<PAGE>
GREAT AMERICAN RESERVE INSURANCE COMPANY
A CCP Insurance Company
Great American Reserve Variable Annuity
Account C
Conseco Series Trust
June 30, 1995
SEMIANNUAL REPORT TO CONTRACT OWNERS
<PAGE>
SEMIANNUAL REPORT TO CONTRACT OWNERS
June 30, 1995
<TABLE>
<CAPTION>
TABLE OF CONTENTS
PAGE
<S> <C>
CONSECO CAPITAL MANAGEMENT, INC.
Report from the President ................................................. 2
Report from the Asset Allocation Portfolio Adviser ........................ 3
Report from the Common Stock Portfolio Adviser ............................ 4
Report from the Corporate Bond Portfolio Adviser .......................... 5
Report from the Government Securities Portfolio Adviser ................... 6
Report from the Money Market Portfolio Adviser ............................ 6
GREAT AMERICAN RESERVE VARIABLE ANNUITY ACCOUNT C
Statement of Assets and Liabilities as of June 30, 1995 ................... 7
Statement of Operations for the Six Months Ended
June 30, 1995 and the Year Ended December 31, 1994 ...................... 8
Statement of Changes in Net Assets for the Six Months
Ended June 30, 1995 and the Year Ended December 31, 1994 ............... 8
Notes to Financial Statements ............................................. 9
CONSECO SERIES TRUST
Statement of Assets and Liabilities as of June 30, 1995 ................... 12
Statement of Operations for the Six Months Ended June 30, 1995 ............ 13
Statement of Changes in Net Assets for the Six Months
Ended June 30, 1995 and the Year Ended December 31, 1994 ................ 14
Statements of Investments in Securities as of June 30, 1995:
Asset Allocation Portfolio .............................................. 16
Common Stock Portfolio .................................................. 19
Corporate Bond Portfolio ................................................ 21
Government Securities Portfolio ......................................... 23
Money Market Portfolio .................................................. 24
Notes to Financial Statements ............................................. 25
</TABLE>
<PAGE>
CONSECO CAPITAL MANAGEMENT, INC.
REPORT FROM THE PRESIDENT
Dear Contract Owner:
I am pleased to report the performance of the Conseco Series Trust
portfolios for the Great American Reserve Insurance Company Variable Annuity
Account C for the first six months of 1995. Performance for all portfolios,
measured by the percentage change in unit values for the period, net of all
mortality and expense charges, for the six months ended June 30, 1995 was as
follows:
<TABLE>
<CAPTION>
MORNINGSTAR
SIX MONTHS SIX MONTHS
ENDED ENDED
JUNE 30, JUNE 30,
PORTFOLIO 1995 1995 (1)
- --------- ---- --------
<S> <C> <C>
Asset Allocation ......................... 14.96% 12.36%
Common Stock ............................. 15.36% 18.27%
Corporate Bond ........................... 11.46% 10.19%
Government Securities .................... 10.65% 9.77%
Money Market ............................. 2.33% 2.19%
<FN>
(1) Average Accumulation Unit Value Total Return for each respective peer group
from Morningstar Variable Annuity/Life Performance Report through 6/30/95.
</FN>
</TABLE>
Unlike 1994, the first half of 1995 has provided substantial positive
returns for financial assets. The stock market, measured by the Standard &
Poor's 500 and Russell 1000, increased 20.2% and 19.8% respectively through the
first half of the year. Likewise, the bond market, measured by the Lehman
Brothers Aggregate Index, increased 11.4% over the same period.
Due in large part to the Federal Reserve's aggressive tightening throughout
1994, the domestic economy appears to have slowed considerably. The recent
declines in the leading economic indicators and the purchasing managers
production index reinforce this notion. However, the economy clearly has some
life to it as witnessed by strong corporate profitability and a high level of
consumer confidence. Much of the support for the rally in both markets has
resulted from an improving outlook for inflation.
Conseco Capital Management's investment philosophy, which is driven by a
quest to find value in every individual investment we make in every portfolio,
has proven successful over this market cycle. Given our discipline of
independent fundamental research, our portfolios are structured to weather the
increased volatility which currently exists.
Sincerely,
/s/ MAXWELL E. BUBLITZ
- -----------------------
Maxwell E. Bublitz
President
<PAGE>
REPORT FROM THE ASSET ALLOCATION PORTFOLIO ADVISERS
The Conseco Series Trust Asset Allocation portfolio employs a strategy in
which a mix of fixed income and equity securities are used to produce a high
total return without the volatility typically associated with an equity fund.
The fixed income portion emphasizes securities which earn a high level of income
while the equity portion of the portfolio is managed similarly to the Common
Stock portfolio.
The first six months of 1995 provided excellent returns in both the fixed
income and equity markets. Through this period, the portfolio was generally
weighted 60% towards equity securities and 40% towards fixed income. With regard
to the fixed income portion of the portfolio, we generally have been investing
in lower quality, higher yielding securities such as Union Texas Petroleum
Holdings 8.50% of 04/15/07, GNS Finance Corp 9.25% of 03/15/03, and Delta
Airlines 1988 ETC-B 10.05% due 06/16/05. This provides a solid level of income
to the portfolio with some incremental return potential through the specific
security selection.
The strategic focus of our equity investment process has been and continues
to be a bottom-up research intensive approach. This approach has led us to
identify opportunities in a number of varied market sectors. During the quarter,
we held large positions in companies as diverse as IMC Global, IBM, Philip
Morris, Nokia and Franklin Resources. We continue to believe these names have
unrecognized value.
Going forward, we will continue to look for equity opportunities to build
positions in companies which can have good long term, secular growth prospects
and significant exposure to global markets. Presently, we believe that many
promising opportunities exist in the technology, energy, and basic industries
sectors of the market. This strategy must be executed within the context of the
current market. Since many of the indices are at lofty levels, we will continue
to execute our strategy of slightly increasing our cash position. Whatever the
landscape of the market, we will continue our process of bottom-up and
proprietary approach, which we believe will identify the best opportunities
regardless of market conditions.
/s/ GREGORY J. HAHN /s/ THOMAS J. PENCE
- -------------------------- ------------------------------
Gregory J. Hahn, CFA Thomas J. Pence
Senior Vice President Second Vice President
Portfolio Manager Portfolio Manager
<PAGE>
REPORT FROM THE COMMON STOCK PORTFOLIO ADVISER
During the first half of 1995, technology assumed its rightful place as the
leader of the latest bull market advance. After a year of investor
indecisiveness in the face of a tightening Federal Reserve Board (the "Fed")
policy, the market decided to shrug off concerns about emerging markets,
interest rates and inflation and focus upon core earnings growth in the U.S. The
dollar also played a part, making U.S. assets and earnings cheaper to the
foreign investor. This fact contributed toward the first quarter gains as blue
chips and index futures were the recipients of foreign capital seeking
recognizable and liquid investments.
Over the period, the Standard & Poor's 500 returned 20.25% with the
strongest gains in technology, financials and airlines. Some of the worst
performers over the period included cyclicals, healthcare and interest rate
sensitives.
Our focus over the period was to carefully monitor valuation levels and to
establish larger positions in our best investment opportunities rather than get
caught up in the euphoria of a rising market. As such, our total number of
holdings dropped from 73 to 57. We continued to maintain an above average
exposure to the Technology sector with companies such as Nokia Corp., Cisco
Systems, Network General and Cypress Semiconductor. We also significantly
increased our exposure to financials with the addition of names such as First
Union, General Re Corporation, Franklin Resources, Chubb and First USA.
Going forward, we do not think we are alone in assuming that the market is
in for a breather. However, our objective will be to protect the gains achieved
in the first half of the year by investing in counter-cyclical names that should
benefit from the Fed's recent action to establish the ceiling on rate increases.
We believe that in the event that the Fed follows through with another rate
reduction, cyclicals look to be a low risk investment at current levels.
Additionally, we expect the market to resume its rotational characteristics
exhibited through much of 1994. Our objective will be to stay focused on the
long term and let short term fluctuations work in our favor in the form of
buying opportunities.
/s/ THOMAS J. PENCE
- --------------------------
Thomas J. Pence
Second Vice President
Portfolio Manager
<PAGE>
REPORT FROM THE CORPORATE BOND PORTFOLIO ADVISER
Conseco Capital Management adds incremental return to the Corporate Bond
portfolio through purchasing securities which we consider undervalued and
selling securities which we consider overvalued. Thus, we do not make
significant bets on the change in the level of interest rates in the course of
managing the portfolio. Through the first half of 1995, we have managed the
Corporate Bond portfolio to a duration which is consistent with the overall
fixed income market (measured by the Lehman Brothers Aggregate Index).
As corporate spreads have generally narrowed over the period, we have moved
to increase the overall quality of the portfolio. This has been accomplished
primarily through swapping corporate bonds into U.S. Agency debt. With the well
publicized bankruptcy of Orange County, California, brokerage debt cheapened
considerably early in the first quarter. Yet, through the first half of the
year, brokerage debt has been one of the better performing sectors. Also, with
the return to profitability in the airline sector, the debt of airline
companies, such as Delta Airlines (Baa3/BB+), has performed well. In addition,
there has been a significant increase in merger activity in the bank sector. We
continue to favor superregional banks over the money center banks and, in spite
of the merger activity, bank debt has performed well.
Although mortgage-backed securities posted respectable returns through the
first half of the year, the sector underperformed others as market volatility
increased and spreads widened.
Looking ahead, we will continue to try to swap up in quality if corporate
spreads remain tight. Also, we will focus on those securities which, because of
the underlying credit fundamentals, structure, or technical characteristics
surrounding the security, have better potential to outperform the general
market.
/s/ GREGORY J. HAHN
- ------------------------------
Gregory J. Hahn, CFA
Senior Vice President
Portfolio Manager
<PAGE>
REPORT FROM THE GOVERNMENT SECURITIES PORTFOLIO ADVISER
The bond market reversed course in early 1995. After falling in price for
the final two quarters of 1994, the U.S. Treasury market rallied in the first
quarter of 1995 before accelerating to a breakneck pace during the second
quarter. The 30 year U.S. Treasury bond began 1995 yielding 7.88% and finished
at 6.62%. The short end of the Treasury yield curve performed even better with
the yield on the two year U.S. Treasury note falling from 7.69% to 5.79%. The
spread between the two year and 30 year U.S. Treasuries now stands at 83 basis
points ("bps") whereas year-end 1994 saw a spread of just 19 bps.
Although mortgage-backed securities ("MBS") held their own versus U.S.
Treasuries in the first quarter, the magnitude of the drop in rates in the
second quarter and the concurrent spike in volatility caused MBS to suffer.
Spreads between MBS and comparable duration Treasuries gapped wider. For the
first six months of 1995, the Lehman Mortgage Index returned 10.73% while the
Lehman Government Index showed a 11.20% return. Considering that the mortgage
index outperformed the government index by 53 bps in the first quarter, one can
see what a debacle the second quarter was for MBS.
With volatility at such high, unsustainable levels, we feel MBS look cheap.
Option-adjusted spreads on most mortgage products are wider than during the high
prepayment environment of 1993. With new issuance of MBS much lower than in
1993, technicals also bode well for the mortgage market. An increase in MBS
allocation is warranted.
/s/ JOSEPH F. DEMICHELE
- -------------------------
Joseph F. DeMichele
Vice President
Portfolio Manager
REPORT FROM THE MONEY MARKET PORTFOLIO ADVISER
During the first half of 1995, the Federal Reserve Board (the "Fed")
continued with the objective set in 1994 which was a sustained, non-inflationary
growth policy. At the February 1st Federal Open Market Committee meeting
("FOMC"), the Fed backed up this strategy by again tightening monetary policy by
raising interest rates an additional 50 basis points to yield a 6.00 percent
with the next meeting scheduled for March 28, 1995.
However, in late February, Chairman Greenspan began hinting that the
economy was slowing and that lower interest rates might be needed if this
deceleration surpassed expectations. Nevertheless, these comments did not change
the outlook for many economists who still believed another Fed tightening was
inevitable later this year-moving the federal funds rate to the 7.00 percent
level. Greenspan's comments did seem to pave the way for the addition of a "Soft
Landing" objective by the Fed. This soft landing strategy avoids both
inflationary growth and a recession. The next few months were marked with
various conflicting releases of economic data that left economists with no real
solid indication that the economy was moving steadily in any one particular
direction. Then as expected, on March 28 and May 23, both FOMC meetings
adjourned with no announcement signaling no change in interest rates for the
time being.
The objectives of the Money Market Portfolio have not changed. We attempt
to balance safety, liquidity, and current income in managing a fully diversified
portfolio of money market securities. These objectives are met by investing in
United States Government and agency obligations, top-tier commercial paper and
highly rated corporate debt. By June 30th, the portfolio's average maturity of
the total invested assets was 30 days. This allowed us to lock in yield with the
threat of an easing of monetary policy on the horizon. Furthermore, this average
maturity of 30 days satisfies our liquidity objective as well as allowing us to
take advantage of market inefficiencies and opportunities to improve total
return.
/s/ WILLIAM F. FICCA
- ------------------------
William F. Ficca
Portfolio Manager
<PAGE>
GREAT AMERICAN RESERVE VARIABLE ANNUITY
ACCOUNT C
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
June 30, 1995
(UNAUDITED)
<S> <C>
Assets:
Investments in portfolio shares, at net asset value (Note 2):
Conseco Series Trust:
Asset Allocation Portfolio, 436,065 shares (cost $4,987,911) ...................................... $ 5,311,717
Common Stock Portfolio, 4,541,506 shares (cost $75,640,918) ....................................... 83,933,187
Corporate Bond Portfolio, 1,439,970 shares (cost $14,346,255) ..................................... 14,454,091
Government Securities Portfolio, 33,915 shares (cost $391,330) .................................... 418,235
Money Market Portfolio, 3,913,471 shares (cost $3,913,471) ........................................ 3,913,471
------------
Total assets ................................................................................... 108,030,701
Liabilities:
Amounts due to Great American Reserve Insurance Company ............................................... 169,622
------------
Net assets (Note 6) ............................................................................ $107,861,079
============
</TABLE>
<TABLE>
<CAPTION>
UNITS UNIT VALUE
----- ----------
<S> <C> <C>
Net assets attributable to:
Contract owners' deferred annuity reserves:
Conseco Series Trust:
Asset Allocation Portfolio
Qualified .................................................................... 3,536,519.7 $ 1.209760 $ 4,278,341
Nonqualified ................................................................. 848,292.8 1.209760 1,026,231
Common Stock Portfolio
Qualified .................................................................... 7,592,462.5 10.602503 80,499,110
Nonqualified ................................................................. 273,319.8 8.392782 2,293,914
Corporate Bond Portfolio
Qualified .................................................................... 2,981,720.4 4.548169 13,561,368
Nonqualified ................................................................. 185,028.7 4.369984 808,572
Government Securities Portfolio
Qualified .................................................................... 309,264.8 1.101184 340,558
Nonqualified ................................................................. 70,361.8 1.101184 77,481
Money Market Portfolio
Qualified .................................................................... 1,573,079.5 2.442596 3,842,397
Nonqualified ................................................................. 28,162.3 2.442595 68,789
-----------
Net assets attributable to contract owners' deferred annuity reserves ...... 106,796,761
===========
Contract owners' annuity payment reserves:
Conseco Series Trust:
Common Stock Portfolio
Qualified ..................................................................... 975,686
Nonqualified .................................................................. 13,504
Corporate Bond Portfolio
Qualified ..................................................................... 75,128
------------
Net assets attributable to contract owners' annuity payment reserves ........ 1,064,318
------------
Net assets ............................................................. $107,861,079
============
<FN>
The accompanying notes are an integral part
of these financial statements.
</FN>
</TABLE>
<PAGE>
GREAT AMERICAN RESERVE VARIABLE ANNUITY
ACCOUNT C
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 1995
and the Year Ended December 31, 1994
SIX MONTHS YEAR ENDED
ENDED JUNE 30, DECEMBER 31,
1995 1994
(UNAUDITED) (AUDITED)
----------- ---------
<S> <C> <C>
Investment income:
Dividends from investments in portfolio shares .............................................. $ 3,945,622 $ 2,401,142
----------- -----------
Expenses:
Mortality and expense risk fees ............................................................. 341,924 580,978
----------- -----------
Net investment income ..................................................................... 3,603,698 1,820,164
----------- -----------
Net realized gain (loss) and unrealized appreciation (depreciation) on investments:
Net realized gain (loss) on sale of investments in portfolio shares ......................... 61,920 (95,306)
Net change in unrealized appreciation (depreciation) of investments in
portfolio shares .......................................................................... 9,532,219 (1,093,909)
----------- -----------
Net gain (loss) on investments in portfolio shares ...................................... 9,594,139 (1,189,215)
----------- -----------
Net increase in net assets from operations ........................................... $13,197,837 $ 630,949
=========== ===========
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS
For the Six Months Ended June 30, 1995
and the Year Ended December 31, 1994
SIX MONTHS YEAR ENDED
ENDED JUNE 30, DECEMBER 31,
1995 1994
(UNAUDITED) (AUDITED)
----------- ---------
<S> <C> <C>
Changes from operations:
Net investment income ................................................................ $ 3,603,698 $ 1,820,164
Net realized gain (loss) on sale of investments in portfolio shares .................. 61,920 (95,306)
Net change in unrealized appreciation (depreciation) of investments in
portfolio shares ................................................................... 9,532,219 (1,093,909)
------------- -------------
Net increase in net assets from operations ...................................... 13,197,837 630,949
------------- -------------
Changes from principal transactions:
Net contract purchase payments ....................................................... 7,284,128 18,176,866
Contract redemptions ................................................................. (2,986,981) (4,116,854)
Net transfers to fixed account ....................................................... (1,343,048) (2,881,816)
------------- -------------
Net increase in net assets from principal transactions .......................... 2,954,099 11,178,196
------------- -------------
Net increase in net assets .................................................... 16,151,936 11,809,145
Net assets, beginning of period ........................................................ 91,709,143 79,899,998
------------- -------------
Net assets, end of period (Note 6) ..................................................... $ 107,861,079 $ 91,709,143
============= =============
<FN>
The accompanying notes are an integral part of these financial statements.
</FN>
</TABLE>
<PAGE>
GREAT AMERICAN RESERVE VARIABLE ANNUITY
ACCOUNT C
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
(1) GENERAL
Great American Reserve Variable Annuity Account C ("Account C") was
established in 1980 as a segregated investment account for individual and group
variable annuity contracts which are registered under the Securities Act of
1933. Account C is registered under the Investment Company Act of 1940, as
amended (the "Act"), as a unit investment trust. Account C was originally
registered with the U.S. Securities and Exchange Commission as a diversified
open-end management investment company under the Act. Effective May 1, 1993,
Account C was restructured into a single unit investment trust which invested
solely in shares of the portfolios of the Conseco Series Trust, a diversified
open-end management investment company.
The operations of Account C are included in the operations of Great American
Reserve Insurance Company (the "Company") pursuant to the provisions of the
Texas Insurance Code. The Company is an indirect wholly-owned subsidiary of CCP
Insurance, Inc., a publicly-held insurance holding company listed on the New
York Stock Exchange.
On June 1, 1995, the following investment options were available:
THE ALGER AMERICAN FUND
Leveraged AllCap Portfolio
Small Capitalization Portfolio
THE CONSECO SERIES TRUST
Asset Allocation Portfolio
Common Stock Portfolio
Corporate Bond Portfolio
Government Securities Portfolio
Money Market Portfolio
DREYFUS STOCK INDEX FUND
THE DREYFUS SOCIALLY RESPONSIBLE
GROWTH FUND, INC.
FEDERATED INVESTORS INSURANCE
MANAGEMENT SERIES
Corporate Bond Fund
International Stock Fund
Utility Fund
THE JANUS ASPEN SERIES
Aggressive Growth Portfolio
Growth Portfolio
Worldwide Growth Portfolio
THE VAN ECK WORLDWIDE INVESTMENT TRUST
Gold and Natural Resources Fund
Worldwide Bond Fund
Worldwide Hard Assets Fund
(2) SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
SECURITY VALUATION, TRANSACTIONS AND RELATED INVESTMENT INCOME
Investments are valued using the net asset value of the respective portfolios
at the end of each business day of the New York Stock Exchange, with the
exception of regional business holidays. Investment transactions are accounted
for on the trade date (the date the order to buy or sell is executed), except
for Conseco Series Trust investment transactions, which are accounted for on the
valuation date following the trade date. The cost of investments sold is
determined on a specific identification basis. Account C does not hold any
investments which are restricted as to resale.
<PAGE>
Net investment income and net realized gain (loss) and unrealized
appreciation (depreciation) on investments are allocated to the contracts on
each valuation date based on each contract's pro rata share of the assets of
Account C as of the beginning of the valuation date.
FEDERAL INCOME TAXES
No provision for federal income taxes has been made in the accompanying
financial statements because the operations of Account C are included in the
total operations of the Company, which is treated as a life insurance company
for federal income tax purposes under the Internal Revenue Code. Net investment
income and realized gains (losses) will be retained in the Account and will not
be taxable until received by the contract owner or beneficiary in the form of
annuity payments or other distributions.
ANNUITY RESERVES
Deferred annuity contract reserves are comprised of net contract purchase
payments less redemptions and benefits. These reserves are adjusted daily for
the net investment income and net realized gain (loss) and unrealized
appreciation (depreciation) on investments.
Annuity payment reserves for currently payable contracts in the Common Stock
and Corporate Bond Sub-accounts are computed according to the Progressive
Annuity Mortality Table. The assumed net investment rate is equal to the assumed
rate of accumulation. No annuity payment reserve has been established in the
remaining Sub-accounts as no contract owners are receiving periodic retirement
payments from these Sub-accounts. Annuity unit values for periodic retirement
payments were as shown in Chart 1 below.
CHART 1
<TABLE>
<CAPTION>
COMMON STOCK CORPORATE BOND
------------------------------- ---------------------------
QUALIFIED NONQUALIFIED QUALIFIED NONQUALIFIED
--------- ------------ --------- ------------
<S> <C> <C> <C> <C>
June 30, 1995 .................................. $ 3.607 $ 3.340 $ 4.425 $ 4.428
December 31, 1994 .............................. $ 3.188 $ 2.951 $ 4.039 $ 4.042
</TABLE>
(3) PURCHASES AND SALES OF INVESTMENTS IN PORTFOLIO SHARES
The aggregate cost of purchases and proceeds from sales of investments in all
portfolio shares for the six months ended June 30, 1995, amounted to $10,193,882
and $3,055,108, respectively.
(4) DEDUCTIONS AND EXPENSES
Although periodic retirement payments to contract owners vary according to
the investment performance of the portfolios of the Trust, such payments are not
affected by mortality or expense experience because the Company assumes the
mortality risk and the expense risk under the contracts.
The mortality risk assumed by the Company results from the life annuity
payment option in the contracts in which the Company agrees to make annuity
payments regardless of how long a particular annuitant or other payee lives. The
annuity payments are determined in accordance with annuity purchase rate
provisions established at the time the contracts are issued. Based on the
actuarial determination of expected mortality, the Company is required to fund
any deficiency in the annuity payment reserves from its general account assets.
The expense risk assumed by the Company is the risk that the deductions for
sales and administrative expenses may prove insufficient to cover the actual
sales and administrative expenses.
The Company deducts daily from Account C a fee, which is equal on an annual
basis to 1.00 percent of the daily value of the total investments of Account C,
for assuming the mortality and expense risks. These fees aggregated $341,924 and
$580,978 for the six months ended June 30, 1995 and the year ended December 31,
1994, respectively.
<PAGE>
Pursuant to an agreement between Account C and the Company (which may be
terminated by the Company), the Company provides sales and administrative
services to Account C, as well as a minimum death benefit prior to retirement
for certain contracts. Under individual contracts and group deferred
compensation contracts, the Company may deduct a percentage of amounts
surrendered to cover sales expenses. The percentage varies up to 8.00 percent
based on the type of contract and the number of years the contract has been
held. In addition, the Company deducts units from certain contracts annually and
upon full surrender to cover an administrative fee of $15, $20, or $25.
Under group contracts no longer being sold, the Company deducts a percentage
of the renewal contract purchase payments to cover sales and administrative
expenses and the minimum death benefit prior to retirement of the contract
owners.
Sales and administrative charges aggregated $32,351 and $78,399 for the six
months ended June 30, 1995 and the year ended December 31, 1994, respectively.
(5) OTHER TRANSACTIONS WITH AFFILIATES
GARCO Equity Sales, Inc., an affiliate of the Company, is the principal
underwriter and performs all variable annuity sales functions on behalf of the
Company.
(6) NET ASSETS
Net assets consisted of the following at June 30, 1995:
<TABLE>
<S> <C>
Proceeds from the sales of units
since organization, less cost
of units redeemed ...................................... $ 40,700,758
Undistributed net investment income ...................... 26,383,845
Undistributed net realized gains
on sales of investments ................................ 32,025,659
Net unrealized appreciation
of investments ......................................... 8,750,817
------------
Net assets .......................................... $107,861,079
============
</TABLE>
<PAGE>
CONSECO SERIES TRUST
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
June 30, 1995
(UNAUDITED)
Asset Common Corporate Government Money
Allocation Stock Bond Securities Market
Portfolio Portfolio Portfolio Portfolio Portfolio
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
Assets:
Investments in securities
(cost-$6,488,612; $72,161,318;
$12,978,846; $4,308,214;
and $4,358,910; respectively) $ 7,125,971 $82,598,388 $13,187,165 $ 4,511,258 $ 4,358,910
Cash ........................... 230,455 3,361,540 1,084,470 1,087,269 532,346
Accrued interest and dividends . 81,856 156,277 282,176 69,965 1,232
Receivable for securities sold . 352,189 5,025,720 408,338 912,193 --
Receivable for shares sold ..... 40,199 205,228 25,891 -- 14,784
----------- ----------- ----------- ----------- -----------
Total assets .............. 7,830,670 91,347,153 14,988,040 6,580,685 4,907,272
----------- ----------- ----------- ----------- -----------
Liabilities:
Accrued expenses ............... 4,604 58,172 8,368 2,812 1,803
Payable for securities purchased 313,813 1,922,819 329,236 1,729,666 --
Payable for shares redeemed .... -- -- 5,590 18,588 --
----------- ----------- ----------- ----------- -----------
Total liabilities ......... 318,417 1,980,991 343,194 1,751,066 1,803
----------- ----------- ----------- ----------- -----------
Net assets (Note 5) ....... $ 7,512,253 $89,366,162 $14,644,846 $ 4,829,619 $ 4,905,469
=========== =========== =========== =========== ===========
Shares outstanding (unlimited
number of shares authorized) ... 616,717 4,835,477 1,458,974 391,636 4,905,469
Net asset value, offering and
redemption price per share .... $ 12.18 $ 18.48 $ 10.04 $ 12.33 $ 1.00
----------- ----------- ----------- ----------- -----------
<FN>
The accompanying notes are an integral part
of these financial statements.
</FN>
</TABLE>
<PAGE>
CONSECO SERIES TRUST
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 1995
(UNAUDITED)
Asset Common Corporate Government Money
Allocation Stock Bond Securities Market
Portfolio Portfolio Portfolio Portfolio Portfolio
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
Investment income:
Dividends ........................... $ 38,689 $ 784,278 $ -- $ -- $ --
Interest ............................ 125,859 177,292 535,826 170,881 151,440
------------ ------------ ------------ ------------ ----------
Total investment income ......... 164,548 961,570 535,826 170,881 151,440
------------ ------------ ------------ ------------ ----------
Expenses:
Investment advisory fees ............ 18,512 242,835 34,007 11,807 6,259
Custodial fees ...................... 3,110 35,265 6,567 2,473 2,343
Administrative expenses ............. 163 309 179 160 160
Legal and filing fees ............... 3,647 454 1,636 1,216 1,876
Printing fees ....................... 1,287 14,591 2,717 1,023 970
Other ............................... 4,379 28,862 7,013 3,895 1,784
------------ ------------ ------------ ------------ ----------
Total expenses .................. 31,098 322,316 52,119 20,574 13,392
Less: reimbursement by
the Adviser (Note 3) .............. 5,854 (1,464) 4,509 4,044 2,126
Net expenses .................. 25,244 323,780 47,610 16,530 11,266
------------ ------------ ------------ ------------ ----------
Net investment income ......... 139,304 637,790 488,216 154,351 140,174
------------ ------------ ------------ ------------ ----------
Net realized gain on sale
of investments ...................... 233,806 5,014,031 129,850 94,733 --
------------ ------------ ------------ ------------ ----------
Unrealized appreciation (depreciation)
of investments:
Beginning of period ............... 33,318 4,174,477 (711,570) (52,491) --
End of period ..................... 637,359 10,437,070 208,319 203,044 --
------------ ------------ ------------ ------------ ----------
Net change in unrealized
appreciation of investments ... 604,041 6,262,593 919,889 255,535 --
------------ ------------ ------------ ------------ ----------
Net realized and unrealized
gain on investments ......... 837,847 11,276,624 1,049,739 350,268 --
------------ ------------ ------------ ------------ ----------
Net increase in net assets
from operations ............. $ 977,151 $ 11,914,414 $ 1,537,955 $ 504,619 $ 140,174
============ ============ ============ ============ ==========
<FN>
The accompanying notes are an integral part
of these financial statements.
</FN>
</TABLE>
<PAGE>
CONSECO SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS
For the Six Months Ended June 30, 1995
and the Year Ended December 31, 1994
<TABLE>
<CAPTION>
ASSET ALLOCATION COMMON STOCK
PORTFOLIO PORTFOLIO
-------------------------- ----------------------------
SIX MONTHS YEAR ENDED SIX MONTHS YEAR ENDED
ENDED JUNE 30, DECEMBER 31, ENDED JUNE 30, DECEMBER 31,
1995 1994 1995 1994
---- ---- ---- ----
(UNAUDITED) (AUDITED) (UNAUDITED) (AUDITED)
<S> <C> <C> <C> <C>
Changes from operations:
Net investment income .................................. $ 139,304 $ 270,931 $ 637,790 $ 1,024,867
Net realized gain (loss) on sale of investments ........ 233,806 (116,597) 5,014,031 913,112
Net change in unrealized appreciation
(depreciation) of investments ........................ 604,041 (209,775) 6,262,593 (437,837)
----------- ----------- ------------ ------------
Net increase (decrease) in
net assets from operations ...................... 977,151 (55,441) 11,914,414 1,500,142
Net income equalization (Note 2) ......................... (3,818) 3,309 (35,391) (189,980)
----------- ----------- ------------ ------------
Dividends to shareholders from net
investment income ...................................... (327,009) (140,625) (3,041,947) (627,654)
----------- ----------- ------------ ------------
Distributions to shareholders of net realized
capital gains .......................................... -- (18,117) -- (577,489)
----------- ----------- ------------ ------------
Capital share transactions:
Net proceeds from sale of shares ....................... 884,703 2,270,083 4,817,114 10,531,683
Net asset value of shares issued to shareholders
from reinvestment of dividends ....................... 330,827 155,433 3,077,338 1,395,123
Cost of shares redeemed ................................ (521,991) (2,204,176) (2,125,094) (4,071,921)
----------- ----------- ------------ ------------
Net increase (decrease) in net assets from
capital share transactions ......................... 693,539 221,340 5,769,358 7,854,885
----------- ----------- ------------ ------------
Net increase (decrease) in net assets ................ 1,339,863 10,466 14,606,434 7,959,904
Net assets, beginning of period .......................... 6,172,390 6,161,924 74,759,728 66,799,824
----------- ----------- ------------ ------------
Net assets, end of period (Note 5) ....................... $ 7,512,253 $ 6,172,390 $ 89,366,162 $ 74,759,728
=========== =========== ============ ============
Share data:
Shares sold ........................................... 74,487 203,375 271,468 645,373
Shares issued to shareholders from
reinvestment of dividends ........................... 27,419 15,862 166,510 121,947
Shares redeemed ....................................... (44,033) (200,819) (121,264) (250,071)
------- -------- -------- --------
Net increase (decrease) in number
of shares outstanding ............................. 57,873 18,418 316,714 517,249
======= ======== ======== ========
(Continued on following page)
<FN>
The accompanying notes are an integral part
of these financial statements.
</FN>
</TABLE>
<PAGE>
CONSECO SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS (Continued)
For the Six Months Ended June 30, 1995
and the Year Ended December 31, 1994
<TABLE>
<CAPTION>
CORPORATE BOND GOVERNMENT MONEY MARKET
PORTFOLIO SECURITIES PORTFOLIO PORTFOLIO
-------------------------- ------------------------- -------------------------
SIX MONTHS YEAR ENDED SIX MONTHS YEAR ENDED SIX MONTHS YEAR ENDED
ENDED JUNE 30, DECEMBER 31, ENDED JUNE 30, DECEMBER 31, ENDED JUNE 30, DECEMBER 31,
1995 1994 1995 1994 1995 1994
---- ---- ---- ---- ---- ----
(UNAUDITED) (AUDITED) (UNAUDITED) (AUDITED) (UNAUDITED) (AUDITED)
<S> <C> <C> <C> <C> <C> <C>
Changes from operations:
Net investment income ................ $ 488,216 $ 882,258 $ 154,351 $ 384,464 $ 140,174 $ 188,492
Net realized gain (loss)on
sale of investment ................. 129,850 (593,357) 94,733 (544,871) -- --
Net change in unrealized
appreciation (depreciation)
of investments ..................... 919,889 (667,763) 255,535 (47,147) -- --
------------ ------------ ----------- ----------- ----------- -----------
Net increase (decrease) in
net assets from operations ..... 1,537,955 (378,862) 504,619 (207,554) 140,174 188,492
Net income equalization (Note 2) ....... (1,799) 5,783 31,227 68,488 -- --
------------ ------------ ----------- ----------- ----------- -----------
Dividends to shareholders from net
investment income .................... (720,798) (368,156) (31,227) (94,576) (140,174) (188,492)
------------ ------------ ----------- ----------- ----------- -----------
Distributions to shareholders of net
realized capital gains ............... -- -- -- -- -- --
------------ ------------ ----------- ----------- ----------- -----------
Capital share transactions:
Net proceeds from sale of shares ..... 810,767 1,465,435 314,657 164,019 532,004 1,883,108
Net asset value of shares issued
to shareholders from
reinvestment of dividends .......... 722,597 362,373 -- 26,088 140,174 188,492
Cost of shares redeemed .............. (606,939) (1,760,950) (702,442) (2,823,046) (872,076) (2,195,874)
------------ ------------ ----------- ----------- ----------- -----------
Net increase (decrease) in
net assets from capital
share transactions ............... 926,425 66,858 (387,785) (2,632,939) (199,898) (124,274)
------------ ------------ ----------- ----------- ----------- -----------
Net increase (decrease) in
net assets ....................... 1,741,783 (674,377) 116,834 (2,866,581) (199,898) (124,274)
Net assets, beginning of period ........ 12,903,063 13,577,440 4,712,785 7,579,366 5,105,367 5,229,641
------------ ------------ ----------- ----------- ----------- -----------
Net assets, end of period .............. $ 14,644,846 $ 12,903,063 $ 4,829,619 $ 4,712,785 $ 4,905,469 $ 5,105,367
============ ============ =========== =========== =========== ===========
Share data:
Shares sold .......................... 82,455 152,017 26,512 14,714 532,004 1,883,108
Shares issued to shareholders
from reinvestment of dividends ..... 72,946 37,376 -- 2,260 140,174 188,492
Shares redeemed ...................... (62,482) (183,354) (59,948) (253,588) (872,076) (2,195,874)
------- -------- ------- -------- -------- ----------
Net increase (decrease) in
number of shares outstanding ..... 92,919 6,039 (33,436) (236,614) (199,898) (124,274)
======= ======== ======= ======== ======== ==========
<FN>
The accompanying notes are an integral part
of these financial statements.
</FN>
</TABLE>
<PAGE>
CONSECO SERIES TRUST
ASSET ALLOCATION PORTFOLIO
STATEMENT OF INVESTMENTS IN SECURITIES
June 30, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
NUMBER
OF SHARES SECURITY VALUE
--------- -------- -----
<S> <C> <C>
COMMON STOCKS
(60.07% of total investments) (a)
AIR TRANSPORT (0.48%)
200 SkyWest, Inc....................... $ 4,525
2,550 U.S. Air Group (b)................. 29,644
---------
34,169
---------
ALUMINUM (0.68%)
1,600 Alcan Aluminum Limited............. 48,400
---------
AUTO PARTS/EQUIPMENT (1.11%)
4,620 Miller Industries, Inc. (b)........ 79,117
---------
BANKING (1.71%)
2,700 First Union Corporation............ 122,175
---------
BROADCASTING (1.44%)
2,209 Viacom, Inc., Class B (b).......... 102,442
---------
CHEMICALS (2.68%)
3,530 IMC Global, Inc.................... 191,061
---------
CONTAINERS (0.62%)
1,250 Federal Paper Board................ 44,219
---------
DATA PROCESSING (4.25%)
2,720 Cisco Systems, Inc. (b)............ 137,529
5,600 IKOS Systems, Inc. (b)............. 51,100
4,200 Network General Corporation (b).... 114,450
---------
303,079
---------
ELECTRONICS/ELECTRIC (8.58%)
2,500 California Microwave (b)........... $ 62,655
1,800 Cypress Semiconductor Corporation(b) 72,900
1,400 Dovatron International, Inc. (b)... 34,300
1,600 Exar Corporation (b)............... 47,200
6,993 Genus, Inc. (b).................... 94,839
2,100 Intergrated Device Tech, Inc. (b).. 97,125
1,500 KLA Instruments Corporation (b).... 115,875
5,000 Mentor Graphics Corporation (b).... 86,250
---------
611,144
---------
FILMED ENTERTAINMENT (0.81%)
2,200 British Sky Broadcasting (ADR)(b).. 57,475
---------
FINANCE (1.03%)
3,600 Comdata Holdings Corporation (b)... 55,350
400 First USA, Inc..................... 17,750
---------
73,100
---------
HEALTH CARE CENTERS (3.39%)
1,800 Orthodontic Centers of America (b). 43,650
2,120 Ren Corporation (b)................ 33,655
3,350 Renal Treatment Centers, Inc. (b).. 82,494
5,176 Sun Healthcare Group, Inc. (b)..... 81,522
---------
241,321
---------
HOME FURNISHINGS (0.84%)
1,200 Armstrong World Industries......... 60,150
---------
(Continued)
</TABLE>
<PAGE>
CONSECO SERIES TRUST
ASSET ALLOCATION PORTFOLIO
STATEMENT OF INVESTMENTS IN SECURITIES - (Continued)
June 30, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
NUMBER
OF SHARES SECURITY VALUE
--------- -------- -----
<S> <C> <C>
INSURANCE (6.67%)
1,160 American Reinsurance (b)........... $ 43,210
1,950 Chubb Corporation.................. 156,244
970 General Re Corporation............. 129,859
2,800 Healthsource, Inc. (b)............. 98,000
1,100 Lincoln National Corporation....... 48,125
---------
475,438
---------
MUTUAL FUND (1.62%)
2,600 Franklin Resources, Inc............ 115,700
---------
OIL AND GAS (8.69%)
2,670 Apache Corporation................. 73,091
1,925 Louisiana Land &
Exploration Company................ 76,759
10,800 Noble Drilling Corporation (b)..... 79,650
2,360 Occidental Petroleum............... 53,985
2,100 Petroleum Geo-Services (ADR) (b)... 60,375
1,465 Texaco, Inc........................ 96,141
2,115 Tosco Corporation.................. 67,416
2,655 Ultramar Corporation............... 67,039
2,140 Union Texas Petroleum Holdings, Inc. 45,207
---------
619,663
---------
PUBLISHING (1.55%)
1,200 Time Warner, Inc................... 49,350
800 Times Mirror Company............... 19,100
2,500 Valassis Communications, Inc., (b). 41,875
---------
110,325
---------
RAIL EQUIPMENT (0.26%)
800 ABC Rail Products Corporation (b).. $ 18,400
---------
RETAIL STORES (2.24%)
3,200 American Eagle Outfitters (b)...... 50,400
2,675 Proffitt's, Inc. (b)............... 79,581
2,360 Sport Supply Group, Inc............ 29,500
---------
159,481
---------
SERVICES (1.71%)
3,200 AccuStaff, Inc. (b)................ 70,400
5,100 Employee Solutions, Inc. (b)....... 51,638
---------
122,038
---------
TELECOMMUNICATIONS (6.71%)
5,110 Brite Voice Systems, Inc. (b)...... 93,257
1,000 DSP Communications, Inc. (b)....... 20,750
4,350 Network Equipment Tech., Inc. (b).. 103,312
4,370 Nokia Corporation (ADR) (b)........ 260,561
---------
477,880
---------
TOBACCO (1.67%)
1,600 Philip Morris Companies, Inc....... 119,000
---------
UTILITIES GAS (1.33%)
3,130 The Coastal Corporation............ 95,074
---------
TOTAL COMMON STOCKS
(COST $3,745,090).................. 4,280,851
---------
(Continued)
</TABLE>
<PAGE>
CONSECO SERIES TRUST
ASSET ALLOCATION PORTFOLIO
STATEMENT OF INVESTMENTS IN SECURITIES - (Continued)
June 30, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY VALUE
--------- -------- -----
<S> <C> <C>
CORPORATE BONDS
(39.93% of total investments)(a)
AIR TRANSPORT (1.61%)
$100,000 Delta Airlines 1988 ETC-B,
10.050%, due 10/16/2005 $ 114,750
-----------
BANKING (4.05%)
200,000 Anchor Bancorp,
8.938%, due 07/09/2003............. 200,750
100,000 Bankers Trust Company,
6.000%, due 10/15/2008............. 88,000
-----------
288,750
-----------
BROADCASTING (2.74%)
200,000 Viacom International, Inc.,
8.000%, due 07/07/2006............. 195,000
-----------
FINANCE (2.95%)
100,000 Countrywide Funding-MTN,
7.750%, due 08/10/2001............. 104,750
100,000 GNS Finance Corp.,
9.250%, due 03/15/2003............. 105,125
-----------
209,875
-----------
MINING/DIVERSIFIED (1.54%)
100,000 Inco Ltd., 9.600%, due 06/15/2022.. 109,500
-----------
OIL AND GAS (4.32%)
100,000 Lyondell Petrochemical Company,
8.250%, due 03/15/1997............. 102,125
200,000 Union Texas Petroleum Holdings,
8.500%, due 04/07/2015............. 205,500
-----------
307,625
-----------
PUBLISHING (3.32%)
200,000 News America Holdings,
9.500%, due 07/15/2024............. 235,250
-----------
PAPER/PRODUCTS (1.50%)
100,000 Westvaco Corporation,
10.300%, due 01/15/2019............ $ 107,250
-----------
SECURITIES (1.51%)
100,000 Lehman Brothers Holdings, Inc.,
8.800%, due 03/01/2015............. 108,250
-----------
TEXTILES (2.79%)
200,000 Guess?, Inc.,
9.500%, due 08/15/2003............. 199,000
-----------
TOBACCO (1.43%)
100,000 RJR Nabisco, Inc.,
9.250%, due 08/15/2013............. 101,750
-----------
UTILITIES ELECTRIC (3.53%)
200,000 Commonwealth Edison Co.,
9.170%, due 10/15/2002............. 222,250
29,000 System Energy Resources, Inc.,
11.375%, due 09/01/2016............ 29,290
-----------
251,540
-----------
UTILITIES DIVERSIFIED (8.64%)
100,000 Hero Asia (BVI) Company Limited,
9.110%, due 10/15/2001 (144A)...... 101,830
100,000 Hydro Quebec,
8.050%, due 07/07/2024............. 108,875
100,000 Long Island Lighting,
7.125%, due 06/01/2005............. 89,625
200,000 Niagara Mohawk Power,
9.500%, due 06/01/2000............. 218,000
100,000 Northern Indiana Public Service
Company, 7.420%, due 01/08/2024.... 98,250
-----------
616,580
-----------
TOTAL CORPORATE BONDS
(COST $2,743,522) ................. 2,845,120
-----------
TOTAL INVESTMENTS IN
SECURITIES (COST $6,488,612) (c)... $ 7,125,971
===========
<FN>
(a) Using Standard & Poor's industry classifications.
(b) Non-dividend paying common stock.
(c) Cost also represents cost for federal income tax purposes.
The accompanying notes are an integral part of these financial
statements.
</FN>
</TABLE>
<PAGE>
CONSECO SERIES TRUST
<TABLE>
<CAPTION>
COMMON STOCK PORTFOLIO
STATEMENT OF INVESTMENTS IN SECURITIES
June 30, 1995
(UNAUDITED)
NUMBER
OF SHARES SECURITY VALUE
--------- -------- -----
<S> <C> <C>
COMMON STOCKS
(100.00 % of total investments) (a)
AIR TRANSPORT (0.69%)
3,900 SkyWest, Inc....................... $ 88,238
41,250 U.S. Air Group (b)................. 479,531
----------
567,769
----------
ALUMINUM (1.14%)
31,200 Alcan Aluminum Limited............. 943,800
----------
AUTO PARTS/EQUIPMENT (1.72%)
82,940 Miller Industries, Inc.(b)......... 1,420,347
----------
BANKING (2.74%)
49,950 First Union Corporation............ 2,260,238
----------
BROADCASTING (2.44%)
43,464 Viacom, Inc., Class B (b).......... 2,015,643
----------
CHEMICALS (4.19%)
63,900 Imc Global, Inc.................... 3,458,588
----------
CONTAINERS (1.07%)
25,000 Federal Paper Board................ 884,375
----------
DATA PROCESSING (7.23%)
54,600 Cisco Systems, Inc. (b)............ 2,760,685
109,300 IKOS Systems, Inc. (b)............. 997,362
81,300 Network General Corporation (b).... 2,215,425
----------
5,973,472
----------
ELECTRONICS/ELECTRIC (14.38%)
48,750 California Microwave (b)........... $ 1,221,772
35,200 Cypress Semiconductor
Corporation (b).................... 1,425,600
28,100 Dovatron International, Inc. (b)... 688,450
31,200 Exar Corporation (b) .............. 920,400
136,200 Genus, Inc. (b).................... 1,847,144
40,900 Integrated Device Tech, Inc. (b)... 1,891,625
28,500 KLA Instruments Corporation (b).... 2,201,625
97,500 Mentor Graphics Corporation (b).... 1,681,875
----------
11,878,491
----------
FILMED ENTERTAINMENT (1.36%).......
42,900 British Sky Broadcasting (ADR)(b).. 1,120,763
----------
FINANCE (1.73%)
70,600 Comdata Holdings Corporation (b) .. 1,085,475
7,800 First Usa, Inc..................... 346,125
----------
1,431,600
----------
HEALTH CARE CENTERS (6.00%)
35,100 Orthodontic Centers of America (b). 851,175
45,340 Ren Corporation (b)................ 719,773
72,800 Renal Treatment Centers, Inc. (b).. 1,792,700
100,772 Sun Healthcare Group, Inc. (b)..... 1,587,159
----------
4,950,807
----------
HOME FURNISHINGS (1.42%)
23,400 Armstrong World Industries......... 1,172,925
----------
(Continued)
</TABLE>
<PAGE>
CONSECO SERIES TRUST
<TABLE>
<CAPTION>
COMMON STOCK PORTFOLIO
STATEMENT OF INVESTMENTS IN SECURITIES - (Continued)
June 30, 1995
(UNAUDITED)
NUMBER
OF SHARES SECURITY VALUE
--------- -------- -----
<S> <C> <C>
INSURANCE (10.74%)
20,710 American Reinsurance (b)........... $ 771,447
36,850 Chubb Corporation.................. 2,952,606
18,890 General Re Corporation............. 2,528,899
54,600 Healthsource, Inc. (b)............. 1,911,000
16,100 Lincoln National Corporation....... 704,375
-----------
8,868,327
-----------
MUTUAL FUND (2.68%)
49,800 Franklin Resources, Inc............ 2,216,100
-----------
OIL AND GAS (14.48%)
53,250 Apache Corporation ................ 1,457,719
29,680 Louisiana Land &
Exploration Company ............... 1,183,490
210,600 Noble Drilling Corporation (b)..... 1,553,175
48,235 Occidental Petroleum............... 1,103,376
40,800 Petroleum Geo-Services (ADR) (b) .. 1,173,000
29,010 Texaco, Inc. ...................... 1,903,781
40,630 Tosco Corporation.................. 1,295,081
55,220 Ultramar Corporation .............. 1,394,305
42,520 Union Texas Petroleum Holdings, Inc. 898,235
-----------
11,962,162
-----------
PUBLISHING (2.69%)
22,800 Time Warner, Inc................... 937,650
15,600 Times Mirror Company............... 372,450
54,520 Valassis Communications, Inc. (b).. 913,210
-----------
2,223,310
-----------
RAIL EQUIPMENT (0.43%)
15,600 ABC Rail Products Corporation(b)... $ 358,800
-----------
RETAIL STORES (3.56%)
50,100 American Eagle Outfitters (b)...... 789,075
53,675 Proffitt's, Inc. (b) .............. 1,596,831
44,270 Sport Supply Group, Inc. .......... 553,375
-----------
2,939,281
-----------
SERVICES (2.89%)
62,400 AccuStaff, Inc. (b)................ 1,372,800
100,300 Employee Solutions, Inc. (b)....... 1,015,537
-----------
2,388,337
-----------
TELECOMMUNICATIONS (11.15%)
117,230 Brite Voice Systems, Inc. (b)...... 2,139,448
19,500 DSP Communications, Inc. .......... 404,625
83,250 Network Equipment Tech, Inc. (b)... 1,977,187
78,630 Nokia Corporation (ADR) (b)........ 4,688,314
-----------
9,209,574
-----------
TOBACCO (2.99%)
33,175 Philip Morris Companies, Inc....... 2,467,391
-----------
UTILITIES GAS (2.28%)
62,100 The Coastal Corporation............ 1,886,288
-----------
TOTAL COMMON STOCKS
(COST $72,161,318)(c).............. $82,598,388
===========
<FN>
(a) Using Standard & Poor's industry classifications.
(b) Non-dividend paying common stock.
(c) Cost also represents cost for federal income tax purposes.
The accompanying notes are an integral part
of these financial statements.
</FN>
</TABLE>
<PAGE>
CONSECO SERIES TRUST
<TABLE>
<CAPTION>
CORPORATE BOND PORTFOLIO
STATEMENT OF INVESTMENTS IN SECURITIES - (Continued)
June 30, 1995
(UNAUDITED)
PRINCIPAL
AMOUNT SECURITY VALUE
------ -------- -----
<S> <C> <C>
CORPORATE BONDS
(81.70% of total investments) (a)
AIR TRANSPORT (3.61%)
$ 200,000 Delta Airlines 1988 ETC-B,
10.050%, due 06/16/2005............ $ 229,500
187,764 Delta Airlines 1992,
8.540%, due 01/02/2007 ............ 197,856
46,941 Delta Airlines 1992,
8.540%, due 01/02/2007............. 48,760
---------
476,116
---------
AEROSPACE (1.81%)
200,000 McDonnell Douglas Corporation,
9.750%, due 04/01/2012............. 238,000
---------
BANKING (16.89%)
300,000 Banc One Arizona,
6.000%, due 09/15/2005............. 283,875
100,000 Bankers Trust Company,
7.125%, due 07/31/2002............. 100,500
200,000 Bankers Trust Company,
6.000%, due 10/15/2008............. 176,000
250,000 Dime Bancorp, Inc.,
10.500%, due 11/15/2005............ 270,313
300,000 First Bank National Association,
6.250%, due 08/15/2005............. 294,000
250,000 First Union Corp.,
6.000%, due 10/30/2008 ............ 226,875
200,000 First USA Bank,
7.650%, due 08/01/2003............. 201,302
200,000 National City Corporation,
7.200%, due 05/15/2005............. 204,250
250,000 PNC Bank, 7.875%, due 04/15/2005... 266,563
200,000 Society National Bank,
7.250%, due 06/01/2005............. 203,500
---------
2,227,178
---------
BUILDING (1.97%)
250,000 Scotia Pacific Holding Co.,
7.950%, due 07/20/2015............. 260,625
---------
CONTAINERS (2.26%)
300,000 Stone Container,
9.875%, due 02/01/2001............. 298,500
---------
FINANCE (7.59%)
250,000 CIT Group Holdings, Inc.,
7.000%, due 09/30/1997............. 254,062
250,000 Ford Capital BV.,
9.000%, due 08/15/1998............. 268,750
250,000 GNS Finance Corp.,
9.250%, due 03/15/2003............. 262,813
200,000 Green Tree Financial Corp.
1994-4 A5, 8.300%, due 07/15/2019.. 215,094
---------
1,000,719
---------
INSURANCE (5.18%)
250,000 American Reinsurance,
10.875%, due 09/15/2004 ........... 277,187
400,000 USF&G Corp., 7.000%, due 05/15/1998 405,500
---------
682,687
---------
MINING/DIVERSIFIED (0.88%)
100,000 Cyprus Minerals Company,
10.125%, due 04/01/2002 116,125
---------
OIL AND GAS (3.99%)
100,000 Lyondell Petrochemical Company,
8.250%, due 03/15/1997............. 102,125
400,000 Parker & Parsley Petroleum,
8.875%, due 04/01/2022............. 424,000
---------
526,125
---------
PAPER/PRODUCTS (1.62%)
200,000 Westvaco Corporation,
10.300%, due 01/15/2019............ 214,500
---------
PUBLISHING (3.57%)
400,000 News America Holdings,
9.500%, due 07/15/2024............. 470,500
---------
RETAIL STORES (7.31%)
250,000 K Mart Corporation-MTN,
8.000%, due 12/13/2001 ............ 257,500
500,000 Price Co., 6.750%, due 03/01/2001.. 500,000
200,000 Wal-mart Stores,
10.875%, due 08/15/2000............ 206,250
---------
963,750
---------
(Continued)
</TABLE>
<PAGE>
CONSECO SERIES TRUST
<TABLE>
<CAPTION>
CORPORATE BOND PORTFOLIO
STATEMENT OF INVESTMENTS IN SECURITIES (Continued)
June 30, 1995
(UNAUDITED)
PRINCIPAL
AMOUNT SECURITY VALUE
------ -------- -----
<S> <C> <C>
SECURITIES (5.57%)
$ 250,000 Lehman Brothers Holdings, Inc.,
8.800%, due 03/01/2015............. $ 270,625
250,000 Paine Webber Group, Inc.,
6.500%, due 11/01/2005 ............ 227,188
250,000 Salomon, Inc.,
6.750%, due 08/15/2003 ............ 236,875
-----------
734,688
-----------
TEXTILES (1.89%)
250,000 Guess?, Inc.,
9.500%, due 08/15/2003............. 248,750
-----------
TOBACCO (1.93%)
250,000 RJR Nabisco, Inc.,
9.250%, due 08/15/2013............. 254,375
-----------
UTILITIES ELECTRIC (5.24%)
200,000 Commonwealth Edison Co.,
9.170%, due 10/15/2002............. 222,250
350,000 Detroit Edison Co.- MTN,
7.200%, due 08/01/2002............. 360,500
100,000 Texas Utilities Electric Company,
10.625%, due 09/01/2020 ........... 108,625
-----------
691,375
-----------
UTILITIES GAS (6.74%)
300,000 The Coastal Corporation,
10.000%, due 02/01/2001............ 340,500
250,000 Seagull Energy Corp.,
8.625%, due 08/01/2005 ............ 242,188
100,000 Southern California Gas Co.,
9.750%, due 12/01/2020............. 107,625
200,000 Southern Union Company,
7.600%, due 02/01/2024 ............ 198,000
-----------
888,313
-----------
UTILITIES DIVERSIFIED (3.65%)
200,000 Niagara Mohawk Power,
9.500%, due 06/01/2000 ............ 218,000
250,000 Philadelphia Electric Co.,
8.750%, due 04/01/2022 ............ 263,125
-----------
481,125
-----------
TOTAL CORPORATE BONDS
(COST $10,558,392) ................ 10,773,451
-----------
U.S. GOVERNMENT
AND AGENCY OBLIGATIONS
(18.30% of total investments)
$ 300,000 Federal Farm Credit Banks-MTN,
7.440%, due 04/07/1998............. $ 304,713
393,779 Federal Home Loan Banks,
5.375%, due 03/25/1999 ............ 380,914
250,000 Federal Home Loan Mortgage Corp.,
6.500%, due 06/08/2000............. 250,295
251,362 Federal Home Loan Mortgage Corp.,
#D51789, 7.000%, due 04/01/2024.... 247,316
49,431 Federal National Mortgage Assn.,
#062289, 5.697%, due 03/01/2028.... 50,420
293,665 Federal National Mortgage Assn.,
#183567, 7.500%, due 11/01/2022.... 294,766
247,447 Federal National Mortgage Assn.,
#286122, 7.000%, due 06/01/2024.... 243,387
3,666 Government National Mortgage Assn.,
#051699, 15.000%, due 07/15/2011... 4,216
3,362 Government National Mortgage Assn.,
#056522, 14.000%, due 08/15/2012... 3,782
126,972 Government National Mortgage Assn.,
#180604, 9.000%, due 11/15/2016.... 133,400
500,000 U.S. Treasury Note,
6.000%, due 10/15/1999 ............ 500,505
-----------
TOTAL U.S. GOVERNMENT AND
AGENCY OBLIGATIONS
(COST $2,420,454).................. 2,413,714
-----------
TOTAL INVESTMENTS
IN SECURITIES
(COST $12,978,846) (b)............. $13,187,165
===========
<FN>
(a) Using Standard & Poor's industry classifications.
(b) Cost also represents cost for federal income tax purposes.
The accompanying notes are an integral part
of these financial statements.
</FN>
</TABLE>
<PAGE>
CONSECO SERIES TRUST
GOVERNMENT SECURITIES PORTFOLIO
STATEMENT OF INVESTMENTS IN SECURITIES
June 30, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY VALUE
------ -------- -----
<S> <C> <C>
U.S. GOVERNMENT AND
AGENCY OBLIGATIONS
(83.65% of total investments)
$ 500,000 Federal National Mortgage Assn.,
15 yr TBA, 7.500%, due 01/01/2010.. $ 508,281
300,000 Federal National Mortgage Assn.,
30 yr TBA, 8.000%, due 01/01/2025.. 305,719
1,591 Government National Mortgage Assn.,
#044522, 13.000%, due 03/15/2011... 1,844
8,560 Government National Mortgage Assn.,
#068651, 12.000%, due 08/15/2013... 9,652
14,169 Government National Mortgage Assn.,
#105200, 13.000%, due 10/15/2013... 16,418
7,260 Government National Mortgage Assn.,
#119896, 13.000%, due 11/15/2014... 8,412
488,883 Government National Mortgage Assn.,
Dollar Roll, 8.000%, due 08/15/2024 500,799
100,000 U.S. Treasury Note,
5.125%, due 06/30/1998............. 97,902
250,000 U.S. Treasury Note,
8.250%, due 07/15/1998............. 266,020
200,000 U.S. Treasury Note,
7.750%, due 11/30/1999............. 213,364
260,000 U.S. Treasury Note,
7.750%, due 01/31/2000............. 277,852
375,000 U.S. Treasury Note,
5.875%, due 02/15/2004............. 366,195
550,000 U.S. Treasury Note,
7.250%, due 08/15/2004............. 588,126
550,000 U.S. Treasury Note,
7.875%, due 11/15/2004............. 612,997
-----------
TOTAL U.S. GOVERNMENT AND
AGENCY OBLIGATIONS
(COST $3,594,254).................. 3,773,581
-----------
COLLATERALIZED
MORTGAGE OBLIGATIONS
(16.35% of total investments)
250,000 American Express Master Trust,
93 1 A, 5.375%, due 07/15/2001.... 238,825
489,371 Federal Home Loan Mortgage Corp.,
#C80306, 8.000%, due 04/01/2025.... 498,852
-----------
TOTAL COLLATERALIZED
MORTGAGE OBLIGATIONS
(COST $713,960).................... 737,677
-----------
TOTAL INVESTMENTS IN
SECURITIES (COST $4,308,214) (a)... $ 4,511,258
===========
<FN>
(a) Cost also represents cost for federal income tax purposes.
The accompanying notes are an integral part
of these financial statements.
</FN>
</TABLE>
<PAGE>
CONSECO SERIES TRUST
MONEY MARKET PORTFOLIO
STATEMENT OF INVESTMENTS IN SECURITIES
June 30, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY VALUE(b)
------ -------- --------
<S> <C> <C>
COMMERCIAL PAPER
(88.94% of total investments) (a)
BANKING (5.62%)
$ 245,000 Banc One Corporation, Inc.,
6.030%, due 07/07/95............... $ 244,754
----------
ELECTRONICS/ELECTRIC (9.36%)
170,000 Emerson Electronic Company, Inc.,
5.980%, due 7/10/1995.............. 169,746
240,000 Motorola, Inc.,
5.830%, due 08/18/1995............. 238,134
----------
407,880
----------
FINANCE (5.57%)
245,000 National Rural Utilities Coop
Finance Co., 5.900%, due 08/24/1995 242,832
----------
FOOD (5.59%)
245,000 Heinz (H.J.) & Company, Inc.,
5.950%, due 07/31/1995............. 243,785
----------
GRAPHIC ARTS (5.48%)
240,000 R.R. Donnelley & Sons, Inc.,
5.920%, due 07/27/1995............. 238,974
----------
HOUSEHOLD PRODUCTS (4.45%)
195,000 Procter & Gamble Company, Inc.,
5.900%, due 08/08/1995............. 193,786
----------
MANUFACTURING/
DISTRIBUTION (10.74%)
230,000 Bemis Company, Inc.,
5.900%, due 07/14/1995............. 229,510
240,000 Unilever Capital Corporation, Inc.,
5.900%, due 08/04/1995............. 238,663
----------
468,173
----------
MEDICAL EQUIPMENT/
SUPPLIES (5.49%)
240,000 Bausch & Lomb, Inc.,
6.000%, due 07/21/1995............. 239,200
----------
OIL & GAS (5.58%)
245,000 Shell Oil Company, Inc.,
5.830%, due 08/11/1995............. 243,373
----------
PUBLISHING (5.48%)
240,000 Dun & Bradstreet Corporation, Inc.,
5.925%, due 08/01/1995............. 238,776
----------
RETAIL STORES (5.50%)
240,000 Wal-Mart Stores, Inc.,
6.000%, due 07/05/1995............. 239,840
----------
SECURITIES (10.85%)
236,000 Goldman Sachs L.P.,
5.850%, due 08/14/1995............. 234,312
240,000 Smith Barney, Inc.,
5.950%, due 08/03/1995............. 238,691
----------
473,003
----------
TELECOMMUNICATIONS (3.65%)
160,000 AT&T Capital Corporation, Inc.,
5.920%, due 08/04/1995............. 159,105
----------
TOBACCO (5.58%)
245,000 Philip Morris Capital Corporation, Inc.,
5.890%, due 08/10/1995............. 243,397
----------
TOTAL COMMERCIAL PAPER 3,876,878
----------
SHORT TERM U.S. GOVERNMENT
AND AGENCY OBLIGATIONS
(11.06% of total investments)
240,000 Federal National Mortgage Assn.,
Discount Note, 5.730%, due 08/02/1995 238,778
245,000 Federal National Mortgage Assn.,
Discount Note, 5.830%, due 08/14/1995 243,254
----------
TOTAL SHORT TERM
U.S. GOVERNMENT AND
AGENCY OBLIGATIONS................. 482,032
----------
TOTAL INVESTMENTS
IN SECURITIES...................... $ 4,358,910
===========
<FN>
(a) Using Standard & Poor's industry classifications.
(b) Value also represents cost for federal income tax purposes.
The accompanying notes are an integral part
of these financial statements.
</FN>
</TABLE>
<PAGE>
CONSECO SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
(1) GENERAL
Conseco Series Trust (the "Trust", formerly Bankers National Series Trust) is
a diversified, open-end management investment company registered under the
Investment Company Act of 1940, as amended ("the Act"), and was organized as a
Massachusetts Trust effective November 15, 1982. The Trust offers shares only to
affiliated life insurance company separate accounts (registered as unit
investment trusts under the Act) to fund the benefits under variable annuity
contracts.
Effective May 1, 1993, Great American Reserve Variable Annuity Account C
("Account C") transferred its assets to the Trust in exchange for shares of the
Common Stock, Corporate Bond (newly created effective May 1, 1993) and Money
Market Portfolios. Since May 1, 1993, the Trust continues to offer shares of
each of its portfolios to Account C.
On July 25, 1994 Great American Reserve Variable Annuity Account E commenced
operations which also invests in the shares of the Trust's portfolios.
(2) SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
SECURITY VALUATION, TRANSACTIONS AND RELATED INVESTMENT INCOME
Investments in each portfolio are valued at the end of each business day of
the New York Stock Exchange, with the exception of regional business holidays.
Investment transactions are accounted for on the valuation date following the
trade date (the date the order to buy or sell is executed). Dividend income is
recorded on the ex-dividend date. The cost of investments sold is determined on
the specific identification basis. The Trust does not hold any investments which
are restricted as to resale, except the Hero Asia 9.110% bonds held in the Asset
Allocation Portfolio which are eligible for resale under Rule 144A of the
Securities Act of 1933.
The Board of Trustees (the "Trustees") determined that it will value the
Money Market Portfolio investments at amortized cost, which is conditioned on
the Trust's compliance with certain conditions contained in Rule 2a-7 of the
Act. The investment adviser of the Trust continuously reviews this method of
valuation and recommends changes to the Trustees, if necessary, to ensure that
the Money Market Portfolio investments are valued at fair value (as determined
by the Trustees in good faith).
In all portfolios of the Trust, except for the Money Market Portfolio,
securities traded on a national securities exchange are valued at closing market
prices. Listed securities for which no sale was reported on the valuation date
are valued at the mean of the bid and asked prices. Short term notes, U.S.
government obligations maturing within one year or less from the date purchased
and bank certificates of deposit are valued at amortized cost, which
approximates market.
Fixed income securities for which representative market quotes are readily
available are valued at the mid-day mean between the bid and asked prices as
quoted by one or more dealers who make a market in such securities.
FEDERAL INCOME TAXES
Each portfolio is treated as a separate taxable entity for federal income
tax purposes and qualifies as a regulated investment company under the Internal
Revenue Code. The Trust intends to continue to distribute all taxable income to
shareholders, and therefore, no provision has been made for federal income
taxes.
DIVIDENDS TO SHAREHOLDERS
For the Money Market Portfolio, dividends are declared and reinvested daily
from the sum of net investment income and net realized short-term capital gains
or losses. For all other portfolios, dividends are declared and reinvested on a
monthly or quarterly basis from net investment income, and on an annual basis,
from net investment income and net realized capital gains and losses.
INCOME EQUALIZATION
All portfolios, except the Money Market Portfolio, follow the accounting
practice known as income equalization by which a portion of the proceeds from
sales and costs of redemptions of shares is equivalent, on a per share basis, to
the amount of distributable investment income on the date the transaction is
credited or charged to undistributed income. As a result, undistributed
investment income per share is not materially affected by sales or redemptions
of the portfolio shares.
<PAGE>
(3) TRANSACTIONS WITH AFFILIATES
As investment adviser of the Trust, Conseco Capital Management, Inc. (the
"Adviser"), a wholly-owned subsidiary of Conseco, Inc., a specialized financial
services company listed on the New York Stock Exchange, charges an investment
advisory fee based on the daily net asset value at an annual rate of 0.25
percent for the Money Market Portfolio, 0.50 percent for the Government
Securities Portfolio and the Corporate Bond Portfolio, 0.55 percent for the
Asset Allocation Portfolio, and 0.60 percent for the Common Stock Portfolio. The
total fees paid to the Adviser for the six months ended June 30, 1995 and the
year ended December 31, 1994 were $313,420 and $560,765, respectively. The
Adviser reimburses each Trust portfolio whenever the ratio of expenses,
including investment advisory fees, to average net assets exceeds 0.45 percent
for the Money Market Portfolio, 0.70 percent for the Government Securities
Portfolio and the Corporate Bond Portfolio, 0.75 percent for the Asset
Allocation Portfolio and 0.80 percent for the Common Stock Portfolio.
(4) INVESTMENT TRANSACTIONS
The aggregate cost of purchases and proceeds from sales of investments
(excluding short term investments) during the six months ended June 30, 1995
amounted to $115,305,080 and $110,408,478, respectively. The aggregate cost of
purchases and proceeds from sales of U.S. government securities amounted to
$7,535,699 and $7,951,558, respectively.
At June 30, 1995, gross unrealized appreciation and depreciation of
investments were as shown in Chart 1.
(5) NET ASSETS
Net assets at June 30, 1995 are shown in Chart 2.
CHART 1
<TABLE>
<CAPTION>
ASSET COMMON CORPORATE GOVERNMENT MONEY
ALLOCATION STOCK BOND SECURITIES MARKET
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
Gross unrealized appreciation......... $ 721,147 $ 11,495,058 $ 316,892 $ 205,294 $ --
Gross unrealized depreciation ........ (83,787) (1,057,988) (108,573) (2,250) --
----------- ------------ ------------ ------------ --------
Net unrealized appreciation ....... $ 637,359 $ 10,437,070 $ 208,319 $ 203,044 $ --
=========== ============ ============ ============ ========
</TABLE>
CHART 2
<TABLE>
<CAPTION>
ASSET COMMON CORPORATE GOVERNMENT MONEY
ALLOCATION STOCK BOND SECURITIES MARKET
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
Proceeds from the sales of shares since
organization, less cost of shares
redeemed and net equalization ...... $ 6,851,319 $ 77,620,915 $ 14,618,515 $ 4,629,262 $ 4,905,469
Undistributed net investment expense .. -- -- -- (11,642) --
Undistributed net realized gain (loss)
on sale of investments ............. 23,575 1,308,177 (181,988) 8,955 --
Net unrealized appreciation
of investments ..................... 637,359 10,437,070 208,319 203,044 --
------------ ------------ ------------ ------------ -----------
Total net assets ................ $ 7,512,253 $ 89,366,162 $ 14,644,846 $ 4,829,619 $ 4,905,469
============ ============ ============ ============ ===========
</TABLE>
<PAGE>
CONSECO SERIES TRUST
NOTES TO FINANICAL STATEMENTS - (Continued)
(6) FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
ASSET ALLOCATION PORTFOLIO
-----------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
JUNE 30, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
1995 1994 1993 1992 (e) 1991 (f)
(UNAUDITED) (AUDITED) (AUDITED) (AUDITED) (AUDITED)
<S> <C> <C> <C> <C> <C>
Net asset value per share,
beginning of period .............................. $ 11.040 $ 11.400 $ 11.630 $ 11.740 $ 11.050
Income from investment operations (a):
Net investment income ............................ 0.239 0.463 0.410 0.633 0.210
Net realized gain (loss) and change
in unrealized appreciation
(depreciation) on investments ................. 1.469 (0.558) 0.218 0.867 2.094
--------- --------- --------- --------- ---------
Total income (loss) from
investment operations .................... 1.708 (0.095) 0.628 1.500 2.304
--------- --------- --------- --------- ---------
Distributions (a):
Dividends from net
investment income .............................. (0.568) (0.234) (0.570) (1.463) (0.532)
Distribution of net realized
capital gains .................................. -- (0.031) (0.288) (0.147) (1.082)
--------- --------- --------- --------- ---------
Total distributions .......................... (0.568) (0.265) (0.858) (1.610) (1.614)
--------- --------- --------- --------- ---------
Net asset value per share, end of period ........... $ 12.180 $ 11.040 $ 11.400 $ 11.630 $ 11.740
========= ========= ========= ========= =========
Total return (b) (d) ............................... 30.87%(g) (0.55%) 10.38% 10.36% 21.57%
Ratios/supplemental data:
Net assets, end of period (c) .................... $ 7,512,253 $ 6,172,390 $ 6,161,924 $4,308,251 $1,373,327
Ratio of expenses to average
net assets (d) ................................. 0.75%(g) 0.75% 0.75% 1.25% 1.25%
Ratio of net investment income
to average net assets (d) ...................... 4.23%(g) 4.20% 3.55% 5.46% 1.69%
Portfolio turnover rate .......................... 246.11%(g) 223.92% 539.90% 690.17% 128.46%
<FN>
(a) Per share amounts presented are based on a share outstanding throughout the
periods indicated.
(b) Total return represents performance of the Trust portfolios only and does
not include mortality and expense deductions in separate accounts.
(c) Effective May 1, 1993, Account C became a shareholder of the portfolios of
the Trust.
(d) These ratios have been favorably affected by a guarantee from the Adviser
that the ratio of expenses to average net assets would not exceed 0.45
percent for the Money Market Portfolio, 0.70 percent for the Government
Securities Portfolio and the Corporate Bond Portfolio, 0.80 percent for the
Common Stock Portfolio and 0.75 percent for the Asset Allocation Portfolio
for the six months ended June 30, 1995 and the years ended December 31, 1994
and 1993 and 1.25 percent for each portfolio for the years ended December
31, 1992 and 1991.
(e) The BNL High Yield and BNL Convertible Portfolios were merged into the Asset
Allocation Portfolio (formerly the BNL Multiple Strategies Portfolio)
effective March 11, 1992.
(f) Lexington Management Corporation was Sub-adviser to the Government
Securities, Common Stock, and Asset Allocation (formerly the BNL Multiple
Strategies) Portfolios prior to November 19, 1991.
(g) Annualized.
</FN>
</TABLE>
<PAGE>
(6) FINANCIAL HIGHLIGHTS - (Continued)
<TABLE>
<CAPTION>
COMMON STOCK PORTFOLIO
-----------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
JUNE 30, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
1995 1994 1993 1992 1991 (e)
(UNAUDITED) (AUDITED) (AUDITED) (AUDITED) (AUDITED)
<S> <C> <C> <C> <C> <C>
Net asset value per share,
beginning of period .............................. $ 16.540 $ 16.690 $ 16.880 $ 16.290 $ 13.870
Income from investment operations (a):
Net investment income ............................ 0.142 0.240 0.232 0.292 0.347
Net realized gain (loss) and change
in unrealized appreciation
(depreciation) on investments .................. 2.483 (0.063) 0.920 2.787 3.311
--------- --------- --------- --------- ---------
Total income from
investment operations ................... 2.625 0.177 1.152 3.079 3.658
--------- --------- --------- --------- ---------
Distributions (a):
Dividends from net
investment income ............................ (0.685) (0.192) (1.181) (1.101) (0.186)
Distribution of net realized
capital gains ................................ -- (0.135) (0.161) (1.388) (1.052)
--------- --------- --------- --------- ---------
Total distributions ...................... (0.685) (0.327) (1.342) (2.489) (1.238)
--------- --------- --------- --------- ---------
Net asset value per share, end of period............ $ 18.480 $ 16.540 $ 16.690 $ 16.880 $ 16.290
========= ========= ========= ========= =========
Total return (b) (d) ............................... 31.45%(f) 1.92% 8.35% 18.34% 25.77%
Ratios/supplemental data:
Net assets, end of period (c) ................. $ 89,366,162 $ 74,759,728 $ 66,799,824 $ 8,307,023 $8,379,781
Ratio of expenses to average
net assets (d) ................................ 0.80%(f) 0.80% 0.80% 1.25% 1.25%
Ratio of net investment income
to average net assets (d) .................... 1.68%(f) 1.47% 1.40% 1.73% 2.19%
Portfolio turnover rate ......................... 207.20%(f) 213.67% 205.81% 461.05% 100.39%
<FN>
(a) Per share amounts presented are based on a share outstanding throughout the
periods indicated.
(b) Total return represents performance of the Trust portfolios only and does
not include mortality and expense deductions in separate accounts.
(c) Effective May 1, 1993, Account C became a shareholder of the portfolios of
the Trust.
(d) These ratios have been favorably affected by a guarantee from the Adviser
that the ratio of expenses to average net assets would not exceed 0.45
percent for the Money Market Portfolio, 0.70 percent for the Government
Securities Portfolio and the Corporate Bond Portfolio, 0.80 percent for the
Common Stock Portfolio and 0.75 percent for the Asset Allocation Portfolio
for the six months ended June 30, 1995 and the years ended December 31, 1994
and 1993 and 1.25 percent for each portfolio for the years ended December
31, 1992 and 1991.
(e) Lexington Management Corporation was Sub-adviser to the Government
Securities, Common Stock, and Asset Allocation (formerly the BNL Multiple
Strategies) Portfolios prior to November 19, 1991.
(f) Annualized.
</FN>
</TABLE>
<PAGE>
(6) FINANCIAL HIGHLIGHTS (Continued)
<TABLE>
<CAPTION>
CORPORATE BOND PORTFOLIO(e)
------------------------------------------------
SIX MONTHS PERIOD FROM
ENDED YEAR ENDED MAY 1, 1993 TO
JUNE 30, DECEMBER 31, DECEMBER 31,
1995 1994 1993
(UNAUDITED) (AUDITED) (AUDITED)
----------- --------- ---------
<S> <C> <C> <C>
Net asset value per share, beginning of period ............................... $ 9.450 $ 9.980 $ 10.000
Income from investment operations (a):
Net investment income ...................................................... 0.357 0.649 0.417
Net realized gain (loss) and change in unrealized appreciation
(depreciation) on investments ............................................ 0.761 (0.912) 0.173
--------- --------- ---------
Total income (loss) from investment operations ........................ 1.118 (0.263) 0.590
--------- --------- ---------
Distributions (a):
Dividends from net investment income ....................................... (0.528) (0.267) (0.610)
Distribution of net realized capital gains ................................. -- -- --
--------- --------- ---------
Total distributions ................................................... (0.528) (0.267) (0.610)
--------- --------- ---------
Net asset value per share, end of period ..................................... $ 10.040 $ 9.450 $ 9.980
========= ========= =========
Total return (b) (d) ......................................................... 23.36%(f) (2.65%) 8.84%(f)
Ratios/supplemental data:
Net assets, end of period (c) .............................................. $ 14,644,846 $12,903,063 $13,577,440
Ratio of expenses to average net assets (d) ................................ 0.70%(f) 0.70% 0.70%(f)
Ratio of net investment income to average net assets (d) ................... 7.38%(f) 6.78% 6.22%(f)
Portfolio turnover rate .................................................... 248.88%(f) 198.48% 406.24%(f)
<FN>
(a) Per share amounts presented are based on a share outstanding throughout the
periods indicated.
(b) Total return represents performance of the Trust portfolios only and does
not include mortality and expense deductions in separate accounts.
(c) Effective May 1, 1993, Account C became a shareholder of the portfolios of
the Trust.
(d) These ratios have been favorably affected by a guarantee from the Adviser
that the ratio of expenses to average net assets would not exceed 0.45
percent for the Money Market Portfolio, 0.70 percent for the Government
Securities Portfolio and the Corporate Bond Portfolio, 0.80 percent for
the Common Stock Portfolio and 0.75 percent for the Asset Allocation
Portfolio for the six months ended June 30, 1995 and the years ended
December 31, 1994 and 1993 and 1.25 percent for each portfolio for the
years ended December 31, 1992 and 1991.
(e) The Corporate Bond Portfolio became an available investment option
effective May 1, 1993, with an initial offering price of $10.00.
(f) Annualized.
</FN>
</TABLE>
<PAGE>
CONSECO SERIES TRUST
NOTES TO FINANICAL STATEMENTS - (Continued)
(6) FINANCIAL HIGHLIGHTS - (Continued)
<TABLE>
<CAPTION>
GOVERNMENT SECURITIES PORTFOLIO
-----------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
JUNE 30, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
1995 1994 1993 1992 (e) 1991 (f)
(UNAUDITED) (AUDITED) (AUDITED) (AUDITED) (AUDITED)
<S> <C> <C> <C> <C> <C>
Net asset value per share,
beginning of period ............................... $ 11.090 $ 11.450 $ 11.610 $ 12.000 $ 11.220
Income from investment operations (a):
Net investment income ............................. 0.351 0.720 0.738 0.679 0.830
Net realized gain (loss) and change
in unrealized appreciation
(depreciation) on investments ................... 0.889 (1.031) 0.281 0.219 0.856
--------- --------- --------- --------- ---------
Total income (loss) from
investment operations ...................... 1.240 (0.311) 1.019 0.898 1.686
--------- --------- --------- --------- ---------
Distributions (a):
Dividends from net
investment income ............................... -- (0.049) (1.179) (1.094) (0.906)
Distribution of net realized
capital gains ................................... -- -- -- (0.194) --
--------- --------- --------- --------- ---------
Total distributions ........................... -- (0.049) (1.179) (1.288) (0.906)
--------- --------- --------- --------- ---------
Net asset value per share, end of period ............ $ 12.330 $ 11.090 $ 11.450 $ 11.610 $ 12.000
========= ========= ========= ======== =========
Total return (b) (d) ................................ 22.40%(g) (2.79%) 8.91% 6.62% 15.01%
Ratios/supplemental data:
Net assets, end of period (c) ..................... $ 4,829,619 $ 4,712,785 $ 7,579,366 $ 10,220,193 $5,780,442
Ratio of expenses to average
net assets (d) .................................. 0.70%(g) 0.70% 0.70% 1.25% 1.25%
Ratio of net investment income
to average net assets (d) ....................... 6.16%(g) 6.45% 6.30% 5.77% 7.24%
Portfolio turnover rate ........................... 274.62%(g) 421.05% 397.42% 742.09% 55.85%
<FN>
(a) Per share amounts presented are based on a share outstanding throughout the
periods indicated.
(b) Total return represents performance of the Trust portfolios only and does
not include mortality and expense deductions in separate accounts.
(c) Effective May 1, 1993, Account C became a shareholder of the portfolios of
the Trust.
(d) These ratios have been favorably affected by a guarantee from the Adviser
that the ratio of expenses to average net assets would not exceed 0.45
percent for the Money Market Portfolio, 0.70 percent for the Government
Securities Portfolio and the Corporate Bond Portfolio, 0.80 percent for
the Common Stock Portfolio and 0.75 percent for the Asset Allocation
Portfolio for the six months ended June 30, 1995 and the years ended
December 31, 1994 and 1993 and 1.25 percent for each portfolio for the
years ended December 31, 1992 and 1991.
(e) The BNL Mortgage-Backed Securities Portfolio was merged into the Government
Securities Portfolio (formerly the BNL Government Securities Portfolio)
effective March 11, 1992.
(f) Lexington Management Corporation was Sub-adviser to the Government
Securities, Common Stock, and Asset Allocation (formerly the BNL Multiple
Strategies) Portfolios prior to November 19, 1991.
(g) Annualized.
</FN>
</TABLE>
<PAGE>
CONSECO SERIES TRUST
NOTES TO FINANICAL STATEMENTS - (Continued)
(6) FINANCIAL HIGHLIGHTS - (Continued)
<TABLE>
<CAPTION>
MONEY MARKET PORTFOLIO
----------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
JUNE 30, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
1995 1994 1993 1992 1991
(UNAUDITED) (AUDITED) (AUDITED) (AUDITED) (AUDITED)
<S> <C> <C> <C> <C> <C>
Net asset value per share,
beginning of period ................................ $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
Income from investment operations (a):
Net investment income .............................. 0.028 0.038 0.029 0.026 0.050
Net realized gain and change
in unrealized appreciation
on investments ................................... -- -- -- 0.001 --
--------- --------- --------- -------- ---------
Total income from
investment operations ........................ 0.028 0.038 0.029 0.027 0.050
--------- --------- --------- -------- ---------
Distributions (a):
Dividends from net
investment income ................................ (0.028) (0.038) (0.029) (0.026) (0.050)
Distribution of net realized
capital gains .................................. -- -- -- (0.001) --
--------- --------- --------- -------- ---------
Total distributions .......................... (0.028) (0.038) (0.029) (0.027) (0.050)
--------- --------- --------- -------- ---------
Net asset value per share, end of period.............. $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
========= ========= ========= ======== =========
Total return (b) (d) ................................. 5.64%(e) 3.78% 2.86% 2.66% 5.06%
Ratios/supplemental data:
Net assets, end of period (c) ..................... $4,905,469 $5,105,367 $5,229,641 $3,111,264 $5,010,336
Ratio of expenses to average
net assets (d) ................................. 0.45%(e) 0.45% 0.45% 1.25% 1.25%
Ratio of net investment income
to average net assets (d) ...................... 5.64%(e) 3.78% 2.86% 2.66% 5.06%
Portfolio turnover rate ........................... N/A N/A N/A N/A N/A
<FN>
(a) Per share amounts presented are based on a share outstanding throughout the
periods indicated.
(b) Total return represents performance of the Trust portfolios only and does
not include mortality and expense deductions in separate accounts.
(c) Effective May 1, 1993, Account C became a shareholder of the portfolios of
the Trust.
(d) These ratios have been favorably affected by a guarantee from the Adviser
that the ratio of expenses to average net assets would not exceed 0.45
percent for the Money Market Portfolio, 0.70 percent for the Government
Securities Portfolio and the Corporate Bond Portfolio, 0.80 percent for the
Common Stock Portfolio and 0.75 percent for the Asset Allocation Portfolio
for the six months ended June 30, 1995 and the years ended December 31, 1994
and 1993 and 1.25 percent for each portfolio for the years ended December
31, 1992 and 1991.
(e) Annualized.
</FN>
</TABLE>
<PAGE>
GREAT AMERICAN RESERVE
VARIABLE ANNUITY ACCOUNT C
SPONSOR
Great American Reserve Insurance Company
Carmel, Indiana.
DISTRIBUTOR
GARCO Equity Sales, Inc. Carmel, Indiana;
Tallahassee, Florida.
INDEPENDENT PUBLIC ACCOUNTANTS
Coopers & Lybrand L.L.P. Indianapolis, Indiana.
CONSECO SERIES TRUST
BOARD OF TRUSTEES
William P. Daves, Jr., Chairman
Consultant to the insurance and
health care industries.
Director, President and Chief Executive Officer,
FFG Insurance Co., Dallas, Texas.
Harold W. Hartley, Trustee
Retired. Chartered Financial Analyst.
Formerly Executive Vice President,
Tenneco Financial Services Inc.,
Fort Myers Beach, Florida.
Maxwell E. Bublitz, Trustee and President
President,
Conseco Capital Management, Inc.,
Carmel, Indiana.
Dr. R. Jan LeCroy, Trustee
President,
Dallas Citizens Council,
Dallas, Texas.
Dr. Jesse H. Parrish, Trustee
Retired. Formerly President,
Midland College, Midland, Texas.
INVESTMENT ADVISER
Conseco Capital Management, Inc.
Carmel, Indiana.
INDEPENDENT PUBLIC ACCOUNTANTS
Coopers & Lybrand L.L.P. Indianapolis, Indiana.
CUSTODIAN
Bankers Trust Company New York, New York.
<PAGE>
GREAT AMERICAN RESERVE
INSURANCE COMPANY
A CCP Insurance Company
ACCOUNT C
Great American Reserve
Variable Annuity
Conseco Series Trust
June 30, 1995
SEMIANNUAL REPORT
TO CONTRACT OWNERS
This report is for the information of contract owners and participants of the
Great American Reserve Variable Annuity Account C and Conseco Series Trust. It
is authorized for distribution to other persons only when preceded or
accompanied by a current prospectus which contains more complete information,
including charges and expenses.
Great American Reserve Insurance Company
11815 North Pennsylvania Street
Carmel, Indiana 46032
