GREAT AMERICAN RESERVE INSURANCE COMPANY
A Conseco Company
Great American Reserve Variable Annuity
Account E
Conseco Series Trust
December 31, 1995
ANNUAL REPORT TO CONTRACT OWNERS
ANNUAL REPORT TO CONTRACT OWNERS
TABLE OF CONTENTS
December 31, 1995
GREAT AMERICAN RESERVE VARIABLE ANNUITY ACCOUNT E PAGE
Statement of Assets and Liabilities as of December 31, 1995.................1
Statements of Operations for the Year Ended December 31, 1995 and
the Period From July 25, 1994 to December 31, 1994 ......................3
Statements of Changes in Net Assets for the Year Ended December 31, 1995
and the Period From July 25, 1994 to December 31, 1994 ..................4
Notes to Financial Statements...............................................5
Report of Independent Accountants...........................................7
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 December 31, 1995................12
Statement of Operations for the Year Ended December 31, 1995...............13
Statements of Changes in Net Assets for the Years Ended December 31, 1995
and 1994 ...............................................................14
Statements of Investments in Securities as of December 31, 1995:
Asset Allocation Portfolio .............................................16
Common Stock Portfolio .................................................18
Corporate Bond Portfolo ................................................20
Government Securities Portfolio ........................................22
Money Market Portfolio .................................................23
Notes to Financial Statements..............................................24
Report of Independent Accountants..........................................31
<TABLE>
GREAT AMERICAN RESERVE VARIABLE ANNUITY
ACCOUNT E
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1995
<CAPTION>
Assets:
Investments in portfolio shares, at net asset value (Note 2):
The Alger American Fund:
<S> <C>
Leveraged AllCap Portfolio, 16,745.6 shares, (cost - $287,613) ................... $ 291,875
Small Capitalization Portfolio, 16,030.1 shares, (cost - $647,732) ............... 631,746
Conseco Series Trust:
Asset Allocation Portfolio, 50,090.7 shares, (cost - $636,902) .................. 620,654
Common Stock Portfolio, 77,678.5 shares, (cost - $1,532,335) ..................... 1,463,785
Corporate Bond Portfolio, 40,319.3 shares, (cost - $404,056) ..................... 409,154
Government Securities Portfolio, 2,858.1 shares, (cost - $35,030) ................ 35,375
Money Market Portfolio, 677,989.7 shares, (cost - $677,990) ...................... 677,990
Dreyfus Stock Index Fund, 12,918.7 shares, (cost - $213,893) ........................ 222,202
The Dreyfus Socially Responsible Growth Fund, Inc., 1,486.3 shares, (cost - $25,711) 25,729
Federated Investors Insurance Management Series:
Corporate Bond Fund, 2,877.2 shares, (cost - $28,022) ............................ 28,168
International Stock Fund, 3,648.8 shares, (cost - $36,871) ....................... 37,765
Utility Fund, 1,192.7 shares, (cost - $12,534) ................................... 13,155
The Janus Aspen Series:
Aggressive Growth Portfolio, 9,075.7 shares, (cost - $146,652) ................... 155,013
Growth Portfolio, 12,035.3 shares, (cost - $159,509) ............................. 161,875
Worldwide Growth Portfolio, 12,326.8 shares, (cost - $180,179) ................... 188,724
The Van Eck Worldwide Insurance Trust:
Gold and Natural Resources Fund, 5,139.8 shares, (cost - $70,723) ................ 74,114
Worldwide Bond Fund, 11,901.2 shares, (cost - $131,934) .......................... 132,579
Worldwide Hard Assets Fund, 14,625.2 shares, (cost - $142,947) ................... 154,734
Total assets ................................................................... 5,324,637
Liabilities: ..........................................................................
Amounts due to Great American Reserve Insurance Company .............................. 4,979
Net assets (Note 6) ........................................................... $ 5,319,658
<FN>
The accompanying notes are an integral part of these financial statements.
</TABLE>
<TABLE>
GREAT AMERICAN RESERVE VARIABLE ANNUITY
ACCOUNT E
STATEMENT OF ASSETS AND LIABILITIES - (CONTINUED)
December 31, 1995
<CAPTION>
Units Unit Value
Net assets attributable to:
Contract owners' deferred annuity reserves:
The Alger American Fund:
<S> <C> <C> <C>
Leveraged AllCap Portfolio ............................. 207,147.1 $1.407908 $ 291,644
Small Capitalization Portfolio ......................... 517,902.5 1.218931 631,287
Conseco Series Trust:
Asset Allocation Portfolio ............................. 461,875.8 1.342379 620,012
Common Stock Portfolio ................................. 1,009,305.4 1.448804 1,462,286
Corporate Bond Portfolio ............................... 350,622.6 1.165727 408,730
Government Securities Portfolio ........................ 30,613.7 1.154244 35,335
Money Market Portfolio ................................. 641,747.3 1.055784 677,546
Dreyfus Stock Index Fund .................................. 191,751.9 1.157620 221,976
The Dreyfus Socially Responsible Growth Fund, Inc. ........ 21,878.1 1.174867 25,704
Federated Investors Insurance Management Series:
Corporate Bond Fund .................................... 26,380.0 1.066579 28,136
International Stock Fund ............................... 36,797.6 1.025080 37,721
Utility Fund ........................................... 11,710.8 1.122090 13,141
The Janus Aspen Series:
Aggressive Growth Portfolio ............................ 122,277.5 1.266394 154,851
Growth Portfolio ....................................... 138,532.2 1.167465 161,732
Worldwide Growth Portfolio ............................. 155,653.1 1.211204 188,527
The Van Eck Worldwide Insurance Trust:
Gold and Natural Resources Fund ........................ 68,730.0 1.077158 74,034
Worldwide Bond Fund .................................... 130,071.0 1.018153 132,432
Worldwide Hard Assets Fund ............................. 147,283.0 1.049435 154,564
Net assets .................................................................. $ 5,319,658
<FN>
The accompanying notes are an integral part of these financial statements.
</TABLE>
<TABLE>
GREAT AMERICAN RESERVE VARIABLE ANNUITY
ACCOUNT E
STATEMENTS OF OPERATIONS
For the Year Ended December 31, 1995 and
the Period From July 25, 1994 to December 31, 1994
<CAPTION>
YEAR ENDED JULY 25, 1994 TO
DECEMBER 31, DECEMBER 31,
1995 1994
Investment income:
<S> <C> <C>
Dividends from investments in portfolio shares ...................... $ 268,996 $ 467
Expenses:
Mortality and expense risk fees. .................................... 17,815 127
Administrative fees ................................................. 2,137 15
Total expenses .................................................... 19,952 142
Net investment income .......................................... 249,044 325
Net realized gain (loss) and unrealized appreciation (depreciation) on investments:
Net realized gain on sale of investments in portfolio shares ........ 72,012 -
Net change in unrealized appreciation (depreciation) of investments in
portfolio shares .................................................. (46,944) 948
Net gain on investments in portfolio shares .................... 25,068 948
Net increase in net assets from operations ................... $ 274,112 $ 1,273
<FN>
The accompanying notes are an integral part of these financial statements.
</TABLE>
<TABLE>
GREAT AMERICAN RESERVE VARIABLE ANNUITY
ACCOUNT E
STATEMENTS OF CHANGES IN NET ASSETS
For the Year Ended December 31, 1995 and
the Period From July 25, 1994 to December 31, 1994
<CAPTION>
YEAR ENDED JULY 25, 1994 TO
DECEMBER 31, DECEMBER 31,
1995 1994
Changes from operations:
<S> <C> <C>
Net investment income ............................................... $ 249,044 $ 325
Net realized gain on sale of investments ............................ 72,012 -
Net change in unrealized appreciation (depreciation) of investments. (46,944) 948
Net increase in net assets from operations ........................ 274,112 1,273
Changes from principal transactions:
Net contract purchase payments. ..................................... 4,933,143 77,432
Contract redemptions. ............................................... (9,667) -
Net transfers from fixed account .................................... 42,904 461
Net increase in net assets from principal transactions ............ 4,966,380 77,893
Net Increase In Net Assets ..................................... 5,240,492 79,166
Net assets, beginning of period........................................ 79,166 -
Net assets, end of period (Note 6) ................................ $ 5,319,658 $ 79,166
<FN>
The accompanying notes are an integral part of these financial statements.
</TABLE>
GREAT AMERICAN RESERVE VARIABLE ANNUITY
ACCOUNT E
NOTES TO FINANCIAL STATEMENTS
(1) GENERAL
Great American Reserve Variable Annuity Account E (``Account E'') is
registered under the Investment Company Act of 1940, as amended, as a unit
investment trust. Account E was established on November 12, 1993 and
commenced operations on July 25, 1994 as a segregated investment account for
individual and group variable annuity contracts which are registered under
the Securities Act of 1933. The operations of Account E 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.
On June 1, 1995, the following investment options were available:
THE ALGER AMERICAN FUND
Leveraged AllCap Portfolio
Small Capitalization Portfolio
THE CONSECO SERIES TRUST
Asset Allocation Portfolio
Common Stock Portfolio
Corporate Bond Portfolio
Government Securities Portfolio
Money Market Portfolio
DREYFUS STOCK INDEX FUND
THE DREYFUS SOCIALLY RESPONSIBLE
GROWTH FUND, INC.
FEDERATED INVESTORS INSURANCE
MANAGEMENT SERIES
Corporate Bond Fund (High Yield)
International Stock Fund
Utility Fund
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
Prior to June 1, 1995, Account E invested solely in shares of the portfolios
of the Conseco Series Trust.
(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 E 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 E 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 E 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 E 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.
(3) PURCHASES AND SALES OF INVESTMENTS IN PORTFOLIO SHARES
The aggregate cost of purchases and proceeds from sales of investments in
portfolio shares for the year ended December 31, 1995 were $6,575,469 and
$1,353,396, respectively.
(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 E a fee, which is equal on an annual
basis to 1.25 percent of the daily value of the total investments of Account
E, for assuming the mortality and expense risks. These fees were $17,815 and
$127 for the year ended December 31, 1995 and the period from July 25, 1994
to December 31, 1994, respectively.
Pursuant to an agreement between Account E and the Company (which may be
terminated by the Company), the Company provides sales and administrative
services to Account E, as well as a minimum death benefit prior to
retirement. The Company may deduct a percentage of amounts surrendered to
cover sales expenses. The percentage varies up to 9.00 percent based upon the
number of years the contract has been held. In addition, the Company deducts
units from individual contracts annually and upon full surrender to cover an
administrative fee of $30. The Company also deducts daily from Account E a
fee, which is equal on an annual basis to 0.15 percent of the daily value of
the total investments of Account E, for administrative expenses. These
expenses were $2,137 and $15 for the year ended December 31, 1995 and the
period from July 25, 1994 to December 31, 1994, respectively.
(5) OTHER TRANSACTIONS WITH AFFILIATES
GARCO Equity Sales, Inc., an affiliate of the Company, is the principal
underwriter and performs all variable annuity sales functions on behalf of
the Company.
<TABLE>
(6) NET ASSETS
<CAPTION>
Net assets consisted of the following at December 31, 1995:
Proceeds from the sales of units
since organization, less cost
<S> <C>
of units redeemed ............................................. $5,044,273
Undistributed net investment income.............................. 249,369
Undistributed net realized gains
on sales of investments ....................................... 72,012
Net unrealized depreciation
of investments ................................................ (45,996)
Net assets................................................... $5,319,658
</TABLE>
REPORT OF INDEPENDENT ACCOUNTANTS
TO THE BOARD OF DIRECTORS OF GREAT AMERICAN RESERVE INSURANCE COMPANY AND
CONTRACT OWNERS OF GREAT AMERICAN RESERVE VARIABLE ACCOUNT E
We have audited the accompanying statement of assets and liabilities of
Great American Reserve Variable Annuity Account E (the `Account'') as of
December 31, 1995, and the related statements of operations and changes in
net assets for the year ended December 31, 1995 and for the period from July
25, 1994 to December 31, 1994. These financial statements are the
responsibility of the Account's management. Our responsibility is to express
an opinion on these financial statements based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements are free
of material misstatement. An audit includes examining, on a test basis,
evidence supporting the amounts and disclosures in the financial statements.
Our procedures included confirmation of portfolio shares owned at December
31, 1995 by correspondence with custodians. An audit also includes assessing
the accounting principles used and significant estimates made by management,
as well as evaluating the overall financial statement presentation. We
believe that our audits provides a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly,
in all material respects, the financial position of Great American Reserve
Variable Annuity Account E as of December 31, 1995, and the results of its
operations and the changes in its net assets for the year ended December 31,
1995 and for the period from July 25, 1994 to December 31, 1994, in
conformity with generally accepted accounting principles.
Coopers & Lybrand L.L.P.
Indianapolis, Indiana
February 16, 1996
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 E for 1995. 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, for the year
ended 1995, and 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.
<TABLE>
<CAPTION>
MORNINGSTAR
YEAR ENDED YEAR ENDED
DECEMBER 31, DECEMBER 31,
PORTFOLIO 1995 1995 (1)
<S> <C> <C>
Asset Allocation... 29.67% 22.17%
Common Stock....... 34.42% 31.10%
Corporate Bond..... 16.61% 16.44%
Government Securities 15.72% 15.83%
Money Market....... 4.14% 4.34%
<FN>
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
12/31/95.
</TABLE>
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 options you need to
build wealth given your individual risk tolerance.
Financial assets provided for some of the best returns during 1995. The
stock market, measured by the Standard & Poor's 500 returned 37.5% for the
year while the long U.S. Treasury bond returned 34.2%, its third best return
ever. This past year's performance was unusual for two reasons: first, for
both stocks and bonds to produce returns of this magnitude in the same year
does not occur often in one's lifetime and second, it occurred after four
years of economic growth, not a recession.
In actuality, 1995's economic figures, like 1994, were as innocuous as they
come-growth and inflation were around 2.5 percent. We expect the economy will
record weak growth in early 1996 because of the harsh winter throughout the
country and the lagged effect of the government shutdowns. However, the dip
should prove temporary and growth should improve as a consequence of the
booming financial markets in 1995 and the shift to a less restrictive
monetary policy since July. The key short-term risk is whether the budget
gridlock will continue to erode confidence, which remains near cyclical
highs, thereby extending the soft economic environment.
Looking ahead in 1996, Conseco Capital Management will continue to seek out
investment opportunities which provide a competitive investment return for
your variable annuity.
Sincerely,
Maxwell E. Bublitz
President
REPORT FROM THE ASSET ALLOCATION PORTFOLIO ADVISORS
The objective of the Conseco Series Trust Asset Allocation portfolio is to
produce a high level of total return through the use of various asset classes
including equity and fixed income securities as well as short term
investments. The fixed income portion of the portfolio is managed with a
strategy designed to achieve a high current income and provide a measure of
stability to the overall portfolio. This is accomplished through investments
in both investment grade and high yield bonds. The equity portion of the
portfolio seeks to invest in premium growth companies with below average
valuations.
Both equities and fixed income securities turned in impressive returns for
1995 and the performance of the portfolio reflected these gains in the
markets. Generally, through the year we have maintained an allocation of 60%
equities and 40% bonds; however, we have let cash accumulate through the last
quarter of the year given the market rally in both stocks and bonds.
In the equity portion of the portfolio, we remained focused upon finding
companies that exhibit long-term prospects for above-average earnings growth.
We maintained our bullish stance toward energy with heavy weightings in names
like Halliburton and Noble Drilling. Consumer staples were prominent in our
portfolio with a large holding in Philip Morris. During the year, bullish
sentiment continued to remain at high levels despite downward earnings per
share revisions by Wall Street analysts, reaching 60% by mid December. This
brought about an increasing level of selectivity as investors justified
higher valuations for a smaller group of large, blue chip stocks. This narrow
focus led to a rally which left over 60% of the Standard & Poor's 500 stocks
lagging the index. We look ahead to 1996 with a slightly more positive
posture. The markets should be held in check, particularly with the help of
an accommodating Federal Reserve Board in the midst of a Presidential
election year. However, we see more opportunity in the mid- and small-cap
sectors of the market rather than the broader indices. We continue to have a
slightly more positive bias towards energy, selected financials and
technology
The fixed income portion of the portfolio continues to emphasize
investments in undervalued securities across all quality spectrums. With our
investment philosophy deeply rooted in security selection, we are investing
in those securities which our research analysts believe are undervalued.
Issuers in which we invested during the year included: News America Holdings,
Coastal Corp., and USG Corp.
We do not expect to see the impressive returns of financial assets in 1995
repeated in 1996. Thus, we expect to alter the asset mix as security
valuations change.
Gregory J. Hahn, CFA Thomas J. Pence
Senior Vice President Second Vice President
Portfolio Manager Portfolio Manager
REPORT FROM THE COMMON STOCK PORTFOLIO ADVISOR
In the second half of 1995 the market continued to make strong gains on top
of those in the early part of the year. What was obvious, however, was the
change in leadership as we entered the fall. As technology took a well
deserved breather in the face of weaker earnings sentiment and the fear of a
recession, the market favored financials, consumer staples, and healthcare as
leaders. Bullish sentiment continued to remain at high levels despite
downward earnings per share revisions by Wall Street analysts, reaching 60%
by mid December. This brought about an increasing level of selectivity as
investors justified higher valuations for a smaller group of large, blue chip
stocks. This narrow focus led to a rally which left over 60% of the Standard
& Poor's 500 (S&P) stocks lagging the index. What is even more telling is
that a majority of the S&P returns can be attributed to the appreciation of a
mere 22 stocks.
Over the period the S&P returned 14.42% on top of an even better first
half. Gains were concentrated in financials, utilities, and consumer staples.
The final three months of the period showed continued gains in consumer
staples with the emergence of leadership in capital goods. Technology lagged
the index with semiconductors selling off sharply in the last three months,
nearly wiping out gains achieved earlier in the year.
We continued to stay focused upon finding companies that exhibit longer-
term prospects for above average earnings growth. We maintained our bullish
stance toward energy with heavy weightings in names like Halliburton and
Noble Drilling. Consumer staples were prominent in our portfolio with a large
holding in Philip Morris. Communications equipment continued to have a strong
weighting in the portfolio as the demand for communications infrastructure
continues its strong growth, particularly internationally. Nokia Corporation,
Network General, and Brightpoint Inc. highlighted this focus. In the
financials, our holdings included First Union Corporation and Franklin
Resources.
We look ahead to 1996 with a slightly more positive posture. The markets
should be held in check, particularly with the help of an accommodating Fed
in the midst of a Presidential election year. However, we see more
opportunity in the mid- and small-cap sectors of the market rather than the
broader indices. In fact, with record levels of bullishness in early January,
a 5-10% correction in the Dow Jones Industrial Average and S&P would not
surprise us. Such a drop would be healthy and would likely create even more
opportunities. We continue to have a slightly more positive bias towards
energy, selected financials and technology.
Thomas J. Pence
Second Vice President
Portfolio Manager
REPORT FROM THE CORPORATE BOND PORTFOLIO ADVISOR
By most measures, the fixed income market in 1995 provided some of the best
returns for bond investors. The long U.S. treasury bond, for example,
provided a return of 34.2% for the year which was only surpassed in 1985
(34.3%) and 1982 (40.9%). Long maturity bonds, such as long U.S. Treasuries
and corporates provided the best returns, while short duration securities
like Treasury bills and asset-backed securities provided lower returns.
As in past years, we have consistently implemented a strategy throughout
1995 which emphasizes individual security selection and thorough, independent
research. Since we do not try to anticipate changes in the direction of
interest rates, we strive to add incremental return to the fund through
assessing a security's relative value and investing in those securities which
we consider undervalued. Nac Re Corporation and First National Bank of Omaha
are two examples of the type of bond in which we like to invest. Nac Re
Corporation is an insurance company which specializes in the assumption of
risk from other insurance companies. Given its strong balance sheet, solid
management and earnings potential, we like the current prospects of the
company. Similarly, the First National Bank of Omaha has strong market share
and a respected management team which has guided the bank to a strong level
of profitability with conservative lending practices.
With the strong performance of the bond market in 1995, we are a bit
cautious on the market in 1996. The current level of interest rates has
assumed a lot of good news and volatility may increase especially if a budget
accord is not reached or the economy unexpectedly shows signs of strength.
Also, an increase in the supply of debt to finance the recent pickup in
mergers and acquisitions (McDonnell Douglas/Lockheed, Time Warner/Turner
Broadcasting) may force yield spreads wider. Unless valuations are
compelling, we will mitigate this risk through the prudent use of other
sectors such as mortgage-backed securities, asset-backed securities and U.S.
Treasury and Agency securities.
Gregory J. Hahn, CFA
Senior Vice President
Portfolio Manager
REPORT FROM THE GOVERNMENT SECURITIES PORTFOLIO ADVISOR
After a short pause to catch its breath in the third quarter, the bond
market resumed its impressive rally. The 30 year U.S. Treasury bond was
yielding 6.62 percent at the close of the second quarter and ended the year
at 5.95 percent. In fact, after rising in yield during July and August to
reach 7.00 percent, the 30 year bond rallied some 105 basis points (bps),
nearly duplicating its torrid pace of the first half of 1995. The yield on
the two year U.S. Treasury note mirrored the performance of the 30 year bond,
as its yield fell from 5.79 percent mid-year to 5.15 percent at the end of
1995. The spread between the two year note and 30 year bond now stands at 80
bps in contrast to the 19bp spread at the year-end 1994. This steepening in
the U.S. Treasury yield curve occurred during the first half of the year.
The performance of the mortgage-backed securities (MBS) sector during the
second half of 1995 was strikingly similar to that of the first two quarters.
After performing well during the third quarter, MBS drastically
underperformed their Treasury counterparts in the fourth quarter. For the six
month period, the Lehman Brothers Mortgage Index returned 5.49 percent. In
contrast, the Lehman Brothers Government Index posted a return of 6.42
percent for the same time period. The resumption of the drop in yields in the
U.S. Treasury market caused a reawakening of prepayment fears and increased
the callability of most MBS products. Also, technicals in the MBS market were
not strong for the first time in a while. Standard and Poor's instituted an
additional capital charge on insurance companies based on the size of their
MBS holdings. Insurance companies, a traditional buyer of MBS, for the most
part stayed clear of the MBS market during the latter stages of 1995.
Presently, it appears that investors are being fairly compensated for
bearing the risk of owning MBS. The yield on the 10 year U.S. Treasury note
is within 40 bps of the low yields reached in October, 1993. Also, it is much
easier today for a homeowner to refinance his/her mortgage than it was then.
Should rates continue to fall, we could see a marked increase in prepayments.
However, spreads of most MBS are at very wide levels already, fully
reflecting this risk. Also, technicals should be stronger for MBS as year-end
pressures have subsided. Our position on MBS is neutral at this time and we
will maintain allocations in line with our benchmark index. As for the U.S.
Treasury market, it appears rates could have some further room to drop, but
eventually these low levels of interest rates will stimulate the economy and
we would expect a turnaround in the trend. We will look for opportunities to
configure the portfolio to best perform under this scenario.
Joseph F. DeMichele
Vice President
Portfolio Manager
REPORT FROM THE MONEY MARKET PORTFOLIO ADVISOR
During the second half of 1995, the Federal Open Market Committee, (FOMC),
met five times to discuss the economic and financial outlook and
implementation of monetary policy. All published economic data throughout
this time period reflected that current economic activity was expanding at a
more moderate level after increasing at a sluggish pace in the second
quarter. Consumer spending showed continued moderate growth, while housing
demand increased sharply. Furthermore, the FOMC continued with their
directive that called for maintaining the existing amount of pressure on
reserve positions, but did not hint toward any possible action before the
next scheduled meetings. The result through three meetings was no change in
monetary policy.
However, at the December 19th meeting, FOMC members voted to cut the target
Federal Funds rate from 5.75 percent to 5.50 percent. Fed Chairman Alan
Greenspan stated in a written statement, `Since the last easing of monetary
policy in July, inflation has been somewhat more favorable than anticipated,
and as a result along with an associated moderation in inflation expectations
warrants a modest easing in monetary conditions'. The move came as somewhat
of a surprise due to the inability of the White House and Congress to come to
an agreement regarding a balanced budget. President Clinton's administration
commented that they respected the Federal Reserve's independence on making
decisions about the nation's monetary policy. News of the cut pushed the
yield on the 3-Month Bill down 12 basis points from the previous close to a
5.22, and down 9 basis points on the 30 year Treasury to yield a 6.11.
Throughout the entire second half of the year, money market levels
continued to trend downward in anticipation of a future monetary ease. Top-
tier 30-day commercial paper went from trading around a 5.94 discount on July
1st, to a 5.53 on December 31st. The yield on the 3-month T-Bill went from a
5.60 to a 5.07, and the 1-year Bill went from a 5.62 to a 5.13.
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 corporate debt.
William F. Ficca
Portfolio Manager
<TABLE>
CONSECO SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1995
<CAPTION>
ASSET COMMON CORPORATE GOVERNMENT MONEY
ALLOCATION STOCK BOND SECURITIES MARKET
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ---------- ---------- ---------- ----------
Assets:
Investments in securities
(cost or amortized cost -
$8,687,704, $96,391,989,
$15,369,957, $4,318,528, and
<S> <C> <C> <C> <C> <C>
$5,137,767, respectively)............... $ 9,484,042 $109,671,464 $ 15,733,642 $ 4,515,921 $ 5,137,767
Cash ................................... - - - 1,158 44,843
Accrued interest and dividends ............ 68,286 114,409 240,134 44,501 656
Receivable for securities sold ............ 619,094 1,375,936 325,875 - -
Receivable for shares sold ................ 72,096 361,793 48,587 53,545 214,428
Total assets....................... 10,243,518 111,523,602 16,348,238 4,615,125 5,397,694
Liabilities:
Accrued expenses .......................... 5,566 68,269 8,770 2,518 1,817
Payable for securities purchased .......... 654,577 1,819,808 293,100 - -
Total liabilities .................... 660,143 1,888,077 301,870 2,518 1,817
Net assets (Note 5) .................. $ 9,583,375 $109,635,525 $ 16,046,368 $ 4,612,607 $ 5,395,877
Shares outstanding (unlimited
number of shares authorized) .............. 773,438 5,818,012 1,581,260 372,678 5,395,877
Net asset value, offering and
redemption price per share ................ $ 12.39 $ 18.84 $ 10.15 $ 12.38 $ 1.00
<FN>
The accompanying notes are an integral part of these financial statements.
</TABLE>
<TABLE>
CONSECO SERIES TRUST
STATEMENT OF OPERATIONS
For the Year Ended December 31, 1995
<CAPTION>
ASSET COMMON CORPORATE GOVERNMENT MONEY
ALLOCATION STOCK BOND SECURITIES MARKET
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ---------- ---------- ---------- ----------
Investment income:
<S> <C> <C> <C> <C> <C>
Dividends ...................... $ 99,351 $ 1,978,478 $ - $ - $ -
Interest ....................... 273,711 388,775 1,081,342 325,937 292,616
Total investment income ...... 373,062 2,367,253 1,081,342 325,937 292,616
Expenses:
Investment advisory fees ....... 42,089 545,930 71,805 23,172 12,351
Compensation expenses .......... 10,385 117,320 20,901 7,000 7,163
Custodial fees ................. 8,722 6,035 3,705 2,296 3,041
Other .......................... 5,513 60,755 10,947 3,766 3,055
Total expenses ............... 66,709 730,040 107,358 36,234 25,610
Less: expenses charged to
the Adviser (Note 3) ......... 9,315 2,134 6,831 3,793 3,378
Net expenses .............. 57,394 727,906 100,527 32,441 22,232
Net investment income ..... 315,668 1,639,347 980,815 293,496 270,384
Net realized gain on sale
of investments ................. 986,254 17,257,854 330,899 205,153 -
Unrealized appreciation (depreciation)
of investments:
Beginning of year ............ 33,318 4,174,477 (711,570) (52,491) -
End of year .................. 796,338 13,279,475 363,685 197,393 -
Net change in unrealized
appreciation of investments 763,020 9,104,998 1,075,255 249,884 -
Net realized and unrealized
gain on investments ..... 1,749,274 26,362,852 1,406,154 455,037 -
Net increase in net
assets from operations. . $ 2,064,942 $28,002,199 $ 2,386,969 $ 748,533 $ 270,384
<FN>
The accompanying notes are an integral part of these financial statements.
</TABLE>
<TABLE>
CONSECO SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
For the Years Ended December 31, 1995 and 1994
<CAPTION>
ASSET ALLOCATION COMMON STOCK
PORTFOLIO PORTFOLIO
------------------- -------------------
1995 1994 1995 1994
------ ------ ------ ------
Changes from operations:
<S> <C> <C> <C> <C>
Net investment income ................... $ 315,668 $ 270,931 $ 1,639,347 $ 1,024,867
Net realized gain (loss) on sale of
investments ........................... 986,254 (116,597) 17,257,854 913,112
Net change in unrealized appreciation
(depreciation) of investments ......... 763,020 (209,775) 9,104,998 (437,837)
Net increase (decrease) in
net assets from operations ....... 2,064,942 (55,441) 28,002,199 1,500,142
Net income equalization (Note 2)........... (45,637) 3,309 (304,482) (189,980)
Dividends to shareholders from net
investment income and net realized
short-term capital gains ................ (1,088,856) (158,742) (13,216,278) (1,205,143)
Distributions to shareholders of net realized
long-term capital gains ................. (190,541) (18,117) (4,375,576) (577,489)
Capital share transactions:
Net proceeds from sale of shares. ....... 2,337,932 2,270,083 10,907,804 10,531,683
Net asset value of shares issued from reinvest-
ment of dividends and distributions ... 1,325,034 173,550 17,896,336 1,972,612
Cost of shares redeemed. ................ (991,889) (2,204,176) (4,034,206) (4,071,921)
Net increase (decrease) in net assets from
capital share transactions ....... 2,671,077 239,457 24,769,934 8,432,374
Net increase (decrease) in net assets 3,410,985 10,466 34,875,797 7,959,904
Net assets, beginning of year.............. 6,172,390 6,161,924 74,759,728 66,799,824
Net assets, end of year (Note 5)........... $ 9,583,375 $ 6,172,390 $109,635,525 $74,759,728
Share data:
Shares sold ............................. 187,752 203,375 576,891 645,373
Shares issued from reinvestment of
dividends and distributions ........... 106,975 15,862 938,043 121,947
Shares redeemed ......................... (80,133) (200,819) (215,685) (250,071)
Net increase (decrease) in number
of shares outstanding ............ 214,594 18,418 1,299,249 517,249
<FN>
The accompanying notes are an integral part of these financial statements.
</TABLE>
<TABLE>
CONSECO SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
For the Years Ended December 31, 1995 and 1994
- CONTINUED -
<CAPTION>
Corporate Bond Government Money Market
Portfolio Securities Portfolio Portfolio
-------------------- -------------------- --------------------
1995 1994 1995 1994 1995 1994
------ ------ ------ ------ ------ ------
Changes from operations:
<S> <C> <C> <C> <C> <C> <C>
Net investment income ................... $ 980,815 $ 882,258 $ 293,496 $ 384,464 $ 270,384 $ 188,492
Net realized gain (loss) on sale of
investments ........................... 330,899 (593,357) 205,153 (544,871) - -
Net change in unrealized appreciation
(depreciation) of investments ......... 1,075,255 (667,763) 249,884 (47,147) - -
Net increase (decrease) in
net assets from operations ....... 2,386,969 (378,862) 748,533 (207,554) 270,384 188,492
Net income equalization (Note 2)........... (14,120) 5,783 42,608 68,488 - -
Dividends to shareholders from net
investment income and net realized
short-term capital gains ................ (1,385,323) (368,156) (269,374) (94,576) (270,384) (188,492)
Distributions to shareholders of net realized
long-term capital gains ................. - - - - - -
Capital share transactions:
Net proceeds from sale of shares. ....... 1,739,415 1,465,435 494,412 164,019 2,344,876 1,883,108
Net asset value of shares issued from
reinvestment of dividends and
distributions ........................ 1,399,443 362,373 226,766 26,088 270,384 188,492
Cost of shares redeemed. ................ (983,079) (1,760,950) (1,343,123) (2,823,046) (2,324,750) (2,195,874)
Net increase (decrease) in net assets
from capital share transactions .. 2,155,779 66,858 (621,945) (2,632,939) 290,510 (124,274)
Net increase (decrease) in net assets 3,143,305 (674,377) (100,178) (2,866,581) 290,510 (124,274)
Net assets, beginning of year.............. 12,903,063 13,577,440 4,712,785 7,579,366 5,105,367 5,229,641
Net assets, end of year (Note 5)........... $ 16,046,368 $ 12,903,063 $ 4,612,607 $ 4,712,785 $ 5,395,877 $ 5,105,367
Share data:
Shares sold ............................. 174,704 152,017 41,122 14,714 2,344,876 1,883,108
Shares issued from reinvestment of
dividends and distributions ........... 140,379 37,376 18,550 2,260 270,384 188,492
Shares redeemed ....................... (99,878) (183,354) (112,066) (253,588) (2,324,750) (2,195,874)
Net increase (decrease) in number
of shares outstanding ............ 215,205 6,039 (52,394) (236,614) 290,510 (124,274)
<FN>
The accompanying notes are an integral part of these financial statements.
</TABLE>
<TABLE>
Conseco Series Trust
ASSET ALLOCATION PORTFOLIO
STATEMENT OF INVESTMENTS IN SECURITIES
<CAPTION>
NUMBER
OF SHARES SECURITY VALUE
- ---------------------------------------------------------------------------
COMMON STOCKS
(53.79% of total investments) (a)
AIR TRANSPORT (0.93%)
<C> <S> <C>
1,200 DELTA AIRLINES.................................. $ 88,650
----------
AUTO PARTS/EQUIPMENT (1.95%)
3,420 MILLER INDUSTRIES, INC. (b)..................... 84,645
6,200 TITAN WHEEL INTERNATIONAL....................... 100,750
----------
185,395
----------
BANKING (1.82%)
3,100 FIRST UNION CORPORATION......................... 172,437
----------
BROADCASTING (1.10%)
2,209 VIACOM, INC., CLASS B (b)....................... 104,651
----------
BUILDING (3.99%)
6,000 BEAZER HOMES USA, INC. (b)...................... 123,750
1,300 PALM HARBOR HOMES, INC. (b)..................... 28,275
5,000 USG CORPORATION (b)............................. 150,000
2,600 U.S. HOME CORPORATION (b)....................... 75,725
----------
377,750
----------
CHEMICALS (3.04%)
7,060 IMC GLOBAL, INC................................. 288,578
----------
DATA PROCESSING (6.72%)
12,600 IKOS SYSTEMS, INC. (b).......................... 140,175
2,300 INTERNATIONAL BUSINESS MACHINES................. 211,025
1,500 MICROS SYSTEMS, INC. (b)........................ 73,875
4,200 NETWORK GENERAL CORPORATION (b)................. 140,175
4,800 SOFTWARE ARTISTRY, INC. (b)..................... 72,000
----------
637,250
----------
ELECTRONICS/ELECTRIC (3.71%)
7,300 CALIFORNIA MICRO DEVICES CORPORATION (b)........ 62,962
2,300 DOVATRON INTERNATIONAL, INC. (b)................ 77,625
11,600 MENTOR GRAPHICS CORPORATION (b)................. 211,700
----------
352,287
----------
FINANCE (1.48%)
3,700 CORESTATES FINANCIAL CORPORATION................ 140,137
----------
HEALTH CARE CENTERS (1.87%)
8,000 COMMUNITY PSYCHIATRIC CENTERS................... 98,000
3,290 MAGELLAN HEALTH SERVICES, INC. (b).............. 78,960
----------
176,960
----------
INSURANCE (3.14%)
690 GENERAL RE CORPORATION.......................... 106,950
2,400 PRUDENTIAL REINSURANCE HOLDINGS ................ 56,100
2,900 U.S. HEALTHCARE, INC............................ 134,850
----------
297,900
----------
MACHINERY (1.13%)
6,900 COMPUTATIONAL SYSTEMS, INC. (b)................. $ 106,950
----------
MEDICAL EQUIPMENT/SUPPLY (1.16%)
2,600 GUIDANT CORPORATION............................. 109,850
----------
MINING (0.91%)
6,200 ZEIGLER COAL HOLDING COMPANY.................... 86,025
----------
MUTUAL FUND (1.81%)
3,400 FRANKLIN RESOURCES, INC......................... 171,275
----------
OIL AND GAS (9.20%)
4,870 APACHE CORPORATION.............................. 143,665
2,400 DIAMOND OFFSHORE DRILLING (b)................... 81,000
2,800 ENRON OIL & GAS COMPANY......................... 67,200
4,400 HALLIBURTON COMPANY............................. 222,750
18,400 NOBLE DRILLING CORPORATION (b).................. 165,600
2,000 SEACOR HOLDINGS, INC. (b)....................... 54,000
1,765 TEXACO, INC..................................... 138,553
----------
872,768
----------
PUBLISHING (0.48%)
1,200 TIME WARNER, INC................................ 45,450
----------
RAIL EQUIPMENT (0.49%)
2,100 ABC RAIL PRODUCTS CORPORATION (b)............... 46,463
----------
LAND DEVELOPMENT/REAL ESTATE (1.05%)
5,400 NHP, INC........................................ 99,900
----------
RETAIL STORES (1.37%)
1,000 LOWES COMPANIES................................. 33,500
3,675 PROFFITT'S, INC. (b)............................ 96,469
----------
129,969
----------
SERVICES (0.11%)
300 EMPLOYEE SOLUTIONS, INC. (b).................... 10,200
----------
TELECOMMUNICATIONS (3.18%)
8,400 BRIGHTPOINT, INC. (b)........................... 118,650
2,510 BRITE VOICE SYSTEMS, INC. (b)................... 34,826
3,820 NOKIA CORPORATION (ADR) (b)..................... 148,503
----------
301,979
----------
TOBACCO (1.72%)
1,800 PHILIP MORRIS COMPANIES, INC.................... 162,900
----------
UTILITIES-GAS (1.43%)
3,630 THE COASTAL CORPORATION......................... 135,217
----------
TOTAL COMMON STOCKS (COST $4,452,814)........... 5,100,941
----------
</TABLE>
<TABLE>
Conseco Series Trust
ASSET ALLOCATION PORTFOLIO
STATEMENT OF INVESTMENTS IN SECURITIES
<CAPTION>
PRINCIPAL
AMOUNT SECURITY VALUE
- ---------------------------------------------------------------------------
CORPORATE BONDS
(27.04% OF TOTAL INVESTMENTS) (a)
AIR TRANSPORT (1.26%)
<C> <S> <C>
$100,000 DELTA AIRLINES 1988 ETC-B,
10.050%, DUE 06/16/2005......................... $ 119,375
----------
BANKING (3.20%)
200,000 ANCHOR BANCORP,
8.938%, DUE 07/09/2003.......................... 209,250
100,000 BANKERS TRUST COMPANY,
6.000%, DUE 10/15/2008.......................... 94,375
----------
303,625
----------
BROADCASTING (3.24%)
100,000 CENTURY COMMUNICATIONS, INC.,
9.500%,DUE 03/01/2005........................... 103,000
200,000 VIACOM INTERNATIONAL, INC.,
8.000%, DUE 07/07/2006.......................... 204,500
----------
307,500
----------
FINANCE (2.27%)
100,000 COUNTRYWIDE FUNDING MTN,
7.750%, DUE 08/10/2001.......................... 108,125
100,000 GNS FINANCE CORP.,
9.250%, DUE 03/15/2003.......................... 107,250
----------
215,375
----------
INSURANCE (2.16%)
200,000 NAC RE CORPORATION,
7.150%, DUE 11/15/2005.......................... 204,750
----------
MINING/DIVERSIFIED (1.24%)
100,000 INCO LTD., 9.600%, DUE 06/15/2022............... 117,250
----------
PUBLISHING (2.42%)
200,000 NEWS AMERICA HOLDINGS,
8.450%, DUE 08/01/2034.......................... 229,750
----------
PAPER/PRODUCTS (1.13%)
100,000 WESTVACO CORPORATION,
10.300%, DUE 01/15/2019......................... 107,250
----------
SECURITIES (1.20%)
100,000 LEHMAN BROTHERS HOLDING, INC.,
8.800%, DUE 03/01/2015.......................... 114,000
----------
TEXTILES (2.07%)
200,000 GUESS?, INC.,
9.500%, DUE 08/15/2003.......................... 196,000
----------
UTILITIES-ELECTRIC (2.71%)
$200,000 COMMONWEALTH EDISON CO.,
9.170%, DUE 10/15/2002.......................... $ 227,500
29,000 SYSTEM ENERGY RESOURCES, INC.,
11.375%, DUE 09/01/2016......................... 29,218
----------
256,718
----------
UTILITIES-DIVERSIFIED (4.14%)
100,000 HERO ASIA (BVI) COMPANY LIMITED,
9.110%, DUE 10/15/2001.......................... 102,250
100,000 LONG ISLAND LIGHTING,
7.125%, DUE 06/01/2005.......................... 94,125
100,000 NIAGARA MOHAWK POWER,
6.875%, DUE 04/01/2003.......................... 92,875
100,000 NORTHERN INDIANA PUBLIC SERVICE
COMPANY, 7.420%, DUE 01/08/2024................. 103,375
----------
392,625
----------
TOTAL CORPORATE BONDS (COST $2,416,007)......... $2,564,218
---------
COMMERCIAL PAPER
(19.17% OF TOTAL INVESTMENTS) (a)
BANKING (4.74%)
450,000 CENTRAL CORPORATE CREDIT UNION
MICHIGAN, 6.100%, DUE 01/03/1996................ 449,695
----------
FINANCE (4.74%)
450,000 CIESCO L.P., 5.850%, DUE 01/03/1996............. 449,708
----------
OIL AND GAS (4.95%)
470,000 KOCH INDUSTRIES CORPORATION, INC.,
5.850%, DUE 01/02/1996.......................... 469,770
----------
TELECOMMUNICATIONS (4.74%)
450,000 PACIFIC BELL, 5.800%, DUE 01/03/1996............ 449,710
----------
TOTAL COMMERCIAL PAPER
(COST $1,818,883)............................... 1,818,883
----------
TOTAL INVESTMENTS IN
SECURITIES (COST $8,687,704) (c)................ $9,484,042
----------
<FN>
(a) USING STANDARD & POOR'S INDUSTRY CLASSIFICATIONS.
(b) NON-DIVIDEND PAYING COMMON STOCK.
(c) COST ALSO REPRESENTS COST FOR FEDERAL INCOME TAX PURPOSES.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
Conseco Series Trust
COMMON STOCK PORTFOLIO
STATEMENT OF INVESTMENTS IN SECURITIES
DECEMBER 31, 1995
<CAPTION>
NUMBER
OF SHARES SECURITY VALUE
- ---------------------------------------------------------------------------
COMMON STOCKS
(93.35 % OF TOTAL INVESTMENTS) (a)
AIR TRANSPORT (1.58%)
<C> <S> <C>
23,400 DELTA AIRLINES.................................. $1,728,675
----------
AUTO PARTS/EQUIPMENT (3.27%)
67,340 MILLER INDUSTRIES, INC. (b)..................... 1,666,665
118,300 TITAN WHEEL INTERNATIONAL....................... 1,922,375
----------
3,589,040
----------
BANKING (2.97%)
58,550 FIRST UNION CORPORATION ........................ 3,256,844
----------
BROADCASTING (1.88%)
43,464 VIACOM, INC., CLASS B (b) ...................... 2,059,107
----------
BUILDING (6.66%)
117,100 BEAZER HOMES USA, INC. (b)...................... 2,415,187
27,400 PALM HARBOR HOMES, INC. (b)..................... 595,950
93,900 USG CORPORATION (b)............................. 2,817,000
50,700 U.S. HOME CORPORATION (b)....................... 1,476,637
----------
7,304,774
----------
CHEMICALS (4.95%)
132,800 IMC GLOBAL, INC................................. 5,428,200
----------
DATA PROCESSING (11.76%)
248,800 IKOS SYSTEMS, INC. (b).......................... 2,767,900
44,800 INTERNATIONAL BUSINESS MACHINES ................ 4,110,400
32,100 MICROS SYSTEMS, INC. (b)........................ 1,580,925
89,200 NETWORK GENERAL CORPORATION (b)................. 2,977,050
97,300 SOFTWARE ARTISTRY, INC. (b)..................... 1,459,500
----------
12,895,775
----------
ELECTRONICS/ELECTRIC (5.77%)
147,100 CALIFORNIA MICRO DEVICES
CORPORATION (b)................................. $1,268,738
46,100 DOVATRON INTERNATIONAL, INC. (b)................ 1,555,875
192,200 MENTOR GRAPHICS CORPORATION (b)................. 3,507,650
----------
6,332,263
----------
FINANCE (2.49%)
72,200 CORESTATES FINANCIAL CORPORATION ............... 2,734,575
----------
HEALTH CARE CENTERS (3.12%)
156,000 COMMUNITY PSYCHIATRIC CENTERS................... 1,911,000
62,730 MAGELLAN HEALTH SERVICES, INC. (b).............. 1,505,520
----------
3,416,520
----------
LAND DEVELOPMENT/REAL ESTATE (1.78%)
105,300 NHP, INC. (b)................................... 1,948,050
----------
INSURANCE (5.30%)
13,430 GENERAL RE CORPORATION.......................... 2,081,650
46,800 PRUDENTIAL REINSURANCE HOLDINGS................. 1,093,950
56,600 U.S. HEALTHCARE, INC............................ 2,631,900
----------
5,807,500
----------
MACHINERY (1.83%)
129,100 COMPUTATIONAL SYSTEMS, INC. (b)................. 2,001,050
----------
MEDICAL EQUIPMENT/SUPPLY (1.95%)
50,700 GUIDANT CORPORATION............................. 2,142,075
----------
MINING/DIVERSIFIED (2.14%)
88,000 AMAX GOLD, INC. (b)............................. 638,000
123,400 ZEIGLER COAL HOLDING COMPANY.................... 1,712,175
----------
2,350,175
----------
MUTUAL FUND (3.00%)
65,400 FRANKLIN RESOURCES, INC......................... 3,294,525
----------
OIL AND GAS (17.51%)
96,150 APACHE CORPORATION.............................. $2,836,425
46,800 DIAMOND OFFSHORE DRILLING (b)................... 1,579,500
54,600 ENRON OIL & GAS COMPANY ........................ 1,310,400
86,700 HALLIBURTON COMPANY............................. 4,389,187
357,600 NOBLE DRILLING CORPORATION (b).................. 3,218,400
39,000 SEACOR HOLDINGS, INC. (b)....................... 1,053,000
35,010 TEXACO, INC..................................... 2,748,285
36,000 TRITON ENERGY CORPORATION....................... 2,065,500
----------
19,200,697
----------
PUBLISHING (0.78%)
22,800 TIME WARNER, INC................................ 863,550
----------
RAIL EQUIPMENT (0.93%)
46,400 ABC RAIL PRODUCTS CORPORATION (b)............... 1,026,600
----------
RETAIL STORES (2.37%)
19,500 LOWES COMPANIES................................. 653,250
73,975 PROFFITT'S, INC. (b)............................ 1,941,844
----------
2,595,094
----------
SERVICES (0.17%)
5,550 EMPLOYEE SOLUTIONS, INC. (b).................... 188,700
----------
TELECOMMUNICATIONS (5.64%)
164,300 BRIGHTPOINT, INC. (b)........................... 2,320,738
64,130 BRITE VOICE SYSTEMS, INC. (b)................... 889,804
76,455 NOKIA CORPORATION (ADR) (b)..................... 2,972,188
----------
6,182,730
----------
TOBACCO (3.06%)
37,075 PHILIP MORRIS COMPANIES, INC.................... 3,355,287
----------
UTILITIES-GAS (2.44%)
71,800 THE COASTAL CORPORATION......................... 2,674,550
----------
TOTAL COMMON STOCKS (COST $89,096,881).......... 102,376,356
-----------
</TABLE>
<TABLE>
Conseco Series Trust
COMMON STOCK PORTFOLIO
STATEMENT OF INVESTMENTS IN SECURITIES (Continued)
DECEMBER 31, 1995
<CAPTION>
PRINCIPAL
AMOUNT SECURITY VALUE
- ---------------------------------------------------------------------------
COMMERCIAL PAPER
(6.65 % OF TOTAL INVESTMENTS) (a)
BANKING (4.83%)
<C> <S> <C>
$5,300,000 CENTRAL CORPORATE CREDIT UNION
MICHIGAN, 6.100%, DUE 01/03/1996................ $5,296,408
----------
FINANCE (1.82%)
2,000,000 CIESCO L.P., 5.850%, DUE 01/03/1996............. 1,998,700
----------
TOTAL COMMERCIAL PAPER (COST $7,295,108)........ 7,295,108
----------
TOTAL INVESTMENTS IN
SECURITIES (COST $96,391,989)(c)................ $ 109,671,464
-------------
<FN>
(a) Using Standard & Poor's industry classifications.
(b) Non-dividend paying common stock.
(c) Cost also represents cost for federal income tax purposes.
The accompanying notes are an integral part of these financial statements.
</TABLE>
<TABLE>
Conseco Series Trust
CORPORATE BOND PORTFOLIO
STATEMENT OF INVESTMENTS IN SECURITIES
DECEMBER 31, 1995
<CAPTION>
PRINCIPAL
AMOUNT SECURITY VALUE
- ---------------------------------------------------------------------------
CORPORATE BONDS
(70.52% OF TOTAL INVESTMENTS) (a)
AIR TRANSPORT (3.14%)
<C> <S> <C>
$200,000 DELTA AIRLINES 1988 ETC B,
10.050%, DUE 06/16/2005 ........................ $ 238,750
187,764 DELTA AIRLINES 1992,
8.540%, DUE 01/02/2007 ......................... 204,193
46,941 DELTA AIRLINES 1992,
8.540%, DUE 01/02/2007.......................... 50,872
----------
493,815
----------
BANKING (16.75%)
250,000 ABN-AMRO BANK NV NEW YORK
BRANCH, 8.250%, DUE 08/01/2009.................. 272,813
400,000 ABBEY NATIONAL PLC-MTN,
6.690%, DUE 10/17/2005.......................... 415,000
300,000 ADVANTA NATIONAL BANK,
6.450%, DUE 10/30/2000 ......................... 303,375
100,000 BANKERS TRUST COMPANY,
7.125%, DUE 07/31/2002.......................... 104,625
200,000 BANKERS TRUST COMPANY,
6.000%, DUE 10/15/2008.......................... 188,750
300,000 FIRST BANK NATIONAL ASSOCIATION,
6.250%, DUE 08/15/2005 ......................... 297,375
250,000 FIRST NATIONAL BANK OF OMAHA,
7.320%, DUE 12/01/2010 ......................... 251,250
300,000 MIDLAND BANK PLC,
7.650%, DUE 05/01/2025.......................... 334,875
250,000 NORWEST CORPORATION-MTN,
6.200%, DUE 12/01/2005.......................... 251,563
200,000 SUNTRUST BANKS,
7.375%, DUE 07/01/2002.......................... 216,250
----------
2,635,876
----------
CHEMICALS (1.53%)
250,000 FMC CORPORATION,
6.750%, DUE 01/16/2005 ......................... 240,625
----------
FINANCE (12.91%)
$250,000 ASSOCIATES CORP. OF NORTH AMERICA,
5.490%, DUE 01/28/1999.......................... $ 248,750
250,000 ASSOCIATES CORP. OF NORTH AMERICA,
6.950%, DUE 08/01/2002.......................... 262,500
250,000 CIT GROUP HOLDINGS, INC.,
7.000%, DUE 09/30/1997.......................... 255,937
250,000 FORD CAPITAL BV.,
9.000%, DUE 08/15/1998.......................... 270,000
500,000 FORD MOTOR CREDIT,
6.375%, DUE 10/06/2000.......................... 508,750
250,000 GENERAL MOTORS ACCEPTANCE CORP.,
MTN, 7.250%, DUE 06/08/1998..................... 258,750
200,000 GREEN TREE FINANCIAL CORP 1994-4 A5,
8.300%, DUE 07/15/2019.......................... 226,250
----------
2,030,937
----------
INSURANCE (6.32%)
250,000 AMERICAN REINSURANCE,
10.875%, DUE 09/15/2004......................... 277,500
300,000 NAC RE CORPORATION,
7.150%, DUE 11/15/2005.......................... 307,125
400,000 USF&G CORP,
7.000%, DUE 05/15/1998.......................... 410,500
----------
995,125
----------
MINING/DIVERSIFIED (0.76%)
100,000 CYPRUS MINERALS COMPANY,
10.125%, DUE 04/01/2002......................... 119,000
----------
OIL AND GAS (3.48%)
100,000 LYONDELL PETROCHEMICAL COMPANY,
8.250%, DUE 03/15/1997.......................... 102,625
400,000 PARKER & PARSLEY PETROLEUM,
8.875%, DUE 04/15/2005.......................... 444,500
----------
547,125
----------
PAPER/PRODUCTS (3.33%)
300,000 WEST FRASER MILL, (144A),
7.250%, DUE 09/15/2002.......................... 308,625
200,000 WESTVACO CORPORATION,
10.300%, DUE 01/15/2019......................... 214,500
----------
523,125
----------
PUBLISHING (3.65%)
$500,000 NEWS AMERICA HOLDINGS,
8.450%, DUE 08/01/2034.......................... $ 574,375
----------
RAILROADS (1.59%)
250,000 UNION PACIFIC CORPORATION,
6.540%, DUE 07/01/2015.......................... 250,156
----------
REAL ESTATE INVESTMENT TRUST (1.96%)
300,000 DUKE REALTY,
7.250%, DUE 09/22/2002 ......................... 308,625
----------
RETAIL STORES (1.11%)
250,000 K MART CORPORATION, MTN,
8.000%, DUE 12/13/2001.......................... 175,000
----------
SECURITIES (4.93%)
250,000 LEHMAN BROTHERS HOLDING, INC.,
8.800%, DUE 03/01/2015.......................... 285,000
250,000 PAINE WEBBER GROUP, INC.,
6.500%, DUE 11/01/2005.......................... 245,000
250,000 SALOMON, INC.,
6.750%, DUE 08/15/2003.......................... 245,313
----------
775,313
----------
UTILITIES-ELECTRIC (5.09%)
250,000 ARKANSAS ELECTRIC COOP.,
7.330%, DUE 06/30/2008.......................... 271,875
300,000 COMMONWEALTH EDISON CO.,
6.375%, DUE 10/01/1998.......................... 301,500
200,000 COMMONWEALTH EDISON CO.,
9.170%, DUE 10/15/2002.......................... 227,500
----------
800,875
----------
UTILITIES-GAS (2.27%)
300,000 THE COASTAL CORPORATION,
9.750%, DUE 08/01/2003.......................... 356,625
----------
UTILITIES-DIVERSIFIED (1.70%)
250,000 PHILADELPHIA ELECTRIC CO.,
8.750%, DUE 04/01/2022 ......................... 267,812
----------
TOTAL CORPORATE BONDS
(COST $10,786,676).............................. 11,094,409
----------
FOREIGN GOVERNMENT
OBLIGATIONS
(0.91% OF TOTAL INVESTMENTS) (a)
125,000 QUEBEC PROVINCE,
8.800%, DUE 04/15/2003.......................... 143,594
----------
TOTAL FOREIGN GOVERNMENT
OBLIGATIONS (COST $140,820)..................... 143,594
----------
U. S. GOVERNMENT AND
AGENCY OBLIGATIONS
(22.66% OF TOTAL INVESTMENTS)
$333,452 FEDERAL HOME LOAN BANKS,
5.375%, DUE 03/25/1999 ......................... $ 332,885
250,000 FEDERAL HOME LOAN MORTGAGE CORP.,
6.500%, DUE 06/08/2000.......................... 253,960
250,000 FEDERAL HOME LOAN MORTGAGE CORP.,
6.060%, DUE 06/09/2000.......................... 250,755
495,125 FEDERAL HOME LOAN MORTGAGE CORP.,
#E20187, 7.000%, DUE 08/01/2010................. 505,028
237,279 FEDERAL HOME LOAN MORTGAGE CORP.,
#D51789, 7.000%, DUE 04/01/2024................. 239,652
44,595 FEDERAL NATIONAL MORTGAGE ASSN.,
#062289, 6.242%, DUE 03/01/2028................. 45,431
283,553 FEDERAL NATIONAL MORTGAGE ASSN.,
#183567, 7.500%, DUE 11/01/2022................. 290,819
241,473 FEDERAL NATIONAL MORTGAGE ASSN.,
#286122, 7.000%, DUE 06/01/2024 ................ 243,662
489,258 FEDERAL NATIONAL MORTGAGE ASSN.,
#325435, 7.000%, DUE 09/01/2010................. 498,737
3,633 GOVERNMENT NATIONAL MORTGAGE ASSN.,
#051699, 15.000%, DUE 07/15/2011................ 4,331
3,236 GOVERNMENT NATIONAL MORTGAGE ASSN.,
#056522, 14.000%, DUE 08/15/2012................ 3,804
122,768 GOVERNMENT NATIONAL MORTGAGE ASSN.,
#180604, 9.000%, DUE 11/15/2016 ................ 130,172
500,000 U.S. TREASURY NOTE,
6.000%, DUE 10/15/1999.......................... 512,160
250,000 U.S. TREASURY NOTE,
5.750%, DUE 10/31/2000.......................... 253,868
----------
TOTAL U.S. GOVERNMENT
AND AGENCY OBLIGATIONS
(COST $3,512,085)............................... 3,565,264
----------
COMMERCIAL PAPER
(5.91% OF TOTAL INVESTMENTS) (a)
BANKING (4.44%)
700,000 CENTRAL CORPORATE CREDIT UNION
MICHIGAN, 6.100%, DUE 01/03/1996................ 699,525
----------
FINANCE (1.47%)
231,000 CIESCO L.P., 5.850%, DUE 01/03/1996............. 230,850
----------
TOTAL COMMERCIAL PAPER
(COST $930,375)................................. 930,375
----------
TOTAL INVESTMENTS IN
SECURITIES (COST $15,369,957) (b) .............. $ 15,733,642
-------------
<FN>
(a) Using Standard & Poor's industry classifications.
(b) Cost also represents cost for federal income tax purposes.
The accompanying notes are an integral part of these financial statements.
</TABLE>
<TABLE>
CONSECO SERIES TRUST
GOVERNMENT SECURITIES PORTFOLIO
STATEMENT OF INVESTMENTS IN SECURITIES
DECEMBER 31, 1995
<CAPTION>
PRINCIPAL
AMOUNT SECURITY VALUE
- ---------------------------------------------------------------------------
U.S. GOVERNMENT AND
AGENCY OBLIGATIONS
(85.19% OF TOTAL INVESTMENTS)
<C> <S> <C>
$250,000 FEDERAL HOME LOAN BANK,
7.170%, DUE 03/29/2000.......................... $ 264,895
251,073 FEDERAL HOME LOAN MORTGAGE CORP.,
D65057, 7.000%, DUE 11/01/2025.................. 253,348
198,000 FEDERAL HOME LOAN MORTGAGE CORP.,
D66012, 7.000%, DUE 11/01/2025.................. 199,794
238,485 FEDERAL NATIONAL MORTGAGE ASSN.,
# 174166, 8.000%, DUE 02/01/2002................ 244,298
245,161 FEDERAL NATIONAL MORTGAGE ASSN.,
# 325506, 7.000%, DUE 09/01/2010................ 249,911
1,575 GOVERNMENT NATIONAL MORTGAGE ASSN.,
# 044522, 13.000%, DUE 03/15/2011............... 1,833
5,481 GOVERNMENT NATIONAL MORTGAGE ASSN.,
# 068651, 12.000%, DUE 08/15/2013............... 6,271
14,017 GOVERNMENT NATIONAL MORTGAGE ASSN.,
# 105200, 13.000%, DUE 10/15/2013............... 16,312
7,219 GOVERNMENT NATIONAL MORTGAGE ASSN.,
# 119896, 13.000%, DUE 11/15/2014............... 8,402
246,990 GOVERNMENT NATIONAL MORTGAGE ASSN.,
# 346829, 6.500%, DUE 10/15/2023................ 245,369
487,150 GOVERNMENT NATIONAL MORTGAGE ASSN.,
# 410613, 8.000%, DUE 07/15/2025................ 507,854
200,000 U.S. TREASURY NOTE,
7.750%, DUE 11/30/1999.......................... 216,870
375,000 U.S. TREASURY NOTE,
5.875%, DUE 02/15/2004.......................... 383,096
550,000 U.S. TREASURY NOTE,
7.250%, DUE 08/15/2004.......................... 612,123
550,000 U.S. TREASURY NOTE,
7.875%, DUE 11/15/2004.......................... 636,889
----------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(COST $3,651,259)............................... 3,847,265
----------
ASSET BACKED SECURITIES
( 4.53% OF TOTAL INVESTMENTS)
$200,000 MBNA MASTER CREDIT CARD TRUST II,
95C CLASS A, 6.450%, DUE 02/15/2008............ 204,420
----------
TOTAL ASSET BACKED
SECURITIES (COST $203,034)...................... 204,420
----------
COMMERCIAL PAPER
( 2.85% OF TOTAL INVESTMENTS) (a)
BANKING
129,000 CENTRAL CORPORATE CREDIT UNION
MICHIGAN, 6.100%, DUE 01/03/1996................ 128,913
----------
TOTAL COMMERCIAL PAPER
(COST $128,913)................................. 128,913
----------
SHORT TERM U.S. GOVERNMENT
AND AGENCY OBLIGATIONS
(7.43% OF TOTAL INVESTMENTS)
350,000 U.S. TREASURY BILL,
5.170%, DUE 10/17/1996.......................... 335,323
----------
TOTAL SHORT TERM U.S. GOVERNMENT AND AGENCY
OBLIGATIONS (COST $335,323)..................... 335,323
----------
TOTAL INVESTMENTS IN
SECURITIES (COST $4,318,528) (b)................ $ 4,515,921
-------------
<FN>
(a) Using Standard & Poor's industry classifications.
(b) Cost also represents cost for federal income tax purposes.
The accompanying notes are an integral part of these financial statements.
</TABLE>
<TABLE>
CONSECO SERIES TRUST
MONEY MARKET PORTFOLIO
STATEMENT OF INVESTMENTS IN SECURITIES
DECEMBER 31, 1995
<CAPTION>
PRINCIPAL
AMOUNT SECURITY VALUE(b)
- ---------------------------------------------------------------------------
COMMERCIAL PAPER
(95.23% OF TOTAL INVESTMENTS) (a)
BEVERAGES (9.61%)
<C> <S> <C>
$245,000 ANHEUSER-BUSCH COMPANY, INC.,
5.670%, DUE 01/03/1996.......................... $ 244,846
250,000 PEPSICO, INC.,
5.700%, DUE 01/26/1996.......................... 248,931
----------
493,777
----------
DRUGS-GENERIC AND OTC (14.47%)
250,000 ABBOTT LABORATORIES,
5.670%, DUE 01/03/1996.......................... 249,843
250,000 ELI LILLY & COMPANY, INC.,
5.600%, DUE 01/04/1996.......................... 249,806
245,000 SMITHKLINE BEECHAM CORPORATION, INC.,
5.620%, DUE 01/30/1996.......................... 243,815
----------
743,464
----------
ELECTRONICS/ELECTRIC (9.32%)
240,000 EMERSON ELECTRIC COMPANY, INC.,
5.630%, DUE 01/22/1996.......................... 239,137
240,000 MOTOROLA, INC.,
5.670%, DUE 01/12/1996.......................... 239,509
----------
478,646
----------
FINANCE (19.33%)
250,000 AMERICAN GENERAL FINANCE COMPANY,
INC., 5.600%, DUE 01/10/1996.................... 249,572
250,000 ASSOCIATES CORPORATION OF AMERICA.,
5.550%, DUE 02/23/1996.......................... 247,880
250,000 CIESCO L.P.,
5.500%, DUE 03/08/1996.......................... 247,365
250,000 GENERAL ELECTRIC CAPITAL CORPORATION,
INC., 5.680%, DUE 02/02/1996.................... 248,659
----------
993,476
----------
FOOD (4.85%)
250,000 HERSHEY FOODS CORPORATION, INC.,
5.650%, DUE 01/26/1996.......................... 248,941
----------
HOUSEHOLD PRODUCTS (4.76%)
245,000 PROCTER & GAMBLE COMPANY, INC.,
5.650%, DUE 01/10/1996.......................... 244,577
----------
INSURANCE (4.75%)
$245,000 AON CORPORATION, INC.,
5.630%, DUE 01/23/1996.......................... $ 244,080
----------
OIL AND GAS (4.84%)
250,000 SHELL OIL COMPANY, INC.,
5.550%, DUE 02/09/1996.......................... 248,420
----------
PUBLISHING (4.56%)
235,000 DUN & BRADSTREET CORPORATION, INC.,
5.600%, DUE 01/11/1996.......................... 234,562
----------
SECURITIES (4.83%)
250,000 SMITH BARNEY, INC.,
5.650%, DUE 02/09/1996.......................... 248,391
----------
TELECOMMUNICATIONS (9.07%)
220,000 AT&T CORPORATION, INC.,
5.660%, DUE 01/19/1996.......................... 219,308
250,000 SOUTHWESTERN BELL CAPITAL CORPORATION,
INC., 5.470%, DUE 03/22/1996.................... 246,847
----------
466,155
----------
UTILITIES-ELECTRIC (4.84%)
250,000 GEORGIA POWER COMPANY, INC.,
5.650%, DUE 02/08/1996.......................... 248,430
----------
TOTAL COMMERCIAL PAPER.......................... 4,892,919
----------
SHORT TERM
U.S. GOVERNMENT AND
AGENCY OBLIGATIONS
(4.77% OF TOTAL INVESTMENTS)
245,000 FEDERAL HOME LOAN MORTGAGE CORP., DISCOUNT NOTE,
5.560%, DUE 01/03/1996.......................... 244,848
----------
TOTAL SHORT TERM
U.S. GOVERNMENT AND AGENCY OBLIGATIONS.......... 244,848
----------
TOTAL INVESTMENTS IN SECURITIES................. $5,137,767
----------
<FN>
(a) Using Standard & Poor's industry classifications.
(b) Value also represents cost for federal income tax purposes.
The accompanying notes are an integral part of these financial statements.
</TABLE>
CONSECO SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
(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, with the exception of regional business
holidays. Investment transactions are accounted for on the valuation date
following the trade date (the date the order to buy or sell is executed).
Dividend income is recorded on the ex-dividend date. The cost of investments
sold is determined on the specific identification basis. The Trust does not
hold any investments which are restricted as to resale, except the West
Fraser Mill bonds held in the Corporate Bond Portfolio which are eligible for
resale under Rule 144A of the Securities Act of 1933.
The Board of Trustees (the ``Trustees'') determined that it will value the
Money Market Portfolio investments at amortized cost, which is conditioned on
the Trust's compliance with certain conditions contained in Rule 2a-7 of the
Act. The investment adviser to 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.
Certain amounts from prior year have been reclassified to conform with the
1995 presentation.
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 Government Securities and
Corporate Bond 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.
(3) TRANSACTIONS WITH AFFILIATES
As investment adviser to 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 Portfolio and the Government Securities Portfolio, and 0.25 percent for
the Money Market Portfolio. Total fees paid to the Adviser for
the years ended December 31, 1995 and 1994 were $695,347 and $560,765,
respectively. The Adviser has agreed to limit the operating expenses of each
portfolio so that the ratio of expenses, including investment advisory fees,
to average net assets on an annual basis shall not exceed 0.75 percent for
the Asset Allocation Portfolio, 0.80 percent for the Common Stock Portfolio,
0.70 percent for the Corporate Bond Portfolio and the Government Securities
Portfolio, and 0.45 percent for the Money Market Portfolio.
(4) INVESTMENT TRANSACTIONS
The aggregate cost of purchases and proceeds from sales of investments
(excluding short term investments) during the year ended December 31, 1995
were $230,244,060 and $218,147,002, respectively. The aggregate cost of
purchases and proceeds from sales of U.S. government securities (excluding
short term investments) were $15,926,727 and $13,354,470, respectively,
during the year ended December 31, 1995.
Gross unrealized appreciation and depreciation of investments at December
31, 1995 are shown below.
<TABLE>
UNREALIZED APPRECIATION (DEPRECIATION) OF INVESTMENTS
DECEMBER 31, 1995
<CAPTION>
ASSET COMMON CORPORATE GOVERNMENT MONEY
ALLOCATION STOCK BOND SECURITIES MARKET
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C>
Gross unrealized appreciation.... $ 876,740 $ 14,596,365 $ 465,240 $ 197,393 $ -
Gross unrealized depreciation.... (80,402) (1,316,890) (101,555) - -
Net unrealized appreciation .. $ 796,338 $ 13,279,475 $ 363,685 $ 197,393 $ -
</TABLE>
(5) NET ASSETS
Net assets at December 31, 1995 are shown below.
<TABLE>
NET ASSETS
DECEMBER 31, 1995
<CAPTION> 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 . $ 8,787,037 $ 96,356,050 $ 15,835,548 $ 4,452,425 $ 5,395,877
Undistributed net realized loss
on sale of investments ........ - - (152,865) (37,211) -
Net unrealized appreciation
of investments ................ 796,338 13,279,475 363,685 197,393 -
Total net assets ............ $ 9,583,375 $109,635,525 $ 16,046,368 $ 4,612,607 $ 5,395,877
</TABLE>
(6) FINANCIAL HIGHLIGHTS
<TABLE>
ASSET ALLOCATION PORTFOLIO
<CAPTION>
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
1995 1994 1993 1992 (e) 1991 (f)
------ ------ ------ ---------- ----------
Net asset value per share,
<S> <C> <C> <C> <C> <C>
beginning of year ............. $ 11.040 $ 11.400 $ 11.630 $ 11.740 $ 11.050
Income from investment operations (a):
Net investment income ......... 0.508 0.463 0.410 0.633 0.210
Net realized gain (loss) and
unrealized appreciation
(depreciation) of investments 2.976 (0.526) 0.218 0.867 2.094
Total income (loss) from
investment operations .. 3.484 (0.063) 0.628 1.500 2.304
Distributions (a):
Dividends from net investment
income and net realized short-
term capital gains .......... (1.827) (0.266) (0.570) (1.463) (0.532)
Distribution of net realized
long-term capital gains ..... (0.307) (0.031) (0.288) (0.147) (1.082)
Total distributions ...... (2.134) (0.297) (0.858) (1.610) (1.614)
Net asset value per share, end of year$ 12.390 $ 11.040 $ 11.400 $ 11.630 $ 11.740
Total return (b) (d)............. 31.49% (0.55%) 10.38% 10.36% 21.57%
Ratios/supplemental data:
Net assets, end of year (c) ... $ 9,583,375 $ 6,172,390 $ 6,161,924 $ 4,308,251 $ 1,373,327
Ratio of expenses to average
net assets (d) .............. 0.75% 0.75% 0.75% 1.25% 1.25%
Ratio of net investment income
to average net assets (d) .. 4.11% 4.20% 3.55% 5.46% 1.69%
Portfolio turnover rate ....... 194.16% 223.92% 539.90% 690.17% 128.46%
<FN>
(a)Per share amounts presented are based on an average of monthly shares
outstanding for the periods indicated.
(b) Total return represents performance of the Trust only and does not
include mortality and expense deductions in separate accounts.
(c) Account 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 0.45
PERCENT FOR THE MONEY MARKET PORTFOLIO, 0.70 PERCENT FOR THE GOVERNMENT
SECURITIES PORTFOLIO AND THE CORPORATE BOND PORTFOLIO, 0.80 PERCENT FOR THE
COMMON STOCK PORTFOLIO AND 0.75 PERCENT FOR THE ASSET ALLOCATION PORTFOLIO
FOR THE YEARS ENDED DECEMBER 31, 1995, 1994 AND 1993 AND 1.25 PERCENT FOR
EACH PORTFOLIO FOR THE YEARS ENDED DECEMBER 31, 1992 AND 1991.
(e) The BNL High Yield and BNL Convertible Portfolios were merged into the
Asset Allocation Portfolio (formerly the BNL Multiple Strategies Portfolio)
effective March 11, 1992.
(f) Lexington Management Corporation was Subadviser to the Government
Securities, Common Stock, and Asset Allocation (formerly BNL Multiple
Strategies) Portfolios prior to November 19, 1991.
</TABLE>
(6) FINANCIAL HIGHLIGHTS (Continued)
<TABLE>
Common Stock Portfolio
<CAPTION>
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
1995 1994 1993 1992 1991 (e)
----------- ------------ ------------ ------------ ------------
Net asset value per share,
<S> <C> <C> <C> <C> <C>
beginning of year ............. $ 16.540 $ 16.690 $ 16.880 $ 16.290 $ 13.870
Income from investment operations (a):
Net investment income ......... 0.340 0.240 0.232 0.292 0.347
Net realized gain (loss) and change
in unrealized appreciation
(depreciation) on investments 5.675 0.072 0.920 2.787 3.311
Total income from
investment operations .. 6.015 0.312 1.152 3.079 3.658
Distributions (a):
Dividends from net investment
income and net realized short-
term capital gains .......... (2.807) (0.327) (1.181) (1.101) (0.186)
Distribution of net realized
long-term capital gains ..... (0.908) (0.135) (0.161) (1.388) (1.052)
Total distributions ...... (3.715) (0.462) (1.342) (2.489) (1.238)
Net asset value per share, end of year $ 18.840 $ 16.540 $ 16.690 $ 16.880 $ 16.290
Total return (b) (d)............. 36.30% 1.92% 8.35% 18.34% 25.77%
Ratios/supplemental data:
Net assets, end of year (c) ... $109,635,525 $ 74,759,728 $ 66,799,824 $ 8,307,023 $ 8,379,781
Ratio of expenses to average
net assets (d) .............. 0.80% 0.80% 0.80% 1.25% 1.25%
Ratio of net investment income
to average net assets (d) ... 1.80% 1.47% 1.40% 1.73% 2.19%
Portfolio turnover rate ....... 172.55% 213.67% 205.81% 461.05% 100.39%
<FN>
(a)Per share amounts presented are based on an average of monthly shares
outstanding for the periods indicated.
(b) Total return represents performance of the Trust only and does not
include mortality and expense deductions in separate accounts.
(c) Account 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 0.45
percent for the Money Market Portfolio, 0.70 percent for the Government
Securities Portfolio and the Corporate Bond Portfolio, 0.80 percent for the
Common Stock Portfolio and 0.75 percent for the Asset Allocation Portfolio
for the years ended December 31, 1995, 1994 and 1993 and 1.25 percent for
each portfolio for the years ended December 31, 1992 and 1991.
(e) Lexington Management Corporation was Subadviser to the Government
Securities, Common Stock, and Asset Allocation (formerly BNL Multiple
Strategies) Portfolios prior to November 19, 1991.
</TABLE>
(6) FINANCIAL HIGHLIGHTS (Continued)
<TABLE>
CORPORATE BOND PORTFOLIO (e)
<CAPTION>
YEAR YEAR PERIOD FROM
ENDED ENDED MAY 1, 1993 TO
DECEMBER 31, DECEMBER 31, DECEMBER 31,
1995 1994 1993
------------ ------------ ------------
<S> <C> <C> <C>
Net asset value per share, beginning of period............... $ 9.450 $ 9.980 $ 10.000
Income from investment operations (a):
Net investment income ..................................... 0.680 0.649 0.417
Net realized gain (loss) and change in unrealized appreciation
(depreciation) on investments ........................... 0.990 (0.912) 0.173
Total income (loss) from investment operations ....... 1.670 (0.263) 0.590
Distributions (a):
Dividends from net investment income and net realized short-term
capital gains ........................................... (0.970) (0.267) (0.610)
Total distributions .................................. (0.970) (0.267) (0.610)
Net asset value per share, end of period..................... $ 10.150 $ 9.450 $ 9.980
Total return (b) (d)......................................... 18.25% (2.65%) 8.84%(f)
Ratios/supplemental data:
Net assets, end of period (c) ............................. $ 16,046,368 $ 12,903,063 $13,577,440
Ratio of expenses to average net assets (d) ............... 0.70% 0.70% 0.70%(f)
Ratio of net investment income to average net assets (d) .. 6.78% 6.78% 6.22%(f)
Portfolio turnover rate ................................... 225.41% 198.48% 406.24%(f)
<FN>
(A) PER SHARE AMOUNTS PRESENTED ARE BASED ON AN AVERAGE OF MONTHLY SHARES
OUTSTANDING FOR THE PERIODS INDICATED.
(b) Total return represents performance of the Trust only and does not
include mortality and expense deductions in separate accounts.
(c) Account 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 0.45
percent for the Money Market Portfolio, 0.70 percent for the Government
Securities Portfolio and the Corporate Bond Portfolio, 0.80 percent for the
Common Stock Portfolio and 0.75 percent for the Asset Allocation Portfolio
for the years ended December 31, 1995, 1994 and 1993.
(e) The Corporate Bond Portfolio became an available investment option
effective May 1, 1993, with an initial offering price of $10.00.
(f) Annualized.
</TABLE>
(6) FINANCIAL HIGHLIGHTS (Continued)
<TABLE>
GOVERNMENT SECURITIES PORTFOLIO
<CAPTION>
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
1995 1994 1993 1992 (e) 1991 (f)
----------- ------------ ------------ ------------ ------------
Net asset value per share,
<S> <C> <C> <C> <C> <C>
beginning of year ............. $ 11.090 $ 11.450 $ 11.610 $ 12.000 $ 11.220
Income from investment operations (a):
Net investment income ......... 0.754 0.720 0.738 0.679 0.830
Net realized gain (loss) and change
in unrealized appreciation
(depreciation) on investments 1.119 (1.031) 0.281 0.219 0.856
Total income (loss) from
investment operations .. 1.873 (0.311) 1.019 0.898 1.686
Distributions (a):
Dividends from net investment
income and net realized short-
term capital gains .......... (0.583) (0.049) (1.179) (1.094) (0.906)
Distribution of net realized
long-term capital gains ..... - - - (0.194) -
Total distributions ...... (0.583) (0.049) (1.179) (1.288) (0.906)
Net asset value per share, end of year$ 12.380 $ 11.090 $ 11.450 $ 11.610 $ 12.000
Total return (b) (d)............. 17.35% (2.79%) 8.91% 6.62% 15.01%
Ratios/supplemental data:
Net assets, end of year (c) ... $ 4,612,607 $ 4,712,785 $ 7,579,366 $ 10,220,193 $ 5,780,442
Ratio of expenses to average
net assets (d) .............. 0.70% 0.70% 0.70% 1.25% 1.25%
Ratio of net investment income
to average net assets (d) ... 6.27% 6.45% 6.30% 5.77% 7.24%
Portfolio turnover rate ....... 284.31% 421.05% 397.42% 742.09% 55.85%
<FN>
(a)Per share amounts presented are based on an average of monthly shares
outstanding for the periods indicated.
(b) Total return represents performance of the Trust only and does not include
mortality and expense deductions in separate accounts.
(c) Account 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 0.45 percent
for the Money Market Portfolio, 0.70 percent for the Government Securities
Portfolio and the Corporate Bond Portfolio, 0.80 percent for the Common Stock
Portfolio and 0.75 percent for the Asset Allocation Portfolio for the years
ended December 31, 1995, 1994 and 1993 and 1.25 percent for each portfolio for
the years ended December 31, 1992 and 1991.
(e) The BNL Mortgage-Backed Securities Portfolio was merged into the Government
Securities Portfolio (formerly the BNL Government Securities Portfolio)
effective March 11, 1992.
(f) Lexington Management Corporation was Sub-adviser to the Government
Securities, Common Stock, and Asset Allocation (formerly BNL Multiple
Strategies) Portfolios prior to November 19, 1991.
</TABLE>
(6) FINANCIAL HIGHLIGHTS (Continued)
<TABLE>
MONEY MARKET PORTFOLIO
<CAPTION>
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
1995 1994 1993 1992 1991
------------ ------------ ------------ ------------ ------------
Net asset value per share,
<S> <C> <C> <C> <C> <C>
beginning of year ............. $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
Income from investment operations (a):
Net investment income ......... 0.055 0.038 0.029 0.026 0.050
Net realized gain and change
in unrealized appreciation
on investments .............. - - - 0.001 -
Total income from
investment operations .. 0.055 0.038 0.029 0.027 0.050
Distributions (a):
Dividends from net investment
income and net realized short-
term capital gains .......... (0.055) (0.038) (0.029) (0.026) (0.050)
Distribution of net realized
long-term capital gains ..... - - - (0.001) -
Total distributions ...... (0.055) (0.038) (0.029) (0.027) (0.050)
Net asset value per share, end of year$ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
Total return (b) (d)............. 5.46% 3.78% 2.86% 2.66% 5.06%
Ratios/supplemental data:
Net assets, end of year (c) ... $ 5,395,877 $ 5,105,367 $ 5,229,641 $ 3,111,264 $ 5,010,336
Ratio of expenses to average
net assets (d) .............. 0.45% 0.45% 0.45% 1.25% 1.25%
Ratio of net investment income
to average net assets (d) ... 5.46% 3.78% 2.86% 2.66% 5.06%
Portfolio turnover rate ....... N/A N/A N/A N/A N/A
<FN>
(a)Per share amounts presented are based on an average of monthly shares
outstanding for the periods indicated.
(b) Total return represents performance of the Trust only and does not include
mortality and expense deductions in separate accounts.
(c) Account 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 0.45 percent
for the Money Market Portfolio, 0.70 percent for the Government Securities
Portfolio and the Corporate Bond Portfolio, 0.80 percent for the Common Stock
Portfolio and 0.75 percent for the Asset Allocation Portfolio for the years
ended December 31, 1995, 1994 and 1993 and 1.25 percent for each portfolio for
the years ended December 31, 1992 and 1991.
</TABLE>
REPORT OF INDEPENDENT ACCOUNTANTS
TO THE BOARD OF TRUSTEES AND SHAREHOLDERS CONSECO SERIES TRUST
We have audited the accompanying statement of assets and liabilities,
including the statement of investments in securities, of Conseco Series Trust
(comprising respectively, the Asset Allocation, Common Stock, Corporate Bond,
Government Securities, and Money Market Portfolios, as of December 31, 1995,
and the related statement of operations for the year then ended, the
statement of changes in net assets for each of the two years in the period
then ended, and the financial highlights for each of the five years in the
period then ended for each of the Portfolios named above except for the
Corporate Bond Portfolio for which the period is May 1, 1993 (inception) to
December 31, 1995. These financial statements and financial highlights are
the responsibility of the Trust's management. Our responsibility is to
express an opinion on these financial statements and financial highlights
based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements and
financial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures
in the financial statements. Our procedures included confirmation of
securities owned as of December 31, 1995 by correspondence with the
custodian. An audit also includes assessing the accounting principles used
and significant estimates made by management, as well as evaluating the
overall financial statement presentation. We believe that our audits provide
a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position of
each of the respective portfolios constituting the Conseco Series Trust as of
December 31, 1995, the results of their operations for the year ended, the
changes in their net assets for each of the two years in the period then
ended, and the financial highlights for each of the five years in the period
then ended for each of the Portfolios named above except for the Corporate
Bond Portfolio for which the period is May 1, 1993 (inception) to December
31, 1995, in conformity with generally accepted accounting principles.
Coopers & Lybrand L.L.P.
Indianapolis, Indiana
February 16, 1996
GREAT AMERICAN RESERVE
VARIABLE ANNUITY - ACCOUNT E
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
Retired. Formerly President,
Midland College, Midland, Texas.
INVESTMENT ADVISER
Conseco Capital Management, Inc. -
Carmel, Indiana.
INDEPENDENT PUBLIC ACCOUNTANTS
Coopers & Lybrand L.L.P. - Indianapolis, Indiana.
CUSTODIAN
Bankers Trust Company - New York, New York.
