CONSECO SERIES TRUST
Asset Allocation Portfolio
Statement of Investments in Securities
December 31, 1997
===============================================================
NUMBER
OF SHARES SECURITY VALUE
- ---------------------------------------------------------------
Common Stocks
(55.94% of total investments) (a)
APPAREL AND ACCESSORY STORES (1.90%)
14,850 The Finish Line, Inc. (b).............. $ 194,906
11,950 Goody's Family Clothing, Inc. (b)...... 324,885
-----------
519,791
-----------
BUSINESS SERVICES (7.15%)
16,450 Affiliated Computer Services, Inc. (b). 432,832
10,200 Autodesk, Inc. ........................ 377,400
9,050 DataWorks Corporation (b).............. 179,869
11,100 First Data Corporation................. 324,675
9,100 Rent-Way, Inc. (b)..................... 168,350
14,850 Renter's Choice, Inc. (b).............. 304,425
8,800 Sotheby's Holdings, Inc. .............. 162,800
-----------
1,950,351
-----------
CHEMICALS AND ALLIED PRODUCTS (0.76%)
5,000 The B.F. Goodrich Company.............. 207,185
-----------
COMMUNICATIONS BY PHONE, TELEVISION,
RADIO, CABLE (3.54%)
24,150 Brightpoint, Inc. (b).................. 335,081
10,800 Cincinnati Bell, Inc. ................. 334,800
20,350 LCC International, Inc. (b)............ 295,075
-----------
964,956
-----------
DEPOSITORY INSTITUTIONS (3.34%)
10,950 John Alden Financial Corporation....... 262,800
8,500 Norwest Corporation.................... 328,313
2,850 U.S. Bancorp........................... 319,020
-----------
910,133
-----------
DURABLE GOODS-- WHOLESALE (3.77%)
18,500 IKON Office Solutions, Inc. ........... 520,312
9,150 Pomeroy Computer Resources, Inc. (b)... 162,413
14,000 Watsco, Inc. .......................... 345,618
-----------
1,028,343
-----------
EATING AND DRINKING PLACES (0.87%)
10,300 ShowBiz Pizza Time, Inc. (b)........... 236,900
-----------
ELECTRIC, GAS, WATER, COGENERATION,
SANITARY SERVICES (2.46%)
19,800 Kinder Morgan Energy Partners, L.P. ... 670,725
-----------
ELECTRICAL EQUIPMENT,
EXCEPT COMPUTERS (1.76%)
7,150 Comverse Technology, Inc. (b).......... 278,850
12,100 Exar Corporation (b)................... 199,650
-----------
478,500
-----------
FOOD STORES (0.90%)
9,650 Casey's General Stores, Inc. .......... 244,869
-----------
GENERAL MERCHANDISE STORES (1.92%)
17,875 Family Dollar Stores, Inc. ............ 523,952
-----------
HEALTH SERVICES (1.67%)
6,700 Prime Medical Services, Inc. (b)....... 92,540
13,875 Quorum Health Group, Inc. (b).......... 362,484
-----------
455,024
-----------
HOME FURNISHING AND
EQUIPMENT STORES (1.20%)
8,450 Tandy Corporation...................... 325,849
-----------
HOUSING AND OTHER LODGING PLACES (1.81%)
11,190 Fairfield Communities, Inc. (b)........ 493,759
-----------
INDUSTRIAL, COMMERCIAL MACHINERY,
COMPUTERS (2.48%)
12,550 EMC Corporation (b).................... 344,334
8,700 Lexmark International Group, Inc. (b).. 330,600
-----------
674,934
-----------
MEASURING INSTRUMENTS, PHOTO GOODS,
WATCHES (6.57%)
9,250 Analogic Corporation................... 351,500
10,350 DENTSPLY International, Inc. .......... 315,675
10,200 Sola International, Inc. (b)........... 331,500
6,650 STERIS Corporation (b)................. 320,863
12,550 Waters Corporation (b)................. 472,194
-----------
1,791,732
-----------
NON-DURABLE GOODS WHOLESALE (1.58%)
4,500 Chemed Corporation..................... 186,467
12,400 U.S. Office Products Company (b)....... 243,350
-----------
429,817
-----------
OIL AND GAS EXTRACTION (4.54%)
4,250 BJ Services Company (b)................ 305,732
12,450 Enron Oil & Gas Company................ 263,778
5,850 Ocean Energy, Inc. (b)................. 288,475
7,900 Transocean Offshore Inc. .............. 380,677
-----------
1,238,662
-----------
PAPER AND ALLIED PRODUCTS (1.70%)
5,800 Schweitzer-Mauduit International, Inc. 216,050
2,750 St. Joe Corporation.................... 248,875
-----------
464,925
-----------
PERSONAL SERVICES (0.90%)
5,500 H&R Block, Inc. ....................... 246,466
-----------
RAILROAD TRANSPORTATION (1.57%)
13,500 Kansas City Southern Industries, Inc. . 428,625
-----------
SECURITY AND COMMODITY BROKERS (1.90%)
3,100 Franklin Resources, Inc. .............. 269,505
7,100 The John Nuveen Company................ 248,500
-----------
518,005
-----------
STONE, CLAY, GLASS, CONCRETE (1.65%)
15,600 Department 56, Inc. (b)................ 448,500
-----------
Total common stocks (cost $14,130,464). $15,252,003
-----------
(Continued)
11
<PAGE>
CONSECO SERIES TRUST
Asset Allocation Portfolio
Statement of Investments in Securities - Continued
December 31, 1997
================================================================================
NUMBER
OF SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
Preferred Stocks
(5.61% of total investments) (a)
COMMUNICATIONS BY PHONE, TELEVISION,
RADIO, CABLE (2.95%)
28,000 Intermedia Communications Inc., 7% PFD ... $ 805,000
-----------
ELECTRIC, GAS, WATER, COGENERATION,
SANITARY SERVICES (2.66%)
14,000 The AES Corporation Trust II, 5.5% CUM CVT PFD 726,250
-----------
Total preferred stocks (cost $1,400,000) .. $ 1,531,250
-----------
PRINCIPAL
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------
Corporate Bonds
(34.78% of total investments) (a)
APPAREL AND OTHER FINISHED PRODUCTS (0.47%)
$ 125,000 Guess?, Inc., 9.500%, due 08/15/2003... $ 129,062
-----------
AUTO REPAIR AND PARKING (0.81%)
200,000 Amerco -MTN, 7.470%, due 01/15/2027.... 219,500
-----------
BUSINESS SERVICES (0.74%)
200,000 Computervision Corporation, 11.375%,
due 08/15/1999......................... 202,000
-----------
COMMUNICATIONS BY PHONE, TELEVISION,
RADIO, CABLE (2.39%)
240,000 Cencall Communications, 0.000%,
due 01/15/2004......................... 217,500
190,000 Continental Cablevision, Inc., 9.000%,
due 09/01/2008......................... 221,588
200,000 Peoples Telephone Co., Inc., 12.250%,
due 07/15/2002......................... 212,500
-----------
651,588
-----------
DEPOSITORY INSTITUTIONS (2.10%)
200,000 Anchor Bancorp, Inc., 8.938%,
due 07/09/2003 ..... ................ 207,750
250,000 Centura Capital Trust I, 8.845%,
due 06/01/2027 (d)..................... 277,178
100,000 Hutchison Whampoa Finance, 7.450%,
due 08/01/2017 (d)..................... 88,865
-----------
573,793
-----------
DURABLE GOODS -- WHOLESALE (3.01%)
375,000 Cellstar Corporation, 5.000%,
due 10/15/2002 (d)...... .............. 275,625
500,000 Pioneer Standard Electronics, Inc., 8.500%,
due 08/01/2006......................... 545,000
-----------
820,625
-----------
ELECTRIC, GAS, WATER, COGENERATION,
SANITARY SERVICES (3.54%)
450,000 CMS Energy Corporation, 7.625%,
due 11/15/2004......................... 452,813
4,000 System Energy Resources, Inc., 11.375%,
due 09/01/2016......................... 4,000
500,000 Trench Electric S.A. and Trench Inc., 10.250%,
due 12/15/2007(d)...................... 509,375
-----------
966,188
-----------
HOME FURNITURE AND EQUIPMENT STORES (1.90%)
500,000 MacSaver Financial Services, 7.875%,
due 08/01/2003......................... 517,500
-----------
INSURANCE COMPANIES (0.51%)
100,000 Delphi Financial, 8.000%,
due 10/01/2003 ........................ 103,625
100,000 Home Holdings, Inc., 8.625%,
due 12/15/2003 ........................ 34,500
-----------
138,125
-----------
MINING -- METALS AND ORES (1.47%)
500,000 Echo Bay Mines, 11.000%, due 04/01/2027 400,000
-----------
MISCELLANEOUS MANUFACTURING (0.74%)
200,000 USI American Holdings Inc., 7.250%,
due 12/01/2006......................... 201,750
-----------
MISCELLANEOUS RETAIL (0.77%)
200,000 Phar-Mor, Inc., 11.720%, 09/11/2002.... 210,500
-----------
NON-DEPOSITORY CREDIT INSTITUTIONS (1.11%)
300,000 MCN Financing VI, 6.850%, due 10/28/1999 (d) 303,084
-----------
OIL AND GAS EXTRACTION (9.39%)
650,000 LASMO (USA), Inc., 6.750%, due 12/15/2007 656,500
200,000 Parker Drilling Corporation, 9.750%,
due 11/15/2006......................... 216,000
500,000 Petrozuata Finance, Inc., 8.220%,
due 04/01/2017 (d)..................... 518,750
500,000 Pride Petroleum Services, Inc., 9.375%,
due 05/01/2007......................... 538,750
600,000 Triton Energy Ltd., 9.250%, due 04/15/2005 630,000
-----------
2,560,000
-----------
PAPER AND ALLIED PRODUCTS (0.39%)
100,000 Westvaco Corporation, 10.300%, due 01/15/2019 106,250
-----------
SECURITY AND COMMODITY BROKERS (3.59%)
55,000 Lehman Brothers, Inc., 7.375%, due 01/15/2007 57,681
250,000 Lehman Brothers Holdings Inc.,
Series E - MTN, 6.625%, due 12/27/2002. 251,562
550,000 Salomon Inc., 7.300%, due 05/15/2002... 569,250
100,000 Salomon Inc. Series C - MTN, 6.500%,
due 08/15/2003......................... 99,625
-----------
978,118
-----------
STONE, CLAY, GLASS, CONCRETE (0.79%)
200,000 USG Corporation, 9.250%, due 09/15/2001 215,750
-----------
TEXTILE MILL PRODUCTS (0.66%)
200,000 Polysindo International Finance Company, 13.000%,
due 06/15/2001......................... 180,000
-----------
U.S. GOVERNMENT AND AGENCY
OBLIGATIONS (0.40%)
100,000 U.S. Treasury Note, 7.250%,
due 08/15/2004 ........................ 108,152
-----------
Total corporate bonds
(cost $9,437,694) ..................... 9,481,985
-----------
Commercial Paper
(3.67% of total investments) (a)
DEPOSITORY INSTITUTIONS (3.67%)
1,000,000 UBS Finance (DE), Inc., 6.500%,
due 01/02/1998 ................. 999,819
-----------
Total commercial paper (cost $999,819). 999,819
-----------
Total investments in securities
(cost $25,967,978) (c)................ $27,265,057
===========
- ----------------------
(a) Using Standard Industry Codes prepared by the Technical Committee on
Industrial Classifications
(b) Non-dividend paying common stock
(c) Cost also represents cost for federal income tax purposes
(d) Restricted under Rule 144A of the Securities Act of 1933
The accompanying notes are an integral part of these financial statements.
12
<PAGE>
CONSECO SERIES TRUST
Common Stock Portfolio
Statement of Investments in Securities
December 31, 1997
================================================================================
NUMBER
OF SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
Common Stocks
(94.98% of total investments) (a)
APPAREL AND ACCESSORY STORES (3.13%)
196,900 The Finish Line, Inc. (b).............. $ 2,584,313
154,500 Goody's Family Clothing, Inc. (b)...... 4,200,391
-----------
6,784,704
-----------
BUSINESS SERVICES (12.04%)
213,550 Affiliated Computer Services, Inc. (b). 5,618,928
142,900 Autodesk, Inc. ........................ 5,287,300
126,850 DataWorks Corporation (b).............. 2,521,143
143,050 First Data Corporation................. 4,184,213
126,900 Rent-Way, Inc. (b)..................... 2,347,650
192,100 Renter's Choice, Inc. (b).............. 3,938,050
120,250 Sotheby's Holdings, Inc. .............. 2,224,625
-----------
26,121,909
-----------
CHEMICALS & ALLIED PRODUCTS (1.41%)
73,600 The B.F. Goodrich Company.............. 3,049,763
-----------
COMMUNICATIONS BY PHONE, TELEVISION,
RADIO, CABLE (6.03%)
312,250 Brightpoint, Inc. (b).................. 4,332,469
160,250 Cincinnati Bell, Inc. ................. 4,967,750
260,950 LCI International, Inc. (b)............ 3,783,775
-----------
13,083,994
-----------
DEPOSITORY INSTITUTIONS (5.93%)
141,400 John Alden Financial Corporation....... 3,393,600
124,000 Norwest Corporation.................... 4,789,500
41,850 U.S. Bancorp........................... 4,684,563
-----------
12,867,663
-----------
DURABLE GOODS-- WHOLESALE (6.19%)
239,150 IKON Office Solutions, Inc. ........... 6,726,094
118,650 Pomeroy Computer Resources, Inc. (b)... 2,106,037
185,850 Watsco, Inc. .......................... 4,588,079
-----------
13,420,210
-----------
EATING AND DRINKING PLACES (1.53%)
144,750 ShowBiz Pizza Time, Inc. (b)........... 3,329,250
-----------
ELECTRIC, GAS, WATER, COGENERATION,
SANITARY SERVICES (4.51%)
289,100 Kinder Morgan Energy Partners, L.P. ... 9,793,263
-----------
ELECTRICAL EQUIPMENT,
EXCEPT COMPUTERS (3.01%)
92,200 Comverse Technology, Inc. (b).......... 3,595,800
177,800 Exar Corporation (b)................... 2,933,700
-----------
6,529,500
-----------
FOOD STORES (1.64%)
139,900 Casey's General Stores, Inc. .......... 3,549,962
-----------
GENERAL MERCHANDISE STORES (3.12%)
230,600 Family Dollar Stores, Inc. ............ 6,759,347
-----------
HEALTH SERVICES (2.82%)
92,050 Prime Medical Services, Inc. (b)....... 1,271,395
185,125 Quorum Health Group, Inc. (b).......... 4,836,391
-----------
6,107,786
-----------
HOME FURNITURE AND EQUIPMENT STORES (2.02%)
113,850 Tandy Corporation...................... 4,390,284
-----------
HOTELS, OTHER LODGING PLACES (2.94%)
144,513 Fairfield Communities, Inc. (b)........ 6,376,636
-----------
INDUSTRIAL, COMMERCIAL MACHINERY,
COMPUTERS (4.13%)
161,850 EMC Corporation (b).................... 4,440,678
119,000 Lexmark International Group, Inc. (b).. 4,522,000
-----------
8,962,678
-----------
MEASURING INSTRUMENTS, PHOTO GOODS,
WATCHES (10.94%)
124,600 Analogic Corporation................... 4,734,800
140,050 DENTSPLY International, Inc. .......... 4,271,525
136,650 Sola International, Inc. (b)........... 4,441,125
86,900 STERIS Corporation (b)................. 4,192,925
161,900 Waters Corporation (b)................. 6,091,488
-----------
23,731,863
-----------
NON-DURABLE GOODS WHOLESALE (2.70%)
62,250 Chemed Corporation..................... 2,579,453
166,525 U.S. Office Products Company (b)....... 3,268,053
-----------
5,847,506
-----------
OIL & GAS EXTRACTION (7.48%)
58,200 BJ Services Company (b)................ 4,186,733
160,690 Enron Oil & Gas Company................ 3,404,539
75,400 Ocean Energy, Inc. (b)................. 3,718,125
101,950 Transocean Offshore Inc. .............. 4,912,665
-----------
16,222,062
-----------
PAPER AND ALLIED PRODUCTS (2.90%)
81,400 Schweitzer-Mauduit International, Inc. 3,032,150
35,950 St. Joe Corporation.................... 3,253,475
-----------
6,285,625
-----------
PERSONAL SERVICES (1.48%)
71,700 H&R Block, Inc. ....................... 3,213,020
-----------
RAILROAD TRANSPORTATION (2.56%)
174,650 Kansas City Southern Industries, Inc. . 5,545,137
-----------
SECURITY AND COMMODITY BROKERS (3.59%)
40,050 Franklin Resources, Inc. .............. 3,481,827
99,350 The John Nuveen Company................ 3,477,250
28,950 New England Investment Companies, L.P. 828,694
-----------
7,787,771
-----------
STONE, CLAY, GLASS, CONCRETE (2.88%)
217,000 Department 56, Inc. (b)................ 6,238,750
------------
Total common stocks (cost $189,451,207) $205,998,683
------------
================================================================================
PRINCIPAL
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------
Commercial Paper
(5.02% of total investments) (a)
DEPOSITORY INSTITUTIONS (5.02%)
$10,900,000 UBS Finance (DE), Inc., 6.500%,
due 01/02/1998 ................ $ 10,898,032
------------
Total commercial paper
(cost $10,898,032) ............ 10,898,032
------------
Total investments in securities
(cost $200,349,239) (c) ....... $216,896,715
------------
- --------------------------------------------
(a) Using Standard Industry Codes prepared by the Technical Committee on
Industry Classifications
(b) Non-dividend paying common stock
(c) Cost also represents cost for federal income tax purposes
The accompanying notes are an integral part of these financial statements.
13
<PAGE>
CONSECO SERIES TRUST
Corporate Bond Portfolio
Statement of Investments in Securities
December 31, 1997
================================================================================
PRINCIPAL
AMOUNT SECURITY VALUE
- -------------------------------------------------------------------------------
Corporate Bonds
(60.14% of total investments) (a)
AIR TRANSPORTATION (1.44%)
$ 173,329 Delta Airlines 1992 ETC-C, 8.540%,
due 01/02/2007......................... $ 189,361
99,291 United Airlines 1996-A1 Pass Thru
Certificate,
7.270%, due 01/30/2013................. 101,153
----------
290,514
----------
AUTO REPAIR AND PARKING (2.13%)
100,000 Amerco -MTN, 6.710%, due 10/15/2008.... 100,457
300,000 Amerco -MTN, 7.470%, due 01/15/2027.... 329,250
----------
429,707
----------
BUSINESS SERVICES (1.00%)
200,000 Computervision Corporation, 11.375%,
due 08/15/1999......................... 202,000
----------
CHEMICALS AND ALLIED PRODUCTS (1.02%)
200,000 Smith International, Inc., 7.000%,
due 09/15/2007 ..................... 206,500
----------
COMMUNICATIONS BY PHONE, TELEVISION,
RADIO, CABLE (3.65%)
285,000 Continental Cablevision, Inc., 9.000%,
due 09/01/2008......................... 332,381
100,000 Hutchison Whampoa Finance, YANK Series B,
7.450%, due 08/01/2017 (d)............. 88,865
300,000 News America Holdings, 7.750%,
due 01/20/2024 ........................ 315,750
----------
736,996
----------
DEPOSITORY INSTITUTIONS (5.11%)
300,000 Dao Heng Bank Ltd., 7.750%,
due 01/24/2007 (d) ..................... 264,375
750,000 St. Paul Bancorp, 7.125%,
due 02/15/2004 ......................... 766,875
----------
1,031,250
----------
DURABLE GOODS -- WHOLESALE (2.16%)
400,000 Pioneer Standard Electronics Inc., 8.500%,
due 08/01/2006......................... 436,000
----------
ELECTRIC, GAS, WATER, COGENERATION,
SANITARY SERVICES (14.77%)
250,000 Avon Energy Partners Holdings, 6.730%,
due 12/11/2002 (d)..................... 251,250
500,000 CMS Energy Corporation, 7.375%,
due 11/15/2000 (d)..................... 498,125
500,000 Coastal Corporation, 6.700%,
due 02/15/2027 ................ 516,250
200,000 Long Island Lighting Company, 7.500%,
due 03/01/2007......................... 207,250
100,000 Salton Sea Funding Corporation,
Series E, 8.300%, due 05/30/2011....... 107,250
250,000 Southern Investments Capital, 8.230%,
due 02/01/2027......................... 268,950
250,000 Tata Electric Company, 7.875%,
due 08/19/2007 (d)..................... 240,938
300,000 Tenneco Inc., 10.200%, due 03/15/2008.. 380,625
250,000 Trench Electric S.A. and Trench
Inc., 10.250%, due 12/15/2007 (d)...... 254,687
250,000 USA Waste Services, Inc., 7.000%,
due 10/01/2004......................... 256,875
----------
2,982,200
----------
HOME FURNITURE AND EQUIPMENT
STORES (2.82%)
550,000 MacSaver Financial Services,
7.875%, due 08/01/2003................. 569,250
----------
INSURANCE COMPANIES (3.00%)
150,000 Delphi Financial, 8.000%,
due 10/01/2003 ........................ 155,438
400,000 Delphi Funding LLC, 9.310%,
due 03/25/2027 ........................ 450,500
----------
605,938
----------
LUMBER AND WOOD PRODUCTS,
EXCEPT FURNITURE (1.53%)
300,000 West Fraser Mill, 7.250%,
due 09/15/2002 (d) ..................... 308,250
----------
MINING -- METALS AND ORES (1.73%)
300,000 Echo Bay Mines, 11.000%, due 04/01/2027 240,000
150,000 Pohang Iron and Steel Company,
7.125%, due 11/01/2006.................. 109,366
----------
349,366
----------
MISCELLANEOUS MANUFACTURING (0.50%)
100,000 USI American Holdings, Inc., 7.250%,
due 12/01/2006......................... 100,875
----------
NON-DEPOSITORY CREDIT INSTITUTIONS (4.79%)
100,000 Associates Corporation of North America,
6.450%, due 10/15/2001................. 101,000
250,000 DSPL Finance Company, 9.120%,
due 12/30/2010 (d)..................... 195,288
350,000 MCN Financing VI, 6.850%,
due 10/28/1999 (d)..................... 353,598
300,000 Safeco Capital Trust I, 8.072%,
due 07/15/2037 ....................... 316,125
----------
966,011
----------
OIL AND GAS EXTRACTION (2.57%)
500,000 Petrozuata Finance, Inc., 8.220%,
due 04/01/2017 (d)..................... 518,750
----------
PAPER AND ALLIED PRODUCTS (1.05%)
200,000 Westvaco Corporation, 10.300%,
due 01/15/2019 ....................... 212,500
----------
REAL ESTATE INVESTMENT TRUSTS (REITS) (3.52%)
400,000 Chelsea GCA Realty Partnership, L.P., 7.250%,
due 10/21/2007......................... 407,000
300,000 JDN Realty Corporation, 6.800%,
due 08/01/2004 ........................ 303,750
----------
710,750
----------
SECURITY AND COMMODITY BROKERS (7.35%)
250,000 Lehman Brothers Holdings, Inc., 8.875%,
due 02/15/2000......................... 263,437
250,000 Lehman Brothers Holdings, Inc. Series
E - MTN 6.625%, due 12/27/2002........ 251,562
300,000 Morgan Stanley Finance Plc, 8.030%,
due 02/28/2017......................... 319,500
500,000 Salomon, Inc., 6.250%, due 10/01/1999.. 500,625
150,000 Salomon, Inc. Series C - MTN, 6.500%,
due 08/15/2003......................... 149,438
----------
1,484,562
----------
Total corporate bonds
(cost $11,858,045) .................... $ 12,141,419
==========
(Continued)
14
<PAGE>
CONSECO SERIES TRUST
Corporate Bond Portfolio
Statement of Investments in Securities - Continued
December 31, 1997
================================================================================
PRINCIPAL
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------
Municipal Bonds
(6.88% of total investments) (a)
PUBLIC FINANCE, TAXATION (6.88%)
$ 375,000 Doylestown Pennsylvania, Hospital Authority,
Revenue, 8.375%, due 07/01/2008........ ............. $ 413,906
100,000 Fort Worth Texas, Higher Education, Finance
Corporation, Revenue, 7.500% , due 10/01/2006 ....... 103,000
160,000 Lake County Florida, Resource Recovery, Industrial
Development, Revenue, 7.125%, due 10/01/1999 ........ 160,400
300,000 Mississippi Hospital Equipment and Facilities,
Authority Revenue, 9.100%, due 04/01/2006 ....... 322,500
382,445 Philadelphia Pennsylvania, Authority for Industrial
Development, Revenue, 6.488%, due 06/15/2004 ........ 389,616
----------
Total municipal bonds (cost $ 1,341,469) ............ 1,389,422
----------
Asset Backed Securities
(10.67% of total investments) (a)
200,000 EQCC Home Equity Loan Trust 97-1 A7, 7.120%,
due 05/15/2028....................................... 206,463
200,000 Green Tree Financial Corp 1994-4 A5, 8.300%,
due 07/15/2019....................................... 221,554
119,997 Green Tree Recreational Equipment & Consumer
96-A A1, 5.550%, due 02/15/2018...................... 119,500
466,749 Green Tree Recreational Equipment & Consumer
Trust, 97-C B, 6.750%, due 02/15/2018................ 466,676
292,253 Lehman FHA Title 1 Loan Trust 96-2 A2, 6.780%
due 03/25/2008....................................... 293,760
200,000 National Car Rental Financing Limited Partnership
1996-1 A2, 6.800%, due 04/20/2000.................... 201,926
250,000 Newcourt Receivables Asset Trust 1997-1 A3,
6.110%, due 05/21/2001............................... 250,078
392,736 New York City Tax Lien 1996-1 B, 6.910%,
due 05/25/2005....................................... 393,042
----------
Total asset backed securities
(cost $ 2,124,306)................................... 2,152,999
==========
Collateralized Mortgage Obligations
(6.40% of total investments) (a)
138,624 FHLMC Structured Pass Through Securities T-4 A1,
7.625%, due 08/25/2022................................ 142,176
500,000 Iroquois Trust 97-1 A, 7.000%, due 12/15/2006 ........ 503,887
228,915 JP Morgan Commercial Mortgage Finance
Corporation 96-C2 A, 6.470%, due 11/25/2027 ........ 231,455
180,863 JP Morgan Commercial Mortgage Finance
Corporation 97-C4 A1, 6.939%, due 12/26/2028 ......... 183,237
223,639 Rural Housing Trust 1987-1 3B, 7.330%,
due 04/01/2026........................................ 230,698
----------
Total collateralized mortgage obligations
(cost $ 1,277,335).................................... 1,291,453
==========
U. S. Government and Agency Obligations
(10.96% of total investments) (a)
405,951 Federal Home Loan Mortgage Corp., # G00479,
9.000%, due 04/01/2025.................................. 431,958
250,000 Federal Home Loan Bank, 5.825%,
due 11/19/1999.......................................... 250,045
33,175 Federal National Mortgage Assn., # 062289,
6.710%, due 03/01/2028.................................. 33,714
228,920 Federal National Mortgage Assn., # 183567,
7.500%, due 11/01/2022.................................. 234,357
213,983 Federal National Mortgage Assn., # 286122,
7.000%, due 06/01/2024.................................. 215,655
189,396 Federal National Mortgage Assn., # 349410,
7.000%, due 08/01/2026.................................. 190,875
1,397 Government National Mortgage Assn., # 051699,
15.000%, due 07/15/2011................................. 1,666
2,630 Government National Mortgage Assn., # 056522,
14.000%, due 08/15/2012................................. 3,120
85,943 Government National Mortgage Assn., # 354859,
9.000%, due 07/15/2024.................................. 91,959
250,000 U.S. Treasury Bond, 6.125%, due 08/15/2007 ............. 257,017
500,000 U.S. Treasury Note, 5.875%, due 08/31/1999 ............. 501,715
----------
Total U.S. government and agency obligations
(cost $ 2,184,384)...................................... 2,212,081
----------
Commercial Paper
(4.95% of total investments) (a)
DEPOSITORY INSTITUTIONS (4.95%)
1,000,000 UBS Finance (DE), Inc., 6.500%, due 01/02/1998 ... 999,819
-----------
Total commercial paper (cost $ 999,819) .......... 999,819
-----------
Total investments in securities
(cost $ 19,785,358) (c) .......................... $20,187,193
===========
- ----------
(a) Using Standard Industry Codes prepared by the Technical Committee on
Industrial Classifications
(b) Non-dividend paying common stock
(c) Cost also represents cost for federal income tax purposes
(d) Restricted under Rule 144A of the Securities Act of 1933
The accompanying notes are an integral part of these financial statements.
15
<PAGE>
CONSECO SERIES TRUST
Government Securities Portfolio
Statement of Investments in Securities
December 31, 1997
================================================================================
PRINCIPAL
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------
Corporate Bonds
(17.35% of total investments) (a)
COMMUNICATIONS BY PHONE, TELEVISION,
RADIO, CABLE (6.78%)
$ 250,000 LCI International, Inc., 7.250%,
due 06/15/2007. ..................................... $ 260,000
----------
PETROLEUM-REFINING AND
RELATED INDUSTRIES (2.68%)
100,000 Ultramar Diamond Shamrock Corporation,
7.200%, due 10/15/2017............................... 102,875
----------
SECURITY AND COMMODITY BROKERS (7.89%)
100,000 Lehman Brothers Holdings, Inc., Series E,
MTN, 6.710%, due 10/12/1999......................... 101,000
100,000 Lehman Brothers Holdings, Inc., Series E,
MTN, 6.625%, due 12/27/2002.......................... 100,625
100,000 Salomon, Inc., 6.750%, due 02/15/2003................ 101,375
---------
303,000
---------
Total corporate bonds (cost $657,678)................ 665,875
=========
Municipal Bonds
(5.23% of total investments) (a)
PUBLIC FINANCE, TAXATION (5.23%)
200,000 Carondelet California Health Systems, 6.250%,
due 07/01/2001....................................... 200,500
Total municipal bonds (cost $199,868)................ 200,500
Asset Backed Securities
(16.69% of total investments) (a)
200,000 EQCC Home Equity Loan Trust 97-1 A7, 7.120%,
due 05/15/2028....................................... 206,463
233,374 Green Tree Recreational Equipment & Consumer
Trust, 97-C B, 6.750%, due 02/15/2018................ 233,338
200,000 Tiers Asset-Backed Securities, Series CHAMT
Trust 1997-7, 6.688%, due 11/15/2003................. 200,875
---------
640,676
---------
Total asset backed securities
(cost $636,555)...................................... 640,676
=========
U. S. Government and Agency Obligations
(60.73% of total investments) (a)
250,000 Federal Home Loan Bank, 7.200%, due 11/06/2007 250,117
173,265 Federal Home Loan Mortgage Corp., # D66012,
7.000%, due 11/01/2025............................... 174,944
106,522 Federal Home Loan Mortgage Corp., # E00441,
7.500%, due 07/01/2011............................... 109,384
150,000 Federal Home Loan Mortgage Corp., Multi Family
Pool, 6.775%, due 11/01/2003......................... 153,680
121,130 Federal National Mortgage Assn., # 174166,
8.000%, due 06/01/2002............................... 124,045
135,278 Federal National Mortgage Assn., # 303780,
7.000%, due 03/01/2026............................... 136,335
300,000 Federal National Mortgage Assn., Medium Term
Note, 8.000%, due 02/06/2012......................... 300,354
429,801 Government National Mortgage Assn., # 408675,
7.500%, due 01/15/2026............................... 440,680
1,500 Government National Mortgage Assn., # 044522,
13.000%, due 03/15/2011.............................. 1,755
7,028 Government National Mortgage Assn., # 119896,
13.000%, due 11/15/2014.............................. 8,224
100,000 Tennessee Valley Authority, 6.250%,
due 12/15/2017....................................... 100,250
200,000 U.S. Treasury Bond, 8.000%, due 11/15/2021 .......... 249,492
75,000 U.S. Treasury Bond, 6.625%, due 02/15/2027 .......... 81,409
200,000 U.S. Treasury Note, 5.750%, due 08/15/2003 .......... 200,174
-----------
2,330,843
-----------
Total U.S. government and agency obligations
(cost $2,305,368).................................... 2,330,843
-----------
Total investments in securities
(cost $3,799,469) (b)................................ $ 3,837,894
===========
- ------------------
(a) Using Standard Industry Codes prepared by the Technical Committee on
Industrial Classifications
(b) Cost also represents cost for federal income tax purposes
The accompanying notes are an integral part of these financial statements.
16
<PAGE>
CONSECO SERIES TRUST
Money Market Portfolio
Statement of Investments in Securities
December 31, 1997
================================================================================
PRINCIPAL
AMOUNT SECURITY VALUE (b)
- --------------------------------------------------------------------------------
Commercial Paper
(100.00% of total investments) (a)
BUSINESS SERVICES (4.72%)
$ 390,000 First Data Corporation, 5.600%,
due 02/18/1998 ........................................ 387,088
-----------
CHEMICALS AND ALLIED PRODUCTS (4.82%)
400,000 Schering Corporation, 5.720%,
due 03/19/1998 ........................................ 395,106
-----------
COMMUNICATIONS BY PHONE, TELEVISION,
RADIO, CABLE (14.24%)
400,000 Ameritech Corporation, 5.580%, due 01/23/1998 ......... 398,636
380,000 AT&T Corporation, 5.500%, due 01/02/1998 .............. 379,942
390,000 Lucent Technologies, Inc., 5.550%,
due 01/22/1998 ........................................ 388,738
-----------
1,167,316
-----------
DEPOSITORY INSTITUTIONS (4.67%)
385,000 Abbey National PLC, 5.510%,
due 02/03/1998 ........................................ 383,056
-----------
ELECTRIC, GAS, WATER, COGENERATION,
SANITARY SERVICES (4.59%)
380,000 Southern Company, 5.740%,
due 03/02/1998 ........................................ 376,365
-----------
FOOD AND KINDRED PRODUCTS (4.97%)
410,000 Archer Daniels Midland Company, 5.640%,
due 02/09/1998......................................... 407,495
-----------
FOOD STORES (9.74%)
420,000 Southland Corporation, 5.630%, due 01/16/1998 ......... 419,015
380,000 Winn-Dixie Stores, Inc., 5.520%,
due 01/06/1998 ........................................ 379,709
-----------
798,724
-----------
GENERAL MERCHANDISE STORES (4.62%)
380,000 May Department Stores Company, 5.520%,
due 01/23/1998......................................... 378,718
-----------
INSURANCE COMPANIES (4.63%)
380,000 AON Corporation, 5.560%, due 01/09/1998 ............... 379,530
-----------
NON-DEPOSITORY CREDIT INSTITUTIONS (18.81%)
410,000 American General Finance Corporation, 5.590%,
due 02/27/1998......................................... 406,371
380,000 Associates Corporation of North America, 5.520%,
due 01/26/1998......................................... 378,544
380,000 General Electric Capital Corporation, 5.530%,
due 02/11/1998......................................... 377,606
380,000 National Rural Utilities Corporation, 5.530%,
due 01/09/1998......................................... 379,533
-----------
1,542,054
-----------
SECURITY AND COMMODITY BROKERS (19.59%)
390,000 Goldman Sachs Group, L.P., 5.680%,
due 04/24/1998......................................... 383,047
420,000 J.P. Morgan & Company, Inc., 5.580%,
due 02/10/1998......................................... 417,396
420,000 Merrill Lynch & Company, Inc., 5.590%,
due 02/27/1998......................................... 416,283
390,000 Morgan Stanley, Dean Witter, Discover & Company,
5.540%, due 01/12/1998................................. 389,340
-----------
1,606,066
-----------
MUNICIPAL BONDS -- REVENUE (4.60%)
380,000 Province of Quebec, 5.730%, due 02/20/1998 ............ 376,976
-----------
Total commercial paper................................. 8,198,494
-----------
Total investments in securities........................ $ 8,198,494
===========
- --------------------
(a) Using Standard Industry Codes prepared by the Technical Committee on
Industrial Classifications
(b) Value also represents cost for federal income tax purposes
The accompanying notes are an integral part of these financial statements.
17
<PAGE>
CONSECO SERIES TRUST
Notes to Financial Statements
December 31, 1997
================================================================================
(1) GENERAL
Conseco Series Trust (the "Trust") is a diversified, open-end management
investment company registered under the Investment Company Act of 1940, as
amended ("the Act"), and was organized as a Massachusetts Trust effective
November 15, 1982. The Trust offers shares only to affiliated life insurance
company separate accounts (registered as unit investment trusts under the Act)
to fund the benefits under variable annuity contracts.
Effective May 1, 1993, Great American Reserve Variable Annuity Account C
("Account C") transferred its assets to the Trust in exchange for shares of the
Common Stock, Corporate Bond (newly created effective May 1, 1993) and Money
Market Portfolios. Since May 1, 1993, the Trust continues to offer shares of
each of its portfolios to Account C.
On July 25, 1994 Great American Reserve Variable Annuity Account E
commenced operations and began investing in the shares of the Trust's
portfolios.
(2) SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
SECURITY VALUATION, TRANSACTIONS, AND RELATED INVESTMENT INCOME
The investments in each portfolio are valued at the end of each New York
Stock Exchange business day. Investment transactions are accounted for on the
valuation date following the trade date (the date the order to buy or sell is
executed). Dividend income is recorded on the ex-dividend date. The cost of
investments sold is determined on the specific identification basis. The Trust
does not hold any investments which are restricted as to resale, except certain
bonds (designated as footnote (d) in the applicable Statement of Investments)
held in the Corporate Bond and the Asset Allocation Portfolios, all of which are
eligible for resale under Rule 144A of the Securities Act of 1933.
The Board of Trustees (the "Trustees") determined that it will value the
Money Market Portfolio investments at amortized cost, which is conditioned on
the Trust's compliance with certain conditions contained in Rule 2a-7 of the
Act. The investment adviser of the Trust continuously reviews this method of
valuation and recommends changes to the Trustees, if necessary, to ensure that
the Money Market Portfolio investments are valued at fair value (as determined
by the Trustees in good faith).
In all portfolios of the Trust, except for the Money Market Portfolio,
securities traded on a national securities exchange are valued at closing market
prices. Listed securities for which no sale was reported on the valuation date
are valued at the mean of the closing bid and asked prices. Short term notes,
U.S. government obligations maturing within one year or less from the date
purchased and bank certificates of deposit are valued at amortized cost, which
approximates fair value.
Fixed income securities for which representative market quotes are readily
available are valued at the mid-day mean between the closing bid and asked
prices as quoted by one or more dealers who make a market in such securities.
FEDERAL INCOME TAXES
Each portfolio is treated as a separate taxable entity for federal income
tax purposes and qualifies as a regulated investment company under the Internal
Revenue Code. The Trust intends to continue to distribute all taxable income to
shareholders, and therefore, no provision has been made for federal income
taxes.
DIVIDENDS TO SHAREHOLDERS
Dividends are declared and reinvested from the sum of net investment
income and net realized short-term capital gains or losses on a daily basis in
the Money Market Portfolio, on a monthly basis in the Corporate Bond and
Government Securities Portfolios and on a quarterly basis in the Asset
Allocation and Common Stock Portfolios. Distributions are declared and
reinvested from net realized long-term capital gains on an annual basis.
INCOME EQUALIZATION
All portfolios, except the Money Market Portfolio, follow the accounting
practice known as income equalization by which a portion of the proceeds from
sales and costs of redemptions of shares is equivalent, on a per share basis, to
the amount of distributable investment income on the date the transaction is
credited or charged to undistributed income. As a result, undistributed
investment income per share is not materially affected by sales or redemptions
of the portfolio shares.
USE OF ESTIMATES
The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities as of the date of the financial
statements and the reported amounts of income and expenses during the reporting
period. Actual results may differ from these estimates.
(3) TRANSACTIONS WITH AFFILIATES
As investment adviser of the Trust, Conseco Capital Management, Inc. (the
"Adviser"), a wholly-owned subsidiary of Conseco, Inc., a publicly-held
specialized financial services holding company listed on the New York Stock
Exchange, charges an investment advisory fee based on the daily net asset value
at an annual rate of 0.55 percent for the Asset Allocation Portfolio, 0.60
percent for the Common Stock Portfolio, 0.50 percent for the Corporate Bond and
Government Securities Portfolios and 0.25 percent for the Money Market
Portfolio. The total fees paid to the Adviser were $1,400,378 and $1,008,557 for
the years ended December 31, 1997 and 1996, respectively. The Adviser has agreed
to limit the operating expenses of each portfolio so that the ratio of expenses,
including investment advisory fees, to average net assets on an annual basis
shall not exceed 0.75 percent for the Asset Allocation Portfolio, 0.80 percent
for the Common Stock Portfolio, 0.70 percent for the Corporate Bond Portfolio
and the Government Securities Portfolio, and 0.45 percent for the Money Market
Portfolio.
(4) INVESTMENT TRANSACTIONS
The aggregate costs of purchases of investments (excluding U.S. government
securities and short-term investments) were $576,039,967 and $310,865,829 for
the years ended December 31, 1997 and 1996, respectively. The aggregate proceeds
from the sales of investments (excluding U.S. government securities and
short-term investments) were $550,463,585 and $303,932,165 for the years ended
December 31, 1997 and 1996, respectively.
The aggregate costs of purchases of U.S. government securities (excluding
short-term investments) were $37,115,869 and $21,225,121 for the years ended
December 31, 1997 and 1996, respectively. The aggregate proceeds from sales of
U.S. government securities (excluding short-term investments) were $38,057,662
and $16,767,507 for the years ended December 31, 1997 and 1996, respectively.
18
<PAGE>
CONSECO SERIES TRUST
Notes to Financial Statements - Continued
December 31, 1997
<TABLE>
<CAPTION>
====================================================================================================================================
(4) INVESTMENT TRANSACTIONS (Continued)
Gross unrealized appreciation and depreciation of investments at December 31,1997 are shown below:
====================================================================================================================================
ASSET COMMON CORPORATE GOVERNMENT MONEY
ALLOCATION STOCK BOND SECURITIES MARKET
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Gross unrealized appreciation ............................ $ 2,081,297 $ 24,460,287 $ 548,818 $ 41,476 $ --
Gross unrealized depreciation ............................ (784,218) (7,912,811) (146,983) (3,051) --
- ------------------------------------------------------------------------------------------------------------------------------------
Net unrealized appreciation .............................. $ 1,297,079 $ 16,547,476 $ 401,835 $ 38,425 $ --
====================================================================================================================================
</TABLE>
(5) NET ASSETS
Net assets at December 31, 1997 are shown below.
<TABLE>
<CAPTION>
====================================================================================================================================
ASSET COMMON CORPORATE GOVERNMENT MONEY
ALLOCATION STOCK BOND SECURITIES MARKET
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Proceeds from the sales of shares since organization,
less cost of shares redeemed
and net equalization.......................... $ 26,625,323 $200,438,125 $21,013,370 $ 4,246,800 $ 8,602,736
Undistributed net realized losses on sales of investments -- -- (138,350) (14,950) --
Net unrealized appreciation of investments ............... 1,297,079 16,547,476 401,835 38,425 --
- ------------------------------------------------------------------------------------------------------------------------------------
Total net assets..................................... $ 27,922,402 $216,985,601 $21,276,855 $ 4,270,275 $ 8,602,736
====================================================================================================================================
</TABLE>
(6) FINANCIAL HIGHLIGHTS
Following are the financial highlights for each portfolio for the years ended
December 31, 1993 through 1997:
<TABLE>
<CAPTION>
ASSET ALLOCATION PORTFOLIO
======================================================================
1997 1996 1995 1994 1993
====================================================================================================================================
<S> <C> <C> <C> <C> <C>
Net asset value per share, beginning of year.............. $ 13.470 $ 12.390 $ 11.040 $ 11.400 $ 11.630
Income from investment operations (a):
Net investment income................................ 0.441 0.419 0.508 0.463 0.410
Net realized gains (losses) and change in unrealized
appreciation (depreciation) on investments........... 2.116 2.774 2.976 (0.526) 0.218
- ------------------------------------------------------------------------------------------------------------------------------------
Total income (loss) from investment operations... 2.557 3.193 3.484 (0.063) 0.628
- ------------------------------------------------------------------------------------------------------------------------------------
Distributions (a):
Dividends from net investment income and net realized
short-term capital gains........................... (2.195) (2.075) (1.827) (0.266) (0.570)
Distribution of net realized long-term capital gains. (0.512) (0.038) (0.307) (0.031) (0.288)
- ------------------------------------------------------------------------------------------------------------------------------------
Total distributions.............................. (2.707) (2.113) (2.134) (0.297) (0.858)
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value per share, end of year ................... $ 13.320 $ 13.470 $ 12.390 $ 11.040 $ 11.400
====================================================================================================================================
Total return (b) (d)...................................... 17.85% 28.30% 31.49% (0.55%) 10.38%
Ratios/supplemental data
Net assets, end of year (c)............................ $ 27,922,402 $16,732,206 $9,583,375 $ 6,172,390 $ 6,161,924
Ratio of expenses to average net assets (d)............ 0.75% 0.75% 0.75% 0.75% 0.75%
Ratio of net investment income to average net assets (d) 3.14% 3.15% 4.11% 4.20% 3.55%
Portfolio turnover rate................................ 369.39% 208.13% 194.16% 223.92% 539.90%
Average commission paid (e) ........................... $ 0.06 $ 0.06 N/A N/A N/A
</TABLE>
- --------------------
(a) Per share amounts presented are based on an average of monthly shares
outstanding throughout the periods indicated.
(b) Total return represents performance of the Trust only and does not include
mortality and expense deductions in separate accounts.
(c) Accounts C and E became shareholders in the Trust effective May 1, 1993
and July 25, 1994, respectively.
(d) These ratios have been favorably affected by a guarantee from the Adviser
that the ratio of expenses to average net assets would not exceed 0.75
percent for the Asset Allocation Portfolio, 0.80 percent for the Common
Stock Portfolio, 0.70 percent for the Corporate Bond and the Government
Securities Portfolios and 0.45 percent for the Money Market Portfolio. If
the aforementioned guarantee had not been in affect during the period, the
ratio would have been 0.84 percent for the Asset Allocation Porfolio.
(e) Computed by dividing the total amount of commissions paid by the total
number of shares purchased and sold during the period for which there was
a commission. This disclosure is required by the Securities and Exchange
Commission beginning in 1996.
19
<PAGE>
CONSECO SERIES TRUST
Notes to the Financial Statements - Continued
December 31, 1997
<TABLE>
<CAPTION>
====================================================================================================================================
(6) FINANCIAL HIGHLIGHTS (Continued)
COMMON STOCK PORTFOLIO
===================================================================
1997 1996 1995 1994 1993
===================================================================================================================================
<S> <C> <C> <C> <C> <C>
Net asset value per share, beginning of year ............. $ 21.850 $ 18.840 $ 16.540 $ 16.690 $ 16.880
Income from investment operations (a):
Net investment income............................... 0.064 0.013 0.340 0.240 0.232
Net realized gains and change in unrealized
appreciation on investments....................... 4.060 8.169 5.675 0.072 0.920
- -----------------------------------------------------------------------------------------------------------------------------------
Total income from investment operations.......... 4.124 8.182 6.015 0.312 1.152
- -----------------------------------------------------------------------------------------------------------------------------------
Distributions (a):
Dividends from net investment income and net realized
short-term capital gains........................... (4.232) (4.209) (2.807) (0.327) (1.181)
Distribution of net realized long-term capital gains. (1.582) (0.963) (0.908) (0.135) (0.161)
- -----------------------------------------------------------------------------------------------------------------------------------
Total distributions.............................. (5.814) (5.172) (3.715) (0.462) (1.342)
- -----------------------------------------------------------------------------------------------------------------------------------
Net asset value per share, end of year ................... $ 20.160 $ 21.850 $ 18.840 $ 16.540 $ 16.690
===================================================================================================================================
Total return (b) (d)...................................... 18.68% 44.99% 36.30% 1.92% 8.35%
Ratios/supplemental data
Net assets, end of year (c)............................ $216,985,601 $171,332,490 $109,635,525 $74,759,728 $ 66,799,824
Ratio of expenses to average net assets (d)............ 0.80% 0.80% 0.80% 0.80% 0.80%
Ratio of net investment income to average net assets (d) 0.28% 0.06% 1.80% 1.47% 1.40%
Portfolio turnover rate................................ 234.20% 177.03% 172.55% 213.67% 205.81%
Average commission paid (e) ........................... $ 0.06 $ 0.06 N/A N/A N/A
</TABLE>
- ----------
(a) Per share amounts presented are based on an average of monthly shares
outstanding throughout the periods indicated.
(b) Total return represents performance of the Trust only and does not include
mortality and expense deductions in separate accounts.
(c) Accounts C and E became shareholders in the Trust effective May 1, 1993
and July 25, 1994, respectively.
(d) These ratios have been favorably affected by a guarantee from the Adviser
that the ratio of expenses to average net assets would not exceed 0.75
percent for the Asset Allocation Portfolio, 0.80 percent for the Common
Stock Portfolio, 0.70 percent for the Corporate Bond and the Government
Securities Portfolios and 0.45 percent for the Money Market Portfolio. If
the aforementioned guarantee had not been in affect during the period, the
ratio would have been 0.80 percent for the Common Stock Portfolio.
(e) Computed by dividing the total amount of commissions paid by the total
number of shares purchased and sold during the period for which there was
a commission. This disclosure is required by the Securities and Exchange
Commission beginning in 1996.
20
<PAGE>
CONSECO SERIES TRUST
Notes to the Financial Statements - Continued
December 31, 1997
<TABLE>
<CAPTION>
====================================================================================================================================
(6) FINANCIAL HIGHLIGHTS (Continued)
CORPORATE BOND PORTFOLIO (e)
====================================================================
1997 1996 1995 1994 1993 (e)
===================================================================================================================================
<S> <C> <C> <C> <C> <C>
Net asset value per share, beginning of period........... $ 9.970 $ 10.150 $ 9.450 $ 9.980 $ 10.000
Income from investment operations (a):
Net investment income............................... 0.654 0.662 0.680 0.649 0.417
Net realized gains (losses) and change in unrealized
appreciation (depreciation) on investments........ 0.309 (0.179) 0.990 (0.912) 0.173
- -----------------------------------------------------------------------------------------------------------------------------------
Total income (loss) from investment operations.. 0.963 0.483 1.670 (0.263) 0.590
- -----------------------------------------------------------------------------------------------------------------------------------
Distributions (a):
Dividends from net investment income and net realized
short-term capital gains........................... (0.793) (0.663) (0.970) (0.267) (0.610)
- -----------------------------------------------------------------------------------------------------------------------------------
Total distributions.............................. (0.793) (0.663) (0.970) (0.267) (0.610)
- -----------------------------------------------------------------------------------------------------------------------------------
Net asset value per share, end of period................. $ 10.140 $ 9.970 $ 10.150 $ 9.450 $ 9.980
===================================================================================================================================
Total return (b) (d)..................................... 9.97% 4.97% 18.25% (2.65%) 8.84%(f)
Ratios/supplemental data
Net assets, end of year (c)........................... $ 21,276,855 $17,463,340 $16,046,368 $12,903,063 $13,577,440
Ratio of expenses to average net assets (d)............ 0.70% 0.70% 0.70% 0.70% 0.70%(f)
Ratio of net investment income to average net assets (d) 6.50% 6.65% 6.78% 6.78% 6.22%(f)
Portfolio turnover rate................................ 276.46% 276.35% 225.41% 198.48% 406.24%(f)
</TABLE>
- ---------------------
(a) Per share amounts presented are based on an average of monthly shares
outstanding throughout the periods indicated.
(b) Total return represents performance of the Trust only and does not include
mortality and expense deductions in separate accounts.
(c) Accounts C and E became shareholders in the Trust effective May 1, 1993
and July 25, 1994, respectively. (d) These ratios have been favorably
affected by a guarantee from the Adviser that the ratio of expenses to
average net assets would not exceed 0.75 percent for the Asset Allocation
Portfolio, 0.80 percent for the Common Stock Portfolio, 0.70 percent for
the Corporate Bond and the Government Securities Portfolios and 0.45
percent for the Money Market Portfolio. If the aforementioned guarantee
had not been in affect during the period, the ratio would have been 0.77
percent for the Corporate Bond Portfolio.
(e) The Corporate Bond Portfolio became an available investment option
effective May 1, 1993, with an initial offering price of $10.00.
(f) Annualized.
21
<PAGE>
CONSECO SERIES TRUST
Notes to the Financial Statements - Continued
December 31, 1997
<TABLE>
<CAPTION>
====================================================================================================================================
(6) FINANCIAL HIGHLIGHTS (Continued)
GOVERNMENT SECURITIES PORTFOLIO
=================================================================
1997 1996 1995 1994 1993
====================================================================================================================================
<S> <C> <C> <C> <C> <C>
Net asset value per share, beginning of year ............ $ 11.940 $ 12.380 $ 11.090 $ 11.450 $ 11.610
Income from investment operations (a):
Net investment income................................ 0.724 0.722 0.754 0.720 0.738
Net realized gains (losses) and change in unrealized
appreciation (depreciation) on investments.......... 0.232 (0.409) 1.119 (1.031) 0.281
- ------------------------------------------------------------------------------------------------------------------------------------
Total income (loss) from investment operations... 0.956 0.313 1.873 (0.311) 1.019
- ------------------------------------------------------------------------------------------------------------------------------------
Distributions (a):
Dividends from net investment income and net realized
short-term capital gains........................... (0.856) (0.707) (0.583) (0.049) (1.179)
Distribution of net realized long-term capital gains. -- (0.046) -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total distributions.............................. (0.856) (0.753) (0.583) (0.049) (1.179)
====================================================================================================================================
Net asset value per share, end of year ................... $ 12.040 $ 11.940 $ 12.380 $ 11.090 $ 11.450
- ------------------------------------------------------------------------------------------------------------------------------------
Total return (b) (d)...................................... 8.26% 2.75% 17.35% (2.79%) 8.91%
Ratios/supplemental data
Net assets, end of year (c)............................ $ 4,270,275 $ 4,023,691 $4,612,607 $ 4,712,785 $ 7,579,366
Ratio of expenses to average net assets (d)............ 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net investment income to average net assets (d) 6.05% 6.02% 6.27% 6.45% 6.30%
Portfolio turnover rate................................ 195.08% 157.62% 284.31% 421.05% 397.42%
</TABLE>
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(a) Per share amounts presented are based on an average of monthly shares
outstanding throughout the periods indicated.
(b) Total return represents performance of the Trust only and does not include
mortality and expense deductions in separate accounts.
(c) Accounts C and E became shareholders in the Trust effective May 1, 1993
and July 25, 1994, respectively.
(d) These ratios have been favorably affected by a guarantee from the Adviser
that the ratio of expenses to average net assets would not exceed 0.75
percent for the Asset Allocation Portfolio, 0.80 percent for the Common
Stock Portfolio, 0.70 percent for the Corporate Bond and the Government
Securities Portfolios and 0.45 percent for the Money Market Portfolio. If
the aforementioned guarantee had not been in affect during the period, the
ratio would have been 0.92 percent for the Government Securities
Portfolio.
22
<PAGE>
CONSECO SERIES TRUST
Notes to the Financial Statements - Continued
December 31, 1997
<TABLE>
<CAPTION>
====================================================================================================================================
(6) FINANCIAL HIGHLIGHTS (Continued)
MONEY MARKET PORTFOLIO
===================================================================
1997 1996 1995 1994 1993
====================================================================================================================================
<S> <C> <C> <C> <C> <C>
Net asset value per share, beginning of year.............. $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
Income from investment operations (a):
Net investment income................................ 0.051 0.050 0.055 0.038 0.029
- ------------------------------------------------------------------------------------------------------------------------------------
Total income from investment operations.......... 0.051 0.050 0.055 0.038 0.029
- ------------------------------------------------------------------------------------------------------------------------------------
Distributions (a):
Dividends from net investment income and net realized
short-term capital gains........................... (0.051) (0.050) (0.055) (0.038) (0.029)
- ------------------------------------------------------------------------------------------------------------------------------------
Total distributions.............................. (0.051) (0.050) (0.055) (0.038) (0.029)
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value per share, end of year ................... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
====================================================================================================================================
Total return (b) (d)...................................... 5.25% 5.13% 5.46% 3.78% 2.86%
Ratios/supplemental data
Net assets, end of year (c)............................ $ 8,602,736 $ 6,984,663 $5,395,877 $ 5,105,367 $ 5,229,641
Ratio of expenses to average net assets (d)............ 0.45% 0.45% 0.45% 0.45% 0.45%
Ratio of net investment income to average net assets (d) 5.14% 5.03% 5.46% 3.78% 2.86%
Portfolio turnover rate................................ N/A N/A N/A N/A N/A
</TABLE>
- --------------------------
(a) Per share amounts presented are based on an average of monthly shares
outstanding throughout the periods indicated.
(b) Total return represents performance of the Trust only and does not include
mortality and expense deductions in separate accounts.
(c) Accounts C and E became shareholders in the Trust effective May 1, 1993
and July 25, 1994, respectively.
(d) These ratios have been favorably affected by a guarantee from the Adviser
that the ratio of expenses to average net assets would not exceed 0.75
percent for the Asset Allocation Portfolio, 0.80 percent for the Common
Stock Portfolio, 0.70 percent for the Corporate Bond and the Government
Securities Portfolios and 0.45 percent for the Money Market Portfolio. If
the aforementioned guarantee had not been in affect during the period, the
ratio would have been 0.52 percent for the Money Market Portfolio.
23
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
================================================================================
To The Board of Trustees and Shareholders
Conseco Series Trust
We have audited the accompanying statement of assets and liabilities,
including the statement of investments in securities, of Conseco Series Trust
(comprising respectively, the Asset Allocation, Common Stock, Corporate Bond,
Government Securities, and Money Market Portfolios), as of December 31, 1997,
and the related statement of operations for the year then ended, the statements
of changes in net assets for each of the two years in the period then ended, and
the financial highlights for each of the five years in the period then ended for
each of the Portfolios named above except for the Corporate Bond Portfolio for
which the period is May 1, 1993 (inception) to December 31, 1997. These
financial statements and financial highlights are the responsibility of the
Trust's management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of cash and securities owned as
of December 31, 1997, by correspondence with the custodian and brokers or other
auditing procedures where confirmations from brokers were not received. An audit
also includes assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position of
each of the respective portfolios constituting the Conseco Series Trust as of
December 31, 1997, the results of their operations for the year ended, the
changes in their net assets for each of the two years in the period then ended,
and the financial highlights for each of the five years in the period then ended
for each of the Portfolios named above except for the Corporate Bond Portfolio
for which the period is May 1, 1993 (inception) to December 31, 1997, in
conformity with generally accepted accounting principles.
/s/ Coopers & Lybrand L.L.P.
Indianapolis, Indiana
February 23, 1998
24
<PAGE>
================================================================================
Bankers National Variable Account B
SPONSOR
Bankers National Life Insurance Company - Carmel, Indiana.
INDEPENDENT PUBLIC ACCOUNTANTS
Coopers & Lybrand L.L.P. - Indianapolis, Indiana.
Conseco Series Trust
BOARD OF TRUSTEES
William P. Daves, Jr., Chairman
Consultant to the insurance and health care industries.
Director, President and Chief Executive Officer,
FFG Insurance Co.,
Dallas, Texas.
Harold W. Hartley, Trustee
Retired. Chartered Financial Analyst.
Formerly Executive Vice President,
Tenneco Financial Services Inc.,
Fort Myers Beach, Florida.
Maxwell E. Bublitz, Trustee and President
President, Conseco Capital Management, Inc.,
Carmel, Indiana.
Dr. R. Jan LeCroy, Trustee
President, Dallas Citizens Council,
Dallas, Texas.
Dr. Jesse H. Parrish, Trustee
Higher education consultant.
Formerly President, Midland College,
Midland, Texas.
INVESTMENT ADVISER
Conseco Capital Management, Inc. - Carmel, Indiana.
INDEPENDENT PUBLIC ACCOUNTANTS
Coopers & Lybrand L.L.P. - Indianapolis, Indiana.
CUSTODIAN
Bankers Trust Company - New York, New York.
25
<PAGE>
[LOGO]
CONSECO
---------------------
FIRST CLASS MAIL
U.S. POSTAGE PAID
HACKENSACK, NJ
PERMIT NO. 9
---------------------
BANKERS NATIONAL LIFE INSURANCE COMPANY
11815 North Pennsylvania Street
Carmel, Indiana 46032
---------------------
---------------------
VA-1001 (2/98)
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[LOGO]
CONSECO
BANKERS NATIONAL LIFE INSURANCE COMPANY
Annual report to Contract Owners
December 31, 1997
This report is for the information of contract owners and participants of the
Bankers National Variable Account B and Conseco Series Trust. It is authorized
for distribution to other persons only when preceded or accompanied by a current
prospectus which contains more complete information, including charges and
expenses.
Bankers National Variable Account B
Conseco Series Trust
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