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.
President Sullivan & Worcester LLP
The Travelers Series Trust 1666 K Street, N.W.
260 Madison Avenue, 10th Floor Washington, D.C. 20006
New York, NY 10016
Registrant's telephone number, including area code: (800) 848-3854
Date of fiscal year end: October 31
Date of reporting period: April 30, 2006
ITEM 1: REPORT TO SHAREHOLDERS.
THE TRAVELERS
SERIES TRUST
AIM Capital Appreciation Portfolio
MFS Total Return Portfolio
Pioneer Strategic Income Portfolio
Salomon Brothers Strategic Total Return Bond Portfolio
Strategic Equity Portfolio
Travelers Managed Income Portfolio
Van Kampen Enterprise Portfolio
SEMIANNUAL REPORT
APRIL 30, 2006
AIM CAPITAL APPRECIATION PORTFOLIO
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PORTFOLIO COMPOSITION (% of portfolio market value)
As of 4/30/06
[CHART]
Technology 18.1%
Non-Cyclical 17.6%
Industrials 16.6%
Communications 13.9%
Cyclical 12.8%
Financials 12.1%
Energy 5.9%
Basic Materials 3.0%
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TOP TEN HOLDINGS BY MARKET VALUE
As of 4/30/06
Percent of
Description Net Assets
----------------------------------------
Cisco Systems, Inc. 2.31%
----------------------------------------
Apple Computer, Inc. 2.27%
----------------------------------------
Amdocs, Ltd. 2.15%
----------------------------------------
QUALCOMM, Inc. 2.05%
----------------------------------------
Analog Devices, Inc. 2.01%
----------------------------------------
Aetna, Inc. 1.90%
----------------------------------------
Office Depot, Inc. 1.83%
----------------------------------------
Freescale Semiconductor, Inc. 1.77%
----------------------------------------
Google, Inc. 1.69%
----------------------------------------
Nokia Oyj (ADR) 1.67%
----------------------------------------
MFS TOTAL RETURN PORTFOLIO
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TOP TEN HOLDINGS BY MARKET VALUE
As of 4/30/06
Percent of
Description Net Assets
-------------------------------------------------
Bank of America Corp. 2.73%
-------------------------------------------------
U.S. Treasury Notes (6.500%, 02/15/10) 2.47%
-------------------------------------------------
JPMorgan Chase & Co. 1.95%
-------------------------------------------------
U.S. Treasury Notes (5.625%, 05/15/08) 1.92%
-------------------------------------------------
Sprint Nextel Corp. 1.63%
-------------------------------------------------
Wyeth 1.61%
-------------------------------------------------
Merck & Co., Inc. 1.54%
-------------------------------------------------
Masco Corp. 1.37%
-------------------------------------------------
PNC Financial Services Group, Inc. 1.33%
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U.S. Treasury Notes (6.000%, 02/15/26) 1.33%
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PORTFOLIO COMPOSITION (% of portfolio market value)
As of 4/30/06
[CHART]
Common Stocks 70.3%
U.S. Government & Agency Obligations 15.0%
Domestic Bonds & Debt Securities 14.5%
Foreign Bonds & Debt Securities 0.2%
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1
PIONEER STRATEGIC INCOME PORTFOLIO
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PORTFOLIO COMPOSITION (% of portfolio market value)
As of 4/30/06
[CHART]
High Yield Corporate Bonds 24.9%
Mortgage-Backed Securities 25.1%
U.S. Treasuries 20.2%
Stocks/Other 10.3%
Foreign Bonds - Investment Grade 9.4%
Investment Grade Corporate Bonds 8.6%
Municipal Bonds 1.5%
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TOP TEN HOLDINGS BY MARKET VALUE
As of 4/30/06
Percent of
Description Net Assets
----------------------------------------------------------------------
U.S. Treasury Inflation Indexed Notes (3.500%, 01/15/11) 4.69%
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U.S. Treasury Inflation Indexed Notes (1.875%, 07/15/15) 2.36%
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U.S. Treasury Strips (0.000%, 11/15/13) 2.16%
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U.S. Treasury Bonds (7.250%, 05/15/16) 1.68%
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Federal Home Loan Mortgage Corp. (6.000%, 10/01/35) 1.63%
----------------------------------------------------------------------
Government National Mortgage Association (5.000%, 06/15/35) 1.53%
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U.S. Treasury Inflation Indexed Notes (3.000%, 07/15/12) 1.46%
----------------------------------------------------------------------
U.S. Treasury Notes (4.000%, 02/15/15) 1.24%
----------------------------------------------------------------------
U.S. Treasury Inflation Indexed Notes (3.375%, 01/15/12) 1.11%
----------------------------------------------------------------------
Government National Mortgage Association (5.000%, 04/15/34) 1.11%
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SALOMON BROTHERS STRATEGIC TOTAL RETURN BOND
PORTFOLIO
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TOP TEN HOLDINGS BY MARKET VALUE
As of 4/30/06
Percent of
Description Net Assets
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U.S. Treasury Notes (4.750%, 03/31/11) 25.41%
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U.S. Treasury Notes (4.500%, 02/15/16) 16.28%
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Federal National Mortgage Association (5.000%, TBA) 4.02%
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U.S. Treasury Notes (4.250%, 08/15/15) 4.00%
--------------------------------------------------------------
U.S. Treasury Bonds (6.250%, 05/15/30) 3.85%
--------------------------------------------------------------
Federal National Mortgage Association (6.500%, TBA) 3.55%
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U.S. Treasury Notes (4.000%, 04/15/10) 3.29%
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U.S. Treasury Notes (5.000%, 02/15/11) 2.14%
--------------------------------------------------------------
U.S. Treasury Notes (4.000%, 02/15/14) 1.63%
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General Motors Acceptance Corp. (5.625%, 05/15/09) 1.59%
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PORTFOLIO COMPOSITION (% of portfolio market value)
As of 4/30/06
[CHART]
Common Stocks 1.1%
Domestic Bonds & Debt Securities 32.4%
Foreign Bonds & Debt Securities 3.3%
Rights/ Warrants 0.0%
U.S. Government & Agency Obligations 63.2%
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2
STRATEGIC EQUITY PORTFOLIO
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PORTFOLIO COMPOSITION (% portfolio market value)
As of 4/30/06
[CHART]
Non-Cyclical 35.8%
Financials 18.3%
Industrials 12.4%
Communications 11.0%
Technology 10.3%
Cyclical 8.4%
Energy 3.0%
Basic Materials 0.8%
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TOP TEN HOLDINGS BY MARKET VALUE
As of 4/30/06
Percent of
Description Net Assets
---------------------------------------------
American International Group, Inc. 7.67%
---------------------------------------------
General Electric Co. 5.77%
---------------------------------------------
Johnson & Johnson 4.38%
---------------------------------------------
Altria Group, Inc. 4.00%
---------------------------------------------
Microsoft Corp. 3.91%
---------------------------------------------
SLM Corp. 3.63%
---------------------------------------------
Wyeth 3.47%
---------------------------------------------
UnitedHealth Group, Inc. 2.75%
---------------------------------------------
CIENA Corp. 2.52%
---------------------------------------------
Honeywell International, Inc. 2.48%
---------------------------------------------
TRAVELERS MANAGED INCOME PORTFOLIO
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TOP TEN HOLDINGS BY MARKET VALUE
As of 4/30/06
Percent of
Description Net Assets
-----------------------------------------------------------------------
U.S. Treasury Notes (3.000%, 02/15/08) 12.30%
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U.S. Treasury Notes (5.625%, 05/15/08) 9.37%
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U.S. Treasury Notes (4.000%, 08/31/07) 6.09%
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U.S. Treasury Notes (2.875%, 11/30/06) 4.94%
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U.S. Treasury Notes
(4.125%, 08/15/10 - 05/15/15) 2.51%
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U.S. Treasury Notes (4.500%,11/15/15) 2.25%
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Federal National Mortgage Association (6.000%, 05/15/11) 1.94%
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Time Warner, Inc. (6.150%, 05/01/07) 1.55%
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Banc of America Commercial Mortgage, Inc. (4.870%, 12/10/42) 1.54%
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U.S. Treasury Notes (2.750%, 08/15/07) 1.50%
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PORTFOLIO COMPOSITION (% of portfolio market value)
As of 4/30/06
[CHART]
Asset - Backed 2.1%
Collateralized Mortgage Obligations 7.9%
Domestic Corporate Bonds 43.1%
Rights/Warrants 0.0%
U.S. Agency Mortgage 4.6%
U.S. Treasury 42.3%
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3
VAN KAMPEN ENTERPRISE PORTFOLIO
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PORTFOLIO COMPOSITION (% of portfolio market value)
As of 4/30/06
[CHART]
Non-Cyclical 28.4%
Energy 4.4%
Basic Materials 3.1%
Financials 6.6%
Cyclical 16.2%
Industrials 14.6%
Technology 16.5%
Communications 9.9%
Utilities 0.3%
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TOP TEN HOLDINGS BY MARKET VALUE
As of 4/30/06
Percent of
Description Net Assets
------------------------------------------
UnitedHealth Group, Inc. 3.00%
------------------------------------------
Celgene Corp. 2.63%
------------------------------------------
Corning, Inc. 2.14%
------------------------------------------
United Technologies Corp. 2.11%
------------------------------------------
CVS Corp. 2.04%
------------------------------------------
Gilead Sciences, Inc. 1.92%
------------------------------------------
Procter & Gamble Co. 1.81%
------------------------------------------
American Eagle Outfitters, Inc. 1.74%
------------------------------------------
Merrill Lynch & Co., Inc. 1.68%
------------------------------------------
PepsiCo, Inc. 1.49%
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4
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 The 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 November 1, 2005 through April 30, 2006. 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*
11/1/05 4/30/06 11/1/05-4/30/06
AIM CAPITAL APPRECIATION PORTFOLIO ------------- ------------- ---------------
Actual $1,000.00 $1,120.80 $4.68
Hypothetical (5% return before expenses) 1,000.00 1,020.38 4.46
- ------------------------------------------ ------------- ------------- ---------------
* Expenses are equal to the Portfolio's annualized expense ratio of 0.89%,
multiplied by the average account value over the period, multiplied by 181/365
(to reflect the one-half year period).
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING PERIOD*
11/1/05 4/30/06 11/1/05-4/30/06
MFS TOTAL RETURN PORTFOLIO ------------- ------------- ---------------
Actual $1,000.00 $1,059.10 $4.14
Hypothetical (5% return before expenses) 1,000.00 1,020.78 4.06
- ------------------------------------------ ------------- ------------- ---------------
* Expenses are equal to the Portfolio's annualized expense ratio of 0.81%,
multiplied by the average account value over the period, multiplied by 181/365
(to reflect the one-half year period).
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING PERIOD*
11/1/05 4/30/06 11/1/05-4/30/06
PIONEER STRATEGIC INCOME PORTFOLIO ------------- ------------- ---------------
Actual $1,000.00 $1,032.50 $4.28
Hypothetical (5% return before expenses) 1,000.00 1,020.58 4.26
- ------------------------------------------ ------------- ------------- ---------------
* Expenses are equal to the Portfolio's annualized expense ratio of 0.85%,
multiplied by the average account value over the period, multiplied by 181/365
(to reflect the one-half year period).
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING PERIOD*
11/1/05 4/30/06 11/1/05-4/30/06
SALOMON BROTHERS STRATEGIC TOTAL RETURN BOND PORTFOLIO ------------- ------------- ---------------
Actual $1,000.00 $1,004.00 $7.35
Hypothetical (5% return before expenses) 1,000.00 1,017.46 7.40
- ------------------------------------------------------ ------------- ------------- ---------------
* Expenses are equal to the Portfolio's annualized expense ratio of 1.48%,
multiplied by the average account value over the period, multiplied by 181/365
(to reflect the one-half year period).
5
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING PERIOD*
11/1/05 4/30/06 11/1/05-4/30/06
STRATEGIC EQUITY PORTFOLIO ------------- ------------- ---------------
Actual $1,000.00 $1,082.90 $4.44
Hypothetical (5% return before expenses) 1,000.00 1,020.58 4.26
- ------------------------------------------ ------------- ------------- ---------------
* Expenses are equal to the Portfolio's annualized expense ratio of 0.86%,
multiplied by the average account value over the period, multiplied by 181/365
(to reflect the one-half year period).
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING PERIOD*
11/1/05 4/30/06 11/1/05-4/30/06
TRAVELERS MANAGED INCOME PORTFOLIO ------------- ------------- ---------------
Actual $1,000.00 $1,006.00 $3.58
Hypothetical (5% return before expenses) 1,000.00 1,021.22 3.61
- ------------------------------------------ ------------- ------------- ---------------
* Expenses are equal to the Portfolio's annualized expense ratio of 0.72%,
multiplied by the average account value over the period, multiplied by 181/365
(to reflect the one-half year period).
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING PERIOD*
11/1/05 4/30/06 11/1/05-4/30/06
VAN KAMPEN ENTERPRISE PORTFOLIO ------------- ------------- ---------------
Actual $1,000.00 $1,098.00 $4.73
Hypothetical (5% return before expenses) 1,000.00 1,020.28 4.56
- ------------------------------------------ ------------- ------------- ---------------
* Expenses are equal to the Portfolio's annualized expense ratio of 0.91%,
multiplied by the average account value over the period, multiplied by 181/365
(to reflect the one-half year period).
6
THE TRAVELERS SERIES TRUST
AIM CAPITAL APPRECIATION PORTFOLIO
PORTFOLIO OF INVESTMENTS
APRIL 30, 2006 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
--------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
--------------------------------------------------------------------
COMMON STOCKS - 98.9%
AEROSPACE & DEFENSE - 3.9%
Boeing Co. (The).............................. 45,965 $ 3,835,779
General Dynamics Corp......................... 30,622 2,009,416
Precision Castparts Corp...................... 38,676 2,435,814
Rockwell Collins, Inc......................... 21,859 1,250,335
-------------
9,531,344
-------------
BANKS - 0.8%
Kookmin Bank (ADR)............................ 22,100 1,968,005
-------------
BEVERAGES - 0.7%
PepsiCo, Inc.................................. 29,654 1,727,049
-------------
BIOTECHNOLOGY - 2.7%
Cephalon, Inc.*............................... 27,481 1,804,402
Gilead Sciences, Inc.*........................ 58,829 3,382,668
PDL BioPharma, Inc.*.......................... 44,515 1,281,142
-------------
6,468,212
-------------
CHEMICALS - 0.8%
Monsanto Co................................... 22,258 1,856,317
-------------
COMMERCIAL SERVICES & SUPPLIES - 0.7%
Robert Half International, Inc................ 37,566 1,587,915
-------------
COMMUNICATIONS EQUIPMENT - 7.5%
Cisco Systems, Inc.*.......................... 266,037 5,573,475
Harris Corp................................... 41,056 1,911,978
Nokia Oyj (ADR)............................... 178,062 4,034,885
QUALCOMM, Inc................................. 96,575 4,958,160
Tellabs, Inc.*................................ 110,049 1,744,277
-------------
18,222,775
-------------
COMPUTERS & PERIPHERALS - 4.1%
Apple Computer, Inc.*......................... 77,707 5,469,796
EMC Corp.*.................................... 91,861 1,241,042
Network Appliance, Inc.*...................... 24,591 911,588
Seagate Technology*........................... 47,706 1,267,071
Western Digital Corp.*........................ 49,618 1,043,963
-------------
9,933,460
-------------
CONSTRUCTION & ENGINEERING - 0.5%
McDermott International, Inc.*................ 19,217 1,168,394
-------------
ELECTRICAL EQUIPMENT - 3.1%
ABB Ltd.*(a).................................. 240,000 3,417,182
Amphenol Corp. - Class A...................... 21,505 1,242,989
Fanuc Ltd.(a)................................. 12,600 1,193,765
Matsushita Electric Industrial Co., Ltd. (ADR) 70,100 1,697,121
-------------
7,551,057
-------------
ENERGY EQUIPMENT & SERVICES - 3.8%
Baker Hughes, Inc............................. 18,226 1,473,208
Cooper Industries, Ltd. - Class A............. 8,459 773,575
Emerson Electric Co........................... 28,325 2,406,209
GlobalSantaFe Corp............................ 26,827 1,642,081
National-Oilwell Varco, Inc.*................. 40,986 2,826,804
-------------
9,121,877
-------------
----------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
----------------------------------------------------------------
FINANCIAL - DIVERSIFIED - 7.1%
Charles Schwab Corp. (The)................ 209,216 $ 3,744,967
Chicago Mercantile Exchange Holdings, Inc. 2,356 1,079,048
Goldman Sachs Group, Inc.................. 24,286 3,892,803
Janus Capital Group, Inc.................. 122,189 2,377,798
JPMorgan Chase & Co....................... 28,000 1,261,751
Merrill Lynch & Co., Inc.................. 46,551 3,549,979
SLM Corp.................................. 23,348 1,234,642
-------------
17,140,988
-------------
HEALTH CARE EQUIPMENT & SUPPLIES - 2.5%
Alcon, Inc................................ 21,749 2,212,091
Becton, Dickinson & Co.................... 24,000 1,512,960
Varian Medical Systems, Inc.*............. 44,515 2,331,695
-------------
6,056,746
-------------
HEALTH CARE PROVIDERS & SERVICES - 5.1%
Aetna, Inc................................ 118,946 4,579,421
Cardinal Health, Inc...................... 24,466 1,647,785
Caremark Rx, Inc.*........................ 54,956 2,503,246
Health Net, Inc.*......................... 32,554 1,324,948
Manor Care, Inc........................... 23,102 1,013,022
Omnicare, Inc............................. 23,159 1,313,347
-------------
12,381,769
-------------
HOTELS, RESTAURANTS & LEISURE - 0.9%
Darden Restaurants, Inc................... 30,450 1,205,820
Ruby Tuesday, Inc......................... 35,072 1,044,093
-------------
2,249,913
-------------
HOUSEHOLD DURABLES - 0.9%
Garmin, Ltd............................... 10,451 902,549
Procter & Gamble Co....................... 21,401 1,245,752
-------------
2,148,301
-------------
INDUSTRIAL - DIVERSIFIED - 1.5%
Textron, Inc.............................. 40,575 3,649,721
-------------
INSURANCE - 4.0%
Assurant, Inc............................. 45,100 2,172,467
CIGNA Corp................................ 36,395 3,894,265
HCC Insurance Holdings, Inc............... 36,539 1,223,691
MGIC Investment Corp...................... 19,471 1,376,600
Millea Holdings, Inc. (ADR)............... 10,500 1,051,994
-------------
9,719,017
-------------
INTERNET & CATALOG RETAIL - 1.3%
eBay, Inc.*............................... 94,224 3,242,248
-------------
INTERNET SOFTWARE & SERVICES - 1.7%
Google, Inc.*............................. 9,763 4,080,348
-------------
IT CONSULTING & SERVICES - 1.2%
Electronic Data Systems Corp.............. 65,594 1,776,285
Redback Networks, Inc.*................... 50,604 1,133,530
-------------
2,909,815
-------------
See notes to financial statements
7
THE TRAVELERS SERIES TRUST
AIM CAPITAL APPRECIATION PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
APRIL 30, 2006 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
--------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
--------------------------------------------------------------
MACHINERY - 4.5%
Joy Global, Inc...................... 34,024 $ 2,235,036
Komatsu Ltd.(a)...................... 84,000 1,794,275
Komatsu Ltd. (ADR)................... 23,917 2,042,512
Oshkosh Truck Corp................... 22,132 1,354,478
Parker Hannifin Corp................. 26,493 2,147,258
Terex Corp.*......................... 14,383 1,244,849
-------------
10,818,408
-------------
METALS & MINING - 3.0%
BHP Billiton, Ltd. (ADR)............. 34,427 1,568,494
Companhia Vale do Rio Doce (ADR)..... 41,000 2,112,320
Phelps Dodge Corp.................... 21,449 1,848,690
Rio Tinto Plc(a)..................... 29,000 1,611,608
-------------
7,141,112
-------------
OIL & GAS - 3.4%
Apache Corp.......................... 15,704 1,115,612
ENSCO International, Inc............. 43,185 2,309,966
Occidental Petroleum Corp............ 28,135 2,890,590
Valero Energy Corp................... 27,481 1,779,120
-------------
8,095,288
-------------
PHARMACEUTICALS - 4.5%
Allergan, Inc........................ 21,658 2,224,710
Barr Pharmaceuticals, Inc.*.......... 37,932 2,296,783
Novartis AG (ADR).................... 23,761 1,366,495
Roche Holding AG(a).................. 20,000 3,072,220
Wyeth................................ 37,347 1,817,678
-------------
10,777,886
-------------
RETAIL - MULTILINE - 2.8%
Costco Wholesale Corp................ 22,230 1,209,979
Federated Department Stores, Inc..... 32,525 2,532,071
J.C. Penney Co., Inc................. 46,509 3,044,479
-------------
6,786,529
-------------
RETAIL - SPECIALTY - 7.1%
Aeropostale, Inc.*................... 43,808 1,345,344
AnnTaylor Stores Corp.*.............. 35,686 1,332,158
Best Buy Co., Inc.................... 33,283 1,885,815
DSW, Inc., - Class A*................ 27,818 870,703
Harman International Industries, Inc. 19,895 1,750,561
Home Depot, Inc. (The)............... 28,604 1,142,158
Nordstrom, Inc....................... 31,917 1,223,378
Office Depot, Inc.*.................. 108,615 4,407,597
Target Corp.......................... 23,188 1,231,283
Tiffany & Co......................... 54,920 1,916,159
-------------
17,105,156
-------------
ROAD & RAIL - 2.4%
Burlington Northern Santa Fe Corp.... 47,661 3,790,479
CSX Corp............................. 30,440 2,084,836
-------------
5,875,315
-------------
-------------------------------------------------------------------
SECURITY SHARES/PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
-------------------------------------------------------------------
SEMICONDUCTOR EQUIPMENT & PRODUCTS - 8.6%
Analog Devices, Inc...................... 128,051 $ 4,855,694
ASML Holding N.V.*....................... 76,059 1,608,648
Freescale Semiconductor, Inc.*........... 134,788 4,268,736
Integrated Device Technology, Inc.*...... 69,514 1,058,003
Marvell Technology Group, Ltd.*.......... 38,818 2,216,119
Microchip Technology, Inc................ 98,191 3,658,597
NVIDIA Corp.*............................ 41,875 1,223,587
PMC-Sierra, Inc.*........................ 144,576 1,797,080
-------------
20,686,464
-------------
SOFTWARE - 6.6%
Amdocs, Ltd.*............................ 139,264 5,180,621
BEA Systems, Inc.*....................... 166,579 2,207,172
Citrix Systems, Inc.*.................... 41,691 1,664,305
Electronic Arts, Inc.*................... 39,740 2,257,232
Hyperion Solutions Corp.*................ 29,509 903,565
Microsoft Corp........................... 65,298 1,576,947
Red Hat, Inc.*........................... 76,423 2,246,072
-------------
16,035,914
-------------
TELECOMMUNICATION SERVICES - WIRELESS - 0.6%
KDDI Corp.(a)............................ 225 1,386,482
-------------
TRADING COMPANIES & DISTRIBUTORS - 0.6%
WESCO International, Inc.*............... 18,167 1,362,525
-------------
Total Common Stocks
(Cost $202,413,315) 238,786,350
-------------
SHORT-TERM INVESTMENT - 1.1%
State Street Bank & Trust Co., Repurchase
Agreement, dated 04/28/06 at 2.250%
to be repurchased at $2,656,498 on
05/01/06 collateralized by $2,060,000
U.S. Treasury Bond at 8.000% due
11/13/21 with a value of $2,711,475.
(Cost - $2,656,000).................... $2,656,000 2,656,000
-------------
TOTAL INVESTMENTS - 100.0%
(Cost $205,069,315) 241,442,350
Other Assets and Liabilities (net) - 0.0% (50,868)
-------------
TOTAL NET ASSETS - 100.0% $ 241,391,482
=============
PORTFOLIO FOOTNOTES:
* Non-income producing security.
(a) Security is valued in good faith by or under the direction of the Board of
Trustees.
ADR - American Depositary Receipt
See notes to financial statements
8
THE TRAVELERS SERIES TRUST
MFS TOTAL RETURN PORTFOLIO
PORTFOLIO OF INVESTMENTS
APRIL 30, 2006 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
--------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
--------------------------------------------------------------------
DOMESTIC BONDS & DEBT SECURITIES - 12.0%
AEROSPACE & DEFENSE - 0.5%
BAE Systems Holdings, Inc. 5.200%,
due 08/15/15 (144A)(b)............... $ 1,700,000 $ 1,584,607
Boeing Capital Corp. 6.500%, due
02/15/12............................. 1,663,000 1,731,727
Continental Airlines, Inc., Series 981A
6.648%, due 09/15/17................. 935,329 936,758
Northrop Grumman Corp. 7.750%, due
02/15/31............................. 1,395,000 1,644,485
Raytheon Co. 6.150%, due
11/01/08............................. 615,000 625,714
---------------
6,523,291
---------------
ASSET-BACKED SECURITIES - 0.2%
Bayview Financial Revolving Mortgage
Loan Trust 5.621%, due 12/28/40
(144A)(a)(b)......................... 1,080,000 1,081,760
Capital Trust Re CDO, Ltd. 5.160%, due
06/25/35 (144A)(b)................... 1,100,000 1,053,938
Falcon Franchise Loan LLC, Series
2000-1 7.382%, due 05/05/10
(144A)(b)............................ 262,118 269,153
JET Equipment Trust 11.440%, due
11/01/14 (144A)(b)(c)................ 300,000 0
Residential Funding Mortgage
Securities II, Inc. 5.320%, due
12/25/35............................. 850,000 840,333
---------------
3,245,184
---------------
AUTO PARTS & EQUIPMENT - 0.1%
Johnson Controls, Inc. 6.000%, due
01/15/36............................. 1,031,000 958,345
---------------
BANKS - 1.6%
Abbey National Capital Trust I, Trust
Preferred Securities 8.963%, due
12/29/49(a).......................... 1,151,000 1,449,830
Bank of America Corp. 5.375%, due
06/15/14............................. 840,000 820,174
Barclays Bank Plc, Perpetual Bonds
6.860%, due 12/15/49
(144A)(a)(b)......................... 975,000 1,001,993
DBS Capital Funding Corp., Series A
7.657%, due 12/31/49
(144A)(a)(b)......................... 872,000 937,513
HBOS Capital Funding LP, Tier 1 Notes
6.071%, due 06/30/49
(144A)(a)(b)......................... 550,000 543,762
Mizuho Capital Investment, Ltd.
6.686%, due 03/31/49
(144A)(a)(b)......................... 1,240,000 1,201,483
------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
------------------------------------------------------------------
BANKS - CONTINUED
Mizuho Financial Group Cayman, Ltd.
5.790%, due 04/15/14
(144A)(b).......................... $ 568,000 $ 561,707
MUFG Capital Finance 6.346%, due
07/29/49(a)........................ 969,000 949,490
Natexis AMBS Co., LLC, Series A,
Preferred Securities 8.440%, due
12/29/49 (144A)(a)(b).............. 280,000 295,696
Nordea Bank AB 5.424%, due
12/29/49 (144A)(a)(b).............. 610,000 573,843
Popular North America, Inc. 4.250%,
due 04/01/08....................... 1,910,000 1,862,059
RBS Capital Trust I, Trust Preferred
Securities, 6.425%, due
12/29/49(a)........................ 2,000,000 1,954,304
Socgen Real Estate Co., LLC, Series A
7.640%, due 12/29/49
(144A)(a)(b)....................... 1,555,000 1,596,347
UFJ Finance Aruba AEC 6.750%, due
07/15/13........................... 960,000 1,008,262
Unicredito Italiano Capital Trust II,
Trust Preferred Securities, 9.200%,
due 10/05/49 (144A)(a)(b).......... 1,412,000 1,591,998
Wachovia Corp. 5.250%, due
08/01/14........................... 2,045,000 1,959,004
Wells Fargo Bank 4.750%, due
02/09/15........................... 1,950,000 1,813,299
---------------
20,120,764
---------------
BEVERAGES - 0.2%
Diageo Finance BV 5.500%, due
04/01/13........................... 1,220,000 1,200,357
Miller Brewing Co. 5.500%, due
08/15/13 (144A)(b)................. 1,741,000 1,701,693
---------------
2,902,050
---------------
CHEMICALS - 0.1%
Dow Chemical Co.
5.750%, due 12/15/08............... 659,000 665,409
6.000%, due 10/01/12................ 493,000 501,274
---------------
1,166,683
---------------
COLLATERALIZED MORTGAGE OBLIGATIONS - 1.8%
Banc of America Commercial
Mortgage, Inc.
4.857%, due 07/10/43............... 1,250,000 1,175,312
5.354%, due 09/10/47................ 1,022,793 986,567
Bear Stearns Commercial Mortgage
Securities, Series 2005-Pwr7
5.116%, due 02/11/41............... 1,046,000 1,003,108
See notes to financial statements
9
THE TRAVELERS SERIES TRUST
MFS TOTAL RETURN PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
APRIL 30, 2006 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
-----------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
-----------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS - CONTINUED
BlackRock Capital Finance LP, Series
1996-R1 7.750%, due 09/25/26
(144A)(b)............................... $ 146,139 $ 141,948
Chase Commercial Mortgage Securities
Corp., Series 1998-C1 7.543%, due
07/15/32................................ 170,533 176,587
Citigroup/Deutsche Bank Commercial
Mortgage Trust, Series 2005-CD1
5.400%, due 07/15/44.................... 930,000 912,003
CRIIMI MAE Commercial Mortgage Trust
Series 1998-1 6.701%, due
06/20/30(b)............................ 420,000 421,895
Series 1998-C1 7.000%, due
06/02/33(b)............................ 1,590,328 1,604,243
Deutsche Mortgage and Asset Receiving
Corp., Series 1998-C1 6.538%, due
06/15/31................................ 751,998 763,045
GE Capital Commercial Mortgage Corp.
5.519%, due 03/10/44.................... 690,000 670,621
Greenwich Capital Commercial Funding
Corp.
5.224%, due 04/10/37.................... 948,905 914,496
Series 2004-GG1 5.317%, due
06/10/36............................... 1,200,000 1,171,126
JPMorgan Chase Commercial Mortgage
Securities Corp.
5.382%, due 05/15/41.................... 1,200,000 1,167,356
Series 2005-CB12
4.948%, due 09/12/37................... 1,000,000 940,583
4.780%, due 07/15/42................... 995,000 925,482
Series 2005-CB13 5.472%, due
01/12/43............................... 1,325,000 1,288,291
Merrill Lynch/Countrywide Commercial
Mortgage Trust 5.671%, due
02/12/39................................ 560,000 550,662
Morgan Stanley Capital I, Inc. 0.728%,
due 11/15/30 (144A)(b).................. 31,122,783 509,408
Multi-Family Capital Access One, Inc.,
Series 1 6.650%, due 01/15/24........... 246,864 251,718
RAAC Series 2004-SP3 Trust
4.971%, due 09/25/34.................... 548,000 529,868
Residential Asset Mortgage Products, Inc.,
Series 2003-RZ5
3.800%, due 07/25/30.................... 175,897 174,886
Spirit Master Funding, LLC 5.050%, due
07/20/23 (144A)(b)...................... 1,064,818 1,000,469
--------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
--------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS - CONTINUED
Wachovia Bank Commercial Mortgage
Trust
Series 2005-C16 4.847%, due
10/15/41......................... $ 1,775,000 $ 1,669,947
Series 2005-C17 5.083%, due
03/15/42......................... 1,260,000 1,203,041
Series 2005-C18 4.935%, due
04/15/42......................... 1,250,000 1,181,481
Series 2005-C21 5.369%, due
10/15/44(a)...................... 1,000,000 962,736
Series 2005-C22 5.491%, due
12/15/44......................... 1,018,000 986,883
---------------
23,283,762
---------------
COMMERCIAL SERVICES & SUPPLIES - 0.2%
Cendant Corp. 6.875%, due
08/15/06.......................... 1,108,000 1,111,848
Prologis 5.750%, due 04/01/16....... 1,439,000 1,401,173
---------------
2,513,021
---------------
ELECTRIC UTILITIES - 0.1%
Entergy Louisiana, Inc., Waterford 3
Secured Lease Obligation Bonds
8.090%, due 01/02/17.............. 712,313 724,764
Midamerican Funding LLC
6.927%, due 03/01/29.............. 599,000 635,050
System Energy Resources, Inc.,
Secured Lease Obligation Bonds
5.129%, due 01/15/14
(144A)(b)......................... 613,624 592,718
---------------
1,952,532
---------------
ENERGY - 0.4%
CenterPoint Energy Resources Corp.,
Series B 7.875%, due 04/01/13..... 502,000 554,007
Duke Capital LLC 8.000%, due
10/01/19.......................... 1,022,000 1,175,527
Kinder Morgan Energy Partners LP
6.750%, due 03/15/11.............. 875,000 910,479
7.750%, due 03/15/32............... 985,000 1,092,912
Progress Energy Inc. 7.100%, due
03/01/11.......................... 1,344,000 1,419,861
---------------
5,152,786
---------------
ENVIRONMENTAL SERVICES - 0.2%
Waste Management, Inc.
7.375%, due 08/01/10 774,000 821,872
7.000%, due 07/15/28............... 1,268,000 1,315,940
---------------
2,137,812
---------------
See notes to financial statements
10
THE TRAVELERS SERIES TRUST
MFS TOTAL RETURN PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
APRIL 30, 2006 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
------------------------------------------------------------------
FINANCIAL-DIVERSIFIED - 1.2%
Bank of America Corp. 7.400%, due
01/15/11........................... $ 2,663,000 $ 2,863,314
Credit Suisse First Boston USA, Inc.
4.125%, due 01/15/10............... 2,579,000 2,458,813
General Electric Capital Corp.
8.750%, due 05/21/07................ 313,000 323,731
8.500%, due 07/24/08................ 553,000 588,042
5.450%, due 01/15/13................ 322,000 319,425
Goldman Sachs Group, Inc. 5.700%,
due 09/01/12....................... 1,591,000 1,589,121
HSBC Finance Corp.
5.250%, due 01/14/11............... 930,000 916,635
5.500%, due 01/19/16................ 1,293,000 1,248,906
JPMorgan Chase & Co. 5.125%, due
09/15/14........................... 1,292,000 1,228,985
Lehman Brothers Holdings, Inc.
8.250%, due 06/15/07............... 771,000 795,243
5.500%, due 04/04/16................ 219,000 211,562
Merrill Lynch & Co., Inc. 5.450%, due
07/15/14........................... 1,235,000 1,205,421
Morgan Stanley
6.750%, due 04/15/11............... 864,000 905,853
4.750%, due 04/01/14................ 798,000 738,001
---------------
15,393,052
---------------
FOOD PRODUCTS - 0.2%
Cadbury Schweppes US Finance LLC
5.125%, due 10/01/13
(144A)(b).......................... 1,585,000 1,508,898
Kraft Foods, Inc. 6.250%, due
06/01/12........................... 903,000 926,166
---------------
2,435,064
---------------
HAND/MACHINE TOOLS - 0.1%
Kennametal, Inc. 7.200%, due
06/15/12........................... 927,000 979,098
---------------
HEALTH CARE PROVIDERS & SERVICES - 0.3%
Allergan, Inc. 5.750%, due 04/01/16
(144A)(b).......................... 1,040,000 1,026,101
Cardinal Health Inc. 5.850%, due
12/15/17........................... 488,000 473,966
HCA, Inc.
8.750%, due 09/01/10............... 213,000 230,696
6.950%, due 05/01/12................ 828,000 830,843
Wellpoint, Inc. 5.250%, due
01/15/16........................... 870,000 826,745
Wyeth 5.500%, due 03/15/13........... 1,029,000 1,012,415
---------------
4,400,766
---------------
HOUSEHOLD PRODUCTS - 0.1%
Fortune Brands, Inc. 5.125%, due
01/15/11........................... 1,031,000 1,006,348
---------------
------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
------------------------------------------------------------------
INSURANCE - 0.5%
AIG SunAmerica Institutional Funding
II 5.750%, due 02/16/09............ $ 816,000 $ 823,354
Allstate Corp. 5.550%, due
05/09/35........................... 956,000 852,769
American International Group, Inc.
4.250%, due 05/15/13............... 1,307,000 1,196,556
5.050%, due 10/01/15
(144A)(b)......................... 1,000,000 941,519
Fund American Cos., Inc 5.875%, due
05/15/13........................... 630,000 614,660
Genworth Financial, Inc. 5.750%, due
06/15/14........................... 600,000 594,096
ING Groep NV 5.775%, due
12/29/49(a)........................ 2,081,000 1,993,101
St. Paul Travelers Cos., Inc. 5.500%,
due 12/01/15....................... 686,000 660,689
---------------
7,676,744
---------------
MEDIA - 0.4%
COX Communications, Inc. 4.625%,
due 06/01/13....................... 998,000 906,992
News America Holdings, Inc. 8.500%,
due 02/23/25....................... 572,000 655,731
News America, Inc. 6.200%, due
12/15/34........................... 923,000 853,490
Time Warner Entertainment Co. LP
10.150%, due 05/01/12.............. 484,000 573,747
8.375%, due 07/15/33................ 463,000 529,584
Walt Disney Co. 6.375%, due
03/01/12........................... 1,204,000 1,245,095
---------------
4,764,639
---------------
METALS & MINING - 0.1%
Alcan, Inc. 5.000%, due 06/01/15..... 707,000 659,437
---------------
OIL & GAS - 0.5%
Amerada Hess Corp. 7.300%, due
08/15/31........................... 850,000 923,677
Devon Financing Corp. ULC 6.875%,
due 09/30/11....................... 349,000 368,853
Halliburton Co. 5.500%, due
10/15/10........................... 1,045,000 1,043,336
Nexen, Inc. 5.875%, due 03/10/35..... 750,000 680,639
Ocean Energy, Inc. 7.250%, due
10/01/11........................... 1,103,000 1,180,936
Valero Energy Corp. 6.875%, due
04/15/12........................... 737,000 775,002
XTO Energy, Inc. 5.650%, due
04/01/16........................... 1,300,000 1,266,291
---------------
6,238,734
---------------
See notes to financial statements
11
THE TRAVELERS SERIES TRUST
MFS TOTAL RETURN PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
APRIL 30, 2006 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
-----------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
-----------------------------------------------------------------
PAPER & FOREST PRODUCTS - 0.2%
MeadWestvaco Corp. 6.800%, due
11/15/32.......................... $ 441,000 $ 412,091
Weyerhaeuser Co. 6.750%, due
03/15/12.......................... 1,500,000 1,552,560
---------------
1,964,651
---------------
REAL ESTATE - 0.5%
EOP Operating, LP 6.800%, due
01/15/09.......................... 1,751,000 1,804,798
HRPT Properties Trust (REIT) 6.250%,
due 08/15/16...................... 967,000 960,311
Simon Property Group LP (REIT)
6.375%, due 11/15/07.............. 843,000 854,237
5.100%, due 06/15/15............... 394,000 368,778
Vornado Realty LP
5.625%, due 06/15/07.............. 1,804,000 1,804,060
4.750%, due 12/01/10............... 348,000 333,396
---------------
6,125,580
---------------
RETAIL - MULTILINE - 0.3%
Home Depot, Inc. 5.400%, due
03/01/16.......................... 1,822,000 1,774,586
May Department Stores Co. 5.750%,
due 07/15/14...................... 1,000,000 982,624
Wal-Mart Stores, Inc. 5.250%, due
09/01/35.......................... 1,298,000 1,140,079
---------------
3,897,289
---------------
SOVEREIGN - 0.0%
Financing Corp. 9.650%, due
11/02/18.......................... 310,000 424,673
---------------
TELECOMMUNICATION SERVICES - DIVERSIFIED - 1.2%
BellSouth Corp. 6.550%, due
06/15/34.......................... 852,000 840,609
Cingular Wireless LLC 6.500%, due
12/15/11.......................... 650,000 678,699
Cisco Systems, Inc. 5.500%, due
02/22/16.......................... 1,570,000 1,530,436
Deutsche Telekom International
Finance BV 8.250%, due
06/15/30.......................... 1,269,000 1,506,814
France Telecom S.A. 7.750%, due
03/01/11.......................... 346,000 376,410
PCCW Capital II, Ltd. 6.000%, due
07/15/13 (144A)(b)................ 737,000 725,153
SBC Communications, Inc.
5.100%, due 09/15/14............... 1,337,000 1,258,732
6.150%, due 09/15/34............... 442,000 416,328
Sprint Capital Corp. 6.875%, due
11/15/28.......................... 879,000 905,546
-------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
-------------------------------------------------------------------
TELECOMMUNICATION SERVICES - DIVERSIFIED - CONTINUED
TCI Communications, Inc. 9.650%, due
03/31/27............................ $ 3,319,000 $ 3,558,393
Telecom Italia Capital S.A.
5.250%, due 11/15/13................. 545,000 513,915
6.000%, due 09/30/34................. 620,000 553,314
Telefonica Europe BV 7.750%, due
09/15/10............................ 450,000 483,163
Verizon New York, Inc., Series A
6.875%, due 04/01/12................ 2,400,000 2,463,247
---------------
15,810,759
---------------
TRANSPORTATION - 0.1%
CSX Corp. 6.750%, due 03/15/11........ 415,000 433,793
Union Pacific Corp
6.125%, due 01/15/12................. 292,000 297,145
5.375%, due 05/01/14................. 763,000 740,643
---------------
1,471,581
---------------
UTILITIES - 0.9%
Dominion Resources, Inc. 5.150%, due
07/15/15............................ 1,150,000 1,069,315
Exelon Generation Co. LLC 6.950%,
due 06/15/11........................ 1,407,000 1,480,044
FirstEnergy Corp., Series B 6.450%,
due 11/15/11........................ 1,388,000 1,431,338
Hydro-Quebec, Series JL 6.300%, due
05/11/11............................ 1,250,000 1,297,114
Midamerican Energy Holdings Co.
3.500%, due 05/15/08................. 544,000 523,228
5.875%, due 10/01/12................. 268,000 268,352
6.125%, due 04/01/36
(144A)(b).......................... 551,000 525,605
Niagara Mohawk Power Corp. 7.750%,
due 05/15/06........................ 271,000 271,223
Northeast Utilities, Series A 8.580%,
due 12/01/06........................ 104,880 105,530
Pacific Gas & Electric Co. 4.800%, due
03/01/14............................ 1,500,000 1,408,459
PSEG Power LLC
6.950%, due 06/01/12................. 405,000 424,978
8.625%, due 04/15/31................. 533,000 659,936
TXU Energy Co. LLC 7.000%, due
03/15/13-09/01/22................... 2,092,000 2,176,471
---------------
11,641,593
---------------
Total Domestic Bonds & Debt
Securities (Cost $159,506,407) 154,846,238
---------------
See notes to financial statements
12
THE TRAVELERS SERIES TRUST
MFS TOTAL RETURN PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
APRIL 30, 2006 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
------------------------------------------------------------------
U. S. GOVERNMENT AGENCY MORTGAGE BACKED SECURITIES - 14.7%
Federal Home Loan Mortgage Corp.
3.750%, due 11/15/06................ $ 2,663,000 $ 2,642,138
4.125%, due 11/18/09................ 3,100,000 2,994,606
6.000%, due 04/01/16-08/01/35....... 8,120,103 8,136,352
4.500%, due 05/01/18-04/01/35....... 5,795,085 5,484,514
5.000%, due 05/01/18-10/01/35....... 13,869,892 13,196,827
5.500%, due 04/01/19-10/01/35....... 14,303,571 13,945,998
6.500%, due 05/01/34-11/01/34....... 1,923,104 1,957,815
Federal Home Loan Mortgage Corp. -
Gold Pool
5.500%, due 12/01/20................ 107,555 106,618
6.000%, due 12/01/25-03/01/36....... 1,190,819 1,191,260
Federal National Mortgage Association
3.250%, due 07/31/06................ 3,000,000 2,985,702
5.722%, due 02/01/09................ 1,400,000 1,401,409
6.330%, due 03/01/11................ 182,597 187,138
4.620%, due 04/01/13................ 113,519 107,950
4.010%, due 08/01/13................ 112,021 102,361
4.019%, due 08/01/13................ 761,442 697,474
4.630%, due 04/01/14................ 277,718 261,531
4.518%, due 05/01/14................ 981,473 919,381
4.847%, due 08/01/14................ 571,537 545,434
4.925%, due 04/01/15................ 1,739,457 1,661,456
4.760%, due 10/01/15................ 99,319 93,534
6.000%, due 07/01/16-02/01/36....... 22,897,263 22,902,547
5.000%, due 11/01/17-08/01/35....... 18,735,902 18,034,858
5.500%, due 11/01/17-10/01/35....... 61,528,643 60,038,719
4.500%, due 04/01/18-03/01/35....... 8,575,630 8,102,401
4.880%, due 03/01/20................ 237,814 232,378
7.500%, due 10/01/29-02/01/32....... 623,054 648,819
6.500%, due 06/01/31-03/01/36....... 6,765,940 6,898,671
Government National Mortgage
Association
6.000%, due 10/15/32-04/20/35....... 4,234,972 4,249,866
5.500%, due 11/15/32-10/15/35....... 5,914,819 5,809,267
4.500%, due 07/20/33-09/15/33....... 1,097,545 1,016,437
5.000%, due 07/20/33-12/15/34....... 1,239,289 1,188,054
6.500%, due 11/20/35-02/20/36....... 739,869 754,084
---------------
Total U. S. Government Agency
Mortgage Backed Securities
(Cost $194,279,791) 188,495,599
---------------
U. S. GOVERNMENT & AGENCY OBLIGATIONS - 12.9%
Federal Home Loan Bank
3.250%, due 07/21/06................ 1,985,000 1,976,466
3.750%, due 09/28/06................ 6,120,000 6,085,006
3.900%, due 02/25/08................ 740,000 724,023
5.250%, due 06/18/14................ 1,400,000 1,391,557
------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
------------------------------------------------------------------
U. S. GOVERNMENT & AGENCY OBLIGATIONS - CONTINUED
Federal National Mortgage Association
3.000%, due 03/02/07................ $ 1,533,000 $ 1,505,578
6.000%, due 05/15/08-05/15/11....... 4,498,000 4,587,639
6.625%, due 09/15/09-11/15/10....... 7,765,000 8,156,034
6.125%, due 03/15/12................ 5,955,000 6,197,386
5.500%, due 11/01/34................ 1,696,535 1,650,294
Small Business Administration
Participation Certificates
5.390%, due 12/01/25............... 681,000 668,348
Series 2003-20G4.350%, due
07/01/23.......................... 1,815,059 1,682,239
U.S. Treasury Inflation Indexed Notes
4.250%, due 01/15/10................ 4,455,083 4,796,525
3.000%, due 07/15/12................ 5,531,079 5,765,072
U.S. Treasury Notes
6.875%, due 05/15/06................ 2,913,000 2,915,275
7.000%, due 07/15/06................ 5,164,000 5,185,183
4.375%, due 05/15/07................ 1,719,000 1,709,733
3.250%, due 08/15/07................ 3,098,000 3,034,345
3.000%, due 11/15/07................ 2,995,000 2,911,466
5.625%, due 05/15/08................ 24,308,000 24,654,583
4.750%, due 11/15/08-05/15/14....... 11,607,000 11,556,499
4.000%, due 06/15/09-11/15/12....... 3,720,000 3,520,457
6.500%, due 02/15/10................ 30,049,000 31,687,602
10.375%, due 11/15/12............... 884,000 954,685
3.875%, due 02/15/13................ 1,294,000 1,211,457
4.125%, due 05/15/15................ 2,461,000 2,296,805
4.250%, due 08/15/15................ 4,077,000 3,833,493
9.875%, due 11/15/15................ 1,165,000 1,582,261
4.500%, due 02/15/16................ 1,095,000 1,047,265
6.000%, due 02/15/26................ 15,784,000 17,097,276
5.375%, due 02/15/31................ 4,866,000 4,938,990
---------------
Total U. S. Government & Agency
Obligations (Cost $169,257,258) 165,323,542
---------------
FOREIGN BONDS & DEBT SECURITIES - 0.2%
MEXICO - 0.2%
United Mexican States
5.625%, due 01/15/17................ 626,000 599,082
8.625%, due 02/01/22................ 153,000 177,174
Series A
6.625%, due 03/03/15.............. 61,000 63,166
6.375%, due 01/16/13.............. 704,000 715,616
7.500%, due 04/08/33.............. 527,000 575,484
---------------
2,130,522
---------------
Total Foreign Bonds & Debt Securities
(Cost $2,200,393) 2,130,522
---------------
See notes to financial statements
13
THE TRAVELERS SERIES TRUST
MFS TOTAL RETURN PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
APRIL 30, 2006 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
--------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
--------------------------------------------------------------
COMMON STOCKS - 59.3%
AEROSPACE & DEFENSE - 1.9%
Lockheed Martin Corp.............. 145,890 $ 11,073,051
Northrop Grumman Corp............. 87,390 5,846,391
United Technologies Corp.......... 117,490 7,379,547
---------------
24,298,989
---------------
AUTO COMPONENTS - 0.2%
Johnson Controls, Inc............. 33,000 2,691,150
---------------
BANKS - 6.8%
Bank of America Corp.............. 703,587 35,123,063
Mellon Financial Corp............. 442,910 16,666,703
PNC Financial Services Group, Inc. 239,480 17,115,636
SunTrust Banks, Inc............... 114,970 8,890,630
UBS AG(d)......................... 23,267 2,754,154
Wachovia Corp..................... 42,290 2,531,057
Wells Fargo & Co.................. 68,750 4,722,437
---------------
87,803,680
---------------
BEVERAGES - 1.0%
Coca-Cola Co...................... 55,700 2,337,172
Diageo Plc.(d).................... 316,473 5,216,617
Molson Coors Brewing Co. - Class B 24,040 1,775,594
PepsiCo, Inc...................... 50,390 2,934,714
---------------
12,264,097
---------------
BIOTECHNOLOGY - 0.1%
Amgen, Inc.*...................... 10,600 717,620
---------------
BUILDING PRODUCTS - 1.4%
Masco Corp........................ 550,390 17,557,441
Sherwin-Williams Co............... 16,440 837,454
---------------
18,394,895
---------------
CHEMICALS - 1.7%
Air Products & Chemicals, Inc..... 47,200 3,234,144
Dow Chemical Co................... 49,180 1,997,200
E.I. du Pont de Nemours & Co...... 100,850 4,447,485
Nalco Holding Co.*................ 154,010 2,903,089
PPG Industries, Inc............... 84,900 5,698,488
Praxair, Inc...................... 27,210 1,527,297
Syngenta AG*(d)................... 17,540 2,444,394
---------------
22,252,097
---------------
COMMUNICATIONS EQUIPMENT - 1.2%
Cisco Systems, Inc.*.............. 227,040 4,756,488
Nortel Networks Corp.*............ 4,013,680 10,676,389
---------------
15,432,877
---------------
COMPUTERS & PERIPHERALS - 1.5%
Dell, Inc.*....................... 358,330 9,388,246
International Business Machines
Corp............................ 29,060 2,392,800
Sun Microsystems, Inc.*........... 1,583,830 7,919,150
---------------
19,700,196
---------------
-----------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
-----------------------------------------------------------------
CONTAINERS & PACKAGING - 0.8%
Owens-Illinois, Inc.*................ 535,170 $ 9,782,908
Smurfit-Stone Container Corp.*....... 45,970 595,311
---------------
10,378,219
---------------
ELECTRIC UTILITIES - 2.7%
Dominion Resources, Inc.............. 121,670 9,109,433
Entergy Corp......................... 37,900 2,650,726
Exelon Corp.......................... 66,020 3,565,080
FirstEnergy Corp..................... 32,700 1,658,217
FPL Group, Inc....................... 318,830 12,625,668
NRG Energy, Inc.*.................... 26,920 1,281,123
PPL Corp............................. 116,930 3,395,647
Public Service Enterprise Group, Inc. 10,010 627,627
---------------
34,913,521
---------------
ENERGY - 0.1%
Constellation Energy Group, Inc...... 25,800 1,416,936
---------------
ENERGY EQUIPMENT & SERVICES - 1.9%
Cooper Industries, Ltd. - Class A.... 26,570 2,429,827
Diebold, Inc......................... 35,400 1,506,270
GlobalSantaFe Corp................... 140,980 8,629,386
Noble Corp........................... 115,280 9,100,203
Samsung Electronics Co., Ltd.
(GDR)(b)........................... 3,410 1,162,810
TXU Corp............................. 24,470 1,214,446
---------------
24,042,942
---------------
FINANCIAL - DIVERSIFIED - 6.7%
American Express Co.................. 140,170 7,542,548
Ameriprise Financial, Inc............ 13,514 662,726
Bank of New York Co., Inc. (The)..... 94,660 3,327,299
Capital One Financial Corp........... 41,690 3,612,022
Countrywide Financial Corp........... 79,130 3,217,426
Federal Home Loan Mortgage Corp...... 19,970 1,219,368
Federal National Mortgage
Association........................ 68,950 3,488,870
Franklin Resources, Inc.............. 37,670 3,507,830
Genworth Financial, Inc. - Class A... 148,310 4,923,892
Goldman Sachs Group, Inc............. 67,610 10,837,207
JPMorgan Chase & Co.................. 552,288 25,062,829
Lehman Brothers Holdings, Inc........ 37,620 5,686,263
Merrill Lynch & Co., Inc............. 126,830 9,672,056
Morgan Stanley....................... 46,950 3,018,885
---------------
85,779,221
---------------
FOOD PRODUCTS - 0.9%
Archer-Daniels-Midland Co............ 47,880 1,739,959
Kellogg Co........................... 117,540 5,443,277
Nestle S.A.(d)....................... 8,568 2,610,168
Sara Lee Corp........................ 78,980 1,411,373
---------------
11,204,777
---------------
See notes to financial statements
14
THE TRAVELERS SERIES TRUST
MFS TOTAL RETURN PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
APRIL 30, 2006 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
--------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
--------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES - 0.4%
Baxter International, Inc......... 11,900 $ 448,630
Tenet Healthcare Corp. *.......... 602,110 5,009,555
---------------
5,458,185
---------------
HOUSEHOLD PRODUCTS - 0.3%
Colgate-Palmolive Co.............. 43,880 2,594,185
Kimberly-Clark Corp............... 11,230 657,292
---------------
3,251,477
---------------
INDUSTRIAL-DIVERSIFIED - 1.9%
3M Co............................. 37,610 3,213,022
General Electric Co............... 228,870 7,916,613
Tyco International, Ltd........... 505,650 13,323,878
---------------
24,453,513
---------------
INSURANCE - 3.1%
ACE, Ltd.......................... 36,540 2,029,432
AFLAC, Inc........................ 35,430 1,684,342
Allstate Corp. (The).............. 272,730 15,406,518
Chubb Corp........................ 44,420 2,289,407
CIGNA Corp........................ 8,630 923,410
Conseco, Inc.*.................... 294,420 7,434,105
Hartford Financial Services Group,
Inc............................. 85,970 7,903,222
Lincoln National Corp............. 35,920 2,086,233
---------------
39,756,669
---------------
IT CONSULTING & SERVICES - 0.3%
Accenture, Ltd. - Class A......... 131,800 3,831,426
---------------
LEISURE EQUIPMENT & PRODUCTS - 0.4%
Hasbro, Inc....................... 45,980 906,266
Mattel, Inc....................... 258,650 4,184,957
---------------
5,091,223
---------------
MACHINERY - 0.9%
Deere & Co........................ 68,470 6,010,297
Finning International, Inc........ 2,830 101,802
Illinois Tool Works, Inc.......... 31,950 3,281,265
Pall Corp......................... 67,300 2,031,114
---------------
11,424,478
---------------
MEDIA - 1.7%
CBS Corp. - Class B............... 380,456 9,690,214
Ingersoll-Rand Co., Ltd. - Class A 34,290 1,500,188
New York Times Co. - Class A...... 173,970 4,312,716
Reed Elsevier Plc.(d)............. 136,380 1,353,716
Tribune Co........................ 33,840 975,607
Viacom, Inc. - Class B *.......... 45,070 1,795,138
Walt Disney Co. (The)............. 56,710 1,585,612
---------------
21,213,191
---------------
METALS & MINING - 0.1%
BHP Billiton Plc(d)............... 83,780 1,742,194
---------------
--------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
--------------------------------------------------------------
OIL & GAS - 5.3%
Amerada Hess Corp................. 31,380 $ 4,495,813
Apache Corp....................... 130,660 9,282,087
BP Plc (ADR)...................... 38,470 2,836,008
Chevron Corp...................... 69,402 4,234,910
ConocoPhillips.................... 139,840 9,355,296
Devon Energy Corp................. 179,900 10,813,789
EOG Resources, Inc................ 24,900 1,748,727
Exxon Mobil Corp.................. 264,446 16,681,254
Total S.A. (ADR).................. 62,270 8,594,505
---------------
68,042,389
---------------
PAPER & FOREST PRODUCTS - 0.6%
Bowater, Inc...................... 173,570 4,733,254
International Paper Co............ 54,020 1,963,627
MeadWestvaco Corp................. 49,260 1,404,402
---------------
8,101,283
---------------
PERSONAL PRODUCTS - 0.5%
Alberto-Culver Co................. 33,200 1,493,004
Estee Lauder Companies, Inc. -
Class A......................... 117,050 4,344,896
---------------
5,837,900
---------------
PHARMACEUTICALS - 4.6%
Abbott Laboratories............... 35,910 1,534,793
Eli Lilly & Co.................... 88,680 4,692,946
Johnson & Johnson................. 213,530 12,514,993
Merck & Co., Inc.................. 576,380 19,839,000
Wyeth............................. 424,870 20,678,423
---------------
59,260,155
---------------
RETAIL-MULTILINE - 0.7%
Federated Department Stores, Inc.. 13,820 1,075,887
Wal-Mart Stores, Inc.............. 165,630 7,458,319
---------------
8,534,206
---------------
RETAIL-SPECIALTY - 1.2%
Gap, Inc.......................... 208,000 3,762,720
Home Depot, Inc. (The)............ 45,760 1,827,197
NIKE, Inc. - Class B.............. 42,000 3,437,280
OfficeMax, Inc.................... 173,090 6,698,583
---------------
15,725,780
---------------
ROAD & RAIL - 0.6%
Burlington Northern Santa Fe Corp. 57,650 4,584,904
Norfolk Southern Corp............. 57,550 3,107,700
---------------
7,692,604
---------------
SEMICONDUCTOR EQUIPMENT & PRODUCTS - 0.5%
Analog Devices, Inc............... 39,700 1,505,424
Intel Corp........................ 183,810 3,672,524
Xilinx, Inc....................... 47,530 1,315,155
---------------
6,493,103
---------------
See notes to financial statements
15
THE TRAVELERS SERIES TRUST
MFS TOTAL RETURN PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
APRIL 30, 2006 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
--------------------------------------------------------------------
SECURITY SHARES/PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
--------------------------------------------------------------------
SOFTWARE - 2.4%
Compuware Corp.*....................... 701,860 $ 5,390,285
Oracle Corp.*.......................... 752,630 10,980,872
Symantec Corp.*........................ 922,180 15,105,308
---------------
31,476,465
---------------
TELECOMMUNICATION SERVICES - DIVERSIFIED - 3.3%
AT&T, Inc.............................. 134,164 3,516,438
Sprint Nextel Corp..................... 846,400 20,990,720
TELUS Corp............................. 58,820 2,459,803
Verizon Communications, Inc............ 485,160 16,024,835
---------------
42,991,796
---------------
TELECOMMUNICATION SERVICES - WIRELESS - 0.3%
Vodafone Group Plc (ADR)............... 137,484 3,258,371
---------------
TOBACCO - 1.2%
Altria Group, Inc...................... 211,420 15,467,487
---------------
TRADING COMPANIES & DISTRIBUTORS - 0.1%
W. W. Grainger, Inc.................... 18,970 1,459,172
---------------
TRANSPORTATION INFRASTRUCTURE - 0.0%
Con-way Inc............................ 10,770 600,104
---------------
Total Common Stocks
(Cost $659,130,348) 762,454,388
---------------
SHORT-TERM INVESTMENT - 0.9%
REPURCHASE AGREEMENT - 0.9%
State Street Bank & Trust Co.,
Repurchase Agreement, dated
04/28/06 at 3.100% to be
repurchased at 11,843,058 on
05/01/06 collateralized by
$12,185,000 U.S. Treasury Bill at
4.610% due 07/06/06 with a value
of $12,078,381.
(Cost - $11,840,000)................. $ 11,840,000 11,840,000
---------------
TOTAL INVESTMENTS - 100.0%
(Cost $1,196,214,197) 1,285,090,289
Other Assets & Liabilities (net) - 0.0% 347,269
---------------
TOTAL NET ASSETS - 100.0% $ 1,285,437,558
===============
PORTFOLIO FOOTNOTES:
* Non-income producing security.
(a) Variable or floating rate security. The stated rate represents the rate at
April 30, 2006.
(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.
(c) Security is in default.
(d) Security is valued in good faith at fair value by or under the direction of
the Board of Trustees.
ADR - American Depositary Receipt
AIG - American International Guaranty
GDR - Global Depository Receipt
REIT - Real Estate Investment Trust
The following table summarizes the credit composition of the portfolio holdings
of the MFS Total Return Portfolio at April 30, 2006, based upon quality ratings
issued by Standard & Poor's. For securities not rated by Standard & Poor's, the
equivalent Moody's rating is used.
PERCENT OF
PORTFOLIO
PORTFOLIO COMPOSITION BY CREDIT QUALITY (UNAUDITED)
---------------------------------------------------
AAA/Government/Government Agency 29.60%
AA 0.67
A 26.48
BBB 5.27
BB 0.09
B 28.97
Below B 2.67
Equities/Others 6.25
------
Total: 100.00%
======
See notes to financial statements
16
THE TRAVELERS SERIES TRUST
PIONEER STRATEGIC INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS
APRIL 30, 2006 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
-------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
-------------------------------------------------------------------
DOMESTIC BONDS & DEBT SECURITIES - 84.9%
ADVERTISING - 0.0%
Lamar Media Corp. 7.250%, due
01/01/13............................. $ 80,000 $ 80,600
-------------
AEROSPACE & DEFENSE - 0.1%
DRS Technologies, Inc. 7.625%, due
02/01/18............................. 245,000 252,656
-------------
AGRICULTURE - 0.2%
Hines Nurseries, Inc. 10.250%, due
10/01/11............................. 340,000 338,300
-------------
AIRLINES - 0.5%
AMR Corp. 9.800%, due 10/01/21......... 400,000 357,000
Calair LLC/Calair Capital Corp. 8.125%,
due 04/01/08......................... 180,000 171,900
Continental Airlines, Inc. 8.499%, due
05/01/11............................. 590,525 567,727
-------------
1,096,627
-------------
ASSET-BACKED SECURITIES - 1.8%
Ameriquest Mortgage Securities, Inc.
8.039%, due 02/25/33-03/25/33(a)...... 38,250 38,496
8.709%, due 02/25/33-10/25/33(a)...... 84,000 84,641
Asset Backed Funding Corp.
8.009%, due 12/25/32(a)............... 66,000 67,167
8.209%, due 12/25/32(a)............... 6,548 6,563
Asset Backed Securities Corp.
9.401%, due 01/15/33(a)............... 18,864 18,717
8.751%, due 04/15/33(a)............... 33,114 33,410
Bank One Issuance Trust 5.861%, due
12/15/09(a).......................... 334,000 336,575
CDC Mortgage Capital Trust 8.709%, due
10/25/33(a).......................... 16,656 16,490
Conseco Finance Securitizations Corp.
8.480%, due 12/01/30.................. 10,593 10,673
8.200%, due 09/01/32.................. 220,000 1,011
6.910%, due 05/01/33.................. 5,000 4,780
7.360%, due 09/01/33.................. 4,000 4,011
9.400%, due 09/01/33.................. 196,000 1,368
6.681%, due 12/01/33.................. 284,442 285,345
Consumer Credit Reference Index
Securities Program 6.935%, due
03/22/07 (144A)(a)(b)................ 250,000 253,750
Green Tree Financial Corp. 7.860%, due
03/01/30............................. 188,000 162,128
Green Tree Home Improvement Loan
Trust 7.100%, due 01/15/21........... 13,755 13,479
Greenpoint Manufactured Housing
8.450%, due 06/20/31................. 271,408 230,166
GSAMP Trust 9.423%, due 03/20/33(a).... 1,403 1,404
LNR CDO, Ltd. 7.700%, due 07/24/37
(144A)(a)(b)......................... 215,000 217,864
----------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
----------------------------------------------------------------------
ASSET-BACKED SECURITIES - CONTINUED
Madison Avenue Manufactured Housing
Contract Trust 8.209%, due
03/25/32(a)............................. $ 250,000 $ 167,305
Master Asset Backed Securities Trust
8.459%, due 12/25/32(a)................. 50,000 50,151
Merrill Lynch Mortgage Investors, Inc.
9.459%, due 11/25/33(a)................. 102,803 102,935
Mid-State Trust 7.540%, due 02/15/36...... 78,484 68,921
Morgan Stanley ABS Capital I, Inc.
8.709%, due 11/25/32(a)................. 12,107 12,017
Morgan Stanley Dean Witter Capital I, Inc.
8.634%, due 10/25/31(a).................. 22,623 22,311
8.710%, due 01/25/32(a).................. 72,565 72,669
8.259%, due 02/25/32(a).................. 10,456 7,364
8.334%, due 05/25/32(a).................. 21,116 20,171
8.209%, due 10/25/32(a).................. 10,247 10,082
8.709%, due 02/25/33-03/25/33(a)......... 48,745 49,188
Nykredit Realkredit AS 5.000%, due
10/01/35(c)(d).......................... 1 0
PF Export Receivables Master Trust
6.436%, due 06/01/15 (144A)(b).......... 746,409 728,611
Power Receivables Finance LLC 6.290%,
due 01/01/12 (144A)(b).................. 487,153 488,979
Structured Asset Investment Loan Trust
7.959%, due 01/25/33
(144A)(a)(b)............................ 131,848 132,351
TIAA Commercial Real Estate
Securitization 6.840%, due
05/22/37................................ 100,000 98,193
York Power Funding 12.000%, due
10/30/07 (144A)(b)(c)(d)(e)............. 51,032 0
-------------
3,819,286
-------------
AUTO PARTS & EQUIPMENT - 0.6%
Goodyear Tire & Rubber Co. (The)
9.000%, due 07/01/15.................... 1,185,000 1,226,475
-------------
BANKS - 0.9%
ATF Bank 9.250%, due 04/12/12
(144A)(b)............................... 455,000 470,561
Kazkommerts International B.V. 8.000%,
due 11/03/15 (144A)(b).................. 530,000 532,650
Russian Standard Finance S.A. 7.500%,
due 10/07/10 (144A)(b).................. 415,000 400,475
Turanalem Finance B.V. 8.500%, due
02/10/15 (144A)(b)...................... 600,000 610,500
-------------
2,014,186
-------------
BEVERAGES - 1.0%
Argentine Beverages Financial 7.375%,
due 03/22/12 (144A)(b).................. 610,000 615,337
See notes to financial statements
17
THE TRAVELERS SERIES TRUST
PIONEER STRATEGIC INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
APRIL 30, 2006 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
-------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
-------------------------------------------------------------------
BEVERAGES - CONTINUED
Central European Distribution Corp.
8.000%, due 07/25/12 (144A)(b)....... $ 590,000 $ 812,190
CIA Brasileira de Bebidas 8.750%, due
09/15/13............................. 600,000 685,500
-------------
2,113,027
-------------
BUILDING MATERIALS - 1.6%
Ainsworth Lumber Co., Ltd. 6.750%, due
03/15/14............................. 825,000 707,437
Builders FirstSource, Inc. 8.999%, due
02/15/12(a).......................... 960,000 1,000,800
Caue Finance, Ltd. 8.875%, due 08/01/15
(144A)(b)............................ 520,000 564,850
Owens Corning 7.500%, due 05/01/05-
08/01/18(c).......................... 148,000 132,008
U.S. Concrete, Inc. 8.375%, due
04/01/14............................. 935,000 965,387
-------------
3,370,482
-------------
CAPITAL GOODS - DIVERSIFIED - 0.6%
Commercial Vehicle Group, Inc. 8.000%,
due 07/01/13......................... 345,000 346,725
Greenbrier Cos., Inc. 8.375%, due
05/15/15............................. 860,000 904,075
JLG Industries, Inc. 8.375%, due
06/15/12............................. 60,000 63,900
-------------
1,314,700
-------------
CHEMICALS - 2.2%
Basell Finance Co. B.V. 8.100%, due
03/15/27 (144A)(b)................... 295,000 282,463
Crystal U.S. Holdings LLC
0.000%/10.500%, due 10/01/14(f)...... 1,381,000 1,097,895
Ineos Group Holdings Plc 7.875%, due
02/15/16 (144A)(b)................... 340,000 413,104
INVISTA 9.250%, due 05/01/12
(144A)(b)............................ 1,005,000 1,077,862
Lyondell Chemical Co. 9.500%, due
12/15/08............................. 18,000 18,855
Millennium America, Inc. 9.250%, due
06/15/08............................. 30,000 31,500
Nell AF SARL 8.375%, due 08/15/15
(144A)(b)............................ 430,000 559,774
Resolution Performance Products LLC
8.000%, due 12/15/09................. 1,000,000 1,057,500
Sterling Chemicals, Inc. 10.000%, due
12/19/07(g).......................... 27,275 26,116
-------------
4,565,069
-------------
COAL - 0.5%
Adaro Finance B.V. 8.500%, due 12/08/10
(144A)(b)............................ 1,000,000 1,032,500
-------------
---------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
---------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS - 0.4%
CS First Boston Mortgage Securities Corp.
6.122%, due 04/15/37 (144A)(b)......... $ 70,000 $ 69,502
Global Signal Trust
6.376%, due 12/15/14 (144A)(b).......... 450,000 442,445
7.036%, due 02/15/36 (144A)(b).......... 275,000 276,881
Rural Housing Trust 6.330%, due
04/01/26............................... 11,889 11,762
Sasco Net Interest Margin Trust 0.000%,
due 05/27/33 (144A)(b)(d).............. 47,114 11,779
-------------
812,369
-------------
COMMERCIAL SERVICES & SUPPLIES - 0.6%
Dollar Financial Group 9.750%, due
11/15/11............................... 625,000 660,937
HydroChem Industrial Services, Inc.
9.250%, due 02/15/13 (144A)(b)......... 660,000 658,350
-------------
1,319,287
-------------
ENGINEERING & CONSTRUCTION - 0.5%
Dycom Industries, Inc. 8.125%, due
10/15/15............................... 930,000 962,550
-------------
CONTAINERS & PACKAGING - 0.5%
AEP Industries, Inc. 7.875%, due
03/15/13............................... 452,000 464,430
Graham Packaging Co., Inc. 9.875%, due
10/15/14............................... 480,000 495,600
-------------
960,030
-------------
ELECTRONIC EQUIPMENT & SERVICES - 0.0%
Legrand S.A. 8.500%, due 02/15/25........ 20,000 24,500
Telex Communications Intermediate
Holdings, Inc. 13.000%, due
01/15/09(a)(d)......................... 26,093 16,961
-------------
41,461
-------------
ELECTRONICS - 0.2%
L-3 Communications Corp. 6.125%, due
01/15/14............................... 400,000 386,000
-------------
ENERGY - 0.3%
Aventine Renewable Energy Holdings, Inc.
10.910%, due 12/15/11
(144A)(a)(b)........................... 235,000 247,925
Southern Star Central Corp. 6.750%, due
03/01/16 (144A)(b)..................... 160,000 160,400
Targa Resources, Inc. 8.500%, due
11/01/13 (144A)(b)..................... 265,000 269,637
Williams Cos., Inc. 6.500%, due
12/01/08............................... 50,000 50,015
-------------
727,977
-------------
ENTERTAINMENT & LEISURE - 0.5%
Capitol Records, Inc. 8.375%, due
08/15/09 (144A)(b)..................... 65,000 68,575
See notes to financial statements
18
THE TRAVELERS SERIES TRUST
PIONEER STRATEGIC INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
APRIL 30, 2006 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
-------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
-------------------------------------------------------------------
ENTERTAINMENT & LEISURE - CONTINUED
Corp. Interamericana de Entretenimiento
S.A. 8.875%, due 06/14/15
(144A)(b)............................ $ 1,050,000 $ 1,046,325
EMI Group Plc 8.250%/ 9.750%, due
05/20/08(f).......................... 20,000 39,213
-------------
1,154,113
-------------
ENVIRONMENTAL SERVICES - 0.2%
Clean Harbors, Inc. 11.250%, due
07/15/12............................. 309,000 350,715
-------------
EQUIPMENT LEASING - 0.1%
Ashtead Holdings Plc 8.625%, due
08/01/15 (144A)(b)................... 140,000 145,600
-------------
FINANCIAL - DIVERSIFIED - 2.5%
Arch Western Financial LLC 6.750%, due
07/01/13............................. 20,000 19,900
Bombardier Capital, Inc. 7.090%, due
03/30/07............................. 650,000 655,720
E*TRADE Financial Corp. 8.000%, due
06/15/11............................. 725,000 752,187
Ford Motor Credit Co. 5.700%, due
01/15/10............................. 990,000 871,009
Glencore Funding LLC 6.000%, due
04/15/14 (144A)(b)................... 1,010,000 953,902
Noble Group, Ltd. 6.625%, due 03/17/15
(144A)(b)............................ 1,550,000 1,371,341
SLM Corp. 4.000%, due 07/25/14(a)...... 775,000 718,402
-------------
5,342,461
-------------
FOOD PRODUCTS - 0.2%
Eagle Family Foods, Inc. 8.750%, due
01/15/08............................. 10,000 7,525
Nutro Products, Inc. 9.230%, due
10/15/13 (144A)(a)(b)................ 320,000 328,000
-------------
335,525
-------------
HEALTH CARE PROVIDERS & SERVICES - 0.5%
Bausch & Lomb, Inc. 7.125%, due
08/01/28............................. 415,000 398,432
HCA, Inc.
7.190%, due 11/15/15.................. 10,000 10,133
8.360%, due 04/15/24.................. 50,000 51,873
7.690%, due 06/15/25.................. 50,000 49,240
Rural/Metro Corp. 9.875%, due
03/15/15............................. 555,000 600,094
-------------
1,109,772
-------------
HEALTHCARE EQUIPMENT & SERVICES - 0.2%
Medical Services Co. 12.568%, due
10/15/11 (144A)(a)(b)................ 495,000 430,650
Multicare Cos., Inc. 9.000%, due
08/01/07(d)(e)....................... 330,000 2,310
-------------
432,960
-------------
------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
------------------------------------------------------------------
HOMEBUILDERS - 1.5%
Beazer Homes USA, Inc. 8.625%, due
05/15/11............................ $ 85,000 $ 88,825
Desarrolladora Homex S.A. de C.V.
7.500%, due 09/28/15................ 950,000 920,550
K. Hovnanian Enterprises, Inc. 7.750%,
due 05/15/13........................ 30,000 29,888
Meritage Homes Corp. 6.250%, due
03/15/15............................ 540,000 488,700
Schuler Homes, Inc. 10.500%, due
07/15/11............................ 66,000 70,117
Technical Olympic USA, Inc.
9.000%, due 07/01/10................. 20,000 20,575
10.375%, due 07/01/12................ 20,000 20,600
Urbi Desarrollos Urbanos S.A. de C.V.
8.500%, due 04/19/16 (144A)(b)...... 540,000 548,100
WCI Communities, Inc.
7.875%, due 10/01/13................. 460,000 440,450
6.625%, due 03/15/15................. 705,000 618,637
-------------
3,246,442
-------------
HOTELS, RESTAURANTS & LEISURE - 0.6%
Galaxy Entertainment Finance Co., Ltd.
9.875%, due 12/15/12 (144A)(b)...... 375,000 390,000
Trump Entertainment Resorts, Inc.
8.500%, due 06/01/15................ 825,000 816,750
-------------
1,206,750
-------------
INDUSTRIAL - DIVERSIFIED - 0.4%
Invensys Plc 6.500%, due 01/15/10
(144A)(b)........................... 25,000 24,000
Park-Ohio Industries, Inc. 8.375%, due
11/15/14............................ 850,000 807,500
-------------
831,500
-------------
INSURANCE - 3.1%
Conseco, Inc.
7.620%, due 08/09/06(c).............. 80,000 0
9.500%, due 10/15/06(c).............. 40,000 0
Hanover Insurance Group, Inc. 7.625%,
due 10/15/25........................ 1,000,000 995,946
Kingsway America, Inc. 7.500%, due
02/01/14............................ 1,030,000 1,027,071
Odyssey Re Holdings Corp. 7.650%, due
11/01/13............................ 810,000 805,623
Ohio Casualty Corp. 7.300%, due
06/15/14............................ 850,000 875,286
Platinum Underwriters Finance, Inc.
7.500%, due 06/01/17................ 1,305,000 1,276,659
Presidential Life Corp. 7.875%, due
02/15/09............................ 1,075,000 1,080,375
Provident Cos., Inc. 7.000%, due
07/15/18............................ 500,000 494,128
-------------
6,555,088
-------------
See notes to financial statements
19
THE TRAVELERS SERIES TRUST
PIONEER STRATEGIC INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
APRIL 30, 2006 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
------------------------------------------------------------------
MACHINERY - 0.2%
Gardner Denver, Inc. 8.000%, due
05/01/13............................ $ 400,000 $ 422,000
Manitowoc Co., Inc. (The) 10.375%, due
05/15/11(e)......................... 15,000 20,166
-------------
442,166
-------------
MEDIA - 1.3%
C&M Finance, Ltd. 8.100%, due 02/01/16
(144A)(b)........................... 1,340,000 1,327,412
CanWest Media, Inc. 8.000%, due
09/15/12............................ 879 896
CSC Holdings, Inc. 7.875%, due
12/15/07............................ 47,000 48,116
Innova S de RL 9.375%, due 09/19/13... 295,000 331,875
Kabel Deutschland GMBH 10.625%, due
07/01/14 (144A)(b).................. 1,050,000 1,139,250
Pegasus Communications Corp. 9.750%,
due 12/01/06(c)..................... 20,000 2,000
-------------
2,849,549
-------------
METALS & MINING - 2.1%
American Rock Salt Co. LLC 9.500%, due
03/15/14............................ 280,000 287,000
Asia Aluminum Holdings, Ltd. 8.000%,
due 12/23/11 (144A)(b).............. 1,105,000 1,049,750
Compass Minerals International, Inc.
0.000%/12.000%, due 12/15/12(f)...... 60,000 57,300
0.000%/12.000%, due 06/01/13(f)...... 90,000 82,350
CSN Islands IX Corp. 10.500%, due
01/15/15 (144A)(b).................. 125,000 144,375
Novelis, Inc. 7.250%, due 02/15/15
(144A)(b)........................... 400,000 390,000
Steel Dynamics, Inc. 9.500%, due
03/15/09............................ 155,000 162,169
Vale Overseas, Ltd.
6.250%, due 01/11/16................. 270,000 266,625
8.250%, due 01/17/34................. 1,100,000 1,226,500
Vedanta Resources Plc 6.625%, due
02/22/10 (144A)(b).................. 840,000 824,824
Wheeling-Pittsburgh Corp.
6.000%, due 08/01/10................. 4,537 3,176
5.000%, due 08/01/11................. 8,221 6,412
-------------
4,500,481
-------------
OFFICE FURNISHING & SUPPLIES - 0.2%
Xerox Corp.
9.750%, due 01/15/09................. 100,000 109,250
10.250%/9.750%, due 01/15/09(h)...... 35,000 50,589
7.125%, due 06/15/10................. 245,000 253,575
-------------
413,414
-------------
---------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
---------------------------------------------------------------------
OIL & GAS - 5.9%
AKer Kvaerner ASA
0.000%/5.000%, due 10/30/11(f).......... $ 10,925,000 $ 1,718,742
0.000%/5.000%, due 10/30/11(f).......... 50,000 48,500
Atlas Pipeline Partners L.P. 8.125%, due
12/15/15 (144A)(b)..................... 230,000 238,625
Baytex Energy, Ltd. 9.625%, due
07/15/10............................... 1,000,000 1,060,000
Clayton Williams Energy, Inc. 7.750%, due
08/01/13............................... 890,000 843,275
Compton Petroleum Finance Corp.
7.625%, due 12/01/13.................... 715,000 711,425
7.625%, due 12/01/13 (144A)(b).......... 350,000 348,250
Copano Energy LLC 8.125%, due 03/01/16
(144A)(b).............................. 250,000 258,125
DDI Holding A.S. 9.300%, due 01/19/12
(144A)(b).............................. 1,000,000 1,010,000
Doe Run Resources Corp. 11.750%, due
11/01/08(g)............................ 8,491 7,345
Gazprom International S.A. 7.201%, due
02/01/20 (144A)(b)..................... 800,000 837,000
Harvest Operations Corp. 7.875%, due
10/15/11............................... 490,000 482,650
J. Ray McDermott S.A. 11.500%, due
12/15/13 (144A)(b)..................... 925,000 1,078,781
LPG International, Inc. 7.250%, due
12/20/15 (144A)(b)..................... 1,000,000 977,500
Pemex Project Funding Master Trust
7.375%, due 12/15/14................... 200,000 212,500
Petroquest Energy, Inc. 10.375%, due
05/15/12............................... 440,000 469,700
Pioneer Natural Resources Co. 6.500%,
due 01/15/08........................... 17,000 17,384
Quicksilver Resources, Inc. 7.125%, due
04/01/16............................... 675,000 668,250
SemGroup L.P. 8.750%, due 11/15/15
(144A)(b).............................. 465,000 476,625
Seven Seas Petroleum, Inc. 12.500%, due
05/15/05(c)(d)(e)...................... 60,000 0
Stone Energy Corp.
8.250%, due 12/15/11.................... 80,000 84,000
6.750%, due 12/15/14.................... 300,000 303,000
TransMontaigne, Inc. 9.125%, due
06/01/10............................... 550,000 594,000
XCL, Ltd. 13.500%, due 05/01/04
(144A)(b)(c)(d)(e)..................... 80,000 0
XTO Energy, Inc. 6.250%, due
04/15/13............................... 30,000 30,738
-------------
12,476,415
-------------
See notes to financial statements
20
THE TRAVELERS SERIES TRUST
PIONEER STRATEGIC INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
APRIL 30, 2006 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
---------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
---------------------------------------------------------------------
PAPER & FOREST PRODUCTS - 0.6%
Abitibi Consolidated, Inc. 7.875%, due
08/01/09............................... $ 1,000 $ 1,010
Bowater, Inc. 6.500%, due 06/15/13....... 950,000 885,875
Louisiana-Pacific Corp. 8.875%, due
08/15/10............................... 10,000 11,248
Sino-Forest Corp. 9.125%, due 08/17/11
(144A)(b).............................. 435,000 470,344
Tembec Industries, Inc. 7.750%, due
03/15/12............................... 20,000 11,950
-------------
1,380,427
-------------
PHARMACEUTICALS - 0.8%
Angiotech Pharmaceuticals, Inc. 7.750%,
due 04/01/14 (144A)(b)................. 870,000 878,700
Warner Chilcott Corp. 9.250%, due
02/01/15 (144A)(b)..................... 715,000 715,000
-------------
1,593,700
-------------
PUBLISHING - 0.3%
Sheridan Group, Inc. (The) 10.250%, due
08/15/11............................... 620,000 641,700
-------------
REAL ESTATE - 1.0%
B.F. Saul (REIT) 7.500%, due
03/01/14............................... 470,000 481,750
Crescent Real Estate Equities LP (REIT)
9.250%, due 04/15/09................... 210,000 219,713
Forest City Enterprises, Inc. 7.625%, due
06/01/15............................... 60,000 62,475
Trustreet Properties, Inc. (REIT) 7.500%,
due 04/01/15........................... 1,075,000 1,083,062
Ventas Realty LP/Ventas Capital Corp.
(REIT) 7.125%, due 06/01/15............ 350,000 356,125
-------------
2,203,125
-------------
RETAIL - MULTILINE - 0.8%
AutoNation, Inc. 7.000%, due 04/15/14
(144A)(b).............................. 410,000 414,100
Brown Shoe Co., Inc. 8.750%, due
05/01/12............................... 477,000 508,005
Duane Reade, Inc. 9.410%, due
12/15/10(a)............................ 325,000 325,000
GSC Holdings Corp. 8.000%, due
10/01/12 (144A)(b)..................... 285,000 286,781
Pep Boys-Manny, Moe & Jack 7.500%,
due 12/15/14........................... 86,000 79,550
-------------
1,613,436
-------------
SAVINGS & LOANS - 0.0%
Western Financial Bank 9.625%, due
05/15/12............................... 90,000 101,250
-------------
SEMICONDUCTOR EQUIPMENT & PRODUCTS - 0.2%
Chartered Semiconductor Manufacturing,
Ltd. 6.375%, due 08/03/15.............. 495,000 484,009
-------------
--------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
--------------------------------------------------------------------
SOFTWARE - 0.6%
Anixter, Inc. 5.950%, due 03/01/15...... $ 1,374,000 $ 1,277,607
Globix Corp. 11.000%, due
05/01/08(g)........................... 23,802 22,493
-------------
1,300,100
-------------
TELECOMMUNICATION SERVICES - DIVERSIFIED - 1.4%
Alamosa Delaware, Inc. 11.000%, due
07/31/10.............................. 90,000 100,012
COLO.COM, Inc. 13.875%, due 03/15/10
(144A)(b)(c)(d)(e).................... 181,448 0
Colt Telecom Group Plc 7.625%, due
12/15/09.............................. 15,000 19,503
Corning, Inc. 5.900%, due 03/15/14...... 700,000 683,396
Digicel, Ltd. 9.250%, due 09/01/12
(144A)(b)............................. 235,000 249,687
Insight Midwest LP/Insight Capital, Inc.
9.750%, due 10/01/09.................. 15,000 15,488
Intelsat, Ltd./Zeus Special
0.000%/9.250%, due 02/01/15
(144A)(b)(f).......................... 810,000 591,300
MCI, Inc. 6.908%, due 05/01/07.......... 19,000 19,143
Mobile TeleSystems 8.375%, due
10/14/10 (144A)(b).................... 360,000 372,150
Stratos Global Corp. 9.875%, due
02/15/13 (144A)(b).................... 725,000 731,344
Tele Norte Celular Participacoes S.A.
8.000%, due 12/18/13.................. 126,000 134,820
-------------
2,916,843
-------------
TRANSPORTATION - 0.7%
CMA CGM S.A. 7.250%, due 02/01/13
(144A)(b)............................. 410,000 403,544
Groupo Transportacion Ferroviaria
Mexicana, S.A. de C.V. 9.375%, due
05/01/12.............................. 110,000 118,800
Stena AB 7.000%, due 12/01/16........... 1,000,000 950,000
Trailer Bridge, Inc. 9.250%, due
11/15/11.............................. 100,000 103,125
-------------
1,575,469
-------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 43.8%
Federal Home Loan Mortgage Corp.
2.749%, due 01/15/17(a)................ 267,306 13,835
4.500%, due 07/01/20-04/01/35.......... 3,368,059 3,152,196
3.249%, due 03/15/21(a)................ 9,128 172
0.000%, due 06/15/30(i)................ 38,129 29,453
6.000%, due 12/01/31-10/01/35.......... 4,889,832 4,610,336
3.099%, due 03/15/32(a)................ 207,273 17,490
5.500%, due 03/15/32-01/01/35.......... 2,455,877 2,209,553
5.000%, due 05/01/34................... 765,773 725,940
STRIPS 0.000%, due 06/01/31(i).......... 43,867 35,340
See notes to financial statements
21
THE TRAVELERS SERIES TRUST
PIONEER STRATEGIC INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
APRIL 30, 2006 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
---------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
---------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - CONTINUED
Federal National Mortgage Association
6.375%, due 08/15/07.................... $ 1,350,000 $ 1,029,380
6.000%, due 12/25/15-03/01/36........... 1,446,008 1,102,321
5.000%, due 03/25/17-06/01/35........... 4,378,336 3,798,814
2.741%, due 03/25/18(a)................. 468,258 31,893
4.500%, due 11/01/18-03/01/35........... 3,000,766 2,843,620
5.500%, due 12/01/18-04/01/36........... 5,685,981 5,537,020
3.945%, due 09/17/29(i)................. 19,872 15,936
7.500%, due 01/01/30-01/25/42........... 569,330 588,707
7.000%, due 11/25/31-12/25/41........... 5,957 6,111
2.141%, due 01/25/32(a)................. 837,935 41,331
3.141%, due 03/25/32(a)................. 193,065 17,375
3.041%, due 09/25/32-10/25/32(a)........ 172,298 15,472
2.041%, due 02/25/33(a)................. 1,099,875 61,125
STRIPS 5.500%, due 01/01/33.............. 535,989 138,488
Government National Mortgage Association
5.000%, due 10/15/18-06/15/35........... 4,981,933 4,784,626
5.500%, due 08/15/19-02/15/36........... 11,041,623 10,866,050
6.000%, due 02/15/24-12/15/33........... 1,208,204 1,213,334
6.500%, due 11/15/32.................... 17,242 17,755
4.500%, due 09/15/33-10/15/35........... 9,801,221 9,121,401
U.S. Treasury Bonds
7.250%, due 05/15/16.................... 3,060,000 3,567,293
6.250%, due 08/15/23.................... 370,000 409,024
5.500%, due 08/15/28.................... 2,055,000 2,107,339
U.S. Treasury Inflation Indexed Bonds
3.375%, due 01/15/12.................... 2,226,412 2,363,303
1.875%, due 07/15/15.................... 5,219,047 5,012,123
2.000%, due 01/15/16.................... 1,185,000 1,145,979
U.S. Treasury Inflation Indexed Notes
3.500%, due 01/15/11.................... 9,382,555 9,938,912
3.000%, due 07/15/12.................... 2,966,630 3,093,061
U.S. Treasury Notes
4.000%, due 08/31/07-02/15/15........... 5,390,000 5,110,716
4.875%, due 02/15/12.................... 745,000 742,498
4.125%, due 05/15/15.................... 900,000 840,235
U.S. Treasury Strips
4.150%, due 08/15/10(i)................. 1,000,000 812,174
3.717%, due 05/15/13(i)................. 1,500,000 1,055,198
3.763%, due 11/15/13(i)................. 6,680,000 4,579,821
-------------
92,802,750
-------------
UTILITIES - 2.7%
AES Corp. 8.750%, due 06/15/08........... 7,000 7,332
Caithness Coso Funding Corp. 6.263%,
due 06/15/14 (144A)(b)................. 917,728 898,439
Empresa Electrica Guacolda S.A. (CS First
Boston) 8.625%, due 04/30/13
(144A)(b).............................. 324,000 354,606
---------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
---------------------------------------------------------------------
UTILITIES - CONTINUED
FPL Energy American Wind LLC 6.639%,
due 06/20/23 (144A)(b)................. $ 712,880 $ 720,807
FPL Energy Wind Funding LLC 6.876%,
due 06/27/17 (144A)(b)................. 270,010 271,698
Inergy LP & Inergy Financial Corp.
8.250%, due 03/01/16 (144A)(b)......... 250,000 258,125
Kiowa Power Partners LLC 5.737%, due
03/30/21 (144A)(b)..................... 650,000 618,987
Mission Energy Holding Co. 13.500%, due
07/15/08............................... 30,000 34,237
MSW Energy Holdings II LLC/MSW Energy
Finance Co. II, Inc. 7.375%, due
09/01/10............................... 600,000 619,500
Northeast Utilities, Series A 8.580%, due
12/01/06............................... 10 10
Ormat Funding Corp. 8.250%, due
12/30/20............................... 965,256 1,008,693
Reliant Energy, Inc. 6.750%, due
12/15/14............................... 165,000 150,975
Sierra Pacific Power Co. 8.000%, due
06/01/08............................... 5,000 5,229
Tiverton Power Associates LP/Rumford
Power Associates LP 9.000%, due
07/15/18 (144A)(b)..................... 99,337 92,384
VeraSun Energy Corp. 9.875%, due
12/15/12 (144A)(b)..................... 500,000 535,000
Westar Energy, Inc. 7.125%, due
08/01/09............................... 110,000 113,345
-------------
5,689,367
-------------
Total Domestic Bonds & Debt Securities
(Cost $182,625,517) 180,128,709
-------------
CONVERTIBLE BONDS - 0.2%
PHARMACEUTICALS - 0.2%
Par Pharmaceutical Cos, Inc. 2.875%, due
09/30/10............................... 400,000 334,000
-------------
SOFTWARE - 0.0%
Cybernet Internet Services International,
Inc. 13.000%, due 08/15/09
(144A)(b)(c)(d)(e)..................... 440,000 0
-------------
Total Convertible Bonds
(Cost $787,821) 334,000
-------------
MUNICIPALS - 1.4%
IOWA - 0.6%
Tobacco Settlement Authority, Tobacco
Settlements Asset-Backed Bonds
5.600%, due 06/01/35................... 1,130,000 1,228,061
-------------
See notes to financial statements
22
THE TRAVELERS SERIES TRUST
PIONEER STRATEGIC INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
APRIL 30, 2006 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
---------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
---------------------------------------------------------------------
LOUISIANA - 0.1%
Tobacco Settlement Financing Corp., LA
Tobacco Settlement Asset-Backed
Bonds 5.875%, due 05/15/39............. $ 300,000 $ 314,634
-------------
MINNESOTA - 0.2%
Minneapolis & St. Paul Metropolitan
Airports Commission, Special Facilities
Revenue, Northwest Airlines Project
7.000%, due 04/01/25................... 500,000 354,390
-------------
NEW JERSEY - 0.4%
New Jersey Economic Development
Authority, Special Facilities Revenue,
Continental Airlines, Inc. Project
6.250%, due 09/15/29................... 430,000 420,665
Tobacco Settlement Financing Corp., NJ
Tobacco Settlement Asset-Backed
Bonds 7.000%, due 06/01/41............. 440,000 500,597
-------------
921,262
-------------
WASHINGTON - 0.1%
Tobacco Settlement Authority, WA
Tobacco Settlement Asset-Backed
Bonds 6.625%, due 06/01/32............. 220,000 241,353
-------------
Total Municipals
(Cost $2,556,111) 3,059,700
-------------
FOREIGN BONDS & DEBT SECURITIES - 8.1%
BRAZIL - 0.5%
Federative Republic of Brazil
10.000%, due 01/16/07-08/07/11.......... 130,000 138,650
8.875%, due 04/15/24.................... 66,000 75,405
10.125%, due 05/15/27................... 290,000 372,650
Banco Nacional de Desenvolvimento
Economico e Social 8.000%, due
04/28/10(j)............................ 550,000,000 399,267
-------------
985,972
-------------
CANADA - 1.8%
Government of Canada
4.250%, due 09/01/09.................... 282,000 251,693
5.500%, due 06/01/10.................... 330,000 307,654
5.250%, due 06/01/12.................... 1,230,000 1,147,437
Province of Ontario 5.500%, due
04/23/13............................... 3,000,000 2,201,597
-------------
3,908,381
-------------
COLOMBIA - 0.6%
Republic of Colombia
9.750%, due 04/23/09-04/09/11........... 614,372 684,575
10.750%, due 01/15/13................... 485,000 605,038
-------------
1,289,613
-------------
FRANCE - 0.7%
Government of France 3.000%, due
07/25/09............................... 1,119,720 1,486,195
-------------
--------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
--------------------------------------------------------------------
MEXICO - 0.1%
United Mexican States
7.500%, due 01/14/12................... $ 84,000 $ 90,510
8.625%, due 02/01/22................... 90,000 104,445
-------------
194,955
-------------
NETHERLANDS - 0.1%
Kingdom of the Netherlands 5.000%, due
07/15/12.............................. 130,000 174,633
-------------
NORWAY - 1.6%
Government of Norway
6.750%, due 01/15/07................... 8,045,000 1,337,856
5.500%, due 05/15/09................... 2,200,000 375,768
6.000%, due 05/16/11................... 9,460,000 1,680,218
-------------
3,393,842
-------------
PERU - 0.2%
Republic of Peru
5.000%, due 03/07/17(a)................ 217,300 208,608
FLIRB Bonds 5.000%, due 03/07/17
(144A)(b)............................. 111,550 107,088
-------------
315,696
-------------
RUSSIA - 0.6%
Russian Federation
8.250%, due 03/31/10................... 53,334 56,134
5.000%, due 03/31/30 (144A)(b)......... 1,197,500 1,302,281
-------------
1,358,415
-------------
SWEDEN - 1.9%
Kingdom of Sweden
5.250%, due 03/15/11................... 14,240,000 2,077,509
5.500%, due 10/08/12................... 12,740,000 1,904,882
-------------
3,982,391
-------------
UKRAINE - 0.0%
Government of Ukraine 11.000%, due
03/15/07.............................. 17,736 18,335
-------------
Total Foreign Bonds & Debt Securities
(Cost $14,716,381) 17,108,428
-------------
ESCROWED SHARES - 0.0%
Vlasic Foods International, Inc. 0.000%,
due 01/01/49 (Cost - $0).............. 190,660 6,902
-------------
LOAN PARTICIPATION - 0.0%
UNITED STATES - 0.0%
Olympus Cable Holdings LLC (First Union
Securities, Inc./The Bank of Nova
Scotia) 4.798%, due 09/30/10
(Cost - $30,931)...................... 36,164 35,689
-------------
See notes to financial statements
23
THE TRAVELERS SERIES TRUST
PIONEER STRATEGIC INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
APRIL 30, 2006 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
---------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
---------------------------------------------------------------
COMMON STOCKS - 0.3%
AIRLINES - 0.0%
UAL Corp.*....................... 490 $ 17,645
US Airways Group, Inc. - Class A* 25 0
US Airways Group, Inc.,
Liquidating Trust, CBI*........ 37,802 756
US Airways Group, Inc.,
Liquidating Trust, CBI*........ 37,802 756
US Airways Group, Inc.,
Liquidating Trust, CBI*........ 37,802 756
US Airways Group, Inc.,
Liquidating Trust, CBI*........ 37,802 756
US Airways Group, Inc.,
Liquidating Trust, CBI*........ 37,802 756
US Airways Group, Inc.,
Liquidating Trust, CBI*........ 37,802 756
US Airways Group, Inc.,
Liquidating Trust, CBI*........ 37,802 756
US Airways Group, Inc.,
Liquidating Trust, CBI*........ 37,802 756
US Airways Group, Inc.,
Liquidating Trust, CBI*........ 37,802 756
-------------
24,449
-------------
COMMERCIAL SERVICES & SUPPLIES - 0.0%
AGY Holding Corp.(d)............. 33 4,488
Loewen Group, Inc.(d)(e)......... 20,000 2
Polymer Group, Inc. - Class A*... 136 3,672
-------------
8,162
-------------
FINANCIAL - DIVERSIFIED - 0.0%
Outsourcing Solutions, Inc.(d)... 246 1,047
-------------
FOOD PRODUCTS - 0.0%
Archibald Candy Corp.(d)(e)...... 308 878
Aurora Foods, Inc.(d)(e)......... 2,833 0
Premium Standard Farms, Inc...... 3,194 53,218
-------------
54,096
-------------
INSURANCE - 0.1%
Conseco, Inc.*................... 5,666 143,066
Leucadia National Corp........... 13 790
-------------
143,856
-------------
IT CONSULTING & SERVICES - 0.0%
Comdisco Holding Co., Inc.*...... 83 1,164
-------------
MEDIA - 0.0%
Rogers Communications, Inc....... 343 14,567
-------------
OIL & GAS - 0.0%
New XCL-China LLC - Class C(d)... 79 11,123
Sterling Chemicals, Inc.*........ 35 417
York Research(d)(e).............. 337 0
-------------
11,540
-------------
--------------------------------------------------------------------
SECURITY SHARES/PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
--------------------------------------------------------------------
TELECOMMUNICATION SERVICES - DIVERSIFIED - 0.0%
Cincinnati Bell, Inc.*............... 35 $ 147
Covad Communications Group, Inc.*.... 10 25
Ionex Communications, Inc.(d)........ 176 0
KNOLOGY, Inc. (144A)*(b)(e).......... 49 386
-------------
558
-------------
TELECOMMUNICATION SERVICES - WIRELESS - 0.2%
Dobson Communications
Corp., - Class A*.................. 15,125 136,125
iPCS, Inc.*.......................... 5,531 278,652
USA Mobility, Inc.*.................. 4 92
-------------
414,869
-------------
Total Common Stocks
(Cost $683,079) 674,308
-------------
PREFERRED STOCK(D) - 0.0%
AIRLINES - 0.0%
US Airways Group, Inc. - Class A*(e). 16 0
-------------
MEDIA - 0.0%
PTV, Inc., Series A, 10.000%(d)...... 1 2
-------------
Total Preferred Stock
(Cost $0) 2
-------------
CONVERTIBLE PREFERRED STOCK - 0.0%
COMMUNICATIONS EQUIPMENT - 0.0%
Telex Communications, Inc., Series B
13.000%*(a)........................ $ 1,417 14
-------------
METALS & MINING - 0.0%
LTV Corp. 8.250% (144A)(b)(c)(d)..... 7,000 0
Weirton Steel Corp., Series C
0.000%*(c)(d)...................... 180 0
-------------
0
-------------
TELECOMMUNICATION SERVICES - WIRELESS - 0.0%
Dobson Communications Corp. 6.000%,
due 08/19/16 (144A)(b)(e).......... 259 49,696
-------------
Total Convertible Preferred Stock
(Cost $406,371) 49,710
-------------
RIGHTS - 0.0%
FOREIGN GOVERNMENTS - 0.0%
United Mexican States, Value Recovery
Rights due 06/30/06................ 250,000 1,750
United Mexican States, Value Recovery
Rights due 06/30/07................ 250,000 6,000
-------------
7,750
-------------
Total Rights
(Cost $0) 7,750
-------------
See notes to financial statements
24
THE TRAVELERS SERIES TRUST
PIONEER STRATEGIC INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
APRIL 30, 2006 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
------------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
------------------------------------------------------------------------
WARRANTS - 0.1%
AIRLINES - 0.0%
US Airways Group, Inc. - Class A1, Expire
4/15/08 *(d)(e)............................ 16 $ 0
-------------
COMMERCIAL SERVICES & SUPPLIES - 0.0%
AGY Holding Corp.,
Non-Expiring*(d)(e)........................ 27 0
MDP Acquisitions Plc Corp., (144A)(b)........ 42 840
-------------
840
-------------
COMMUNICATIONS EQUIPMENT - 0.1%
American Tower Corp., Expire 8/1/08,
(144A)*(b)................................. 140 67,282
COLO.COM, Inc., Expire 3/15/10,
(144A)*(b)(d)(e)........................... 220 0
ICG Communications, Inc., Expire
10/15/05*(d)(e)............................ 495 0
KMC Telecom Holdings, Inc., Expire
4/15/08*(d)(e)............................. 250 0
Startec Global Communications Corp.,
Expire 5/15/08, (144A)*(b)(d)(e)........... 170 0
-------------
67,282
-------------
CONTAINERS & PACKAGING - 0.0%
Pliant Corp., (144A)*(b)(d)(e)............... 90 1
-------------
FINANCIAL - DIVERSIFIED - 0.0%
ContiFinancial Corp., Liquidating Trust,
Units of Interest (Represents interest in a
trust in the liquidation of ContiFinancial
Corp. and its affiliates),*................ 845,262 1,056
Mediq Inc., Expire 6/1/09,
(144A)*(b)(d)(e)........................... 110 0
-------------
1,056
-------------
FOOD PRODUCTS - 0.0%
TravelCenters of America, Inc., Expire
5/1/09*(d)(e).............................. 750 4,125
-------------
FOREIGN GOVERNMENT - 0.0%
Republic of Venezuela, Expire 4/15/20........ 1,700 59,500
-------------
HOTELS, RESTAURANTS & LEISURE - 0.0%
Mikohn Gaming Corp., Expire
8/15/08*(d)(e)............................. 70 1
-------------
INDUSTRIAL - DIVERSIFIED - 0.0%
Dayton Superior Corp., Expire 6/15/09,
(144A)(b)(d)(e)............................ 210 0
Solutia, Inc., Expire 7/15/09,
(144A)(b)(d)(e)............................ 18 0
-------------
0
-------------
MEDIA - 0.0%
XM Satellite Radio Holdings, Inc., Expire
3/15/10, (144A)*(b)........................ 100 6,451
-------------
-----------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
-----------------------------------------------------------------
TELECOMMUNICATION SERVICES - DIVERSIFIED - 0.0%
KNOLOGY Holdings, Inc., Expire 10/22/07,
(144A)(b)(d)(e)............................ 215 $ 0
------------
TELECOMMUNICATION SERVICES - WIRELESS - 0.0%
UbiquiTel, Inc., Expire 4/15/10,
(144A)(b)(d)(e)............................ 310 3
------------
TRANSPORTATION INFRASTRUCTURE - 0.0%
Atlantic Express Transportation Corp. Expires
4/15/05, (144A)(b)......................... 525 1,575
------------
Total Warrants
(Cost $77,982) 140,834
------------
TOTAL INVESTMENTS - 95.0%
(Cost $201,884,193) 201,546,032
Other Assets and Liabilities (net) - 5.0% 10,535,555
------------
TOTAL NET ASSETS - 100.0% $212,081,587
============
PORTFOLIO FOOTNOTES:
* Non-income producing security.
(a) Variable or floating rate security. The stated rate represents the rate at
April 30, 2006.
(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 20.77% of net assets.
(c) Security is in default.
(d) Security is valued in good faith at fair value by or under the direction of
the Board of Trustees.
(e) Illiquid security. At April 30, 2006, the value of these securities
amounted to $77,580 or 0.000% of net assets.
(f) Security is a "step-up" bond where coupon increases or steps up at a
predetermined date. Rates shown are current coupon and next coupon rate
when security steps up.
(g) Payment-in-kind security for which part of the income earned may be paid as
additional principal.
(h) 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.
(i) Zero-coupon bond. Rate represents current yield to maturity.
(j) Par shown in Italian Lira, Issue has not redenominated into Euro dollar.
See notes to financial statements
25
THE TRAVELERS SERIES TRUST
PIONEER STRATEGIC INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
APRIL 30, 2006 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
FLIRB - Front-Loaded Interest Reduction Bonds
REIT - Real Estate investment Trust
STRIPS - Separate trading of registered interest and principal of securities
The following table summarizes the credit composition of the portfolio holdings
of the Pioneer Strategic Income Portfolio at April 30, 2006, based upon quality
ratings issued by Standard & Poor's. For securities not rated by Standard &
Poor's, the equivalent Moody's rating is used.
PERCENT OF
PORTFOLIO
PORTFOLIO COMPOSITION BY CREDIT QUALITY (UNAUDITED)
---------------------------------------------------
AAA/Government/Government Agency 51.99%
AA 1.14
A 0.47
BBB 7.97
BB 12.49
B 18.69
Below B 2.92
Equities/Other 4.33
------
Total: 100.00%
======
See notes to financial statements
26
THE TRAVELERS SERIES TRUST
SALOMON BROTHERS STRATEGIC TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
APRIL 30, 2006 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
-------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
-------------------------------------------------------------------
DOMESTIC BONDS & DEBT SECURITIES - 33.5%
ADVERTISING - 0.1%
Lamar Media Corp. 6.625%, due 08/15/15
(144A)(a)............................... $ 5,000 $ 4,863
------------
AEROSPACE & DEFENSE - 0.3%
DRS Technologies, Inc. 7.625%, due
02/01/18................................ 5,000 5,131
Sequa Corp. 9.000%, due 08/01/09.......... 25,000 26,875
------------
32,006
------------
ASSET-BACKED SECURITIES - 1.8%
Amortizing Residential Collateral Trust
6.159%, due 08/25/32(b)................. 68,565 68,900
Bear Stearns Asset-Backed Securities, Inc.
6.500%, due 01/25/34 (144A)(a)........... 10 10
5.000%, due 05/25/34 (144A)(a)........... 1,336 1,334
Bear Stearns Asset-Backed Securities, Inc.
NIM Trust 5.250%, due 08/25/34
(144A)(a)............................... 1,943 1,939
Countrywide Asset-Backed Certificates
6.209%, due 06/25/34(b)................. 50,000 50,778
Countrywide Asset-Backed Securities, Inc.
5.500%, due 10/25/35 (144A)(a).......... 730 729
Metris Master Trust 6.003%, due
11/20/09(b)............................. 70,000 70,029
Novastar Home Equity Loan 6.584%, due
02/25/34(b)............................. 20,000 20,309
Sail Net Interest Margin Notes 7.750%, due
04/27/33 (144A)(a)...................... 783 724
------------
214,752
------------
AUTOMOBILES - 1.1%
DaimlerChrysler North America Holding
Corp. 4.050%, due 06/04/08.............. 50,000 48,532
Ford Motor Co.
6.625%, due 10/01/28..................... 10,000 6,850
7.450%, due 07/16/31..................... 40,000 29,200
8.900%, due 01/15/32..................... 5,000 3,813
General Motors Corp. 8.375%, due
07/15/33................................ 20,000 14,900
TRW Automotive, Inc. 9.375%, due
02/15/13................................ 22,000 23,650
------------
126,945
------------
CHEMICALS - 1.4%
FMC Corp. 7.750%, due 07/01/11............ 25,000 25,968
Huntsman International LLC 10.125%, due
07/01/09................................ 14,000 14,245
Lyondell Chemical Co. 11.125%, due
07/15/12................................ 25,000 27,625
Methanex Corp. 8.750%, due 08/15/12....... 25,000 27,469
Millennium America, Inc. 9.250%, due
06/15/08................................ 25,000 26,125
---------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
---------------------------------------------------------------
CHEMICALS - CONTINUED
Resolution Performance Products, Inc.
13.500%, due 11/15/10............... $ 25,000 $ 26,750
Rhodia S.A. 8.875%, due 06/01/11...... 20,000 20,650
------------
168,832
------------
COLLATERALIZED MORTGAGE OBLIGATIONS - 1.0%
Commercial Mortgage Pass-Through
Certificates 5.901%, due 11/15/15
(144A)(a)(b)........................ 28,029 28,097
Merit Securities Corp. 6.500%, due
09/28/32 (144A)(a)(b)............... 100,532 87,718
------------
115,815
------------
COMMERCIAL SERVICES & SUPPLIES - 0.2%
Hertz Corp. 8.875%, due 01/01/14
(144A)(a)........................... 25,000 26,562
------------
CONTAINERS & PACKAGING - 0.7%
Berry Plastics Corp. 10.750%, due
07/15/12............................ 25,000 27,250
Graphic Packaging International Corp.
9.500%, due 08/15/13................ 10,000 9,700
Jefferson Smurfit Corp. 8.250%, due
10/01/12............................ 25,000 24,250
Pliant Corp. 11.125%, due 09/01/09.... 5,000 5,256
Radnor Holdings Corp. 11.000%, due
03/15/10............................ 25,000 16,844
------------
83,300
------------
ELECTRIC UTILITIES - 2.9%
AES Corp. 9.500%, due 06/01/09........ 25,000 26,937
Appalachian Power Co. 5.950%, due
05/15/33............................ 50,000 45,662
Duke Energy Corp. 4.200%, due
10/01/08............................ 50,000 48,549
Dynegy Holdings, Inc. 8.375%, due
05/01/16 (144A)(a).................. 15,000 14,925
Edison Mission Energy 9.875%, due
04/15/11............................ 15,000 16,913
El Paso Corp. 7.375%, due 12/15/12.... 50,000 50,375
Entergy Gulf States, Inc. 6.200%, due
07/01/33............................ 75,000 67,595
Mirant Americas Generation LLC 9.125%,
due 05/01/31........................ 25,000 26,281
NRG Energy, Inc.
7.250%, due 02/01/14................ 5,000 5,025
7.375%, due 02/01/16................. 15,000 15,131
Reliant Energy, Inc. 9.250%, due
07/15/10............................ 25,000 25,344
------------
342,737
------------
See notes to financial statements
27
THE TRAVELERS SERIES TRUST
SALOMON BROTHERS STRATEGIC TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
APRIL 30, 2006 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
------------------------------------------------------------------
ENTERTAINMENT & LEISURE - 0.1%
Gaylord Entertainment Co. 6.750%, due
11/15/14............................... $ 10,000 $ 9,575
------------
ENVIRONMENTAL SERVICES - 0.4%
Allied Waste North America, Inc. 9.250%,
due 09/01/12........................... 17,000 18,318
IMCO Recycling, Inc. 10.375%, due
10/15/10............................... 25,000 27,437
------------
45,755
------------
FINANCIAL - DIVERSIFIED - 8.4%
Bank of America Corp. 7.400%, due
01/15/11............................... 65,000 69,889
BCP Crystal U.S. Holdings Corp. 9.625%,
due 06/15/14........................... 16,000 17,600
Capital One Bank 5.750%, due 09/15/10.... 50,000 50,326
CIT Group, Inc. 7.750%, due 04/02/12..... 75,000 82,153
Corp Andina de Fomento 6.875%, due
03/15/12............................... 100,000 104,620
Countrywide Home Loans, Inc. 4.000%, due
03/22/11............................... 75,000 69,375
EnCana Holdings Finance Corp. 5.800%,
due 05/01/14........................... 50,000 49,719
Ford Motor Credit Co.
4.950%, due 01/15/08................... 25,000 23,239
6.625%, due 06/16/08.................... 5,000 4,698
General Motors Acceptance Corp.
6.150%, due 04/05/07................... 20,000 19,628
6.125%, due 08/28/07.................... 10,000 9,720
5.625%, due 05/15/09.................... 200,000 187,342
6.750%, due 12/01/14.................... 25,000 22,786
8.000%, due 11/01/31.................... 5,000 4,741
HSBC Finance Capital Trust IX 5.911%, due
11/30/35............................... 50,000 48,305
International Lease Finance Corp. 5.875%,
due 05/01/13........................... 50,000 49,926
JPMorgan Chase & Co. 6.625%, due
03/15/12............................... 70,000 73,145
Kaupthing Bank 1.000%, due 04/12/11
(144A)(a).............................. 40,000 39,995
Nell AF SARL 8.375%, due 08/15/15
(144A)(a).............................. 5,000 4,956
Standard Chartered Bank Plc 8.000%, due
05/30/31 (144A)(a)..................... 50,000 59,074
------------
991,237
------------
FOOD PRODUCTS - 0.5%
Dole Food Co., Inc. 7.250%, due
06/15/10............................... 10,000 9,350
Safeway, Inc. 7.250%, due 02/01/31....... 50,000 51,934
------------
61,284
------------
------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
------------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES - 1.2%
Extendicare Health Services, Inc. 9.500%,
due 07/01/10........................... $ 25,000 $ 26,281
HCA Inc. 6.500%, due 02/15/16............ 25,000 24,038
Tenet Healthcare Corp. 9.875%, due
07/01/14............................... 25,000 25,937
Vanguard Health Holdings Co. I LLC
0.000%/ 11.250%, due 10/01/15(c)....... 10,000 7,375
Vanguard Health Holdings Co. II LLC
9.000%, due 10/01/14................... 5,000 5,163
Wyeth 5.500%, due 03/15/13(b)............ 50,000 49,194
------------
137,988
------------
HOTELS, RESTAURANTS & LEISURE - 0.7%
Kerzner International, Ltd. 6.750%, due
10/01/15............................... 10,000 10,375
MGM MIRAGE, Inc. 6.750%, due
09/01/12............................... 25,000 24,750
Station Casinos Inc. 6.625%, due 03/15/18
(144A)(a).............................. 25,000 23,781
Turning Stone Casino Resort Enterprise
9.125%, due 12/15/10 (144A)(a)......... 25,000 26,000
------------
84,906
------------
INDUSTRIAL CONGLOMERATES - 0.4%
Tyco International Group S.A. 6.125%, due
11/01/08............................... 50,000 50,640
------------
MACHINERY - 0.7%
Case New Holland, Inc. 9.250%, due
08/01/11............................... 25,000 26,562
NMHG Holding Co. 10.000%, due
05/15/09............................... 25,000 26,375
Terex Corp. 10.375%, due 04/01/11........ 25,000 26,313
------------
79,250
------------
MEDIA - 2.7%
AMC Entertainment, Inc. 11.000%, due
02/01/16 (144A)(a)..................... 5,000 5,425
AT&T Broadband Corp. 8.375%, due
03/15/13............................... 50,000 55,974
CanWest Media, Inc. 8.000%, due
09/15/12............................... 10,000 10,138
CCH I Holdings LLC 10.000%, due
05/15/14............................... 5,000 3,100
CCH I LLC 11.000%, due 10/01/15.......... 44,000 39,160
Cenveo Corp. 9.625%, due 03/15/12........ 25,000 26,687
Dex Media West LLC/Dex Media Finance Co.
9.875%, due 08/15/13................... 23,000 25,329
DirecTV Holdings LLC/DirecTV Financing
Co. 8.375%, due 03/15/13............... 16,000 17,100
EchoStar DBS Corp.
6.625%, due 10/01/14................... 20,000 19,275
7.125%, due 02/01/16 (144A)(a).......... 5,000 4,881
See notes to financial statements
28
THE TRAVELERS SERIES TRUST
SALOMON BROTHERS STRATEGIC TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
APRIL 30, 2006 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
-----------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
-----------------------------------------------------------------
MEDIA - CONTINUED
Mediacom LLC/Mediacom Capital Corp.
9.500%, due 01/15/13.................. $ 25,000 $ 25,562
R.H. Donnelley Finance Corp. I 10.875%,
due 12/15/12 (144A)(a)................ 25,000 27,750
Time Warner, Inc. 7.625%, due
04/15/31.............................. 50,000 54,127
------------
314,508
------------
METALS & MINING - 0.2%
Mueller Group, Inc. 10.000%, due
05/01/12.............................. 25,000 27,375
Republic Technologies International LLC/
RTI Capital Corp. 13.750%, due
07/15/09(d)(e)(f)..................... 200,000 0
------------
27,375
------------
OFFICE FURNISHING & SUPPLIES - 0.3%
Tempur-Pedic, Inc./Tempur Production
USA, Inc. 10.250%, due 08/15/10....... 16,000 17,140
Xerox Capital Trust I 8.000%, due
02/01/27.............................. 10,000 10,300
Xerox Corp. 6.400%, due 03/15/16........ 10,000 9,737
------------
37,177
------------
OIL & GAS - 2.0%
Chesapeake Energy Corp 6.250%, due
01/15/18.............................. 25,000 23,688
Devon Financing Corp. ULC 6.875%, due
09/30/11.............................. 50,000 52,844
EXCO Resources, Inc. 7.250%, due
01/15/11.............................. 15,000 14,813
Magnum Hunter Resources, Inc. 9.600%,
due 03/15/12.......................... 16,000 17,080
Stone Energy Corp. 8.250%, due
12/15/11.............................. 25,000 26,125
Valero Energy Corp. 4.750%, due
06/15/13.............................. 50,000 46,616
Vintage Petroleum, Inc. 7.875%, due
05/15/11.............................. 25,000 25,984
Whiting Petroleum Corp. 7.000%, due
02/01/14.............................. 5,000 4,950
Williams Companies, Inc. 7.625%, due
07/15/19.............................. 25,000 26,250
------------
238,350
------------
PAPER & FOREST PRODUCTS - 0.2%
Buckeye Technologies, Inc. 8.000%, due
10/15/10.............................. 25,000 24,250
------------
PHARMACEUTICALS - 0.1%
Valeant Pharmaceuticals International
7.000%, due 12/15/11.................. 10,000 9,900
------------
-------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
-------------------------------------------------------------------
REAL ESTATE - 1.2%
Boston Properties LP (REIT) 6.250%, due
01/15/13................................ $ 65,000 $ 66,455
Host Marriott LP (REIT) 7.125%, due
11/01/13................................ 25,000 25,375
iStar Financial, Inc. (REIT) 5.150%, due
03/01/12................................ 50,000 47,786
------------
139,616
------------
RETAIL - MULTILINE - 1.0%
Jafra Cosmetics International, Inc./
Distribuidora Comercial Jafra SA de CV
10.750%, due 05/15/11................... 16,000 17,200
Levi Strauss & Co. 12.250%, due
12/15/12................................ 10,000 11,300
Limited Brands, Inc. 6.950%, due
03/01/33................................ 60,000 57,400
Neiman Marcus Group, Inc. 10.375%, due
10/15/15 (144A)(a)...................... 5,000 5,350
PETCO Animal Supplies, Inc. 10.750%, due
11/01/11................................ 25,000 26,687
Windmere Durable Holdings, Inc. 10.000%,
due 07/31/08............................ 1,000 993
------------
118,930
------------
SEMICONDUCTOR EQUIPMENT & PRODUCTS - 0.2%
Amkor Technologies, Inc. 10.500%, due
05/01/09................................ 25,000 25,469
------------
SOFTWARE - 0.1%
Sungard Data Systems, Inc. 9.125%, due
08/15/13 (144A)(a)...................... 5,000 5,338
------------
TELECOMMUNICATION SERVICES - DIVERSIFIED - 3.6%
Alamosa Delaware, Inc. 11.000%, due
07/31/10................................ 7,000 7,744
AT&T Wireless Services, Inc. 8.750%, due
03/01/31................................ 50,000 62,850
Centennial Cellular Operating Co./
Centennial Communications Corp.
8.125%, due 02/01/14.................... 25,000 25,750
Insight Midwest LP/Insight Capital, Inc.
10.500%, due 11/01/10................... 15,000 15,769
Intelsat, Ltd./Zeus Special 0.000%/9.250%,
due 02/01/15 (144A)(a)(c)............... 10,000 7,250
L-3 Communications Corp. 7.625%, due
06/15/12................................ 25,000 25,750
Lucent Technologies, Inc. 6.450%, due
03/15/29................................ 25,000 22,187
Nextel Communications, Inc. 6.875%, due
10/31/13................................ 25,000 25,660
PanAmSat Corp. 9.000%, due 08/15/14....... 16,000 16,820
Qwest Communications International, Inc.
7.500%, due 02/15/14.................... 18,000 18,135
See notes to financial statements
29
THE TRAVELERS SERIES TRUST
SALOMON BROTHERS STRATEGIC TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
APRIL 30, 2006 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
---------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
---------------------------------------------------------------------
TELECOMMUNICATION SERVICES - DIVERSIFIED - CONTINUED
Qwest Corp.
7.500%, due 06/15/23...................... $ 3,000 $ 2,977
6.875%, due 09/15/33...................... 19,000 17,551
Sprint Capital Corp. 8.375%, due
03/15/12................................. 50,000 56,217
Telecom Italia Capital S.A. 5.250%, due
10/01/15................................. 50,000 46,215
Verizon Florida, Inc. 6.125%, due
01/15/13................................. 70,000 68,625
------------
419,500
------------
Total Domestic Bonds & Debt Securities
(Cost $4,096,488) 3,936,860
------------
U.S. GOVERNMENT AGENCY MORTGAGE BACKED SECURITIES - 7.6%
Federal National Mortgage Association
(FNMA)
5.000%, TBA(g)............................ 500,000 472,500
6.500%, TBA(g)............................ 410,000 416,919
------------
Total U. S. Government Agency Mortgage Backed Securities
(Cost $887,128) 889,419
------------
U.S. GOVERNMENT & AGENCY OBLIGATIONS - 57.7%
U.S. Treasury Bonds 6.250%, due
05/15/30................................. 400,000 452,062
U.S. Treasury Inflation Index Bonds
2.000%, due 01/15/16- 01/15/26........... 110,101 106,072
U.S. Treasury Notes
4.000%, due 03/15/10-02/15/14............. 635,000 607,655
5.000%, due 02/15/11...................... 250,000 251,065
4.750%, due 03/31/11...................... 3,010,000 2,986,248
4.250%, due 08/15/15...................... 500,000 470,136
4.500%, due 02/15/16...................... 2,000,000 1,912,812
------------
Total U.S. Government & Agency Obligations
(Cost $6,785,961) 6,786,050
------------
FOREIGN BONDS & DEBT SECURITIES - 3.4%
BRAZIL - 0.5%
Brazilian Government International Bond
8.000%, due 01/15/18..................... 50,000 54,275
------------
COLOMBIA - 0.2%
Republic of Colombia 8.125%, due
05/21/24................................. 25,000 27,813
------------
ITALY - 0.4%
Region of Lombardy 5.804%, due
10/25/32................................. 50,000 49,925
------------
MEXICO - 1.0%
United Mexican States
6.375%, due 01/16/13...................... 32,000 32,528
5.875%, due 01/15/14...................... 15,000 14,835
---------------------------------------------------------------
SECURITY SHARES/PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
---------------------------------------------------------------
MEXICO - CONTINUED
5.625%, due 01/15/17................. $ 20,000 $ 19,140
8.300%, due 08/15/31................. 25,000 29,687
Series A 7.500%, due 04/08/33........ 20,000 21,840
------------
118,030
------------
PANAMA - 0.1%
Republic of Panama 7.250%, due
03/15/15............................ 15,000 15,765
------------
PERU - 0.2%
Republic of Peru 5.000%, due 03/07/17. 19,750 18,861
------------
RUSSIA - 1.0%
Russian Federation
11.000%, due 07/24/18................ 50,000 70,775
5.000%, due 03/31/30................. 40,000 43,340
------------
114,115
------------
Total Foreign Bonds & Debt Securities
(Cost $402,236) 398,784
------------
COMMON STOCKS - 1.2%
CONTAINERS & PACKAGING - 0.0%
Applied Extrusion Technologies, Inc. -
Class B*............................ 260 2,210
------------
HOUSEHOLD PRODUCTS - 0.1%
Home Interiors & Gifts, Inc........... 24,532 6,624
------------
TELECOMMUNICATION SERVICES-DIVERSIFIED - 0.7%
Liberty Global, Inc. - Class A*....... 430 8,905
Liberty Global, Inc. - Class C*....... 430 8,587
NTL Inc.*............................. 2,126 58,423
------------
75,915
------------
TELECOMMUNICATION SERVICES-WIRELESS - 0.4%
American Tower Corp. - Class A*....... 1,472 50,254
------------
Total Common Stocks
(Cost $86,338) 135,003
------------
WARRANTS - 0.0%
CAPITAL MARKETS - 0.0%
Pillowtex Corp Loan 9, Term B 8.190%,
due 11/15/06(d)..................... 250,000 0
Pillowtex Corp.(e).................... 1,701 17
Winsloew Furniture, Inc. (144A)(a).... 200 2
------------
19
------------
Total Warrants
(Cost $3,535) 19
------------
See notes to financial statements
30
THE TRAVELERS SERIES TRUST
SALOMON BROTHERS STRATEGIC TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
APRIL 30, 2006 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
--------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
--------------------------------------------------------------------
SHORT-TERM INVESTMENT - 3.6%
State Street Bank & Trust Co., Repurchase
Agreement, dated 04/28/06 at 1.400% to
be repurchased at $426,050 on
05/01/06 collateralized by $335,000 U.S.
Treasury Bond at 8.000% due 11/15/21
with a value of $440,944.
(Cost - $426,000)....................... $ 426,000 $ 426,000
------------
TOTAL INVESTMENTS - 107.0%
(Cost $12,687,686) 12,572,135
Other Assets & Liabilities (net) - (7.0)% (820,712)
------------
TOTAL NET ASSETS - 100.0% $ 11,751,423
============
PORTFOLIO FOOTNOTES:
* 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 3.00% of net assets.
(b) Variable or floating rate security. The stated rate represents the rate at
April 30, 2006.
(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 when
security steps up.
(d) Security is in default.
(e) Illiquid Securities representing in the aggregate 0.00% of net assets
(f) Security is valued in good faith at fair value by or under the direction of
the Board of Trustees.
(g) This security is traded on a "to-be-announced" basis.
FNMA - Federal National Mortgage Association
NIM - Net Interest Margin
Term - Term Loan
REIT - Real Estate Investment Trust
The following table summarizes the credit composition of the portfolio holdings
of the Salomon Strategic Total Return Bond Portfolio at April 30, 2006, based
upon quality ratings issued by Standard & Poor's. For securities not rated by
Standard & Poor's, the equivalent Moody's rating is used.
PERCENT OF
PORTFOLIO
PORTFOLIO COMPOSITION BY CREDIT QUALITY (UNAUDITED)
---------------------------------------------------
AAA/Government/Government Agency 61.27%
AA 4.59
A 7.11
BBB 9.54
BB 6.43
B 7.42
Below B 1.43
Equities/Other 2.21
------
Total: 100.00%
======
See notes to financial statements
31
THE TRAVELERS SERIES TRUST
STRATEGIC EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS
APRIL 30, 2006 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
-------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
-------------------------------------------------------------------
COMMON STOCKS - 93.6%
AEROSPACE & DEFENSE - 1.8%
General Dynamics Corp.................... 79,200 $ 5,197,104
Raytheon Co.............................. 63,400 2,806,718
-------------
8,003,822
-------------
AUTO COMPONENTS - 0.1%
Gentex Corp.............................. 29,683 435,153
-------------
BANKS - 2.8%
Bank of America Corp..................... 140,540 7,015,757
Boston Private Financial Holdings, Inc... 2,300 76,475
Northern Trust Corp...................... 1,800 106,002
Unibanco-Uniao de Bancos Brasileiros S.A.
(GDR).................................. 25,000 1,983,750
Wachovia Corp............................ 53,200 3,184,020
-------------
12,366,004
-------------
BEVERAGES - 1.0%
Coca-Cola Co. (The)...................... 74,900 3,142,804
Coca-Cola Enterprises, Inc............... 69,000 1,347,570
-------------
4,490,374
-------------
BIOTECHNOLOGY - 3.5%
Biogen Idec, Inc.*....................... 66,800 2,995,980
Cephalon, Inc.*.......................... 10,700 702,562
Charles River Laboratories International,
Inc.*.................................. 156,700 7,404,075
Gilead Sciences, Inc.*................... 46,900 2,696,750
Invitrogen Corp.*........................ 20,500 1,353,205
-------------
15,152,572
-------------
COMMERCIAL SERVICES & SUPPLIES - 0.8%
Allied Waste Industries, Inc.*........... 70,400 996,864
Monster Worldwide, Inc.*................. 700 40,180
Tele Atlas NV*........................... 40,800 1,037,804
Waste Management, Inc.................... 42,300 1,584,558
-------------
3,659,406
-------------
COMMUNICATIONS EQUIPMENT - 3.6%
CIENA Corp.*............................. 2,698,196 11,035,622
Corning, Inc.*........................... 85,400 2,359,602
Harris Corp.............................. 28,900 1,345,873
NMS Communications Corp.*................ 221,102 946,316
-------------
15,687,413
-------------
COMPUTERS & PERIPHERALS - 1.5%
ATI Technologies, Inc.*.................. 38,400 592,984
ATI Technologies, Inc. (ADR)*............ 285,900 4,437,168
NCR Corp.*............................... 42,000 1,654,800
Trident Microsystems, Inc.*.............. 2,800 74,480
-------------
6,759,432
-------------
--------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
--------------------------------------------------------------
CONSTRUCTION & ENGINEERING - 0.2%
Chicago Bridge & Iron Co. N.V....... 1,900 $ 45,543
Jacobs Engineering Group, Inc.*..... 7,800 645,060
-------------
690,603
-------------
ELECTRONIC EQUIPMENT & INSTRUMENTS - 0.5%
CSR Plc(a)*......................... 80,200 1,765,206
Universal Display Corp.*............ 22,223 332,011
-------------
2,097,217
-------------
ENERGY EQUIPMENT & SERVICES - 0.0%
Halliburton Co...................... 1,100 85,965
-------------
FINANCIAL - DIVERSIFIED - 3.6%
SLM Corp............................ 301,150 15,924,812
-------------
FOOD PRODUCTS - 2.1%
McCormick & Co., Inc................ 25,700 895,131
Nestle S.A.(a)...................... 7,421 2,260,744
Nestle S.A.(ADR).................... 76,500 5,829,300
-------------
8,985,175
-------------
HEALTH CARE EQUIPMENT & SUPPLIES - 3.7%
Advanced Medical Optics, Inc.*...... 36,800 1,714,880
Alcon, Inc.......................... 31,820 3,236,412
Boston Scientific Corp.*............ 186,900 4,343,556
C.R. Bard, Inc...................... 47,900 3,566,634
Inverness Medical Innovations, Inc.* 14,200 369,200
Phonak Holding AG(a)................ 20,225 1,254,476
Syneron Medical, Ltd.*.............. 59,100 1,528,917
-------------
16,014,075
-------------
HEALTH CARE PROVIDERS & SERVICES - 5.1%
Allergan, Inc....................... 19,000 1,951,680
Cardinal Health, Inc................ 51,500 3,468,525
Humana, Inc.*....................... 112,300 5,073,714
UnitedHealth Group, Inc............. 242,490 12,061,453
-------------
22,555,372
-------------
HOTELS, RESTAURANTS & LEISURE - 1.4%
Boyd Gaming Corp.................... 43,635 2,173,896
Dominos Pizza, Inc.................. 86,400 2,274,912
WMS Industries, Inc.*............... 56,700 1,771,875
-------------
6,220,683
-------------
HOUSEHOLD DURABLES - 0.6%
Nintendo Co., Ltd.(a)............... 17,600 2,626,570
-------------
HOUSEHOLD PRODUCTS - 1.7%
Colgate-Palmolive Co................ 78,400 4,635,008
Toro Co. (The)...................... 54,800 2,709,860
-------------
7,344,868
-------------
INDUSTRIAL - DIVERSIFIED - 8.9%
3M Co............................... 5,300 452,779
General Electric Co................. 730,600 25,271,454
See notes to financial statements
32
THE TRAVELERS SERIES TRUST
STRATEGIC EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
APRIL 30, 2006
(PERCENTAGE OF NET ASSETS)
--------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
--------------------------------------------------------------
INDUSTRIAL - DIVERSIFIED - CONTINUED
Honeywell International, Inc........ 255,970 $ 10,878,725
Tyco International, Ltd............. 87,854 2,314,953
-------------
38,917,911
-------------
INSURANCE - 10.8%
ACE, Ltd............................ 81,300 4,515,402
AFLAC, Inc.......................... 96,000 4,563,840
American International Group, Inc... 515,350 33,626,587
Aspen Insurance Holdings, Ltd....... 10,500 255,675
Platinum Underwriters Holdings, Ltd. 9,300 256,401
St. Paul Travelers Cos., Inc........ 95,000 4,182,850
-------------
47,400,755
-------------
IT CONSULTING & SERVICES - 0.0%
NCI, Inc. *......................... 11,605 163,050
-------------
LEISURE EQUIPMENT & PRODUCTS - 0.4%
Marvel Entertainment, Inc. *........ 94,400 1,841,744
-------------
MEDIA - 1.8%
DreamWorks Animation SKG, Inc. -
Class A*.......................... 160,500 4,349,550
McGraw-Hill Cos., Inc............... 7,000 389,620
News Corp. - Class B................ 7,100 129,433
Omnicom Group, Inc.................. 9,000 810,090
Pixar*.............................. 35,200 2,263,008
-------------
7,941,701
-------------
METALS & MINING - 0.7%
Alcoa, Inc.......................... 93,400 3,155,052
-------------
OIL & GAS - 2.8%
BP Plc, (ADR)....................... 10,000 737,200
Chevron Corp........................ 33,500 2,044,170
ConocoPhillips...................... 42,200 2,823,180
EOG Resources, Inc.................. 23,300 1,636,359
Exxon Mobil Corp.................... 42,200 2,661,976
Occidental Petroleum Corp........... 2,200 226,028
Tesoro Corp......................... 5,300 370,576
Ultra Petroleum Corp.*.............. 17,600 1,125,696
Valero Energy Corp.................. 10,600 686,244
-------------
12,311,429
-------------
PHARMACEUTICALS - 13.4%
Actelion Ltd.(a)*................... 1,452 163,985
Barr Pharmaceuticals, Inc.*......... 77,200 4,674,460
ICOS Corp.*......................... 14,300 313,599
Johnson & Johnson................... 327,500 19,194,775
Novartis AG (ADR)................... 51,600 2,967,516
Pfizer, Inc......................... 158,500 4,014,805
Roche Holding AG(a)................. 61,842 9,499,613
-----------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
-----------------------------------------------------------------
PHARMACEUTICALS - CONTINUED
Teva Pharmaceutical Industries, Ltd.
(ADR)............................. 61,700 $ 2,498,850
Wyeth............................... 312,700 15,219,109
-------------
58,546,712
-------------
RETAIL - MULTILINE - 1.4%
CVS Corp............................ 106,500 3,165,180
Wal-Mart Stores, Inc................ 68,700 3,093,561
-------------
6,258,741
-------------
RETAIL - SPECIALTY - 2.4%
Best Buy Co., Inc................... 1,800 101,988
Game Group Plc(a)................... 1,031,146 1,502,703
GameStop Corp. - Class A*........... 55,015 2,596,708
GameStop Corp. - Class B*........... 80,400 3,414,588
Staples, Inc........................ 108,700 2,870,767
-------------
10,486,754
-------------
SEMICONDUCTOR EQUIPMENT & PRODUCTS - 0.9%
Applied Micro Circuits Corp.*....... 404,132 1,483,164
ASML Holding N.V.*.................. 500 10,575
Exar Corp.*......................... 54,300 786,807
Integrated Device Technology, Inc.*. 56,000 852,320
Intel Corp.......................... 700 13,986
Linear Technology Corp.............. 19,600 695,800
-------------
3,842,652
-------------
SOFTWARE - 6.4%
Activision, Inc.*................... 320,449 4,547,171
ARM Holdings Plc (ADR).............. 14,100 104,481
Cadence Design Systems, Inc.*....... 66,867 1,265,792
Electronic Arts, Inc.*.............. 14,200 806,560
EMC Corp.*.......................... 193,900 2,619,589
Microsoft Corp...................... 708,623 $ 17,113,246
NDS Group Plc (ADR)*................ 24,400 1,229,760
THQ, Inc.*.......................... 7,153 183,331
-------------
27,869,930
-------------
TELECOMMUNICATION SERVICES - DIVERSIFIED - 5.1%
AT&T, Inc........................... 153,100 4,012,751
Qwest Communications International,
Inc.*............................. 228,900 1,535,919
Sprint Nextel Corp.................. 331,400 8,218,720
Verizon Communications, Inc......... 253,500 8,373,105
-------------
22,140,495
-------------
TELECOMMUNICATION SERVICES - WIRELESS - 0.6%
American Tower Corp. - Class A*..... 77,300 2,639,022
-------------
TOBACCO - 4.0%
Altria Group, Inc................... 239,400 17,514,504
-------------
Total Common Stocks
(Cost $388,401,559) 410,129,968
-------------
See notes to financial statements
33
THE TRAVELERS SERIES TRUST
STRATEGIC EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
APRIL 30, 2006 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
-------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (NOTE 2)
-------------------------------------------------------------------
CONVERTIBLE BONDS - 0.5%
TELECOMMUNICATION SERVICES - DIVERSIFIED - 0.5%
CIENA Corp. 3.750%, due 02/01/08
(Cost - $2,421,131) $ 2,550,000 $ 2,457,563
------------
SHORT-TERM INVESTMENT - 5.9%
State Street Bank & Trust Co., Repurchase
Agreement, dated 04/28/06 at 3.10% to
be repurchased at $25,752,651 on
05/01/06 collateralized by $21,665,000
U.S. Treasury Bond 7.125% due
02/15/23 with a value of $26,264,393.
(Cost - $25,746,000)................... 25,746,000 25,746,000
------------
TOTAL INVESTMENTS - 100.0%
(Cost $416,568,690) 438,333,531
Other Assets and Liabilities (net) - 0.0% (112,221)
------------
TOTAL NET ASSETS - 100.0% $438,221,310
============
PORTFOLIO FOOTNOTES:
* Non-income producing security.
(a) Security is valued in good faith at fair value by or under the direction of
the Board of Trustees.
ADR - American Depositary Receipt
GDR - Global Depository Receipt
See notes to financial statements
34
THE TRAVELERS SERIES TRUST
TRAVELERS MANAGED INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS
APRIL 30, 2006 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
--------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (VALUE 2)
--------------------------------------------------------------------
DOMESTIC BONDS & DEBT SECURITIES - 51.2%
AEROSPACE & DEFENSE - 0.8%
Northrop Grumman Corp.
4.079%, due 11/16/06 $ 1,600,000 $ 1,589,621
7.125%, due 02/15/11.................... 500,000 531,814
-------------
2,121,435
-------------
ASSET-BACKED SECURITIES - 2.0%
Bank One Issuance Trust - Class A3
5.011%, due 12/15/10(a)................ 2,000,000 2,004,025
California Infrastructure PG&E-1 - Class
A7 6.420%, due 09/25/08................ 244,148 244,918
Capital One Multi-Asset Execution Trust -
Class A7 5.081%, due 09/15/11(a)....... 1,000,000 1,004,297
Chase Funding Mortgage Loan Asset-
Backed Certificates - Class 1A5
5.833%, due 04/25/32................... 1,100,000 1,101,402
Chase Issuance Trust - Class A4 4.230%,
due 01/15/13........................... 850,000 818,305
-------------
5,172,947
-------------
AUTOMOBILES - 0.7%
DaimlerChrysler North America Holding
Corp. 7.300%, due 01/15/12............. 1,800,000 1,907,390
-------------
BANKS - 5.8%
ABN AMRO Bank NV 4.800%, due
05/11/07(a)............................ 2,290,000 2,291,967
Bank of America Corp. 5.375%, due
06/15/14............................... 1,500,000 1,464,595
HSBC Bank USA 5.875%, due
11/01/34............................... 1,200,000 1,119,390
Huntington National Bank 4.650%, due
06/30/09............................... 1,000,000 975,442
Rabobank Capital Funding Trust III
5.254%, due 12/31/16 (144A)(b)......... 500,000 464,721
RBS Capital Trust I 4.709%, due
12/29/49(a)............................ 800,000 731,842
Royal Bank of Scotland Group Plc
5.050%, due 01/08/15................... 1,100,000 1,041,036
U.S. Bank North America
2.870%, due 02/01/07................... 2,000,000 1,962,568
4.950%, due 10/30/14.................... 1,100,000 1,036,254
Wachovia Bank North America
4.800%, due 11/01/14................... 700,000 649,571
5.070%, due 11/03/14(a)................. 2,000,000 2,015,420
Washington Mutual Bank FA. 5.125%,
due 01/15/15........................... 1,300,000 1,222,811
-------------
14,975,617
-------------
------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (VALUE 2)
------------------------------------------------------------------
BEVERAGES - 1.0%
Bottling Group LLC 4.625%, due
11/15/12............................. $ 1,000,000 $ 945,329
PepsiAmericas, Inc. 4.875%, due
01/15/15............................. 1,800,000 1,680,014
-------------
2,625,343
-------------
COLLATERALIZED MORTGAGE OBLIGATIONS - 7.7%
Banc of America Commercial Mortgage,
Inc. - Class AJ 4.870%, due
12/10/42............................. 4,250,000 3,990,187
Commercial Mortgage Pass Through
Certificates 5.167%, due 06/10/44.... 3,100,000 2,969,211
Credit Suisse First Boston Mortgage
Securities Corp. - Class AJ 4.889%,
due 11/15/37......................... 2,000,000 1,877,531
General Motors Acceptance Corporation
Commercial Mortgage Securities,
Inc. - Class A3 5.134%, due
08/10/38............................. 3,000,000 2,917,854
JPMorgan Chase Commercial Mortgage
Securities Corp. - Class A4B 4.996%,
due 08/15/42......................... 950,000 897,948
JPMorgan Chase Commercial Mortgage
Securities Corp. - Class AJ 4.922%,
due 01/15/42......................... 4,000,000 3,763,971
JPMorgan Chase Commercial Mortgage
Securities Corp. - Class AM 4.999%,
due 10/15/42......................... 1,050,000 991,180
LB-UBS Commercial Mortgage Trust -
Class AJ 4.806%, due 02/15/40........ 2,700,000 2,521,426
-------------
19,929,308
-------------
ELECTRIC UTILITIES - 3.1%
Dominion Resources, Inc. 5.250%, due
08/01/33............................. 1,000,000 939,234
Pepco Holdings, Inc. 5.500%, due
08/15/07............................. 3,000,000 2,998,623
SP PowerAssets, Ltd. 5.000%, due
10/22/13 (144A)(b)................... 2,000,000 1,924,104
Xcel Energy, Inc. 3.400%, due
07/01/08............................. 2,300,000 2,203,621
-------------
8,065,582
-------------
FINANCIAL - DIVERSIFIED - 11.4%
AIG SunAmerica Global Financing VII
5.850%, due 08/01/08 (144A) (b)...... 1,400,000 1,413,395
American General Finance Corp. 3.875%,
due 10/01/09......................... 2,500,000 2,381,545
Capital One Bank 5.000%, due
06/15/09............................. 1,700,000 1,676,736
Capital One Financial Corp. 5.500%, due
06/01/15............................. 700,000 672,427
See notes to financial statements
35
THE TRAVELERS SERIES TRUST
TRAVELERS MANAGED INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
APRIL 30, 2006 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (VALUE 2)
------------------------------------------------------------------
FINANCIAL - DIVERSIFIED - CONTINUED
Caterpillar Financial Services 4.700%,
due 03/15/12......................... $ 2,200,000 $ 2,099,790
Countrywide Financial Corp. 4.500%, due
06/15/10............................. 1,500,000 1,435,260
Countrywide Home Loans, Inc. 4.000%,
due 03/22/11......................... 1,780,000 1,646,493
Credit Suisse First Boston USA, Inc.
3.875%, due 01/15/09................. 2,000,000 1,925,860
6.125%, due 11/15/11.................. 700,000 715,129
Ford Motor Credit Co.
6.500%, due 01/25/07................. 1,200,000 1,192,572
5.700%, due 01/15/10.................. 300,000 263,730
General Motors Acceptance Corp.
6.125%, due 02/01/07 - 08/28/07...... 420,000 411,204
6.150%, due 04/05/07.................. 240,000 235,533
Glencore Funding LLC 6.000%, due
04/15/14 (144A)(b)................... 900,000 848,701
Goldman Sachs Group, Inc. 5.250%, due
10/15/13............................. 2,300,000 2,220,951
HSBC Finance Corp. 6.375%, due
10/15/11............................. 3,400,000 3,516,117
JPMorgan Chase & Co. 5.250%, due
05/01/15............................. 1,100,000 1,050,635
Lehman Brothers Holdings, Inc. 4.800%,
due 03/13/14......................... 1,700,000 1,589,301
Merrill Lynch & Co., Inc., Series C
4.125%, due 09/10/09................. 1,000,000 962,654
4.250%, due 02/08/10.................. 1,000,000 958,187
5.000%, due 01/15/15.................. 1,000,000 943,900
Morgan Stanley 5.050%, due
01/21/11............................. 1,600,000 1,561,640
-------------
29,721,760
-------------
FOOD PRODUCTS - 1.8%
Delhaize America, Inc. 9.000%, due
04/15/31............................. 500,000 570,643
Fred Meyer, Inc. 7.450%, due
03/01/08............................. 2,000,000 2,063,230
Safeway, Inc. 6.500%, due 03/01/11..... 1,900,000 1,949,075
-------------
4,582,948
-------------
HEALTH CARE PROVIDERS & SERVICES - 0.5%
WellPoint, Inc. 6.800%, due 08/01/12... 1,100,000 1,162,101
-------------
HOMEBUILDERS - 0.3%
D.R. Horton, Inc. 5.250%, due
02/15/15............................. 900,000 819,328
-------------
INDUSTRIAL - DIVERSIFIED - 2.2%
General Electric Co. 5.000%, due
02/01/13............................. 3,500,000 3,383,856
------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (VALUE 2)
------------------------------------------------------------------
INDUSTRIAL - DIVERSIFIED - CONTINUED
Tyco International Group S.A. 6.125%,
due 11/01/08......................... $ 2,300,000 $ 2,329,424
-------------
5,713,280
-------------
INSURANCE - 1.4%
Berkshire Hathaway Finance Corp.
4.810%, due 05/16/08(a).............. 500,000 500,148
4.750%, due 05/15/12.................. 1,000,000 959,834
GE Global Insurance Holding Corp.
7.000%, due 02/15/26................. 500,000 531,345
MassMutual Global Funding II 2.550%,
due 07/15/08 (144A)(b)............... 1,800,000 1,695,604
-------------
3,686,931
-------------
MEDIA - 3.5%
Clear Channel Communications, Inc.
4.400%, due 05/15/11................. 500,000 459,308
Comcast Cable Communications, Inc.
8.500%, due 05/01/27................. 1,000,000 1,169,257
COX Communications, Inc. 7.125%, due
10/01/12............................. 2,300,000 2,414,333
Liberty Media Corp. 6.410%, due
09/17/06(a).......................... 1,055,000 1,058,745
Time Warner, Inc. 6.150%, due
05/01/07............................. 4,000,000 4,028,268
-------------
9,129,911
-------------
OIL & GAS - 2.8%
Anadarko Finance Co. 6.750%, due
05/01/11............................. 800,000 839,240
Consolidated Natural Gas Co. 5.000%,
due 12/01/14......................... 500,000 463,693
Cooper Cameron Corp. 2.650%, due
04/15/07............................. 500,000 484,428
Devon Financing Corp. ULC 6.875%, due
09/30/11............................. 1,300,000 1,373,952
Duke Capital LLC 4.331%, due
11/16/06............................. 1,000,000 995,050
Kinder Morgan Energy Partners LP
5.125%, due 11/15/14................. 500,000 468,244
Phelps Dodge Corp. 8.750%, due
06/01/11............................. 800,000 899,033
PSEG Energy Holdings LLC 8.625%, due
02/15/08............................. 800,000 830,000
Southern California Gas Co. 4.375%, due
01/15/11............................. 900,000 859,144
-------------
7,212,784
-------------
PAPER & FOREST PRODUCTS - 0.2%
International Paper Co. 5.300%, due
04/01/15............................. 600,000 561,465
-------------
See notes to financial statements
36
THE TRAVELERS SERIES TRUST
TRAVELERS MANAGED INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
APRIL 30, 2006 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
-------------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (VALUE 2)
-------------------------------------------------------------------
PHARMACEUTICALS - 1.0%
Wyeth 5.500%, due 02/01/14.............. $ 2,600,000 $ 2,540,374
-------------
REAL ESTATE - 1.5%
AvalonBay Communities, Inc. (REIT)
4.950%, due 03/15/13.................. 200,000 189,558
Colonial Realty LP 4.750%, due
02/01/10.............................. 700,000 674,741
HRPT Properties Trust (REIT) 6.250%,
due 08/15/16.......................... 700,000 695,158
iStar Financial, Inc. (REIT) 6.000%, due
12/15/10.............................. 1,130,000 1,134,015
Kimco Realty Corp. (REIT) 4.880%, due
08/01/06(a)........................... 300,000 300,106
Simon Property Group LP (REIT)..........
4.600%, due 06/15/10................... 500,000 481,731
5.100%, due 06/15/15................... 500,000 467,992
-------------
3,943,301
-------------
SOFTWARE - 0.7%
Computer Associates International, Inc.
5.250%, due 12/01/09 (144A)(b)........ 1,900,000 1,842,322
-------------
TELECOMMUNICATION SERVICES - DIVERSIFIED - 2.0%
Deutsche Telekom International Finance
BV 8.250%, due 06/15/30............... 1,100,000 1,306,143
SBC Communications, Inc. 6.450%, due
06/15/34.............................. 1,000,000 977,717
Sprint Capital Corp.
6.125%, due 11/15/08................... 1,830,000 1,859,725
8.375%, due 03/15/12................... 200,000 224,868
Telecom Italia Capital S.A. 4.000%, due
01/15/10.............................. 1,000,000 941,647
-------------
5,310,100
-------------
TOBACCO - 0.8%
Altria Group, Inc. 5.625%, due
11/04/08.............................. 2,000,000 2,002,512
-------------
Total Domestic Bonds & Debt Securities
(Cost $137,071,589) 133,026,739
-------------
U.S. GOVERNMENT & AGENCY OBLIGATIONS - 45.3%
Federal National Mortgage Association
1.750%, due 06/16/06................... 3,100,000 3,086,624
4.000%, due 02/09/07................... 3,450,000 3,418,432
6.000%, due 05/15/11................... 4,900,000 5,051,797
U.S. Treasury Bonds 5.250%, due
02/15/29.............................. 100,000 99,250
-----------------------------------------------------------------
SECURITY PAR VALUE
DESCRIPTION AMOUNT (VALUE 2)
-----------------------------------------------------------------
U.S. GOVERNMENT & AGENCY OBLIGATIONS - CONTINUED
U.S. Treasury Notes
2.875%, due 11/30/06................. $ 13,000,000 $ 12,845,625
2.750%, due 08/15/07................. 4,000,000 3,892,500
4.000%, due 08/31/07................. 16,000,000 15,813,744
3.000%, due 02/15/08................. 33,000,000 31,944,264
5.625%, due 05/15/08................. 24,000,000 24,342,192
3.875%, due 05/15/10................. 400,000 385,000
4.125%, due 08/15/10-05/15/15........ 6,975,000 6,516,963
4.250%, due 10/15/10-08/15/15........ 3,700,000 3,488,995
4.500%, due 11/15/15................. 6,100,000 5,837,889
U.S. Treasury Strip 3.749%, due
11/15/09(c)......................... 1,000,000 838,131
-------------
Total U.S. Government & Agency Obligations
(Cost $121,564,237) 117,561,406
-------------
WARRANT - 0.0%
COMMUNICATIONS EQUIPMENT - 0.0%
Loral Space & Communications expires
01/15/07(d) (Cost - $105)........... 150 1
-------------
SHORT-TERM INVESTMENT - 2.3%
State Street Bank & Trust Co.,
Repurchase Agreement, dated
04/28/06 at 3.10% to be repurchased
at $6,062,566 on 05/01/06
collateralized by $4,815,000 U.S.
Treasury Bond at 8.125% due
08/15/19 with a value of $6,187,275.
(Cost - $6,061,000)................. 6,061,000 6,061,000
-------------
TOTAL INVESTMENTS - 98.8%
(Cost $264,696,931) 256,649,146
Other Assets and Liabilities (net) - 1.2% 3,148,384
-------------
TOTAL NET ASSETS - 100.0% $ 259,797,530
=============
PORTFOLIO FOOTNOTES:
(a) Variable or floating rate security. The stated rate represents the rate at
April 30, 2006.
(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 3.15% of net assets.
(c) Zero coupon bonds - Interest rate represents current yield to maturity.
(d) Security is valued in good faith at fair value by or under the direction of
the Board of Trustees.
AIG - American International Guaranty
REIT - Real Estate Investment Trust
See notes to financial statements
37
THE TRAVELERS SERIES TRUST
TRAVELERS MANAGED INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
APRIL 30, 2006 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
The following table summarizes the credit composition of the portfolio holdings
of the Travelers Managed Income Portfolio at April 30, 2006, based upon quality
ratings issued by Standard & Poor's. For securities not rated by Standard &
Poor's, the equivalent Moody's rating is used.
PERCENT OF
PORTFOLIO
PORTFOLIO COMPOSITION BY CREDIT QUALITY (UNAUDITED)
---------------------------------------------------
AAA/Government/Government Agency 58.86%
AA 12.30
A 7.33
BBB 18.95
BB 2.56
------
Total: 100.00%
======
See notes to financial statements
38
THE TRAVELERS SERIES TRUST
VAN KAMPEN ENTERPRISE PORTFOLIO
PORTFOLIO OF INVESTMENTS
APRIL 30, 2006 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
---------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
---------------------------------------------------------
COMMON STOCKS - 98.4%
AEROSPACE & DEFENSE - 2.8%
Precision Castparts Corp............. 6,616 $ 416,676
United Technologies Corp............. 21,950 1,378,679
------------
1,795,355
------------
AIR FREIGHT & LOGISTICS - 1.1%
FedEx Corp........................... 5,980 688,477
------------
AIRLINES - 0.7%
AMR Corp.*........................... 7,740 190,713
Continental Airlines, Inc. - Class B* 9,720 253,109
------------
443,822
------------
BEVERAGES - 3.2%
Brown-Forman Corp. - Class B......... 11,800 879,100
Pepsi Bottling Group, Inc............ 7,340 235,614
PepsiCo, Inc......................... 16,680 971,443
------------
2,086,157
------------
BIOTECHNOLOGY - 5.4%
Amgen, Inc.*......................... 4,350 294,495
Biogen Idec, Inc.*................... 6,570 294,664
Celgene Corp.*....................... 40,730 1,717,177
Gilead Sciences, Inc.*............... 21,780 1,252,350
------------
3,558,686
------------
COMMERCIAL SERVICES & SUPPLIES - 3.5%
Accenture, Ltd. - Class A............ 18,950 550,876
Automatic Data Processing, Inc....... 5,370 236,710
Ceridian Corp.*...................... 15,460 374,596
CheckFree Corp.*..................... 10,500 565,635
Factset Research Systems, Inc........ 5,910 260,867
First Data Corp...................... 6,210 296,155
------------
2,284,839
------------
COMMUNICATIONS EQUIPMENT - 5.9%
ADTRAN, Inc.......................... 8,960 225,254
Cisco Systems, Inc.*................. 28,170 590,162
Corning, Inc.*....................... 50,750 1,402,222
Harris Corp.......................... 9,250 430,773
Motorola, Inc........................ 34,450 735,508
QUALCOMM, Inc........................ 9,660 495,944
------------
3,879,863
------------
COMPUTERS & PERIPHERALS - 3.0%
Apple Computer, Inc.*................ 10,360 729,241
EMC Corp.*........................... 27,770 375,173
Hewlett-Packard Co................... 12,220 396,783
SanDisk Corp.*....................... 2,940 187,660
Western Digital Corp.*............... 12,630 265,735
------------
1,954,592
------------
CONSTRUCTION MATERIALS - 0.4%
Cemex S.A. de C.V. (ADR)............. 4,020 271,430
------------
------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
------------------------------------------------------------
ELECTRONIC EQUIPMENT & INSTRUMENTS - 0.7%
Jabil Circuit, Inc.*.................... 12,010 $ 468,270
------------
ENERGY EQUIPMENT & SERVICES - 3.9%
Avnet, Inc.*............................ 10,180 266,207
Baker Hughes, Inc....................... 6,910 558,535
Broadcom Corp. - Class A*............... 15,710 645,838
Mettler-Toledo International, Inc.*..... 5,160 334,368
Patterson-UTI Energy, Inc............... 8,470 274,089
Rowan Companies, Inc.................... 5,840 258,887
TXU Corp................................ 3,750 186,113
------------
2,524,037
------------
FINANCIAL - DIVERSIFIED - 5.1%
American Express Co..................... 12,527 674,078
Ameriprise Financial, Inc............... 3,579 175,514
Bear Stearns Companies, Inc............. 2,660 379,077
E*TRADE Financial Corp.*................ 9,750 242,580
Goldman Sachs Group, Inc................ 4,880 782,215
Merrill Lynch & Co., Inc................ 14,430 1,100,432
------------
3,353,896
------------
FOOD & DRUG RETAILING - 2.6%
CVS Corp................................ 44,770 1,330,565
Safeway, Inc............................ 13,740 345,286
------------
1,675,851
------------
FOOD PRODUCTS - 1.0%
Archer-Daniels-Midland Co............... 18,090 657,391
------------
HEALTH CARE EQUIPMENT & SUPPLIES - 0.8%
Becton, Dickinson & Co.................. 5,430 342,307
Lumenis Ltd.*........................... 520 624
St. Jude Medical, Inc.*................. 4,740 187,135
------------
530,066
------------
HEALTH CARE PROVIDERS & SERVICES - 8.3%
Aetna, Inc.............................. 19,678 757,603
AmerisourceBergen Corp.................. 10,520 453,938
Caremark Rx, Inc.*...................... 9,180 418,149
Coventry Health Care, Inc.*............. 11,547 573,540
Express Scripts, Inc.*.................. 4,180 326,625
Laboratory Corp. of America Holdings*... 5,770 329,467
UnitedHealth Group, Inc................. 39,400 1,959,756
WellPoint, Inc.*........................ 8,104 575,384
------------
5,394,462
------------
HOTELS, RESTAURANTS & LEISURE - 3.8%
Darden Restaurants, Inc................. 11,410 451,836
Hilton Hotels Corp...................... 10,480 282,331
Marriott International, Inc. - Class A.. 6,510 475,686
Penn National Gaming, Inc.*............. 8,570 348,971
Sonic Corp.*............................ 7,520 255,003
Starwood Hotels & Resorts Worldwide Inc. 6,035 346,288
Yum! Brands, Inc........................ 6,380 329,718
------------
2,489,833
------------
See notes to financial statements
39
THE TRAVELERS SERIES TRUST
VAN KAMPEN ENTERPRISE PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
APRIL 30, 2006 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
------------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
------------------------------------------------------------------
HOUSEHOLD DURABLES - 2.5%
Procter & Gamble Co........................... 20,370 $ 1,185,737
Stanley Works (The)........................... 4,080 213,180
Tempur-Pedic International, Inc.*............. 13,430 212,060
------------
1,610,977
------------
INDUSTRIAL - DIVERSIFIED - 2.2%
General Electric Co........................... 26,400 913,176
Rockwell Automation, Inc...................... 7,180 520,263
------------
1,433,439
------------
INSURANCE - 1.2%
Hanover Insurance Group Inc................... 4,400 232,760
Radian Group, Inc............................. 4,530 284,122
Unitrin, Inc.................................. 5,600 273,560
------------
790,442
------------
INTERNET & CATALOG RETAIL - 0.3%
eBay, Inc.*................................... 5,820 200,266
------------
INTERNET SOFTWARE & SERVICES - 1.6%
Google, Inc.*................................. 1,230 514,066
Openwave Systems, Inc.*....................... 15,970 297,202
Yahoo!, Inc.*................................. 6,980 228,804
------------
1,040,072
------------
MACHINERY - 3.3%
Caterpillar, Inc.............................. 9,760 739,223
Cummins, Inc.................................. 2,620 273,790
Deere & Co.................................... 4,458 391,323
Oshkosh Truck Corp............................ 4,900 299,880
Parker Hannifin Corp.......................... 5,280 427,944
------------
2,132,160
------------
MEDIA - 1.2%
Ingersoll-Rand Co., Ltd. - Class A............ 6,470 283,063
Interpublic Group of Cos., Inc.*.............. 533 5,106
News Corp. - Class A.......................... 28,770 493,693
------------
781,862
------------
METALS & MINING - 3.0%
Allegheny Technologies, Inc................... 8,780 608,805
Cameco Corp................................... 8,240 334,956
Companhia Vale do Rio Doce (ADR).............. 5,470 281,814
Freeport-McMoRan Copper & Gold, Inc. - Class B 4,990 322,254
Southern Copper Corp.......................... 4,390 434,830
------------
1,982,659
------------
OIL & GAS - 2.7%
Chesapeake Energy Corp........................ 7,610 241,085
Exxon Mobil Corp.............................. 3,199 201,793
Helmerich & Payne, Inc........................ 3,240 235,678
Hugoton Royalty Trust......................... 446 12,327
Sunoco, Inc................................... 2,630 213,135
Tesoro Corp................................... 3,810 266,395
Valero Energy Corp............................ 4,460 288,740
--------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
--------------------------------------------------------
OIL & GAS - CONTINUED
XTO Energy, Inc..................... 7,480 $ 316,778
------------
1,775,931
------------
PHARMACEUTICALS - 6.0%
Allergan, Inc....................... 4,280 439,642
Barr Pharmaceuticals, Inc.*......... 11,120 673,316
Endo Pharmaceuticals Holdings, Inc.* 8,070 253,801
Forest Laboratories, Inc.*.......... 7,260 293,159
Medco Health Solutions, Inc.*....... 6,910 367,819
Merck & Co., Inc.................... 9,530 328,023
Novartis AG (ADR)................... 9,400 540,594
Sepracor, Inc.*..................... 4,490 200,434
Wyeth............................... 17,400 846,858
------------
3,943,646
------------
REAL ESTATE - 0.1%
Host Hotels & Resorts, Inc.......... 3,698 77,732
------------
RETAIL - MULTILINE - 0.9%
Costco Wholesale Corp............... 5,980 325,491
J.C. Penney Co., Inc................ 3,560 233,038
------------
558,529
------------
RETAIL - SPECIALTY - 7.8%
Abercrombie & Fitch Co. - Class A... 10,360 629,163
American Eagle Outfitters, Inc...... 35,110 1,137,564
Bebe Stores, Inc.................... 12,230 216,226
Claire's Stores, Inc................ 16,500 581,130
Coach, Inc.*........................ 10,140 334,823
Home Depot, Inc. (The).............. 6,958 277,833
Men's Wearhouse, Inc................ 6,567 232,735
Nordstrom, Inc...................... 13,730 526,271
O'Reilly Automotive, Inc.*.......... 6,640 224,963
PETsMART, Inc....................... 9,250 255,855
Staples, Inc........................ 17,840 471,154
Target Corp......................... 4,000 212,400
------------
5,100,117
------------
ROAD & RAIL - 2.7%
Burlington Northern Santa Fe Corp... 3,730 296,647
CSX Corp............................ 7,860 538,331
Norfolk Southern Corp............... 12,130 655,020
Union Pacific Corp.................. 3,060 279,103
------------
1,769,101
------------
SEMICONDUCTOR EQUIPMENT & PRODUCTS - 5.4%
Advanced Micro Devices, Inc.*....... 8,290 268,182
Applied Materials, Inc.............. 30,901 554,673
ASML Holding N.V.*.................. 14,710 311,116
Lam Research Corp.*................. 11,630 568,474
MEMC Electronic Materials, Inc.*.... 9,260 375,956
Micron Technology, Inc.*............ 16,410 278,478
National Semiconductor Corp......... 9,950 298,301
NVIDIA Corp.*....................... 30,850 901,437
------------
3,556,617
------------
See notes to financial statements
40
THE TRAVELERS SERIES TRUST
VAN KAMPEN ENTERPRISE PORTFOLIO
PORTFOLIO OF INVESTMENTS - CONTINUED
APRIL 30, 2006 (UNAUDITED)
(PERCENTAGE OF NET ASSETS)
------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
------------------------------------------------------------
SOFTWARE - 5.0%
Adobe Systems, Inc.*.............. 18,170 $ 712,264
Autodesk, Inc.*................... 7,790 327,492
Cadence Design Systems, Inc.*..... 15,920 301,366
Citrix Systems, Inc.*............. 10,410 415,567
Microsoft Corp.................... 34,530 833,899
SAP AG (ADR)...................... 12,855 702,269
------------
3,292,857
------------
TELECOMMUNICATION SERVICES - WIRELESS - 0.3%
American Tower Corp. - Class A*... 6,070 207,230
------------
Total Common Stocks
(Cost $53,478,601) 64,310,664
------------
------------------------------------------------------------
SECURITY VALUE
DESCRIPTION SHARES (NOTE 2)
------------------------------------------------------------
WARRANT - 0.0%
Lucent Technologies, Inc.*
(Cost - $0)............................ 1,651 $ 726
-----------
TOTAL INVESTMENTS - 98.4%
(Cost $53,478,601) 64,311,390
Other Assets and Liabilities (net) - 1.6% 1,063,471
-----------
TOTAL NET ASSETS - 100.0% $65,374,861
===========
PORTFOLIO FOOTNOTES:
* Non-income producing security.
ADR - American Depositary Receipt
See notes to financial statements
41
THE TRAVELERS SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2006 (UNAUDITED)
AIM Capital MFS Pioneer
Appreciation Total Return Strategic Income
Portfolio Portfolio Portfolio
------------ -------------- ----------------
ASSETS
Investments, at value (Note 2)* $238,786,350 $1,273,250,289 $201,546,032
Repurchase Agreement 2,656,000 11,840,000 --
Cash -- 930 --
Cash denominated in foreign currencies** -- 164,703 9,748,539
Receivable for investments sold 3,994,419 -- 1,103,570
Receivable for Trust shares sold -- -- 137,824
Dividends receivable 86,455 942,378 192
Interest receivable 498 5,685,069 2,757,519
Receivable from investment adviser (Note 3) -- -- --
------------ -------------- ----------------
Total assets 245,523,722 1,291,883,369 215,293,676
------------ -------------- ----------------
LIABILITIES
Due to Bank 215,487 -- 1,561,157
Payables for:
Investments purchased 3,698,993 5,505,211 1,359,613
Unrealized depreciation on forward currency contracts (Note 6) -- -- 82,119
Investment advisory fee payable (Note 3) 161,326 848,943 131,567
Custodian fees payable 10,391 46,061 17,193
Accrued expenses 46,043 45,596 60,440
------------ -------------- ----------------
Total liabilities 4,132,240 6,445,811 3,212,089
------------ -------------- ----------------
NET ASSETS $241,391,482 $1,285,437,558 $212,081,587
============ ============== ================
NET ASSETS REPRESENTED BY:
Paid in surplus $231,867,968 $1,205,458,823 $235,893,854
Accumulated net realized gain (loss) (26,993,190) (2,489,112) (28,315,612)
Unrealized appreciation (depreciation) on investments and foreign currency 36,373,423 88,874,246 (264,481)
Undistributed (distributions in excess of) net investment income 143,281 (6,406,399) 4,767,826
------------ -------------- ----------------
NET ASSETS $241,391,482 $1,285,437,558 $212,081,587
============ ============== ================
CAPITAL SHARES OUTSTANDING 19,527,627 77,490,668 22,388,723
============ ============== ================
NET ASSET VALUE AND OFFERING PRICE PER SHARE $ 12.36 $ 16.59 $ 9.47
============ ============== ================
- -------------------------------------------------------------------------------------------------------------------------------
*Investments at cost, excluding Repurchase Agreement $202,413,315 $1,184,374,197 $201,884,193
**Cost of cash denominated in foreign currencies -- 160,130 9,610,523
See notes to financial statements
42
Salomon Brothers Strategic Travelers Van Kampen
Strategic Total Return Equity Managed Income Enterprise
Bond Portfolio Portfolio Portfolio Portfolio
- ---------------------- ------------- -------------- ------------
$12,146,135 $ 412,587,531 $250,588,146 $ 64,311,390
426,000 25,746,000 6,061,000 --
124 -- 911 1,136,409
-- -- -- --
11,775,118 -- -- --
-- -- -- --
-- 406,564 -- 39,113
128,217 30,161 3,332,912 --
17,937 -- -- --
- ---------------------- ------------- -------------- ------------
24,493,531 438,770,256 259,982,969 65,486,912
- ---------------------- ------------- -------------- ------------
-- 179,835 -- --
12,696,153 -- -- 13,579
-- -- -- --
7,159 291,456 161,854 39,754
6,838 35,631 5,944 6,599
31,958 42,024 17,641 52,119
- ---------------------- ------------- -------------- ------------
12,742,108 548,946 185,439 112,051
- ---------------------- ------------- -------------- ------------
$11,751,423 $ 438,221,310 $259,797,530 $ 65,374,861
====================== ============= ============== ============
$13,532,764 $ 615,961,253 $280,192,797 $119,919,108
(1,632,627) (199,527,436) (9,276,717) (65,382,116)
(115,551) 21,765,903 (8,047,785) 10,832,789
(33,163) 21,590 (3,070,765) 5,080
- ---------------------- ------------- -------------- ------------
$11,751,423 $ 438,221,310 $259,797,530 $ 65,374,861
====================== ============= ============== ============
1,154,289 24,571,603 24,172,179 5,056,286
====================== ============= ============== ============
$ 10.18 $ 17.83 $ 10.75 $ 12.93
====================== ============= ============== ============
- --------------------------------------------------------------------
$12,261,686 $ 390,822,690 $258,635,931 $ 53,478,601
-- -- -- --
See notes to financial statements
43
THE TRAVELERS SERIES TRUST
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2006 (UNAUDITED)
AIM Capital MFS Pioneer
Appreciation Total Return Strategic Income
Portfolio Portfolio Portfolio
------------ ------------ ----------------
INVESTMENT INCOME:
Dividends (1) $ 1,175,542 $ 8,047,622 $ 34,267
Interest (2) 51,880 12,572,187 6,290,765
------------ ------------ ----------------
Total investment income 1,227,422 20,619,809 6,325,032
------------ ------------ ----------------
EXPENSES:
Investment advisory fee (Note 3) 975,303 4,912,638 760,519
Custody and accounting fees 40,328 120,696 36,379
Audit 13,742 4,963 16,104
Legal 25,777 23,913 25,850
Trustee fees and expenses 9,282 10,313 7,583
Shareholder reporting 6,007 19,268 9,661
Insurance 12,488 66,469 9,087
Other 1,197 4,585 916
------------ ------------ ----------------
Total expenses 1,084,124 5,162,845 866,099
Less fees waived and expenses reimbursed by the adviser -- -- --
Less broker commission recapture (Note 7) -- -- --
------------ ------------ ----------------
Net expenses 1,084,124 5,162,845 866,099
------------ ------------ ----------------
Net investment income 143,298 15,456,964 5,458,933
------------ ------------ ----------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES
CONTRACTS AND FOREIGN CURRENCY RELATED TRANSACTIONS
Net realized gain (loss) on:
Investments 26,285,666 22,382,829 453,281
Futures contracts -- -- --
Foreign currency related transactions (71,670) (16,758) 2,882
------------ ------------ ----------------
Net realized gain (loss) on investments, futures contracts and
foreign currency related transactions 26,213,996 22,633,337 456,163
------------ ------------ ----------------
Unrealized appreciation (depreciation) on:
Investments 1,626,964 35,827,143 609,324
Futures contracts -- -- --
Foreign currency related transactions (2,496) -- (144,175)
------------ ------------ ----------------
Net change in unrealized appreciation (depreciation) on investments, futures
contracts and foreign currency related transactions 1,624,468 35,827,143 465,149
------------ ------------ ----------------
Net realized and unrealized gain (loss) on investments, futures contracts and
foreign currency related transactions 27,838,464 58,460,480 921,312
------------ ------------ ----------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $27,981,762 $73,917,444 $6,380,245
============ ============ ================
- --------------------------------------------------------------------------------------------------------------------------------
(1)Dividend income is net of withholding taxes of: $ 28,794 $ 43,575 $ 3
(2)Interest income includes security lending income of: 15,066 62,154 10,528
See notes to financial statements
44
Salomon Brothers
Strategic Total Strategic Travelers Van Kampen
Return Bond Equity Managed Income Enterprise
Portfolio Portfolio Portfolio Portfolio
- ---------------- ----------- -------------- ----------
$ 117 $ 3,023,022 $ -- $ 333,964
335,000 547,621 5,863,163 19,288
- ---------------- ----------- -------------- ----------
335,117 3,570,643 5,863,163 353,252
- ---------------- ----------- -------------- ----------
49,944 1,802,265 867,095 250,757
15,879 132,593 11,198 13,648
5,373 4,976 8,016 6,953
30,037 23,670 39,064 31,169
6,272 4,842 7,341 8,655
4,241 10,638 13,492 10,400
867 24,527 8,683 4,328
560 2,339 4,750 1,014
- ---------------- ----------- -------------- ----------
113,173 2,005,850 959,639 326,924
(20,989) -- -- --
-- (77,744) -- --
- ---------------- ----------- -------------- ----------
92,184 1,928,106 959,639 326,924
- ---------------- ----------- -------------- ----------
242,933 1,642,537 4,903,524 26,328
- ---------------- ----------- -------------- ----------
(182,996) 27,540,295 (418,508) 3,234,381
45,281 -- -- 123,836
(3) 11,229 -- 8
- ---------------- ----------- -------------- ----------
(137,718) 27,551,524 (418,508) 3,358,225
- ---------------- ----------- -------------- ----------
8,478 7,341,388 (2,906,593) 3,423,994
(43,771) -- -- --
(113) -- -- --
- ---------------- ----------- -------------- ----------
(35,406) 7,341,388 (2,906,593) 3,423,994
- ---------------- ----------- -------------- ----------
(173,124) 34,892,912 (3,325,101) 6,782,219
- ---------------- ----------- -------------- ----------
$ 69,809 $36,535,449 $ 1,578,423 $6,808,547
================ =========== ============== ==========
- ---------------------------------------------------------
$ -- $ 67,347 $ -- $ 1,944
-- 44,179 20,221 194
See notes to financial statements
45
THE TRAVELERS SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
APRIL 30, 2006
AIM MFS
Capital Appreciation Portfolio Total Return Portfolio
----------------------------- ------------------------------
Period Ended Year Ended Period Ended Year Ended
April 30, 2006 October 31, April 30, 2006 October 31,
(Unaudited) 2005 (Unaudited) 2005
------------------------------- -------------------------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income $ 143,298 $ 821,677 $ 15,456,964 $ 30,851,491
Net realized gain (loss) on investments,
futures contracts and foreign
currency related transactions 26,213,996 14,630,890 22,633,337 63,621,378
Net change in unrealized appreciation
(depreciation) on investments,
futures contracts and foreign
currency related transactions 1,624,468 10,233,353 35,827,143 (22,729,013)
------------ ------------ -------------- --------------
Net increase in net assets resulting from
operations 27,981,762 25,685,920 73,917,444 71,743,856
------------ ------------ -------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (509,091) (322,782) (44,744,809) (31,800,072)
From net realized gains (1,300,681) -- (78,738,593) (32,429,912)
------------ ------------ -------------- --------------
Net decrease in net assets resulting from
distributions (1,809,772) (322,782) (123,483,402) (64,229,984)
------------ ------------ -------------- --------------
CAPITAL SHARE TRANSACTIONS (NOTES 4):
Proceeds from shares sold 1,729,186 35,483,412 17,340,601 105,571,655
Net asset value of shares issued through
dividend reinvestment 1,809,772 322,782 123,483,402 64,229,984
Cost of shares repurchased (26,651,646) (56,459,693) (77,625,201) (65,667,151)
------------ ------------ -------------- --------------
Net increase (decrease) in net assets
from capital share transactions (23,112,688) (20,653,499) 63,198,802 104,134,488
------------ ------------ -------------- --------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 3,059,302 4,709,639 13,632,844 111,648,360
Net assets at beginning of period 238,332,180 233,622,541 1,271,804,714 1,160,156,354
------------ ------------ -------------- --------------
Net assets at end of period $241,391,482 $238,332,180 $1,285,437,558 $1,271,804,714
============ ============ ============== ==============
Net assets at end of period includes
undistributed (distributions in
excess of) net investment income $ 143,281 $ 509,074 $ (6,406,399) $ 23,735,526
============ ============ ============== ==============
See notes to financial statements
46
Pioneer Salomon Brothers
Strategic Income Portfolio Strategic Total Return Bond Portfolio Strategic Equity Portfolio
- ---------------------------- ----------------------------------- -----------------------------
Period Ended Year Ended Period Ended Year Ended Period Ended Year Ended
April 30, 2006 October 31, April 30, 2006 October 31, April 30, 2006 October 31,
(Unaudited) 2005 (Unaudited) 2005 (Unaudited) 2005
- ------------------------------ -------------------------------------- ------------------------------
$ 5,458,933 $ 8,005,619 $ 242,933 $ 602,591 $ 1,642,537 $ 5,856,448
456,163 2,443,475 (137,718) 383,234 27,551,524 25,484,071
465,149 (4,494,743) (35,406) (561,322) 7,341,388 672,602
------------ ------------ - ------------ ------------ - ------------- -------------
6,380,245 5,954,351 69,809 424,503 36,535,449 32,013,121
------------ ------------ - ------------ ------------ - ------------- -------------
(8,052,523) (7,620,245) (765,240) (938,016) (4,317,023) (7,201,167)
-- -- -- -- (17,769,131) --
------------ ------------ - ------------ ------------ - ------------- -------------
(8,052,523) (7,620,245) (765,240) (938,016) (22,086,154) (7,201,167)
------------ ------------ - ------------ ------------ - ------------- -------------
32,640,098 79,604,243 250,237 680,330 669,838 1,089,216
8,052,523 7,620,245 765,240 938,016 22,086,154 7,201,167
(13,387,369) (6,091,546) (2,274,120) (3,951,875) (48,031,642) (91,950,765)
------------ ------------ - ------------ ------------ - ------------- -------------
27,305,252 81,132,942 (1,258,643) (2,333,529) (25,275,650) (83,660,382)
------------ ------------ - ------------ ------------ - ------------- -------------
25,632,974 79,467,048 (1,954,074) (2,847,042) (10,826,355) (58,848,428)
186,448,613 106,981,565 13,705,497 16,552,539 449,047,665 507,896,093
------------ ------------ - ------------ ------------ - ------------- -------------
$212,081,587 $186,448,613 $ 11,751,423 $ 13,705,497 $ 438,221,310 $ 449,047,665
============ ============ = ============ ============ = ============= =============
$ 4,767,826 $ 7,361,416 $ (33,163) $ 489,144 $ 21,590 $ 2,696,076
============ ============ = ============ ============ = ============= =============
See notes to financial statements
47
THE TRAVELERS SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
APRIL 30, 2006
Travelers Van Kampen
Managed Income Portfolio Enterprise Portfolio
--------------------------- ---------------------------
Period Ended Year Ended Period Ended Year Ended
April 30, 2006 October 31, April 30, 2006 October 31,
(Unaudited) 2005 (Unaudited) 2005
----------------------------- ----------------------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income $ 4,903,524 $ 8,638,545 $ 26,328 $ 339,238
Net realized gain (loss) on investments,
futures contracts and foreign
currency related transactions (418,508) 833,358 3,358,225 3,609,871
Net change in unrealized appreciation
(depreciation) on investments,
futures contracts and foreign
currency related transactions (2,906,593) (8,421,786) 3,423,994 3,905,622
------------ ------------ - ------------ ------------
Net increase in net assets resulting from
operations 1,578,423 1,050,117 6,808,547 7,854,731
------------ ------------ - ------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (15,448,682) (13,026,736) (91,440) (440,542)
From net realized gains -- -- (1,731,803) --
------------ ------------ - ------------ ------------
Net decrease in net assets resulting from
distributions (15,448,682) (13,026,736) (1,823,243) (440,542)
------------ ------------ - ------------ ------------
CAPITAL SHARE TRANSACTIONS (NOTES 4):
Proceeds from shares sold 6,462,902 23,995,069 3,609,983 3,620,309
Net asset value of shares issued through
dividend reinvestment 15,448,682 13,026,736 1,823,243 440,542
Cost of shares repurchased (21,526,239) (29,836,550) (15,580,412) (20,224,023)
------------ ------------ - ------------ ------------
Net increase (decrease) in net assets
from capital share transactions 385,345 7,185,255 (10,147,186) (16,163,172)
------------ ------------ - ------------ ------------
TOTAL (DECREASE) IN NET ASSETS (13,484,914) (4,791,364) (5,161,882) (8,748,983)
Net assets at beginning of period 273,282,444 278,073,808 70,536,743 79,285,726
------------ ------------ - ------------ ------------
Net assets at end of period $259,797,530 $273,282,444 $ 65,374,861 $ 70,536,743
============ ============ = ============ ============
Net assets at end of period includes
undistributed (distributions in
excess of) net investment income $ (3,070,765) $ 7,660,831 $ 5,080 $ 70,192
============ ============ = ============ ============
See notes to financial statements
48
(THIS PAGE INTENTIONALLY LEFT BLANK)
49
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
AIM CAPITAL APPRECIATION PORTFOLIO ------------ -------------- -------------- ---------- ----------
04/30/2006 (Unaudited) $11.11 $ 0.01 (a) $ 1.33 (a) $ 1.34 $ (0.02)
10/31/2005 9.98 0.04 (a) 1.10 (a) 1.14 (0.01)
10/31/2004** 9.63 (0.02) 0.37 0.35 --
10/31/2003** 8.04 (0.02) 1.61 1.59 --
10/31/2002** 9.11 (0.03) (1.04) (1.07) --
10/31/2001** 21.73 (0.02) (8.72) (8.74) --
- --------------------------------- ------------ -------------- -------------- ---------- ----------
MFS TOTAL RETURN PORTFOLIO ------------ -------------- -------------- ---------- ----------
04/30/2006 (Unaudited) $17.29 $ 0.20 (a) $ 0.78 (a) $ 0.98 $ (0.61)
10/31/2005 17.19 0.42 (a) 0.61 (a) 1.03 (0.46)
10/31/2004** 15.77 0.36 1.41 1.77 (0.35)
10/31/2003** 14.44 0.34 1.49 1.83 (0.50)
10/31/2002** 16.08 0.39 (c) (0.98)(c) (0.59) (0.44)
10/31/2001** 17.16 0.42 (0.42) (0.00)+ (0.48)
- --------------------------------- ------------ -------------- -------------- ---------- ----------
PIONEER STRATEGIC INCOME PORTFOLIO ------------ -------------- -------------- ---------- ----------
04/30/2006 (Unaudited) $ 9.56 $ 0.25 (a) $ 0.05 (a) $ 0.30 $ (0.39)
10/31/2005 9.73 0.53 (a) (0.04)(a) 0.49 (0.66)
10/31/2004** 9.53 0.57 (a) 0.48 (a) 1.05 (0.85)
10/31/2003** 8.94 0.63 (a) 1.04 (a) 1.67 (1.08)
10/31/2002** 9.94 1.14 (c) (0.94)(c) 0.20 (1.20)
10/31/2001** 10.31 0.93 (0.47) 0.46 (0.83)
- --------------------------------- ------------ -------------- -------------- ---------- ----------
SALOMON BROTHERS STRATEGIC TOTAL RETURN BOND PORTFOLIO ------------ -------------- -------------- ---------- ----------
04/30/2006 (Unaudited) $10.79 $ 0.20 (a) $ (0.15)(a) $ 0.05 $ (0.66)
10/31/2005 11.16 0.43 (a) (0.14)(a) 0.29 (0.66)
10/31/2004** 11.10 0.48 (a) 0.25 (a) 0.73 (0.67)
10/31/2003** 10.13 0.54 (a) 0.93 (a) 1.47 (0.50)
10/31/2002** 10.27 0.51 (a)(c) (0.17)(a)(c) 0.34 (0.48)
10/31/2001** 9.89 0.58 (a) 0.48 (a) 1.06 (0.68)
- --------------------------------- ------------ -------------- -------------- ---------- ----------
STRATEGIC EQUITY PORTFOLIO ------------ -------------- -------------- ---------- ----------
04/30/2006 (Unaudited) $17.33 $ 0.07 (a) $ 1.37 (a) $ 1.44 $ (0.18)
10/31/2005 16.44 0.21 (a) 0.92 (a) 1.13 (0.24)
10/31/2004** 15.16 0.14 1.14 1.28 --
10/31/2003** 12.59 (0.03) 2.62 2.59 (0.02)
10/31/2002** 16.67 0.04 (4.05) (4.01) (0.07)
10/31/2001** 28.63 0.07 (8.60) (8.53) (0.05)
- --------------------------------- ------------ -------------- -------------- ---------- ----------
TRAVELERS MANAGED INCOME PORTFOLIO ------------ -------------- -------------- ---------- ----------
04/30/2006 (Unaudited) $11.33 $ 0.20 (a) $ (0.13)(a) $ 0.07 $ (0.65)
10/31/2005 11.84 0.35 (a) (0.31)(a) 0.04 (0.55)
10/31/2004** 11.84 0.36 0.12 0.48 (0.48)
10/31/2003** 11.38 0.50 (a) 0.69 (a) 1.19 (0.68)
10/31/2002** 12.57 0.56 (a)(c) (1.07)(a)(c) (0.51) (0.63)
10/31/2001** 11.58 0.71 (a) 0.83 (a) 1.54 (0.55)
- --------------------------------- ------------ -------------- -------------- ---------- ----------
VAN KAMPEN ENTERPRISE PORTFOLIO ------------ -------------- -------------- ---------- ----------
04/30/2006 (Unaudited) $12.11 $ 0.00+(a) $ 1.19 (a) $ 1.19 $ (0.02)
10/31/2005 11.02 0.05 (a) 1.10 (a) 1.15 (0.06)
10/31/2004** 11.03 0.03 (0.02) 0.01 (0.02)
10/31/2003** 9.40 0.01 1.67 1.68 (0.05)
10/31/2002** 11.81 0.05 (2.42) (2.37) (0.04)
10/31/2001** 25.60 0.03 (9.05) (9.02) (0.00)+
- --------------------------------- ------------ -------------- -------------- ---------- ----------
DISTRIBUTIONS
FROM NET
REALIZED
SELECTED PER SHARE DATA FOR THE PERIOD ENDED: CAPITAL GAINS
AIM CAPITAL APPRECIATION PORTFOLIO -------------
04/30/2006 (Unaudited) $(0.07)
10/31/2005 --
10/31/2004** --
10/31/2003** --
10/31/2002** --
10/31/2001** (3.88)
- --------------------------------- -------------
MFS TOTAL RETURN PORTFOLIO -------------
04/30/2006 (Unaudited) $(1.07)
10/31/2005 (0.47)
10/31/2004** --
10/31/2003** --
10/31/2002** (0.61)
10/31/2001** (0.60)
- --------------------------------- -------------
PIONEER STRATEGIC INCOME PORTFOLIO -------------
04/30/2006 (Unaudited) $ --
10/31/2005 --
10/31/2004** --
10/31/2003** --
10/31/2002** --
10/31/2001** --
- --------------------------------- -------------
SALOMON BROTHERS STRATEGIC TOTAL RETURN BOND PORTFOLIO -------------
04/30/2006 (Unaudited) $ --
10/31/2005 --
10/31/2004** --
10/31/2003** --
10/31/2002** --
10/31/2001** --
- --------------------------------- -------------
STRATEGIC EQUITY PORTFOLIO -------------
04/30/2006 (Unaudited) $(0.76)
10/31/2005 --
10/31/2004** --
10/31/2003** --
10/31/2002** --
10/31/2001** (3.38)
- --------------------------------- -------------
TRAVELERS MANAGED INCOME PORTFOLIO -------------
04/30/2006 (Unaudited) $ --
10/31/2005 --
10/31/2004** --
10/31/2003** (0.05)
10/31/2002** (0.05)
10/31/2001** --
- --------------------------------- -------------
VAN KAMPEN ENTERPRISE PORTFOLIO -------------
04/30/2006 (Unaudited) $(0.35)
10/31/2005 --
10/31/2004** --
10/31/2003** --
10/31/2002** --
10/31/2001** (4.77)
- --------------------------------- -------------
# Annualized
* Performance figures may reflect fee waivers and/or expense reimbursements.
Past performance is no guarantee of future results. In the absence of fee
waivers and/or expense reimbursements, the total return would have been lower.
Total returns do not reflect expenses associated with the separate account such
as administration fees, account charges and surrender charges which, if
reflected, would reduce the total returns for all years shown.
** Audited by other Independent Public Accounting Firm.
+ Rounds to less than $0.005 per share
(a) Per share amounts based on average shares outstanding during the year.
(b) The investment manager waived a portion of its management fee for the year
ended October 31, 2004. The actual expense ratios did not change due to these
waivers for any portfolio except Salomon Brothers Strategic Total Return
Portfolio. If such fee was not waived, the actual expense ratio would have been
1.25%.
See notes to financial statements
50
RATIO OF NET
RATIO OF INVESTMENT
NET ASSET NET ASSETS END EXPENSES TO INCOME (LOSS)
TOTAL VALUE END OF PERIOD AVERAGE NET TO AVERAGE NET PORTFOLIO
DISTRIBUTIONS OF PERIOD TOTAL RETURN* (IN MILLIONS) ASSETS ASSETS TURNOVER RATE
- ------------- --------- ------------- -------------- ----------- -------------- -------------
$(0.09) $12.36 12.08% $ 241 0.89%# 0.12%# 59%
(0.01) 11.11 11.47 238 0.85 0.34 83
-- 9.98 3.63 234 0.85(b) (0.18) 71
-- 9.63 19.78 178 0.85 (0.25) 49
-- 8.04 (11.75) 172 0.85 (0.28) 65
(3.88) 9.11 (43.36) 224 0.83 (0.20) 77
- --------- --------- ------------- -------------- ----------- -------------- -------------
- ------------- --------- ------------- -------------- ----------- -------------- -------------
$(1.68) $16.59 5.91% $1,285 0.81%# 2.42%# 21%
(0.93) 17.29 6.09 1,272 0.79 2.45 47
(0.35) 17.19 11.36 1,160 0.82(b) 2.25 66
(0.50) 15.77 13.05 997 0.82 2.37 49
(1.05) 14.44 (3.59) 830 0.83 2.81(c) 81
(1.08) 16.08 (0.22) 804 0.83 3.08 88
- --------- --------- ------------- -------------- ----------- -------------- -------------
- ------------- --------- ------------- -------------- ----------- -------------- -------------
$(0.39) $ 9.47 3.25% $ 212 0.85%# 5.38%# 17%
(0.66) 9.56 5.17 186 0.86 5.58 37
(0.85) 9.73 11.66 107 0.90(b) 6.19 56
(1.08) 9.53 20.56 100 1.00 7.05 141
(1.20) 8.94 2.00 97 0.93 8.24(c) 208
(0.83) 9.94 4.60 128 0.90 8.83 150
- --------- --------- ------------- -------------- ----------- -------------- -------------
- ------------- --------- ------------- -------------- ----------- -------------- -------------
$(0.66) $10.18 0.40% $ 12 1.48%# 3.89%# 29%(d)
(0.66) 10.79 2.67 14 1.42 3.96 42(d)
(0.67) 11.16 6.83 17 1.24(b) 4.47 42(d)
(0.50) 11.10 15.10 21 1.20 5.06 68(d)
(0.48) 10.13 3.36 21 1.24 4.95(c) 385
(0.68) 10.27 10.99 18 1.23 5.69 448
- --------- --------- ------------- -------------- ----------- -------------- -------------
- ------------- --------- ------------- -------------- ----------- -------------- -------------
$(0.94) $17.83 8.29% $ 438 0.86%# 0.73%# 80%
(0.24) 17.33 6.85 449 0.85 1.23 220
-- 16.44 8.44 508 0.85(b) 0.81 213
(0.02) 15.16 20.57 550 0.84 (0.20) 167
(0.07) 12.59 (24.05) 516 0.83 0.19 100
(3.43) 16.67 (32.05) 845 0.82 0.31 46
- --------- --------- ------------- -------------- ----------- -------------- -------------
- ------------- --------- ------------- -------------- ----------- -------------- -------------
$(0.65) $10.75 0.60% $ 260 0.72%# 3.68%# 15%
(0.55) 11.33 0.35 273 0.69 3.08 95
(0.48) 11.84 4.19 278 0.69(b) 3.10 123
(0.73) 11.84 10.85 252 0.68 4.34 163
(0.68) 11.38 (4.06) 208 0.69 4.68(c) 177
(0.55) 12.57 13.50 221 0.68 5.76 194
- --------- --------- ------------- -------------- ----------- -------------- -------------
- ------------- --------- ------------- -------------- ----------- -------------- -------------
$(0.37) $12.93 9.80% $ 65 0.91%# 0.07%# 35%
(0.06) 12.11 10.48 71 0.83 0.45 57
(0.02) 11.02 0.05 79 0.80(b) 0.26 157
(0.05) 11.03 17.93 97 0.80 0.13 123
(0.04) 9.40 (20.07) 100 0.76 0.30 87
(4.77) 11.81 (37.52) 165 0.74 0.18 107
- --------- --------- ------------- -------------- ----------- -------------- -------------
(c) Effective November 1, 2001, the Portfolio adopted a change in the
accounting method that requires the Portfolio to amortize premiums and accrete
all discounts. Per share information, ratios and supplemental data for the
periods prior to November 1, 2001 have not been restated to reflect this change
in presentation. Without the adoption of this change, for the year ended
October 31, 2002, those amounts would have been $0.40, $0.99 and 2.91% for net
investment income, net realized and unrealized loss and the ratio net
investment income to average net assets, respectively for the MFS Total Return
Portfolio. Without the adoption of this change, for the year ended October 31,
2002, those amounts would have been $1.16, $(0.96) and 8.42% for net investment
income, net realized and unrealized loss and the ratio net investment income to
average net assets, respectively for the Pioneer Strategic Income Portfolio.
Without the adoption of this change, for the year ended October 31, 2002, those
amounts would have been $0.52, $0.18 and 5.04% for net investment income, net
realized and unrealized loss and the ratio net investment income to average net
assets, respectively for the Salomon Strategic Total Return Portfolio. Without
the adoption of this change, for the year ended October 31, 2002, those amounts
would have been $0.60, $1.11 and 5.02% for net investment income, net realized
and unrealized loss and the ratio net investment income to average net assets,
respectively for the Travelers Managed Income Portfolio.
(d) Excluding mortgage dollar roll transactions. If mortgage dollar roll
transactions had been included, the portfolio turnover rate would have been
373%, 498%, 414% and 376% for the periods ended April 30, 2006, October 31,
2005, 2004 and 2003, respectively.
See notes to financial statements
51
THE TRAVELERS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
APRIL 30, 2006 (UNAUDITED)
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"). As of April 30, 2006, the
Trust offered twenty-eight portfolios, seven of which are non-diversified
(each, a "Portfolio" and collectively, the "Portfolios"), and each of which
operates as a distinct investment vehicle of the Trust. The seven Portfolios
included in this report are as follows: AIM Capital Appreciation Portfolio, MFS
Total Return Portfolio, Pioneer Strategic Income Portfolio, Salomon Brothers
Strategic Total Return Bond Portfolio (which is non-diversified), Strategic
Equity Portfolio, Travelers Managed Income Portfolio and Van Kampen Enterprise
Portfolio.
Shares of the Trust are offered exclusively for use with certain variable
annuity and variable life insurance contracts offered through the separate
accounts of various affiliated life insurance companies.
2. SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements in conformity with accounting
principles generally accepted in the United States of America requires
management to make estimates and assumptions that affect the reported amounts
of assets and liabilities at the date of the financial statements and the
reported amounts of income and expenses during the reporting period. Actual
results could differ from these estimates.
The following is a summary of significant accounting policies consistently
followed by the Trust in the preparation of its financial statements.
(A) SECURITY VALUATION - Portfolio securities for which the primary market is
on a domestic or foreign exchange (except the NASDAQ) will be valued at the
last sale price on the day of valuation or, if there was no sale that day, at
the last reported bid price, using prices as of the close of trading. Portfolio
securities traded over-the-counter and quoted on NASDAQ are valued at the
NASDAQ Official Closing Price. Portfolio securities not quoted on NASDAQ that
are actively traded in the over-the-counter market, including listed securities
for which the primary market is believed to be over-the-counter, will be valued
at the most recently quoted bid price provided by the principal market makers.
Debt securities are valued at the mean between the bid and asked prices
provided by an independent pricing service that are based on transactions in
debt obligations, quotations from bond dealers, market transactions in
comparable securities and various relationships between securities. Short-term
securities with remaining maturities of less than 60 days are valued at
amortized cost, which approximates market value. The Portfolios may hold
securities traded in foreign markets. Foreign securities are valued at the
market price in the foreign market. However, if events occurring after the
close of the foreign market (but before the close of regular trading on the New
York Stock Exchange) are believed to materially affect the value of those
securities, such securities are fair valued pursuant to procedures approved by
the Board of Trustees. When fair valuing equity securities, a Portfolio may,
among other things, use modeling tools or other processes that may take into
account factors such as securities market activity and/or significant events
that occur after the close of the foreign market and before the Portfolio
calculates its net asset value. Futures contracts and options are valued based
upon their daily settlement prices. Forward currency exchange contracts are
valued daily at forward foreign currency exchange rates. Investments in mutual
funds are valued at the daily net asset value of the mutual fund. In the case
of any securities which are not actively trading or are restricted as to
resale, reliable market quotations may not be considered to be readily
available. These investments are stated at fair value as determined under the
direction of the Board of Trustees. Such fair value may be determined by
utilizing information furnished by a pricing service which determines
valuations for normal, institutional-size trading units of such securities
using methods based on market transactions for comparable securities and
various relationships between securities which are generally recognized by
institutional traders.
(B) SECURITY TRANSACTIONS - Security transactions are recorded on a trade date
basis. Realized gains and losses are determined on an identified cost basis.
The Portfolios may purchase and sell securities on a "when issued" or "delayed
delivery" basis, with settlement to occur at a later date. The value of the
security so purchased is subject to market fluctuations during this period. The
Portfolios segregate assets having an aggregate value at least equal to the
amount of the when issued or delayed delivery purchase commitments until
payment is made.
(C) INVESTMENT INCOME AND EXPENSES - Interest income, adjusted for amortization
of premium and accretion of discount, is recorded on the accrual basis.
Dividend income is recorded on the ex-dividend date. Foreign dividend income is
recorded on the ex-dividend date or as soon as practical after the Portfolios
determine the existence of a dividend declaration after exercising reasonable
due diligence. Foreign income and foreign capital gains on some foreign
securities may be subject to foreign withholding taxes, which are accrued as
applicable.
(D) FEDERAL INCOME TAXES - It is the Portfolios' policy to comply with the
federal income and excise tax requirements of the Internal Revenue Code of
1986, as amended ("the Code"), applicable to regulated investment companies.
Accordingly, the Portfolios intend to distribute substantially all of their
taxable income and net realized gains on investments, if any, to shareholders
each year. Therefore, no federal income tax provision is required in the
Portfolios' financial statements. It is also the Portfolios' policy to comply
with the diversification requirements of the Code so that variable annuity and
variable life contracts investing in a portfolio will not fail to qualify as
annuity and life insurance contracts for tax purposes.
Distributions from net investment income and capital gains are determined in
accordance with federal income tax regulations which may differ from generally
accepted accounting principles. As a result, distributions from net investment
income and net realized capital gains may differ from their ultimate
characterization for federal income tax purposes due to timing differences.
52
THE TRAVELERS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
APRIL 30, 2006 (UNAUDITED)
2. SIGNIFICANT ACCOUNTING POLICIES - CONTINUED
The Portfolios utilize the provisions of the federal income tax laws that
provide for the carryforward of capital losses for eight years, offsetting such
losses against any future net realized capital gains. At October 31, 2005, the
accumulated capital loss carryforwards and expiration dates by the Portfolios
were as follows:
Expiring Expiring Expiring Expiring Expiring Expiring Expiring
Portfolio 12/31/2007 12/31/2008 12/31/2009 12/31/2010 12/31/2011 12/31/2012 12/31/2013
- --------- ---------- ---------- ----------- ------------ ----------- ---------- ----------
AIM Capital Appreciation Portfolio $ -- $ -- $13,282,680 $ 25,303,918 $11,887,038 $ -- $ --
MFS Total Return Portfolio -- -- -- -- -- -- --
Pioneer Strategic Income Portfolio 4,613,853 3,076,895 7,414,445 11,398,536 2,263,562 -- --
Salomon Brothers Strategic Total
Return Bond Portfolio 435,020 938,295 42,124 19,636 -- -- --
Strategic Equity Portfolio -- -- -- 207,061,308 -- -- --
Travelers Managed Income
Portfolio -- -- -- -- 4,796,406 532,995 3,630,067
Van Kampen Enterprise Portfolio -- -- 24,042,500 34,687,599 8,209,090 -- --
(E) DISTRIBUTION OF INCOME AND GAINS - Each Portfolio intends to distribute
substantially all of its net investment income and net realized capital gains,
if any, annually.
(F) FUTURES CONTRACTS - A futures contract is an agreement involving the
delivery of a particular asset on a specified future date at an agreed upon
price. These contracts are generally used to provide the return of an index
without purchasing all of the securities underlying the index or as a temporary
substitute for purchasing or selling specific securities.
Upon entering into a futures contract, the Portfolios are required to make
initial margin deposits with the broker or segregate liquid investments to
satisfy the broker's margin requirements. Initial margin deposits are recorded
as assets and held in a segregated account at the custodian. During the period
the futures contract is open, changes in the value of the contract are
recognized as unrealized gains or losses by "marking to market" the contract on
a daily basis to reflect the value of the contract's settlement price at the
end of each day's trading. Variation margin payments are made or received and
recognized as assets due from or liabilities to the broker depending upon
whether unrealized gains or losses, respectively, are incurred. When the
contract is closed, the Portfolio records a realized gain or loss equal to the
difference between the proceeds from (or cost of) the closing transaction and
its basis in the contract.
Risks of entering into futures contracts include the possibility that there may
be an illiquid market and that the change in the value of the contract may not
correlate with changes in the value of the underlying securities.
(G) FORWARD FOREIGN CURRENCY CONTRACTS - The Portfolios may enter into forward
foreign currency contracts to hedge their portfolio holdings against future
movements in certain foreign currency exchange rates. A forward currency
contract is a commitment to purchase or sell a foreign currency at a future
date at a set price. The forward currency contracts are valued at the forward
rate and are marked-to-market daily. The change in market value is recorded by
the Portfolio as an unrealized gain or loss. When the contract is closed, the
Portfolio recognizes a realized gain or loss equal to the difference between
the value of the contract at the time it was opened and the value at the time
it was closed.
The use of forward foreign currency contracts does not eliminate fluctuations
in the underlying prices of the securities of the Portfolio, but it does
establish a rate of exchange that can be achieved in the future. Although
forward foreign currency contracts to sell limit the risk of loss due to a
decline in the value of the currency holdings, they also limit any potential
gain that might result should the value of the currency increase. In addition,
the Portfolio could be exposed to risks if the counterparties to the contracts
are unable to meet the terms of the contracts.
(H) SECURITIES LENDING - The Portfolios may lend their securities to certain
qualified brokers who borrow securities in order to complete certain
transactions. By lending its investment securities, the Portfolio attempts to
increase its net investment income through the receipt of interest on the loan.
Any gain or loss in the market price of the securities loaned that might occur
and any interest earned or dividends declared during the term of the loan would
accrue to the account of the Portfolio. Risks of delay in recovery of the
securities or even loss of rights in the collateral may occur should the
borrower of the securities fail financially. Risks may also arise to the extent
that the value of the collateral decreases below the value of the securities
loaned.
Upon entering into a securities lending transaction, the Portfolio receives
cash or other securities as collateral in an amount equal to or exceeding 100%
of the current market value of the loaned securities. Any cash received as
collateral is generally invested by State Street Bank and Trust Company acting
in its capacity as securities lending agent (the "Agent"), in the State Street
Navigator Securities Lending Prime Portfolio which is a
53
THE TRAVELERS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
APRIL 30, 2006 (UNAUDITED)
2. SIGNIFICANT ACCOUNTING POLICIES - CONTINUED
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.
The Portfolio does not isolate that portion of operations resulting from
changes in foreign exchange rates on investments from the fluctuations arising
from changes in market prices of securities held. Such fluctuations are
included with the net realized and unrealized gain or loss from investments.
Reported net realized foreign exchange gains or losses arise from activity in
forward foreign currency contracts, sales of foreign currencies, currency gains
or losses realized between the trade and settlement dates on securities
transactions, and the difference between the amounts of dividends, interest,
and foreign withholding taxes recorded on the Portfolio's books, and the U.S.
dollar equivalent of the amounts actually received or paid. Net unrealized
foreign exchange gains and losses arise from changes in the value of assets and
liabilities other than investments in securities at fiscal year end, from
changes in the exchange rates of foreign currency held, and from changes in the
contract value of forward foreign currency contracts.
(J) REPURCHASE AGREEMENTS - The Portfolios may enter into repurchase agreements
with selected commercial banks and broker-dealers, under which the Portfolio
acquires securities as collateral and agrees to resell the securities at an
agreed upon time and at an agreed upon price. A Portfolio accrues interest for
the difference between the amount it pays for the securities and the amount it
receives upon resale. At the time a Portfolio enters into a repurchase
agreement, the value of the collateral securities including accrued interest
will be equal to or exceed the value of the repurchase agreement and, for
repurchase agreements that mature in more than one day, the seller will agree
that the value of the collateral securities including accrued interest will
continue to be at least equal to the value of the repurchase agreement.
(K) FORWARD COMMITMENTS, WHEN-ISSUES AND DELAYED DELIVERY SECURITIES - All
Portfolios may purchase securities on a when-issued or delayed delivery basis
and may purchase or sell securities on a forward commitment basis. Settlement
of such transactions normally occurs within a month or more after the purchase
or sale commitment is made. A Portfolio may purchase securities under such
conditions only with the intention of actually acquiring them, but may enter
into a separate agreement to sell the securities before the settlement date.
Since the value of securities purchased may fluctuate prior to settlement, the
Portfolio may be required to pay more at settlement than the security is worth.
In addition, the purchaser is not entitled to any of the interest earned prior
to settlement. Upon making a commitment to purchase a security on a
when-issued, delayed delivery or forward commitment basis, the Portfolio will
hold liquid assets in a segregated account at the Portfolio's custodian bank
worth at least the equivalent of the amount due. The liquid assets will be
monitored on a daily basis and adjusted as necessary to maintain the necessary
value.
(L) STRIPPED SECURITIES - MFS Total Return Portfolio, Pioneer Strategic Income
Portfolio and Travelers Managed Income Portfolio may invest in "Stripped
Securities," a term used collectively for certain structured fixed income
securities. Stripped Securities can be principal only securities ("PO"), which
are debt obligations that have been stripped of unmatured interest coupons, or
interest only securities ("IO"), which are unmatured interest coupons that have
been stripped from debt obligations. Stripped Securities do not make periodic
payments of interest prior to maturity. As is the case with all securities, the
market value of Stripped Securities will fluctuate in response to changes in
economic conditions, interest rates and the market's perception of the
securities. However, fluctuations in response to interest rates may be greater
in Stripped Securities than for debt obligations of comparable maturities that
currently pay interest. The amount of fluctuation increases with a longer
period of maturity.
The yield to maturity on IOs is sensitive to the rate of principal repayments
(including prepayments) on the related underlying debt obligation and principal
payments may have a material effect on yield to maturity. If the underlying
debt obligation experiences greater than anticipated prepayments of principal,
the Portfolios may not fully recoup the initial investment in IOs.
(M) MORTGAGE DOLLAR ROLLS - Salomon Brothers Strategic Total Return Bond
Portfolio may enter into dollar rolls in which the Portfolio sells
mortgage-backed securities for delivery in the current month and simultaneously
contracts to repurchase substantially similar (same type, coupon and maturity)
securities to settle on a specified future date. During the roll period, the
Portfolio forgoes principal and interest paid on the securities. The Portfolio
is compensated by a fee paid by the counterparty, often in the form of a drop
in the repurchase price of the securities. Dollar rolls are accounted for as
financing arrangements; the fee is accrued into interest income ratably over
the term of the dollar roll and any gain or loss on the roll is deferred and
realized upon disposition of the rolled security. The average monthly balance
of dollar rolls outstanding during the period ended April 30, 2006 was
approximately $5,297,403 for the Salomon Brothers Strategic Total Return Bond
Portfolio.
The risk of entering into a mortgage dollar roll is that the market value of
the securities the Portfolio is obligated to repurchase under the agreement may
decline below the repurchase price. In the event the buyer of securities under
a mortgage dollar roll files for bankruptcy or
54
THE TRAVELERS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
APRIL 30, 2006 (UNAUDITED)
2. SIGNIFICANT ACCOUNTING POLICIES - CONTINUED
becomes insolvent, the Portfolio's use of proceeds of the dollar roll may be
restricted pending a determination by the other party, or its trustee or
receiver, whether to enforce the Portfolio's obligation to repurchase the
securities.
(N) FUND CONCENTRATION - The investments by Salomon Brothers Strategic Total
Return Bond Portfolio in foreign securities may involve risks not present in
domestic investments. Since securities may be denominated in a foreign currency
and may require settlement in foreign currencies and pay interest or dividends
in foreign currencies, changes in the relationship of these foreign currencies
to the U.S. dollar can significantly affect the value of the investments and
earnings of Salomon Brothers Strategic Total Return Bond Portfolio. Foreign
investments may also subject Salomon Brothers Strategic Total Return Bond
Portfolio to foreign government exchange restrictions, expropriation, taxation
or other political, social or economic developments, all of which could affect
the market and/or credit risk of the investments. In addition to the risks
described above, risks may arise from forward foreign currency contracts with
respect to the potential inability of counterparties to meet the terms of their
contracts.
(O) CREDIT AND MARKET RISK - MFS Total Return Portfolio, Pioneer Strategic
Income Portfolio, Salomon Brothers Strategic Total Return Bond Portfolio and
Travelers Managed Income Portfolio may invest in high yield instruments that
are subject to certain credit and market risks. The yields of high yield
instruments reflect, among other things, perceived credit risk. The Portfolios'
investments in securities rated below investment grade typically involve risks
not associated with higher rated securities including, among others, greater
risk related to timely and ultimate payment of interest and principal, greater
market price volatility and less liquid secondary market trading.
(P) LOAN PARTICIPATIONS - Pioneer Strategic Income Portfolio may invest in
loans arranged through private negotiation between one or more financial
institutions. The Portfolio's investment in any such loan may be in the form of
a participation in or an assignment of the loan. In connection with purchasing
participations, the Portfolio generally will have no right to enforce
compliance by the borrower with the terms of the loan agreement relating to the
loan, nor any rights of set-off against the borrower and the Portfolio may not
benefit directly from any collateral supporting the loan in which they have
purchased the participation.
The Portfolio will assume the credit risk of both the borrower and the lender
that is selling the participation. In the event of the insolvency of the lender
selling the participation, the Portfolio may be treated as a general creditor
of the lender and may not benefit from any set-off between the lender and the
borrower.
(Q) OPTIONS - Certain Portfolios may use options to hedge against changes in
values of securities the Portfolio owns or expects to purchase. Writing puts or
buying calls tends to increase the Portfolio's exposure to the underlying
instrument and writing calls or buying puts tends to decrease the Portfolio's
exposure to the underlying instrument, or hedge other Portfolio investments.
For options purchased to hedge the Portfolio's investments, the potential risk
to the Portfolio is that the change in value of options contracts may not
correspond to the change in value of the hedged instruments. In addition,
losses may arise from changes in the value of the underlying instruments if
there is an illiquid secondary market, or if the counter party is unable to
perform. The maximum loss for purchased options is limited to the premium
initially paid for the option. For options written by the Portfolio, the
maximum loss is not limited to the premium initially received for the option.
3. INVESTMENT MANAGEMENT AGREEMENT
Travelers Investment Adviser, Inc. ("TIA") manages the investment operations of
AIM Capital Appreciation Portfolio, MFS Total Return Portfolio, Pioneer
Strategic Income Portfolio, Salomon Brothers Strategic Total Return Bond
Portfolio, Strategic Equity Portfolio and Van Kampen Enterprise Portfolio,
(each a "TIA Portfolios and collectively the "TIA Portfolios") pursuant to
management agreements entered into by the Trust on behalf of each TIA
Portfolio. TIA has entered into subadvisory agreements with AIM Capital
Management, Inc., Massachusetts Financial Services Company, Pioneer Investment
Management, Inc., Fidelity Management & Research Company, Van Kampen Asset
Management and Salomon Brothers Asset Management Inc ("SaBAM") (collectively
the "Advisers") for investment advisory services in connection with the
investment management of the Portfolios.
Travelers Asset Management International Company LLC ("TAMIC" and together with
TIA, the "Managers") serves as investment adviser to the Travelers Managed
Income Portfolio. SaBAM, an indirect wholly-owned subsidiary of Legg Mason,
Inc., performs subadvisory services under a subadvisory agreement between TAMIC
and SaBAM for Travelers Managed Income Portfolio.
TIA acts as administrator to the AIM Capital Appreciation Portfolio, MFS Total
Return Portfolio, Pioneer Strategic Income Portfolio, Salomon Brothers
Strategic Total Return Bond Portfolio, Strategic Equity Portfolio and Van
Kampen Enterprise Portfolio. TAMIC acts as administrator to the Travelers
Managed Income Portfolio.
Each administrator has entered into a sub-administration agreement with State
Street Bank and Trust Company ("State Street"), to serve as sub-administrator
to the Portfolios.
55
THE TRAVELERS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
APRIL 30, 2006 (UNAUDITED)
3. INVESTMENT MANAGEMENT AGREEMENT - CONTINUED
Subject to the supervision and direction of the Trustees of the Trust, TIA or
TAMIC supervises the respective Advisers and have full discretion with respect
to the retention or renewal of the advisory agreements. TIA or TAMIC pays the
respective Advisers a fee based on the applicable Portfolio's average daily net
assets.
Under the terms of the Portfolios' investment advisory agreements, the
Portfolios pay TIA or TAMIC a monthly fee based upon annual rates applied to
each of the Portfolios' average daily net assets as follows:
Management Fees earned by
Managers for the period
Portfolio ended April 30, 2006 % per annum Average Daily Assets
- --------- ------------------------- ----------- --------------------
AIM Capital Appreciation Portfolio $ 975,303 0.80% All
MFS Total Return Portfolio 4,912,638 0.80% First $600 Million
0.775% Over $600 Million up to $900 Million
0.75% Over $900 Million up to $1.5 Billion
0.725% Over $1.5 Billion up to $2.5 Billion
0.675% Over $2.5 Billion
Pioneer Strategic Income Portfolio 760,519 0.75% All
Salomon Brothers Strategic Total Return Bond
Portfolio 49,944 0.80% All
Strategic Equity Portfolio 1,802,265 0.80% All
Travelers Managed Income Portfolio 867,095 0.65% All
Van Kampen Enterprise Portfolio 250,757 0.70% All
For the period ended April 30, 2006, AIM Capital Appreciation Portfolio, MFS
Total Return Portfolio, Salomon Brothers Strategic Total Return Bond Portfolio,
Strategic Equity Portfolio, Travelers Managed Income Portfolio and Van Kampen
Enterprise Portfolio had a voluntary expense limitation in place of 1.25%,
1.25%, 1.50%, 1.25%, 1.25% and 1.50%, respectively. This limitation can be
terminated at any time by TIA or TAMIC, as the case may be.
TIA has entered into a subadvisory agreement with SaBAM. Pursuant to the
subadvisory agreement, SaBAM is responsible for the day-to-day portfolio
operations and investment decisions for Salomon Brothers Strategic Total Return
Bond Portfolio and is compensated for such services by TIA at an annual rate of
0.375% of the average daily net assets of Salomon Brothers Strategic Total
Return Bond Portfolio.
56
THE TRAVELERS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
APRIL 30, 2006 (UNAUDITED)
4. SHARES OF BENEFICIAL INTEREST
The Declaration of Trust authorizes the issuance of an unlimited number of
shares of beneficial interest without par value. Transactions in shares of the
Portfolios were as follows:
SHARES ISSUED NET INCREASE
THROUGH (DECREASE)
BEGINNING SHARES DIVIDEND SHARES IN SHARES ENDING
SHARES SOLD REINVESTMENT REPURCHASED OUTSTANDING SHARES
AIM CAPITAL APPRECIATION PORTFOLIO ---------- --------- ------------- ----------- ------------ ----------
04/30/2006 21,452,931 144,111 148,097 (2,217,512) (1,925,304) 19,527,627
10/31/2005 23,420,686 3,341,204 30,138 (5,339,097) (1,967,755) 21,452,931
- ----------------------------------- ---------- --------- ------------- ----------- ------------ ----------
MFS TOTAL RETURN PORTFOLIO ---------- --------- ------------- ----------- ------------ ----------
04/30/2006 73,558,110 1,024,548 7,496,169 (4,588,159) 3,932,558 77,490,668
10/31/2005 67,488,682 6,108,117 3,751,751 (3,790,440) 6,069,428 73,558,110
- ----------------------------------- ---------- --------- ------------- ----------- ------------ ----------
PIONEER STRATEGIC INCOME PORTFOLIO ---------- --------- ------------- ----------- ------------ ----------
04/30/2006 19,495,007 3,447,891 866,796 (1,420,971) 2,893,716 22,388,723
10/31/2005 10,995,568 8,316,413 814,129 (631,103) 8,499,439 19,495,007
- ----------------------------------- ---------- --------- ------------- ----------- ------------ ----------
SALOMON BROTHERS STRATEGIC TOTAL RETURN BOND PORTFOLIO ---------- --------- ------------- ----------- ------------ ----------
04/30/2006 1,270,316 23,742 73,834 (213,603) (116,027) 1,154,289
10/31/2005 1,482,707 62,779 87,912 (363,082) (212,391) 1,270,316
- ----------------------------------- ---------- --------- ------------- ----------- ------------ ----------
STRATEGIC EQUITY PORTFOLIO ---------- --------- ------------- ----------- ------------ ----------
04/30/2006 25,913,243 36,508 1,241,222 (2,619,370) (1,341,640) 24,571,603
10/31/2005 30,895,419 64,786 410,323 (5,457,285) (4,982,176) 25,913,243
- ----------------------------------- ---------- --------- ------------- ----------- ------------ ----------
TRAVELERS MANAGED INCOME PORTFOLIO ---------- --------- ------------- ----------- ------------ ----------
04/30/2006 24,117,027 580,822 1,417,129 (1,942,799) 55,152 24,172,179
10/31/2005 23,484,047 2,094,601 1,156,904 (2,618,525) 632,980 24,117,027
- ----------------------------------- ---------- --------- ------------- ----------- ------------ ----------
VAN KAMPEN ENTERPRISE PORTFOLIO ---------- --------- ------------- ----------- ------------ ----------
04/30/2006 5,822,441 279,114 140,963 (1,186,232) (766,155) 5,056,286
10/31/2005 7,194,756 303,957 37,176 (1,713,448) (1,372,315) 5,822,441
- ----------------------------------- ---------- --------- ------------- ----------- ------------ ----------
5. INVESTMENT TRANSACTIONS
Aggregate cost of purchases and proceeds of sales of investment securities,
excluding short-term securities, for the period ended April 30, 2006 were as
follows:
Purchase Sales
- - ------------------------------ ------------------------------
Portfolio U.S. Government Non-Government U.S. Government Non-Government
- --------- --------------- -------------- --------------- --------------
AIM Capital Appreciation Portfolio $ -- $139,775,217 $ -- $160,984,735
MFS Total Return Portfolio 84,008,516 185,646,021 60,060,787 225,607,046
Pioneer Strategic Income Portfolio 30,520,839 30,989,372 8,603,683 21,895,321
Salomon Brothers Strategic Total Return Bond Portfolio 6,687,855 973,831 2,110,855 1,571,172
Strategic Equity Portfolio -- 339,236,742 -- 372,713,304
Travelers Managed Income Portfolio 38,175,844 645,350 34,333,711 5,078,090
Van Kampen Enterprise Portfolio -- 24,306,177 -- 35,662,325
57
THE TRAVELERS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
APRIL 30, 2006 (UNAUDITED)
5. INVESTMENT TRANSACTIONS - CONTINUED
At April 30, 2006 the cost of securities for federal income tax purposes and
the unrealized appreciation (depreciation) of investments for federal income
tax purposes for each Portfolio was as follows:
Gross Gross Net Unrealized
Federal Income Unrealized Unrealized Appreciation/
Portfolio Tax Cost Appreciation Depreciation (Depreciation)
- --------- -------------- ------------ ------------ --------------
AIM Capital Appreciation Portfolio $ 205,069,315 $ 39,960,811 $ (3,587,791) $36,373,020
MFS Total Return Portfolio 1,196,214,197 128,822,326 (39,946,234) 88,876,092
Pioneer Strategic Income Portfolio 201,884,193 6,266,985 (6,605,146) (338,161)
Salomon Brothers Strategic Total Return Bond Portfolio 12,687,686 231,835 (347,386) (115,551)
Strategic Equity Portfolio 416,568,690 29,105,910 (7,341,069) 21,764,841
Travelers Managed Income Portfolio 264,696,931 549,974 (8,597,759) (8,047,785)
Van Kampen Enterprise Portfolio 53,478,601 11,630,122 (797,333) 10,832,789
6. FORWARD FOREIGN CURRENCY CONTRACTS
Open forward foreign currency contracts at April 30, 2006, were as follows:
PIONEER STRATEGIC INCOME PORTFOLIO
Forward Foreign Currency Contracts to Buy:
Value at In Exchange Net Unrealized
Settlement Date Contacts to Deliver April 30, 2006 for $ Appreciation
--------------- ------------------- -------------- ----------- --------------
06/26/2006 3,000,000 AUD $2,275,185 2,123,671 $151,514
--------
$151,514
========
Forward Foreign Currency Contracts to Sell:
Value at In Exchange Net Unrealized
Settlement Date Contacts to Deliver April 30, 2006 for $ (Depreciation)
--------------- ------------------- -------------- ----------- --------------
06/26/2006 3,350,000 AUD $2,677,134 2,518,655 $(158,479)
06/26/2006 1,900,000 AUD $1,440,950 1,365,796 $ (75,154)
---------
$(233,633)
=========
AUD - Australian Dollar
$ - United States Dollar
58
THE TRAVELERS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
APRIL 30, 2006 (UNAUDITED)
7. COMMISSION RECAPTURE PROGRAM
In addition to trade execution, many of the brokers with whom Fidelity
Management & Research Company ("FMR") places trades pay for certain expenses of
Strategic Equity Portfolio or provide other services. FMR issues a cash rebate
to the Portfolio. During the period ended April 30, 2006, Strategic Equity
Portfolio received cash rebates from these brokers in lieu of additional
services or expense reductions. The amounts of these rebates are shown
separately as expense reduction on the Statement of Operations
8. 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.
9. 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
Portfolios (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.
10. SUBSEQUENT EVENT
A. MFS TOTAL RETURN PORTFOLIO - On November 10, 2005, the Board of Trustees
approved the merger of the MFS Total Return Portfolio with and into the MFS
Total Return Portfolio, a series of Metropolitan Series Fund, Inc. ("MSF"),
subject to approval by shareholders of the MFS Total Return Portfolio at a
Special Meeting called for March 14, 2006. The merger was approved and the
merger occurred as of the close of business on April 28, 2006.
B. SALOMON BROTHERS STRATEGIC TOTAL RETURN BOND PORTFOLIO - On November 10,
2005, the Board of Trustees approved the merger of the Salomon Brothers
Strategic Total Return Bond Portfolio with and into the Western Asset
Management Strategic Bond Opportunities Portfolio, a series of MSF, subject to
approval by shareholders of the Salomon Brothers Strategic Total Return Bond
Portfolio at a Special Meeting called for March 14, 2006. The merger was
approved and the merger occurred as of the close of business on April 28, 2006.
C. TRAVELERS MANAGED INCOME PORTFOLIO - On November 10, 2005, the Board of
Trustees approved the merger of the Travelers Managed Income Portfolio with and
into the BlackRock Bond Income Portfolio, a series of MSF, subject to approval
by shareholders of the Travelers Managed Income Portfolio at a Special Meeting
called for March 14, 2006. The merger was approved and the merger occurred as
of the close of business on April 28, 2006.
D. VAN KAMPEN ENTERPRISE PORTFOLIO - On November 10, 2005, the Board of
Trustees approved the merger of the Van Kampen Enterprise Portfolio with and
into the Capital Guardian U.S. Equity Portfolio, a series of MSF, subject to
approval by shareholders of the Van Kampen Enterprise Portfolio at a Special
Meeting called for March 14, 2006. The merger was approved and the merger
occurred as of the close of business on April 28, 2006.
E. AIM CAPITAL APPRECIATION PORTFOLIO - On January 25, 2006, the Board of
Trustees approved the merger of the AIM Capital Appreciation Portfolio with and
into the Met/AIM Capital Appreciation Portfolio, a series of Met Investors
Series Trust ("MIST"), subject to approval by shareholders of the AIM Capital
Appreciation Portfolio at a Special Meeting called for April 12, 2006. The
merger was approved and the merger occurred as of the close of business on
April 28, 2006.
59
THE TRAVELERS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
APRIL 30, 2006 (UNAUDITED)
F. PIONEER STRATEGIC INCOME PORTFOLIO - On January 25, 2006, the Board of
Trustees approved the merger of the Pioneer Strategic Income Portfolio with and
into the Pioneer Strategic Income Portfolio, a series of MIST, subject to
approval by shareholders of the Pioneer Strategic Income Portfolio at a Special
Meeting called for April 12, 2006. The merger was approved and the merger
occurred as of the close of business on April 28, 2006.
G. STRATEGIC EQUITY PORTFOLIO - On January 25, 2006, the Board of Trustees
approved the merger of the Strategic Equity Portfolio with and into the FI
Large Cap Portfolio, a series of MSF, subject to approval by shareholders of
the Strategic Equity Portfolio at a Special Meeting called for April 12, 2006.
The merger was approved and the merger occurred as of the close of business on
April 28, 2006.
FACTORS CONSIDERED BY THE BOARD OF TRUSTEES IN APPROVING THE SUBADVISORY
AGREEMENTS
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 a result, SaBAM, which served as
subadviser to the Trust's Salomon Brothers Strategic Total Return Bond
Portfolio and Travelers Managed Income Portfolio (collectively, the "Salomon
Brothers Portfolios"), previously an indirect wholly-owned subsidiary of
Citigroup, became a wholly-owned subsidiary of Legg Mason. Under the Investment
Company Act of 1940, the consummation of the transaction resulted in a change
of control of SaBAM and the automatic termination of the Salomon Brothers
Portfolios' subadvisory agreements.
In connection with the anticipated change of control of SaBAM, the Board
approved new subadvisory agreements with SaBAM for the Salomon Brothers
Portfolios at a special meeting of the Board held on November 10, 2005. In
considering the new subadvisory agreements for the Salomon Brothers Portfolios,
the Board met with a representative from SaBAM and received information
regarding the proposed transaction, Legg Mason and its asset management
affiliates, and Legg Mason's plans for SaBAM 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 (as outlined in the Trust's October 31, 2005 Annual Report), where the
Board approved the previous subadvisory agreements with SaBAM, with respect to
the Salomon Brothers Portfolios. In addition to these factors, the Board also
considered:
. that the new subadvisory agreements are substantially similar to the
Salomon Brothers Portfolios' previous subadvisory agreements; and
. 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 legal counsel, the Trustees, including the Independent Trustees,
unanimously voted to approve the new subadvisory agreements with SaBAM for the
Salomon Brothers Portfolios.
SHAREHOLDER VOTES
At Special Meetings of Shareholders of the Portfolios held on March 14, 2006
and April 12, 2006, as the case may be, the respective shareholders voted for
the following proposals:
1. MFS TOTAL RETURN PORTFOLIO - A Special Meeting of the Shareholders of the
MFS Total Return Portfolio, a series of The Travelers Series Trust (the
"Trust"), was held on March 14, 2006. The purpose of the Special Meeting was to
ask shareholders to consider the approval of an Agreement and Plan of
Reorganization providing for the acquisition of all of the assets of MFS Total
Return Portfolio, a series of the Trust, by MFS Total Return Portfolio, a
series of Metropolitan Series Fund, Inc. ("MSF"), in exchange for shares of MFS
Total Return Portfolio of MSF and the assumption by MFS Total Return Portfolio
of MSF of the liabilities of MFS Total Return Portfolio of the Trust. The
shareholders of the MFS Total Return Portfolio of the Trust approved the
proposal and the results of the votes are as set forth below.
NO. OF SHARES
-------------------------------
For 69,775,555.965
Against 2,010,804.345
Abstain 6,338,479.859
Broker Non-votes --
-------------------------------
Total 78,124,840.169
-------------------------------
60
THE TRAVELERS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
APRIL 30, 2006 (UNAUDITED)
2. SALOMON BROTHERS STRATEGIC TOTAL RETURN BOND PORTFOLIO - A Special Meeting
of the Shareholders of the Salomon Brothers Strategic Total Return Bond
Portfolio, a series of the Trust, was held on March 14, 2006. The purpose of
the Special Meeting was to ask shareholders to consider the approval of an
Agreement and Plan of Reorganization providing for the acquisition of all of
the assets of Salomon Brothers Strategic Total Return Bond Portfolio, a series
of the Trust, by Western Asset Management Strategic Bond Opportunities
Portfolio, a series of MSF, in exchange for shares of Western Asset Management
Strategic Bond Opportunities Portfolio and the assumption by Western Asset
Management Strategic Bond Opportunities Portfolio of the liabilities of Salomon
Brothers Strategic Total Return Bond Portfolio. The shareholders of the Salomon
Brothers Strategic Total Return Bond Portfolio approved the proposal and the
results of the votes are as set forth below.
NO. OF SHARES
------------------------------
For 1,090,765.488
Against 23,405.290
Abstain 109,944.629
Broker Non-votes --
------------------------------
Total 1,224,115.407
------------------------------
3. TRAVELERS MANAGED INCOME PORTFOLIO - A Special Meeting of the Shareholders
of the Travelers Managed Income Portfolio, a series of the Trust, was held on
March 14, 2006. The purpose of the Special Meeting was to ask shareholders to
consider the approval of an Agreement and Plan of Reorganization providing for
the acquisition of all of the assets of Travelers Managed Income Portfolio, a
series of the Trust, by BlackRock Bond Income Portfolio, a series of MSF, in
exchange for shares of BlackRock Bond Income Portfolio and the assumption by
BlackRock Bond Income Portfolio of the liabilities of Travelers Managed Income
Portfolio. The shareholders of the Travelers Managed Income Portfolio approved
the proposal and the results of the votes are as set forth below.
NO. OF SHARES
-------------------------------
For 21,831,493.596
Against 746,937.301
Abstain 2,173,724.200
Broker Non-votes --
-------------------------------
Total 24,752,155.097
-------------------------------
4. VAN KAMPEN ENTERPRISE PORTFOLIO - A Special Meeting of the Shareholders of
the Van Kampen Enterprise Portfolio, a series of the Trust, was held on March
14, 2006. The purpose of the Special Meeting was to ask shareholders to
consider the approval of an Agreement and Plan of Reorganization providing for
the acquisition of all of the assets of Van Kampen Enterprise Portfolio, a
series of the Trust, by Capital Guardian U.S. Equity Portfolio, a series of
MSF, in exchange for shares of Capital Guardian U.S. Equity Portfolio and the
assumption by Capital Guardian U.S. Equity Portfolio of the liabilities of Van
Kampen Enterprise Portfolio. The shareholders of the Van Kampen Enterprise
Portfolio approved the proposal and the results of the votes are as set forth
below.
NO. OF SHARES
------------------------------
For 4,665,518.387
Against 153,988.740
Abstain 342,286.256
Broker Non-votes --
------------------------------
Total 5,161,793.383
------------------------------
61
THE TRAVELERS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
APRIL 30, 2006 (UNAUDITED)
5. AIM CAPITAL APPRECIATION PORTFOLIO - A Special Meeting of the Shareholders
of the AIM Capital Appreciation Portfolio, a series of the Trust, was held on
April 12, 2006. The purpose of the Special Meeting was to ask shareholders to
consider the approval of an Agreement and Plan of Reorganization providing for
the acquisition of all of the assets of AIM Capital Appreciation Portfolio, a
series of the Trust, by Met/AIM Capital Appreciation Portfolio, a series of Met
Investors Series Trust ("MIST"), in exchange for shares of Met/AIM Capital
Appreciation Portfolio and the assumption by Met/AIM Capital Appreciation
Portfolio of the liabilities of AIM Capital Appreciation Portfolio. The
shareholders of the AIM Capital Appreciation Portfolio approved the proposal
and the results of the votes are as set forth below.
NO. OF SHARES
-------------------------------
For 17,656,692.677
Against 353,702.000
Abstain 1,203,875.482
Broker Non-votes --
-------------------------------
Total 19,214,270.159
-------------------------------
6. PIONEER STRATEGIC INCOME PORTFOLIO - A Special Meeting of the Shareholders
of the Pioneer Strategic Income Portfolio, a series of the Trust, was held on
April 12, 2006. The purpose of the Special Meeting was to ask shareholders to
consider the approval of an Agreement and Plan of Reorganization providing for
the acquisition of all of the assets of Pioneer Strategic Income Portfolio, a
series of the Trust, by Pioneer Strategic Income Portfolio, a series of MIST,
in exchange for shares of MIST's Pioneer Strategic Income Portfolio and the
assumption by MIST's Pioneer Strategic Income Portfolio of the liabilities of
Pioneer Strategic Income Portfolio of the Trust. The shareholders of the
Pioneer Strategic Income Portfolio of the Trust approved the proposal and the
results of the votes are as set forth below.
NO. OF SHARES
-------------------------------
For 19,703,643.872
Against 670,118.962
Abstain 1,646,691.148
Broker Non-votes --
-------------------------------
Total 22,020,453.982
-------------------------------
7. STRATEGIC EQUITY PORTFOLIO - A Special Meeting of the Shareholders of the
Strategic Equity Portfolio, a series of the Trust, was held on April 12, 2006.
The purpose of the Special Meeting was to ask shareholders to consider the
approval of an Agreement and Plan of Reorganization providing for the
acquisition of all of the assets of Strategic Equity Portfolio, a series of the
Trust, by FI Large Cap Portfolio, a series of MSF, in exchange for shares of FI
Large Cap Portfolio and the assumption by FI Large Cap Portfolio of the
liabilities of Strategic Equity Portfolio. The shareholders of the Strategic
Equity Portfolio approved the proposal and the results of the votes are as set
forth below.
NO. OF SHARES
-------------------------------
For 20,516,127.960
Against 699,335.443
Abstain 1,388,500.159
Broker Non-votes --
-------------------------------
Total 22,603,963.562
-------------------------------
62
THE TRAVELERS SERIES TRUST
APRIL 30, 2006 (UNAUDITED)
Additional information about the Portfolios' 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 The Travelers Series Trust, One Cityplace,
Hartford, CT 06103 or by phone at 1-800-848-3854.
This report is prepared for the general information of variable annuity and
life contract owners and is not an offer of shares of the Travelers Series
Trust and is not for use with the general public.
THIS REPORT MUST BE PRECEDED OR ACCOMPANIED BY A FREE PROSPECTUS. INVESTORS
SHOULD CONSIDER THE PORTFOLIOS' INVESTMENT OBJECTIVES, RISKS, CHARGES AND
EXPENSES CAREFULLY BEFORE INVESTING. THE PROSPECTUS CONTAINS THIS AND OTHER
INFORMATION ABOUT THE PORTFOLIOS. PLEASE READ THE PROSPECTUS CAREFULLY BEFORE
INVESTING.
The Trust files its complete schedule of portfolio holdings with the Securities
and Exchange Commission for the first and third quarters of each fiscal year on
Form N-Q. The Trust's Form N-Q are available on the Commission's website at
www.sec.gov. The Trust's Forms N-Q may be reviewed and copied at the
Commission's Public Reference Room in Washington, D.C. and information on the
operation of the Public Reference Room may be obtained by calling
1-800-SEC-0330. To obtain information on Form N-Q from the Trust, shareholders
can call 1-800-842-9406.
Information on how the Trust voted proxies relating to portfolio securities
during the most recent 12-month period ended June 30 and a description of the
policies and procedures that the Trust uses to determine how to vote proxies
relating to portfolio securities is available (1) without charge, upon request,
by calling 1-800-842-9406 and (2) on the SEC's website at www.sec.gov.
63
ITEM 2. CODE OF ETHICS.
Item applicable only to annual reports on Form N-CSR.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Item applicable only to annual reports on Form N-CSR.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Item applicable only to annual reports on Form N-CSR.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS.
Schedule of Investments is included as a part of the report to shareholders
filed under Item 1 of this Form N-CSR.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
The registrant does not have procedures by which shareholders may recommend
nominees to the registrant's Board of Trustees.
ITEM 11. CONTROLS AND PROCEDURES.
(a) Within 90 days of the filing date of this Form N-CSR, Elizabeth M. Forget,
the registrant's President and Peter Duffy, the registrant's Chief Financial
Officer and Treasurer, reviewed the registrant's disclosure controls and
procedures (as defined in Rule 30a-3(c) under the Investment Company Act of
1940, as amended (the "1940 Act")) (the "Procedures") and
evaluated their effectiveness. Based on their review, Ms. Forget and Mr. Duffy
determined that the Procedures adequately ensure that information required to
be disclosed by the registrant in its periodic reports filed under the
Securities Exchange Act of 1934 is recorded, processed, summarized and reported
within the time periods required by the Securities and Exchange Commission.
(b) There were no significant changes in the registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that
occurred during the registrant's second fiscal quarter of the period covered by
this report that has materially affected, or is reasonably likely to materially
affect, the registrant's internal control over financial reporting.
ITEM 12. EXHIBITS
(a)(1) Not applicable.
(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: July 7, 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: July 7, 2006
By: /s/ Peter Duffy
-----------------------------------
Peter Duffy
Chief Financial Officer and Treasurer
Date: July 7, 2006