UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

 

 

 

 

 

 

 

FORM N-Q

 

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number

811-02338

 

Allmerica Securities Trust

(Name of Registrant)

440 Lincoln Street
Worcester, Massachusetts

01653

(Address of Principal Executive Offices)

(Zip code)

George M. Boyd, Trust Secretary
Allmerica Financial
440 Lincoln Street
Worcester, MA  01653

(Name and Address of Agent for Service)

 

 

 

Registrant’s telephone number, including area code:

(508) 855-1000

 

 

Date of fiscal year end:

December 31

 

 

Date of reporting period:

September 30, 2004

 

 



 

Item 1.  Schedule of Investments.

 



ALLMERICA SECURITIES TRUST

PORTFOLIO OF INVESTMENTS - September 30, 2004 (Unaudited)

 

Par Value

 

 

 

Moody’s Ratings

 

Value

 

U.S. GOVERNMENT AGENCY MORTGAGE-BACKED OBLIGATIONS (h) - 0.3%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Freddie Mac - 0.3%

 

 

 

 

 

$

101,814

 

5.00%, 05/15/21

 

NR

 

$

103,611

 

155,165

 

6.00%, 10/15/07

 

NR

 

160,049

 

 

 

 

 

 

 

263,660

 

 

 

 

 

 

 

 

 

 

 

Total U.S. Government Agency Mortgage-Backed Obligations

 

 

 

263,660

 

 

 

(Cost $267,716)

 

 

 

 

 

 

 

 

 

 

 

 

 

Par Value

 

 

 

Moody’s Ratings

 

Value

 

U.S. GOVERNMENT OBLIGATIONS - 2.6%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury Bond - 2.5%

 

 

 

 

 

1,390,000

 

5.38%, 02/15/31 (a)

 

NR

 

1,489,038

 

225,000

 

6.00%, 02/15/26 (a)

 

NR

 

256,526

 

450,000

 

6.25%, 05/15/30

 

NR

 

534,094

 

 

 

 

 

 

 

2,279,658

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury Note - 0.1%

 

 

 

 

 

110,000

 

2.25%, 02/15/07

 

NR

 

108,827

 

 

 

 

 

 

 

 

 

 

 

Total U.S. Government Obligations

 

 

 

2,388,485

 

 

 

(Cost $2,247,046)

 

 

 

 

 

 

 

 

 

 

 

 

 

Par Value

 

 

 

Moody’s Ratings

 

Value

 

CORPORATE NOTES AND BONDS - 76.1%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Auto Manufacturers - 1.3%

 

 

 

 

 

500,000

 

DaimlerChrysler North America Holding Corp.

 

 

 

 

 

 

 

8.50%, 01/18/31

 

A3

 

611,203

 

500,000

 

General Motors Corp. (a)

 

 

 

 

 

 

 

7.20%, 01/15/11

 

Baa1

 

529,534

 

 

 

 

 

 

 

1,140,737

 

 

 

 

 

 

 

 

 

 

 

Auto Parts & Equipment - 0.6%

 

 

 

 

 

460,000

 

Lear Corp.

 

 

 

 

 

 

 

8.11%, 05/15/09

 

Baa3

 

531,114

 

 

 

 

 

 

 

 

 

 

 

Banks - 10.8%

 

 

 

 

 

880,000

 

Bank of America Corp.

 

 

 

 

 

 

 

4.88%, 09/15/12

 

Aa2

 

897,593

 

500,000

 

Bank of America Corp.

 

 

 

 

 

 

 

5.25%, 12/01/15

 

Aa3

 

508,056

 

450,000

 

Bank of New York Co., Inc.

 

 

 

 

 

 

 

3.75%, 02/15/08

 

Aa3

 

454,805

 

1,000,000

 

Bank of New York Co., Inc.

 

 

 

 

 

 

 

6.38%, 04/01/12

 

A1

 

1,105,705

 

450,000

 

BB&T Corp. (b)

 

 

 

 

 

 

 

6.38%, 06/30/05

 

A2

 

462,290

 

655,000

 

Fifth Third Bank

 

 

 

 

 

 

 

4.50%, 06/01/18

 

Aa3

 

616,088

 

 

1



 

$

500,000

 

Firstar Corp.

 

 

 

 

 

 

 

7.13%, 12/01/09

 

Aa3

 

$

574,503

 

450,000

 

HSBC Bank USA, Inc.

 

 

 

 

 

 

 

4.63%, 04/01/14

 

A1

 

441,196

 

450,000

 

Marshall & Ilsley Corp.

 

 

 

 

 

 

 

4.38%, 08/01/09

 

A1

 

458,596

 

420,000

 

National City Bank of Indiana

 

 

 

 

 

 

 

4.88%, 07/20/07

 

Aa3

 

436,455

 

250,000

 

Northern Trust Co.

 

 

 

 

 

 

 

6.65%, 11/09/04

 

Aa3

 

251,117

 

350,000

 

PNC Funding Corp.

 

 

 

 

 

 

 

6.13%, 02/15/09

 

A3

 

379,037

 

200,000

 

Suntrust Banks, Inc.

 

 

 

 

 

 

 

6.38%, 04/01/11

 

Aa3

 

222,984

 

125,000

 

Suntrust Banks, Inc.

 

 

 

 

 

 

 

7.75%, 05/01/10

 

A1

 

146,676

 

500,000

 

U.S. Bancorp, MTN

 

 

 

 

 

 

 

5.10%, 07/15/07

 

Aa3

 

522,899

 

455,000

 

US Bank National Cincinnati

 

 

 

 

 

 

 

6.50%, 02/01/08

 

Aa3

 

496,507

 

475,000

 

Wachovia Bank N.A.

 

 

 

 

 

 

 

4.85%, 07/30/07

 

Aa2

 

494,914

 

450,000

 

Wachovia Corp.

 

 

 

 

 

 

 

4.95%, 11/01/06

 

Aa3

 

467,375

 

450,000

 

Wells Fargo & Co.

 

 

 

 

 

 

 

5.13%, 09/01/12

 

Aa2

 

462,520

 

440,000

 

Zions Bancorporation

 

 

 

 

 

 

 

5.65%, 05/15/14

 

Baa1

 

456,240

 

 

 

 

 

 

 

9,855,556

 

 

 

 

 

 

 

 

 

 

 

Beverages - 1.1%

 

 

 

 

 

450,000

 

Anheuser-Busch Cos., Inc.

 

 

 

 

 

 

 

4.63%, 02/01/15

 

A1

 

445,786

 

500,000

 

Bottling Group LLC

 

 

 

 

 

 

 

4.63%, 11/15/12

 

Aa3

 

505,202

 

 

 

 

 

 

 

950,988

 

 

 

 

 

 

 

 

 

 

 

Chemicals - 0.8%

 

 

 

 

 

200,000

 

Du Pont (E.I.) De Nemours and Co.

 

 

 

 

 

 

 

8.25%, 09/15/06

 

Aa3

 

219,671

 

500,000

 

Praxair, Inc.

 

 

 

 

 

 

 

6.63%, 10/15/07

 

A3

 

546,143

 

 

 

 

 

 

 

765,814

 

 

 

 

 

 

 

 

 

 

 

Cosmetics & Personal Care - 2.3%

 

 

 

 

 

500,000

 

Kimberly-Clark Corp.

 

 

 

 

 

 

 

7.10%, 08/01/07

 

Aa2

 

554,618

 

300,000

 

Procter & Gamble Co.

 

 

 

 

 

 

 

4.75%, 06/15/07

 

Aa3

 

312,516

 

1,000,000

 

Procter & Gamble Co.

 

 

 

 

 

 

 

8.50%, 08/10/09

 

Aa3

 

1,200,450

 

 

 

 

 

 

 

2,067,584

 

 

2



 

 

 

Diversified Financial Services - 13.9%

 

 

 

 

 

$

500,000

 

American Express Co.

 

 

 

 

 

 

 

3.75%, 11/20/07

 

A1

 

$

505,135

 

580,000

 

Bear Stearns Cos., Inc.

 

 

 

 

 

 

 

4.00%, 01/31/08

 

A1

 

587,962

 

725,000

 

Capital One Bank

 

 

 

 

 

 

 

4.88%, 05/15/08

 

Baa2

 

750,908

 

920,000

 

Capital One Bank

 

 

 

 

 

 

 

5.75%, 09/15/10

 

Baa2

 

980,778

 

280,000

 

CIT Group, Inc., MTN

 

 

 

 

 

 

 

5.13%, 09/30/14

 

A2

 

279,666

 

500,000

 

Citifinancial

 

 

 

 

 

 

 

6.75%, 07/01/07

 

Aa1

 

543,842

 

460,000

 

Ford Motor Credit Co.

 

 

 

 

 

 

 

6.50%, 01/25/07

 

A3

 

487,223

 

400,000

 

Ford Motor Credit Co.

 

 

 

 

 

 

 

6.88%, 02/01/06

 

A3

 

418,569

 

825,000

 

Ford Motor Credit Co.

 

 

 

 

 

 

 

7.25%, 10/25/11

 

A3

 

892,763

 

10,000

 

Ford Motor Credit Co.

 

 

 

 

 

 

 

7.38%, 10/28/09

 

A3

 

10,953

 

500,000

 

General Electric Capital Corp.

 

 

 

 

 

 

 

8.75%, 05/21/07

 

Aaa

 

570,499

 

500,000

 

General Electric Capital Corp., MTN

 

 

 

 

 

 

 

4.25%, 01/15/08

 

Aaa

 

513,047

 

380,000

 

General Motors Acceptance Corp., MTN (b)

 

 

 

 

 

 

 

2.88%, 10/20/05

 

A3

 

382,986

 

450,000

 

Goldman Sachs Group, Inc.

 

 

 

 

 

 

 

5.70%, 09/01/12

 

Aa3

 

475,505

 

500,000

 

Household Finance Corp.

 

 

 

 

 

 

 

8.00%, 07/15/10

 

A1

 

590,990

 

425,000

 

J. Paul Getty Trust

 

 

 

 

 

 

 

5.88%, 10/01/33

 

Aaa

 

439,172

 

222,011

 

Jones (Edward D.) & Co., LP (c) (d)

 

 

 

 

 

 

 

7.95%, 04/15/06

 

NR

 

233,123

 

500,000

 

Lehman Brothers Holdings, Inc.

 

 

 

 

 

 

 

4.00%, 01/22/08

 

A1

 

507,891

 

605,000

 

MBNA Corp., MTN

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

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

 

Harrah’s 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

 

 

 

Moody’s 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

 

 

 

Moody’s 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

 

 

 

Moody’s 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

 

 

 

Moody’s 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 & Poor’s (S&P) credit ratings are used in the absence of a rating by Moody’s 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:

 

Moody’s 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
Acquisition

 

Par
Amount

 

Cost at
Acquisition

 

Value

 

Jones (Edward D.) & Co., LP

 

05/06/94

 

$

222,011

 

$

222,011

 

$

233,123

 

 

11



 

Item 2.

Controls and Procedures.

 

 

 

(a)

The registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the effectiveness of the design and operation of the registrant’s 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 Commission’s rules and forms.

 

 

 

(b)

Changes to internal control over financial reporting: Not Applicable

 

 

Item 3.

Exhibits.

 

 

 

Separate certifications by the registrant’s 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