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UNITED STATES |
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FORM N-Q |
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QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number |
811-02338 |
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Allmerica Securities Trust |
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(Name of Registrant) |
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440 Lincoln Street |
01653 |
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(Address of Principal Executive Offices) |
(Zip code) |
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George M. Boyd, Trust Secretary |
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(Name and Address of Agent for Service) |
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Registrants telephone number, including area code: |
(508) 855-1000 |
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Date of fiscal year end: |
December 31 |
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Date of reporting period: |
September 30, 2004 |
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Item 1. Schedule of Investments.
ALLMERICA SECURITIES TRUST
PORTFOLIO OF INVESTMENTS - September 30, 2004 (Unaudited)
Par Value |
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Moodys Ratings |
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Value |
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U.S. GOVERNMENT AGENCY MORTGAGE-BACKED OBLIGATIONS (h) - 0.3% |
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Freddie Mac - 0.3% |
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$ |
101,814 |
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5.00%, 05/15/21 |
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NR |
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$ |
103,611 |
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155,165 |
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6.00%, 10/15/07 |
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NR |
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160,049 |
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263,660 |
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Total U.S. Government Agency Mortgage-Backed Obligations |
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263,660 |
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(Cost $267,716) |
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Par Value |
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Moodys Ratings |
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Value |
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U.S. GOVERNMENT OBLIGATIONS - 2.6% |
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U.S. Treasury Bond - 2.5% |
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1,390,000 |
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5.38%, 02/15/31 (a) |
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NR |
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1,489,038 |
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225,000 |
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6.00%, 02/15/26 (a) |
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NR |
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256,526 |
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450,000 |
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6.25%, 05/15/30 |
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NR |
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534,094 |
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2,279,658 |
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U.S. Treasury Note - 0.1% |
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110,000 |
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2.25%, 02/15/07 |
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NR |
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108,827 |
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Total U.S. Government Obligations |
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2,388,485 |
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(Cost $2,247,046) |
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Par Value |
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Moodys Ratings |
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Value |
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CORPORATE NOTES AND BONDS - 76.1% |
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Auto Manufacturers - 1.3% |
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500,000 |
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DaimlerChrysler North America Holding Corp. |
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8.50%, 01/18/31 |
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A3 |
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611,203 |
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500,000 |
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General Motors Corp. (a) |
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7.20%, 01/15/11 |
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Baa1 |
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529,534 |
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1,140,737 |
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Auto Parts & Equipment - 0.6% |
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460,000 |
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Lear Corp. |
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8.11%, 05/15/09 |
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Baa3 |
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531,114 |
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Banks - 10.8% |
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880,000 |
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Bank of America Corp. |
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4.88%, 09/15/12 |
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Aa2 |
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897,593 |
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500,000 |
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Bank of America Corp. |
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5.25%, 12/01/15 |
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Aa3 |
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508,056 |
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450,000 |
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Bank of New York Co., Inc. |
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3.75%, 02/15/08 |
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Aa3 |
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454,805 |
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1,000,000 |
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Bank of New York Co., Inc. |
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6.38%, 04/01/12 |
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A1 |
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1,105,705 |
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450,000 |
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BB&T Corp. (b) |
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6.38%, 06/30/05 |
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A2 |
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462,290 |
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655,000 |
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Fifth Third Bank |
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4.50%, 06/01/18 |
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Aa3 |
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616,088 |
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1
$ |
500,000 |
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Firstar Corp. |
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7.13%, 12/01/09 |
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Aa3 |
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$ |
574,503 |
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450,000 |
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HSBC Bank USA, Inc. |
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4.63%, 04/01/14 |
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A1 |
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441,196 |
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450,000 |
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Marshall & Ilsley Corp. |
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4.38%, 08/01/09 |
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A1 |
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458,596 |
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420,000 |
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National City Bank of Indiana |
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4.88%, 07/20/07 |
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Aa3 |
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436,455 |
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250,000 |
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Northern Trust Co. |
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6.65%, 11/09/04 |
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Aa3 |
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251,117 |
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350,000 |
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PNC Funding Corp. |
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6.13%, 02/15/09 |
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A3 |
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379,037 |
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200,000 |
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Suntrust Banks, Inc. |
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6.38%, 04/01/11 |
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Aa3 |
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222,984 |
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125,000 |
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Suntrust Banks, Inc. |
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7.75%, 05/01/10 |
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A1 |
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146,676 |
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500,000 |
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U.S. Bancorp, MTN |
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5.10%, 07/15/07 |
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Aa3 |
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522,899 |
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455,000 |
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US Bank National Cincinnati |
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6.50%, 02/01/08 |
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Aa3 |
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496,507 |
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475,000 |
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Wachovia Bank N.A. |
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4.85%, 07/30/07 |
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Aa2 |
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494,914 |
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450,000 |
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Wachovia Corp. |
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4.95%, 11/01/06 |
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Aa3 |
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467,375 |
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450,000 |
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Wells Fargo & Co. |
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5.13%, 09/01/12 |
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Aa2 |
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462,520 |
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440,000 |
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Zions Bancorporation |
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5.65%, 05/15/14 |
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Baa1 |
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456,240 |
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9,855,556 |
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Beverages - 1.1% |
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450,000 |
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Anheuser-Busch Cos., Inc. |
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4.63%, 02/01/15 |
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A1 |
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445,786 |
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500,000 |
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Bottling Group LLC |
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4.63%, 11/15/12 |
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Aa3 |
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505,202 |
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950,988 |
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Chemicals - 0.8% |
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200,000 |
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Du Pont (E.I.) De Nemours and Co. |
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8.25%, 09/15/06 |
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Aa3 |
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219,671 |
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500,000 |
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Praxair, Inc. |
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6.63%, 10/15/07 |
|
A3 |
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546,143 |
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765,814 |
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Cosmetics & Personal Care - 2.3% |
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500,000 |
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Kimberly-Clark Corp. |
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7.10%, 08/01/07 |
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Aa2 |
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554,618 |
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300,000 |
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Procter & Gamble Co. |
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4.75%, 06/15/07 |
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Aa3 |
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312,516 |
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1,000,000 |
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Procter & Gamble Co. |
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8.50%, 08/10/09 |
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Aa3 |
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1,200,450 |
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|
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2,067,584 |
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2
|
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Diversified Financial Services - 13.9% |
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$ |
500,000 |
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American Express Co. |
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3.75%, 11/20/07 |
|
A1 |
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$ |
505,135 |
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|
580,000 |
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Bear Stearns Cos., Inc. |
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4.00%, 01/31/08 |
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A1 |
|
587,962 |
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725,000 |
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Capital One Bank |
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4.88%, 05/15/08 |
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Baa2 |
|
750,908 |
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920,000 |
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Capital One Bank |
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5.75%, 09/15/10 |
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Baa2 |
|
980,778 |
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||
280,000 |
|
CIT Group, Inc., MTN |
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5.13%, 09/30/14 |
|
A2 |
|
279,666 |
|
||
500,000 |
|
Citifinancial |
|
|
|
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6.75%, 07/01/07 |
|
Aa1 |
|
543,842 |
|
||
460,000 |
|
Ford Motor Credit Co. |
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|
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6.50%, 01/25/07 |
|
A3 |
|
487,223 |
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400,000 |
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Ford Motor Credit Co. |
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|
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6.88%, 02/01/06 |
|
A3 |
|
418,569 |
|
||
825,000 |
|
Ford Motor Credit Co. |
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|
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7.25%, 10/25/11 |
|
A3 |
|
892,763 |
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10,000 |
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Ford Motor Credit Co. |
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7.38%, 10/28/09 |
|
A3 |
|
10,953 |
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500,000 |
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General Electric Capital Corp. |
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8.75%, 05/21/07 |
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Aaa |
|
570,499 |
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500,000 |
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General Electric Capital Corp., MTN |
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4.25%, 01/15/08 |
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Aaa |
|
513,047 |
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380,000 |
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General Motors Acceptance Corp., MTN (b) |
|
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|
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2.88%, 10/20/05 |
|
A3 |
|
382,986 |
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450,000 |
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Goldman Sachs Group, Inc. |
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5.70%, 09/01/12 |
|
Aa3 |
|
475,505 |
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500,000 |
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Household Finance Corp. |
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|
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|
|
8.00%, 07/15/10 |
|
A1 |
|
590,990 |
|
||
425,000 |
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J. Paul Getty Trust |
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|
|
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|
|
5.88%, 10/01/33 |
|
Aaa |
|
439,172 |
|
||
222,011 |
|
Jones (Edward D.) & Co., LP (c) (d) |
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|
|
|
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|
|
7.95%, 04/15/06 |
|
NR |
|
233,123 |
|
||
500,000 |
|
Lehman Brothers Holdings, Inc. |
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|
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4.00%, 01/22/08 |
|
A1 |
|
507,891 |
|
||
605,000 |
|
MBNA Corp., MTN |
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|
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|
|
4.63%, 08/03/09 |
|
Baa2 |
|
618,124 |
|
||
350,000 |
|
MBNA Corp., MTN |
|
|
|
|
|
||
|
|
6.25%, 01/17/07 |
|
Baa2 |
|
370,695 |
|
||
85,000 |
|
MBNA Corp., MTN |
|
|
|
|
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|
|
7.50%, 03/15/12 |
|
Baa2 |
|
98,278 |
|
||
630,000 |
|
Morgan Stanley |
|
|
|
|
|
||
|
|
4.75%, 04/01/14 |
|
A1 |
|
609,888 |
|
||
495,000 |
|
Morgan Stanley |
|
|
|
|
|
||
|
|
6.60%, 04/01/12 |
|
Aa3 |
|
551,972 |
|
||
550,000 |
|
Pitney Bowes Credit Corp. |
|
|
|
|
|
||
|
|
8.55%, 09/15/09 |
|
Aa3 |
|
654,314 |
|
||
500,000 |
|
Toyota Motor Credit Corp. |
|
|
|
|
|
||
|
|
5.50%, 12/15/08 |
|
Aaa |
|
534,960 |
|
||
|
|
|
|
|
|
12,609,243 |
|
||
3
|
|
|
|
|
|
|
|
||
|
|
Electric - 5.5% |
|
|
|
|
|
||
$ |
550,000 |
|
AmerenEnergy Generating |
|
|
|
|
|
|
|
|
7.75%, 11/01/05 |
|
A3 |
|
$ |
578,579 |
|
|
505,000 |
|
Centerpoint Energy, Inc. |
|
|
|
|
|
||
|
|
5.88%, 06/01/08 |
|
Ba2 |
|
|
527,180 |
|
|
375,000 |
|
Consolidated Edison Co. of New York |
|
|
|
|
|
||
|
|
4.70%, 06/15/09 |
|
A1 |
|
388,877 |
|
||
425,000 |
|
Detroit Edison Co. |
|
|
|
|
|
||
|
|
6.13%, 10/01/10 |
|
A3 |
|
465,920 |
|
||
563,466 |
|
East Coast Power LLC |
|
|
|
|
|
||
|
|
7.07%, 03/31/12 |
|
Baa3 |
|
577,457 |
|
||
250,000 |
|
Entergy Gulf States, Inc. |
|
|
|
|
|
||
|
|
3.60%, 06/01/08 |
|
Baa3 |
|
247,138 |
|
||
450,000 |
|
FirstEnergy Corp. |
|
|
|
|
|
||
|
|
6.45%, 11/15/11 |
|
Baa3 |
|
490,892 |
|
||
500,000 |
|
FirstEnergy Corp. |
|
|
|
|
|
||
|
|
7.38%, 11/15/31 |
|
Baa3 |
|
561,546 |
|
||
225,000 |
|
Florida Power & Light |
|
|
|
|
|
||
|
|
6.88%, 12/01/05 |
|
Aa3 |
|
235,957 |
|
||
450,000 |
|
Pacific Gas & Electric Co. |
|
|
|
|
|
||
|
|
6.05%, 03/01/34 |
|
Baa2 |
|
458,011 |
|
||
450,000 |
|
TXU Energy Co. |
|
|
|
|
|
||
|
|
7.00%, 03/15/13 |
|
Baa2 |
|
508,087 |
|
||
|
|
|
|
|
|
5,039,644 |
|
||
|
|
|
|
|
|
|
|
||
|
|
Environmental Control - 1.6% |
|
|
|
|
|
||
450,000 |
|
Allied Waste North America (a) (e) |
|
|
|
|
|
||
|
|
6.50%, 11/15/10 |
|
Ba3 |
|
445,500 |
|
||
500,000 |
|
Allied Waste North America |
|
|
|
|
|
||
|
|
8.50%, 12/01/08 |
|
Ba3 |
|
542,500 |
|
||
490,000 |
|
Waste Management, Inc. |
|
|
|
|
|
||
|
|
7.00%, 10/01/04 |
|
Baa3 |
|
490,000 |
|
||
|
|
|
|
|
|
1,478,000 |
|
||
|
|
|
|
|
|
|
|
||
|
|
Food - 4.4% |
|
|
|
|
|
||
525,000 |
|
Conagra Foods, Inc. |
|
|
|
|
|
||
|
|
7.50%, 09/15/05 |
|
Baa1 |
|
546,599 |
|
||
675,000 |
|
Delhaize America, Inc. |
|
|
|
|
|
||
|
|
8.13%, 04/15/11 |
|
Ba1 |
|
770,866 |
|
||
460,000 |
|
General Mills, Inc. |
|
|
|
|
|
||
|
|
6.00%, 02/15/12 |
|
Baa2 |
|
495,477 |
|
||
470,000 |
|
Kroger Co. (a) |
|
|
|
|
|
||
|
|
5.50%, 02/01/13 |
|
Baa2 |
|
486,774 |
|
||
350,000 |
|
Kroger Co. |
|
|
|
|
|
||
|
|
6.38%, 03/01/08 |
|
Baa3 |
|
379,470 |
|
||
450,000 |
|
Safeway, Inc. |
|
|
|
|
|
||
|
|
6.50%, 03/01/11 |
|
Baa2 |
|
491,832 |
|
||
830,000 |
|
Unilever Capital Corp. |
|
|
|
|
|
||
|
|
5.90%, 11/15/32 |
|
A1 |
|
860,072 |
|
||
|
|
|
|
|
|
4,031,090 |
|
||
|
|
|
|
|
|
|
|
||
|
|
Forest Products & Paper - 1.9% |
|
|
|
|
|
||
500,000 |
|
International Paper Co. |
|
|
|
|
|
||
|
|
5.30%, 04/01/15 |
|
Baa2 |
|
497,217 |
|
||
500,000 |
|
International Paper Co. |
|
|
|
|
|
||
|
|
5.50%, 01/15/14 |
|
Baa2 |
|
511,996 |
|
||
750,000 |
|
Rock-Tenn Co. |
|
|
|
|
|
||
|
|
5.63%, 03/15/13 |
|
Baa3 |
|
760,280 |
|
||
|
|
|
|
|
|
1,769,493 |
|
||
4
|
|
Health Care-Products - 0.2% |
|
|
|
|
|
||
$ |
120,000 |
|
Johnson & Johnson |
|
|
|
|
|
|
|
|
6.73%, 11/15/23 |
|
Aaa |
|
$ |
140,294 |
|
|
|
|
|
|
|
|
|
|
||
|
|
Health Care-Services - 1.2% |
|
|
|
|
|
||
550,000 |
|
HCA, Inc. |
|
|
|
|
|
||
|
|
6.75%, 07/15/13 |
|
Ba1 |
|
584,705 |
|
||
450,000 |
|
UnitedHealth Group, Inc. |
|
|
|
|
|
||
|
|
7.50%, 11/15/05 |
|
A3 |
|
473,888 |
|
||
|
|
|
|
|
|
1,058,593 |
|
||
|
|
|
|
|
|
|
|
||
|
|
Home Builders - 1.7% |
|
|
|
|
|
||
920,000 |
|
D.R. Horton, Inc. |
|
|
|
|
|
||
|
|
5.00%, 01/15/09 |
|
Ba1 |
|
936,100 |
|
||
500,000 |
|
Pulte Homes, Inc. |
|
|
|
|
|
||
|
|
8.13%, 03/01/11 |
|
Baa3 |
|
586,815 |
|
||
|
|
|
|
|
|
1,522,915 |
|
||
|
|
|
|
|
|
|
|
||
|
|
Insurance - 0.5% |
|
|
|
|
|
||
450,000 |
|
Marsh & McLennan Cos., Inc. |
|
|
|
|
|
||
|
|
4.85%, 02/15/13 |
|
A2 |
|
449,055 |
|
||
|
|
|
|
|
|
|
|
||
|
|
Lodging - 1.0% |
|
|
|
|
|
||
500,000 |
|
Harrahs Operating Co., Inc. |
|
|
|
|
|
||
|
|
7.13%, 06/01/07 |
|
Baa3 |
|
542,506 |
|
||
350,000 |
|
Park Place Entertainment Corp. |
|
|
|
|
|
||
|
|
8.13%, 05/15/11 |
|
Ba2 |
|
404,250 |
|
||
|
|
|
|
|
|
946,756 |
|
||
|
|
|
|
|
|
|
|
||
|
|
Media - 5.5% |
|
|
|
|
|
||
550,000 |
|
AOL Time Warner, Inc. |
|
|
|
|
|
||
|
|
6.88%, 05/01/12 |
|
Baa1 |
|
613,622 |
|
||
270,000 |
|
Belo Corp. |
|
|
|
|
|
||
|
|
8.00%, 11/01/08 |
|
Baa3 |
|
308,676 |
|
||
450,000 |
|
Continental Cablevision, Inc. |
|
|
|
|
|
||
|
|
8.30%, 05/15/06 |
|
Baa3 |
|
484,967 |
|
||
505,000 |
|
Cox Communications, Inc. |
|
|
|
|
|
||
|
|
7.13%, 10/01/12 |
|
Baa2 |
|
547,967 |
|
||
225,000 |
|
Cox Enterprises, Inc. (e) |
|
|
|
|
|
||
|
|
4.38%, 05/01/08 |
|
Baa1 |
|
219,699 |
|
||
700,000 |
|
Echostar DBS Corp. |
|
|
|
|
|
||
|
|
5.75%, 10/01/08 |
|
Ba3 |
|
703,500 |
|
||
500,000 |
|
News America Holdings, Inc. |
|
|
|
|
|
||
|
|
7.38%, 10/17/08 |
|
Baa3 |
|
556,427 |
|
||
300,000 |
|
Time Warner Cos., Inc. |
|
|
|
|
|
||
|
|
7.57%, 02/01/24 |
|
Baa1 |
|
338,891 |
|
||
450,000 |
|
Time Warner Entertainment Co. |
|
|
|
|
|
||
|
|
7.25%, 09/01/08 |
|
Baa1 |
|
499,454 |
|
||
180,000 |
|
Viacom, Inc. |
|
|
|
|
|
||
|
|
5.50%, 05/15/33 |
|
A3 |
|
167,519 |
|
||
450,000 |
|
Viacom, Inc. |
|
|
|
|
|
||
|
|
7.88%, 07/30/30 |
|
A3 |
|
549,739 |
|
||
|
|
|
|
|
|
4,990,461 |
|
||
5
|
|
Metal Fabricate & Hardware - 1.1% |
|
|
|
|
|
||
$ |
1,000,000 |
|
Precision Castparts Corp. |
|
|
|
|
|
|
|
|
5.60%, 12/15/13 |
|
Baa3 |
|
$ |
1,023,718 |
|
|
|
|
|
|
|
|
|
|
||
|
|
Office & Business Equipment - 0.8% |
|
|
|
|
|
||
750,000 |
|
Pitney Bowes, Inc. |
|
|
|
|
|
||
|
|
4.75%, 05/15/18 |
|
Aa3 |
|
730,165 |
|
||
|
|
|
|
|
|
|
|
||
|
|
Oil & Gas - 5.7% |
|
|
|
|
|
||
375,000 |
|
Burlington Resources, Inc. |
|
|
|
|
|
||
|
|
7.40%, 12/01/31 |
|
Baa1 |
|
453,558 |
|
||
580,000 |
|
Conoco Funding Co. |
|
|
|
|
|
||
|
|
5.45%, 10/15/06 |
|
A3 |
|
608,076 |
|
||
500,000 |
|
Conoco Funding Co. |
|
|
|
|
|
||
|
|
7.25%, 10/15/31 |
|
A3 |
|
599,109 |
|
||
450,000 |
|
Devon Financing Corp. |
|
|
|
|
|
||
|
|
6.88%, 09/30/11 |
|
Baa2 |
|
507,720 |
|
||
450,000 |
|
Devon Financing Corp. |
|
|
|
|
|
||
|
|
7.88%, 09/30/31 |
|
Baa2 |
|
552,287 |
|
||
230,000 |
|
Enterprise Products |
|
|
|
|
|
||
|
|
7.50%, 02/01/11 |
|
Baa3 |
|
261,873 |
|
||
350,000 |
|
Enterprise Products |
|
|
|
|
|
||
|
|
8.25%, 03/15/05 |
|
Baa3 |
|
357,767 |
|
||
690,000 |
|
Pioneer Natural Resources Co. |
|
|
|
|
|
||
|
|
5.88%, 07/15/16 |
|
Baa3 |
|
720,059 |
|
||
600,000 |
|
Texaco Capital, Inc. |
|
|
|
|
|
||
|
|
8.25%, 10/01/06 |
|
Aa3 |
|
662,820 |
|
||
400,000 |
|
XTO Energy, Inc. |
|
|
|
|
|
||
|
|
7.50%, 04/15/12 |
|
Baa3 |
|
469,915 |
|
||
|
|
|
|
|
|
5,193,184 |
|
||
|
|
|
|
|
|
|
|
||
|
|
Packaging & Containers - 2.0% |
|
|
|
|
|
||
750,000 |
|
Illinois Tool Works, Inc. |
|
|
|
|
|
||
|
|
6.88%, 11/15/08 |
|
Aa3 |
|
839,701 |
|
||
970,000 |
|
Sealed Air Corp. (e) |
|
|
|
|
|
||
|
|
5.63%, 07/15/13 |
|
Baa3 |
|
997,296 |
|
||
|
|
|
|
|
|
1,836,997 |
|
||
|
|
|
|
|
|
|
|
||
|
|
Pharmaceuticals - 3.1% |
|
|
|
|
|
||
700,000 |
|
Bergen Brunswig Corp. (f) |
|
|
|
|
|
||
|
|
7.25%, 06/01/05 |
|
BB |
|
717,500 |
|
||
750,000 |
|
Lilly (Eli) & Co. |
|
|
|
|
|
||
|
|
7.13%, 06/01/25 |
|
Aa3 |
|
905,923 |
|
||
710,000 |
|
Medco Health Solutions, Inc. |
|
|
|
|
|
||
|
|
7.25%, 08/15/13 |
|
Ba1 |
|
791,414 |
|
||
330,000 |
|
Zeneca Wilmington |
|
|
|
|
|
||
|
|
7.00%, 11/15/23 |
|
Aa2 |
|
391,993 |
|
||
|
|
|
|
|
|
2,806,830 |
|
||
|
|
|
|
|
|
|
|
||
|
|
Pipelines - 0.6% |
|
|
|
|
|
||
500,000 |
|
Duke Energy Field Services Corp. |
|
|
|
|
|
||
|
|
7.50%, 08/16/05 |
|
Baa2 |
|
519,553 |
|
||
6
|
|
Retail - 3.0% |
|
|
|
|
|
|||
$ |
595,000 |
|
Home Depot, Inc. (e) |
|
|
|
|
|
||
|
|
3.75%, 09/15/09 |
|
Aa3 |
|
$ |
592,600 |
|
||
500,000 |
|
J.C. Penney Co., Inc. |
|
|
|
|
|
|||
|
|
7.38%, 08/15/08 |
|
Ba3 |
|
552,500 |
|
|||
900,000 |
|
J.C. Penney Co., Inc. |
|
|
|
|
|
|||
|
|
7.95%, 04/01/17 |
|
Ba3 |
|
1,039,500 |
|
|||
450,000 |
|
Wal-Mart Stores, Inc. |
|
|
|
|
|
|||
|
|
7.55%, 02/15/30 |
|
Aa2 |
|
571,658 |
|
|||
|
|
|
|
|
|
2,756,258 |
|
|||
|
|
|
|
|
|
|
|
|||
|
|
Savings & Loans - 1.0% |
|
|
|
|
|
|||
455,000 |
|
Washington Mutual Bank FA |
|
|
|
|
|
|||
|
|
5.50%, 01/15/13 |
|
A3 |
|
471,478 |
|
|||
450,000 |
|
Washington Mutual, Inc. |
|
|
|
|
|
|||
|
|
4.38%, 01/15/08 |
|
A3 |
|
460,638 |
|
|||
|
|
|
|
|
|
932,116 |
|
|||
|
|
|
|
|
|
|
|
|||
|
|
Telecommunications - 2.2% |
|
|
|
|
|
|||
500,000 |
|
BellSouth Corp. |
|
|
|
|
|
|||
|
|
6.88%, 10/15/31 |
|
A1 |
|
545,992 |
|
|||
680,000 |
|
Sprint Capital Corp. |
|
|
|
|
|
|||
|
|
6.13%, 11/15/08 |
|
Baa3 |
|
733,977 |
|
|||
120,000 |
|
Sprint Capital Corp. |
|
|
|
|
|
|||
|
|
6.88%, 11/15/28 |
|
Baa3 |
|
125,867 |
|
|||
120,000 |
|
Sprint Capital Corp. |
|
|
|
|
|
|||
|
|
7.90%, 03/15/05 |
|
Baa3 |
|
122,936 |
|
|||
450,000 |
|
Verizon Florida, Inc. |
|
|
|
|
|
|||
|
|
6.13%, 01/15/13 |
|
A1 |
|
480,194 |
|
|||
|
|
|
|
|
|
2,008,966 |
|
|||
|
|
|
|
|
|
|
|
|||
|
|
Transportation - 2.3% |
|
|
|
|
|
|||
900,000 |
|
CSX Corp. |
|
|
|
|
|
|||
|
|
6.30%, 03/15/12 |
|
Baa2 |
|
980,475 |
|
|||
189,000 |
|
CSX Corp. |
|
|
|
|
|
|||
|
|
9.75%, 06/15/20 |
|
Baa2 |
|
258,228 |
|
|||
261,000 |
|
Norfolk Southern Corp. |
|
|
|
|
|
|||
|
|
9.75%, 06/15/20 |
|
Baa2 |
|
358,232 |
|
|||
255,000 |
|
Union Pacific Corp. |
|
|
|
|
|
|||
|
|
5.38%, 06/01/33 |
|
Baa2 |
|
232,973 |
|
|||
250,000 |
|
Union Pacific Corp. |
|
|
|
|
|
|||
|
|
6.63%, 02/01/08 |
|
Baa2 |
|
272,112 |
|
|||
|
|
|
|
|
|
2,102,020 |
|
|||
|
|
|
|
|
|
|
|
|||
|
|
Total Corporate Notes and Bonds |
|
|
|
|
|
|||
|
|
(Cost $66,966,885) |
|
|
|
69,257,144 |
|
|||
|
|
|
|
|
|
|
|
|||
7
Par Value |
|
|
|
Moodys Ratings |
|
Value |
|
||
ASSET-BACKED AND MORTGAGE-BACKED SECURITIES (h) - 5.9% |
|
|
|
|
|
||||
|
|
|
|
|
|
|
|
||
$ |
1,000,000 |
|
American Airlines, Inc., Pass-Through Trust, Series 1991 - C2 |
|
|
|
|
|
|
|
|
9.73%, 09/29/14 |
|
Caa2 |
|
$ |
686,630 |
|
|
570,000 |
|
Bear Stearns Commercial Mortgage Securities, Inc., Series 2002-PBW1, Class A2 |
|
|
|
|
|
||
|
|
4.72%, 11/11/35 |
|
Aaa |
|
576,694 |
|
||
250,000 |
|
Bear Stearns Mortgage Securities, Inc., Series 1999-WF2, Class A2, CMO |
|
|
|
|
|
||
|
|
7.08%, 06/15/09 |
|
Aaa |
|
|
280,553 |
|
|
300,000 |
|
Citibank Credit Card Issuance Trust, Series 2000-Cl, CMO |
|
|
|
|
|
||
|
|
6.88%, 11/16/09 |
|
Aaa |
|
331,160 |
|
||
500,000 |
|
General Electric Capital Commercial Mortgage Corp., Series 2002-1A, Class A3 |
|
|
|
|
|
||
|
|
6.27%, 12/10/35 |
|
Aaa |
|
554,197 |
|
||
500,000 |
|
GS Mortgage Securities Corp. II, Series 1997-GL, Class A2D |
|
|
|
|
|
||
|
|
6.94%, 07/13/30 |
|
Aaa |
|
541,898 |
|
||
250,000 |
|
MBNA Master Credit Card Trust, Series 1995-C, Class A |
|
|
|
|
|
||
|
|
6.45%, 02/15/08 |
|
Aaa |
|
257,158 |
|
||
250,000 |
|
Morgan Stanley Dean Witter Capital I, Series 2002-TOP7, Class B, CMO |
|
|
|
|
|
||
|
|
6.08%, 01/15/39 |
|
Aa2 |
|
272,479 |
|
||
750,000 |
|
Morgan Stanley Dean Witter Capital I, Series 2003-T0P9, Class A2, CMO (f) |
|
|
|
|
|
||
|
|
4.74%, 11/13/36 |
|
AAA |
|
759,152 |
|
||
57,585 |
|
Toyota Auto Receivables Owner Trust, Series 2002-B, Class A3 |
|
|
|
|
|
||
|
|
3.76%, 06/15/06 |
|
Aaa |
|
57,796 |
|
||
1,000,000 |
|
Union Acceptance Corp., Series 2000-B, Class B |
|
|
|
|
|
||
|
|
7.73%, 01/08/08 |
|
Aaa |
|
1,006,716 |
|
||
|
|
Total Asset-Backed and Mortgage-Backed Securities |
|
|
|
5,324,433 |
|
||
|
|
(Cost $5,665,864) |
|
|
|
|
|
||
|
|
|
|
|
|
|
|
||
Par Value |
|
|
|
Moodys Ratings |
|
Value |
|
||
FOREIGN GOVERNMENT OBLIGATIONS (i) - 2.8% |
|
|
|
|
|
||||
|
|
|
|
|
|
|
|
||
450,000 |
|
Province of British Columbia |
|
|
|
|
|
||
|
|
5.38%, 10/29/08 |
|
Aa2 |
|
481,537 |
|
||
550,000 |
|
Province of Manitoba |
|
|
|
|
|
||
|
|
4.25%, 11/20/06 |
|
Aa2 |
|
566,774 |
|
||
500,000 |
|
Province of Ontario |
|
|
|
|
|
||
|
|
2.63%, 12/15/05 |
|
Aa2 |
|
499,920 |
|
||
500,000 |
|
Province of Quebec |
|
|
|
|
|
||
|
|
6.13%, 01/22/11 |
|
A1 |
|
554,487 |
|
||
450,000 |
|
Province of Quebec |
|
|
|
|
|
||
|
|
7.00%, 01/30/07 |
|
A1 |
|
489,813 |
|
||
|
|
Total Foreign Government Obligations |
|
|
|
2,592,531 |
|
||
|
|
(Cost $2,469,059) |
|
|
|
|
|
||
|
|
|
|
|
|
|
|
||
Par Value |
|
|
|
Moodys Ratings |
|
Value |
|
||
FOREIGN BONDS (i) - 10.8% |
|
|
|
|
|
||||
|
|
|
|
|
|
|
|
||
500,000 |
|
Alberta Energy Co., Ltd. |
|
|
|
|
|
||
|
|
7.38%, 11/01/31 |
|
Baa1 |
|
592,108 |
|
||
700,000 |
|
British Sky Broadcasting Group, Plc |
|
|
|
|
|
||
|
|
7.30%, 10/15/06 |
|
Baa3 |
|
753,418 |
|
||
450,000 |
|
British Telecom, Plc (g) |
|
|
|
|
|
||
|
|
8.38%, 12/15/10 |
|
Baa1 |
|
542,635 |
|
||
8
$ |
400,000 |
|
Calpine Canada Energy Finance (a) |
|
|
|
|
|
|
|
|
8.50%, 05/01/08 |
|
Caa1 |
|
$ |
276,000 |
|
|
355,000 |
|
Canadian Pacific Ltd. |
|
|
|
|
|
||
|
|
9.45%, 08/01/21 |
|
Baa2 |
|
498,198 |
|
||
450,000 |
|
Canadian Pacific Railroad |
|
|
|
|
|
||
|
|
5.75%, 03/15/33 |
|
Baa2 |
|
444,334 |
|
||
450,000 |
|
Diageo Capital, Plc |
|
|
|
|
|
||
|
|
3.50%, 11/19/07 |
|
A2 |
|
451,018 |
|
||
890,000 |
|
Domtar, Inc. |
|
|
|
|
|
||
|
|
5.38%, 12/01/13 |
|
Baa3 |
|
882,075 |
|
||
100,000 |
|
KFW International Finance, Inc. |
|
|
|
|
|
||
|
|
4.25%, 04/18/05 |
|
Aaa |
|
101,092 |
|
||
450,000 |
|
Norske Skog Canada, Ltd. (e) |
|
|
|
|
|
||
|
|
7.38%, 03/01/14 |
|
Ba3 |
|
470,250 |
|
||
790,000 |
|
Royal Bank of Scotland Group, Plc |
|
|
|
|
|
||
|
|
4.70%, 07/03/18 |
|
Aa3 |
|
743,317 |
|
||
1,000,000 |
|
St. George Bank, Ltd., Yankee Debenture (e) |
|
|
|
|
|
||
|
|
7.15%, 10/15/05 |
|
A3 |
|
1,038,566 |
|
||
435,000 |
|
Stora Enso Oyj |
|
|
|
|
|
||
|
|
7.38%, 05/15/11 |
|
Baa1 |
|
502,656 |
|
||
500,000 |
|
Telus Corp. |
|
|
|
|
|
||
|
|
7.50%, 06/01/07 |
|
Baa3 |
|
548,278 |
|
||
460,000 |
|
Tembec Industries, Inc. |
|
|
|
|
|
||
|
|
8.50%, 02/01/11 |
|
Ba3 |
|
480,700 |
|
||
435,000 |
|
Tyco International Group S.A. (e) |
|
|
|
|
|
||
|
|
6.00%, 11/15/13 |
|
Baa3 |
|
469,469 |
|
||
490,000 |
|
Tyco International Group S.A. |
|
|
|
|
|
||
|
|
6.38%, 10/15/11 |
|
Baa3 |
|
541,901 |
|
||
500,000 |
|
Vodafone Group, Plc |
|
|
|
|
|
||
|
|
6.25%, 11/30/32 |
|
A2 |
|
530,195 |
|
||
|
|
Total Foreign Bonds |
|
|
|
9,866,210 |
|
||
|
|
(Cost $9,522,712) |
|
|
|
|
|
||
|
|
|
|
|
|
|
|
||
Shares |
|
|
|
Moodys Ratings |
|
Value |
|
||
INVESTMENT COMPANY - 0.0 % |
|
|
|
|
|
||||
|
|
|
|
|
|
|
|
||
10,792 |
|
Marshall Money Market Fund |
|
NR |
|
10,792 |
|
||
|
|
Total Investment Company |
|
|
|
10,792 |
|
||
|
|
(Cost $10,792) |
|
|
|
|
|
||
|
|
|
|
|
|
|
|
||
Total Investments - 98.5% |
|
|
|
89,703,255 |
|
||||
(Cost $87,150,074) |
|
|
|
|
|
||||
Net Other Assets and Liabilities - 1.5% |
|
|
|
1,358,129 |
|
||||
Total Net Assets - 100.0% |
|
|
|
$ |
91,061,384 |
|
(a) |
All or a portion of this security is out on loan at September 30, 2004; the value of the securities loaned amounted to $3,051,504. The value of collateral amounted to $3,179,830 which consisted of cash equivalents. |
|
|
(b) |
Variable rate security. The rate shown reflects rate in effect at period end. |
|
|
(c) |
Security is valued by management. |
9
(d) |
Restricted Security - Represents ownership in a private placement investment which has not been registered with the Securities and Exchange Commission under the Securities Act of 1933. At September 30, 2004, these securities amounted to $233,123 or 0.3% of net assets. |
|
|
(e) |
Security exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions exempt from registration, to qualified institutional buyers. At September 30, 2004, these securities amounted to $4,233,380 or 4.6% of net assets. |
|
|
(f) |
Standard & Poors (S&P) credit ratings are used in the absence of a rating by Moodys Investors, Inc. |
|
|
(g) |
Debt obligation initially issued in coupon form which converts to a higher coupon form at a specified date and rate. The rate shown is the rate at period end. The maturity date shown is the ultimate maturity. |
|
|
(h) |
Pass Through Certificates. |
|
|
(i) |
U.S. currency denominated. |
|
|
CMO |
Collateralized Mortgage Obligation |
|
|
MTN |
Medium Term Note |
|
|
NR |
Not Rated |
|
|
10
ALLMERICA SECURITIES TRUST
FEDERAL INCOME TAX INFORMATION
At September 30, 2004, the aggregate cost of investment securities for tax purposes was $87,150,074. Net unrealized appreciation (depreciation) aggregated $2,553,181 of which $3,461,893 related to appreciated investment securities and $(908,712) related to depreciated investment securities.
The composition of ratings of both long-term and short-term debt holdings as a percentage of total value of investments in securities is as follows:
Moodys Rating |
|
|
|
S&P Ratings |
|
||||
|
|
|
|
|
|
|
|
||
Aaa |
|
6.6 |
% |
|
|
AAA |
|
0.8 |
% |
Aa |
|
21.1 |
% |
|
|
BB |
|
0.8 |
% |
A |
|
22.3 |
% |
|
|
|
|
|
|
Baa |
|
34.9 |
% |
|
|
|
|
1.6 |
% |
Ba |
|
9.2 |
% |
|
|
|
|
|
|
Caa |
|
1.1 |
% |
|
|
|
|
|
|
NR (Not Rated) |
|
3.2 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
98.4 |
% |
|
|
|
|
|
|
SECURITY VALUATION
Corporate debt securities and debt securities of the U.S. Government and its agencies (other than short-term investments) are valued using an independent pricing service approved by the Board of Trustees which utilizes market quotations and transactions, quotations from dealers and various relationships among securities in determining value. If not valued by a pricing service, such securities are valued at prices obtained from independent brokers. Investments with prices that cannot be readily obtained are carried at fair value as determined in good faith under consistently applied procedures established by and under the supervision of the Board of Trustees. Short-term investments that mature in 60 days or less are valued at amortized cost. This method involves valuing a portfolio security initially at its cost and thereafter assuming a constant amortization to maturity of any discount or premium.
At September 30, 2004, one security with a value of $233,123 or 0.3% of net assets was valued by management under the direction of the Board of Trustees.
RESTRICTED SECURITIES
At September 30, 2004, the Trust owned the following restricted security constituting 0.3% of net assets, which may not be publicly sold without registration under the Securities Act of 1933. The Trust would bear the registration costs in connection with the disposition of restricted securities held in the portfolio. The Trust does not have the right to demand that such securities be registered. The value of restricted securities is determined by valuations supplied by a pricing service or brokers or, if not available, in good faith by or at the direction of the Board of Trustees. Additional information on the restricted security is as follows:
Issuer |
|
Date |
|
Par |
|
Cost at |
|
Value |
|
|||
Jones (Edward D.) & Co., LP |
|
05/06/94 |
|
$ |
222,011 |
|
$ |
222,011 |
|
$ |
233,123 |
|
11
Item 2. |
Controls and Procedures. |
|
|
|
|
|
(a) |
The registrants principal executive officer and principal financial officer have concluded, based on their evaluation of the effectiveness of the design and operation of the registrants disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the design and operation of such procedures are generally effective to provide reasonable assurance that information required to be disclosed by the registrant in this report is recorded, processed, summarized and reported within the time periods specified in the Commissions rules and forms. |
|
|
|
|
(b) |
Changes to internal control over financial reporting: Not Applicable |
|
|
|
Item 3. |
Exhibits. |
|
|
|
|
|
Separate certifications by the registrants principal executive officer and principal financial officer, pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 and as required by Rule 30a-2(a) under the Investment Company Act of 1940, are attached hereto as Exhibit 99.CERT. |
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.
Allmerica Securities Trust
By: |
/s/ John P. Kavanaugh |
|
|
John P. Kavanaugh |
|
|
President and Chairman |
Date: November 16, 2004
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: |
/s/ John P. Kavanaugh |
|
|
John P. Kavanaugh |
|
|
President and Chairman |
|
|
(Principal Executive Officer) |
Date: November 16, 2004
By: |
/s/ Paul T. Kane |
|
|
Paul T. Kane |
|
|
Assistant Vice President and Treasurer |
|
|
(Principal Financial Officer) |
Date: November 16, 2004