<PAGE> PAGE 1
000 A000000 12/31/1999
000 C000000 0001062978
000 D000000 N
000 E000000 NF
000 F000000 Y
000 G000000 N
000 H000000 N
000 I000000 6.1
000 J000000 A
001 A000000 CONSECO STRATEGIC INCOME FUND
001 B000000 811-08795
001 C000000 8008251530
002 A000000 11825 N. PENNSYLVANIA STREET
002 B000000 CARMEL
002 C000000 IN
002 D010000 46032
003 000000 N
004 000000 N
005 000000 N
006 000000 N
007 A000000 N
007 B000000 0
007 C010100 1
007 C010200 2
007 C010300 3
007 C010400 4
007 C010500 5
007 C010600 6
007 C010700 7
007 C010800 8
007 C010900 9
007 C011000 10
008 A000001 CONSECO CAPITAL MANAGEMENT, INC.
008 B000001 A
008 C000001 801-17857
008 D010001 CARMEL
008 D020001 IN
008 D030001 46032
010 A000001 CONSECO CAPITAL MANAGEMENT, INC.
010 B000001 801-17857
010 C010001 CARMEL
010 C020001 IN
010 C030001 46032
011 A000001 PRUDENTIAL SECURITIES INCORPORATED
011 B000001 8-0000
011 C010001 NEW YORK
011 C020001 NY
011 C030001 10281
011 A000002 CROWELL, WEEDON & CO.
011 B000002 8-0000
011 C010002 NEW YORK
<PAGE> PAGE 2
011 C020002 NY
011 C030002 10281
011 A000003 LEGG MASON WOOD WALKER INCORPORATED
011 B000003 8-0000
011 C010003 NEW YORK
011 C020003 NY
011 C030003 10281
011 A000004 MCDONALD & COMPANY SECURITIES
011 B000004 8-0000
011 C010004 NEW YORK
011 C020004 NY
011 C030004 10281
012 A000001 CONSECO SERVICES LLC
012 B000001 84-0000
012 C010001 CARMEL
012 C020001 IN
012 C030001 46032
012 A000002 PFPC, INC.
012 B000002 85-1196
012 C010002 WILMINGTON
012 C020002 DE
012 C030002 19809
013 A000001 PRICEWATERHOUSECOOPERS LLP
013 B010001 INDIANAPOLIS
013 B020001 IN
013 B030001 46282
014 A000001 CONSECO EQUITY SALES, INC.
014 B000001 8-14875
014 A000002 CONSECO FINANCIAL SERVICES, INC.
014 B000002 8-44287
015 A000001 PFPC TRUST COMPANY
015 B000001 C
015 C010001 PHILADELPHIA
015 C020001 PA
015 C030001 19101
015 E010001 X
018 000000 Y
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<PAGE> PAGE 3
022 A000001 GOLDMAN SACHS & CO.
022 B000001 13-5108880
022 C000001 207897
022 D000001 11624
022 A000002 CHASE SECURITIES
022 B000002 13-3112953
022 C000002 176914
022 D000002 1976
022 A000003 MORGAN STANLEY & CO. INC.
022 B000003 13-2655998
022 C000003 58743
022 D000003 7475
022 A000004 MERRILL LYNCH
022 B000004 13-5674085
022 C000004 38696
022 D000004 2831
022 A000005 J.P.MORGAN SECURITIES
022 B000005 13-3224016
022 C000005 32994
022 D000005 5009
022 A000006 SALOMON BROTHERS, INC.
022 B000006 11-2418191
022 C000006 18865
022 D000006 10115
022 A000007 DONALDSON LUFKIN & JENRETTE
022 B000007 13-2741729
022 C000007 15271
022 D000007 11482
022 A000008 BEAR STEARNS & CO., INC.
022 B000008 13-3299429
022 C000008 8427
022 D000008 5470
022 A000009 FNB CHICAGO
022 C000009 10398
022 D000009 0
022 A000010 BANKERS TRUST
022 B000010 13-3311934
022 C000010 7600
022 D000010 1985
023 C000000 609736
023 D000000 75095
024 000000 N
025 D000001 0
025 D000002 0
025 D000003 0
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025 D000005 0
025 D000006 0
025 D000007 0
025 D000008 0
026 A000000 N
<PAGE> PAGE 4
026 B000000 Y
026 C000000 N
026 D000000 Y
026 E000000 N
026 F000000 N
026 G010000 N
026 G020000 N
026 H000000 N
027 000000 N
028 A010000 0
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028 C020000 0
028 C030000 0
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028 D020000 0
028 D030000 0
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<PAGE> PAGE 5
042 D000000 0
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<PAGE> PAGE 6
054 N000000 N
054 O000000 N
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<PAGE> PAGE 7
070 G010000 Y
070 G020000 N
070 H010000 Y
070 H020000 N
070 I010000 N
070 I020000 N
070 J010000 Y
070 J020000 Y
070 K010000 Y
070 K020000 N
070 L010000 Y
070 L020000 N
070 M010000 Y
070 M020000 N
070 N010000 Y
070 N020000 N
070 O010000 Y
070 O020000 Y
070 P010000 N
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070 Q020000 N
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<PAGE> PAGE 8
072 X000000 1564
072 Y000000 0
072 Z000000 4757
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074 E000000 8003
074 F000000 219
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074 M000000 0
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074 P000000 95
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074 R020000 0
074 R030000 0
074 R040000 31092
074 S000000 0
074 T000000 84642
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074 U020000 0
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077 D000000 N
<PAGE> PAGE 9
077 E000000 N
077 F000000 N
077 G000000 N
077 H000000 N
077 I000000 N
077 J000000 N
077 K000000 N
077 L000000 N
077 M000000 N
077 N000000 N
077 O000000 N
077 P000000 N
077 Q010000 N
077 Q020000 N
077 Q030000 N
078 000000 N
080 A000000 FEDERAL INSURANCE CO.
080 B000000 NONE
080 C000000 2025
081 A000000 Y
081 B000000 11
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083 A000000 N
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084 A000000 N
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086 D010000 0
086 D020000 0
086 E010000 0
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086 F010000 0
086 F020000 0
087 A010000 CONSECO STRATEGIC INCOME FUND COMMON STOCK
087 A020000 20847A102
087 A030000 CFD
088 A000000 Y
088 B000000 N
088 C000000 N
088 D000000 N
SIGNATURE ROBERT FLITTER
TITLE MANAGER
<TABLE> <S> <C>
<ARTICLE> 6
<CIK> 0001062978
<NAME> CONSECO STRATEGIC INCOME FUND
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> JUN-30-2000
<PERIOD-END> DEC-31-1999
<INVESTMENTS-AT-COST> 117063347
<INVESTMENTS-AT-VALUE> 112985041
<RECEIVABLES> 2843516
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 115828557
<PAYABLE-FOR-SECURITIES> 2200000
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 28986997
<TOTAL-LIABILITIES> 31186997
<SENIOR-EQUITY> 6752
<PAID-IN-CAPITAL-COMMON> 100407629
<SHARES-COMMON-STOCK> 6751603
<SHARES-COMMON-PRIOR> 6735370
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> (1215)
<ACCUMULATED-NET-GAINS> (11693300)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (4078306)
<NET-ASSETS> 84641560
<DIVIDEND-INCOME> 317500
<INTEREST-INCOME> 6003276
<OTHER-INCOME> 0
<EXPENSES-NET> (1563765)
<NET-INVESTMENT-INCOME> 4757011
<REALIZED-GAINS-CURRENT> (6845014)
<APPREC-INCREASE-CURRENT> 3452995
<NET-CHANGE-FROM-OPS> 1364992
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (4757076)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 0
<NUMBER-OF-SHARES-REDEEMED> 0
<SHARES-REINVESTED> 16233
<NET-CHANGE-IN-ASSETS> (3183475)
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> (4848286)
<OVERDISTRIB-NII-PRIOR> (1150)
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 512457
<INTEREST-EXPENSE> 858192
<GROSS-EXPENSE> 1563765
<AVERAGE-NET-ASSETS> 85206518
<PER-SHARE-NAV-BEGIN> 13.04
<PER-SHARE-NII> .70
<PER-SHARE-GAIN-APPREC> (.50)
<PER-SHARE-DIVIDEND> (.70)
<PER-SHARE-DISTRIBUTIONS> 0
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 12.54
<EXPENSE-RATIO> 1.65
</TABLE>
EXHIBIT INDEX
EXHIBIT A:
Attachment to item 77C: Submission of matters to a vote of
Security holders.
- ------------------------------------------------------------------
EXHIBIT A:
SHAREHOLDER'S MEETING
ANNUAL SHAREHOLDER'S MEETING
An annual shareholders' meeting was held on October 14, 1999
for Conseco Strategic Income Fund. Shareholders were asked
to vote on two separate issues: election of members to the
Board of Trustees and ratification of PricewaterhouseCoopers
LLP as independent auditors.
Proposal 1 - Election of Trustees
CLASS I - Term Expires 2000:
FOR WITHHELD
Maxwell E. Bublitz 5,876,835 88,629
William P. Daves, Jr. 5,875,835 89,629
CLASS II - Term Expires 2001:
Gregory J. Hahn 5,877,835 87,629
Dr. Jess H. Parrish 5,875,200 90,264
David N. Walthall 5,877,835 87,629
CLASS III - Term Expires 2002:
Dr. R. Jan LeCroy 5,877,235 88,229
Harold W. Hartley 5,876,835 88,629
Proposal 2 - Ratification of the selection of
PricewaterhouseCoopers LLP as independent auditors for the
fund. This item was approved.
For Against Abstain
5,891,426 20,623 53,414
(Fractional shares not shown.)
