[logo]
CONSECO
STEP UP
CONSECO SERIES TRUST
JUNE 30, 1999
Semiannual Report
Balanced Portfolio
Equity Portfolio
Fixed Income Portfolio
Government Securities Portfolio
Money Market Portfolio
<PAGE>
SEMIANNUAL REPORT
TABLE OF CONTENTS
JUNE 30, 1999
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C>
CONSECO CAPITAL MANAGEMENT, INC.
Report from the President........................................................................................................ 2
Report from the Balanced Portfolio Adviser....................................................................................... 3
Report from the Equity Portfolio Adviser......................................................................................... 3
Report from the Fixed Income Portfolio Adviser................................................................................... 4
Report from the Government Securities Portfolio Adviser.......................................................................... 4
Report from the Money Market Portfolio Adviser................................................................................... 5
CONSECO SERIES TRUST
Statement of Assets and Liabilities as of June 30, 1999.......................................................................... 6
Statement of Operations for the Six Months Ended June 30, 1999................................................................... 6
Statements of Changes in Net Assets for the Six Months Ended June 30, 1999, and the Year Ended December 31, 1998................. 7
Statements of Investments in Securities as of June 30, 1999:
Balanced Portfolio............................................................................................................ 9
Equity Portfolio..............................................................................................................13
Fixed Income Portfolio........................................................................................................15
Government Securities Portfolio...............................................................................................19
Money Market Portfolio........................................................................................................21
Notes to Financial Statements....................................................................................................22
</TABLE>
<PAGE>
CONSECO CAPITAL MANAGEMENT, INC.
- --------------------------------------------------------------------------------
REPORT FROM THE PRESIDENT
Dear Fellow Shareholder:
Midway through the year, we are solidly positioned and poised for the new
millennium. Our disciplined, seamless integrated team of traders, analysts and
portfolio managers continue to strive together to reach one goal--to help you
reach your investment objectives through our fixed income and equity portfolios.
Within this semi-annual report, the portfolio managers provide you with a much
more detailed review of each portfolio.
In addition to the daily management of the portfolios, Y2K readiness has been
a high priority for us. Since 1997, our information systems experts have been
auditing and rigorously testing mission critical trading and investing
applications, custodial relationships and vendors' systems. We're confident in
the preparedness of the financial services industry, our core business functions
and our ability to minimize and overcome any adverse external impacts while
continuing to deliver and settle all transactions.
What's ahead for the portfolios? In this low relatively stable inflation
world where the Federal Reserve Board's (the "Fed") projected rate hikes are
already priced in, stocks and bonds will likely continue to move in opposite
directions. Consequently, asset allocation and risk aversion will play a
significantly larger role in obtaining superior performance than they ever have
during the past 17 years. These trends strongly suggest an increasingly greater
role for financial advice and greater rewards for an actively managed, bottom-up
investment style.
In an environment such as this, our portfolios are managed to excel within
their risk parameters and designed to help you plan more confidently. The
attendant level of investment in research, trading and portfolio management
integration transcends all asset classes and is unmatched in the risk-reward
spectrum.
During the fourth quarter, we encourage investors to seek the advice and
skills of their financial consultants and avoid trying to time the Y2K market.
Recent press reports suggest that investors should "uninvest" and retire to the
sidelines going into year 2000. However, following the media's advice may prove
to be highly unwise. We think wonderful investment opportunities should emerge.
In spite of all the media attention and "Chicken Little" fretting, we believe
common sense and cool heads will prevail.
As we move towards and over the threshold of this once-in-a-lifetime
historical moment, our portfolios are well positioned to help you effectively
manage and achieve your investment objectives. We're looking forward to taking
these critical steps with you.
/s/Maxwell E. Bublitz
---------------------
Maxwell E. Bublitz
President and Chief Executive Officer
Conseco Capital Management, Inc.
2
<PAGE>
CONSECO CAPITAL MANAGEMENT, INC.
- --------------------------------------------------------------------------------
REPORT FROM THE BALANCED PORTFOLIO ADVISER
A strong U.S. economy and the fear of inflation have pervaded the financial
markets over the past several months. On June 30, the Federal Reserve Board (the
"Fed") raised short-term interest rates 25 basis points in an initial effort to
stem any potential inflation build up. While inflation hasn't been a problem,
the markets anticipated the Fed move. Bond prices rallied, interest rates fell
and credit spreads tightened as a result.
EQUITY SUMMARY
In the second quarter, commodity prices rebounded and emerging markets
recovered. In addition, there was a shift away from the largest, most expensive
stocks to many of the value-oriented stocks. Internet stocks gave up their
leadership position held for several quarters. The market rediscovered mid-cap
stocks, featuring reasonable valuations and strong growth prospects--our
investing niche.
The Portfolio benefited from the efforts of our more than 30 analysts. By
visiting management teams, interviewing competitors and distributors, as well as
testing products, we garnered a deep understanding of each investment. The
investments that drove performance included EchoStar Communications, Research in
Motion and Circuit City.
FIXED INCOME SUMMARY
Corporate bond spreads over treasuries widened as heavy new issues and
investor apathy hung over the market in the second quarter. In this environment,
our strategy has been to invest in corporate bonds with fairly short maturities,
increasing the level of income. This adds income to the Portfolio as a source of
return and an overall volatility reduction tool. While maintaining a neutral
duration relative to the market, we're striving for a 25 basis-points yield
advantage.
Our overall allocation to the corporate sectors has remained largely
unchanged on a market value basis. However, we have reduced our long-maturity
holdings and invested the proceeds in shorter maturity instruments. This
transition reduced our exposure to the spread widening over the past quarter and
contributed directly to our return over the benchmark. We will maintain our
defensive posture in the portfolio until we see evidence of stability in the
market.
Our investment style emphasizes securities we consider to be undervalued
based on our proprietary research. Portfolio structure that emphasizes corporate
bonds, mortgage backed securities, asset backed securities and taxable municipal
bonds, is designed to provide a high total return with manageable risk. In an
environment where spreads are widening, our goal is to match the benchmark's
level of return and volatility. Remaining committed to our bottom-up, research
approach to investing, we believe the Portfolio is well positioned for solid
performance as we enter the next six months.
/s/Gregory J. Hahn /s/Thomas J. Pence
- ------------------ ------------------
Gregory J. Hahn Thomas J. Pence
Senior Vice President Senior Vice President
Conseco Capital Management, Inc.
REPORT FROM THE EQUITY PORTFOLIO ADVISER
The Portfolio's six-month solid results have been largely attributable to
investing in well-managed companies representing some of the most exciting
growth areas like technology, telecommunications, media and advertising. We
believe the high returns on capital from these companies are sustainable and
likely to increase.
The explosion in electronic commerce is extremely powerful and we believe the
Internet will eventually transform the way business is conducted in virtually
every sector. Rather than concentrate on pure Internet portals, we've chosen to
focus on more traditional companies poised to deliver earnings increases via the
Internet.
One example, First Data, develops Internet solutions for customer bill
delivery and settlement. Long known for strengths in credit card processing and
issuance (and the Western Union franchise), it is divesting its unprofitable
businesses and using the proceeds--along with Western Union's strong cash
flow--to diversify into alliances with other Internet companies. As a result,
First Data could be the preeminent player in Internet transaction processing.
Data traffic on traditional telecommunication networks is increasing rapidly,
demanding greater bandwidth, and faster processing and storage. By investing in
companies that create the hardware for this technology, as well as in companies
that connect users to the Internet, the Portfolio generated solid returns.
Two companies providing unique personal and household information
connectivity also performed well. EchoStar Communications delivers direct
satellite television and the Internet into households. Its value is increasing
because it offers a viable, lower-cost cable alternative to content providers.
Research in Motion offers Internet connectivity through a new proprietary
technology enabling individuals to stay fully connected with their office,
e-mail, calendar and productivity tools via a two-way, pager-like device using
existing paging networks.
In conclusion, it appears that new growth drivers such as telecommunications
and the Internet, combined with some economies improving overseas, are making
mid-cap return potential more attractive than slower-growing large-caps. We're
concerned about the Federal Reserve Board's (the "Fed") cautious tone on
inflation--particularly in the labor markets. Although the markets responded
favorably to the June 30 tightening, the Fed may act upon any wage pressure
evidence. Y2K concerns remain. If a portion of the year's first-half strength
was related to corporate Y2K readiness, then we may experience a corresponding
second half slow down.
We will continue to use our bottom-up, research intensive approach to seek
shareholder value for you.
/s/Thomas J. Pence
------------------
Thomas J. Pence
Senior Vice President
Conseco Capital Management, Inc.
3
<PAGE>
CONSECO CAPITAL MANAGEMENT, INC.
- --------------------------------------------------------------------------------
REPORT FROM THE FIXED INCOME PORTFOLIO ADVISER
Although 1998 was punctuated with volatile financial markets, we have seen
improvement over the past six months. With reasonable stability in the global
markets, the domestic economy is driving U.S. interest rates and the expected
slow-down in growth has yet to materialize. Persistent consumers willing to
outspend their incomes largely support this economic strength.
New housing starts have been strong and automotive sales have reached an
incredible volume. With unemployment dropping to 4.3%, this is an economy
clearly showing significant strength without serious signs of increased
inflation.
Nonetheless, the tug-of-war between a strong economy and an increasing
inflation rate continues to play out in the financial markets. We believe this
growth is unsustainable and the Federal Reserve Board (the "Fed") is watching
closely. By June 30, the 30-year U.S. Treasury bond yield increased over 100
basis points to a high of 6.16%, a level not seen since last summer.
While our investment philosophy is deeply rooted in proprietary, fundamental
research, the portfolio structure is critical to providing a competitive total
return in this environment without incurring significant risk. It's our desire
to maintain the same interest rate sensitivity as the general market.
The Fixed Income Portfolio has a relatively high exposure to the corporate
bond sector; yet also has a large position in bonds with shorter maturities to
help increase income.
We continue to find value in selective industrial and financial issuers while
underweighting the utility sector. In addition, we have invested in asset-backed
securities, which offer excellent relative value in today's market. Most are
short, average-life securities with home improvement or home equity loans as
collateral.
We also use mortgage-backed securities to help diversify the risk and earn a
higher level of income than investing exclusively in U.S. Treasuries. Commercial
mortgage-backed securities, a fairly new asset class, offers excellent relative
value with more predictable cashflows than other types of mortgage-backed
securities.
Looking forward, we expect interest rates will follow the lead set by the
U.S. economy. While we believe domestic growth is unsustainable and will
eventually slow, current growth rates give pause for the Fed. With many
economies, such as Japan and Korea, on the verge of recovery, a Fed-orchestrated
increase in U.S. interest rates would likely be an unwelcomed event, especially
with the Y2K concerns overhanging the financial markets. Our expectation is that
we are experiencing the higher end for interest rates and that slower growth
will portend lower rates. This assumes that inflation, which has not been a
factor for 18 months, stays under control. We expect it will.
/s/Gregory J. Hahn
------------------
Gregory J. Hahn
Senior Vice President
Conseco Capital Management, Inc.
REPORT FROM THE GOVERNMENT SECURITIES PORTFOLIO ADVISER
At Conseco Capital Management, we follow a research-driven discipline of
investing in securities which we believe are undervalued in order to add
incremental return to our Portfolios. Our investment approach focuses on
proprietary fundamental research, which includes the analysis of each individual
company's earnings, capital structure, cost of capital, and competitive
position. We strive to achieve returns superior to a portfolio's custom
benchmark by investing in securities we feel are undervalued and selling those
securities once they achieve full value.
We concentrate on our investment process and portfolio structure to offer
incremental return over the custom benchmark without incurring a significantly
higher level of risk. While emphasizing security selection, our style is not one
of anticipating changes in interest rates. Thus, the minor deviations of the
portfolio's effective duration are only a reflection of our bias on interest
rates, not explicit interest rate anticipation strategies.
By all appearances, the U.S. Government bond market acted in an inconsistent
manner to the Federal Reserve Board (the "Fed") during the 2nd quarter. To wit,
as the Fed pondered the economic landscape, the bond market sold off without
pause. As the Fed acted on the last day of the quarter and raised interest
rates, the U.S. Bond market rallied.
By returning to a neutral bias, the Fed. telegraphed that no additional steps
were required in the near term. However, we expect higher short-term rates in
the future as the consumer continues to prod the economy. A stock market that
gropes for new highs is also a concern for the Fed as profits in the market find
their way into durable goods consumption.
The Portfolio is positioned to take advantage of a benign inflation picture
with strong economic fundamentals. The Portfolio's duration is slightly longer
than the custom benchmark, and invested in a variety of government backed spread
product and high quality corporate bonds.
/s/G. Nolan Smith
-----------------
G. Nolan Smith
Vice President
Conseco Capital Management, Inc.
4
<PAGE>
CONSECO CAPITAL MANAGEMENT, INC.
- --------------------------------------------------------------------------------
REPORT FROM THE MONEY MARKET
PORTFOLIO ADVISER
During the first half of 1999, the U.S. economy remained extremely robust.
Domestic demand soared while the trade balance deteriorated sharply as imports
surged. Housing starts and auto sales were at all-time highs as the U.S.
consumer continued to drive the economy.
The bond market suffered throughout May after the Consumer Price Index
release showed an unexpected increase for April. This prompted the Federal Open
Market Committee (FOMC)--the interest rate control arm of the Federal Reserve
Board--to announce a tightening bias towards interest rates. This tug-of-war
between the U.S. economy and the fear of an increase of inflation continued to
play out in the financial markets in June. On the last day of the second
quarter, the FOMC raised short-term interest rates by 25 basis points to 5.00%
in an initial effort to stem any potential build up in inflation. While
inflation has not been a problem in this economic expansion, the markets
anticipated the FOMC's move causing bond prices to rally, interest rates to
fall, and a tightening in credit spreads.
The outlook for the rest of 1999 remains troublesome for investors as a flood
of new issuance is due to hit the market as corporate treasurers prepare for
year-end and as the Y2K anomaly approaches. We will continue to take advantage
of opportunities available in short certificates of deposit and weekly floating
rate structures because their yields outpace commercial paper. We will also
sustain our exposure to asset-backed commercial paper to increase income in the
Portfolio.
The objectives of the Conseco Series Trust Money Market Fund have not changed
as we continue to balance safety, liquidity and total return in a fully
diversified portfolio of money market securities.
/s/Gregory J. Hahn
------------------
Gregory J. Hahn
Senior Vice President
Conseco Capital Management, Inc.
5
<PAGE>
CONSECO SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
===================================================================================================================================
FIXED GOVERNMENT MONEY
BALANCED EQUITY INCOME SECURITIES MARKET
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Assets:
Investments at value (cost or amortized cost -
$43,840,058, $208,650,339, $27,636,830,
$10,974,088, and $40,623,605, respectively).......... $46,116,978 $236,146,257 $26,989,289 $10,699,179 $40,623,605
Cash................................................... 50,649 141,630 70,936 875,053 915,510
Interest and dividends receivable...................... 241,100 62,698 336,422 128,434 276,106
Receivable for securities sold......................... 4,306,525 22,983,252 4,269,445 1,045,029 --
Receivable for shares sold............................. 50,864 318,778 29,693 -- 821,132
- -----------------------------------------------------------------------------------------------------------------------------------
Total assets....................................... 50,766,116 259,652,615 31,695,785 12,747,695 42,636,353
- -----------------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Accrued expenses....................................... 30,069 163,064 17,153 6,399 14,532
Payable for securities purchased....................... 4,393,701 23,505,876 4,318,775 2,382,688 599,912
Payable for shares redeemed............................ -- -- -- 18,668 --
- -----------------------------------------------------------------------------------------------------------------------------------
Total liabilities.................................. 4,423,770 23,668,940 4,335,928 2,407,755 614,444
- -----------------------------------------------------------------------------------------------------------------------------------
Net assets (Note 5).............................. $46,342,346 $235,983,675 $27,359,857 $10,339,940 $42,021,909
- -----------------------------------------------------------------------------------------------------------------------------------
Shares outstanding (unlimited number of shares authorized) 3,212,770 9,866,896 2,857,044 915,712 42,021,909
Net asset value, offering and redemption price per share.. $ 14.42 $ 23.92 $ 9.58 $ 11.29 $ 1.00
===================================================================================================================================
</TABLE>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
===================================================================================================================================
FIXED GOVERNMENT MONEY
BALANCED EQUITY INCOME SECURITIES MARKET
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Investment income:
Dividends.............................................. $ 134,012 $ 680,228 $ 27,394 $ 3,200 $ --
Interest............................................... 683,531 199,525 854,388 268,899 730,203
- -----------------------------------------------------------------------------------------------------------------------------------
Total investment income.............................. 817,543 879,753 881,782 272,099 730,203
- -----------------------------------------------------------------------------------------------------------------------------------
Expenses:
Investment advisory fees............................... 119,500 661,686 63,592 22,174 36,769
Administrative expenses................................ 32,273 154,544 18,890 6,602 22,590
Custodial fees......................................... 1,983 10,120 1,161 402 1,337
Printing fees.......................................... 702 3,584 411 142 473
Other.................................................. 8,497 52,881 4,975 1,723 5,015
- -----------------------------------------------------------------------------------------------------------------------------------
Total expenses....................................... 162,955 882,815 89,029 31,043 66,184
Less: expenses charged to the Adviser (Note 3)............ -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
Net expenses....................................... 162,955 882,815 89,029 31,043 66,184
- -----------------------------------------------------------------------------------------------------------------------------------
Net investment income (expense).................. 654,588 (3,062) 792,753 241,056 664,019
- -----------------------------------------------------------------------------------------------------------------------------------
Net realized gains (losses) on sales of investments....... 3,844,197 38,074,410 (402,005) (126,660) 1,850
- -----------------------------------------------------------------------------------------------------------------------------------
Unrealized appreciation (depreciation) of investments:
Beginning of period.................................... 3,724,756 42,512,655 197,540 58,089 --
End of period.......................................... 2,276,920 27,495,918 (647,541) (274,909) --
- -----------------------------------------------------------------------------------------------------------------------------------
Net change in unrealized depreciation of
investments ................................... (1,447,836) (15,016,737) (845,081) (332,998) --
- -----------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized gains (losses)
on investments .............................. 2,396,361 23,057,673 (1,247,086) (459,658) 1,850
- -----------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
from operations ........................... $ 3,050,949 $ 23,054,611 $ (454,333) $ (218,602) $ 665,869
===================================================================================================================================
</TABLE>
The accompanying notes are an integral part of these financial statements.
6
<PAGE>
CONSECO SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS ENDED JUNE 30, 1999, AND THE YEAR ENDED DECEMBER 31, 1998
<TABLE>
<CAPTION>
===================================================================================================================================
BALANCED EQUITY FIXED INCOME
PORTFOLIO PORTFOLIO PORTFOLIO
------------------------- ------------------------- --------------------------
JUNE 30, JUNE 30, JUNE 30,
1999 DECEMBER 31, 1999 DECEMBER 31, 1999 DECEMBER 31,
(UNAUDITED) 1998 (UNAUDITED) 1998 (UNAUDITED) 1998
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Operations:
Net investment income (expense)......... $ 654,588 $ 1,217,595 $ (3,062) $ 1,209,790 $ 792,753 $ 1,350,944
Net realized gains (losses)
on sales of investments............... 3,844,197 (468,931) 38,074,410 4,922,021 (402,005) 137,501
Net change in unrealized appreciation
(depreciation) on investments......... (1,447,836) 2,427,677 (15,016,737) 25,965,179 (845,081) (204,295)
- -----------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets from operations..... 3,050,949 3,176,341 23,054,611 32,096,990 (454,333) 1,284,150
- -----------------------------------------------------------------------------------------------------------------------------------
Net income equalization (Note 2)........... (2,235) (52,424) (4) (46) (10,808) (14,031)
- -----------------------------------------------------------------------------------------------------------------------------------
Dividends to shareholders from
net investment income................... (654,588) (1,217,595) (118,185) (2,790,228) (792,753) (1,350,944)
- -----------------------------------------------------------------------------------------------------------------------------------
Distributions to shareholders of net realized
long-and short-term capital gains....... -- -- -- (4,922,022) -- --
Distributions to shareholders of return
of capital ............................. -- (1,386,070) -- (10,605,440) -- (128,334)
- -----------------------------------------------------------------------------------------------------------------------------------
Capital share transactions:
Net proceeds from sales of shares....... 2,280,871 17,767,542 2,673,524 27,848,498 5,055,762 8,212,548
Net asset value of shares issued
from reinvestment of dividends and
distributions 656,823 2,656,089 118,189 18,317,737 803,561 1,493,309
Cost of shares redeemed................. (4,893,363) (2,962,396) (24,745,376) (41,930,174) (1,227,033) (6,788,092)
- -----------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
from capital share transactions... (1,955,669) 17,461,235 (21,953,663) 4,236,061 4,632,290 2,917,765
- -----------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets...... 438,457 17,981,487 982,759 18,015,315 3,374,396 2,708,606
- -----------------------------------------------------------------------------------------------------------------------------------
Net assets: beginning of period ........... 45,903,889 27,922,402 235,000,916 216,985,601 23,985,461 21,276,855
- -----------------------------------------------------------------------------------------------------------------------------------
Net assets: end of period (Note 5) ........ $46,342,346 $45,903,889 $235,983,675 $235,000,916 $27,359,857 $23,985,461
- -----------------------------------------------------------------------------------------------------------------------------------
Share data:
Shares sold............................. 167,142 1,296,774 126,047 1,402,600 512,282 810,448
Shares issued from reinvestment of
dividends and distributions........... 47,424 190,932 5,582 826,092 82,223 147,717
Shares redeemed......................... (360,292) (225,383) (1,151,601) (2,103,306) (125,256) (669,613)
- -----------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in number of
shares outstanding................ (145,726) 1,262,323 (1,019,972) 125,386 469,249 288,552
===================================================================================================================================
</TABLE>
The accompanying notes are an integral part of these financial statements.
7
<PAGE>
CONSECO SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS - CONTINUED
FOR THE SIX MONTHS ENDED JUNE 30, 1999, AND THE YEAR ENDED DECEMBER 31, 1998
<TABLE>
<CAPTION>
===================================================================================================================================
GOVERNMENT SECURITIES MONEY MARKET
PORTFOLIO PORTFOLIO
------------------------- ---------------------------
JUNE 30, JUNE 30,
1999 DECEMBER 31, 1999 DECEMBER 31,
(UNAUDITED) 1998 (UNAUDITED) 1998
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income................................................ $ 241,056 $ 325,840 $ 664,019 $ 698,639
Net realized gains (losses)
on sales of investments............................................ (126,660) 27,265 1,850 (453)
Net change in unrealized appreciation
(depreciation) on investments...................................... (332,998) 19,664 -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets from operations.................................. (218,602) 372,769 665,869 698,186
- ------------------------------------------------------------------------------------------------------------------------------------
Net income equalization (Note 2)........................................ (8,040) (8,047) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Dividends to shareholders from
net investment income................................................ (462,839) (339,729) (665,869) (698,186)
- ------------------------------------------------------------------------------------------------------------------------------------
Distributions to shareholders of net realized long-
and short-term capital gains......................................... -- -- -- --
Distributions to shareholders of return of capital...................... -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Capital share transactions:
Net proceeds from sales of shares.................................... 3,681,749 5,982,203 40,228,434 37,710,202
Net asset value of shares issued from reinvestment
of dividends and distributions..................................... 470,879 347,776 665,869 698,186
Cost of shares redeemed.............................................. (1,029,726) (2,718,728) (20,090,745) (25,792,773)
- ------------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from
capital share transactions .................................... 3,122,902 3,611,251 20,803,558 12,615,615
- ------------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets................................... 2,433,421 3,636,244 20,803,558 12,615,615
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets: beginning of period ........................................ 7,906,519 4,270,275 21,218,351 8,602,736
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets: end of period (Note 5) .................................... $10,339,940 $ 7,906,519 $42,021,909 $21,218,351
- ------------------------------------------------------------------------------------------------------------------------------------
Share data:
Shares sold.......................................................... 310,408 491,676 40,228,434 37,710,202
Shares issued from reinvestment of
dividends and distributions........................................ 40,724 28,679 665,869 698,186
Shares redeemed...................................................... (86,375) (224,071) (20,090,745) (25,792,773)
- ------------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in number of
shares outstanding............................................. 264,757 296,284 20,803,558 12,615,615
===================================================================================================================================
</TABLE>
The accompanying notes are an integral part of these financial statements.
8
<PAGE>
CONSECO SERIES TRUST
BALANCED PORTFOLIO
Statement of Investments in Securities
JUNE 30, 1999
(UNAUDITED)
================================================================================
NUMBER
OF SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
COMMON STOCKS
(62.09% of total investments) (a)
AMUSEMENT AND
RECREATION SERVICES (0.67%)
6,570 International Speedway Corp. ................ $ 312,075
-------------
APPAREL AND ACCESSORY STORES (0.87%)
4,600 Abercrombie & Fitch Co. (b) ................. 220,800
3,860 Intimate Brands, Inc. ....................... 182,868
-------------
403,668
-------------
APPAREL AND OTHER FINISHED PRODUCTS (0.74%)
4,660 Tommy Hilfiger Corp. (b) .................... 342,221
-------------
BUSINESS SERVICES (12.90%)
2,925 Citrix Systems, Inc. (b) .................... 165,262
9,490 Clear Channel Communications, Inc. (b) ...... 654,222
5,830 Concord EFS, Inc. (b) ....................... 246,679
1,455 eBay, Inc. (b) .............................. 220,251
11,860 Electronic Arts, Inc. (b) ................... 643,405
2,700 Exodus Communications, Inc. (b) ............. 323,833
16,125 First Data Corp. ............................ 789,125
2,220 Interpublic Group of Companies, Inc. ........ 192,308
8,350 Microsoft Corp. (b) ......................... 753,070
6,400 Omnicom Group, Inc. ......................... 512,000
18,130 Outdoor Systems, Inc. (b) ................... 661,745
12,395 Sotheby's Holdings, Inc., Class A ........... 472,559
1,805 Yahoo!, Inc. (b) ............................ 310,911
-------------
5,945,370
-------------
CHEMICALS AND ALLIED PRODUCTS (0.93%)
4,320 Estee Lauder Companies, Inc., Class A ....... 216,540
3,120 Medimmune, Inc. (b) ......................... 211,380
-------------
427,920
-------------
COMMUNICATIONS BY PHONE, TELEVISION,
RADIO, CABLE (8.65%)
360 American Mobile Satellite Corp. (b) ......... 5,895
9,230 Cox Communications, Inc., Class A (b) . ..... 339,775
5,430 EchoStar Communications Corp.,
Class A (b) ................................. 833,168
5,850 Frontier Corp. .............................. 345,150
10,600 Infinity Broadcasting Corp. (b) ............. 315,350
6,050 MCI Worldcom, Inc. (b) ...................... 521,812
2,590 NEXTLINK Communications, Inc. (b) ........... 192,631
41,570 Research in Motion, Ltd. (b) ................ 841,793
2,410 TCA Cable TV, Inc. .......................... 133,755
1,570 TV Guide, Inc., Class A (b) ................. 57,501
3,240 Teligent, Inc., Class A (b) ................. 193,791
5,155 USA Networks, Inc. (b) ...................... 206,844
-------------
3,987,465
-------------
DEPOSITORY INSTITUTIONS (2.35%)
4,310 Fifth Third Bancorp ......................... 286,882
18,600 Wells Fargo & Co. ........................... 795,150
-------------
1,082,032
-------------
DURABLE GOODS (2.28%)
6,400 Tech Data Corp. (b) ......................... 244,800
14,950 W.W. Grainger, Inc. ......................... 804,489
-------------
1,049,289
-------------
ELECTRIC, GAS, WATER, COGENERATION,
SANITARY SERVICES (0.30%)
6,940 Azurix Corp. (b) ............................ 138,800
-------------
ELECTRICAL, OTHER ELECTRICAL EQUIPMENT,
EXCEPT COMPUTERS (6.36%)
1,070 Analog Devices, Inc. (b) .................... 53,701
2,015 Comverse Technology, Inc. (b) ............... 152,132
5,180 The DII Group, Inc. (b) ..................... 193,276
15,370 General Instrument Corp. (b) ................ 653,225
6,610 Jabil Circuit, Inc. (b) ..................... 298,276
3,200 LSI Logic Corp. (b) ......................... 147,600
4,650 Lattice Semiconductor Corp. (b) ............. 289,462
1,800 Maxim Integrated Products, Inc. (b) ......... 119,700
4,425 Nokia Corp., Class A ........................ 405,162
6,140 Vitesse Semiconductor Corp. (b) ............. 414,069
3,590 Xilinx, Inc. (b) ............................ 205,528
-------------
2,932,131
-------------
FOOD AND KINDRED PRODUCTS (0.83%)
2,540 Tootsie Roll Industries, Inc. ............... 98,107
3,150 Wm. Wrigley Jr. Co. ......................... 283,500
-------------
381,607
-------------
FOOD STORES (1.91%)
31,500 Kroger Co. (b) .............................. 880,047
-------------
GENERAL MERCHANDISE STORES (2.62%)
7,670 Ames Department Stores, Inc. (b) ............ 349,944
35,750 Family Dollar Stores, Inc. .................. 858,000
-------------
1,207,944
-------------
HOME FURNITURE AND
EQUIPMENT STORES (1.92%)
5,020 Circuit City Stores, Inc. ................... 466,860
7,120 Tandy Corp. ................................. 347,990
6,210 Trans World Entertainment Corp. (b) ......... 69,862
-------------
884,712
-------------
INDUSTRIAL COMMERCIAL MACHINERY,
COMPUTER EQUIPMENT (1.32%)
6,270 Adaptec, Inc. (b) ........................... 221,406
3,890 Baker Hughes, Inc. .......................... 130,315
4,030 Pitney Bowes, Inc. .......................... 258,928
-------------
610,649
-------------
- ---------------------------------------------
(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.
(e) PIK - Payment In Kind. STEP - Bonds where the coupon increases or steps up
at a predetermined rate. TOPRS - Trust Originated Preferred Securities.
The accompanying notes are an integral part of these financial statements.
(Continued)
9
<PAGE>
CONSECO SERIES TRUST
BALANCED PORTFOLIO
Statement of Investments in Securities--Continued
JUNE 30, 1999
(UNAUDITED)
================================================================================
NUMBER
OF SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
INSURANCE AGENTS, BROKERS (1.12%)
6,860 Marsh & McLennan Companies, Inc. ............ $ 517,930
-------------
INSURANCE COMPANIES (2.30%)
5,600 American International Group, Inc. .......... 655,547
7,720 Lincoln National Corp. ...................... 403,849
-------------
1,059,396
-------------
MEASURING INSTRUMENTS,
PHOTO GOODS, WATCHES (5.36%)
3,780 Bausch & Lomb, Inc. ......................... 289,170
11,340 Boston Scientific Corp. (b) ................. 498,257
7,850 Medtronic, Inc. ............................. 611,319
1,960 VISX, Inc. (b) .............................. 155,208
17,300 Waters Corp. (b) ............................ 919,063
-------------
2,473,017
-------------
NON-DEPOSITORY
CREDIT INSTITUTIONS (2.25%)
6,540 Capital One Financial Corp. ................. 364,200
7,180 Providian Financial Corp. ................... 671,330
-------------
1,035,530
-------------
NON-DURABLE GOODS WHOLESALE (0.43%)
4,650 U.S. Foodservice (b) ........................ 198,206
-------------
OIL AND GAS EXTRACTION (1.13%)
6,950 ENSCO International, Inc. ................... 138,569
6,700 Nabors Industries, Inc. (b) ................. 163,735
8,370 Transocean Offshore, Inc. ................... 219,713
-------------
522,017
-------------
SECURITY AND COMMODITY BROKERS (1.62%)
1,490 Charles Schwab Corp. ........................ 163,714
5,700 Morgan Stanley Dean Witter & Co. ............ 584,250
-------------
747,964
-------------
STONE, CLAY, GLASS,
CONCRETE PRODUCTS (0.61%)
2,140 Corning, Inc. ............................... 150,068
2,050 Southdown, Inc. ............................. 131,712
-------------
281,780
-------------
TEXTILE MILL PRODUCTS (0.82%)
22,900 Shaw Industries, Inc. ....................... 377,850
-------------
TRANSPORTATION EQUIPMENT (0.70%)
5,910 Harley-Davidson, Inc. ....................... 321,356
-------------
WATER TRANSPORTATION (1.10%)
11,580 Royal Caribbean Cruises, Ltd. ............... 506,625
-------------
TOTAL COMMON STOCKS (COST $25,585,471) ...... $ 28,627,601
-------------
PREFERRED STOCKS
(5.54% of total investments)
COMMUNICATIONS BY PHONE, TELEVISION,
RADIO, CABLE (1.45%)
28,000 Intermedia Communications, Inc., 7.000% (d)
Cost - $700,240; Acquired - 10/24/1997. ..... $ 668,765
-------------
ELECTRIC, GAS, WATER, COGENERATION,
SANITARY SERVICES (1.73%)
14,000 The AES Corporation Trust II, 5.500% CUM CVT (d)
Cost - $700,000; Acquired - 10/24/1997. ..... 798,000
-------------
INSURANCE COMPANIES (0.65%)
12,000 Lincoln National Corp., 6.400%, TOPRS (e).... 297,900
-------------
MEASURING INSTRUMENTS,
PHOTO GOODS, WATCHES (0.79%)
5,604 River Holding Corp., Series B, PIK, 11.500% (e) 364,309
-------------
NON-DEPOSITORY
CREDIT INSTITUTIONS (0.92%)
400 Centaur Funding Corp., 9.080%, (d)
Cost - $452,112; Acquired - 01/14/1999....... 425,350
-------------
TOTAL PREFERRED STOCKS (COST $2,652,352)..... $ 2,554,324
-------------
WARRANTS
(0.00% of total investments)
COMMUNICATIONS BY PHONE, TELEVISION,
RADIO, CABLE (0.00%)
250 Park `N View, Inc. .......................... $ 250
-------------
MISCELLANEOUS MANUFACTURING (0.00%)
400 V2 Music Holdings............................ 50
-------------
TOTAL WARRANTS (COST $42,500)................ $ 300
-------------
- ---------------------------------------------
(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.
(e) PIK - Payment In Kind. STEP - Bonds where the coupon increases or steps up
at a predetermined rate. TOPRS - Trust Originated Preferred Securities.
The accompanying notes are an integral part of these financial statements.
(Continued)
10
<PAGE>
CONSECO SERIES TRUST
BALANCED PORTFOLIO
Statement of Investments in Securities--Continued
JUNE 30, 1999
(UNAUDITED)
===============================================================
PRINCIPAL
AMOUNT SECURITY VALUE
- ---------------------------------------------------------------
CORPORATE BONDS
(26.64% of total investments) (a)
AIR TRANSPORTATION (1.71%)
$ 800,000 Delta Airlines, Series C, MTN, 6.650%,
due 03/15/2004......................... $ 789,000
-----------
APPAREL AND OTHER
FINISHED PRODUCTS (0.42%)
200,000 Tommy Hilfiger Corp., 6.500%,
due 06/01/2003......................... 193,250
-----------
AUTO REPAIR AND PARKING (0.99%)
200,000 Amerco -MTN, 7.470%, due 01/15/2027.... 203,750
250,000 Avis Rent A Car, Inc., 11.000%,
due 05/01/2009 (d) Cost - $253,437;
Acquired - 06/28/99.................... 250,937
-----------
454,687
-----------
BUSINESS SERVICES (0.63%)
500,000 Pinnacle Holdings, Inc., STEP
0.000%/10.000%, due 03/15/2008 (e)..... 291,250
-----------
CHEMICALS AND ALLIED PRODUCTS (0.45%)
200,000 Lyondell Chemical Co., 9.625%,
due 05/01/2007 (d) Cost - $204,000;
Acquired - 06/24/1999.................. 205,500
-----------
COMMUNICATIONS BY PHONE, TELEVISION,
RADIO, CABLE (2.83%)
200,000 Cable and Wireless Communications PLC,
6.375%, due 03/06/2003................. 196,750
300,000 Lenfest Communications, Inc., 8.375%,
due 11/01/2005......................... 313,500
250,000 Park 'N View, Inc., Series B, 13.000%,
due 05/15/2008......................... 77,500
500,000 Sprint Capital Corp., 6.875%,
due 11/15/2028 ........................ 456,875
250,000 360 Communications Co., 7.600%,
due 04/01/2009......................... 261,562
-----------
1,306,187
-----------
DEPOSITORY INSTITUTIONS (4.33%)
400,000 Centura Banks, Inc., 6.500%, due 03/15/2009 377,500
600,000 Dime Bancorp, Inc., 7.000%, due 07/25/2001 596,250
200,000 Key Bank USA, National Association,
BKNT, 6.500%, due 04/15/2008........... 197,500
875,000 Union Planters Bank, National Association,
6.500%, due 03/15/2018................. 823,594
-----------
1,994,844
-----------
ELECTRIC, GAS, WATER, COGENERATION,
SANITARY SERVICES (2.17%)
300,000 MCN Investment Corp., 6.350%,
due 04/02/2012......................... 297,375
700,000 Waste Management, Inc., 6.625%,
due 07/15/2002......................... 703,500
-----------
1,000,875
-----------
GENERAL MERCHANDISE STORES (0.63%)
300,000 Shopko Stores, Inc., 6.500%,
due 08/15/2003 ........................ 291,375
HOTELS, OTHER LODGING PLACES (0.82%)
400,000 HMH Properties, Inc., 8.450%,
due 12/01/2008 ........................ 380,000
INSURANCE COMPANIES (1.09%)
100,000 Delphi Financial, 8.000%, due 10/01/2003 101,750
500,000 Orion Capital Trust II, 7.701%,
due 04/15/2028 ........................ 401,875
-----------
503,625
-----------
MISCELLANEOUS MANUFACTURING (0.30%)
400,000 V2 Music Holdings, STEP, 0.000%/14.000%,
due 04/15/2008 (d) Cost - $237,720;
Acquired - 05/01/1998.................. 140,000
-----------
MISCELLANEOUS RETAIL (0.91%)
200,000 Michaels Stores, Inc., 10.875%,
due 06/15/2006 ........................ 215,000
200,000 Phar-Mor, Inc., 11.720%, 09/11/2002.... 206,500
-----------
421,500
-----------
OIL AND GAS EXTRACTION (1.28%)
600,000 Triton Energy Ltd., 9.250%,
due 04/15/2005 ....................... 588,000
-----------
PETROLEUM REFINING AND
RELATED INDUSTRIES (1.32%)
600,000 Pennzoil, Co., 10.125%, due 11/15/2009. 609,000
-----------
REAL ESTATE (0.63%)
300,000 Regency Centers, L.P., 7.400%,
due 04/01/2004......................... 292,500
-----------
REAL ESTATE INVESTMENT TRUSTS
(REITS) (1.90%)
150,000 CarrAmerica Realty Corp., 6.625%,
due 03/01/2005......................... 140,250
200,000 Corporate Property Investors, Inc.,
9.000%, due 03/15/2002 (d) Cost -
$219,360; Acquired - 03/17/1998........ 211,000
250,000 ERP Operating, L.P., 6.630%,
due 04/13/2015 ........................ 233,125
300,000 United Dominion Realty Trust, Inc.,
MTN, 7.600%, due 01/25/2002............ 292,500
-----------
876,875
-----------
SECURITY AND COMMODITY BROKERS (3.34%)
900,000 Paine Webber Group Inc., 6.450%,
due 12/01/2003......................... 878,625
550,000 Salomon Smith Barney Holdings, Inc.,
7.300%, due 05/15/2002................. 563,750
100,000 Salomon Smith Barney Holdings, Inc.,
Series C, MTN, 6.500%, due 08/15/2003.. 99,625
-----------
1,542,000
-----------
STONE, CLAY, GLASS, CONCRETE (0.89%)
200,000 Owens Corning, 7.500%, due 05/01/2005.. 198,500
200,000 USG Corp., 9.250%, due 09/15/2001...... 212,000
-----------
410,500
-----------
TOTAL CORPORATE BONDS (COST $12,893,727) $12,290,968
-----------
- ----------------------------------
(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.
(e) PIK - Payment In Kind. STEP - Bonds where the coupon increases or steps up
at a predetermined rate. TOPRS - Trust Originated Preferred Securities.
The accompanying notes are an integral part of these financial statements.
(Continued)
11
<PAGE>
CONSECO SERIES TRUST
BALANCED PORTFOLIO
Statement of Investments in Securities--Continued
JUNE 30, 1999
(UNAUDITED)
=======================================================================
PRINCIPAL
AMOUNT SECURITY VALUE
- -----------------------------------------------------------------------
MUNICIPAL BONDS
(1.43% of total investments)
$ 250,000 Capital Projects Finance Authority,
Florida Revenue, 8.000%, due 12/01/2001 $ 250,000
450,000 Mississippi Development Bank, Special
Obligation, Series 1998, 8.500%,
due 12/01/2018......................... 407,250
-----------
TOTAL MUNICIPAL BONDS (COST $700,000).. $ 657,250
-----------
ASSET BACKED SECURITIES
(0.30% of total investments)
150,000 COMED Transitional Funding Trust
1998-1 A7, 5.740%, due 12/25/2010...... $ 136,934
-----------
TOTAL ASSET BACKED SECURITIES
(COST $149,957)........................ $ 136,934
-----------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(4.00% of total investments)
1,450,000 U.S. Treasury Bond, 5.250%, due 11/15/2028 $ 1,284,229
75,000 U.S. Treasury Bond, 6.125%, due 08/15/2007 75,830
500,000 U.S. Treasury Note, 5.500%, due 05/15/2009 489,542
-----------
TOTAL U.S. GOVERNMENT AND AGENCY
OBLIGATIONS (COST $1,816,051).......... $ 1,849,601
-----------
TOTAL INVESTMENTS IN SECURITIES
(COST $43,840,058) (C)................. $46,116,978
-----------
- ------------------------------------------
(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.
(e) PIK - Payment In Kind. STEP - Bonds where the coupon increases or steps up
at a predetermined rate. TOPRS - Trust Originated Preferred Securities.
The accompanying notes are an integral part of these financial statements.
12
<PAGE>
CONSECO SERIES TRUST
EQUITY PORTFOLIO
Statement of Investments in Securities
JUNE 30, 1999
(UNAUDITED)
=================================================================
NUMBER
OF SHARES SECURITY VALUE
- -----------------------------------------------------------------
COMMON STOCKS
(98.14% of total investments)(a)
AMUSEMENT AND
RECREATION SERVICES (1.20%)
55,000 International Speedway Corp. .......... $ 2,612,500
4,290 Penske Motorsports, Inc. (b)........... 212,891
-----------
2,825,391
-----------
APPAREL AND ACCESSORY STORES (1.44%)
38,355 Abercrombie & Fitch Co. (b)............ 1,841,040
32,950 Intimate Brands, Inc. ................. 1,561,006
-----------
3,402,046
-----------
APPAREL AND OTHER
FINISHED PRODUCTS (1.24%)
39,780 Tommy Hilfiger Corp. (b)............... 2,921,363
-----------
AUTO REPAIR AND PARKING (.11%)
7,140 Central Parking Corp. ................. 244,545
-----------
BUSINESS SERVICES (18.56%)
25,675 Citrix Systems, Inc. (b)............... 1,450,637
78,910 Clear Channel Communications, Inc. (b). 5,439,898
49,020 Concord EFS, Inc. (b).................. 2,074,134
12,895 eBay, Inc. (b)......................... 1,951,980
98,860 Electronic Arts, Inc. (b).............. 5,363,155
22,900 Exodus Communications, Inc. (b)........ 2,746,580
137,670 First Data Corp. ...................... 6,737,294
18,770 Interpublic Group of Companies, Inc. .. 1,625,951
55,020 Omnicom Group, Inc. ................... 4,401,600
151,125 Outdoor Systems, Inc. (b).............. 5,516,062
101,560 Sotheby's Holdings, Inc., Class A...... 3,871,975
15,435 Yahoo!, Inc. (b)....................... 2,658,679
-----------
43,837,945
-----------
CHEMICALS AND ALLIED PRODUCTS (2.39%)
31,380 Biogen, Inc. (b)....................... 2,018,110
36,920 Estee Lauder Companies, Inc., Class A.. 1,850,615
25,990 Medimmune, Inc. (b).................... 1,760,823
-----------
5,629,548
-----------
COMMUNICATIONS BY PHONE, TELEVISION,
RADIO, CABLE (12.46%)
3,070 American Mobile Satellite Corp. (b).... 50,271
76,950 Cox Communications, Inc., Class A (b).. 2,832,683
45,230 EchoStar Communications Corp.,
Class A (b) ........................... 6,940,001
49,500 Frontier Corp. ........................ 2,920,500
88,430 Infinity Broadcasting Corp. (b)........ 2,630,793
21,580 NEXTLINK Communications, Inc. (b)...... 1,605,013
361,705 Research in Motion, Ltd. (b)........... 7,324,526
22,840 TCA Cable TV, Inc. .................... 1,267,620
13,490 TV Guide, Inc., Class A (b)............ 494,071
27,030 Teligent, Inc., Class A (b)............ 1,616,718
43,410 USA Networks, Inc. (b)................. 1,741,826
-----------
29,424,022
-----------
DEPOSITORY INSTITUTIONS (4.46%)
35,910 Fifth Third Bancorp.................... $ 2,390,241
17,900 Marshall & Ilsley Corp. ............... 1,152,313
128,200 Mellon Bank Corp. ..................... 4,663,275
36,750 Zions Bancorporation................... 2,333,625
-----------
10,539,454
-----------
DURABLE GOODS, WHOLESALE (3.77%)
56,350 Tech Data Corp. (b).................... 2,155,388
125,370 W.W. Grainger, Inc. ................... 6,746,410
-----------
8,901,798
-----------
EATING AND DRINKING PLACES (0.48%)
30,420 Starbucks Corp. (b).................... 1,142,636
-----------
EDUCATIONAL SERVICES (0.12%)
11,080 Apollo Group, Inc., Class A (b)........ 294,307
-----------
ELECTRIC, GAS, WATER, COGENERATION,
SANITARY SERVICES (0.96%)
59,250 Azurix Corp. (b)....................... 1,185,000
41,170 Energy East Corp. ..................... 1,070,420
-----------
2,255,420
-----------
ELECTRICAL, OTHER ELECTRICAL EQUIPMENT,
EXCEPT COMPUTERS (9.26%)
9,090 Analog Devices, Inc. (b)............... 456,209
17,175 Comverse Technology, Inc. (b).......... 1,296,713
43,870 The DII Group, Inc. (b)................ 1,636,877
128,080 General Instrument Corp. (b)........... 5,443,400
55,130 Jabil Circuit, Inc. (b)................ 2,487,741
27,360 LSI Logic Corp. (b).................... 1,261,980
39,840 Lattice Semiconductor Corp. (b)........ 2,480,040
18,450 Maxim Integrated Products, Inc. (b).... 1,226,925
56,880 Vitesse Semiconductor Corp. (b)........ 3,835,873
30,530 Xilinx, Inc. (b)....................... 1,747,843
-----------
21,873,601
-----------
FOOD AND KINDRED PRODUCTS (1.38%)
21,200 Tootsie Roll Industries, Inc. ......... 818,850
27,060 Wm. Wrigley Jr. Co. ................... 2,435,400
-----------
3,254,250
-----------
FOOD STORES (3.11%)
263,200 Kroger Co. (b)......................... 7,353,282
-----------
GENERAL MERCHANDISE STORES (4.89%)
63,980 Ames Department Stores, Inc. (b)....... 2,919,088
359,800 Family Dollar Stores, Inc. ............ 8,635,200
-----------
11,554,288
-----------
- ------------------------------------------
(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.
The accompanying notes are an integral part of these financial statements.
(Continued)
13
<PAGE>
CONSECO SERIES TRUST
EQUITY PORTFOLIO
Statement of Investments in Securities--Continued
JUNE 30, 1999
(UNAUDITED)
===================================================================
NUMBER
OF SHARES SECURITY VALUE
- -------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
HOME FURNITURE AND
EQUIPMENT STORES (3.33%)
41,880 Circuit City Stores, Inc. ............. $ 3,894,840
60,100 Tandy Corp. ........................... 2,937,388
91,090 Trans World Entertainment Corp. (b).... 1,024,763
-----------
7,856,991
-----------
INDUSTRIAL COMMERCIAL MACHINERY,
COMPUTER EQUIPMENT (2.94%)
54,190 Adaptec, Inc. (b)...................... 1,913,557
36,570 Baker Hughes, Inc. .................... 1,225,095
64,020 Mettler-Toledo International, Inc. (b). 1,588,464
34,490 Pitney Bowes, Inc. .................... 2,215,983
-----------
6,943,099
-----------
INSURANCE AGENTS, BROKERS (1.83%)
57,210 Marsh & McLennan Companies, Inc. ...... 4,319,355
-----------
INSURANCE COMPANIES (2.43%)
37,300 Allmerica Financial Corp. ............. 2,268,288
66,380 Lincoln National Corp. ................ 3,472,471
-----------
5,740,759
-----------
MEASURING INSTRUMENTS,
PHOTO GOODS, WATCHES (7.62%)
31,540 Bausch & Lomb, Inc. ................... 2,412,810
94,530 Boston Scientific Corp. (b)............ 4,153,459
81,850 Sybron International Corp. (b)......... 2,255,950
16,570 VISX, Inc. (b)......................... 1,312,145
147,800 Waters Corp. (b)....................... 7,851,875
-----------
17,986,239
-----------
MISCELLANEOUS RETAIL (0.50%)
59,280 Valuevision International, Inc.,
Class A (b) ......................... 1,178,190
-----------
NON-DEPOSITORY
CREDIT INSTITUTIONS (3.76%)
55,855 Capital One Financial Corp. ........... 3,110,453
61,690 Providian Financial Corp. ............. 5,768,015
-----------
8,878,468
-----------
NON-DURABLE GOODS WHOLESALE (1.05%)
35,772 Bindley Western Industries, Inc. ...... 824,974
38,740 U.S. Foodservice (b)................... 1,651,293
-----------
2,476,267
-----------
OIL AND GAS EXTRACTION (2.15%)
59,670 ENSCO International, Inc. ............. 1,189,700
83,400 Nabors Industries, Inc. (b)............ 2,038,129
70,290 Transocean Offshore, Inc. ............. 1,845,113
-----------
5,072,942
-----------
PRINTING, PUBLISHING AND
ALLIED LINES (0.25%)
1,075 The Washington Post Co., Class B....... 579,963
-----------
SECURITY AND
COMMODITY BROKERS (0.58%)
12,545 Charles Schwab Corp. .................. 1,378,382
-----------
STONE, CLAY, GLASS,
CONCRETE PRODUCTS (1.43%)
17,850 Corning, Inc. ......................... $ 1,251,731
33,200 Southdown, Inc. ....................... 2,133,100
-----------
3,384,831
-----------
TEXTILE MILL PRODUCTS (1.39%)
199,500 Shaw Industries, Inc. ................. 3,291,750
-----------
TRANSPORTATION EQUIPMENT (1.26%)
54,800 Harley-Davidson, Inc. ................. 2,979,750
-----------
WATER TRANSPORTATION (1.79%)
96,580 Royal Caribbean Cruises, Ltd. ......... 4,225,375
-----------
TOTAL COMMON STOCKS (COST $204,250,339) $231,746,257
-----------
PRINCIPAL
AMOUNT
- --------- COMMERCIAL PAPER
(1.86% of total investments) (a)
NON-DEPOSITORY
CREDIT INSTITUTIONS (1.86%)
$4,400,000 Ford Motor Credit Co., 5.750%,
due 07/01/1999......................... $ 4,400,000
------------
TOTAL COMMERCIAL PAPER (COST $4,400,000) $ 4,400,000
------------
TOTAL INVESTMENTS IN SECURITIES
(COST $208,650,339) (C)................ $236,146,257
------------
- ---------------------------------------------
(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.
The accompanying notes are an integral part of these financial statements.
14
<PAGE>
CONSECO SERIES TRUST
FIXED INCOME PORTFOLIO
Statement of Investments in Securities
JUNE 30, 1999
(UNAUDITED)
===================================================================
PRINCIPAL
AMOUNT SECURITY VALUE
- -------------------------------------------------------------------
CORPORATE BONDS
(58.56% of total investments) (a)
AIR TRANSPORTATION (4.36%)
$ 400,000 Continental Airlines, Inc., Series
97-4A-ETC, 6.900%, due 07/02/2019...... $ 388,599
395,899 Continental Airlines, Inc., Series
98-1A-ETC, 6.650%, due 03/15/2019...... 378,186
156,321 Delta Airlines 1992 ETC-C, 8.540%,
due 01/02/2007......................... 163,551
250,000 Delta Airlines, Series C, MTN, 6.650%,
due 03/15/2004......................... 246,563
-----------
1,176,899
-----------
APPAREL AND OTHER
FINISHED PRODUCTS (0.89%)
250,000 Tommy Hilfiger Corp., 6.500%,
due 06/01/2003......................... 241,563
-----------
AUTO REPAIR AND PARKING (2.40%)
100,000 Amerco -MTN, 6.710%, due 10/15/2008.... 91,125
300,000 Amerco -MTN, 7.470%, due 01/15/2027.... 305,625
250,000 Avis Rent A Car, Inc., 11.000%, due
05/01/2009 (d) Cost - $254,438;
Acquired - 06/28/99 ................... 250,937
-----------
647,687
-----------
BUSINESS SERVICES (0.54%)
250,000 Pinnacle Holdings, Inc., STEP (f),
0.000%/10.000%, due 03/15/2008......... 145,625
-----------
CHEMICALS AND ALLIED PRODUCTS (0.72%)
200,000 Smith International, Inc., 7.000%,
due 09/15/2007......................... 195,250
-----------
COMMUNICATIONS BY PHONE, TELEVISION,
RADIO, CABLE (6.19%)
200,000 Charter Communications, Inc., 8.250%,
due 04/01/2007 (d) Cost - $199,466;
Acquired - 03/12/99.................... 192,000
500,000 GTE Northwest, Inc., 5.550%,
due 10/15/2008......................... 479,375
250,000 Lenfest Communications, Inc., 10.500%,
due 06/15/2006......................... 287,500
130,000 Level 3 Communications, Inc., 9.125%,
due 05/01/2008......................... 128,375
120,000 Level 3 Communications, Inc., 0.000%,
due 12/01/2008......................... 74,100
200,000 News America Holdings, Inc., 7.280%,
due 06/30/2028......................... 186,250
250,000 Telecommunications, Inc., 10.125%,
due 04/15/2022......................... 323,741
-----------
1,671,341
-----------
DEPOSITORY INSTITUTIONS (5.62%)
300,000 Dime Bancorp, Inc., 7.000%,
due 07/25/2001......................... 298,125
750,000 St. Paul Bancorp, 7.125%,
due 02/15/2004......................... 749,062
500,000 Union Planters Bank, National
Association, 6.500%, due 03/15/2018.... 470,625
-----------
1,517,812
-----------
EATING AND DRINKING PLACES (0.72%)
200,000 Marriott International, Inc., 6.625%,
due 11/15/2003......................... 195,500
-----------
ELECTRIC, GAS, WATER, COGENERATION,
SANITARY SERVICES (8.41%)
300,000 AEP Resources, Inc., 6.500%,
due 12/01/2003 (d) Cost - $303,129;
Acquired - 12/15/1998.................. 291,375
600,000 AES Eastern Energy, 9.000%,
due 01/02/2017 (d) Cost - $600,000;
Acquired - 05/11/99.................... 581,024
500,000 Coastal Corp., 6.700%, due 02/15/2027.. 494,375
150,000 MCN Investment Corp., 6.350%,
due 04/02/2012......................... 148,687
300,000 Tenneco, Inc., 10.200%, due 03/15/2008. 351,375
400,000 Waste Management, Inc., 6.625%,
due 07/15/2002......................... 402,000
-----------
2,268,836
-----------
FOOD AND KINDRED PRODUCTS (1.80%)
500,000 Pan-American Beverage, Inc., 8.125%,
due 04/01/2003......................... 485,625
-----------
FOOD STORES (1.66%)
250,000 Kroger Co., 6.000%, due 07/01/2000..... 249,687
200,000 Safeway, Inc., 5.750%, due 11/15/2000.. 199,250
-----------
448,937
-----------
GENERAL MERCHANDISE STORES (2.76%)
400,000 Fred Meyer, Inc., 7.450%, due
due 03/01/2008 ........................ 407,000
350,000 Shopko Stores, Inc., 6.500%,
due 08/15/2003 ........................ 339,937
-----------
746,937
-----------
HOTELS, OTHER LODGING PLACES (0.88%)
250,000 HMH Properties, Inc., 8.450%,
due 12/01/2008 ........................ 237,500
-----------
INDUSTRIAL COMMERCIAL MACHINERY,
COMPUTERS (1.11%)
300,000 Case Credit Corp., MTN, 6.120%,
due 08/01/2001......................... 298,125
-----------
INSURANCE COMPANIES (3.90%)
150,000 Delphi Financial, 8.000%, due 10/01/2003 152,625
500,000 Mutual Life Insurance Co., NY, STEP (f),
0.000%/11.250%, due 08/15/2024 (d)
Cost - $666,635; Acquired 06/23/1999... 658,489
300,000 Orion Capital Trust II, 7.701%,
due 04/15/2028 ........................ 241,125
-----------
1,052,239
-----------
- ------------------------------------------
(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.
(e) Green Tree Financial Corp., a wholly owned subsidiary of Conseco, Inc., is
the Seller to and Servicer for the Trust issuing the Certificates.
(f) PIK - Payment In Kind. STEP - Bonds where the coupon increases or steps up
at a predetermined rate. TOPRS - Trust Originated Preferred Securities.
The accompanying notes are an integral part of these financial statements.
(Continued)
15
<PAGE>
CONSECO SERIES TRUST
FIXED INCOME PORTFOLIO
Statement of Investments in Securities--Continued
JUNE 30, 1999
(UNAUDITED)
===================================================================
PRINCIPAL
AMOUNT SECURITY VALUE
- -------------------------------------------------------------------
CORPORATE BONDS (CONTINUED)
LUMBER AND WOOD PRODUCTS,
EXCEPT FURNITURE (1.11%)
$ 300,000 West Fraser Mill, 7.250%,
due 09/15/2002 (d) Cost - $297,753,
Acquired - 09/26/1995.................. $ 298,500
-----------
MISCELLANEOUS RETAIL (0.40%)
100,000 Michaels Stores, Inc., 10.875%,
due 06/15/2006 ........................ 107,500
-----------
MOTION PICTURES (0.87%)
250,000 Regal Cinemas, Inc., 9.500%,
due 06/01/2008 ........................ 234,375
-----------
NON-DEPOSITORY
CREDIT INSTITUTIONS (0.23%)
250,000 DSPL Finance Co., 9.120%,
due 12/30/2010 (d) Cost - $250,000;
Acquired 08/15/1996.................... 62,500
-----------
OIL AND GAS EXTRACTION (1.71%)
250,000 LASMO (USA) Inc., 8.375%, due 06/21/2023 264,062
200,000 Occidental Petroleum Corp., 6.750%,
due 11/15/2002......................... 198,500
-----------
462,562
-----------
PAPER AND ALLIED PRODUCTS (0.92%)
250,000 Potlatch Corp., 6.250%, due 03/15/2002 (d)
Cost - $249,838; Acquired 03/10/1999... 246,875
-----------
PETROLEUM-REFINING AND
RELATED INDUSTRIES (0.19%)
50,000 Pennzoil, Co., 10.125%, due 11/15/2009. 50,750
-----------
REAL ESTATE INVESTMENT TRUSTS
(REITS) (3.80%)
100,000 CarrAmerica Realty Corp., 6.625%,
due 03/01/2005......................... 93,500
400,000 Chelsea GCA Realty Partnership, L.P.,
7.250%, due 10/21/2007................. 375,500
150,000 Colonial Realty, L.P., 7.500%,
due 07/15/2001 ........................ 147,938
200,000 Corporate Property Investors, Inc,
9.000%, due 03/15/2002 (d) Cost -
$219,360; Acquired - 03/17/1998........ 211,000
100,000 United Dominion Realty Trust, Inc.,
8.125%, due 11/15/2000................. 99,500
100,000 United Dominion Realty Trust, Inc.,
MTN, 7.600%, due 01/25/2002............ 97,500
-----------
1,024,938
-----------
SECURITY AND COMMODITY BROKERS (5.54%)
600,000 Fidelity Investments, 7.570%,
due 06/15/2029 (d) Cost - $600,000;
Acquired 06/17/1999.................... 598,500
750,000 Lehman Brothers Holdings, Inc., 7.000%,
due 05/15/2003......................... 746,250
150,000 Salomon Smith Barney Holdings, Inc.,
Series C, MTN, 6.500%, due 08/15/2003.. 149,438
-----------
1,494,188
-----------
TOBACCO PRODUCTS (1.83%)
500,000 R.J. Reynolds Tobacco Holdings, Inc.,
7.375%, due 05/15/2003 (d) Cost -
$499,155; Acquired 05/10/1999.......... 493,750
-----------
TOTAL CORPORATE BONDS (COST $16,264,860) $15,805,814
-----------
MUNICIPAL BONDS
(6.71% of total investments) (a)
PUBLIC FINANCE, TAXATION (6.71%)
200,000 Azusa Pacific University California,
Revenue, 7.250%, due 04/01/2009........ 202,000
350,000 Doylestown Pennsylvania, Hospital
Authority, Revenue, 8.375%,
due 07/01/2008......................... 357,438
90,000 Fort Worth Texas, Higher Education,
Finance Corp., Revenue, 7.500%,
due 10/01/2006......................... 91,463
95,000 Lake County Florida, Resource Recovery,
Industrial Development, Revenue, 7.125%,
due 10/01/1999......................... 95,134
250,000 Mississippi Development Bank, Special
Obligation, Series 1998, 8.500%,
due 12/01/2018......................... 226,250
360,002 Philadelphia Pennsylvania,
Authority for Industrial Development,
Revenue, 6.488%, due 06/15/2004........ 361,802
180,000 Reeves County Texas Certificates of
Participation, 6.700%, due 03/31/2005.. 180,000
300,000 Reeves County Texas Certificates of
Participation, 7.250%, due 06/01/2011.. 297,000
-----------
TOTAL MUNICIPAL BONDS (COST $1,836,064) $ 1,811,087
-----------
- -----------------------------------------
(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.
(e) Green Tree Financial Corp., a wholly owned subsidiary of Conseco, Inc., is
the Seller to and Servicer for the Trust issuing the Certificates.
(f) PIK - Payment In Kind. STEP - Bonds where the coupon increases or steps up
at a predetermined rate. TOPRS - Trust Originated Preferred Securities.
The accompanying notes are an integral part of these financial statements.
(Continued)
16
<PAGE>
CONSECO SERIES TRUST
FIXED INCOME PORTFOLIO
Statement of Investments in Securities--Continued
JUNE 30, 1999
(UNAUDITED)
===================================================================
PRINCIPAL
AMOUNT SECURITY VALUE
- -------------------------------------------------------------------
ASSET BACKED SECURITIES
(11.26% of total investments) (a)
$ 195,057 Bear Stearns Commercial Mortgage
Securities, Inc., 99-C1 A1, 5.910%,
due 05/14/2008....... $ 188,718
100,000 COMED Transitional Funding Trust 1998-1 A7,
5.740%, due 12/25/2010................. 91,289
500,000 Contimortgage Home Equity Loan Trust
1998-2 A7, 6.570%, due 03/15/2023...... 475,410
250,000 Copelco Capital Funding Corp. 98-A A2,
5.780%, due 08/15/2000................. 250,000
400,000 EQCC Home Equity Loan Trust 96-4 A6,
6.880%, due 07/15/2014................. 402,000
200,000 EQCC Home Equity Loan Trust 97-1 A7,
7.120%, due 05/15/2028................. 198,710
390,709 GMAC Commercial Mortgage Securities, Inc.,
1999-C1 A1, 5.830%, due 05/15/2033..... 376,072
200,000 Green Tree Financial Corp. 1994-4 A5,
8.300%, due 07/15/2019 (e)............. 207,938
49,432 Green Tree Recreational Equipment &
Consumer Trust, 96-A A1, 5.550%,
due 02/15/2018 (e)..................... 48,713
254,523 Green Tree Recreational Equipment &
Consumer Trust, 97-C B, 6.750%,
due 02/15/2018 (e)..................... 237,224
33,346 National Car Rental Financing, L.P.
1996-1 A2, 6.800%, due 04/20/2000...... 33,346
289,308 Nationslink Funding Corp. 98-2 A1, 6.001%,
due 11/20/2007......................... 281,318
50,000 Nationslink Funding Corp. 98-2 A2, 6.476%,
due 07/20/2008......................... 48,475
200,000 Nationslink Funding Corp. 99-1 A2, 6.316%,
due 11/20/2008......................... 191,555
8,016 New York City Tax Lien 1996-1 B, 6.910%,
due 05/25/2005......................... 7,996
-----------
TOTAL ASSET BACKED SECURITIES
(COST $3,298,249)...................... $ 3,038,764
-----------
COLLATERALIZED MORTGAGE OBLIGATIONS
(2.85% OF TOTAL INVESTMENTS) (A)
40,205 FHLMC Structured Pass Through Securities
T-4 A1, 7.625%, due 08/25/2022......... $ 40,431
50,000 FHR 2149 TRUST, 6.500%, due 01/15/2022. 49,096
500,000 Iroquois Trust 97-1 A, 7.000%,
due 12/15/2006 ........................ 501,426
17,527 JP Morgan Commercial Mortgage Finance Corp.
97-C4 A1, 6.939%, due 12/26/2028....... 17,524
157,441 Rural Housing Trust 1987-1 3B, 7.330%,
due 04/01/2026......................... 160,836
-----------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(COST $608,105)........................ $ 769,313
-----------
U. S. GOVERNMENT AND AGENCY OBLIGATIONS
(9.21% of total investments) (a)
174,508 Federal Home Loan Mortgage Corp.,
# G00479, 9.000%, due 04/01/2025....... $ 185,034
389,763 Federal Home Loan Mortgage Corp.,
# G00943, 6.000%, due 07/01/2028....... 367,352
333,666 Federal Home Loan Mortgage Corp.,
# E73076, 6.000%, due 11/01/2013....... 322,301
446,701 Federal Home Loan Mortgage Corp.,
# C00712, 6.500%, due 02/01/2029....... 432,044
190,677 Federal Home Loan Mortgage Corp.,
# E00592, 6.000%, due 12/01/2013....... 184,183
24,865 Federal National Mortgage Assn.,
# 062289, 6.710%, due 03/01/2028....... 24,771
118,408 Federal National Mortgage Assn.,
# 183567, 7.500%, due 11/01/2022....... 119,703
156,808 Federal National Mortgage Assn.,
# 286122, 7.000%, due 06/01/2024....... 155,142
121,359 Federal National Mortgage Assn.,
#349410, 7.000%, due 08/01/2026........ 120,069
49,766 Government National Mortgage Assn.,
# 354859, 9.000%, due 07/15/2024....... 52,846
1,342 Government National Mortgage Assn.,
# 051699, 15.000%, due 07/15/2011...... 1,583
2,046 Government National Mortgage Assn.,
# 056522, 14.000%, due 08/15/2012...... 2,403
60,000 U.S. Treasury Bond, 5.250%, due 11/15/2028 53,141
475,000 U.S. Treasury Note, 5.500%, due 05/15/2009 465,065
-----------
TOTAL U.S. GOVERNMENT AND AGENCY
OBLIGATIONS (COST $2,521,268).......... $ 2,485,637
-----------
- ---------------------------------------------
(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.
(e) Green Tree Financial Corp., a wholly owned subsidiary of Conseco, Inc., is
the Seller to and Servicer for the Trust issuing the Certificates.
(f) PIK - Payment In Kind. STEP - Bonds where the coupon increases or steps up
at a predetermined rate. TOPRS - Trust Originated Preferred Securities.
The accompanying notes are an integral part of these financial statements.
(Continued)
17
<PAGE>
CONSECO SERIES TRUST
FIXED INCOME PORTFOLIO
Statement of Investments in Securities--Continued
JUNE 30, 1999
(UNAUDITED)
===================================================================
NUMBER
OF SHARES SECURITY VALUE
- -------------------------------------------------------------------
PREFERRED STOCKS
(3.26% of total investments) (a)
INSURANCE COMPANIES (1.47%)
16,000 Lincoln National Corp., 6.400%,
TOPRS (f) ............................. $ 397,200
-----------
MEASURING INSTRUMENTS;
PHOTO GOODS; WATCHES (.41%)
1,682 River Holding Corp., Series B, PIK
(f), 11.500% .......................... 109,293
-----------
NON-DEPOSITORY CREDIT
INSTITUTIONS (1.38%)
350 Centaur Funding Corp., 9.080%, (d)
Cost - $358,256; Acquired - 12/09/98,
01/04/99............................... 372,181
-----------
TOTAL PREFERRED STOCKS (COST $908,284). $ 878,674
-----------
PRINCIPAL
AMOUNT
- ---------
COMMERCIAL PAPER
(8.15% of total investments) (a)
DEPOSITORY INSTITUTIONS (3.71%)
$1,000,000 Citibank Capital Markets Assets, 5.800%,
due 07/01/1999......................... $ 1,000,000
-----------
NON-DEPOSITORY CREDIT
INSTITUTIONS (4.44%)
1,200,000 Ford Motor Credit Co., 5.750%,
due 07/01/1999......................... 1,200,000
-----------
TOTAL COMMERCIAL PAPER (COST $2,200,000) $ 2,200,000
-----------
TOTAL INVESTMENTS IN SECURITIES
(COST $27,636,830) (C)................. $26,989,289
-----------
- --------------------------------------------------
(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.
(e) Green Tree Financial Corp., a wholly owned subsidiary of Conseco, Inc., is
the Seller to and Servicer for the Trust issuing the Certificates.
(f) PIK - Payment In Kind. STEP - Bonds where the coupon increases or steps up
at a predetermined rate. TOPRS - Trust Originated Preferred Securities.
The accompanying notes are an integral part of these financial statements.
18
<PAGE>
CONSECO SERIES TRUST
GOVERNMENT SECURITIES PORTFOLIO
Statement of Investments in Securities
JUNE 30, 1999
(UNAUDITED)
===================================================================
PRINCIPAL
AMOUNT SECURITY VALUE
- -------------------------------------------------------------------
CORPORATE BONDS
(10.20% of total investments) (a)
AIR TRANSPORTATION (1.50%)
$ 150,000 Airborne Freight Corp., 8.875%,
due 12/15/2002......................... $ 159,938
-----------
APPAREL AND OTHER
FINISHED PRODUCTS (0.90%)
100,000 Tommy Hilfiger Corp., 6.500%,
due 06/01/2003 ......................... 96,625
-----------
ELECTRICAL EQUIPMENT,
EXCEPT COMPUTERS (2.21%)
250,000 U.S. Industries, Inc., 7.125%,
due 10/15/2003 (d) Cost-$252,518,
Acquired 10/28/1998.................... 236,250
-----------
FOOD AND KINDRED PRODUCTS (1.86%)
100,000 Nabisco, Inc., 6.000%, due 02/15/2011.. 99,375
100,000 Tyson Foods, Inc., 6.080%, due 02/01/2010 100,000
-----------
199,375
-----------
FOOD STORES (0.93%)
100,000 Safeway, Inc., 5.750%, due 11/15/2000.. 99,625
-----------
MEASURING INSTRUMENTS,
PHOTO GOODS, WATCHES (0.93%)
100,000 Bausch & Lomb, Inc., 6.150%, due 08/01/200 99,375
-----------
SECURITY AND COMMODITY BROKERS (1.87%)
100,000 Lehman Brothers Holdings, Inc., 7.000%,
due 05/15/2003......................... 99,500
100,000 Morgan Stanley Dean Witter & Co., 5.875%,
due 04/24/2000......................... 100,226
-----------
199,726
-----------
TOTAL CORPORATE BONDS (COST $1,117,886) $ 1,090,914
-----------
MUNICIPAL BONDS
(14.04% of total investments) (a)
PUBLIC FINANCE, TAXATION (14.04%)
280,000 Alaska Industrial Development & Export
Auth., 6.625%, due 05/01/2006.......... $ 271,950
200,000 Azusa Pacific University California,
Revenue, 7.250%, due 04/01/2009........ 202,000
330,000 Cherokee County Georgia Water and Sewer
Authority, Revenue, 6.750%, due 08/01/2009 327,938
115,000 Halifax Florida Hospital, Revenue,
Series B, 6.375%, due 04/01/2001....... 115,143
300,000 Las Vegas, Nevada, 6.700%, due 07/01/2008 299,250
100,000 Philadelphia Pennsylvania,
Authority for Industrial Development,
Revenue, 6.350%, due 04/15/2028........ 87,875
200,000 Pinellas County Florida Housing Finance
Authority Multifamily Mtg., Revenue,
6.750%, due 07/01/2011................. 198,000
-----------
TOTAL MUNICIPAL BONDS (COST $1,523,490) $ 1,502,156
-----------
ASSET BACKED SECURITIES
(4.86% of total investments) (a)
48,764 Bear Stearns Commercial Mortgage
Securities, Inc., 99-C1 A1, 5.910%,
due 05/14/2008......................... $ 47,179
200,000 EQCC Home Equity Loan Trust 97-1 A7,
7.120%,due 05/15/2028.................. 198,710
127,262 Green Tree Recreational Equipment &
Consumer Trust, 97-C B, 6.750%,
due 02/15/2018 (c)..................... 118,612
100,000 Metris Master Trust 97-1 B, 7.110%,
due 10/20/2005......................... 99,560
55,916 Tiers Asset-Backed Securities, Series
CHAMT Trust 1997-7, 6.688%, due
11/15/2003............................. 55,813
-----------
TOTAL ASSET BACKED SECURITIES
(COST $539,439)........................ $ 519,874
-----------
COLLATERALIZED MORTGAGE OBLIGATIONS
(5.51% of total investments) (a)
$ 600,000 FHR 2149 TRUST, 6.500%, due 01/15/2022. $ 589,148
-----------
TOTAL COLLATERALIZED MORTGAGE
OBLIGATIONS (COST $589,148)............ $ 589,148
-----------
- -------------
(a) Using Standard Industry Codes prepared by the Technical Committee on
Industrial Classifications.
(b) Cost also represents cost for federal income tax purposes.
(c) Green Tree Financial Corp., a wholly owned subsidiary of Conseco,
Inc., is the Seller to and Servicer for the Trust issuing the Certificates.
(d) Restricted under Rule 144A of the Securities Act of 1933.
(e) TOPRS - Trust Originated Preferred Securities.
The accompanying notes are an integral part of these financial statements.
(Continued)
19
<PAGE>
CONSECO SERIES TRUST
GOVERNMENT SECURITIES PORTFOLIO
Statement of Investments in Securities--Continued
JUNE 30, 1999
(UNAUDITED)
===================================================================
PRINCIPAL
AMOUNT SECURITY VALUE
- -------------------------------------------------------------------
U. S. GOVERNMENT AND AGENCY OBLIGATIONS
(55.12% of total investments) (a)
$ 100,000 Federal Home Loan Bank, 5.275%,
due 11/20/2003......................... $ 94,908
250,000 Federal Home Loan Bank, 5.250%,
due 01/29/2004......................... 241,320
250,000 Federal Home Loan Bank, 6.100%,
due 10/12/2000......................... 250,518
250,000 Federal Home Loan Bank, 6.020%,
due 10/29/2003......................... 247,637
148,045 Federal Home Loan Mortgage Corp.,
Multi Family Pool, 6.775%, due 11/01/2003 148,519
100,908 Federal Home Loan Mortgage Corp.,
# D66012, 7.000%, due 11/01/2025....... 99,993
55,240 Federal Home Loan Mortgage Corp.,
# E00441, 7.500%, due 07/01/2011....... 56,173
200,000 Federal National Mortgage Assn., MTN,
6.110%, due 07/14/2003................. 199,360
200,000 Federal National Mortgage Assn., MTN,
5.330%, due 10/22/2003................. 191,887
250,000 Federal National Mortgage Assn., MTN,
6.430%, due 02/06/2008................. 244,031
150,000 Federal National Mortgage Assn., MTN,
6.000%, due 02/23/2009................. 140,289
500,000 Federal National Mortgage Assn., MTN,
6.200%, due 04/01/2009................. 474,372
650,000 Federal National Mortgage Assn., Series
B, MTN, 6.040%, due 02/25/2009......... 614,949
61,241 Federal National Mortgage Assn.,
# 174166, 8.000%, due 06/01/2002....... 62,006
85,904 Federal National Mortgage Assn.,
# 303780, 7.000%, due 03/01/2026....... 84,992
1,428 Government National Mortgage Assn.,
# 044522, 13.000%, due 03/15/2011...... 1,653
4,501 Government National Mortgage Assn.,
# 119896, 13.000%, due 11/15/2014...... 5,213
340,335 Government National Mortgage Assn.,
# 408675, 7.500%, due 01/15/2026....... 343,951
200,000 U.S. Treasury Bond, 8.000%, due 11/15/2021 240,745
100,000 U.S. Treasury Bond, 6.375%, due 08/15/2027 102,441
1,150,000 U.S. Treasury Bond, 5.250%, due 11/15/2028 1,018,527
150,000 U.S. Treasury Note, 5.500%, due 02/15/2008 145,880
550,000 U.S. Treasury Note, 4.750%, due 11/15/2008 504,923
400,000 U.S. Treasury Note, 4.750%, due 02/15/2004 383,500
-----------
TOTAL U.S. GOVERNMENT AND AGENCY
OBLIGATIONS (COST $6,104,125).......... $ 5,897,787
-----------
NUMBER
OF SHARES SECURITY VALUE(b)
- -------------------------------------------------------------------
PREFERRED STOCKS
(0.93% of total investments) (a)
INSURANCE COMPANIES (0.93%)
4,000 Lincoln National Corp., 6.400%, TOPRS (e) $ 99,300
-----------
TOTAL PREFERRED STOCKS (COST $100,000). $ 99,300
-----------
PRINCIPAL
AMOUNT SECURITY VALUE(B)
- -------------------------------------------------------------------
COMMERCIAL PAPER
(9.34% of total investments) (a)
DEPOSITORY INSTITUTIONS (4.67%)
$ 500,000 Citibank Capital Markets Assets, 5.800%,
due 07/01/1999......................... $ 500,000
-----------
NON-DEPOSITORY INSTITUTIONS (4.67%)
500,000 Ford Motor Credit Co., 5.750%,
due 07/01/1999......................... 500,000
-----------
TOTAL COMMERCIAL PAPER (COST $1,000,000). $ 1,000,000
-----------
TOTAL INVESTMENTS IN SECURITIES
(COST $10,974,088) (B)................. $10,699,179
-----------
- --------------------------------------------------
(a) Using Standard Industry Codes prepared by the Technical Committee on
Industrial Classifications.
(b) Cost also represents cost for federal income tax purposes.
(c) Green Tree Financial Corp., a wholly owned subsidiary of Conseco,
Inc., is the Seller to and Servicer for the Trust issuing the Certificates.
(d) Restricted under Rule 144A of the Securities Act of 1933.
(e) TOPRS - Trust Originated Preferred Securities.
The accompanying notes are an integral part of these financial statements.
20
<PAGE>
CONSECO SERIES TRUST
MONEY MARKET PORTFOLIO
Statement of Investments in Securities--Continued
JUNE 30, 1999
(UNAUDITED)
===================================================================
PRINCIPAL
AMOUNT SECURITY VALUE(b)
- -------------------------------------------------------------------
BONDS
(9.12% of total investments) (a)
MUNICIPAL BONDS (7.89%)
$1,000,000 Abilene, Texas Health Facilities
Development - SAVR, 5.100%,
due 09/22/2025......................... $ 1,000,000
1,000,000 Boca Raton Community Hospital, 5.050%,
due 12/01/2028......................... 1,000,000
700,000 Community Health Systems, 5.200%,
due 10/03/2003......................... 700,000
500,000 Oklahoma City Airport Trust, 9.750%,
due 07/01/2001......................... 504,810
-----------
3,204,810
-----------
U.S. GOVERNMENT AND AGENCY
OBLIGATIONS (1.23%)
500,000 Federal National Mortgage Assn., MTN,
6.500%, due 07/16/2099................. 501,150
-----------
TOTAL BONDS............................ $ 3,705,960
-----------
CERTIFICATES OF DEPOSIT
(20.44% of total investments) (a)
DEPOSITORY INSTITUTIONS (16.99%)
1,000,000 Bank of Montreal Chicago, 4.980%,
due 07/21/1999......................... $ 999,955
1,000,000 Bayerische Landesbank NY, 5.650%,
due 07/23/1999......................... 1,000,334
1,400,000 First National Bank Chicago, 4.870%,
due 07/08/1999......................... 1,399,985
1,100,000 Royal Bank of Canada, 4.910%,
due 08/09/1999......................... 1,100,000
1,400,000 Societe Generale, 5.670%, due 08/06/1999 1,400,787
1,000,000 Toronto Dominion New York, 4.930%,
due 07/12/1999......................... 1,000,000
-----------
6,901,061
-----------
SECURITY AND COMMODITY BROKERS (3.45%)
1,400,000 Morgan Stanley, Dean Witter, Discover,
and Co., 4.900%, due 07/19/1999........ 1,399,965
-----------
TOTAL CERTIFICATE OF DEPOSITS.......... $ 8,301,026
-----------
COMMERCIAL PAPER
(70.44% of total investments) (a)
AIR TRANSPORTATION (3.93%)
1,600,000 Kitty Hawk Funding Corp., 5.000%,
due 07/19/1999......................... $ 1,595,777
-----------
BUSINESS SERVICES (3.43%)
1,400,000 International Lease Finance Corp., 4.780%,
due 08/06/1999......................... 1,393,122
-----------
CHEMICALS AND ALLIED PRODUCTS (9.83%)
1,500,000 Abbott Laboratories, 4.860%, due 07/14/1999 1,497,165
1,000,000 Monsanto Co., 4.850%, due 07/09/1999... 998,788
1,500,000 The Proctor and Gamble Co., 4.900%,
due 07/13/1999......................... 1,497,346
-----------
3,993,299
-----------
COMMUNICATIONS BY PHONE, TELEVISION,
RADIO, CABLE (4.18%)
1,700,000 Bellsouth Capital Funding Corp., 5.000%,
due 07/14/1999......................... $ 1,696,694
-----------
DEPOSITORY INSTITUTIONS (9.59%)
1,000,000 Citibank Capital Markets Assets, 4.820%,
due 07/16/1999......................... 997,858
1,400,000 Montauk Funding Corp., 5.160%,
due 07/06/1999......................... 1,398,796
1,500,000 Svenska Handelsbanken, Inc., 4.800%,
due 07/14/1999......................... 1,497,200
-----------
3,893,854
-----------
FOOD STORES (3.92%)
600,000 Albertson's, Inc., 5.300%, due 07/01/1999 599,912
1,000,000 Southland Corp., 4.820%, due 07/21/1999 997,188
-----------
1,597,100
-----------
INDUSTRIAL, COMMERCIAL MACHINERY,
COMPUTER EQUIPMENT (2.45%)
1,000,000 Baker Hughes, Inc., 4.840%, due 08/11/1999 994,353
-----------
NON-DEPOSITORY
CREDIT INSTITUTIONS (6.62%)
1,700,000 Enterprise Funding Corp., 5.000%,
due 07/12/1999......................... 1,697,167
1,000,000 Ford Motor Credit Co., 4.770%,
due 08/25/1999......................... 992,580
-----------
2,689,747
-----------
PAPER AND ALLIED PRODUCTS LINES (2.46%)
1,000,000 Weyerhaeuser Co., 5.000%, due 07/14/1999 998,055
-----------
PRINTING, PUBLISHING & ALLIED LINES (7.36%)
1,500,000 New York Times Co., 5.000%, due 07/23/1999 1,495,208
1,500,000 Times Mirror Co., 4.980%, due 07/19/1999 1,496,058
-----------
2,991,266
-----------
SECURITY AND
COMMODITY BROKERS (10.81%)
1,400,000 Franklin Resources, Inc., 4.990%,
due 07/13/1999......................... 1,397,478
1,500,000 Goldman Sachs Group, L.P., 4.980%,
due 07/12/1999......................... 1,497,510
1,500,000 Merrill Lynch & Company, Inc., 4.870%,
due 07/09/1999......................... 1,498,174
-----------
4,393,162
-----------
STONE, CLAY, GLASS, AND
CONCRETE PRODUCTS (3.44%)
1,400,000 Minnesota Mining and Manufacturing Co.,
4.930%, due 07/19/1999................. 1,396,357
-----------
TRANSPORTATION EQUIPMENT (2.42%)
1,000,000 Eaton Corp., 4.850%, due 10/28/1999.... 983,833
-----------
TOTAL COMMERCIAL PAPER................. $28,616,619
-----------
TOTAL INVESTMENTS IN SECURITIES........ $40,623,605
-----------
- ---------------------------------------------
(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.
21
<PAGE>
Conseco Series Trust
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1999
(UNAUDITED)
- -------------------------------------------------------------------------------
(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 to life insurance company separate
accounts (registered as unit investment trusts under the Act) to fund the
benefits under variable annuity and variable life contracts.
Two affiliated companies, Conseco Variable Insurance Company (formerly Great
American Reserve Insurance Company prior to its name change in October 1998) and
Bankers National Life Insurance Company, offer shares of the Trust to their
contract owners.
(2) SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
SECURITY 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). At June 30, 1999, the difference between recording transactions on
the valuation date following the trade date and on the trade date is not
material. 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 Balanced, Fixed Income and Government Securities 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 and
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 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 subchapter M of
the Internal Revenue Code. The Trust intends to continue to distribute all
taxable income to shareholders, and maintain its tax status as a registered
investment company. Therefore, no provision has been made for federal income
taxes.
DIVIDENDS TO SHAREHOLDERS
Dividends are declared and reinvested from net investment income on a daily
basis in the Money Market Portfolio, on a monthly basis in the Fixed Income and
Government Securities Portfolios and on a quarterly basis in the Balanced and
Equity Portfolios. Distributions of net short-term capital gains and losses were
declared and reinvested as a component of net investment income prior to June
30, 1998, but thereafter on an annual basis as a component of net realized gains
(losses).
INCOME EQUALIZATION
Prior to June 30, 1999, all portfolios, except the Money Market Portfolio,
followed the accounting practice known as income equalization by which a portion
of the proceeds from sales and costs of redemptions of shares which is
equivalent, on a per share basis, to the amount of distributable investment
income on the date the transaction is credited or charged to net undistributed
income. Effective July 1, 1999, the Trust has elected to discontinue income
equalization.
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 amount 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 Balanced Portfolio, 0.60 percent for
the Equity Portfolio, 0.50 percent for the Fixed Income and Government
Securities Portfolios and 0.25 percent for the Money Market Portfolio. The total
fees paid to the Adviser were $903,721 for the six months ended June 30, 1999.
The Adviser, through a contractual arrangement, 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 Balanced Portfolio, 0.80 percent for the Equity
Portfolio, 0.70 percent for the Fixed Income and Government Securities
Portfolios, and 0.45 percent for the Money Market Portfolio.
22
<PAGE>
Conseco Series Trust
NOTES TO FINANCIAL STATEMENTS--CONTINUED
JUNE 30, 1999
(UNAUDITED)
- -------------------------------------------------------------------------------
(4) INVESTMENT TRANSACTIONS
For the six months ended June 30, 1999, purchases and sales of investment
securities other than long-term U.S. Government securities and short-term
investments were:
<TABLE>
<CAPTION>
FIXED GOVERNMENT
BALANCED EQUITY INCOME SECURITIES
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Purchases............................................................... $ 59,929,575 $366,106,575 $ 37,871,886 $ 1,043,269
Sales................................................................... 57,523,270 381,570,618 34,682,339 960,742
- -----------------------------------------------------------------------------------------------------------------------------------
Purchases and sales of long-term U.S. Government securities during the six months ended June 30, 1999, were:
<CAPTION>
FIXED GOVERNMENT
BALANCED INCOME SECURITIES
PORTFOLIO PORTFOLIO PORTFOLIO
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Purchases.............................................................................. $12,472,040 $ 20,537,366 $ 8,375,286
Sales.................................................................................. 12,672,428 20,024,596 6,471,464
- ------------------------------------------------------------------------------------------------------------------------------------
Gross unrealized appreciation and depreciation of investments at June 30, 1999, are shown below:
<CAPTION>
FIXED GOVERNMENT
BALANCED EQUITY INCOME SECURITIES
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Gross unrealized appreciation .......................................... $ 3,471,951 $29,152,694 $ 140,067 $ 10,947
Gross unrealized depreciation .......................................... (1,195,031) (1,656,776) (787,608) (285,856)
Net unrealized appreciation (depreciation) .......................... $ 2,276,920 $27,495,918 $ (647,541) $ (274,909)
- -----------------------------------------------------------------------------------------------------------------------------------
(5) NET ASSETS
Net assets at June 30, 1999, are shown below:
<CAPTION>
FIXED GOVERNMENT MONEY
BALANCED EQUITY INCOME 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...... $ 40,690,160 $ 170,534,594 $28,452,624 $10,973,877 $ 42,021,909
Undistributed net investment expense...................... -- (121,247) -- -- --
Undistributed net realized gains (losses) on sales of
investments ........................................... 3,375,266 38,074,410 (445,226) (359,028)
- -----------------------------------------------------------------------------------------------------------------------------------
Net unrealized appreciation (depreciation) of
investments. .......................................... 2,276,920 27,495,918 (647,541) (274,909) --
- -----------------------------------------------------------------------------------------------------------------------------------
Total net assets..................................... $ 46,342,346 $ 235,983,675 $27,359,857 $ 10,339,940 $ 42,021,909
- -----------------------------------------------------------------------------------------------------------------------------------
(6) FEDERAL INCOME TAXES
As of June 30, 1999, the following funds have capital loss carryovers
available from December 31, 1998, to offset capital gains in the future if any:
AMOUNT EXPIRES
- -----------------------------------------------------------------------------------------------------------------------------------
Balanced Portfolio................................................................................... $ 468,931 2006
Fixed Income Portfolio............................................................................... 38,146 2002
Fixed Income Portfolio............................................................................... 5,075 2004
Government Securities Portfolio...................................................................... 232,368 2002
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
23
<PAGE>
Conseco Series Trust
NOTES TO THE FINANCIAL STATEMENTS--CONTINUED
JUNE 30, 1999
(UNAUDITED)
- -------------------------------------------------------------------------------
(7) FINANCIAL HIGHLIGHTS
Following are the financial highlights for each portfolio for the six months
ended June 30, 1999, and each of the four years ended December 31, 1995 through
1998:
<TABLE>
<CAPTION>
BALANCED PORTFOLIO
------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
JUNE 30, 1999 DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
(UNAUDITED) 1998 1997 1996 1995
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value per share, beginning of year.............. $ 13.670 $ 13.320 $ 13.470 $ 12.390 $ 11.040
Income from investment operations:
Net investment income................................ 0.204 0.434 0.441 0.419 0.508
Net realized and unrealized gains on investments..... 0.750 0.955 2.116 2.774 2.976
- -----------------------------------------------------------------------------------------------------------------------------------
Total income from investment operations.......... 0.954 1.389 2.557 3.193 3.484
- -----------------------------------------------------------------------------------------------------------------------------------
Distributions:
Dividends from net investment income................. (0.204) (0.434) (2.195) (2.075) (1.827)
Distribution of net realized long- and short-term
capital gains ..................................... -- -- (0.512) (0.038) (0.307)
Return of capital.................................... -- (0.605) -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
Total distributions.............................. (0.204) (1.039) (2.707) (2.113) (2.134)
- -----------------------------------------------------------------------------------------------------------------------------------
Net asset value per share, end of period.................. $ 14.420 $ 13.670 $ 13.320 $ 13.470 $ 12.390
- -----------------------------------------------------------------------------------------------------------------------------------
Total return (a)(b)....................................... 7.08% (d) 10.37% 17.85% 28.30% 31.49%
Ratios/supplemental data
Net assets (dollars in thousands), end of period....... $ 46,342 $ 45,904 $ 27,922 $ 16,732 $ 9,583
Ratio of net expenses to average net assets (b)........ 0.75% (c) 0.75% 0.75% 0.75% 0.75%
Ratio of total expenses to average net assets.......... 0.75% (c) 0.84% 0.84% 0.95% 0.87%
Ratio of net investment income to average net assets... 2.97% (c) 3.25% 3.14% 3.15% 4.11%
Portfolio turnover rate................................ 318.15% (d) 336.30% 369.39% 208.13% 194.16%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
- ---------------------------------------------
(a) Total return represents performance of the Trust only and does not include
mortality and expense deductions in separate accounts.
(b) The Adviser has contractually agreed to waive their fees and/or reimburse
the Portfolio through 04/30/2000 to the extent that the ratio of total
expenses to average net assets exceeds the net expenses as defined.
(c) Annualized.
(d) Not annualized.
24
<PAGE>
Conseco Series Trust
NOTES TO THE FINANCIAL STATEMENTS--CONTINUED
JUNE 30, 1999
(UNAUDITED)
- -------------------------------------------------------------------------------
(7) FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
EQUITY PORTFOLIO
------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
JUNE 30, 1999 DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
(UNAUDITED) 1998 1997 1996 1995
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value per share, beginning of year.............. $ 21.590 $ 20.160 $ 21.850 $ 18.840 $ 16.540
Income from investment operations:
Net investment income................................ 0.011 0.112 0.064 0.013 0.340
Net realized and unrealized gains on investments..... 2.330 3.086 4.060 8.169 5.675
- -----------------------------------------------------------------------------------------------------------------------------------
Total income from investment operations.......... 2.341 3.198 4.124 8.182 6.015
- -----------------------------------------------------------------------------------------------------------------------------------
Distributions:
Dividends from net investment income................. (0.011) (0.265) (4.232) (4.209) (2.807)
Distribution of net realized long-and short-term
capital gains ....................................... -- (0.477) (1.582) (0.963) (0.908)
Return of capital.................................... -- (1.026) -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total distributions.............................. (0.011) (1.768) (5.814) (5.172) (3.715)
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value per share, end of period.................. $ 23.920 $ 21.590 $ 20.160 $ 21.850 $ 18.840
- ------------------------------------------------------------------------------------------------------------------------------------
Total return (a)(b)....................................... 10.84% (d) 15.62% 18.68% 44.99% 36.30%
Ratios/supplemental data
Net assets (dollars in thousands), end of period....... $ 235,984 $ 235,001 $ 216,986 $ 171,332 $ 109,636
Ratio of net expenses to average net assets (b)........ 0.80% (c) 0.80% 0.80% 0.80% 0.80%
Ratio of total expenses to average net assets.......... 0.80% (c) 0.80% 0.80% 0.81% 0.80%
Ratio of net investment income to average net assets... 0.00% (c) 0.55% 0.28% 0.06% 1.80%
Portfolio turnover rate................................ 325.15% (d) 317.91% 234.20% 177.03% 172.55%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
- ---------------------------------------------
(a) Total return represents performance of the Trust only and does not include
mortality and expense deductions in separate accounts.
(b) The Adviser has contractually agreed to waive their fees and/or reimburse
the Portfolio through 04/30/2000 to the extent that the ratio of total
expenses to average net assets exceeds the net expenses as defined.
(c) Annualized.
(d) Not annualized.
25
<PAGE>
Conseco Series Trust
NOTES TO THE FINANCIAL STATEMENTS--CONTINUED
JUNE 30, 1999
(UNAUDITED)
- -------------------------------------------------------------------------------
(7) FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
FIXED INCOME PORTFOLIO
-------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
JUNE 30, 1999 DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
(UNAUDITED) 1998 1997 1996 1995
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value per share, beginning of year.............. $ 10.050 $ 10.140 $ 9.970 $ 10.150 $ 9.450
Income from investment operations:
Net investment income................................ 0.300 0.637 0.654 0.662 0.680
Net realized and unrealized gains (losses) on investments (0.470) (0.029) 0.309 (0.179) 0.990
- -----------------------------------------------------------------------------------------------------------------------------------
Total income (expense) from investment operations (0.170) 0.608 0.963 0.483 1.670
- -----------------------------------------------------------------------------------------------------------------------------------
Distributions:
Dividends from net investment income................. (0.300) (0.637) (0.793) (0.663) (0.970)
Distribution of net realized long- and short-term
capital gains ..................................... -- -- -- -- --
Return of capital.................................... -- (0.061) -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
Total distributions.............................. (0.300) (0.698) (0.793) (0.663) (0.970)
- -----------------------------------------------------------------------------------------------------------------------------------
Net asset value per share, end of period.................. $ 9.580 $ 10.050 $ 10.140 $ 9.970 $ 10.150
- -----------------------------------------------------------------------------------------------------------------------------------
Total return (a)(b)....................................... (1.75%) (d) 6.17% 9.97% 4.97% 18.25%
Ratios/supplemental data
Net assets (dollars in thousands), end of period....... $ 27,360 $ 23,985 $ 21,277 $ 17,463 $ 16,046
Ratio of net expenses to average net assets (b)........ 0.70% (c) 0.70% 0.70% 0.70% 0.70%
Ratio of total expenses to average net assets.......... 0.70% (c) 0.80% 0.77% 0.77% 0.74%
Ratio of net investment income to average net assets... 6.13% (c) 6.24% 6.50% 6.65% 6.78%
Portfolio turnover rate................................ 423.14% (d) 321.09% 276.46% 276.35% 225.41%
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
- ---------------------------------------------
(a) Total return represents performance of the Trust only and does not include
mortality and expense deductions in separate accounts.
(b) The Adviser has contractually agreed to waive their fees and/or
reimburse the Portfolio through 04/30/2000 to the extent that the ratio of
total expenses to average net assets exceeds the net expenses as defined.
(c) Annualized.
(d) Not annualized.
26
<PAGE>
Conseco Series Trust
NOTES TO THE FINANCIAL STATEMENTS--CONTINUED
JUNE 30, 1999
(UNAUDITED)
- -------------------------------------------------------------------------------
(7) FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
GOVERNMENT SECURITIES PORTFOLIO
- -----------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
JUNE 30, 1999 DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
(UNAUDITED) 1998 1997 1996 1995
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value per share, beginning of year.............. $ 12.150 $ 12.040 $ 11.940 $ 12.380 $ 11.090
Income from investment operations:
Net investment income................................ 0.320 0.687 0.724 0.722 0.754
Net realized and unrealized gains (losses) on investments (0.860) 0.146 0.232 (0.409) 1.119
- -----------------------------------------------------------------------------------------------------------------------------------
Total income (expense) from investment operations (0.540) 0.833 0.956 0.313 1.873
- -----------------------------------------------------------------------------------------------------------------------------------
Distributions:
Dividends from net investment income................. (0.320) (0.723) (0.856) (0.707) (0.583)
Distribution of net realized long-and short-term capital gains -- -- -- (0.046) --
- -----------------------------------------------------------------------------------------------------------------------------------
Total distributions.............................. (0.320) (0.723) (0.856) (0.753) (0.583)
- -----------------------------------------------------------------------------------------------------------------------------------
Net asset value per share, end of period.................. $ 11.290 $ 12.150 $ 12.040 $ 11.940 $ 12.380
- -----------------------------------------------------------------------------------------------------------------------------------
Total return (a)(b)....................................... (2.35%) (d) 7.07% 8.26% 2.75% 17.35%
Ratios/supplemental data
Net assets (dollars in thousands), end of period....... $ 10,340 $ 7,907 $ 4,270 $ 4,024 $ 4,613
Ratio of net expenses to average net assets (b)........ 0.70% (c) 0.70% 0.70% 0.70% 0.70%
Ratio of total expenses to average net assets.......... 0.70% (c) 0.96% 0.92% 0.91% 0.78%
Ratio of net investment income to average net assets... 5.39% (c) 5.63% 6.05% 6.02% 6.27%
Portfolio turnover rate................................ 166.10% (d) 67.49% 195.08% 157.62% 284.31%
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(a) Total return represents performance of the Trust only and does not include
mortality and expense deductions in separate accounts.
(b) The Adviser has contractually agreed to waive their fees and/or reimburse
the Portfolio through 04/30/2000 to the extent that the ratio of total
expenses to average net assets exceeds the net expenses as defined.
(c) Annualized.
(d) Not annualized.
27
<PAGE>
Conseco Series Trust
NOTES TO THE FINANCIAL STATEMENTS--CONTINUED
JUNE 30, 1999
(UNAUDITED)
- -------------------------------------------------------------------------------
(7) FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
MONEY MARKET PORTFOLIO
-----------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
JUNE 30, 1999 DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
(UNAUDITED) 1998 1997 1996 1995
- -----------------------------------------------------------------------------------------------------------------------------------
<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:
Net investment income................................ 0.022 0.051 0.051 0.050 0.055
- -----------------------------------------------------------------------------------------------------------------------------------
Total income from investment operations.......... 0.022 0.051 0.051 0.050 0.055
- -----------------------------------------------------------------------------------------------------------------------------------
Distributions:
Dividends from net investment income................. (0.022) (0.051) (0.051) (0.050) (0.055)
- -----------------------------------------------------------------------------------------------------------------------------------
Total distributions.............................. (0.022) (0.051) (0.051) (0.050) (0.055)
- -----------------------------------------------------------------------------------------------------------------------------------
Net asset value per share, end of period.................. $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
- -----------------------------------------------------------------------------------------------------------------------------------
Total return (a)(b)....................................... 4.56% (d) 5.21% 5.25% 5.13% 5.46%
Ratios/supplemental data
Net assets (dollars in thousands), end of period....... $ 42,022 $ 21,218 $ 8,603 $ 6,985 $ 5,396
Ratio of net expenses to average net assets (b)........ 0.45% (c) 0.45% 0.45% 0.45% 0.45%
Ratio of total expenses to average net assets.......... 0.45% (c) 0.54% 0.53% 0.59% 0.52%
Ratio of net investment income to average net assets... 4.46% (c) 5.08% 5.14% 5.03% 5.46%
Portfolio turnover rate................................ N/A N/A N/A N/A N/A
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
- ---------------------------------------------
(a) Total return represents performance of the Trust only and does not include
mortality and expense deductions in separate accounts.
(b) The Adviser has contractually agreed to waive their fees and/or reimburse
the Portfolio through 04/30/2000 to the extent that the ratio of total
expenses to average net assets exceeds the net expenses as defined.
(c) Annualized.
(d) Not annualized.
28
<PAGE>
Conseco Series Trust
1999 Semiannual Report
- --------------------------
CONSECO SERIES TRUST
BOARD OF TRUSTEES
WILLIAM P. DAVES, JR.
Chairman of the Board
Consultant to the insurance and health care industries
Director, Chairman and Chief Executive Officer,
FFG Insurance Co.
MAXWELL E. BUBLITZ
President
Chartered Financial Analyst
President, CEO and Director, Adviser
HAROLD W. HARTLEY
Director, Ennis Business Forms, Inc.
Chartered Financial Analyst
Retired, Executive Vice President,
Tenneco Financial Services Inc.
DR. R. JAN LECROY
Director, Southwest Securities Group, Inc.
Retired President, Dallas Citizens Council
DR. JESS H. PARRISH
Higher Education Consultant
Formerly President, Midland College
DAVID N. WALTHALL
Principal, Walthall Asset Management
INVESTMENT ADVISER
Conseco Capital Management, Inc. - Carmel, Indiana
CUSTODIAN
The Bank of New York - New York, New York
INDEPENDENT PUBLIC ACCOUNTANTS
PricewaterhouseCoopers LLP-Indianapolis, Indiana
LEGAL COUNSEL
Kirkpatrick & Lockhart LLP - Washington, D.C.
29
<PAGE>
CONSECO SERIES TRUST IS A REGISTERED INVESTMENT COMPANY MANAGED BY
CONSECO CAPITAL MANAGEMENT, INC., A WHOLLY OWNED SUBSIDIARY OF
CONSECO, INC., A FINANCIAL SERVICES ORGANIZATION HEADQUARTERED IN CARMEL,
INDIANA. CONSECO, THROUGH ITS SUBSIDIARY COMPANIES, IS ONE OF MIDDLE
AMERICA'S LEADING SOURCES FOR INSURANCE, INVESTMENT AND LENDING PRODUCTS,
HELPING 12 MILLION CUSTOMERS STEP UP TO A BETTER, MORE SECURE FUTURE.
CONSECO SERIES TRUST
11815 North Pennsylvania Street
Carmel, Indiana 46032
CI-319 (8/99) 06105
(C) 1999 Conseco Series Trust
www.conseco.com
INSURANCE INVESTMENTS LENDING
- -------------------------------------------------------------------------[Logo]
