N-Q 1 seriestrust4086nq.htm QUARTERLY NOTICE OF PORTFOLIO HOLDINGS Quarterly Notice of Portfolio Holdings



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 811-03641



40|86 Series Trust
(Exact name of registrant as specified in charter)



11825 N. Pennsylvania Street
Carmel, IN 46032
(Address of principal executive offices) (Zip code)



Sarah L. Bertrand
11825 N. Pennsylvania Street
Carmel, IN 46032
(Name and address of agent for service)



317-817-4086
Registrant's telephone number, including area code



Date of fiscal year end: 12/31/2005



Date of reporting period: 3/31/2005




 
Item 1. Schedule of Investments.

40|86 Series Trust
     
Focus 20 Portfolio
      
Schedule of Investments
      
March 31, 2005
      
(Unaudited)
      
       
SHARES OR
     
PRINCIPAL AMOUNT
    
VALUE
         
   
COMMON STOCKS - 94.9%
    
   
Air Freight & Logistics - 3.8%
    
600
  
United Parcel Service, Inc.
 
$                   43,644
       
   
Biotechnology - 7.1%
    
800
  
Affymetrix, Inc. (a)
  
34,272
800
  
Amgen, Inc. (a)
  
46,568
     
80,840
   
Capital Markets - 5.0%
    
5,400
  
The Charles Schwab Corp.
 
56,754
         
   
Communications Equipment - 12.6%
    
3,000
  
Cisco Systems, Inc. (a)
  
53,670
2,100
  
Juniper Networks, Inc. (a)
  
46,326
1,200
  
QUALCOMM, Inc.
 
43,980
       
143,976
   
Computers & Peripherals - 11.8%
    
500
  
Avid Technology, Inc. (a)
  
27,060
1,400
  
Dell, Inc. (a)
  
53,788
4,400
  
EMC Corp. (a)
  
54,208
       
135,056
   
Consumer Finance - 4.5%
    
2,100
  
MBNA Corp.
 
51,555
         
   
Diversified Financial Services - 3.9%
    
1,000
  
Citigroup, Inc.
 
44,940
         
   
Electrical Equipment - 2.5%
    
500
  
Rockwell Automation, Inc.
 
28,320
         
   
Electronic Equipment & Instruments - 2.0%
    
1,600
  
Symbol Technologies, Inc.
 
23,184
         
         
   
Health Care Equipment & Supplies - 4.0%
    
900
  
Medtronic, Inc.
 
45,855
         
   
Household Durables - 1.6%
    
200
  
Harman International Industries, Inc.
 
17,692
         
   
Internet & Catalog Retail - 4.6%
    
1,400
  
eBay, Inc. (a)
  
52,164
         
   
IT Services - 2.4%
    
600
  
Cognizant Technology Solutions Corp. (a)
  
27,720
         
   
Machinery - 4.0%
    
500
  
Caterpillar, Inc.
 
45,720
         
   
Pharmaceuticals - 3.4%
    
1,500
  
Pfizer, Inc.
 
$                   39,405
         
   
Semiconductor & Semiconductor Equipment - 13.1%
    
2,900
  
Applied Materials, Inc.
 
47,125
1,300
  
Linear Technology Corp.
 
49,803
1,300
  
Maxim Integrated Products, Inc.
 
53,131
       
150,059
   
Software - 8.6%
    
1,000
  
Electronic Arts, Inc. (a)
  
51,780
2,200
  
Symantec Corp. (a)
  
46,926
       
98,706
         
   
Total common stock (cost $1,131,384)
  
1,085,590
         
   
SHORT TERM INVESTMENTS - 6.8%
    
51,000
  
AIM Liquid Asset Portfolio
  
51,000
27,000
  
Nations Treasury Reserve
  
27,000
   
Total short term investments (cost $78,000)
  
78,000
         
         
   
Total investments (cost $1,209,384) - 101.7%
  
1,163,590
         
   
Liabilities in excess of other assets - (1.7%)
  
(19,126)
         
   
Total net assets - 100.0%
  
$           1,144,464
         
       
   
(a) Non-income producing security
    
         

 
 

40|86 Series Trust
      
Equity Portfolio
      
Schedule of Investments
      
March 31, 2005
      
(Unaudited)
      
       
SHARES OR
      
PRINCIPAL AMOUNT
    
VALUE
   
COMMON STOCKS - 99.7%
    
   
Aerospace & Defense - 0.8%
    
27,800
  
Rockwell Collins, Inc.
 
$              1,323,002
         
   
Air Freight & Logistics - 0.7%
    
29,200
  
Ryder System, Inc.
 
1,217,640
         
   
Auto Components - 1.1%
    
22,500
  
Autoliv, Inc.
 
1,072,125
16,700
  
BorgWarner, Inc. (b)
  
812,956
       
1,885,081
   
Beverages - 0.8%
    
14,600
  
Constellation Brands, Inc. - Class A (a)
  
771,902
23,200
  
PepsiAmericas, Inc.
 
525,712
       
1,297,614
   
Biotechnology - 1.9%
    
18,600
  
Charles River Laboratories International, Inc. (a)(b)
  
874,944
19,200
  
Genzyme Corp. (a)(b)
  
1,099,008
16,600
  
Invitrogen Corp. (a)(b)
  
1,148,720
       
3,122,672
   
Capital Markets - 2.0%
    
19,900
  
The Bear Stearns Companies Inc.
 
1,988,010
39,100
  
SEI Investments Co.
 
1,413,856
       
3,401,866
   
Chemicals - 3.0%
    
35,800
  
PPG Industries, Inc.
 
2,560,416
27,200
  
Praxair, Inc.
 
1,301,792
18,600
  
Sigma-Aldrich Corp. (b)
  
1,139,250
       
5,001,458
   
Commercial Banks - 5.7%
    
52,700
  
Associated Banc-Corp
 
1,645,821
12,900
  
Comerica, Inc.
 
710,532
17,200
  
Compass Bancshares, Inc. (b)
  
780,880
18,600
  
Hibernia Corp. - Class A (b)
  
595,386
34,500
  
Marshall & Ilsley Corp. (b)
  
1,440,375
15,900
  
Mercantile Bankshares Corp.
 
808,674
43,700
  
Regions Financial Corp. (b)
  
1,415,880
21,200
  
UnionBanCal Corp.
 
1,298,500
12,100
  
Zions Bancorporation
 
835,142
       
9,531,190
   
Commercial Services & Supplies - 1.9%
    
23,200
  
Copart, Inc. (a)
  
546,592
12,600
  
Dun & Bradstreet Corp. (a)
  
774,270
27,800
  
Republic Services, Inc. (b)
  
930,744
29,800
  
RR Donnelley & Sons Co.
 
942,276
       
3,193,882
   
Communications Equipment - 1.6%
    
49,000
  
Harris Corp. (b)
  
1,599,850
13,400
  
Plantronics, Inc. (b)
  
510,272
19,200
  
Scientific-Atlanta, Inc. (b)
  
541,824
       
$              2,651,946
   
Computers & Peripherals - 4.0%
    
41,200
  
Apple Computer, Inc. (a)
  
1,716,804
11,900
  
Lexmark International, Inc. - Class A (a)(b)
  
951,643
22,000
  
NCR Corp. (a)(b)
  
742,280
38,300
  
QLogic Corp. (a)
  
1,551,150
35,800
  
Storage Technology Corp. (a)(b)
  
1,102,640
47,100
  
Western Digital Corp. (a)(b)
  
600,525
       
6,665,042
   
Construction Materials - 0.5%
    
15,600
  
Martin Marietta Materials, Inc.
 
872,352
         
   
Containers & Packaging - 0.4%
    
22,500
  
Bemis Co. (b)
  
700,200
         
   
Diversified Financial Services - 3.1%
    
51,700
  
CIT Group, Inc.
 
1,964,600
19,300
  
Moody's Corp.
 
1,560,598
97,600
  
Providian Financial Corp. (a)(b)
  
1,674,816
       
5,200,014
         
   
Diversified Telecommunication Services - 0.6%
    
28,400
  
CenturyTel, Inc.
 
932,656
         
   
Electric Utilities - 4.2%
    
105,400
  
PG&E Corp. (b)
  
3,594,140
43,800
  
TXU Corp. (b)
  
3,487,794
       
7,081,934
         
   
Electronic Equipment & Instruments - 1.9%
    
37,500
  
Avnet, Inc. (a)(b)
  
690,750
34,500
  
Ingram Micro, Inc. - Class A (a)
  
575,115
22,200
  
Rockwell Automation, Inc.
 
1,257,408
59,300
  
Vishay Intertechnology, Inc. (a)(b)
  
737,099
       
3,260,372
   
Energy Equipment & Services - 1.9%
    
31,200
  
Baker Hughes, Inc. (b)
  
1,388,088
39,891
  
National-Oilwell Varco, Inc. (a)(b)
  
1,862,910
       
3,250,998
   
Food & Staples Retailing - 1.2%
    
27,200
  
Albertson's, Inc. (b)
  
561,680
42,400
  
Supervalu, Inc.
 
1,414,040
       
1,975,720
   
Food Products - 1.3%
    
38,000
  
Archer-Daniels-Midland Co.
 
934,040
15,900
  
Hershey Foods Corp. (b)
  
961,314
19,500
  
Tyson Foods, Inc. (b)
  
325,260
       
2,220,614
         
   
General Contractors - 2.0%
    
4,400
  
NVR, Inc. (a)(b)
  
3,454,000
         
   
Health Care Equipment & Supplies - 3.1%
    
15,400
  
Bausch & Lomb, Inc. (b)
  
1,128,820
19,200
  
Becton, Dickinson & Co.
 
1,121,664
19,400
  
C.R. Bard, Inc.
 
1,320,752
31,100
  
NBTY, Inc. (a)(b)
  
780,299
32,800
  
Thermo Electron Corp. (a)
  
829,512
       
$              5,181,047
   
Health Care Providers & Services - 5.4%
    
42,400
  
Aetna, Inc. (b)
  
3,177,880
35,100
  
Apria Healthcare Group, Inc. (a)(b)
  
1,126,710
30,200
  
Coventry Health Care, Inc. (a)
  
2,057,828
23,200
  
Laboratory Corp. Of America Holdings (a)
  
1,118,240
22,800
  
McKesson Corp. (b)
  
860,700
19,850
  
Renal Care Group, Inc. (a)
  
753,109
       
9,094,467
   
Hotels Restaurants & Leisure - 2.3%
    
26,000
  
Caesars Entertainment, Inc. (a)
  
514,540
14,100
  
Choice Hotels International, Inc.
 
873,495
57,000
  
Darden Restaurants, Inc.
 
1,748,760
14,200
  
Yum! Brands, Inc.
 
735,702
       
3,872,497
   
Household Products - 0.7%
    
17,200
  
Clorox Co.
 
1,083,428
         
   
Household Durables - 1.1%
    
8,100
  
The Black & Decker Corp. (b)
  
639,819
14,600
  
Fortune Brands, Inc. (b)
  
1,177,198
       
1,817,017
         
   
Industrial Conglomerates - 0.5%
    
10,700
  
Textron, Inc.
 
798,434
         
   
Insurance - 4.5%
    
32,500
  
Allmerica Financial Corp. (a)
  
1,168,375
42,400
  
American Financial Group Inc.
 
1,305,920
31,800
  
Genworth Financial, Inc. - Class A
  
875,136
17,900
  
Lincoln National Corp. (b)
  
808,006
8,700
  
Loews Corp.
 
639,798
30,500
  
Protective Life Corp.
 
1,198,650
31,800
  
Safeco Corp. (b)
  
1,548,978
       
7,544,863
   
IT Services - 1.4%
    
13,900
  
Affiliated Computer Services, Inc. (a)(b)
  
740,036
34,500
  
Computer Sciences Corp. (a)(b)
  
1,581,825
       
2,321,861
         
   
Leisure Equipment & Products - 1.3%
    
21,000
  
Eastman Kodak Co. (b)
  
683,550
20,900
  
Polaris Industries, Inc. (b)
  
1,467,807
       
2,151,357
         
   
Machinery - 1.3%
    
30,275
  
Paccar, Inc.
 
2,191,607
         
   
Media - 2.2%
    
43,700
  
Harte-Hanks, Inc. (b)
  
1,204,372
15,300
  
Knight-Ridder, Inc. (b)
  
1,028,925
43,700
  
Valassis Communications, Inc. (a)
  
1,527,752
       
3,761,049
   
Metals & Mining - 2.8%
    
50,400
  
Nucor Corp. (b)
  
2,901,024
10,600
  
Phelps Dodge Corp. (b)
  
1,078,338
13,300
  
United States Steel Corp. (b)
  
676,305
       
4,655,667
   
Multiline Retail - 2.5%
    
30,400
  
Federated Department Stores (b)
  
$              1,934,656
35,100
  
J.C. Penney Co, Inc. Holding Co.
  
1,822,392
3,557
  
Sears Holdings Corp. (a)(b)
  
473,638
       
4,230,686
         
   
Multi-Utilities & Unregulated Power - 3.2%
    
102,700
  
Oneok, Inc. (b)
  
3,165,214
37,100
  
Questar Corp.
 
2,198,175
       
5,363,389
   
Oil & Gas - 5.6%
    
10,600
  
Amerada Hess Corp. (b)
  
1,019,826
30,600
  
EOG Resources, Inc. (b)
  
1,491,444
17,900
  
Newfield Exploration Co. (a)
  
1,329,254
116,500
  
The Williams Companies, Inc.
 
2,191,365
45,700
  
Valero Energy Corp.
 
3,348,439
       
9,380,328
         
   
Pharmaceuticals - 0.7%
    
37,100
  
Eon Labs, Inc. (a)(b)
  
1,121,904
         
   
Real Estate Investment Trusts - 5.4%
    
22,500
  
AvalonBay Communities, Inc. (b)
  
1,505,025
19,900
  
CBL & Associates Properties, Inc. (b)
  
1,423,049
141,200
  
HRPT Properties Trust (b)
  
1,681,692
15,500
  
Kimco Realty Corp.
 
835,450
27,200
  
Mack-Cali Realty Corp.
 
1,151,920
38,600
  
Prologis
 
1,432,060
20,800
  
Regency Centers Corp.
 
990,704
       
9,019,900
   
Road & Rail - 1.6%
    
33,800
  
Burlington Northern Santa Fe Corp.
 
1,822,834
18,600
  
JB Hunt Transport Services, Inc. (b)
  
814,122
       
2,636,956
   
Semiconductor & Semiconductor Equipment - 2.2%
    
24,200
  
Cree, Inc. (a)(b)
  
526,350
98,100
  
MEMC Electronic Materials, Inc. (a)
  
1,319,445
61,700
  
National Semiconductor Corp. (b)
  
1,271,637
21,500
  
Silicon Laboratories, Inc. (a)(b)
  
638,765
       
3,756,197
   
Software - 2.9%
    
43,333
  
Activision, Inc. (a)
  
641,333
49,800
  
Adobe Systems, Inc.
 
3,345,066
29,200
  
Autodesk, Inc. (b)
  
868,992
       
4,855,391
   
Specialty Retail - 4.1%
    
35,000
  
Abercrombie & Fitch Co. - Class A
 
2,003,400
59,500
  
American Eagle Outfitters (b)
  
1,758,225
51,700
  
Circuit City Stores, Inc.
 
829,785
55,900
  
Office Depot, Inc. (a)(b)
  
1,239,862
16,200
  
Rent-A-Center, Inc. (a)
  
442,422
13,600
  
The Sherwin-Williams Co.
 
598,264
       
6,871,958
   
Textiles, Apparel & Luxury Goods - 1.0%
    
15,200
  
Coach, Inc. (a)
  
860,776
10,700
  
Timberland Co. - Class A (a)(b)
  
758,951
       
1,619,727
   
Thrifts & Mortgage Finance - 0.3%
    
13,900
  
IndyMac Bancorp, Inc. (b)
  
$                 472,600
         
   
Tobacco - 0.5%
    
10,800
  
Reynolds American, Inc. (b)
  
870,372
         
   
Toys - 0.8%
    
61,100
  
Mattel, Inc.
 
1,304,485
         
   
Trading Companies & Distributors - 1.0%
    
19,900
  
Hughes Supply, Inc.
 
592,025
18,600
  
W.W. Grainger, Inc.
 
1,158,222
       
1,750,247
         
   
Wireless Telecommunication Services - 0.7%
    
32,500
  
Western Wireless Corp. - Class A (a)(b)
  
1,233,700
         
   
Total common stocks (cost $133,235,468)
  
167,201,387
         
   
INVESTMENT PURCHASED WITH CASH
   
   
PROCEEDS FROM SECURITIES LENDING - 28.5%
    
$                 250,000
  
AIG Sunamerica Global Finance Note, 2.873%, due 05/25/2005
  
249,798
2,000,000
  
AIG Sunamerica Global Finance Note, 3.050%, due 06/13/2005
  
2,001,440
32,261,000
  
Bank of New York Institutional Cash Reserve Fund
  
32,266,009
1,000,000
  
Beta Finance Inc. Note, 2.973%, due 04/01/2005
  
999,770
1,000,000
  
Birkshire Hathaway Finance Note, 2.660%, due 04/11/2005
  
1,000,290
1,000,000
  
Centauri Corp. USA Inc. Note, 2.820%, due 04/15/2005
  
999,740
1,500,000
  
Dorada Finance Inc. Note, 2.973%, due 04/01/2005
  
1,499,400
1,800,000
  
General Electric Capital Corp. Note, 2.620%, due 04/04/2005
  
1,800,720
1,000,000
  
Links Finance LLC Note, 2.978%, due 04/01/2005
  
999,680
1,000,000
  
Sigma Finance Inc. Note, 2.660%, due 04/20/2005
  
999,400
2,000,000
  
Superior Wholesale Inventory Financing Trust, Series # 2004-A10 A, 2.910%, due 04/15/2005
  
2,003,346
1,000,000
  
TIAA Global Markets Note, 2.780%, due 04/13/2005
  
1,001,410
1,000,000
  
Stanfield Victoria LLC Note, 2.770%, due 01/26/2005
  
999,980
1,000,000
  
White Pine Finance Note, 2.850%, due 04/20/05
  
1,000,040
   
Investment purchased with cash proceeds
    
   
from securities lending (cost $47,821,023)
  
47,821,023
         
   
SHORT TERM INVESTMENTS - 0.2%
    
419,000
  
AIM Liquid Asset Portfolio
  
419,000
   
Total short term investments (cost $419,000)
  
419,000
         
   
Total investments (cost $181,475,491) - 128.4%
  
215,441,410
         
   
Liabilities in excess of other assets - (28.4%)
  
(47,683,275)
         
   
Total net assets - 100.0%
  
$      167,758,135
         
         
         
         
         
   
(a) Non-income producing security
    
   
(b) Securities (partial/entire) out on loan.
    
         



40|86 Series Trust
      
Balanced Portfolio
      
Schedule of Investments
      
March 31, 2005
      
(Unaudited)
      
       
SHARES OR
      
PRINCIPAL AMOUNT
    
VALUE
   
COMMON STOCKS - 70.7%
    
   
Aerospace & Defense - 1.2%
    
2,300
  
General Dynamics Corp.
 
$                 246,215
5,300
  
Northrop Grumman Corp.
 
286,094
     
532,309
   
Air Freight & Logistics - 0.5%
    
6,000
  
Ryder System, Inc.
 
250,200
       
   
Automobiles - 0.4%
    
15,100
  
Ford Motor Co. (e)
  
171,083
       
   
Beverages - 1.4%
    
4,400
  
Constellation Brands, Inc. - Class A (a)
  
232,628
900
  
Molson Coors Brewing Co. - Class B (e)
  
69,453
6,560
  
PepsiCo, Inc.
 
347,877
     
649,958
   
Biotechnology - 1.2%
    
4,600
  
Amgen, Inc. (a)
  
267,766
500
  
Cephalon, Inc. (a)(e)
  
23,415
2,100
  
Charles River Laboratories International, Inc. (a)
  
98,784
4,000
  
Gilead Sciences, Inc. (a)
  
143,200
     
533,165
   
Capital Markets - 2.6%
    
3,400
  
The Bear Stearns Companies Inc.
 
339,660
2,400
  
The Goldman Sachs Group, Inc.
 
263,976
6,900
  
Merrill Lynch & Co, Inc.
 
390,540
5,300
  
SEI Investments Co.
 
191,648
     
1,185,824
       
   
Chemicals - 1.2%
    
5,800
  
PPG Industries, Inc.
 
414,816
2,000
  
Sigma-Aldrich Corp. (e)
  
122,500
     
537,316
   
Commercial Banks - 4.9%
    
22,500
  
Bank of America Corp. (e)
  
992,250
6,600
  
KeyCorp
 
214,170
1,900
  
SunTrust Banks, Inc. (e)
  
136,933
14,800
  
Wachovia Corp. (e)
  
753,468
1,700
  
Zions Bancorporation
 
117,334
     
2,214,155
   
Commercial Services & Supplies - 0.1%
    
2,800
  
Copart, Inc. (a)
  
65,968
       
   
Communications Equipment - 1.6%
    
31,170
  
Cisco Systems, Inc. (a)
  
557,631
3,600
  
Harris Corp. (e)
  
117,540
1,400
  
Scientific-Atlanta, Inc. (e)
  
39,508
     
714,679
   
Communications Services - 1.9%
    
18,500
  
AT&T Corp. (e)
  
$                 346,875
16,500
  
Sprint Corp. (e)
  
375,375
3,700
  
Verizon Communications, Inc.
 
131,350
     
853,600
   
Computers & Peripherals - 2.9%
    
2,500
  
Apple Computer, Inc. (a)(e)
  
104,175
9,700
  
Dell, Inc. (a)
  
372,674
13,888
  
Hewlett-Packard Co. (e)
  
304,703
1,850
  
International Business Machines Corp.
 
169,053
1,100
  
Lexmark International, Inc. - Class A (a)(e)
  
87,967
3,700
  
NCR Corp. (a)
  
124,838
1,900
  
QLogic Corp. (a)(e)
  
76,950
2,000
  
Storage Technology Corp. (a)(e)
  
61,600
     
1,301,960
       
   
Diversified Financial Services - 2.8%
    
4,000
  
CIT Group, Inc.
 
152,000
6,832
  
Citigroup, Inc.
 
307,030
4,640
  
J.P. Morgan Chase & Co.
 
160,544
4,000
  
Moody's Corp.
 
323,440
5,000
  
Principal Financial Group, Inc.
 
192,450
6,700
  
Providian Financial Corp. (a)(e)
  
114,972
     
1,250,436
   
Electric Utilities - 1.8%
    
11,500
  
PG&E Corp. (e)
  
392,150
5,100
  
TXU Corp. (e)
  
406,113
     
798,263
       
   
Electronic Equipment & Instruments - 1.8%
    
1,200
  
CDW Corp. (e)
  
68,016
6,000
  
Ingram Micro, Inc. - Class A (a)
  
100,020
5,900
  
Rockwell Automation, Inc.
 
334,176
9,900
  
Tyco International Ltd. (b)(e)
  
334,620
     
836,832
   
Energy Equipment & Services - 0.5%
    
4,700
  
Baker Hughes, Inc. (e)
  
209,103
       
   
Food & Staples Retailing - 0.7%
    
2,300
  
CVS Corp.
 
121,026
5,300
  
Supervalu, Inc. (e)
  
176,755
     
297,781
   
Food Products - 0.9%
    
5,100
  
Archer-Daniels-Midland Co.
 
125,358
3,800
  
Hershey Foods Corp.
 
229,748
4,400
  
Tyson Foods, Inc. (e)
  
73,392
     
428,498
       
   
General Contractors - 0.7%
    
170
  
NVR, Inc. (a)(e)
  
133,450
2,600
  
Toll Brothers, Inc. (a)(e)
  
205,010
     
338,460
       
   
Health Care Equipment & Supplies - 1.5%
    
1,500
  
Bausch & Lomb, Inc. (e)
  
109,950
5,000
  
Becton, Dickinson & Co.
 
292,100
4,000
  
C.R. Bard, Inc.
 
272,320
     
674,370
   
Health Care Providers & Services - 2.1%
    
3,450
  
Coventry Health Care, Inc. (a)
  
$                 235,083
9,000
  
Humana, Inc. (a)
  
287,460
4,200
  
McKesson Corp. (e)
  
158,550
3,396
  
Medco Health Solutions, Inc. (a)
  
168,340
2,300
  
Triad Hospitals, Inc. (a)
  
115,230
     
964,663
   
Hotels Restaurants & Leisure - 1.3%
    
6,800
  
Darden Restaurants, Inc. (e)
  
208,624
12,400
  
McDonald's Corp.
 
386,136
     
594,760
       
   
Household Products - 0.9%
    
2,000
  
Clorox Co.
 
125,980
1,100
  
Energizer Holdings, Inc. (a)(e)
  
65,780
2,500
  
Fortune Brands, Inc. (e)
  
201,575
     
393,335
       
   
Industrial Conglomerates - 1.3%
    
7,800
  
Textron, Inc.
 
582,036
       
   
Insurance - 2.9%
    
10,900
  
The Allstate Corp.
 
589,254
6,500
  
Genworth Financial, Inc. (e)
  
178,880
2,700
  
Lincoln National Corp. (e)
  
121,878
5,200
  
Metlife, Inc.
 
203,320
4,100
  
Prudential Financial, Inc.
 
235,340
     
1,328,672
       
   
IT Services - 0.7%
    
1,600
  
CheckFree Corp. (a)(e)
  
65,216
5,600
  
Cognizant Technology Solutions Corp. (a)(e)
  
258,720
     
323,936
   
Machinery - 0.9%
    
4,700
  
Graco, Inc.
 
189,692
3,100
  
Paccar, Inc.
 
224,409
     
414,101
   
Media - 3.0%
    
2,500
  
Harte-Hanks, Inc. (e)
  
68,900
2,725
  
The McGraw-Hill Companies, Inc.
 
237,756
24,130
  
Time Warner, Inc. (a)
  
423,482
8,800
  
Viacom, Inc. - Class B
 
306,504
11,600
  
The Walt Disney Co.
 
333,268
     
1,369,910
   
Metals & Mining - 0.5%
    
3,600
  
Nucor Corp. (e)
  
207,216
       
   
Multiline Retail - 1.4%
    
3,600
  
Federated Department Stores (e)
  
229,104
6,800
  
J.C. Penney Co. Inc. Holding Co.
  
353,056
283
  
Sears Holdings Corp. (a)(e)
  
37,723
     
619,883
   
Multi-Utilities & Unregulated Power - 0.9%
    
8,500
  
Oneok, Inc. (e)
  
261,970
2,800
  
Questar Corp. (e)
  
165,900
     
427,870
   
Oil & Gas - 5.1%
    
2,800
  
Amerada Hess Corp. (e)
  
269,388
18,940
  
Exxon Mobil Corp.
 
1,128,824
2,800
  
Newfield Exploration Co. (a)
  
$                 207,928
4,700
  
Occidental Petroleum Corp. (e)
  
334,499
5,300
  
Valero Energy Corp.
 
388,331
     
2,328,970
   
Paper & Forest Products - 0.7%
    
12,000
  
Louisiana-Pacific Corp.
 
301,680
       
   
Personal Products - 1.0%
    
3,200
  
Avon Products, Inc. (e)
  
137,408
6,300
  
The Gillette Co.
 
318,024
     
455,432
   
Pharmaceuticals - 4.7%
    
2,200
  
Eon Labs, Inc. (a)(e)
  
66,528
5,400
  
Forest Laboratories, Inc. (a)(e)
  
199,530
15,780
  
Johnson & Johnson
 
1,059,785
2,100
  
Merck & Co., Inc.
 
67,977
28,240
  
Pfizer, Inc.
 
741,865
     
2,135,685
   
Photographic Equipment And Supplies - 0.1%
    
1,700
  
Eastman Kodak Co. (e)
  
55,335
       
   
Real Estate Investment Trusts - 1.1%
    
1,900
  
AvalonBay Communities, Inc.
 
127,091
1,700
  
CBL & Associates Properties, Inc. (e)
  
121,567
2,400
  
Kimco Realty Corp.
 
129,360
2,600
  
Regency Centers Corp.
 
123,838
     
501,856
       
   
Road & Rail - 0.4%
    
4,100
  
JB Hunt Transport Services, Inc. (e)
  
179,457
       
   
Semiconductor & Semiconductor Equipment - 2.2%
    
28,680
  
Intel Corp.
 
666,236
9,300
  
MEMC Electronic Materials, Inc. (a)
  
125,085
6,700
  
National Semiconductor Corp. (e)
  
138,087
2,300
  
Silicon Laboratories, Inc. (a)(e)
  
68,333
     
997,741
   
Software - 2.9%
    
6,600
  
Adobe Systems, Inc.
 
443,322
21,140
  
Microsoft Corp. (e)
  
510,954
28,900
  
Oracle Corp. (a)
  
360,672
     
1,314,948
   
Specialty Retail - 2.4%
    
2,900
  
Abercrombie & Fitch Co. - Class A
 
165,996
3,800
  
American Eagle Outfitters (e)
  
112,290
8,700
  
The Gap Inc. (e)
  
190,008
11,490
  
Home Depot, Inc.
 
439,377
8,300
  
Office Depot, Inc. (a)
  
184,094
     
1,091,765
       
   
Textiles, Apparel & Luxury Goods - 0.3%
    
1,000
  
Coach, Inc. (a)
  
56,630
1,000
  
Timberland Co. - Class A (a)(e)
  
70,930
     
127,560
   
Thrifts & Mortgage Finance - 1.3%
    
3,798
  
Countrywide Financial Corp.
 
123,283
4,100
  
Freddie Mac (e)
  
259,120
1,600
  
Independence Community Bank Corp.
 
62,400
1,800
  
IndyMac Bancorp, Inc.
 
$                   61,200
4,100
  
Sovereign Bancorp, Inc. (e)
  
90,856
     
596,859
   
Tobacco - 1.2%
    
6,310
  
Altria Group, Inc. (e)
  
412,611
1,400
  
Reynolds American, Inc. (e)
  
112,826
     
525,437
       
   
Trading Companies & Distributors - 0.6%
    
4,300
  
W.W. Grainger, Inc.
 
267,761
       
   
Wireless Telecommunication Services - 0.2%
    
3,900
  
Nextel Communications, Inc. - Class A (a)(e)
  
110,838
       
   
Total common stocks (cost $27,649,127)
  
32,061,666
       
   
PREFERRED STOCKS - 0.6%
    
   
Communications Services - 0.4%
    
145
  
Centaur Funding Corp., 9.080%, due 04/21/2020 (c ) Cost- $171,062; Acquired - 07/22/2003
  
191,627
       
   
Men's And Boy's Clothing And Furnishings - 0.2%
    
4,000
  
Tommy Hilfiger USA Inc., 9.000%, due 12/01/2031
  
103,000
       
   
Total preferred stocks (cost $273,002)
  
294,627
       
   
U.S. TREASURY OBLIGATIONS - 5.2%
    
$                   34,953
  
1.625%, due 01/15/2015 (e)
  
34,447
465,000
  
3.500%, due 02/15/2010 (e)
  
451,468
1,795,000
  
4.000%, due 02/15/2015 (e)
  
1,725,164
155,000
  
5.375%, due 02/15/2031 (e)
  
168,981
   
Total U.S. treasury obligations (Cost $2,400,965)
  
2,380,060
       
       
   
FOREIGN GOVERNMENT NOTE/BONDS - 0.9%
    
155,000
  
Export-Import Bank Of Korea, 4.500%, due 08/12/2009 (b)
  
152,671
205,000
  
United Mexican States, 9.875%, due 02/01/2010 (b)
  
244,462
   
Total foreign government bonds (cost $409,659)
  
397,133
       
   
CONVERTIBLE BONDS - 0.3%
    
   
Electronic Equipment & Instruments - 0.3%
    
280,000
  
Celestica, Inc., 0.000%, due 08/01/2020 (b)(d)
  
158,550
   
Total convertible bonds (cost $139,369)
  
158,550
       
       
   
CORPORATE BONDS - 16.8%
    
   
Aircraft - 0.3%
    
150,000
  
Boeing Capital Corp., 4.750%, due 08/25/2008 (e)
  
151,257
       
   
Chemicals - 1.0%
    
80,000
  
Lyondell Chemical Co., 11.125%, due 07/15/2012
 
92,400
190,000
  
Terra Capital, Inc., 12.875%, due 10/15/2008
 
226,100
120,000
  
Union Carbide Corp., 6.790%, due 06/01/2025 (e)
  
120,750
     
439,250
   
Commercial Services & Supplies - 0.2%
    
80,000
  
Corrections Corp of America, 6.250%, due 03/15/2013 (c ) Cost - $80,000; Acquired - 03/08/2005
  
77,200
       
   
Communications Services- 2.5%
    
365,000
  
British Telecommunications PLC, 7.875%, due 12/15/2005 (b)
  
375,419
$                 155,000
  
Charter Communications, Inc., 8.000%, due 04/30/2012 (c ) Cost - $155,175; Acquired - 4/21/2004
  
$                 155,000
105,000
  
DirecTV Holdings LLC, 8.375%, due 03/15/2013
 
114,187
100,000
  
Echostar DBS Corp., 6.625%, due 10/01/2014 (c ) Cost - $99,134; Acquired - 09/20/2004
  
97,125
65,000
  
Intelsat Bermuda Ltd., 8.625%, due 01/15/2015 (c ) Cost - $65,000; Acquired - 1/25/2005 (b)(e)
  
66,625
125,000
  
News America, Inc., 6.200%, due 12/15/2034 (c ) Cost - $124,003; Acquired - 11/30/2004 (e)
  
124,012
25,000
  
Sprint Capital Corp., 8.375%, due 03/15/2012 (e)
  
29,257
65,000
  
Sprint Capital Corp., 8.750%, due 03/15/2032 (e)
  
84,583
84,000
  
TELUS Corp., 8.000%, due 06/01/2011 (b)
  
97,395
     
1,143,603
       
   
Containers & Packaging - 0.9%
    
375,000
  
Owens-Brockway Glass Container Inc., 8.875%, due 02/15/2009
 
402,188
       
   
Electric Services - 0.4%
    
195,000
  
Pacific Gas & Electric Co., 6.050%, due 03/01/2034
 
200,920
       
   
Electronic Equipment & Instruments - 0.9%
    
35,000
  
Jabil Circuit, Inc., 5.875%, due 07/15/2010
 
36,181
70,000
  
Nortel Networks Ltd, 6.125%, due 02/15/2006 (b)(e)
  
70,525
100,000
  
Tyco International Group SA, 6.000%, due 11/15/2013 (b)(e)
  
105,171
195,000
  
Tyco International Group SA, 6.875%, due 01/15/2029 (b)
  
219,249
     
431,126
   
Farm Machinery And Equipment - 0.1%
    
55,000
  
Case Corp., 7.250%, due 01/15/2016
 
52,525
       
   
General Contractors - 1.1%
    
55,000
  
Blount, Inc., 8.875%, due 08/01/2012 (e)
  
58,300
175,000
  
KB Home, 5.750%, due 02/01/2014
 
168,495
240,000
  
NVR, Inc., 5.000%, due 06/15/2010
 
237,000
50,000
  
William Lyon Homes, Inc., 7.625%, due 12/15/2012
 
47,000
     
510,795
       
   
Health Care Equipment & Supplies - 0.8%
    
105,000
  
Guidant Corp., 6.150%, due 02/15/2006
 
106,964
270,000
  
Hillenbrand Industries, Inc., 4.500%, due 06/15/2009
 
267,392
     
374,356
   
Health Care Providers & Services - 0.5%
    
45,000
  
AmerisourceBergen Corp., 7.250%, due 11/15/2012
 
47,925
155,000
  
Service Corp International, 6.875%, due 10/01/2007
 
157,713
     
205,638
   
Hotels Restaurants & Leisure - 1.0%
    
150,000
  
Caesars Entertainment, Inc., 8.125%, due 05/15/2011
 
166,875
77,500
  
Carnival Corp., 6.150%, due 04/15/2008 (b)
  
81,068
155,000
  
Hyatt Equities LLC, 6.875%, due 06/15/2007 (c ) Cost- $154,822; Acquired - 06/12/2002
  
160,166
40,000
  
Wynn Las Vegas LLC/Corp, 6.625%, due 12/01/2014 (c ) Cost - $39,137; Acquired 01/27/2005 (e)
  
38,200
     
446,309
       
   
Insurance - 0.6%
    
30,000
  
Assured Guaranty US Holdings, Inc., 7.000%, due 06/01/2034
 
33,677
225,000
  
RenaissanceRe Holdings Ltd., 7.000%, due 07/15/2008 (b)
  
238,420
     
272,097
       
   
Liquified Petroleum Gas Dealers - 0.2%
    
78,945
  
Ras Laffan Liquefied Natural Gas Co Ltd, 3.437%, due 09/15/2009 (c ) Cost - $77,765; Acquired - 07/02/2004 (b)
  
77,135
       
   
Media - 0.5%
    
200,000
  
Quebecor Media, Inc., 11.125%, due 07/15/2011 (b)
  
222,000
       
   
Multiline Retail - 0.2%
    
$                   75,000
  
J.C. Penney Company, Inc., 8.000%, due 03/01/2010
 
$                   75,375
       
   
National Commercial Banks - 0.1%
    
40,000
  
Union Planters Bank, N.A., 6.500%, due 03/15/2018
 
42,175
       
   
Natural Gas Transmission - 0.3%
    
110,000
  
Southern Natural Gas Co., 8.875%, due 03/15/2010 (e)
  
119,823
       
   
Paper & Forest Products - 0.6%
    
50,000
  
Ainsworth Lumber, 6.750%, due 03/15/2014 (b)
  
47,125
50,000
  
Boise Cascade LLC, 7.125%, due 10/15/2014 (c ) Cost - $50,000; Acquired - 10/15/2004
  
50,875
180,000
  
Georgia-Pacific Corp., 7.375%, due 12/01/2025
 
189,000
     
287,000
       
   
Personal Credit Institutions - 0.4%
    
200,000
  
Household Finance Corp., 4.125%, due 11/16/2009
 
194,665
       
   
Photographic Equipment And Supplies - 0.4%
    
170,000
  
Eastman Kodak Co., 7.250%, due 06/15/2005
 
171,108
       
   
Radiotelephone Communications - 0.1%
    
60,000
  
Rogers Wireless, Inc., 7.500%, due 03/15/2015 (b)
  
62,250
       
   
Real Estate Investment Trusts - 1.7%
    
250,000
  
Health Care REIT, Inc., 7.500%, due 08/15/2007
 
264,878
215,000
  
Hospitality Properties Trust, 6.750%, due 02/15/2013
 
231,117
55,000
  
iStar Financial, Inc., 8.750%, due 08/15/2008
 
61,569
200,000
  
Senior Housing Properties Trust, 8.625%, due 01/15/2012
 
222,000
     
779,564
       
   
Refuse Systems - 0.4%
    
200,000
  
Waste Management Inc., 7.000%, due 05/15/2005
 
200,571
       
   
Special Purpose Entity - 0.3%
    
116,121
  
PLC Trust, 2.709%, due 03/31/2006 (c ) Cost - $92,578; Acquired - 12/12/2003
  
115,727
       
   
Steel Foundries - 0.2%
    
65,000
  
International Steel Group, Inc., 6.500%, due 04/15/2014
 
66,625
       
   
Wireless Telecommunications Services - 1.1%
    
155,000
  
Cingular Wireless Services, Inc., 8.750%, due 03/01/2031 (e)
  
205,108
270,000
  
Nextel Communications, Inc., 6.875%, due 10/31/2013 (e)
  
282,825
     
487,933
       
       
   
Total corporate bonds (cost $7,350,311)
  
7,609,215
       
   
MUNICIPAL BONDS - 2.7%
    
190,000
  
California County Tobacco Securitization Agency, 7.500%, due 06/01/2019
 
193,798
260,000
  
California Housing Financing Agency, 2.850%, due 08/01/2036 (f)
  
260,000
180,716
  
Louisiana Tobacco Settlement Financing Corp., 6.360%, due 05/15/2025
 
180,974
175,000
  
Rhode Island Tobacco Settlement Financing Corp., 5.920%, due 06/01/2012
 
175,500
270,000
  
San Jose California Financing Authority Variable, 2.820%, due 03/01/2029 (f)
  
270,000
140,922
  
South Dakota Educational Enhancement Funding Corp., 6.720%, due 06/01/2025
 
136,782
   
Total municipal bonds (cost $1,218,014)
  
1,217,054
       
   
MORTGAGE BACKED SECURITIES - 0.2%
    
$69,159
  
First Union National Bank Commercial Mortgage Trust, Series # 1999-C4 A1, 7.184%, due 12/15/2031
 
$                   71,883
   
Total mortgage backed securities (cost $69,447)
  
71,883
       
   
INVESTMENT PURCHASED WITH CASH
   
   
PROCEEDS FROM SECURITIES LENDING - 24.4%
    
200,000
  
AIG Sunamerica Global Finance XXV Note, 3.050%, due 06/13/2005
  
200,144
250,000
  
AIG Sunamerica Global Finance XXXI Note, 2.873%, due 05/25/2005
  
249,798
9,557,000
  
Bank of New York Institutional Cash Reserve Fund
  
9,558,484
300,000
  
General Electric Capital Corp. Note, 2.620%, due 04/04/2005
  
300,120
250,000
  
Links Finance LLC Note, 2.978%, due 04/01/2005
  
249,920
500,000
  
Superior Wholesale Inventory Financing Trust, Series # 2004-A10 A, 2.910%, due 04/15/2005
  
500,837
   
Investment purchased with cash proceeds
  
11,059,302
   
from securities lending (cost $11,059,302)
    
       
   
SHORT TERM INVESTMENTS - 2.3%
    
1,024,000
  
AIM Liquid Asset Portfolio
  
1,024,000
   
Total short term investments (cost $1,024,000)
  
1,024,000
       
   
Total investments (cost $51,593,196) - 124.1%
  
56,273,490
       
   
Liabilities in excess of other assets - (24.1%)
  
(10,929,096)
       
   
Total net assets - 100.0%
  
$         45,344,394
       
       
   
(a) Non-income producing security
    
   
(b) Foreign security or a U.S. security of a foreign company.
    
   
(c) Restricted under Rule 144A of Securities Act of 1933.
    
   
(d) Zero Coupon - Bonds that make no interest payments.
    
   
(e) Securities (partial/entire) out on loan
    
   
(f) Variable Coupon Rate - The rate reported is the rate in effect as of March 31, 2005.
    
         
 
 



40|86 Series Trust
     
High Yield Portfolio
      
Schedule of Investments
      
March 31, 2005
      
(Unaudited)
     
       
SHARES OR
      
PRINCIPAL AMOUNT
    
VALUE
   
COMMON STOCKS - 0.3%
    
   
Chemicals - 0.3%
    
842
  
Huntsman Corp. (a)
  
$                   19,635
   
Total common stocks (cost $5,972)
  
19,635
         
   
PREFERRED STOCKS - 0.9%
    
   
Men's And Boy's Clothing And Furnishings - 0.9%
    
2,768
  
Tommy Hilfiger USA, 9.000%, due 12/01/2031
 
71,276
   
Total preferred stocks (cost $69,222)
  
71,276
         
   
CERTIFICATES OF BENEFICIAL INTEREST - 0.4%
    
89,915
  
1989 US AIRWAYS ETC, (b) Cost - $5,311; Acquired - 06/10/2004 (a)(f)(g)
  
2,698
89,915
  
1989 US AIRWAYS ETC, (b) Cost - $5,311; Acquired - 06/10/2004 (a)(f)(g)
  
2,698
89,915
  
1989 US AIRWAYS ETC, (b) Cost - $5,311; Acquired - 06/10/2004 (a)(f)(g)
  
2,698
89,915
  
1989 US AIRWAYS ETC, (b) Cost - $5,311; Acquired - 06/10/2004 (a)(f)(g)
  
2,698
89,915
  
1989 US AIRWAYS ETC, (b) Cost - $5,310; Acquired - 06/10/2004 (a)(f)(g)
  
2,697
89,915
  
1989 US AIRWAYS ETC, (b) Cost - $5,310; Acquired - 06/10/2004 (a)(f)(g)
  
2,697
89,915
  
1989 US AIRWAYS ETC, (b) Cost - $5,310; Acquired - 06/10/2004 (a)(f)(g)
  
2,697
89,915
  
1989 US AIRWAYS ETC, (b) Cost - $5,310; Acquired - 06/10/2004 (a)(f)(g)
  
2,697
89,915
  
1989 US AIRWAYS ETC, (b) Cost - $5,310; Acquired - 06/10/2004 (a)(f)(g)
  
2,697
89,915
  
1989 US AIRWAYS ETC, (b) Cost - $5,310; Acquired - 06/10/2004 (a)(f)(g)
  
2,697
89,915
  
1989 US AIRWAYS ETC, (b) Cost - $5,310; Acquired - 06/10/2004 (a)(f)(g)
  
2,697
   
Total certificates of beneficial interest (cost $58,414)
  
29,671
         
   
CORPORATE BONDS - 94.2%
    
   
Aerospace & Defense - 0.9%
    
$                   70,000
  
DRS Technologies, Inc., 6.875%, due 11/01/2013
 
$                   70,350
         
   
Aluminum Foundries - 0.8%
    
65,000
  
Novelis, Inc., 7.250%, due 02/15/2015 (b) Cost - $65,000; Acquired - 01/28/2005(c)
  
64,025
         
   
Chemicals - 4.1%
    
100,000
  
Huntsman International LLC, 7.375%, due 01/01/2015 (b) Cost - $100,000; Acquired - 12/03/2004
  
100,000
75,000
  
Lyondell Chemical Co., 11.125%, due 07/15/2012
 
86,625
45,000
  
Nalco Co., 8.875%, due 11/15/2013
 
48,375
70,000
  
Rockwood Specialties Group, Inc., 10.625%, due 05/15/2011
 
78,050
       
313,050
         
   
Commercial Services & Supplies - 4.1%
    
145,000
  
Adesa, Inc., 7.625%, due 06/15/2012
 
145,725
80,000
  
Corrections Corp of America, 6.250%, due 03/15/2013 (b) Cost - $80,000; Acquired - 03/08/2005
  
77,200
90,000
  
R.H. Donnelley Corp., 6.875%, due 01/15/2013 (b) Cost - $90,000; Acquired - 01/11/2005
  
89,550
       
312,475
         
   
Communications Services - 10.4%
    
105,000
  
Charter Communications, 8.375%, due 04/30/2014 (b) Cost - $106,575; Acquired - 11/05/2004
  
106,050
100,000
  
Cincinnati Bell, Inc., 8.375%, due 01/15/2014
 
99,000
105,000
  
Echostar DBS Corp., 6.625%, due 10/01/2014 (b) Cost - $104,091; Acquired - 09/20/2004
  
101,981
105,000
  
Innova S de RL, 9.375%, due 09/19/2013 (c)
  
116,813
94,000
  
PanAmSat Corp., 9.000%, due 08/15/2014
 
99,640
110,000
  
Qwest Communications International, 7.250%, due 02/15/2011 (b) Cost - $109,346; Acquired - 01/30/2004
  
108,075
45,000
  
Superior Essex Communications, 9.000%, due 04/15/2012
 
45,900
110,000
  
Warner Music Group, 7.375%, due 04/15/2014
 
113,850
       
$                 791,309
         
   
Construction Materials - 1.6%
    
$                 120,000
  
US Concrete, Inc., 8.375%, due 04/01/2014
 
120,000
         
   
Containers & Packaging - 1.4%
    
100,000
  
Owens-Brockway, 8.250%, due 05/15/2013
 
106,250
         
   
Electric Services - 2.4%
    
75,000
  
Midwest Generation LLC, 8.560%, due 01/02/2016
 
83,860
100,000
  
Texas Genco LLC, 6.875%, due 12/15/2014 (b) Cost - $100,000; Acquired - 12/08/2004
  
100,750
       
184,610
         
   
Electronic Equipment & Instruments - 4.4%
    
75,000
  
Celestica, Inc., 7.875%, due 07/01/2011 (c)
  
76,312
105,000
  
Flextronics International Ltd., 6.250%, due 11/15/2014 (c)
  
100,275
45,000
  
Hexcel Corp., 6.750%, due 02/01/2015 (b) Cost - $45,000; Acquired - 01/27/2005
  
43,538
100,000
  
IPC Acquisition Corp., 11.500%, due 12/15/2009
 
110,500
       
330,625
         
   
General Contractors - 2.3%
    
60,000
  
Blount, Inc., 8.875%, due 08/01/2012
 
63,600
120,000
  
William Lyon Homes, Inc., 7.625%, due 12/15/2012
 
112,800
       
176,400
         
   
Health Care Equipment & Supplies - 2.8%
    
205,000
  
Universal Hospital Services, Inc., 10.125%, due 11/01/2011
 
211,150
         
   
Health Care Providers & Services - 3.6%
    
110,000
  
Davita, Inc., 7.250%, due 03/15/2015 (b) Cost - $110,225; Acquired - 03/15/2005
  
108,350
50,000
  
Healthsouth Corp., 7.375%, due 10/01/2006
 
49,625
110,000
  
Healthsouth Corp., 10.750%, due 10/01/2008
 
113,300
       
271,275
         
   
Hotels, Restaurants, & Leisure - 5.7%
    
120,000
  
Las Vegas Sands Corp., 6.375%, due 02/15/2015 (b) Cost - $119,038; Acquired - 02/03/2005 & 02/16/2005
  
114,450
105,000
  
Pinnacle Entertainment, Inc., 8.250%, due 03/15/2012
 
105,525
95,000
  
Vail Resorts, Inc., 6.750%, due 02/15/2014
 
93,575
125,000
  
Wynn Las Vegas LLC, 6.625%, due 12/01/2014 (b) Cost - $124,288; Acquired - 12/17/2004
  
119,375
       
432,925
         
   
Household Products - 1.1%
    
85,000
  
Church & Dwight, Inc., 6.000%, due 12/15/2012 (b) Cost - $86,594; Acquired - 01/21/2005
  
83,300
         
   
Leisure Equipment & Products - 1.2%
    
85,000
  
K2, Inc., 7.375%, due 07/01/2014
 
88,400
         
   
Machinery - 2.4%
    
130,000
  
Case Corp., 7.250%, due 01/15/2016
 
124,150
60,000
  
Terex Corp., 7.375%, due 01/15/2014
 
61,500
       
185,650
         
   
Manufacturing Industries - 0.4%
    
35,000
  
Polypore, Inc., 8.750%, due 05/15/2012
 
32,900
         
   
Media - 2.9%
    
80,000
  
Cablevision Systems Corp., 8.000%, due 04/15/2012 (b) Cost - $80,000; Acquired - 03/30/2004
  
82,600
85,000
  
Sinclair Broadcast Group, Inc., 8.000%, due 03/15/2012
 
87,125
45,000
  
Sun Media Corp., 7.625%, due 02/15/2013 (c)
  
47,025
       
216,750
         
   
Miscellaneous Fabricated Products - 0.8%
    
$                   55,000
  
FastenTech, Inc., 11.500%, due 05/01/2011 (b) Cost - $60,640; Acquired - 07/27/2004
  
$                   59,400
         
   
Motor Vehicle Supplies And New Parts - 2.2%
    
60,000
  
Navistar International, 7.500%, due 06/15/2011
  
61,050
45,000
  
Tenneco Automotive, Inc., 8.625%, due 11/15/2014 (b) Cost - $47,467; Acquired - 02/09/2005
  
43,988
60,000
  
United Components, Inc., 9.375%, due 06/15/2013
 
60,150
       
165,188
         
   
Offices Of Holding Companies - 1.9%
    
45,000
  
Affinia Group, Inc., 9.000%, due 11/30/2014 (b) Cost - $45,800; Acquired - 11/12/2004 & 02/09/2005
  
41,850
150,000
  
Crystal US Holdings, 0.00%/ 10.500% due 10/01/2014 (b) Cost - $106,550; Acquired - 02/24/2005 (e)
  
105,750
       
147,600
   
Oil & Gas - 4.0%
    
45,000
  
Chesapeake Energy Corp., 6.375%, due 06/15/2015 (b) Cost - $44,583; Acquired - 12/01/2004
  
44,662
40,000
  
Dynegy Holdings, Inc., 10.125%, due 07/15/2013 (b) Cost - $39,714; Acquired - 08/01/2003
  
43,800
55,000
  
El Paso Production Holding Co., 7.750%, due 06/01/2013
 
55,962
60,000
  
Houston Exploration Co., 7.000%, due 06/15/2013
 
61,200
50,000
  
Range Resources Corp., 6.375%, due 03/15/2015 (b) Cost - $50,000; Acquired - 03/02/2005
  
48,250
50,000
  
Transmontaigne, Inc., 9.125%, due 06/01/2010
 
53,250
       
307,124
         
   
Paper & Forest Products - 8.3%
    
200,000
  
Ainsworth Lumber Co Ltd., 6.750%, due 03/15/2014 (c)
  
191,000
35,000
  
Cenveo Corp., 7.875%, due 12/01/2013
 
31,412
75,000
  
Cenveo Corp., 9.625%, due 03/15/2012
 
80,250
75,000
  
Georgia-Pacific Corp., 7.375%, due 12/01/2025
 
78,750
95,000
  
Graphic Packaging International Corp., 9.500%, due 08/15/2013
 
101,175
150,000
  
Neenah Paper, Inc., 7.375%, due 11/15/2014 (b) Cost - $150,250; Acquired - 11/18/2004, 02/11/2005 & 03/15/2005
  
144,750
       
627,337
         
   
Personal Products - 3.0%
    
125,000
  
Del Laboratories Inc., 8.000%, due 02/01/2012 (b) Cost - $124,330; Acquired - 01/19/2005 & 02/16/2005
  
120,625
100,000
  
Elizabeth Arden, Inc., 7.750%, due 01/15/2014
 
103,500
       
224,125
         
   
Plastics Products - 3.4%
    
125,000
  
Graham Packaging Co. LP, 8.500%, due 10/15/2012 (b) Cost - $128,820; Acquired - 09/29/2004 & 02/07/2005
  
125,625
135,000
  
Park Ohio Industries Inc., 8.375%, due 11/15/2014 (b) Cost - $135,550; Acquired - 11/19/2004
  
130,950
       
256,575
         
   
Radiotelephone Communications - 3.7%
    
32,000
  
Alamosa Delaware, Inc., 11.000%, due 07/31/2010
 
36,560
45,000
  
Intelsat Bermuda Ltd., 7.794%, due 01/15/2012 (b) Cost - $45,000; Acquired - 01/25/05 (c)(d)
  
45,900
25,000
  
Intelsat Bermuda Ltd., 8.625%, due 01/15/2015 (b) Cost - $25,000; Acquired - 01/25/2005(c)
  
25,625
25,000
  
New Skies Satellites NV, 9.125%, due 11/01/2012 (b) Cost - $25,000; Acquired - 10/22/2004(c)
  
25,625
50,000
  
Rogers Wireless, Inc., 7.500%, due 03/15/2015 (c)
  
51,875
40,000
  
Rogers Wireless, Inc., 9.625%, due 05/01/2011 (c)
  
45,600
50,000
  
Rural Cellular Corp., 8.250%, due 03/15/2012
 
51,250
       
282,435
         
   
Real Estate Investment Trusts - 3.5%
    
$                   90,000
  
Host Marriott LP, 6.375%, due 03/15/2015 (b) Cost - $90,000; Acquired - 03/03/2005
  
$                   86,400
30,000
  
Host Marriott LP, 7.125%, due 11/01/2013
  
30,300
85,000
  
Senior Housing Properties Trust, 8.625%, due 01/15/2012
 
94,350
55,000
  
Ventas Realty Limited Partnership, 6.625%, due 10/15/2014
 
54,863
       
265,913
         
   
Refrigerated Warehousing And Storage - 0.7%
    
50,000
  
Reddy Ice Group, Inc., 8.875%, due 08/01/2011
 
55,875
         
   
Refuse Systems - 0.6%
    
50,000
  
Allied Waste North America, 7.250%, due 03/15/2015 (b) Cost - $50,000; Acquired - 03/03/2005
  
47,750
         
   
Sporting And Athletic Goods - 1.7%
    
125,000
  
Riddell Bell Holdings, Inc., 8.375%, due 10/01/2012 (b) Cost - $127,681; Acquired - 09/23/2004 & 01/26/2005
  
128,750
         
   
Textiles, Apparel & Luxury Goods - 2.6%
    
75,000
  
Phillips-Van Heusen, 7.250%, due 02/15/2011
 
76,500
115,000
  
Russell Corp., 9.250%, due 05/01/2010
 
122,763
       
199,263
         
   
Tobacco - 0.7%
    
50,000
  
DIMON, Inc., 7.750%, due 06/01/2013
 
56,250
         
   
Wireless Telecommunication Services - 4.6%
    
69,300
  
AirGate PCS, Inc., 9.375%, due 09/01/2009 (b) Cost - $60,467; Acquired - 02/13/2004
  
73,805
110,000
  
American Tower Corp., 7.125%, due 10/15/2012
 
110,000
80,000
  
Crown Castle International Corp., 7.500%, due 12/01/2013
 
88,200
25,000
  
Spectrasite, Inc., 8.250%, due 05/15/2010
 
26,188
45,000
  
Spectrasite, Inc., 8.250%, due 05/15/2010 (b) Cost - $45,150; Acquired - 5/16/2003 & 5/19/2003
  
47,138
       
345,330
         
   
Total corporate bonds (cost $7,140,061)
  
7,160,359
         
   
MUNICIPAL BONDS - 2.1%
    
60,000
  
Academica Charter Schools, 8.100%, due 08/15/2024 (b) Cost - $60,000; Acquired - 08/18/2004
  
61,786
100,398
  
Tobacco Settlement Financing Corp., 6.360%, due 05/15/2025
 
100,541
   
Total municipal bonds (cost $159,127)
  
162,327
         
   
SHORT TERM INVESTMENTS - 2.1%
    
160,000
  
AIM Liquid Asset Portfolio
  
160,000
   
Total short term investments (cost $160,000)
  
160,000
         
   
Total investments (cost $7,592,796) - 100.0%
  
7,603,268
         
   
Other assets in excess of liabilities - 0.0%
  
820
         
   
Total net assets - 100.0%
  
7,604,088
         
         
   
(a) Non-income producing security.
    
   
(b) Restricted under Rule 144A of the Securities Act of 1933.
    
   
(c ) Foreign Security or U.S. Security of foreign company.
    
   
(d) Variable-Coupon Rate - The rate is the rate in effect as of March 31, 2005.
    
   
(e) STEP - Bonds where the coupon increases or steps up at a predetermined rate.
    
   
(f) Security is in default.
    
   
(g) Security is fair valued.
    
         



40|86 Series Trust
      
Fixed Income Portfolio
      
Schedule of Investments
      
March 31, 2005
      
(Unaudited)
     
       
SHARES OR
      
PRINCIPAL AMOUNT
    
VALUE
   
PREFERRED STOCKS - 1.0%
    
   
Communications Services - 0.7%
    
130
  
Centaur Funding Corp., (a) Cost - $153,366; Acquired - 07/22/2003
  
$                 171,803
         
   
Men's And Boy's Clothing And Furnishings - 0.3%
    
3,500
  
Tommy Hilfiger USA , 9.000%, due 12/01/2031
  
90,125
   
Total preferred stocks (cost $242,563)
  
261,928
         
   
CORPORATE BONDS - 58.4%
    
   
Aircraft - 0.4%
    
$                   95,000
  
Boeing Capital Corp., 4.750%, due 08/25/2008 (d)
  
95,796
         
   
Auto Components - 0.4%
    
100,000
  
Lear Corp., 8.110%, due 05/15/2009
 
108,314
         
   
Building Products - 1.1%
    
285,000
  
American Standard, Inc., 5.500%, due 04/01/2015 (a) Cost - $284,156; Acquired - 03/29/2005
  
286,630
         
   
Capital Markets - 0.8%
    
65,000
  
Lehman Brothers Holdings, Inc., 3.600%, due 03/13/2009
 
62,584
145,000
  
Merrill Lynch & Co, Inc., 6.000%, due 07/15/2005
 
145,987
       
208,571
         
   
Chemicals - 1.0%
    
75,000
  
Lyondell Chemical Co., 11.125%, due 07/15/2012
 
86,625
80,000
  
Terra Capital, Inc., 12.875%, due 10/15/2008
 
95,200
80,000
  
Union Carbide Corp., 6.790%, due 06/01/2025 (d)
  
80,500
       
262,325
         
   
Commercial Services & Supplies - 0.6%
    
170,000
  
Corrections Corp America, 6.250%, due 03/15/2013 (a) Cost - $170,000; Acquired - 3/8/2005
  
164,050
         
   
Communications Services - 8.7%
    
80,000
  
Ameritech Capital Funding, 7.500%, due 04/01/2005
 
80,000
260,000
  
British Telecommunications PLC, 7.625%, due 12/15/2005 (b)
  
267,422
100,000
  
Charter Communications Inc., 8.000%, due 04/30/2012 (a) Cost - $100,113; Acquired - 04/21/2004
  
100,000
155,000
  
Deutsche Telekom International Finance BV, 8.250%, due 06/15/2030 (b)
  
203,317
90,000
  
DirecTV Holdings LLC, 8.375%, due 03/15/2013
 
97,875
100,000
  
Echostar DBS Corp., 6.625%, due 10/01/2014 (a) Cost - $99,134; Acquired - 9/20/2004
  
97,125
135,000
  
Intelsat Bermuda Ltd, 8.625%, due 01/15/2015 (a) Cost - $135,000; Aquired - 1/25/2005(b)(d)
  
138,375
95,000
  
News America, Inc., 6.200%, due 12/15/2034 (a) Cost - $94,242; Acquired - 11/30/2004(d)
  
94,249
110,000
  
News America Holdings, 7.700%, due 10/30/2025
 
128,222
50,000
  
Sprint Capital Corp., 8.375%, due 03/15/2012
 
58,514
130,000
  
Sprint Capital Corp., 8.750%, due 03/15/2032
 
169,166
75,000
  
Tele-Communications-TCI Group, 9.800%, due 02/01/2012
 
94,130
445,000
  
TELUS Corp., 8.000% due 06/01/2011 (b)
  
515,964
180,000
  
Verizon Wireless Capital LLC, 5.375%, due 12/15/2006
 
183,448
       
2,227,807
         
   
Computers & Peripherals - 0.3%
    
$                   70,000
  
NCR Corp., 7.125%, due 06/15/2009
 
$                   75,408
         
   
Electric Services - 8.1%
    
200,000
  
AmerenEnergy Generating Co., 7.750%, due 11/01/2005
 
204,762
135,000
  
Cilcorp Inc., 8.700%, due 10/15/2009
 
154,713
145,000
  
Consolidated Edison, Inc., 3.625%, due 08/01/2008 (d)
  
141,529
150,000
  
Detroit Edison Co., 5.050%, due 10/01/2005
 
151,077
65,000
  
Entergy Gulf States, Inc., 6.770% due 08/01/2005
 
65,689
185,000
  
FirstEnergy Corp., 7.375%, due 11/15/2031
 
210,202
225,000
  
Kansas City Power & Light Co., 7.125%, due 12/15/2005
 
230,248
155,000
  
Nisource Finance Corp., 7.875%, due 11/15/2010
 
176,962
130,000
  
Pacific Gas & Electric Co., 6.050%, due 03/01/2034
 
133,947
330,000
  
PSI Energy, Inc., 6.650%, due 06/15/2006
 
339,616
265,000
  
Southwestern Public Service Co., 5.125%, due 11/01/2006
 
268,812
       
2,077,557
   
Electrical Equipment - 0.6%
    
150,000
  
Cooper Industries, Inc., 5.500%, due 11/01/2009
 
154,849
         
   
Electronic Equipment & Instruments - 1.1%
    
80,000
  
Jabil Circuit, Inc., 5.875%, due 07/15/2010
 
82,698
50,000
  
Nortel Networks Ltd., 6.125%, due 02/15/2006 (b)
  
50,375
125,000
  
Tyco International Group SA, 6.875%, due 01/15/2029 (b)
  
140,545
       
273,618
   
Farm Machinery And Equipment - 0.4%
    
105,000
  
Case Corp., 7.250%, due 01/15/2016
 
100,275
         
   
Food Products - 0.5%
    
125,000
  
Corn Products International, Inc., 8.450%, due 08/15/2009
 
141,151
         
   
General Contractors - 2.6%
    
115,000
  
Blount, Inc., 8.875%, due 08/01/2012 (d)
  
121,900
110,000
  
KB Home, 5.750%, due 02/01/2014
 
105,911
155,000
  
NVR, Inc., 5.000%, due 06/15/2010
 
153,062
175,000
  
Ryland Group, Inc., 5.375%, due 06/01/2008
 
177,223
105,000
  
William Lyon Homes, Inc., 7.625%, due 12/15/2012
 
98,700
       
656,796
         
   
Health Care Equipment & Supplies - 0.4%
    
95,000
  
Guidant Corp., 6.150%, due 02/15/2006
 
96,777
         
   
Health Care Providers & Services - 1.9%
    
110,000
  
AmerisourceBergen Corp., 7.250%, due 11/15/2012
 
117,150
185,000
  
Medco Health Solutions, Inc., 7.250%, due 08/15/2013
 
204,816
165,000
  
Service Corp. International, 7.700%, due 04/15/2009
 
170,775
       
492,741
         
   
Hotels Restaurants & Leisure - 1.6%
    
100,000
  
Caesars Entertainment, Inc., 8.125%, due 05/15/2011
 
111,250
80,000
  
Carnival Corp., 6.150%, due 04/15/2008 (b)
  
83,683
135,000
  
Hyatt Equities LLC, 6.875%, due 06/15/2007 (a) Cost - $134,845; Acquired - 6/12/2002
  
139,499
80,000
  
Wynn Las Vegas LLC/Corp., 6.625%, due 12/01/2014 (a) Cost - $78,273; Acquired - 1/27/2005(d)
  
76,400
       
410,832
   
Household Durables - 0.2%
    
55,000
  
Newell Rubbermaid, Inc., 4.625%, due 12/15/2009
 
54,358
         
   
Insurance - 5.7%
    
225,000
  
AON Corp., 8.650%, due 05/15/2005
 
226,272
$                   65,000
  
Assured Guaranty US Holdings, Inc., 7.000%, due 06/01/2034
 
$                   72,968
30,000
  
Citizens Property Insurance Corp., 6.850%, due 08/25/2007 (a) Cost- $30,572; Acquired 6/22/2001
  
31,566
220,000
  
Monumental Global Funding II, 4.625%, due 03/15/2010 (a) Cost - $219,991; Acquired - 03/09/2005 (b)
  
219,745
505,000
  
Protective Life US Funding Trust, 5.875%, due 08/15/2006 (a) Cost - $329,879; Acquired - 8/06/2001 & 08/28/2001
  
516,160
325,000
  
RenaissanceRe Holdings Ltd., 7.000%, due 07/15/2008 (b)
  
344,384
35,000
  
Transamerica Corp., 6.750%, due 11/15/2006
 
36,215
       
1,447,310
         
   
Liquefied Petroleum Gas Dealers - 0.5%
    
120,495
  
Ras Laffan Liquefied Natural Gas Co Ltd., 3.437%, due 09/15/2009 (a) Cost - $120,495; Acquired 03/02/2004(b)
  
117,733
         
   
Machinery - 0.4%
    
80,000
  
Kennametal, Inc., 7.200%, due 06/15/2012
 
88,527
         
   
Media - 3.4%
    
90,000
  
Clear Channel Communications, Inc., 6.625%, due 06/15/2008
 
93,343
185,000
  
Clear Channel Communications, Inc., 8.000%, due 11/01/2008
 
199,548
175,000
  
Comcast Corp., 7.050%, due 03/15/2033 (d)
  
196,370
145,000
  
Quebecor Media, Inc., 11.125%, due 07/15/2011 (b)
  
160,950
185,000
  
Time Warner, Inc., 7.700%, due 05/01/2032 (d)
  
220,318
       
870,529
         
   
Miscellaneous Business Credit Institutions - 0.2%
    
50,000
  
Bunge Ltd Finance Corp., 4.375%, due 12/15/2008
 
49,322
         
   
Multiline Retail - 0.3%
    
65,000
  
The May Department Stores Co., 6.875%, due 11/01/2005
 
66,119
         
   
National Commercial Banks - 2.0%
    
170,000
  
Citicorp, 6.750%, due 08/15/2005
 
172,118
145,000
  
Huntington National Bank, 3.125%, due 05/15/2008
 
139,043
185,000
  
Union Planters Bank NA, 6.500%, due 03/15/2008
 
195,060
       
506,221
         
   
Natural Gas Transmission - 0.4%
    
100,000
  
Southern Natural Gas Co., 8.875%, due 03/15/2008 (d)
  
108,930
         
   
Paper & Forest Products - 1.5%
    
160,000
  
Ainsworth Lumber, 6.750%, due 03/15/2014 (b)
  
150,800
100,000
  
Boise Cascade LLC, 7.125%, due 10/15/2014 (a) Cost - $100,000; Acquired - 10/15/2004
  
101,750
135,000
  
Georgia-Pacific Corp., 7.375%, due 12/01/2025
 
141,750
       
394,300
         
   
Personal Credit Institutions - 2.0%
    
165,000
  
Ford Motor Credit Co., 5.700%, due 01/15/2010 (d)
  
155,582
195,000
  
General Motors Acceptance Corp., 5.850%, due 01/14/2009 (d)
  
180,586
185,000
  
Household Finance Corp., 4.125%, due 11/16/2009
 
180,065
       
516,233
         
   
Pharmaceuticals - 1.1%
    
220,000
  
Bristol-Myers Squibb Co., 4.750%, due 10/01/2006 (d)
  
222,946
60,000
  
Wyeth, 5.250%, due 03/15/2013 (d)
  
61,088
       
284,034
         
   
Photographic Equipment And Supplies - 0.4%
    
110,000
  
Eastman Kodak Co., 7.250%, due 06/15/2005
 
110,717
         
   
Radiotelephone Communications - 1.0%
    
$                   50,000
  
Rogers Wireless, Inc., 7.500%, due 03/15/2015 (b)
  
$                   51,875
186,000
  
TeleCorp PCS, Inc., 10.625%, due 07/15/2010
 
199,293
       
251,168
         
   
Real Estate Investment Trusts - 5.0%
    
85,000
  
Developers Diversified Realty Corp., 3.875%, due 01/30/2009
 
81,951
170,000
  
Duke Realty LP, 3.500%, due 11/01/2007
 
165,851
160,000
  
Equity One, Inc., 3.875%, due 04/15/2009
 
153,071
130,000
  
Health Care Property Investors, Inc., 6.875%, due 06/08/2005 (c )
  
130,763
200,000
  
Health Care REIT, Inc., 7.500%, due 08/15/2007
 
211,903
175,000
  
Hospitality Properties Trust, 6.750%, due 02/15/2013
 
188,118
65,000
  
iStar Financial, Inc., 8.750%, due 08/15/2008
 
72,763
150,000
  
Senior Housing Properties Trust, 8.625%, due 01/15/2012
 
166,500
90,000
  
United Dominion Realty Trust, Inc., 6.500%, due 06/15/2009
 
95,372
       
1,266,292
         
   
Refined Petroleum Pipelines - 0.4%
    
115,000
  
TGT Pipeline LLC, 5.200%, due 06/01/2018
 
110,078
         
   
Special Purpose Entity - 0.3%
    
84,858
  
PLC Trust, 2.709%, due 03/31/2006 (a) Cost - $84,858; Acquired - 12/12/2003
  
84,570
         
   
Steel Foundries - 0.6%
    
145,000
  
International Steel Group, Inc., 6.500%, due 04/15/2014
 
148,625
         
   
Tobacco - 1.4%
    
145,000
  
DIMON, Inc., 9.625%, due 10/15/2011
 
164,394
185,000
  
Universal Corp., 5.200%, due 10/15/2013
 
182,231
       
346,625
         
   
Wireless Telecommunication Services - 1.1%
    
115,000
  
Cingular Wireless Services, Inc., 8.750%, due 03/01/2031 (d)
  
152,177
125,000
  
Nextel Communications, Inc., 6.875%, due 10/31/2013
 
130,937
       
283,114
         
   
Total corporate bonds (cost $14,559,159)
  
14,938,302
         
   
FOREIGN GOVERNMENT NOTE/BONDS - 1.5%
    
215,000
  
Export-Import Bank Of Korea, 4.500%, due 08/12/2009 (b)
  
211,769
140,000
  
United Mexican States, 9.875%, due 02/01/2010 (b)(d)
  
166,950
   
Total foreign government note/bonds (cost $388,201)
  
378,719
         
   
MUNICIPAL BONDS - 10.6%
    
110,000
  
Academica Charter Schools, 8.100%, due 08/15/2024 (a) Cost - $110,000; Acquired - 08/18/2004
  
113,275
95,000
  
Bay Area Government Assn. California Revenue Tax Allocation Note, 4.290%, due 09/01/2009
 
94,208
175,000
  
California County TOB Securitization Agency, 7.500%, due 06/01/2019
 
178,498
535,000
  
California Housing Financing Agency, 2.850%, due 08/01/2036(c )
  
535,000
130,000
  
Decatur Hospital Authority, 7.750%, due 09/01/2009
 
141,670
70,000
  
Harrisburg PA Rescue and Recovery Revenue Notes, 3.090%, due 11/01/2022
 
69,194
60,000
  
Heart of Texas Education Finance Corp., 5.000%, due 02/15/2013
 
57,806
90,000
  
Indiana Development Finance Authority, 5.500%, due 01/01/2033
 
93,370
140,000
  
Indianapolis IN Refunding Bonds, 3.000%, due 10/15/2005
 
139,766
140,557
  
Louisiana Tobacco Settlement Financing Corp, 6.360%, due 05/15/2025
 
140,758
100,000
  
New Jersey Economic Development Authority, 3.250%, due 09/15/2006
 
99,011
505,000
  
North Carolina Eastern Municipal Power Agency, 7.050%, due 01/01/2007
 
521,559
185,000
  
Rhode Island Tobacco Settlement Financing Corp, 5.920%, due 06/01/2012
 
185,529
240,000
  
San Jose California Financing Authority, 2.820%, due 03/01/2029(c )
  
240,000
118,193
  
South Dakota Educational Enhancement Funding Corp., 6.720%, due 06/01/2025
 
114,720
   
Total municipal bonds (cost $2,683,943)
  
$2,724,364
         
   
ASSET BACKED SECURITIES - 0.9%
    
$                 189,723
  
Centex Home Equity, Series # 2001-A A6, 6.250%, due 04/25/2031
 
191,588
9,260
  
Equity One ABS, Inc., Series # 2002-1 AF2, 5.523%, due 08/25/2032
 
9,311
30,953
  
Residential Asset Mortgage Products, Inc., Series # 2002-RZ3 A4, 4.730%, due 12/25/2031
 
30,952
   
Total asset backed securities (cost $231,782)
  
231,851
         
   
U.S. GOVERNMENT AGENCY ISSUES - 2.9%
    
275,000
  
Federal Home Loan Mortgage Corp., 2.850%, due 01/05/2007
 
270,106
275,000
  
Federal National Mortgage Assn., 2.750%, due 08/11/2006 (d)
  
271,066
215,000
  
Federal National Mortgage Assn., 3.000%, due 12/15/2006
 
211,728
   
Total U.S. government agency issues (cost $765,000)
  
752,900
         
   
U.S. TREASURY OBLIGATIONS - 7.1%
    
74,899
  
1.625% due 01/15/2015 (d)
  
73,816
196,080
  
2.000% due 01/15/2014 (d)
  
200,762
180,000
  
4.000% due 02/15/2015 (d)
  
172,997
1,250,000
  
5.375% due 02/15/2031 (d)
  
1,362,745
   
Total U.S. treasury obligations (cost $1,829,971)
  
1,810,320
         
   
MORTGAGE BACKED SECURITIES - 14.8%
    
243,603
  
Bank of America Mortgage Securities, Series # 2004-7 5A10, 5.250%, due 08/25/2034
 
242,991
108,468
  
Bank of America Mortgage Securities, Series # 2004-7 6A1, 4.500%, due 08/25/2019
 
105,120
92,013
  
Bear Stearns Commercial Mortgage Securities, Series # 1999-C1 A1, 5.910%, due 02/14/2031
 
94,485
250,000
  
Bear Stearns Commercial Mortgage Securities, Series # 2002-TOP6 A2, 6.460%, due 10/15/2036
 
272,028
68,691
  
Commercial Mortgage Asset Trust, Series # 1999-C1 A1, 6.250%, due 01/17/2032
 
69,453
109,474
  
CS First Boston Mortgage Securities Corp., Series # 2001-CKN5 A3, 5.107% due 09/15/2034
 
111,165
263,855
  
Deutsche Mortgage and Asset Receiving Corp., Series # 1998-C1 A2, 6.538%, due 06/15/2031
 
276,096
20,306
  
DLJ Commercial Mortgage Corp., Series # 1999-CG3 A1A, 7.120%, due 10/10/2032
 
21,190
78,165
  
Federal Home Loan Mortgage Corp., Series # 2407BJ, 6.500%, due 01/15/2032
 
81,664
165,000
  
Federal Home Loan Mortgage Corp., Series # 2517VH, 6.000%, due 03/15/2019
 
173,263
137,095
  
Federal Home Loan Mortgage Corp., Series # 2614CH, 3.500%, due 12/15/2010
 
137,010
135,000
  
Federal Home Loan Mortgage Corp, Series # 2614TD, 3.500%, due 05/15/2016
 
129,369
43,497
  
Federal Home Loan Mortgage Corp., Series # 2638KA, 3.000%, due 07/15/2009
  
43,463
112,110
  
Federal Home Loan Mortgage Corp., Series # 2638NA, 3.000%, due 02/15/2015
 
111,600
3,425
  
Federal Home Loan Mortgage Corp., Gold Pool # C00712, 6.500%, due 02/01/2029
 
3,568
40,037
  
Federal Home Loan Mortgage Corp., Gold Pool # C50964, 6.500%, due 05/01/2031
 
41,633
23,314
  
Federal Home Loan Mortgage Corp., Gold Pool # C60697, 6.000%, due 11/01/2031
 
23,900
26,089
  
Federal Home Loan Mortgage Corp., Gold Pool # G00479, 9.000%, due 04/01/2025
 
28,779
38,851
  
Federal Home Loan Mortgage Corp., Gold Pool # G00943, 6.000%, due 07/01/2028
 
39,908
3,822
  
Federal National Mortgage Assn., Pool # 062289, 3.696% due 03/01/2028
 
3,877
6,012
  
Federal National Mortgage Assn., Pool # 349410, 7.000% due 08/01/2026
 
6,366
102,993
  
Federal National Mortgage Assn., Pool # 545449, 6.500% due 02/01/2017
 
107,609
150,000
  
Federal National Mortgage Assn., Series # 200180, 6.000% due 07/25/2029
 
154,856
220,000
  
Federal National Mortgage Assn., Series # 200336, 4.500% due 07/25/2022
 
219,327
165,000
  
Federal National Mortgage Assn., Series # 200357, 4.500% due 12/25/2012
 
165,420
11,994
  
First Union - Chase Commercial Mortgage, Series # 1999-C2 A1, 6.363%, due 06/15/2031
 
12,150
121,745
  
GMAC Commercial Mortgage Securities, Inc., Series # 1999-C1 A1, 5.830%, due 05/15/2033
 
123,998
12,746
  
GMAC Commercial Mortgage Securities, Inc., Series # 1999-C2 A1, 6.570%, due 09/15/2033
 
12,864
474
  
Government National Mortgage Assn., Pool # 051699, 15.000% due, 07/15/2011
 
548
2,138
  
Government National Mortgage Assn., Pool # 354859, 9.000%, due 07/15/2024
 
2,361
460,000
  
JP Morgan Chase Commercial Mortgage Securities Corp., Series # 2001-CIB3 A2, 6.044%, due 11/15/2035
 
479,385
465,000
  
Salomon Brothers Mortgage Securities VII, Series # 2001-C2 A2, 6.168%, due 11/13/2036
 
487,529
   
Total mortgage backed securities (cost $3,836,066)
  
3,782,975
         
   
INVESTMENT PURCHASED WITH CASH
   
   
PROCEEDS FROM SECURITIES LENDING - 15.9%
    
$                 100,000
  
AIG Sunamerica Global Finance XXV Note, 3.050%, due 6/13/2005
  
$                 100,072
3,960,000
  
Bank of New York Institutional Cash Reserve Fund
  
3,960,615
   
Investment purchased with cash proceeds
  
4,060,687
   
from securities lending (cost $4,060,687)
    
         
   
SHORT TERM INVESTMENTS - 1.8%
    
458,000
  
AIM Liquid Asset Portfolio
  
458,000
   
Total short term investments (cost $458,000)
  
458,000
         
         
   
Total investments (cost $29,055,372) - 114.9%
  
29,400,046
         
   
Liabilities in excess of other assets - (14.9)%
  
(3,802,208)
         
   
Total net assets - 100.0%
  
$         25,597,838
         
   
(a) Restricted under Rule 144A of the Securities Act of 1933.
    
   
(b) Foreign security or a U.S. security of a foreign company.
    
   
(c ) Variable-Coupon Rate - The rate reported is the rate in effect as of March 31, 2005.
    
   
(d) Securities (partial/entire) out on loan.
    
         



40|86 Series Trust
      
Government Securities Portfolio
    
Schedule of Investments
      
March 31, 2005
      
(Unaudited)
     
       
SHARES OR
     
PRINCIPAL AMOUNT
    
VALUE
         
   
CORPORATE BONDS - 0.7%
    
   
Insurance - 0.7%
    
$                   95,000
  
MGIC Investment Corp., 6.000%, due 03/15/2007
 
$                   98,180
   
Total corporate bonds (cost $94,998)
  
98,180
         
   
MUNICIPAL BONDS - 6.0%
    
190,000
  
Alaska Industrial Development & Export Auth., 6.625%, due 05/01/2006
 
193,473
450,000
  
Illinois Student Assistance Commission Student Loan Revenue Bonds, 2.910%, due 03/01/2043
 
450,000
145,000
  
Tobacco Settlement Financing Corp., 5.920%, due 06/01/2012
 
145,415
   
Total municipal bonds (cost $784,463)
  
788,888
         
   
ASSET BACKED SECURITIES - 7.4%
    
75,000
  
Atlantic City Electric Transition Funding LLC, Series # 2002-1 A4, 5.550%, due 10/20/2023
 
77,436
14,145
  
Centex Home Equity, Series # 2001-A A4, 6.470%, due 07/25/2029
 
14,285
5,000
  
Citibank Credit Card Issuance Trust, Series # 2003-C4 C4, 5.000%, due 06/10/2015
 
4,909
106,423
  
Countrywide Asset-Backed Certificates, Series # 2002-S1 A5, 5.960%, due 11/25/2016
 
106,257
70,000
  
MBNA Credit Card Master Note Trust, Series # 2002-C1 C1, 6.800%, due 07/15/2014
 
76,235
299,787
  
The Money Store Home Equity Trust, Series # 1998-B AF9, 6.335%, due 08/15/2039
 
305,049
27,695
  
Residential Asset Mortgage Products Inc., Series # 2002-RZ3 A4, 4.730%, due 12/25/2031
 
27,694
152,229
  
Residential Asset Securities Corp., Series # 1999-KS2 AI9, 7.150%, due 07/25/2030
 
153,558
204,571
  
Residential Asset Securities Corp., Series # 2000-KS3 AI6, 7.810%, due 07/25/2031
 
209,076
   
Total asset backed securities (cost $989,301)
  
974,499
         
   
U.S. GOVERNMENT AGENCY ISSUES - 17.3%
    
250,000
  
Federal Farm Credit Bank, 6.000%, due 06/14/2012
 
251,265
500,000
  
Federal Home Loan Mortgage Corp., 5.000%, due 04/15/2035
 
489,219
500,000
  
Federal Home Loan Mortgage Corp. TBA, 6.250%, due 03/05/2012
 
514,704
1,000,000
  
Federal National Mortgage Assn., 5.250%, due 08/01/2012
 
1,015,005
   
Total U.S. government agency issues (cost $2,285,364)
  
2,270,193
         
   
U.S. TREASURY OBLIGATIONS - 48.7%
    
700,000
  
2.375%, due 08/31/2006 (a)
  
688,023
1,500,000
  
3.875%, due 05/15/2007 (a)
  
1,487,814
650,000
  
4.000%, due 02/15/2014 (a)
  
627,479
500,000
  
5.500%, due 02/15/2008 (a)
  
521,465
2,000,000
  
11.250%, due 02/15/2015 (a)
  
3,063,594
   
Total U.S.treasury obligations (cost $6,393,401)
  
6,388,375
         
   
MORTGAGE BACKED SECURITIES - 20.8%
    
23,002
  
Bear Stearns Commercial Mortgage Securities, Series # 1999-C1 A1, 5.910%, due 02/14/2031
 
23,621
73,271
  
Commercial Mortgage Asset Trust, Series # 1999-C1 A1, 6.250%, due 01/17/2032
 
74,083
55,843
  
DLJ Commercial Mortgage Corp., Series # 1999-CG3, 7.120%, due 10/10/2032
 
58,273
710,587
  
Federal Home Loan Mortgage Corp., Pool # 2407 BJ, 6.500%, due 01/15/2032
 
742,399
9,870
  
Federal Home Loan Mortgage Corp., Pool # 2692 UC, 5.000%, due 10/15/2022
 
9,638
27,481
  
Federal Home Loan Mortgage Corp. Gold, Pool # C01131, 6.500%, due 01/01/2031
 
28,597
28,812
  
Federal Home Loan Mortgage Corp. Gold, Pool # C01148, 6.500%, due 02/01/2031
 
29,982
88,348
  
Federal Home Loan Mortgage Corp. Gold, Pool # C01184, 6.500%, due 06/01/2031
 
91,871
83,242
  
Federal Home Loan Mortgage Corp. Gold, Pool # C01186, 6.000%, due 06/01/2031
 
85,336
$                   35,015
  
Federal Home Loan Mortgage Corp. Gold, Pool # C28063, 6.500%, due 07/01/2029
 
$                   36,458
15,472
  
Federal Home Loan Mortgage Corp. Gold, Pool # C29168, 6.500%, due 07/01/2029
 
16,110
6,263
  
Federal Home Loan Mortgage Corp. Gold, Pool # D66012, 7.000%, due 11/01/2025
 
6,627
5,157
  
Federal Home Loan Mortgage Corp. Gold, Pool # E00441, 7.500%, due 07/01/2011
 
5,437
100,000
  
Federal National Mortgage Assn., Pool # 2001-80 PE, 6.000%, due 07/25/2029
 
103,238
477,618
  
Federal National Mortgage Assn., Pool # 2004-91 AH, 4.500%, due 05/25/2029
 
472,714
212,720
  
Federal National Mortgage Assn., Pool # 253845, 6.000%, due 06/01/2016
 
219,863
34,384
  
Federal National Mortgage Assn., Pool # 254091, 6.000%, due 12/01/2031
 
35,201
5,550
  
Federal National Mortgage Assn., Pool # 303780, 7.000%, due 03/01/2026
 
5,879
32,552
  
Federal National Mortgage Assn., Pool # 320582, 6.500%, due 01/01/2011
 
33,948
71,260
  
Federal National Mortgage Assn., Pool # 336290, 6.500%, due 04/01/2011
 
74,456
34,332
  
Federal National Mortgage Assn., Pool # 535837, 6.000%, due 04/01/2031
 
35,148
129,477
  
Federal National Mortgage Assn., Pool # 545449, 6.500%, due 02/01/2017
 
135,280
7,827
  
Federal National Mortgage Assn., Pool # 609583, 6.000%, due 11/01/2031
 
8,013
212,187
  
Federal National Mortgage Assn., Pool # 645649, 6.000%, due 06/01/2017
 
219,323
31,816
  
Federal National Mortgage Assn. Grantor Trust, Series # 1999-T2 A1, 7.500%, due 01/19/2039
 
33,524
75,000
  
First Union National Bank Commercial Mortgage, Series # 1999-C4 A2, 7.390%, due 12/15/2031
 
82,956
13,657
  
GMAC Commercial Mortgage Securities, Inc., # 1999-C2 A1, 6.570%, due 09/15/2033
 
13,783
3,735
  
Government National Mortgage Assn., Pool # 119896, 13.000%, due 11/15/2014
 
4,249
40,633
  
Government National Mortgage Assn., Pool # 408675, 7.500%, due 01/15/2026
 
43,697
   
Total mortgage backed securities (cost $2,723,281)
  
2,729,704
         
         
   
INVESTMENTS PURCHASED WITH CASH
   
   
PROCEEDS FROM SECURITIES LENDING - 23.0%
    
3,015,000
  
Bank of New York Institutional Cash Reserve Fund
  
3,015,468
   
Total investments purchased with cash proceeds
    
   
from securities lending (cost $3,015,468)
  
3,015,468
         
   
SHORT TERM INVESTMENTS - 2.2%
    
253,000
  
AIM Liquid Asset Portfolio
  
253,000
40,000
  
Federal National Mortgage Assn. Bank Discount Note, 2.620%, due 4/11/2005
  
39,971
   
Total short term investments (cost $292,971)
  
292,971
         
   
Total investments (cost $16,579,247) - 126.1%
  
16,558,278
         
   
Liabilities in excess of other assets - (26.1)%
  
(3,430,336)
         
   
TOTAL NET ASSETS - 100.0%
  
$         13,127,942
         
         
         
   
(a) Securities (partial/entire) out on loan.
    
         



40|86 Series Trust
      
Money Market Portfolio
      
Schedule of Investments
      
March 31, 2005
      
(Unaudited)
     
       
SHARES OR
      
PRINCIPAL AMOUNT
    
VALUE
   
CORPORATE BONDS - 10.2%
    
   
Non-Depository Credit Institutions - 7.2%
    
$             1,000,000
  
Corporate Finance Managers, Inc., 2.700%, due 04/07/2005 (a)(b)
  
$                1,000,000
1,000,000
  
Pricoa Global Funding, 2.900%, due 04/25/2005 (a)(b)
  
999,990
500,000
  
Westgate Investment Fund LLC, 2.520%, due 04/07/2005 (a)(b)
  
500,000
       
2,499,990
         
   
Real Estate - 1.4%
    
490,000
  
Kuehn Enterprises LLC, 2.420%, due 04/07/2005 (a)(b)
  
490,000
         
   
Trusts, Except Educational, Religious, and Charitable - 1.6%
    
545,000
  
Cunat Capital Corp., 2.710%, due 04/30/2005 (a)(b)
  
545,000
         
         
   
Total corporate bonds (cost $3,534,990)
  
3,534,990
         
   
MUNICIPAL BONDS - 36.9%
    
100,000
  
ABAG Financial Authorities for Nonprofit Corps, 2.660%, due 04/07/2005
    
   
(CS: Federal National Mortgage Assn.) (a)(b)
  
100,000
1,300,000
  
California Housing Finance Agency, 2.420%, due 04/07/2005 (a)(b)
  
1,300,000
100,000
  
Colorado Housing & Finance Authority, 2.420%, due 04/07/2005
    
   
(CS: Federal National Mortgage Assn.) (a)(b)
  
100,000
1,000,000
  
Colorado Housing & Finance Authority, 2.420%, due 04/07/2005
    
   
(CS: Dexia Credit Local) (a)(b)
  
1,000,000
1,000,000
  
Los Angeles County California Transport Authority, 1.910%, due 07/01/2005
   
   
(CS: AMBAC)
  
996,864
1,000,000
  
Los Angeles County California Pension Obligation Taxable, 6.770%, due 06/30/2005
   
   
(CS: MBIA, Inc.)
 
1,010,165
900,000
  
Louisiana Public Facilities Authority, 2.500%, due 04/07/2005 (a)(b)
  
900,000
1,395,000
  
Philadelphia Authority For Industrial Development, 2.510%, due 04/07/2005 (a)(b)
  
1,395,000
700,000
  
Portland Maine Pension, 2.570%, due 04/07/2005
    
   
(SPA: Landesbank) (a)(b)
  
700,000
600,000
  
Sacramento County California Pension, 2.560%, due 04/07/2005
    
   
(LOC: Bayerische Landesbank) (a)(b)
  
600,000
805,000
  
St Francis Healthcare Foundation Hawaii, 3.000%, due 04/07/2005
    
   
(LOC: First Hawaiian Bank) (a)(b)
  
805,000
1,000,000
  
St John's County Florida Industrial Development Authority, 2.420%, due 04/07/2005
    
   
(LOC:Allied Irish Bank PLC) (a)(b)
  
1,000,000
450,000
  
San Jose California Financing Authority, 2.820%, due 04/07/2005 (a)(b)
  
450,000
1,000,000
  
University of Minnesota, 2.420%, due 04/07/2005 (a)(b)
  
1,000,000
900,000
  
Utah State Housing Finance Agency, 2.420%, due 04/07/2005
    
   
(SPA: Bayerische Landesbank) (a)(b)
  
900,000
500,000
  
Westminster Colorado Economic Development Authority, 2.500%, due 04/07/2005
 
500,000
   
(LOC: HSH Nordbank AG) (a)(b)
    
   
Total municipal bonds (cost $12,757,029)
  
12,757,029
         
   
COMMERCIAL PAPER - 49.1%
    
   
Agriculture - 2.9%
    
1,000,000
  
Cargill Inc., 2.820% due, 04/01/2005
 
1,000,000
         
   
Banks - 17.3%
    
$             1,000,000
  
Barclays U.S. Funding LLC, 2.780%, due 04/29/2005
 
$                   997,838
1,000,000
  
Deutsche Bank, 2.780%, due 04/05/2005
 
999,691
1,000,000
  
Rabobank USA, 2.820%, due 04/01/2005
 
1,000,000
1,000,000
  
UBS Finance, 2.790%, due 04/01/2005
 
1,000,000
2,000,000
  
UBS Finance, 2.830%, due 04/01/2005
 
2,000,000
       
5,997,529
         
   
Diversified Financial Services - 5.8%
    
1,000,000
  
Citigroup Inc., 2.820%, due 04/01/2005
 
1,000,000
1,000,000
  
JP Morgan Chase & Co., 2.800%, due 04/21/2005
 
998,444
       
1,998,444
         
   
Insurance - 2.9%
    
1,000,000
  
MGIC Investment Corp., 2.840%, due 05/03/2005
 
997,476
         
   
Non-Depository Credit Institutions - 2.9%
    
1,000,000
  
International Lease Finance Corp., 2.830%, due 05/06/2005
 
997,249
         
   
Oil and Gas - 2.9%
    
1,000,000
  
Shell Finance, 2.820%, due 04/01/2005
 
1,000,000
         
   
Personal Products - 2.9%
    
1,000,000
  
The Gillette Co., 2.800%, due 04/01/2005
 
1,000,000
         
   
Pharmaceuticals - 2.9%
    
1,000,000
  
Pfizer Inc., 2.050%, due 04/01/2005
 
1,000,000
         
   
Real Estate - 2.9%
    
1,000,000
  
Britannia Building Society, 2.790%, due 04/25/2005
 
998,140
         
   
Utilities - 5.7%
    
1,000,000
  
Florida Power & Light Co., 2.780%, due 04/21/2005
 
998,455
1,000,000
  
National Rural Utilities, 2.780%, due 04/26/2005
 
998,069
       
1,996,524
         
   
Total commercial paper (cost $16,985,362)
  
16,985,362
         
   
SHORT TERM INVESTMENTS - 1.2%
    
409,000
  
AIM Liquid Asset Portfolio
  
409,000
   
Total short term investments (cost $409,000)
  
409,000
         
   
Total investments (cost $33,686,381) - 97.4%
  
33,686,381
         
   
Assets in excess of other liabilities - 2.6%
  
917,027
         
   
Total net assets - 100.0%
  
$           34,603,408
         
         
         
         
   
(a) Variable Coupon Rate
    
   
(b) Maturity date represents first available put date
    
   
CS - Credit Support
    
   
LOC - Letter of Credit
    
   
SPA - Standby Purchase Agreement
    
         
 
 
For certain federal income tax information, as well as other information regarding securities valuation and other significant accounting policies, please refer to the footnotes to the Fund’s most recent semi-annual or annual report.



 
Item 2. Controls and Procedures.
 
(a)   The Registrant’s President/Chief Executive Officer and Treasurer/Chief Financial Officer have concluded that the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “1940 Act”)) are effective as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 15d-15(b) under the Securities Exchange Act of 1934, as amended.

(b)   There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the Registrant's last fiscal half-year that has materially affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting.


 
Item 3. Exhibits.
 
Separate certifications for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)). Filed herewith.



 



SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.


(Registrant) 40|86 Series Trust                                                              

By (Signature and Title) /s/Gregory J. Hahn                           
Gregory J. Hahn, President

Date 5/25/05                                                                                                



Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title)* /s/Gregory J. Hahn                                                 
Gregory J. Hahn, President

Date 5/25/05                                                                       

By (Signature and Title)* /s/Audrey L. Kurzawa                                           
Audrey L. Kurzawa, Treasurer

Date 5/25/05                                                                       

* Print the name and title of each signing officer under his or her signature.