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)

Sheila B. St. Hilaire, 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, 2005

 

 



 

Item 1.  Schedule of Investments.

 

 



 

ALLMERICA SECURITIES TRUST

PORTFOLIO OF INVESTMENTS - September 30, 2005 (Unaudited)

 

Par Value

 

 

 

Moody’s 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

 

 

 

 

 

 

 

(Cost $162,925)

 

 

 

156,937

 

 

 

 

 

 

 

 

 

Par Value

 

 

 

Moody’s Ratings

 

Value

 

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

 

 

 

 

 

 

 

(Cost $2,599,197)

 

 

 

2,581,537

 

 

 

 

 

 

 

 

 

Par Value

 

 

 

Moody’s Ratings

 

Value

 

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

 

 

1



 

$

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

 

Baa3

 

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

 

 

2



 

$

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

 

 

3



 

 

 

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

 

 

4



 

$

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

 

 

5



 

 

 

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%, 10/15/16

 

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

 

261,000

 

Norfolk Southern Corp.

 

 

 

 

 

 

 

9.75%, 06/15/20

 

Baa1

 

372,172

 

 

6



 

$

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

 

 

 

 

 

 

 

(Cost $67,028,634)

 

 

 

67,722,463

 

 

 

 

 

 

 

 

 

Par Value

 

 

 

Moody’s Ratings

 

Value

 

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

 

 

 

 

 

 

 

(Cost $4,593,993)

 

 

 

4,165,140

 

 

 

 

 

 

 

 

 

Par Value

 

 

 

Moody’s Ratings

 

Value

 

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

 

 

 

 

 

 

 

(Cost $1,963,762)

 

 

 

2,010,158

 

 

7



 

Par Value

 

 

 

Moody’s Ratings

 

Value

 

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

 

 

 

 

 

 

 

(Cost $9,888,012)

 

 

 

10,054,444

 

 

 

 

 

 

 

 

 

Shares

 

 

 

Moody’s Ratings

 

Value

 

INVESTMENT COMPANY - 0.3%

 

 

 

 

 

 

 

 

 

 

 

 

 

311,865

 

Marshall Money Market Fund

 

NR

 

$

311,865

 

 

 

Total Investment Company

 

 

 

 

 

 

 

(Cost $311,865)

 

 

 

311,865

 

 

 

 

 

 

 

 

 

Par Value

 

 

 

Moody’s Ratings

 

Value

 

SHORT TERM INVESTMENTS (i) (j) - 2.5%

 

 

 

 

 

 

 

 

 

 

 

 

 

$

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

 

 

8



 

$

78,400

 

Bank Of Nova Scotia

 

 

 

 

 

 

 

3.77%, 10/31/05

 

NR

 

$

78,400

 

31,360

 

Barclays

 

 

 

 

 

 

 

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 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 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 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 aggregate market value of $106,426.

 

NR

 

103,425

 

62,034

 

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 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

 

 

9



 

$

94,080

 

Royal Bank of Canada

 

 

 

 

 

 

 

3.78%, 10/06/05

 

NR

 

$

94,080

 

78,400

 

Sheffiled Receivables Corp.

 

 

 

 

 

 

 

3.76%, 10/06/05

 

NR

 

78,400

 

78,400

 

Societe Generale

 

 

 

 

 

 

 

3.78%, 10/03/05

 

NR

 

78,400

 

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