===AST===
November 2005
-----------------------------------------------------------
ALLMERICA SECURITIES TRUST FACTS
At September 30, 2005
Market Value $9.45
Net Asset Value $10.277
Total Net Assets (000's) $88,305
Shares Outstanding (000's) 8,592
Net Investment Income Per Share* $0.37
Increase/Decrease in
Per Share Value Resulting
from Investment Operations* $0.09
TOTAL RETURNS AT 9/30/05
Allmerica Securities Trust**
Nine Months 1.30%
Twelve Months 2.65%
Lehman Brothers U.S. Credit Index
Nine Months 1.46%
Twelve Months 2.74%
* Nine months ended September 30, 2005
** Total Returns on Net Asset Value
-----------------------------------------------------------
The Allmerica Securities Trust returned (1.06)% for the third quarter of 2005,
underperforming its benchmark, the Lehman Brothers U.S. Credit Index*, which
returned (1.00)%. The dividend paid for the period was $0.1375 per share.
Yields moved markedly higher during the third quarter after the market observed
that the economy remained fairly robust, even after the devastation wreaked by
two powerful hurricanes. The benchmark ten-year Treasury note ended the quarter
yielding 4.32%, up 41 basis points from three months ago, although below where
it began the year. All measures of inflation moved higher this year, even as
the Federal Reserve Board (Fed) raised rates by 25 basis points at each of its
FOMC meetings. With the exception of consumer confidence, which took the
biggest monthly plunge since October of 1990 in September, all indications
point to continued strength in the underlying economy, as we enter the fourth
quarter. Some of the up-tick seen in the manufacturing sector is no doubt
related to the hurricane rebuilding effort in the Gulf Coast region. In
addition, housing remains strong in most areas and exports should benefit from
the recent vitality seen in Japan and Europe. As long as the energy supply
problem remains temporary, the Investment
Manager believes that the outlook for the economy is sound, giving the Fed
ample rationale to continue with its measured tightening policy into early next
year.
Excess returns were posted this quarter from the corporate sector (26 basis
points), Agencies (6 basis points) and asset-backed securities (14 basis
points). Negative excess returns were felt from mortgage-backed (-24 bps) and
commercial mortgage-backed (-6 bps) securities. The corporate sector rebounded
from a weak first half to lead all sectors in terms of excess return. The
turmoil in the auto sector largely impacted corporate returns and impacted the
portfolio, as well. The portfolio continues to hold about a 2% position in Ford
securities and a 0.5% position in General Motors Acceptance Corporation (GMAC).
Although these issues generate strong income, the principal price decline has
been a significant drag on performance. The portfolio held approximately a 1%
position in both Sprint and Goldman Sachs, which were among the best performers
for the quarter. The portfolio is positioned with an overweight in the "BBB"
and below securities, which have underperformed the higher quality sectors
year-to-date. Given the relative tightness of spreads, the Investment Manager
sold or reduced several positions that have
----------------------------------------------
U.S. Treasury Yield Curves
Bond Equivalent
Yield Percentage
MATURITY 9/30/2005 3/31/2005
----------------------------------------------
3 Mo. 3.538 2.766
6 Mo. 3.916 3.120
2 Yr. 4.165 3.775
3 Yr. 4.170 3.919
5 Yr. 4.189 4.165
10 Yr. 4.324 4.481
30 Yr. 4.567 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, September 30, 2005 (Unaudited)
MOODY'S
PAR VALUE RATINGS VALUE
--------- ------- -----
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED OBLIGATIONS (g) - 0.2%
FREDDIE MAC - 0.2%
$ 48,747 5.00%, 05/15/21 NR $ 48,827
107,070 6.00%, 10/15/07 NR 108,110
-------------
156,937
-------------
TOTAL U.S. GOVERNMENT AGENCY
MORTGAGE-BACKED OBLIGATIONS 156,937
(Cost $162,925) -------------
U.S. GOVERNMENT OBLIGATIONS - 2.9%
U.S. TREASURY BOND - 2.9%
1,145,000 5.38%, 02/15/31 (a) NR 1,282,757
270,000 6.25%, 08/15/23 NR 322,850
705,000 8.00%, 11/15/21 NR 975,930
-------------
2,581,537
-------------
TOTAL U.S. GOVERNMENT OBLIGATIONS 2,581,537
(Cost $2,599,197) -------------
CORPORATE NOTES AND BONDS - 76.7%
AUTO MANUFACTURERS - 1.8%
500,000 DaimlerChrysler North America Holding Corp.
7.30%, 01/15/12 A3 542,989
500,000 DaimlerChrysler North America Holding Corp.
8.50%, 01/18/31 A3 605,351
500,000 General Motors Acceptance Corp.
7.00%, 02/01/12 Ba1 451,539
-------------
1,599,879
-------------
BANKS - 8.5%
880,000 Bank of America Corp.
4.88%, 09/15/12 Aa2 879,780
500,000 Bank of America Corp.
5.25%, 12/01/15 Aa3 508,022
200,000 Bank of New York Co., Inc.
3.75%, 02/15/08 Aa3 196,249
1,000,000 Bank of New York Co., Inc.
6.38%, 04/01/12 A1 1,081,121
655,000 Fifth Third Bank
4.50%, 06/01/18 Aa3 613,525
500,000 Firstar Bank
7.13%, 12/01/09 Aa2 546,425
450,000 HSBC Bank USA, Inc.
4.63%, 04/01/14 Aa3 436,769
450,000 Marshall & Ilsley Corp.
4.38%, 08/01/09 A1 444,898
420,000 National City Bank of Indiana
4.88%, 07/20/07 Aa3 422,572
350,000 PNC Funding Corp.
6.13%, 02/15/09 A3 364,877
125,000 Suntrust Banks, Inc.
7.75%, 05/01/10 A1 140,039
500,000 U.S. Bancorp, MTN
5.10%, 07/15/07 Aa2 504,355
475,000 Wachovia Bank N.A.
4.85%, 07/30/07 Aa2 477,020
450,000 Wells Fargo & Co.
5.13%, 09/01/12 Aa2 454,806
440,000 Zions Bancorporation
5.65%, 05/15/14 Baa1 453,236
-------------
7,523,694
-------------
BEVERAGES - 1.1%
450,000 Anheuser-Busch Cos., Inc.
4.63%, 02/01/15 A1 441,789
500,000 Bottling Group LLC
4.63%, 11/15/12 Aa3 494,273
-------------
936,062
-------------
CHEMICALS - 0.8%
200,000 Du Pont (E.I.) De Nemours and Co.
8.25%, 09/15/06 Aa3 205,998
500,000 Praxair, Inc.
6.63%, 10/15/07 A3 519,233
-------------
725,231
-------------
COSMETICS & PERSONAL CARE - 2.2%
500,000 Kimberly-Clark Corp.
7.10%, 08/01/07 Aa2 522,100
300,000 Procter & Gamble Co.
4.75%, 06/15/07 Aa3 301,277
1,000,000 Procter & Gamble Co.
8.50%, 08/10/09 Aa3 1,138,844
-------------
1,962,221
-------------
DIVERSIFIED FINANCIAL SERVICES - 14.7%
500,000 American Express Co.
3.75%, 11/20/07 A1 492,019
580,000 Bear Stearns Cos., Inc.
4.00%, 01/31/08 A1 571,976
725,000 Capital One Bank
4.88%, 05/15/08 Baa2 725,573
900,000 CIT Group, Inc., MTN
5.13%, 09/30/14 A2 896,480
500,000 Citifinancial
6.75%, 07/01/07 Aa1 517,468
460,000 Ford Motor Credit Co.
6.50%, 01/25/07 Baa1 460,535
400,000 Ford Motor Credit Co.
6.88%, 02/01/06 Baa3 401,637
825,000 Ford Motor Credit Co.
7.25%, 10/25/11 Baa3 783,077
500,000 General Electric Capital Corp.
8.75%, 05/21/07 Aaa 532,943
350,000 Goldman Sachs Group, Inc.
3.88%, 01/15/09 Aa3 341,286
450,000 Goldman Sachs Group, Inc.
5.70%, 09/01/12 Aa3 466,732
500,000 Household Finance Corp.
8.00%, 07/15/10 A1 564,190
425,000 J. Paul Getty Trust
5.88%, 10/01/33 Aaa 442,648
110,870 Jones (Edward D.) & Co., LP (b) (c)
7.95%, 04/15/06 NR 112,757
900,000 JPMorgan Chase & Co.
5.25%, 05/01/15 A1 905,628
500,000 Lehman Brothers Holdings, Inc.
4.00%, 01/22/08 A1 493,252
605,000 MBNA Corp., MTN
4.63%, 08/03/09 Baa1 603,743
350,000 MBNA Corp., MTN
6.25%, 01/17/07 Baa2 356,574
85,000 MBNA Corp., MTN
7.50%, 03/15/12 Baa2 96,640
1,630,000 Morgan Stanley
4.75%, 04/01/14 A1 1,572,567
495,000 Morgan Stanley
6.60%, 04/01/12 Aa3 536,270
550,000 Pitney Bowes Credit Corp.
8.55%, 09/15/09 Aa3 623,842
500,000 Toyota Motor Credit Corp.
5.50%, 12/15/08 Aaa 514,559
-------------
13,012,396
-------------
ELECTRIC - 5.6%
550,000 AmerenEnergy Generating
7.75%, 11/01/05 A3 551,514
505,000 Centerpoint Energy, Inc.
5.88%, 06/01/08 Ba1 515,458
375,000 Consolidated Edison Co. of New York
4.70%, 06/15/09 A1 375,681
425,000 Detroit Edison Co.
6.13%, 10/01/10 A3 449,063
563,466 East Coast Power LLC
7.07%, 03/31/12 Baa3 588,800
250,000 Entergy Gulf States, Inc.
3.60%, 06/01/08 Baa3 240,048
450,000 FirstEnergy Corp.
6.45%, 11/15/11 Baa3 479,144
500,000 FirstEnergy Corp.
7.38%, 11/15/31 Baa3 586,434
225,000 Florida Power & Light
6.88%, 12/01/05 Aa3 226,042
450,000 Pacific Gas & Electric Co.
6.05%, 03/01/34 Baa1 468,176
450,000 TXU Energy Co.
7.00%, 03/15/13 Baa2 488,531
-------------
4,968,891
-------------
-------------------------------------------------------------------------------
ALLMERICA SECURITIES TRUST
-------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, September 30, 2005 (Unaudited)
MOODY'S
PAR VALUE RATINGS VALUE
--------- ------- -----
ENVIRONMENTAL CONTROL - 1.1%
$ 450,000 Allied Waste North America (a)
6.50%, 11/15/10 B2 $ 437,063
500,000 Allied Waste North America
8.50%, 12/01/08 B2 521,250
-------------
958,313
-------------
FOOD - 4.7%
1,500,000 Delhaize America, Inc.
8.13%, 04/15/11 Ba1 1,625,718
296,000 General Mills, Inc.
6.00%, 02/15/12 Baa2 313,506
470,000 Kroger Co.
5.50%, 02/01/13 Baa2 471,729
350,000 Kroger Co.
6.38%, 03/01/08 Baa2 361,147
450,000 Safeway, Inc.
6.50%, 03/01/11 Baa2 469,399
830,000 Unilever Capital Corp.
5.90%, 11/15/32 A1 875,352
-------------
4,116,851
-------------
FOREST PRODUCTS & PAPER - 1.7%
1,000,000 Georgia-Pacific Group
7.25%, 06/01/28 Ba2 1,028,750
500,000 International Paper Co.
5.50%, 01/15/14 Baa2 497,985
-------------
1,526,735
-------------
HEALTH CARE-PRODUCTS - 0.2%
120,000 Johnson & Johnson
6.73%, 11/15/23 Aaa 143,415
-------------
HOME BUILDERS - 1.7%
920,000 D.R. Horton, Inc.
5.00%, 01/15/09 Ba1 907,811
500,000 Pulte Homes, Inc.
8.13%, 03/01/11 Baa3 558,849
-------------
1,466,660
-------------
LODGING - 2.0%
900,000 Harrah's Operating Co., Inc. (d)
5.75%, 10/01/17 Baa3 880,939
500,000 Harrah's Operating Co., Inc.
7.13%, 06/01/07 Baa3 517,843
350,000 Park Place Entertainment Corp.
8.13%, 05/15/11 Ba1 389,813
-------------
1,788,595
-------------
MEDIA - 5.4%
400,000 AOL Time Warner, Inc.
6.15%, 05/01/07 Baa1 408,826
550,000 AOL Time Warner, Inc.
6.88%, 05/01/12 Baa1 601,087
270,000 Belo Corp.
8.00%, 11/01/08 Baa3 289,817
420,000 Comcast Corp.
5.30%, 01/15/14 Baa2 418,907
450,000 Continental Cablevision, Inc.
8.30%, 05/15/06 Baa2 460,315
505,000 Cox Communications, Inc.
7.13%, 10/01/12 Baa3 549,332
700,000 Echostar DBS Corp.
5.75%, 10/01/08 Ba3 690,375
500,000 News America Holdings, Inc.
7.38%, 10/17/08 Baa3 533,689
300,000 Time Warner Cos., Inc.
7.57%, 02/01/24 Baa1 342,483
450,000 Time Warner Entertainment Co.
7.25%, 09/01/08 Baa1 478,050
-------------
4,772,881
-------------
METAL FABRICATE & HARDWARE - 1.2%
1,000,000 Precision Castparts Corp.
5.60%, 12/15/13 Baa3 1,018,315
-------------
OFFICE & BUSINESS EQUIPMENT - 0.8%
750,000 Pitney Bowes, Inc.
4.75%, 05/15/18 Aa3 723,735
-------------
OIL & GAS - 5.4%
900,000 Atmos Energy Corp.
4.00%, 10/15/09 Baa3 868,028
1,000,000 Caithness Coso Funding Corp. (d)
5.49%, 06/15/19 Baa3 1,000,500
450,000 Devon Financing Corp.
6.88%, 09/30/11 Baa2 494,648
450,000 Devon Financing Corp.
7.88%, 09/30/31 Baa2 566,676
500,000 Enterprise Products Operating, LP
5.00%, 03/01/15 Baa3 474,413
600,000 Texaco Capital, Inc.
8.25%, 10/01/06 Aa3 616,787
330,000 Valero Energy Corp.
4.75%, 06/15/13 Baa3 320,703
400,000 XTO Energy, Inc.
7.50%, 04/15/12 Baa3 450,564
-------------
4,792,319
-------------
PACKAGING & CONTAINERS - 3.0%
1,750,000 Packaging Corp. of America
5.75%, 08/01/13 Ba1 1,692,997
970,000 Sealed Air Corp. (d)
5.63%, 07/15/13 Baa3 972,665
-------------
2,665,662
-------------
PHARMACEUTICALS - 4.1%
500,000 AmerisourceBergen Corp. (d)
5.88%, 09/15/15 Ba2 493,750
750,000 Lilly (Eli) & Co.
7.13%, 06/01/25 Aa3 915,820
710,000 Medco Health Solutions, Inc.
7.25%, 08/15/13 Ba1 782,484
1,000,000 Mylan Laboratories, Inc. (d)
5.75%, 08/15/10 Ba1 1,001,250
330,000 Zeneca Wilmington
7.00%, 11/15/23 Aa2 400,439
-------------
3,593,743
-------------
PIPELINES - 0.6%
500,000 Magellan Midstream Partners
5.65%, 10/05/16 Ba1 506,130
-------------
RETAIL - 3.1%
595,000 Home Depot, Inc.
3.75%, 09/15/09 Aa3 576,707
500,000 J.C. Penney Co., Inc.
7.38%, 08/15/08 Ba1 528,750
900,000 J.C. Penney Co., Inc.
7.95%, 04/01/17 Ba1 1,044,000
450,000 Wal-Mart Stores, Inc.
7.55%, 02/15/30 Aa2 572,125
-------------
2,721,582
-------------
SAVINGS & LOANS - 1.0%
455,000 Washington Mutual Bank FA
5.50%, 01/15/13 A3 464,672
450,000 Washington Mutual, Inc.
4.38%, 01/15/08 A3 446,983
-------------
911,655
-------------
TELECOMMUNICATIONS - 3.1%
500,000 BellSouth Corp.
6.88%, 10/15/31 A2 557,322
500,000 Nextel Communications, Inc.
5.95%, 03/15/14 Baa2 511,834
400,000 SBC Communications, Inc.
5.10%, 09/15/14 A2 396,366
680,000 Sprint Capital Corp.
6.13%, 11/15/08 Baa2 706,128
120,000 Sprint Capital Corp.
6.88%, 11/15/28 Baa2 132,561
450,000 Verizon Florida, Inc.
6.13%, 01/15/13 A1 467,237
-------------
2,771,448
-------------
TRANSPORTATION - 2.9%
900,000 CSX Transportation, Inc.
6.30%, 03/15/12 Baa2 964,352
189,000 CSX Transportation, Inc.
9.75%, 06/15/20 Baa2 264,248
-------------------------------------------------------------------------------
ALLMERICA SECURITIES TRUST
-------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, September 30, 2005 (Unaudited)
MOODY'S
PAR VALUE RATINGS VALUE
--------- ------- -----
$ 261,000 Norfolk Southern Corp.
9.75%, 06/15/20 Baa1 $ 372,172
255,000 Union Pacific Corp.
5.38%, 06/01/33 Baa2 244,882
380,000 Union Pacific Corp.
6.50%, 04/15/12 Baa2 410,020
250,000 Union Pacific Corp.
6.63%, 02/01/08 Baa2 260,376
-------------
2,516,050
-------------
TOTAL CORPORATE NOTES AND BONDS 67,722,463
(Cost $67,028,634) -------------
ASSET-BACKED AND MORTGAGE-BACKED SECURITIES (g) - 4.7%
1,000,000 American Airlines, Inc., Pass-Through
Trust, Series 1991 - C2
9.73%, 09/29/14 Caa2 651,800
780,000 Bear Stearns Commercial Mortgage
Securities, Inc., Series 2002-PBW1,
Class A2, CMO
4.72%, 11/11/35 Aaa 769,678
250,000 Bear Stearns Mortgage Securities, Inc.,
Series 1999-WF2, Class A2, CMO
7.08%, 07/15/31 Aaa 267,585
150,000 Capital One Auto Finance Trust,
Series 2003-A, Class A4A
2.47%, 01/15/10 Aaa 147,263
300,000 Citibank Credit Card Issuance Trust,
Series 2000-A3
6.88%, 11/16/09 Aaa 314,259
710,000 General Electric Capital Commercial
Mortgage Corp., Series 2002-1A,
Class A3, CMO
6.27%, 12/10/35 Aaa 759,719
500,000 GS Mortgage Securities Corp. II, Series
1997-GL, Class A2D, CMO
6.94%, 07/13/30 Aaa 514,793
750,000 Morgan Stanley Dean Witter Capital I,
Series 2003-T0P9, Class A2, CMO (e)
4.74%, 11/13/36 AAA 740,043
-------------
TOTAL ASSET-BACKED AND
MORTGAGE-BACKED SECURITIES 4,165,140
(Cost $4,593,993) -------------
FOREIGN GOVERNMENT OBLIGATIONS (h) - 2.3%
450,000 Province of British Columbia
5.38%, 10/29/08 Aa1 461,419
550,000 Province of Manitoba
4.25%, 11/20/06 Aa2 549,367
500,000 Province of Quebec
6.13%, 01/22/11 A1 534,864
450,000 Province of Quebec
7.00%, 01/30/07 A1 464,508
-------------
TOTAL FOREIGN GOVERNMENT OBLIGATIONS 2,010,158
(Cost $1,963,762) -------------
FOREIGN BONDS (h) - 11.4%
500,000 Alberta Energy Co., Ltd.
7.38%, 11/01/31 Baa2 613,824
700,000 British Sky Broadcasting Group, Plc
7.30%, 10/15/06 Baa2 718,223
450,000 British Telecom, Plc (f)
8.13%, 12/15/10 Baa1 521,034
375,000 Burlington Resources Finance Co.
7.40%, 12/01/31 Baa1 465,861
355,000 Canadian Pacific Ltd.
9.45%, 08/01/21 Baa2 508,096
450,000 Canadian Pacific Railroad
5.75%, 03/15/33 Baa2 465,888
500,000 Conoco Funding Co.
7.25%, 10/15/31 A3 630,963
450,000 Diageo Capital, Plc
3.50%, 11/19/07 A2 439,972
890,000 Domtar, Inc.
5.38%, 12/01/13 Ba2 743,513
450,000 Norske Skog Canada, Ltd.
7.38%, 03/01/14 Ba3 427,500
790,000 Royal Bank of Scotland Group, Plc
4.70%, 07/03/18 Aa3 756,275
435,000 Stora Enso Oyj
7.38%, 05/15/11 Baa1 478,770
900,000 Telecom Italia Capital SA
5.25%, 10/01/15 Baa2 884,367
500,000 Telus Corp.
7.50%, 06/01/07 Baa2 522,126
460,000 Tembec Industries, Inc.
8.50%, 02/01/11 B3 300,150
490,000 Tyco International Group S.A.
6.38%, 10/15/11 Baa3 522,282
450,000 Tyco International Group S.A.
6.88%, 01/15/29 Baa3 516,363
500,000 Vodafone Group, Plc
6.25%, 11/30/32 A2 539,237
-------------
TOTAL FOREIGN BONDS 10,054,444
(Cost $9,888,012) -------------
SHARES
------
INVESTMENT COMPANY - 0.3%
311,865 Marshall Money Market Fund NR 311,865
-------------
TOTAL INVESTMENT COMPANY 311,865
(Cost $311,865) -------------
SHORT TERM INVESTMENTS (i)(j) - 2.5%
PAR VALUE
---------
78,400 Bank of America
3.77%, 10/18/05 NR 78,400
78,400 Bank of Montreal
3.79%, 11/01/05 NR 78,400
78,400 Bank Of Nova Scotia
3.77%, 10/31/05 NR 78,400
31,360 Barlcays
3.70%, 01/17/06 NR 31,360
47,040 Barclays
3.71%, 10/14/05 NR 47,040
78,400 BNP Paribas
3.75%, 10/28/05 NR 78,400
39,200 Citigroup
3.63%, 10/31/05 NR 39,200
302,160 Credit Suisse First Boston Corporation
Repurchase Agreement dated
September 30, 2005, at 3.98%, due
October 3, 2005 with a maturity amount
of $302,260, collateralized by various
corporate obligations with an aggregate
market value of $313,603 NR 302,160
78,400 Fairway Finance
3.77%, 10/06/05 NR 78,400
78,400 Fortis Bank
3.81%, 10/07/05 NR 78,400
40,064 Goldman Sachs Group Inc.
3.94%, 12/28/05 NR 40,064
96,342 Goldman Sachs Group, Inc. Repurchase
Agreement dated September 30, 2005, at
3.98%, due October 3, 2005 with a
maturity amount of $96,374,
collateralized by various corporate
obligations with an aggregate market
value of $97,875 NR 96,342
78,400 Grampian Funding LLC
3.76%, 10/13/05 NR 78,400
85,806 Lehman Brothers, Inc. Triparty Repurchase
Agreement dated September 30, 2005, at
3.98%, due October 3, 2005 with a maturity
amount of $85,834, collateralized by
various corporate obligations with an
aggregate market value of $94,526 NR 85,806
103,425 Merrill Lynch & Co. Repurchase Agreement
dated September 30, 2005, at 3.98%, due
October 3, 2005 with a maturity amount
of $103,459, collateralized by various
corporate obligations with an aggregate
market value of $106,426 NR 103,425
62,033 Morgan Stanley Repurchase Agreement dated
September 30, 2005, at 4.04%, due
October 3, 2005 with a maturity amount
of $62,055, collateralized by various
corporate obligations with an aggregate
market value of $63,599 NR 62,033
78,400 Paradigm Funding LLC
3.75%, 10/17/05 NR 78,400
78,400 Ranger Funding
3.79%, 10/25/05 NR 78,400
94,080 Royal Bank of Canada
3.78%, 10/06/05 NR 94,080
78,400 Sheffield Receivables Corp.
3.76%, 10/06/05 NR 78,400
78,400 Societe Generale
3.78%, 10/03/05 NR 78,400
-------------------------------------------------------------------------------
ALLMERICA SECURITIES TRUST
-------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, September 30, 2005 (Unaudited)
MOODY'S
PAR VALUE RATINGS VALUE
--------- ------- -----
$ 110,878 Svenska Handlesbanken
3.88%, 10/03/05 NR $ 110,878
78,400 The Bank of the West
3.76%, 10/28/05 NR 78,400
39,200 Toronto Dominion Bank
3.68%, 10/04/05 NR 39,200
78,400 UBS AG
3.75%, 10/31/05 NR 78,400
78,400 Wachovia Bank NA
3.76%, 10/25/05 NR 78,400
78,400 Wells Fargo
3.77%, 10/19/05 NR 78,400
-------------
TOTAL SHORT-TERM INVESTMENTS 2,227,588
(Cost$2,227,588) -------------
TOTAL INVESTMENTS - 101.0% 89,230,132
(Cost $88,775,976) -------------
NET OTHER ASSETS AND LIABILITIES - (1.0)% (924,826)
-------------
TOTAL NET ASSETS - 100.0% $ 88,305,306
=============
-------------------------------------------------------------------------------
(a) All or a portion of this security is out on loan at September 30, 2005; the
value of the securities loaned amounted to $1,719,820.
(b) Security is valued by management.
(c) 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, 2005, these
securities amounted to $112,757 or 0.1% of net assets.
(d) 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, 2005, these securities
amounted to $4,349,104 or 4.9% of net assets.
(e) Standard & Poor's (S&P) credit ratings are used in the absence of a rating
by Moody's Investors, Inc.
(f) 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.
(g) Pass Through Certificates.
(h) U.S. currency denominated.
(i) Investments made with cash collateral received from securities on loan.
(j) Effective yield at time of purchase, excluding repurchase agreements.
CMO Collateralized Mortgage Obligation (Pay Through Certificate)
MTN Medium Term Note
NR Not Rated
-------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
SEPTEMBER 30, 2005 (UNAUDITED)
-------------------------------------------------------------------------------
ASSETS:
Investments:
Investments at cost $ 88,775,976
Net unrealized appreciation 454,156
-------------
Total investments at value + 89,230,132
-------------
Cash 5,032
Interest receivable 1,417,818
-------------
Total Assets 90,652,982
-------------
LIABILITIES:
Collateral for securities loaned 2,227,588
Management fee payable 32,646
Trustees' fees and expenses payable 7,531
Accrued expenses and other payables 79,911
-------------
Total Liabilities 2,347,676
-------------
NET ASSETS 88,305,306
=============
NET ASSETS CONSIST OF:
Par Value $ 8,592,306
Paid-in capital 88,089,385
Distribution in excess of net investment income (1,082,881)
Accumulated net realized loss (7,747,660)
Net unrealized appreciation 454,156
-------------
TOTAL NET ASSETS 88,305,306
=============
SHARES OF BENEFICIAL INTEREST OUTSTANDING
(10,000,000 AUTHORIZED SHARES WITH PAR VALUE OF $1.00) 8,592,306
NET ASSET VALUE
Per share $ 10.277
=============
MARKET VALUE (CLOSING PRICE ON NEW YORK STOCK EXCHANGE)
Per share $ 9.45
=============
+ Total value of securities on loan 1,719,820
=============
-------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2005 (UNAUDITED)
-------------------------------------------------------------------------------
INVESTMENT INCOME
Interest $ 3,665,099
Securities lending income 6,350
-------------
Total investment income 3,671,449
-------------
EXPENSES
Management fees 300,056
Custodian and Fund accounting fees 57,575
Transfer agent fees 58,953
Legal fees 7,699
Audit fees 23,158
Trustees' fees and expenses 15,819
Reports to shareholders 13,843
New York Stock Exchange fees 18,693
Miscellaneous 332
-------------
Total Expenses 496,128
-------------
NET INVESTMENT INCOME $ 3,175,321
-------------
NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS:
Net realized loss on investments sold (268,143)
Net change in unrealized depreciation of investments (2,090,481)
-------------
NET REALIZED LOSS ON INVESTMENTS (2,358,624)
-------------
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 816,697
=============
Continued from front page
performed well year-to-date and do not have any obvious upside potential and/or
provide limited income return. Among these are Conoco, Bank of NewYork, GE,
Illinois Toolworks and Clear Channel Communications. The Investment Manager did
add a few names which may represent value and have potential for spread
tightening and/or upgrade. Mylan Labs, Telecom Italia, Enterprise Products, and
JPMorgan Chase are in this group.
The Investment Manager believes that the yield curve flattening that has
occurred this year is responsible for keeping total returns in positive
territory. With eleven consecutive increases by the Fed, most observers would
have expected longer-term Treasuries to sell off more. Foreign buying and
confidence in the Fed have combined to keep yields on ten and thirty-year
Treasuries well below 5%. The Investment Manager believes that it is this muted
price decline that has kept overall bond returns in positive territory at all
in 2005 and hopes that rates continue to be well-behaved in 2006, as the Fed
finishes its march to a neutral federal funds rate.
------------------------------
Maturity Diversification
YEARS
-----
Under 3 21%
3-5 14%
6-10 37%
11-20 13%
21-Over 15%
------------------------------
* 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 18%
A 19%
Baa 35%
Ba 14%
B 1%
Caa 1%
Not Rated 6%
* 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 76%
U.S. Government Obligations 3%
Asset-Backed and Mortgage-Backed Securities 5%
Foreign Bonds 11%
Foreign Government Obligations 2%
Short-Term Investments 3%
(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
[logo]
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 (11/05) 05-0126