===AST===
March 31, 2006
-------------------------------------------------
ALLMERICA SECURITIES TRUST FACTS
At March 31, 2006
Market Value $9.19
Net Asset Value $9.986
Total Net Assets (000's) $85,806
Shares Outstanding (000's) 8,592
Net Investment Income Per Share* $0.12
Increase (Decrease) in
Per Share Value Resulting
from Investment Operations* $(0.06)
TOTAL RETURNS AT 3/31/06
Allmerica Securities Trust**
Three Months (0.51)%
Twelve Months 2.48%
Lehman Brothers U.S. Credit Index
Three Months (1.17)%
Twelve Months 1.83%
* Three months ended March 31, 2006
** Total Returns on Net Asset Value
-------------------------------------------------
The Allmerica Securities Trust returned (0.51)% for the first quarter of 2006,
outperforming its benchmark, the Lehman Brothers U.S. Credit Index*, which
returned (1.17)%. The dividend paid for the period was $0.13 per share.
The fundamentals of the U.S. economy continued to improve during the first
quarter, even after fifteen consecutive interest rate increases by the Federal
Reserve Board (Fed). The resiliency of the economy has left little spare
capacity in the system. With the federal funds rate now only one step below
5.0%, many participants expect the Fed to stop raising rates at about 5.50%,
given the continued strength in the economy and inflation at about the top of
the Fed's comfort range.
The housing market is one area of concern for the Fed, since so much of the
economy's recent strength is owed to this key sector. It now appears that
record-setting new home sales four years in a row have finally satiated demand.
As consumers adjust to a slower pace of home price gains, or outright
contraction in some markets, the fear is that consumer spending will adjust
downward. The Investment Manager's concern would be greater were it not for the
broad-based strength of the job market, combined with vigor in global growth.
Wage and salary gains are becoming a key driver of U.S. growth, after several
years of asset-based spending from home equity.
With oil and other commodities continuing to show price strength, inflation is
the other primary worry. Beyond the price of oil, the Moody's Industrial Metals
Price Index reached a new peak in March, which is further evidence of global
economic vitality. Another often overlooked element to the inflation picture is
the slowing pace of productivity. A weaker dollar would also add to domestic
inflation and is a distinct possibility with monetary policy in Japan and the
EU turning bearish. In addition, new Fed Chairman Bernanke is probably inclined
to err on the side of caution to ensure inflation does not get out of control
during his first year in office.
In the Credit sector, it appears the top of the credit cycle has been reached.
As corporate profit growth begins to slow, the high yield delinquency rate is
starting to turn up and credit quality, while still strong, is under increasing
threat from leveraged buy-outs and other equity-enhancing actions. However, the
supply-demand situation remains quite supportive and therefore spreads do not
appear to be under imminent threat. One of the
----------------------------------------------
U.S. Treasury Yield Curves
Bond Equivalent
Yield Percentage
MATURITY 9/30/2005 3/31/2006
----------------------------------------------
3 Mo. 3.538 4.602
6 Mo. 3.916 4.804
2 Yr. 4.165 4.816
3 Yr. 4.170 4.816
5 Yr. 4.189 4.810
10 Yr. 4.324 4.847
30 Yr. 4.567 4.890
----------------------------------------------
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, 2006 (Unaudited)
MOODY'S
PAR VALUE RATINGS VALUE
--------- ------- -----
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED OBLIGATIONS (g) - 0.8%
FREDDIE MAC - 0.8%
$ 321,254 5.00%, 05/15/21 - 02/15/34 NR $ 305,998
335,000 5.50%, 09/15/34 NR 324,579
81,229 6.00%, 10/15/07 NR 82,102
------------
712,679
------------
TOTAL U.S. GOVERNMENT AGENCY
MORTGAGE-BACKED OBLIGATIONS 712,679
(Cost $724,764) ------------
U.S. GOVERNMENT OBLIGATIONS - 7.9%
U.S. TREASURY BONDS - 2.8%
1,145,000 5.38%, 02/15/31 (a) NR 1,205,291
270,000 6.25%, 08/15/23 (a) NR 306,218
705,000 8.00%, 11/15/21 NR 926,084
------------
2,437,593
------------
U.S. TREASURY NOTES - 5.1%
465,000 3.13%, 01/31/07 NR 458,443
485,000 3.88%, 02/15/13 (a) NR 457,302
755,000 4.25%, 01/15/11 (a) NR 736,272
900,000 4.25%, 08/15/14 (a) NR 861,433
465,000 4.50%, 02/28/11 (a) NR 458,225
1,365,000 5.00%, 08/15/11 (a) NR 1,376,997
------------
4,348,672
------------
TOTAL U.S. GOVERNMENT OBLIGATIONS 6,786,265
(Cost $6,974,049) ------------
CORPORATE NOTES AND BONDS - 75.0%
AUTO MANUFACTURERS - 1.3%
500,000 DaimlerChrysler North America Holding Corp.
7.30%, 01/15/12 A3 528,337
500,000 DaimlerChrysler North America Holding Corp.
8.50%, 01/18/31 A3 584,941
------------
1,113,278
------------
BANKS - 8.8%
880,000 Bank of America Corp.
4.88%, 09/15/12 Aa2 851,854
500,000 Bank of America Corp.
5.25%, 12/01/15 Aa3 484,979
1,000,000 Bank of New York Co., Inc.
6.38%, 04/01/12 A1 1,047,739
500,000 Firstar Bank
7.13%, 12/01/09 Aa2 528,353
450,000 HSBC Bank USA, Inc.
4.63%, 04/01/14 Aa3 420,381
450,000 Marshall & Ilsley Corp.
4.38%, 08/01/09 A1 437,136
420,000 National City Bank of Indiana
4.88%, 07/20/07 Aa3 417,858
350,000 PNC Funding Corp.
6.13%, 02/15/09 A3 356,344
125,000 Suntrust Banks, Inc.
7.75%, 05/01/10 A1 135,267
500,000 USBancorp, MTN
5.10%, 07/15/07 Aa2 497,931
475,000 Wachovia Bank N.A.
4.85%, 07/30/07 Aa2 472,341
450,000 Wells Fargo & Co.
5.13%, 09/01/12 Aa2 442,341
1,000,000 Zions Bancorporation
5.50%, 11/16/15 Baa1 975,613
440,000 Zions Bancorporation
5.65%, 05/15/14 Baa1 435,574
------------
7,503,711
------------
CHEMICALS - 0.8%
200,000 Du Pont (E.I.) De Nemours and Co.
8.25%, 09/15/06 A2 202,668
500,000 Praxair, Inc.
6.63%, 10/15/07 A3 509,908
------------
712,576
------------
COSMETICS & PERSONAL CARE - 1.6%
300,000 Procter & Gamble Co.
4.75%, 06/15/07 Aa3 298,878
1,000,000 Procter & Gamble Co.
8.50%, 08/10/09 Aa3 1,100,143
------------
1,399,021
------------
DIVERSIFIED FINANCIAL SERVICES - 13.6%
500,000 American Express Co.
3.75%, 11/20/07 A1 488,591
580,000 Bear Stearns Cos., Inc.
4.00%, 01/31/08 A1 567,170
725,000 Capital One Bank
4.88%, 05/15/08 A3 717,674
1,900,000 CIT Group, Inc., MTN
5.13%, 09/30/14 A2 1,816,178
500,000 Citifinancial
6.75%, 07/01/07 Aa1 507,782
500,000 General Electric Capital Corp.
4.88%, 10/21/10 Aaa 489,782
450,000 Goldman Sachs Group, Inc.
3.88%, 01/15/09 Aa3 433,711
450,000 Goldman Sachs Group, Inc.
5.70%, 09/01/12 Aa3 452,201
500,000 Household Finance Corp.
8.00%, 07/15/10 Aa3 545,574
425,000 J. Paul Getty Trust
5.88%, 10/01/33 Aaa 417,602
110,870 Jones (Edward D.) & Co., LP (b) (c)
7.95%, 04/15/06 NR 110,980
500,000 Lehman Brothers Holdings, Inc.
4.00%, 01/22/08 A1 488,943
605,000 MONA Corp., MTN
4.63%, 08/03/09 Aa1 592,705
350,000 MBNA Corp., MTN
6.25%, 01/17/07 Aa2 352,677
85,000 MBNA Corp., MTN
7.50%, 03/15/12 Aa2 93,474
1,630,000 Morgan Stanley
4.75%, 04/01/14 A1 1,520,779
495,000 Morgan Stanley
6.60%, 04/01/12 Aa3 519,349
550,000 Pitney Bowes Credit Corp.
8.55%, 09/15/09 Aa3 601,491
450,000 Textron Financial Corp.
5.13%, 02/03/11 A3 442,105
500,000 Toyota Motor Credit Corp.
5.50%, 12/15/08 Aaa 502,595
------------
11,661,363
------------
ELECTRIC - 4.4%
505,000 Centerpoint Energy, Inc.
5.88%, 06/01/08 Ba1 507,577
375,000 Consolidated Edison Co. of New York
4.70%, 06/15/09 A1 368,386
425,000 Detroit Edison Co.
6.13%, 10/01/10 A3 434,488
563,466 East Coast Power LLC
7.07%, 03/31/12 Baa3 572,729
450,000 FirstEnergy Corp.
6.45%, 11/15/11 Baa3 465,631
500,000 FirstEnergy Corp.
7.38%, 11/15/31 Baa3 555,387
450,000 Pacific Gas & Electric Co.
6.05%, 03/01/34 Baa1 440,361
450,000 TXU Energy Co.
7.00%, 03/15/13 Baa2 468,705
------------
3,813,264
------------
ENVIRONMENTAL CONTROL - 1.1%
450,000 Allied Waste North America (a)
6.50%, 11/15/10 B2 444,375
500,000 Allied Waste North America
8.50%, 12/01/08 B2 525,625
------------
970,000
------------
FOOD - 6.4%
1,500,000 Delhaize America, Inc.
8.13%, 04/15/11 Ba1 1,619,309
296,000 General Mills, Inc.
6.00%, 02/15/12 Baa2 301,545
-------------------------------------------------------------------------------
ALLMERICA SECURITIES TRUST
-------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, March 31, 2006 (Unaudited) continued
MOODY'S
PAR VALUE RATINGS VALUE
--------- ------- -----
$ 470,000 Kroger Co.
5.50%, 02/01/13 Baa2 $ 457,253
450,000 Kroger Co.
6.20%, 06/15/12 Baa2 456,125
350,000 Kroger Co.
6.38%, 03/01/08 Baa2 355,247
450,000 Safeway, Inc.
6.50%, 03/01/11 Baa2 463,492
1,000,000 Safeway, Inc.
7.25%, 02/01/31 Baa2 1,059,680
830,000 Unilever Capital Corp.
5.90%, 11/15/32 A1 813,356
------------
5,526,007
------------
FOREST PRODUCTS & PAPER - 1.7%
1,000,000 Georgia-Pacific Group
7.25%, 06/01/28 Ba2 945,000
500,000 International Paper Co.
5.50%, 01/15/14 Baa3 479,438
------------
1,424,438
------------
HEALTH CARE-PRODUCTS - 0.2%
120,000 Johnson & Johnson
6.73%, 11/15/23 Aaa 136,505
------------
HEALTH CARE-SERVICES - 1.0%
900,000 Wellpoint Inc.
5.25%, 01/15/16 Baa1 867,909
------------
HOME BUILDERS - 1.7%
920,000 D.R. Horton, Inc.
5.00%, 01/15/09 Ba1 899,789
500,000 Pulte Homes, Inc.
8.13%, 03/01/11 Baa3 539,805
------------
1,439,594
------------
HOUSEHOLD PRODUCTS & WARES - 1.0%
900,000 Fortune Brands Inc.
5.38%, 01/15/16 Baa2 863,888
------------
LODGING - 2.0%
900,000 Harrah's Operating Co., Inc.
5.75%, 10/01/17 Baa3 852,210
500,000 Harrah's Operating Co., Inc.
7.13%, 06/01/07 Baa3 508,470
350,000 Park Place Entertainment Corp.
8.13%, 05/15/11 Ba1 380,625
------------
1,741,305
------------
MEDIA - 4.4%
550,000 AOL Time Warner, Inc.
6.88%, 05/01/12 Baa2 576,661
270,000 Belo Corp.
8.00%, 11/01/08 Baa3 282,480
505,000 Cox Communications, Inc.
7.13%, 10/01/12 Baa3 529,777
700,000 Echostar DBS Corp.
5.75%, 10/01/08 Ba3 693,000
500,000 News America Holdings, Inc.
7.38%, 10/17/08 Baa2 522,051
300,000 Time Warner Cos., Inc.
7.57%, 02/01/24 Baa2 322,898
850,000 Time Warner Entertainment Co.
7.25%, 09/01/08 Baa1 881,190
------------
3,808,057
------------
METAL FABRICATE & HARDWARE - 1.2%
1,000,000 Precision Castparts Corp.
5.60%, 12/15/13 Baa3 983,808
------------
OIL & GAS - 5.5%
900,000 Atmos Energy Corp.
4.00%, 10/15/09 Baa3 853,774
944,908 Caithness Coso Funding Corp. (d)
5.49%, 06/15/19 Baa3 918,073
450,000 Devon Financing Corp.
6.88%, 09/30/11 Baa2 477,103
450,000 Devon Financing Corp.
7.88%, 09/30/31 Baa2 543,273
950,000 Enterprise Products Operating, LP
5.00%, 03/01/15 Baa3 881,421
600,000 Texaco Capital, Inc.
8.25%, 10/01/06 Aa2 608,302
400,000 XTO Energy, Inc.
7.50%, 04/15/12 Baa3 436,703
------------
4,718,649
------------
PACKAGING & CONTAINERS - 3.1%
1,750,000 Packaging Corp. of America
5.75%, 08/01/13 Ba1 1,696,380
970,000 Sealed Air Corp. (d)
5.63%, 07/15/13 Baa3 942,750
------------
2,639,130
------------
PHARMACEUTICALS - 4.1%
500,000 AmerisourceBergen Corp. (d)
5.88%, 09/15/15 Ba2 491,780
750,000 Lilly (Eli) & Co.
7.13%, 06/01/25 Aa3 859,695
710,000 Medco Health Solutions, Inc.
7.25%, 08/15/13 Ba1 764,466
1,000,000 Mylan Laboratories, Inc.
5.75%, 08/15/10 Ba1 987,500
330,000 Zeneca Wilmington
7.00%, 11/15/23 Aa2 376,467
------------
3,479,908
------------
PIPELINES - 1.1%
500,000 Gulfstream Natural Gas System LLC (d)
5.56%, 11/01/15 Baa2 490,465
500,000 Magellan Midstream Partners
5.65%, 10/15/16 Baa3 486,475
------------
976,940
------------
RETAIL - 3.1%
595,000 Home Depot, Inc.
3.75%, 09/15/09 Aa3 566,380
500,000 J.C. Penney Co., Inc.
7.38%, 08/15/08 Baa3 519,124
900,000 J.C. Penney Co., Inc.
7.95%, 04/01/17 Baa3 1,020,155
450,000 Wal-Mart Stores, Inc.
7.55%, 02/15/30 Aa2 539,525
------------
2,645,184
------------
SAVINGS & LOANS - 1.0%
455,000 Washington Mutual Bank FA
5.50%, 01/15/13 A3 449,700
450,000 Washington Mutual, Inc.
4.38%, 01/15/08 A3 442,449
------------
892,149
------------
TELECOMMUNICATIONS - 3.1%
500,000 BellSouth Corp.
6.88%, 10/15/31 A2 516,722
500,000 Nextel Communications, Inc.
5.95%, 03/15/14 Baa2 495,013
400,000 SBC Communications, Inc.
5.10%, 09/15/14 A2 379,655
680,000 Sprint Capital Corp.
6.13%, 11/15/08 Baa2 692,058
120,000 Sprint Capital Corp.
6.88%, 11/15/28 Baa2 123,808
450,000 Verizon Florida, Inc.
6.13%, 01/15/13 Baa1 445,608
------------
2,652,864
------------
TRANSPORTATION - 2.8%
900,000 CSX Transportation, Inc.
6.30%, 03/15/12 Baa2 931,465
189,000 CSX Transportation, Inc.
9.75%, 06/15/20 Baa2 251,653
261,000 Norfolk Southern Corp.
9.75%, 06/15/20 Baa1 350,210
255,000 Union Pacific Corp.
5.38%, 06/01/33 Baa2 231,537
380,000 Union Pacific Corp.
6.50%, 04/15/12 Baa2 397,045
250,000 Union Pacific Corp.
6.63%, 02/01/08 Baa2 255,186
------------
2,417,096
------------
TOTAL CORPORATE NOTES AND BONDS 64,386,644
(Cost $65,208,515) ------------
-------------------------------------------------------------------------------
ALLMERICA SECURITIES TRUST
-------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, March 31, 2006 (Unaudited) continued
MOODY'S
PAR VALUE RATINGS VALUE
--------- ------- -----
ASSET-BACKED AND MORTGAGE-BACKED SECURITIES (g) - 4.0%
$ 780,000 Bear Stearns Commercial Mortgage Securities, Inc.,
Series 2002-PBW1, Class A2, CMO
4.72%, 11/11/35 Aaa 750,911
250,000 Bear Stearns Mortgage Securities, Inc.,
Series 1999-WF2, Class A2, CMO
7.08%, 07/15/31 Aaa 261,126
140,390 Capital One Auto Finance Trust,
Series 2003-A, Class A4A
2.47%, 01/15/10 Aaa 137,890
300,000 Citibank Credit Card Issuance Trust,
Series 2000-A3
6.88%, 11/16/09 Aaa 307,614
710,000 General Electric Capital Commercial Mortgage Corp.,
Series 2002-1A, Class A3, CMO
6.27%, 12/10/35 Aaa 739,266
500,000 GS Mortgage Securities Corp. II,
Series 1997-GL, Class A2D, CMO
6.94%, 07/13/30 Aaa 506,344
750,000 Morgan Stanley Dean Witter Capital I,
Series 2003-T0P9, Class A2, CMO (e)
4.74%, 11/13/36 AAA 718,655
------------
TOTAL ASSET-BACKED AND
MORTGAGE-BACKED SECURITIES 3,421,806
(Cost $3,584,560) ------------
FOREIGN GOVERNMENT OBLIGATIONS (h) - 1.8%
450,000 Province of British Columbia
5.38%, 10/29/08 Aa1 452,978
550,000 Province of Manitoba
4.25%, 11/20/06 Aa2 547,032
500,000 Province of Quebec
6.13%, 01/22/11 A1 516,883
------------
TOTAL FOREIGN GOVERNMENT OBLIGATIONS 1,516,893
(Cost $1,506,352) ------------
FOREIGN BONDS (h) - 8.8%
500,000 Alberta Energy Co., Ltd.
7.38%, 11/01/31 Baa2 576,117
700,000 British Sky Broadcasting Group, Plc
7.30%, 10/15/06 Baa2 706,391
450,000 British Telecom, Plc (f)
8.38%, 12/15/10 Baa1 501,927
375,000 Burlington Resources Finance Co.
7.40%, 12/01/31 A3 446,038
450,000 Canadian Pacific Railroad
5.75%, 03/15/33 Baa2 437,266
355,000 Canadian Pacific Ltd.
9.45%, 08/01/21 Baa2 479,512
500,000 Conoco Funding Co.
7.25%, 10/15/31 A1 584,775
890,000 Domtar, Inc.
5.38%, 12/01/13 B1 729,800
450,000 Norske Skog Canada, Ltd.
7.38%, 03/01/14 B1 425,250
790,000 Royal Bank of Scotland Group, Plc
4.70%, 07/03/18 Aa3 718,992
900,000 Telecom Italia Capital SA
5.25%, 10/01/15 Baa2 837,394
500,000 Telus Corp.
7.50%, 06/01/07 Baa2 511,299
230,000 Tembec Industries, Inc. (a)
8.50%, 02/01/11 Ca 133,975
500,000 Vodafone Group, Plc
6.25%, 11/30/32 A2 486,555
------------
Total Foreign Bonds 7,575,291
(Cost $7,721,003) ------------
SHARES
INVESTMENT COMPANY - 0.2%
164,594 Marshall Money Market Fund NR 164,594
------------
TOTAL INVESTMENT COMPANY 164,594
(Cost $164,594) ------------
SHORT TERM INVESTMENTS (i)(j) - 6.0%
$ 2,000,000 Rabobank Nederland
4.85%, 04/03/06 NR $ 2,000,000
3,100,720 Svenska Handlesbanken
4.85%, 04/03/06 NR 3,100,720
------------
Total Short-Term Investments 5,100,720
(Cost $5,100,720) ------------
TOTAL INVESTMENTS - 104.5% 89,664,892
(Cost $90,984,557) ------------
NET OTHER ASSETS AND LIABILITIES - (4.5)%
(3,859,104)
------------
TOTAL NET ASSETS - 100.0% $ 85,805,788
============
(a) All or a portion of this security is out on loan at March 31, 2006; the
value of securities loaned amounted to $4,981,942.
(b) 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, 2006, these
securities amounted to $110,980, or 0.1% of net assets.
(c) Security is valued by management.
(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 March 31, 2006, these securities
amounted to $2,843,068 or 3.3% 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) Effective yield at time of purchase.
(j) Investments made with cash collateral received from securities on loan.
CMO Collateralized Mortgage Obligation (Pay Through Certificate)
MTN Medium Term Note
NR Not Rated
-------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
March 31, 2006 (Unaudited)
-------------------------------------------------------------------------------
ASSETS:
Investments:
Investments at cost $ 90,984,557
Net unrealized depreciation (1,319,665)
------------
Total investments at value + 89,664,892
Cash 1,982
Interest receivable 1,311,943
------------
Total Assets 90,978,817
------------
LIABILITIES:
Collateral for securities loaned 5,100,720
Management fee payable 30,080
Trustees' fees and expenses payable 10,233
Accrued expenses and other payables 31,996
------------
Total Liabilities 5,173,029
------------
NET ASSETS $ 85,805,788
============
NET ASSETS consist of:
Par Value $ 8,592,306
Paid-in capital 88,089,385
Distribution in excess of net investment income (951,813)
Accumulated net realized loss (8,604,425)
Net unrealized depreciation (1,319,665)
------------
TOTAL NET ASSETS $ 85,805,788
============
SHARES OF BENEFICIAL INTEREST OUTSTANDING
(10,000,000 AUTHORIZED SHARES WITH PAR VALUE OF $1.00) 8,592,306
NET ASSET VALUE
Per share $ 9.986
============
MARKET VALUE (CLOSING PRICE ON NEW YORK STOCK EXCHANGE)
Per share $ 9.19
============
+ Total value of securities on loan $ 4,981,942
============
-------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
For the Three Months Ended March 31, 2006 (Unaudited)
-------------------------------------------------------------------------------
INVESTMENT INCOME
Interest $ 1,222,474
Securities lending income 2,407
------------
Total investment income 1,224,881
------------
EXPENSES
Management fees 93,069
Custodian and Fund accounting fees 21,417
Transfer agent fees 15,778
Legal fees 26,342
Audit fees 14,591
Trustees' fees and expenses 16,227
Reports to shareholders 684
New York Stock Exchange fees 6,164
Miscellaneous 2,635
------------
Total expenses 196,907
------------
NET INVESTMENT INCOME 1,027,974
------------
NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS:
Net realized loss on investments sold (153,111)
Net change in unrealized appreciation (depreciation) of
investments (1,408,947)
------------
NET REALIZED LOSS ON INVESTMENTS (1,562,058)
------------
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS $ (534,084)
============
Continued from front page
main reasons for this is an expected continuation of the huge foreign buying in
the Credit sector from yield-starved global institutional investors.
Within the portfolio, the Investment Manager sold some lower quality bonds that
were considered fully valued. Among these were Stora Enso and Continental
Cablevision. The Auto sector showed some strength after the positive news about
the sale of GMAC. The Investment Manager took advantage of this strength by
selling the portfolio's GMAC and Ford holdings, and a portion of the
portfolio's position in DaimlerChrysler. An American Airlines security which
had recovered in value since year-end was also sold during the period. All the
sales, with the exception of DaimlerChrysler, were of below investment grade
securities. As a result, the portfolio's exposure to the Corporate sector was
reduced by approximately 5% and the portfolio's below investment grade exposure
was also reduced significantly.
------------------------------
Maturity Diversification
YEARS
-----
Under 3 25%
3-5 14%
6-10 36%
11-20 9%
21-Over 16%
------------------------------
* 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 16%
A 17%
Baa 35%
Ba 10%
B 2%
Not Rated 14%
* Standard & Poor's (S&P) credit ratings are used in the absence
of a rating by Moody's.
(One security rated Ca by Moody's amounted to less than 0.2% of
the Trust's total investments.)
-------------------------------------------------------------------------------
-------------------------------------------------------------------------------
SECURITY DIVERSIFICATION
Percentage of Trust's Total Investments
Corporate Notes and Bonds 72%
U.S. Government Obligations 7%
Asset-Backed and Mortgage-Backed Securities 4%
Foreign Bonds 8%
Foreign Government Obligations 2%
Short-Term Investments 6%
U.S. Government Agency Mortgage-Backed Obligations 1%
(Investments in Investment Companies amounted to less than 0.2%
of the Trust's total investments.)
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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 COMPANIES
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Opus Investment Management, 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 (5/06) 06-0036