452 12,388
12/31/2000 12,289 11,723 13,829
12/31/2001 12,528 12,342 14,997
12/31/2002 12,994 12,788 15,932
12/31/2003 15,904 16,493 16,585
12/31/2004 17,555 18,328 17,305
12/31/2005 18,003 18,834 18,328
---------------------------------------------------------------
Average Annual Return/3/
(for the period ended 12/31/05)
---------------------------------------------------------------
1 Year 3 Year 5 Year Since Inception/4/
---------------------------------------------------------------
Federated High Yield
- -- Portfolio 2.55% 11.48% 7.94% 6.50%
---------------------------------------------------------------
Lehman Brothers High-
- - - Yield Bond Index/1/ 2.74% 13.77% 8.86% 7.29%
---------------------------------------------------------------
Lehman Brothers
- -- Aggregate Bond Index/2/ 2.43% 3.62% 5.87% 6.64%
---------------------------------------------------------------
/1/The Lehman Brothers High-Yield Bond Index is composed of fixed rate
non-investment grade debt with at least one year remaining to maturity that are
dollar-denominated, nonconvertible and have an outstanding par value of at
least $100 million. The Index does not include fees and expenses and is not
available for direct investment.
/2/The Lehman Brothers Aggregate Bond Index, an unmanaged index, is composed of
the Lehman Brothers Intermediate Government/Credit Bond Index, formerly known
as the Lehman Brothers Intermediate Government/Corporate Bond Index, and the
Mortgage Backed Securities Index and includes treasury issues, agency issues,
corporate bond issues and mortgage-backed securities. The Index does not
include fees and 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 08/30/1996.
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 administration charges of variable annuity or
life insurance contracts. If these charges were included, the returns would be
lower.
- --------------------------------------------------------------------------------
10
- --------------------------------------------------------------------------------
FEDERATED STOCK PORTFOLIO FOR THE YEAR ENDED 12/31/05
MANAGED BY FEDERATED EQUITY MANAGEMENT COMPANY OF PENNSYLVANIA
LETTER TO POLICYHOLDERS
- --------------------------------------------------------------------------------
PERFORMANCE UPDATE
During the year ended December 31, 2005, the Federated Stock Portfolio returned
5.31%. In comparison, the portfolio's unmanaged benchmarks, the S&P
500/Citigroup Value Index and the S&P 500 Index, returned 5.85% and 4.91%,
respectively, during the same period. The Portfolio outperformed its Lipper
variable annuity large-cap value funds category average, which was 4.82% for
the same period.
MARKET CONDITIONS AND IMPACT UPON PORTFOLIO'S PERFORMANCE:
The broad market S&P 500 Index (S&P 500) returned 4.91% during the reporting
period. The best performing sectors of the market during the period were Energy
(up 31%) and Utilities (up 17%). The worst performing sectors were
Telecommunication Services (down 6%) and Consumer Discretionary (down 6%).
Value strategies generally outperformed growth strategies during the reporting
period which positively influenced portfolio performance. Mid-cap strategies
outperformed large-cap strategies during the year which negatively impacted
portfolio performance as the Portfolio followed its historical investment
process and held a greater concentration of larger capitalization names.
SECTOR SELECTION IMPACT UPON PORTFOLIO'S PERFORMANCE:
Positive sector selection influences upon performance relative to the
S&P/Citigroup Value Index included overweight positions in Energy (contribution
+1.31%) and Information Technology (contribution +0.21%) and underweight
positions in Financials (contribution +0.16%) and Utilities (contribution
+0.18%).
Negative sector selection influences upon relative performance included an
overweight position in Consumer Staples (contribution (0.19)%) and underweight
positions in Healthcare (contribution (0.18)%) and Materials (contribution
(0.17)%).
SECURITY SELECTION IMPACT UPON PORTFOLIO'S PERFORMANCE:
Positive influences on relative performance included favorable security
selection in Financials (AON Corp. up 54% contributed +0.58%, Ace Ltd. up 27%
contributed +0.57%, Hartford Financial Services up 26% contributed +0.38%),
Information Technology (Hewlett Packard up 40% contributed +0.40%, Motorola up
32% contributed +0.35%, Sungard Data Systems up 21% contributed +0.22%), and
Healthcare (McKesson Corp. up 65% contributed +0.81%, AmeriSource Bergen up 45%
contributed +0.46%).
Negative influences on relative performance included unfavorable security
selection in Energy (Exxon Mobil up 12% contributed +0.28%, BP PLC up 14%
contributed +0.30%, Chevron Texaco up 12% contributed +0.35%), Industrials
(Tyco Intl. down 18% contributed (0.60)%, Masco Corp. down 13% contributed
(0.15)%, Pitney Bowes, Inc. down 6% contributed (0.10)%), and Consumer
Discretionary (News Corp. Ltd down 21% contributed (0.40)%, Interpublic Group
of Cos. down 28% contributed (0.39)%, Gannett Inc. down 17% contributed
(0.26)%).
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 12/31/05
Percent of
Description Net Assets
---------------------------------------------
Freddie Mac 3.73%
---------------------------------------------
Exxon Mobil Corp. 3.05%
---------------------------------------------
Allstate Corp. (The) 3.03%
---------------------------------------------
Chevron Corp. 2.94%
---------------------------------------------
ACE, Ltd. 2.82%
---------------------------------------------
American International Group, Inc. 2.64%
---------------------------------------------
Altria Group, Inc. 2.62%
---------------------------------------------
Morgan Stanley 2.54%
---------------------------------------------
Merrill Lynch & Co., Inc. 2.26%
---------------------------------------------
Time Warner, Inc. 2.20%
---------------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION (% of portfolio market value)
As of 12/31/05
[CHART]
Financials 33.5%
Non-Cyclical 17.1%
Communications 14.7%
Energy 10.7%
Technology 8.4%
Cyclical 6.4%
Industrials 6.2%
Utilities 2.2%
Basic Materials 0.8%
- --------------------------------------------------------------------------------
11
- --------------------------------------------------------------------------------
FEDERATED STOCK PORTFOLIO FOR THE YEAR ENDED 12/31/05
MANAGED BY FEDERATED EQUITY MANAGEMENT COMPANY OF PENNSYLVANIA
LETTER TO POLICYHOLDERS (CONTINUED)
- --------------------------------------------------------------------------------
FEDERATED STOCK PORTFOLIO MANAGED BY
FEDERATED EQUITY MANAGEMENT COMPANY OF PENNSYLVANIA VS. S&P 500/CITIGROUP VALUE
INDEX/1/
Growth Based on $10,000
[CHART]
Federated Stock Portfolio S&P 500 Index Citigroup
------------------------- -----------------------
8/30/1996 $10,000 $10,000
12/31/1996 11,261 11,416
12/31/1997 15,021 14,839
12/31/1998 17,700 17,015
12/31/1999 18,646 19,180
12/31/2000 19,349 20,346
12/31/2001 19,672 17,963
12/31/2002 15,871 14,218
12/31/2003 20,253 18,738
12/31/2004 22,390 21,682
12/31/2005 23,579 22,950
-----------------------------------------------------------------
Average Annual Return/2/
(for the period ended 12/31/05)
-----------------------------------------------------------------
1 Year 3 Year 5 Year Since Inception/3/
-----------------------------------------------------------------
- -- Federated Stock Portfolio 5.31% 14.11% 4.03% 9.62%
-----------------------------------------------------------------
S&P 500/Citigroup
- - - Value Index/1/* 5.85% 17.31% 2.44% 8.66%
-----------------------------------------------------------------
/1/The S&P 500/Citigroup Value Index is a market-capitalization weighted index
of stocks in the S&P 500 having lower price-to-book ratios relative to the S&P
500 as a whole. (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 and expenses and is not available for direct investment.
*Prior to December 31, 2005 the index for the Portfolio was the S&P/Barra Value
Index. The S&P/Barra style indexes ceased to be the official Standard & Poor's
style indices on December 16, 2005.
/2/"Average Annual Return" is calculated including reinvestment of all income
dividends and capital gains distributions.
/3/Inception date of Portfolio is 08/30/1996.
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 administration charges of variable annuity or
life insurance contracts. If these charges were included, the returns would be
lower.
- --------------------------------------------------------------------------------
12
- --------------------------------------------------------------------------------
LARGE CAP PORTFOLIO FOR THE YEAR ENDED 12/31/05
MANAGED BY FIDELITY MANAGEMENT & RESEARCH COMPANY
LETTER TO POLICYHOLDERS
- --------------------------------------------------------------------------------
PORTFOLIO PERFORMANCE:
During the year ended December 31, 2005, the Large Cap Portfolio returned
8.69%. The unmanaged benchmark, the Russell 1000 Growth Index returned 7.18%
for the same period. The S&P 500 Index returned 4.91% for the same period.
MARKET CONDITIONS DURING THE PERIOD:
Stocks grinded their way through 2005 and managed only modest gains for the
year. Compared to the fourth quarter, the themes for the year were similar and
the equity markets were driven higher by an improved economy and stronger
corporate earnings in the face of high energy prices, inflation worries and
continued interest rate increases.
CONTRIBUTORS TO AND DETRACTORS FROM PERFORMANCE:
In this environment, the Large Cap Portfolio outperformed the Russell 1000
Growth Index. Stock selection in the information technology sector contributed
most to the Portfolio's relative performance for the period. As was the case
for the quarter, the Portfolio's position in Apple Computer was the top
contributor to relative performance. The Portfolio also was helped by security
selection within the energy sector during the period. Strong global demand and
tight supplies drove prices higher, leading to strong profit growth for energy
related companies. On the flip side, the Portfolio was hurt most by its
underweighting in heath care where positions in several pharmaceutical and
biotechnology companies declined during the period. Also working against
performance was weak stock selection in the financial sector. In particular,
results were held back by the Portfolio's exposure to the insurance industry.
Insurance stocks were under pressure early in the period when the New York
State Attorney General opened an investigation into possible bid rigging. The
Portfolio's performance was also hurt by its holdings in several retail
brokerage companies that did not fare well during the year.
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 12/31/05
Percent of
Description Net Assets
-----------------------------------
Apple Computer, Inc. 3.65%
-----------------------------------
Gilead Sciences, Inc. 3.06%
-----------------------------------
Aetna, Inc. 2.95%
-----------------------------------
Hewlett-Packard Co. 2.88%
-----------------------------------
D.R. Horton, Inc. 2.83%
-----------------------------------
Johnson & Johnson 2.72%
-----------------------------------
Norfolk Southern Corp. 2.63%
-----------------------------------
Lennar Corp., Class A 2.59%
-----------------------------------
KB HOME 2.58%
-----------------------------------
Ryland Group, Inc. (The) 2.45%
-----------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION (% of portfolio market value)
As of 12/31/05
[CHART]
Non-cyclical 27.9%
Technology 26.7%
Industrials 16.1%
Cyclical 12.2%
Financials 7.3%
Basic Materials 4.7%
Energy 4.4%
Communications 0.7%
- --------------------------------------------------------------------------------
13
- --------------------------------------------------------------------------------
LARGE CAP PORTFOLIO FOR THE YEAR ENDED 12/31/05
MANAGED BY FIDELITY MANAGEMENT & RESEARCH COMPANY
LETTER TO POLICYHOLDERS (CONTINUED)
- --------------------------------------------------------------------------------
LARGE CAP PORTFOLIO MANAGED BY
FIDELITY MANAGEMENT & RESEARCH COMPANY VS. RUSSELL 1000 GROWTH INDEX/1/ AND S&P
500 INDEX/2/
Growth Based on $10,000
[CHART]
Large Cap Russell 1000 S&P 500
Portfolio Growth Index Index
--------- ------------ ---------
8/30/1996 $10,000 $10,000 $10,000
12/31/1996 11,330 13,847 11,517
12/31/1997 13,982 18,272 14,977
12/31/1998 18,966 25,233 19,951
12/31/1999 24,513 33,797 26,419
12/31/2000 20,964 26,100 23,087
12/31/2001 17,332 21,977 19,900
12/31/2002 13,382 15,698 15,405
12/31/2003 16,682 19,719 19,499
12/31/2004 17,770 21,024 20,700
12/31/2005 19,313 22,533 20,945
-----------------------------------------------------------
Average Annual Return/3/
(for the period ended 12/31/05)
-----------------------------------------------------------
1 Year 3 Year 5 Year Since Inception/4/
-----------------------------------------------------------
- -- Large Cap Portfolio 8.69% 13.01% -1.63% 7.30%
-----------------------------------------------------------
Russell 1000
- - - Growth Index/1/* 7.18% 15.21% 0.98% 9.45%
-----------------------------------------------------------
- - - S&P 500 Index/2/ 4.91% 14.38% 0.54% 8.56%
-----------------------------------------------------------
/1/The Russell 1000 Index measures the performance of the 1,000 largest
companies in the Russell 3000 Index, which represents approximately 92% of the
total market capitalization of the Russell 3000 Index. The Russell 1000 Growth
Index measures the performance of those Russell 1000 Index companies with
higher price-to-book ratios and higher forecasted growth values. The Index does
not include fees and expenses and is not available for direct investment.
/2/The S&P Index is an unmanaged index composed of 500 widely held common
stocks listed on the New York Stock Exchange, American Stock Exchange and
over-the-counter markets. The Index does not include fees and expenses and is
not available for direct investment.
*Prior to May 1, 2005 the index for the portfolio was the S&P 500 Index.
/3/"Average Annual Return" is calculated including reinvestment of all income
dividends and capital gains distributions.
/4/Inception date of Portfolio is 08/30/1996.
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 administration charges of variable annuity or
life insurance contracts. If these charges were included, the returns would be
lower.
- --------------------------------------------------------------------------------
14
- --------------------------------------------------------------------------------
MANAGED ALLOCATION SERIES: AGGRESSIVE PORTFOLIO FOR THE PERIOD ENDED 12/31/05
MANAGED BY DEUTSCHE INVESTMENT MANAGEMENT AMERICAS, INC.
LETTER TO POLICYHOLDERS
- --------------------------------------------------------------------------------
PORTFOLIO REVIEW
The Travelers Managed Allocation Aggressive Portfolio outperformed its blended
index by 46 basis points since its inception on May 2, 2005. The portfolio
returned 12.52% and the benchmark returned 12.06% for the period. The
Aggressive Blended Benchmark is 80% Russell 3000 Index and 20% MSCI EAFE.
The largest contributors to performance relative to the blended benchmark were
the Capital Appreciation Fund, Van Kampen Enterprise Portfolio, and the Style
Focus Series: Small Cap Value and Growth Portfolios. The Capital Appreciation
Fund outperformed the Russell 1000 Index by 991 basis points since May 2, 2005.
The largest detractor from performance was the Mondrian International Stock
Portfolio, Pioneer Fund Portfolio and the Large Cap Portfolio. The Mondrian
International Stock Portfolio underperformed the MSCI EAFE Index by 332 basis
point during the period.
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.
HOLDINGS BY MARKET VALUE
As of 12/31/05
Percent of
Description Net Assets
---------------------------------------------------------
Pioneer Fund Portfolio 23.52%
---------------------------------------------------------
Mondrian International Stock Portfolio 20.41%
---------------------------------------------------------
Van Kampen Enterprise Portfolio 16.46%
---------------------------------------------------------
Capital Appreciation Fund 15.47%
---------------------------------------------------------
Equity Income Portfolio 13.80%
---------------------------------------------------------
Large Cap Portfolio 3.61%
---------------------------------------------------------
Strategic Equity Portfolio 2.51%
---------------------------------------------------------
Style Focus Series: Small Cap Growth Portfolio 2.07%
---------------------------------------------------------
Style Focus Series: Small Cap Value Portfolio 1.41%
---------------------------------------------------------
Mercury Large Cap Core Portfolio 0.73%
---------------------------------------------------------
MFS Mid Cap Growth Portfolio 0.31%
---------------------------------------------------------
Disciplined Mid Cap Stock Portfolio 0.26%
---------------------------------------------------------
MFS Value Portfolio 0.11%
---------------------------------------------------------
Pioneer Mid Cap Value Portfolio 0.07%
---------------------------------------------------------
AIM Capital Appreciation Portfolio 0.05%
---------------------------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION (% of portfolio market value)
As of 12/31/05
[CHART]
Registered Investment Company 100.0%
- --------------------------------------------------------------------------------
15
- --------------------------------------------------------------------------------
MANAGED ALLOCATION SERIES: AGGRESSIVE PORTFOLIO FOR THE PERIOD ENDED 12/31/05
MANAGED BY DEUTSCHE INVESTMENT MANAGEMENT AMERICAS, INC.
LETTER TO POLICYHOLDERS (CONTINUED)
- --------------------------------------------------------------------------------
MANAGED ALLOCATION SERIES: AGGRESSIVE PORTFOLIO MANAGED BY
DEUTSCHE INVESTMENT MANAGEMENT AMERICAS, INC. VS. AGGRESSIVE BLENDED
BENCHMARK/1/, WILSHIRE 5000 STOCK INDEX/2/, AND
LEHMAN BROTHERS UNIVERSAL BOND INDEX/3/
Growth Based on $10,000
[CHART]
Managed
Allocation Series Aggressive Wilshire Lehman Brothers
Aggressive Blended 5000 Stock Universal
Portfolio Benchmark\1\ Index\2\ Bond Index\3\
----------------- ------------ ----------- ----------------
5/2/2005 $10,000 $10,000 $10,000 $10,000
12/31/2005 11,252 11,206 11,140 10,210
-----------------------------------------------------------------------
Cumulative Return/4/
(for the period ended 12/31/05)
-----------------------------------------------------------------------
Since Inception/5/
-----------------------------------------------------------------------
Managed Allocation Series:
- -- Aggressive Portfolio 12.52%
-----------------------------------------------------------------------
- - - Aggressive Blended Benchmark/1/ 12.06%
-----------------------------------------------------------------------
- - - Wilshire 5000 Stock Index/2/ 11.40%
-----------------------------------------------------------------------
- -- Lehman Brothers Universal Bond Index/3/ 2.10%
-----------------------------------------------------------------------
/1/Aggressive Blended Benchmark--Comprised of 80 % Russell 3000 Index, 20% MSCI
EAFE Index.
The Russell 3000 Index is comprised of the 3000 largest and most liquid stocks
based and traded in the U.S. The components of the Russell 3000 Index account
for roughly 98% of the total value of all equity traded on U.S. exchanges,
making this a very broad index indeed. The index is market-cap weighted, so the
largest firms have the biggest impact on the index's value. The Index does not
include fees and expenses and is not available for direct investment.
The Morgan Stanley Capital International Europe, Australasia, and Far East
Index ("MSCI EAFE Index") is an unmanaged, free float-adjusted market
capitalization index that is designed to measure developed market equity
performance, excluding the US & Canada. The Index does not include fees or
expense and is not available for direct investment.
/2/The Wilshire 5000 Equity Index measures the performance of all U.S.
headquartered equity securities with readily available price data. The index is
market capitalized weighted. Approximately 82% of the equity securities that
the Index is comprised of are listed on the New York Stock Exchange,
approximately 2% are listed on the American Stock Exchange and approximately
16% are over-the-counter securities (1995). The Index was created in 1974 and
backdated to 1971, with a base index of December 1980 (base index equals
1,044.596). Dividends are reinvested on the "ex" dividend date and the
rebalancing of share weights is done on a monthly basis. No attempt has been
made to adjust the market capitalization of the index to take into account
cross holding between corporations. The Index does not include fees or expenses
and is not available for direct investment.
/3/The Lehman Brothers U.S. Universal Bond Index represents the union of the
U.S. Aggregate Index, the U.S. High-Yield Corporate Index, the 144A Index, the
Eurodollar Index, the Emerging Markets Index, the non-EIRSA portion of the
Commercial Mortgage Backed Securities Index and the Commercial Mortgage Backed
Securities High Yield Index. Municipal debt, private placements, and non-dollar
denominated issues are excluded from the Universal Index. The only constituent
of the index that includes floating- rate debt is the Emerging Markets Index.
Bonds and securities must be fixed rate, although they can carry a coupon that
steps up or changes according to a predetermined schedule; must be
dollar-denominated and including bonds with maturities up to ten years and
long-term indices composed of bonds with maturities longer than ten years. All
returns are market value weighted inclusive of accrued interest. Yield is
defined as the yield to worst, the lesser of the yield to maturity and yield to
call. Market values are expressed in millions of dollars. The Index does not
include fees or expenses and is not available for direct investment.
/4/"Cumulative Return" is calculated including reinvestment of all income
dividends and capital gains distributions.
/5/Inception date of Portfolio is 05/01/2005.
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 administration charges of variable annuity or
life insurance contracts. If these charges were included, the returns would be
lower.
- --------------------------------------------------------------------------------
16
- --------------------------------------------------------------------------------
MANAGED ALLOCATION SERIES: CONSERVATIVE PORTFOLIO FOR THE PERIOD ENDED 12/31/05
MANAGED BY DEUTSCHE INVESTMENT MANAGEMENT AMERICAS, INC.
LETTER TO POLICYHOLDERS
- --------------------------------------------------------------------------------
PORTFOLIO REVIEW
The Managed Allocation Conservative Portfolio outperformed its blended index by
39 basis points since its inception on May 2, 2005. The portfolio returned
4.18% and the benchmark returned 3.79% for this period. The Conservative
Blended Benchmark is 16% Russell 3000 Index, 4% MSCI EAFE, 66% Lehman
Aggregate, 4% CSFB High Yield and 10% 90-Day T-Bills.
The largest contributors from the performance relative to the blended benchmark
were the Pioneer Strategic Income Portfolio, Capital Appreciation Fund and U.S.
Government Securities portfolio. The Pioneer Strategic Income Portfolio
outperformed its benchmark of the Lehman Aggregate Index by 146 basis points
during the period. The Capital Appreciation Fund outperformed the Russell 1000
Index by 991 basis points since May 2, 2005.
The Mondrian International Stock Portfolio and the Travelers Quality Bond
Portfolio detracted from to the performance of the portfolio relative to the
benchmark for the period. The Mondrian International Stock Portfolio
underperformed the MSCI EAFE Index by 332 basis point during the period.
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.
HOLDINGS BY MARKET VALUE
As of 12/31/05
Percent of
Description Net Assets
---------------------------------------------------------
Travelers Quality Bond Portfolio 27.72%
---------------------------------------------------------
U.S. Government Securities Portfolio 23.49%
---------------------------------------------------------
Pioneer Strategic Income Portfolio 13.32%
---------------------------------------------------------
Money Market Portfolio 9.98%
---------------------------------------------------------
Capital Appreciation Fund 6.77%
---------------------------------------------------------
Equity Income Portfolio 4.71%
---------------------------------------------------------
Mondrian International Stock Portfolio 4.25%
---------------------------------------------------------
Federated High Yield Portfolio 3.09%
---------------------------------------------------------
Pioneer Fund Portfolio 2.80%
---------------------------------------------------------
Convertible Securities Portfolio 1.25%
---------------------------------------------------------
High Yield Bond Trust 0.95%
---------------------------------------------------------
Van Kampen Enterprise Portfolio 0.63%
---------------------------------------------------------
Style Focus Series: Small Cap Value Portfolio 0.46%
---------------------------------------------------------
Large Cap Portfolio 0.44%
---------------------------------------------------------
Strategic Equity Portfolio 0.31%
---------------------------------------------------------
Mercury Large Cap Core Portfolio 0.20%
---------------------------------------------------------
Style Focus Series: Small Cap Growth Portfolio 0.12%
---------------------------------------------------------
MFS Mid Cap Growth Portfolio 0.10%
---------------------------------------------------------
Pioneer Mid Cap Value Portfolio 0.09%
---------------------------------------------------------
MFS Value Portfolio 0.06%
---------------------------------------------------------
Disciplined Mid Cap Stock Portfolio 0.06%
---------------------------------------------------------
AIM Capital Appreciation Portfolio 0.00%
---------------------------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION (% of portfolio market value)
As of 12/31/05
[CHART]
Registered Investment Company 100.0%
- --------------------------------------------------------------------------------
17
- --------------------------------------------------------------------------------
MANAGED ALLOCATION SERIES: CONSERVATIVE PORTFOLIO FOR THE PERIOD ENDED 12/31/05
MANAGED BY DEUTSCHE INVESTMENT MANAGEMENT AMERICAS, INC.
LETTER TO POLICYHOLDERS (CONTINUED)
- --------------------------------------------------------------------------------
MANAGED ALLOCATION SERIES: CONSERVATIVE PORTFOLIO MANAGED BY
DEUTSCHE INVESTMENT MANAGEMENT AMERICAS, INC. VS.
CONSERVATIVE BLENDED BENCHMARK/1/, WILSHIRE 5000 STOCK INDEX/2/,
AND LEHMAN BROTHERS UNIVERSAL BOND INDEX/3/
Growth Based on $10,000
[CHART]
[CHART]
Managed
Allocation Series Conservative Wilshire Lehman Brothers
Conservative Blended 5000 Stock Universal
Portfolio Benchmark\1\ Index\2\ Bond Index\3\
---------------- -------------- ------------ --------------
5/2/2005 $10,000 $10,000 $10,000 $10,000
12/31/2005 10,418 10,379 11,140 10,210
-----------------------------------------------------------------
Cumulative Return/4/
(for the period ended 12/31/05)
-----------------------------------------------------------------
Since Inception/5/
-----------------------------------------------------------------
Managed Allocation Series:
- -- Conservative Portfolio 4.18%
-----------------------------------------------------------------
- - - Conservative Blended Benchmark/1/ 3.79%
-----------------------------------------------------------------
- - - Wilshire 5000 Stock Index/2/ 11.40%
-----------------------------------------------------------------
Lehman Brothers Universal Bond
- -- Index/3/ 2.10%
-----------------------------------------------------------------
/1/Conservative Blended Benchmark--Comprised 16% Russell 3000 Index, 4% MSCI
EAFE Index, 66% Lehman Aggregate Index, 4% Credit Suisse First Boston High
Yield Index, and 10% Citigroup 3-Month Treasury Bill Index.
The Russell 3000 Index is comprised of the 3000 largest and most liquid stocks
based and traded in the U.S. The components of the Russell 3000 Index account
for roughly 98% of the total value of all equity traded on U.S. exchanges,
making this a very broad index indeed. The index is market-cap weighted, so the
largest firms have the biggest impact on the index's value. The Index does not
include fees and expenses and is not available for direct investment.
The Morgan Stanley Capital International Europe, Australasia, and Far East
Index ("MSCI EAFE Index") is an unmanaged, free float-adjusted market
capitalization index that is designed to measure developed market equity
performance, excluding the US & Canada. The Index does not include fees or
expense and is not available for direct investment.
The Lehman Brothers Aggregate Bond Index, an unmanaged index, is composed of
the Lehman Brothers Intermediate Government/Credit Bond Index, formerly known
as the Lehman Brothers Intermediate Government/Corporate Bond Index, and the
Mortgage Backed Securities Index and includes treasury issues, agency issues,
corporate bond issues and mortgage-backed securities. The Index does not
include fees and expenses and is not available for direct investment.
The Credit Suisse First Boston High Yield Index is an unmanaged index
representative of lower rated debt, including straight-preferred stocks. The
Index does not include fees or expenses and is not available for direct
investment.
The Citigroup 3-Month Treasury Bill Index--equal dollar amounts of three- month
Treasury Bills are purchased at the beginning of each of three consecutive
months. As each bill matures, all proceeds are rolled over or reinvested in a
new three-month bill. The income used to calculate the monthly return is
derived by subtracting the original amount invested from the maturity value.
The Index does not include fees or expenses and is not available for direct
investment.
/2/ The Wilshire 5000 Equity Index measures the performance of all U.S.
headquartered equity securities with readily available price data. The index is
market capitalized weighted. Approximately 82% of the equity securities that
the Index is comprised of are listed on the New York Stock Exchange,
approximately 2% are listed on the American Stock Exchange and approximately
16% are over-the-counter securities (1995). The Index was created in 1974 and
backdated to 1971, with a base index of December 1980 (base index equals
1,044.596). Dividends are reinvested on the "ex" dividend
- --------------------------------------------------------------------------------
18
- --------------------------------------------------------------------------------
MANAGED ALLOCATION SERIES: CONSERVATIVE PORTFOLIO FOR THE PERIOD ENDED 12/31/05
MANAGED BY DEUTSCHE INVESTMENT MANAGEMENT AMERICAS, INC.
LETTER TO POLICYHOLDERS (CONTINUED)
- --------------------------------------------------------------------------------
date and the rebalancing of share weights is done on a monthly basis. No
attempt has been made to adjust the market capitalization of the index to take
into account cross holding between corporations. The Index does not include
fees or expenses and is not available for direct investment.
/3/ The Lehman Brothers U.S. Universal Bond Index represents the union of the
U.S. Aggregate Index, the U.S. High-Yield Corporate Index, the 144A Index, the
Eurodollar Index, the Emerging Markets Index, the non-EIRSA portion of the
Commercial Mortgage Backed Securities Index and the Commercial Mortgage Backed
Securities High Yield Index. Municipal debt, private placements, and non-dollar
denominated issues are excluded from the Universal Index. The only constituent
of the index that includes floating- rate debt is the Emerging Markets Index.
Bonds and securities must be fixed rate, although they can carry a coupon that
steps up or changes according to a predetermined schedule; must be
dollar-denominated and including bonds with maturities up to ten years and
long-term indices composed of bonds with maturities longer than ten years. All
returns are market value weighted inclusive of accrued interest. Yield is
defined as the yield to worst, the lesser of the yield to maturity and yield to
call. Market values are expressed in millions of dollars. The Index does not
include fees or expenses and is not available for direct investment.
/4/"Cumulative Return" is calculated including reinvestment of all income
dividends and capital gains distributions.
/5/Inception date of Portfolio is 05/01/2005.
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 administration charges of variable annuity or
life insurance contracts. If these charges were included, the returns would be
lower.
- --------------------------------------------------------------------------------
19
- --------------------------------------------------------------------------------
MANAGED ALLOCATION SERIES: MODERATE PORTFOLIO FOR THE PERIOD ENDED 12/31/05
MANAGED BY DEUTSCHE INVESTMENT MANAGEMENT AMERICAS, INC.
LETTER TO POLICYHOLDERS
- --------------------------------------------------------------------------------
PORTFOLIO REVIEW
The Managed Allocation Moderate Portfolio outperformed its blended index by 71
basis points since its inception on May 2, 2005. The portfolio returned 8.60%
and the benchmark returned 7.89% for the period. The Moderate Blended Benchmark
is 48% Russell 3000 Index, 12% MSCI EAFE Index, 33% Lehman Aggregate Index, 2%
CSFB High Yield Index and 5% 90-Day T-Bills.
The largest contributors to performance relative to the blended benchmark were
the Capital Appreciation Fund, Large Cap Portfolio, Pioneer Strategic Income
Portfolio, and Convertible Bond Portfolio. The Capital Appreciation Fund
outperformed the Russell 1000 Index by 991 basis points since May 2, 2005. The
Large Cap Portfolio outperformed the Russell 1000 Growth Index by 368 basis
points for the period. The Pioneer Strategic Income Portfolio outperformed its
benchmark of the Lehman Aggregate Index by 146 basis points during the period.
The largest detractor from performance was the Mondrian International Stock
Portfolio and the Pioneer Fund Portfolio. The Mondrian International Stock
Portfolio underperformed the MSCI EAFE Index by 332 basis point during the
period.
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.
HOLDINGS BY MARKET VALUE
As of 12/31/05
Percent of
Description Net Assets
---------------------------------------------------------
Pioneer Fund Portfolio 15.18%
---------------------------------------------------------
U.S. Government Securities Portfolio 12.68%
---------------------------------------------------------
Mondrian International Stock Portfolio 12.30%
---------------------------------------------------------
Capital Appreciation Fund 11.31%
---------------------------------------------------------
Pioneer Strategic Income Portfolio 10.30%
---------------------------------------------------------
Equity Income Portfolio 8.55%
---------------------------------------------------------
Travelers Quality Bond Portfolio 6.09%
---------------------------------------------------------
Large Cap Portfolio 5.50%
---------------------------------------------------------
Money Market Portfolio 4.85%
---------------------------------------------------------
Van Kampen Enterprise Portfolio 4.31%
---------------------------------------------------------
Convertible Securities Portfolio 3.04%
---------------------------------------------------------
Federated High Yield Portfolio 1.74%
---------------------------------------------------------
Strategic Equity Portfolio 1.24%
---------------------------------------------------------
Mercury Large Cap Core Portfolio 0.64%
---------------------------------------------------------
Style Focus Series: Small Cap Value Portfolio 0.56%
---------------------------------------------------------
Style Focus Series: Small Cap Growth Portfolio 0.50%
---------------------------------------------------------
High Yield Bond Trust 0.22%
---------------------------------------------------------
MFS Value Portfolio 0.20%
---------------------------------------------------------
AIM Capital Appreciation Portfolio 0.18%
---------------------------------------------------------
MFS Mid Cap Growth Portfolio 0.17%
---------------------------------------------------------
Disciplined Mid Cap Stock Portfolio 0.07%
---------------------------------------------------------
Pioneer Mid Cap Value Portfolio 0.02%
---------------------------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION (% of portfolio market value)
As of 12/31/05
LOGO
- --------------------------------------------------------------------------------
20
- --------------------------------------------------------------------------------
MANAGED ALLOCATION SERIES: MODERATE PORTFOLIO FOR THE PERIOD ENDED 12/31/05
MANAGED BY DEUTSCHE INVESTMENT MANAGEMENT AMERICAS, INC.
LETTER TO POLICYHOLDERS (CONTINUED)
- --------------------------------------------------------------------------------
MANAGED ALLOCATION SERIES: MODERATE PORTFOLIO MANAGED BY
DEUTSCHE INVESTMENT MANAGEMENT AMERICAS, INC. VS. MODERATE BLENDED
BENCHMARK/1/, WILSHIRE 5000 STOCK INDEX/2/
AND LEHMAN BROTHERS UNIVERSAL BOND INDEX/3/
Growth Based on $10,000
[CHART]
Managed
Allocation Series: Moderate Wilshire Lehman Brothers
Moderate Blended 5000 Stock Universal
Portfolio Benchmark\1\ Index\2\ Bond Index\3\
---------------- ---------- ---------- -------------
5/2/2005 $10,000 $10,000 $10,000 $10,000
12/31/2005 10,860 10,789 11,140 10,210
-------------------------------------------------------------------
Cumulative Return/4/
(for the period ended 12/31/05)
-------------------------------------------------------------------
Since Inception/5/
-------------------------------------------------------------------
Managed Allocation Series: Moderate
- -- Portfolio 8.60%
-------------------------------------------------------------------
- - - Moderate Blended Benchmark/1/ 7.89%
-------------------------------------------------------------------
- - - Wilshire 5000 Stock Index/2/ 11.40%
-------------------------------------------------------------------
Lehman Brothers Universal Bond
- -- Index/3/ 2.10%
-------------------------------------------------------------------
/1/Moderate Blended Benchmark--Comprised of 48% Russell 3000 Index, 12% MSCI
EAFE Index, 33% Lehman Aggregate Index, 2% Credit Suisse First Boston Index,
and 5% Citigroup 3-Month Treasury Bill Index.
The Russell 3000 Index is comprised of the 3000 largest and most liquid stocks
based and traded in the U.S. The components of the Russell 3000 Index account
for roughly 98% of the total value of all equity traded on U.S. exchanges,
making this a very broad index indeed. The index is market-cap weighted, so the
largest firms have the biggest impact on the index's value. The Index does not
include fees and expenses and is not available for direct investment.
The Morgan Stanley Capital International Europe, Australasia, and Far East
Index ("MSCI EAFE Index") is an unmanaged, free float-adjusted market
capitalization index that is designed to measure developed market equity
performance, excluding the US & Canada. The Index does not include fees or
expense and is not available for direct investment.
The Lehman Brothers Aggregate Bond Index, an unmanaged index, is composed of
the Lehman Brothers Intermediate Government/Credit Bond Index, formerly known
as the Lehman Brothers Intermediate Government/Corporate Bond Index, and the
Mortgage Backed Securities Index and includes treasury issues, agency issues,
corporate bond issues and mortgage-backed securities. The Index does not
include fees and expenses and is not available for direct investment.
The Credit Suisse First Boston High Yield Index is an unmanaged index
representative of lower rated debt, including straight-preferred stocks. The
Index does not include fees or expenses and is not available for direct
investment.
The Citigroup 3-Month Treasury Bill Index--equal dollar amounts of three- month
Treasury Bills are purchased at the beginning of each of three consecutive
months. As each bill matures, all proceeds are rolled over or reinvested in a
new three-month bill. The income used to calculate the monthly return is
derived by subtracting the original amount invested from the maturity value.
The Index does not include fees or expenses and is not available for direct
investment.
/2/ The Wilshire 5000 Equity Index measures the performance of all U.S.
headquartered equity securities with readily available price data. The index is
market capitalized weighted. Approximately 82% of the equity securities that
the Index is comprised of are listed on the New York Stock Exchange,
approximately 2% are listed on the American Stock Exchange and approximately
16% are over-the-counter securities (1995). The Index was created in 1974 and
backdated to 1971, with a base index of December 1980
- --------------------------------------------------------------------------------
21
- --------------------------------------------------------------------------------
MANAGED ALLOCATION SERIES: MODERATE PORTFOLIO FOR THE PERIOD ENDED 12/31/05
MANAGED BY DEUTSCHE INVESTMENT MANAGEMENT AMERICAS, INC.
LETTER TO POLICYHOLDERS (CONTINUED)
- --------------------------------------------------------------------------------
(base index equals1,044.596). Dividends are reinvested on the "ex" dividend
date and the rebalancing of share weights is done on a monthly basis. No
attempt has been made to adjust the market capitalization of the index to take
into account cross holding between corporations. The Index does not include
fees or expenses and is not available for direct investment.
/3/ The Lehman Brothers U.S. Universal Bond Index represents the union of the
U.S. Aggregate Index, the U.S. High-Yield Corporate Index, the 144A Index, the
Eurodollar Index, the Emerging Markets Index, the non-EIRSA portion of the
Commercial Mortgage Backed Securities Index and the Commercial Mortgage Backed
Securities High Yield Index. Municipal debt, private placements, and non-dollar
denominated issues are excluded from the Universal Index. The only constituent
of the index that includes floating- rate debt is the Emerging Markets Index.
Bonds and securities must be fixed rate, although they can carry a coupon that
steps up or changes according to a predetermined schedule; must be
dollar-denominated and including bonds with maturities up to ten years and
long-term indices composed of bonds with maturities longer than ten years. All
returns are market value weighted inclusive of accrued interest. Yield is
defined as the yield to worst, the lesser of the yield to maturity and yield to
call. Market values are expressed in millions of dollars. The Index does not
include fees or expenses and is not available for direct investment.
/4/"Cumulative Return" is calculated including reinvestment of all income
dividends and capital gains distributions.
/5/Inception date of Portfolio is 05/01/2005.
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 administration charges of variable annuity or
life insurance contracts. If these charges were included, the returns would be
lower.
- --------------------------------------------------------------------------------
22
- --------------------------------------------------------------------------------
MANAGED ALLOCATION SERIES: MODERATE-AGGRESSIVE PORTFOLIO
FOR THE PERIOD ENDED 12/31/05
MANAGED BY DEUTSCHE INVESTMENT MANAGEMENT AMERICAS, INC.
LETTER TO POLICYHOLDERS
- --------------------------------------------------------------------------------
PORTFOLIO REVIEW
The Managed Allocation Moderate-Aggressive Portfolio outperformed its blended
index by 80 basis points since its inception on May 2, 2005. The portfolio
returned 9.77% and the benchmark returned 8.97% for the period. The
Moderate-Aggressive Blended Benchmark is 55% Russell 3000 Index, 15% MSCI EAFE
Index, 24% Lehman Aggregate Index, 1% CSFB High Yield Index and 5% 90 Day
T-Bills.
The largest contributors to performance relative to the blended benchmark were
the Capital Appreciation Fund, Large Cap Portfolio, Van Kampen Enterprise
Portfolio, Pioneer Strategic Income Portfolio, and the Convertible Bond
Portfolio. The Capital Appreciation Fund outperformed the Russell 1000 Index by
991 basis points since May 2, 2005. The Large Cap Portfolio outperformed the
Russell 1000 Growth Index by 368 basis points for the period. The Pioneer
Strategic Income Portfolio outperformed its benchmark of the Lehman Aggregate
Index by 146 basis points during the period.
The largest detractor from performance was the Mondrian International Stock
Portfolio, Pioneer Fund Portfolio, and Equity Income Portfolio. The Mondrian
International Stock Portfolio underperformed the MSCI EAFE Index by 332 basis
point during the period.
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.
HOLDINGS BY MARKET VALUE
As of 12/31/05
Percent of
Description Net Assets
---------------------------------------------------------
Pioneer Fund Portfolio 17.48%
---------------------------------------------------------
Mondrian International Stock Portfolio 15.37%
---------------------------------------------------------
Capital Appreciation Fund 12.88%
---------------------------------------------------------
Pioneer Strategic Income Portfolio 10.21%
---------------------------------------------------------
Equity Income Portfolio 9.87%
---------------------------------------------------------
Van Kampen Enterprise Portfolio 7.50%
---------------------------------------------------------
U.S. Government Securities Portfolio 6.70%
---------------------------------------------------------
Large Cap Portfolio 5.22%
---------------------------------------------------------
Money Market Portfolio 4.84%
---------------------------------------------------------
Travelers Quality Bond Portfolio 3.53%
---------------------------------------------------------
Convertible Securities Portfolio 2.91%
---------------------------------------------------------
Strategic Equity Portfolio 1.18%
---------------------------------------------------------
Federated High Yield Portfolio 0.83%
---------------------------------------------------------
Style Focus Series: Small Cap Growth Portfolio 0.42%
---------------------------------------------------------
Style Focus Series: Small Cap Value Portfolio 0.23%
---------------------------------------------------------
Mercury Large Cap Core Portfolio 0.23%
---------------------------------------------------------
MFS Value Portfolio 0.16%
---------------------------------------------------------
High Yield Bond Trust 0.15%
---------------------------------------------------------
Disciplined Mid Cap Stock Portfolio 0.13%
---------------------------------------------------------
MFS Mid Cap Growth Portfolio 0.12%
---------------------------------------------------------
Pioneer Mid Cap Value Portfolio 0.03%
---------------------------------------------------------
AIM Capital Appreciation Portfolio 0.01%
---------------------------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION (% of portfolio market value)
As of 12/31/05
[CHART]
Registered Investment Company 100.0%
- --------------------------------------------------------------------------------
23
- --------------------------------------------------------------------------------
MANAGED ALLOCATION SERIES: MODERATE-AGGRESSIVE PORTFOLIO
FOR THE PERIOD ENDED 12/31/05
MANAGED BY DEUTSCHE INVESTMENT MANAGEMENT AMERICAS, INC.
LETTER TO POLICYHOLDERS (CONTINUED)
- --------------------------------------------------------------------------------
MANAGED ALLOCATION SERIES: MODERATE-AGGRESSIVE PORTFOLIO MANAGED BY
DEUTSCHE INVESTMENT MANAGEMENT AMERICAS, INC. VS. MODERATE-AGGRESSIVE BLENDED
BENCHMARK/1/, WILSHIRE 5000 STOCK INDEX/2/
AND LEHMAN BROTHERS UNIVERSAL BOND INDEX/3/
Growth Based on $10,000
[CHART]
Managed Moderate-
Allocation Series: Aggressive Wilshire Lehman Brothers
Moderate-Aggressive Blended 5000 Stock Universal
Portfolio Benchmark\1\ Index\2\ Bond Index\3\
---------------- ---------- ---------- -------------
5/2/2005 $10,000 $10,000 $10,000 $10,000
12/31/2005 10,977 10,897 11,140 10,210
--------------------------------------------------------------------
Cumulative Return/4/
(for the period ended 12/31/05)
--------------------------------------------------------------------
Since Inception/5/
--------------------------------------------------------------------
Managed Allocation Series: Moderate-
- -- Aggressive Portfolio 9.77%
--------------------------------------------------------------------
Moderate-Aggressive Blended
- - - Benchmark/1/ 8.97%
--------------------------------------------------------------------
- - - Wilshire 5000 Stock Index/2/ 11.40%
--------------------------------------------------------------------
Lehman Brothers Universal Bond
- -- Index/3/ 2.10%
--------------------------------------------------------------------
/1/Moderate-Aggressive Blended Benchmark--Comprised of 55% Russell 3000 Index,
15% MSCI EAFE Index, 24% Lehman Aggregate Index, 1% Credit Suisse First Boston
Index, and 5% Citigroup 3-Month Treasury Bill Index.
The Russell 3000 Index is comprised of the 3000 largest and most liquid stocks
based and traded in the U.S. The components of the Russell 3000 Index account
for roughly 98% of the total value of all equity traded on U.S. exchanges,
making this a very broad index indeed. The index is market-cap weighted, so the
largest firms have the biggest impact on the index's value. The Index does not
include fees and expenses and is not available for direct investment.
The Morgan Stanley Capital International Europe, Australasia, and Far East
Index ("MSCI EAFE Index") is an unmanaged, free float-adjusted market
capitalization index that is designed to measure developed market equity
performance, excluding the US & Canada. The Index does not include fees or
expense and is not available for direct investment.
The Lehman Brothers Aggregate Bond Index, an unmanaged index, is composed of
the Lehman Brothers Intermediate Government/Credit Bond Index, formerly known
as the Lehman Brothers Intermediate Government/Corporate Bond Index, and the
Mortgage Backed Securities Index and includes treasury issues, agency issues,
corporate bond issues and mortgage-backed securities. The Index does not
include fees and expenses and is not available for direct investment.
The Credit Suisse First Boston High Yield Index is an unmanaged index
representative of lower rated debt, including straight-preferred stocks. The
Index does not include fees or expenses and is not available for direct
investment.
The Citigroup 3-Month Treasury Bill Index--equal dollar amounts of three- month
Treasury Bills are purchased at the beginning of each of three consecutive
months. As each bill matures, all proceeds are rolled over or reinvested in a
new three-month bill. The income used to calculate the monthly return is
derived by subtracting the original amount invested from the maturity value.
The Index does not include fees or expenses and is not available for direct
investment.
/2/The Wilshire 5000 Equity Index measures the performance of all U.S.
headquartered equity securities with readily available price data. The index is
market capitalized weighted. Approximately 82% of the equity securities that
the Index is comprised of are listed on the New York Stock Exchange,
approximately 2% are listed on the American Stock Exchange and approximately
16% are over-the-counter securities (1995). The Index was created in 1974 and
backdated to 1971, with a base index of December 1980
- --------------------------------------------------------------------------------
24
- --------------------------------------------------------------------------------
MANAGED ALLOCATION SERIES: MODERATE-AGGRESSIVE PORTFOLIO
FOR THE PERIOD ENDED 12/31/05
MANAGED BY DEUTSCHE INVESTMENT MANAGEMENT AMERICAS, INC.
LETTER TO POLICYHOLDERS (CONTINUED)
- --------------------------------------------------------------------------------
(base index equals 1,044.596). Dividends are reinvested on the "ex" dividend
date and the rebalancing of share weights is done on a monthly basis. No
attempt has been made to adjust the market capitalization of the index to take
into account cross holding between corporations. The Index does not include
fees or expenses and is not available for direct investment.
/3/The Lehman Brothers U.S. Universal Bond Index represents the union of the
U.S. Aggregate Index, the U.S. High-Yield Corporate Index, the 144A Index, the
Eurodollar Index, the Emerging Markets Index, the non-EIRSA portion of the
Commercial Mortgage Backed Securities Index and the Commercial Mortgage Backed
Securities High Yield Index. Municipal debt, private placements, and non-dollar
denominated issues are excluded from the Universal Index. The only constituent
of the index that includes floating- rate debt is the Emerging Markets Index.
Bonds and securities must be fixed rate, although they can carry a coupon that
steps up or changes according to a predetermined schedule; must be
dollar-denominated and including bonds with maturities up to ten years and
long-term indices composed of bonds with maturities longer than ten years. All
returns are market value weighted inclusive of accrued interest. Yield is
defined as the yield to worst, the lesser of the yield to maturity and yield to
call. Market values are expressed in millions of dollars. The Index does not
include fees or expenses and is not available for direct investment.
/4/"Cumulative Return" is calculated including reinvestment of all income
dividends and capital gains distributions.
/5/Inception date of Portfolio is 05/01/2005.
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 administration charges of variable annuity or
life insurance contracts. If these charges were included, the returns would be
lower.
- --------------------------------------------------------------------------------
25
- --------------------------------------------------------------------------------
MANAGED ALLOCATION SERIES: MODERATE-CONSERVATIVE PORTFOLIO
FOR THE PERIOD ENDED 12/31/05
MANAGED BY DEUTSCHE INVESTMENT MANAGEMENT AMERICAS, INC.
LETTER TO POLICYHOLDERS
- --------------------------------------------------------------------------------
PORTFOLIO REVIEW
The Managed Allocation Moderate-Conservative Portfolio outperformed its blended
index by 51 basis points since its inception on May 2, 2005. The portfolio
returned 6.32% and the benchmark returned 5.81% for the period. The
Moderate-Conservative Blended Benchmark is 32% Russell 3000 Index, 8% MSCI EAFE
Index, 52% Lehman Aggregate Index, 3% CSFB High Yield Index, and 5% 90 Day
T-Bills.
The largest contributors to performance relative to the blended benchmark were
the Capital Appreciation Fund, the Large Cap Portfolio, and the Pioneer
Strategic Income Portfolio. The Pioneer Strategic Income Portfolio outperformed
its benchmark of the Lehman Aggregate Index by 146 basis points during the
period. The Capital Appreciation Fund outperformed the Russell 1000 Index by
991 basis points since May 2, 2005. The Large Cap Portfolio outperformed the
Russell 1000 Growth Index by 368 basis points for the period.
The largest detractor from performance was the Mondrian International Stock
Portfolio, the Pioneer Fund Portfolio, Equity Income Portfolio, and Travelers
Quality Bond Portfolio. The Mondrian International Stock Portfolio
underperformed the MSCI EAFE Index by 332 basis point during the period.
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.
HOLDINGS BY MARKET VALUE
As of 12/31/05
Percent of
Description Net Assets
- -------------------------------------------------------------------------------------------
U.S. Government Securities Portfolio 19.46%
- -------------------------------------------------------------------------------------------
Travelers Quality Bond Portfolio 18.87%
- -------------------------------------------------------------------------------------------
Pioneer Strategic Income Portfolio 10.49%
- -------------------------------------------------------------------------------------------
Pioneer Fund Portfolio 9.98%
- -------------------------------------------------------------------------------------------
Capital Appreciation Fund 8.98%
- -------------------------------------------------------------------------------------------
Mondrian International Stock Portfolio 8.42%
- -------------------------------------------------------------------------------------------
Equity Income Portfolio 6.42%
- -------------------------------------------------------------------------------------------
Money Market Portfolio 4.88%
- -------------------------------------------------------------------------------------------
Large Cap Portfolio 3.64%
- -------------------------------------------------------------------------------------------
Federated High Yield Portfolio 2.38%
- -------------------------------------------------------------------------------------------
Convertible Securities Portfolio 2.26%
- -------------------------------------------------------------------------------------------
Van Kampen Enterprise Portfolio 1.41%
- -------------------------------------------------------------------------------------------
Strategic Equity Portfolio 1.04%
- -------------------------------------------------------------------------------------------
High Yield Bond Trust 0.62%
- -------------------------------------------------------------------------------------------
Style Focus Series: Small Cap Value Portfolio 0.62%
- -------------------------------------------------------------------------------------------
Mercury Large Cap Core Portfolio 0.42%
- -------------------------------------------------------------------------------------------
Style Focus Series: Small Cap Growth Portfolio 0.36%
- -------------------------------------------------------------------------------------------
MFS Mid Cap Growth Portfolio 0.18%
- -------------------------------------------------------------------------------------------
Disciplined Mid Cap Stock Portfolio 0.14%
- -------------------------------------------------------------------------------------------
Pioneer Mid Cap Value Portfolio 0.14%
- -------------------------------------------------------------------------------------------
AIM Capital Appreciation Portfolio 0.11%
- -------------------------------------------------------------------------------------------
MFS Value Portfolio 0.06%
- -------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION (% of portfolio market value)
As of 12/31/05
LOGO
- --------------------------------------------------------------------------------
26
- --------------------------------------------------------------------------------
MANAGED ALLOCATION SERIES: MODERATE-CONSERVATIVE PORTFOLIO
FOR THE PERIOD ENDED 12/31/05
MANAGED BY DEUTSCHE INVESTMENT MANAGEMENT AMERICAS, INC.
LETTER TO POLICYHOLDERS (CONTINUED)
- --------------------------------------------------------------------------------
MANAGED ALLOCATION SERIES: MODERATE-CONSERVATIVE PORTFOLIO MANAGED BY
DEUTSCHE INVESTMENT MANAGEMENT AMERICAS, INC. VS. MODERATE CONSERVATIVE BLENDED
BENCHMARK/1/, WILSHIRE 5000 STOCK INDEX/2/
AND LEHMAN BROTHERS UNIVERSAL BOND INDEX/3/
Growth Based on $10,000
[CHART]
Managed Moderate
Allocation Series: Conservative Wilshire Lehman Brothers
Moderate-Conservative Blended 5000 Stock Universal
Portfolio Benchmark\1\ Index\2\ Bond Index\3\
---------------- ---------- ---------- -------------
5/2/2005 $10,000 $10,000 $10,000 $10,000
12/31/2005 10,632 10,581 11,140 10,210
--------------------------------------------------------------------
Cumulative Return/4/
(for the period ended 12/31/05)
--------------------------------------------------------------------
Since Inception/5/
--------------------------------------------------------------------
Managed Allocation Series: Moderate-
- -- Conservative Portfolio 6.32%
--------------------------------------------------------------------
Moderate Conservative Blended
- - - Benchmark/1/ 5.81%
--------------------------------------------------------------------
- - - Wilshire 5000 Stock Index/2/ 11.40%
--------------------------------------------------------------------
Lehman Brothers Universal Bond
- -- Index/3/ 2.10%
--------------------------------------------------------------------
/1/Moderate Conservative Blended Benchmark--Comprised of 32% Russell 3000, 8%
MSCI EAFE, 52% Lehman Aggregate, 3% Credit Suisse First Boston, and 5%
Citigroup 3-Month Treasury Bill Index.
The Russell 3000 Index is comprised of the 3000 largest and most liquid stocks
based and traded in the U.S. The components of the Russell 3000 Index account
for roughly 98% of the total value of all equity traded on U.S. exchanges,
making this a very broad index indeed. The index is market-cap weighted, so the
largest firms have the biggest impact on the index's value. The Index does not
include fees and expenses and is not available for direct investment.
The Morgan Stanley Capital International Europe, Australasia, and Far East
Index ("MSCI EAFE Index") is an unmanaged, free float-adjusted market
capitalization index that is designed to measure developed market equity
performance, excluding the US & Canada. The Index does not include fees or
expense and is not available for direct investment.
The Lehman Brothers Aggregate Bond Index, an unmanaged index, is composed of
the Lehman Brothers Intermediate Government/Credit Bond Index, formerly known
as the Lehman Brothers Intermediate Government/ Corporate Bond Index, and the
Mortgage Backed Securities Index and includes treasury issues, agency issues,
corporate bond issues and mortgage-backed securities. The Index does not
include fees and expenses and is not available for direct investment.
The Credit Suisse First Boston High Yield Index is an unmanaged index
representative of lower rated debt, including straight-preferred stocks. The
Index does not include fees or expenses and is not available for direct
investment.
The Citigroup 3-Month Treasury Bill Index--equal dollar amounts of three- month
Treasury Bills are purchased at the beginning of each of three consecutive
months. As each bill matures, all proceeds are rolled over or reinvested in a
new three-month bill. The income used to calculate the monthly return is
derived by subtracting the original amount invested from the maturity value.
The Index does not include fees or expenses and is not available for direct
investment.
/2/The Wilshire 5000 Equity Index measures the performance of all U.S.
headquartered equity securities with readily available price data. The index is
market capitalized weighted. Approximately 82% of the equity securities that
the Index is comprised of are listed on the New York Stock Exchange,
approximately 2% are listed on the American Stock Exchange and approximately
16% are over-the-counter securities (1995). The Index was created in 1974 and
backdated to 1971, with a base index of December 1980
- --------------------------------------------------------------------------------
27
- --------------------------------------------------------------------------------
MANAGED ALLOCATION SERIES: MODERATE-CONSERVATIVE PORTFOLIO
FOR THE PERIOD ENDED 12/31/05
MANAGED BY DEUTSCHE INVESTMENT MANAGEMENT AMERICAS, INC.
LETTER TO POLICYHOLDERS (CONTINUED)
- --------------------------------------------------------------------------------
(base index equals 1,044.596). Dividends are reinvested on the "ex" dividend
date and the rebalancing of share weights is done on a monthly basis. No
attempt has been made to adjust the market capitalization of the index to take
into account cross holding between corporations. The Index does not include
fees or expenses and is not available for direct investment.
/3/The Lehman Brothers U.S. Universal Bond Index represents the union of the
U.S. Aggregate Index, the U.S. High-Yield Corporate Index, the 144A Index, the
Eurodollar Index, the Emerging Markets Index, the non-EIRSA portion of the
Commercial Mortgage Backed Securities Index and the Commercial Mortgage Backed
Securities High Yield Index. Municipal debt, private placements, and non-dollar
denominated issues are excluded from the Universal Index. The only constituent
of the index that includes floating- rate debt is the Emerging Markets Index.
Bonds and securities must be fixed rate, although they can carry a coupon that
steps up or changes according to a predetermined schedule; must be
dollar-denominated and including bonds with maturities up to ten years and
long-term indices composed of bonds with maturities longer than ten years. All
returns are market value weighted inclusive of accrued interest. Yield is
defined as the yield to worst, the lesser of the yield to maturity and yield to
call. Market values are expressed in millions of dollars. The Index does not
include fees or expenses and is not available for direct investment.
/4/"Cumulative Return" is calculated including reinvestment of all income
dividends and capital gains distributions.
/5/Inception date of Portfolio is 05/01/2005.
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 administration charges of variable annuity or
life insurance contracts. If these charges were included, the returns would be
lower.
- --------------------------------------------------------------------------------
28
- --------------------------------------------------------------------------------
MERCURY LARGE CAP CORE PORTFOLIO FOR THE YEAR ENDED 12/31/05
MANAGED BY MERRILL LYNCH INVESTMENT MANAGERS, L.P.
(FORMERLY MERRILL LYNCH LARGE CAP CORE PORTFOLIO)
LETTER TO POLICYHOLDERS
- --------------------------------------------------------------------------------
PERFORMANCE SUMMARY
The Mercury Large Cap Core Portfolio outperformed the unmanaged Russell 1000
Index for both the year-ending 2005 and since inception (May 1998) returning
12.04% versus the index's 6.26% for the year and 1.56% versus the index's 4.02%
since inception.
For the year-ending 2005, strong performance was largely attributable to good
stock selection, particularly in the Financials and Health Care sectors.
Diversified financial services and insurance companies and health care
providers and equipment & supplies performed well and boosted returns. The
combination of our stock selection and overweighting of the Energy sector,
particularly in oil and gas fuels, enhanced returns and contributed 483 basis
points to the Portfolio's absolute return. On an individual security basis, the
largest contributors to return included Valero Energy, Apple Computer,
Burlington Resources, Sunoco and Express Scripts. Negative contributors to
return were Cree, Ford Motor, YRC Worldwide, Dell and Mercury Interactive.
Additionally, not owning Verizon Communications and Fannie Mae boosted
performance, as these were the largest negative contributors in the benchmark.
PORTFOLIO STRATEGY
During the year, we significantly increased our exposure to Health Care, Energy
and Technology and reduced our weightings in Consumer Discretionary,
Industrials, Materials and Utilities. The largest purchases for the period
included Exxon Mobil, Best Buy, Amgen, Cisco Systems and UnitedHealth Group.
The largest sales included Home Depot, TXU, Monsanto, Williams Companies and
PacifiCare Health Systems.
MARKET COMMENTARY
Because the Portfolio invests in large-capitalization stocks that represent a
significant part of the U.S. stock market, its portfolio was influenced by the
same economic and market events that affected the broader stock market during
the period. After posting impressive gains in the fourth quarter of 2004, the
major equity indexes struggled to find their footing in the early months of
2005. The rally that followed the conclusion of the presidential election in
2004 was hampered by concerns over inflation, a weak U.S. dollar and continuing
"measured" short-term interest rate increases by the Federal Reserve Board, who
have raised rates 13 consecutive times since June 2004. Energy prices,
particularly crude oil and natural gas, fluctuated as production disruptions
related to the hurricanes in the Gulf region pushed the price of crude oil to
record highs and produced a large spike in gasoline prices for consumers in
September. However, by November energy prices were declining and the U.S.
economy showed its resiliency as reports involving manufacturing, new-housing
starts and corporate and consumer spending were positive. Additionally, Gross
Domestic Product (GDP) growth exceeded 3% for the tenth straight quarter, the
longest unbroken streak since a 13-quarter run that ended in March 1986.
OUTLOOK & STRATEGY
For some time now, we have enjoyed the benefits of a pro-cyclical bias in the
portfolio--a focus we maintained throughout the reporting period. Our stock
selection process continues to lead us to sectors and stocks positioned to
benefit most in an improving economy.
Overall, we continue to identify companies with favorable growth
characteristics and earnings developments that sell at attractive relative
valuations. As a result of our bottom-up process, we increased the Portfolio's
positions in Healthcare, Energy and Technology, and reduced the Portfolio's
exposure to Financials, Consumer Staples and Consumer Discretionary.
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 12/31/05
Percent of
Description Net Assets
-----------------------------------
Exxon Mobile Corp. 3.78%
-----------------------------------
Johnson & Johnson 2.30%
-----------------------------------
Intel Corp. 2.19%
-----------------------------------
Pfizer, Inc. 2.16%
-----------------------------------
General Electric Co. 1.98%
-----------------------------------
Cisco Systems, Inc. 1.87%
-----------------------------------
Amgen, Inc. 1.81%
-----------------------------------
Hewlett Packard Co. 1.71%
-----------------------------------
UnitedHealth Group, Inc. 1.66%
-----------------------------------
ConocoPhillips 1.56%
-----------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION (% of portfolio market value)
As of 12/31/05
[CHART]
Technology 20.0%
Non-Cyclical 22.2%
Cyclical 8.8%
Industrials 4.8%
Financials 13.3%
Communications 4.9%
Energy 18.5%
Basic Materials 3.4%
Diversified 3.1%
Utilities 1.0%
- --------------------------------------------------------------------------------
29
- --------------------------------------------------------------------------------
MERCURY LARGE CAP CORE PORTFOLIO FOR THE YEAR ENDED 12/31/05
MANAGED BY MERRILL LYNCH INVESTMENT MANAGERS, L.P.
LETTER TO POLICYHOLDERS (CONTINUED)
- --------------------------------------------------------------------------------
MERCURY LARGE CAP CORE PORTFOLIO MANAGED BY
MERRILL LYNCH INVESTMENT MANAGERS, L.P. VS. RUSSELL 1000 INDEX/1/
Growth Based on $10,000
[CHART]
Mercury Large Cap
Core Portfolio Russell 1000 Index
-------------- ------------------
3/28/1998 $10,000 $10,000
12/31/1998 10,577 11,204
12/31/1999 13,080 13,547
12/31/2000 12,351 12,491
12/31/2001 9,578 10,936
12/31/2002 7,170 8,569
12/31/2003 8,687 11,130
12/31/2004 10,067 12,399
12/31/2005 11,280 13,175
-------------------------------------------------------------
Average Annual Return/2/
(for the period ended 12/31/05)
-------------------------------------------------------------
1 Year 3 Year 5 Year Since Inception/3/
-------------------------------------------------------------
Mercury Large Cap
- -- Core Portfolio 12.04% 16.30% -1.80% 1.56%
-------------------------------------------------------------
- - - Russell 1000 Index/1/ 6.26% 15.42% 1.07% 4.02%
-------------------------------------------------------------
/1/The Russell 1000 Index measures the performance of the 1,000 largest
companies in the Russell 3000 Index, which represents approximately 92% of the
total market capitalization of the Russell 3000 Index. The Index does not
include fees and 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 03/23/1998.
Merrill Lynch became subadviser to the Portfolio May 2005.
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 administration charges of variable annuity or
life insurance contracts. If these charges were included, the returns would be
lower.
- --------------------------------------------------------------------------------
30
- --------------------------------------------------------------------------------
MFS MID CAP GROWTH PORTFOLIO FOR THE YEAR ENDED 12/31/05
MANAGED BY MASSACHUSETTS FINANCIAL SERVICES COMPANY
LETTER TO POLICYHOLDERS
- --------------------------------------------------------------------------------
SUMMARY OF RESULTS
For the twelve months ended December 31, 2005, the Travelers MFS Mid Cap Growth
Portfolio had a total return of 3.06%. In comparison, the Portfolio's
benchmark, the Russell Midcap Growth Index returned 12.10%.
DETRACTORS FROM PERFORMANCE
Security selection in the retailing, technology, and leisure sectors was the
primary detractor from the portfolio's relative performance over the period. In
the retailing sector, deep-discount retailer 99 Cents Only Stores, which is not
an index constituent, detracted from performance.
Several individual securities in the technology sector significantly hurt
results including network security software company Symantec, which is not a
benchmark constituent, business software company Mercury Interactive*, and
semiconductor manufacturers PMC-Sierra and Xilinx.
In the leisure sector, radio broadcasting firm Citadel Broadcasting, media
company Gemstar-TV Guide*, and cruise line operator Royal Caribbean Cruises*,
which is not a benchmark constituent, held back results relative to the
benchmark.
Other stocks that hurt performance included for-profit education company Apollo
Group, which is not an index constituent, and dermatological treatment company
Medicis Pharmaceutical.
CONTRIBUTORS TO PERFORMANCE
Stock selection in the financial services sector boosted relative performance
as our holdings in investment management firm Legg Mason significantly
outperformed the benchmark over the period.
Results were aided by our overweighted position in the strong-performing
utilities and communications sector. Within utilities and communications,
broadcast and communication tower management firm American Tower was a top
contributor.
Although the technology and health care sectors detracted from overall relative
performance, several individual holdings in these sectors were among the
strongest contributors to returns. In technology, networking chip maker Marvell
Technology Group, which is not a benchmark constituent, and flash memory
storage products maker Sandisk bolstered results. Our positioning in multimedia
and publishing software company Adobe Systems, which is not a benchmark
constituent, also contributed as we added the stock to the portfolio prior to a
run up in share price.
In health care, our holdings in biotech firm Gilead Sciences and medical device
company Thoratec, neither of which are benchmark constituents, and non-urban
hospital operator Community Health Systems* were among the portfolio's top
contributors.
Other individual holdings which benefited portfolio performance included
drilling rig operator GlobalSantaFe, which is not a benchmark constituent, and
multimedia image provider Getty Images.
*Security was not held in the Portfolio at period-end.
The opinions expressed in this annual report are those of the MFS Investment
Management Team. These views are subject to change at any time based on market
and other conditions, and no forecast can be guaranteed.
The Portfolio is actively managed and current holdings may be different.
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 12/31/05
Percent of
Description Net Assets
----------------------------------------
American Tower Corp. 3.21%
----------------------------------------
Juniper Networks, Inc. 2.41%
----------------------------------------
Xilinx, Inc. 2.16%
----------------------------------------
Analog Devices, Inc. 2.12%
----------------------------------------
Amdocs, Ltd. 2.10%
----------------------------------------
Medicis Pharmaceutical Corp. 2.01%
----------------------------------------
Smith International, Inc. 1.84%
----------------------------------------
Corporate Executive Board Co. 1.84%
----------------------------------------
PETsMART, Inc. 1.80%
----------------------------------------
Advanced Medical Optics, Inc. 1.74%
----------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION (% of portfolio market value)
As of 12/31/05
LOGO
- --------------------------------------------------------------------------------
31
- --------------------------------------------------------------------------------
MFS MID CAP GROWTH PORTFOLIO FOR THE YEAR ENDED 12/31/05
MANAGED BY MASSACHUSETTS FINANCIAL SERVICES COMPANY
LETTER TO POLICYHOLDERS (CONTINUED)
- --------------------------------------------------------------------------------
MFS MID CAP GROWTH PORTFOLIO MANAGED BY
MASSACHUSETTS FINANCIAL SERVICES COMPANY VS. RUSSELL MIDCAP GROWTH INDEX/1/ AND
RUSSELL 2000 INDEX/2/
Growth Based on $10,000
[CHART]
MFS Mid Cap Russell Midcap Russell
Growth Portfolio Growth Index 2000 Index
-------------- ------------ ----------
3/28/1998 $10,000 $10,000 $10,000
12/31/1998 10,050 9,935 8,981
12/31/1999 16,499 11,747 10,891
12/31/2000 18,031 12,716 10,562
12/31/2001 13,772 10,154 10,824
12/31/2002 7,048 7,372 8,607
12/31/2003 9,659 10,520 12,674
12/31/2004 11,021 12,149 14,997
12/31/2005 11,358 13,619 15,679
--------------------------------------------------------------
Average Annual Return/3/
(for the period ended 12/31/05)
--------------------------------------------------------------
1 Year 3 Year 5 Year Since Inception/4/
--------------------------------------------------------------
MFS Mid Cap Growth
- -- Portfolio 3.06% 17.24% -8.83% 1.65%
--------------------------------------------------------------
Russell Mid Cap Growth
- - - Index/1/ 12.10% 22.70% 1.38% 4.51%
--------------------------------------------------------------
- -- Russell 2000 Index/2/ 4.55% 22.13% 8.22% 5.96%
--------------------------------------------------------------
/1/The Russell Mid Cap Growth Index measures the Mid Cap companies with higher
price-to-book ratios and higher forecasted growth values. The Index does not
include fees and expenses and is not available for direct investment.
/2/The Russell 2000 Index measures the performance of the 2,000 smallest
companies in the Russell 3000 Index, which represents approximately 8% of the
total market capitalization of the Russell 3000 Index. The Index does not
include fees and 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 03/23/1998.
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 administration charges of variable annuity or
life insurance contracts. If these charges were included, the returns would be
lower.
- --------------------------------------------------------------------------------
32
- --------------------------------------------------------------------------------
MFS VALUE PORTFOLIO FOR THE YEAR ENDED 12/31/05
MANAGED BY MASSACHUSETTS FINANCIAL SERVICES COMPANY
LETTER TO POLICYHOLDERS
- --------------------------------------------------------------------------------
SUMMARY OF RESULTS
For the twelve months ended December 31, 2005, the MFS Value Portfolio had a
total return of 6.44%. In comparison, the portfolio's unmanaged benchmark, the
Russell 1000 Value index returned 7.05%.
CONTRIBUTORS TO PERFORMANCE
Security selection within the industrial goods and services sector added to
results over the period. Avoiding index constituent General Electric aided
performance as the stock lagged the Russell 1000 Value Index.
A combination of stock selection and to a lesser extent underweighting the
leisure sector added to results over the period. Within the leisure sector, an
underweight position in cable television provider Comcast benefited the
portfolio as the stock decreased markedly over the period.
Security selection within the energy sector drove results relative to the
index. Overweighting energy firms Unocal*, ConocoPhillips, EOG Resources, and
Noble Corp (not an index constituent) benefited the portfolio.
In other sectors, underweighting weak performing pharmaceutical giant Pfizer*
bolstered performance as the stock lagged the broad market index. Our
positioning in strong performing investment bank Goldman Sachs was also among
the portfolio's top contributors. In the transportation sector the portfolio's
positioning in Burlington Northern Santa Fe added to results as did our holding
of consumer staples firm Altria Corp.
DETRACTORS FROM PERFORMANCE
Security selection and, to a lesser extent, our overweighted position in the
basic materials sector held back performance relative to the benchmark during
the reporting period. Within the basic materials sector, overweighting
chemicals company PPG Industries Inc and paper and packaging concern
International Paper dampened results as both stocks lagged the broad equity
index.
Stock selection among the retailing and utilities and communications sectors
also detracted from results. Within the sectors our decision to hold shares of
Gap and mobile telecommunications firm Vodafone Group PLC (neither of which is
an index constituent) held back results.
Within other sectors our holding of underperforming mortgage giant Fannie Mae
negatively impacted performance. Underweighting technology firm
Hewlett-Packard* was a drag on results as its shares performed strongly during
the period. Health care concern Johnson & Johnson (not an index constituent)
also detracted from results, as the firm's stock underperformed the Russell
1000 Value index. Finally, not participating in the substantial run up in the
shares of energy firms Burlington Resources and Valero Energy was detrimental
to results.
The Portfolio's cash position was also a detractor from relative performance.
The Portfolio holds cash to buy new holdings and to provide liquidity. In a
period when equity markets rose as measured by the Portfolio's benchmark,
holding cash hurt performance versus the benchmark, which has no cash position.
During the reporting period, our currency exposure detracted from the
Portfolio's relative performance. All of MFS' investment decisions are driven
by the fundamentals of each individual opportunity and, as such, it is common
for our portfolios to have different currency exposure than the benchmark.
*Security was not held in the portfolio at period-end.
The opinions expressed in this annual report are those of the MFS Investment
Management Team. These views are subject to change at any time based on market
and other conditions, and no forecast can be guaranteed.
The portfolio is actively managed and current holdings may be different.
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 12/31/05
Percent of
Description Net Assets
------------------------------------------
Bank of America Corp. 4.25%
------------------------------------------
Goldman Sachs Group, Inc. (The) 3.91%
------------------------------------------
Altria Group, Inc. 3.46%
------------------------------------------
Allstate Corp. (The) 2.89%
------------------------------------------
Lockheed Martin Corp. 2.74%
------------------------------------------
Johnson & Johnson 2.71%
------------------------------------------
Dominion Resources, Inc. 2.62%
------------------------------------------
Total S.A. 2.27%
------------------------------------------
SunTrust Banks, Inc. 2.26%
------------------------------------------
Sprint Nextel Corp. 2.25%
------------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION (% of portfolio market value)
As of 12/31/05
[CHART]
Financials 29.1%
Non-Cyclical 18.4%
Industrials 14.9%
Energy 11.6%
Communications 8.6%
Basic Materials 7.6%
Utilities 5.8%
Cyclical 3.0%
Technology 1.0%
- --------------------------------------------------------------------------------
33
- --------------------------------------------------------------------------------
MFS VALUE PORTFOLIO FOR THE YEAR ENDED 12/31/05
MANAGED BY MASSACHUSETTS FINANCIAL SERVICES COMPANY
LETTER TO POLICYHOLDERS (CONTINUED)
- --------------------------------------------------------------------------------
MFS VALUE PORTFOLIO MANAGED BY
MASSACHUSETTS FINANCIAL SERVICES COMPANY VS. RUSSELL 1000 VALUE INDEX/1/
Growth Based on $10,000
[CHART]
MFS Value Portfolio Russell 1000 Index
------------------- ------------------
7/20/1998 $10,000 $10,000
12/31/1998 9,506 10,495
12/31/1999 9,979 11,266
12/31/2000 11,135 12,057
12/31/2001 11,247 11,382
12/31/2002 9,769 9,614
12/31/2003 12,173 12,502
12/31/2004 14,118 14,563
12/31/2005 15,037 15,476
-----------------------------------------------------------
Average Annual Return/2/
(for the period ended 12/31/05)
-----------------------------------------------------------
1 Year 3 Year 5 Year Since Inception/3/
-----------------------------------------------------------
- -- MFS Value Portfolio 6.44% 15.44% 6.18% 5.62%
-----------------------------------------------------------
Russell 1000 Value
- - - Index/1/ 7.05% 15.42% 1.07% 5.97%
-----------------------------------------------------------
/1/The Russell 1000 Index measures the performance of the 1,000 largest
companies in the Russell 3000 Index, which represents approximately 92% of the
total market capitalization of the Russell 3000 Index. The Russell 1000 Value
Index measures the performance of those Russell 1000 Index companies with lower
price-to-book ratios and lower forecasted growth values. The Index does not
include fees and 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 07/20/1998.
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 administration charges of variable annuity or
life insurance contracts. If these charges were included, the returns would be
lower.
- --------------------------------------------------------------------------------
34
- --------------------------------------------------------------------------------
MONDRIAN INTERNATIONAL STOCK PORTFOLIO FOR THE YEAR ENDED 12/31/05
MANAGED BY MONDRIAN INVESTMENT PARTNERS LTD.
(FORMERLY LAZARD INTERNATIONAL STOCK PORTFOLIO)
LETTER TO POLICYHOLDERS
- --------------------------------------------------------------------------------
PERFORMANCE OVERVIEW
THE MARKETS
For the year ended December 31, 2005, the Mondrian International Stock
Portfolio returned 9.52%.
In 2005 international equity prices made solid progress and the unmanaged
benchmark MSCI EAFE Index returned 14.02% (for the same period returns in US
dollars). All currencies represented in the EAFE index depreciated against the
dollar.
Returns for the Portfolio were strong in Switzerland (+16.3%), mainly due to
gains by financials and health care. An important contributor to Swiss
healthcare returns was the gain by the pharmaceutical company Roche, which
holds the patent on Tamiflu, the potential treatment for bird flu. Of the other
larger economies, Germany and France both rose 9.9% and the UK was up 7.4%. In
the Pacific, Japan is benefiting from strong international trade, particularly
its exports to China and during 2005, the Japanese market rose 25.5%. Elsewhere
in the region, Australia was ahead of the index (+16.0%) but the smaller Asian
and New Zealand markets trailed it.
The following stocks outperformed the index over the year: On the back of
strong results throughout the year, Matsushita Electric Industrial (MEI), the
Japanese consumer electronics business, gained over 40%. Also in Japan, Toyota
Motor, which gained 48.6%, was a beneficiary of the positive business
environment and liquidity flows into the Japanese market. Despite the
underperformance in the healthcare sector, the Japanese health care security,
Takeda Pharmaceutical, rose more than 25% on the back of solid financial
results and the improving expectations for its research pipeline. However, in
spite of these high absolute returns from these Japanese stocks, the Japanese
market performed strongly in 2005 and as a consequence the stock selection in
Japan was negative.
In the materials sector, the UK-based international mining business Rio Tinto
and Bayer AG, the global chemicals company, were both beneficiaries of
continued strong resource prices, resulting in rises of 76.2% and 53.4%,
respectively. Additionally, in the energy sector most energy stocks performed
in line with the index reflecting the weaker oil price at year end.
In the telecommunications sector, Telefonica, the Spanish-based international
telecommunications business, had its performance dampened by continuing
increased competition. Also in this sector, Telstra in Australia underperformed
in part due to ongoing regulatory concerns and the downgrading of future
earnings forecasts by new management.
OUTLOOK/EXPECTATIONS FOR 2006
Japan has benefited from the strength of the global economy, especially
activity levels in the US and China, which is supporting demand for Japanese
products.
Increasingly, we are also seeing strong signs of a more stable growth pattern
developing in the domestic economy. GDP growth is expected to exceed the
economy's sustainable growth rate for the second consecutive year in fiscal
year 2005. Our interviews with companies are supporting other statistical
indicators that show companies finally beginning to undertake increased capital
investment after fifteen years focused on asset reduction. Over the past
fifteen years, we have monitored two key indicators: credit growth and
inflation, which we have believed need to show stability before we would be
confident that the economy has normalised. With companies now actively
considering investment and expansion of assets, credit growth has recently
turned positive. Inflation has not yet turned positive, but our models and most
economic commentators expect that deflation will end sometime next year. Even
taking into account all these positive and encouraging signs, the Japanese
market is more expensive than most other major world markets, and with
companies' increasing focus on capital investment and growth, investors must be
wary that they are second-class stakeholder in the eyes of many Japanese
corporate managements. The risk that all cash generated by operations could be
re-invested at uncertain rates of return is significant, and this would
potentially leave little cash left to return to shareholders. Fortunately, we
also believe that overall the Japanese stock market is inefficient, and that
opportunities exist for stock-pickers with a disciplined long-term investment
horizon. It is our strategy to focus on companies with strong cash positions,
positive cash generation even after re-investment, and a willingness to
compensate shareholders through dividends and share buybacks.
The one Japanese asset that does look increasingly undervalued, however, is the
yen. Our purchasing-power-parity analysis indicates that the depreciation
against the US dollar in 2005 means that the currency is more than one standard
deviation undervalued. While this is not a strong enough indication to cause us
to expect immediate appreciation, it does signal to us, as long-term investors,
that the yen is attractive. Indeed, a similar story unfolded for the euro last
year also. Although the US dollar is close to fair value against these two
other major world currencies, this is not a forecast of near-term exchange rate
stability. The US dollar's strength in 2005 was surprising in part because of
the mounting concern about the USA's very large trade deficit. In spite of the
rise in the country's external liabilities, investors continued to be buyers of
US assets, supporting the US dollar and allowing US consumers continued access
to imported goods at bargain-basement prices. The benign economic environment
and low mortgage rates encouraged households to borrow a lot more and save a
lot less. These issues remain a concern one year on. Over the medium-to-long
term such unsustainable trends are likely to return to sustainable levels. The
period of transition will almost certainly entail a period of slower domestic
demand which will may well see returns on real assets (such as, US equities or
US real estate) weaken. With growth stabilising or improving in other areas,
especially Europe and Japan, investors may be attracted to assets in these
areas, reducing demand for US dollars.
Central banks are aware that a willingness to accommodate higher oil prices
following past oil price spikes allowed higher prices to feed through into the
wider economy, contributing to longer-term inflation problems. With Euro-zone
unemployment running at 9%, compared with 5% in the US, we believe, however,
that there is a lot of spare capacity in continental Europe. As a result, core
inflation (which excludes volatile items, such as energy) is likely to remain
subdued, as is the interest rate cycle.
The main highlights of the strategy being adopted for the fund are an
underweight position in the overvalued Japanese market, an overweight position
in the undervalued Australasian markets, an overweight in selected European
markets and a defensive currency hedge out of sterling.
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.
- --------------------------------------------------------------------------------
35
- --------------------------------------------------------------------------------
MONDRIAN INTERNATIONAL STOCK PORTFOLIO FOR THE YEAR ENDED 12/31/05
MANAGED BY MONDRIAN INVESTMENT PARTNERS LTD.
LETTER TO POLICYHOLDERS (CONTINUED)
- --------------------------------------------------------------------------------
TOP TEN HOLDINGS BY MARKET VALUE
As of 12/31/05
Percent of
Description Net Assets
-----------------------------------------
Toyota Motor Corp. 4.16%
-----------------------------------------
RWE AG 4.08%
-----------------------------------------
ING Groep NV 3.96%
-----------------------------------------
KDDI Corp. 3.96%
-----------------------------------------
HBOS Plc 3.77%
-----------------------------------------
Royal Dutch Shell Plc, Class A 3.64%
-----------------------------------------
GlaxoSmithKline Plc 3.62%
-----------------------------------------
Telefonica S.A. 3.55%
-----------------------------------------
Canon, Inc. 3.50%
-----------------------------------------
Aviva Plc 3.49%
-----------------------------------------
PORTFOLIO COMPOSITION (% of portfolio market value)
As of 12/31/05
[CHART]
Financials 33.2%
Communications 12.2%
Non-Cyclical 10.6%
Energy 10.3%
Cyclical 9.7%
Basic Materials 8.8%
Utilities 8.4%
Technology 3.5%
Industrials 3.3%
- --------------------------------------------------------------------------------
36
- --------------------------------------------------------------------------------
MONDRIAN INTERNATIONAL STOCK PORTFOLIO FOR THE YEAR ENDED 12/31/05
MANAGED BY MONDRIAN INVESTMENT PARTNERS LTD.
LETTER TO POLICYHOLDERS (CONTINUED)
- --------------------------------------------------------------------------------
MONDRIAN INTERNATIONAL STOCK PORTFOLIO MANAGED BY
MONDRIAN INVESTMENT PARTNERS LTD. VS. MSCI EAFE INDEX/1/
Growth Based on $10,000
LOGO
--------------------------------------------------------------
Average Annual Return/2/
(for the period ended 12/31/05)
--------------------------------------------------------------
1 Year 3 Year 5 Year Since Inception/3/
--------------------------------------------------------------
Mondrian International
- -- Stock Portfolio 9.52% 17.69% 0.93% 4.30%
--------------------------------------------------------------
- - - MSCI EAFE Index/1/ 14.02% 24.18% 4.78% 13.34%
--------------------------------------------------------------
/1/The Morgan Stanley Capital International Europe, Australasia, and Far East
Index ("MSCI EAFE Index") is an unmanaged, free float-adjusted market
capitalization index that is designed to measure developed market equity
performance, excluding the US & Canada. The Index does not include fees or
expense 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 08/01/1996.
Mondrian Investment Partners Ltd. became subadviser to the Portfolio May 2005.
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 administration charges of variable annuity or
life insurance contracts. If these charges were included, the returns would be
lower.
- --------------------------------------------------------------------------------
37
- --------------------------------------------------------------------------------
PIONEER FUND PORTFOLIO FOR THE YEAR ENDED 12/31/05
MANAGED BY PIONEER INVESTMENT MANAGEMENT, INC.
LETTER TO POLICYHOLDERS
- --------------------------------------------------------------------------------
PERFORMANCE:
For the year ended December 31, 2005, the Portfolio provided a total return of
5.99% compared to the S&P 500 Index, which returned 4.91% for the same period.
PORTFOLIO SPECIFICS:
The first six months of 2005 were lackluster ones for the blue-chip U.S. stock
market. Given a result approximately the same as that of the market, there were
neither particular problems in the Portfolio, nor any investments in particular
stocks, industries, or sectors that did so well or so poorly as to throw the
contest decisively one way or the other.
Our stock selections in consumer discretionary, information technology, and
consumer staples were the biggest positive contributors to relative
performance, while our selections in health care and industrials, as well as
our overweight in materials, proved the largest negative contributors to
performance.
The most striking sector performance came from energy and utilities. Investors
responded to the high prices for oil and natural gas early in the year by
piling into everything related to energy, including utilities. We noted,
though, that changes were occurring beneath the surface and that other sectors
appeared to be emerging as better values.
That came to pass particularly in the fourth quarter, when energy and utilities
were the two worst performing sectors of the S & P 500, both showing declines
versus an index rising overall. Being somewhat underweight in those two sectors
was helpful to the Portfolio performance in the fourth quarter, as was our
being overweight in the still strongly performing materials sector. Otherwise
our good stock selection in both health care and industrials contributed
positively. For the second six months of 2005, our investments in those same
three sectors, materials, health care, and industrials, also provided the
positive difference in our performance. Especially big contributors among
individual stocks over the six months were Rio Tinto and Phelps Dodge in
materials, Barr Pharmaceuticals in health care, and Norfolk Southern and
Burlington Northern Santa Fe in industrials.
Our weakest second half performance was in consumer staples, where our holdings
in Hershey and Sysco both declined. Within the energy sector, our de-emphasis
of the energy equipment-and-services industry detracted, as that industry had
superior returns to those of its sector.
With regard again to the investing environment in general in the second half,
there were shifts underway as investors diversified their portfolios. High
growth situations seemed especially to attract investors, as exemplified by the
stunning upward move in the share price of Google, a stock we have not owned,
from what we thought were already quite elevated levels in terms of price to
earnings and sales. However, the persistently high energy and other commodity
prices, as well as projections for increased capital spending in
capacity-constrained industries, continued to provide firm support for the
so-called "old economy." So it has been something of a bifurcated market and
one in which one treads with care. It does seem, though, that an underlying
"theme" to investor behavior has been a powerful attraction to potential for
above-average earnings growth, whether from high tech or low tech. We take that
as our cue to maintain our focus on companies with compelling fundamentals
regardless of industry or sector.
CURRENT STRATEGY AND OUTLOOK:
Our outlook for 2006 is cautious. We do think that the moderate expectations
for economic growth can be met, and we also look for higher earnings and
dividends. The broad consensus estimate of roughly 3.5% real GDP growth looks
reasonable to us, and we likewise think that 6-8% earnings growth for the S&P
500 is doable. However, there are powerful headwinds in the form of higher
short-term interest rates, stubbornly high oil and natural gas prices, and a
slowing housing market. And, as was certainly impressed on us in 2005, the
weather and other natural disasters can throw quite a wrench in the works. The
result of all those crosscurrents could be a more volatile market than we've
seen in a while. We believe that another result might be defensive positioning
by investors. Our emphasis in this environment will be on stocks with good
earnings and dividend support. If it is a softer economy that lies ahead, the
companies less vulnerable to large earnings declines may prove better bets.
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.
- --------------------------------------------------------------------------------
38
- --------------------------------------------------------------------------------
PIONEER FUND PORTFOLIO FOR THE YEAR ENDED 12/31/05
MANAGED BY PIONEER INVESTMENT MANAGEMENT, INC.
LETTER TO POLICYHOLDERS (CONTINUED)
- --------------------------------------------------------------------------------
TOP TEN HOLDINGS BY MARKET VALUE
As of 12/31/05
Percent of
Description Net Assets
------------------------------------
Rio Tinto PLC 2.39%
------------------------------------
McGraw-Hill Cos., Inc. 2.30%
------------------------------------
Norfolk Southern Corp. 2.23%
------------------------------------
Target Corp. 2.03%
------------------------------------
Chevron Corp. 2.01%
------------------------------------
T. Rowe Price Group, Inc. 2.01%
------------------------------------
Reed Elsevier NV 1.93%
------------------------------------
Johnson & Johnson 1.76%
------------------------------------
Walgreen Co. 1.67%
------------------------------------
Chubb Corp. 1.52%
------------------------------------
PORTFOLIO COMPOSITION (% of portfolio market value)
As of 12/31/05
[CHART]
Consumer Cyclical 12.3%
Consumer Non-Cyclical 19.8%
Technology 10.5%
Energy 7.3%
Industrials 10.5%
Financials 17.6%
Communications 13.1%
Basic Materials 7.1%
Utilities 1.8%
- --------------------------------------------------------------------------------
39
- --------------------------------------------------------------------------------
PIONEER FUND PORTFOLIO FOR THE YEAR ENDED 12/31/05
MANAGED BY PIONEER INVESTMENT MANAGEMENT, INC.
LETTER TO POLICYHOLDERS (CONTINUED)
- --------------------------------------------------------------------------------
PIONEER FUND PORTFOLIO MANAGED BY
PIONEER INVESTMENT MANAGEMENT, INC. VS.
S&P 500 INDEX/1/
Growth Based on $10,000
[CHART]
PIONEER FUND
PORTFOLIO S&P 500 INDEX
------------ -------------
12/95 $10,000 $10,000
12/96 11,121 12,295
12/97 13,933 16,395
12/98 16,470 21,084
12/99 16,456 25,518
12/00 20,449 23,196
12/01 15,747 20,441
12/02 10,989 15,925
12/03 13,603 20,490
12/04 19,567 22,718
12/05 20,737 23,834
------------------------------------------------------------
Average Annual Return/2/
(for the period ended 12/31/05)
------------------------------------------------------------
1 Year 3 Year 5 Year 10 Year Since Inception/3/
------------------------------------------------------------
Pioneer Fund
- -- Portfolio 5.99% 13.39% -4.76% 4.84% 6.47%
------------------------------------------------------------
S&P 500
- - - Index/1/ 4.91% 14.38% 0.54% 9.07% 12.62%
------------------------------------------------------------
/1/The S&P 500 Index is an unmanaged index composed of 500 widely held common
stocks listed on the New York Stock Exchange, American Stock Exchange and
over-the-counter markets. The Index does not include fees and 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 12/31/1994.
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 administration charges of variable annuity or
life insurance contracts. If these charges were included, the returns would be
lower.
- --------------------------------------------------------------------------------
40
- --------------------------------------------------------------------------------
PIONEER MID CAP VALUE PORTFOLIO FOR THE PERIOD ENDED 12/31/05
MANAGED BY PIONEER INVESTMENT MANAGEMENT, INC.
LETTER TO POLICYHOLDERS
- --------------------------------------------------------------------------------
PERFORMANCE:
Mid caps dominated returns among the major stock capitalization ranges for the
year and value stocks bested the returns of growth in each of the Russell
large-, mid-, and small-cap style indices. Since its inception on May 1, 2005
through December 31, 2005, the Portfolio provided a total return of 9.84%,
compared to the Russell Mid Cap Value Index, the portfolio's benchmark, which
returned 12.7% for the same period.
PORTFOLIO SPECIFICS:
The economy and corporate profits surged in the final months of the year after
a slow first half. But investors in the end showed their hesitancy about the
underlying strength of the economy, choosing to take profits rather than wait
for stocks to head higher. The broad US equity markets ended flat for the year,
finishing essentially where they began.
Stock selection together with sector overweights in both Industrials and
Information Technology benefited relative returns the most. In the Technology
sector, data storage company Imation, up 46%, along with SunGuard and
Scientific-Atlanta, both acquisition targets that delivered a premium, were
especially strong contributors.
Stock selection in the Consumer Discretionary sector detracted from relative
performance. Video rental franchise Blockbuster fell on slumping summer box
office receipts which lowered same store comps in sales and video rentals. In
the Energy sector, we did not own Valero Energy, a large constituent that was
up over 140% in the year.
At the period's end, our largest sector overweights relative to the Russell Mid
Cap Value Index were Health Care, Industrials, and Energy. Our largest
underweights were Financials and Utilities. Within the Consumer Discretionary
sector, Media remains our biggest overweight industry, where we still see
plenty of individual stock ideas within the industry and valuations appear
depressed while ad rates, especially in broadcasting, continue to be strong.
We continue to look at the portfolio in light of our primary focus, which is
the selection of individual stocks based on their merit and valuation.
Individual stock picks ultimately determine sector weightings. From a macro
perspective, rising oil prices and interest rates in our view are a pre-cursor
to economic slowdown. As such, the Portfolio is being positioned slightly more
defensively. However, we expect to see heightened merger and acquisition
activity, a plus for the kinds of stocks we look to own--quality companies with
characteristics that we believe are undervalued--that may be attractive
takeover targets.
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 12/31/05
Percent of
Description Net Assets
------------------------------------
Foot Locker, Inc. 2.10%
------------------------------------
Symbol Technologies, Inc. 2.10%
------------------------------------
Federated Investors, Inc. 2.09%
------------------------------------
W. W. Grainger, Inc. 2.01%
------------------------------------
Republic Services, Inc. 1.97%
------------------------------------
PMI Group, Inc. 1.91%
------------------------------------
Safeway, Inc. 1.90%
------------------------------------
Mellon Financial Corp. 1.90%
------------------------------------
Ball Corp. 1.85%
------------------------------------
Xerox Corp. 1.84%
------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION (% of portfolio market value)
As of 12/31/05
[CHART]
Financials 26.7%
Non-Cyclical 19.6%
Industrials 16.0%
Cyclical 10.5%
Energy 8.2%
Communications 7.3%
Basic Materials 6.8%
Technology 4.9%
- --------------------------------------------------------------------------------
41
- --------------------------------------------------------------------------------
PIONEER MID CAP VALUE PORTFOLIO FOR THE PERIOD ENDED 12/31/05
MANAGED BY PIONEER INVESTMENT MANAGEMENT, INC.
LETTER TO POLICYHOLDERS (CONTINUED)
- --------------------------------------------------------------------------------
PIONEER MID CAP VALUE PORTFOLIO MANAGED BY
PIONEER INVESTMENT MANAGEMENT, INC. VS.
RUSSELL MID-CAP VALUE INDEX/1/
Growth Based on $10,000
[CHART]
Pioneer Mid Cap Russell Mid-Cap
Value Portfolio Index
--------------- ---------------
5/2/2005 $10,000 $10,000
12/31/2005 10,984 11,405
---------------------------------------------------------------
Cumulative Return/2/
(for the period ended 12/31/05)
---------------------------------------------------------------
Since Inception/3/
---------------------------------------------------------------
- -- Pioneer Mid Cap Value Portfolio 9.84%
---------------------------------------------------------------
- - - Russell Mid-Cap Value Index/1/ 12.70%
---------------------------------------------------------------
/1/The Russell Mid-Cap Value Index measures the performance of those Russell
Midcap companies with higher price-to-book ratios and higher forcasted growth
values. The stocks are also members of the Russell 1000 Growth Index. The Index
does not include fees or expenses and is not available for direct investment.
/2/"Cumulative Return" is calculated including reinvestment of all income
dividends and capital gains distributions.
/3/Inception date of Portfolio is 05/01/2005.
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 administration charges of variable annuity or
life insurance contracts. If these charges were included, the returns would be
lower.
- --------------------------------------------------------------------------------
42
- --------------------------------------------------------------------------------
STYLE FOCUS SERIES: SMALL CAP GROWTH PORTFOLIO FOR THE PERIOD ENDED 12/31/05
MANAGED BY TIMCO ASSET MANAGEMENT, INC. AND
JANUS CAPITAL MANAGEMENT LLC
LETTER TO POLICYHOLDERS
- --------------------------------------------------------------------------------
PERFORMANCE OVERVIEW
Since its inception on May 1, 2005, through December 31, 2005, the Portfolio
returned 15.37% while its benchmark, the Russell 2000 Growth Index, returned
18.10%.
JANUS CAPITAL MANAGEMENT LLC COMMENTARY
DETRACTORS INCLUDED TECHNOLOGY-RELATED HOLDINGS
Stragglers included Infocrossing, a provider of information technology and
business process outsourcing to U.S. businesses. In July, the company cut its
second-quarter outlook and withdrew its 2005 guidance. Management attributed
the shortfall in projected sales to lower-than-anticipated usage-based billings
and delays in the start of new contracts. We continue to believe in the
long-term potential of the company and therefore increased our position during
the period.
Another detractor from performance was Greenfield Online, which provides
Internet survey solutions to the marketing research industry. The company
performs surveys, as well as provides survey programming, data collection and
processing services, and manages the Greenfield Online panel, an Internet-based
panel of individuals who participate in the company's surveys. Late this
summer, the stock dropped after the company lowered its guidance and its CEO
announced his resignation. We've since sold the position.
Workstream was another stock that hurt our relative results. We purchased the
stock following what we felt was an unjustifiably sharp pullback in its price
resulting from quarterly financial results that were below Wall Street's
expectations. The solid, new customer base of this provider of services and
Web-based software for Human Capital Management (HCM) has given us the
confidence that the company is back on track, although the recovery has taken
longer than we anticipated.
STANDOUTS INCLUDED SELECT CONSUMER DISCRETIONARY AND INFORMATION TECHNOLOGY
HOLDINGS
Our top performer during the period was TALX, a business process outsourcer for
payroll data-centric services. Our view that the stock was undervalued came to
fruition when the rest of the street saw TALX continually beat Wall Street's
earnings estimates. The company had consistently robust revenue and profit
growth figures.
Documentation company American Reprographics also advanced as the market
increasingly recognized the viability of its business plan. By digitizing the
blueprint and document development process for the architectural and
construction industries, among others, American Reprographics is streamlining a
traditionally time- and labor-intensive process.
Customer service technology developer LivePerson was also a top 10 contributor.
The company has benefited from increased acceptance by Wall Street for its
solutions, which include connecting a Website visitor to a company
representative via chat technology or a phone call. Building on an already
solid base of business in the technology field, LivePerson made strong inroads
into the financial services industry over the past two quarters, and we're
pleased to see the company hit such an inflection point.
INVESTMENT STRATEGY AND OUTLOOK
Looking ahead, as we remain optimistic about the small-cap universe, we'll
continue to maintain a primary focus on investing in companies we believe have
solid growth potential, while keeping an eye on macro developments.
TIMCO ASSET MANAGEMENT, INC. COMMENTARY
On December 1, 2005, Legg Mason, Inc. ("Legg Mason") and Citigroup, Inc.
("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 part of this transaction, the
investment subadviser for the Portfolio became a wholly owned subsidiary of
Legg Mason.
WHAT WERE THE OVERALL MARKET CONDITIONS DURING THE PORTFOLIO'S REPORTING PERIOD?
With oil prices receding from their peaks, the financial markets have turned to
other worries, especially the housing market and inflation. The Federal
Reserve/i/ has indicated to investors that it will do what is necessary to
prevent an acceleration of inflation, which could stifle sustainable economic
growth. Currently, the economy is expanding at a healthy pace. In our opinion,
with the exception of wider trade deficit, recent economic data on consumer
demand, industrial production, and housing strongly support a sustainable
economic growth environment.
A positive sign for sustainable economic growth came from the industrial
sector. For the fourth quarter in a row, operating cash flow exceeded what
companies spent on capital goods and inventories. The capability of
corporations to increase capital spending is substantial, as the expenditures
could be more than accommodated by internal portfolios. Although cash flow has
been strong, the corporate sector is making little demand on the capital
markets. After spending most of the past few years as the weakest part of the
economy, the industrial sector has made a transition to a strong expansion
path. The combination of rising demand has provided a potent stimulus for
industrial activity. While production has still not recovered to its previous
peak level, the upward trend appears to be encouraging.
WHAT WERE THE LEADING CONTRIBUTORS TO PERFORMANCE?
Our performance analysis indicated that stock selection was favorable in the
health care and information technology sectors. With our quantitative
discipline, we rely heavily on our proprietary stock selection model to rank
stocks. However, our stock selection model generated only mixed results. The
stocks that ranked high using our valuation factors performed well in the past
year. Our valuation factors consist of traditional valuation metrics such as
the earnings multiples and the price-to-cash flow ratio. The earnings multiple
performed well particularly in health care and finance sectors. The
price-to-cash flow
- --------------------------------------------------------------------------------
43
- --------------------------------------------------------------------------------
STYLE FOCUS SERIES: SMALL CAP GROWTH PORTFOLIO FOR THE PERIOD ENDED 12/31/05
MANAGED BY TIMCO ASSET MANAGEMENT, INC. AND
JANUS CAPITAL MANAGEMENT L.L.C.
LETTER TO POLICYHOLDERS (CONTINUED)
- --------------------------------------------------------------------------------
ratio also produced slightly positive results and reversed its declining trend.
The price-to-book ratio continued to post moderate gains, and contributed to
the overall performance of the quantitative model. In the health care sector,
our overweight positions in Alpharma, Abgenix, and Cubist Pharmaceuticals
contributed positively to performance. In the information technology sector, we
were helped by our holdings in Blue Coat Systems, Intergraph, and Supertex.
WHAT WERE THE LEADING DETRACTORS FROM PERFORMANCE?
Our performance analysis indicated that stock selection was difficult in the
telecommunication services and consumer staples sectors. Among the earnings
factors that we use in our quantitative stock selection model, the estimates
revisions factor continued to be anemic but showed signs of improvement. The
earnings surprise factor also struggled and detracted from performance. The
earnings diffusion factor, however, contributed the most to the overall
performance. The overall performance of our earnings factors could be
attributed to a growing focus on earnings, as concerns on inflation began to
diminish due to some recent economic data. In the telecommunication services
sector, our overweight positions in Premiere Global Services, Golden Telecom,
and Syniverse Holdings hurt us. Similarly, in the consumer staples sector, we
were negatively impacted by our positions in NBTY, Gold Kist, and Longs Drug
Stores.
WERE THERE ANY SIGNIFICANT CHANGES MADE TO THE PORTFOLIO DURING THE REPORTING
PERIOD?
There were no significant changes made to the Portfolio during the reporting
period.
PLEASE REFER TO PAGES 102 THROUGH 106 FOR A LIST AND PERCENTAGE BREAKDOWN OF
THE PORTFOLIO'S HOLDINGS.
/i/The Federal Reserve Board is responsible for the formulation of a policy
designed to promote economic growth, full employment, stable prices, and a
sustainable pattern of international trade and payments.
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 12/31/05
Percent of
Description Net Assets
----------------------------------------
TALX Corp. 1.66%
----------------------------------------
Euronet Worldwide, Inc. 1.36%
----------------------------------------
World Fuel Services Corp. 1.22%
----------------------------------------
Jarden Corp. 1.12%
----------------------------------------
Carter's, Inc. 1.11%
----------------------------------------
Quiksilver, Inc. 1.08%
----------------------------------------
Western Oil Sands, Inc. 1.04%
----------------------------------------
Ultimate Software Group, Inc. 1.02%
----------------------------------------
CoStar Group, Inc. 0.97%
----------------------------------------
Cubist Pharmaceuticals, Inc. 0.90%
----------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION (% of portfolio market value)
As of 12/31/05
[CHART]
Non-Cyclical 28.1%
Cyclical 18.9%
Technology 17.7%
Communications 10.3%
Industrials 9.7%
Financials 7.5%
Energy 6.4%
Basic Materials 1.3%
Utilities 0.1%
- --------------------------------------------------------------------------------
44
- --------------------------------------------------------------------------------
STYLE FOCUS SERIES: SMALL CAP GROWTH PORTFOLIO FOR THE PERIOD ENDED 12/31/05
MANAGED BY TIMCO ASSET MANAGEMENT, INC. AND JANUS CAPITAL MANAGEMENT L.L.C.
LETTER TO POLICYHOLDERS (CONTINUED)
- --------------------------------------------------------------------------------
STYLE FOCUS SERIES: SMALL CAP GROWTH PORTFOLIO MANAGED BY
TIMCO ASSET MANAGEMENT, INC. AND JANUS CAPITAL MANAGEMENT LLC VS.
RUSSELL 2000 GROWTH INDEX/1/
Growth Based on $10,000
[CHART]
Style Focus Series: Small Russell 2000
Cap Growth Portfolio Growth Index(1)
------------------------- --------------
5/2/2005 $10,000 $10,000
12/31/2005 11,537 11,810
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Cumulative Return/2/
(for the period ended 12/31/05)
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Since Inception/3/
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Style Focus Series: Small Cap Growth
- -- Portfolio 15.37%
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- - - Russell 2000 Growth Index/1/ 18.10%
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/1/The Russell 2000 Growth Index offers investors access to the small cap
growth segment of the U.S. equity universe. The Russell 2000 Growth Index is
constructed to provide a comprehensive and unbiased barometer of the small cap
growth market. Based on ongoing empirical research of investment manager
behavior, the methodology used to determine growth probability approximates the
aggregate small cap growth manager's opportunity set. The Index does not
include fees and expenses and is not available for direct investment.
/2/"Cumulative Return" is calculated including reinvestment of all income
dividends and capital gains distributions.
/3/Inception date of Portfolio is 05/01/2005.
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 administration charges of variable annuity or
life insurance contracts. If these charges were included, the returns would be
lower.
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45
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STYLE FOCUS SERIES: SMALL CAP VALUE PORTFOLIO FOR THE PERIOD ENDED 12/31/05
MANAGED BY TIMCO ASSET MANAGEMENT, INC. AND DREMAN VALUE MANAGEMENT L.L.C.
LETTER TO POLICYHOLDERS
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PERFORMANCE OVERVIEW
Since its inception on May 1, 2005, through December 31, 2005 the Portfolio
returned 13.56%. The unmanaged benchmark, the Russell 2000 Value Index returned
13.70% for the same period.
DREMAN VALUE MANAGEMENT COMMENTARY
For the year ended December 31, 2005, the Russell 2000 Value Index returned
4.69%, as small cap stocks took a bit of a breather after two stellar years.
2005 again saw equities in general post more subdued returns than 2004. We at
Dreman Value Management started to manage The Travelers Series Trust: Style
Focus Series: Small Cap Value Portfolio ("The Portfolio") in early May of this
year. For the interim period of our management our sleeve of the portfolio
returned 14.5% compared to the benchmark Russell 2000 Value index's return of
13.7% for the same period. Given the nature of the markets over this period we
are satisfied with the performance thus far.
The US equity markets experienced returns over the past twelve months that were
only slightly lower than the previous twelve-month period. Value stocks once
again outperformed their growth counterparts across the entire market
capitalization spectrum. The news over the past twelve months was dominated by
the devastating series of hurricanes that seemed to hit on a weekly basis
during late August and September. Katrina, Rita and Wilma are names that have
now become infamous. These mega storms laid waste to large swaths of the
coastal communities in Mississippi, Louisiana, Florida and east Texas. The
visions of destruction and the devastating human impact will not soon be
forgotten. While equity market returns were somewhat muted compared to last
year, the fact that all equity market indices ended the year in positive
territory is a testament to the resiliency of the US economy.
The economic consequences of the loss of Gulf Coast industrial output will be
felt for years. While cost estimates of the damage are difficult to pin down,
we may be looking at anywhere from $150 to $250 billion in clean-up costs and
reconstruction. It is hard to estimate the effect on US economic output, but we
would not be surprised to see growth about 1/2% lower than would have occurred
without the storms.
The energy infrastructure in the Gulf was especially hard hit during the recent
hurricanes. Much of the attention in the press was focused on the damage to
refiners around the Gulf Coast. Approximately 15% of US refiner capacity was
taken off line due to the storms, causing temporary gasoline shortages that
drove prices well above $3 per gallon in some places. While lack of refining
capacity has been an issue in the US for many years, the disruption from the
storms focused political attention on the issue as consumers voiced growing
concern about their ability to afford higher prices. Fortunately, gasoline is
an internationally traded commodity so increased imports helped to avert an
even larger price spike.
The most serious long-term economic consequence from the hurricanes may be the
destruction of natural gas and oil production in the Gulf. Approximately 21% of
the natural gas supply and 29% of the oil supply in the US comes from the Gulf
of Mexico. According to the Minerals Managements Service (MMS) approximately
65% of the natural gas production and 77% of the oil production in the Gulf
remained shut-in as of early October. Our sources in the Energy industry tell
us that a significant amount of the lost production may take months to be
brought back on line and that many of the older wells that were destroyed will
never be replaced. While the US can make up the lost oil production through
increased imports, there is no easy solution to replace lost natural gas
production.
It appears that we will enter the winter heating season with natural gas
supplies at about a five-year average, but with production constrained due to
hurricane damage. Since only 20% of winter natural gas demand is met through
storage, the lower level of production could lead to significant price spikes
if the winter is severe. Even if the winter is just normal we may see a
continuation of the increase in current natural gas prices, which are almost
double what they were last year. We have seen reports that estimate consumers
will be spending up to 50% more to heat their homes this winter compared to
last year.
The recent interest rate increases will also pinch the economy through a
cooling off of the housing sector. The Fed seems on track to increase the
Federal Funds rate by an additional 0.25% at each of its next two meetings, at
a minimum, which would bring the rate to 4.25% by year-end. Recently released
minutes from the last Fed meeting show a rising concern about inflation among
Fed members. While still low by historic levels, rising short-term rates mean
consumers will be paying more on adjustable rate debt such as home equity loans
and interest-only mortgages.
While the Fed has been raising short-term rates, longer term rates have
continued to languish. The 10-year rate is still well below 4.5%. Given the
borrowing needs created by the hurricane damage, the looming government
spending to fund Social Security and Medicare, and the continuing need to
attract capital to fund our trade deficit, we have little doubt that higher
long-term interest rates are just a matter of time.
The combination of higher gasoline prices, sharp increases in home heating
bills, and higher interest costs will strain consumers' budgets. In fact, we
are already starting to see the effect on consumer spending. Car companies are
reporting sharp decreases in sales of SUV's. During September, Ford and GM
reported 30% decreases compared to the prior year. In New York City, the
average sale price of apartments fell 13% during September. Finally, we are
starting to see deterioration in credit quality as overdue payments on credit
cards rose to 4.8% in the second quarter. It looks like the weakening of
consumer demand that we have been expecting is finally at hand.
Even though consumer spending is showing signs of weakening, we expect the
corporate and government sector spending to remain robust. Consequently, we
believe that while economic growth will slow, the economy is likely to continue
to expand modestly in the coming quarters. By the early part of 2006 we should
see construction spending pick up as the rebuilding effort along the Gulf Coast
gets underway in earnest. This will provide a boost to a wide variety of
industries and will help reduce the temporary increase in unemployment caused
by the storms.
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46
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STYLE FOCUS SERIES: SMALL CAP VALUE PORTFOLIO FOR THE PERIOD ENDED 12/31/05
MANAGED BY TIMCO ASSET MANAGEMENT, INC. AND
DREMAN VALUE MANAGEMENT L.L.C.
LETTER TO POLICYHOLDERS (CONTINUED)
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Turning to the portfolio, we continue to maintain overweight positions in the
Energy, Basic Materials, Industrials, and Health Care sectors relative to the
Russell 2000 Value Index. Those sectors most exposed to the consumer, such as
Consumer Discretionary and Technology, remain as underweights. During the
quarter we pared back numerous positions that either had reached our valuation
targets, had increased in price to such an extent that they were no longer
small cap companies, or where fundamentals changed such that we were no longer
confident in the fundamental outlook. The strong performance of small cap
stocks over the last three years has added to the turnover as rapid advances in
stock prices have meant that valuation targets can be reached in a matter of
months. The portfolio's turnover is a consequence of our attempt to maintain
the portfolio consistently invested in value stocks with strong fundamentals
that, on average, have market capitalization under $2 billion.
Energy withstood a difficult final quarter to easily wind up as best performing
sector during the past year with most of the positions appreciating
substantially. At the end of December, energy stocks represented about 16% of
the portfolio. Among the best performers were Parallel Petroleum and Carrizo
Oil & Gas, which returned 64% and 61%, respectively. The portfolio has been
overweight energy for more than three years, and given the fundamental outlook,
we expect to overweight energy for the foreseeable future. The holdings in the
Energy sector are split between exploration and production companies (E&P) and
energy equipment and service companies.
On the E&P side, we continue to focus on companies with significant reserves of
natural gas in North America. While many do not appear "cheap" when focusing on
near-term earnings, our focus is on the value of gas reserves in the ground.
For example, Parallel Petroleum currently trades at an approximate P/E of 20
based on 2006 earnings, hardly a low P/E stock. However, when we calculate the
value of its gas reserves in Texas, New Mexico, and Utah, we come up with a
value of better than $30 per share, more than twice the current stock price.
More importantly, to get to this value, we assume natural gas prices of $6.50
per Mcf (thousand cubic feet), about half the current level.
Energy equipment and service stocks are poised for several years of strong
growth as more effort is made to bring new production of oil and gas to the
market. In order to just keep gas and oil supplies at current levels, it takes
an ever-increasing amount of drilling because of the rate of depletion that is
occurring in currently producing wells. It will take a significantly higher
level of capital investment for the world to increase supplies from current
levels, which bodes well for companies such as Grant Prideco, Patterson UTI,
Cal Dive International, etc. Most of the equipment and service companies trade
at P/E ratios in the mid-teens based on 2006 earnings estimates. What makes
these companies so attractive is that their earnings growth rates over the next
three years should exceed 25%. In our view, only a collapse in oil and gas
prices to less than half their current levels will change their earnings
outlook. Hence, the key question in assessing the attractiveness of energy
investments is the future outlook for energy prices.
For some time we have maintained the belief that oil would stay above $50 per
barrel and natural gas above $6 per 1,000 cubic feet (Mcf). At these prices, we
believe the companies we currently own are undervalued. The futures market
provides data on the outlook that investors and speculators have on oil and
natural gas prices. As of early October, the 6-year futures on oil were trading
just above $62 per barrel. Oil producers could lock in a sale price on oil
above $60 for the next 6 years. The 6-year natural gas futures are trading over
$8.80 per Mcf.
While the market is often wrong on the future outlook for prices (remember the
technology bubble!), the futures market provides a hedging opportunity where
energy companies can lock in the future sale price of their production. If we
were running these companies, we would certainly look to take advantage of the
opportunity to lock in future profits. The bottom line is that you do not need
heroic assumptions on future commodity prices to still be bullish on the Energy
sector. As a final comment, we firmly believe that the energy holdings will be
volatile. Investments based on commodity prices always are. In addition, there
is a lot of "hot" money chasing the sector where a long-term holding period
might mean from breakfast until lunch.
Industrial stocks currently represent approximately 17% of the portfolio. A
recent addition of note is Insteel, which produces concrete reinforcing
products that are used in road building as well as commercial construction. It
currently trades at just 6.2 times trailing earnings and has an excellent
balance sheet. We expect Insteel to benefit in the coming years from the
increased spending on road repair and construction as the US is forced to
upgrade the long neglected infrastructure. In fact, several of the portfolio's
holdings such as General Cable and Watts Water Technologies also stand to
benefit from this trend.
We continue to like the aerospace and defense stocks and they represent about a
third of the portfolio's industrial positions. Among our favorite names in this
area are Aviall and DRS Technologies. Aviall trades at a P/E of 19 times, a
little rich for our taste, but it has increased greatly since our initial
foray. We still hold it because of its unique position as a sole supplier of
parts for a large number of widely used jet engines and other key plane
assemblies. Most of its focus is on after-market parts that have to be replaced
on a regular basis. We see continued earnings growth in the low to mid-teens
over the next five years. DRS Technologies focuses more on the defense area
with a wide range of products in the intelligence, data gathering, and
surveillance areas. Like Aviall, it should enjoy growth rates near the mid
teens level for the next three to five years.
DHB Industries and Duratek were the two worst performing industrial stocks
during the quarter. DHB Industries declined over 41% due to fears of serious
financial consequences stemming from lawsuits that claim the company did not
appropriately warn investors about problems with its products. Given that DHB
produces body armor for police and the military, product quality and consumer
confidence are extremely important. We decided to sell the stock rather than
wait for the outcome of the lawsuits. Duratek which is in the business of
cleaning up, transporting, and disposing of nuclear material fell over 30%
after announcing poor quarterly results and was eliminated from the portfolio
late in the year.
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47
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STYLE FOCUS SERIES: SMALL CAP VALUE PORTFOLIO FOR THE PERIOD ENDED 12/31/05
MANAGED BY TIMCO ASSET MANAGEMENT, INC. AND
DREMAN VALUE MANAGEMENT L.L.C.
LETTER TO POLICYHOLDERS (CONTINUED)
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The Portfolio's health care stocks currently account for 15% of the total
portfolio. Lifepoint Hospitals declined slightly during the year as the impact
of the hurricanes and fears of bad debts weighted on the stocks, again showing
the far reaching of the fall's devastating series of storms. Biovail Corp., a
pharmaceutical stock with a portfolio of products that aid in the oral delivery
of drugs, was a standout with a return of over 28%. Biovail was added in August
and sold in November so it did not take long to add value. In fact, this is an
example of our earlier statement about how quickly small cap stock prices can
change.
Financial stocks were hindered by the growing headwind of rising interest rates
for much of the past year before rallying in the final quarter. The portfolio's
holdings in the Real Estate industries were particularly weak. We have been
concerned for some time about the outlook for financial stocks and have been
underweight the sector for several quarters relative to the Russell 2000 Value.
Doral Financial and R&G Financial, both thrifts, each declined approximately
20%. They have been under pressure due to write-offs arising from their
mortgage portfolios. Longer term, we still think R&G Financial offers
attractive return potential as it currently trades at a P/E of 6.5 with
earnings growth of approximately 10%. While Doral is similarly valued, we have
lost confidence in management and consequently sold the position shortly after
the quarter ended.
Real Estate stocks also were hurt by weakness late in the year as investor
concerns on interest rates caused interest in REITs to wane. We hold about 6.0%
of the portfolio in REITs, about half of the small cap value benchmark, and
remain confident on the long-term prospects for companies such as KKR
Financial, Newcastle Investment, and Novastar Financial. Novastar has been a
favorite of short sellers who remain convinced that the sub-prime mortgage area
is due for a major fall. At current levels, Novastar yields almost 20% based on
its regular quarterly dividend and our analysis shows that the yield is safe
unless extraordinary events roil the economy. In fact, between now and January
2007, Novastar should pay out almost $10 in dividends or 30% of the current
stock price. We see little on the horizon that will put these dividends at risk.
TIMCO ASSET MANAGEMENT, INC. COMMENTARY
On December 1, 2005, Legg Mason, Inc. ("Legg Mason") and Citigroup, Inc.
("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 part of this transaction, the
investment subadviser for the Portfolio became a wholly owned subsidiary of
Legg Mason.
WHAT WERE THE OVERALL MARKET CONDITIONS DURING THE PORTFOLIO'S REPORTING PERIOD?
With oil prices receding from their peaks, the financial markets have turned to
other worries, especially the housing market and inflation. The Federal
Reserve/i/ has indicated to investors that it will do what is necessary to
prevent an acceleration of inflation, which could stifle sustainable economic
growth. Currently, the economy is expanding at a healthy pace. In our opinion,
with the exception of wider trade deficit, recent economic data on consumer
demand, industrial production, and housing strongly support a sustainable
economic growth environment.
A positive sign for sustainable economic growth came from the industrial
sector. For the fourth quarter in a row, operating cash flow exceeded what
companies spent on capital goods and inventories. The capability of
corporations to increase capital spending is substantial, as the expenditures
could be more than accommodated by internal portfolios. Although cash flow has
been strong, the corporate sector is making little demand on the capital
markets. After spending most of the past few years as the weakest part of the
economy, the industrial sector has made a transition to a strong expansion
path. The combination of rising demand has provided a potent stimulus for
industrial activity. While production has still not recovered to its previous
peak level, the upward trend appears to be encouraging.
WHAT WERE THE LEADING CONTRIBUTORS TO PERFORMANCE?
Our performance analysis indicated that stock selection was favorable in the
financials and information technology sectors. With our quantitative
discipline, we rely heavily on our proprietary stock selection model to rank
stocks. However, our stock selection model generated only mixed results. The
stocks that ranked high using our valuation factors performed well in the past
year. Our valuation factors consist of traditional valuation metrics such as
the earnings multiples and the price-to-cash flow ratio. The earnings multiple
performed well particularly in health care and finance sectors. The
price-to-cash flow ratio also produced slightly positive results and reversed
its declining trend. The price-to-book ratio continued to post moderate gains,
and contributed to the overall performance of the quantitative model. In the
financials sector, our overweight positions in Federal Agricultural Mortgage,
Piper Jaffray, and Kilroy Realty contributed positively to performance. In the
information technology sector, we were helped by our holdings in Talx, Nuance
Communications, and United Online.
WHAT WERE THE LEADING DETRACTORS FROM PERFORMANCE?
Our performance analysis indicated that stock selection was difficult in the
telecommunication services and consumer staples sectors. Among the earnings
factors that we use in our quantitative stock selection model, the estimates
revisions factor continued to be anemic but showed signs of improvement. The
earnings surprise factor also struggled and detracted from performance. The
earnings diffusion factor, however, contributed the most to the overall
performance. The overall performance of our earnings factors could be
attributed to a growing focus on earnings, as concerns on inflation began to
diminish due to some recent economic data. In the telecommunication services
sector, our overweight positions in Price Communications, Cincinnati Bell, and
Golden Telecom hurt us. Similarly, in the consumer staples sector, we were
negatively impacted by our positions in Alliance One International, Chiquita
Brands International, and NBTY.
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. The performance returns
shown above do not reflect the deduction of sales charges, which, if reflected,
would reduce performance. The views
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STYLE FOCUS SERIES: SMALL CAP VALUE PORTFOLIO FOR THE PERIOD ENDED 12/31/05
MANAGED BY TIMCO ASSET MANAGEMENT, INC. AND
DREMAN VALUE MANAGEMENT L.L.C.
LETTER TO POLICYHOLDERS (CONTINUED)
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expressed are opinions of the portfolio manager as of December 31, 2005 and are
subject to change based on market and other conditions. These views may differ
from those of other portfolio managers or the firm as a whole. These opinions
are not intended to be a forecast of future events, a guarantee of future
results or investment advice. Portfolio allocation is subject to change at any
time. The mention of any individual securities should neither constitute or be
construed as a recommendation to purchase or sell securities and information
provided regarding such individual securities is not a sufficient basis upon
which to make an investment decision. Any statistics have been obtained from
sources the portfolio manager believed to be reliable, but the accuracy and
completeness of the information cannot be guaranteed. Portfolio allocations,
holdings and characteristics are subject to change at any time. All investments
involve risk including possible loss of principal.
PLEASE REFER TO PAGES 107 THROUGH 111 FOR A LIST AND PERCENTAGE BREAKDOWN OF
THE PORTFOLIO'S HOLDINGS.
/i/The Federal Reserve Board is responsible for the formulation of a policy
designed to promote economic growth, full employment, stable prices, and a
sustainable pattern of international trade and payments.
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 12/31/05
Percent of
Description Net Assets
-----------------------------------------
CommScope, Inc. 1.27%
-----------------------------------------
Anixter International, Inc. 1.21%
-----------------------------------------
Oregon Steel Mills, Inc. 1.16%
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Southern Union Co. 1.15%
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RTI International Metals, Inc. 1.14%
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URS Corp. 1.12%
-----------------------------------------
Kinetic Concepts, Inc. 1.12%
-----------------------------------------
Cameco Corp. 1.07%
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EMCOR Group, Inc. 0.93%
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Terex Corp. 0.93%
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PORTFOLIO COMPOSITION (% of portfolio market value)
As of 12/31/05
[CHART]
Financials 26.4%
Industrials 16.1%
Non-Cyclical 13.9%
Energy 11.0%
Cyclical 9.5%
Communications 7.7%
Basic Materials 6.7%
Technology 4.7%
Utilities 4.0%
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49
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STYLE FOCUS SERIES: SMALL CAP VALUE PORTFOLIO FOR THE PERIOD ENDED 12/31/05
MANAGED BY TIMCO ASSET MANAGEMENT, INC. AND
DREMAN VALUE MANAGEMENT L.L.C.
LETTER TO POLICYHOLDERS (CONTINUED)
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STYLE FOCUS SERIES: SMALL CAP VALUE PORTFOLIO MANAGED BY
TIMCO ASSET MANAGEMENT, INC. AND DREMAN VALUE MANAGEMENT L.L.C. VS.
RUSSELL 2000 VALUE INDEX/1/
Growth Based on $10,000
[CHART]
Style Focus Series: Small Russell 2000
Cap Value Portfolio Value Index(1)
------------------------- --------------
5/2/2005 $10,000 $ 10,000
12/31/2005 11,357 11,370
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Cumulative Return/2/
(for the period ended 12/31/05)
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Since Inception/3/
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Style Focus Series: Small Cap Value
- -- Portfolio 13.56%
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- - - Russell 2000 Value Index/1/ 13.70%
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/1/The Russell 2000 Value Index is an unmanaged index and measures the
performance of those Russell 2000 companies with lower price-to-book ratios and
lower forcasted growth values. The Index does not include fees or expenses and
is not available for direct investment.
/2/"Cumulative Return" is calculated including reinvestment of all income
dividends and capital gains distributions.
/3/Inception date of Portfolio is 05/01/2005.
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 administration charges of variable annuity or
life insurance contracts. If these charges were included, the returns would be
lower.
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50
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TRAVELERS QUALITY BOND PORTFOLIO FOR THE YEAR ENDED 12/31/05
MANAGED BY SALOMON BROTHERS ASSET MANAGEMENT INC.
LETTER TO POLICYHOLDERS
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On December 1, 2005, Legg Mason, Inc. ("Legg Mason") and Citigroup, Inc.
("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 part of this transaction, the
investment subadviser for the Portfolio became a wholly owned subsidiary of
Legg Mason.
PERFORMANCE REVIEW
For the 12 months ended December 31, 2005, the Travelers Quality Bond Portfolio
returned 1.63%. In comparison, the Portfolio's unmanaged benchmark, the Lehman
Brothers Intermediate Government/Credit Bond Index,/iv/ returned 1.58% for the
same period while the Lipper Variable Short-Intermediate Investment Grade Debt
Funds Category Average/1/ was 1.62%.
MARKET OVERVIEW
During the 12 months ended December 31, 2005, the markets were primarily driven
by Federal Reserve Board ("Fed")/i/ activity, employment and inflation data and
rising energy costs, exacerbated 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 federal funds rate/ii/ from 2.25% to 4.25% by period
end. These measured, consecutive, rate hikes exerted upward pressure on
short-term bond yields, driving 2-year yields up about 134 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, declining 29
basis points over the 12 months. This sharp rise in shorter yields and decline
in longer yields resulted in the extensive yield curve flattening seen
throughout the period and, near year end, a brief yield curve inversion as
2-year U.S. Treasury yields broke above 10-year U.S. Treasury yields on
stronger-than-expected housing starts.
As the market appeared to fully expect each 25-basis-point hike in the federal
funds rate during the period--thanks to the Fed's well-telegraphed 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 much of the
year that it would increase rates "at a pace that is likely to be measured,"
noting that core inflation remained low through the year and long-term
inflation expectations were "contained". However, higher energy costs,
exacerbated by the supply disruption following the Hurricanes Katrina and Rita,
augmented already building inflationary pressure. Although the Fed maintained
its "measured" language until the very end of the quarter due to continued
strong economic growth and manageable inflation, in an important departure from
previous accompanying statements, the Federal Open Market Committee (FOMC)
removed its characterization of monetary policy as "accommodative" in its
December statement, as well as the signal phrase "at a pace that is likely to
be measured", a key indicator of future rate hikes. The overall tone of the
December statement, the also indicated that monetary policy decisions will
become more data-dependent as the Fed shifts from its focus on reaching neutral
to limiting pricing pressures. The nomination of Ben Bernanke in October as Fed
Chairman Alan Greenspan's replacement also affected the financial markets,
leaving open the question of future policy direction, as Mr. Bernanke's
specific focus and leadership skills are, in part, unknown.
Economic growth remained remarkably resilient during the annual period,
particularly in light of the volatility seen in employment indicators and mixed
industrial production, retail sales and consumer sentiment during Spring 2005
and in the aftermath of Fall 2005's Hurricanes Katrina and Rita. Although the
pace of improvement remained uneven month to month, the U.S. labor market
trended broadly positive during the annual period, continuing the upswing in
employment that began in early 2004. Unemployment fell through the majority of
the period, declining from 5.4% in December 2004 to 4.9% in December 2005.
While September 2005 saw a 0.2% month-over-month uptick in unemployment to 5.1%
as the dislocation in the Gulf region flowed through the economy, the
unemployment rate shifted back down in the fourth quarter. An exceedingly
strong housing market also supported economic growth during the year,
continuing its upward charge through the period despite some softening by
year-end.
Industrial production and retail sales remained broadly positive through most
of the period, even considering the volatility in the auto sector as General
Motors Corporation and Ford Motor Corporation were successively downgraded by
three major statistical credit rating agencies to below investment grade in
Spring 2005. While auto sales dragged headline retail numbers by period end, as
reductions in auto production hit the market and the highly successful
automotive dealer incentive packages offered through the summer came to an end,
overall retail sales (ex-autos) remained reasonably stable. Industrial
production declined in September on the impact of the hurricanes but rebounded
sharply in October, resuming the strong upswing seen through the majority of
the annual period. Consumer confidence, which plummeted through the Fall, ended
the year up slightly at 103.6 versus December 2004's 102.3 reading, as gasoline
prices fell in the fourth quarter.
Despite the resilience of the U.S. economy during the period, slowing global
growth, broadly rising inflation and higher oil prices undoubtedly restrained
economic activity during the 12 months. U.S. gross domestic product
("GDP")/iii/ declined year-over-year to 3.8% growth in first quarter 2005 (from
first quarter 2004's 4.5% pace) and 3.4% growth in second quarter 2005 (from
second quarter 2004's 3.5% pace). While economic growth rebounded into the
third quarter, gaining 4.1% on an annualized basis, the recovery was at least
partially fueled by the massive fiscal stimulus injected into the Gulf region
in the wake of the hurricanes. Therefore, although growth remained strong
throughout the period, fears of potential slowing, combined with increasing
inflation, drove markets. Oil prices, which breached $70 per barrel in late
August before drifting back down to the mid-$60s, also cast a pall on growth
and consumer spending expectations.
While inflationary pressures from sustained high commodity prices began to
creep into the economy, particularly near the end of the year, continued strong
growth and limited wage pressures kept long-term inflation expectations
relatively "contained" through 2005. Core inflation rates, in particular,
remained at moderate levels, with core CPI inflation consistently registering
below market expectations through early Fall despite growing inflationary
pressure. Inflation fears tapered off slightly during the last two months of
the quarter as energy costs came off their September highs, with headline
inflation even
- --------------------------------------------------------------------------------
51
- --------------------------------------------------------------------------------
TRAVELERS QUALITY BOND PORTFOLIO FOR THE YEAR ENDED 12/31/05
MANAGED BY SALOMON BROTHERS ASSET MANAGEMENT INC.
LETTER TO POLICYHOLDERS (CONTINUED)
- --------------------------------------------------------------------------------
surprising on the downside in December. However, despite the apparently
moderate pace of inflation through 2005, the Fed remained extremely vigilant,
as some inflation pressures began to seep into producer prices and U.S.
economic growth continued at its surprisingly strong pace. Consistently high
energy prices also began to push up core CPI inflation by December-end,
stopping its downward month-to-month drift to end the year with a 0.2%
month-over-month increase in December, near the upper end of the Fed's apparent
comfort range.
/1/Lipper, Inc. is a major independent mutual-fund tracking organization.
Returns are based on the 12-month period ended December 31, 2005, including the
reinvestment of distributions, including returns of capital, if any, calculated
among the 183 funds in the Fund's Lipper category and excluding sales charges.
/i/The Federal Reserve Board is responsible for the formulation of a policy
designed to promote economic growth, full employment, stable prices, and a
sustainable pattern of international trade and payments.
/ii/The federal funds rate is the interest rate that banks with excess reserves
at a Federal Reserve district bank charge other banks that need overnight loans.
/iii/Gross domestic product is a market value of goods and services produced by
labor and property in a given country.
/iv/The Lehman Brothers Government/Credit Bond Index is a broad-based index
composed government and corporate debt issues that are (rated Baa/BBB or
higher). Please note that an investor cannot invest directly in an index.
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 12/31/05
Percent of
Description Net Assets
------------------------------------------------------------------------
U.S. Treasury Notes (2.875%, 11/30/06) 11.57%
------------------------------------------------------------------------
U.S. Treasury Notes (4.125%, 08/15/08) 10.00%
------------------------------------------------------------------------
U.S. Treasury Notes (4.000%, 08/31/07) 6.66%
------------------------------------------------------------------------
U.S. Treasury Notes (3.375%, 11/15/08) 3.54%
------------------------------------------------------------------------
Time Warner, Inc. (6.150%, 05/01/07) 2.04%
------------------------------------------------------------------------
U.S. Treasury Notes (4.125%, 08/15/10) 1.94%
------------------------------------------------------------------------
Commercial Mortgage Pass Through Certificates Series 2005-C6,
Class A5B (5.167%, 06/10/44) 1.78%
------------------------------------------------------------------------
JP Morgan Chase Commercial Mortgage Securities Corp.
Series 2004-C3, Class AJ (4.922%, 01/15/42) 1.63%
------------------------------------------------------------------------
Pepco Holdings, Inc. (5.500%, 08/15/07) 1.57%
------------------------------------------------------------------------
HSBC Finance Corp. (6.375%, 10/15/11) 1.54%
------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION (% of portfolio market value)
As of 12/31/05
LOGO
- --------------------------------------------------------------------------------
52
- --------------------------------------------------------------------------------
TRAVELERS QUALITY BOND PORTFOLIO FOR THE YEAR ENDED 12/31/05
MANAGED BY SALOMON BROTHERS ASSET MANAGEMENT INC.
LETTER TO POLICYHOLDERS (CONTINUED)
- --------------------------------------------------------------------------------
TRAVELERS QUALITY BOND PORTFOLIO MANAGED BY
SALOMON BROTHERS ASSET MANAGEMENT INC. VS.
LEHMAN BROTHERS INTERMEDIATE GOVERNMENT/CREDIT BOND INDEX/1/
Growth Based on $10,000
[CHART]
Travelers Quality Lehman Bro. Intermediate
Bond Portfolio Gov/Credit Bond Interest
-------------- ------------------------
8/30/1996 $10,000 $10,000
12/31/1996 10,356 10,388
12/31/1997 11,095 11,624
12/31/1998 12,036 13,004
12/31/1999 12,168 13,055
12/31/2000 13,015 14,376
12/31/2001 13,944 15,664
12/31/2002 14,753 16,651
12/31/2003 15,784 17,369
12/31/2004 16,303 17,897
12/31/2005 16,579 18,180
----------------------------------------------------------------
Average Annual Return/2/
(for the period ended 12/31/05)
----------------------------------------------------------------
1 Year 3 Year 5 Year Since Inception/3/
----------------------------------------------------------------
Travelers Quality Bond
- -- Portfolio 1.63% 3.94% 4.95% 5.56%
----------------------------------------------------------------
Lehman Brothers
Intermediate Government/
- - - Credit Bond Index/1/ 1.58% 2.97% 5.50% 6.87%
----------------------------------------------------------------
/1/The Lehman Brothers Intermediate Government/Credit Bond Index is a weighted
composite of the Lehman Brothers Government Bond Index, which is a broad-based
index of all public debt obligations of the U.S. government and its agencies
and has an average maturity of nine years and the Lehman Brothers Credit Bond
Index, which is comprised of all public fixed-rate non-convertible
investment-grade domestic corporate debt, excluding collateralized mortgage
obligations. The Index does not include fees and 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 08/30/1996.
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 administration charges of variable annuity or
life insurance contracts. If these charges were included, the returns would be
lower.
- --------------------------------------------------------------------------------
53
- --------------------------------------------------------------------------------
U.S. GOVERNMENT SECURITIES PORTFOLIO FOR THE YEAR ENDED 12/31/05
MANAGED BY SALOMON BROTHERS ASSET MANAGEMENT INC.
LETTER TO POLICYHOLDERS
- --------------------------------------------------------------------------------
On December 1, 2005, Legg Mason, Inc. ("Legg Mason") and Citigroup, Inc.
("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 part of this transaction, the
investment subadviser for the Portfolio became a wholly owned subsidiary of
Legg Mason.
PERFORMANCE REVIEW
For the twelve months ended December 31, 2005, U.S. Government Securities
Portfolio returned 4.33%. The Portfolio outperformed its unmanaged benchmark,
the Merrill Lynch U.S. Treasury/Agency Master Index/v/, which returned 2.66%
for the same period. The Portfolio underperformed its other unmanaged composite
benchmark, the Merrill Lynch U.S. Treasuries 15+ Years/Merrill Lynch Mortgage
Master Index/vi/, which returned 5.01%, for the same period. The Portfolio
outperformed the Portfolio's Lipper General U.S. Government Funds Category
Average/1/, which increased 2.05%.
MARKET OVERVIEW
During the 12 months ended December 31, 2005, the markets were primarily driven
by Federal Reserve Board ("Fed")/i/ activity, employment and inflation data and
rising energy costs, exacerbated by the devastating impact of Hurricane Katrina
on the U.S. Gulf Coast. The Fed's eight "measured" 25-basis-point/ii/ hikes
during the period brought the federal funds rate/iii/ from 2.25% to 4.25% by
period end. These rate hikes exerted upward pressure on short-term bond yields,
driving 2-year yields up about 134 basis points during the 12 months. However,
in what Fed Chairman Alan Greenspan termed a "conundrum," yields on the long
bond stayed relatively low during the period, declining 29 basis points during
the period. This sharp rise in shorter yields and decline in longer yields
resulted in the extensive yield curve flattening seen during the period and,
near year-end, a brief yield curve inversion as 2-year U.S. Treasury note
yields broke above 10-year yields on reports of stronger-than-expected housing
starts.
As many market participants fully expected each 25-basis-point hike in the
federal funds rate during the period--thanks to the Fed's well-telegraphed
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 much of the
year that it would increase rates "at a pace that is likely to be measured,"
noting that core inflation remained low through the year and long-term
inflation expectations were "contained". However, higher energy costs,
exacerbated by the supply disruption following the Hurricanes Katrina and Rita,
augmented building inflationary pressure. Although the Fed maintained its
"measured" language until the very end of the quarter due to continued strong
economic growth and manageable inflation, in an important departure from
previous accompanying statements, the Federal Open Market Committee ("FOMC")
removed its characterization of monetary policy as "accommodative" in its
December statement, as well as the signal phrase "at a pace that is likely to
be measured", a key indicator of future rate hikes. The overall tone of the
December statement also indicated that monetary policy decisions will become
more data-dependent as the Fed may shift from its focus on reaching neutral to
limiting pricing pressures. The nomination of Ben Bernanke in October as Fed
Chairman Alan Greenspan's replacement also affected markets, leaving open the
question of future policy direction, as Mr. Bernanke's specific focus and
leadership skills are, in part, unknown.
Economic growth remained remarkably resilient during the annual period,
particularly in light of the volatility seen in employment indicators and mixed
industrial production, retail sales and consumer sentiment during Spring 2005
and in the aftermath of Fall 2005's Hurricanes Katrina and Rita. Although the
pace of improvement remained uneven from month to month, the U.S. labor market
trended broadly positive during the annual period, continuing the upswing in
employment that began in early 2004. Unemployment fell through the majority of
the period, declining from 5.4% in December 2004 to 4.9% in December 2005.
While September 2005 saw a 0.2% month-over-month uptick in unemployment to 5.1%
as the dislocation in the Gulf region flowed through, the unemployment rate
shifted back down in the fourth quarter. An exceedingly strong housing market
also supported economic growth during the year, continuing its upward charge
through the period despite some softening by year-end.
Industrial production and retail sales remained broadly positive through most
of the period, even considering the volatility in the auto sector as General
Motors Company and Ford Motor Company were successively downgraded by three
major statistical credit rating agencies to below investment grade in Spring
2005. While auto sales dragged down headline retail numbers by period end, as
reductions in auto production hit the market and the highly successful
automotive dealer incentive packages offered through the summer came to an end,
overall retail sales (ex-autos) remained reasonably stable. Industrial
production declined in September on the impact of the hurricanes but rebounded
sharply in October, resuming the strong upswing seen through the majority of
the annual period. Consumer confidence, which plummeted through the Fall, ended
the year up slightly at 103.6 versus the December 2004 reading of 102.3, as
gasoline prices fell in the fourth quarter.
Despite the resilience of the U.S. economy during the period, slowing global
growth, broadly rising inflation and higher oil prices undoubtedly restrained
economic activity during the 12 months. U.S. gross domestic product ("GDP")/iv/
declined year-over-year to 3.8% growth in first quarter 2005 (from first
quarter 2004's 4.5% pace) and 3.4% growth in second quarter 2005 (from second
quarter 2004's 3.5%). While economic growth rebounded into the third quarter,
gaining 4.1% on an annualized basis, the recovery was at least partially fueled
by the massive fiscal stimulus injected into the Gulf region in the wake of the
hurricanes. Therefore, although growth remained strong throughout the period,
fears of potential slowing, combined with increasing inflation, drove markets.
Oil prices, which breached $70 per barrel in late August before drifting back
down to the mid-$60s, also cast a pall on growth and consumer spending
expectations.
While inflationary pressures from sustained high commodity prices began to
creep into the economy, particularly near the end of the year, continued strong
growth and limited wage pressures kept long-term inflation expectations
relatively "contained" through 2005. Core
- --------------------------------------------------------------------------------
54
- --------------------------------------------------------------------------------
U.S. GOVERNMENT SECURITIES PORTFOLIO FOR THE YEAR ENDED 12/31/05
MANAGED BY SALOMON BROTHERS ASSET MANAGEMENT INC.
LETTER TO POLICYHOLDERS (CONTINUED)
- --------------------------------------------------------------------------------
inflation rates, in particular, remained at moderate levels, with core CPI
inflation consistently registering below market expectations through early Fall
despite growing inflationary pressure. Inflation fears tapered off slightly
during the last two months of the quarter as energy costs came off their
September highs, with headline inflation even surprising on the downside in
December. However, despite the apparently moderate pace of inflation through
2005, the Fed remained extremely vigilant, as some inflation pressures began to
seep into producer prices and U.S. economic growth continued at its
surprisingly strong pace. Consistently high energy prices also began to push up
core CPI inflation by December end, stopping its downward month-to-month drift
to end the year with a 0.2% month-over-month increase in December, near the
upper end of what many investors perceive to be the Fed's comfort range.
/1/Lipper, Inc. is a major independent mutual-fund tracking organization.
Returns are based on the 12-month period ended December 31, 2005, including the
reinvestment of distributions, including returns of capital, if any, calculated
among the 166 funds in the Fund's Lipper category, and excluding sales charges.
/i/The Federal Reserve Board is responsible for the formulation of a policy
designed to promote economic growth, full employment, stable prices, and a
sustainable pattern of international trade and payments.
/ii/A basis point is one one-hundredth (1/100 or 0.01) of one percent.
/iii/The federal funds rate is the interest rate that banks with excess
reserves at a Federal Reserve district bank charge other banks that need
overnight loans.
/iv/Gross domestic product is a market value of goods and services produced by
labor and property in a given country.
/v/The Merrill Lynch U.S. Treasury/Agency Master Index is an index comprised of
U.S. Treasury and Agency securities.
/vi/The Merrill Lynch U.S. Treasuries 15+ Years Index tracks the performance of
the direct Sovereign debt of the U.S. Government. It includes all U.S.
dollar-denominated U.S. Treasury Notes and Bonds having at least 15 years
remaining term to maturity and a minimum amount outstanding of $1 billion. The
Merrill Lynch Mortgage Master Index (also called the Mortgage Backed Securities
Index) tracks the performance of the U.S. dollar-denominated 30-year, 15-year
and balloon pass through mortgage securities having at least $150 million
outstanding per generic production year (defined as the aggregation of all
mortgage pools having a common issuer, type, coupon and production year.)
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 12/31/05
Percent of
Description Net Assets
---------------------------------------------------------------------
U.S. Treasury Note (4.125%, 05/15/15) 10.69%
---------------------------------------------------------------------
U.S. Treasury Bond (6.250%, 08/15/23) 10.19%
---------------------------------------------------------------------
U.S. Treasury Bond (5.250%, 11/15/28) 5.25%
---------------------------------------------------------------------
Federal National Mortgage Assoc. (5.500%, 12/01/99) 5.16%
---------------------------------------------------------------------
Federal National Mortgage Assoc. (6.000%, 04/01/35) 4.48%
---------------------------------------------------------------------
Tennessee Valley Authority, Series G (7.125%, 05/01/30) 4.45%
---------------------------------------------------------------------
Financing Corp.(FICO) Strips, Series 13 (5.229%, 06/27/11) 4.11%
---------------------------------------------------------------------
U.S. Treasury Strip (3.230%, 02/15/27) 4.02%
---------------------------------------------------------------------
U.S. Treasury Bond (8.875%, 02/15/19) 3.88%
---------------------------------------------------------------------
Federal Home Loan Mortgage Corp. (5.000%, 10/01/35) 3.26%
---------------------------------------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION (% of portfolio market value)
As of 12/31/05
[CHART]
Collateralized Mortgage Obligations 16.4%
U.S Government Agency Mortgage Backed Securities 35.0%
U.S Government & Agency Obligations 48.6%
- --------------------------------------------------------------------------------
55
- --------------------------------------------------------------------------------
U.S. GOVERNMENT SECURITIES PORTFOLIO FOR THE YEAR ENDED 12/31/05
MANAGED BY SALOMON BROTHERS ASSET MANAGEMENT INC.
LETTER TO POLICYHOLDERS (CONTINUED)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT SECURITIES PORTFOLIO MANAGED BY
SALOMON BROTHERS ASSET MANAGEMENT VS.
MERRILL LYNCH U.S. TREASURY/AGENCY MASTER INDEX/1/ AND COMPOSITE INDEX/2/
Growth Based on $10,000
[CHART]
MERRILL LYNCH U.S.
U.S. GOVERNMENT TREASURY/Agency Composite
SECURITIES PORTFOLIO Master Index/1/ Index/2/
-------------------- -------------- -----------
12/31/1994 10,000 10,000 10,000
12/31/1995 12,442 11,831 12,423
12/30/1996 12,623 12,158 12,684
12/30/1997 14,216 13,325 14,250
12/30/1998 15,666 14,637 15,745
12/31/1999 15,004 14,328 15,143
12/30/2000 17,185 16,207 17,588
12/30/2001 18,185 17,370 18,635
12/30/2002 20,663 19,328 21,106
12/31/2003 21,231 19,784 21,688
12/30/2004 22,532 20,460 23,103
12/30/2005 26,156 21,004 24,260
--------------------------------------------------------------
Average Annual Return/3/
(for the period ended 12/31/05)
--------------------------------------------------------------
1 Year 3 Year 5 Year 10 Year Since Inception/4/
--------------------------------------------------------------
U.S.
Government
Securities
- -- Portfolio 4.33% 4.39% 6.47% 6.57% 7.16%
--------------------------------------------------------------
Merrill Lynch
U.S. Treasury/
Agency Master
- - - Index/1/ 2.66% 2.81% 5.33% 5.91% 5.91%
--------------------------------------------------------------
Composite
- -- Index/2/ 5.01% 4.75% 6.62% 6.87% 6.92%
--------------------------------------------------------------
/1/The Merrill Lynch U.S. Treasury/Agency Master Index (also known as the U.S.
Government Index) tracks the performance of the combined U.S. Treasury and U.S.
Agency markets. The Index does not include fees and expenses and is not
available for direct investment.
/2/Composite Index which is an equally weighted average of the Merrill Lynch
U.S. Treasuries 15+ years Index and the Merrill Lynch Mortgage Master Index
The Merrill Lynch U.S. Treasuries 15+ Years Index tracks the performance of the
direct Sovereign debt of the U.S. Government. It includes all U.S.
dollar-denominated U.S. Treasury Notes and Bonds having at least 15 years
remaining term to maturity and a minimum amount outstanding of $1 billion. The
Index does not include fees and expenses and is not available for direct
investment.
The Merrill Lynch Mortgage Master Index (also called the Mortgage Backed
Securities Index) tracks the performance of the U.S. dollar-denominated
30-year, 15-year and balloon pass-through mortgage securities having at least
$150 million outstanding per generic production year (defined as the
aggregation of all mortgage pools having a common issuer, type, coupon and
production year.) The Index does not include fees and 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 12/31/1994.
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 administration charges of variable annuity or
life insurance contracts. If these charges were included, the returns would be
lower.
- --------------------------------------------------------------------------------
56
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 July 1, 2005 through December 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*
6/30/05 12/31/05 7/1/05-12/31/05
CONVERTIBLE SECURITIES PORTFOLIO ------------- ------------- ---------------
Class A
Actual $1,000.00 $1,040.10 $3.86
Hypothetical (5% return before expenses) 1,000.00 1,021.42 3.82
- ------------------------------------------ ------------- ------------- ---------------
* Expenses are equal to the Portfolio's annualized expense ratio of 0.75% for
the Portfolio, 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*
6/30/05 12/31/05 7/1/05-12/31/05
DISCIPLINED MID CAP STOCK PORTFOLIO ------------- ------------- ---------------
Class A
Actual $1,000.00 $1,074.90 $4.29
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% for
the Portfolio, 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*
6/30/05 12/31/05 7/1/05-12/31/05
EQUITY INCOME PORTFOLIO ------------- ------------- ---------------
Class A
Actual $1,000.00 $1,063.10 $4.42
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% for
the Portfolio, multiplied by the average account value over the period,
multiplied by 184/365 (to reflect the one-half year period).
57
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING PERIOD*
6/30/05 12/31/05 7/1/05-12/31/05
FEDERATED HIGH YIELD PORTFOLIO ------------- ------------- ---------------
Class A
Actual $1,000.00 $1,025.50 $4.44
Hypothetical (5% return before expenses) 1,000.00 1,020.82 4.43
- ------------------------------------------ ------------- ------------- ---------------
* Expenses are equal to the Portfolio's annualized expense ratio of 0.87% for
the Portfolio, 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*
6/30/05 12/31/05 7/1/05-12/31/05
FEDERATED STOCK PORTFOLIO ------------- ------------- ---------------
Class A
Actual $1,000.00 $1,046.80 $4.90
Hypothetical (5% return before expenses) 1,000.00 1,020.42 4.84
- ------------------------------------------ ------------- ------------- ---------------
* Expenses are equal to the Portfolio's annualized expense ratio of 0.95% for
the Portfolio, 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*
6/30/05 12/31/05 7/1/05-12/31/05
LARGE CAP PORTFOLIO ------------- ------------- ---------------
Class A
Actual $1,000.00 $1,089.20 $4.53
Hypothetical (5% return before expenses) 1,000.00 1,020.82 4.38
- ------------------------------------------ ------------- ------------- ---------------
* Expenses are equal to the Portfolio's annualized expense ratio of 0.86% for
the Portfolio, 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*
6/30/05 12/31/05 7/1/05-12/31/05
MANAGED ALLOCATION SERIES: AGGRESSIVE PORTFOLIO ------------- ------------- ---------------
Class A
Actual $1,000.00 $1,086.00 $1.84
Hypothetical (5% return before expenses) 1,000.00 1,023.44 1.79
- ----------------------------------------------- ------------- ------------- ---------------
* Expenses are equal to the Portfolio's annualized expense ratio of 0.35% for
the Portfolio, 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*
6/30/05 12/31/05 7/1/05-12/31/05
MANAGED ALLOCATION SERIES: CONSERVATIVE PORTFOLIO ------------- ------------- ---------------
Class A
Actual $1,000.00 $1,019.30 $1.78
Hypothetical (5% return before expenses) 1,000.00 1,023.44 1.79
- ------------------------------------------------- ------------- ------------- ---------------
* Expenses are equal to the Portfolio's annualized expense ratio of 0.35% for
the Portfolio, 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*
6/30/05 12/31/05 7/1/05-12/31/05
MANAGED ALLOCATION SERIES: MODERATE PORTFOLIO ------------- ------------- ---------------
Class A
Actual $1,000.00 $1,054.40 $1.81
Hypothetical (5% return before expenses) 1,000.00 1,023.44 1.79
- --------------------------------------------- ------------- ------------- ---------------
* Expenses are equal to the Portfolio's annualized expense ratio of 0.35% for
the Portfolio, multiplied by the average account value over the period,
multiplied by 184/365 (to reflect the one-half year period).
58
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING PERIOD*
6/30/05 12/31/05 7/1/05-12/31/05
MANAGED ALLOCATION SERIES: MODERATE-AGGRESSIVE PORTFOLIO ------------- ------------- ---------------
Class A
Actual $1,000.00 $1,064.70 $1.82
Hypothetical (5% return before expenses) 1,000.00 1,023.44 1.79
- -------------------------------------------------------- ------------- ------------- ---------------
* Expenses are equal to the Portfolio's annualized expense ratio of 0.35% for
the Portfolio, 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*
6/30/05 12/31/05 7/1/05-12/31/05
MANAGED ALLOCATION SERIES: MODERATE-CONSERVATIVE PORTFOLIO ------------- ------------- ---------------
Class A
Actual $1,000.00 $1,036.20 $1.80
Hypothetical (5% return before expenses) 1,000.00 1,023.44 1.79
- ---------------------------------------------------------- ------------- ------------- ---------------
* Expenses are equal to the Portfolio's annualized expense ratio of 0.35% for
the Portfolio, 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*
6/30/05 12/31/05 7/1/05-12/31/05
MERCURY LARGE CAP CORE PORTFOLIO ------------- ------------- ---------------
Class A
Actual $1,000.00 $1,084.50 $4.83
Hypothetical (5% return before expenses) 1,000.00 1,020.57 4.69
- ------------------------------------------ ------------- ------------- ---------------
* Expenses are equal to the Portfolio's annualized expense ratio of 0.92% for
the Portfolio, 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*
6/30/05 12/31/05 7/1/05-12/31/05
MFS MID CAP GROWTH PORTFOLIO ------------- ------------- ---------------
Class A
Actual $1,000.00 $1,077.20 $4.61
Hypothetical (5% return before expenses) 1,000.00 1,020.77 4.48
- ------------------------------------------ ------------- ------------- ---------------
* Expenses are equal to the Portfolio's annualized expense ratio of 0.88% for
the Portfolio, 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*
6/30/05 12/31/05 7/1/05-12/31/05
MFS VALUE PORTFOLIO ------------- ------------- ---------------
Class A
Actual $1,000.00 $1,052.50 $5.12
Hypothetical (5% return before expenses) 1,000.00 1,020.21 5.04
- ------------------------------------------ ------------- ------------- ---------------
* Expenses are equal to the Portfolio's annualized expense ratio of 0.99% for
the Portfolio, 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*
6/30/05 12/31/05 7/1/05-12/31/05
MONDRIAN INTERNATIONAL STOCK PORTFOLIO ------------- ------------- ---------------
Class A
Actual $1,000.00 $1,113.10 $4.69
Hypothetical (5% return before expenses) 1,000.00 1,020.77 4.48
- ------------------------------------------ ------------- ------------- ---------------
* Expenses are equal to the Portfolio's annualized expense ratio of 0.91% for
the Portfolio, multiplied by the average account value over the period,
multiplied by 184/365 (to reflect the one-half year period).
59
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING PERIOD*
6/30/05 12/31/05 7/1/05-12/31/05
PIONEER FUND PORTFOLIO ------------- ------------- ---------------
Class A
Actual $1,000.00 $1,072.30 $5.28
Hypothetical (5% return before expenses) 1,000.00 1,020.11 5.14
- ------------------------------------------ ------------- ------------- ---------------
* Expenses are equal to the Portfolio's annualized expense ratio of 1.01% for
the Portfolio, 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*
6/30/05 12/31/05 7/1/05-12/31/05
PIONEER MID CAP VALUE PORTFOLIO ------------- ------------- ---------------
Class A
Actual $1,000.00 $1,034.20 $5.13
Hypothetical (5% return before expenses) 1,000.00 1,020.16 5.09
- ------------------------------------------ ------------- ------------- ---------------
* Expenses are equal to the Portfolio's annualized expense ratio of 1.00% for
the Portfolio, 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*
6/30/05 12/31/05 7/1/05-12/31/05
STYLE FOCUS SERIES: SMALL CAP GROWTH PORTFOLIO ------------- ------------- ---------------
Class A
Actual $1,000.00 $1,045.60 $5.67
Hypothetical (5% return before expenses) 1,000.00 1,019.66 5.60
- ---------------------------------------------- ------------- ------------- ---------------
* Expenses are equal to the Portfolio's annualized expense ratio of 1.10% for
the Portfolio, 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*
6/30/05 12/31/05 7/1/05-12/31/05
STYLE FOCUS SERIES: SMALL CAP VALUE PORTFOLIO ------------- ------------- ---------------
Class A
Actual $1,000.00 $1,045.60 $5.67
Hypothetical (5% return before expenses) 1,000.00 1,019.66 5.60
- --------------------------------------------- ------------- ------------- ---------------
* Expenses are equal to the Portfolio's annualized expense ratio of 1.10% for
the Portfolio, 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*
6/30/05 12/31/05 7/1/05-12/31/05
TRAVELERS QUALITY BOND PORTFOLIO ------------- ------------- ---------------
Class A
Actual $1,000.00 $ 999.10 $2.27
Hypothetical (5% return before expenses) 1,000.00 1,022.94 2.29
- ------------------------------------------ ------------- ------------- ---------------
* Expenses are equal to the Portfolio's annualized expense ratio of 0.45% for
the Portfolio, 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*
6/30/05 12/31/05 7/1/05-12/31/05
U.S. GOVERNMENT SECURITIES PORTFOLIO ------------- ------------- ---------------
Class A
Actual $1,000.00 $ 988.80 $2.16
Hypothetical (5% return before expenses) 1,000.00 1,023.04 2.19
- ------------------------------------------ ------------- ------------- ---------------
* Expenses are equal to the Portfolio's annualized expense ratio of 0.43% for
the Portfolio, multiplied by the average account value over the period,
multiplied by 184/365 (to reflect the one-half year period).
60
THE TRAVELERS SERIES TRUST
CONVERTIBLE SECURITIES PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2005
(PERCENTAGE OF NET ASSETS)
-------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
-------------------------------------------------------------------
CONVERTIBLE BONDS - 73.2%
AEROSPACE & DEFENSE - 4.3%
Armor Holdings, Inc., 2.000%/0.000%, due
01/01/24(a)............................ $ 1,000,000 $ 993,750
L-3 Communications Corp.
3.000%, due 08/01/35 (144A)(b)......... 1,600,000 1,590,000
3.000%, due 08/01/35.................... 300,000 298,125
Lockheed Martin Corp. 4.090%, due
08/15/33(c)............................ 1,500,000 1,607,070
-------------
4,488,945
-------------
AIRLINES - 1.6%
Continental Airlines, Inc. 4.500%, due
02/01/07............................... 600,000 562,500
Frontier Airlines, Inc. 5.000%, due
12/15/25............................... 1,000,000 1,085,000
-------------
1,647,500
-------------
BIOTECHNOLOGY - 4.8%
Amgen, Inc. 0.098%, due 03/01/32(d)...... 3,300,000 2,590,500
InterMune, Inc. 0.250%, due 03/01/11..... 1,250,000 1,106,250
Invitrogen Corp.
3.250%, due 06/15/25................... 1,000,000 962,500
3.250%, due 06/15/25 (144A)(b).......... 300,000 288,750
-------------
4,948,000
-------------
BUILDING MATERIALS - 2.5%
Masco Corp., Series B 2.096%, due
07/20/31(d)............................ 2,300,000 1,058,000
NCI Building Systems, Inc. 2.125%, due
11/15/24............................... 1,300,000 1,540,500
-------------
2,598,500
-------------
COMMERCIAL SERVICES & SUPPLIES - 1.6%
Euronet Worldwide, Inc. 1.625%, due
12/15/24............................... 1,600,000 1,642,000
-------------
COMPUTERS & PERIPHERALS - 1.4%
Electronics For Imaging, Inc. 1.500%, due
06/01/23............................... 900,000 1,000,125
Silicon Graphics, Inc. 6.500%, due
06/01/09............................... 700,000 481,250
-------------
1,481,375
-------------
ENVIRONMENTAL SERVICES - 2.2%
Waste Connections, Inc. 4.750%, due
05/01/22(c)............................ 2,100,000 2,333,730
-------------
FINANCIAL - DIVERSIFIED - 0.5%
Merrill Lynch & Co., Inc. 0.000%, due
03/13/32(d)............................ 500,000 532,500
-------------
HEALTH CARE PROVIDERS & SERVICES - 6.4%
LifePoint Hospitals, Inc.
3.250%, due 08/15/25 (144A)(b)......... 1,600,000 1,466,000
3.250%, due 08/15/25.................... 1,200,000 1,099,500
---------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
---------------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES - CONTINUED
Omnicare, Inc. 3.250%, due 12/15/35........ $ 1,000,000 $ 997,500
Pacificare Health Systems, Inc. 3.000%, due
10/15/32................................. 700,000 3,030,125
-------------
6,593,125
-------------
INDUSTRIAL - DIVERSIFIED - 5.1%
Actuant Corp. 2.000%, due 11/15/23......... 1,500,000 2,190,000
Danaher Corp. 1.369%, due 01/22/21(d)...... 1,900,000 1,569,875
Roper Industries, Inc. 1.481%/0.000%, due
01/15/34(a).............................. 2,800,000 1,547,000
-------------
5,306,875
-------------
MEDIA - 3.7%
Charter Communications, Inc.
5.875%, due 11/16/09..................... 1,050,000 786,187
5.875%, due 11/16/09 (144A)(b)............ 450,000 336,938
Liberty Media Corp.
0.750%, due 03/30/23..................... 1,000,000 1,075,000
0.750%, due 03/30/23 (144A)(b)............ 500,000 537,500
4.000%, due 11/15/29...................... 1,800,000 1,064,250
-------------
3,799,875
-------------
OIL & GAS - 5.6%
Grey Wolf, Inc. 4.004%, due 04/01/24(c).... 800,000 1,103,600
Halliburton Co. 3.125%, due 07/15/23....... 700,000 1,200,500
Nabors Industries, Inc., Series B 0.000%,
due 06/15/23(d).......................... 1,500,000 1,775,625
Pride International, Inc. 3.250%, due
05/01/33................................. 1,300,000 1,719,250
-------------
5,798,975
-------------
PACKAGING & CONTAINERS - 1.8%
Sealed Air Corp. 3.000%, due 06/30/33
(144A)(b)................................ 1,900,000 1,904,750
-------------
PHARMACEUTICALS - 9.4%
BioMarin Pharmaceutical, Inc. 3.500%, due
06/15/08................................. 1,700,000 1,606,500
CV Therapeutics, Inc. 2.750%, due
05/16/12................................. 600,000 900,000
Enzon Pharmaceuticals, Inc. 4.500%, due
07/01/08................................. 800,000 722,000
Nektar Therapeutics, 3.250%, due
09/28/12 (144A)(b)....................... 1,000,000 1,011,250
NPS Pharmaceuticals, Inc. 3.000%, due
06/15/08................................. 1,700,000 1,474,750
Oscient Pharmaceutical Corp. 3.500%, due
04/15/11................................. 1,400,000 1,085,000
Sepracor, Inc. 0.049%, due
10/15/24(d).............................. 1,300,000 1,238,250
Teva Pharmaceutical Industries, Ltd.
0.250%, due 02/01/24..................... 1,400,000 1,750,000
-------------
9,787,750
-------------
See notes to financial statements
61
THE TRAVELERS SERIES TRUST
CONVERTIBLE SECURITIES PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 2005
(PERCENTAGE OF NET ASSETS)
------------------------------------------------------------------
SECURITY SHARES/PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
------------------------------------------------------------------
RETAIL - MULTILINE - 6.7%
Best Buy Co., Inc.
2.250%, due 01/15/22.................. $ 1,500,000 $ 1,601,250
2.250%, due 01/15/22 (144A)(b)......... 200,000 213,500
CBRL Group, Inc. 1.953%, due
04/03/32(d)........................... 5,000,000 2,325,000
CKE Restaurants, Inc. 4.000%, due
10/01/23.............................. 275,000 441,031
Men's Wearhouse, Inc. 3.125%, due
10/15/23.............................. 2,000,000 2,330,000
-------------
6,910,781
-------------
SEMICONDUCTOR EQUIPMENT & PRODUCTS - 2.0%
Amkor Technology, Inc. 5.000%, due
03/15/07.............................. 1,200,000 1,138,500
Intel Corp., 2.950%, due 12/15/35
(144A)(b)............................. 1,000,000 981,250
-------------
2,119,750
-------------
SOFTWARE - 5.6%
Mentor Graphics Corp. 5.941%, due
08/06/23(c)........................... 1,400,000 1,278,620
Open Solutions, Inc.
1.467%/0.000%, due 02/02/35(a)........ 575,000 304,031
1.467%/0.000%, due 02/02/35
(144A)(a)(b)......................... 2,200,000 1,163,250
RealNetworks, Inc. 1.585%, due
07/01/10(d)........................... 1,000,000 982,500
SafeNet, Inc. 2.500%, due 12/15/10
(144A)(b)............................. 1,000,000 996,250
SINA Corp. 0.000%, due 07/15/23(d)...... 950,000 1,039,063
-------------
5,763,714
-------------
TELECOMMUNICATION SERVICES - DIVERSIFIED - 8.0%
ADC Telecommunications, Inc. 5.045%,
due 06/15/13(c)....................... 2,500,000 2,528,125
Amdocs, Ltd. 0.500%, due 03/15/24....... 900,000 811,125
Ciena Corp. 3.750%, due 02/01/08........ 1,800,000 1,660,500
Dobson Communications Corp. 1.500%,
due 10/01/25 (144A)(b)................ 1,000,000 931,250
NII Holdings, Inc., 2.750%, due 08/15/25
(144A)(b)............................. 1,900,000 2,073,375
RF Micro Devices, Inc. 1.500%, due
07/01/10.............................. 300,000 277,125
-------------
8,281,500
-------------
Total Convertible Bonds
(Cost $73,774,482) 75,939,645
-------------
COMMON STOCKS - 10.4%
BANKS - 2.0%
Commerce Bancorp, Inc................... 60,659 2,087,276
-------------
-------------------------------------------------------------------
SECURITY SHARES/PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
-------------------------------------------------------------------
BIOTECHNOLOGY - 0.3%
Enzon Pharmaceuticals, Inc.*............. $ 45,200 $ 334,480
-------------
COMMUNICATIONS EQUIPMENT - 1.0%
Corning, Inc.*........................... 50,000 983,000
-------------
ENERGY EQUIPMENT & SERVICES - 0.5%
Rowan Companies, Inc..................... 15,000 534,600
-------------
FINANCIAL - DIVERSIFIED - 2.8%
Capital One Financial Corp............... 12,000 1,036,800
Countrywide Financial Corp............... 38,000 1,299,220
Merrill Lynch & Co., Inc................. 9,000 609,570
-------------
2,945,590
-------------
INTERNET SOFTWARE & SERVICES - 0.5%
Sohu.com, Inc.*.......................... 28,100 515,354
-------------
IT CONSULTING & SERVICES - 2.1%
Affiliated Computer Services, Inc. -
Class A*............................... 36,000 2,130,480
-------------
PHARMACEUTICALS - 0.2%
Oscient Pharmaceuticals Corp.*........... 110,000 249,700
-------------
RETAIL - SPECIALTY - 0.7%
Staples, Inc............................. 34,000 772,140
-------------
TELECOMMUNICATION SERVICES - DIVERSIFIED - 0.3%
Sprint Nextel Corp....................... 11,000 256,960
-------------
Total Common Stocks
(Cost $10,162,255) 10,809,580
-------------
CONVERTIBLE PREFERRED STOCK - 13.4%
BANKS - 2.9%
Sovereign Capital Trust IV 4.375%, due
03/01/34............................... 33,000 1,452,000
Washington Mutual Capital Trust I 5.375%,
due 05/03/41 (144A)(b)................. 25,000 1,364,550
Washington Mutual Capital Trust I 5.375%,
due 05/03/41........................... 4,000 217,000
-------------
3,033,550
-------------
ELECTRIC UTILITIES - 1.1%
NRG Energy, Inc. 4.000%.................. 900 1,172,137
-------------
FINANCIAL - DIVERSIFIED - 1.1%
Doral Financial Corp. 4.750%............. 6,900 1,084,163
-------------
HEALTH CARE PROVIDERS & SERVICES - 1.2%
Omnicare, Inc., Series B 4.000%.......... 17,000 1,262,590
-------------
INDUSTRIAL - DIVERSIFIED - 1.9%
United Rentals Trust I 6.500%............ 46,000 1,966,500
-------------
MEDIA - 1.4%
Interpublic Group of Cos, Inc., Series B
5.250%, (144A)(b)...................... 1,540 1,421,035
-------------
OIL & GAS - 1.0%
Chesapeake Energy Corp. 5.000%........... 7,200 989,100
-------------
See notes to financial statements
62
THE TRAVELERS SERIES TRUST
CONVERTIBLE SECURITIES PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 2005
(PERCENTAGE OF NET ASSETS)
-------------------------------------------------------------------
SECURITY SHARES/PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
-------------------------------------------------------------------
REAL ESTATE - 2.8%
Host Marriott Finance Trust 6.750%....... 30,000 $ 1,871,550
Simon Property Group, Inc. 6.000%........ 16,000 1,028,800
-------------
2,900,350
-------------
Total Convertible Preferred Stock
(Cost $13,719,061) 13,829,425
-------------
SHORT-TERM INVESTMENT - 1.9%
State Street Bank & Trust Co., Repurchase
Agreement dated 12/30/05 at 2.000% to
be repurchased at $1,998,444 on
01/03/06 collateralized by $2,070,000
U.S. Treasury Bond 4.000% due
11/15/12 with a value of $2,041,538
(Cost - $1,998,000).................... $ 1,998,000 1,998,000
-------------
TOTAL INVESTMENTS - 98.9%
(Cost $99,653,798) 102,576,650
Other Assets and Liabilities (net) - 1.1% 1,117,573
-------------
TOTAL NET ASSETS - 100.0% $ 103,694,223
=============
* Non-income producing security.
(a) 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.
(b) 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 in the aggregate 15.7% of net assets.
(c) Variable or floating rate security. The stated rate represents the rate at
December 31, 2005.
(d) Zero coupon bond - Interest rate represents current yield to maturity.
The following table summarizes the credit composition of the portfolio holdings
of the Convertible Securities Portfolio at December 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 COMPOSITION BY CREDIT QUALITY PORTFOLIO
--------------------------------------------------
A 7.70%
BBB 12.40
BB 12.20
B 9.50
Below B 33.70
Equities/Other 24.50
------
Total: 100.00%
======
See notes to financial statements
63
THE TRAVELERS SERIES TRUST
DISCIPLINED MID CAP STOCK PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2005
(PERCENTAGE OF NET ASSETS)
-----------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
-----------------------------------------------------------------
COMMON STOCKS - 97.9%
AEROSPACE & DEFENSE - 0.1%
L-3 Communications Holdings, Inc............ 4,062 $ 302,010
-------------
AIR FREIGHT & LOGISTICS - 1.6%
CNF, Inc.................................... 27,016 1,509,924
Expeditors International of Washington, Inc. 8,393 566,612
Ryder System, Inc........................... 29,203 1,197,907
-------------
3,274,443
-------------
AIRLINES - 0.4%
Alaska Air Group, Inc.*..................... 25,565 913,182
-------------
AUTO COMPONENTS - 1.2%
ArvinMeritor, Inc........................... 36,959 531,840
BorgWarner, Inc............................. 25,061 1,519,448
Lear Corp................................... 18,465 525,514
-------------
2,576,802
-------------
BANKS - 3.3%
BOK Financial Corp.......................... 14,699 667,775
Colonial BancGroup, Inc. (The).............. 28,532 679,632
Comerica, Inc............................... 9,889 561,300
Cullen/Frost Bankers, Inc................... 12,807 687,480
Mercantile Bankshares Corp.................. 14,899 840,899
SVB Financial Group*........................ 16,907 791,924
Westcorp.................................... 18,231 1,214,367
Wilmington Trust Corp....................... 12,214 475,247
Zions Bancorp............................... 12,778 965,506
-------------
6,884,130
-------------
BIOTECHNOLOGY - 1.8%
Cephalon, Inc.*............................. 10,819 700,422
Invitrogen Corp.*........................... 11,690 779,022
Millennium Pharmaceuticals, Inc.*........... 55,873 541,968
Protein Design Labs, Inc.*.................. 19,826 563,455
Techne Corp.*............................... 7,068 396,868
Vertex Pharmaceuticals, Inc.*............... 27,647 764,992
-------------
3,746,727
-------------
CHEMICALS - 2.6%
Albemarle Corp.............................. 16,176 620,350
Cytec Industries, Inc....................... 23,581 1,123,163
FMC Corp.*.................................. 26,680 1,418,575
Lubrizol Corp............................... 26,005 1,129,397
Lyondell Chemical Co........................ 19,432 462,870
Scotts Miracle-Gro Co. - Class A............ 15,878 718,321
-------------
5,472,676
-------------
COMMERCIAL SERVICES & SUPPLIES - 7.0%
Alliance Data System Corp.*................. 45,340 1,614,104
Banta Corp.................................. 17,380 865,524
Brink's Co. (The)........................... 16,953 812,218
Career Education Corp.*..................... 45,878 1,547,006
CheckFree Corp.*............................ 15,574 714,847
--------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
--------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES - CONTINUED
Dun & Bradstreet Corp. (The)*..... 12,427 $ 832,112
Education Management Corp.*....... 12,436 416,730
Fair Isaac Corp................... 35,788 1,580,756
Korn/Ferry International*......... 52,206 975,730
Manpower, Inc..................... 6,575 305,738
MPS Group, Inc.*.................. 91,612 1,252,336
Navigant Consulting, Inc.*........ 31,990 703,140
Quanta Services, Inc.*............ 60,520 797,048
Republic Services, Inc............ 23,236 872,512
West Corp.*....................... 26,184 1,103,656
-------------
14,393,457
-------------
COMMUNICATIONS EQUIPMENT - 2.1%
CommScope, Inc.*.................. 42,663 858,806
Harris Corp....................... 49,704 2,137,769
Powerwave Technologies, Inc.*..... 106,783 1,342,263
-------------
4,338,838
-------------
COMPUTERS & PERIPHERALS - 1.7%
SanDisk Corp.*.................... 22,360 1,404,655
Western Digital Corp.*............ 114,048 2,122,434
-------------
3,527,089
-------------
CONSTRUCTION & ENGINEERING - 1.0%
Beazer Homes USA, Inc............. 7,786 567,132
Granite Construction, Inc......... 16,361 587,524
Toll Brothers, Inc.*.............. 28,902 1,001,165
-------------
2,155,821
-------------
CONSTRUCTION MATERIALS - 0.3%
Martin Marietta Materials, Inc.... 6,722 515,712
-------------
CONTAINERS & PACKAGING - 0.2%
Sonoco Products Co................ 14,233 418,450
-------------
ELECTRIC UTILITIES - 4.1%
Black Hills Corp.................. 15,400 532,994
Energy East Corp.................. 51,088 1,164,807
IDACORP, Inc...................... 20,159 590,659
NSTAR............................. 45,789 1,314,144
Pepco Holdings, Inc............... 74,557 1,667,840
Pinnacle West Capital Corp........ 11,269 465,973
PNM Resources, Inc................ 43,681 1,069,748
Westar Energy, Inc................ 28,308 608,622
Wisconsin Energy Corp............. 26,022 1,016,419
-------------
8,431,206
-------------
ELECTRICAL EQUIPMENT - 1.3%
AMETEK, Inc....................... 24,233 1,030,872
Energizer Holdings, Inc.*......... 13,121 653,294
Thomas & Betts Corp.*............. 24,058 1,009,474
-------------
2,693,640
-------------
See notes to financial statements
64
THE TRAVELERS SERIES TRUST
DISCIPLINED MID CAP STOCK PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 2005
(PERCENTAGE OF NET ASSETS)
--------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
--------------------------------------------------------------
ELECTRONIC EQUIPMENT & INSTRUMENTS - 2.4%
Amphenol Corp. - Class A................. 30,667 $ 1,357,321
Arrow Electronics, Inc.*................. 32,969 1,055,997
CDW Corp................................. 10,808 622,216
Ingram Micro, Inc. - Class A*............ 41,677 830,623
Jabil Circuit, Inc.*..................... 31,197 1,157,097
-------------
5,023,254
-------------
FINANCIAL - DIVERSIFIED - 4.0%
Affiliated Managers Group, Inc.*......... 12,342 990,445
American Capital Strategies, Ltd......... 25,110 909,233
Bear Stearns Cos., Inc................... 10,016 1,157,148
Blackrock, Inc. - Class A................ 8,339 904,615
E*TRADE Financial Corp.*................. 60,142 1,254,562
First Marblehead Corp. (The)............. 19,725 648,164
IndyMac Bancorp, Inc..................... 22,748 887,627
Leucadia National Corp................... 15,011 712,422
SEI Investments Co....................... 24,542 908,054
-------------
8,372,270
-------------
FOOD & DRUG RETAILING - 0.2%
SUPERVALU, Inc........................... 12,286 399,049
-------------
FOOD PRODUCTS - 1.2%
Dean Foods Co............................ 27,922 1,051,543
Pilgrim's Pride Corp..................... 22,746 754,257
Smithfield Foods, Inc.*.................. 20,039 613,193
-------------
2,418,993
-------------
HEALTH CARE EQUIPMENT & SUPPLIES - 3.5%
Bausch & Lomb, Inc....................... 14,899 1,011,642
Beckman Coulter, Inc..................... 10,686 608,033
Dade Behring Holdings, Inc............... 17,492 715,248
Fisher Scientific International, Inc.*... 10,538 651,881
Intuitive Surgical, Inc.*................ 15,292 1,793,293
STERIS Corp.............................. 31,627 791,308
Thermo Electron Corp.*................... 26,758 806,218
Varian Medical Systems, Inc.*............ 16,751 843,245
-------------
7,220,868
-------------
HEALTH CARE PROVIDERS & SERVICES - 4.1%
AmerisourceBergen Corp................... 15,490 641,286
Community Health Systems, Inc.*.......... 33,294 1,276,492
Coventry Health Care, Inc.*.............. 14,107 803,535
Health Net, Inc.*........................ 14,518 748,403
Lincare Holdings, Inc.*.................. 29,092 1,219,246
Manor Care, Inc.......................... 12,838 510,567
Omnicare, Inc............................ 34,252 1,959,899
Triad Hospitals, Inc.*................... 8,315 326,198
VCA Antech, Inc.*........................ 32,692 923,065
-------------
8,408,691
-------------
HOTELS, RESTAURANTS & LEISURE - 2.1%
Bob Evans Farms, Inc..................... 36,569 843,281
Darden Restaurants, Inc.................. 31,114 1,209,712
--------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
--------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE - CONTINUED
GTECH Holdings Corp...................... 35,776 $ 1,135,530
International Speedway Corp. - Class A... 24,686 1,182,460
-------------
4,370,983
-------------
HOUSEHOLD DURABLES - 1.3%
Mohawk Industries, Inc.*................. 18,867 1,641,052
Ryland Group, Inc. (The)................. 10,750 775,397
Tupperware Corp.......................... 15,108 338,419
-------------
2,754,868
-------------
HOUSEHOLD PRODUCTS - 0.6%
American Greetings Corp. - Class A....... 26,403 580,074
Church & Dwight Co., Inc................. 18,655 616,175
-------------
1,196,249
-------------
INDUSTRIAL - DIVERSIFIED - 0.8%
Crane Co................................. 12,724 448,776
Teleflex, Inc............................ 16,895 1,097,837
-------------
1,546,613
-------------
INSURANCE - 7.6%
American Financial Group, Inc............ 28,901 1,107,197
AmerUs Group Co.......................... 10,375 587,951
Aon Corp................................. 10,002 359,572
Everest Re Group, Ltd.................... 19,681 1,974,988
Fidelity National Financial, Inc......... 25,401 934,503
Fidelity National Title Group, Inc....... 3,549 86,418
First American Corp...................... 29,859 1,352,613
HCC Insurance Holdings, Inc.............. 53,696 1,593,697
MGIC Investment Corp..................... 15,928 1,048,381
Ohio Casualty Corp....................... 32,286 914,340
Old Republic International Corp.......... 33,525 880,367
PMI Group, Inc........................... 26,786 1,100,101
Radian Group, Inc........................ 34,461 2,019,070
W.R. Berkley Corp........................ 34,881 1,661,033
-------------
15,620,231
-------------
INTERNET SOFTWARE & SERVICES - 0.4%
McAfee, Inc.*............................ 30,226 820,031
-------------
IT CONSULTING & SERVICES - 1.0%
Cognizant Technology Solutions
Corp. - Class A*....................... 13,425 675,949
Computer Sciences Corp.*................. 9,982 505,488
DST Systems, Inc.*....................... 13,914 833,588
Enterasys Networks, Inc.*................ 216 2,868
-------------
2,017,893
-------------
LEISURE EQUIPMENT & PRODUCTS - 0.3%
Brunswick Corp........................... 16,350 664,791
-------------
MACHINERY - 2.7%
Cummins, Inc............................. 7,706 691,459
Eaton Corp............................... 9,235 619,576
Flowserve Corp.*......................... 17,714 700,766
See notes to financial statements
65
THE TRAVELERS SERIES TRUST
DISCIPLINED MID CAP STOCK PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 2005
(PERCENTAGE OF NET ASSETS)
--------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
--------------------------------------------------------------
MACHINERY - CONTINUED
Harsco Corp.............................. 16,098 $ 1,086,776
Oshkosh Truck Corp....................... 24,358 1,086,123
PACCAR, Inc.............................. 9,867 683,093
Timken Co. (The)......................... 25,345 811,547
-------------
5,679,340
-------------
MEDIA - 1.4%
Catalina Marketing Corp.................. 23,173 587,436
Entercom Communications Corp.*........... 23,993 711,872
Scholastic Corp.*........................ 35,840 1,021,798
Univision Communications, Inc. - Class A* 20,126 591,503
-------------
2,912,609
-------------
METALS & MINING - 3.0%
Nucor Corp............................... 8,986 599,546
Peabody Energy Corp...................... 27,392 2,257,649
Precision Castparts Corp................. 47,599 2,466,104
Southern Copper Corp..................... 6,559 439,322
Worthington Industries, Inc.............. 23,734 455,930
-------------
6,218,551
-------------
OFFICE FURNISHING & SUPPLIES - 0.3%
HNI Corp................................. 9,525 523,208
-------------
OIL & GAS - 10.9%
ENSCO International, Inc................. 42,433 1,881,904
Equitable Resources, Inc................. 22,022 807,987
Forest Oil Corp.*........................ 10,264 467,731
Grant Prideco, Inc.*..................... 48,739 2,150,365
Helmerich & Payne, Inc................... 28,122 1,741,033
MDU Resources Group, Inc................. 55,584 1,819,820
National Fuel Gas Co..................... 23,851 743,913
Newfield Exploration Co.*................ 45,830 2,294,708
Noble Energy, Inc........................ 32,654 1,315,956
ONEOK, Inc............................... 29,617 788,701
Patterson-UTI Energy, Inc................ 61,614 2,030,181
Pioneer Natural Resources Co............. 25,500 1,307,385
Questar Corp............................. 27,342 2,069,789
Smith International, Inc................. 15,995 593,574
Southwestern Energy Co.*................. 40,702 1,462,830
Tidewater, Inc........................... 23,598 1,049,167
-------------
22,525,044
-------------
PAPER & FOREST PRODUCTS - 0.4%
Glatfelter............................... 54,471 772,944
-------------
PHARMACEUTICALS - 2.4%
Barr Pharmaceuticals, Inc.*.............. 37,495 2,335,564
Endo Pharmaceuticals Holdings, Inc.*..... 29,698 898,661
King Pharmaceuticals, Inc.*.............. 71,048 1,202,132
Kos Pharmaceuticals, Inc.*............... 10,519 544,148
-------------
4,980,505
-------------
----------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
----------------------------------------------------------------
REAL ESTATE - 3.0%
AMB Property Corp. (REIT)................. 15,485 $ 761,397
CBL & Associates Properties, Inc. (REIT).. 13,980 552,350
Developers Diversified Realty Corp. (REIT) 18,188 855,200
General Growth Properties, Inc. (REIT).... 27,209 1,278,551
Highwoods Properties, Inc. (REIT)......... 24,493 696,826
Hospitality Properties Trust (REIT)....... 21,559 864,516
HRPT Properties Trust (REIT).............. 72,735 752,807
Mack-Cali Realty Corp. (REIT)............. 10,283 444,226
-------------
6,205,873
-------------
RETAIL - MULTILINE - 0.9%
BJ's Wholesale Club, Inc.*................ 35,788 1,057,893
Dollar Tree Stores, Inc.*................. 34,433 824,326
-------------
1,882,219
-------------
RETAIL - SPECIALTY - 6.9%
Abercrombie & Fitch Co. - Class A......... 15,598 1,016,678
American Eagle Outfitters, Inc............ 64,168 1,474,581
AutoNation, Inc.*......................... 32,673 709,984
Barnes & Noble, Inc....................... 39,819 1,699,077
Chico's FAS, Inc.*........................ 38,415 1,687,571
Claire's Stores, Inc...................... 57,239 1,672,523
Foot Locker, Inc.......................... 27,756 654,764
Harman International Industries, Inc...... 8,102 792,781
Michaels Stores, Inc...................... 45,224 1,599,573
Pacific Sunwear of California, Inc.*...... 55,517 1,383,484
Rent-A-Center, Inc.*...................... 40,977 772,826
United Rentals, Inc.*..................... 32,021 748,971
-------------
14,212,813
-------------
SEMICONDUCTOR EQUIPMENT & PRODUCTS - 3.8%
Avnet, Inc.*.............................. 26,581 636,349
Intersil Corp............................. 67,593 1,681,714
Lam Research Corp.*....................... 51,742 1,846,155
MEMC Electronic Materials, Inc.*.......... 28,752 637,432
Microchip Technology, Inc................. 21,405 688,171
Micron Technology, Inc.*.................. 83,506 1,111,465
NVIDIA Corp.*............................. 19,315 706,156
TriQuint Semiconductor, Inc.*............. 130,329 579,964
-------------
7,887,406
-------------
SOFTWARE - 1.3%
Activision, Inc.*......................... 67,191 923,204
Cadence Design Systems, Inc.*............. 64,245 1,087,025
Transaction Systems
Architects, Inc. - Class A*............. 22,464 646,739
-------------
2,656,968
-------------
TELECOMMUNICATION SERVICES - DIVERSIFIED - 0.2%
Cincinnati Bell, Inc.*.................... 135,025 473,938
-------------
See notes to financial statements
66
THE TRAVELERS SERIES TRUST
DISCIPLINED MID CAP STOCK PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 2005
(PERCENTAGE OF NET ASSETS)
----------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
----------------------------------------------------
TELECOMMUNICATION SERVICES - WIRELESS - 0.6%
NII Holdings, Inc.*............. 18,490 $ 811,319
RF Micro Devices, Inc.*......... 91,562 495,350
------------
1,306,669
------------
TEXTILES, APPAREL & LUXURY GOODS - 0.8%
Columbia Sportswear Co.*........ 16,895 806,398
Polo Ralph Lauren Corp.......... 14,617 820,599
------------
1,626,997
------------
TRANSPORTATION - 1.1%
C.H. Robinson Worldwide, Inc.... 14,754 546,340
GATX Corp....................... 18,973 684,546
Overseas Shipholding Group, Inc. 11,636 586,338
YRC Worldwide, Inc.*............ 10,811 482,279
------------
2,299,503
------------
Total Common Stocks
(Cost $177,481,168) 202,643,554
------------
---------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
---------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 2.4%
U.S. GOVERNMENT & AGENCY OBLIGATION - 0.1%
United States Treasury Bill
3.800%, due 03/16/06(a)................... $ 200,000 $ 198,438
------------
REPURCHASE AGREEMENT - 2.3%
State Street Bank & Trust Co., Repurchase
Agreement, dated 12/30/05 at 2.00% to be
repurchased at $4,704,045 on 01/03/06
collateralized by $3,450,000 U.S. Treasury
Bond at 8.125% due 08/15/19 with a
value of $4,799,813....................... 4,703,000 4,703,000
------------
Total Short-Term Investments
(Cost $4,901,438) 4,901,438
------------
TOTAL INVESTMENTS - 100.3%
(Cost $182,382,606) 207,544,992
Other Assets and Liabilities (Net) - (0.3)% (597,475)
------------
TOTAL NET ASSETS - 100.0% $206,947,517
============
* Non-income producing security.
(a) Zero Coupon Bond - Interest rate represents current yield to maturity.
REIT - Real Estate Investment Trust
See notes to financial statements
67
THE TRAVELERS SERIES TRUST
EQUITY INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2005
(PERCENTAGE OF NET ASSETS)
----------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
----------------------------------------------------------------
COMMON STOCKS - 97.7%
AEROSPACE & DEFENSE - 1.1%
Boeing Co. (The).......................... 8,900 $ 625,136
Rockwell Automation, Inc.................. 32,300 1,910,868
United Technologies Corp.................. 31,000 1,733,210
-------------
4,269,214
-------------
AIRLINES - 0.4%
AirTran Holdings, Inc.*................... 70,500 1,130,115
Continental Airlines, Inc. - Class B*..... 12,000 255,600
JetBlue Airways Corp.*.................... 4,200 64,596
-------------
1,450,311
-------------
AUTO COMPONENTS - 0.8%
Johnson Controls, Inc..................... 38,800 2,828,908
-------------
AUTOMOBILES - 1.2%
Monaco Coach Corp......................... 52,994 704,820
Toyota Motor Corp. (ADR).................. 37,800 3,954,636
-------------
4,659,456
-------------
BANKS - 9.6%
Bank of America Corp...................... 241,400 11,140,610
Cathay General Bancorp.................... 18,500 664,890
East West Bancorp., Inc................... 69,748 2,545,105
Hudson City Bancorp, Inc.................. 96,500 1,169,580
Mitsubishi UFJ Financial Group, Inc. (ADR) 129,600 1,774,224
Northern Trust Corp....................... 89,300 4,627,526
U.S. Bancorp.............................. 48,600 1,452,654
UCBH Holdings, Inc........................ 83,507 1,493,105
UnionBanCal Corp.......................... 26,100 1,793,592
Wachovia Corp............................. 120,948 6,393,311
Wells Fargo & Co.......................... 46,350 2,912,170
-------------
35,966,767
-------------
BEVERAGES - 0.9%
Coca-Cola Co.............................. 68,500 2,761,235
Diageo Plc (ADR).......................... 10,300 600,490
-------------
3,361,725
-------------
BIOTECHNOLOGY - 0.7%
Biogen Idec, Inc.*........................ 38,900 1,763,337
Invitrogen Corp.*......................... 11,730 781,687
-------------
2,545,024
-------------
CHEMICALS - 2.3%
Airgas, Inc............................... 16,500 542,850
Bayer AG (ADR)............................ 40,200 1,678,752
Chemtura Corp............................. 25,500 323,850
FMC Corp.*................................ 57,701 3,067,962
Praxair, Inc.............................. 26,900 1,424,624
Sigma-Aldrich Corp........................ 24,793 1,569,149
-------------
8,607,187
-------------
--------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
--------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES - 0.8%
Automatic Data Processing, Inc................ 32,500 $ 1,491,425
Brink's Co. (The)............................. 6,900 330,579
First Data Corp............................... 23,900 1,027,939
Service Corporation International............. 17,200 140,696
-------------
2,990,639
-------------
COMMUNICATIONS EQUIPMENT - 0.6%
Cisco Systems, Inc.*.......................... 85,800 1,468,896
Motorola, Inc................................. 16,800 379,512
Nortel Networks Corp.*........................ 125,200 383,112
-------------
2,231,520
-------------
COMPUTERS & PERIPHERALS - 2.3%
EMC Corp.*.................................... 34,000 463,080
Hewlett-Packard Co............................ 150,800 4,317,404
NCR Corp.*.................................... 57,900 1,965,126
Sun Microsystems, Inc.*....................... 377,400 1,581,306
Symbol Technologies, Inc...................... 22,200 284,604
-------------
8,611,520
-------------
CONTAINERS & PACKAGING - 0.4%
Ball Corp..................................... 35,900 1,425,948
-------------
ELECTRIC UTILITIES - 0.8%
Edison International.......................... 21,900 955,059
Exelon Corp................................... 18,700 993,718
Public Service Enterprise Group, Inc.......... 13,200 857,604
-------------
2,806,381
-------------
ELECTRICAL EQUIPMENT - 0.4%
Directed Electronics, Inc.*................... 9,200 132,020
Matsushita Electric Industrial Co., Ltd. (ADR) 76,900 1,490,322
-------------
1,622,342
-------------
ELECTRONIC EQUIPMENT & INSTRUMENTS - 0.3%
Arrow Electronics, Inc.*...................... 33,200 1,063,396
-------------
FINANCIAL - DIVERSIFIED - 16.4%
American Capital Strategies, Ltd.............. 50,133 1,815,316
Ameriprise Financial, Inc..................... 13,300 545,300
CapitalSource, Inc.*.......................... 59,200 1,326,080
Citigroup, Inc................................ 308,200 14,956,946
Federal Home Loan Mortgage Corp............... 102,300 6,685,305
Federal National Mortgage Assoc............... 110,376 5,387,453
Golden West Financial Corp.................... 76,600 5,055,600
Investors Financial Services Corp............. 28,444 1,047,592
Janus Capital Group, Inc...................... 26,600 495,558
Lehman Brothers Holdings, Inc................. 11,500 1,473,955
Marsh & McLennan Cos., Inc.................... 28,300 898,808
Merrill Lynch & Co., Inc...................... 106,600 7,220,018
Nomura Holdings, Inc. (ADR)................... 74,300 1,428,046
Nuveen Investments - Class A.................. 45,700 1,947,734
SLM Corp...................................... 117,400 6,467,566
State Street Corp............................. 78,300 4,340,952
-------------
61,092,229
-------------
See notes to financial statements
68
THE TRAVELERS SERIES TRUST
EQUITY INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 2005
(PERCENTAGE OF NET ASSETS)
---------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
---------------------------------------------------------------
FOOD & DRUG RETAILING - 0.3%
CVS Corp................................. 28,600 $ 755,612
Walgreen Co.............................. 10,800 478,008
-------------
1,233,620
-------------
FOOD PRODUCTS - 1.1%
Nestle SA (ADR).......................... 40,600 3,026,730
Sara Lee Corp............................ 59,900 1,132,110
-------------
4,158,840
-------------
HEALTH CARE EQUIPMENT & SUPPLIES - 1.3%
Becton, Dickinson & Co................... 52,500 3,154,200
IMS Health, Inc.......................... 11,900 296,548
Johnson & Johnson........................ 6,700 402,670
Varian, Inc.*............................ 20,300 807,737
-------------
4,661,155
-------------
HEALTH CARE PROVIDERS & SERVICES - 1.8%
Aetna, Inc............................... 8,300 782,773
Cardinal Health, Inc..................... 53,800 3,698,750
Health Net, Inc.*........................ 13,000 670,150
UnitedHealth Group, Inc.................. 26,100 1,621,854
-------------
6,773,527
-------------
HOTELS, RESTAURANTS & LEISURE - 1.3%
McDonald's Corp.......................... 30,500 1,028,460
Royal Caribbean Cruises, Ltd............. 45,600 2,054,736
Starwood Hotels & Resorts Worldwide, Inc. 8,800 561,968
Wynn Resorts Ltd.*....................... 24,100 1,321,885
-------------
4,967,049
-------------
INDUSTRIAL - DIVERSIFIED - 2.8%
3M Co.................................... 19,200 1,488,000
Crane Co................................. 16,000 564,320
Eaton Corp............................... 24,100 1,616,869
General Electric Co...................... 195,150 6,840,008
-------------
10,509,197
-------------
INSURANCE - 7.3%
Allstate Corp. (The)..................... 36,100 1,951,927
American International Group, Inc........ 218,300 14,894,609
Aspen Insurance Holdings, Ltd............ 20,800 492,336
Genworth Financial, Inc. - Class A....... 9,130 315,715
Hartford Financial Services Group, Inc... 38,600 3,315,354
Manulife Financial Corp.................. 7,900 464,520
Prudential Financial, Inc................ 50,100 3,666,819
RenaissanceRe Holdings Ltd............... 9,700 427,867
Swiss Reinsurance........................ 8,174 597,999
XL Capital, Ltd. - Class A............... 18,500 1,246,530
-------------
27,373,676
-------------
MACHINERY - 0.3%
Illinois Tool Works, Inc................. 13,900 1,223,061
-------------
MEDIA - 3.4%
aQuantive, Inc.*......................... 6,000 151,440
Gannett Co., Inc......................... 62,300 3,773,511
---------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
---------------------------------------------------------------
MEDIA - CONTINUED
New York Times Co.- Class A.............. 133,000 $ 3,517,850
News Corp. - Class B..................... 111,800 1,856,998
Omnicom Group, Inc....................... 20,600 1,753,678
Walt Disney Co. (The).................... 66,200 1,586,814
-------------
12,640,291
-------------
METALS & MINING - 2.4%
Alcoa, Inc............................... 29,900 884,143
Mittal Steel Co. NV- Class A............. 7,400 194,842
Newmont Mining Corp...................... 68,700 3,668,580
Peabody Energy Corp...................... 30,400 2,505,568
United States Steel Corp................. 34,086 1,638,514
-------------
8,891,647
-------------
OIL & GAS - 6.4%
Amerada Hess Corp........................ 38,400 4,869,888
Canadian Natural Resources, Ltd.......... 70,400 3,493,248
Canadian Natural Resources, Ltd. (CAD)... 27,100 1,339,485
Exxon Mobil Corp......................... 175,110 9,835,929
Talisman Energy Inc...................... 16,300 861,944
Talisman Energy, Inc. (CAD).............. 5,900 311,712
Total S.A. (ADR)......................... 25,100 3,172,640
-------------
23,884,846
-------------
PERSONAL PRODUCTS - 0.5%
Alberto-Culver Co........................ 19,800 905,850
Avon Products, Inc....................... 37,400 1,067,770
-------------
1,973,620
-------------
PHARMACEUTICALS - 5.7%
Amylin Pharmaceuticals, Inc.*............ 23,800 950,096
Eli Lilly & Co........................... 5,900 333,881
Hospira, Inc.*........................... 56,300 2,408,514
Merck & Co., Inc......................... 44,600 1,418,726
Pfizer, Inc.............................. 233,230 5,438,923
Roche Holding AG (ADR)................... 24,300 1,818,882
Wyeth.................................... 193,800 8,928,366
-------------
21,297,388
-------------
REAL ESTATE - 3.9%
Brookdale Senior Living Inc.............. 3,000 89,430
Equity Lifestyle Properties, Inc. (REIT). 21,700 965,650
Equity Residential (REIT)................ 14,600 571,152
General Growth Properties, Inc. (REIT)... 255,204 11,992,036
Mitsui Fudosan Co., Ltd.................. 13,000 264,125
United Dominion Realty Trust, Inc. (REIT) 24,900 583,656
-------------
14,466,049
-------------
RETAIL - MULTILINE - 4.2%
Dollar General Corp...................... 83,500 1,592,345
Wal-Mart Stores, Inc..................... 297,800 13,937,040
-------------
15,529,385
-------------
See notes to financial statements
69
THE TRAVELERS SERIES TRUST
EQUITY INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 2005
(PERCENTAGE OF NET ASSETS)
---------------------------------------------------------------
SECURITY SHARES/PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
---------------------------------------------------------------
RETAIL - SPECIALTY - 1.3%
Abercrombie & Fitch Co. - Class A..... 22,200 $ 1,446,996
Home Depot, Inc. (The)................ 62,270 2,520,690
Staples, Inc.......................... 29,100 660,861
Under Armour, Inc. - Class A*......... 9,200 352,452
-------------
4,980,999
-------------
ROAD & RAIL - 3.4%
Burlington Northern Santa Fe Corp..... 82,700 5,856,814
Canadian National Railway Co.......... 9,800 783,902
Canadian Natl Ry Co. (CAD)............ 6,000 479,300
Laidlaw International, Inc............ 40,900 950,107
Norfolk Southern Corp................. 102,980 4,616,594
-------------
12,686,717
-------------
SEMICONDUCTOR EQUIPMENT & PRODUCTS - 6.2%
Analog Devices, Inc................... 29,140 1,045,252
Applied Materials, Inc................ 76,800 1,377,792
Avnet, Inc.*.......................... 109,700 2,626,218
FormFactor, Inc.*..................... 16,900 412,867
Intel Corp............................ 366,300 9,142,848
KLA-Tencor Corp....................... 68,400 3,374,172
Lam Research Corp.*................... 39,500 1,409,360
MKS Instruments, Inc.*................ 109,396 1,957,094
National Semiconductor Corp........... 57,600 1,496,448
Semtech Corp.*........................ 14,700 268,422
-------------
23,110,473
-------------
SOFTWARE - 0.7%
Microsoft Corp........................ 95,660 2,501,509
-------------
TELECOMMUNICATION SERVICES - DIVERSIFIED - 3.3%
ALLTEL Corp........................... 23,200 1,463,920
AT&T, Inc.*........................... 113,400 2,777,166
BellSouth Corp........................ 96,400 2,612,440
Qwest Communications International,
Inc.*............................... 225,800 1,275,770
Sprint Nextel Corp.................... 80,700 1,885,152
Verizon Communications, Inc........... 72,700 2,189,724
-------------
12,204,172
-------------
TOBACCO - 1.1%
Altria Group, Inc..................... 56,800 4,244,096
-------------
Total Common Stocks
(Cost $345,323,880) 364,843,884
-------------
CONVERTIBLE BONDS - 0.3%
AIRLINES - 0.2%
AirTran Holdings, Inc. 7.000% due
07/01/23............................ $100,000 161,125
America West Airlines, Inc. 7.500% due
01/18/09............................ 270,000 344,925
Continental Airlines, Inc. 4.500%, due
02/01/07............................ 290,000 271,875
-------------
777,925
-------------
---------------------------------------------------------------------
SECURITY SHARES/PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
---------------------------------------------------------------------
SEMICONDUCTOR EQUIPMENT & PRODUCTS - 0.1%
ASM International NV 4.250% due
12/06/11(a).............................. $ 180,000 $ 173,925
-------------
SOFTWARE - 0.0%
SafeNet, Inc. (144A) 2.500% due
12/15/10(a).............................. 60,000 59,775
-------------
Total Convertible Bonds
(Cost $883,900) 1,011,625
-------------
PREFERRED STOCK - 0.1%
ELECTRIC - 0.1%
Entergy Corp. 7.625%, due 02/17/09......... 9,400 467,650
-------------
INSURANCE - 0.0%
Platinum Underwriters Holdings, Series A
6.000%, due 02/15/09..................... 2,000 62,020
-------------
Total Preferred Stock
(Cost $531,980) 529,670
-------------
SHORT-TERM INVESTMENT - 2.0%
State Street Bank & Trust Co., Repurchased
Agreement, dated 12/30/05 at 2.800% to
be repurchased at $7,350,286 on
01/03/06 collateralized by 5,390,000 U.S.
Treasury Bond at 8.125% due 08/15/19
with a value of $7,498,838
(Cost - $7,348,000)...................... 7,348,000 7,348,000
-------------
TOTAL INVESTMENTS - 100.1%
(Cost $354,087,761) 373,733,179
Other Assets and Liabilities (net) - (0.1)% (192,052)
-------------
TOTAL NET ASSETS - 100.0% $ 373,541,127
=============
* Non-income producing security.
(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 in the aggregate 0.01% of net assets.
ADR - American Depositary Receipt
REIT - Real Estate Investment Trust
See notes to financial statements
70
THE TRAVELERS SERIES TRUST
FEDERATED HIGH YIELD PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2005
(PERCENTAGE OF NET ASSETS)
-------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
-------------------------------------------------------------------
DOMESTIC BONDS & DEBT SECURITIES - 95.8%
ADVERTISING - 2.2%
Advanstar Communications, Inc. 10.750%,
due 08/15/10............................ $ 125,000 $ 137,656
Series B 12.000%, due 02/15/11........... 250,000 264,063
Advanstar, Inc., Series B 0.000%/ 15.000%,
due 10/15/11(a)......................... 175,000 183,969
CDRV Investors, Inc. 0.000%/ 9.625%,
due 01/01/15(a)......................... 725,000 447,687
Lamar Media Corp. 7.250%,
due 01/01/13............................ 175,000 182,438
Vertis, Inc., Series B 10.875%,
due 06/15/09............................ 175,000 173,250
WDAC Subsidiary Corp. 8.375%,
due 12/01/14 (144A)(b).................. 475,000 462,531
------------
1,851,594
------------
AEROSPACE & DEFENSE - 1.0%
Alliant Techsystems, Inc. 8.500%,
due 05/15/11............................ 275,000 290,125
Argo-Tech Corp. 9.250%, due 06/01/11...... 150,000 154,500
K&F Acquisition, Inc. 7.750%,
due 11/15/14............................ 125,000 126,875
TransDigm, Inc. 8.375%, due 07/15/11...... 225,000 237,937
------------
809,437
------------
AGRICULTURE - 0.5%
Eurofresh, Inc. 11.500%,
due 01/15/13 (144A)(b).................. 275,000 277,063
Hines Nurseries, Inc. 10.250%,
due 10/01/11............................ 175,000 172,375
------------
449,438
------------
APPAREL & TEXTILES - 0.2%
Phillips-Van Heusen Corp. 8.125%,
due 05/01/13............................ 150,000 159,000
------------
AUTO COMPONENTS - 2.4%
Advanced Accessory Systems LLC 10.750%,
due 06/15/11............................ 225,000 182,250
American Tire Distributors Holdings, Inc.
10.750%, due 04/01/13................... 150,000 136,500
Rexnord Corp. 10.125%, due 12/15/12....... 200,000 216,000
Stanadyne Corp., Series 1 10.000%,
due 08/15/14............................ 250,000 241,250
Stanadyne Holdings, Inc. 0.000%/ 12.000%,
due 02/15/15(a)......................... 125,000 63,750
Stoneridge, Inc. 11.500%, due 05/01/12.... 250,000 255,625
Tenneco Automotive, Inc. 8.625%,
due 11/15/14............................ 250,000 237,500
TRW Automotive, Inc.
9.375%, due 02/15/13.................... 75,000 81,562
11.000%, due 02/15/13.................... 310,000 349,525
---------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
---------------------------------------------------------------------
AUTO COMPONENTS - CONTINUED
United Components, Inc. 9.375%,
due 06/15/13.............................. $ 225,000 $ 225,000
------------
1,988,962
------------
AUTOMOBILES - 1.4%
Cooper-Standard Automotive, Inc. 8.375%,
due 12/15/14.............................. 350,000 267,750
Ford Motor Co. 7.450%, due 07/16/31......... 775,000 530,875
General Motors Corp.
7.125%, due 07/15/13...................... 275,000 182,875
8.375%, due 07/15/33....................... 250,000 166,250
------------
1,147,750
------------
BEVERAGES - 0.5%
Constellation Brands, Inc., Series B 8.000%,
due 02/15/08.............................. 150,000 157,125
Cott Beverages USA, Inc. 8.000%,
due 12/15/11.............................. 250,000 257,500
------------
414,625
------------
BIOTECHNOLOGY - 0.3%
Bio-Rad Laboratories, Inc. 6.125%,
due 12/15/14.............................. 225,000 223,313
------------
BUILDING MATERIALS - 2.1%
Associated Materials, Inc.
9.750%, due 04/15/12...................... 125,000 121,250
0.000%/11.250%, due 03/01/14(a)............ 150,000 74,250
Builders FirstSource, Inc. 8.590%,
due 02/15/12(c)........................... 225,000 230,062
Goodman Global Holding Co., Inc.
7.491%, due 06/15/12 (144A)(b)(c)......... 100,000 99,500
7.875%, due 12/15/12 (144A)(b)............. 300,000 280,500
HydroChem Industrial Services, Inc.
9.250%, due 02/15/13 (144A)(b)............ 225,000 217,125
Nortek, Inc. 8.500%, due 09/01/14........... 100,000 97,000
NTK Holdings, Inc. 0.000%/ 10.750%,
due 03/01/14(a)........................... 250,000 157,500
Panolam Industries International, Inc.
10.750%, due 10/01/13 (144A)(b)........... 175,000 169,313
Ply Gem Industries, Inc. 9.000%,
due 02/15/12.............................. 100,000 89,250
Texas Industries, Inc. 7.250%,
due 07/15/13 (144A)(b).................... 50,000 52,125
U.S. Concrete, Inc. 8.375%, due
04/01/14.................................. 200,000 200,500
------------
1,788,375
------------
BUSINESS SERVICES - 0.1%
Lamar Media Corp. 6.625%, due
08/15/15.................................. 100,000 100,875
------------
See notes to financial statements
71
THE TRAVELERS SERIES TRUST
FEDERATED HIGH YIELD PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 2005
(PERCENTAGE OF NET ASSETS)
-----------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
-----------------------------------------------------------------
CHEMICALS - 3.9%
Aventine Renewable Energy Holdings, Inc.
10.491%, due 12/15/11
(144A)(b)(c).......................... $ 150,000 $ 156,000
Borden U.S. Finance Corp./Nova Scotia
Finance ULC 9.000%,
due 07/15/14 (144A)(b)................ 325,000 323,375
Crystal U.S. Holdings 3 LLC, Series B
0.000%/ 10.500%, due 10/01/14(a)...... 600,000 439,500
Equistar Chemicals LP 8.750%,
due 02/15/09.......................... 125,000 132,187
Equistar Chemicals LP/Equistar Funding
Corp. 10.125%, due 09/01/08........... 250,000 272,500
Huntsman International LLC 10.125%,
due 07/01/09.......................... 258,000 267,675
Lyondell Chemical Co.
9.500%, due 12/15/08.................. 162,000 170,505
10.875%, due 05/01/09.................. 250,000 260,937
10.500%, due 06/01/13.................. 50,000 57,063
Series A9.625%, due 05/01/07............ 75,000 78,656
Nalco Co. 8.875%, due 11/15/13.......... 275,000 289,437
Polypore, Inc. 8.750%, due 05/15/12..... 250,000 221,250
PQ Corp. 7.500%,
due 02/15/13 (144A)(b)................ 125,000 116,875
UAP Holding Corp. 0.000%/ 10.750%,
due 07/15/12(a)....................... 300,000 261,375
Union Carbide Chemicals & Plastics Co.,
Inc. 7.875%, due 04/01/23............. 175,000 194,852
Union Carbide Corp. 7.500%,
due 06/01/25.......................... 50,000 54,577
------------
3,296,764
------------
COMMERCIAL SERVICES & SUPPLIES - 1.7%
Brand Services, Inc. 12.000%,
due 10/15/12.......................... 325,000 342,875
Brickman Group, Ltd., Series B 11.750%,
due 12/15/09.......................... 175,000 194,688
Hertz Corp.
8.875%, due 01/01/14 (144A)(b)........ 175,000 179,156
10.500%, due 01/01/16 (144A)(b)........ 300,000 310,500
Insurance Auto Auctions, Inc. 11.000%,
due 04/01/13(b)....................... 250,000 263,974
NationsRent, Inc. 9.500%, due 10/15/10.. 150,000 164,250
------------
1,455,443
------------
COMPUTERS & PERIPHERALS - 1.2%
Activant Solutions, Inc.
10.054%, due 04/01/10(b)(c)........... 125,000 129,531
10.500%, due 06/15/11.................. 250,000 275,000
Seagate Technology HDD Holdings 8.000%,
due 05/15/09.......................... 225,000 237,375
------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
------------------------------------------------------------------
COMPUTERS & PERIPHERALS - CONTINUED
SMART Modular Technologies, Inc.
9.554%, due 04/01/12(c)................ $ 250,000 $ 262,500
Unisys Corp. 6.875%, due 03/15/10........ 125,000 116,250
------------
1,020,656
------------
CONTAINERS & PACKAGING - 3.2%
Berry Plastics Corp. 10.750%,
due 07/15/12........................... 325,000 351,000
Crown Americas, LLC 7.750%,
due 11/15/15 (144A)(b)................. 175,000 182,000
Graham Packaging Co. 8.500%,
due 10/15/12........................... 150,000 148,500
Graphic Packaging International Corp.
9.500%, due 08/15/13................... 375,000 360,000
Greif, Inc. 8.875%, due 08/01/12......... 250,000 267,500
Jefferson Smurfit Corp. 8.250%,
due 10/01/12........................... 300,000 289,500
Owens-Brockway Glass Container, Inc.
8.875%, due 02/15/09................... 250,000 262,187
7.750%, due 05/15/11.................... 150,000 157,313
8.250%, due 05/15/13.................... 100,000 103,750
Owens-Illinois, Inc. 8.100%,
due 05/15/07........................... 350,000 359,625
Plastipak Holdings, Inc. 8.500%,
due 12/15/15 (144A)(b)................. 125,000 126,875
Pliant Corp. 13.000%, due 06/01/10(d).... 50,000 10,000
Russell-Stanley Holdings, Inc. 9.000%,
due 11/30/08 (144A)(b)(e)(f)(g)........ 18,258 8,545
Smurfit-Stone Container Enterprises, Inc.
9.750%, due 02/01/11................... 75,000 76,125
------------
2,702,920
------------
ELECTRIC UTILITIES - 4.5%
CMS Energy Corp. 7.500%, due
01/15/09............................... 200,000 207,000
Edison Mission Energy 9.875%,
due 04/15/11........................... 550,000 644,187
FPL Energy National Wind 6.125%,
due 03/25/19 (144A)(b)................. 121,738 119,382
Inergy LP/Inergy Finance Corp. 6.875%,
due 12/15/14........................... 275,000 251,625
Mirant North America LLC 7.375%,
due 12/31/13 (144A)(b)................. 225,000 228,656
Nevada Power Co.
9.000%, due 08/15/13................... 260,000 287,627
5.875%, due 01/15/15.................... 50,000 49,866
Series I6.500%, due 04/15/12............. 300,000 309,000
NorthWestern Corp. 5.875%,
due 11/01/14........................... 75,000 75,516
PSEG Energy Holdings LLC 10.000%,
due 10/01/09........................... 250,000 276,250
See notes to financial statements
72
THE TRAVELERS SERIES TRUST
FEDERATED HIGH YIELD PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 2005
(PERCENTAGE OF NET ASSETS)
----------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
----------------------------------------------------------------
ELECTRIC UTILITIES - CONTINUED
Reliant Energy, Inc.
9.250%, due 07/15/10................. $ 75,000 $ 75,375
9.500%, due 07/15/13.................. 325,000 327,438
Sierra Pacific Resources 6.750%,
due 08/15/17 (144A)(b)............... 200,000 200,000
TECO Energy, Inc. 6.750%, due
05/01/15............................. 75,000 78,000
Texas Genco LLC/Texas Genco Financing
Corp. 6.875%, due 12/15/14
(144A)(b)............................ 425,000 462,188
VeraSun Energy 9.875%,
due 12/15/12 (144A)(b)............... 175,000 178,500
------------
3,770,610
------------
ELECTRICAL COMPONENTS & EQUIPMENT - 0.5%
Coleman Cable, Inc. 9.875%,
due 10/01/12......................... 175,000 142,625
Superior Essex Communications LLC/Essex
Group, Inc. 9.000%, due 04/15/12..... 300,000 297,000
------------
439,625
------------
ELECTRONICS - 0.7%
L-3 Communications Corp.
6.125%, due 01/15/14................. 425,000 422,875
6.375%, due 10/15/15 (144A)(b)........ 200,000 200,500
------------
623,375
------------
ENERGY - 0.3%
NRG Energy, Inc. 8.000%, due 12/15/13.. 237,000 265,440
------------
ENTERTAINMENT & LEISURE - 3.3%
AMC Entertainment, Inc. 9.875%,
due 02/01/12......................... 325,000 320,125
Cinemark USA, Inc. 9.000%, due
02/01/13............................. 150,000 159,375
Cinemark, Inc. 0.000%/ 9.750%,
due 03/15/14(a)...................... 525,000 391,125
Gaylord Entertainment Co. 6.750%,
due 11/15/15......................... 275,000 270,875
Herbst Gaming, Inc. 7.000%,
due 11/15/14......................... 175,000 175,000
Loews Cineplex Entertainment Corp.
9.000%, due 08/01/14................. 325,000 329,875
Mohegan Tribal Gaming Authority 8.000%,
due 04/01/12......................... 175,000 185,063
Penn National Gaming, Inc. 6.750%,
due 03/01/15......................... 250,000 246,875
Tunica-Biloxi Gaming Authority 9.000%,
due 11/15/15 (144A)(b)............... 150,000 150,750
Universal City Development Partners
11.750%, due 04/01/10................ 425,000 478,656
Universal City Florida Holdings UCD
9.000%, due 05/01/10(c).............. 75,000 75,750
------------
2,783,469
------------
-------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
-------------------------------------------------------------------
ENVIRONMENTAL SERVICES - 1.2%
Aleris International, Inc. 9.000%,
due 11/15/14............................ $ 100,000 $ 103,500
Allied Waste North America, Inc., Series B
8.875%, due 04/01/08.................... 450,000 477,000
Clean Harbors, Inc. 11.250%,
due 07/15/12............................ 200,000 226,000
IMCO Recycling, Inc. 10.375%,
due 10/15/10............................ 225,000 246,937
------------
1,053,437
------------
FINANCIAL - DIVERSIFIED - 5.2%
AAC Group Holding Corp. 0.000%/
10.250%, due 10/01/12(a)................ 300,000 218,250
American Real Estate Partners LP/American
Real Estate Finance Corp. 7.125%,
due 02/15/13 (144A)(b).................. 300,000 301,500
AMR HoldCo, Inc./EmCare HoldCo, Inc.
10.000%, due 02/15/15 (144A)(b)......... 100,000 107,250
BCP Crystal U.S. Holdings Corp. 9.625%,
due 06/15/14............................ 179,000 200,033
Galaxy Entertainment Finance Co. Ltd.
9.875%, due 12/15/12 (144A)(b).......... 275,000 280,500
General Motors Acceptance Corp.
6.875%, due 09/15/11..................... 550,000 502,142
8.000%, due 11/01/31..................... 700,000 672,293
Global Cash Access LLC/Global Cash Finance
Corp. 8.750%, due 03/15/12.............. 179,000 191,306
JSG Funding PLC 9.625%, due 10/01/12...... 250,000 251,250
Nalco Finance Holdings LLC 0.000%/
9.000%, due 02/01/14(a)................. 216,000 163,080
Nell AF SARL 8.375%, due 08/15/15
(144A)(b)............................... 275,000 273,625
NSP Holdings/NSP Holdings Capital Corp.
11.750%, due 01/01/12(f)................ 184,938 193,260
Sensus Metering Systems, Inc. 8.625%,
due 12/15/13............................ 250,000 222,500
UGS Corp. 10.000%, due 06/01/12........... 225,000 246,375
Vanguard Health Holdings II 9.000%,
due 10/01/14............................ 250,000 266,875
Visant Corp. 7.625%, due 10/01/12......... 250,000 252,500
------------
4,342,739
------------
FOOD & DRUG RETAILING - 1.0%
American Seafood Group LLC 10.125%,
due 04/15/10............................ 275,000 289,781
ASG Consolidated LLC/ASG Finance, Inc.
0.000%/ 11.500%, due 11/01/11(a)........ 550,000 440,000
Swift & Co. 12.500%, due 01/01/10......... 125,000 132,188
------------
861,969
------------
FOOD PRODUCTS - 3.6%
B&G Foods, Inc. 8.000%, due 10/01/11...... 225,000 230,625
See notes to financial statements
73
THE TRAVELERS SERIES TRUST
FEDERATED HIGH YIELD PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 2005
(PERCENTAGE OF NET ASSETS)
----------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
----------------------------------------------------------------------
FOOD PRODUCTS - CONTINUED
Birds Eye Foods, Inc. 11.875%,
due 11/01/08............................... $ 63,000 $ 64,575
Del Monte Corp. 6.750%, due 02/15/15......... 425,000 416,500
Doane Pet Care Co. 10.625%,
due 11/15/15 (144A)(b)..................... 175,000 183,313
Dole Foods Co., Inc. 8.625%,
due 05/01/09............................... 200,000 206,000
Eagle Family Foods, Inc., Series B 8.750%,
due 01/15/08............................... 125,000 95,000
Michael Foods, Inc. 8.000%,
due 11/15/13............................... 325,000 334,750
National Beef Packing Co./NB Finance Corp.
LLC 10.500%, due 08/01/11.................. 200,000 208,000
Pierre Foods, Inc. 9.875%,
due 07/15/12............................... 275,000 280,500
Pilgrim's Pride Corp.
9.625%, due 09/15/11........................ 100,000 107,000
9.250%, due 11/15/13........................ 175,000 187,687
Smithfield Foods, Inc., Series B
8.000%, due 10/15/09........................ 250,000 265,000
7.750%, due 05/15/13........................ 325,000 345,312
Swift & Co. 10.125%, due 10/01/09............ 100,000 103,750
------------
3,028,012
------------
HEALTH CARE PROVIDERS & SERVICES - 3.9%
Accellent, Inc. 10.500%, due 12/01/13
(144A)(b).................................. 225,000 231,750
AmeriPath, Inc. 10.500%, due 04/01/13........ 400,000 426,000
Concentra Operating Corp. 9.500%,
due 08/15/10............................... 225,000 234,000
HCA, Inc.
8.750%, due 09/01/10....................... 375,000 416,624
6.750%, due 07/15/13........................ 300,000 310,826
6.375%, due 01/15/15........................ 400,000 406,334
7.500%, due 11/06/33........................ 275,000 285,317
National Mentor, Inc. 9.625%,
due 12/01/12............................... 250,000 262,500
Omnicare, Inc. 6.875%, due 12/15/15.......... 150,000 153,000
Psychiatric Solutions, Inc. 7.750%,
due 07/15/15............................... 275,000 285,312
Tenet Healthcare Corp. 9.875%,
due 07/01/14............................... 250,000 254,375
------------
3,266,038
------------
HEALTHCARE EQUIPMENT & SERVICES - 1.4%
Fisher Scientific International, Inc. 6.125%,
due 07/01/15 (144A)(b)..................... 475,000 477,375
Leiner Health Products, Inc. 11.000%,
due 06/01/12............................... 150,000 141,750
Safety Products Holdings, Inc. 11.750%,
due 01/01/12 (144A)(b)(f).................. 75,000 78,375
---------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
---------------------------------------------------------------------
HEALTHCARE EQUIPMENT & SERVICES - CONTINUED
Sybron Dental Specialties, Inc. 8.125%,
due 06/15/12.............................. $ 150,000 $ 158,250
VWR International, Inc. 8.000%,
due 04/15/14.............................. 150,000 150,000
WH Holdings Ltd./WH Capital Corp.
9.500%, due 04/01/11...................... 190,000 206,150
------------
1,211,900
------------
HOTELS, RESTAURANTS & LEISURE - 6.5%
155 East Tropicana LLC/155 East Tropicana
Finance Corp. 8.750%, due 04/01/12........ 225,000 217,688
Boyd Gaming Corp.
8.750%, due 04/15/12....................... 100,000 107,750
7.750%, due 12/15/12....................... 175,000 184,188
Caesars Entertainment, Inc. 8.125%,
due 05/15/11.............................. 300,000 332,625
Domino's, Inc. 8.250%, due 07/01/11......... 128,000 134,400
HMH Properties, Inc., Series B 7.875%,
due 08/01/08.............................. 28,000 28,455
Interline Brands, Inc. 11.500%,
due 05/15/11.............................. 146,000 163,520
Intrawest Corp. 7.500%, due 10/15/13........ 275,000 279,812
Kerzner International, Ltd. 6.750%,
due 10/01/15 (144A)(b).................... 300,000 293,250
Landry's Restaurants, Inc., Series B 7.500%,
due 12/15/14.............................. 225,000 211,500
Majestic Star Casino LLC/ Majestic Star
Casino Capital Corp. II 9.750%, due
01/15/11 (144A)(b)........................ 100,000 101,250
Mandalay Resort Group
9.500%, due 08/01/08....................... 125,000 136,094
9.375%, due 02/15/10....................... 18,000 19,800
8.500%, due 09/15/10....................... 150,000 163,313
Series B 10.250%, due 08/01/07.............. 550,000 589,187
MGM MIRAGE, Inc. 9.750%,
due 06/01/07.............................. 500,000 529,375
MTR Gaming Group, Inc., Series B 9.750%,
due 04/01/10.............................. 225,000 241,312
Park Place Entertainment Corp. 7.875%,
due 03/15/10.............................. 275,000 297,000
Royal Caribbean Cruises, Ltd. 8.000%,
due 05/15/10.............................. 175,000 190,945
San Pasqual Casino 8.000%, due 09/15/13
(144A)(b)................................. 200,000 204,000
Starwood Hotels & Resorts Worldwide, Inc.
7.375%, due 05/01/07....................... 350,000 358,750
7.875%, due 05/01/12....................... 100,000 110,750
Station Casinos, Inc.
6.000%, due 04/01/12....................... 125,000 125,313
6.500%, due 02/01/14....................... 200,000 203,000
See notes to financial statements
74
THE TRAVELERS SERIES TRUST
FEDERATED HIGH YIELD PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 2005
(PERCENTAGE OF NET ASSETS)
--------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
--------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE - CONTINUED
Wynn Las Vegas LLC/Wynn Las Vegas Capital
Corp. 6.625%, due 12/01/14............... $ 225,000 $ 219,937
------------
5,443,214
------------
HOUSEHOLD PRODUCTS - 4.0%
ALH Finance LLC/ALH Finance Corp.
8.500%, due 01/15/13..................... 375,000 355,312
American Achievement Corp. 8.250%,
due 04/01/12............................. 175,000 178,500
Ames True Temper, Inc. 10.000%,
due 07/15/12............................. 300,000 237,000
Church & Dwight Co., Inc. 6.000%,
due 12/15/12............................. 250,000 247,500
Glenoit Corp. 11.000%,
due 04/15/07(d)(e)(g)(h)................. 50,000 0
Jarden Corp. 9.750%, due 05/01/12.......... 225,000 232,875
Norcraft Cos. LP/Norcraft Finance Corp.
9.000%, due 11/01/11..................... 150,000 156,000
Norcraft Holdings LP/Norcraft Capital Corp.
0.000%/ 9.750%, due 09/01/12(a).......... 425,000 303,875
Playtex Products, Inc. 9.375%,
due 06/01/11............................. 325,000 342,063
Sealy Mattress Co. 8.250%,
due 06/15/14............................. 175,000 181,125
Simmons Co.
7.875%, due 01/15/14..................... 150,000 139,500
0.000%/10.000%, due 12/15/14
(144A)(a)(b)............................ 275,000 149,875
Spectrum Brands, Inc.
8.500%, due 10/01/13...................... 100,000 87,750
7.375%, due 02/01/15...................... 400,000 336,000
Visant Holding Corp. 0.000%/ 10.250%,
due 12/01/13............................. 550,000 409,750
------------
3,357,125
------------
INDUSTRIAL - DIVERSIFIED - 2.3%
Aearo Co. I 8.250%, due 04/15/12........... 325,000 331,500
Amsted Industries, Inc. 10.250%,
due 10/15/11 (144A)(b)................... 100,000 107,500
Da-Lite Screen Co., Inc. 9.500%,
due 05/15/11............................. 250,000 263,750
Koppers, Inc. 9.875%, due 10/15/13......... 150,000 163,500
Neenah Co.
11.000%, due 09/30/10 (144A)(b).......... 191,000 210,100
13.000%, due 09/30/13 (144A)(b)........... 159,574 163,563
Norcross Safety Products LLC/Norcoss
Capital Co., Series B 9.875%, due
08/15/11................................. 250,000 258,750
Reddy Ice Holdings, Inc. 0.0000%/
10.500%, due 11/01/12
(144A)(a)(b)............................. 325,000 260,000
------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
------------------------------------------------------------------
INDUSTRIAL - DIVERSIFIED - CONTINUED
Ryerson Tull, Inc. 9.125%,
due 07/15/06........................... $ 150,000 $ 152,813
------------
1,911,476
------------
INTERNET & CATALOG RETAIL - 0.2%
FTD, Inc. 7.750%, due 02/15/14........... 194,000 193,030
------------
LEISURE EQUIPMENT & PRODUCTS - 0.7%
K2, Inc. 7.375%, due 07/01/14............ 175,000 175,000
Knowledge Learning Center, Inc. 7.750%,
due 02/01/15 (144A)(b)................. 400,000 382,000
------------
557,000
------------
MACHINERY - 0.4%
Case New Holland, Inc. 9.250%,
due 08/01/11........................... 275,000 295,625
Clark Material Handling Company, Series D
10.750%, due 11/15/06(d)(g)............ 150,000 0
Columbus McKinnon Corp. 10.000%,
due 08/01/10........................... 33,000 36,713
------------
332,338
------------
MEDIA - 9.0%
CBD Media Holdings LLC 9.250%,
due 07/15/12........................... 425,000 427,125
CCH I Holdings LLC 9.920%, due 04/01/14
(144A)(b).............................. 210,000 120,750
CCH I LLC 11.000%, due 10/01/15
(144A)(b).............................. 167,000 141,115
Charter Communications Holdings II LLC/
Charter Communications Holdings II
Capital Corp. 10.250%, due 09/15/10.... 500,000 500,000
CSC Holdings, Inc., Senior Notes 7.875%,
due 12/15/07........................... 375,000 383,437
Dex Media East LLC/Dex Media East Finance
Co. 12.125%, due 11/15/12.............. 276,000 324,300
Dex Media West LLC/Dex Media Finance
Co., Series B 9.875%, due 08/15/13..... 488,000 544,120
Dex Media, Inc. 0.000%/9.000%,
due 11/15/13(a)........................ 500,000 400,000
DirecTV Holdings LLC/DirectTV Financing
Co. 8.375%, due 03/15/13............... 211,000 227,880
6.375%, due 06/15/15.................... 175,000 171,938
EchoStar DBS Corp.
5.750%, due 10/01/08................... 225,000 221,625
6.375%, due 10/01/11.................... 200,000 193,500
6.625%, due 10/01/14.................... 100,000 96,375
Emmis Communications Corp. 10.366%,
due 06/15/12(c)........................ 125,000 126,094
Houghton Mifflin Co. 0.000%/ 11.500%,
due 10/15/13(a)........................ 375,000 296,250
See notes to financial statements
75
THE TRAVELERS SERIES TRUST
FEDERATED HIGH YIELD PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 2005
(PERCENTAGE OF NET ASSETS)
------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
------------------------------------------------------------------
MEDIA - CONTINUED
IESY Repository GMBH 10.375%,
due 02/15/15 (144A)(b)................. $ 400,000 $ 418,000
Kabel Deutschland GMBH 10.625%,
due 07/01/14 (144A)(b)................. 550,000 581,625
LIN Television Corp. 6.500%,
due 05/15/13........................... 275,000 265,031
LodgeNet Entertainment Corp. 9.500%,
due 06/15/13........................... 175,000 191,187
Majestic Star Casino LLC 9.500%,
due 10/15/10........................... 50,000 52,875
NBC Aquisition Corp. 0.000%/ 11.000%,
due 03/15/13(a)........................ 175,000 129,938
Nebraska Book Co., Inc. 8.625%,
due 03/15/12........................... 200,000 185,000
PRIMEDIA, Inc. 8.875%, due 05/15/11...... 200,000 185,500
Rainbow National Services LLC 10.375%,
due 09/01/14 (144A)(b)................. 325,000 365,625
Reader's Digest Association, Inc. 6.500%,
due 03/01/11........................... 200,000 196,500
Sinclair Broadcast Group, Inc. 8.750%,
due 12/15/11........................... 225,000 237,937
Videotron Ltee 6.375%, due 12/15/15
(144A)(b).............................. 175,000 174,781
XM Satellite Radio, Inc. 12.000%,
due 06/15/10........................... 82,000 92,455
Yell Finance BV
10.750%, due 08/01/11.................. 97,000 105,245
0.000%/13.500%, due 08/01/11(a)......... 179,000 184,818
------------
7,541,026
------------
METALS & MINING - 1.3%
Compass Minerals International, Inc.
0.000%/12.750%, due 12/15/12(a)........ 150,000 136,500
Series B 0.000%/12.000%,
due 06/01/13(a)........................ 275,000 239,250
Hawk Corp. 8.750%, due 11/01/14.......... 200,000 203,000
Mueller Group, Inc. 10.000%,
due 05/01/12........................... 175,000 186,812
Republic Technologies International LLC/
RTI Capital Corp. 13.750%,
due 07/15/09(d)(e)(g).................. 150,000 0
United States Steel Corp. 9.750%,
due 05/15/10........................... 210,000 229,425
Valmont Industries, Inc. 6.875%,
due 05/01/14........................... 100,000 101,250
------------
1,096,237
------------
OFFICE FURNISHING & SUPPLIES - 1.2%
Danka Business Systems Plc 11.000%,
due 06/15/10........................... 125,000 106,875
--------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
--------------------------------------------------------------------
OFFICE FURNISHING & SUPPLIES - CONTINUED
Tempur-Pedic, Inc./Tempur Production
USA, Inc. 10.250%, due 08/15/10.......... $ 135,000 $ 146,644
Xerox Corp.
9.750%, due 01/15/09..................... 450,000 500,062
7.625%, due 06/15/13...................... 225,000 238,500
------------
992,081
------------
OIL & GAS - 6.2%
Atlas Pipeline Partners, L.P. 8.125%,
due 12/15/15 (144A)(b)................... 100,000 101,375
Chesapeake Energy Corp. 6.875%,
due 11/15/20 (144A)(b)................... 400,000 407,000
El Paso Corp.
6.950%, due 12/15/07...................... 175,000 177,844
6.750%, due 05/15/09...................... 225,000 224,437
8.050%, due 10/15/30...................... 150,000 153,750
7.800%, due 08/01/31...................... 275,000 275,687
El Paso Production Holding Co. 7.750%,
due 06/01/13............................. 175,000 182,438
Grant Prideco, Inc. 6.125%, due 08/15/15
(144A)(b)................................ 75,000 75,188
Holly Energy Partners, L.P. 6.250%,
due 03/01/15............................. 300,000 292,125
Lone Star Technologies, Inc., Series B
9.000%, due 06/01/11..................... 50,000 52,750
Pacific Energy Partners LP / Pacific Energy
Finance Corp. 6.250%, due 09/15/15
(144A)(b)................................ 175,000 173,250
Pacific Energy Partners LP/Pacific Energy
Finance Corp. 7.125%, due 06/15/14....... 175,000 181,125
Pogo Producing Co.
6.625%, due 03/15/15..................... 150,000 147,000
6.875%, due 10/01/17 (144A)(b)............ 75,000 73,500
PSEG Energy Holdings LLC 8.625%,
due 02/15/08............................. 200,000 209,000
Range Resources Corp.
7.375%, due 07/15/13..................... 200,000 208,000
6.375%, due 03/15/15...................... 125,000 123,125
SEMCO Energy, Inc. 7.125%, due
05/15/08................................. 125,000 127,658
SemGroup LP 8.750%, due 11/15/15
(144A)(b)................................ 200,000 205,500
Swift Energy Co. 9.375%, due 05/01/12...... 250,000 270,000
Tennessee Gas Pipeline Co.
7.500%, due 04/01/17...................... 150,000 161,372
8.375%, due 06/15/32...................... 450,000 512,822
Transcontinental Gas Pipe Line Corp.,
Series B 8.875%, due 07/15/12............ 150,000 172,500
Williams Companies, Inc.
7.625%, due 07/15/19...................... 200,000 215,500
7.875%, due 09/01/21...................... 425,000 462,187
------------
5,185,133
------------
See notes to financial statements
76
THE TRAVELERS SERIES TRUST
FEDERATED HIGH YIELD PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 2005
(PERCENTAGE OF NET ASSETS)
----------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
----------------------------------------------------------------
PAPER & FOREST PRODUCTS - 1.9%
Abitibi-Consolidated, Inc. 8.375%,
due 04/01/15......................... $ 275,000 $ 264,687
Boise Cascade LLC
7.025%, due 10/15/12(c).............. 75,000 73,500
7.125%, due 10/15/14.................. 100,000 93,750
Georgia-Pacific Corp. 7.500%,
due 05/15/06......................... 500,000 505,625
Mercer International, Inc. 9.250%,
due 02/15/13......................... 275,000 233,063
Newpage Corp. 12.000%, due 05/01/13.... 300,000 277,500
Tembec Industries, Inc. 8.500%,
due 02/01/11......................... 200,000 112,000
------------
1,560,125
------------
REAL ESTATE - 1.2%
CB Richard Ellis Services, Inc. 9.750%,
due 05/15/10......................... 114,000 124,830
Host Marriott LP
7.125%, due 11/01/13................. 325,000 339,625
6.375%, due 03/15/15.................. 100,000 100,250
Ventas Realty LP/Ventas Capital Corp.
6.625%, due 10/15/14.................. 250,000 256,875
7.125%, due 06/01/15.................. 75,000 79,125
6.500%, due 06/01/16 (144A)(b)........ 100,000 101,000
------------
1,001,705
------------
RETAIL - MULTILINE - 2.5%
Affinity Group, Inc.
9.000%, due 02/15/12................. 150,000 150,563
10.875%, due 02/15/12(f).............. 234,583 229,012
Couche Tard U.S. LP/Couche-Tard Finance
Corp. 7.500%, due 12/15/13........... 350,000 362,250
EPL Finance Corp. 11.750%, due 11/15/13
(144A)(b)............................ 175,000 175,219
J.C. Penney Co., Inc.
7.600%, due 04/01/07................. 50,000 51,625
9.000%, due 08/01/12.................. 476,000 562,424
R.H. Donnelley, Inc. 10.875%,
due 12/15/12......................... 275,000 311,437
SGS International, Inc. 12.000%,
due 12/15/13 (144A)(b)............... 250,000 251,661
------------
2,094,191
------------
RETAIL - SPECIALTY - 1.0%
AmeriGas Partners, L.P. 7.250%,
due 05/20/15......................... 175,000 179,375
General Nutrition Centers, Inc. 8.500%,
due 12/01/10......................... 200,000 173,000
True Temper Sports, Inc. 8.375%,
due 09/15/11......................... 350,000 316,750
United Auto Group, Inc. 9.625%,
due 03/15/12......................... 200,000 211,500
------------
880,625
------------
-----------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
-----------------------------------------------------------------
SEMICONDUCTOR EQUIPMENT & PRODUCTS - 0.5%
Freescale Semiconductor, Inc. 7.125%,
due 07/15/14.......................... $ 200,000 $ 214,000
MagnaChip Semiconductor 8.000%,
due 12/15/14.......................... 175,000 168,000
------------
382,000
------------
SOFTWARE - 1.0%
SS&C Technologies, Inc. 11.750%,
due 12/01/13 (144A)(b)................ 200,000 206,000
Sungard Data Systems, Inc.
9.125%, due 08/15/13 (144A)(b)......... 350,000 364,000
10.250%, due 08/15/15 (144A)(b)........ 275,000 276,375
------------
846,375
------------
TELECOMMUNICATION SERVICES - DIVERSIFIED - 8.2%
Alaska Communications Systems Holdings,
Inc. 9.875%, due 08/15/11............. 163,000 178,077
AT&T Corp. 9.750%, due 11/15/31......... 675,000 850,398
Centennial Communications Corp.
10.000%, due 01/01/13 (144A)(b)....... 100,000 101,500
Cincinnati Bell, Inc. 7.250%,
due 07/15/13.......................... 250,000 261,250
Citizens Communications Co.
9.250%, due 05/15/11.................. 75,000 83,063
6.250%, due 01/15/13................... 150,000 145,875
9.000%, due 08/15/31................... 200,000 203,500
Inmarsat Finance II PLC 0.000%/ 10.375%,
due 11/15/12(a)....................... 125,000 104,844
Inmarsat Finance PLC 7.625%,
due 06/30/12.......................... 32,000 33,160
Intelsat Bermuda, Ltd.
8.695%, due 01/15/12 (144A)(b)(c)..... 225,000 229,781
8.625%, due 01/15/15 (144A)(b)......... 175,000 177,625
MCI, Inc. 8.735%, due 05/01/14.......... 400,000 443,500
New Skies Satellites NV 9.125%,
due 11/01/12.......................... 175,000 187,906
Nextel Communications, Inc., Series D
7.375%, due 08/01/15.................. 575,000 607,282
PanAmSat Corp. 9.000%, due 08/15/14..... 163,000 171,558
PanAmSat Holding Corp. .000%/ 10.375%,
due 11/01/14(a)....................... 700,000 493,500
Qwest Corp. 8.875%, due 03/15/12........ 1,200,000 1,359,000
Rogers Wireless Communications, Inc.
6.375%, due 03/01/14.................. 775,000 780,812
U.S. Unwired, Inc., Series B 10.000%,
due 06/15/12.......................... 200,000 226,000
Valor Telecommunications Enterprise
7.750%, due 02/15/15.................. 225,000 236,250
------------
6,874,881
------------
See notes to financial statements
77
THE TRAVELERS SERIES TRUST
FEDERATED HIGH YIELD PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 2005
(PERCENTAGE OF NET ASSETS)
--------------------------------------------------------------------
SECURITY SHARES/PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
--------------------------------------------------------------------
TEXTILES, APPAREL & LUXURY GOODS - 0.7%
Collins & Aikman, Inc., Series B 9.750%,
due 02/15/10............................. $ 175,000 $ 154,875
INVISTA 9.250%, due 05/01/12
(144A)(b)................................ 250,000 268,125
Warnaco, Inc. 8.875%, due 06/15/13......... 175,000 189,438
------------
612,438
------------
TRANSPORTATION - 0.7%
Holt Group, Inc. 9.750%,
due 01/15/06(d)(e)(g).................... 100,000 0
Petroleum Helicopters, Inc., Series B
9.375%, due 05/01/09..................... 150,000 158,813
Stena AB
9.625%, due 12/01/12..................... 250,000 272,812
7.500%, due 11/01/13...................... 150,000 144,750
------------
576,375
------------
Total Domestic Bonds & Debt Securities
(Cost $79,726,403) 80,493,141
------------
CONVERTIBLE BONDS - 0.1%
ENTERTAINMENT - 0.1%
Magna Entertainment Corp. 7.250%,
due 12/15/09 (Cost - $123,763)........... 125,000 129,219
------------
COMMON STOCKS - 0.2%
CHEMICALS - 0.0%
General Chemical Industrial Products,
Inc.*(e)(g).............................. 45 14,352
------------
CONTAINERS & PACKAGING - 0.0%
Russell-Stanley Holdings,
Inc.*(e)(g)(h)........................... 2,000 0
------------
FOOD & DRUG RETAILING - 0.1%
B&G Food, Inc., EIS........................ 5,715 82,982
------------
TELECOMMUNICATION SERVICES - DIVERSIFIED - 0.1%
NTL, Inc.*................................. 710 48,337
Viatel Holding Bermuda, Ltd.*.............. 1,237 49
------------
48,386
------------
Total Common Stocks
(Cost $588,225) 145,720
------------
PREFERRED STOCK - 0.2%
RETAIL - SPECIALTY - 0.2%
GNC Corp.*(f) (Cost - $201,200)............ 200 164,500
------------
WARRANTS - 0.1%
CHEMICALS - 0.0%
General Chemical Industrial Products, Inc.,
Series A, expires 04/30/11*(e)(g)........ 26 3,211
General Chemical Industrial Products, Inc.,
Series B, expires 04/30/11*(e)(g)........ 19 0
------------
3,211
------------
--------------------------------------------------------------------
SECURITY SHARES/PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
--------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES - 0.0%
MDP Acquisitions PLC Corp. expires
10/01/13*(e)(h)(144A)...................... 100 $ 2,000
-----------
CONTAINERS & PACKAGING - 0.0%
Pliant Corp. expires
06/01/10*(e)(g)(h)......................... 100 1
-----------
LEISURE EQUIPMENT & PRODUCTS - 0.0%
AMF Bowling Worldwide, Inc. expires
03/09/09*(e)............................... 901 0
-----------
MEDIA - 0.0%
Advanstar Holdings Corp. expires
10/15/11*(g)(h)(144A)...................... 75 1
XM Satellite Radio Holdings, Inc., - Class A,
expires 03/15/10*.......................... 125 5,750
-----------
5,751
-----------
METALS & MINING - 0.1%
ACP Holding Co. expires
09/30/13*(g)(h)(144A)...................... 30,652 59,005
-----------
Total Warrants
(Cost $105,554) 69,968
-----------
SHORT-TERM INVESTMENT - 1.7%
State Street Bank & Trust Co., Repurchase
Agreement, dated 12/30/05 at 2.000% to
be repurchased at $1,444,321 on
01/03/06 collateralized by 1,060,000
U.S. Treasury Bond 8.125 due 08/15/19
with a value of $1,474,725. 2.000%, due
01/03/06 (Cost - $1,444,000)............... $1,444,000 1,444,000
-----------
TOTAL INVESTMENTS - 98.1%
(Cost $82,189,145) 82,446,548
Other Assets and Liabilities (net) - 1.9% 1,557,267
-----------
TOTAL NET ASSETS - 100.0% $84,003,815
===========
* Non-income producing security.
(a) 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.
(b) 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 determind to be liquid
under the guidlines established by the Board of Trustees. These securities
represent in the aggregate 14.65% of net assets.
(c) Variable or floating rate security. The stated rate represents the rate at
December 31, 2005.
See notes to financial statements
78
THE TRAVELERS SERIES TRUST
FEDERATED HIGH YIELD PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 2005
(PERCENTAGE 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 Directors.
(f) Payment-in-kind security for which part of the income earned may be paid as
additional principal.
(g) Illiquid securities. Representing in the aggregate 0.0% of net assets.
(h) Restricted security, that is subject to restrictions on resale under
federal securities laws. These securities may only be resold upon
registration under federal securities laws or in transactions exempt from
such registration. The Federated High Yield Portfolio may not invest more
than 15% of its net assets in illiquid securities including restricted
securities and does not have the right to demand that such securities be
registered. At December 31, 2005 these securities represent 0.1% of net
assets.
The following table summarizes the credit composition of the portfolio holdings
of the Federated High Yield Portfolio at December 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 COMPOSITION BY CREDIT QUALITY PORTFOLIO
--------------------------------------------------
A 1.80%
BBB 0.59
BB 26.53
B 58.66
Below B 11.41
Equities/Other 1.01
------
Total: 100.00%
======
See notes to financial statements
79
THE TRAVELERS SERIES TRUST
FEDERATED STOCK PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2005
(PERCENTAGE OF NET ASSETS)
-----------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
-----------------------------------------------------------
COMMON STOCKS - 99.4%
AEROSPACE & DEFENSE - 1.7%
Northrop Grumman Corp.................. 7,834 $ 470,902
------------
BANKS - 4.9%
Bank of America Corp................... 6,800 313,820
U.S. Bancorp........................... 16,300 487,207
Wells Fargo & Co....................... 9,100 571,753
------------
1,372,780
------------
BEVERAGES - 1.4%
Coca-Cola Co........................... 10,000 403,100
------------
CHEMICALS - 0.8%
PPG Industries, Inc.................... 3,700 214,230
------------
COMMERCIAL SERVICES & SUPPLIES - 1.0%
Pitney Bowes, Inc...................... 6,700 283,075
------------
COMMUNICATIONS EQUIPMENT - 1.0%
Motorola, Inc.......................... 12,100 273,339
------------
COMPUTERS & PERIPHERALS - 2.0%
Hewlett-Packard Co..................... 14,700 420,861
International Business Machines Corp... 1,600 131,520
------------
552,381
------------
ELECTRIC UTILITIES - 1.0%
American Electric Power Co., Inc....... 7,500 278,175
------------
ELECTRONIC EQUIPMENT & INSTRUMENTS - 0.7%
Xerox Corp.*........................... 14,400 210,960
------------
FINANCIAL - DIVERSIFIED - 16.1%
Capital One Financial Corp............. 6,400 552,960
Fannie Mae............................. 9,100 444,171
Freddie Mac............................ 16,100 1,052,135
Goldman Sachs Group, Inc. (The)........ 2,700 344,817
JPMorgan Chase & Co.................... 11,000 436,590
MBNA Corp.............................. 13,600 369,240
Merrill Lynch & Co., Inc............... 9,400 636,662
Morgan Stanley......................... 12,600 714,924
------------
4,551,499
------------
FOOD & DRUG RETAILING - 2.5%
Albertson's, Inc....................... 15,400 328,790
SUPERVALU, Inc......................... 11,700 380,016
------------
708,806
------------
FOOD PRODUCTS - 2.4%
Smithfield Foods, Inc.*................ 9,300 284,580
Tyson Foods, Inc., - Class A........... 23,400 400,140
------------
684,720
------------
HEALTH CARE PROVIDERS & SERVICES - 4.5%
AmerisourceBergen Corp................. 10,200 422,280
HCA, Inc............................... 8,300 419,150
McKesson Corp.......................... 8,300 428,197
------------
1,269,627
------------
------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE - 2.1%
McDonald's Corp............................... 17,500 $ 590,100
------------
INDUSTRIAL CONGLOMERATES - 2.0%
Tyco International, Ltd....................... 19,991 576,940
------------
INSURANCE - 12.5%
ACE, Ltd...................................... 14,900 796,256
Allstate Corp. (The).......................... 15,800 854,306
American International Group, Inc............. 10,900 743,707
Aon Corp...................................... 9,700 348,715
Hartford Financial Services Group, Inc........ 3,300 283,437
Nationwide Financial Services, Inc., - Class A 6,400 281,600
XL Capital, Ltd., - Class A................... 3,200 215,616
------------
3,523,637
------------
IT CONSULTING & SERVICES - 1.8%
Computer Sciences Corp.*...................... 7,500 379,800
Unisys Corp.*................................. 21,800 127,094
------------
506,894
------------
LEISURE EQUIPMENT & PRODUCTS - 1.3%
Mattel, Inc................................... 23,300 368,606
------------
MACHINERY - 2.4%
Deere & Co.................................... 2,300 156,653
Eaton Corp.................................... 4,500 301,905
Illinois Tool Works, Inc...................... 2,600 228,774
------------
687,332
------------
MEDIA - 6.6%
CCE Spinco, Inc.*............................. 1,987 26,030
Clear Channel Communications, Inc............. 15,900 500,055
Gannett Co., Inc.............................. 7,100 430,047
Interpublic Group of Cos., Inc.*.............. 30,700 296,255
Time Warner, Inc.............................. 35,600 620,864
------------
1,873,251
------------
OIL & GAS - 11.8%
BP Plc, (ADR)................................. 7,200 462,384
Chevron Corp.................................. 14,602 828,955
ConocoPhillips................................ 8,200 477,076
Exxon Mobil Corp.............................. 15,300 859,401
Marathon Oil Corp............................. 6,000 365,820
NiSource, Inc................................. 15,600 325,416
------------
3,319,052
------------
PHARMACEUTICALS - 3.4%
Johnson & Johnson............................. 6,000 360,600
Pfizer, Inc................................... 25,400 592,328
------------
952,928
------------
RETAIL - MULTILINE - 0.8%
Dollar General Corp........................... 11,200 213,584
------------
See notes to financial statements
80
THE TRAVELERS SERIES TRUST
FEDERATED STOCK PORTFOLIO
SCHEDULE OF INVESTMENTS - CONTINUED
DECEMBER 31, 2005
(PERCENTAGE OF NET ASSETS)
-----------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
-----------------------------------------------------------
RETAIL - SPECIALTY - 1.5%
Gap, Inc. (The)........................ 15,200 $ 268,128
Home Depot, Inc. (The)................. 3,500 141,680
------------
409,808
------------
SEMICONDUCTOR EQUIPMENT & PRODUCTS - 2.0%
Applied Materials, Inc................. 11,700 209,898
Intel Corp............................. 14,700 366,912
------------
576,810
------------
SOFTWARE - 0.8%
BMC Software, Inc.*.................... 10,800 221,292
------------
TELECOMMUNICATION SERVICES - DIVERSIFIED - 6.0%
ALLTEL Corp............................ 6,200 391,220
AT&T, Inc.*............................ 25,200 617,148
Sprint Nextel Corp..................... 12,300 287,328
Verizon Communications, Inc............ 13,650 411,138
------------
1,706,834
------------
TELECOMMUNICATION SERVICES - WIRELESS - 1.0%
Vodafone Group Plc, (ADR).............. 13,100 281,257
------------
TEXTILES, APPAREL & LUXURY GOODS - 0.8%
Jones Apparel Group, Inc............... 7,100 218,112
------------
TOBACCO - 2.6%
Altria Group, Inc...................... 9,900 739,728
------------
Total Common Stocks
(Cost $25,495,476) 28,039,759
------------
-----------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
-----------------------------------------------------
ESCROWED SHARES - 0.0%
ESC Seagate Technology (a)(b)
(Cost - $0).................. $10,300 $ 0
-----------
TOTAL INVESTMENTS - 99.4%
(Cost $25,495,476) 28,039,759
Other Assets and Liabilities (net) - 0.6% 167,818
-----------
TOTAL NET ASSETS - 100.0% $28,207,577
===========
* Non-income producing security.
(a) Security is valued in good faith at fair value by or under the direction of
the Board of Directors.
(b) Illiquid securities. Representing in the aggregate 0.0% of net assets.
ADR - American Depositary Receipt
See notes to financial statements
81
THE TRAVELERS SERIES TRUST
LARGE CAP PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2005
(PERCENTAGE OF NET ASSETS)
-------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
-------------------------------------------------------
COMMON STOCKS - 98.6%
AEROSPACE & DEFENSE - 2.2%
Boeing Co. (The)................. 21,200 $ 1,489,088
L-3 Communications Holdings, Inc. 32,300 2,401,505
United Technologies Corp......... 34,300 1,917,713
-------------
5,808,306
-------------
BANKS - 1.0%
Wells Fargo & Co................. 42,200 2,651,426
-------------
BEVERAGES - 1.4%
Hansen Natural Corp.*............ 48,800 3,845,928
-------------
BIOTECHNOLOGY - 9.5%
Amgen, Inc.*..................... 46,100 3,635,446
Biogen Idec, Inc.*............... 131,000 5,938,230
Genentech, Inc.*................. 53,200 4,921,000
Gilead Sciences, Inc.*........... 154,800 8,147,124
United Therapeutics Corp.*....... 37,400 2,585,088
-------------
25,226,888
-------------
BUILDING MATERIALS - 2.1%
Building Material Holding Corp... 83,601 5,702,424
-------------
BUILDING PRODUCTS - 2.5%
Ryland Group, Inc. (The)......... 90,200 6,506,126
-------------
CHEMICALS - 0.4%
Dow Chemical Co.................. 27,100 1,187,522
-------------
COMPUTERS & PERIPHERALS - 8.9%
Apple Computer, Inc.*............ 135,100 9,712,339
Dell, Inc.*...................... 83,900 2,516,161
Hewlett-Packard Co............... 267,200 7,649,936
Western Digital Corp.*........... 202,000 3,759,220
-------------
23,637,656
-------------
ELECTRIC UTILITIES - 0.6%
TXU Corp......................... 34,000 1,706,460
-------------
FINANCIAL - DIVERSIFIED - 1.3%
American Express Co.............. 56,000 2,881,760
Golden West Financial Corp....... 9,200 607,200
-------------
3,488,960
-------------
FOOD & DRUG RETAILING - 1.6%
CVS Corp......................... 43,800 1,157,196
Walgreen Co...................... 72,700 3,217,702
-------------
4,374,898
-------------
FOOD PRODUCTS - 4.2%
General Mills, Inc............... 80,800 3,985,056
Kellogg Co....................... 22,800 985,416
Seabord Corp..................... 1,410 2,130,510
Whole Foods Market, Inc.......... 51,800 4,008,802
-------------
11,109,784
-------------
HEALTH CARE EQUIPMENT & SUPPLIES - 0.4%
Stryker Corp..................... 25,800 1,146,294
-------------
-------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
-------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES - 5.6%
Aetna, Inc............................. 83,200 $ 7,846,592
Community Health Systems, Inc.*........ 45,200 1,732,968
UnitedHealth Group, Inc................ 85,300 5,300,542
-------------
14,880,102
-------------
HOTELS, RESTAURANTS & LEISURE - 1.8%
Penn National Gaming, Inc.*............ 147,600 4,863,420
-------------
HOUSEHOLD DURABLES - 8.5%
D.R. Horton, Inc....................... 210,700 7,528,311
KB HOME................................ 94,500 6,866,370
Lennar Corp. - Class A................. 113,000 6,895,260
Procter & Gamble Co.................... 22,175 1,283,489
-------------
22,573,430
-------------
INDUSTRIAL - DIVERSIFIED - 2.4%
General Electric Co.................... 178,800 6,266,940
-------------
INSURANCE - 4.9%
Chubb Corp. (The)...................... 16,000 1,562,400
CIGNA Corp............................. 12,000 1,340,400
Fidelity National Financial, Inc....... 106,000 3,899,740
MGIC Investment Corp................... 15,900 1,046,538
Radian Group Inc....................... 86,500 5,068,035
-------------
12,917,113
-------------
INTERNET SOFTWARE & SERVICES - 3.5%
Google, Inc., - Class A*............... 5,100 2,115,786
McAfee, Inc.*.......................... 164,400 4,460,172
Websense, Inc.*........................ 39,700 2,605,908
-------------
9,181,866
-------------
IT CONSULTING & SERVICES - 0.7%
Cognizant Technology Solutions Corp. -
Class A*............................. 35,900 1,807,565
-------------
MACHINERY - 4.4%
Deere & Co............................. 77,200 5,258,092
Joy Global, Inc........................ 160,250 6,410,000
-------------
11,668,092
-------------
METALS & MINING - 2.0%
Allegheny Technologies, Inc............ 26,900 970,552
Cleveland-Cliffs, Inc.................. 5,800 513,706
Phelps Dodge Corp...................... 3,700 532,319
Precision Castparts Corp............... 26,800 1,388,508
Quanex Corp............................ 40,100 2,003,797
-------------
5,408,882
-------------
OIL & GAS - 3.7%
Devon Energy Corp...................... 33,700 2,107,598
Frontier Oil Corp...................... 23,700 889,461
Sunoco, Inc............................ 49,500 3,879,810
Valero Energy Corp..................... 59,400 3,065,040
-------------
9,941,909
-------------
See notes to financial statements
82
THE TRAVELERS SERIES TRUST
LARGE CAP PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 2005
(PERCENTAGE OF NET ASSETS)
--------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
--------------------------------------------------------
PHARMACEUTICALS - 2.7%
Johnson & Johnson................. 120,300 $ 7,230,030
-------------
RETAIL - MULTILINE - 1.7%
Costco Wholesale Corp............. 17,100 845,937
Wal-Mart Stores, Inc.............. 77,200 3,612,960
-------------
4,458,897
-------------
RETAIL - SPECIALTY - 0.1%
Nordstrom, Inc.................... 6,200 231,880
-------------
ROAD & RAIL - 4.5%
Burlington Northern Santa Fe Corp. 30,400 2,152,928
CSX Corp.......................... 55,100 2,797,427
Norfolk Southern Corp............. 155,900 6,988,997
-------------
11,939,352
-------------
SEMICONDUCTOR EQUIPMENT & PRODUCTS - 8.8%
Cymer, Inc.*...................... 49,900 1,771,949
Intel Corp........................ 259,500 6,477,120
Marvell Technology Group Ltd.*.... 111,100 6,231,599
MEMC Electronic Materials, Inc.*.. 37,300 826,941
NVIDIA Corp.*..................... 22,700 829,912
SiRF Technology Holdings, Inc.*... 69,000 2,056,200
Texas Instruments, Inc............ 161,000 5,163,270
-------------
23,356,991
-------------
SOFTWARE - 4.5%
Activision, Inc.*................. 123,433 1,695,970
Autodesk, Inc..................... 125,400 5,385,930
Microsoft Corp.................... 122,500 3,203,375
Quest Software, Inc.*............. 123,124 1,796,379
-------------
12,081,654
-------------
--------------------------------------------------------------------
SECURITY SHARES/PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
--------------------------------------------------------------------
TELECOMMUNICATION SERVICES - DIVERSIFIED - 0.4%
Qwest Communications International,
Inc.*.................................... 182,600 $ 1,031,690
-------------
TELECOMMUNICATION SERVICES - WIRELESS - 0.3%
NII Holdings, Inc.*........................ 16,900 738,192
-------------
TOBACCO - 2.0%
Altria Group, Inc.......................... 71,400 5,335,008
-------------
Total Common Stocks
(Cost $249,864,842) 262,305,685
-------------
SHORT-TERM INVESTMENT - 0.9%
State Street Bank & Trust Co., Repurchase
Agreement, dated 12/30/05, at 2.000% to
be repurchased at $2,304,512 on
01/03/06 collateralized by 1,690,000 U.S.
Treasury Bond at 8.125% due 08/15/19
with a value of $2,351,213
(Cost - $2,304,000)...................... $2,304,000 2,304,000
-------------
TOTAL INVESTMENTS - 99.5%
(Cost $252,168,842) 264,609,685
Other Assets and Liabilities (Net) - 0.5% 1,250,057
-------------
TOTAL NET ASSETS - 100.0% $ 265,859,742
=============
* Non-income producing security.
See notes to financial statements
83
THE TRAVELERS SERIES TRUST
MANAGED ALLOCATION SERIES: AGGRESSIVE PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2005
(PERCENTAGE OF NET ASSETS)
--------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
--------------------------------------------------------------
INVESTMENT COMPANY SECURITIES - 100.8%
AIM Capital Appreciation Portfolio......... 203 $ 2,352
Capital Appreciation Fund*................. 9,828 769,347
Disciplined Mid Cap Stock Portfolio........ 581 12,766
Equity Income Portfolio.................... 38,833 686,574
Large Cap Portfolio........................ 11,851 179,428
Mondrian International Stock Portfolio..... 81,225 1,015,314
Mercury Large Cap Portfolio................ 3,580 36,300
MFS Mid Cap Growth Portfolio............... 1,920 15,534
MFS Value Portfolio........................ 439 5,467
Pioneer Fund Portfolio..................... 91,764 1,169,987
Pioneer Mid Value Portfolio................ 328 3,538
Small Cap Growth Portfolio................. 9,109 103,115
Small Cap Value Portfolio.................. 6,261 70,062
Strategic Equity Portfolio................. 7,017 124,834
Van Kampen Enterprise Portfolio............ 64,317 818,753
----------
Total Investment Company Securities
(Cost $4,705,624) 5,013,371
----------
TOTAL INVESTMENTS - 100.8%
(Cost $4,705,624) 5,013,371
Other Assets and Liabilities (net) - (0.8)% (39,269)
----------
TOTAL NET ASSETS - 100.0% $4,974,102
==========
* Not part of The Travelers Series Trust.
See notes to financial statements
84
THE TRAVELERS SERIES TRUST
MANAGED ALLOCATION SERIES: CONSERVATIVE PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2005
(PERCENTAGE OF NET ASSETS)
------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
------------------------------------------------------------------
INVESTMENT COMPANY SECURITIES - 100.8%
AIM Capital Appreciation Portfolio............ 4 $ 49
Capital Appreciation Fund*.................... 4,033 315,725
Convertible Securities Portfolio.............. 4,932 58,439
Disciplined Mid Cap Stock Portfolio........... 121 2,664
Equity Income Portfolio....................... 12,426 219,692
Federated High Yield Portfolio................ 16,281 143,924
High Yield Bond Trust*........................ 4,398 44,152
Large Cap Portfolio........................... 1,369 20,723
Mercury Large Cap Core Portfolio.............. 899 9,118
MFS Mid Cap Growth Portfolio.................. 584 4,728
MFS Value Portfolio........................... 239 2,968
Mondrian International Stock Portfolio........ 15,836 197,949
Money Market Portfolio*....................... 465,093 465,093
Pioneer Fund Portfolio........................ 10,240 130,558
Pioneer Mid Cap Value Portfolio............... 395 4,262
Pioneer Strategic Income Portfolio............ 66,565 621,053
Strategic Equity Portfolio.................... 818 14,549
Style Focus Series: Small Cap Growth Portfolio 509 5,758
Style Focus Series: Small Cap Value Portfolio. 1,911 21,385
Travelers Quality Bond Portfolio.............. 115,284 1,292,330
U.S. Government Securities Portfolio.......... 82,402 1,095,127
Van Kampen Enterprise Portfolio............... 2,310 29,412
----------
Total Investment Company Securities
(Cost $4,650,876) 4,699,658
----------
TOTAL INVESTMENTS - 100.8%
(Cost $4,650,876) 4,699,658
Other Assets and Liabilities (net) - (0.8)% (38,293)
----------
TOTAL NET ASSETS - 100.0% $4,661,365
==========
* Not part of The Travelers Series Trust.
See notes to financial statements
85
THE TRAVELERS SERIES TRUST
MANAGED ALLOCATION SERIES: MODERATE PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2005
(PERCENTAGE OF NET ASSETS)
-------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
-------------------------------------------------------------------
INVESTMENT COMPANY SECURITIES - 99.7%
AIM Capital Appreciation Portfolio........... 3,414 $ 39,639
Capital Appreciation Fund*................... 31,782 2,487,894
Convertible Securities Portfolio............. 56,524 669,805
Disciplined Mid Cap Stock Portfolio.......... 731 16,060
Equity Income Portfolio...................... 106,385 1,880,893
Federated High Yield Portfolio............... 43,363 383,326
High Yield Bond Trust*....................... 4,782 48,009
Large Cap Portfolio.......................... 79,969 1,210,726
Mercury Large Cap Core Portfolio............. 13,808 140,016
MFS Mid Cap Growth Portfolio................. 4,683 37,889
MFS Value Portfolio.......................... 3,537 44,005
Mondrian International Stock Portfolio....... 216,544 2,706,794
Money Market Portfolio*...................... 1,068,152 1,068,152
Pioneer Fund Portfolio....................... 261,981 3,340,264
Pioneer Mid Cap Value Portfolio.............. 473 5,096
Pioneer Strategic Income Portfolio........... 243,018 2,267,356
Strategic Equity Portfolio................... 15,328 272,688
Style Focus Series: Small Cap Growth
Portfolio.................................. 9,684 109,620
Style Focus Series: Small Cap Value Portfolio 10,999 123,083
Travelers Quality Bond Portfolio............. 119,495 1,339,543
U.S. Government Securities Portfolio......... 209,933 2,790,011
Van Kampen Enterprise Portfolio.............. 74,514 948,565
-----------
Total Investment Company Securities
(Cost $21,348,152) 21,929,434
-----------
TOTAL INVESTMENTS - 99.7%
(Cost $21,348,152) 21,929,434
Other Assets and Liabilities (net) - 0.3% 73,622
-----------
TOTAL NET ASSETS - 100.0% $22,003,056
===========
* Not part of The Travelers Series Trust.
See notes to financial statements
86
THE TRAVELERS SERIES TRUST
MANAGED ALLOCATION SERIES: MODERATE-AGGRESSIVE PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2005
(PERCENTAGE OF NET ASSETS)
--------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
--------------------------------------------------------------------
INVESTMENT COMPANY SECURITIES - 100.0%
AIM Capital Appreciation Portfolio........... 157 $ 1,823
Capital Appreciation Fund*................... 41,882 3,278,539
Convertible Securities Portfolio............. 62,439 739,908
Disciplined Mid Cap Stock Portfolio.......... 1,507 33,101
Equity Income Portfolio...................... 142,116 2,512,615
Federated High Yield Portfolio............... 23,995 212,116
High Yield Bond Trust*....................... 3,766 37,806
Large Cap Portfolio.......................... 87,739 1,328,375
Mercury Large Cap Core Portfolio............. 5,843 59,252
MFS Mid Cap Growth Portfolio................. 3,917 31,690
MFS Value Portfolio.......................... 3,321 41,319
Mondrian International Stock Portfolio....... 313,338 3,916,730
Money Market Portfolio*...................... 1,232,952 1,232,952
Pioneer Fund Portfolio....................... 349,208 4,452,396
Pioneer Mid Cap Value Portfolio.............. 949 10,230
Pioneer Strategic Income Portfolio........... 278,553 2,598,899
Strategic Equity Portfolio................... 16,944 301,442
Style Focus Series: Small Cap Growth
Portfolio.................................. 9,341 105,740
Style Focus Series: Small Cap Value Portfolio 5,327 59,605
Travelers Quality Bond Portfolio............. 80,209 899,145
U.S. Government Securities Portfolio......... 128,309 1,705,225
Van Kampen Enterprise Portfolio.............. 150,011 1,909,636
-----------
Total Investment Company Securities
(Cost $24,594,657) 25,468,544
-----------
TOTAL INVESTMENTS - 100.0%
(Cost $24,594,657) 25,468,544
Other Assets and Liabilities (net) - 0.0% (5,997)
-----------
TOTAL NET ASSETS - 100.0% $25,462,547
===========
* Not part of The Travelers Series Trust.
See notes to financial statements
87
THE TRAVELERS SERIES TRUST
MANAGED ALLOCATION SERIES: MODERATE-CONSERVATIVE PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2005
(PERCENTAGE OF NET ASSETS)
------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
------------------------------------------------------------------
INVESTMENT COMPANY SECURITIES - 100.9%
AIM Capital Appreciation Portfolio............ 414 $ 4,811
Capital Appreciation Fund*.................... 4,961 388,332
Convertible Securities Portfolio.............. 8,257 97,847
Disciplined Mid Cap Stock Portfolio........... 279 6,119
Equity Income Portfolio....................... 15,718 277,888
Federated High Yield Portfolio................ 11,639 102,886
High Yield Bond Trust*........................ 2,661 26,714
Large Cap Portfolio........................... 10,391 157,316
Mercury Large Cap Core Portfolio.............. 1,789 18,144
MFS Mid Cap Growth Portfolio.................. 959 7,756
MFS Value Portfolio........................... 206 2,568
Mondrian International Stock Portfolio........ 29,142 364,275
Money Market Portfolio*....................... 211,322 211,322
Pioneer Fund Portfolio........................ 33,852 431,612
Pioneer Mid Cap Value Portfolio............... 566 6,099
Pioneer Strategic Income Portfolio............ 48,628 453,698
Strategic Equity Portfolio.................... 2,520 44,831
Style Focus Series: Small Cap Growth Portfolio 1,378 15,597
Style Focus Series: Small Cap Value Portfolio. 2,387 26,710
Travelers Quality Bond Portfolio.............. 72,843 816,567
U.S. Government Securities Portfolio.......... 63,362 842,075
Van Kampen Enterprise Portfolio............... 4,797 61,069
----------
Total Investment Company Securities
(Cost $4,227,949) 4,364,236
----------
TOTAL INVESTMENTS - 100.9%
(Cost $4,227,949) 4,364,236
Other Assets and Liabilities (net) - (0.9%) (37,785)
----------
TOTAL NET ASSETS - 100.0% $4,326,451
==========
* Not part of The Travelers Series Trust.
See notes to financial statements
88
THE TRAVELERS SERIES TRUST
MERCURY LARGE CAP CORE PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2005
(PERCENTAGE OF NET ASSETS)
-----------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
-----------------------------------------------------------
COMMON STOCKS - 100.1%
AEROSPACE & DEFENSE - 2.8%
Lockheed Martin Corp................. 26,000 $ 1,654,380
Northrop Grumman Corp................ 8,000 480,880
Raytheon Co.......................... 39,000 1,565,850
-------------
3,701,110
-------------
AIRLINES - 1.0%
AMR Corp.*........................... 61,000 1,356,030
-------------
AUTOMOBILES - 0.6%
Ford Motor Co........................ 93,000 717,960
-------------
BANKS - 0.5%
Bank of America Corp................. 13,000 599,950
-------------
BEVERAGES - 1.2%
Coca-Cola Co......................... 38,000 1,531,780
-------------
BIOTECHNOLOGY - 3.0%
Amgen, Inc.*......................... 30,000 2,365,800
Gilead Sciences, Inc.*............... 29,000 1,526,270
-------------
3,892,070
-------------
COMMERCIAL SERVICES & SUPPLIES - 1.0%
Fiserv, Inc.*........................ 31,000 1,341,370
-------------
COMMUNICATIONS EQUIPMENT - 3.3%
Cisco Systems, Inc.*................. 143,000 2,448,160
Motorola, Inc........................ 84,000 1,897,560
-------------
4,345,720
-------------
COMPUTERS & PERIPHERALS - 5.7%
Apple Computer, Inc.*................ 26,000 1,869,140
Dell, Inc.*.......................... 66,000 1,979,340
Hewlett-Packard Co................... 78,000 2,233,140
International Business Machines Corp. 2,000 164,400
NCR Corp.*........................... 35,000 1,187,900
-------------
7,433,920
-------------
ELECTRIC UTILITIES - 1.0%
Edison International................. 31,000 1,351,910
-------------
ELECTRONIC EQUIPMENT & INSTRUMENTS - 0.9%
Agilent Technologies, Inc.*.......... 18,000 599,220
Jabil Circuit, Inc.*................. 5,000 185,450
Solectron Corp.*..................... 119,000 435,540
-------------
1,220,210
-------------
FINANCIAL - DIVERSIFIED - 4.0%
Charles Schwab Corp. (The)........... 96,000 1,408,320
Goldman Sachs Group, Inc. (The)...... 14,000 1,787,940
JP Morgan Chase & Co................. 3,000 119,070
Lehman Brothers Holdings, Inc........ 13,000 1,666,210
Principal Financial Group, Inc....... 5,000 237,150
-------------
5,218,690
-------------
FOOD PRODUCTS - 1.3%
Pilgrim's Pride Corp................. 11,000 364,760
Whole Foods Market, Inc.............. 18,000 1,393,020
-------------
1,757,780
-------------
-----------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
-----------------------------------------------------------------
HEALTH CARE EQUIPMENT & SUPPLIES - 1.1%
Becton, Dickinson & Co...................... 24,000 $ 1,441,920
-------------
HEALTH CARE PROVIDERS & SERVICES - 8.7%
Aetna, Inc.................................. 17,000 1,603,270
AmerisourceBergen Corp...................... 36,000 1,490,400
Caremark Rx, Inc.*.......................... 30,000 1,553,700
Express Scripts, Inc.*...................... 17,000 1,424,600
HCA, Inc.................................... 30,000 1,515,000
Humana, Inc.*............................... 3,000 162,990
McKesson Corp............................... 28,000 1,444,520
UnitedHealth Group, Inc..................... 35,000 2,174,900
-------------
11,369,380
-------------
HOUSEHOLD DURABLES - 1.7%
NVR, Inc.*.................................. 2,000 1,404,000
Procter & Gamble Co......................... 13,000 752,440
-------------
2,156,440
-------------
INDUSTRIAL - DIVERSIFIED - 3.1%
General Electric Co......................... 74,000 2,593,700
Rockwell Automation, Inc.................... 24,000 1,419,840
-------------
4,013,540
-------------
INSURANCE - 8.9%
American International Group, Inc........... 4,000 272,920
Aon Corp.................................... 40,000 1,438,000
Chubb Corp. (The)........................... 15,000 1,464,750
CIGNA Corp.................................. 13,000 1,452,100
Loews Corp.................................. 9,000 853,650
Nationwide Financial Services, Inc., Class A 22,000 968,000
Progressive Corp. (The)..................... 13,000 1,518,140
Prudential Financial, Inc................... 24,000 1,756,560
SAFECO Corp................................. 24,000 1,356,000
UnumProvident Corp.......................... 23,000 523,250
-------------
11,603,370
-------------
INTERNET SOFTWARE & SERVICES - 0.9%
McAfee, Inc.*............................... 44,000 1,193,720
-------------
IT CONSULTING & SERVICES - 0.2%
Computer Sciences Corp.*.................... 6,000 303,840
Enterasys Networks, Inc.*................... 259 3,439
-------------
307,279
-------------
MACHINERY - 1.0%
ITT Industries, Inc......................... 13,000 1,336,660
-------------
MEDIA - 1.3%
Viacom, Inc., Class B....................... 53,000 1,727,800
-------------
METALS & MINING - 3.4%
Freeport-McMoRan Copper & Gold, Inc.,
Class B................................... 27,000 1,452,600
Nucor Corp.................................. 23,000 1,534,560
Phelps Dodge Corp........................... 10,000 1,438,700
-------------
4,425,860
-------------
See notes to financial statements
89
THE TRAVELERS SERIES TRUST
MERCURY LARGE CAP CORE PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 2005
(PERCENTAGE OF NET ASSETS)
-----------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
-----------------------------------------------------
OIL & GAS - 18.6%
Amerada Hess Corp.............. 11,000 $ 1,395,020
Anadarko Petroleum Corp........ 17,000 1,610,750
Apache Corp.................... 16,000 1,096,320
Burlington Resources, Inc...... 19,000 1,637,800
Chesapeake Energy Corp......... 42,000 1,332,660
Chevron Corp................... 12,888 731,652
ConocoPhillips................. 35,000 2,036,300
Devon Energy Corp.............. 25,000 1,563,500
Exxon Mobil Corp............... 88,000 4,942,960
Kerr-McGee Corp................ 15,000 1,362,900
Marathon Oil Corp.............. 26,000 1,585,220
Occidental Petroleum Corp...... 20,000 1,597,600
Sunoco, Inc.................... 18,000 1,410,840
Tesoro Corp.................... 6,000 369,300
Valero Energy Corp............. 31,000 1,599,600
-------------
24,272,422
-------------
PHARMACEUTICALS - 5.7%
Allergan, Inc.................. 15,000 1,619,400
Johnson & Johnson.............. 50,000 3,005,000
Pfizer, Inc.................... 121,000 2,821,720
-------------
7,446,120
-------------
RETAIL - MULTILINE - 1.2%
J.C. Penney Co., Inc........... 28,000 1,556,800
-------------
RETAIL - SPECIALTY - 4.3%
American Eagle Outfitters, Inc. 8,000 183,840
Best Buy Co., Inc.............. 30,000 1,304,400
Chico's FAS, Inc.*............. 32,000 1,405,760
Nordstrom, Inc................. 37,000 1,383,800
Staples, Inc................... 62,000 1,408,020
-------------
5,685,820
-------------
---------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
---------------------------------------------------------------
SEMICONDUCTOR EQUIPMENT & PRODUCTS - 5.7%
Intel Corp............................. 115,000 $ 2,870,400
Lam Research Corp.*.................... 37,000 1,320,160
NVIDIA Corp.*.......................... 38,000 1,389,280
Texas Instruments, Inc................. 59,000 1,892,130
-------------
7,471,970
-------------
SOFTWARE - 7.8%
Autodesk, Inc.......................... 32,000 1,374,400
BEA Systems, Inc.*..................... 133,000 1,250,200
Citrix Systems, Inc.*.................. 19,000 546,820
Computer Associates International, Inc. 44,090 1,242,897
Intuit, Inc.*.......................... 26,000 1,385,800
Microsoft Corp......................... 49,000 1,281,350
Oracle Corp.*.......................... 130,000 1,587,300
Red Hat, Inc.*......................... 54,000 1,470,960
-------------
10,139,727
-------------
TOBACCO - 0.2%
Altria Group, Inc...................... 4,000 298,880
-------------
Total Common Stocks
(Cost $111,208,205) 130,916,208
-------------
ESCROWED SHARES - 0.0%
ESC Seagate Technology (a)(b)*
(Cost - $0).......................... $ 27,200 3
-------------
TOTAL INVESTMENTS - 100.1%
(Cost $111,208,205) 130,916,211
Other Assets and Liabilities (net) - (0.1)% (87,506)
-------------
TOTAL NET ASSETS - 100.0% $ 130,828,705
=============
* Non-income producing security.
(a) Security is valued in good faith at fair value by or under the direction of
the Board of Directors.
(b) Illiquid securities representing in the aggregate 0.0% of net assets.
See notes to financial statements
90
THE TRAVELERS SERIES TRUST
MFS MID CAP GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2005
(PERCENTAGE OF NET ASSETS)
------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
------------------------------------------------------------------
COMMON STOCKS - 98.1%
AIR FREIGHT & LOGISTICS - 0.6%
Expeditors International of Washington, Inc. 31,620 $ 2,134,666
-------------
AUTO COMPONENTS - 0.6%
Gentex Corp................................. 101,000 1,969,500
-------------
BANKS - 1.0%
Commerce Bancorp, Inc....................... 101,200 3,482,292
-------------
BIOTECHNOLOGY - 5.2%
Gen-Probe, Inc.*............................ 51,970 2,535,616
Genzyme Corp.*.............................. 61,550 4,356,509
Gilead Sciences, Inc.*...................... 93,510 4,921,431
Human Genome Sciences, Inc.*................ 63,000 539,280
ImClone Systems, Inc.*...................... 54,660 1,871,559
MedImmune, Inc.*............................ 88,180 3,088,064
-------------
17,312,459
-------------
CHEMICALS - 1.0%
Praxair, Inc................................ 64,500 3,415,920
-------------
COMMERCIAL SERVICES & SUPPLIES - 8.5%
Alliance Data System Corp.*................. 99,420 3,539,352
Apollo Group, Inc., - Class A*.............. 79,700 4,818,662
Bright Horizons Family Solutions, Inc.*..... 45,400 1,682,070
Brink's Co. (The)........................... 42,100 2,017,011
Corporate Executive Board Co................ 68,790 6,170,463
Employee Solutions, Inc.*(a)................ 484 0
ITT Educational Services, Inc.*............. 66,300 3,918,993
Monster Worldwide, Inc.*.................... 83,240 3,397,857
Paychex, Inc................................ 74,200 2,828,504
-------------
28,372,912
-------------
COMMUNICATIONS EQUIPMENT - 3.5%
Comverse Technology, Inc.*.................. 134,060 3,564,655
Juniper Networks, Inc.*..................... 362,700 8,088,210
-------------
11,652,865
-------------
COMPUTERS & PERIPHERALS - 2.1%
M-Systems Flash Disk Pioneers, Ltd.*........ 42,200 1,397,664
SanDisk Corp.*.............................. 92,100 5,785,722
-------------
7,183,386
-------------
ELECTRONIC EQUIPMENT & INSTRUMENTS - 1.5%
FLIR Systems, Inc.*......................... 65,400 1,460,382
Roper Industries, Inc....................... 87,620 3,461,866
-------------
4,922,248
-------------
ENERGY EQUIPMENT & SERVICES - 4.2%
BJ Services Co.............................. 52,800 1,936,176
GlobalSantaFe Corp.......................... 80,550 3,878,482
National-Oilwell Varco, Inc.*............... 84,400 5,291,880
Noble Corp.................................. 41,900 2,955,626
-------------
14,062,164
-------------
----------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
----------------------------------------------------------------
FINANCIAL - DIVERSIFIED - 4.5%
Chicago Mercantile Exchange Holdings, Inc. 13,800 $ 5,071,362
Investors Financial Services Corp......... 58,000 2,136,140
Legg Mason, Inc........................... 42,580 5,096,400
Nelnet, Inc., - Class A*.................. 25,200 1,025,136
SLM Corp.................................. 31,700 1,746,353
-------------
15,075,391
-------------
HEALTH CARE EQUIPMENT & SUPPLIES - 10.8%
Advanced Medical Optics, Inc.*............ 139,100 5,814,380
C.R. Bard, Inc............................ 50,600 3,335,552
Cytyc Corp.*.............................. 186,890 5,275,905
DENTSPLY International, Inc............... 70,750 3,798,567
Fisher Scientific International, Inc.*.... 59,993 3,711,167
Millipore Corp.*.......................... 79,250 5,233,670
ResMed, Inc.*............................. 51,800 1,984,458
St. Jude Medical, Inc.*................... 98,100 4,924,620
Thoratec Corp.*........................... 103,490 2,141,208
-------------
36,219,527
-------------
HEALTH CARE PROVIDERS & SERVICES - 2.5%
Health Net, Inc.*......................... 88,900 4,582,795
Laboratory Corp. of America Holdings *.... 69,300 3,731,805
-------------
8,314,600
-------------
HOTELS, RESTAURANTS & LEISURE - 4.3%
Cheesecake Factory, Inc.*................. 145,680 5,446,975
International Game Technology............. 124,120 3,820,414
RARE Hospitality International, Inc.*..... 115,100 3,497,889
Station Casinos, Inc...................... 25,500 1,728,900
-------------
14,494,178
-------------
HOUSEHOLD DURABLES - 0.3%
Tempur-Pedic International, Inc.*......... 99,800 1,147,700
-------------
INSURANCE - 3.2%
ACE, Ltd.................................. 64,230 3,432,451
Endurance Specialty Holdings, Ltd......... 77,300 2,771,205
PartnerRe, Ltd............................ 53,200 3,493,644
Platinum Underwriters Holdings, Ltd....... 28,000 869,960
-------------
10,567,260
-------------
INTERNET SOFTWARE & SERVICES - 0.7%
Check Point Software Technologies, Ltd.*.. 118,850 2,388,885
-------------
IT CONSULTING & SERVICES - 1.0%
DST Systems, Inc.*........................ 56,070 3,359,154
Enterasys Networks, Inc.*................. 1,576 20,929
-------------
3,380,083
-------------
See notes to financial statements
91
THE TRAVELERS SERIES TRUST
MFS MID CAP GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 2005
(PERCENTAGE OF NET ASSETS)
-------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
-------------------------------------------------------------------
MACHINERY - 1.1%
ITT Industries, Inc.......................... 35,600 $ 3,660,392
-------------
MEDIA - 3.9%
Citadel Broadcasting Co...................... 173,510 2,331,975
Getty Images, Inc.*.......................... 60,190 5,373,161
Grupo Televisa S.A., (ADR)................... 54,960 4,424,280
XM Satellite Radio Holdings, Inc., - Class A* 29,300 799,304
-------------
12,928,720
-------------
METALS & MINING - 0.7%
Aber Diamond................................. 4,500 165,380
Precision Castparts Corp..................... 43,500 2,253,735
-------------
2,419,115
-------------
OIL & GAS - 2.9%
Amerada Hess Corp............................ 28,600 3,627,052
Smith International, Inc..................... 166,500 6,178,815
-------------
9,805,867
-------------
PERSONAL PRODUCTS - 0.6%
Estee Lauder Companies, Inc., - Class A...... 64,700 2,166,156
-------------
PHARMACEUTICALS - 4.2%
Allergan, Inc................................ 42,710 4,610,972
Endo Pharmaceuticals Holdings, Inc.*......... 85,450 2,585,717
Medicis Pharmaceutical Corp., - Class A...... 210,540 6,747,807
-------------
13,944,496
-------------
RETAIL - MULTILINE - 1.3%
99 Cents Only Stores *....................... 93,800 981,148
Kohl's Corp.*................................ 69,900 3,397,140
-------------
4,378,288
-------------
RETAIL - SPECIALTY - 6.8%
Aeropostale, Inc.*........................... 70,000 1,841,000
Bed Bath & Beyond, Inc.*..................... 131,700 4,760,955
Chico's FAS, Inc.*........................... 49,900 2,192,107
Harman International Industries, Inc......... 33,500 3,277,975
PETsMART, Inc................................ 235,620 6,046,009
Urban Outfitters, Inc.*...................... 90,400 2,288,024
Williams-Sonoma, Inc.*....................... 58,300 2,515,645
-------------
22,921,715
-------------
SEMICONDUCTOR EQUIPMENT & PRODUCTS - 9.2%
Analog Devices, Inc.......................... 197,740 7,092,934
KLA-Tencor Corp.............................. 104,550 5,157,451
-------------------------------------------------------------------
SECURITY SHARES/PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
-------------------------------------------------------------------
SEMICONDUCTOR EQUIPMENT & PRODUCTS - CONTINUED
Marvell Technology Group, Ltd.*........... $ 87,910 $ 4,930,872
Novellus Systems, Inc.*................... 69,200 1,669,104
PMC-Sierra, Inc.*......................... 430,010 3,315,377
Tessera Technologies, Inc.*............... 61,500 1,589,775
Xilinx, Inc............................... 286,770 7,229,472
-------------
30,984,985
-------------
SOFTWARE - 6.8%
Adobe Systems, Inc........................ 136,000 5,026,560
Amdocs, Ltd.*............................. 255,630 7,029,825
Electronic Arts, Inc.*.................... 86,800 4,540,508
MICROS Systems, Inc.*..................... 35,300 1,705,696
Symantec Corp.*........................... 265,058 4,638,515
-------------
22,941,104
-------------
TELECOMMUNICATION SERVICES - WIRELESS - 3.2%
American Tower Corp., - Class A*.......... 396,867 10,755,096
-------------
TRADING COMPANIES & DISTRIBUTORS - 1.7%
MSC Industrial Direct Co., Inc., - Class A 66,800 2,686,696
W. W. Grainger, Inc....................... 41,100 2,922,210
-------------
5,608,906
-------------
Total Common Stocks
(Cost $284,979,731) 328,610,876
-------------
SHORT-TERM INVESTMENT - 1.9%
COMMERCIAL PAPER - 1.9%
Morgan Stanley Dean Witter, 2.099%,
due 01/03/06 (Cost - $6,244,543)........ $6,246,000 6,244,543
-------------
TOTAL INVESTMENTS - 99.9%
(Cost $291,224,274) 334,855,419
Other Assets and Liabilities (net) - 0.1% 180,772
-------------
TOTAL NET ASSETS - 100.0% $ 335,036,191
=============
* Non-income producing security.
(a) Security is in default.
ADR - American Depositary Receipt
See notes to financial statements
92
THE TRAVELERS SERIES TRUST
MFS VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2005
(PERCENTAGE OF NET ASSETS)
------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
------------------------------------------------------
COMMON STOCKS - 97.2%
AEROSPACE & DEFENSE - 6.3%
Lockheed Martin Corp.............. 33,900 $ 2,157,057
Northrop Grumman Corp............. 28,750 1,728,163
United Technologies Corp.......... 19,340 1,081,299
------------
4,966,519
------------
AIR FREIGHT & LOGISTICS - 0.2%
CNF, Inc.......................... 3,370 188,349
------------
AUTO COMPONENTS - 0.0%
Johnson Controls, Inc............. 400 29,164
------------
BANKS - 11.1%
Bank of America Corp.............. 72,378 3,340,245
Mellon Financial Corp............. 22,130 757,953
PNC Financial Services Group, Inc. 19,340 1,195,792
SunTrust Banks, Inc............... 24,390 1,774,616
UBS AG............................ 7,600 723,039
Wells Fargo & Co.................. 14,840 932,397
------------
8,724,042
------------
BEVERAGES - 1.4%
Coca-Cola Co...................... 4,570 184,217
Diageo Plc........................ 37,540 543,565
PepsiCo, Inc...................... 6,500 384,020
------------
1,111,802
------------
BUILDING PRODUCTS - 2.4%
Masco Corp........................ 53,700 1,621,203
Sherwin-Williams Co............... 5,510 250,264
------------
1,871,467
------------
CHEMICALS - 5.9%
Air Liquide S.A................... 420 80,822
Air Products & Chemicals, Inc..... 12,890 762,959
Dow Chemical Co................... 16,340 716,019
E.I. du Pont de Nemours & Co...... 19,210 816,425
Nalco Holding Co.*................ 9,910 175,506
PPG Industries, Inc............... 17,230 997,617
Praxair, Inc...................... 5,170 273,803
Syngenta AG*...................... 6,380 793,285
------------
4,616,436
------------
COMMUNICATIONS EQUIPMENT - 0.5%
Cisco Systems, Inc.*.............. 21,360 365,683
------------
CONTAINERS & PACKAGING - 0.3%
Smurfit-Stone Container Corp.*.... 16,670 236,214
------------
ELECTRIC UTILITIES - 5.7%
Allegheny Energy, Inc.*........... 3,500 110,775
Dominion Resources, Inc........... 26,730 2,063,556
Entergy Corp...................... 4,500 308,925
Exelon Corp....................... 5,280 280,579
FPL Group, Inc.................... 12,230 508,279
PPL Corp.......................... 13,840 406,896
-----------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
-----------------------------------------------------------
ELECTRIC UTILITIES - CONTINUED
Public Service Enterprise Group, Inc... 6,120 $ 397,617
TXU Corp............................... 7,760 389,474
------------
4,466,101
------------
ENERGY EQUIPMENT & SERVICES - 0.7%
Emerson Electric Co.................... 1,030 76,941
Noble Corp............................. 6,770 477,556
------------
554,497
------------
FINANCIAL - DIVERSIFIED - 11.0%
American Express Co.................... 29,940 1,540,712
Ameriprise Financial, Inc.............. 4,380 179,580
Fannie Mae............................. 22,460 1,096,273
Franklin Resources, Inc................ 4,300 404,243
Freddie Mac............................ 13,340 871,769
Goldman Sachs Group, Inc. (The)........ 24,060 3,072,703
Lehman Brothers Holdings, Inc.......... 4,670 598,554
MBNA Corp.............................. 15,610 423,811
Merrill Lynch & Co., Inc............... 6,740 456,500
------------
8,644,145
------------
FOOD PRODUCTS - 3.9%
Archer-Daniels-Midland Co.............. 20,806 513,076
H.J. Heinz Co.......................... 16,220 546,938
Kellogg Co............................. 25,930 1,120,695
Nestle S.A............................. 1,564 467,434
Sara Lee Corp.......................... 20,580 388,962
------------
3,037,105
------------
HEALTH CARE EQUIPMENT & SUPPLIES - 2.7%
Johnson & Johnson...................... 35,530 2,135,353
------------
HEALTH CARE PROVIDERS & SERVICES - 0.2%
Baxter International, Inc.............. 3,950 148,718
------------
HOUSEHOLD PRODUCTS - 0.7%
Kimberly-Clark Corp.................... 9,210 549,377
------------
INDUSTRIAL - DIVERSIFIED - 1.0%
Cooper Industries, Ltd., - Class A..... 8,630 629,990
Tyco International, Ltd................ 6,880 198,557
------------
828,547
------------
INSURANCE - 6.2%
AFLAC, Inc............................. 1,640 76,129
Allstate Corp. (The)................... 42,090 2,275,806
Chubb Corp. (The)...................... 7,200 703,080
CIGNA Corp............................. 2,820 314,994
Hartford Financial Services Group, Inc. 14,260 1,224,791
Lincoln National Corp.................. 4,690 248,711
------------
4,843,511
------------
IT CONSULTING & SERVICES - 1.6%
Accenture, Ltd., - Class A............. 43,540 1,257,000
------------
LEISURE EQUIPMENT & PRODUCTS - 0.4%
Hasbro, Inc............................ 15,480 312,386
------------
See notes to financial statements
93
THE TRAVELERS SERIES TRUST
MFS VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 2005
(PERCENTAGE OF NET ASSETS)
--------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
--------------------------------------------------
MACHINERY - 2.9%
Deere & Co.................... 22,420 $ 1,527,026
Finning International, Inc.... 2,930 93,332
Illinois Tool Works, Inc...... 7,310 643,207
------------
2,263,565
------------
MEDIA - 2.7%
Reed Elsevier Plc............. 52,070 488,616
Tribune Co.................... 11,070 334,978
Viacom, Inc. - Class B........ 29,590 964,634
Walt Disney Co. (The)......... 13,720 328,869
------------
2,117,097
------------
OIL & GAS - 10.7%
Amerada Hess Corp............. 4,960 629,027
BP Plc, (ADR)................. 15,950 1,024,309
Chevron Corp.................. 11,074 628,671
ConocoPhillips................ 29,150 1,695,947
Devon Energy Corp............. 9,830 614,768
EOG Resources, Inc............ 9,250 678,673
Exxon Mobil Corp.............. 24,120 1,354,820
Total S.A., (ADR)............. 14,140 1,787,296
------------
8,413,511
------------
PAPER & FOREST PRODUCTS - 1.1%
Bowater, Inc.................. 3,800 116,736
International Paper Co........ 23,190 779,416
------------
896,152
------------
PHARMACEUTICALS - 3.9%
Abbott Laboratories........... 19,430 766,125
Eli Lilly & Co................ 2,670 151,095
Merck & Co., Inc.............. 36,510 1,161,383
Wyeth......................... 21,130 973,459
------------
3,052,062
------------
RETAIL - SPECIALTY - 1.9%
Gap, Inc. (The)............... 45,020 794,153
Lowe's Cos., Inc.............. 6,300 419,958
TJX Cos., Inc................. 13,590 315,695
------------
1,529,806
------------
---------------------------------------------------------------
SECURITY SHARES/PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
---------------------------------------------------------------
ROAD & RAIL - 1.6%
Burlington Northern Santa Fe Corp..... 14,200 $ 1,005,644
Norfolk Southern Corp................. 5,360 240,289
------------
1,245,933
------------
SEMICONDUCTOR EQUIPMENT & PRODUCTS - 0.4%
Analog Devices, Inc................... 9,480 340,048
------------
SOFTWARE - 0.9%
Oracle Corp.*......................... 37,320 455,677
Symantec Corp.*....................... 15,630 273,525
------------
729,202
------------
TELECOMMUNICATION SERVICES - DIVERSIFIED - 3.6%
Sprint Nextel Corp.................... 75,680 1,767,885
Verizon Communications, Inc........... 36,660 1,104,199
------------
2,872,084
------------
TELECOMMUNICATION SERVICES - WIRELESS - 1.2%
Vodafone Group Plc.................... 451,210 973,217
------------
TOBACCO - 3.5%
Altria Group, Inc..................... 36,400 2,719,808
------------
TRADING COMPANIES & DISTRIBUTORS - 0.6%
W. W. Grainger, Inc................... 6,250 444,375
------------
Total Common Stocks
(Cost $68,274,554) 76,483,276
------------
SHORT-TERM INVESTMENT - 2.8%
COMMERCIAL PAPER - 2.8%
AIG Funding, Inc. 2.000%, due 01/03/06
(Cost - $2,181,515)................. $2,182,000 2,181,515
------------
TOTAL INVESTMENTS - 100.0%
(Cost $70,456,069) 78,664,791
Other Assets and Liabilities (net) - 0.0% (7,037)
------------
TOTAL NET ASSETS - 100.0% $ 78,657,754
============
* Non-income producing security.
ADR - American Depositary Receipt
See notes to financial statements
94
THE TRAVELERS SERIES TRUST
MONDRIAN INTERNATIONAL STOCK PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2005
(PERCENTAGE OF NET ASSETS)
----------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
----------------------------------------------------------------
COMMON STOCKS - 98.5%
AUSTRALIA - 8.2%
Coles Myer, Ltd......................... 264,800 $ 1,984,855
National Australia Bank, Ltd............ 281,867 6,704,620
Telstra Corp., Ltd...................... 1,740,014 5,020,307
Wesfarmers, Ltd......................... 112,321 3,048,564
-------------
16,758,346
-------------
BELGIUM - 3.2%
Fortis.................................. 202,500 6,448,235
-------------
FINLAND - 1.4%
UPM-Kymmene OYJ......................... 141,500 2,774,865
-------------
FRANCE - 9.0%
Compagnie de Saint-Gobain............... 60,300 3,588,215
Societe Generale........................ 54,400 6,693,287
Suez S.A................................ 34,800 1,083,003
Total S.A............................... 27,639 6,945,328
-------------
18,309,833
-------------
GERMANY - 6.9%
Bayer AG................................ 139,100 5,813,047
RWE AG.................................. 111,817 8,282,476
-------------
14,095,523
-------------
HONG KONG - 1.1%
HongKong Electric Holdings, Ltd......... 434,000 2,152,214
-------------
ITALY - 3.0%
Banca Intesa SpA........................ 1,165,600 6,176,858
-------------
JAPAN - 18.5%
Canon, Inc.............................. 121,500 7,111,893
KDDI Corp............................... 1,393 8,035,630
Matsushita Electric Industrial Co., Ltd. 338,000 6,523,159
Nintendo Co., Ltd....................... 6,600 797,845
Takeda Pharmaceutical Co., Ltd.......... 125,100 6,770,767
Toyota Motor Corp....................... 162,600 8,441,737
-------------
37,681,031
-------------
NETHERLANDS - 6.0%
ING Groep NV............................ 231,800 8,042,778
Reed Elsevier NV........................ 302,130 4,221,831
-------------
12,264,609
-------------
SINGAPORE - 2.1%
Overseas-Chinese Banking Corp., Ltd..... 1,048,320 4,223,284
-------------
SOUTH KOREA - 1.2%
POSCO (ADR)............................. 48,000 2,376,480
-------------
SPAIN - 9.4%
Banco Santander Central Hispano S.A..... 514,400 6,792,050
Iberdrola S.A........................... 190,845 5,218,308
Telefonica S.A.......................... 478,364 7,199,943
-------------
19,210,301
-------------
------------------------------------------------------------------
SECURITY SHARES/PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
------------------------------------------------------------------
UNITED KINGDOM - 28.5%
Aviva Plc................................ 584,600 $ 7,083,296
Boots Group Plc.......................... 155,800 1,619,982
BP Plc................................... 602,300 6,407,535
GlaxoSmithKline Plc...................... 291,146 7,350,554
HBOS Plc................................. 448,200 7,649,069
Lloyds TSB Group Plc..................... 801,100 6,725,720
Rio Tinto Plc............................ 144,771 6,605,924
Royal Dutch Shell Plc, - Class A......... 242,039 7,389,130
Unilever Plc............................. 713,382 7,068,202
------------
57,899,412
------------
Total Common Stocks
(Cost $178,102,516) 200,370,991
------------
WARRANT - 0.0%
FRANCE - 0.0%
Suez Lyonn Eaux*
(Cost - $624).......................... 34,800 412
------------
SHORT-TERM INVESTMENT - 1.6%
State Street Bank & Trust Co., Repurchase
Agreement, dated 12/30/05 at 2.000% to
be repurchased at $3,307,735 on
01/03/06 collateralized by $3,015,000
U.S. Treasury Bond 5.250% due 02/15/29
with a value of $3,374,014 2.000%, due
01/03/06 (Cost - $3,307,000)........... $3,307,000 3,307,000
------------
TOTAL INVESTMENTS - 100.1%
(Cost $181,410,140) 203,678,403
Other Assets and Liabilities (net) - (0.1)% (160,463)
------------
TOTAL NET ASSETS - 100.0% $203,517,940
============
* Non-income producing security.
Abbreviations used in this schedule:
ADR - American Depositary Receipt
See notes to financial statements
95
THE TRAVELERS SERIES TRUST
MONDRIAN INTERNATIONAL STOCK PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 2005
(PERCENTAGE OF NET ASSETS)
Summary of Total Common Stock by Industry Classification 12/31/2005
VALUE PERCENT OF
INDUSTRY (000) NET ASSETS
------------------------------------------------------------
Automobiles............................. $ 8,442 4.1%
Banks................................... 44,965 22.1
Building Products....................... 3,588 1.8
Chemicals............................... 5,813 2.9
Electric Utilities...................... 7,371 3.6
Financial - Diversified................. 14,491 7.1
Food & Drug Retailing................... 3,605 1.8
Food Products........................... 7,068 3.5
Household Durables...................... 7,321 3.6
Industrial - Diversified................ 3,049 1.5
Insurance............................... 7,083 3.5
Media................................... 4,222 2.1
Metals & Mining......................... 8,982 4.4
Office Furnishing & Supplies............ 7,112 3.5
Oil & Gas............................... 30,107 14.8
Paper & Forest Products................. 2,775 1.4
Pharmaceuticals......................... 14,121 6.9
Telecommunication Services - Diversified 12,220 6.0
Telecommunication Services - Wireless... 8,036 3.9
-------- ----
Total................................... $200,371 98.5%
======== ====
See notes to financial statements
96
THE TRAVELERS SERIES TRUST
PIONEER FUND PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2005
(PERCENTAGE OF NET ASSETS)
---------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
---------------------------------------------------
COMMON STOCKS - 97.8%
AEROSPACE & DEFENSE - 2.7%
General Dynamics Corp.......... 4,133 $ 471,369
Rockwell Automation, Inc....... 2,829 167,363
United Technologies Corp....... 11,400 637,374
------------
1,276,106
------------
AIRLINES - 0.5%
Southwest Airlines Co.......... 14,952 245,661
------------
AUTO COMPONENTS - 1.3%
Johnson Controls, Inc.......... 8,203 598,081
------------
AUTOMOBILES - 1.0%
Ford Motor Co.................. 57,392 443,066
------------
BANKS - 6.7%
Bank of America Corp........... 5,897 272,146
Compass Bancshares, Inc........ 966 46,648
First Horizon National Corp.... 4,942 189,970
National City Corp............. 17,572 589,892
SunTrust Banks, Inc............ 7,496 545,409
U.S. Bancorp................... 15,946 476,626
Wachovia Corp.................. 4,852 256,477
Wells Fargo & Co............... 7,926 497,991
Zions Bancorp.................. 2,889 218,293
------------
3,093,452
------------
BEVERAGES - 1.3%
PepsiCo, Inc................... 10,026 592,336
------------
BIOTECHNOLOGY - 0.2%
Amgen, Inc.*................... 1,077 84,932
------------
CHEMICALS - 2.5%
Air Products & Chemicals, Inc.. 3,224 190,829
Dow Chemical Co................ 6,456 282,902
E.I. du Pont de Nemours & Co... 6,052 257,210
Ecolab, Inc.................... 4,278 155,163
PPG Industries, Inc............ 2,617 151,524
Praxair, Inc................... 1,926 102,001
------------
1,139,629
------------
COMMERCIAL SERVICES & SUPPLIES - 1.0%
Automatic Data Processing, Inc. 6,616 303,608
Fiserv, Inc.*.................. 3,587 155,210
------------
458,818
------------
COMMUNICATIONS EQUIPMENT - 2.8%
Cisco Systems, Inc.*........... 13,008 222,697
Motorola, Inc.................. 28,890 652,625
Nokia Oyj, (ADR)............... 23,691 433,545
------------
1,308,867
------------
COMPUTERS & PERIPHERALS - 2.4%
Dell, Inc.*.................... 10,939 328,061
EMC Corp.*..................... 3,602 49,059
-------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
-------------------------------------------------------
COMPUTERS & PERIPHERALS - CONTINUED
Hewlett-Packard Co................. 16,428 $ 470,334
Sun Microsystems, Inc.*............ 65,496 274,428
------------
1,121,882
------------
ELECTRIC UTILITIES - 1.3%
Consolidated Edison, Inc........... 4,873 225,766
Exelon Corp........................ 964 51,227
PG&E Corp.......................... 1,239 45,991
Southern Co........................ 7,790 268,989
------------
591,973
------------
ENERGY - 0.0%
Aqua America, Inc.................. 1 18
------------
ENERGY EQUIPMENT & SERVICES - 0.8%
Emerson Electric Co................ 3,581 267,501
Weatherford International, Ltd.*... 3,345 121,089
------------
388,590
------------
FINANCIAL - DIVERSIFIED - 7.8%
American Express Co................ 6,994 359,911
Ameriprise Financial, Inc.......... 1,398 57,318
Citigroup, Inc..................... 6,187 300,255
Federated Investors, Inc. - Class B 6,653 246,427
Golden West Financial Corp......... 3,247 214,302
Merrill Lynch & Co., Inc........... 6,562 444,444
State Street Corp.................. 10,589 587,054
T. Rowe Price Group, Inc........... 12,979 934,878
Washington Mutual, Inc............. 11,280 490,680
------------
3,635,269
------------
FOOD & DRUG RETAILING - 3.7%
CVS Corp........................... 7,542 199,260
Hershey Co......................... 7,147 394,872
Sysco Corp......................... 11,327 351,703
Walgreen Co........................ 17,544 776,497
------------
1,722,332
------------
FOOD PRODUCTS - 2.6%
Campbell Soup Co................... 11,492 342,117
General Mills, Inc................. 6,230 307,264
H.J. Heinz Co...................... 9,791 330,152
Kellogg Co......................... 1,035 44,733
Sara Lee Corp...................... 10,247 193,668
------------
1,217,934
------------
HEALTH CARE EQUIPMENT & SUPPLIES - 4.9%
Becton, Dickinson & Co............. 10,048 603,684
Biomet, Inc........................ 6,444 235,657
C.R. Bard, Inc..................... 2,581 170,139
Johnson & Johnson.................. 13,618 818,442
Medtronic, Inc..................... 3,431 197,523
St. Jude Medical, Inc.*............ 1,945 97,639
Stryker Corp....................... 2,991 132,890
------------
2,255,974
------------
See notes to financial statements
97
THE TRAVELERS SERIES TRUST
PIONEER FUND PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 2005
(PERCENTAGE OF NET ASSETS)
-----------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
-----------------------------------------------------------
HOUSEHOLD PRODUCTS - 1.3%
Clorox Co.............................. 1,917 $ 109,058
Colgate-Palmolive Co................... 8,881 487,123
------------
596,181
------------
INDUSTRIAL - DIVERSIFIED - 1.1%
3M Co.................................. 752 58,280
General Electric Co.................... 13,038 456,982
------------
515,262
------------
INSURANCE - 2.7%
ACE, Ltd............................... 1,864 99,612
Axis Capital Holdings, Ltd............. 3,716 116,237
Chubb Corp. (The)...................... 7,229 705,912
Hartford Financial Services Group, Inc. 1,199 102,982
SAFECO Corp............................ 4,302 243,063
------------
1,267,806
------------
IT CONSULTING & SERVICES - 0.5%
DST Systems, Inc.*..................... 3,693 221,248
------------
MACHINERY - 3.9%
Caterpillar, Inc....................... 8,587 496,071
Deere & Co............................. 8,525 580,638
PACCAR, Inc............................ 8,746 605,485
Parker Hannifin Corp................... 1,602 105,668
------------
1,787,862
------------
MEDIA - 6.5%
Gannett Co., Inc....................... 6,551 396,794
McGraw-Hill Cos., Inc.................. 20,725 1,070,032
Omnicom Group, Inc..................... 5,800 493,754
Reed Elsevier NV, (ADR)................ 32,097 896,790
Walt Disney Co. (The).................. 6,935 166,232
------------
3,023,602
------------
METALS & MINING - 4.1%
Alcoa, Inc............................. 6,555 193,831
BHP Billiton, Ltd., (ADR).............. 3,317 110,854
Inco, Ltd.............................. 9,326 406,334
Newmont Mining Corp.................... 1,574 84,052
Rio Tinto Plc, (ADR)................... 6,081 1,111,546
------------
1,906,617
------------
OFFICE FURNISHING & SUPPLIES - 1.0%
Canon, Inc., (ADR)..................... 8,131 478,347
------------
OIL & GAS - 7.4%
Apache Corp............................ 3,837 262,911
Chevron Corp........................... 16,470 935,002
ConocoPhillips......................... 8,718 507,213
Exxon Mobil Corp....................... 10,784 605,737
KeySpan Corp........................... 6,929 247,296
Occidental Petroleum Corp.............. 5,677 453,479
Pioneer Natural Resources Co........... 8,353 428,259
------------
3,439,897
------------
--------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
--------------------------------------------------------------
PAPER & FOREST PRODUCTS - 0.4%
MeadWestvaco Corp......................... 5,896 $ 165,265
------------
PERSONAL PRODUCTS - 0.2%
Estee Lauder Companies, Inc. - Class A.... 2,948 98,699
------------
PHARMACEUTICALS - 7.3%
Abbott Laboratories....................... 9,656 380,736
Barr Pharmaceuticals, Inc.*............... 7,384 459,949
Bristol-Myers Squibb Co................... 11,150 256,227
Eli Lilly & Co............................ 6,270 354,819
Merck & Co., Inc.......................... 8,525 271,180
Novartis AG, (ADR)........................ 7,864 412,703
Pfizer, Inc............................... 9,704 226,297
Roche Holding AG, (ADR)................... 5,011 375,079
Schering-Plough Corp...................... 24,861 518,352
Teva Pharmaceutical Industries, Ltd. (ADR) 3,544 152,428
------------
3,407,770
------------
RETAIL - MULTILINE - 0.9%
Costco Wholesale Corp..................... 1,928 95,378
Federated Department Stores, Inc.......... 4,669 309,667
------------
405,045
------------
RETAIL - SPECIALTY - 4.7%
Barnes & Noble, Inc....................... 3,958 168,888
GameStop Corp. - Class B*................. 1,681 48,581
Gap, Inc. (The)........................... 7,882 139,039
Home Depot, Inc. (The).................... 2,315 93,711
Lowe's Cos., Inc.......................... 6,557 437,090
Nordstrom, Inc............................ 6,095 227,953
Staples, Inc.............................. 6,357 144,367
Target Corp............................... 17,129 941,581
------------
2,201,210
------------
ROAD & RAIL - 3.3%
Burlington Northern Santa Fe Corp......... 6,950 492,199
Norfolk Southern Corp..................... 23,080 1,034,676
------------
1,526,875
------------
SEMICONDUCTOR EQUIPMENT & PRODUCTS - 3.2%
Applied Materials, Inc.................... 8,964 160,814
Freescale Semiconductor, Inc. - Class B*.. 3,187 80,217
Intel Corp................................ 23,894 596,394
Texas Instruments, Inc.................... 20,852 668,724
------------
1,506,149
------------
SOFTWARE - 2.1%
Adobe Systems, Inc........................ 12,024 444,407
Microsoft Corp............................ 20,155 527,053
------------
971,460
------------
TELECOMMUNICATION SERVICES - DIVERSIFIED - 3.5%
ALLTEL Corp............................... 3,308 208,735
AT&T, Inc.*............................... 27,697 678,300
BellSouth Corp............................ 20,011 542,298
Verizon Communications, Inc............... 6,467 194,786
------------
1,624,119
------------
See notes to financial statements
98
THE TRAVELERS SERIES TRUST
PIONEER FUND PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 2005
(PERCENTAGE OF NET ASSETS)
--------------------------------------------------------------------
SECURITY SHARES/PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
--------------------------------------------------------------------
TEXTILES, APPAREL & LUXURY GOODS - 0.2%
Liz Claiborne, Inc.......................... 3,216 $ 115,197
------------
Total Common Stocks
(Cost $37,204,502) 45,433,531
------------
SHORT-TERM INVESTMENT - 2.2%
State Street Bank & Trust Co., Repurchase
Agreement, dated 12/30/05 at 1.300% to
be repurchased at $990,143 on 01/03/06
collateralized by $1,025,000 U.S. Treasury
Note 4.000% due 11/15/12 with a value of
$1,010,906 (Cost - $990,000).............. $990,000 990,000
------------
TOTAL INVESTMENTS - 100.0%
(Cost $38,194,502) 46,423,531
Other Assets and Liabilities (net) - 0.0% 22,331
------------
TOTAL NET ASSETS - 100.0% $ 46,445,862
============
* Non-income producing security.
ADR - American Depositary Receipt
See notes to financial statements
99
THE TRAVELERS SERIES TRUST
PIONEER MID CAP VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2005
(PERCENTAGE OF NET ASSETS)
-----------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
-----------------------------------------------------------
COMMON STOCKS - 97.6%
BANKS - 7.8%
City National Corp...................... 950 $ 68,818
Hudson City Bancorp, Inc................ 3,310 40,117
KeyCorp................................. 2,325 76,562
Marshall & Ilsley Corp.................. 1,350 58,104
Mellon Financial Corp................... 3,405 116,621
North Fork Bancorporation, Inc.......... 2,060 56,362
Zions Bancorp........................... 830 62,715
-----------
479,299
-----------
BEVERAGES - 1.4%
Molson Coors Brewing Co. - Class B...... 1,300 87,087
-----------
BUILDING PRODUCTS - 1.2%
American Standard Cos., Inc............. 1,800 71,910
-----------
CHEMICALS - 5.0%
Air Products & Chemicals, Inc........... 1,865 110,389
Ashland, Inc............................ 1,745 101,035
International Flavors & Fragrances, Inc. 1,415 47,403
PPG Industries, Inc..................... 870 50,373
-----------
309,200
-----------
COMMERCIAL SERVICES & SUPPLIES - 4.1%
CCE Spinco, Inc.*....................... 280 3,668
Dun & Bradstreet Corp. (The)*........... 970 64,951
R.R. Donnelley & Sons Co................ 1,830 62,604
Republic Services, Inc.................. 3,225 121,099
-----------
252,322
-----------
COMMUNICATIONS EQUIPMENT - 2.0%
Scientific-Atlanta, Inc................. 1,290 55,560
Tellabs, Inc.*.......................... 6,090 66,381
-----------
121,941
-----------
COMPUTERS & PERIPHERALS - 4.8%
Imation Corp............................ 1,770 81,544
NCR Corp.*.............................. 2,520 85,529
Symbol Technologies, Inc................ 10,060 128,969
-----------
296,042
-----------
CONTAINERS & PACKAGING - 1.9%
Ball Corp............................... 2,860 113,599
-----------
ELECTRIC UTILITIES - 6.3%
Allegheny Energy, Inc.*................. 1,615 51,115
Edison International.................... 1,990 86,784
Entergy Corp............................ 50 3,433
NRG Energy, Inc.*....................... 1,695 79,868
NSTAR................................... 2,380 68,306
PG&E Corp............................... 2,395 88,902
Reliant Energy, Inc.*................... 660 6,811
-----------
385,219
-----------
ELECTRONIC EQUIPMENT & INSTRUMENTS - 1.8%
Xerox Corp.*............................ 7,725 113,171
-----------
--------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
--------------------------------------------------------
ENERGY - 1.5%
Constellation Energy Group, Inc...... 1,555 $ 89,568
-----------
ENERGY EQUIPMENT & SERVICES - 1.9%
Nabors Industries, Ltd.*............. 475 35,981
Transocean, Inc.*.................... 630 43,905
Weatherford International, Ltd.*..... 1,000 36,200
-----------
116,086
-----------
FINANCIAL - DIVERSIFIED - 7.1%
A.G. Edwards, Inc.................... 1,270 59,512
Bear Stearns Cos., Inc............... 860 99,356
BISYS Group, Inc.*................... 5,520 77,335
Federated Investors, Inc. - Class B.. 3,475 128,714
Marsh & McLennan Cos., Inc........... 2,290 72,731
-----------
437,648
-----------
FOOD & DRUG RETAILING - 2.9%
CVS Corp............................. 2,225 58,785
Safeway, Inc......................... 4,935 116,762
-----------
175,547
-----------
FOOD PRODUCTS - 0.9%
H.J. Heinz Co........................ 1,650 55,638
-----------
HEALTH CARE EQUIPMENT & SUPPLIES - 2.6%
Boston Scientific Corp.*............. 3,690 90,368
IMS Health, Inc...................... 2,850 71,022
-----------
161,390
-----------
HEALTH CARE PROVIDERS & SERVICES - 3.8%
Laboratory Corp. of America Holdings* 1,695 91,275
McKesson Corp........................ 610 31,470
Tenet Healthcare Corp.*.............. 8,580 65,723
Triad Hospitals, Inc.*............... 1,125 44,134
-----------
232,602
-----------
HOTELS, RESTAURANTS & LEISURE - 3.8%
Expedia, Inc.*....................... 3,885 93,085
Harrah's Entertainment, Inc.......... 870 62,022
Royal Caribbean Cruises, Ltd......... 1,710 77,053
-----------
232,160
-----------
INSURANCE - 11.1%
Assurant, Inc........................ 1,740 75,673
CIGNA Corp........................... 760 84,892
Genworth Financial, Inc. - Class A... 1,500 51,870
Platinum Underwriters Holdings, Ltd.. 1,920 59,654
PMI Group, Inc....................... 2,865 117,666
SAFECO Corp.......................... 1,265 71,472
UnumProvident Corp................... 3,980 90,545
White Mountains Insurance Group, Ltd. 105 58,648
Willis Group Holdings, Ltd........... 2,030 74,988
-----------
685,408
-----------
See notes to financial statements
100
THE TRAVELERS SERIES TRUST
PIONEER MID CAP VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 2005
(PERCENTAGE OF NET ASSETS)
------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
------------------------------------------------------
LEISURE EQUIPMENT & PRODUCTS - 0.9%
Eastman Kodak Co................... 2,420 $ 56,628
-----------
MACHINERY - 1.6%
Deere & Co......................... 1,480 100,803
-----------
MEDIA - 3.8%
Clear Channel Communications, Inc.. 2,315 72,807
Entercom Communications Corp.*..... 1,720 51,032
Interpublic Group of Cos., Inc.*... 9,845 95,004
Regal Entertainment Group - Class A 895 17,023
-----------
235,866
-----------
METALS & MINING - 1.7%
Freeport-McMoRan Copper & Gold,
Inc. - Class B................... 1,060 57,028
Novelis, Inc....................... 2,120 44,287
-----------
101,315
-----------
OIL & GAS - 4.7%
Apache Corp........................ 755 51,733
Devon Energy Corp.................. 1,160 72,546
ENSCO International, Inc........... 820 36,367
Occidental Petroleum Corp.......... 960 76,685
Tesoro Corp........................ 820 50,471
-----------
287,802
-----------
PHARMACEUTICALS - 2.2%
Perrigo Co......................... 4,180 62,324
Shire Pharmaceuticals Group Plc.... 1,930 74,865
-----------
137,189
-----------
RETAIL - MULTILINE - 2.8%
BJ's Wholesale Club, Inc.*......... 3,335 98,583
Federated Department Stores, Inc... 1,135 75,284
-----------
173,867
-----------
-------------------------------------------------------------------
SECURITY SHARES/PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
-------------------------------------------------------------------
RETAIL - SPECIALTY - 2.1%
Foot Locker, Inc........................... 5,480 $ 129,273
-----------
ROAD & RAIL - 0.8%
Canadian National Railway Co............... 635 50,794
-----------
TELECOMMUNICATION SERVICES - DIVERSIFIED - 1.3%
CenturyTel, Inc............................ 985 32,662
Cincinnati Bell, Inc.*..................... 13,370 46,929
-----------
79,591
-----------
TEXTILES, APPAREL & LUXURY GOODS - 0.6%
Liz Claiborne, Inc......................... 1,065 38,148
-----------
TOBACCO - 1.2%
UST, Inc................................... 1,745 71,248
-----------
TRADING COMPANIES & DISTRIBUTORS - 2.0%
W. W. Grainger, Inc........................ 1,735 123,359
-----------
Total Common Stocks
(Cost $5,736,967) 6,001,720
-----------
SHORT-TERM INVESTMENT - 3.3%
State Street Bank & Trust Co., Repurchase
Agreement, dated 12/30/05 at 1.300% to be
repurchased at $202,029 on 01/03/06
collateralized by $150,000 U.S. Treasury
Bond 8.125% due 08/15/19 with a value of
$208,688 (Cost - $202,000)............... $202,000 202,000
-----------
TOTAL INVESTMENTS - 100.9%
(Cost $5,938,967) 6,203,720
Other Assets and Liabilities (net) - (0.9%) (53,605)
-----------
TOTAL NET ASSETS - 100.0% $ 6,150,115
===========
* Non-income producing security.
See notes to financial statements
101
THE TRAVELERS SERIES TRUST
STYLE FOCUS SERIES: SMALL CAP GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2005
(PERCENTAGE OF NET ASSETS)
----------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
----------------------------------------------------------
COMMON STOCKS - 97.0%
AEROSPACE & DEFENSE - 2.5%
Armor Holdings, Inc.*.................. 216 $ 9,212
Ceradyne, Inc.*........................ 738 32,324
DRS Technologies, Inc.................. 278 14,295
Innovative Solutions & Support, Inc.*.. 663 8,473
K&F Industries Holdings, Inc.*......... 825 12,672
World Fuel Services Corp............... 2,190 73,847
-----------
150,823
-----------
AIR FREIGHT & LOGISTICS - 0.3%
Hub Group, Inc. - Class A*............. 500 17,675
-----------
AIRLINES - 0.4%
SkyWest, Inc........................... 674 18,104
WestJet Airlines Ltd.*................. 406 4,321
-----------
22,425
-----------
AUTOMOBILES - 0.3%
Thor Industries, Inc................... 373 14,946
-----------
BANKS - 1.8%
Accredited Home Lenders Holding Co.*... 125 6,198
Boston Private Financial Holdings, Inc. 149 4,533
Cascade Bancorp........................ 196 4,510
City Holding Co........................ 131 4,709
Corus Bankshares, Inc.................. 153 8,609
First Bancorp.......................... 1,028 12,757
Frontier Financial Corp................ 234 7,488
Glacier Bancorp, Inc................... 374 11,239
Hanmi Financial Corp................... 394 7,037
Sandy Spring Bancorp, Inc.............. 178 6,209
TrustCo Bank Corp...................... 915 11,364
Virginia Commerce Bancorp, Inc.*....... 422 12,276
Wilshire Bancorp, Inc.................. 736 12,652
-----------
109,581
-----------
BEVERAGES - 0.1%
Hansen Natural Corp.*.................. 61 4,807
-----------
BIOTECHNOLOGY - 5.0%
Abgenix, Inc.*......................... 1,239 26,651
Alexion Pharmaceuticals, Inc.*......... 1,995 40,399
Alkermes, Inc.*........................ 1,143 21,854
Cotherix, Inc.*........................ 589 6,255
deCODE genetics, Inc.*................. 619 5,113
Digene Corp.*.......................... 422 12,310
Geron Corp.*........................... 943 8,119
LifeCell Corp.*........................ 937 17,868
Neurocrine Biosciences, Inc.*.......... 700 43,911
OraSure Technologies, Inc.*............ 563 4,966
PRA International*..................... 605 17,031
Progenics Pharmaceuticals, Inc.*....... 400 10,004
Serologicals Corp.*.................... 335 6,613
Tanox, Inc.*........................... 869 14,225
------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
------------------------------------------------------------
BIOTECHNOLOGY - CONTINUED
Techne Corp.*............................ 218 $ 12,241
United Therapeutics Corp.*............... 681 47,071
ViaCell, Inc.*........................... 1,215 6,828
-----------
301,459
-----------
BUILDING PRODUCTS - 0.4%
Lennox International, Inc................ 615 17,343
Simpson Manufacturing Co., Inc........... 186 6,761
-----------
24,104
-----------
CHEMICALS - 0.0%
Westlake Chemical Corp................... 79 2,276
-----------
COMMERCIAL SERVICES & SUPPLIES - 6.2%
Aleris Intlernational, Inc.*............. 447 14,411
Barrett Business Services, Inc.*......... 495 12,370
Bright Horizons Family Solutions, Inc.*.. 246 9,114
Cogent, Inc.*............................ 425 9,639
CoStar Group, Inc.*...................... 1,370 59,143
CSG Systems International, Inc.*......... 390 8,705
eFunds Corp.*............................ 700 16,408
FTI Consulting, Inc.*.................... 427 11,717
Gevity HR, Inc........................... 298 7,664
Headwaters, Inc.*........................ 551 19,527
Heartland Payment Systems, Inc.*......... 865 18,736
Heidrick & Struggles International, Inc.* 54 1,731
Huron Consulting Group, Inc.*............ 740 17,753
Intermap Technologies Corp.*............. 4,462 19,135
John H. Harland Co....................... 164 6,166
Kforce, Inc.*............................ 1,131 12,622
Labor Ready, Inc.*....................... 707 14,720
LECG Corp.*.............................. 602 10,463
Mobile Mini, Inc.*....................... 165 7,821
MoneyGram International, Inc............. 358 9,337
Navigant Consulting, Inc.*............... 1,100 24,178
On Assignment, Inc.*..................... 1,395 15,219
Resources Connection, Inc.*.............. 878 22,881
Sotheby's Holdings, Inc. - Class A*...... 859 15,771
Waste Services, Inc.*.................... 2,610 8,691
-----------
373,922
-----------
COMMUNICATIONS EQUIPMENT - 1.9%
ADTRAN, Inc.............................. 613 18,231
Arris Group, Inc.*....................... 2,961 28,041
Avocent Corp.*........................... 557 15,145
CommScope, Inc.*......................... 701 14,111
Comtech Telecommunications Corp.*........ 138 4,215
Emulex Corp.*............................ 688 13,615
Ixia*.................................... 1,130 16,701
Tekelec*................................. 507 7,047
-----------
117,106
-----------
See notes to financial statements
102
THE TRAVELERS SERIES TRUST
STYLE FOCUS SERIES: SMALL CAP GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 2005
(PERCENTAGE OF NET ASSETS)
------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
------------------------------------------------------------
COMPUTERS & PERIPHERALS - 1.0%
Intergraph Corp.*........................ 436 $ 21,717
Mercury Computer Systems, Inc.*.......... 359 7,406
Palm, Inc.*.............................. 441 14,024
Presstek, Inc.*.......................... 323 2,920
TransAct Technologies, Inc.*............. 1,580 12,482
-----------
58,549
-----------
CONSTRUCTION & ENGINEERING - 0.4%
Perini Corp.*............................ 409 9,877
Walter Industries, Inc................... 248 12,331
-----------
22,208
-----------
CONSTRUCTION MATERIALS - 0.2%
Eagle Materials, Inc..................... 102 12,481
-----------
CONTAINERS & PACKAGING - 1.3%
Jarden Corp.*............................ 2,259 68,109
Silgan Holdings, Inc..................... 338 12,208
-----------
80,317
-----------
ELECTRIC UTILITIES - 0.1%
Ormat Technologies, Inc.................. 186 4,862
-----------
ELECTRICAL EQUIPMENT - 1.1%
Directed Electronics, Inc.*.............. 1,250 17,938
General Cable Corp.*..................... 784 15,445
Metrologic Instruments, Inc.*............ 700 13,482
Paxar Corp.*............................. 369 7,243
Regal-Beloit Corp........................ 422 14,939
-----------
69,047
-----------
ELECTRONIC EQUIPMENT & INSTRUMENTS - 2.4%
Anixter International, Inc............... 363 14,201
Hittite Microwave Corp.*................. 370 8,562
Intevac, Inc.*........................... 1,100 14,520
Itron, Inc.*............................. 337 13,493
Optimal Group, Inc.*..................... 2,010 40,723
Plexus Corp.*............................ 188 4,275
ScanSource, Inc.*........................ 115 6,288
ThermoGenesis Corp.*..................... 2,195 10,602
Trimble Navigation Ltd.*................. 900 31,941
-----------
144,605
-----------
ENERGY EQUIPMENT & SERVICES - 2.1%
Basic Energy Services, Inc.*............. 515 10,274
Cal Dive International, Inc.*............ 882 31,655
Global Industries Ltd.*.................. 706 8,013
Key Energy Services, Inc.*............... 1,335 17,983
Oil States International, Inc.*.......... 459 14,541
Superior Energy Services, Inc.*.......... 591 12,441
TETRA Technologies, Inc.*................ 539 16,450
W-H Energy Services, Inc.*............... 441 14,588
-----------
125,945
-----------
-----------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
-----------------------------------------------------------
FINANCIAL - DIVERSIFIED - 4.4%
Advanta Corp. - Class B................. 358 $ 11,614
Affiliated Managers Group, Inc.*........ 248 19,902
Calamos Asset Management, Inc. - Class A 970 30,507
CompuCredit Corp.*...................... 421 16,200
Euronet Worldwide, Inc.*................ 2,975 82,705
First Cash Financial Services, Inc.*.... 140 4,082
Gladstone Capital Corp.................. 317 6,778
IntercontinentalExchange, Inc.*......... 395 14,358
International Securities Exchange, Inc.* 1,510 41,555
Jackson Hewitt Tax Service, Inc......... 565 15,656
optionsXpress Holdings, Inc............. 715 17,553
Portfolio Recovery Associates, Inc.*.... 180 8,359
-----------
269,269
-----------
FOOD & DRUG RETAILING - 0.6%
Central European Distribution Corp.*.... 44 1,766
Flowers Foods, Inc...................... 354 9,756
Longs Drug Stores Corp.................. 388 14,120
Provide Commerce, Inc.*................. 357 11,820
-----------
37,462
-----------
FOOD PRODUCTS - 0.3%
Gold Kist, Inc.*........................ 374 5,591
TreeHouse Foods, Inc.*.................. 665 12,449
-----------
18,040
-----------
HEALTH CARE EQUIPMENT & SUPPLIES - 4.8%
Advanced Medical Optics, Inc.*.......... 186 7,775
ArthroCare Corp.*....................... 190 8,007
AtriCure, Inc.*......................... 440 4,686
Biosite, Inc.*.......................... 232 13,059
Dexcom, Inc.*........................... 530 7,908
Encore Medical Corp.*................... 1,425 7,054
Foxhollow Technologies, Inc.*........... 755 22,491
Greatbatch, Inc.*....................... 538 13,993
I-Flow Corp.*........................... 2,155 31,506
Illumina, Inc.*......................... 375 5,288
Intuitive Surgical, Inc.*............... 98 11,492
Kyphon, Inc.*........................... 393 16,046
Mentor Corp............................. 270 12,442
Molecular Devices Corp.*................ 296 8,563
Palomar Medical Technologies, Inc.*..... 481 16,854
SeraCare Life Sciences, Inc.*........... 2,135 19,322
STERIS Corp............................. 211 5,279
Sybron Dental Specialties, Inc.*........ 421 16,760
Symmetry Medical, Inc.*................. 380 7,368
Thoratec Corp.*......................... 1,114 23,049
TriPath Imaging, Inc.*.................. 962 5,811
Ventana Medical Systems, Inc.*.......... 155 6,564
Wright Medical Group, Inc.*............. 955 19,482
-----------
290,799
-----------
See notes to financial statements
103
THE TRAVELERS SERIES TRUST
STYLE FOCUS SERIES: SMALL CAP GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 2005
(PERCENTAGE OF NET ASSETS)
----------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
----------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES - 6.5%
Advisory Board Co.*.......................... 870 $ 41,473
Amedisys, Inc.*.............................. 74 3,126
Beverly Enterprises, Inc.*................... 1,346 15,708
Centene Corp.*............................... 1,945 51,134
ev3, Inc.*................................... 615 9,065
First Horizon Pharmaceutical Corp.*.......... 681 11,747
Hythiam, Inc.*............................... 3,130 19,249
LHC Group, Inc.*............................. 1,070 18,650
Matria Healthcare, Inc.*..................... 372 14,419
Odyssey HealthCare, Inc.*.................... 797 14,856
Omnicell, Inc.*.............................. 2,905 34,715
Per-Se Technologies, Inc.*................... 729 17,029
PSS World Medical, Inc.*..................... 3,158 46,865
Radiation Therapy Services, Inc.*............ 795 28,071
Sierra Health Services, Inc.*................ 174 13,913
Sunrise Senior Living, Inc.*................. 90 3,034
United Surgical Partners International, Inc.* 1,277 41,056
Ventiv Health, Inc.*......................... 561 13,251
-----------
397,361
-----------
HOTELS, RESTAURANTS & LEISURE - 3.1%
Ambassadors Group, Inc....................... 567 12,979
Bluegreen Corp.*............................. 707 11,171
California Pizza Kitchen, Inc.*.............. 472 15,090
Century Casinos, Inc.*....................... 3,610 31,046
Four Seasons Hotels, Inc..................... 305 15,174
IHOP Corp.................................... 300 14,073
Mikohn Gaming Corp.*......................... 2,550 25,168
Multimedia Games, Inc.*...................... 1,157 10,702
OneTravel Holdings, Inc.*.................... 4,630 9,399
Orient-Express Hotels, Ltd................... 935 29,471
Papa John's International, Inc.*............. 278 16,488
-----------
190,761
-----------
HOUSEHOLD DURABLES - 0.8%
Ethan Allen Interiors, Inc................... 335 12,237
Knoll, Inc................................... 905 15,484
Matthews International Corp. - Class A....... 107 3,896
Stanley Furniture Co., Inc................... 215 4,984
WCI Communities, Inc.*....................... 335 8,995
-----------
45,596
-----------
INSURANCE - 1.0%
HealthExtras, Inc.*.......................... 1,300 32,630
ProAssurance Corp.*.......................... 162 7,880
Selective Insurance Group, Inc............... 236 12,531
U.S.I. Holdings Corp.*....................... 525 7,229
-----------
60,270
-----------
INTERNET & CATALOG RETAIL - 2.8%
Baby Universe, Inc.*......................... 180 1,509
Blue Nile, Inc.*............................. 745 30,031
DrugMax, Inc.*............................... 15,175 18,210
--------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
--------------------------------------------------------
INTERNET & CATALOG RETAIL - CONTINUED
Insight Enterprises, Inc.*........... 1,002 $ 19,649
NetFlix, Inc.*....................... 655 17,724
Submarino SA*........................ 2,280 40,514
ValueVision Media, Inc.*............. 3,475 43,785
-----------
171,422
-----------
INTERNET SOFTWARE & SERVICES - 5.4%
Arbinet-thexchange, Inc.*............ 34 238
Blue Coat Systems, Inc.*............. 339 15,499
CNET Networks, Inc.*................. 1,474 21,653
DealerTrack Holdings, Inc.*.......... 685 14,371
Digital Insight Corp.*............... 500 16,010
Digitas, Inc.*....................... 1,236 15,475
EarthLink, Inc.*..................... 699 7,766
eCollege.com, Inc.*.................. 436 7,861
Equinix, Inc.*....................... 965 39,334
GSI Commerce, Inc.*.................. 1,725 26,030
Infocrossing, Inc.*.................. 4,849 41,750
j2 Global Communications, Inc.*...... 196 8,377
LivePerson, Inc.*.................... 5,825 32,678
NETGEAR, Inc.*....................... 521 10,029
TechTeam Global, Inc.*............... 1,490 14,960
United Online, Inc................... 494 7,025
ValueClick, Inc.*.................... 2,300 41,653
WebEx Communications, Inc.*.......... 371 8,025
-----------
328,734
-----------
IT CONSULTING & SERVICES - 0.8%
Anteon International Corp.*.......... 390 21,197
Covansys Corp.*...................... 615 8,370
Perot Systems Corp. - Class A*....... 541 7,650
Workstream, Inc.*.................... 8,475 13,975
-----------
51,192
-----------
LEISURE EQUIPMENT & PRODUCTS - 1.9%
Leapfrog Enterprises, Inc.*.......... 242 2,819
Marvel Entertainment, Inc.*.......... 2,195 35,954
Oakley, Inc.......................... 651 9,563
Polaris Industries, Inc.............. 580 29,116
RC2 Corp.*........................... 296 10,514
WMS Industries, Inc.*................ 1,165 29,230
-----------
117,196
-----------
MACHINERY - 1.8%
Applied Industrial Technologies, Inc. 421 14,184
JLG Industries, Inc.................. 255 11,643
Joy Global, Inc...................... 126 5,040
Lincoln Electric Holdings, Inc....... 308 12,215
Manitowoc Co., Inc. (The)............ 362 18,180
Reliance Steel & Aluminum Co......... 354 21,636
Terex Corp.*......................... 183 10,870
Wabtec Corp.......................... 655 17,620
-----------
111,388
-----------
See notes to financial statements
104
THE TRAVELERS SERIES TRUST
STYLE FOCUS SERIES: SMALL CAP GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 2005
(PERCENTAGE OF NET ASSETS)
--------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
--------------------------------------------------------
MARINE - 0.1%
Kirby Corp.*......................... 108 $ 5,634
-----------
MEDIA - 2.6%
Catalina Marketing Corp.............. 600 15,210
Genius Products, Inc.*............... 13,760 27,795
Harris Interactive, Inc.*............ 2,745 11,831
Lions Gate Entertainment Corp.*...... 5,585 42,893
Playboy Enterprises, Inc. - Class B*. 840 11,668
Sonic Solutions, Inc.*............... 1,725 26,065
Thomas Nelson, Inc................... 527 12,990
TiVo, Inc.*.......................... 1,892 9,687
-----------
158,139
-----------
METALS & MINING - 0.8%
Allegheny Technologies, Inc.......... 474 17,102
Birch Mountain Resources, Ltd.*...... 2,120 15,200
Century Aluminum Co.*................ 333 8,728
Cleveland-Cliffs, Inc................ 78 6,909
Quanex Corp.......................... 67 3,348
-----------
51,287
-----------
OIL & GAS - 3.8%
Bill Barrett Corp.*.................. 285 11,004
Callon Petroleum Co.*................ 605 10,678
Carrizo Oil & Gas, Inc.*............. 540 13,343
Clayton Williams Energy, Inc.*....... 390 16,279
Edge Petroleum Corp.*................ 332 8,270
Frontier Oil Corp.................... 497 18,652
Gasco Energy, Inc.*.................. 2,195 14,333
Helmerich & Payne, Inc............... 204 12,630
Holly Corp........................... 121 7,123
KCS Energy, Inc.*.................... 784 18,989
Remington Oil & Gas Corp.*........... 333 12,155
Synenco Energy, Inc. - Class A*...... 943 13,782
W&T Offshore, Inc.................... 386 11,348
Western Oil Sands, Inc. - Class A*... 2,658 63,398
-----------
231,984
-----------
PERSONAL PRODUCTS - 0.4%
NBTY, Inc.*.......................... 599 9,734
Parlux Fragrances, Inc.*............. 400 12,212
-----------
21,946
-----------
PHARMACEUTICALS - 3.5%
Adams Respiratory Therapeutics, Inc.* 420 17,077
Alpharma, Inc. - Class A............. 670 19,102
Coley Pharmaceutical Group, Inc.*.... 220 3,335
Connetics Corp.*..................... 573 8,280
Cubist Pharmaceuticals, Inc.*........ 2,583 54,889
Idenix Pharmaceuticals, Inc.*........ 401 6,861
K-V Pharmaceutical Co. - Class A*.... 850 17,510
Kos Pharmaceuticals, Inc.*........... 202 10,449
MGI Pharma, Inc.*.................... 1,375 23,595
----------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
----------------------------------------------------------
PHARMACEUTICALS - CONTINUED
MWI Veterinary Supply, Inc.*........... 385 $ 9,937
New River Pharmaceuticals, Inc.*....... 300 15,564
Pharmion Corp.*........................ 655 11,639
Renovis, Inc.*......................... 263 4,024
Salix Pharmaceuticals, Ltd.*........... 670 11,779
-----------
214,041
-----------
REAL ESTATE - 1.8%
Alexandria Real Estate Equities, Inc... 57 4,589
American Home Mortgage Investment Corp.
(REIT)............................... 192 6,253
Brookfield Homes Corp.................. 166 8,255
Corrections Corporation of America*.... 90 4,047
Digital Realty Trust, Inc. (REIT)...... 615 13,918
Jones Lang LaSalle, Inc................ 608 30,613
Kilroy Realty Corp. (REIT)............. 261 16,156
RAIT Investment Trust (REIT)........... 421 10,912
Sovran Self Storage, Inc. (REIT)....... 240 11,273
-----------
106,016
-----------
RETAIL - SPECIALTY - 3.6%
Aaron Rents, Inc....................... 554 11,679
America's Car-Mart, Inc.*.............. 380 6,278
Charlotte Russe Holding, Inc.*......... 210 4,374
Children's Place Retail Stores, Inc.*.. 341 16,852
Guitar Center, Inc.*................... 178 8,902
Gymboree Corp. (The)*.................. 2,228 52,135
Hughes Supply, Inc..................... 122 4,374
Jos. A. Bank Clothiers, Inc.*.......... 390 16,930
Pacific Sunwear of California, Inc.*... 900 22,428
Rush Enterprises, Inc. Class A*........ 189 2,812
Select Comfort Corp.*.................. 674 18,434
Sports Authority, Inc.*................ 371 11,549
Talbots, Inc. (The).................... 210 5,842
Under Armour, Inc. - Class A*.......... 145 5,555
Zumiez, Inc.*.......................... 765 33,063
-----------
221,207
-----------
ROAD & RAIL - 1.4%
Genesee & Wyoming, Inc. - Class A*..... 318 11,941
Landstar System, Inc................... 173 7,221
Old Dominion Freight Line, Inc.*....... 507 13,679
Pacer International, Inc............... 1,492 38,881
Sirva, Inc.*........................... 1,282 10,256
-----------
81,978
-----------
SEMICONDUCTOR EQUIPMENT & PRODUCTS - 3.3%
Cohu, Inc.............................. 527 12,052
Cymer, Inc.*........................... 521 18,501
Diodes, Inc.*.......................... 509 15,804
DSP Group, Inc.*....................... 563 14,109
FormFactor, Inc.*...................... 310 7,573
See notes to financial statements
105
THE TRAVELERS SERIES TRUST
STYLE FOCUS SERIES: SMALL CAP GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 2005
(PERCENTAGE OF NET ASSETS)
------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
------------------------------------------------------------------
SEMICONDUCTOR EQUIPMENT & PRODUCTS - CONTINUED
Kulicke & Soffa Industries, Inc.*.............. 732 $ 6,471
Microsemi Corp.*............................... 764 21,132
Microtune, Inc.*............................... 729 3,040
MIPS Technologies, Inc.*....................... 1,420 8,066
MKS Instruments, Inc.*......................... 350 6,262
ON Semiconductor Corp.*........................ 2,401 13,278
PortalPlayer, Inc.*............................ 519 14,698
Rudolph Technologies, Inc.*.................... 1,095 14,104
Silicon Storage Technology, Inc.*.............. 743 3,752
Sunpower Corp.*................................ 90 3,059
Supertex, Inc.*................................ 218 9,646
Varian Semiconductor Equipment Associates,
Inc.*........................................ 359 15,771
Zoran Corp.*................................... 915 14,832
-----------
202,150
-----------
SOFTWARE - 9.1%
Advent Software, Inc.*......................... 500 14,455
American Reprographics Co.*.................... 1,040 26,426
Blackbaud, Inc................................. 1,435 24,510
Cerner Corp.*.................................. 234 21,273
Dendrite International, Inc.*.................. 803 11,571
Emageon, Inc.*................................. 655 10,415
Epicor Software Corp.*......................... 1,179 16,659
EPIQ Systems, Inc.*............................ 700 12,978
Inter-Tel, Inc................................. 558 10,920
Intervoice, Inc.*.............................. 518 4,123
MapInfo Corp.*................................. 901 11,362
Mentor Graphics Corp.*......................... 962 9,947
Merge Technologies, Inc.*...................... 497 12,445
MICROS Systems, Inc.*.......................... 670 32,374
Microstrategy, Inc. - Class A*................. 192 15,886
MRO Software, Inc.*............................ 598 8,396
Open Solutions, Inc.*.......................... 1,645 37,703
Progress Software Corp.*....................... 395 11,210
Quest Software, Inc.*.......................... 2,601 37,949
Secure Computing Corp.*........................ 674 8,263
TALX Corp...................................... 2,212 101,111
THQ, Inc.*..................................... 738 17,601
Transaction Systems Architects, Inc. - Class A* 521 15,000
Ultimate Software Group, Inc.*................. 3,245 61,882
Vocus, Inc.*................................... 505 5,262
Wind River Systems, Inc.*...................... 965 14,253
-----------
553,974
-----------
------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
------------------------------------------------------------
TELECOMMUNICATION SERVICES - DIVERSIFIED - 0.2%
Golden Telecom, Inc...................... 248 $ 6,438
Premiere Global Services, Inc.*.......... 866 7,041
-----------
13,479
-----------
TELECOMMUNICATION SERVICES - WIRELESS - 0.7%
Dobson Communications Corp. - Class A*... 1,130 8,475
Syniverse Holdings, Inc.*................ 351 7,336
UbiquiTel, Inc.*......................... 2,545 25,170
-----------
40,981
-----------
TEXTILES, APPAREL & LUXURY GOODS - 3.4%
Carter's, Inc.*.......................... 1,149 67,619
Deckers Outdoor Corp.*................... 359 9,916
Oxford Industries, Inc................... 219 11,979
Phillips-Van Heusen Corp................. 437 14,159
Quiksilver, Inc.*........................ 4,730 65,463
Volcom, Inc.*............................ 1,125 38,261
-----------
207,397
-----------
TRADING COMPANIES & DISTRIBUTORS - 0.6%
Beacon Roofing Supply, Inc.*............. 675 19,393
Navarre Corp.*........................... 391 2,162
WESCO International, Inc.*............... 366 15,639
-----------
37,194
-----------
Total Common Stocks
(Cost $5,439,514) 5,894,035
-----------
PREFERRED STOCK - 0.5%
TRANSPORTATION - 0.5%
All America Latina Logistica SA
(Cost - $26,409)....................... 700 29,897
-----------
TOTAL INVESTMENTS - 97.5%
(Cost $5,465,923) 5,923,932
Other Assets and Liabilities (net) - 2.5% 151,037
-----------
TOTAL NET ASSETS - 100.0% $ 6,074,969
===========
* Non-income producing security.
See notes to financial statements
106
THE TRAVELERS SERIES TRUST
STYLE FOCUS SERIES: SMALL CAP VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2005
(PERCENTAGE OF NET ASSETS)
--------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
--------------------------------------------------------------
COMMON STOCKS - 97.2%
AEROSPACE & DEFENSE - 3.4%
AAR Corp.*............................... 659 $ 15,783
Aeroflex, Inc.*.......................... 4,435 47,676
Applied Signal Technology, Inc........... 1,050 23,835
Armor Holdings, Inc.*.................... 388 16,548
Curtiss-Wright Corp...................... 450 24,570
DRS Technologies, Inc.................... 881 45,301
Esterline Technologies Corp.*............ 220 8,182
-----------
181,895
-----------
AIRLINES - 0.5%
Mesa Air Group, Inc.*.................... 1,553 16,244
Republic Airways Holdings, Inc.*......... 694 10,549
-----------
26,793
-----------
AUTO COMPONENTS - 0.9%
Aftermarket Technology Corp.*............ 686 13,336
ArvinMeritor, Inc........................ 621 8,936
Commercial Vehicle Group, Inc.*.......... 178 3,343
Goodyear Tire & Rubber Co.*.............. 855 14,860
Noble International, Ltd................. 325 6,773
Visteon Corp.*........................... 304 1,903
-----------
49,151
-----------
BANKS - 7.4%
Accredited Home Lenders Holding Co.*..... 64 3,173
AmericanWest Bancorp*.................... 378 8,932
BancFirst Corp........................... 136 10,744
Berkshire Hills Bancorp, Inc............. 319 10,687
Cardinal Financial Corp.................. 1,066 11,726
Central Pacific Financial Corp........... 71 2,550
City Holding Co.......................... 309 11,109
Corus Bankshares, Inc.................... 199 11,198
First Bancorp............................ 722 8,960
First Citizens BancShares, Inc. - Class A 85 14,826
First Community Bancorp of California.... 268 14,571
First Indiana Corp....................... 344 11,827
First Niagara Financial Group, Inc....... 1,209 17,494
First Republic Bank...................... 357 13,213
First State Bancorp...................... 485 11,635
FirstFed Financial Corp.*................ 254 13,848
Frontier Financial Corp.................. 86 2,752
Glacier Bancorp, Inc..................... 377 11,329
Hanmi Financial Corp..................... 569 10,162
Heartland Financial USA, Inc............. 547 11,870
Independent Bank Corp.................... 354 9,639
ITLA Capital Corp.*...................... 59 2,882
Mercantile Bank Corp..................... 185 7,123
Oriental Financial Group, Inc............ 673 8,318
Placer Sierra Bancshares................. 337 9,338
Prosperity Bancshares, Inc............... 418 12,013
R&G Financial Corp. - Class B............ 1,850 24,420
------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
------------------------------------------------------------------
BANKS - CONTINUED
Seacoast Banking Corp. of Florida.............. 488 $ 11,200
Southwest Bancorp of Oklahoma, Inc............. 451 9,020
Sterling Financial Corp. of Spokane............ 600 14,988
SVB Financial Group*........................... 192 8,993
TierOne Corp................................... 418 12,293
UMB Financial Corp............................. 217 13,869
Umpqua Holdings Corp........................... 547 15,606
Union Bankshares Corp.......................... 266 11,465
WesBanco, Inc.................................. 408 12,407
-----------
396,180
-----------
BIOTECHNOLOGY - 1.0%
Albany Molecular Research, Inc.*............... 253 3,074
Applera Corp. - Celera Genomics Group*......... 784 8,593
Charles River Laboratories International, Inc.* 550 23,303
Savient Pharmaceuticals, Inc. *................ 1,893 7,080
Tanox, Inc.*................................... 780 12,769
-----------
54,819
-----------
BUILDING PRODUCTS - 0.5%
Beazer Homes USA, Inc.......................... 118 8,595
Griffon Corp.*................................. 200 4,762
Lennox International, Inc...................... 438 12,352
-----------
25,709
-----------
CHEMICALS - 1.2%
Georgia Gulf Corp.............................. 700 21,294
H.B. Fuller Co................................. 430 13,790
NewMarket Corp.*............................... 378 9,246
PolyOne Corp.*................................. 1,442 9,272
Silgan Holdings, Inc........................... 68 2,456
Westlake Chemical Corp......................... 300 8,643
-----------
64,701
-----------
COMMERCIAL SERVICES & SUPPLIES - 6.3%
Aleris International, Inc.*.................... 1,200 38,688
Aviall, Inc.*.................................. 1,400 40,320
CDI Corp....................................... 356 9,754
Central Parking Corp........................... 704 9,659
Clark, Inc..................................... 714 9,461
Covanta Holding Corp.*......................... 1,100 16,566
Electro Rent Corp.*............................ 749 11,168
Ennis, Inc..................................... 670 12,174
Headwaters, Inc.*.............................. 250 8,860
HMS Holdings Corp.*............................ 5,650 43,222
MAXIMUS, Inc................................... 338 12,401
MoneyGram International, Inc................... 378 9,858
Nobel Learning Communities, Inc.*.............. 3,600 33,984
PHH Corp.*..................................... 440 12,329
Quanta Services, Inc.*......................... 1,300 17,121
SOURCECORP, Inc.*.............................. 478 11,462
WCA Waste Corp.*............................... 5,050 39,895
-----------
336,922
-----------
See notes to financial statements
107
THE TRAVELERS SERIES TRUST
STYLE FOCUS SERIES: SMALL CAP VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 2005
(PERCENTAGE OF NET ASSETS)
------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
------------------------------------------------------------
COMMUNICATIONS EQUIPMENT - 2.2%
Avocent Corp.*........................... 330 $ 8,973
Black Box Corp........................... 101 4,785
CommScope, Inc.*......................... 3,365 67,737
Emulex Corp. *........................... 754 14,922
Foundry Networks, Inc.*.................. 341 4,709
McData Corp.*............................ 798 3,032
Powerwave Technologies, Inc.*............ 912 11,464
UTStarcom, Inc.*......................... 163 1,314
-----------
116,936
-----------
COMPUTERS & PERIPHERALS - 1.3%
Electronics for Imaging, Inc.*........... 114 3,033
Imation Corp............................. 370 17,046
Intergraph Corp.*........................ 302 15,043
Komag, Inc.*............................. 926 32,095
-----------
67,217
-----------
CONSTRUCTION & MATERIALS - 3.2%
EMCOR Group, Inc.*....................... 736 49,702
Perini Corp.*............................ 500 12,075
Texas Industries, Inc.................... 254 12,659
URS Corp.*............................... 1,588 59,725
Walter Industries, Inc................... 700 34,804
-----------
168,965
-----------
CONTAINERS & PACKAGING - 0.5%
Crown Holdings, Inc.*.................... 198 3,867
Jarden Corp.*............................ 289 8,713
Myers Industrials, Inc................... 852 12,422
-----------
25,002
-----------
ELECTRIC UTILITIES - 2.4%
Allegheny Energy, Inc.................... 800 25,320
Avista Corp.............................. 730 12,928
Black Hills Corp......................... 328 11,352
Cleco Corp............................... 608 12,677
El Paso Electric Co.*.................... 412 8,669
NGP Capital Resources Co................. 1,517 19,918
NorthWestern Corp........................ 256 7,954
Otter Tail Corp.......................... 454 13,157
Sierra Pacific Resources*................ 1,036 13,509
-----------
125,484
-----------
ELECTRICAL EQUIPMENT - 1.4%
AO Smith Corp............................ 38 1,334
Encore Wire Corp.*....................... 267 6,077
General Cable Corp.*..................... 1,900 37,430
Regal-Beloit Corp........................ 381 13,487
Thomas & Betts Corp.*.................... 340 14,267
-----------
72,595
-----------
ELECTRONIC EQUIPMENT & INSTRUMENTS - 2.9%
Anixter International, Inc............... 1,651 64,587
Checkpoint Systems, Inc.*................ 323 7,962
----------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
----------------------------------------------------------------
ELECTRONIC EQUIPMENT & INSTRUMENTS - CONTINUED
MTS System Corp.............................. 114 $ 3,949
Park Electrochemical Corp.................... 432 11,223
PerkinElmer, Inc............................. 1,650 38,874
ScanSource, Inc.*............................ 500 27,340
Veeco Instruments, Inc.*..................... 203 3,518
-----------
157,453
-----------
ENERGY EQUIPMENT & SERVICES - 2.6%
Cal Dive International, Inc.*................ 800 28,712
Grey Wolf, Inc.*............................. 3,350 25,896
Lufkin Industries, Inc....................... 74 3,690
NATCO Group, Inc.*........................... 1,400 28,644
NS Group, Inc.*.............................. 500 20,905
Oil States International, Inc.*.............. 928 29,399
-----------
137,246
-----------
FINANCIAL - DIVERSIFIED - 3.5%
Apollo Investment Corp....................... 777 13,932
ASTA Funding, Inc............................ 121 3,308
Commercial Capital Bancorp, Inc.............. 594 10,169
CBIZ, Inc.*.................................. 932 5,611
CompuCredit Corp.*........................... 209 8,042
Doral Financial Corp......................... 191 2,025
Federal Agricultural Mortgage Corp. - Class C 505 15,115
Jackson Hewitt Tax Service, Inc.............. 112 3,103
Labranche & Co., Inc.*....................... 565 5,712
Piper Jaffray Cos.*.......................... 420 16,968
Prospect Energy Corp......................... 2,193 33,267
Tortoise Energy Capital Corp................. 1,700 37,808
Tortoise Energy Infrastructure Corp.......... 824 22,273
WSFS Financial Corp.......................... 143 8,759
-----------
186,092
-----------
FOOD & DRUG RETAILING - 0.8%
Casey's General Stores, Inc.................. 628 15,574
Longs Drug Stores Corp....................... 61 2,220
Ruddick Corp................................. 485 10,321
Smart & Final, Inc.*......................... 341 4,392
Terra Industries, Inc.*...................... 1,573 8,809
-----------
41,316
-----------
FOOD PRODUCTS - 1.3%
Central Garden and Pet Co.*.................. 171 7,855
Chiquita Brands International, Inc........... 1,483 29,675
Corn Products International, Inc............. 700 16,723
Hain Celestial Group, Inc.*.................. 600 12,696
J&J Snack Foods Corp......................... 58 3,446
-----------
70,395
-----------
GAS UTILITIES - 1.9%
Energen Corp................................. 262 9,516
Laclede Group Inc. (The)..................... 86 2,512
Northwest Natural Gas Co..................... 65 2,222
See notes to financial statements
108
THE TRAVELERS SERIES TRUST
STYLE FOCUS SERIES: SMALL CAP VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 2005
(PERCENTAGE OF NET ASSETS)
--------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
--------------------------------------------------------------
GAS UTILITIES - CONTINUED
South Jersey Industries, Inc............... 404 $ 11,772
Southern Union Co.*........................ 2,600 61,438
Southwest Gas Corp......................... 547 14,441
-----------
101,901
-----------
HEALTH CARE EQUIPMENT & SUPPLIES - 4.3%
Adeza Biomedical Corp.*.................... 2,000 42,100
Beckman Coulter, Inc....................... 600 34,140
Cooper Cos., Inc. (The).................... 700 35,910
DJ Orthopedics, Inc.*...................... 330 9,102
Greatbatch, Inc.*.......................... 433 11,262
Hanger Orthopedic Group, Inc.*............. 3,600 20,556
Kinetic Concepts, Inc.*.................... 1,500 59,640
Molecular Devices Corp.*................... 346 10,010
STERIS Corp................................ 209 5,229
-----------
227,949
-----------
HEALTH CARE PROVIDERS & SERVICES - 1.7%
Genesis HealthCare Corp.*.................. 67 2,447
Kindred Healthcare, Inc.*.................. 250 6,440
LifePoint Hospitals, Inc.*................. 850 31,875
Odyssey HealthCare, Inc.*.................. 149 2,777
Option Care, Inc........................... 1,600 21,376
Pediatrix Medical Group, Inc.*............. 131 11,603
Radiation Therapy Services, Inc.*.......... 208 7,345
Stewart Enterprises, Inc................... 1,640 8,872
-----------
92,735
-----------
HOTELS, RESTAURANTS & LEISURE - 1.9%
Bluegreen Corp.*........................... 141 2,228
Century Casinos, Inc.*..................... 3,000 25,800
Dominos Pizza, Inc......................... 569 13,770
Lakes Entertainment, Inc.*................. 3,200 21,280
Lone Star Steakhouse & Saloon, Inc......... 347 8,238
Multimedia Games, Inc.*.................... 1,048 9,694
Sunterra Corp.*............................ 600 8,532
Vail Resorts, Inc.*........................ 438 14,467
-----------
104,009
-----------
HOUSEHOLD DURABLES - 0.6%
CSS Industries, Inc........................ 125 3,841
Fleetwood Enterprises, Inc.*............... 720 8,892
Stanley Furniture Co., Inc................. 266 6,166
WCI Communities, Inc.*..................... 420 11,277
-----------
30,176
-----------
INDUSTRIAL - DIVERSIFIED - 0.2%
Chemed Corp................................ 246 12,221
-----------
INSURANCE - 5.8%
Alfa Corp.................................. 729 11,737
American Equity Investment Life Holding Co. 171 2,232
AmerUs Group Co............................ 113 6,404
Arch Capital Group, Ltd.*.................. 800 43,800
-----------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
-----------------------------------------------------------
INSURANCE - CONTINUED
Aspen Insurance Holdings, Ltd........... 1,100 $ 26,037
Delphi Financial Group - Class A........ 241 11,088
Endurance Specialty Holdings, Ltd....... 650 23,302
FBL Financial Group, Inc. - Class A..... 253 8,301
Harleysville Group, Inc................. 189 5,009
Horace Mann Educators Corp.............. 667 12,646
Odyssey Re Holdings Corp................ 1,100 27,588
Ohio Casualty Corp...................... 360 10,195
Philadelphia Consolidated Holding Corp.* 61 5,898
Phoenix, Cos., Inc...................... 1,093 14,909
Platinum Underwriters Holdings, Ltd..... 900 27,999
ProAssurance Corp.*..................... 40 1,946
Quanta Capital Holdings, Ltd.*.......... 6,900 35,190
RLI Corp................................ 154 7,680
Safety Insurance Group, Inc............. 450 18,166
U.S.I. Holdings Corp.*.................. 998 13,742
-----------
313,869
-----------
INTERNET SOFTWARE & SERVICES - 1.2%
Keynote Systems, Inc.*.................. 505 6,489
SonicWALL, Inc.*........................ 1,539 12,189
United Online, Inc...................... 3,063 43,556
-----------
62,234
-----------
LEISURE EQUIPMENT & PRODUCTS - 0.3%
JAKKS Pacific, Inc.*.................... 309 6,470
MarineMax, Inc.*........................ 89 2,810
Oakley, Inc............................. 144 2,115
RC2 Corp.*.............................. 146 5,186
-----------
16,581
-----------
MACHINERY - 4.5%
AGCO Corp.*............................. 883 14,631
Albany International Corp. - Class A.... 404 14,609
Applied Industrial Technologies, Inc.... 140 4,717
Barnes Group, Inc....................... 332 10,956
Bucyrus International, Inc. - Class A... 350 18,445
Gardner Denver, Inc.*................... 100 4,930
Insteel Industries, Inc................. 2,400 39,744
Lincoln Electric Holdings, Inc.......... 411 16,300
NACCO Industries Inc. - Class A......... 35 4,100
Reliance Steel & Aluminum Co............ 243 14,852
Terex Corp.*............................ 832 49,421
Trinity Industries, Inc................. 378 16,659
Watts Water Technologies, Inc. - Class A 1,100 33,319
-----------
242,683
-----------
MEDIA - 0.8%
Gray Television, Inc.................... 656 6,442
R.H. Donnelley Corp.*................... 135 8,319
Radio One, Inc. - Class D*.............. 772 7,990
Scholastic Corp.*....................... 364 10,377
World Wrestling Entertainment, Inc...... 632 9,278
-----------
42,406
-----------
See notes to financial statements
109
THE TRAVELERS SERIES TRUST
STYLE FOCUS SERIES: SMALL CAP VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 2005
(PERCENTAGE OF NET ASSETS)
----------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
----------------------------------------------------------
METALS & MINING - 6.0%
AM Castle & Co.*....................... 1,200 $ 26,208
Cameco Corp............................ 900 57,051
Carpenter Technology Corp.............. 125 8,809
Commercial Metals Co................... 159 5,969
Foundation Coal Holdings, Inc.......... 339 12,882
Northwest Pipe Co.*.................... 1,000 26,800
Oregon Steel Mills, Inc.*.............. 2,100 61,782
Quanex Corp............................ 126 6,296
RTI International Metals, Inc.*........ 1,600 60,720
Ryerson Tull, Inc...................... 602 14,640
Steel Dynamics, Inc.................... 74 2,628
Uranium Resources, Inc.*............... 25,300 16,698
Yamana Gold Inc.*...................... 2,600 17,186
-----------
317,669
-----------
OIL & GAS - 7.8%
Atwood Oceanics, Inc.*................. 300 23,409
Carrizo Oil & Gas, Inc.*............... 1,000 24,710
Cimarex Energy Co.*.................... 440 18,924
Denbury Resources, Inc.*............... 600 13,668
Edge Petroleum Corp.*.................. 451 11,234
GMX Resources Inc.*.................... 900 32,400
Grant Prideco, Inc.*................... 600 26,472
Helmerich & Payne, Inc................. 166 10,277
Holly Corp............................. 400 23,548
Oceaneering International, Inc.*....... 219 10,902
Parallel Petroleum Corp.*.............. 2,500 42,525
Patterson-UTI Energy, Inc.............. 800 26,360
Petrohawk Energy Corp.*................ 2,400 31,728
Pioneer Drilling Co.*.................. 1,400 25,102
RPC, Inc............................... 509 13,394
Stone Energy Corp.*.................... 250 11,382
Swift Energy Co.*...................... 327 14,738
Tidewater, Inc......................... 800 35,568
TransMontaigne, Inc.*.................. 1,138 7,511
W&T Offshore, Inc...................... 429 12,613
-----------
416,465
-----------
PAPER & FOREST PRODUCTS - 0.2%
Glatfelter............................. 777 11,026
-----------
PERSONAL PRODUCTS - 0.1%
NBTY, Inc.*............................ 486 7,898
-----------
PHARMACEUTICALS - 1.0%
Alpharma, Inc., - Class A.............. 515 14,683
Par Pharmaceutical Cos., Inc.*......... 1,150 36,041
-----------
50,724
-----------
REAL ESTATE - 8.2%
Aames Investment Corp. (REIT).......... 2,900 18,734
American Home Mortgage Investment Corp.
(REIT)............................... 330 10,748
-----------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
-----------------------------------------------------------
REAL ESTATE - CONTINUED
Anthracite Capital, Inc. (REIT)......... 1,074 $ 11,309
Arbor Realty Trust, Inc. (REIT)......... 352 9,124
Ashford Hospitality Trust, Inc. (REIT).. 638 6,693
BioMed Realty Trust, Inc. (REIT)........ 101 2,464
Brookfield Homes Corp................... 155 7,708
Colonial Properties Trust (REIT)........ 293 12,300
Commercial Net Lease Realty, Inc. (REIT) 625 12,731
Digital Realty Trust, Inc. (REIT)....... 281 6,359
Entertainment Properties Trust (REIT)... 284 11,573
Equity Inns, Inc. (REIT)................ 937 12,696
Equity One, Inc. (REIT)................. 598 13,826
FelCor Lodging Trust, Inc. (REIT)....... 865 14,887
First Potomac Realty Trust (REIT)....... 438 11,651
GMH Communities Trust (REIT)............ 1,500 23,265
Gramercy Capital Corp. (REIT)........... 456 10,388
Impac Mortgage Holdings, Inc. (REIT).... 631 5,938
Innkeepers USA Trust (REIT)............. 849 13,584
Kilroy Realty Corp. (REIT).............. 254 15,723
KKR Financial Corp. (REIT).............. 1,300 31,187
LaSalle Hotel Properties (REIT)......... 380 13,954
MeriStar Hospitality Corp. (REIT)*...... 1,542 14,495
Newcastle Investment Corp. (REIT)....... 1,400 34,790
Novastar Financial, Inc. (REIT)......... 1,700 47,787
OMEGA Healthcare Investors, Inc. (REIT). 390 4,910
RAIT Investment Trust (REIT)............ 395 10,238
Saxon Capital, Inc. (REIT).............. 378 4,283
Sovran Self Storage, Inc. (REIT)........ 261 12,259
Strategic Hotel Capital, Inc. (REIT).... 182 3,745
Sunstone Hotel Investors, Inc. (REIT)... 460 12,222
Trammell Crow Co.*...................... 547 14,030
-----------
435,601
-----------
RETAIL - MULTILINE - 0.4%
Bon-Ton Stores, Inc. (The).............. 600 11,478
Burlington Coat Factory Warehouse Corp.. 198 7,962
-----------
19,440
-----------
RETAIL - SPECIALTY - 2.1%
Buckle, Inc............................. 267 8,608
Conn's, Inc.*........................... 300 11,061
Genesco. Inc.*.......................... 239 9,271
Group 1 Automotive, Inc.*............... 424 13,326
Hughes Supply, Inc...................... 1,099 39,399
Lithia Motors, Inc. - Class A........... 327 10,281
Men's Wearhouse, Inc.*.................. 288 8,479
Sports Authority, Inc.*................. 341 10,615
United Rentals, Inc.*................... 113 2,643
-----------
113,683
-----------
See notes to financial statements
110
THE TRAVELERS SERIES TRUST
STYLE FOCUS SERIES: SMALL CAP VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 2005
(PERCENTAGE OF NET ASSETS)
------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
------------------------------------------------------------
ROAD & RAIL - 0.5%
Arkansas Best Corp....................... 361 $ 15,768
Dollar Thrifty Automotive Group*......... 67 2,417
Sirva, Inc.*............................. 1,030 8,240
-----------
26,425
-----------
SEMICONDUCTOR EQUIPMENT & PRODUCTS - 1.4%
Cohu, Inc................................ 411 9,400
Conexant System, Inc.*................... 2,678 6,052
Credence Systems Corp.*.................. 1,103 7,677
Entegris, Inc.*.......................... 673 6,340
Integrated Silicon Solutions, Inc.*...... 1,175 7,567
MKS Instruments, Inc.*................... 651 11,646
PortalPlayer, Inc.*...................... 177 5,013
Standard Microsystems Corp.*............. 215 6,168
Zoran Corp.*............................. 761 12,336
-----------
72,199
-----------
SOFTWARE - 0.8%
Magma Design Automation, Inc*............ 403 3,389
Nuance Communications, Inc.*............. 1,919 14,642
Open Solutions, Inc.*.................... 113 2,590
Progress Software Corp.*................. 93 2,639
TALX Corp................................ 380 17,370
THQ, Inc.*............................... 134 3,196
-----------
43,826
-----------
TELECOMMUNICATION SERVICES - DIVERSIFIED - 0.8%
Cincinnati Bell, Inc.*................... 2,451 8,603
CT Communications, Inc................... 900 10,926
Golden Telecom, Inc...................... 378 9,813
RCN Corp.*............................... 486 11,397
-----------
40,739
-----------
TELECOMMUNICATION SERVICES - WIRELESS - 0.6%
InPhonic, Inc.*.......................... 1,900 16,511
Price Communications Corp.*.............. 783 11,643
USA Mobility, Inc.*...................... 169 4,685
-----------
32,839
-----------
TEXTILES, APPAREL & LUXURY GOODS - 0.7%
Phillips-Van Heusen Corp................. 227 7,355
Russell Corp............................. 573 7,713
Steven Madden, Ltd.*..................... 184 5,378
Stride Rite Corp......................... 749 10,156
Wellman, Inc............................. 869 5,892
-----------
36,494
-----------
TOBACCO - 0.1%
Alliance One International, Inc.......... 1,948 7,597
-----------
Total Common Stocks
(Cost $4,847,041) 5,184,260
-----------
---------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
---------------------------------------------------------------------
SHORT-TERM INVESTMENT - 6.9%
State Street Bank & Trust Co., Repurchase
Agreement, dated 12/30/05, at 1.300% to be
repurchased at $121,017 on 01/03/06
collateralized by 90,000 U.S. Treasury Bond
7.875% due 02/15/21 with a value of
$123,750 (Cost - $121,000).................. $ 121,000 $ 121,000
State Street Bank & Trust Co., Repurchase
Agreement, dated 12/30/05, at 1.300% to be
repurchased at $248,036 on 01/03/06
collateralized by 185,000 U.S. Treasury Bond
8.125% due 08/15/19 with a value of
$257,381 (Cost - $248,000).................. 248,000 248,000
-----------
Total Short-Term Investment
(Cost $369,000) 369,000
-----------
TOTAL INVESTMENTS - 104.1%
(Cost $5,216,041) 5,553,260
Other Assets and Liabilities (net) - (4.1)% (220,758)
-----------
TOTAL NET ASSETS - 100.0% $ 5,332,502
===========
* Non-income producing security.
FHLB - Federal Home Loan Bank
REIT - Real Estate Investment Trust
See notes to financial statements
111
THE TRAVELERS SERIES TRUST
TRAVELERS QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2005
(PERCENTAGE OF NET ASSETS)
-------------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
-------------------------------------------------------------------------
DOMESTIC BONDS & DEBT SECURITIES - 55.1%
AEROSPACE & DEFENSE - 0.8%
Northrop Grumman Corp.
4.079%, due 11/16/06...................... $ 1,100,000 $ 1,091,733
7.125%, due 02/15/11....................... 400,000 436,346
--------------
1,528,079
--------------
ASSET-BACKED SECURITIES - 2.1%
California Infrastructure PG&E-1,
Series 1997-1, Class A7
6.420%, due 09/25/08...................... 395,358 398,598
Chase Funding Mortgage Loan Asset-Backed
Certificates, Series 2002-2, Class 1A5
5.833%, due 04/25/32(a)................... 1,000,000 1,008,045
Chase Issuance Trust, Series 2005-A4,
Class A4 4.230%, due 01/15/13(a).......... 750,000 733,042
Discover Card Master Trust I, Series 1996-3,
Class A 6.050%, due 08/18/08.............. 1,700,000 1,703,987
--------------
3,843,672
--------------
AUTOMOBLIES - 0.9%
DaimlerChrysler North America
Holding Corp.
7.300%, due 01/15/12...................... 1,300,000 1,404,424
Ford Motor Co.
7.450%, due 07/16/31...................... 200,000 137,000
--------------
1,541,424
--------------
BANKS - 6.3%
ABN AMRO Bank NV
4.390%, due 05/11/07(a)................... 1,720,000 1,721,735
Bank of America Corp.
5.375%, due 06/15/14...................... 1,000,000 1,018,223
HSBC Bank USA
5.875%, due 11/01/34...................... 700,000 708,719
Huntington National Bank
4.650%, due 06/30/09...................... 700,000 695,881
Rabobank Capital Funding Trust III
5.254%, due 12/31/16
(144A)(a)(b).............................. 300,000 294,756
RBS Capital Trust I
4.709%, due 12/29/49(a)................... 500,000 475,956
Royal Bank of Scotland Group Plc
5.050%, due 01/08/15...................... 800,000 795,642
U.S. Bank North America
2.870%, due 02/01/07...................... 1,800,000 1,761,701
4.950%, due 10/30/14....................... 1,000,000 991,242
Wachovia Bank North America
4.800%, due 11/01/14...................... 500,000 486,129
4.641%, due 11/03/14(a).................... 1,400,000 1,414,865
Washington Mutual Bank FA.
5.125%, due 01/15/15...................... 900,000 880,911
--------------
11,245,760
--------------
--------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
--------------------------------------------------------------------
BEVERAGES - 1.0%
Bottling Group LLC
4.625%, due 11/15/12................... $ 700,000 $ 691,161
PepsiAmericas, Inc.
4.875%, due 01/15/15................... 1,200,000 1,185,186
-------------
1,876,347
-------------
COLLATERALIZED MORTGAGE OBLIGATIONS - 6.4%
Banc of America Commercial Mortgage,
Inc., Series 2004-6, Class AJ
4.870%, due 12/10/42(a)................ 2,800,000 2,718,529
Commercial Mortgage Pass Through
Certificates, Series 2005-C6, Class A5B
5.167%, due 06/10/44................... 3,200,000 3,193,188
JP Morgan Chase Commercial Mortgage
Securities Corp.
Series 2004-C3, Class AJ
4.922%, due 01/15/42(a)............... 3,000,000 2,920,706
Series 2005-LDP3, Class A4B
4.996%, due 08/15/42(a)............... 850,000 836,700
JP Morgan Chase Commercial Mortgage
Securities Corp., Series 2005-LDP4,
Class AM 4.999%, due 10/15/42(a)....... 950,000 932,346
LB-UBS Commercial Mortgage Trust,
Series 2005-C1, Class AJ
4.806%, due 02/15/40(a)................ 900,000 869,712
-------------
11,471,181
-------------
ELECTRIC UTILITIES - 4.1%
Dominion Resources, Inc., Series F
5.250%, due 08/01/33................... 700,000 687,538
Pepco Holdings, Inc.
5.500%, due 08/15/07................... 2,800,000 2,818,021
SP PowerAssets, Ltd.
5.000%, due 10/22/13 (144A)(b)......... 1,700,000 1,701,396
Xcel Energy, Inc.
3.400%, due 07/01/08................... 2,200,000 2,121,451
-------------
7,328,406
-------------
FINANCIAL - DIVERSIFIED - 12.5%
AIG SunAmerica Global Financing VII
5.850%, due 08/01/08 (144A)(b)......... 1,000,000 1,021,638
American General Finance Corp.
3.875%, due 10/01/09................... 1,700,000 1,629,617
Capital One Bank 5.000%, due
06/15/09............................... 1,170,000 1,165,913
Capital One Financial Corp.
5.500%, due 06/01/15................... 500,000 497,978
Caterpillar Financial Services
4.700%, due 03/15/12................... 1,500,000 1,487,373
Countrywide Financial Corp., Series A
4.500%, due 06/15/10................... 900,000 874,480
Countrywide Home Loans, Inc., Series L
4.000%, due 03/22/11................... 1,330,000 1,252,893
See notes to financial statements
112
THE TRAVELERS SERIES TRUST
TRAVELERS QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 2005
(PERCENTAGE OF NET ASSETS)
-------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
-------------------------------------------------------------------
FINANCIAL - DIVERSIFIED - CONTINUED
Credit Suisse First Boston USA, Inc.
3.875%, due 01/15/09.................. $ 1,100,000 $ 1,068,578
6.125%, due 11/15/11................... 600,000 630,619
Ford Motor Credit Co.
6.875%, due 02/01/06.................. 1,900,000 1,895,951
5.700%, due 01/15/10................... 200,000 170,159
Glencore Funding LLC
6.000%, due 04/15/14 (144A)(b)........ 600,000 565,224
Goldman Sachs Group, Inc.
5.250%, due 10/15/13.................. 2,100,000 2,102,814
HSBC Finance Corp.
6.375%, due 10/15/11.................. 2,600,000 2,751,720
JPMorgan Chase & Co.
5.250%, due 05/01/15.................. 800,000 797,122
Lehman Brothers Holdings, Inc., Series G
4.800%, due 03/13/14.................. 1,300,000 1,271,431
Merrill Lynch & Co., Inc., Series C
4.125%, due 09/10/09.................. 700,000 679,776
4.250%, due 02/08/10................... 700,000 681,538
5.000%, due 01/15/15................... 700,000 690,724
Morgan Stanley 5.050%, due 01/21/11..... 1,100,000 1,101,540
-------------
22,337,088
-------------
FOOD & DRUG RETAILING - 1.8%
Delhaize America, Inc.
9.000%, due 04/15/31.................. 300,000 354,185
Fred Meyer, Inc. 7.450%, due 03/01/08... 1,300,000 1,355,247
Safeway, Inc. 6.500%, due 03/01/11...... 1,400,000 1,451,291
-------------
3,160,723
-------------
HEALTH CARE PROVIDERS & SERVICES - 0.4%
WellPoint, Inc. 6.800%, due 08/01/12.... 700,000 764,724
-------------
HOMEBUILDERS - 0.3%
D.R. Horton, Inc.
5.250%, due 02/15/15.................. 600,000 564,683
-------------
INDUSTRIAL - DIVERSIFIED - 2.4%
General Electric Co.
5.000%, due 02/01/13.................. 2,400,000 2,402,292
Tyco International Group S.A.
6.125%, due 11/01/08.................. 1,800,000 1,838,576
-------------
4,240,868
-------------
INSURANCE - 1.7%
Berkshire Hathaway Finance Corp.
4.400%, due 05/16/08(a)............... 300,000 300,228
4.750%, due 05/15/12................... 700,000 692,917
GE Global Insurance Holding Corp.
7.000%, due 02/15/26.................. 400,000 450,930
MassMutual Global Funding II
2.550%, due 07/15/08 (144A)(b)........ 1,700,000 1,606,045
-------------
3,050,120
-------------
---------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
---------------------------------------------------------------------
MEDIA - 4.2%
Clear Channel Communications, Inc.
4.400%, due 05/15/11.................... $ 400,000 $ 372,529
Comcast Cable Communications, Inc.
8.500%, due 05/01/27.................... 900,000 1,107,066
COX Communications, Inc.
7.125%, due 10/01/12.................... 1,500,000 1,609,371
Liberty Media Corp.
5.991%, due 09/17/06(a)................. 879,000 885,206
Time Warner, Inc.
6.150%, due 05/01/07.................... 3,600,000 3,645,821
-------------
7,619,993
-------------
OIL & GAS - 3.2%
Anadarko Finance Co., Series B
6.750%, due 05/01/11.................... 700,000 758,203
Consolidated Natural Gas Co.
5.000%, due 12/01/14.................... 300,000 291,568
Cooper Cameron Corp.
2.650%, due 04/15/07.................... 400,000 386,865
Devon Financing Corp. ULC
6.875%, due 09/30/11.................... 1,000,000 1,095,140
Duke Capital LLC
4.331%, due 11/16/06.................... 700,000 695,272
Kinder Morgan Energy Partners LP
5.125%, due 11/15/14.................... 300,000 293,920
Phelps Dodge Corp.
8.750%, due 06/01/11.................... 600,000 690,649
PSEG Energy Holdings LLC
8.625%, due 02/15/08.................... 750,000 783,750
Southern California Gas Co., Series II
4.375%, due 01/15/11.................... 700,000 681,903
-------------
5,677,270
-------------
PAPER & FOREST PRODUCTS - 0.4%
International Paper Co.
5.300%, due 04/01/15.................... 700,000 675,413
-------------
PHARMACEUTICALS - 1.2%
Wyeth 5.500%, due 02/01/14................ 2,200,000 2,232,103
-------------
REAL ESTATE - 1.6%
AvalonBay Communities, Inc., (REIT)
4.950%, due 03/15/13.................... 100,000 98,028
Colonial Realty LP
4.750%, due 02/01/10.................... 500,000 487,474
HRPT Properties Trust, (REIT)
6.250%, due 08/15/16.................... 500,000 510,502
iStar Financial, Inc., (REIT)
6.000%, due 12/15/10.................... 660,000 670,895
Kimco Realty Corp., (REIT)
4.450%, due 08/01/06(a)................. 200,000 200,213
Nationwide Health Properties, Inc., (REIT)
6.900%, due 10/01/37.................... 250,000 267,677
See notes to financial statements
113
THE TRAVELERS SERIES TRUST
TRAVELERS QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 2005
(PERCENTAGE OF NET ASSETS)
--------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
--------------------------------------------------------------------
REAL ESTATE - CONTINUED
Simon Property Group LP, (REIT)
4.600%, due 06/15/10................... $ 300,000 $ 292,745
5.100%, due 06/15/15.................... 300,000 290,682
-------------
2,818,216
-------------
SOFTWARE - 0.8%
Computer Associates International, Inc.
5.250%, due 12/01/09
(144A)(a)(b)........................... 1,500,000 1,463,960
-------------
TELECOMMUNICATION SERVICES - DIVERSIFIED - 2.0%
Deutsche Telekom International Finance BV
8.250%, due 06/15/30(a)................ 600,000 765,400
SBC Communications, Inc.
6.450%, due 06/15/34................... 700,000 730,819
Sprint Capital Corp.
6.125%, due 11/15/08................... 1,350,000 1,389,126
Telecom Italia Capital S.A.
4.000%, due 01/15/10................... 700,000 667,323
-------------
3,552,668
-------------
TOBACCO - 1.0%
Altria Group, Inc.
5.625%, due 11/04/08................... 1,700,000 1,724,407
-------------
Total Domestic Bonds & Debt Securities
(Cost $99,746,078) 98,717,105
-------------
U. S. GOVERNMENT & AGENCY OBLIGATIONS - 42.8%
Federal Home Loan Mortgage Corp.
2.900%/7.000%, due 02/27/19(c)......... 1,200,000 1,196,417
Federal National Mortgage Assoc.
1.750%, due 06/16/06................... 2,400,000 2,369,830
Federal National Mortgage Assoc.
2.000%/ 4.000%, due 02/09/07(c)........ 2,600,000 2,579,226
U.S. Treasury Bonds
5.250%, due 02/15/29................... 1,100,000 1,200,676
U.S. Treasury Notes
2.875%, due 11/30/06................... 21,000,000 20,715,366
2.750%, due 08/15/07.................... 2,600,000 2,533,580
4.000%, due 08/31/07.................... 12,000,000 11,924,064
4.125%, due 08/15/08 - 05/15/15......... 23,450,000 23,281,009
3.375%, due 11/15/08.................... 6,520,000 6,347,070
3.875%, due 05/15/10.................... 200,000 196,274
4.250%, due 10/15/10 - 08/15/15......... 2,900,000 2,864,950
4.500%, due 11/15/15.................... 1,500,000 1,512,774
-------------
Total U. S. Government & Agency
Obligations
(Cost $77,339,611) 76,721,236
-------------
--------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
--------------------------------------------------------------------
SHORT-TERM INVESTMENT - 1.2%
State Street Bank & Trust Co., Repurchase
Agreement, dated 12/30/05 at 2.000% to
be repurchased at 2,041,454 on
01/03/06 collateralized by 1,865,000
U.S. Treasury Bond 5.250% due
02/15/29 with a value $2,087,077
(Cost - $2,041,000).................... $ 2,041,000 $ 2,041,000
-------------
TOTAL INVESTMENTS - 99.1%
(Cost $179,126,689) 177,479,341
Other Assets and Liabilities (net) - 0.9% 1,625,275
-------------
TOTAL NET ASSETS - 100.0% $ 179,104,616
=============
(a) Variable or floating rate security. The stated rate represents the rate at
December 31, 2005.
(b) 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 in the aggregate 3.71% 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.
The following table summarizes the credit composition of the portfolio holdings
of the Travelers Quality Bond Portfolio at December 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 COMPOSITION BY CREDIT QUALITY PORTFOLIO
--------------------------------------------------
AAA/Government/Government Agency 55.31%
AA 4.29
A 17.87
BBB 19.80
BB 2.73
------
Total: 100.00%
======
See notes to financial statements
114
THE TRAVELERS SERIES TRUST
U.S. GOVERNMENT SECURITIES PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2005
(PERCENTAGE OF NET ASSETS)
-------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
-------------------------------------------------------------------
DOMESTIC BONDS & DEBT SECURITIES - 16.2%
COLLATERALIZED MORTGAGE OBLIGATIONS - 16.2%
Credit Suisse First Boston Mortgage
Securities Corp., Series 2004-C5,
Class AJ 4.889%, due 11/15/37......... $ 2,680,000 $ 2,602,895
Financing Corp. (FICO) Strips, Series 13
5.229%, due 06/27/11.................. 13,949,000 10,846,938
GE Capital Commercial Mortgage Corp.
5.333%, due 11/10/45.................. 3,000,000 3,038,373
JP Morgan Chase Commercial Mortgage
Securities Corp.
Series 2004-CBX, Class AJ
4.951%, due 01/12/37................. 4,950,000 4,832,759
Series 2005-CB12
4.948%, due 09/12/37................. 6,350,000 6,221,389
Series 2005-LDP4, Class AM
4.999%, due 10/15/42................. 1,250,000 1,226,771
LB-UBS Commercial Mortgage Trust, Series
2004-C8, Class AJ
4.858%, due 12/15/39.................. 5,500,000 5,338,754
Residential Funding Mortgage Securities
4.750%, due 12/25/18.................. 3,755,994 3,660,922
Resolution Funding Corp. Strips
3.447%, due 01/15/21.................. 10,000,000 4,901,900
-------------
42,670,701
-------------
Total Domestic Bonds & Debt Securities
(Cost $42,196,140) 42,670,701
-------------
U. S. GOVERNMENT AGENCY MORTGAGE BACKED SECURITIES - 34.4%
Federal Home Loan Mortgage Corp.
4.000%, due 05/01/19.................. 201,624 192,452
5.000%, due 08/01/19-10/01/35.......... 13,006,884 12,666,519
8.500%, due 06/15/21................... 310,152 310,567
8.000%, due 09/01/30................... 35,972 38,376
7.500%, due 05/01/32................... 395,536 415,208
4.500%, due 04/01/33-04/01/35.......... 4,179,948 3,942,688
5.500%, due 12/01/99(a)(b)............. 2,800,000 2,774,626
Federal National Mortgage Assoc.
7.500%, due 02/01/16-11/01/29......... 282,620 296,956
4.500%, due 05/01/19-04/01/20.......... 5,924,070 5,774,316
4.000%, due 08/01/19-05/01/33.......... 2,510,684 2,357,356
5.000%, due 10/01/20-11/01/35.......... 16,787,292 16,285,237
5.500%, due 09/01/24-12/01/35.......... 5,691,257 5,677,234
6.500%, due 12/01/27-05/01/32.......... 769,896 790,987
6.250%, due 05/15/29................... 3,000,000 3,545,580
6.000%, due 04/01/35................... 11,683,728 11,804,822
5.500%, due 12/01/99(a)(b)............. 13,750,000 13,616,790
Government National Mortgage Assoc.
9.000%, due 08/15/08-09/15/09......... 203,813 213,897
8.500%, due 03/15/18-05/15/18.......... 55,247 59,908
-----------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
-----------------------------------------------------------------------
U. S. GOVERNMENT AGENCY MORTGAGE BACKED SECURITIES - CONTINUED
5.500%, due 09/15/34-12/15/35............. $ 9,999,002 $ 10,070,858
-------------
Total U. S. Government Agency Mortgage
Backed Securities
(Cost $91,353,253) 90,834,377
-------------
U. S. GOVERNMENT & AGENCY OBLIGATIONS - 47.8%
National Archives Facility Trust, COP
8.500%, due 09/01/19..................... 5,442,361 6,722,534
Tennessee Valley Authority, 2000, Series G
7.125%, due 05/01/30..................... 9,000,000 11,732,877
U.S. Treasury Bond
4.500%, due 11/15/15..................... 8,500,000 8,572,386
8.875%, due 02/15/19...................... 7,200,000 10,240,877
6.250%, due 08/15/23...................... 22,500,000 26,875,215
6.875%, due 08/15/25...................... 1,500,000 1,932,188
5.250%, due 11/15/28...................... 12,685,000 13,839,538
U.S. Treasury Note
4.125%, due 05/15/15..................... 28,800,000 28,177,891
U.S. Treasury Strip
3.725%, due 11/15/09..................... 7,500,000 6,317,797
3.230%, due 02/15/27...................... 28,000,000 10,605,700
2.949%, due 11/15/27...................... 3,000,000 1,102,521
-------------
Total U. S. Government & Agency
Obligations
(Cost $123,570,120) 126,119,524
-------------
SHORT-TERM INVESTMENT - 7.2%
State Street Bank & Trust Co., Repurchase
Agreement, dated 12/30/05 at 2.80% to
be repurchased at $18,960,897 on
01/03/06 collateralized by $17,265,000
U.S. Treasury Bond 10.375% due
11/15/12 with a value of $19,336,800
(Cost - $18,955,000)..................... 18,955,000 18,955,000
-------------
TOTAL INVESTMENTS - 105.6%
(Cost $276,074,513) 278,579,602
Other Assets and Liabilities (net) - (5.6)% (14,879,930)
-------------
TOTAL NET ASSETS - 100.0% $ 263,699,673
=============
(a) This security is traded on a "to-be-announced" basis.
(b) All or a portion of this security is acquired mortgage dollar roll
agreement.
COP - Certificate of Participation
See notes to financial statements
115
THE TRAVELERS SERIES TRUST
U.S. GOVERNMENT SECURITIES PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
DECEMBER 31, 2005
(PERCENTAGE OF NET ASSETS)
The following table summarizes the U.S. Government Securities Portfolio
composition of the Portfolio's holdings at December 31, 2005 based upon quality
ratings issued by Standard & Poor's. For securities not rated by Standard &
Poor's, the Moody's rating is used.
PERCENT OF
PORTFOLIO COMPOSITION BY CREDIT QUALIFY PORTFOLIO
--------------------------------------------------
AAA/Government/Government Agency 98.11%
Equities/Other 1.89
------
Total: 100.00%
======
116
[THIS PAGE INTENTIONALLY LEFT BLANK]
117
THE TRAVELERS SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 2005
Convertible Disciplined Equity
Securities Mid Cap Stock Income
Portfolio Portfolio Portfolio
------------ ------------- ------------
ASSETS
Investments, at value (Note 2)* $102,576,650 $207,544,992 $373,733,179
Cash 112,945 441 705
Cash denominated in foreign currencies** -- -- 3,091
Receivable for investments sold 1,522,933 10,155,506 533,563
Receivable for Trust shares sold 14,726 19,272 12,448
Dividends receivable 27,191 145,702 555,835
Interest receivable 414,321 523 64,650
Receivable from investment adviser (Note 3) -- -- --
Other assets 4,049 9,111 15,844
------------ ------------- ------------
Total assets 104,672,815 217,875,547 374,919,315
------------ ------------- ------------
LIABILITIES
Due to Bank -- -- --
Payables for:
Investments purchased 752,488 10,298,619 576,117
Trust shares redeemed 116,686 424,775 471,952
Net variation margin on financial futures contracts (Note 7) -- 13,750 --
Investment advisory fee payable (Note 3) 51,485 124,109 217,894
Administration fee payable 7,047 10,638 35,268
Custodian fees payable 4,875 9,656 14,697
Directors fee payable 3,596 1,127 3,386
Accrued expenses 42,415 45,356 58,874
------------ ------------- ------------
Total liabilities 978,592 10,928,030 1,378,188
------------ ------------- ------------
NET ASSETS $103,694,223 $206,947,517 $373,541,127
============ ============= ============
NET ASSETS REPRESENTED BY:
Paid in surplus $102,183,233 $145,659,179 $321,801,349
Accumulated net realized gain (loss) (1,397,406) 34,862,183 27,879,654
Accumulated unrealized appreciation (depreciation) on investments,
futures contracts and foreign currency 2,922,852 25,087,222 19,645,342
Undistributed (distributions in excess of) net investment income (14,456) 1,338,933 4,214,782
------------ ------------- ------------
NET ASSETS $103,694,223 $206,947,517 $373,541,127
============ ============= ============
CAPITAL SHARES OUTSTANDING 8,750,379 9,425,641 21,133,866
============ ============= ============
NET ASSET VALUE AND OFFERING PRICE PER SHARE $ 11.85 $ 21.96 $ 17.68
============ ============= ============
- -----------------------------------------------------------------------------------------------------------------
* Investments at cost $ 99,653,798 $182,382,606 $354,087,761
**Cost of cash denominated in foreign currencies -- -- 3,096
See notes to financial statements
118
Managed
Federated Federated Large Allocation Series:
High Yield Stock Cap Aggressive
Portfolio Portfolio Portfolio Portfolio
- ------------ ----------- ------------ ------------------
$ 82,446,548 $28,039,759 $264,609,685 $5,013,371
245 21,947 980 --
-- -- 251,171 --
127,007 363,715 5,178,338 --
2,214 -- 30,633 --
2,437 44,094 256,589 --
1,624,296 -- 256 --
-- 5,521 -- 6,088
3,761 1,327 11,352 153
- ------------ ----------- ------------ ------------------
84,206,508 28,476,363 270,339,004 5,019,612
- ------------ ----------- ------------ ------------------
-- -- -- 2,389
-- 207,343 3,449,505 --
84,832 2,764 771,801 1,095
-- -- -- --
46,455 13,586 158,111 --
4,288 3,196 26,806 239
24,403 4,376 16,381 4,680
3,362 3,386 5,362 3,058
39,353 34,135 51,296 34,049
- ------------ ----------- ------------ ------------------
202,693 268,786 4,479,262 45,510
- ------------ ----------- ------------ ------------------
$ 84,003,815 $28,207,577 $265,859,742 $4,974,102
============ =========== ============ ==================
$ 90,910,620 $22,347,263 $324,801,765 $4,664,363
(13,292,629) 2,951,066 (71,642,843) 1,992
257,402 2,544,283 12,421,832 307,747
6,128,422 364,965 278,988 --
- ------------ ----------- ------------ ------------------
$ 84,003,815 $28,207,577 $265,859,742 $4,974,102
============ =========== ============ ==================
9,506,138 1,617,284 17,554,212 442,447
============ =========== ============ ==================
$ 8.84 $ 17.44 $ 15.15 $ 11.24
============ =========== ============ ==================
- ----------------------------------------------------------
$ 82,189,145 $25,495,476 $252,168,842 $4,705,624
-- -- 270,038 --
See notes to financial statements
119
THE TRAVELERS SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 2005
Managed Managed
Allocation Series: Allocation Series:
Conservative Moderate
Portfolio Portfolio
------------------ ------------------
ASSETS
Investments, at value (Note 2)* $4,699,658 $21,929,434
Cash -- --
Cash denominated in foreign currencies** -- --
Receivable for investments sold 134 --
Receivable for Trust shares sold -- 111,636
Dividends receivable 826 1,918
Receivable from investment adviser (Note 3) 6,734 4,786
Other assets 142 404
------------------ ------------------
Total assets 4,707,494 22,048,178
------------------ ------------------
LIABILITIES
Due to Bank 1,274 1,139
Payables for:
Investments purchased -- --
Trust shares redeemed 1,345 --
Investment advisory fee payable (Note 3) 548 2,636
Administration fee payable 219 1,054
Custody fees payable 4,388 1,935
Directors fee payable 3,058 3,058
Accrued expenses 35,297 35,300
------------------ ------------------
Total liabilities 46,129 45,122
------------------ ------------------
NET ASSETS $4,661,365 $22,003,056
================== ==================
NET ASSETS REPRESENTED BY:
Paid in surplus $4,609,118 $21,392,748
Accumulated net realized gain (loss) 3,465 29,026
Accumulated unrealized appreciation (depreciation) on investments
and foreign currency 48,782 581,282
Undistributed (distributions in excess of) net investment income -- --
------------------ ------------------
NET ASSETS $4,661,365 $22,003,056
================== ==================
CAPITAL SHARES OUTSTANDING 450,896 2,036,511
================== ==================
NET ASSET VALUE AND OFFERING PRICE PER SHARE $ 10.34 $ 10.80
================== ==================
- ---------------------------------------------------------------------------------------------------------------
* Investments at cost $4,650,876 $21,348,152
**Cost of cash denominated in foreign currencies -- --
Managed
Allocation Series:
Moderate-Aggressive
Portfolio
-------------------
ASSETS
Investments, at value (Note 2)* $25,468,544
Cash --
Cash denominated in foreign currencies** --
Receivable for investments sold --
Receivable for Trust shares sold 32,109
Dividends receivable 2,214
Receivable from investment adviser (Note 3) 4,394
Other assets 666
-------------------
Total assets 25,507,927
-------------------
LIABILITIES
Due to Bank 2,389
Payables for:
Investments purchased --
Trust shares redeemed --
Investment advisory fee payable (Note 3) 3,056
Administration fee payable 1,223
Custody fees payable 1,605
Directors fee payable 3,058
Accrued expenses 34,049
-------------------
Total liabilities 45,380
-------------------
NET ASSETS $25,462,547
===================
NET ASSETS REPRESENTED BY:
Paid in surplus $24,569,004
Accumulated net realized gain (loss) 19,656
Accumulated unrealized appreciation (depreciation) on investments
and foreign currency 873,887
Undistributed (distributions in excess of) net investment income --
-------------------
NET ASSETS $25,462,547
===================
CAPITAL SHARES OUTSTANDING 2,332,100
===================
NET ASSET VALUE AND OFFERING PRICE PER SHARE $ 10.92
===================
- --------------------------------------------------------------------------------------------
* Investments at cost $24,594,657
**Cost of cash denominated in foreign currencies --
See notes to financial statements
120
Managed
Allocation Series: Mercury MFS MFS
Moderate-Conservative Large Cap Core Mid Cap Growth Value
Portfolio Portfolio Portfolio Portfolio
- --------------------- -------------- -------------- -----------
$4,364,236 $130,916,211 $ 334,855,419 $78,664,791
-- 23,594 -- 875
-- 2,633 755 235
-- -- 1,477,618 2,520
-- 30,030 226 42,756
383 119,700 139,074 148,782
6,741 -- -- --
163 5,527 14,937 102
- --------------------- -------------- -------------- -----------
4,371,523 131,097,695 336,488,029 78,860,061
- --------------------- -------------- -------------- -----------
1,139 -- 53,333 --
-- -- 29,520 82,424
1,122 110,580 996,639 5,849
540 85,672 217,327 46,173
216 8,492 19,049 5,722
3,698 5,725 19,900 8,077
3,058 3,362 3,655 3,362
35,299 55,159 112,415 50,700
- --------------------- -------------- -------------- -----------
45,072 268,990 1,451,838 202,307
- --------------------- -------------- -------------- -----------
$4,326,451 $130,828,705 $ 335,036,191 $78,657,754
===================== ============== ============== ===========
$4,188,153 $174,252,825 $ 671,431,380 $70,117,985
2,011 (63,422,072) (380,025,182) 331,424
136,287 19,708,006 43,630,662 8,208,345
-- 289,946 (669) --
- --------------------- -------------- -------------- -----------
$4,326,451 $130,828,705 $ 335,036,191 $78,657,754
===================== ============== ============== ===========
408,772 12,899,599 41,410,342 6,321,249
===================== ============== ============== ===========
$ 10.58 $ 10.14 $ 8.09 $ 12.44
===================== ============== ============== ===========
- -----------------------------------------------------------------
$4,227,949 $111,208,205 $ 291,224,274 $70,456,069
-- 2,688 -- 234
See notes to financial statements
121
THE TRAVELERS SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 2005
Mondrian Pioneer Pioneer
International Stock Fund Mid Cap Value
Portfolio Portfolio Portfolio
------------------- ------------ -------------
ASSETS
Investments, at value (Note 2)* $203,678,403 $ 46,423,531 $6,203,720
Cash 303 818 492
Cash denominated in foreign currencies** -- -- 116
Receivable for investments sold -- -- 10,804
Receivable for Trust shares sold 96,141 22,335 17,741
Unrealized appreciation on forward currency contracts (Note 8) 488,921 -- --
Dividends receivable 177,973 82,189 6,369
Interest receivable 367 72 15
Receivable from investment adviser (Note 3) -- -- 14,704
Other assets 5,420 1,686 284
------------------- ------------ -------------
Total assets 204,447,528 46,530,631 6,254,245
------------------- ------------ -------------
LIABILITIES
Payables for:
Investments purchased -- -- 56,040
Trust shares redeemed 728,580 24,960 8
Investment advisory fee payable (Note 3) 121,614 29,396 3,813
Administration fee payable 11,174 2,352 305
Custodian fees payable 17,645 2,646 --
Directors fee payable 2,580 2,046 3,058
Accrued expenses 47,995 23,369 40,906
------------------- ------------ -------------
Total liabilities 929,588 84,769 104,130
------------------- ------------ -------------
NET ASSETS $203,517,940 $ 46,445,862 $6,150,115
=================== ============ =============
NET ASSETS REPRESENTED BY:
Paid in surplus $190,803,824 $ 51,067,297 $5,894,007
Accumulated net realized gain (loss) (15,024,628) (13,240,392) (8,782)
Accumulated unrealized appreciation (depreciation) on investments
and foreign currency 22,751,863 8,229,029 264,753
Undistributed (distributions in excess of) net investment income 4,986,881 389,928 137
------------------- ------------ -------------
NET ASSETS $203,517,940 $ 46,445,862 $6,150,115
=================== ============ =============
CAPITAL SHARES OUTSTANDING 16,275,354 3,643,620 570,752
=================== ============ =============
NET ASSET VALUE AND OFFERING PRICE PER SHARE $ 12.50 $ 12.75 $ 10.78
=================== ============ =============
- --------------------------------------------------------------------------------------------------------------------------
* Investments at cost $181,410,140 $ 38,194,502 $5,938,967
**Cost of cash denominated in foreign currencies -- -- 116
See notes to financial statements
122
Style Focus Series: Style Focus Series: Travelers U.S. Government
Small Cap Growth Small Cap Value Quality Bond Securities
Portfolio Portfolio Portfolio Portfolio
- ------------------- ------------------- ------------ ---------------
$5,923,932 $5,553,260 $177,479,341 $278,579,602
167,592 25,484 12,247 99
-- -- -- --
3,351 -- -- --
10,603 11,631 8,925 16,495
2,159 8,808 -- --
-- 27 1,997,532 1,841,288
9,184 5,566 -- --
303 279 8,170 10,964
- ------------------- ------------------- ------------ ---------------
6,117,124 5,605,055 179,506,215 280,448,448
- ------------------- ------------------- ------------ ---------------
8,020 227,344 -- 16,317,110
82 74 272,777 285,339
4,374 -- 49,105 71,444
307 265 8,812 13,237
9,400 792 9,996 6,128
3,058 3,058 2,734 2,734
16,914 41,020 58,175 52,783
- ------------------- ------------------- ------------ ---------------
42,155 272,553 401,599 16,748,775
- ------------------- ------------------- ------------ ---------------
$6,074,969 $5,332,502 $179,104,616 $263,699,673
=================== =================== ============ ===============
$5,619,057 $4,967,243 $178,071,754 $247,368,938
13,861 25,524 (4,496,317) 3,262,948
458,008 337,219 (1,647,348) 2,505,089
(15,957) 2,516 7,176,527 10,562,698
- ------------------- ------------------- ------------ ---------------
$6,074,969 $5,332,502 $179,104,616 $263,699,673
=================== =================== ============ ===============
536,576 476,328 15,980,535 19,846,722
=================== =================== ============ ===============
$ 11.32 $ 11.20 $ 11.21 $ 13.29
=================== =================== ============ ===============
- ----------------------------------------------------------------------
$5,465,923 $5,216,041 $179,126,689 $276,074,513
-- -- -- --
See notes to financial statements
123
THE TRAVELERS SERIES TRUST
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 2005
Convertible Disciplined Equity
Securities Mid Cap Stock Income
Portfolio Portfolio Portfolio
----------- ------------- ------------
INVESTMENT INCOME:
Dividends (1) $ 834,733 $ 2,874,888 $ 7,002,421
Interest 2,579,219 78,697 213,086
----------- ------------- ------------
Total investment income 3,413,952 2,953,585 7,215,507
----------- ------------- ------------
EXPENSES:
Investment advisory fee (Note 3) 628,179 1,383,571 2,668,019
Administration fees 62,818 118,592 217,973
Custody and accounting fees 20,933 32,145 79,928
Audit 22,270 22,122 22,254
Legal 17,930 20,167 28,353
Trustee fees and expenses 9,678 9,178 11,568
Shareholder reporting 19,810 22,325 30,492
Insurance 4,505 7,928 13,988
Other 82 701 1,001
----------- ------------- ------------
Total expenses 786,205 1,616,729 3,073,576
Less fees waived and expenses reimbursed by the adviser -- -- --
----------- ------------- ------------
Net expenses 786,205 1,616,729 3,073,576
----------- ------------- ------------
Net investment income (loss) 2,627,747 1,336,856 4,141,931
----------- ------------- ------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS,
FUTURES CONTRACTS AND FOREIGN CURRENCY
RELATED TRANSACTIONS
Net realized gain (loss) on:
Investments 1,646,578 34,704,113 28,154,562
Futures contracts -- 238,621 --
Foreign currency related transactions -- -- 230
----------- ------------- ------------
Net realized gain (loss) on investments, futures contracts and
foreign currency related transactions 1,646,578 34,942,734 28,154,792
----------- ------------- ------------
Unrealized appreciation (depreciation) on investments, futures contracts and
foreign currency
Beginning of year 6,849,799 38,090,382 35,699,379
End of year 2,922,852 25,087,222 19,645,342
----------- ------------- ------------
Net change in unrealized appreciation (depreciation) on investments, futures
contracts and foreign currency (3,926,947) (13,003,160) (16,054,037)
----------- ------------- ------------
Net realized and unrealized gain (loss) on investments, futures contracts and
foreign currency related transactions (2,280,369) 21,939,574 12,100,755
----------- ------------- ------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 347,378 $ 23,276,430 $ 16,242,686
=========== ============= ============
- ----------------------------------------------------------------------------------------------------------------------------
(1)Dividend income is net of withholding taxes of: $ 2,048 $ 132 $ 35,651
*For the period May 1, 2005 (commencement of operations) through
December 31, 2005.
(a)Dividend income is from underlying funds.
See notes to financial statements
124
Managed
Federated Federated Large Allocation Series:
High Yield Stock Cap Aggressive
Portfolio Portfolio Portfolio Portfolio*
- ----------- ----------- ----------- ------------------
$ 27,124 $ 647,734 $ 2,474,365 $ 5,187(a)
6,940,786 3,449 62,205 101
- ----------- ----------- ----------- ------------------
6,967,910 651,183 2,536,570 5,288
- ----------- ----------- ----------- ------------------
555,974 188,301 1,947,041 2,962
51,321 18,077 156,185 1,185
58,153 15,344 54,677 7,967
22,103 22,109 22,254 14,938
22,895 24,674 24,590 15,040
9,244 9,268 11,544 6,639
17,305 12,533 23,913 9,960
3,375 1,228 8,761 --
310 205 -- 2,489
- ----------- ----------- ----------- ------------------
740,680 291,739 2,248,965 61,180
-- (5,521) -- (54,268)
- ----------- ----------- ----------- ------------------
740,680 286,218 2,248,965 6,912
- ----------- ----------- ----------- ------------------
6,227,230 364,965 287,605 (1,624)
- ----------- ----------- ----------- ------------------
(653,965) 3,737,832 29,957,564 8,791
-- -- -- --
-- -- 2,519 --
- ----------- ----------- ----------- ------------------
(653,965) 3,737,832 29,960,083 8,791
- ----------- ----------- ----------- ------------------
3,693,290 5,134,178 20,929,735 --
257,402 2,544,283 12,421,832 307,747
- ----------- ----------- ----------- ------------------
(3,435,888) (2,589,895) (8,507,903) 307,747
- ----------- ----------- ----------- ------------------
(4,089,853) 1,147,937 21,452,180 316,538
- ----------- ----------- ----------- ------------------
$ 2,137,377 $ 1,512,902 $21,739,785 $314,914
=========== =========== =========== ==================
- ------------------------------------------------------------
$ -- $ -- $ 11,631 $ --
See notes to financial statements
125
THE TRAVELERS SERIES TRUST
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 2005
Managed Managed
Allocation Series: Allocation Series:
Conservative Moderate
Portfolio* Portfolio*
------------------ ------------------
INVESTMENT INCOME:
Dividends (1) $ 31,388(a) $125,647(a)
Interest 111 422
------------------ ------------------
Total investment income 31,499 126,069
------------------ ------------------
EXPENSES:
Investment advisory fee (Note 3) 2,535 10,031
Administration fees 1,014 4,013
Custody and accounting fees 7,967 7,967
Audit 14,938 14,938
Legal 15,040 15,040
Trustee fees and expenses 6,639 6,639
Shareholder reporting 9,960 9,960
Insurance -- --
Other 2,489 2,489
------------------ ------------------
Total expenses 60,582 71,077
Less fees waived and expenses reimbursed by the adviser (54,666) (47,670)
------------------ ------------------
Net expenses 5,916 23,407
------------------ ------------------
Net investment income (loss) 25,583 102,662
------------------ ------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS,
FUTURES CONTRACTS AND FOREIGN CURRENCY
RELATED TRANSACTIONS
Net realized gain (loss) on:
Investments 11,874 45,618
Foreign currency related transactions -- --
------------------ ------------------
Net realized gain (loss) on investments and foreign currency
related transactions 11,874 45,618
------------------ ------------------
Unrealized appreciation (depreciation) on investments and foreign currency
Beginning of period -- --
End of period 48,782 581,282
------------------ ------------------
Net change in unrealized appreciation (depreciation) on investments and
foreign currency 48,782 581,282
------------------ ------------------
Net realized and unrealized gain (loss) on investments and foreign currency
related transactions 60,656 626,900
------------------ ------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 86,239 $729,562
================== ==================
- ------------------------------------------------------------------------------------------------------------------------------
(1)Dividend income is net of withholding taxes of: $ -- $ --
*For the period May 1, 2005 (commencement of operations) through
December 31, 2005.
(a)Dividend income is from underlying funds.
(b)Amount represents unrealized appreciation of all Holdings at December 31,
2005, less unrealized appreciation of securities acquired from MFS Emerging
Growth Portfolio at date of acquisition, February 25, 2005.
Managed
Allocation Series:
Moderate-
Aggressive
Portfolio*
------------------
INVESTMENT INCOME:
Dividends (1) $ 144,137(a)
Interest 1,068
------------------
Total investment income 145,205
------------------
EXPENSES:
Investment advisory fee (Note 3) 12,733
Administration fees 5,093
Custody and accounting fees 7,967
Audit 14,938
Legal 15,040
Trustee fees and expenses 6,639
Shareholder reporting 9,960
Insurance --
Other 2,489
------------------
Total expenses 74,859
Less fees waived and expenses reimbursed by the adviser (45,149)
------------------
Net expenses 29,710
------------------
Net investment income (loss) 115,495
------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS,
FUTURES CONTRACTS AND FOREIGN CURRENCY
RELATED TRANSACTIONS
Net realized gain (loss) on:
Investments 32,305
Foreign currency related transactions --
------------------
Net realized gain (loss) on investments and foreign currency
related transactions 32,305
------------------
Unrealized appreciation (depreciation) on investments and foreign currency
Beginning of period --
End of period 873,887
------------------
Net change in unrealized appreciation (depreciation) on investments and
foreign currency 873,887
------------------
Net realized and unrealized gain (loss) on investments and foreign currency
related transactions 906,192
------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $1,021,687
==================
- -------------------------------------------------------------------------------------------------------
(1)Dividend income is net of withholding taxes of: $ --
*For the period May 1, 2005 (commencement of operations) through
December 31, 2005.
(a)Dividend income is from underlying funds.
(b)Amount represents unrealized appreciation of all Holdings at December 31,
2005, less unrealized appreciation of securities acquired from MFS Emerging
Growth Portfolio at date of acquisition, February 25, 2005.
See notes to financial statements
126
Managed
Allocation Series:
Moderate- Mercury MFS
Conservative Large Cap Core Mid Cap Growth MFS Value
Portfolio* Portfolio Portfolio Portfolio
- ------------------ -------------- -------------- ----------
$ 25,270(a) $ 1,443,578 $ 1,385,460 $1,450,221
163 1,349 189,621 60,640
- ------------------ -------------- -------------- ----------
25,433 1,444,927 1,575,081 1,510,861
- ------------------ -------------- -------------- ----------
2,684 980,510 2,395,094 465,377
1,074 75,910 191,049 38,619
7,967 19,753 57,605 51,546
14,938 22,071 22,240 21,774
15,040 18,037 30,301 21,816
6,639 9,444 9,537 9,544
9,960 24,111 42,703 24,224
-- 5,028 12,641 2,398
2,489 308 31,642 9,324
- ------------------ -------------- -------------- ----------
60,791 1,155,172 2,792,812 644,622
(54,527) -- -- (6,348)
- ------------------ -------------- -------------- ----------
6,264 1,155,172 2,792,812 638,274
- ------------------ -------------- -------------- ----------
19,169 289,755 (1,217,731) 872,587
- ------------------ -------------- -------------- ----------
3,779 14,200,937 37,460,773 3,413,463
-- 191 (26,509) 1,490
- ------------------ -------------- -------------- ----------
3,779 14,201,128 37,434,264 3,414,953
- ------------------ -------------- -------------- ----------
-- 19,749,091 40,384,036 8,155,853
136,287 19,708,006 18,862,117(b) 8,208,345
- ------------------ -------------- -------------- ----------
136,287 (41,085) (21,521,919) 52,492
- ------------------ -------------- -------------- ----------
140,066 14,160,043 15,912,345 3,467,445
- ------------------ -------------- -------------- ----------
$159,235 $14,449,798 $ 14,694,614 $4,340,032
================== ============== ============== ==========
- -------------------------------------------------------------------
$ -- $ -- $ 8,771 $ 14,335
-- -- -- --
See notes to financial statements
127
THE TRAVELERS SERIES TRUST
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 2005
Mondrian Pioneer Pioneer
International Stock Fund Mid Cap Value
Portfolio Portfolio Portfolio*
------------------- ---------- -------------
INVESTMENT INCOME:
Dividends (1) $ 5,970,098 $ 742,957 $ 39,724
Interest (2) 201,070 27,901 3,166
------------------- ---------- -------------
Total investment income 6,171,168 770,858 42,890
------------------- ---------- -------------
EXPENSES:
Investment advisory fee (Note 3) 1,410,238 283,477 22,433
Administration fees 113,955 22,678 1,795
Custody and accounting fees 113,340 15,742 11,951
Audit 22,053 21,988 19,918
Legal 25,168 20,468 15,040
Trustee fees and expenses 8,462 9,688 6,639
Shareholder reporting 22,914 4,804 11,951
Insurance 7,750 1,532 --
Other 11,079 553 2,487
------------------- ---------- -------------
Total expenses 1,734,959 380,930 92,214
Less fees waived and expenses reimbursed by the adviser -- -- (62,305)
------------------- ---------- -------------
Net expenses 1,734,959 380,930 29,909
------------------- ---------- -------------
Net investment income (loss) 4,436,209 389,928 12,981
------------------- ---------- -------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES
CONTRACTS AND FOREIGN CURRENCY RELATED TRANSACTIONS
Net realized gain (loss) on:
Investments 20,942,418 805,103 90,270
Foreign currency related transactions (161,358) -- --
------------------- ---------- -------------
Net realized gain (loss) on investments and foreign currency
related transactions 20,781,060 805,103 90,270
------------------- ---------- -------------
Unrealized appreciation (depreciation) on investments and foreign currency
Beginning of period 29,915,254 6,944,228 --
End of period 22,751,863 8,229,029 264,753
------------------- ---------- -------------
Net change in unrealized appreciation (depreciation) on investments and
foreign currency (7,163,391) 1,284,801 264,753
------------------- ---------- -------------
Net realized and unrealized gain (loss) on investments and foreign currency
related transactions 13,617,669 2,089,904 355,023
------------------- ---------- -------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $18,053,878 $2,479,832 $368,004
=================== ========== =============
- -------------------------------------------------------------------------------------------------------------------------------
(1)Dividend income is net of withholding taxes of: $ 739,494 $ 7,038 $ 89
(2)Interest income includes security lending income of: 113,461 -- --
*For the period May 1, 2005 (commencement of operations) through
December 31, 2005.
See notes to financial statements
128
Style Focus Series: Style Focus Series: Travelers U.S. Government
Small Cap Growth Small Cap Value Quality Bond Securities
Portfolio* Portfolio* Portfolio Portfolio
- ------------------- ------------------- ------------ ---------------
$ 10,220 $ 51,131 $ -- $ --
5,140 2,137 7,458,902 11,634,334
- ------------------- ------------------- ------------ ---------------
15,360 53,268 7,458,902 11,634,334
- ------------------- ------------------- ------------ ---------------
26,177 22,380 596,346 809,925
1,848 1,628 110,674 150,311
23,902 23,902 28,870 27,166
19,918 19,918 22,004 22,048
15,040 15,040 29,596 25,384
6,639 6,639 8,915 8,615
11,951 11,951 20,741 15,959
-- -- 8,676 11,569
2,489 2,489 526 651
- ------------------- ------------------- ------------ ---------------
107,964 103,947 826,348 1,071,628
(74,088) (74,107) -- --
- ------------------- ------------------- ------------ ---------------
33,876 29,840 826,348 1,071,628
- ------------------- ------------------- ------------ ---------------
(18,516) 23,428 6,632,554 10,562,706
- ------------------- ------------------- ------------ ---------------
130,603 81,224 (703,128) 3,263,108
(83) -- -- --
- ------------------- ------------------- ------------ ---------------
130,520 81,224 (703,128) 3,263,108
- ------------------- ------------------- ------------ ---------------
-- -- 1,269,180 6,322,679
458,008 337,219 (1,647,348) 2,505,089
- ------------------- ------------------- ------------ ---------------
458,008 337,219 (2,916,528) (3,817,590)
- ------------------- ------------------- ------------ ---------------
588,528 418,443 (3,619,656) (554,482)
- ------------------- ------------------- ------------ ---------------
$570,012 $441,871 $ 3,012,898 $10,008,224
=================== =================== ============ ===============
- ------------------------------------------------------------------------
$ 29 $ 155 $ -- $ --
-- -- -- --
See notes to financial statements
129
THE TRAVELERS SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
DECEMBER 31, 2005
Convertible
Securities Portfolio
--------------------------
Year Ended Year Ended
December 31, December 31,
2005 2004*
----------------------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income $ 2,627,747 $ 2,342,782
Net realized gain (loss) on investments, futures contracts and foreign
currency related transactions 1,646,578 976,485
Net change in unrealized appreciation (depreciation) on investments,
futures contracts and foreign currency related transactions (3,926,947) 2,664,418
------------ ------------ -
Net increase in net assets resulting from operations 347,378 5,983,685
------------ ------------ -
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (2,701,552) (2,307,074)
From net realized gains (1,863,687) --
------------ ------------
Net decrease in net assets resulting from distributions (4,565,239) (2,307,074)
------------ ------------
CAPITAL SHARE TRANSACTIONS (NOTES 5 AND 10):
Proceeds from shares sold 12,333,791 33,647,713
Net asset value of shares issued through dividend reinvestment 4,565,239 2,307,074
Cost of shares repurchased (18,294,511) (6,655,212)
------------ ------------
Net increase (decrease) in net assets from capital share transactions (1,395,481) 29,299,575
------------ ------------
TOTAL INCREASE (DECREASE) IN NET ASSETS (5,613,342) 32,976,186
Net assets at beginning of year 109,307,565 76,331,379
------------ ------------
Net assets at end of year $103,694,223 $109,307,565
============ ============
Net assets at end of year includes accumulated undistributed (distributions
in excess of) net investment income $ (14,456) $ 40,111
============ ============
- -----------------------------------------------------------------------------------------------------------------
*Audited by other Independent Registered Public Accounting Firm. (Note 15)
Disciplined
Mid Cap Stock Portfolio
--------------------------
Year Ended Year Ended
December 31, December 31,
2005 2004*
---------------------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income $ 1,336,856 $ 497,527
Net realized gain (loss) on investments, futures contracts and foreign
currency related transactions 34,942,734 15,193,127
Net change in unrealized appreciation (depreciation) on investments,
futures contracts and foreign currency related transactions (13,003,160) 11,904,347
------------ ------------
Net increase in net assets resulting from operations 23,276,430 27,595,001
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income -- (508,893)
From net realized gains (2,217,847) (5,360,391)
------------ ------------
Net decrease in net assets resulting from distributions (2,217,847) (5,869,284)
------------ ------------
CAPITAL SHARE TRANSACTIONS (NOTES 5 AND 10):
Proceeds from shares sold 16,734,545 24,387,730
Net asset value of shares issued through dividend reinvestment 2,217,847 5,869,284
Cost of shares repurchased (30,891,516) (19,071,361)
------------ ------------
Net increase (decrease) in net assets from capital share transactions (11,939,124) 11,185,653
------------ ------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 9,119,459 32,911,370
Net assets at beginning of year 197,828,058 164,916,688
------------ ------------
Net assets at end of year $206,947,517 $197,828,058
============ ============
Net assets at end of year includes accumulated undistributed (distributions
in excess of) net investment income $ 1,338,933 $ 7,623
============ ============
- ------------------------------------------------------------------------------------------------------------
*Audited by other Independent Registered Public Accounting Firm. (Note 15)
See notes to financial statements
130
Equity Federated
Income Portfolio High Yield Portfolio
- -------------------------- --------------------------
Year Ended Year Ended Year Ended Year Ended
December 31, December 31, December 31, December 31,
2005 2004* 2005 2004*
- ---------------------------- ---------------------------
$ 4,141,931 $ 4,306,673 $ 6,227,230 $ 5,946,244
28,154,792 14,556,038 (653,965) 1,202,342
(16,054,037) 13,069,565 (3,435,888) 749,397
- ------------ ------------ - ------------ ------------
16,242,686 31,932,276 2,137,377 7,897,983
- ------------ ------------ - ------------ ------------
-- (4,384,748) -- (6,213,875)
(5,182,603) (15,860,220) -- --
- ------------ ------------ ------------ ------------
(5,182,603) (20,244,968) -- (6,213,875)
- ------------ ------------ ------------ ------------
38,173,570 49,762,623 9,104,584 14,459,403
5,182,603 20,244,968 -- 6,213,875
(39,717,590) (20,346,265) (14,175,437) (11,216,237)
- ------------ ------------ ------------ ------------
3,638,583 49,661,326 (5,070,853) 9,457,041
- ------------ ------------ ------------ ------------
14,698,666 61,348,634 (2,933,476) 11,141,149
358,842,461 297,493,827 86,937,291 75,796,142
- ------------ ------------ ------------ ------------
$373,541,127 $358,842,461 $ 84,003,815 $ 86,937,291
============ ============ ============ ============
$ 4,214,782 $ 78,439 $ 6,128,422 $ (263,984)
============ ============ ============ ============
- -----------------------------------------------------------
See notes to financial statements
131
THE TRAVELERS SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
DECEMBER 31, 2005
Federated Large Cap
Stock Portfolio Portfolio
------------------------ --------------------------
Year Ended Year Ended Year Ended Year Ended
December 31, December 31, December 31, December 31,
2005 2004* 2005 2004*
-------------------------- ---------------------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss) $ 364,965 $ 444,940 $ 287,605 $ 1,991,693
Net realized gain on investments and
foreign currency related transactions 3,737,832 1,268,513 29,960,083 7,905,466
Net change in unrealized appreciation
(depreciation) on investments and
foreign currency related transactions (2,589,895) 1,454,617 (8,507,903) 7,153,395
----------- ----------- ------------ ------------
Net increase in net assets resulting from
operations 1,512,902 3,168,070 21,739,785 17,050,554
----------- ----------- ------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income -- (451,992) -- (2,103,304)
From net realized gains -- -- -- --
----------- ----------- ------------ ------------
Net decrease in net assets resulting from
distributions -- (451,992) -- (2,103,304)
----------- ----------- ------------ ------------
CAPITAL SHARE TRANSACTIONS (NOTES 5 AND 10):
Proceeds from shares sold 931,671 2,342,984 15,406,305 54,371,360
Net asset value of shares issued through
dividend reinvestment -- 451,992 -- 2,103,304
Cost of shares repurchased (6,775,891) (4,775,545) (39,446,770) (31,061,137)
----------- ----------- ------------ ------------
Net increase (decrease) in net assets
from capital share transactions (5,844,220) (1,980,569) (24,040,465) 25,413,527
----------- ----------- ------------ ------------
TOTAL INCREASE (DECREASE) IN NET ASSETS (4,331,318) 735,509 (2,300,680) 40,360,777
Net assets at beginning of period 32,538,895 31,803,386 268,160,422 227,799,645
----------- ----------- ------------ ------------
Net assets at end of period $28,207,577 $32,538,895 $265,859,742 $268,160,422
=========== =========== ============ ============
Net assets at end of period includes
accumulated undistributed
(distributions in excess of) net
investment income $ 364,965 $ -- $ 278,988 $ 135
=========== =========== ============ ============
- -----------------------------------------------------------------------------------------------------
* Audited by other Independent Registered
Public Accounting Firm. (Note 15)
**For the period May 1, 2005 (commencement of operations)
through December 31, 2005.
See notes to financial statements
132
Managed Managed Managed Managed
Allocation Series: Allocation Series: Allocation Series: Allocation Series:
Aggressive Conservative Moderate Moderate-Aggressive
Portfolio Portfolio Portfolio Portfolio
- ------------------ ------------------ ------------------ -------------------
Period Ended Period Ended Period Ended Period Ended
December 31, December 31, December 31, December 31,
2005** 2005** 2005** 2005**
- ------------------ ------------------ ------------------ -------------------
$ (1,624) $ 25,583 $ 102,662 $ 115,495
8,791 11,874 45,618 32,305
307,747 48,782 581,282 873,887
---------- ---------- ----------- -----------
314,914 86,239 729,562 1,021,687
---------- ---------- ----------- -----------
-- (25,570) (102,686) (115,513)
(5,175) (8,422) (16,568) (12,631)
---------- ---------- ----------- -----------
(5,175) (33,992) (119,254) (128,144)
---------- ---------- ----------- -----------
4,829,038 5,099,817 21,951,635 25,017,438
5,175 33,992 119,254 128,144
(169,850) (524,691) (678,141) (576,578)
---------- ---------- ----------- -----------
4,664,363 4,609,118 21,392,748 24,569,004
---------- ---------- ----------- -----------
4,974,102 4,661,365 22,003,056 25,462,547
-- -- -- --
---------- ---------- ----------- -----------
$4,974,102 $4,661,365 $22,003,056 $25,462,547
========== ========== =========== ===========
$ -- $ -- $ -- $ --
========== ========== =========== ===========
- ----------------------------------------------------------------------------------
See notes to financial statements
133
THE TRAVELERS SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
DECEMBER 31, 2005
Managed Allocation Series:
Moderate-Conservative Portfolio
-------------------------------
Period Ended
December 31,
2005**
--------------------------------
INCREASE IN NET ASSETS:
OPERATIONS:
Net investment income (loss) $ 19,169
Net realized gain on investments and foreign currency related transactions 3,779
Net change in unrealized appreciation (depreciation) on investments and foreign
currency related transactions 136,287
----------
Net increase in net assets resulting from operations 159,235
----------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (19,171)
From net realized gains (1,766)
----------
Net decrease in net assets resulting from distributions (20,937)
----------
CAPITAL SHARE TRANSACTIONS (NOTES 4, 5 AND 10):
Proceeds from shares sold 4,186,360
Net asset value of shares issued through acquisition --
Net asset value of shares issued through dividend reinvestment 20,937
Cost of shares repurchased (19,144)
----------
Net increase (decrease) in net assets from capital share transactions 4,188,153
----------
TOTAL INCREASE IN NET ASSETS 4,326,451
Net assets at beginning of period --
----------
Net assets at end of period $4,326,451
==========
Net assets at end of period includes accumulated undistributed (distributions in
excess of) net investment income $ --
==========
- ------------------------------------------------------------------------------------------------------------------------
*Audited by other Independent Registered Public Accounting Firm. (Note 15)
**For the period May 1, 2005 (commencement of operations) through
December 31, 2005.
Mercury
Large Cap Core Portfolio
--------------------------
Year Ended Year Ended
December 31, December 31,
2005 2004*
---------------------------
INCREASE IN NET ASSETS:
OPERATIONS:
Net investment income (loss) $ 289,755 $ 589,652
Net realized gain on investments and foreign currency related transactions 14,201,128 3,315,382
Net change in unrealized appreciation (depreciation) on investments and foreign
currency related transactions (41,085) 13,604,210
------------ ------------
Net increase in net assets resulting from operations 14,449,798 17,509,244
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income -- (649,324)
From net realized gains -- --
------------ ------------
Net decrease in net assets resulting from distributions -- (649,324)
------------ ------------
CAPITAL SHARE TRANSACTIONS (NOTES 4, 5 AND 10):
Proceeds from shares sold 8,098,367 6,563,038
Net asset value of shares issued through acquisition -- --
Net asset value of shares issued through dividend reinvestment -- 649,324
Cost of shares repurchased (17,219,174) (13,772,846)
------------ ------------
Net increase (decrease) in net assets from capital share transactions (9,120,807) (6,560,484)
------------ ------------
TOTAL INCREASE IN NET ASSETS 5,328,991 10,299,436
Net assets at beginning of period 125,499,714 115,200,278
------------ ------------
Net assets at end of period $130,828,705 $125,499,714
============ ============
Net assets at end of period includes accumulated undistributed (distributions in
excess of) net investment income $ 289,946 $ --
============ ============
- -----------------------------------------------------------------------------------------------------------------
*Audited by other Independent Registered Public Accounting Firm. (Note 15)
**For the period May 1, 2005 (commencement of operations) through
December 31, 2005.
See notes to financial statements
134
MFS MFS
Mid Cap Growth Portfolio Value Portfolio
- ---------------------------- ---------------------------
Year Ended Year Ended Year Ended Year Ended
December 31, December 31, December 31, December 31,
2005 2004* 2005 2004*
- ---------------------------- ---------------------------
$ (1,217,731) $ (1,280,375) $ 872,587 $ 509,059
37,434,264 21,210,374 3,414,953 2,337,323
(21,521,919) 6,180,871 52,492 3,327,650
- ------------ ------------ ----------- -----------
14,694,614 26,110,870 4,340,032 6,174,032
- ------------ ------------ ----------- -----------
-- -- (869,869) (510,816)
-- -- (3,134,554) (389,047)
- ------------ ------------ ----------- -----------
-- -- (4,004,423) (899,863)
- ------------ ------------ ----------- -----------
7,809,074 16,179,515 31,389,149 9,087,552
157,413,642 -- -- --
-- -- 4,004,423 899,863
(55,470,667) (24,308,636) (4,323,830) (8,137,170)
- ------------ ------------ ----------- -----------
109,752,049 (8,129,121) 31,069,742 1,850,245
- ------------ ------------ ----------- -----------
124,446,663 17,981,749 31,405,351 7,124,414
210,589,528 192,607,779 47,252,403 40,127,989
- ------------ ------------ ----------- -----------
$335,036,191 $210,589,528 $78,657,754 $47,252,403
============ ============ =========== ===========
$ (669) $ -- $ -- $ 908
============ ============ =========== ===========
- ---------------------------------------------------------
See notes to financial statements
135
THE TRAVELERS SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
DECEMBER 31, 2005
Mondrian
International Stock
Portfolio
--------------------------
Year Ended Year Ended
December 31, December 31,
2005 2004*
------------ ------------
INCREASE IN NET ASSETS:
OPERATIONS:
Net investment income (loss) $ 4,436,209 $ 2,138,466
Net realized gain on investments and foreign currency related transactions 20,781,060 13,861,266
Net change in unrealized appreciation (depreciation) on investments and
foreign currency related transactions (7,163,391) 8,410,207
------------ ------------
Net increase in net assets resulting from operations 18,053,878 24,409,939
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (100,497) (2,613,383)
From net realized gains -- --
------------ ------------
Net decrease in net assets resulting from distributions (100,497) (2,613,383)
------------ ------------
CAPITAL SHARE TRANSACTIONS (NOTES 5 AND 10):
Proceeds from shares sold 28,572,300 53,475,176
Net asset value of shares issued through dividend reinvestment 100,497 2,613,383
Cost of shares repurchased (24,282,412) (24,585,856)
------------ ------------
Net increase in net assets from capital share transactions 4,390,385 31,502,703
------------ ------------
TOTAL INCREASE IN NET ASSETS 22,343,766 53,299,259
Net assets at beginning of period 181,174,174 127,874,915
------------ ------------
Net assets at end of period $203,517,940 $181,174,174
============ ============
Net assets at end of period includes accumulated undistributed (distributions in
excess of) net investment income $ 4,986,881 $ (547,069)
============ ============
- ------------------------------------------------------------------------------------------------------------------
*Audited by other Independent Registered Public Accounting Firm. (Note 15)
**For the period May 1, 2005 (commencement of operations) through
December 31, 2005.
Pioneer Fund Portfolio
------------------------
Year Ended Year Ended
December 31, December 31,
2005 2004*
------------ ------------
INCREASE IN NET ASSETS:
OPERATIONS:
Net investment income (loss) $ 389,928 $ 284,182
Net realized gain on investments and foreign currency related transactions 805,103 655,645
Net change in unrealized appreciation (depreciation) on investments and
foreign currency related transactions 1,284,801 2,315,841
----------- -----------
Net increase in net assets resulting from operations 2,479,832 3,255,668
----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income -- (285,115)
From net realized gains -- --
----------- -----------
Net decrease in net assets resulting from distributions -- (285,115)
----------- -----------
CAPITAL SHARE TRANSACTIONS (NOTES 5 AND 10):
Proceeds from shares sold 14,587,987 5,455,069
Net asset value of shares issued through dividend reinvestment -- 285,115
Cost of shares repurchased (3,255,212) (3,478,475)
----------- -----------
Net increase in net assets from capital share transactions 11,332,775 2,261,709
----------- -----------
TOTAL INCREASE IN NET ASSETS 13,812,607 5,232,262
Net assets at beginning of period 32,633,255 27,400,993
----------- -----------
Net assets at end of period $46,445,862 $32,633,255
=========== ===========
Net assets at end of period includes accumulated undistributed (distributions in
excess of) net investment income $ 389,928 $ --
=========== ===========
- ---------------------------------------------------------------------------------------------------------------
*Audited by other Independent Registered Public Accounting Firm. (Note 15)
**For the period May 1, 2005 (commencement of operations) through
December 31, 2005.
See notes to financial statements
136
Pioneer Style Focus Series: Style Focus Series:
Mid Cap Value Small Cap Growth Small Cap Value
Portfolio Portfolio Portfolio
- ------------- ------------------- -------------------
Period Ended Period Ended Period Ended
December 31, December 31, December 31,
2005** 2005** 2005**
- ------------- ------------------- -------------------
$ 12,981 $ (18,516) $ 23,428
90,270 130,520 81,224
264,753 458,008 337,219
---------- ---------- ----------
368,004 570,012 441,871
---------- ---------- ----------
(12,844) -- (20,912)
(99,052) (114,100) (55,700)
---------- ---------- ----------
(111,896) (114,100) (76,612)
---------- ---------- ----------
6,050,498 5,811,149 5,016,436
111,896 114,100 76,612
(268,387) (306,192) (125,805)
---------- ---------- ----------
5,894,007 5,619,057 4,967,243
---------- ---------- ----------
6,150,115 6,074,969 5,332,502
-- -- --
---------- ---------- ----------
$6,150,115 $6,074,969 $5,332,502
========== ========== ==========
$ 137 $ (15,957) $ 2,516
========== ========== ==========
- -----------------------------------------------------
See notes to financial statements
137
THE TRAVELERS SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
DECEMBER 31, 2005
Travelers Quality
Bond Portfolio
--------------------------
Year Ended Year Ended
December 31, December 31,
2005 2004*
----------------------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income $ 6,632,554 $ 7,188,168
Net realized gain (loss) on investments and foreign currency related
transactions (703,128) 865,318
Net change in unrealized appreciation (depreciation) on investments and
foreign currency related transactions (2,916,528) (1,671,033)
------------ ------------
Net increase in net assets resulting from operations 3,012,898 6,382,453
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income -- (8,995,106)
From net realized gains -- --
------------ ------------
Net decrease in net assets resulting from distributions -- (8,995,106)
------------ ------------
CAPITAL SHARE TRANSACTIONS (NOTES 5 AND 10):
Proceeds from shares sold 19,925,046 16,645,993
Net asset value of shares issued through dividend reinvestment -- 8,995,106
Cost of shares repurchased (33,148,315) (42,786,580)
------------ ------------
Net increase (decrease) in net assets from capital share transactions (13,223,269) (17,145,481)
------------ ------------
TOTAL INCREASE (DECREASE) IN NET ASSETS (10,210,371) (19,758,134)
Net assets at beginning of year 189,314,987 209,073,121
------------ ------------
Net assets at end of year $179,104,616 $189,314,987
============ ============
Net assets at end of year includes accumulated undistributed (distributions
in excess of) net investment income $ 7,176,527 $ (1,564,284)
============ ============
- ---------------------------------------------------------------------------------------------------------------
*Audited by other Independent Registered Public Accounting Firm. (Note 15)
U.S. Government
Securities Portfolio
--------------------------
Year Ended Year Ended
December 31, December 31,
2005 2004*
---------------------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income $ 10,562,706 $ 9,421,050
Net realized gain (loss) on investments and foreign currency related
transactions 3,263,108 409,444
Net change in unrealized appreciation (depreciation) on investments and
foreign currency related transactions (3,817,590) 3,571,197
------------ ------------
Net increase in net assets resulting from operations 10,008,224 13,401,691
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (194) (9,496,007)
From net realized gains (239,219) (413,800)
------------ ------------
Net decrease in net assets resulting from distributions (239,413) (9,909,807)
------------ ------------
CAPITAL SHARE TRANSACTIONS (NOTES 5 AND 10):
Proceeds from shares sold 65,826,941 33,869,285
Net asset value of shares issued through dividend reinvestment 239,413 9,909,807
Cost of shares repurchased (28,456,411) (40,832,013)
------------ ------------
Net increase (decrease) in net assets from capital share transactions 37,609,943 2,947,079
------------ ------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 47,378,754 6,438,963
Net assets at beginning of year 216,320,919 209,881,956
------------ ------------
Net assets at end of year $263,699,673 $216,320,919
============ ============
Net assets at end of year includes accumulated undistributed (distributions
in excess of) net investment income $ 10,562,698 $ 186
============ ============
- ------------------------------------------------------------------------------------------------------------
*Audited by other Independent Registered Public Accounting Firm. (Note 15)
See notes to financial statements
138
[THIS PAGE INTENTIONALLY LEFT BLANK]
139
THE TRAVELERS SERIES TRUST
FINANCIAL HIGHLIGHTS
NET ASSET NET REALIZED/ DIVIDENDS DISTRIBUTIONS
VALUE UNREALIZED TOTAL FROM FROM NET FROM NET
BEGINNING OF NET INVESTMENT GAIN (LOSS) ON INVESTMENT INVESTMENT REALIZED
SELECTED PER SHARE DATA FOR THE YEAR ENDED: YEAR INCOME (LOSS) INVESTMENTS OPERATIONS INCOME CAPITAL GAINS
CONVERTIBLE SECURITIES PORTFOLIO ------------ -------------- -------------- ---------- ---------- -------------
12/31/2005 $12.35 $0.31 (a) $(0.27) $ 0.04 $(0.32) $(0.22)
12/31/2004++ 11.87 0.27 (a) 0.48 (a) 0.75 (0.27) --
12/31/2003++ 9.67 0.39 (a) 2.15 (a) 2.54 (0.34) --
12/31/2002++ 11.32 0.45 (a) (1.26)(a) (0.81) (0.77) (0.07)
12/31/2001++ 12.06 0.47 (a)(c) (0.56)(a)(c) (0.09) (0.21) (0.44)
- ------------------------------------- ------------ -------------- -------------- ---------- ---------- -------------
DISCIPLINED MID CAP STOCK PORTFOLIO ------------ -------------- -------------- ---------- ---------- -------------
12/31/2005 $19.76 $0.14 (a) $ 2.29 (a) $ 2.43 $ -- $(0.23)
12/31/2004++ 17.49 0.05 (a) 2.82 (a) 2.87 (0.05) (0.55)
12/31/2003++ 13.11 0.05 4.38 4.43 (0.05) --
12/31/2002++ 15.41 0.03 (2.23) (2.20) (0.08) (0.02)
12/31/2001++ 17.26 0.06 (a) (0.78)(a) (0.72) (0.04) 1.09
- ------------------------------------- ------------ -------------- -------------- ---------- ---------- -------------
EQUITY INCOME PORTFOLIO ------------ -------------- -------------- ---------- ---------- -------------
12/31/2005 $17.17 $0.19 (a) $ 0.56 (a) $ 0.75 $ -- $(0.24)
12/31/2004++ 16.59 0.21 1.39 1.60 (0.22) (0.80)
12/31/2003++ 12.75 0.14 3.83 3.97 (0.13) --
12/31/2002++ 14.99 0.16 (a) (2.25)(a) (2.09) (0.15) --
12/31/2001++ 16.26 0.20 (a) (1.27)(a) (1.07) (0.16) (0.04)
- ------------------------------------- ------------ -------------- -------------- ---------- ---------- -------------
FEDERATED HIGH YIELD PORTFOLIO ------------ -------------- -------------- ---------- ---------- -------------
12/31/2005 $ 8.62 $0.63 (a) $(0.41)(a) $ 0.22 $ -- $ --
12/31/2004++ 8.41 0.64 0.23 0.87 (0.66) --
12/31/2003++ 7.37 0.65 (a) 1.00 (a) 1.65 (0.61) --
12/31/2002++ 8.55 0.74 (a) (0.46)(a) 0.28 (1.46) --
12/31/2001++ 9.50 0.97 (a)(c) (0.77)(a)(c) 0.20 (1.15) --
- ------------------------------------- ------------ -------------- -------------- ---------- ---------- -------------
FEDERATED STOCK PORTFOLIO ------------ -------------- -------------- ---------- ---------- -------------
12/31/2005 $16.56 $0.20 (a) $ 0.68 (a) $ 0.88 $ -- $ --
12/31/2004++ 15.19 0.23 1.37 1.60 (0.23) --
12/31/2003++ 12.06 0.20 3.13 3.33 (0.20) --
12/31/2002++ 15.40 0.16 (3.13) (2.97) (0.37) --
12/31/2001++ 15.99 0.16 0.11 0.27 (0.20) (0.66)
- ------------------------------------- ------------ -------------- -------------- ---------- ---------- -------------
LARGE CAP PORTFOLIO ------------ -------------- -------------- ---------- ---------- -------------
12/31/2005 $13.93 $0.02 (a) $ 1.20 (a) $ 1.22 $ -- $ --
12/31/2004++ 13.18 0.10 0.76 0.86 (0.11) --
12/31/2003++ 10.61 0.05 2.57 2.62 (0.05) --
12/31/2002++ 13.82 0.05 (a) (3.20)(a) (3.15) (0.06) --
12/31/2001++ 16.81 0.07 (a) (2.98)(a) (2.91) (0.07) (0.01)
- ------------------------------------- ------------ -------------- -------------- ---------- ---------- -------------
** Performance figures may reflect fee waivers and/or expense reimbursements.
Past performance is no guarantee of future results. In the absense 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.
(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.
(c) Effective January 1, 2001, the Fund adopted a change in the accounting
method that requires the Fund to amortize premiums and accrete all discounts.
Per share information, ratios and supplemental data for the periods prior to
December 1, 2001 have not been restated to reflect this change in presentation.
Without the adoption of this change, for the year ended December 31, 2001, the
ratio of net investment income to average net assets would have been 3.99%. In
addition, the impact of this change to net investment income and net unrealized
loss was less than $0.01 per share for the Convertible Securities Portfolio.
Without the adoption of this change , for the year ended December 31, 2001,
those amounts would have been $0.98, $0.78 and 10.51% for net investment
income, net realized and unrealized loss and the ratio net investment income to
average net assets, respectively for the Federated High Yield Portfolio.
++ Audited by other Independent Registered Public Accounting Firm. (Note 15)
See notes to financial statements
140
RATIO OF RATIO OF NET
RATIO OF EXPENSES TO INVESTMENT
NET ASSET NET ASSETS END EXPENSES TO AVERAGE NET INCOME (LOSS)
TOTAL VALUE END OF YEAR AVERAGE NET ASSETS BEFORE TO AVERAGE NET PORTFOLIO
DISTRIBUTIONS OF YEAR TOTAL RETURN** (IN MILLIONS) ASSETS REIMBURSEMENT ASSETS TURNOVER RATE
- ------------- --------- -------------- -------------- ----------- ------------- -------------- -------------
$(0.54) $11.85 0.34 % $104 0.75% 0.75% 2.51% 150%
(0.27) 12.35 6.29 109 0.74(b) 0.75 2.50 32
(0.34) 11.87 26.26 76 0.78 0.78 3.61 44
(0.84) 9.67 (6.99) 49 0.80(b) 0.81 4.36 46
(0.65) 11.32 (0.82) 50 0.79 0.79 3.95(c) 56
- ----------- --------- -------------- -------------- ----------- ------------- -------------- -------------
- ------------- --------- -------------- -------------- ----------- ------------- -------------- -------------
$(0.23) $21.96 12.42 % $207 0.82% 0.82% 0.68% 116%
(0.60) 19.76 16.45 198 0.80(b) 0.82 0.28 91
(0.05) 17.49 33.75 165 0.82 0.82 0.38 61
(0.10) 13.11 (14.32) 111 0.85 0.85 0.23 67
(1.13) 15.41 (4.02) 113 0.83 0.83 0.37 40
- ----------- --------- -------------- -------------- ----------- ------------- -------------- -------------
- ------------- --------- -------------- -------------- ----------- ------------- -------------- -------------
$(0.24) $17.68 4.47 % $374 0.85% 0.85% 1.14% 150%
(1.02) 17.17 9.88 359 0.85(b) 0.86 1.35 119
(0.13) 16.59 31.17 297 0.87 0.87 1.11 141
(0.15) 12.75 (13.94) 191 0.84 0.84 1.14 131
(0.20) 14.99 (6.61) 200 0.85 0.85 1.28 121
- ----------- --------- -------------- -------------- ----------- ------------- -------------- -------------
- ------------- --------- -------------- -------------- ----------- ------------- -------------- -------------
$ -- $ 8.84 2.55 % $ 84 0.87% 0.87% 7.28% 36%
(0.66) 8.62 10.38 87 0.83(b) 0.87 7.42 38
(0.61) 8.41 22.39 76 0.90 0.90 7.93 57
(1.46) 7.37 3.72 48 0.89 0.89 9.09 58
(1.15) 8.55 1.94 40 0.89 0.89 10.45(c) 44
- ----------- --------- -------------- -------------- ----------- ------------- -------------- -------------
- ------------- --------- -------------- -------------- ----------- ------------- -------------- -------------
$ -- $17.44 5.31 % $ 28 0.95% 0.97% 1.21% 44%
(0.23) 16.56 10.55 33 0.83 0.94 1.42 31
(0.20) 15.19 27.61 32 0.91 0.91 1.50 41
(0.37) 12.06 (19.32) 27 0.84 0.84 1.14 13
(0.86) 15.40 1.67 44 0.81 0.81 0.99 14
- ----------- --------- -------------- -------------- ----------- ------------- -------------- -------------
- ------------- --------- -------------- -------------- ----------- ------------- -------------- -------------
$ -- $15.15 8.69 % $266 0.86% 0.86% 0.11% 217%
(0.11) 13.93 6.52 268 0.86(b) 0.86 0.81 56
(0.05) 13.18 24.67 228 0.86 0.86 0.43 60
(0.06) 10.61 (22.79) 180 0.85 0.85 0.44 95
(0.08) 13.82 (17.33) 249 0.83 0.83 0.50 131
- ----------- --------- -------------- -------------- ----------- ------------- -------------- -------------
See notes to financial statements
141
THE TRAVELERS SERIES TRUST
FINANCIAL HIGHLIGHTS
NET ASSET NET REALIZED/ DIVIDENDS
VALUE UNREALIZED TOTAL FROM FROM NET
BEGINNING OF NET INVESTMENT GAIN (LOSS) ON INVESTMENT INVESTMENT
SELECTED PER SHARE DATA FOR THE PERIOD ENDED: PERIOD INCOME (LOSS) INVESTMENTS OPERATIONS INCOME
MANAGED ALLOCATION SERIES: AGGRESSIVE PORTFOLIO ------------ -------------- -------------- ---------- ----------
05/01/2005 to 12/31/2005 (c) $10.00 $(0.01)(a)(d) $ 1.26 (a) $ 1.25 $ --
- ------------------------------------- ------------ -------------- -------------- ---------- ----------
MANAGED ALLOCATION SERIES: CONSERVATIVE PORTFOLIO ------------ -------------- -------------- ---------- ----------
05/01/2005 to 12/31/2005 (c) $10.00 $ 0.12 (a)(d) $ 0.30 (a) $ 0.42 $(0.06)
- ------------------------------------- ------------ -------------- -------------- ---------- ----------
MANAGED ALLOCATION SERIES: MODERATE PORTFOLIO ------------ -------------- -------------- ---------- ----------
05/01/2005 to 12/31/2005 (c) $10.00 $ 0.14 (a)(d) $ 0.72 (a) $ 0.86 $(0.05)
- ------------------------------------- ------------ -------------- -------------- ---------- ----------
MANAGED ALLOCATION SERIES: MODERATE-AGGRESSIVE PORTFOLIO ------------ -------------- -------------- ---------- ----------
05/01/2005 to 12/31/2005 (c) $10.00 $ 0.12 (a)(d) $ 0.86 (a) $ 0.98 $(0.05)
- ------------------------------------- ------------ -------------- -------------- ---------- ----------
MANAGED ALLOCATION SERIES: MODERATE-CONSERVATIVE PORTFOLIO ------------ -------------- -------------- ---------- ----------
05/01/2005 to 12/31/2005 (c) $10.00 $ 0.09 (a)(d) $ 0.54 (a) $ 0.63 $(0.05)
- ------------------------------------- ------------ -------------- -------------- ---------- ----------
MERCURY LARGE CAP CORE PORTFOLIO ------------ -------------- -------------- ---------- ----------
12/31/2005 $ 9.05 $ 0.02 (a) $ 1.07 (a) $ 1.09 $ --
12/31/2004++ 7.85 0.04 1.21 1.25 (0.05)
12/31/2003++ 6.52 0.05 1.33 1.38 (0.05)
12/31/2002++ 8.77 0.03 (a) (2.23)(a) (2.20) (0.05)
12/31/2001++ 12.15 0.01 (a) (2.74)(a) (2.73) --+
- ------------------------------------- ------------ -------------- -------------- ---------- ----------
MFS MID CAP GROWTH PORTFOLIO ------------ -------------- -------------- ---------- ----------
12/31/2005 $ 7.85 $ (0.03)(a) $ 0.27 (a) $ 0.24 $ --
12/31/2004++ 6.88 (0.05)(a) 1.02 (a) 0.97 --
12/31/2003++ 5.02 (0.03) 1.89 1.86 --
12/31/2002++ 9.81 (0.04)(a) (4.75)(a) (4.79) --
12/31/2001++ 16.75 (0.06)(a) (3.90)(a) (3.96) --
- ------------------------------------- ------------ -------------- -------------- ---------- ----------
MFS VALUE PORTFOLIO ------------ -------------- -------------- ---------- ----------
12/31/2005 $12.32 $ 0.17 (a) $ 0.63 (a) $ 0.80 $(0.15)
12/31/2004++ 10.83 0.14 1.59 1.73 (0.14)
12/31/2003++ 8.80 0.13 2.04 2.17 (0.14)
12/31/2002++ 10.83 0.12 (1.53) (1.41) (0.21)
12/31/2001++ 10.89 0.11 (a) -- +(a) 0.11 (0.08)
- ------------------------------------- ------------ -------------- -------------- ---------- ----------
DISTRIBUTIONS
FROM NET
REALIZED
SELECTED PER SHARE DATA FOR THE PERIOD ENDED: CAPITAL GAINS
MANAGED ALLOCATION SERIES: AGGRESSIVE PORTFOLIO -------------
05/01/2005 to 12/31/2005 (c) $(0.01)
- ------------------------------------- -------------
MANAGED ALLOCATION SERIES: CONSERVATIVE PORTFOLIO -------------
05/01/2005 to 12/31/2005 (c) $(0.02)
- ------------------------------------- -------------
MANAGED ALLOCATION SERIES: MODERATE PORTFOLIO -------------
05/01/2005 to 12/31/2005 (c) $(0.01)
- ------------------------------------- -------------
MANAGED ALLOCATION SERIES: MODERATE-AGGRESSIVE PORTFOLIO -------------
05/01/2005 to 12/31/2005 (c) $(0.01)
- ------------------------------------- -------------
MANAGED ALLOCATION SERIES: MODERATE-CONSERVATIVE PORTFOLIO -------------
05/01/2005 to 12/31/2005 (c) $ --
- ------------------------------------- -------------
MERCURY LARGE CAP CORE PORTFOLIO -------------
12/31/2005 $ --
12/31/2004++ --
12/31/2003++ --
12/31/2002++ --
12/31/2001++ --
- ------------------------------------- -------------
MFS MID CAP GROWTH PORTFOLIO -------------
12/31/2005 $ --
12/31/2004++ --
12/31/2003++ --
12/31/2002++ --
12/31/2001++ (2.98)
- ------------------------------------- -------------
MFS VALUE PORTFOLIO -------------
12/31/2005 $(0.53)
12/31/2004++ (0.10)
12/31/2003++ --
12/31/2002++ (0.41)
12/31/2001++ (0.09)
- ------------------------------------- -------------
* Annualized
** Performance figures may reflect fee waivers and/or expense reimbursements.
Past performance is no guarantee of future results. In the absense 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.
+ Rounds to less than $0.005 per share
N/A Not Applicable
(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.
(c) Portfolio commenced operations on May 1, 2005.
++ Audited by other Independent Public Accounting Firm. (Note 15)
See notes to financial statements
142
RATIO OF RATIO OF NET
RATIO OF EXPENSES TO INVESTMENT
NET ASSET NET ASSETS END EXPENSES TO AVERAGE NET INCOME (LOSS)
TOTAL VALUE END OF PERIOD AVERAGE NET ASSETS BEFORE TO AVERAGE NET PORTFOLIO
DISTRIBUTIONS OF PERIOD TOTAL RETURN** (IN MILLIONS) ASSETS REIMBURSEMENT ASSETS TURNOVER RATE
- ------------- --------- -------------- -------------- ----------- ------------- -------------- -------------
$(0.01) $11.24 12.52 % $ 5 0.35%* 3.10%* (0.08)%*(d) 2%
- ----------- --------- -------------- -------------- ----------- ------------- -------------- -------------
- ------------- --------- -------------- -------------- ----------- ------------- -------------- -------------
$(0.08) $10.34 4.18 % $ 5 0.35%* 3.58%* 1.51 %*(d) 14%
- ----------- --------- -------------- -------------- ----------- ------------- -------------- -------------
- ------------- --------- -------------- -------------- ----------- ------------- -------------- -------------
$(0.06) $10.80 8.60 % $ 22 0.35%* 1.06%* 1.54 %*(d) 5%
- ----------- --------- -------------- -------------- ----------- ------------- -------------- -------------
- ------------- --------- -------------- -------------- ----------- ------------- -------------- -------------
$(0.06) $10.92 9.77 % $ 25 0.35%* 0.88%* 1.36 %*(d) 1%
- ----------- --------- -------------- -------------- ----------- ------------- -------------- -------------
- ------------- --------- -------------- -------------- ----------- ------------- -------------- -------------
$(0.05) $10.58 6.32 % $ 4 0.35%* 3.40%* 1.07 %*(d) 1%
- ----------- --------- -------------- -------------- ----------- ------------- -------------- -------------
- ------------- --------- -------------- -------------- ----------- ------------- -------------- -------------
$ -- $10.14 12.04 % $131 0.91% 0.91% 0.23 % 79%
(0.05) 9.05 15.89 126 0.92(b) 0.95 0.51 136
(0.05) 7.85 21.16 115 0.99 0.99 0.67 182
(0.05) 6.52 (25.14) 106 0.94 0.94 0.44 104
-- 8.77 (22.45) 166 0.92 0.92 0.10 98
- ----------- --------- -------------- -------------- ----------- ------------- -------------- -------------
- ------------- --------- -------------- -------------- ----------- ------------- -------------- -------------
$ -- $ 8.09 3.06 % $335 0.88% 0.88% (0.38)% 104%
-- 7.85 14.10 211 0.91(b) 0.93 (0.64) 81
-- 6.88 37.05 193 0.92 0.92 (0.49) 98
-- 5.02 (48.83) 138 0.93 0.93 (0.56) 167
-- 9.81 (23.62) 279 0.92 0.92 (0.49) 96
- ----------- --------- -------------- -------------- ----------- ------------- -------------- -------------
- ------------- --------- -------------- -------------- ----------- ------------- -------------- -------------
$(0.68) $12.44 6.44 % $ 79 0.99% 1.00% 1.36 % 23%
(0.24) 12.32 15.97 47 1.00 1.14 1.30 47
(0.14) 10.83 24.61 40 1.00 1.08 1.44 57
(0.62) 8.80 (13.14) 31 1.00 1.13 1.38 60
(0.17) 10.83 1.00 32 1.00 1.11 1.01 123
- ----------- --------- -------------- -------------- ----------- ------------- -------------- -------------
See notes to financial statements
143
THE TRAVELERS SERIES TRUST
FINANCIAL HIGHLIGHTS
NET ASSET NET REALIZED/ DIVIDENDS DISTRIBUTIONS
VALUE UNREALIZED TOTAL FROM FROM NET FROM NET
BEGINNING OF NET INVESTMENT GAIN (LOSS) ON INVESTMENT INVESTMENT REALIZED
SELECTED PER SHARE DATA FOR THE PERIOD ENDED: PERIOD INCOME (LOSS) INVESTMENTS OPERATIONS INCOME CAPITAL GAINS
MONDRIAN INTERNATIONAL STOCK PORTFOLIO ------------ -------------- -------------- ---------- ---------- -------------
12/31/2005 $11.42 $ 0.27 (a) $ 0.82 (a) $ 1.09 $(0.01) $ --
12/31/2004++ 10.01 0.14 (a) 1.44 (a) 1.58 (0.17) --
12/31/2003++ 7.91 0.15 (a) 2.11 (a) 2.26 (0.16) --
12/31/2002++ 9.30 0.11 (a) (1.31)(a) (1.20) (0.19) --
12/31/2001++ 13.15 0.11 (a) (3.50)(a) (3.39) (0.02) (0.44)
- ---------------------------------- ------------ -------------- -------------- ---------- ---------- -------------
PIONEER FUND PORTFOLIO ------------ -------------- -------------- ---------- ---------- -------------
12/31/2005 $12.03 $ 0.13 (a) $ 0.59 (a) $ 0.72 $ -- $ --
12/31/2004++ 10.92 0.11 (a) 1.11 (a) 1.22 (0.11) --
12/31/2003++ 8.94 0.15 (a) 1.98 (a) 2.13 (0.15) --
12/31/2002++ 13.87 0.32 (a) (4.47)(a) (4.15) (0.78) --
12/31/2001++ 19.22 0.37 (a) (4.65)(a) (4.28) (0.30) (0.77)
- ---------------------------------- ------------ -------------- -------------- ---------- ---------- -------------
PIONEER MID CAP VALUE PORTFOLIO ------------ -------------- -------------- ---------- ---------- -------------
05/01/2005 to 12/31/2005 (e) $10.00 $ 0.03 (a) $ 0.95 (a) $ 0.98 $(0.02) $(0.18)
- ---------------------------------- ------------ -------------- -------------- ---------- ---------- -------------
STYLE FOCUS SERIES: SMALL CAP GROWTH PORTFOLIO ------------ -------------- -------------- ---------- ---------- -------------
05/01/2005 to 12/31/2005 (e) $10.00 $(0.05)(a) $ 1.59 (a) $ 1.54 $ -- $(0.22)
- ---------------------------------- ------------ -------------- -------------- ---------- ---------- -------------
STYLE FOCUS SERIES: SMALL CAP VALUE PORTFOLIO ------------ -------------- -------------- ---------- ---------- -------------
05/01/2005 to 12/31/2005 (e) $10.00 $ 0.07 (a) $ 1.30 (a) $ 1.37 $(0.05) $(0.12)
- ---------------------------------- ------------ -------------- -------------- ---------- ---------- -------------
TRAVELERS QUALITY BOND PORTFOLIO ------------ -------------- -------------- ---------- ---------- -------------
12/31/2005 $11.03 $ 0.40 (a) $(0.22)(a) $ 0.18 $ -- $ --
12/31/2004++ 11.21 0.41 (a) (0.04)(a) 0.37 (0.55) --
12/31/2003++ 11.03 0.48 (a) 0.29 (a) 0.77 (0.56) (0.03)
12/31/2002++ 11.39 0.51 (a) 0.14 (a) 0.65 (0.85) (0.16)
12/31/2001++ 11.00 0.59 (a)(c) 0.20 (a)(c) 0.79 (0.40) --
- ---------------------------------- ------------ -------------- -------------- ---------- ---------- -------------
U.S. GOVERNMENT SECURITIES PORTFOLIO ------------ -------------- -------------- ---------- ---------- -------------
12/31/2005 $12.75 $0.55 $ -- (a) $ 0.55 $ -- + $(0.01)
12/31/2004++ 12.59 0.58 0.18 0.76 (0.58) (0.02)
12/31/2003++ 13.14 0.56 (a) (0.20)(a) 0.36 (0.68) (0.23)
12/31/2002++ 12.44 0.63 (a) 1.05 (a) 1.68 (0.89) (0.09)
12/31/2001++ 12.22 0.69 (a) 0.02 (a) 0.71 (0.49) --
- ---------------------------------- ------------ -------------- -------------- ---------- ---------- -------------
* Annualized
** Performance figures may reflect fee waivers and/or expense reimbursements.
Past performance is no guarantee of future results. In the absense 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.
+ 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.
(c) Effective January 1, 2001, the Fund adopted a change in the accounting
method that requires the Fund to amortize premiums and accrete all discounts.
Per share information, ratios and supplemental data for the periods prior to
December 1, 2001 have not been restated to reflect this change in presentation.
Without the adoption of this change , for the year ended December 31, 2001,
those amounts would have been $0.61, $0.18 and 5.31% for net investment income,
net realized and unrealized loss and the ratio net investment income to average
net assets, respectively for the Travelers Quality Bond Portfolio.
(d) Excluding mortgage dollar roll transactions. If mortgage dollar roll
transactions had been included, the portfolio turnover rate would have been
354%, 276% and 168% for the years ended December 31, 2005, 2004 and 2003,
respectively.
(e) Portfolio commenced operations on May 1, 2005.
++ Audited by other Independent Public Accounting Firm. (Note 15)
See notes to financial statements
144
RATIO OF RATIO OF NET
RATIO OF EXPENSES TO INVESTMENT
NET ASSET NET ASSETS END EXPENSES TO AVERAGE NET INCOME (LOSS)
TOTAL VALUE END OF PERIOD AVERAGE NET ASSETS BEFORE TO AVERAGE NET PORTFOLIO
DISTRIBUTIONS OF PERIOD TOTAL RETURN** (IN MILLIONS) ASSETS REIMBURSEMENT ASSETS TURNOVER RATE
- ------------- --------- -------------- -------------- ----------- ------------- -------------- -------------
$(0.01) $12.50 9.52 % $204 0.91% 0.91% 2.34 % 101%
(0.17) 11.42 15.75 181 0.99(b) 1.01 1.38 59
(0.16) 10.01 28.60 128 1.00 1.00 1.79 44
(0.19) 7.91 (12.96) 97 1.06 1.06 1.32 55
(0.46) 9.30 (26.19) 120 1.01 1.01 1.01 81
- ----------- --------- -------------- -------------- ----------- ------------- -------------- -------------
- ------------- --------- -------------- -------------- ----------- ------------- -------------- -------------
$ -- $12.75 5.99 % $ 46 1.01% 1.01% 1.03 % 16%
(0.11) 12.03 11.13 33 0.99(b) 1.12 0.98 19
(0.15) 10.92 23.78 27 1.12 1.12 1.56 98
(0.78) 8.94 (30.21) 22 0.90 0.90 2.88 25
(1.07) 13.87 (23.00) 39 0.81 0.81 2.18 20
- ----------- --------- -------------- -------------- ----------- ------------- -------------- -------------
- ------------- --------- -------------- -------------- ----------- ------------- -------------- -------------
$(0.20) $10.78 9.84 % $ 6 1.00%* 3.08%* 0.43 %* 44%
- ----------- --------- -------------- -------------- ----------- ------------- -------------- -------------
- ------------- --------- -------------- -------------- ----------- ------------- -------------- -------------
$(0.22) $11.32 15.37 % $ 6 1.10%* 3.51%* (0.60)%* 58%
- ----------- --------- -------------- -------------- ----------- ------------- -------------- -------------
- ------------- --------- -------------- -------------- ----------- ------------- -------------- -------------
$(0.17) $11.20 13.56 % $ 5 1.10%* 3.83%* 0.86 %* 55%
- ----------- --------- -------------- -------------- ----------- ------------- -------------- -------------
- ------------- --------- -------------- -------------- ----------- ------------- -------------- -------------
$ -- $11.21 1.63 % $179 0.45% 0.45% 3.60 % 78%
(0.55) 11.03 3.29 189 0.42(b) 0.44 3.62 90
(0.59) 11.21 6.98 209 0.43 0.43 4.15 191
(1.01) 11.03 5.81 206 0.44 0.44 4.48 176
(0.40) 11.39 7.13 152 0.45 0.45 5.14(c) 225
- ----------- --------- -------------- -------------- ----------- ------------- -------------- -------------
- ------------- --------- -------------- -------------- ----------- ------------- -------------- -------------
$(0.01) $13.29 4.33 % $264 0.43% 0.43% 4.22 % 99%(d)
(0.60) 12.75 6.13 216 0.42(b) 0.43 4.47 150(d)
(0.91) 12.59 2.75 210 0.42 0.42 4.23 143(d)
(0.98) 13.14 13.63 244 0.44 0.44 4.82 165
(0.49) 12.44 5.82 126 0.45 0.45 5.55 327
- ----------- --------- -------------- -------------- ----------- ------------- -------------- -------------
See notes to financial statements
145
THE TRAVELERS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2005
1. ORGANIZATION
The 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"). The Trust currently offers
twenty-eight portfolios, of which seven are non-diversified (each, a
"Portfolio" and collectively, the "Portfolios"), each of which operates as a
distinct investment vehicle of the Trust. The non-diversified Portfolios are
MFS Mid Cap Growth Portfolio, Salomon Brothers Strategic Total Return
Portfolio, Managed Allocation Series: Aggressive Growth Portfolio, Managed
Allocation Series: Conservative Portfolio, Managed Allocation Series: Moderate
Portfolio, Managed Allocation Series: Moderate-Aggressive Portfolio, and
Managed Allocation Series: Moderate-Conservative Portfolio. As of December 31,
2005, the twenty-one Portfolios included in this report are as follows:
Convertible Securities Portfolio, Disciplined Mid Cap Stock Portfolio, Equity
Income Portfolio, Federated High Yield Portfolio, Federated Stock Portfolio,
Large Cap Portfolio, Managed Allocation Series: Aggressive Growth Portfolio
(commenced operations 05/01/2005), Managed Allocation Series: Conservative
Portfolio (commenced operations 05/01/2005), Managed Allocation Series:
Moderate Portfolio (commenced operations 05/01/2005), Managed Allocation
Series: Moderate-Aggressive Portfolio (commenced operations 05/01/2005),
Managed Allocation Series: Moderate-Conservative Portfolio (commenced
operations 05/01/2005), Mercury Large Cap Core Portfolio (formerly Merrill
Lynch Large Cap Core Portfolio), MFS Mid Cap Growth Portfolio, MFS Value
Portfolio, Mondrian International Stock Portfolio (formerly Lazard
International Stock Portfolio), Pioneer Fund Portfolio, Pioneer Mid Cap Value
Portfolio, Style Focus Series: Small Cap Growth Portfolio (commenced operations
05/01/2005), Style Focus Series: Small Cap Value Portfolio (commenced
operations 05/01/2005), Travelers Quality Bond Portfolio, and U.S. Government
Securities Portfolio.
Shares of the Trust are offered exclusively for use with certain variable
annuity and variable life insurance contracts offered through 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
146
THE TRAVELERS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2005
2. SIGNIFICANT ACCOUNTING POLICIES - CONTINUED
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 that
relate to wash sales, treatment of passive foreign investment company
marked-to-market and book/tax differences in premium amortization.
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 December 31, 2005, the
accumulated capital loss carryforwards and expiration dates by the Portfolios
were as follows:
Expiring Expiring Expiring Expiring Expiring
Portfolio 12/31/2009 12/31/2010 12/31/2011 12/31/2012 12/31/2013 Total
- --------- ----------- ------------ ----------- ---------- ---------- ------------
Federated High Yield Portfolio $ 4,648,588 $ 6,217,956 $ 1,599,086 $ -- $ 825,797 $ 13,291,427
Large Cap Portfolio 4,567,057 52,058,326 14,415,260 -- -- 71,040,643
Mercury Large Cap Core Portfolio 24,394,135 38,835,384 -- -- -- 63,229,519
MFS Mid Cap Growth Portfolio 76,432,761 296,207,308 5,221,538 -- -- 377,861,607
Mondrian International Stock Portfolio -- 7,425,827 7,456,114 -- -- 14,881,941
Pioneer Fund Portfolio -- 11,933,489 1,284,282 -- -- 13,217,771
Travelers Quality Bond Portfolio -- -- 1,232,729 452,203 2,723,770 4,408,702
(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) SECURITY 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.
147
THE TRAVELERS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2005
2. SIGNIFICANT ACCOUNTING POLICIES - CONTINUED
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.
(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.
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) MORTGAGE DOLLAR ROLLS - U.S. Government Securities Portfolio may enter into
dollar rolls in which the Portfolio sells mortgage-backed securities for
delivery in the current month and simultaneously contract to repurchase
substantially similar (same type, coupon and maturity) securities to settle on
a specified future date. During the roll period, the Portfolio forgos 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 December 31, 2005 was approximately $49,938,210 for the U.S.
Government Securities 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.
(M) FUND CONCENTRATION - The investments by Mondrian International Stock
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 value of the investments and
earnings of Mondrian International Stock Portfolio. Foreign investments may
also subject Mondrian International Stock 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.
(N) CREDIT AND MARKET RISK - Federated High Yield 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.
148
THE TRAVELERS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2005
2. SIGNIFICANT ACCOUNTING POLICIES - CONTINUED
(O) LOAN PARTICIPATIONS - Equity Income Portfolio, Federated High Yield
Portfolio, Federated Stock Portfolio, Large Cap Portfolio, Pioneer Fund
Portfolio, and MFS Value 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.
3. INVESTMENT MANAGEMENT AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES
Travelers Asset Management International Company LLC ("TAMIC") manages the
investment operations of each Portfolio pursuant to management agreements
entered into by the Trust on behalf of each TAMIC 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, Inc. ("Citigroup"). TAMIC has
entered into sub-advisory agreements with Janus Capital Management LLC, Merrill
Lynch Investment Managers, L.P., Salomon Brothers Asset Management Inc., TIMCO
Asset Management, Inc. ("TIMCO"), Fidelity Management & Research Company,
Federated Investment Management Company, Federated Equity Management Company of
Pennsylvania, Deutsche Investment Management Americas, Inc., Massachusetts
Financial Services Company, Mondrian Investment Partners Ltd., Pioneer
Investment Management, Inc., and Dreman Value Management L.L.C., (the
"Advisers") for investment advisory services in connection with the investment
management of the Portfolios.
On July 1, 2005, Salomon Brothers Asset Management Inc. ("SaBAM") began to
perform subadvisory services under a subadvisory agreement between TAMIC and
SaBAM for Convertible Securities Portfolio, Travelers Quality Bond Portfolio,
and U.S. Government Securities Portfolio. Prior to July 1, 2005, these
Portfolios were managed directly by TAMIC without a subadviser. SaBAM is 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 agreements, SaBAM is responsible for the day to day portfolio
operations and investment decisions for the Convertible Securities Portfolio,
Travelers Quality Bond Portfolio, and U.S. Government Securities Portfolio and
is compensated for such services by TAMIC at an annual rate of 0.25%, 0.20%,
and 0.20% respectively.
Subject to the supervision and direction of the Trustees of the Trust, TAMIC
supervises the Advisers and has full discretion with respect to the retention
or renewal of the advisory agreements. TAMIC pays the Advisers a fee based on
the Portfolio's average daily net assets.
Under the terms of the Portfolios' investment advisory agreement, the
Portfolios pay the TAMIC a monthly fee based upon annual rates applied to each
of the Portfolios' average daily net assets as follows:
Management Fees earned by
TAMIC for the year ended
Portfolio December 31, 2005 % per annum Average Daily Assets
- --------- ------------------------- ----------- ------------------------------------
Convertible Securities Portfolio $ 628,179 0.60% All
Disciplined Mid Cap Stock Portfolio 1,383,571 0.70% All
Equity Income Portfolio 2,668,019 0.75% First $250 Million
0.70% Over $250 Million up to $750 Million
0.65% Over $750 Million
Federated High Yield Portfolio 555,974 0.65% All
Federated Stock Portfolio 188,301 0.625% All
Large Cap Portfolio 1,947,041 0.75% First $250 Million
0.70% Over $250 Million to $750 Million
0.65% Over $750 Million
149
THE TRAVELERS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2005
3. INVESTMENT MANAGEMENT AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES -
CONTINUED
Management Fees earned by
TAMIC for the period ended
Portfolio December 31, 2005 % per annum Average Daily Assets
- --------- -------------------------- ----------- ----------------------------------
Managed Allocation Series: Aggressive
Portfolio *(a) $ 2,962 0.15% First $100 million
0.10% Over $100 Million to $500 Million
0.05% Over $500 Million
Managed Allocation Series: Conservative
Portfolio *(a) 2,535 0.15% First $100 million
0.10% Over $100 Million to $500 Million
0.05% Over $500 Million
Managed Allocation Series: Moderate
Portfolio*(a) 10,031 0.15% First $100 million
0.10% Over $100 Million to $500 Million
0.05% Over $500 Million
Managed Allocation Series: Moderate-
Aggressive Portfolio *(a) 12,733 0.15% First $100 million
0.10% Over $100 Million to $500 Million
0.05% Over $500 Million
Managed Allocation Series: Moderate-
Conservative Portfolio*(a) 2,684 0.15% First $100 million
0.10% Over $100 Million to $500 Million
0.05% Over $500 Million
Mercury Large Cap Core Portfolio 980,510 0.775% First $250 Million
0.75% Over $250 Million to $ 500 Million
0.725% Over $750 Million to $1 Billion
0.70% Over $1 Billion to $2 Billion
0.625% Over $2 Billion
MFS Mid Cap Growth Portfolio 2,395,094 0.7775% First $600 Million
0.7525% Over $600 Million to $900 Million
0.7275% Over $900 Million to $1.5 Billion
0.7025% Over $1.5 Billion to $2.5 Billion
0.6525% Over $2.5 Billion
MFS Value Portfolio 465,377 0.75% First $600 Million
0.725% Over $600 Million to $ 900 Million
0.70% Over $900 Million to $1.5 Billion
0.675% Over $1.5 Billion to $2.5 Billion
0.625% Over $2.5 Billion
Mondrian International Stock Portfolio 1,410,238 0.775% First $100 Million
0.65% Over $100 Million
0.725% Over $750 Million to $1 Billion
150
THE TRAVELERS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2005
3. INVESTMENT MANAGEMENT AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES -
CONTINUED
Management Fees earned by
TAMIC for the year ended
Portfolio December 31, 2005 % per annum Average Daily Assets
- --------- ------------------------- ----------- ----------------------------------
Pioneer Fund Portfolio $283,477 0.75% First $250 Million
0.70% Over $250 Million to $500 Million
0.675% Over $500 Million to $1 Billion
0.65% Over $1 Billion to $2 Billion
0.60% Over $2 Billion
Pioneer Mid Cap Value Portfolio* 22,433 0.75% First $250 Million
0.70% Over $250 Million to $ 500 Million
0.675% Over $500 Million to $1 Billion
0.65% Over $1 Billion to $2 Billion
0.60% Over $2 Billion
Style Focus Series: Small Cap Growth
Portfolio* 26,177 0.85% First $100 Million
0.80% Over $100 Million to $250 Million
0.775% Over $250 Million to $ 500 Million
0.75% Over $500 Million to $750 Million
0.725% Over $750 Million to $1 Billion
0.70% Over $1 Billion
Style Focus Series: Small Cap Value Portfolio* 22,380 0.825% First $50 Million
0.80% Over $50 Million to $100 Million
0.775% Over $100 Million to $500 Million
0.75% Over $500 Million to $1 Billion
0.725% Over $2 Billion
Travelers Quality Bond Portfolio 596,346 0.3233% All
U.S. Government Securities Portfolio 809,925 0.3233% All
* For the period from 5/1/2005 (commencement of operations) through 12/31/2005.
(a) The Managed Allocation Series Portfolios operate as a fund of funds and
indirectly pay TAMIC an additional advisory fee through investments in
underlying Portfolios.
TAMIC has entered into an expense limitation agreement with the Trust ("Expense
Limitation Agreement") in the interest of limiting expenses of each Portfolio.
This limitation can be terminated at any time by TAMIC. Pursuant to that
Expense Limitation Agreement, TAMIC has agreed to waive or limit fees and to
assume other expenses so that the total annual operating expenses of each
Portfolio other than interest, taxes, brokerage commissions, other expenditures
which are capitalized in accordance with generally accepted accounting
principles, other extraordinary expense not incurred in the ordinary course of
each Portfolio's business and are limited to the following respective expense
ratios as a percentage of each Portfolios' average daily net assets:
Maximum Expense Ratio
under current Expense
Portfolio Limitation Agreement
--------- ---------------------
Convertible Securities Portfolio 0.80%
Disciplined Mid Cap Stock Portfolio 0.95%
Equity Income Portfolio 0.95%
151
THE TRAVELERS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2005
3. INVESTMENT MANAGEMENT AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES -
CONTINUED
Maximum Expense Ratio
under current Expense
Portfolio Limitation Agreement
- --------- ---------------------
Federated High Yield Portfolio 0.95%
Federated Stock Portfolio 0.95%
Large Cap Portfolio 0.95%
Managed Allocation Series: Aggressive Portfolio 0.35%
Managed Allocation Series: Conservative Portfolio 0.35%
Managed Allocation Series: Moderate Portfolio 0.35%
Managed Allocation Series: Moderate-Aggressive Portfolio 0.35%
Managed Allocation Series: Moderate-Conservative
Portfolio 0.35%
Mercury Large Cap Core Portfolio 1.00%
MFS Mid Cap Growth Portfolio 1.00%
MFS Value Portfolio 1.00%
Mondrian International Stock Portfolio 1.25%
Pioneer Fund Portfolio 1.25%
Pioneer Mid Cap Value Portfolio 1.00%
Style Focus Series: Small Cap Growth Portfolio 1.10%
Style Focus Series: Small Cap Value Portfolio 1.10%
Travelers Quality Bond Portfolio 0.75%
U.S. Government Securities Portfolio 1.25%
The Travelers Insurance Company ("TIC"), an indirect wholly-owned subsidiary of
MetLife, acts as the Portfolios' administrator. As compensation for its
services, the Portfolios pay TIC an administration fee calculated at the annual
rate of 0.06% of each Portfolio's average daily net assets. The fee is
calculated daily and paid monthly.
Effective July 1, 2005, TIC entered into a sub-administrative service agreement
with State Street Bank and Trust Company ("State Street"), 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 calculated at an annual rate of 0.02% of the respective average daily net
assets of each Portfolio, plus $30,000 per portfolio, subject to a maximum of
0.06% of each respective Portfolio's average daily net assets.
PFPC, Inc. acts as the transfer agent for the Portfolios. Prior to July 1,
2005, Citigroup Trust Bank, fsb. ("CTB"), a subsidiary of Citigroup, acted as
the Portfolios' transfer agent. For the year ended December 31, 2005, the
Portfolios did not pay transfer agent fees to CTB.
152
THE TRAVELERS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2005
3. INVESTMENT MANAGEMENT AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES -
CONTINUED
For the year ended December 31, 2005, Citigroup Global Markets Inc. ("CGM"), an
indirect wholly-owned subsidiary of Citigroup, and its affiliates received
brokerage commissions as follows:
Portfolio Total
--------- -------
Equity Income Portfolio $48,745
Federated Stock Portfolio 685
Large Cap Portfolio 51,470
Mercury Large Cap Core Portfolio 960
MFS Mid Cap Growth Portfolio 37,198
MFS Value Portfolio 811
Mondrian International Stock Portfolio 362
Pioneer Mid Cap Value Portfolio 338
4. ACQUISITION
On February 25, 2005, MFS Mid Cap Growth Portfolio acquired the assets and
certain liabilities of MFS Emerging Growth Portfolio pursuant to a plan of
reorganization approved by MFS Emerging Growth Portfolio shareholders on
February 18, 2005. Total shares issued by MFS Mid Cap Growth Portfolio, the
total net assets of MFS Emerging Growth Portfolio and total net assets of MFS
Mid Cap Growth Portfolio on the date of the transfer were as follows:
TOTAL NET TOTAL NET
SHARES ISSUED ASSETS OF ASSETS OF
BY MFS MID MFS EMERGING MFS MID CAP
CAP GROWTH GROWTH GROWTH
PORTFOLIO PORTFOLIO PORTFOLIO
ACQUIRED FUND ------------- ------------ ------------
MMFS Emerging Growth Portfolio 20,794,404 $157,413,642 $201,456,429
-------------------------------- ------------- ------------ ------------
The total net assets of MFS Emerging Growth Portfolio before acquisition
included unrealized appreciation of $24,768,545. Total net assets of MFS Mid
Cap Growth Portfolio immediately after the transfer were $358,870,071. The
transaction was structured to qualify as a tax-free reorganization under the
Internal Revenue Code of 1986, as amended.
5. SHARES OF BENEFICIAL INTEREST
The Declaration of Trust authorizes the issuance of an unlimited number of
shares of beneficial interest without par value. Transactions in shares of the
Portfolios were as follows:
SHARES ISSUED NET INCREASE
THROUGH (DECREASE)
BEGINNING SHARES DIVIDEND SHARES IN SHARES ENDING
SHARES SOLD REINVESTMENT REPURCHASED OUTSTANDING SHARES
CONVERTIBLE SECURITIES PORTFOLIO ---------- --------- ------------- ----------- ------------ ----------
12/31/2005 8,853,796 1,030,266 385,240 (1,518,923) (103,417) 8,750,379
12/31/2004 6,431,871 2,781,519 187,144 (546,738) 2,421,925 8,853,796
- ----------------------------------- ---------- --------- ------------- ----------- ------------ ----------
DISCIPLINED MID CAP STOCK PORTFOLIO ---------- --------- ------------- ----------- ------------ ----------
12/31/2005 10,011,726 813,071 110,067 (1,509,223) (586,085) 9,425,641
12/31/2004 9,428,466 1,329,948 297,265 (1,043,953) 583,260 10,011,726
- ----------------------------------- ---------- --------- ------------- ----------- ------------ ----------
EQUITY INCOME PORTFOLIO ---------- --------- ------------- ----------- ------------ ----------
12/31/2005 20,903,670 2,237,689 311,267 (2,318,760) 230,196 21,133,866
12/31/2004 17,934,234 2,991,545 1,203,210 (1,225,319) 2,969,436 20,903,670
- ----------------------------------- ---------- --------- ------------- ----------- ------------ ----------
FEDERATED HIGH YIELD PORTFOLIO ---------- --------- ------------- ----------- ------------ ----------
12/31/2005 10,090,819 1,055,705 -- (1,640,386) (584,681) 9,506,138
12/31/2004 9,509,414 1,653,448 721,724 (1,793,767) 581,405 10,090,819
- ----------------------------------- ---------- --------- ------------- ----------- ------------ ----------
FEDERATED STOCK PORTFOLIO ---------- --------- ------------- ----------- ------------ ----------
12/31/2005 1,965,275 55,542 -- (403,533) (347,991) 1,617,284
12/31/2004 2,093,500 151,666 27,337 (307,228) (128,225) 1,965,275
- ----------------------------------- ---------- --------- ------------- ----------- ------------ ----------
153
THE TRAVELERS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2005
5. SHARES OF BENEFICIAL INTEREST - CONTINUED
SHARES ISSUED NET INCREASE
THROUGH (DECREASE)
BEGINNING SHARES DIVIDEND SHARES IN SHARES
SHARES SOLD REINVESTMENT REPURCHASED OUTSTANDING
LARGE CAP PORTFOLIO ---------- ---------- ------------- ----------- ------------
12/31/2005 19,247,574 1,093,920 -- (2,787,282) (1,693,362)
12/31/2004 17,278,475 4,158,997 150,788 (2,340,686) 1,969,099
- ---------------------------------- ---------- ---------- ------------- ----------- ------------
MANAGED ALLOCATION SERIES: AGGRESSIVE PORTFOLIO ---------- ---------- ------------- ----------- ------------
05/01/2005-12/31/2005 -- 457,301 457 (15,311) 442,447
- ---------------------------------- ---------- ---------- ------------- ----------- ------------
MANAGED ALLOCATION SERIES: CONSERVATIVE PORTFOLIO ---------- ---------- ------------- ----------- ------------
05/01/2005-12/31/2005 -- 498,677 3,297 (51,078) 450,896
- ---------------------------------- ---------- ---------- ------------- ----------- ------------
MANAGED ALLOCATION SERIES: MODERATE PORTFOLIO ---------- ---------- ------------- ----------- ------------
05/01/2005-12/31/2005 -- 2,089,561 11,001 (64,051) 2,036,511
- ---------------------------------- ---------- ---------- ------------- ----------- ------------
MANAGED ALLOCATION SERIES: MODERATE-AGGRESSIVE PORTFOLIO ---------- ---------- ------------- ----------- ------------
05/01/2005-12/31/2005 -- 2,374,629 11,692 (54,221) 2,332,100
- ---------------------------------- ---------- ---------- ------------- ----------- ------------
MANAGED ALLOCATION SERIES: MODERATE-CONSERVATIVE PORTFOLIO ---------- ---------- ------------- ----------- ------------
05/01/2005-12/31/2005 -- 408,636 1,977 (1,841) 408,772
- ---------------------------------- ---------- ---------- ------------- ----------- ------------
MERCURY LARGE CAP CORE PORTFOLIO ---------- ---------- ------------- ----------- ------------
12/31/2005 13,864,753 863,303 -- (1,828,457) (965,154)
12/31/2004 14,669,066 798,563 72,126 (1,675,002) (804,313)
- ---------------------------------- ---------- ---------- ------------- ----------- ------------
MFS MID CAP GROWTH PORTFOLIO* ---------- ---------- ------------- ----------- ------------
12/31/2005 26,829,852 21,809,093 -- (7,228,603) 14,580,490
12/31/2004 27,980,923 2,230,189 -- (3,381,260) (1,151,071)
- ---------------------------------- ---------- ---------- ------------- ----------- ------------
MFS VALUE PORTFOLIO ---------- ---------- ------------- ----------- ------------
12/31/2005 3,835,283 2,507,613 320,433 (342,080) 2,485,966
12/31/2004 3,706,378 783,205 72,951 (727,251) 128,905
- ---------------------------------- ---------- ---------- ------------- ----------- ------------
MONDRIAN INTERNATIONAL STOCK PORTFOLIO ---------- ---------- ------------- ----------- ------------
12/31/2005 15,868,394 2,473,625 8,973 (2,075,638) 406,960
12/31/2004 12,774,101 5,246,816 228,579 (2,381,102) 3,094,293
- ---------------------------------- ---------- ---------- ------------- ----------- ------------
PIONEER FUND PORTFOLIO ---------- ---------- ------------- ----------- ------------
12/31/2005 2,713,234 1,197,449 -- (267,063) 930,386
12/31/2004 2,508,647 490,843 23,720 (309,976) 204,587
- ---------------------------------- ---------- ---------- ------------- ----------- ------------
PIONEER MID CAP VALUE PORTFOLIO ---------- ---------- ------------- ----------- ------------
05/01/2005-12/31/2005 -- 585,656 10,399 (25,303) 570,752
- ---------------------------------- ---------- ---------- ------------- ----------- ------------
STYLE FOCUS SERIES: SMALL CAP GROWTH PORTFOLIO ---------- ---------- ------------- ----------- ------------
05/01/2005-12/31/2005 -- 553,702 10,134 (27,260) 536,576
- ---------------------------------- ---------- ---------- ------------- ----------- ------------
STYLE FOCUS SERIES: SMALL CAP VALUE PORTFOLIO ---------- ---------- ------------- ----------- ------------
05/01/2005-12/31/2005 -- 480,791 6,846 (11,309) 476,328
- ---------------------------------- ---------- ---------- ------------- ----------- ------------
TRAVELERS QUALITY BOND PORTFOLIO ---------- ---------- ------------- ----------- ------------
12/31/2005 17,169,941 1,794,098 -- (2,983,504) (1,189,406)
12/31/2004 18,655,850 1,465,860 817,628 (3,769,397) (1,485,909)
- ---------------------------------- ---------- ---------- ------------- ----------- ------------
U.S. GOVERNMENT SECURITIES PORTFOLIO ---------- ---------- ------------- ----------- ------------
12/31/2005 16,961,234 5,043,713 17,800 (2,176,025) 2,885,488
12/31/2004 16,666,618 2,694,130 782,509 (3,182,023) 294,616
- ---------------------------------- ---------- ---------- ------------- ----------- ------------
ENDING
SHARES
LARGE CAP PORTFOLIO ----------
12/31/2005 17,554,212
12/31/2004 19,247,574
- ---------------------------------- ----------
MANAGED ALLOCATION SERIES: AGGRESSIVE PORTFOLIO ----------
05/01/2005-12/31/2005 442,447
- ---------------------------------- ----------
MANAGED ALLOCATION SERIES: CONSERVATIVE PORTFOLIO ----------
05/01/2005-12/31/2005 450,896
- ---------------------------------- ----------
MANAGED ALLOCATION SERIES: MODERATE PORTFOLIO ----------
05/01/2005-12/31/2005 2,036,511
- ---------------------------------- ----------
MANAGED ALLOCATION SERIES: MODERATE-AGGRESSIVE PORTFOLIO ----------
05/01/2005-12/31/2005 2,332,100
- ---------------------------------- ----------
MANAGED ALLOCATION SERIES: MODERATE-CONSERVATIVE PORTFOLIO ----------
05/01/2005-12/31/2005 408,772
- ---------------------------------- ----------
MERCURY LARGE CAP CORE PORTFOLIO ----------
12/31/2005 12,899,599
12/31/2004 13,864,753
- ---------------------------------- ----------
MFS MID CAP GROWTH PORTFOLIO* ----------
12/31/2005 41,410,342
12/31/2004 26,829,852
- ---------------------------------- ----------
MFS VALUE PORTFOLIO ----------
12/31/2005 6,321,249
12/31/2004 3,835,283
- ---------------------------------- ----------
MONDRIAN INTERNATIONAL STOCK PORTFOLIO ----------
12/31/2005 16,275,354
12/31/2004 15,868,394
- ---------------------------------- ----------
PIONEER FUND PORTFOLIO ----------
12/31/2005 3,643,620
12/31/2004 2,713,234
- ---------------------------------- ----------
PIONEER MID CAP VALUE PORTFOLIO ----------
05/01/2005-12/31/2005 570,752
- ---------------------------------- ----------
STYLE FOCUS SERIES: SMALL CAP GROWTH PORTFOLIO ----------
05/01/2005-12/31/2005 536,576
- ---------------------------------- ----------
STYLE FOCUS SERIES: SMALL CAP VALUE PORTFOLIO ----------
05/01/2005-12/31/2005 476,328
- ---------------------------------- ----------
TRAVELERS QUALITY BOND PORTFOLIO ----------
12/31/2005 15,980,535
12/31/2004 17,169,941
- ---------------------------------- ----------
U.S. GOVERNMENT SECURITIES PORTFOLIO ----------
12/31/2005 19,846,722
12/31/2004 16,961,234
- ---------------------------------- ----------
* Shares sold includes shares issued in connection with acquisition. (Note 4)
154
THE TRAVELERS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2005
6. INVESTMENT TRANSACTIONS
Aggregate cost of purchases and proceeds of sales of investment securities,
excluding short-term securities, for the year ended December 31, 2005 were as
follows:
Purchase Sales
- - ------------------------- -------------------------
Portfolio US Gov't Non-Gov't US Gov't Non-Gov't
- --------- ------------ ------------ ------------ ------------
Convertible Securities Portfolio $ -- $151,315,840 $ -- $148,077,477
Disciplined Mid Cap Stock Portfolio -- 226,507,266 -- 235,259,494
Equity Income Portfolio -- 539,275,663 -- 536,193,424
Federated High Yield Portfolio -- 30,755,246 -- 29,597,639
Federated Stock Portfolio -- 13,139,334 -- 18,527,076
Large Cap Portfolio -- 557,029,198 -- 580,817,758
Managed Allocation: Aggressive Portfolio -- 4,764,672 -- 64,691
Managed Allocation: Conservative Portfolio -- 5,038,314 -- 397,564
Managed Allocation: Moderate Portfolio -- 21,861,909 -- 541,870
Managed Allocation: Moderate-Aggressive Portfolio -- 24,758,688 -- 173,151
Managed Allocation: Moderate-Conservative Portfolio -- 4,241,251 -- 13,819
Mercury Large Cap Core Portfolio -- 99,795,852 -- 107,879,641
MFS Mid Cap Growth Portfolio -- 325,795,744 -- 373,589,582
MFS Value Portfolio -- 41,590,169 -- 14,129,811
Mondrian International Stock Portfolio -- 200,319,554 -- 186,912,215
Pioneer Fund Portfolio -- 18,017,063 -- 5,978,305
Pioneer Mid Cap Value Portfolio -- 7,643,192 -- 1,992,087
Style Focus Series: Small Cap Growth Portfolio -- 8,008,362 -- 2,642,606
Style Focus Series: Small Cap Value Portfolio -- 7,037,276 -- 2,234,606
Travelers Quality Bond Portfolio -- 139,909,396 -- 133,730,390
U.S. Government Securities Portfolio 302,553,855 22,568,342 222,517,227 18,524,348
At December 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)
- --------- -------------- ------------ ------------ --------------
Convertible Securities Portfolio $ 99,850,253 $ 4,440,603 $(1,714,206) $ 2,726,397
Disciplined Mid Cap Stock Portfolio 182,480,756 29,002,895 (3,938,660) 25,064,235
Equity Income Portfolio 354,984,727 26,754,832 (8,006,380) 18,748,452
Federated High Yield Portfolio 82,508,554 2,827,733 (2,889,739) (62,006)
Federated Stock Portfolio 25,528,011 3,739,283 (1,227,535) 2,511,748
Large Cap Portfolio 252,771,044 21,607,485 (9,768,844) 11,838,641
Managed Allocation Series: Aggressive Portfolio 4,705,624 307,788 (41) 307,747
Managed Allocation Series: Conservative Portfolio 4,651,109 65,258 (16,709) 48,549
Managed Allocation Series: Moderate Portfolio 21,348,711 654,162 (73,439) 580,723
Managed Allocation Series: Moderate-Aggressive Portfolio 24,594,762 945,329 (71,547) 873,782
Managed Allocation Series: Moderate-Conservative Portfolio 4,227,952 146,310 (10,026) 136,284
Mercury Large Cap Core Portfolio 111,400,757 23,179,916 (3,664,462) 19,515,454
MFS Mid Cap Value Portfolio 293,387,849 50,741,226 (9,273,656) 41,467,570
155
THE TRAVELERS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2005
6. INVESTMENT TRANSACTIONS - CONTINUED
Gross Gross Net Unrealized
Federal Income Unrealized Unrealized Appreciation/
Portfolio Tax Cost Appreciation Depreciation (Depreciation)
- --------- -------------- ------------ ------------ --------------
MFS Value Portfolio $ 70,575,793 $ 9,865,112 $(1,776,114) $ 8,088,998
Mondrian International Stock Portfolio 181,552,825 24,649,009 (2,523,431) 22,125,578
Pioneer Fund Portfolio 38,217,123 8,872,888 (666,480) 8,206,408
Pioneer Mid Cap Value Portfolio 5,946,106 377,737 (120,123) 257,614
Style Focus Series: Small Cap Growth Portfolio 5,483,202 668,369 (227,639) 440,730
Style Focus Series: Small Cap Value Portfolio 5,217,139 507,781 (171,660) 336,121
Travelers Quality Bond Portfolio 179,756,064 904,100 (3,180,823) (2,276,723)
U.S. Government Securities Portfolio 276,144,030 5,734,859 (3,299,287) 2,435,572
7. FUTURE CONTRACTS
The futures contracts outstanding as of December 31, 2005 and the description
and unrealized appreciation or depreciation were as follows:
Unrealized
Number of Notional Appreciation
Description Expiration Date Contracts Value (Depreciation)
--------------- --------------- --------- ---------- --------------
Disciplined Mid Cap Stock
Portfolio S&P 400 Mid Cap March 2006 11 $4,087,600 $(75,164)
========
8. FORWARD FOREIGN CURRENCY CONTRACTS
Open forward foreign currency contracts at December 31, 2005, were as follows:
MONDRIAN INTERNATIONAL STOCK PORTFOLIO
Forward Foreign Currency Contracts to Sell:
Net
Value at In Exchange Unrealized
Settlement Date Contacts to Deliver December 31, 2005 for U.S. $ Appreciation
--------------- ------------------- ----------------- ----------- ------------
01/31/06 7,004,000 GBP $12,035,702 12,524,623 $488,921
========
GBP - British Pound
9. COMMISSION RECAPTURE PROGRAM
In addition to trade execution, many of the brokers with whom Fidelity
Management & Research ("FMR") places trades pay for certain expenses of Equity
Income Portfolio and Large Cap Portfolio or provide other services. During the
year ended December 31, 2005, Equity Income Portfolio and Large Cap 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
------------
Equity Income Portfolio $225,161
Large Cap Portfolio 160,374
Certain amounts on the prior year statements of changes in net assets with
respect to this arrangement have been reclassified to conform with the current
year presentation.
156
THE TRAVELERS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2005
10. DISTRIBUTIONS TO SHAREHOLDERS
The tax character of distributions paid during the periods ended December 31,
2005 and 2004 were as follows:
Ordinary Long Term
Income Capital Gain Total
- - ---------------------- --------------------- ----------------------
Portfolio 2005 2004 2005 2004 2005 2004
- --------- ---------- ----------- ---------- ---------- ---------- -----------
Convertible Securities Portfolio $2,701,557 $ 2,307,074 $1,863,683 $ -- $4,565,240 $ 2,307,074
Disciplined Mid Cap Stock Portfolio -- 508,893 2,217,847 5,360,391 2,217,847 5,869,284
Equity Income Portfolio 881,377 12,673,525 4,301,226 7,571,443 5,182,603 20,244,968
Federated High Yield Portfolio -- 6,213,875 -- -- -- 6,213,875
Federated Stock Portfolio -- 451,992 -- -- -- 451,992
Large Cap Portfolio -- 2,103,304 -- -- -- 2,103,304
Managed Allocation Series: Aggressive Portfolio 2,191 -- 2,984 -- 5,175 --
Managed Allocation Series: Conservative
Portfolio 33,305 -- 687 -- 33,992 --
Managed Allocation Series: Moderate Portfolio 114,753 -- 4,501 -- 119,254 --
Managed Allocation Series: Moderate-Aggressive
Portfolio 119,069 -- 9,075 -- 128,144 --
Managed Allocation Series: Moderate-
Conservative Portfolio 19,478 -- 1,459 -- 20,937 --
Mercury Large Cap Core Portfolio -- 649,324 -- -- -- 649,324
MFS Mid Cap Growth Portfolio -- -- -- -- -- --
MFS Value Portfolio 1,312,624 510,816 2,691,799 389,047 4,004,423 899,863
Mondrian International Stock Portfolio 100,497 2,613,383 -- -- 100,497 2,613,383
Pioneer Fund Portfolio -- 285,115 -- -- -- 285,115
Pioneer Mid Cap Value Portfolio 111,896 -- -- -- 111,896 --
Style Focus Series: Small Cap Growth Portfolio 114,100 -- -- -- 114,100 --
Style Focus Series: Small Cap Value Portfolio 76,612 -- -- -- 76,612 --
Travelers Quality Bond Portfolio -- 8,995,106 -- -- -- 8,995,106
U.S. Government Securities Portfolio 239,413 9,527,237 -- 382,570 239,413 9,909,807
As of December 31, 2005, the components of distributable earnings (accumulated
losses) on a federal income tax basis were as follows:
Undistributed Undistributed Unrealized Loss
Ordinary Long-Term Appreciation Carryforward
Portfolio Income Gain (Depreciation) and Deferrals Total
- --------- ------------- ------------- -------------- ------------- ------------
Convertible Securities Portfolio $ 43,421 $ -- $ 2,726,397 $ (1,258,829) $ 1,510,989
Disciplined Mid Cap Stock Portfolio 9,018,223 27,205,882 25,064,235 -- 61,288,340
Equity Income Portfolio 16,794,635 16,196,767 18,748,376 -- 51,739,778
Federated High Yield Portfolio 6,446,628 -- (62,006) (13,291,427) (6,906,805)
Federated Stock Portfolio 460,390 2,888,176 2,511,748 -- 5,860,314
Large Cap Portfolio 278,988 -- 11,819,630 (71,040,643) (58,942,025)
Managed Allocation Series: Aggressive Portfolio 1,828 164 307,747 -- 309,739
Managed Allocation Series: Conservative Portfolio 2,636 1,062 48,549 -- 52,247
157
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NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2005
10. DISTRIBUTIONS TO SHAREHOLDERS - CONTINUED
Undistributed Undistributed Unrealized Loss
Ordinary Long-Term Appreciation Carryforward
Portfolio Income Gain (Depreciation) and Deferrals Total
- --------- ------------- ------------- -------------- ------------- -------------
Managed Allocation Series: Moderate Portfolio $ 16,582 $ 13,003 $ 580,723 $ -- $ 610,308
Managed Allocation Series: Moderate-Aggressive Portfolio 5,651 14,110 873,782 -- 893,543
Managed Allocation Series: Moderate-Conservative
Portfolio 211 1,803 136,284 -- 138,298
Mercury Large Cap Core Portfolio 289,946 -- 19,515,454 (63,229,519) (43,424,119)
MFS Mid Cap Growth Portfolio -- -- 41,466,418 (377,861,607) (336,395,189)
MFS Value Portfolio 61,630 389,518 8,088,621 -- 8,539,769
Mondrian International Stock Portfolio 5,475,791 -- 22,120,266 (14,881,941) 12,714,116
Pioneer Fund Portfolio 389,928 -- 8,206,408 (13,217,771) (4,621,435)
Pioneer Mid Cap Value Portfolio 137 -- 257,614 (1,643) 256,108
Style Focus Series: Small Cap Growth Portfolio 15,184 -- 440,729 -- 455,913
Style Focus Series: Small Cap Value Portfolio 29,138 -- 336,121 -- 365,259
Travelers Quality Bond Portfolio 7,757,136 -- (2,276,723) (4,447,552) 1,032,861
U.S. Government Securities Portfolio 11,599,163 2,496,348 2,435,572 (200,348) 16,330,735
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' manager 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
includes the fund's investment manager 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.
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NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2005
12. ADDITIONAL INFORMATION - CONTINUED
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. 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 assets 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 adviser, TAMIC, which serves as the investment
adviser 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 Convertible Securities Portfolio,
Travelers Quality Bond Portfolio, and U.S. Government Securities 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 December 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.
159
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NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2005
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 Convertible
Securities Portfolio, Travelers Quality Bond Portfolio, and U.S. Government
Securities 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 TAMIC for
Convertible Securities Portfolio, Travelers Quality Bond Portfolio, and U.S.
Government Securities Portfolio.
The following Portfolio reorganizations were approved by the Board of Trustees
of the Trust on November 10, 2005. The reorganizations will be presented to the
respective shareholders of each of the Portfolios on or about March 14, 2006.
If approved by shareholders, each reorganization will occur on or about
May 1, 2006. The proposed reorganizations provide for the acquisition of all
the assets of:
a. Federated Stock Portfolio in exchange for shares of Lord Abbett Growth and
Income Portfolio, a series of Met Investors Series Trust ("MIST");
b. MFS Mid Cap Growth Portfolio in exchange for shares of BlackRock Aggressive
Growth Portfolio, a series of Metropolitan Series Fund, Inc. ("MSF");
c. Mondrian International Stock Portfolio in exchange for shares of Harris
Oakmark International Portfolio, a series of MIST;
d. Travelers Quality Bond Portfolio in exchange for shares of BlackRock Bond
Income Portfolio, a series of MSF;
e. Equity Income Portfolio in exchange for shares of FI Value Leaders
Portfolio, a series of MSF;
f. Managed Allocation Series: Aggressive Portfolio in exchange for shares of
MetLife Aggressive Allocation Portfolio, a series of MSF;
g. Managed Allocation Series: Conservative Portfolio in exchange for shares of
MetLife Conservative Allocation Portfolio, a series of MSF;
h. Managed Allocation Series: Moderate Portfolio in exchange for shares of
MetLife Moderate Allocation Portfolio, a series of MSF;
i. Managed Allocation Series: Moderate-Aggressive Portfolio in exchange for
shares of MetLife Moderate to Aggressive Allocation Portfolio, a series of
MSF; and
j. Managed Allocation Series: Moderate-Conservative Portfolio in exchange for
shares of MetLife Conservative to Moderate Allocation Portfolio, a series of
MSF.
The following Portfolio reorganizations were approved by the Board of Trustees
of the Trust on January 25, 2006. The reorganizations will be presented to the
respective shareholders of the Portfolios on or about April 12, 2006. If
approved by the shareholders, each reorganization will occur on or about
May 1, 2006. The proposed reorganizations provide for the acquisition of all if
the assets of:
a. Disciplined Mid Cap Stock Portfolio in exchange for shares of Batterymarch
Mid-Cap Stock Portfolio, a series of MIST;
b. Federated High Yield Portfolio in exchange for shares of Federated High
Yield Portfolio, a series of MIST;
c. Mercury Large Cap Core Portfolio in exchange for shares of Princeton
Large-Cap Core Portfolio, a series of MIST;
d. MFS Value Portfolio in exchange for shares of MFS Value Portfolio, a series
of MIST;
e. Pioneer Fund Portfolio in exchange for shares of Pioneer Fund Portfolio, a
series of MIST;
f. Pioneer Mid Cap Value Portfolio in exchange for shares of Pioneer Mid-Cap
Value Portfolio, a series of MIST;
g. Style Focus Series: Small Cap Value Portfolio in exchange for shares of
Dreman Small-Cap Value Portfolio, a series of MIST;
h. Federated High Yield Portfolio in exchange for shares of Federated High
Yield Portfolio, a series of MIST;
i. Large Cap Portfolio in exchange for shares of FI Large Cap Portfolio, a
series of MSF;
j. U.S. Government Securities Portfolio in exchange for shares of Salomon
Brothers U.S. Government Portfolio, a series of MSF;
k. Convertible Securities Portfolio in exchange for shares of Lord Abbett Bond
Debenture Portfolio, a series of MIST;
l. Style Focus Series: Met/AIM Small Cap Growth Portfolio in exchange for
shares of Lord Abbett Bond Debenture Portfolio, a series of MIST;
m. AIM Capital Appreciation Portfolio in exchange for shares of Met/AIM Capital
Appreciation Portfolio, a series of MIST; and
n. Pioneer Strategic Income Portfolio in exchange for shares of Pioneer
Strategic Income Portfolio, a series of MIST.
17. SUBSEQUENT EVENT
Effective February 1, 2006, TIMCO employs a team approach to manage the
Disciplined Mid Cap Stock Portfolio, Style Focus Series: Small Cap Growth
Portfolio, and Style Focus Series: Small Cap Value Portfolio. The portfolio
management teams are dually employed by TIMCO and Batterymarch Financial
Management, Inc. ("Batterymarch"), 200 Clarendon Street, Boston, Massachusetts
02116. Batterymarch was founded in 1969 and is a subsidiary of Legg Mason, Inc.
Batterymarch provides asset management services to corporations, pension plans,
mutual funds and trusts and as of December 31, 2005, manages approximately $15
billion of assets.
160
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Convertible Securities Portfolio
Disciplined Mid Cap Stock Portfolio
Equity Income Portfolio
Federated High Yield Portfolio
Federated Stock Portfolio
Large Cap Portfolio
Managed Allocation Series: Aggressive Portfolio
Managed Allocation Series: Conservative Portfolio
Managed Allocation Series: Moderate Portfolio
Managed Allocation Series: Moderate-Aggressive Portfolio
Managed Allocation Series: Moderate-Conservative Portfolio
Mercury Large Cap Core Portfolio (formerly Merrill Lynch Large Cap Core
Portfolio)
MFS Mid Cap Growth Portfolio
MFS Value Portfolio
Mondrian International Stock Portfolio (formerly Lazard International Stock
Portfolio)
Pioneer Fund Portfolio
Pioneer Mid Cap Value Portfolio
Style Focus Series: Small Cap Growth Portfolio
Style Focus Series: Small Cap Value Portfolio
Travelers Quality Bond Portfolio
U.S. Government Securities Portfolio
(individually a "Portfolio" and collectively the "Portfolios")
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 the Portfolios, each of which is a
series of the Travelers Series Trust, as of December 31, 2005, and the related
statements of operations, statements of changes in net assets and financial
highlights for the period 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 December 31, 2004 and the financial highlights for
each of the four years in the period ended December 31, 2004 were audited by
other auditors whose report, dated February 18, 2005, 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 December 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 December 31, 2005, the results of their operations, the changes
in their net assets and the financial highlights for the period ended December
31, 2005, in conformity with accounting principles generally accepted in the
United States of America.
Deloitte & Touche LLP
Boston, Massachusetts
February 17, 2006
161
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DECEMBER 31, 2005
(UNAUDITED)
FACTORS CONSIDERED BY THE BOARDS OF TRUSTEES IN APPROVING THE INVESTMENT
ADVISORY AND THE SUBADVISORY AGREEMENTS
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 (the
"Trust") approved the investment advisory agreements (the "Agreements") between
TAMIC and the following Portfolios of the Trust: 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, Mercury Large Cap Core Portfolio, MFS
Mid Cap Growth Portfolio, MFS Value Portfolio, Pioneer Fund Portfolio,
Travelers Quality Bond Portfolio and U.S. Government Securities Portfolio (the
"Portfolios"). In addition, the Board, at the in person meeting on July 20,
2005, approved the investment subadvisory agreements ("Subadvisory Agreements")
between TAMIC and SaBAM for Convertible Securities Portfolio, Travelers Quality
Bond Portfolio and U.S. Government Securities Portfolio, TAMIC and TIMCO Asset
Management Inc. ("TIMCO") for Disciplined Mid Cap Stock Portfolio, TAMIC and
Fidelity Management & Research Company ("FMR") (and between FMR and Fidelity
Management & Research Company (UK) Inc. and Fidelity Management & Research
Company (Far East) Inc.) for Equity Income Portfolio and Large Cap Portfolio,
TAMIC and Federated Investment Management Company ("Federated") for Federated
High Yield Portfolio, TAMIC and Federated Equity Management Company of
Pennsylvania ("FEMCOPA") for Federated Stock Portfolio, TAMIC and Merrill Lynch
Investment Managers, LP ("MLIM") for Mercury Large Cap Core Portfolio, TAMIC
and Massachusetts Financial Services Company ("MFS") for MFS Mid Cap Growth
Portfolio and MFS Value Portfolio, and TAMIC and Pioneer Investment Management,
Inc. ("Pioneer") for Pioneer Fund 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 Trust requested certain
information from TAMIC and from SaBAM, TIMCO, FMR, FMR (UK), FMR (Far East),
Federated, FEMCOPA, MLIM, MFS and Pioneer (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 Agreements. 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 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 its affiliates; (d) the extent to which TAMIC 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, the Board considered, and expressed its satisfaction with, the level and
depth of knowledge of TAMIC, including the professional experience and
qualifications of its personnel as well as current staffing levels and overall
resources. The Board also noted that TAMIC had been acquired by 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. The Board also noted the responsibilities that
TAMIC has 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 relate 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 TAMIC's ability to render such services based on its
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 each subadvisor's management style and 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 (the "expense group"), as well as to a broader group of
investment companies with the same investment classification as each Portfolio,
also as selected by the independent third party. The Board also noted the
overall expense limitations that TAMIC has agreed to for the Portfolios,
although total expenses for most of the
162
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DECEMBER 31, 2005
Portfolios are below the applicable limitations, and TAMIC is therefore not
currently waiving advisory fees or reimbursing Portfolio expenses for those
Portfolios. The Board noted that TAMIC's revenues, and its resulting
profitability, from each Portfolio is the difference between the amount TAMIC
receives from the Portfolio and what it pays to the subadvisor for that
Portfolio. The Board also considered that each Portfolio pays a separate fee to
an affiliate of TAMIC for administrative services performed or arranged for by
that affiliate. 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 TAMIC and the subadvisors, and the other
factors considered, the Board concluded that the level of the fees paid to
TAMIC and each subadvisor with respect to each Portfolio was fair and
reasonable.
The Board reviewed the Portfolios' performance record and TAMIC's and the
subadvisors' management styles and performance records with the Portfolios. The
Board noted that it reviews on a quarterly basis detailed information about the
Portfolios' performance results and investment strategies. The Board also
reviewed various comparative performance data provided to it in connection with
its consideration of the renewal of the Agreements and Subadvisory Agreements,
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.
In terms of the profits realized by TAMIC from its relationship with the
Portfolios, the Board noted that it was satisfied that TAMIC's profits had not
been excessive in the past, and that it was not possible to predict how the
recent acquisition of TAMIC by MetLife would affect its future profitability.
Because the fees paid to the subadvisors are paid by TAMIC and not directly by
the Funds, 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 whether subadvisory fee breakpoints were
in place or should be pursued for certain Portfolios, 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.
The Board also considered the effect of the Portfolios' size and growth 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. Specifically, the Board noted that if the Portfolios'
assets increase over time, the Portfolios may realize economies of scale if
assets increase proportionally more than certain expenses. The Board also
considered the fact that TAMIC 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.
CONVERTIBLE SECURITIES PORTFOLIO
The Board noted that the performance of the Portfolio over both the short and
long term appeared to be good, although, given the small number of convertible
securities funds available in connection with variable insurance products, the
Portfolio did not appear to have an appropriate peer group with which to
compare Portfolio performance. Subject to a similar concern about the
availability of useful comparative fund information, the Board concluded that
the Portfolio's advisory fees and total expenses were reasonable. While the
Board requested that TAMIC assess whether a convertible securities fund was
still appropriate in light of changes in the convertible securities markets,
the Board determined that the Agreement and Subadvisory Agreement for the
Portfolio should be re-approved in light of the Portfolio's performance and
fees. In addition, the Board noted that the advisory and subadvisory fees did
not include breakpoints reducing such fees at higher asset levels, but
concluded that breakpoints were not necessary at the time in light of the
Portfolio's relatively low advisory fees and its current assets.
DISCIPLINED MID CAP STOCK PORTFOLIO
The Board noted that the performance of the Portfolio had generally been
average compared to similar funds, although its longer term performance was
somewhat below average. The Board also noted that the Portfolio's advisory fees
and total expenses were quite low compared to its expense group and, while the
Board was not provided with subadvisory fee information for comparable funds,
the Board concluded that the Fund's subadvisory fees were reasonable in light
of the quality and nature of services provided by TIMCO. In approving the
Agreement and Subadvisory Agreement for the Portfolio, the Board also
considered the important space that the Portfolio fills among the funds
available under Travelers' variable insurance products. The Board requested,
however, that TAMIC monitor whether personnel changes at TIMCO relating to its
pending acquisition by Legg Mason might harm the Portfolio. In addition, the
Board noted that the advisory and subadvisory fees did not include breakpoints
reducing such fees at higher asset levels, and asked TAMIC to explore whether
the institution of breakpoints in the Portfolio's fees would be appropriate in
light of the Portfolio's current assets and fees and any changes in the fees
generally charged by TIMCO after its acquisition by Legg Mason.
EQUITY INCOME PORTFOLIO
The Board noted that the performance of the Portfolio was not good for the most
recent one-year period compared to similar funds, although longer-term
performance (including the most recent period) was somewhat better, and
performance before the most recent period had generally been good. The Board
also noted that the Fund's advisory and subadvisory fees were above average,
but noted that FMR can demand higher than average fees compared to other
subadvisers. 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. In approving the Agreement and Subadvisory Agreements for
the Portfolio, the Board requested that TAMIC monitor the performance of the
Portfolio closely.
163
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DECEMBER 31, 2005
FEDERATED HIGH YIELD PORTFOLIO
The Board noted that the performance of the Portfolio had generally been above
average compared to similar funds. The Board also noted that the Fund's
advisory and subadvisory fees and total expenses were above the median of its
expense group, but were within the range of reasonableness. In addition, the
Board noted that the advisory fees did not include breakpoints reducing such
fees at higher asset levels, but concluded that the institution of breakpoints
was not necessary at the time in light of the Portfolio's small size. In light
of the certain legal issues faced by Federated (among other mutual fund
complexes) with respect to market timing activity by fund shareholders, the
Board expressed satisfaction with the efforts Federated had been taking to
prevent future legal and compliance issues, but noted that such efforts should
continue to be monitored by TAMIC. In approving the Agreement and Subadvisory
Agreement for the Portfolio, the Board asked TAMIC to consider whether the
Portfolio continued to be necessary in light of the availability of another
high yield bond fund under Travelers' variable insurance products with
performance even better than that of the Portfolio.
FEDERATED STOCK PORTFOLIO
The Board noted that the performance of the Portfolio had generally been below
average compared to similar funds over both the short and long term. The Board
also noted that the Fund's advisory and subadvisory fees and total expenses
were near the median of its expense group. In addition, the Board noted that
the advisory fees did not include breakpoints reducing such fees at higher
asset levels, but concluded that the institution of breakpoints was not
necessary in light of the Portfolio's small size. The Board approved the
Agreement and Subadvisory Agreement for the Portfolio, but requested that TIMCO
consider and recommend to the Board possible changes to the Portfolio in light
of its disappointing performance and low assets, including the possible merger
of the Portfolio into another fund.
LARGE CAP PORTFOLIO
The Board noted that the performance of the Portfolio had generally been below
average compared to similar funds over both the short and long term. The Board
also noted, however, that a new portfolio manager had recently become
responsible for the Portfolio's management, and that the Board was impressed by
the presentation made by such portfolio manager at the meeting. The Board also
considered how the Portfolio's management style differed from the comparable
funds to which the Portfolio's performance was compared. The Board also noted
that the Fund's advisory and subadvisory fees were above average, but noted
that FMR can demand higher than average fees compared to other subadvisers. 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. In approving the Agreement and Subadvisory Agreements for the Portfolio,
the Board requested that TAMIC continue to monitor the performance of the
Portfolio closely.
MONDRIAN INTERNATIONAL STOCK PORTFOLIO
Initially, the Board noted that Mondrian had recently taken over as of May 1,
2005 as the Portfolio's subadvisor, so re-approval of the subadvisory agreement
between TAMIC and Mondrian was not necessary at the meeting. As to the
Agreement for the Portfolio, the Board noted the disappointing historical
performance of the Portfolio, but also noted TAMIC's action in replacing the
Portfolio's subadviser and the good performance of the Portfolio in the short
period since the subadviser change. The Board noted that Mondrian's subadvisory
fee was lower than that of the Portfolio's prior subadvisor, which permitted a
corresponding reduction in the Portfolio's advisory fee, and the Board
concluded that the new advisory fee was reasonable. In addition, the Board
noted that the advisory 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.
MERCURY LARGE CAP CORE PORTFOLIO
The Board noted that the performance of the Portfolio was for the one- and
three-year periods was above average compared to similar funds, and concluded
that the longer term performance was of limited relevance because Merrill had
become subadviser for the Portfolio on November 17, 2003. The Board also noted,
however, that the Portfolio's advisory and subadvisory fees and total expenses
were above average, although the advisory and subadvisory fees included
breakpoints reducing such fees at higher asset levels that appeared to be
appropriate in light of the economies of scale involved in managing a fund of
the Portfolio's size. In approving the Agreement and Subadvisory Agreements for
the Portfolio, the Board requested that TAMIC monitor the performance of the
Portfolio to assess whether the performance continues to justify the above
average fees.
MFS MID CAP GROWTH PORTFOLIO
The Board noted that the performance of the Portfolio over both the short and
long term had been well below average compared to similar funds, although the
Board expressed confidence in the abilities of MFS as a subadvisor generally.
The Board also noted that the Portfolio's advisory fees and total expenses were
near the median of its expense group. 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 TAMIC. 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 approved the
Agreement and Subadvisory Agreement for the Portfolio, but asked TAMIC to
develop a specific recommendation for changes to the Portfolio designed to
address its poor performance.
164
THE TRAVELERS SERIES TRUST
DECEMBER 31, 2005
MFS VALUE PORTFOLIO
The Board noted that the performance of the Portfolio over both the short and
long term had been well above average compared to similar funds. The Board also
noted that the Portfolio's advisory and subadvisory fees and total expenses
were below the median of its expense group. 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 TAMIC. 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.
PIONEER FUND PORTFOLIO
The Board noted that the performance of the Portfolio during the short term had
been well above average compared to similar funds, and concluded that the
longer term performance was of limited relevance because Pioneer had become
subadviser for the Portfolio as of May 1, 2003. The Board expressed confidence
in Pioneer generally. The Board also noted that the Portfolio's advisory and
subadvisory fees appeared to be reasonable, and noted that such 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.
TRAVELERS QUALITY BOND PORTFOLIO
The Board noted that the performance of the Portfolio had been very good
compared to similar funds over both short-term and long-term periods. The Board
also noted that the Portfolio's advisory fees and total expenses were below the
median of its expense group and, while the Board was not provided with
subadvisory fee information for comparable funds, the Board concluded that the
Portfolio's subadvisory fees were reasonable in light of the quality and nature
of services provided by SaBAM. The Board noted that the portfolio managers of
the Portfolio had not changed, even though the Portfolio had been managed by
TAMIC directly prior to its acquisition by MetLife, and was now managed by
SaBAM as subadvisor. The Board requested, however, that TAMIC monitor whether
personnel changes at SaBAM relating to its pending acquisition by Legg Mason
might harm the Portfolio. In addition, the Board noted that the advisory and
subadvisory fees did not include breakpoints reducing such fees at higher asset
levels, but concluded that breakpoints were not imperative in light of the low
advisory fee.
U.S. GOVERNMENT SECURITIES PORTFOLIO
The Board noted that the performance of the Portfolio had been very good
compared to similar funds over both short-term and long-term periods. The Board
also noted that the Portfolio's advisory fees and total expenses were below the
median of its expense group and, while the Board was not provided with
subadvisory fee information for comparable funds, the Board concluded that the
Portfolio's subadvisory fees were reasonable in light of the quality and nature
of services provided by SaBAM. The Board requested, however, that TAMIC monitor
whether personnel changes at SaBAM relating to its pending acquisition by Legg
Mason might harm the Portfolio. In addition, the Board noted that the advisory
and subadvisory fees did not include breakpoints reducing such fees at higher
asset levels, and were informed by TAMIC representatives that SaBAMwas the
subadvisor to a similar fund advised by another MetLife affiliate, and that the
subadvisory fee in that case included breakpoints. In light of this, the Board
asked TAMIC to pursue instituting advisory and subadvisory fee breakpoints for
the Portfolio.
CERTAIN MATTERS RELATING TO THE CONVERTIBLE SERIES PORTFOLIO, TRAVELERS QUALITY
BOND PORTFOLIO, U.S. GOVERNMENT SECURITIES PORTFOLIO, DISCIPLINED MID CAP STOCK
PORTFOLIO, STYLE FOCUS SERIES: SMALL CAP GROWTH PORTFOLIO AND STYLE FOCUS
SERIES: SMALL CAP VALUE PORTFOLIO On June 23, 2005, Citigroup Inc., the parent
company of SaBAM and TIMCO, agreed to sell substantially all of its asset
management business, including SaBAM and TIMCO, to Legg Mason. SaBAM is the
subadviser to the Trust's Convertible Series Portfolio, Travelers Quality Bond
Portfolio and U.S. Government Securities Portfolio (collectively, the "Salomon
Brothers Portfolios") and TIMCO is the subadviser to the Disciplined Mid Cap
Stock Portfolio, Style Focus Series: Small Cap Growth Portfolio and Style Focus
Series: Small Cap Value Portfolio (collectively, the "TIMCO Portfolios"), and
the consummation of the aforementioned transactions would result in a change of
control of SaBAM and TIMCO and the automatic termination of the Salomon
Brothers Portfolios' and the TIMCO Portfolios' subadvisory agreements. In
connection with the anticipated change of control of SaBAM and TIMCO, the Board
approved new subadvisory agreements between TAMIC and SaBAM for the Salomon
Brothers Portfolios and between TAMIC and TIMCO with respect to the TIMCO
Portfolios at a special meeting of the Board held on November 10, 2005. In
considering the new subadvisory agreements for the Salomon Brothers Portfolios
and the TIMCO Portfolios, the Board met with a representative from SaBAM and
TIMCO and received information regarding the proposed transactions, Legg Mason
and its asset management affiliates, and Legg Mason's plans for SaBAM and TIMCO
after the closing of the transactions. In approving the new subadvisory
agreements, the Board also took into consideration the factors they considered
at a meeting held on July 20, 2005, where the Board approved the previous
subadvisory agreements with SaBAM, with respect to the Salomon Brothers
Portfolios and TIMCO with respect to the TIMCO Portfolios. In addition to these
factors, the Board also considered:
. that the new subadvisory agreements are substantially similar to the
Salomon Brothers Portfolios' and the TIMCO Portfolios' previous
subadvisory agreements; and
165
THE TRAVELERS SERIES TRUST
DECEMBER 31, 2005
. the business, experience and reputation of Legg Mason and its asset
management affiliates and the prominence of the Legg Mason name in the
marketplace for investment advice.
Based on their evaluation of all factors that they deemed to be material,
including those factors described above, and assisted by the advice of
independent counsel, the Trustees, including the Independent Trustees,
unanimously voted to approve the new subadvisory agreements between TAMIC and
SaBAM for the Salomon Brothers Portfolios and between TAMIC and TIMCO for the
TIMCO Portfolios.
166
THE TRAVELERS SERIES TRUST
DECEMBER 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 the Trust Time Served During Last Five Years by Trustee** Held by Trustee
- --------------------- ------------- -------------- ---------------------------------------- ------------ ---------------
Interested Trustees
- -------------------
Elizabeth M. Forget* Chairperson Since July President, Met Investors Advisory LLC 67 None
260 Madison Ave. of the Board, 2005 (2000 to present); Executive Vice
10/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.++
167
THE TRAVELERS SERIES TRUST
DECEMBER 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 the Trust Time Served During Last Five Years by Trustee Held by Trustee
- --------------------- ----------- -------------- ---------------------------------------- ---------- ------------------
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.++
168
THE TRAVELERS SERIES TRUST
DECEMBER 31, 2005
TRUSTEES AND OFFICERS (UNAUDITED) - CONTINUED
Number of
Term of Portfolios Other Public
Office in Fund Company
Position(s) and Length Complex Directorships
Held with of Principal Occupation Overseen Held by
Name, Address and Age the Trust Time Served During Last Five Years by Trustee Trustee
- --------------------- ------------- ----------- ---------------------------------------------- ---------- -------------
Officers
- --------
Paul Cellupica Secretary Since July Chief Counsel, Securities Products and N/A N/A
MetLife, Inc. and Chief 2005 Regulation, MetLife, Inc. (2004-present); Vice
One MetLife Plaza Legal Officer President and Chief Legal Officer, TAMIC
27-01 Queens Plaza (July 2005-present); Assistant Director,
North Long Island City, Division of Investment Management, U.S.
NY 11101 Securities and Exchange Commission (2001-
Age 41 2003), Senior Special Counsel, Division of
Investment Management, Securities and
Exchange Commission (2000-2001).
Peter Duffy Chief Since July Senior Vice President, MetLife Advisers, since N/A N/A
MetLife Advisers LLC Financial 2005 December 1998; Senior Vice President;
501 Boylston Street Officer and NELICO; Vice President, MetLife; Vice
Boston, MA 02116 Treasurer President, Travelers Asset Management
Age 50 International Company LLC and Travelers
Investment Adviser, Inc., since 2000;
Treasurer and Chief Financial Officer,
Metropolitan Series Fund, Inc., since 2005;
Treasurer, Chief Financial Officer and Chief
Accounting Officer, CitiStreet Funds, Inc.,
since 2005; formerly, Vice President and
Treasurer, Zenith Fund.
Jeffrey P . Halperin Interim Since Assistant Vice President, Corporate Ethics and N/A N/A
Metropolitan Life Chief November Compliance Department, MetLife, Inc.
Insurance Company Compliance 2005 (October 2002-present); Interim Chief
One MetLife Plaza Officer Compliance Officer of funds sponsored by
27-01 Queens Plaza MetLife and its affiliates (November 2005-
North Long Island City, present); Associate, Goldman Sachs & Co.
NY 11101 (May 2000-July 2001).
Age 37
- --------
* "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 TAMIC.
** The Fund Complex consists of 29 series of Met Investors Series Trust, six
variable annuity separate accounts and five Mutual Funds. The six variable
annuity accounts and five Mutual Funds are referenced in the footnote below.
+ 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, High Yield Bond Trust,
Managed Assets Trust, Money Market Portfolio 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
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.
169
THE TRAVELERS SERIES TRUST
DECEMBER 31, 2005
QUARTERLY PORTFOLIO SCHEDULE
The Trust files Form N-Q for the first and third quarters of each fiscal year
on Form N-Q. The Trust's Forms N-Q will be available on the Securities and
Exchange Commission's website at http://www.sec.gov. The Trust's Forms N-Q may
be reviewed and copied at the Securities and Exchange 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. Once filed,
the most recent Form N-Q will be available without charge, upon request, by
calling (800) 842-9406.
PROXY VOTING POLICIES AND PROCEDURES
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 (800) 842-9406 and (2) on the Securities and
Exchange Commission's website at http://www.sec.gov.
PROXY VOTING RECORD
The Trust, on behalf of each of its series, has filed with the Securities and
Exchange Commission its proxy voting record for the 12-month period ending
June 30 on Form N-PX. Form N-PX must be filed by the Trust each year by
August 31. Once filed, the most recent Form N-PX will be available without
charge, upon request, by calling (800) 848-3854 or on the Securities and
Exchange Commission's website at http://www.sec.gov.
170
ITEM 2. CODE OF ETHICS.
As of the end of the period covered by this report, the registrant has adopted
a code of ethics that applies to the registrant's principal executive officer,
principal financial officer, principal accounting officer or controller, 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 registrant's Board of Trustees 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 December 31, 2005, the registrant had 28 series. 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, 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").
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.
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. KPMG LLP ("KPMG") was the registrant's
principal accountant for the fiscal year ended December, 31 2004. Information
provided in response to Item 4 for the fiscal year ended December 31, 2004
reflects 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 and for 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 for
services rendered by D&T N/A $133,000
Year ended 12/31/05 for services
rendered by D&T $389,000 N/A
Year ended 12/31/04 for services
rendered by KPMG $276,000 N/A
(b) Audit-Related Fees
The registrant was not billed any fees by KPMG for the fiscal year ended
December 31, 2004 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.
The registrant was not billed any fees by D&T for the fiscal year ended
December 31, 2005 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 fiscal year ended December 31, 2004 for the 12/31 Travelers Funds,
no fees for assurance and related services that relate directly to the
operations and financial reporting of the registrant were billed by KPMG 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.
During the fiscal year ended December 31, 2005 for the 12/31 Travelers Funds,
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 for
services rendered by D&T N/A $22,750
Year ended 12/31/05 for services
rendered by D&T $71,500 N/A
Year ended 12/31/04 for services
rendered by KPMG $36,400 N/A
During the fiscal year ended December 31, 2004, 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 KPMG 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.
During the fiscal year ended December 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 fiscal year ended December 31, 2005 or KPMG for the fiscal year
ended December 31, 2004, other than the services reported in paragraphs
(a) through (c) above.
During the fiscal year ended December 31, 2004, no fees for other services that
relate directly to the operations and financial reporting of the registrant
were billed by KPMG 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.
During the fiscal year ended December 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 are set forth below.
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 for the fiscal year ended December 31, 2004.
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 fiscal year ended December 31, 2005.
(h) 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 on Form N-CSR and Form N-Q 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: February 24, 2006
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: February 24, 2006
By: /s/ Peter Duffy
------------------------
Peter Duffy
Chief Financial Officer
and Treasurer
Date: February 24, 2006