N-Q 1 e48833.htm

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:  811-04919


UBS Series Trust

(Exact name of registrant as specified in charter)

51 West 52nd Street, New York, New York 10019-6114

(Address of principal executive offices) (Zip code)

Mark F. Kemper, Esq.
UBS Global Asset Management
51 West 52nd Street
New York, NY 10019-6114
(Name and address of agent for service)

Copy to:
Jack W. Murphy, Esq.
Dechert LLP
1775 I Street, N.W.
Washington, DC 20006-2401

Registrant’s telephone number, including area code:  212-882 5000

Date of fiscal year end: December 31

Date of reporting period: March 31, 2006


Item 1.  Schedule of Investments

UBS Series Trust — U.S. Allocation Portfolio

SCHEDULE OF INVESTMENTS — March 31, 2006 (unaudited)

Number of                      
Shares                   Value ($)  
                 
 
Common Stocks—61.33%                  
Aerospace & Defense—1.84%                  
6,800   Lockheed Martin Corp.               510,884  
6,100   Northrop Grumman Corp.               416,569  
                   
 
                    927,453  
                   
 
Air Freight & Couriers—1.03%                  
4,600   FedEx Corp.               519,524  
                   
 
Auto Components—1.46%                  
3,300   BorgWarner, Inc.               198,132  
7,100   Johnson Controls, Inc. (1)               539,103  
                   
 
                    737,235  
                   
 
Banks—5.21%                  
14,700   Fifth Third Bancorp               578,592  
18,500   Mellon Financial Corp.               658,600  
6,400   PNC Financial Services Group               430,784  
15,100   Wells Fargo & Co.               964,437  
                   
 
                    2,632,413  
                   
 
Beverages—0.44%                  
5,200   Anheuser-Busch Cos., Inc.               222,404  
                   
 
Biotechnology—1.08%                  
8,100   Genzyme Corp. *               544,482  
                   
 
Building Products—1.36%                  
21,200   Masco Corp. (1)               688,788  
                   
 
Commercial Services & Supplies—0.45%                  
13,000   Cendant Corp.               225,550  
                   
 
Computers & Peripherals—0.71%                  
12,100   Dell, Inc. *               360,096  
                   
 
Diversified Financials—7.13%                  
29,000   Citigroup, Inc.               1,369,670  
8,000   Federal Home Loan Mortgage Corp.               488,000  
15,600   J.P. Morgan Chase & Co.               649,584  
17,400   Morgan Stanley               1,093,068  
                   
 
                    3,600,322  
                   
 
Diversified Telecommunication Services—2.73%                  
14,700   AT&T, Inc.               397,488  
37,888   Sprint Nextel Corp.               979,026  
                   
 
                    1,376,514  
                   
 
Electric Utilities—2.48%                  
7,400   American Electric Power Co., Inc.               251,748  
15,000   Exelon Corp.               793,500  
3,800   Northeast Utilities               74,214  
5,800   Pepco Holdings, Inc.               132,182  
                   
 
                    1,251,644  
                   
 

UBS Series Trust — U.S. Allocation Portfolio

Number of                        
Shares                     Value ($)  
                 
 
Electronic Equipment & Instruments—0.70%                  
1,100   Mettler-Toledo International, Inc. *               66,374  
6,600   Waters Corp. *               284,790  
                   
 
                    351,164  
                   
 
Energy Equipment & Services—1.16%                  
2,900   Baker Hughes, Inc.               198,360  
6,400   GlobalSantaFe Corp.               388,800  
                   
 
                    587,160  
                   
 
Food & Drug Retailing—1.23%                  
21,000   Kroger Co. *               427,560  
6,100   Sysco Corp.               195,505  
                   
 
                    623,065  
                   
 
Gas Utilities—1.00%                  
8,800   NiSource, Inc.               177,936  
7,000   Sempra Energy               325,220  
                   
 
                    503,156  
                   
 
Health Care Equipment & Supplies—0.77%                  
3,800   Medtronic, Inc.               192,850  
2,900   Zimmer Holdings, Inc. *               196,040  
                   
 
                    388,890  
                   
 
Health Care Providers & Services—2.28%                  
5,700   Caremark Rx, Inc. *               280,326  
9,900   HEALTHSOUTH Corp. (1)*               49,401  
14,700   UnitedHealth Group, Inc.               821,142  
                   
 
                    1,150,869  
                   
 
Hotels, Restaurants & Leisure—0.93%                  
9,900   Carnival Corp.               468,963  
                   
 
Insurance—3.68%                  
5,900   Allstate Corp.               307,449  
11,700   American International Group, Inc.               773,253  
4,000   Hartford Financial Services Group, Inc.               322,200  
5,900   WellPoint, Inc. *               456,837  
                   
 
                    1,859,739  
                   
 
Internet & Catalog Retail—0.79%                  
19,550   Expedia, Inc. *               396,278  
                   
 
IT Consulting & Services—0.51%                  
8,600   Accenture Ltd., Class A               258,602  
                   
 
Leisure Equipment & Products—0.54%                  
5,300   Harley-Davidson, Inc.               274,964  
                   
 
Machinery—1.32%                  
6,900   Illinois Tool Works, Inc.               664,539  
                   
 
Media—2.69%                  
23,900   DIRECTV Group, Inc. *               391,960  
7,800   Omnicom Group, Inc.               649,350  
2,820   R.H. Donnelley Corp. *               164,209  
4,500   Univision Communications, Inc., Class A (1)*               155,115  
                   
 
                    1,360,634  
                   
 
Multi-Line Retail—1.91%                  
10,300   Costco Wholesale Corp.               557,848  
7,700   Kohl’s Corp. (1)*               408,177  
                   
 
                    966,025  
                   
 

UBS Series Trust — U.S. Allocation Portfolio

Number of                        
Shares                     Value ($)  
                 
 
Oil & Gas—1.54%                  
4,900   Exxon Mobil Corp.               298,214  
6,300   Marathon Oil Corp.               479,871  
                   
 
                    778,085  
                   
 
Pharmaceuticals—6.38%                  
6,300   Allergan, Inc.               683,550  
9,300   Bristol-Myers Squibb Co.               228,873  
2,800   Cephalon, Inc. (1)*               168,700  
11,500   Johnson & Johnson               681,030  
7,100   Medco Health Solutions, Inc. *               406,262  
21,700   Wyeth               1,052,884  
                   
 
                    3,221,299  
                   
 
Road & Rail—1.29%                  
7,800   Burlington Northern Santa Fe Corp.               649,974  
                   
 
Semiconductor Equipment & Products—1.85%                  
8,100   Analog Devices, Inc.               310,149  
23,000   Intel Corp.               445,050  
7,000   Xilinx, Inc.               178,220  
                   
 
                    933,419  
                   
 
Software—4.84%                  
6,900   Mercury Interactive Corp. *               240,120  
44,200   Microsoft Corp.               1,202,682  
43,300   Oracle Corp. *               592,777  
24,163   Symantec Corp. *               406,663  
                   
 
                    2,442,242  
                   
 
Total Common Stocks (cost—$26,711,739)               30,965,492  
                   
 
Principal                        
Amount       Maturity   Interest        
(000) ($)       Dates Rates (%)        
     
       
U.S. Government Obligations—7.91%                  
605   U.S. Treasury Bonds   05/15/17   8.750       798,459  
170   U.S. Treasury Bonds   02/15/20   8.500       227,986  
450   U.S. Treasury Bonds   05/15/30   6.250       525,902  
200   U.S. Treasury Notes   09/30/06   2.500       197,727  
150   U.S. Treasury Notes   11/30/06   2.875       148,066  
85   U.S. Treasury Notes   04/30/07   3.625       83,898  
470   U.S. Treasury Notes   09/30/07   4.000       464,235  
535   U.S. Treasury Notes   10/15/10   4.250       522,503  
605   U.S. Treasury Notes   02/15/13   3.875       570,449  
480   U.S. Treasury Notes   05/15/15   4.125       453,581  
                   
 
Total U.S. Government Obligations (cost—$4,069,515)               3,992,806  
                   
 
Mortgage & Agency Debt Securities—11.26%                  
296   Countrywide Home Loans, Series 2006-HYB1, Class 1A1   03/20/36   5.422 ‡     293,004  
279   CS First Boston Mortgage Securities Corp., Series 2005-11, Class 4A1   12/25/35   7.000       282,978  
300   Federal Home Loan Mortgage Corporation Certificates   06/15/31   5.000       288,812  
237   Federal Home Loan Mortgage Corporation Certificates   12/01/34   4.500       219,585  
150   Federal National Mortgage Association Certificates   05/15/09   4.250       146,330  
85   Federal National Mortgage Association Certificates   06/01/10   4.625       82,915  
132   Federal National Mortgage Association Certificates   10/01/17   5.500       130,922  
250   Federal National Mortgage Association Certificates   12/01/17   5.500       249,167  
255   Federal National Mortgage Association Certificates   07/01/18   5.500       253,999  
687   Federal National Mortgage Association Certificates   12/01/29   6.500       704,411  
330   Federal National Mortgage Association Certificates   06/01/33   5.500       322,916  
336   Federal National Mortgage Association Certificates   07/01/33   5.500       328,724  
235   Federal National Mortgage Association Certificates   11/01/34   5.500       229,900  
265   Federal National Mortgage Association Certificates ARM   05/01/35   4.893       261,501  
190   Federal National Mortgage Association Certificates ARM   05/01/35   5.114       190,330  
455   Federal National Mortgage Association Certificates TBA   TBA   5.000       433,103  
119   FNMA REMIC, Series 2001- 69, Class PN   04/25/30   6.000       118,182  
208   FNMA REMIC, Series 2001-T4, Class A1   07/25/41   7.500       215,236  
255   FNMA REMIC, Series 2002-T19, Class A1   07/25/42   6.500       259,371  
525   Government National Mortgage Assocation Certificates   07/15/29   6.000       531,858  
139   Government National Mortgage Assocation Certificates   04/15/31   6.500       144,778  
                   
 
Total Mortgage & Agency Debt Securities (cost—$5,784,081)               5,688,022  
                   
 

UBS Series Trust — U.S. Allocation Portfolio

Principal                        
Amount       Maturity   Interest        
(000) ($)       Dates Rates (%)     Value ($)  
     
   
 
Commercial Mortgage-Backed Securities—2.92%                  
400   Asset Securitization Corp., Series 1995-MD4, Class A3   08/13/29   7.384       411,359  
53   First Union-Lehman Brothers Commercial Mortgage, Series 1997-C2, Class A3   11/18/29   6.650       53,246  
307   Greenwich Capital Commercial Funding Corp., Series 2002-C1, Class A1   01/11/13   3.357       299,415  
290   Hilton Hotel Pool Trust, Series 2000-HLTA, Class A1 **   10/03/15   7.055       301,240  
145   Mach One Trust Commercial Mortgage, Series 2004-1A, Class A1 **   05/28/40   3.890       141,446  
169   Morgan Stanley Mortgage Loan Trust, Series 2006-1AR, Class 2A   02/25/36   6.051 ‡     169,731  
97   Nomura Asset Securities Corp., Series 1996-MD5, Class A4   04/13/39   8.188 ‡     98,970  
                   
 
Total Commercial Mortgage-Backed Securities (cost—$1,501,444)               1,475,407  
                   
 
Asset-Backed Securities—1.50%                  
365   Conseco Finance Securitizations Corp., Series 2000-5 Class A5   02/01/32   7.700       364,074  
16   First Franklin Mortgage Loan Asset-Backed Certificates, Series 2004-FFB, Class A1   06/25/24   4.167 #     16,120  
46   Greenpoint Home Equity Loan Trust, Series 2004-3, Class A   03/15/35   4.979 ‡     45,841  
100   Paragon Mortgages PLC, Series 7A, Class B1A **   05/15/43   5.499 ‡     100,168  
229   WFS Financial Owner Trust, Series 2002-2, Class A4   02/20/10   4.500       228,912  
                   
 
Total Asset-Backed Securities (cost—$756,553)               755,115  
                   
 
Corporate Bonds—5.25%                  
Aerospace & Defense—0.10%                  
45   Boeing Capital Corp.   09/27/10   7.375       48,475  
                   
 
Automobile OEM—0.87%                  
115   DaimlerChrysler N.A. Holding Corp.   06/04/08   4.050       111,435  
295   Ford Motor Credit Co.   01/12/09   5.800       269,411  
65   General Motors Acceptance Corp.   09/15/11   6.875       60,585  
                   
 
                    441,431  
                   
 
Banking-Non-U.S.—0.24%                  
90   HSBC Finance Corp.   05/15/11   6.750       94,750  
25   Royal Bank of Scotland Group PLC, Series 1   03/31/10   9.118       28,012  
                   
 
                    122,762  
                   
 
Banking-U.S.—1.06%                  
105   Bank of America Corp.   01/15/11   7.400       113,486  
40   Bank One Corp.   08/01/10   7.875       43,617  
50   Citigroup, Inc.   08/27/12   5.625       50,272  
101   Citigroup, Inc.   09/15/14   5.000       96,667  
75   J.P. Morgan Chase & Co.   02/01/11   6.750       78,841  
115   Washington Mutual, Inc.   01/15/07   5.625       115,205  
35   Wells Fargo & Co.   08/01/11   6.375       36,495  
                   
 
                    534,583  
                   
 
Brokerage—0.44%                  
90   Goldman Sachs Group, Inc.   01/15/11   6.875       95,005  
120   Morgan Stanley   04/15/11   6.750       126,318  
                   
 
                    221,323  
                   
 
Cable—0.18%                  
90   Comcast Cable Communications, Inc.   01/30/11   6.750       93,556  
                   
 
Chemicals—0.26%                  
70   Dow Chemical Co.   02/01/11   6.125       71,854  
60   ICI Wilmington, Inc.   12/01/08   4.375       57,848  
                   
 
                    129,702  
                   
 
Consumer Products-Durables—0.09%                  
45   Fortune Brands, Inc.   01/15/16   5.375       43,194  
                   
 
Consumer Products-NonDurables—0.09%                  
45   Avon Products, Inc.   11/15/09   7.150       47,609  
                   
 
Electrical-Integrated—0.19%                  
30   Dominion Resources, Inc.   06/15/35   5.950       27,660  
40   FirstEnergy Corp.   11/15/11   6.450       41,389  
30   Pacific Gas & Electric   03/01/34   6.050       29,358  
                   
 
                    98,407  
                   
 
Electric Utilities—0.11%                  
55   FPL Group Capital, Inc.   09/15/06   7.625       55,539  
                   
 

UBS Series Trust — U.S. Allocation Portfolio

Principal                        
Amount       Maturity   Interest        
(000) ($)       Dates Rates (%)     Value ($)  
     
   
 
Finance-NonCaptive Diversified—0.66%                  
240   General Electric Capital Corp.   06/15/12   6.000       246,479  
35   General Electric Capital Corp.   03/15/32   6.750       38,975  
50   International Lease Finance Corp.   04/01/09   3.500       47,383  
                   
 
                    332,837  
                   
 
Food—0.10%                  
50   Kraft Foods, Inc.   11/01/11   5.625       50,066  
                   
 
Food Processors/Beverage/Bottling—0.10%                  
50   Miller Brewing Co. **   08/15/13   5.500       49,295  
                   
 
Gas Pipelines—0.07%                  
40   Kinder Morgan Energy Partners   03/15/35   5.800       36,319  
                   
 
Healthcare—0.07%                  
40   UnitedHealth Group   03/15/36   5.800       38,091  
                   
 
Real Estate Investment Trusts—0.07%                  
35   Prologis**   11/15/15   5.625       34,220  
                   
 
Road & Rail—0.24%                  
75   Norfolk Southern Corp.   09/17/14   5.257       73,554  
45   Union Pacific Corp.   12/01/06   6.700       45,376  
                   
 
                    118,930  
                   
 
Wireless Telecommunication Services—0.31%                  
80   Sprint Capital Corp.   03/15/32   8.750       100,021  
55   Verizon New York, Inc., Series A   04/01/12   6.875       56,496  
                   
 
                    156,517  
                   
 
Total Corporate Bonds (cost—$2,718,478)               2,652,856  
                   
 
International Government Obligation—0.06%                  
30   Pemex Project Funding Master Trust (cost—$32,543)   11/15/11   8.000       32,565  
                   
 
Number of                      
Shares                      
(000)                      
                     
Investment Companies—7.32%                  
46   UBS High Yield Relationship Fund (2)*               903,986  
62   UBS US Small Cap Equity Relationship Fund (2)*               2,790,369  
                   
 
Total Investment Companies (cost—$2,897,710)               3,694,355  
                   
 
                       
Principal                      
Amount                      
(000) ($)                      
                     
Repurchase Agreement—4.18%                  
2,109  

Repurchase Agreement dated 03/31/06 with State Street Bank & Trust Co., collateralized by $7,157 U.S. Treasury Bills, zero coupon due 04/27/06 and $1,846,661 U.S. Treasury Bonds, 6.125% to 8.125% due 08/15/19 to 08/15/29 (value—$2,151,253); proceeds: $2,109,721 (cost—$2,109,000)

   04/03/06   4.100       2,109,000  
                   
 
Number of                      
Shares                      
(000)                      
                     
Investments of Cash Collateral from Securities Loaned—2.29%                  
Money Market Funds†—0.31%                  
††0   AIM Liquid Assets Portfolio       4.655       398  
3   AIM Prime Portfolio       4.638       3,149  
††0   Barclays Prime Money Market Fund       4.632       455  
151   UBS Private Money Market Fund LLC (2)       4.668       150,683  
                   
 
                154,685  
                   
 

UBS Series Trust — U.S. Allocation Portfolio

Principal                        
Amount       Maturity   Interest        
(000) ($)       Date Rate (%)     Value ($)  
     
   
 
Repurchase Agreement—1.98%                  
1,000  

Repurchase Agreement dated 03/31/06 with Barclays Co., collateralized by $1,038,000 Federal Home Loan Bank obligations, zero coupon due 08/04/06; (value—$1,020,146); proceeds: $1,000,399

   04/03/06   4.790       1,000,000  
                   
 

Total Investments of Cash Collateral from Securities Loaned (cost—$1,154,685)		               1,154,685  
                   
 

Total Investments (3)(4)(5) (cost—$47,735,748)—104.02%		               52,520,303  
Liabilities in excess of other assets—(4.02)%               (2,028,483 )
                   
 
Net Assets—100.00%               50,491,820  
                   
 

——————————
*   Non-income producing security.
**   Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities, which represent 1.24% of net assets as of March 31, 2006, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers.
†   Interest rates shown reflect yield at March 31, 2006.
††   Amount represents less than 500 shares.
‡   Floating rate security. The interest rate shown is the current rate as of March 31, 2006.
#   Denotes a step-up bond that is currently accruing at the noted rate.
(1)   Security, or portion thereof, was on loan at March 31, 2006.
(2)   The table below details the Portfolio’s transaction activity in affiliated issuers for the three months ended March 31, 2006.

Security
Description		   Value at
12/31/05 ($)		   Purchases
During the
Three Months
Ended
03/31/06 ($)		   Sales
During the
Three Months Ended
03/31/06 ($)		   Net
Realized
Gains/Losses
for the
Three Months
Ended
03/31/06 ($)		   Net
Unrealized
Gains for the
Three Months
Ended
03/31/06 ($)		   Value at
03/31/06 ($)		   Income
Earned from
Affiliate for the
Three Months
Ended
03/31/06 ($)

UBS High Yield
Relationship Fund

   871,205   -   -   -   32,781   903,986   -

UBS Private Money
Market Fund LLC

   412,733   2,162,910   2,424,960   -   -   150,683   104

UBS US Small Cap
Equity Relationship Fund

   2,563,749   -   -   -   226,620   2,790,369   -


(3)   Includes $1,495,069 of investments in securities on loan, at value. The custodian held cash equivalents as collateral for securities loaned of $1,154,685. In addition, the custodian held U.S. government securities having an aggregate value of $407,644 as collateral for portfolio securities loaned as follows:

Principal                        
Amount       Maturity   Interest        
(000) ($)       Date Rate (%)     Value ($)  
388   U.S. Treasury Inflation Index Notes   07/15/13   1.875       407,644  


UBS Series Trust — U.S. Allocation Portfolio


(4)   Cost of investments shown approximates cost for federal income tax purposes. Gross unrealized appreciation of investments and gross unrealized depreciation of investments at March 31, 2006 were $5,586,657 and $802,102, respectively, resulting in net unrealized appreciation of investments of $4,784,555.
(5)   The Portfolio calculates net asset values based on the current market value for its portfolio securities. The Portfolio normally obtains market values for its securities from independent pricing sources. Independent pricing sources may use last reported sale prices, current market quotations or valuations from computerized “matrix” systems that derive values based on comparable securities. Securities traded in the over-the-counter (“OTC”) market and listed on The Nasdaq Stock Market, Inc. (“Nasdaq”) normally are valued at the NASDAQ Official Closing Price. Other OTC securities are valued at the last bid price available prior to valuation. Securities which are listed on U.S. and foreign stock exchanges normally are valued at the last sale price on the day the securities are valued or, lacking any sales on such day, at the last available bid price. In cases where securities are traded on more than one exchange, the securities are valued on the exchange designated as the primary market by the investment advisor and administrator of the Portfolio. If a market value is not available from an independent pricing source for a particular security, that security is valued at fair value as determined in good faith by or under the direction of the Trust’s Board of Trustees (the “Board”). Various factors may be reviewed in order to make a good faith determination of a security’s fair value. These factors may include, but are not limited to, the type and cost of the security; contractual or legal restrictions on resale of the security; relevant financial or business developments of the issuer; the value of actively traded similar or related securities; conversion or exchange rights on the security; related corporate actions; and changes in overall market conditions. If events occur that materially affect the value of securities (particularly non-U.S. securities) between the close of trading in those securities and the close of regular trading on the New York Stock Exchange, these securities would be fair valued. The amortized cost method of valuation, which approximates market value, generally is used to value short-term debt-instruments with sixty days or less remaining to maturity, unless the Board determines that this does not represent fair value.
ARM   Adjustable Rate Mortgage. The interest rate shown is the current rate as of March 31, 2006.
FNMA   Federal National Mortgage Association
OEM   Original Equipment Manufacturer
REMIC   Real Estate Mortgage Investment Conduit
TBA   (To Be Assigned) Securities are purchased on a forward commitment basis with an approximate principal amount (generally +/- 1.0%) and no definite maturity date. The actual principal amount and maturity date will be determined upon settlement when the specific mortgage pools are assigned.
     

Issuer Breakdown By Country

    Percentage of Portfolio Assets (%)
United States   97.4
Panama   0.9
Cayman Islands   0.7
Bermuda   0.5
United Kingdom   0.4
Mexico   0.1
Total   100.0

For more information regarding the Portfolio’s other significant accounting policies, please refer to the Portfolio’s annual report to shareholders dated December 31, 2005.

Item 2.  Controls and Procedures.

(a)  

The registrant’s principal executive officer and principal 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, as amended (“Investment Company Act”)) are effective based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this document.
     
(b)  

The registrant’s principal executive officer and principal financial officer are aware of no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3.  Exhibits.

(a)   Certifications of principal executive officer and principal financial officer of registrant pursuant to Rule 30a-2(a) under the Investment Company Act is attached hereto as Exhibit EX 99.CERT.


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.

UBS Series Trust

By:   /s/ W. Douglas Beck
    W. Douglas Beck
    President

Date:   May 30, 2006

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:   /s/ W. Douglas Beck
    W. Douglas Beck
    President

Date:   May 30, 2006

By:   /s/ Thomas Disbrow
    Thomas Disbrow
    Vice President and Treasurer

Date:   May 30, 2006