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

(Exact name of registrant as specified in charter)

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:

March 31, 2005

 

 



 

Item 1. Schedule of Investments.

 



 

ALLMERICA SECURITIES TRUST

PORTFOLIO OF INVESTMENTS - March 31, 2005 (Unaudited)

 

Par Value

 

 

 

Moody’s 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
(Cost $213,473)

 

 

 

207,657

 

 

 

 

 

 

 

 

 

Par Value

 

 

 

Moody’s Ratings

 

Value

 

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
(Cost $880,260)

 

 

 

934,531

 

 

 

 

 

 

 

 

 

Par Value

 

 

 

Moody’s Ratings

 

Value

 

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

 

 

1



 

$

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

 

U.S. 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

 

 

2



 

$

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

 

 

3



 

$

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

 

 

4



 

 

 

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

 

 

5



 

 

 

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

 

 

 

 

 

 

 

 

 

 

 

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

 

 

6



 

$

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
(Cost $70,080,215)

 

 

 

70,590,960

 

 

 

 

 

 

 

 

 

Par Value

 

 

Moody’s Ratings

 

Value

 

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
(Cost $4,702,417)

 

 

 

4,345,665

 

 

7



 

Par Value

 

 

 

Moody’s Ratings

 

Value

 

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
(Cost $1,966,588)

 

 

 

2,027,617

 

 

 

 

 

 

 

 

 

Par Value

 

 

 

Moody’s Ratings

 

Value

 

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
(Cost $9,362,460)

 

 

 

9,534,997

 

 

8



 

Shares

 

 

 

Moody’s Ratings

 

Value

 

INVESTMENT COMPANY - 0.0%

 

 

 

 

 

 

 

 

 

 

 

 

 

26,435

 

Marshall Money Market Fund

 

NR

 

$

26,435

 

 

 

Total Investment Company
(Cost $26,435)

 

 

 

26,435

 

 

 

 

 

 

 

 

 

Total Investments - 98.8%
(Cost $87,231,848)

 

 

 

87,667,862

 

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

 

9



 

FEDERAL INCOME TAX INFORMATION

 

At March 31, 2005, the aggregate cost of investment securities for tax purposes was $88,065,909. Net unrealized appreciation (depreciation) aggregated $(398,047) of which $1,266,553 related to appreciated investment securities and $(1,664,600) related to depreciated investment securities.

 

OTHER INFORMATION

 

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 Ratings

 

 

 

S&P Ratings