GREAT AMERICAN RESERVE INSURANCE COMPANY
A Conseco Company
Great American Reserve Variable Annuity
Account E
Conseco Series Trust
June 30, 1997
SEMIANNUAL REPORT TO CONTRACT OWNERS
<PAGE>
SEMIANNUAL REPORT TO CONTRACT OWNERS
TABLE OF CONTENTS
June 30, 1997
(UNAUDITED)
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GREAT AMERICAN RESERVE VARIABLE ANNUITY ACCOUNT E PAGE
Statement of Assets and Liabilities as of June 30, 1997...................... 1
Statements of Operations for the Six Months Ended June 30, 1997 and the Year
Ended December 31, 1996 ................................................... 3
Statements of Changes in Net Assets for the Six Months Ended June 30, 1997
and the Year Ended December 31, 1996....................................... 3
Notes to Financial Statements................................................ 4
CONSECO CAPITAL MANAGEMENT, INC.
Report from the President.................................................... 6
Report from the Asset Allocation Portfolio Adviser........................... 6
Report from the Common Stock Portfolio Adviser............................... 7
Report from the Corporate Bond Portfolio Adviser............................. 7
Report from the Government Securities Portfolio Adviser...................... 8
Report from the Money Market Portfolio Adviser............................... 8
CONSECO SERIES TRUST
Statement of Assets and Liabilities as of June 30, 1997...................... 9
Statement of Operations for the Six Months Ended June 30, 1997............... 10
Statements of Changes in Net Assets for the Six Months Ended June 30, 1997
and the Year Ended December 31, 1996 ...................................... 11
Statements of Investments in Securities as of June 30, 1997:
Asset Allocation Portfolio................................................ 13
Common Stock Portfolio.................................................... 15
Corporate Bond Portfolio.................................................. 16
Government Securities Portfolio........................................... 18
Money Market Portfolio.................................................... 19
Notes to Financial Statements................................................ 20
<PAGE>
GREAT AMERICAN RESERVE VARIABLE ANNUITY ACCOUNT E
STATEMENT OF ASSETS AND LIABILITIES
June 30, 1997
(UNAUDITED)
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SHARES COST REPORTED VALUE
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Assets:
Investments in portfolio shares, at net asset value (Note 2):
The Alger American Fund:
<S> <C> <C> <C>
Growth Portfolio.................................................................. $ 4,718.7 $ 168,052 $ 186,532
Leveraged AllCap Portfolio........................................................ 81,211.9 1,550,929 1,775,292
MidCap Portfolio.................................................................. 6,295.9 134,621 141,720
Small Capitalization Portfolio.................................................... 85,024.0 3,376,013 3,360,999
American Century Variable Products Inc.:
Value Fund ....................................................................... 0.6 4 4
Berger Institutional Products Trust:
100 Fund ......................................................................... 17,035.9 181,179 191,654
Growth and Income Fund ........................................................... 21,951.7 254,937 270,445
Small Company Growth Fund ........................................................ 7,656.8 76,502 79,478
BIAM International Fund .......................................................... 199,833.5 1,998,335 2,032,306
Conseco Series Trust:
Asset Allocation Portfolio........................................................ 502,841.4 6,682,361 6,838,049
Common Stock Portfolio............................................................ 559,950.2 11,647,125 12,019,743
Corporate Bond Portfolio.......................................................... 341,796.7 3,394,984 3,413,373
Government Securities Portfolio................................................... 23,080.1 274,623 274,709
Money Market Portfolio............................................................ 2,423,642.7 2,423,643 2,423,643
Dreyfus Stock Index Fund............................................................ 274,439.0 5,695,319 6,649,658
The Dreyfus Socially Responsible Growth Fund, Inc. ................................. 39,751.3 844,373 928,987
Federated Insurance Series:
High Income Bond Fund II ......................................................... 162,177.8 1,636,194 1,678,540
International Equity Fund II ..................................................... 18,651.5 207,737 232,771
Utility Fund II ................................................................. 45,575.0 516,712 563,763
Janus Aspen Series:
Aggressive Growth Portfolio ...................................................... 102,648.2 1,858,417 1,921,573
Growth Portfolio ................................................................. 273,197.3 4,324,834 4,671,673
Worldwide Growth Portfolio ....................................................... 360,114.5 7,130,930 8,217,812
Strong Special Fund II ............................................................. 51.9 1,011 997
The Van Eck Worldwide Insurance Trust:
Worldwide Hard Assets Fund (formerly Gold and Natural Resources Fund) (Note 1) ... 212,982.5 3,258,079 3,394,942
Worldwide Bond Fund............................................................... 220,471.5 2,380,945 2,345,817
Worldwide Emerging Markets Fund................................................... 51,736.5 706,974 791,052
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Total assets............................................................................................... 64,405,532
Liabilities:
Amounts due to Great American Reserve Insurance Company.......................................................... 1,493
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Net assets (Note 6)....................................................................................... $64,364,039
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</TABLE>
The accompanying notes are an integral part of these financial statements.
1
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GREAT AMERICAN RESERVE VARIABLE ANNUITY ACCOUNT E
STATEMENT OF ASSETS AND LIABILITIES
June 30, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
UNITS UNIT VALUE REPORTED VALUE
Net assets attributable to: Contract owners' deferred annuity reserves:
The Alger American Fund:
<S> <C> <C> <C>
Growth Portfolio ............................................................. 154,666.9 $ 1.204693 $ 186,326
Leveraged AllCap Portfolio.................................................... 1,016,758.3 1.743993 1,773,219
MidCap Portfolio.............................................................. 134,939.3 1.049071 141,561
Small Capitalization Portfolio................................................ 2,682,536.0 1.251486 3,357,157
American Century Variable Products Inc.:
Value Fund.................................................................... 3.6 1.102304 4
Berger Institutional Products Trust:
100 Fund ..................................................................... 172,961.4 1.106764 191,427
Growth and Income Fund ....................................................... 222,898.8 1.212038 270,162
Small Company Growth Fund .................................................... 77,748.7 1.021165 79,394
BIAM International Fund....................................................... 2,000,552.7 1.014663 2,029,887
Conseco Series Trust:
Asset Allocation Portfolio.................................................... 3,818,524.9 1.788676 6,830,103
Common Stock Portfolio........................................................ 5,593,109.7 2.146532 12,005,788
Corporate Bond Portfolio...................................................... 2,737,238.3 1.245564 3,409,405
Government Securities Portfolio............................................... 229,678.9 1.194686 274,394
Money Market Portfolio........................................................ 2,171,998.3 1.114601 2,420,912
Dreyfus Stock Index Fund........................................................ 3,970,444.5 1.672905 6,642,178
The Dreyfus Socially Responsible Growth Fund, Inc. ............................. 572,024.4 1.622331 928,013
Federated Insurance Series:
High Income Bond Fund II...................................................... 1,324,047.5 1.266275 1,676,608
International Equity Fund II.................................................. 190,981.6 1.217373 232,496
Utility Fund II .............................................................. 421,550.5 1.335814 563,113
Janus Aspen Series:
Aggressive Growth Portfolio................................................... 1,397,096.3 1.373823 1,919,362
Growth Portfolio.............................................................. 3,042,382.3 1.533811 4,666,440
Worldwide Growth Portfolio.................................................... 4,510,317.5 1.819956 8,208,579
Strong Special Fund II.......................................................... 910.4 1.094723 997
The Van Eck Worldwide Investment Trust:
Worldwide Hard Assets Fund (formerly Gold and Natural Resources Fund) (Note 1) 2,731,408.6 1.241486 3,391,007
Worldwide Bond Fund........................................................... 2,312,638.7 1.013177 2,343,112
Worldwide Emerging Markets Fund............................................... 570,085.1 1.386086 790,187
Worldwide Hard Assets Fund (Note 1)........................................... 22,563.2 1.427452 32,208
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Net assets............................................................................................... $64,364,039
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</TABLE>
The accompanying notes are an integral part of these financial statements.
2
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GREAT AMERICAN RESERVE VARIABLE ANNUITY ACCOUNT E
STATEMENTS OF OPERATIONS
For the Six Months Ended June 30, 1997 and the Year Ended December 31, 1996
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<CAPTION>
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SIX MONTHS YEAR ENDED
ENDED JUNE 30, DECEMBER 31,
1997 1996
(UNAUDITED) (AUDITED)
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Investment income:
<S> <C> <C>
Dividends from investments in portfolio shares ................................................ $ 1,837,168 $ 1,880,859
Expenses:
Mortality and expense risk fees................................................................ 283,085 211,735
Administrative fees............................................................................ 33,970 24,908
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Total expenses............................................................................... 317,055 236,643
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Net investment income...................................................................... 1,520,113 1,644,216
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Net realized gains (losses) and unrealized appreciation (depreciation) of investments
in portfolio shares:
Net realized gains on sales of investments in portfolio shares ................................ 47,002 90,408
Net change in unrealized appreciation of investments in portfolio shares....................... 2,310,068 1,416,628
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Net gain on investments in portfolio shares.................................................. 2,357,070 1,507,036
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Net increase in net assets from operations................................................. $ 3,877,183 $ 3,151,252
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</TABLE>
STATEMENTS OF CHANGES IN NET ASSETS
For the Six Months Ended June 30, 1997 and the Year Ended December 31, 1996
<TABLE>
<CAPTION>
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SIX MONTHS YEAR ENDED
ENDED JUNE 30, DECEMBER 31,
1997 1996
(UNAUDITED) (AUDITED)
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Changes from operations:
<S> <C> <C>
Net investment income............................................................................ $ 1,520,113 $ 1,644,216
Net realized gains on sales of investments in portfolio shares .................................. 47,002 90,408
Net change in unrealized appreciation of investments in portfolio shares ........................ 2,310,068 1,416,628
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Net increase in net assets from operations..................................................... 3,877,183 3,151,252
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Changes from principal transactions:
Net contract purchase payments................................................................... 25,434,935 26,259,253
Contract redemptions............................................................................. (969,301) (523,287)
Net transfers (to) from fixed account............................................................ 2,054,027 (239,681)
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Net increase in net assets from principal transactions ........................................ 26,519,661 25,496,285
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Net increase in net assets................................................................... 30,396,844 28,647,537
Net assets, beginning of period..................................................................... 33,967,195 5,319,658
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Net assets, end of period (Note 6)........................................................... $ 64,364,039 $ 33,967,195
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The accompanying notes are an integral part of these financial statements.
</TABLE>
3
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GREAT AMERICAN RESERVE VARIABLE ANNUITY ACCOUNT E
NOTES TO FINANCIAL STATEMENTS
June 30, 1997
(UNAUDITED)
================================================================================
(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 issued by Great American Reserve Insurance Company
(the "Company") which are registered under the Securities Act of 1933. The
operations of Account E are included in the operations of 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.
Prior to June 1, 1995, Account E invested solely in shares of the portfolios
of the Conseco Series Trust. Currently, the following investment options are
available (effective date in parenthesis):
THEALGER AMERICAN FUND
Growth Portfolio (June 1, 1996)
Leveraged AllCap Portfolio (June 1, 1995)
MidCap Portfolio (June 1, 1996)
Small Capitalization Portfolio (June 1, 1995)
AMERICAN CENTURY VARIABLE PORTFOLIOS, INC. (MAY 1, 1997)
Value Fund
International Fund
BERGER INSTITUTIONAL PRODUCTS TRUST
100 Fund (June 1, 1996)
Growth and Income Fund (June 1, 1996)
Small Company Growth Fund (June 1, 1996)
BIAM International Fund (May 1, 1997)
CONSECO SERIES TRUST
Asset Allocation Portfolio
Common Stock Portfolio
Corporate Bond Portfolio
Government Securities Portfolio
Money Market Portfolio
THE DREYFUS SOCIALLY RESPONSIBLE GROWTH FUND, INC. (JUNE 1, 1995)
DREYFUS STOCK INDEX FUND (JUNE 1, 1995)
FEDERATED INSURANCE SERIES (JUNE 1, 1995)
High Income Bond Fund II International
Equity Fund II
Utility Fund II
THE JANUS ASPEN SERIES (JUNE 1, 1995)
Aggressive Growth Portfolio
Growth Portfolio
Worldwide Growth Portfolio
NEUBERGER & BERMAN ADVISERS MANAGEMENT TRUST (MAY 1, 1997)
Partners Portfolio
Limited Maturity Bond Portfolio
STRONG CAPITAL VARIABLE INSURANCE FUNDS, INC. (MAY 1, 1997)
Growth II Fund
STRONG SPECIAL FUND II (MAY 1, 1997)
THE VAN ECK WORLDWIDE INSURANCE TRUST
Worldwide Hard Assets Fund
(formerly Gold and Natural Resources Fund) (June 1,1995)
Worldwide Bond Fund (June 1, 1995)
Worldwide Emerging Markets Fund (June 1, 1996)
Van Eck Worldwide Insurance Trust terminated the Worldwide Hard Assets Fund
on May 1, 1997 and the Gold and Natural Resources Fund was renamed the Worldwide
Hard Assets Fund. The remaining units in the old Worldwide Hard Assets Fund
represent contract owners who have not transferred out.
(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.
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 gains (losses) 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 gains (losses) and unrealized
appreciation (depreciation) on investments.
USE OF ESTIMATES
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts of assets and liabilities and disclosure of
contingent assets and liabilities as of the date of the financial statements and
the reported amounts of income and expenses during the reporting period. Actual
results may differ from these estimates.
(3) PURCHASES AND SALES OF
INVESTMENTS IN PORTFOLIO SHARES
The aggregate costs of purchases of investments in portfolio shares were
$34,342,625 and $29,565,192 for the six months ended June 30, 1997 and for the
year ended December 31, 1996, respectively. The aggregate proceeds from sales of
investments in portfolio shares were $6,301,656 and $2,741,697 for the six
months ended June 30, 1997 and for the year ended December 31, 1996,
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.
4
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GREAT AMERICAN RESERVE VARIABLE ANNUITY ACCOUNT E
NOTES TO FINANCIAL STATEMENTS - CONTINUED
June 30, 1997
(UNAUDITED)
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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 $283,085 and $211,735 for the six months ended June 30, 1997 and
for the year ended December 31, 1996, 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. Sales and administrative charges were $45,422 and $21,774 for the
six months ended June 30, 1997 and for the year ended December 31, 1996,
respectively. 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
$33,970 and $24,908 for the six months ended June 30, 1997 and for the year
ended December 31, 1996, respectively.
(5) OTHER TRANSACTIONS WITH AFFILIATES
Conseco Equity Sales, Inc., an affiliate of the Company, is the principal
underwriter and performs all variable annuity sales functions on behalf of the
Company.
(6) NET ASSETS
Net assets consisted of the following at June 30, 1997:
================================================================================
Proceeds from the sales of units since organization,
less cost of units redeemed.................................... $ 57,060,219
Undistributed net investment income .............................. 3,413,697
Undistributed net realized gains on sales of investments.......... 209,423
Net unrealized apppreciation of investments....................... 3,680,700
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Total net assets............................................. $ 64,364,039
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5
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CONSECO CAPITAL MANAGEMENT, INC.
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REPORT FROM
THE PRESIDENT
Dear Contract Owner:
The performance of the Conseco Series Trust for Great American Reserve
Variable Account E for the first six months of 1997 is presented below:
MORNINGSTAR
SIX MONTHS SIX MONTHS
ENDED ENDED
JUNE 30, JUNE 30,
PORTFOLIO 1997 1997 (1)
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Asset Allocation.................................. 5.33% 12.56%
Common Stock...................................... 3.63% 9.64%
Corporate Bond.................................... 3.24% 2.40%
Government Securities............................. 2.17% 2.11%
Money Market...................................... 1.84% 1.89%
- --------------------------------------------------------------------------------
Note: Past performance is not indicative of future results.
(1) Average Accumulation Unit Value Total Return for each respective peer group
from Morningstar Variable Annuity/Life Performance Report through 6/30/97.
The stock market continues on a torrid pace. After back-to-back returns of
37.54% and 22.95% for 1995 and 1996, by the Standard & Poor's 500 ("S&P 500"),
during the first six months of 1997 has the S&P 500 up 20.60%. Yet the broad
market, while still showing solid returns, has not kept pace with the elusive
S&P 500 benchmark. There is a significant gulf in returns between large
capitalization stocks and small capitalization stocks. This divergence has
persisted for well over a year and according to Barron's magazine (May 5, 1997),
we have not seen such divergence since 1937.
What has occurred in our stock market is exactly what Federal Reserve
Chairman Greenspan feared when he was preparing the markets for an increase in
short-term interest rates last March: that the exuberance of an asset inflation
could work its way into the economy. In fact, one can argue that the inflation
of stock prices is helping to drive the economy. The stock market has become the
defining event of the 1990s, permeating every aspect of our lives. Consumers'
balance sheets have been significantly strengthened, and their retirement is
less dependent on the shrinking government safety net. When combined with the
cozy job and income picture, it should be no surprise that consumer confidence
is at 30-year highs.
Given the decline in the level of interest rates and the emphasis in the
stock market, we believe the financial markets are unprepared, both from a
fundamental and technical standpoint, for what the next couple of quarters will
bring. There is likely to be a re-assessment of market complacency in the months
ahead in response to an economic rebound following the pause in the second
quarter. We continue to believe that the next move in the Federal Fund interest
rate is likely to be upward, and that the case for a tightening could become
clear very quickly if the economy rebounds during the summer. However, at this
stage, we do not expect a repeat of 1994, where multiple increases by the
Federal Reserve Board had a significant impact on fixed income valuations.
Longer term, however, we are very encouraged by the position of the economy.
The catalyst in this expansion is capital investment--investment in information
technology which will continue to help in improvements in productivity. We
expect the consumer to remain very sound given the growth in wages and wealth
creation, decreased unemployment, and soaring consumer confidence levels.
Sincerely,
/s/ Maxwell E. Bublita
----------------------
Maxwell E. Bublitz
President
REPORT FROM THE
ASSET ALLOCATION PORTFOLIO ADVISERS
During the first half of 1997, we maintained roughly a 60-40 split between
stocks and bonds. While we have conceded that the equity market was not cheap
toward the end of 1996, we have not deviated significantly from the asset mix we
held throughout last year.
There is significant dispersion between the performance of large
capitalization and small capitalization stocks, with the large caps
outperforming so far this year. Yet, we have continued to find opportunities to
invest in the equity area. If it becomes more difficult to uncover equity
investment opportunities, we would consider reducing our overall exposure to
stocks.
Within the fixed income portion of the portfolio, we have had very strong
performance this year from the high-yield sector. Our strategy is to use high
yield bonds in combination with investment grade securities to provide a higher
level of income to the portfolio. Looking ahead, we may increase the allocation
to convertible bonds as relative value improves and investment opportunities
within the sector are identified.
/s/ Gregory J. Hahn /s/ Thomas J. Pence
------------------- -------------------
Gregory J. Hahn, CFA Thomas J. Pence
Senior Vice President Vice President
Portfolio Manager Portfolio Manager
6
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CONSECO CAPITAL MANAGEMENT, INC.
================================================================================
REPORT FROM THE
COMMON STOCK PORTFOLIO ADVISER
Having just completed the second quarter of 1997, we have to admit that even
from our fully-engaged vantage point, it was quite a ride! Seldom in the history
of the market have investors been able to witness such extreme divergence and
still been able to preserve (and even increase) the value of their portfolios.
To begin with, investor sentiment (as measured by Investor's Intelligence),
moved from 83% bullish in mid-January to only 31.9% by April 18. This was the
lowest reading in this popular survey in over 31/2 years and it came on the
heels of a Federal Reserve Board (the "Fed") rate hike in late March that led
investors to fear that the Fed had begun a long and painful process of slowing
the economy and the market. In retrospect however, this excessive pessimism
proved to be just another great entry point, as the market began a 20% rally for
the balance of the quarter after economic data pointed to a deceleration in
Gross National Product, led by weakening consumer spending. Also, as a
continuation of a previously mentioned anomaly, the performance of the Standard
& Poor's 500 ("S&P 500") continued to surge ahead of almost everything else in
the market, led by the persistent capital flows into index funds. As a point of
reference, the Vanguard Index 500 Fund (one of the largest and more popular
index mutual funds) experienced nearly $9 billion in new inflows in the first
six months of 1997. This inflow alone exceeded the total invested assets of the
fund five years ago when net assets were $8.5 billion, well below the nearly $39
billion invested in the fund today. It's no wonder we hear about one active
manager after another throwing in the towel and abandoning a long-standing
investment strategy in favor of "index hugging."
During the quarter, the S&P 500 returned 17.45%, slightly ahead of the
Russell 2000 return of 16.21%. As mentioned above, the solid performance posted
by the Russell 2000 occurred mostly in May after small cap stocks became
extremely over-sold in April. On a year-to-date basis, the S&P 500 is up 20.60%,
still well ahead of the Russell (+10.4%) and much of the broader market. The
Common Stock Portfolio, not including separate account expenses, returned 14.27%
for the quarter and 4.36% for the first half of the year. The gains in the
market in the large cap sectors were mostly in cyclicals, such as truckers and
machines, but strong returns were also posted in technology and networking
stocks which rebounded off of April lows, and in software and the drug
companies. The rally in small caps in May was led by technology issues, which
bore the brunt of the March-April sell-off, and in health care, consumer and
energy sectors. Some of the quarter's worst returns were experienced in gold
producers, oil exploration and production companies, utilities and restaurants.
Our activity during the quarter was driven by our efforts to take advantage
of the weakness in April and increase our mix of more liquid names at depressed
levels. This resulted in a slightly larger capitalization mix by the
quarter-end, with 10% of our model portfolio in large cap names (mostly
financials), 62% in mid-cap and 28% in small-cap (we held 35% in small-caps at
the end of the last quarter). Some of the names added in the quarter were energy
issues such as BJ Services, Kinder Morgan Energy, technology issues such as
Andrew Corp., Kulicke & Soffa, Exar and Dynatech and other names such as Great
Lakes Chemical, Dentsply, Rouse and Hasbro. On the selling side, we exited
Cellstar, one of our larger holdings with a nearly 70% gain and used strength in
names such as Quantum Corp., Med Partners, and Apache to generate cash for new
commitments. Lastly, we exited Finish Line and Footstar after growing pains by
Nike caused the fundamentals in athletic footwear retailing to turn negative.
Going forward, we plan to stay diligently focused on our bottom-up discipline
of uncovering growing businesses that can still be purchased at reasonable
valuations. Although we are not going to concern ourselves with the direction of
the market over the balance of 1997, we have to admit that further progress in
the S&P 500 from here seems difficult. To continue to advance, the market must
rationalize even higher price to earnings ratios than we have today, which are
quite high by historical measures. Whatever the course of the second half, we
will keep a watchful eye for excessive speculation. If such conditions
materialize, we will not hesitate to take gains when our stocks become
overvalued and sit on the sidelines until more great buying opportunities
present themselves.
/s/ Tom Pence
-------------
Tom Pence
Vice President
Portfolio Manager
REPORT FROM THE
CORPORATE BOND PORTFOLIO ADVISER
Through the first half of 1997, the fixed income markets have traded in a
very narrow range. In spite of strong economic growth, the downward trend in
bond yields has continued through the second quarter based on the market's
belief that inflation will not be a concern. The Federal Open Market Committee,
which raised short term rates 25 basis points in March, has left interest rates
to drift with the market's currents through the second quarter. However, given
the healthy economy, the very tight labor markets and fairly tame price
pressures, there is concern of the potential for a pick-up in inflation later in
the year.
The portfolio continues to maintain a healthy exposure to the Bank/Finance
and Industrial sectors. As an example of the type of security we have been
investing in, we purchased the debt of First USA Bank based on its pending
merger with higher rated Banc One Corporation. We expect to see incremental
returns once First USA Bank is upgraded after the merger closes. Salomon
Brothers continues to be one of the largest holdings and our Brokerage analyst,
Rob Cook, is impressed with the string of profitable quarters which the company
has reported over the past two years. In the industrial sector, we purchased
TransOcean Offshore, an oil and gas exploration company which we believe is
cheap to its current ratings. In the utility area, we purchased NRG Energy, an
independent power producer which is a wholly-owned subsidiary of Northern States
Power.
While the mortgage-backed securities sector generally appears fully valued,
we have increased portfolio exposure to the Asset-Backed Securities ("ABS")
sector. We continue to utilize ABS in the shorter portion of the portfolio where
we believe certain ABS offer excellent relative value. Recently, we invested in
GreenTree 97-B-B which is collateralized by consumer loans. We also added to our
position in New York City Tax Lien 96-1-B which continues to offer excellent
value shorter portion of the fixed income market.
While there is not a significant yield advantage in corporate securities
relative to U.S. Treasury yields, we believe there is value in certain taxable
municipal bonds. This sector has been a growing part of the portfolio and we
have recently added Mississippi Hospital Equipment and Facilities Authority and
Tulane University which is insured by the Mutual Bond Insurance Association.
Our style has been to maintain a level of interest rate exposure consistent
with the general market and add incremental return by investing in specific
securities which are considered to be undervalued. This style has held up well
over the past six months, as well as over longer time frames.
/s/ Gregory J. Hahn
-------------------
Gregory J. Hahn, CFA
Senior Vice President
Portfolio Manager
7
<PAGE>
CONSECO CAPITAL MANAGEMENT, INC.
================================================================================
REPORT FROM THE
GOVERNMENT SECURITIES PORTFOLIO ADVISER
The Government Securities Portfolio has taken a pragmatic approach in
addressing the lower volatility in the bond market. The addition of higher
coupon agency debt and taxable municipal debt has increased coupon income to the
fund. The liquidity of both these subsectors is quite good, and they contribute
significantly to overall performance. The essence of performance when the
portfolio is invested at a similar duration as the benchmark is dependent on
security selection. To that end, our efforts have been concentrated on that area
in the last quarter. Our guarded stance toward interest rates at this juncture
has increased the appeal of higher coupon mortgage-backed securities.
In the coming quarter, we expect to maintain our conservative stance and
duration. We would also expect to increase income via the purchase of additional
taxable municipal bonds, mortgage-backed securities, and U.S. agency debt. A
portion of the securities held in the portfolio will continue to be U.S.
Treasury bonds. Lightly traded U.S. Government bonds will continue to hold our
attention. The benefit of using this type of security rests on the higher yields
available than on heavily traded bonds.
In a market as efficient as the government bond market, the difficulty of
finding mispriced securities can be challenging. However, by accessing agency or
municipal debt, opportunities from time to time present themselves. This
mispricing phenomenon may come in the form of structure, credit or liquidity.
/s/ G. Nolan Smith
------------------
G. Nolan Smith
Vice President
Portfolio Manager
REPORT FROM THE
MONEY MARKET PORTFOLIO ADVISER
During the first half of 1997, the Federal Open Market Committee ("FOMC") met
three times to discuss the economic outlook and the implementation of monetary
policy. In March, The Federal Reserve raised the Federal Funds target rate
("target rate") to a 5.50% discount, and most banks raised their prime rate to
8.5%. The Federal Reserve's argument that higher wage pressures which could lead
to higher prices was reiterated for the increase. Price inflation was subdued
while the core numbers for the Consumer Pricing Index ("CPI") reached a .2%
level and the core Producer Pricing Index ("PPI") reached a -.1% level in the
month of February. The meeting on May 20, 1997, suggested that economic activity
has expanded at a slower rate than 1996 and early 1997. This information led the
Federal Reserve to leave the target rate unchanged at 5.50%.
Some of the highlights of the first half were low unemployment, weak price
inflation, and quarter end pressures. Unemployment inched downward from 4.9% in
April to 4.8% in May which led to concerns over rising inflation. These concerns
were eased after the CPI and PPI numbers showed moderate increases in the prices
of goods. Both indexes were held down by lower energy prices. The CPI and PPI
core numbers, which exclude volatile food and energy prices, also rose at a
moderate pace as compared to the previous year.
Quarter-end pressures from brokers who needed to liquidate their inventory
lead to increased yields in short-term securities. Top tier Commercial Paper
traded over the quarter end at a 6.20% discount, as compared to a target of
5.50%. This pressure is caused by brokers needing to liquidate inventory from
their balance sheets for the quarter-end.
The Federal Reserve Bank of Philadelphia's survey outlook for the U.S.
economy in the second half predicted slower growth and tame inflation. The
survey showed an economy that will expand at a 2.4% annual pace as compared to
the 5.8% annual pace in the first quarter. Commercial paper discounts are
relatively flat going out six to nine months reflecting no current pressures to
tighten or ease the target rate.
The portfolio achieved a 2.78% gross return, versus the benchmark return of
2.76%. The benchmark used for the portfolio is weighted by a combination of 75%
of the commercial paper index and 25% of Payden & Rygel 1-Year Treasury Bill
Index.
Throughout the first half, Top-Tier 30-day commercial paper went from trading
at a 5.09% discount on March 14, 1997, to a 6.20% discount on June 30,1997. The
yield on the 3-month T-Bill varied between 4.835% and 5.397% and ended on June
30 at a 5.167% yield. The 1-year Bill went from yielding 5.422% on February
14,1997, to 6.069% on April 25, 1997.
The objectives of the Money Market Portfolio have not changed. We attempt to
balance safety, liquidity, and total return in managing a fully diversified
portfolio of money market securities. These objectives are met by investing in
United States Government and agency obligations, top-tier commercial paper, and
highly rated short corporate debt.
/s/ William F. Ficca
--------------------
William F. Ficca
Portfolio Manager
8
<PAGE>
CONSECO SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES
June 30, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
====================================================================================================================================
ASSET COMMON CORPORATE GOVERNMENT MONEY
ALLOCATION STOCK BOND SECURITIES MARKET
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
====================================================================================================================================
Assets:
Investments in securities (cost or amortized cost -
$19,351,874, $161,122,105, $18,720,222, $3,976,793,
<S> <C> <C> <C> <C> <C>
and $7,721,047, respectively)............................. $ 20,949,821 $181,795,940 $18,850,325 $ 3,958,747 $ 7,721,047
Cash........................................................ 258,882 139,366 783,638 176,217 120,180
Accrued interest and dividends.............................. 166,803 171,065 333,811 42,457 8,154
Receivable for securities sold.............................. 1,883,799 17,001,411 2,380,169 340,375 300,000
Receivable for shares sold.................................. 41,799 480,519 10,043 -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total assets............................................ 23,301,104 199,588,301 22,357,986 4,517,796 8,149,381
- ------------------------------------------------------------------------------------------------------------------------------------
Liabilities:
Accrued expenses............................................ 13,033 122,317 11,346 2,352 2,975
Payable for securities purchased............................ 2,195,898 14,478,392 3,152,718 517,505 297,354
Payable for shares redeemed................................. -- -- -- 228 18,440
- ------------------------------------------------------------------------------------------------------------------------------------
Total liabilities....................................... 2,208,931 14,600,709 3,164,064 520,085 318,769
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets (Note 5)................................... $ 21,092,173 $184,987,592 $19,193,922 $ 3,997,711 7,830,612
====================================================================================================================================
Shares outstanding (unlimited number of shares authorized)..... 1,551,030 8,617,808 1,921,976 335,873 7,830,612
Net asset value, offering and redemption price per share....... $ 13.60 $ 21.47 $ 9.99 $ 11.90 $ 1.00
====================================================================================================================================
</TABLE>
The accompanying notes are an integral part of these financial statements.
9
<PAGE>
CONSECO SERIES TRUST
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 1997
(UNAUDITED)
<TABLE>
<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................................................... $ 29,651 $ 439,649 $ -- $ -- $ --
Amortization................................................ 1,053 -- 1,843 -- --
Interest.................................................... 324,709 281,251 651,350 131,063 194,373
- -----------------------------------------------------------------------------------------------------------------------------------
Total investment income................................. 355,413 720,900 653,193 131,063 194,373
- -----------------------------------------------------------------------------------------------------------------------------------
Expenses:
Investment advisory fees.................................... 50,702 508,513 44,865 9,819 8,781
Compensation expenses....................................... 7,447 66,922 7,077 1,510 2,831
Custodial fees.............................................. 11,647 8,274 6,525 4,023 3,163
Other....................................................... 13,123 118,108 12,491 2,669 4,685
- -----------------------------------------------------------------------------------------------------------------------------------
Total expenses.......................................... 82,919 701,817 70,958 18,021 19,460
Less: Expenses charged to the Adviser (Note 3).............. 13,780 23,799 8,147 4,275 3,654
- -----------------------------------------------------------------------------------------------------------------------------------
Net expenses.......................................... 69,139 678,018 62,811 13,746 15,806
- -----------------------------------------------------------------------------------------------------------------------------------
Net investment income............................... 286,274 42,882 590,382 117,317 178,567
- -----------------------------------------------------------------------------------------------------------------------------------
Net realized gains (losses) on sales of investments............ 1,150,678 19,563,237 81,987 3,243 (60)
- -----------------------------------------------------------------------------------------------------------------------------------
Unrealized appreciation (depreciation) of investments:
Beginning of period ........................................ 1,873,913 32,528,460 86,529 (9,879) --
End of period (Note 4)...................................... 1,597,947 20,673,835 130,103 (18,045) --
- -----------------------------------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation (depreciation) of
investments ............................................ (275,966) (11,854,625) 43,574 (8,166) --
- -----------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized gains (losses) on investments 874,712 7,708,612 125,561 (4,923) (60)
- -----------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from operations......... $ 1,160,986 $ 7,751,494 $ 715,943 $ 112,394 $ 178,507
===================================================================================================================================
</TABLE>
The accompanying notes are an integral part of these financial statements.
10
<PAGE>
CONSECO SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
For the Six Months Ended June 30, 1997 and the Year Ended December 31,1996
<TABLE>
<CAPTION>
====================================================================================================================================
ASSET ALLOCATION COMMON STOCK CORPORATE BOND
PORTFOLIO PORTFOLIO PORTFOLIO
-------------------------- -------------------------- --------------------------
SIX MONTHS YEAR ENDED SIX MONTHS YEAR ENDED SIX MONTHS YEAR ENDED
ENDED JUNE 30, DECEMBER 31, ENDED JUNE 30, DECEMBER 31, ENDED JUNE 30, DECEMBER 31,
1997 1996 1997 1996 1997 1996
(UNAUDITED) (AUDITED) (UNAUDITED) (AUDITED) (UNAUDITED) (AUDITED)
====================================================================================================================================
Changes from operations:
<S> <C> <C> <C> <C> <C> <C>
Net investment income......................... $ 286,274 $ 395,293 $ 42,882 $ 82,918 $ 590,382 $ 1,106,647
Net realized gains (losses) on sales of
investments 1,150,678 1,798,137 19,563,237 32,662,345 81,987 (5,075)
Net change in unrealized appreciation
(depreciation) of investments................. (275,966) 1,077,575 (11,854,625) 19,248,985 43,574 (277,156)
- ------------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from operations...1,160,986 3,271,005 7,751,494 51,994,248 715,943 824,416
- ------------------------------------------------------------------------------------------------------------------------------------
Net income equalization (Note 2)................... (28,980) (117,810) (117,424) (310,774) (1,674) (8,548)
- ------------------------------------------------------------------------------------------------------------------------------------
Dividends to shareholders from net investment
income and net realized short-term capital gains..(890,141) (1,838,944) (9,534,374) (26,591,735) (673,306) (1,100,232)
- ------------------------------------------------------------------------------------------------------------------------------------
Distribution to shareholders from net realized
long-term capital gains ...................... -- (354,487) -- (6,153,526) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Capital share transactions:
Net proceeds from sales of shares............. 4,273,613 5,671,987 9,932,851 15,914,256 2,171,302 2,840,237
Net asset value of shares issued from
reinvestment of dividends and distributions. 919,121 2,311,241 9,651,798 33,056,035 674,980 1,108,780
Cost of shares redeemed....................... (1,074,632) (1,794,161) (4,029,243) (6,211,539) (1,156,663) (2,247,681)
- ------------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from capital
share transactions ..................... 4,118,102 6,189,067 15,555,406 42,758,752 1,689,619 1,701,336
- ------------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets............ 4,359,967 7,148,831 13,655,102 61,696,965 1,730,582 1,416,972
Net assets, beginning of period.................. 16,732,206 9,583,375 171,332,490 109,635,525 17,463,340 16,046,368
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (Note 5)....$21,092,173 $16,732,206 $184,987,592 $171,332,490 $19,193,922 $ 17,463,340
====================================================================================================================================
Share data:
Shares sold................................... 320,314 429,309 473,825 760,970 218,484 285,892
Shares issued from reinvestment
of dividends and distributions.............. 71,623 174,386 496,759 1,553,738 67,973 111,611
Shares redeemed............................... (83,216) (134,824) (194,830) (290,666) (116,127) (227,117)
- ------------------------------------------------------------------------------------------------------------------------------------
Net increase in number of shares outstanding 308,721 468,871 775,754 2,024,042 170,330 170,386
====================================================================================================================================
</TABLE>
11
The accompanying notes are an integral part of these financial statements.
<PAGE>
CONSECO SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS - CONTINUED
For the Six Months Ended June 30, 1997 and the
Year Ended December 31, 1996
<TABLE>
<CAPTION>
====================================================================================================================================
GOVERNMENT SECURITIES MONEY MARKET
PORTFOLIO PORTFOLIO
--------------------------- -----------------------------
SIX MONTHS YEAR ENDED SIX MONTHS YEAR ENDED
ENDED JUNE 30, DECEMBER 31, ENDED JUNE 30, DECEMBER 31,
1997 1996 1997 1996
(UNAUDITED) (AUDITED) (UNAUDITED) (AUDITED)
====================================================================================================================================
Changes from operations:
<S> <C> <C> <C> <C>
Net investment income................................................ $ 117,317 $ 257,382 $ 178,567 $ 288,886
Net realized gains (losses) on sales of investments.................. 3,243 50,341 (60) 17
Net change in unrealized depreciation
of investments..................................................... (8,166) (207,272) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from operations....................... 112,394 100,451 178,507 288,903
- ------------------------------------------------------------------------------------------------------------------------------------
Net income equalization (Note 2)........................................ 291 2,180 -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Dividends to shareholders from net investment income
and net realized short-term capital gains............................ (125,847) (254,150) (178,507) (288,903)
- ------------------------------------------------------------------------------------------------------------------------------------
Distribution to shareholders from net realized
long-term capital gains ............................................. -- (16,363) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Capital share transactions:
Net proceeds from sales of shares.................................... 294,593 282,122 5,572,162 4,844,730
Net asset value of shares issued from reinvestment
of dividends and distributions..................................... 125,556 268,333 178,507 288,903
Cost of shares redeemed.............................................. (432,967) (971,489) (4,904,720) (3,544,847)
- ------------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from
capital share transactions .................................... (12,818) (421,034) 845,949 1,588,786
- ------------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets........................ (25,980) (588,916) 845,949 1,588,786
Net assets, beginning of period......................................... 4,023,691 4,612,607 6,984,663 5,395,877
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (Note 5)........................... $3,997,711 $4,023,691 $ 7,830,612 $6,984,663
- ------------------------------------------------------------------------------------------------------------------------------------
Share data:
Shares sold.......................................................... 24,895 23,306 5,572,162 4,844,730
Shares issued from reinvestment
of dividends and distributions..................................... 10,609 22,360 178,507 288,903
Shares redeemed...................................................... (36,543) (81,432) (4,904,720) (3,544,847)
- ------------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in number
of shares outstanding.......................................... (1,039) (35,766) 845,949 1,588,786
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
12
<PAGE>
CONSECO SERIES TRUST
ASSET ALLOCATION PORTFOLIO
STATEMENT OF INVESTMENTS IN SECURITIES
June 30, 1997
(UNAUDITED)
================================================================================
NUMBER
OF SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
COMMON STOCKS
(56.91% of total investments) (a)
AIR TRANSPORTATION (2.19%)
5,800 Atlas Air, Inc. (b)........................... $ 200,100
9,350 Comair Holdings, Inc. ........................ 258,873
-----------
458,973
-----------
AMUSEMENT AND RECREATION SERVICES (1.48%)
7,100 Cedar Fair, L.P. ............................. 310,625
-----------
APPAREL AND ACCESSORY STORES (2.09%)
11,000 Claire's Stores, Inc. ........................ 192,500
4,900 Shoe Carnival, Inc. (b)....................... 49,000
7,500 Stage Stores, Inc. (b)........................ 195,938
-----------
437,438
-----------
BUSINESS SERVICES (8.50%)
8,800 Affiliated Computer Services, Inc. (b)........ 246,400
8,050 Autodesk, Inc. ............................... 308,412
3,450 CDI Corporation (b)........................... 143,820
9,600 Comdisco, Inc. ............................... 249,600
10,000 IKOS Systems, Inc. (b)........................ 213,750
9,200 Renters Choice, Inc. (b)...................... 182,850
9,205 Software Artistry, Inc. (b)................... 146,129
17,150 Sotheby's Holdings, Inc. ..................... 289,406
-----------
1,780,367
-----------
CHEMICALS AND ALLIED PRODUCTS (3.18%)
4,300 The B.F. Goodrich Company .................... 186,242
4,850 Great Lakes Chemical Corporation ............. 254,019
9,800 Serologicals Corporation (b).................. 225,400
-----------
665,661
-----------
COMMUNICATIONS BY PHONE, TELEVISION,
RADIO, CABLE (2.99%)
6,600 Emmis Broadcasting Corporation (b)............ 287,925
22,200 Tel-Save Holdings, Inc. (b)................... 338,550
-----------
626,475
-----------
CONSTRUCTION--SPECIALIZED TRADES (0.80%)
4,700 Dynatech Corporation (b)...................... 168,025
-----------
DEPOSITORY INSTITUTIONS (2.30%)
2,850 First Bank System, Inc. ...................... 243,319
4,250 Norwest Corporation .......................... 239,063
-----------
482,382
-----------
DURABLE GOODS--WHOLESALE (0.31%)
1,800 Applied Industrial Technologies, Inc. ........ 64,800
-----------
ELECTRIC, GAS, WATER, COGENERATION,
SANITARY SERVICES (0.43%)
1,900 Kinder Morgan Energy Partners, L.P. .......... 91,200
-----------
ELECTRICAL EQUIPMENT, EXCEPT COMPUTERS (3.22%)
7,700 Andrew Corporation (b)........................ 216,562
12,305 Inter-City Products Corporation (b)........... 66,902
6,350 SBS Technologies, Inc. (b).................... 146,844
6,700 Semtech Corporation (b)....................... 244,550
-----------
674,858
-----------
ENGINEERING SERVICES, ACCOUNTING, MANAGEMENT (0.76%)
12,950 Physician Support Systems, Inc. (b)........... 158,638
-----------
FOOD STORES (1.29%)
12,550 Casey's General Stores, Inc. ................. 270,214
-----------
FURNITURE AND FIXTURES (1.23%)
13,300 Furniture Brands International, Inc. (b)...... 257,687
-----------
GENERAL MERCHANDISE STORES (1.93%)
17,900 Ames Department Stores, Inc. (b).............. 173,397
8,450 Family Dollar Stores, Inc. ................... 230,263
-----------
403,660
-----------
HEALTH SERVICES (1.25%)
7,300 Quorum Health Group, Inc. (b)................. 260,975
-----------
HOTELS, OTHER LODGING PLACES (1.35%)
12,900 La Quinta Inns, Inc. ......................... 282,187
-----------
INDUSTRIAL, COMMERCIAL MACHINERY,
COMPUTERS (1.84%)
4,500 EMC Corporation (b)........................... 175,500
6,500 Kulicke and Soffa Industries, Inc. (b)........ 211,042
-----------
386,542
-----------
MEASURING INSTRUMENTS, PHOTO GOODS, WATCHES (3.19%)
8,150 Analogic Corporation ......................... 277,100
4,000 DENTSPLY International, Inc. ................. 196,000
3,050 SCI Systems, Inc. (b)......................... 194,438
-----------
667,538
-----------
MISCELLANEOUS MANUFACTURING (0.61%)
4,500 Hasbro, Inc. ................................. 127,687
-----------
MISCELLANEOUS RETAIL (1.24%)
6,750 Brylane Inc. (b).............................. 260,293
-----------
MOTION PICTURES, FILMS (1.04%)
49,250 Video Update, Inc. (b)........................ 218,522
-----------
MOTOR FREIGHT TRANSPORTATION, WAREHOUSES (0.89%)
12,000 American Freightways Corporation (b).......... 187,500
-----------
OIL AND GAS EXTRACTION (1.88%)
3,300 BJ Services Company (b)....................... 176,962
10,300 Oryx Energy Company (b)....................... 217,588
-----------
394,550
-----------
PAPER AND ALLIED PRODUCTS (1.90% )
5,800 Schweitzer-Mauduit International, Inc. ....... 217,500
2,150 St. Joe Corporation .......................... 180,063
-----------
397,563
-----------
PERSONAL SERVICES (0.89%)
7,200 CUC International Inc. (b).................... 185,846
-----------
PRINTING, PUBLISHING AND ALLIED (1.19%)
9,500 New England Business Service, Inc. ........... 249,964
-----------
REAL ESTATE OPERATORS, AGENTS, MANAGERS (1.83%)
5,850 Fairfield Communities, Inc. (b)............... 196,706
6,300 The Rouse Company ............................ 185,850
-----------
382,556
-----------
RUBBER AND MISCELLANEOUS PLASTIC PRODUCTS (1.09%)
4,900 Reebok International Ltd. .................... 229,075
-----------
SECURITY AND COMMODITY BROKERS (2.33%)
3,400 Franklin Resources, Inc. ..................... 246,711
9,300 New England Investment Companies, L.P. ....... 240,638
-----------
487,349
-----------
(Continued)
13
<PAGE>
CONSECO SERIES TRUST
ASSET ALLOCATION PORTFOLIO
STATEMENT OF INVESTMENTS IN SECURITIES
June 30, 1997
(UNAUDITED)
================================================================================
NUMBER
OF SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
TRANSPORTATION EQUIPMENT (1.69%)
11,600 Coltec Industries Inc. (b)................................ $ 226,200
8,100 Kellstrom Industries, Inc. (b)............................ 127,575
-----------
353,775
-----------
TOTAL COMMON STOCKS (COST $ 10,532,389)................... 11,922,925
-----------
PREFERRED STOCKS
(2.07% of total investments) (a)
MOTION PICTURES, FILMS (2.07%)
393 Time Warner Companies, Inc.,
10.25%, Series M, Callable ,.............................. 433,774
-----------
TOTAL PREFERRED STOCKS (COST $ 350,000)................... 433,774
-----------
WARRANTS
(0.13 % of total investments) (a)
COMMUNICATIONS BY PHONE, TELEVISION, RADIO, CABLE (0.13%)
2,000 Microcell Telecommunications Inc., (144A), 12/31/97 ...... 25,000
2,000 Microcell Telecommunications Inc., (144A), 12/31/97 ...... 1,250
-----------
26,250
-----------
TOTAL WARRANTS (COST $ 26,250)............................ 26,250
-----------
PRINCIPLE
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------
CORPORATE BONDS
(36.12% of total investments) (a)
APPAREL AND OTHER FINISHED PRODUCTS (0.49%)
$ 100,000 Guess?, Inc., 9.500%, due 08/15/2003 ................... 102,125
-----------
AUTO REPAIR AND PARKING (0.96%)
200,000 Amerco -MTN, 7.470%, due 01/15/2027 ...................... 201,750
-----------
COMMUNICATIONS BY PHONE, TELEVISION, RADIO, CABLE (3.51%)
190,000 Continental Cablevision, Inc., 9.000%, due 09/01/2008.... 213,275
500,000 Microcell Telecommunications Inc.,
(144A), 0.000%, due 06/01/2006 ........................... 307,500
200,000 Peoples Telephone Co., Inc., 12.250%, due 07/15/2002..... 214,750
-----------
735,525
-----------
DEPOSITORY INSTITUTIONS (4.69%)
200,000 Anchor Bancorp, Inc., 8.9375%, due 07/09/2003 ........... 207,500
500,000 Dime Capital Trust I, 9.330%, due 05/06/2027 ............ 518,125
250,000 Centura Capital Trust I (144A), 8.845%, due 06/01/2027... 257,475
-----------
983,100
-----------
DURABLE GOODS - WHOLESALE (1.50%)
300,000 Pioneer Standard Electronics Inc., 8.500%, due 08/01/2006 313,500
-----------
EATING AND DRINKING PLACES (0.92%)
200,000 USI American Holdings Inc.(144A), 7.250%, due 12/01/2006.. 192,500
-----------
ELECTRIC, GAS, WATER, COGENERATION,
SANITARY SERVICES (3.14%)
7,000 System Energy Resources Inc., 11.375%, due 09/01/2016....... 7,000
300,000 MCN Financing VI (144A), 6.850%, due 10/28/1999............. 301,911
350,000 NRG Energy Inc. (144A), 7.500%, due 06/15/2007.............. 348,250
-----------
657,161
-----------
FOOD AND KINDRED PRODUCTS (1.91%)
200,000 RJR Nabisco Inc., 8.250%, due 07/01/2004 .................. 197,750
200,000 RJR Nabisco Inc., 8.750%, due 08/15/2005 .................. 202,250
-----------
400,000
-----------
HOME FURNITURE AND EQUIPMENT STORES (2.40%)
$ 500,000 MacSaver Financial Services, 7.875%, due 08/01/2003...... 503,125
-----------
INDUSTRIAL, COMMERCIAL MACHINERY, COMPUTERS (1.05%)
200,000 Unisys Corporation (144A),
12.000%, due 04/15/2003, Series B ........................ 219,000
-----------
INSURANCE COMPANIES (0.59%)
100,000 Delphi Financial, 8.000%, due 10/01/2003 .................. 101,000
100,000 Home Holdings, Inc., 8.625%, due 12/15/2003 ............... 23,000
-----------
124,000
-----------
LUMBER AND WOOD PRODUCTS, EXCEPT FURNITURE (1.11%)
250,000 Uniforet Inc.(144A), 11.125%, due 10/15/2006 .............. 232,500
-----------
MINING--METALS AND ORES (0.98%)
200,000 Freeport-McMoran Resource Partners, L. P.,
8.750%, due 02/15/2004 .................................... 205,750
-----------
MISCELLANEOUS RETAIL (0.98%)
200,000 Phar-Mor Inc., 11.720%, 09/11/2002 ........................ 205,500
-----------
NON-DEPOSITORY CREDIT INSTITUTIONS (2.95%)
600,000 First USA Bank, 7.650%, due 08/01/2003 .................... 618,750
-----------
OIL AND GAS EXTRACTION (2.44%)
500,000 Petrozuata Finance Inc. (144A), 8.220%, due 04/01/2017..... 509,990
-----------
PAPER AND ALLIED PRODUCTS (0.51%)
100,000 Westvaco Corporation, 10.300%, due 01/15/2019 ............. 106,250
-----------
<PAGE>
REAL ESTATE INVESTMENT TRUSTS (REITS) (0.95%)
200,000 Carr America (144A), 7.200%, due 07/01/2004 ............... 199,890
-----------
SECURITY AND COMMODITY BROKERS (0.72%)
55,000 Lehman Brothers Inc., 7.375%, due 01/15/2007 .............. 55,206
100,000 Salomon Inc. Series C - MTN, 6.500%, due 08/15/2003........ 96,375
-----------
151,581
-----------
STONE, CLAY, GLASS, CONCRETE (1.01%)
200,000 USG Corporation, 9.250%, due 09/15/2001 ................... 211,000
-----------
TEXTILE MILL PRODUCTS (1.05%)
200,000 Polysindo International Finance Company,
11.375%, due 06/15/2006 ................................... 220,000
-----------
TRANSIT AND PASSENGER TRANSPORTATION (1.20%)
250,000 Coach USA, Inc. (144A), 9.375%, due 07/01/2007............. 251,875
-----------
TRANSPORTATION EQUIPMENT (1.06%)
200,000 Rohr Inc., 11.625%, due 05/15/2003 ........................ 222,000
-----------
TOTAL CORPORATE BONDS (COST $7,443,235).................... 7,566,872
-----------
COMMERCIAL PAPER
(4.77% of total investments)
NON-DEPOSITORY CREDIT INSTITUTIONS (4.77%)
1,000,000 American General Capital Services Inc.,
6.200%, due 07/01/1997 .................................... 1,000,000
-----------
TOTAL COMMERCIAL PAPER (COST $1,000,000)................... 1,000,000
-----------
TOTAL INVESTMENTS IN SECURITIES
(COST $ 19,351,874) (c).................................... $20,949,821
===========
- -------------------------------------------------------
(a) Using Standard Industrial Codes prepared by the Technical Committee on
Industrial Classifications.
(b) Non-dividend paying common stock.
(c) Cost also represents cost for federal income tax purposes.
The accompanying notes are an integral part of these financial statements.
14
<PAGE>
CONSECO SERIES TRUST
COMMON STOCK PORTFOLIO
STATEMENT OF INVESTMENTS IN SECURITIES
June 30, 1997
(UNAUDITED)
================================================================================
NUMBER
OF SHARES SECURITY VALUE
================================================================================
COMMON STOCKS
(96.75% of total investments) (a)
AIR TRANSPORTATION (3.73%)
86,300 Atlas Air, Inc. (b)........................... $2,977,350
137,500 Comair Holdings, Inc. ........................ 3,806,963
-----------
6,784,313
-----------
AMUSEMENT AND RECREATION SERVICES (2.52%)
104,750 Cedar Fair, L.P. ............................. 4,582,812
-----------
APPAREL AND ACCESSORY STORES (3.48%)
161,500 Claire's Stores, Inc. ........................ 2,826,250
69,900 Shoe Carnival, Inc. (b)....................... 699,000
107,900 Stage Stores, Inc. (b)........................ 2,818,887
-----------
6,344,137
-----------
BUSINESS SERVICES (14.74%)
131,950 Affiliated Computer Services, Inc. (b)........ 3,694,600
122,900 Autodesk, Inc. ............................... 4,708,544
49,050 CDI Corporation (b)........................... 2,044,747
142,500 Comdisco, Inc. ............................... 3,705,000
147,200 IKOS Systems, Inc. (b)........................ 3,146,400
132,900 Renters Choice, Inc. (b)...................... 2,641,387
165,020 Software Artistry, Inc. (b)................... 2,619,692
250,900 Sotheby's Holdings, Inc. ..................... 4,233,938
-----------
26,794,308
-----------
CHEMICALS AND ALLIED PRODUCTS (5.33%)
62,000 The B.F. Goodrich Company..................... 2,685,344
70,800 Great Lakes Chemical Corporation.............. 3,708,150
143,000 Serologicals Corporation (b).................. 3,289,000
-----------
9,682,494
-----------
COMMUNICATIONS BY PHONE, TELEVISION,
RADIO, CABLE (5.21%)
96,550 Emmis Broadcasting Corporation (b)............ 4,211,994
344,750 Tel-Save Holdings, Inc. (b)................... 5,257,438
-----------
9,469,432
-----------
CONSTRUCTION--SPECIALIZED TRADES (1.38%)
70,100 Dynatech Corporation (b)...................... 2,506,075
-----------
DEPOSITORY INSTITUTIONS (3.88%)
41,850 First Bank System, Inc. ...................... 3,572,944
62,000 Norwest Corporation .......................... 3,487,500
-----------
7,060,444
-----------
DURABLE GOODS -- WHOLESALE (0.54%)
27,450 Applied Industrial Technologies, Inc. ........ 988,200
-----------
ELECTRIC, GAS, WATER, COGENERATION,
SANITARY SERVICES (0.76%)
28,700 Kinder Morgan Energy Partners, L.P. .......... 1,377,600
-----------
ELECTRICAL EQUIPMENT, EXCEPT COMPUTERS (5.45%)
113,800 Andrew Corporation (b)........................ 3,200,625
178,980 Inter-City Products Corporation (b)........... 973,114
93,500 SBS Technologies, Inc. (b).................... 2,162,188
97,900 Semtech Corporation (b)....................... 3,573,350
-----------
9,909,277
-----------
ENGINEERING SERVICES, ACCOUNTING
MANAGEMENT (1.22%)
181,750 Physician Support Systems, Inc. (b)........... 2,226,438
-----------
FOOD STORES (2.17%)
183,500 Casey's General Stores, Inc. ................. 3,950,939
-----------
FURNITURE AND FIXTURES (2.10%)
196,900 Furniture Brands International, Inc. (b)...... 3,814,938
-----------
GENERAL MERCHANDISE STORES (3.26%)
262,800 Ames Department Stores, Inc. (b).............. 2,545,744
124,050 Family Dollar Stores, Inc. ................... 3,380,363
-----------
5,926,107
-----------
HEALTH SERVICES (2.03%)
103,300 Quorum Health Group, Inc. (b)................. 3,692,975
-----------
HOTELS, OTHER LODGING PLACES (2.32%)
192,550 La Quinta Inns, Inc. ......................... 4,212,031
-----------
INDUSTRIAL, COMMERCIAL MACHINERY,
COMPUTERS (3.07%)
65,000 EMC Corporation (b)........................... 2,535,000
94,000 Kulicke and Soffa Industries, Inc. (b)........ 3,051,992
-----------
5,586,992
-----------
MEASURING INSTRUMENTS, PHOTO GOODS,
WATCHES (5.37%)
119,000 Analogic Corporation ......................... 4,046,000
58,550 DENTSPLY International Inc. .................. 2,868,950
44,600 SCI Systems, Inc. (b)......................... 2,843,250
-----------
9,758,200
-----------
<PAGE>
MISCELLANEOUS MANUFACTURING (1.03%)
66,050 Hasbro, Inc. ................................. 1,874,169
-----------
MISCELLANEOUS RETAIL (2.10%)
99,050 Brylane Inc. (b).............................. 3,819,566
-----------
MOTION PICTURES, FILMS (1.81%)
740,250 Video Update, Inc. (b)........................ 3,284,489
-----------
MOTOR FREIGHT TRANSPORTATION,
WAREHOUSES (1.52%)
176,650 American Freightways Corporation (b).......... 2,760,156
-----------
OIL AND GAS EXTRACTION (3.18%)
48,600 BJ Services Company (b)....................... 2,606,175
150,000 Oryx Energy Company (b)....................... 3,168,750
-----------
5,774,925
-----------
PAPER AND RELATED PRODUCTS (3.13%)
31,700 St. Joe Corporation .......................... 2,654,875
81,000 Schweitzer-Mauduit International, Inc. ....... 3,037,500
-----------
5,692,375
-----------
PERSONAL SERVICES (1.51%)
106,100 CUC International Inc. (b).................... 2,738,653
-----------
PRINTING, PUBLISHING AND ALLIED (2.02%)
139,350 New England Business Service, Inc. ........... 3,666,577
-----------
(Continued)
15
<PAGE>
CONSECO SERIES TRUST
COMMON STOCK PORTFOLIO
STATEMENT OF INVESTMENTS IN SECURITIES--CONTINUED
June 30, 1997
(UNAUDITED)
================================================================================
NUMBER
OF SHARES SECURITY VALUE
================================================================================
REAL ESTATE OPERATORS, AGENTS,
MANAGERS (3.09%)
85,750 Fairfield Communities, Inc. (b).......................... $2,883,344
92,700 The Rouse Company ....................................... 2,734,650
-----------
5,617,994
-----------
RUBBER AND MISCELLANEOUS
PLASTIC PRODUCTS (1.89%)
73,700 Reebok International Ltd. ............................... 3,445,475
-----------
SECURITY AND COMMODITY BROKERS (3.90%)
49,700 Franklin Resources, Inc. ................................ 3,606,331
134,550 New England Investment Companies, L.P. .................. 3,481,481
-----------
7,087,812
-----------
TRANSPORTATION EQUIPMENT (3.01%)
172,200 Coltec Industries Inc. (b)............................... 3,357,900
133,850 Kellstrom Industries, Inc. (b)........................... 2,108,137
-----------
5,466,037
-----------
TOTAL COMMON STOCKS (COST $155,222,105).................. 175,895,940
-----------
PRINCIPLE
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------
COMMERCIAL PAPER
(3.25% of total investments)
NON-DEPOSITORY CREDIT INSTITUTIONS (3.25%)
$5,900,000 American General Capital Services,Inc.,6.2%,
due 07/01/1997 5,900,000
TOTAL COMMERCIAL PAPER (COST $5,900,000)...... 5,900,000
------------
TOTAL INVESTMENTS IN SECURITIES (COST $161,122,105)(c)... $181,795,940
============
- -------------------------------------------------
(a) Using Standard Industrial Codes prepared by the Technical Committee on
Industrial Classifications.
(b) Non-dividend paying common stock.
(c) Cost also represents cost for federal income tax purposes.
The accompanying notes are an integral part of these financial statements.
CONSECO SERIES TRUST
CORPORATE BOND PORTFOLIO
STATEMENT OF INVESTMENTS IN SECURITIES
June 30, 1997
(UNAUDITED)
================================================================================
PRINCIPAL
AMOUNT SECURITY VALUE
================================================================================
CORPORATE BONDS
(58.85% of total investments) (a)
AIR TRANSPORTATION (1.71%)
$173,329 Delta Airlines 1992 ETC-C, 8.540%, due 01/02/2007........ $ 182,862
43,332 Delta Airlines 1992 ETC-D, 8.540%, due 01/02/2007........ 45,011
99,291 United Airlines 1996-A1 Pass Thru Certificate,
7.270%, due 01/30/2013 .................................. 95,816
------------
323,689
------------
AUTO REPAIR AND PARKING (2.14%)
300,000 Amerco -MTN, 7.470%, due 01/15/2027 ..................... 302,625
100,000 Amerco -MTN, 6.710%, due 10/15/2008 ..................... 100,680
------------
403,305
------------
COMMUNICATIONS BY PHONE, TELEVISION,
RADIO, CABLE (1.70%)
285,000 Continental Cablevision, Inc., 9.000%, due 09/01/2008.... 319,912
------------
DEPOSITORY INSTITUTIONS (10.37%)
300,000 Dao Heng Bank Ltd. (144A), 7.750%, due 01/24/2007....... 300,750
250,000 Lehman Brothers Holdings, Inc., 8.875%, due 02/15/2000.. 263,437
300,000 Morgan Stanley Finance Plc, 8.030%, due 02/28/2017...... 296,625
100,000 NationsBank Corporation, 7.800%, due 09/15/2016......... 102,625
250,000 Southern Investments (144A), 8.230%, due 02/01/2027..... 250,415
750,000 St. Paul Bancorp, 7.125%, due 02/15/2004 ............... 741,563
------------
1,955,415
------------
DURABLE GOODS-- WHOLESALE (2.22%)
400,000 Pioneer Standard Electronics Inc., 8.500%, due 08/01/2006 418,000
------------
EATING AND DRINKING PLACES (0.51%)
100,000 USI American Holdings Inc.(144A), 7.250%, due 12/01/2006 96,250
ELECTRIC, GAS, WATER, COGENERATION,
SANITARY SERVICES (7.47%)
500,000 Coastal Corporation, 6.700%, due 02/15/2027 ............. 491,875
350,000 MCN Financing VI (144A), 6.850%, due 10/28/1999.......... 352,229
200,000 NRG Energy Inc. (144A), 7.500%, due 06/15/2007........... 199,000
300,000 Tenneco Inc., 10.200%, due 03/15/2008 ................... 364,875
------------
1,407,979
------------
FOOD AND KINDRED PRODUCTS (3.72%)
300,000 Pan-American Beverage Inc., 8.125%, due 04/01/2003....... 306,000
400,000 RJR Nabisco Inc., 8.250%, due 07/01/2004 ................ 395,500
------------
701,500
------------
HOME FURNITURE AND EQUIPMENT STORES (2.94%)
550,000 MacSaver Financial Services, 7.875%, due 08/01/2003...... 553,437
------------
INSURANCE COMPANIES (4.95%)
250,000 American Reinsurance, 10.875%, due 09/15/2004............ 268,750
150,000 Delphi Financial, 8.000%, due 10/01/2003 ................ 151,500
400,000 Delphi Funding LLC, 9.310%, due 03/25/2027 .............. 410,500
100,000 Integon Corporation, 9.500%, due 10/15/2001 ............. 102,375
------------
933,125
------------
(Continued)
16
<PAGE>
CONSECO SERIES TRUST
CORPORATE BOND PORTFOLIO
STATEMENT OF INVESTMENTS IN SECURITIES--CONTINUED
June 30, 1997
(UNAUDITED)
================================================================================
PRINCIPAL
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------
LUMBER AND WOOD PRODUCTS, EXCEPT FURNITURE (1.58%)
$300,000 West Fraser Mill (144A), 7.250%, due 09/15/2002............ $ 297,000
-----------
MISCELLANEOUS REPAIR SERVICES (1.21%)
200,000 Greenwich Air Services, Inc., 10.500%, due 06/01/2006...... 228,500
-----------
MINING--METALS AND ORES (1.06%)
200,000 Freeport-McMoran Copper & Gold, Inc.,
7.500%, due 11/15/2006 .................................... 199,500
-----------
NON-DEPOSITORY CREDIT INSTITUTIONS (4.13%)
250,000 DSPL Finance Company (144A), 9.120%, due 12/30/2010........ 263,125
500,000 First USA Bank, 7.650%, due 08/01/2003 .................... 515,625
-----------
778,750
-----------
OIL AND GAS EXTRACTION (5.96%)
500,000 Petrozuata Finance Inc. (144A), 8.220%, due 04/01/2017..... 509,990
150,000 Ras Laffan Gas (144A), 8.294%, due 03/15/2014.............. 157,055
200,000 Transocean Offshore Inc., 8.000%, due 04/15/2027........... 207,250
250,000 Western Atlas Inc., 5.650%, due 07/13/1997 ................ 249,750
-----------
1,124,045
-----------
PAPER AND ALLIED PRODUCTS (1.13%)
200,000 Westvaco Corporation, 10.300%, due 01/15/2019.............. 212,500
-----------
REAL ESTATE INVESTMENT TRUSTS (REITS) (2.12%)
400,000 Carr America (144A), 7.200%, due 07/01/2004................ 399,780
-----------
SECURITY AND COMMODITY BROKERS (3.93%)
400,000 Paine Webber Group Inc., 7.625%, due 02/15/2014............ 396,000
200,000 Salomon Inc., 6.700%, due 07/05/2000....................... 200,000
150,000 Salomon Inc. Series C - MTN, 6.500%, due 08/15/2003........ 144,563
-----------
740,563
-----------
TOTAL CORPORATE BONDS (COST $10,990,715)................... 11,093,250
===========
MUNICIPAL BONDS
(9.51% of total investments) (a)
PUBLIC FINANCE, TAXATION (9.51%)
400,000 Doylestown Pennsylvania, Hospital Authority, Revenue,
8.375%, due 07/01/2008 .................................... 420,500
100,000 Fort Worth Texas, Higher Education, Finance Corporation,
Revenue, 7.500% , due 10/01/2006 .......................... 100,375
210,000 Lake County Florida, Resource Recovery, Industrial
Development, Revenue, 7.125%, due 10/01/1999............... 208,687
300,000 Mississippi Hospital, Equipment and Facilities,
Authority Revenue, 9.100%, due 04/01/2006 ................. 310,875
400,000 Philadelphia Pennsylvania, Authority for Industrial
Development, Revenue, 6.488%, due 06/15/2004............... 400,000
150,000 Sisters of Providence Washington,
7.470%, due 10/01/2007 .................................... 152,438
200,000 Tulane University Louisiana,
7.300%, due 12/15/2012 .................................... 200,500
-----------
TOTAL MUNICIPAL BONDS (COST $ 1,782,214)................... 1,793,375
===========
ASSET BACKED SECURITIES
(9.67% of total investments)
$ 200,000 Green Tree Financial Corp 1994-4 A5,
8.300%, due 07/15/2019 .................................... $ 210,281
159,141 Green Tree Recreational Equipment & Consumer Trust,
96 A A1, 5.550%, due 02/15/2018 ........................... 157,364
435,031 Lehman FHA Title 1 Loan Trust 96-2 A2,
6.780%, due 03/25/2008 .................................... 436,323
200,000 National Car Rental Financing Limited Partnership 1996-1 A2,
6.800%, due 04/20/2000 .................................... 200,374
178,385 Newcourt Receivables Asset Trust 1996-2 A,
6.870%, due 06/20/2004 .................................... 179,116
637,251 New York City Tax Lien 1996-1 B,
6.910%, due 05/25/2005 .................................... 639,641
-----------
TOTAL ASSET BACKED SECURITIES (COST $ 1,809,656).......... 1,823,099
===========
COLLATERALIZED MORTGAGE OBLIGATIONS
(7.95% of total investments)
169,552 FHLMC Structured Pass Through Securities T-4 A1,
7.625%, due 08/25/2022 .................................... 171,618
500,000 Iroquois Trust 97-1, 7.000%, due 12/15/2006................ 499,219
231,258 JP Morgan Commercial Mortgage Finance Corporation 96 C2 A,
6.470%, due 11/25/2027 .................................... 226,235
193,868 JP Morgan Commercial Mortgage Finance Corporation 97 C4 A1,
6.939%, due 12/26/2028 ..................................... 194,897
244,309 Rural Housing Trust 1987-1 3B, 7.330%, due 04/01/2026....... 248,432
157,902 Structured Asset Securities Corporation 96 CFL 1 A1B,
5.751%, due 02/25/2028 ..................................... 157,378
-----------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(COST $ 1,502,745).......................................... 1,497,779
===========
(Continued)
17
<PAGE>
CONSECO SERIES TRUST
CORPORATE BOND PORTFOLIO
STATEMENT OF INVESTMENTS IN SECURITIES--CONTINUED
June 30, 1997
(UNAUDITED)
================================================================================
PRINCIPAL
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------
U. S. GOVERNMENT AND AGENCY
OBLIGATIONS
(8.93% OF TOTAL INVESTMENTS)
$462,069 Federal Home Loan Mortgage Corp.,
# G00479, 9.000%, due 04/01/2025 .......................... $ 488,638
33,534 Federal National Mortgage Assn.,
# 062289, 6.710%, due 03/01/2028 .......................... 33,681
243,347 Federal National Mortgage Assn.,
# 183567, 7.500%, due 11/01/2022 .......................... 244,031
217,284 Federal National Mortgage Assn.,
# 286122, 7.000%, due 06/01/2024 .......................... 213,074
405,461 Federal National Mortgage Assn.,
#325435, 7.000%, due 09/01/2010 ........................... 404,954
192,477 Federal National Mortgage Assn.,
#349410, 7.000%, due 08/01/2026 ........................... 188,748
97,096 Government National Mortgage Assn.,
# 354859, 9.000%, due 07/15/2024 .......................... 102,680
3,132 Government National Mortgage Assn.,
# 051699, 15.000%, due 07/15/2011 ......................... 3,729
2,798 Government National Mortgage Assn.,
# 056522, 14.000%, due 08/15/2012 ......................... 3,287
-----------
TOTAL U.S. GOVERNMENT AND
AGENCY OBLIGATIONS (COST $ 1,674,892)...................... 1,682,822
-----------
COMMERCIAL PAPER
(5.09% of total investments) (a)
DEPOSITORY INSTITUTIONS (5.09%)
960,000 UBS Finance (DE) Inc., 6.200%, due 07/01/1997.............. 960,000
TOTAL COMMERCIAL PAPER (COST $ 960,000).................... 960,000
-----------
TOTAL INVESTMENTS IN SECURITIES
(COST $ 18,720,222) (b)....................................$ 18,850,325
============
- ---------------------------------------------------
(a) Using Standard Industrial Codes prepared by the Technical Committee on
Industrial Classifications.
(b) Cost also represents cost for federal income tax purposes.
The accompanying notes are an integral part of these financial statements.
CONSECO SERIES TRUST
GOVERNMENT SECURITIES PORTFOLIO
STATEMENT OF INVESTMENTS IN SECURITIES
June 30, 1997
(UNAUDITED)
MUNICIPAL BONDS
(29.42% of total investments) (a)
$250,000 Baltimore Maryland, 7.250%, due 10/15/2011................ $ 250,000
250,000 Horry County South Carolina, Airport Revenue,
7.010%, due 07/01/2004.................................... 250,625
2,500,000 New Jersey Economic Development Authority,
0.000%, due 02/15/2023.................................... 363,575
150,000 Springfield Illinois, Tax Increment,
7.250%, due 02/01/2005.................................... 150,938
150,000 West Knox Utility District, Knox County Tennessee,
Water and Sewer Revenue, 6.750%, due 12/01/2003........... 149,437
-----------
TOTAL MUNICIPAL BONDS (COST $1,166,315)................... 1,164,575
-----------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS
( 70.58% of total investments)
250,000 Federal Home Loan Bank, 7.170%, due 03/29/2000............ 255,368
250,000 Federal Home Loan Bank, 8.000%, due 03/20/2012............ 253,190
250,000 Federal Home Loan Bank, 8.000%, due 03/20/2012............ 253,190
185,578 Federal Home Loan Mortgage Corp.,
# D66012, 7.000%, due 11/01/2025.......................... 182,272
114,299 Federal Home Loan Mortgage Corp.,
# E00441, 7.500%, due 07/01/2011.......................... 116,121
150,000 Federal Home Loan Mortgage Corp., Multi Family Pool,
6.775%, due 11/01/2003.................................... 150,117
150,000 Federal National Mortgage Assn., Medium Term Note,
8.000%, due 05/10/2007.................................... 149,994
136,382 Federal National Mortgage Assn.,
# 174166, 8.000%, due 06/01/2002.......................... 139,110
141,709 Federal National Mortgage Assn.,
# 303780, 7.000%, due 03/01/2026.......................... 138,963
1,520 Government National Mortgage Assn.,
# 044522, 13.000%, due 03/15/2011.......................... 1,769
7,080 Government National Mortgage Assn.,
# 119896, 13.000%, due 11/15/2014.......................... 8,235
463,878 Government National Mortgage Assn.,
#408675, 7.500%, due 01/15/2026............................ 465,617
125,000 U.S. Treasury Note, 7.750%, due 11/30/1999................. 129,317
200,000 U.S. Treasury Note, 6.625%, due 07/31/2001................. 201,934
200,000 U.S. Treasury Note, 6.500%, due 05/15/2005................. 199,614
150,000 U.S. Treasury Note, 6.500%, due 10/15/2006................. 149,361
-----------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(COST $2,810,478).......................................... 2,794,172
-----------
TOTAL INVESTMENTS IN SECURITIES (COST $3,976,793) (b)...... $ 3,958,747
===========
- --------------------------------------------
(a) Using Standard Industrial Codes prepared by the Technical Committee on
Industrial Classifications.
(b) Cost also represents cost for federal income tax purposes.
The accompanying notes are an integral part of these financial statements.
18
<PAGE>
CONSECO SERIES TRUST
MONEY MARKET PORTFOLIO
STATEMENT OF INVESTMENTS IN SECURITIES
June 30, 1997
(UNAUDITED)
================================================================================
PRINCIPAL
AMOUNT SECURITY VALUE
================================================================================
CORPORATE BONDS
(3.30% of total investments) (a)
OIL AND GAS EXTRACTION (3.30%)
$255,000 Western Atlas, Inc., (Put), 5.650%, due 07/13/1997......... $ 254,947
-----------
TOTAL CORPORATE BONDS...................................... 254,947
-----------
COMMERCIAL PAPER
(96.70% of total investments) (a)
BUILDING MATERIALS, HARDWARE, GARDEN-RETAIL (4.89%)
380,000 Sherwin-Williams Company,
5.550%, due 08/08/1997.................................... 377,774
-----------
ELECTRIC, GAS, WATER, COGENERATION,
SANITARY SERVICES (13.63%)
380,000 Kentucky Utilities Company,
5.550%, due 08/07/1997.................................... 377,832
300,000 MidAmerican Energy Company,
5.570%, due 08/26/1997.................................... 297,401
380,000 Pacific Gas and Electric Company,
5.560%, due 08/25/1997.................................... 376,772
-----------
1,052,005
-----------
FOOD AND KINDRED PRODUCTS (4.88%)
380,000 Hershey Foods Corporation, 5.520%, due 08/25/1997.......... 376,795
-----------
FOOD STORES (4.89%)
380,000 Southland Corporation, 5.570%, due 08/07/1997.............. 377,825
-----------
INDUSTRIAL, COMMERCIAL MACHINERY,
COMPUTERS (4.89%)
380,000 Caterpillar, Inc., 5.550%, due 08/12/1997.................. 377,539
-----------
LUMBER AND WOOD PRODUCTS,
EXCEPT FURNITURE (4.90%)
380,000 Weyerhaeuser Company, 5.540%, due 08/06/1997............... 377,895
-----------
NON-DEPOSITORY CREDIT INSTITUTIONS (19.57%)
380,000 American General Finance Corporation,
5.590%, due 08/28/1997..................................... 376,578
380,000 Associates Corp. of North America,
5.540%, due 08/18/1997..................................... 377,193
380,000 Ford Motor Credit Corporation,
5.540%, due 07/24/1997..................................... 378,655
380,000 Household Finance Corporation,
5.550%, due 07/22/1997..................................... 378,770
-----------
1,511,196
-----------
OIL AND GAS EXTRACTION (4.90%)
380,000 Exxon Imperial U.S., Inc., 5.520%, due 08/05/1997.......... 377,961
-----------
PRINTING, PUBLISHING AND ALLIED (9.75%)
380,000 Dow Jones and Company, Inc., 5.550%, due 08/04/1997........ 378,008
375,000 The New York Times Company, 5.620%, due 07/07/1997......... 374,649
-----------
752,657
-----------
SECURITY AND COMMODITY BROKERS (14.62%)
380,000 Goldman Sachs Group, L.P., 5.570%, due 08/04/1997.......... 378,001
375,000 Merrill Lynch and Company, Inc., 5.580%, due 08/15/1997.... 372,384
380,000 Morgan Stanley, Dean Witter, Discover and Company,
5.570%, due 07/22/1997 .................................... 378,765
-----------
1,129,150
-----------
TOBACCO PRODUCTS (9.78%)
380,000 B.A.T. Capital Corporation, 5.580%, due 08/01/1997......... 378,174
380,000 Philip Morris Companies, Inc., 5.550%, due 08/19/1997...... 377,129
-----------
755,303
-----------
TOTAL COMMERCIAL PAPER..................................... 7,466,100
-----------
TOTAL INVESTMENTS IN SECURITIES............................ $ 7,721,047
===========
- --------------------------------------------
(a) Using Standard Industrial Codes prepared by the Technical Committee on
Industrial Classifications.
(b) Value also represents cost for federal income tax purposes.
The accompanying notes are an integral part of these financial statements.
19
<PAGE>
CONSECO SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
June 30, 1997
================================================================================
(1) GENERAL
Conseco Series Trust (the "Trust") is a diversified, open-end management
investment company registered under the Investment Company Act of 1940, as
amended (the "Act"), and was organized as a Massachusetts Trust effective
November 15, 1982. The Trust offers shares only to affiliated life insurance
company separate accounts (registered as unit investment trusts under the Act)
to fund the benefits under variable annuity contracts.
Effective May 1, 1993, Great American Reserve Variable Annuity Account C
("Account C") transferred its assets to the Trust in exchange for shares of the
Common Stock, Corporate Bond (newly created effective May 1, 1993) and Money
Market Portfolios. Since May 1, 1993, the Trust continues to offer shares of
each of its portfolios to Account C.
On July 25, 1994 Great American Reserve Variable Annuity Account E commenced
operations and began investing in the shares of the Trust's portfolios.
(2) SUMMARY OF SIGNIFICANT
ACCOUNTING POLICIES
SECURITY VALUATION, TRANSACTIONS, AND RELATED INVESTMENT INCOME
The investments in each portfolio are valued at the end of each New York
Stock Exchange business day. Investment transactions are accounted for on the
valuation date following the trade date (the date the order to buy or sell is
executed). Dividend income is recorded on the ex-dividend date. The cost of
investments sold is determined on the specific identification basis. The Trust
does not hold any investments which are restricted as to resale, except certain
bonds (designated as 144A under the Security description in the applicable
Statement of Investments) held in the Corporate Bond and Asset Allocation
Portfolios, all of which are eligible for resale under Rule 144A of the
Securities Act of 1933.
The Board of Trustees (the "Trustees") determined that it will value the
Money Market Portfolio investments at amortized cost, which is conditioned on
the Trust's compliance with certain conditions contained in Rule 2a-7 of the
Act. The investment adviser of the Trust continuously reviews this method of
valuation and recommends changes to the Trustees, if necessary, to ensure that
the Money Market Portfolio investments are valued at fair value (as determined
by the Trustees in good faith).
In all portfolios of the Trust, except for the Money Market Portfolio,
securities traded on a national securities exchange are valued at closing market
prices. Listed securities for which no sale was reported on the valuation date
are valued at the mean of the closing bid and asked prices. Short term notes,
U.S. government obligations maturing within one year or less from the date
purchased and bank certificates of deposit are valued at amortized cost, which
approximates fair value.
Fixed income securities for which representative market quotes are readily
available are valued at the mid-day mean between the closing bid and asked
prices as quoted by one or more dealers who make a market in such securities.
FEDERAL INCOME TAXES
Each portfolio is treated as a separate taxable entity for federal income tax
purposes and qualifies as a regulated investment company under the Internal
Revenue Code. The Trust intends to continue to distribute all taxable income to
shareholders, and therefore, no provision has been made for federal income
taxes.
DIVIDENDS TO SHAREHOLDERS
Dividends are declared and reinvested from the sum of net investment income
and net realized short-term capital gains or losses on a daily basis in the
Money Market Portfolio, on a monthly basis in the Corporate Bond and Government
Securities Portfolios and on a quarterly basis in the Asset Allocation and
Common Stock Portfolios. Distributions are declared and reinvested from net
realized long-term capital gains on an annual basis.
INCOME EQUALIZATION
All portfolios, except the Money Market Portfolio, follow the accounting
practice known as income equalization by which a portion of the proceeds from
sales and costs of redemptions of shares is equivalent, on a per share basis, to
the amount of distributable investment income on the date the transaction is
credited or charged to undistributed income. As a result, undistributed
investment income per share is not materially affected by sales or redemptions
of the portfolio shares.
USE OF ESTIMATES
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts of assets and liabilities and disclosure of
contingent assets and liabilities as of the date of the financial statements and
the reported amounts of income and expenses during the reporting period. Actual
results may differ from these estimates.
(3) TRANSACTIONS WITH AFFILIATES
As investment adviser of the Trust, Conseco Capital Management, Inc. (the
"Adviser"), a wholly-owned subsidiary of Conseco, Inc., a publicly-held
specialized financial services holding company listed on the New York Stock
Exchange, charges an investment advisory fee based on the daily net asset value
at an annual rate of 0.55 percent for the Asset Allocation Portfolio, 0.60
percent for the Common Stock Portfolio, 0.50 percent for the Corporate Bond and
Government Securities Portfolios and 0.25 percent for the Money Market
Portfolio. The total fees paid to the Adviser for the six months ended June 30,
1997 were $622,680 and $1,008,557 for the year ended December 31, 1996. The
Adviser has agreed to limit the operating expenses of each portfolio so that the
ratio of expenses, including investment advisory fees, to average net assets on
an annual basis shall not exceed 0.75 percent for the Asset Allocation
Portfolio, 0.80 percent for the Common Stock Portfolio, 0.70 percent for the
Corporate Bond and the Government Securities Portfolios, and 0.45 percent for
the Money Market Portfolio.
<PAGE>
(4) INVESTMENT TRANSACTIONS
The aggregate costs of purchases of investments (excluding U.S. government
securities and short-term investments) were $288,816,105 and $310,865,829 for
the six months ended June 30, 1997 and for the year ended December 31, 1996,
respectively. The aggregate proceeds from the sales of investments (excluding
U.S. government securities and short-term investments) were $274,788,360 and $
303,932,165 for the six months ended June 30, 1997 and for the year ended
December 31, 1996, respectively.
The aggregate costs of purchases of U.S. government securities (excluding
short-term investments) were $15,513,065 and $21,225,121 for the six months
ended June 30, 1997 and for the year ended December 31, 1996, respectively. The
aggregate proceeds from sales of U.S. government securities (excluding
short-term investments) were $15,091,367 and $16,767,507 for the six months
ended June 30, 1997 and for the year ended December 31, 1996 respectively.
Gross unrealized appreciation and depreciation of investments at June 30,
1997 are presented below:
<TABLE>
<CAPTION>
====================================================================================================================================
ASSET COMMON CORPORATE GOVERNMENT MONEY
ALLOCATION STOCK BOND SECURITIES MARKET
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Gross unrealized appreciation ....................... $ 1,809,145 $ 22,477,967 $ 199,506 $ 15,861 $ --
Gross unrealized depreciation ....................... (211,198) (1,804,132) (69,403) (33,906) --
- ------------------------------------------------------------------------------------------------------------------------------------
Net unrealized appreciation (depreciation) .......... $ 1,597,947 $ 20,673,835 $ 130,103 $ (18,045) $ --
====================================================================================================================================
</TABLE>
20
<PAGE>
CONSECO SERIES TRUST
NOTES TO FINANCIAL STATEMENTS - CONTINUED
June 30, 1997
================================================================================
(5) NET ASSETS
Total net assets consisted of the following at June 30, 1997:
<TABLE>
<CAPTION>
ASSET COMMON CORPORATE GOVERNMENT MONEY
ALLOCATION STOCK BOND SECURITIES MARKET
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Proceeds from the sales of shares since organization,
less cost of shares redeemed and net equalization $ 18,947,415 $154,242,012 $ 19,216,281 $ 4,021,043 $ 7,830,612
Undistributed net realized gains (losses) on sales
of investments ................................... 546,811 10,071,745 (152,462) (5,287) --
Net unrealized appreciation (depreciation) of
investments ...................................... 1,597,947 20,673,835 130,103 (18,045) --
- ------------------------------------------------------------------------------------------------------------------------------------
Total net assets ................................. $ 21,092,173 $184,987,592 $ 19,193,922 $ 3,997,711 $ 7,830,612
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(6) FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
ASSET ALLOCATION PORTFOLIO
========================================================================
SIX MONTHS YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
ENDED JUNE 30, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
1997 1996 1995 1994 1993
(UNAUDITED) (AUDITED) (AUDITED) (AUDITED) (AUDITED)
====================================================================================================================================
<S> <C> <C> <C> <C> <C>
Net asset value per share, beginning of year .......... $ 13.470 $ 12.390 $ 11.040 $ 11.400 $ 11.630
Income from investment operations (a):
Net investment income ........................... 0.235 0.419 0.508 0.463 0.410
Net realized gains (losses) and change in unrealized
appreciation(depreciation) on investments .... 0.649 2.774 2.976 (0.526) 0.218
- ------------------------------------------------------------------------------------------------------------------------------------
Total income (loss) from investment operations 0.884 3.193 3.484 (0.063) 0.628
- ------------------------------------------------------------------------------------------------------------------------------------
Distributions (a):
Dividends from net investment income and net realized
short-term capital gains ..................... (0.754) (2.075) (1.827) (0.266) (0.570)
Distribution of net realized long-term capital gains -- (0.038) (0.307) (0.031) (0.288)
- ------------------------------------------------------------------------------------------------------------------------------------
Total distributions ....................... (0.754) (2.113) (2.134) (0.297) (0.858)
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value per share, end of period .............. $ 13.600 $ 13.470 $ 12.390 $ 11.040 $ 11.400
====================================================================================================================================
Total return (b) (d) .................................. 12.50%(f) 28.30% 31.49% (0.55%) 10.38%
Ratios/supplemental data
Net assets, end of period (c) ......................... $21,092,173 $16,732,206 $9,583,375 $6,172,390 $6,161,924
Ratio of expenses to average net assets (d) ........... 0.75%(f) 0.75% 0.75% 0.75% 0.75%
Ratio of net investment income to average net assets (d) 3.07%(f) 3.15% 4.11% 4.20% 3.55%
Portfolio turnover rate ............................... 340.16%(f) 208.13% 194.16% 223.92% 539.90%
Average commission paid (e) ........................... $ 0.0600 $ 0.0600 N/A N/A N/A
</TABLE>
- ----------------
(a) Per share amounts presented are based on an average of monthly shares
outstanding throughout the periods indicated.
(b) Total return represents performance of the Trust only and does not include
mortality and expense deductions in separate accounts.
(c) Accounts C and E became shareholders in the Trust effective May 1, 1993 and
July 25, 1994, respectively.
(d) These ratios have been favorably affected by a guarantee from the Adviser
that the ratio of expenses to average net assets would not exceed 0.75
percent for the Asset Allocation Portfolio, 0.70 percent for the Corporate
Bond and Government Securities Portfolios, 0.80 percent for the Common Stock
Portfolio and 0.45 percent for the Money Market Portfolio.
(e) Computed by dividing the total amount of commissions paid by the total
number of shares purchased and sold during the period for which there was a
commission. This disclosure is required by the Securities and Exchange
Commission beginning in 1996.
(f) Annualized.
21
<PAGE>
CONSECO SERIES TRUST
NOTES TO FINANCIAL STATEMENTS - CONTINUED
June 30, 1997
================================================================================
(6) FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
COMMON STOCK PORTFOLIO
========================================================================
SIX MONTHS YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
ENDED JUNE 30, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
1997 1996 1995 1994 1993
(UNAUDITED) (AUDITED) (AUDITED) (AUDITED) (AUDITED)
====================================================================================================================================
<S> <C> <C> <C> <C> <C>
Net asset value per share, beginning of year .......... $ 21.850 $ 18.840 $ 16.540 $ 16.690 $ 16.880
Income from investment operations (a):
Net investment income ........................... 0.006 0.013 0.340 0.240 0.232
Net realized gains and change in unrealized
appreciation on investments .................. 0.909 8.169 5.675 0.072 0.920
- ------------------------------------------------------------------------------------------------------------------------------------
Total income from investment operations ... 0.915 8.182 6.015 0.312 1.152
- ------------------------------------------------------------------------------------------------------------------------------------
Distributions (a):
Dividends from net investment income and net realized
short-term capital gains ..................... (1.295) (4.209) (2.807) (0.327) (1.181)
Distribution of net realized long-term capital gains -- (0.963) (0.908) (0.135) (0.161)
- ------------------------------------------------------------------------------------------------------------------------------------
Total distributions ....................... (1.295) (5.172) (3.715) (0.462) (1.342)
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value per share, end of period .............. $ 21.470 $ 21.850 $ 18.840 $ 16.540 $ 16.690
- ------------------------------------------------------------------------------------------------------------------------------------
Total return (b) (d) .................................. 8.90%(f) 44.99% 36.30% 1.92% 8.35%
Ratios/supplemental data
Net assets, end of period (c) ...................... $184,987,592 $171,332,490 $109,635,525 $74,759,728 $66,799,824
Ratio of expenses to average net assets (d) ........ 0.80%(f) 0.80% 0.80% 0.80% 0.80%
Ratio of net investment income to average net assets (d) 0.05%(f) 0.06% 1.80% 1.47% 1.40%
Portfolio turnover rate ............................ 269.05%(f) 177.03% 172.55% 213.67% 205.81%
Average commission paid (e) ........................ $ 0.0600 $ 0.0600 N/A N/A N/A
</TABLE>
- ----------------
(a) Per share amounts presented are based on an average of monthly shares
outstanding throughout the periods indicated.
(b) Total return represents performance of the Trust only and does not include
mortality and expense deductions in separate accounts.
(c) Accounts C and E became shareholders in the Trust effective May 1, 1993 and
July 25, 1994, respectively.
(d) These ratios have been favorably affected by a guarantee from the Adviser
that the ratio of expenses to average net assets would not exceed 0.75
percent for the Asset Allocation Portfolio, 0.70 percent for the Corporate
Bond and Government Securities Portfolios, 0.80 percent for the Common Stock
Portfolio and 0.45 percent for the Money Market Portfolio.
(e) Computed by dividing the total amount of commissions paid by the total
number of shares purchased and sold during the period for which there was a
commission. This disclosure is required by the Securities and Exchange
Commission beginning in 1996.
(f) Annualized.
22
<PAGE>
CONSECO SERIES TRUST
NOTES TO FINANCIAL STATEMENTS - CONTINUED
June 30, 1997
================================================================================
(6) FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
CORPORATE BOND PORTFOLIO (e)
========================================================================
SIX MONTHS YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
ENDED JUNE 30, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
1997 1996 1995 1994 1993
(UNAUDITED) (AUDITED) (AUDITED) (AUDITED) (AUDITED)
====================================================================================================================================
<S> <C> <C> <C> <C> <C>
Net asset value per share, beginning of period ........ $ 9.970 $ 10.150 $ 9.450 $ 9.980 $ 10.000
Income from investment operations (a):
Net investment income ........................... 0.335 0.662 0.680 0.649 0.417
Net realized gains (losses) and change in unrealized
appreciation (depreciation) on investments ... 0.069 (0.179) 0.990 (0.912) 0.173
- ------------------------------------------------------------------------------------------------------------------------------------
Total income (loss) from investment operations 0.404 0.483 1.670 (0.263) 0.590
- ------------------------------------------------------------------------------------------------------------------------------------
Distributions (a):
Dividends from net investment income and net realized
short-term capital gains ..................... (0.384) (0.663) (0.970) (0.267) (0.610)
- ------------------------------------------------------------------------------------------------------------------------------------
Total distributions ....................... (0.384) (0.663) (0.970) (0.267) (0.610)
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value per share, end of period .............. $ 9.990 $ 9.970 $ 10.150 $ 9.450 $ 9.980
====================================================================================================================================
Total return (b) (d) .................................. 8.07%(f) 4.97% 18.25% (2.65%) 8.84%(f)
Ratios/supplemental data
Net assets, end of period (c) ...................... $19,193,922 $17,463,340 $16,046,368 $12,903,063 $13,577,440
Ratio of expenses to average net assets (d) ........ 0.70%(f) 0.70% 0.70% 0.70% 0.70%(f)
Ratio of net investment income to average net assets (d) 6.52%(f) 6.65% 6.78% 6.78% 6.22%(f)
Portfolio turnover rate ............................ 278.26%(f) 276.35% 225.41% 198.48% 406.24%(f)
</TABLE>
- ----------
(a) Per share amounts presented are based on an average of monthly shares
outstanding throughout the periods indicated.
(b) Total return represents performance of the Trust only and does not include
mortality and expense deductions in separate accounts.
(c) Accounts C and E became shareholders in the Trust effective May 1, 1993 and
July 25, 1994, respectively.
(d) These ratios have been favorably affected by a guarantee from the Adviser
that the ratio of expenses to average net assets would not exceed 0.75
percent for the Asset Allocation Portfolio, 0.70 percent for the Corporate
Bond and Government Securities Portfolios, 0.80 percent for the Common Stock
Portfolio and 0.45 percent for the Money Market Portfolio.
(e) The Corporate Bond Portfolio became an available investment option effective
May 1, 1993, with an initial offering price of $10.00.
(f) Annualized.
23
<PAGE>
CONSECO SERIES TRUST
NOTES TO FINANCIAL STATEMENTS - CONTINUED
June 30, 1997
================================================================================
(6) FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
GOVERNMENT SECURITIES PORTFOLIO
========================================================================
SIX MONTHS YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
ENDED JUNE 30, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
1997 1996 1995 1994 1993
(UNAUDITED) (AUDITED) (AUDITED) (AUDITED) (AUDITED)
====================================================================================================================================
<S> <C> <C> <C> <C> <C>
Net asset value per share, beginning of year .......... $ 11.940 $ 12.380 $ 11.090 $ 11.450 $ 11.610
Income from investment operations (a):
Net investment income ........................... 0.347 0.722 0.754 0.720 0.738
Net realized gains (losses) and change in unrealized
appreciation (depreciation) on investments .... (0.016) (0.409) 1.119 (1.031) 0.281
- ------------------------------------------------------------------------------------------------------------------------------------
Total income (loss) from investment operations 0.331 0.313 1.873 (0.311) 1.019
- ------------------------------------------------------------------------------------------------------------------------------------
Distributions (a):
Dividends from net investment income and net realized
short-term capital gains ..................... (0.371) (0.707) (0.583) (0.049) (1.179)
Distribution of net realized long-term capital gains -- (0.046) -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total distributions ....................... (0.371) (0.753) (0.583) (0.049) (1.179)
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value per share, end of period .............. $ 11.900 $ 11.940 $ 12.380 $ 11.090 $ 11.450
====================================================================================================================================
Total return (b) (d) .................................. 5.84%(e) 2.75% 17.35% (2.79%) 8.91%
Ratios/supplemental data
Net assets, end of period (c) ...................... $ 3,997,711 $ 4,023,691 $4,612,607 $4,712,785 $7,579,366
Ratio of expenses to average net assets (d) ........ 0.70%(e) 0.70% 0.70% 0.70% 0.70%
Ratio of net investment income to average net assets (d) 5.92%(e) 6.02% 6.27% 6.45% 6.30%
Portfolio turnover rate ............................ 139.43%(e) 157.62% 284.31% 421.05% 397.42%
</TABLE>
- ----------
(a) Per share amounts presented are based on an average of monthly shares
outstanding throughout the periods indicated.
(b) Total return represents performance of the Trust only and does not include
mortality and expense deductions in separate accounts.
(c) Accounts C and E became shareholders in the Trust effective May 1, 1993 and
July 25, 1994, respectively.
(d) These ratios have been favorably affected by a guarantee from the Adviser
that the ratio of expenses to average net assets would not exceed 0.75
percent for the Asset Allocation Portfolio, 0.70 percent for the Corporate
Bond and Government Securities Portfolios, 0.80 percent for the Common Stock
Portfolio and 0.45 percent for the Money Market Portfolio.
(e) Annualized.
24
<PAGE>
CONSECO SERIES TRUST
NOTES TO FINANCIAL STATEMENTS - CONTINUED
June 30, 1997
================================================================================
(6) FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MONEY MARKET PORTFOLIO
========================================================================
SIX MONTHS YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
ENDED JUNE 30, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
1997 1996 1995 1994 1993
(UNAUDITED) (AUDITED) (AUDITED) (AUDITED) (AUDITED)
====================================================================================================================================
<S> <C> <C> <C> <C> <C>
Net asset value per share, beginning of year .......... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
Income from investment operations (a):
Net investment income ............................... 0.025 0.050 0.055 0.038 0.029
Net realized gains and change in unrealized appreciation
on investments ..................................... -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total income from investment operations ........... 0.025 0.050 0.055 0.038 0.029
- ------------------------------------------------------------------------------------------------------------------------------------
Distributions (a):
Dividends from net investment income and net realized
short-term capital gains ........................... (0.025) (0.050) (0.055) (0.038) (0.029)
- ------------------------------------------------------------------------------------------------------------------------------------
Total distributions ............................... (0.025) (0.050) (0.055) (0.038) (0.029)
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value per share, end of period .............. $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
====================================================================================================================================
Total return (b) (d) .................................. 5.14%(e) 5.13% 5.46% 3.78% 2.86%
Ratios/supplemental data
Net assets, end of period (c) ......................... $ 7,830,612 $ 6,984,663 $5,395,877 $5,105,367 $5,229,641
Ratio of expenses to average net assets (d) ........... 0.45%(e) 0.45% 0.45% 0.45% 0.45%
Ratio of net investment income to average net assets (d) 5.04%(e) 5.03% 5.46% 3.78% 2.86%
Portfolio turnover rate ............................... N/A N/A N/A N/A N/A
</TABLE>
- ----------
(a) Per share amounts presented are based on an average of monthly shares
outstanding throughout the periods indicated.
(b) Total return represents performance of the Trust only and does not include
mortality and expense deductions in separate accounts.
(c) Accounts C and E became shareholders in the Trust effective May 1, 1993 and
July 25, 1994, respectively.
(d) These ratios have been favorably affected by a guarantee from the Adviser
that the ratio of expenses to average net assets would not exceed 0.75
percent for the Asset Allocation Portfolio, 0.70 percent for the Corporate
Bond and Government Securities Portfolios, 0.80 percent for the Common Stock
Portfolio and 0.45 percent for the Money Market Portfolio.
(e) Annualized.
25
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26
<PAGE>
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27
<PAGE>
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28
<PAGE>
================================================================================
GREAT AMERICAN RESERVE
VARIABLE ANNUITY ACCOUNT E
SPONSOR
Great American Reserve Insurance Company -
Carmel, Indiana.
DISTRIBUTOR
Conseco Equity Sales, Inc. - Carmel, Indiana.
INDEPENDENT PUBLIC ACCOUNTANTS
Coopers & Lybrand L.L.P. - Indianapolis, Indiana.
CONSECO SERIES TRUST
BOARD OF TRUSTEES
William P. Daves, Jr., Chairman
Consultant to the insurance and health care industries.
Director, President and Chief Executive Officer,
FFG Insurance Co.,
Dallas, Texas.
Harold W. Hartley, Trustee
Retired. Chartered Financial Analyst.
Formerly Executive Vice President,
Tenneco Financial Services Inc.,
Fort Myers Beach, Florida.
Maxwell E. Bublitz, Trustee and President
President, Conseco Capital Management, Inc.,
Carmel, Indiana.
Dr. R. Jan LeCroy, Trustee
President, Dallas Citizens Council,
Dallas, Texas.
Dr. Jesse H. Parrish, Trustee
Higher education consultant.
Formerly President, Midland College,
Midland, Texas.
INVESTMENT ADVISER
Conseco Capital Management, Inc. - Carmel, Indiana.
INDEPENDENT PUBLIC ACCOUNTANTS
Coopers & Lybrand L.L.P. - Indianapolis, Indiana.
CUSTODIAN
Bankers Trust Company - New York, New York.
29
<PAGE>
GREAT AMERICAN RESERVE INSURANCE COMPANY
A Conseco Company
Great American Reserve
Variable Annuity Account E
Conseco Series Trust
June 30, 1997
SEMIANNUAL REPORT
TO CONTRACT OWNERS
This report is for the information of contract owners and
participants of the Great American Reserve Variable Annuity Account E
and Conseco Series Trust. It is authorized for distribution to other
persons only when preceded or accompanied by a current prospectus
which contains more complete information, including charges and
expenses.
Great American Reserve Insurance Company
11815 North Pennsylvania Street
Carmel, Indiana 46032
05-7993 (7/97)
FIRST CLASS MAIL
U.S. POSTAGE PAID
HACKENSACK, NJ
PERMIT NO. 9
