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<PAGE> 1
NATIONWIDE SEPARATE ACCOUNT TRUST
FINANCIAL STATEMENTS
DECEMBER 31, 1995
<PAGE> 2
[LOGO] KPMG Peat Marwick LLP
Two Nationwide Plaza Telephone 614 249 2300 Telefax 614 249 2348
Columbus, OH 43215
INDEPENDENT AUDITORS' REPORT
The Shareholders and Board of Trustees of
Nationwide Separate Account Trust:
We have audited the accompanying statements of assets and liabilities,
including the statements of investments, of Nationwide Separate Account Trust
(comprised of the Small Company Fund, Capital Appreciation Fund, Total Return
Fund, Government Bond Fund, and Money Market Fund), as of December 31, 1995,
and the related statements of operations, statements of changes in net assets
and the financial highlights for each of the periods indicated herein. These
financial statements and the financial highlights are the responsibility of
Nationwide Separate Account Trust's management. Our responsibility is to
express an opinion on these financial statements and financial highlights based
on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements and
financial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements. Our procedures included verification of securities
owned as of December 31, 1995 by confirmation with the custodian and other
appropriate audit procedures. An audit also includes assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. We believe that our
audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position of
each of the aforementioned funds comprising Nationwide Separate Account Trust
as of December 31, 1995, the results of their operations, the changes in their
net assets and the financial highlights for each of the periods indicated
herein, in conformity with generally accepted accounting principles.
KPMG Peat Marwick LLP
Columbus, Ohio
February 23, 1996
[LOGO]
Member Firm of
Klynweld Peat Marwick Goerder
<PAGE> 3
SMALL COMPANY FUND
Statement of Investments - December 31, 1995
<TABLE>
<CAPTION>
----------------------------------------------------------- --------------------------------------------------
VALUE VALUE
SHARES SECURITY (NOTE 1) SHARES SECURITY (NOTE 1)
----------------------------------------------------------- --------------------------------------------------
<S> <C> <C> <C> <C> <C>
COMMON STOCK (83.3%) 4,000 Corestaff Inc.* $146,000
AGRICULTURAL PRODUCTS (0.3%) 3,000 Danka Business Systems 111,000
1,333 Delta & Pine Ld Co. $49,000 1,500 Data Broadcasting 18,563
------- 1,000 Fritz Companies Inc.* 41,500
1,000 Fujitsu Business
AIRLINE (0.2%) Systems (Japanese Yen) 26,369
1,200 Midwest Express Holding 33,300 1,800 On Assignment Inc. * 58,950
-------- 1,500 QuickResponse
Services Inc.* 27,563
AUTO & AUTO PARTS (1.0%) 21,740 Shanks & McEwan Grp 29,707
1,200 Donaldson Inc. 30,150 (British Pounds)
1,000 Exide Corp. 45,875 1,150 Solectron Corp.* 50,744
5,000 Meiwa Industry Co. (Japanese Yen) 26,417 1,950 Viking Office Prods Inc. 90,675
1,500 Motorcar Parts & Accessories* 19,688 ---------
1,500 Reynolds & Reynolds Co., Class A 58,313 710,346
-------- ---------
180,443 COMMUNICATIONS & MEDIA (4.4%)
------- 2,100 Allen Group Inc. 46,988
BANK/SAVINGS & LOAN (1.7%) 1,500 Aspect Telecomm 50,250
1,200 Banco Latino Amer. 420 Bantex (Danish Krone)* 30,315
Exportaciones SA CLE 55,800 2,000 Central European Media
1,700 Charter One Financial Inc. 52,063 Enterprises LTD* 41,000
1,100 Cullen Frost Bankers Inc. 55,000 2,250 Harte-Hanks 44,438
500 Fifth Third Bancorp. 36,625 4,200 K-III Communications Inc.* 50,925
700 First Commerce Corp 22,400 7,000 Metromedia
1,000 TCF Financial Corp. 33,125 International Group* 98,000
1,400 Webster Financial Corp. 41,300 2,000 Nitto Electric Works 28,696
-------- (Japanese Yen)
296,313 2,200 Paging Network Inc.* 53,625
------- 1,500 Picturetel Corporation* 64,688
BROKERS-DEALERS (0.3%) 5,000 Spelling Entertainment 62,500
1,800 Donaldson Lufkin & Jenrette* 56,250 3,000 Tonichi Cable Ltd 26,379
-------- (Japanese Yen)
6,000 Westell Technologies* 150,750
BUILDING MATERIALS (0.6%) -------
7,780 Bellway Plc ORD (British Pounds) 31,652 748,554
14,170 Keller Group ORD (British Pounds) 31,684 -------
COMPUTER EQUIPMENT (5.2%)
2,000 Komatsu Wall Industry Co. 42,656 2,000 Arbor Software Corp.* 94,500
(Japanese Yen) -------- 3,000 Casino Data System* 75,000
105,992 2,600 Cognex Corp.* 90,350
------- 1,500 Continuum Inc.* 59,250
1,500 D H Technology Inc.* 36,750
CHEMICALS & FERTILIZER (1.4%) 3,400 Davidson & Associates Inc.* 74,800
27,170 Amberley Group (British Pounds) 28,267 1,100 FileNet Corp.* 51,700
3,000 Kaigen (Japanese Yen) 28,444 2,500 Manugistics Group Inc.* 36,875
3,000 Lawter Intl Inc. 34,875 5,000 Network Appliance Inc.* 200,625
2,500 Lilly Industries Inc 31,875 3,000 Platinum Technology* 55,125
4,300 McWhorter Technologies Inc.* 63,425
3,000 Osaka Organic Chemical 34,900
(Japanese Yen)
2,000 Teikoku Hormone (Japanese Yen) 29,083
--------
250,869
-------
COMMERCIAL SERVICES (4.1%)
1,200 Accustaff Inc.* 52,800
900 Catalina Marketing Corp.* 56,475
</TABLE>
(Continued)
<PAGE> 4
SMALL COMPANY FUND
Statement of Investments - December 31, 1995, Continued
<TABLE>
<CAPTION>
----------------------------------------------------------- --------------------------------------------------
VALUE VALUE
SHARES SECURITY (NOTE 1) SHARES SECURITY (NOTE 1)
----------------------------------------------------------- --------------------------------------------------
<S> <C> <C> <C> <C> <C>
COMPUTER EQUIPMENT (CONTINUED) 5,150 Chemring Grp Plc ORD $30,628
1,000 Shared Medical Systems Corp. $54,375 (British Pounds)
1,500 Synopsys Inc.* 57,000 4,000 Dallas Semiconductor Corp. 83,000
-------- 400 Eriks Holdings 31,193
886,350 (Netherlands Guilders)
------- 900 Glenayre Technologies Inc.* 56,025
COMPUTER SERVICE (0.7%) 2,000 Jastec (Japanese Yen) 30,053
3,400 DST Systems Inc.* 96,900 7,000 Lernout & Hauspie
500 Uunet Technologies* 31,500 Speech Products* 196,000
-------- 7,890 MMT Comptng PLC
128,400 ORD (British Pounds) 29,771
------- 1,400 Maxim Integrated
COMPUTER SOFTWARE (4.0%) Products Inc.* 53,900
1,200 Ascend Commun. Inc.* 97,350 45,520 Neotronics Technology
1,200 CBT Group PLC ADR* 63,600 ORD (British Pounds) 33,928
2,000 Clarify Inc.* 60,000 3,600 Oak Industries Inc.* 67,500
1,500 HNC Software Inc.* 71,625 5,200 Pioneer Standard
1,500 Hyperion Software Corp.* 31,875 Electronics Inc. 68,900
3,600 Madge Networks N V* 161,100 2,000 Ross Technology* 19,500
200 Mcafee Associates* 8,775 1,000 Ryoyo Electric 22,879
2,250 System Software Associates Inc. 48,938 (Japanese Yen)
2,200 Transaction System Architects 'A'* 74,250 14,600 Sanderson Electronic
2,500 Visio Corp.* 70,625 PLC (British Pounds) 31,739
-------- 2,000 Seiwa Electric Manufacturing
688,138 Co. (Japanese Yen) 25,400
-------- 910 Twentsche Kabel Holdings 31,338
CONGLOMERATES (0.4%) (Netherlands Guilders)
350 Crown Van Gelder 1,200 Uniphase Corporation* 42,900
(Netherlands Guilders) 28,059 1,100 Watkins Johnson Co. 48,125
1,000 Fujix Ltd (Japanese Yen) 9,355 --------
3,000 Morito Co. (Japanese Yen) 31,701 983,233
-------- --------
69,115
-------- ENGINEERING & CONSTRUCTION (0.3%)
CONSUMER GOODS & SERVICES (2.3%) 2,000 Jacobs Engineering
5,500 Cairn Energy USA Inc.* 77,000 Group Inc.* 50,000
1,000 Chofu Seisakusho (Japanese Yen) 26,854 --------
1,900 Devry Inc.* 51,300
7,000 Mentor Corp. 161,000 ENVIRONMENTAL SERVICES (0.3%)
1,000 Sangetsu Co. (Japanese Yen) 25,206 1,500 Sanifill Inc.* 50,063
1,500 Stewart Enterprises Inc., Class A 55,500 --------
--------
396,860 FINANCIAL SERVICES (3.1%)
-------- 5,000 Duff & Phelps Credit 71,875
CONTAINERS (0.5%) 3,500 Enhance Financial
2,000 Alltrista Corp.* 36,000 Services Group 93,188
1,800 Libbey Inc. 40,500 1,000 Gartner Group Inc.* 47,875
-------- 3,500 Investors Financial Services 72,625
76,500 15,000 Reliance Group
-------- Holdings Inc. 129,375
ELECTRICAL EQUIPMENT (0.8%)
4,600 Continental Circuits Corp.* 74,750
2,550 Holophane Corp.* 55,463
--------
130,213
-------
ELECTRONICS (5.7%)
270 Batenburg Beheer (Netherlands 32,004
(Netherlands Guilders)
1,900 Burr-Brown Corp.* 48,450
</TABLE>
(Continued)
<PAGE> 5
SMALL COMPANY FUND
Statement of Investments - December 31, 1995, Continued
<TABLE>
<CAPTION>
----------------------------------------------------------- --------------------------------------------------
VALUE VALUE
SHARES SECURITY (NOTE 1) SHARES SECURITY (NOTE 1)
----------------------------------------------------------- --------------------------------------------------
<S> <C> <C> <C> <C> <C>
FINANCIAL SERVICES (CONTINUED) 3,000 Nissei Industries $31,992
900 T. Rowe Price Associates Inc. $44,325 (Japanese Yen)
1,300 United Companies Financial Corp. 34,288 1,400 Oakwood Homes Corp. 53,725
800 Vesta Insurance Group Inc. 43,600 3,000 Tanabe Industries 29,374
-------- (Japanese Yen)
537,151 1,600 Texas Industries Inc. 84,800
-------- -----------
FOOD & BEVERAGE (1.3%) 255,835
3,000 B-R 31 Ice Cream (Japanese Yen) 31,410 -----------
1,000 Bush Boake Allen Inc.* 27,375 INDUSTRIAL MISC. (2.7%)
3,500 Canandaigua Wine Inc.* 114,188 2,600 Adac Labs 31,525
2,000 Hokkaido Coca-Cola Bottling 24,236 4,400 BMC Industries Inc. 102,300
(Japanese Yen) 2,400 Brady WH Co. 64,800
6,000 Soken Co. Ltd (Japanese Yen) 30,189 1,300 Harmon Industries Inc. 20,475
-------- 3,000 Material Sciences* 44,625
227,398 1,000 Pentair Inc. 49,750
------- 1,900 SCI Systems Inc.* 58,900
HEALTHCARE (7.4%) 3,900 Varlen Corp. 83,850
2,200 Alpharma Inc. Class A 57,475 -----------
1,000 American Oncology 456,225
Resources Inc.* 48,625 -----------
5,000 Ballard Medical Products 89,375 LEISURE SERVICE (1.6%)
500 Biochem Pharama Inc.* 20,063 6,000 Bally Entertainment Corp.* 84,000
3,000 Biofermin Pharmaceuticals 500 HFS Inc.* 40,875
(Japanese Yen) 33,737 80,650 Kunick (British Pounds) 29,743
1,200 Biovail Corp. International* 92,700 3,000 Regal Cinemas Inc.* 89,250
2,000 Corvita Corporation* 20,750 3,000 Shingakukai Co. Ltd 25,826
510 Ecco Travail Temporaire (Japanese Yen) ----------
(French Francs) 29,670 269,694
2,000 EmCare Holdings* 48,000 ----------
800 Genzyme Corp.* 49,900 LODGING (1.7%)
3,000 Gilead Sciences Inc.* 96,000 2,400 Doubletree Corp.* 63,000
1,200 Healthsouth Corp.* 34,950 2,000 Marcus Corp. 54,750
2,000 INCYTE Pharmaceuticals Inc.* 50,000 6,200 Prime Hospitality Corp.* 62,000
3,200 Kinetic Concepts Inc. 38,400 2,400 Renaissance Hotel Group * 61,200
6,100 Molecular Devices Corporation* 64,050 2,000 Studio Plus Hotels * 51,500
5,300 Neuromedical Systems* 106,475 ----------
3,000 Norland Medical Systems Inc.* 69,750 292,450
1,500 Ostex International Inc.* 28,875 ----------
2,500 Parexel International Corp.* 83,125
500 Phycor Inc.* 25,281 MACHINERY & CAPITAL GOODS (4.8%)
1,000 Physician Sales & Service Inc.* 28,500 3,000 Alamo Group Inc. 54,000
1,000 Physio Control Holding Corp.* 17,875 11,510 Ashtead Group ORD 30,384
4,000 Quest Medical Inc.* 41,500 (British Pounds)
3,000 Total Renal Care* 88,500 6,090 Carclo Engineering Group
----------- ORD (British Pounds) 29,504
1,263,576 3,000 Danto Corp. (Japanese Yen) 37,227
---------- 3,000 Denkyosha Co. 27,484
HOUSING (1.5%) (Japanese Yen)
2,000 Alinco (Japanese Yen) 22,685 400 Dionex Corp.* 22,700
200 Dyckerhoff & Widmann (German 410 Fives-Lille (Compagnie DE) 30,853
(German Marks) 33,259 (French Francs)
</TABLE>
(Continued)
<PAGE> 6
SMALL COMPANY FUND
Statement of Investments - December 31, 1995, Continue
<TABLE>
<CAPTION>
----------------------------------------------------------- --------------------------------------------------
VALUE VALUE
SHARES SECURITY (NOTE 1) SHARES SECURITY (NOTE 1)
----------------------------------------------------------- --------------------------------------------------
<S> <C> <C> <C> <C> <C>
MACHINERY & CAPITAL GOODS (CONTINUED) 6,600 Smith International $155,100
2,500 Graco Inc. $76,250 3,300 Tejas Power Corp.* 30,113
1,000 IDEX Corp. 40,750 3,700 Texas Meridian Resources 50,413
1,400 Kaydon Corp. 42,525 ----------
3,000 Koito Industries (Japanese Yen) 36,063 674,376
2,500 Lincoln Electric Co., Class A 60,000 ---------
2,000 Nihon Decoluxe (Japanese Yen) 28,696 PRODUCER DURABLES (1.2%)
3,000 Nikko Co. (Japanese Yen) 28,938 5,000 Huntco Inc. 76,875
400 Reesink (Netherlands Guilders) 30,944 5,000 Rohr Inc.* 71,875
1,000 Ricoh Elemex (Japanese Yen) 14,445 5,000 Vista 2000 Inc.* 49,375
4,000 Uehara Sei Shoji (Japanese Yen) 31,837 ----------
800 Watts Industries Inc. 18,600 198,125
4,700 Wolverine Tube Co.* 176,250 ---------
---------
817,450 PUBLISHING (1.7%)
--------- 700 Central Newspapers Inc. 21,963
1,000 Houghton Mifflin Co. 43,000
MANUFACTURING-SHOES & APPAREL (1.3%) 1,500 McClatchy Newspaper,
5,200 Donnkenny Inc.* 94,250 Class A 34,313
2,400 Gucci Group* 93,300 1,900 Pulitzer Publishg Co. 90,725
800 Nautica Enterprises* 35,000 800 Scholastic Corp.* 62,200
---------- 1,000 Waverly Inc. 45,750
222,550 ----------
--------- 297,951
MATERIALS & PROCESSING (1.9%) ---------
2,000 Cambrex Corp. 82,750 REAL ESTATE (0.4%)
7,000 International Specialty Products* 76,125 3,400 NHP Inc.* 62,900
2,500 Mineral Technologies Inc. 91,250 ----------
7,800 Stratosphere* 77,025
---------- RESTAURANTS (1.1%)
327,150 2,800 Boston Chicken Inc.* 89,950
--------- 1,000 Outback Steakhouse Inc.* 35,875
METAL PRODUCT & FABRICATION (0.3%) 6,100 Schlotzsky's Inc.* 62,525
1,500 NN Ball & Roller Inc. 26,250 ----------
2,000 Osaka Steel (Japanese Yen) 30,635 188,350
---------- ---------
56,885
---------- RETAILING & DISTRIBUTORS (0.6%)
MISCELLANEOUS (0.5%) 3,000 Monro Muffler Brake Inc.* 41,625
7,000 Willis Corroon Group 81,375 2,600 Richfood Holdngs Inc. 69,550
---------- ----------
NONFERROUS METALS (0.7%) 111,175
2,000 Allied Products Corp. 48,000 ---------
1,400 Alumax, Inc.* 42,875 RETAIL STORES (3.6%)
2,000 Commonwealth Alum Corp. 31,000 2,600 Borders Group Inc.* 48,100
---------- 3,000 Circle K Corporation* 76,125
121,875 2,000 Corporate Express* 60,250
--------- 700 Fastenal Company 29,575
OIL & GAS/ENERGY (3.9%) 260 Guilbert SA (French Francs) 30,571
3,600 Barrett Resources Corp.* 105,750 2,000 Henry Schein Inc.* 59,000
2,000 Brown (Tom) Inc.* 29,250 1,500 Just For Feet Inc.* 53,625
1,000 Camco International Inc. 28,000 750 Men's Warehouse Inc.* 19,313
1,100 Input/Output Inc.* 63,525 1,000 Micro Warehouse Inc.* 43,250
6,200 Nabors Industries Inc.* 68,975 4,300 Neostar Retail Group Inc.* 31,713
6,000 Offshore Logistics Inc.* 75,750 1,200 Petsmart Inc.* 37,200
2,700 Petroleum Geo Services ADR* 67,500 2,500 Talbots Inc. 71,875
1,100 Tiffany & Co. 55,413
------------
616,010
-----------
</TABLE>
(Continued)
<PAGE> 7
SMALL COMPANY FUND
Statement of Investments - December 31, 1995
<TABLE>
<CAPTION>
----------------------------------------------------------- -------------------------------------------------------------
VALUE VALUE
SHARES SECURITY (NOTE 1) PRINCIPAL SECURITY (NOTE 1)
----------------------------------------------------------- -------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
TECHNOLOGY (4.9%) $487,000 State Street Bank
8,300 Auspex Systems Inc.* $151,475 5.40%, 01/02/96, collateralized
2,500 Cheyenne Software Inc.* 65,313 by $487,000 U.S. Treasury Note
5,000 P-COM Inc.* 100,000 6.00%, due 8/31/97, market
1,700 Pixar* 49,088 value - $500,428 $ 487,000
1,500 Safeguard Scientifics Inc.* 74,250 ------------
3,000 Sierra On-Line Inc.* 86,250 Total repurchase
2,000 Sync Research Inc.* 90,500 agreements 2,858,000
2,500 Thiokol Corp. 84,688 (cost $2,858,000) ------------
3,000 Visioneer* 66,750
5,000 Wyman Gordon Co.* 68,750 SHORT-TERM DEBT (3.2%)
-------------
837,064 552,000 Florida Power Corp. 551,911
------------- 5.80%, due 01/02/96 -----------
TELEPHONE (0.4%) (cost $551,911)
2,000 Cinncinnati Bell Inc. 69,500 U.S. GOVERNMENT
------------- OBLIGATIONS (3.3%)
568,000 U.S. Treasury Bills 564,217
TEXTILE/APPAREL (1.6%) 5.33% through 4.84%, -------------
420 Bazar DE LHotel DE Ville 31,974 due 1/11/96 through
(French Francs) 3/7/96 (cost $564,217)
2,000 Charle Co. (Japanese Yen) 29,277
390 Devanlay SA (French Francs) 32,123 Total investments $18,259,754
6,320 Hicking Pentecost PLC ORD 30,913 (cost $16,750,963) =============
(British Pounds)
4,000 Isamu Paint Co. Ltd 28,075
(Japanese Yen)
3,000 Sotoh (Japanese Yen) 29,665
1,600 St John Knits Inc. 85,000
-------------
267,027
------------
TOBACCO & GROCERY (0.3%)
1,000 First Brands Corp. 47,625
-------------
TRANSPORTATION (0.6%)
2,000 Finnlines (Finnish Marks) 32,704
5,000 Isewan Terminal Services 31,507
(Japanese Yen)
4,000 Tokyo Kisen (Japanese Yen) 31,759
-------------
95,970
-------------
Total common stock 14,285,626
(cost $12,776,835) -------------
PRINCIPAL
- ---------
REPURCHASE AGREEMENTS (16.7%)
$2,371,000 Fifth Third Bank
5.35%, 01/02/96, collaterallized by
$2,387,000 FNARM Pool #3300040 and
#3300046, 6.397%, due 11/01/25, and
6.844%, due 11/01/25
market value - $2,419,098 $2,371,000
</TABLE>
(Continued)
<PAGE> 8
SMALL COMPANY FUND
Statement of Investments - December 31, 1995, Continued
FORWARD CURRENCY PURCHASE CONTRACTS
<TABLE>
<CAPTION>
Net
U.S. Dollar Unrealized
Cost Value Appreciation
---- ----- ------------
<S> <C> <C> <C>
Netherlands Guilders, delivery
date 1/2/96 $153,870 $154,263 $393
</TABLE>
* Denotes a non-income producing security.
Securities denominated in foreign currencies are shown at their U.S.
dollar cost and value. Cost for Federal income tax purposes:
$16,763,912 Portfolio holding percentages represent market value as a
percentage of net assets. See accompanying notes to financial
statements.
<TABLE>
<CAPTION>
SUMMARY OF INVESTMENTS BY CURRENCY % OF PORTFOLIO
<S> <C>
United States Dollars 90.3%
Japanese Yen 5.6%
British Pounds 2.0%
French Francs 0.8%
Netherlands Guilders 0.7%
German Marks 0.2%
Finnish Marks 0.2%
Danish Krone 0.2%
</TABLE>
<PAGE> 9
CAPITAL APPRECIATION FUND
Statement of Investments - December 31, 1995
<TABLE>
<CAPTION>
- --------------------------------------------------------------- ------------------------------------------------------------------
VALUE VALUE
SHARES SECURITY (NOTE 1) SHARES SECURITY (NOTE 1)
- --------------------------------------------------------------- ------------------------------------------------------------------
COMMON STOCKS (91.0%)
AUTO & AUTO PARTS (4.4%) FOOD & BEVERAGES (11.6%)
<S> <C> <C>
36,100 Chrysler Corp. $1,999,037 14,500 Anheuser-Busch Companies, Inc. $969,688
55,400 Ford Motor Company 1,606,600 75,000 Morningstar Group Inc. 600,000
----------- 51,500 PepsiCo, Inc. 2,877,562
3,605,637 4,800 Philip Morris Companies, Inc. 434,400
----------- 28,300 Quaker Oats Company 976,350
BROADCASTING (1.1%) 75,333 Ralcorp Holdings Inc.* 1,826,825
3,600 Capital Cities/ABC, Inc. 444,150 27,500 Ralston-Ralston Purina Group 1,715,313
4,125 Tel Com-Liberty Media, Group A 110,859 ----------
16,500 Tele-Communications Inc., 9,400,138
Group A* 327,938 ----------
--------
882,947 FOREST PRODUCTS (0.7%)
-------- 11,000 Bowater Inc. 390,500
3,100 Champion International Corp. 130,200
BUILDING (4.4%) 1,100 Georgia-Pacific Corp. 75,488
57,700 Masco Corp. 1,810,337 ------------
14,600 USG Corp.* 438,000 596,188
22,800 Vulcan Materials Co. 1,313,850 -----------
----------- HOTELS - MOTELS (0.4%)
3,562,187
----------- 21,700 Host Marriott Corp. 317,905
CHEMICALS (12.5%) ----------
28,900 Georgia Gulf Corp. 888,675 HOUSEHOLD PRODUCTS (4.9%)
52,500 IMC Global, Inc. 2,145,938 19,300 Avon Products, Inc. 1,454,738
51,800 Morton International Inc. 1,858,325 42,100 Dial Corp. (The) 1,247,212
59,700 OM Group, Inc. 1,977,562 7,000 Gillette Company (The) 364,875
58,310 Raychem Corp. 3,316,381 29,500 Helene Curtis Industries, Inc. 932,937
----------- -----------
10,186,881 3,999,762
----------- ----------
COMPUTER EQUIPMENT (3.0%) LEISURE PRODUCTS (3.2%)
107,200 Brunswick Corp. 2,572,800
26,200 International Business ----------
Machines Corp. 2,403,850 MACHINERY (1.6%)
----------- 33,800 Johnstown America Industries, Inc.* 169,000
DRUGS (11.5%) 12,200 PACCAR, Inc. 513,925
53,700 Allergan Inc. 1,745,250 20,200 Trinity Industries, Inc. 636,300
6,400 American Home Products Corp. 620,800 -----------
59,900 Schering-Plough Corp. 3,279,525 1,319,225
38,400 Warner-Lambert Co. 3,729,600 ----------
----------- NONFERROUS METALS (0.7%)
9,375,175
----------- 18,850 Alumax Inc.* 577,281
ELECTRONICS (0.6%) -----------
13,200 AMP, Inc. 506,550
--------
OIL & GAS (5.6%)
31,200 Texaco Inc. 2,449,200
ENTERTAINMENT (2.3%) 71,800 Unocal Corp. 2,091,175
32,000 Disney, (Walt) Co. 1,888,000 ----------
----------- 4,540,375
----------
PRINTING & PUBLISHING (5.8%)
FINANCIAL (10.9%) 51,200 American Greetings Corp.,
15,000 Barnett Banks, Inc. 885,000 Class A 1,414,400
24,000 Charter One Financial Inc. 735,000 22,800 Dun & Bradstreet Corp. 1,476,300
13,000 Chubb Corp. 1,257,750 3,800 Gannett Company, Inc. 233,225
6,100 CoreStates Financial Corp. 231,038 30,500 Gibson Greetings, Inc.* 488,000
5,835 Fund American Enterprises* 434,707 4,900 Tribune Co. 299,513
88,900 Horace Mann Educators Corp. 2,778,125 2,800 Washington Post Company
31,300 Mellon Bank Corp. 1,682,375 (The), Class B 789,600
24,334 U S Bancorp 818,231 -----------
-------- 4,701,038
8,822,226 ----------
-----------
</TABLE>
(Continued)
<PAGE> 10
CAPITAL APPRECIATION FUND
Statement of Investments - December 31, 1995, Continued
<TABLE>
<CAPTION>
- --------------------------------------------------------------- ------------------------------------------------------------------
VALUE VALUE
SHARES SECURITY (NOTE 1) SHARES SECURITY (NOTE 1)
- --------------------------------------------------------------- ------------------------------------------------------------------
<S> <C> <C>
TELECOMMUNICATIONS (2.7%) REPURCHASE AGREEMENT (0.5%)
10,000 Airtouch Communications Inc. $282,500 $403,000 Merrill Lynch & Co., Inc.,
73,200 MCI Communications Corp. 1,912,350 5.35%, due 01/02/96, Collateralized
----------- by $528,558 FNMA Pool #221091, 7.00%,
2,194,850 due 07/01/08, market value - $411,181
----------- (cost $403,000) $ 403,000
TOYS (3.1%) -------------
81,388 Mattel, Inc. 2,502,681 Total investments $82,349,782
----------- (cost $67,321,284) ===========
Total common stocks 73,955,696
(cost $58,073,043) ----------
PRINCIPAL
---------
CONVERTIBLE BONDS (0.6%)
$1,494,000 Consorcio G. Grupo Dina, 8.00%, 526,635
2004 --------
(cost $1,380,790)
COMMERCIAL PAPER (9.2%)
514,000 Heinz (H.J.) Company
5.75%, due 01/26/96 511,948
1,967,000 Koch Industries, Inc.
5.62%, due 01/19/96 1,961,473
320,000 Monsanto Co.
5.72%, due 01/16/96 319,237
997,000 PHH Corp.
5.76%, due 01/09/96 995,724
2,705,000 Pitney Bowes Credit Corp.
5.57%, due 01/25/96 2,694,955
352,000 Sysco Corp.
5.55%, due 02/01/96 350,318
631,000 Transamercia Finance Group Inc.
5.81%, due 01/03/96 630,796
-----------
Total commercial paper 7,464,451
(cost $7,464,451) -----------
</TABLE>
* Denotes a non-income producing security.
Cost also represents cost for federal income tax purposes.
Portfolio holding percentages represent market value as a percentage of net
assets.
See accompanying notes to financial statements.
<PAGE> 11
TOTAL RETURN FUND
Statement of Investments - December 31, 1995
<TABLE>
<CAPTION>
- -------------------------------------------------------------- --------------------------------------------------------------------
VALUE VALUE
SHARES SECURITY (NOTE 1) SHARES SECURITY (NOTE 1)
- -------------------------------------------------------------- --------------------------------------------------------------------
COMMON STOCKS (87.1%)
AEROSPACE/DEFENSE (1.3%) DRUGS (3.3%)
<S> <C> <C> <C> <C>
140,000 The Boeing Company $10,972,500 90,000 Bristol-Meyers Squibb Co. $7,728,750
----------- 80,000 Schering-Plough Corp. 4,380,000
150,000 Warner-Lambert Co. 14,568,750
AUTOMOBILES (4.7%) ----------
26,677,500
230,000 General Motors Corp. 12,161,250 ----------
266,400 Magna International Inc. 11,521,800 ELECTRONICS (3.7%)
350,800 Genuine Parts Co. 14,382,800 127,300 AMP, Inc. 4,885,138
---------- 380,000 Intel Corp. 21,565,000
38,065,850 139,800 Richardson Electronic Ltd. 1,502,850
---------- 177,000 Woodhead Industries, Inc. 2,522,250
BUSINESS SERVICES (0.8%) ----------
157,500 (The) Olsten Corp. 6,221,250 30,475,238
---------- ----------
FINANCIAL (12.1%)
500,000 Allstate Corp. 20,562,500
CHEMICALS (4.3%) 130,000 Bankers Trust NY Corp. 8,645,000
110,000 Air Products & Chemicals Inc. 5,802,500 578,812 Bear Stearns Companies, Inc. 11,503,889
400,500 Crompton & Knowles Corp. 5,306,625 700,000 Equitable Companies, Inc. 16,800,000
150,000 Dupont (E.I.) DeNemours & Co. 10,481,250 200,000 First Chicago NBD 7,900,000
100,000 Eastman Chemical Co. 6,262,500 350,000 Merrill Lynch & Co., Inc. 17,850,000
268,400 Lawter International, Inc. 3,120,150 140,000 Morgan J.P. & Co., Inc. 11,235,000
150,000 Lubrizol Corp. 4,181,250 50,000 Morgan Stanley Group Inc. 4,031,250
--------- ----------
35,154,275 98,527,639
---------- ----------
COMPUTER EQUIPMENT (3.8%) FOOD & BEVERAGES (4.4%)
100,000 Hewlett-Packard Co. 8,375,000 2,000,000 Grand Metropolitan Plc 14,408,000
250,000 International Business Machines 22,937,500 176,700 Grand Metropolitan ADR 5,080,125
---------- 283,500 Heinz (H.J.) Co. 9,390,938
31,312,500 100,100 International Flavor
---------- & Fragrance Inc. 4,804,800
COMPUTER SOFTWARE & SERVICES (0.9%) 54,100 Universal Foods Corp. 2,170,763
93,500 Automatic Data Processing, Inc 6,942,375 ----------
43,100 SCS/COMPUTE Inc.* 288,231 35,854,626
---------- ----------
7,230,606 FOOD - GRAIN & AGRICULTURE (1.9%)
---------- 849,509 Archer-Daniels Midland Co. 15,291,162
CONGLOMERATE (9.2%) ----------
200,000 EG&G, Inc. 4,850,000
311,000 Eastman Kodak Co. 20,837,000 HEALTHCARE SERVICES (2.7%)
1,500,000 Hanson Plc 22,875,000 434,000 Columbia/HCA Healthcare Corp. 22,025,500
305,300 Honeywell Inc. 14,845,213 ----------
200,000 Rockwell International Corp. 10,575,000
45,000 U.S. Industries Inc. 826,875
---------- MACHINERY & CAPITAL GOODS (2.0%)
74,809,088
---------- 155,000 Cooper Industries, Inc. 5,696,250
CONSUMER GOODS (0.9%) 56,000 Duriron Inc. 1,302,000
153,900 Premark International Inc. 7,791,188
----------
</TABLE>
(Continued)
<PAGE> 12
TOTAL RETURN FUND
Statement of Investments - December 31, 1995, Continued
<TABLE>
<CAPTION>
- -------------------------------------------------------------- --------------------------------------------------------------------
VALUE VALUE
SHARES SECURITY (NOTE 1) SHARES SECURITY (NOTE 1)
- -------------------------------------------------------------- --------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
MACHINERY & CAPITAL GOODS (CONTINUED) 901,800 Sprint Corporation $35,959,272
-----------
60,000 Emerson Electric Co. $4,905,000 80,335,197
40,000 Ingersoll-Rand Company 1,405,000 -----------
50,000 Nordson Corporation 2,812,500 TRANSPORTATION (1.5%)
----------- 193,000 Union Pacific Corp. 12,738,000
16,120,750 -----------
----------- Total common stocks 709,914,557
OIL & GAS (13.7%) (cost $543,458,996) -----------
PRINCIPAL
180,000 Amoco Corporation 12,937,500 ---------
130,000 Exxon Corporation 10,416,250 REPURCHASE AGREEMENT (0.3%)
308,900 Mobil Corp. 34,596,800 $ 2,490,000 Merrill Lynch & Co., Inc.,
110,000 Royal Dutch Petroleum Co. 15,523,750 5.35%, due 01/02/96, Collateralized by
81,300 Sonat, Inc. 2,896,313 $809,090 FNRM CL207W RT92-207,
225,000 Texaco, Inc. 17,662,500 8.00%, due 11/25/22 and $25,591,569
400,000 The Williams Companies, Inc. 17,550,000 FNMA Series 132 Stripped, 9.00%, due
----------- 4/25/22 - market value -
111,583,113 $2,540,547 (cost $2,490,000) 2,490,000
----------- -----------
PAPER & FOREST PRODUCTS (0.5%)
40,000 Georgia-Pacific Corp. 2,745,000 U.S. GOVERNMENT AGENCY
62,400 Glatfelter (P.H.) Company 1,068,600 SHORT-TERM OBLIGATIONS (9.9%)
-----------
3,813,600 24,610,000 Federal Home Loan Mortage Corp.
----------- Discount Notes, 5.56% through 5.35%,
POLLUTION CONTROL (1.3%) due 1/29/96 through 5/10/96 24,507,947
350,000 WMX Technologies, Inc. 10,456,250
----------- 57,220,000 Federal National Mortgage Association
Discount Notes, 5.55% through 5.14%,
PRINTING & PUBLISHING (3.4%) due 1/24/96 through 6/20/96 56,489,896
275,000 Dun & Bradstreet Corp. 17,806,250
217,600 Reader's Digest Assoc.,Inc., Total U.S. government agency short-term
Class B 10,281,600 obligations (cost $80,997,843) 80,997,843
----------- -----------
28,087,850
----------- U.S. TREASURY BILLS (2.1%)
REAL ESTATE (0.1%)
58,000 Sec Cap Pac Trust 1,145,500 17,035,000 5.63% through 5.20%,
----------- due 2/8/96 through 5/16/96
(cost $16,760,799) 16,760,799
RESTAURANTS (0.1%) ----------
185,000 Pancho's Mexican Buffet, Inc. 531,875 Total investments $810,163,199
----------- (cost $643,707,638) ============
RETAIL (0.6%)
149,000 Supervalu Inc. 4,693,500
----------- * Denotes a non-income producing security.
TELECOMMUNICATIONS (9.9%) Cost also represents cost for federal income tax purposes.
564,300 AT&T Corp. 36,538,425 Portfolio holding percentages represents market value as a
300,000 MCI Communications Corp. 7,837,500 percentage of net assets.
See accompanying notes to financial statements.
</TABLE>
<PAGE> 13
GOVERNMENT BOND FUND
Statement of Investments - December 31, 1995
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL SECURITY VALUE (NOTE 1)
- -------------------------------------------------------------------------------------------------------------------------------
MORTGAGE BACKED SECURITIES (34.1%)
Federal Home Loan Mortgage Corp., REMIC
<S> <C> <C>
$13,000,000 Series 1344-D, 6.00%, due 8/15/07 $12,521,197
20,000,000 Series 1415-N, 6.75%, due 11/15/07 20,282,380
9,454,271 Series 31-E, 7.55%, due 5/15/20 9,775,612
10,000,000 Series 94-E, 8.95%, due 11/15/20 10,223,690
19,117,132 Series 1143-Z, 7.50%, due 10/15/21 19,527,749
3,861,576 Series 190-D, 9.20%, due 10/15/21 4,044,380
Federal National Mortgage Association Debentures, REMIC
6,500,000 Series 68-E, 8.35%, due 10/25/03 6,614,849
9,761,911 Series 94-100-M, 5.50%, due 09/25/09 9,671,213
5,000,000 Series 34-E, 9.85%, due 08/25/14 5,239,745
2,619,508 Series 88-25-B, 9.25%, due 10/25/18 2,766,407
14,000,000 Series 16-D, 9.00%, due 03/25/20 14,853,146
8,000,253 Series 67-Z, 9.00%, due 06/25/20 8,434,499
4,851,469 Series 73-A, 8.00%, due 07/25/21 5,013,212
8,127,628 Series 81-Z, 8.50%, due 04/25/22 8,861,545
17,000,000 Series 203-PJ, 6.50%, due10/25/23 17,180,183
-------------
Total mortgage backed securities 155,009,807
(cost $147,587,504) -------------
U.S. GOVERNMENT AGENCY LONG-TERM OBLIGATIONS (51.5%)
Federal Home Loan Banks
10,000,000 7.75%, due 4/25/96 10,072,210
20,435,000 5.78%, due 2/16/01 20,577,248
12,000,000 6.36%, due 3/21/01 12,390,132
15,800,000 7.44%, due 8/10/01 17,141,404
Federal Home Loan Mortgage Corporation
20,000,000 6.31%, due 2/23/04 19,860,120
8,710,000 7.97%, due 7/07/04 8,957,207
Federal National Mortgage Association
16,000,000 7.05%, due 9/05/00 16,155,824
22,000,000 8.25%, due 10/12/04 23,725,636
Private Export Funding Corporation
34,000,000 6.86%, due 4/30/04 35,203,430
</TABLE>
(Continued)
<PAGE> 14
GOVERNMENT BOND FUND
Statement of Investments - December 31, 1995, Continued
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL SECURITY VALUE (NOTE 1)
- ------------------------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY LONG-TERM OBLIGATIONS (CONTINUED)
<S> <C> <C>
Resolution Funding Corporation, STRIPS
$54,000,000 0.00%, due 4/15/06 $29,685,905
25,000,000 0.00%, due 4/15/08 12,055,725
58,000,000 0.00%, due 7/15/13 19,523,902
40,000,000 0.00%, due 7/15/20 8,425,960
---------------
Total U.S. government agency long-term obligations 233,774,703
(cost $215,815,186) --------------
REPURCHASE AGREEMENTS (13.1%)
59,674,000 Merrill Lynch & Co., Inc.
5.50%, due 01/02/96, Collateralized by
$59,895,000 U.S. Treasury Note, 5.625%, due 10/31/97 -
market value $60,905,728 59,674,000
(cost $59,674,000) -------------
Total investments (cost $423,076,690) $448,458,510
============
</TABLE>
Cost also represents cost for federal income tax purposes.
Portfolio holding percentages represent market value as a percentage of net
assets.
See accompanying notes to financial statements.
<PAGE> 15
MONEY MARKET FUND
Statement of Investments - December 31, 1995
<TABLE>
<CAPTION>
- --------------------------------------------------- ------------------------------------------------------------
VALUE VALUE
PRINCIPAL SECURITY (NOTE 1) PRINCIPAL SECURITY (NOTE 1)
- --------------------------------------------------- ------------------------------------------------------------
CANADIAN GOVERNMENT OBLIGATIONS (8.7%)
British Columbia, Province of National City Credit Corp.
<S> <C> <C> <C> <C> <C>
$5,000,000 5.69%, due 01/04/96 $4,997,629 $8,210,000 5.55%, due 02/14/96 $8,154,309
2,000,000 5.60%, due 02/05/96 1,989,111 6,160,000 5.68%, due 02/21/96 6,110,433
5,000,000 5.62%, due 02/12/96 4,967,217 9,590,000 5.50%, due 02/22/96 9,513,813
5,000,000 5.56%, due 02/12/96 4,967,566 ------------
5,000,000 5.60%, due 02/26/96 4,956,445 58,104,893
Canadian Wheat Board -----------
BROKER-DEALERS (10.0%)
3,000,000 5.60%, due 02/07/96 2,982,734 Bear Stearns Companies, Inc.
4,000,000 5.64%, due 02/13/96 3,973,054
6,000,000 5.62%, due 02/13/96 5,959,723 6,000,000 5.74%, due 01/31/96 5,971,300
5,000,000 5.63%, due 02/15/96 4,964,812 6,000,000 5.72%, due 02/02/96 5,969,493
5,000,000 5.63%, due 02/21/96 4,960,121 4,000,000 5.70%, due 02/09/96 3,975,300
Export Development 2,000,000 5.64%, due 02/29/96 1,981,513
9,850,000 5.74%, due 01/03/96 9,846,859 3,000,000 5.65%, due 03/01/96 2,971,750
9,815,000 5.72%, due 01/05/96 9,808,762 Dean Witter Discover & Co.
---------- 7,000,000 5.68%, due 01/18/96 6,981,224
Total Canadian 5,000,000 5.72%, due 01/24/96 4,981,728
obligations (cost $64,374,033) 64,374,033 4,000,000 5.72%, due 01/26/96 3,984,111
----------- 1,820,000 5.70%, due 01/26/96 1,812,796
1,000,000 5.68%, due 01/26/96 996,056
COMMERCIAL PAPER (90.0%) 4,000,000 5.68%, due 01/31/96 3,981,067
AGRICULTURE/FINANCE (2.7%) 3,000,000 5.70%, due 02/01/96 2,985,275
Deere, (John) Capital Merrill Lynch & Co., Inc.
1,000,000 5.65%, due 02/05/96 994,507 10,000,000 5.62%, due 02/23/96 9,917,261
10,000,000 5.62%, due 03/08/96 9,895,406 Smith Barney, Inc.
5,000,000 5.53%, due 04/10/96 4,923,195 5,000,000 5.75%, due 01/10/96 4,992,812
4,000,000 5.54%, due 04/19/96 3,932,905 7,000,000 5.73%, due 01/12/96 6,987,744
---------- 5,000,000 5.70%, due 01/24/96 4,981,792
19,746,013 ------------
----------- 73,471,222
AUTO/FINANCE (2.0%) -----------
CHEMICALS (4.2%)
Ford Motor Credit Co. Great Lakes Chemical Corp.
966,000 5.70%, due 01/04/96 965,541 4,000,000 5.75%, due 01/30/96 3,981,472
2,000,000 5.70%, due 01/19/96 1,994,300 9,000,000 5.50%, due 02/16/96 8,936,750
12,000,000 5.64%, due 02/23/96 11,900,360
----------- Monsanto Co.
14,860,201
----------- 9,000,000 5.75%, due 01/22/96 8,969,813
BANKS (7.9%) 9,000,000 5.72%, due 01/23/96 8,968,540
Banc One Corp. ------------
30,856,575
7,000,000 5.65%, due 02/07/96 6,959,351 -----------
CoreStates Capital Corp. CONSUMER PRODUCTS (3.5%)
4,005,000 5.67%, due 01/17/96 3,994,907 Gillette Co.
First Union Corp. 4,387,000 5.80%, due 01/05/96 4,384,173
10,000,000 5.71%, due 01/29/96 9,955,589 9,500,000 5.70%, due 01/05/96 9,493,983
13,500,000 5.71%, due 02/09/96 13,416,491 3,000,000 5.68%, due 02/02/96 2,984,853
</TABLE>
(Continued)
<PAGE> 16
MONEY MARKET FUND
Statement of Investments - December 31, 1995, Continued
<TABLE>
<CAPTION>
- --------------------------------------------------- ------------------------------------------------------------
VALUE VALUE
PRINCIPAL SECURITY (NOTE 1) PRINCIPAL SECURITY (NOTE 1)
- --------------------------------------------------- ------------------------------------------------------------
Gillette Co. (continued) DRUGS & COSMETICS (3.0%)
<S> <C> <C> <C> <C> <C>
$9,000,000 5.60%, due 02/16/96 $8,935,600 Abbott Laboratories
----------
25,798,609 $6,000,000 5.70%, due 01/04/96 $5,997,150
---------- 7,000,000 5.63%, due 01/08/96 6,992,337
CONSUMER SALES FINANCE (7.7%) 9,000,000 5.63%, due 01/22/96 8,970,443
American Express Credit Corp. -----------
21,959,930
8,000,000 5.63%, due 02/12/96 7,947,453 FINANCE (0.8%) -----------
Associates Corp. of North America Nestle Capital Corp.
6,000,000 5.62%, due 02/07/96 5,965,344 6,000,000 5.70%, due 01/11/96 5,990,500
Avco Financial Services, Inc. -----------
3,770,000 5.75%, due 01/17/96 3,760,366 FINANCIAL SERVICES/UTILITIES (3.5%)
7,000,000 5.73%, due 01/25/96 6,973,260 National Rural Utilities Cooperative
6,360,000 5.77%, due 01/31/96 6,329,419 10,000,000 5.60%, due 02/06/96 9,944,000
5,000,000 5.66%, due 02/12/96 4,966,983 5,000,000 5.65%, due 02/13/96 4,966,257
Commercial Credit Co. 2,990,000 5.62%, due 02/20/96 2,966,661
9,000,000 5.79%, due 01/23/96 8,968,155 8,000,000 5.65%, due 02/26/96 7,929,689
Norwest Financial, Inc. -----------
25,806,607
9,000,000 5.79%, due 01/18/96 8,975,393 -----------
FOOD & BEVERAGES (8.5%)
3,000,000 5.69%, due 02/28/96 2,972,498
---------- CPC International Inc.
56,858,871
---------- 2,500,000 5.70%, due 01/24/96 2,490,896
CORPORATE CREDIT UNIONS (3.2%) 7,200,000 5.60%, due 03/11/96 7,121,600
U.S. Central Credit Union
Campbell Soup Co.
7,075,000 5.72%, due 01/08/96 7,067,131 9,000,000 5.77%, due 01/03/96 8,997,115
6,000,000 5.77%, due 01/18/96 5,983,652 973,000 5.75%, due 01/10/96 971,601
10,392,000 5.68%, due 01/19/96 10,362,487 1,000,000 5.67%, due 01/10/96 998,583
----------
23,413,270 Heinz "HJ" Company
---------- 5,000,000 5.70%, due 01/16/96 4,988,125
DIVERSIFIED FINANCE (6.4%) 9,000,000 5.70%, due 01/24/96 8,967,225
General Electric Capital Corp. 4,000,000 5.72%, due 01/26/96 3,984,111
5,000,000 5.57%, due 02/21/96 4,960,546 6,000,000 5.75%, due 01/29/96 5,973,167
2,500,000 5.62%, due 02/23/96 2,479,315 Sysco Corp.
5,000,000 5.52%, due 03/18/96 4,940,967 3,268,000 5.72%, due 01/09/96 3,263,846
3,000,000 5.55%, due 04/12/96 2,952,825 10,000,000 5.55%, due 02/09/96 9,939,875
4,000,000 5.57%, due 04/16/96 3,934,398 5,000,000 5.63%, due 02/15/96 4,964,812
2,000,000 5.52%, due 04/24/96 1,965,040 -----------
3,000,000 5.58%, due 05/01/96 2,943,735 62,660,956
-----------
Transamerica Finance Corp.
INSURANCE (6.9%)
American General Corp.
7,306,000 5.76%, due 01/02/96 7,304,831 6,642,000 5.58%, due 01/11/96 6,631,705
5,000,000 5.77%, due 01/10/96 4,992,788 13,145,000 5.55%, due 01/17/96 13,112,576
5,000,000 5.69%, due 01/29/96 4,977,872 Marsh & McLennan Co.
4,815,000 5.71%, due 02/05/96 4,788,270
1,300,000 5.56%, due 02/16/96 1,290,764 400,000 5.95%, due 01/04/96 399,802
----------
47,531,351
----------
</TABLE>
(Continued)
<PAGE> 17
MONEY MARKET FUND
Statement of Investments - December 31, 1995, Continued
<TABLE>
<CAPTION>
- ---------------------------------------------------- ---------------------------------------------------------
VALUE VALUE
PRINCIPAL SECURITY (NOTE 1) PRINCIPAL SECURITY (NOTE 1)
- ---------------------------------------------------- ---------------------------------------------------------
INSURANCE (continued) PHARMACEUTICALS/HEALTHCARE (2.6%)
MetLife Funding Inc. Schering Corp.
<S> <C> <C> <C> <C> <C>
$4,895,000 5.72%, due 01/11/96 $4,887,222 $10,000,000 5.69%, due 01/16/96 $9,976,292
5,933,000 5.57%, due 02/02/96 5,903,625 4,000,000 5.63%, due 02/06/96 3,977,480
Old Republic 5,000,000 5.65%, due 03/27/96 4,932,514
3,000,000 5.63%, due 01/09/96 2,996,247 ------------
1,000,000 5.62%, due 01/09/96 998,751 18,886,286
5,000,000 5.68%, due 02/01/96 4,975,545 ------------
3,000,000 5.63%, due 03/05/96 2,969,973 PREMIUM FINANCE (2.8%)
8,000,000 5.50%, due 04/11/96 7,876,555 A.I. Credit Corp.
----------- 4,294,000 5.55%, due 01/08/96 4,289,366
50,752,001 5.67%, due 01/12/96 16,526,318
----------- ------------
LEASE FINANCING (3.3%) 20,815,684
PHH Corp. ------------
5,000,000 5.74%, due 01/19/96 4,985,650 RAILROADS (3.4%)
5,000,000 5.67%, due 01/25/96 4,981,100 Norfolk & Southern
6,840,000 5.73%, due 01/30/96 6,808,428 8,000,000 5.65%, due 01/16/96 7,981,167
5,000,000 5.55%, due 02/15/96 4,965,312 7,150,000 5.70%, due 01/25/96 7,122,830
3,478,000 5.55%, due 02/23/96 3,449,582 10,000,000 5.65%, due 01/26/96 9,960,762
----------- ------------
25,190,072 25,064,759
----------- ------------
MANUFACTURING (2.5%) Total commercial paper 663,895,784
Illinois Tool Works ------------
8,000,000 5.72%, due 01/04/96 7,996,187 (cost $663,895,784)
10,640,000 5.72%, due 01/09/96 10,626,475
-----------
18,622,662 CORPORATE NOTE (0.7%)
----------- Morgan Guaranty Trust
OFFICE EQUIPMENT (0.7%) 5,000,000 6.07%, due 10/03/96 5,000,000
5,000,000 Pitney Bowes Credit Corp. 4,965,778 ---------------
------------ (cost $5,000,000)
5.60%, due 02/14/96
OIL & GAS (0.8%) U.S. GOVERNMENT AGENCY
Koch Industries, Inc. SHORT-TERM OBLIGATIONS
5,985,000 5.63%, due 01/18/96 5,969,088 FNMA Medium-term
------------ 5,000,000 5.71%, due 06/10/96 4,999,273
--------------
(cost $4,999,273)
OIL & GAS: EQUIPMENT (2.0%)
Chevron Transport Corp.
Total investments $738,269,090
5,636,000 5.72% due 01/08/96 5,629,732 =============
9,000,000 5.73% due 01/30/96 8,958,457 (cost $738,269,090)
------------
14,588,189
-----------
PAPER AND FOREST PRODUCTS (1.6%)
Sonoco Products Co.
8,000,000 5.70%, due 01/10/96 7,988,600
4,000,000 5.70%, due 01/11/96 3,993,667
------------ Cost also represents cost for federal income tax
11,982,267 purposes.
------------ Portfolio holding percentages represent market
value as a percentage of net assets.
See accompanying notes to financial statements.
</TABLE>
<PAGE> 18
NATIONWIDE SEPARATE ACCOUNT TRUST
Statements of Assets and Liabilities
December 31, 1995
<TABLE>
<CAPTION>
Capital
Small Company Appreciation Total Return
Assets Fund Fund Fund
------ ------------- ------------ -------------
<S> <C> <C> <C>
Investments in securities, at value
(cost $16,750,963, $67,321,284, and $18,259,754 82,349,782 810,163,199
$643,707,638, respectively)
Cash - 2,702 -
Accrued interest and dividends receivable 8,407 142,109 1,605,501
Receivable for investment securities sold 140,360 225 3,571,881
Receivable from advisor (note 2) 10,495 - -
Net receivable for foreign currency contracts purchased (note 1) 393 - -
Deferred organization expenses (note 2) 8,775 - -
Other assets - - 1,083
------------- ------------ -------------
Total assets 18,428,184 82,494,818 815,341,664
------------- ------------ -------------
Liabilities
-----------
Payable for investment securities purchased 1,230,782 1,218,673 -
Payable for fund shares redeemed 2,231 - 16,102
Accrued management fees (note 2) 15,262 35,516 341,691
Other accrued expenses 24,437 3,618 19,399
------------- ------------ -------------
Total liabilities 1,272,712 1,257,807 377,192
------------- ------------ -------------
NET ASSETS 17,155,472 81,237,011 814,964,472
------------- ------------ -------------
Represented by:
Capital 15,746,917 66,188,734 648,374,493
Net unrealized appreciation on investments and trans-
lation of assets and liabilities in foreign currencies 1,509,184 15,028,498 166,455,561
Undistributed net realized loss from investments and
foreign currency transactions (103,052) - -
Distributions in excess of net realized gains from investments - (1,329) (227,335)
Undistributed net investment income 2,423 21,108 361,753
------------- ------------ -------------
NET ASSETS $17,155,472 81,237,011 814,964,472
------------- ------------ -------------
Shares outstanding (unlimited number of 1,502,078 6,028,094 70,638,277
shares authorized) ------------- ------------ -------------
Net asset, offering and redemption price per share $11.42 $13.48 $11.54
----- ----- ------
</TABLE>
See accompanying notes to financial statements.
<PAGE> 19
NATIONWIDE SEPARATE ACCOUNT TRUST
Statements of Assets and Liabilities
December 31, 1995
<TABLE>
<CAPTION>
Government Bond Money Market
Assets Fund Fund
------ ---------------- -------------
<S> <C> <C>
Investments in securities, at value
(cost $363,402,690 and $738,269,090, $388,784,510 738,269,090
respectively)
Repurchase agreement (cost $59,674,000) 59,674,000 -
Accrued interest and dividends receivable 4,261,011 92,529
Receivable for investment securities sold 25,646,041 -
Other assets 474 386
---------------- -------------
Total assets 478,366,036 738,362,005
---------------- -------------
Liabilities
-----------
Payable for investment securities purchased 24,132,396 -
Payable for fund shares redeemed 9,244 577,547
Accrued management fees (note 2) 186,523 331,100
Distribution payable - 29,427
Other accrued expenses 21,816 16,125
---------------- -------------
Total liabilities 24,349,979 954,199
---------------- -------------
NET ASSETS 454,016,057 737,407,806
---------------- -------------
Represented by:
Capital 437,362,491 737,411,256
Net unrealized appreciation on investments 25,381,820 -
Undistributed net realized loss from investments (8,772,912) (5,864)
Undistributed net investment income 44,658 2,414
---------------- -------------
NET ASSETS $454,016,057 737,407,806
---------------- -------------
Shares outstanding (unlimited number of 39,968,359 737,411,142
shares authorized) ---------------- -------------
Net asset, offering and redemption price per share $11.36 $1.00
----- ----
</TABLE>
See accompanying notes to financial statements.
<PAGE> 20
NATIONWIDE SEPARATE ACCOUNT TRUST
Statements of Operations
<TABLE>
<CAPTION>
Period from
October 23, 1995
(commencement of
operations) through
December 31, 1995
(note 1) Year Ended December 31, 1995
------------------ -----------------------------
Capital
Small Company Appreciation Total Return
Fund Fund Fund
------------------ ---------- ------------
<S> <C> <C> <C>
INVESTMENT INCOME:
Income:
Interest $45,862 341,053 5,818,208
Dividends 9,528 1,243,728 17,023,101
Less foreign tax withheld (235) - -
------------------ ---------- ------------
Total income 55,155 1,584,781 22,841,309
------------------ ---------- ------------
Expenses (note 2):
Investment management fees 21,498 326,158 3,406,571
Custodian fees 10,004 13,210 22,300
Professional services 104 3,102 35,088
Trustees fees and expenses 2 130 1,377
Share registration fees 1,724 - -
Other 4,035 9,245 27,588
------------------ ---------- ------------
Total expenses 37,367 351,845 3,492,924
Less waived fees and reimbursed expenses (10,495) - -
------------------ ---------- ------------
Net expenses 26,872 351,845 3,492,924
------------------ ---------- ------------
Net investment income 28,283 1,232,936 19,348,385
------------------ ---------- ------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS AND FOREIGN CURRENCY (note 4):
Net realized gain (loss) on investments
and foreign currency transactions (103,052) 2,523,674 42,991,075
--------------- ---------- ------------
Net change in unrealized appreciation
on investments and translation
of assets and liabilities in foreign currencies 1,509,184 13,171,765 108,350,477
------------------ ---------- ------------
Net realized and unrealized gain
on investments and
foreign currency 1,406,132 15,695,439 151,341,552
------------------ ---------- ------------
Net increase in net assets
from operations $1,434,415 16,928,375 170,689,937
------------------ ---------- ------------
</TABLE>
See accompanying notes to financial statements.
<PAGE> 21
NATIONWIDE SEPARATE ACCOUNT TRUST
Statements of Operations
Year Ended December 31, 1995
<TABLE>
<CAPTION>
Government Bond Money
Fund Market
-------------- -------------
<S> <C> <C>
INVESTMENT INCOME:
Income:
Interest $29,097,304 43,049,609
-------------- -------------
Expenses (note 2):
Investment management fees 2,088,523 3,574,486
Custodian fees 16,500 37,156
Professional services 19,158 38,148
Trustees fees and expenses 815 1,403
Share registration fees - 9,977
Other 21,963 26,551
-------------- -------------
Total expenses 2,146,959 3,687,721
-------------- -------------
Net investment income 26,950,345 39,361,888
-------------- -------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS (note 4):
Net realized gain (loss) on investments 813,537 (5,864)
Net change in unrealized appreciation
on investments 43,487,386 -
-------------- -------------
Net realized and unrealized gain
(loss) on investments 44,300,923 (5,864)
-------------- -------------
Net increase in net assets
from operations $71,251,268 39,356,024
-------------- -------------
</TABLE>
See accompanying notes to financial statements.
<PAGE> 22
NATIONWIDE SEPARATE ACCOUNT TRUST
Small Company Fund
Statement of Changes in Net Assets
<TABLE>
<CAPTION>
Period from October 23, 1995
(commencement of opererations)
through
December 31, 1995
-----------------
<S> <C>
Increase (decrease) in net assets:
Operations:
Net investment income $ 28,283
Net realized loss on investments and foreign currency transactions (103,052)
Net change in unrealized appreciation on investments
and translation of assets and liabilities in foreign currencies 1,509,184
-----------
Net increase in net assets resulting
from operations 1,434,415
-----------
Dividends to shareholders from net
investment income (25,860)
-----------
Capital share transactions:
Net proceeds from sale of shares 18,935,596
Net asset value of shares issued to shareholders from
reinvestment of dividends and distributions 25,860
Cost of shares redeemed (3,214,539)
-----------
Net increase in net assets derived
from capital share transactions 15,746,917
-----------
NET INCREASE IN NET ASSETS 17,155,472
NET ASSETS - BEGINNING OF PERIOD (note 1) --
-----------
NET ASSETS - END OF PERIOD $17,155,472
-----------
Undistributed net realized loss on investments and foreign
currency transactions included in net assets at end of period ($103,052)
-----------
Undistributed net investment income included
in net assets at end of period $2,423
-----------
Shares sold 1,796,171
Shares issued to shareholders from reinvestment of
dividends and distributions 2,265
Shares redeemed (296,358)
-----------
Net increase in number of shares 1,502,078
-----------
</TABLE>
See accompanying notes to financial statements.
<PAGE> 23
NATIONWIDE SEPARATE ACCOUNT TRUST
Capital Appreciation Fund
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
Year Ended Year Ended
December 31, 1995 December 31, 1994
----------------- -----------------
<S> <C> <C>
Increase (decrease) in net assets:
Operations:
Net investment income $ 1,232,936 837,482
Net realized gain on investments 2,523,674 346,937
Net change in unrealized appreciation or 13,171,765 (1,498,651)
depreciation on investments ------------ -----------
Net increase (decrease) in net assets
resulting from operations 16,928,375 (314,232)
------------ -----------
Dividends to shareholders from:
Net investment income (1,213,046) (849,394)
Net realized gain on investments (2,302,021) --
In excess of net realized gains on investments (1,329) --
------------ -----------
Net decrease in net assets from distributions
to shareholders (3,516,396) (849,394)
------------ -----------
Capital share transactions:
Net proceeds from sale of shares 26,980,755 30,484,829
Net asset value of shares issued to shareholders
from reinvestment of dividends and distributions 3,863,870 501,921
Cost of shares redeemed (23,461,693) (8,306,890)
------------ -----------
Net increase in net assets derived
from capital share transactions 7,382,932 22,679,860
------------ -----------
NET INCREASE IN NET ASSETS 20,794,911 21,516,234
NET ASSETS - BEGINNING OF PERIOD 60,442,100 38,925,866
------------ -----------
NET ASSETS - END OF PERIOD $ 81,237,011 60,442,100
------------ -----------
Undistributed net realized gain (loss) on investments
included in net assets at end of period $ -- (221,653)
------------ -----------
Distributions in excess of net realized gains on investments
included in net assets at end of period $ (1,329) --
------------ -----------
Undistributed net investment income included
in net assets at end of period $ 21,108 1,218
------------ -----------
Shares sold 2,172,400 2,762,464
Shares issued to shareholders from reinvestment of
dividends and distributions 299,746 46,200
Shares redeemed (1,977,044) (752,522)
------------ -----------
Net increase in number of shares 495,102 2,056,142
------------ -----------
</TABLE>
See accompanying notes to financial statements.
<PAGE> 24
NATIONWIDE SEPARATE ACCOUNT TRUST
Total Return Fund
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
Year Ended Year Ended
December 31, 1995 December 31, 1994
----------------- -----------------
<S> <C> <C>
Increase (decrease) in net assets:
Operations:
Net investment income $ 19,348,385 14,106,978
Net realized gain on investments 42,991,075 12,868,879
Net change in unrealized appreciation or depreciation 108,350,477 (22,354,876)
on investments ------------ -----------
Net increase in net assets resulting 170,689,937 4,620,981
from operations ------------ -----------
Dividends to shareholders from:
Net investment income (19,011,213) (14,258,556)
Net realized gain on investments (42,991,075) (12,868,879)
In excess of net realized gain on investments (227,335) --
------------ -----------
Net decrease in net assets from
distributions to shareholders (62,229,623) (27,127,435)
------------ -----------
Capital share transactions:
Net proceeds from sale of shares 145,723,309 118,067,999
Net asset value of shares issued to shareholders from
reinvestment of dividends and distributions 79,264,509 10,092,549
Cost of shares redeemed (53,304,608) (27,076,015)
------------ -----------
Net increase in net assets derived
from capital share transactions 171,683,210 101,084,533
------------ -----------
NET INCREASE IN NET ASSETS 280,143,524 78,578,079
NET ASSETS - BEGINNING OF PERIOD 534,820,948 456,242,869
------------ -----------
NET ASSETS - END OF PERIOD $814,964,472 534,820,948
------------ -----------
Undistributed (distribution in excess of) net realized gain
on investments included in net assets at end of period $ (227,335) --
------------ -----------
Undistributed net investment income included
in net assets at end of period $ 361,753 24,581
------------ -----------
Shares sold 13,111,420 11,644,751
Shares issued to shareholders from reinvestment of
dividends and distributions 7,198,362 1,006,173
Shares redeemed (4,821,628) (2,679,189)
------------ -----------
Net increase in number of shares 15,488,154 9,971,735
------------ -----------
</TABLE>
See accompanying notes to financial statements.
<PAGE> 25
NATIONWIDE SEPARATE ACCOUNT TRUST
Government Bond Fund
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
Year Ended Year Ended
December 31, 1995 December 31, 1994
----------------- -----------------
<S> <C> <C>
Increase (decrease) in net assets:
Operations:
Net investment income $ 26,950,345 25,873,023
Net realized gain on investments 813,537 (9,586,449)
Net change in unrealized appreciation or depreciation
on investments 43,487,386 (30,390,066)
------------- -----------
Net increase (decrease) in net assets
resulting from operations 71,251,268 (14,103,492)
------------- -----------
Dividends to shareholders from net investment income (26,924,228) (25,947,244)
------------- -----------
Capital share transactions:
Net proceeds from sale of shares 90,606,931 65,517,795
Net asset value of shares issued to shareholders from
reinvestment of dividends and distributions 33,834,038 19,037,434
Cost of shares redeemed (106,004,873) (86,835,833)
------------- -----------
Net increase (decrease) in net assets derived
from capital share transactions 18,436,096 (2,280,604)
------------- -----------
NET INCREASE (DECREASE) IN NET ASSETS 62,763,136 (42,331,340)
NET ASSETS - BEGINNING OF PERIOD 391,252,921 433,584,261
------------- -----------
NET ASSETS - END OF PERIOD $ 454,016,057 391,252,921
------------- -----------
Undistributed net realized loss on investments
included in net assets at end of period $ (8,772,912) (9,586,449)
------------- -----------
Undistributed net investment income included
in net assets at end of period $ 44,658 18,541
------------- -----------
Shares sold 8,275,783 6,207,952
Shares issued to shareholders from reinvestment of
dividends and distributions 3,126,554 1,808,620
Shares redeemed (9,801,205) (8,140,889)
------------- -----------
Net increase (decrease) in number of shares 1,601,132 (124,317)
------------- -----------
</TABLE>
See accompanying notes to financial statements.
<PAGE> 26
NATIONWIDE SEPARATE ACCOUNT TRUST
Money Market Fund
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
Year Ended Year Ended
December 31, 1995 December 31, 1994
----------------- -----------------
<S> <C> <C>
Increase (decrease) in net assets:
Operations:
Net investment income $ 39,361,888 26,149,226
Net realized gain (loss) on investments (5,864) 1,195
--------------- ----------
Net increase in net assets resulting
from operations 39,356,024 26,150,421
--------------- ----------
Dividends to shareholders from:
Net investment income (39,360,095) (26,148,730)
Net realized gain on investments -- (548)
--------------- ----------
Net decrease in net assets from
distribution to shareholders (39,360,095) (26,149,278)
--------------- ----------
Capital share transactions:
Net proceeds from sale of shares 971,797,511 1,245,852,351
Net asset value of shares issued to shareholders from
reinvestment of dividends and distributions 43,287,489 22,191,860
Cost of shares redeemed (1,105,699,769) (791,816,873)
--------------- ----------
Net increase (decrease) in net assets
derived from capital share transactions (90,614,769) 476,227,338
--------------- ----------
NET INCREASE (DECREASE) IN NET ASSETS (90,618,840) 476,228,481
NET ASSETS - BEGINNING OF PERIOD 828,026,646 351,798,165
--------------- ----------
NET ASSETS - END OF PERIOD $ 737,407,806 828,026,646
--------------- ----------
Undistributed net realized loss on investments
included in net assets at end of period $ (5,864) --
--------------- ----------
Undistributed net investment income included
in net assets at end of period $ 2,414 621
--------------- ----------
Shares sold 971,797,397 1,245,852,351
Shares issued to shareholders from reinvestment of
dividends and distributions 43,287,489 22,191,860
Shares redeemed (1,105,699,769) (791,816,873)
--------------- ----------
Net increase (decrease) in number of shares (90,614,883) 476,227,338
--------------- ----------
</TABLE>
See accompanying notes to financial statements.
<PAGE> 27
NATIONWIDE SEPARATE ACCOUNT TRUST
Small Company Fund
Financial Highlights
Selected data for each share of capital stock
outstanding throughout the period
<TABLE>
<CAPTION>
Period from October 23, 1995
(commencement of operations)
through
December, 31, 1995
------------------
<S> <C>
NET ASSET VALUE -
BEGINNING OF PERIOD (note 1) $10.00
Net investment income 0.02
Net realized gain and unrealized appreciation
on investments and translation
of assets and liabilities in foreign currencies 1.42
------
Total from investment operations 1.44
------
Dividends from net investment income (0.02)
------
Net increase in net asset value 1.42
------
NET ASSET VALUE -
END OF PERIOD $11.42
------
Total Return* 14.38%
Ratio of expenses to average net assets* 1.25%
Ratio of expenses to average net assets** 1.74%
Ratio of net investment income to
average net assets* 1.32%
Ratio of net investment income to
average net assets** .83%
Portfolio turnover 9.03%
Net Assets, end of period (000) $17,155
</TABLE>
*Ratios for partial years are annualized. Total return is not annualized.
**Ratios calculated as if no fees were waived or expenses reimbursed.
See accompanying notes to financial statements.
<PAGE> 28
NATIONWIDE SEPARATE ACCOUNT TRUST
Capital Appreciation Fund
Financial Highlights
Selected data for each share of capital stock
outstanding throughout each period
<TABLE>
<CAPTION>
Period from
April 15, 1992
Years Ended (commencement
December 31, operations) through
1995 1994 1993 December 31, 1992
---- ---- ---- -------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE -
BEGINNING OF PERIOD $10.92 11.20 10.46 10.00
Net investment income 0.23 0.18 0.26 0.10
Net realized gain (loss) and unrealized
appreciation (depreciation) on
investments 2.96 (0.28) 0.74 0.48
------ ----- ----- -----
Total from investment operations 3.19 (0.10) 1.00 0.58
------ ----- ----- -----
Dividends from net investment income (0.23) (0.18) (0.26) (0.10)
Distributions from net realized gain
from investment transactions (0.40) - - (0.02)
------ ----- ----- -----
Total distributions (0.63) (0.18) (0.26) (0.12)
------ ----- ----- -----
Net increase (decrease) in net asset value 2.56 (0.28) 0.74 0.46
------ ----- ----- -----
NET ASSET VALUE -
END OF PERIOD $13.48 10.92 11.20 10.46
------ ----- ----- -----
Total Return* 29.35% (0.90)% 9.61% 10.92%
Ratio of expenses to average net assets* .54% .56% .59% .69%
Ratio of net investment income to
average net assets* 1.89% 1.76% 2.82% 1.95%
Portfolio turnover 20.28% 11.21% 16.87% 5.01%
Net Assets, end of period (000) $81,237 60,442 38,926 18,800
</TABLE>
*Ratios for partial years are annualized. Total return is not annualized.
See accompanying notes to financial statements.
<PAGE> 29
NATIONWIDE SEPARATE ACCOUNT TRUST
Total Return Fund
Financial Highlights
Selected data for each share of capital stock
outstanding throughout each period
<TABLE>
<CAPTION>
Years Ended December 31,
------------------------
1995 1994 1993 1992 1991
---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE -
BEGINNING OF PERIOD $ 9.70 10.10 9.46 9.07 6.74
Net investment income 0.31 0.21 0.23 0.25 0.22
Net realized gain (loss) and unrealized
appreciation (depreciation) on
investments 2.49 (0.10) 0.79 0.48 2.34
-------- ----- ------ ----- -----
Total from investment operations 2.80 0.11 1.02 0.73 2.56
-------- ----- ------ ----- -----
Dividends from net investment income (0.31) (0.28) (0.24) (0.25) (0.23)
Distributions from net realized gain
from investment transactions (0.65) (0.23) (0.14) (0.09) -
-------- ----- ------ ----- -----
Total distributions (0.96) (0.51) (0.38) (0.34) (0.23)
-------- ----- ------ ----- -----
Net increase (decrease) in net asset value 1.84 (0.40) 0.64 0.39 2.33
-------- ----- ------ ----- -----
NET ASSET VALUE -
END OF PERIOD $ 11.54 9.70 10.10 9.46 9.07
-------- ----- ------ ----- -----
Total Return 29.09% 1.07% 10.92% 8.18% 38.49%
Ratio of expenses to average net assets .51% .52% .53% .53% .53%
Ratio of net investment income to
average net assets 2.84% 2.76% 2.51% 2.69% 2.74%
Portfolio turnover 16.12% 12.06% 9.79% 12.48% 14.50%
Net Assets, end of period (000) $814,964 534,821 456,243 334,917 250,701
</TABLE>
See accompanying notes to financial statements.
<PAGE> 30
NATIONWIDE SEPARATE ACCOUNT TRUST
Government Bond Fund
Financial Highlights
Selected data for each share of capital stock
outstanding throughout each period
<TABLE>
<CAPTION>
Years Ended December 31,
------------------------
1995 1994 1993 1992 1991
---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE -
BEGINNING OF PERIOD $ 10.20 11.26 10.92 11.24 10.40
Net investment income 0.71 0.69 0.71 0.98 0.86
Net realized gain (loss) and unrealized
appreciation (depreciation) on
investments 1.16 (1.06) 0.32 (0.14) 0.82
-------- ----- ----- ----- -----
Total from investment operations 1.87 (0.37) 1.03 0.84 1.68
-------- ----- ----- ----- -----
Dividends from net investment income (0.71) (0.69) (0.66) (0.93) (0.84)
Distributions from net realized gain
from investment transactions - - (0.03) (0.23) -
-------- ----- ----- ----- -----
Total distributions (0.71) (0.69) (0.69) (1.16) (0.84)
-------- ----- ----- ----- -----
Net increase (decrease) in net asset value 1.16 (1.06) 0.34 (0.32) 0.84
-------- ----- ----- ----- -----
NET ASSET VALUE -
END OF PERIOD $ 11.36 10.20 11.26 10.92 11.24
-------- ----- ----- ----- -----
Total Return 18.74% (3.23)% 9.52% 7.87% 16.70%
Ratio of expenses to average net assets .51% .51% .53% .53% .55%
Ratio of net investment income to
average net assets 6.45% 6.46% 5.91% 8.75% 8.07%
Portfolio turnover 97.05% 111.40% 175.37% 73.75% 77.70%
Net Assets, end of period (000) $454,016 391,253 433,584 301,841 198,769
</TABLE>
See accompanying notes to financial statements.
<PAGE> 31
NATIONWIDE SEPARATE ACCOUNT TRUST
Money Market Fund
Financial Highlights
Selected data for each share of capital stock
outstanding throughout each period
<TABLE>
<CAPTION>
Years Ended December 31,
------------------------
1995 1994 1993 1992 1991
---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE -
BEGINNING OF PERIOD $ 1.00 1.00 1.00 1.00 1.00
Net investment income 0.06 0.04 0.03 0.03 0.06
Dividends from net investment income (0.06) (0.04) (0.03) (0.03) (0.06)
-------- ----- ----- ----- -----
Net increase (decrease) in net asset value - - - - -
-------- ----- ----- ----- -----
NET ASSET VALUE -
END OF PERIOD $ 1.00 1.00 1.00 1.00 1.00
-------- ----- ----- ----- -----
Total Return 5.66% 3.88% 2.76% 3.40% 5.84%
Ratio of expenses to average net assets .52% .54% .53% .53% .54%
Ratio of net investment income to
average net assets 5.51% 4.00% 2.72% 3.36% 5.65%
Net Assets, end of period (000) $737,408 828,027 351,798 330,011 363,502
</TABLE>
See accompanying notes to financial statements.
<PAGE> 32
NATIONWIDE SEPARATE ACCOUNT TRUST
Notes to Financial Statements
December 31, 1995
1. Summary of Significant Accounting Policies
------------------------------------------
Nationwide Separate Account Trust (Trust) is a diversified, open-end
investment company registered under the Investment Company Act of 1940,
as amended. The Trust offers shares only to life insurance company
separate accounts to fund the benefits under variable insurance or
annuity policies issued by life insurance companies. The Trust was
organized as a Massachusetts Trust effective June 30, 1981. To date,
only separate accounts of Nationwide Life Insurance Company and
Nationwide Life and Annuity Insurance Company (formerly Financial
Horizons Life Insurance Company), which are affiliated companies, have
purchased shares.
The Trust offers shares in five series: Small Company Fund, Capital
Appreciation Fund, Total Return Fund, Government Bond Fund and Money
Market Fund. The Trust was amended in 1995 to create the Small Company
Fund. On October 23, 1995, the Small Company Fund was capitalized
through the sale of capital stock to Nationwide Life Insurance Company in
the amount of $5,000,000, the Fund became effective and sales of shares
commenced.
Use of Estimates
----------------
The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities
and disclosure of contingent assets and liabilities at the date of the
financial statements and the reported amounts of revenues and expenses
during the reporting period. Actual results could differ from those
estimates. The following summarizes the significant accounting policies:
Security Valuation
------------------
a) Small Company, Capital Appreciation, Total Return and Government Bond
---------------------------------------------------------------------
Securities are valued at the last sales price on the securities
exchange on which such securities are primarily traded. Listed
securities for which no sale was reported on the valuation date are
valued at quoted bid prices. Securities not listed on an exchange or
for which there were no transactions are valued at their most recent
bid price, or where no prices are available, at fair market value
determined by the Board of Trustees. Short-term notes and bank
certificates of deposit are valued at amortized cost, which
approximates market. Investments denominated in foreign currencies
are translated to U.S. dollars at prevailing exchange rates. Forward
currency exchange contracts are also valued at the prevailing
exchange rates.
The value of a repurchase agreement generally equals the purchase
price paid by the Fund (cost) plus the interest accrued to date. The
seller, under the repurchase agreement, is required to maintain the
market value of the underlying collateral at not less than the value
of the repurchase agreement. Securities subject to repurchase
agreements are held by the Federal Reserve/Treasury book-entry
system or by the Fund's custodian.
<PAGE> 33
NATIONWIDE SEPARATE ACCOUNT TRUST
Notes to Financial Statements, Continued
b) Money Market
------------
Securities are valued at amortized cost, which approximates market
value, in accordance with Rule 2a-7 of the Investment Company Act of
1940.
Foreign Currency Transactions (Small Company Fund)
-------------------------------------------------
Fluctuation in the value of investments resulting from changes in
foreign exchange rates are included with net realized and unrealized
gain or loss from investments.
Net realized foreign exchange gains or losses arise from sales of
foreign currencies, currency gains or losses realized on security
transactions and the difference between the amounts of dividends,
interest and foreign withholding taxes recorded on the Fund's books,
and the U.S. dollar equivalent of amounts actually received or paid.
Net unrealized foreign exchange gains or losses arise from changes in
the value of assets and liabilities resulting from changes in
exchange rates.
The Fund enters into forward currency exchange contracts which are
obligations to purchase or sell a foreign currency at a specified
rate on a certain date in the future. A net realized gain or loss
would be incurred if the value of the contract increases or decreases
between the date the contract is opened and the date it is closed.
Forward currency contracts are marked to market daily and this change
in value is reflected in the Statement of Assets and Liabilities as a
net receivable for foreign currency contracts purchased.
At or before the closing of a forward contract, the Small Company
Fund may either sell a portfolio security and make delivery of the
currency, or retain the security and fully or partially offset its
contractual obligation to deliver the currency by purchasing a second
contract. If the Fund retains the portfolio security and engages in
an offsetting transaction, the Fund, at the time of execution of the
offsetting transaction, will incur a gain or loss to the extent that
movement has occurred in forward contract prices.
The precise matching of forward currency contract amounts and the
value of the securities involved generally will not be possible
because the value of such securities, measured in the foreign
currency, will change after the foreign currency contract has been
established. Thus, the Fund might need to purchase or sell foreign
currencies in the spot (cash) market to the extent such foreign
currencies are not covered by forward contracts. The projection of
short-term currency market movements is difficult, and the successful
execution of a short-term hedging strategy is highly uncertain.
Federal Income Taxes
--------------------
The Trust's policy is to comply with the requirements of the Internal
Revenue Code that are applicable to regulated investment companies
and to distribute all its taxable income to its shareholders.
Therefore, no federal income tax provision is required. To the
extent net realized gains are offset through the application of a
capital loss carryover, they will
2 (Continued)
<PAGE> 34
NATIONWIDE SEPARATE ACCOUNT TRUST
Notes to Financial Statements, Continued
Federal Income Taxes (continued)
- -------------------------------
not be distributed to shareholders but will be retained by the Trust. Each
Fund is treated as a separate taxable entity.
As of December 31, 1995, the Government Bond and Money Market Funds had net
capital loss carry forwards in the amounts of $8,772,911 and $5,864,
respectively, The Government Bond Fund carry forward will expire within 7
years and the Money Market Fund carry forward will expire within 8 years.
The Small Company Fund intends to elect for Federal income tax purposes to
treat approximately $101,807 of net capital losses that arose during the period
ended December 31, 1995 as if such losses arose on January 1, 1996. As of
December 31, 1995, the Fund had a net capital loss carryforward in the amount
of $1,245 which will expire within 8 years.
Organization Expenses
- ---------------------
Initial organization expenses of the Small Company Fund were paid by the
advisor and will be reimbursed by the Fund. Such organization costs have been
deferred and will be amortized ratably over a period of sixty months from the
commencement of operations. If any of the initial shares are redeemed before
the end of the amortization period, the proceeds of the redemption will be
reduced by the pro rata share of the unamortized organization costs.
Security Transactions and Investment Income
- -------------------------------------------
Security transactions are recorded on the trade date. Dividend income is
recorded on the ex-dividend date; interest income is recorded on an accrual
basis and includes, where applicable, the pro rata or constant yield
amortization of premium or discount.
Expenses
- --------
Expenses directly attributed to each Fund are charged to that Fund. Expenses
applicable to all funds in the Trust are allocated based on average net assets.
Dividends to Shareholders
- -------------------------
a) Small Company, Capital Appreciation, Total Return and Government Bond
---------------------------------------------------------------------
Dividend income is recorded on the ex-dividend date. Dividends from net
investment income are paid quarterly.
b) Money Market
------------
Dividends from net investment income are declared daily and paid monthly.
3 (Continued)
<PAGE> 35
NATIONWIDE SEPARATE ACCOUNT TRUST
Notes to Financial Statements, Continued
Dividends to Shareholders (continued)
------------------------------------
c) All Funds
---------
Net realized gains, if any, are declared and distributed at
least annually.
Dividends and distributions to shareholders are determined in
accordance with Federal income tax regulations which may differ from
generally accepted accounting principles. These "book/tax"
differences are considered either permanent or temporary in nature.
In accordance with AICPA Statement of Position 93-2, permanent
differences are reclassified within the capital accounts based on
their nature for Federal income tax purposes; temporary differences
do not require reclassification. Dividends and distributions that
exceed net invested income and net realized gains for financial
reporting purposes, but not for tax purposes, are reported as
dividends in excess of net investment income and net realized gains.
To the extent distributions exceed current and accumulated earnings
and profits for Federal income tax purposes, they are reported as
distributions of paid-in capital.
2. Transactions with Affiliates
----------------------------
As investment manager for the Trust, Nationwide Financial Services,
Inc. (NFS), an affiliated company, is allowed an annual management
fee of .5% based on the average daily net assets of the Capital
Appreciation Fund, Total Return Fund, Government Bond Fund and Money
Market Fund; this fee would not be payable in full if the effect of
such payment would increase total expense (excluding taxes other than
payroll taxes and brokerage commissions on portfolio transactions) to
an amount exceeding 1% of average daily net assets for any fiscal
year. Such limitations on total expenses did not effect management
fees during the periods covered by the financial statements.
As investment manager for the Small Company Fund, NFS receives an
annual management fee of 1.00% of average daily net assets. From
such fees pursuant to sub-investment advisory agreements, NFS pays
subadvisory fees to The Dreyfus Corporation, Neuberger and Berman,
L.P., Pictet International Management Limited, Strong Capital
Management, Inc., Van Eck Associates Corporation and Warburg, Pincus
Consellors, Inc. based on average daily net assets of the portion of
the Small Company Fund under their management. During the period
from October 23, 1995 (date of commencement of operations) through
December 31, 1995, NFS paid $11,394 in fees to the sub-investment
advisors and reimbursed the Fund $10,495 in order to hold total Small
Company Fund expenses to 1.25% of average daily net assets.
A subsidiary of NFS (Nationwide Investors Services, Inc.) acts as
Transfer and Dividend Disbursing Agent for the Trust.
3. Bank Loans
----------
The Trust has an unsecured bank line of credit of $25,000,000.
Borrowing under this arrangement bears interest at the Federal Funds
rate plus .50%. No compensating balances are required. There were
no outstanding balances at December 31, 1995.
4 (Continued)
<PAGE> 36
NATIONWIDE SEPARATE ACCOUNT TRUST
Notes to Financial Statements, Continued
4. Investment Transactions
-----------------------
Purchases and sales of securities (excluding short-term securities and
forward currency exchange contracts) and U.S. government obligations
for the period ended December 31, 1995 are summarized as follows:
<TABLE>
<CAPTION>
Long-term securities U.S. government obligations
Purchases Sales Purchases Sales
--------- ----- --------- -----
<S> <C> <C> <C> <C>
Small Company Fund $ 13,665,049 $ 758,224 $ 2,610,519 $ 2,052,256
Cap. Apprec. Fund 22,271,349 12,483,690 - 4,095,808
Total Return Fund 195,685,954 93,538,896 332,396,780 334,603,161
Govt. Bond Fund 21,241,539 7,290,025 368,929,141 429,391,580
Money Market Fund - - 5,358,620 52,365,000
</TABLE>
Realized gains and losses have been computed on the first-in,
first-out basis. Included in net unrealized appreciation at December
31, 1995, based on cost for Federal income tax purposes, excluding
forward currency contracts for the Small Company Fund, are the
following components:
<TABLE>
<CAPTION>
Net
Unrealized Unrealized unrealized
gains losses appreciation
----- ------ ------------
<S> <C> <C> <C>
Small Company Fund $ 1,734,988 $ (238,753) $ 1,496,235
Capital Appreciation Fund 17,157,675 (2,129,177) 15,028,498
Total Return Fund 171,997,809 (5,542,248) 166,455,561
Government Bond Fund 25,698,045 (316,225) 25,381,820
</TABLE>
5
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