GREAT AMERICAN RESERVE INSURANCE COMPANY
A Conseco Company
Great American Reserve Variable Annuity
Account C
Conseco Series Trust
June 30, 1996
SEMIANNUAL REPORT TO CONTRACT OWNERS
<PAGE>
SEMIANNUAL REPORT TO CONTRACT OWNERS
TABLE OF CONTENTS
June 30, 1996
GREAT AMERICAN RESERVE VARIABLE ANNUITY ACCOUNT C PAGE
Statement of Assets and Liabilities as of June 30, 1996 .............. 2
Statements of Operations for the Six Months Ended June 30, 1996
and the Year Ended December 31, 1995 ............................ 5
Statements of Changes in Net Assets for the Six Months Ended
June 30, 1996 and the Year Ended December 31, 1995 .............. 5
Notes to Financial Statements ........................................ 6
CONSECO CAPITAL MANAGEMENT, INC
Report from the President ............................................ 8
Report from the Asset Allocation Portfolio Adviser ................... 8
Report from the Common Stock Portfolio Adviser ....................... 9
Report from the Corporate Bond Portfolio Adviser ..................... 10
Report from the Government Securities Portfolio Adviser .............. 10
Report from the Money Market Portfolio Adviser ....................... 11
CONSECO SERIES TRUST
Statement of Assets and Liabilities as of June 30, 1996 .............. 12
Statement of Operations for the Six Months Ended June 30, 1996 ....... 13
Statements of Changes in Net Assets for the Six Months Ended
June 30, 1996 and the Year Ended December 31, 1995 .............. 14
Statements of Investments in Securities as of June 30, 1996:
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
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GREAT AMERICAN RESERVE VARIABLE ANNUITY
ACCOUNT C
STATEMENT OF ASSETS AND LIABILITIES
June 30, 1996
(UNAUDITED)
Assets:
Investments in portfolio shares, at net asset value (Note 2):
The Alger American Fund:
<S> <C>
Leveraged AllCap Portfolio, 11,740.7 shares, (cost - $215,189) ............................ $ 226,125
Small Capitalization Portfolio, 29,585.3 shares, (cost - $1,219,319) ...................... 1,252,347
Conseco Series Trust:
Asset Allocation Portfolio, 654,316.5 shares, (cost - $7,798,832) ......................... 8,494,342
Common Stock Portfolio, 6,235,967.3 shares, (cost - $109,573,964) ......................... 128,025,654
Corporate Bond Portfolio, 1,573,738.8 shares, (cost - $15,684,353) ........................ 15,432,614
Government Securities Portfolio, 38,342.7 shares, (cost - $449,966) ....................... 453,520
Money Market Portfolio, 3,718,901.6 shares, (cost - $3,718,902) ........................... 3,718,902
The Dreyfus Socially Responsible Growth Fund, Inc., 5,119.8 shares, (cost - $90,744) ......... 96,508
Dreyfus Stock Index Fund, 57,808.1 shares, (cost - $990,496) ................................. 1,082,167
Federated Insurance Series:
High Income Bond Fund II, 875.9 shares, (cost - $8,598) ................................... 8,496
International Equity Fund II, 4,496.4 shares, (cost - $47,494) ............................ 49,326
Utility Fund II, 11,710.6 shares, (cost - $128,846) ....................................... 132,213
The Janus Aspen Series:
Aggressive Growth Portfolio, 45,505.8 shares, (cost - $781,321) ........................... 860,060
Growth Portfolio, 33,105.1 shares, (cost - $462,080) ...................................... 483,335
Worldwide Growth Portfolio, 49,865.0 shares, (cost - $809,882) ............................ 908,540
The Van Eck Worldwide Insurance Trust:
Gold and Natural Resources Fund, 699.6 shares, (cost - $37,552) ........................... 37,211
Worldwide Bond Fund, 2,377.7 shares, (cost - $7,668) ...................................... 7,415
Worldwide Hard Assets Fund, 10,301.1 shares, (cost - $110,976) ............................ 122,892
---------------
Total investments in portfolio shares .................................................. 161,391,667
Amounts due from Great American Reserve Insurance Company .......................................... 21,452
---------------
Net assets (Note 6) .................................................................... $ 161,413,119
===============
<FN>
The accompanying notes are an integral part of these financial statements
</FN>
</TABLE>
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<TABLE>
<CAPTION>
GREAT AMERICAN RESERVE VARIABLE ANNUITY
ACCOUNT C
STATEMENT OF ASSETS AND LIABILITIES - (CONTINUED)
June 30, 1996
(UNAUDITED)
Units Unit Value
============================
Net assets attributable to:
Contract owners' deferred annuity reserves:
The Alger American Fund:
<S> <C> <C> <C>
Leveraged AllCap Portfolio ............................................. 144,372.1 $ 1.565096 $ 225,956
Small Capitalization Portfolio ......................................... 954,912.3 1.310502 1,251,415
Conseco Series Trust:
Asset Allocation Portfolio ............................................. 5,589,894.9 1.519705 8,494,993
Common Stock Portfolio
Qualified ........................................................... 8,386,698.8 14.686229 123,168,982
Nonqualified ........................................................ 289,915.4 11.625397 3,370,382
Corporate Bond Portfolio
Qualified ........................................................... 3,103,221.0 4.739172 14,706,698
Nonqualified ........................................................ 138,058.4 4.553504 628,650
Government Securities Portfolio ........................................ 400,171.9 1.132612 453,240
Money Market Portfolio
Qualified ........................................................... 1,435,556.1 2.545965 3,654,875
Nonqualified ........................................................ 31,025.3 2.545964 78,989
The Dreyfus Socially Responsible Growth Fund, Inc. ........................ 75,576.5 1.275989 96,435
Dreyfus Stock Index Fund .................................................. 851,744.7 1.269592 1,081,368
Federated Insurance Series:
High Income Bond Fund II ............................................... 7,701.6 1.102327 8,490
International Equity Fund II ........................................... 45,058.5 1.093923 49,291
Utility Fund II ........................................................ 112,881.8 1.170475 132,125
The Janus Aspen Series:
Aggressive Growth Portfolio ............................................ 608,321.3 1.412793 859,432
Growth Portfolio ....................................................... 374,402.6 1.290030 482,991
Worldwide Growth Portfolio ............................................. 604,628.8 1.453424 878,782
The Van Eck Worldwide Insurance Trust:
Gold and Natural Resources Fund ........................................ 31,326.4 1.187189 37,190
Worldwide Bond Fund .................................................... 7,452.9 0.994181 7,409
Worldwide Hard Assets Fund ............................................. 98,337.1 1.248842 122,807
--------------
Net assets attributable to contract owners' deferred annuity reserves 159,790,500
--------------
<FN>
The accompanying notes are an integral part of these financial statements.
</FN>
</TABLE>
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<TABLE>
<CAPTION>
GREAT AMERICAN RESERVE VARIABLE ANNUITY
ACCOUNT C
STATEMENT OF ASSETS AND LIABILITIES - (CONTINUED)
June 30, 1996
(UNAUDITED)
Contract owners' annuity payment reserves:
Conseco Series Trust:
Common Stock Portfolio
<S> <C>
Qualified ................................................................................. $ 1,483,201
Nonqualified .............................................................................. 17,150
Corporate Bond Portfolio
Qualified ................................................................................. 93,132
Janus Aspen Worldwide Growth Portfolio .......................................................... 29,136
--------------
Net assets attributable to contract owners' annuity payment reserves ...................... 1,622,619
--------------
Net assets ................................................................................. $ 161,413,119
==============
<FN>
The accompanying notes are an integral part of these financial statements
</FN>
</TABLE>
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<TABLE>
<CAPTION>
GREAT AMERICAN RESERVE VARIABLE ANNUITY
ACCOUNT C
STATEMENTS OF OPERATIONS
For the Six Months Ended June 30, 1996 and the Year Ended December 31, 1995
Six Months Year ended
ended June 30, December 31,
1996 1995
(unaudited) (audited)
=============== ===============
Investment income:
<S> <C> <C>
Dividends from investments in portfolio shares .............................. $ 11,185,160 $ 19,391,277
--------------- ---------------
Expenses:
Mortality and expense risk fees ............................................. 509,945 764,864
--------------- ---------------
Net investment income .................................................... 10,675,215 18,626,413
--------------- ---------------
Net realized gain (loss) and unrealized appreciation (depreciation) on investments:
Net realized gain on sale of investments in portfolio shares ................ 148,451 266,507
Net change in unrealized appreciation of investments in portfolio shares .... 9,238,028 10,798,864
--------------- ---------------
Net gain on investments in portfolio shares .............................. 9,386,479 11,065,371
--------------- ---------------
Net increase in net assets from operations ............................ $ 20,061,694 $ 29,691,784
=============== ===============
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<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
For the Six Months Ended June 30, 1996 and the Year Ended December 31, 1995
Six Months Year ended
ended June 30, December 31,
1996 1995
(unaudited) (audited)
=============== ===============
Changes from operations:
<S> <C> <C>
Net investment income ....................................................... $ 10,675,215 $ 18,626,413
Net realized gain on sale of investments in portfolio shares ................ 148,451 266,507
Net change in unrealized appreciation of investments in portfolio shares .... 9,238,028 10,798,864
--------------- ---------------
Net increase in net assets from operations ............................... 20,061,694 29,691,784
--------------- ---------------
Changes from principal transactions:
Net contract purchase payments .............................................. 10,331,220 16,741,302
Contract redemptions ........................................................ (3,524,126) (5,842,499)
Net transfers (to) from fixed account ....................................... 2,450,826 (206,225)
--------------- ---------------
Net increase in net assets from principal transactions ................... 9,257,920 10,692,578
--------------- ---------------
Net increase in net assets ............................................ 29,319,614 40,384,362
Net assets, beginning of period ................................................ 132,093,505 91,709,143
--------------- ---------------
Net assets, end of period (Note 6) .................................... $ 161,413,119 $ 132,093,505
=============== ===============
<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 with the U.S. Securities and Exchange Commission
under the Investment Company Act of 1940, as amended (the "Act"), as a unit
investment trust. Account C was originally registered 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
Conseco, Inc., a publicly-held specialized financial services holding company
listed on the New York Stock Exchange.
Effective 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
THE DREYFUS SOCIALLY RESPONSIBLE GROWTH FUND, INC.
DREYFUS STOCK INDEX FUND
FEDERATED INSURANCE SERIES
High Income Bond Fund II
International Equity Fund II
Utility Fund II
THE JANUS ASPEN SERIES
Aggressive Growth Portfolio
Growth Portfolio
Worldwide Growth Portfolio
THE VAN ECK WORLDWIDE INSURANCE TRUST
Gold and Natural Resources Fund
Worldwide Bond Fund
Worldwide Hard Assets Fund
(2) SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
INVESTMENT VALUATION, TRANSACTIONS AND INCOME
Investments in portfolio shares are valued using the net asset value of the
respective portfolios at the end of each New York Stock Exchange business day,
with the exception of regional business holidays. Investment share transactions
are accounted for on a trade date basis (the date the order to purchase or
redeem shares is executed) and dividend income is recorded on the ex-dividend
date. The cost of investments in portfolio shares sold is determined on a
first-in first-out basis. Account C does not hold any investments which are
restricted as to resale.
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) are retained in Account C and are not 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 contracts under which contract owners are
receiving periodic retirement payments are computed according to the Progressive
Annuity Mortality Table. The assumed net
<PAGE>
GREAT AMERICAN RESERVE VARIABLE ANNUITY
ACCOUNT C
NOTES TO FINANCIAL STATEMENTS - (CONTINUED)
(UNAUDITED)
investment rate is equal to the assumed rate of accumulation. The annuity
unit values for periodic retirement payments were as shown below.
June 30, December 31,
1996 1995
=========================
Conseco Series Trust:
Common Stock
Qualified ............... $ 4.828 $ 4.163
Nonqualified ............ $ 4.470 $ 3.854
Corporate Bond
Qualified ............... $ 4.455 $ 4.580
Janus Aspen Series:
Worldwide Growth ............. $ 1.098 N/A
(3) PURCHASES AND SALES OF INVESTMENTS IN PORTFOLIO SHARES
The aggregate cost of purchases and proceeds from sales of investments in
portfolio shares were $22,636,699 and $2,781,474 for the six months ended June
30, 1996, and $10,193,882 and $3,055,108 for the six months ended June 30, 1995.
(4) DEDUCTIONS AND EXPENSES
Although periodic retirement payments to contract owners vary according to
the investment performance of the portfolios, such payments are not affected by
mortality or expense experience because the Company assumes the mortality and
expense risks 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 0.64, 0.74, 0.99 and 1.00 percent of
the value of the total investments of the Conseco Series Trust Common Stock,
Corporate Bond, Money Market portfolios and all other portfolios, respectively,
for assuming the mortality and expense risks. These fees were $509,945 and
$764,864 for the six months ended June 30, 1996 and the year ended December 31,
1995, respectively.
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 were $42,558 and $75,162 for the six
months ended June 30, 1996 and the year ended December 31, 1995, 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, 1996:
Proceeds from the sales of units
since organization, less cost
of units redeemed ........................... $ 57,697,157
Undistributed net investment income ......... 52,081,775
Undistributed net realized gains
on sales of investments ..................... 32,378,697
Net unrealized appreciation
of investments .............................. 19,255,490
--------------
Net assets ....................................... $ 161,413,119
==============
<PAGE>
CONSECO CAPITAL MANAGEMENT, INC.
REPORT FROM THE PRESIDENT
Dear Contract Owner:
I am pleased to report on the performance of the Conseco Series Trust for
Great American Reserve Account C for the six months ended June 30, 1996. The
table below summarizes the performance for each portfolio. Performance is
measured by the percentage change in unit values, net of all mortality and
expense charges, compared to the average total return for the same period for
all variable annuities of a similar type measured by Morningstar, Inc., an
independent publisher of investment performance information.
MORNINGSTAR
SIX MONTHS SIX MONTHS
ENDED ENDED
JUNE 30, JUNE 30,
PORTFOLIO 1996 1996 (1)
=====================================================
Asset Allocation ........ 10.93% 4.43%
Common Stock ............ 17.98% 9.15%
Corporate Bond .......... (1.05%) (1.58%)
Government Securities ... (2.05%) (2.32%)
Money Market ............ 2.00% 1.85%
Note: Past performance is not indicative of future results.
(1) Average Accumulation Unit Value Total Return for each respective peer group
from Morningstar Variable Annuity/Life Performance Report through 6/30/96.
Although each portfolio again ranks highly within its peer group as
measured by Morningstar, it is the long term performance which is important. We
believe it is through consistent, long term performance that we can provide you,
the contract owner, with the investment alternatives you need to build wealth
given your individual risk tolerance.
Through the first half of 1996, the stock market, measured by the
Standard's & Poor's 500 (S&P 500), was up over 10 percent while the fixed income
market, measured by the Lehman Brothers Aggregate, provided a return of -1.21
percent The flow of assets into equity mutual funds for the first six months of
1996 has already exceeded all of 1995's record amounts. This phenomenal flow of
assets into the market has continued to help fuel the stock market, albeit at
rates of return which are substantially below 1995's 35 percent pace.
The increase in interest rates in 1996 is a result of the strength in the
economy which has caught many investors off-guard. With solid income growth,
strong housing data, tight labor markets and strong consumer confidence, the
focus is on the Federal Reserve to insure they take sufficient steps to keep
inflation in check. We would not be surprised to see the Federal Reserve tighten
monetary policy if economic growth persists at existing levels.
Given the recent dramatic flows into equity mutual funds and the posture
the Federal Reserve is expected to take if economic growth continues its pace,
we may see a higher level of volatility in the financial markets. At Conseco
Capital Management, we will not deviate from our investment philosophy which has
provided our shareowners with excellent returns through the years. The
Morningstar rating service recently provided the Asset Allocation and the
Corporate Bond Fund with Five Star ratings and the Common Stock fund with
Four Star rating. We remain comitted to helping our contract owners with their
investment and retirement planning needs.
Sincerely,
Maxwell E. Bublitz
President
REPORT FROM THE ASSET ALLOCATION PORTFOLIO ADVISERS
Through the second quarter of 1996, the equity market continues to outpace
the fixed income market. The Standard's & Poor's 500 (S&P 500) posted a three
month total return of 4.48 percent, easily besting the 0.57 percent return of
the Lehman Brothers Aggregate Index. In response to rising equity valuations and
early signs of a possible Federal Reserve tightening, a more conservative
allocation of 54 percent equity, 35 percent bonds, and 11 percent cash is being
maintained in the portfolio.
Within the fixed income portion of the portfolio, high yield and
split-rated bonds continue to outperform pure investment grade issues. We have
found good relative value in several split-rated credits including: Amerco
(Ba1/BBB), Continental Cablevision (Ba2/BBB+), and Strawbridge Clothier
(Ba2/BBB-). The high yield portion of the portfolio has grown to accommodate the
stronger total return prospects. Currently, high yield accounts for 71 percent
of the bond portfolio and 29 percent is in investment grade. Split-rate bonds
are included in investment grade.
As for the equity portion of the portfolio, we feel compelled to say that
we are concerned that the market lacks direction and leadership. At the time of
this writing, there is simply too much working against a rising market. We have
seen some early signs that stocks are going to start to acknowledge the law of
gravity. Monetary and sentiment indicators also offer little support. Looking
back, the portfolio enjoyed a profitable
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CONSECO CAPITAL MANAGEMENT, INC.
quarter on both a relative and an absolute basis, largely because of our
exposure to attractively valued high-quality companies in the mid- and small-cap
sectors of the market. Our best returns came from names such as Miller
Industries, Philip Morris, Chesapeake Energy, Comstock Resources and Qualcomm.
Over the first half of the year, the S&P 500 returned 10.09 percent with the
strongest gains in consumer cyclicals, capital goods, soft drinks, tobacco and
other consumer staples.
Going forward, we will continue to focus upon increasing our exposure to
areas of the market that we believe will be less impaired by speculative
volatility and more correlated to underlying earnings growth. Such areas include
energy, where companies will continue to surprise investors with increasing
price realizations on their existing production. We are also beginning to focus
upon the introduction of Windows NT in the latter part of 1996 and the
opportunities that will come about as this upgrade cycle makes its way through
corporate America. Finally, we will continue to stay focused upon the
telecommunications industry as the proliferation of digital wireless
communications devices changes the complexion of the current wireless
marketplace.
Gregory J. Hahn, CFA Thomas J. Pence
Senior Vice President Second Vice President
Portfolio Manager Portfolio Manager
REPORT FROM THE COMMON STOCK PORTFOLIO ADVISER
As we exit the first half of the year we feel compelled to say that we are
concerned the market lacks direction and leadership. At the time of this
writing, there is simply too much working against a rising market. Clearly
overspeculation has led to some excessive valuations, especially in smaller
stocks such as Iomega (with a P/E at 123 times at its peak), Presstek (270 times
earnings at its peak) and Netscape (285 times at its peak). More recently we
have seen some early signs that these stocks are going to start acknowledging
the law of gravity. Monetary and sentiment indicators also offer little support.
The employment report in early July once again caught everyone by surprise and
changed consensus thinking on the direction of interest rates for the balance of
the year. Finally, the supply/demand picture has turned ugly. Initial and
secondary offerings of stock reached a fever pitch in May and June. By all
indications, the quality of the companies trying to sell stock this time around
was quite poor. It is important to note that unlike the first quarter in which
new money flowing into mutual funds was hitting record levels and offerings of
new stock were extremely thin, this quarter saw declining inflows to the funds
and excessive new issuance.
With limited direction in the market, the critical question from our
clients' perspective should be how to proceed. We think the secret lies in
paying attention to the amusing aspects of this market. As we have discussed
before, it is the massive inflows of liquidity that have been fueling the
present advance. These funds, once in the market, ebb and flow in such a way
that tells us where the crowds are going. These crowds have always been around
and are no smarter or dumber than they have been at any other time in the
market's history, they are just so much bigger than they have ever been before.
Because of their sheer numbers, these crowds seem to be everywhere, in every
sector and in every quality stock that exists. This is the essence of the
efficient market theory. However, at Conseco Capital Management, we believe that
markets aren't always efficient. The verity of this belief is most apparent when
these crowds decide to change directions. It is during these emotional and
herd-like movements that value is given the least amount of attention. Just as
value was overlooked on the way up as we reached ridiculous valuation levels, we
believe value will be overlooked on the way down as these crowds fail to
recognize the intrinsic value of the enterprises represented by the stocks they
so desperately want out of their portfolios. In short, volatility will bring
opportunity.
Looking back on the quarter just ended, we saw several divergences worth
noting. To begin with, the Standard's & Poor's 500 (S&P 500) finally took a back
seat to the broader market of medium and small company stocks. The
liquidity-driven run up that perplexed us in January currently accounts for the
majority of the year to date returns for this index. Quite to the contrary, the
Russell 2000 had an exceptional quarter, turning in returns in excess of 5.00
percent. This index repeatedly made new highs through most of April and May. The
cause of this significant divergence can be traced to several factors. First,
the valuations of many small and mid-cap stocks relative to the larger caps was
compelling for some time. This is where we had found a great deal of value and
it stood to reason that the market would eventually recognize the disparity.
Secondly, the rally in the dollar probably played a role. Many large-cap
companies have international exposure which enjoyed the benefit of a weak dollar
for most of the recent economic expansion. As the dollar has begun to rise,
their advantage in foreign markets should dissipate. By contrast, many smaller
companies have little
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CONSECO CAPITAL MANAGEMENT, INC.
or no international exposure, so a rising dollar means less to them than their
growth opportunities in the domestic market. By the end of June however, we were
beginning to see excessive valuation levels in many of the smaller company
indices confirming our belief that when the crowds move, they move quickly and
with little regard for value.
Many of our client portfolios enjoyed a profitable quarter on an absolute
and relative basis, largely because of our exposure to attractively valued
high-quality companies in the mid- and small-cap sectors of the market. Our best
returns came from names such as Miller Industries, Philip Morris, Chesapeake
Energy, Comstock Resources and Qualcomm. Over the first half of the year, the
S&P 500 returned 10.09 percent with the strongest gains in consumer cyclicals,
capital goods, soft drinks, tobacco and other consumer staples.
Going forward, we will continue to focus upon increasing our exposure to
areas of the market that we believe will be less impaired by speculative
volatility and more correlated to underlying earnings growth. Such areas include
energy, where companies will continue to surprise investors with increasing
price realizations on their existing production. We are also beginning to focus
upon the introduction of Windows NT in the latter part of 1996 and the
opportunities that will come about as this upgrade cycle makes its way through
corporate America. Finally, we will continue to stay focused upon the
telecommunications industry as the proliferation of digital wireless
communications devices changes the complexion of the current wireless
marketplace.
Thomas J. Pence
Second Vice President
Portfolio Manager
REPORT FROM THE CORPORATE BOND PORTFOLIO ADVISER
Unexpected strength in economic data coupled with an expectation that the
Federal Open Market Committee may raise interest rates forced a sell off in the
fixed income markets early in the quarter. Through the second quarter, as
interest rates increased across all maturities, the yield curve flattened by 14
basis points. The two year treasury increased from a yield of 5.38 percent to
5.73 percent and the 30 year treasury rose to a yield of 6.91 percent from a
level of 6.64 percent at the beginning of the quarter. Securities with short
maturities provided better total return than securities with longer maturities,
while the Mortgage-Backed and the Asset-Backed sectors outperformed others.
Within the corporate sector, we have found more value in BBB rated debt
particularly in the airline, insurance and Yankee sectors that we have seen for
some time. With improving fundamentals in the airline industry, we invested in
American Airlines (A3/BBB-) and Delta Airlines (Baa3/BB+) Equipment Trust
Certificates. As spreads in the bank and finance sector have remained tight, we
believe there is more value in the debt of specific insurance companies. During
the quarter, we invested in SunAmerica (Baa1/A) and W. R. Berkeley (A3/A). The
insurance industry, in general, continues to show strong operating fundamentals
and the industry's access to capital has improved significantly. Also, we added
to our Yankee exposure by investing in PanAmerican Beverage (Baa3/BBB-) and
Sampoerna International (Baa3/NR).
The Mortgage-Backed Securities (MBS) sector, in general, performed well
during the quarter and the performance of the portfolio lagged the Lehman
Brothers Aggregate (LBA) benchmark partly because of its underweighting in MBS.
We believe certain Asset-Backed Securities (ABS) offer good relative value such
as the recently offered home improvement loan backed deal through LBA. ABS offer
very good total return characteristics which we believe are well suited to the
shorter maturity portion of the portfolio.
Looking forward, we will continue to implement our current strategy of
investing in securities which we believe are undervalued. The average quality of
the portfolio remains rated A/A2 and we will continue to manage the portfolio's
sensitivity to changes in interest rates by maintaining the duration of the
portfolio within +/-10 percent of the duration of the LBA.
Gregory J. Hahn, CFA
Senior Vice President
Portfolio Manager
REPORT FROM THE GOVERNMENT SECURITIES PORTFOLIO ADVISER
A trend toward higher interest rates was firmly in place for the first half
of 1996. Yields rose across the entire U.S. Treasury yield curve spectrum. After
peaking at a yield of 7.19 percent in mid-June, the thirty year U.S. Treasury
bond closed the second quarter of
<PAGE>
CONSECO CAPITAL MANAGEMENT, INC.
1996 yielding 6.89 percent. This represented a rise of 94 basis points (bps)
from year-end 1995. The performance of the two year U.S. Treasury note was
equally disappointing. Its yield rose 96 bps to finish at 6.11 percent. The
intermediate part of the curve fared the worst, with yields on U.S. Treasury
with maturities between five and ten years rising the most. Strong gains in
employment and concerns over a tighter monetary policy being pursued by the
Federal Reserve Board led to higher interest rates.
The major benefactor of the interest rate environment in the first half of
1996 was the mortgage-backed securities (MBS) market. For the six month period,
the Lehman Brothers MBS Index returned 0.35 percent. This compared to a negative
return of 1.79 percent for the Lehman Government Index. The main cause for the
out-performance of the MBS market was a subsiding of prepayment fears among
investors. Also, many traditional buyers, such as insurance companies,
re-entered the market in 1996 after remaining on the sidelines during much of
1995 due to regulatory concerns. Another sector of the fixed income market that
performed well was the asset-backed securities (ABS) market. The Lehman ABS
Index returned 0.61 percent for the period. Investors flocked to the ABS market
in response to tight spreads in the MBS and corporate sectors.
Looking ahead, the underperformance of the intermediate sector of the yield
curve, specifically, maturities between five and ten years, has led us to look
to this area of the yield curve for value. Also, the strong performance of both
the ABS and MBS markets has led us to be more conservative in regard to
investment in these sectors. As always, we will strive to invest in high
quality, liquid securities that provide superior relative value opportunities.
Joseph F. DeMichele
Vice President
Portfolio Manager
REPORT FROM THE MONEY MARKET PORTFOLIO ADVISER
During the second quarter of 1996, the Federal Open Market Committee,
(FOMC), met once on May 21st to discuss the economic and financial outlook and
implementation of monetary policy. Most key economic indicators reflected that
the economy had been growing at a moderate pace throughout the first half of the
second quarter. This was evident as consumer spending continued to grow at a
moderate pace as well as housing demand remained consistent as mortgage rates
continued to rise.
Non-farm payroll remained unchanged for the second quarter after the big
surprise in the first quarter's "change in non-farm payrolls" which indicated
that over 705,000 jobs were added to the economy during the month of February.
Federal Reserve members agreed that inflation seemed to be the primary issue
driving their ultimate decision on monetary policy. They also agreed that the
economy had grown at a much more healthy pace than anticipated. However, they
generally expected the expansion to slow keeping the economy close to its
potential. At the conclusion of the meeting, Federal Reserve officials voted to
maintain the current degree of pressure on reserve positions, thereby keeping
monetary policy unchanged. Furthermore, officials gave no solid indication as to
whether or not any change would be made before the next meeting scheduled for
July 3rd.
The portfolio achieved a 1.33 percent return versus the benchmark return of
1.29 percent. The benchmark used for the portfolio is weighted by a combination
of 75 percent of the commercial paper index and 25 percent of the Payden & Rygel
1-Year Treasury Bill index. The average number of days for the portfolio, a
measure of duration, as of June 28th was 62.6 versus 52.9 in the first quarter.
This extension in the average number of days combined with the purchase of short
corporate bonds and called corporate bonds added to the performance over the
benchmark.
Throughout the second quarter, top-tier 30-day commercial paper went from
trading around a 5.28 in early April to a 5.38 on June 28th. The yield on the
3-month T-Bill varied between 4.95 and 5.27 to end up unchanged for the quarter
at a 5.15. The 1-year Bill went from a 5.38 on April 1st to a 5.67 on June 28th.
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
United States Government and agency obligations, top-tier commercial paper, and
highly rated short corporate debt.
William F. Ficca
Portfolio Manager
<PAGE>
<TABLE>
<CAPTION>
CONSECO SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES
June 30, 1996
(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 or amortized cost -
$ 11,179,067, $118,037,597,
$16,323,170, $4,052,795 and
$5,095,362, respectively) ......... $ 12,185,014 $136,648,953 $16,114,965 $ 3,990,814 $ 5,095,362
Cash ....................................... 241,880 1,326,208 386,466 187,667 58,003
Accrued interest and dividends ............. 96,605 69,511 274,949 38,616 19,601
Receivable for securities sold ............. 1,314,654 15,353,301 972,628 -- 255,000
Receivable for shares sold ................. 13,659 -- 42,372 201 2,170
------------- ------------- ------------ ------------- -------------
Total assets ...................... 13,851,812 153,397,973 17,791,380 4,217,298 5,430,136
------------- ------------- ------------ ------------- -------------
Liabilities:
Accrued expenses ........................... 7,125 85,028 8,755 2,255 1,751
Payable for securities purchased ........... 1,421,363 16,292,691 1,164,104 -- 254,883
Payable for shares redeemed ................ -- 64,087 --
------------- ------------- ------------ ------------- -------------
Total liabilities ................. 1,428,488 16,441,806 1,172,859 2,255 256,634
------------- ------------- ------------ ------------- -------------
Net assets (Note 5) ............... $ 12,423,324 $136,956,167 $16,618,521 $ 4,215,043 $ 5,173,502
============= ============= ============ ============= =============
Shares outstanding (unlimited
number of shares authorized) ............... 956,965 6,670,961 1,694,672 356,359 5,173,502
Net asset value, offering and
redemption price per share ................. $ 12.98 $ 20.53 $ 9.81 $ 11.83 $ 1.00
<FN>
The accompanying notes are an integral part of these financial statements
</FN>
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
CONSECO SERIES TRUST
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 1996
(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 .................................. $ 14,514 $ 276,632 $ -- $ -- $ --
Amortization ............................... 1,477 -- -- -- --
Interest ................................... 179,926 208,354 586,403 147,430 135,694
--------------- --------------- -------------- --------------- -------------
Total investment income ........... 195,917 484,986 586,403 147,430 135,694
--------------- --------------- -------------- --------------- -------------
Expenses:
Investment advisory fees ................... 29,830 363,680 40,769 11,136 6,269
Compensation expenses ...................... 6,174 68,860 8,693 2,297 2,679
Custodial fees ............................. 16,636 16,108 7,914 5,894 5,024
Other ...................................... 3,423 38,189 4,862 1,290 1,283
--------------- --------------- -------------- --------------- -------------
Total expenses .................... 56,063 486,837 62,238 20,617 15,255
Less: Expenses charged to
the Adviser (Note 3) .............. 15,386 1,930 5,162 5,026 3,971
--------------- --------------- -------------- --------------- -------------
Net expenses ............. 40,677 484,907 57,076 15,591 11,284
--------------- --------------- -------------- --------------- -------------
Net investment income .... 155,240 79 529,327 131,839 124,410
--------------- --------------- -------------- --------------- -------------
Net realized gain (loss) on sale
of investments ............................. 841,086 15,342,468 (73,400) 52,550 --
--------------- --------------- -------------- --------------- -------------
Unrealized appreciation (depreciation) of investments:
Beginning of period ........................ 796,338 13,279,475 363,685 197,393 --
End of period .............................. 1,005,947 18,611,356 (208,205) (61,981) --
--------------- --------------- -------------- --------------- -------------
Net change in unrealized
appreciation (depreciation)
of investments ............... 209,609 5,331,881 (571,890) (259,374) --
--------------- --------------- -------------- --------------- -------------
Net realized and unrealized
gain (loss) on investments ... 1,050,695 20,674,349 (645,290) (206,824) --
--------------- --------------- -------------- --------------- -------------
Net increase (decrease) in net
assets from operations ....... $ 1,205,935 $ 20,674,428 $ (115,963) $ (74,985) 124,410
=============== =============== ============== =============== =============
<FN>
The accompanying notes are an integral part of these financial statements.
</FN>
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
CONSECO SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
For the Six Months Ended June 30, 1996 and the Year Ended December 31, 1995
Asset Allocation Common Stock
Portfolio Portfolio
============================= ===========================
Six Months year ended six months year ended
ended June 30, december 31, ended june 30, december 31,
1996 1995 1996 1995
(unaudited) (audited) (unaudited) (audited)
============= ============= ============= =============
Changes from operations:
<S> <C> <C> <C> <C>
Net investment income ............................... $ 155,240 $ 315,668 $ 79 $ 1,639,347
Net realized gain (loss) on sale of investments ..... 841,086 986,254 15,342,468 17,257,854
Net change in unrealized appreciation
(depreciation) of investments .................... 209,609 763,020 5,331,881 9,104,998
------------- ------------- ------------- -------------
Net increase (decrease) in
net assets from operations ................. 1,205,935 2,064,942 20,674,428 28,002,199
------------- ------------- ------------- -------------
Net income equalization (Note 2) ....................... 7,835 (45,637) 80,214 (304,482)
------------- ------------- ------------- -------------
Dividends to shareholders from net
investment income and net realized
short-term capital gains ............................. (740,289) (1,088,856) (10,872,037) (13,216,278)
------------- ------------- ------------- -------------
Distributions to shareholders of net realized
long-term capital gains .............................. -- (190,541) -- (4,375,576)
------------- ------------- ------------- -------------
Capital share transactions:
Net proceeds from sale of shares .................... 1,916,045 2,337,932 7,805,095 10,907,804
Net asset value of shares issued from reinvest-
ment of dividends and distributions .............. 732,454 1,325,034 10,791,823 17,896,336
Cost of shares redeemed ............................. (282,031) (991,889) (1,158,881) (4,034,206)
------------- ------------- ------------- -------------
Net increase (decrease) in net assets from
capital share transactions ................. 2,366,468 2,671,077 17,438,037 24,769,934
------------- ------------- ------------- -------------
Net increase (decrease) in net assets ......... 2,839,949 3,410,985 27,320,642 34,875,797
Net assets, beginning of period ........................ 9,583,375 6,172,390 109,635,525 74,759,728
------------- ------------- ------------- -------------
Net assets, end of period (Note 5) ............ $ 12,423,324 $ 9,583,375 $136,956,167 $109,635,525
============= ============= ============= =============
Share data:
Shares sold ......................................... 148,404 187,752 382,108 576,891
Shares issued from reinvestment of
dividends and distributions ...................... 56,770 106,975 528,469 938,043
Shares redeemed ..................................... (21,647) (80,133) (57,628) (215,685)
------------- ------------- ------------- -------------
Net increase (decrease) in number
of shares outstanding ...................... 183,527 214,594 852,949 1,299,249
============= ============= ============= =============
<FN>
The accompanying notes are an integral part of these financial statements.
</FN>
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
CONSECO SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS - (CONTINUED)
For the Six Months Ended June 30, 1996 and the Year Ended December 31, 1995
CORPORATE BOND GOVERNMENT SECURITIES
PORTFOLIO PORTFOLIO
============================= ===========================
SIX MONTHS YEAR ENDED SIX MONTHS YEAR ENDED
ENDED JUNE 30, DECEMBER 31, ENDED JUNE 30, DECEMBER 31,
1996 1995 1996 1995
(UNAUDITED) (AUDITED) (UNAUDITED) (AUDITED)
============= ============= ============= =============
Changes from operations:
<S> <C> <C> <C> <C>
Net investment income ............................... $ 529,327 $ 980,815 $ 131,839 $ 293,496
Net realized gain (loss) on sale of investments ..... (73,400) 330,899 52,550 205,153
Net change in unrealized appreciation
(depreciation) of investments .................... (571,890) 1,075,255 (259,374) 249,884
------------- ------------- ------------- -------------
Net increase (decrease) in
net assets from operations ................. (115,963) 2,386,969 (74,985) 748,533
------------- ------------- ------------- -------------
Net income equalization (Note 2) ....................... 9,520 (14,120) (906) 42,608
------------- ------------- ------------- -------------
Dividends to shareholders from net
investment income and net realized
short-term capital gains ............................. (456,987) (1,385,323) (132,854) (269,374)
------------- ------------- ------------- -------------
Distributions to shareholders of net realized
long-term capital gains .............................. -- -- -- --
------------- ------------- ------------- -------------
Capital share transactions:
Net proceeds from sale of shares .................... 1,644,738 1,739,415 166,331 494,412
Net asset value of shares issued from reinvest-
ment of dividends and distributions .............. 447,467 1,399,443 133,760 226,766
Cost of shares redeemed ............................. (956,622) (983,079) (488,910) (1,343,123)
------------- ------------- ------------- -------------
Net increase (decrease) in net assets from
capital share transactions ................ 1,135,583 2,155,779 (188,819) (621,945)
------------- ------------- ------------- -------------
Net increase (decrease) in net assets ......... 572,153 3,143,305 (397,564) (100,178)
Net assets, beginning of period ........................ 16,046,368 12,903,063 4,612,607 4,712,785
------------- ------------- ------------- -------------
Net assets, end of period (Note 5) ............ $ 16,618,521 $ 16,046,368 $ 4,215,043 $ 4,612,607
============= ============= ============= =============
Share data:
Shares sold ......................................... 165,746 174,704 13,683 41,122
Shares issued from reinvestment of
dividends and distributions ...................... 45,078 140,379 11,083 18,550
Shares redeemed ..................................... (97,412) (99,878) (41,085) (112,066)
------------- ------------- ------------- -------------
Net increase (decrease) in number
of shares outstanding ...................... 113,412 215,205 (16,319) (52,394)
============= ============= ============= =============
<FN>
The accompanying notes are an integral part of these financial statements.
</FN>
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
CONSECO SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS - (CONTINUED)
For the Six Months Ended June 30, 1996 and the Year Ended December 31, 1995
Money Market
Portfolio
=============================
SIX MONTHS YEAR ENDED
ENDED JUNE 30, DECEMBER 31,
1996 1995
(UNAUDITED) (AUDITED)
============= =============
Changes from operations:
<S> <C> <C>
Net investment income ............................... $ 124,410 $ 270,384
Net realized gain (loss) on sale of investments ..... -- --
Net change in unrealized appreciation
(depreciation) of investments .................... -- --
------------- -------------
Net increase (decrease) in
net assets from operations ................. 124,410 270,384
------------- -------------
Net income equalization (Note 2) ....................... -- --
------------- -------------
Dividends to shareholders from net
investment income and net realized
short-term capital gains ............................. (124,410) (270,384)
------------- -------------
Distributions to shareholders of net realized
long-term capital gains .............................. -- --
------------- -------------
Capital share transactions:
Net proceeds from sale of shares .................... 1,105,371 2,344,876
Net asset value of shares issued from reinvest-
ment of dividends and distributions .............. 124,410 270,384
Cost of shares redeemed ............................. (1,452,156) (2,324,750)
------------- -------------
Net increase (decrease) in net assets from
capital share transactions ................. (222,375) 290,510
------------- -------------
Net increase (decrease) in net assets ......... (222,375) 290,510
Net assets, beginning of period ........................ 5,395,877 5,105,367
------------- -------------
Net assets, end of period (Note 5) ............ $ 5,173,502 $ 5,395,887
============= =============
Share data:
Shares sold ......................................... 1,105,371 2,344,876
Shares issued from reinvestment of
dividends and distributions ...................... 124,410 270,384
Shares redeemed ..................................... (1,452,156) (2,324,750)
------------- -------------
Net increase (decrease) in number
of shares outstanding ...................... (222,375) 290,510
============= =============
<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, 1996
(UNAUDITED)
NUMBER
OF SHARES SECURITY VALUE
- -------------------------------------------------------------------------------
COMMON STOCKS
(52.78% of total investments) (a)
AIR TRANSPORTATION (1.30%)
9,950 Reno Air Inc. (b) ........................... $ 113,181
3,190 Trans World Airlines, Inc. (b) .............. 45,457
---------------
158,638
---------------
APPAREL AND ACCESSORY STORES (3.11%)
10,800 Finish Line Inc. Class A (b) ................ 309,150
8,550 Paul-Harris Stores, Inc. (b) ................ 69,469
---------------
378,619
---------------
BUSINESS SERVICES (4.00%)
2,550 Centennial Technologies, Inc. (b) ........... 76,181
12,950 IKOS Systems, Inc. (b) ...................... 273,569
4,500 PRI Automation, Inc. (b) .................... 137,250
---------------
487,000
---------------
CHEMICALS AND ALLIED PRODUCTS (1.93%)
15,400 Nature's Bounty Inc. (b) .................... 154,955
7,950 Parlux Fragrances Inc. (b) .................. 80,494
---------------
235,449
---------------
COMMUNICATIONS BY PHONE,
TELEVISION, RADIO, CABLE (1.80%)
6,225 Brightpoint, Inc. (b) ....................... 133,838
2,209 Viacom Inc. Class B (b) ..................... 85,875
---------------
219,713
---------------
DEPOSITORY INSTITUTIONS (1.04%)
1,800 The Chase Manhattan Corporation ............. 127,125
---------------
DURABLE GOODS - WHOLESALE (1.76%)
6,450 Fischer Imaging Corporation (b) ............. 77,400
5,900 Insight Enterprises, Inc. (b) ............... 137,175
---------------
214,575
---------------
EATING AND DRINKING PLACES (1.33%)
12,100 Cooker Restaurant Corporation ............... $ 161,837
---------------
ELECTRIC, GAS, WATER, COGENERATION,
SANITARY SERVICES (2.52%)
13,800 Allied Waste Industries Inc. (b) ............ 122,475
4,430 Coastal Corporation ......................... 184,953
---------------
307,428
---------------
ELECTRICAL EQUIPMENT, EXCEPT
COMPUTERS (5.16%)
5,900 California Micro Devices Corporation (b) .... 52,363
2,700 LSI Logic Corporation (b) ................... 70,200
4,600 Qualcomm Inc. (b) ........................... 244,375
9,850 Ultrak, Inc. (b) ............................ 168,681
7,900 Xicor, Inc. (b) ............................. 92,825
---------------
628,444
---------------
FABRICATED METAL, EXCEPT MACHINERY,
TRANSPORTATION EQUIPMENT (2.60%)
11,075 Miller Industries, Inc. (b) ................. 317,022
---------------
FOOD AND KINDRED PRODUCTS (0.64%)
750 Philip Morris Companies Inc. ................ 78,000
---------------
FOOD STORES (1.21%)
4,450 Safeway, Inc. (b) ........................... 146,850
---------------
GENERAL MERCHANDISE STORES (0.72%)
2,475 Proffitt's Inc. (b) ......................... 87,863
---------------
HEALTH SERVICES (1.05%)
7,800 Applied Bioscience International Inc. (b) ... 81,900
5,700 IBAH, Inc. (b) .............................. 45,600
---------------
127,500
---------------
INDUSTRIAL, COMMERCIAL MACHINERY,
COMPUTERS (3.72%)
3,700 Micros Systems Inc. (b) ..................... 103,138
12,200 Network General Corporation (b) ............. 262,300
15,000 Silicon Valley Research, Inc. (b) ........... 88,125
---------------
453,563
---------------
INSURANCE COMPANIES (2.66%)
10,275 Multicare Companies Inc. (b) ................ 195,225
7,900 USF&G Corporation ........................... 129,363
---------------
324,588
---------------
(Continued)
<PAGE>
CONSECO SERIES TRUST
ASSET ALLOCATION PORTFOLIO
STATEMENT OF INVESTMENTS IN SECURITIES - (CONTINUED)
June 30, 1996
(UNAUDITED)
NUMBER
OF SHARES SECURITY VALUE
- -------------------------------------------------------------------------------
LEATHER PRODUCTS (0.95%)
14,950 Genesco Inc. (b) ............................ $ 115,863
---------------
MEASURING INSTRUMENTS, PHOTO GOODS,
WATCHES (1.15%)
8,500 GenRad, Inc. (b) ............................ 140,250
---------------
NON-BUILDING CONSTRUCTION -
HEAVY CONSTRUCTION (0.89%)
1,950 Halliburton Co. ............................. 108,225
---------------
OIL AND GAS EXTRACTION (7.02%)
5,870 Apache Corporation .......................... 192,976
3,350 Chesapeake Energy Corp. (b) ................. 301,081
10,600 Comstock Resources Inc. (b) ................. 107,982
7,250 Forest Oil Corp. (b) ........................ 98,781
9,500 Oryx Energy Company (b) ..................... 154,375
---------------
855,195
---------------
PAPER AND ALLIED PRODUCTS (0.90%)
3,900 Schweitzer-Mauduit International, Inc. ...... 109,687
---------------
PETROLEUM-REFINING AND
RELATED INDUSTRIES (1.77%)
4,300 Tosco Corporation ........................... 216,075
---------------
PRINTING, PUBLISHING AND
ALLIED LINES (1.26%)
4,100 Central Newspapers, Inc. .................... 153,750
---------------
REAL ESTATE OPERATORS, AGENTS,
MANAGERS (0.49%)
2,900 NHP, Inc. (b) ............................... 59,811
---------------
SECURITY AND COMMODITY
BROKERS (1.31%)
6,700 PaineWebber Group Inc. ...................... 159,125
---------------
TRANSPORTATION EQUIPMENT (0.49%)
2,850 Rohr Inc. (b) ............................... 59,494
---------------
TOTAL COMMON STOCKS
(COST $5,434,099) 6,431,689
===============
PREFERRED STOCKS
(2.79% OF TOTAL INVESTMENTS) (A)
PRINTING, PUBLISHING
AND ALLIED LINES (2.79%)
350 Time Warner Inc.,
Series K, (144A) 10.250% .................... 339,500
---------------
TOTAL PREFERRED STOCKS
(cost $350,000) 339,500
---------------
PRINCIPAL
AMOUNT SECURITY VALUE
- -------------------------------------------------------------------------------
CORPORATE BONDS
(34.42% Of total investments) (a)
AIR TRANSPORTATION (4.23%)
$ 500,000 Trans World Airlines, Inc.,
12.000%, due 11/03/1998...................... $ 515,625
---------------
APPAREL AND OTHER
FINISHED PRODUCTS (1.67%)
200,000 Guess?, Inc., 9.500%, due 08/15/2003 ........ 204,000
---------------
BUSINESS SERVICES (4.14%)
500,000 Valassis Inserts,
8.375%, due 03/15/1997....................... 504,375
---------------
COMMUNICATIONS BY PHONE, TELEVISION,
RADIO, CABLE (8.08%)
200,000 Century Communications Corp.,
0.000%, due 03/15/2003....................... 98,000
200,000 Continental Cablevision, Inc.,
8.300%, due 05/15/2006 ...................... 204,000
200,000 Lenfest Communications,
8.375%, due 11/01/2005. ..................... 183,000
200,000 News America Holdings,
8.450%, due 08/01/2034 ...................... 212,500
200,000 Peoples Telephone Co., Inc.,
12.250%, due 07/15/2002 ..................... 194,750
100,000 Viacom Inc., 8.000%, due 07/07/2006 ......... 92,250
---------------
984,500
---------------
Depository Institutions (1.64%)
200,000 Anchor Bancorp,
8.9375%, due 07/09/2003 ..................... 200,250
---------------
<PAGE>
(Continued)
CONSECO SERIES TRUST
ASSET ALLOCATION PORTFOLIO
STATEMENT OF INVESTMENTS IN SECURITIES - (CONTINUED)
June 30, 1996
(UNAUDITED)
PRINCIPAL
AMOUNT SECURITY VALUE
- -------------------------------------------------------------------------------
ELECTRIC, GAS, WATER, COGENERATION,
SANITARY SERVICES (1.79%)
$ 200,000 Seagull Energy Corp.,
8.625%, due 08/01/2005 ...................... $ 188,750
29,000 System Energy Resources, Inc.,
11.375%, due 09/01/2016 ..................... 29,000
---------------
217,750
---------------
FOOD AND KINDRED PRODUCTS (1.80%)
200,000 PT Polysindo EKA Perkasa,
13.000%, due 06/15/2001 ..................... 219,250
---------------
FOOD STORES (0.89%)
100,000 Safeway, Inc., 10.000%, due 12/01/2001 ...... 108,875
---------------
GENERAL MERCHANDISE STORES (0.79%)
100,000 Strawbridge Clothier,
6.625%, due 10/15/2003 ...................... 95,952
---------------
INDUSTRIAL, COMMERCIAL MACHINERY,
COMPUTERS (1.67%)
200,000 Unisys Corporation, (144A),
12.000%, due 04/15/2003 ..................... 203,750
---------------
INSURANCE COMPANIES (0.58%)
100,000 Home Holdings, Inc.,
8.625%, due 12/15/2003 ...................... 71,125
---------------
LUMBER AND WOOD PRODUCTS,
EXCEPT FURNITURE (1.89%)
250,000 Boise Cascade Corporation,
7.350%, due 02/01/2016 ...................... 230,625
---------------
MOTOR FREIGHT TRANSPORTATION,
WAREHOUSES (1.65%)
200,000 Amerco, 7.850%, due 05/15/2003 .............. 200,750
---------------
PAPER AND ALLIED PRODUCTS (0.88%)
100,000 Westvaco Corporation,
10.300%, due 01/15/2019 ..................... 106,750
---------------
SECURITY AND COMMODITY
BROKERS (0.90%)
100,000 Lehman Brothers Holdings, Inc.,
8.800%, due 03/01/2015 ...................... 110,125
---------------
TRANSPORTATION EQUIPMENT (1.81%)
200,000 Rohr Inc., 11.625%, due 05/15/2003 .......... 220,500
---------------
TOTAL CORPORATE BONDS
(COST $4,175,344) 4,194,202
---------------
COMMERCIAL PAPER
(10.01% OF TOTAL INVESTMENTS)
ELECTRIC, GAS, WATER, COGENERATION,
SANITARY SERVICES (10.01%)
610,000 Emerson Electric Company, Inc.,
5.520%, due 07/01/1996 ...................... 609,810
610,000 Kentucky Utilities Company, Inc.,
5.600%, due 07/01/1996 ...................... 609,813
---------------
1,219,623
---------------
Total commercial paper
(cost $1,219,624) 1,219,623
---------------
Total investments in
securities (cost $11,179,067) (c) $ 12,185,014
===============
(a) Using S.I.C. codes prepared by the Technical Committee on Industry
Classifications.
(b) Non-dividend paying common stock.
(c) Cost also represents cost for federal income tax purposes.
The accompanying notes are an integral part of these financial statements.
<PAGE>
CONSECO SERIES TRUST
COMMON STOCK PORTFOLIO
STATEMENT OF INVESTMENTS IN SECURITIES
June 30, 1996
(UNAUDITED)
NUMBER
OF SHARES SECURITY VALUE
- -------------------------------------------------------------------------------
COMMON STOCKS
( 90.64% OF TOTAL INVESTMENTS) (A)
AIR TRANSPORTATION (2.11%)
173,500 Reno Air Inc. (b) ........................... $ 1,973,563
64,022 Trans World Airlines, Inc. (b) .............. 912,314
---------------
2,885,877
---------------
APPAREL AND ACCESSORY STORES (4.15%)
151,000 Finish Line Inc. Class A (b) ................ 4,322,375
165,500 Paul-Harris Stores, Inc. (b) ................ 1,344,688
---------------
5,667,063
---------------
BUSINESS SERVICES (6.91%)
51,100 Centennial Technologies, Inc. (b) ........... 1,526,612
234,000 IKOS Systems, Inc. (b) ...................... 4,943,250
97,300 PRI Automation, Inc. (b) .................... 2,967,650
---------------
9,437,512
---------------
CHEMICALS AND ALLIED PRODUCTS (3.21%)
282,300 Nature's Bounty Inc. (b) .................... 2,840,503
153,200 Parlux Fragrances Inc. (b) .................. 1,551,150
---------------
4,391,653
---------------
Communications by Phone, Television,
Radio, Cable (3.00%)
112,000 Brightpoint, Inc. (b) ....................... 2,408,000
43,464 Viacom Inc. Class B (b) ..................... 1,689,663
---------------
4,097,663
---------------
DEPOSITORY INSTITUTIONS (1.81%)
35,100 The Chase Manhattan Corporation ............. 2,478,937
---------------
DURABLE GOODS - WHOLESALE (2.99%)
118,900 Fischer Imaging Corporation (b) ............. 1,426,800
114,400 Insight Enterprises, Inc. (b) ............... 2,659,800
---------------
4,086,600
---------------
EATING AND DRINKING PLACES (1.88%)
191,600 Cooker Restaurant Corporation ............... 2,562,650
---------------
ELECTRIC, GAS, WATER, COGENERATION,
SANITARY SERVICES (6.60%)
257,800 Allied Waste Industries Inc. (b) ............ 2,287,975
81,500 Coastal Corporation ......................... 3,402,625
53,900 Edison International ........................ 949,988
85,300 Unicom Corporation .......................... 2,377,738
---------------
9,018,326
---------------
ELECTRICAL EQUIPMENT,
EXCEPT COMPUTERS (8.66%)
119,200 California Micro Devices
Corporation (b) ............................. $ 1,057,900
53,100 LSI Logic Corporation (b) ................... 1,380,600
84,959 Qualcomm Inc. (b) ........................... 4,513,447
179,200 Ultrak, Inc. (b) ............................ 3,068,800
154,500 Xicor, Inc. (b) ............................. 1,815,375
---------------
11,836,122
---------------
FABRICATED METAL, EXCEPT MACHINERY,
TRANSPORTATION EQUIPMENT (4.62%)
220,450 Miller Industries, Inc. (b) ................. 6,310,381
---------------
FOOD AND KINDRED PRODUCTS (1.05%)
13,775 Philip Morris Companies Inc. ................ 1,432,600
---------------
FOOD STORES (1.90%)
78,700 Safeway, Inc. (b) ........................... 2,597,100
---------------
GENERAL MERCHANDISE STORES (1.31%)
50,375 Proffitt's Inc. (b) ......................... 1,788,312
---------------
HEALTH SERVICES (1.82%)
153,500 Applied Bioscience
International Inc. (b) ...................... 1,611,750
109,300 IBAH, Inc. (b) .............................. 874,400
---------------
2,486,150
---------------
INDUSTRIAL, COMMERCIAL MACHINERY,
COMPUTERS (6.41%)
78,300 Micros Systems Inc. (b) ..................... 2,182,613
226,000 Network General Corporation (b) ............. 4,859,000
291,600 Silicon Valley Research, Inc. (b) ........... 1,713,150
---------------
8,754,763
---------------
(Continued)
<PAGE>
CONSECO SERIES TRUST
COMMON STOCK PORTFOLIO
STATEMENT OF INVESTMENTS IN SECURITIES - (CONTINUED)
June 30, 1996
(UNAUDITED)
NUMBER
OF SHARES SECURITY VALUE
- -------------------------------------------------------------------------------
INSURANCE COMPANIES (4.52%)
195,900 Multicare Companies Inc. (b) ................ $ 3,722,100
150,300 USF&G Corporation ........................... 2,461,163
---------------
6,183,263
---------------
LEATHER PRODUCTS (1.59%)
281,200 Genesco Inc. (b) ............................ 2,179,300
---------------
MEASURING INSTRUMENTS, PHOTO GOODS,
WATCHES (1.92%)
158,800 GenRad, Inc. (b) ............................ 2,620,200
---------------
NON-BUILDING CONSTRUCTION -
HEAVY CONSTRUCTION (1.56%)
38,500 Halliburton Co. ............................. 2,136,750
---------------
OIL AND GAS EXTRACTION (11.98%)
115,850 Apache Corporation .......................... 3,808,569
61,600 Chesapeake Energy Corp. (b) ................. 5,536,300
221,800 Comstock Resources Inc. (b) ................. 2,259,476
142,500 Forest Oil Corp. (b) ........................ 1,941,562
174,000 Oryx Energy Company (b) ..................... 2,827,500
---------------
16,373,407
---------------
PAPER AND ALLIED PRODUCTS (1.60%)
78,000 Schweitzer-Mauduit International, Inc. ...... 2,193,750
---------------
PETROLEUM REFINING AND
RELATED INDUSTRIES (3.05%)
83,000 Tosco Corporation ........................... 4,170,750
---------------
PRINTING, PUBLISHING AND
ALLIED LINES (2.12%)
77,100 Central Newspapers, Inc. .................... 2,891,250
---------------
REAL ESTATE OPERATORS, AGENTS,
MANAGERS (0.90%)
59,500 NHP, Inc. (b) ............................... 1,227,187
---------------
SECURITY AND COMMODITY
BROKERS (2.14%)
123,200 PaineWebber Group Inc. ...................... 2,926,000
---------------
TRANSPORTATION EQUIPMENT (0.83%)
54,100 Rohr Inc. (b) ............................... 1,129,337
---------------
TOTAL COMMON STOCKS
(cost $105,251,547) 123,862,903
---------------
PRINCIPAL
AMOUNT SECURITY VALUE
- -------------------------------------------------------------------------------
COMMERCIAL PAPER
( 9.36% of total investments)
ELECTRIC, GAS, WATER, COGENERATION,
SANITARY SERVICES (9.36%)
$ 6,700,000 Emerson Electric Company, Inc.,
5.520%, due 07/01/1996....................... $ 6,088,105
6,090,000 Kentucky Utilities Company, Inc.,
5.600%, due 07/001/1996 ..................... 6,697,945
---------------
TOTAL COMMERCIAL PAPER
(cost $12,786,050) 12,786,050
---------------
TOTAL INVESTMENTS IN SECURITIES
(cost $118,037,597) (c) ..................... $ 136,648,953
===============
(a) Using S.I.C. codes prepared by the Technical Committee on Industry
Classifications.
(b) Non-dividend paying common stock.
(c) Cost also represents cost for federal income tax purposes.
The accompanying notes are an integral part of these financial statements.
<PAGE>
CONSECO SERIES TRUST
CORPORATE BOND PORTFOLIO
STATEMENT OF INVESTMENTS IN SECURITIES
June 30, 1996
(UNAUDITED)
PRINCIPAL
AMOUNT SECURITY VALUE
- -------------------------------------------------------------------------------
CORPORATE BONDS
(72.25% OF TOTAL INVESTMENTS) (A)
AIR TRANSPORTATION (4.92%)
$ 224,052 American Airlines Inc. 1991 ETC-A Pass
Thru, 9.710%, due 01/02/2007 ................ $ 248,527
180,844 Delta Airlines 1992 ETC-C,
8.540%, due 01/02/2007 ...................... 186,948
45,211 Delta Airlines 1992 ETC-D,
8.540%, due 01/02/2007 ...................... 46,737
203,168 Delta Airlines 1993-C1 Pass Thru Trust,
8.950%, due 01/01/2012 ...................... 217,381
100,000 United Airlines 1996-A1 Pass Thru
Certificate, 7.270%, due 01/30/2013 ......... 93,375
---------------
792,968
---------------
CHEMICALS AND ALLIED PRODUCTS (1.87%)
300,000 FMC Corporation, 7.750%, due 07/01/2011 ..... 301,371
---------------
COMMUNICATIONS BY PHONE, TELEVISION,
RADIO, CABLE (5.19%)
300,000 Continental Cablevision, Inc.,
8.300%, due 05/15/2006 ...................... 306,000
500,000 News America Holdings,
8.450%, due 08/01/2034 ...................... 531,250
---------------
837,250
---------------
DEPOSITORY INSTITUTIONS (4.75%)
300,000 First Bank National Association,
6.250%, due 08/15/2005 ...................... 276,570
250,000 First National Bank of Omaha,
7.320%, due 12/01/2010 ...................... 236,875
250,000 Keycorp, MTN, 7.300%, due 02/03/2003 ........ 252,188
---------------
765,633
---------------
ELECTRIC, GAS, WATER, COGENERATION,
SANITARY SERVICES (8.59%)
300,000 Coastal Corporation,
10.000%, due 02/01/2001 ..................... 333,750
300,000 Commonwealth Edison Co.,
6.375%, due 10/01/1998 ...................... 297,375
400,000 Ohio Edison Co., 6.875%, due 09/15/1999 ..... 395,000
300,000 Tenneco, 10.000%, due 03/15/2008 ............ 358,500
---------------
1,384,625
---------------
FINANCE (1.63%)
250,000 Ford Capital BV., 9.000%, due 08/15/1998 .... 262,500
---------------
FOOD AND KINDRED PRODUCTS (2.83%)
300,000 PanAmerican Beverage Inc.,
8.125%, due 04/01/2003 ...................... 303,000
150,000 Philip Morris Co., 7.625%, due 05/15/2002 ... 153,563
---------------
456,563
---------------
GENERAL MERCHANDISE STORES (1.19%)
200,000 Strawbridge Clothier,
6.625%, due 10/15/2003 ...................... 191,904
---------------
INSURANCE COMPANIES (11.03%)
250,000 American Reinsurance,
10.875%, due 09/15/2004 ..................... 275,625
500,000 Berkley (W.R.), 9.875%, due 05/15/2008 ...... 588,750
400,000 Farmers Insurance Exchange (Surplus
Notes)(144A), 8.500%, due 08/01/2004 ........ 405,000
100,000 Integon Corporation,
9.500%, due 10/15/2001 ...................... 105,625
400,000 USF&G Corporation,
7.000%, due 05/15/1998. ..................... 402,500
---------------
1,777,500
---------------
LUMBER AND WOOD PRODUCTS,
EXCEPT FURNITURE (1.81%)
300,000 West Fraser Mill (144A),
7.250%, due 09/15/2002 ...................... 292,500
---------------
MOTOR FREIGHT TRANSPORTATION,
WAREHOUSES (2.49%)
400,000 Amerco, 7.850%, due 05/15/2003 .............. 401,500
---------------
NON-DEPOSITORY CREDIT
INSTITUTIONS (2.20%)
250,000 Fairfax Financial,
7.750%, due 12/15/2003 ...................... 252,813
100,000 SunAmerica Inc.,
8.125%, due 04/28/2023 ...................... 101,000
---------------
353,813
---------------
OIL AND GAS EXTRACTION (4.87%)
400,000 BJ Services (144A),
7.000%, due 02/01/2006 ...................... 366,860
400,000 Parker & Parsley Petroleum,
8.875%, due 04/15/2005 ...................... 418,000
---------------
784,860
PAPER AND ALLIED PRODUCTS (1.33%)
200,000 Westvaco Corporation,
10.300%, due 01/15/2019 ..................... 213,500
---------------
PETROLEUM - REFINING AND
RELATED INDUSTRIES (3.10%)
100,000 Lyondell Petrochemical Company,
8.250%, due 03/15/1997 ...................... 101,000
400,000 Tosco Corporation,
7.625%, due 05/15/2006 ...................... 398,000
---------------
499,000
---------------
(Continued)
<PAGE>
CONSECO SERIES TRUST
CORPORATE BOND PORTFOLIO
STATEMENT OF INVESTMENTS IN SECURITIES - (CONTINUED)
June 30, 1996
(UNAUDITED)
PRINCIPAL
AMOUNT SECURITY VALUE
- -------------------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS (1.82%)
$ 300,000 Duke Realty,
7.250%, due 09/22/2002 ...................... $ 292,875
---------------
REAL ESTATE OPERATORS, AGENTS,
MANAGERS (1.55%)
250,000 Trinet Corporation Realty Trust,
7.300%, due 05/15/2001 ...................... 249,375
---------------
SECURITY AND COMMODITY
BROKERS (5.35%)
250,000 Lehman Brothers Holdings, Inc.,
8.800%, due 03/01/2015 ...................... 275,312
250,000 Salomon, Inc.,
6.750%, due 08/15/2003 ...................... 236,875
350,000 Salomon, Inc.,
6.700%, due 12/01/1998 ...................... 350,000
---------------
862,187
---------------
STONE, CLAY, GLASS,
CONCRETE PRODUCTS (2.92%)
500,000 Case Corporation,
7.250%, due 01/15/2016 ...................... 470,000
---------------
TOBACCO PRODUCTS (1.58%)
250,000 Sampoerna International Finance Co.
(144A), 8.375%, due 06/15/2006 .............. 254,375
---------------
TRANSIT AND PASSENGER
TRANSPORTATION (1.23%)
200,000 National Car Rental 1996-1 A2,
6.800%, due 04/20/2000 ...................... 198,500
---------------
TOTAL CORPORATE BONDS
(cost $11,798,902) 11,642,799
---------------
ASSET BACKED SECURITIES
(10.76% of total investments)
200,000 Green Tree Financial Corp 1994-4 A5,
8.300%, due 07/15/2019 ...................... 205,179
258,780 Green Tree Recreational Equipment &
Consumer Tr., 96 A A1,
5.550%, due 02/15/2018 ...................... 253,429
500,000 Lehman FHA Title 1 Loan Trust 96-2 A2,
6.780%, due 03/25/2008 ...................... 498,008
550,000 MBNA Master Credit Card Trust II,
95 C Class A, 6.450%, due 02/15/2008 ........ 526,088
250,000 The Money Store Home Equity 96 B A7,
7.550%, due 08/15/2020 ...................... 250,937
---------------
TOTAL ASSET BACKED SECURITIES
(cost $1,738,166) 1,733,641
---------------
COLLATERALIZED
MORTGAGE OBLIGATIONS
(4.51% of total investments)
$ 500,000 Structured Asset Securities Corporation,
96 CFL 1 A1B, 5.751%, due 02/25/2028 ........ $ 489,785
248,582 JP Morgan Commercial Mortgage
Finance Corporation 96 C2 A,
6.470%, due 11/25/2027 ...................... 238,047
---------------
TOTAL COLLATERALIZED MORTGAGE
OBLIGATIONS (COST $750,392) 727,832
---------------
U. S. GOVERNMENT AND
AGENCY OBLIGATIONS
(12.48% of total investments)
465,633 Federal Home Loan Mortgage Corp.,
#E20187, 7.000%, due 08/01/2010 ............. 459,813
218,144 Federal Home Loan Mortgage Corp.,
#D51789, 7.000%, due 04/01/2024 ............. 210,100
44,094 Federal National Mortgage Assn.,
#062289, 6.993%, due 03/01/2028 ............. 44,508
265,735 Federal National Mortgage Assn.,
#183567, 7.500%, due 11/01/2022. ............ 262,413
239,613 Federal National Mortgage Assn.,
#286122, 7.000%, due 06/01/2024 ............. 230,627
475,161 Federal National Mortgage Assn.,
#325435, 7.000%, due 09/01/2010 ............. 469,221
3,596 Government National Mortgage Assn.,
#051699, 15.000%, due 07/15/2011 ............ 4,280
3,100 Government National Mortgage Assn.,
#056522, 14.000%, due 08/15/2012 ............ 3,639
118,285 Government National Mortgage Assn.,
#180604, 9.000%, due 11/15/2016 ............. 123,904
200,000 U. S . Treasury Note,
6.875%, due 05/15/2006 ...................... 202,188
---------------
Total U.S. government and
agency obligations
(cost $2,035,710) 2,010,693
---------------
Total investments in securities
(cost $16,323,170) (b) $16,114,965
===============
(a) Using S.I.C. codes prepared by the Technical Committee on Industry
Classifications.
(b) Cost also represents cost for federal income tax purposes.
The accompanying notes are an integral part of these financial statements.
<PAGE>
CONSECO SERIES TRUST
GOVERNMENT SECURITIES PORTFOLIO
STATEMENT OF INVESTMENTS IN SECURITIES
June 30, 1996
(UNAUDITED)
PRINCIPAL
AMOUNT SECURITY VALUE
- -------------------------------------------------------------------------------
U.S. GOVERNMENT AND
AGENCY OBLIGATIONS
(91.66% of total investments)
250,000 Federal Home Loan Bank,
7.170%, due 03/29/2000....................... $ 254,540
196,089 Federal Home Loan Mortgage Corp.,
#D66012, 7.000%, due 11/01/2025.............. 188,950
193,297 Federal National Mortgage Assn.,
#174166, 8.000%, due 06/01/2002.............. 195,351
250,551 Federal National Mortgage Assn.,
#250485, 6.500%, due 01/01/2026.............. 234,500
149,544 Federal National Mortgage Assn.,
#303780, 7.000%, due 03/01/2026.............. 143,936
1,558 Government National Mortgage Assn.,
#044522, 13.000%, due 03/15/2011............. 1,810
5,437 Government National Mortgage Assn.,
#068651, 12.000%, due 08/15/2013.............. 6,230
6,190 Government National Mortgage Assn.,
#105200, 13.000%, due 10/15/2013............. 7,190
7,176 Government National Mortgage Assn.,
#119896, 13.000%, due 11/15/2013............. 8,336
493,216 Government National Mortgage Assn.,
#408675, 7.500%, due 11/15/2014.............. 486,435
375,000 U.S. Treasury Bond,
8.125%, due 05/15/2021....................... 422,404
725,000 U.S. Treasury Note,
5.875%, due 04/30/1998....................... 722,637
250,000 U.S. Treasury Note,
5.500%, due 11/15/1998....................... 246,228
125,000 U.S. Treasury Note,
7.750%, due 11/30/1999....................... 130,246
200,000 U.S. Treasury Note,
5.625%, due 11/30/2000....................... 193,810
50,000 U.S. Treasury Note,
5.500%, due 12/31/2000....................... 48,226
100,000 U.S. Treasury Note,
6.375%, due 03/31/2001....................... 99,604
225,000 U.S. Treasury Note,
5.875%, due 02/15/2004....................... 215,071
50,000 U.S. Treasury Note,
7.500%, due 02/15/2005....................... 52,615
---------------
Total U.S. government and agency obligations
(cost $3,716,397 3,658,119
---------------
ASSET BACKED SECURITIES
( 8.34% of total investments)
$ 200,000 MBNA Master Credit Card Trust II,
95 C, Class A, 6.450%, due 02/15/2008 ....... $ 191,305
150,000 Standard Credit Card Master Trust,
93 2, Class A, 5.950%, due 10/07/2004 ....... 141,390
---------------
Total asset backed securities
(cost $336,398) 332,695
---------------
Total investments in securities
(cost $4,052,795) (a) $ 3,990,814
===============
(a) Cost also represents cost for federal income tax purposes.
The accompanying notes are an integral part of these financial statements.
<PAGE>
CONSECO SERIES TRUST
MONEY MARKET PORTFOLIO
STATEMENT OF INVESTMENTS IN SECURITIES
June 30, 1996
(UNAUDITED)
PRINCIPAL
AMOUNT SECURITY VALUE(b)
- -------------------------------------------------------------------------------
CORPORATE BONDS
(18.35% of total investments) (a)
ELECTRIC, GAS, WATER, COGENERATION,
SANITARY SERVICES (4.82%
$ 245,000 Waste Management Company, Inc.,
7.875%, due 08/15/1996 ...................... $ 245,798
---------------
MISCELLANEOUS MANUFACTURING (4.90%)
250,000 Gillette Company, Inc.,
4.750%, due 08/15/1996 ...................... 249,828
---------------
NON-DEPOSITORY CREDIT
INSTITUTIONS (4.70%)
240,000 Norwest Financial, Inc., MTN,
4.930%, due 11/15/1996 ...................... 239,346
---------------
SECURITY AND COMMODITY
BROKERS (3.93%)
200,000 Morgan Stanley, Group, MTN,
5.190%, due 07/02/1996 ...................... 199,991
---------------
Total corporate bonds 934,963
---------------
COMMERCIAL PAPER
(81.65% of total investments) (a)
CHEMICALS AND ALLIED PRODUCTS (9.74%)
245,000 Monsanto Company,
5.280%, due 07/12/1996. ..................... 244,533
255,000 Procter & Gamble Company,
5.370%, due 09/24/1996 ...................... 251,691
---------------
496,224
---------------
COMMUNICATIONS BY PHONE, TELEVISION,
RADIO, CABLE (4.93%)
255,000 Ameritech Corporation,
5.430%, due 10/02/1996 ...................... 251,346
---------------
ELECTRICAL EQUIPMENT,
EXCEPT COMPUTERS (14.66%)
250,000 Duracell, Inc.,
5.370%, due 08/23/1996 ...................... 247,949
255,000 Emerson Electric Company, Inc.,
5.520%, due 07/01/1996 ...................... 254,922
245,000 Motorola, Inc.,
5.230%, due 07/26/1996 ...................... 244,039
---------------
746,910
---------------
FOOD AND KINDRED PRODUCTS (9.56%)
$ 245,000 Anheuser-Busch Companies, Inc.,
5.240%, due 08/12/1996 ...................... $ 243,431
245,000 The Coca-Cola Company,
5.290%, due 08/07/1996 ...................... 243,596
---------------
487,027
---------------
INDUSTRIAL, COMMERCIAL MACHINERY,
COMPUTERS (4.64%)
240,000 Caterpillar Finance Company, Inc.,
5.300%, due 10/02/1996 ...................... 236,643
---------------
MEASURING INSTRUMENTS, PHOTO GOODS,
WATCHES (4.64%)
240,000 Becton, Dickinson & Co.,
5.350%, due 10/02/1996 ...................... 236,612
---------------
MOTION PICTURES, FILMS (4.85%)
250,000 The Walt Disney Company,
5.340%, due 09/20/1996 ...................... 246,922
---------------
NON-DEPOSITORY CREDIT
INSTITUTIONS (14.33%)
240,000 American General Finance Corp.,
5.300%, due 07/15/1996 ...................... 239,434
250,000 Associates Corp. of North America, Inc.,
5.430%, due 11/05/1996 ...................... 245,136
250,000 Household Finance Company, Inc.,
5.400%, due 11/04/1996 ...................... 245,200
---------------
729,770
---------------
OIL AND GAS EXTRACTION (4.78%)
245,000 E. I. Du Pont De Nemours & Co.,
5.260%, due 08/06/1996 ...................... 243,640
---------------
SECURITY AND COMMODITY
BROKERS (9.52%)
240,000 Goldman Sachs Group L.P.,
5.370%, due 11/04/1996 235,417
250,000 Smith Barney Inc.,
5.360%, due 07/02/1996 249,888
---------------
485,305
---------------
Total commercial paper 4,160,399
---------------
Total investments in securities $ 5,095,362
===============
(a) Using S.I.C. codes prepared by the Technical Committee on Industry
Classifications.
(b) Value also represents cost for federal income tax purposes.
The accompanying notes are an integral part of these financial statements.
<PAGE>
CONSECO SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
(1) GENERAL
Conseco Series Trust (the "Trust") is a diversified, open-end management
investment company registered under the Investment Company Act of 1940, as
amended ("the Act"), and was organized as a Massachusetts Trust effective
November 15, 1982. The Trust offers shares only to affiliated life insurance
company separate accounts (registered as unit investment trusts under the Act)
to fund the benefits under variable annuity contracts.
Effective May 1, 1993, Great American Reserve Variable Annuity Account C
("Account C") transferred its assets to the Trust in exchange for shares of the
Common Stock, Corporate Bond (newly created effective May 1, 1993) and Money
Market Portfolios. Since May 1, 1993, the Trust continues to offer shares of
each of its portfolios to Account C.
On July 25, 1994, Great American Reserve Variable Annuity Account E
commenced operations and began investing in the shares of the Trust's
portfolios.
(2)SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
SECURITY VALUATION, TRANSACTIONS, AND RELATED INVESTMENT INCOME
The investments in each portfolio are valued at the end of each New York
Stock Exchange business day. Investment transactions are accounted for on the
valuation date following the trade date (the date the order to buy or sell is
executed). Dividend income is recorded on the ex-dividend date. The cost of
investments sold is determined on the specific identification basis. The Trust
does not hold any investments which are restricted as to resale, except for (i)
the following bonds: BJ Services, Farmers Insurance Exchange, Sampoerna
International Finance Company and West Fraser Mill, held in the Corporate Bond
Portfolio; and the Unisys Corporation bond and Time Warner Preferred Stock held
in the Asset Allocation Portfolio--all of which are eligible for resale under
Rule 144A of the Securities Act of 1933.
The Board of Trustees (the "Trustees") determined that it will value the
Money Market Portfolio investments at amortized cost, which is conditioned on
the Trust's compliance with certain conditions contained in Rule 2a-7 of the
Act. The investment adviser of the Trust continuously reviews this method of
valuation and recommends changes to the Trustees, if necessary, to ensure that
the Money Market Portfolio investments are valued at fair value (as determined
by the Trustees in good faith).
In all portfolios of the Trust, except for the Money Market Portfolio,
securities traded on a national securities exchange are valued at closing market
prices. Listed securities for which no sale was reported on the valuation date
are valued at the mean of the closing bid and asked prices. Short term notes,
U.S. government obligations maturing within one year or less from the date
purchased and bank certificates of deposit are valued at amortized cost, which
approximates fair value.
Fixed income securities for which representative market quotes are readily
available are valued at the mid-day mean between the closing bid and asked
prices as quoted by one or more dealers who make a market in such securities.
FEDERAL INCOME TAXES
Each portfolio is treated as a separate taxable entity for federal income
tax purposes and qualifies as a regulated investment company under the Internal
Revenue Code. The Trust intends to continue to distribute all taxable income to
shareholders, and therefore, no provision has been made for federal income
taxes.
DIVIDENDS TO SHAREHOLDERS
Dividends are declared and reinvested from the sum of net investment income
and net realized short-term capital gains or losses on a daily basis in the
Money Market Portfolio, on a monthly basis in the Corporate Bond and Government
Securities Portfolios and on a quarterly basis in the Asset Allocation and
Common Stock Portfolios. Distributions are declared and reinvested from net
realized long-term capital gains on an annual basis.
INCOME EQUALIZATION
All portfolios, except the Money Market Portfolio, follow the accounting
practice known as income equalization by which a portion of the proceeds from
sales and costs of redemptions of shares is equivalent, on a per share basis, to
the amount of distributable investment income on the date the transaction is
credited or charged to undistributed income. As a result, undistributed
investment income per share is not materially affected by sales or redemptions
of the portfolio shares.
<PAGE>
CONSECO SERIES TRUST
NOTES TO FINANCIAL STATEMENTS - (CONTINUED)
(UNAUDITED)
(3) TRANSACTIONS WITH AFFILIATES
As investment adviser of the Trust, Conseco Capital Management, Inc. (the
"Adviser"), a wholly-owned subsidiary of Conseco, Inc., a publicly-held
specialized financial services holding company listed on the New York Stock
Exchange, charges an investment advisory fee based on the daily net asset value
at an annual rate of 0.55 percent for the Asset Allocation Portfolio, 0.60
percent for the Common Stock Portfolio, 0.50 percent for the Corporate Bond and
Government Securities Portfolios and 0.25 percent for the Money Market
Portfolio. The total fees paid to the Adviser for the six months ended June 30,
1996 and the year ended December 31, 1995 were $451,684 and $695,347,
respectively. The Adviser has agreed to limit the operating expenses of each
portfolio so that the ratio of expenses, including investment advisory fees, to
average net assets on an annual basis shall not exceed 0.75 percent for the
Asset Allocation Portfolio, 0.80 percent for the Common Stock Portfolio, 0.70
percent for the Corporate Bond and Government Securities Portfolios, and 0.45
percent for the Money Market 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, 1996
were $171,939,446 and $109,986,374, respectively. The aggregate cost of
purchases and proceeds from sales of U.S. government securities were $8,380,880
and $8,947,501, respectively.
Gross unrealized appreciation and depreciation of investments at June 30,
1996 are shown below:
(5) NET ASSETS
Net assets at June 30, 1996 are shown below:
<TABLE>
<CAPTION>
UNREALIZED APPRECIATION (DEPRECIATION) OF INVESTMENTS
JUNE 30, 1996
Asset Common Corporate Government Money
Allocation Stock Bond Securities Market
Portfolio Portfolio Portfolio Portfolio Portfolio
============ ============ ============ ============ =============
<S> <C> <C> <C> <C> <C>
Gross unrealized appreciation ...................... $ 1,240,532 $ 21,758,466 $ 97,224 $ 13,002 $ --
Gross unrealized depreciation ...................... (234,585) (3,147,110) (305,429) (74,983) --
------------- ------------- ------------- ------------- ------------
Net unrealized appreciation
(depreciation) ................... $ 1,005,947 $ 18,611,356 $ (208,205) $ (61,981) $ --
============= ============= ============= ============= ============
</TABLE>
<TABLE>
<CAPTION>
Net Assets
June 30, 1996
Asset Common Corporate Government Money
Allocation Stock Bond Securities Market
Portfolio Portfolio Portfolio Portfolio Portfolio
============ ============ ============ ============ =============
Proceeds from the sales of shares since
organization, less cost of shares
<S> <C> <C> <C> <C> <C>
redeemed and net equalization ............. $ 11,145,670 $113,713,873 $ 16,961,613 $ 4,264,512 $ 5,173,502
Undistributed net investment
income (expense) .......................... -- -- -- -- --
Undistributed net realized gain (loss)
on sale of investments .................... 271,707 4,630,938 (134,887) 12,512 --
Net unrealized appreciation
(depreciation) of investments ............. 1,005,947 18,611,356 (208,205) (61,981) --
------------- ------------- ------------- ------------- ------------
Total net assets ................. $ 12,423,324 $136,956,167 $ 16,618,521 $ 4,215,043 $ 5,173,502
============= ============= ============= ============= ============
</TABLE>
<PAGE>
CONSECO SERIES TRUST
NOTES TO FINANCIAL STATEMENTS - (CONTINUED)
<TABLE>
<CAPTION>
(6) FINANCIAL HIGHLIGHTS
ASSET ALLOCATION PORTFOLIO
=============================================================================
SIX MONTHS YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
JUNE 30, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
1996 1995 1994 1993 1992
(UNAUDITED) (AUDITED) (AUDITED) (AUDITED) (AUDITED)
============= ============= ============= ============= =============
Net asset value per share,
<S> <C> <C> <C> <C> <C>
beginning of period ........................... $ 12.390 $ 11.040 $ 11.400 $ 11.630 $ 11.740
Income from investment operations (a):
Net investment income ......................... 0.206 0.508 0.463 0.410 0.633
Net realized gain (loss) and change
in unrealized appreciation
(depreciation) on investments ............ 1.358 2.976 (0.526) 0.218 0.867
------------- ------------- ------------- ------------- -------------
Total income (loss) from
investment operations .......... 1.564 3.484 (0.063) 0.628 1.500
------------- ------------- ------------- ------------- -------------
Distributions (a):
Dividends from net investment
income and net realized
short-term capital gains ................. (0.974) (1.827) (0.266) (0.570) (1.463)
Distribution of net realized
long-term capital gains .................. -- (0.307) (0.031) (0.288) (0.147)
------------- ------------- ------------- ------------- -------------
Total distributions ................. (0.974) (2.134) (0.297) (0.858) (1.610)
------------- ------------- ------------- ------------- -------------
Net asset value per share, end of period ........... $ 12.980 $ 12.390 $ 11.040 $ 11.400 $ 11.630
============= ============= ============= ============= =============
Total return (b) (d) ............................... 24.28%(f) 31.49% (0.55%) 10.38% 10.36%
Ratios/supplemental data:
Net assets, end of period (c) ................. $ 12,423,324 $ 9,583,375 $ 6,172,390 $ 6,161,924 $ 4,308,251
Ratio of expenses to average
net assets (d) ........................... 0.75%(f) 0.75% 0.75% 0.75% 1.25%
Ratio of net investment income
to average net assets (d) ................ 2.84%(f) 4.11% 4.20% 3.55% 5.46%
Portfolio turnover rate ....................... 237.31%(f) 194.16% 223.92% 539.90% 690.17%
<FN>
(a) Per share amounts presented are based on an average of monthly
shares outstanding throughout the periods indicated.
(b) Total return represents performance of the Trust only and does not
include mortality and expense deductions in separate accounts. (c) Accounts C
and E became shareholders in the Trust effective May 1, 1993 and July 25, 1994,
respectively.
(d) These ratios have been favorably affected by a guarantee from the
Adviser that the ratio of expenses to average net assets would not exceed 0.75
percent for the Asset Allocation Portfolio, 0.80 percent for the Common Stock
Portfolio, 0.70 percent for the Corporate Bond Portfolio and the Government
Securities Portfolio and 0.45 percent for the Money Market Portfolio for the six
months ended June 30, 1996 and the years ended December 31, 1995, 1994 and 1993,
and 1.25 percent for each portfolio for the year ended December 31, 1992.
(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) Annualized.
</FN>
</TABLE>
<PAGE>
CONSECO SERIES TRUST
NOTES TO FINANCIAL STATEMENTS - (CONTINUED)
<TABLE>
<CAPTION>
(6) FINANCIAL HIGHLIGHTS (Continued)
COMMON STOCK PORTFOLIO
=============================================================================
SIX MONTHS YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
JUNE 30, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
1996 1995 1994 1993 1992
(UNAUDITED) (AUDITED) (AUDITED) (AUDITED) (AUDITED)
============= ============= ============= ============= =============
Net asset value per share,
<S> <C> <C> <C> <C> <C>
beginning of period ........................... $ 18.840 $ 16.540 $ 16.690 $ 16.880 $ 16.290
Income from investment operations (a):
Net investment income ......................... -- 0.340 0.240 0.232 0.292
Net realized gain (loss) and change
in unrealized appreciation
(depreciation) on investments ............ 3.655 5.675 0.072 0.920 2.787
------------- ------------- ------------- ------------- -------------
Total income from
investment operations .......... 3.655 6.015 0.312 1.152 3.079
------------- ------------- ------------- ------------- -------------
Distributions (a):
Dividends from net investment
income and net realized
short-term capital gains ................. (1.965) (2.807) (0.327) (1.181) (1.101)
Distribution of net realized
long-term capital gains .................. -- (0.908) (0.135) (0.161) (1.388)
------------- ------------- ------------- ------------- -------------
Total distributions ................. (1.965) (3.715) (0.462) (1.342) (2.489)
------------- ------------- ------------- ------------- -------------
Net asset value per share, end of period ........... $ 20.530 $ 18.840 $ 16.540 $ 16.690 $ 16.880
============= ============= ============= ============= =============
Total return (b) (d) ............................... 40.08%(e) 36.30% 1.92% 8.35% 18.34%
Ratios/supplemental data:
Net assets, end of period (c) ................. $136,956,167 $109,635,525 $ 74,759,728 $ 66,799,824 $ 8,307,023
Ratio of expenses to average
net assets (d) ........................... 0.80%(e) 0.80% 0.80% 0.80% 1.25%
Ratio of net investment income
to average net assets (d) ................ 0.00%(e) 1.80% 1.47% 1.40% 1.73%
Portfolio turnover rate ....................... 115.38%(e) 172.55% 213.67% 205.81% 461.05%
<FN>
(a) Per share amounts presented are based on an average of monthly shares
outstanding throughout the periods indicated.
(b) Total return represents performance of the Trust only and does not
include mortality and expense deductions in separate accounts.
(c) Accounts C and E became shareholders in the Trust effective May 1, 1993
and July 25, 1994, respectively.
(d) These ratios have been favorably affected by a guarantee from the
Adviser that the ratio of expenses to average net assets would not exceed 0.75
percent for the Asset Allocation Portfolio, 0.80 percent for the Common Stock
Portfolio, 0.70 percent for the Corporate Bond Portfolio and the Government
Securities Portfolio and 0.45 percent for the Money Market Portfolio for the six
months ended June 30, 1996 and the years ended December 31, 1995, 1994 and 1993,
and 1.25 percent for each portfolio for the year ended December 31, 1992.
(e) Annualized.
</FN>
</TABLE>
<PAGE>
CONSECO SERIES TRUST
NOTES TO FINANCIAL STATEMENTS - (CONTINUED)
<TABLE>
<CAPTION>
(6) FINANCIAL HIGHLIGHTS (Continued)
CORPORATE BOND PORTFOLIO (E)
=============================================================
SIX MONTHS YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
JUNE 30, DECEMBER 31, DECEMBER 31, DECEMBER 31,
1996 1995 1994 1993
(UNAUDITED) (AUDITED) (AUDITED) (AUDITED)
============= ============= ============= =============
<S> <C> <C> <C> <C>
Net asset value per share, beginning of period ......... $ 10.150 $ 9.450 $ 9.980 $ 10.000
Income from investment operations (a):
Net investment income ............................. 0.196 0.680 0.649 0.417
Net realized gain (loss) and change in unrealized
appreciation (depreciation) on investments ... (0.370) 0.990 (0.912) 0.173
------------- ------------- ------------- -------------
Total income (loss) from
investment operations .............. (0.174) 1.670 (0.263) 0.590
------------- ------------- ------------- -------------
Distributions (a):
Dividends from net investment income and
net realized short-term capital gains ........ (0.166) (0.970) (0.267) (0.610)
------------- ------------- ------------- -------------
Total distributions ..................... (0.166) (0.970) (0.267) (0.610)
------------- ------------- ------------- -------------
Net asset value per share, end of period ............... $ 9.810 $ 10.150 $ 9.450 $ 9.980
============= ============= ============= =============
Total return (b) (d) ................................... (1.37%)(f) 18.25% (2.65%) 8.84%(f)
Ratios/supplemental data:
Net assets, end of period (c) ..................... $ 16,618,521 $ 16,046,368 $ 12,903,063 $ 13,577,440
Ratio of expenses to average net assets (d) ....... 0.70%(f) 0.70% 0.70% 0.70%(f)
Ratio of net investment income
to average net assets (d) .................... 6.47%(f) 6.78% 6.78% 6.22%(f)
Portfolio turnover rate ........................... 259.47%(f) 225.41% 198.48% 406.24%(f)
<FN>
(a) Per share amounts presented are based on an average of monthly shares
outstanding throughout the periods indicated.
(b) Total return represents performance of the Trust only and does not
include mortality and expense deductions in separate accounts.
(c) Accounts C and E became shareholders in the Trust effective May 1, 1993
and July 25, 1994, respectively.
(d) These ratios have been favorably affected by a guarantee from the
Adviser that the ratio of expenses to average net assets would not exceed 0.75
percent for the Asset Allocation Portfolio, 0.80 percent for the Common Stock
Portfolio, 0.70 percent for the Corporate Bond Portfolio and the Government
Securities Portfolio and 0.45 percent for the Money Market Portfolio for the six
months ended June 30, 1996 and the years ended December 31, 1995, 1994 and 1993,
and 1.25 percent for each portfolio for the year ended December 31, 1992.
(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 FINANCIAL STATEMENTS - (CONTINUED)
<TABLE>
<CAPTION>
(6) FINANCIAL HIGHLIGHTS (Continued)
GOVERNMENT SECURITIES PORTFOLIO
=============================================================================
SIX MONTHS YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
JUNE 30, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
1996 1995 1994 1993 1992
(UNAUDITED) (AUDITED) (AUDITED) (AUDITED) (AUDITED)
============= ============= ============= ============= =============
Net asset value per share,
<S> <C> <C> <C> <C> <C>
beginning of period ........................... $ 12.380 $ 11.090 $ 11.450 $ 11.610 $ 12.000
Income from investment operations (a):
Net investment income ......................... 0.355 0.754 0.720 0.738 0.679
Net realized gain (loss) and change
in unrealized appreciation
(depreciation) on investments ............ (0.544) 1.119 (1.031) 0.281 0.219
------------- ------------- ------------- ------------- -------------
Total income (loss) from
investment operations .......... (0.189) 1.873 (0.311) 1.019 0.898
------------- ------------- ------------- ------------- -------------
Distributions (a):
Dividends from net investment
income and net realized
short-term capital gains ................. (0.361) (0.583) (0.049) (1.179) (1.094)
Distribution of net realized
long-term capital gains .................. -- -- -- -- (0.194)
------------- ------------- ------------- ------------- -------------
Total distributions ................. (0.361) (0.583) (0.049) (1.179) (1.288)
------------- ------------- ------------- ------------- -------------
Net asset value per share, end of period ........... $ 11.830 $ 12.380 $ 11.090 $ 11.450 $ 11.610
============= ============= ============= ============= =============
Total return (b) (d) ............................... (3.09%)(f) 17.35% (2.79%) 8.91% 6.62%
Ratios/supplemental data:
Net assets, end of year (c) ................... $ 4,215,043 $ 4,612,607 $ 4,712,785 $ 7,579,366 $ 10,220,193
Ratio of expenses to average
net assets (d) ........................... 0.70%(f) 0.70% 0.70% 0.70% 1.25%
Ratio of net investment income
to average net assets (d) ................ 5.92%(f) 6.27% 6.45% 6.30% 5.77%
Portfolio turnover rate ....................... 221.68%(f) 284.31% 421.05% 397.42% 742.09%
<FN>
(a) Per share amounts presented are based on an average of monthly shares
outstanding throughout the periods indicated.
(b) Total return represents performance of the Trust only and does not
include mortality and expense deductions in separate accounts.
(c) Accounts C and E became shareholders in the Trust effective May 1, 1993
and July 25, 1994, respectively.
(d) These ratios have been favorably affected by a guarantee from the
Adviser that the ratio of expenses to average net assets would not exceed 0.75
percent for the Asset Allocation Portfolio, 0.80 percent for the Common Stock
Portfolio, 0.70 percent for the Corporate Bond Portfolio and the Government
Securities Portfolio and 0.45 percent for the Money Market Portfolio for the six
months ended June 30, 1996 and the years ended December 31, 1995, 1994 and 1993,
and 1.25 percent for each portfolio for the year ended December 31, 1992.
(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) Annualized.
</FN>
</TABLE>
<PAGE>
CONSECO SERIES TRUST
NOTES TO FINANCIAL STATEMENTS - (CONTINUED)
<TABLE>
<CAPTION>
(6) FINANCIAL HIGHLIGHTS (Continued)
MONEY MARKET PORTFOLIO
=============================================================================
SIX MONTHS YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
JUNE 30, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
1996 1995 1994 1993 1992
(UNAUDITED) (AUDITED) (AUDITED) (AUDITED) (AUDITED)
============= ============= ============= ============= =============
Net asset value per share,
<S> <C> <C> <C> <C> <C>
beginning of period ........................... .... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
Income from investment operations (a):
Net investment income ......................... 0.025 0.055 0.038 0.029 0.026
Net realized gain and change
in unrealized appreciation
on investments ........................... -- -- -- -- 0.001
------------- ------------- ------------- ------------- -------------
Total income from
investment operations .......... 0.025 0.055 0.038 0.029 0.027
------------- ------------- ------------- ------------- -------------
Distributions (a):
Dividends from net investment
income and net realized
short-term capital gains ................. (0.025) (0.055) (0.038) (0.029) (0.027)
Distribution of net realized
long-term capital gains .................. -- -- -- -- --
------------- ------------- ------------- ------------- -------------
Total distributions ................. (0.025) (0.055) (0.038) (0.029) (0.027)
------------- ------------- ------------- ------------- -------------
Net asset value per share, end of period ........... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
============= ============= ============= ============= =============
Total return (b)(d) ................................ 5.06%(e) 5.46% 3.78% 2.86% 2.66%
Ratios/supplemental data:
Net assets, end of year (c) ................... $ 5,173,502 $ 5,395,877 $ 5,105,367 $ 5,229,641 $ 3,111,264
Ratio of expenses to average
net assets (d) ........................... 0.45%(e) 0.45% 0.45% 0.45% 1.25%
Ratio of net investment income
to average net assets (d) ................ 4.97%(e) 5.46% 3.78% 2.86% 2.66%
Portfolio turnover rate ....................... N/A N/A N/A N/A N/A
<FN>
(a) Per share amounts presented are based on an average of monthly shares
outstanding throughout the periods indicated.
(b) Total return represents performance of the Trust only and does not
include mortality and expense deductions in separate accounts.
(c) Accounts C and E became shareholders in the Trust effective May 1, 1993
and July 25, 1994, respectively.
(d) These ratios have been favorably affected by a guarantee from the
Adviser that the ratio of expenses to average net assets would not exceed 0.75
percent for the Asset Allocation Portfolio, 0.80 percent for the Common Stock
Portfolio, 0.70 percent for the Corporate Bond Portfolio and the Government
Securities Portfolio and 0.45 percent for the Money Market Portfolio for the six
months ended June 30, 1996 and the years ended December 31, 1995, 1994 and 1993,
and 1.25 percent for each portfolio for the year ended December 31, 1992.
(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;
INDEPENDENT PUBLIC ACCOUNTANTS
Coopers & Lybrand L.L.P. - Indianapolis, Indiana.
CONSECO SERIES TRUST
BOARD OF TRUSTEES
WILLIAM P. DAVES, JR., Chairman
Consultant to the insurance and
health care industries.
Director, President and Chief Executive Officer,
FFG Insurance Co., Dallas, Texas.
HAROLD W. HARTLEY, Trustee
Retired. Chartered Financial Analyst.
Formerly Executive Vice President,
Tenneco Financial Services Inc.,
Fort Myers Beach, Florida.
MAXWELL E. BUBLITZ, Trustee and President
President,
Conseco Capital Management, Inc.,
Carmel, Indiana.
DR. R. JAN LECROY, Trustee
President,
Dallas Citizens Council,
Dallas, Texas.
DR. JESSE H. PARRISH, Trustee
Higher education consultant.
Formerly President,
Midland College, Midland, Texas.
INVESTMENT ADVISER
Conseco Capital Management, Inc. -
Carmel, Indiana.
INDEPENDENT PUBLIC ACCOUNTANTS
Coopers & Lybrand L.L.P. - Indianapolis, Indiana.
CUSTODIAN
Bankers Trust Company - New York, New York.
