<PAGE>
[LOGO OF POWER PORTFOLIO VARIABLE ANNUITY APPEARS HERE]
- ---------------------------------------------------------
POWER PORTFOLIO
VARIABLE ANNUITY
SEMI-ANNUAL REPORT
June 30, 1996
- ---------------------------------------------------------
GNA Variable Series Trust
Variable Investment Trust
---------------------------------------------------------
GREAT NORTHERN INSURED ANNUITY CORPORATION
Corporate Office: Two Union Square
P.O. Box 490 . Seattle, Washington 98111-0490
(206) 625-1755
VARIABLE ANNUITY SERVICE CENTER:
300 Berwyn Park . Berwyn, PA 19312-0031
(800) 455-0870
<PAGE>
POWER PORTFOLIO VARIABLE ANNUITY
TABLE OF CONTENTS
<TABLE>
<S> <C>
LETTER FROM THE PRESIDENT................................................... 2
GNA VARIABLE SERIES TRUST
Financial Market Review & Portfolio Performance........................... 3
Notes to Performance...................................................... 8
Financial Statements...................................................... 9
Financial Highlights...................................................... 32
Notes to Financial Statements............................................. 34
VARIABLE INVESTMENT TRUST
Financial Market Review & Portfolio Performance........................... 40
Notes to Performance...................................................... 43
Financial Statements...................................................... 44
Financial Highlights...................................................... 71
Notes to Financial Statements............................................. 73
</TABLE>
This report is prepared for Certificateholders of the Power Portfolio and the
Paragon Power Portfolio Variable Annuities. It is not authorized for use as an
offer of sale or a solicitation of an offer to buy the Power Portfolio Variable
Annuity unless accompanied or preceded by the annuity's current prospectus and
the current prospectuses of the portfolios available for investment thereunder.
<PAGE>
LETTER FROM THE PRESIDENT
2-------------------------------------------------------------------------------
---------------
---------------
Dear Valued Customer,
I am pleased to present the following combined semi-annual report for the
portfolios which are available through the Power Portfolio Variable Annuity. In
this report, you will find a review of recent activity in the stock, bond and
money markets, and the impact of recent developments on investment returns. The
report also contains financial statements and highlights for each of the port-
folios.
I encourage you to periodically review your variable annuity to ensure the
investment allocations meet your objectives. The investment professionals who
represent the Power Portfolio are available to help you make those evaluations.
If you have questions about this report, please call the GNA Variable Annuity
Service Center at 800-455-0870.
Thank you for investing with GNA.
Sincerely,
/s/ Patrick E. Welch
Patrick E. Welch
President and CEO
================================================================================
<PAGE>
- ------------------------------------------------------------------------------ 3
GNA VARIABLE SERIES TRUST
GNA CAPITAL MANAGEMENT, INC., ADVISER
FINANCIAL MARKET REVIEW BY GNA CAPITAL MANAGEMENT, INC.
During the six month period ended June 30, 1996, the financial markets
turned in what could be termed a schizophrenic performance. From January
through mid-February, the dominant themes, which were carried over from 1995,
seemed to be declining economic growth, confidence in declining inflation, and
expectations for a gradual ease in monetary policy. At one point there was
even fear that the economy might fall into recession. By mid-February,
however, there was a significant reversal in market psychology. This was
driven by a prolonged series of economic data that showed surprising strength,
especially in the employment-related statistics. From mid-February through
June, the dominant themes included expectations of increasing economic growth,
fears of increasing inflation, and disagreement as to what the Federal Reserve
would do with monetary policy. Consensus estimates for second quarter GDP
growth of +4% (annualized) compared to the year-over-year measurement of +1.7%
supported the acceleration argument. Disagreement now focuses on how much
inflation will increase rather than "if" it will increase.
Driven by these forces, interest rates declined gradually into mid-February,
and then rose sharply from mid-February through the end of June, ending the
period at higher levels than they began. The Lehman Brothers Aggregate Bond
Index had a total return of -1.22% for the first two quarters of 1996.
Corporate profits, while presumably still growing, are doing so at a much
slower rate than a year ago. Earnings disappointments and/or deteriorating
company fundamentals have resulted in dramatic sell-offs in individual stocks
which have been masked by the +10.30% return in the Standard & Poor's 500
Stock Index for the period. To put these six month returns in perspective, the
bond market's return was below average while the stock market's return was
above average.
================================================================================
<PAGE>
GNA VARIABLE SERIES TRUST
4-------------------------------------------------------------------------------
GNA GROWTH PORTFOLIO
VALUE LINE, INC., SUB-ADVISER
For the six month period ended June 30, 1996, the Growth Portfolio had a
total return of +6.83%. In comparison, the unmanaged S&P 500 Index had a total
return of +10.30%, and the Morningstar Growth category of 800+ funds had an
average total return of +10.35%.
Being growth-oriented, the Portfolio carries a higher than normal position in
technology and health care related stocks. These sectors have lagged the market
since the middle of 1995, putting pressure on year-to-date performance. Due to
the difficult environment, the Portfolio remains very widely diversified across
about 90 different stocks, and carries a bit more cash than normal. The cash
cushion serves both as a protection against market volatility and as a source
of funds for opportune purchases.
[GRAPH APPEARS HERE]
Performance of a $10,000 investment since inception of the GNA Growth Portfolio
- -- (1/3/95)
<TABLE>
<CAPTION>
GNA Growth Portfolio Morningstar Growth S&P 500 Stock Index
-------------------- Fund Average -------------------
------------------
<S> <C> <C> <C> <C>
1/3/95 10,000 10,000 10,000
1/95 10,120 10,063 10,261
2/95 10,564 10,445 10,659
3/95 10,819 10,737 10,974
4/95 11,001 10,949 11,297
5/95 11,317 11,255 11,749
6/95 12,110 11,741 12,025
7/95 12,951 12,323 12,426
8/95 13,006 12,423 12,460
9/95 13,451 12,766 12,983
10/95 13,259 12,558 12,937
11/95 13,580 13,019 13,506
12/95 13,336 13,074 13,758
1/96 13,677 13,328 14,232
2/96 13,937 13,650 13,369
3/96 13,965 13,798 14,507
4/96 14,319 14,286 14,720
5/96 14,848 14,659 15,100
6/96 14,246 14,427 15,161
</TABLE>
GNA Growth Portfolio (ending value: $14,246)
Morningstar Growth Fund Average (ending value: $14,427)
S & P 500 Stock Index (ending value: $15,161)
Past performance is not indicative of future results. See Notes to Performance
(page 8).
================================================================================
<PAGE>
GNA VARIABLE SERIES TRUST
- -------------------------------------------------------------------------------5
GNA VALUE PORTFOLIO
DUFF & PHELPS INVESTMENT MANAGEMENT CO., SUB-ADVISER
For the six month period ended June 30, 1996, the Value Portfolio had a
total return of +7.71%. In comparison, the unmanaged S&P 500 Index had a total
return of +10.30%, and the Morningstar Equity-Income category of 100+ funds
had an average total return of +7.37%.
Shifting the Portfolio's emphasis to cyclical and financial sectors
benefited performance, as the economy showed resiliency and these sectors
performed well. Overweighting bank stocks during the period benefited
performance, as the largest holding, Chase Manhattan, significantly
outperformed the market. Reducing the weighting in petroleum stocks benefited
performance, as major oil stocks underperformed the market. The Portfolio's
position in telephone stocks, both regional and long-distance companies, hurt
performance, as increasing competition in that sector caused those stocks to
significantly underperform the market. The position in regional telephone
companies was recently reduced.
[GRAPH APPEARS HERE]
Performance of a $10,000 investment since inception of the GNA Value Portfolio
- -- (1/3/95)
<TABLE>
<CAPTION>
Morningstar Equity S&P 500 Stock
GNA Value Portfolio Income Fund Average Index
------------------- ------------------- -------------
<S> <C> <C> <C> <C>
1/3/95 10,000 10,000 10,000
1/95 10,193 10,199 10,261
2/95 10,457 10,524 10,659
3/95 10,624 10,760 10,974
4/95 10,925 10,996 11,297
5/95 11,244 11,335 11,749
6/95 11,356 11,455 12,025
7/95 11,655 11,739 12,426
8/95 11,639 11,900 12,460
9/95 12,153 12,243 12,983
10/95 12,171 12,118 12,937
11/95 12,579 12,635 13,506
12/95 12,766 12,938 13,758
1/96 13,067 13,238 14,232
2/96 13,194 13,345 14,369
3/96 13,231 13,519 14,507
4/96 13,448 13,647 14,720
5/96 13,771 13,852 15,100
6/96 13,750 13,891 15,161
</TABLE>
GNA Value Portfolio (ending value: $13,750)
Morningstar Equity-Income Fund Average (ending value: $13,891)
S & P 500 Stock Index (ending value: $15,161)
Past performance is not indicative of future results. See Notes to Performance
(page 8)
================================================================================
<PAGE>
GNA VARIABLE SERIES TRUST
6-------------------------------------------------------------------------------
GNA GOVERNMENT PORTFOLIO
GNA CAPITAL MANAGEMENT, INC., ADVISER
For the six month period ended June 30, 1996, the Government Portfolio had a
total return of -1.19%. In comparison, the unmanaged Lehman Brothers Government
Bond Index had a total return of -1.80%, and the Morningstar Government Bond--
General category of 300+ funds had an average total return of -1.49%.
The performance of the Government Portfolio was helped somewhat by a slight
overweighting in the short end of the market. Two-year bonds maintained their
value better than ten-year bonds as interest rates rose during the latter
portion of the period. The advantage of being able to buy some Mortgage-Backed
Securities (MBS) at cheaper levels, with their higher yields, also contributed
to the performance of the Portfolio, as MBSs outperformed Treasuries during the
six month period.
[GRAPH APPEARS HERE]
Performance of a $10,000 investment since inception of the GNA Government
Portfolio -- (1/3/95)
<TABLE>
<CAPTION>
GNA Government Lehman Government Morningstar Government Bond
Portfolio Bond Index General Fund Average
-------------- ----------------- -------------------------
<S> <C> <C> <C> <C>
1/3/95 10,000 10,000 10,000
1/95 10,174 10,186 10,155
2/95 10,412 10,405 10,353
3/95 10,487 10,471 10,404
4/95 10,604 10,608 10,518
5/95 10,946 11,035 10,846
6/95 10,984 11,120 10,905
7/95 10,983 11,079 10,879
8/95 11,103 11,209 10,990
9/95 11,198 11,316 11,079
10/95 11,332 11,488 11,210
11/95 11,455 11,667 11,353
12/95 11,599 11,833 11,488
1/96 11,679 11,905 11,551
2/96 11,486 11,662 11,364
3/96 11,397 11,566 11,289
4/96 11,335 11,491 11,229
5/96 11,325 11,472 11,204
6/96 11,461 11,620 11,317
</TABLE>
GNA Government Portfolio (ending value: $11,461)
Leaman Government Bond Index (ending value $11,620)
Morningstar Government Bond - General Fund Average (ending value: $11,317)
Past performance is not indicative of future results. See Notes to Performance
(page 8).
================================================================================
<PAGE>
GNA VARIABLE SERIES TRUST
- -------------------------------------------------------------------------------7
GNA ADJUSTABLE RATE PORTFOLIO
STANDISH, AYER & WOOD, INC., SUB-ADVISER
For the six month period ended June 30, 1996, the Adjustable Rate Portfolio
had a total return of +1.52%. In comparison, the unmanaged Lehman Brothers ARM
Index had a total return of +2.25%, and the Morningstar Government Bond--ARM
category of 50+ funds had an average total return of +1.89%.
The lag in performance relative to the index and the peer group can be mostly
attributed to the Portfolio's slightly longer duration in a rising interest
rate environment. The Portfolio's bullish bias (longer duration) during this
period was supported by the Sub-Adviser's view that strong economic growth
could not be sustained in the second half and that the market was oversold. To
a lesser degree, the Portfolio's bias toward GNMA ARMs over FHLMC and FNMA ARMs
also negatively impacted performance. FHLMC and FNMA ARMs tended to outperform
their GNMA counterparts, due to the more flexible (less restricted) adjustment
of their adjustable interest rates.
[GRAPH APPEARS HERE]
Performance of a $10,000 investment since inception of the GNA Adjustable Rate
Portfolio -- (1/3/95)
<TABLE>
<CAPTION>
GNA Adjustable Lehman Brothers Morningstar Government Bond
Rate Portfolio ARM Index ARM Fund Average
-------------- --------------- ---------------
<S> <C> <C> <C>
1/3/95 10000 10000 10000
1/95 10120 10166 9996
2/95 10270 10370 10079
3/95 10429 10420 10140
4/95 10490 10531 10183
5/95 10713 10701 10285
6/95 10761 10745 10266
7/95 10754 10784 10278
8/95 10843 10850 10330
9/95 10919 10927 10336
10/95 10999 10994 10280
11/95 11086 11088 10344
12/95 11150 11172 10373
1/96 11227 11250 10432
2/96 11220 11275 10433
3/96 11203 11295 10450
4/96 11208 11310 10479
5/96 11242 11343 10510
6/96 11319 11423 10569
</TABLE>
GNA Adjustable Rate Portfolio (ending value: $11,319)
Lehman Brothers ARM Index (ending value: $11,423)
Morningstar Government Bond-ARM Fund Average (ending value: $10,569)
Past Performance is not indicative of future results. See Notes to Performance
(page 8).
================================================================================
<PAGE>
GNA VARIABLE SERIES TRUST
8-------------------------------------------------------------------------------
NOTES TO PERFORMANCE
Total returns assume changes in share price and reinvestment of dividends and
capital gains. Investment returns and principal values will fluctuate so that
an investor's shares, when redeemed, may be worth more or less than the origi-
nal cost.
Total returns include the effect of deducting each Portfolio's expenses, but
do not include charges and expenses attributable to the Power Portfolio Vari-
able Annuity. If total returns included the effects of these charges and ex-
penses, the performance figures for each Portfolio would have been lower.
Please review the Power Portfolio Variable Annuity prospectus for information
on the relevant charges and expenses. Additionally, the Adviser has agreed to
waive or limit certain expenses as described in detail in each Portfolio's pro-
spectus. Had the Adviser not absorbed a portion of expenses, total returns
would have been lower.
The Lehman Government Bond Index, S&P 500 Stock Index and the Lehman Brothers
ARM Index are unmanaged indices and do not reflect the actual cost of investing
in the instruments that comprise each index. The results shown for the forego-
ing indices assume reinvestment of net dividends.
The views expressed in this report reflect those of the Adviser only through
June 30, 1996, the end of the period of this report. The Adviser's views are
subject to change at any time based on market and other conditions.
GNA VARIABLE SERIES TRUST
GNA CAPITAL MANAGEMENT, INC., ADVISER
Transfer Agent: State Street Bank and Trust Company
Custodian: State Street Bank and Trust Company
Independent Accountants: Coopers & Lybrand L.L.P.
Legal Counsel: Goodwin, Procter & Hoar
Sub-Advisers: Standish, Ayer & Wood, Inc.
GNA Adjustable Rate Portfolio
Value Line, Inc.
GNA Growth Portfolio
Duff & Phelps Investment Management, Co.
GNA Value Portfolio
================================================================================
<PAGE>
GNA VARIABLE SERIES TRUST - GNA GROWTH PORTFOLIO
- -------------------------------------------------------------------------------9
INVESTMENT PORTFOLIO
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
% OF NET NUMBER MARKET
ASSETS OF SHARES VALUE ($)
-------- --------- -----------
<S> <C> <C> <C>
COMMON STOCKS
BASIC INDUSTRIES 6.0
CHEMICALS - 4.9%
Airgas, Incorporated (a)........................ 7,200 136,800
Cabot Corporation............................... 5,200 127,400
Millipore Corporation........................... 3,000 125,625
Praxair, Incorporated........................... 3,000 126,750
-----------
516,575
-----------
CONTAINERS & GLASS - 1.1%
Sealed Air Corporation (a)...................... 3,500 117,687
-----------
634,262
-----------
CAPITAL GOODS 4.3
AGRICULTURAL MACHINERY - 1.0%
Deere & Company................................. 2,700 108,000
-----------
CONSTRUCTION & MINING EQUIPMENT - 0.9%
Dover Corporation............................... 2,000 92,250
-----------
INDUSTRIAL MACHINERY - 2.4%
Applied Materials, Incorporated (a)............. 4,200 128,100
Thermo Electron Corporation (a)................. 3,150 131,119
-----------
259,219
-----------
459,469
-----------
CONGLOMERATES 1.9
Danaher Corporation............................. 4,600 200,100
-----------
CONSUMER BASICS 18.6
DRUGS & HEALTH CARE - 15.6%
Amgen, Incorporated (a)......................... 2,600 140,400
Genzyme Corporation (a)......................... 2,500 125,625
HBO & Company................................... 1,600 108,400
HealthCare Compare Corporation (a).............. 2,200 107,250
Invacare Corporation............................ 4,800 112,800
Johnson & Johnson............................... 2,200 108,900
Medtronic, Incorporated......................... 2,600 145,600
Merck & Company, Incorporated................... 1,600 103,400
Omnicare, Incorporated.......................... 3,600 95,400
Pfizer, Incorporated............................ 2,000 142,750
Schering Plough Corporation..................... 2,000 125,500
St. Jude Medical, Incorporated (a).............. 3,000 100,500
</TABLE>
================================================================================
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
GNA VARIABLE SERIES TRUST - GNA GROWTH PORTFOLIO
10-----------------------------------------------------------------------------
INVESTMENT PORTFOLIO
JUNE 30, 1996 (UNAUDITED), CONTINUED
<TABLE>
<CAPTION>
% OF NET NUMBER MARKET
ASSETS OF SHARES VALUE ($)
-------- --------- -----------
<S> <C> <C> <C>
Stryker Corporation............................. 5,600 127,400
United Healthcare Corporation................... 2,200 111,100
-----------
1,655,025
-----------
FOOD & BEVERAGES - 1.0%
Coca-Cola Company............................... 2,200 107,525
-----------
HOUSEHOLD PRODUCTS - 1.1%
Tupperware Corporation (a)...................... 2,800 118,300
-----------
RETAIL GROCERY - 0.9%
Casey's General Stores, Incorporated............ 4,400 87,450
-----------
1,968,300
-----------
CONSUMER DURABLE GOODS 3.9
AUTOMOBILES - 1.7%
Harley Davidson, Incorporated................... 4,400 180,950
-----------
HOUSEHOLD APPLIANCES & HOME FURNISHINGS - 1.2%
Black & Decker Corporation...................... 3,200 123,600
-----------
MOBILE HOMES - 1.0%
Clayton Homes, Incorporated..................... 5,600 112,000
-----------
416,550
-----------
CONSUMER NON-DURABLE GOODS 6.4
COSMETICS & TOILETRIES - 1.2%
Gillette Company................................ 2,000 124,750
-----------
RETAIL TRADE - 5.2%
CompUSA, Incorporated (a)....................... 3,000 102,375
Dollar General Corporation...................... 3,844 112,430
Home Depot, Incorporated........................ 2,300 124,200
Kohl's Corporation (a).......................... 2,800 102,550
Petsmart, Incorporated (a)...................... 2,400 114,600
-----------
556,155
-----------
680,905
-----------
CONSUMER SERVICES 3.8
HOTELS & RESTAURANTS - 3.8%
Hilton Hotels Corporation....................... 1,000 112,500
La Quinta Inns, Incorporated.................... 4,000 134,000
McDonald's Corporation.......................... 3,400 158,950
-----------
405,450
-----------
</TABLE>
================================================================================
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
GNA VARIABLE SERIES TRUST - GNA GROWTH PORTFOLIO
- ------------------------------------------------------------------------------11
INVESTMENT PORTFOLIO
JUNE 30, 1996 (UNAUDITED), CONTINUED
<TABLE>
<CAPTION>
% OF NET NUMBER MARKET
ASSETS OF SHARES VALUE ($)
-------- --------- -----------
<S> <C> <C> <C>
FINANCE 14.2
BANKS - 7.4%
Bank of Boston Corporation...................... 2,100 103,950
Citicorp........................................ 1,300 107,413
Fifth Third Bancorp............................. 3,000 162,000
Norwest Corporation............................. 3,900 136,012
Star Banc Corporation........................... 2,000 134,750
Zions Bancorp................................... 2,000 145,500
-----------
789,625
-----------
FINANCIAL SERVICES - 3.3%
American Express Company........................ 2,800 124,950
Finova Group, Incorporated...................... 2,600 126,750
Green Tree Financial Corporation................ 3,000 93,750
-----------
345,450
-----------
INSURANCE - 3.5%
American International Group, Incorporated...... 1,200 118,350
MGIC Investment Corporation..................... 2,400 134,700
SunAmerica, Incorporated........................ 2,000 113,000
-----------
366,050
-----------
1,501,125
-----------
GENERAL BUSINESS 10.8
BUSINESS SERVICES - 7.7%
CUC International, Incorporated (a)............. 4,200 149,100
First Data Corporation.......................... 1,500 119,438
FIserv, Incorporated (a)........................ 5,400 162,000
Manpower, Incorporated.......................... 2,700 105,975
Olsten Corporation.............................. 5,100 149,812
Omnicom Group................................... 2,800 130,200
-----------
816,525
-----------
COMMUNICATION SERVICES - 1.4%
Andrew Corporation (a).......................... 2,400 129,000
Loral Space & Communications (a)................ 1,800 24,525
-----------
153,525
-----------
</TABLE>
================================================================================
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
GNA VARIABLE SERIES TRUST - GNA GROWTH PORTFOLIO
12-----------------------------------------------------------------------------
INVESTMENT PORTFOLIO
JUNE 30, 1996 (UNAUDITED), CONTINUED
<TABLE>
<CAPTION>
% OF NET NUMBER MARKET
ASSETS OF SHARES VALUE ($)
-------- --------- -----------
<S> <C> <C> <C>
OFFICE FURNISHINGS & SUPPLIES - 1.7%
Danka Business Systems......................... 2,400 70,200
Staples, Incorporated (a)...................... 5,500 107,250
-----------
177,450
-----------
1,147,500
-----------
TECHNOLOGY 24.4
AEROSPACE - 2.2%
McDonnell Douglas Corporation.................. 2,400 116,400
Sun Microsystems, Incorporated (a)............. 2,000 117,750
-----------
234,150
-----------
COMPUTERS & BUSINESS EQUIPMENT - 8.5%
3Com Corporation (a)........................... 4,200 192,150
Cabletron Systems, Incorporated (a)............ 1,200 82,350
Ceridian Corporation (a)....................... 2,700 136,350
Cisco Systems, Incorporated (a)................ 2,000 113,250
Dell Computer Corporation (a).................. 2,200 111,925
EMC Massachusetts Corporation (a).............. 3,600 67,050
Hewlett Packard Company........................ 1,000 99,625
International Business Machines................ 1,000 99,000
-----------
901,700
-----------
ELECTRONICS - 7.7%
ADC Telecommunications,
Incorporated (a)............................. 2,800 126,000
Avnet, Incorporated............................ 2,000 84,250
Checkpoint Systems, Incorporated (a)........... 3,200 110,000
Intel Corporation.............................. 1,500 110,156
Newbridge Networks Corporation (a)............. 1,700 111,350
Tellabs, Incorporated (a)...................... 2,000 133,750
Texas Industries, Incorporated................. 2,000 137,250
-----------
812,756
-----------
SOFTWARE - 6.0%
America Online, Incorporated (a)............... 3,600 157,500
Computer Associates International,
Incorporated................................. 1,600 114,000
Microsoft Corporation (a)...................... 900 108,113
</TABLE>
================================================================================
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
GNA VARIABLE SERIES TRUST - GNA GROWTH PORTFOLIO
- ------------------------------------------------------------------------------13
INVESTMENT PORTFOLIO
JUNE 30, 1996 (UNAUDITED), CONTINUED
<TABLE>
<CAPTION>
% OF NET NUMBER MARKET
ASSETS OF SHARES VALUE ($)
-------- --------- -----------
<S> <C> <C> <C>
Oracle Systems Corporation (a)................. 3,225 127,186
Parametric Technology Corporation (a).......... 3,000 130,125
-----------
636,924
-----------
2,585,530
-----------
TRANSPORTATION 0.9
RAILROADS & EQUIPMENT - 0.9%
Wisconsin Central Transportation Corporation
(a).......................................... 3,000 97,500
----- -----------
Total Common Stocks
(Cost $8,429,321)............................ 95.2 10,096,691
-----------
MONEY MARKET MUTUAL FUNDS 4.2
The Seven Seas Series Money Market Fund [Class
A]........................................... 219,500 219,500
The Seven Seas Series US Government Money
Market Fund.................................. 219,501 219,501
-----------
Total Money Market Mutual Funds
(Cost $439,001).............................. 439,001
----- -----------
SUMMARY
Total investments
(Cost $8,868,322) (b)........................ 99.4 10,535,692
Other assets and liabilities, net.............. 0.6 68,630
----- -----------
NET ASSETS...................................... 100.0 $10,604,322
===== ===========
</TABLE>
- ------------------------
NOTES:
(a) Non-income producing security.
(b) See Note 3 for cost for federal income tax purposes and related gross
unrealized appreciation (depreciation).
================================================================================
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
GNA VARIABLE SERIES TRUST - GNA VALUE PORTFOLIO
14-----------------------------------------------------------------------------
INVESTMENT PORTFOLIO
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
% OF NET NUMBER MARKET
ASSETS OF SHARES VALUE ($)
-------- --------- ----------
<S> <C> <C> <C>
COMMON STOCKS
BASIC INDUSTRIES 10.9
ALUMINUM - 1.7%
Aluminum Company of America...................... 2,500 143,438
----------
CHEMICALS - 5.5%
Air Products & Chemicals, Incorporated........... 2,100 121,275
DuPont (EI) deNemours & Company.................. 1,100 87,037
Morton International, Incorporated............... 2,400 89,400
PPG Industries, Incorporated..................... 3,300 160,875
----------
458,587
----------
PAPER - 2.6%
Alco Standard Corporation........................ 1,700 76,925
Kimberly Clark Corporation....................... 1,800 139,050
----------
215,975
----------
PLASTICS - 1.1%
Illinois Tool Works, Incorporated................ 1,400 94,675
----------
912,675
----------
CAPITAL GOODS 5.8
AGRICULTURAL MACHINERY - 1.1%
Deere & Company.................................. 2,200 88,000
----------
ELECTRICAL EQUIPMENT - 3.9%
Emerson Electric Company......................... 1,200 108,450
General Electric Company......................... 2,500 216,250
----------
324,700
----------
POLLUTION CONTROL - 0.8%
Pall Corporation................................. 2,900 69,963
----------
482,663
----------
CONSUMER BASICS 23.2
DRUGS & HEALTH CARE - 13.8%
American Home Products Corporation............... 3,400 204,425
Bristol Myers Squibb Company (a)................. 900 81,000
Columbia/HCA Healthcare Corporation.............. 1,700 90,738
Johnson & Johnson................................ 5,400 267,300
Eli Lilly & Company (a).......................... 2,500 162,500
</TABLE>
================================================================================
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
GNA VARIABLE SERIES TRUST - GNA VALUE PORTFOLIO
- ------------------------------------------------------------------------------15
INVESTMENT PORTFOLIO
JUNE 30, 1996 (UNAUDITED), CONTINUED
<TABLE>
<CAPTION>
% OF NET NUMBER MARKET
ASSETS OF SHARES VALUE ($)
-------- --------- ----------
<S> <C> <C> <C>
Pfizer, Incorporated............................. 2,500 178,437
Schering Plough Corporation...................... 2,600 163,150
----------
1,147,550
----------
FOOD & BEVERAGES - 5.5%
Campbell Soup Company............................ 1,400 98,700
CPC International, Incorporated.................. 2,400 172,800
PepsiCo, Incorporated............................ 5,200 183,950
----------
455,450
----------
HOUSEHOLD PRODUCTS - 1.8%
Procter & Gamble Company......................... 1,700 154,063
----------
RETAIL GROCERY - 2.1%
Albertson's, Incorporated........................ 4,300 177,912
----------
1,934,975
----------
CONSUMER DURABLE GOODS 3.2
AUTOMOBILES - 3.2%
Chrysler Corporation............................. 1,300 80,600
Ford Motor Company............................... 5,700 184,538
----------
265,138
----------
CONSUMER NON-DURABLE GOODS 7.2
COSMETICS & TOILETRIES - 2.2%
Gillette Company................................. 2,900 180,887
----------
PHOTOGRAPHY - 1.3%
Eastman Kodak Company............................ 1,400 108,850
----------
RETAIL TRADE - 3.7%
May Department Stores Company.................... 3,200 140,000
Walgreen Company................................. 5,200 174,200
----------
314,200
----------
603,937
----------
CONSUMER SERVICES 1.9
HOTELS & RESTAURANTS - 1.0%
McDonald's Corporation........................... 1,700 79,475
----------
LEISURE TIME - 0.9%
Disney (Walt) Company............................ 1,200 75,450
----------
154,925
----------
</TABLE>
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
GNA VARIABLE SERIES TRUST - GNA VALUE PORTFOLIO
16------------------------------------------------------------------------------
INVESTMENT PORTFOLIO
JUNE 30, 1996 (UNAUDITED), CONTINUED
<TABLE>
<CAPTION>
% OF NET NUMBER MARKET
ASSETS OF SHARES VALUE ($)
-------- --------- ----------
<S> <C> <C> <C>
ENERGY 3.9
INTERNATIONAL OIL - 2.8%
Exxon Corporation................................ 1,000 86,875
Mobil Corporation................................ 600 67,275
Royal Dutch Petroleum Company.................... 500 76,875
----------
231,025
----------
PETROLEUM SERVICES - 1.1%
Halliburton Company.............................. 1,700 94,350
----------
325,375
----------
FINANCE 12.5
BANKS - 8.0%
Chase Manhattan Corporation...................... 4,400 310,750
First Chicago Corporation........................ 4,300 168,237
National City Corporation........................ 5,400 189,675
----------
668,662
----------
FINANCIAL SERVICES - 3.1%
American Express Company......................... 3,500 156,188
MBNA Corporation................................. 3,400 96,900
----------
253,088
----------
INSURANCE - 1.4%
American International Group, Incorporated....... 1,200 118,350
----------
1,040,100
----------
GENERAL BUSINESS 2.3
COMMUNICATION SERVICES - 1.3%
SBC Communications, Incorporated................. 2,200 108,350
----------
NEWSPAPERS - 1.0%
Gannett Company, Incorporated.................... 1,200 84,900
----------
193,250
----------
SHELTER 1.6
CONSTRUCTION MATERIALS - 1.6%
Masco Corporation................................ 4,300 130,075
----------
</TABLE>
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
GNA VARIABLE SERIES TRUST - GNA VALUE PORTFOLIO
- ------------------------------------------------------------------------------17
INVESTMENT PORTFOLIO
JUNE 30, 1996 (UNAUDITED), CONTINUED
<TABLE>
<CAPTION>
% OF NET NUMBER MARKET
ASSETS OF SHARES VALUE ($)
-------- --------- ----------
<S> <C> <C> <C>
TECHNOLOGY 22.5
AEROSPACE - 3.9%
Boeing Company................................... 2,400 209,100
Raytheon Company................................. 2,300 118,738
----------
327,838
----------
COMPUTERS & BUSINESS EQUIPMENT - 6.5%
Cisco Systems, Incorporated (a).................. 3,100 175,537
Compaq Computer Corporation (a).................. 2,000 98,500
Hewlett Packard Company.......................... 1,500 149,438
Pitney Bowes, Incorporated....................... 2,500 119,375
----------
542,850
----------
ELECTRONICS - 5.3%
Intel Corporation................................ 3,900 286,406
Motorola, Incorporated........................... 2,400 150,900
----------
437,306
----------
SOFTWARE - 6.8%
Electronic Data Systems Corporation (a).......... 3,100 166,625
Microsoft Corporation (a)........................ 2,250 270,281
Oracle Systems Corporation (a)................... 3,250 128,172
----------
565,078
----------
1,873,072
----------
UTILITIES 4.4
ELECTRIC UTILITIES - 1.7%
Southern Company................................. 5,900 145,287
----------
TELEPHONE - 2.7%
Ameritech Corporation............................ 2,400 142,500
AT&T Corporation................................. 1,300 80,600
----------
223,100
----------
368,387
---- ----------
Total Common Stocks
(Cost $7,675,967).............................. 99.4 8,284,572
----------
</TABLE>
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
GNA VARIABLE SERIES TRUST - GNA VALUE PORTFOLIO
18------------------------------------------------------------------------------
INVESTMENT PORTFOLIO
JUNE 30, 1996 (UNAUDITED), CONTINUED
<TABLE>
<CAPTION>
% OF NET NUMBER MARKET
ASSETS OF SHARES VALUE ($)
-------- --------- ----------
<S> <C> <C> <C>
MONEY MARKET MUTUAL FUNDS 0.6
The Seven Seas Series Money Market Fund [Class
A]........................................... 38,307 38,307
The Seven Seas Series US Government Money
Market Fund.................................. 13,748 13,748
----------
Total Money Market Mutual Funds
(Cost $52,055)............................... 52,055
----- ----------
SUMMARY
Total investments
(Cost $7,728,022) (b)........................ 100.0 8,336,627
Other assets and liabilities, net.............. 0.0 (3,969)
----- ----------
NET ASSETS...................................... 100.0 $8,332,658
===== ==========
</TABLE>
- ------------------------
NOTES:
(a) Non-income producing security.
(b) See Note 3 for cost for federal income tax purposes and related gross
unrealized appreciation (depreciation).
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
GNA VARIABLE SERIES TRUST - GNA GOVERNMENT PORTFOLIO
- ------------------------------------------------------------------------------19
INVESTMENT PORTFOLIO
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
% OF NET PRINCIPAL MARKET
ASSETS AMOUNT ($) VALUE ($)
-------- ---------- ----------
<S> <C> <C> <C>
LONG-TERM GOVERNMENT SECURITIES 93.3
FEDERAL HOME LOAN MORTGAGE CORPORATION (A)(B) -
37.4
6.500%, with a maturity date of February 1,
2011......................................... 61,321 59,347
7.000%, with various maturity dates to August
1, 2025...................................... 1,807,341 1,741,676
8.000%, with various maturity dates to April
1, 2017...................................... 671,687 684,003
8.250%, with a maturity date of
June 1, 2016................................. 60,000 67,903
8.500%, with various maturity dates to July 1,
2010......................................... 415,291 427,807
----------
Total Federal Home Loan Mortgage Corporation
(Cost $2,977,297)........................... 2,980,736
----------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
ADJUSTABLE RATE
MORTGAGES (A)(B) - 8.0
6.500%, with a maturity date of February 20,
2023......................................... 291,956 293,018
7.000%, with various maturity dates to
December 20, 2024............................ 339,348 343,565
----------
Total Government National Mortgage Association
Adjustable Rate Mortgages
(Cost $602,509)............................. 636,583
----------
UNITED STATES TREASURY BOND - 6.2
7.875%, with a maturity date of February 15,
2021
(Cost $476,235)............................. 450,000 493,664
----------
FEDERAL HOME LOAN BANK BONDS - 5.6
5.720%, with a maturity date of November 22,
2000 (d)..................................... 360,000 347,288
7.640%, with a maturity date of
May 8, 2002.................................. 100,000 101,000
----------
Total Federal Home Loan Bank Bonds
(Cost $429,845)............................. 448,288
----------
</TABLE>
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
GNA VARIABLE SERIES TRUST - GNA GOVERNMENT PORTFOLIO
20------------------------------------------------------------------------------
INVESTMENT PORTFOLIO
JUNE 30, 1996 (UNAUDITED), CONTINUED
<TABLE>
<CAPTION>
% OF NET PRINCIPAL MARKET
ASSETS AMOUNT ($) VALUE ($)
-------- ---------- ----------
<S> <C> <C> <C>
FEDERAL FARM CREDIT BANK NOTE - 5.3
8.600%, with a maturity date of
May 30, 2006
(Cost $449,125)............................. 400,000 425,500
----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION
REAL ESTATE MORTGAGE INVESTMENT CONDUITS
[REMIC] (A)(B)(C) - 5.8
6.000%, with a maturity date of March 25, 2019
[Series 1993-136 Class PB]................... 86,400 83,160
6.500%, with a maturity date of September 25,
2018
[Series 1992-150 Class GA]................... 175,000 174,944
7.000%, with various maturity dates to
September 25, 2020
[Series 1990-109 Class J].................... 200,000 200,234
----------
Total Federal National Mortgage Association
Real Estate Mortgage Investment Conduits
[REMIC]
(Cost $456,084)............................. 458,338
----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION
ADJUSTABLE RATE MORTGAGE (A)(B) - 3.7
8.570%, with a maturity date of
July 1, 2019
(Cost $291,150)............................. 292,063 298,359
----------
FEDERAL NATIONAL MORTGAGE
ASSOCIATION (A)(B) - 9.7
6.000%, with a maturity date of August 1,
2008......................................... 100,079 95,638
6.500%, with various maturity dates to May 1,
2024......................................... 565,509 543,177
7.000%, with a maturity date of September 1,
1999......................................... 13,891 13,847
7.500%, with a maturity date of
July 1, 2002................................. 56,751 57,318
8.000%, with various maturity dates to July 1,
1998......................................... 58,188 59,169
----------
Total Federal National Mortgage Association
(Cost $789,762)............................. 769,149
----------
</TABLE>
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
GNA VARIABLE SERIES TRUST - GNA GOVERNMENT PORTFOLIO
- ------------------------------------------------------------------------------21
INVESTMENT PORTFOLIO
JUNE 30, 1996 (UNAUDITED), CONTINUED
<TABLE>
<CAPTION>
% OF NET PRINCIPAL MARKET
ASSETS AMOUNT ($) VALUE ($)
-------- ---------- ----------
<S> <C> <C> <C>
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
(A)(B) - 5.0
6.000%, with a maturity date of February 20,
2026......................................... 76,811 76,691
6.500%, with a maturity date of October 15,
2010......................................... 94,539 91,850
7.500%, with a maturity date of
April 15, 2001............................... 29,118 29,266
8.500%, with various maturity dates to May 15,
2003......................................... 195,609 202,995
----------
Total Government National Mortgage Association
(Cost $395,980)............................. 400,802
----------
FEDERAL HOME LOAN MORTGAGE CORPORATION MULTICLASS
PARTICIPATION CERTIFICATES (A)(B)(C) - 3.7
5.850%, with a maturity date of February 15,
2008......................................... 110,000 104,534
6.500%, with various maturity dates to
February 15, 2021............................ 150,000 139,625
7.000%, with a maturity date of February 15,
2021......................................... 50,000 47,375
----------
Total Federal Home Loan Mortgage Corporation
Multiclass
Participation Certificates
(Cost $293,992)............................. 291,534
----------
TENNESSEE VALLEY AUTHORITY NOTE - 1.6
6.125%, with a maturity date of
July 15, 2003
(Cost $131,443)............................. 133,000 128,553
----------
PRIVATE EXPORT FUNDING
CORPORATION - 1.3
9.100%, with a maturity date of October 30,
1998
(Cost $108,625)............................. 100,000 105,771
----------
Total Long-Term Government Securities
(Cost $7,402,047)........................... 7,437,277
----------
</TABLE>
================================================================================
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
GNA VARIABLE SERIES TRUST - GNA GOVERNMENT PORTFOLIO
22------------------------------------------------------------------------------
INVESTMENT PORTFOLIO
JUNE 30, 1996 (UNAUDITED), CONTINUED
<TABLE>
<CAPTION>
% OF NET NUMBER OF MARKET
ASSETS SHARES VALUE ($)
-------- --------- ----------
<S> <C> <C> <C>
MONEY MARKET MUTUAL FUNDS 5.9
The Seven Seas Series Money Market Fund [Class
A]............................................ 236,826 236,826
The Seven Seas Series US Government Money Market
Fund.......................................... 236,850 236,850
----------
Total Money Market Mutual Funds
(Cost $473,676).............................. 473,676
----- ----------
SUMMARY
Total investments
(Cost $7,875,723) (e)........................ 99.2 7,910,953
Other assets and liabilities, net............... 0.8 63,420
----- ----------
NET ASSETS (F)................................... 100.0 $7,974,373
===== ==========
</TABLE>
- ------------------------
NOTES:
(a) The investments in mortgage-backed securities are interests in separate
pools of mortgages. All such issues which have similar coupon rates, have
been aggregated for financial statement presentation purposes.
(b) Effective maturities for all securities may be shorter than indicated due
to prepayments.
(c) Risks associated with Collateralized Mortgage Obligations ("CMO's")-The
net asset value of the Portfolio is sensitive to interest rate fluctua-
tions associated with CMO's. CMO's are obligations collateralized by a
portfolio of mortgages or mortgage-related securities. Payments of princi-
pal and interest on the mortgages are passed through to the holder of the
CMO's on the same schedule as they are received, although certain classes
of CMO's have priority over others with respect to the receipt of prepay-
ments on the mortgages. Therefore, an investment in CMO's may be subject
to a greater or lesser risk of prepayments than other types of mortgage-
related securities.
(d) Collateral for open futures and options contracts (Note 3).
(e) See Note 3 for cost for federal income tax purposes and related gross
unrealized appreciation (depreciation).
(f) At June 30, 1996, open futures contracts purchased and sold short were as
follows:
<TABLE>
<CAPTION>
CONTRACTS EXPIRATION MARKET UNREALIZED
PURCHASED DESCRIPTION DATE VALUE DEPRECIATION
- --------- ------------------------ ---------- ------ ------------
<S> <C> <C> <C> <C>
9 US Treasury Bond Futures July 96 $1,853,719 $ (353)
========== -------
<CAPTION>
CONTRACTS
SOLD
- ---------
<S> <C> <C> <C> <C>
2 US Treasury Bond Futures July 96 $ 215,000 (1,016)
========== -------
Unrealized depreciation on futures contracts $(1,369)
=======
</TABLE>
================================================================================
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
GNA VARIABLE SERIES TRUST - GNA ADJUSTABLE RATE PORTFOLIO
- ------------------------------------------------------------------------------23
INVESTMENT PORTFOLIO
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
% OF NET PRINCIPAL MARKET
ASSETS AMOUNT ($) VALUE ($)
-------- ---------- ---------
<S> <C> <C> <C>
LONG-TERM GOVERNMENT SECURITIES 75.8
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
ADJUSTABLE RATE
MORTGAGES (A)(B) - 42.0
5.500%, with various maturity dates to March
20, 2026...................................... 565,258 562,063
6.000%, with various maturity dates to October
20, 2024...................................... 633,419 630,261
6.500%, with various maturity dates to March
20, 2024...................................... 1,057,726 1,061,430
7.000%, with a maturity date of September 20,
2024.......................................... 43,857 44,508
7.250%, with a maturity date of September 20,
2018.......................................... 170,236 173,003
7.375%,with a maturity date of
May 20, 2023.................................. 56,560 57,488
---------
Total Government National Mortgage Association
Adjustable Rate Mortgages
(Cost $2,399,653)............................ 2,528,753
---------
FEDERAL NATIONAL MORTGAGE ASSOCIATION
ADJUSTABLE RATE MORTGAGES (A)(B) - 14.5
4.154%, with a maturity date of
April 1, 2026................................. 195,957 188,732
7.043%, with a maturity date of
July 1, 2024.................................. 217,815 224,759
7.490%, with a maturity date of November 1,
2024.......................................... 319,543 328,781
7.629%, with a maturity date of November 1,
2024.......................................... 128,908 130,337
---------
Total Federal National Mortgage Association
Adjustable Rate Mortgages
(Cost $847,390).............................. 872,609
---------
</TABLE>
================================================================================
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
GNA VARIABLE SERIES TRUST - GNA ADJUSTABLE RATE PORTFOLIO
24------------------------------------------------------------------------------
INVESTMENT PORTFOLIO
JUNE 30, 1996 (UNAUDITED), CONTINUED
<TABLE>
<CAPTION>
% OF NET PRINCIPAL MARKET
ASSETS AMOUNT ($) VALUE ($)
-------- ---------- ----------
<S> <C> <C> <C>
FEDERAL HOME LOAN MORTGAGE CORPORATION
ADJUSTABLE RATE
MORTGAGES (A)(B) - 8.4
7.488%, with a maturity date of
January 1, 2025.............................. 385,844 391,512
7.743%, with a maturity date of February 1,
2025......................................... 110,334 112,645
----------
Total Federal Home Loan Mortgage Corporation
Adjustable Rate Mortgages
(Cost $489,339)............................. 504,157
----------
FEDERAL HOME LOAN MORTGAGE CORPORATION (A)(B) -
6.2
8.000%, with a maturity date of January 1,
2000
(Cost $373,846)............................. 373,759 374,694
----------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
(A)(B) - 4.7
9.000%, with various maturity dates to
November 15, 2016
(Cost $284,837)............................. 267,203 282,650
----------
Total Long-Term Government Securities
(Cost $4,395,065)........................... 4,562,863
----------
COLLATERALIZED MORTGAGE
OBLIGATIONS 7.7
THE MONEY STORE HOME EQUITY
TRUST (A)(B)(C) - 1.8
6.850%, with a maturity date of
June 15, 2019................................ 110,000 108,711
----------
RESOLUTION TRUST CORPORATION MORTGAGE PASS-THROUGHS
(A)(B)(C) - 5.9
8.000%, with a maturity date of September 25,
2021......................................... 196,599 196,845
9.000%, with a maturity date of September 25,
2028......................................... 155,705 158,916
----------
355,761
----------
Total Collateralized Mortgage Obligations
(Cost $466,076)............................. 464,472
----------
</TABLE>
================================================================================
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
GNA VARIABLE SERIES TRUST - GNA ADJUSTABLE RATE PORTFOLIO
- ------------------------------------------------------------------------------25
INVESTMENT PORTFOLIO
JUNE 30, 1996 (UNAUDITED), CONTINUED
<TABLE>
<CAPTION>
% OF NET PRINCIPAL MARKET
ASSETS AMOUNT ($) VALUE ($)
-------- ---------- ----------
<S> <C> <C> <C>
ASSET-BACKED SECURITIES 15.1
Citibank Credit Card Master Trust, 5.790%,
February 7, 2003
(Series 1996-1 Class A)...................... 175,000 128,242
Contimortgage Home Equity Loan, 6.860%, July
15, 2010
(Series 1995-3 Class A2)..................... 225,000 223,346
EQCC Home Equity Loan Trust,
5.725%, December 15, 2008
(Series 1993-4 Class A)...................... 92,592 89,264
Equicon Loan Trust,
5.850%, November 18, 2012
(Series 1993-1 Class A)...................... 11,880 11,613
Household Finance Corporation,
5.750%, May 20, 2008
(1993-1 Class A2)............................ 89,070 89,321
Merrill Lynch Home Equity Loan Trust, 5.820%,
February 15, 2003
(Series 1993-1 Class A)....................... 109,989 110,057
UCFC Loan Trust,
8.250%, April 10, 2016
(Series 1995-A Class A4)...................... 250,000 255,937
----------
Total Asset-Backed Securities
(Cost $922,916)............................. 907,780
----------
<CAPTION>
NUMBER
OF SHARES
----------
<S> <C> <C> <C>
MONEY MARKET MUTUAL FUNDS 1.2
The Seven Seas Series Money Market Fund [Class
A]........................................... 35,600 35,600
The Seven Seas Series US Government Money
Market Fund.................................. 35,600 35,600
----------
Total Money Market Mutual Funds
(Cost $71,200).............................. 71,200
----- ----------
SUMMARY
Total investments
(Cost $5,855,257) (d)....................... 99.8 6,006,315
Other assets and liabilities, net.............. 0.2 10,761
----- ----------
NET ASSETS...................................... 100.0 $6,017,076
===== ==========
</TABLE>
================================================================================
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
GNA VARIABLE SERIES TRUST - GNA ADJUSTABLE RATE PORTFOLIO
26------------------------------------------------------------------------------
- ------------------------
NOTES:
(a) The investments in mortgage-backed securities are interests in separate
pools of mortgages. All such issues which have similar coupon rates have
been aggregated for financial statement presentation purposes.
(b) Effective maturities for all securities may be shorter than indicated due
to prepayments.
(c) Risks associated with Collateralized Mortgage Obligations ("CMO's") - The
net asset value of the Portfolio is sensitive to interest rate fluctuations
associated with CMO's. CMO's are obligations collateralized by a portfolio
of mortgages or mortgage-related securities. Payments of principal and in-
terest on the mortgages are passed through to the holder of the CMO's on
the same schedule as they are received, although certain classes of CMO's
have priority over others with respect to the receipt of prepayments on the
mortgages. Therefore, an investment in CMO's may be subject to a greater or
lesser risk of prepayments than other types of mortgage-related securities.
(d) See Note 3 for cost for federal income tax purposes and related gross
unrealized appreciation (depreciation).
================================================================================
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
GNA VARIABLE SERIES TRUST
- ------------------------------------------------------------------------------27
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
GNA
GNA GNA GNA ADJUSTABLE
GROWTH VALUE GOVERNMENT RATE
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ---------- ---------- ----------
<S> <C> <C> <C> <C>
ASSETS
Investments at market value
(identified cost $8,868,322,
$7,728,022, $7,875,723 and
$5,855,257, respectively)
(Notes 2 and 3)............... $10,535,692 $8,336,627 $7,910,953 $6,006,315
Cash............................ 127 4 77 159
Receivables:
Fund shares sold............... 8,097 211 85 14
Dividends...................... 5,755 9,084 -- --
Interest....................... 5,244 1,508 88,957 36,565
Investments sold............... 67,740 -- -- --
Adviser (Note 4)............... 17,007 14,433 17,925 13,311
Daily variation margin on open
future contracts (Notes 2 and
3)........................... -- -- 2,359 --
Receivable for options.......... -- -- 3,590 --
Deferred organization costs
(Note 2)...................... 8,176 8,176 8,176 8,176
Prepaid expenses (Note 2)....... 10 10 10 11
----------- ---------- ---------- ----------
Total assets.................... 10,647,848 8,370,053 8,032,132 6,064,551
----------- ---------- ---------- ----------
LIABILITIES
Payables:
Fund shares redeemed........... 237 4,015 7,101 14
Dividends...................... -- -- 12,722 11,016
Accrued management fee (Note
4)........................... 14,159 10,811 7,181 3,993
Other accrued expenses and
payables..................... 29,130 22,569 30,755 32,452
----------- ---------- ---------- ----------
Total liabilities............... 43,526 37,395 57,759 47,475
----------- ---------- ---------- ----------
NET ASSETS...................... $10,604,322 $8,332,658 $7,974,373 $6,017,076
=========== ========== ========== ==========
NET ASSETS
Net assets consist of (Note 2):
Undistributed net investment
income....................... $ 33,196 $ 1,846 $ 8,249 $ 13,559
Accumulated net realized gains
(losses)..................... (72,796) 405,795 95,316 38,524
Unrealized appreciation on
investments (Note 3)......... 1,667,370 608,605 35,230 151,058
Unrealized (depreciation) on
futures contracts............ -- -- (1,369) --
Shares of beneficial interest.. 8,976,552 7,316,412 7,836,947 5,813,935
----------- ---------- ---------- ----------
NET ASSETS...................... $10,604,322 $8,332,658 $7,974,373 $6,017,076
=========== ========== ========== ==========
Outstanding shares of beneficial
interest with no par value.... 298,671 248,824 306,234 231,099
=========== ========== ========== ==========
Net asset value, offering and
redemption price per share.... $35.51 $33.49 $26.04 $26.04
=========== ========== ========== ==========
</TABLE>
================================================================================
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
GNA VARIABLE SERIES TRUST
28------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
FOR THE SIX MONTH PERIOD ENDED JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
GNA
GNA GNA GNA ADJUSTABLE
GROWTH VALUE GOVERNMENT RATE
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------- --------- ---------- ----------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest............................ $ 32,575 $ 11,599 $ 280,515 $200,353
Dividends........................... 51,814 84,637 -- --
--------- -------- --------- --------
Total income........................ 84,389 96,236 280,515 200,353
--------- -------- --------- --------
EXPENSES:
Management fee (Note 4)............ 37,210 27,971 21,200 11,639
Transfer agent fee................. 5,271 5,271 5,271 5,271
Custodian fee...................... 19,543 15,863 17,206 17,356
Amortization of organization costs
(Note 2)......................... 1,143 1,143 1,143 1,143
Audit fee.......................... 6,215 5,469 6,365 6,315
Legal fee.......................... 4,972 4,823 7,708 7,608
Insurance.......................... 199 198 249 249
Trustees' fees and expenses........ 1,642 2,188 2,486 2,337
Excise tax......................... 3,864 1,549 5,242 587
Other.............................. 3,063 3,278 3,034 3,034
--------- -------- --------- --------
Total expenses before reimbursement
from Adviser...................... 83,122 67,753 69,904 55,539
Reimbursement of expenses from
Adviser (Note 4).................. (31,929) (29,049) (35,196) (35,170)
--------- -------- --------- --------
Expenses, net....................... 51,193 38,704 34,708 20,369
--------- -------- --------- --------
Net investment income............... 33,196 57,532 245,807 179,984
--------- -------- --------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS:
Net realized gain (loss) from:
Investment transactions (Notes 2
and 3)........................... (187,172) 318,695 (17,825) (13,321)
Option contracts.................. -- -- 5,494 --
Futures contracts................. -- -- (35,247) --
Net increase/decrease in unrealized
appreciation (depreciation) from:
Investment transactions........... 734,474 128,246 (285,059) (76,761)
Futures contracts................. -- -- (5,251) --
--------- -------- --------- --------
Net realized and unrealized gain
(loss) on investments............. 547,302 446,941 (337,888) (90,082)
--------- -------- --------- --------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM OPERATIONS.. $ 580,498 $504,473 $ (92,081) $ 89,902
========= ======== ========= ========
</TABLE>
================================================================================
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
GNA VARIABLE SERIES TRUST
- ------------------------------------------------------------------------------29
[THIS PAGE INTENTIONALLY LEFT BLANK]
================================================================================
<PAGE>
GNA VARIABLE SERIES TRUST
30------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
GNA
GROWTH PORTFOLIO
--------------------------
SIX MONTH
PERIOD ENDED PERIOD ENDED
JUNE 30, DECEMBER 31,
1996(B) 1995(A)
------------ ------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income............................... $ 33,196 $ 19,700
Net realized gain (loss) from:
Investment transactions............................ (187,172) 115,086
Options contracts.................................. -- --
Futures contacts................................... -- --
Net increase/decrease in unrealized appreciation
(depreciation) from:
Investment transactions............................ 734,474 932,896
Futures contracts.................................. -- --
----------- ----------
Net increase (decrease) in net assets resulting
from operations.................................... 580,498 1,067,682
----------- ----------
Distributions to shareholders from:
Net investment income............................... -- (20,410)
----------- ----------
Share transactions:
Proceeds from sales of shares....................... 3,209,173 5,851,981
Reinvestment of distributions....................... -- 20,410
Cost of shares redeemed............................. (111,778) (18,259)
----------- ----------
Increase in net assets resulting from share
transactions........................................ 3,097,395 5,854,132
----------- ----------
INCREASE IN NET ASSETS............................... 3,677,893 6,901,404
Net assets at the beginning of period................ 6,926,429 25,025
----------- ----------
NET ASSETS AT END OF PERIOD.......................... $10,604,322 $6,926,429
=========== ==========
UNDISTRIBUTED NET INVESTMENT INCOME AT END OF PERIOD. $ 33,196 $ --
=========== ==========
PORTFOLIO SHARE INFORMATION:
Shares sold......................................... 93,425 207,331
Shares issued upon reinvestment of distributions.... -- 621
Shares redeemed..................................... (3,141) (566)
----------- ----------
Increase in Portfolio shares outstanding............. 90,284 207,386
=========== ==========
</TABLE>
- ------------------------
(a) For the period January 3, 1995 (commencement of operations) through December
31, 1995.
(b) Unaudited.
================================================================================
THE ACCOMPANYING NOTES ARE AN
<PAGE>
GNA VARIABLE SERIES TRUST
- ------------------------------------------------------------------------------31
<TABLE>
<CAPTION>
GNA GNA GNA
VALUE PORTFOLIO GOVERNMENT PORTFOLIO ADJUSTABLE RATE PORTFOLIO
-------------------------- ------------------------- -------------------------
SIX MONTH SIX MONTH SIX MONTH
PERIOD ENDED PERIOD ENDED PERIOD ENDED PERIOD ENDED PERIOD ENDED PERIOD ENDED
JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31,
1996(B) 1995(A) 1996 (B) 1995(A) 1996 (B) 1995(A)
------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income............................... $ 57,532 $ 51,557 $ 245,807 $ 375,765 $ 179,984 $ 285,656
Net realized gain (loss) from:
Investment transactions............................ 318,695 87,100 (17,825) 154,781 (13,321) 63,800
Options contracts.................................. -- -- 5,494 -- -- --
Futures contacts................................... -- -- (35,247) (3,947) -- --
Net increase/decrease in unrealized appreciation
(depreciation) from:
Investment transactions............................ 128,246 480,359 (285,059) 320,289 (76,761) 227,819
Futures contracts.................................. -- -- (5,251) 3,882 -- --
---------- ---------- ---------- ---------- ---------- ----------
Net increase (decrease) in net assets resulting
from operations.................................... 504,473 619,016 (92,081) 850,770 89,902 577,275
---------- ---------- ---------- ---------- ---------- ----------
Distributions to shareholders from:
Net investment income............................... (57,077) (50,166) (245,696) (375,567) (179,951) (284,085)
---------- ---------- ---------- ---------- ---------- ----------
Share transactions:
Proceeds from sales of shares....................... 3,362,344 3,925,119 1,222,507 6,361,451 365,834 5,141,909
Reinvestment of distributions....................... 57,077 50,166 244,830 363,712 178,891 274,129
Cost of shares redeemed............................. (82,904) (20,415) (331,754) (48,824) (85,578) (86,275)
---------- ---------- ---------- ---------- ---------- ----------
Increase in net assets resulting from share
transactions........................................ 3,336,517 3,954,870 1,135,583 6,676,339 459,147 5,329,763
---------- ---------- ---------- ---------- ---------- ----------
INCREASE IN NET ASSETS............................... 3,783,913 4,523,720 797,806 7,151,542 369,098 5,622,953
Net assets at the beginning of period................ 4,548,745 25,025 7,176,567 25,025 5,647,978 25,025
---------- ---------- ---------- ---------- ---------- ----------
NET ASSETS AT END OF PERIOD.......................... $8,332,658 $4,548,745 $7,974,373 $7,176,567 $6,017,076 $5,647,978
========== ========== ========== ========== ========== ==========
UNDISTRIBUTED NET INVESTMENT INCOME AT END OF PERIOD. $ 1,846 $ 1,391 $ 8,249 $ 8,138 $ 13,559 $ 13,526
========== ========== ========== ========== ========== ==========
PORTFOLIO SHARE INFORMATION:
Shares sold......................................... 104,395 143,157 45,617 250,976 13,938 205,376
Shares issued upon reinvestment of distributions.... 1,730 1,743 9,281 13,782 6,824 10,523
Shares redeemed..................................... (2,516) (686) (12,592) (1,831) (3,274) (3,289)
---------- ---------- ---------- ---------- ---------- ----------
Increase in Portfolio shares outstanding............. 103,609 144,214 42,306 262,927 17,488 212,610
========== ========== ========== ========== ========== ==========
</TABLE>
================================================================================
INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
GNA VARIABLE SERIES TRUST
32------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
The financial highlights set forth below include selected data for a share out-
standing throughout each period and other performance information derived from
the financial statements.
<TABLE>
<CAPTION>
GNA GNA
GROWTH PORTFOLIO VALUE PORTFOLIO
--------------------- ---------------------
SIX SIX
MONTH MONTH
PERIOD PERIOD PERIOD PERIOD
ENDED ENDED ENDED ENDED
JUNE 30, DECEMBER JUNE 30, DECEMBER
1996 (B) 31, 1995 (A) 1996 (B) 31, 1995 (A)
-------- ------------ -------- ------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD........................... $33.24 $25.00 $31.32 $25.00
------ ------ ------ ------
INCOME FROM INVESTMENT OPERATIONS
Net investment income +............ 0.11 0.10 0.24 0.55
Net realized and unrealized gains
(losses) on investments.......... 2.16 8.24 2.17 6.31
------ ------ ------ ------
Total from investment operations... 2.27 8.34 2.41 6.86
------ ------ ------ ------
LESS DISTRIBUTIONS FROM
Net investment income.............. -- (0.10) (0.24) (0.54)
------ ------ ------ ------
NET ASSET VALUE, END OF PERIOD..... $35.51 $33.24 $33.49 $31.32
====== ====== ====== ======
TOTAL RETURN (%) (c)............... 6.83 33.37 7.71 27.68
RATIOS/SUPPLEMENTAL DATA
Ratios to average daily net assets
(%) (d):
Net expenses + ................... 1.10 1.10 1.10 1.10
Gross expenses +.................. 1.78 2.89 1.93 3.87
Net investment income +........... 0.71 0.47 1.64 2.03
Portfolio turnover (%)............. 27.03 65.88 44.25 41.67
Net Assets, end of period
(millions)....................... $10.6 $6.9 $8.3 $4.5
+ REIMBURSEMENT OF EXPENSES FROM
ADVISER.......................... $0.11 $0.38 $0.12 $0.75
Average commission rate (e)........ $0.050 N/A $0.050 N/A
</TABLE>
- ------------------------
(a) For the period January 3, 1995 (commencement of operations) through
December 31, 1995.
(b) Unaudited.
(c) Total returns are historical and assume changes in share price and rein-
vestment of dividends and capital gains. Had the adviser not absorbed a
portion of expenses, total return would have been lower. Periods less than
one year are not annualized.
================================================================================
The accompanying notes are an
<PAGE>
GNA VARIABLE SERIES TRUST
- ------------------------------------------------------------------------------33
<TABLE>
<CAPTION>
GNA GNA
GOVERNMENT PORTFOLIO ADJUSTABLE RATE PORTFOLIO
------------------------------ ------------------------------------
SIX SIX
MONTH MONTH
PERIOD PERIOD PERIOD PERIOD
ENDED ENDED ENDED ENDED
JUNE 30, DECEMBER JUNE 30, DECEMBER
1996 (B) 31, 1995 (A) 1996 (B) 31, 1995 (A)
--------- ------------- ------------ --------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD........................... $27.19 $25.00 $ 26.44 $ 25.00
------ ------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net investment income +............ 0.83 1.70 0.80 1.38
Net realized and unrealized gains
(losses) on investments.......... (1.15) 2.19 (0.40) 1.44
------ ------ ------------ ------------
Total from investment operations... (0.32) 3.89 0.40 2.82
------ ------ ------------ ------------
LESS DISTRIBUTIONS FROM
Net investment income.............. (0.83) (1.70) (0.80) (1.38)
------ ------ ------------ ------------
NET ASSET VALUE, END OF PERIOD..... $26.04 $27.19 $ 26.04 $ 26.44
====== ====== ============ ============
TOTAL RETURN (%) (c)............... (1.19) 15.99 1.52 11.50
RATIOS/SUPPLEMENTAL DATA
Ratios to average daily net assets
(%) (d):
Net expenses + ................... 0.90 0.90 0.70 0.70
Gross expenses +.................. 1.81 2.09 1.90 2.05
Net investment income +........... 6.36 6.51 6.17 5.38
Portfolio turnover (%)............. 1.70 129.71 37.33 36.47
Net Assets, end of period
(millions)....................... $8.0 $7.2 $6.0 $5.6
+ REIMBURSEMENT OF EXPENSES FROM
ADVISER.......................... $0.12 $0.31 $0.15 $0.35
Average commission rate (e)........ N/A N/A N/A N/A
</TABLE>
- ------------------------
(d) Annualized.
(e) For years beginning on or after September 1, 1995, a fund is required to
disclose its average commission rate per share of security trades on which
commissions are charged.
================================================================================
INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
GNA VARIABLE SERIES TRUST
34------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1.ORGANIZATION OF THE PORTFOLIOS. GNA Variable Series Trust (the "Trust") is
organized as a Delaware Business Trust under a Declaration of Trust dated
March 25, 1994, amended and restated August 22, 1994 and is registered under
the Investment Company Act of 1940, as amended, as a diversified, open-end
management investment company. The Trust is a series of funds, currently com-
prised of four investment portfolios (the "Portfolios"), the GNA Growth Port-
folio, the GNA Value Portfolio, the GNA Government Portfolio and the GNA Ad-
justable Rate Portfolio that commenced operations as of January 3, 1995.
Shares of the Trust are offered only to a separate account of Great Northern
Insured Annuity Corporation, an affiliated insurance company which funds cer-
tain variable annuity contracts. As of June 30, 1996, the affiliated insurance
company controlled the Portfolios by virtue of ownership of all of the Portfo-
lios' shares of beneficial interest.
2.SIGNIFICANT ACCOUNTING POLICIES. The preparation of the Portfolios' finan-
cial statements in accordance with generally accepted accounting principles
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities at the date of the financial statements and
the reported amounts of revenues and expenses during the reporting period. The
following is a summary of significant accounting policies followed consist-
ently by the Portfolios.
Securities Valuation. Securities (including options) listed or traded on an
exchange or quoted on NASDAQ are valued at their last sale prices prior to the
time when assets are valued. Lacking any sales on that day, securities are
valued at the mean between the current closing bid and asked prices. Other se-
curities for which market quotations are readily available are valued at the
mean of the bid and asked quotations quoted prior to the time when assets are
valued ("market value"). Certain securities are valued primarily utilizing
such pricing services as may be deemed appropriate. The pricing services uti-
lize information with respect to market transactions, quotations from dealers
and various relationships among securities in determining value and may pro-
vide prices determined as of times prior to the close of the New York Stock
Exchange. Investments in certain long-term debt securities not traded in an
organized market are valued primarily based on market quotations provided by
recognized dealers of such securities. Other securities for which market quo-
tations are not readily available, such as restricted securities, or where
pricing occurs during periods of market disruption, are valued in good faith
by or under the authority of the Trustees of the Trust. Short-term investments
maturing within 60 days are valued at original cost plus accreted discount or
accrued interest which approximates market value.
Securities Transactions and Related Investment Income. Sales and purchases
are accounted for as of trade date. Realized securities gains or losses are
determined using the identified cost method for both financial and tax report-
ing purposes. Dividend income is recorded on the ex-dividend date. Interest
income is accrued pro rata to maturity. Original issue discount is accreted
for financial and tax accounting purposes.
================================================================================
<PAGE>
GNA VARIABLE SERIES TRUST
- ------------------------------------------------------------------------------35
NOTES TO FINANCIAL STATEMENTS (UNAUDITED), CONTINUED
Futures Contracts. Each of the Portfolios may purchase and sell futures con-
tracts, subject to certain limitations. The GNA Government Portfolio uses in-
terest rate futures contracts as a hedge against changes in interest rates.
Upon entering into a futures contract, each Portfolio is required to deposit
with a broker an amount ("initial margin") equal to a certain percentage of
the face amount of the futures contract. Subsequent payments ("variation mar-
gin") are made or received by the Portfolio each day, dependent on the daily
fluctuations in the value of the unrealized gains and losses by the Portfolio.
If the Portfolio enters into a closing transaction, the Portfolio will real-
ize, for book purposes, a gain or loss equal to the difference between the
value of the futures contract to sell and the futures contract to buy. The
Portfolio may be subject to risk upon entering into futures contracts result-
ing from the imperfect correlation of prices between the futures and securi-
ties markets.
Options on Futures Contracts. Each Portfolio may purchase and sell listed
call and put options on futures contracts. The GNA Government Portfolio uses
options on interest rate futures contracts as a hedge against changes in in-
terest rates. Options are valued in accordance with the security valuations
policies described above. Transactions in options on futures contracts involve
similar risks to those on futures contracts.
Securities Purchased on a When-Issued Basis. Each Portfolio may enter into
firm commitment agreements ("TBA" or "when-issued" purchases) for the purchase
of securities at an agreed-upon price on a specified future date. A Portfolio
will not enter into such agreements for the purpose of investment leverage.
Liability for the purchase price and all the rights and risks of ownership
of the securities accrue to a Portfolio at the time it becomes obligated to
purchase the securities, although delivery and payment occur at a later date,
generally within 45 days (but not to exceed 120 days) of the date of the com-
mitment to purchase. Accordingly, if the market price of the security should
decline, the effect of the agreement would be to obligate the Portfolio to
purchase the security at the price above the current market price on the date
of delivery and payment. During the time the Portfolio is obligated to pur-
chase such securities, it will segregate with the Custodian U.S. government
securities, cash or cash equivalents (or a receivable for investment sold in
connection therewith) of an aggregate current value sufficient to make payment
for the securities.
Repurchase Agreements. Each Portfolio may enter into repurchase agreements
in order to generate additional income. Each repurchase agreement entered into
by a Portfolio will provide that the value of the collateral underlying the
repurchase agreement will always be at least 102% of the repurchase price, in-
cluding accrued interest, except for repurchase agreements entered into with a
broker/dealer or bank whose unsecured debt is rated AAA or whose commercial
paper is rated A-1 by Standard and Poor's or P-1 by Moody's, in which case the
value of the collateral will always be at least 100% of the repurchase price,
================================================================================
<PAGE>
GNA VARIABLE SERIES TRUST
36-----------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED), CONTINUED
including accrued interest. A Portfolio will not enter into a repurchase
agreement having more than seven days remaining to maturity if, as a result,
such agreements, together with any other securities which are not readily mar-
ketable, would exceed 10% of the net assets of the Portfolio. In addition, not
more than one-third of the current market value of the Portfolio's total as-
sets shall constitute secured "loans" by the Portfolio under repurchase agree-
ments.
Federal Income Taxes. As a Delaware Business Trust, each Portfolio is a sep-
arate corporate taxpayer and determines its net investment income and capital
gains (or losses) and the amounts to be distributed to the Portfolio's share-
holders without regard to the income and capital gains (or losses) of the
other Portfolios. It is the intent of the Portfolios to comply with the re-
quirements of the Internal Revenue Code which are applicable to regulated in-
vestment companies and to distribute substantially all of their taxable income
and realized gains to their shareholders. Accordingly, the Portfolios paid no
federal income taxes and no federal income tax provisions were required. For
Federal income tax purposes, any futures contracts or options on futures con-
tracts which remain open at fiscal year-end are marked-to-market and the re-
sultant net gain or loss is included in Federal taxable income.
Distribution of Income and Gains. Net investment income for the GNA Growth
Portfolio is declared and paid annually. Net investment income for the GNA
Value Portfolio is declared and paid quarterly. Net investment income for the
GNA Government and GNA Adjustable Rate Portfolios are declared as dividends to
shareholders of record as of the close of business each day and are paid to
shareholders monthly. During any particular year, net realized gains from in-
vestment transactions in excess of any available capital loss carryforwards,
would be taxable to the Portfolios if not distributed and, therefore, will be
declared and paid to their shareholders annually.
Capital Accounts. The Portfolios report the undistributed net investment in-
come (accumulated net investment loss) and accumulated net realized gain
(loss) accounts on a basis approximating amounts available for future tax dis-
tributions (or to offset future taxable realized gains when a capital loss
carryforward is available). Accordingly, the Portfolios may periodically make
reclassifications among certain capital accounts without impacting the net as-
set value of the Portfolios.
Prepaid Expenses. Costs incurred for registration of shares are amortized on
a straight-line basis over the lesser of, the duration of the registration pe-
riod or 12 months.
Deferred Organizational Costs. Costs incurred by the Trust in connection
with its organization and of the Portfolios have been deferred ratably and are
being amortized over a 60 month period on a straight-line basis beginning at
the commencement of operations of the Portfolios.
================================================================================
<PAGE>
GNA VARIABLE SERIES TRUST
- ------------------------------------------------------------------------------37
NOTES TO FINANCIAL STATEMENTS (UNAUDITED), CONTINUED
Expenses. Expenses such as management fees, custodian fees, transfer agent
fees, and registration fees are charged directly to the Portfolios, while in-
direct expenses, such as audit fees, legal fees, trustee fees and expenses,
and insurance are allocated among the Portfolios principally based on their
relative net assets.
3.PURCHASES AND SALES OF SECURITIES. The cost of purchases and the proceeds
from sales and paydowns of investments other than U.S. Government and agency
securities, short term investments and options, for the six month period ended
June 30, 1996, were as follows:
<TABLE>
<CAPTION>
PORTFOLIO PURCHASES SALES PAYDOWNS
--------- ---------- ---------- --------
<S> <C> <C> <C>
GNA Growth Portfolio $6,306,285 $2,233,542 $ --
GNA Value Portfolio 6,371,043 2,809,483 --
GNA Adjustable Rate Portfolio 889,996 -- 116,488
</TABLE>
The cost of purchases and the proceeds from sales and paydowns of long-term
U.S. Government and agency securities, for the six month period ended June 30,
1996, were as follows:
<TABLE>
<CAPTION>
PORTFOLIO PURCHASES SALES PAYDOWNS
--------- ---------- ---------- --------
<S> <C> <C> <C>
GNA Value Portfolio $ 33,050 $ 99,564 $ --
GNA Government Portfolio 1,322,477 124,890 408,090
GNA Adjustable Rate Portfolio 2,370,010 2,168,300 533,888
</TABLE>
At June 30, 1996, the security pledged to cover margin requirements for open
futures contracts on United States Treasury notes and for open option con-
tracts on United States Treasury bond futures for the GNA Government Portfolio
was as follows:
<TABLE>
<CAPTION>
FACE MARKET
DESCRIPTION VALUE VALUE
----------- -------- -------
<S> <C> <C>
Federal Home Loan Bank Bonds, 5.720%, 11/22/00 $100,000 $96,469
======== =======
</TABLE>
Transactions in options written on United States Treasury bond futures for
the GNA Government Portfolio were as follows:
<TABLE>
<CAPTION>
FACE VALUE NET
COVERED BY PREMIUMS
WRITTEN OPTIONS PAID
--------------- --------
<S> <C> <C>
Outstanding at December 31, 1995...................... $ -- $ --
Written............................................... 15,000 15,000
Closed and Expired.................................... (15,000) (15,000)
Exercised............................................. -- --
-------- --------
Outstanding at June 30,1996........................... $ -- $ --
======== ========
</TABLE>
================================================================================
<PAGE>
GNA VARIABLE SERIES TRUST
38------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED), CONTINUED
Aggregate gross unrealized appreciation/depreciation of investments for each
Portfolio at June 30, 1996 was as follows:
<TABLE>
<CAPTION>
GROSS GROSS NET
UNREALIZED UNREALIZED UNREALIZED
PORTFOLIO APPRECIATION (DEPRECIATION) APPRECIATION
--------- ------------ -------------- ------------
<S> <C> <C> <C>
GNA Growth Portfolio $1,840,110 $172,740 $1,667,370
GNA Value Portfolio 659,551 50,946 608,605
GNA Government Portfolio 129,197 93,967 35,230
GNA Adjustable Rate Portfolio 176,512 25,454 151,058
</TABLE>
The aggregate cost of each Portfolio's investments was substantially the same
for book and federal income tax purposes at June 30, 1996.
4.MANAGEMENT, DISTRIBUTION AND TRUSTEES' FEES. Under Advisory agreements be-
tween the Portfolios and GNA Capital Management, Inc. ("the Adviser"), each
Portfolio agrees to pay the Adviser a fee based on its average daily net assets
as follows:
GNA Growth Portfolio. The Adviser's fee is calculated based upon the Portfo-
lio's average daily net assets, equal to an annual rate of .80% of the first
$100 million and .70% of average daily net assets in excess of $100 million.
GNA Value Portfolio. The Adviser's fee is calculated at an annual rate of
0.80% of the average daily net assets of the Portfolio if the average daily net
assets of the Portfolio and the Investors Trust Value Fund, a series of another
affiliated registered investment company, ("Combined Average Daily Net Assets")
equals to $100 million or less, and 0.70% of the Portfolio's average daily net
assets if the Combined Average Daily Net Assets exceeds $100 million. For the
six months ended June 30, 1996, the Adviser's fee was equivalent to an annual
effective rate of 0.80%.
GNA Government Portfolio. The Adviser's fee is calculated at an annual rate
of 0.65% of the average daily net assets of the Portfolio if the average daily
net assets of the Portfolio and the Investors Trust Government Fund, a series
of another affiliated registered investment company, ("Combined Average Daily
Net Assets") equals to $500 million or less, 0.60% of the Portfolio's average
daily net assets if the Combined Average Daily Net Assets is greater than $500
million and is equal to or less than $750 million, 0.55% of the Portfolio's
average daily net assets if the Combined Average Daily Net Assets is greater
than $750 million and is equal to or less than $1.25 billion, 0.50% of the
Portfolio's average daily net assets if the Combined Average Daily Net Assets
is equal to or less than $1.5 billion and 0.45% of the Portfolio's average
daily net assets if the Combined Average Daily Net Assets exceed $1.5 billion.
For the six months ended June 30, 1996, the Adviser's fee was equivalent to an
annual effective rate of 0.55%.
================================================================================
<PAGE>
GNA VARIABLE SERIES TRUST
- ------------------------------------------------------------------------------39
NOTES TO FINANCIAL STATEMENTS (UNAUDITED), CONTINUED
GNA Adjustable Rate Portfolio. The Adviser's fee is calculated at an annual
rate of .40% of the Portfolio's average daily net assets.
The Adviser has agreed to reimburse the Portfolios, for expenses incurred by
the Portfolios to the extent that such expenses exceed the following percent-
ages of each Portfolio's average daily net assets during the six month period
ended June 30, 1996:
<TABLE>
<CAPTION>
PORTFOLIO PERCENTAGES
--------- -----------
<S> <C>
GNA Growth Portfolio 1.10%
GNA Value Portfolio 1.10%
GNA Government Portfolio 0.90%
GNA Adjustable Rate Portfolio 0.70%
</TABLE>
The expense reimbursement may be extended or modified by the Adviser. The
reimbursement for expenses by the Adviser is being offset by the payables to
the Adviser monthly. Any amount due from the Adviser in excess of the amounts
due to the Adviser is settled in cash within 15 days following month end.
The Portfolios' Advisory agreements also provide that if, in any fiscal
year, the total of certain specified expenses of any of the Portfolios exceed
the expense limitations applicable to the Portfolios imposed by the securities
regulations of any state in which they are then registered to sell shares, the
Adviser will waive all or a portion of its management fee equal to such ex-
cess. The Adviser is only required to reimburse the Portfolios for any ex-
penses which exceed state expense limitations up to the amount of management
fees paid or payable by the Portfolios during such fiscal year.
The Adviser has retained the following portfolio managers ("Sub-Advisers")
for the Portfolios. These Sub-Advisers are responsible for the actual invest-
ment management of the Portfolio's assets (including the placement of broker-
age orders), under the general supervision of the Adviser and the Board of
Trustees.
<TABLE>
<CAPTION>
PORTFOLIO SUB-ADVISERS
--------- ------------
<S> <C>
GNA Growth Portfolio Value Line, Inc.
GNA Value Portfolio Duff & Phelps Investment Management, Inc.
GNA Adjustable Rate Portfolio Standish, Ayer & Wood, Inc.
</TABLE>
The Adviser has not retained a Sub-Adviser for the GNA Government Portfolio.
The Trust pays each Trustee not affiliated with the Adviser its proportion-
ate share of a fee of: (1) an annual fee of $2,000; and (2) a fee of $250 for
each meeting of the Board of Trustees attended plus all reasonable expenses
associated with attendance at such meetings. The proportionate rate is allo-
cated among the portfolios principally based on their relative net assets. No
remuneration is paid by the Trust to any Trustee or officer of the Portfolio
who is affiliated with the Adviser.
================================================================================
<PAGE>
40------------------------------------------------------------------------------
VARIABLE INVESTMENT TRUST
GE INVESTMENT MANAGEMENT INCORPORATED, ADVISER
FINANCIAL MARKET REVIEW BY GE INVESTMENT MANAGEMENT, INC.
The U.S. equity market continued to forge ahead during 1996 supported by un-
precedented cash flows into stock funds. In the first half of 1996 individuals
invested nearly as much as they did during all of 1995, a record $128 billion.
Mixed signals about inflation and the overall strength of the economy contin-
ued to drive short term volatility in the market. Nevertheless, U.S. stocks
generated a total return of 10.3% year-to-date as measured by the S&P 500.
International equity market returns continued to lag behind the U.S. market
as they have since 1994. The MSCI EAFE Index was up 4.5% year-to-date, hurt
most by weakness in the Japanese Yen which fell about 6.0%. We continue to
find European market valuations attractive relative to other global markets,
driven primarily by corporate restructuring and an increase in merger and ac-
quisition activity by multi-nationals.
The U.S. fixed income market turned in a lackluster performance during the
first half of 1996, hampered by anxiety over mixed economic indicators. Re-
ported employment gains have been particularly strong suggesting economic
strength. Many market watchers are anticipating the next Federal Reserve ac-
tion to be a tightening of monetary policy as evidenced by the 1% increase in
U.S. Treasury yields since December. The Lehman Brothers Taxable Bond index
generated a six month return of -1.2%, giving back a small portion of 1995's
strong performance.
Domestic equity market valuations continue to loom at high levels. When
combined with mixed news about the strength of the economy and the dynamics of
a presidential election, we expect market volatility to continue throughout
the year. We remain confident, however, that the long term prospects for the
financial markets are good based on strong underlying fundamentals such as
plenty of liquidity, controlled inflation and low interest rates.
================================================================================
<PAGE>
VARIABLE INVESTMENT TRUST
- ------------------------------------------------------------------------------41
GE U. S. EQUITY PORTFOLIO
[GRAPH APPEARS HERE]
Performance of a $10,000 investment since inception of the GE U.S. Equity
Portfolio -- (1/3/95)
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
GE U.S. Equity Portfolio S&P 500 Stock Index
------------------------ -------------------
<S> <C> <C>
1/3/95 10000 10000
1/95 10180 10261
2/95 10620 10659
3/95 10940 10974
4/95 11260 11297
5/95 11693 11749
6/95 11973 12025
7/95 12387 12426
8/95 12433 12460
9/95 12873 12983
10/95 12760 12937
11/95 13340 13506
12/95 13558 13758
1/96 14022 14232
2/96 14198 14389
3/96 14353 14507
4/96 14501 14720
5/96 14789 15100
6/96 14888 15161
</TABLE>
GE U.S. Equity Portfolio (ending value: $14,888)
S & P 500 Stock Index (ending value: $15,161)
GE INTERNATIONAL EQUITY PORTFOLIO
[GRAPH APPEARS HERE]
Performance of a $10,000 investment since inception of the GE International
Equity Portfolio -- (1/3/95)
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------
GE International Equity Portfolio Morgan Stanley Europe, Australia and Far East Index
--------------------------------- ---------------------------------------------------
<S> <C> <C>
1/3/95 10000 10000
1/95 9673 9616
2/95 9893 9589
3/95 10280 10186
4/95 10727 10569
5/95 10813 10444
6/95 11027 10260
7/95 11660 10899
8/95 11227 10484
9/95 11413 10688
10/95 11320 10401
11/95 11460 10690
12/95 11774 11121
1/96 11869 11166
2/96 12073 11204
3/96 12405 11442
4/96 12778 11775
5/96 12974 11558
6/96 13056 11623
</TABLE>
GE International Equity Portfolio (ending value: $13,056)
Morgan Stanley Europe, Australia and Far East Index (ending value: $11,623)
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. SEE NOTES TO PERFORMANCE
(PAGE 43).
================================================================================
<PAGE>
VARIABLE INVESTMENT TRUST
42------------------------------------------------------------------------------
GE FIXED INCOME PORTFOLIO
[GRAPH APPEARS HERE]
Performance of a $10,000 investment since inception of the GE Fixed Income
Portfolio -- (1/3/95)
<TABLE>
<CAPTION>
GE Fixed Income Portfolio Lehman Brothers Aggregate Bond Index
------------------------- ------------------------------------
<S> <C> <C> <C>
1/3/95 10,000 10,000
1/95 10,188 10,198
2/95 10,375 10,441
3/95 10,453 10,504
4/95 10,580 10,651
5/95 10,939 11,064
6/95 11,016 11,144
7/95 10,989 11,120
8/95 11,109 11,254
9/95 11,210 11,364
10/95 11,348 11,511
11/95 11,521 11,684
12/95 11,683 11,848
1/96 11,752 11,926
2/96 11,537 11,718
3/96 11,445 11,636
4/96 11,361 11,571
5/96 11,335 11,548
6/96 11,463 11,703
</TABLE>
GE Fixed Income Portfolio (ending value: $11,463)
Lehman Brothers Aggregate Bond Index (ending value: $11,703)
GE MONEY MARKET PORTFOLIO
[GRAPH APPEARS HERE]
Performance of a $10,000 investment since inception of the GE Money Market
Portfolio -- (1/3/95)
<TABLE>
<CAPTION>
GE Money Market Portfolio U.S. 90-Day Treasury Bill
------------------------- -------------------------
<S> <C> <C> <C>
1/3/95 10,000 10,000
1/95 10,040 10,048
2/95 10,084 10,096
3/95 10,132 10,145
4/95 10,179 10,192
5/95 10,228 10,240
6/95 10,275 10,287
7/95 10,322 10,334
8/95 10,369 10,380
9/95 10,414 10,426
10/95 10,461 10,472
11/95 10,506 10,519
12/95 10,572 10,564
1/96 10,617 10,608
2/96 10,658 10,651
3/96 10,701 10,696
4/96 10,743 10,739
5/96 10,787 10,785
6/96 10,829 10,831
</TABLE>
GE Money Market Portfolio (ending value: $10,829)
U.S. 90-Day Treasury Bill (ending value: $10,831)
An investment in the GE Money Market Portfolio is neither insured nor guaran-
teed by the U.S. Government, and no assurance can be given that the GE Money
Market Portfolio will be able to maintain a stable net asset value of $1.00 per
share.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. SEE NOTES TO PERFORMANCE
(PAGE 43).
================================================================================
<PAGE>
VARIABLE INVESTMENT TRUST
- ------------------------------------------------------------------------------43
NOTES TO PERFORMANCE (UNAUDITED)
Total returns assume changes in share price and reinvestment of dividends and
capital gains. Investment returns and principal value on an investment will
fluctuate and you may have a loss or gain when you sell your shares.
GEIM has voluntarily agreed to waive and/or bear certain fees and Portfolio
expenses. Without these provisions, the returns would have been lower. These
provisions may be terminated in the future.
The Standard & Poor's Composite Index of 500 Stocks (S&P 500), MSCI Europe
Australia Far East Index (MSCI EAFE), Lehman Brothers Aggregate Bond Index (LB
Aggregate) and the 90 Day U.S. Treasury Index (90 Day T-Bill) are unmanaged
indices and do not reflect the actual cost of investing in the instruments
that comprise each index. The S&P 500 Index is a composite of the prices of
500 widely held U.S. stocks recognized by investors to be representative of
the stock market in general. The MSCI EAFE is a composite of 1,112 stocks of
companies in 20 countries located in Europe, Australia, New Zealand and the
Far East. The Lehman Brothers Aggregate Bond Index is a composite index of
short-, medium-, and long-term bond performance and is widely recognized as a
barometer of the bond market in general. The 90-Day U.S. Treasury Bill is the
average return on three month U.S. Treasury Bills. The results shown for the
foregoing indices assume reinvestment of net dividends or interest. Broad mar-
ket index returns are calculated from the nearest month end to the Portfolios'
inception date. The majority of the broad market returns are not available
from the Portfolios' commencement of investment operations through June 30,
1996.
The views expressed in this report reflect those of the Adviser through June
30, 1996, the end of the period of this report. The Adviser's views are sub-
ject to change at any time based on market and other conditions.
VARIABLE INVESTMENT TRUST
GE INVESTMENT MANAGEMENT INCORPORATED, ADVISER
Transfer Agent: State Street Bank and Trust Company
Custodian: State Street Bank and Trust Company
Independent Accountants: Price Waterhouse LLP
Legal Counsel: Willkie Farr & Gallagher
================================================================================
<PAGE>
VARIABLE INVESTMENT TRUST - GE U.S. EQUITY PORTFOLIO
44------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
---------- -----------
<S> <C> <C>
COMMON STOCK - 85.6%
AEROSPACE - 2.3%
Boeing Co............................................ 387 $ 33,717
General Dynamics Corp................................ 255 15,810
General Motors Corp. (Class H)....................... 232 13,949
Lockheed Martin Corp................................. 1,112 93,408
McDonnell Douglas Corp............................... 1,285 62,323
Raytheon Co.......................................... 452 23,335
Rockwell International Corp. ........................ 301 17,232
United Technologies Corp............................. 844 97,060
-----------
356,834
-----------
AUTOMOTIVE - 1.8%
Eaton Corp........................................... 266 15,594
Ford Motor Co........................................ 3,433 111,144
General Motors Corp. ................................ 1,822 95,427
Goodyear Tire & Rubber Co. .......................... 1,089 52,544
-----------
274,709
-----------
BANKS & FINANCIAL SERVICES - 9.0%
American Express Co.................................. 2,077 92,686
Bank of New York Inc................................. 556 28,495
BankAmerica Corp. ................................... 463 35,072
BayBanks Inc. ....................................... 276 29,739
BCP International Ltd................................ 231 11,492
Beneficial Corp...................................... 992 55,676
Boatmen's Bancshares Inc. ........................... 718 28,810
Chase Manhattan Corporation (new).................... 353 24,931
Citicorp............................................. 1,792 148,064
Countrywide Credit Industries........................ 625 15,469
Dean Witter Discover & Co. .......................... 1,158 66,295
Dime Bancorp Inc. (new).............................. 498 6,474(a)
Edwards A G Inc...................................... 354 9,602
Federal National Mortgage Assoc. .................... 6,312 211,452
First Chicago Corp. ................................. 241 9,429
Loews Corp. ......................................... 1,178 92,915
Mellon Bank Corp..................................... 636 36,252
Merrill Lynch & Co. Inc. ............................ 565 21,789
Morgan (J.P.) & Co. Inc. ............................ 918 77,686
Morgan Stanley Group Inc. ........................... 162 7,958
Nationsbank Corp..................................... 267 22,061
</TABLE>
================================================================================
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
VARIABLE INVESTMENT TRUST - GE U.S. EQUITY PORTFOLIO
- ------------------------------------------------------------------------------45
SCHEDULE OF INVESTMENTS
JUNE 30, 1996 (UNAUDITED), CONTINUED
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
---------- -----------
<S> <C> <C>
Standard Federal Bancorporation...................... 301 $ 11,588
State Street Boston Corp. ........................... 463 23,613
T. Rowe Price & Associates........................... 301 9,256
Travelers Group Inc. ................................ 3,895 177,709
United States Bancorp................................ 741 26,769
Wells Fargo & Co. ................................... 353 84,323
-----------
1,365,605
-----------
BROADCASTING, ENTERTAINMENT & MEDIA - 4.0%
Carmike Cinemas Inc.................................. 36 972(a)
Carnival Corp. (Class A)............................. 334 9,644
Catalina Marketing Corp. ............................ 75 6,863(a)
Circus Circus Enterprises Inc........................ 435 17,835(a)
Comcast Corp. (Class A).............................. 2,305 42,643
Disney (Walt) Co. ................................... 958 60,234
Donnelley (R.R.) & Sons Co........................... 1,418 49,453
Dun & Bradstreet Corp................................ 614 38,375
Gannett Inc. ........................................ 1,138 80,513
International Cabletel Inc. ......................... 1,513 44,633(a)
Interpublic Group Cos. Inc........................... 663 31,078
ITT Corp. (new)...................................... 73 4,836(a)
Knight Ridder Inc. .................................. 88 6,380
Metromedia International Group Inc................... 162 1,782(a)
Readers Digest Association Inc. (Class A)............ 75 3,188
Reuters Holdings PLC ADR (Class B)................... 1,248 90,480
Tele-Communications Inc.............................. 1,208 32,012(a)
Tele-Communications Inc. (Class A)................... 1,633 29,598
Time Warner Inc. .................................... 947 37,170
Viacom Inc. (Class B)................................ 440 17,105(a)
-----------
604,794
-----------
BUILDING MATERIALS & CONSTRUCTION - 0.4%
Armstrong World Industries Inc. ..................... 544 31,348
Masco Corp. ......................................... 463 14,006
Sherwin Williams Co. ................................ 209 9,718
-----------
55,072
-----------
CHEMICAL - 2.5%
Air Products & Chemicals Inc. ....................... 954 55,093
Airgas Inc. ......................................... 387 7,353(a)
Crompton & Knowles Corp. ............................ 232 3,886
</TABLE>
================================================================================
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
VARIABLE INVESTMENT TRUST - GE U.S. EQUITY PORTFOLIO
46------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
JUNE 30, 1996 (UNAUDITED), CONTINUED
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
---------- -----------
<S> <C> <C>
Du Pont de Nemours (E.I.)............................ 2,083 $ 164,817
Eastman Chemical Co. ................................ 268 16,314
FMC Corp............................................. 139 9,070(a)
Grace (WR) & Co...................................... 160 11,340
IMC Global Inc....................................... 492 18,511
Lubrizol Corp. ...................................... 567 17,223
Morton International Inc. ........................... 1,348 50,213
Olin Corp. .......................................... 99 8,836
PPG Industries Inc................................... 86 4,193
Witco Corp........................................... 347 11,928
-----------
378,777
-----------
CONSUMER RELATED - 9.2%
ADT Ltd. ............................................ 671 12,665(a)
American Greetings Corp. (Class A)................... 502 13,742
Anheuser Busch Cos. Inc. ............................ 1,724 129,300
Archer-Daniels Midland Co. .......................... 1,077 20,598
Coca Cola Co......................................... 86 4,203
Colgate Palmolive Co................................. 915 77,546
Conagra Inc.......................................... 634 28,768
CPC International Inc................................ 602 43,344
Dole Food Inc. ...................................... 383 16,469
Duracell International Inc. ......................... 162 6,986
Eastman Kodak Co..................................... 1,777 138,162
General Mills Inc.................................... 556 30,302
Harman International Industries Inc.................. 88 4,334
Kellogg Co. ......................................... 313 22,927
Loewen Group Inc..................................... 96 2,904
McDonalds Corp. ..................................... 1,620 75,735
Nestle S.A. ......................................... 31 35,434
Nine West Group Inc. ................................ 43 2,198(a)
Pepsico Inc.......................................... 8,177 289,261
Philip Morris Cos. Inc. ............................. 2,075 215,800
Procter & Gamble Co.................................. 1,747 158,322
Quilmes Industrial S.A. ADR.......................... 162 1,661(a)
Ralston Purina Co.................................... 232 14,877
Rubbermaid Inc. ..................................... 184 5,014
Sara Lee Corp........................................ 459 14,860
Scholastic Corp...................................... 130 8,060(a)
Stanhome Inc. ....................................... 323 8,560
</TABLE>
================================================================================
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
VARIABLE INVESTMENT TRUST - GE U.S. EQUITY PORTFOLIO
- ------------------------------------------------------------------------------47
SCHEDULE OF INVESTMENTS
JUNE 30, 1996 (UNAUDITED), CONTINUED
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
---------- -----------
<S> <C> <C>
Sysco Corp. ......................................... 485 $ 16,611
Tambrands Inc........................................ 168 6,867
-----------
1,405,510
-----------
DIVERSIFIED MANUFACTURING - 3.8%
Allied Signal Inc. .................................. 3,319 189,598
Dover Corp........................................... 1,486 68,542
Hanson PLC ADR....................................... 1,981 28,229
ITT Industries Inc................................... 345 8,668
Minnesota Mining & Manufacturing..................... 903 62,307
National Service Industries Inc. .................... 405 15,846
Stewart & Stevenson Services Inc..................... 366 8,326
Tecumseh Products Co. (Class A)...................... 175 9,406
Tenneco Inc. ........................................ 683 34,918
Textron Inc. ........................................ 1,466 117,097
Timken Co. .......................................... 463 17,941
Trinova Corp......................................... 127 4,239
Tyco International Ltd. ............................. 176 7,172
Ucar International Inc............................... 248 10,323(a)
-----------
582,612
-----------
DRUGS, HEALTHCARE & COSMETICS - 10.2%
Abbott Laboratories.................................. 2,940 127,890
Allergan Inc......................................... 1,867 73,280
American Home Products Corp. ........................ 2,802 168,470
American Medical Response............................ 191 6,733(a)
Arbor Drugs Inc...................................... 664 13,861
Arrow International Inc. ............................ 482 13,014
Avon Products Inc.................................... 668 30,144
Baxter International Inc. ........................... 977 46,163
Bristol-Myers Squibb Co.............................. 1,940 174,600
Cardinal Health Inc. ................................ 162 11,684
Dentsply International Inc........................... 132 5,610
Eli Lilly & Co. ..................................... 1,427 92,755
FHP International Corp. ............................. 1,009 27,621(a)
Gillette Co.......................................... 126 7,859
International Flavours............................... 283 13,478
Johnson & Johnson.................................... 3,386 167,607
Lincare Holdings Inc. ............................... 139 5,456(a)
Living Centers of America Inc. ...................... 213 7,322(a)
Merck & Co. Inc...................................... 2,778 179,528
</TABLE>
================================================================================
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
VARIABLE INVESTMENT TRUST - GE U.S. EQUITY PORTFOLIO
48------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
JUNE 30, 1996 (UNAUDITED), CONTINUED
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
---------- -----------
<S> <C> <C>
Pfizer Inc. ......................................... 1,809 $ 129,117
Pharmacia & Upjohn Inc. ............................. 1,147 50,898
Scherer R P Corp. Delaware........................... 109 4,946(a)
Schering Plough Corp. ............................... 1,350 84,713
Smithkline Beecham PLC ADR........................... 2,076 112,882
-----------
1,555,631
-----------
ELECTRICAL & ELECTRONICS - 6.6%
ABB AG............................................... 37 45,813
AMP Inc. ............................................ 1,533 61,512
Applied Materials Inc. .............................. 946 28,853(a)
EG & G Inc. ......................................... 1,008 21,546
Emerson Electric Co.................................. 2,085 188,432
General Signal Corp.................................. 788 29,846
Hewlett Packard Co. ................................. 1,751 174,443
Hubbell Inc. (Class B)............................... 1,768 117,130
Intel Corp........................................... 2,047 150,327
Molex Inc. (Class A)................................. 336 9,870
Motorola Inc. ....................................... 855 53,758
Nokia Corp. ADR...................................... 107 3,959
Northern Telecom Ltd. ............................... 385 20,934
Perkin Elmer Corp. .................................. 334 16,116
Philips Electronics N.V. ............................ 602 19,640
Sensormatic Electronics Corp......................... 43 704
Varian Associates Inc................................ 1,171 60,599
-----------
1,003,482
-----------
ELECTRIC UTILITIES - 2.6%
CMS Energy Corp...................................... 443 13,678
Dominion Resources Inc. ............................. 788 31,520
Duke Power Co. ...................................... 568 29,110
Florida Progress Corp. .............................. 467 16,228
FPL Group Inc. ...................................... 1,007 46,322
Illinova Corp........................................ 162 4,658
Niagara Mohawk Power Corp............................ 464 3,596
NIPSCO Industries Inc................................ 278 11,190
Pacificorp........................................... 2,270 50,507
Pinnacle West Capital Corp. ......................... 942 28,613
Portland General Corp. .............................. 375 11,578
Public Service Co. Colorado.......................... 510 18,742
Public Service Co. New Mexico........................ 814 16,687
</TABLE>
================================================================================
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
VARIABLE INVESTMENT TRUST - GE U.S. EQUITY PORTFOLIO
- ------------------------------------------------------------------------------49
SCHEDULE OF INVESTMENTS
JUNE 30, 1996 (UNAUDITED), CONTINUED
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
---------- -----------
<S> <C> <C>
Southern Co.......................................... 2,502 $ 61,612
Unicom Corp.......................................... 2,050 57,144
-----------
401,185
-----------
ENERGY & ENERGY RELATED - 9.3%
Amerada Hess Corp. .................................. 102 5,470
Amoco Corp. ......................................... 1,823 131,940
Anadarko Petroleum Co. .............................. 542 31,436
Atlantic Richfield Co. .............................. 134 15,879
Baker Hughes Inc. ................................... 1,191 39,154
British Petroleum PLC ADR............................ 208 22,230
Burlington Resources Inc. ........................... 1,657 71,251
Columbia Gas Systems Inc. ........................... 107 5,577
Diamond Offshore Drilling Inc. ...................... 150 8,588(a)
Dresser Industries Inc............................... 451 13,305
Eastern Enterprises.................................. 486 16,159
Enron Corp. ......................................... 66 2,698
Enserch Corp. ....................................... 920 20,010
Exxon Corp. ......................................... 2,807 243,858
Louisiana Land & Exploration Co. .................... 151 8,701
Mobil Corp........................................... 827 92,727
Nabors Industries Inc. .............................. 994 16,153(a)
Occidental Petroleum Corp. .......................... 796 19,701
Petroleum Geo Services ADR........................... 71 2,015(a)
Phillips Petroleum Co. .............................. 512 21,440
Royal Dutch Petroleum Co. ........................... 1,277 196,339
Santa Fe Energy Resources Inc. ...................... 569 6,757(a)
Schlumberger Ltd. ................................... 1,897 159,822
Sonat Inc. .......................................... 736 33,120
Texaco Inc. ......................................... 1,500 125,812
Tosco Corp. ......................................... 290 14,573
Total S.A. ADR....................................... 602 22,349
Unocal Corp.......................................... 1,655 55,856
USX Marathon Group................................... 804 16,180
-----------
1,419,100
-----------
FOREST PRODUCTS, PAPER & PACKAGING - 1.6%
Avery Dennison Corp.................................. 185 10,152
Crown Cork & Seal Inc................................ 208 9,360
International Paper Co. ............................. 252 9,293
Kimberly Clark Corp. ................................ 1,219 94,168
</TABLE>
================================================================================
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
VARIABLE INVESTMENT TRUST - GE U.S. EQUITY PORTFOLIO
50------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
JUNE 30, 1996 (UNAUDITED), CONTINUED
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
---------- -----------
<S> <C> <C>
Mead Corp. .......................................... 935 $ 48,503
Owens Illinois Inc. ................................. 636 10,176(a)
Weyerhaeuser Co...................................... 1,425 60,562
-----------
242,214
-----------
INDUSTRIAL PRODUCTS & SERVICES - 0.9%
Browning-Ferris Industries Inc. ..................... 787 22,823
Corning Inc. ........................................ 469 17,998
Ecolab Inc. ......................................... 188 6,204
Flightsafety International Inc....................... 204 11,067
Rollins Inc. ........................................ 102 2,397
Waste Management International PLC ADR............... 264 2,937(a)
Wheelabrator Technologies Inc........................ 486 7,412
WMX Technologies Inc. ............................... 2,115 69,266
-----------
140,104
-----------
INSURANCE - 4.4%
American International Group Inc. ................... 1,758 173,383
Chubb Corp. ......................................... 309 15,411
CMAC Investment Corp. ............................... 234 13,455
CNA Financial Corp................................... 54 5,562(a)
General Reinsurance Corp............................. 475 72,319
ITT Hartford Group Inc. ............................. 599 31,897
Jefferson Pilot Corp. ............................... 32 2,608
Lincoln National Corp. .............................. 1,017 47,036
Marsh & McLennan Cos................................. 602 58,093
Provident Cos. Inc................................... 359 13,283
Providian Corp....................................... 1,140 48,877
Reliastar Financial Corp............................. 358 15,439
St. Paul Cos. Inc. .................................. 1,032 55,212
TIG Holdings Inc..................................... 2,746 79,634
Transamerica Corp.................................... 263 21,303
UNUM Corp. .......................................... 330 20,543
-----------
674,055
-----------
MACHINERY & MACHINE TOOLS - 0.9%
Caterpillar Inc. .................................... 85 5,759
Cooper Industries Inc................................ 370 15,355
Deere & Co........................................... 2,323 92,920
Ingersoll Rand Co. .................................. 579 25,331
-----------
139,365
-----------
</TABLE>
================================================================================
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
VARIABLE INVESTMENT TRUST - GE U.S. EQUITY PORTFOLIO
- ------------------------------------------------------------------------------51
SCHEDULE OF INVESTMENTS
JUNE 30, 1996 (UNAUDITED), CONTINUED
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
---------- -----------
<S> <C> <C>
MERCHANDISING - 4.0%
Albertsons Inc....................................... 139 $ 5,751
American Stores Co................................... 1,247 51,439
Charming Shoppes Inc................................. 1,268 8,955
Circuit City Stores Inc.............................. 555 20,049
CUC International Inc................................ 41 1,456(a)
Dayton Hudson Corp................................... 185 19,078
Eckerd Jack Corp..................................... 289 6,539(a)
Federated Department Stores Inc...................... 1,650 56,306(a)
General Nutrition Cos. Inc........................... 53 928(a)
Home Depot Inc....................................... 1,158 62,532
May Department Stores Co. ........................... 255 11,156
Melville Corp........................................ 301 12,191
Penney J C Inc....................................... 266 13,965
Price Costco Inc. ................................... 1,171 25,323(a)
Sears Roebuck & Co................................... 2,418 117,575
Toys 'R Us........................................... 1,112 31,692(a)
Wal Mart Stores Inc.................................. 6,364 161,486
-----------
606,421
-----------
METALS - 0.6%
Barrick Gold Corp.................................... 695 18,852
Freeport McMoran Copper & Gold (Class A)............. 857 25,603
Newmont Mining Corp.................................. 811 40,043
Santa Fe Pacific Gold Corp........................... 267 3,771
-----------
88,269
-----------
OFFICE EQUIPMENT & SUPPLIES - 4.1%
3Com Corp............................................ 243 11,117(a)
Amdahl Corp.......................................... 450 4,838(a)
Automatic Data Processing Inc........................ 1,702 65,740
Cisco Systems Inc. .................................. 649 36,750
Compaq Computer Corp................................. 232 11,426(a)
Computer Associates International Inc................ 905 64,481
Equifax Inc.......................................... 3,439 90,274
First Data Corp...................................... 1,138 90,613
International Business Machines...................... 2,199 217,701
Microsoft Corp....................................... 102 12,253(a)
Pitney Bowes Inc..................................... 262 12,510
</TABLE>
================================================================================
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
VARIABLE INVESTMENT TRUST - GE U.S. EQUITY PORTFOLIO
52------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
JUNE 30, 1996 (UNAUDITED), CONTINUED
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
---------- -----------
<S> <C> <C>
Wallace Computer Series Inc. ........................ 98 $ 5,855
Xerox Corp........................................... 96 5,136
-----------
628,694
-----------
REAL ESTATE - 0.1%
Camden Property Trust................................ 185 4,394
Debartolo Realty Corp................................ 463 7,466
Manufactured Home Communities Inc. .................. 20 385
Oasis Residential Inc................................ 156 3,412
-----------
15,657
-----------
TELEPHONE & UTILITIES - 5.2%
Airtouch Communications.............................. 2,420 68,365(a)
American Telephone & Telegraph....................... 4,291 266,042
Bellsouth Corp. ..................................... 1,808 76,614
Cellular Communications Inc. ........................ 456 24,225(a)
Frontier Corp. ...................................... 255 7,809
GTE Corp............................................. 3,840 171,840
MCI Communications Corp. ............................ 2,124 54,428
NYNEX Corp. ......................................... 894 42,465
SBC Communications Inc............................... 1,103 54,323
U.S. West Inc. ...................................... 719 22,918
-----------
789,029
-----------
TRANSPORTATION - 2.1%
America West Airlines Inc. (Class B)................. 208 4,576(a)
AMR Corp. ........................................... 502 45,682(a)
Burlington Northern Santa Fe......................... 793 64,134
Canadian Pacific Ltd. ............................... 1,884 41,448
Continental Airlines Inc. (Class B).................. 74 4,570(a)
CSX Corp. ........................................... 674 32,520
Delta Air Lines Inc.................................. 413 30,179
Pittston Brinks Group................................ 255 7,427
UAL Corp............................................. 232 12,470(a)
Union Pacific Corp. ................................. 1,096 76,583
-----------
319,589
-----------
TOTAL COMMON STOCK
(Cost $10,828,096)................................. 13,046,708
-----------
</TABLE>
================================================================================
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
VARIABLE INVESTMENT TRUST - GE U.S. EQUITY PORTFOLIO
- ------------------------------------------------------------------------------53
SCHEDULE OF INVESTMENTS
JUNE 30, 1996 (UNAUDITED), CONTINUED
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
---------- -----------
<S> <C> <C>
BONDS AND NOTES - 0.1%
Republic of Italy
5.00% 06/28/01
(Cost $10,119)..................................... $ 10,000 $ 10,044
-----------
CONVERTIBLE BONDS - 0.2%
ADT Operations Inc.
5.86% 07/06/10..................................... 13,000 7,312(d)
Continental Airlines Inc.
6.75% 04/15/06..................................... 10,000 11,850(b)
Federated Department Stores Inc.
5.00% 10/01/03..................................... 5,000 5,700
Valhi Inc.
7.91% 10/20/07..................................... 8,000 3,470(d)
-----------
TOTAL CONVERTIBLE BONDS
(Cost $25,315)..................................... 28,332
-----------
<CAPTION>
NUMBER
OF SHARES
----------
<S> <C> <C>
PREFERRED STOCK - 0.4%
Continental Airlines Finance Trust, 8.50%............ 208 15,184(b)
International Paper Capital Trust, 10.50%............ 217 9,521
Occidental Petroleum Corp., 7.75%.................... 444 26,640(b)
Santa Fe Energy Resources Inc. (Series A), 8.25%..... 284 6,212
St. Paul Capital LLC, 6.00%.......................... 28 1,470
Unocal Corp., 7.00%.................................. 86 4,795(b)
-----------
TOTAL PREFERRED STOCK
(Cost $57,428)..................................... 63,822
-----------
TOTAL INVESTMENTS IN SECURITIES
(Cost $10,920,958)................................. 13,148,906
-----------
</TABLE>
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
VARIABLE INVESTMENT TRUST - GE U.S. EQUITY PORTFOLIO
- ------------------------------------------------------------------------------54
SCHEDULE OF INVESTMENTS
JUNE 30, 1996 (UNAUDITED), CONTINUED
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
---------- -----------
<S> <C> <C>
SHORT TERM INVESTMENTS - 13.1%
U.S. GOVERNMENT AGENCIES AND TIME DEPOSITS - 13.1%
Federal Home Loan Bank
5.27% 07/08/96.................................... $1,000,000 $ 998,977(d)
Federal National Mortgage Assoc.
5.33% 07/30/96.................................... 300,000 298,719(d)
State Street Cayman Islands
5.438% 07/01/96................................... 700,000 700,000
-----------
TOTAL SHORT TERM INVESTMENTS
(Cost $1,997,696)................................. 1,997,696
Other Assets and Liabilities, net 0.6%............... 94,117
-----------
NET ASSETS - 100%.................................... $15,240,719
===========
</TABLE>
OTHER INFORMATION
- --------------------------------------------------------------------------------
The GE U.S. Equity Portfolio had the following long Futures Contracts open at
June 30, 1996:
<TABLE>
<CAPTION>
EXPIRATION NUMBER OF UNDERLYING UNREALIZED
DESCRIPTION DATE CONTRACTS FACE VALUE GAIN
- -----------------------------------------------------------
<S> <C> <C> <C> <C>
S&P 500 September 1996 5 $1,692,000 $48,300
</TABLE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
VARIABLE INVESTMENT TRUST - GE INTERNATIONAL EQUITY PORTFOLIO
- ------------------------------------------------------------------------------55
SCHEDULE OF INVESTMENTS
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
--------- ----------
<S> <C> <C>
COMMON STOCK - 97.4%
AUSTRALIA - 3.3%
Brambles Industries Ltd. .............................. 10,527 $ 146,261
Burns Philip & Co. .................................... 58,396 110,138
----------
256,399
----------
AUSTRIA - 4.3%
Bohler Uddeholm........................................ 1,441 111,732
Flughafen Wien AG...................................... 1,219 83,757
VA Technologie AG...................................... 1,124 137,763
----------
333,252
----------
CZECH REPUBLIC - 1.0%
Komercni Banka A.S..................................... 2,841 76,707(b)
----------
FINLAND - 3.2%
Konecranes International............................... 6,003 147,755
Valmet Corp............................................ 5,594 94,811
----------
242,566
----------
FRANCE - 11.8%
Alcatel Alsthom........................................ 911 79,524
Banque Nationale Paris................................. 3,318 116,565
Carrefour.............................................. 304 170,452
Carrefour (new)........................................ 304 84,044(a)
Coflexip ADR........................................... 6,158 106,995
Total S.A. (Class B)................................... 2,880 213,777
Valeo.................................................. 2,523 135,136
----------
906,493
----------
GERMANY - 12.8%
Deutsche Bank AG....................................... 2,162 102,377
Gehe AG................................................ 261 175,430
Sap AG................................................. 863 128,102
SGL Carbon............................................. 1,217 142,470
Siemens AG............................................. 3,990 213,342
Veba AG................................................ 4,278 227,532
----------
989,253
----------
HONG KONG - 2.0%
Hopewell Holdings...................................... 93,280 50,612
Hutchison Whampoa Ltd.................................. 16,900 106,323
----------
156,935
----------
</TABLE>
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
VARIABLE INVESTMENT TRUST - GE INTERNATIONAL EQUITY PORTFOLIO
56------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
JUNE 30, 1996 (UNAUDITED), CONTINUED
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
--------- ----------
<S> <C> <C>
ITALY - 5.3%
ENI Spa.............................................. 5,753 $ 28,723
Gucci Group N.V. ADR................................. 1,361 87,784
IMI.................................................. 12,253 102,425
Industrie Natuzzi Spa................................ 1,514 77,593
Telecom Italia Mobile................................ 51,052 114,190
----------
410,715
----------
JAPAN - 17.8%
Canon Inc. .......................................... 7,000 145,933
Credit Saison Co..................................... 4,700 113,885
DDI Corp............................................. 17 148,603
Ito Yokado Co. ...................................... 1,000 60,440
Murata Manufacturing Co.............................. 3,000 113,839
Nippondenso Co. ..................................... 5,000 108,810
Rohm Co. ............................................ 3,000 198,601
Secom Co............................................. 3,000 198,601
Suzuki Motor Corp.................................... 14,000 184,337
Tokyo Steel Manufacturing............................ 5,000 98,295
----------
1,371,344
----------
MALAYSIA - 2.3%
AMMB Holdings Berhad................................. 5,000 70,154
Telekom Malaysia..................................... 12,000 106,795
----------
176,949
----------
MEXICO - 1.4%
Grupo Carso S.A. de C.V. ADR......................... 7,714 107,996(a,b)
----------
NETHERLANDS - 7.0%
IHC Caland N.V. ..................................... 2,082 102,544
ING Groep N.V. ...................................... 4,245 126,690
Polygram............................................. 2,097 123,939
Wolters Kluwer....................................... 1,636 185,998
----------
539,171
----------
PHILIPPINES - 0.6%
Metro Bank & Trust Co................................ 1,500 42,080
----------
PORTUGAL - 1.1%
Banco Comercial Portugues ADR........................ 7,221 85,360
----------
SPAIN - 1.2%
Repsol S.A........................................... 2,753 95,814
----------
</TABLE>
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
VARIABLE INVESTMENT TRUST - GE INTERNATIONAL EQUITY PORTFOLIO
- ------------------------------------------------------------------------------57
SCHEDULE OF INVESTMENTS
JUNE 30, 1996 (UNAUDITED), CONTINUED
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
--------- ----------
<S> <C> <C>
SWEDEN - 4.4%
Astra AB................................................. 3,092 $ 136,849
Autoliv AB............................................... 3,776 115,218
Getinge.................................................. 4,728 89,273
----------
341,340
----------
SWITZERLAND - 9.5%
ABB AG................................................... 157 194,398
Nestle S.A............................................... 132 150,878
Roche Holdings AG........................................ 23 175,600
Sandoz AG................................................ 70 79,899
Schw Ruckversicher....................................... 125 128,480
----------
729,255
----------
THAILAND - 0.8%
Siam Cement.............................................. 1,200 58,901
----------
UNITED KINGDOM - 7.6%
Granada Group............................................ 5,508 73,694
Medeva................................................... 40,215 157,388
Reed International....................................... 8,384 140,167
Siebe.................................................... 5,394 76,650
Thorn EMI................................................ 4,830 134,571
----------
582,470
----------
TOTAL INVESTMENTS IN SECURITIES
(Cost $5,994,170)....................................... 7,503,000
----------
<CAPTION>
PRINCIPAL
AMOUNT
---------
<S> <C> <C>
SHORT TERM INVESTMENTS - 3.7%
TIME DEPOSIT - 3.7%
State Street Cayman Islands
5.438% 07/01/96
(Cost $280,000)........................................ $280,000 280,000
----------
Other Assets and Liabilities, net (1.1%).................. (81,121)
----------
NET ASSETS - 100%......................................... $7,701,879
==========
</TABLE>
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
VARIABLE INVESTMENT TRUST - GE FIXED INCOME PORTFOLIO
58------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
--------- ----------
<S> <C> <C>
BONDS AND NOTES - 97.6%
U.S. TREASURIES - 23.2%
U.S. Treasury Bonds
7.625% 02/15/25......................................... $218,000 $ 234,895
12.00% 08/15/13......................................... 35,000 49,339
----------
284,234
----------
U.S. Treasury Notes
5.125% 02/28/98......................................... 120,000 118,237
5.625% 11/30/00 - 02/28/01.............................. 225,000 217,726
5.75% 08/15/03......................................... 133,000 126,661
6.125% 05/31/97......................................... 10,000 10,031
6.25% 08/31/00 - 04/30/01.............................. 130,000 128,861
6.375% 05/15/99......................................... 10,000 10,022
6.50% 04/30/99......................................... 100,000 100,531
6.875% 05/15/06......................................... 98,000 99,087
----------
811,156
----------
TOTAL U.S. TREASURIES
(Cost $1,104,306)...................................... 1,095,390
----------
ASSET BACKED - 1.9%
Advanta Mortgage Loan Trust Corp.
6.30% 07/25/25.......................................... 7,191 6,847
AT & T Universal Card Master Trust
5.95% 10/17/02.......................................... 10,000 9,706
CIT RV Trust
5.40% 12/15/11.......................................... 9,183 8,929
Discover Card Master Trust
6.20% 05/16/06.......................................... 12,000 11,413
6.70% 02/16/00.......................................... 10,000 10,056
Money Store Trust
7.50% 01/15/26.......................................... 14,000 13,696
7.90% 10/15/22.......................................... 6,000 6,079
8.14% 10/15/27.......................................... 13,000 13,178
Standard Credit Card Master Trust
6.75% 06/07/00.......................................... 10,000 10,063
----------
TOTAL ASSET BACKED
(Cost $90,180)......................................... 89,967
----------
</TABLE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
VARIABLE INVESTMENT TRUST - GE FIXED INCOME PORTFOLIO
- ------------------------------------------------------------------------------59
SCHEDULE OF INVESTMENTS
JUNE 30, 1996 (UNAUDITED), CONTINUED
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
--------- ----------
<S> <C> <C>
CORPORATE NOTES - 20.1%
American Home Products
7.70% 02/15/00........................................ $ 50,000 $ 51,516
Capital One Bank
6.43% 06/29/98........................................ 50,000 49,726
Carter Holt Harvey Ltd.
8.875% 12/01/04....................................... 50,000 53,942
DQU II Funding Corp.
8.70% 06/01/16........................................ 45,000 46,446
General Motors Corp.
8.89% 08/18/03........................................ 25,000 27,302
Generalitat De Catalunya
6.375% 12/15/07....................................... 50,000 46,494
Great Atlantic & Pacific Tea Inc.
9.125% 01/15/98....................................... 50,000 51,562
HSBC Finance Nederland B.V.
7.40% 04/15/03........................................ 50,000 50,180(b)
Hydro Quebec
8.05% 07/07/24........................................ 50,000 53,002
Joy Technologies Inc.
10.25% 09/01/03....................................... 50,000 55,191
Landeskreditbank Baden
7.875% 04/15/04....................................... 25,000 26,094
Lockheed Martin Corp.
7.75% 05/01/26........................................ 45,000 44,858
Mayne Nickless Ltd.
6.25% 02/01/06........................................ 40,000 36,912
Merrill Lynch & Co. Inc.
6.64% 09/19/02........................................ 30,000 29,333
North Atlantic Energy Corp.
9.05% 06/01/02........................................ 47,000 46,276
Paramount Communications Inc.
5.875% 07/15/00....................................... 50,000 47,554
RJR Nabisco Inc.
8.00% 07/15/01........................................ 50,000 49,475
Smurfit Capital
7.50% 11/20/25........................................ 25,000 23,468
TCI Communications Inc.
6.46% 03/06/00........................................ 50,000 48,770
</TABLE>
================================================================================
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
VARIABLE INVESTMENT TRUST - GE FIXED INCOME PORTFOLIO
60------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
JUNE 30, 1996 (UNAUDITED), CONTINUED
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
--------- ----------
<S> <C> <C>
Time Warner Entertainment Co. L.P.
10.15% 05/01/12....................................... $ 50,000 $ 57,592
United Co. Financial Corp.
7.00% 07/15/98........................................ 50,000 49,979
----------
TOTAL CORPORATE NOTES
(Cost $948,273)...................................... 945,672
----------
MORTGAGE-BACKED - 52.4%
Federal Home Loan Mortgage Corp.
6.50% 03/01/04 - 11/01/10............................. 114,685 111,471
7.50% 10/01/25........................................ 207,167 204,578
9.00% 02/01/17........................................ 80,551 84,466
----------
400,515
----------
Federal National Mortgage Assoc.
6.50% 01/01/04 - 04/01/26............................. 135,058 127,437
7.00% 03/15/26........................................ 59,134 56,880
8.00% 06/01/26........................................ 79,650 80,247
9.00% TBA............................................. 76,000 79,301(c)
9.50% TBA............................................. 170,000 181,210(c)
----------
525,075
----------
Government National Mortgage Assoc.
6.50% 03/20/23........................................ 42,631 42,904(g)
7.00% 07/15/23 - 12/15/23............................. 222,752 214,616
7.50% 02/15/23 - 08/15/23............................. 344,452 341,027
8.00% 06/15/16 - 04/15/17............................. 243,568 248,649
9.00% 04/15/11 - 08/15/18............................. 203,098 214,982
9.50% 06/15/17........................................ 74,288 79,836
----------
1,142,014
----------
Collateralized Mortgage Obligations
Aetna Commercial Mortgage Trust
6.422% 12/26/30....................................... 68,594 67,158
Asset Securitization Corp.
7.10% 08/13/29........................................ 17,848 17,488
DLJ Mortgage Acceptance Corp.
7.58% 03/13/28........................................ 10,000 9,966
8.75% 07/25/26........................................ 21,245 21,112
Federal Home Loan Mortgage Corp.
1009.00% 09/15/21..................................... 178 7,077(f)
</TABLE>
================================================================================
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
VARIABLE INVESTMENT TRUST - GE FIXED INCOME PORTFOLIO
- ------------------------------------------------------------------------------61
SCHEDULE OF INVESTMENTS
JUNE 30, 1996 (UNAUDITED), CONTINUED
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
--------- ----------
<S> <C> <C>
Federal National Mortgage Assoc.
6.244% 08/25/23.................................... $ 42,680 $ 28,809(d,e)
6.626% 07/25/20.................................... 19,000 14,814(d,e)
7.41% 03/25/21.................................... 18,000 18,006
8.00% 07/01/24.................................... 49,869 16,644(f)
8.50% 07/25/22.................................... 24,212 7,820(f)
Federal National Mortgage Assoc. REMIC
7.684% 09/25/22.................................... 17,492 13,222(d,e)
LB Commercial Conduit Mortgage Trust
7.144% 08/25/04.................................... 64,470 64,088
Merrill Lynch Mortgage Investor's Inc.
7.25% 06/15/21.................................... 65,822 66,109
Mid-State Trust
8.33% 04/01/30.................................... 47,021 48,967
----------
401,280
----------
TOTAL MORTGAGE-BACKED
(Cost $2,474,525)................................. 2,468,884
----------
TOTAL BONDS AND NOTES
(Cost $4,617,284)................................. 4,599,913
----------
<CAPTION>
NUMBER
OF SHARES
---------
<S> <C> <C>
PREFERRED STOCK - 0.8%
Central Hisp Capital, 9.43%......................... 600 15,300
Grand Metropolitan Delaware L.P., 9.42%............. 400 10,950
Lasmo Plc ADS, 10.00%............................... 400 10,000
----------
TOTAL PREFERRED STOCK
(Cost $35,994).................................... 36,250
----------
TOTAL INVESTMENTS IN SECURITIES
(Cost $4,653,278)................................. 4,636,163
----------
<CAPTION>
PRINCIPAL
AMOUNT
---------
<S> <C> <C>
SHORT TERM INVESTMENTS-3.4%
U.S. GOVERNMENT AGENCY-3.4%
Federal Home Loan Mortgage Corp.
5.28% 07/02/96
(Cost $159,977)................................... $160,000 159,977(d)
Other Assets and Liabilities, net (1.8%)............. (82,944)
----------
NET ASSETS--100%..................................... $4,713,196
==========
</TABLE>
================================================================================
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
VARIABLE INVESTMENT TRUST - GE MONEY MARKET PORTFOLIO
62------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT COST
--------- ----------
<S> <C> <C>
SHORT TERM INVESTMENTS - 96.7%
U.S. GOVERNMENTS(D) - 44.7%
Federal Home Loan Bank
5.66% 11/18/96.......................................... $370,000 $ 362,316
----------
Federal Home Loan Mortgage Corp.
5.27% 07/10/96.......................................... 200,000 199,739
5.31% 08/02/96.......................................... 230,000 228,928
5.52% 07/01/96.......................................... 620,000 620,000
----------
1,048,667
----------
Federal National Mortgage Assoc.
4.97% 09/06/96.......................................... 200,000 198,195
5.02% 08/08/96.......................................... 200,000 198,963
5.23% 08/23/96.......................................... 300,000 297,765
5.29% 09/24/96.......................................... 200,000 197,568
5.34% 09/12/96.......................................... 140,000 138,507
----------
1,030,998
----------
TOTAL U.S. GOVERNMENTS
(Cost $2,441,981)...................................... 2,441,981
----------
COMMERCIAL PAPER - 28.2%
Chase Manhattan Corp.
5.25% 08/27/96.......................................... 220,000 218,171
First Union Corp.
5.28% 07/16/96.......................................... 230,000 229,494
Merrill Lynch & Co. Inc.
5.31% 07/23/96.......................................... 230,000 229,254
Morgan (J.P.) & Co. Inc.
5.29% 08/05/96.......................................... 220,000 218,869
Nationsbank Corp.
5.27% 07/03/96.......................................... 200,000 199,941
Norwest Corp.
5.26% 07/22/96.......................................... 210,000 209,356
Toronto Dominion Bank
5.26% 07/02/96.......................................... 230,000 229,966
----------
TOTAL COMMERCIAL PAPER
(Cost $1,535,051)...................................... 1,535,051
----------
</TABLE>
================================================================================
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
VARIABLE INVESTMENT TRUST - GE MONEY MARKET PORTFOLIO
- ------------------------------------------------------------------------------63
SCHEDULE OF INVESTMENTS
JUNE 30, 1996 (UNAUDITED), CONTINUED
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT COST
--------- ----------
<S> <C> <C>
CERTIFICATES OF DEPOSIT - 17.8%
Bayerische Hypotheken Bank
5.35% 07/31/96.......................................... $210,000 $ 210,000
Bayerische Vereinsbank AG
5.31% 07/15/96.......................................... 200,000 200,000
Credit Suisse
5.33% 08/21/96.......................................... 160,000 160,000
Dresdner Bank AG
5.33% 08/30/96.......................................... 200,000 200,000
Royal Bank of Canada
5.33% 08/07/96.......................................... 200,000 200,000
----------
TOTAL CERTIFICATES OF DEPOSIT
(Cost $970,000)........................................ 970,000
----------
TIME DEPOSITS - 6.0%
Republic National Bank
5.625% 07/01/96......................................... 210,000 210,000
State Street Cayman Islands
5.4375% 07/01/96........................................ 120,000 120,000
----------
TOTAL TIME DEPOSITS
(Cost $330,000)........................................ 330,000
----------
TOTAL SHORT TERM INVESTMENTS
(Cost $5,277,032)....................................... 5,277,032
Other Assets and Liabilities, net 3.3%.................... 178,588
----------
NET ASSETS - 100%......................................... $5,455,620
==========
</TABLE>
================================================================================
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
VARIABLE INVESTMENT TRUST
64------------------------------------------------------------------------------
NOTES TO SCHEDULES OF INVESTMENTS
(a) Non-income producing security.
(b) Pursuant to Rule 144A of Securities Act of 1933, these securities may be
resold in transactions exempt from registration, normally to qualified
institutional buyers. At June 30, 1996, these securities amounted to
$58,469, $184,703 and $50,180 or 0.4%, 2.4% and 1.1% of net assets for the
GE U.S. Equity, GE International Equity and GE Fixed Income Portfolios,
respectively.
(c) Settlement is on a delayed delivery or when issued basis with final matu-
rity to be announced (TBA) in the future.
(d) Coupon amount represents effective yield.
(e) Principal only securities represent the right to receive the monthly prin-
cipal payments on an underlying pool of mortgages. No payments of interest
on the pool are passed through to the principal only holder.
(f) Interest only securities represent the right to receive the monthly
interest payments on an underlying pool of mortgages. Payments of principal
on the pool reduce the value of the interest only holding.
(g) Adjustable rate mortgage coupon. The stated rate represents the rate at
June 30, 1996.
ABBREVIATIONS:
ADR - American Depository Receipt
REMIC - Real Estate Mortgage Investment Conduit
================================================================================
<PAGE>
VARIABLE INVESTMENT TRUST
- ------------------------------------------------------------------------------65
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
GE GE GE GE
U.S. INTERNATIONAL FIXED MONEY
EQUITY EQUITY INCOME MARKET
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ------------- ---------- ----------
<S> <C> <C> <C> <C>
ASSETS
Investments in securities, at
market (cost $10,920,958,
$5,994,170, $4,653,278 and
$0, respectively).......... $13,148,906 $7,503,000 $4,636,163 $ --
Short term investments
(at amortized cost)........ 1,997,696 280,000 159,977 5,277,032
Cash......................... 60,364 41,895 80,854 57,101
Foreign currency (cost $36,
$4,488, $0, and $0,
respectively).............. 35 4,491 -- --
Receivable for investments
sold....................... 33,470 -- 187,865 --
Income receivables........... 23,775 30,272 59,310 4,655
Receivable for fund shares
sold....................... 10,828 5,009 -- 122,656
Deferred organizational
costs...................... 13,071 13,071 13,071 13,071
Variation margin receivable.. 9,375 -- -- --
----------- ---------- ---------- ----------
Total assets................. 15,297,520 7,877,738 5,137,240 5,474,515
----------- ---------- ---------- ----------
LIABILITIES
Distributions payable to
shareholders............... -- -- 4,430 3,512
Payable for investments
purchased.................. 33,613 155,201 403,717 --
Payable for fund shares
repurchased................ 273 66 -- 101
Payable to GEIM.............. 22,915 20,592 15,897 15,282
----------- ---------- ---------- ----------
Total liabilities............ 56,801 175,859 424,044 18,895
----------- ---------- ---------- ----------
NET ASSETS................... $15,240,719 $7,701,879 $4,713,196 $5,455,620
=========== ========== ========== ==========
NET ASSETS CONSIST OF:
Capital paid in............. $11,611,510 $5,618,682 $4,652,538 $5,455,490
Undistributed
(overdistributed) net
investment income......... 125,219 44,389 (109) 130
Accumulated net realized
gain (loss)............... 1,227,756 530,689 77,882 --
Net unrealized appreciation/
(depreciation) on:
Investments................ 2,227,948 1,508,830 (17,115) --
Futures.................... 48,300 -- -- --
Foreign currency
transactions............. (14) (711) -- --
----------- ---------- ---------- ----------
NET ASSETS................... $15,240,719 $7,701,879 $4,713,196 $5,455,620
=========== ========== ========== ==========
Shares outstanding
($.001 par value).......... 720,181 399,867 395,455 5,461,487
Net asset value, offering and
redemption price per share. $ 21.16 $ 19.26 $ 11.92 $ 1.00
</TABLE>
================================================================================
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
VARIABLE INVESTMENT TRUST
66------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
SIX MONTHS ENDED JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
GE GE GE GE
U.S. INTERNATIONAL FIXED MONEY
EQUITY EQUITY INCOME MARKET
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------- ------------- --------- ---------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Income:
Dividends....................... $ 120,174 $ 90,924 $ 604 $ --
Interest........................ 57,163 1,744 143,319 143,634
Less: Foreign taxes withheld.... (1,526) (11,226) (38) --
---------- -------- -------- --------
Total income..................... 175,811 81,442 143,885 143,634
---------- -------- -------- --------
Expenses:
Advisory and administration
fees.......................... 34,782 29,830 10,282 8,044
Transfer agent.................. 3,963 3,963 3,963 3,963
Trustees' fees.................. 3,783 2,728 1,363 2,117
Custody and accounting.......... 716 516 259 401
Legal........................... 6,596 4,698 2,374 3,736
Audit........................... 9,473 6,833 3,416 5,301
Amortization of deferred
organization expense.......... 1,857 1,857 1,857 1,857
---------- -------- -------- --------
Total expenses before waiver..... 61,170 50,425 23,514 25,419
Less: Expenses waived or borne by
the adviser.................... (10,578) (8,313) (8,091) (12,013)
---------- -------- -------- --------
Net expenses..................... 50,592 42,112 15,423 13,406
---------- -------- -------- --------
Net investment income............ 125,219 39,330 128,462 130,228
---------- -------- -------- --------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS
Realized gain (loss) on:
Investments..................... 248,894 120,446 (38,545) --
Futures......................... 41,450 -- -- --
Written options................. 29 -- -- --
Foreign currency transactions... (113) (3,116) -- --
INCREASE (DECREASE) IN UNREALIZED
APPRECIATION/
(DEPRECIATION) ON:
Investments..................... 687,562 576,400 (161,492) --
Futures......................... 47,725 -- -- --
Foreign currency transactions... (14) 2,275 -- --
---------- -------- -------- --------
Net realized and unrealized gain
(loss) on investments.......... 1,025,533 696,005 (200,037) --
---------- -------- -------- --------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS..................... $1,150,752 $735,335 $(71,575) $130,228
========== ======== ======== ========
</TABLE>
================================================================================
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
VARIABLE INVESTMENT TRUST
- ------------------------------------------------------------------------------67
[THIS PAGE INTENTIONALLY LEFT BLANK]
================================================================================
<PAGE>
VARIABLE INVESTMENT TRUST
68------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
GE U.S. EQUITY PORTFOLIO
-------------------------
SIX MONTHS
ENDED PERIOD ENDED
JUNE 30, DECEMBER 31,
1996 (A) 1995
----------- ------------
<S> <C> <C>
INCREASE IN NET ASSETS
Operations:
Net investment income.............................. $ 125,219 $ 203,448
Net realized gain (loss) on investments, futures,
written options, and foreign currency
transactions..................................... 290,260 1,196,378
Net increase (decrease) in unrealized
appreciation/(depreciation)...................... 735,273 1,540,961
----------- ------------
Net increase (decrease) from operations............ 1,150,752 2,940,787
----------- ------------
Distributions to shareholders from:
Net investment income.............................. -- (207,780)
Net realized gains................................. -- (260,666)
----------- ------------
Total distributions................................. -- (468,446)
----------- ------------
Increase (decrease) in net assets from operations
and distributions................................. 1,150,752 2,472,341
----------- ------------
Share transactions:
Proceeds from sale of shares....................... 5,100,625 16,940,648
Value of distributions reinvested.................. -- 86,880
Cost of shares redeemed............................ (81,754) (10,448,773)
----------- ------------
Net increase from share transactions................ 5,018,871 6,578,755
----------- ------------
Total increase in net assets........................ 6,169,623 9,051,096
NET ASSETS
Beginning of period................................. 9,071,096 20,000
----------- ------------
End of period....................................... $15,240,719 $ 9,071,096
=========== ============
UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT
INCOME, END OF PERIOD............................. $ 125,219 $ --
</TABLE>
- ------------------------
(a) Unaudited.
================================================================================
THE ACCOMPANYING NOTES ARE AN
<PAGE>
VARIABLE INVESTMENT TRUST
- ------------------------------------------------------------------------------69
<TABLE>
<CAPTION>
GE INTERNATIONAL GE FIXED INCOME GE MONEY MARKET
EQUITY PORTFOLIO PORTFOLIO PORTFOLIO
----------------------- ----------------------- ------------------------
SIX MONTHS PERIOD SIX MONTHS PERIOD SIX MONTHS
ENDED ENDED ENDED ENDED ENDED PERIOD ENDED
JUNE 30, DECEMBER JUNE 30, DECEMBER JUNE 30, DECEMBER
1996 (A) 31, 1995 1996 (A) 31, 1995 1996 (A) 31, 1995
---------- ----------- ---------- ----------- ---------- ------------
<S> <C> <C> <C> <C> <C> <C>
INCREASE IN NET ASSETS
Operations:
Net investment income..............................$ 39,330 $ 79,849 $ 128,462 $ 295,024 $ 130,228 $ 281,628
Net realized gain (loss) on investments, futures,
written options, and foreign currency
transactions..................................... 117,330 446,218 (38,545) 259,037 -- 98
Net increase (decrease) in unrealized
appreciation/(depreciation)...................... 578,675 929,444 (161,492) 144,377 -- --
---------- ----------- ---------- ----------- ---------- ------------
Net increase (decrease) from operations............ 735,335 1,455,511 (71,575) 698,438 130,228 281,726
---------- ----------- ---------- ----------- ---------- ------------
Distributions to shareholders from:
Net investment income.............................. -- (53,453) (128,462) (301,130) (130,228) (287,593)
Net realized gains................................. -- (60,193) -- (143,981) -- --
---------- ----------- ---------- ----------- ---------- ------------
Total distributions................................. -- (113,646) (128,462) (445,111) (130,228) (287,593)
---------- ----------- ---------- ----------- ---------- ------------
Increase (decrease) in net assets from operations
and distributions................................. 735,335 1,341,865 (200,037) 253,327 -- (5,867)
---------- ----------- ---------- ----------- ---------- ------------
Share transactions:
Proceeds from sale of shares....................... 728,928 14,329,796 1,678,398 7,347,507 5,137,069 15,872,664
Value of distributions reinvested.................. -- 17,380 123,985 321,567 126,648 271,852
Cost of shares redeemed............................ (126,407) (9,345,018) (160,345) (4,671,206) (4,918,399) (11,048,347)
---------- ----------- ---------- ----------- ---------- ------------
Net increase from share transactions................ 602,521 5,002,158 1,642,038 2,997,868 345,318 5,096,169
---------- ----------- ---------- ----------- ---------- ------------
Total increase in net assets........................ 1,337,856 6,344,023 1,442,001 3,251,195 345,318 5,090,302
NET ASSETS
Beginning of period................................. 6,364,023 20,000 3,271,195 20,000 5,110,302 20,000
---------- ----------- ---------- ----------- ---------- ------------
End of period.......................................$7,701,879 $ 6,364,023 $4,713,196 $ 3,271,195 $5,455,620 $ 5,110,302
========== =========== ========== =========== ========== ============
UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT
INCOME, END OF PERIOD.............................$ 44,389 $ 5,059 $ (109) $ (109) $ 130 $ 130
</TABLE>
===============================================================================
INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
VARIABLE INVESTMENT TRUST
70------------------------------------------------------------------------------
CHANGES IN PORTFOLIO SHARES
<TABLE>
<CAPTION>
GE U.S. GE INTERNATIONAL
EQUITY PORTFOLIO EQUITY PORTFOLIO
----------------------- -----------------------
SIX MONTHS PERIOD SIX MONTHS PERIOD
ENDED ENDED ENDED ENDED
JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31,
1996 (A) 1995 1996 (A) 1995
---------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
Shares sold by subscription.... 253,313 998,802 40,468 901,233
Issued for distributions
reinvested................... -- 4,523 -- 1,002
Shares redeemed................ (3,953) (533,837) (6,938) (537,231)
------- -------- ------ --------
Net increase in Portfolio
shares....................... 249,360 469,488 33,530 365,004
======= ======== ====== ========
</TABLE>
<TABLE>
<CAPTION>
GE FIXED GE MONEY
INCOME PORTFOLIO MARKET PORTFOLIO
----------------------- ------------------------
SIX MONTHS PERIOD SIX MONTHS PERIOD
ENDED ENDED ENDED ENDED
JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31,
1996 (A) 1995 1996 (A) 1995
---------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
Shares sold by subscription... 137,527 599,669 5,137,069 15,872,664
Issued for distributions
reinvested.................. 10,262 25,466 126,648 271,852
Shares redeemed............... (13,313) (365,823) (4,918,399) (11,048,347)
------- -------- ---------- -----------
Net increase in Portfolio
shares...................... 134,476 259,312 345,318 5,096,169
======= ======== ========== ===========
</TABLE>
- ------------------------
(a) Unaudited.
================================================================================
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
VARIABLE INVESTMENT TRUST
- ------------------------------------------------------------------------------71
FINANCIAL HIGHLIGHTS
SELECTED DATA BASED ON A SHARE OUTSTANDING THROUGHOUT THE PERIOD(S) INDICATED
(JUNE 30, 1996 DATA IS UNAUDITED)
<TABLE>
<CAPTION>
GE GE
U.S. INTERNATIONAL
EQUITY EQUITY
PORTFOLIO PORTFOLIO
<S> <C> <C> <C> <C>
6/30/96 12/31/95(b) 6/30/96 12/31/95(b)
--------- ----------- --------- -----------
NET ASSET VALUE, BEGINNING OF
PERIOD....................... $ 19.27 $ 15.00 $ 17.37 $ 15.00
Income (loss) from investment
operations:
Net investment income.......... 0.17 0.46 0.10 0.21
Net realized and unrealized
gains (losses) on
investments.................. 1.72 4.87 1.79 2.45
--------- ----------- --------- -----------
Total income (loss) from
investment operations........ 1.89 5.33 1.89 2.66
--------- ----------- --------- -----------
LESS DISTRIBUTIONS FROM:
Net investment income......... -- 0.47 -- 0.14
Net realized gains............ -- 0.59 -- 0.15
--------- ----------- --------- -----------
Total distributions............ -- 1.06 -- 0.29
--------- ----------- --------- -----------
NET ASSET VALUE, END OF PERIOD. $ 21.16 $ 19.27 $ 19.26 $ 17.37
========= =========== ========= ===========
TOTAL RETURN (a)............... 9.81% 35.58% 10.88% 17.74%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in
thousands).................. $ 15,241 $ 9,071 $ 7,702 $ 6,364
Ratio of net investment income
to average net assets*...... 1.98% 2.10% 1.12% 0.88%
Ratio of expenses to average
net assets*................. 0.80% 0.80% 1.20% 1.20%
Ratio of expenses to average
net assets before voluntary
expense limitation*......... 0.97% 1.03% 1.44% 1.35%
Portfolio turnover rate....... 10% 71% 10% 60%
Average brokerage commissions
(c)......................... $ .052 N/A $ .069 N/A
</TABLE>
- ------------------------
NOTES TO FINANCIAL HIGHLIGHTS
(a) Total returns are historical and assume changes in share price and rein-
vestment of dividends and capital gains. Had the adviser not absorbed a
portion of expenses, total returns would have been lower. Periods less
than one year are not annualized.
(b) Information is for the period January 3, 1995, commencement of investment
operations, through December 31, 1995.
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
VARIABLE INVESTMENT TRUST
72------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
GE GE
FIXED MONEY
INCOME MARKET
PORTFOLIO PORTFOLIO
<S> <C> <C> <C> <C>
6/30/96 12/31/95(b) 6/30/96 12/31/95(b)
--------- ----------- --------- -----------
NET ASSET VALUE, BEGINNING OF
PERIOD...................... $ 12.53 $ 12.00 $ 1.00 $ 1.00
Income (loss) from investment
operations:
Net investment income......... 0.38 0.82 0.02 0.05
Net realized and unrealized
gains (losses) on
investments................. (0.61) 1.13 -- 0.01
--------- ----------- --------- -----------
Total income (loss) from
investment operations....... (0.23) 1.95 0.02 0.06
--------- ----------- --------- -----------
LESS DISTRIBUTIONS FROM:
Net investment income........ 0.38 0.84 0.02 0.06
Net realized gains........... -- 0.58 -- --
--------- ----------- --------- -----------
Total distributions........... 0.38 1.42 0.02 0.06
--------- ----------- --------- -----------
NET ASSET VALUE, END OF
PERIOD...................... $ 11.92 $ 12.53 $ 1.00 $ 1.00
========= =========== ========= ===========
TOTAL RETURN (a).............. (1.88%) 16.83% 2.44% 5.72%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in
thousands)................. $ 4,713 $ 3,271 $ 5,456 $ 5,110
Ratio of net investment
income to average net
assets*.................... 6.25% 6.52% 4.86% 5.41%
Ratio of expenses to average
net assets*................ 0.75% 0.75% 0.50% 0.50%
Ratio of expenses to average
net assets before voluntary
expense limitation*........ 1.14% 1.15% 0.95% 0.87%
Portfolio turnover rate...... 82% 253% N/A N/A
</TABLE>
- ------------------------
NOTES TO FINANCIAL HIGHLIGHTS
(c) For the fiscal years beginning on or after September 1, 1995, a fund is re-
quired to disclose its average commission rate per share for trades on
which commissions are charged. This rate may vary from period to period and
fund to fund depending on the combination of trades executed in various
markets where trading practices and commission rate structures may differ.
* Annualized for periods less than one year.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
VARIABLE INVESTMENT TRUST
- ------------------------------------------------------------------------------73
NOTES TO FINANCIAL STATEMENTS, JUNE 30, 1996 (UNAUDITED)
1.ORGANIZATION OF THE PORTFOLIOS. Variable Investment Trust (the "Trust") is
registered under the Investment Company Act of 1940, as amended, as a
diversified, open-end management investment company. The Trust was formed as a
Massachusetts business trust pursuant to a Declaration of Trust (as amended)
on February 25, 1994. The Declaration authorizes the Trust's Trustees to
create separate series, each with an unlimited number of shares of beneficial
interest. The Trust is comprised of five investment portfolios (the
"Portfolios") only four of which are currently being offered through the Power
Portfolio Variable Annuity, as follows: GE U.S. Equity Portfolio, GE
International Equity Portfolio, GE Fixed Income Portfolio and GE Money Market
Portfolio.
Shares of the Trust are offered only to insurance company separate accounts
that fund certain variable contracts. These insurance companies may include
insurance companies affiliated with GE Investment Management Incorporated
("GEIM"), the investment adviser and administrator of each Portfolio. As of
June 30, 1996, Great Northern Insured Annuity Corporation, an affiliated
insurance company, controlled the Portfolios by ownership of virtually all of
the Portfolios' shares of beneficial interest. The Trust may in the future
offer shares of some or all of the Portfolios to variable life insurance
separate accounts.
The investment objective of GE U.S. Equity Portfolio is long-term growth of
capital, which the Portfolio seeks to achieve through investment primarily in
equity securities of U.S. companies. The investment objective of GE
International Equity Portfolio is long-term growth of capital, which the
Portfolio seeks to achieve by investing primarily in foreign equity
securities. The investment objective of GE Fixed Income Portfolio is to seek
maximum income consistent with prudent investment management and the
preservation of capital, which the Portfolio seeks to achieve by investing in
fixed income securities. The investment objective of GE Money Market Portfolio
is to seek a high level of current income consistent with the preservation of
capital and the maintenance of liquidity, which the Portfolio seeks to achieve
by investing in a defined group of short-term, U.S. dollar denominated money
market instruments.
2.SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES. The following summarizes the
significant accounting policies of the Trust:
Security Valuation and Transactions. Securities for which exchange
quotations are readily available are valued at the last sale price, or if no
sales occurred on that day, at the last quoted bid price. Certain fixed income
securities are valued by a dealer or by a pricing service based upon a
computerized matrix system, which considers market transactions and dealer
supplied valuations.
Futures contracts are valued at the settlement price established each day by
the board of trade or exchange on which they are principally traded. Options
that
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
<PAGE>
VARIABLE INVESTMENT TRUST
74------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED), CONTINUED
are written or purchased are valued using the mean between the last asked and
bid prices. Forward foreign currency contracts are valued at the mean between
the bid and the offered forward rates as last quoted by a recognized dealer.
Short term investments maturing within 60 days are valued at amortized cost
or original cost plus accrued interest, each of which approximates market
value.
Portfolio positions which cannot be valued as set forth above are valued at
fair value under procedures approved by the Trustees.
GE Money Market Portfolio values its securities using the amortized cost
method, which values securities initially at cost and thereafter assumes a
constant amortization to maturity of any discount or premium. Amortized cost
approximates market value.
Transactions are accounted for as of the trade date. Cost is determined and
gains and losses are based upon the specific identification method for both
financial statement and federal income tax purposes.
The Portfolios may purchase or sell securities on a when-issued or forward
commitment basis. Payment and delivery may take place a month or more after the
date of the transaction. The price of the underlying securities and the date
when the securities will be delivered and paid for are fixed at the time the
transaction is negotiated. This may increase the risk if the other party
involved in the transaction fails to deliver and causes the Portfolio to
subsequently invest at less advantageous yields. In connection with such
purchases, the Portfolio is required to hold collateral (cash, U.S. Government
securities or other liquid, high grade debt obligations) with the Portfolios'
custodian sufficient to cover the purchase price, unless they enter into an
offsetting contract for the sale of equal securities and value.
Foreign Currency. Accounting records of the Portfolios are maintained in U.S.
dollars. Investment securities and other assets and liabilities and purchases
and sales of investment securities denominated in a foreign currency are
translated to U.S. dollars at the prevailing exchange rate on the respective
dates of such transactions.
The Portfolios do not isolate that portion of the results of operations
resulting from changes in foreign exchange rates on investments from the
fluctuations arising from changes in market prices of securities held. Such
fluctuations are included with the net realized and unrealized gain or loss
from investments. Reported net realized exchange gains or losses from foreign
currency transactions represent sale of foreign currencies, currency gains or
losses between the trade date and the settlement date on securities
transactions, realized gains and losses on forward foreign currency contracts,
and the difference between the amounts of
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<PAGE>
VARIABLE INVESTMENT TRUST
- ------------------------------------------------------------------------------75
NOTES TO FINANCIAL STATEMENTS (UNAUDITED), CONTINUED
dividends, interest, and foreign withholding taxes recorded on the Portfolios'
books, and the U.S. dollar equivalent of the amounts actually received or
paid. Net unrealized foreign exchange gains and losses arise from changes in
the value of assets and liabilities other than investments in securities at
fiscal year end, as a result of changes in the exchange rate.
Income Taxes. It is each Portfolio's policy to comply with all sections of
the Internal Revenue Code applicable to regulated investment companies and to
distribute all of its taxable income and gains to its shareholders and
therefore no provision for federal income tax has been made. Each Portfolio is
treated as a separate taxpayer for federal income tax purposes.
Investment Income. Corporate actions (including cash dividends) are recorded
net of nonreclaimable tax withholdings on the ex-dividend date, except for
certain foreign securities for which corporate actions are recorded as soon as
such information is available. Interest income is recorded on the accrual
basis. All discounts on taxable bonds are amortized to call or maturity date,
whichever is shorter using the effective yield method.
Expenses. Expenses of the Trust which are directly identifiable to a
specific Portfolio are allocated to that Portfolio. Expenses which are not
readily identifiable to a specific Portfolio are allocated in such a manner as
deemed equitable, taking into consideration the nature and type of expense and
the relative sizes of the Portfolios. All expenses of the Portfolios are paid
by the Investment Adviser and reimbursed by the Portfolios up to the voluntary
expense limitations.
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 at the
date of the financial statements and the reported amounts of revenues and
expenses during the reporting period. Actual results may differ from those
estimates.
Distributions to Shareholders. GE Fixed Income Portfolio and GE Money Market
Portfolio declare investment income dividends daily and pay monthly. GE U.S.
Equity Portfolio and GE International Equity Portfolio declare and pay
dividends of net investment income annually. All Portfolios declare and pay
net realized capital gain distributions annually. The character of income and
gains to be distributed are determined in accordance with income tax
regulations which may differ from generally accepted accounting principles.
These differences include treatment of realized and unrealized gains and
losses on forward foreign currency contracts, paydown gains and losses on
mortgage-backed securities, losses on wash sale transactions, and deferred
organization expenses. Reclassifications are made to the Portfolios' capital
accounts to reflect income and gains available for distribution (or available
capital loss carryovers) under income tax regulations. The calculation of net
investment income per share in the Financial Highlights table excludes these
adjustments.
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
<PAGE>
VARIABLE INVESTMENT TRUST
76------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED), CONTINUED
Deferred Organizational Costs. Organizational expenses applicable to the
Portfolios have been deferred and are being amortized on a straight-line basis
over a period of five years from commencement of investment operations.
Repurchase Agreements. The Portfolios' custodian takes possession of the
collateral pledged for investments in repurchase agreements on behalf of the
Portfolios. It is the policy of the Portfolios to value the underlying
collateral daily on a mark-to-market basis to determine that the value,
including accrued interest, is at least equal to the repurchase price. In the
event of default of the obligation to repurchase, the Portfolios have the right
to liquidate the collateral and apply the proceeds in satisfaction of the
obligation.
Futures and Options. The Portfolios, other than the GE Money Market
Portfolio, may invest in futures contracts and purchase and write options.
These investments involve, to varying degrees, elements of market risk and
risks in excess of the amount recognized in the Statements of Assets and
Liabilities. The face or contract amounts reflect the extent of the involvement
the Portfolios have in the particular classes of these instruments. Risks may
be caused by an imperfect correlation between movements in the price of the
instruments and the price of the underlying securities and interest rates.
Risks also may arise if there is an illiquid secondary market for the
instruments, or an inability of counterparties to perform. The Portfolios will
invest in these instruments to hedge against the effects of changes in value of
portfolio securities due to anticipated changes in interest rates and/or market
conditions, to equitize a cash position, for duration management, or when the
transactions are economically appropriate to the reduction of risk inherent in
the management of the Portfolio involved.
Upon entering into a futures contract, the Portfolio is required to deposit
either cash or securities in an amount (initial margin) equal to a certain
percentage of the contract value. Subsequent payments (variation margin) are
made or received by the Portfolio each day. The variation margin payments are
equal to the daily changes in the contract value and are recorded as unrealized
gains and losses. The Portfolio recognizes a realized gain or loss when the
futures contract is closed. The Portfolio will realize a gain or loss upon the
expiration or closing of an option transaction. When an option is exercised,
the proceeds on sales for a written call option, the purchase cost for a
written put option, or the proceeds on the sale of the security for a purchased
put or cost of the security for a call option is adjusted by the amount of
premium received or paid.
Other. There are certain additional risks involved when investing in foreign
securities that are not inherent in domestic securities. These risks may
involve foreign currency exchange rate fluctuations, adverse political and
economic developments and the imposition of unfavorable foreign governmental
laws and restrictions.
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VARIABLE INVESTMENT TRUST
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NOTES TO FINANCIAL STATEMENTS (UNAUDITED), CONTINUED
3.FEES AND COMPENSATION PAID TO AFFILIATES
Advisory and Administration Fees. Compensation of GEIM, the Portfolio's
Investment Adviser and Administrator, a wholly owned subsidiary of General
Electric Company, for investment advisory and administrative services, is paid
monthly based on the average daily net assets of each Portfolio. Such advisory
and administration fee is based on the annual rates listed in the table below.
Until further notice, GEIM has agreed to reduce other operating expenses
(exclusive of advisory and administration fees) for each Portfolio as
indicated in the following table:
<TABLE>
<CAPTION>
ANNUALIZED BASED ON AVERAGE DAILY NET ASSETS
-----------------------------------------------------
ADVISORY AND LIMITATION OF OTHER
ADMINISTRATION FEES OPERATING EXPENSES
---------------------- ----------------------
<S> <C> <C>
GE U.S Equity Portfolio. .55% .25%
GE International Equity
Portfolio............. .85% .35%
GE Fixed Income
Portfolio............. .50% .25%
GE Money Market
Portfolio............. .30% .20%
</TABLE>
Trustees' Fees. The Portfolios pay no compensation to their Trustees who are
employees of GEIM. Trustees who are not GEIM employees receive an annual fee
of $5,000 and an additional fee of $500 for each Trustees' meeting attended.
4.AGGREGATE UNREALIZED APPRECIATION AND DEPRECIATION.
Aggregate gross unrealized appreciation/(depreciation) of investments for
each Portfolio at June 30, 1996, were as follows:
<TABLE>
<CAPTION>
NET
GROSS GROSS UNREALIZED
UNREALIZED UNREALIZED APPRECIATION
APPRECIATION DEPRECIATION (DEPRECIATION)
------------ ------------ --------------
<S> <C> <C> <C>
GE U.S. Equity Portfolio............... $2,262,380 $ 34,432 $2,227,948
GE International Equity Portfolio...... 1,698,593 189,763 1,508,830
GE Fixed Income Portfolio.............. 28,950 46,065 (17,115)
</TABLE>
The aggregate cost of each Portfolio's investments was substantially the
same for book and federal income tax purposes at June 30, 1996.
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VARIABLE INVESTMENT TRUST
78------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED), CONTINUED
5.OPTIONS. During the period ended June 30, 1996, the following option
contracts were written:
<TABLE>
<CAPTION>
GE U.S. EQUITY PORTFOLIO
--------------------------
NUMBER
OF CONTRACTS PREMIUM
--------------------------
<S> <C> <C>
Balance as of December 31, 1995..................... -- $ --
Written............................................. 8 2,638
Closed and Expired.................................. (5) (1,585)
Exercised........................................... (3) (1,053)
------------ ------------
Balance as of June 30, 1996......................... -- $ --
============ ============
6.INVESTMENT TRANSACTIONS. The cost of purchases and the proceeds from sales of
investments, other than U.S. Government obligations, short-term securities and
options, for the period ended June 30, 1996, were:
<CAPTION>
PURCHASES SALES
--------------------------
<S> <C> <C>
GE U.S. Equity Portfolio............................ $ 4,804,668 $ 1,092,853
GE International Equity Portfolio................... 1,191,410 660,295
GE Fixed Income Portfolio........................... 683,417 464,648
The cost of purchases and the proceeds from sales of long-term U.S.
Government obligations for the period ended June 30, 1996, were:
<CAPTION>
PURCHASES SALES
--------------------------
<S> <C> <C>
GE U.S. Equity Portfolio............................ $ 62,562 $ 14,612
GE International Equity Portfolio................... -- --
GE Fixed Income Portfolio........................... 4,375,650 2,741,087
</TABLE>
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[LOGO OF GREAT NORTHERN INSURED ANNUITY CORPORATION APPEARS HERE]
GREAT NORTHERN INSURED ANNUITY CORPORATION*
(R) * Doing business in Texas as GNA Insurance Company
Two Union Square . Suite 5600 . P.O. Box 490
Seattle, Washington 9811-0490
A10714 6/96
