===AST===
May 2004
---------------------------------------------------
ALLMERICA SECURITIES TRUST FACTS
At March 31, 2004
Market Value $9.76
Net Asset Value $10.839
Total Net Assets (000's) $93,132
Shares Outstanding (000's) 8,592
* Net Investment Income Per Share $0.12
* Increase/Decrease in
Per Share Value Resulting
from Investment Operations $0.33
TOTAL RETURNS AT 3/31/04
Allmerica Securities Trust
Three Months 3.04%
Twelve Months 7.76%
Lehman Brothers U.S. Credit Index
Three Months 3.27%
Twelve Months 8.61%
* For three months ended March 31, 2004
---------------------------------------------------
Allmerica Securities Trust returned 3.04% for the first quarter of 2004,
underperforming its benchmark, the Lehman Brothers U.S. Credit Index*, which
returned 3.27%.
Bond market returns were surprisingly strong during the quarter, owing primarily
to the sizable decline in interest rates that occurred following two weak job
reports. The yield on the two-year Treasury note fell by 25 basis points, while
the decline was even greater on five to ten-year notes. Monthly job data came in
decidedly weak in January and February, leading many to speculate that the
Federal Reserve Board would keep interest rates unchanged throughout 2004.
However, the job report for March showed strong payroll growth across a wide
range of industries. This new data has since caused the bond market to reverse
course, meaning yields are back up and prices are down. But, one strong job
report may not be enough to spur the Federal Reserve Board into action. The
Investment Manager believes that the Federal Reserve Board remains concerned
about the substantial slack in the labor and production markets and will not
move rates higher until there is sustained job growth of at least 200,000
positions per month. As a result, the Investment Manager thinks that the
financial markets will continue to place a great deal of attention on the
monthly job data and volatility will be high in the days surrounding these
releases. The Investment Manager believes that a trading range of 3.75% to 4.25%
on ten-year Treasury securities will hold for much of this year.
During the quarter, the Portfolio was negatively impacted by the drop in
interest rates, as the Portfolio duration was about 96% of the benchmark
duration. The corporate sector, which comprises about 91.5% of the Portfolio,
struggled this quarter, posting just 9 basis points of excess return. Terrorism
fears, valuation issues and the weak equity market weighed heavily on the
corporate sector during the first quarter. However, based on the strong
technical and fundamental indicators supporting it, the Investment Manager
continues to favor the sector and intends to continue to clip coupon income from
the Portfolio's holdings. The Portfolio has been built from a bottom-up
perspective and has become more concentrated as our research analysts identified
companies with improving fundamentals. The Portfolio has an overweight position
in energy, including companies such as Valero Energy Corporation. The Investment
Manager believes that
------------------------------------------
U.S. Treasury Yield Curves
Bond Equivalent
Maturity Yield Percentage
09/30/03 03/31/04
3 Mo. 0.938 0.938
6 Mo. 1.001 0.988
2 Yr. 1.458 1.572
5 Yr. 2.826 2.778
10 Yr. 3.938 3.835
30 Yr. 4.882 4.772
-------------------------------------------
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, 2004 (UNAUDITED)
MOODY'S
PAR VALUE RATINGS VALUE
--------- ------- -----
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED OBLIGATIONS (h) - 0.3%
FREDDIE MAC - 0.3%
$ 135,723 5.00%, 05/15/21 NR $ 139,973
178,154 6.00%, 10/15/07 NR 186,125
------------
326,098
------------
TOTAL U.S. GOVERNMENT AGENCY
MORTGAGE-BACKED OBLIGATIONS 326,098
------------
(Cost $326,469)
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 1.6%
FANNIE MAE - 0.3%
275,000 3.70%, 11/01/07 Aaa 282,843
------------
FEDERAL HOME LOAN BANK - 0.4%
400,000 2.25%, 05/15/06 Aaa 403,742
------------
U.S. TREASURY BOND - 0.9%
225,000 6.00%, 02/15/26 (a) NR 260,859
450,000 6.25%, 05/15/30 NR 543,287
------------
804,146
------------
TOTAL U.S. GOVERNMENT AND
AGENCY OBLIGATIONS 1,490,731
------------
(Cost $1,455,526)
CORPORATE NOTES AND BONDS - 75.6%
AEROSPACE & DEFENSE - 1.1%
450,000 Northrop Grumman Corp.
7.13%, 02/15/11 Baa3 531,905
450,000 Raytheon Co.
5.38%, 04/01/13 Baa3 471,051
------------
1,002,956
------------
AUTO MANUFACTURERS - 1.7%
460,000 DaimlerChrysler North America Holding Corp.
6.90%, 09/01/04 A3 469,250
500,000 DaimlerChrysler North America Holding Corp.
8.50%, 01/18/31 A3 614,897
500,000 General Motors Corp. (a)
7.20%, 01/15/11 Baa1 547,968
------------
1,632,115
------------
AUTO PARTS & EQUIPMENT - 0.6%
460,000 Lear Corp.
8.11%, 05/15/09 Ba1 543,950
------------
BANKS - 8.9%
880,000 Bank of America Corp.
4.88%, 09/15/12 Aa2 913,800
450,000 Bank of New York Co., Inc.
3.75%, 02/15/08 Aa3 464,917
1,000,000 Bank of New York Co., Inc.
6.38%, 04/01/12 A1 1,135,410
450,000 BB&T Corp. (b)
6.38%, 06/30/05 A2 475,742
655,000 Fifth Third Bank
4.50%, 06/01/18 Aa3 633,048
500,000 Firstar Corp.
7.13%, 12/01/09 Aa3 590,412
420,000 National City Bank of Indiana
4.88%, 07/20/07 Aa3 451,531
250,000 Northern Trust Co.
6.65%, 11/09/04 Aa3 257,967
450,000 Regions Bank
2.90%, 12/15/06 Aa3 458,251
200,000 Suntrust Banks, Inc.
6.38%, 04/01/11 Aa3 228,185
125,000 Suntrust Banks, Inc.
7.75%, 05/01/10 A1 153,727
500,000 U.S. Bancorp, MTN
5.10%, 07/15/07 Aa3 541,700
455,000 US Bank National Cincinnati
6.50%, 02/01/08 Aa3 514,703
475,000 Wachovia Bank N.A.
4.85%, 07/30/07 Aa2 510,081
450,000 Wachovia Corp.
4.95%, 11/01/06 Aa3 481,316
450,000 Wells Fargo & Co.
5.13%, 09/01/12 Aa2 474,604
------------
8,285,394
------------
BEVERAGES - 1.5%
450,000 Anheuser-Busch Cos., Inc.
4.63%, 02/01/15 A1 454,751
500,000 Bottling Group LLC
4.63%, 11/15/12 Aa3 511,933
450,000 Diageo Capital, Plc
3.50%, 11/19/07 A2 462,639
------------
1,429,323
------------
CHEMICALS - 0.9%
200,000 Du Pont (E.I.) De Nemours and Co.
8.25%, 09/15/06 Aa3 229,073
500,000 Praxair, Inc.
6.63%, 10/15/07 A3 566,222
------------
795,295
------------
COSMETICS & PERSONAL CARE - 2.3%
500,000 Kimberly-Clark Corp.
7.10%, 08/01/07 Aa2 575,961
300,000 Procter & Gamble Co.
4.75%, 06/15/07 Aa3 321,595
1,000,000 Procter & Gamble Co.
8.50%, 08/10/09 Aa3 1,253,338
------------
2,150,894
------------
DIVERSIFIED FINANCIAL SERVICES - 14.1%
500,000 American Express Co.
3.75%, 11/20/07 A1 520,928
580,000 Bear Stearns Cos., Inc.
4.00%, 01/31/08 A1 601,659
725,000 Capital One Bank
4.88%, 05/15/08 Baa2 763,982
940,000 Capital One Bank
5.75%, 09/15/10 Baa2 1,017,492
500,000 Citifinancial
6.75%, 07/01/07 Aa1 564,114
460,000 Ford Motor Credit Co.
6.50%, 01/25/07 A3 491,374
400,000 Ford Motor Credit Co.
6.88%, 02/01/06 A3 425,451
825,000 Ford Motor Credit Co.
7.25%, 10/25/11 A3 893,523
10,000 Ford Motor Credit Co.
7.38%, 10/28/09 A3 10,976
500,000 General Electric Capital Corp.
8.75%, 05/21/07 Aaa 596,420
500,000 General Electric Capital Corp., MTN
4.25%, 01/15/08 Aaa 525,294
380,000 General Motors Acceptance Corp., MTN (b)
2.37%, 10/20/05 A3 382,747
450,000 Goldman Sachs Group, Inc.
5.70%, 09/01/12 Aa3 486,992
500,000 Household Finance Corp.
8.00%, 07/15/10 A1 612,516
450,000 International Lease Finance Corp.
4.35%, 09/15/08 A1 468,968
425,000 J. Paul Getty Trust
5.88%, 10/01/33 Aaa 455,007
333,153 Jones (Edward D.) & Co., LP (c) (d)
7.95%, 04/15/06 NR 354,154
500,000 Lehman Brothers Holdings, Inc.
4.00%, 01/22/08 A1 518,955
350,000 MBNA Corp., MTN
6.25%, 01/17/07 Baa2 383,348
85,000 MBNA Corp., MTN
7.50%, 03/15/12 Baa2 101,769
500,000 Mellon Funding Corp. (a)
5.00%, 12/01/14 A2 517,662
630,000 Morgan Stanley
4.75%, 04/01/14 A1 619,669
495,000 Morgan Stanley
6.60%, 04/01/12 Aa3 569,114
550,000 Pitney Bowes Credit Corp.
8.55%, 09/15/09 Aa3 677,440
500,000 Toyota Motor Credit Corp.
5.50%, 12/15/08 Aaa 554,989
------------
13,114,543
------------
ELECTRIC - 6.2%
550,000 AmerenEnergy Generating
7.75%, 11/01/05 A3 599,324
500,000 Baltimore Gas & Electric Co.
5.20%, 06/15/33 A2 465,800
505,000 Centerpoint Energy, Inc.
5.88%, 06/01/08 Ba2 524,599
425,000 Detroit Edison Co.
6.13%, 10/01/10 A3 476,552
580,000 Dominion Resources, Inc.
5.25%, 08/01/33 Baa1 590,419
-------------------------------------------------------------------------------
ALLMERICA SECURITIES TRUST
-------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, MARCH 31, 2004 (UNAUDITED) CONTINUED
MOODY'S
PAR VALUE RATINGS VALUE
--------- ------- -----
$ 563,466 East Coast Power LLC
7.07%, 03/31/12 Baa3 $ 569,901
250,000 Entergy Gulf States, Inc.
3.60%, 06/01/08 Baa3 249,420
450,000 FirstEnergy Corp.
6.45%, 11/15/11 Baa3 492,674
225,000 Florida Power & Light
6.88%, 12/01/05 Aa3 243,682
600,000 Gulf States Utilities (e)
8.25%, 04/01/04 BBB- 600,000
450,000 Pacific Gas & Electric Co.
6.05%, 03/01/34 Baa2 455,150
450,000 TXU Energy Co.
7.00%, 03/15/13 Baa2 515,687
------------
5,783,208
------------
ENVIRONMENTAL CONTROL - 1.6%
450,000 Allied Waste North America (f)
6.50%, 11/15/10 Ba3 459,563
500,000 Allied Waste North America
8.50%, 12/01/08 Ba3 560,000
490,000 Waste Management, Inc.
7.00%, 10/01/04 Baa3 501,831
------------
1,521,394
------------
FOOD - 4.0%
525,000 Conagra Foods, Inc.
7.50%, 09/15/05 Baa1 566,522
675,000 Delhaize America, Inc.
8.13%, 04/15/11 Ba1 776,250
460,000 General Mills, Inc.
6.00%, 02/15/12 Baa2 508,004
470,000 Kroger Co.
5.50%, 02/01/13 Baa3 494,438
450,000 Safeway, Inc.
6.50%, 03/01/11 Baa2 502,357
830,000 Unilever Capital Corp.
5.90%, 11/15/32 A1 864,399
------------
3,711,970
------------
FOREST PRODUCTS & PAPER - 2.9%
500,000 International Paper Co.
5.30%, 04/01/15 Baa2 506,230
350,000 International Paper Co.
7.50%, 05/15/04 Baa2 352,174
750,000 Rock-Tenn Co.
5.63%, 03/15/13 Baa3 778,519
450,000 Weyerhaeuser Co.
5.25%, 12/15/09 Baa2 484,944
500,000 Weyerhaeuser Co.
6.75%, 03/15/12 Baa2 564,825
------------
2,686,692
------------
HEALTH CARE-PRODUCTS - 0.1%
120,000 Johnson & Johnson
6.73%, 11/15/23 Aaa 142,068
------------
HEALTH CARE-SERVICES - 1.2%
550,000 HCA, Inc.
6.75%, 07/15/13 Ba1 591,925
450,000 UnitedHealth Group, Inc.
7.50%, 11/15/05 A3 490,006
------------
1,081,931
------------
HOME BUILDERS - 2.1%
920,000 D.R. Horton, Inc.
5.00%, 01/15/09 Ba1 952,200
385,000 Pulte Homes, Inc.
5.25%, 01/15/14 Baa3 388,243
500,000 Pulte Homes, Inc.
8.13%, 03/01/11 Baa3 603,818
------------
1,944,261
------------
INSURANCE - 0.5%
450,000 Marsh & McLennan Cos., Inc.
4.85%, 02/15/13 A2 459,401
------------
LODGING - 1.0%
500,000 Harrah's Operating Co., Inc.
7.13%, 06/01/07 Baa3 560,500
350,000 Park Place Entertainment Corp.
8.13%, 05/15/11 Ba2 399,875
------------
960,375
------------
MEDIA - 4.9%
270,000 Belo Corp.
8.00%, 11/01/08 Baa3 318,788
450,000 Continental Cablevision, Inc.
8.30%, 05/15/06 Baa3 501,512
505,000 Cox Communications, Inc.
7.13%, 10/01/12 Baa2 584,166
225,000 Cox Enterprises, Inc. (f)
4.38%, 05/01/08 Baa1 232,148
700,000 Echostar DBS Corp. (f)
5.75%, 10/01/08 Ba3 722,750
500,000 News America Holdings, Inc.
7.38%, 10/17/08 Baa3 578,141
300,000 Time Warner Cos., Inc.
7.57%, 02/01/24 Baa1 345,474
450,000 Time Warner Entertainment Co.
7.25%, 09/01/08 Baa1 518,898
180,000 Viacom, Inc.
5.50%, 05/15/33 A3 174,902
450,000 Viacom, Inc.
7.88%, 07/30/30 A3 572,134
------------
4,548,913
------------
OFFICE & BUSINESS EQUIPMENT - 0.8%
750,000 Pitney Bowes, Inc.
4.75%, 05/15/18 Aa3 749,964
------------
OIL & GAS - 6.8%
375,000 Burlington Resources, Inc.
7.40%, 12/01/31 Baa1 456,526
580,000 Conoco Funding Co.
5.45%, 10/15/06 A3 626,599
500,000 Conoco Funding Co.
7.25%, 10/15/31 A3 607,812
230,000 Enterprise Products
7.50%, 02/01/11 Baa2 267,828
350,000 Enterprise Products
8.25%, 03/15/05 Baa2 369,426
300,000 Marathon Oil Corp.
6.13%, 03/15/12 Baa1 333,240
500,000 Occidental Petroleum Corp.
6.50%, 04/01/05 Baa1 524,388
625,000 Phillips Petroleum
8.50%, 05/25/05 A3 674,148
690,000 Pioneer Natural Resource Co.
7.50%, 04/15/12 Baa3 820,997
600,000 Texaco Capital, Inc.
8.25%, 10/01/06 Aa3 694,241
435,000 Valero Energy Corp.
6.13%, 04/15/07 Baa3 478,253
400,000 XTO Energy, Inc.
7.50%, 04/15/12 Baa3 475,644
------------
6,329,102
------------
PACKAGING & CONTAINERS - 1.5%
750,000 Illinois Tool Works, Inc.
6.88%, 11/15/08 Aa3 868,303
470,000 Sealed Air Corp. (f)
5.63%, 07/15/13 Baa3 492,621
------------
1,360,924
------------
PHARMACEUTICALS - 3.1%
700,000 Bergen Brunswig Corp. (e)
7.25%, 06/01/05 BB 742,000
750,000 Lilly (Eli) & Co.
7.13%, 06/01/25 Aa3 913,529
710,000 Medco Health Solutions, Inc. (a)
7.25%, 08/15/13 Ba1 800,452
330,000 Zeneca Wilmington
7.00%, 11/15/23 Aa2 395,159
------------
2,851,140
------------
PIPELINES - 0.6%
500,000 Duke Energy Field Services Corp.
7.50%, 08/16/05 Baa2 537,738
------------
RETAIL - 2.8%
500,000 J.C. Penney Co., Inc.
7.38%, 08/15/08 Ba3 563,125
500,000 Kohls Corp.
6.00%, 01/15/33 A3 516,716
890,000 Target Corp.
6.35%, 11/01/32 A2 973,743
450,000 Wal-Mart Stores, Inc.
7.55%, 02/15/30 Aa2 570,548
------------
2,624,132
------------
-------------------------------------------------------------------------------
ALLMERICA SECURITIES TRUST
-------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, MARCH 31, 2004 (UNAUDITED) CONTINUED
MOODY'S
PAR VALUE RATINGS VALUE
--------- ------- -----
SAVINGS & LOANS - 1.0%
$ 455,000 Washington Mutual Bank FA
5.50%, 01/15/13 A3 $ 484,604
450,000 Washington Mutual, Inc.
4.38%, 01/15/08 A3 470,418
------------
955,022
------------
TELECOMMUNICATIONS - 2.2%
500,000 BellSouth Corp.
6.88%, 10/15/31 A1 564,681
680,000 Sprint Capital Corp.
6.13%, 11/15/08 Baa3 749,558
120,000 Sprint Capital Corp.
6.88%, 11/15/28 Baa3 124,619
120,000 Sprint Capital Corp.
7.90%, 03/15/05 Baa3 126,858
450,000 Verizon Florida, Inc.
6.13%, 01/15/13 A1 490,614
------------
2,056,330
------------
TRANSPORTATION - 1.2%
450,000 Consolidated Rail Corp.
9.75%, 06/15/20 Baa2 636,353
255,000 Union Pacific Corp.
5.38%, 06/01/33 Baa2 242,570
250,000 Union Pacific Corp.
6.63%, 02/01/08 Baa2 281,942
------------
1,160,865
------------
TOTAL CORPORATE NOTES AND BONDS 70,419,900
------------
(Cost $66,750,172)
ASSET-BACKED AND MORTGAGE-BACKED SECURITIES (h) - 6.2%
1,000,000 American Airlines, Inc., Pass-Through
Trust, Series 1991 - C2
9.73%, 09/29/14 Caa2 792,610
570,000 Bear Stearns Commercial Mortgage Securities, Inc.,
Series 2002-PBW1, Class A2
4.72%, 11/11/35 Aaa 591,031
250,000 Bear Stearns Mortgage Securities, Inc.,
Series 1999-WF2, Class A2, CMO
7.08%, 06/15/09 Aaa 291,434
300,000 Citibank Credit Card Issuance Trust, Series 2000-Cl, CMO
6.88%, 11/16/09 Aaa 342,780
500,000 General Electric Capital Commercial Mortgage Corp.,
Series 2002-1A, Class A3
6.27%, 12/10/35 Aaa 568,888
500,000 GS Mortgage Securities Corp. II, Series 1997-GL, Class A2D
6.94%, 07/13/30 Aaa 561,340
250,000 MBNA Master Credit Card Trust, Series 1995-C, Class A
6.45%, 02/15/08 Aaa 264,860
250,000 Morgan Stanley Dean Witter Capital I, Series 2002-TOP7,
Class B, CMO
6.08%, 01/15/39 Aa2 280,869
750,000 Morgan Stanley Dean Witter Capital I, Series 2003-T0P9,
Class A2, CMO (e)
4.74%, 11/13/36 AAA 776,205
139,767 Toyota Auto Receivables Owner Trust, Series 2002-B, Class A3
3.76%, 06/15/06 Aaa 141,228
1,000,000 Union Acceptance Corp., Series 2000-B, Class B
7.73%, 01/08/08 Aaa 1,028,717
94,966 USAA Auto Owner Trust, Series 2000-1, Class A4
6.98%, 06/15/05 Aaa 95,464
------------
TOTAL ASSET-BACKED AND
MORTGAGE-BACKED SECURITIES 5,735,426
------------
(Cost $5,849,292)
FOREIGN GOVERNMENT OBLIGATIONS (i) - 2.9%
450,000 Province of British Columbia
5.38%, 10/29/08 Aa2 495,264
550,000 Province of Manitoba
4.25%, 11/20/06 Aa2 579,401
500,000 Province of Ontario
2.63%, 12/15/05 Aa2 507,585
500,000 Province of Quebec
6.13%, 01/22/11 A1 572,540
450,000 Province of Quebec
7.00%, 01/30/07 A1 507,478
------------
Total Foreign Government Obligations 2,662,268
------------
(Cost $2,471,618)
FOREIGN BONDS (i) - 10.4%
500,000 Alberta Energy Co., Ltd.
7.38%, 11/01/31 Baa1 612,714
700,000 British Sky Broadcasting Group, Plc
7.30%, 10/15/06 Baa3 780,891
450,000 British Telecom, Plc (g)
8.38%, 12/15/10 Baa1 556,089
500,000 Calpine Canada Energy Finance
8.50%, 05/01/08 Caa1 370,000
355,000 Canadian Pacific, Ltd.
9.45%, 08/01/21 Baa2 498,946
450,000 Canadian Pacific Railroad
5.75%, 03/15/33 Baa2 456,552
100,000 KFW International Finance, Inc.
4.25%, 04/18/05 Aaa 102,971
450,000 Norske Skog Canada, Ltd. (f)
7.38%, 03/01/14 Ba3 463,500
790,000 Royal Bank of Scotland Group, Plc
4.70%, 07/03/18 Aa3 762,838
450,000 Sappi Papier Holding AG (f)
6.75%, 06/15/12 Baa2 507,565
1,000,000 St. George Bank, Ltd., Yankee Debenture (f)
7.15%, 10/15/05 A3 1,078,797
435,000 Stora Enso Oyj
7.38%, 05/15/11 Baa1 515,623
500,000 Telus Corp.
7.50%, 06/01/07 Baa3 568,738
460,000 Tembec Industries, Inc.
8.50%, 02/01/11 Ba3 460,000
435,000 Tyco International Group S.A. (f)
6.00%, 11/15/13 Ba2 458,676
490,000 Tyco International Group S.A.
6.38%, 10/15/11 Ba2 535,951
450,000 Vodafone Group, Plc
5.38%, 01/30/15 A2 471,258
500,000 Vodafone Group, Plc
6.25%, 11/30/32 A2 533,616
------------
TOTAL FOREIGN BONDS 9,734,725
------------
(Cost $9,281,886)
MUNICIPAL OBLIGATIONS - 0.8%
750,000 Illinois State General Obligation
3.85%, 06/01/13 Aa3 725,753
------------
TOTAL MUNICIPAL OBLIGATIONS 725,753
------------
(Cost $748,614)
SHARES
------
INVESTMENT COMPANY - 0.7%
641,480 Marshall Money Market Fund NR 641,480
------------
TOTAL INVESTMENT COMPANY 641,480
------------
(Cost $641,480)
TOTAL INVESTMENTS - 98.5% 91,736,381
------------
(Cost $87,525,057)
NET OTHER ASSETS AND LIABILITIES - 1.5% 1,395,329
------------
TOTAL NET ASSETS - 100.0% $ 93,131,710
============
(a) All or a portion of this security is out on loan at March 31, 2004; the
value of the securities loaned amounted to $1,724,398. The value of
collateral amounted to $1,774,220 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, 2004, these
securities amounted to $354,154 or 0.4% 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) 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, 2004, these securities
amounted to $4,415,620 or 4.7% of net assets.
(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
MTN Medium Term Note
NR Not Rated
-------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
MARCH 31, 2004 (UNAUDITED)
-------------------------------------------------------------------------------
ASSETS:
Investments:
Investments at cost ......................................... $ 87,525,057
Net unrealized appreciation ................................. 4,211,324
------------
Total investments at value + .............................. 91,736,381
Cash ........................................................ 11,370
Short-term investments held as collateral for securities
loaned .................................................... 1,774,220
Interest receivable ......................................... 1,502,651
------------
Total Assets .............................................. 95,024,622
------------
LIABILITIES:
Collateral for securities loaned .............................. 1,774,220
Management fee payable ........................................ 39,277
Trustees' fees and expenses payable ........................... 5,173
Accrued expenses and other payables ........................... 74,242
------------
Total Liabilities ......................................... 1,892,912
------------
NET ASSETS ...................................................... $ 93,131,710
============
NET ASSETS CONSIST OF:
Par Value ..................................................... $ 8,592,306
Paid-in capital ............................................... 88,089,385
Distribution in excess of net investment income ............... (734,601)
Accumulated net realized loss ................................. (7,026,704)
Net unrealized appreciation ................................... 4,211,324
------------
TOTAL NET ASSETS ................................................ $ 93,131,710
============
SHARES OF BENEFICIAL INTEREST OUTSTANDING (10,000,000 AUTHORIZED
SHARES WITH PAR VALUE OF $1.00) ............................... 8,592,306
NET ASSET VALUE
Per share ..................................................... $ 10.839
============
MARKET VALUE (closing price on New York Stock Exchange)
Per share ..................................................... $ 9.76
============
+ Total value of securities on loan ......................... $ 1,724,398
============
-------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE THREE MONTHS ENDED MARCH 31, 2004 (UNAUDITED)
-------------------------------------------------------------------------------
INVESTMENT INCOME
Interest ...................................................... $ 1,232,688
Securities lending income ..................................... 1,093
------------
Total investment income ..................................... 1,233,781
------------
EXPENSES
Management fees ............................................... 103,269
Custodian and Fund accounting fees ............................ 15,417
Transfer agent fees ........................................... 11,102
Legal fees .................................................... 1,439
Audit fees .................................................... 7,918
Trustees' fees and expenses ................................... 5,268
Reports to shareholders ....................................... 27,314
New York Stock Exchange fees .................................. 5,905
Miscellaneous ................................................. 1,489
------------
Total expenses .............................................. 179,121
------------
NET INVESTMENT INCOME ........................................... 1,054,660
------------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS:
Net realized gain on investments sold ......................... 86,493
Net change in unrealized appreciation of investments .......... 1,692,293
------------
NET GAIN ON INVESTMENTS ......................................... 1,778,786
------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ............ $ 2,833,446
============
Continued from front page
holdings such as Weyerhauser Company and Sealed Air
Corporation should enjoy improved pricing for many of their products. As a
continued play on an improving economy and cheap relative value for their
respective ratings, the Investment Manager continues to hold auto company
securities, including Ford, General Motors and DaimlerChrysler.
------------------------------
Maturity Diversification
YEARS
-----
Under 3 19%
3-5 23%
6-10 33%
11-20 8%
21-Over 17%
------------------------------
The Investment Manager has an upbeat outlook for the economy. The job situation
appears to be improving, business inventories are low, housing is strong and
exports are up. Most economists are projecting GDP growth in the 4-5% range for
the full year, and evidence thus far suggests that type of growth may be
attainable. Many companies are finally considering adding employees and
expanding capital outlays, as their confidence in the recovery improves.
Meanwhile, inflation remains relatively tame, as labor productivity continues to
be strong and global competition remains intense.
* 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 9%
Aa 21%
A 25%
Baa 31%
Ba 11%
Caa 1%
Not Rated 2%
* Standard & Poor's (S&P) credit ratings are used in the absence
of a rating by Moody's.
-------------------------------------------------------------------------------
SECURITY DIVERSIFICATION
Percentage of Trust's Total Investments
Corporate Notes and Bonds 77%
U.S. Government and Agency Obligations 2%
Asset-Backed and Mortgage-Backed Securities 6%
Foreign Bonds 10%
Foreign Government Obligations 3%
Investment Company 1%
Municipal Obligations 1%
(U.S. Government Agency Mortgage-Backed Obligations 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.
Allmerica Financial Alliance Insurance Company o Allmerica Financial Benefit Insurance Company o AMGRO, Inc.
Financial Profiles, Inc. o VeraVest Investments, Inc. o VeraVest Investment Advisors, Inc. o Opus Investment Management, Inc.
First Allmerica Financial Life Insurance Company o Allmerica Financial Life Insurance and Annuity Company (all states except NY)
440 Lincoln Street, Worcester, Massachusetts 01653
12719 (4/04) 04-0059