Western National Life Insurance Company
ElitePlus Bonus Variable Annuity
TO ELITEPLUS CONTRACT OWNERS:
Thank you for choosing the Western National ElitePlus Bonus Variable
Annuity. ElitePlus offers a number of excellent features and includes a
variety of investment options managed by a group of highly-respected
professional money managers. Accordingly, ElitePlus gives you the ability to
tailor a program suited for your long-term financial plans, yet provides you
the flexibility to change investment options later, should your requirements
change.
The enclosed Semi-Annual Report for WNL Series Trust contains detailed
financial information to help you understand your annuity contract's past
performance.
We look forward to serving you in the future. Please contact us if you
have any questions concerning your account. Our toll-free telephone number is
(800) 910-4455.
<PAGE>
WNL Series Trust
Semi-Annual Report
June 30, 1997
The information in this report is intended for informational purposes. This
report is not authorized for distribution to prospective investors unless
preceded or accompanied by current prospectuses for WNL Series Trust and WNL
Separate Account A. The prospectuses contain important information about
Western National Life Insurance Company and the ElitePlus Bonus Variable
Annuity, including charges and expenses. Please read the prospectuses
carefully before investing.
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS
The following discussion of the first half, 1997 performance of the portfolios
within WNL Series Trust supplements the financial statements and related notes
found elsewhere in this report.
The total returns reported are net of portfolio operating expenses but do not
reflect any insurance or administrative charges that apply to the separate
account. Furthermore, the portfolios' performances reflect the absorption of
certain fund expenses by Western National Life Insurance Company. Had these
expenses not been absorbed, the total returns would have been lower.
Performance data represent past performance and neither guarantee nor predict
future results. The investment return and accumulation value of the
portfolios will fluctuate, and the redemption value may be higher or lower
than an investor's original cost.
As with all money market funds, an investment in the Global Advisors Money
Market Portfolio is neither insured nor guaranteed by the U.S. Government.
Although the Portfolio strives to maintain a stable net asset value of $1.00
per share, there can be no assurance that this objective will be met.
BEA GROWTH AND INCOME PORTFOLIO
- -----------------------------------
The total return for the first half of 1997was 11.5%. By comparison the
benchmark, which is a 50/50 composite of the S&P 500 and the Lehman Aggregate
Bond Index, returned 11.3%. (The portfolio is nearly equally balanced between
equities and debt instruments.) Additionally, the twelve month return was on
the mark, and the inception-to-date return of 19.5% was handily above the
18.5% of the composite. Individually the equity and the fixed income portions
of the portfolio have each consistently equaled or exceeded their respective
benchmarks.
The equities manager stated that the S&P 500 has beaten 85% of all equities
managers in the current year (but not BEA). He explained that it has been
difficult for a diversified equity portfolio to keep up with the market,
because a small number of very large companies were responsible for a very
large part of the market's rise (the largest 10 stocks have had by far the
best run-up). He believes, based on long experience, that maintaining a
diversified portfolio of mid-cap equities will provide better returns in the
long run, recent experience notwithstanding. In the second quarter of 1997,
mid-caps did rallied relative to the market and, as a result, the equity
portion of the portfolio was up 9.0% for tje quarter, compared to the S&P's
7.9%. The portfolio is overweighted in technology stocks. Microsoft helped
produce the favorable second quarter performance, as did Iridium World
Communications.
The strategy in the equity portion of the portfolio involves top-down sector
selection combined with bottom-up stock selection within sectors. The intent
is to try to outperform the market, not "by hitting home runs", but by
avoiding major mistakes; i.e., managing risks.
On the fixed income side the manager took advantage of continued volatility in
bond markets by maintaining a neutral duration and utilizing long options and
putable bonds (the manager believes that puts and options have been
undervalued by the market). The portfolio is concentrated in certain
sectors, particularly financials because their bond prices have lagged those
of industrials. Other overweights are in communications and in
mortgage-backed securities (although the manager regrets having lightened up
slightly on mortgages early in the year). The portfolio is generally
composed of relatively short-maturity, better credit quality issues because
credit spreads are narrow. However the manager has added a "sprinkle" of
lower-grade, high-yield utilities that are buyout candidates. An example is
LILCO, which the manager expects will be taken over by the state who will call
LILCO's bonds. An interesting addition was a non-tax-exempt issue by the
state of New Jersey (used to fund pension liabilities) that has a rating
but was cheaper than similarly-rated corporates.
<PAGE>
BLACKROCK MANAGED BOND PORTFOLIO
- -----------------------------------
The BlackRock portfolio's first half, 1997 total return of 3.2% nearly equaled
the 3.1% of its benchmark, the Salomon Broad Investment Grade Index ; however,
its twelve month return of 8.7% easily beat the index's 8.2%. The
inception-to-date return was also above the benchmark. The portfolio's
duration was long versus its benchmark during April and early May but was
otherwise neutral to slightly short during the first half of 1997. Treasury
exposure was cut in the second quarter by about 6% partially through the
divestiture of a position in Treasury Inflation Indexed securities, where
positive news on inflation and expanding issuance are expected to cause
further underperformance. The portfolio's overall corporate exposure
increased moderately to a slightly underwighted position. Continuing to focus
on non-generic structures and issuers, the manager sold a Yankee issue and a
Coca Cola security, and invested in a Swedish bank and a Columbia bond. The
manager may add more emerging market securities if the opportunity arises.
The portfolio's exposure to the asset-backed sector was increased slightly in
the first half of 1997, and a more balanced allocation among auto loans,
credit cards and manufactured housing subsectors was attained. The mortgage
allocation remained fairly constant during the period. The manager sold off
some ARM holdings and purchased several CMO sequentials and commercial
mortgage securities. As corporate spreads remained narrow, CMOs and
commercial mortgages enjoyed robust demand and provided incremental yield.
CREDIT SUISSE INTERNATIONAL EQUITY PORTFOLIO
- ------------------------------------------------
In the first half of 1997 the Credit Suisse portfolio's total return of 16.5%
significantly exceeded the 11.1% of its benchmark, the Morgan Stanley
Composite Index --Europe, Australia & Far East (EAFE). Additionally, its
twelve month and inception-to-date returns have doubled their respective
benchmarks. The manager, attributes the superior performance principally to
underweighting Japan, staying largely hedged in U.S. dollars, and to good
stock picking within markets.
In the first half of 1997 the manager increased the Japan exposure to 26% of
the portfolio, slightly more than the competition, but still less than the
benchmark 32%. The portfolio is one half in Europe, and experienced a good
quarter as markets in Western Europe surged. Approximately one third of the
European exposure was in Emerging Europe, which also did very well. The Czech
exposure did well in spite of problems in that market. The portfolio holdings
of Russian securities (almost entirely oil and gas related) generated good
returns, as that market is rationalizing. Within Asia (ex. Japan) the
manager had withdrawn from Thailand in the third quarter of 1996, so no loss
was experienced there. Hong Kong exposure was increased (the Chinese takeover
has not seemed to affect the market much) as were "Red Chips" (Chinese
mainland securities). The performance suffered slightly compared to
competition because of a relatively high cash position resulting from the
portfolio's small size.
ELITEVALUE ASSET ALLOCATION PORTFOLIO
- ----------------------------------------
Although the EliteValue portfolio is an asset allocation fund, the manager has
consistently kept it almost entirely invested in equities, a strategy that has
proved very successful. The portfolio consists of a relatively small number
of stocks and the turnover rate is very low: The manager believes in taking
large positions in a few companies he believes will show superior performance.
The Portfolio's first half 1997 total return of 12.5% beat its benchmark, the
Lipper Benchmark -- Flexible Portfolio Funds Index, which registered 9.9%.
The twelve month and inception-to-date returns substantially beat the index.
The portfolio's second quarter 1997 performance was 25th among 85 funds in its
Lipper category. The performance suffered relative to the S&P 500, as did
that of most other diversified equity portfolios because of the concentration
of price appreciation among the very-large-cap stocks. The manager continued
to invest in a limited number of businesses that he feels are inherently worth
more than their asking prices and that will generate excess cashflow that will
enhance long-term value for the shareholders; i.e., the focus is on individual
companies prospective long-term potential rather than on predicting where the
stock market is going next month.
Among the portfolio's large holdings, McDonnell Douglas (which consummated its
merger with Boeing after mid-year) proved a very successful investment. The
manager believes that the market has undervalued Citicorp in 1997, as its
business -- particularly the two-thirds generated by international operations
- -- has surged. A major disappointment has been Wells Fargo (the Portfolio's
sixth largest holding), which has encountered severe difficulties in its
merger with First Interstate Bancorp. The manager does not foresee a
resolution of Wells' problems before year end, but looks for the bank to once
again achieve superior returns in the long run. In the mean time Wells
Fargo's aggressive stock repurchase plan provides comfort. The portfolio's
large (21%) cash position will be used for selective purchases as
opportunities ariseThe manager's goal is to attain a total return of 12-15%
for 1997.
GLOBAL ADVISORS GROWTH EQUITY PORTFOLIO
- -------------------------------------------
The Growth Equity Portfolio is an enhanced index fund, that is, one that
tracks the S&P 500 by industry classification, but attempts to pick the best
individual stocks within each industry. The portfolio's first half total
return of 12.5% lagged its benchmark, the Standard and Poor's 500 Stock
Index., as did most actively-managed equity portfolios . The portfolio
suffered from a "flight to the extremes"; i.e., most of the positive benchmark
performance in recent quarters resulted from strong performances by the very
largest "mega-cap" stocks, helped slightly by a relatively strong performance
of very small-cap issues. The large mid-cap sector, where most of the Growth
Equity Portfolio's assets are concentrated, was left behind. The trend was
eased somewhat in the second quarter of 1997, allowing for improvement in
performance. Global Advisors has taken a number of actions to try to improve
performance, and is currently looking at purchasing new optimization software,
using different valuation software for each industry, and revising its method
of following "lead analysts" for individual stocks and for industries.
GLOBAL ADVISORS MONEY MARKET PORTFOLIO
- ------------------------------------------
The Money Market Portfolio's total return of 2.7% for the first half of 1997
slightly exceeded its benchmark, the 91-Day Treasury Auction Average Index, as
it has generally done in recent quarters. The portfolio's small size and
volatility (most purchases initially pass thorough the portfolio during the
"policy free look" period) make it difficult for the manager to make economic
trades while maintaining sufficient diversity and liquidity.
SALOMON U.S. GOVERNMENT SECURITIES PORTFOLIO
- ------------------------------------------------
The Salomon U.S. Government Securities Portfolio's first half 1997 total
return was 3.4%, equaling its benchmark, the One-to-Ten Year Treasury Index.
Additionally, the twelve month return, and the inception-to-date return
handily beat the benchmark. Fixed income markets rallied in the second
quarter of 1997, buoyed by more moderate economic growth and inflation
indicators that were so encouraging that most investors abandoned their
expectation that the Fed would tighten soon. Yields declined so sharply in
June and July that markets largely retraced the ground lost in the first
quarter. The portfolio, which was overweighted in mortgage securities,
benefited from the strong performance in that sector. That performance was
driven by the second quarter's strong housing market and by investor's quest
for yield.
VAN KAMPEN AMERICAN CAPITAL EMERGING GROWTH PORTFOLIO
- -----------------------------------------------------------
The Emerging Growth Portfolio's performance experienced a turnaround in the
second quarter of 1997, following a disappointing first quarter. Its first
half total return of 8.8% surpassed the 8.2% of its benchmark, the Lipper
Benchmark -- Mid-Cap Funds. The Portfolio suffered from the "flight to size
extremes" described above under the Growth Equity Portfolio; however, as
mid-caps experienced a rally relative to the larger stocks in the second
quarter, portfolio performance improved. The manager believes that the
long-term strategy of investing in stocks with good fundamentals paid off
during the quarter, and will continue to do so in the future. He has
continued to concentrate on such stocks and on ones that have good value
because their prices have been driven far down. The manager stated that the
ratio of mid-cap P/Es to that of the overall S&P 500 declined to below 1.2x in
the first half of 1997 (near its historic low), and that he expects improved
performance as that ratio returns to a more-normal range (as it started to in
the second quarter). The portfolio is concentrated in the technology, health
care, consumer retail, energy, and to a lesser extent financial sectors. The
manager expects the federal budget resolution to boost the health care
industry by clearing up some of the uncertainties in that sector.
PERFORMANCE GRAPHS
- -------------------
The following graphs illustrate the performance of $10,000 invested in each
of the portfolios in comparison to their respective benchmark returns. The
charts assume investment at each portfolio's inception date and track
performance though June 30, 1997.
<PAGE>
WNL SERIES TRUST
BEA GROWTH AND INCOME PORTFOLIO
Vs.
50% S&P 500/50% Lehman Aggregate
Comparative Performance of $10,000 Investment at 10/20/95
<TABLE>
<CAPTION>
BEA Index
--------- ---------
<S> <C> <C>
Inception Date 10/20/95 10,000.00 10,000.00
Inception to 12/31/95 10,657.07 10,397.85
March 31, 1996 10,871.86 10,585.02
June 30, 1996 11,265.98 10,890.00
September 30, 1996 11,679.10 11,164.00
December 31, 1996 12,129.59 11,759.97
March 31, 1997 12,172.23 11,885.80
June 30, 1997 13,529.37 13,139.76
</TABLE>
<TABLE>
<CAPTION>
Average Annual Total Return*
- -------------------------------
BEA Index
----- -----
<S> <C> <C>
12 Months to June 30, 1997 20.09 21.36
Inception to June 30, 1997 19.48 18.38
<FN>
* The portfolio total returns reported are net of portfolio operating expenses
but do not reflect any insurance or administrative charges that apply to the
separate account. Furthermore, the portfolio's performance reflects the
absorption of certain fund expenses by Western National Life Insurance
Company. Had these expenses not been absorbed, the total returns would have
been lower. Performance data represent past performance and neither guarantee
nor predict future results. The investment return and accumulation value of
the portfolios will fluctuate, and the redemption value may be higher or lower
than an investor's original cost. The S&P 500/Lehman Aggregate does not
include any expneses.
</TABLE>
<TABLE>
<CAPTION>
June 30, 1997 Fund Facts
- ----------------------------
<S> <C>
Date of inception 10/20/95
Net Assets $ 4,787,415
Net Asset Value per Share $ 12.13
Manager BEA Associates
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
BLACKROCK MANAGED BOND PORTFOLIO
Vs.
Salomon Brothers Broad Investment Grade Bond Index
Comparative Performance of $10,000 Investment at 1/2/96
BlackRock Index
--------- ---------
<S> <C> <C>
Inception Date 1/2/96 10,000.00 10,000.00
Inception to March 31, 1996 9,771.03 9,848.00
June 30, 1996 9,852.58 9,807.00
September 30, 1996 10,057.62 10,058.00
December 31, 1996 10,376.11 10,362.00
March 31, 1997 10,342.71 10,415.88
June 30, 1997 10,708.28 10,790.85
</TABLE>
<TABLE>
<CAPTION>
Average Annual Total Return*
- -------------------------------
BlackRock Index
--------- -----
<S> <C> <C>
12 Months to June 30, 1997 8.69 8.16
Inception to June 30, 1997 4.68 4.50
<FN>
*The portfolio total returns reports are net of portfolio operating expenses
but do not reflect any insurance or administrative charges that apply to the
separate account. Furthermore, the portfolio's performance reflects the
absorption of certain fund expenses by Western National Life Insurance
Company. Had these expenses not been absorbed, the total returns would have
been lower. Performance data represent past performance and neither guarantee
nor predict future results. The investment return and accumulation value of
the portfolios will fluctuate, and the redemption value may be higher or lower
than an investor's original cost. The Salomon Brothers Broad Investment
Grade Bonus Index does not include any expenses.
</TABLE>
<TABLE>
<CAPTION>
June 30, 1997 Fund Facts
- ----------------------------
<S> <C>
Date of Inception 1/2/96
Net Assets $ 3,644,429
Net Asset Value per Share $ 9.79
Manager BlackRock Financial
Management
</TABLE>
<PAGE>
WNL SERIES TRUST
CREDIT SUISSE INTERNATIONAL EQUITY PORTFOLIO
Vs.
Morgan Stanley Composite Index - EAFE
Comparative Performance of $10,000 Investment at 10/20/95
<TABLE>
<CAPTION>
Credit Suisse Index
------------- ---------
<S> <C> <C>
Inception Date 10/20/95 10,000.00 10,000.00
Inception to December 31, 1995 10,392.82 10,595.00
Inception to March 31, 1996 11,090.15 10,622.00
June 30, 1996 11,575.36 10,847.00
September 30, 1996 11,743.30 10,800.00
December 31, 1996 12,107.37 11,061.97
March 31, 1997 12,533.41 10,841.84
June 30, 1997 14,100.20 12,202.49
</TABLE>
<TABLE>
<CAPTION>
Average Annual Total Return*
- -------------------------------
Credit Suisse Index
------------- -----
<S> <C> <C>
12 Months to June 30, 1997 21.81 11.07
Inception to June 30, 1997 22.42 12.91
<FN>
*The portfolio total returns reports are net of portfolio operating expenses
but do not reflect any insurance or administrative charges that apply to the
separate account. Furthermore, the portfolio's performance reflects the
absorption of certain fund expenses by Western National Life Insurance
Company. Had these expenses not been absorbed, the total returns would have
been lower. Performance data represent past performance and neither guarantee
nor predict future results. The investment return and accumulation value of
the portfolios will fluctuate, and the redemption value may be higher or lower
than an investor's original cost. The Morgan Stanley Composit Index - EAFE
does not include any expenses.
</TABLE>
<TABLE>
<CAPTION>
June 30, 1997 Fund Facts
- ----------------------------
<S> <C>
Date of Inception 10/20/95
Net Assets $ 3,770,308
Net Asset Vallue per Share $ 12.37
Manager Credit Suisse Asset
Management Ltd.
</TABLE>
<PAGE>
WNL SERIES TRUST
ELITEVALUE ASSET ALLOCATION PORTFOLIO
Vs.
Lipper Benchmark/ Flexible Portfolio Funds
Comparative Performance of $10,000 Investment at 1/2/96
<TABLE>
<CAPTION>
EliteValue Index
---------- ---------
<S> <C> <C>
Inception Date 1/2/96 10,000.00 10,000.00
Inception to March 31, 1996 10,706.44 10,285.00
June 30, 1996 10,935.58 10,567.10
September 30, 1996 11,595.62 10,794.00
December 31, 1996 12,669.85 11,407.00
March 31, 1997 12,758.30 11,427.53
June 30, 1997 14,251.32 12,585.14
</TABLE>
<TABLE>
<CAPTION>
Average Annual Total Return*
- -------------------------------
EliteValue Index
---------- -----
<S> <C> <C>
12 Months to June 30, 1997 30.32 18.40
Inception to June 30, 1997 26.72 16.10
<FN>
*The portfolio total returns reports are net of portfolio operating expenses
but do not reflect any insurance or administrative charges that apply to the
separate account. Furthermore, the portfolio's performance reflects the
absorption of certain fund expenses by Western National Life Insurance
Company. Had these expenses not been absorbed, the total returns would have
been lower. Performance data represent past performance and neither guarantee
nor predict future results. The investment return and accumulation value of
the portfolios will fluctuate, and the redemption value may be higher or lower
than an investor's original cost. The Lipper Benchmark/Flexible Portfolio
Funds does not include any expenses.
</TABLE>
<TABLE>
<CAPTION>
June 30, 1997 Fund Facts
- ----------------------------
<S> <C>
Date of Inception 1/2/96
Net Assets $ 5,269,107
Net Asset Value per share $ 13.76
Manager OpCap Advisors
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
GLOBAL ADVISORS GROWTH EQUITY PORTFOLIO
Vs.
Standard & Poor's 500/Stock Incex
Comparative Performance of $10,000 Investment at 10/20/95
Growth &
Equity Index
--------- ---------
<S> <C> <C>
Inception Date 10/20/95 10,000.00 10,000.00
Inception to December 31, 1995 10,356.78 10,532.00
Inception to March 31, 1996 10,852.72 11,104.94
June 30, 1996 11,414.02 11,605.77
September 30, 1996 11,623.71 11,960.91
December 31, 1996 12,569.22 12,962.04
March 31, 1997 12,569.60 13,310.72
June 30, 1997 14,704.98 15,632.11
</TABLE>
<TABLE>
<CAPTION>
Average Annual Total Return* Growth & Equity Index
- ---------------------------- --------------- -----
<S> <C> <C>
12 Months to June 30, 1997 28.83 31.99
Inception to June 30, 1997 25.48 28.11
<FN>
*The portfolio total returns reports are net of portfolio operating expenses
but do not reflect any insurance or administrative charges that apply to the
separate account. Furthermore, the portfolio's performance reflects the
absorption of certain fund expenses by Western National Life Insurance
Company. Had these expenses not been absorbed, the total returns would have
been lower. Performance data represent past performance and neither guarantee
nor predict future results. The investment return and accumulation value of
the portfolios will fluctuate, and the redemption value may be higher or lower
than an investor's original cost. The Standard & Poor's 500 / Stock Index
does not include any expenses.
</TABLE>
<TABLE>
<CAPTION>
June 30, 1997 Fund Facts
- ----------------------------
<S> <C>
Date of Inception 10/20/95
Net Assets $ 5,134,928
Net Asset Value per Share $ 13.78
Manager State Street Global
Advisors
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
GLOBAL ADVISORS MONEY MARKET PORTFOLIO
Vs.
91 Day Treasury Bill Index (Auction Average)
Comparative Performance of $10,000 Investment at 10/10/95
Money Market Index
------------ ---------
<S> <C> <C>
Inception Date 10/10/95 10,000.00 10,000.00
Inception to December 31, 1995 10,117.26 10,135.61
Inception to March 31, 1996 10,240.47 10,264.16
June 30, 1996 10,366.75 10,393.62
September 30, 1996 10,503.63 10,530.37
December 31, 1996 10,642.27 10,663.37
March 31, 1997 10,782.67 10,795.60
June 30, 1997 10,927.33 10,930.54
</TABLE>
<TABLE>
<CAPTION>
Average Annual Total Return*
- -------------------------------
Money Market Index
------------ -----
<S> <C> <C>
12 Months to June 30, 1997 5.05 5.17
Inception to June 30, 1997 5.27 5.41
<FN>
*The portfolio total returns reports are net of portfolio operating expenses
but do not reflect any insurance or administrative charges that apply to the
separate account. Furthermore, the portfolio's performance reflects the
absorption of certain fund expenses by Western National Life Insurance
Company. Had these expenses not been absorbed, the total returns would have
been lower. Performance data represent past performance and neither guarantee
nor predict future results. The investment return and accumulation value of
the portfolios will fluctuate, and the redemption value may be higher or lower
than an investor's original cost. The 91-Day Treasury Index does not include
any expenses.
As with all money market funds, an investment in the Global Advisors Money
Market Portfolio is neither insured nor guaranteed by the U.S. Government.
Although the Portfolio strives to maintain a stable net asset value of $1.00
per share, there can be no assurance that this objective will be met.
</TABLE>
<TABLE>
<CAPTION>
June 30, 1997 Fund Facts
- ----------------------------
<S> <C>
Date of Inception 10/10/95
Net Assets $ 3,290,304
Net Asset Value per Share $ 1.00
Manager State Street Global
Advisors
</TABLE>
<PAGE>
- ------
<TABLE>
<CAPTION>
WNL SERIES TRUST
SALOMON BROTHERS U. S. GOVERNMENT SECURITIES PORTFOLIO
Vs.
Treasury 1 to 10 Year Index
Comparative Performance of $10,000 Investment at 2/6/96
Salomon Bros Index
------------ ---------
<S> <C> <C>
Inception Date 2/6/96 10,000.00 10,000.00
Inception to March 31, 1996 9,813.18 9,848.00
June 30, 1996 9,872.93 9,915.00
September 30, 1996 10,073.49 10,102.00
December 31, 1996 10,340.05 10,455.00
March 31, 1997 10,362.37 10,457.09
June 30, 1997 10,686.91 10,788.58
</TABLE>
<TABLE>
<CAPTION>
Average Annual Total Return*
- -------------------------------
Salomon Bros Index
------------ -----
<S> <C> <C>
12 Months to June 30, 1997 8.24 7.90
Inception to June 30, 1997 4.86 5.71
<FN>
*The portfolio total returns reports are net of portfolio operating expenses
but do not reflect any insurance or administrative charges that apply to the
separate account. Furthermore, the portfolio's performance reflects the
absorption of certain fund expenses by Western National Life Insurance
Company. Had these expenses not been absorbed, the total returns would have
been lower. Performance data represent past performance and neither guarantee
nor predict future results. The investment return and accumulation value of
the portfolios will fluctuate, and the redemption value may be higher or lower
than an investor's original cost. The Treasury 1 to 10 Year Index does not
include any expenses.
</TABLE>
<TABLE>
<CAPTION>
June 30, 1997 Fund Facts
- ----------------------------
<S> <C>
Date of Inception 2/6/96
Net Assets $ 2,503,298
Net Asset Value per Share $ 9.82
Manager Salomon Brothers
Asset Management
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
VAN KAMPEN AMERICAN CAPITAL EMERGING BROWTH PORTFOLIO
Vs.
Lipper Benchmark / Mid-Cap Funds
Comparative Performance of $10,000 Investment at 1/2/96
American
Capital Index
---------- ---------
<S> <C> <C>
Inception Date 1/2/96 10,000.00 10,000.00
Inception to March 31, 1996 10,791.13 10,757.00
June 30, 1996 11,957.31 11,221.00
September 30, 1996 12,377.42 11,511.00
December 31, 1996 11,906.29 11,628.00
March 31, 1997 10,989.41 10,803.57
June 30, 1997 12,949.78 12,518.10
</TABLE>
<TABLE>
<CAPTION>
Average Annual Total Return*
- -------------------------------
American
Capital Index
---------- -----
<S> <C> <C>
12 Months to June 30, 1997 8.30 12.06
Inception to June 30, 1997 18.86 17.60
<FN>
*The portfolio total returns reports are net of portfolio operating expenses
but do not reflect any insurance or administrative charges that apply to the
separate account. Furthermore, the portfolio's performance reflects the
absorption of certain fund expenses by Western National Life Insurance
Company. Had these expenses not been absorbed, the total returns would have
been lower. Performance data represent past performance and neither guarantee
nor predict future results. The investment return and accumulation value of
the portfolios will fluctuate, and the redemption value may be higher or lower
than an investor's original cost. The Lipper Benchmark / Mid-Cap Funds does
not include any expenses.
</TABLE>
<TABLE>
<CAPTION>
June 30, 1997 Fund Facts
- ----------------------------
<S> <C>
Date of Inception 1/2/96
Net Assets $ 3,417,936
Net Asset Value per Share $ 12.53
Manager Van Kampen American
Capital Asset Management, Inc.
</TABLE>
<PAGE>
WNL SERIES TRUST
FINANCIAL SCHEDULES
June 30, 1997
<PAGE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
BEA GROWTH AND INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
June 30, 1997 (unaudited)
SECURITY DESCRIPTION SHARES VALUE
- -------------------- -------- -----
<S> <C> <C>
COMMON STOCKS-56.1%
AEROSPACE-0.9%
Lockheed Martin Corporation 400 $ 41,425
--------
AUTOMOBILES-0.7%
General Motors Corporation 600 33,413
--------
BUSINESS SERVICES-4.3%
Automatic Data Processing Incorporated 1,000 47,000
GTECH Holdings Corporation (a) 1,500 48,375
MAXIMUS Incorporated (a) 6,300 112,612
--------
207,987
--------
CHEMICALS-1.1%
Eastman Chemical Company 800 50,800
--------
COMMUNICATION SERVICES-1.1%
AirTouch Communications Incorporated (a) 2,000 54,750
--------
COMPUTERS & BUSINESS EQUIPMENT-3.3%
Compaq Computer Corporation (a) 500 49,625
DST Systems Incorporated (a) 1,800 59,962
FactSet Research Systems Incorporated (a) 100 2,450
Hewlett-Packard Company 800 44,800
--------
156,837
--------
CONSTRUCTION MATERIALS-1.0%
Sherwin-Williams Company 1,600 49,400
--------
CONSTRUCTION & MINING EQUIPMENT-1.1%
Caterpillar Incorporated 500 53,688
--------
DOMESTIC OIL-0.8%
USX-Marathon Group 1,300 37,538
--------
DRUGS & HEALTH CARE-8.8%
American Home Products Corporation 600 45,900
Amgen Incorporated 600 34,875
Barr Laboratories Incorporated (a) 2,250 99,000
IVAX Corporation (a) 8,400 93,975
Smithkline Beecham PLC ADR 800 73,300
Warner-Lambert Company 600 74,550
--------
421,600
--------
ELECTRICAL EQUIPMENT-1.6%
Emerson Electric Company 1,400 77,087
--------
ELECTRONICS-1.4%
Newbridge Networks Corporation 1,500 65,250
--------
</TABLE>
. The accompanying notes are an integral part of the financial statements.
<PAGE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
BEA GROWTH AND INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 1997 (unaudited)
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ --------
<S> <C> <C>
COMMON STOCKS-(continued)
FINANCE & BANKING-3.3%
BB & T Corporation (a) 1,200 $ 54,000
Charles Schwab Corporation 1,200 48,825
Wells Fargo & Company 200 53,900
--------
156,725
--------
FOOD & BEVERAGES-1.2%
Heinz (H.J.) Company 1,200 55,350
--------
HOUSEHOLD APPLIANCES & HOME FURNISHINGS-1.2%
Newell Company (a) 1,500 59,438
--------
HOUSEHOLD PRODUCTS-2.2%
Clorox Company 300 39,600
Gillette Company 700 66,325
--------
105,925
--------
INDUSTRIAL MACHINERY-3.7%
Allied Products Corporation 200 6,625
Dover Corporation 800 49,200
General Electric Company 1,000 65,375
Tyco International Limited 800 55,650
--------
176,850
--------
INSURANCE-4.0%
Ace Limited 900 66,487
American International Group Incorporated 400 59,750
Exel Limited 1,200 63,300
--------
189,537
--------
INTERNATIONAL OIL-2.5%
Exxon Corporation 1,000 61,500
Mobil Corporation 800 55,900
--------
117,400
--------
NEWSPAPERS-0.8%
Gannett Company Incorporated 400 39,500
--------
PAPER-1.1%
Schweitzer-Mauduit International Incorporated 1,400 52,500
--------
PHOTOGRAPHY-0.6%
Eastman Kodak Company 400 30,700
--------
PLASTICS-1.0%
Sealed Air Corporation (a) 1,000 47,500
--------
PUBLISHING-1.9%
Hollinger International Incorporated 3,500 39,156
Tribune Company 1,100 52,869
--------
92,025
--------
</TABLE>
. The accompanying notes are an integral part of the financial statements.
<PAGE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
BEA GROWTH AND INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 1997 (unaudited)
Security Description SHARES VALUE
- --------------------- ------ ----------
<S> <C> <C>
COMMON STOCKS-(continued)
REAL ESTATE-1.6%
Starwood Lodging Trust 1,000 $ 42,687
TriNet Corporate Realty Trust Incorporated 1,100 36,369
----------
79,056
----------
SOFTWARE-1.3%
Microsoft Corporation (a) 500 63,188
----------
TELECOMMUNICATIONS-2.5%
Iridium World Communications Limited (a) 6,500 117,812
----------
TRUCKING & FREIGHT FORWARDING-1.1%
Federal Express Corporation (a) 900 51,975
----------
TOTAL COMMON STOCKS-(Cost $2,153,128) 2,685,256
----------
</TABLE>
<TABLE>
<CAPTION>
Principal
AMOUNT
----------
<S> <C> <C>
MUNICIPALS-0.8%
New Jersey Economic Development Authority
0.00%, 02/15/2008 . $ 20,000 9,447
7.43%, 02/15/2029 . 20,000 20,000
0.00%, 02/15/2011 . 25,000 9,301
------
TOTAL MUNICIPALS-(Cost $38,748) 38,748
------
CORPORATE BONDS-6.8%
BROADCASTING-0.4%
Belo (A.H.) Corporation
6.88%, 06/01/2002 . 20,000 19,999
------
COMPUTERS & BUSINESS EQUIPMENT-0.3%
Seagate Technology
7.45%, 03/01/2037 . 15,000 15,071
------
DRUGS & HEALTH CARE-1.2%
Merck & Company
5.76%, 05/03/2037 . 35,000 35,357
Tenet Healthcare Corporation
8.63%, 12/01/2003 . 10,000 10,350
7.88%, 01/15/2003 . 10,000 10,025
------
55,732
------
</TABLE>
. The accompanying notes are an integral part of the financial statements.
<PAGE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
BEA GROWTH AND INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 1997 (unaudited)
Principal
Security Description AMOUNT VALUE
- -------------------- ---------- -------
<S> <C> <C>
CORPORATE BONDS-(continued)
ELECTRIC UTILITIES-1.0%
Beaver Valley II Funding Corporation
9.00%, 06/01/2017 . $ 25,000 $26,101
Long Island Lighting Company
9.00%, 11/01/2022 . 10,000 10,950
Niagara Mohawk Power Corporation
5.88%, 09/01/2002 . 10,000 9,274
-------
46,325
-------
FINANCE & BANKING-1.7%
A T & T Capital Corporation
6.28%, 06/09/1998 . 25,000 25,032
Chase Manhattan Corporation
7.25%, 06/01/2007 . 10,000 10,043
Citicorp
7.20%, 06/15/2007 . 10,000 10,023
General Motors Acceptance Corporation
6.63%, 04/24/2000 . 30,000 30,020
UCC Investors Holding Incorporated
0.00%, 05/01/2005 . 5,000 4,638
-------
79,756
-------
INDUSTRIALS-0.2%
Fresh Delmonte Produce NV
10.00%, 05/01/2003 . 10,000 10,325
LEISURE TIME-1.0%
Time Warner Incorporated
9.15%, 02/01/2023 . 10,000 11,045
6.85%, 01/15/2026 . 35,000 34,428
-------
45,473
-------
TELECOMMUNICATIONS-0.5%
ICG Holdings Incorporated
0.00%, 05/01/2006 . 10,000 6,700
Nextel Communications, Inc.
0.00%, 09/01/2003 . 10,000 8,650
Summit Communications Group Incorporated
10.50%, 04/15/2005 . 10,000 10,863
-------
26,213
-------
TRANSPORTATION-0.5%
Norfolk Southern Corporation
6.95%, 05/01/2002 . 10,000 10,058
7.05%, 05/01/2037 . 15,000 15,224
-------
25,282
-------
TOTAL CORPORATE BONDS-(Cost $319,693) 324,176
-------
</TABLE>
. The accompanying notes are an integral part of the financial statements.
<PAGE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
BEA GROWTH AND INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 1997 (unaudited)
Principal
Security Description AMOUNT VALUE
- -------------------- ---------- -------
<S> <C> <C>
FOREIGN CORPORATE BONDS-1.4%
BROADCASTING-0.2%
Rogers Cantel Incorporated
9.38%, 06/01/2008 . $ 10,000 $10,550
-------
FINANCE-0.2%
App International Finance Co B V
11.75%, 10/01/2005 . 10,000 11,025
-------
FINANCE & BANKING-0.6%
Midland Bank
5.88%, 12/31/1999 . 10,000 9,020
National Westminster Bank PLC
6.06%, 12/31/2099 . 10,000 9,096
Royal Bank of Canada
5.75%, 06/29/2085 . 10,000 9,150
-------
27,266
-------
FINANCIAL SERVICES-0.4%
Auxiliaire Credit Foncier
5.91%, 10/22/2002 . 10,000 9,650
Credit Foncier De France
8.00%, 01/14/2002 . 10,000 10,376
-------
20,026
-------
TOTAL FOREIGN CORPORATE BONDS-(Cost $68,324) 68,867
-------
FOREIGN GOVERNMENT BONDS-0.5%
Government of Poland
6.50%, 10/27/2024 . 10,000 9,788
United Mexican States
11.38%, 09/15/2016 . 10,000 11,250
-------
TOTAL FOREIGN GOVERNMENT BONDS-(Cost $19,155) 21,038
-------
ASSET-BACKED SECURITIES-3.5%
FINANCE & BANKING-1.6%
Green Tree Financial Corporation
Series 1997-3,Class A3, 6.73%, 07/15/2028. 35,000 35,131
Metris Master Trust
Series 1997-1, Class A, 6.87%, 10/20/2005. 15,000 15,085
Sears Credit Account Master Trust II
Series 1996-1, Class A, 6.20%, 02/16/2006 . 25,000 24,703
-------
74,919
-------
</TABLE>
. The accompanying notes are an integral part of the financial statements.
<PAGE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
BEA GROWTH AND INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 1997 (unaudited)
Principal
Security Description AMOUNT VALUE
- --------------------- ---------- --------
<S> <C> <C>
ASSET-BACKED SECURITIES-(continued)
FINANCIAL SERVICES-1.9%
Asset Securitization Corporation
Series 1995-MD4, Class A1, 7.10%, 08/13/2029 . $ 19,554 $ 19,820
Series 1996-D3, Class A1B, 7.21%, 10/31/2026 . 15,000 15,279
Chase Commercial Mortgage Securities Corporation
Series 1997-1, Class A2, 7.37%, 02/19/2007 . 20,000 20,269
Merrill Lynch Mortgage Investments Incorporated
Series 1997-C1, Class A3, 7.12%, 06/18/2029 . 10,000 10,097
Nationscredit Grantor Trust
Series 1996-1, Class A, 5.85%, 09/15/2011 . 17,272 16,906
Structured Asset Securities Corporation
Series 1996-CFL, Class A1C, 5.94%, 02/25/2028 10,000 9,768
92,139
TOTAL ASSET-BACKED SECURITIES-(Cost $166,927) 167,058
PREFERRED STOCK-0.5%
FINANCE & BANKING-0.5%
(Cost $23,265)
California Federal Preferred Capital Corporation 900 23,231
U.S. GOVERNMENT AND AGENCY SECURITIES-26.0%
FEDERAL AGENCIES-11.2%
Federal Home Loan Mortgage Corporation
6.50%, 12/01/2099 TBA 65,000 63,740
7.00%, 03/01/2011 . 21,487 21,516
7.00%, 05/01/2012 . 24,906 24,867
7.00%, 12/01/2025 . 73,837 73,237
7.00%, 05/01/2027 . 74,137 73,534
6.00%, 08/15/2007 . 25,000 24,678
Federal National Mortgage Association
6.50%, 09/01/2025 . 23,354 22,354
7.00%, 12/01/2009 . 18,528 18,592
7.00%, 03/01/2011 . 38,747 38,727
7.00%, 11/01/2025 . 22,689 22,264
7.00%, 12/01/2025 . 65,166 63,944
Government National Mortgage Association 6.00%, 01/20/2027 . 45,152 45,519
9.00%, 10/15/2017 . 14,135 15,177
Tennessee Valley Authority
5.98%, 04/01/2036 . 30,000 30,242
--------
538,391
--------
</TABLE>
. The accompanying notes are an integral part of the financial statements.
<PAGE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
BEA GROWTH AND INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 1997 (unaudited)
Principal
Security Description AMOUNT VALUE
- -------------------- ---------- -----------
<S> <C> <C>
U.S. GOVERNMENT AND AGENCY SECURITIES-(continued)
U.S. GOVERNMENT-14.8%
United States Treasury Bonds
7.13%, 02/15/2023 . $ 25,000 $ 25,750
7.63%, 02/15/2025 . 155,000 169,725
10.75%, 08/15/2005 . 15,000 18,919
United States Treasury Notes
6.63%, 06/30/2001 . 220,000 222,062
7.50%, 02/15/2005 . 20,000 21,162
7.75%, 11/30/1999 . 70,000 72,439
7.88%, 11/15/2004 . 165,000 178,071
----------
708,128
----------
TOTAL U.S. GOVERNMENT AND AGENCY SECURITIES-(Cost $1,239,524) 1,246,519
----------
REPURCHASE AGREEMENT-6.8%
(Cost $326,000)
State Street Bank and Trust Company , 2.00% dated
6/30/97, to be repurchased at $326,018 on 07/01/97,
collateralized by $325,000 par value U.S. Treasury Note,
6.25% due 07/31/1998, with a value of $334,815 . 326,000 326,000
----------
TOTAL INVESTMENTS-(Cost $4,354,764*)-102.4% 4,900,893
OTHER ASSETS LESS LIABILITIES-(2.4)% (113,478)
----------
NET ASSETS-100.0% $4,787,415
----------
<FN>
(a)-Non-income producing security
ADR-American Depositary Receipt
TBA-To Be Announced
*-Aggregate cost for Federal tax purposes. Aggregate gross unrealized appreciation
for all securities in which there is an excess of value over tax cost and aggregate
gross unrealized depreciation for all securities in which there is an excess of tax
cost over value were $567,468 and $21,339, respectively, resulting in net unrealized
appreciation of $546,129.
</TABLE>
. The accompanying notes are an integral part of the financial statements.
<PAGE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
BLACKROCK MANAGED BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
June 30, 1997 (unaudited)
Principal
Security Description AMOUNT VALUE
- -------------------- ---------- --------
<S> <C> <C>
CORPORATE BONDS-17.9%
FINANCE & BANKING-11.7%
American Savings Bank of Irvine California
6.63%, 02/15/2006 . $ 50,000 $ 47,899
Finova Capital Corporation
7.13%, 05/17/2004 . 50,000 50,222
GMAC Grantor Trust
6.50%, 04/15/2002 . 78,297 78,566
GMAC Pass Through Trust
6.38%, 09/30/1998 . 50,000 50,070
Merrill Lynch & Company, Inc.
6.47%, 06/27/2000 . 50,000 49,850
Residential Accredit Loans Incorporated
7.50%, 08/15/2027 . 100,000 100,625
Residential Asset Securities
7.50%, 09/25/2027 . 50,000 50,321
--------
427,553
--------
HOTELS & RESTAURANTS-0.8%
ITT Corporation
7.38%, 11/15/2015 . 30,000 27,908
--------
INDUSTRIALS-2.7%
Nabisco Incorporated
7.05%, 07/15/2007 50,000 49,194
News America Holdings Incorporated
7.75%, 12/01/2045 . 50,000 46,800
--------
95,994
--------
UTILITIES-2.7%
Texas Utilities Electric Company
7.88%, 04/01/2024 . 100,000 99,508
--------
TOTAL CORPORATE BONDS-(Cost $646,658) 650,963
--------
FOREIGN CORPORATE BONDS-6.3%
FINANCE & BANKING-1.3%
Crown Cork & Seal Financial Savings
6.75%, 12/15/2003 . 50,000 49,274
--------
SOVEREIGN & PROVINCIAL-2.2%
Fairfax Financial Holdings Limited
8.30%, 04/15/2026 . 50,000 51,899
Republic of Columbia
7.63%, 02/15/2007 . 30,000 29,280
--------
81,179
--------
</TABLE>
. The accompanying notes are an integral part of the financial statements.
<PAGE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
BLACKROCK MANAGED BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 1997 (unaudited)
Principal
Security Description AMOUNT VALUE
- --------------------- ---------- --------
<S> <C> <C>
FOREIGN CORPORATE BONDS-(continued)
UTILITIES-2.8%
Hydro Quebec
7.50%, 04/01/2016 . $ 50,000 $ 49,544
Tenaga Nasional Bhd.
7.63%, 04/29/2007 . 50,000 51,263
--------
100,807
--------
TOTAL FOREIGN CORPORATE BONDS-(Cost $228,436) 231,260
--------
MULTIPLE CLASS MORTGAGE PASS THROUGHS-3.7%
FINANCIAL SERVICES-3.7%
Community Program Loan Trust
Series 1987-A, Class A4, 4.50%, 10/01/2018 . 95,949 82,126
GS Mortgage Security Corporation
Series 1996-PL, Class A2, 7.41%, 02/15/2027 . 50,000 50,914
--------
TOTAL MULTIPLE CLASS MORTGAGE PASS THROUGHS-(Cost $135,023) 133,040
--------
DISCOUNT NOTES-22.2%
FEDERAL AGENCIES-22.2%
(Cost $810,000)
Federal Home Loan Bank Consolidated Discount Notes
6.00%, 07/01/1997 (a) ** 810,000 810,000
--------
ASSET-BACKED SECURITIES-11.9%
FINANCIAL SERVICES-11.9%
Chase Manhattan Auto Owner Trust
Series 1997-B, Class A3, 6.35%, 02/15/2001 . 50,000 50,039
CS First Boston Mortgage Securities Corporation
Series 1996-2, Class A1, 5.70%, 06/15/2027 . 33,195 33,138
Discover Card Master Trust I
Series 1996-4, Class A, 5.81%, 10/16/2013 . 60,000 60,768
First Union-Lehman Brothers Commercial Mortgage Trust
Series 1997-C1, Class A3, 7.38%, 06/18/2029 . 50,000 51,125
Green Tree Financial Corporation
Series 1993-4, Class A4, 6.60%, 01/15/2019 . 50,000 49,500
Series 1996-2, Class B2, 7.90%, 04/15/2027 . 50,000 49,312
Series 1996-9, Class A6, 7.69%, 01/15/2028 . 50,000 51,047
Nissan Auto Receivables
Series 1995-A, Class A, 6.10%, 08/15/2001 . 40,628 40,603
Standard Credit Card Master Trust I
Series 1995-1, Class A, 8.25%, 01/07/2007 . 35,000 37,461
Structured Asset Securities Corporation
Series 1996-CFL, Class A1B, 5.75%, 02/25/2028. 11,979 11,936
--------
TOTAL ASSET-BACKED SECURITIES-(Cost $434,684) 434,929
--------
</TABLE>
. The accompanying notes are an integral part of the financial statements.
<PAGE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
BLACKROCK MANAGED BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 1997 (unaudited)
Principal
Security Description AMOUNT VALUE
- -------------------- ---------- -----------
<S> <C> <C>
U.S. GOVERNMENT SECURITIES-41.6%
FEDERAL AGENCIES-20.5%
Federal Home Loan Mortgage Corporation
6.50%, 03/01/2026 . $ 487,686 $ 467,720
6.50%, 04/01/2026 . 290,832 278,925
-----------
746,645
-----------
FINANCIAL SERVICES-2.7%
Small Business Administration
Series 1996-10, Class C, 7.35%, 08/01/2006 . 50,000 50,562
Small Business Administration
Series 1996-20, Class E, 7.60%, 05/01/2016 . 48,040 49,375
-----------
99,937
-----------
U.S. GOVERNMENT-18.4%
United States Treasury Bonds
6.50%, 11/15/2026 . 75,000 71,930
6.63%, 02/15/2027 . 50,000 48,922
United States Treasury Notes
5.88%, 11/15/1999 . 300,000 298,077
6.25%, 01/31/2002 . 50,000 49,727
6.63%, 04/30/2002 . 120,000 121,106
6.38%, 05/15/2000 . 80,000 80,287
-----------
670,049
-----------
TOTAL U.S. GOVERNMENT SECURITIES-(Cost $1,517,366) 1,516,631
-----------
TOTAL INVESTMENTS-(Cost $3,772,167*)-103.6% 3,776,823
OTHER ASSETS LESS LIABILITIES-(3.6)% (132,394)
-----------
NET ASSETS-100.0% $3,644,429
-----------
</TABLE>
<TABLE>
<CAPTION>
SCHEDULE OF OPEN FUTURES CONTRACTS AT JUNE 30, 1997
- -----------------------------------------------------------
NUMBER OF CONTRACT TOTAL CONTRACT UNREALIZED
CONTRACTS DESCRIPTION VALUE GAIN (LOSS)
- --------- ----------- ---------- ------------
<C> <S> <C> <C>
1 U.S. 2 Year Note September 1997 (short) $(206,016) $ (457)
6 U.S. 10 Year Note September 1997 (short) (647,250) (9,308)
1 U.S. 10 Year Note September 1997 (short) (107,875) (161)
3 U.S. 5 Year Note September 1997 (long) 317,672 2,470
4 U.S. 30 Year Note September 1997 (long) 444,250 1,833
-------
$(5,623)
<FN>
**-The rate shown reflects the current yield at June 30, 1997
- -$50,000 par value of Nabisco Incorporated has been pledged as collateral for
initial margin for futures contracts.
*-Aggregate cost for Federal tax purposes. Aggregate gross unrealized
appreciation for all securities in which there is an excess of value over tax
cost and aggregate gross unrealized depreciation for all securities in which
there is an excess of tax cost over value were $18,419 and $13,763,
respectively, resulting in net unrealized appreciation of $4,656.
</TABLE>
. The accompanying notes are an integral part of the financial statements.
<PAGE>
WNL SERIES TRUST
CREDIT SUISSE INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
June 30, 1997 (unaudited)
<TABLE>
<CAPTION>
Security Description SHARES VALUE
- --------------------- ------ --------
<S> <C> <C>
COMMON STOCKS-80.9%
AUSTRALIA-0.5%
Foster's Brewing Group Limited 10,500 $ 19,521
--------
CANADA-0.7%
Rogers Communications Incorporated (a) 4,000 24,910
--------
CHILE-3.1%
Five Arrows Chile Investment Trust Limited 20,000 67,600
Genesis Chile Fund 1,000 50,250
--------
117,850
--------
CROATIA-1.3%
Pliva D.D. GDR (a) 2,960 48,100
--------
CZECH REPUBLIC-1.6%
Ateso 2,000 29,055
Galena (a) 600 29,796
--------
58,851
--------
FRANCE-5.9%
Alcatel Alsthom SA 130 16,281
AXA SA 348 21,644
BIC SA 138 22,567
Cie de Saint Gobain 165 24,062
Cie Generale de Eaux 175 22,423
Cofinec GDR (a) 1,700 46,963
Sanofi SA 230 22,543
Total SA 250 25,269
Valeo SA 310 19,254
--------
221,006
--------
GERMANY-4.8%
Altana AG 23 24,529
Bayer AG 544 20,904
Bayerische Motoren Werke AG 26 21,511
Hoechst AG 560 23,754
Mannesmann AG 62 27,621
Siemens AG 400 23,749
Volkswagen AG 50 38,329
--------
180,397
--------
HONG KONG-7.2%
Beijing Datang Power Generation
Company Limited (a) 43,000 19,842
China Light & Power Company Limited 4,000 22,666
China Merchants Hai Hong Holdings 20,000 62,215
China Resources Beijing Land 22,000 16,328
Citic Pacific Limited 4,000 24,989
Hang Seng Bank Limited 1,300 18,542
HKR International Limited 13,300 18,455
Lai Sun Development 20,000 22,460
Peregrine Investment Holdings Limited 6,000 12,353
Shum Yip Investment Limited (a) 22,000 24,421
Wing Hang Bank Limited 4,800 28,996
--------
271,267
--------
</TABLE>
. The accompanying notes are an integral part of the financial statements.
<PAGE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
CREDIT SUISSE INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 1997 (unaudited)
Security Description SHARES VALUE
- -------------------- ------ --------
<S> <C> <C>
COMMON STOCKS-(continued)
HUNGARY-2.4%
Intermediate Europa Bank Right 100 $ 24,827
MOL Magyar Olaj-es Gazipari GDR (a) 600 13,425
Primagaz Hungaria Company Limited 1,000 54,460
--------
92,712
--------
INDIA-2.0%
India Fund 8,000 76,500
--------
INDONESIA-1.3%
Bimantara Citra 10,000 17,476
PT Bank Bali 6,000 16,036
PT Telekomunikasi Indonesia 9,000 14,710
--------
48,222
--------
ISRAEL-0.7%
Koor Industries Limited ADR 1,500 26,437
--------
ITALY-2.0%
Ente Nazionale Idrocarburi SPA 4,270 24,182
Telecom Italia Mobile SPA 16,450 51,244
--------
75,426
--------
JAPAN-16.9%
Amada Company 3,000 26,435
Banyu Pharmaceutical Company 2,000 35,072
Daiwa Securities 8,000 63,095
East Japan Railway 6 30,780
Eisai Company 1,500 28,398
Fanuc 1,000 38,388
Honda Motor Company 1,000 30,100
Japan Airport Terminal 2,000 24,254
Japan Tobacco Incorporated 5 39,478
Maeda Road Construction 2,000 17,187
NEC Corporation 4,000 55,837
Nippon Telegraph & Telephone 9 86,372
Nomura Securities Limited 2,000 27,569
Santen Pharmaceutical Company 1,210 24,386
Sony Corporation 1,000 87,158
Sumitomo Osaka Cement Company Limited 7,000 21,986
--------
636,495
--------
KOREA-0.0%
Samsung Electronics Limited 144A GDR 3 174
--------
MALAYSIA-0.3%
Magnum Corporation Bhd. 9,000 13,550
--------
</TABLE>
. The accompanying notes are an integral part of the financial statements.
<PAGE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
CREDIT SUISSE INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 1997 (unaudited)
Security Description SHARES VALUE
- -------------------- ------ --------
<S> <C> <C>
COMMON STOCKS-(continued)
NETHERLANDS-4.0%
Ahold NV 315 $ 26,575
ING Groep NV 548 25,266
Oce Van Der Grinten NV 172 22,187
Unilever NV 120 25,260
Vendex International 500 27,383
Verenigde Nederlandse Uitgeversbedrijven
Verenigd Bezit 1,065 23,547
--------
150,218
--------
PERU-2.1%
Telefonica del Peru ADR 3,000 78,562
--------
PHILIPPINES-0.3%
Equitable Banking Corporation (a) 500 1,811
Hawaii Cement 50,000 9,478
--------
11,289
--------
RUSSIA-2.3%
Tatneft ADR (a) 800 85,600
--------
POLAND-2.3%
Gazprom ADR (a) 5,000 86,000
--------
PORTUGAL-0.6%
Elec De Portugal (a) 1,215 22,297
--------
SINGAPORE-1.4%
DBS Land Limited 8,000 25,292
Development Bank of Singapore 1,000 12,590
Singapore Press Holdings Limited 800 16,115
--------
53,997
--------
SLOVAKIA-1.3%
Slovenske Lodenice AS (a) 700 12,485
Vychodoslovenske Zeleziarne AS 2,000 37,455
--------
49,940
--------
SPAIN-2.0%
Banco Bilbao Vizcaya 330 26,808
Iberdrola SA 1,980 24,993
Telefonica de Espana 800 23,129
--------
74,930
--------
SWEDEN-2.0%
Atlas Copco AB 800 20,891
Electrolux AB 400 28,854
Telefonaktiebolaget LM Ericsson AB 630 24,799
--------
74,544
--------
</TABLE>
. The accompanying notes are an integral part of the financial statements.
<PAGE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
CREDIT SUISSE INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 1997 (unaudited)
Security Description SHARES VALUE
- -------------------- ------ ----------
<S> <C> <C>
COMMON STOCKS-(continued)
SWITZERLAND-3.2%
Adia SA 68 $ 26,082
Novartis AG 25 39,966
Roche Holdings AG 3 27,134
Schweizerische Rueckversicherungs-
Gesellschaft 19 26,873
----------
120,055
----------
UNITED KINGDOM-8.3%
Asda Group PLC 14,600 30,149
Courtaulds PLC 4,400 24,840
Dixons Group PLC 3,200 25,206
Electrocomponents PLC 5,100 37,964
EMI Group PLC 1,330 23,920
General Accident PLC 2,600 37,885
GKN PLC 1,800 30,875
Pearson PLC 2,100 24,340
Provident Financial PLC 2,850 26,578
TI Group PLC 3,150 27,461
Wolseley PLC 3,150 24,576
----------
313,794
----------
UNITED STATES-0.4%
Electric Fuel Corporation (a) 2,500 16,563
----------
16,563
----------
TOTAL COMMON STOCKS-(Cost $2,556,777) 3,049,207
</TABLE>
<TABLE>
<CAPTION>
Principal
AMOUNT
----------
<S> <C> <C>
CORPORATE BONDS-0.5%
(Cost $20,000)
China-0.5%
Qingling Motors Company
3.50% 01/22/2002 . $ 20,000 19,656
------
CONVERTIBLE BONDS-0.5%
(Cost $21,668)
THAILAND-0.5%
Siam Commercial Bank Public Company Limited
3.25%, 01/24/2004 . 30,000 19,113
------
SHARES
-------
WARRANTS-3.2%
FRANCE-0.0%
Cie Generale de Eaux (a) 175 105
------
HONG KONG-0.0%
Lai Sun Hotels International Limited 4,016 356
------
</TABLE>
. The accompanying notes are an integral part of the financial statements.
<PAGE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
CREDIT SUISSE INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 1997 (unaudited)
Security Description SHARES VALUE
- -------------------- ------- --------
<S> <C> <C>
WARRANTS-(continued)
JAPAN-3.2%
Fleming Japan Investor (a) 60,000 $ 51,958
Schroder Japan Growth Fund (a) 175,000 67,028
--------
118,986
--------
TOTAL WARRANTS-(Cost $180,134) 119,447
--------
PREFERRED STOCK-0.6%
(Cost $23,218)
GERMANY-0.6%
Henkel KGaA 415 23,557
--------
</TABLE>
<TABLE>
<CAPTION>
Principal
AMOUNT
----------
<S> <C> <C>
REPURCHASE AGREEMENT-14.6%
(Cost $551,000)
State Street Bank and Trust Company , 2.00% dated
6/30/97, to be repurchased at $551,031 on 07/01/97,
collateralized by $550,000 par value U.S. Treasury Note,
6.25% due 07/31/1998, with a value of $566,610. $ 551,000 551,000
-----------
TOTAL INVESTMENTS-(Cost $3,352,797*)-100.3% 3,781,980
OTHER ASSETS LESS LIABILITIES-(0.3)% (11,672)
NET ASSETS-100.0% $3,770,308
-----------
<FN>
(a)-Non-income producing security
GDR-Global Depositary Receipt
ADR-American Depositary Receipt
*-Aggregate cost for Federal tax purposes. Aggregate gross unrealized
appreciation for all securities in which there is an excess of value over tax cost
and aggregate gross unrealized depreciation for all securities in which there is
an excess of tax cost over value were $657,250 and $228,067, respectively,
resulting in net unrealized appreciation of $429,183.
</TABLE>
. The accompanying notes are an integral part of the financial statements.
<PAGE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
CREDIT SUISSE INTERNATIONAL EQUITY PORTFOLIO
ANALYSIS OF INDUSTRY CLASSIFICATIONS
June 30, 1997 (unaudited)
Percent of
Industry Net Assets
- -------- -----------
<S> <C>
Auto Parts 1.6%
Automobiles 2.9
Banks 3.9
Broadcasting 0.7
Business Services 1.3
Chemicals 2.5
Communication Services 5.2
Computers & Business Equipment 0.6
Conglomerates 2.5
Construction Materials 1.9
Construction & Mining Equipment 0.9
Consumer (non-durables) 0.6
Containers & Glass 2.3
Drugs & Health Care 7.4
Electric Utilities 2.2
Electrical Equipment 1.5
Electronics 2.0
Financial Services 7.5
Food & Beverages 1.1
Household Appliances & Home Furnishings 3.1
Household Products 0.7
Industrial Machinery 1.9
Insurance 2.3
Investment Companies 0.7
Leisure Time 1.0
Liquor 0.5
Miscellaneous 2.2
Mutual Funds 5.1
Oil & Gas 2.4
Petroleum Services 0.7
Publishing 1.1
Railroads & Equipment 0.8
Real Estate 3.2
Retail Trade 3.5
Telecommunications 7.9
-----------
TOTAL INVESTMENTS BY INDUSTRY CLASSIFICATION 85.7
Repurchase Agreement 14.6
TOTAL INVESTMENTS 100.3%
===========
</TABLE>
. The accompanying notes are an integral part of the financial statements.
<PAGE>
- ------
<TABLE>
<CAPTION>
WNL SERIES TRUST
ELITE VALUE ASSET ALLOCATION PORTFOLIO
SCHEDULE OF INVESTMENTS
June 30, 1997 (unaudited)
Security Description SHARES VALUE
- -------------------- ------ --------
<S> <C> <C>
COMMON STOCKS-78.6%
AEROSPACE-10.4%
Lockheed Martin Corporation 3,000 $310,687
McDonnell Douglas Corporation 3,500 239,750
--------
550,437
--------
APPAREL & TEXTILES-2.8%
Nike Incorporated 2,500 145,937
--------
BROADCASTING & CABLE-3.7%
Tele-Communications Incorporated 13,000 193,375
--------
CHEMICALS-7.6%
E.I. du Pont de Nemours and Company 3,800 238,925
Hercules Incorporated 2,000 95,750
Monsanto Company 1,500 64,594
--------
399,269
--------
COMMUNICATION SERVICES-0.3%
Loral Space & Communications (a) 1,000 15,000
--------
CONSTRUCTION & MINING EQUIPMENT-3.7%
Caterpillar Incorporated 1,800 193,275
--------
DRUGS & HEALTH CARE-1.2%
Becton, Dickinson & Company 1,200 60,750
--------
ELECTRICAL EQUIPMENT-1.0%
Arrow Electronics Incorporated (a) 1,000 53,125
--------
ELECTRONICS-3.8%
Intel Corporation 500 70,906
National Semiconductor Corporation (a) 2,400 73,500
Unitrode Corporation (a) 1,100 55,413
--------
199,819
--------
FINANCE & BANKING-12.6%
BankBoston Corporation 2,000 144,125
Citicorp 1,700 204,956
First Empire State Corporation 300 101,100
Wells Fargo & Company 800 215,600
--------
665,781
--------
FINANCIAL SERVICES-6.4%
American Express Company 1,400 104,300
Federal Home Loan Mortgage Corporation 5,000 171,875
Federal National Mortgage Association 1,400 61,075
--------
337,250
--------
GAS EXPLORATION-1.7%
Triton Energy Limited (a) 2,000 91,625
--------
HOTELS & RESTAURANTS-2.6%
McDonald's Corporation 2,800 135,275
--------
</TABLE>
. The accompanying notes are an integral part of the financial statements.
<PAGE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
ELITE VALUE ASSET ALLOCATION PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 1997 (unaudited)
Security Description SHARES VALUE
- -------------------- --------- --------
<S> <C> <C>
COMMON STOCKS-(continued)
INSURANCE-3.6%
Ace Limited 1,600 $ 118,200
Exel Limited 1,400 73,850
----------
192,050
----------
MANUFACTURING-4.7%
Tenneco Incorporated 2,500 112,969
Varian Associates Incorporated 2,500 135,625
----------
248,594
----------
PAPER-2.6%
Champion International Corporation 2,500 138,125
----------
RAILROADS & EQUIPMENT-4.0%
Union Pacific Corporation 3,000 211,500
----------
SOFTWARE-3.1%
Computer Associates International, Inc. 3,000 165,654
----------
TOYS & AMUSEMENTS-2.8%
Mattel Incorporated 4,300 145,663
----------
TOTAL COMMON STOCKS-(Cost $3,469,678) 4,142,504
----------
</TABLE>
<TABLE>
<CAPTION>
Principal
AMOUNT
----------
<S> <C> <C>
DISCOUNT NOTES-31.4%
FEDERAL AGENCIES-31.4%
Federal Farm Credit Bank
5.47%, 07/08/1997 **. $ 175,000 174,814
5.38%, 07/01/1997 **. 215,000 215,000
Federal Home Loan Bank Consolidated
Discount Notes
6.00%, 07/01/1997 (a) ** 250,000 250,000
5.39%, 08/04/1997 **. 115,000 114,415
5.39%, 08/25/1997 **. 185,000 183,476
Federal Home Loan Mortgage Corporation
5.40%, 07/24/1997 ** 720,000 717,516
-----------
TOTAL DISCOUNT NOTES-(Cost $1,655,222) 1,655,221
-----------
TOTAL INVESTMENTS-(Cost $5,124,900*)-110.0% 5,797,725
OTHER ASSETS LESS LIABILITIES-(10.0)% (528,618)
-----------
NET ASSETS-100.0% $5,269,107
===========
<FN>
(a)-Non-income producing security
**-The rate shown reflects the current yield at June 30, 1997
*-Aggregate cost for Federal tax purposes. Aggregate gross unrealized
appreciation for all securities in which there is an excess of value over tax
cost and net unrealized appreciation of $672,825.
</TABLE>
. The accompanying notes are an integral part of the financial statements.
<PAGE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
GLOBAL ADVISORS GROWTH EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
June 30, 1997 (unaudited)
Security Description SHARES VALUE
- -------------------- ------ --------
<S> <C> <C>
COMMON STOCKS-97.8%
AEROSPACE-0.8%
General Dynamics Corporation 400 $ 30,000
Litton Industries Incorporated (a) 200 9,649
--------
39,649
--------
AGRICULTURAL MACHINERY-0.6%
AGCO Corporation 800 28,750
--------
ALUMINUM-0.5%
Alumax Incorporated (a) 700 26,556
--------
APPAREL & TEXTILES-2.1%
Footstar Incorporated (a) 500 13,062
Intimate Brands Incorporated 1,900 39,900
Jones Apparel Group Incorporated (a) 600 28,650
Liz Claiborne Incorporated 300 13,987
Payless ShoeSource Incorporated (a) 200 10,938
106,537
--------
AUTOMOBILES-1.0%
Ford Motor Company 1,300 49,075
--------
BANKS-5.1%
AmSouth Bancorporation 900 34,031
BankAmerica Corporation 1,000 64,563
Barnett Banks Incorporated 200 10,500
Comerica Incorporated 500 34,000
First Union Corporation 700 64,750
Republic New York Corporation 500 53,750
--------
261,594
--------
BROADCASTING-0.3%
A.H. Belo Corporation 400 16,650
--------
BUSINESS SERVICES-0.7%
Accustaff Incorporated (a) 600 14,213
Olsten Corporation 1,200 23,325
--------
37,538
--------
CHEMICALS-3.2%
Dow Chemical Company 700 60,987
International Specialty Products Incorporated (a) 1,400 19,687
Lubrizol Corporation 400 16,775
Lyondell Petrochemical Company 600 13,088
Union Carbide Corporation 1,200 56,475
--------
167,012
--------
COMMUNICATION SERVICES-1.9%
AirTouch Communications Incorporated (a) 1,400 38,325
Lucent Technologies Incorporated 832 59,956
--------
98,281
--------
</TABLE>
. The accompanying notes are an integral part of the financial statements.
<PAGE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
GLOBAL ADVISORS GROWTH EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 1997 (unaudited)
Security Description SHARES VALUE
- -------------------- ------ --------
<S> <C> <C>
COMMON STOCKS-(continued)
COMPUTERS & BUSINESS EQUIPMENT-6.0%
Compaq Computer Corporation (a) 600 $ 59,550
Dell Computer Corporation (a) 400 46,975
Komag Incorporated (a) 800 13,100
Micron Electronics Incorporated (a) 300 5,351
Quantum Corporation 2,600 52,813
Sun Microsystems Incorporated (a) 800 29,775
Tandy Corporation 700 39,200
Western Digital Corporation (a) 1,200 37,950
Xerox Corporation 300 23,623
--------
308,337
--------
CONGLOMERATES-1.0%
Cooper Industries Incorporated 1,000 49,750
--------
CONSTRUCTION MATERIALS-1.3%
Johns Manville Corporation (a) 1,700 20,081
USG Corporation (a) 800 29,200
Vulcan Materials Company 200 15,700
64,981
--------
CONSTRUCTION & MINING EQUIPMENT-2.1%
Case Corporation 600 41,325
Caterpillar Incorporated 600 64,425
--------
105,750
--------
DOMESTIC OIL-1.7%
Pennzoil Company 700 53,725
Phillips Petroleum Company 800 35,000
--------
88,725
--------
DRUGS & HEALTH CARE-11.7%
Allegiance Corporation 1,300 35,425
American Home Products Corporation 400 30,600
Amgen Incorporated 900 52,313
Bergen Brunswig Corporation 1,250 34,844
Bristol Myers Squibb Company 1,100 89,100
Johnson & Johnson 200 12,875
Lincare Holdings Incorporated (a) 900 38,700
McKesson Corporation 300 23,250
Merck & Company Incorporated 1,000 103,500
Quorum Health Group Incorporated (a) 400 14,300
Schering-Plough Corporation 1,300 62,237
Tambrands Incorporated 400 19,950
Tenet Healthcare Corporation (a) 1,350 39,909
Watson Pharmaceuticals Incorporated (a) 200 8,450
Wellpoint Health Networks Incorporated (a) 800 36,700
--------
602,153
--------
</TABLE>
. The accompanying notes are an integral part of the financial statements.
<PAGE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
GLOBAL ADVISORS GROWTH EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 1997 (unaudited)
Security Description SHARES VALUE
- -------------------- ------ --------
<S> <C> <C>
COMMON STOCKS-(continued)
ELECTRIC UTILITIES-2.6%
Entergy Corporation 600 $ 16,108
Illinova Corporation 1,100 24,200
Long Island Lighting Company 800 18,400
Ohio Edison Company 400 8,725
Public Service Enterprise Group 1,500 37,500
Unicom Corporation 1,300 28,925
--------
133,858
--------
ELECTRICAL EQUIPMENT-0.5%
UCAR International Incorporated (a) 600 27,450
--------
ELECTRONICS-4.4%
Gateway 2000 Incorporated (a) 300 9,731
Intel Corporation 700 99,269
Motorola Incorporated 1,000 76,000
National Semiconductor Corporation (a) 1,100 33,688
Tektronix Incorporated 100 5,908
--------
224,596
--------
FINANCE & BANKING-1.0%
Morgan Stanley, Dean Witter, Discover
and Company (a) 400 17,225
Pacific Century Financial Corporation 300 13,875
Union Planters Corporation 400 20,750
--------
51,850
--------
FINANCIAL SERVICES-4.7%
Allstate Corporation 600 43,800
American Express Company 600 44,700
Bear Stearns Companies Incorporated 1,200 41,025
Green Tree Financial Corporation 1,400 49,875
Lehman Brothers Holdings Incorporated 300 12,150
Student Loan Marketing Association 200 25,400
The Money Store Incorporated 800 22,950
--------
239,900
FOOD & BEVERAGES-3.9%
Coca-Cola Company 900 60,750
ConAgra Incorporated 200 12,825
Heinz (H.J.) Company 600 27,675
Interstate Bakeries Corporation 700 41,519
McCormick & Company Incorporated 600 15,150
PepsiCo Incorporated 600 22,537
Quaker Oats Company 500 22,438
--------
202,894
FOREST PRODUCTS-0.4%
Deltic Timber Corporation 85 2,492
Fort Howard Corporation (a) 400 20,250
--------
22,742
--------
</TABLE>
. The accompanying notes are an integral part of the financial statements.
<PAGE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
GLOBAL ADVISORS GROWTH EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 1997 (unaudited)
Security Description SHARES VALUE
- -------------------- ------ --------
<S> <C> <C>
COMMON STOCKS-(continued)
GAS EXPLORATION-1.4%
Apache Corporation 600 $ 19,500
Burlington Resources Incorporated 100 4,412
Mitchell Energy & Development Corporation 700 14,350
Union Texas Petroleum Holdings
Incorporated 1,600 33,500
--------
71,762
--------
GAS & PIPELINE UTILITIES-0.4%
Coastal Corporation 200 10,638
National Fuel Gas Company 300 12,581
--------
23,219
--------
HOUSEHOLD APPLIANCES & HOME FURNISHINGS-0.8%
Maytag Corporation 800 20,900
Newell Company (a) 500 19,813
--------
40,713
--------
HOUSEHOLD PRODUCTS-0.3%
Procter & Gamble Company 100 14,125
--------
INDUSTRIAL MACHINERY-3.0%
General Electric Company 1,600 104,600
Timken Company 1,400 49,787
--------
154,387
--------
INSURANCE-5.0%
Ambac Financial Group Incorporated 100 7,638
American General Corporation 1,000 47,750
CIGNA Corporation 200 35,500
Everest Reinsurance Holdings
Incorporated (a) 500 19,812
Loews Corporation 400 40,050
Marsh & McLennan Companies Incorporated 400 28,550
Mercury General Corporation 200 14,550
Old Republic International Corporation 700 21,219
Progressive Corporation 200 17,400
Travelers Property Casualty Corporation 600 23,925
--------
256,394
--------
INTERNATIONAL OIL-4.5%
Amoco Corporation 400 34,775
Exxon Corporation 1,500 92,250
Mobil Corporation 1,000 69,875
Texaco Incorporated 300 32,625
--------
229,525
--------
LEISURE TIME-1.3%
Callaway Golf Company 400 14,200
King World Productions Incorporated 100 3,500
MGM Grand Incorporated (a) 900 33,300
Walt Disney Company 200 16,050
--------
67,050
--------
</TABLE>
. The accompanying notes are an integral part of the financial statements.
<PAGE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
GLOBAL ADVISORS GROWTH EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 1997 (unaudited)
Security Description SHARES VALUE
- -------------------- ------ --------
<S> <C> <C>
COMMON STOCKS-(continued)
NEWSPAPERS-0.8%
Gannett Company Incorporated 400 $ 40,521
--------
PETROLEUM SERVICES-1.4%
Global Marine Incorporated (a) 800 18,600
Noble Drilling Corporation (a) 800 18,050
Rowan Companies Incorporated (a) 1,200 33,825
--------
70,475
--------
PUBLISHING-0.7%
Dun & Bradstreet Corporation 1,300 34,125
--------
RAILROADS & EQUIPMENT-0.6%
CSX Corporation 600 33,300
--------
RETAIL GROCERY-2.3%
American Stores Company 800 39,500
Kroger Company (a) 1,500 43,500
Richfood Holdings Incorporated 600 15,600
SUPERVALU Incorporated 600 20,700
--------
119,300
--------
RETAIL TRADE-3.4%
Borders Group Incorporated (a) 400 9,650
Costco Companies Incorporated (a) 1,500 49,312
Dayton Hudson Corporation 600 31,913
Tiffany & Company 500 23,094
TJX Companies Incorporated (New) 2,400 63,300
--------
177,269
--------
SOFTWARE-4.6%
Adobe Systems Incorporated 900 31,556
BMC Software Incorporated (a) 600 33,225
Computer Associates International, Inc. 1,100 61,256
Learning Company Incorporated (a) 1,800 16,875
Microsoft Corporation (a) 500 63,188
Synopsys Incorporated (a) 800 29,400
--------
235,500
--------
STEEL-0.9%
USX-US Steel Group Incorporated 1,300 45,581
--------
TELECOMMUNICATIONS-5.9%
Ameritech Corporation 600 40,762
AT&T Corporation 1,300 45,581
Bell Atlantic Corpora 400 30,350
BellSouth Corporation 700 32,463
GTE Corporation 800 35,100
Nynex Corporation 600 34,575
QUALCOMM Incorporated (a) 700 35,612
SBC Communications Incorporated 738 45,664
Southern New England Telecommunications
Corporation 100 3,888
--------
303,995
--------
</TABLE>
. The accompanying notes are an integral part of the financial statements.
<PAGE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
GLOBAL ADVISORS GROWTH EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 1997 (unaudited)
Security Description SHARES VALUE
- -------------------- ------- -----------
<S> <C> <C>
COMMON STOCKS-(continued)
TOBACCO-1.6%
Philip Morris Companies Incorporated 1,800 $ 79,875
-----------
TOYS & AMUSEMENTS-0.3%
Hasbro Incorporated 500 14,188
-----------
TRUCKING & FREIGHT FORWARDING-1.1%
CNF Transportation Incorporated 700 22,575
Ryder Systems Incorporated 1,000 33,000
-----------
55,575
-----------
TOTAL COMMON STOCKS-(Cost $4,148,750) 5,021,507
-----------
MUTUAL FUNDS-3.4%
(Cost $175,644)
Dreyfus Cash Management 175,644 175,644
-----------
TOTAL INVESTMENTS-(Cost $4,324,394*)-101.2% 5,197,151
OTHER ASSETS LESS LIABILITIES-(1.2)% (62,223)
-----------
NET ASSETS-100.0% $5,134,928
===========
<FN>
(a)-Non-income producing security
*-Aggregate cost for Federal tax purposes is identical. Aggregate gross
unrealized appreciation for all securities in which there is an excess of
value over tax cost and aggregate gross unrealized depreciation for all
securities in which there is an excess of tax cost over value were $956,311
and $83,554, respectively, resulting in net unrealized appreciation of
$872,757.
</TABLE>
. The accompanying notes are an integral part of the financial statements.
<PAGE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
GLOBAL ADVISORS MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
June 30, 1997 (unaudited)
Principal
Security Description AMOUNT VALUE
- -------------------- ---------- ----------
<S> <C> <C>
DISCOUNT NOTES-46.4%
FEDERAL AGENCIES-46.4%
Federal Home Loan Bank Consolidated Discount Note
6.00%, 07/01/1997** $ 570,000 $ 570,000
Federal Home Loan Mortgage Association Discount Note
5.28%, 07/10/1997** 100,000 99,868
Federal National Mortgage Association Discount Note
6.05%, 11/10/1997** 60,000 60,000
6.84%, 10/03/1997** 100,000 100,750
5.64%, 10/20/1997** 200,000 196,522
Student Loan Marketing Association Discount Note
6.00%, 07/01/1997** 500,000 500,000
----------
TOTAL DISCOUNT NOTES-(Cost $1,527,140) 1,527,140
----------
FEDERAL AGENCIES-16.6%
Federal Farm Credit Bank
5.58%, 10/27/1997 . 200,000 196,342
11.90%, 10/20/1997 . 50,000 50,848
Federal Farm Credit Banks Consolidated Systems
6.03%, 11/14/1997 . 300,000 300,248
----------
TOTAL FEDERAL AGENCIES-(Cost $547,438) 547,438
----------
COMMERCIAL PAPER-34.8%
FINANCIAL SERVICES-24.3%
General Electric Capital Corporation
5.55%, 07/08/1997** 125,000 124,865
Merrill Lynch & Company Incorporated
5.67%, 08/18/1997** 125,000 124,055
Norwest Financial Incorporated
5.50%, 04/15/1998** 85,000 84,413
Old Kent Bank & Trust Company
6.88%, 04/15/1998** 100,000 100,378
PACCAR Financial** Corporation
5.50%, 07/02/1997 . 130,000 129,980
Prudential Funding** Corporation
5.56%, 07/15/1997** 100,000 99,784
Xerox Credit Corporation
5.54%, 08/12/1997** 135,000 134,127
----------
797,602
----------
</TABLE>
. The accompanying notes are an integral part of the financial statements.
<PAGE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
GLOBAL ADVISORS MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 1997 (unaudited)
Principal
Security Description AMOUNT VALUE
- -------------------- ---------- ----------
<S> <C> <C>
COMMERCIAL PAPER-(continued)
FOOD & BEVERAGES-10.5%
Australian Wheat Board
5.61%, 07/29/1997** $ 100,000 $ 99,564
H.J. Heinz Company
5.53%, 07/07/1997** 125,000 124,885
Pepsico Incorporated
5.49%, 07/07/1997** 122,000 121,888
----------
346,337
----------
TOTAL COMMERCIAL PAPER-(Cost $1,143,939) 1,143,939
----------
TOTAL INVESTMENTS-(Cost $3,218,517*)-97.8% 3,218,517
----------
OTHER ASSETS LESS LIABILITIES-2.2% 71,787
----------
NET ASSETS-100.0% $3,290,304
==========
<FN>
**-The rate shown reflects the current yield at June 30, 1997
*-Aggregate cost for Federal tax purposes
</TABLE>
. The accompanying notes are an integral part of the financial statements.
<PAGE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
SALOMON BROTHERS U.S. GOVERNMENT SECURITIES PORTFOLIO
SCHEDULE OF INVESTMENTS
June 30, 1997 (unaudited)
Principal
Security Description AMOUNT VALUE
- -------------------- ---------- ----------
<S> <C> <C>
DISCOUNT NOTES-19.9%
Federal Farm Credit Bank Consolidated Discount Note
5.40%, 07/11/1997 . $ 250,000 $ 249,625
Student Loan Marketing Discount Note
5.38%, 07/31/1997 . 250,000 248,879
----------
TOTAL DISCOUNT NOTES-(Cost $498,503) 498,504
----------
U.S. GOVERNMENT AND AGENCY SECURITIES-86.4%
FEDERAL AGENCIES-86.4%
Federal Farm Credit Bank
5.38%, 07/01/1997 . 250,000 250,000
Federal Home Loan Mortgage Corporation
8.25%, 04/01/2017 . 22,748 23,730
11.75%, 07/01/2006 . 9,432 10,385
11.75%, 07/01/2013 . 6,529 7,168
11.75%, 08/01/2013 . 13,930 14,336
5.89%, 07/24/2000 . 225,000 221,976
Federal National Mortgage Association
7.00%, 05/01/2026 . 193,172 189,550
7.00%, 12/01/2099 TBA 100,000 97,968
7.00%, 12/01/2099 TBA 150,000 146,952
7.50%, 12/01/2099 TBA 325,000 325,708
11.00%, 09/01/2020 . 79,491 88,718
11.50%, 09/01/2019 . 20,316 22,867
12.00%, 10/01/2015 . 73,702 84,159
12.00%, 01/01/2016 . 4,035 4,676
12.50%, 08/01/2015 . 7,390 8,537
12.50%, 09/01/2015 . 8,866 10,418
13.00%, 11/01/2015 . 17,923 21,216
14.50%, 11/01/2014 . 7,973 9,857
7.15%, 10/17/2009 . 50,000 50,463
Government National Mortgage Association
7.00%, 01/15/2099 TBA 350,000 343,546
Student Loan Marketing Association
7.20%, 11/09/2000 . 225,000 230,238
----------
TOTAL U.S. GOVERNMENT AND AGENCY SECURITIES-(Cost $2,159,768) 2,162,468
----------
REPURCHASE AGREEMENT-29.8%
J.P. Morgan & Company, 5.95% dated
6/30/1997 to be repurchased at $373,062 on 07/01/97,
collateralized by $355,000 par value U.S. Treasury Note,
7.50% due 11/15/2016, with a value of $384,230 . 373,000 373,000
</TABLE>
. The accompanying notes are an integral part of the financial statements.
<PAGE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
SALOMON BROTHERS U.S. GOVERNMENT SECURITIES PORTFOLIO
SCHEDULE OF INVESTMENTS
June 30, 1997 (unaudited)
Principal
Security Description AMOUNT VALUE
- -------------------- ---------- -----------
<S> <C> <C>
REPURCHASE AGREEMENT-(continued)
State Street Bank and Trust Company, 5.95% dated
6/30/1997 to be repurchased at $373,062 on 07/01/97,
collateralized by $355,000 par value U.S. Treasury Note,
7.50% due 11/15/2016, with a value of $384,230. $ 373,000 $ 373,000
-----------
TOTAL REPURCHASE AGREEMENT-(Cost $746,000) 746,000
-----------
TOTAL INVESTMENTS-(Cost $3,404,272*)-136.1% 3,406,972
OTHER ASSETS LESS LIABILITIES-(36.1)% (903,674)
-----------
NET ASSETS-100.0% $2,503,298
===========
<FN>
TBA-To Be Announced
**-The rate shown reflects the current yield at June 30, 1997
*-Aggregate cost for Federal tax purposes. Aggregate gross unrealized
appreciation for all securities in which there is an excess of value over tax cost
and aggregate gross unrealized depreciation for all securities in which there is
an excess of tax cost over value were $9,222 and $6,521, respectively, resulting
in net unrealized appreciation of $2,701.
</TABLE>
. The accompanying notes are an integral part of the financial statements.
<PAGE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
VAN KAMPEN AMERICAN CAPITAL EMERGING GROWTH PORTFOLIO
SCHEDULE OF INVESTMENTS
June 30, 1997 (unaudited)
Security Description SHARES VALUE
- -------------------- ------ -------
<S> <C> <C>
COMMON STOCKS-84.8%
AEROSPACE-0.5%
Gulfstream Aerospace Corporation (a) 125 $ 3,687
Precision Castparts Corporation 225 13,416
-------
17,103
-------
AIR TRAVEL-0.8%
Continental Airlines Incorporated (a) 300 10,481
US Airways Group Incorporated (a) 475 16,625
27,106
-------
APPAREL & TEXTILES-2.1%
Jones Apparel Group Incorporated (a) 400 19,100
Liz Claiborne Incorporated 250 11,656
Nautica Enterprises Incorporated (a) 250 6,609
St. John Knits Incorporated 275 14,850
Tommy Hilfiger Corporation (a) 125 5,024
Wolverine World Wide Incorporated 475 14,428
-------
71,667
-------
AUTO PARTS-0.5%
Danaher Corporation 225 11,433
Tower Automotive Incorporated (a) 150 6,450
17,883
-------
BANKS-0.8%
Cullen/Frost Bankers Incorporated 125 5,297
National Commerce Bancorporation 125 2,750
North Fork Bancorporation Incorporated 300 6,412
Silicon Valley Bancshares (a) 35 1,584
Star Banc Corporation 225 9,506
-------
25,549
-------
BROADCASTING-1.3%
Clear Channel Communications Incorporated (a) 225 13,837
Evergreen Media Corporation (a) 475 21,197
Jacor Communications Incorporated (a) 200 7,650
-------
42,684
-------
BUSINESS SERVICES-5.7%
Accustaff Incorporated (a) 225 5,330
Apollo Group Incorporated (a) 250 8,813
Cambridge Technology Partners Incorporated (a) 325 10,400
Caribiner International Incorporated (a) 300 9,788
Comdisco Incorporated 338 8,775
Computer Horizons Corporation (a) 225 7,706
Consolidated Graphics Incorporated (a) 275 11,481
Corrections Corporation of America (a) 550 21,862
Interpublic Group of Companies Incorporated 275 16,861
Keane Incorporated (a) 125 6,500
National Data Corporation 275 11,911
</TABLE>
. The accompanying notes are an integral part of the financial statements.
<PAGE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
VAN KAMPEN AMERICAN CAPITAL EMERGING GROWTH PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 1997 (unaudited)
Security Description SHARES VALUE
- -------------------- ------ --------
<S> <C> <C>
COMMON STOCKS-(continued)
BUSINESS SERVICES-(continued)
National TechTeam Incorporated (a) 75 $ 1,603
Omnicom Group Incorporated 250 15,406
Paychex Incorporated 375 14,250
Robert Half International Incorporated (a) 275 12,942
Saville Systems PLC ADR (a) 125 6,500
Sitel Corporation (a) 250 5,156
SunGaurd Data Systems Incorporated (a) 350 16,275
Technology Solutions Company (a) 100 3,950
--------
195,509
--------
CHEMICALS-0.7%
Cytec Industries Incorporated (a) 100 3,738
Praxair Incorporated 325 18,200
--------
21,938
COMMUNICATION SERVICES-0.9%
Brightpoint Incorporated (a) 275 8,955
CellStar Corporation (a) 450 13,781
MasTec Incorporated 175 8,280
--------
31,016
--------
COMPUTERS & BUSINESS EQUIPMENT-5.0%
Dell Computer Corporation (a) 1,275 149,733
Stratus Computer Incorporated (a) 225 11,250
Sun Microsystems Incorporated (a) 250 9,304
--------
170,287
--------
DRUGS & HEALTH CARE-8.4%
Curative Health Services Incorporated (a) 150 4,312
Dura Pharmaceuticals Incorporated (a) 750 29,906
ESC Medical Systems Limited (a) 75 1,912
FPA Medical Management Incorporated (a 225 5,330
Guidant Corporation 450 38,250
Health Management Associates Incorporated (a) 500 14,250
HealthSouth Corporation (a) 1,350 33,666
Jones Medical Industries Incorporated 375 17,812
Medicis Pharmaceutical Corporation (a) 325 16,209
MiniMed Incorporated (a) 150 3,994
Omnicare Incorporated 775 24,316
Oxford Health Plans Incorporated (a) 500 35,875
Parexel International Corporation (a) 200 6,350
Quintiles Transnational Corporation (a) 225 15,666
Renal Treatment Centers Incorporated (a) 225 6,047
Rexall Sundown Incorporated (a) 225 8,775
Teva Pharmaceutical Industries Limited ADR 125 8,094
Total Renal Care Holdings Incorporated (a) 175 7,033
Universal Health Services Incorporated (a) 225 8,662
--------
286,459
--------
</TABLE>
. The accompanying notes are an integral part of the financial statements.
<PAGE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
VAN KAMPEN AMERICAN CAPITAL EMERGING GROWTH PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 1997 (unaudited)
Security Description SHARES VALUE
- -------------------- ------ --------
<S> <C> <C>
COMMON STOCKS-(continued)
ELECTRONICS-8.3%
Altera Corporation (a) 925 $ 46,712
Applied Materials Incorporated (a) 650 46,028
ASM Lithography Holding NV (a) 175 10,237
Aspen Technology Incorporated (a) 325 12,228
BMC Industries Incorporated 150 5,138
Cymer Incorporated (a) 200 9,750
Dallas Semiconductor Corporation 275 10,794
Dynatech Corporation (a) 125 4,469
Jabil Circuit Incorporated (a) 225 18,872
KLA-Tencor Corporation (a) 225 10,969
Kulicke & Soffa Industries Incorporated (a) 200 6,494
Micrel Incorporated (a) 100 5,100
Micro Linear Corporation (a) 150 1,575
Sanmina Corporation (a) 275 17,462
Sundstrand Corporation 150 8,372
Teradyne Incorporated (a) 600 23,550
Texas Instruments Incorporated 175 14,711
Uniphase Corporation (a) 175 10,194
Vitesse Semiconductor Corporation (a) 575 18,795
Wyman-Gordon Company (a) 125 3,375
--------
284,825
--------
FINANCIAL SERVICES-1.5%
Astoria Financial Corporation 200 9,500
Finova Group Incorporated 325 24,862
State Street Corporation 375 17,344
--------
51,706
--------
FOOD & BEVERAGES-1.3%
Interstate Bakeries Corporation 300 17,794
Morningstar Group Incorporated (a) 175 5,140
Smithfield Foods Incorporated (a) 350 21,525
--------
44,459
--------
GAS EXPLORATION-0.2%
Forcenergy Incorporated (a) 250 7,594
--------
HOTELS & RESTAURANTS-1.3%
CapStar Hotel Company (a) 175 5,600
Doubletree Corporation (a) 275 11,309
Foodmaker Incorporated (a) 200 3,275
HFS Incorporated (a) 200 11,600
Prime Hospitality Corporation (a) 200 3,950
Promus Hotel Corporation (a) 225 8,719
--------
44,453
--------
HOUSEHOLD APPLIANCES & HOME FURNISHINGS-0.6%
Ethan Allen Interiors Incorporated 225 12,825
WestPoint Stevens Incorporated (a) 225 8,803
--------
21,628
--------
</TABLE>
. The accompanying notes are an integral part of the financial statements.
<PAGE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
VAN KAMPEN AMERICAN CAPITAL EMERGING GROWTH PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 1997 (unaudited)
Security Description SHARES VALUE
- -------------------- ------ --------
<S> <C> <C>
COMMON STOCKS-(continued)
INDUSTRIAL MACHINERY-1.5%
AES Corporation (a) 250 $ 17,687
SPX Corporation 100 6,481
Tyco International Limited 275 19,130
United States Filter Corporation (a) 275 7,494
50,792
--------
INSURANCE-4.0%
American Bankers Insurance Group Incorporated 150 9,488
CMAC Investment Corporation 375 17,906
Conseco Incorporated 1,400 51,800
Everest Reinsurance Holdings Incorporated (a) 175 6,935
Hartford Financial Services Group Incorporated (a) 175 14,481
Mercury General Corporation 40 2,910
MGIC Investment Corporation 175 8,389
Penncorp Financial Group Incorporated 150 5,775
SunAmerica Incorporated 300 14,625
Transatlantic Holdings Incorporated 25 2,481
Vesta Insurance Group Incorporated 65 2,811
--------
137,601
--------
LEISURE TIME-0.6%
Action Performance Companies Incorporated (a) 200 4,850
Regal Cinemas Incorporated (a) 450 14,850
--------
19,700
--------
Manufacturing-0.1%
Halter Marine Group Incorporated (a) 200 4,800
--------
OFFICE FURNISHINGS & SUPPLIES-0.5%
Herman Miller Incorporated 450 16,200
OIL & GAS-0.2%
Ocean Energy Incorporated (a) 175 8,094
--------
PETROLEUM SERVICES-6.1%
BJ Services Company (a) 225 12,066
Cliffs Drilling Company (a) 250 9,125
Cooper Cameron Corporation (a) 550 25,713
Diamond Offshore Drilling Incorporated (a) 375 29,297
ENSCO International Incorporated (a) 375 19,781
EVI Incorporated (a) 325 13,650
Falcon Drilling Company Incorporated (a) 375 21,609
Global Marine Incorporated (a) 925 21,506
Marine Drilling Companies Incorporated (a) 650 12,756
National-Oilwell Incorporated (a) 125 7,188
Rowan Companies Incorporated (a) 175 4,933
Smith International Incorporated (a) 450 27,337
Varco International Incorporated (a) 75 2,419
--------
207,380
--------
</TABLE>
. The accompanying notes are an integral part of the financial statements.
<PAGE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
VAN KAMPEN AMERICAN CAPITAL EMERGING GROWTH PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 1997 (unaudited)
Security Description SHARES VALUE
- -------------------- ------ --------
<S> <C> <C>
COMMON STOCKS-(continued)
PLASTICS-0.1%
Sealed Air Corporation (a) 100 $ 4,750
--------
Pollution Control-1.7%
Allied Waste Industries Incorporated (a) 200 3,475
Newpark Resources Incorporated (a) 300 10,125
United Waste Systems Incorporated (a) 475 19,475
USA Waste Services Incorporated (a) 675 26,072
--------
59,147
--------
PUBLISHING-0.6%
Meredith Corporation 600 17,400
Valassis Communications Incorporated (a) 100 2,400
--------
19,800
--------
RETAIL GROCERY-0.4%
Safeway Incorporated (a) 275 12,684
--------
RETAIL TRADE-8.9%
Barnes & Noble Incorporated (a) 250 10,750
Bed Bath & Beyond Incorporated (a) 400 12,150
Borders Group Incorporated (a) 575 13,872
CompUSA Incorporated (a) 300 6,450
Consolidated Stores Corporation (a) 531 18,461
Costco Companies Incorporated (a) 1,075 35,341
CVS Corporation 275 14,094
Dollar General Corporation 325 12,187
Eagle Hardware & Garden Incorporated (a) 200 4,575
Family Dollar Stores Incorporated 325 8,856
Fred Meyer Incorporated (a) 225 11,630
General Nutrition Companies Incorporated (a) 325 9,100
Gucci Group NV ADR 275 17,703
InaCom Corporation (a) 125 3,891
Ingram Micro Incorporated (a) 200 4,825
Pacific Sunwear of California (a) 300 9,675
Pier 1 Imports Incorporated 425 11,262
Proffitt's Incorporated 175 7,678
Ross Stores Incorporated 825 26,967
Stein Mart Incorporated (a) 250 7,500
The Wet Seal Incorporated (a) 225 7,102
Tiffany & Company 275 12,702
TJX Companies Incorporated (New) 900 23,737
Williams-Sonoma Incorporated (a) 350 14,962
--------
305,470
--------
SAVINGS & LOAN-2.3%
Coast Savings Financial Incorporated (a) 125 5,680
Glendale Federal Bank (a) 225 5,878
</TABLE>
. The accompanying notes are an integral part of the financial statements.
<PAGE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
VAN KAMPEN AMERICAN CAPITAL EMERGING GROWTH PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 1997 (unaudited)
Security Description SHARES VALUE
- -------------------- ------ ----------
<S> <C> <C>
COMMON STOCKS-(continued)
SAVINGS & LOAN-(continued)
Greenpoint Financial Corporation 200 $ 13,312
Peoples Heritage Financial Group Incorporated 175 6,628
Sovereign Bancorp Incorporated 350 5,338
St Paul Bancorp Incorporated 200 6,625
Washington Mutual Incorporated 600 35,850
----------
79,311
----------
SOFTWARE-13.3%
Baan Company NV (a) 275 18,941
BMC Software Incorporated (a) 750 41,531
Ciber Incorporated (a) 225 7,692
Citrix Systems Incorporated (a) 225 9,872
Compuware Corporation (a) 1,200 57,300
Discreet Logic Incorporated (a) 175 2,888
HBO & Company 700 48,213
HNC Software Incorporated (a) 200 7,625
McAfee Associates Incorporated (a) 900 56,812
Microsoft Corporation (a) 925 116,897
Peoplesoft Incorporated (a) 975 51,431
Siebel Systems Incorporated (a) 125 4,031
Viasoft Incorporated (a) 450 22,838
Wind River Systems (a) 225 8,606
----------
454,677
----------
STEEL-0.3%
Maverick Tube Corporation (a) 150 5,625
Mueller Industries Incorporated (a) 100 4,375
----------
10,000
----------
TELECOMMUNICATIONS-2.9%
ADC Telecommunications Incorporated (a) 375 12,516
Advanced Fibre Communications (a) 150 9,056
CIENA Corporation (a) 275 12,959
Comverse Technology Incorporated (a) 325 16,900
Tellabs Incorporated (a) 825 46,097
----------
97,528
----------
TELEPHONE-0.6%
Cincinnati Bell Incorporated 600 18,900
U.S. Long Distance Corporation 150 2,588
----------
21,488
----------
TOBACCO-0.1%
Consolidated Cigar Holdings Incorporated (a) 150 4,163
----------
TRUCKING & FREIGHT FORWARDING-0.7%
Airbourne Freight Corporation 225 9,422
Tidewater Incorporated 325 14,300
----------
23,722
----------
TOTAL COMMON STOCKS-(Cost $2,369,121) 2,899,173
----------
</TABLE>
. The accompanying notes are an integral part of the financial statements.
<PAGE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
VAN KAMPEN AMERICAN CAPITAL EMERGING GROWTH PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 1997 (unaudited)
Principal
Security Description AMOUNT VALUE
- -------------------- ---------- ----------
<S> <C> <C>
DISCOUNT NOTES-13.6%
FEDERAL AGENCIES-13.6%
(Cost $465,000)
Federal Home Loan Bank Consolidated Discount Notes
6.00%, 07/01/1997 (a) ** $ 465,000 $ 465,000
----------
TOTAL INVESTMENTS-(Cost $2,834,121*)-98.4% 3,364,173
OTHER ASSETS LESS LIABILITIES-1.6% 53,763
----------
NET ASSETS-100.0% $3,417,936
==========
<FN>
(a)-Non-income producing security
ADR-American Depositary Receipt
**-The rate shown reflects the current yield at June 30, 1997
*-Aggregate cost for Federal tax purposes. Aggregate gross unrealized
appreciation for all securities in which there is an excess of value over tax
cost and aggregate gross unrealized depreciation for all securities in which
there is an excess of tax cost over value were $545,082 and $15,030,
respectively, resulting in net unrealized appreciation of $530,052.
</TABLE>
. The accompanying notes are an integral part of the financial statements.
<PAGE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
June 30, 1997 (unaudited)
BEA Credit Elite-
Growth BlackRock Suisse Value
and Managed International Asset
Income Bond Equity Allocation
----------- ----------- --------------- ------------
<S> <C> <C> <C> <C>
ASSETS
Investments in securities, at value $4,574,893 $3,776,823 $ 3,230,980 $ 5,797,725
Repurchase agreements, at value 326,000 - 551,000 -
----------- ----------- --------------- ------------
Total Investment (a) (Note 1) 4,900,893 3,776,823 3,781,980 5,797,725
Cash, including foreign currency, at value 946 10,063 56,108 686
Receivable for securities sold 22,499 - 321 35,006
Receivable for forward contracts (Note 5) - - 4,089 -
Interest receivable 18,305 29,665 763 -
Dividends receivable 2,502 - 13,956 2,168
Receivable for fund shares sold - - 149 4,639
Receivable from Adviser (Note 2) 32,211 28,974 37,704 28,325
Prepaid insurance 1,796 1,789 1,782 1,782
----------- ----------- --------------- ------------
TOTAL ASSETS 4,979,152 3,847,314 3,896,852 5,870,331
LIABILITIES
Payable for securities purchased 103,570 151,977 - 525,484
Payable for forward currency contracts (Note 5) - - 32,842 -
Payable for fund shares repurchased 33,892 1,275 29,635 29,063
Payable for variation margin on futures - 375 - -
Trustees fees payable 1,808 1,808 1,792 1,808
Accounts payable and accrued expenses 52,467 47,450 62,275 44,869
----------- ----------- --------------- ------------
TOTAL LIABILITIES 191,737 202,885 126,544 601,224
----------- ----------- --------------- ------------
NET ASSETS $4,787,415 $3,644,429 $ 3,770,308 $ 5,269,107
=========== =========== =============== ============
NET ASSETS CONSIST OF:
Par value (Note 4) $ 3,946 $ 3,721 $ 3,047 $ 3,830
Paid-in capital (Note 4) 4,197,393 3,698,393 3,163,874 4,530,548
Undistributed (distributions in excess of)
net investment income (431) 135 941 (33)
Accumulated net realized gain (loss) on
investments, futures, and foreign currency
translations 40,378 (56,853) 204,125 61,937
Net unrealized appreciation (depreciation) of:
Investments 546,129 4,656 429,183 672,825
Futures - (5,623) - -
Foreign currency - - (30,862) -
----------- ----------- --------------- ------------
NET ASSETS $4,787,415 $3,644,429 $ 3,770,308 $ 5,269,107
=========== =========== =============== ============
Shares outstanding at end of period 394,572 372,131 304,742 382,995
Net asset value per share $ 12.13 $ 9.79 $ 12.37 $ 13.76
(a) Investments in securities and repurchase
agreements, at cost $4,354,764 $3,772,167 $ 3,352,797 $ 5,124,900
</TABLE>
. The accompanying notes are an integral part of the financial statements.
<PAGE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
June 30, 1997 (unaudited)
Salomon Van Kampen
Global Global Brothers American
Advisors Advisors U.S. Capital
Growth Money Government Emerging
Equity Market Securities Growth
----------- ---------- ------------ ------------
<S> <C> <C> <C> <C>
ASSETS
Investments in securities, at value $5,197,151 $3,218,517 $ 2,660,972 $ 3,364,173
Repurchase agreements, at value - - 746,000 -
----------- ---------- ------------ ------------
Total Investment (a) (Note 1) 5,197,151 3,218,517 3,406,972 3,364,173
Cash, including foreign currency, at value 10,660 - 869 4,795
Receivable for securities sold 71,205 - 256,269 16,910
Interest receivable - 8,160 24,503 -
Dividends receivable 7,110 - - 660
Receivable for fund shares sold - 165,302 - 69,834
Receivable from Adviser (Note 2) 35,213 29,661 28,237 39,756
Prepaid insurance 1,790 1,782 1,782 1,786
----------- ---------- ------------ ------------
TOTAL ASSETS 5,323,129 3,423,422 3,718,632 3,497,914
LIABILITIES
Payable for securities purchased 104,245 - 1,168,416 -
Payable for fund shares repurchased 27,424 87,146 982 8,451
Trustees fees payable 1,792 1,808 1,808 1,808
Accounts payable and accrued expenses 54,740 44,164 44,128 69,719
----------- ---------- ------------ ------------
TOTAL LIABILITIES 188,201 133,118 1,215,334 79,978
----------- ---------- ------------ ------------
NET ASSETS $5,134,928 $3,290,304 $ 2,503,298 $ 3,417,936
=========== ========== ============ ============
NET ASSETS CONSIST OF:
Par value (Note 4) $ 3,727 $ 32,903 $ 2,550 $ 2,728
Paid-in capital (Note 4) 4,072,528 3,257,401 2,535,111 3,093,815
Undistributed (distributions in excess of)
net investment income (67) - 162 82
Accumulated net realized loss on
investments and foreign currency
translations 185,983 - (37,226) (208,741)
Net unrealized appreciation (depreciation) of:
Investments 872,757 - 2,701 530,052
----------- ---------- ------------ ------------
NET ASSETS $5,134,928 $3,290,304 $ 2,503,298 $ 3,417,936
=========== ========== ============ ============
Shares outstanding at end of period 372,647 3,290,304 254,981 272,750
Net asset value per share $ 13.78 $ 1.00 $ 9.82 $ 12.53
(a) Investments in securities and repurchase
agreements, at cost $4,324,394 $3,218,517 $ 3,404,272 $ 2,834,121
</TABLE>
. The accompanying notes are an integral part of the financial statements.
<PAGE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
STATEMENTS OF OPERATIONS
For the Six Months Ended June 30, 1997 (unaudited)
BEA Credit Elite-
Growth BlackRock Suisse Value
and Managed International Asset
Income Bond Equity Allocation
--------- ----------- --------------- ------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Interest income $ 52,668 $ 112,336 $ 3,003 $ 19,765
Dividend income** 15,075 - 29,632 17,782
--------- ----------- --------------- ------------
TOTAL INVESTMENT INCOME 67,743 112,336 32,635 37,547
EXPENSES
Investment Advisory fees (Note 2) 13,581 9,435 13,856 10,668
Sub-administration fees 26,427 27,624 26,039 27,115
Audit fees 4,927 4,927 4,927 4,943
Custodian fees and expenses 16,146 21,203 25,839 17,055
Trustee's fees (Note 2) 4,561 4,560 4,545 4,560
Legal fees (1,178) 2,572 (1,178) 2,572
Transfer agent fees 1,895 1,922 2,114 2,365
Insurance expense 2,626 2,626 2,626 2,626
Printing expense 274 274 274 274
Miscellaneous expenses 55 56 57 57
--------- ----------- --------------- ------------
Total operating expenses before
waivers and reimbursements 69,314 75,199 79,099 72,235
Fees waived and expenses reimbursed (Note 2) (58,087) (67,994) (67,244) (63,700)
--------- ----------- --------------- ------------
NET EXPENSES 11,227 7,205 11,855 8,535
--------- ----------- --------------- ------------
NET INVESTMENT INCOME 56,516 105,131 20,780 29,012
--------- ----------- --------------- ------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
FROM INVESTMENTS AND FOREIGN CURRENCY
Net realized gain on
Investments and futures contracts 54,328 4,590 204,125 61,938
Net change in unrealized appreciation
(depreciation) of:
Investments 321,822 3,393 329,593 363,441
Futures - (2,841) - -
Foreign currency - - (52,392) -
--------- ----------- --------------- ------------
NET REALIZED AND UNREALIZED
GAIN (LOSS) 376,150 5,142 481,326 425,379
--------- ----------- --------------- ------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS $432,666 $ 110,273 $ 502,106 $ 454,391
========= =========== =============== ============
** Net of foreign withholding taxes of $ 58 $ - $ 4,139 $ -
========= =========== =============== ============
</TABLE>
. The accompanying notes are an integral part of the financial statements.
<PAGE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
STATEMENTS OF OPERATIONS
For the Six Months Ended June 30, 1997 (unaudited)
Salomon Van Kampen
Global Global Brothers American
Advisors Advisors U.S. Capital
Growth Money Government Emerging
Equity Market Securities Growth
---------- ---------- ------------ ------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Interest income $ 1,957 $ 53,628 $ 77,306 $ 8,464
Dividend income 34,778 - - 3,428
---------- ---------- ------------ ------------
TOTAL INVESTMENT INCOME 36,735 53,628 77,306 11,892
EXPENSES
Investment Advisory fees (Note 2) 12,322 4,244 5,644 9,296
Sub-administration fees 26,398 26,728 27,167 27,141
Audit fees 4,927 4,927 4,927 4,780
Custodian fees and expenses 23,277 11,918 16,858 52,137
Trustee's fees (Note 2) 4,545 4,561 4,560 4,560
Legal fees (1,178) (1,178) 2,572 2,572
Transfer agent fees 2,354 2,341 1,853 2,385
Insurance expense 2,626 2,626 2,621 2,626
Printing expense 274 274 274 274
Miscellaneous expenses 57 57 - 57
---------- ---------- ------------ ------------
Total operating expenses before
waivers and reimbursements 75,602 56,498 66,476 105,828
Fees waived and expenses reimbursed (Note 2) (65,905) (53,480) (62,377) (98,144)
---------- ---------- ------------ ------------
NET EXPENSES 9,697 3,018 4,099 7,684
---------- ---------- ------------ ------------
NET INVESTMENT INCOME 27,038 50,610 73,207 4,208
---------- ---------- ------------ ------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
FROM INVESTMENTS AND FOREIGN CURRENCY
Net realized gain (loss) on:
Investments 185,983 - 2,250 (148,401)
Net change in unrealized
appreciation (depreciation) of:
Investments 463,626 - 4,471 385,529
---------- ---------- ------------ ------------
NET REALIZED AND UNREALIZED
GAIN (LOSS) 649,609 - 6,721 237,128
---------- ---------- ------------ ------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS $ 676,647 $ 50,610 $ 79,928 $ 241,336
========== ========== ============ ============
** Net of foreign withholding taxes of $ - $ - $ - $ 4
========== ========== ============ ============
</TABLE>
. The accompanying notes are an integral part of the financial statements.
<PAGE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
BEA Growth BlackRock Credit Suisse
----------- --------- --------------
And Income Managed Bond International Equity
----------- ------------- ---------------------
Six Months Year Six Months Period Six Months Year
Ended Ended Ended Ended Ended Ended
June 30, December 31, June 30, December 31 June 30, December 31,
1997 1997 1997
(unaudited) 1996 (unaudited) 1996* (unaudited) 1996
----------- ------------ ------------ ----------- ------------ --------------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
From operations:
Net investment income $ 56,516 $ 121,254 $ 105,131 $ 189,281 $ 20,780 $ 26,519
Net realized gain (loss) on:
Incestments and futures 54,328 110,399 4,590 (61,443) 204,125 259,448
Foreign currency transactions - - - - - 24,110
Net change in unrealized appreciation
(depreciation) of:
Investments and futures 321,822 110,048 3,393 (1,519) 329,593 30,380
Foreign currency - - (2,841) - (52,392) 22,709
----------- ------------ ------------ ----------- ------------ -----------
Net increase in net assets resulting
from operations 432,666 341,701 110,273 126,319 502,106 363,166
Distributions to shareholders (Note 1):
From net investment income (58,054) (120,147) (104,996) (189,281) (17,207) (26,519)
In excess of net investment income - - - - - (61,401)
From net realized gains - (102,804) - - - (223,676)
Fund share transactions (Note 4) 1,267,704 890,030 263,034 3,439,080 558,427 592,388
----------- ----------- ----------- ------------ ------------ ------------
Total increase in net assets 1,642,316 1,008,780 268,311 3,376,118 1,043,326 643,958
Net Assets:
Beginning of period 3,145,099 2,136,319 3,376,118 - 2,726,982 2,083,024
------------ ------------ ------------ ----------- ----------- -----------
End of period (a) $ 4,787,415 $ 3,145,099 $ 3,644,429 $3,376,118 $3,770,308 $2,726,982
=========== =========== =========== =========== =========== ============
(a) Including undistributed (overdistributed)
net investment income $ (431) $ 1,107 $ 135 $ - $ 941 $ (2,632)
============ ============ ========== =========== =========== ===========
<FN>
*-The BlackRock Managed Bond Portfolio commenced investment operations on January 2, 1996.
</TABLE>
. The accompanying notes are an integral part of the financial statements.
<PAGE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
EliteValue Global Advisors Global Advisors
Asset Allocation Growth Equity Money Market
----------------- -------------- ---------------
Six Months Period Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
June 30, 1997 December 31, June 30, 1997 December 31 June 30, December 31,
(unaudited) 1996 (unaudited) 1996* (unaudited) 1996
----------- ---------- -------------- ----------- ------------- ------------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
From operations:
Net investment income $ 29,012 $ 26,047 $ 27,038 $ 47,555 $ 50,610 $ 37,566
Net realized gain (loss) on:
Investments and futures 61,938 28,614 185,983 131,244 - -
Net change in unrealized appreciation
(depreciation) of:
Investments and futures 363,441 309,384 463,626 340,351 - -
----------- ---------- ------------ ----------- ----------- -----------
Net increase in net assets resulting
from operations 454,391 364,045 676,647 519,150 50,610 37,566
Distributions to shareholders (Note 1):
From net investment income (29,046) (26,047) (27,105) (47,555) (50,610) (37,566)
From net realized gains - (28,614) - (123,806) - -
Fund share transactions (Note 4) 2,536,724 1,997,654 1,064,920 1,000,038 1,999,280 1,164,745
------------ ----------- ------------ ----------- ----------- ------------
Total increase in net assets 2,962,069 2,307,038 1,714,462 1,347,827 1,999,280 1,164,745
Net Assets:
Beginning of period 2,307,038 - 3,420,466 2,072,639 1,291,024 126,279
------------ ----------- ------------- ------------ ------------ ------------
End of period (a) $ 5,269,107 $ 2,307,038 $ 5,134,928 $ 3,420,466 $3,290,304 $ 1,291,024
============ =========== ============ ============ ============ ============
(a) Including undistributed (overdistributed)
net investment income $ (33) $ - $ (67) $ - $ - $ -
============ =========== ============= ============ ============ ============
<FN>
*-The EliteValue Asset Allocation Portfolio commenced investment operations on January 2, 1996.
</TABLE>
. The accompanying notes are an integral part of the financial statements.
<PAGE>
WNL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Salomon Brothers Van Kampen American
U.S. Government Securities Capital Emerging Growth
-------------------------- -------------------------
Six Months Period Six Months Period
Ended Ended Ended Ended
June 30, 1997 December 31, June 30, 1997 December 31
(unaudited) 1996 (unaudited) 1996*
----------- ----------- ------------- -----------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
From operations:
Net investment income $ 73,207 $ 121,541 $ 4,208 $ 5,070
Net realized gain (loss) on:
Investments and futures 2,250 (39,476) (148,401) (10,938)
Net change in unrealized appreciation
(depreciation) of:
Investments and futures 4,471 (1,770) 385,529 144,523
----------- ----------- ----------- -----------
Net increase in net assets resulting
from operations 79,928 80,295 241,336 138,655
Distributions to shareholders (Note 1):
From net investment income (73,045) (121,541) (4,127) (5,070)
From net realized gains - - - (49,696)
Fund share transactions (Note 4) 149,698 2,387,963 1,298,890 1,797,948
----------- ----------- ----------- -----------
Total increase in net assets 156,581 2,346,717 1,536,099 1,881,837
Net Assets:
Beginning of period 2,346,717 - 1,881,837 -
----------- ----------- ----------- -----------
End of period (a) $2,503,298 $2,346,717 $3,417,936 $1,881,837
=========== =========== =========== ===========
(a) Including undistributed (overdistributed)
net investment income $ 162 $ - $ 82 $ -
=========== =========== =========== ===========
<FN>
*-The Salomon Brothers U.S. Government Securities Portfolio and Van Kampen American Capital
Portfolio commenced investment operations on February 6, 1996 and January 2, 1996, respectively.
</TABLE>
. The accompanying notes are an integral part of the financial statements.
<PAGE>
WNL SERIES TRUST
CONSOLIDATED STATEMENTS OF CASH FLOWS
<TABLE>
<CAPTION>
Salomon Brothers
U.S. Government Securities
----------------------------
Six Months Period
Ended Ended
June 30, 1997 December 31,
(unaudited) 1996*
--------------- -------------
<S> <C> <C>
Cash flows from operating activities:
Net Income $ 73,207 $ 121,541
Adjustments to reconcile net income to net cash provided
by operating activities:
Paydown net gain 7,847 3,491
Amortization (4,142) 1,369
Increase (decrease) from changes in:
Interest receivable 3,049 (27,552)
Advisor receivable (22,978) (5,259)
Prepaid Insurance 2,627 (4,409)
Trustee Fees Payable 1,808 -
Accounts Payable 22,255 21,873
--------------- --------------
Net cash provided by operating activities 83,673 111,054
--------------- --------------
Cash flows from investing activities
Purchase short term bonds and securities (86,238,295) (102,618,622)
Purchase long term bonds and securities (6,833,149) (7,377,504)
Proceeds from short term sale of bonds and securities 84,857,000 102,511,000
Proceedss from long term sale of bonds and securities 8,048,614 5,113,041
--------------- --------------
Net Cash used in investing activities (165,830) (2,372,085)
--------------- --------------
Cash flows from financing activities
Subscriptions to the fund 172,985 2,273,730
Reinvestments to the fund 73,045 121,541
Redemptions from the fund (90,589) (12,069)
Distributions paid from the fund (73,045) (121,541)
--------------- --------------
Net cash provided by financing activities 82,396 2,261,661
--------------- --------------
Net increase in cash 239 630
Total cash beginning of period 630 -
--------------- --------------
Total cash end of period $ 869 $ 630
--------------- --------------
</TABLE>
. The accompanying notes are an integral part of the financial statements.
<PAGE>
- ------
<TABLE>
<CAPTION>
WNL SERIES TRUST
FINANCIAL HIGHLIGHTS
For a share outstanding throughout each period
BEA Growth and Income BlackRock Manged Bond
--------------------- ---------------------
Six Months Year Period Six Months Period
Ended Ended Ended Ended Ended
June 30, 1997 December 31, December 31, June 30, 1997 December 31,
(unaudited) 1996 1995* (unaudited) 1996*
--------------- -------------- -------------- --------------- -------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE
Net asset value, beginning of period $ 11.04 $ 10.46 $ 10.00 $ 9.78 $ 10.00
--------------- -------------- -------------- --------------- --------------
INVESTMENT OPERATIONS
Net investment income (1) 0.17 0.47 0.14 0.29 0.58
Net realized and
unrealized gain (loss) 1.09 0.96 0.51 0.01 (0.22)
--------------- -------------- -------------- --------------- --------------
Total from investment operations 1.26 1.43 0.65 0.30 0.36
--------------- -------------- -------------- --------------- --------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net investment income (0.17) (0.47) (0.14) (0.29) (0.58)
Net realized gains - (0.38) - - -
In excess of net realized gains - - (0.05) - -
--------------- -------------- -------------- --------------- --------------
Total distributions
to shareholders (0.17) (0.85) (0.19) (0.29) (0.58)
--------------- -------------- -------------- --------------- --------------
Net asset value, end of period $ 12.13 $ 11.04 $ 10.46 $ 9.79 $ 9.78
=============== ============== ============== =============== ==============
TOTAL RETURN (2) 11.54% 13.82% 6.57% 3.20% 3.76%
RATIOS And SUPPLEMENTAL
DATA
Expenses to average
net assets (3,4) 0.62% 0.49% 0.12% 0.42% 0.28%
Net investment income to
average net assets 3.12% 4.65% 6.99% 6.13% 6.02%
Portfolio turnover rate 80% 217% 75% 138% 488%
Average commission rate (5) $ 0.0326 $ 0.0600 $ 0.0623 - -
Net assets, end of period (000's) $ 4,787 $ 3,145 $ 2,136 $ 3,644 $ 3,376
<FN>
*-The Growth and Income Portfolio and Managed Bond Portfolio commenced investment operations on October 20, 1995 and
January 2, 1996, respectively.
(1) Net investment income is after waiver of fees and reimbursement of certain expenses by the Investment Adviser,
the Sub-administrator and Western National Life Insurance Company, an affiliate of the Adviser (see Note 2 to the
financial statements). If the Investment Adviser and the Sub-administrator had not waived fees and Western National
Life Insurance Company had not reimbursed expenses for the periods ended June 30, 1997, December 31, 1996, and December
31, 1995, net investment income (loss) per share would have been $0.02, $0.00 and $(0.06) for the Growth and Income
Portfolio, respectively. For the periods ended June 30, 1997 and December 31, 1996, the net investment income per share
would have been $0.11 and $0.23 for the Managed Bond Portfolio, respectively.
(2) Total return represents aggregate total return for the period indicated and is not annualized.
(3) If the Investment Adviser and the Sub-administrator had not waived fees and Western National Life Insurance Company
had not reimbursed expenses for the periods ended June 30, 1997, December 31, 1996, and December 31, 1995, the ratio of
operating expenses to average net assets would have been 3.83%, 5.15% and 9.95% for the Growth and Income Portfolio,
respectively. For the periods ended June 30, 1997 and December 31,1996, the ratio of operating expenses to average net
assets would have been 4.38% and 3.93% for the Managed Bond Portfolio, respectively.
(4) Annualized.
(5) Represents the average commission rate paid on equity security transactions on which commissions are charged.
</TABLE>
. The accompanying notes are an integral part of the financial statements.
<PAGE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
FINANCIAL HIGHLIGHTS
For a share outstanding throughout each period
Credit Suisse International Equity EliteValue Asset Allocation
---------------------------------- ---------------------------
Six Months Period Period Six Months Period
Ended Ended Ended Ended Ended
June 30, 1997 December 31, December 31, June 30, 1997 December 31,
(unaudited) 1996 1995* (unaudited) 1996*
-------------- -------------- -------------- --------------- --------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE
Net asset value, beginning of period $ 10.67 $ 10.33 $ 10.00 $ 12.32 $ 10.00
-------------- -------------- --------------- -------------- --------
INVESTMENT OPERATIONS
Net investment income (1) 0.07 0.15 0.06 0.09 0.18
Net realized and
unrealized gain (loss) 1.69 1.56 0.33 1.44 2.48
-------------- -------------- --------------- -------------- --------
Total from investment operations 1.76 1.71 0.39 1.53 2.66
-------------- -------------- --------------- -------------- --------
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net investment income (0.06) (0.15) (0.06) (0.09) (0.18)
In excess of net investment income - (0.24) - - -
Net realized gains - (0.98) - - (0.16)
-------------- -------------- -------------- --------------- --------
Total distributions
to shareholders (0.06) (1.37) (0.06) (0.09) (0.34)
-------------- -------------- --------------- -------------- --------
Net asset value, end of period $ 12.37 $ 10.67 $ 10.33 $ 13.76 $ 12.32
============== ============== =============== ============== ========
TOTAL RETURN (2) 16.46% 16.50% 3.93% 12.48% 26.70%
RATIOS And SUPPLEMENTAL
DATA
Expenses to average
net assets (3,4) 0.77% 0.60% 0.12% 0.52% 0.36%
Net investment income to
average net assets 1.35% 1.09% 2.89% 1.77% 1.74%
Portfolio turnover rate 3% 79% 2% 15% 21%
Average commission rate (5) $ 0.0108 $ 0.0134 $ 0.0371 $ 0.0569 $0.0545
Net assets, end of period (000's) $ 3,770 $ 2,727 $ 2,083 $ 5,269 $ 2,307
<FN>
*-The International Equity Portfolio and Asset Allocation Portfolio commenced operations on October 20, 1995, and January 2,
1996, respectively.
(1) Net investment income is after waiver of fees and reimbursement of certain expenses by the Investment Adviser, the
Sub-administrator and Western National Life Insurance Company, an affiliate of the Adviser (see Note 2 to the financial
statements). If the Investment Adviser and the Sub-administrator had not waived fees and Western National Life Insurance
Company had not reimbursed expenses for the periods ended June 30, 1997 and December 31, 1996, and December 31, 1995, net
investment income (loss) per share would have been $(0.15), $(1.25) and $(0.18) for the International Equity Portfolio,
respectively. For the periods ended June 30, 1997and December 31,1996, the net investment income (loss) per share would have
been $(0.07) and $(0.54) for the Asset Allocation Portfolio, respectively.
(2) Total return represents aggregate total return for the period indicated and is not annualized.
(3) If the Investment Adviser and the Sub-administrator had not waived fees and Western National Life Insurance Company had not
reimbursed expenses for the periods ended June 30, 1997, December 31, 1996, and December 31, 1995, the ratio of operating
expenses to average net assets would have been 5.14%, 6.41% and 11.83% for the International Equity Portfolio, respectively.
For the periods ended June 30, 1997 and December 31, 1996, the ratio of operating expenses to average net assets would have been
4.40% and 7.45% for the Asset Allocation Portfolio, respectively.
(4) Annualized.
(5) Represents the average commission rate paid on equity security transactions on which commissions are charged.
</TABLE>
. The accompanying notes are an integral part of the financial statements.
<PAGE>
WNL SERIES TRUST
FINANCIAL HIGHLIGHTS
For a share outstanding throughout each period
<TABLE>
<CAPTION>
Global Advisors Growth Equity
--------------------------------
Six Months Year Period
Ended Ended Ended
June 30, 1997 December 31, December 31,
(unaudited) 1996 1995*
-------------- -------------- --------------
<S> <C> <C> <C>
NET ASSET VALUE
Net asset value,
beginning of period . . . . . . $ 11.85 $ 10.31 $ 10.00
--------------- -------------- --------------
INVESTMENT OPERATIONS
Net investment income (1) . . . . 0.08 0.20 0.05
Net realized and
unrealized gain (loss). . . . . 1.93 1.99 0.31
--------------- -------------- --------------
Total from investment operations. 2.01 2.19 0.36
--------------- -------------- --------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net investment income . . . . . . (0.08) (0.20) (0.05)
Net realized gains. . . . . . . . - (0.45) -
--------------- -------------- --------------
Total distributions
to shareholders . . . . . . . . (0.08) (0.65) (0.05)
--------------- -------------- --------------
Net asset value, end of period. . $ 13.78 $ 11.85 $ 10.31
=============== ============== ==============
TOTAL RETURN (2). . . . . . . . . 16.99% 21.36% 3.57%
RATIOS And SUPPLEMENTAL DATA
Expenses to average
net assets (3,4). . . . . . . . 0.48% 0.39% 0.12%
Net investment income to
average net assets. . . . . . . 1.34% 1.80% 2.46%
Portfolio turnover rate . . . . . 45% 89% 9%
Average commission rate (5) . . . $ 0.0357 0.0326 $ 0.0226
Net assets, end of period (000's) $ 5,135 $ 3,420 $ 2,073
</TABLE>
<TABLE>
<CAPTION>
Global Advisors Money Market
-------------------------------
Six Months Period Period
Ended Ended Ended
June 30, December 31, December 31,
(unaudited) 1996 1995*
------------ ------------ --------------
<S> <C> <C> <C>
NET ASSET VALUE
Net asset value,
beginning of period . . . . . . $ 1.00 $ 1.00 $ 1.00
----------- -------------- --------------
INVESTMENT OPERATIONS
Net investment income (1) . . . . 0.03 0.05 0.01
Net realized and
unrealized gain (loss). . . . . - - -
------------ -------------- --------------
Total from investment operations. 0.03 0.05 0.01
------------ -------------- --------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net investment income . . . . . . (0.03) (0.05) (0.01)
Net realized gains. . . . . . . . - - -
----------- -------------- --------------
Total distributions
to shareholders . . . . . . . . (0.03) (0.05) (0.01)
----------- -------------- --------------
Net asset value, end of period. . $ 1.00 $ 1.00 $ 1.00
============ ============== ==============
TOTAL RETURN (2). . . . . . . . . 2.68% 5.19% 1.17%
RATIOS And SUPPLEMENTAL DATA
Expenses to average
net assets (3,4). . . . . . . . 0.32% 0.29% 0.12%
Net investment income to
average net assets. . . . . . . 5.37% 5.23% 5.25%
Portfolio turnover rate . . . . . N/A N/A N/A
Average commission rate (5) . . . - - -
Net assets, end of period (000's) $ 3,290 $ 1,291 $ 126
<FN>
*-The Growth Equity Portfolio and Money Market Portfolio commenced operations on October 20, 1995 and October 10, 1995,
respectively.
(1) Net investment income is after waiver of fees and reimbursement of certain expenses by the Investment Adviser, the
Sub-administrator and Western National Life Insurance Company, an affiliate of the Adviser (see Note 2 to the financial
statements). If the Investment Adviser and the Sub-administrator had not waived fees and Western National Life Insurance
Company had not reimbursed expenses for the periods ended June 30, 1997, December 31, 1996, and December 31, 1995, net
investment income (loss) per share would have been $(0.10), $(0.29) and $(0.15) for the Growth Equity Portfolio, respectively,
and $0.01, $(0.08) and $(0.35) for the Money Market Portfolio, respectively.
(2) Total return represents aggregate total return for the period indicated and is not annualized.
(3) If the Investment Adviser and the Sub-administrator had not waived fees and Western National Life Insurance Company had not
reimbursed expenses for the periods ended June 30, 1997, December 31, 1996, and December 31, 1995, the ratio of operating
expenses to average net assets would have been 3.74%, 4.83% and 9.94% for the Growth Equity Portfolio, respectively, and 5.99%,
14.15% and 161.83% for the Money Market Portfolio, respectively.
(4) Annualized.
(5) Represents the average commission rate paid on equity security transactions on which commissions are charged.
</TABLE>
. The accompanying notes are an integral part of the financial statements.
<PAGE>
WNL SERIES TRUST
FINANCIAL HIGHLIGHTS
For a share outstanding throughout each period
<TABLE>
<CAPTION>
Salomon Brothers Van Kampen American
U.S. Government Securities Capital Emerging Growth
---------------------------- -------------------------
Six Months Period Six Months Period
Ended Ended Ended Ended
June 30, 1997 December 31, June 30, 1997 December 31,
(unaudited) 1996* (unaudited) 1996*
--------------- --------------- -------------- ---------------
<S> <C> <C> <C> <C>
NET ASSET VALUE
Net asset value, beginning of period. $ 9.79 $ 10.00 $ 11.54 $ 10.00
--------------- -------------- --------------- --------------
INVESTMENT OPERATIONS
Net investment income (1) . . . . . . 0.30 0.53 0.02 0.05
Net realized and
unrealized gain (loss) . . . . . . 0.03 (0.21) 0.99 1.86
--------------- -------------- --------------- --------------
Total from investment operations. . . 0.33 0.32 1.01 1.91
--------------- -------------- --------------- --------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net investment income . . . . . . . . (0.30) (0.53) (0.02) (0.05)
Net realized gains. . . . . . . . . . - - - (0.32)
--------------- -------------- --------------- --------------
Total distributions
to shareholders . . . . . . . . . . (0.30) (0.53) (0.02) (0.37)
--------------- -------------- --------------- --------------
Net asset value, end of period. . . . $ 9.82 $ 9.79 $ 12.53 $ 11.54
=============== ============== =============== ==============
TOTAL RETURN (2). . . . . . . . . . . 3.35% 3.40% 8.76% 19.06%
RATIOS And SUPPLEMENTAL DATA. . . . . 0.00
Expenses to average
net assets (3,4). . . . . . . . . . 0.35% 0.22% 0.62% 0.46%
Net investment income to
average net assets. . . . . . . . . 6.16% 5.91% 0.34% 0.40%
Portfolio turnover rate . . . . . . . 360% 297% 69% 154%
Average commission rate (5) . . . . . - - $ 0.0370 $ 0.0419
Net assets, end of period (000's) . . $ 2,503 $ 2,347 $ 3,418 $ 1,882
<FN>
*-The U.S. Government Securities Portfolio and Emerging Growth Portfolio commenced operations on
February 6, 1996 and January 2, 1996, respectively.
(1) Net investment income is after waiver of fees and reimbursement of certain expenses by the
Investment Adviser, the Sub-administrator and Western National Life Insurance Company, an affiliate of
the Adviser (see Note 2 to the financial statements). If the Investment Adviser and the
Sub-administrator had not waived fees and Western National Life Insurance Company had not reimbursed
expenses for the periods ended June 30, 1997 and December 31, 1996, net investment income (loss) per
share would have been $0.05 and $0.10 for the U.S. Government Securities Portfolio, respectively, and
$(0.34) and $(1.29) for the Emerging Growth Portfolio , respectively.
(2) Total return represents aggregate total return for the period indicated and is not annualized.
(3) If the Investment Adviser and the Sub-administrator had not waived fees and Western National Life
Insurance Company had not reimbursed expenses for the periods ended June 30, 1997 and December 31,
1995, the ratio of operating expenses to average net assets would have been 5.59% and 5.26% for the
U.S. Government Securities Portfolio, respectively, and 8.54% and 11.22% for the Emerging Growth
Portfolio, respectively.
(4) Annualized.
(5) Represents the average commission rate paid on equity security transactions on which commissions
are charged.
</TABLE>
. The accompanying notes are an integral part of the financial statements.
<PAGE>
WNL SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
June 30, 1997 (unaudited)
WNL Series Trust (the "Trust") is an open-end, diversified series management
investment company established as a Massachusetts business trust under a
Declaration of Trust dated December 12, 1994, as amended April 19, 1995. The
Trust currently offers shares of beneficial interest in eight series (the
"Portfolios"), each of which has a different investment objective and
represents the entire interest in a separate portfolio of investments. The
Portfolios are: BEA Growth and Income Portfolio (the "Growth and Income
Portfolio"), BlackRock Managed Bond Portfolio (the "Managed Bond Portfolio"),
Credit Suisse International Equity Portfolio (the "International Equity
Portfolio"), EliteValue Asset Allocation Portfolio (the "Asset Allocation
Portfolio"), Global Advisors Growth Equity Portfolio (the "Growth Equity
Portfolio"), Global Advisors Money Market Portfolio (the "Money Market
Portfolio"), Salomon Brothers U.S. Government Securities Portfolio (the "U.S.
Government Securities Portfolio"), and Van Kampen American Capital Emerging
Growth Portfolio (the "Emerging Growth Portfolio"). The Portfolios are
currently available to the public only through variable annuity contracts ("VA
Contracts") issued by Western National Life Insurance Company (the "Life
Company"), a wholly-owned subsidiary of Western National Corporation.
1. SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements in accordance with generally accepted
accounting principles requires management to make estimates and assumptions
that affect the reported amounts and disclosures in the financial statements.
Actual results could differ from these estimates. The following is a summary
of significant accounting policies followed by the Trust in the preparation of
its financial statements in accordance with generally accepted accounting
principles.
(a) VALUATION OF SECURITIES - All securities are valued as of the close of
regular trading on the New York Stock Exchange (normally 4:00 p.m. New York
time). Securities traded on a national securities exchange or quoted on the
NASDAQ National Market System are valued at their last-reported sale price on
the principal exchange or reported by NASDAQ or, if there is no reported sale,
and in the case of over-the-counter securities not included in the NASDAQ
National Market System, at a bid price estimated by a broker or dealer. Debt
securities, including zero-coupon securities, and certain foreign securities
will be valued by a pricing service approved by the Trustees. Other foreign
securities will be valued by the Trust's custodian. The value of a foreign
security is determined in its national currency as of the close of trading on
the foreign exchange on which it is traded or as of 4:00 p.m. New York time,
if that is earlier, and that value is then converted into its U.S. dollar
equivalent at the foreign exchange rate in effect at noon, New York time, on
the day the value of the foreign security is determined. Securities for which
current market quotations are not readily available and all other assets are
valued at fair value as determined in good faith by the Trustees.
The Money Market Portfolio values all securities using the amortized cost
method which approximates market value. Under this method, which does not
take into account unrealized securities gains or losses, an instrument is
initially valued at its cost and thereafter assumes a constant amortization or
accretion to maturity of any discount or premium.
(b) REPURCHASE AGREEMENTS - A repurchase agreement is a contract under which
the Portfolio acquires a security for a relatively short period (usually not
more than a week) subject to the obligation of the seller to repurchase and
the Portfolio to resell such security at a fixed time and price. The
collateral for such agreements will be held by the Portfolio's custodian. The
Portfolio will enter into repurchase agreements only with banks and
broker-dealers that have been determined to be creditworthy by the Trust's
Board of Trustees. The seller under a repurchase agreement would be required
to maintain the value of the collateral subject to the repurchase agreement at
not less than the repurchase price. Default by the seller would expose the
Portfolio to possible loss because of adverse market action or delay in
connection with the disposition of the underlying collateral. In addition, if
bankruptcy proceedings are commenced with respect to the seller of the
obligations, the Portfolio may be delayed or limited in its ability to sell
the collateral.
<PAGE>
(c) WHEN ISSUED TRANSACTIONS- The Portfolios may enter into a when-issued
transaction for the purpose of acquiring portfolio securities and not for the
purpose of leverage, although a Portfolio may dispose of a when-issued
security or forward commitment prior to settlement if it is deemed appropriate
to do so. In such transactions, delivery of the securities occurs beyond the
normal settlement periods, but no payment or delivery is made by, and no
interest accrues to, the Portfolios prior to the actual delivery or payment by
the other party to the transaction. Due to fluctuations in the value of
securities purchased on a when-issed or a delayed-delivery basis, the yields
obtained on such securities may be higher or lower than the yields available
in the market on the dates when the investments are actually delivered to the
buyers.
(d) DOLLAR ROLL TRANSACTIONS- Certain Portfolios seeking a high level of
current income may enter into dollar rolls in which the Portfolio sells
securities (usually Mortgage-Backed Securities) and simultaneously contracts
to purchase, typically in 30 to 60 days, substantially similar but not
identical, securities on a specified future date. The proceeds of the initial
sale of securities in such transaction may be used to purchase long-term
securities which will be held during the dollar roll period. During the roll
period the Portfolio foregoes principal and interest paid on the security sold
at the beginning of the roll period. The Portfolio is compensated by the
difference between the current sale price and the forward price for the future
purchase as well as by the interest earned on the cash proceeds of the initial
sale. Dollar rolls involve the risk that the market value of the securities
the Portfolio is obligated to repurchase under the agreement may decline below
the repurchase price.
(e) FOREIGN INVESTMENTS - Certain Portfolios may invest in securities of
foreign issuers. There are certain risks involved in investing in foreign
securities, including those resulting from fluctuations in currency exchange
rates, devaluation of currencies, future political or economic developments
and the possible imposition of currency exchange blockages or other foreign
governmental laws or restrictions, reduced availability of public information
concerning issuers, and the fact that foreign companies are not generally
subject to uniform accounting, auditing and financial reporting standards or
to other regulatory practices and requirements comparable to those applicable
to domestic companies. The Portfolios' foreign investments may be less liquid
and their prices may be more volatile than comparable investments in
securities of U.S. companies.
(f) FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS - Certain Portfolios may
engage in forward foreign currency exchange contracts ("forward contracts").
Portfolios may enter into forward contracts to convert U.S Dollars to and from
different foreign currencies. A Portfolio can either enter into these
transactions on a spot (i.e., cash) basis at the spot rate prevailing in the
foreign currency exchange market, or use forward contracts to purchase or sell
foreign currencies. Realized and unrealized gains and losses arising from
such transactions are included in net realized and unrealized gains and losses
from foreign currency related transactions.
A forward contract is an obligation by a Portfolio to purchase or sell a
specific currency at a future date. The Portfolio maintains with its
custodian, in a segregated account, high-grade liquid assets in an amount at
least equal to its obligations under each contract. Neither spot transactions
nor forward contracts eliminate fluctuations in the prices of the Portfolio's
securities or in foreign exchange rates, or prevent loss if the prices of
these securities should decline.
A Portfolio may enter into forward contracts for hedging purposes as well as
for non-hedging purposes. Transactions are entered into for hedging purposes
in an attempt to protect against changes in foreign currency exchange rates
that would adversely affect a portfolio position or an anticipated portfolio
position. Although these transactions tend to minimize the risk of loss due
to a decline in the value of the hedged currency, at the same time they tend
to limit any potential gain that might be realized should the value of the
hedged currency increase.
A Portfolio may enter into forward contracts for other than hedging purposes
which present greater profit potential but also involves increased risk.
(g) FOREIGN CURRENCY TRANSLATIONS- The books and records of the Portfolios
are maintained in U.S. dollars. Foreign currencies, investments and other
assets and liabilities are translated into U.S. dollars at the exchange rates
prevailing at the end of the period, and purchases and sales of investment
securities, income and expenses are translated on the respective dates of such
transactions. The eligible Portfolios do not isolate that portion of the
results of operations from changes in foreign exchange rates on investments
from the fluctuations arising from changes in market prices of securities
held. Such changes and fluctuations are included with net realized and
unrealized gain or loss from investments. Foreign exchange gain (loss) is
treated as ordinary income for federal income tax purposes to the extent
constituting "Section 988 Transactions" pursuant to the Internal Revenue Code,
including currency gains (losses) related to the sale of debt securities,
forward foreign currency exchange contracts, payments of liabilities, and
collections of receivables.
<PAGE>
(h) FUTURES CONTRACTS - Certain Portfolios may enter into futures contracts.
Upon entering into a futures contract, the Portfolio is required to deposit
with the broker an amount of cash or cash equivalents equal to a certain
percentage of the contract amount. This is known as the initial margin.
Subsequent payments ("variation margin") are made or received by the Portfolio
each day, depending on the daily fluctuation of the value of the contract.
The daily changes in the contract are recorded as unrealized gains or losses.
The Portfolio recognizes a realized gain or loss when the contract is closed.
The use of futures contracts as a hedging device involves several risks. The
change in value of futures contracts primarily corresponds with the value of
their underlying instruments, which may not correlate with the change in value
of the hedged investments. In addition, the Portfolio may not be able to
enter into a closing transaction because of an illiquid secondary market.
(i) SECURITIES TRANSACTIONS AND INVESTMENT INCOME - Securities transactions
are recorded as of the trade date. Realized gains and losses on sales of
investments are recorded on the identified cost basis. Interest income is
recorded daily on the accrual basis. Dividend income is recorded on the
ex-date.
(j) EXPENSE ALLOCATION - Expenses with respect to any two or more Portfolios
may be allocated in proportion to the net assets of the respective Portfolios
except where allocations of direct expenses can otherwise be fairly made.
(k) DIVIDENDS AND DISTRIBUTIONS - The Money Market Portfolio will declare a
dividend of its net ordinary income daily and distribute such dividend
monthly. Each of the other Portfolios will declare and distribute dividends
from net ordinary income quarterly and will distribute its net realized
capital gains, if any, at least annually.
Income dividends and capital gain distributions are determined in accordance
with Federal tax regulations which may differ from generally accepted
accounting principles. These differences are primarily due to differing
treatments of income and gains on various investment securities held by the
Portfolios, timing differences and differing characterization of distributions
made by the Portfolios. As a result, net investment income (loss) and net
realized gain (loss) on investment transactions for a reporting period may
differ significantly from distributions during such period. Accordingly, each
Portfolio may periodically make reclassifications among certain of its capital
accounts without impacting the net asset value of the Portfolio.
(l) FEDERAL INCOME TAXES - Each Portfolio of the Trust intends to qualify and
elects to be treated as a regulated investment company that is taxed under the
rules of Subchapter M of the Internal Revenue Code. As an electing regulated
investment company, a Portfolio will not be subject to federal income tax on
its net ordinary income and net realized capital gains to the extent such
income and gains are distributed to the separate account of the Life Company
which holds its shares.
2. INVESTMENT ADVISORY FEES AND OTHER TRANSACTIONS WITH AFFILIATES
Under an Investment Advisory Agreement (the "Agreement"), WNL Investment
Advisory Services, Inc. (the "Adviser"), a wholly-owned subsidiary of Western
National Corporation, manages the business and affairs of the Portfolios and
the Trust, subject to the control of the Trustees. Under the Agreement, the
Adviser is obligated to formulate a continuing program for the investment of
the assets of each Portfolio of the Trust in a manner consistent with each
Portfolio's investment objectives, policies and restrictions and to determine
from time to time securities to be purchased, sold, retained or lent by the
Trust and to implement those decisions. The Agreement also provides that the
Adviser shall provide such services required for effective administration of
the Trust.
As full compensation for its services under the Agreement, the Trust will pay
the Adviser a monthly fee at the following rates based on the average daily
net assets of each Portfolio:
<TABLE>
<CAPTION>
<S> <C>
BEA Growth and Income . . . . . . . . . . . 0.75%
BlackRock Managed Bond. . . . . . . . . . . 0.55%
Credit Suisse International Equity. . . . . 0.90%
EliteValue Asset Allocation . . . . . . . . 0.65%
Global Advisors Growth Equity . . . . . . . 0.61%
Global Advisors Money Market. . . . . . . . 0.45%
Salomon Brothers U.S. Government Securities 0.475%
Van Kampen American Capital Emerging Growth 0.75%
</TABLE>
<PAGE>
The Adviser has agreed to waive its advisory fee for each of the Portfolios
for the initial six months of each Portfolio's investment operations.
Additionally, the Adviser has agreed to waive that portion of its advisory fee
which is in excess of the amount payable by the Adviser to each Sub-adviser
pursuant to the respective sub-advisory agreements for each Portfolio until
May 1, 1998. The Adviser pays each Sub-adviser the following fees:
<TABLE>
<CAPTION>
<S> <C>
BEA Growth and Income . . . . . . . . . . . 0.50%
BlackRock Managed Bond. . . . . . . . . . . 0.30%
Credit Suisse International Equity. . . . . 0.65%
EliteValue Asset Allocation . . . . . . . . 0.40%
Global Advisors Growth Equity . . . . . . . 0.36%
Global Advisors Money Market. . . . . . . . 0.20%
Salomon Brothers U.S. Government Securities 0.225%
Van Kampen American Capital Emerging Growth 0.50%
</TABLE>
In addition, Western National Life Insurance Company, an affiliate of the
Adviser, has undertaken to bear until May 1, 1998 all operating expenses of
each Portfolio, excluding the compensation of the Adviser, that exceed 0.12%
of each Portfolio's average daily net assets.
In accordance with each Portfolio's investment objective and policies and
under the supervision of the Adviser and the Trust's Board of Trustees, each
Portfolio's Sub-adviser is responsible for the day-to-day investment
management of the Portfolio, to make investment decisions for the Portfolio
and to place orders on behalf of the Portfolio to effect the investment
decisions made as provided in separate Sub-advisory Agreements. The
Sub-advisers to the Portfolios are: BEA Associates for the Growth and Income
Portfolio; BlackRock Financial Management, Inc. for the Managed Bond
Portfolio; Credit Suisse Investment Management, Ltd. for the International
Equity Portfolio; OpCap Advisors for the Asset Allocation Portfolio; State
Street Global Advisors for the Growth Equity and Money Market Portfolios;
Salomon Brothers Asset Management Inc. for the U.S. Government Securities
Portfolio; and Van Kampen American Capital Asset Management, Inc. for the
Emerging Growth Portfolio. The Sub-advisers receive their fees directly from
the Adviser, and receive no compensation from the Trust.
The Trust's Sub-administrator, custodian, transfer and dividend-paying agent
is State Street Bank and Trust Company.
For the period ended June 30, 1997, the Adviser waived advisory fees, the
Sub-administrator waived Sub-administration fees and Western National Life
Insurance Company reimbursed operating expenses as follows:
<TABLE>
<CAPTION>
Advisory Sub-
Fees administration Expenses
Waived Fees Waived Reimbursed Total
--------- -------------- ----------- -------
<S> <C> <C> <C> <C>
Bea Browth and Income. . . . . . . $ 4,527 - $ 53,560 $58,087
BlackRock Managed Bond . . . . . . 4,289 - 63,705 67,994
Credit Suisse International Equity 3,849 - 63,395 67,244
EliteValue Asset Allocation. . . . 4,103 - 59,597 63,700
Global Advisors Growth Equity. . . 5,050 - 60,855 65,905
Global Advisors Money Market . . . 2,358 - 51,122 53,480
Salomon Brothers U.S. Government
Securities . . . . . . . . . . . 2,970 4,049 55,358 62,377
Van Kampen American Capital
Emerging Growth. . . . . . . . . 3,099 - 95,045 98,144
<FN>
WNL Brokerage Services, Inc., a subsidiary of Western National Corporation, is the
distributor and underwriter of the VA Contracts.
</TABLE>
<PAGE>
Each Trustee of the Trust who is not an interested person of the Trust or
Adviser or Sub-adviser receives an annual fee of $7,500 and an additional fee
of $750 for each Trustees' meeting attended. In addition, disinterested
Trustees who are members of any Board committees will receive a separate $750
fee for attendance at any committee meeting that is held on a day on which no
Board meeting is held.
For the period ended June 30, 1997, Global Advisors Growth Equity Portfolio,
Credit Suisse International Equity Portfolio, Van Kampen American Capital
Emerging Growth Portfolio and EliteValue Asset Allocation Portfolio paid
brokerage commissions of $194, $0, $15 and $30, respectively, to CS First
Boston Corporation and $292, $104, $421 and $186, respectively, to Salomon
Brothers Inc., affiliated brokers, for portfolio transactions executed on
behalf of the Portfolios.
3. SECURITY TRANSACTIONS
The aggregate cost of purchases and proceeds from sales of securities,
excluding short-term investments, for the period ended June 30, 1997 were as
follows:
<TABLE>
<CAPTION>
U.S . U.S.
Government Proceeds Government
Purchases Purchases from Sales Sales
----------- ---------- ----------- ----------
<S> <C> <C> <C> <C>
Bea Growth and Income . . . . . . $ 2,078,789 $2,059,749 $ 835,476 $1,874,403
BlackRock Managed Bond. . . . . . 935,107 3,119,427 571,708 3,743,534
Crdit Suisse International Equity 1,005,454 - 100,948 -
EliteValue Asset Allocation . . . 1,989,417 41,432 395,759 -
Global Advisors Growth Equity . . 2,834,858 - 1,789,058 13,345
Global Advisors Money Market. . . - - - -
Salomon Brothers U.S. Government
Securitites . . . . . . . . . . - 7,927,477 - 8,243,062
Van Kampen American Capital
Emerging Growth . . . . . . . . 2,467,126 7,309 1,518,351 18,798
</TABLE>
4. SHARES OF BENEFICIAL INTEREST
The Trust has an unlimited authorized number of shares of beneficial interest
with a par value of
$0.01. The tables below summarize transactions in Trust shares.
<TABLE>
<CAPTION>
Bea Growth and Income Portfolio
Six Months Ended June 30, 1997 Year Ended December 31 1997
SHARES AMOUNT SHARES AMOUNT
<S> <C> <C> <C> <C>
Capital stock sold. . . . . 119,483 $ 1,382,895 66,163 $728,535
Capital stock issued upon
Reinvestment of dividends
And distributions . . . . 5,027 58,054 20,222 222,950
Capital stock redeemed. . . (14,820) (173,245) (5,666) (61,455)
- --------------------------- ------------------------------- ----------------------------- ------- ---------
Net Increase. . . . . . . . 109,690 $ 1,267,704 80,719 $890,030
=========================== =============================== ============================= ======= =========
</TABLE>
<TABLE>
<CAPTION>
BlackRock Managed Bond Portfolio
Six Months Ended June 30, 1997 Year Ended December 31 1997
SHARES AMOUNT SHARES AMOUNT
<S> <C> <C> <C> <C>
Capital stock sold. . . . . 22,005 $ 215,416 326,114 $3,255,351
Capital stock issued upon
Reinvestment of dividends
And distributions . . . . 10,821 104,997 19,619 189,281
Capital stock redeemed. . . (5,863) (57,379) (565) (5,552)
- --------------------------- ------------------------------- ----------------------------- -------- -----------
Net Increase. . . . . . . . 26,963 $ 263,034 345,168 $3,439,080
=========================== =============================== ============================= ======== ===========
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Credit Suisse International Equity Portfolio
Six Months Ended June 30, 1997 Year Ended December 31 1997
SHARES AMOUNT SHARES AMOUNT
<S> <C> <C> <C> <C>
Capital stock sold. . . . . 54,196 $ 617,385 30,199 $338,622
Capital stock issued upon
Reinvestment of dividends
And distributions . . . . 1,392 17,207 29,080 311,598
Capital stock redeemed. . . (6,527) (76,165) (5,158) (57,832)
- --------------------------- ------------------------------- ----------------------------- ------- ---------
Net Increase. . . . . . . . 49,061 $ 558,427 54,121 $592,388
=========================== =============================== ============================= ======= =========
</TABLE>
<TABLE>
<CAPTION>
EliteValue Asset Allocation Portfolio
Six Months Ended June 30, 1997 Year Ended December 31 1997
SHARES AMOUNT SHARES AMOUNT
<S> <C> <C> <C> <C>
Capital stock sold. . . . . 221,565 $ 2,878,417 188,662 $2,008,545
Capital stock issued upon
Reinvestment of dividends
And distributions . . . . 2,181 29,046 4,621 54,661
Capital stock redeemed. . . (28,052) (370,739) (5,982) (65,552)
- --------------------------- ------------------------------- ----------------------------- -------- -----------
Net Increase. . . . . . . . 195,694 $ 2,536,724 187,301 $1,997,654
=========================== =============================== ============================= ======== ===========
</TABLE>
<TABLE>
<CAPTION>
Global Advisors Growth Equity Portfolio
Six Months Ended June 30, 1997 Year Ended December 31 1997
SHARES AMOUNT SHARES AMOUNT
<S> <C> <C> <C> <C>
Capital stock sold. . . . . 95,835 $ 1,220,094 78,858 $ 894,813
Capital stock issued upon
Reinvestment of dividends
And distributions . . . . 2,111 27,105 14,601 171,361
Capital stock redeemed. . . (13,919) (182,279) (5,936) (66,136)
- --------------------------- ------------------------------- ----------------------------- ------- -----------
Net Increase. . . . . . . . 84,027 $ 1,064,920 87,523 $1,000,038
=========================== =============================== ============================= ======= ===========
</TABLE>
<TABLE>
<CAPTION>
Global Advisors Money Market Portfolio
Six Months Ended June 30, 1997 Year Ended December 31 1997
SHARES AMOUNT SHARES AMOUNT
<S> <C> <C> <C> <C>
Capital stock sold. . . . . 12,605,689 $ 12,605,689 8,792,660 $ 8,792,660
Capital stock issued upon
Reinvestment of dividends
And distributions . . . . 50,611 50,611 37,565 37,565
Capital stock redeemed. . . (10,657,020) (10,657,020) (7,665,480) (7,665,480)
- --------------------------- ------------------------------- ----------------------------- ----------- ------------
Net Increase. . . . . . . . 1,999,280 $ 1,999,280 1,164,745 $ 1,164,745
=========================== =============================== ============================= =========== ============
</TABLE>
<TABLE>
<CAPTION>
Salomon Brothers U. S. Government Securities Portfolio
Six Months Ended June 30, 1997 Year Ended December 31 1997
SHARES AMOUNT SHARES AMOUNT
<S> <C> <C> <C> <C>
Capital stock sold. . . . . 17,084 $ 167,870 228,423 $2,278,845
Capital stock issued upon
Reinvestment of dividends
and distributions. . . . 7,490 73,045 12,524 121,541
Capital stock redeemed. . . (9,276) (91,217) (1,264) (12,423)
- --------------------------- ------------------------------- ----------------------------- -------- -----------
Net Increase. . . . . . . . 15,298 $ 149,698 239,683 $2,387,963
=========================== =============================== ============================= ======== ===========
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
VAN KAMPEN CAPITAL EMERGING GROWTH PORTFOLIO
SIX MONTHS ENDED JUNE 30, 1997 YEAR ENDED DECEMBER 31 1997
SHARES AMOUNT SHARES AMOUNT
<S> <C> <C> <C> <C>
Capital stock sold. . . . . 183,075 $ 2,136,733 316,820 $ 3,633,490
Capital stock issued upon
Reinvestment of dividends
and distributions . . . 356 4,127 4,733 54,766
Capital stock redeemed. . . (73,763) (841,970) (158,471) (1,890,308)
- --------------------------- ------------------------------- ----------------------------- --------- ------------
Net Increase. . . . . . . . 109,668 $ 1,298,890 163,082 $ 1,797,948
=========================== =============================== ============================= ========= ============
<FN>
* Portfolio commenced operations on January 2, 1996.
** Portfolio commenced operations on February 6, 1996.
</TABLE>
5. FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
At June 30, 1997, the outstanding forward foreign currency exchange contracts,
which contractually obligate the Trust to deliver currencies at a specified
date, were as follows:
CREDIT SUISSE INTERNATIONAL EQUITY PORTFOLIO
<TABLE>
<CAPTION>
U.S. Dollar
Cost on U.S. Dollar
Currency Settlement Origination Current Unrealized
Sold Date Date Value Appreciation
------------ ------------ ------------- --------- ------------
<S> <C> <C> <C> <C> <C>
FRF 07/22/1997 $ 131,928 $ 129,810 $ 2,118
JPY 07/22/1997 383,478 416,320 (32,842)
NLG 07/22/1997 119,830 117,858 1,972
------------ ------------- ---------
$ 635,236 $ 663,988 $ (28,752)
</TABLE>
6. Tax Information
For Federal income tax purposes capital loss carryforwards (exclusive of
certain capital losses incurred after October 31) of $63,719 and $38,675 are
available to the extent provided by regulations to offset future realized
capital gains of BlackRock Managed Bond Portfolio and Salomon Brothers U.S.
Government Securities Portfolio, respectively. These losses expire in 2004.
Additionally, certain capital losses incurred after October 31, within the
taxable year are deemed to arise on the first business day of the Portfolio's
next taxable year. During the year ended December 31, 1996 Van Kampen
American Capital Emerging Growth Portfolio and BEA Growth and Income Portfolio
elected to defer net capital losses of $40,860 and $11,514, respectively.
