WNL SERIES TRUST
ANNUAL REPORT
DECEMBER 31, 1996
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 1996 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 BEA Growth and Income Portfolio commenced operations on October 20, 1995.
It's total return for 1996, 13.82%, slightly exceeded the 13.10% of its
benchmark, a composite made up of 50%,the S&P 500 Index and 50%, the Lehman
Brothers Aggregate Bond Index. Like its benchmark, the portfolio is nearly
equally balanced between equities and debt instruments.
The strategy in the equity portion of the portfolio involves top-down sector
selection combined with bottom-up stock selection within sectors. BEA
believes that the current economic boom may not continue at the current pace,
so the manager has taken a defensive position, emphasizing large-cap,
recognizable names and sectors that are deemed to be among the less cyclical.
The manager further believes that there is excess capacity in certain
industries, including electronics, chemicals, and paper, and accordingly, the
portfolio has been structured to avoid those sectors. The overall strategy 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, BEA believes that market rates are not likely to
rise dramatically because inflation is under control and will probably remain
so. However, continued high global demand for funds will keep real interest
rates high by historical standards. As a result, BEA is emphasizing yield
over price appreciation in its bond selection. Currently, the spread between
corporate and government securities is narrow (by historical standards) so BEA
has turned to mortgage-backed and other asset-backed securities for yield.
BLACKROCK MANAGED BOND PORTFOLIO
- -----------------------------------
The BlackRock Managed Bond Portfolio commenced operations on January 2, 1996.
Its total return for 1996, 3.76%, slightly exceeded the 3.62% of its
benchmark, the Salomon Broad Investment Grade Bond Index. Its performance in
the early part of 1996 lagged its benchmark return for the following reasons:
it commenced operations at the peak of the bond market and suffered as the
market fell early in the year; the adviser started 1996 with a bullish
outlook and went a little longer than the index, which proved costly; and, in
order to get invested initially the manager purchased principally Treasury
bonds, which cost investment spread.
The Portfolio slightly outperformed its benchmark in the latter half of the
year. At year end it was nearly duration-neutral to the index so its return
should more or less match that of its index. The manager expects rates to
remain stable, and is cautious, as there is no indication of which direction
rates will move next. In the fourth quarter, the manager reduced the
portfolio's heavy concentration of mortgage-backed securities in favor of
other classes of asset-backed securities.
CREDIT SUISSE INTERNATIONAL EQUITY PORTFOLIO
- ------------------------------------------------
The Credit Suisse International Equity Portfolio commenced operations on
October 20, 1995. It's total return for 1996, 16.50% nearly quadrupled the
4.40% of its benchmark, the Morgan Stanley Composite Index --Europe,
Australia,& Far East (EAFE). Under normal conditions, the portfolio invests
at least 65% of its assets in issuers located in at least five countries
outside the United States.
At year end, the largest concentrations of non-U.S. investments were in
Western Europe, the United Kingdom, Japan and to a lesser extent, Hong Kong.
The portfolio was, however, overweighted (relative to the index) in emerging
economies, particularly Eastern Europe and Latin America as the manager
expects those regions to display relatively rapid growth. The successful
performance of the portfolio during the year is largely attributable to: good
individual stock selection in Western Europe and in non-Japan Asia;
overweighting of Emerging Europe; underweighting of Japan; and currency
hedging.
With respect to currency risk, the manager correctly anticipated that the U.S.
dollar would strengthen in 1996 and so kept the portfolio largely hedged in
U.S. dollars.
ELITEVALUE ASSET ALLOCATION PORTFOLIO
- ----------------------------------------
The EliteValue Asset Allocation Portfolio commenced operations on January 2,
1996, and its total return for the year, 26.70%, nearly doubled the 14.07% of
its benchmark, the Lipper Benchmark -- Flexible Portfolio Funds.
Although the portfolio is an asset allocation fund, the manager has
consistently kept it almost entirely invested in equities, a strategy that
proved very successful in 1996. 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.
Performance in 1996 was excellent, in part, because the portfolio's largest
holding, McDonnell Douglas, rose dramatically after it announced its merger
intentions. The heavy concentration of financial stocks in the portfolio also
did well. The manager expects the portfolio will continue to have a very low
turnover, as new names are added only when he finds investments that are
better than what is currently in the portfolio. The long-term goal for the
portfolio is to attain a consistent 12-15% annual return.
GLOBAL ADVISORS GROWTH EQUITY PORTFOLIO
- -------------------------------------------
The Global Advisors Growth Equity Portfolio commenced operations on October
20, 1995. It's total return for 1996, 21.36% slightly lagged the 23.08% of
its benchmark, the S&P 500 Index.
The 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. It was a difficult year for the portfolio model, in
part because the market's large-cap bias made it difficult for such a
broad-based portfolio to keep up. Additionally, volatility in the technology
sector hampered performance early in the year but a few successful tech stocks
later in the year greatly enhanced performance. Several refinements to the
model were made in 1996 in an attempt to improve performance; most recently,
the industry sectors were revised, in order to more closely link the portfolio
to the index. The disappointing performance early in the year, and the later
success illustrate how important individual stock picking is, even for this
model driven portfolio. The portfolio turnover was high, in part because of
trades dictated by changes to the model.
GLOBAL ADVISORS MONEY MARKET PORTFOLIO
- ------------------------------------------
The Global Advisors Money Market Portfolio commenced operations on October 10,
1995. Its total return for 1996, 5.19%, slightly lagged the 5.21% of its
benchmark, the 91-day Treasury Bill Index (Auction Average). The portfolio's
small size 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 commenced operations on
February 6, 1996. Its total return for 1996, 3.40%, lagged the 4.55% of its
benchmark, the Lipper U.S. Treasury 1-to-10-year Index. Its performance in the
early part of 1996 lagged its benchmark return for the following reasons: it
commenced operations at the peak of the bond market and suffered as the market
fell early in the year; the adviser started 1996 with a bullish outlook and
went a little longer than the index, which proved costly; and, in order to get
invested initially the manager purchased principally Treasury bonds, which
cost investment spread.
In the latter part of the year, the portfolio yield exceeded its benchmark by
a small amount. The duration was slightly long compared to the index, which
produced gains in October - November as the market rallied, then gave back
some gain as rates rose in the December. At year end, the portfolio was
duration-neutral to very slightly long, and, absent any new indications of a
definite trend in market rates, the manager intends to maintain that position.
It is difficult to outperform the market in a stable rate environment, so the
manager has concentrated the portfolio in mortgage-backed bonds in order to
attain yield. The manager's outlook for the near future is for a continued
flat rate environment, so the portfolio should perform essentially at its
benchmark level.
<PAGE>
VAN KAMPEN AMERICAN CAPITAL EMERGING GROWTH PORTFOLIO
- -----------------------------------------------------------
The Van Kampen American Capital Emerging Growth Portfolio commenced operations
on January 2, 1996. Its total return for the year, 19.06%, surpassed the
16.28% of its benchmark, the Lipper Benchmark -- Mid-Cap Funds.
The portfolio's strategy of seeking companies with expectations of growing
earnings and rising P/E multiples showed good results in 1996. Early in the
year, results were superlative, as the heavy concentration of technology
stocks did very well. Unfortunately, as certain technology holdings suffered
late in the year, so did the portfolio. The portfolio's high beta (positive
correlation to the overall market performance) makes it subject to significant
swings along with the market. Several large-cap investments were added to the
portfolio late in the year to take advantage of the market's large-cap bias.
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 December 31, 1996.
<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>
INCEPT TO
PORTFOLIO 10/20/95 12/31/95 3/31/96 6/30/96 9/30/96 12/31/96
- ---------------- --------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
BEA 10,000.00 10,657.07 10,871.86 11,265.98 11,679.10 12,129.59
S&P 500 / LEHMAN 10,000.00 10,397.85 10,585.02 10,890.00 11,164.00 11,759.97
- ---------------- --------- --------- --------- --------- --------- ---------
</TABLE>
<TABLE>
<CAPTION>
Average Annual Total Return *
-----------------------------
One Since
Year Inception
----- ---------
<S> <C> <C>
BEA 13.82 17.41
S&P 500 / Lehman 13.10 14.70
- ---------------- ----- ---------
</TABLE>
<TABLE>
<CAPTION>
December 31, 1996 Fund Facts
-----------------------------
<S> <C>
Date of Inception 10/20/95
Net Assets $ 3,145,099
Net Asset Value per Share $ 11.04
Manager BEA Associates
</TABLE>
* 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 expenses.
<PAGE>
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
<TABLE>
<CAPTION>
INCEPT TO
PORTFOLIO 1/2/96 3/31/96 6/30/96 9/30/96 12/31/96
- ------------------ --------- --------- -------- --------- ---------
<S> <C> <C> <C> <C> <C>
BLACKROCK 10,000.00 9,771.03 9,852.58 10,057.62 10,376.11
SALOMON BRO. INDEX 10,000.00 9,848.00 9,807.00 10,058.00 10,362.00
- ------------------ --------- --------- -------- --------- ---------
</TABLE>
<TABLE>
<CAPTION>
Average Annual Total Return *
-----------------------------
One Since
Year Inception
---- ---------
<S> <C> <C>
BlackRock 3.76 3.76
Salomon Bro. Index 3.62 3.62
- ------------------ ---- ---------
</TABLE>
<TABLE>
<CAPTION>
December 31, 1996 Fund Facts
----------------------------
<S> <C> <C>
Date of Inception 1/2/96
Net Assets $3,376,118
Net Asset Value per Share $ 9.78
Manager BlackRock Financial
Management
-------------------
</TABLE>
* 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 Salomon Brothers Broad Investment Grade
Bonus Index does not include any expenses.
<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>
DATE
PORTFOLIO 10/20/95 12/31/95 3/31/96 6/30/96 9/30/96 12/31/96
- -------------------- --------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
CREDIT SUISSE 10,000.00 10,392.82 11,090.15 11,575.36 11,743.30 12,107.37
MORGAN STANLEY INDEX 10,000.00 10,595.00 10,622.00 10,847.00 10,800.00 11,061.97
- -------------------- --------- --------- --------- --------- --------- ---------
</TABLE>
<TABLE>
<CAPTION>
Average Annual Total Return *
-----------------------------
One Since
Year Inception
----- ---------
<S> <C> <C>
Credit Suisse 16.50 17.23
Morgan Stanley Index 4.41 8.87
- -------------------- ----- ---------
</TABLE>
<TABLE>
<CAPTION>
December 31, 1996 Fund Facts
----------------------------
<S> <C> <C>
Date of Inception 10/20/95
Net Assets $2,726,982
Net Asset Value per Share $ 10.67
Manager Credit Suisse Investment
Management Ltd.
------------------------
</TABLE>
* 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 Morgan Stanley Composite Index - EAFE
does not include any expenses.
<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>
INCEPT TO
PORTFOLIO 1/2/96 3/31/96 6/30/96 9/30/96 12/31/96
- ------------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
ELITEVALUE 10,000.00 10,706.44 10,935.58 11,595.62 12,669.85
LIPPER / FLEX 10,000.00 10,285.00 10,567.00 10,794.00 11,407.00
- ------------- --------- --------- --------- --------- ---------
</TABLE>
<TABLE>
<CAPTION>
Average Annual Total Return *
-----------------------------
One Since
Year Inception
----- ---------
<S> <C> <C>
EliteValue 26.70 26.70
Lipper / Flex 14.07 14.07
- ------------- ----- ---------
</TABLE>
<TABLE>
<CAPTION>
December 31, 1996 Fund Facts
-----------------------------
<S> <C> <C>
Date of Inception 1/2/96
Net Assets $2,307,038
Net Asset Value per Share $ 12.32
Manager OpCap Advisors
</TABLE>
* 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 Lipper Benchmark / Flexible Portfolio
Funds does not include any expenses.
<PAGE>
WNL Series Trust
GLOBAL ADVISORS GROWTH EQUITY PORTFOLIO
vs.
Standard & Poor's 500 / Stock Index
Comparative Performance of $10,000 Investment at 10/20/95
<TABLE>
<CAPTION>
DATE
PORTFOLIO 10/20/95 12/31/95 3/31/96 6/30/96 9/30/96 12/31/96
- ---------------------- --------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
GLOBAL ADV. GROWTH EQ. 10,000.00 10,356.78 10,852.72 11,414.02 11,623.71 12,569.22
S&P 500 / STOCK INDEX 10,000.00 10,532.00 11,104.94 11,605.77 11,960.91 12,962.04
- ---------------------- --------- --------- --------- --------- --------- ---------
</TABLE>
<TABLE>
<CAPTION>
Average Annual Total Return *
-----------------------------
One Since
Year Inception
----- ---------
<S> <C> <C>
Global Adv. Growth Eq. 21.36 20.94
S&P 500 / Stock Index 23.07 24.74
- ---------------------- ----- ---------
</TABLE>
<TABLE>
<CAPTION>
December 31, 1996 Fund Facts
----------------------------
<S> <C> <C>
Date of Inception 10/20/95
Net Assets $3,420,466
Net Asset Value per Share $ 11.85
Manager State Street Global
Advisors
-------------------
</TABLE>
* 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 Standard & Poor's 500 / Stock Index
does not include any expenses.
<PAGE>
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
<TABLE>
<CAPTION>
DATE
PORTFOLIO 10/10/95 12/31/95 3/31/96 6/30/96 9/30/96 12/31/96
- --------------------- --------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
MONEY MARKET 10,000.00 10,117.26 10,240.47 10,366.75 10,503.63 10,642.27
91-DAY TREASURY INDEX 10,000.00 10,135.61 10,264.16 10,393.62 10,530.37 10,663.37
- --------------------- --------- --------- --------- --------- --------- ---------
</TABLE>
<TABLE>
<CAPTION>
Average Annual Total Return *
-----------------------------
One Since
Year Inception
---- ---------
<S> <C> <C>
Money Market 5.19 5.19
91-Day Treasury Index 5.21 5.30
- --------------------- ---- ---------
</TABLE>
<TABLE>
<CAPTION>
December 31, 1996 Fund Facts
----------------------------
<S> <C>
Date of Inception 10/10/95
Net Assets $ 1,291,024
Net Asset Value per Share $ 1.00
Manager State Street Global
Advisors
--------------------
</TABLE>
* 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 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.
<PAGE>
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
<TABLE>
<CAPTION>
INCEPT TO
PORTFOLIO 2/6/96 3/31/96 6/30/96 9/30/96 12/31/96
- -------------------------- --------- --------- -------- --------- ---------
<S> <C> <C> <C> <C> <C>
SALOMON 10,000.00 9,813.18 9,872.93 10,073.49 10,340.05
TREASURY 1 TO 10 YR. INDEX 10,000.00 9,848.00 9,915.00 10,102.00 10,455.00
- -------------------------- --------- --------- -------- --------- ---------
</TABLE>
<TABLE>
<CAPTION>
Average Annual Total Return *
-----------------------------
One Since
Year Inception
---- ---------
<S> <C> <C>
Salomon 3.40 3.40
Treasury 1 to 10 Yr. Index 4.55 4.55
- -------------------------- ---- ---------
</TABLE>
<TABLE>
<CAPTION>
December 31, 1996 Fund Facts
----------------------------
<S> <C> <C>
Date of Inception 2/6/96
Net Assets $2,346,717
Net Asset Value per Share $ 9.79
Manager Salomon Brothers
Asset Management
----------------
</TABLE>
* 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 Treasury 1 to 10 Year Index does not
include any expenses.
<PAGE>
WNL Series Trust
VAN KAMPEN AMERICAN CAPITAL EMERGING GROWTH PORTFOLIO
vs.
Lipper Benchmark / Mid-Cap Funds
Comparative Performance of $10,000 Investment at 1/2/96
<TABLE>
<CAPTION>
INCEPT TO
PORTFOLIO 1/2/96 3/31/96 6/30/96 9/30/96 12/31/96
- ---------------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
AMERICAN CAPITAL 10,000.00 10,791.13 11,957.31 12,377.42 11,906.29
LIPPER / MID-CAP 10,000.00 10,757.00 11,221.00 11,511.00 11,628.00
- ---------------- --------- --------- --------- --------- ---------
</TABLE>
<TABLE>
<CAPTION>
Average Annual Total Return *
-----------------------------
One Since
Year Inception
----- ---------
<S> <C> <C>
American Capital 19.06 19.06
Lipper / Mid-Cap 16.28 16.28
- ---------------- ----- ---------
</TABLE>
<TABLE>
<CAPTION>
December 31, 1996 Fund Facts
-----------------------------
<S> <C> <C>
Date of Inception 1/2/96
Net Assets $ 1,881,837
Net Asset Value per Share $ 11.54
Manager Van Kampen American
Capital Asset Management, Inc.
-------------------------------
</TABLE>
* 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 Lipper Benchmark / Mid-Cap Funds does
not include any expenses.
<PAGE>
WNL SERIES TRUST
FINANCIAL SCHEDULES
DECEMBER 31, 1996
The accompanying notes are an integral part of the financial statements
<TABLE>
<CAPTION>
WNL SERIES TRUST
BEA GROWTH AND INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1996
SECURITY DESCRIPTION SHARES VALUE
- --------------------------------------------------- ------ --------
<S> <C> <C>
COMMON STOCKS-44.8%
AEROSPACE-1.2%
Lockheed Martin Corporation 400 $ 36,600
--------
AUTOMOBILES-1.1%
General Motors Corporation 600 33,450
--------
BROADCASTING-0.9%
United States West Incorporated (a) 1,500 27,750
--------
BUSINESS SERVICES-2.5%
Automatic Data Processing Incorporated 800 34,300
GTECH Holdings Corporation (a) 1,400 44,800
--------
79,100
--------
COMPUTERS & BUSINESS EQUIPMENT-3.1%
DST Systems Incorporated (a) 1,000 31,375
Technology Modeling Associates Incorporated (a) 5,000 66,250
--------
97,625
--------
CONSTRUCTION MATERIALS-1.0%
Masco Corporation 900 32,400
--------
DRUGS & HEALTH CARE-10.3%
American Home Products Corporation 500 29,313
Barr Labs Incorporated (a) 1,500 38,062
Bergen Brunswig Corporation 1,200 34,200
Boston Scientific Corporation (a) 600 36,000
McKesson Corporation 1,000 56,000
Pharmacia & Upjohn Incorporated 1,000 39,625
Smithkline Beecham PLC ADR 800 54,400
Tyco International Limited 700 37,012
--------
324,612
--------
ELECTRICAL EQUIPMENT-1.5%
Emerson Electric Company 500 48,375
--------
FINANCIAL SERVICES-5.2%
Associates First Capital Corporation (a) 1,300 57,362
J.P. Morgan & Company Incorporated 400 39,050
NationsBank Corporation 300 29,325
Southern National Corporation 1,000 36,250
--------
161,987
--------
FOOD & BEVERAGES-1.0%
H.J. Heinz Company 900 32,175
--------
HOUSEHOLD APPLIANCES & HOME FURNISHINGS-1.5%
--------
Newell Company 1,500 47,250
--------
HOUSEHOLD PRODUCTS-1.9%
Clorox Company 300 30,113
Gillette Company 400 31,100
--------
61,213
--------
INDUSTRIAL MACHINERY-1.3%
General Electric Company 400 39,550
--------
</TABLE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
BEA GROWTH AND INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1996
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ---------- ----------
<S> <C> <C>
COMMON STOCKS-(CONTINUED)
INSURANCE-3.2%
Ace Limited 900 $ 54,112
Exel Limited 1,200 45,450
----------
99,562
----------
INTERNATIONAL OIL-2.1%
Exxon Corporation 300 29,400
Mobil Corporation 300 36,675
----------
66,075
----------
PAPER-0.9%
Schweitzer-Mauduit International Incorporated 900 28,463
----------
PETROLEUM SERVICES-0.8%
McDermott International Incorporated 1,500 24,938
----------
PHOTOGRAPHY-1.0%
Eastman Kodak Company 400 32,100
----------
PUBLISHING-3.2%
Gannett Company Incorporated 400 29,950
Hollinger International Incorporated 3,500 40,250
Tribune Company 400 31,550
----------
101,750
----------
REAL ESTATE-1.1%
Trinet Corporation Realty Trust Incorporated 1,000 35,500
----------
TOTAL COMMON STOCKS-(Cost $1,184,793) 1,410,475
PRINCIPAL
AMOUNT
----------
CORPORATE BONDS-5.4%
- -------------------------------------------------
ELECTRIC UTILITIES-1.2%
Cleveland Electric Illuminating Company
7.625%, 08/01/2002 $ 10,000 10,019
Long Island Lighting Company
9.00%, 11/01/2022 10,000 10,525
Niagara Mohawk Power Corporation
5.875%, 09/01/2002 20,000 17,696
----------
38,240
----------
FINANCE & BANKING-1.8%
A T & T Capital Corporation
6.03%, 10/27/1997 15,000 15,035
Citicorp
6.75%, 08/15/2005 10,000 9,794
General Motors Acceptance Corporation
6.625%, 04/24/2000 30,000 30,138
----------
54,967
----------
INDUSTRIALS-0.7%
Falcon Holdings Group LP (PIK)
11.00%, 09/15/2003 2,000 1,790
Fresh Delmonte Produce NV
10.00%, 05/01/2003 10,000 9,550
Summit Communications Group Incorporated
10.50%, 04/15/2005 10,000 11,025
----------
22,365
----------
</TABLE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
BEA GROWTH AND INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1996
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- --------------------------------------------------- ---------- --------
<S> <C> <C>
CORPORATE BONDS-(CONTINUED)
LEISURE TIME-1.1%
Time Warner Incorporated
6.85%, 01/15/2026 $ 35,000 $ 34,126
--------
REAL ESTATE-0.3%
Chelsea GCA Realty Incorporated
7.75%, 01/26/2001 10,000 10,131
--------
TRANSPORTATION-0.3%
United States Air Incorporated
10.00%, 07/01/2003 10,000 10,125
--------
TOTAL CORPORATE BONDS-(Cost $169,217) 169,954
--------
FOREIGN CORPORATE BONDS-1.5%
FINANCE & BANKING-0.3%
Credit Foncier De France
8.00%, 01/14/2002 10,000 10,581
--------
OIL & GAS-1.2%
Gulf Canada Resources Limited
9.25%, 01/15/2004 10,000 10,575
8.35%, 08/01/2006 10,000 10,425
Kabelmedia Holding GMBH
13.625%, 08/01/2006 10,000 5,550
Rogers Cantel Incorporated
9.37%, 06/01/2008 10,000 10,500
--------
37,050
--------
TOTAL FOREIGN CORPORATE BONDS-(Cost $45,666) 47,631
--------
FOREIGN GOVERNMENT BONDS-1.0%
Government of Poland
6.50%, 10/27/2024 10,000 9,713
Republic of Columbia
7.25%, 02/15/2003 10,000 9,747
United Mexican States
11.375%, 09/15/2016 10,000 10,505
--------
TOTAL FOREIGN GOVERNMENT BONDS-(Cost $28,599) 29,965
--------
ASSET-BACKED SECURITIES-2.1%
Asset Securitization Corporation
Series 1995-MD4, Class A1, 7.10%, 08/13/2029 19,697 19,786
Series 1996-D3, Class A1B, 7.21%, 10/31/2026 15,000 15,361
Nationscredit Grantor Trust
Series 1996-1, Class A, 5.85%, 09/15/2011 20,023 19,738
Structured Asset Securities Corporation
Series 1996-CFL, Class A1C, 5.944%, 02/25/2028 10,000 9,817
--------
TOTAL ASSET-BACKED SECURITIES-(Cost $64,914) 64,702
--------
</TABLE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
BEA GROWTH AND INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1996
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- ------------------------------------------------------------- ---------- -----------
<S> <C> <C>
U.S. GOVERNMENT AND AGENCY SECURITIES-33.8%
FEDERAL AGENCIES-15.4%
Federal Home Loan Mortgage Corporation
6.50%, 01/01/2012 $ 65,650 $ 64,460
7.00%, 11/01/2010 46,306 46,344
7.00%, 07/01/2011 24,490 24,475
8.00%, 09/01/2025 35,178 35,899
8.00%, 11/01/2026 24,985 25,469
Federal National Mortgage Association
6.50%, 11/01/2002 27,518 27,277
6.50%, 09/01/2025 23,952 22,874
7.00%, 11/01/2025 23,509 23,001
7.00%, 12/01/2025 96,194 94,119
7.50%, 11/01/2002 24,503 24,862
7.50%, 11/01/2026 24,975 24,959
7.50%, 12/31/2027 TBA 35,000 34,978
Government National Mortgage Association
9.00%, 10/15/2017 15,544 16,676
Tennessee Valley Authority
5.98%, 04/01/2036 20,000 20,313
-----------
485,706
-----------
U.S. GOVERNMENT-18.4%
United States Treasury Bonds
7.125%, 02/15/2023 40,000 41,762
7.875%, 02/15/2021 130,000 146,940
10.75%, 08/15/2005 15,000 19,245
United States Treasury Notes
6.625%, 06/30/2001 105,000 106,689
7.25%, 05/15/2004 20,000 21,044
7.50%, 02/15/2005 50,000 53,477
7.75%, 11/30/1999 180,000 188,071
-----------
577,228
-----------
TOTAL U.S. GOVERNMENT AND AGENCY SECURITIES-(Cost $1,068,165) 1,062,934
-----------
REPURCHASE AGREEMENT-11.6%
(Cost $365,000)
State Street Bank and Trust Company , 2.00% dated
12/31/96, to be repurchased at $365,041 on 01/02/97,
collateralized by $365,000 par value U.S. Treasury Note,
5.875% due 07/31/1997, with a value of $374,207 365,000 365,000
TOTAL INVESTMENTS-(COST $2,926,354*)-100.2% 3,150,661
OTHER ASSETS LESS LIABILITIES-(0.2)% (5,562)
-----------
NET ASSETS-100.0% $3,145,099
===========
<FN>
(A)-Non-income producing security
ADR-American Depositary Receipt
PIK-(Payment In-Kind) Income may be received in the form of additional securities.
TBA-To Be Announced
</TABLE>
WNL SERIES TRUST
BEA GROWTH AND INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1996
- -$75,000 par value of United States Treasury Bonds have been pledged as
collateral for the Federal National Mortgage Association 7.50%, 12/31/2007
TBA.
*-Aggregate cost for Federal tax purposes is $2,928,791. 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 $238,449
and $16,579, respectively, resulting in net unrealized appreciation of
$221,870.
<PAGE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
BLACKROCK MANAGED BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1996
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- ------------------------------------------------------------- ---------- --------
<S> <C> <C>
CORPORATE BONDS-8.7%
FINANCE & BANKING-5.9%
American Savings Bank of Irvine California
6.625%, 02/15/2006 $ 50,000 $ 47,708
GMAC Pass Through Trust 144A
6.375%, 09/30/1998 50,000 50,132
Prudential Insurance Company of America 144A
7.65%, 07/01/2007 50,000 50,601
Salomon Incorporated
7.25%, 05/01/2001 50,000 50,473
--------
198,914
--------
INDUSTRIALS-2.8%
Nabisco Incorporated
7.05%, 07/15/2007 50,000 49,054
News America Holdings Incorporated
7.75%, 12/01/2045 50,000 46,560
--------
95,614
--------
TOTAL CORPORATE BONDS-(Cost $291,162) 294,528
--------
FOREIGN CORPORATE BONDS-6.0%
FINANCE & BANKING-1.5%
Crown Cork & Seal Financial Savings
6.75%, 12/15/2003 50,000 49,560
--------
SOVEREIGN & PROVINCIAL-1.5%
Fairfax Financial Holdings Limited
8.30%, 04/15/2026 50,000 52,171
--------
UTILITIES-3.0%
Hydro Quebec
7.50%, 04/01/2016 50,000 50,535
Tenaga Nasional Berhad 144A
7.50%, 11/01/2025 50,000 49,050
--------
99,585
--------
TOTAL FOREIGN CORPORATE BONDS-(Cost $196,793) 201,316
--------
ASSET-BACKED SECURITIES-19.6%
Associates Manufactured Housing Pass Through Certificate
Series 1996-2, Class A1, 5.70%, 06/15/2027 48,045 47,910
Banc One Credit Card Master Trust
Series 1994-C, Class A, 7.80%, 12/15/2000 50,000 51,500
Community Program Loan Trust
Series 1987-A, Class A4, 4.50%, 10/01/2018 100,000 85,656
Daimler Benz Vehicle Trust
Series 1996-A, Class A, 5.85%, 07/20/2003 95,907 95,607
Discover Card Master Trust I
Series 1996-4, Class A, 5.75%, 10/16/2013 80,000 81,150
Green Tree Financial Corporation
Series 1993-4, Class A4, 6.60%, 01/15/2019 50,000 49,719
Series 1996-2, Class B2, 7.90%, 04/15/2027 50,000 49,125
</TABLE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
BLACKROCK MANAGED BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1996
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- --------------------------------------------------- ---------- ----------
<S> <C> <C>
ASSET-BACKED SECURITIES-(CONTINUED)
GS Mortgage Security Corporation
Series 1996-PL, Class A2, 7.41%, 02/15/2027 $ 50,000 $ 51,000
Nissan Auto Receivables
Series 1995-A, Class A, 6.10%, 08/15/2001 53,803 53,853
Sears Credit Account Master Trust II
Series 1996-4, Class A, 6.45%, 10/15/2006 25,000 24,945
Standard Credit Card Master Trust I
Series 1995-1, Class A, 8.25%, 01/07/2007 35,000 38,008
Structured Asset Securities Corporation
Series 1996-CFL, Class A1B, 5.751%, 02/25/2028 32,685 32,359
----------
TOTAL ASSET-BACKED SECURITIES-(Cost $663,865) 660,832
----------
U.S. GOVERNMENT SECURITIES-63.8%
FEDERAL AGENCIES-28.5%
Federal Home Loan Mortgage Corporation
6.089%, 08/01/2031 105,969 104,909
6.50%, 03/01/2026 491,915 470,856
6.50%, 04/01/2026 297,637 284,520
Small Business Administration
Series 1996-10, Class C, 7.35%, 08/01/2006 50,000 50,594
Series 1996-20, Class E, 7.60%, 05/01/2016 49,308 50,910
----------
961,789
----------
U.S. GOVERNMENT-35.3%
United States Treasury Notes
5.625%, 11/30/1998 75,000 74,660
5.875%, 11/15/1999 400,000 398,436
6.50%, 05/31/2001 15,000 15,164
6.50%, 10/15/2006 360,000 361,969
7.00%, 07/15/2006 280,000 290,895
7.25%, 08/15/2004 25,000 26,313
7.50%, 02/15/2005 25,000 26,738
----------
1,194,175
----------
TOTAL U.S. GOVERNMENT SECURITIES-(Cost $2,159,557) 2,155,964
----------
TOTAL INVESTMENTS-(COST $3,311,377*)-98.1% 3,312,640
----------
OTHER ASSETS LESS LIABILITIES-1.9% 63,478
----------
NET ASSETS-100.0% $3,376,118
==========
</TABLE>
<TABLE>
<CAPTION>
SCHEDULE OF OPEN FUTURES CONTRACTS AT DECEMBER 31, 1996
- -------------------------------------------------------------------------------
NUMBER OF CONTRACT TOTAL CONTRACT UNREALIZED
CONTRACTS DESCRIPTION VALUE GAIN (LOSS)
- --------- ------------------------------------ ---------------- ------------
<C> <S> <C> <C>
3 U.S. 5 Year Note March 1996 (long) $ 319,781 $ (3,466)
1 U.S. 10 Year Note March 1996 (long) 109,125 (1,755)
1 U.S. 2 Year Note March 1996 (short) (206,797) 975
1 U.S. 30 Year Note March 1996 (short) (112,625) 1,464
------------
$ (2,782)
</TABLE>
WNL SERIES TRUST
BLACKROCK MANAGED BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1996
- -$50,000 par value of Nabisco Incorporated has been pledged as collateral for
initial margin for futures contracts.
*-Aggregate cost for Federal tax purposes is $3,311,748. 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 $15,911 and
$15,019, respectively, resulting in net unrealized appreciation of $892.
<TABLE>
<CAPTION>
WNL SERIES TRUST
CREDIT SUISSE INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1996
SECURITY DESCRIPTION SHARES VALUE
- ----------------------------------------------- ------ --------
<S> <C> <C>
COMMON STOCKS-90.6%
CANADA-1.1%
Rogers Communications Incorporated (a) 4,000 $ 29,212
--------
CHILE-3.4%
Five Arrows Chile Investment Trust Limited 20,000 56,000
Genesis Chile Fund 1,000 36,625
--------
92,625
--------
CROATIA-1.6%
Pliva D.D. GDR (a) 800 42,400
--------
CZECH REPUBLIC-1.9%
Ateso 1,446 32,432
Galena (a) 600 20,539
--------
52,971
--------
FRANCE-7.9%
AXA SA 387 24,614
BIC SA 138 20,693
Cie de Saint Gobain 165 23,342
Cofinec GDR (a) 1,700 51,213
LVMH (Moet Hennessy Louis Vuitton) 96 26,810
Sanofi SA 285 28,343
Total SA 250 20,333
Valeo SA 310 19,119
--------
214,467
--------
GERMANY-6.1%
Altana AG 28 21,799
Bayer AG 680 27,751
Hoechst AG 640 30,237
Mannesmann AG 62 26,874
SGL Carbon AG 165 20,802
Siemens AG 380 17,904
Volkswagen AG 50 20,795
--------
166,162
--------
HONG KONG-6.1%
Cheung Kong Holdings 2,000 17,777
China Resources Beijing Land (a) 44,000 27,875
Citic Pacific Limited 4,000 23,221
Dao Heng Bank Group Limited 5,000 23,983
Dickson Concept International 1 4
Henderson Investment Limited 8,000 9,568
Hong Kong & China Gas 10,000 19,329
HSBC Holdings Limited 800 17,118
Peregrine Investment Holdings Limited 6,000 10,279
Wing Hang Bank Limited 4,000 18,152
--------
167,306
--------
HUNGARY-2.8%
Intermediate Europa Bank Right 100 22,882
MOL Magyar Olaj-es Gazipari GDR 600 7,590
Primagaz Hungaria Company Limited 1,000 46,320
--------
76,792
--------
</TABLE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
CREDIT SUISSE INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1996
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------------------ ------ --------
<S> <C> <C>
COMMON STOCKS-(CONTINUED)
INDIA-1.5%
India Fund 5,000 $ 38,125
--------
INDONESIA-1.1%
PT Indosat ADR 500 13,688
PT Telekomunikasi Indonesia 9,000 15,527
--------
29,215
--------
ISRAEL-0.9%
Koor Industries Limited ADR 1,500 25,500
--------
ITALY-2.4%
Ente Nazionale Idrocarburi SPA 4,270 21,913
Telecom Italia Mobile SPA 8,250 21,427
Telecom Italia Mobile SPA 9,200 23,258
--------
66,598
--------
JAPAN-15.1%
Amada Company 3,000 23,314
Banyu Pharmaceutical Company 2,000 27,977
Daiwa Securities 3,000 26,682
East Japan Railway 6 26,992
Hitachi Zosen Corporation 4,000 15,543
Japan Airport Terminal 2,000 24,523
Japan Tobacco Incorporated 5 33,892
Maeda Road Construction 2,000 23,141
NEC Corporation 6,000 72,533
Nippon Telegraph & Telephone 4 30,325
Nomura Securities Limited 4,000 60,098
Santen Pharmaceutical Company 1,100 22,796
Sumitomo Osaka Cement Company Limited 7,000 23,150
--------
410,966
--------
KOREA-0.0%
Samsung Electronics Limited 144A GDR 3 124
--------
MALAYSIA-2.8%
Jaya Tiasa Holdings 3,000 15,918
Magnum Corporation Bhd 9,000 17,462
Malaysian Resources Corporation 6,000 23,639
UMW Holdings 4,000 18,689
--------
75,708
--------
NETHERLANDS-6.0%
Ahold NV 400 25,022
ING Groep NV 760 27,380
Nutricia Verenigde Bedrijven NV 157 23,870
Oce Van Der Grinten NV 191 20,754
Unilever NV 120 21,241
Vendex International 500 21,402
Verenigde Nederlandse Uitgeversbedrijven Verenigd Bezit 1,180 24,673
--------
164,342
--------
PERU-2.1%
Telefonica del Peru ADR 3,000 56,625
--------
</TABLE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
CREDIT SUISSE INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1996
SECURITY DESCRIPTION SHARES VALUE
- --------------------------------------------------- ------ ----------
<S> <C> <C>
COMMON STOCKS-(CONTINUED)
PHILIPPINES-1.0%
Hawaii Cement 50,000 $ 16,540
Pilipino Telephone Company 12,500 10,575
----------
27,115
----------
RUSSIA-3.7
Tatneft ADR (a) 1,000 48,000
Gazprom ADR (a) 3,000 53,250
----------
101,250
----------
SINGAPORE-0.9%
Cycle & Carriage Limited 1,000 12,220
Development Bank of Singapore 1,000 13,507
----------
25,727
----------
SLOVAKIA-2.1%
Slovenske Lodenice AS 700 22,916
Vychodoslovenske Zeleziarne AS 2,000 34,954
----------
57,870
----------
SPAIN-2.5%
Banco Popular Espana 100 19,642
Iberdrola SA 2,200 31,180
Telefonica de Espana 800 18,579
----------
69,401
----------
SWEDEN-1.0%
Autoliv AB 650 28,498
----------
SWITZERLAND-4.9%
Adia SA 75 18,827
CS Holding AG 210 21,573
Novartis AG 26 29,308
Roche Holdings AG 3 23,343
Schweizerische Rueckversicherungs-Gesellschaft 19 20,285
SMH AG Neuenburg 31 19,107
----------
132,443
----------
UNITED KINGDOM-11.1%
Asda Group PLC 17,600 37,088
Courtaulds PLC 3,400 23,008
Dixons Group PLC 3,200 29,769
Electrocomponents PLC 5,100 40,279
EMI Group PLC 730 17,256
General Accident PLC 2,600 34,031
GKN PLC 1,800 30,869
Pearson PLC 2,100 26,803
Provident Financial PLC 4,000 34,333
THORN EMI PLC (a) 730 3,164
Wolseley PLC 3,150 24,851
----------
301,451
----------
UNITED STATES-0.6%
Electric Fuel Corporation (a) 2,500 17,500
----------
TOTAL COMMON STOCKS-(Cost $2,271,185) 2,470,393
----------
</TABLE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
CREDIT SUISSE INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1996
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------------------ ---------- ----------
<S> <C> <C>
WARRANTS-3.1%
ISRAEL-0.1%
Israel Fund (a) 30,000 $ 4,074
----------
UNITED KINGDOM -3.0%
Fleming Japan Investment Trust PLC (a) 60,000 40,089
Schroder Japan Growth Fund PLC (a) 175,000 41,974
----------
82,063
----------
TOTAL WARRANTS-(Cost $185,756) 86,137
----------
PRINCIPAL
AMOUNT
----------
REPURCHASE AGREEMENT-4.1%
- ------------------------------------------------------------
(Cost $111,000)
State Street Bank and Trust Company , 2.00% dated
12/31/96, to be repurchased at $111,012 on 01/02/97,
collateralized by $85,000 par value U.S. Treasury Bond,
11.75% due 02/15/2010, with a value of $116,183 $ 111,000 111,000
----------
TOTAL INVESTMENTS-(COST $2,567,941*)-97.8% 2,667,530
OTHER ASSETS LESS LIABILITIES-2.2% 59,452
----------
NET ASSETS-100.0% $2,726,982
==========
<FN>
(A)-Non-income producing security
GDR-Global Depositary Receipt
ADR-American Depositary Receipt
*-Aggregate cost for Federal tax purposes is $2,572,469. 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 $345,289 and $250,228, respectively, resulting in net unrealized
appreciation of $95,061.
</TABLE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
CREDIT SUISSE INTERNATIONAL EQUITY PORTFOLIO
ANALYSIS OF INDUSTRY CLASSIFICATIONS
DECEMBER 31, 1996
PERCENT OF
INDUSTRY NET ASSETS
- ------------------------------------------------- -----------
<S> <C>
Auto Parts 2.3%
Automobiles 1.2
Banks 5.0
Broadcasting 1.1
Building Materials 0.6
Business Services 0.7
Chemicals 3.7
Colleges & Universities 1.3
Communication Services 4.2
Computers & Business Equipment 0.8
Conglomerates 1.7
Construction Materials 2.6
Construction & Mining Equipment 0.8
Consumer (non-durables) 0.8
Containers & Glass 0.9
Drugs & Health Care 3.3
Electric Utilities 1.8
Electrical Equipment 3.3
Electronics 1.5
Financial Services 9.0
Food & Beverages 2.1
Gas Utilities 0.7
Government Agency 1.0
Household Products 0.8
Industrial Machinery 3.8
Insurance 2.9
Investment Companies 2.2
Leisure Time 1.5
Liquor 1.0
Miscellaneous 3.9
Mutual Funds 3.1
Oil & Gas 2.8
Petroleum Services 0.7
Pharmaceuticals 3.5
Publishing 1.0
Railroads & Equipment 1.0
Real Estate 2.1
Retail Grocery 2.3
Retail Trade 2.6
Telecommunications 3.0
Telephone 4.4
Toys & Amusements 0.7
-----------
TOTAL INVESTMENTS BY INDUSTRY CLASSIFICATION 93.7
Repurchase Agreement 4.1
-----------
TOTAL INVESTMENTS 97.8%
===========
</TABLE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
ELITE VALUE ASSET ALLOCATION PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1996
SECURITY DESCRIPTION SHARES VALUE
- ----------------------------------------------- ------ --------
<S> <C> <C>
COMMON STOCKS-90.2%
AEROSPACE-7.5%
Lockheed Martin Corporation 500 $ 45,750
McDonnell Douglas Corporation 2,000 128,000
--------
173,750
--------
AIR TRAVEL-1.5%
AMR Corporation (a) 400 35,250
--------
APPAREL & TEXTILES-2.3%
VF Corporation 800 54,000
--------
BANKS-11.6%
Citicorp 1,000 103,000
First Empire State Corporation 200 57,600
Wells Fargo & Company 400 107,900
--------
268,500
--------
BROADCASTING-3.5%
Tele-Communications Incorporated (a) 6,100 79,681
--------
BUSINESS SERVICES-1.1%
R.R. Donnelley & Sons Company 800 25,100
--------
CHEMICALS-10.4%
Du Pont (E.I.) De Nemours & Company 1,000 94,375
Hercules Incorporated 2,000 86,500
Monsanto Company 1,500 58,312
--------
239,187
--------
COMMUNICATION SERVICES-0.8%
Loral Space & Communications (a) 1,000 18,375
--------
DRUGS & HEALTH CARE-1.9%
Becton Dickinson & Company 1,000 43,375
--------
ELECTRICAL EQUIPMENT-2.3%
Arrow Electronics Incorporated (a) 1,000 53,500
--------
ELECTRONICS-8.8%
Intel Corporation 500 65,469
National Semiconductor Corporation (a) 2,400 58,500
Unitrode Corporation (a) 1,500 44,062
Varian Associates Incorporated 700 35,613
--------
203,644
--------
FINANCIAL SERVICES-10.0%
American Express Company 300 16,950
Countrywide Credit Industries Incorporated 2,200 62,975
Federal Home Loan Mortgage Corporation 900 99,112
Federal National Mortgage Association 1,400 52,150
--------
231,187
--------
FOOD & BEVERAGES-0.9%
PepsiCo Incorporated 700 20,475
--------
</TABLE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
ELITE VALUE ASSET ALLOCATION PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1996
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------------- ---------- ----------
<S> <C> <C>
COMMON STOCKS-(CONTINUED)
HOTELS & RESTAURANTS-3.5%
McDonalds Corporation 1,800 $ 81,450
----------
INSURANCE-8.9%
Ace Limited 1,600 96,200
AFLAC Incorporated 400 17,100
Exel Limited 1,400 53,025
Travelers/Aetna Property Casualty Corporation 1,100 38,913
----------
205,238
----------
MANUFACTURING-6.5%
Caterpillar Incorporated 700 52,675
Newport News Shipbuilding Incorporated (a) 400 6,000
Tenneco Incorporated (a) 2,000 90,250
----------
148,925
----------
MINING-2.2%
Freeport-McMoRan Copper & Gold, Incorporated 1,700 50,788
----------
PAPER-1.9%
Champion International Corporation 1,000 43,250
----------
RAILROADS & EQUIPMENT-2.1%
Union Pacific Corporation 800 48,100
----------
TOYS & AMUSEMENTS-2.5%
Mattel Incorporated 2,100 58,275
----------
TOTAL COMMON STOCKS-(Cost $1,772,666) 2,082,050
----------
PRINCIPAL
AMOUNT
----------
DISCOUNT NOTES-8.9%
- -------------------------------------------------------
Federal Farm Credit Bank,
5.26%, 01/13/1997 ** $ 80,000 79,860
Federal Home Loan Bank Consolidated Discount Note,
5.38%, 01/03/1997 ** 125,000 124,962
----------
TOTAL DISCOUNT NOTES-(Cost $204,822) 204,822
----------
TOTAL INVESTMENTS-(COST $1,977,488*)-99.1% 2,286,872
OTHER ASSETS LESS LIABILITIES-0.9% 20,166
----------
NET ASSETS-100.0% $2,307,038
==========
<FN>
(A)-Non-income producing security
**-The rate shown reflects the current yield at December 31, 1996
*-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 $333,214 and $23,830,
respectively, resulting in net unrealized appreciation of $309,384.
</TABLE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
GLOBAL ADVISORS GROWTH EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1996
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------ ------ --------
<S> <C> <C>
COMMON STOCKS-97.9%
AEROSPACE-2.3%
General Dynamics Corporation 400 $ 28,200
McDonnell Douglas Corporation 800 51,200
--------
79,400
--------
APPAREL & TEXTILES-0.8%
Fruit of the Loom Incorporated (a) 400 15,150
Liz Claiborne Incorporated 300 11,588
--------
26,738
--------
AUTOMOBILES-1.2%
Chrysler Corporation 1,000 33,000
Ford Motor Company 200 6,375
--------
39,375
--------
BANKS-3.5%
BankAmerica Corporation 500 49,875
Barnett Banks Incorporated 200 8,225
Charter One Financial Incorporated 300 12,600
Comerica Incorporated 100 5,237
First Union Corporation 100 7,400
Keycorp 700 35,350
--------
118,687
--------
CHEMICALS-2.2%
Dow Chemical Company 500 39,187
PPG Industries Incorporated 100 5,613
Terra Industries Incorporated 2,100 30,975
--------
75,775
--------
COMMUNICATION SERVICES-1.8%
Ascend Communications Incorporated (a) 200 12,425
Lucent Technologies Incorporated 1,032 47,730
--------
60,155
--------
COMPUTERS & BUSINESS EQUIPMENT-5.9%
Compaq Computer Corporation (a) 600 44,550
Dell Computer Corporation (a) 700 37,187
FORE Systems Incorporated 800 26,300
Gateway 2000 Incorporated (a) 600 32,137
Storage Technology Corporation (a) 500 23,813
Sun Microsystems Incorporated (a) 200 5,138
Western Digital Corporation (a) 600 34,125
--------
203,250
--------
CONSTRUCTION MATERIALS-0.4%
USG Corporation (a) 400 13,550
--------
CONSTRUCTION & MINING EQUIPMENT-1.3%
Caterpillar Incorporated 600 45,150
--------
DOMESTIC OIL-1.2%
Murphy Oil Corporation 300 16,688
Sun Incorporated 1,000 24,375
--------
41,063
--------
</TABLE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
GLOBAL ADVISORS GROWTH EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1996
SECURITY DESCRIPTION SHARES VALUE
- ---------------------------------------------- ------ --------
<S> <C> <C>
COMMON STOCKS-(CONTINUED)
DRUGS & HEALTH CARE-11.2%
Allegiance Corporation 1,300 $ 35,912
American Home Products Corporation 400 23,450
Amgen Incorporated (a) 600 32,625
Bergen Brunswig Corporation 1,000 28,500
Bristol Myers Squibb Company 700 76,125
Guidant Corporation 400 22,800
Lincare Holdings Incorporated (a) 300 12,300
Manor Care Incorporated 300 8,100
MedPartners Incorporated (a) 1,200 25,200
Merck & Company Incorporated 300 23,775
Ornda HealthCorp (a) 1,000 29,250
Schering Plough Corporation 800 51,800
Watson Pharmaceuticals Incorporated (a) 100 4,494
Wellpoint Health Networks Incorporated (a) 200 6,875
--------
381,206
--------
ELECTRIC UTILITIES-3.2%
Illinova Corporation 1,100 30,250
Long Island Lighting Company 800 17,700
Ohio Edison Company 400 9,100
Public Service Enterprise Group 600 16,350
Unicom Corporation 1,300 35,262
--------
108,662
--------
ELECTRICAL EQUIPMENT-0.7%
Johnson Controls Incorporated 300 24,863
--------
ELECTRONICS-3.3%
Beckman Instruments Incorporated 100 3,837
Intel Corporation 800 104,750
Tektronix Incorporated 100 5,125
--------
113,712
--------
FINANCIAL SERVICES-9.9%
Allstate Corporation 800 46,300
American Express Company 900 50,850
Bankers Life Holding Corporation 500 12,500
Case Corporation 600 32,700
Chase Manhattan Corporation 600 53,550
Dean Witter Discover & Company 200 13,250
Donaldson, Lufkin & Jenrette Incorporated 500 18,000
NationsBank Corporation 600 58,650
Student Loan Marketing Association 300 27,937
Travelers Group Incorporated 533 24,185
--------
337,922
--------
FOOD & BEVERAGES-5.4%
Archer-Daniels-Midland Company 1,400 30,800
Coca Cola Company 700 36,837
ConAgra Incorporated 800 39,800
General Mills Incorporated 300 19,013
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
GLOBAL ADVISORS GROWTH EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1996
SECURITY DESCRIPTION SHARES VALUE
- -------------------------------------------------- ------ --------
<S> <C> <C>
COMMON STOCKS-(CONTINUED)
FOOD & BEVERAGES-(CONTINUED)
Hershey Foods Corporation 400 $ 17,500
Hormel Foods Corporation 200 5,400
Interstate Bakeries Corporation 700 34,387
--------
183,737
--------
FOREST PRODUCTS-0.7%
Fort Howard Corporation (a) 400 11,075
Georgia Pacific Corporation 200 14,400
--------
25,475
--------
GAS EXPLORATION-1.9%
Apache Corporation 1,100 38,912
Burlington Resources Incorporated 100 5,038
Enserch Exploration Incorporated (a) 1,700 19,975
--------
63,925
--------
GAS & PIPELINE UTILITIES-0.7%
Coastal Corporation 200 9,775
National Fuel Gas Company 300 12,375
--------
22,150
--------
HOUSEHOLD APPLIANCES & HOME FURNISHINGS-0.5%
Maytag Corporation 800 15,800
--------
HOUSEHOLD PRODUCTS-0.9%
Tupperware Corporation 600 32,175
--------
INDUSTRIAL MACHINERY-1.7%
General Electric Company 500 49,438
Timken Company 200 9,175
--------
58,613
--------
INSURANCE-5.0%
AMBAC Incorporated 100 6,638
CIGNA Corporation 300 40,987
Marsh & McLennan Companies Incorporated 400 41,600
Mercury General Corporation 300 15,750
Old Republic International Corporation 700 18,725
Progressive Corporation 400 26,950
Travelers/Aetna Property Casualty Corporation 600 21,225
--------
171,875
--------
INTERNATIONAL OIL-3.9%
Amoco Corporation 400 32,200
Exxon Corporation 200 19,600
Mobil Corporation 500 61,125
Texaco Incorporated 200 19,625
--------
132,550
--------
LEISURE TIME-2.8%
Callaway Golf Company 1,000 28,750
Choice Hotels Holdings Incorporated (a) 300 5,287
King World Productions Incorporated (a) 100 3,688
MGM Grand Incorporated (a) 900 31,387
Walt Disney Company 400 27,850
--------
96,962
--------
</TABLE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
GLOBAL ADVISORS GROWTH EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1996
SECURITY DESCRIPTION SHARES VALUE
- --------------------------------------------------- ------ --------
<S> <C> <C>
COMMON STOCKS-(CONTINUED)
OFFICE FURNISHINGS & SUPPLIES-1.0%
Wallace Computer Series Incorporated 1,000 $ 34,500
--------
PAPER-1.0%
Jefferson Smurfit Corporation (a) 800 12,850
Mead Corporation 200 11,625
P.H. Glatfelter Company 400 7,200
Sonoco Products Company 100 2,588
--------
34,263
--------
PETROLEUM SERVICES-1.7%
Lyondell Petrochemical Company 1,400 30,800
Rowan Companies Incorporated (a) 1,200 27,150
--------
57,950
--------
RAILROADS & EQUIPMENT-0.7%
CSX Corporation 600 25,350
--------
RETAIL GROCERY-0.8%
American Stores Company 300 12,263
Richfood Holdings Incorporated 600 14,550
--------
26,813
--------
RETAIL TRADE-7.1%
Borders Group Incorporated (a) 200 7,175
CompUSA Incorporated (a) 1,200 24,750
Dayton Hudson Corporation 1,100 43,175
Gap Incorporated 500 15,063
Lowes Companies Incorporated 800 28,400
Price Costco Incorporated (a) 500 12,563
Sears Roebuck & Company 1,000 46,125
Tiffany & Company 900 32,962
TJX Companies Incorporated 700 33,162
--------
243,375
--------
SOFTWARE-3.9%
BMC Software Incorporated (a) 600 24,825
Computer Associates International Incorporated 600 29,850
Compuware Corporation (a) 600 30,075
Learning Company Incorporated (a) 1,800 25,875
Microsoft Corporation (a) 100 8,263
Sterling Software Incorporated (a) 500 15,812
--------
134,700
--------
STEEL-0.9%
USX-US Steel Group Incorporated 1,000 31,375
--------
TELEPHONE-6.4%
360 Communications Company (a) 800 18,500
Ameritech Corporation 600 36,375
AT&T Corporation 100 4,350
Bell Atlantic Corporation 400 25,900
BellSouth Corporation 700 28,262
</TABLE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
GLOBAL ADVISORS GROWTH EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1996
SECURITY DESCRIPTION SHARES VALUE
- -------------------------------------------------------- ------ ----------
<S> <C> <C>
COMMON STOCKS-(CONTINUED)
TELEPHONE-(CONTINUED)
GTE Corporation 800 $ 36,400
Nynex Corporation 100 4,812
Pacific Telesis Group 600 22,050
SBC Communications Incorporated 300 15,525
Southern New England Telecommunications Corporation 100 3,888
Sprint Corporation 600 23,925
----------
219,987
----------
TOBACCO-2.0%
Philip Morris Companies Incorporated 600 67,575
----------
TOTAL COMMON STOCKS-(Cost $2,939,525) 3,348,658
----------
MUTUAL FUNDS-1.3%
(Cost $45,893)
Dreyfus Cash Management Plus Fund 45,893 45,893
----------
TOTAL INVESTMENTS-(COST $2,985,420*)-99.2% 3,394,551
OTHER ASSETS LESS LIABILITIES-0.8% 25,915
----------
NET ASSETS-100.0% $3,420,466
==========
<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 $479,415
and $70,284, respectively, resulting in net unrealized appreciation of
$409,131.
</TABLE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
GLOBAL ADVISORS MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1996
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- --------------------------------------------------------- ---------- -----------
<S> <C> <C>
DISCOUNT NOTES-93.0%
Federal Farm Credit Bank Consolidated Discount Notes,
5.37%, 03/21/1997** $ 100,000 $ 98,822
5.50%, 01/31/1997** 100,000 99,542
Federal Farm Credit Bank Discount Notes,
5.26%, 02/03/1997** 50,000 49,759
Federal Home Loan Bank Consolidated Discount Notes,
5.57%, 01/28/1997** 190,000 189,206
Federal Home Loan Mortgage Association Discount Notes,
5.45%, 02/14/1997** 115,000 114,234
5.60%, 02/06/1997** 45,000 44,748
5.71%, 01/23/1997** 133,000 132,536
5.46%, 01/22/1997** 74,000 73,764
Federal National Mortgage Association Discount Notes,
5.25%, 02/27/1997** 100,000 99,169
5.35%, 02/10/1997** 100,000 99,405
Student Loan Marketing Association Discount Note,
6.25%, 01/02/1997** 200,000 199,965
-----------
TOTAL DISCOUNT NOTES-(Cost $1,201,150) 1,201,150
-----------
FEDERAL AGENCIES-7.8%
Federal Home Loan Bank,
9.15%, 03/25/1997 35,000 35,177
Federal National Mortgage Association,
5.22%, 01/03/1997 50,000 49,986
7.60%, 01/10/1997 15,000 15,000
-----------
TOTAL FEDERAL AGENCIES-(Cost $100,163) 100,163
-----------
COMMERCIAL PAPER-3.9%
General Electric Capital Corporation,
7.00%, 01/02/1997** 25,000 24,995
5.40%, 01/10/1997** 25,000 24,966
-----------
TOTAL COMMERCIAL PAPER-(Cost $49,961) 49,961
-----------
TOTAL INVESTMENTS-(COST $1,351,274*)-104.7% 1,351,274
OTHER ASSETS LESS LIABILITIES-(4.7)% (60,250)
-----------
NET ASSETS-100.0% $1,291,024
===========
<FN>
**-The rate shown reflects the current yield at December 31, 1996
*-Aggregate cost for Federal tax purposes is identical.
</TABLE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
SALOMON BROTHERS U.S. GOVERNMENT SECURITIES PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1996
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- ---------------------------------------------------------------- ---------- -----------
<S> <C> <C>
U.S. GOVERNMENT AND AGENCY SECURITIES-97.7%
FEDERAL AGENCIES-65.7%
Federal Home Loan Bank
5.89%, 07/24/2000 $ 225,000 $ 222,433
Federal Home Loan Mortgage Corporation
8.25%, 04/01/2017 23,558 24,362
11.75%, 07/01/2006 9,755 10,752
11.75%, 07/01/2013 6,791 7,461
11.75%, 08/01/2013 18,158 18,648
11.75%, 10/01/2013 37,509 42,326
Federal National Mortgage Association
7.00%, 05/01/2026 195,905 191,557
7.00%, 12/01/2099 TBA 75,000 73,336
11.50%, 09/01/2019 21,661 24,701
12.00%, 01/01/2016 4,500 5,202
12.50%, 08/01/2015 7,833 9,201
12.50%, 09/01/2015 9,754 11,434
13.00%, 11/01/2015 20,374 24,060
14.50%, 11/01/2014 9,621 11,867
Government National Mortgage Association
7.00%, 04/15/2024 22,055 21,669
7.00%, 04/15/2026 622,802 609,568
Student Loan Marketing Association
7.20%, 11/09/2000 225,000 231,856
-----------
1,540,433
-----------
U.S. GOVERNMENT-32.0%
United States Treasury Notes
5.625%, 02/28/2001 225,000 220,536
6.125%, 05/31/1997 200,000 200,562
6.50%, 10/15/2006 200,000 201,094
6.875%, 05/15/2006 50,000 51,524
7.00%, 07/15/2006 75,000 77,918
751,634
-----------
-----------
TOTAL U.S. GOVERNMENT AND AGENCY SECURITIES-(Cost $2,293,837) 2,292,067
- ----------------------------------------------------------------
REPURCHASE AGREEMENT-4.6%
(Cost $108,000)
State Street Bank and Trust Company, 6.25%
dated 12/31/1996 to be repurchased at $108,038 on 01/02/97,
collateralized by $110,000 par value U.S. Treasury Note,
6.125% due 05/15/1998, with a value of $111,018 108,000 108,000
-----------
TOTAL INVESTMENTS-(COST $2,401,837*)-102.3% 2,400,067
OTHER ASSETS LESS LIABILITIES-(2.3)% (53,350)
-----------
NET ASSETS-100.0% $2,346,717
===========
</TABLE>
WNL SERIES TRUST
SALOMON BROTHERS U.S. GOVERNMENT SECURITIES PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1996
TBA-To Be Announced
- -$155,000 par value of United States Treasury Notes has been pledged as
collateral for the Federal National Mortgage Association TBA.
*-Aggregate cost for Federal tax purposes is $2,402,636. 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 $10,246 and
$12,815, respectively, resulting in net unrealized depreciation of $2,569.
<TABLE>
<CAPTION>
WNL SERIES TRUST
VAN KAMPEN AMERICAN CAPITAL EMERGING GROWTH PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1996
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------ ------ --------
<S> <C> <C>
COMMON STOCKS-91.7%
AIR TRAVEL-0.2%
Comair Holdings Incorporated 125 $ 3,000
--------
APPAREL & TEXTILES-3.9%
Gucci Group NV ADR 100 6,388
Liz Claiborne Incorporated 150 5,794
Nautica Enterprises Incorporated (a) 350 8,837
Nike Incorporated 450 26,887
St. John Knits Incorporated 175 7,613
Tommy Hilfiger Corporation (a) 225 10,800
Wolverine World Wide Incorporated 275 7,975
--------
74,294
--------
AUTO PARTS-0.4%
Danaher Corporation 150 6,994
--------
BANKS-2.1%
BankBoston Corporation 150 9,637
Cullen Frost Bankers Incorporated 125 4,156
First Bank Systems Incorporated 100 6,825
North Fork Bancorporation Incorporated 125 4,453
Star Banc Corporation 75 6,891
TCF Financial Corporation 175 7,613
--------
39,575
--------
BROADCASTING-0.2%
Evergreen Media Corporation (a) 75 1,875
Univision Communications Incorporated (a) 50 1,850
--------
3,725
--------
BUSINESS SERVICES-7.8%
Accustaff Incorporated (a) 300 6,338
Acxiom Corporation (a) 350 8,400
APAC Teleservices Incorporated (a) 250 9,594
Apollo Group Incorporated (a) 225 7,523
Billing Information Concepts Corporation (a) 200 5,750
Consolidated Graphics Incorporated (a) 100 5,600
Corestaff Incorporated (a) 200 4,738
Corrections Corporation of America (a) 400 12,250
Danka Business Systems PLC ADR 150 5,306
Gartner Group Incorporated (New) (a) 200 7,787
HA-LO Industries Incorporated (a) 218 5,995
Interpublic Group of Companies Incorporated 150 7,125
National Data Corporation 200 8,700
National TechTeam Incorporated (a) 125 2,500
Omnicom Group 125 5,719
Paychex Incorporated 200 10,287
Quintiles Transnational Corporation (a) 125 8,281
Robert Half International Incorporated (a) 150 5,156
Sitel Corporation (a) 350 4,944
SunGard Data Systems Incorporated (a) 250 9,875
Vanstar Corporation (a) 200 4,900
--------
146,768
--------
</TABLE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
VAN KAMPEN AMERICAN CAPITAL EMERGING GROWTH PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1996
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------ --------
<S> <C> <C>
COMMON STOCKS-(CONTINUED)
CHEMICALS-1.1%
Cytec Industries Incorporated (a) 100 $ 4,062
Goodrich (B.F.) Company 200 8,100
Praxair Incorporated 200 9,225
--------
21,387
--------
COMMUNICATION SERVICES-4.7%
Ascend Communications Incorporated (a) 450 27,956
Cascade Communications Corporation (a) 300 16,537
DSP Communications Incorporated (a) 125 2,422
Lucent Technologies Incorporated 150 6,937
Mastec Incorporated (a) 100 5,300
PairGain Technologies Incorporated (a) 950 28,916
--------
88,068
--------
COMPUTERS & BUSINESS EQUIPMENT-5.5%
3Com Corporation (a) 150 11,006
Cisco Systems Incorporated (a) 350 22,269
Citrix Systems Incorporated (a) 175 6,836
Cognos Incorporated (a) 150 4,219
Compaq Computer Corporation (a) 100 7,425
Dell Computer Corporation (a) 550 29,219
Encad Incorporated (a) 150 6,187
Network General Corporation (a) 100 3,025
Saville Systems PLC ADR (a) 150 6,094
Sun Microsystems Incorporated (a) 300 7,706
--------
103,986
--------
CONSTRUCTION MATERIALS-0.1%
Shaw Group Incorporated (a) 100 2,338
--------
DOMESTIC OIL-0.9%
Flores & Rucks Incorporated (a) 150 7,988
Pogo Producing Company 200 9,450
--------
17,438
--------
DRUGS & HEALTH CARE-6.2%
CRA Managed Care Incorporated (a) 50 2,250
Curative Technologies Incorporated (a) 100 2,769
Dura Pharmaceuticals Incorporated (a) 450 21,487
ESC Medical Systems Limited (a) 100 2,550
Health Management Associates Incorporated (a) 400 9,000
Healthsouth Corporation (a) 400 15,450
Jones Medical Industries Incorporated 225 8,241
Medicis Pharmaceutical Corporation (a) 175 7,700
Mentor Corporation Minnesota 200 5,900
Minimed Incorporated (a) 150 4,837
Omnicare Incorporated 525 16,866
Parexel International Corporation (a) 75 3,872
Renal Treatment Centers Incorporated (a) 250 6,375
Rexall Sundown Incorporated (a) 150 4,078
Total Renal Care Holdings Incorporated (a) 125 4,531
--------
115,906
--------
</TABLE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
VAN KAMPEN AMERICAN CAPITAL EMERGING GROWTH PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1996
SECURITY DESCRIPTION SHARES VALUE
- -------------------------------------------------- ------ --------
<S> <C> <C>
COMMON STOCKS-(CONTINUED)
ELECTRICAL EQUIPMENT-1.3%
American Power Conversion Corporation (a) 150 $ 4,087
Raychem Corporation 150 12,019
Sanmina Corporation (a) 100 5,650
Ultrak Incorporated (a) 100 3,050
--------
24,806
--------
ELECTRONICS-7.2%
ADC Telecommunications Incorporated (a) 350 10,894
Andrew Corporation (a) 200 10,612
Aspect Telecommunications Corporation (a) 200 12,700
BMC Industries Incorporated 125 3,937
Cambridge Technology Partners Incorporated (a) 275 9,230
Comverse Technology Incorporated (a) 175 6,617
Dynatech Corporation (a) 275 12,169
Intel Corporation 150 19,640
SCI Systems Incorporated (a) 150 6,694
Technology Solutions Company (a) 150 6,225
Tellabs Incorporated (a) 550 20,694
Uniphase Corporation (a) 100 5,250
Vitesse Semiconductor Corporation (a) 225 10,237
--------
134,899
--------
FINANCIAL SERVICES-5.1%
Aames Financial Corporation 200 7,175
Amresco Incorporated 225 6,019
Astoria Financial Corporation 100 3,687
Concord EFS Incorporated (a) 200 5,650
ContiFinancial Corporation (a) 100 3,613
Finova Group Incorporated 200 12,850
Green Tree Financial Corporation 250 9,656
Household International Incorporated 175 16,144
Imperial Credit Industries Incorporated (a) 300 6,300
Money Store Incorporated 225 6,216
Penncorp Financial Group Incorporated 225 8,100
RAC Financial Group Incorporated (a) 50 1,056
Student Loan Marketing Association 100 9,312
--------
95,778
--------
FOOD & BEVERAGES-0.9%
Coca Cola Enterprises Incorporated 150 7,275
Interstate Bakeries Corporation 200 9,825
--------
17,100
--------
GAS EXPLORATION-4.7%
Barrett Resources Corporation (a) 125 5,328
Benton Oil & Gas Company (a) 150 3,394
BJ Services Company (a) 100 5,100
Chesapeake Energy Corporation (a) 300 16,687
Cliffs Drilling Company (a) 100 6,325
Comstock Resources Incorporated (a) 350 4,550
Cooper Cameron Corporation (a) 150 11,475
</TABLE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
VAN KAMPEN AMERICAN CAPITAL EMERGING GROWTH PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1996
SECURITY DESCRIPTION SHARES VALUE
- -------------------------------------------------- ------ -------
<S> <C> <C>
COMMON STOCKS-(CONTINUED)
GAS EXPLORATION-(CONTINUED)
ENSCO International Incorporated (a) 150 $ 7,275
Falcon Drilling Company Incorporated (a) 100 3,925
Forcenergy Incorporated (a) 200 7,250
Nuevo Energy Company (a) 75 3,900
Transocean Offshore Incorporated 225 14,091
--------
89,300
--------
HOTELS & RESTAURANTS-2.1%
Boston Chicken Incorporated (a) 125 4,484
HFS Incorporated (a) 350 20,912
Landry's Seafood Restaurants Incorporated (a) 100 2,138
Prime Hospitality Corporation (a) 175 2,822
Promus Hotel Corporation (a) 200 5,925
Rainforest Cafe Incorporated (a) 125 2,938
--------
39,219
--------
HOUSEHOLD APPLIANCES & HOME FURNISHINGS-0.3%
Ethan Allen Interiors Incorporated 125 4,813
--------
HOUSEHOLD PRODUCTS-0.6%
Blyth Industries Incorporated (a) 75 3,422
USA Detergents Incorporated (a) 175 7,284
--------
10,706
--------
INDUSTRIAL MACHINERY-0.9%
AES Corporation (a) 150 6,975
United States Filter Corporation (a) 325 10,319
--------
17,294
--------
INSURANCE-3.7%
American Bankers Insurance Group Incorporated 100 5,112
Conseco Incorporated 356 22,715
CMAC Investment Corporation 250 9,188
ITT Hartford Group Incorporated 100 6,750
Old Republic International Corporation 150 4,012
SunAmerica Incorporated (a) 400 17,750
TIG Holdings Incorporated 100 3,388
--------
68,915
--------
LEISURE TIME-1.5%
Doubletree Corporation (a) 225 10,125
International Game Technology 300 5,475
MGM Grand Incorporated (a) 75 2,616
Penske Motorsports Incorporated (a) 100 2,525
Regal Cinemas Incorporated (a) 250 7,687
--------
28,428
--------
MINING-0.3%
Titanium Metals Corporation (a) 175 5,753
--------
OFFICE FURNISHINGS & SUPPLIES-0.4%
Reynolds & Reynolds Company 325 8,450
--------
</TABLE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
VAN KAMPEN AMERICAN CAPITAL EMERGING GROWTH PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1996
SECURITY DESCRIPTION SHARES VALUE
- ---------------------------------------------- ------ -------
<S> <C> <C>
COMMON STOCKS-(CONTINUED)
OIL & GAS-1.2%
Trico Marine Services Incorporated (a) 100 $ 4,800
United Meridian Corporation (a) 150 7,763
Tidewater Incorporated 225 10,181
--------
22,744
--------
PETROLEUM SERVICES-3.7%
Baker Hughes Incorporated 125 4,312
Camco International Incorporated 125 5,766
Diamond Offshore Drilling Incorporated (a) 150 8,550
Global Marine Incorporated (a) 450 9,281
Marine Drilling Companies Incorporated (a) 275 5,414
Noble Drilling Corporation (a) 250 4,969
Reading & Bates Corporation (a) 300 7,950
Rowan Companies Incorporated (a) 500 11,312
Smith International Incorporated (a) 250 11,219
--------
68,773
--------
PLASTICS-0.2%
Sealed Air Corporation (a) 100 4,163
--------
POLLUTION CONTROL-1.2%
United Waste Systems Incorporated (a) 300 10,312
USA Waste Services Incorporated (a) 400 12,750
--------
23,062
--------
PUBLISHING-0.6%
Meredith Corporation 200 10,550
CBT Group PLC ADR (a) 25 1,356
--------
11,906
--------
RETAIL GROCERY-2.1%
Kroger Company (a) 150 6,975
Richfood Holdings Incorporated 225 5,456
Safeway Incorporated (a) 300 12,825
Vons Companies Incorporated (a) 250 14,969
--------
40,225
--------
RETAIL TRADE-6.6%
Bed Bath & Beyond Incorporated (a) 400 9,700
Borders Group Incorporated (a) 150 5,381
Central Garden & Pet Company (a) 100 2,106
CompUSA Incorporated (a) 400 8,250
Consolidated Stores Corporation (a) 250 8,031
CDW Computer Centers Incorporated (a) 125 7,414
Dollar General Corporation 150 4,800
Eagle Hardware and Garden Incorporated (a) 275 5,706
Finish Line Incorporated (a) 275 5,809
Gadzooks Incorporated (a) 175 3,194
Henry Schein Incorporated (a) 100 3,438
Inacom Corporation (a) 175 7,000
Ingram Micro Incorporated (a) 200 4,600
Just For Feet Incorporated (a) 225 5,906
</TABLE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
VAN KAMPEN AMERICAN CAPITAL EMERGING GROWTH PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1996
SECURITY DESCRIPTION SHARES VALUE
- --------------------------------------------------- ------ ----------
<S> <C> <C>
COMMON STOCKS-(CONTINUED)
RETAIL TRADE-(CONTINUED)
Ross Stores Incorporated 225 $ 11,250
Saks Holdings Incorporated (a) 150 4,050
Sports Authority Incorporated (a) 150 3,263
Staples Incorporated (a) 250 4,515
Tiffany & Company 200 7,325
TJX Companies Incorporated (New) 150 7,106
United States Office Products Company (a) 125 4,266
----------
123,110
----------
SAVINGS & LOAN-1.2%
Greenpoint Financial Corporation 100 4,725
Peoples Heritage Financial Group 150 4,200
Washington Mutual Incorporated 300 12,994
----------
21,919
----------
SOFTWARE-11.4%
Aspen Technology Incorporated (a) 100 8,025
BMC Software Incorporated (a) 450 18,619
Cadence Design Systems Incorporated (a) 375 14,906
Ciber Incorporated (a) 175 5,250
Clarify Incorporated (a) 150 7,200
Compuware Corporation (a) 200 10,025
HBO & Company 300 17,812
Legato Systems Incorporated (a) 200 6,525
McAfee Associates Incorporated (a) 750 33,000
Parametric Technology Corporation (a) 275 14,128
Peoplesoft Incorporated (a) 650 31,160
Rational Software Corporation (a) 125 4,945
Remedy Corporation (a) 50 2,688
Security Dynamics Technologies Incorporated (a) 300 9,450
Vantive Corporation (a) 150 4,688
Viasoft Incorporated (a) 350 16,538
VideoServer Incorporated (a) 50 2,125
Wind River Systems Incorporated (a) 150 7,106
----------
214,190
----------
STEEL-0.5%
Mueller Industries Incorporated (a) 100 3,850
Precision Castparts Corporation 100 4,963
----------
8,813
----------
TELEPHONE-0.9%
Accident Corporation (a) 150 4,538
Cincinnati Bell Incorporated 200 12,325
----------
16,863
----------
TOTAL COMMON STOCKS-(Cost $1,580,186) 1,724,708
----------
</TABLE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
VAN KAMPEN AMERICAN CAPITAL EMERGING GROWTH PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1996
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- ------------------------------------------- ---------- ----------
<S> <C> <C>
FEDERAL AGENCIES-6.6%
- -------------------------------------------
(Cost $124,977)
Student Loan Marketing Discount Note
6.50%, 01/02/1997 ** $125,000 $124,977
----------
TOTAL INVESTMENTS-(COST $1,705,162*)-98.3% 1,849,685
OTHER ASSETS LESS LIABILITIES-1.7% 32,152
----------
NET ASSETS-100.0% $1,881,837
==========
<FN>
(A)-Non-income producing security
ADR-American Depositary Receipt
**-The rate shown reflects the current yield at December 31, 1996
*-Aggregate cost for Federal tax purposes is $1,724,632. 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 $181,705
and $56,652, respectively, resulting in net unrealized appreciation of
$125,053.
</TABLE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 1996
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 $2,785,661 $3,312,640 $ 2,556,530 $ 2,286,872
Repurchase agreements, at value 365,000 - 111,000 -
----------- ----------- --------------- -----------
Total Investment (a) (Note 1) 3,150,661 3,312,640 2,667,530 2,286,872
Cash, including foreign currency, at value 254 38,637 61,050 7,936
Receivable for securities sold - - 18,289 12,831
Receivable for forward contracts (Note 5) - - 24,386 -
Interest receivable 18,229 38,828 6 -
Dividends receivable 19,479 - 4,991 1,334
Receivable for fund shares sold 12,784 - 3,626 11,686
Receivable due from Adviser (Note 2) 25,442 7,660 33,383 6,643
Prepaid insurance 4,413 4,412 4,409 4,409
----------- ----------- --------------- -----------
TOTAL ASSETS 3,231,262 3,402,177 2,817,670 2,331,711
LIABILITIES
Payable for securities purchased 35,230 - 32,263 -
Payable for forward currency contracts (Note 5) - - 2,407 -
Payable for fund shares repurchased 871 341 377 1,232
Payable for variation margin on futures - 594 - -
Accounts payable and accrued expenses 50,062 25,124 55,641 23,441
----------- ----------- --------------- -----------
TOTAL LIABILITIES 86,163 26,059 90,688 24,673
----------- ----------- --------------- -----------
NET ASSETS $3,145,099 $3,376,118 $ 2,726,982 $ 2,307,038
=========== =========== =============== ===========
NET ASSETS CONSIST OF:
Par value (Note 4) $ 2,849 $ 3,452 $ 2,557 $ 1,873
Paid-in capital (Note 4) 2,930,786 3,435,628 2,605,937 1,995,781
Undistributed (distributions in excess of)
net investment income 1,107 - (2,632) -
Accumulated net realized gain (loss) on
investments, futures, and foreign currency
translations (13,950) (61,443) - -
Net unrealized appreciation (depreciation) of:
Investments 224,307 1,263 99,589 309,384
Futures - (2,782) - -
Foreign currency - - 21,531 -
----------- ----------- --------------- -----------
NET ASSETS $3,145,099 $3,376,118 $ 2,726,982 $ 2,307,038
=========== =========== =============== ===========
Shares outstanding at end of period 284,882 345,168 255,681 187,301
Net asset value per share $ 11.04 $ 9.78 $ 10.67 $ 12.32
(a) Investments in securities and repurchase
agreements, at cost $2,926,354 $3,311,377 $ 2,567,941 $ 1,977,488
</TABLE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 1996
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 $3,394,551 $1,351,274 $ 2,292,067 $1,849,685
Repurchase agreements, at value - - 108,000 -
---------- ---------- ------------ -----------
Total Investment (a) (Note 1) 3,394,551 1,351,274 2,400,067 1,849,685
Cash, including foreign currency, at value 26,786 1,302 630 1,285
Receivable for securities sold - - - 16,734
Interest receivable - 1,396 27,552 -
Dividends receivable 5,801 - - 514
Receivable for fund shares sold 8,610 15,580 5,115 21,920
Receivable due from Adviser (Note 2) 26,809 21,943 5,259 17,930
Prepaid insurance 4,412 4,409 4,409 4,413
---------- ---------- ------------ -----------
TOTAL ASSETS 3,466,969 1,395,904 2,443,032 1,912,481
LIABILITIES
Payable for securities purchased - - 74,088 -
Payable for fund shares repurchased 1,069 66,056 354 1,835
Accounts payable and accrued expenses 45,434 38,824 21,873 28,809
---------- ---------- ------------ -----------
TOTAL LIABILITIES 46,503 104,880 96,315 30,644
---------- ---------- ------------ -----------
NET ASSETS $3,420,466 $1,291,024 $ 2,346,717 $1,881,837
========== ========== ============ ===========
NET ASSETS CONSIST OF:
Par value (Note 4) $ 2,886 $ 12,910 $ 2,397 $ 1,631
Paid-in capital (Note 4) 3,008,449 1,278,114 2,385,566 1,796,022
Accumulated net realized loss on
investments and foreign currency
translations - - (39,476) (60,339)
Net unrealized appreciation (depreciation) of:
Investments 409,131 - (1,770) 144,523
---------- ---------- ------------ -----------
NET ASSETS $3,420,466 $1,291,024 $ 2,346,717 $1,881,837
========== ========== ============ ===========
Shares outstanding at end of period 288,620 1,291,024 239,683 163,082
Net asset value per share $ 11.85 $ 1.00 $ 9.79 $ 11.54
(a) Investments in securities and repurchase
agreements, at cost $2,985,420 $1,351,274 $ 2,401,837 $1,705,162
</TABLE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
STATEMENTS OF OPERATIONS
FOR THE PERIOD ENDED DECEMBER 31, 1996*
BEA CREDIT ELITE-
GROWTH BLACKROCK SUISSE VALUE
AND MANAGED INTERNATIONAL ASSET
INCOME BOND EQUITY ALLOCATION
---------- ----------- --------------- ------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Interest income $ 80,999 $ 197,941 $ 1,647 $ 9,952
Dividend income** 53,048 - 39,323 21,435
---------- ----------- --------------- ------------
TOTAL INVESTMENT INCOME 134,047 197,941 40,970 31,387
EXPENSES
Investment Advisory fees (Note 2) 19,577 17,235 21,872 9,681
Sub-administration fees 53,600 53,600 53,600 53,600
Audit fees 11,495 10,000 10,630 10,000
Custodian fees and expenses 32,357 25,813 52,934 20,649
Trustee's fees (Note 2) 4,838 4,838 4,838 4,838
Legal fees 7,500 7,500 7,500 7,500
Transfer agent fees 3,408 2,627 2,866 3,285
Insurance expense 1,347 1,347 1,351 1,351
Registration and filing fees 202 66 202 65
Miscellaneous expenses 38 27 48 27
---------- ----------- --------------- ------------
Total operating expenses before
waivers and reimbursements 134,362 123,053 155,841 110,996
Fees waived and expenses reimbursed (Note 2) (121,569) (114,393) (141,390) (105,656)
---------- ----------- --------------- ------------
NET EXPENSES 12,793 8,660 14,451 5,340
---------- ----------- --------------- ------------
NET INVESTMENT INCOME 121,254 189,281 26,519 26,047
---------- ----------- --------------- ------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
FROM INVESTMENTS AND FOREIGN CURRENCY
Net realized gain (loss) on:
Investments and futures contracts 110,399 (61,443) 259,448 28,614
Foreign currency transactions - - 24,110 -
Net change in unrealized
appreciation (depreciation) of:
Investments 110,048 1,263 30,380 309,384
Futures - (2,782) - -
Foreign currency - - 22,709 -
---------- ----------- --------------- ------------
NET REALIZED AND UNREALIZED
GAIN (LOSS) 220,447 (62,962) 336,647 337,998
---------- ----------- --------------- ------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS $ 341,701 $ 126,319 $ 363,166 $ 364,045
========== =========== =============== ============
** Net of foreign withholding taxes of $ 339 $ - $ 6,061 $ -
========== =========== =============== ============
<FN>
*-The Managed Bond Portfolio and the Asset Allocation Portfolio commenced investment operations on
January 2, 1996. For the Growth and Income Portfolio and the International Equity Portfolio the
information shown represents the operations of the full year ended December 31, 1996.
</TABLE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
STATEMENTS OF OPERATIONS
FOR THE PERIOD ENDED DECEMBER 31, 1996*
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 $ 2,365 $ 39,676 $ 125,967 $ 7,197
Dividend income 55,426 - - 3,676
---------- ---------- ------------ ------------
TOTAL INVESTMENT INCOME 57,791 39,676 125,967 10,873
EXPENSES
Investment Advisory fees (Note 2) 16,082 3,232 9,303 9,461
Sub-administration fees 53,600 53,600 49,133 53,600
Audit fees 10,680 8,880 10,000 10,150
Custodian fees and expenses 30,034 18,366 18,243 51,003
Trustee's fees (Note 2) 4,838 4,838 4,838 4,838
Legal fees 7,500 7,500 7,500 7,500
Transfer agent fees 3,010 3,668 2,497 3,525
Insurance expense 1,347 1,351 1,351 1,347
Registration and filing fee 202 202 66 66
Miscellaneous expenses 38 38 27 27
---------- ---------- ------------ ------------
Total operating expenses before
waivers and reimbursements 127,331 101,675 102,958 141,517
Fees waived and expenses reimbursed (Note 2) (117,095) (99,565) (98,532) (135,714)
---------- ---------- ------------ ------------
NET EXPENSES 10,236 2,110 4,426 5,803
---------- ---------- ------------ ------------
NET INVESTMENT INCOME 47,555 37,566 121,541 5,070
---------- ---------- ------------ ------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
FROM INVESTMENTS AND FOREIGN CURRENCY
Net realized gain (loss) on:
Investments 131,244 - (39,476) (10,938)
Net change in unrealized
appreciation (depreciation) of:
Investments 340,351 - (1,770) 144,523
---------- ---------- ------------ ------------
NET REALIZED AND UNREALIZED
GAIN (LOSS) 471,595 - (41,246) 133,585
---------- ---------- ------------ ------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS $ 519,150 $ 37,566 $ 80,295 $ 138,655
========== ========== ============ ============
** Net of foreign withholding taxes of $ - $ - $ - $ 12
========== ========== ============ ============
<FN>
*-The U.S. Government Securities Portfolio and the Emerging Growth Portfolio commenced investment
operations on February 6, 1996 and January 2, 1996, respectively. For the Growth Equity Portfolio
and the Money Market Portfolio the information shown represents the operations of the full year
ended December 31,1996.
</TABLE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
BLACKROCK ELITEVALUE
--------- ----------
MANAGED CREDIT SUISSE ASSET
------- -------------
BEA GROWTH AND INCOME BOND INTERNATIONAL EQUITY ALLOCATION
--------------------- ---- -------------------- ------------
YEAR PERIOD PERIOD YEAR PERIOD PERIOD
ENDED ENDED ENDED ENDED ENDED ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
1996 1995* 1996* 1996 1995* 1996*
------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
From operations:
Net investment income $ 121,254 $ 28,948 $ 189,281 $ 26,519 $ 11,681 $ 26,047
Net realized gain (loss) on:
Investments and futures 110,399 (11,754) (61,443) 259,448 (669) 28,614
Foreign currency transactions - - - 24,110 (444) -
Net change in unrealized appreciation
(depreciation) of:
Investments and futures 110,048 114,259 (1,519) 30,380 69,209 309,384
Foreign currency - - - 22,709 (1,178) -
----------- ----------- ----------- ----------- ----------- -----------
Net increase in net assets resulting
from operations 341,701 131,453 126,319 363,166 78,599 364,045
Distributions to shareholders (Note 1):
From net investment income (120,147) (28,948) (189,281) (26,519) (11,681) (26,047)
In excess of net investment income - - - (61,401) - -
From net realized gains (102,804) - - (223,676) - (28,614)
In excess of net realized gains - (9,791) - - - -
Fund share transactions (Note 4) 890,030 2,043,605 3,439,080 592,388 2,016,106 1,997,654
----------- ----------- ----------- ----------- ----------- -----------
Total increase in net assets 1,008,780 2,136,319 3,376,118 643,958 2,083,024 2,307,038
NET ASSETS:
Beginning of period 2,136,319 - - 2,083,024 - -
----------- ----------- ----------- ----------- ----------- -----------
END OF PERIOD (A) $3,145,099 $2,136,319 $3,376,118 $2,726,982 $2,083,024 $2,307,038
=========== =========== =========== =========== =========== ===========
(a) Including undistributed (overdistributed)
net investment income $ 1,107 $ - $ - $ (2,632) $ (278) $ -
=========== =========== =========== =========== =========== ===========
<FN>
*-The Growth and Income Portfolio and the International Equity Portfolio commenced investment operations on October 20, 1995,
and the Managed Bond Portfolio and the Asset Allocation Portfolio commenced investment operations on January 2, 1996.
</TABLE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
SALOMON VAN KAMPEN
BROTHERS AMERICAN
U.S. CAPITAL
GLOBAL ADVISORS GLOBAL ADVISORS GOVERNMENT EMERGING
GROWTH EQUITY MONEY MARKET SECURITIES GROWTH
------------- ------------ ---------- --------
YEAR PERIOD YEAR PERIOD PERIOD PERIOD
ENDED ENDED ENDED ENDED ENDED ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
1996 1995* 1996 1995* 1996* 1996*
------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
From operations:
Net investment income $ 47,555 $ 10,034 $ 37,566 $ 1,234 $ 121,541 $ 5,070
Net realized gain (loss) on:
Investments 131,244 (7,438) - - (39,476) (10,938)
Net change in unrealized appreciation
(depreciation) of investments 340,351 68,780 - - (1,770) 144,523
----------- ----------- ----------- --------- ----------- -----------
Net increase in net assets resulting
from operations 519,150 71,376 37,566 1,234 80,295 138,655
Distributions to shareholders (Note 1):
From net investment income (47,555) (10,034) (37,566) (1,234) (121,541) (5,070)
From net realized gains (123,806) - - - - -
In excess of net realized gains - - - - - (49,696)
Fund share transactions (Note 4) 1,000,038 2,011,297 1,164,745 126,279 2,387,963 1,797,948
----------- ----------- ----------- --------- ----------- -----------
Total increase in net assets 1,347,827 2,072,639 1,164,745 126,279 2,346,717 1,881,837
NET ASSETS:
Beginning of period 2,072,639 - 126,279 - - -
----------- ----------- ----------- --------- ----------- -----------
END OF PERIOD $3,420,466 $2,072,639 $1,291,024 $126,279 $2,346,717 $1,881,837
=========== =========== =========== ========= =========== ===========
<FN>
*-The Growth Equity Portfolio, Money Market Portfolio, U.S. Government Securities Portfolio and Emerging Growth Portfolio
commenced investment operations on October 20, 1995, October 10,1995, February 6, 1996 and January 2, 1996, respectively.
</TABLE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
BLACKROCK CREDIT SUISSE
BEA GROWTH AND INCOME MANAGED BOND INTERNATIONAL EQUITY
------------------------ ------------- ---------------------
Year Period Period Year Period
Ended Ended Ended Ended Ended
December 31, December 31, December 31, December 31, December 31,
1996 1995* 1996* 1996 1995*
-------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE
Net asset value, beginning of period $ 10.46 $ 10.00 $ 10.00 $ 10.33 $ 10.00
-------------- -------------- -------------- -------------- --------------
INVESTMENT OPERATIONS
Net investment income (1) 0.47 0.14 0.58 0.15 0.06
Net realized and
unrealized gain (loss) 0.96 0.51 (0.22) 1.56 0.33
-------------- -------------- -------------- -------------- --------------
Total from investment operations 1.43 0.65 0.36 1.71 0.39
-------------- -------------- -------------- -------------- --------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net investment income (0.47) (0.14) (0.58) (0.15) (0.06)
In excess of net investment income gains - - - (0.24) -
Net realized gains (0.38) - 0.00 (0.98) 0.00
In excess of net realized gains - (0.05) - - -
-------------- -------------- -------------- -------------- --------------
Total distributions
to shareholders (0.85) (0.19) (0.58) (1.37) (0.06)
-------------- -------------- -------------- -------------- --------------
Net asset value, end of period $ 11.04 $ 10.46 $ 9.78 $ 10.67 $ 10.33
============== ============== ============== ============== ==============
TOTAL RETURN 13.82% 6.57% (2) 3.76% (2) 16.50% 3.93% (2)
RATIOS AND SUPPLEMENTAL
DATA
Expenses to average
net assets (3) 0.49% 0.12% (4) 0.28% (4) 0.60% 0.12% (4)
Net investment income to
average net assets 4.65% 6.99% (4) 6.02% (4) 1.09% 2.89% (4)
Portfolio turnover rate 217% 75% 488% 79% 2%
Average commission rate (5) $ 0.0600 $ 0.0623 - $ 0.0134 $ 0.0371
Net assets, end of period (000's) $ 3,145 $ 2,136 $ 3,376 $ 2,727 $ 2,083
ELITEVALUE
ASSET ALLOCATION
-----------------
Period
Ended
December 31,
1996*
--------------
<S> <C>
NET ASSET VALUE
Net asset value, beginning of period $ 10.00
--------------
INVESTMENT OPERATIONS
Net investment income (1) 0.18
Net realized and
unrealized gain (loss) 2.48
--------------
Total from investment operations 2.66
--------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net investment income (0.18)
In excess of net investment income gains -
Net realized gains (0.16)
In excess of net realized gains -
--------------
Total distributions
to shareholders (0.34)
--------------
Net asset value, end of period $ 12.32
==============
TOTAL RETURN 26.70% (2)
RATIOS AND SUPPLEMENTAL
DATA
Expenses to average
net assets (3) 0.36% (4)
Net investment income to
average net assets 1.74% (4)
Portfolio turnover rate 21%
Average commission rate (5) $ 0.0545
Net assets, end of period (000's) $ 2,307
<FN>
*-The Growth and Income and International Equity Portfolios commenced investment operations on October 20, 1995, and the
Managed Bond and Asset Allocation Portfolios commenced investment operations on January 2, 1996.
(1) Net investment income is after waiver of fees and reimbursement of certain expenses by the Investment Adviser, the
Sub-administrator, the Custodian and Western National Life Insurance Company, an affiliate of the Adviser (see Note 2 to
the financial statements). If the Investment Adviser, the Sub-administrator and the Custodian had not waived fees and
Western National Life Insurance Company had not reimbursed expenses for the periods ended December 31, 1996, and December
31, 1995, net investment income (loss) per share would have been $0.00 and $(0.06) for the Growth and Income Portfolio,
respectively, and $(1.25) and $(0.18) for the International Equity Portfolio, respectively. For the period ended
December 31,1996, the net investment income (loss) per share would have been $0.23 and $(0.54) for the Managed Bond and
Asset Allocation Portfolios, respectively.
(2) Total return represents aggregate total return for the period indicated and is not annualized.
(3) If the Investment Adviser, the Sub-administrator and the Custodian had not waived fees and Western National Life
Insurance Company had not reimbursed expenses for the periods ended December 31, 1996, and December 31, 1995, the ratio
of operating expenses to average net assets would have been 5.15% and 9.95% for the Growth and Income Portfolio,
respectively, and 6.41% and 11.83% for the International Equity Portfolio, respectively. For the period ended December
31,1996, the ratio of operating expenses to average net assets would have been 3.93% and 7.45% for the Managed Bond and
Asset Allocation Portfolios, respectively.
(4) Annualized.
(5) Represents the average commission rate paid on equity security transactions on which commissions are charged.
</TABLE>
<TABLE>
<CAPTION>
WNL SERIES TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
SALOMON BROTHERS
GLOBAL ADVISORS GLOBAL ADVISORS U.S. GOVERNMENT
GROWTH EQUITY MONEY MARKET SECURITIES
-------------- ------------- ----------
Year Period Year Period Period
Ended Ended Ended Ended Ended
December 31, December 31, December 31, December 31, December 31,
1996 1995* 1996 1995* 1996*
-------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE
Net asset value, beginning of period $10.31 $10.00 $1.00 $1.00 $10.00
-------------- -------------- -------------- -------------- --------------
INVESTMENT OPERATIONS
Net investment income (1) 0.20 0.05 0.05 0.01 0.53
Net realized and
unrealized gain (loss) 1.99 0.31 0.00 0.00 (0.21)
-------------- -------------- -------------- -------------- --------------
Total from investment operations 2.19 0.36 0.05 0.01 0.32
-------------- -------------- -------------- -------------- --------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net investment income (0.20) (0.05) (0.05) (0.01) (0.53)
Net realized gains (0.45) (0.00) 0.00 (0.00) 0.00
-------------- -------------- -------------- -------------- --------------
Total distributions
to shareholders (0.65) (0.05) (0.05) (0.01) (0.53)
-------------- -------------- -------------- -------------- --------------
Net asset value, end of period $11.85 $10.31 $1.00 $1.00 $9.79
============== ============== ============== ============== ==============
TOTAL RETURN 21.36% 3.57% (2) 5.19% 1.17% (2) 3.40% (2)
RATIOS AND SUPPLEMENTAL
DATA
Expenses to average
net assets (3) 0.39% 0.12% (4) 0.29% 0.12% (4) 0.22% (4)
Net investment income to
average net assets 1.80% 2.46% (4) 5.23% 5.25% (4) 5.91% (4)
Portfolio turnover rate 89% 9% N/A N/A 297%
Average commission rate (5) $0.0326 $0.0226 - - -
Net assets, end of period (000's) $3,420 $2,073 $1,291 $126 $2,347
VAN KAMPEN
AMERICAN CAPITAL
EMERGING GROWTH
----------------
Period
Ended
December 31,
1996*
--------------
<S> <C>
NET ASSET VALUE
Net asset value, beginning of period $10.00
--------------
INVESTMENT OPERATIONS
Net investment income (1) 0.05
Net realized and
unrealized gain (loss) 1.86
--------------
Total from investment operations 1.91
--------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net investment income (0.05)
Net realized gains (0.32)
--------------
Total distributions
to shareholders (0.37)
--------------
Net asset value, end of period $11.54
==============
TOTAL RETURN 19.06% (2)
RATIOS AND SUPPLEMENTAL
DATA
Expenses to average
net assets (3) 0.46% (4)
Net investment income to
average net assets 0.40% (4)
Portfolio turnover rate 154%
Average commission rate (5) $0.0419
Net assets, end of period (000's) $1,882
<FN>
*-The Growth Equity Portfolio, Money Market Portfolio, U.S. Government Securities Portfolio and Emerging Growth
Portfolio commenced operations on October 20, 1995, October 10, 1995, 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, the Custodian and Western National Life Insurance Company, an affiliate of the Adviser (see
Note 2 to the financial statements). If the Investment Adviser, the Sub-administrator and the Custodian had not
waived fees and Western National Life Insurance Company had not reimbursed expenses for the periods ended December
31, 1996, and December 31, 1995, net investment income (loss) per share would have been $(0.29) and $(0.15) for the
Growth Equity Portfolio, respectively, and $(0.08) and $(0.35) for the Money Market Portfolio, respectively. For the
period ended December 31,1996, the net investment income (loss) per share would have been $0.10 and $(1.29) for the
U.S. Government Securities and Emerging Growth Portfolios, respectively.
(2) Total return represents aggregate total return for the period indicated and is not annualized.
(3) If the Investment Adviser, the Sub-administrator and the Custodian had not waived fees and Western National Life
Insurance Company had not reimbursed expenses for the periods ended December 31, 1996, and December 31, 1995, the
ratio of operating expenses to average net assets would have been 4.83% and 9.94% for the Growth Equity Portfolio,
respectively, and 14.15% and 161.83% for the Money Market Portfolio, respectively. For the period ended December 31,
1996, the ratio of operating expenses to average net assets would have been 5.26% and 11.22% for the U.S. Government
Securities and Emerging Growth Portfolios, respectively.
(4) Annualized.
(5) Represents the average commission rate paid on equity security transactions on which commissions are charged.
</TABLE>
WNL SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1996
WNL Series Trust (the "Trust") is an open-end, diversified series management
investment company established 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 obligations 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 obligations. 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.
(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 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 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.
(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>
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, 1997. 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, 1997 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. State Street Bank and Trust Company
has agreed to waive its minimum custody fee until September 30, 1996 and its
minimum sub-administration fee for the first twelve months of each Portfolios'
operations.
For the period ended December 31, 1996, the Adviser waived advisory fees, the
Sub-administrator waived Sub-administration fees, the Custodian waived custody
fees and Western National Life Insurance Company reimbursed operating expenses
as follows:
<TABLE>
<CAPTION>
Advisory Sub- Custody
Fees administration Fees Expenses
Waived Fees Waived Waived Reimbursed Total
--------- --------------- -------- ----------- --------
<S> <C> <C> <C> <C> <C>
BEA Growth and Income $ 9,918 $ 35,933 $ 13,500 $ 62,218 $121,569
BlackRock Managed Bond 12,335 48,709 13,500 39,849 114,393
Credit Suisse International Equity 10,342 35,441 22,500 73,107 141,390
EliteValue Asset Allocation 6,128 49,328 13,500 36,700 105,656
Global Advisors Growth Equity 9,010 35,917 13,500 58,668 117,095
Global Advisors Money Market 1,984 37,068 13,500 47,013 99,565
Salomon Brothers U.S. Government
Securities 7,227 44,938 13,500 32,867 98,532
Van Kampen American Capital
Emerging Growth 5,171 49,366 13,500 67,677 135,714
</TABLE>
WNL Brokerage Services, Inc., a subsidiary of Western National Corporation, is
the distributor and underwriter of the VA Contracts.
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 year ended December 31, 1996, 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 $117, $890, $12 and $252, respectively, to CS First
Boston Corporation and $76, $262, $106 and $6, 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 December 31, 1996 were
as follows:
<TABLE>
<CAPTION>
U.S. Government Proceeds U.S. Government
Purchases Purchases from Sales Sales
---------- ---------------- ----------- ----------------
<S> <C> <C> <C> <C>
BEA Growth and Income $4,296,988 $ 1,642,177 $ 3,841,104 $ 1,525,954
BlackRock Managed Bond 1,890,708 14,483,439 716,492 12,191,766
Credit Suisse International Equity 2,318,666 - 1,838,516 -
EliteValue Asset Allocation 1,930,937 123,645 272,543 -
Global Advisors Growth Equity 3,165,111 - 2,280,046 31,459
Global Advisors Money Market - - - -
Salomon Bros. U.S. Gov. Securities - 7,451,593 - 5,078,388
Van Kampen American Capital
Emerging Growth 3,278,860 17,091 1,688,407 10,094
</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
YEAR ENDED PERIOD ENDED
DECEMBER 31, 1996 DECEMBER 31, 1995**
SHARES AMOUNT SHARES AMOUNT
<S> <C> <C> <C> <C>
Capital stock sold 66,163 $728,535 200,461 $2,004,865
Capital stock issued upon
reinvestment of dividends
and distributions
20,222 222,950 3,702 38,740
Capital stock redeemed (5,666) (61,455) - -
- --------------------------- ------- --------- ------- ----------
Net increase 80,719 $890,030 204,163 $2,043,605
=========================== ======= ========= ======= ==========
</TABLE>
<TABLE>
<CAPTION>
BLACKROCK MANAGED BOND PORTFOLIO
PERIOD ENDED DECEMBER 31, 1996#
SHARES AMOUNT
<S> <C> <C>
Capital stock sold 326,114 $3,255,351
Capital stock issued upon
reinvestment of dividends
and distributions 19,619 189,281
Capital stock redeemed (565) (5,552)
Net increase 345,168 $3,439,080
=========================== ======== ===========
</TABLE>
<TABLE>
<CAPTION>
CREDIT SUISSE INTERNATIONAL EQUITY PORTFOLIO
YEAR ENDED PERIOD ENDED
DECEMBER 31, 1996 DECEMBER 31, 1995**
SHARES AMOUNT SHARES AMOUNT
<S> <C> <C> <C> <C>
Capital stock sold 30,199 $338,622 200,429 $2,004,424
Capital stock issued upon
reinvestment of dividends
and distributions 29,080 311,598 1,131 11,682
Capital stock redeemed (5,158) (57,832) - -
Net increase 54,121 $592,388 201,560 $2,016,106
=========================== ======= ========= ======= ==========
</TABLE>
<TABLE>
<CAPTION>
ELITEVALUE ASSET ALLOCATION PORTFOLIO
PERIOD ENDED DECEMBER 31, 1996#
SHARES AMOUNT
<S> <C> <C>
Capital stock sold 188,662 $2,008,545
Capital stock issued upon
reinvestment of dividends
and distributions 4,621 54,661
Capital stock redeemed (5,982) (65,552)
Net increase 187,301 $1,997,654
=========================== ======== ===========
</TABLE>
<TABLE>
<CAPTION>
GLOBAL ADVISORS GROWTH EQUITY PORTFOLIO
YEAR ENDED PERIOD ENDED
DECEMBER 31, 1996 DECEMBER 31, 1995**
SHARES AMOUNT SHARES AMOUNT
<S> <C> <C> <C> <C>
Capital stock sold 78,858 $ 894,813 200,124 $2,001,261
Capital stock issued upon
reinvestment of dividends
and distributions 14,601 171,361 973 10,036
Capital stock redeemed (5,936) (66,136) - -
Net increase 87,523 $1,000,038 201,097 $2,011,297
=========================== ======= =========== ======= ==========
</TABLE>
<TABLE>
<CAPTION>
GLOBAL ADVISORS MONEY MARKET PORTFOLIO
YEAR ENDED PERIOD ENDED
DECEMBER 31, 1996 DECEMBER 31, 1995*
SHARES AMOUNT SHARES AMOUNT
<S> <C> <C> <C> <C>
Capital stock sold 8,792,660 $ 8,792,660 140,324 $140,324
Capital stock issued upon
reinvestment of dividends
and distributions 37,565 37,565 1,233 1,233
Capital stock redeemed (7,665,480) (7,665,480) (15,278) (15,278)
Net increase 1,164,745 $ 1,164,745 126,279 $126,279
=========================== =========== ============ ======== =========
</TABLE>
<TABLE>
<CAPTION>
SALOMON BROTHERS U.S. GOVERNMENT SECURITIES PORTFOLIO
PERIOD ENDED DECEMBER 31, 1996##
SHARES AMOUNT
<S> <C> <C>
Capital stock sold 228,423 $2,278,845
Capital stock issued upon
reinvestment of dividends
and distributions 12,524 121,541
Capital stock redeemed (1,264) (12,423)
Net increase 239,683 $2,387,963
=========================== ======== ===========
</TABLE>
<TABLE>
<CAPTION>
VAN KAMPEN CAPITAL EMERGING GROWTH PORTFOLIO
PERIOD ENDED DECEMBER 31, 1996#
SHARES AMOUNT
<S> <C> <C>
Capital stock sold 316,820 $ 3,633,490
Capital stock issued upon
reinvestment of dividends
and distributions 4,733 54,766
Capital stock redeemed (158,471) (1,890,308)
Net increase 163,082 $ 1,797,948
=========================== ========= ============
<FN>
* Portfolio commenced operations on October 10, 1995.
** Portfolio commenced operations on October 20, 1995.
# Portfolio commenced operations on January 2, 1996.
## Portfolio commenced operations on February 6, 1996.
</TABLE>
5. FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
At December 31, 1996, 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 SOLD SETTLEMENT ORIGINATION CURRENT UNREALIZED
DATE DATE VALUE APPRECIATION
- ------------------ ---------- ------------ ------------ --------------
<S> <C> <C> <C> <C>
CAD 01/07/1997 $ 298,508 $ 292,254 $ 6,254
DEM 01/21/1997 144,096 143,891 205
FRF 01/07/1997 146,972 146,866 106
JPY 01/21/1997 429,387 411,886 17,501
NLG 01/21/1997 134,286 133,966 320
------------ ------------ --------------
$ 1,153,249 $ 1,128,863 $ 24,386
</TABLE>
<TABLE>
<CAPTION>
U.S. DOLLAR
COST ON U.S. DOLLAR
CURRENCY PURCHASED SETTLEMENT ORIGINATION CURRENT UNREALIZED
DATE DATE VALUE DEPRECIATION
- ------------------ ---------- ------------ ------------ --------------
<S> <C> <C> <C> <C>
CAD 01/07/97 $ 146,972 $ 146,127 $ (845)
CAD 01/07/97 147,689 146,127 (1,562)
------------ ------------ --------------
$ 294,661 $ 292,254 $ (2,407)
</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.
Credit Suisse International Equity Portfolio and Global Advisors Growth Equity
Portfolio designate $5,317 and $46,867, respectively as long term capital
gains dividends paid.
Credit Suisse International Equity Portfolio had total income from sources
within foreign countries of $39,323. The total amount of foreign taxes paid
to such countries was $6,016.
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Board of Directors and Shareholders of
WNL Series Trust:
We have audited the accompanying statements of assets and liabilities of the
WNL Series Trust (the "Trust") consisting of BEA Growth and Income Portfolio,
BlackRock Managed Bond Portfolio, Credit Suisse International Equity
Portfolio, EliteValue Asset Allocation Portfolio, Global Advisors Growth
Equity Portfolio, Global Advisors Money Market Portfolio, Salomon Brothers
U.S. Government Securities Portfolio and Van Kampen American Capital Emerging
Growth Portfolio, including the schedules of investments, as of December 31,
1996, the related statements of operations for the year then ended, the
statements of changes in net assets, and the financial highlights for each of
the periods indicated herein. These financial statements and financial
highlights are the responsibility of the Trust's management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements and
financial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements. Our procedures included confirmation of securities
owned as of December 31, 1996, by correspondence with the custodian and
brokers. An audit also includes assessing the accounting principles used and
significant estimates made by management, as well as evaluating the overall
financial statement presentations. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
WNL Series Trust as of December 31, 1996, the results of its operations for
the year then ended, the changes in its net assets and its financial
highlights for each of the periods indicated herein, in conformity with
generally accepted accounting principles.
Boston, Massachusetts COOPERS & LYBRAND L.L.P.
February 10, 1997
WNL SERIES TRUST
PROXY VOTING RESULTS (UNAUDITED)
The following proposal which was voted upon at a special meeting of
shareholders on October 16, 1996, with results shown below.
PROPOSAL 1.
To approve a new Sub-Advisory Agreement between Van Kampen American Capital
Asset Management, Inc., WNL Investment Advisory Services, Inc. and WNL Series
Trust.
<TABLE>
<CAPTION>
For Against Abstain
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<S> <C> <C> <C>
Van Kampen American Capital
Emerging Growth 138,780 - 8,780
</TABLE>
