<PAGE> 1
THE TRAVELERS VARIABLE PRODUCTS
FUNDS
SEMI-ANNUAL REPORTS
THE TRAVELERS SERIES TRUST:
ZERO COUPON BOND FUND PORTFOLIO SERIES 1998
ZERO COUPON BOND FUND PORTFOLIO SERIES 2000
ZERO COUPON BOND FUND PORTFOLIO SERIES 2005
JUNE 30, 1996
[TRAVELERS LOGO]
THE TRAVELERS INSURANCE COMPANY
ONE TOWER SQUARE
HARTFORD, CONNECTICUT 06183
<PAGE> 2
[TRAVELERS LOGO]
THE TRAVELERS VARIABLE PRODUCTS FUNDS
INVESTMENT ADVISORY COMMENTARY AS OF JUNE 30, 1996
ECONOMIC REVIEW AND OUTLOOK
The economy finished the first half of the year on a strong note. The broadest
measure of the rate of growth for the U.S. economy, the Gross Domestic Product
("GDP"), is expected to be a robust 4% to 4.5% for the second quarter. This
follows a stronger than expected first quarter GDP of 2.2%. Numerous economic
reports released in the second quarter pointed to an accelerating trend. Most
notably, consumer spending increased 5.2% during the first half of the year,
despite high levels of personal debt. This appears to have been the key factor
in the economy's good first half performance. Sales in both the housing and
auto sectors were surprisingly strong. Employment growth continued, and
unemployment declined to 5.3%. Business investment also remained strong, with
first quarter capital spending increasing by approximately 14%. Furthermore,
companies maintained low inventories, leaving room for future growth as
inventories are rebuilt to normal levels. Finally, renewed growth was observed
in major overseas economies, creating an improved outlook for the export sector
of the U.S. economy.
This picture of solid economic momentum increases the probability that the
Federal Reserve Board ("Fed") will shift to a tighter monetary policy and raise
short-term interest rates before the end of the year. In order to maintain
wage and price stability, Fed policy is focused on constraining economic
growth. For investors, the key issue is whether fears of future Fed tightening
will drive long-term yields toward levels reached during 1994. It appears to
be a foregone conclusion among private analysts that current levels of
unemployment will cause wage pressures to increase. The question remains
whether corporations will be able to pass these increases into consumer prices
and if so, what impact it will have on inflationary expectations. On the plus
side, other sources of inflation have been under control. Commodity prices
have been weak lately and the dollar has been strong. Short-term interest
rates are more than 2% over the Consumer Price Index ("CPI"), keeping downward
pressure on inventories. Inflation expectations in the consumer sentiment
surveys are still below 3%, compared to 4% in 1994.
With the steep rise in long bond yields during the first half of the year, we
expect housing and auto sales to slow in the second half. If demand in these
sectors does not slow in the second half, we doubt that the Fed will have any
choice but to raise short-term interest rates aggressively. Interest rates for
both long and short maturities are unlikely to have a sustained decline until
the Fed is judged to have placed an effective damper on the cyclical build-up
in wage and inflation pressures.
FIXED INCOME COMMENTARY
Surprisingly strong consumer spending and employment growth in the first half
of the year banished the slow growth expectations that dominated the bond
market at year end. Interest rates rose sharply during the first half of the
year, resulting in generally poor performance for bonds. The Lehman
Government/Corporate Bond Index, a broad based bond index, declined 1.9% for
the first six months. The bond market finally stabilized late in the second
quarter, with most bond indices posting a positive price return in June.
Corporate bonds returned a negative 2.1% and lagged the Treasury sector for
the first six months. The best performing issuer sectors were tobacco,
airlines, Canadians and sovereigns. A favorable decision in the Castano case
enabled the tobacco issues to rally as yields declined relative to Treasuries.
Airlines continue to post strong earnings and are buying back their debt with
excess cashflow. Against the backdrop of favorable international developments,
including an upgrade in Italy's credit rating, sovereign bonds also increased
in price. Issuer sectors that lagged were cable, gaming, autos and banks.
Credit downgrades in the media sector and new issuance in the auto sector put
pressure on yield spreads in those sectors. As the market began to anticipate
the need for the Fed to increase short-term interest rates, finance and bank
issues declined in price. Despite recent underperformance, yields on
investment grade corporate bonds remain below the normal range relative to
Treasuries.
-1-
<PAGE> 3
In the mortgage backed sector, fears of consumer refinancing vanished as
interest rates rose. With yield volatility reduced, mortgage backed securities
outperformed similar Treasury securities. Moreover, narrow corporate yield
spreads relative to Treasuries prompted a shift of investor interest to this
sector. During the first half, the Lehman Mortgage Index returned 0.4%. Over
the same period, the high yield market also performed relatively well. The
First Boston High-Yield Index reported a return of 3.8%. The last two years
have seen heavy issuance of high-yield debt, in the midst of a hot initial
public offering market for equities, and active competition by banks for loan
syndication. It is uncertain how well high yield securities will weather the
next downturn in the credit cycle if these other sources of financing are shut
down. If the stock market were to unravel, more speculative financings may
find themselves in trouble. In the second quarter, municipal bonds performed
relatively well as tax exempt yields continued to decline relative to
Treasuries. Municipal bonds with maturities shorter than 10 years, still
relatively cheap at year end, rallied in price and now trade at more normal
yield spreads.
-2-
<PAGE> 4
TABLE OF CONTENTS
<TABLE>
<CAPTION>
PAGE
- -------------------------------------------------------------------------------------------------------------------------
<S> <C>
THE TRAVELERS SERIES TRUST:
ZERO COUPON BOND FUND PORTFOLIO SERIES 1998 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
ZERO COUPON BOND FUND PORTFOLIO SERIES 2000 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
ZERO COUPON BOND FUND PORTFOLIO SERIES 2005 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
</TABLE>
-3-
<PAGE> 5
THE TRAVELERS SERIES TRUST
ZERO COUPON BOND FUND PORTFOLIOS
Rates backed up again in the second quarter. Treasuries with 5 year and less
maturities had positive total returns (income more than offsetting price
decline) while bonds with longer than 5 year maturities generally had negative
total returns. The same held true for the three Zero Coupon Bond Fund
Portfolios. For the six months ended June 30, 1996, the 1998 portfolio has
returned 0.19%, the 2000 portfolio is down 1.67% and the 2005 portfolio is down
5.99%.
Each portfolio is managed (immunized) to have a duration equal to a zero coupon
bond due on its maturity date. To boost yield we have added zero coupon
corporates. Because these are hard to find, we buy a range of maturities and
use treasury strips to bring the total duration in line. We are looking at
adding positions in coupon paying bonds to increase spread exposure. The
prospectus limits coupon bearing holdings to 25%. Strip positions are used to
adjust durations.
PORTFOLIO MANAGER: DAVID A. TYSON, PH.D., CFA
[TAMIC LOGO]
-4-
<PAGE> 6
THE TRAVELERS SERIES TRUST
ZERO COUPON BOND FUND PORTFOLIO SERIES 1998
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
JUNE 30, 1996
<TABLE>
<S> <C>
ASSETS:
Investment securities, at market value (amortized cost $1,117,406) . . . . . . . . . $ 1,102,641
Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41,473
Receivable from The Travelers . . . . . . . . . . . . . . . . . . . . . . . . . . . 22,167
--------------
Total Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,166,281
--------------
LIABILITIES:
Payables:
Investment securities purchased . . . . . . . . . . . . . . . . . . . . . . . . . 36,328
Investment management and advisory fees . . . . . . . . . . . . . . . . . . . . . 18
Accrued expenses:
Reimbursable expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22,167
Other expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 377
--------------
Total Liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 58,890
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,107,391
==============
NET ASSETS REPRESENTED BY:
Paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,093,003
Undistributed net investment income . . . . . . . . . . . . . . . . . . . . . . . . . 29,083
Accumulated net realized gains (losses) on investment security transactions . . . . . 70
Net unrealized depreciation on investment securities . . . . . . . . . . . . . . . . (14,765)
--------------
Total net assets (applicable to 109,154 shares outstanding at $10.15 per share) . $ 1,107,391
==============
</TABLE>
See Notes to Financial Statements
-5-
<PAGE> 7
THE TRAVELERS SERIES TRUST
ZERO COUPON BOND FUND PORTFOLIO SERIES 1998
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED JUNE 30, 1996
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 29,879
EXPENSES:
Investment management and advisory fees . . . . . . . . . . . . . . $ 531
Accounting and audit fees . . . . . . . . . . . . . . . . . . . . . 13,685
Custodian fees . . . . . . . . . . . . . . . . . . . . . . . . . . 871
Printing and postage . . . . . . . . . . . . . . . . . . . . . . . 5,869
Trustees' fees . . . . . . . . . . . . . . . . . . . . . . . . . . 1,935
Registration fees . . . . . . . . . . . . . . . . . . . . . . . . . 72
-------------
Total expenses before reimbursement from The Travelers . . . . . 22,963
Less: Reimbursement from The Travelers . . . . . . . . . . . . . . (22,167)
-------------
Net expenses . . . . . . . . . . . . . . . . . . . . . . . . . . 796
--------------
Net investment income . . . . . . . . . . . . . . . . . . . 29,083
--------------
REALIZED GAIN AND CHANGE IN UNREALIZED GAIN (LOSS) ON
INVESTMENT SECURITIES:
Realized gain from investment security transactions:
Proceeds from investment securities sold . . . . . . . . . . . . 142,372
Amortized cost of investment securities sold . . . . . . . . . . 141,944
-------------
Net realized gain . . . . . . . . . . . . . . . . . . . . . 428
Change in unrealized gain (loss) on investment securities:
Unrealized gain at December 31, 1995 . . . . . . . . . . . . . . 12,989
Unrealized loss at June 30, 1996 . . . . . . . . . . . . . . . . (14,765)
-------------
Net change in unrealized gain (loss) for the period . . . . (27,754)
--------------
Net realized gain and change in unrealized gain (loss) . (27,326)
--------------
Net increase in net assets resulting from operations . . . . . . . $ 1,757
==============
</TABLE>
See Notes to Financial Statements
-6-
<PAGE> 8
THE TRAVELERS SERIES TRUST
ZERO COUPON BOND FUND PORTFOLIO SERIES 1998
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS OCTOBER 11, *
ENDED TO
JUNE 30, DECEMBER 31,
1996 1995
---- ----
(UNAUDITED)
<S> <C> <C>
OPERATIONS:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . $ 29,083 $ 12,428
Net realized gain (loss) from investment security transactions . . . 428 (358)
Net change in unrealized gain (loss) on investment securities . . . . (27,754) 12,989
------------- --------------
Net increase in net assets resulting from operations . . . . . . . 1,757 25,059
------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM NET INVESTMENT INCOME . . . . . . . . (12,428) -
------------- --------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold . . . . . . . . . . . . . . . . . . . . . . 85,466 1,000,000
Dividend reinvestment . . . . . . . . . . . . . . . . . . . . . . . . 12,428 -
Payments for shares redeemed . . . . . . . . . . . . . . . . . . . . (3,630) (1,261)
------------- --------------
Net increase in net assets resulting from capital share transactions 94,264 998,739
------------- --------------
Net increase in net assets . . . . . . . . . . . . . . . . . . 83,593 1,023,798
NET ASSETS:
Beginning of period . . . . . . . . . . . . . . . . . . . . . . . . . 1,023,798 -
------------- --------------
End of period (including undistributed net investment income as follows:
June, 1996 $29,083 and December, 1995 $12,428) . . . . . . . . . . $ 1,107,391 $ 1,023,798
============= ==============
</TABLE>
* Date operations commenced.
See Notes to Financial Statements
-7-
<PAGE> 9
THE TRAVELERS SERIES TRUST
ZERO COUPON BOND FUND PORTFOLIO SERIES 1998
STATEMENT OF INVESTMENTS (UNAUDITED)
JUNE 30, 1996
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
------------- -----------
<S> <C> <C>
BONDS (31.2%)
AMUSEMENTS (4.5%)
Six Flags Entertainment, Inc.,
0.00% Notes, 1999 $ 63,000 $ 49,140
------------
BANKING (8.9%)
Chemical New York Corp.,
0.00% Bonds, 1999 60,000 50,063
International Bank of Reconstruction
& Development,
0.00% Debentures, 1999 60,000 48,300
------------
98,363
------------
FINANCE (8.6%)
Avco Financial Services, Inc.,
0.00% Notes, 1998 60,000 50,997
Sears Overseas Financial NV,
0.00% Debentures, 1998 50,000 43,882
------------
94,879
------------
FOOD (4.7%)
PepsiCo, Inc.,
0.00% Notes, 1999 62,000 51,460
------------
INSURANCE (4.5%)
New England Life,
0.00% Bonds, 1999 60,000 50,250
------------
TOTAL BONDS
(AMORTIZED COST $351,137) 344,092
------------
U.S. GOVERNMENT
SECURITIES (68.8%)
United States of America Treasury,
0.00% Notes, 1998 818,000 707,535
United States of America Treasury,
0.00% Notes, 1999 60,000 51,014
------------
TOTAL U.S. GOVERNMENT
SECURITIES
(AMORTIZED COST $766,269) 758,549
------------
TOTAL INVESTMENTS (100%)
(AMORTIZED COST $1,117,406) (A) $ 1,102,641
============
</TABLE>
NOTES
(A) At June 30, 1996, net unrealized depreciation for all securities was
$14,765. This consisted of aggregate gross unrealized depreciation for all
securities in which there was an excess of amortized cost over market
value of $14,765.
See Notes to Financial Statements
-8-
<PAGE> 10
THE TRAVELERS SERIES TRUST
ZERO COUPON BOND FUND PORTFOLIO SERIES 2000
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
JUNE 30, 1996
<TABLE>
<S> <C>
ASSETS:
Investment securities, at market value (amortized cost $1,360,810) . . . . . . . . . $ 1,332,007
Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 53,907
Receivable from The Travelers . . . . . . . . . . . . . . . . . . . . . . . . . . . 22,137
--------------
Total Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,408,051
--------------
LIABILITIES:
Payables:
Investment securities purchased . . . . . . . . . . . . . . . . . . . . . . . . . 48,985
Investment management and advisory fees . . . . . . . . . . . . . . . . . . . . . 22
Accrued expenses:
Reimbursable expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22,137
Other expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 408
--------------
Total Liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 71,552
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,336,499
==============
NET ASSETS REPRESENTED BY:
Paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,334,197
Undistributed net investment income . . . . . . . . . . . . . . . . . . . . . . . . . 32,470
Accumulated net realized gains (losses) on investment security transactions . . . . . (1,365)
Net unrealized depreciation on investment securities . . . . . . . . . . . . . . . . (28,803)
--------------
Total net assets (applicable to 133,333 shares outstanding at $10.02 per share) . $ 1,336,499
==============
</TABLE>
See Notes to Financial Statements
-9-
<PAGE> 11
THE TRAVELERS SERIES TRUST
ZERO COUPON BOND FUND PORTFOLIO SERIES 2000
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED JUNE 30, 1996
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 33,357
EXPENSES:
Investment management and advisory fees . . . . . . . . . . . . . . $ 591
Accounting and audit fees . . . . . . . . . . . . . . . . . . . . . 13,686
Custodian fees . . . . . . . . . . . . . . . . . . . . . . . . . . 871
Printing and postage . . . . . . . . . . . . . . . . . . . . . . . 5,869
Trustees' fees . . . . . . . . . . . . . . . . . . . . . . . . . . 1,935
Registration fees . . . . . . . . . . . . . . . . . . . . . . . . . 72
-------------
Total expenses before reimbursement from The Travelers . . . . . 23,024
Less: Reimbursement from The Travelers . . . . . . . . . . . . . . (22,137)
-------------
Net expenses . . . . . . . . . . . . . . . . . . . . . . . . . . 887
--------------
Net investment income . . . . . . . . . . . . . . . . . . . 32,470
--------------
REALIZED LOSS AND CHANGE IN UNREALIZED GAIN (LOSS) ON
INVESTMENT SECURITIES:
Realized loss from investment security transactions:
Proceeds from investment securities sold . . . . . . . . . . . . 197,660
Amortized cost of investment securities sold . . . . . . . . . . 197,815
-------------
Net realized loss . . . . . . . . . . . . . . . . . . . . . (155)
Change in unrealized gain (loss) on investment securities:
Unrealized gain at December 31, 1995 . . . . . . . . . . . . . . 19,342
Unrealized loss at June 30, 1996 . . . . . . . . . . . . . . . . (28,803)
-------------
Net change in unrealized gain (loss) for the period . . . . (48,145)
--------------
Net realized loss and change in unrealized gain (loss) . (48,300)
--------------
Net decrease in net assets resulting from operations . . . . . . . $ (15,830)
==============
</TABLE>
See Notes to Financial Statements
-10-
<PAGE> 12
THE TRAVELERS SERIES TRUST
ZERO COUPON BOND FUND PORTFOLIO SERIES 2000
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS OCTOBER 11, *
ENDED TO
JUNE 30, DECEMBER 31,
1996 1995
---- ----
(UNAUDITED)
<S> <C> <C>
OPERATIONS:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . $ 32,470 $ 12,592
Net realized loss from investment security transactions . . . . . . . (155) (1,210)
Net change in unrealized gain (loss) on investment securities . . . . (48,145) 19,342
------------- --------------
Net increase (decrease) in net assets resulting from operations . (15,830) 30,724
------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM NET INVESTMENT INCOME . . . . . . . . (12,592) -
------------- --------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold . . . . . . . . . . . . . . . . . . . . . . 328,344 1,000,000
Dividend reinvestment . . . . . . . . . . . . . . . . . . . . . . . . 12,592 -
Payments for shares redeemed . . . . . . . . . . . . . . . . . . . . (5,482) (1,257)
------------- --------------
Net increase in net assets resulting from capital share
transactions . . . . . . . . . . . . . . . . . . . . . . . . . . 335,454 998,743
------------- --------------
Net increase in net assets . . . . . . . . . . . . . . . . . . 307,032 1,029,467
NET ASSETS:
Beginning of period . . . . . . . . . . . . . . . . . . . . . . . . . 1,029,467 -
------------- --------------
End of period (including undistributed net investment income as follows:
June, 1996 $32,470 and December, 1995 $12,592) . . . . . . . . . . $ 1,336,499 $ 1,029,467
============= ==============
</TABLE>
* Date operations commenced.
See Notes to Financial Statements
-11-
<PAGE> 13
THE TRAVELERS SERIES TRUST
ZERO COUPON BOND FUND PORTFOLIO SERIES 2000
STATEMENT OF INVESTMENTS (UNAUDITED)
JUNE 30, 1996
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
------------ -----------
<S> <C> <C>
BONDS (29.8%)
AMUSEMENTS (3.7%)
Six Flags Entertainment, Inc.,
0.00% Notes, 1999 $ 63,000 $ 49,140
------------
BANKING (7.4%)
Chemical New York Corp.,
0.00% Bonds, 1999 60,000 50,062
International Bank of Reconstruction &
Development,
0.00% Debentures, 1999 60,000 48,300
------------
98,362
------------
FINANCE (3.6%)
American Express Co.,
0.00% Bonds, 2000 65,000 48,344
------------
FOOD (3.9%)
PepsiCo, Inc.,
0.00% Notes, 1999 62,000 51,460
------------
FOREIGN GOVERNMENT (3.6%)
Kingdom of Sweden,
0.00% Notes, 2000 64,000 48,640
------------
INSURANCE (3.8%)
New England Life,
0.00% Bonds, 1999 60,000 50,250
------------
SERVICES (3.8%)
Hospital Corp. of America,
0.00% Notes, 2000 65,000 50,184
------------
TOTAL BONDS
(AMORTIZED COST $405,574) 396,380
------------
U.S. GOVERNMENT
SECURITIES (70.2%)
United States of America Treasury,
0.00% Notes, 2000 806,000 610,909
United States of America Treasury,
0.00% Notes, 2001 370,000 275,763
United States of America Treasury,
0.00% Bonds, 2002 74,000 48,955
------------
TOTAL U.S. GOVERNMENT
SECURITIES
(AMORTIZED COST $955,236) 935,627
------------
TOTAL INVESTMENTS (100%)
(AMORTIZED COST $1,360,810) (A) $ 1,332,007
============
</TABLE>
NOTES
(A) At June 30, 1996, net unrealized depreciation for all securities was
$28,803. This consisted of aggregate gross unrealized depreciation for all
securities in which there was an excess of amortized cost over market
value of $28,803.
See Notes to Financial Statements
-12-
<PAGE> 14
THE TRAVELERS SERIES TRUST
ZERO COUPON BOND FUND PORTFOLIO SERIES 2005
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
JUNE 30, 1996
<TABLE>
<S> <C>
ASSETS:
Investment securities, at market value (amortized cost $1,347,149) . . . . . . . . . $ 1,288,658
Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21,406
Receivables:
Investment securities sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . 100,183
Receivable from The Travelers . . . . . . . . . . . . . . . . . . . . . . . . . . 22,141
--------------
Total Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,432,388
--------------
LIABILITIES:
Payables:
Investment securities purchased . . . . . . . . . . . . . . . . . . . . . . . . . 115,870
Investment management and advisory fees . . . . . . . . . . . . . . . . . . . . . 21
Accrued expenses:
Reimbursable expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22,141
Other expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 404
--------------
Total Liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 138,436
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,293,952
==============
NET ASSETS REPRESENTED BY:
Paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,326,887
Undistributed net investment income . . . . . . . . . . . . . . . . . . . . . . . . . 34,191
Accumulated net realized gains (losses) on investment security transactions . . . . . (8,635)
Net unrealized depreciation on investment securities . . . . . . . . . . . . . . . . (58,491)
--------------
Total net assets (applicable to 133,027 shares outstanding at $9.73 per share) . . $ 1,293,952
==============
</TABLE>
See Notes to Financial Statements
-13-
<PAGE> 15
THE TRAVELERS SERIES TRUST
ZERO COUPON BOND FUND PORTFOLIO SERIES 2005
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED JUNE 30, 1996
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 35,068
EXPENSES:
Investment management and advisory fees . . . . . . . . . . . . . . $ 585
Accounting and audit fees . . . . . . . . . . . . . . . . . . . . . 13,686
Custodian fees . . . . . . . . . . . . . . . . . . . . . . . . . . 871
Printing and postage . . . . . . . . . . . . . . . . . . . . . . . 5,869
Trustees' fees . . . . . . . . . . . . . . . . . . . . . . . . . . 1,935
Registration fees . . . . . . . . . . . . . . . . . . . . . . . . . 72
-------------
Total expenses before reimbursement from The Travelers . . . . . 23,018
Less: Reimbursement from The Travelers . . . . . . . . . . . . . . (22,141)
-------------
Net expenses . . . . . . . . . . . . . . . . . . . . . . . . . . 877
--------------
Net investment income . . . . . . . . . . . . . . . . . . . 34,191
--------------
REALIZED LOSS AND CHANGE IN UNREALIZED GAIN (LOSS) ON
INVESTMENT SECURITIES:
Realized loss from investment security transactions:
Proceeds from investment securities sold . . . . . . . . . . . . 100,183
Amortized cost of investment securities sold . . . . . . . . . . 106,950
-------------
Net realized loss . . . . . . . . . . . . . . . . . . . . . (6,767)
Change in unrealized gain (loss) on investment securities:
Unrealized gain at December 31, 1995 . . . . . . . . . . . . . . 36,813
Unrealized loss at June 30, 1996 . . . . . . . . . . . . . . . . (58,491)
-------------
Net change in unrealized gain (loss) for the period (95,304)
--------------
Net realized loss and change in unrealized gain (loss) . (102,071)
--------------
Net decrease in net assets resulting from operations . . . . . . . $ (67,880)
==============
</TABLE>
See Notes to Financial Statements
-14-
<PAGE> 16
THE TRAVELERS SERIES TRUST
ZERO COUPON BOND FUND PORTFOLIO SERIES 2005
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS OCTOBER 11, *
ENDED TO
JUNE 30, DECEMBER 31,
1996 1995
---- ----
(UNAUDITED)
<S> <C> <C>
OPERATIONS:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . $ 34,191 $ 13,259
Net realized loss from investment security transactions . . . . . . . (6,767) (1,868)
Net change in unrealized gain (loss) on investment securities . . . . (95,304) 36,813
------------- --------------
Net increase (decrease) in net assets resulting from operations . (67,880) 48,204
------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM NET INVESTMENT INCOME . . . . . . . . (13,259) -
------------- --------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold . . . . . . . . . . . . . . . . . . . . . . 328,984 1,002,907
Dividend reinvestment . . . . . . . . . . . . . . . . . . . . . . . . 13,259 -
Payments for shares redeemed . . . . . . . . . . . . . . . . . . . . (17,073) (1,190)
------------- --------------
Net increase in net assets resulting from capital share transactions 325,170 1,001,717
------------- --------------
Net increase in net assets . . . . . . . . . . . . . . . . . . 244,031 1,049,921
NET ASSETS:
Beginning of period . . . . . . . . . . . . . . . . . . . . . . . . . 1,049,921 -
------------- --------------
End of period (including undistributed net investment income as follows:
June, 1996 $34,191 and December, 1995 $13,259) . . . . . . . . . . $ 1,293,952 $ 1,049,921
============= ==============
</TABLE>
* Date operations commenced.
See Notes to Financial Statements
-15-
<PAGE> 17
THE TRAVELERS SERIES TRUST
ZERO COUPON BOND FUND PORTFOLIO SERIES 2005
STATEMENT OF INVESTMENTS (UNAUDITED)
JUNE 30, 1996
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
----------- ------------
<S> <C> <C>
BONDS (17.9%)
BANKING (3.9%)
Chemical New York Corp.,
0.00% Bonds, 2002 $ 75,000 $ 50,063
------------
FINANCE (7.1%)
Exxon Capital,
0.00% Notes, 2004 80,000 44,950
Grand Met Investment Corp.,
0.00% Notes, 2004 80,000 46,394
------------
91,344
------------
FOOD (3.4%)
General Mills, Inc.,
0.00% Bonds, 2004 80,000 43,700
------------
INSURANCE (3.5%)
American International Group,
0.00% Bonds, 2004 80,000 45,300
------------
TOTAL BONDS
(AMORTIZED COST $242,348) 230,407
------------
U.S. GOVERNMENT
SECURITIES (82.1%)
United States of America Treasury,
0.00% Bonds, 2005 1,345,000 718,036
United States of America Treasury,
0.00% Bonds, 2006 440,000 230,332
United States of America Treasury,
0.00% Notes, 2009 276,000 109,883
------------
TOTAL U.S. GOVERNMENT
SECURITIES
(AMORTIZED COST $1,104,801) 1,058,251
------------
TOTAL INVESTMENTS (100%)
(AMORTIZED COST $1,347,149)(A) $ 1,288,658
============
</TABLE>
NOTES
(A) At June 30, 1996, net unrealized depreciation for all securities was
$58,491. This consisted of aggregate gross unrealized appreciation for all
securities in which there was an excess of market value over amortized
cost of $213 and aggregate gross unrealized depreciation for all
securities in which there was an excess of amortized cost over market
value of $58,704.
See Notes to Financial Statements
-16-
<PAGE> 18
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1. SIGNIFICANT ACCOUNTING POLICIES
The Travelers Series Trust (the "Series Trust") is a Massachusetts business
trust registered under the Investment Company Act of 1940, as amended, as a
diversified, open-end management investment company. The Declaration of
Trust authorizes the shares of the Series Trust to be divided into two or
more series. As of June 30, 1996, the Series Trust consisted of six series:
Zero Coupon Bond Fund Portfolio Series 1998, Zero Coupon Bond Fund Portfolio
Series 2000 and Zero Coupon Bond Fund Portfolio Series 2005 (the
"Portfolios"), U.S. Government Securities Portfolio, Social Awareness Stock
Portfolio, and Utilities Portfolio. Shares in each Portfolio are currently
offered, without a sales charge, to separate accounts of The Travelers
Insurance Company ("The Travelers") and The Travelers Life and Annuity
Company, indirect wholly owned subsidiaries of Travelers Group Inc., in
connection with the issuance of certain variable life insurance contracts.
The following is a summary of significant accounting policies consistently
followed by each Portfolio in the preparation of its financial statements.
SECURITY VALUATION. Investments in securities traded on a national
securities exchange are valued at the last-reported sale price as of the
close of business of the New York Stock Exchange on the last business day of
the period; securities traded on the over-the-counter market and listed
securities with no reported sales are valued at the mean between the last
reported bid and asked prices or on the basis of quotations received from a
reputable broker or other recognized source.
When market quotations are not considered to be readily available for
long-term corporate bonds and notes, such investments are generally stated
at fair value on the basis of valuations furnished by a pricing service.
These valuations are determined 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. Securities, including restricted
securities, for which pricing services are not readily available are valued
by management at prices which it deems in good faith to be fair.
Short-term investments for which a quoted market price is available are
valued at market. Short-term investments for which there is no reliable
quoted market price are valued by computing a market value based upon
quotations from dealers or issuers for securities of a similar type, quality
and maturity.
STRIPPED SECURITIES. Each Zero Coupon Bond Fund Portfolio will invest
primarily in "Stripped Securities", a term used collectively for Stripped
Treasury Securities, Stripped Government Securities, Stripped Corporate
Securities and Stripped Eurodollar Obligations; as well as other stripped
securities. Stripped Securities can be securities consisting of debt
obligations that have been stripped of unmatured interest coupons,
securities consisting of unmatured interest coupons that have been stripped
from debt obligations, or debt obligations that are issued without interest
coupons and are sold at substantial discounts from their face amounts.
Stripped Securities do not make periodic payments of interest prior to
maturity. 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. Fluctuations in response to interest rates
may be greater than those for debt obligations of comparable maturities that
pay interest currently. The amount of fluctuation increases with a longer
period of maturity.
-17-
<PAGE> 19
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) - CONTINUED
FUTURES CONTRACTS. Each Portfolio may use interest rate futures contracts
as a substitute for the purchase or sale of individual securities. When
each Portfolio enters into a futures contract, it agrees to buy or sell
specified debt securities, at a future time for a fixed price, unless the
contract is closed prior to expiration. Each Portfolio is obligated to
deposit with a broker an "initial margin" equivalent to a percentage of the
face, or notional value of the contract.
It is each Portfolio's practice to hold cash and cash equivalents in an
amount at least equal to the notional value of outstanding purchased futures
contracts, less the initial margin. Cash and cash equivalents include cash
on hand, securities segregated under federal and brokerage regulations, and
short-term highly liquid investments with maturities generally three months
or less when purchased. Generally, futures contracts are closed prior to
expiration.
Futures contracts purchased by each Portfolio are priced and settled daily;
accordingly, changes in daily prices are recorded as realized gains or
losses and no asset is recorded in the Statements of Investments. However,
when each Portfolio holds open futures contracts, it assumes a market risk
generally equivalent to the underlying market risk of changes in the value
of the specified indexes or debt securities associated with the futures
contract.
REPURCHASE AGREEMENTS. When each Portfolio enters into a repurchase
agreement (a purchase of securities whereby the seller agrees to repurchase
the securities at a mutually agreed-upon date and price), the repurchase
price of the securities will generally equal the amount paid by each
Portfolio plus a negotiated interest amount. The seller under the
repurchase agreement will be required to provide to each Portfolio
securities (collateral) whose market value, including accrued interest, will
be at least equal to 102% of the repurchase price. Each Portfolio monitors
the value of collateral on a daily basis. Repurchase agreements will be
limited to transactions with national banks and reporting broker dealers
believed to present minimal credit risks. Each Portfolio's custodian will
take actual or constructive receipt of all securities underlying repurchase
agreements until such agreements expire.
TAXES. Each Portfolio has qualified and intends to continue to qualify each
year, as a "regulated investment company" under Subchapter M of the Internal
Revenue Code of 1986, as amended. As a regulated investment company, each
Portfolio is relieved of any federal income tax liability by distributing
all of its net taxable investment income and net taxable capital gains, if
any, to its shareholders. Each Portfolio further intends to avoid excise
tax liability by distributing substantially all of its investment income.
Therefore, no federal income tax provision has been made by each Portfolio
in its financial statements. As of June 30, 1996, the Zero Coupon Bond Fund
Portfolio Series 1998, Zero Coupon Bond Fund Portfolio Series 2000 and Zero
Coupon Bond Fund Portfolio Series 2005 had capital loss carryovers of $358,
$787, and $1,868, respectively, which may be available to offset any future
realized taxable capital gains, to the extent provided by regulations.
These amounts expire during the year 2003.
OTHER. The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of revenues and expenses during the
reporting period. Actual results could differ from those estimates.
Security transactions are accounted for on the trade date. Interest income
is recorded on the accrual basis and dividend income is recorded on the
ex-dividend date. For the Zero Coupon Bond Fund Portfolios all original
issue discounts are amortized to investment income for both financial
reporting and federal income tax purposes. The constant yield method of
amortization is utilized in these portfolios. Distributions to shareholders
are recorded at the close of business on the record date.
-18-
<PAGE> 20
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) - CONTINUED
2. INVESTMENTS
Purchases of bonds excluding short-term investments aggregated $143,098 for
Zero Coupon Bond Fund Portfolio Series 1998; and $99,405 for Zero Coupon
Bond Fund Portfolio Series 2000 for the six months ended June 30, 1996.
Purchases and sales of direct and indirect U.S. government obligations were
$86,790 and $142,372, respectively for Zero Coupon Bond Fund Portfolio
Series 1998; $420,914 and $197,660, respectively for Zero Coupon Bond Fund
Portfolio Series 2000; $412,629 and $100,183, respectively for Zero Coupon
Bond Fund Portfolio Series 2005 for the six months ended June 30, 1996.
Realized gains and losses from security transactions are reported on an
identified cost basis.
3. PORTFOLIO CHARGES
Investment management and advisory fees for the Zero Coupon Bond Fund
Portfolios are calculated daily at an annual rate of 0.10% of each Zero
Coupon Bond Fund Portfolios' average net assets. These fees are paid to
Travelers Asset Management International Corporation, an indirect wholly
owned subsidiary of Travelers Group Inc.
The Travelers has agreed to reimburse the Zero Coupon Bond Fund Portfolios
for the amount by which each of the Zero Coupon Bond Fund Portfolio's
aggregate annualized operating expenses, excluding brokerage commissions and
any interest charges and taxes, exceed 0.15% of each Zero Coupon Bond Fund
Portfolio's average net assets. Trustees and officers of the Series Trust,
who are also officers and employees of Travelers Group Inc., or its
subsidiaries, receive no compensation directly from the Series Trust.
-19-
<PAGE> 21
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) - CONTINUED
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
each Portfolio were as follows:
<TABLE>
<CAPTION>
ZERO COUPON BOND FUND PORTFOLIO
SERIES 1998
---------------------------------------
SIX MONTHS OCTOBER 11,*
ENDED TO
JUNE 30, DECEMBER 31,
----------------- ------------------
1996 1995
---- ----
<S> <C> <C>
Shares sold. . . . . . . . . . . . . . . . . . . . . . . . . 8,416 100,000
Shares redeemed. . . . . . . . . . . . . . . . . . . . . . . (358) (125)
Shares issued in reinvestment of distributions from net
investment income . . . . . . . . . . . . . . . . . . . . 1,221 -
----------------- ------------------
Net. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,279 99,875
================= ==================
</TABLE>
<TABLE>
<CAPTION>
ZERO COUPON BOND FUND PORTFOLIO
SERIES 2000
---------------------------------------
SIX MONTHS OCTOBER 11,*
ENDED TO
----------------- ------------------
JUNE 30, DECEMBER 31,
1996 1995
---- ----
<S> <C> <C>
Shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32,773 100,000
Shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . (546) (124)
Shares issued in reinvestment of distributions from net investment
income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,230 -
----------------- ------------------
Net . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33,457 99,876
================= ==================
</TABLE>
<TABLE>
<CAPTION>
ZERO COUPON BOND FUND PORTFOLIO
SERIES 2005
---------------------------------------
SIX MONTHS OCTOBER 11,*
ENDED TO
JUNE 30, DECEMBER 31,
----------------- ------------------
1996 1995
---- ----
<S> <C> <C>
Shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33,342 100,281
Shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . (1,763) (117)
Shares issued in reinvestment of distributions from net investment
income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,284 -
----------------- ------------------
Net . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32,863 100,164
================= ==================
</TABLE>
* Date operations commenced.
As of June 30, 1996, all outstanding shares of beneficial interest of each
Portfolio were owned by The Travelers Fund UL for Variable Life Insurance, a
separate account of The Travelers Insurance Company; and The Travelers Variable
Life Insurance Separate Account One, a separate account of The Travelers Life
and Annuity Company.
-20-
<PAGE> 22
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) - CONTINUED
5. FINANCIAL HIGHLIGHTS
(Selected data for a share outstanding throughout each period.)
ZERO COUPON BOND FUND PORTFOLIO SERIES 1998
<TABLE>
<CAPTION>
OCTOBER 11,*
TO
DECEMBER 31,
SIX MONTHS (DERIVED FROM
ENDED AUDITED FINANCIAL
JUNE 30, INFORMATION)
---------------- ---------------------
1996 1995
---- ----
<S> <C> <C>
PER SHARE DATA:
---------------
Net asset value, beginning of period . . . . . . . . . $ 10.25 $ 10.00
Income from operations
----------------------
Net investment income . . . . . . . . . . . . . . . 0.28 0.12
Net gains or losses on securities (realized and
unrealized) . . . . . . . . . . . . . . . . . . . (0.26) 0.13
------------ ------------
Total from investment operations . . . . . . . . 0.02 0.25
Less distributions
------------------
Distributions from net investment income . . . . . (0.12) -
------------ ------------
Total distribution . . . . . . . . . . . . . . . (0.12) -
Net asset value, end of period . . . . . . . . . . . . $ 10.15 $ 10.25
============ ============
TOTAL RETURN** 0.19 % 2.50 %
------------
RATIOS/SUPPLEMENTAL DATA:
-------------------------
Net assets, end of period (thousands) . . . . . . . $ 1,107 $ 1,024
Ratio of expenses to average net assets## . . . . 0.15 %# 0.15 %#
Ratio of net investment income to average net assets 5.49 %# 5.55 %#
Portfolio turnover rate . . . . . . . . . . . . . . 14 % 20 %
</TABLE>
* Date operations commenced.
** Total return is determined by dividing the increase (decrease) in value
of a share during the period, after reflecting the reinvestment of
dividends declared during the period, by the beginning of period share
price. As described in Note 1, shares of the Zero Coupon Bond Fund
Portfolio Series 1998 are only sold to separate accounts of The Travelers
Insurance Company and The Travelers Life and Annuity Company in
connection with the issuance of variable life insurance contracts. The
total return does not reflect the deduction of any contract charges or
fees assessed by these separate accounts. For periods of less than one
year, total returns are not annualized.
# Annualized.
## The ratio of expenses to average net assets for 1995-1996 reflects an
expense reimbursement by The Travelers in connection with the voluntary
expense limitations described in Note 3. Without the expense
reimbursement, the ratio of expenses to average net assets would have
been 4.34% and 6.51% (both annualized) for the six months ended June 30,
1996, and the period ended December 31, 1995, respectively.
-21-
<PAGE> 23
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) - CONTINUED
6. FINANCIAL HIGHLIGHTS
(Selected data for a share outstanding throughout each period.)
ZERO COUPON BOND FUND PORTFOLIO SERIES 2000
<TABLE>
<CAPTION>
OCTOBER 11,*
TO
DECEMBER 31,
SIX MONTHS (DERIVED FROM
ENDED AUDITED FINANCIAL
JUNE 30, INFORMATION)
---------------- ---------------------
1996 1995
---- ----
<S> <C> <C>
PER SHARE DATA:
---------------
Net asset value, beginning of period . . . . . . . . . $ 10.31 $ 10.00
Income from operations
----------------------
Net investment income . . . . . . . . . . . . . . . 0.27 0.13
Net gains or losses on securities (realized and
unrealized) . . . . . . . . . . . . . . . . . . . (0.44) 0.18
----------- ------------
Total from investment operations . . . . . . . . (0.17) 0.31
Less distributions
------------------
Distributions from net investment income . . . . . (0.12) -
----------- ------------
Total distribution . . . . . . . . . . . . . . . (0.12) -
Net asset value, end of period . . . . . . . . . . . . $ 10.02 $ 10.31
=========== ============
TOTAL RETURN** (1.67)% 3.10 %
------------
RATIOS/SUPPLEMENTAL DATA:
-------------------------
Net assets, end of period (thousands) . . . . . . . $ 1,336 $ 1,029
Ratio of expenses to average net assets ## . . . . 0.15 %# 0.15 %#
Ratio of net investment income to average net
assets . . . . . . . . . . . . . . . . . . . . . . 5.49 %# 5.61 %#
Portfolio turnover rate . . . . . . . . . . . . . . 17 % 34 %
</TABLE>
* Date operations commenced.
** Total return is determined by dividing the increase (decrease) in value
of a share during the period, after reflecting the reinvestment of
dividends declared during the period, by the beginning of period share
price. As described in Note 1, shares of the Zero Coupon Bond Fund
Portfolio Series 2000 are only sold to separate accounts of The Travelers
Insurance Company and The Travelers Life and Annuity Company in
connection with the issuance of variable life insurance contracts. The
total return does not reflect the deduction of any contract charges or
fees assessed by these separate accounts. For periods of less than one
year, total returns are not annualized.
# Annualized.
## The ratio of expenses to average net assets for 1995-1996 reflects an
expense reimbursement by The Travelers in connection with the voluntary
expense limitations described in Note 3. Without the expense
reimbursement, the ratio of expenses to average net assets would have
been 3.90% and 6.51% (both annualized) for the six months ended June 30,
1996, and the period ended December 31, 1995, respectively.
-22-
<PAGE> 24
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) - CONTINUED
7. FINANCIAL HIGHLIGHTS
(Selected data for a share outstanding throughout each period.)
ZERO COUPON BOND FUND PORTFOLIO SERIES 2005
<TABLE>
<CAPTION>
OCTOBER 11,*
TO
DECEMBER 31,
SIX MONTHS (DERIVED FROM
ENDED AUDITED FINANCIAL
JUNE 30, INFORMATION)
---------------- ---------------------
1996 1995
---- ----
<S> <C> <C>
PER SHARE DATA:
---------------
Net asset value, beginning of period . . . . . . . . . $ 10.48 $ 10.00
Income from operations
----------------------
Net investment income . . . . . . . . . . . . . . . 0.29 0.13
Net gains or losses on securities (realized and
unrealized) . . . . . . . . . . . . . . . . . . . (0.91) 0.35
----------- ------------
Total from investment operations . . . . . . . . (0.62) 0.48
Less distributions
------------------
Distributions from net investment income . . . . . (0.13) -
----------- ------------
Total distribution . . . . . . . . . . . . . . . (0.13) -
Net asset value, end of period . . . . . . . . . . . . $ 9.73 $ 10.48
=========== ============
TOTAL RETURN** (5.99)% 4.80 %
------------
RATIOS/SUPPLEMENTAL DATA:
-------------------------
Net assets, end of period (thousands) . . . . . . . $ 1,294 $ 1,050
Ratio of expenses to average net assets## . . . . . 0.15 %# 0.15 %#
Ratio of net investment income to average net
assets . . . . . . . . . . . . . . . . . . . . . . 5.84 %# 5.89 %#
Portfolio turnover rate . . . . . . . . . . . . . . 9 % 23 %
</TABLE>
* Date operations commenced.
** Total return is determined by dividing the increase (decrease) in value
of a share during the period, after reflecting the reinvestment of
dividends declared during the period, by the beginning of period share
price. As described in Note 1, shares of the Zero Coupon Bond Fund
Portfolio Series 2005 are only sold to separate accounts of The Travelers
Insurance Company and The Travelers Life and Annuity Company in
connection with the issuance of variable life insurance contracts. The
total return does not reflect the deduction of any contract charges or
fees assessed by these separate accounts. For periods of less than one
year, total returns are not annualized.
# Annualized.
## The ratio of expenses to average net assets for 1995-1996 reflects an
expense reimbursement by The Travelers in connection with the voluntary
expense limitations described in Note 3. Without the expense
reimbursement, the ratio of expenses to average net assets would have
been 3.95% and 6.48% (both annualized) for the six months ended June 30,
1996, and the period ended December 31, 1995, respectively.
-23-
<PAGE> 25
This page is intentionally left blank.
<PAGE> 26
INVESTMENT ADVISOR
------------------
THE TRAVELERS SERIES TRUST: ZERO COUPON BOND FUND PORTFOLIO SERIES 1998,
ZERO COUPON BOND FUND PORTFOLIO SERIES 2000 AND ZERO COUPON BOND FUND PORTFOLIO
SERIES 2005
TRAVELERS ASSET MANAGEMENT INTERNATIONAL CORPORATION
Hartford, Connecticut
Independent Accountants
-----------------------
COOPERS & LYBRAND L.L.P.
Hartford, Connecticut
Custodian
---------
THE CHASE MANHATTAN BANK, N.A.
New York, New York
The financial information included herein has been taken from the records of
Zero Coupon Bond Fund Portfolio Series 1998, Zero Coupon Bond Fund Portfolio
Series 2000 and Zero Coupon Bond Fund Portfolio Series 2005 of The Travelers
Series Trust. This financial information has not been audited by the Funds'
independent accountants, who therefore express no opinion concerning its
accuracy. However, it is management's opinion that all proper adjustments have
been made.
This report is prepared for the general information of contract owners and is
not an offer of shares of Zero Coupon Bond Fund Portfolio Series 1998, Zero
Coupon Bond Fund Portfolio Series 2000 and Zero Coupon Bond Fund Portfolio
Series 2005 of The Travelers Series Trust. It should not be used in connection
with any offer except in conjunction with the Prospectuses for the Variable
Universal Life Insurance products offered by The Travelers Insurance Company
and The Travelers Life and Annuity Company in addition to the Prospectuses for
the underlying funds, which collectively contain all pertinent information,
including the applicable sales commissions.
VG-ZERO (S/A)(6-96) Printed in U.S.A
