===AST===
May 2005
-----------------------------------------------------------
ALLMERICA SECURITIES TRUST FACTS
At March 31, 2005
Market Value $9.11
Net Asset Value $10.328
Total Net Assets (000's) $88,739
Shares Outstanding (000's) 8,592
Net Investment Income Per Share* $0.12
Increase/Decrease in
Per Share Value Resulting
from Investment Operations* $(0.13)
TOTAL RETURNS AT 3/31/05
Allmerica Securities Trust**
Three Months (1.06)%
Twelve Months 1.05%
Lehman Brothers U.S. Credit Index
Three Months (1.05)%
Twelve Months 0.84%
* Three months ended March 31, 2005
** Total Returns on Net Asset Value
-----------------------------------------------------------
The Allmerica Securities Trust returned (1.06)% for the first quarter of 2005,
narrowly underperforming its benchmark, the Lehman Brothers U.S. Credit Index*,
which returned (1.05)%. The dividend paid for the period was $0.135 per share.
The first quarter of 2005 was disappointing for both equity and fixed income
investors, as negative total returns were experienced by both markets. Oil
prices, inflation, real estate and the Federal Reserve Board (Fed) may all have
played a role in the outcome. The Fed continued its tightening campaign during
the quarter, raising the federal funds rate twice, to 2.75%. Rapidly escalating
commodity prices, punctuated by oil, caused many analysts to reassess where they
thought interest rates would end the year. Such a development would normally be
met by aggressive Fed tightening to prevent widespread inflation pressures.
However, the real estate market, which many have called a bubble waiting to
explode, tempered any such action. So much of the average American family's net
worth is tied to the value of their home that the state of the real estate
market may play an unusually large role in shaping consumer confidence and
spending patterns. Since the Fed wants to avoid a disastrous downturn in real
estate like the one experienced in Japan over the last decade, the Investment
Manager thinks that it may tolerate slightly higher inflation and raise interest
rates at a slower pace than might otherwise be the case.
The dramatic announcement of the large earnings miss at General Motors (GM) and
the subsequent credit downgrade by the rating agencies added to the negative
sentiment in the corporate sector. Spreads on GM bonds widened dramatically
after the news, casting a pall over the entire sector. Early in the quarter, the
Investment Manager sold the Trust's GM holdings, replacing them with General
Motors Acceptance Corporation (GMAC), which represents only one-half percent of
the total portfolio. Based on the widening of spreads in reaction to the GM
news, the Investment Manager added additional Daimler-Chrysler paper to the
portfolio, as well as other names which may provide strong income and excess
total return due to improving credit quality.
During the quarter, approximately 90% of the portfolio was invested in the
corporate sector. Within this sector, the Trust maintained an overweight to
below-investment-grade
----------------------------------------------
U.S. Treasury Yield Curves
Bond Equivalent
Yield Percentage
MATURITY 9/30/2004 3/31/2005
----------------------------------------------
3 Mo. 1.700 2.766
6 Mo. 1.986 3.120
2 Yr. 2.605 3.775
3 Yr. 2.852 3.919
5 Yr. 3.371 4.165
10 Yr. 4.119 4.481
30 Yr. 4.892 4.755
----------------------------------------------
Continued on back page
Allmerica Securities Trust is a Massachusetts Business Trust under an Agreement
and Declaration of Trust dated February 26, 1986 as amended and on file with the
Secretary of the Commonwealth of Massachusetts. This document is prepared by the
Trustees or Officers as such and not individually, and no obligation of the
Trust shall be binding upon any of the Trustees, Officers or Shareholders, but
shall only bind the assets and property of the Trust.
--------------------------------------------------------------------------------
ALLMERICA SECURITIES TRUST
--------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, MARCH 31, 2005 (UNAUDITED)
MOODY'S
PAR VALUE RATINGS VALUE
--------- ------- -----
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED OBLIGATIONS (h) - 0.2%
FREDDIE MAC - 0.2%
$ 73,082 5.00%, 05/15/21 NR $ 73,565
131,477 6.00%, 10/15/07 NR 134,092
-------------
207,657
-------------
TOTAL U.S. GOVERNMENT AGENCY
MORTGAGE-BACKED OBLIGATIONS 207,657
-------------
(Cost $213,473)
U.S. GOVERNMENT OBLIGATIONS - 1.1%
U.S. TREASURY BOND - 0.6%
500,000 5.38%, 02/15/31 (a) NR 544,941
-------------
U.S. TREASURY NOTE - 0.5%
375,000 5.00%, 08/15/11 (a) NR 389,590
-------------
TOTAL U.S. GOVERNMENT OBLIGATIONS 934,531
-------------
(Cost $880,260)
CORPORATE NOTES AND BONDS - 79.6%
AUTO MANUFACTURERS - 1.8%
500,000 DaimlerChrysler North America Holding Corp.
7.30%, 01/15/12 A3 545,176
500,000 DaimlerChrysler North America Holding Corp.
8.50%, 01/18/31 A3 603,326
500,000 General Motors Acceptance Corp.
7.00%, 02/01/12 Baa1 451,658
-------------
1,600,160
-------------
BANKS - 10.3%
880,000 Bank of America Corp.
4.88%, 09/15/12 Aa2 878,237
500,000 Bank of America Corp.
5.25%, 12/01/15 Aa3 500,900
450,000 Bank of New York Co., Inc.
3.75%, 02/15/08 Aa3 442,220
1,000,000 Bank of New York Co., Inc.
6.38%, 04/01/12 A1 1,070,565
450,000 BB&T Corp. (b)
6.38%, 06/30/05 A2 453,455
655,000 Fifth Third Bank
4.50%, 06/01/18 Aa3 602,502
500,000 Firstar Bank
7.13%, 12/01/09 Aa2 551,661
450,000 HSBC Bank USA, Inc.
4.63%, 04/01/14 Aa3 434,416
450,000 Marshall & Ilsley Corp.
4.38%, 08/01/09 A1 445,350
420,000 National City Bank of Indiana
4.88%, 07/20/07 Aa3 426,274
350,000 PNC Funding Corp.
6.13%, 02/15/09 A3 366,427
125,000 Suntrust Banks, Inc.
7.75%, 05/01/10 A1 141,975
500,000 U.S. Bancorp, MTN
5.10%, 07/15/07 Aa2 509,890
455,000 US Bank National Cincinnati
6.50%, 02/01/08 Aa2 479,394
475,000 Wachovia Bank N.A.
4.85%, 07/30/07 Aa2 483,137
450,000 Wachovia Corp.
4.95%, 11/01/06 Aa3 455,608
450,000 Wells Fargo & Co.
5.13%, 09/01/12 Aa2 455,956
440,000 Zions Bancorporation
5.65%, 05/15/14 Baa1 446,624
-------------
9,144,591
-------------
BEVERAGES - 1.1%
450,000 Anheuser-Busch Cos., Inc.
4.63%, 02/01/15 A1 436,320
500,000 Bottling Group LLC
4.63%, 11/15/12 Aa3 491,119
-------------
927,439
-------------
CHEMICALS - 0.8%
$ 200,000 Du Pont (E.I.) De Nemours and Co.
8.25%, 09/15/06 Aa3 $ 211,378
500,000 Praxair, Inc.
6.63%, 10/15/07 A3 523,388
-------------
734,766
-------------
COSMETICS & PERSONAL CARE - 2.3%
500,000 Kimberly-Clark Corp.
7.10%, 08/01/07 Aa2 532,975
300,000 Procter & Gamble Co.
4.75%, 06/15/07 Aa3 304,153
1,000,000 Procter & Gamble Co.
8.50%, 08/10/09 Aa3 1,157,852
-------------
1,994,980
-------------
DIVERSIFIED FINANCIAL SERVICES - 14.4%
500,000 American Express Co.
3.75%, 11/20/07 A1 492,355
580,000 Bear Stearns Cos., Inc.
4.00%, 01/31/08 A1 572,511
725,000 Capital One Bank
4.88%, 05/15/08 Baa2 730,212
900,000 CIT Group, Inc., MTN
5.13%, 09/30/14 A2 888,363
500,000 Citifinancial
6.75%, 07/01/07 Aa1 526,767
460,000 Ford Motor Credit Co.
6.50%, 01/25/07 A3 464,666
400,000 Ford Motor Credit Co.
6.88%, 02/01/06 A3 405,439
825,000 Ford Motor Credit Co.
7.25%, 10/25/11 A3 814,132
500,000 General Electric Capital Corp.
8.75%, 05/21/07 Aaa 545,734
500,000 General Electric Capital Corp., MTN
4.25%, 01/15/08 Aaa 498,134
350,000 Goldman Sachs Group, Inc.
3.88%, 01/15/09 Aa3 340,854
450,000 Goldman Sachs Group, Inc.
5.70%, 09/01/12 Aa3 463,275
500,000 Household Finance Corp.
8.00%, 07/15/10 A1 571,984
425,000 J. Paul Getty Trust
5.88%, 10/01/33 Aaa 443,089
222,011 Jones (Edward D.) & Co., LP (c) (d)
7.95%, 04/15/06 NR 231,018
500,000 Lehman Brothers Holdings, Inc.
4.00%, 01/22/08 A1 493,509
605,000 MBNA Corp., MTN
4.63%, 08/03/09 Baa1 600,084
350,000 MBNA Corp., MTN
6.25%, 01/17/07 Baa2 361,388
85,000 MBNA Corp., MTN
7.50%, 03/15/12 Baa2 95,846
1,630,000 Morgan Stanley
4.75%, 04/01/14 A1 1,551,954
495,000 Morgan Stanley
6.60%, 04/01/12 Aa3 540,330
550,000 Pitney Bowes Credit Corp.
8.55%, 09/15/09 Aa3 631,148
500,000 Toyota Motor Credit Corp.
5.50%, 12/15/08 Aaa 517,541
-------------
12,780,333
-------------
ELECTRIC - 5.6%
550,000 AmerenEnergy Generating
7.75%, 11/01/05 A3 563,018
505,000 Centerpoint Energy, Inc. (a)
5.88%, 06/01/08 Ba2 520,521
375,000 Consolidated Edison Co. of New York
4.70%, 06/15/09 A1 377,017
425,000 Detroit Edison Co.
6.13%, 10/01/10 A3 451,973
563,466 East Coast Power LLC
7.07%, 03/31/12 Baa3 588,771
250,000 Entergy Gulf States, Inc.
3.60%, 06/01/08 Baa3 242,609
450,000 FirstEnergy Corp.
6.45%, 11/15/11 Baa3 474,770
500,000 FirstEnergy Corp.
7.38%, 11/15/31 Baa3 566,351
--------------------------------------------------------------------------------
ALLMERICA SECURITIES TRUST
--------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, MARCH 31, 2005 (UNAUDITED) CONTINUED
MOODY'S
PAR VALUE RATINGS VALUE
--------- ------- -----
$ 225,000 Florida Power & Light
6.88%, 12/01/05 Aa3 $ 229,840
450,000 Pacific Gas & Electric Co.
6.05%, 03/01/34 Baa1 462,067
450,000 TXU Energy Co.
7.00%, 03/15/13 Baa2 492,470
-------------
4,969,407
-------------
ENVIRONMENTAL CONTROL - 1.1%
450,000 Allied Waste North America (a)
6.50%, 11/15/10 B2 436,500
500,000 Allied Waste North America
8.50%, 12/01/08 B2 512,500
-------------
949,000
-------------
FOOD - 4.9%
1,500,000 Delhaize America, Inc.
8.13%, 04/15/11 Ba1 1,667,282
460,000 General Mills, Inc.
6.00%, 02/15/12 Baa2 489,146
470,000 Kroger Co.
5.50%, 02/01/13 Baa2 476,428
350,000 Kroger Co.
6.38%, 03/01/08 Baa2 365,279
450,000 Safeway, Inc.
6.50%, 03/01/11 Baa2 476,892
830,000 Unilever Capital Corp.
5.90%, 11/15/32 A1 868,809
-------------
4,343,836
-------------
FOREST PRODUCTS & PAPER - 1.7%
1,000,000 Georgia-Pacific Group
7.25%, 06/01/28 Ba3 1,030,000
500,000 International Paper Co.
5.50%, 01/15/14 Baa2 508,658
-------------
1,538,658
-------------
HEALTH CARE-PRODUCTS - 0.2%
120,000 Johnson & Johnson
6.73%, 11/15/23 Aaa 140,767
-------------
HEALTH CARE-SERVICES - 0.4%
300,000 UnitedHealth Group, Inc.
7.50%, 11/15/05 A2 305,971
-------------
HOME BUILDERS - 1.7%
920,000 D.R. Horton, Inc.
5.00%, 01/15/09 Ba1 895,996
500,000 Pulte Homes, Inc.
8.13%, 03/01/11 Baa3 563,795
-------------
1,459,791
-------------
LODGING - 1.0%
500,000 Harrah's Operating Co., Inc.
7.13%, 06/01/07 Baa3 525,373
350,000 Park Place Entertainment Corp.
8.13%, 05/15/11 Ba2 387,625
-------------
912,998
-------------
MEDIA - 5.3%
550,000 AOL Time Warner, Inc.
6.88%, 05/01/12 Baa1 600,646
270,000 Belo Corp.
8.00%, 11/01/08 Baa3 298,053
450,000 Continental Cablevision, Inc.
8.30%, 05/15/06 Baa3 467,586
505,000 Cox Communications, Inc.
7.13%, 10/01/12 Baa3 550,750
700,000 Echostar DBS Corp.
5.75%, 10/01/08 Ba3 689,500
500,000 News America Holdings, Inc.
7.38%, 10/17/08 Baa3 540,348
300,000 Time Warner Cos., Inc.
7.57%, 02/01/24 Baa1 347,226
450,000 Time Warner Entertainment Co.
7.25%, 09/01/08 Baa1 483,925
180,000 Viacom, Inc.
5.50%, 05/15/33 A3 161,779
450,000 Viacom, Inc.
7.88%, 07/30/30 A3 534,524
-------------
4,674,337
-------------
METAL FABRICATE & HARDWARE - 1.1%
$ 1,000,000 Precision Castparts Corp.
5.60%, 12/15/13 Baa3 $ 1,004,690
-------------
OFFICE & BUSINESS EQUIPMENT - 0.8%
750,000 Pitney Bowes, Inc.
4.75%, 05/15/18 Aa3 714,738
-------------
OIL & GAS - 7.2%
900,000 Atmos Energy Corp.
4.00%, 10/15/09 Baa3 866,533
375,000 Burlington Resources Finance Co.
7.40%, 12/01/31 Baa1 456,459
580,000 Conoco Funding Co.
5.45%, 10/15/06 A3 592,395
500,000 Conoco Funding Co.
7.25%, 10/15/31 A3 614,876
450,000 Devon Financing Corp.
6.88%, 09/30/11 Baa2 495,463
450,000 Devon Financing Corp.
7.88%, 09/30/31 Baa2 560,536
920,000 Pioneer Natural Resources Co.
5.88%, 07/15/16 Baa3 940,853
600,000 Texaco Capital, Inc.
8.25%, 10/01/06 Aa3 636,146
780,000 Valero Energy Corp. (a)
4.75%, 06/15/13 Baa3 760,190
400,000 XTO Energy, Inc.
7.50%, 04/15/12 Baa3 458,203
-------------
6,381,654
-------------
PACKAGING & CONTAINERS - 4.0%
750,000 Illinois Tool Works, Inc.
6.88%, 11/15/08 Aa3 811,286
1,750,000 Packaging Corp. of America
5.75%, 08/01/13 Ba1 1,732,764
970,000 Sealed Air Corp. (e)
5.63%, 07/15/13 Baa3 981,099
-------------
3,525,149
-------------
PHARMACEUTICALS - 3.1%
700,000 Bergen Brunswig Corp. (f)
7.25%, 06/01/05 BB 704,375
750,000 Lilly (Eli) & Co.
7.13%, 06/01/25 Aa3 905,918
710,000 Medco Health Solutions, Inc.
7.25%, 08/15/13 Ba1 784,803
330,000 Zeneca Wilmington
7.00%, 11/15/23 Aa2 391,048
-------------
2,786,144
-------------
PIPELINES - 1.1%
500,000 Duke Energy Field Services Corp.
7.50%, 08/16/05 Baa2 507,179
500,000 Magellan Midstream Partners
5.65%, 10/05/16 Ba1 497,898
-------------
1,005,077
-------------
RETAIL - 2.8%
595,000 Home Depot, Inc.
3.75%, 09/15/09 Aa3 576,260
500,000 J.C. Penney Co., Inc.
7.38%, 08/15/08 Ba2 507,500
900,000 J.C. Penney Co., Inc. (a)
7.95%, 04/01/17 Ba2 855,000
450,000 Wal-Mart Stores, Inc.
7.55%, 02/15/30 Aa2 579,514
-------------
2,518,274
-------------
SAVINGS & LOANS - 1.0%
455,000 Washington Mutual Bank FA
5.50%, 01/15/13 A3 464,328
450,000 Washington Mutual, Inc.
4.38%, 01/15/08 A3 448,265
-------------
912,593
-------------
--------------------------------------------------------------------------------
ALLMERICA SECURITIES TRUST
--------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, MARCH 31, 2005 (UNAUDITED) CONTINUED
MOODY'S
PAR VALUE RATINGS VALUE
--------- ------- -----
TELECOMMUNICATIONS - 3.1%
$ 500,000 BellSouth Corp.
6.88%, 10/15/31 A2 $ 556,562
500,000 Nextel Communications, Inc.
5.95%, 03/15/14 Ba3 497,500
400,000 SBC Communications, Inc.
5.10%, 09/15/14 A2 389,872
680,000 Sprint Capital Corp.
6.13%, 11/15/08 Baa3 710,743
120,000 Sprint Capital Corp.
6.88%, 11/15/28 Baa3 128,471
450,000 Verizon Florida, Inc.
6.13%, 01/15/13 A1 467,674
-------------
2,750,822
-------------
TRANSPORTATION - 2.8%
900,000 CSX Transportation, Inc.
6.30%, 03/15/12 Baa2 965,364
189,000 CSX Transportation, Inc.
9.75%, 06/15/20 Baa2 265,703
261,000 Norfolk Southern Corp.
9.75%, 06/15/20 Baa1 366,591
255,000 Union Pacific Corp.
5.38%, 06/01/33 Baa2 241,041
380,000 Union Pacific Corp.
6.50%, 04/15/12 Baa2 411,852
250,000 Union Pacific Corp.
6.63%, 02/01/08 Baa2 264,234
-------------
2,514,785
-------------
TOTAL CORPORATE NOTES AND BONDS 70,590,960
-------------
(Cost $70,080,215)
ASSET-BACKED AND MORTGAGE-BACKED SECURITIES (h) - 4.9%
1,000,000 American Airlines, Inc., Pass-Through Trust,
Series 1991 - C2
9.73%, 09/29/14 Caa2 702,610
780,000 Bear Stearns Commercial Mortgage Securities, Inc.,
Series 2002-PBW1, Class A2
4.72%, 11/11/35 Aaa 769,599
250,000 Bear Stearns Mortgage Securities, Inc.,
Series 1999-WF2, Class A2, CMO
7.08%, 07/15/31 Aaa 272,353
300,000 Citibank Credit Card Issuance Trust,
Series 2000-A3, CMO
6.88%, 11/16/09 Aaa 319,233
710,000 General Electric Capital Commercial Mortgage Corp.,
Series 2002-1A, Class A3, CMO
6.27%, 12/10/35 Aaa 765,062
500,000 GS Mortgage Securities Corp. II, Series 1997-GL,
Class A2D, CMO
6.94%, 07/13/30 Aaa 525,413
250,000 MBNA Master Credit Card Trust, Series
1995-C, Class A
6.45%, 02/15/08 Aaa 251,701
750,000 Morgan Stanley Dean Witter Capital I,
Series 2003-T0P9, Class A2, CMO (f)
4.74%, 11/13/36 AAA 739,694
-------------
TOTAL ASSET-BACKED AND
MORTGAGE-BACKED SECURITIES 4,345,665
-------------
(Cost $4,702,417)
FOREIGN GOVERNMENT OBLIGATIONS (i) - 2.3%
450,000 Province of British Columbia
5.38%, 10/29/08 Aa2 466,185
550,000 Province of Manitoba
4.25%, 11/20/06 Aa2 553,474
500,000 Province of Quebec
6.13%, 01/22/11 A1 535,330
450,000 Province of Quebec
7.00%, 01/30/07 A1 472,628
-------------
TOTAL FOREIGN GOVERNMENT OBLIGATIONS 2,027,617
-------------
(Cost $1,966,588)
FOREIGN BONDS (i) - 10.7%
500,000 Alberta Energy Co., Ltd.
7.38%, 11/01/31 Baa2 604,780
700,000 British Sky Broadcasting Group, Plc
7.30%, 10/15/06 Baa2 731,216
450,000 British Telecom, Plc (g)
8.13%, 12/15/10 Baa1 522,810
300,000 Calpine Canada Energy Finance (a)
8.50%, 05/01/08 Caa1 213,000
$ 355,000 Canadian Pacific Ltd.
9.45%, 08/01/21 Baa2 $ 503,968
450,000 Canadian Pacific Railroad
5.75%, 03/15/33 Baa2 459,717
450,000 Diageo Capital, Plc
3.50%, 11/19/07 A2 441,772
890,000 Domtar, Inc.
5.38%, 12/01/13 Baa3 838,691
450,000 Norske Skog Canada, Ltd.
7.38%, 03/01/14 Ba3 436,500
790,000 Royal Bank of Scotland Group, Plc
4.70%, 07/03/18 Aa3 743,764
1,000,000 St. George Bank, Ltd., Yankee Debenture (e)
7.15%, 10/15/05 A3 1,016,269
435,000 Stora Enso Oyj
7.38%, 05/15/11 Baa1 490,110
500,000 Telus Corp.
7.50%, 06/01/07 Baa3 532,212
460,000 Tembec Industries, Inc.
8.50%, 02/01/11 B2 435,850
490,000 Tyco International Group S.A.
6.38%, 10/15/11 Baa3 523,099
450,000 Tyco International Group S.A.
6.88%, 01/15/29 Baa3 504,406
500,000 Vodafone Group, Plc
6.25%, 11/30/32 A2 536,833
-------------
TOTAL FOREIGN BONDS 9,534,997
-------------
(Cost $9,362,460)
SHARES
------
INVESTMENT COMPANY - 0.0%
26,435 Marshall Money Market Fund NR 26,435
-------------
TOTAL INVESTMENT COMPANY 26,435
-------------
(Cost $26,435)
TOTAL INVESTMENTS - 98.8% 87,667,862
-------------
(Cost $87,231,848)
NET OTHER ASSETS AND LIABILITIES - 1.2% 1,071,378
-------------
TOTAL NET ASSETS - 100.0% $ 88,739,240
=============
(a) All or a portion of this security is out on loan at March 31, 2005; the
value of the securities loaned amounted to $3,463,752. The value of
collateral amounted to $3,543,748 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.
(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 March 31, 2005, these securities
amounted to $231,018 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 March 31, 2005, these securities
amounted to $1,997,368 or 2.3% 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 (Pay Through Certificate)
MTN Medium Term Note
NR Not Rated
--------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
MARCH 31, 2005 (UNAUDITED)
--------------------------------------------------------------------------------
ASSETS:
Investments:
Investments at cost ................................. $ 87,231,848
Net unrealized appreciation ......................... 436,014
------------
Total investments at value+ ....................... 87,667,862
Cash .................................................. 59,014
Short-term investments held as collateral
for securities loaned ................................ 3,615,900
Interest receivable ................................... 1,444,835
------------
Total Assets ...................................... 92,787,611
------------
LIABILITIES:
Payable for investments purchased ..................... 301,441
Collateral for securities loaned ...................... 3,615,900
Management fee payable ................................ 33,908
Trustees' fees and expenses payable ................... 6,097
Accrued expenses and other payables ................... 91,025
------------
Total Liabilities ................................. 4,048,371
------------
NET ASSETS ................................................. $ 88,739,240
============
NET ASSETS CONSIST OF:
Par Value ............................................. $ 8,592,306
Paid-in capital ....................................... 88,089,385
Distribution in excess of net investment income ....... (862,481)
Accumulated net realized loss ......................... (7,515,984)
Net unrealized appreciation ........................... 436,014
------------
TOTAL NET ASSETS ........................................... $ 88,739,240
============
SHARES OF BENEFICIAL INTEREST OUTSTANDING (10,000,000
AUTHORIZED SHARES WITH PAR VALUE OF $1.00) ............... 8,592,306
NET ASSET VALUE
Per share ............................................. $ 10.328
============
MARKET VALUE (CLOSING PRICE ON NEW YORK STOCK EXCHANGE)
Per share ............................................. $ 9.11
============
+ Total value of securities on loan ................. $ 3,463,752
============
--------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE THREE MONTHS ENDED MARCH 31, 2005 (UNAUDITED)
--------------------------------------------------------------------------------
INVESTMENT INCOME
Interest .............................................. $ 1,220,680
Securities lending income ............................. 1,915
------------
Total investment income ........................... 1,222,595
------------
EXPENSES
Management fees ....................................... 100,245
Custodian and Fund accounting fees .................... 19,224
Transfer agent fees ................................... 16,057
Legal fees ............................................ 1,724
Audit fees ............................................ 7,680
Trustees' fees and expenses ........................... 5,586
Reports to shareholders ............................... 10,383
New York Stock Exchange fees .......................... 6,159
Miscellaneous ......................................... 1,220
------------
Total expenses .................................... 168,278
------------
NET INVESTMENT INCOME ...................................... 1,054,317
------------
NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS:
Net realized loss on investments sold ................. (36,467)
Net change in unrealized depreciation of investments .. (2,108,623)
------------
NET REALIZED LOSS ON INVESTMENTS ........................... (2,145,090)
------------
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS ....... $ (1,090,773)
============
Continued from front page
securities, which helped performance on a trailing 12 month basis, but
detracted from performance for the period. The Investment Manager believes that
a dearth of issuance, continued heavy foreign demand and fundamentals that are
still supportive of valuations may enable the corporate sector to rebound during
the balance of the year. The remainder of the portfolio was invested primarily
in CMO securities, which helped performance.
The Investment Manager believes that monetary policy continues to be quite
stimulative and that the Fed has a long way to go just to achieve rate
neutrality. Absolute returns may not improve in the near term if the Fed
continues its 25-basis point tightening moves at each of its remaining meetings
this year. If growth slows meaningfully later in the year for reasons other than
rising energy prices, it is possible that the Fed may skip rate increases for a
meeting or two. The Investment Manager believes that the key to the outlook for
the remainder of the year may be oil prices, but is loath to predict their
ultimate direction.
------------------------------
Maturity Diversification
YEARS
-----
Under 3 22%
3-5 16%
6-10 37%
11-20 8%
21-Over 17%
------------------------------
* The Lehman Brothers U.S. Credit Index is an unmanaged index of all publicly
issued, fixed-rate, non-convertible investment grade corporate debt.
-------------------------------------------------------------------------------
MOODY'S QUALITY RATINGS*
Percentage of Trust's Total Investments
Aaa 6%
Aa 20%
A 24%
Baa 32%
Ba 13%
B 2%
Caa 1%
Not Rated 2%
* Standard & Poor's (S&P) credit ratings are used in the absence
of a rating by Moody's.
-------------------------------------------------------------------------------
-------------------------------------------------------------------------------
SECURITY DIVERSIFICATION
Percentage of Trust's Total Investments
Corporate Notes and Bonds 81%
U.S. Government Obligations 1%
Asset-Backed and Mortgage-Backed Securities 5%
Foreign Bonds 11%
Foreign Government Obligations 2%
(Investments in both U.S. Government Agency Mortgage-Backed Obligations and
Investment Companies amounted to less than 0.5% of the Trust's total
investments.)
--------------------------------------------------------------------------------
Shareholder inquiries regarding account information may be directed to: The Bank of New York
Shareholder Relations Department - 11E
PO Box 11258
Church Street Station
New York, New York 10286
1-800-432-8224
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ALLMERICA
FINANCIAL(R)
THE ALLMERICA FINANCIAL COMPANIES
---------------------------------
The Hanover Insurance Company o Citizens Insurance Company of America o Citizens Management Inc.
Opus Investment Management, Inc. o AMGRO, Inc. o Financial Profiles, Inc. o VeraVest Investments, Inc.
Allmerica Financial Life Insurance and Annuity Company o First Allmerica Financial Life Insurance Company
440 Lincoln Street, Worcester, Massachusetts 01653
www.allmerica.com
12719 (5/05) 05-0029