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Conseco Series Trust
June 30, 2000
Semi-Annual Report
Conseco 20 Focus Portfolio
Equity Portfolio
Balanced Portfolio
High Yield Portfolio
Fixed Income Portfolio
Government Securities Portfolio
Money Market Portfolio
<PAGE>
CONSECO SERIES TRUST
TABLE OF CONTENTS
JUNE 30, 2000
================================================================================
A Message from the President............................................. 3
Statements of Assets and Liabilities..................................... 4
Statements of Operations................................................. 4
Statements of Changes in Net Assets...................................... 6
CONSECO 20 FOCUS PORTFOLIO
Portfolio Managers' Review............................................ 8
Schedule of Investments .............................................. 9
EQUITY PORTFOLIO
Portfolio Managers' Review............................................ 10
Schedule of Investments............................................... 11
BALANCED PORTFOLIO
Portfolio Managers' Review............................................ 15
Schedule of Investments............................................... 16
HIGH YIELD PORTFOLIO
Portfolio Manager's Review............................................ 22
Schedule of Investments .............................................. 23
FIXED INCOME PORTFOLIO
Portfolio Managers' Review............................................ 24
Schedule of Investments............................................... 25
GOVERNMENT SECURITIES PORTFOLIO
Portfolio Manager's Review............................................ 30
Schedule of Investments............................................... 31
MONEY MARKET PORTFOLIO
Portfolio Manager's Review............................................ 34
Schedule of Investments .............................................. 35
Notes to Financial Statements............................................ 37
Financial Highlights..................................................... 40
This report is for the information of Conseco Series Trust contract owners.
It is authorized for distribution to other persons only when preceded
or accompanied by, a current prospectus that contains
more complete information, including charges and expenses.
<PAGE>
CONSECO SERIES TRUST
A MESSAGE FROM THE PRESIDENT
================================================================================
In a world that demands split-second timing, our team-managed, total-return
investment process continues to prove its ongoing value, enabling us to leverage
the dynamics of a volatile market.
The equity markets have played directly to our investment strengths, enabling
us to showcase our outstanding team of analysts, traders and portfolio managers.
Our extensive research capabilities and adherence to fundamental analysis
provided above-average returns in the equity and balanced categories. And, this
proven bottom-up investment discipline enabled us to weather a volatile
fixed-income environment.
PERFORMANCE IN THE FACE OF EXTREME VOLATILITY
Consequently, during the first half of the year, we were able to
successfully:
o Chart a course through the exceptional volatility in the equity markets -
especially technology;
o Counter the Nasdaq's precipitous drop in the second quarter; and
o Deliver solid dividend income from a downtrodden bond market.
Each portfolio manager has provided a detailed discussion and analysis for
each Conseco Series Trust portfolio that may be found in later sections of this
semi-annual report.
NEW PORTFOLIOS DESIGNED TO STRENGTHEN YOUR ASSET ALLOCATIONS
The volatile market is here to stay and astute asset allocation is a must for
your investment portfolio's success.
To help you more fully employ this strategy, we opened two exciting
portfolios in the first half of 2000: The Conseco 20 Focus Portfolio and the
High Yield Portfolio. Each is an extension of our mid-cap and high yield
expertise and capitalizes on our analytical prowess.
The Conseco 20 Focus Portfolio1 seeks capital appreciation by investing its
assets in approximately 20 - 30 common stock securities that are CCM's "best
ideas."
The High Yield Portfolio seeks a high level of current income with a
secondary objective of capital appreciation by investing at least 65% of its
assets in below-investment-grade securities.
BUNGLED HEADLINES MISINFORM CONTRACTHOLDERS
For the most part, Conseco Capital Management, Inc. (CCM), the investment
adviser to the portfolios, has received accurate coverage from the news media.
In fact, we receive high marks from news organizations every day. During the
past 60 days, CCM's equity portfolio management team's expertise and insight has
been spotlighted on CNBC, Bloomberg and CNNfn.
However, you may have caught a few publications that have created inaccurate
representations of CCM. I can assure you that these stories distort the facts
and I'd like to set the record straight.
o Although CCM has seen the departures of a number of employees, our team
approach, featuring a talent-rich, deep bench has prevailed for 13 years -
through thick and thin - and is central to the success and consistency of our
institutional and mutual fund investment performance.
o CCM's consistent investment success breeds a following among our
competitors and it's a fact of life in this industry - people are lured to other
opportunities.
o The core equity and fixed-income investment experts have served CCM for
more than seven years.
o Since 1989, our fixed-income team has been led by Greg Hahn, CFA, chief
fixed income investment officer and senior vice president of CCM. Tom Pence,
CFA, chief equity investment officer and senior vice president of CCM, has been
at the helm of the equity team since 1993.
o We prepare for and sustain long-term investment performance by using a
disciplined, team-oriented approach. Markets go up and down; managers, traders,
and support staff come and go - the training and development of the team,
coupled with the disciplined investment process, remains constant.
o Superstars operating independently are not found in our system - the CCM
team always prevails.
GROWTH, PERFORMANCE, STABILITY
New Conseco, Inc. CEO Gary Wendt brings prestige, leadership and a legendary
penchant for building success in the financial services industry to the parent
company - engendering stability and focusing on achieving sound issue
resolution.
This, coupled with our performance and structure is all upside for CCM's
clients and the fund family's contractholders. It's not business as usual - it's
considerably better.
I hope you now have a high-resolution picture of the state of the union of
the Conseco fund family and its investment adviser. We're passionately committed
to delivering top-drawer investment service and performance to you.
I'm supremely confident we're on the right path.
Sincerely,
Maxwell E. Bublitz
President
Conseco Series Trust
President, Director and CEO
Conseco Capital Management, Inc.
----------
1 Concentrated portfolios are susceptible to more market volatility than
diversified portfolios and, therefore, are subject to greater price
fluctuations.
3
<PAGE>
CONSECO SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
====================================================================================================================================
CONSECO 20
FOCUS EQUITY
PORTFOLIO PORTFOLIO
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
ASSETS:......................................................................
Investments in securities at cost or amortized cost....................... $ 674,423 $ 329,893,841
------------------------------------------------------------------------------------------------------------------------------------
Investments in securities at value........................................ $ 692,295 $ 346,807,566
Cash...................................................................... -- 13,898
Interest and dividends receivable......................................... 612 84,908
Receivable for securities sold............................................ 16,707 38,914,511
Receivable for shares sold................................................ 40,576 413
------------------------------------------------------------------------------------------------------------------------------------
Total assets............................................................ 750,190 385,821,296
------------------------------------------------------------------------------------------------------------------------------------
LIABILITIES AND NET ASSETS:
Accrued expenses.......................................................... 42,331 210,641
Payable for securities purchased.......................................... 22,101 34,690,067
Payable for shares redeemed............................................... -- --
------------------------------------------------------------------------------------------------------------------------------------
Total liabilities....................................................... 64,432 34,900,708
------------------------------------------------------------------------------------------------------------------------------------
Net assets............................................................ $ 685,758 $ 350,920,588
====================================================================================================================================
NET ASSETS CONSIST OF:
Proceeds from the sales of shares......................................... $ 651,638 $ 240,416,466
Accumulated undistributed net investment income (loss).................... 673 (133,532)
Accumulated undistributed net realized gains (losses) on investments...... 15,575 93,723,929
Net unrealized appreciation (depreciation) on investments................. 17,872 16,913,725
------------------------------------------------------------------------------------------------------------------------------------
Net assets............................................................ $ 685,758 $ 350,920,588
====================================================================================================================================
Shares outstanding (unlimited shares authorized)............................. 58,908 12,926,484
Net asset value, redemption price and offering price per share............... $ 11.64 $ 27.15
====================================================================================================================================
</TABLE>
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS OR PERIOD ENDED JUNE 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
====================================================================================================================================
CONSECO 20
FOCUS EQUITY
PORTFOLIO(a) PORTFOLIO
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME:
Interest.................................................................. $ 1,004 $ 545,403
Dividends................................................................. 83 551,364
------------------------------------------------------------------------------------------------------------------------------------
Total investment income................................................. 1,087 1,096,767
------------------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Investment advisory fees.................................................. 333 1,077,741
Administration fees....................................................... 48 129,401
Reports - printing........................................................ 29 31,864
Audit fees................................................................ 15 16,352
Pricing service........................................................... 11 11,941
Custody fees.............................................................. 8 9,080
Directors expenses........................................................ 7 7,437
Insurance................................................................. 4 3,936
Legal fees................................................................ 2 1,723
Other..................................................................... 6 23,731
------------------------------------------------------------------------------------------------------------------------------------
Total expenses.......................................................... 463 1,313,206
------------------------------------------------------------------------------------------------------------------------------------
Less: expenses charged to the Adviser (Note 3)............................ 49 82,903
------------------------------------------------------------------------------------------------------------------------------------
Net expenses............................................................ 414 1,230,303
------------------------------------------------------------------------------------------------------------------------------------
Net investment income (loss)............................................ 673 (133,536)
------------------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS:
Net realized gains (losses) on sales of investments....................... 15,575 91,299,929
Net change in unrealized appreciation or depreciation on investments...... 17,872 (39,853,068)
------------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized gains (losses) on investments............... 33,447 51,446,861
------------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from operations................................ $ 34,120 $ 51,313,325
====================================================================================================================================
</TABLE>
(a) Period from May 4, 2000 (commencement of operations) through June 30, 2000.
(b) Period from June 13, 2000 (commencement of operations) through June 30,
2000.
The accompanying notes are an integral part of these financial statements.
4
<PAGE>
<TABLE>
<CAPTION>
====================================================================================================================================
HIGH FIXED GOVERNMENT MONEY
BALANCED YIELD INCOME SECURITIES MARKET
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
====================================================================================================================================
<S> <C> <C> <C> <C> <C>
$ 67,602,515 $ 38,000 $ 32,598,241 $ 12,703,202 $ 68,614,185
------------------------------------------------------------------------------------------------------------------------------------
$ 69,073,504 $ 38,000 $ 31,928,672 $ 12,460,274 $ 68,614,185
875 305 918 -- 715
414,960 84 495,332 167,876 81,128
1,326,057 -- 1,743,782 779,806 6,277,405
194,045 8,683 1,359,558 -- --
------------------------------------------------------------------------------------------------------------------------------------
71,009,441 47,072 35,528,262 13,407,956 74,973,433
------------------------------------------------------------------------------------------------------------------------------------
37,471 12 17,145 292,967 25,129
6,224,103 -- 2,698,466 -- --
-- -- -- 16,627 10,234,826
------------------------------------------------------------------------------------------------------------------------------------
6,261,574 12 2,715,611 309,594 10,259,955
------------------------------------------------------------------------------------------------------------------------------------
$ 64,747,867 $ 47,060 $ 32,812,651 $ 13,098,362 $ 64,713,478
====================================================================================================================================
$ 51,801,456 $ 46,988 $ 34,570,924 $ 13,984,262 $ 64,713,478
-- 72 -- -- --
11,475,422 -- (1,088,704) (642,972) --
1,470,989 -- (669,569) (242,928) --
------------------------------------------------------------------------------------------------------------------------------------
$ 64,747,867 $ 47,060 $ 32,812,651 $ 13,098,362 $ 64,713,478
====================================================================================================================================
3,939,490 4,695 3,508,729 1,183,206 64,713,478
$ 16.44 $ 10.02 $ 9.35 $ 11.07 $ 1.00
====================================================================================================================================
</TABLE>
<TABLE>
<CAPTION>
====================================================================================================================================
HIGH FIXED GOVERNMENT MONEY
BALANCED YIELD INCOME SECURITIES MARKET
PORTFOLIO PORTFOLIO(b) PORTFOLIO PORTFOLIO PORTFOLIO
====================================================================================================================================
<S> <C> <C> <C> <C> <C>
$ 815,402 $ 84 $ 1,111,525 $ 429,885 $ 2,217,405
155,356 -- 28,690 3,200 --
------------------------------------------------------------------------------------------------------------------------------------
970,758 84 1,140,215 433,085 2,217,405
------------------------------------------------------------------------------------------------------------------------------------
190,275 10 75,643 33,195 180,646
29,273 1 15,129 6,639 36,129
5,694 5 2,987 1,300 7,170
2,922 3 1,533 667 3,680
2,133 1 1,119 487 --
1,623 1 851 370 2,043
1,329 1 697 303 1,673
703 1 369 161 886
308 -- 161 70 388
4,032 1 1,889 838 3,132
------------------------------------------------------------------------------------------------------------------------------------
238,292 24 100,378 44,030 235,747
------------------------------------------------------------------------------------------------------------------------------------
29,275 12 -- -- 90,323
------------------------------------------------------------------------------------------------------------------------------------
209,017 12 100,378 44,030 145,424
------------------------------------------------------------------------------------------------------------------------------------
761,741 72 1,039,837 389,055 2,071,981
------------------------------------------------------------------------------------------------------------------------------------
11,492,821 -- (436,554) (142,493) (4,323)
(4,912,011) -- 364,790 286,083 --
------------------------------------------------------------------------------------------------------------------------------------
6,580,810 -- (71,764) 143,590 (4,323)
------------------------------------------------------------------------------------------------------------------------------------
$ 7,342,551 $ 72 $ 968,073 $ 532,645 $ 2,067,658
====================================================================================================================================
</TABLE>
5
<PAGE>
CONSECO SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
====================================================================================================================================
CONSECO 20 FOCUS EQUITY BALANCED
PORTFOLIO PORTFOLIO PORTFOLIO
---------------- -------------------------------- ----------------------------
MAY 4, 2000 (a) SIX MONTHS SIX MONTHS
THROUGH ENDED ENDED YEAR ENDED
JUNE 30, 2000 JUNE 30, 2000 YEAR ENDED JUNE 30, 2000 DECEMBER 31,
(UNAUDITED) (UNAUDITED) DECEMBER 31, 1999 (UNAUDITED) 1999
====================================================================================================================================
<S> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss)...................... $ 673 $ (133,536) $ (226,299) $ 761,741 $ 1,278,136
Net realized gains (losses) on sales
of investments ................................. 15,575 91,299,929 86,990,337 11,492,821
Net change in unrealized appreciation or
depreciation on investments..................... 17,872 (39,853,068) 14,254,138 (4,912,011) 2,658,246
------------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) from operations......... 34,120 51,313,325 101,018,176 7,342,551 12,534,818
------------------------------------------------------------------------------------------------------------------------------------
Net income equalization (Note 2)................ -- -- (4) -- (2,235)
------------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS:
Dividends from net investment income.............. -- -- (118,185) (793,078) (1,278,138)
Distributions of net capital gains................ -- (280,571) (84,221,849) (42,620) (8,129,505)
------------------------------------------------------------------------------------------------------------------------------------
Net decrease from dividends and distributions... -- (280,571) (84,340,034) (835,698) (9,407,643)
------------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Shares sold....................................... 662,668 10,571,763 6,329,932 7,766,588 4,798,421
Reinvested dividends and distributions............ -- 280,571 84,340,039 835,698 9,409,878
Shares redeemed................................... (11,030) (11,401,990) (41,911,535) (2,302,380) (11,296,020)
------------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) from
capital share transactions ................... 651,638 (549,656) 48,758,436 6,299,906 2,912,279
------------------------------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets....... 685,758 50,483,098 65,436,574 12,806,759 6,037,219
------------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
Beginning of period............................... -- 300,437,490 235,000,916 51,941,108 45,903,889
End of period..................................... $685,758 $350,920,588 $300,437,490 $64,747,867 $51,941,108
====================================================================================================================================
SHARE DATA:
Shares sold....................................... 60,010 399,636 265,451 485,487 330,450
Reinvested dividends and distributions............ -- 9,776 3,638,854 49,906 645,150
------------------------------------------------------------------------------------------------------------------------------------
Total .......................................... 60,010 409,412 3,904,305 535,393 975,600
Shares redeemed................................... (1,102) (445,790) (1,828,311) (141,556) (788,443)
------------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) ........................ 58,908 (36,378) 2,075,994 393,837 187,157
------------------------------------------------------------------------------------------------------------------------------------
Shares outstanding:
Beginning of period ............................ -- 12,962,862 10,886,868 3,545,653 3,358,496
End of period .................................. 58,908 12,926,484 12,962,862 3,939,490 3,545,653
====================================================================================================================================
</TABLE>
(a) Commencement of operations
The accompanying notes are an integral part of these financial statements.
6
<PAGE>
CONSECO SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
====================================================================================================================================
HIGH YIELD FIXED GOVERNMENT MONEY MARKET
PORTFOLIO INCOME PORTFOLIO SECURITIES PORTFOLIO PORTFOLIO
----------------- ---------------------------------- ---------------------------------- ---------------------------------
JUNE 13, 2000 (a) SIX MONTHS SIX MONTHS SIX MONTHS
THROUGH ENDED ENDED ENDED
JUNE 30, 2000 JUNE 30, 2000 YEAR ENDED JUNE 30, 2000 YEAR ENDED JUNE 30, 2000 YEAR ENDED
(UNAUDITED) (UNAUDITED) DECEMBER 31, 1999 (UNAUDITED) DECEMBER 31, 1999 (UNAUDITED) DECEMBER 31, 1999
====================================================================================================================================
<S><C> <C> <C> <C> <C> <C> <C>
$ 72 $ 1,039,837 $ 1,747,352 $ 389,055 $ 590,303 $ 2,071,981 $ 2,169,062
-- (436,554) (594,992) (142,493) (253,273) (4,323) (5,026)
-- 364,790 (1,231,899) 286,083 (587,100) -- --
------------------------------------------------------------------------------------------------------------------------------------
72 968,073 (79,539) 532,645 (250,070) 2,067,658 2,164,036
------------------------------------------------------------------------------------------------------------------------------------
-- -- (10,808) -- (8,040) -- --
------------------------------------------------------------------------------------------------------------------------------------
-- (1,061,803) (1,747,352) (403,892) (812,087) (2,067,658) (2,164,036)
-- -- -- -- -- -- --
------------------------------------------------------------------------------------------------------------------------------------
-- (1,061,803) (1,747,352) (403,892) (812,087) (2,067,658) (2,164,036)
------------------------------------------------------------------------------------------------------------------------------------
46,988 7,685,437 9,468,340 3,252,830 8,602,699 165,701,604 149,770,185
-- 1,061,803 1,758,160 403,892 820,127 2,067,658 2,164,036
-- (4,739,831) (4,475,290) (3,791,336) (3,154,925) (188,748,237) (87,460,119)
------------------------------------------------------------------------------------------------------------------------------------
46,988 4,007,409 6,751,210 (134,614) 6,267,901 (20,978,975) 64,474,102
------------------------------------------------------------------------------------------------------------------------------------
47,060 3,913,679 4,913,511 (5,861) 5,197,704 (20,978,975) 64,474,102
------------------------------------------------------------------------------------------------------------------------------------
-- 28,898,972 23,985,461 13,104,223 7,906,519 85,692,453 21,218,351
$47,060 $32,812,651 $28,898,972 $13,098,362 $13,104,223 $64,713,478 $85,692,453
====================================================================================================================================
4,695 819,849 975,387 294,905 748,838 165,701,604 149,770,185
-- 113,949 183,074 36,760 72,150 2,067,658 2,164,036
------------------------------------------------------------------------------------------------------------------------------------
4,695 933,798 1,158,461 331,665 820,988 167,769,262 151,934,221
-- (504,177) (467,148) (343,987) (276,415) (188,748,237) (87,460,119)
------------------------------------------------------------------------------------------------------------------------------------
4,695 429,621 691,313 (12,322) 544,573 (20,978,975) 64,474,102
------------------------------------------------------------------------------------------------------------------------------------
-- 3,079,108 2,387,795 1,195,528 650,955 85,692,453 21,218,351
4,695 3,508,729 3,079,108 1,183,206 1,195,528 64,713,478 85,692,453
====================================================================================================================================
</TABLE>
7
<PAGE>
CONSECO SERIES TRUST
CONSECO 20 FOCUS PORTFOLIO
================================================================================
PORTFOLIO MANAGERS' REVIEW
One of the two newer portfolios available in Conseco Series Trust, the
Conseco 20 Focus Portfolio, commenced operations in the second quarter on May 4,
2000. During this quarter, the markets overall were extremely volatile,
particularly technology stocks. The NASDAQ, in fact, technically went into bear
market territory, if only briefly. At Conseco Capital Management, Inc. (CCM), we
believe that these market gyrations are mainly attributable to investor
psychology, which fortunately, or unfortunately, can reverse rather quickly.
While investors' moods can ebb and flow with each new piece of economic data, we
remain convinced that long term fundamentals are in place to support higher
prices for the stocks in which we invest.
The biggest contributor to this portfolio was a CCM long time investment -
Integrated Device Technology, Inc. If you followed this company, you may
remember this company's colossal mistake in 1997 when they tried to compete with
Intel in the x86 processor market. After almost bankrupting the company, this
division was replaced last year by an entirely new management team. During a CCM
research visit late last year, our analysts learned that the company's new
primary focus is their electronic components for the communications sector,
primarily selling to companies like Cisco Systems, Inc. and Nortel Networks
Corp. This strategic shift is just beginning to be recognized in the market.
Other solid contributors included Vitria Technology, Inc. in the technology
sector; ALZA Corp. in healthcare; and Nabors Industries, Inc. and Weatherford
International, Inc. in oil field services.
There were positions in the portfolio that detracted from performance in the
past six months. Two of CCM's stellar performers that we have followed in the
past did not fair well during the market sell off. Echostar Communications Corp.
retreated more than 50% on concerns that the satellite television providers can
no longer offer a superior value proposition versus the new digital cable
offerings. We disagree and believe the fundamentals of Echostar Communications
remain strong and continue to hold the investment in the portfolio.
Another name CCM has followed in the past is Research in Motion, Ltd. Since
CCM began following Research in Motion in May 1999, this company has become a
leader in wireless data. The company's email pagers are becoming the wireless
device of choice for people that need to be connected, real time, with their
enterprise email. The decline in the second quarter was disappointing, but as we
enter the second half of 2000, Research in Motion has developed some very
powerful partnerships and alliances that will begin to contribute to the
company's growth. Long term, we remain convinced that this company will be a key
architect of the wireless data industry.
Looking forward, the third quarter is again off to a volatile start. Excess
valuations in the technology sector continue to be deflated. Many investors who
were caught holding investments they did not understand are being forced to
focus on companies with solid fundamentals. This is our strength. We are
committed to creating shareholder value for you by identifying some of the best
growth companies in today's market using our time-tested, bottom-up research
process.
Eric J. Voss, CFA
Vice President, Senior Securities Analyst
Conseco Capital Management, Inc.
Thomas J. Pence, CFA
Chief Investment Officer, Equity
Senior Vice President
Conseco Capital Management, Inc.
8
<PAGE>
CONSECO SERIES TRUST
CONSECO 20 FOCUS PORTFOLIO
Schedule of Investments
JUNE 30, 2000
(Unaudited)
================================================================================
SHARES OR
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------
COMMON STOCKS (85.1%)
BUSINESS SERVICES (11.8%)
40 i2 Technologies, Inc. (a)................................. $ 4,171
320 Portal Software, Inc. (a)................................. 20,440
80 Software.com, Inc. (a).................................... 10,390
40 VeriSign, Inc. (a)........................................ 7,022
150 VERITAS Software Corp. (a)................................ 15,863
400 Vitria Technology, Inc. (a)............................... 22,600
---------
80,486
---------
CHEMICALS AND ALLIED PRODUCTS (4.3%)
100 ALZA Corp. (a)............................................ 5,913
100 Amgen, Inc. (a)........................................... 7,025
260 Biogen, Inc. (a).......................................... 16,770
---------
29,708
---------
COMMUNICATIONS BY PHONE, TELEVISION, RADIO, CABLE (9.6%)
1,350 EchoStar Communications Corp. - Class A (a)............... 44,697
1,030 McLeodUSA, Inc. - Class A (a)............................. 21,309
---------
66,006
---------
ELECTRICAL, OTHER ELECTRICAL EQUIPMENT, EXCEPT COMPUTERS (10.4%)
860 Gemstar International Group, Ltd. (a)..................... 52,849
270 Nortel Networks Corp. ................................... 18,428
---------
71,277
---------
FABRICATED METAL PRODUCTS, EXCEPT MACHINERY AND
TRANSPORTATION EQUIPMENT (1.4%)
190 Danaher Corp. ............................................ 9,393
---------
INDUSTRIAL, COMMERCIAL MACHINERY, COMPUTERS (9.1%)
280 Cooper Cameron Corp. (a) ................................. 18,480
390 Symbol Technologies, Inc. ................................ 21,718
560 Weatherford International, Inc. (a)....................... 22,295
---------
62,493
---------
OIL AND GAS EXTRACTION (7.4%)
800 Nabors Industries, Inc. (a)............................... 33,250
730 R & B Falcon Corp. (a).................................... 17,200
---------
50,450
---------
PHONE COMMUNICATIONS, EXCEPT RADIOTELEPHONE (6.7%)
370 ALLTEL Corp............................................... 22,917
610 NEXTLINK Communications, Inc. (a)......................... 23,142
---------
46,059
---------
RADIOTELEPHONE COMMUNICATIONS (10.3%)
400 Research in Motion, Ltd. (a).............................. 18,100
440 TeleCorp PCS, Inc. (a).................................... 17,737
300 VoiceStream Wireless Corp. (a)............................ 34,725
---------
70,562
---------
SEMICONDUCTOR, RELATED DEVICE (12.3%)
260 Applied Micro Circuits Corp. (a).......................... 25,675
420 Integrated Device Technology, Inc. (a).................... 25,148
150 JDS Uniphase Corp. (a).................................... 17,981
180 RF Micro Devices, Inc. (a) ............................... 15,772
---------
84,576
---------
TRANSPORTATION EQUIPMENT (1.8%)
140 General Motors Corp. - Class H (a)........................ 12,285
---------
TOTAL COMMON STOCKS (COST $565,423)....................... 583,295
---------
SHORT-TERM INVESTMENTS (15.9%)
109,000 AIM Liquid Asset Portfolio................................ 109,000
---------
TOTAL SHORT-TERM INVESTMENTS (COST $109,000).............. 109,000
---------
TOTAL INVESTMENTS (COST $674,423) (101.0%)................ 692,295
---------
CASH, RECEIVABLES AND OTHER ASSETS,
NET OF LIABILITIES (-1.0%).............................. (6,537)
---------
NET ASSETS (100.0%)....................................... $ 685,758
---------
----------
(a) Non-income producing security.
The accompanying notes are an integral part of these financial statements.
9
<PAGE>
CONSECO SERIES TRUST
EQUITY PORTFOLIO
================================================================================
PORTFOLIO MANAGERS' REVIEW
The equity markets were extremely volatile during the second quarter of 2000.
Fueled by a series of interest rate hikes from the Federal Reserve and extended
valuations, the market corrected some of the "irrational exuberance" that led to
an 80% return for the NASDAQ in the previous four quarters. We view the
correction that took place as being healthy, and we took advantage of the
opportunity to add to positions in some of our favorite growth stocks at bargain
prices. We look forward to seeing these investments drive your portfolio's
performance during the second half of this year.
Through this volatility, we continued to be very selective in our
investments, relying on bottom-up fundamental research to identify companies
that generate high returns on capital and have established a leading presence in
their respective industries. Responding to these distractions, we overweighted
your portfolio in the technology, telecommunications, and energy sectors. In
addition, valuation, always a concern, took on increased scrutiny due to the
extended valuations in the market.
We continue to believe that the energy sector is one of the best ways to play
the strength in the global economy. Rising oil and natural gas demand combined
with constrained supply continues to offer tremendous upside to names in this
sector. The Equity Portfolio benefited significantly from positions in R&B
Falcon Corp., ENSCO International, Inc. and Nabors Industries, Inc. all
drillers, and Cooper Cameron Corp., a service provider.
We continue to believe the telecommunications sector is one of the fastest
growing sectors in the market, and we maintained our overweight position in your
portfolio. Unfortunately, the sector experienced excessive volatility during the
quarter due to capital market concerns and was not a strong contributor.
There were portfolio positions that detracted from performance in the last
six months. Echostar Communications Corp. has been on of our top performers and
has been highlighted in past semi-annual reports. This quarter, Echostar
experienced a pull back due to concerns with the fundamentals of one of their
competitors as well as
the increased visibility of digital cable roll out. Another past winner for
us, Research in Motion, Ltd., also experienced a set back as growth slowed in
the quarter as a result of delayed contracts and increased capital spending. We
continue to hold both positions as we think the fundamentals of both issuers are
strong.
Going into the second half of the year, we are maintaining our overweighting
in the technology, telecommunications and energy sectors. We will continue to
opportunistically participate in the biotechnology sector, which has seen a
significant rise in valuation. In addition, we believe the retail sector may be
setting itself up for outperforming later in the third quarter.
Overall, we continue to be cautiously optimistic that we will see strong
operating results across the market. However, we believe that it is essential to
focus on names that have significant bottom line growth trends and offer
compelling valuation. The markets have experienced significant volatility due to
interest rate concerns as well as extended valuations. However, we feel that our
bottom-up approach will continue to lead us toward companies that will provide
superior long-term performance for your portfolio.
Thomas J. Pence, CFA
Chief Investment Officer, Equity
Senior Vice President
Conseco Capital Management, Inc.
James M. Leach, MBA
Assistant Vice President
Senior Securities Analyst
Conseco Capital Management, Inc.
10
<PAGE>
CONSECO SERIES TRUST
EQUITY PORTFOLIO
Schedule of Investments
JUNE 30, 2000
(Unaudited)
================================================================================
SHARES OR
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------
COMMON STOCKS (93.0%)
AMUSEMENT AND RECREATION SERVICES (0.5%)
41,530 International Speedway Corp............................. $ 1,718,304
------------
BUSINESS SERVICES (18.5%)
111,430 Acxiom Corp. (a)........................................ 3,113,131
36,850 Concord EFS, Inc. (a)................................... 958,100
47,010 E.piphany, Inc. (a)..................................... 5,038,908
109,680 Intuit, Inc. (a)........................................ 4,538,010
148,590 Lamar Advertising Co. (a)............................... 6,435,730
85,540 NOVA Corp. (a).......................................... 2,389,817
50,740 Optimal Robotics Corp. (a).............................. 1,947,148
123,770 Portal Software, Inc. (a)............................... 7,905,809
34,050 Siebel Systems, Inc. (a)................................ 5,569,286
56,050 Software.com, Inc. (a).................................. 7,279,494
44,600 SunGard Data Systems, Inc. (a).......................... 1,382,600
31,510 TIBCO Software, Inc. (a)................................ 3,378,943
15,260 VeriSign, Inc. (a)...................................... 2,679,076
48,175 VERITAS Software Corp. (a).............................. 5,094,506
77,590 Vignette Corp. (a)...................................... 4,083,174
56,820 Vitria Technology, Inc. (a)............................. 3,210,330
------------
65,004,062
------------
CHEMICALS AND ALLIED PRODUCTS (2.7%)
64,100 Alkmeres, Inc. (a)...................................... 3,020,713
29,380 ALZA Corp. (a).......................................... 1,737,092
75,810 Biogen, Inc. (a)........................................ 4,889,745
------------
9,647,550
------------
COMMUNICATIONS BY PHONE, TELEVISION, RADIO, CABLE (21.2%)
58,020 AT & T Canada, Inc. - Class B (a)...................... 1,925,568
84,110 ALLTEL Corp............................................. 5,209,605
169,470 Crown Castle International Corp. (a).................... 6,185,655
90,830 Digex, Inc. (a)......................................... 6,170,809
307,410 EchoStar Communications Corp. - Class A (a)............. 10,178,038
389,330 McLeodUSA, Inc. - Class A (a)........................... 8,054,459
129,240 Metromedia Fiber Network, Inc. - Class A (a)............ 5,129,277
95,400 Network Plus Corp. (a).................................. 1,353,535
222,880 NEXTLINK Communications, Inc. (a)....................... 8,455,621
96,365 Research in Motion, Ltd. (a)............................ 4,360,516
145,620 TeleCorp PCS, Inc. (a).................................. 5,870,233
99,996 VoiceStream Wireless Corp. (a).......................... 11,574,537
------------
74,467,853
------------
The accompanying notes are an integral part of these financial statements.
11
<PAGE>
CONSECO SERIES TRUST
EQUITY PORTFOLIO
Schedule of Investments
JUNE 30, 2000
(Unaudited)
================================================================================
SHARES OR
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------
DEPOSITORY INSTITUTIONS (2.2%)
82,750 North Fork Bancorporation, Inc. ........................ 1,251,594
69,490 PNC Financial Services Group, Inc. ..................... 3,257,344
107,420 Washington Mutual, Inc. ................................ 3,101,753
------------
7,610,691
------------
ELECTRIC, GAS, WATER, COGENERATION, SANITARY SERVICES (1.4%)
96,790 El Paso Energy Corp..................................... 4,930,289
------------
ELECTRICAL, OTHER ELECTRICAL EQUIPMENT, EXCEPT COMPUTERS (18.8%)
72,360 Applied Micro Circuits Corp. (a)........................ 7,145,550
117,260 Atmel Corp. (a)......................................... 4,323,962
22,820 Celestica, Inc. (a)..................................... 1,132,442
84,000 Copper Mountain Networks, Inc. (a)...................... 7,402,500
68,420 CTS Corp................................................ 3,078,900
39,320 Eaton Corp.............................................. 2,634,440
24,440 Flextronics International, Ltd. (a)..................... 1,678,735
248,750 Gemstar International Group, Ltd. (a)................... 15,286,434
112,900 Integrated Device Technology, Inc. (a).................. 6,759,888
89,180 Jabil Circuit, Inc. (a)................................. 4,425,557
39,130 QLogic Corp. (a)........................................ 2,585,006
63,210 RF Micro Devices, Inc. (a).............................. 5,538,776
54,120 TranSwitch Corp. (a).................................... 4,177,415
------------
66,169,605
------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT SERVICES (0.9%)
47,260 Perkin Elmer, Inc....................................... 3,125,067
------------
FABRICATED METAL PRODUCTS, EXCEPT MACHINERY AND
TRANSPORTATION EQUIPMENT (1.4%)
96,530 Danaher Corp............................................ 4,772,250
------------
HEALTH SERVICES (0.4%)
80,000 Community Health Systems, Inc. (a)...................... 1,295,040
------------
HOME FURNITURE AND EQUIPMENT STORES (0.4%)
27,590 RadioShack Corp......................................... 1,307,076
------------
INDUSTRIAL, COMMERCIAL MACHINERY, COMPUTERS (6.6%)
76,140 Cooper Cameron Corp. (a)................................ 5,025,240
59,040 Novellus Systems, Inc. (a).............................. 3,339,420
207,310 Symbol Technologies, Inc................................ 11,544,679
84,730 Weatherford International, Inc. (a)..................... 3,373,271
------------
23,282,610
------------
INSURANCE CARRIERS (2.0%)
28,220 Ambac Financial Group, Inc.............................. 1,546,795
64,260 Jefferson Pilot Corp.................................... 3,626,706
49,100 Lincoln National Corp................................... 1,773,738
------------
6,947,239
------------
The accompanying notes are an integral part of these financial statements.
12
<PAGE>
CONSECO SERIES TRUST
EQUITY PORTFOLIO
Schedule of Investments
JUNE 30, 2000
(Unaudited)
================================================================================
SHARES OR
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------
MEASURING INSTRUMENTS, PHOTO GOODS, WATCHES (1.9%)
28,370 Credence Systems Corp. (a) ........................... $ 1,565,683
25,030 PE Corp.-PE Biosystems Group ......................... 1,648,851
89,970 SCI Systems, Inc. (a) ................................ 3,525,744
------------
6,740,278
------------
MISCELLANEOUS RETAIL (0.6%)
89,110 ValueVision International, Inc. (a) .................. 2,160,918
------------
MOTION PICTURES (1.3%)
69,650 Macrovision Corp. (a) ................................ 4,452,167
------------
NON-DEPOSITORY CREDIT INSTITUTIONS (0.5%)
11,160 Providian Financial Corp. ............................ 1,004,400
18,640 SLM Holding Corp. .................................... 697,844
------------
1,702,244
------------
OIL AND GAS EXTRACTION (8.0%)
141,890 ENSCO International, Inc. ............................ 5,081,365
121,930 Helmerich & Payne, Inc. .............................. 4,328,515
149,120 Nabors Industries, Inc. (a) .......................... 6,197,725
196,500 R & B Falcon Corp. (a) ............................... 4,629,933
137,100 Rowan Companies, Inc. (a) ............................ 4,164,413
105,100 Santa Fe International Corp. ......................... 3,671,984
------------
28,073,935
------------
PETROLEUM-REFINING AND RELATED INDUSTRIES (1.3%)
139,360 Valero Energy Corp. .................................. 4,424,680
------------
REAL ESTATE OPERATORS, AGENTS, MANAGERS (1.3%)
146,820 Starwood Hotels & Resorts Worldwide, Inc. ............ 4,744,048
------------
SECURITY AND COMMODITY BROKERS (1.1%)
130,510 Franklin Resources, Inc. ............................. 3,964,241
------------
TOTAL COMMON STOCKS (COST $309,626,422) .............. 326,540,147
------------
COMMERCIAL PAPER (5.7%)
NON-DEPOSITORY CREDIT INSTITUTIONS (3.8%)
7,000,000 Associates Corp., 6.880%, due 07/03/2000 ............. 6,997,325
6,400,000 General Electric Capital Corp., 6.800%, due 07/03/2000 6,397,582
------------
13,394,907
------------
OIL AND GAS EXTRACTION (1.9%)
6,500,000 Koch Industries, Inc., 6.890%, due 07/03/2000 ........ 6,497,512
------------
TOTAL COMMERCIAL PAPER (COST $19,892,419) ............ 19,892,419
------------
The accompanying notes are an integral part of these financial statements.
13
<PAGE>
CONSECO SERIES TRUST
EQUITY PORTFOLIO
Schedule of Investments
JUNE 30, 2000
(Unaudited)
================================================================================
SHARES OR
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (0.1%)
375,000 AIM Liquid Asset Portfolio ........................... $ 375,000
------------
TOTAL SHORT-TERM INVESTMENTS (COST $375,000) ......... 375,000
TOTAL INVESTMENTS (COST $329,893,841) (98.8%) ........ 346,807,566
------------
CASH, RECEIVABLES AND OTHER ASSETS,
NET OF LIABILITIES (1.2%) .......................... 4,113,022
------------
NET ASSETS (100.0%) .................................. $350,920,588
------------
----------------------------------------------------------------
(a) Non-income producing security.
The accompanying notes are an integral part of these financial statements.
14
<PAGE>
CONSECO SERIES TRUST
BALANCED PORTFOLIO
================================================================================
PORTFOLIO MANAGERS' REVIEW
The bond markets experienced volatility similar to the harrowing time of the
fall of 1998, however, for different reasons. The Federal Reserve (the "Fed")
continued to pull liquidity out of the system and forced interest rates higher
in an effort to slow the economy and head-off a spurt in inflation. Spreads
across all sectors widened. Event risk, which is the risk that an issuer becomes
impaired or downgraded due to an acquisition, merger, stock buy-back or other
change to its balance sheet, also increased.
Toward the end of the second quarter, the fixed income market reached a
critical inflection point in investor sentiment. Economic data, both in the
manufacturing and consumer sectors, suggested a modest slow- down underway. As
the market surmised that the Fed would move to the sideline, bonds rallied
sharply, leaving a constructive landscape for the second half of the year.
The equity markets were also extremely volatile. Fueled by a series of
interest rate hikes from the Fed and extended valuations, the market corrected
some of the "irrational exuberance" that led to an 80% return for the NASDAQ in
the prior four quarters. We view the correction that took place as being
healthy, and took advantage of the opportunity to add to positions in some of
our favorite growth stocks at bargain prices. We look forward to seeing these
investments drive your portfolio's performance during the second half of this
year.
While much has changed in the market since our last report, our fundamental
outlook for the various sectors of the market has remained the same. We still
favor technology and telecommunications, as these continue to be the fastest
growing sectors of the economy. We also remain bullish on the energy sector as
one of the best ways to play the strength in the global economy.
One of our top performer has been Integrated Device Technology, Inc. This
company continued its migration towards networking and specialty chip products.
With ample capacity, rising margins, new products, modest valuation and an
accelerating sales growth rate, the company is beginning to gain broader
acceptance in the market and yield outsized returns for investors.
On the flip side, telecommunications slowed your portfolio's performance. We
attribute the weakness in our investments in this sector to overall equity
market conditions. We remain confident that these investments will generate
solid returns for the portfolio going forward.
At the end of the first quarter, we identified the energy sector as a new
area of focus for the portfolio. During the second quarter, your portfolio
benefited significantly from positions in the oil drillers, R&B Falcon Corp.,
ENSCO International, Inc., Nabors Industries, Inc., and Cooper Cameron Corp.
Looking forward, rising oil and natural gas demand combined with constrained
supply continues to bode well for this sector and these investments remain at
significant weightings in the portfolio.
As we enter the second half of 2000, we expect that volatility will persist.
However, we are cautiously optimistic that the strong operating results from a
broad array of companies will rise stocks higher. As always, we will continue to
rely on our bottom-up fundamental research to uncover companies with outstanding
growth opportunities in all asset classes. It is our in-depth understanding of
the fundamentals of these companies that allows us to be opportunistic in times
of weakness and prudent when valuations are extended, and we feel this is the
best way to navigate your portfolio through a volatile market.
Thomas J. Pence, CFA
Chief Investment Officer, Equity
Senior Vice President
Conseco Capital Management, Inc.
Gregory J. Hahn, CFA
Chief Investment Officer, Fixed Income
Senior Vice President
Conseco Capital Management, Inc.
15
<PAGE>
CONSECO SERIES TRUST
BALANCED PORTFOLIO
Schedule of Investments
JUNE 30, 2000
(Unaudited)
================================================================================
SHARES OR
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------
COMMON STOCKS (56.2%)
BUILDING MATERIALS, HARDWARE, GARDEN-RETAIL (0.5%)
7,290 The Home Depot, Inc. ................................. $ 364,048
----------
BUSINESS SERVICES (8.9%)
10,480 America Online, Inc. (a) ............................. 552,820
2,020 Computer Sciences Corp. (a) .......................... 150,870
7,650 First Data Corp. ..................................... 379,631
5,720 Microsoft Corp. (a) .................................. 457,600
3,620 Oracle Corp. (a) ..................................... 304,304
13,220 Portal Software, Inc. (a) ............................ 844,428
2,580 Siebel Systems, Inc. (a) ............................. 421,990
5,140 Software.com, Inc. (a) ............................... 667,558
2,050 VeriSign, Inc. (a) ................................... 359,902
7,432 VERITAS Software Corp. (a) ........................... 785,934
8,870 Vignette Corp. (a) ................................... 466,784
6,270 Vitria Technology, Inc. (a) .......................... 354,255
----------
5,746,076
----------
CHEMICALS AND ALLIED PRODUCTS (1.6%)
3,280 ALZA Corp. (a) ....................................... 193,930
8,320 Biogen, Inc. (a) ..................................... 536,640
5,430 Pharmacia Corp. ...................................... 280,663
----------
1,011,233
----------
COMMUNICATIONS BY PHONE, TELEVISION, RADIO, CABLE (11.5%)
6,640 AT & T Wireless Group (a) ............................ 185,090
11,150 ALLTEL Corp. ......................................... 690,609
10,840 Crown Castle International Corp. (a) ................. 395,660
6,380 Digex, Inc. (a) ...................................... 433,444
35,890 EchoStar Communications Corp. - Class A (a) .......... 1,188,282
3,880 Level 3 Communications, Inc. (a) ..................... 341,440
30,350 McLeodUSA, Inc. - Class A (a) ........................ 627,881
16,700 Metromedia Fiber Network, Inc. - Class A (a) ......... 662,789
24,580 NEXTLINK Communications, Inc. (a) .................... 932,516
6,510 Research in Motion, Ltd. (a) ......................... 294,578
10,709 VoiceStream Wireless Corp. (a) ....................... 1,239,567
9,520 WorldCom, Inc. (a) ................................... 436,730
----------
7,428,586
----------
DEPOSITORY INSTITUTIONS (2.7%)
8,620 The Bank of New York Co., Inc. ....................... 400,830
8,110 The Chase Manhattan Corp. ............................ 373,563
5,200 FleetBoston Financial Corp. .......................... 176,800
6,300 PNC Financial Services Group, Inc. ................... 295,313
1,810 State Street Corp. ................................... 191,973
11,850 Washington Mutual, Inc. .............................. 342,169
----------
The accompanying notes are an integral part of these financial statements.
16
<PAGE>
CONSECO SERIES TRUST
BALANCED PORTFOLIO
Schedule of Investments
JUNE 30, 2000
(Unaudited)
================================================================================
SHARES OR
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------
1,780,648
----------
ELECTRIC, GAS, WATER, COGENERATION, SANITARY SERVICES (0.7%)
8,500 El Paso Energy Corp. ................................... $ 432,973
----------
ELECTRICAL, OTHER ELECTRICAL EQUIPMENT, EXCEPT COMPUTERS (14.1%)
9,220 Applied Micro Circuits Corp. (a) ....................... 910,475
12,890 Atmel Corp. (a) ........................................ 475,319
4,940 Copper Mountain Networks, Inc. (a) ..................... 435,337
1,590 E-TEK Dynamics, Inc. (a) ............................... 419,461
4,100 Eaton Corp. ............................................ 274,700
9,530 Emerson Electric Co. ................................... 575,374
2,700 Flextronics International, Ltd. (a) .................... 185,458
27,200 Gemstar International Group, Ltd. (a) .................. 1,671,522
21,300 Integrated Device Technology, Inc. (a) ................. 1,275,337
9,870 Jabil Circuit, Inc. (a) ................................ 489,799
18,570 Nortel Networks Corp. .................................. 1,267,402
6,620 RF Micro Devices, Inc. (a) ............................. 580,078
6,350 Tellabs, Inc. (a) ...................................... 434,581
2,200 Vitesse Semiconductor Corp. (a) ........................ 167,614
----------
9,162,457
----------
FABRICATED METAL PRODUCTS, EXCEPT MACHINERY AND
TRANSPORTATION EQUIPMENT (0.7%)
9,250 Danaher Corp. .......................................... 457,301
----------
FOOD AND KINDRED PRODUCTS (0.3%)
3,270 The Coca Cola Co. ...................................... 187,822
----------
INDUSTRIAL, COMMERCIAL MACHINERY, COMPUTERS (5.9%)
2,430 Applied Materials, Inc. (a) ............................ 220,219
11,910 Cisco Systems, Inc. (a) ................................ 754,046
8,860 Cooper Cameron Corp. (a) ............................... 584,760
4,220 EMC Corp. (a) .......................................... 324,678
8,170 Novellus Systems, Inc. (a) ............................. 462,112
19,605 Symbol Technologies, Inc. .............................. 1,091,763
9,460 Weatherford International, Inc. (a) .................... 376,622
----------
3,814,200
----------
INSURANCE CARRIERS (0.3%)
3,080 Jefferson Pilot Corp. .................................. 173,829
----------
MEASURING INSTRUMENTS, PHOTO GOODS, WATCHES (0.8%)
5,990 KLA Tencor Corp. (a) ................................... 350,786
2,790 PE Corp.-PE Biosystems Group ........................... 183,791
----------
534,577
----------
MOTION PICTURES (1.4%)
38,050 AT & T Corp. - Liberty Media Group - Class A (a) ....... 922,712
----------
The accompanying notes are an integral part of these financial statements.
17
<PAGE>
CONSECO SERIES TRUST
BALANCED PORTFOLIO
Schedule of Investments
JUNE 30, 2000
(Unaudited)
================================================================================
SHARES OR
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------
NON-DEPOSITORY CREDIT INSTITUTIONS (0.9%)
3,500 Fannie Mae ........................................... $ 183,094
6,990 Federal Home Loan Mortgage Corp. ..................... 283,095
1,230 Providian Financial Corp. ............................ 110,700
-----------
576,889
-----------
OIL AND GAS EXTRACTION (3.9%)
3,940 Enron Corp. .......................................... 254,130
18,439 ENSCO International, Inc. ............................ 660,337
16,400 Nabors Industries, Inc. (a) .......................... 681,617
21,980 R & B Falcon Corp. (a)
517,893
7,480 Transocean Sedco Forex, Inc. ......................... 399,716
-----------
2,513,693
-----------
PETROLEUM-REFINING AND RELATED INDUSTRIES (0.6%)
4,720 Exxon Mobil Corp. .................................... 370,520
-----------
REAL ESTATE OPERATORS, AGENTS, MANAGERS (0.4%)
9,270 Starwood Hotels & Resorts Worldwide, Inc. ............ 299,532
-----------
SECURITY AND COMMODITY BROKERS (0.2%)
3,980 Franklin Resources, Inc. ............................. 120,892
-----------
TRANSPORTATION EQUIPMENT (0.8%)
5,600 General Motors Corp. - Class H (a) 491,400
-----------
TOTAL COMMON STOCKS (COST $34,586,922) ............... 36,389,388
-----------
PREFERRED STOCKS (4.8%)
INSURANCE CARRIERS (0.5%)
12,000 Lincoln National Capital, 6.400%, TOPrS (b) .......... 294,000
-----------
Measuring Instruments, Photo Goods, Watches (0.6%)
6,267 River Holding Corp., Series B, 11.500%, PIK (b) ...... 378,370
-----------
NON-DEPOSITORY CREDIT INSTITUTIONS (1.5%)
1,000 Centaur Funding Corp., 9.080%,
(c) Cost - $1,069,950;
Acquired - 01/14/1999 & 01/13/2000 ................... 995,000
-----------
OIL AND GAS EXTRACTION (2.2%)
1,267 R & B Falcon Corp. 13.875%, PIK (b) .................. 1,434,878
-----------
TOTAL PREFERRED STOCKS (COST $3,249,201) ............. 3,102,248
-----------
PREFERRED STOCKS - CONVERTIBLE (2.9%)
COMMUNICATIONS BY PHONE, TELEVISION, RADIO, CABLE (1.1%)
28,000 Intermedia Communications, Inc., 7.000%,
(c) Cost - $700,000; Acquired - 10/24/1997 ........... 724,500
-----------
ELECTRIC, GAS, WATER, COGENERATION, SANITARY SERVICES (1.8%)
14,000 The AES Trust 5.500%,
(c) Cost - 700,000; Acquired - 10/24/1997 ............ 1,137,500
-----------
TOTAL PREFERRED STOCKS - CONVERTIBLE (COST $1,400,000) 1,862,000
-----------
The accompanying notes are an integral part of these financial statements.
18
<PAGE>
CONSECO SERIES TRUST
BALANCED PORTFOLIO
Schedule of Investments
JUNE 30, 2000
(Unaudited)
================================================================================
SHARES OR
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------
WARRANTS (0.0%)
AMUSEMENT AND RECREATION SERVICES (0.0%)
250 Park `N View, Inc. ..................................... $ 0
----------
MISCELLANEOUS MANUFACTURING (0.0%)
400 V2 Music Holdings ...................................... 0
----------
TOTAL WARRANTS (COST $42,500) .......................... 0
----------
CORPORATE BONDS (24.6%)
AMUSEMENT AND RECREATION SERVICES (0.5%)
250,000 Mirage Resorts, Inc., 6.625%, due 02/01/2005 ........... 231,562
250,000 Park `N View, Inc., Series B, 13.000%, due 05/15/2008 .. 101,250
----------
332,812
----------
AUTO REPAIR AND PARKING (0.4%)
100,000 Amerco -MTN, 8.800%, due 02/04/2005 .................... 95,750
200,000 Amerco -MTN, 7.470%, due 01/15/2027 .................... 173,500
----------
269,250
----------
CHEMICALS AND ALLIED PRODUCTS (1.6%)
500,000 Agrium, Inc., 7.700%, due 02/01/2017 ................... 433,125
625,000 Lyondell Chemical Co., Series A, 9.625%,
due 05/01/2007 ......................................... 617,188
----------
1,050,313
----------
COMMUNICATIONS BY PHONE, TELEVISION, RADIO, CABLE (1.7%)
550,000 360Networks, Inc., 13.000%, due 05/01/2008,
(c) Cost - $536,906; Acquired - 04/20/2000 ............. 552,750
25,000 Bellsouth Capital Funding Corp., 7.875%,
due 02/15/2030 ......................................... 24,937
525,000 Crown Castle International Corp., 10.750%,
due 08/01/2011 ......................................... 534,844
----------
1,112,531
----------
DEPOSITORY INSTITUTIONS (2.5%)
400,000 Centura Bank, 6.500%, due 03/15/2009 ................... 363,000
200,000 Key Bank, National Association, 6.500%,
due 04/15/2008 ......................................... 183,750
300,000 Sovereign Bancorp, Inc., 10.250%, due 05/15/2004 ....... 297,750
875,000 Union Planters Bank, National Association, 6.500%,
due 03/15/2008 ......................................... 767,812
----------
1,612,312
----------
ELECTRIC, GAS, WATER, COGENERATION, SANITARY SERVICES (5.3%)
500,000 Coastal Corp., 7.750%, due 06/15/2010 .................. 497,500
600,000 El Paso Natural Gas, 7.500%, due 11/15/2026 ............ 557,250
300,000 MCN Investment Corp., 6.350%, due 04/02/2002 ........... 292,875
650,000 NRG Northeast Generating LLC, 8.065%, due 12/15/2004,
(c) Cost - $650,000; Acquired - 02/15/2000 ............ 653,250
500,000 PSEG Energy Holdings, 9.125%, due 02/10/2004,
(c) Cost - $499,248; Acquired - 02/03/2000 ............. 506,250
300,000 Tennessee Gas Pipeline, 7.000%, due 10/15/2028 ......... 262,875
700,000 Waste Management, Inc., 6.625%, due 07/15/2002 ......... 667,626
----------
3,437,626
----------
The accompanying notes are an integral part of these financial statements.
19
<PAGE>
CONSECO SERIES TRUST
BALANCED PORTFOLIO
Schedule of Investments
JUNE 30, 2000
(Unaudited)
================================================================================
SHARES OR
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------
GENERAL MERCHANDISE STORES (0.4%)
300,000 Shopko Stores, Inc., 6.500%, due 08/15/2003............ $ 287,250
-----------
INSURANCE CARRIERS (1.0%)
100,000 Delphi Financial Group, Inc., 8.000%, due 10/01/2003 .. 97,250
600,000 MMI Capital Trust I, Series B, 7.625%, due 12/15/2027 . 518,250
-----------
615,500
-----------
MEASURING INSTRUMENTS, PHOTO GOODS, WATCHES (1.8%)
600,000 Raytheon Co., 6.500%, due 07/15/2005 .................. 569,250
550,000 Raytheon Co., 8.300%, due 03/01/2010,
(c) Cost - $562,295; Acquired - 03/02/2000 ............ 561,688
-----------
1,130,938
-----------
MISCELLANEOUS MANUFACTURING (0.2%)
400,000 V2 Music Holdings, STEP (b) 0.000%/14.000%,
due 04/15/2008, (c) Cost - $270,081;
Acquired - 11/09/1998 ................................. 110,500
-----------
MOTION PICTURES (2.0%)
900,000 Liberty Media Corp., 8.250%, due 02/01/2030,
(c) Cost - $893,024; Acquired - 06/08/2000 ............ 829,125
450,000 Time Warner, Inc., 8.180%, due 08/15/2007 ............. 460,687
-----------
1,289,812
-----------
OIL AND GAS EXTRACTION (0.4%)
290,000 Occidental Petroleum Corp., 6.750%, due 11/15/2002 .... 285,650
-----------
PETROLEUM-REFINING AND RELATED INDUSTRIES (1.1%)
600,000 Pennzoil Co., 10.125%, due 11/15/2009 ................. 683,250
-----------
PIPE LINE, EXCEPT NATURAL GAS (0.6%)
400,000 Osprey Trust/Osprey I, 8.310%, due 01/15/2003,
(c) Cost - $400,000; Acquired - 09/16/1999 ............ 401,500
-----------
REAL ESTATE INVESTMENT TRUSTS (REITS) (1.3%)
150,000 CarrAmerica Realty Corp., 6.625%, due 03/01/2005 ...... 139,312
500,000 Colonial Realty, L.P., 7.500%, due 07/15/2001 ......... 495,625
200,000 Corporate Property Investors, Inc., 9.000%,
due 03/15/2002, (c) Cost - $208,871;
Acquired - 03/17/1998 ................................. 201,750
-----------
836,687
-----------
REAL ESTATE OPERATORS, AGENTS, MANAGERS (1.1%)
600,000 Pinnacle Holdings, Inc., STEP (b) 0.000%/10.000%,
due 03/15/2008 ........................................ 417,000
300,000 Regency Centers, L.P., 7.400%, due 04/01/2004 ......... 288,000
-----------
705,000
-----------
STONE, CLAY, GLASS, CONCRETE (0.3%)
200,000 USG Corp., 9.250%, due 09/15/2001 ..................... 203,500
-----------
TOBACCO PRODUCTS (0.6%)
400,000 R.J. Reynolds Tobacco Holdings, Inc., 7.375%,
due 05/15/2003 ........................................ 373,000
-----------
TRANSPORTATION EQUIPMENT (1.8%)
550,000 Lockheed Martin Corp., 8.200%, due 12/01/2009 ......... 556,188
600,000 Northrop-Grumman Corp., 9.375%, due 10/15/2024 ........ 611,250
-----------
1,167,438
-----------
TOTAL CORPORATE BONDS (COST $16,425,767) .............. 15,904,869
-----------
The accompanying notes are an integral part of these financial statements.
20
<PAGE>
CONSECO SERIES TRUST
BALANCED PORTFOLIO
Schedule of Investments
JUNE 30, 2000
(Unaudited)
================================================================================
SHARES OR
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------
MUNICIPAL BONDS (2.0%)
250,000 Capital Projects Finance Authority, Florida Revenue,
8.000%, due 12/01/2001 .............................. $ 246,562
450,000 Mississippi Development Bank, Special Obligation,
Series 1998, 8.500%, due 12/01/2018 ................. 384,750
650,000 United Mexican States, 9.875%, due 02/01/2010 ....... 674,375
------------
TOTAL MUNICIPAL BONDS (COST $1,391,919) ............. 1,305,687
------------
ASSET BACKED SECURITIES (0.6%)
150,000 COMED Transitional Funding Trust, 98-1 A7, 5.740%,
due 12/25/2010 ...................................... 134,575
276,821 First Union National Bank Commercial Mortgage,
99-C4 A1, 7.184%, due 09/15/2008 .................... 275,288
------------
TOTAL ASSET BACKED SECURITIES (COST $427,678) ....... 409,863
------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (4.3%)
1,725,000 U.S. Treasury Bond, 6.125%, due 08/15/2029 .......... 1,744,841
400,000 U.S. Treasury Note, 6.625%, due 05/15/2007 .......... 408,375
615,000 U.S. Treasury Note, 6.750%, due 05/15/2005 .......... 629,607
------------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(COST $2,761,902) ................................... 2,782,823
------------
COMMERCIAL PAPER (5.6%)
OIL AND GAS EXTRACTION (2.8%)
1,800,000 Koch Industries, Inc., 6.890%, due 07/03/2000 ....... 1,799,311
------------
SECURITY & COMMODITY BROKERS (2.8%)
1,800,000 Morgan Stanley Group, Inc., 6.850%, due 07/03/2000 .. 1,799,315
------------
TOTAL COMMERCIAL PAPER (COST $3,598,626) ............ 3,598,626
------------
SHORT-TERM INVESTMENTS (5.7%)
3,718,000 AIM Liquid Asset Portfolio .......................... 3,718,000
------------
TOTAL SHORT-TERM INVESTMENTS (COST $3,718,000) ...... 3,718,000
------------
TOTAL INVESTMENTS (COST $67,602,515) (106.7%) ....... 69,073,504
------------
CASH, RECEIVABLES AND OTHER ASSETS,
NET OF LIABILITIES (-6.7% ) ....................... (4,325,637)
------------
NET ASSETS (100.0%) ................................. $ 64,747,867
------------
----------------------------------------------------------------
(a) Non-income producing security.
(b) PIK - Payment in Kind.
STEP - Bonds where the coupon steps up a predetermined rate.
TOPrS - Trust Originated Preferred Securities.
(c) Restricted under Rule 144A of the Securities Act of 1933.
The accompanying notes are an integral part of these financial statements.
21
<PAGE>
CONSECO SERIES TRUST
HIGH YIELD PORTFOLIO
================================================================================
PORTFOLIO MANAGERS' REVIEW
The High Yield Portfolio, one of the two newer Conseco Series Trust
portfolios, commenced operations on June 13, 2000. At Conseco Capital
Management, Inc. (CCM), 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 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 benchmark without incurring a significantly higher
level of risk. While emphasizing security selection, our style is not one of
anticipating changes in interest rate.
As the Portfolio commenced operations this quarter, CCM saw the high yield
market again underperform the other major fixed income asset classes. Adding to
the general weakness of the high yield market, the technicals of the high yield
market continued to suffer in the second quarter as money continued to flow out
of high yield mutual funds. New issuance during this quarter was also down, as
only $10.7 billion of new securities entered the marketplace equaling almost
half the first quarter 2000 total new issuance. With this pace, the first half
of the year is on track to be the lowest level of new issuance of high yield
securities since 1995. Defaults in the high yield market have also increased
running at an annualized rate of just north of 5%. The gaming, lodging and
energy sectors were some of the better performing groups in the quarter with
entertainment/film and bus transportation being the largest under-performing
sectors.
Looking forward to the rest of the year, we believe that the high yield
market is poised to stabilize and improve from the dismal performance
experienced in the first half of the year. Fund flows appear to be improving and
the recent increase in new issuance is being absorbed fairly well. Higher credit
quality profiles will also be preferred. Our belief that returns will be better
in the second half is predicated on the historically high premium to Treasury
bonds currently available in the high yield market and a generally constructive
view of the economic landscape. As we structure the portfolio in the second half
of 2000, the market will likely be characterized by continued volatility. As
always, we remain committed to our belief that fundamental credit analysis is
the best response to uncertain markets.
Robert L. Cook, CFA
Vice President
Conseco Capital Management, Inc.
Eric D. Todd, CFA
Vice President
Conseco Capital Management, Inc.
22
<PAGE>
CONSECO SERIES TRUST
HIGH YIELD PORTFOLIO
Schedule of Investments
JUNE 30, 2000
(Unaudited)
================================================================================
SHARES OR
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (80.7%)
38,000 AIM Liquid Asset Portfolio ............................... $ 38,000
---------
TOTAL SHORT-TERM INVESTMENTS (COST $38,000) .............. 38,000
---------
TOTAL INVESTMENTS (COST $38,000) (80.7%) ................. 38,000
---------
CASH, RECEIVABLES AND OTHER ASSETS,
NET OF LIABILITIES (19.3%).............................. 9,060
---------
NET ASSETS (100.0%) ...................................... $ 47,060
---------
The accompanying notes are an integral part of these financial statements.
23
<PAGE>
CONSECO SERIES TRUST
FIXED INCOME PORTFOLIO
================================================================================
PORTFOLIO MANAGERS' REVIEW
During the first half of 2000, the bond markets experienced volatility not
seen since the global liquidity crisis of August 1998; however, for different
reasons. The Fed continued to pull liquidity out of the system and forced
interest rates 175 basis points higher in an effort to slow the economy and
head-off a spurt in inflation. The U.S. Treasury curve is inverted with short
maturities yielding more than the 30 year bond. Spreads across many sectors
widened to levels in excess of those seen during the fall of 1998. Event risk,
which is the risk that an issuer becomes impaired or downgraded due to an
acquisition, merger, stock buy-back or other change to its balance sheet, has
become a concern to bondholders again. Heightened volatility in the equity
markets has also aggravated the widening witnessed in fixed income assets,
including corporate bonds, mortgage-backed securities and asset-backed
securities.
Toward the end of the second quarter 2000, the fixed income market reached a
critical inflection point in regard to investor sentiment towards both Treasury
securities and spread product. Economic data, both in the manufacturing and
consumer sectors, showed a definitive moderation in activity. May and June new
housing starts were down almost 7.0% from the fourth quarter of 1999 and the
unemployment rate has risen back above 4.0%. As the market surmised that the Fed
would move to the sideline, spread assets rallied sharply, leaving a
constructive landscape for the second half of the year. Volatility in the equity
market subsided, lending further support to fixed income assets, including
corporate bonds, mortgage-backed securities and asset-backed securities.
While our investment philosophy is deeply rooted in proprietary, fundamental
research, the portfolio structure is critical to providing the highest level of
income in this environment without incurring significant risk. It is our desire
to maintain the same interest rate sensitivity as the general market.
We plan to maintain our defensive approach in our credit selection process
through the third quarter. We also expect that spread volatility will continue
as new issuance increases. High event risk and an unforgiving credit market
still exist, but the fixed income sector outlook is improving. If the market
becomes convinced that the Fed will remain on the sidelines we could see
spreads, the risk premium over U.S. Treasury securities, rally from current
levels.
We will continue to underweight the consumer and commercial finance sector.
We expect industry participants to experience continued deterioration in loan
quality and interest [rate] margin compression. We also see heightened risks in
several other industry groups and remain underweighted in retail, auto parts,
conglomerates and paper/forest.
We are taking advantage of current generous credit spreads in AAA rated
mortgage-backed and short-lived asset-backed securities to diversify risk. These
securities should outperform [U.S. Treasuries] if intermediate interest rates
remain relatively stable.
During the rest of the year we expect the Treasury curve to continue to
invert. The short end will remain relatively unchanged, but long maturity yields
will trend lower as inflation fears subside and outstanding Treasury debt supply
dwindles from reduced auction sizes and announced buybacks. Barring unforeseen
event risk, the second half should be favorable for fixed income security
performance.
Gregory J. Hahn, CFA
Chief Investment Officer, Fixed Income
Senior Vice President
Conseco Capital Management, Inc.
Todd Thompson, CFA
Second Vice President
Conseco Capital Management, Inc.
24
<PAGE>
CONSECO SERIES TRUST
FIXED INCOME PORTFOLIO
Schedule of Investments
JUNE 30, 2000
(Unaudited)
================================================================================
SHARES OR
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------
CORPORATE BONDS (62.0%)
AIR TRANSPORTATION (0.5%)
146,707 Delta Airlines, 1992 ETC-C, 8.540%, due 01/02/2007..... $ 149,091
-------------
AMUSEMENT AND RECREATION SERVICES (0.3%)
100,000 Mirage Resorts, Inc., 6.625%, due 02/01/2005 .......... 92,625
-------------
AUTO REPAIR AND PARKING (1.8%)
250,000 Amerco -MTN, 8.800%, due 02/04/2005 ................... 239,375
100,000 Amerco -MTN, 6.710%, due 10/15/2008 ................... 99,250
300,000 Amerco -MTN, 7.470%, due 01/15/2027 ................... 260,250
-------------
598,875
-------------
BUSINESS SERVICES (1.8%)
600,000 Exodus Communications, Inc., 11.625%,
due 07/15/2010, (b) Cost - $600,000;
Acquired - 06/28/2000 ................................. 604,500
-------------
CHEMICALS AND ALLIED PRODUCTS (2.3%)
300,000 Agrium, Inc., 7.700%, due 02/01/2017 .................. 259,875
300,000 Lyondell Chemical Co., Series A, 9.625%, due 05/01/2007 296,250
200,000 Smith International, Inc., 7.000%, due 09/15/2007 ..... 191,500
-------------
747,625
-------------
COMMUNICATIONS BY PHONE, TELEVISION, RADIO, CABLE (7.2%)
250,000 360Networks, Inc., 13.000%, due 05/01/2008,
(b) Cost - $244,048; Acquired - 04/20/2000 ............ 251,250
200,000 Charter Communications Holdings LLC, 8.250%,
due 04/01/2007 ........................................ 177,500
225,000 Charter Communications Holdings LLC, STEP
(a) 0.000%/11.750%, due 01/15/2010 .................... 129,094
125,000 Continental Cablevision, Inc., 9.500%, due 08/01/2013 . 135,469
200,000 Continental Cablevision, Inc., 8.300%, due 05/15/2006 . 207,000
225,000 Crown Castle International Corp., 10.750%,
due 08/01/2011 ........................................ 229,219
300,000 CSC Holdings, Inc., 9.875%, due 02/15/2013 ............ 309,000
200,000 Deutsche Telekom International Finance, 8.250%,
due 06/15/2030 ........................................ 203,750
250,000 Telecommunications, Inc., 10.125%, due 04/15/2022 ..... 305,313
400,000 WorldCom, Inc., 8.000%, due 05/15/2006 ................ 405,000
-------------
2,352,595
-------------
DEPOSITORY INSTITUTIONS (4.3%)
750,000 St. Paul Bancorp, Inc., 7.125%, due 02/15/2004 ........ 726,563
250,000 Sovereign Bancorp, Inc., 10.250%, due 05/15/2004 ...... 248,125
500,000 Union Planters Bank, National Association, 6.500%,
due 03/15/2008 ........................................ 438,750
-------------
1,413,438
-------------
ELECTRIC, GAS, WATER, COGENERATION, SANITARY SERVICES (11.7%)
600,000 AES Eastern Energy, 9.000%, due 01/02/2017,
(b) Cost - $582,178; Acquired - 03/27/2000 ............ 584,112
500,000 Coastal Corp., 6.700%, due 02/15/2027 ................. 471,250
300,000 Coastal Corp., 7.750%, due 06/15/2010 ................. 298,500
300,000 Commonwealth Edison Co., 8.375%, due 02/15/2023 ....... 295,875
450,000 El Paso Energy Corp., Series B, 6.750%,
due 05/15/2009 ........................................ 420,188
The accompanying notes are an integral part of these financial statements.
25
<PAGE>
CONSECO SERIES TRUST
FIXED INCOME PORTFOLIO
Schedule of Investments
JUNE 30, 2000
(Unaudited)
================================================================================
SHARES OR
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------
300,000 El Paso Natural Gas, 7.500%, due 11/15/2026 ............ $ 278,625
250,000 Kinder Morgan Energy Partners, L.P., 8.000%,
due 03/15/2005 ......................................... 251,250
150,000 MCN Investment Corp., 6.350%, due 04/02/2002 ........... 146,438
100,000 NRG Northeast Generating LLC, 8.065%, due 12/15/2004,
(b) Cost - $100,000; Acquired - 02/15/2000 ............. 100,500
450,000 PSEG Energy Holdings, 9.125%, due 02/10/2004,
(b) Cost - $449,323; Acquired - 02/03/2000 ............. 455,625
175,000 Tennessee Gas Pipeline, 7.000%, due 10/15/2028 ......... 153,344
400,000 Waste Management, Inc., 6.625%, due 07/15/2002 ......... 381,500
----------
3,837,207
----------
FOOD AND KINDRED PRODUCTS (1.5%)
500,000 PanAmerican Beverage, Inc., 8.125%, due 04/01/2003 ..... 477,500
----------
GENERAL MERCHANDISE STORES (1.0%)
350,000 Shopko Stores, Inc., 6.500%, due 08/15/2003 ............ 335,125
----------
HOTELS, OTHER LODGING PLACES (0.6%)
200,000 Marriott International, Inc., 6.625%, due 11/15/2003 ... 192,500
----------
INSURANCE CARRIERS (2.5%)
150,000 Delphi Financial Group, Inc., 8.000%, due 10/01/2003 ... 145,875
500,000 Farmers Insurance Exchange Capital, 7.050%,
due 07/15/2028, (b) Cost - $404,759;
Acquired - 06/07/2000 .................................. 401,875
300,000 MMI Capital Trust I, Series B, 7.625%, due 12/15/2027 .. 259,125
----------
806,875
----------
LUMBER AND WOOD PRODUCTS, EXCEPT FURNITURE (0.9%)
300,000 West Fraser Mill, 7.250%, due 09/15/2002,
(b) Cost - $297,753; Acquired - 09/26/1995 ............. 296,250
----------
MEASURING INSTRUMENTS, PHOTO GOODS, WATCHES (1.6%)
250,000 Raytheon Co., 8.200%, due 03/01/2006,
(b) Cost - $251,278; Acquired - 03/16/2000 ............. 254,062
275,000 Raytheon Co., 8.300%, due 03/01/2010,
(b) Cost - $274,633; Acquired - 03/02/2000 ............. 280,844
----------
534,906
----------
MOTION PICTURES (2.7%)
500,000 Liberty Media Corp., 8.250%, due 02/01/2030,
(b) Cost - $498,155; Acquired - 06/08/2000 ............. 460,625
200,000 Time Warner, Inc., 8.180%, due 08/15/2007 .............. 204,750
225,000 Time Warner, Inc., 7.570%, due 02/01/2024 .............. 213,187
----------
878,562
----------
NON-DEPOSITORY CREDIT INSTITUTIONS (1.4%)
250,000 DSPL Finance Co., 9.120%, due 12/30/2010,
(b) Cost - $250,000; Acquired - 08/15/1996 ............. 87,500
300,000 FMR Corp., 7.570%, due 06/15/2029,
(b) Cost - $297,468; Acquired - 06/17/1999 ............. 285,000
100,000 General Motors Acceptance Corp., 7.750%,
due 01/19/2010 ......................................... 99,500
----------
472,000
----------
OIL AND GAS EXTRACTION (5.2%)
300,000 Noble Drilling Corp., 7.500%, due 03/15/2019 ........... 284,625
200,000 Occidental Petroleum Corp., 6.400%, due 04/01/2003 ..... 191,750
200,000 Occidental Petroleum Corp., 6.750%, due 11/15/2002 ..... 197,000
250,000 Pride Petroleum Services, Inc., 9.375%,
due 05/01/2007 ......................................... 250,625
800,000 Yosemite Securities Trust I, 8.250%,
due 11/15/2004, (b) Cost - $799,784;
Acquired - 11/04/1999 .................................. 797,000
----------
1,721,000
----------
The accompanying notes are an integral part of these financial statements.
26
<PAGE>
CONSECO SERIES TRUST
FIXED INCOME PORTFOLIO
Schedule of Investments
JUNE 30, 2000
(Unaudited)
================================================================================
SHARES OR
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------
PAPER AND ALLIED PRODUCTS (0.8%)
250,000 Potlatch Corp., 6.250%, 03/15/2002 .................... $ 244,687
-----------
PETROLEUM-REFINING AND RELATED INDUSTRIES (3.5%)
50,000 Pennzoil Co., 10.125%, due 11/15/2009 ................. 56,937
150,000 Pennzoil Co., 10.250%, due 11/01/2005 ................. 164,250
600,000 Phillips Petroleum Co., 8.750%, due 05/25/2010 ........ 636,000
300,000 Valero Energy Corp., 8.375%, due 06/15/2005 ........... 304,875
-----------
1,162,062
-----------
PIPE LINES, EXCEPT NATURAL GAS (1.2%)
200,000 Osprey Trust/Osprey I, 8.310%, due 01/15/2003,
(b) Cost - $200,000; Acquired - 09/16/1999 ............ 200,750
175,000 Pemex Finance, Ltd., 9.030%, due 02/15/2011,
(b) Cost - $175,000; Acquired - 02/03/2000 ............ 180,561
-----------
381,311
-----------
PRINTING, PUBLISHING AND ALLIED PRODUCTS (1.1%)
400,000 Belo (AH) Corp., 7.125%, due 06/01/2007 ............... 371,500
-----------
RAILROAD TRANSPORTATION (0.8%)
300,000 Union Pacific Corp, 6.625%, due 02/01/2029 ............ 248,625
-----------
REAL ESTATE INVESTMENT TRUSTS (REITS) (3.2%)
100,000 CarrAmerica Realty Corp., 6.625%, due 03/01/2005 ...... 92,875
250,000 Colonial Realty, L.P., 7.500%, due 07/15/2001 ......... 247,812
200,000 Corporate Property Investors, Inc., 9.000%,
due 03/15/2002, (b) Cost - $208,871;
Acquired - 03/17/1998 ................................. 201,750
500,000 ERP Operating, L.P., 6.150%, due 09/15/2000 ........... 498,445
-----------
1,040,882
-----------
REAL ESTATE OPERATORS, AGENTS, MANAGERS (0.5%)
250,000 Pinnacle Holdings, Inc., STEP
(a) 0.000%/10.000%, due 03/15/2008 .................... 173,750
-----------
TOBACCO PRODUCTS (0.7%)
250,000 R.J. Reynolds Tobacco Holdings, Inc., 7.375%,
due 05/15/2003 ........................................ 233,125
-----------
TRANSPORTATION EQUIPMENT (2.9%)
275,000 Lockheed Martin Corp., 8.500%, due 12/01/2029 ......... 280,844
300,000 Lockheed Martin Corp., 8.200%, due 12/01/2009 ......... 303,375
375,000 Northrop-Grumman Corp., 9.375%, due 10/15/2024 ........ 382,031
-----------
966,250
-----------
TOTAL CORPORATE BONDS (COST $20,724,517) .............. 20,332,866
-----------
MUNICIPAL BONDS (5.7%)
200,000 Azusa Pacific University California, Revenue, 7.250%,
due 04/01/2009 ........................................ 193,000
82,000 Fort Worth Texas, Higher Education, Finance Corp.,
Revenue, 7.500%, due 10/01/2006 ....................... 81,077
505,000 North Carolina Eastern Municipal Power Agency Revenue,
7.050%, due 01/01/2007 ................................ 482,906
145,000 Reeves County Texas Certificates of Participation,
6.700%, due 03/31/2005 ................................ 140,469
300,000 Reeves County Texas Certificates of Participation,
7.250%, due 06/01/2011 ................................ 282,750
350,000 Republic of South Africa, 9.1250%, due 05/19/2009 ..... 343,875
350,000 United Mexican States, 9.875%, due 02/01/2010 ......... 363,125
-----------
TOTAL MUNICIPAL BONDS (COST $1,954,270) ............... 1,887,202
-----------
The accompanying notes are an integral part of these financial statements.
27
<PAGE>
CONSECO SERIES TRUST
FIXED INCOME PORTFOLIO
Schedule of Investments
JUNE 30, 2000
(Unaudited)
================================================================================
SHARES OR
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------
ASSET BACKED SECURITIES (6.9%)
180,809 Bear Stearns Commercial Mortgage Securites, Inc.,
99-C1 A1, 5.910%, due 05/14/2008 ........................ $ 171,298
100,000 COMED Transitional Funding Trust, 98-1 A7, 5.740%,
due 12/25/2010 .......................................... 89,717
500,000 Contimortgage Home Equity Loan Trust, 98-2 A7,
6.570%, due 3/15/2003 ................................... 468,090
46,455 First Union-Chase Commercial Mortgage, 99-C2 A1,
6.363%, due 06/15/2008 .................................. 44,742
200,000 First Union-Lehman Brothers Commercial Mortgage,
97-C2 A2, 6.600%, due 05/18/2007 ........................ 193,356
363,839 GMAC Commercial Mortgage Securities, Inc.,
99-C1 A1, 5.830%, due 05/15/2033 ........................ 343,101
325,000 Green Tree Home Equity Loan Trust, 99-D A2,
7.050%, due 09/15/2030, (c) Cost--$324,960;
Acquired--08/13/1999 .................................... 323,284
200,000 Green Tree Financial Corp., 94-4 A5, 8.300%,
due 07/15/2019, (c) Cost--$197,813; Acquired--09/01/1994 200,266
28,307 Green Tree Recreational Equipment & Consumer Trust,
96-A A1, 5.550%, due 02/15/2018, (c) Cost--$28,281;
Acquired--01/19/1996 .................................... 27,399
160,798 Green Tree Recreational Equipment & Consumer Trust,
97-C B, 6.750%, due 02/15/2018, (c) Cost--$160,761;
Acquired--09/08/1997 .................................... 154,751
270,315 Nationslink Funding Corp., 98-2 A1, 6.001%,
due 11/20/2007 .......................................... 257,157
----------
TOTAL ASSET BACKED SECURITIES (COST $2,376,099) ......... 2,273,161
----------
COLLATERALIZED MORTGAGE OBLIGATIONS (1.6%)
118,718 Iroquois Trust, 97-1 A, 7.000%, due 12/15/2006 .......... 118,068
282,551 Paine Webber Mortgage Acceptance, 99-4 2B1, 6.316%,
due 01/28/2009 .......................................... 270,113
129,317 Rural Housing Trust, 87-1 3B, 7.330%, due 04/01/2026 .... 128,779
----------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (COST $518,233) 516,960
----------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (12.1%)
129,237 Federal Home Loan Mortgage Corp., # G00479, 9.000%,
due 04/01/2025 .......................................... 133,195
362,346 Federal Home Loan Mortgage Corp., # G00943, 6.000%,
due 07/01/2028 .......................................... 332,225
415,538 Federal Home Loan Mortgage Corp., # C00712, 6.500%,
due 02/01/2029 .......................................... 392,554
823,446 Federal Home Loan Mortgage Corp., # C28063, 6.500%,
due 07/01/2029 .......................................... 777,899
840,182 Federal Home Loan Mortgage Corp., # C32933, 7.500%,
due 11/01/2029 .......................................... 829,680
20,969 Federal National Mortgage Assn., # 062289, 6.710%,
due 03/01/2028 .......................................... 20,929
103,036 Federal National Mortgage Assn., # 183567, 7.500%,
due 11/01/2022 .......................................... 101,587
297,295 Federal National Mortgage Assn., # 253266, 8.000%,
due 04/01/2030 .......................................... 298,689
119,835 Federal National Mortgage Assn., # 286122, 7.000%,
due 06/01/2024 .......................................... 115,716
102,202 Federal National Mortgage Assn., # 349410, 7.000%,
due 08/01/2026 .......................................... 98,689
32,899 Government National Mortgage Assn., # 354859, 9.000%,
due 07/15/2024 .......................................... 34,009
1,298 Government National Mortgage Assn., # 051699, 15.000%,
due 07/15/2011 .......................................... 1,521
1,580 Government National Mortgage Assn., # 056522, 14.000%,
due 08/15/2012 .......................................... 1,840
450,000 U.S. Treasury Bond, 6.500%, due 02/15/2010 .............. 464,896
375,000 U.S. Treasury Note, 6.750%, due 05/15/2005 .............. 383,906
----------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(COST $4,063,866) ....................................... 3,987,335
----------
The accompanying notes are an integral part of these financial statements.
28
<PAGE>
CONSECO SERIES TRUST
FIXED INCOME PORTFOLIO
Schedule of Investments
JUNE 30, 2000
(Unaudited)
================================================================================
SHARES OR
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------
PREFERRED STOCKS (4.6%)
INSURANCE CARRIERS (1.2%)
16,000 Lincoln National Capital, 6.400%, TOPrS (b) .......... $ 392,000
-----------
MEASURING INSTRUMENTS, PHOTO GOODS, WATCHES (0.3%)
1,880 River Holding Corp., Series B, 11.500%, PIK (b) ...... 113,505
-----------
NON-DEPOSITORY CREDIT INSTITUTIONS (1.1%)
350 Centaur Funding Corp., 9.080%, (c) Cost - $358,256;
Acquired - 12/09/1998 & 01/04/1999 ....................... 348,250
-----------
OIL AND GAS EXTRACTION (2.0%)
569 R & B Falcon Corp. 13.875%, PIK (b) .................. 644,393
-----------
TOTAL PREFERRED STOCKS (COST $1,528,256) ............. 1,498,148
-----------
SHORT-TERM INVESTMENTS (4.4%)
1,433,000 AIM Liquid Asset Portfolio ........................... 1,433,000
-----------
TOTAL SHORT-TERM INVESTMENTS (COST $1,433,000) ...... 1,433,000
-----------
TOTAL INVESTMENTS (COST $32,598,241) (97.3%) ........ 31,928,672
-----------
CASH, RECEIVABLES AND OTHER ASSETS,
NET OF LIABILITIES (2.7%) ........................... 883,979
-----------
NET ASSETS (100.0%) ................................. $32,812,651
-----------
-----------------------------------------------------------------
(a) PIK--Payment in Kind.
STEP--Bonds where the coupon steps up a predetermined rate.
TOPrS--Trust Originated Preferred Securities.
(b) Restricted under Rule 144A of the Securities Act of 1933.
(c) Conseco Finance Corp. (formerly Green Tree Financial Corp.), a wholly owned
subsidiary of Conseco, Inc. effective June 30, 1998, is the seller to and
servicer for the Trust issuing the Certificates.
The accompanying notes are an integral part of these financial statements.
29
<PAGE>
CONSECO SERIES TRUST
GOVERNMENT SECURITIES PORTFOLIO
================================================================================
PORTFOLIO MANAGER'S REVIEW
Conseco Capital Management's (CCM) portfolio strategy for the Conseco Series
Trust Government Securities Portfolio continued to have positive effects on
return. We kept an overweight position in U.S. Agency securities and other
spread sectors, including asset-backed securities, while maintaining
underweightings in Treasury bonds and mortgage-backed securities (MBS). CCM
increased our asset-backed security exposure to 13.1%.
During the second quarter, the Federal Reserve (the "Fed") continued their
tightening policy by forcing interest rates 50 basis points higher in May to
head-off an increase in inflation. Also, the Treasury curve remained inverted as
short maturities yielded more than long maturities. Sensing the Fed would leave
interest rates unchanged at the June meeting, investors took opportunity to buy
spread sectors, which subsequently rallied sharply.
Going forward, CCM plans on raising the portfolio's exposure to MBS and
corporate bonds in the two to four year average maturity ranges. We will
continue to invest in spread sectors on our belief that spreads will grind
tighter over the next two quarters. Tighter spreads coupled with our yield
advantage will lead the portfolio to out-perform its benchmark.
Gergory J. Hahn, CFA
Chief Investment Officer, Fixed Income
Senior Vice President
Conseco Capital Management, Inc.
30
<PAGE>
CONSECO SERIES TRUST
GOVERNMENT SECURITIES PORTFOLIO
Schedule of Investments
JUNE 30, 2000
(Unaudited)
================================================================================
SHARES OR
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------
CORPORATE BONDS (10.1%)
AIR TRANSPORTATION (1.2%)
150,000 Airborne Freight Corp., 8.875%, due 12/15/2002 ......... $ 153,562
----------
DEPOSITORY INSTITUTIONS (1.5%)
200,000 Dime Bancorp, Inc., 7.000%, due 07/25/2001 ............. 198,250
----------
ELECTRIC, GAS, WATER, COGENERATION, SANITARY SERVICES (0.8%)
100,000 NRG Northeast Generating LLC, 8.065%,
due 12/15/2004, (b) Cost - $100,000;
Acquired - 02/15/2000 .................................. 100,500
----------
FOOD AND KINDRED PRODUCTS (0.7%)
100,000 Nabisco, Inc., 6.000%, due 02/15/2011 .................. 98,625
----------
MEASURING INSTRUMENTS, PHOTO GOODS, WATCHES (1.1%)
150,000 Raytheon Co., 8.200%, due 03/01/2006,
(b) Cost - $150,767; Acquired - 03/16/2000 ............. 152,437
----------
PIPE LINE, EXCEPT NATURAL GAS (0.9%)
125,000 Osprey Trust/Osprey I, 8.310%, due 01/15/2003,
(b) Cost - $125,482; Acquired - 04/13/2000 ............. 125,469
----------
REAL ESTATE INVESTMENT TRUSTS (REITS) (1.7%)
225,000 Camden Property Trust, 6.750%, due 11/15/2001 .......... 221,063
----------
SECURITY AND COMMODITY BROKERS (1.2%)
150,000 Lehman Brothers Holdings, Inc., Series D, MTN,
9.000%, due 09/28/2001 ................................. 152,625
----------
TRANSPORTATION EQUIPMENT (1.0%)
125,000 Lockheed Martin Corp., 7.950%, due 12/01/2005 .......... 125,938
----------
TOTAL CORPORATE BONDS (COST $1,331,458) ................ 1,328,469
----------
MUNICIPAL BONDS (10.2%)
280,000 Alaska Industrial Development & Export Auth.,
6.625%, due 05/01/2006 ................................. 263,900
200,000 Azusa Pacific University California, Revenue, 7.250%,
due 04/01/2009 ......................................... 193,000
330,000 Cherokee County Georgia Water and Sewer Authority,
Revenue, 6.750%, due 08/01/2009 ........................ 313,088
300,000 Las Vegas, Nevada, 6.700%, due 07/01/2008 .............. 285,750
200,000 Pinellas County Florida Housing Finance Authority
Multifamily Mtg., Revenue, 6.750%, due 07/01/2011 ...... 188,250
100,000 Shreveport Lousiana Certificates of Indebtedness,
6.350%, due 10/01/2004 ................................. 96,375
----------
TOTAL MUNICIPAL BONDS (COST $1,408,179) ................ 1,340,363
----------
ASSET BACKED SECURITIES (13.1%)
45,202 Bear Stearns Commercial Mortgage Securites, Inc.,
99-C1 A1, 5.910%, due 05/14/2008 ....................... 42,824
300,000 Fingerhut Master Trust, 98-1 A, 6.070%, due 02/15/2005 . 297,414
80,399 Green Tree Recreational Equipment & Consumer Trust,
97-C B, 6.750%, due 02/15/2018, (c) Cost - $80,381;
Acquired - 09/08/1997 .................................. 77,375
73,028 IMC Home Equity Loan Trust, 96-1 A5, 6.290%,
due 12/25/2013 ......................................... 72,460
100,000 Metris Master Trust, 97-1 B, 7.110%, due 10/20/2005 .... 99,050
204,176 The Money Store Home Equity Trust, 93-C A3, 5.750%,
due 10/15/2022 ......................................... 199,698
180,000 The Money Store Home Equity Trust, 98-A AF5, 6.370%,
due 12/15/2023 ......................................... 176,801
90,000 Residential Funding Mortgage Securities I, 99-HI6 AI3,
7.340%, due 07/25/2012 ................................. 89,128
250,000 Residential Funding Mortgage Securities, 99-HI8 AI2,
7.030%, due 07/25/2010 ................................. 247,568
100,000 Residential Asset Securities Corporation, 98-KS3 AI3,
5.910%, due 08/25/2022 ................................. 97,361
The accompanying notes are an integral part of these financial statements.
31
<PAGE>
CONSECO SERIES TRUST
GOVERNMENT SECURITIES PORTFOLIO
Schedule of Investments
JUNE 30, 2000
(Unaudited)
================================================================================
SHARES OR
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------
325,000 Residential Asset Securities Corporation,
99-KS2 AI3, 6.600%, due 06/25/2020 ..................... $ 320,967
----------
TOTAL ASSET BACKED SECURITIES (COST $1,723,376) ........ 1,720,646
----------
COLLATERALIZED MORTGAGE OBLIGATIONS (4.1%)
123,696 Fanniemae Grantor Trust, 99-T2 A1, 7.500%,
due 01/19/2039 ......................................... 120,775
234,296 GE Capital Mortgage Services, Inc., 98-12 2A1, 6.600%,
due 06/25/2028 ......................................... 231,651
117,297 Housing Securities, Inc., 94-2 A1, 6.500%,
due 07/25/2009 ......................................... 113,574
51,425 Residential Funding Mortgage Securities I, 97-S5 A4,
7.625%, Due 04/25/2027 ................................. 51,249
22,294 Tiers Asset-Backed Securities, Series CHAMT Trust 97-7,
6.688%, due 11/15/2003 ................................. 22,294
----------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(COST $534,605) ....................................... 539,543
----------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (56.8%)
250,000 Federal Home Loan Bank, 6.020%, due 10/29/2003 ......... 241,973
100,000 Federal Home Loan Bank, 5.275%, due 11/20/2003 ......... 94,741
500,000 Federal Home Loan Bank, 7.080%, due 07/21/2006 ......... 488,294
85,894 Federal Home Loan Mortgage Corp., # D66012, 7.000%,
due 11/01/2025 ......................................... 83,075
148,045 Federal Home Loan Mortgage Corp., Multi Family Pool,
6.775%, due 11/01/2003 ................................. 146,189
591,164 Federal Home Loan Mortgage Corp., # C00910, 7.500%,
due 01/01/2030 ......................................... 583,774
544,716 Federal Home Loan Mortgage Corp., # C00984, 8.000%,
due 05/01/2030 ......................................... 548,121
387,505 Federal Home Loan Mortgage Corp., # C28063, 6.500%,
due 07/01/2029 ......................................... 366,071
195,122 Federal Home Loan Mortgage Corp., # C29168, 6.500%,
due 07/01/2029 ......................................... 184,329
64 Federal Home Loan Mortgage Corp., # C32176, 7.000%,
due 10/01/2029 ......................................... 62
44,922 Federal Home Loan Mortgage Corp., # E00441, 7.500%,
due 07/01/2011 ......................................... 44,852
250,000 Federal National Mortgage Assn., MTN, 6.430%,
due 02/06/2008 ......................................... 234,848
200,000 Federal National Mortgage Assn., MTN, 6.110%,
due 07/14/2003 ......................................... 194,575
500,000 Federal National Mortgage Assn., MTN, 6.200%,
due 04/01/2009 ......................................... 463,975
150,000 Federal National Mortgage Assn., 6.000%,
due 02/23/2009 ......................................... 137,703
650,000 Federal National Mortgage Assn., Series B, MTN, 6.040%,
due 02/25/2009 ......................................... 591,877
34,914 Federal National Mortgage Assn., # 174166, 8.000%,
due 06/01/2002 ......................................... 34,871
64,838 Federal National Mortgage Assn., # 190922, 7.500%,
due 07/01/2001 ......................................... 64,939
198,197 Federal National Mortgage Assn., # 253266, 8.000%,
due 04/01/2030 ......................................... 199,126
137,229 Federal National Mortgage Assn., # 275232, 5.500%,
due 03/01/2001 ......................................... 128,480
73,901 Federal National Mortgage Assn., # 303621, 6.000%,
due 12/01/2002 ......................................... 70,437
73,623 Federal National Mortgage Assn., # 303780, 7.000%,
due 03/01/2026 ......................................... 71,092
299,320 Government National Mortgage Assn., # 408675, 7.500%,
due 01/15/2026 ......................................... 297,355
1,369 Government National Mortgage Assn., # 044522, 13.000%,
due 03/15/2011 ......................................... 1,568
4,407 Government National Mortgage Assn., # 119896, 13.000%,
due 11/15/2014 ......................................... 5,049
625,000 U.S. Treasury Bond, 7.500%, due 11/15/2016 ............. 704,102
200,000 U.S. Treasury Bond, 8.000%, due 11/15/2021 ............. 241,438
100,000 U.S. Treasury Bond, 6.375%, due 08/15/2027 ............. 102,875
875,000 U.S. Treasury Bond, 5.250%, due 11/15/2028 ............. 774,649
375,000 U.S. Treasury Bond, 5.250%, due 02/15/2029 ............. 332,813
----------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(COST $7,605,584) ...................................... 7,433,253
----------
The accompanying notes are an integral part of these financial statements.
32
<PAGE>
CONSECO SERIES TRUST
GOVERNMENT SECURITIES PORTFOLIO
Schedule of Investments
JUNE 30, 2000
(Unaudited)
================================================================================
SHARES OR
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------
PREFERRED STOCKS (0.8%)
INSURANCE CARRIERS (0.8%)
4,000 Lincoln National Capital., 6.400%, TOPrS (a) ........ $ 98,000
TOTAL PREFERRED STOCKS (COST $100,000) .............. 98,000
-----------
TOTAL INVESTMENTS (COST $12,703,202) (95.1%) ........ 12,460,274
-----------
CASH, RECEIVABLES AND OTHER ASSETS,
NET OF LIABILITIES (4.9%) ........................... 638,088
-----------
NET ASSETS (100.0%) ................................. $13,098,362
-----------
----------------------------------------------------------------
(a) TOPrS - Trust Originated Preferred Securities.
(b) Restricted under Rule 144A of the Securities Act of 1933.
(c) Conseco Finance Corp. (formerly Green Tree Financial Corp.), a wholly owned
subsidiary of Conseco, Inc. effective June 30, 1998, is the seller to and
servicer for the Trust issuing the Certificates.
The accompanying notes are an integral part of these financial statements.
33
<PAGE>
CONSECO SERIES TRUST
MONEY MARKET PORTFOLIO
================================================================================
PORTFOLIO MANAGER'S REVIEW
During the second quarter of 2000, money market investors continued to
witness market volatility. The Federal Reserve (the "Fed") continued to pull
liquidity out of the system by buying back Treasury bonds and forcing interest
rates higher in an effort to slow the economy and head-off a spurt in inflation.
The Fed increased interest rates 50 basis points at their May meeting. The U.S.
Treasury curve remains inverted with short maturities yielding more than the
30-year bond. Spreads across all sectors widened to levels not seen since the
fall of 1998. Also, event risk, which is the risk that an issuer becomes
impaired or downgraded due to an acquisition, merger, stock buy-back or other
change to its balance sheet, has become a concern to bondholders again.
Toward the end of the second quarter, the fixed income market reached a
critical inflection point in regards to investor sentiment towards both Treasury
securities and spread product. Economic data, both in manufacturing and consumer
sectors, showed a definitive moderation in activity. As the market surmised the
Fed would move to the sideline, spread assets rallied sharply, leaving a
constructive landscape for the second half of the year.
The objectives of the money market portfolio have not changed. We attempt to
balance safety, liquidity and total return in managing a fully diversified
portfolio of money market securities. These objectives are met by investing in
high-quality municipal securities, top-tier commercial paper, and highly-rated
short-term corporate debt. We have also increased the yield in the portfolio by
taking advantage of opportunities provided by short, floating coupon
instruments.
Gregory J. Hahn, CFA
Chief Investment Officer, Fixed Income
Senior Vice President
Conseco Capital Management, Inc.
34
<PAGE>
CONSECO SERIES TRUST
MONEY MARKET PORTFOLIO
Schedule of Investments
JUNE 30, 2000
(Unaudited)
================================================================================
SHARES OR
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------
MUNICIPAL BONDS (19.3%)
2,000,000 Abilene, Texas Health Facilities Development,
Revenue, SAVR (b), 6.550%, due 09/22/2025 .............. $ 2,000,000
1,000,000 Boca Raton Community Hospital, 5.050%,
due 12/01/2028 (a) ..................................... 1,000,000
1,000,000 California Housing Finance Agency, Revenue,
5.200%, due 08/01/2029 (a) ............................. 1,000,000
550,000 Clinic Building Company, Inc., 6.700%,
due 12/01/2018 (a) ..................................... 550,000
985,000 Community Health Systems, Inc., 5.200%,
due 10/03/2003 (a) ..................................... 985,000
700,000 Community Health Systems, Inc., 5.200%,
due 10/03/2003 (a) ..................................... 700,000
2,500,000 Georgetown University DC, SAVR (b), 6.610%,
due 04/01/2029 ......................................... 2,500,000
1,150,000 Golden Oval Eggs, 6.250%, due 07/01/2015 (a) ........... 1,150,000
2,100,000 Volusia County Florida Individual Development Authority,
Revenue, SAVR (b), 6.990%, due 07/25/2000 .............. 2,100,000
500,000 Yellowood Acres, Inc., SAVR (b), 6.990%,
due 12/01/2028 ......................................... 500,000
-----------
TOTAL MUNICIPAL BONDS .................................. 12,485,000
-----------
CERTIFICATES OF DEPOSIT (8.5%)
DEPOSITORY INSTITUTIONS (8.5%)
2,750,000 Bank Of Nova Scotia, 6.650%, due 08/14/2000 ............ 2,750,000
2,750,000 Svenska Handelbanken, Inc., 6.605%, due 07/24/2000 ..... 2,750,021
-----------
TOTAL CERTIFICATES OF DEPOSIT .......................... 5,500,021
-----------
COMMERCIAL PAPER (76.0%)
AIR TRANSPORTATION (4.2%)
2,750,000 Kitty Hawk Funding Corp., 6.590%, due 09/08/2000 ....... 2,714,762
-----------
APPAREL AND ACCESORY STORES (3.9%)
2,500,000 Gap, Inc., 6.510%, due 07/17/2000 ...................... 2,492,315
-----------
ASSET BACKED SECURITIES (4.2%)
2,700,000 CC (USA), Inc., 6.600%, due 07/17/2000 ................. 2,691,585
-----------
CHEMICALS AND ALLIED PRODUCTS (4.1%)
2,700,000 Great Lakes Chemical Corp., 6.570%, due 09/06/2000...... 2,666,493
-----------
COMMUNICATIONS BY PHONE, TELEVISION, RADIO, CABLE (8.0%)
2,750,000 AT&T Corp., 6.570%, due 09/05/2000...................... 2,716,374
2,500,000 Bell Atlantic Network Funding Corp., 6.540%,
due 07/31/2000.......................................... 2,485,921
-----------
5,202,295
-----------
DEPOSITORY INSTITUTIONS (4.2%)
2,750,000 Montauk Funding Corp., 6.550%, due 07/14/2000 .......... 2,742,995
-----------
ELECTRIC, GAS, WATER, COGENERATION, SANITARY SERVICES (6.1%)
1,700,000 Allegheny Power System, 6.680%, due 09/07/2000 ......... 1,678,234
2,300,000 Pacific Gas and Electric Co., 6.620%, due 07/21/2000 ... 2,291,118
-----------
3,969,352
-----------
ELECTRICAL EQUIPMENT, EXCEPT COMPUTERS (4.1%)
2,700,000 Motorola, Inc., 6.570%, due 09/11/2000 ................. 2,664,029
-----------
The accompanying notes are an integral part of these financial statements.
35
<PAGE>
CONSECO SERIES TRUST
MONEY MARKET PORTFOLIO
Schedule of Investments
JUNE 30, 2000
(Unaudited)
================================================================================
SHARES OR
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------
FOOD AND KINDRED PRODUCTS (1.9%)
1,200,000 Coca Cola Co., 6.440%, due 07/14/2000 .............. $ 1,196,995
------------
NON-DEPOSITORY CREDIT INSTITUTIONS (4.1%)
2,700,000 Ford Motor Credit Co., 6.520%, due 08/31/2000 ...... 2,669,682
------------
PRINTING, PUBLISHING AND ALLIED PRODUCTS (11.4%)
2,500,000 Gannett Co., 6.500%, due 07/10/2000 ................ 2,495,486
2,500,000 New York Times Co., 6.450%, due 07/05/2000 ......... 2,497,760
2,400,000 Tribune Co., 6.600%, due 07/20/2000 ................ 2,391,200
------------
7,384,446
------------
SECURITY AND COMMODITY BROKERS (15.9%)
2,700,000 Goldman Sachs Group, L.P., 6.580%,
due 07/28/2000 ..................................... 2,686,182
2,200,000 Merrill Lynch & Company, Inc., 6.550%,
due 08/23/2000 ..................................... 2,178,385
2,750,000 Morgan Stanley Dean Witter & Co., Inc., 6.560%,
due 08/16/2000 ..................................... 2,726,448
2,700,000 Salomon Smith Barney Holdings, Inc., 6.510%,
due 07/19/2000 ..................................... 2,690,723
------------
10,281,738
------------
TRANSPORTATION EQUIPMENT (3.9%)
2,500,000 Daimler Chrysler AG, 6.530%, due 07/21/2000 ........ 2,490,477
------------
TOTAL COMMERCIAL PAPER ............................. 49,167,164
------------
SHORT-TERM INVESTMENTS (2.2%)
1,462,000 AIM Liquid Asset Portfolio ......................... 1,462,000
------------
TOTAL SHORT-TERM INVESTMENTS ....................... 1,462,000
TOTAL INVESTMENTS (106.0%) ......................... 68,614,185
CASH, RECEIVABLES AND OTHER ASSETS,
NET OF LIABILITIES (-6.0%) ....................... (3,900,707)
------------
NET ASSETS (100.0%) ................................ $ 64,713,478
------------
---------------------------------------------------------------
(a) Variable Coupon Rate.
(b) SAVR - Select Auction Variable Rate.
The accompanying notes are an integral part of these financial statements.
36
<PAGE>
CONSECO SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2000
(Unaudited)
================================================================================
(1) GENERAL
Conseco Series Trust (the "Trust") is an 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 is a "series" type of mutual fund which issues separate series of
shares, each of which currently represents a separate portfolio of investments.
The Trust consists of seven series ("Portfolios") each with its own investment
objective and investment policies. The Portfolios are the Conseco 20 Focus,
Equity, Balanced, High Yield, Fixed Income, Government Securities and Money
Market. 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 and Bankers
National Life Insurance Company, offer shares of the Trust to their contract
owners. Additionally, shares are offered to unaffiliated insurance companies to
fund the benefits under variable annuity and variable life contracts.
(2) SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
SECURITY VALUATION, TRANSACTIONS, AND RELATED INVESTMENT INCOME
The investments in each portfolio are valued at the close of regular trading
on the New York Stock Exchange on each business day. Investment transactions are
accounted for on the trade date (the date the order to buy or sell is executed).
Dividend income is recorded on the ex-dividend date and interest income is
accrued daily. The cost of investments sold is determined on the specific
identification basis. The following summarizes the investments which carry
certain restrictions as to resale from the Trust to certain qualified buyers:
Portfolio Cost Market Value % of Investments
----------------------- ---------- ------------ ----------------
Balanced -
preferred stock $2,469,950 $2,857,000 4.14%
Balanced -
bonds 4,020,425 3,816,813 5.53%
Fixed Income -
preferred stock 358,256 348,250 1.09%
Fixed Income -
bonds 5,633,250 5,442,204 17.04%
Government Securities-
bonds 376,249 378,406 3.04%
These securities are eligible for resale to qualified institutional buyers in
transactions exempt from registration under Rule 144A of the Securities Act of
1933.
The Board of Trustees (the "Trustees") determined that the Money Market
Portfolio will value investments at amortized cost, which is conditioned on the
Trust's compliance with certain provisions 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 that are traded on stock exchanges are valued at closing market
prices on the day the securities are being valued, or lacking any sales, at the
mean between the closing bid and asked prices. Securities traded in the
over-the-counter market are valued by third party pricing services. Portfolio
securities which are traded both in the over-the-counter market and on a stock
exchange are valued according to the broadest and most representative market,
and it is expected that for debt securities this ordinarily will be the
over-the-counter market. Securities and assets for which market quotations are
not readily available are valued at fair value as determined in good faith by or
under the direction of the Trustees of the Trust. Debt securities with
maturities of sixty (60) days or less are valued at amortized cost.
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 distribute substantially all
taxable income and net capital gains to shareholders, and otherwise comply with
the requirements for regulated investment companies. 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 Government
Securities, Fixed Income, and High Yield Portfolios, on a quarterly basis in the
Balanced Portfolio and on an annual basis in the Equity and Conseco 20 Focus
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, thereafter on an annual basis as a component of net realized gains
(losses).
Dividends to shareholders from net investment income are determined in
accordance with income tax regulations which may differ from generally accepted
accounting principles. Permanent book and tax differences relating to dividends
to shareholders may result in reclassifications to paid-in capital and may
effect per-share allocation between net investment income and realized and
unrealized gain (loss). Any taxable income or gain of the Trust remaining at
fiscal year end will be declared and distributed in the following year to the
shareholders of the Portfolio or Portfolios to which such gains are
attributable.
INCOME EQUALIZATION
Prior to June 30, 1999 the Equity, Balanced, Government Securities and Fixed
Income Portfolios 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 June 30, 1999, the Trust has elected to
discontinue accruing 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 increases and decreases in net assets from operations
during the reporting period. Actual results may differ from these estimates.
37
<PAGE>
CONSECO SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2000
(Unaudited)
================================================================================
(3) TRANSACTIONS WITH AFFILIATES
INVESTMENT ADVISORY AGREEMENT
Conseco Capital Management, Inc. (the "Adviser") provides investment advice
and, in general, supervises the Trust's management and investment program,
furnishes office space, prepares portfolio reports for the Trust, monitors
portfolio compliance by the Trust in its investment activities and pays
compensation of officers and Trustees of the Trust who are affiliated persons of
the Adviser. The Trust pays all other expenses incurred in the operation of the
Trust, including fees and expenses of unaffiliated Trustees of the Trust.
The Adviser is a wholly-owned subsidiary of Conseco, Inc. ("Conseco"), a
publicly-held specialized financial services holding company listed on the New
York Stock Exchange. Under the investment advisory agreement, the Adviser
receives an investment advisory fee based on the daily net asset value at an
annual rate of 0.70 percent for the Conseco 20 Focus and High Yield Portfolios,
0.65 percent for the Equity and Balanced Portfolios, and 0.50 percent for the
Fixed Income, Government Securities, and Money Market Portfolios. The Adviser
has voluntarily reduced its advisory fee to 0.25 percent of the average daily
net assets of the Money Market Portfolio. Prior to April 30, 2000, the Adviser
had voluntarily reduced its advisory fee to 0.80 percent and 0.75 percent of the
average daily net assets of the Equity and Balanced Portfolios, respectively.
The total fees incurred for such services were $1,557,843 for the six months
ended June 30, 2000.
The Adviser has contractually agreed to waive its investment advisory fee
and/or reimburse the Portfolios through April 30, 2001 to the extent that the
ratio of expenses to net assets on an annual basis exceed the following:
Portfolio
----------------------
Conseco 20 Focus 0.90%
Equity 0.85%
Balanced 0.85%
High Yield 0.90%
Fixed Income 0.70%
Government Securities 0.70%
Money Market 0.45%
ADMINISTRATIVE AGREEMENT
Conseco Services, LLC, (the "Administrator") a wholly owned subsidiary of
Conseco, supervises the preparation and filing of regulatory documents required
for compliance by the portfolios with applicable laws and regulations, provides
portfolio accounting services, supervises the maintenance of books and records
of the portfolios and provides other general and administrative services. For
providing these services, the Administrator receives an annual fee equal to 0.10
percent of the first $100 million of average daily net assets; 0.08 percent of
the next $100 million of average daily net assets; and 0.06 percent of average
daily net assets in excess of $200 million. The total fees incurred under this
Agreement for the six months ended June 30, 2000 were $216,620.
38
<PAGE>
CONSECO SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2000
(Unaudited)
================================================================================
(4) INVESTMENT TRANSACTIONS
The compostion of gross unrealized appreciation and depreciation of
investments at June 30, 2000, are shown below:
<TABLE>
<CAPTION>
CONSECO FIXED GOVERNMENT
20 FOCUS EQUITY BALANCED INCOME SECURITIES
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
===================================================================================================================================
<S> <C> <C> <C> <C> <C>
Gross unrealized appreciation............................... $44,173 $36,772,466 $4,708,764 $ 201,605 $ 74,080
Gross unrealized depreciation............................... (26,301) (19,858,741) (3,237,775) (871,174) (317,008)
-----------------------------------------------------------------------------------------------------------------------------------
Net unrealized appreciation (depreciation).................. $17,872 $16,913,725 $1,470,989 $(669,569) $(242,928)
===================================================================================================================================
</TABLE>
The aggregate cost of purchases and the aggregate proceeds from sales of
investments for the six months or period ended June 30, 2000, are shown below:
<TABLE>
<CAPTION>
CONSECO FIXED GOVERNMENT
20 FOCUS EQUITY BALANCED INCOME SECURITIES
PORTFOLIO(a) PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
===================================================================================================================================
<S> <C> <C> <C> <C> <C>
Purchases:
Investments, excluding U.S. government
securities and short-term investments.................. $662,995 $722,057,047 $109,292,970 $31,370,197 $2,163,321
U.S. government securities............................... -- -- 17,289,487 15,976,921 2,968,000
Sales:
Investments, excluding U.S. government
securities and short-term investments.................. $113,146 $722,857,633 $105,899,834 $29,128,512 $2,034,959
U.S. government securities............................... -- -- 14,699,916 15,828,506 3,577,845
===================================================================================================================================
</TABLE>
(a) Period from May 4, 2000 (commencement of operations) through June 30, 2000.
(5) FEDERAL INCOME TAX INFORMATION
As of June 30, 2000, the following funds have capital loss carryovers
available from December 31, 1999, to offset capital gains in the future, if any:
<TABLE>
<CAPTION>
AMOUNT EXPIRES
===================================================================================================================================
<S> <C> <C>
Fixed Income Portfolio.......................................................$ 38,146 2002
Fixed Income Portfolio....................................................... 5,075 2004
Fixed Income Portfolio....................................................... 585,029 2007
Government Securities Portfolio ............................................. 232,368 2002
Government Securities Portfolio.............................................. 248,559 2007
===================================================================================================================================
</TABLE>
39
<PAGE>
CONSECO SERIES TRUST
FINANCIAL HIGHLIGHTS
================================================================================
CONSECO 20
FOCUS PORTFOLIO
---------------
MAY 4, 2000 (e)
THROUGH
JUNE 30, 2000
(UNAUDITED)
================================================================================
Net asset value per share, beginning of period.............. $ 10.00
Income from investment operations:
Net investment income ................................. 0.01
Net realized and unrealized gains on investments....... 1.63
--------------------------------------------------------------------------------
Total income from investment operations............ 1.64
--------------------------------------------------------------------------------
Distributions:
Dividends from net investment income................... --
Distribution of net capital gains...................... --
Return of capital...................................... --
--------------------------------------------------------------------------------
Total distributions................................ --
--------------------------------------------------------------------------------
Net asset value per share, end of period.................... $ 11.64
--------------------------------------------------------------------------------
Total return (a) (b)........................................ 16.41%
Ratios/supplemental data:
Net assets (dollars in thousands), end of period ........ $ 686
Ratio of expenses to average net assets (b) (c).......... 0.93%
Ratio of total expenses to average net assets (b) (c).... 1.04%
Ratio of net investment income to average net assets (c). 1.51%
Portfolio turnover rate (d).............................. 39.63%
------------------------------------------------------------
(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 April 30, 2001 to the extent that the ratio of total
expenses to average net assets exceeds, on an annual basis, 0.90 percent.
(c) Annualized for periods of less than one year.
(d) Not Annualized for periods of less than one year.
(e) Commencement of operations.
40
<PAGE>
CONSECO SERIES TRUST
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
===================================================================================================================================
EQUITY PORTFOLIO
==================================================================================
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
JUNE 30, 2000 DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
(UNAUDITED) 1999 1998 1997 1996 1995
===================================================================================================================================
<S> <C> <C> <C> <C> <C> <C>
Net asset value per share,
beginning of period... ..................... $ 23.18 $ 21.59 $ 20.16 $ 21.85 $ 18.84 $ 16.54
Income from investment operations:
Net investment income (loss)............. (0.01) -- 0.11 0.06 0.01 0.34
Net realized and unrealized gains
on investments......................... 4.00 10.63 3.09 4.06 8.17 5.68
-----------------------------------------------------------------------------------------------------------------------------------
Total income from
investment operations ............. 3.99 10.63 3.20 4.12 8.18 6.02
-----------------------------------------------------------------------------------------------------------------------------------
Distributions:.............................
Dividends from net investment income..... -- -- (0.27) (4.23) (4.21) (2.81)
Distribution of net capital gains........ (0.02) (9.04) (0.48) (1.58) (0.96) (0.91)
Return of capital........................ -- -- (1.02) -- -- --
-----------------------------------------------------------------------------------------------------------------------------------
Total distributions.................. (0.02) (9.04) (1.77) (5.81) (5.17) (3.72)
-----------------------------------------------------------------------------------------------------------------------------------
Net asset value per share, end of period...... $ 27.15 $ 23.18 $ 21.59 $ 20.16 $ 21.85 $ 18.84
===================================================================================================================================
Total return (a) (b).......................... 17.20% 50.28% 15.62% 18.68% 44.99% 36.30%
Ratios/supplemental data:
Net assets (dollars in thousands),
end of period ........................... $ 350,921 $ 300,437 $ 235,001 $ 216,986 $ 171,332 $ 109,636
Ratio of expenses to
average net assets (b) (c) .............. 0.74% 0.77% 0.80% 0.80% 0.80% 0.80%
Ratio of total expenses to
average net assets (b) (c) .............. 0.79% 0.82% 0.80% 0.80% 0.81% 0.80%
Ratio of net investment income to
average net assets (c) .................. (0.08)% (0.10)% 0.55% 0.28% 0.06% 1.80%
Portfolio turnover rate (d)................ 216.96% 364.53% 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 April 30, 2001 to the extent that the ratio of total
expenses to average net assets exceeds, on an annual basis, 0.85 percent.
Prior to April 30, 2000, the expenses were contractually waived to the
extent that the ratio of total expenses to average net assets exceeded, on
an annual basis, 0.80 percent.
(c) Annualized for periods of less than one year.
(d) Not Annualized for periods of less than one year.
41
<PAGE>
CONSECO SERIES TRUST
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
===================================================================================================================================
BALANCED PORTFOLIO
==================================================================================
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
JUNE 30, 2000 DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
(UNAUDITED) 1999 1998 1997 1996 1995
===================================================================================================================================
<S> <C> <C> <C> <C> <C> <C>
Net asset value per share,
beginning of period......................... $ 14.65 $ 13.67 $ 13.32 $ 13.47 $ 12.39 $ 11.04
Income from investment operations:
Net investment income ................... 0.21 0.42 0.43 0.44 0.42 0.51
Net realized and unrealized gains
on investments......................... 1.81 3.72 0.96 2.12 2.77 2.97
-----------------------------------------------------------------------------------------------------------------------------------
Total income from
investment operations ............. 2.02 4.14 1.39 2.56 3.19 3.48
-----------------------------------------------------------------------------------------------------------------------------------
Distributions:.............................
Dividends from net investment income..... (0.21) (0.42) (0.43) (2.20) (2.07) (1.83)
Distribution of net capital gains........ (0.02) (2.74) -- (0.51) (0.04) (0.30)
Return of capital........................ -- -- (0.61) -- -- --
-----------------------------------------------------------------------------------------------------------------------------------
Total distributions.................. (0.23) (3.16) (1.04) (2.71) (2.11) (2.13)
-----------------------------------------------------------------------------------------------------------------------------------
Net asset value per share, end of period...... $ 16.44 $ 14.65 $ 13.67 $ 13.32 $ 13.47 $ 12.39
===================================================================================================================================
Total return (a) (b).......................... 13.67% 30.83% 10.37% 17.85% 28.30% 31.49%
Ratios/supplemental data:
Net assets (dollars in thousands),
end of period ........................... $ 64,748 $ 51,941 $ 45,904 $ 27,922 $ 16,732 $ 9,583
Ratio of expenses to average
net assets (b)(c) ....................... 0.71% 0.73% 0.75% 0.75% 0.75% 0.75%
Ratio of total expenses to
average net assets (b)(c) ............... 0.81% 0.83% 0.84% 0.84% 0.95% 0.87%
Ratio of net investment income to
average net assets (c) .................. 2.60% 2.89% 3.25% 3.14% 3.15% 4.11%
Portfolio turnover rate(d)................. 206.17% 343.43% 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 April 30, 2001 to the extent that the ratio of total
expenses to average net assets exceeds, on an annual basis, 0.85 percent.
Prior to April 30, 2000, the expenses were contractually waived to the
extent that the ratio of total expenses to average net assets exceeded, on
an annual basis, 0.75 percent.
(c) Annualized for periods of less than one year.
(d) Not Annualized for periods of less than one year.
42
<PAGE>
CONSECO SERIES TRUST
FINANCIAL HIGHLIGHTS
================================================================================
HIGH YIELD PORTFOLIO
====================
JUNE 13, 2000 (e)
THROUGH
JUNE 30, 2000
(UNAUDITED)
================================================================================
Net asset value per share, beginning of period.............. $ 10.00
Income from investment operations:
Net investment income ................................. 0.02
Net realized and unrealized gains on investments....... --
--------------------------------------------------------------------------------
Total income from investment operations............ 0.02
--------------------------------------------------------------------------------
Distributions:...........................................
Dividends from net investment income................... --
Distribution of net capital gains...................... --
Return of capital...................................... --
--------------------------------------------------------------------------------
Total distributions................................ --
--------------------------------------------------------------------------------
Net asset value per share, end of period.................... $ 10.02
================================================================================
Total return (a) (b)........................................ 0.24%
Ratios/supplemental data:
Net assets (dollars in thousands), end of period ........ $ 47
Ratio of expenses to average net assets (b) (c).......... 0.79%
Ratio of total expenses to average net assets (b) (c).... 1.58%
Ratio of net investment income to average net assets (c). 4.75%
Portfolio turnover rate (d).............................. N/A
------------------------------------------------------------------
(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 April 30, 2001 to the extent that the ratio of total
expenses to average net assets exceeds, on an annual basis, 0.90 percent.
(c) Annualized for periods of less than one year.
(d) Not Annualized for periods of less than one year.
(e) Commencement of operations.
43
<PAGE>
CONSECO SERIES TRUST
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
===================================================================================================================================
FIXED INCOME PORTFOLIO
==================================================================================
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
JUNE 30, 2000 DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
(UNAUDITED) 1999 1998 1997 1996 1995
===================================================================================================================================
<S> <C> <C> <C> <C> <C> <C>
Net asset value per share,
beginning of period......................... $ 9.39 $ 10.05 $ 10.14 $ 9.97 $ 10.15 $ 9.45
Income from investment operations:
Net investment income ................... 0.32 0.62 0.64 0.65 0.66 0.68
Net realized and unrealized gains (losses)
on investments......................... (0.04) (0.66) (0.03) 0.31 (0.18) 0.99
-----------------------------------------------------------------------------------------------------------------------------------
Total income (loss) from
investment operations ............... 0.28 (0.04) 0.61 0.96 0.48 1.67
-----------------------------------------------------------------------------------------------------------------------------------
Distributions:.............................
Dividends from net investment income..... (0.32) (0.62) (0.64) (0.79) (0.66) (0.97)
Distribution of net capital gains........ -- -- -- -- -- --
Return of capital........................ -- -- (0.06) -- -- --
-----------------------------------------------------------------------------------------------------------------------------------
Total distributions.................... (0.32) (0.62) (0.70) (0.79) (0.66) (0.97)
-----------------------------------------------------------------------------------------------------------------------------------
Net asset value per share, end of period...... $ 9.35 $ 9.39 $ 10.05 $ 10.14 $ 9.97 $ 10.15
===================================================================================================================================
Total return (a) (b).......................... 3.17% (0.44)% 6.17% 9.97% 4.97% 18.25%
Ratios/supplemental data:
Net assets (dollars in thousands),
end of period ........................... $ 32,813 $ 28,899 $ 23,985 $ 21,277 $ 17,463 $ 16,046
Ratio of expenses to average
net assets (b) (c) ...................... 0.67% 0.67% 0.70% 0.70% 0.70% 0.70%
Ratio of total expenses to
average net assets (b) (c) .............. 0.67% 0.67% 0.80% 0.77% 0.77% 0.74%
Ratio of net investment income to
average net assets (c) .................. 6.90% 6.46% 6.24% 6.50% 6.65% 6.78%
Portfolio turnover rate (d)................ 149.14% 337.26% 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 April 30, 2001 to the extent that the ratio of total
expenses to average net assets exceeds, on an annual basis, 0.70 percent.
(c) Annualized for periods of less than one year.
(d) Not Annualized for periods of less than one year.
44
<PAGE>
CONSECO SERIES TRUST
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
===================================================================================================================================
GOVERNMENT SECURITIES PORTFOLIO
==================================================================================
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
JUNE 30, 2000 DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
(UNAUDITED) 1999 1998 1997 1996 1995
===================================================================================================================================
<S> <C> <C> <C> <C> <C> <C>
Net asset value per share,
beginning of period ........................ $ 10.96 $ 12.15 $ 12.04 $ 11.94 $ 12.38 $ 11.09
Income from investment operations:
Net investment income.................... 0.34 0.64 0.69 0.73 0.72 0.75
Net realized and unrealized gains (losses)
on investments......................... 0.11 (1.19) 0.14 0.23 (0.41) 1.12
-----------------------------------------------------------------------------------------------------------------------------------
Total income (loss) from
investment operations ............... 0.45 (0.55) 0.83 0.96 0.31 1.87
-----------------------------------------------------------------------------------------------------------------------------------
Distributions:.............................
Dividends from net investment income..... (0.34) (0.64) (0.72) (0.86) (0.71) (0.58)
Distribution of net capital gains........ -- -- -- -- (0.04) --
Return of capital........................ -- -- -- -- -- --
-----------------------------------------------------------------------------------------------------------------------------------
Total distributions.................... (0.34) (0.64) (0.72) (0.86) (0.75) (0.58)
-----------------------------------------------------------------------------------------------------------------------------------
Net asset value per share, end of period...... $ 11.07 $ 10.96 $ 12.15 $ 12.04 $ 11.94 $ 12.38
-----------------------------------------------------------------------------------------------------------------------------------
Total return (a) (b).......................... 4.17% (2.48)% 7.07% 8.26% 2.75% 17.35%
Ratios/supplemental data:
Net assets (dollars in thousands),
end of period ........................... $ 13,098 $ 13,104 $ 7,907 $ 4,270 $ 4,024 $ 4,613
Ratio of expenses to average
net assets (b) (c) ...................... 0.67% 0.66% 0.70% 0.70% 0.70% 0.70%
Ratio of total expenses to
average net assets (b) (c) .............. 0.67% 0.66% 0.96% 0.92% 0.91% 0.78%
Ratio of net investment income to
average net assets (c) .................. 5.94% 5.61% 5.63% 6.05% 6.02% 6.27%
Portfolio turnover rate (d)................ 39.16% 168.69% 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 April 30, 2001 to the extent that the ratio of total
expenses to average net assets exceeds, on an annual basis, 0.70 percent.
(c) Annualized for periods of less than one year.
(d) Not Annualized for periods of less than one year.
45
<PAGE>
CONSECO SERIES TRUST
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
===================================================================================================================================
MONEY MARKET PORTFOLIO
==================================================================================
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
JUNE 30, 2000 DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
(UNAUDITED) 1999 1998 1997 1996 1995
===================================================================================================================================
<S> <C> <C> <C> <C> <C> <C>
Net asset value per share,
beginning of period ........................ $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
Income from investment operations:
Net investment income.................... 0.03 0.05 0.05 0.05 0.05 0.06
Net realized and unrealized gains
on investments......................... -- -- -- -- -- --
-----------------------------------------------------------------------------------------------------------------------------------
Total income from
investment operations ............... 0.03 0.05 0.05 0.05 0.05 0.06
-----------------------------------------------------------------------------------------------------------------------------------
Distributions:................................
Dividends from net investment income....... (0.03) (0.05) (0.05) (0.05) (0.05) (0.06)
Distribution of net capital gains.......... -- -- -- -- -- --
Return of capital.......................... -- -- -- -- -- --
-----------------------------------------------------------------------------------------------------------------------------------
Total distributions.................... (0.03) (0.05) (0.05) (0.05) (0.05) (0.06)
-----------------------------------------------------------------------------------------------------------------------------------
Net asset value per share, end of period...... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
===================================================================================================================================
Total return (a) (b).......................... 2.90% 4.87% 5.21% 5.25% 5.13% 5.46%
Ratios/supplemental data:
Net assets (dollars in thousands),
end of period ........................... $ 64,713 $ 85,692 $ 21,218 $ 8,603 $ 6,985 $ 5,396
Ratio of expenses to average
net assets (b) (c) ...................... 0.40% 0.40% 0.45% 0.45% 0.45% 0.45%
Ratio of total expenses to
average net assets (b) (c) .............. 0.65% 0.65% 0.54% 0.53% 0.59% 0.52%
Ratio of net investment income to
average net assets (c) .................. 5.73% 4.93% 5.08% 5.14% 5.03% 5.46%
Portfolio turnover rate (d)................... N/A 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 April 30, 2001 to the extent that the ratio of total
expenses to average net assets exceeds, on an annual basis, 0.45 percent.
(c) Annualized for periods of less than one year.
(d) Not Annualized for periods of less than one year.
46
<PAGE>
CONSECO SERIES TRUST
SEMI-ANNUAL REPORT
JUNE 30, 2000
================================================================================
CONSECO SERIES TRUST
BOARD OF TRUSTEES
WILLIAM P. DAVES, JR.
Chairman of the Board
Consultant to the insurance
and healthcare industries
Chairman and CEO, FFG Insurance Co.
MAXWELL E. BUBLITZ, CFA
President
President, CEO and Director
Conseco Capital Management, Inc.
Senior VP, Conseco, Inc.
HAROLD W. HARTLEY, CFA
Director, Ennis Business Forms, Inc.
Former Executive VP, Tenneco
Financial Services, Inc.
DR. R. JAN LECROY
Director, Southwest Securities Group, Inc.
Former President, Dallas Citizens Council
DR. JESS H. PARRISH
Higher education consultant
Former 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.
47
<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) 06104
(C) 1999 Conseco Series Trust
www.conseco.com
INSURANCE INVESTMENTS LENDING
--------------------------------------------------------------------------------
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CONSECO(R)
Step up.(SM)
