UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-03641
Conseco Series Trust
(Exact name of registrant as specified in charter)
11825 N. Pennsylvania Street
Carmel, IN 46032
(Address of principal executive offices) (Zip code)
Maxwell E. Bublitz
Conseco Series Trust
11825 N. Pennsylvania Street
Carmel, IN 46032
(Name and address of agent for service)
1-800-986-3384
Registrant's telephone number, including area code
Date of fiscal year end: 12/31/2003
----------
Date of reporting period: 06/30/2003
----------
Item 1. Report to Stockholders.
CONSECO SERIES TRUST
June 30, 2003
Semi-Annual Report
Conseco 20 Focus Portfolio
Equity Portfolio
Balanced Portfolio
High Yield Portfolio
Fixed Income Portfolio
Government Securities Portfolio
Money Market Portfolio
CONSECO SERIES TRUST
Table of Contents
June 30, 2003
Statements of Assets and Liabilities...........................................2
Statements of Operations.......................................................2
Statements of Changes in Net Assets............................................4
Conseco 20 Focus Portfolio
Portfolio Manager's Review.................................................6
Schedule of Investments....................................................7
Equity Portfolio
Portfolio Manager's Review.................................................8
Schedule of Investments....................................................9
Balanced Portfolio
Portfolio Managers' Review................................................14
Schedule of Investments...................................................15
High Yield Portfolio
Portfolio Managers' Review................................................23
Schedule of Investments...................................................24
Fixed Income Portfolio
Portfolio Managers' Review................................................29
Schedule of Investments...................................................30
Government Securities Portfolio
Portfolio Managers' Review................................................36
Schedule of Investments...................................................37
Money Market Portfolio
Portfolio Manager's Review................................................39
Schedule of Investments...................................................40
Notes to Financial Statements.................................................43
Financial Highlights..........................................................47
This report is for the information of Conseco Series Trust contract owners.
It is authorized for distribution to other persons only when preceded, or
accompanied by, a current prospectus that contains more complete information,
including charges and expenses.
CONSECO SERIES TRUST
Statements of Assets and Liabilities
June 30, 2003 (Unaudited)
=========================================================================================================
CONSECO
20 FOCUS EQUITY
PORTFOLIO PORTFOLIO
=========================================================================================================
ASSETS:
Investments in securities at cost $ 2,128,522 $161,124,566
- ---------------------------------------------------------------------------------------------------------
Investments in securities at value (Note 2) (Including repurchase
agreements of
$0, $17,316,647, $2,542,955, $0, $3,457,611, $12,646,328, $0, $ 2,324,435 $179,567,210
respectively)
Interest and dividends receivable 514 90,741
Receivable for securities sold 291,885 15,309,223
Receivable for shares sold -- --
Cash -- --
Prepaid assets -- 5,445
- ---------------------------------------------------------------------------------------------------------
Total assets 2,616,834 194,972,619
- ---------------------------------------------------------------------------------------------------------
LIABILITIES AND NET ASSETS:
Payable to Conseco, Inc. and subsidiaries 1,836 190,614
Accrued expenses 9,069 75,654
Payable to Custodian 162,410 18,421
Payable for shares redeemed 805 96,919
Payable for securities purchased -- 15,427,719
Payable upon return of securities on loan -- 24,818,215
- ---------------------------------------------------------------------------------------------------------
Total liabilities 174,120 40,627,542
- ---------------------------------------------------------------------------------------------------------
Net assets $ 2,442,714 $154,345,077
=========================================================================================================
NET ASSETS CONSIST OF:
Paid-in capital 6,486,875 185,619,939
Accumulated undistributed net investment income (loss) (4,833) 180,845
Accumulated undistributed net realized gain (loss) on investments (4,235,241) (49,898,351)
Net unrealized appreciation on investments 195,913 18,442,644
- ---------------------------------------------------------------------------------------------------------
Net assets $ 2,442,714 $154,345,077
=========================================================================================================
Shares outstanding (unlimited shares authorized) 872,632 8,991,131
Net asset value, redemption price and
offering price per share $ 2.80 $ 17.17
=========================================================================================================
Statements of Operations
For the six months ended June 30, 2003 (Unaudited)
=========================================================================================================
CONSECO
20 FOCUS EQUITY
PORTFOLIO PORTFOLIO
=========================================================================================================
INVESTMENT INCOME:
Interest $ 581 $ 9,409
Dividends 3,482 929,819
Other Income -- 32,544
Foreign tax withheld -- (403)
Total investment income 4,063 971,369
EXPENSES:
Investment advisory fees 5,415 468,126
Distribution fees 1,934 180,048
Administration fee 982 90,450
Custody fees 2,900 14,180
Audit fees 1,420 18,961
Reports - printing 525 21,400
Director fees and expenses 181 14,044
Insurance 18 1,708
Legal 181 4,940
Other 181 4,136
Total expenses 13,737 817,993
Less expense reductions and reimbursements (Note 3) (4,841) (27,469)
Net expenses 8,896 790,524
Net investment income (loss) (4,833) 180,845
NET REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS:
Net realized gains (losses) on sales of investments 15,713 (911,076)
Net change in unrealized appreciation or depreciation on investments 289,971 21,202,377
Net realized and unrealized gains (losses) on investments 305,684 20,291,301
Net increase in net assets from operations $ 300,851 $ 20,472,146
=========================================================================================================
The accompanying notes are an integral part of these financial statements.
========================================================================================
HIGH GOVERNMENT MONEY
BALANCED YIELD FIXED INCOME SECURITIES MARKET
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
========================================================================================
$ 47,801,382 $ 8,279,024 $ 42,454,730 $ 48,525,565 $ 61,268,002
- ----------------------------------------------------------------------------------------
$ 48,611,561 $ 8,782,301 $ 44,348,656 $ 49,341,164 $ 61,268,002
276,031 131,572 503,559 305,764 83,066
542,135 39,237 211,721 143,000 --
70,117 1,539,498 197,238 -- 813,834
-- -- 3,602,900 -- 114
2,675 1,004 1,253 2,338 4,820
- ----------------------------------------------------------------------------------------
49,502,519 10,493,612 48,865,327 49,792,266 62,169,836
- ----------------------------------------------------------------------------------------
57,441 11,832 47,927 45,015 16,090
26,438 9,893 27,480 17,991 45,439
137,852 -- -- 142,892 --
1,675 37,597 8 5,250 --
296,677 313,800 927,289 -- --
2,542,955 -- 3,457,611 13,146,761 --
- ----------------------------------------------------------------------------------------
3,063,038 373,122 4,460,315 13,357,909 61,529
- ----------------------------------------------------------------------------------------
$ 46,439,481 $10,120,490 $ 44,405,012 $ 36,434,357 $ 62,108,307
========================================================================================
62,389,925 10,227,577 44,244,730 35,198,314 62,112,849
3,587 3,283 14,718 10,175 --
(16,764,210) (613,647) (1,748,362) 410,269 (4,542)
810,179 503,277 1,893,926 815,599 --
- ----------------------------------------------------------------------------------------
$ 46,439,481 $10,120,490 $ 44,405,012 $ 36,434,357 $ 62,108,307
========================================================================================
4,132,621 1,014,590 4,406,277 3,006,284 62,112,849
$ 11.24 $ 9.97 $ 10.08 $ 12.12 $ 1.00
========================================================================================
========================================================================================
HIGH GOVERNMENT MONEY
BALANCED YIELD FIXED INCOME SECURITIES MARKET
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
========================================================================================
$ 583,399 $ 295,411 $ 1,222,548 $ 877,261 $ 538,873
228,676 11,078 -- -- --
2,731 89 3,100 22,727 6
-- -- -- -- --
- ----------------------------------------------------------------------------------------
814,806 306,578 1,225,648 899,988 538,879
- ----------------------------------------------------------------------------------------
143,568 27,844 106,530 106,026 239,427
55,218 9,944 53,265 53,013 --
27,718 4,984 26,707 26,638 60,238
5,138 4,197 4,634 2,134 1,617
7,408 2,139 8,205 5,224 14,913
6,450 1,246 8,170 12,298 19,904
3,651 622 3,154 4,769 9,302
543 181 543 446 1,086
1,300 362 2,431 3,695 4,226
1,489 1,384 1,025 1,232 2,907
- ----------------------------------------------------------------------------------------
252,483 52,903 214,664 215,475 353,620
- ----------------------------------------------------------------------------------------
(9,746) (7,160) (12,716) (14,025) (138,163)
- ----------------------------------------------------------------------------------------
242,737 45,743 201,948 201,450 215,457
- ----------------------------------------------------------------------------------------
572,069 260,835 1,023,700 698,538 323,422
- ----------------------------------------------------------------------------------------
(725,013) 91,489 645,724 411,296 (80)
4,848,141 861,005 1,100,341 (104,662) --
- ----------------------------------------------------------------------------------------
4,123,128 952,494 1,746,065 306,634 (80)
- ----------------------------------------------------------------------------------------
$ 4,695,197 $ 1,213,329 $ 2,769,765 $ 1,005,172 $ 323,342
========================================================================================
The accompanying notes are an integral part of these financial statements.
CONSECO SERIES TRUST
Statements of Changes in Net Assets
For the six months ended June 30, 2003 (unaudited) and for the
year ended December 31, 2002
===================================================================================================================
CONSECO 20 FOCUS EQUITY
PORTFOLIO PORTFOLIO
--------- ---------
2003 2002 2003 2002
================================================================================================================
OPERATIONS:
Net investment income (loss) $ (4,833) $ (13,448) $ 180,845 $ 640,151
Net realized gains (losses) on sale of investments 15,713 (1,851,492) (911,076) (8,375,874)
Net change in unrealized appreciation or depreciation on
investments 289,971 (142,936) 21,202,377 (19,398,052)
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease) from operations 300,851 (2,007,876) 20,472,146 (27,133,775)
- ----------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS
Dividends to shareholders from net investment income -- -- -- (576,255)
Distributions to shareholders of net capital gains -- -- -- --
- ----------------------------------------------------------------------------------------------------------------
Net decrease from dividends and distributions -- -- -- (576,255)
- ----------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Shares sold 6,173,718 11,404,503 1,900,847 22,777,278
Reinvested dividends and distributions -- -- -- 576,255
Shares redeemed (4,929,739) (11,560,635) (16,909,307) (80,744,949)
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease) from capital share transactions 1,243,979 (156,132) (15,008,460) (57,391,416)
- ----------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets 1,544,830 (2,164,008) 5,463,686 (85,101,446)
- ----------------------------------------------------------------------------------------------------------------
NET ASSETS:
Beginning of period 897,884 3,061,892 148,881,391 233,982,837
End of period $ 2,442,714 $ 897,884 $154,345,077 $148,881,391
- ----------------------------------------------------------------------------------------------------------------
Including undistributed net investment income (loss) of $ (4,833) $ -- $ 180,845 $ --
SHARE DATA
Shares sold 2,673,890 3,646,620 124,181 1,303,800
Reinvested dividends and distributions -- -- -- 38,623
Shares redeemed (2,213,550) (3,903,198) (1,108,760) (4,891,706)
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease) 460,340 (256,578) (984,579) (3,549,283)
- ----------------------------------------------------------------------------------------------------------------
Shares Outstanding
Beginning of period 412,292 668,870 9,975,710 13,524,993
End of period 872,632 412,292 8,991,131 9,975,710
- ----------------------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
BALANCED HIGH YIELD FIXED INCOME
PORTFOLIO PORTFOLIO PORTFOLIO
--------- --------- ---------
2003 2002 2003 2002 2003 2002
===================================================================================
$ 572,069 $ 1,822,073 $ 260,835 $ 629,421 $ 1,023,700 $ 2,996,776
(725,013) (9,362,089) 91,489 (389,765) 645,724 (1,648,017)
4,848,141 (955,704) 861,005 (188,355) 1,100,341 616,503
- -----------------------------------------------------------------------------------
4,695,197 (8,495,720) 1,213,329 51,301 2,769,765 1,965,262
- -----------------------------------------------------------------------------------
(568,482) (1,821,764) (252,887) (634,033) (1,008,980) (2,995,063)
-- -- -- -- -- (367,983)
- -----------------------------------------------------------------------------------
(568,482) (1,821,764) (252,887) (634,033) (1,008,980) (3,363,046)
- -----------------------------------------------------------------------------------
1,773,727 2,929,860 15,656,420 27,006,765 16,248,794 17,678,691
568,482 1,821,764 252,887 634,033 1,008,980 3,363,046
(4,484,038) (21,614,722) (15,951,373) (24,947,357) (16,570,487) (38,335,621)
- -----------------------------------------------------------------------------------
(2,141,829) (16,863,098) (42,066) 2,693,441 687,287 (17,293,884)
- -----------------------------------------------------------------------------------
1,984,886 (27,180,582) 918,376 2,110,709 2,448,072 (18,691,668)
- -----------------------------------------------------------------------------------
44,454,595 71,635,177 9,202,114 7,091,405 41,956,940 60,648,608
$46,439,481 $ 44,454,595 $10,120,490 $ 9,202,114 $ 44,405,012 $ 41,956,940
- -----------------------------------------------------------------------------------
$ 3,587 $ -- $ 3,283 $ (4,665) $ 14,718 $--
165,229 246,904 1,670,807 3,081,914 1,647,227 1,803,844
53,422 167,117 26,790 72,616 101,982 346,879
(422,427) (1,969,502) (1,721,447) (2,880,648) (1,686,948) (3,945,707)
- -----------------------------------------------------------------------------------
(203,776) (1,555,481) (23,850) 273,882 62,261 (1,794,984)
- -----------------------------------------------------------------------------------
4,336,397 5,891,878 1,038,440 764,558 4,344,016 6,139,000
4,132,621 4,336,397 1,014,590 1,038,440 4,406,277 4,344,016
- -----------------------------------------------------------------------------------
GOVERNMENT
SECURITIES MONEY MARKET
PORTFOLIO PORTFOLIO
--------- ---------
2003 2002 2003 2002
=============================================================
$ 698,538 $ 1,469,104$ 323,422 $ 1,477,761
411,296 1,003,463 (80) (4,462)
(104,662) 858,269 -- --
- -------------------------------------------------------------
1,005,172 3,330,836 323,342 1,473,299
- -------------------------------------------------------------
(691,423) (1,463,827) (323,422) (1,477,761)
-- (886,774) -- (20,934)
-------------------------------------------------------------
(691,423) (2,350,601) (323,422) (1,498,695)
- -------------------------------------------------------------
35,245,222 86,411,906 367,760,296 961,304,943
691,423 2,350,601 323,422 1,498,694
(41,491,917) (79,334,258)(401,742,513)(996,540,834)
- -------------------------------------------------------------
(5,555,272) 9,428,249 (33,658,795) (33,737,197)
- -------------------------------------------------------------
(5,241,523) 10,408,484 (33,658,875) (33,762,593)
- -------------------------------------------------------------
41,675,880 31,267,396 95,767,182 129,529,775
$ 36,434,357 $ 41,675,880$ 62,108,307 $ 95,767,182
- -------------------------------------------------------------
$ 10,175 $ 3,060$ -- $--
2,923,122 7,159,366 367,760,296 961,304,943
57,249 196,351 323,422 1,498,694
(3,434,318) (6,568,161)(401,742,513)(996,540,834)
- -------------------------------------------------------------
(453,947) 787,556 (33,658,795) (33,737,197)
- -------------------------------------------------------------
3,460,231 2,672,675 95,771,644 129,508,841
3,006,284 3,460,231 62,112,849 95,771,644
- -------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
CONSECO SERIES TRUST
Conseco 20 Focus Portfolio
Portfolio Manager's Review
How did the Portfolio perform relative to its benchmarks?
From January 1, 2003 to June 30, 2003, the Conseco 20 Focus Portfolio
returned 28.44%. The benchmarks, the S&P 500 Index and the S&P MidCap 400 Index,
returned 11.77% and 12.42%, respectively, for the same time period.(1)
What caused the variance in performance between the Portfolio and its
benchmarks?
It is Oak's philosophy to remain fully invested at all times and to
concentrate in the areas that we believe have the greatest potential for growth.
Currently, we are invested in three areas: technology, healthcare and
financials. The largest portion of the portfolio is invested in the technology
sector which led the charge in the first half, with notable surges in the
networking, storage and software sub-sectors, where gains of more than 35% were
posted. Improving profit margins, stabilizing fundamentals and encouraging
economic data contributed to investor appetite for the sector. Our financial
services holdings also generated market-beating results, gaining an average of
26%. Market sensitive names led the pack, supported by improving trading volumes
and credit quality trends. Healthcare posted positive results, but slightly
lagged the S&P 500, which has been typical in prior market recoveries.
Which portfolio holdings enhanced the Portfolio's performance?
The largest contributors to performance were holdings in the technology
area. Juniper Networks, McData Corporation, PMC-Sierra, Inc. and Veritas
Software contributed substantial gains in the first half of 2003. The healthcare
holdings gained in the first quarter but lagged during the second quarter.
Financial services generated market-beating results for the first half of 2003.
Which holdings detracted from performance?
Microsoft did not participate in the market rally for the first half of
2003, but we do believe that Microsoft will be a market leader going forward.
Charles Schwab Corporation returned negative performance in the first quarter of
2003 and positive returns in the second quarter of 2003, but unfortunately the
gains in the second quarter did not make up for the losses in the first quarter.
We do believe that Charles Schwab Corporation will be a market leader going
forward.
What is your outlook for the rest of the fiscal year?
Our outlook remains positive. We believe we are in the early stages of a
renewed bull market that will sustain its gains through year-end and beyond,
similar to what occurred in the early 1990s. While recent gains have been driven
to a certain extent by a "rush to get back in," a healthy amount of market
skepticism remains. Valuations are favorable, particularly against the backdrop
of declining interest rates and continued fiscal and monetary stimulus. Three
years of belt-tightening have introduced considerable leverage into the
financial models of most corporations. As sentiment improves, we expect capital
spending to resume, resulting in sizeable improvements in the profit
picture--the ultimate long-term driver of stock prices. Even the
telecommunications sector--which some say accounts for over 40% of all IT
spending--is showing signs of life. While there will be fits and starts in the
market, the overall trend is biased to the upside.
Oak Associates, ltd.
Oak Associates, ltd. ("Oak") sub-advises the Portfolio. Founded in 1985,
Oak--known for exceptionally low-turnover, aggressive growth performance--has
taxable and tax-exempt assets under management for more than 100 institutional
clients, as well as three no-load mutual funds.
(1) Past performance is not predictive of future performance. Performance does
not include separate account expenses. The S&P 500 Index is an unmanaged
index considered to be representative of the U.S. stock market in general.
The S&P MidCap 400 Index is an unmanaged index considered to be
representative of the mid-cap stock arena in general.
CONSECO SERIES TRUST
20 Focus Portfolio
Schedule of Investments
June 30, 2003
(Unaudited)
================================================================================
SHARES VALUE
================================================================================
COMMON STOCKS (95.2%)
Business Services (13.7%)
4,400 Microsoft Corp. $ 112,684
3,800 Paychex, Inc. 111,378
3,800 VERITAS Software Corp. (a) 108,946
333,008
Chemicals and Allied Products (5.6%)
400 Eli Lilly & Co 27,588
3,200 Pfizer, Inc 109,280
136,868
Depository Institutions (2.3%)
1,300 Citigroup, Inc 55,640
Electronic, Other Electrical Equipment, except Computers (22.5%)
4,200 Intersil Corp.--Class A (a) 111,762
3,400 Linear Technology Corp 109,514
7,500 McData Corp. (a) 110,025
3,200 Maxim Integrated Products, Inc. 109,408
4,300 Xilinx, Inc. (a) 108,833
549,542
Industrial, Commercial Machinery, Computers (16.4%)
6,800 Cisco Systems, Inc. (a) 113,492
2,100 Dell Computer Corp. (a) 67,116
10,800 EMC Corp. (a) 113,076
8,700 Juniper Networks, Inc. (a) 107,619
401,303
Insurance Carriers (4.3%)
1,900 American International Group, Inc. 104,842
Measuring Instruments, Photo Goods, Watches (4.5%)
2,300 Medtronic, Inc. 110,331
Non-Depository Credit Institutions (4.6%)
5,400 MBNA Corp 112,536
Security and Commodity Brokers (8.7%)
10,500 Charles Schwab Corp 105,945
2,500 Morgan Stanley Dean Witter & Co 106,875
212,820
Semiconductors, Related Devices (3.5%)
7,300 PMC-Sierra, Inc. (a) 85,629
Special Industry Machinery (4.6%)
7,100 Applied Materials, Inc. (a) 112,606
Wholesale Trade--Non-Durable Goods (4.5%)
1,700 Cardinal Health, Inc 109,310
Total common stock (cost $2,128,522) 2,324,435
Total investments (cost $2,128,522) (95.2%) 2,324,435
Other assets, less liabilities (4.8%) 118,279
Total net assets (100.0%) $ 2,442,714
(a) Non-income producing security.
The accompanying notes are an integral part of these financial statements.
CONSECO SERIES TRUST
Equity Portfolio
Portfolio Manager's Review
How did the Portfolio perform relative to its benchmark?
The Equity Portfolio posted a return of 15.01% for the six months ended
June 30, 2003. Over a similar period the benchmark S&P 500 Index returned
11.77%.(1) The equity markets were flat during the first quarter and experienced
a downturn in the second quarter as weak corporate profits, threat of terrorism
and geopolitical instability stalled the markets recovery.
What caused the variance in performance between the Portfolio and its benchmark?
Our strategy is to identify and own quality companies which we believe will
outperform their peers that display positive earnings momentum and sell at
reasonable valuations. The run on stocks seems to be more speculative in nature
than a run based on valuation levels and earnings expectations led the Portfolio
underper-formance. The stock market did show great performance over the second
quarter, but the quality of the rally is suspect. There are many examples of
stocks with poor valuations and declining earnings expectations that have done
very well since the beginning of the year.
The market has been buying stocks that have been beaten down the most over
the past year. Anecdotally, this market reaction may be based on the speculation
that a rising economic tide will lift all boats, and accordingly, the stocks
that been beaten down the most will benefit the most. These stocks do not
necessarily look cheap based on trailing earnings or forward expectations, but
may appear cheap to some investors in absolute dollar price terms relative to
historical ranges. The majority of these stocks display poor characteristics of
estimate revisions, earnings quality and/or valuation measures.
Which portfolio holdings enhanced the Portfolio's performance?
The best performing sectors were Telecom, Health Care and Industrial
sectors while stock selection in the Industrial and the Health Care sectors
contributed the most on a relative basis. The largest contributors to
performance were overweight positions (relative to benchmark weight) in Citrix
Systems, D.R. Horton Inc., Countrywide Financial Corp., Career Education Corp,
and St. Jude Medical Inc.
Which holdings detracted from performance?
Stock selection in the Technology, Utilities and Consumer Discretionary
sectors were the largest detractors to performance. The largest detractors were
underweight positions (relative to benchmark weight) in Yahoo! Inc., Corning
Inc., and Computer Associates, along with an overweight position in Greater Bay
Bancorp.
What is your outlook for the rest of the fiscal year?
Investors have turned more optimistic about economic recovery in the 2nd
half of 2003 as they anticipate the effects of economic stimulus by both the
Federal Government and the Federal Reserve. Economist also have high
expectations for strong recovery in second half with a Wall Street Journal poll
of economist predicting 3.5% annualized GDP growth in the third quarter and 3.8%
annualized GDP growth in fourth quarter of 2003. The economist have cited tax
cuts, low interest rates, a weak dollar, and increased government spending as
reasons that the economy is poised for recovery.
However, economists are never quick to throw caution to the wind. The tax
cuts by the government may be offset by tax hikes from states that are facing
large deficits, low interest rates have failed to spark capital spending by
businesses that still have overcapacity, and an increase in government spending
has the potential to create a large federal deficit. The effects of these
stimuli may have a positive effect on the economy in the short term, but if the
economy experiences a relapse after a short lived spurt, it faces the risk of
years of sub-par growth and sliding into outright deflation.
There is also hope that the weak dollar will stimulate the domestic economy
as it makes U.S. goods cheaper abroad which will spur exports and reduce the
current account deficit. However, we may still have to wait another year or two
to see the impact of the weaker dollar.
Chicago Equity Partners, LLC
Chicago Equity Partners, LLC ("CEP") sub-advises the Portfolio with a history
dating back to 1989, CEP--known for low-turnover growth performance--has taxable
and tax-exempt assets under management for more than 100 institutional clients.
(1) Past performance is not predictive of future performance. Performance does
not include separate account expenses. The S&P 500 Index is an unmanaged
index considered to be representative of the U.S. stock market in general.
CONSECO SERIES TRUST
Equity Portfolio
Schedule of Investments
June 30, 2003
(Unaudited)
================================================================================
SHARES OR
PRINCIPAL
AMOUNT VALUE
================================================================================
COMMON STOCKS (99.4%)
Amusement and Recreation Services (0.5%)
24,200 Westwood One, Inc. (a) $ 821,106
Automotive Dealers and Gasoline Service Stations (0.7%)
37,400 Carmax, Inc. (a) 1,127,610
Automotive Repair, Services, Parking (0.5%)
29,800 Ryder System, Inc 763,476
Building Construction, General Contractors and Operative Builders
(2.5%)
60,100 D.R. Horton, Inc 1,688,810
18,400 Lennar Corp. 1,315,600
13,500 Pulte Homes, Inc. 832,410
------------
3,836,820
------------
Business Services (9.2%)
52,950 Activision, Inc. (a) 684,114
19,000 Affiliated Computer Services (a) 868,870
22,800 Alliance Data Systems, Inc., (a) 533,520
60,300 BearingPoint, Inc. (a) 581,895
40,000 Citrix Systems, Inc. (a) 814,400
41,900 Computer Sciences Corp. (a) 1,597,228
15,500 Deluxe Corp. 694,400
22,300 Electronic Arts, Inc. (a) 1,649,977
21,700 Fair Issac & Co., Inc. 1,116,465
18,900 Fiserv, Inc. (a) 673,029
30,200 GTECH Holdings Corp. (a) 1,137,030
6,900 Pixar, Inc. (a) 419,796
17,400 Rent-A-Center, Inc. (a) 1,319,094
34,600 Synopsys, Inc. (a) 2,140,010
------------
14,229,828
------------
Chemicals and Allied Products (4.6%)
12,100 Biogen, Inc. (a) 459,800
17,700 Chiron Corp. (a) 773,844
15,600 Clorox Corp 665,340
33,200 Cytec Industries, Inc. (a) 1,122,160
28,700 Ecolab, Inc. 734,720
25,800 Gilead Sciences, Inc. (a) 1,433,964
11,800 Invitrogen Corp. (a) 452,766
31,800 Lubrizol Corp. 985,482
10,000 Sigma-Aldrich Corp. 541,800
------------
7,169,876
------------
Coal Mining (0.9%)
40,600 Peabody Energy Corp 1,363,754
------------
Communications by Phone, Television, Radio, Cable (2.5%)
41,600 Advanced Fiber Communications, Inc. (a) 676,832
38,100 Centurytel, Inc 1,327,785
23,600 Global Payments, Inc 838,971
57,700 Nextel Communications, Inc. (a) 1,043,216
------------
3,886,804
------------
The accompanying notes are an integral part of these financial statements.
CONSECO SERIES TRUST
Equity Portfolio
Schedule of Investments
June 30, 2003
(Unaudited)
================================================================================
SHARES OR
PRINCIPAL
AMOUNT VALUE
================================================================================
Depository Institutions (8.1%)
47,700 Associated Banc Corp. $ 1,757,403
28,700 Astoria Financial Corp 801,591
38,700 First Tennessee National Corp. 1,699,317
26,900 GreenPoint Financial Corp 1,370,286
31,400 Hudson United Bancorp 1,072,310
39,100 Regions Financial Corp. 1,320,798
57,400 Sovereign Bancorp, Inc 898,310
26,600 UnionBanCal Corp 1,100,442
51,550 Union Planters Corp. 1,599,596
22,100 Webster Financial Corp. 835,380
------------
12,455,433
------------
Eating and Drinking Places (1.4%)
35,900 Applebee's International, Inc 1,128,337
40,400 Ruby Tuesday, Inc. 999,092
------------
2,127,429
------------
Educational Services (1.3%)
18,400 Career Education Corp. (a) 1,258,928
31,600 DeVry, Inc. (a) 735,964
------------
1,994,892
------------
Electric, Gas, Water, Cogeneration, Sanitary Services (7.1%)
64,100 Constellation Energy Group, Inc. 2,198,630
65,700 Equitable Resources, Inc. 2,676,618
32,509 FirstEnergy Corp. 1,249,971
11,700 Nstar 532,708
50,600 ONEOK, Inc. 993,278
31,000 Questar Corp 1,037,570
128,500 Reliant Resources, Inc. (a) 785,803
68,500 TXU Corp 1,542,099
------------
11,016,677
------------
Electronic, Other Electrical Equipment, except Computers (4.6%)
57,700 American Power Conversion Co. (a) 901,610
14,000 Energizer Holdings, Inc. (a) 439,600
7,800 Intersil Corp. Class A (a) 205,131
59,000 National Semiconductor Corp. (a) 1,163,480
19,100 QLogic Corp. (a) 923,103
36,800 Rockwell Collins, Inc. 906,384
52,500 Scientific-Atlanta, Inc 1,253,543
38,400 UTStarcom, Inc. (a) 1,365,888
------------
7,158,739
------------
Fabricated Metal Products (0.5%)
15,800 Fortune Brands, Inc. 824,760
------------
Food and Kindred Products (1.5%)
47,000 Constellation Brands, Inc. Class A (a) 1,475,800
21,000 McCormick & Co., Inc 571,200
19,500 Tyson Foods, Inc. Class A (a) 207,090
------------
2,254,090
------------
Furniture and Fixtures (0.8%)
26,400 Lear Corp. (a) 1,214,928
------------
The accompanying notes are an integral part of these financial statements.
CONSECO SERIES TRUST
Equity Portfolio
Schedule of Investments
June 30, 2003
(Unaudited)
================================================================================
SHARES OR
PRINCIPAL
AMOUNT VALUE
================================================================================
General Merchandise Stores (2.1%)
47,100 Federated Department Stores, Inc. $ 1,735,635
51,400 Foot Locker, Inc. 681,050
26,700 Sears Roebuck & Co 902,276
------------
3,318,961
------------
Health Services (3.5%)
29,400 Advance PCS (a) 1,123,962
27,500 Coventry Health Care, Inc. (a) 1,269,400
15,500 Medimmune, Inc. (a) 563,735
10,700 Quest Diagnostics, Inc. (a) 682,660
18,600 Renal Care Group, Inc. (a) 654,906
16,300 SICOR, Inc. (a) 331,542
19,600 Watson Pharmaceuticals, Inc. (a) 791,252
------------
5,417,457
------------
Home Furniture and Equipment Stores (0.7%)
50,300 Pier 1 Imports, Inc 1,026,120
------------
Industrial, Commercial Machinery, Computers (5.5%)
114,100 Cypress Semiconductor Corp. (a) 1,369,200
6,400 Donaldson Company, Inc 284,480
35,100 Jabil Circuit, Inc. (a) 775,710
55,300 Lam Research Corp. (a) 1,007,013
19,600 Lexmark International, Inc. (a) 1,387,092
25,700 Network Appliance, Inc. (a) 416,597
18,300 Pall Corp 411,750
14,000 Sandisk Corp. 565,540
29,200 Storage Technology Corp. (a) 751,608
11,800 Varian Medical Systems, Inc. (a) 679,326
11,800 Zebra Technologies Corp. Class A (a) 887,242
------------
8,535,558
------------
Insurance Carriers (7.1%)
8,853 Anthem, Inc. (a) 683,009
24,225 Fidelity National Financial, Inc. 745,161
17,700 Loews Corp. 837,033
16,900 Mid-Atlantic Medical Services, Inc. (a) 883,870
38,100 Old Republic International Corp. 1,305,687
13,800 Oxford Health Plans (a) 580,014
34,900 Radian Group, Inc 1,284,534
27,800 Reinsurance Group of America, Inc. 892,380
13,700 Stancorp Financial Group 715,414
38,300 Torchmark Corp. 1,426,675
17,900 W.R. Berkley Corp 943,330
8,000 Wellpoint Health Networks, Inc. (a) 674,400
------------
10,971,507
------------
Measuring Instruments, Photo Goods, Watches (3.2%)
17,000 Beckman Coulter, Inc 690,880
36,900 Becton Dickinson & Co 1,433,565
9,200 KLA-Tencor Corp. (a) 427,708
24,200 St. Jude Medical, Inc. (a) 1,391,500
32,500 Tektronix, Inc. (a) 709,784
5,700 Zimmer Holdings, Inc. (a) 256,785
------------
4,910,222
------------
The accompanying notes are an integral part of these financial statements.
CONSECO SERIES TRUST
Equity Portfolio
Schedule of Investments
June 30, 2003
(Unaudited)
================================================================================
SHARES OR
PRINCIPAL
AMOUNT VALUE
================================================================================
Miscellaneous Manufacturing Industries (1.4%)
24,800 AptarGroup, Inc $ 892,800
9,500 Blyth, Inc. 260,428
50,400 Mattel, Inc 953,568
------------
2,106,796
------------
Miscellaneous Retail (4.8%)
36,400 Blockbuster, Inc. 613,340
33,100 CBRL Group, Inc. 1,286,266
38,100 Dollar Tree Stores, Inc. (a) 1,208,913
21,400 The Estee Lauder Companies, Inc. 717,542
35,500 Liz Claiborne, Inc. 1,251,375
29,100 Michael's Stores, Inc. 1,107,546
69,200 PETsMART, Inc. (a) 1,148,033
7,100 Staples, Inc. (a) 130,285
------------
7,463,300
------------
Non-Depository Credit Institutions (1.7%)
27,600 Countrywide Financial Corp. 1,920,132
13,900 Doral Financial Corp 620,635
------------
2,540,767
------------
Oil and Gas Extraction (3.5%)
21,700 BJ Services Co. (a) 810,712
39,000 Cimarex Energy Co. (a) 926,250
32,500 FMC Technologies, Inc. (a) 684,125
26,600 Marathon Oil Corp 700,910
21,400 Newfield Exploration Co. (a) 803,570
20,500 Pogo Producing Co 876,375
27,500 Varco International, Inc. (a) 539,000
------------
5,340,942
------------
Paper and Allied Products (0.9%)
67,700 Pactiv Corp. (a) 1,334,367
------------
Personal Services (0.6%)
21,400 H&R Block, Inc 925,550
------------
Petroleum Refining and Related Products (0.5%)
19,400 Valero Energy Corp 704,802
------------
Primary Metal Industries (0.7%)
43,000 Engelhard Corp. 1,065,110
------------
Printing, Publishing, and Allied Industries (1.1%)
17,300 Dow Jones & Co., Inc 744,419
1,250 The Washington Post Co. Class B 916,125
------------
1,660,544
------------
Real Estate Investment Trust (REITs) (4.9%)
70,900 CarrAmerica Realty Corp. 1,970,485
41,000 Developers Diversified Realty Corp 1,166,040
29,700 General Growth Properties, Inc 1,854,468
32,900 Simon Property Group, Inc. 1,284,087
28,900 Vornado Realty Trust 1,260,040
------------
7,535,120
------------
The accompanying notes are an integral part of these financial statements.
CONSECO SERIES TRUST
Equity Portfolio
Schedule of Investments
June 30, 2003
(Unaudited)
================================================================================
SHARES OR
PRINCIPAL
AMOUNT VALUE
================================================================================
Security and Commodity Brokers (1.2%)
14,700 Bear Stearns Companies, Inc $ 1,064,715
19,300 Franklin Resources, Inc. 758,231
-------------
1,822,946
-------------
Textile Mill Products (0.6%)
17,000 Mohawk Industries, Inc. (a) 944,010
-------------
Transportation Equipment (3.0%)
28,400 ITT Industries, Inc 1,858,120
25,050 Paccar, Inc 1,692,379
16,500 Polaris Industries, Inc. 1,013,100
-------------
4,563,599
-------------
Transportation Services (0.8%)
14,200 C.H. Robinson Worldwide, Inc. 504,952
40,600 Swift Transportation Co., Inc. (a) 755,972
-------------
1,260,924
-------------
Wholesale Trade--Durable Goods (2.2%)
71,300 Arrow Electronics. Inc. (a) 1,086,612
18,000 BorgWarner, Inc. 1,159,200
61,000 IKON Office Solutions, Inc 542,900
14,300 W.W. Grainger, Inc. 668,669
-------------
3,457,381
-------------
Wholesale Trade--Non-Durable Goods (2.7%)
10,800 AmerisourceBergen Corp 748,980
40,050 Dean Foods Co. (a) 1,261,574
44,000 McKesson Corp. 1,572,560
29,300 SUPERVALU, INC. 624,676
-------------
4,207,790
-------------
Total common stock (cost $134,917,351) 153,359,995
-------------
VARIABLE RATE BONDS AND CDS (4.9%)
$2,500,000 Caterpillar Financial Service Corp., 1.470%, due 2,501,300
08/02/2004 (b)
2,500,000 Credit Suisse First Boston (USA), Inc., 1.795%, due 2,495,993
07/05/2005 (b)
2,500,000 Lehman Brothers Holdings, 1.825%, due 09/20/2004 (b) 2,504,275
-------------
Total variable rate bonds and CDs (cost $7,501,568) 7,501,568
-------------
SHORT-TERM INVESTMENTS (12.1%)
17,316,647 Bank of America, Repurchase Agreement, 1.280%, due 17,316,647
07/01/2003 (b)
1,389,000 Nations Cash Reserve 1,389,000
-------------
Total short-term investments (cost $18,705,647) 18,705,647
-------------
Total investments (cost $161,124,566) (116.4%) 179,567,210
-------------
Liabilities, less other assets (-16.4%) (25,222,133)
-------------
Total net assets 100.0% $154,345,077
(a) Non-income producing security.
(b) Securities lending collateral (note 2).
The accompanying notes are an integral part of these financial statements.
CONSECO SERIES TRUST
Balanced Portfolio
Portfolio Managers' Review
How did the Portfolio perform relative to its benchmarks?
The Balanced Portfolio posted a return of 11.08% for the six months ended
June 30, 2003. Over a similar period the benchmarks, the Lehman Brothers
Government/Corporate Index and the S&P 500 Index, returned 5.23% and 11.77%,
respectively.(1)
What caused the variance in performance between the Portfolio and its benchmark?
The equity strategy is to identify and own quality companies that we
believe will outperform their peers, that display positive earnings momentum and
sell at reasonable valuations. The run on stocks seems to be more speculative in
nature than a run based on valuation levels and earnings expectations led the
Portfolio under-performance. The stock market did show great performance over
the second quarter, but the quality of the rally is suspect. There are many
examples of stocks with poor valuations and declining earnings expectations that
have done very well since the beginning of the year.
The variance from performance can also be attributed to the Portfolio's
exposure to opportunistically selected high yield bonds such as Dynegy, Nortel,
Telus, and Quebecor Media.
Which portfolio holdings enhanced the Portfolio's performance?
Stock selection within the Health Care and the Financial sector's
contributed positively to performance over the six months. Within the Banking
sector, Bank of America, First Tennessee National Corp. and Washington Mutual
were the top performers while Diversified Financial providers Citigroup Inc.,
Capital One Financial and J.P. Morgan Chase & Co. performed well as the
financial sector continued to benefit from lower interest rates. Within the
Health Care sector, holdings that performed well were Pfizer, Amgen Inc. and
Genentech Inc.
Also contributing to performance from the fixed income side was the
exposure to the Media, Telecom, and Utilities sectors. Technical trading and
company fundamentals drove the performance of corporate bonds. Specifically, our
exposure to names such as Dynegy, Mirant, Qwest Communications, Sprint, Nortel,
Quebecor, Telus and Tyco led the performance of the Portfolio.
Which holdings detracted from performance?
Stock selection within Consumer Discretionary, Technology and
Telecommunication sectors detracted the most to relative performance during the
first six months. Stocks that detracted the most to performance were
UnumProvident Corp., Sprint Corp., Safeway Inc. and MBNA Corp.
What is your outlook for the rest of the fiscal year?
Investors have turned more optimistic about economic recovery in the 2nd
half of 2003 as they anticipate the effects of economic stimulus by both the
Federal Government and the Federal Reserve. Economist also have high
expectations for strong recovery in the second half of 2003 with a Wall Street
Journal poll of economist predicting 3.5% annualized GDP growth in the third
quarter and 3.8% annualized GDP growth in fourth quarter of 2003. The economist
have cited tax cuts, low interest rates, a weak dollar, and increased government
spending as reasons that the economy is poised for recovery.
However, economists are never quick to throw caution to the wind. The tax
cuts by the government may be offset by tax hikes from states that are facing
large deficits, low interest rates have failed to spark capital spending by
businesses that still have overca-pacity, and an increase in government spending
has the potential to create a large federal deficit. The effects of these
stimuli may have a positive effect on the economy in the short term, but if the
economy experiences a relapse after a short lived spurt, it faces the risk of
years of sub-par growth and sliding into outright deflation.
There is also hope that the weak dollar will stimulate the domestic economy
as it makes U.S. goods cheaper abroad which will spur exports and reduce the
current account deficit. However, we may still have to wait another year or two
to see the impact of the weaker dollar.
The key performance driver for the bond market in 2003 will be the
directional move in interest rates. With the war in Iraq largely resolved, we
expect to experience a modest improvement in the economy, resulting in a shift
in asset flows from bonds into stocks. The volatility in the 30-year U.S.
Treasury bond was fairly strong as interest rates fell 65 basis points during
the quarter in anticipation of an easing by the Federal Reserve, only to rise
sharply 40 basis points after the Federal Reserve cut rates 25 basis points at
the end of June.
Our strategic overweight to the corporate sector has been a solid
contributor to performance this year and remains in place. In general, the
corporate new issue calendar remains manageable as corporate America reduces
balance sheet leverage. With the accounting scandals and corporate governance
issues largely abating, the remainder of the year will focus on company
operating fundamentals. Absent a shock to the financial system, which would
include a terrorist attack on U.S. soil, we believe the corporate sector has the
ability to continue to outperform over the second half of 2003. The sectors most
critical to performance over the next six months include autos, cable/media, and
telecom.
Chicago Equity Partners, LLC Gregory J. Hahn, CFA
Chief Investment Officer
Conseco Capital Management, Inc.
(1) Past performance is not predictive of future performance. Performance does
not include separate account expenses. The Lehman Brothers
Government/Corporate Index is an unmanaged index that includes U.S.
government Treasury and Agency securities as well as corporate and yankee
bonds. The S&P 500 Index is an unmanaged index considered to be
representative of the U.S. stock market in general.
CONSECO SERIES TRUST
Balanced Portfolio
Schedule of Investments
June 30, 2003
(Unaudited)
================================================================================
SHARES OR
PRINCIPAL
AMOUNT VALUE
================================================================================
COMMON STOCKS (69.0%)
Apparel and Accessory Stores (0.2%)
2,500 Talbots, Inc. $ 73,625
-------------
Automotive Dealers and Gasoline Service Stations (0.4%)
2,200 AutoZone, Inc. (a) 167,134
-------------
Building Construction, General Construction (0.6%)
3,800 Centex Corp 295,602
-------------
Building Materials, Hardware, Garden--Retail (1.0%)
14,190 The Home Depot, Inc 469,973
-------------
Business Services (4.4%)
14,630 AOL Time Warner, Inc. (a ) 235,397
6,700 Citrix Systems, Inc. (a) 136,412
1,400 Computer Sciences Corp. (a) 53,368
1,300 Electronic Arts, Inc. (a) 96,187
4,160 First Data Corp. 172,390
32,940 Microsoft Corp. 843,593
26,100 Oracle Corp. (a) 313,722
2,200 Rent-A-Center, Inc. (a) 166,782
-------------
2,017,851
-------------
Chemicals and Allied Products (8.6%)
5,000 Amgen, Inc. (a) 332,200
2,100 Avon Products, Inc. 130,620
1,400 Clorox Corp 59,710
5,300 Cytec Industries, Inc. (a) 179,140
3,100 Forest Laboratories, Inc. (a) 169,725
1,700 Genetech, Inc. (a) 122,604
1,300 Invitrogen Corp. (a) 49,881
3,600 Lubrizol Corp. 111,564
12,410 Merck & Co., Inc. 751,426
2,900 Mylan Laboratories, Inc 100,833
36,040 Pfizer, Inc 1,230,766
6,100 The Procter & Gamble Co 543,998
2,600 Sigma-Aldrich Corp. 140,868
-------------
3,923,335
-------------
Communications by Phone, Television, Radio, Cable (3.4%)
2,700 Alltel Corp. 130,194
22,100 AT&T Wireless Group (a) 181,441
13,900 BellSouth Corp 370,157
7,400 Comcast Corp. Class A (a) 223,332
4,700 Fox Entertainment Group, Inc. Class A (a) 135,266
2,500 Global Payments, Inc 88,750
11,660 Verizon Communications, Inc 459,987
-------------
1,589,127
-------------
Depository Institutions (7.8%)
10,200 Bank of America Corp. 806,106
19,632 Citigroup, Inc 840,250
4,600 First Tennessee National Corp. 201,986
3,900 GreenPoint Financial Corp 198,666
-------------
The accompanying notes are an integral part of these financial statements.
CONSECO SERIES TRUST
Balanced Portfolio
Schedule of Investments
June 30, 2003
(Unaudited)
================================================================================
SHARES OR
PRINCIPAL
AMOUNT VALUE
================================================================================
9,900 JP Morgan Chase & Co. $ 338,382
4,700 National City Corp 153,737
5,800 Regions Financial Corp. 195,924
6,300 Sovereign Bancorp, Inc 98,595
6,350 Union Planters Corp. 197,041
8,000 Wachovia Corp. 319,680
4,800 Wells Fargo & Co. 241,920
-------------
3,592,287
-------------
Eating and Drinking Places (0.5%)
6,800 Applebee's International, Inc 213,724
-------------
Educational Services (0.2%)
1,900 University of Phoenix Online (a) 96,330
-------------
Electric, Gas, Water, Cogeneration, Sanitary Services (2.4%)
5,200 Entergy Corp. 274,456
5,800 Equitable Resources, Inc. 236,292
5,800 Exelon Corp 346,898
3,800 FPL Group, Inc. 254,030
-------------
1,111,676
-------------
Electronic, Other Electrical Equipment, except Computers (4.8%)
1,700 Altera Corp. (a) 27,880
2,300 American Power Conversion Co. (a) 35,857
31,390 General Electric Co. 900,265
3,500 Integrated Circuit Systems, Inc. (a) 110,005
27,280 Intel Corp 566,988
1,300 Linear Technology Corp 41,873
4,600 National Semiconductor Corp. (a) 90,712
2,200 QLogic Corp. (a) 106,326
2,800 Rockwell Collins, Inc. 68,964
3,900 Scientific-Atlanta, Inc 92,976
3,100 UTStarcom, Inc. (a) 110,267
3,000 Xilinx, Inc. (a) 75,930
-------------
2,228,043
-------------
Engineering, Accounting, Research, Management Services (0.4%)
700 Cephalon, Inc. (a) 28,812
2,600 Moody's Corp. 137,046
-------------
165,858
-------------
Fabricated Metal Products (0.2%)
2,000 Fortune Brands, Inc. 104,400
-------------
Food and Kindred Products (2.5%)
4,900 Anheuser-Busch Companies, Inc 250,145
3,020 The Coca-Cola Co 140,158
3,800 Conagra, Inc 89,680
1,400 Hershey Foods Corp. 97,524
1,400 Lancaster Colony Corp 54,124
9,460 PepsiCo, Inc 420,970
1,900 Wm. Wrigley Jr. Co 106,837
-------------
1,159,438
-------------
The accompanying notes are an integral part of these financial statements.
CONSECO SERIES TRUST
Balanced Portfolio
Schedule of Investments
June 30, 2003
(Unaudited)
================================================================================
SHARES OR
PRINCIPAL
AMOUNT VALUE
================================================================================
Furniture And Fixtures (0.3%)
3,200 Lear Corp. (a) $ 147,264
General Merchandise Stores (1.9%)
6,500 Federated Department Store, Inc 239,525
8,300 The Kroger Co. (a) 138,444
3,900 TJX Companies, Inc. 73,476
7,590 Wal-Mart Stores, Inc 407,355
-------------
858,800
-------------
Health Services (0.7%)
3,100 Coventry Health Care, Inc. (a) 143,096
4,200 Watson Pharmaceuticals, Inc. (a) 169,554
-------------
312,650
-------------
Home Furniture and Equipment Stores (0.6%)
4,900 Bed Bath & Beyond, Inc. (a) 190,169
3,200 Pier 1 Imports, Inc 65,280
-------------
255,449
-------------
Industrial, Commercial Machinery, Computers (5.0%)
26,970 Cisco Systems, Inc. (a) 450,129
10,500 Dell Computer Corp. (a) 335,580
7,900 EMC Corp. (a) 82,713
2,700 Eaton Corp. 212,247
1,400 Harris Corp 42,070
13,488 Hewlett-Packard Co 287,294
2,500 Ingersoll Rand Co. Class A 118,300
4,450 International Business Machines Corp 367,125
3,000 Jabil Circuit, Inc. (a) 66,300
1,600 Lexmark International, Inc. (a) 113,232
1 Riverstone Networks, Inc. (a) 1
2,700 Storage Technology Corp. (a) 69,498
2,000 Varian Medical Systems, Inc. (a) 115,140
900 Zebra Technologies Corp. Class A (a) 67,671
-------------
2,327,300
-------------
Insurance Carriers (3.5%)
6,100 The Allstate Corp. 217,465
1,800 AMBAC Financial Group, Inc 119,250
4,685 American International Group, Inc 258,513
1,000 John Hancock Financial Services 30,730
3,600 Lincoln National Corp. 128,268
5,000 Metlife, Inc 141,600
3,600 Old Republic International Corp. 123,372
3,800 Oxford Health Plans (a) 159,714
4,000 Torchmark Corp. 149,000
3,800 UnitedHealth Group, Inc 190,950
1,400 Wellpoint Health Networks, Inc. (a) 118,020
-------------
1,636,882
-------------
Leather and Leather Products (0.2%)
1,300 Timberland Co. (a) 68,718
-------------
The accompanying notes are an integral part of these financial statements.
CONSECO SERIES TRUST
Balanced Portfolio
Schedule of Investments
June 30, 2003
(Unaudited)
================================================================================
SHARES OR
PRINCIPAL
AMOUNT VALUE
================================================================================
Measuring Instruments, Photo Goods, Watches (1.7%)
6,500 Becton Dickinson & Co $ 252,525
1,500 C.R. Bard, Inc 106,965
2,100 Guidant Corp 93,219
3,100 KLA-Tencor Corp. (a) 144,119
3,000 Tektronix, Inc. (a) 64,800
2,300 Zimmer Holdings, Inc. (a) 103,615
-------------
765,243
-------------
Metal Mining (0.5%)
8,700 Freeport McMoRan Copper & Gold, Inc. (a) 213,150
-------------
Miscellaneous Manufacturing Industries (0.3%)
7,300 Mattel, Inc 138,116
-------------
Miscellaneous Retail (0.3%)
3,400 Blockbuster, Inc. 57,290
700 eBay, Inc. (a) 72,926
-------------
130,216
-------------
Motion Pictures (0.2%)
4,300 Walt Disney Co. 84,925
-------------
Non-Depository Credit Institutions (2.6%)
4,400 Capital One Financial Corp 216,392
3,600 Countrywide Financial Corp. 250,452
3,190 Fannie Mae 215,134
2,500 Federal Home Loan Mortgage Corp 126,925
4,000 Prudential Financial, Inc. 134,600
6,650 Washington Mutual, Inc 274,645
-------------
1,218,148
-------------
Oil and Gas Extraction (1.9%)
5,015 Apache Corp. 326,276
3,600 BJ Services Co. (a) 134,496
8,900 Occidental Petroleum Corp 298,595
2,300 Praxair, Inc 138,230
-------------
897,597
-------------
Paper and Allied Products (0.4%)
2,800 3M Co 361,144
8,300 Pactiv Corp. (a) 163,593
-------------
524,737
-------------
Petroleum Refining and Related Industries (2.3%)
1,900 Amerada Hess Corp. 93,442
6,017 ChevronTexaco Corp. 434,427
14,440 Exxon Mobil Corp. 518,540
-------------
1,046,409
-------------
Printing, Publishing, and Allied Industries (1.7%)
3,100 Harte-Hanks, Inc 58,900
4,325 The McGraw-Hill Companies, Inc 268,150
10,800 Viacom, Inc.--Class B (a) 471,528
-------------
798,578
-------------
The accompanying notes are an integral part of these financial statements.
CONSECO SERIES TRUST
Balanced Portfolio
Schedule of Investments
June 30, 2003
(Unaudited)
===========================================================================================
SHARES OR
PRINCIPAL
AMOUNT VALUE
===========================================================================================
Railroad Transportation (0.5%)
7,400 CSX Corp. $ 222,666
Real Estate Investment Trusts (REITs) (0.8%)
3,800 General Growth Properties, Inc 237,272
4,700 Hospitality Properties Trust Corp 146,875
------------
384,147
------------
Security and Commodity Brokers (1.0%)
4,400 Bear Stearns Companies, Inc 318,648
2,930 Morgan Stanley Dean Witter & Co 125,258
------------
443,906
------------
Tobacco Products (0.8%)
8,210 Altria Group, Inc. 373,062
------------
Transportation by Air (0.4%)
2,700 Federal Express Corp. 167,481
------------
Transportation Equipment (1.3%)
8,800 Ford Motor Co 96,712
2,900 Harley-Davidson, Inc 115,594
1,800 Northrop Grumman Corp. 155,322
3,260 United Technologies Corp 230,906
------------
598,534
------------
Wholesale Trade--Durable Goods (2.1%)
1,900 Colgate Palmolove Co 110,105
14,480 Johnson & Johnson 748,616
2,000 W.W. Grainger, Inc 93,520
------------
952,241
------------
Wholesale Trade--Non-Durable Goods (0.6%)
1,950 Cardinal Health, Inc 125,385
2,550 Dean Foods Co. (a) 80,325
2,700 SYSCO Corp 81,108
------------
286,818
------------
Total common stocks (cost $31,895,747) 32,061,440
------------
CORPORATE BONDS (23.6%)
Chemicals and Allied Products (1.2%)
$ 80,000 Lyondell Chemical Co., Series A., 9.625%, due 05/01/2007 82,400
40,000 Polyone Corp., 10.625%, due 05/15/2010,
(b) Cost--$40,000; Acquired--04/30/2003 39,200
250,000 Solutia, Inc., 11.250%, due 07/15/2009 217,500
190,000 Terra Capital, Inc.,12.875%, due 10/15/2008 203,300
------------
542,400
------------
Communications by Phone, Television, Radio, Cable (4.6%)
550,000 Clear Channel Communications, Inc., 6.000%, due 11/01/2006 602,810
120,000 Crown Castle International Corp., 0.000%, due 08/01/2011 115,800
105,000 DirecTV Holdings, 8.375%, due 03/15/2013,
(b) Cost--$105,000; Acquired--02/25/2003 117,600
100,000 EchoStar Broadband Corp., 10.375%, due 10/01/2007 111,250
325,000 Nextel Communications, Inc., 9.375% due 11/15/2009 350,594
140,000 Sprint Capital Corp., 6.900%, due 05/01/2019 147,071
700,000 Quest Capital Funding, Inc., 7.250%, due 02/15/2011 577,500
80,000 Triton PCS, Inc., 8.500%, due 06/01/2013, (b) Cost--$80,000;
Acquired--05/30/2003 86,400
------------
2,109,025
------------
The accompanying notes are an integral part of these financial statements.
CONSECO SERIES TRUST
Balanced Portfolio
Schedule of Investments
June 30, 2003
(Unaudited)
========================================================================================
SHARES OR
PRINCIPAL
AMOUNT VALUE
=======================================================================================
Depository Institution (0.6%)
$ 265,000 JP Morgan Chase & Co., 4.000%, due 02/01/2008 $ 277,354
Electric, Gas, Water, Cogeneration, Sanitary Services (2.9%)
25,000 Allied Waste North America, 7.875%, due 01/01/2009 26,281
120,000 Allied Waste North America, 8.875%, due 04/01/2008 130,800
280,000 Avon Energy Partners Holdings, 7.050%, due 12/11/2007,
(b) Cost--$276,303; Acquired--01/14/2002 241,500
70,000 Duke Capital Corp., 6.250%, due 02/15/2013 74,548
525,000 Sempra Energy, Inc., 6.800% due 07/01/2004 550,780
110,000 Southern Natural Gas Co., 8.875%, due 03/15/2010,
(b) Cost--$108,632; Acquired--02/28/2003 120,450
200,000 Waste Management, Inc., 7.000%, due 05/15/2005 216,191
-------------
1,360,550
-------------
Electronic, Other Electrical Equipment, except Computers (2.3%)
280,000 Celestica, Inc., 0.000% (c), due 08/01/2020 147,700
150,000 Nortel Networks Ltd., 6.125%, due 02/15/2006 146,250
250,000 Tyco International Group, 0.000% (c), due 11/17/2020 191,563
575,000 Tyco International Group, 6.875%, due 01/15/2029 581,325
-------------
1,066,838
-------------
Food and Kindred Products (1.3%)
115,000 Albertson's, Inc., 6.550%, due 08/01/2004 119,859
145,000 Conagra Foods, Inc., 7.400%, due 09/15/2004 154,474
155,000 Kraft Foods, Inc., 6.250%, due 06/01/2012 175,638
140,000 Tyson Foods, Inc., 8.250%, due 10/01/2011 166,019
-------------
615,990
-------------
General Merchandise Stores (0.3%)
125,000 JC Penney Co., Inc., 8.000%, due 03/01/2010 131,563
-------------
Health Services (0.2%)
125,000 HEALTHSOUTH Corp., 8.500%, due 02/01/2008 (e) 98,750
-------------
Hotels, Other Lodging Places (1.0%)
155,000 Hyatt Equities LLC, 6.875%, due 06/15/2007,
(b) Cost--$154,698; Acquired--06/12/2002 161,565
150,000 Park Place Entertainment, 8.875%, due 09/15/2008 165,750
110,000 Vail Resorts, Inc., 8.750%, due 05/15/2009
(b) Cost--$105,753; Acquired--11/16/2001 115,500
-------------
442,815
-------------
Insurance Carriers (1.1%)
260,000 Prudential Financial, Inc., 5.750%, due 07/15/2033 258,047
225,000 RenaissanceRe Holdings, Ltd., 7.000%, due 07/15/2008 254,454
-------------
512,501
-------------
Lumber and Wood Products, except Furniture (1.1%)
515,000 Georgia-Pacific Corp., 7.700%, due 06/15/2015 498,262
-------------
Measuring Instruments, Photo Goods, Watches (0.3%)
105,000 Guidant Corp., 6.150%, due 02/15/2006 114,049
75,000 Raytheon Co., 6.300%, due 03/15/2005 80,135
-------------
194,184
-------------
Personal Services (0.3%)
155,000 Service Corp. International, 6.875%, due 10/01/2007 154,225
-------------
Pipe Lines, except Natural Gas (0.6%)
325,000 Dynegy-Roseton Danskamme, 7.670%, due 11/08/2016 263,453
-------------
The accompanying notes are an integral part of these financial statements.
CONSECO SERIES TRUST
Balanced Portfolio
Schedule of Investments
June 30, 2003
(Unaudited)
====================================================================================
SHARES OR
PRINCIPAL
AMOUNT VALUE
====================================================================================
Printing, Publishing and Allied Industries (1.4%)
$ 55,000 Moore North American Finance, 7.875%, due $
01/15/2011, (b) Cost--$54,618; Acquired--03/11/2003 57,613
75,000 News America, Inc., 7.625%, due 11/30/2028 85,276
320,000 Quebecor Media, Inc., 11.125%, due 07/15/2011 368,000
35,000 R.H. Donnelley Financial Corp., 8.875%, due
12/15/2010, (b) Cost--$35,000; Acquired--11/26/2002 38,850
70,000 R.H. Donnelley Financial Corp., 10.875%, due
12/15/2012, (b) Cost--$70,000; Acquired--11/26/2002 81,900
-------------
631,639
-------------
Real Estate Investment Trusts (REITs) (1.9%)
250,000 HealthCare REIT, Inc., 7.500%, due 08/15/2007 267,356
215,000 Hospitality Properties, 6.750%, 02/15/2013 228,417
75,000 ISTAR Financial, Inc., 8.750%, due 08/15/2008 82,125
300,000 Senior Housing Trust, 8.625%, due 01/15/2012 321,000
-------------
898,898
-------------
Real Estate Operators, Agents, Managers (0.3%)
150,000 Regency Centers, L.P., 7.400%, due 04/01/2004 156,580
-------------
Stone, Clay, Glass, Concrete Products (0.9%)
375,000 Owens-Brockway Glass, 8.875%, due 02/15/2009 408,750
-------------
Tobacco Products (0.5%)
225,000 Universal Corp., Series B, 7.500%, due 01/26/2004 232,075
-------------
Transportation Equipment (0.3%)
170,000 Dana Corp., 7.000%, due 03/15/2028 148,963
-------------
Water Transportation (0.2%)
77,500 Carnival Corp., 6.150%, due 04/15/2008 85,588
-------------
Wholesale Trade--Non-Durable Goods (0.3%)
120,000 Safeway, Inc., 7.250%, due 09/15/2004 127,547
-------------
Total corporate bonds (cost $10,630,788) 10,957,950
-------------
MUNICIPAL BONDS (2.0%)
230,000 California County, 7.500%, due 06/01/2019 228,682
147,313 Education Enhancement Funding Corp., 6.720%, due
06/01/2025 139,147
175,000 Indiana State Dev. Fin. Auth. Rev., 5.500%, due
01/01/2033 174,493
210,000 Tobacco Settlement Fin Corp., 5.920%, due 06/01/2012 205,170
205,667 Tobacco Settlement Fin Corp., 6.360%, due 05/15/2025 198,394
-------------
Total municipal bonds (cost $970,579) 945,886
-------------
ASSET BACKED SECURITIES (0.6%)
242,759 First Union National Bank Commercial Mortgage,
99-C4 A1, 7.184%, due 12/15/2031 266,351
-------------
Total asset backed securities (cost $243,837) 266,351
-------------
COLLATERALIZED MORTGAGE OBLIGATIONS (0.3%)
150,000 Freddie Mac #002433, 6.500%, due 02/15/2025 151,472
-------------
Total collateralized mortgage obligations (cost
$155,499) 151,472
-------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (2.3%)
140,000 U.S. Treasury Note, 2.625%, due 05/15/2008 141,324
415,000 U.S. Treasury Bond, 3.625%, due 05/15/2013 418,372
410,000 U.S. Treasury Bond, 5.375%, due 02/15/2031 461,811
-------------
Total U.S. government and agency obligations (cost
$697,977) 1,021,507
-------------
The accompanying notes are an integral part of these financial statements.
CONSECO SERIES TRUST
Balanced Portfolio
Schedule of Investments
June 30, 2003
(Unaudited)
================================================================================
SHARES OR
PRINCIPAL
AMOUNT VALUE
================================================================================
SHORT-TERM INVESTMENTS (6.9%)
2,542,955 Bank of America, Repurchase Agreement, 1.250%,
due 07/01/2003 (d) $ 2,542,955
664,000 Nations Cash Reserve 664,000
-------------
Total short-term investments (cost $3,206,955) 3,206,955
-------------
Total investments (cost $47,801,382) (104.7%) 48,611,561
-------------
Liabilities, less other assets (-4.7%) (2,172,080)
-------------
Total net assets (100.0%) $ 46,439,481
-------------
(a) Non-income producing security.
(b) Restricted under Rule 144A of the Securities Act of 1933.
(c) Zero Coupon-Bonds that make no interest payments.
(d) Securities lending collateral (note 2).
(e) Security in default.
The accompanying notes are an integral part of these financial statements.
CONSECO SERIES TRUST
High Yield Portfolio
Portfolio Managers' Review
How did the Portfolio perform relative to its benchmark?
The High Yield Portfolio returned 16.63% for the six months ended June 30,
2003. This compares to a 17.88% return for the benchmark Merrill Lynch High
Yield Master II Index.(1)
What caused the variance in performance between the Portfolio and its benchmark?
The positive performance variance was driven by our fundamental research
process allowing us to take advantage of the market dislocation that continued
to exist in the Telecom, Cable and Media, and Utility sectors throughout the
last six months. The Portfolio took advantage of oversold levels by investing in
companies where either solid management teams and/or leading market positions
would allow those companies to manage through the difficult capital market
conditions.
Which portfolio holdings enhanced the Portfolio's performance?
During the six months ended June 30, 2003, Portfolio performance was driven
by our holdings in the Telecom, Cable/Media, and Utility sectors. This included
many previously distressed/dislocated names such as Airgate, Alamosa, Charter
Communications, Madison River, and Dynegy. While many of these names
underperformed during the market turmoil of 2002, they have contributed
significantly to Portfolio performance through June.
Which holdings detracted from performance?
For the six months ended June 30, 2003, the Portfolio was most negatively
impacted by its exposure to the airline sector, which continues to be plagued by
bankruptcies, overcapacity, and weak demand. While we were meaningfully
underweight the sector in general, the exposure to Delta and US Air still
contributed negatively to Portfolio performance. In addition, Portfolio
performance was negatively affected by the Healthsouth default stemming from
allegations of massive fraud and accounting irregularities.
What is your outlook for the rest of the fiscal year?
As we highlighted in the December 2002 Annual Report, we entered 2003
optimistic about the high yield market and believed that investors could be
rewarded with returns in line with historical averages of 8-12%. Given that the
Merrill Lynch High Yield Master II Index is already up 17.88% for the year, it
appears that we may have been too conservative. Expectations for an improving
economy, coupled with strong fund flows and improving capital markets have
combined to drive spreads tighter and bond prices higher. In addition to the
spread tightening, bond prices have received the dual benefit of Treasury rates
moving materially lower over the past six months. While the high yield market
has rallied significantly since December, it remains fairly valued by historical
standards, as spreads are still 50-75 basis points cheap to the 20-year average.
That said, we have and will continue to take advantage of the rally in the
Treasury market and reduce those higher quality securities that no longer offer
compelling a risk/return trade-off at current levels. Similarly, we will
continue to capitalize on the strength in the lower quality names to reduce
riskier credits where we believe the market technicals have gotten ahead of the
fundamentals. The proceeds of these sales will be selectively reinvested in the
new issue market where, we believe, the majority of opportunity and supply
currently exists. As we stated six months ago, the quality of the issuers in the
market today is better than we have seen in over five years, largely due to the
attrition of many of the over-leveraged business plans that tapped the market in
the late 1990's and early 2000's.
Robert L. Cook, CFA Thomas G. Hauser, CFA
Senior Vice President Vice President
Director of Research Portfolio Manager
Conseco Capital Management, Inc. Conseco Capital Management, Inc.
(1) Past performance is not predictive of future performance. Performance does
not include separate account expenses. The Merrill Lynch High Yield Master
II Index is an unmanaged, market capitalization weighted index of all
domestic and yankee high yield bonds.
CONSECO SERIES TRUST
High Yield Portfolio
Schedule of Investments
June 30, 2003
(Unaudited)
=========================================================================================
SHARES OR
PRINCIPAL
AMOUNT VALUE
=========================================================================================
PRIVATE PLACEMENT WARRANTS (0.0%)
Chemicals and Allied Products (0.0%)
65 Solutia, Inc., expire 07/15/2009, (Acquired--10/31/2002;
Cost--$0) $ 33
Total private placement warrants (cost $0) 33
-------------
CORPORATE BONDS (72.4%)
Amusement and Recreation Services (2.6%)
$ 50,000 Boca Resorts, Inc., 9.875%, due 04/15/2009 54,125
20,000 Six Flags, Inc., 8.875%, due 02/01/2010 19,300
75,000 Six Flags, Inc., 9.750%, due 04/15/2013, (a)
Cost--$75,000; Acquired--04/09/2003 74,625
80,000 Trump Atlantic City Associates, 11.250%, due 05/01/2006 63,200
50,000 Venetian Casino, 11.000%, due 06/15/2010 56,625
-------------
267,875
-------------
Apparel and Other Finished Products (2.3%)
95,000 Levi Strauss & Co., 12.250%, due 12/15/2012 79,563
40,000 Oxford Industries, Inc., 8.875%, due 06/01/2011, (a)
Cost--$39,715; Acquired--05/06/2003 42,200
70,000 Phillips Van Heusen Corp., 8.125%, due 05/01/2013, (a)
Cost--$70,000; Acquired--04/30/2003 72,188
30,000 Warnaco, Inc., 8.875%, due 06/15/2013, (a)
Cost--$30,000; Acquired--06/05/2003 31,200
-------------
225,151
-------------
Building Construction, General Construction (0.4%)
45,200 D. R. Horton, Inc., 8.500%, due 04/15/2012 45,200
-------------
Business Services (1.1%)
35,000 Cendant Corp., 7.375%, due 01/15/2013 41,300
10,000 H&E Equipment/Finance, 11.125%, due 06/15/2012 8,850
50,000 Time Warner, Inc., 9.125%, due 01/15/2013 64,168
-------------
114,318
-------------
Chemicals and Allied Products (5.8%)
40,000 Ethyl Corp., 8.875%, due 05/01/2010, (a) Cost--$40,000;
Acquired--04/15/2003 41,000
43,000 HMP Equity Holdings Corp., 0.000% (c), due 05/15/2008 21,930
30,000 Huntsman ICI Chemicals, Inc., 10.125%, due 07/01/2009 28,950
15,000 Huntsman International LLC, 9.875%, due 03/01/2009, (a)
Cost--$15,766; Acquired--04/03/2003 15,675
50,000 Lyondell Chemical Co., 10.875%, due 05/01/2009 46,750
75,000 Lyondell Chemical Co., 11.125%, due 07/15/2012 77,250
70,000 Polyone Corp., 8.875%, due 05/01/2012 68,600
15,000 Solutia, Inc., 6.720%, due 10/15/2037 12,075
65,000 Solutia, Inc., 11.250%, due 07/15/2009 56,550
35,000 Terra Capital, Inc., 12.875%, due 10/15/2008 37,449
150,000 Terra Capital, Inc., 11.500%, due 06/01/2010, (a)
Cost--$149,099; Acquired--05/16/2003 138,750
55,000 Witco Corp., 6.875%, due 02/01/2026 47,850
-------------
592,829
-------------
Communications by Phone, Television, Radio, Cable (16.8%)
130,000 AirGate PCS, Inc., STEP (b) 0.000%/13.500%, due
10/01/2009 61,750
75,000 American Tower Corp., 5.000%, due 02/15/2010 64,500
50,000 CSC Holdings, Inc., 10.500%, due 05/15/2016 54,750
270,000 Charter Communications Holdings, LLC, STEP (b)
0.000%/13.500%, due 01/15/2011 141,750
65,000 Crown Castle International Corp., 0.000% (c), due
08/01/2011 62,725
65,000 DirecTV Holdings, 8.375%, due 03/15/2013, (a)
Cost--$65,000; Acquired--02/25/2003 72,800
50,000 EchoStar DBS Corp., 9.375%, due 02/01/2009 53,563
60,000 Fairpoint Communications, 12.500%, due 05/01/2010 63,900
The accompanying notes are an integral part of these financial statements.
CONSECO SERIES TRUST
High Yield Portfolio
Schedule of Investments
June 30, 2003
(Unaudited)
=================================================================================================
SHARES OR
PRINCIPAL
AMOUNT VALUE
=================================================================================================
$ 110,000 Insight Communications, Inc., STEP (b) 0.000%/12.250%,
due 02/15/2011 $ 91,850
45,000 Intermedia Communications, Inc., Series B, 8.600%,
due 06/01/2008 33,525
110,000 Madison River Capital, LLC, 13.250%, due 03/01/2010 108,350
20,000 Nextel Communications, Inc., STEP (b) 0.000%/9.950%,
due 02/15/2008 21,000
60,000 Nextel Partners, Inc., 8.125%, due 07/01/2011,
(a) Cost--$60,000; Acquired--06/16/2003 60,150
250,000 Qwest Capital Funding, Inc., 6.875%, due 07/15/2028 206,250
55,000 Qwest Corp., 8.875%, due 03/15/2012, (a) Cost--$53,694;
Acquired--11/26/2002 61,738
40,000 Rogers Wireless, Inc., 9.625%, due 05/01/2011 46,200
45,000 Sinclair Broadcast Group, 8.000%, due 03/15/2012,
(a) Cost--$46,306; Acquired--12/17/2002 48,263
80,000 Spectrasite Holdings, STEP (b) 0.000%/11.250%,
04/15/2009 (a) Cost--$80,150; Acquired--05/16/2003 & 05/19/2003 83,600
130,000 Sprint Capital Corp., 8.750%, due 03/15/2032 155,950
50,000 Triton PCS, Inc., 8.750%, due 11/15/2011 50,125
85,000 Vivendi Universal Corp., 9.250%, due 04/15/2010,
(a) Cost--$91,293; Acquired--04/03/2003 & 05/12/2003 97,113
160,000 Worldcom, Inc., 6.950%, due 08/15/2028 (d) 47,600
-------------
1,687,452
-------------
Eating and Drinking Places (0.7%)
75,000 Advantica Restaurant Group, Inc., 11.250%, due 01/15/2008 58,125
15,000 Domino's, Inc., 8.250%, due 07/01/2011,
(a) Cost--$14,891; Acquired--06/18/2003 15,563
-------------
73,688
-------------
Electric, Gas, Water, Cogeneration, Sanitary Services (3.8%)
35,000 Allied Waste North America, 7.875%, due 01/01/2009 36,794
70,000 Browning-Ferris, 7.400%, due 09/15/2035 64,750
40,000 El Paso Energy Partners, 10.625%, due 12/01/2012 40,100
35,000 MSW Energy Holdings, 8.500%, due 09/01/2010, (a) Cost--$35,000; 36,138
Acquired--06/11/2003
70,000 PG&E Corp., 6.875%, due 07/15/2008 72,625
65,000 Southern Natural Gas, 8.875%, due 03/15/2010, (a) Cost--$64,191; 71,175
Acquired--02/28/2003
50,000 Transcontinental Gas Pipeline Corp., 7.000%, due 08/15/2011 51,500
15,000 Williams Companies, Inc., 8.625%, due 06/01/2010 15,749
-------------
388,831
-------------
Electronic, Other Electrical Equipment, except Computers (6.5%)
50,000 Alamosa Delaware, Inc., 13.625%, due 08/15/2011 42,250
70,000 Alamosa PCS Holdings, Inc., STEP (b) 0.000%/12.875%,
due 02/15/2010 40,950
100,000 IPC Acquisition Corp., 11.500%, due 12/15/2009 106,500
30,000 Nortel Networks Ltd., 6.125%, due 02/15/2006 29,250
25,000 Sanmina Corp., 10.375%, due 01/15/2010,
(a) Cost--$25,000; Acquired--12/18/2002 28,000
63,000 Solectron Corp., 0.000% (c), due 05/08/2020 35,280
111,000 TeleCorp PCS, Inc., STEP (b) 0.000%/11.625, due 04/15/2009 115,440
27,000 TeleCorp PCS, Inc., 10.625%, due 07/15/2010 32,738
65,000 Tyco International Group, 6.875%, due 01/15/2029 69,225
150,000 Tyco International Ltd, 6.375%, due 10/15/2011 159,000
-------------
658,633
-------------
Fabricated Metal Products, except Machinery and Transportation Equipment (0.9%)
35,000 Jacuzzi Brands, Inc., 9.625%, due 07/01/2010 35,000
70,000 Park-Ohio Industries, Inc., 9.250%, due 12/01/2007 59,850
-------------
94,850
-------------
Food and Kindred Products (0.6%)
50,000 Eagle Family Foods Co., Series B, 8.750%, due 01/15/2008 34,250
30,000 Le-Nature's, Inc., 9.000%, due 06/15/2013, (a) Cost--$30,000;
Acquired--06/18/2003 31,050
-------------
65,300
-------------
The accompanying notes are an integral part of these financial statements.
CONSECO SERIES TRUST
High Yield Portfolio
Schedule of Investments
June 30, 2003
(Unaudited)
============================================================================================
SHARES OR
PRINCIPAL
AMOUNT VALUE
============================================================================================
Food Stores (0.4%)
$ 35,000 Merisant Co., 9.500%, due 07/15/2013, (a) Cost--$35,000;
Acquired--06/27/2003 $ 36,400
-------------
General Merchandise Store (0.3%)
30,000 JC Penney Co., Inc., 8.000%, due 03/01/2010 31,575
-------------
Health Services (2.4%)
25,000 HEALTHSOUTH Corp., 10.750%, due 10/01/2008 (d) 13,125
35,000 HEALTHSOUTH Corp., 8.500%, due 02/01/2008 (d) 27,650
30,000 Matria Healthcare, 11.000%, due 05/01/2008 30,900
45,000 Res-Care, Inc., 10.625%, due 11/15/2008 42,525
70,000 Tenet Healthcare Corp., 7.375%, due 02/01/2013 65,275
70,000 Tenet Healthcare Corp., 6.500%, due 06/01/2012 67,900
-------------
247,375
-------------
Hotels, Other Lodging Places (2.0%)
60,000 Park Place Entertainment, 8.125%, due 05/15/2011 66,150
80,000 Starwood Hotel & Resorts, 7.375%, due 11/15/2015 83,100
50,000 Vail Resorts, Inc., 8.750%, due 05/15/2009 52,500
-------------
201,750
-------------
Industrial, Commercial Machinery, Computer Equipment (2.2%)
105,000 Cummins Engine, Inc., 5.650%, due 03/01/2098 72,713
30,000 Rexnord Corp., 10.125%, due 12/15/2012, (a) Cost--$31,438;
Acquired--11/19/2002 33,150
55,000 Terex Corp., 10.375%, due 04/01/2011 61,050
60,000 Unova, Inc., 7.000%, due 03/15/2008 56,175
-------------
223,088
-------------
Insurance Carriers (0.7%)
80,000 Fairfax Financial Holdings, 7.375%, due 04/15/2018 70,400
-------------
Leather and Leather Products (0.9%)
85,000 Samsonite Corp., 10.750%, due 06/15/2008 87,338
-------------
Lumber and Wood Products, except Furniture (1.8%)
130,000 Georgia-Pacific Corp., 7.750%, due 11/15/2029 125,775
55,000 Georgia-Pacific Corp., 9.500%, due 12/01/2011 60,844
-------------
186,619
-------------
Measuring Instruments, Photo Goods, Watches (0.2%)
25,000 Hudson Respiratory Care, Inc., 9.125%, due 04/15/2008 14,125
-------------
Miscellaneous Retail (0.4%)
35,000 Toys R Us, 7.625%, due 08/01/2011 37,588
-------------
Non-Depository Credit Institutions (1.1%)
105,000 Ford Motor Credit Corp., 7.600%, due 08/01/2005 110,238
-------------
Oil and Gas Extraction (2.2%)
45,000 Citgo Petroleum Corp., 11.375%, due 02/01/2011, (a) Cost--$47,802;
Acquired--03/28/2003 & 04/09/2003 50,400
60,000 Dynegy Holdings, Inc., 6.750%, due 12/15/2005 57,000
60,000 Houston Exploration Co., 7.000%, due 06/15/2013, (a) Cost--$60,000;
Acquired--06/05/2003 62,250
60,000 Pogo Producing Co., 8.750%, due 05/15/2007 62,100
-------------
231,750
-------------
Paper and Allied Products (1.1%)
45,000 Mail-Well, Inc., 9.625%, due 03/15/2012 47,588
60,000 Pliant Corp., 11.125%, due 09/01/2009, (a) Cost--$60,250;
Acquired--05/22/2003 & 05/23/2003 64,050
-------------
111,638
-------------
The accompanying notes are an integral part of these financial statements.
CONSECO SERIES TRUST
High Yield Portfolio
Schedule of Investments
June 30, 2003
(Unaudited)
================================================================================
SHARES OR
PRINCIPAL
AMOUNT VALUE
================================================================================
Personal Services (0.8%)
$ 30,000 Service Corp. International, 6.500%, due 03/15/2008 $ 29,475
50,000 Service Corp. International, 6.000%, due 12/15/2005 49,750
----------
79,225
----------
Petroleum, Refining, and Related Industries (0.4%)
35,000 Tesoro Petroleum Corp., 8.000%, due 04/15/2008,
(a) Cost--$34,782; Acquired--04/07/2003 & 04/09/2003 36,049
----------
Printing, Publishing and Allied Products (4.4%)
10,000 Dex Media East LLC, 9.875%, due 11/15/2009 11,200
45,000 Dex Media East LLC, 12.125%, due 11/15/2012 53,438
55,000 Hollinger International Publishing, 9.000%, due 12/15/2010 59,125
70,000 Houghton Mifflin Co., 8.250%, due 02/01/2011,
(a) Cost--$73,636; Acquired--05/12/2003 74,200
20,000 Houghton Mifflin Co., 9.875%, due 02/01/2013,
(a) Cost--$19,848; Acquired--01/24/2003 21,800
45,000 Moore North American Finance, 7.875%, due 01/15/2011,
(a) Cost--$44,687; Acquired--03/11/2003 47,138
30,000 Quebecor Media, Inc., 11.125%, due 07/15/2011 34,500
80,000 R.H. Donnelley Financial Corp., 10.875%, due 12/15/2012,
(a) Cost--$80,000; Acquired--11/26/2002 93,600
45,000 Sun Media Corp., 7.625%, due 02/15/2013 48,150
----------
443,151
----------
Railroad Transportation (0.7%)
65,000 TFM SA DE CV, STEP (b) 0.000%/11.750%, due 06/15/2009 66,462
Real Estate Investment Trusts (REITs) (2.5%)
20,000 Felcor Lodging LP, 9.500%, due 09/15/2008 20,750
55,000 Host Marriott LP, 9.500%, due 01/15/2007 59,400
40,000 ISTAR Financial, Inc., 8.750%, due 08/15/2008 41,912
25,000 JDN Realty Corp., 6.800%, due 04/01/2004 26,162
50,000 JDN Realty Corp., 6.950%, due 08/01/2007 55,795
20,000 Senior Housing Trust, 8.625%, due 01/15/2012 21,400
30,000 Senior Housing Trust, 7.875%, due 04/15/2015 30,750
----------
256,169
----------
Stone, Clay, Glass, Concrete (1.2%)
20,000 Hexcel Corp., 9.750%, due 01/15/2009 20,000
10,000 Hexcel Corp., 9.875%, due 10/01/2008,
(a) Cost--$9,899; Acquired--03/07/2003 11,050
25,000 Owens-Brockway Glass, 7.750%, due 05/15/2011,
(a) Cost--$25,000; Acquired--04/29/2003 26,563
35,000 Owens-Brockway Glass, 8.250%, due 05/15/2013,
(a) Cost--$35,000; Acquired--04/29/2003 36,750
25,000 Owens-Illinois, Inc., 7.500%, due 05/15/2010 24,625
----------
118,988
----------
Transportation by Air (0.2%)
95,000 US Airways, Inc., 9.820%, due 01/01/2013 (d) 23,580
Transportation Equipment (2.9%)
75,000 Dana Corp., 9.000%, due 08/15/2011 81,563
35,000 General Motors Corp., 7.125%, due 07/15/2013 34,862
70,000 General Motors Corp., 8.375%, due 07/15/2033 68,753
60,000 United Components, Inc., 9.375%, due 06/15/2013,
(a) Cost--$61,088; Acquired--06/06/2003 & 06/09/2003 62,550
35,000 Vought Aircraft Industries, Inc., 8.000%, due 07/15/2011,
(a) Cost--$35,000; Acquired--06/27/2003 34,672
----------
282,400
----------
Water Transportation (1.2%)
115,000 Royal Caribbean Cruises, 7.500%, due 10/15/2027 120,174
----------
The accompanying notes are an integral part of these financial statements.
CONSECO SERIES TRUST
High Yield Portfolio
Schedule of Investments
June 30, 2003
(Unaudited)
================================================================================
SHARES OR
PRINCIPAL
AMOUNT VALUE
================================================================================
Wholesale Trade--Durable Goods (0.9%)
$ 30,000 TRW Automotive, Inc., 11.000%, due 02/15/2013,
(a) Cost--$30,000; Acquired--02/06/2003 $ 32,850
60,000 TRW Automotive, Inc., 9.375%, due 02/15/2013,
(a) Cost--$60,000; Acquired--02/06/2003 65,400
-------------
98,250
-------------
Total corporate bonds (cost $6,943,758) 7,328,459
-------------
INTERNATIONAL/YANKEE (U.S. $ Denominated) (1.7%)
30,000 Alliance Atlantis Communications, Inc., 13.000%,
due 12/15/2009 34,350
50,000 CanWest Media, Inc., 10.625%, due 05/15/2011 57,250
40,000 CanWest Media, Inc., 7.625%, due 04/15/2013,
(a) Cost--$40,000; Acquired--03/31/2003 42,700
35,000 Federative Republic of Brazil, 10.250%, due 06/17/2013 33,513
-------------
Total international/yankee (cost $155,464) 167,813
-------------
PREFERRED STOCKS (3.6%)
Apparel and Other Finished Products (0.5%)
2,169 Tommy Hilfiger USA, 9.000%, due 12/01/2003 54,290
Communications by Phone, Television, Radio, Cable (3.1%)
122 Crown Castle International Corp., PIK (b), 12.750% 134,375
1 Intermedia Communications, Inc., Series B, 13.500% 28
144 Nextel Communications, Inc., Series D, PIK (b), 13.000% 153,368
170 Sinclair Capital, 11.625%, due 03/15/2009 17,935
-------------
305,706
-------------
Total preferred stocks (cost $253,802) 359,996
-------------
SHORT-TERM INVESTMENTS (9.1%)
463,000 Aim Government Tax Advantage 463,000
463,000 Nations Treasury Reserve 463,000
Total short-term investments (cost $926,000) 926,000
Total investments (cost $8,279,024) (86.8%) 8,782,301
Other assets, less liabilities (13.2%) 1,338,189
-------------
Total net assets (100.0%) $ 10,120,490
-------------
(a) Restricted under Rule 144A of the Securities Act of 1933.
(b) PIK--Payment In Kind
STEP--Bonds where the coupon increases or steps up at a predetermined rate.
(c) Zero Coupon-Bonds that make no interest payments.
(d) Security in default.
The accompanying notes are an integral part of these financial statements.
CONSECO SERIES TRUST
Fixed Income Portfolio
Portfolio Managers' Review
How did the Portfolio perform relative to its benchmarks?
The Fixed Income Portfolio posted a return of 6.83% for the six months
ended June 30, 2003. Over a similar period the benchmarks, the Lehman Brothers
Government/Corporate Index and the Lehman Brothers Aggregate Bond Index returned
5.23% and 3.93%, respectively.(1)
What caused the variance in performance between the Portfolio and its
benchmarks?
The variance from index performance can be attributed to the portfolio's
exposure to opportunistically selected high yield bonds such as Dynegy, Nortel,
Telus, and Quebecor Media.
Which portfolio holdings enhanced the Portfolio's performance?
For the six months ended June 30, 2003, the largest contribution to
performance came as a result of our exposure to the Media, Telecom, and
Utilities sectors. Also, our position in structured securities, particularly,
the commercial mortgage backed securities (CMBS) sector performed well. Security
selection played a big role in performance. Technical trading and company
fundamentals drove the performance of corporate bonds. Specifically, our
exposure to names such as Dynegy, Mirant, Qwest Communications, Sprint, Nortel,
Quebecor, Telus and Tyco led the performance of the Portfolio.
Which holdings detracted from performance?
The holding that negatively impacted the Portfolio was the high level of
cash maintained throughout the year. As the market continued to rally to
historical low interest rates, bonds having the longest duration provided the
greatest return. The high level of cash has been held to offset an increase in
interest rates that we believe will occur.
What is your outlook for the rest of the fiscal year?
The key performance driver for the bond market in 2003 will be the
directional move in interest rates. With the war in Iraq largely resolved, we
expect to experience a modest improvement in the economy, resulting in a shift
in asset flows from bonds into stocks. The volatility in the 30-year U.S.
Treasury bond was fairly strong as interest rates fell 65 basis points during
the quarter in anticipation of an easing by the Federal Reserve, only to rise
sharply 40 basis points after the Federal Reserve cut rates 25 basis points at
the end of June.
Our strategic overweight to the corporate sector has been a solid
contributor to performance this year and remains in place. In general, the
corporate new issue calendar remains manageable as corporate America reduces
balance sheet leverage. With the accounting scandals and corporate governance
issues largely abating, the remainder of the year will focus on company
operating fundamentals. Absent a shock to the financial system, which would
include a terrorist attack on U.S. soil, we believe the corporate sector has the
ability to continue to outperform over the second half of 2003. The sectors most
critical to performance over the next six months include autos, cable/media, and
telecom.
Gregory J. Hahn, CFA Michael D. Richman Chief
Investment Officer Second Vice President
Conseco Capital Management, Inc. Portfolio Manager Conseco
Capital Management, Inc.
(1) Past performance is not predictive of future performance. Performance does
not include separate account expenses. The Lehman Brothers
Government/Corporate Index is an unmanaged index that includes U.S.
government Treasury and Agency securities as well as corporate and yankee
bonds. The Lehman Brothers Aggregate Bond Index is an unmanaged index
considered to be representative of the bond market in general.
CONSECO SERIES TRUST
Fixed Income Portfolio
Schedule of Investments
June 30, 2003
(Unaudited)
================================================================================
SHARES OR
PRINCIPAL
AMOUNT VALUE
================================================================================
CORPORATE BONDS (54.7%)
Business Services (1.4%)
$ 265,000 AOL Time Warner, Inc., 7.700%, due 05/01/2032 $ 310,547
155,000 Cendant Corp., 7.750%, due 12/01/2003 182,900
145,000 Cendant Corp., 6.875%, due 08/15/2006 162,327
----------
655,774
----------
Chemicals and Allied Products (1.5%)
75,000 Lyondell Chemical Co., Series A, 9.625%, due 05/01/2007 77,250
35,000 Polyone Corp., 10.625%, due 06/15/2010,
(a) Cost--$35,000; Acquired--04/30/2003 34,300
195,000 Solutia, Inc., 11.250%, due 07/15/2009 169,650
80,000 Terra Capital, Inc., 12.875%, due 10/15/2008 85,600
275,000 Wyeth, Inc., 5.250%, due 03/15/2013 291,149
----------
657,949
----------
Communications by Phone, Television, Radio, Cable (9.3%)
5,000 AT&T Wireless Services, Inc., 8.750%, due 03/01/2031 6,202
80,000 Ameritech Capital Funding, 7.500%, due 04/01/2005 87,864
185,000 Chancellor Media CCU, 8.000%, due 11/01/2008 215,988
165,000 Clear Channel Communications, Inc., 6.000%, due 11/01/2006 180,843
90,000 Clear Channel Communications, Inc., 6.625%, due 06/15/2008 102,701
155,000 Comcast Corp., 7.050%, due 03/15/2033 172,833
125,000 Cox Enterprises, 4.375%, due 05/01/2008,
(a) Cost--$124,920; Acquired--04/14/2003 130,122
105,000 Crown Castle International Corp., 9.375%, due 08/01/2011 101,325
395,000 Deutsche Telcom International Fin., 8.750%, due 06/15/2030 505,073
90,000 DirecTV Holding/Finance, 8.375%, due 03/15/2013,
(a) Cost--$90,000; Acquired--02/25/2003 100,800
100,000 EchoStar Broadband Corp., 10.375%, due 10/01/2007 111,250
85,000 France Telecom, 8.750%, due 06/01/2006 95,963
125,000 Insight Midwest LLP, 10.500%, due 11/01/2010 137,813
110,000 News American Holdings, 7.700%, due 10/30/2025 129,719
125,000 Nextel Communications, Inc., 9.375%, due 11/15/2009 134,844
390,000 Qwest Capital Funding Inc., 6.875%, due 07/15/2028 321,750
200,000 Sprint Capital Corp., 6.900%, due 05/01/2019 210,101
215,000 Sprint Capital Corp., 6.875%, due 11/15/2028 216,471
45,000 Sprint Capital Corp., 8.375%, due 03/15/2032 53,983
75,000 Tele-Communications, Inc., 9.800%, due 02/01/2012 99,505
445,000 Telus Corp., 8.000%, due 06/01/2011 516,200
75,000 Triton PCS, Inc., 8.500%, due 06/01/2013,
(a) Cost--$75,000; Acquired--05/30/2003 81,000
205,000 Verizon Global, 4.000%, due 01/15/2008 214,291
215,000 Vodafone Group PLC, 5.375%, due 01/30/2015 230,216
----------
4,156,857
----------
Depository Institutions (3.0%)
170,000 Citicorp, 6.750%, due 08/15/2005 187,588
90,000 Citifinancial, 6.500%, due 08/01/2004 94,956
85,000 Fleetboston Financial Corp., 7.250%, due 09/15/2005 94,908
205,000 J.P. Morgan Chase & Co., 4.000%, due 02/01/2008 214,557
138,000 Nationsbank Corp., 6.875%, due 02/15/2005 149,670
540,000 Union Planters Bank, National Association, 6.500%,
due 03/15/2008 607,246
----------
1,348,925
----------
Eating and Drinking Places (0.7%)
265,000 Yum! Brands, Inc., 7.700%, due 07/01/2012 303,425
----------
The accompanying notes are an integral part of these financial statements.
CONSECO SERIES TRUST
Fixed Income Portfolio
Schedule of Investments
June 30, 2003
(Unaudited)
================================================================================
SHARES OR
PRINCIPAL
AMOUNT VALUE
================================================================================
Electric, Gas, Water, Cogeneration, Sanitary Services (8.9%)
$ 115,000 Allied Waste North America, 8.875%, due 04/01/2008 $ 125,350
200,000 AMERENENERGY Generating, Series C, 7.750%, due 11/01/2005 224,087
215,000 Avon Energy Partners Holdings, 7.050%, due 12/11/2007,
(a) Cost--$212,161; Acquired--01/14/2002 185,438
135,000 Cilcorp, Inc., 8.700%, due 10/15/2009 169,002
150,000 Detroit Edison Co, 5.050%, due 10/01/2005 160,255
65,000 Duke Capital Corp., 6.250%, due 02/15/2013 69,223
275,000 Duke Energy Field Services, 5.750%, due 11/15/2006 331,541
80,000 First Energy Corp., 7.375%, due 11/15/2031 89,944
225,000 Kansas City Power & Light, 7.125%, due 12/15/2005 250,599
116,289 Mirant Mid-Atlantic, Series B, 9.125%, due 06/30/2017 113,265
270,000 Niagara Mohawk Power Co., 5.375%, due 10/01/2004 282,159
135,000 Ohio Power Company, 6.600%, due 02/15/2033,
(a) Cost--$134,373; Acquired--02/11/2003 151,194
400,000 Pinnacle West Capital Corp., 6.400%, due 04/01/2006 432,453
245,000 PSI Energy, Inc., 6.650%, due 06/15/2006 269,543
245,000 Sempra Energy, Inc., 6.950%, due 12/01/2005 271,676
100,000 Southern Natural Gas Co., 7.350%, due 02/15/2031,
(a) Cost--$98,756; Acquired--02/28/2003 109,500
265,000 Southwestern Public Service Co, Series B, 5.125%,
due 11/01/2006 280,950
170,000 Texas Eastern Transmission L.P., 7.000%, due 07/15/2032 194,656
200,000 U.S.A. Waste Services, Inc., 7.125%, due 10/01/2007 229,669
----------
3,940,504
----------
Electronic, Other Electrical Equipment, except Computers (2.9%)
260,000 Celestica, Inc., 0.000% (b), due 08/01/2020 137,150
125,000 General Electric Co., 5.000%, due 02/01/2013 132,284
120,000 Nortel Networks Ltd, 6.125%, due 02/15/2006 117,000
186,000 TeleCorp PCS, Inc., 10.625%, due 07/15/2010 225,525
525,000 Tyco International Group, 6.875%, due 01/15/2029 530,775
225,000 Tyco International Group, 0.000% (b), due 11/17/2020 172,406
----------
1,315,140
----------
Food and Kindred Products (1.0%)
130,000 Conagra Foods, Inc., 7.400%, due 09/15/2004 138,495
140,000 Kraft Foods, Inc., 6.250%, due 06/01/2012 158,640
130,000 Tyson Foods, Inc., 8.250%, due 10/01/2011 154,160
----------
451,295
----------
Food Stores (0.2%)
100,000 Albertson's, Inc., 6.550%, due 08/01/2004 104,226
----------
General Merchandise Stores (0.4%)
65,000 May Department Stores Co., 6.875%, due 11/01/2005 71,442
110,000 JC Penney Co., Inc., 8.000%, due 03/01/2010 115,775
----------
187,217
----------
Health Services (0.6%)
160,000 HCA, Inc., 6.950%, due 05/01/2012 170,790
105,000 HEALTHSOUTH Corp., 8.500%, due 02/01/2008 (d) 82,950
----------
253,740
----------
Hotels, Other Lodging Places (1.3%)
135,000 Hyatt Equities LLC, 6.875%, due 06/15/2007,
(a) Cost--$134,737; Acquired--06/12/2002 140,718
95,000 MGM Mirage, 6.875%, due 02/06/2008 102,125
105,000 Marriott International, Inc., 7.875%, due 09/15/2009 127,584
100,000 Park Place Entertainment, 8.875%, due 09/15/2008 110,500
90,000 Vail Resorts, Inc., 8.750%, due 05/15/2009 94,500
----------
575,427
----------
The accompanying notes are an integral part of these financial statements.
CONSECO SERIES TRUST
Fixed Income Portfolio
Schedule of Investments
June 30, 2003
(Unaudited)
================================================================================
SHARES OR
PRINCIPAL
AMOUNT VALUE
================================================================================
Insurance Carriers (4.9%)
$ 240,000 American International Group, 2.875%, due 05/15/2008,
(a) Cost--$238,704; Acquired--05/08/2003 $ 239,222
30,000 Florida Windstrorm, Series MBIA, 6.850%, due 08/25/2007,
(a) Cost--$30,940; Acquired--06/22/2001 34,897
200,000 Hartford Financial Services Group, 4.700%, due 09/01/2007 212,283
145,000 John Hancock Financial Services, 5.625%, due 12/01/2008 161,309
225,000 Monumental Global Funding II, 3.850%, due 03/03/2008,
(a) Cost--$224,992; Acquired--02/04/2003 232,808
505,000 Protective Life US Funding Trust, 5.875%, due 08/15/2006,
(a) Cost--$505,950; Acquired--08/06/2001 & 08/28/2001 559,992
250,000 Prudential Financial, Inc., 5.750%, due 07/15/2033 248,123
325,000 RenaissanceRe Holdings, Ltd., 7.000%, due 07/15/2008 367,545
115,000 TGT Pipeline LLC, 5.200%, due 06/01/2018,
(a) Cost--$114,704; Acquired--05/22/2003 114,934
----------
2,171,113
----------
Lumber and Wood Products, except Furniture (1.5%)
460,000 Georgia-Pacific Corp., 7.750%, due 11/15/2029 445,050
195,000 Weyerhaeuser Co., 7.375%, due 03/15/2032 218,425
----------
663,475
----------
Measuring Instruments, Photo Goods, Watches (0.4%)
95,000 Guidant Corp., 6.150%, due 02/15/2006 103,186
75,000 Raytheon Co., 6.300%, due 03/15/2005 80,135
----------
183,321
----------
Miscellaneous Manufacturing Industries (0.4%)
105,000 CIT Group Holdings, 7.750%, due 04/02/2012 125,403
----------
Miscellaneous Retail (0.5%)
195,000 Toys R Us, 7.625%, due 08/01/2011 209,425
----------
Non-Depository Credit Institutions (2.6%)
125,000 Aristar, Inc., 5.850%, due 01/27/2004 128,262
115,000 Countrywide Home Loan, 6.250%, due 04/15/2009 132,041
200,000 Gemstone Investors Ltd., 7.710%, due 10/31/2004,
(a) Cost--$200,000; Acquired--10/25/2001 200,000
105,000 Household Finance Corp., 6.375%, due 11/27/2012 108,823
315,000 MBNA Corp., 6.250%, due 01/17/2007 346,650
225,000 National Rural Utilities, 6.000%, due 05/15/2006 250,064
----------
1,165,840
----------
Oil and Gas Extraction (0.5%)
200,000 Petroleos Mexicanos, 6.500%, due 02/01/2005 213,000
----------
Personal Services (1.0%)
210,000 Service Corp. International, 6.500%, due 03/15/2008 206,325
235,000 Service Corp. International, 7.700%, due 04/15/2009 240,875
----------
447,200
----------
Petroleum Refining and Related Industries (0.1%)
50,000 Norsk Hydro ASA, 8.400%, due 07/15/2004 53,386
----------
Pipe Lines, except Natural Gas (1.3%)
260,000 Dynegy-Roseton Danskamme, 7.670%, due 11/08/2016 210,763
320,000 Northern Border Pipeline, 6.250%, due 05/01/2007 350,487
----------
561,250
----------
Printing, Publishing, and Allied Industries (1.6%)
50,000 Moore North American Finance, 7.875%, due 01/15/2011,
(a) Cost--$49,652; Acquired--03/11/2003 52,375
70,000 News America, Inc., 7.280%, due 06/30/2028 79,591
190,000 News America, Inc., 7.625%, due 11/30/2028 224,650
The accompanying notes are an integral part of these financial statements.
CONSECO SERIES TRUST
Fixed Income Portfolio
Schedule of Investments
June 30, 2003
(Unaudited)
================================================================================
SHARES OR
PRINCIPAL
AMOUNT VALUE
================================================================================
$ 200,000 Quebecor Media, Inc., 11.125%, due 07/15/2011 $ 230,000
30,000 R.H. Donnelley Financial Corp., 8.875%, due 12/15/2010,
(a) Cost--$30,000; Acquired--11/26/2002 33,300
60,000 R.H. Donnelley Financial Corp., 10.875%, due 12/15/2012,
(a) Cost--$60,000; Acquired--11/26/2002 70,200
-----------
690,116
-----------
Real Estate Investment Trusts (REITS) (4.4%)
125,000 EOP Operating LP, 8.375%, due 03/15/2006 143,409
200,000 Health Care REIT, Inc., 7.500%, due 08/15/2007 213,885
175,000 Hospitality Properties, 6.750%, due 02/15/2013 185,921
100,000 ISTAR Financial, Inc., 8.750%, due 08/15/2008 109,500
170,000 JDN Realty Corp., 6.800%, due 04/01/2004 177,903
250,000 Liberty Property, 6.970%, due 12/11/2003 256,181
300,000 Post Apartment Homes, 6.850%, due 03/16/2005 317,546
110,000 Prologis, 6.750%, due 04/15/2004 114,891
165,000 Reckson Operating Partnership, 7.400%, due 03/15/2004 170,501
245,000 Senior Housing Trust, 8.625%, due 01/15/2012 262,150
-----------
1,951,887
-----------
Rubber & Miscellaneous Plastic Products (0.8%)
150,000 Sealed Air Corp., 5.625%, due 07/15/2013,
(a) Cost--$149,495; Acquired--06/26/2003 151,599
200,000 Sealed Air Corp., 6.875%, due 07/15/2033,
(a) Cost--$199,284; Acquired--06/26/2003 204,624
-----------
356,223
-----------
Security & Commodity Brokers (0.4%)
145,000 Merrill Lynch & Co., 6.000%, due 07/15/2005 157,447
-----------
Tobacco Products (0.4%)
175,000 Universal Corp., Series B, 7.500%, due 01/26/2004 180,502
-----------
Transportation by Air (0.2%)
121,020 Delta Air Lines, Inc., 8.540%, due 01/02/2007 102,866
-----------
Transportation Equipment (1.3%)
155,000 Dana Corp., 7.000%, due 03/15/2028 135,819
335,000 General Motors Corp., 8.375%, due 07/15/2033 329,034
120,000 Steers-2002-3 F, 8.500%, due 03/01/2007,
(a) Cost--$119,967; Acquired--01/31/2002 109,200
-----------
574,053
-----------
Water Transportation (0.2%)
80,000 Carnival Corp., 6.150%, due 04/15/2008 88,348
-----------
Wholesale Trade--Non-Durable Goods (1.0%)
125,000 Cardinal Health, Inc., 4.000%, due 06/15/2015 119,996
200,000 DIMON, Inc., 9.625%, due 10/15/2011 221,000
100,000 Safeway, Inc., 7.250%, due 09/15/2004 106,289
-----------
447,285
-----------
Total corporate bonds (cost $23,043,585) 24,292,619
-----------
MUNICIPAL BONDS (4.2%)
195,000 California County, 7.500%, due 06/01/2019 193,883
145,000 Decatur Texas Housing Authority, Housing Revenue,
7.750%, due 09/01/2009 158,672
123,553 Education Enhancement Funding Corp., 6.720%,
due 06/01/2025 116,704
190,000 Eufaula ALA, 4.000%, due 08/15/2012 197,205
155,000 Indiana State Dev. Fin. Auth. Rev., 5.500%,
due 01/01/2033 154,551
505,000 North Carolina Eastern Municipal Power Agency
Revenue, 7.050%, due 01/01/2007 565,252
140,000 San Diego California Community College, 1.340%,
due 05/01/2004 139,839
The accompanying notes are an integral part of these financial statements.
CONSECO SERIES TRUST
Fixed Income Portfolio
Schedule of Investments
June 30, 2003
(Unaudited)
=================================================================================================================
SHARES OR
PRINCIPAL
AMOUNT VALUE
=================================================================================================================
$ 205,000 Tobacco Settlement Fin. Corp., 5.920%, due 06/01/2013 $ 200,285
159,963 Tobacco Settlement Fin. Corp., 6.360%, due 05/15/2025 154,307
-----------
Total municipal bonds (cost $1,805,744) 1,880,698
-----------
ASSET BACKED SECURITIES (5.1%)
126,212 Bear Stearns Commercial Mortgage Securities, Inc., 99-C1 A1, 5.910%, due 05/14/2008 137,180
230,000 Centex Home Equity, 2001-A A6, 6.250%, due 04/25/2031 245,080
3,145 Chase Funding Mortgage Loan, 99-2 IA2, 6.860%, due 12/26/2024 3,200
225,000 Chase Funding Mortgage Loan, 2001-3 1A4, 5.602%, due 05/25/2027 235,295
305,000 CS First Boston Mortgage Securities Corp., 2002-9 2A3, 6.580%, due 03/25/2032 311,315
108,272 CMAT 1999-C1 A1, 6.250%, due 01/17/2032 116,735
31,026 DLJ Commercial Mortgage Corp., #1999CG, 7.120%, due 10/10/2032 34,652
135,000 Equity One Abs, Inc., 2002-1 AF2, 5.523%, due 08/01/2032 139,667
27,280 First Union Chase Commercial Mortgage, 99-C2 A1, 6.363%, due 06/15/2008 29,359
86,302 First Union Lehman Brothers Commercial Mortgage Trust, 97-C2 A2, 6.600%, due 05/18/2007 89,573
220,202 GMAC Commercial Mortgage Securities, Inc., 99-C1 A1, 5.830%, due 05/15/2033 236,770
37,778 GMAC Commercial Mortgage Securities, Inc., 99-C2, 6.570%, due 09/15/2033 41,449
95,000 Residential Asset Mortgage Products, Inc., 2002-RZ3 A4, 4.730%, due 11/25/2010 98,732
300,000 Residential Asset Mortgage Products, Inc., 2001-RZ4 A4, 5.200%, due 03/25/2030 305,699
101,891 Residential Asset Securities Corporation, 2001-KS3 AI3, 5.180%, due 08/25/2027 103,169
145,000 Residential Asset Securities Trust, 2002-A4 A3, 6.750%, due 05/25/2032 148,640
-----------
Total asset backed securities (cost $2,193,564) 2,276,515
-----------
COLLATERIZED MORTGAGE OBLIGATIONS (6.2%)
290,000 Deutsche Mortgage and Asset Receiving Corp., 1998-C1 A2, 6.538%, due 06/15/2031 327,753
195,000 Fannie Mae, 2.375%, due 10/03/2005 195,015
315,000 Fannie Mae, #200318, 4.500%, due 11/25/2014 320,794
269,171 Freddie Mac, 2410 PB, 6.500%, due 02/15/2026 270,664
160,000 Freddie Mac, 2435 HC, 6.250%, due 05/15/2027 163,120
271,543 Fannie Mae, 2001-68 A, 6.000%, due 07/25/2029 274,354
185,000 Freddie Mac, 2422 CD, 6.000%, due 02/01/2032 187,888
309,123 Freddie Mac, 2412 PQ, 6.500%, due 03/01/2032 310,124
86,636 Paine Webber Mortgage Acceptance Corp., 99-4 2B1, 6.231%, due 01/28/2009 87,234
365,006 Residential Asset Mortgage Products, Inc., 2001-RZ3 A4, 6.130%, due 03/25/2030 369,465
232,184 Vende Mortgage Trust, 01-2 D, 6.750%, due 09/15/2019 233,228
-----------
Total collaterized mortgage obligations (cost $2,723,546) 2,739,639
-----------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (12.9%)
39,400 Federal Home Loan Mortgage Corp., #G00479, 9.000%, due 04/01/2025 43,963
135,000 Federal Home Loan Mortgage Corp., #002489, 6.000%, due 01/15/2026 137,397
165,000 Federal Home Loan Mortgage Corp., #2478EF, 6.000%, due 03/15/2026 167,767
124,942 Federal Home Loan Mortgage Corp., #G00943, 6.000%, due 07/01/2028 129,797
9,686 Federal Home Loan Mortgage Corp., #C00712, 6.500%, due 02/01/2029 10,099
164,479 Federal Home Loan Mortgage Corp., #C50964, 6.500%, due 05/01/2031 171,262
946,190 Federal Home Loan Mortgage Corp., #009441, 6.500%, due 09/01/2031 985,212
82,988 Federal Home Loan Mortgage Corp., #C60697, 6.000%, due 11/01/2031 86,098
289,398 Federal National Mortgage Assn., #253845, 6.000%, due 06/01/2016 302,235
269,245 Federal National Mortgage Assn., #545449, 6.500%, due 02/01/2017 284,205
300,456 Federal National Mortgage Assn., #645649, 6.000%, due 06/01/2017 313,790
550,000 Federal National Mortgage Assn., #200342, 4.000%, due 09/25/2017 557,088
220,000 Federal National Mortgage Assn., #200336, 4.500%, due 07/25/2022 225,022
23,114 Federal National Mortgage Assn., #349410, 7.000%, due 08/01/2026 24,425
4,178 Federal National Mortgage Assn., #062289, 5.982%, due 03/01/2028 4,286
175,228 Federal National Mortgage Assn., #609583, 6.000%, due 11/01/2031 182,283
The accompanying notes are an integral part of these financial statements.
CONSECO SERIES TRUST
Fixed Income Portfolio
Schedule of Investments
June 30, 2003
(Unaudited)
===============================================================================================
SHARES OR
PRINCIPAL
AMOUNT VALUE
===============================================================================================
1,089 Government National Mortgage Assn., #051699, 15.000%, due 07/15/2011 $ 1,334
8,255 Government National Mortgage Assn., #354859, 9.000%, due 07/15/2024 9,193
705,000 U.S. Treasury Note, 2.625%, due 05/15/2008 711,665
1,110,000 U.S. Treasury Bond, 3.625%, due 05/15/2013 1,119,020
225,000 U.S. Treasury Bond, 5.375%, due 02/15/2031 253,433
Total U.S. government and agency obligations (cost $5,248,680) 5,719,574
SHORT-TERM INVESTMENTS (16.8%)
1,991,000 Aim Government Tax Advantage 1,991,000
3,457,611 Bank of America, Repurchase Agreement, 1.250%, due 07/01/2003 (c) 3,457,611
1,991,000 Nations Treasury Reserve 1,991,000
Total short-term investments (cost $7,439,611) 7,439,611
Total investments (cost $42,454,730) (99.9%) 44,348,656
Other assets, less liabilities (0.1%) 56,356
Total net assets (100.0%) $44,405,012
(a) Restricted under Rule 144A of the Securities Act of 1933.
(b) Zero Coupon-Bonds that make no interest payments.
(c) Securities lending collateral (Note 2). The accompanying notes are an
integral part of these financial statements.
CONSECO SERIES TRUST
Government Securities Portfolio
Portfolio Managers' Review
How did the Portfolio perform relative to its benchmarks?
The Government Securities Portfolio posted a return of 2.33% for the six
months ended June 30, 2003. Over a similar period the benchmarks, the Lehman
Brothers Government Bond Index and the Lehman Brothers Mortgage-Backed
Securities ("MBS") Index returned 3.62% and 1.59%, respectively.(1)
What caused the variance in performance between the Portfolio and its
benchmarks?
The variance from index performance can be attributed to a combination of a
high level of cash in addition to the duration on the Portfolio being slightly
shorter than the benchmark.
Which portfolio holdings enhanced the Portfolio's performance?
The two top holdings year-to-date were the MBNA credit card subordinate
bonds which provided a 6.04% return and FHLMC 6.25 3/12 which provided a 5.87%
holding period return.
Which holdings detracted from performance?
The holdings which lead to the Portfolio having a slight under-performance
relative to the benchmark was the high level of cash position maintained
throughout the year. As the market continued to rally to historical low interest
rates, bonds having the longest duration provided the greatest return. The high
level of cash has been held to offset an increase in interest rates which we
believe will occur.
What is your outlook for the rest of the fiscal year?
Mortgage convexity will remain a key issue over the coming months. Given
the cuspy nature of the mortgage market, the risks towards the extension side
are staggering. In addition to having to worry about managing the duration of
the asset, the mortgage market will have to contend with a sharp decline in bank
demand, as well as, servicer selling of mortgage hedges. The Portfolio will
continue to stay short the benchmark duration and look to add higher yielding
assets with limited extension risk in the short end.
Gregory J. Hahn, CFA Michael J. Dunlop
Chief Investment Officer Trader, Asset-Backed Securities
Conseco Capital Management, Inc. Conseco Capital Management, Inc.
(1) Past performance is not predictive of future performance. Performance does
not include separate account expenses. The Lehman Brothers Government Bond
Index is an unmanaged index made up of the Treasury Bond Index and the
Agency Bond Index as well as the 1-3 Year Government Index and the 20+ Year
Treasury Index. The Lehman Brothers Mortgage-Backed Securities Index is an
unmanaged index that includes 15- and 30-year fixed-rate securities backed
by mortgage pools of the Government National Mortgage Association (GNMA),
Federal Home Loan Mortgage Corporation (FHLMC), and Federal National
Mortgage Association (FNMA).
CONSECO SERIES TRUST
Government Securities Portfolio
Schedule of Investments
June 30, 2003
(Unaudited)
======================================================================================================
SHARES OR
PRINCIPAL
AMOUNT VALUE
=====================================================================================================
CORPORATE BONDS (30.0%)
Depository Institutions (0.6%)
$ 225,000 Chase Funding Mortgage Loan Asset-Backed CTFS,
5.602% due 5/25/2027 $ 235,295
-----------
Insurance Carriers (0.3%)
95,000 MGIC Investment Corp., 6.000%, due 03/15/2007 102,758
-----------
Non-Depository Credit Institutions (28.9%)
250,000 Federal Farm Credit Union, 6.000%, due 06/14/2012 269,214
500,000 Federal Home Loan Bank, 6.050%, due 03/12/2012 515,668
500,000 Fannie Mae, 2.375%, due 10/03/2005 500,040
150,000 Fannie Mae, 6.000%, due 02/23/2009 154,609
650,000 Fannie Mae, 6.040%, due 02/25/2009 670,300
500,000 Fannie Mae, 6.200%, due 04/01/2009 518,483
113,574 Fannie Mae #320582, 6.500%, due 01/01/2011 120,303
500,000 Fannie Mae, 6.375%, due 01/12/2011 511,869
301,027 Fannie Mae #336290, 6.500%, due 04/01/2011 318,638
770,000 Fannie Mae, 6.500%, due 04/05/2012 799,685
4,000,000 Fannie Mae, #099999, 5.250%, due 08/01/2012 4,330,784
500,000 Fannie Mae, #200342, 4.000%, due 09/25/2017 506,444
17,814 Fannie Mae, 7.000%, due 03/01/2026 18,832
23,625 Fannie Mae 6.0 30 YR, 6.000%, due 11/01/2031 24,577
364,159 Fannie Mae Pool #253845, 6.000%, due 06/01/2016 380,312
338,479 Fannie Mae Pool #545449, 6.500%, due 02/01/2017 357,286
382,571 Fannie Mae Pool #645649, 6.000%, due 06/01/2017 399,549
98,186 Fannie Mae Pool #535837, 6.000%, due 04/01/2031 102,140
-----------
10,498,733
-----------
Tobacco Products (0.2%)
75,000 Universal Corp., Series B, 7.500%, due 01/26/2004 77,358
-----------
Total corporate bonds (cost $10,585,939) 10,914,144
-----------
MUNICIPAL BONDS (1.2%)
280,000 Alaska Industrial Development & Export Auth., 6.625%, due 05/01/2006 305,714
150,000 Tobacco Settlement Fin. Corp., 5.920%, due 06/01/2013 146,550
-----------
Total municipal bonds (cost $429,339) 452,264
-----------
ASSET BACKED SECURITIES (16.9%)
31,552 Bear Stearns Commercial Mortgage Securities, Inc., 5.910%, due 05/14/2008 34,294
285,000 Countrywide, 2002-S1 A5, 5.960%, due 10/25/2032 298,753
50,000 Centex Home Equity, 2001-A A4, 6.470%, due 07/25/2029 52,964
262,716 Chase Mortgage Finance Corp., 6.641%, due 03/28/2025 264,708
110,000 CCCIT 2003-C3 C3, 4.450%, due 04/07/2010 113,369
115,490 CMAT 1999-C1 A1, 6.250%, due 01/17/2032 124,517
350,000 CS First Boston Mortgage Securities Corp., 2202-10 1A3, 6.530%, due 01/25/2032 359,580
300,000 CS First Boston Mortgage Securities Corp., 2202-9 2A3, 6.580%, due 03/25/2032 306,211
500,000 CS First Boston Mortgage Securities Corp., 2202-19 2A3, 6.020%, due 07/25/2032 510,655
85,321 DLJ Commerical Mortgage Corp., #1999CG, 7.120%, due 10/10/2032 95,294
75,000 FUNBC 99-C4 A2, #1999C4, 7.390%, due 12/15/2031 90,656
40,476 GMAC Commercial Mortgage Securities, #1999C2, 6.570%, due 09/15/2033 44,410
500,000 GMACM, 01-HE4 A5, 5.680%, due 04/25/2027 530,163
250,000 GNR 2002-50 PB, 6.000%, due 06/20/2027 256,350
70,000 MBNA Credit Card Master Note, 6.800%, due 07/15/2014 76,601
514,614 JPMC 2000-C9 A1, 7.590%, due 10/15/2032 567,300
242,877 Residential Asset Securities Corp., 99-KS2 A19, 7.150%, due 07/25/2030 260,010
The accompanying notes are an integral part of these financial statements.
CONSECO SERIES TRUST
Government Securities Portfolio
Schedule of Investments
June 30, 2003
(Unaudited)
==================================================================================================
SHARES OR
PRINCIPAL
AMOUNT VALUE
==================================================================================================
$ 750,000 Residential Asset Securities Trust, 02-A5 A3, 6.480%, due 06/25/2030 765,657
70,000 Residential Asset Securities Trust, 02-A4 A3, 6.750%, due 05/25/2032 71,757
89,155 Residential Asset Securitization Corp., 01-KS3 A13, 5.180%, due 08/25/2027 90,273
300,000 Residential Asset Securitization Corp., 00-KS3 A16, 7.810%, due 07/25/2031 332,021
300,000 The Money Store Home Equity Trust, 98-B, 6.335%, due 08/15/2039 326,604
500,000 Salomon Borthers Mortgage Sec., 6.168%, due 02/13/2010 567,538
-----------
Total asset backed securities (cost $5,930,057) 6,139,685
-----------
COLLATERALIZED MORTGAGE OBLIGATIONS (1.1%)
59,223 Fanniemae Grantor Trust, 99-T2 A1, 7.500%, due 01/19/2039 66,125
42,011 Freddie Mac 04-PD, 6.000%, due 05/15/2021 42,057
100,000 Freddie Mac 2422-CD, 6.000%, due 02/01/2032 101,561
29,521 Housing Securities, Inc., 94-2 A1, 6.500%, due 07/25/2009 30,200
85,000 Residential Asset Mortgage Products, Inc., 4.730%, due 11/25/2010 88,339
50,000 Residential Asset Mortgage Products, Inc., 5.200% due 3/25/2030 50,950
36,869 Residential Asset Mortgage Products, Inc., 6.130% due 3/25/2030 37,320
-----------
Total collateralized mortgage obligations (cost $399,687) 416,552
-----------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (46.6%)
100,000 Federal Home Loan Bank, 5.275%, due 11/20/2003 101,660
500,000 Federal Home Loan Mortgage Corp., 6.250%, due 03/05/2012 551,104
18,337 Federal Home Loan Mortgage Corp., Gold., #D66012, 7.000%, due 11/01/2025 19,310
500,000 Federal Home Loan Mortgage Corp., #002489, 6.000%, due 01/15/2026 508,878
235,000 Federal Home Loan Mortgage Corp., #2478EF, 6.000%, due 03/15/2026 238,939
98,460 Federal Home Loan Mortgage Corp., #C28063, 6.500%, due 07/01/2029 102,626
265,373 Federal Home Loan Mortgage Corp., #C01186, 6.000%, due 06/01/2031 275,318
366,463 Federal Home Loan Mortgage Corp., #C01184, 6.500%, due 06/01/2031 381,576
11,994 FGCI Gold, #E00441, 7.500% due 07/01/2011 12,806
13,759 FG Gold, #W10002, 6.775% due 11/01/2003 13,949
56,411 FGLMC Gold, #C29168 6.500%, due 07/01/2029 58,798
115,628 FGLMC Gold, #C01131, 6.500%, due 01/01/2031 120,416
110,942 FGLMC Pool, 6.500%, due 02/01/2031 115,535
1,144 Government National Mortgage Assn., #044522, 13.000%, due 03/15/2011 1,367
4,033 Government National Mortgage Assn., #119896, 13.000%, due 11/15/2014 4,878
56,063 Government National Mortgage Assn., 98-19 A, 6.500%, due 10/20/2020 56,265
137,442 Government National Mortgage Assn., #408675, 7.500%, due 01/15/2026 146,796
6,535,000 U.S. Treasury Note, 2.625%, due 05/15/2008 6,596,782
6,130,000 U.S. Treasury Bond, 3.625%, due 05/15/2013 6,179,812
1,329,000 U.S. Treasury Bond, 5.375%, due 2/15/2031 1,496,943
-----------
Total U.S. government and agency obligations (cost $16,746,215) 16,983,758
-----------
VARIABLE RATE BONDS (1.4%)
500,000 Toyota Motor Credit Corp., 1.163%, due 07/19/2005 (a) 500,433
-----------
Total variable rate bonds (cost $500,000) 500,433
-----------
SHORT-TERM INVESTMENTS (38.2%)
12,646,328 Bank of America, Repurchase Agreement, 1.250%, due 07/01/2003 (a) 12,646,328
1,288,000 Nations Cash Reserve 1,288,000
-----------
Total short-term investments (cost $13,934,328) 13,934,328
-----------
Total investments (cost $48,525,565) (135.4%) 49,341,164
-----------
Liabilities, less other assets (-35.4%) (12,906,807)
-----------
Total net assets (100.0%) $ 36,434,357
-----------
(a) Securities lending collateral (note 2)
The accompanying notes are an integral part of these financial statements.
CONSECO SERIES TRUST
Money Market Portfolio
Portfolio Manager's Review
The fixed income market saw corporate credit spreads continue to tighten
during the first half of the year as investors attempt to pick up yield over
Treasuries and mortgages. With the war over and corporate scandals subsiding,
corporate bond spreads reached their tightest levels since 1998. Desire for new
issues fueled demand in the corporate market. Corporations have capitalized on
low interest rates by continuing to term out short-term debt. As a result,
average corporate debt maturities have increased causing Tier-1 corporate
commercial paper outstanding to drop by 7.0% in the first half of this year.
Uncertainty regarding the Federal Reserve and the direction of interest
rates were the main factors effecting the short-term market the first half of
this year. Because of the uncertainty regarding the Fed's rate action, most
money market managers remained neutral, hesitant to take a position on interest
rates.
In an attempt to boost the economy and prevent deflation the Federal
Reserve cut rates by 25 basis points to 1.00% at their June meeting. Although
first half economic numbers have been less then stellar, Chairman Greenspan
reiterated his belief that the economy is poised to rebound when tax cuts,
mortgage refinances and other stimuli kick in. We expect to see stronger
economic growth for the rest of the year and into 2004.
Now that the discount rate is set at 1.00%, we have positioned the
Portfolio accordingly. We have increased our position in Variable Rate Demand
Notes (VRDNs) to 30% of the portfolio. VRDN's are municipal securities with a
weekly reset feature allowing us to receive above average market yields while
avoiding reoccurring transaction costs.
We expect a rise in interest rates over the next six months. Part of our
strategy is to invest in the short end of the commercial paper curve as we
expect interest rates to rise in the second half of 2003. We have purchased
commercial paper mostly in maturities of 120 days or less, which has not
negatively affected the portfolio yield because the commercial paper yield curve
has remained flat in this range.
In order to counter the decline in yield caused by declining interest rates
we have raised our exposure to short-term, high-grade corporate securities from
0.5% to 7.0% of the portfolio. By increasing our allocation in this area we are
able to add additional yield without materially extending the duration of the
Portfolio. We will maintain this strategy until short-term interest rates
increase.
Gregory J. Hahn, CFA Chief
Investment Officer
Conseco Capital Management, Inc.
CONSECO SERIES TRUST
Money Market Portfolio
Schedule of Investments
June 30, 2003
(Unaudited)
=============================================================================================
SHARES OR
PRINCIPAL
AMOUNT VALUE
=============================================================================================
CORPORATE BONDS (6.3%)
Communications by Phone, Television, Radio, Cable (0.5%)
$ 150,000 Airtouch Communications, Inc., 7.000%, due 10/01/2003
(a) (Putable at $100 and rate reset effective 10/01/2003) $ 152,085
200,000 Westinghouse Electric Corp., 6.875%, due 09/01/2003
(a) (Putable at $100 and rate reset effective 09/01/2003) 201,787
-----------
353,872
-----------
Depository Institutions (0.2%)
100,000 Commercial Credit Co., 5.900%, due 09/01/2003
(a) (Putable at $100 and rate reset effective 09/01/2003) 100,738
-----------
Food and Kindred Products (2.4%)
1,050,000 Golden Oval Eggs, 1.150%, due 07/01/2015,
(a) (Putable at $100 and rate reset effective 07/30/2003) 1,050,000
400,000 Earthgrains Co., 8.375%, due 08/01/2003
(a) (Putable at $100 and rate reset effective 08/01/2003) 402,301
-----------
1,452,301
-----------
Non-Depository Credit Institutions (1.5%)
50,000 Associates Corp., 6.875%, due 08/01/2003
(a) (Putable at $100 and rate reset effective 08/01/2003) 50,222
870,000 CIT Group, Inc., 7.500%, due 11/14/2003
(a) (Putable at $100 and rate reset effective 11/14/2003) 888,962
-----------
939,184
-----------
Paper and Allied Products (0.8%)
5,000,000 3M Co., 5.673%, due 12/12/2003
(a)(Putable at $100 and rate reset effective 12/12/2003) 509,723
-----------
Real Estate Investment Trusts (0.8%)
500,000 EOP Operating LP, 7.375%, due 11/15/2003
(a) (Putable at $100 and rate reset effective 11/15/2003) 510,625
-----------
Security and Commodity Brokers (0.1%)
50,000 Morgan Stanley, 6.125%, due 10/01/2003
(a) (Putable at $100 and rate reset effective 10/01/2003) 50,623
-----------
Total corporate bonds (cost $3,917,066) 3,917,066
-----------
MUNICIPAL BONDS (33.1%)
100,000 ABAG Finacial Authorities For Nonprofit, 1.180%, due 12/15/2032 (a) 100,000
(Putable at $100 and rate reset effective 100,000 07/07/2003)
1,400,000 California Housing Financial Agency, 1.100%, due 08/01/2029 (a)
(Putable at $100 and rate reset effective 07/07/2003) 1,400,000
1,000,000 Cleveland Ohio Apartment System Rev, 0.900%, due 01/01/2031 (a)
(Putable at $100 and rate reset effective 07/07/2003) 1,000,000
1,000,000 Conneticut State Housing Financial Authority, 0.880%, due 11/15/2032
(a) (Putable at $100 and rate reset effective 07/07/2003) 1,000,000
580,000 Cunat Capital Corp., 1.280%, due 12/01/2025 (a)
(Putable at $100 and rate reset effective 07/30/2003) 580,000
500,000 Dallas Theological, 1.100%, due 03/01/2033 (a)
(Putable at $100 and rate reset effective 07/07/2003) 500,000
1,000,000 Detroit Michigan Water Supply, 0.950%, due 07/01/2029
(a) (Putable at $100 and rate reset effective 07/07/2003) 1,000,000
2,000,000 Illinois Health Fac. Authorities, 0.970%, due 11/15/2023
(a) (Putable at $100 and rate reset effective 07/07/2003) 2,000,000
935,000 Indiana Health Facilites Authorities, 0.970%, due 11/15/2023
(a) (Putable at $100 and rate reset effective 07/07/2003) 935,000
700,000 Kent County MI Tax, 1.070%, due 03/01/2004 (a)
(Putable at $100 and rate reset effective 07/10/2003) 700,000
1,000,000 Rykoff-Sexton, Inc., 1.200%, due 12/01/2026 (a)
(Putable at $100 and rate reset effective 07/07/2003) 1,000,000
1,000,000 Michigan State Housing Authorities, 0.980%, due 04/01/2037
(a) (Putable at $100 and rate reset effective 07/07/2003) 1,000,000
450,000 Mosinee Wisconsin School District, 1.500%, due 12/29/2003
(a) (Putable at $100 and rate reset effective 12/29/2003) 450,381
100,000 New York NY Hsg. Dev. Corp., 0.960%, due 08/15/2032
(a) (Putable at $100 and rate reset effective 07/07/2003) 1,000,000
100,000 Norther California Transmission, 0.880%, due 05/01/2024
(a) (Putable at $100 and rate reset effective 07/07/2003) 1,000,000
1,900,000 Philadelphia Authority for Industry, 1.00%, due 07/01/2010
(a) (Putable at $100 and rate reset effective 07/07/2003) 1,900,000
1,000,000 Pinellis Florida Authorities, 0.950%, due 06/15/2025
(a) (Putable at $100 and rate reset effective 07/07/2003) 1,000,000
970,000 St. Francis Healthcare Hawaii, 1.850%, due 08/01/2012
(a) (Putable at $100 and rate reset effective 07/07/2003) 970,000
2,000,000 Student Loan Finance Association Washington Education,
1.100%, due 12/01/2036 (a) (Putable at $100 and rate reset
effective 07/30/2003) 2,000,000
1,000,000 Sunshine Government, 0.970%, due 07/01/2016 (a)
(Putable at $100 and rate reset effective 07/07/2003) 1,000,000
-----------
Total municipal bonds (cost $20,535,381) 20,535,381
-----------
The accompanying notes are an integral part of these financial statements.
CONSECO SERIES TRUST
Money Market Portfolio
Schedule of Investments
June 30, 2003
(Unaudited)
================================================================================
SHARES OR
PRINCIPAL
AMOUNT VALUE
================================================================================
COMMERCIAL PAPER (52.6%)
Chemicals and Allied Products (3.2%)
$1,000,000 E.I. Dupont de Nemours, 1.090%, due 08/04/2003 $ 998,971
1,000,000 Pfizer, Inc., 1.200%, due 07/04/2003 999,800
------------
1,998,771
------------
Communications by Phone, Television, Radio, Cable (1.6%)
1,000,000 BellSouth Corp., 1.180%, due 07/01/2003 1,000,000
------------
Depository Institutions (13.5%)
1,000,000 AIG Funding, Inc., 1.200%, due 07/01/2003 1,000,000
1,000,000 Bank of Ireland, 1.040%, due 07/21/2003 999,422
1,000,000 Credit Suisse First Boston New York Branch,
1.090%, due 07/10/2003 999,728
1,000,000 Royal Bank of Scotland, 1.220%, due 07/08/2003 999,773
1,340,000 Svenska Handelbanken, 1.060%, due 07/07/2003 1,339,763
1,000,000 Swedbank, Inc., 1.000%, due 08/18/2003 998,667
1,000,000 Toronto Dominion, 0.940%, due 07/22/2003 999,452
1,000,000 USB Finance, 1.190%, due 07/01/2003 1,000,000
------------
8,336,805
------------
Eating and Drinking Places (1.6%)
1,000,000 McDonald's Corp., 1.050%, due 07/01/2003 1,000,000
------------
Electric, Gas, Water, Cogeneration, Sanitary Services (1.6%)
1,000,000 Novartis Finance, 1.180%, due 07/01/2003 1,000,000
------------
Engineering, Accounting, Research, Management Services (1.6%)
1,000,000 Abbott Labs, 1.070%, due 07/01/2003 1,000,000
------------
Fabricated Metal Products (1.6%)
1,000,000 Fortune Brands, Inc., 1.150%, due 07/18/2003 999,457
------------
Food and Kindred Products (6.4%)
1,000,000 The Coca Cola Co., 1.020%, due 07/11/2003 999,717
1,000,000 The Coca Cola Co., 1.060%, due 07/18/2003 999,499
2,000,000 Unilever Capital, 1.200%, due 07/07/2003 1,999,600
------------
3,998,816
------------
Industrial, Commercial Machinery, Computers (1.6%)
1,000,000 Caterpillar Finance Service Corp., 1.000%, due 07/25/2003 999,332
------------
Insurance Carriers (1.6%)
1,000,000 Allstate Corp., 1.280%, due 07/01/2003 1,000,000
------------
Measuring Instruments, Photo Goods, Watches (1.6%)
1,000,000 Emerson Electric Co., 1.180%, due 07/01/2003 1,000,000
------------
Non-Depository Credit Institutions (4.8%)
1,000,000 Cargill, Inc., 1.270%, due 07/01/2003 1,000,000
1,000,000 General Electric Capital Corp., 1.140%, due 07/10/2003 999,715
1,000,000 General Electric Capital Corp., 0.910%, due 09/19/2003 997,978
------------
2,997,693
------------
Printing, Publishing, & Allied Industries (3.2%)
1,000,000 Gannet Co., 1.040%, due 07/10/2003 999,740
1,000,000 Knight-Ridder, Inc., 1.070%, due 07/02/2003 999,970
------------
1,999,710
------------
The accompanying notes are an integral part of these financial statements.
CONSECO SERIES TRUST
Money Market Portfolio
Schedule of Investments
June 30, 2003
(Unaudited)
SHARES OR
PRINCIPAL
AMOUNT VALUE
================================================================================
Security and Commodity Brokers (6.4%)
$1,000,000 Goldman Sachs Group, 1.310%, due 07/01/2003 $ 1,000,000
1,000,000 Goldman Sachs Group, 1.000%, due 07/18/2003 999,528
1,000,000 Merrill Lynch, 1.300%, due 07/01/2003 1,000,000
1,000,000 Merrill Lynch, 1.060%, due 07/10/2003 999,735
-----------
3,999,263
-----------
Transportation Equipment (2.3%)
1,400,000 Metlife Funding, Inc., 0.940%, due 07/09/2003 1,399,708
-----------
Total commercial paper (cost $32,729,555) 32,729,555
-----------
SHORT-TERM INVESTMENTS (6.6%)
1,321,000 Aim Government Tax Advantage 1,321,000
2,765,000 Nations Treasury Reserve 2,765,000
-----------
Total short-term investments (cost $4,086,000) 4,086,000
-----------
Total investments (cost $61,268,002) (98.6%) 61,268,002
-----------
Other assets, less liabilities (1.4%) 840,305
-----------
Total net assets (100.0%) $62,108,307
-----------
(a) Variable Coupon Rate
The accompanying notes are an integral part of these financial statements.
CONSECO SERIES TRUST
Notes to Financial Statements
June 30, 2003
(Unaudited)
================================================================================
(1) GENERAL
Conseco Series Trust (the "Trust") is an open-end management investment
company registered with the Securities and Exchange Commission under the
Investment Company Act of 1940, as amended (the "Act"), and was organized as a
Massachusetts Trust effective November 15, 1982. The Trust is a "series" type of
mutual fund which issues separate series of shares, each of which currently
represents a separate portfolio of investments. The Trust consists of seven
series ("Portfolios") each with its own investment objective and investment
policies. The Portfolios are the Conseco 20 Focus, Equity, Balanced, High Yield,
Fixed Income, Government Securities and Money Market. The Trust offers shares to
affiliated and unaffili-ated life insurance company separate accounts
(registered as unit investment trusts under the Act) to fund the benefits under
variable annuity and variable life contracts. On December 17, 2002, Conseco
filed a petition for reorganization under Chapter 11 of Title 11 of the United
States Bankruptcy Code. The Portfolios are separate legal entities and are not
included in the petition filed by Conseco. Therefore, the assets of the
Portfolios are not subject to the claims of the creditors of Conseco.
(2) SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
SECURITY VALUATION, TRANSACTIONS, AND RELATED INVESTMENT INCOME
The investments in each Portfolio are valued at the close of regular
trading on the New York Stock Exchange on each business day. Investment
transactions are accounted for on trade date (the date the order to buy or sell
is executed). Dividend income is recorded on the ex-dividend date and interest
income is accrued daily. The cost of investments sold is determined on the
specific identification basis. The following summarizes the investments, which
carry certain restrictions as to resale from the Trust to certain qualified
buyers: Portfolio Cost Value % of Net Assets Balanced Portfolio-- bonds
1,030,004 1,060,578 2.28% High Yield Portfolio-- bonds 1,738,535 1,821,600
18.00% Fixed Income Portfolio-- bonds 2,828,635 2,936,223 6.61%
These securities are eligible for resale to qualified institutional buyers
in transactions exempt from registration under Rule 144A of the Securities Act
of 1933. In addition, Conseco Capital Management, Inc., (the "Adviser"), a
wholly-owned subsidiary of Conseco, Inc. ("Conseco"), which serves as investment
adviser to the Portfolios, has determined that the securities are liquid
securities through a procedure approved by the Board of Trustees of the Trust
(the "Trustees").
The Trustees determined that the Money Market Portfolio will value
investments at amortized cost, which is conditioned on the Trust's compliance
with certain conditions contained in Rule 2a-7 of the Act. The investment
adviser of the Trust continuously reviews this method of valuation and
recommends changes to the Trustees, if necessary, to ensure that the Money
Market Portfolio investments are valued at fair value (as determined by the
Trustees in good faith).
In all Portfolios of the Trust, except for the Money Market Portfolio,
securities that are traded on stock exchanges, excluding the NASDAQ national
market system, are valued at the last sale price as of the close of business on
the day the securities are being valued, or lacking any sales, at the mean
between the closing bid and asked prices. Securities that are principally traded
on the NASDAQ national market system are generally valued at the NASDAQ Official
Closing Price ("NOCP"). Securities traded in the over-the-counter market are
valued at the mean between the bid and asked prices obtained from a pricing
service or brokers. Prices for fixed income securities may be obtained from an
independent pricing source which uses information provided by market makers or
estimates of market value obtained from yield data relating to investments or
securities with similar characteristics. Portfolio securities which are traded
both in the over-the-counter market and on a stock exchange are valued according
to the broadest and most representative market, and it is expected that for debt
securities this ordinarily will be the over-the-counter market. Securities and
assets for which market quotations are not readily available are valued at fair
value as determined in good faith by or under the direction of the Trustees of
the Trust. Debt securities with maturities of sixty (60) days or less are valued
at amortized cost which approximates value.
FEDERAL INCOME TAXES
Each Portfolio is treated as a separate taxable entity for federal income
tax purposes and qualifies as a regulated investment company under subchapter M
of the Internal Revenue Code. The Trust intends to distribute substantially all
taxable income and net realized gains to shareholders annually, and otherwise
comply with the requirements for regulated investment companies. Therefore, no
provision has been made for federal income taxes.
DIVIDENDS TO SHAREHOLDERS
Dividends are declared and reinvested from net investment income on a daily
basis in the Money Market Portfolio, on a monthly basis in the Government
Securities, Fixed Income and High Yield Portfolios, on a quarterly basis in the
Balanced Portfolio and on an annual basis in the Conseco 20 Focus and Equity
Portfolios. Distributions of net short-term capital gains and losses were
declared and reinvested as a component of net investment income prior to June
30, 1998, thereafter on an annual basis as a component of net realized gains
(losses).
Dividends to shareholders from net investment income are determined in
accordance with income tax regulations which may differ from accounting
principles generally accepted in the United States of America. Permanent book
and tax differences relating to dividends to shareholders may result in
reclassifications to paid-in capital and may effect per-share allocation between
net investment income and realized and unrealized gains (losses). Any taxable
income or gain of the Trust remaining at fiscal year end will be declared and
distributed in the following year to the shareholders of the Portfolio or
Portfolios to which such gains are attributable.
SECURITIES LENDING
The Portfolios have entered into a Securities Lending Agreement (the
"Agreement") with the Bank of New York. Under terms of the Agreement, the
Portfolios may lend portfolio securities to qualified institutional borrowers in
order to earn additional income. The Agreement requires that loans are
collateralized at all times by cash equal to at least 102% of the market value
of any loaned securities, plus accrued interest. Cash collateral is invested in
short-term securi-
CONSECO SERIES TRUST
Notes to Financial Statements
June 30, 2003
(Unaudited)
================================================================================
ties or variable rate bonds and CDs which are included in the respective
Portfolio's Schedule of Investments.
At June 30, 2003, the Equity, Balanced, Fixed Income and Government
Securities Portfolios had securities with a market value of $23,914,793,
$2,492,115, $3,387,858, and $12,890,737, respectively, on loan (included within
Investments in securities in the Statements of Assets and Liabilities) and had
received $24,818,215, $2,542,955, $3,457,611 and $13,146,761, respectively, in
collateral. Amounts earned as interest on investments of cash collateral, net of
rebates and other securities lending expenses, are included in Other income in
the Statement of Operations. For the six months ended June 30, 2003, this
securities lending income totaled $32,544, $2,269, $3,100 and $22,087,
respectively.
The primary risk associated with securities lending is if the borrower
defaults on its obligation to return the securities loaned because of insolvency
or other reasons. The Portfolios could experience delays and costs in recovering
securities loaned or in gaining access to the collateral.
USE OF ESTIMATES
The preparation of financial statements in conformity with accounting
principles generally accepted in the United States of America requires
management to make estimates and assumptions that affect the reported amount of
assets and liabilities, and disclosure of contingent assets and liabilities as
of the date of financial statements and the reported amounts of increases and
decreases in net assets from operations during the reporting period. Actual
results may differ from these estimates.
(3) TRANSACTIONS WITH AFFILIATES INVESTMENT ADVISORY AGREEMENT
The Adviser provides investmeunt advice and, in general, supervises the
Trust's management and investment program, furnishes office space, prepares
Portfolio reports for the Trust, monitors Portfolio compliance by the Trust in
its investment activities and pays compensation of officers and Trustees of the
Trust who are affiliated persons of the Adviser. The Trust pays all other
expenses incurred in the operation of the Trust, including fees and expenses of
unaffiliated Trustees of the Trust.
Under the Investment Advisory Agreement, the Adviser receives an investment
advisory fee based on the daily net asset value at an annual rate of 0.70
percent for the Conseco 20 Focus and High Yield Portfolios, 0.65 percent for the
Equity and Balanced Portfolios, 0.50 percent for the Fixed Income, Government
Securities, and Money Market Portfolios. The Adviser has voluntarily reduced its
advisory fee to 0.25 percent of the average daily net assets of the Money Market
Portfolio. The total fees incurred for advisory services were $1,096,936 for the
six months ended June 30, 2003.
The Adviser has entered into Subadvisory Agreements for the management of
the investments in the Conseco 20 Focus Portfolio, Equity Portfolio and the
equity portion of the Balanced Portfolio. The Adviser is solely responsible for
the payment of all fees to the Subadvisers. The Subadviser for the Conseco 20
Focus Portfolio is Oak Associates, ltd. The Subadviser for the Equity Portfolio
and the equity portion of the Balanced Portfolio is Chicago Equity Partners,
LLC.
The Adviser has contractually agreed to waive its investment advisory fee
and/or reimburse the Portfolios through April 30, 2004 to the extent that the
ratio of expenses to net assets on an annual basis exceed the following:
Portfolio
Conseco 20 Focus 1.15%
Equity 1.10%
Balanced 1.10%
High Yield 1.15%
Fixed Income 0.95%
Government Securities 0.95%
Money Market 0.45%
ADMINISTRATIVE AGREEMENT
Conseco Services, LLC, (the "Administrator") a wholly-owned subsidiary of
Conseco, supervises the preparation and filing of regulatory documents required
for compliance by the Portfolios with applicable laws and regulations,
supervises the maintenance of books and records of the Portfolios and provides
other general and administrative services. Effective May 1, 2001, the
Administrator receives an annual fee, for providing these services, equal to
0.15 percent for the first $200 million of average daily net assets of the
Trust; 0.10 percent of the next $300 million of average daily net assets of the
Trust ; and 0.08 percent of the average daily net assets in excess of $500
million of the Trust. The total fees under this Agreement for the six months
ended June 30, 2003 were $237,717. The Administrator has contractually agreed to
waive its administration fee and/or reimburse the Portfolios through April 30,
2004 to the extent that the ratio of expenses to net assets on an annual basis
exceeds the expense limitations as stated above for the Investment Advisory
Agreement. The Administrator may discontinue these contractual limits at any
time after April 30, 2004.
DISTRIBUTION AGREEMENT
Conseco Equity Sales, Inc. (the "Distributor"), a wholly-owned subsidiary
of Conseco, serves as the principal underwriter for each Portfolio pursuant to
an Underwriting Agreement, approved by the Trustees. The Distributor is a
registered broker-dealer and a member of the National Association of Securities
Dealers, Inc. ("NASD"). Shares of each Portfolio will be continuously offered to
life insurance company separate accounts to fund the benefits under variable
annuity and variable life contracts. The Distributor bears all the expenses of
providing services pursuant to the Underwriting Agreement including the payment
of the expenses relating to the distribution of prospectuses for sales purposes,
as well as, any advertising or sales literature.
The Trust adopted a Distribution and Service Plan pursuant to Rule 12b-1
(the "Plan"), dated May 1, 2001, for the Conseco 20 Focus, Equity, Balanced,
High Yield, Fixed Income and Government Securities Portfolios in accordance with
the requirements of Rule 12b-1 under the 1940 Act and the requirements of the
applicable rules of the NASD regarding asset based sales charges. Pursuant to
the Plan, a Portfolio may compensate the Distributor for its expenditures in
financing any activity primarily intended to result in the sale of shares of the
Portfolio and for account maintenance provided to shareholders. The Plan
authorizes payments to the Distributor up to 0.25 percent annually of each
Portfolio's average daily net assets. The Plan provides for periodic payments by
the Distributor to finan-cial intermediaries for providing shareholder services
to accounts that hold shares and for promotional and other sales related costs.
The total fees incurred by the Trust for such services for the six months ended
June 30, 2003 were $353,422.
CONSECO SERIES TRUST
Notes to Financial Statements
June 30, 2003
(Unaudited)
================================================================================
(4) Investment Transactions
The aggregate cost of purchases and the aggregate proceeds from sales of
investments for the six months ended June 30, 2003 are shown below:
CONSECO GOVERNMENT
20 FOCUS EQUITY BALANCED HIGH YIELD FIXED INCOME SECURITIES
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
Purchases:
U.S. Government $ -- $ -- $ 4,911,948 $ -- $28,720,441 $31,569,689
Other 5,642,415 79,737,966 20,513,750 5,797,343 28,159,511 1,385,068
Sales:
U.S. Government $ -- $ -- $ 5,936,948 $ -- $28,070,812 $28,677,726
Other 4,488,933 92,488,702 20,862,785 3,807,201 32,016,286 7,805,555
(5) Federal Income Taxes
The following information for the Portfolios is presented on an income tax
basis as of June 30, 2003:
CONSECO GOVERNMENT
20 FOCUS EQUITY BALANCED HIGH YIELD FIXED INCOME SECURITIES
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
=============================================================================================================
Cost of investments (a) $2,572,179 $162,448,204 $48,379,867 $8,300,987 $42,539,813 $48,526,221
Gross unrealized appreciation $ 242,948 $ 20,772,426 $ 3,719,756 $ 682,820 $ 2,142,658 $ 888,107
Gross unrealized depreciation (490,692) (3,653,420) (3,488,062) (201,506) (333,815) (73,164)
Net unrealized appreciation
(depreciation)
on investments $ (247,744) $ 17,119,006 $ 231,694 $ 481,314 $ 1,808,843 $ 814,943
Distributable ordinary income $ (4,833) $ 180,845 $ 3,587 $ 3,283 $ 14,718 $ 10,175
Distributable long-term gains $ -- $ -- $ -- $ -- $ -- $ --
(a) Represents cost for federal income tax purposes and differs from the cost
for financial reporting purposes by the amount of losses recognized for the
financial reporting purposes in excess of federal income tax purposes. The
tax components of dividends paid during the six months ended June 30, 2003
and the year ended December 31, 2002 were as follows:
CONSECO GOVERNMENT
20 FOCUS EQUITY BALANCED HIGH YIELD FIXED INCOME SECURITIES
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
===========================================================================================================
Ordinary Income dividends
June 30, 2003 $ -- $ -- $ 568,482 $ 252,887 $ 1,008,980 $ 691,423
December 31, 2002 -- 576,255 1,821,764 634,033 3,363,046 2,262,119
Long-term capital gain distributions
June 30, 2003 $ -- $ -- $ -- $ -- $ -- $ --
December 31, 2002 -- -- -- -- -- 88,482
For corporate shareholders in the Portfolios, the percentage of dividend
income distributed for the year ended December 31, 2002, which is designated as
qualifying for the dividends-received deduction, is as follows (unaudited):
Equity Portfolio 96.7%, Balanced Portfolio 25.1% and High Yield Portfolio 0.7%.
CONSECO SERIES TRUST
Notes to Financial Statements
June 30, 2003
(Unaudited)
As of December 31, 2002, the following Portfolios have capital loss
carryforwards available to offset capital gains in the future, if any:
AMOUNT EXPIRES
Conseco 20 Focus Portfolio $ 2,112,458 2009
Conseco 20 Focus Portfolio 1,299,123 2010
Equity Portfolio 38,855,275 2009
Equity Portfolio 7,451,353 2010
Balanced Portfolio 4,850,675 2009
Balanced Portfolio 9,844,335 2010
High Yield Portfolio 173,568 2009
High Yield Portfolio 499,968 2010
Fixed Income Portfolio 2,272,057 2010
The Conseco Government Securities Portfolio utilized $91,248 of its capital
loss carryovers to offset the realized gains during 2002.
Net realized gains or losses may differ from Federal income tax purposes
primarily as a result of wash sales and post-October losses which may not be
recognized for tax purposes until the first of the following fiscal year. Such
amounts may be used to offset future capital gains. The following summarized the
amount of post-October losses deferred, on a tax basis, for the year ended
December 31, 2002:
AMOUNT
================================================================================
Conseco 20 Focus Portfolio $ 395,716
Equity Portfolio 1,357,008
Balanced Portfolio 771,414
High Yield Portfolio 9,637
Fixed Income Portfolio 36,440
CONSECO SERIES TRUST
Financial Highlights
For a share outstanding during the six months ended June 30, 2003 (unaudited)
and through the year or period ended December 31
CONSECO 20 FOCUS PORTFOLIO
=====================================
2003 2002 2001 2000(c)
=====================================================================================
Net asset value per share, beginning of period $ 2.18 $ 4.58 $ 8.48 $10.00
Income from investment operations:
Net investment income (loss) (0.01) (0.03) (0.02) 0.02
Net realized gains (losses) and change in
unrealized appreciation or depreciation
on investments 0.63 (2.37) (3.88) (1.52)
- -------------------------------------------------------------------------------------
Total income (loss) from investment operations 0.62 (2.40) (3.90) (1.50)
- -------------------------------------------------------------------------------------
Distributions:
Dividends from net investment income -- -- -- (0.02)
Distributions of net realized gains -- -- -- --
- -------------------------------------------------------------------------------------
Total distributions -- -- (0.02)
- -------------------------------------------------------------------------------------
Net asset value per share, end of period $ 2.80 $ 2.18 $ 4.58 $ 8.48
- -------------------------------------------------------------------------------------
Total return (a)(b) 28.44% (52.40%) (46.00%) (15.04%)
=====================================================================================
Ratios/supplemental data:
Net assets (dollars in thousands), end of period $2,443 $ 898 $3,062 $3,681
Ratio of expenses to average net assets (b)(e):
Before expense reimbursement 1.78% 1.96% 1.10% 0.90%
After expense reimbursement 1.15% 1.15% 1.09% 0.90%
Ratio of net investment income (loss) to
average net assets (b)(e)0.00% (0.57%) (0.34%) 0.33%
Portfolio turnover rate (d) 242.83% 412.37% 280.48% 351.37%
- -------------------------------------------------------------------------------------
(a) Total return represents performance of the Trust only and does not include
mortality and expense deductions in separate accounts.
(b) The Adviser and Administrator have contractually agreed to reimburse Fund
expenses to the extent that the ratio of expenses to average net assets
exceeds, on an annual basis, the net expenses defined in Note 3. These
contractual limits may be discounted at any time after April 30, 2004.
(c) For the period from May 4, 2000 (commencement of operations) through
December 31, 2000. (d) Not annualized for periods of less than one full
year.
(e) Annualized for periods of less than one full year.
The accompanying notes are an integral part of these financial statements.
CONSECO SERIES TRUST
Financial Highlights
For a share outstanding during the six months ended June 30, 2003 (unaudited)
and through the year ended December 31
EQUITY PORTFOLIO
----------------
2003 2002 2001 2000 1999 1998
============================================================================================================
Net asset value per share, beginning of period $14.92 $17.30 $19.43 $23.18 $21.59 $20.16
Income from investment operations:
Net investment income (loss) 0.02 0.06 0.07 0.00(c) (0.00)(c) 0.11
Net realized gains (losses) and change in
unrealized appreciation or depreciation
on investments 2.23 2.38) (2.07) 0.63 10.63 3.09
- -----------------------------------------------------------------------------------------------------------
Total income (loss) from investment operations 2.25 (2.32) (2.00) 0.63 10.63 3.20
- -----------------------------------------------------------------------------------------------------------
Distributions:
Dividends from net investment income -- (0.06) (0.07) (0.00)(c) -- (0.27)
Distributions of net realized gains -- -- (0.06) (4.38) (9.04) (0.48)
Return of capital -- -- -- -- -- (1.02)
- -----------------------------------------------------------------------------------------------------------
Total distributions -- (0.06) (0.13) (4.38) (9.04) (1.77)
- -----------------------------------------------------------------------------------------------------------
Net asset value per share, end of period $17.17 $14.92 $17.30 $19.43 $23.18 $21.59
- -----------------------------------------------------------------------------------------------------------
Total return (a)(b) 15.01% (13.42%) (10.30%) 2.71% 49.28% 15.62%
============================================================================================================
Ratios/supplemental data:
Net assets (dollars in thousands), end of period $154,345 $148,881 $233,983 $309,201 $300,437 $235,001
Ratio of expenses to average net assets (b):
Before expense reimbursement 1.14% 1.15% 1.02% 0.81% 0.82% 0.80%
After expense reimbursement 1.10% 1.10% 1.02% 0.78% 0.77% 0.80%
Ratio of net investment income (loss) to
average net assets (b) 0.29% 0.32% 0.38% (0.02%) (0.10%) 0.55%
Portfolio turnover rate 55.19% 101.94% 132.69% 431.14% 364.53% 317.91%
- -----------------------------------------------------------------------------------------------------------
(a) Total return represents performance of the Trust only and does not include
mortality and expense deductions in separate accounts.
(b) The Adviser and Administrator have contractually agreed to reimburse Fund
expenses to the extent that the ratio of expenses to average net assets
exceeds, on an annual basis, the net expenses defined in Note 3. These
contractual limits may be discounted at any time after April 30, 2004.
(c) Amount calculated is less than $0.005 per share.
The accompanying notes are an integral part of these financial statements.
CONSECO SERIES TRUST
Financial Highlights
For a share outstanding during the six months ended June 30, 2003 (unaudited)
and through the year ended December 31
BALANCED PORTFOLIO
------------------
2003 2002 2001 2000 1999 1998
====================================================================================================
Net asset value per share, beginning of period $10.25 $12.16 $13.45 $14.65 $13.67 $13.32
Income from investment operations:
Net investment income 0.14 0.36 0.40 0.43 0.42 0.43
Net realized gains (losses) and change in
unrealized appreciation or depreciation
on investments 0.99 (1.91) (1.29) 0.67 3.72 0.96
- -----------------------------------------------------------------------------------------------------
Total income (loss) from investment operations 1.13 (1.55) (0.89) 1.10 4.14 1.39
- -----------------------------------------------------------------------------------------------------
Distributions:
Dividends from net investment income (0.14) (0.36) (0.40) (0.43) (0.42) (0.43)
Distributions of net realized gains -- -- (0.00)(c) (1.87) (2.74) --
Return of capital -- -- -- -- -- (0.61)
- -----------------------------------------------------------------------------------------------------
Total distributions (0.14) (0.36) (0.40) (2.30) (3.16) (1.04)
- -----------------------------------------------------------------------------------------------------
Net asset value per share, end of period $11.24 $10.25 $12.16 $13.45 $14.65 $13.67
- -----------------------------------------------------------------------------------------------------
Total return (a)(b) 11.08% (12.87%) (6.60%) 7.29% 30.83% 10.37%
====================================================================================================
Ratios/supplemental data:
Net assets (dollars in thousands), end of period $46,439 $44,455 $71,635 $75,355 $51,941 $45,904
Ratio of expenses to average net assets (b):
Before expense reimbursement 1.14% 1.18% 1.04% 0.83% 0.83% 0.84%
After expense reimbursement 1.10% 1.10% 1.04% 0.78% 0.73% 0.75%
Ratio of net investment income to average net
assets(b) 2.63% 3.11% 3.16% 2.77% 2.89% 3.25%
Portfolio turnover rate 59.75% 180.27% 238.63% 334.36% 343.43% 336.30%
- -----------------------------------------------------------------------------------------------------
(a) Total return represents performance of the Trust only and does not include
mortality and expense deductions in separate accounts.
(b) The Adviser and Administrator have contractually agreed to reimburse Fund
expenses to the extent that the ratio of expenses to average net assets
exceeds, on an annual basis, the net expenses defined in Note 3. These
contractual limits may be discounted at any time after April 30, 2004.
(c) Amount calculated is less than $0.005 per share.
The accompanying notes are an integral part of these financial statements.
CONSECO SERIES TRUST
Financial Highlights
For a share outstanding during the six months ended June 30, 2003 (unaudited)
and through the year or period ended December 31
HIGH YIELD PORTFOLIO
--------------------
2003 2002 2001 2000(c)
===========================================================================================
Net asset value per share, beginning of period $ 8.86 $ 9.28 $10.07 $10.00
Income from investment operations:
Net investment income 0.33 0.86 1.10 0.24
Net realized gains (losses) and change in
unrealized appreciation or depreciation
on investments 1.11 (0.42) (0.78) 0.07
- -------------------------------------------------------------------------------------------
Total income (loss) from investment operations 1.44 0.44 0.32 0.31
- -------------------------------------------------------------------------------------------
Distributions:
Dividends from net investment income (0.33) (0.86) (1.11) (0.24)
Distributions of net realized gains -- -- --
- -------------------------------------------------------------------------------------------
Total distributions (0.33) (0.86) (1.11) (0.24)
- -------------------------------------------------------------------------------------------
Net asset value per share, end of period $ 9.97 $ 8.86 $ 9.28 $10.07
- -------------------------------------------------------------------------------------------
Total return (a)(b) 16.63% 5.47% 3.17% 3.20%
===========================================================================================
Ratios/supplemental data:
Net assets (dollars in thousands), end of period $10,120 $9,202 $7,091 $4,040
Ratio of expenses to average net assets (b)(e):
Before expense reimbursement 1.33% 1.47% 1.11% 0.90%
After expense reimbursement 1.15% 1.15% 1.11% 0.90%
Ratio of net investment income to average net assets(b)(e) 6.73% 8.95% 11.12% 3.31%
Portfolio turnover rate (d) 64.79% 257.92% 232.18% 1.02%
(a) Total return represents performance of the Trust only and does not include
mortality and expense deductions in separate accounts.
(b) The Adviser and Administrator have contractually agreed to reimburse Fund
expenses to the extent that the ratio of expenses to average net assets
exceeds, on an annual basis, the net expenses defined in Note 3. These
contractual limits may be discounted at any time after April 30, 2004.
(c) For the period from June 13, 2000 (commencement of operations) through
December 31, 2000.
(d) Not annualized for periods of less than one full year.
(e) Annualized for periods of less than one full year. The accompanying notes
are an integral part of these financial statements.
CONSECO SERIES TRUST
Financial Highlights
For a share outstanding during the six months ended June 30, 2003 (unaudited)
and through the year ended December 31
FIXED INCOME PORTFOLIO
----------------------
2003 2002 2001 2000 1999 1998
=====================================================================================================
Net asset value per share, beginning of period $ 9.66 $ 9.88 $ 9.63 $ 9.39 $10.05 $10.14
Income from investment operations:
Net investment income 0.23 0.58 0.59 0.65 0.62 0.64
Net realized gains (losses) and change in
unrealized appreciation or depreciation
on investments 0.42 (0.13) 0.25 0.24 (0.66) (0.03)
- ------------------------------------------------------------------------------------------------------
Total income (loss) from investment operations 0.65 0.45 0.84 0.89 0.04) 0.61
- ------------------------------------------------------------------------------------------------------
Distributions:
Dividends from net investment income (0.23) (0.58) (0.59) (0.65) (0.62) (0.64)
Distributions of net realized gains -- (0.09) -- -- -- --
Return of capital -- -- -- -- -- (0.06)
- ------------------------------------------------------------------------------------------------------
Total distributions (0.23) (0.67) (0.59) (0.65) 0.62) (0.70)
- ------------------------------------------------------------------------------------------------------
Net asset value per share, end of period $10.08 $ 9.66 $9.88 $ 9.63 $ 9.39 $10.05
- ------------------------------------------------------------------------------------------------------
Total return (a)(b) 6.83% 4.68% 8.84% 9.87% (0.44%) 6.17%
=====================================================================================================
Ratios/supplemental data:
Net assets (dollars in thousands), end of period $44,405 $41,957 $60,649 37,433 $28,899 $23,985
Ratio of expenses to average net assets (b):
Before expense reimbursement 1.01% 1.02% 0.91% 0.67% 0.67% 0.80%
After expense reimbursement 0.95% 0.95% 0.91% 0.67% 0.67% 0.70%
Ratio of net investment income to average net assets(b) 4.86% 5.86% 5.96% 6.87% 6.46% 6.24%
Portfolio turnover rate 51.15% 370.92% 515.02% 280.73% 337.26% 321.09%
- ------------------------------------------------------------------------------------------------------
(a) Total return represents performance of the Trust only and does not include
mortality and expense deductions in separate accounts.
(b) The Adviser and Administrator have contractually agreed to reimburse Fund
expenses to the extent that the ratio of expenses to average net assets
exceeds, on an annual basis, the net expenses defined in Note 3. These
contractual limits may be discounted at any time after April 30, 2004.
The accompanying notes are an integral part of these financial statements.
CONSECO SERIES TRUST
Financial Highlights
For a share outstanding during the six months ended June 30, 2003 (unaudited)
and through the year ended December 31
GOVERNMENT SECURITIES PORTFOLIO
-------------------------------
2003 2002 2001 2000 1999 1998
======================================================================================================
Net asset value per share, beginning of period $12.04 $11.70 $11.54 $10.96 $12.15 $12.04
Income from investment operations:
Net investment income 0.21 0.47 0.54 0.66 0.64 0.69
Net realized gains (losses) and change in
unrealized appreciation or depreciation
on investments 0.08 0.60 0.16 0.58 (1.19) 0.14
- ------------------------------------------------------------------------------------------------------
Total income (loss) from investment operations 0.29 1.07 0.70 1.24 (0.55) 0.83
- ------------------------------------------------------------------------------------------------------
Distributions:
Dividends from net investment income 0.21) (0.47) (0.54) (0.66) (0.64) (0.72)
Distributions of net realized gains -- (0.26) -- -- -- --
- ------------------------------------------------------------------------------------------------------
Total distributions 0.21) (0.73) (0.54) (0.66) (0.64) (0.72)
- ------------------------------------------------------------------------------------------------------
Net asset value per share, end of period $12.12 $12.04 $11.70 $11.54 $10.96 $12.15
- ------------------------------------------------------------------------------------------------------
Total return (a)(b) 2.33% 9.33% 6.13% 11.71% (2.48% 7.07%
- ------------------------------------------------------------------------------------------------------
Ratios/supplemental data:
Net assets (dollars in thousands), end of period $36,434 $41,676 $31,267 $18,833 $13,104 $7,907
Ratio of expenses to average net assets (b):
Before expense reimbursement 1.02% 0.99% 0.91% 0.66% 0.66% 0.96%
After expense reimbursement 0.95% 0.95% 0.91% 0.66% 0.66% 0.70%
Ratio of net investment income to average net assets(b) 3.37% 3.78% 4.60% 5.89% 5.61% 5.63%
Portfolio turnover rate 90.33% 174.37% 199.41% 69.31% 168.69% 67.49%
(a) Total return represents performance of the Trust only and does not include
mortality and expense deductions in separate accounts.
(b) The Adviser and Administrator have contractually agreed to reimburse Fund
expenses to the extent that the ratio of expenses to average net assets
exceeds, on an annual basis, the net expenses defined in Note 3. These
contractual limits may be discounted at any time after April 30, 2004.
The accompanying notes are an integral part of these financial statements.
CONSECO SERIES TRUST
Financial Highlights
For a share outstanding during the six months ended June 30, 2003 (unaudited)
and through the year ended December 31
MONEY MARKET PORTFOLIO
----------------------
2003 2002 2001 2000 1999 1998
===============================================================================================================
Net asset value per share, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
Income from investment operations:
Net investment income 0.00(c) 0.01 0.04 0.06 0.05 0.05
Net realized gains (losses) and change in
unrealized appreciation or depreciation
on investments 0.00(c) (0.00)(c) 0.00(c) -- -- --
- ---------------------------------------------------------------------------------------------------------------
Total income (loss) from investment operations 0.00 0.01 0.04 0.06 0.05 0.05
- ---------------------------------------------------------------------------------------------------------------
Distributions:
Dividends from net investment income (0.00)(c) (0.01) (0.04) (0.06) (0.05) (0.05)
Distributions of net realized gains -- (0.00)(c) -- -- -- --
- ---------------------------------------------------------------------------------------------------------------
Total distributions (0.00) (0.01) (0.04) (0.06) (0.05) (0.05)
- ---------------------------------------------------------------------------------------------------------------
Net asset value per share, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- ---------------------------------------------------------------------------------------------------------------
Total return (a)(b) 0.34% 1.24% 3.97% 6.08% 4.87% 5.21%
- ---------------------------------------------------------------------------------------------------------------
Ratios/supplemental data:
Net assets (dollars in thousands), end of period $62,108 $95,767 $129,530 $96,616 $85,692 $21,218
Ratio of expenses to average net assets (b):
Before expense reimbursement 0.74% 0.73% 0.72% 0.66% 0.65% 0.54%
After expense reimbursement 0.45% 0.45% 0.43% 0.41% 0.40% 0.45%
Ratio of net investment income to average net assets(b) 0.97% 1.23% 3.74% 5.98% 4.93% 5.08%
(a) Total return represents performance of the Trust only and does not include
mortality and expense deductions in separate accounts.
(b) The Adviser and Administrator have contarctually agreed to reimburse Fund
expenses to the extent that the ratio of expenses to average net assets
exceeds, on an annual basis, the net expenses defined in Note 3. These
contractual limits may be discounted at any time after April 30, 2004.
(c) Amount calculated is less than $0.005 per share.
The accompanying notes are an integral part of these financial statements.
CONSECO SERIES TRUST
BOARD OF TRUSTEES
Name, Address Position Held Principal Occupation(s)
and Age With Trust During Past 5 Years
- ---------------------------------------------------------------------------------------------------
William P. Daves, Jr. (77) Chairman of the Board, Consultant to insurance and healthcare
11825 N. Pennsylvania St. Trustee industries. Director, Chairman and Chief
Carmel, IN 46032 Since June 1993 Executive Officer, FFG Insurance Co. Chairman
of the Board and Trustee of other mutual
funds managed by the Adviser.
Maxwell E. Bublitz* (47) President and Trustee Chartered Financial Analyst. CEO, President
11825 N. Pennsylvania St. Since August 1994 and Director, Adviser. Senior Vice President,
Carmel, IN 46032 Investments of Conseco, Inc. President and
Trustee of other mutual funds managed by the
Adviser.
Gregory J. Hahn* (42) Vice President for Chartered Financial Analyst. Senior Vice
11825 N. Pennsylvania St. Investments and Trustee President, Adviser. Portfolio Manager of the
Carmel, IN 46032 Since January 2001 fixed income portion of Balanced and Fixed
Income Funds. Trustee and portfolio manager
of other mutual funds man-aged by the Adviser.
Harold W. Hartley (79) Trustee Chartered Financial Analyst. Director, Ennis
11825 N. Pennsylvania St. Since June 1993 Business Forms, Inc. Retired, Executive Vice
Carmel, IN 46032 President, Tenneco Financial Services, Inc.
Trustee of other mutual funds managed by the
Adviser.
Dr. R. Jan LeCroy (71) Trustee Director, Southwest Securities Group, Inc. Retired,
11825 N. Pennsylvania St. Since June 1993 President, Dallas Citizens Council. Trustee
Carmel, IN 46032 of other mutual funds managed by the Adviser.
Dr. Jess H. Parrish (75) Trustee Higher Education Consultant. Former President,
11825 N. Pennsylvania St. Since June 1993 Midland College. Trustee of other mutual
Carmel, IN 46032 funds managed by the Adviser.
David N. Walthall (57) Trustee Principal, Walthall Asset Management. Former
11825 N. Pennsylvania St. Since October 1998 President, Chief Executive Officer and
Carmel, IN 46032 Director of Lyrick Corporation. Formerly,
President and CEO, Heritage Media Corporation.
Formerly, Director, Eagle National Bank.
Trustee of other mutual funds man-
aged by the Adviser.
* The Trustee so indicated is an "interested person," as defined in the 1940
Act, of the Trust due to the positons indicated with the Adviser and its
affiliates.
All Trustees will serve until their successors are duly elected and qualified.
All Trustees oversee the 17 portfolios that make up the Conseco fund complex
including Conseco Fund Group, Conseco Series Trust, Conseco Strategic Income
Fund and Conseco StockCar Stocks Mutual Fund, Inc.
INVESTMENT ADVISER LEGAL COUNSEL
Conseco Capital Management, Inc. Kirkpatrick & Lockhart LLP
Carmel, Indiana Washington, D.C.
CUSTODIAN INVESTMENT SUB-ADVISERS
The Bank of New York Chicago Equity Partners, LLC
New York, New York Chicago, IL
INDEPENDENT AUDITORS Oak Associates, ltd.
PricewaterhouseCoopers LLP Akron, OH
Indianapolis, Indiana
Conseco Series Trust is a registered investment company managed by Conseco
Capital Management, Inc., a wholly-owned subsidiary of Conseco, Inc., a
financial services organization headquartered in surburban Indianapolis,
Indiana. Conseco, through its subsidiaries and a nationwide network of
distributors, is one of middle America's leading sources for supplemental health
insurance, life insurance and annuities, helping nearly 5 million customers step
up to a better, more secure future.
CONSECO SERIES TRUST
11815 North Pennsylvania Street Carmel,
Indiana 46032
CI-319 ( / ) 06104 (C)
2003 Conseco Series Trust
www.conseco.com
I N S U R A N C E I N V E S T M E N T S L E N D I N G
Item 2. Code of Ethics.
Not applicable to annual reports filed for periods ending before July 15, 2003.
Item 3. Audit Committee Financial Expert.
Not applicable to annual reports filed for periods ending before July 15, 2003.
Item 4. Principal Accountant Fees and Services.
Not required for annual reports filed for periods ending before December 15,
2003.
Item 5. Audit Committee of Listed Registrants.
Not applicable to open-end investment companies.
Item 6. [Reserved]
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End
Management Investment Companies.
Not applicable to open-end investment companies.
Item 8. [Reserved]
Item 9. Controls and Procedures.
(a) Based on their evaluation of the Registrant's Disclosure Controls and
Procedures as of a date within 90 days of the Filing Date, the Registrant's
President and Treasurer/CFO have determined that the Disclosure Controls
and Procedures (as defined in Rule 30a-2(c) under the Act) are designed to
ensure that information required to be disclosed by the Registrant is
recorded, processed, summarized and reported by the filing Date, and that
information required to be disclosed in the report is communicated to the
Registrant's management, as appropriate, to allow timely decisions
regarding required disclosure.
(b) There were no significant changes in the Registrant's internal controls or
in other factors that could significantly affect these controls subsequent
to the date of their evaluation, and there were no corrective actions with
regard to significant deficiencies and material weaknesses.
Item 10. Exhibits.
(a) Any code of ethics or amendment thereto. Not applicable to annual reports
for periods ending before July 15, 2003.
(b) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
Filed herewith.
(c) Certification pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
Furnished herewith.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Conseco Series Trust
By (Signature and Title) /s/ Maxwell E. Bublitz
---------------------------
Maxwell E. Bublitz, President
Date September 4, 2003
---------------------------------------------
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title) /s/ Maxwell E. Bublitz
------------------------
Maxwell E. Bublitz, President
Date: September 4, 2003
----------------------------------------------
By (Signature and Title) /s/ Audrey L. Bruch
------------------------
Audrey L. Bruch, Treasurer
Date: September 4, 2003
----------------------------------------------