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NACO National Association of Counties
[LOGO]
Counties Care for America
NACo
VARIABLE
ACCOUNT
[LOGO]
SEMI-ANNUAL REPORT
TO
PARTICIPANTS AND RETIRED PARTICIPANTS
JUNE 30, 2000
NATIONWIDE LIFE INSURANCE COMPANY
HOME OFFICE: COLUMBUS, OHIO
[NATIONWIDE(R) LOGO]
APO-2278-S (06/00)
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[NATIONWIDE(R) LOGO]
NATIONWIDE LIFE INSURANCE COMPANY
ONE NATIONWIDE PLAZA, COLUMBUS, OHIO 43215-2220
[PHOTO]
PRESIDENT'S MESSAGE
We at Nationwide Life Insurance Company are pleased to bring you
the 2000 semi-annual report of the NACo Variable Account.
During the first half of 2000 fixed income and equity markets
took a hiatus from their recent advances. It appears the Federal
Reserve's interest rate hikers are accomplishing the intended
purpose. Recent economic statistics show some moderation in the
areas of home and vehicles sales because of the higher interest
costs. And, there are other favorable indications that the Fed
may yet "glide" the economy to a soft landing. Inflation remains
low. Sustained increases in worker productivity continue to
dampen pricing pressures of an increasingly tight labor pool.
Corporate profitability growth remains viable. An improving
global economy bodes well for U.S. exporting businesses. While
all this provides a positive backdrop, we expect the markets will
continue jittery and volatile during the second half of the year
as uncertainty over further Fed actions persists. However, we
believe patient investors in financial assets will be amply
rewarded when we move beyond this temporary respite.
Nationwide Life was a forerunner in the variable annuity and
variable life insurance business. We continue to develop new and
innovative investment products to better meet your financial
planning and retirement needs. And, we are equally committed to
providing you, our valued customer, the exceptional level of
customer service you expect and deserve.
/s/ Joseph J. Gasper
Joseph J. Gasper, President
August 16, 2000
2
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#CONTENTS
HOW TO READ THE SEMI-ANNUAL REPORT ....................................... 4
STATEMENT OF ASSETS, LIABILITIES AND CONTRACT OWNERS' EQUITY ............. 5
STATEMENTS OF OPERATIONS ................................................. 8
STATEMENTS OF CHANGES IN CONTRACT OWNERS' EQUITY ......................... 8
NOTES TO FINANCIAL STATEMENTS ............................................ 23
3
<PAGE> 4
HOW TO READ THE SEMI-ANNUAL REPORT
This semi-annual report is a presentation of the variable account as a whole and
only describes the underlying contracts and products of the variable account in
general terms. Please note the variable account may have more than one variable
product available. Such products may have different underlying mutual funds
available than those available in your contract. Therefore, not all funds listed
in this report may be available in your contract. Please refer to your most
recent account statement for specific information about your investment in the
NACo Variable Account. Rules and regulations of the United States Securities and
Exchange Commission and recognized conventions of Generally Accepted Accounting
Principals prescribe the format and content of this report.
We also invite you to call our service center at 1-877-NRSFORU (1-877-677-3678)
if you have questions about your account, or you may access your account using
our voice response unit. And, please visit our web-site at www.nrsforu.com for
additional information about your contract and to learn more about other
products and services offered by Nationwide Financial.
THE ANNUAL REPORT HAS FOUR MAJOR FINANCIAL SECTIONS:
STATEMENT OF ASSETS, LIABILITIES AND CONTRACT OWNER'S EQUITY
This statement begins on page 5 and lists all of the underlying mutual funds of
the variable account, the number of shares owned, the amount paid for the shares
and their market value as of the close of business on June 30, 2000. The mutual
funds are listed in alphabetical order. The market value of the assets changes
as the underlying mutual funds change in value. As contract owners make exchange
transactions between the funds, the number of shares increases or decreases
accordingly. When money is deposited or withdrawn by a contract owner, shares
are correspondingly purchased or redeemed. The total market value of the funds
is equal to the TOTAL INVESTMENTS of the variable account.
ACCOUNTS RECEIVABLE, if applicable, represents an asset of the variable
account for money market fund shares purchased by contract owners and reinvested
dividend shares added to contract owners' accounts, but not yet added to Total
investments. Total investments plus Accounts receivable equal TOTAL ASSETS of
the variable account.
ACCOUNTS PAYABLE, if applicable, is a liability of the variable account for
money market fund shares redeemed by contract owners' but not yet deducted from
Total investments.
Total assets minus Accounts payable equals CONTRACT OWNERS' EQUITY. A summary of
Contract owners' equity by funds series may be found on page 27. This summary
also includes investment return for the reporting period for each fund series.
STATEMENTS OF OPERATIONS AND STATEMENTS OF CHANGES IN CONTRACT OWNERS' EQUITY
These statements begin on page 8 and present the financial activity of each
underlying mutual fund sub-account of the variable account, for the periods
indicated.
The INVESTMENT ACTIVITY section shows income to the variable account for
reinvested dividends and capital gain distributions paid by the underlying
mutual funds. Also shown are the variable account fees which are assessed
through the daily unit value calculation and which represent an expense to the
variable account and its contract owners. This section also shows the realized
gain or loss as mutual fund shares are sold, and the change in unrealized gain
or loss, which represents the changes in market value of the underlying fund
shares.
The EQUITY TRANSACTIONS section illustrates the receipt of purchase payments, as
new contracts are sold or additional payments made to existing contracts. Also
presented are deductions from the variable account when the contract owners
withdraw money.
The sum of the above two sections represents the NET CHANGE IN CONTRACT OWNERS'
EQUITY which when added to the beginning Contract owners' equity equals Contract
owners' equity at the end of the reporting period.
NOTES TO FINANCIAL STATEMENTS, beginning on page 23, provide further disclosures
about the variable account and its underlying contract provisions.
4
<PAGE> 5
NACO VARIABLE ACCOUNT
STATEMENT OF ASSETS, LIABILITIES AND CONTRACT OWNERS' EQUITY
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
<S> <C>
ASSETS:
Investments at market value:
American Century Growth Fund - Investor Class (ACGrI)
5,075,038 shares (cost $115,276,892) ........................................................... $ 174,682,793
American Century Income & Growth Fund - Investor Class (ACIncGro)
554,380 shares (cost $17,538,246) .............................................................. 18,128,218
American Century International Discovery Fund - Investor Class (ACIntlDisc)
2,994,817 shares (cost $51,535,417) ............................................................ 52,079,875
American Century Ultra Fund - Investor Class (ACUltra)
12,083,757 shares (cost $388,506,445) .......................................................... 531,926,969
American Century Value Fund - Investor Class (ACValue)
15,323 shares (cost $84,366) ................................................................... 80,290
The Bond Fund of America(SM), Inc. (BdFdAm)
1,274,361 shares (cost $17,214,617) ............................................................ 16,248,099
Brown Capital Management - Small Company Fund (BrnCapSmCo)
125,912 shares (cost $4,076,013) ............................................................... 3,823,948
Dreyfus Appreciation Fund, Inc. (DryApp)
124,017 shares (cost $5,504,622) ............................................................... 5,821,340
Dreyfus Premier Midcap Stock - Class A (DryPreMCap)
135,394 shares (cost $2,496,398) ............................................................... 2,609,049
The Dreyfus Premier Third Century Fund, Inc. - Class Z (DryPrm3CZ)
6,808,491 shares (cost $72,487,960) ............................................................ 100,765,662
Evergreen Income and Growth Fund - Class Y (EvIncGro)
130,735 shares (cost $2,685,966) ............................................................... 2,759,824
Federated Investment Series Fund, Inc. - Federated Bond Fund - Class F (FedBdFd)
51,618 shares (cost $454,743) .................................................................. 453,209
Federated U.S. Government Securities Fund: 2-5 Years -
Institutional shares (FedUSGvt)
732,747 shares (cost $7,642,967) ............................................................... 7,613,240
Fidelity Advisor Growth Opportunities Fund - Class A (FAGrOppA)
71,797 shares (cost $3,398,893) ................................................................ 3,162,636
Fidelity Advisor High Yield Fund - Class T (FAHiYld)
144,979 shares (cost $1,515,506) ............................................................... 1,515,035
Fidelity Capital & Income Fund (FidCapInc)
264,396 shares (cost $2,438,147) ............................................................... 2,347,839
Fidelity Contrafund (FidContr)
10,475,050 shares (cost $495,750,889) .......................................................... 604,829,407
Fidelity Equity-Income Fund (FidEqInc)
6,563,260 shares (cost $287,567,909) ........................................................... 330,591,404
</TABLE>
(Continued)
5
<PAGE> 6
NACO VARIABLE ACCOUNT
STATEMENT OF ASSETS, LIABILITIES AND CONTRACT OWNERS' EQUITY, CONTINUED
(UNAUDITED)
<TABLE>
<CAPTION>
<S> <C>
Fidelity Magellan(R) Fund (FidMgln)
1,823,598 shares (cost $178,583,497) ........................................................... 245,511,059
Fidelity OTC Portfolio (FidOTC)
3,299,423 shares (cost $186,697,728) ........................................................... 238,713,242
Fidelity Puritan(R) Fund (FidPurtn)
2,171,456 shares (cost $41,086,191) ............................................................ 40,910,235
INVESCO Dynamics Fund, Inc. - Investor Class (InvDynam)
3,132,382 shares (cost $83,856,729) ............................................................ 90,494,505
INVESCO Total Return Fund - Investor Class (InvTotRet)
55,297 shares (cost $1,598,672) ................................................................ 1,499,105
The Investment Company of America(R)(InvCoAm)
3,732,270 shares (cost $99,097,756) ............................................................ 121,709,336
MAS Funds - Fixed Income Portfolio (MASFIP)
414,775 shares (cost $4,728,981) ............................................................... 4,587,409
Massachusetts Investors Growth Stock Fund - Class A (MFSGrStk)
1,105,851 shares (cost $13,944,245) ............................................................ 23,278,167
MFS(R) Growth Opportunities Fund - Class A (MFSGrOpp)
1,214,041 shares (cost $16,102,727) ............................................................ 23,625,231
MFS(R) High Income Fund - Class A (MFSHiInc)
3,402,823 shares (cost $17,134,526) ............................................................ 16,197,440
Morgan Stanley Dean Witter Institutional Fund, Inc. -
Equity Growth Portfolio - Class B (MSIEqGroB)
151,959 shares (cost $3,777,151) ............................................................... 4,017,801
NAAT - The Aggressive Portfolio (NAATAggr)
488,641 shares (cost $5,889,939) ............................................................... 6,611,311
NAAT - The Conservative Portfolio (NAATCons)
137,057 shares (cost $1,460,656) ............................................................... 1,426,763
NAAT - The Moderate Portfolio (NAATMod)
450,678 shares (cost $5,217,865) ............................................................... 5,669,530
NAAT - The Moderately Aggressive Portfolio (NAATModAgg)
556,527 shares (cost $6,611,386) ............................................................... 7,234,854
NAAT - The Moderately Conservative Portfolio (NAATModCon)
199,391 shares (cost $2,263,802) ............................................................... 2,324,904
Nationwide(R) Fund - Class D (NWFund)
5,960,127 shares (cost $171,891,044) ........................................................... 183,750,725
Nationwide(R) Growth Fund - Class D (NWGroFd)
493,458 shares (cost $6,630,951) ............................................................... 8,196,345
Nationwide(R) Money Market Fund - Prime Shares (NWMyMkt)
69,192,748 shares (cost $69,192,748) ........................................................... 69,192,748
Nationwide(R) S&P 500 Index Fund - Institutional Service Class (NWIndxFd)
1,033,243 shares (cost $12,591,569) ............................................................ 13,122,180
Nationwide(R) Separate Account Trust - Income Fund (NSATInc)
39,497 shares (cost $381,256) .................................................................. 382,332
Nationwide(R) Separate Account Trust - Small Company Fund (NSATSmCo)
365,412 shares (cost $7,404,177) ............................................................... 8,696,801
</TABLE>
6
<PAGE> 7
<TABLE>
<CAPTION>
<S> <C>
Neuberger Berman Equity Funds(R)- Guardian Fund (NBGuard)
1,814,444 shares (cost $42,107,044) ............................................................ 34,057,121
Neuberger Berman Equity Trust(R)- Partners Trust (NBPartTr)
18,167 shares (cost $314,074) .................................................................. 324,278
Oppenheimer Global Fund - Class A (OppGlob)
231,229 shares (cost $15,268,345) .............................................................. 15,873,850
Prestige Balanced Fund - Institutional Service Class (PrBalI)
100,344 shares (cost $1,114,513) ............................................................... 1,125,861
Prestige International Fund - Institutional Service Class (PrIntlI)
39,849 shares (cost $471,063) .................................................................. 477,388
Prestige Large Cap Growth Fund - Institutional Service Class (PrLgCapGrI)
289,798 shares (cost $4,135,088) ............................................................... 4,575,915
Prestige Large Cap Value Fund - Institutional Service Class (PrLgCapVlI)
69,880 shares (cost $717,554) .................................................................. 679,929
Prestige Small Cap Fund - Institutional Service Class (PrSmCapI)
96,388 shares (cost $1,193,794) ................................................................ 1,266,540
Putnam International Growth Fund - Class A (PutIntGro)
18,069 shares (cost $540,271) .................................................................. 540,630
Putnam Investors Fund - Class A (PutInvFd)
9,075,776 shares (cost $116,540,114) ........................................................... 169,444,738
Putnam Voyager Fund - Class A (PutVoyFd)
16,075,228 shares (cost $315,802,037) .......................................................... 502,190,136
SEI Index Funds - S&P 500 Index Portfolio - Class E (SEI500lx)
4,434,975 shares (cost $156,379,839) ........................................................... 200,283,456
Seligman Growth Fund, Inc. - Class A (SelGroFd)
2,427,074 shares (cost $16,949,829) ............................................................ 23,178,556
Short-Term Investments Trust - Treasury Portfolio - Institutional Class (AIMTreas)
11,897,775 shares (cost $11,897,775) ........................................................... 11,897,775
T. Rowe Price International Funds, Inc. - International Stock Fund(R)(TRIntStk)
2,386,403 shares (cost $41,637,154) ............................................................ 43,599,591
Templeton Foreign Fund - Class A (TemForFd)
5,012,472 shares (cost $49,130,986) ............................................................ 53,382,831
Warburg Pincus Emerging Growth Fund - Common Shares (WPEmGro)
87,314 shares (cost $4,802,223) ................................................................ 4,523,719
-------------
Total investments ........................................................................... 4,044,013,174
Accounts receivable .................................................................................. 38,003
-------------
Total assets ................................................................................ 4,044,051,177
ACCOUNTS PAYABLE ........................................................................................ 804
-------------
CONTRACT OWNERS' EQUITY (NOTE 4) ........................................................................ $ 4,044,050,373
=============
</TABLE>
See accompanying notes to financial statements.
7
<PAGE> 8
NACO VARIABLE ACCOUNT
STATEMENTS OF CHANGES IN
CONTRACT OWNERS' EQUITY
STATEMENTS OF OPERATIONS
SIX MONTH PERIODS ENDED JUNE 30, 2000 AND 1999
(UNAUDITED)
<TABLE>
<CAPTION>
Total ACGrI
-------------------------------- --------------------------------
2000 1999 2000 1999
-------------- -------------- -------------- --------------
<S> <C> <C> <C> <C>
INVESTMENT ACTIVITY:
Reinvested dividends ................... $ 10,442,043 9,839,618 -- --
Variable account fee (notes 2 and 5) ... (15,067,772) (11,614,492) (679,406) (537,051)
-------------- -------------- -------------- --------------
Net investment activity ............. (4,625,729) (1,774,874) (679,406) (537,051)
Proceeds from mutual fund shares sold .. 632,812,318 261,827,584 5,959,520 4,180,998
Cost of mutual fund shares sold ........ (557,069,398) (210,863,120) (3,942,026) (3,246,594)
-------------- -------------- -------------- --------------
Realized gain (loss) on investments .... 75,742,920 50,964,464 2,017,494 934,404
Change in unrealized gain (loss)
on investments ...................... (119,489,625) 248,079,013 9,035,609 12,969,237
-------------- -------------- -------------- --------------
Net gain (loss) on investments ...... (43,746,705) 299,043,477 11,053,103 13,903,641
-------------- -------------- -------------- --------------
Reinvested capital gains ............... 32,145,907 22,353,723 -- --
-------------- -------------- -------------- --------------
Net increase (decrease) in contract
owners' equity resulting from
operations ..................... (16,226,527) 319,622,326 10,373,697 13,366,590
-------------- -------------- -------------- --------------
EQUITY TRANSACTIONS:
Purchase payments received from
contract owners ..................... 329,813,576 271,070,091 2,767,378 2,804,066
Transfers between funds ................ -- -- (2,616,271) (973,030)
Redemptions ............................ (153,442,468) (126,046,881) (4,930,547) (4,742,374)
Adjustments to maintain reserves ....... (39,802) 109,411 (334) 4,334
-------------- -------------- -------------- --------------
Net equity transactions ........... 176,331,306 145,132,621 (4,779,774) (2,907,004)
NET CHANGE IN CONTRACT OWNERS' EQUITY .... 160,104,779 464,754,947 5,593,923 10,459,586
CONTRACT OWNERS' EQUITY BEGINNING
OF PERIOD .............................. 3,883,945,594 2,784,900,031 169,090,064 130,887,729
-------------- -------------- -------------- --------------
CONTRACT OWNERS' EQUITY END OF PERIOD .... $4,044,050,373 3,249,654,978 174,683,987 141,347,315
============== ============== ============== ==============
</TABLE>
<TABLE>
<CAPTION>
ACIncGro ACIntlDisc
-------------------------------- --------------------------------
2000 1999 2000 1999
-------------- -------------- -------------- --------------
<S> <C> <C> <C> <C>
INVESTMENT ACTIVITY:
Reinvested dividends ................... 75,551 31,398 -- --
Variable account fee (notes 2 and 5) ... (47,120) (12,708) (121,885) (3,257)
-------------- -------------- -------------- --------------
Net investment activity ............. 28,431 18,690 (121,885) (3,257)
Proceeds from mutual fund shares sold .. 402,237 286,267 148,018,037 7,694,690
Cost of mutual fund shares sold ........ (356,821) (276,510) (150,017,420) (7,517,409)
-------------- -------------- -------------- --------------
Realized gain (loss) on investments .... 45,416 9,757 (1,999,383) 177,281
Change in unrealized gain (loss)
on investments ...................... (539,925) 393,336 (494,032) 99,661
-------------- -------------- -------------- --------------
Net gain (loss) on investments ...... (494,509) 403,093 (2,493,415) 276,942
-------------- -------------- -------------- --------------
Reinvested capital gains ............... -- 8,847 212,212 --
-------------- -------------- -------------- --------------
Net increase (decrease) in contract
owners' equity resulting from
operations ..................... (466,078) 430,630 (2,403,088) 273,685
-------------- -------------- -------------- --------------
EQUITY TRANSACTIONS:
Purchase payments received from
contract owners ..................... 4,188,408 1,966,198 10,095,486 286,316
Transfers between funds ................ 4,165,603 4,521,112 32,024,870 2,296,138
Redemptions ............................ (924,902) (210,826) (2,409,389) (10,082)
Adjustments to maintain reserves ....... (58) 908 (245) (226)
-------------- -------------- -------------- --------------
Net equity transactions ........... 7,429,051 6,277,392 39,710,722 2,572,146
NET CHANGE IN CONTRACT OWNERS' EQUITY .... 6,962,973 6,708,022 37,307,634 2,845,831
CONTRACT OWNERS' EQUITY BEGINNING
OF PERIOD .............................. 11,165,267 224,270 14,772,086 689,272
-------------- -------------- -------------- --------------
CONTRACT OWNERS' EQUITY END OF PERIOD .... 18,128,240 6,932,292 52,079,720 3,535,103
============== ============== ============== ==============
</TABLE>
8
<PAGE> 9
NACO VARIABLE ACCOUNT
STATEMENTS OF CHANGES IN
CONTRACT OWNERS' EQUITY, CONTINUED
STATEMENTS OF OPERATIONS, CONTINUED
SIX MONTH PERIODS ENDED JUNE 30, 2000 AND 1999
(UNAUDITED)
<TABLE>
<CAPTION>
ACUltra ACValue
------------------------------ ------------------------------
2000 1999 2000 1999
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
INVESTMENT ACTIVITY:
Reinvested dividends ................... $ -- -- 408 --
Variable account fee (notes 2 and 5) ... (2,086,353) (1,485,429) (55) --
------------- ------------- ------------- -------------
Net investment activity ............. (2,086,353) (1,485,429) 353 --
Proceeds from mutual fund shares sold .. 11,138,232 13,754,375 258,639 --
Cost of mutual fund shares sold ........ (6,650,730) (7,584,000) (258,716) --
------------- ------------- ------------- -------------
Realized gain (loss) on investments .... 4,487,502 6,170,375 (77) --
Change in unrealized gain (loss)
on investments ...................... (25,124,008) 36,929,991 (4,076) --
------------- ------------- ------------- -------------
Net gain (loss) on investments ...... (20,636,506) 43,100,366 (4,153) --
------------- ------------- ------------- -------------
Reinvested capital gains ............... -- -- -- --
------------- ------------- ------------- -------------
Net increase (decrease) in contract
owners' equity resulting from
operations ..................... (22,722,859) 41,614,937 (3,800) --
------------- ------------- ------------- -------------
EQUITY TRANSACTIONS:
Purchase payments received from
contract owners ..................... 43,085,071 37,130,642 2,929 --
Transfers between funds ................ 1,147,776 11,651,322 81,854 --
Redemptions ............................ (17,710,524) (14,138,356) (693) --
Adjustments to maintain reserves ....... (3,361) 6,228 (1) --
------------- ------------- ------------- -------------
Net equity transactions ........... 26,518,962 34,649,836 84,089 --
NET CHANGE IN CONTRACT OWNERS' EQUITY .... 3,796,103 76,265,895 80,289 --
CONTRACT OWNERS' EQUITY BEGINNING
OF PERIOD .............................. 528,131,995 334,432,418 -- --
------------- ------------- ------------- -------------
CONTRACT OWNERS' EQUITY END OF PERIOD .... $ 531,928,098 410,698,313 80,289 --
============= ============= ============= =============
</TABLE>
<TABLE>
<CAPTION>
BdFdAm BrnCapSmCo
------------------------------ ------------------------------
2000 1999 2000 1999
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
INVESTMENT ACTIVITY:
Reinvested dividends ................... 610,871 649,167 -- --
Variable account fee (notes 2 and 5) ... (65,561) (73,745) (6,656) --
------------- ------------- ------------- -------------
Net investment activity ............. 545,310 575,422 (6,656) --
Proceeds from mutual fund shares sold .. 3,284,993 2,375,511 1,279,466 --
Cost of mutual fund shares sold ........ (3,582,570) (2,415,903) (1,228,172) --
------------- ------------- ------------- -------------
Realized gain (loss) on investments .... (297,577) (40,392) 51,294 --
Change in unrealized gain (loss)
on investments ...................... 5,088 (447,439) (300,295) --
------------- ------------- ------------- -------------
Net gain (loss) on investments ...... (292,489) (487,831) (249,001) --
------------- ------------- ------------- -------------
Reinvested capital gains ............... -- -- 192,616 --
------------- ------------- ------------- -------------
Net increase (decrease) in contract
owners' equity resulting from
operations ..................... 252,821 87,591 (63,041) --
------------- ------------- ------------- -------------
EQUITY TRANSACTIONS:
Purchase payments received from
contract owners ..................... 836,047 1,162,546 850,711 --
Transfers between funds ................ (1,650,915) (1,150,730) 2,939,443 --
Redemptions ............................ (517,589) (638,942) (402,333) --
Adjustments to maintain reserves ....... (405) 1,223 (112) --
------------- ------------- ------------- -------------
Net equity transactions ........... (1,332,862) (625,903) 3,387,709 --
NET CHANGE IN CONTRACT OWNERS' EQUITY .... (1,080,041) (538,312) 3,324,668 --
CONTRACT OWNERS' EQUITY BEGINNING
OF PERIOD .............................. 17,349,430 18,447,060 499,272 --
------------- ------------- ------------- -------------
CONTRACT OWNERS' EQUITY END OF PERIOD .... 16,269,389 17,908,748 3,823,940 --
============= ============= ============= =============
</TABLE>
(Continued)
9
<PAGE> 10
NACO VARIABLE ACCOUNT
STATEMENTS OF CHANGES IN
CONTRACT OWNERS' EQUITY, CONTINUED
STATEMENTS OF OPERATIONS, CONTINUED
SIX MONTH PERIODS ENDED JUNE 30, 2000 AND 1999
(UNAUDITED)
<TABLE>
<CAPTION>
DryApp DryPreMCap
---------------------------- ----------------------------
2000 1999 2000 1999
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
INVESTMENT ACTIVITY:
Reinvested dividends ................... $ 651 -- -- --
Variable account fee (notes 2 and 5) ... (15,155) (7,093) (4,231) (602)
------------ ------------ ------------ ------------
Net investment activity ............. (14,504) (7,093) (4,231) (602)
Proceeds from mutual fund shares sold .. 1,064,655 208,930 201,288 433,015
Cost of mutual fund shares sold ........ (1,005,564) (197,960) (180,675) (433,462)
------------ ------------ ------------ ------------
Realized gain (loss) on investments .... 59,091 10,970 20,613 (447)
Change in unrealized gain (loss)
on investments ...................... 77,580 158,198 69,319 23,748
------------ ------------ ------------ ------------
Net gain (loss) on investments ...... 136,671 169,168 89,932 23,301
------------ ------------ ------------ ------------
Reinvested capital gains ............... 45,559 193 -- --
------------ ------------ ------------ ------------
Net increase (decrease) in contract
owners' equity resulting from
operations ..................... 167,726 162,268 85,701 22,699
------------ ------------ ------------ ------------
EQUITY TRANSACTIONS:
Purchase payments received from
contract owners ..................... 1,478,563 1,533,514 428,880 109,291
Transfers between funds ................ (760,190) 2,368,069 1,643,655 215,534
Redemptions ............................ (198,257) (235,831) (34,990) (6,238)
Adjustments to maintain reserves ....... (118) (3) (182) (6)
------------ ------------ ------------ ------------
Net equity transactions ........... 519,998 3,665,749 2,037,363 318,581
NET CHANGE IN CONTRACT OWNERS' EQUITY .... 687,724 3,828,017 2,123,064 341,280
CONTRACT OWNERS' EQUITY BEGINNING
OF PERIOD .............................. 5,133,628 245,984 485,972 38,725
------------ ------------ ------------ ------------
CONTRACT OWNERS' EQUITY END OF PERIOD .... $ 5,821,352 4,074,001 2,609,036 380,005
============ ============ ============ ============
</TABLE>
<TABLE>
<CAPTION>
DryPrm3CZ EvIncGro
---------------------------- ----------------------------
2000 1999 2000 1999
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
INVESTMENT ACTIVITY:
Reinvested dividends ................... -- -- 69,630 79,431
Variable account fee (notes 2 and 5) ... (292,398) (233,603) (11,389) (12,583)
------------ ------------ ------------ ------------
Net investment activity ............. (292,398) (233,603) 58,241 66,848
Proceeds from mutual fund shares sold .. 3,895,071 2,444,260 274,173 420,568
Cost of mutual fund shares sold ........ (2,249,080) (1,583,274) (240,947) (385,753)
------------ ------------ ------------ ------------
Realized gain (loss) on investments .... 1,645,991 860,986 33,226 34,815
Change in unrealized gain (loss)
on investments ...................... 48,503 7,760,639 (208,709) 316,203
------------ ------------ ------------ ------------
Net gain (loss) on investments ...... 1,694,494 8,621,625 (175,483) 351,018
------------ ------------ ------------ ------------
Reinvested capital gains ............... -- -- -- --
------------ ------------ ------------ ------------
Net increase (decrease) in contract
owners' equity resulting from
operations ..................... 1,402,096 8,388,022 (117,242) 417,866
------------ ------------ ------------ ------------
EQUITY TRANSACTIONS:
Purchase payments received from
contract owners ..................... 6,648,413 6,043,847 43,127 48,032
Transfers between funds ................ (3,071,466) (630,245) (150,019) (378,138)
Redemptions ............................ (3,471,304) (3,272,275) (138,015) (62,891)
Adjustments to maintain reserves ....... (742) 6,939 (4) 80
------------ ------------ ------------ ------------
Net equity transactions ........... 104,901 2,148,266 (244,911) (392,917)
NET CHANGE IN CONTRACT OWNERS' EQUITY .... 1,506,997 10,536,288 (362,153) 24,949
CONTRACT OWNERS' EQUITY BEGINNING
OF PERIOD .............................. 99,258,873 72,154,189 3,121,968 3,272,145
------------ ------------ ------------ ------------
CONTRACT OWNERS' EQUITY END OF PERIOD .... 100,765,870 82,690,477 2,759,815 3,297,094
============ ============ ============ ============
</TABLE>
10
<PAGE> 11
NACO VARIABLE ACCOUNT
STATEMENTS OF CHANGES IN
CONTRACT OWNERS' EQUITY, CONTINUED
STATEMENTS OF OPERATIONS, CONTINUED
SIX MONTH PERIODS ENDED JUNE 30, 2000 AND 1999
(UNAUDITED)
<TABLE>
<CAPTION>
FedBdFd FedUSGvt
-------------------------- --------------------------
2000 1999 2000 1999
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
INVESTMENT ACTIVITY:
Reinvested dividends ................... $ 19,602 18,903 232,178 263,398
Variable account fee (notes 2 and 5) ... (1,634) (1,489) (33,021) (46,996)
----------- ----------- ----------- -----------
Net investment activity ............. 17,968 17,414 199,157 216,402
Proceeds from mutual fund shares sold .. 4,172,020 2,130,973 6,532,689 4,782,059
Cost of mutual fund shares sold ........ (4,190,472) (2,140,974) (6,865,142) (4,779,245)
----------- ----------- ----------- -----------
Realized gain (loss) on investments .... (18,452) (10,001) (332,453) 2,814
Change in unrealized gain (loss)
on investments ...................... (325) (19,931) 341,170 (380,681)
----------- ----------- ----------- -----------
Net gain (loss) on investments ...... (18,777) (29,932) 8,717 (377,867)
----------- ----------- ----------- -----------
Reinvested capital gains ............... -- -- -- --
----------- ----------- ----------- -----------
Net increase (decrease) in contract
owners' equity resulting from
operations ..................... (809) (12,518) 207,874 (161,465)
----------- ----------- ----------- -----------
EQUITY TRANSACTIONS:
Purchase payments received from
contract owners ..................... 45,063 132,331 425,129 1,429,103
Transfers between funds ................ (189,887) 246,380 (3,456,181) 442,755
Redemptions ............................ (17,322) (13,444) (610,593) (574,617)
Adjustments to maintain reserves ....... 19 44 (545) 694
----------- ----------- ----------- -----------
Net equity transactions ........... (162,127) 365,311 (3,642,190) 1,297,935
NET CHANGE IN CONTRACT OWNERS' EQUITY .... (162,936) 352,793 (3,434,316) 1,136,470
CONTRACT OWNERS' EQUITY BEGINNING
OF PERIOD .............................. 619,199 272,837 11,047,167 10,635,768
----------- ----------- ----------- -----------
CONTRACT OWNERS' EQUITY END OF PERIOD .... $ 456,263 625,630 7,612,851 11,772,238
=========== =========== =========== ===========
</TABLE>
<TABLE>
<CAPTION>
FAGrOppA FAHiYld
-------------------------- --------------------------
2000 1999 2000 1999
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
INVESTMENT ACTIVITY:
Reinvested dividends ................... -- -- 49,478 19,525
Variable account fee (notes 2 and 5) ... (8,533) (2,876) (3,585) (1,570)
----------- ----------- ----------- -----------
Net investment activity ............. (8,533) (2,876) 45,893 17,955
Proceeds from mutual fund shares sold .. 323,579 156,102 4,442,984 4,944,291
Cost of mutual fund shares sold ........ (364,774) (148,019) (4,530,973) (4,919,686)
----------- ----------- ----------- -----------
Realized gain (loss) on investments .... (41,195) 8,083 (87,989) 24,605
Change in unrealized gain (loss)
on investments ...................... (58,250) 84,740 (3,700) (8,329)
----------- ----------- ----------- -----------
Net gain (loss) on investments ...... (99,445) 92,823 (91,689) 16,276
----------- ----------- ----------- -----------
Reinvested capital gains ............... 4,728 54 -- --
----------- ----------- ----------- -----------
Net increase (decrease) in contract
owners' equity resulting from
operations ..................... (103,250) 90,001 (45,796) 34,231
----------- ----------- ----------- -----------
EQUITY TRANSACTIONS:
Purchase payments received from
contract owners ..................... 927,842 626,526 235,430 101,138
Transfers between funds ................ 47,307 732,751 354,606 450,585
Redemptions ............................ (110,900) (15,248) (82,753) (19,102)
Adjustments to maintain reserves ....... (14) (7) (34) (51)
----------- ----------- ----------- -----------
Net equity transactions ........... 864,235 1,344,022 507,249 532,570
NET CHANGE IN CONTRACT OWNERS' EQUITY .... 760,985 1,434,023 461,453 566,801
CONTRACT OWNERS' EQUITY BEGINNING
OF PERIOD .............................. 2,401,635 87,633 1,053,546 62,514
----------- ----------- ----------- -----------
CONTRACT OWNERS' EQUITY END OF PERIOD .... 3,162,620 1,521,656 1,514,999 629,315
=========== =========== =========== ===========
</TABLE>
(Continued)
11
<PAGE> 12
NACO VARIABLE ACCOUNT
STATEMENTS OF CHANGES IN
CONTRACT OWNERS' EQUITY, CONTINUED
STATEMENTS OF OPERATIONS, CONTINUED
SIX MONTH PERIODS ENDED JUNE 30, 2000 AND 1999
(UNAUDITED)
<TABLE>
<CAPTION>
FidCapInc FidContr
---------------------------- ----------------------------
2000 1999 2000 1999
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
INVESTMENT ACTIVITY:
Reinvested dividends ................... $ 100,012 107,296 -- --
Variable account fee (notes 2 and 5) ... (9,234) (9,851) (2,449,520) (2,011,429)
------------ ------------ ------------ ------------
Net investment activity ............. 90,778 97,445 (2,449,520) (2,011,429)
Proceeds from mutual fund shares sold .. 173,928 213,439 17,669,160 7,440,467
Cost of mutual fund shares sold ........ (133,624) (153,943) (9,228,493) (3,942,766)
------------ ------------ ------------ ------------
Realized gain (loss) on investments .... 40,304 59,496 8,440,667 3,497,701
Change in unrealized gain (loss)
on investments ...................... (149,129) 124,215 (31,651,029) 46,622,489
------------ ------------ ------------ ------------
Net gain (loss) on investments ...... (108,825) 183,711 (23,210,362) 50,120,190
------------ ------------ ------------ ------------
Reinvested capital gains ............... -- 23,505 14,999,087 4,238,225
------------ ------------ ------------ ------------
Net increase (decrease) in contract
owners' equity resulting from
operations ..................... (18,047) 304,661 (10,660,795) 52,346,986
------------ ------------ ------------ ------------
EQUITY TRANSACTIONS:
Purchase payments received from
contract owners ..................... -- (229) 42,095,980 41,398,347
Transfers between funds ................ (108,352) (115,130) (22,318,493) 573,177
Redemptions ............................ (54,619) (61,902) (20,822,929) (17,638,652)
Adjustments to maintain reserves ....... (29) (2,057) (7,991) 9,869
------------ ------------ ------------ ------------
Net equity transactions ........... (163,000) (179,318) (1,053,433) 24,342,741
NET CHANGE IN CONTRACT OWNERS' EQUITY .... (181,047) 125,343 (11,714,228) 76,690,199
CONTRACT OWNERS' EQUITY BEGINNING
OF PERIOD .............................. 2,528,853 2,516,385 616,543,447 456,635,655
------------ ------------ ------------ ------------
CONTRACT OWNERS' EQUITY END OF PERIOD .... $ 2,347,806 2,641,728 604,829,219 533,325,854
============ ============ ============ ============
</TABLE>
<TABLE>
<CAPTION>
FidEqInc FidMgIn
---------------------------- ----------------------------
2000 1999 2000 1999
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
INVESTMENT ACTIVITY:
Reinvested dividends ................... 2,778,408 2,571,869 124,174 354,694
Variable account fee (notes 2 and 5) ... (1,357,434) (1,561,177) (975,811) (796,114)
------------ ------------ ------------ ------------
Net investment activity ............. 1,420,974 1,010,692 (851,637) (441,420)
Proceeds from mutual fund shares sold .. 49,245,524 28,529,915 8,436,963 4,539,146
Cost of mutual fund shares sold ........ (28,766,166) (12,120,569) (4,124,112) (2,403,322)
------------ ------------ ------------ ------------
Realized gain (loss) on investments .... 20,479,358 16,409,346 4,312,851 2,135,824
Change in unrealized gain (loss)
on investments ...................... (42,357,749) 24,994,455 (7,811,166) 11,496,633
------------ ------------ ------------ ------------
Net gain (loss) on investments ...... (21,878,391) 41,403,801 (3,498,315) 13,632,457
------------ ------------ ------------ ------------
Reinvested capital gains ............... 8,494,139 5,331,198 5,020,164 11,088,055
------------ ------------ ------------ ------------
Net increase (decrease) in contract
owners' equity resulting from
operations ..................... (11,963,278) 47,745,691 670,212 24,279,092
------------ ------------ ------------ ------------
EQUITY TRANSACTIONS:
Purchase payments received from
contract owners ..................... 15,673,281 20,260,499 16,261,289 15,217,670
Transfers between funds ................ (48,251,296) (26,540,268) (7,099,713) 5,226,413
Redemptions ............................ (12,570,412) (17,186,637) (8,989,085) (6,897,952)
Adjustments to maintain reserves ....... (7,876) 10,111 (1,954) 5,811
------------ ------------ ------------ ------------
Net equity transactions ........... (45,156,303) (23,456,295) 170,537 13,551,942
NET CHANGE IN CONTRACT OWNERS' EQUITY .... (57,119,581) 24,289,817 840,749 37,831,142
CONTRACT OWNERS' EQUITY BEGINNING
OF PERIOD .............................. 387,711,521 391,476,242 244,670,933 176,040,685
------------ ------------ ------------ ------------
CONTRACT OWNERS' EQUITY END OF PERIOD .... 330,591,940 415,766,059 245,511,682 213,871,827
============ ============ ============ ============
</TABLE>
12
<PAGE> 13
NACO VARIABLE ACCOUNT
STATEMENTS OF CHANGES IN
CONTRACT OWNERS' EQUITY, CONTINUED
STATEMENTS OF OPERATIONS, CONTINUED
SIX MONTH PERIODS ENDED JUNE 30, 2000 AND 1999
(UNAUDITED)
<TABLE>
<CAPTION>
FidOTC FidPurtn
------------------------------ ------------------------------
2000 1999 2000 1999
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
INVESTMENT ACTIVITY:
Reinvested dividends ................... $ -- -- 617,315 776,915
Variable account fee (notes 2 and 5) ... (779,684) (233,358) (176,012) (191,545)
------------- ------------- ------------- -------------
Net investment activity ............. (779,684) (233,358) 441,303 585,370
Proceeds from mutual fund shares sold .. 15,525,169 5,766,658 7,003,704 2,121,455
Cost of mutual fund shares sold ........ (8,895,099) (3,696,747) (6,401,752) (1,621,282)
------------- ------------- ------------- -------------
Realized gain (loss) on investments .... 6,630,070 2,069,911 601,952 500,173
Change in unrealized gain (loss)
on investments ...................... 3,845,771 7,889,062 (1,101,369) 868,512
------------- ------------- ------------- -------------
Net gain (loss) on investments ...... 10,475,841 9,958,973 (499,417) 1,368,685
------------- ------------- ------------- -------------
Reinvested capital gains ............... -- -- -- --
------------- ------------- ------------- -------------
Net increase (decrease) in contract
owners' equity resulting from
operations ..................... 9,696,157 9,725,615 (58,114) 1,954,055
------------- ------------- ------------- -------------
EQUITY TRANSACTIONS:
Purchase payments received from
contract owners ..................... 26,019,903 7,123,396 3,033,796 4,608,888
Transfers between funds ................ 63,995,549 10,389,835 (6,573,461) 123,413
Redemptions ............................ (12,708,675) (2,769,717) (2,255,238) (2,163,031)
Adjustments to maintain reserves ....... (775) 1,845 (836) 871
------------- ------------- ------------- -------------
Net equity transactions ........... 77,306,002 14,745,359 (5,795,739) 2,570,141
NET CHANGE IN CONTRACT OWNERS' EQUITY .... 87,002,159 24,470,975 (5,853,853) 4,524,196
CONTRACT OWNERS' EQUITY BEGINNING
OF PERIOD .............................. 151,710,808 47,287,448 46,764,171 43,829,300
------------- ------------- ------------- -------------
CONTRACT OWNERS' EQUITY END OF PERIOD .... $ 238,712,967 71,758,423 40,910,318 48,353,496
============= ============= ============= =============
</TABLE>
<TABLE>
<CAPTION>
InvDynam InvTotRet
------------------------------ ------------------------------
2000 1999 2000 1999
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
INVESTMENT ACTIVITY:
Reinvested dividends ................... -- -- 18,754 7,979
Variable account fee (notes 2 and 5) ... (179,598) (4,482) (3,770) (1,809)
------------- ------------- ------------- -------------
Net investment activity ............. (179,598) (4,482) 14,984 6,170
Proceeds from mutual fund shares sold .. 13,637,712 5,974,525 524,767 262,748
Cost of mutual fund shares sold ........ (10,062,166) (5,737,903) (614,880) (253,795)
------------- ------------- ------------- -------------
Realized gain (loss) on investments .... 3,575,546 236,622 (90,113) 8,953
Change in unrealized gain (loss)
on investments ...................... 1,004,617 216,978 9,778 31,121
------------- ------------- ------------- -------------
Net gain (loss) on investments ...... 4,580,163 453,600 (80,335) 40,074
------------- ------------- ------------- -------------
Reinvested capital gains ............... -- -- -- --
------------- ------------- ------------- -------------
Net increase (decrease) in contract
owners' equity resulting from
operations ..................... 4,400,565 449,118 (65,351) 46,244
------------- ------------- ------------- -------------
EQUITY TRANSACTIONS:
Purchase payments received from
contract owners ..................... 18,253,768 755,725 472,342 222,950
Transfers between funds ................ 39,617,268 2,539,165 42,355 674,308
Redemptions ............................ (3,719,191) (34,049) (124,759) (8,502)
Adjustments to maintain reserves ....... (2,144) (10) (65) (6)
------------- ------------- ------------- -------------
Net equity transactions ........... 54,149,701 3,260,831 389,873 888,750
NET CHANGE IN CONTRACT OWNERS' EQUITY .... 58,550,266 3,709,949 324,522 934,994
CONTRACT OWNERS' EQUITY BEGINNING
OF PERIOD .............................. 31,944,033 385,760 1,174,574 26,659
------------- ------------- ------------- -------------
CONTRACT OWNERS' EQUITY END OF PERIOD .... 90,494,299 4,095,709 1,499,096 961,653
============= ============= ============= =============
</TABLE>
(Continued)
13
<PAGE> 14
NACO VARIABLE ACCOUNT
STATEMENTS OF CHANGES IN
CONTRACT OWNERS' EQUITY, CONTINUED
STATEMENTS OF OPERATIONS, CONTINUED
SIX MONTH PERIODS ENDED JUNE 30, 2000 AND 1999
(UNAUDITED)
<TABLE>
<CAPTION>
InvCoAm MASFIP
------------------------------ ------------------------------
2000 1999 2000 1999
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
INVESTMENT ACTIVITY:
Reinvested dividends ................... $ 875,973 749,076 71,494 94,368
Variable account fee (notes 2 and 5) ... (487,644) (418,634) (19,312) (25,186)
------------- ------------- ------------- -------------
Net investment activity ............. 388,329 330,442 52,182 69,182
Proceeds from mutual fund shares sold .. 3,389,210 2,348,402 2,145,273 1,087,579
Cost of mutual fund shares sold ........ (2,004,532) (1,358,009) (2,360,352) (1,126,190)
------------- ------------- ------------- -------------
Realized gain (loss) on investments .... 1,384,678 990,393 (215,079) (38,611)
Change in unrealized gain (loss)
on investments ...................... (827,278) 9,152,798 292,737 (133,592)
------------- ------------- ------------- -------------
Net gain (loss) on investments ...... 557,400 10,143,191 77,658 (172,203)
------------- ------------- ------------- -------------
Reinvested capital gains ............... 1,442,512 926,774 -- --
------------- ------------- ------------- -------------
Net increase (decrease) in contract
owners' equity resulting from
operations ..................... 2,388,241 11,400,407 129,840 (103,021)
------------- ------------- ------------- -------------
EQUITY TRANSACTIONS:
Purchase payments received from
contract owners ..................... 7,008,546 7,119,942 325,461 610,373
Transfers between funds ................ (1,921,684) 162,925 (961,960) 92,454
Redemptions ............................ (3,696,544) (4,133,825) (253,321) (327,072)
Adjustments to maintain reserves ....... 191 3,311 (438) 415
------------- ------------- ------------- -------------
Net equity transactions ........... 1,390,509 3,152,353 (890,258) 376,170
NET CHANGE IN CONTRACT OWNERS' EQUITY .... 3,778,750 14,552,760 (760,418) 273,149
CONTRACT OWNERS' EQUITY BEGINNING
OF PERIOD .............................. 117,931,178 94,504,873 5,347,888 6,005,900
------------- ------------- ------------- -------------
CONTRACT OWNERS' EQUITY END OF PERIOD .... $ 121,709,928 109,057,633 4,587,470 6,279,049
============= ============= ============= =============
</TABLE>
<TABLE>
<CAPTION>
MFSGrStk MFSGrOpp
------------------------------ ------------------------------
2000 1999 2000 1999
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
INVESTMENT ACTIVITY:
Reinvested dividends ................... -- -- -- --
Variable account fee (notes 2 and 5) ... (91,664) (71,378) (92,883) (76,048)
------------- ------------- ------------- -------------
Net investment activity ............. (91,664) (71,378) (92,883) (76,048)
Proceeds from mutual fund shares sold .. 1,170,226 774,172 1,086,677 1,281,255
Cost of mutual fund shares sold ........ (664,182) (490,154) (657,037) (862,007)
------------- ------------- ------------- -------------
Realized gain (loss) on investments .... 506,044 284,018 429,640 419,248
Change in unrealized gain (loss)
on investments ...................... 314,087 1,814,817 (34,397) 630,081
------------- ------------- ------------- -------------
Net gain (loss) on investments ...... 820,131 2,098,835 395,243 1,049,329
------------- ------------- ------------- -------------
Reinvested capital gains ............... -- -- 1,000,780 481,649
------------- ------------- ------------- -------------
Net increase (decrease) in contract
owners' equity resulting from
operations ..................... 728,467 2,027,457 1,303,140 1,454,930
------------- ------------- ------------- -------------
EQUITY TRANSACTIONS:
Purchase payments received from
contract owners ..................... 546,209 594,356 111,002 128,341
Transfers between funds ................ (649,213) (337,915) (383,797) (311,345)
Redemptions ............................ (782,183) (644,459) (565,350) (974,833)
Adjustments to maintain reserves ....... 20 516 352 1,165
------------- ------------- ------------- -------------
Net equity transactions ........... (885,167) (387,502) (837,793) (1,156,672)
NET CHANGE IN CONTRACT OWNERS' EQUITY .... (156,700) 1,639,955 465,347 298,258
CONTRACT OWNERS' EQUITY BEGINNING
OF PERIOD .............................. 23,434,894 17,484,415 23,160,046 19,223,547
------------- ------------- ------------- -------------
CONTRACT OWNERS' EQUITY END OF PERIOD .... 23,278,194 19,124,370 23,625,393 19,521,805
============= ============= ============= =============
</TABLE>
14
<PAGE> 15
NACO VARIABLE ACCOUNT
STATEMENTS OF CHANGES IN
CONTRACT OWNERS' EQUITY, CONTINUED
STATEMENTS OF OPERATIONS, CONTINUED
SIX MONTH PERIODS ENDED JUNE 30, 2000 AND 1999
(UNAUDITED)
<TABLE>
<CAPTION>
MFSHiInc MSIEqGroB
---------------------------- ----------------------------
2000 1999 2000 1999
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
INVESTMENT ACTIVITY:
Reinvested dividends ................... $ 793,338 850,513 -- --
Variable account fee (notes 2 and 5) ... (65,355) (73,987) (8,069) (826)
------------ ------------ ------------ ------------
Net investment activity ............. 727,983 776,526 (8,069) (826)
Proceeds from mutual fund shares sold .. 6,208,142 7,706,200 452,178 136,282
Cost of mutual fund shares sold ........ (6,446,217) (8,246,177) (384,942) (126,660)
------------ ------------ ------------ ------------
Realized gain (loss) on investments .... (238,075) (539,977) 67,236 9,622
Change in unrealized gain (loss)
on investments ...................... (519,578) 666,938 92,702 30,280
------------ ------------ ------------ ------------
Net gain (loss) on investments ...... (757,653) 126,961 159,938 39,902
------------ ------------ ------------ ------------
Reinvested capital gains ............... -- -- -- --
------------ ------------ ------------ ------------
Net increase (decrease) in contract
owners' equity resulting from
operations ..................... (29,670) 903,487 151,869 39,076
------------ ------------ ------------ ------------
EQUITY TRANSACTIONS:
Purchase payments received from
contract owners ..................... 860,827 1,193,245 1,107,919 253,892
Transfers between funds ................ (865,762) (2,195,326) 1,275,051 186,374
Redemptions ............................ (728,974) (931,448) (117,592) (9,935)
Adjustments to maintain reserves ....... (1,382) (283) 1 (150)
------------ ------------ ------------ ------------
Net equity transactions ........... (735,291) (1,933,812) 2,265,379 430,181
NET CHANGE IN CONTRACT OWNERS' EQUITY .... (764,961) (1,030,325) 2,417,248 469,257
CONTRACT OWNERS' EQUITY BEGINNING
OF PERIOD .............................. 16,961,997 18,888,749 1,600,549 27,125
------------ ------------ ------------ ------------
CONTRACT OWNERS' EQUITY END OF PERIOD .... $ 16,197,036 17,858,424 4,017,797 496,382
============ ============ ============ ============
</TABLE>
<TABLE>
<CAPTION>
NAATAggr NAATCons
---------------------------- ----------------------------
2000 1999 2000 1999
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
INVESTMENT ACTIVITY:
Reinvested dividends ................... 80,061 1,828 30,040 16,531
Variable account fee (notes 2 and 5) ... (12,393) (6,076) (3,381) (3,348)
------------ ------------ ------------ ------------
Net investment activity ............. 67,668 (4,248) 26,659 13,183
Proceeds from mutual fund shares sold .. 287,854 369,529 570,340 724,426
Cost of mutual fund shares sold ........ (240,367) (364,908) (590,668) (685,707)
------------ ------------ ------------ ------------
Realized gain (loss) on investments .... 47,487 4,621 (20,328) 38,719
Change in unrealized gain (loss)
on investments ...................... (186,519) 164,614 (51,416) (19,365)
------------ ------------ ------------ ------------
Net gain (loss) on investments ...... (139,032) 169,235 (71,744) 19,354
------------ ------------ ------------ ------------
Reinvested capital gains ............... 241,722 102,825 69,535 13,965
------------ ------------ ------------ ------------
Net increase (decrease) in contract
owners' equity resulting from
operations ..................... 170,358 267,812 24,450 46,502
------------ ------------ ------------ ------------
EQUITY TRANSACTIONS:
Purchase payments received from
contract owners ..................... 1,380,697 1,115,725 198,717 369,368
Transfers between funds ................ 576,327 (289,321) (343,611) 409,940
Redemptions ............................ (281,980) (125,968) (66,138) (38,806)
Adjustments to maintain reserves ....... (5) 304 3 104
------------ ------------ ------------ ------------
Net equity transactions ........... 1,675,039 700,740 (211,029) 740,606
NET CHANGE IN CONTRACT OWNERS' EQUITY .... 1,845,397 968,552 (186,579) 787,108
CONTRACT OWNERS' EQUITY BEGINNING
OF PERIOD .............................. 4,765,912 2,501,100 1,613,342 989,837
------------ ------------ ------------ ------------
CONTRACT OWNERS' EQUITY END OF PERIOD .... 6,611,309 3,469,652 1,426,763 1,776,945
============ ============ ============ ============
</TABLE>
(Continued)
15
<PAGE> 16
NACO VARIABLE ACCOUNT
STATEMENTS OF CHANGES IN
CONTRACT OWNERS' EQUITY, CONTINUED
STATEMENTS OF OPERATIONS, CONTINUED
SIX MONTH PERIODS ENDED JUNE 30, 2000 AND 1999
(UNAUDITED)
<TABLE>
<CAPTION>
NAATMod NAATModAgg
---------------------------- ----------------------------
2000 1999 2000 1999
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
INVESTMENT ACTIVITY:
Reinvested dividends ................... $ 76,191 14,846 91,228 11,008
Variable account fee (notes 2 and 5) ... (13,457) (7,612) (15,074) (7,071)
------------ ------------ ------------ ------------
Net investment activity ............. 62,734 7,234 76,154 3,937
Proceeds from mutual fund shares sold .. 249,319 381,104 374,644 302,909
Cost of mutual fund shares sold ........ (219,201) (364,919) (325,789) (285,972)
------------ ------------ ------------ ------------
Realized gain (loss) on investments .... 30,118 16,185 48,855 16,937
Change in unrealized gain (loss)
on investments ...................... (107,435) 109,494 (128,297) 126,752
------------ ------------ ------------ ------------
Net gain (loss) on investments ...... (77,317) 125,679 (79,442) 143,689
------------ ------------ ------------ ------------
Reinvested capital gains ............... 156,889 45,894 194,589 74,776
------------ ------------ ------------ ------------
Net increase (decrease) in contract
owners' equity resulting from
operations ..................... 142,306 178,807 191,301 222,402
------------ ------------ ------------ ------------
EQUITY TRANSACTIONS:
Purchase payments received from
contract owners ..................... 1,170,703 1,073,717 1,511,138 1,003,200
Transfers between funds ................ 74,590 (62,321) 677,906 (54,721)
Redemptions ............................ (174,929) (71,161) (152,640) (70,803)
Adjustments to maintain reserves ....... (44) 74 (15) 228
------------ ------------ ------------ ------------
Net equity transactions ........... 1,070,320 940,309 2,036,389 877,904
NET CHANGE IN CONTRACT OWNERS' EQUITY .... 1,212,626 1,119,116 2,227,690 1,100,306
CONTRACT OWNERS' EQUITY BEGINNING
OF PERIOD .............................. 4,456,909 2,185,401 5,007,185 2,305,950
------------ ------------ ------------ ------------
CONTRACT OWNERS' EQUITY END OF PERIOD .... $ 5,669,535 3,304,517 7,234,875 3,406,256
============ ============ ============ ============
</TABLE>
<TABLE>
<CAPTION>
NAATModCon NWFund
---------------------------- ----------------------------
2000 1999 2000 1999
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
INVESTMENT ACTIVITY:
Reinvested dividends ................... 32,443 11,489 736,106 760,012
Variable account fee (notes 2 and 5) ... (5,651) (3,520) (572,590) (618,773)
------------ ------------ ------------ ------------
Net investment activity ............. 26,792 7,969 163,516 141,239
Proceeds from mutual fund shares sold .. 171,097 639,586 29,074,728 11,154,686
Cost of mutual fund shares sold ........ (166,531) (598,801) (16,914,618) (5,478,320)
------------ ------------ ------------ ------------
Realized gain (loss) on investments .... 4,566 40,785 12,160,110 5,676,366
Change in unrealized gain (loss)
on investments ...................... (44,247) (5,184) (8,103,263) 8,739,767
------------ ------------ ------------ ------------
Net gain (loss) on investments ...... (39,681) 35,601 4,056,847 14,416,133
------------ ------------ ------------ ------------
Reinvested capital gains ............... 71,375 17,005 -- --
------------ ------------ ------------ ------------
Net increase (decrease) in contract
owners' equity resulting from
operations ..................... 58,486 60,575 4,220,363 14,557,372
------------ ------------ ------------ ------------
EQUITY TRANSACTIONS:
Purchase payments received from
contract owners ..................... 415,346 348,424 20,100,137 31,476,927
Transfers between funds ................ 197,450 152,998 (36,047,004) (12,432,465)
Redemptions ............................ (123,990) (106,530) (7,922,111) (10,284,791)
Adjustments to maintain reserves ....... -- 127 (1,659) 13,084
------------ ------------ ------------ ------------
Net equity transactions ........... 488,806 395,019 (23,870,637) 8,772,755
NET CHANGE IN CONTRACT OWNERS' EQUITY .... 547,292 455,594 (19,650,274) 23,330,710
CONTRACT OWNERS' EQUITY BEGINNING
OF PERIOD .............................. 1,777,612 979,753 203,401,338 194,495,092
------------ ------------ ------------ ------------
CONTRACT OWNERS' EQUITY END OF PERIOD .... 2,324,904 1,435,347 183,751,064 217,825,802
============ ============ ============ ============
</TABLE>
16
<PAGE> 17
NACO VARIABLE ACCOUNT
STATEMENTS OF CHANGES IN
CONTRACT OWNERS' EQUITY, CONTINUED
STATEMENTS OF OPERATIONS, CONTINUED
SIX MONTH PERIODS ENDED JUNE 30, 2000 AND 1999
(UNAUDITED)
<TABLE>
<CAPTION>
NWGroFd NWMyMkt
---------------------------- ----------------------------
2000 1999 2000 1999
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
INVESTMENT ACTIVITY:
Reinvested dividends ................... $ -- -- 2,086,192 1,424,900
Variable account fee (notes 2 and 5) ... (32,414) (34,899) (216,294) (182,780)
------------ ------------ ------------ ------------
Net investment activity ............. (32,414) (34,899) 1,869,898 1,242,120
Proceeds from mutual fund shares sold .. 595,246 578,924 121,219,663 40,707,377
Cost of mutual fund shares sold ........ (390,136) (331,332) (121,219,663) (40,707,377)
------------ ------------ ------------ ------------
Realized gain (loss) on investments .... 205,110 247,592 -- --
Change in unrealized gain (loss)
on investments ...................... (640,049) 594,310 -- --
------------ ------------ ------------ ------------
Net gain (loss) on investments ...... (434,939) 841,902 -- --
------------ ------------ ------------ ------------
Reinvested capital gains ............... -- -- -- --
------------ ------------ ------------ ------------
Net increase (decrease) in contract
owners' equity resulting from
operations ..................... (467,353) 807,003 1,869,898 1,242,120
------------ ------------ ------------ ------------
EQUITY TRANSACTIONS:
Purchase payments received from
contract owners ..................... 144,208 159,821 5,099,110 3,640,004
Transfers between funds ................ (455,873) (67,346) (23,257,078) 6,714,129
Redemptions ............................ (161,100) (558,638) (8,871,684) (4,628,029)
Adjustments to maintain reserves ....... (12) 242 (3,823) 17,989
------------ ------------ ------------ ------------
Net equity transactions ........... (472,777) (465,921) (27,033,475) 5,744,093
NET CHANGE IN CONTRACT OWNERS' EQUITY .... (940,130) 341,082 (25,163,577) 6,986,213
CONTRACT OWNERS' EQUITY BEGINNING
OF PERIOD .............................. 9,136,483 8,603,832 94,355,429 61,394,874
------------ ------------ ------------ ------------
CONTRACT OWNERS' EQUITY END OF PERIOD .... $ 8,196,353 8,944,914 69,191,852 68,381,087
============ ============ ============ ============
</TABLE>
<TABLE>
<CAPTION>
NWIndxFd NSATInc
---------------------------- ----------------------------
2000 1999 2000 1999
------------ ------------ ------------ ------------
<S> <C> <C> <C>
INVESTMENT ACTIVITY:
Reinvested dividends ................... 38,744 14,841 5,599 --
Variable account fee (notes 2 and 5) ... (33,475) (8,133) (448) --
------------ ------------ ------------ ------------
Net investment activity ............. 5,269 6,708 5,151 --
Proceeds from mutual fund shares sold .. 1,572,162 1,516,556 238,035 --
Cost of mutual fund shares sold ........ (1,450,025) (1,420,076) (238,443) --
------------ ------------ ------------ ------------
Realized gain (loss) on investments .... 122,137 96,480 (408) --
Change in unrealized gain (loss)
on investments ...................... (133,991) 222,681 2,311 --
------------ ------------ ------------ ------------
Net gain (loss) on investments ...... (11,854) 319,161 1,903 --
------------ ------------ ------------ ------------
Reinvested capital gains ............... -- -- -- --
------------ ------------ ------------ ------------
Net increase (decrease) in contract
owners' equity resulting from
operations ..................... (6,585) 325,869 7,054 --
------------ ------------ ------------ ------------
EQUITY TRANSACTIONS:
Purchase payments received from
contract owners ..................... 3,838,111 1,956,337 27,410 --
Transfers between funds ................ 1,800,257 2,277,778 308,444 --
Redemptions ............................ (775,638) (142,296) (37,112) --
Adjustments to maintain reserves ....... (467) 1 (272) --
------------ ------------ ------------ ------------
Net equity transactions ........... 4,862,263 4,091,820 298,470 --
NET CHANGE IN CONTRACT OWNERS' EQUITY .... 4,855,678 4,417,689 305,524 --
CONTRACT OWNERS' EQUITY BEGINNING
OF PERIOD .............................. 8,266,529 314,488 76,810 --
------------ ------------ ------------ ------------
CONTRACT OWNERS' EQUITY END OF PERIOD .... 13,122,207 4,732,177 382,334 --
============ ============ ============ ============
</TABLE>
(Continued)
17
<PAGE> 18
NACO VARIABLE ACCOUNT
STATEMENTS OF CHANGES IN
CONTRACT OWNERS' EQUITY, CONTINUED
STATEMENTS OF OPERATIONS, CONTINUED
SIX MONTH PERIODS ENDED JUNE 30, 2000 AND 1999
(UNAUDITED)
<TABLE>
<CAPTION>
NSATSmCo NBGuard
-------------------------- --------------------------
2000 1999 2000 1999
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
INVESTMENT ACTIVITY:
Reinvested dividends ................... $ 2,260 -- 72,202 124,179
Variable account fee (notes 2 and 5) ... (23,544) (10,206) (134,480) (149,848)
----------- ----------- ----------- -----------
Net investment activity ............. (21,284) (10,206) (62,278) (25,669)
Proceeds from mutual fund shares sold .. 1,366,208 1,739,882 6,840,633 6,080,665
Cost of mutual fund shares sold ........ (894,686) (1,611,791) (9,985,213) (6,163,875)
----------- ----------- ----------- -----------
Realized gain (loss) on investments .... 471,522 128,091 (3,144,580) (83,210)
Change in unrealized gain (loss)
on investments ...................... (1,774) 136,516 3,627,512 5,335,070
----------- ----------- ----------- -----------
Net gain (loss) on investments ...... 469,748 264,607 482,932 5,251,860
----------- ----------- ----------- -----------
Reinvested capital gains ............... -- -- -- --
----------- ----------- ----------- -----------
Net increase (decrease) in contract
owners' equity resulting from
operations ..................... 448,464 254,401 420,654 5,226,191
----------- ----------- ----------- -----------
EQUITY TRANSACTIONS:
Purchase payments received from
contract owners ..................... 1,160,551 846,721 2,906,228 4,042,799
Transfers between funds ................ 1,644,762 (315,978) (4,836,160) (7,137,355)
Redemptions ............................ (362,644) (162,340) (1,276,234) (1,896,901)
Adjustments to maintain reserves ....... (618) 1,007 (186) 1,211
----------- ----------- ----------- -----------
Net equity transactions ........... 2,442,051 369,410 (3,206,352) (4,990,246)
NET CHANGE IN CONTRACT OWNERS' EQUITY .... 2,890,515 623,811 (2,785,698) 236,000
CONTRACT OWNERS' EQUITY BEGINNING
OF PERIOD .............................. 5,809,092 3,178,896 36,842,910 39,051,746
----------- ----------- ----------- -----------
CONTRACT OWNERS' EQUITY END OF PERIOD .... $ 8,699,607 3,802,707 34,057,212 39,287,746
=========== =========== =========== ===========
</TABLE>
<TABLE>
<CAPTION>
NBPartTr OppGlob
-------------------------- --------------------------
2000 1999 2000 1999
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
INVESTMENT ACTIVITY:
Reinvested dividends ................... -- -- -- --
Variable account fee (notes 2 and 5) ... (780) (478) (31,224) (885)
----------- ----------- ----------- -----------
Net investment activity ............. (780) (478) (31,224) (885)
Proceeds from mutual fund shares sold .. 196,577 195,708 2,468,936 343,497
Cost of mutual fund shares sold ........ (213,028) (177,522) (2,045,169) (319,097)
----------- ----------- ----------- -----------
Realized gain (loss) on investments .... (16,451) 18,186 423,767 24,400
Change in unrealized gain (loss)
on investments ...................... 21,582 4,197 169,846 30,216
----------- ----------- ----------- -----------
Net gain (loss) on investments ...... 5,131 22,383 593,613 54,616
----------- ----------- ----------- -----------
Reinvested capital gains ............... -- -- -- --
----------- ----------- ----------- -----------
Net increase (decrease) in contract
owners' equity resulting from
operations ..................... 4,351 21,905 562,389 53,731
----------- ----------- ----------- -----------
EQUITY TRANSACTIONS:
Purchase payments received from
contract owners ..................... 111,547 34,782 2,796,473 156,756
Transfers between funds ................ 18,065 82,994 8,742,923 472,926
Redemptions ............................ (2,098) (620) (454,317) (14,016)
Adjustments to maintain reserves ....... (3) (2) (714) 77
----------- ----------- ----------- -----------
Net equity transactions ........... 127,511 117,154 11,084,365 615,743
NET CHANGE IN CONTRACT OWNERS' EQUITY .... 131,862 139,059 11,646,754 669,474
CONTRACT OWNERS' EQUITY BEGINNING
OF PERIOD .............................. 192,411 49,728 4,227,587 12,885
----------- ----------- ----------- -----------
CONTRACT OWNERS' EQUITY END OF PERIOD .... 324,273 188,787 15,874,341 682,359
=========== =========== =========== ===========
</TABLE>
18
<PAGE> 19
NACO VARIABLE ACCOUNT
STATEMENTS OF CHANGES IN
CONTRACT OWNERS' EQUITY, CONTINUED
STATEMENTS OF OPERATIONS, CONTINUED
SIX MONTH PERIODS ENDED JUNE 30, 2000 AND 1999
(UNAUDITED)
<TABLE>
<CAPTION>
PrBalI PrIntlI
-------------------------- --------------------------
2000 1999 2000 1999
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
INVESTMENT ACTIVITY:
Reinvested dividends ................... $ 11,829 4,215 2,335 1,377
Variable account fee (notes 2 and 5) ... (2,210) (882) (1,119) (432)
----------- ----------- ----------- -----------
Net investment activity ............. 9,619 3,333 1,216 945
Proceeds from mutual fund shares sold .. 322,630 30,732 903,385 44,724
Cost of mutual fund shares sold ........ (324,690) (29,169) (878,524) (45,117)
----------- ----------- ----------- -----------
Realized gain (loss) on investments .... (2,060) 1,563 24,861 (393)
Change in unrealized gain (loss)
on investments ...................... (975) 15,035 (38,240) 7,267
----------- ----------- ----------- -----------
Net gain (loss) on investments ...... (3,035) 16,598 (13,379) 6,874
----------- ----------- ----------- -----------
Reinvested capital gains ............... -- -- -- --
----------- ----------- ----------- -----------
Net increase (decrease) in contract
owners' equity resulting from
operations ..................... 6,584 19,931 (12,163) 7,819
----------- ----------- ----------- -----------
EQUITY TRANSACTIONS:
Purchase payments received from
contract owners ..................... 139,523 168,260 130,345 78,728
Transfers between funds ................ 319,987 239,742 24,519 115,163
Redemptions ............................ (34,107) (8,002) (16,776) (876)
Adjustments to maintain reserves ....... (5) (4) (11) (3)
----------- ----------- ----------- -----------
Net equity transactions ........... 425,398 399,996 138,077 193,012
NET CHANGE IN CONTRACT OWNERS' EQUITY .... 431,982 419,927 125,914 200,831
CONTRACT OWNERS' EQUITY BEGINNING
OF PERIOD .............................. 693,872 71,853 351,462 24,850
----------- ----------- ----------- -----------
CONTRACT OWNERS' EQUITY END OF PERIOD .... $ 1,125,854 491,780 477,376 225,681
=========== =========== =========== ===========
</TABLE>
<TABLE>
<CAPTION>
PrLgCapGrI PrLgCapVlI
-------------------------- --------------------------
2000 1999 2000 1999
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
INVESTMENT ACTIVITY:
Reinvested dividends ................... -- -- 5,518 666
Variable account fee (notes 2 and 5) ... (7,906) (1,079) (1,437) (500)
----------- ----------- ----------- -----------
Net investment activity ............. (7,906) (1,079) 4,081 166
Proceeds from mutual fund shares sold .. 208,036 113,386 1,328,773 270,247
Cost of mutual fund shares sold ........ (159,666) (100,687) (1,315,709) (247,534)
----------- ----------- ----------- -----------
Realized gain (loss) on investments .... 48,370 12,699 13,064 22,713
Change in unrealized gain (loss)
on investments ...................... 64,967 49,982 9,365 (261)
----------- ----------- ----------- -----------
Net gain (loss) on investments ...... 113,337 62,681 22,429 22,452
----------- ----------- ----------- -----------
Reinvested capital gains ............... -- -- -- --
----------- ----------- ----------- -----------
Net increase (decrease) in contract
owners' equity resulting from
operations ..................... 105,431 61,602 26,510 22,618
----------- ----------- ----------- -----------
EQUITY TRANSACTIONS:
Purchase payments received from
contract owners ..................... 1,411,020 368,275 197,191 105,178
Transfers between funds ................ 729,509 432,792 1,359 173,159
Redemptions ............................ (141,996) (8,035) (43,149) (1,485)
Adjustments to maintain reserves ....... (126) 286 48 (3)
----------- ----------- ----------- -----------
Net equity transactions ........... 1,998,407 793,318 155,449 276,849
NET CHANGE IN CONTRACT OWNERS' EQUITY .... 2,103,838 854,920 181,959 299,467
CONTRACT OWNERS' EQUITY BEGINNING
OF PERIOD .............................. 2,469,759 82,384 498,659 38,285
----------- ----------- ----------- -----------
CONTRACT OWNERS' EQUITY END OF PERIOD .... 4,573,597 937,304 680,618 337,752
=========== =========== =========== ===========
</TABLE>
(Continued)
19
<PAGE> 20
NACO VARIABLE ACCOUNT
STATEMENTS OF CHANGES IN
CONTRACT OWNERS' EQUITY, CONTINUED
STATEMENTS OF OPERATIONS, CONTINUED
SIX MONTH PERIODS ENDED JUNE 30, 2000 AND 1999
(UNAUDITED)
<TABLE>
<CAPTION>
PrSmCapI PutIntGro
---------------------------- ----------------------------
2000 1999 2000 1999
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
INVESTMENT ACTIVITY:
Reinvested dividends ................... $ -- 682 -- --
Variable account fee (notes 2 and 5) ... (2,885) (746) (166) --
------------ ------------ ------------ ------------
Net investment activity ............. (2,885) (64) (166) --
Proceeds from mutual fund shares sold .. 311,614 167,636 2,693,037 --
Cost of mutual fund shares sold ........ (247,426) (165,455) (2,672,162) --
------------ ------------ ------------ ------------
Realized gain (loss) on investments .... 64,188 2,181 20,875 --
Change in unrealized gain (loss)
on investments ...................... (38,906) 32,114 358 --
------------ ------------ ------------ ------------
Net gain (loss) on investments ...... 25,282 34,295 21,233 --
------------ ------------ ------------ ------------
Reinvested capital gains ............... -- -- -- --
------------ ------------ ------------ ------------
Net increase (decrease) in contract
owners' equity resulting from
operations ..................... 22,397 34,231 21,067 --
------------ ------------ ------------ ------------
EQUITY TRANSACTIONS:
Purchase payments received from
contract owners ..................... 278,797 162,625 43,933 --
Transfers between funds ................ 179,326 235,211 476,398 --
Redemptions ............................ (37,338) (5,339) (769) --
Adjustments to maintain reserves ....... (22) (105) 10,997 --
------------ ------------ ------------ ------------
Net equity transactions ........... 420,763 392,392 530,559 --
NET CHANGE IN CONTRACT OWNERS' EQUITY .... 443,160 426,623 551,626 --
CONTRACT OWNERS' EQUITY BEGINNING
OF PERIOD .............................. 823,363 75,762 -- --
------------ ------------ ------------ ------------
CONTRACT OWNERS' EQUITY END OF PERIOD .... $ 1,266,523 502,385 551,626 --
============ ============ ============ ============
</TABLE>
<TABLE>
<CAPTION>
PutInvFd PutVoyFd
---------------------------- ----------------------------
2000 1999 2000 1999
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
INVESTMENT ACTIVITY:
Reinvested dividends ................... -- -- -- --
Variable account fee (notes 2 and 5) ... (667,488) (546,656) (1,981,972) (1,198,863)
------------ ------------ ------------ ------------
Net investment activity ............. (667,488) (546,656) (1,981,972) (1,198,863)
Proceeds from mutual fund shares sold .. 7,150,435 7,751,366 4,569,654 7,466,900
Cost of mutual fund shares sold ........ (3,276,420) (4,037,191) (1,715,309) (3,653,005)
------------ ------------ ------------ ------------
Realized gain (loss) on investments .... 3,874,015 3,714,175 2,854,345 3,813,895
Change in unrealized gain (loss)
on investments ...................... (8,151,366) 9,012,934 1,281,414 35,901,921
------------ ------------ ------------ ------------
Net gain (loss) on investments ...... (4,277,351) 12,727,109 4,135,759 39,715,816
------------ ------------ ------------ ------------
Reinvested capital gains ............... -- -- -- --
------------ ------------ ------------ ------------
Net increase (decrease) in contract
owners' equity resulting from
operations ..................... (4,944,839) 12,180,453 2,153,787 38,516,953
------------ ------------ ------------ ------------
EQUITY TRANSACTIONS:
Purchase payments received from
contract owners ..................... 12,946,255 14,731,478 34,022,853 24,884,411
Transfers between funds ................ (6,417,800) 3,654,573 17,889,740 (7,944,893)
Redemptions ............................ (5,627,253) (7,052,633) (14,392,067) (11,843,111)
Adjustments to maintain reserves ....... (2,167) 2,129 (4,660) 7,988
------------ ------------ ------------ ------------
Net equity transactions ........... 899,035 11,335,547 37,515,866 5,104,395
NET CHANGE IN CONTRACT OWNERS' EQUITY .... (4,045,804) 23,516,442 39,669,653 43,621,566
CONTRACT OWNERS' EQUITY BEGINNING
OF PERIOD .............................. 173,490,690 123,169,328 462,519,886 278,412,506
------------ ------------ ------------ ------------
CONTRACT OWNERS' EQUITY END OF PERIOD .... 169,444,886 146,685,770 502,189,539 322,034,072
============ ============ ============ ============
</TABLE>
20
<PAGE> 21
NACO VARIABLE ACCOUNT
STATEMENTS OF CHANGES IN
CONTRACT OWNERS' EQUITY, CONTINUED
STATEMENTS OF OPERATIONS, CONTINUED
SIX MONTH PERIODS ENDED JUNE 30, 2000 AND 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SEI500Ix SelGroFd
------------------------------ ------------------------------
2000 1999 2000 1999
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
INVESTMENT ACTIVITY:
Reinvested dividends ................... $ 433,419 721,374 -- --
Variable account fee (notes 2 and 5) ... (771,957) (586,535) (81,596) (59,566)
------------- ------------- ------------- -------------
Net investment activity ............. (338,538) 134,839 (81,596) (59,566)
Proceeds from mutual fund shares sold .. 10,175,943 4,605,106 608,894 1,043,975
Cost of mutual fund shares sold ........ (5,806,680) (2,780,161) (375,706) (734,180)
------------- ------------- ------------- -------------
Realized gain (loss) on investments .... 4,369,263 1,824,945 233,188 309,795
Change in unrealized gain (loss)
on investments ...................... (5,807,034) 14,495,422 2,027,895 1,122,894
------------- ------------- ------------- -------------
Net gain (loss) on investments ...... (1,437,771) 16,320,367 2,261,083 1,432,689
------------- ------------- ------------- -------------
Reinvested capital gains ............... -- -- -- --
------------- ------------- ------------- -------------
Net increase (decrease) in contract
owners' equity resulting from
operations ..................... (1,776,309) 16,455,206 2,179,487 1,373,123
------------- ------------- ------------- -------------
EQUITY TRANSACTIONS:
Purchase payments received from
contract owners ..................... 25,825,422 23,049,930 1,394,050 1,197,894
Transfers between funds ................ (10,312,394) 6,573,016 798,075 (120,915)
Redemptions ............................ (8,821,346) (6,777,718) (532,159) (567,680)
Adjustments to maintain reserves ....... (6,022) 3,589 87 112
------------- ------------- ------------- -------------
Net equity transactions ........... 6,685,660 22,848,817 1,660,053 509,411
NET CHANGE IN CONTRACT OWNERS' EQUITY .... 4,909,351 39,304,605 3,839,540 1,882,534
CONTRACT OWNERS' EQUITY BEGINNING
OF PERIOD .............................. 195,373,429 125,708,542 19,339,122 14,140,971
------------- ------------- ------------- -------------
CONTRACT OWNERS' EQUITY END OF PERIOD .... $ 200,282,780 165,013,147 23,178,662 16,023,505
============= ============= ============= =============
</TABLE>
<TABLE>
<CAPTION>
AIMTreas TRIntStk
------------------------------ ------------------------------
2000 1999 2000 1999
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
INVESTMENT ACTIVITY:
Reinvested dividends ................... 300,039 157,138 -- --
Variable account fee (notes 2 and 5) ... (40,252) (26,340) (168,108) (129,394)
------------- ------------- ------------- -------------
Net investment activity ............. 259,787 130,798 (168,108) (129,394)
Proceeds from mutual fund shares sold .. 93,790,645 19,876,541 18,505,417 28,647,168
Cost of mutual fund shares sold ........ (93,790,646) (19,876,542) (15,495,591) (26,646,562)
------------- ------------- ------------- -------------
Realized gain (loss) on investments .... (1) (1) 3,009,826 2,000,606
Change in unrealized gain (loss)
on investments ...................... -- -- (4,626,140) (434,460)
------------- ------------- ------------- -------------
Net gain (loss) on investments ...... (1) (1) (1,616,314) 1,566,146
------------- ------------- ------------- -------------
Reinvested capital gains ............... -- 758 -- --
------------- ------------- ------------- -------------
Net increase (decrease) in contract
owners' equity resulting from
operations ..................... 259,786 131,555 (1,784,422) 1,436,752
------------- ------------- ------------- -------------
EQUITY TRANSACTIONS:
Purchase payments received from
contract owners ..................... 691,106 341,133 3,245,529 3,032,840
Transfers between funds ................ 1,379,213 1,291,247 (96,748) (1,637,670)
Redemptions ............................ (1,031,518) (684,737) (1,454,108) (1,463,377)
Adjustments to maintain reserves ....... (796) (465) 186 399
------------- ------------- ------------- -------------
Net equity transactions ........... 1,038,005 947,178 1,694,859 (67,808)
NET CHANGE IN CONTRACT OWNERS' EQUITY .... 1,297,791 1,078,733 (89,563) 1,369,026
CONTRACT OWNERS' EQUITY BEGINNING
OF PERIOD .............................. 10,599,307 6,222,259 43,688,772 33,439,363
------------- ------------- ------------- -------------
CONTRACT OWNERS' EQUITY END OF PERIOD .... 11,897,098 7,300,992 43,599,209 34,808,389
============= ============= ============= =============
</TABLE>
(Continued)
21
<PAGE> 22
NACO VARIABLE ACCOUNT
STATEMENTS OF CHANGES IN
CONTRACT OWNERS' EQUITY, CONTINUED
STATEMENTS OF OPERATIONS, CONTINUED
SIX MONTH PERIODS ENDED JUNE 30, 2000 AND 1999
(UNAUDITED)
<TABLE>
<CAPTION>
TemForFd WPEmGro
---------------------------- ----------------------------
2000 1999 2000 1999
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
INVESTMENT ACTIVITY:
Reinvested dividends ................... $ -- -- -- --
Variable account fee (notes 2 and 5) ... (164,084) (134,246) (8,415) (798)
------------ ------------ ------------ ------------
Net investment activity ............. (164,084) (134,246) (8,415) (798)
Proceeds from mutual fund shares sold .. 7,727,651 14,551,539 1,374,546 529,133
Cost of mutual fund shares sold ........ (8,383,660) (15,753,171) (1,326,036) (516,336)
------------ ------------ ------------ ------------
Realized gain (loss) on investments .... (656,009) (1,201,632) 48,510 12,797
Change in unrealized gain (loss)
on investments ...................... (2,281,707) 10,123,926 (305,462) 29,011
------------ ------------ ------------ ------------
Net gain (loss) on investments ...... (2,937,716) 8,922,294 (256,952) 41,808
------------ ------------ ------------ ------------
Reinvested capital gains ............... -- -- -- --
------------ ------------ ------------ ------------
Net increase (decrease) in contract
owners' equity resulting from
operations ..................... (3,101,800) 8,788,048 (265,367) 41,010
------------ ------------ ------------ ------------
EQUITY TRANSACTIONS:
Purchase payments received from
contract owners ..................... 3,955,661 3,744,424 842,715 119,389
Transfers between funds ................ (3,433,757) (3,439,534) 3,054,898 416,268
Redemptions ............................ (1,600,501) (1,789,175) (97,783) (21,574)
Adjustments to maintain reserves ....... (410) 5,338 (24) (30)
------------ ------------ ------------ ------------
Net equity transactions ........... (1,079,007) (1,478,947) 3,799,806 514,053
NET CHANGE IN CONTRACT OWNERS' EQUITY .... (4,180,807) 7,309,184 3,534,439 555,063
CONTRACT OWNERS' EQUITY BEGINNING
OF PERIOD .............................. 57,563,472 41,645,492 989,258 21,567
------------ ------------ ------------ ------------
CONTRACT OWNERS' EQUITY END OF PERIOD .... $ 53,382,665 48,954,676 4,523,697 576,630
============ ============ ============ ============
</TABLE>
See accompanying notes to financial statements.
22
<PAGE> 23
NACO VARIABLE ACCOUNT
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2000 AND 1999
(UNAUDITED)
(1) SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
(a) Organization and Nature of Operations
NACo Variable Account (NACoVA) was established pursuant to a resolution
of the Board of Directors of Nationwide Life Insurance Company (the
Company) on September 7, 1988, and has been registered as a unit
investment trust under the Investment Company Act of 1940. The NACoVA
was introduced for exclusive use by Member Counties for deferred
compensation Plans adopted under the National Association of Counties
(NACo) Program.
The Company offers group flexible fund retirement contracts through the
NACoVA. The primary distribution for the contracts is through an
affiliated sales organization.
(b) The Contracts
The Group Flexible Retirement Contracts (the Contract) are offered for
purchase in connection with deferred compensation Plans adopted by
Member Counties under the NACo Program. Participants in the contracts
may invest in any of the following fund sub-accounts:
American Century Growth Fund - Investor Class (ACGrI)
(not available for contracts issued on or after May 1, 1997)
American Century Income & Growth Fund - Investor Class (ACIncGro)
American Century International Discovery Fund - Investor Class
(ACIntlDisc)
American Century Ultra Fund - Investor Class (ACUltra)
American Century Value Fund - Investor Class (ACValue)
The Bond Fund of America(SM), Inc. (BdFdAm)
(only available for certain contracts issued beginning July 1,
1994)
Brown Capital Management - Small Company Fund (BrnCapSmCo)
Dreyfus Appreciation Fund, Inc. (DryApp)
Dreyfus Premier Midcap Stock - Class A (DryPreMCap)
The Dreyfus Premier Third Century Fund, Inc. - Class Z (DryPrm3CZ)
Evergreen Income and Growth Fund - Class Y (EvIncGro)
(not available for contracts issued on or after October 1, 1993)
Federated Investment Series Fund, Inc. - Federated Bond Fund -
Class F (FedBdFd)
Federated U.S. Government Securities Fund: 2-5 Years -
Institutional Shares (FedUSGvt)
Fidelity Advisor Growth Opportunities Fund - Class A (FAGrOppA)
Fidelity Advisor High Yield Fund - Class T (FAHiYld)
Fidelity Capital & Income Fund (FidCapInc)
(not available for contracts issued on or after January 1, 1987)
Fidelity Contrafund (FidContr)
(not available for contracts issued on or after June 30, 1998)
Fidelity Equity-Income Fund (FidEqInc)
Fidelity Magellan(R) Fund (FidMgln)
(not available for contracts issued on or after October 1, 1997)
Fidelity OTC Portfolio (FidOTC)
Fidelity Puritan(R) Fund (FidPurtn)
INVESCO Dynamics Fund, Inc. - Investor Class (InvDynam)
INVESCO Total Return Fund - Investor Class (InvTotRet)
(Continued)
23
<PAGE> 24
NACO VARIABLE ACCOUNT
NOTES TO FINANCIAL STATEMENTS, CONTINUED
(UNAUDITED)
The Investment Company of America(R) (InvCoAm)
(only available for certain contracts issued beginning July 1,
1994)
MAS Funds - Fixed Income Portfolio - Institutional Shares (MASFIP)
Massachusetts Investors Growth Stock Fund - Class A (MFSGrStk)
(not available for contracts issued on or after May 1, 1997)
MFS(R) Growth Opportunities Fund - Class A (MFSGrOpp)
(not available for contracts issued on or after October 1, 1993)
MFS(R) High Income Fund - Class A (MFSHiInc)
Morgan Stanley Dean Witter Institutional Fund, Inc. - Equity
Growth Portfolio - Class B (MSIEqGroB)
Portfolios of the Nationwide Asset Allocation Trust (NAAT)
(managed for a fee by an affiliated investment advisor)
NAAT - The Aggressive Portfolio (NAATAggr)
NAAT - The Conservative Portfolio (NAATCons)
NAAT - The Moderate Portfolio (NAATMod)
NAAT - The Moderately Aggressive Portfolio (NAATModAgg)
NAAT - The Moderately Conservative Portfolio (NAATModCon)
Nationwide(R) Mutual Funds
(managed for a fee by an affiliated investment advisor)
Nationwide(R) Fund - Class D (NWFund)
Nationwide(R) Growth Fund - Class D (NWGroFd)
(not available for contracts issued on or after October 1,
1993)
Nationwide(R) Money Market Fund - Prime Shares (NWMyMkt)
Nationwide(R) S&P 500 Index Fund - Institutional Service Class
(NWIndxFd)
Prestige Balanced Fund - Institutional Service Class (PrBalI)
Prestige International Fund - Institutional Service Class
(PrIntlI)
Prestige Large Cap Growth Fund - Institutional Service Class
(PrLgCapGrI)
Prestige Large Cap Value Fund - Institutional Service Class
(PrLgCapVlI)
Prestige Small Cap Fund - Institutional Service Class
(PrSmCapI)
Nationwide(R) Separate Account Trust - Income Fund (NSATInc)
(managed for a fee by an affiliated investment advisor)
Nationwide(R) Separate Account Trust - Small Company Fund
(NSATSmCo) (managed for a fee by an affiliated investment
advisor)
Neuberger Berman Equity Funds(R) - Guardian Fund (NBGuard)
Neuberger Berman Equity Trust(R) - Partners Trust (NBPartTr)
Oppenheimer Global Fund - Class A (OppGlob)
Putnam International Growth Fund - Class A (PutIntGro)
Putnam Investors Fund - Class A (PutInvFd)
Putnam Voyager Fund - Class A (PutVoyFd)
SEI Index Funds - S&P 500 Index Portfolio - Class E (SEI500Ix)
Seligman Growth Fund, Inc. - Class A (SelGroFd)
Short-Term Investments Trust - Treasury Portfolio - Institutional
Class (AIMTreas)
T. Rowe Price International Funds, Inc. - International Stock
Fund(R)(TRIntStk)
Templeton Foreign Fund - Class A (TemForFd)
Warburg Pincus Emerging Growth Fund - Common Shares (WPEmGro)
All of the above funds were being utilized as of June 30, 2000.
24
<PAGE> 25
The contract owners' equity is affected by the investment results of
each fund, equity transactions by contract owners and certain expenses
(see note 2). The accompanying financial statements include only
contract owners' purchase payments pertaining to the variable portions
of their contracts and exclude any purchase payments for fixed dollar
benefits, the latter being included in the accounts of the Company.
(c) Security Valuation, Transactions and Related Investment Income
The market value of the underlying mutual funds is based on the closing
net asset value per share at June 30, 2000. The cost of investments
sold is determined on the specific identification basis. Investment
transactions are accounted for on the trade date (date the order to buy
or sell is executed) and dividend income is recorded on the ex-dividend
date.
(d) Federal Income Taxes
Operations of the NACoVA form a part of, and are taxed with, operations
of the Company, which is taxed as a life insurance company under the
Internal Revenue Code. The assets in this account are held pursuant to
contracts with entities which are exempt from federal income tax.
Because of this exemption, no taxes need be provided for investment
income or realized and unrealized capital gains. Annuity payouts and
withdrawal payments are taxable as wages when received by the
participants.
(e) Use of Estimates in the Preparation of Financial Statements
The preparation of financial statements in conformity with generally
accepted accounting principles may require management to make estimates
and assumptions that affect the reported amounts of assets and
liabilities and disclosure of contingent assets and liabilities, if
any, 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.
(f) Annuity Payout Reserves
Annuity reserves are computed for contracts in the variable payout
stage according to industry standard mortality tables. The assumed
investment return is 3.5 percent unless the annuitant elects otherwise,
in which case the rate may vary from 3.5 percent to 7 percent, as
regulated by the laws of the respective states. The mortality risk is
fully borne by the Company and may result in additional amounts being
transferred into the Account by the Company to cover greater longevity
of annuitants than expected. Conversely, if reserves exceed amounts
required, transfers may be made to the Company.
(2) EXPENSES
No deduction for a sales charge is made from the purchase payments for
these contracts. However, if an owner terminates the contract and directs
the Company to withdraw all or part of the contract value held in the
Account for less than sixteen (16) years, the Company will, with certain
exceptions, assess a contingent deferred sales charge by deducting an
amount from each participant's account. This charge will be equal to not
more than 4% in the first year, declining to 1% in the fifteenth year, of
the lesser of all purchase payments made on behalf of a participant prior
to the date of withdrawal, or the amount withdrawn. No sales charges are
deducted on redemptions used to purchase units in the fixed investment
options of the Company. Sales charges may be reduced or eliminated upon
negotiated conversion of the contracts to other investment programs offered
by the Company or its affiliates.
(Continued)
25
<PAGE> 26
NACO VARIABLE ACCOUNT
NOTES TO FINANCIAL STATEMENTS, CONTINUED
(UNAUDITED)
Prior to May 1, 1998 the following charges were deducted by the Company: a
mortality risk charge, an expense risk charge and an administration charge
which are assessed through the daily unit value calculation. The morality
risk charge and the expense risk charge are equal to an annual rate of
0.10% and 0.40% respectively. The administration charge was based upon the
aggregate balance of assets held under the Contract by each Member County,
as follows:
<TABLE>
<CAPTION>
Expense Administration
Tier Assets (Millions) Charge
--------- ----------------- --------------
<S> <C> <C>
I Up to $10 .45%
II Over $10 to $25 .40%
III Over $25 to $50 .30%
IV Over $50 to $150 .20%
V Over $150 .15%
</TABLE>
The administration charge was determined using the December 31 asset
balance and became effective on the following May 1.
Beginning May 1, 1998 under the terms of the Contracts, the Company assumes
various risks and incurs administrative expenses associated with the
issuance of the Contracts. For the Company's contractual promise to accept
these risks and expenses, the Contracts provide for the deduction of a
Variable Account Fee, which is calculated as a percentage of assets and is
deducted on each valuation date from amounts held in the Account. On an
annual basis, the maximum Variable Account Fee is 0.95% of the average
account value.
As with all other charges, this fee is subject to negotiation and may vary
from one contract to another reflecting the unique characteristics of
different contracts when considered as a whole. In negotiating the amount
of the fee, the Company may consider factors which may reduce expenses
incurred by the Company. These factors might include, but are not limited
to: (1) the size of the contract; (2) the number of eligible employees; (3)
the number of contract participants; (4) demographics of contract
participants; (5) general economic conditions; (6) the varying costs
associated with the inclusion of underlying mutual fund options; (7) the
type of contract issued (for example, whether the contract is issued as an
allocated contract or unallocated contract); (8) costs associated with
distribution of the contract; and (9) any other factors which the Company
deems relevant (see summary of variable account fees at Note 5).
Contract owners may negotiate an exchange privilege with the Company. The
exchange privilege provides for transfers of units among the various
investment options for each participant's account. The number of transfers
allowed, and any administrative charges associated therewith, are subject
to negotiation between the contract owner and the Company.
(3) RELATED PARTY TRANSACTIONS
The Company performs various services on behalf of the Mutual Fund
Companies in which the Account invests and may receive fees for the
services performed. These services include, among other things, shareholder
communications, preparation, postage, fund transfer agency and various
other record keeping and customer service functions. These fees are paid to
an affiliate of the Company.
26
<PAGE> 27
(4) COMPONENTS OF CONTRACT OWNER'S EQUITY
The following is a summary of contract owners' equity at June 30, 2000.
<TABLE>
<CAPTION>
ASSET PERIOD
CHARGE UNITS UNIT VALUE AMOUNT RETURN(b)
------- ---------- ---------- ----------- --------
<S> <C> <C> <C> <C> <C>
American Century
Growth Fund - Investor Class .......... 0.95% 5,042,742 11.207594 56,517,005 6%
0.90% 2,775,413 11.230948 31,170,519 6%
0.80% 3,020,232 11.277802 34,061,578 6%
0.65% 1,796,713 11.342785 20,379,729 6%
0.60% 75,049 11.273205 846,043 6%
0.50% 686,611 11.292022 7,753,227 6%
0.40% 2,101,005 11.402108 23,955,886 6%
American Century Income &
Growth Fund - Investor Class .......... 0.95% 31,770 1.230876 39,105 (4)%
0.80% 5,715,737 1.233884 7,052,556 (4)%
0.70% 2,269,236 1.235894 2,804,535 (4)%
0.55% 2,603,143 1.238915 3,225,073 (4)%
0.40% 1,367,883 1.241943 1,698,833 (4)%
0.25% 322,247 1.244979 401,191 (4)%
0.20% 175,606 1.242492 218,189 (4)%
0.15% 2,156,171 1.247006 2,688,758 (4)%
American Century International
Discovery Fund - Investor Class ....... 0.95% 9,678 2.048104 19,822 1%
0.80% 6,502,495 2.053104 13,350,298 1%
0.70% 3,674,694 2.056444 7,556,802 1%
0.55% 3,757,387 2.061465 7,745,722 1%
0.40% 3,177,540 2.066497 6,566,377 1%
0.25% 534,869 2.071542 1,108,004 2%
0.20% 222,911 2.067414 460,849 1%
0.15% 7,360,238 2.074912 15,271,846 2%
American Century Ultra Fund -
Investor Class ........................ 0.95% 62,925,150 3.105987 195,444,698 (4)%
0.90% 28,771,423 3.112460 89,549,903 (4)%
0.80% 27,822,969 3.125445 86,959,159 (4)%
0.65% 16,563,543 3.143456 52,066,769 (4)%
0.60% 1,424,185 3.124172 4,449,399 (4)%
0.50% 6,024,320 3.129387 18,852,429 (4)%
0.40% 26,774,833 3.159898 84,605,741 (4)%
American Century Value Fund -
Investor Class ........................ 0.80% 19,295 0.972256 18,760 (3)%(a)
0.70% 18 0.972415 18 (3)%(a)
0.55% 57,510 0.972654 55,937 (3)%(a)
0.40% 1,270 0.972893 1,236 (3)%(a)
0.25% 3 0.973132 3 (3)%(a)
0.15% 4,454 0.973291 4,335 (3)%(a)
</TABLE>
(Continued)
27
<PAGE> 28
NACO VARIABLE ACCOUNT
NOTES TO FINANCIAL STATEMENTS, CONTINUED
(UNAUDITED)
<TABLE>
<CAPTION>
ASSET PERIOD
CHARGE UNITS UNIT VALUE AMOUNT RETURN(b)
------- ---------- ---------- ----------- --------
<S> <C> <C> <C> <C> <C>
The Bond Fund of America(SM), Inc. ....... 0.95% 2,380,611 2.499123 5,949,440 2%
0.90% 1,313,242 2.504401 3,288,885 2%
0.80% 1,015,674 2.514982 2,554,402 2%
0.65% 721,012 2.529646 1,823,905 2%
0.60% 25,776 2.514032 64,802 2%
0.50% 222,401 2.518298 560,072 2%
0.40% 797,411 2.543084 2,027,883 2%
Brown Capital Management
Small Company Fund .................... 0.80% 560,256 1.483240 830,994 11%
0.70% 450,739 1.484745 669,232 11%
0.55% 369,370 1.487006 549,255 11%
0.40% 277,960 1.489270 413,957 11%
0.25% 44,400 1.491537 66,224 11%
0.20% 18,189 1.489927 27,100 11%
0.15% 848,718 1.493050 1,267,178 12%
Dreyfus Appreciation Fund, Inc. .......... 0.95% 20,355 1.213074 24,692 3%
0.80% 1,708,972 1.216040 2,078,178 3%
0.70% 981,320 1.218020 1,195,267 3%
0.55% 673,537 1.220998 822,387 3%
0.40% 418,835 1.223982 512,647 3%
0.25% 83,705 1.226974 102,704 3%
0.20% 53,866 1.224522 65,960 3%
0.15% 829,569 1.228972 1,019,517 4%
Dreyfus Premier Midcap Stock -
Class A ............................... 0.95% 6,036 1.320092 7,968 6%
0.80% 766,636 1.323320 1,014,505 6%
0.70% 283,505 1.325476 375,779 6%
0.55% 206,100 1.328717 273,849 7%
0.40% 299,456 1.331966 398,865 7%
0.25% 10,044 1.335223 13,411 7%
0.20% 9,102 1.332555 12,129 7%
0.15% 383,229 1.337398 512,530 7%
The Dreyfus Premier Third Century
Fund, Inc. - Class Z .................. 0.95% 10,343 5.944873 61,488 1%
0.80% 6,309,185 5.982113 37,742,258 1%
0.70% 3,095,345 6.007070 18,593,954 1%
0.55% 2,865,919 5.984668 17,151,574 1%
0.40% 1,427,360 5.999660 8,563,675 2%
0.25% 297,259 6.014689 1,787,920 2%
0.20% 417,560 6.002309 2,506,324 7%
0.15% 2,361,745 6.079690 14,358,677 2%
</TABLE>
28
<PAGE> 29
<TABLE>
<CAPTION>
ASSET PERIOD
CHARGE UNITS UNIT VALUE AMOUNT RETURN(b)
------- ---------- ---------- ----------- --------
<S> <C> <C> <C> <C> <C>
Evergreen Income And Growth Fund -
Class Y ............................... 0.95% 381,505 2.639052 1,006,812 (4)%
0.90% 201,208 2.644553 532,105 (4)%
0.80% 143,315 2.655591 380,586 (4)%
0.65% 69,568 2.670901 185,809 (4)%
0.60% 1,466 2.654514 3,892 (4)%
0.50% 71,054 2.658949 188,929 (4)%
0.40% 171,956 2.684883 461,682 (4)%
Federated Investment Series Fund,
Inc. - Federated Bond Fund -
Class F ............................... 0.95% 24 0.993217 24 1%
0.80% 260,531 0.995647 259,397 1%
0.70% 47,446 0.997270 47,316 1%
0.55% 94,157 0.999710 94,130 1%
0.40% 14,941 1.002155 14,973 1%
0.25% 6,360 1.004607 6,389 1%
0.15% 33,823 1.006245 34,034 1%
Federated U.S. Government
Securities Fund: 2-5 Years -
Institutional Shares .................. 0.95% 2,078,342 1.411566 2,933,717 3%
0.90% 1,174,336 1.414537 1,661,142 3%
0.80% 563,764 1.420494 800,823 3%
0.65% 573,278 1.428747 819,069 3%
0.60% 9,097 1.420303 12,920 3%
0.50% 281,799 1.422803 400,944 3%
0.40% 685,273 1.436268 984,236 3%
Fidelity Advisor Growth
Opportunities Fund - Class A .......... 0.95% 26,151 1.068578 27,944 (5)%
0.80% 1,313,440 1.071191 1,406,945 (5)%
0.70% 468,820 1.072937 503,014 (5)%
0.55% 422,610 1.075562 454,543 (5)%
0.40% 299,023 1.078192 322,404 (5)%
0.25% 37,687 1.080829 40,733 (5)%
0.20% 14,966 1.078668 16,143 (5)%
0.15% 361,073 1.082591 390,894 (4)%
Fidelity Advisor High Yield Fund -
Class T ............................... 0.95% 7,504 1.090494 8,183 (5)%
0.80% 380,937 1.093248 416,459 (4)%
0.70% 154,897 1.095086 169,626 (4)%
0.55% 484,664 1.097845 532,086 (4)%
0.40% 234,191 1.100607 257,752 (4)%
0.25% 611 1.103372 674 (4)%
0.20% 5,078 1.101343 5,593 (4)%
0.15% 112,762 1.105217 124,626 (4)%
</TABLE>
(Continued)
29
<PAGE> 30
NACO VARIABLE ACCOUNT
NOTES TO FINANCIAL STATEMENTS, CONTINUED
(UNAUDITED)
<TABLE>
<CAPTION>
ASSET PERIOD
CHARGE UNITS UNIT VALUE AMOUNT RETURN(b)
------- ---------- ---------- ----------- --------
<S> <C> <C> <C> <C> <C>
Fidelity Capital & Income Fund ........... 0.95% 111,308 5.367751 597,474 (1)%
0.90% 83,421 5.379050 448,726 (1)%
0.80% 43,173 5.401703 233,208 (1)%
0.65% 85,579 5.433087 464,958 (1)%
0.60% 10 5.400975 54 (1)%
0.50% 61,748 5.410484 334,087 (1)%
0.40% 49,307 5.461686 269,299 (1)%
Fidelity Contrafund ...................... 0.95% 77,520,593 3.066869 237,745,504 (2)%
0.90% 37,068,889 3.073261 113,922,371 (2)%
0.80% 30,679,253 3.086085 94,678,782 (2)%
0.65% 19,456,444 3.103872 60,390,312 (2)%
0.60% 2,287,869 3.084831 7,057,689 (2)%
0.50% 6,774,210 3.089982 20,932,187 (2)%
0.40% 22,467,903 3.120112 70,102,374 (2)%
Fidelity Equity-Income Fund .............. 0.95% 14,981,542 7.928217 118,776,916 (3)%
0.90% 8,281,037 7.944743 65,790,711 (3)%
0.80% 5,981,512 7.977897 47,719,889 (3)%
0.65% 4,907,471 8.023885 39,376,983 (3)%
0.60% 253,102 7.974674 2,018,406 (3)%
0.50% 1,566,871 7.987998 12,516,162 (3)%
0.40% 5,503,778 8.065891 44,392,873 (3)%
Fidelity Magellan(R) Fund ................ 0.95% 32,257,159 2.942332 94,911,271 0%
0.90% 15,683,819 2.948463 46,243,160 0%
0.80% 13,961,906 2.960764 41,337,909 0%
0.65% 8,413,674 2.977824 25,054,440 0%
0.60% 929,284 2.959560 2,750,272 0%
0.50% 3,144,918 2.964501 9,323,113 0%
0.40% 8,649,529 2.993402 25,891,517 1%
Fidelity OTC Portfolio ................... 0.95% 15,686,747 4.606949 72,268,043 6%
0.90% 9,391,297 4.616549 43,355,383 6%
0.80% 8,601,905 4.635809 39,876,789 6%
0.65% 5,417,263 4.662522 25,258,108 6%
0.60% 440,060 4.633911 2,039,199 6%
0.50% 1,469,892 4.641643 6,822,714 6%
0.40% 10,474,450 4.686903 49,092,731 6%
Fidelity Puritan(R) Fund ................. 0.95% 9,397,702 1.879284 17,660,951 0%
0.90% 4,715,854 1.883201 8,880,901 0%
0.80% 3,325,356 1.891060 6,288,448 0%
0.65% 1,606,044 1.901961 3,054,633 0%
0.60% 139,561 1.890296 263,812 0%
0.50% 644,288 1.893454 1,219,930 0%
0.40% 1,852,404 1.911917 3,541,643 0%
</TABLE>
30
<PAGE> 31
<TABLE>
<CAPTION>
ASSET PERIOD
CHARGE UNITS UNIT VALUE AMOUNT RETURN(b)
------- ---------- ---------- ----------- --------
<S> <C> <C> <C> <C> <C>
INVESCO Dynamics Fund, Inc. -
Investor Class ........................ 0.95% 61,159 2.218011 135,651 11%
0.80% 11,978,077 2.223429 26,632,404 11%
0.70% 6,152,814 2.227049 13,702,618 11%
0.55% 6,510,641 2.232489 14,534,934 11%
0.40% 5,146,749 2.237943 11,518,131 11%
0.25% 911,998 2.243410 2,045,985 12%
0.20% 525,774 2.238931 1,177,172 12%
0.15% 9,233,125 2.247062 20,747,404 12%
INVESCO Total Return Fund -
Investor Class ........................ 0.95% 3,343 0.945016 3,159 (6)%
0.80% 502,616 0.947327 476,142 (5)%
0.70% 277,520 0.948871 263,331 (5)%
0.55% 284,495 0.951192 270,609 (5)%
0.40% 176,254 0.953519 168,062 (5)%
0.25% 594 0.955851 568 (5)%
0.20% 3,753 0.953941 3,580 (5)%
0.15% 327,598 0.957409 313,645 (5)%
The Investment Company of America(R) ..... 0.95% 14,977,291 3.265902 48,914,365 2%
0.90% 7,633,169 3.272708 24,981,133 2%
0.80% 6,454,655 3.286362 21,212,333 2%
0.65% 3,098,162 3.305300 10,240,355 2%
0.60% 203,613 3.285030 668,875 2%
0.50% 1,145,384 3.290516 3,768,904 2%
0.40% 3,588,750 3.322595 11,923,963 2%
MAS Funds-Fixed Income Portfolio ......... 0.95% 1,377,058 1.428935 1,967,726 3%
0.90% 622,697 1.431914 891,649 3%
0.80% 385,983 1.437893 555,002 3%
0.65% 204,528 1.446185 295,785 3%
0.60% 44,755 1.437312 64,327 3%
0.50% 84,314 1.439714 121,388 3%
0.40% 475,728 1.453758 691,593 3%
Massachusetts Investors Growth
Stock Fund - Class A .................. 0.95% 248,928 31.364765 7,807,568 3%
0.90% 140,524 31.430118 4,416,686 3%
0.80% 122,731 31.561233 3,873,542 3%
0.65% 86,850 31.743081 2,756,887 3%
0.60% 2,886 31.548392 91,049 3%
0.50% 26,821 31.601054 847,572 3%
0.40% 109,213 31.909109 3,484,890 3%
MFS(R)Growth Opportunities Fund -
Class A ............................... 0.95% 572,271 16.048271 9,183,960 6%
0.90% 294,947 16.081721 4,743,255 6%
0.80% 151,302 16.148830 2,443,350 6%
0.65% 234,490 16.241905 3,808,564 6%
0.60% 10,185 16.142238 164,409 6%
0.50% 27,501 16.169186 444,669 6%
0.40% 173,774 16.326875 2,837,186 6%
</TABLE>
(Continued)
31
<PAGE> 32
NACO VARIABLE ACCOUNT
NOTES TO FINANCIAL STATEMENTS, CONTINUED
(UNAUDITED)
<TABLE>
<CAPTION>
ASSET PERIOD
CHARGE UNITS UNIT VALUE AMOUNT RETURN(b)
------- ---------- ---------- ----------- --------
<S> <C> <C> <C> <C> <C>
MFS(R) High Income Fund - Class A ........ 0.95% 969,506 6.524070 6,325,125 0%
0.90% 470,515 6.537804 3,076,135 0%
0.80% 347,073 6.565336 2,278,651 0%
0.65% 285,172 6.603480 1,883,128 0%
0.60% 12,809 6.564451 84,084 0%
0.50% 64,462 6.576008 423,903 0%
0.40% 320,267 6.638241 2,126,010 0%
Morgan Stanley Dean Witter
Institutional Fund - Equity
Growth Portfolio - Class B ............ 0.95% 18,597 1.614376 30,023 6%
0.80% 907,104 1.618321 1,467,985 6%
0.70% 326,990 1.620955 530,036 6%
0.55% 321,693 1.624915 522,724 6%
0.40% 384,724 1.628885 626,671 6%
0.25% 56,998 1.632864 93,070 6%
0.20% 40,454 1.629604 65,924 6%
0.15% 416,603 1.635523 681,364 6%
NAAT - The Aggressive Portfolio .......... 0.95% 11,917 1.452896 17,314 3%
0.70% 1,731,100 1.461791 2,530,506 3%
0.60% 654,387 1.461406 956,325 3%
0.45% 407,645 1.465068 597,228 3%
0.25% 696,016 1.469965 1,023,119 3%
0.10% 44,798 1.473649 66,017 3%
0.00% 957,688 1.483573 1,420,800 3%
NAAT - The Conservative Portfolio ........ 0.70% 383,841 1.167692 448,208 2%
0.60% 129,404 1.167387 151,065 2%
0.45% 494,393 1.170314 578,595 2%
0.25% 63,860 1.174228 74,986 2%
0.10% 9,423 1.177172 11,092 2%
0.00% 137,387 1.185097 162,817 2%
NAAT - The Moderate Portfolio ............ 0.95% 2,974 1.332415 3,963 2%
0.70% 2,287,960 1.340572 3,067,175 3%
0.60% 655,095 1.340220 877,971 3%
0.45% 291,597 1.343579 391,784 3%
0.25% 310,807 1.348071 418,990 3%
0.10% 115,805 1.351450 156,505 3%
0.00% 553,561 1.360549 753,147 3%
NAAT - The Moderately
Aggressive Portfolio .................. 0.95% 6,561 1.385645 9,091 3%
0.70% 2,303,113 1.394128 3,210,834 3%
0.60% 832,246 1.393762 1,159,953 3%
0.45% 497,728 1.397255 695,453 3%
0.25% 720,312 1.401926 1,009,824 3%
0.10% 68,234 1.405439 95,899 3%
0.00% 744,801 1.414903 1,053,821 3%
</TABLE>
32
<PAGE> 33
<TABLE>
<CAPTION>
ASSET PERIOD
CHARGE UNITS UNIT VALUE AMOUNT RETURN(b)
------- ---------- ---------- ----------- --------
<S> <C> <C> <C> <C> <C>
NAAT - The Moderately
Conservative Portfolio ................ 0.70% 756,538 1.262856 955,399 2%
0.60% 225,229 1.262526 284,357 2%
0.45% 496,910 1.265690 628,934 2%
0.25% 132,624 1.269922 168,422 3%
0.10% 12,891 1.273106 16,412 3%
0.00% 211,738 1.281677 271,380 3%
Nationwide(R) Fund - Class D ............. 0.95% 600 27.124297 16,275 3%
0.80% 2,996,808 27.294242 81,795,603 3%
0.70% 1,240,293 27.408129 33,994,111 3%
0.55% 966,800 27.306066 26,399,505 3%
0.40% 606,295 27.374542 16,597,048 3%
0.25% 83,779 27.443189 2,299,163 3%
0.20% 93,771 27.386632 2,568,072 3%
0.15% 723,918 27.739726 20,081,287 3%
Nationwide(R) Growth Fund - Class D ...... 0.95% 539,495 5.180923 2,795,082 (5)%
0.90% 321,774 5.191721 1,670,561 (5)%
0.80% 352,890 5.213386 1,839,752 (5)%
0.65% 89,992 5.243434 471,867 (5)%
0.60% 11,832 5.211271 61,660 (5)%
0.50% 29,488 5.219974 153,927 (5)%
0.40% 228,331 5.270874 1,203,504 (5)%
Nationwide(R) Money Market Fund -
Prime Shares .......................... 0.95% 46,998 3.315175 155,807 2%
0.80% 6,581,088 3.336144 21,955,457 2%
0.70% 3,226,899 3.350179 10,810,689 2%
0.55% 3,015,557 3.338631 10,067,832 2%
0.40% 3,734,858 3.373191 12,598,389 3%
0.25% 725,150 3.356268 2,433,798 3%
0.20% 77,454 3.375447 261,442 1%
0.15% 3,244,476 3.362157 10,908,438 3%
Nationwide(R) S&P 500 Index Fund -
Institutional Service Class ........... 0.95% 50,204 1.282214 64,372 (1)%
0.80% 4,376,747 1.285348 5,625,643 (1)%
0.70% 1,645,431 1.287441 2,118,395 (1)%
0.55% 1,765,659 1.290588 2,278,738 (1)%
0.40% 692,594 1.293742 896,038 (1)%
0.25% 140,605 1.296904 182,351 (1)%
0.20% 128,285 1.294314 166,041 (1)%
0.15% 1,378,450 1.299016 1,790,629 (1)%
Nationwide(R) SAT - Income Fund .......... 0.80% 153,256 1.036934 158,916 3%
0.70% 10,550 1.037988 10,951 3%
0.55% 28,870 1.039569 30,012 3%
0.40% 9,274 1.041153 9,656 3%
0.20% 18 1.041614 19 3%
0.15% 165,530 1.043798 172,780 3%
</TABLE>
(Continued)
33
<PAGE> 34
NACO VARIABLE ACCOUNT
NOTES TO FINANCIAL STATEMENTS, CONTINUED
(UNAUDITED)
<TABLE>
<CAPTION>
ASSET PERIOD
CHARGE UNITS UNIT VALUE AMOUNT RETURN(b)
------- ---------- ---------- ----------- --------
<S> <C> <C> <C> <C> <C>
Nationwide(R) SAT -
Small Company Fund .................... 0.95% 4,482 1.469799 6,588 7%
0.80% 2,168,154 1.475666 3,199,471 7%
0.70% 1,010,876 1.479589 1,495,681 7%
0.55% 1,054,365 1.479640 1,560,081 7%
0.40% 1,096,076 1.489309 1,632,396 7%
0.25% 32,159 1.487064 47,822 7%
0.20% 39,812 1.489968 59,319 3%
0.15% 468,766 1.489546 698,249 8%
Neuberger Berman Equity Funds(R)-
Guardian Fund ......................... 0.95% 7,073,307 1.880544 13,301,665 1%
0.90% 3,241,511 1.884465 6,108,514 1%
0.80% 2,915,020 1.892330 5,516,180 1%
0.65% 1,395,788 1.903240 2,656,520 1%
0.60% 82,762 1.891561 156,549 1%
0.50% 310,042 1.894720 587,443 1%
0.40% 2,995,154 1.913204 5,730,341 1%
Neuberger Berman Equity Trust(R)-
Partners Trust ........................ 0.95% 1,847 1.097936 2,028 (1)%
0.80% 168,404 1.100621 185,349 (1)%
0.70% 22,545 1.102414 24,854 (1)%
0.55% 19,905 1.105110 21,997 (1)%
0.40% 62,799 1.107813 69,570 (1)%
0.25% 236 1.110522 262 (1)%
0.15% 18,172 1.112331 20,213 (1)%
Oppenheimer Global Fund -
Class A ............................... 0.95% 20,728 1.896942 39,320 9%
0.80% 2,515,949 1.901575 4,784,266 9%
0.70% 1,417,949 1.904670 2,700,725 9%
0.55% 1,397,295 1.909322 2,667,886 9%
0.40% 1,046,924 1.913985 2,003,797 10%
0.25% 149,457 1.918659 286,757 10%
0.20% 103,066 1.914831 197,354 10%
0.15% 1,662,122 1.921782 3,194,236 10%
Prestige Balanced Fund -
Institutional Service Class ........... 0.95% 64 1.156829 74 1%
0.70% 356,182 1.161547 413,722 1%
0.60% 220,935 1.163440 257,045 1%
0.45% 137,485 1.166284 160,347 1%
0.25% 65,992 1.170087 77,216 1%
0.10% 113,273 1.172948 132,863 1%
0.00% 71,998 1.174859 84,587 1%
</TABLE>
34
<PAGE> 35
<TABLE>
<CAPTION>
ASSET PERIOD
CHARGE UNITS UNIT VALUE AMOUNT RETURN(b)
------- ---------- ---------- ----------- --------
<S> <C> <C> <C> <C> <C>
Prestige International Fund -
Institutional Service Class ........... 0.95% 1,306 1.246462 1,628 (5)%
0.70% 148,517 1.251545 185,876 (5)%
0.60% 91,078 1.253584 114,174 (5)%
0.55% 4,124 1.254605 5,174 (5)%
0.45% 59,174 1.256649 74,361 (5)%
0.25% 44,998 1.260748 56,731 (5)%
0.10% 19,609 1.263830 24,782 (5)%
0.00% 11,573 1.265889 14,650 (5)%
Prestige Large Cap Growth Fund -
Institutional Service Class ........... 0.95% 6,844 1.549643 10,606 2%
0.70% 1,128,611 1.555958 1,756,071 2%
0.60% 504,325 1.558491 785,986 2%
0.55% 16 1.559759 25 2%
0.45% 290,137 1.562298 453,280 2%
0.25% 175,749 1.567389 275,467 2%
0.10% 2,743 1.571219 4,310 2%
0.00% 818,319 1.573777 1,287,852 2%
Prestige Large Cap Value Fund -
Institutional Service Class ........... 0.95% 55 0.970314 53 (2)%
0.70% 265,798 0.974272 258,960 (2)%
0.60% 84,014 0.975860 81,986 (2)%
0.55% 4,841 0.976655 4,728 (2)%
0.45% 100,344 0.978247 98,161 (2)%
0.25% 106,458 0.981438 104,482 (2)%
0.10% 19,168 0.983838 18,858 (2)%
0.00% 115,065 0.985442 113,390 (2)%
Prestige Small Cap Fund -
Institutional Service Class ........... 0.95% 1,178 1.313233 1,547 2%
0.70% 491,713 1.318590 648,368 3%
0.60% 109,681 1.320739 144,860 3%
0.55% 10,467 1.321815 13,835 3%
0.45% 84,573 1.323969 111,972 3%
0.25% 117,672 1.328288 156,302 3%
0.10% 12,568 1.331537 16,735 3%
0.00% 129,642 1.333707 172,904 3%
Putnam International Growth Fund -
Class A ............................... 0.80% 76,681 1.017740 78,041 2%(a)
0.70% 36,280 1.017907 36,930 2%(a)
0.55% 36,368 1.018156 37,028 2%(a)
0.40% 24,233 1.018407 24,679 2%(a)
0.25% 331,654 1.018657 337,842 2%(a)
0.15% 36,420 1.018823 37,106 2%(a)
</TABLE>
(Continued)
35
<PAGE> 36
NACO VARIABLE ACCOUNT
NOTES TO FINANCIAL STATEMENTS, CONTINUED
(UNAUDITED)
<TABLE>
<CAPTION>
ASSET PERIOD
CHARGE UNITS UNIT VALUE AMOUNT RETURN(b)
------- ---------- ---------- ----------- --------
<S> <C> <C> <C> <C> <C>
Putnam Investors Fund - Class A .......... 0.95% 264 30.411929 8,029 (3)%
0.90% 1,241 30.475305 37,820 (3)%
0.80% 2,377,895 30.602450 72,769,413 (3)%
0.70% 1,098,432 30.730125 33,754,953 (3)%
0.55% 674,171 30.607040 20,634,379 9%
0.40% 484,822 30.939822 15,000,306 (3)%
0.25% 61,071 30.645702 1,871,564 10%
0.20% 2,620,368 0.968944 2,538,990 (3)%
0.15% 737,755 30.944463 22,829,432 10%
Putnam Voyager Fund - Class A ............ 0.95% 27,070,240 7.323764 198,256,049 0%
0.90% 12,794,602 7.339029 93,899,955 0%
0.80% 10,367,832 7.369653 76,407,324 1%
0.65% 6,617,609 7.412127 49,050,558 1%
0.60% 621,108 7.366639 4,575,478 1%
0.50% 2,210,295 7.378935 16,309,623 1%
0.40% 8,548,037 7.450898 63,690,552 1%
SEI Index Funds - S&P 500 Index
Portfolio - Class E ................... 0.95% 35,924,919 2.262083 81,265,149 (1)%
0.90% 15,928,412 2.266793 36,106,413 (1)%
0.80% 12,519,900 2.276243 28,498,335 (1)%
0.65% 8,690,723 2.289352 19,896,124 (1)%
0.60% 713,324 2.275330 1,623,047 (1)%
0.50% 2,532,483 2.279129 5,771,855 (1)%
0.40% 11,785,302 2.301329 27,121,857 (1)%
Seligman Growth Fund, Inc. -
Class A ............................... 0.95% 359,216 23.906822 8,587,713 10%
0.90% 184,425 23.956635 4,418,202 10%
0.80% 138,441 24.056573 3,330,416 10%
0.65% 86,374 24.195181 2,089,835 10%
0.60% 8,031 24.046778 193,120 10%
0.50% 35,526 24.086915 855,712 11%
0.40% 152,278 24.321725 3,703,664 11%
Short-Term Invesments Trust -
Treasury Portfolio -
Institutional Class ................... 0.95% 2,079,306 1.360024 2,827,906 2%
0.90% 1,752,279 1.362887 2,388,158 2%
0.80% 702,837 1.368626 961,921 3%
0.65% 3,349,215 1.376578 4,610,456 3%
0.60% 52,823 1.368442 72,285 3%
0.50% 105,334 1.370851 144,397 3%
0.40% 644,572 1.383825 891,975 3%
</TABLE>
36
<PAGE> 37
<TABLE>
<CAPTION>
ASSET PERIOD
CHARGE UNITS UNIT VALUE AMOUNT RETURN(b)
------- ---------- ---------- ----------- --------
<S> <C> <C> <C> <C> <C>
T. Rowe Price International Funds,
Inc. - International Stock Fund(R) .... 0.95% 8,949,314 1.757244 15,726,128 (4)%
0.90% 4,184,859 1.760907 7,369,148 (4)%
0.80% 3,722,712 1.768256 6,582,708 (4)%
0.65% 2,450,110 1.778448 4,357,393 (4)%
0.60% 179,125 1.767536 316,610 (4)%
0.50% 735,483 1.770487 1,302,163 (4)%
0.40% 4,444,154 1.787755 7,945,059 (4)%
Templeton Foreign Fund - Class A ......... 0.95% 4,671 1.576088 7,362 (6)%
0.80% 12,424,227 1.585967 19,704,414 (5)%
0.70% 7,359,768 1.592587 11,721,071 (5)%
0.55% 5,866,111 1.586644 9,307,430 (5)%
0.40% 3,371,918 1.590621 5,363,444 (5)%
0.25% 614,314 1.594608 979,590 (5)%
0.20% 317,125 1.591325 504,649 (2)%
0.15% 3,595,049 1.611857 5,794,705 (5)%
Warburg Pincus Emerging Growth
Fund - Common Shares .................. 0.95% 5,372 1.656008 8,896 3%
0.80% 765,869 1.660056 1,271,385 3%
0.70% 513,724 1.662760 854,200 4%
0.55% 359,057 1.666824 598,485 4%
0.40% 397,097 1.670898 663,509 4%
0.25% 76,545 1.674982 128,211 4%
0.20% 34,107 1.671637 57,015 4%
0.15% 561,477 1.677711 941,996 4%
========= ========== ------------
Total Contract Owners' Equity .......... $4,044,050,373
=============
</TABLE>
(a) These investment options were not being utilized for the entire year.
Accordingly, the period return was computed for such period as the
investment option was utilized. These investment options became
available to the Account on May 1, 2000.
(b) The period return does not include contract charges satisfied by
surrendering units.
37
<PAGE> 38
NACO VARIABLE ACCOUNT
NOTES TO FINANCIAL STATEMENTS, CONTINUED
(UNAUDITED)
(5) VARIABLE ACCOUNT FEES
The following is a summary of variable account fees for the period January
1, 2000 to June 30, 2000.
<TABLE>
<CAPTION>
Percentage TOTAL ACGrI ACIncGro ACIntlDisc ACUltra ACValue
--------------------------- ----------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
0.95% .......... $ 6,469,386 287,722 43 76 1,002,697 --
0.90% .......... 2,840,270 150,151 -- -- 416,181 --
0.80% .......... 2,924,618 135,177 25,522 53,960 334,047 28
0.70% .......... 428,927 -- 9,559 26,494 -- 2
0.65% .......... 747,036 43,334 -- -- 113,953 --
0.60% .......... 97,349 2,541 -- -- 13,309 --
0.55% .......... 243,944 -- 7,719 19,453 -- 24
0.50% .......... 216,195 13,429 -- -- 37,805 --
0.45% .......... 6,422 -- -- -- -- --
0.40% .......... 1,001,195 47,052 2,098 9,698 168,361 --
0.25% .......... 17,771 -- 471 1,488 -- --
0.20% .......... 3,623 -- 94 182 -- --
0.15% .......... 70,878 -- 1,614 10,534 -- 1
0.10% .......... 158 -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total variable account fees $15,067,772 679,406 47,120 121,885 2,086,353 55
=========== =========== =========== =========== =========== ===========
</TABLE>
<TABLE>
<CAPTION>
Percentage BdFdAm BrnCapSmCo DryApp DryPreMCap
--------------------------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
0.95% .......... 31,215 -- 43 15
0.90% .......... 15,607 -- -- --
0.80% .......... 8,993 3,198 8,150 2,214
0.70% .......... -- 1,545 3,560 863
0.65% .......... 4,460 -- -- --
0.60% .......... 195 -- -- --
0.55% .......... -- 806 1,778 711
0.50% .......... 1,076 -- -- --
0.45% .......... -- -- -- --
0.40% .......... 4,015 417 813 221
0.25% .......... -- 70 98 6
0.20% .......... -- 9 26 4
0.15% .......... -- 611 687 197
0.10% .......... -- -- -- --
----------- ----------- ----------- -----------
Total variable account fees 65,561 6,656 15,155 4,231
=========== =========== =========== ===========
</TABLE>
<TABLE>
<CAPTION>
Percentage DryPrm3CZ EvIncGro FedBdFd FedUSGvt FAGrOppA FAHiYld
--------------------------- --------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
0.95% .......... $ 192 5,416 -- 16,370 53 32
0.90% .......... -- 2,600 -- 7,632 -- --
0.80% .......... 158,115 1,409 1,076 3,741 5,251 1,572
0.70% .......... 67,111 -- 226 -- 1,284 874
0.65% .......... -- 681 -- 2,113 -- --
0.60% .......... -- 12 -- 70 -- --
0.55% .......... 40,159 -- 271 -- 1,290 795
0.50% .......... -- 237 -- 865 -- --
0.45% .......... -- -- -- -- -- --
0.40% .......... 13,222 1,034 13 2,230 399 220
0.25% .......... 2,195 -- 7 -- 34 --
0.20% .......... 1,018 -- -- -- 5 2
0.15% .......... 10,386 -- 41 -- 217 90
0.10% .......... -- -- -- -- -- --
--------- --------- --------- --------- --------- ---------
Total variable account fees $ 292,398 11,389 1,634 33,021 8,533 3,585
========= ========= ========= ========= ========= =========
</TABLE>
<TABLE>
<CAPTION>
Percentage FidCapInc FidContr FidEqInc FidMgIn
--------------------------- --------- --------- --------- ---------
<S> <C> <C> <C> <C>
0.95% .......... 3,808 1,222,211 629,859 487,149
0.90% .......... 1,463 529,626 322,497 207,616
0.80% .......... 1,151 364,300 191,186 152,734
0.70% .......... -- -- -- --
0.65% .......... 1,785 127,317 89,113 51,742
0.60% .......... -- 21,014 6,161 8,017
0.55% .......... -- -- -- --
0.50% .......... 481 44,206 25,000 17,855
0.45% .......... -- -- -- --
0.40% .......... 546 140,846 93,618 50,698
0.25% .......... -- -- -- --
0.20% .......... -- -- -- --
0.15% .......... -- -- -- --
0.10% .......... -- -- -- --
--------- --------- --------- ---------
Total variable account fees 9,234 2,449,520 1,357,434 975,811
========= ========= ========= =========
</TABLE>
38
<PAGE> 39
NACO VARIABLE ACCOUNT
NOTES TO FINANCIAL STATEMENTS, CONTINUED
(UNAUDITED)
<TABLE>
<CAPTION>
Percentage FidOTC FidPurtn InvDynam InvTotRet InvCoAm MASFIP MFSGrStk MFSGrOpp MFSHiInc
--------------------------- -------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
0.95% .......... $335,681 92,898 249 7 250,241 10,244 40,860 44,474 34,048
0.90% .......... 165,811 41,186 -- -- 111,319 4,219 20,073 22,423 13,954
0.80% .......... 124,060 25,004 86,792 2,217 71,485 2,265 15,875 10,506 7,394
0.70% .......... -- -- 35,895 524 -- -- -- -- --
0.65% .......... 51,674 6,567 -- -- 21,614 822 6,231 8,756 4,371
0.60% .......... 5,115 885 -- -- 1,963 186 269 469 244
0.55% .......... -- -- 29,353 581 -- -- -- -- --
0.50% .......... 11,067 2,257 -- -- 7,856 193 1,371 827 745
0.45% .......... -- -- -- -- -- -- -- -- --
0.40% .......... 86,276 7,215 12,832 253 23,166 1,383 6,985 5,428 4,599
0.25% .......... -- -- 1,941 -- -- -- -- -- --
0.20% .......... -- -- 446 2 -- -- -- -- --
0.15% .......... -- -- 12,090 186 -- -- -- -- --
0.10% .......... -- -- -- -- -- -- -- -- --
-------- -------- -------- -------- -------- -------- -------- -------- --------
Total variable account fees $779,684 176,012 179,598 3,770 487,644 19,312 91,664 92,883 65,355
======== ======== ======== ======== ======== ======== ======== ======== ========
</TABLE>
<TABLE>
<CAPTION>
Percentage MSIEqGroB
--------------------------- --------
<S> <C>
0.95% .......... 66
0.90% .......... --
0.80% .......... 4,490
0.70% .......... 1,297
0.65% .......... --
0.60% .......... --
0.55% .......... 1,032
0.50% .......... --
0.45% .......... --
0.40% .......... 652
0.25% .......... 101
0.20% .......... 26
0.15% .......... 405
0.10% .......... --
--------
Total variable account fees 8,069
========
</TABLE>
<TABLE>
<CAPTION>
Percentage NAATAggr NAATCons NAATMod NAATModAgg NAATModCon NWFund NWGroFd NWMyMkt NWIndxFd NSATInc
--------------------------- ------- ------- ------- ------- ------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
0.95% .......... $ 46 -- 7 17 -- 173 13,989 124 130 --
0.90% .......... -- -- -- -- -- -- 8,398 -- -- --
0.80% .......... -- -- -- -- -- 347,410 5,953 102,797 19,224 275
0.70% .......... 8,250 1,795 10,119 10,091 3,272 115,491 -- 48,519 6,534 75
0.65% .......... -- -- -- -- -- -- 1,193 -- -- --
0.60% .......... 2,051 389 2,235 2,867 1,683 -- 178 -- -- --
0.55% .......... -- -- -- -- -- 67,346 -- 29,540 5,104 73
0.50% .......... -- -- -- -- -- -- 324 -- -- --
0.45% .......... 1,260 1,099 770 1,144 572 -- -- -- -- --
0.40% .......... -- -- -- -- -- 23,091 2,379 22,672 1,005 3
0.25% .......... 773 93 286 924 117 2,835 -- 3,546 211 --
0.20% .......... -- -- -- -- -- 1,073 -- 145 68 2
0.15% .......... -- -- -- -- -- 15,171 -- 8,951 1,199 20
0.10% .......... 13 5 40 31 7 -- -- -- -- --
------- ------- ------- ------- ------- ------- ------- ------- ------- -------
Total variable account fees $12,393 3,381 13,457 15,074 5,651 572,590 32,414 216,294 33,475 448
======= ======= ======= ======= ======= ======= ======= ======= ======= =======
</TABLE>
(Continued)
39
<PAGE> 40
NACO VARIABLE ACCOUNT
NOTES TO FINANCIAL STATEMENTS, CONTINUED
(UNAUDITED)
<TABLE>
<CAPTION>
Percentage NSATSmCo NBGuard NBPartTr OppGlob PrBalI PrIntlI PrLgCapGrI PrLgCapVlI PrSmCapI
--------------------------- -------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
0.95% .......... $ 12 66,769 4 86 -- 4 21 -- 5
0.90% .......... -- 28,098 -- -- -- -- -- -- --
0.80% .......... 12,176 20,158 478 14,662 -- -- -- -- --
0.70% .......... 5,313 -- 109 7,497 1,279 618 4,836 838 2,100
0.65% .......... -- 6,568 -- -- -- -- -- -- --
0.60% .......... -- 456 -- -- 590 286 1,914 298 446
0.55% .......... 3,472 -- 64 4,969 -- 1 -- 1 3
0.50% .......... -- 962 -- -- -- -- -- -- --
0.45% .......... -- -- -- -- 204 117 915 186 155
0.40% .......... 2,052 11,469 113 1,901 -- -- -- -- --
0.25% .......... 48 -- -- 292 104 76 219 107 172
0.20% .......... 24 -- -- 74 -- -- -- -- --
0.15% .......... 447 -- 12 1,743 -- -- -- -- --
0.10% .......... -- -- -- -- 33 17 1 7 4
-------- -------- -------- -------- -------- -------- -------- -------- --------
Total variable account fees $ 23,544 134,480 780 31,224 2,210 1,119 7,906 1,437 2,885
======== ======== ======== ======== ======== ======== ======== ======== ========
</TABLE>
<TABLE>
<CAPTION>
Percentage PutIntGro
--------------------------- --------
<S> <C>
0.95% .......... --
0.90% .......... --
0.80% .......... 66
0.70% .......... 19
0.65% .......... --
0.60% .......... --
0.55% .......... 55
0.50% .......... --
0.45% .......... --
0.40% .......... 3
0.25% .......... 18
0.20% .......... --
0.15% .......... 5
0.10% .......... --
--------
Total variable account fees 166
========
</TABLE>
<TABLE>
<CAPTION>
Percentage PutInvFd PutVoyFd SEI500Ix SelGroFd AIMTreas TRIntStk TemForFd WPEmGro
--------------------------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
0.95% .......... $ 346,864 1,007,413 399,358 39,449 18,667 80,539 12 28
0.90% .......... 132,844 424,121 154,078 19,215 7,444 33,714 -- --
0.80% .......... 89,445 274,585 107,396 9,782 3,270 25,570 85,644 3,815
0.70% .......... 9,094 -- -- -- -- -- 41,898 1,946
0.65% .......... 28,936 109,493 45,286 4,790 7,558 8,679 -- --
0.60% .......... 3,752 13,286 4,782 534 207 945 -- --
0.55% .......... 4,376 -- -- -- -- -- 23,658 1,310
0.50% .......... 6,472 30,031 8,825 1,273 308 2,730 -- --
0.45% .......... -- -- -- -- -- -- -- --
0.40% .......... 44,016 123,043 52,232 6,553 2,798 15,931 6,942 702
0.25% .......... 180 -- -- -- -- -- 1,244 115
0.20% .......... 195 -- -- -- -- -- 209 19
0.15% .......... 1,314 -- -- -- -- -- 4,477 480
0.10% .......... -- -- -- -- -- -- -- --
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
Total variable account fees $ 667,488 1,981,972 771,957 81,596 40,252 168,108 164,084 8,415
========== ========== ========== ========== ========== ========== ========== ==========
</TABLE>
40
<PAGE> 41
NACO VARIABLE ACCOUNT
NOTES TO FINANCIAL STATEMENTS, CONTINUED
(UNAUDITED)
The following is a summary of variable account fees for the period January
1, 1999 to June 30, 1999
<TABLE>
<CAPTION>
Percentage TOTAL ACGrI ACIncGro ACIntlDisc ACUltra BdFdAm
--------------------------- ----------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
0.95% .......... $ 5,230,121 240,330 63 2 731,388 35,911
0.90% .......... 2,231,422 120,449 -- -- 303,819 18,032
0.80% .......... 2,121,932 94,982 7,021 1,267 219,752 9,019
0.70% .......... 292,257 -- 2,684 828 -- --
0.65% .......... 610,846 36,814 -- -- 84,706 5,201
0.60% .......... 5,435 -- -- -- -- --
0.55% .......... 150,250 -- 1,991 412 -- --
0.50% .......... 145,094 7,366 -- -- 21,913 1,032
0.45% .......... 3,398 -- -- -- -- --
0.40% .......... 765,382 36,861 398 542 122,700 4,550
0.30% .......... 4,503 249 16 -- 1,151 --
0.25% .......... 10,547 -- 135 26 -- --
0.20% .......... 43,273 -- 400 180 -- --
0.15% .......... 32 -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total variable account fees $11,614,492 537,051 12,708 3,257 1,485,429 73,745
=========== =========== =========== =========== =========== ===========
</TABLE>
<TABLE>
<CAPTION>
Percentage DryApp DryPreMCap DryPrm3CZ EvIncGro
--------------------------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
0.95% .......... 76 2 743 6,143
0.90% .......... -- -- -- 3,104
0.80% .......... 3,300 356 127,967 1,148
0.70% .......... 2,057 134 53,955 --
0.65% .......... -- -- -- 899
0.60% .......... -- -- -- --
0.55% .......... 826 43 29,573 --
0.50% .......... -- -- -- 150
0.45% .......... -- -- -- --
0.40% .......... 362 12 10,716 1,139
0.30% .......... 11 -- 177 --
0.25% .......... 54 -- 1,985 --
0.20% .......... 407 55 8,487 --
0.15% .......... -- -- -- --
----------- ----------- ----------- -----------
Total variable account fees 7,093 602 233,603 12,583
=========== =========== =========== ===========
</TABLE>
<TABLE>
<CAPTION>
Percentage FedBdFd FedUSGvt FAGrOppA FAHiYld FidCapInc FidContr FidEqInc
--------------------------- --------- --------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C> <C>
0.95% .......... $ -- 23,450 1 1 4,234 1,028,680 738,341
0.90% .......... -- 10,672 -- -- 1,442 435,701 362,050
0.80% .......... 1,030 5,872 1,441 512 1,161 289,242 207,459
0.70% .......... 63 -- 593 391 -- -- --
0.65% .......... -- 2,687 -- -- 2,262 105,921 111,960
0.60% .......... -- -- -- -- -- -- --
0.55% .......... 224 -- 648 601 -- -- --
0.50% .......... -- 733 -- -- 203 33,339 25,046
0.45% .......... -- -- -- -- -- -- --
0.40% .......... 122 3,582 149 2 549 118,546 116,321
0.30% .......... -- -- 2 -- -- -- --
0.25% .......... 13 -- 4 -- -- -- --
0.20% .......... 37 -- 38 63 -- -- --
0.15% .......... -- -- -- -- -- -- --
--------- --------- --------- --------- --------- --------- ---------
Total variable account fees $ 1,489 46,996 2,876 1,570 9,851 2,011,429 1,561,177
========= ========= ========= ========= ========= ========= =========
</TABLE>
<TABLE>
<CAPTION>
Percentage FidMgIn FidOTC FidPurtn
--------------------------- --------- --------- ---------
<S> <C> <C> <C>
0.95% .......... 412,710 112,841 100,510
0.90% .......... 166,379 46,433 45,101
0.80% .......... 120,095 34,193 26,439
0.70% .......... -- -- --
0.65% .......... 43,125 14,973 7,791
0.60% .......... -- -- --
0.55% .......... -- -- --
0.50% .......... 12,380 2,785 2,739
0.45% .......... -- -- --
0.40% .......... 41,425 22,133 8,965
0.30% .......... -- -- --
0.25% .......... -- -- --
0.20% .......... -- -- --
0.15% .......... -- -- --
--------- --------- ---------
Total variable account fees 796,114 233,358 191,545
========= ========= =========
</TABLE>
(Continued)
41
<PAGE> 42
NACO VARIABLE ACCOUNT
NOTES TO FINANCIAL STATEMENTS, CONTINUED
(UNAUDITED)
<TABLE>
<CAPTION>
Percentage InvDynam InvTotRet InvCoAm MASFIP MFSGrStk MFSGrOpp MFSHiInc MSIEqGroB NAATAggr NAATCons
--------------------------- ------- ------- ------- ------- ------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
0.95% .......... $ 1 -- 222,852 13,615 33,363 36,407 39,855 -- 2 --
0.90% .......... -- -- 93,639 6,319 15,076 18,355 14,970 -- -- --
0.80% .......... 1,805 1,367 57,771 1,965 11,542 8,951 7,813 571 -- --
0.70% .......... 1,153 111 -- -- -- -- -- 68 4,061 1,493
0.65% .......... -- -- 18,823 1,392 4,912 6,862 4,849 -- -- --
0.60% .......... -- -- -- -- -- -- -- -- 1,204 421
0.55% .......... 551 159 -- -- -- -- -- 85 -- --
0.50% .......... -- -- 5,967 122 971 909 766 -- -- --
0.45% .......... -- -- -- -- -- -- -- -- 579 1,292
0.40% .......... 722 136 19,582 1,773 5,514 4,564 5,734 60 -- --
0.30% .......... 2 -- -- -- -- -- -- -- -- --
0.25% .......... 14 -- -- -- -- -- -- 1 229 139
0.20% .......... 234 36 -- -- -- -- -- 41 -- --
0.15% .......... -- -- -- -- -- -- -- -- 1 3
------- ------- ------- ------- ------- ------- ------- ------- ------- -------
Total variable account fees $ 4,482 1,809 418,634 25,186 71,378 76,048 73,987 826 6,076 3,348
======= ======= ======= ======= ======= ======= ======= ======= ======= =======
</TABLE>
<TABLE>
<CAPTION>
Percentage NAATMod NAATModAgg NAATModCon NWFund NWGroFd NWMyMkt NWIndxFd NSATSmCo NBGuard NBPartTr
--------------------------- ------- ------- ------- ------- ------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
0.95% .......... $ -- 4 1 4,912 16,017 1,257 46 29 74,078 --
0.90% .......... -- -- -- -- 9,138 -- -- -- 32,862 --
0.80% .......... -- -- -- 364,195 5,424 88,572 3,874 5,387 19,787 96
0.70% .......... 6,058 5,126 2,555 129,108 -- 39,787 2,557 2,055 -- 176
0.65% .......... -- -- -- -- 1,409 -- -- -- 8,048 --
0.60% .......... 1,035 1,067 492 -- -- -- -- -- -- --
0.55% .......... -- -- -- 69,119 -- 24,278 890 1,456 -- 201
0.50% .......... -- -- -- -- 386 -- -- -- 1,234 --
0.45% .......... 464 456 373 -- -- -- -- -- -- --
0.40% .......... -- -- -- 26,507 2,513 17,511 318 1,017 13,839 4
0.30% .......... -- -- -- 929 12 481 -- 3 -- --
0.25% .......... 41 404 99 3,502 -- 2,678 74 58 -- --
0.20% .......... -- -- -- 20,501 -- 8,216 374 201 -- 1
0.15% .......... 14 14 -- -- -- -- -- -- -- --
------- ------- ------- ------- ------- ------- ------- ------- ------- -------
Total variable account fees $ 7,612 7,071 3,520 618,773 34,899 182,780 8,133 10,206 149,848 478
======= ======= ======= ======= ======= ======= ======= ======= ======= =======
</TABLE>
42
<PAGE> 43
NACO VARIABLE ACCOUNT
NOTES TO FINANCIAL STATEMENTS, CONTINUED
(UNAUDITED)
<TABLE>
<CAPTION>
Percentage OppGlob PrBalI PrIntlI PrLgCapGrI PrLgCapVlI PrSmCapI PutInvFd
--------------------------- --------- --------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C> <C>
0.95% .......... $ 4 1 1 -- -- -- 305,584
0.90% .......... -- -- -- -- -- -- 110,885
0.80% .......... 357 -- -- -- -- -- 59,269
0.70% .......... 246 543 238 548 234 493 --
0.65% .......... -- -- -- -- -- -- 27,615
0.60% .......... -- 218 162 454 209 173 --
0.55% .......... 167 -- -- -- -- -- --
0.50% .......... -- -- -- -- -- -- 4,007
0.45% .......... -- 64 24 36 42 68 --
0.40% .......... 57 -- -- -- -- -- 38,609
0.30% .......... 1 -- -- -- -- -- 687
0.25% .......... -- 56 7 41 15 12 --
0.20% .......... 53 -- -- -- -- -- --
0.15% .......... -- -- -- -- -- -- --
--------- --------- --------- --------- --------- --------- ---------
Total variable account fees $ 885 882 432 1,079 500 746 546,656
========= ========= ========= ========= ========= ========= =========
</TABLE>
<TABLE>
<CAPTION>
Percentage PutVoyFd SEI500Ix SelGroFd
--------------------------- --------- --------- ---------
<S> <C> <C> <C>
0.95% .......... 640,442 301,204 29,130
0.90% .......... 247,168 124,066 14,063
0.80% .......... 156,320 77,588 6,949
0.70% .......... -- -- --
0.65% .......... 68,605 36,813 3,436
0.60% .......... -- -- --
0.55% .......... -- -- --
0.50% .......... 14,222 5,358 707
0.45% .......... -- -- --
0.40% .......... 71,422 41,506 5,281
0.30% .......... 684 -- --
0.25% .......... -- -- --
0.20% .......... -- -- --
0.15% .......... -- -- --
--------- --------- ---------
Total variable account fees 1,198,863 586,535 59,566
========= ========= =========
</TABLE>
<TABLE>
<CAPTION>
Percentage AIMTreas TRIntStk TemForFd WPEmGro
--------------------------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
0.95% .......... $ 11,725 63,357 807 1
0.90% .......... 6,135 25,564 -- --
0.80% .......... 2,126 17,506 70,063 378
0.70% .......... -- -- 34,713 229
0.65% .......... 4,064 7,679 -- --
0.60% .......... -- -- -- --
0.55% .......... -- -- 18,906 120
0.50% .......... 270 2,489 -- --
0.45% .......... -- -- -- --
0.40% .......... 2,020 12,799 4,767 53
0.25% .......... -- -- 98 --
0.20% .......... -- -- 960 --
0.15% .......... -- -- 3,932 17
0.10% .......... -- -- -- --
-------- -------- -------- --------
Total variable account fees $ 26,340 129,394 134,246 798
======== ======== ======== ========
</TABLE>
43
<PAGE> 44
NATIONWIDE LIFE INSURANCE COMPANY --------------
HOME OFFICE: ONE NATIONWIDE PLAZA - COLUMBUS, OHIO 43215-2220 Bulk Rate
U.S. Postage
PAID
Columbus, Ohio
Permit No. 521
--------------
Nationwide(R) is a registered federal service mark of Nationwide Mutual
Insurance Company