-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, F4T/6QbJjtKpe3EuyxHXVXNgtCfWkAOCxzsqAmpXAhwmS6qG+RJLWFmM/+cLlbBt QlV3m65MlPjAWN2J+BtmvA== 0001047469-98-032209.txt : 19980821 0001047469-98-032209.hdr.sgml : 19980821 ACCESSION NUMBER: 0001047469-98-032209 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 19980630 FILED AS OF DATE: 19980819 SROS: NONE FILER: COMPANY DATA: COMPANY CONFORMED NAME: NORTHWESTERN MUTUAL VARIABLE LIFE ACCOUNT CENTRAL INDEX KEY: 0000742277 STANDARD INDUSTRIAL CLASSIFICATION: UNKNOWN SIC - 0000 [0000] STATE OF INCORPORATION: WI FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-30D SEC ACT: SEC FILE NUMBER: 811-03989 FILM NUMBER: 98694710 BUSINESS ADDRESS: STREET 1: 720 E WISCONSIN AVE CITY: MILWAUKEE STATE: WI ZIP: 53202 BUSINESS PHONE: 4142711444 MAIL ADDRESS: STREET 1: 720 EAST WISCONSIN AVENUE CITY: MILWAUKEE STATE: WI ZIP: 53202 FILER: COMPANY DATA: COMPANY CONFORMED NAME: NORTHWESTERN MUTUAL SERIES FUND INC CENTRAL INDEX KEY: 0000742212 STANDARD INDUSTRIAL CLASSIFICATION: [] IRS NUMBER: 391603401 STATE OF INCORPORATION: MD FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-30D SEC ACT: SEC FILE NUMBER: 811-03990 FILM NUMBER: 98694711 BUSINESS ADDRESS: STREET 1: 720 E WISCONSIN AVE CITY: MILWAUKEE STATE: WI ZIP: 53202 BUSINESS PHONE: 4142711444 MAIL ADDRESS: STREET 1: 720 EAST WISCONSIN AVE CITY: MILWAUKEE STATE: WI ZIP: 53202 FORMER COMPANY: FORMER CONFORMED NAME: NORTHWESTERN MUTUAL VARIABLE LIFE SERIES FUND INC DATE OF NAME CHANGE: 19940830 N-30D 1 N-30D June 30, 1998 NORTHWESTERN MUTUAL LIFE The Quiet Company-Registered Trademark- Northwestern Mutual Variable Life Account SEMI-ANNUAL REPORT [GRAPHIC] Northwestern Mutual Series Fund, Inc. The Northwestern Mutual Life Insurance Company 720 East Wisconsin Avenue Milwaukee, WI 53202 CONTENTS HOW TO GET MORE INFORMATION ON YOUR VARIABLE COMPLIFE & VARIABLE LIFE POLICY NML Express provides 24 hour telephone access to your account information by dialing 1-800-519-4NML (1-800-519-4665) Policyowners must provide a policy number plus a Personal Identification Number (PIN) to utilize this service. Call toll-free to review policy values and portfolio performance. If a signed authorization has been returned to the Home Office, policyowners may also transfer among portfolios by phone. For more information about Northwestern Mutual Life, visit us on our Website at WWW.NORTHWESTERNMUTUAL.COM
CONTENTS Letter to Policyowners 1 Performance Summary for Separate Accounts 2 Overview and Outlook 3 Series Fund Objectives and Schedule of Investments 4 Aggressive Growth Stock Portfolio 4 International Equity Portfolio 7 Growth Stock Portfolio 11 Growth and Income Stock Portfolio 14 Index 500 Stock Portfolio 17 Balanced Portfolio 24 High Yield Bond Portfolio 37 Select Bond Portfolio 41 Money Market Portfolio 46 Series Fund Financial Statements 48 Aggressive Growth Stock Portfolio 48 International Equity Portfolio 51 Growth Stock Portfolio 54 Growth and Income Stock Portfolio 57 Index 500 Stock Portfolio 60 Balanced Portfolio 63 High Yield Bond Portfolio 66 Select Bond Portfolio 69 Money Market Portfolio 72 Notes to Series Fund Financial Statements 75 Variable Life Financial Statements 78 Notes to Financial Statements 82 Directors and Officers 89 LETTER TO POLICYOWNERS July 31, 1998 During the first half of 1998, stock and bond markets, as well as the economy as a whole, continued their positive trends. The portfolios underlying Northwestern Mutual's life insurance products continued to performed in line with their stated objectives, providing policyowners returns that will contribute to achieving long-term financial goals. In thinking about the economy and markets at mid-year 1998, it is striking to note how very global our environment has become. Today some of the major factors determining U.S. economic trends and policies in this country are events halfway around the world. After little news from Asia early this year, every day seems to bring some new business or political crisis. It has now been a year since the problems in Asia became apparent, and their reverberations are being felt throughout the world. Our belief from the beginning has been that some time would elapse before the effects of problems in Asia would impact the United States. In recent months, sharply reduced exports to Asia are being felt in the form of a drop in demand for manufactured goods from the United States and other countries and lower prices for a wide variety of commodities. Weaker foreign orders contributed to an inventory buildup in the first quarter, and manufacturers are reducing production to work off excess inventory. It is estimated that the foreign trade deficit subtracted more than two percentage points from real gross domestic product growth in the first six months of 1998. Despite weakness in the industrial sector, the U.S. economy continues to grow, led by free-spending consumers, whose confidence is at a 29-year high. They have good reasons to feel positive: with low inflation, modest raises translate to significant real wage gains; a low rate of unemployment creates good job prospects; and investors in stocks and mutual funds are seeing their net worth increase. At some point, it seems inevitable that a weakening industrial sector, which inevitably means lost jobs, will begin to affect consumers. But, as yet, there is no sign that consumer spending is slowing. A slowdown in manufacturing, though painful for the companies involved, is not necessarily bad for the economy as a whole. In the spring, the Federal Reserve expressed concern that the U.S. economy was overheating and hinted that an increase in interest rates might be necessary in order to avoid a pickup in inflation. It now appears that reduced demand from Asia will cause the economy to slow on its own, without action by the Fed. A spontaneous slowdown, accompanied by continued responsible monetary policies, could enable the economy to cool without going into recession. Consideration of the ongoing problems in Asia leads naturally to the question of when the situation will begin to improve. Japan is the key to the entire region, simply because its economy is by far the largest. In addition, Japan is the leading trading partner of the other Southeast Asian nations. Further, especially after the plummeting stock prices of the last year, the Japanese market is the only one in the region with adequate liquidity to attract foreign investors. In order for recovery to begin in Japan, banking reforms and massive corporate restructurings will be necessary, including layoffs to eliminate layers of redundancy. Such actions are foreign to the Japanese mentality, especially at a time when unemployment, though low by U.S. standards, is unusually high for Japan. Even if the remedies now under discussion to cure Japan's ills are successful, it could be many months before stability is restored. But we are encouraged by signs that the Japanese authorities are considering fairly dramatic measures to resolve the country's problems. We continue to keep a close watch on the economies and markets in the U.S. and abroad. As always, we are investing for the long term, taking current events into account, but basing decisions on long-range prospects. We at Northwestern Mutual appreciate the confidence you have shown in our organization by selecting us to help plan for a secure financial future. The Northwestern Mutual Life Insurance Company [SIGNATURE] James D. Ericson, President and Chief Executive Officer -- 1 PERFORMANCE SUMMARY as of June 30, 1998 VARIABLE LIFE--POLICIES ISSUED BEFORE OCTOBER 11, 1995
Aggressive Growth & Growth International Growth Income Index 500 High Yield Select Money Net Investment Rates of Stock Equity Stock Stock Stock Balanced Bond Bond Market Return (as of 6/30/98) Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio 1 year................. 18.04% 9.71% 31.28% 24.06% 29.13% 19.46% 11.65% 8.08% 4.80% 5 years................ - - - - 170.19% 94.67% - 34.83% 23.00% Annualized........... - - - - 21.99% 14.25% - 6.16% 4.23% 10 years............... - - - - 313.33% 202.30% - 123.97% 62.34% Annualized........... - - - - 15.25% 11.70% - 8.40% 4.96% Since inception........ 108.49%* 70.40%* 140.20%* 126.19%* - - 71.29%* - - Annualized........... 19.32% 13.67% 23.45% 21.68% - - 13.82% - -
VARIABLE COMPLIFE--POLICIES ISSUED ON OR AFTER OCTOBER 11, 1995**
Aggressive Growth & Net Investment Growth International Growth Income Index 500 High Yield Select Money Rates of Return Stock Equity Stock Stock Stock Balanced Bond Bond Market (as of 6/30/98) Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio 1 year........... 18.16% 9.82% 31.41% 24.19% 29.27% 19.58% 11.77% 8.19% 4.91% 5 years.......... - - - - 171.58% 95.67% - 35.52% 23.63% Annualized..... - - - - 22.12% 14.37% - 6.27% 4.33% 10 years......... - - - - 317.59% 205.42% - 126.27% 64.00% Annualized..... - - - - 15.37% 11.81% - 8.51% 5.07% Since inception........ 109.37%* 71.12%* 141.22%* 127.16%* - - 72.01%* - - Annualized..... 19.44% 13.79% 23.58% 21.81% - - 13.93% - -
VARIABLE EXECUTIVE LIFE--POLICIES FIRST OFFERED ON MARCH 2, 1998***
Aggressive Growth & Net Investment Growth International Growth Income Index 500 High Yield Select Money Rates of Return Stock Equity Stock Stock Stock Balanced Bond Bond Market (as of 6/30/98) Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio 1 year........... 18.87% 10.48% 32.20% 24.93% 30.04% 20.30% 12.44% 8.84% 5.54% 5 years.......... - - - - 179.83% 101.63% - 39.66% 27.39% Annualized..... - - - - 22.85% 15.06% - 6.91% 4.96% 10 years......... - - - - 343.71% 224.53% - 140.48% 72.51% Annualized..... - - - - 16.07% 12.49% - 9.17% 5.60% Since inception........ 114.66%* 75.43%* 147.30%* 132.88%* - - 76.35%* - - Annualized..... 20.16% 14.47% 24.32% 22.54% - - 14.61% - -
The net investment rates of return shown above should not be considered a representation of investment results which may be anticipated in the future. The net investment rates of return include investment income, capital gains and all common fees of the divisions of the Variable Life Account, but not the additional charges that are unique to your policy. See the prospectus for a description of the effect of investment performance on policy benefits. Policy benefits reflect the investment rates of return of the divisions in which the policy is invested, and will vary depending on the fees and expenses associated with your policy. * Inception date of 5/3/94. ** Product inception date of 10/11/95. Returns prior to 10/11/95 were reflected using the actual investment experience of each division, adjusted for the expenses of the product. These returns are not a guarantee of future performance. ***Policy first offered March 2, 1998 (For use with non-tax qualified executive benefit plans). As of the date of this report no policies were in force. Returns prior to 3/2/98 were reflected using the actual investment experience of each division. These returns are not a guarantee of future performance. Note: "Standard and Poor's 500" and "S&P 500" are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by The Northwestern Mutual Life Insurance Company. The Series Fund and its Portfolios are not sponsored, endorsed, sold or promoted by Standard & Poor's, and Standard & Poor's makes no representation regarding the advisability of investing in them. IMPORTANT NOTE: The average annual total returns shown with the graphs on the following pages are not an estimate or a guarantee of future performance. These average annual total returns reflect reinvestment of investment income and capital gain distributions, and deduction of investment management fees and fund expenses, but not product charges. See the prospectus for a description of the effect of investment performance on policy benefits. Policy benefits reflect the investment rates of return of the divisions in which the policy is invested, and will vary depending on the insurance and administrative charges, applicable sales charges, and the mortality and expense risk charge associated with the product. These product charges effectively reduce the dollar amount of any net gains and increase the dollar amount of any net losses. The net investment rates of return shown above reflect the product charges borne by each division of the Variable Life Account, but not the additional charges that are unique to your policy. Your Northwestern Mutual Life agent/registered representative of Northwestern Mutual Investment Service ("NMIS") can provide you with actual rates of return for your variable life insurance policy, showing the effect of all of the applicable charges. -- 2 OVERVIEW AND OUTLOOK - -------------------------------------------------------------------------------- THE ECONOMY In the first quarter of 1998, the economy expanded at a very rapid 5.4% annual rate, with continuing strength in both consumer and industrial sectors. It appears that economic growth slackened considerably in the second quarter; data released so far place real growth below 2 percent. For the full year, most economists are forecasting real growth between 2 and 3 percent, with inflation just under 2 percent. The continued overall growth partially masks a major split that has developed between the consumer and industrial sectors of the economy. While consumers continued to spend enthusiastically, especially on housing and autos, there has been a pronounced softening in the manufacturing sector, which has begun to feel the effects of an inventory buildup and Asia's economic crisis. It seems inevitable that a slowdown in manufacturing will eventually affect consumers, as layoffs become necessary. If consumers become less confident and reduce spending moderately, the overall economy may slow spontaneously, easing pressure on the Federal Reserve to raise interest rates as a means of curbing inflation. Economic Growth and Inflation EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
REAL ECONOMIC GROWTH INFLATION 1988 3.8% 4.4% 1989 3.4% 4.6% 1990 1.3% 6.1% 1991 -1.0% 3.1% 1992 2.7% 2.9% 1993 2.3% 2.7% 1994 3.5% 2.7% 1995 2.0% 2.5% 1996 2.2% 3.3% 1997 3.7% 1.7% 1998 2.9% 1.8%
Source: U.S. Department of Commerce. Year-to-year percentage change in Real Gross Domestic Product is used for real economic growth. December-to-December percentage change in the Consumer Price Index -- Urban is used for the inflation rate. 1998 is the consensus forecast of a group of 55 economists surveyed by the WALL STREET JOURNAL. - -------------------------------------------------------------------------------- THE EQUITY MARKET The domestic equity market continued its long-term upward trend during the first half of 1998, but with dramatic differences among returns from various groups of stocks. The large companies that make up the S&P 500 Index were generally strong, while stocks of many smaller companies languished. Within the large-cap and smaller-cap categories, the best performers were stocks of consumer-oriented companies, whose earnings benefited from buoyant spending by U.S. households. In the technology sector, stocks of software companies, especially those with an orientation to the Internet, soared, while producers of semiconductors suffered from slackened Asian demand. Weak commodity prices and indications of a slowdown in the manufacturing sector hurt earnings and stock prices of companies in a broad range of industries including steel, paper and energy. Annual Total Returns from S&P 500 Index EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC 6/30/89 20.2% 6/30/90 16.2% 6/30/91 7.3% 6/30/92 13.4% 6/30/93 13.6% 6/30/94 1.3% 6/30/95 25.9% 6/30/96 25.9% 6/30/97 34.6% 6/30/98 30.0%
Source: Standard & Poor's - -------------------------------------------------------------------------------- THE BOND MARKET In recent months the U.S. bond market has been affected by powerful but opposing circumstances. Lower inflation than was widely anticipated has been accompanied by a flight to quality, as investors flee Asian markets and seek the safety of dollar-denominated assets, exerting upward pressure on U.S. bond prices. At the same time, continued strength in the domestic economy and stock markets has been a negative for the bond market. The result of these two countervailing forces has been unusually low volatility of bond prices. The Asian-inspired flight to quality cannot be regarded as a permanent condition. But if inflation remains low, the bond market could continue to perform well. Annual Total Returns from Merrill Lynch Domestic Master Index EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC 6/30/89 12.4% 6/30/90 7.3% 6/30/91 10.9% 6/30/92 14.1% 6/30/93 11.9% 6/30/94 -1.0% 6/30/95 12.6% 6/30/96 5.0% 6/30/97 8.2% 6/30/98 10.7%
Source: Merrill Lynch. The Merrill Lynch Domestic Master Index is an unmanaged market value weighted index comprised of U.S. Government, mortgage and investment-grade corporate bonds. -- 3 AGGRESSIVE GROWTH STOCK PORTFOLIO - -------------------------------------------------------------------------------- Objective: Portfolio Strategy: Net Assets: Maximum long-term appreciation of Strive for the highest possible rate of capital $1,168,800,557 capital appreciation by investing in companies with potential for rapid growth.
AGGRESSIVE GROWTH STOCK PORTFOLIO The Aggressive Growth Stock Portfolio owns the stocks of emerging growth companies, generally with market capitalizations of less than $3 billion. Since growth stock portfolios tend to react strongly to changes in financial and economic markets, as well as to changes in the prospects for individual companies, returns of this Portfolio can vary considerably from time to time. A higher level of risk (with risk defined as variability of returns over time) is accepted for the potential of greater long-term returns. The focus in stock selection is on the individual companies' ability to generate revenue, expanding profit margins and solid balance sheets; industry sector selection is of secondary importance. The first half of 1998, particularly the second quarter, was a difficult period for managers that concentrate on the stocks of small to mid-sized companies, as the very largest companies accounted for most of the market's gains. Within the small-cap category, performance varied widely among industry groups, with health care and energy very weak; the Portfolio's holdings of oil stocks have been selectively reduced. A strategic decision not to emphasize high-tech shares hurt this fund's performance relative to the indexes with which it is compared. The best-performing holdings in the Portfolio continued to be consumer cyclical stocks, particularly retailers, and service providers that benefit from the trend to outsourcing by businesses. Sector Allocation EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC Technology 24% Consumer Cyclical 15% Business Services 15% Industrial & Transportation 12% Health Care 10% Consumer Staples 9% Finance 5% Energy 4% Short-Term Investments 6%
Top 10 Holdings 6/30/98 EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC Robert Half International, Inc. 2.8% CBT Group Public Limited Company 2.1% Peoplesoft, Incl 2.1% HBO & Company 2.1% Saville Systems PLC - ADR 2.0% Cambridge Technology Partners, Inc. 2.0% Paychex, Inc. 1.9% Tellabs, Inc. 1.7% O'Reilly Automotive, Inc. 1.6% Administaff, Inc. 1.6%
Performance Relative to Relevant Indices EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
AGGRESSIVE GROWTH STOCK WILSHIRE SMALL WILSHIRE NEXT PORTFOLIO CAP INDEX 1750 INDEX 11/90 $10,000 $10,000 $10,000 6/91 12,593 13,189 13,186 6/92 13,994 15,522 15,086 6/93 17,133 19,336 19,108 6/94 19,354 20,012 19,670 6/95 24,448 23,034 23,986 6/96 35,003 28,918 30,256 6/97 36,545 36,061 35,344 6/98 43,439 43,871 42,070 Average Annual Total Return For Periods Ended June 30, 1998 One Year Five Years Since Inception Aggressive Growth Stock Portfolio 18.87% 20.45% 21.38% Wilshire Small Cap Index 21.66% 17.81% 21.54% Wilshire Next 1750 Index 19.03% 17.10% 20.87%
Since the Portfolio invests primarily in small capitalization issues, the indices that best reflect the Portfolio's performance are the Wilshire Next 1750 Index and Wilshire Small Cap Index. The Wilshire Next 1750 is an unmanaged, equally weighted index. Included in this index are those stocks which are ranked 750 to 2500 by market capitalization in the Wilshire 5000. The largest sectors represented in this index are technology, financial services and consumer services. Market capitalization ranges from $1.8 billion to $244 million. The Wilshire Small Cap Index is a subset of the Wilshire Next 1750 and includes 250 stocks chosen based upon their size, sector and liquidity characteristics. Each stock is equally weighted in this unmanaged index. The average market capitalization is approximately $930 million. The largest sector weightings include technology, financial services, and consumer services. On May 3, 1994, the Northwestern Mutual Aggressive Growth Stock Fund, Inc. (the "Fund") merged into the Northwestern Mutual Series Fund, Inc. Aggressive Growth Stock Portfolio (the "Portfolio"). The Portfolio had no assets prior to the merger. After the merger, the assets of the Portfolio were those of the Fund. The investment objectives, policies, management and expenses of the Portfolio are identical to those of the Fund. Accordingly, the performance of the Fund prior to the merger is included with the performance of the Portfolio in the graph and total return figures above. This chart assumes an initial investment of $10,000 made on 11/30/90 (commencement of the Fund's operations). Returns shown include deductions for management and other fund expenses, and reinvestment of all dividends. Returns exclude deductions for separate account sales loads and account fees. Past performance is not predictive of future performance. Investment return and principal value will fluctuate, so that your shares, when redeemed, may be worth more or less than their original cost. Accumulation unit values, which reflect deduction of charges for the separate account, are shown on page 2. -- 4 AGGRESSIVE GROWTH STOCK PORTFOLIO NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1998
MARKET SHARES/ VALUE COMMON STOCK (94.2%) PAR (000'S) - --------------------------------------------------------------------------------- BASIC MATERIALS (1.6%) *Cambrex Corporation 426,700 $ 11,201 *Ivex Packaging Corporation 297,200 6,910 ----------- TOTAL 18,111 ----------- BUSINESS SERVICES (11.4%) *ABR Information Services, Inc. 290,100 6,890 *Administaff, Inc. 409,100 18,870 *Billing Information Concepts 464,600 7,201 Cintas Corp. 366,500 18,692 *Interim Services, Inc. 481,800 15,478 *Metzler Group, Inc. 422,550 15,476 *Robert Half International, Inc. 586,550 32,773 *Steiner Leisure, Ltd. 350,250 10,595 Stewart Enterprises, Inc. 275,100 7,325 ----------- TOTAL 133,300 ----------- CAPITAL GOODS (6.5%) *Jabil Circuit, Inc. 139,800 4,622 Kaydon Corporation 375,100 13,246 #,*Kaynar Technologies, Inc. 304,700 7,160 *Kellstrom Industries, Inc. 156,300 4,528 Molex Incorporated 366,346 8,563 *Qlogic Corporation 218,800 7,808 *Tetra Tech, Inc. 527,875 12,801 *Tristar Aerospace, Co. 517,600 8,023 *Triumph Group, Inc. 226,500 9,513 ----------- TOTAL 76,264 ----------- COMMUNICATION SERVICES (3.6%) *IDT Corporation 287,200 8,634 *Pacific Gateway Exchange, Inc. 242,000 9,695 *Saville Systems PLC - ADR 476,400 23,880 ----------- TOTAL 42,209 ----------- CONSUMER CYCLICAL (14.8%) *99 Cents Only Stores 188,900 7,839 *Catalina Marketing Corporation 251,200 13,047 *Concord EFS, Inc. 474,950 12,408 *CSG Systems International, Inc. 226,800 10,631 *Dollar Tree Stores, Inc. 414,300 16,831 Fastenal Co. 225,700 10,481 General Cable Corporation 408,600 11,798 *Jones Apparel Group, Inc. 486,400 17,784 #,*K&G Men's Center, Inc. 529,150 11,972 *Kohl's Corporation 314,900 16,335 *Lamar Advertising, Co. 127,600 4,578 *Michaels Stores, Inc. 276,700 9,762 *O'Reilly Automotive, Inc. 531,600 19,138 *Tower Automotive, Inc. 252,300 10,817 Watsco, Inc. 100 4 ----------- TOTAL 173,425 ----------- MARKET SHARES/ VALUE COMMON STOCK (94.2%) PAR (000'S) - --------------------------------------------------------------------------------- CONSUMER STAPLES (8.7%) *American Italian Pasta Co. - CL A 344,300 $ 12,825 *Blyth Industries, Inc. 322,800 10,733 Cardinal Health, Inc. 197,218 18,489 *Chancellor Media Corp. 344,900 17,126 *Clear Channel Communications, Inc. 134,300 14,655 *Gemstar International Group Limited 293,600 10,992 *Heftel Broadcasting Corporation 57,200 2,560 *Patterson Dental Company 378,125 13,849 ----------- TOTAL 101,229 ----------- ENERGY (4.6%) *Barrett Resources Corporation 303,900 11,377 *BJ Services Company 307,100 8,925 *EVI, Inc. 229,200 8,509 *Global Industries, Ltd. 650,600 10,979 Tosco Corporation 178,900 5,255 Transocean Offshore Inc. 202,400 9,007 ----------- TOTAL 54,052 ----------- FINANCE (5.6%) *Affiliated Managers Group 257,000 9,541 CMAC Investment Corp. 162,300 9,981 *ESG Re Limited 251,900 5,447 *Headlands Mortgage Company 494,600 9,274 Investors Financial Services Corp. 205,400 10,886 Life Re Corporation 104,200 8,544 *Trammell Crow Company 360,000 12,038 ----------- TOTAL 65,711 ----------- HEALTHCARE (9.8%) *Concentra Managed Care, Inc. 392,261 10,199 *Lincare Holdings, Inc. 368,900 15,517 *NCS Healthcare, Inc. 307,500 8,764 *Pediatrix Medical Group, Inc. 196,900 7,322 *Pharmerica, Inc. 652,800 7,874 *PhyCor, Inc. 304,900 5,050 *PSS World Medical, Inc. 504,600 7,380 *Quintiles Transnational Corp. 261,200 12,848 *Quorum Health Group, Inc. 352,300 9,336 *Sybron International Corporation 509,000 12,852 *VWR Scientific Products Corporation 306,500 7,548 *Wesley Jessen VisionCare, Inc. 418,600 9,680 ----------- TOTAL 114,370 ----------- TECHNOLOGY (24.0%) *Cambridge Technology Partners, Inc. 433,300 23,669 *CBT Group Public Limited Company 457,500 24,476 *Ciena Corp. 179,100 12,470 *Computer Horizons Corp. 315,950 11,710
-- 5 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1998
MARKET SHARES/ VALUE COMMON STOCK (94.2%) PAR (000'S) - --------------------------------------------------------------------------------- TECHNOLOGY (CONTINUED) *DST Systems, Inc. 258,700 $ 14,487 *Evolving Systems, Inc. 159,200 1,761 Galileo International, Inc. 345,000 15,547 *Gasonics International Corporation 439,800 3,079 *Getty Images, Inc. 463,800 10,320 HBO & Company 681,200 24,012 *Hyperion Software Corporation 328,000 9,348 *Integrated Process Equipment Corp. 321,700 3,619 Paychex, Inc. 534,032 21,728 Peoplesoft, Inc. 511,800 24,055 *PMC-Sierra, Inc. 225,700 10,580 *Semtech Corporation 362,800 6,417 *Sterling Software, Inc. 539,000 15,934 *Tellabs, Inc. 274,700 19,675 *Transaction Systems Architects, Inc. 195,700 7,534 *Uniphase Corporation 209,600 13,159 *World Access, Inc. 211,600 6,348 ----------- TOTAL 279,928 ----------- TRANSPORTATION (3.6%) *Coach USA, Inc. 410,900 18,747 *Heartland Express, Inc. 415,600 8,416 *Knight Transportation, Inc. 467,900 8,949 *Swift Transportation Co., Inc. 328,400 6,506 ----------- TOTAL 42,618 ----------- TOTAL COMMON STOCK 1,101,217 ----------- MARKET SHARES/ VALUE MONEY MARKET INVESTMENTS (6.3%) PAR (000'S) - --------------------------------------------------------------------------------- AUTOMOBILE REPAIR, SERVICES & PARKING (0.6%) PHH Corporation, 6.35%, 7/1/98 7,400,000 $ 7,400 ----------- FINANCE (1.7%) CXC Incorporated, 5.52%, 7/15/1998 20,200,000 20,157 ----------- MARKET SHARES/ VALUE MONEY MARKET INVESTMENTS (6.3%) PAR (000'S) - --------------------------------------------------------------------------------- PERSONAL CREDIT INSTITUTIONS (3.8%) Commercial Credit Corporation, 5.55%, 7/29/98 20,000,000 $ 19,914 General Electric Capital Corporation, 5.52%, 7/8/98 25,000,000 24,973 ----------- TOTAL 44,887 ----------- FEDERAL GOVERNMENT AND AGENCIES (0.2%) Federal Home Loan Mortgage Association, 5.43%, 8/21/98 2,000,000 1,985 ----------- TOTAL 1,985 ----------- TOTAL MONEY MARKET INVESTMENTS 74,429 ----------- TOTAL INVESTMENTS (100.5%) (COST $763,563,226)^ 1,175,646 OTHER ASSETS, LESS LIABILITIES (-0.5%) (6,845) ----------- TOTAL NET ASSETS (100.0%) $1,168,801 -----------
* Non-Income Producing ADR--American Depository Receipt ^At June 30, 1998, the aggregate cost of securities for federal income tax purposes was $763,563,226 and the net unrealized appreciation of investments based on that cost was $412,082,982 which is comprised of $434,544,520 aggregate gross unrealized appreciation and $22,461,538 aggregate gross unrealized depreciation. #Affiliated Company. The fund has ownership of at least 5% of the outstanding voting shares. Affiliated transactions during the six months ended June 30, 1998, include:
PURCHASES SALES --------------------- -------------------- SHARES COST SHARES AMOUNT --------- ---------- --------- --------- Kaynar Technologies, Inc. 72,500 $1,819,638 -- $-- K&G Men's Center, Inc. 11,000 278,438 -- --
The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) -- 6 INTERNATIONAL EQUITY PORTFOLIO - -------------------------------------------------------------------------------- Objective: Portfolio Strategy: Net Assets: Long-term appreciation of Participate in the growth of foreign economies $741,889,395 capital through diversification by investing in securities with high long-term into markets outside the United earnings potential relative to current market States values.
INTERNATIONAL EQUITY PORTFOLIO The International Equity Portfolio offers contract owners the opportunity to participate in the growth of companies in countries throughout the world, particularly those with expanding economies. In selecting investments, the principal focus is on identifying undervalued stocks of companies with strong finances and good long-term growth opportunities, rather than on choosing regions of the world in which to invest. The Portfolio is normally fully invested in equity securities. The Portfolio is concentrated in Europe, where equity markets have been quite strong in recent months. In Europe, as in the U.S. markets, the largest and most favored companies continue to exhibit the strongest performance. Restructurings and consolidation in many industries are contributing to higher stock prices. Investments in Mediterranean markets such as Italy and Spain have performed well, as these economies have responded to the positive implications of a unified European currency, which is scheduled for implementation in January 1999. Modest exposure to Asian markets helped the Portfolio to perform far better than the Europe-Australasia-Far East Index, with which it is compared. With equity prices throughout the region having dropped substantially, there are now opportunities to make selective investments in high quality Asian companies with strong balance sheets. The International Equity Portfolio is managed for Northwestern Mutual by Templeton Investment Counsel, Inc. Asset Allocation 6/30/98 EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC Europe 69% Latin America 9% Asia 6% Australia/New Zealand 5% North America 3% Non-equity holdings 8%
Top 10 Holdings 6/30/98 EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC Aegon NV Netherlands 2.5% Philips Electronic, Inc. Netherlands 2.4% Deutsche Bank AG Germany 2.2% Rhone Poulenc SA, Series "A" France 2.2% AXA-UAP SA France 2.0% Telefonica de Espania Spain 2.0% Courtaulds PLC U.K. 1.9% BTR, PLC "A" U.K. 1.8% Volvo Aktiebolaget, B Free Sweden 1.7% YPF S.A., ADR Argentina 1.7%
Performance Relative to the EAFE Index EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
INTERNATIONAL EQUITY PORTFOLIO EAFE INDEX 4/93 $10,000 $10,000 6/93 $10,118 $10,202 6/94 $12,155 $11,936 6/95 $13,487 $12,175 6/96 $15,569 $13,831 6/97 $19,751 $15,650 6/98 $ 21,822 $16,651 Average Annual Total Return For Periods Ended June 30, 1998 One Year Since Inception International Equity Portfolio 10.48% 16.30% EAFE Index 6.40% 10.37%
As depicted in the graph, the International Equity Portfolio is compared against the Morgan Stanley Capital International EAFE ("Europe-Australasia-Far East") Index. The index is composed of approximately 1100 companies in 20 countries in Europe and the Pacific Basin. The objective of the index is to reflect the movements of stock markets in these countries by representing an unmanaged (indexed) portfolio within each country. The indices are constructed so that companies chosen represent about 60% of market capitalization in each market; industry composition of the market is reflected; and a cross section of large, medium, and small capitalization stocks is included, taking into account liquidity concerns. The index is calculated in U. S. dollars. On May 3, 1994, the Northwestern Mutual International Equity Fund, Inc. (the "Fund") merged into the Northwestern Mutual Series Fund, Inc., International Equity Portfolio (the "Portfolio"). The Portfolio had no assets prior to the merger. After the merger, the assets of the Portfolio were those of the Fund. The investment objectives, policies, management and expenses of the Portfolio are identical to those of the Fund. Accordingly, the performance of the Fund prior to the merger is included with the performance of the Portfolio in the graph and total return figures above. This chart assumes an initial investment of $10,000 made on 4/30/93 (commencement of the Fund's operations). Returns shown include deductions for management and other fund expenses, and reinvestment of all dividends. Returns exclude deductions for separate account sales loads and account fees. Past performance is not predictive of future performance. Investment return and principal value will fluctuate, so that your shares, when redeemed, may be worth more or less than their original cost. Accumulation unit values, which reflect deduction of charges for the separate account, are shown on page 2. -- 7 INTERNATIONAL EQUITY PORTFOLIO NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1998
MARKET SHARES/ VALUE COMMON STOCK (92.5%) COUNTRY PAR (000'S) - ---------------------------------------------------------------- CAPITAL EQUIPMENT (8.7%) ABB AG Baden Bearer Swtz. 4,730 $ 6,985 Alcatel Alsthom DG Fr. 58,519 11,915 BICC PLC U.K. 1,450,345 3,170 BTR PLC U.K. 202,312 546 BTR, PLC "A" U.K. 4,610,531 13,077 Granges AB Swe. 188,100 3,444 Hong Kong Aircraft & Engineering H.K. 257,900 399 Kyudenko Corp. Jpn. 33,000 216 Philips Electronic, Inc. Neth. 208,400 17,519 Sirti SPA Italy 643,000 3,498 VA Technologies AG Bearer Aus. 30,000 3,732 ----------- TOTAL 64,501 ----------- CONSUMER GOODS (11.5%) #Autoliv, Inc., IDR Swe. 65,000 2,078 Autoliv, Inc. Swe. 279,100 8,827 Cafe de Coral Holdings, Ltd. H.K. 7,672,000 2,624 CP Feedmill Public Company Limited Thai. 2,609,900 96 Electrolux A B Free Swe. 241,000 4,140 Fiat SPA Ord. Italy 1,527,900 6,687 Fisher & Paykel Industries Ltd. N.Z. 6,734,996 2,472 Hillsdown Holdings U.K. 1,800,892 4,898 Medeva PLC U.K. 4,250,000 12,055 Nycomed Amersham PLC U.K. 1,336,860 9,930 Tate & Lyle, PLC U.K. 762,600 6,047 +Teva Pharmaceutical Industries Ltd., ADR Israel 178,200 6,270 The Oshawa Group Ltd., Class "A" Can. 187,300 3,375 Vitro SA NPV Mex. 768,400 1,628 Volvo Aktiebolaget, B Free Swe. 433,000 12,895 Yizheng Chemical Fibre Company China 12,469,200 1,400 ----------- TOTAL 85,422 ----------- ENERGY (12.7%) BG PLC U.K. 701,752 4,057 *Centrica PLC U.K. 1,913,200 3,224 *CEZ Ceske Energeticke Zavody Chez. 101,990 2,819 Electricidad de Caracas Venz. 10,543 5 Endseta National de Electric Sp. 252,000 5,523 EVN Energie Versorgung Aus. 38,400 5,746 +Gazprom, ADR (144A) Rus. 142,100 1,574 MARKET SHARES/ VALUE COMMON STOCK (92.5%) COUNTRY PAR (000'S) - ---------------------------------------------------------------- ENERGY (CONTINUED) +Gener S.A., ADR Chile 95,400 $ 1,741 Hong Kong Electric H.K 1,790,000 5,544 Iberdrola S.A. Sp. 587,500 9,556 Korea Electric Power Corp. Kor. 33,000 352 +Korea Electric Power Corp., ADR Kor. 35,425 252 National Power U.K. 493,764 4,646 Petroleo Brasileiro SA - Petrobras Braz. 32,500,000 6,041 *Ranger Oil Limited Can. 821,200 6,005 Repsol S.A. Sp. 122,000 6,718 Saga Petroleum Norw. 260,000 3,998 Societe Nationale Elf Aquitaine Fr. 66,801 9,391 Thames Water U.K. 251,023 4,569 +YPF S.A., ADR Arg. 418,500 12,581 ----------- TOTAL 94,342 ----------- FINANCE (24.2%) Aegon NV Neth. 212,384 18,480 Australia & New Zealand Bank Group Austrl. 926,097 6,389 AXA-UAP SA Fr. 131,063 14,741 Banco Bradesco SA Braz. 623,750,000 5,204 Banco de Andulucia Sp. 30,000 6,349 Banco Itau S.A. Braz. 2,079,000 1,186 Bangkok Bank Public Company Ltd Thai. 3,193,000 3,925 Banque Nationale de Paris Fr. 135,400 11,063 +Banque Nationale de Paris, ADR (144A) Fr. 146,500 11,970 Barclay's Bank, PLC U.K. 245,016 7,081 BPI SGPS SA Port. 201,963 6,517 Canadian Imperial Bank of Commerce Can. 113,200 3,641 +Corproacion Bancaria de Espana S.A., ADR Sp. 195,000 8,799 Credit Commercial de France Fr. 25,500 2,147 Deutsche Bank AG Ger. 193,600 16,394 HSBC Holdings U.K. 214,979 5,271 India Fund, Series "B" U.K. 1,256,515 1,614 ING Groep NV Neth. 190,000 12,441 #Korea International Trust, IDR Kor. 52 475 Korea Long Term Credit Bank Kor. 170,050 316 Merita Limited "A" Fin. 1,800,000 11,877 *Panin Bank - Warrants Indo. 763,714 2
-- 8 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1998
MARKET SHARES/ VALUE COMMON STOCK (92.5%) COUNTRY PAR (000'S) - ---------------------------------------------------------------- FINANCE (CONTINUED) Peregrine Investments Holdings , Ltd. H.K. 262,000 $ -- Suisse Group Credit Swtz. 55,725 12,399 Svenska Handelsbanken S.A. Swe. 230,000 10,671 Unibanco Uniao de Bancos Braz. 14,033,500 830 ----------- TOTAL 179,782 ----------- GOLD MINES (0.1%) Anglo American Platinum Corporation So. Africa 35,700 391 ----------- MATERIALS (12.7%) Agrium, Inc. Can. 473,300 5,975 Bayer AG Ger. 157,000 8,098 British Steel PLC U.K. 5,270,900 11,587 Carte Holt Harvey Ltd. N.Z. 3,929,357 3,427 Courtaulds PLC U.K. 1,851,700 13,733 Elkem A S Oslo ord "A" Norw. 192,000 2,302 European Vinyls Corp. EVC International Neth. 68,985 1,204 Grupo Mexico, B Shares Mex. 1,320,000 3,614 Hepworth PLC U.K. 607,200 2,173 Korea Chemical Company, Ltd. Kor. 16,700 238 Metsa Serla OY "B" Fin. 277,500 2,681 +Minorco SA, ADR Lux. 318,150 3,798 P.T. Barito Pacific Timber Indo. 637,000 11 +Pechiney "A", ADR Fr. 48,183 969 Pechiney SA "A" Fr. 19,000 765 Pioneer International Ltd. Austrl. 3,197,946 7,624 Rhone Poulenc SA, Series A Fr. 283,108 15,967 Siam City Cement Public Co., Ltd. Thai. 240,039 170 Stora Kapparbergs, Series "B" Swe. 350,000 5,530 Union Minerie, NPV Bel. 65,171 4,028 ----------- TOTAL 93,894 ----------- MULTI-INDUSTRY (4.0%) Amer Group Ltd., "A" Fin. 175,000 3,381 Comp Gen de Industrieset de Partec Fr. 4,500 2,378 Elementis PLC U.K. 1,494,000 3,839 Hutchinson Whampoa H.K. 798,000 4,202 Jardine Matheson Holdings Sing. 1,212,301 3,273 Jardine Strategic Holdings Sing. 1,019,055 1,936 MARKET SHARES/ VALUE COMMON STOCK (92.5%) COUNTRY PAR (000'S) - ---------------------------------------------------------------- MULTI-INDUSTRY (CONTINUED) Marine Wendel SA Fr. 11,490 $ 2,115 Nokia Corp., "A" Fin. 67,000 4,928 Swire Pacific Class "A" H.K. 472,500 1,784 Swire Pacific Limited "B" H.K. 3,534,200 2,127 ----------- TOTAL 29,963 ----------- SERVICES (18.6%) Air New Zealand Ltd. "B" N.Z. 1,150,000 1,236 Brierley Investments Ltd. N.Z. 5,716,091 2,848 British Telecom U.K. 608,000 7,497 +Compania Anonima Nacional, ADR Venz. 226,700 5,668 +Compania de Telecommunicaciones, ADR Chile 155,125 3,151 David Jones Ltd. Austrl. 742,100 850 Esselte AB, Series "A" Free Swe. 269,900 5,990 Hitachi Zosen Corporation Jpn. 192,000 310 Hong Kong Telecommunications Ltd. H.K. 6,100,000 11,415 Hyder PLC U.K. 371,666 5,842 Hyder PLC Cum. Red. Pfd. U.K. 401,400 807 Koninklijke Bijenkorf Beheer Neth. 44,098 3,089 Mayne Nickless Ltd. Austrl. 1,336,500 7,076 Moebel Walther AG PFD Ger. 25,270 1,190 +Phillipine Long Distance Telephone, ADR Phil. 127,000 2,873 +PT Indosat, ADR Indo. 146,600 1,631 +Quantas Airways (144A) ADR Austrl. 165,000 2,483 SBC Communications, (DECS) U.S 99,350 4,508 Singapore Airlines Ltd. Sing. 105,000 491 Societe Generale de Surv Holdings Swtz. 885 1,500 Somerfield PLC U.K. 860,766 5,501 South China Morning Post Ltd. H.K. 2,554,000 1,228 Telebras Braz. 17,646,200 1,404 +Telebras, ADR Braz. 81,900 8,942 Telecom Italia SPA Italy 2,490,000 12,054
-- 9 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1998
MARKET SHARES/ VALUE COMMON STOCK (92.5%) COUNTRY PAR (000'S) - ---------------------------------------------------------------- SERVICES (CONTINUED) +Telefonica de Argentina SA, ADR Argentina 146,300 $ 4,746 +Telefonica de Espania Sp. 315,000 14,588 +Telefonica del Peru SA "B", ADR Peru 115,300 2,356 Telefonos de Mexico SA Mex. 117,802 5,662 Thorn PLC U.K. 1,816,599 7,335 +*Waste Management International PLC, ADR U.K. 168,000 1,827 *Waste Management International, PLC U.K. 310,700 1,726 ----------- TOTAL 137,824 ----------- TOTAL COMMON STOCK 686,119 -----------
MARKET VALUE BONDS (0.0%) COUNTRY PAR (000'S) - ------------------------------------------------------------------- PIV Financial Investments, Ltd., 4.5%, 12/01/00 H.K. 2,750,000 $ 316 ----------- TOTAL BONDS 316 -----------
MARKET MONEY MARKET INVESTMENTS VALUE (7.1%) COUNTRY PAR (000'S) - ------------------------------------------------------------------- AUTOMOBILE REPAIR, SERVICES & PARKING (2.3%) PHH Corporation, 6.35%, 7/1/98 U.S. 16,800,000 $ 16,800 ----------- PERSONAL CREDIT INSTITUTIONS (2.5%) Beneficial Corp, 5.52%, 7/10/98 U.S. 7,000,000 6,990 Commercial Credit Company, 5.55%, 7/29/98 U.S. 7,000,000 6,970 General Electric Capital, 5.53%, 7/08/98 U.S. 4,700,000 4,695 ----------- TOTAL 18,655 ----------- PETROLEUM AND COAL PRODUCTS (2.3%) E. I. Dupont De Nemours, 5.55%, 8/7/98 U.S. 12,000,000 11,932 MARKET MONEY MARKET INVESTMENTS VALUE (7.1%) COUNTRY PAR (000'S) - ------------------------------------------------------------------- PETROLEUM AND COAL PRODUCTS (CONTINUED) E. I. Dupont De Nemours, 5.52%, 7/22/98 U.S. 5,000,000 $ 4,984 ----------- TOTAL 16,916 ----------- TOTAL MONEY MARKET INVESTMENTS 52,371 ----------- TOTAL INVESTMENTS (99.6%) (COST $592,403,304)^ 738,806 OTHER ASSETS, LESS LIABILITIES (0.4%) 3,083 ----------- TOTAL NET ASSETS (100.00%) $ 741,889 -----------
* Non-Income Producing ** GDR-Global Depository Receipt + ADR-American Depository Receipt # IDR-International Depository Receipt 144A after the name of a security represents a security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. Investment Percentages by Country: 19.46% United Kingdom 11.23 France 8.85 United States 7.10 Netherlands 6.94 Spain 6.03 Sweden 40.39 Other 100.00% Total ^At June 30, 1998, the aggregate cost of securities for federal income tax purposes was $592,403,304 and the net unrealized appreciation of investments based on that cost was $146,402,294 which is comprised of $223,715,744 aggregate gross unrealized appreciation and $77,313,450 aggregate gross unrealized depreciation. The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) -- 10 GROWTH STOCK PORTFOLIO - -------------------------------------------------------------------------------- Objective: Portfolio Strategy: Net Assets: Long-term appreciation of Hold a diversified mix of high quality growth $349,284,394 capital with moderate risk stocks of medium and large companies with above-average potential for earnings growth.
GROWTH STOCK PORTFOLIO The Growth Stock Portfolio is invested in high quality companies of large to medium capitalization with strong financial characteristics and the ability to generate internal growth. A key factor in stock selection is the choice of industries with good earnings potential, based on analysis of economic trends to determine their impact on various sectors of the economy. Stock selection is made through "top down" analysis: first industry and market sector choices are made based on the economic environment, and then the most promising companies within each sector are selected as holdings. A strategy of this portfolio is to go beyond the most familiar "blue chip" names to seek out medium-sized companies with stock prices that do not yet reflect their potential for growth. Diversification across 70 to 90 stocks in a wide range of industry groups reduces the Portfolio's risk profile. For the first half of 1998 the Portfolio performed very well, benefiting from both industry and individual stock selection. An overweighting of consumer cyclical stocks, especially retailers, was advantageous, as buoyant consumer spending pushed earnings and stock prices up in this sector. Continued market leadership by very large companies such as General Electric and Microsoft, which are among the Portfolio's major holdings, also contributed to performance. In addition to these familiar names, mid-sized companies selected for favorable fundamentals such as Harley-Davidson and ServiceMaster, registered significant gains. An underweighting of basic industries proved to be a good decision, as the industrial sector of the economy weakened. Sector Allocation EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC Consumer Staples 16% Consumer Cyclicals 15% Finance 13% Basic Materials/Capital Goods 11% Technology 11% Health Care 8% Other Industries 7% Energy 6% Index Futures 6% Cash Equivalents 7%
Top 10 Holdings 6/30/98 EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
COMPANY % OF NET ASSETS General Electric Company 3.1% Kohls Department Stores 2.1% Pfizer, Inc. 2.0% Microsoft Corporation 1.9% Fiserv 1.9% Harley Davidson, Inc. 1.9% PepsiCo, Inc. 1.9% Wal-Mart Stores, Inc. 1.8% Tyco International, Ltd. 1.8% Morgan Stanley Dean Witter & Co. 1.8%
Performance Relative to S&P 500 Index EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
GROWTH STOCK PORTFOLIO S&P 500 INDEX 5/94 $10,000 $10,000 6/94 $9,884 $9,845 6/95 $11,626 $12,394 6/96 $14,694 $15,604 6/97 $18,707 $21,000 6/98 $24,730 $27,306 Average Annual Total Return For Periods Ended June 30, 1998 One Year Since Inception Growth Stock Portfolio 32.20% 24.32% S&P 500 Index 30.03% 27.32%
The Standard & Poor's 500 Composite Stock Price Index is an unmanaged index of 500 selected common stocks, most of which are listed on the New York Stock Exchange. The index is heavily weighted toward stocks with large market capitalizations and represents approximately two-thirds of the total market value of all domestic common stocks. This chart assumes an initial investment of $10,000 made on 5/3/94 (commencement of operations). Returns shown include deductions for management and other fund expenses, and reinvestment of all dividends. Returns exclude deductions for separate account sales loads and account fees. Past performance is not predictive of future performance. Investment return and principal value will fluctuate, so that your shares, when redeemed, may be worth more or less than their original cost. Accumulation unit values, which reflect deduction of charges for the separate account, are shown on page 2. -- 11 GROWTH STOCK PORTFOLIO NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30,1998
MARKET SHARES/ VALUE COMMON STOCK (87.5%) PAR (000'S) - --------------------------------------------------------------------------------- BASIC MATERIALS (2.7%) Ecolab, Inc. 181,900 $ 5,639 Monsanto Company 68,600 3,833 --------- TOTAL 9,472 --------- CAPITAL GOODS (8.2%) AlliedSignal, Inc. 70,500 3,128 Avery Dennison Corporation 72,500 3,897 Emerson Electric Co. 49,300 2,976 General Electric Company 118,300 10,765 Tyco International Ltd. 100,600 6,338 *USA Waste Services, Inc. 32,300 1,595 --------- TOTAL 28,699 --------- COMMUNICATION SERVICES (3.6%) AT&T Corp. 30,700 1,754 MCI Communications Corporation 89,900 5,225 *Teleport Communications Group, Inc. 36,700 1,991 *WorldCom, Inc. 73,900 3,580 --------- TOTAL 12,550 --------- CONSUMER CYCLICAL (15.8%) *Barnes & Noble, Inc. 71,000 2,658 Borg-Warner Automotive, Inc. 48,900 2,350 *Federated Department Stores, Inc. 40,100 2,158 Ford Motor Company 62,000 3,658 Harley-Davidson, Inc. 171,500 6,646 Home Depot, Inc. 59,750 4,963 *Kohl's Corporation 140,600 7,294 Mattel, Inc. 91,081 3,854 McGraw-Hill Companies Inc. 26,600 2,170 The New York Times Company 55,800 4,422 Servicemaster Co. 163,500 6,223 Tribune Company 36,000 2,477 Wal-Mart Stores, Inc. 105,900 6,433 --------- TOTAL 55,306 --------- CONSUMER STAPLES (15.9%) *Benckiser N.V. 77,300 4,768 Campbell Soup Company 52,800 2,805 Dial Corp. 131,000 3,398 Gillette Company 39,600 2,245 Hershey Foods Corporation 77,300 5,334 McDonald's Corporation 43,200 2,981 Newell Co. 101,600 5,061 PepsiCo, Inc. 157,100 6,471 Philip Morris Companies, Inc. 45,500 1,792 Procter & Gamble Company 52,700 4,799 The Quaker Oats Company 52,800 2,901 Unilever NV 51,100 4,034 Walgreen Co. 131,200 5,420 Walt Disney Company 34,300 3,604 --------- TOTAL 55,613 --------- MARKET SHARES/ VALUE COMMON STOCK (87.5%) PAR (000'S) - --------------------------------------------------------------------------------- ENERGY (5.8%) British Petroleum Company PLC 39,000 $ 3,442 Chevron Corporation 14,800 1,229 Diamond Offshore Drilling, Inc. 50,000 2,000 Exxon Corporation 26,800 1,911 Mobil Corporation 38,600 2,958 *R&B Falcon Corporation 60,900 1,378 Schlumberger Limited 44,600 3,047 Tosco Corporation 80,400 2,362 Transocean Offshore Inc. 39,600 1,762 --------- TOTAL 20,089 --------- FINANCE (12.8%) Associates First Capital Corporation 76,104 5,851 Banc One Corporation 58,100 3,243 BankAmerica Corporation 57,000 4,927 The Bank New York Company, Inc. 27,700 1,681 Chase Manhattan Corporation 46,680 3,524 Citicorp 17,300 2,582 First Union Corporation 65,100 3,792 Franklin Resources, Inc. 84,800 4,579 Merrill Lynch & Co. 42,300 3,902 Morgan Stanley Dean Witter & Co. 68,700 6,277 Travelers Group, Inc. 71,200 4,317 --------- TOTAL 44,675 --------- HEALTHCARE (7.7%) Bristol-Myers Squibb Company 46,100 5,299 Eli Lilly and Company 46,900 3,098 Guidant Corporation 18,300 1,305 *HEALTHSOUTH Corporation 94,224 2,515 Johnson & Johnson 37,100 2,736 Medtronic, Inc. 10,500 669 Merck & Co., Inc. 31,400 4,200 Pfizer, Inc. 65,400 7,108 --------- TOTAL 26,930 --------- TECHNOLOGY (10.7%) *Cisco Systems, Inc. 49,000 4,511 Compaq Computer Corporation 69,400 1,969 *DST Systems, Inc. 55,200 3,091 *Fiserv, Inc. 157,650 6,695 Hewlett-Packard Company 37,400 2,239 Intel Corporation 42,300 3,135 International Business Machines Corporation 38,400 4,409 Lucent Technologies, Inc. 36,342 3,023 *Microsoft Corporation 61,900 6,708 W.W. Grainger, Inc. 30,000 1,494 --------- TOTAL 37,274 --------- TRANSPORTATION (4.3%) *AMR Corporation 34,800 2,897 Canadian National Railway Company 61,500 3,267
-- 12 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30,1998
MARKET SHARES/ VALUE COMMON STOCK (87.5%) PAR (000'S) - --------------------------------------------------------------------------------- TRANSPORTATION (CONTINUED) *FDX Corporation 36,400 $ 2,284 *Midwest Express Holdings, Inc. 103,500 3,745 Southwest Airlines Co. 95,900 2,841 --------- TOTAL 15,034 --------- TOTAL COMMON STOCK 305,642 ---------
MARKET VALUE MONEY MARKET INVESTMENTS (12.6%) PAR (000'S) - --------------------------------------------------------------------------------- AUTOMOBILE REPAIR, SERVICES & PARKING (1.1%) PHH Corporation, 6.35%, 7/01/98 4,000,000 $ 4,000 --------- BASIC MATERIALS (2.9%) E.I. du Pont de Nemours & Company, 5.55%, 08/07/98 10,000,000 9,943 --------- FINANCE (2.7%) +CXC Incorporated, 5.52%, 07/15/98 9,300,000 9,280 --------- GOVERNMENT (0.2%) +Federal Home Loan Mortgage Corp., 5.43%, 08/21/98 800,000 794 --------- PERSONAL CREDIT INSTITUTIONS (5.7%) +Commercial Credit, 5.55%, 07/29/98 10,000,000 9,957 MARKET VALUE MONEY MARKET INVESTMENTS (12.6%) PAR (000'S) - --------------------------------------------------------------------------------- PERSONAL CREDIT INSTITUTIONS (CONTINUED) General Electric Capital Corp., 5.52%, 07/08/98 10,000,000 $ 9,989 --------- TOTAL 19,946 --------- TOTAL MONEY MARKET INVESTMENTS 43,963 --------- TOTAL INVESTMENTS (100.1%) (COST $234,781,821)^ 349,606 OTHER ASSETS, LESS LIABILITIES (-0.1%) (322) --------- TOTAL NET ASSETS (100.0%) $349,284 ---------
* Non-Income Producing +Partially held by the custodian in a segregated account as collateral for open futures positions. Information regarding open futures contracts as of June 30, 1998 is summarized below:
UNREALIZED NUMBER OF EXPIRATION APPRECIATION ISSUER CONTRACTS DATE (000'S) - ----------------------- ---------- ---------- ------------- S&P 500 Stock Index (Total Market Value at 6/30/98, $20,288,250) 71 9/98 $532
^At June 30, 1998, the aggregate cost of securities for federal tax purposes was $234,781,821 and the net unrealized appreciation of investments based on that cost was $114,823,823, which is comprised of $116,555,674 aggregate gross unrealized appreciation and $1,731,851 aggregate gross unrealized depreciation. The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) -- 13 GROWTH AND INCOME STOCK PORTFOLIO - -------------------------------------------------------------------------------- Objective: Portfolio Strategy: Net Assets: Long-term growth of capital and Actively manage a portfolio of equity securities with $498,812,712 income, consistent with moderate a goal of exceeding the total return of the S&P 500 investment risk Index.
GROWTH AND INCOME STOCK PORTFOLIO The Growth and Income Portfolio invests mainly in large-capitalization stocks, with a focus on seeking the best values in the market based on long-term earnings forecasts. A sector balance similar to that of the S&P 500 Index is normally maintained, with the emphasis on undervalued stocks within each industry group; a valuation discipline mandates the sale of stocks regarded as overvalued. More focus is placed on capital appreciation and dividend growth than on current dividends. The Portfolio is normally fully invested in equity securities. The last year has been an extraordinarily difficult time for the value-oriented investment style that guides the Growth and Income Portfolio, as a few favorite names have driven the market's strength, while other stocks have languished. This situation became even more pronounced in the second quarter, when the 50 largest companies in the S&P 500 Index were up 7.1%, while the remaining 450 companies lost 0.4% of their value. These numbers represent only market prices; the Portfolio's orientation to stocks with significant and reliable dividends has helped to maintain total return well above 20% for the last 12 months, though below returns for the S&P 500 Index. At June 30, the Portfolio's largest holding was Procter & Gamble, a large consumer-oriented company that represents a good value. The next largest, Monsanto, is in the process of combining with American Home Products to create a powerful technology-driven strategic force in consumer products, drugs and crop sciences. Other major holdings are SBC Communications, which is participating in the consolidation of the telecommunications industry, and Fannie Mae, a quality growth company that provides exposure to the current strong housing environment. The Growth and Income Stock Portfolio is managed for Northwestern Mutual by J. P. Morgan Investment Management, Inc. Sector Allocation EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC Finance 18% Basic Materials/Capital Goods 14% Consumer Staples 13% Other Industries 13% Technology 12% Consumer Cyclicals 12% Health Care 11% Energy 6% Cash Equivalents 1%
Top 10 Holdings 6/30/98 EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC Procter & Gamble Company 3.5% Monsanto Company 3.1% SBC Communications, Inc. 2.9% Fannie Mae 2.8% Starwood Hotels & Resorts 2.7% Union Pacific Corporation 2.6% Bristol-Myers Squibb Company 2.5% Humana, Inc. 2.5% Anheuser Busch Companies, Inc. 2.4% Cisco Systems, Inc. 2.4%
Performance Relative to S&P 500 Index EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
GROWTH & INCOME STOCK PORTFOLIO S&P 500 INDEX 5/94 $10,000 $10,000 6/94 $9,784 $9,845 6/95 $11,754 $12,394 6/96 $14,099 $15,604 6/97 $18,641 $21,000 6/98 $23,288 $27,306 Average Annual Total Return For Periods Ended June 30, 1998 One Year Since Inception Growth & Income Stock Portfolio 24.93% 22.54% S&P 500 Index 30.03% 27.32%
The Standard & Poor's 500 Composite Stock Price Index is an unmanaged index of 500 selected common stocks, most of which are listed on the New York Stock Exchange. The index is heavily weighted toward stocks with large market capitalizations and represents approximately two-thirds of the total market value of all domestic common stocks. This chart assumes an initial investment of $10,000 made on 5/3/94 (commencement of operations). Returns shown include deductions for management and other fund expenses, and reinvestment of all dividends. Returns exclude deductions for separate account sales loads and account fees. Past performance is not predictive of future performance. Investment return and principal value will fluctuate, so that your shares, when redeemed, may be worth more or less than their original cost. Accumulation unit values, which reflect deduction of charges for the separate account, are shown on page 2. -- 14 GROWTH AND INCOME STOCK PORTFOLIO NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1998
MARKET SHARES/ VALUE COMMON STOCK (98.8%) PAR (000'S) - -------------------------------------------------------------- BASIC MATERIALS (6.6%) Allegheny Teledyne, Inc. 800 $ 18 E. I. du Pont de Nemours & Company 71,900 5,366 Monsanto Company 273,400 15,276 Rohm and Haas Company 73,400 7,629 *Stone Container Corporation 300,800 4,700 ----------- TOTAL 32,989 ----------- CAPITAL GOODS (7.1%) AlliedSignal, Inc. 231,000 10,251 *Coltec Industries, Inc. 261,600 5,199 Cooper Industries, Inc. 129,500 7,114 Johnson Controls Inc. 42,000 2,402 Waste Management, Inc. 302,900 10,602 ----------- TOTAL 35,568 ----------- COMMUNICATION SERVICES (7.8%) BellSouth Corporation 100 7 Cincinnati Bell, Inc. 25,700 736 Frontier Corporation 111,100 3,500 GTE Corporation 13,800 7,726 MCI Communications Corporation 97,600 5,673 SBC Communications, Inc. 362,700 14,508 *Worldcom, Inc. 143,400 6,946 ----------- TOTAL 39,096 ----------- CONSUMER CYCLICAL (11.6%) Circuit City Stores, Inc. 96,200 4,509 *CompUSA, Inc. 144,500 2,610 *Federated Department Stores, Inc. 78,800 4,240 *Fruit of the Loom, Inc. 68,400 2,270 Goodyear Tire & Rubber Company 98,900 6,373 International Game Technology 260,500 6,317 *Kmart Corporation 443,400 8,536 Mattel, Inc. 96,100 4,066 *Mirage Resorts, Incorporated 230,000 4,902 Sears, Roebuck and Co. 63,800 3,896 Service Corporation International 180,700 7,748 The TJX Companies, Inc. 97,200 2,345 ----------- TOTAL 57,812 ----------- CONSUMER STAPLES (12.8%) Anheuser-Busch Companies, Inc. 254,600 12,014 Comcast Corporation 208,800 8,476 PepsiCo, Inc. 225,400 9,284 Philip Morris Companies, Inc. 237,800 9,363 Procter & Gamble Company 191,200 17,411 Ralston Purina Group 38,900 4,544 The Seagram Company Ltd. 57,100 2,338 *Tele Communications, Inc. 14,778 296 ----------- TOTAL 63,726 ----------- MARKET SHARES/ VALUE COMMON STOCK (98.8%) PAR (000'S) - -------------------------------------------------------------- ENERGY (6.4%) Atlantic Richfield Company 52,200 $ 4,078 British Petroleum Company PLC 65,598 5,789 *Input/Output, Inc. 232,500 4,141 Schlumberger Limited 28,900 1,974 Tosco Corporation 407,100 11,959 Valero Energy Corporation 125,700 4,180 ----------- TOTAL 32,121 ----------- FINANCE (18.2%) The Allstate Corporation 25,900 2,371 Associates First Capital Corporation 65,000 4,997 Astoria Financial Corporation 40,800 2,183 Chase Manhattan Corporation 600 45 Citicorp 22,400 3,343 Fannie Mae 226,900 13,784 First Union Corporation 179,988 10,484 KeyCorp 18,700 666 Long Island Bancorp, Inc. 32,500 1,974 Marsh & McLennan Companies, Inc. 154,950 9,365 MBIA, Inc. 97,400 7,293 Norwest Corporation 158,100 5,909 Simon Debartolo Group, Inc. 72,000 2,340 Starwood Hotels & Resorts 274,196 13,247 Travelers Group, Inc. 170,000 10,306 Washington Mutual, Inc. 56,000 2,433 ----------- TOTAL 90,740 ----------- HEALTHCARE (11.2%) *Alza Corporation 142,800 6,176 American Home Products Corporation 64,100 3,317 Bristol-Myers Squibb Company 110,300 12,678 Eli Lilly and Company 65,500 4,327 *Humana, Inc. 391,100 12,197 Pfizer, Inc. 60,000 6,521 United States Surgical Corporation 106,700 4,868 Warner-Lambert Company 80,200 5,564 ----------- TOTAL 55,648 ----------- TECHNOLOGY (11.7%) AutoDesk, Inc. 76,700 2,963 *Cisco Systems, Inc. 130,050 11,973 Computer Associates International, Inc. 102,400 5,690 *EMC Corporation 219,400 9,832 First Data Corporation 106,500 3,548 International Business Machines Corporation 50,500 5,798 *Oracle Corporation 78,600 1,931 Quantum Corporation 121,100 2,513 *Sun Microsystems, Inc. 227,900 9,899 Texas Instruments, Incorporated 71,000 4,140 ----------- TOTAL 58,287 -----------
-- 15 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1998
MARKET SHARES/ VALUE COMMON STOCK (98.8%) PAR (000'S) - -------------------------------------------------------------- TRANSPORTATION (2.6%) Union Pacific Corporation 289,000 $ 12,752 ----------- UTILITIES (2.8%) New England Electric Systems 130,200 5,631 Northern States Power Company 112,500 3,220 PP & L Resources, Inc. 93,400 2,119 Wisconsin Energy Corporation 99,500 3,022 ----------- TOTAL 13,992 ----------- TOTAL COMMON STOCK 492,731 ----------- MARKET VALUE MONEY MARKET INVESTMENTS (.8%) PAR (000'S) - -------------------------------------------------------------- AUTOMOBILE REPAIR, SERVICES & PARKING (0.5%) PHH Corporation, 6.35%, 7/1/98 2,700,000 $ 2,700 ----------- PERSONAL CREDIT INSTITUTIONS (0.3%) General Electric Capital Corporation, 5.519%, 7/8/98 1,300,000 1,299 ----------- TOTAL MONEY MARKET INVESTMENTS 3,999 ----------- TOTAL INVESTMENTS (99.6%) (COST $479,787,131)^ 496,730 OTHER ASSETS, LESS LIABILITIES (0.4%) 2,083 ----------- TOTAL NET ASSETS (100.0%) $ 498,813 -----------
* Non-Income Producing ^ At June 30, 1998, the aggregate cost of securities for federal income tax purposes was $479,787,131 and the net unrealized appreciation of investments based on that cost was $16,942,514 which is comprised of $33,055,417 aggregate gross unrealized appreciation and $16,112,903 aggregate gross unrealized depreciation. The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) -- 16 INDEX 500 STOCK PORTFOLIO - -------------------------------------------------------------------------------- Objective: Portfolio Strategy: Net Assets: Long-term capital appreciation Invest in a portfolio designed to approximate $1,480,895,351 through cost-effective the composition and returns of the S&P 500 participation in broad market Index. performance
INDEX 500 STOCK PORTFOLIO The Index 500 Stock Portfolio is designed to achieve results that approximate the performance of the Standard & Poor's 500 Composite Stock Price Index. This composite of 500 stocks of large U.S.-based companies, compiled by Standard & Poor's Corporation, is generally regarded as a good proxy for the overall U.S. equity market; the Portfolio therefore enables contract owners to participate in overall performance of the U.S. equity market. The Portfolio continues to achieve the objective of matching the results of the S&P 500 before expenses. Sector Allocation EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC Finance 18% Consumer Staples 15% Technology 15% Basic Materials/Capital Goods 12% Health Care 12% Other Industries 11% Consumer Cyclical 9% Energy 7% Money Market Instruments 1%
Top 10 Holdings 6/30/98 EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
COMPANY % OF NET ASSETS General Electric Company 3.3% Microsoft Corporation 2.9% The Coca-Cola Company 2.3% Exxon Corporation 2.0% Merck & Co., Inc. 1.8% Pfizer, Inc. 1.6% Wal-Mart Stores, Inc. 1.5% Procter & Gamble Company 1.4% Intel Corp. 1.3% Royal Dutch Petroleum Co., ADR 1.3%
Performance Relative to S&P 500 Index EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
INDEX 500 PORTFOLIO S&P 500 INDEX 6/88 $10,000 $10,000 6/89 $10,953 $12,020 6/90 $11,753 $13,967 6/91 $12,869 $14,987 6/92 $14,105 $16,995 6/93 $15,856 $19,306 6/94 $16,011 $19,557 6/95 $20,160 $24,623 6/96 $25,380 $31,000 6/97 $34,120 $41,717 6/98 $44,371 $54,244 Actively managed prior to 4/30/93 Indexed on 4/30/93 Average Annual Total Return For Periods Ended June 30, 1998 One Year Five Years Ten Years Index 500 Portfolio 30.04% 22.85% 16.07% S&P 500 Index 30.03% 22.95% 18.42%
On April 30, 1993, the Portfolio was indexed to approximate the performance of the Standard & Poor's 500 Composite Stock Price Index. Before that date, the Portfolio was actively managed. The Standard & Poor's 500 Composite Stock Price Index is an unmanaged index of 500 selected common stocks, most of which are listed on the New York Stock Exchange. The index is heavily weighted toward stocks with large market capitalizations and represents approximately two-thirds of the total market value of all domestic common stocks. This chart assumes an initial investment of $10,000 made on 6/30/88. Returns shown include deductions for management and other fund expenses, and reinvestment of all dividends. Returns exclude deductions for separate account sales loads and account fees. Past performance is not predictive of future performance. Investment return and principal value will fluctuate, so that your shares, when redeemed, may be worth more or less than their original cost. Accumulation unit values, which reflect deduction of charges for the separate account, are shown on page 2. -- 17 INDEX 500 STOCK PORTFOLIO NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1998
MARKET VALUE COMMON STOCK (98.9%) SHARES (000'S) - ------------------------------------------------------------- BASIC MATERIALS (4.0%) Air Products & Chemicals, Inc. 38,600 $ 1,544 Alcan Aluminum Limited 37,300 1,030 Allegheny Teledyne, Inc. 32,135 735 Aluminum Co. of America 28,300 1,866 Archer Daniels Midland Company 93,748 1,816 *Armco, Inc. 17,700 113 ASARCO, Inc. 6,600 147 B.F. Goodrich Company 11,800 586 Barrick Gold Corporation 61,100 1,172 Battle Mountain Gold Company 37,700 224 Bemis Company, Inc. 8,700 356 *Bethlehem Steel Corporation 21,000 261 Boise Cascade Corporation 9,200 301 Champion International 15,800 777 Cyprus Amax Minerals Co. 15,350 203 Dow Chemical Company 37,200 3,597 E.I. du Pont de Nemours & Company 185,600 13,850 Eastman Chemical Company 12,825 798 Ecolab, Inc. 21,200 657 Engelhard Corp. 23,700 480 *FMC Corporation 5,700 389 Freeport-McMoRan Copper & Gold, Inc. 31,700 481 Georgia-Pacific Group 15,200 896 Great Lakes Chemical 9,800 386 Hercules, Inc. 15,800 650 Homestake Mining Company 34,600 359 Inco Limited 27,400 373 Inland Steel Industries, Inc. 8,000 226 International Flavors & Fragrances, Inc. 17,900 778 International Paper Company 49,600 2,133 Louisiana Pacific Corporation 18,000 329 Mead Corp. 17,200 546 Monsanto Company 97,200 5,431 Morton International, Inc. 21,400 535 Nalco Chemical Company 10,900 383 Newmont Mining Corporation 25,680 607 Nucor Corp. 14,400 662 Phelps Dodge Corporation 9,600 549 Pioneer Hi-Bred International 40,100 1,659 Placer Dome, Inc. 40,500 476 Potlatch Corporation 4,700 197 PPG Industries, Inc. 29,200 2,031 Praxair 25,900 1,212 Reynolds Metals Company 12,100 677 Rohm and Haas Company 10,000 1,039 Sigma-Aldrich Corp. 16,500 580 *Stone Container Corporation 16,300 255 Temple-Inland, Inc. 9,300 501 Union Camp Corporation 11,400 566 MARKET VALUE COMMON STOCK (98.9%) SHARES (000'S) - ------------------------------------------------------------- BASIC MATERIALS (CONTINUED) Union Carbide Corporation 20,200 $ 1,078 USX - U.S. Steel Group, Inc. 14,100 465 *W.R. Grace & Co. 12,200 208 Westvaco Corporation 16,750 473 Weyerhaeuser Company 32,700 1,510 Willamette Industries Inc. 18,200 582 Worthington Industries 15,850 239 ------------ TOTAL 59,974 ------------ CAPITAL GOODS (8.5%) Aeroquip-Vickers, Inc. 4,600 269 AlliedSignal, Inc. 92,500 4,105 AMP, Inc. 36,072 1,240 Avery Dennison Corporation 16,800 903 Ball Corporation 4,900 197 Boeing Company 163,876 7,303 Briggs & Stratton Corporation 4,100 153 Browning-Ferris Industries, Inc. 30,200 1,049 Case Corporation 12,300 593 Caterpillar, Inc. 61,100 3,231 Cincinnati Milacron, Inc. 6,500 158 Cooper Industries, Inc. 19,800 1,088 Corning, Inc. 37,900 1,317 Crane Co. 7,550 367 Crown Cork & Seal Company, Inc. 21,000 998 Cummins Engine Company, Inc. 6,300 323 Deere & Company 40,900 2,163 Dover Corporation 36,500 1,250 Eaton Corporation 11,800 917 Emerson Electric Co. 72,700 4,389 Fluor Corporation 13,700 699 Foster Wheeler Corporation 6,700 144 General Dynamics Corporation 20,600 958 General Electric Company 536,700 48,840 General Signal Corporation 7,200 259 Harnischfeger Industries, Inc. 7,800 221 Honeywell, Inc. 20,900 1,746 Illinois Tool Works, Inc. 40,900 2,728 Ingersoll-Rand Company 27,100 1,194 Johnson Controls, Inc. 13,800 789 Lockheed Martin Corporation 31,854 3,373 McDermott International, Inc. 9,900 341 Millipore Corp. 7,100 193 Minnesota Mining & Manufacturing Co. 67,000 5,507 Moore Corporation Ltd. 14,510 192 NACCO Industries, Inc. 1,300 168 National Service Industries, Inc. 7,100 361 *Navistar International Corp. 11,900 344 Northrop Grumman Corporation 11,000 1,134 *Owens-Illinois, Inc. 25,300 1,132 PACCAR, Inc. 12,770 667
-- 18 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1998
MARKET VALUE COMMON STOCK (98.9%) SHARES (000'S) - ------------------------------------------------------------- CAPITAL GOODS (CONTINUED) Pall Corporation 20,500 $ 420 Parker-Hannifin Corporation 18,175 693 Pitney Bowes, Inc. 44,900 2,161 Raychem Corp. 13,900 411 Rockwell International Corporation 32,900 1,581 *Sealed Air Corporation 13,471 495 Tenneco, Inc. 27,900 1,062 Textron, Inc. 26,900 1,928 *Thermo Electron Corporation 26,100 892 Thomas & Betts Corporation 9,000 443 Timken Company 10,300 317 Tyco International Ltd. 93,800 5,909 United Technologies Corp. 38,200 3,534 Waste Management, Inc. 74,600 2,611 ------------ TOTAL 125,460 ------------ COMMUNICATION SERVICES (6.7%) *Airtouch Communications, Inc. 92,500 5,405 ALLTEL Corporation 30,200 1,404 Ameritech Corporation 179,500 8,055 AT&T Corp. 266,400 15,218 Bell Atlantic Corporation 254,684 11,620 BellSouth Corporation 162,600 10,915 Frontier Corporation 26,900 847 GTE Corporation 157,000 8,733 MCI Communications Corporation 114,200 6,638 *Nextel Communications, Inc. 43,100 1,072 SBC Communications, Inc. 300,598 12,024 Sprint Corporation 70,500 4,970 US WEST, Inc. 81,808 3,845 *WorldCom, Inc. 166,100 8,045 ------------ TOTAL 98,791 ------------ CONSUMER CYCLICAL (9.5%) American Greetings Corp. 11,900 606 Armstrong World Industries, Inc. 6,700 451 *AutoZone, Inc. 24,900 795 Black & Decker Corporation 15,600 952 Brunswick Corporation 16,400 406 *Cendant Corporation 132,854 2,773 Centex Corporation 9,700 366 Chrysler Corporation 106,300 5,993 Circuit City Stores, Inc. 16,200 759 Cognizant Corp. 26,600 1,676 *Consolidated Stores Corporation 17,700 642 Cooper Tire & Rubber Company 12,900 266 *Costco Companies, Inc. 35,107 2,214 Dana Corporation 17,200 920 Dayton Hudson Corporation 71,700 3,477 Dillard's, Inc. 18,200 754 Dow Jones & Company, Inc. 15,800 881 Dun & Bradstreet Corporation 27,900 1,008 Echlin, Inc. 9,900 486 MARKET VALUE COMMON STOCK (98.9%) SHARES (000'S) - ------------------------------------------------------------- CONSUMER CYCLICAL (CONTINUED) *Federated Department Stores, Inc. 34,400 $ 1,851 Fleetwood Enterprises, Inc. 6,000 240 Ford Motor Company 196,800 11,611 *Fruit of the Loom, Inc. 12,000 398 Gannet Company, Inc. 46,500 3,304 General Motors Corp. 116,000 7,750 Genuine Parts Company 29,300 1,013 Goodyear Tire & Rubber Company 25,600 1,650 H & R Block, Inc. 17,200 725 Harcourt General 11,600 690 *Harrahs Entertainment 16,600 386 Hasbro, Inc. 21,850 859 Hilton Hotels Corporation 41,000 1,169 Home Depot, Inc. 119,998 9,967 Interpublic Group of Cos., Inc. 20,700 1,256 ITT Industries, Inc. 19,400 725 J.C. Penney Company, Inc. 41,000 2,965 Jostens, Inc. 6,400 154 *Kmart Corporation 80,000 1,540 Kaufman & Broad Home Corp. 6,400 203 Knight-Ridder, Inc. 13,000 716 Laidlaw Transportation Limited 53,900 657 Liz Claiborne, Inc. 11,000 575 Lowe's Companies, Inc. 57,400 2,328 Marriott International, Inc. 41,900 1,357 Masco Corporation 27,100 1,640 Mattel, Inc. 47,688 2,018 May Department Stores Company 37,900 2,482 Maytag Corporation 15,600 770 McGraw-Hill Companies Inc. 16,200 1,321 Mercantile Stores Company 5,800 458 Meredith Corporation 8,700 408 *Mirage Resorts, Inc. 29,400 627 Nike, Inc. 47,700 2,322 Nordstrom, Inc. 12,700 981 Omnicom Group 26,600 1,327 Owens Corning 8,800 359 Pep Boys - Manny, Moe & Jack 10,400 197 Pulte Corporation 7,000 209 *Reebok International Ltd. 9,200 255 Russell Corp. 6,000 181 Sears, Roebuck and Co. 64,300 3,926 Service Corporation International 41,300 1,771 Sherwin-Williams Company 28,300 937 Snap-On, Inc. 9,950 361 Springs Industries, Inc. 3,300 152 Tandy Corporation 17,000 902 The Gap, Inc. 64,900 3,999 The Limited, Inc. 37,000 1,226 The New York Times Company 15,700 1,244 The Stanley Works 14,600 607 Times Mirror Company 14,500 912
-- 19 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1998
MARKET VALUE COMMON STOCK (98.9%) SHARES (000'S) - ------------------------------------------------------------- CONSUMER CYCLICAL (CONTINUED) TJX Companies, Inc. 53,000 $ 1,279 *Toys R Us 46,600 1,098 Tribune Company 20,200 1,390 TRW, Inc. 20,200 1,103 VF Corporation 20,000 1,030 *Venator Group, Inc. 22,100 423 Wal-Mart Stores, Inc. 368,300 22,374 Whirlpool Corporation 12,300 846 ------------ TOTAL 140,649 ------------ CONSUMER STAPLES (14.9%) Adolph Coors Co. 6,100 207 Alberto-Culver Company 9,300 270 Albertson's, Inc. 40,300 2,088 American Stores Co. 44,800 1,084 Anheuser-Busch Companies, Inc. 80,300 3,789 Avon Products, Inc. 21,600 1,674 BESTFOODS 47,200 2,741 Brown-Forman Corp. 11,300 726 Campbell Soup Company 74,900 3,979 Cardinal Health, Inc. 18,000 1,688 CBS Corporation 116,600 3,702 *Clear Channel Communications, Inc. 20,200 2,204 Clorox Company 17,000 1,621 Colgate-Palmolive Co. 48,500 4,268 Comcast Corp. 57,250 2,324 Conagra, Inc. 78,000 2,472 CVS Corporation 62,700 2,441 Darden Restaurant, Inc. 24,400 387 Deluxe Corp. 13,300 476 Fort James Corporation 34,200 1,522 Fortune Brands, Inc. 28,100 1,080 General Mills, Inc. 25,900 1,771 Giant Food, Inc. 9,400 405 Great Atlantic & Pacific Tea Co., Inc. 6,300 208 H.J. Heinz Company 59,950 3,365 Hershey Foods Corporation 23,400 1,615 Kellogg Company 67,400 2,532 Kimberly-Clark Corporation 91,144 4,181 *King World Productions, Inc. 12,100 309 Longs Drug Stores Corp. 6,300 182 McDonald's Corporation 113,000 7,797 *MediaOne Group Inc. 99,500 4,372 Newell Co. 26,100 1,300 PepsiCo, Inc. 248,800 10,247 Philip Morris Companies, Inc. 397,600 15,656 Procter & Gamble Company 220,100 20,043 R.R. Donnelley & Sons Company 23,900 1,093 Ralston Purina Group 17,600 2,056 Rite Aid Corporation 42,300 1,589 MARKET VALUE COMMON STOCK (98.9%) SHARES (000'S) - ------------------------------------------------------------- CONSUMER STAPLES (CONTINUED) Rubbermaid, Inc. 24,600 $ 816 Sara Lee Corporation 77,600 4,341 Supervalu, Inc. 9,900 439 Sysco Corporation 55,800 1,430 *Tele Communications, Inc. 83,176 3,197 The Coca-Cola Company 405,600 34,679 The Gillette Company 183,700 10,413 *The Kroger Company 41,800 1,792 The Quaker Oats Company 22,700 1,247 The Seagram Company Ltd. 58,500 2,395 Time Warner, Inc. 94,800 8,099 *Tricon Global Restaurants, Inc. 24,890 789 Tupperware 10,000 281 Unilever NV 105,000 8,288 UST, Inc. 30,200 815 *Viacom, Inc. 57,956 3,376 Walgreen Co. 81,200 3,355 Walt Disney Company 110,669 11,627 Wendy's International, Inc. 21,700 510 Winn-Dixie Stores, Inc. 24,400 1,249 Wm. Wrigley Jr. Company 19,000 1,862 ------------ TOTAL 220,464 ------------ ENERGY (7.2%) Amerada Hess Corporation 15,000 815 Amoco Company 159,700 6,648 Anadarko Petroleum Corporation 9,800 658 Apache Corporation 15,700 495 Ashland, Inc. 12,300 635 Atlantic Richfield Company 52,600 4,109 Baker Hughes, Inc. 27,800 961 Burlington Resource, Inc. 28,920 1,245 Chevron Corp. 107,700 8,946 Dresser Industries, Inc. 28,800 1,269 Exxon Corporation 404,400 28,839 Halliburton Company 43,000 1,916 Helmerich & Payne, Inc. 8,200 182 Kerr-McGee Corporation 7,800 451 Mobil Corporation 128,600 9,854 Occidental Petroleum Corporation 55,600 1,501 *ORYX Energy Company 17,300 383 Pennzoil Company 7,800 395 Phillips Petroleum Company 43,200 2,082 *Rowan Companies, Inc. 14,200 276 Royal Dutch Petroleum Co., ADR 351,600 19,272 Schlumberger Limited 81,600 5,574 Sun Company, Inc. 15,500 602 Texaco, Inc. 89,900 5,366 Union Pacific Resource Group 41,592 730 Unocal Corp. 40,400 1,444 USX-Marathon Group 47,300 1,623
-- 20 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1998
MARKET VALUE COMMON STOCK (98.9%) SHARES (000'S) - ------------------------------------------------------------- ENERGY (CONTINUED) *Western Atlas International, Inc. 8,900 $ 755 ------------ TOTAL 107,026 ------------ FINANCE (17.6%) Aetna, Inc. 24,363 1,855 Allstate Corporation 70,314 6,438 American Express Company 76,200 8,687 American General Corporation 41,625 2,963 American International Group, Inc. 115,025 16,794 Aon Corporation 27,500 1,932 Associates First Capital Corporation 56,855 4,371 Banc One Corporation 115,129 6,426 BankAmerica Corporation 113,700 9,828 BankBoston Corporation 47,600 2,648 Bankers Trust New York Corporation 16,100 1,869 BB&T Corporation 23,400 1,582 Beneficial Corporation 8,700 1,333 Charles Schwab Corporation 43,600 1,417 Chase Manhattan Corporation 138,212 10,435 CIGNA Corporation 36,400 2,512 Cincinnati Financial Corporation 27,000 1,036 Citicorp 74,900 11,179 Comerica, Inc. 25,850 1,713 Conseco, Inc. 30,900 1,445 Countrywide Credit Industries, Inc. 17,800 903 Fannie Mae 174,000 10,571 Federal Home Loan Mortgage Corp. 114,000 5,365 Fifth Third Bancorp 38,175 2,405 First Chicago NBD Corporation 47,728 4,230 First Union Corporation 158,552 9,236 Fleet Financial Group, Inc. 44,730 3,735 Franklin Resources, Inc. 41,500 2,241 General Re Corporation 12,900 3,270 Golden West Financial Corporation 9,300 989 Green Tree Financial Corporation 22,300 955 H.F. Ahmanson & Company 18,000 1,278 Hartford Financial Services Group, Inc. 19,400 2,219 Household International, Inc. 52,600 2,617 Huntington Bancshares, Inc. 31,400 1,052 J.P. Morgan & Company, Inc. 29,100 3,408 Jefferson-Pilot Corp. 17,450 1,011 KeyCorp 72,100 2,569 Lehman Bros Holdings, Inc. 16,700 1,295 Lincoln National Corporation 16,800 1,535 Loews Corp. 18,900 1,647 Marsh & McLennan Companies, Inc. 41,850 2,529 MBIA, Inc. 16,100 1,205 MARKET VALUE COMMON STOCK (98.9%) SHARES (000'S) - ------------------------------------------------------------- FINANCE (CONTINUED) MBNA Corp. 82,150 $ 2,711 Mellon Bank Corporation 41,700 2,903 Mercantile Bancorp 21,500 1,083 Merrill Lynch & Co. 54,600 5,037 MGIC Investment Corp. 18,700 1,067 Morgan Stanley Dean Witter & Co. 97,105 8,873 National City Corp. 53,900 3,827 NationsBank Corp. 154,193 11,796 Northern Trust Corp. 18,300 1,395 Norwest Corporation 123,900 4,631 PNC Bank Corp. 50,000 2,691 Progressive Corporation 11,800 1,664 Providian Financial Corporation 15,600 1,226 Republic New York Corporation 17,900 1,127 SAFECO, Inc. 23,100 1,050 St. Paul Companies, Inc. 37,886 1,594 State Street Corporation 26,400 1,835 Summit Bancorp 28,900 1,373 SunAmerica, Inc. 32,000 1,838 Suntrust Banks, Inc. 34,600 2,813 Synovus Financial Corp. 43,050 1,022 The Bank of New York Company, Inc. 61,800 3,750 The Chubb Corporation 27,900 2,242 Torchmark Corporation 23,000 1,052 Transamerica Corporation 10,300 1,186 Travelers Group, Inc. 188,041 11,400 UNUM Corporation 22,800 1,265 U.S. Bancorp 120,731 5,191 Wachovia Corporation 33,800 2,856 Washington Mutual, Inc. 63,260 2,748 Wells Fargo & Company 14,233 5,252 ------------ TOTAL 261,226 ------------ HEALTHCARE (11.6%) Abbott Laboratories, Inc. 250,900 10,256 Allergan, Inc. 10,700 496 *Alza Corporation 14,000 606 American Home Products Corporation 213,100 11,028 *Amgen, Inc. 43,200 2,824 Bausch & Lomb, Inc. 9,100 456 Baxter International, Inc. 45,900 2,470 Becton, Dickinson & Company 20,000 1,553 Biomet, Inc. 18,300 605 *Boston Scientific Corp. 31,900 2,285 Bristol-Myers Squibb Company 163,000 18,735 C.R. Bard, Inc. 9,300 354 Columbia/HCA Healthcare Corporation 106,200 3,093 Eli Lilly and Company 181,900 12,017 Guidant Corporation 24,700 1,761
-- 21 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1998
MARKET VALUE COMMON STOCK (98.9%) SHARES (000'S) - ------------------------------------------------------------- HEALTHCARE (CONTINUED) *HEALTHSOUTH Corporation 64,600 $ 1,724 *Humana, Inc. 26,900 839 Johnson & Johnson 220,500 16,262 Mallinckrodt, Inc. 12,000 356 Manor Care, Inc. 10,400 400 Medtronic, Inc. 76,900 4,902 Merck & Co., Inc. 196,500 26,282 Pfizer, Inc. 212,100 23,053 Pharmacia & Upjohn, Inc. 83,205 3,838 Schering-Plough Corporation 120,100 11,004 *St. Jude Medical, Inc. 13,800 508 *Tenet Healthcare Corp. 50,200 1,569 U.S. Surgical Corporation 12,400 566 *United Healthcare Corp. 30,900 1,962 Warner-Lambert Company 134,000 9,296 ------------ TOTAL 171,100 ------------ TECHNOLOGY (14.8%) *3COM Corporation 58,100 1,783 Adobe Systems, Inc. 11,300 480 *Advanced Micro Devices, Inc. 23,200 396 *Andrew Corporation 14,537 263 *Apple Computer, Inc. 21,800 625 *Applied Materials, Inc. 60,000 1,770 *Ascend Communications, Inc. 31,600 1,566 Autodesk, Inc. 7,600 294 Automatic Data Processing, Inc. 49,000 3,571 *Bay Networks 36,000 1,161 *Cabletron Systems, Inc. 25,900 348 *Ceridian Corp. 11,900 699 *Cisco Systems, Inc. 166,850 15,361 Compaq Computer Corporation 271,009 7,690 Computer Associates International, Inc. 89,512 4,974 *Computer Sciences Corp. 25,600 1,638 *Data General Corporation 8,000 120 *Dell Computer Corp. 107,100 9,940 *DSC Communications Corporation 19,300 579 Eastman Kodak Company 53,300 3,894 EG&G, Inc. 7,400 222 *EMC Corporation 81,300 3,643 Equifax, Inc. 24,600 893 First Data Corporation 70,200 2,339 *Gateway 2000, Inc. 25,400 1,286 *General Instrument Corporation 24,300 661 Harris Corporation 13,100 585 HBO & Company 69,100 2,436 Hewlett-Packard Company 170,600 10,215 Ikon Office Solutions 22,100 322 Intel Corporation 268,300 19,888 MARKET VALUE COMMON STOCK (98.9%) SHARES (000'S) - ------------------------------------------------------------- TECHNOLOGY (CONTINUED) International Business Machines Corporation 159,400 $ 18,301 *KLA-Tencor Corporation 13,800 382 *LSI Logic Corp. 23,200 535 Lucent Technologies, Inc. 213,380 17,751 *Micron Technology 34,700 861 *Microsoft Corporation 399,300 43,274 Motorola, Inc. 97,900 5,146 *National Semiconductor Corporation 26,900 355 Northern Telecom Limited 85,400 4,846 *Novell, Inc. 57,500 733 *Oracle Corporation 161,400 3,964 *Parametric Technology Company 42,100 1,142 Perkin-Elmer Corporation 8,000 498 Polaroid Corporation 7,400 263 Raytheon Company Class B 55,600 3,287 Scientific-Atlanta, Inc. 13,000 330 *Seagate Technology Inc. 39,700 945 Shared Medical Systems Corp. 4,300 316 *Silicon Graphics 30,800 373 *Sun Microsystems, Inc. 61,900 2,689 Tektronix, Inc. 8,250 292 *Tellabs, Inc. 29,800 2,134 Texas Instruments, Inc. 64,000 3,732 *Unisys Corporation 40,900 1,155 W.W. Grainger, Inc. 16,300 812 Xerox Corporation 53,400 5,427 ------------ TOTAL 219,185 ------------ TRANSPORTATION (1.1%) *AMR Corporation 29,900 2,489 Burlington Northern Santa Fe 25,607 2,514 CSX Corporation 35,800 1,629 Delta Air Lines, Inc. 12,200 1,577 *FDX Corporation 24,060 1,510 Norfolk Southern Corporation 61,800 1,842 Ryder System, Inc. 12,500 395 Southwest Airlines Co. 36,200 1,072 Union Pacific Corporation 40,500 1,787 *US Airways Group, Inc. 15,000 1,189 ------------ TOTAL 16,004 ------------ UTILITIES (3.0%) Ameren Corporation 22,500 894 American Electric Power Company, Inc. 31,100 1,411 Baltimore Gas & Electric Co. 24,200 752 Carolina Power & Light Company 24,700 1,071 Central & South West Corporation 34,800 935 Cinergy Corporation 25,817 904 Coastal Corp. 17,400 1,215 Columbia Energy Group 13,650 759
-- 22 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1998
MARKET VALUE COMMON STOCK (98.9%) SHARES (000'S) - ------------------------------------------------------------- UTILITIES (CONTINUED) Consolidated Edison Co. of New York 38,500 $ 1,773 Consolidated Natural Gas Company 15,700 924 Dominion Resources, Inc. 31,700 1,292 DTE Energy Company 23,800 961 Duke Energy Corp. 58,965 3,494 Eastern Enterprises 3,300 141 Edison International 62,600 1,851 Enron Corp. 53,900 2,914 Entergy Corporation 40,000 1,150 FirstEnergy Corp. 37,800 1,162 FPL Group, Inc. 29,800 1,877 GPU, Inc. 20,800 787 Houston Industries, Inc. 46,362 1,431 *Niagara Mohawk Power Corporation 23,700 354 Nicor, Inc. 7,900 317 Northern States Power Company 24,400 698 ONEOK, Inc. 5,100 203 P P & L Resources, Inc. 27,200 617 PacifiCorp 48,600 1,100 PECO Energy Company 36,500 1,065 Peoples Energy Corporation 5,800 224 PG&E Corp. 62,500 1,973 Public Service Enterprise Group, Inc. 38,000 1,309 *Sempra Energy 20,602 572 Sonat Inc. 18,000 695 Southern Company 113,200 3,134 Texas Utilities Company 40,415 1,682 UNICOM Corp. 35,500 1,245 Williams Companies, Inc. 67,400 2,276 ------------ TOTAL 45,162 ------------ TOTAL COMMON STOCK 1,465,041 ------------
MARKET VALUE MONEY MARKET INVESTMENTS (1.0%) PAR (000'S) - ------------------------------------------------------------- AUTOMOBILE REPAIR, SERVICES & PARKING (0.2%) PHH Corporation, 6.349%, 7/01/98 3,300,000 $ 3,300 FINANCE (.2%) +CXC Incorporated, 5.52%, 7/15/98 3,600,000 3,592 GOVERNMENT (0.4%) +Federal Home Loan Mortgage Corporation, 5.43%, 8/21/98 5,500,000 5,458 PERSONAL CREDIT INSTITUTIONS (0.2%) +General Electric Capital Corporation, 5.52%, 7/08/98 3,000,000 2,997 ------------ TOTAL MONEY MARKET INVESTMENTS 15,347 ------------ TOTAL INVESTMENTS (99.9%) (COST $853,089,400)^ 1,480,388 OTHER ASSETS, LESS LIABILITIES (0.1%) 507 ------------ TOTAL NET ASSETS (100.0%) $ 1,480,895 ------------
* Non-Income Producing +Partially held by the custodian in a segregated account as collateral for open futures positions. Information regarding open futures contracts as of June 30, 1998 is summarized below:
UNREALIZED NUMBER OF EXPIRATION APPRECIATION ISSUER CONTRACTS DATE (000'S) - ------------------------------------------------------------------------ S&P 500 Stock Index (Total market value at 6/30/98, $12,573,000) 44 9/98 $ 205
^ At June 30,1998, the aggregate cost of securities for federal income tax purposes was $853,089,400 and the net unrealized appreciation of investments based on that cost was $627,298,671 which is comprised of $637,615,077 aggregate gross unrealized appreciation and $10,316,406 aggregate gross unrealized depreciation. The Accompanying Notes are an Integral Part of the Finanacial Statements (Prepared from Unaudited Figures) -- 23 BALANCED PORTFOLIO - -------------------------------------------------------------------------------- Objective: Portfolio Strategy: Net Assets: A high level of current income Achieve consistent returns and low volatility $3,093,149,475 and capital growth with a low by diversifying among assets risk profile
BALANCED PORTFOLIO In order to capitalize on changing financial market and economic conditions, the Balanced Portfolio's asset allocation is adjusted as appropriate among three investment classes: stocks, bonds and money market instruments. The equity portion of the Portfolio is indexed, meaning that the Portfolio is designed to achieve results that approximate the performance of the Standard & Poor's 500 Composite Stock Price Index, which is generally regarded as a good proxy for the overall U.S. equity market. The bond portion of the Portfolio is actively managed, with investments in high quality bonds adjusted frequently as to maturity, market sectors and duration. Liquidity is maintained by holding a portion of the Portfolio in money market investments, which are high quality short-term debt securities. The Portfolio benefited from continued emphasis on equities during the first half of 1998, as the stock market's upward trend continued. Because the equity portion of the Portfolio is indexed to the S&P 500, performance was helped by the continued market leadership by the large companies that dominate this index. In the bond portion of the Portfolio, the positive effects of an overweighting in commercial mortgage-backed securities and favorable industry selection of corporate bonds were offset by two major negatives: a defensive interest rate posture and a loss in one Asian bond. A moderate cash position at mid-year will make it possible to increase investments in equities or bonds, as market conditions indicate. Percentage Holdings 6/30/98 EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC Equities (including futures) 59% Bonds 32% Short-Term Investments 9%
Performance Relative to Relevant Indices EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
BALANCED PORTFOLIO S&P 500 INDEX MERRILL LYNCH DOMESTIC MASTER INDEX ML 91-DAY T-BILL 6/88 $10,000 $10,000 $10,000 $10,000 6/89 $13,333 $12,020 $11,243 $10,847 6/90 $14,267 $13,967 $12,067 $11,768 6/91 $15,711 $14,987 $13,380 $12,658 6/92 $17,487 $16,995 $15,273 $13,313 6/93 $19,635 $19,306 $17,095 $13,763 6/94 $19,802 $19,557 $16,918 $14,226 6/95 $23,400 $24,623 $19,048 $15,011 6/96 $27,122 $31,000 $19,992 $15,841 6/97 $32,907 $41,717 $21,627 $16,701 6/98 $39,589 $54,244 $23,934 $17,584 Average Annual Total Return For Periods Ended June 30, 1998 One Year Five Years Ten Years Balanced Portfolio 20.30% 15.06% 14.75% S&P 500 Index 30.03% 22.95% 18.42% MLDM Index 10.67% 6.96% 9.12% ML 91-Day T-bill 5.29% 5.02% 5.81%
In the graph, the Portfolio is compared against three indices representing the three major components of the Portfolio: equities, fixed income, and cash equivalent investments. The Standard & Poor's 500 Composite Stock Price Index is an unmanaged index of 500 selected common stocks, most of which are listed on the New York Stock Exchange. The index is heavily weighted toward stocks with large market capitalizations and represents approximately two-thirds of the total market value of all domestic common stocks. The Merrill Lynch Domestic Master Index is an unmanaged market value weighted index comprised of U.S. Government, mortgage and investment-grade corporate bonds. The index measures the income provided by, and the price changes of, the underlying securities. This chart assumes an initial investment of $10,000 made on 6/30/88. Returns shown include deductions for management and other fund expenses, and reinvestment of all dividends. Returns exclude deductions for separate account sales loads and account fees. Past performance is not predictive of future performance. Investment return and principal value will fluctuate, so that your shares, when redeemed, may be worth more or less than their original cost. Accumulation unit values, which reflect deduction of charges for the separate account, are shown on page 2. -- 24 BALANCED PORTFOLIO NORTHWESTERN MUTUAL SERIES FUND, INC. SCHEDULE OF INVESTMENTS JUNE 30, 1998
SHARES/ MARKET VALUE BONDS (32.4%) PAR (000'S) - ------------------------------------------------------------- CORPORATE BONDS (7.7%) AEROSPACE AND DEFENSE (0.1%) Lockheed Corporation, 6.75%, 3/15/03 3,000,000 $ 3,079 ------------ AUTO-RELATED (0.1%) Hertz Corp., 9.04%, 6/14/00 4,100,000 4,335 ------------ BANK HOLDING COMPANIES (0.7%) Banco Montevideo, 8.4%, 04/30/08 (144A) 6,250,000 5,961 BT Institutional Capital Trust, 7.75%, 12/01/26 (144A) 1,000,000 1,046 First Union Institutional Capital II, 7.85%, 1/1/27 3,750,000 4,024 J.P. Morgan Capital Trust, 7.54%, 01/15/27 1,315,000 1,366 NationsBank Lease Pass Thru Trust - Class 1, 7.442%, 1/10/11 (144A) 2,000,000 2,110 Security Capital Industrial Trust, 7.3%, 5/15/01 8,000,000 8,207 ------------ TOTAL 22,714 ------------ CHEMICALS AND ALLIED PRODUCTS (0.3%) Dow Cap B.V., 8.5%, 6/8/10 8,200,000 9,647 ------------ COMERCIAL BANKS (0.2%) Wachovia Capital Trust V, 7.965%, 06/01/27 (144A) 5,000,000 5,449 ------------ COMMUNICATIONS (0.3%) #Panamasat, 11.375%, 08/01/03 2,100,000 2,174 Tele Communications, Inc., 7.375%, 2/15/00 8,000,000 8,156 ------------ TOTAL 10,330 ------------ DURABLE GOODS (0.2%) Tata Engineering & Locomotive, 7.875%, 07/15/07 (144A) 6,500,000 5,540 ------------ ELECTRIC SERVICES (1.9%) Columbia Gas System Inc., 7.32%, 11/28/10 7,571,000 7,984 Comed Financing II, 8.5%, 01/15/27 3,000,000 3,317 Dayton Power & Light Company, 8.15%, 1/15/26 5,750,000 6,245 Niagra Mohawk Power, 7.0%, 10/01/00 3,000,000 3,000 Niagra Mohawk Power, 7.25%, 10/01/02 1,500,000 1,498 Ohio Edison Company, 7.375%, 9/15/02 3,665,000 3,806 PECO Energy Company, 7.75%, 3/1/23 8,850,000 9,294 SHARES/ MARKET VALUE BONDS (32.4%) PAR (000'S) - ------------------------------------------------------------- ELECTRIC SERVICES (CONTINUED) Public Service Electric & Gas Co., 6.875%, 1/1/03 9,000,000 $ 9,258 Southern California Edison Co., 7.25%, 3/1/26 10,000,000 10,330 Texas Utilities Electric Co., 7.875%, 3/1/23 4,000,000 4,234 ------------ TOTAL 58,966 ------------ ENERGY (0.2%) Barrett Resources Corporation, 7.55%, 2/01/07 5,000,000 5,232 ------------ FINANCE (0.6%) Associates Corp. of North America, 7.95%, 2/15/10 5,550,000 6,251 Crown Cork & Seal Finance Plc, 6.75%, 12/15/03 8,000,000 8,181 Industrial Credit & Investment Corporation of India, 7.55%, 08/15/07 (144A) 5,600,000 4,885 ------------ TOTAL 19,317 ------------ FOREIGN BANKS - BRANCHES & AGENCIES (0.4%) Fuji Bank, Ltd., 9.87%, 12/31/49 (144A) 13,000,000 11,424 ------------ FOOD AND BEVERAGE (0.4%) Coca Cola Enterprises, Inc., 8%, 1/4/05 10,000,000 11,125 ------------ GENERAL MERCHANDISE STORES (0.5%) LB Commercial Conduit Mortgage Trust - Class A3, 8.396%, 01/20/17 8,791,824 10,399 May Department Stores Company, 7.45%, 10/15/16 4,000,000 4,356 ------------ TOTAL 14,755 ------------ INSTRUMENTS AND RELATED PRODUCTS (0.1%) Raytheon Company, 7.2%, 08/15/27 1,500,000 1,625 ------------ MOTION PICTURE (0.6%) News America Holdings Inc., 8.45%, 8/1/34 10,000,000 12,650 Time Warner Entertainment Inc., 8.375%, 3/15/23 3,000,000 3,512 Time Warner Entertainment Inc., 8.375%, 7/15/33 1,500,000 1,790 ------------ TOTAL 17,952 ------------ MOTOR VEHICLES (0.4%) General Motors Acceptance Corp., 6.625%, 10/1/02 5,000,000 5,100
-- 25 NORTHWESTERN MUTUAL SERIES FUND, INC. JUNE 30, 1998
SHARES/ MARKET VALUE BONDS (32.4%) PAR (000'S) - ------------------------------------------------------------- MOTOR VEHICLES (CONTINUED) General Motors Corporation, 8.8%, 3/1/21 6,500,000 $ 8,268 ------------ TOTAL 13,368 ------------ TECHNOLOGY (0.1%) International Business Machines, 6.22%, 08/01/27 3,000,000 3,089 ------------ TELEPHONE COMMUNICATIONS (0.2%) Comcast Cellular Holdings, 9.5%, 05/01/07 2,500,000 2,606 GTE Corporation, 6.94%, 04/15/28 3,000,000 3,061 ------------ TOTAL 5,667 ------------ TEXTILES (0.1%) Polysindo International Finance, 11.375%, 06/15/06 6,500,000 2,535 ------------ TOBACCO (0.2%) Philip Morris Companies, 9.25%, 2/15/00 1,000,000 1,046 RJR Nabisco Inc., 8.625%, 12/1/02 4,000,000 4,145 ------------ TOTAL 5,191 ------------ UTILITY (0.1%) Atlantic City Electric Company, 6.625%, 8/1/13 4,000,000 4,057 ------------ TOTAL CORPORATE BONDS 235,397 ------------ GOVERNMENT (DOMESTIC AND FOREIGN) AND AGENCY BONDS (17.4%) FOREIGN GOVERNMENT BONDS (1.2%) **Hellenic Republic, 8.80%, 06/19/2007 2,000,000,000 6,934 Province of Quebec, 6.5%, 1/17/06 7,500,000 7,607 Republic of Brazil, 8.0%, 04/15/14 3,502,094 2,570 Republic of Indonesia, 7.75%, 08/01/06 2,000,000 1,453 Republic of Korea, 8.875%, 04/15/08 17,400,000 15,791 Vnesheconombank, 6.625%, 12/15/15 (144A) 3,000,000 1,661 ------------ TOTAL 36,016 ------------ FEDERAL GOVERNMENT AND AGENCIES (16.2%) Federal Farm Credit, 6.51%, 01/07/08 8,000,000 8,010 Federal Home Loan Mortgage Corporation, 7%, 06/15/03 7,250,000 7,440 Federal Home Loan Mortgage Corporation, 6.5%, 10/01/02 19,324,382 19,469 Federal National Mortgage Assoc., 6.240%, 02/01/06 4,933,612 4,991 SHARES/ MARKET VALUE BONDS (32.4%) PAR (000'S) - ------------------------------------------------------------- FEDERAL GOVERNMENT AND AGENCIES (CONTINUED) Federal National Mortgage Assoc., 6.315%, 03/01/06 5,207,413 $ 5,291 Federal National Mortgage Assoc., 6.500%, 09/25/05 6,021,293 6,062 Federal National Mortgage Assoc., 6.750% 11/01/07 3,108,491 3,259 Federal National Mortgage Assoc., 6.750%, 04/25/18 5,696,392 5,838 Federal National Mortgage Assoc., 6.750%, 12/25/23 6,500,000 6,578 Federal National Mortgage Assoc., 6.834%, 07/01/03 3,232,340 3,308 Federal National Mortgage Assoc., 6.895%, 05/01/06 6,083,936 6,379 Federal National Mortgage Assoc., 6.900%, 04/01/06 2,452,322 2,571 Federal National Mortgage Assoc., 6.960%, 10/01/07 4,474,573 4,716 Federal National Mortgage Assoc., 7.000%, 06/01/03 5,579,595 5,661 Federal National Mortgage Assoc., 7.000%, 06/25/10 8,070,000 8,209 Federal National Mortgage Assoc., 7.000%, 04/01/26 22,705,481 23,031 Federal National Mortgage Assoc., 7.025%, 08/01/05 1,951,576 2,059 Federal National Mortgage Assoc., 7.045%, 08/01/05 7,685,826 8,076 Federal National Mortgage Assoc., 7.120%, 11/01/03 986,964 1,028 Federal National Mortgage Assoc., 7.250%, 05/01/04 1,574,980 1,657 Federal National Mortgage Assoc., 8.400%, 02/25/09 10,910,000 12,032 Federal National Mortgage Assoc., 11.000%, 12/01/12 284,087 315 Federal National Mortgage Assoc., 11.000%, 09/01/17 2,194,488 2,449 Federal National Mortgage Assoc., 11.000%, 12/01/17 397,955 445 Federal National Mortgage Assoc., 11.000%, 02/01/18 850,581 949 Federal National Mortgage Assoc., 11.500%, 04/01/18 1,533,285 1,736 Federal National Mortgage Assoc., 12.000%, 09/01/12 2,295,368 2,606 Federal National Mortgage Assoc., 12.000%, 12/01/12 442,884 504 Federal National Mortgage Assoc., 12.000%, 09/01/17 750,974 861 Federal National Mortgage Assoc., 12.000%, 10/01/17 1,089,889 1,250
-- 26 NORTHWESTERN MUTUAL SERIES FUND, INC. JUNE 30, 1998
SHARES/ MARKET VALUE BONDS (32.4%) PAR (000'S) - ------------------------------------------------------------- FEDERAL GOVERNMENT AND AGENCIES (CONTINUED) Federal National Mortgage Assoc., 12.000%, 12/01/17 622,730 $ 715 Federal National Mortgage Assoc., 12.000%, 02/01/18 829,819 952 Federal National Mortgage Assoc., 12.500%, 04/01/18 742,528 864 Federal National Mortgage Assoc., 13.000%, 11/01/12 375,850 437 Federal National Mortgage Assoc., 13.000%, 11/01/17 785,075 921 Federal National Mortgage Assoc., 13.000%, 12/01/17 468,169 546 Federal National Mortgage Assoc., 13.000%, 02/01/18 1,105,089 1,288 Federal National Mortgage Assoc., 14.000%, 12/01/17 311,046 371 Government National Mortgage Assoc., 7.00%, 05/15/23 12,642,186 12,872 Government National Mortgage Assoc., 7.00%, 06/15/23 839,324 855 Government National Mortgage Assoc., 7.00%, 07/15/23 1,293,346 1,316 Government National Mortgage Assoc., 7.00%, 08/15/23 21,858 22 Government National Mortgage Assoc., 7.00%, 09/15/23 647,704 660 Government National Mortgage Assoc., 7.00%, 10/15/23 487,576 496 Government National Mortgage Assoc., 7.00%, 11/15/23 1,717,154 1,749 Government National Mortgage Assoc., 7.00%, 12/15/26 14,000,000 14,255 Government National Mortgage Assoc., 7.50%, 11/01/04 13,000,000 13,362 Government National Mortgage Assoc., 8.50%, 07/15/21 102,693 109 Government National Mortgage Assoc., 8.50%, 09/15/21 105,049 111 Government National Mortgage Assoc., 8.50%, 05/15/22 5,419 6 SHARES/ MARKET VALUE BONDS (32.4%) PAR (000'S) - ------------------------------------------------------------- FEDERAL GOVERNMENT AND AGENCIES (CONTINUED) Government National Mortgage Assoc., 8.50%, 09/15/22 134,921 $ 143 Government National Mortgage Assoc., 8.50%, 10/15/22 198,424 210 Government National Mortgage Assoc., 8.50%, 12/15/22 39,700 42 Government National Mortgage Assoc., 8.50%, 06/15/24 17,443 18 Government National Mortgage Assoc., 8.50%, 07/15/24 226,145 238 Government National Mortgage Assoc., 8.50%, 08/15/24 94,464 100 Government National Mortgage Assoc., 8.50%, 09/15/24 189,741 200 Government National Mortgage Assoc., 8.50%, 11/15/24 146,395 154 Government National Mortgage Assoc., 8.50%, 12/15/24 15,628 16 Government National Mortgage Assoc., 8.50%, 01/15/25 116,252 123 Government National Mortgage Assoc., 8.50%, 02/15/25 126,473 133 Government National Mortgage Assoc., 8.50%, 11/15/25 15,849 17 Government National Mortgage Assoc., 8.50%, 01/15/26 426,193 450 Government National Mortgage Assoc., 8.50%, 02/15/26 17,447 18 Government National Mortgage Assoc., 8.50%, 03/15/26 35,297 37 Government National Mortgage Assoc., 8.50%, 04/15/26 1,598,317 1,686 Government National Mortgage Assoc., 8.50%, 05/15/26 2,415,422 2,548 Rural Housing Trust - Class D, 6.33%, 4/1/26 6,384,704 6,384
-- 27 NORTHWESTERN MUTUAL SERIES FUND, INC. JUNE 30, 1998
SHARES/ MARKET VALUE BONDS (32.4%) PAR (000'S) - ------------------------------------------------------------- FEDERAL GOVERNMENT AND AGENCIES (CONTINUED) U.S. Treasury, 3.625%, 04/15/28 6,500,000 $ 6,455 U.S. Treasury, 5.375%, 01/31/00 3,000,000 2,993 U.S. Treasury, 5.500%, 02/29/00 150,000,000 149,953 U.S. Treasury, 5.500%, 01/31/03 2,500,000 3,497 U.S. Treasury, 5.500%, 03/31/03 35,500,000 35,478 U.S. Treasury, 5.500%, 02/15/08 175,000 175 U.S. Treasury, 5.625%, 04/30/00 10,500,000 10,520 U.S. Treasury, 5.625%, 12/31/99 5,000,000 5,006 U.S. Treasury, 5.625%, 12/31/02 2,300,000 2,309 U.S. Treasury, 6.000%, 07/31/02 4,000,000 4,068 U.S. Treasury, 6.125%, 08/15/07 7,000,000 7,287 U.S. Treasury, 6.125%, 11/15/27 1,000,000 1,072 U.S. Treasury, 6.375%, 05/15/99 45,600,000 45,914 U.S. Treasury, 7.250%, 08/15/04 6,000,000 6,531 ------------ TOTAL 502,462 ------------ TOTAL GOVERNMENT BONDS 538,478 ------------ MORTGAGE/ASSET BACKED SECURITIES (7.1%) AUTO-RELATED (0.8%) CIT RV Trust - Class A, 6.25%, 1/15/11 2,472,808 2,480 Daimler-Benz Vehicle Trust - Class A, 5.85%, 7/20/03 1,711,105 1,712 Eaglemark Trust - Class A, 6.75%, 11/15/02 3,841,254 3,874 Fleetwood Credit Corporation Grantor Trust - Class A, 6.4%, 05/15/13 2,834,250 2,866 Team Fleet Financing Corporation - Class A, 6.65%, 12/15/02 (144A) 11,800,000 11,894 Team Fleet Financing Corporation - Class A, 7.35%, 5/15/03 (144A) 3,000,000 3,108 ------------ TOTAL 25,934 ------------ CREDIT CARD (0.8%) Charming Shoppes Master Trust - Class A, 7%, 4/15/03 5,000,000 5,042 Iroquis Trust - Class A, 6.68%, 11/10/03 (144A) 15,000,000 15,117 Iroquis Trust - Class A, 6.752%, 06/25/07 (144A) 4,750,000 4,796 ------------ TOTAL 24,955 ------------ COMMERCIAL MORTGAGES (4.1%) Asset Securitization Corporation - Class CS1, 1.257%, 11/13/26 IO 26,132,306 1,033 Asset Securitization Corporation - Class PS1, 1.367%, 02/14/41 IO 22,576,780 2,439 SHARES/ MARKET VALUE BONDS (32.4%) PAR (000'S) - ------------------------------------------------------------- COMMERCIAL MORTGAGES (CONTINUED) BankBoston Marine Asset Backed Trust - Class A6, 6.64%, 08/15/10 7,000,000 $ 7,200 Chase Commercial Mortgage Securities Corp. - Class B, 6.6%, 12/12/29 2,500,000 2,546 Chase Commercial Mortgage Securities Corp. - Class A2, 6.6%, 12/12/29 8,500,000 8,754 Citibank Credit Card Master Trust I - Class A, 0%, 08/15/06 17,000,000 11,786 Commercial Mortgage Acceptance Corporation - Class B, 6.647%, 12/15/30 2,500,000 2,559 Credit Suisse First Boston Mortgage Securities Corp. - Class D, 9.5464%, 4/25/25 (144A) 2,047,000 2,408 Credit Suisse First Boston Mortgage Securities Corp. - Class B, 9.5914%, 4/25/25 (144A) 3,000,000 3,575 Credit Suisse First Boston Mortgage Securities Corp. - Class A2, 7.26%, 6/20/29 (144A) 3,197,493 3,386 Credit Suisse First Boston Mortgage Securities Corp. - Class B, 7.28%, 6/20/29 (144A) 3,250,000 3,428 Credit Suisse First Boston Mortgage Securities Corp. - Class D, 7.46%, 06/20/29 (144A) 6,000,000 6,264 Crumi Mae Commercial Mortgage Trust, 7.0%, 12/01/06 6,500,000 6,518 DLJ Mortgage Acceptance Corporation - Class S, 0.357%, 10/15/17 (144A) IO 18,880,945 508 DLJ Mortgage Acceptance Corporation - Class CF1, 0.718%, 02/18/31 IO 189,547,217 8,363 First Union-Lehman Brothers Commerical Mortgage Trust - Class C, 7.44%, 04/18/07 2,500,000 2,646 GMAC Commerical Mortgage Securities, Inc. - Class C, 7.81%, 10/15/11 (144A) 7,000,000 7,337 Kmart CMBS Financing, Inc. - Class D, 6.7875%, 03/01/07 (144A) 4,500,000 4,500
-- 28 NORTHWESTERN MUTUAL SERIES FUND, INC. JUNE 30, 1998
SHARES/ MARKET VALUE BONDS (32.4%) PAR (000'S) - ------------------------------------------------------------- COMMERCIAL MORTGAGES (CONTINUED) Kmart CMBS Financing, Inc. - Class C, 6.3875%, 03/01/07 (144A) 3,500,000 $ 3,501 Merrill Lynch Mortgage Investors, Inc. - Class C, 7.12%, 06/18/29 6,000,000 6,273 Merrill Lynch Mortgage Investors, Inc. - Class E, 8.1606% , 06/25/22 (144A) 2,000,000 2,098 Merrill Lynch Mortgage Investors, Inc. - Class C, 8.9223%, 11/25/20 5,845,000 6,021 Midland Realty Acceptance Corp. - Class AEC, 1.389%, 1/25/29 (144A) IO 28,148,529 2,107 Nomura Asset Securities Corp. - Class A2, 7.014%, 03/17/28 15,000,000 15,561 Nomura Asset Securities Corp. - Class A4, 7.594%, 03/17/28 2,200,000 2,258 Red Mountain Funding LLC - Class E, 7.365%, 01/15/19 (144A) 1,500,000 1,498 Red Mountain Funding LLC - Class F, 7.471%, 01/15/19 (144A) 1,800,000 1,707 ------------ TOTAL 126,274 ------------ FRANCHISE LOAN RECEIVABLES (0.3%) EMAC Owner Trust, 1.378%, 01/15/25 IO (144A) 40,000,000 3,031 EMAC Owner Trust - Class A2, 6.38%, 01/15/25 (144A) 6,000,000 5,999 ------------ TOTAL 9,030 ------------ HOME EQUITY LOAN (0.1%) Amresco Residential Securities - Class A2, 6.245%, 4/25/22 2,500,000 2,501 ------------ MANUFACTURED HOUSING (0.1%) Vanderbilt Mortgage and Finance, Inc. - Class 1A4, 7.19%, 02/07/14 2,500,000 2,618 ------------ OTHER ASSET BACKED (0.6%) FMAC Loan Receivables Trust - Class A, 6.20%, 09/15/20 (144A) 5,823,032 5,818 Heilig-Meyers Master Trust - Class A, 6.125%, 01/20/07 (144A) 6,500,000 6,469 Nations Credit Grantor Trust - Class A1, 6.35%, 12/15/04 2,454,211 2,473 SHARES/ MARKET VALUE BONDS (32.4%) PAR (000'S) - ------------------------------------------------------------- OTHER ASSET BACKED (CONTINUED) Newcourt Equipment - Class B, 6.764%, 09/20/04 (144A) 1,795,912 $ 1,806 Newcourt Equipment - Class C, 7.734%, 09/20/04 (144A) 1,436,730 1,444 ------------ TOTAL 18,010 ------------ RESIDENTIAL MORTGAGES (0.3%) BCF L L C Mortgage Pass Thru Certificate - Class B3, 7.75%, 3/25/37 (144A) 4,911,132 5,043 Blackrock Capital Finance LP, Class B3, 7.25%, 11/25/28 (144A) 5,947,865 5,714 ------------ TOTAL 10,757 ------------ TOTAL MORTGAGE/ASSET BACKED SECURITIES 220,079 ------------ MUNICIPAL BONDS(0.2%) New Jersey Economic Development Authority, 0.00%, 2/15/25 17,000,000 3,169 New Jersey Economic Development Authority, 0.00%, 2/15/26 11,000,000 1,920 New Jersey Economic Development Authority, 7.425%, 2/15/29 2,250,000 2,556 ------------ TOTAL MUNICIPAL BONDS 7,645 ------------ TOTAL BONDS 1,001,599 ------------ SHARES/ MARKET VALUE COMMON STOCK (54.0%) PAR (000'S) - ------------------------------------------------------------- BASIC MATERIALS (2.2%) Air Products & Chemicals, Inc. 44,000 $ 1,760 Alcan Aluminum Limited 42,500 1,174 Allegheny Teledyne, Inc. 36,662 839 Aluminum Co. of America 32,300 2,130 Archer Daniels Midland Company 106,873 2,071 *Armco, Inc. 20,200 129 ASARCO, Inc. 7,500 167 B.F. Goodrich Company 13,400 665 Barrick Gold Corporation 69,700 1,337 Battle Mountain Gold Company 43,000 255 Bemis Company, Inc. 9,900 405 *Bethlehem Steel Corporation 23,900 297 Boise Cascade Corporation 10,500 344 Champion International 18,000 885 Cyprus Amax Minerals Co. 17,500 232 Dow Chemical Company 42,400 4,100 E.I. du Pont de Nemours & Company 211,700 15,798
-- 29 NORTHWESTERN MUTUAL SERIES FUND, INC. JUNE 30, 1998
SHARES/ MARKET VALUE COMMON STOCK (54.0%) PAR (000'S) - ------------------------------------------------------------- BASIC MATERIALS (CONTINUED) Eastman Chemical Company 14,675 $ 914 Ecolab, Inc. 24,100 747 Engelhard Corp. 27,000 547 *FMC Corporation 6,500 443 Freeport-McMoRan Copper & Gold, Inc. 36,200 550 Georgia Pacific Group 17,300 1,020 Great Lakes Chemical 11,200 442 Hercules, Inc. 18,100 744 Homestake Mining Company 39,500 410 Inco Limited 31,200 425 Inland Steel Industries, Inc. 9,200 259 International Flavors & Fragrances, Inc. 20,400 886 International Paper Company 56,500 2,430 Louisiana Pacific Corporation 20,500 374 Mead Corp. 19,600 622 Monsanto Company 110,900 6,197 Morton International, Inc. 24,400 610 Nalco Chemical Company 12,500 439 Newmont Mining Corporation 29,230 691 Nucor Corp. 16,400 754 Phelps Dodge Corporation 11,000 629 Pioneer Hi-Bred International 45,700 1,891 Placer Dome, Inc. 46,200 543 Potlatch Corporation 5,400 227 PPG Industries, Inc. 33,300 2,316 Praxair 29,500 1,381 Reynolds Metals Company 13,800 772 Rohm and Haas Company 11,400 1,185 Sigma-Aldrich Corp. 18,800 660 *Stone Container Corporation 18,600 291 Temple-Inland Inc. 10,600 571 Union Camp Corporation 13,000 645 Union Carbide Corporation 23,000 1,228 USX-U.S. Steel Group, Inc. 16,100 531 *W.R. Grace & Co. 13,900 237 Westvaco Corporation 19,050 538 Weyerhaeuser Company 37,300 1,723 Willamette Industries, Inc. 20,800 666 Worthington Industries 18,100 273 ------------ TOTAL 68,399 ------------ CAPITAL GOODS (4.6%) Aeroquip-Vickers, Inc. 5,300 309 AlliedSignal, Inc. 105,500 4,682 AMP, Inc. 41,136 1,414 Avery Dennison Corporation 19,200 1,032 Ball Corporation 5,600 225 Boeing Company 187,018 8,334 Briggs & Stratton Corporation 4,600 172 Browning-Ferris Industries, Inc. 34,400 1,195 Case Corporation 14,000 676 SHARES/ MARKET VALUE COMMON STOCK (54.0%) PAR (000'S) - ------------------------------------------------------------- CAPITAL GOODS (CONTINUED) Caterpillar, Inc. 69,600 $ 3,680 Cincinnati Milacron, Inc. 7,500 182 Cooper Industries, Inc. 22,600 1,242 Corning, Inc. 43,200 1,501 Crane Co. 8,550 415 Crown Cork & Seal Company, Inc. 24,000 1,140 Cummins Engine Company, Inc. 7,100 364 Deere & Company 46,700 2,469 Dover Corporation 41,600 1,425 Eaton Corporation 13,400 1,042 Emerson Electric Co. 82,900 5,005 Fluor Corporation 15,700 801 Foster Wheeler Corporation 7,600 163 General Dynamics Corporation 23,500 1,093 General Electric Company 612,100 55,701 General Signal Corporation 8,200 295 Harnischfeger Industries, Inc. 8,900 252 Honeywell, Inc. 23,800 1,989 Illinois Tool Works, Inc. 46,700 3,114 Ingersoll-Rand Company 30,950 1,364 Johnson Controls, Inc. 15,700 898 Lockheed Martin Corporation 36,361 3,850 McDermott International, Inc. 11,300 389 Millipore Corp. 8,200 223 Minnesota Mining & Manufacturing Co. 76,400 6,279 Moore Corporation Ltd. 16,573 220 NACCO Industries, Inc. 1,500 194 National Service Industries, Inc. 8,000 407 *Navistar International Corp. 13,570 392 Northrop Grumman Corporation 12,500 1,289 *Owens-Illinois, Inc. 28,900 1,293 PACCAR, Inc. 14,590 762 Pall Corporation 23,366 479 Parker-Hannifin Corporation 20,700 789 Pitney Bowes, Inc. 51,200 2,464 Raychem Corp. 15,900 470 Rockwell International Corporation 37,600 1,807 *Sealed Air Corporation 15,386 565 Tenneco, Inc. 31,800 1,210 Textron, Inc. 30,700 2,201 *Thermo Electron Corporation 29,800 1,019 Thomas & Betts Corporation 10,300 507 Timken Company 11,800 364 Tyco International Ltd. 107,000 6,741 United Technologies Corp. 43,600 4,033
-- 30 NORTHWESTERN MUTUAL SERIES FUND, INC. JUNE 30, 1998
SHARES/ MARKET VALUE COMMON STOCK (54.0%) PAR (000'S) - ------------------------------------------------------------- CAPITAL GOODS (CONTINUED) Waste Management, Inc. 85,100 $ 2,979 ------------ TOTAL 143,100 ------------ COMMUNICATION SERVICES (3.7%) *Airtouch Communications, Inc. 105,500 6,165 ALLTEL Corporation 34,400 1,600 Ameritech Corporation 204,700 9,186 AT&T Corporation 303,800 17,355 Bell Atlantic Corporation 290,580 13,258 BellSouth Corporation 185,500 12,452 Frontier Corporation 30,700 967 GTE Corporation 179,100 9,962 MCI Communications Corporation 130,300 7,574 *Nextel Communications, Inc. 49,100 1,221 SBC Communications, Inc. 342,874 13,715 Sprint Corporation 80,400 5,668 US WEST, Inc. 93,505 4,395 *WorldCom, Inc. 189,500 9,179 ------------ TOTAL 112,697 ------------ CONSUMER CYCLICAL (5.2%) American Greetings Corp. 13,600 693 Armstrong World Industries, Inc. 7,600 512 *AutoZone, Inc. 28,400 907 Black & Decker Corporation 17,800 1,086 Brunswick Corporation 18,600 460 *Cendant Corporation 151,554 3,164 Centex Corporation 11,100 419 Chrysler Corporation 121,300 6,838 Circuit City Stores, Inc. 18,500 867 Cognizant Corp. 30,300 1,909 *Consolidated Stores Corporation 20,200 732 Cooper Tire & Rubber Company 14,700 303 *Costco Companies, Inc. 40,051 2,526 Dana Corporation 19,600 1,049 Dayton Hudson Corporation 81,800 3,967 Dillard's, Inc. 20,800 862 Dow Jones & Company, Inc. 18,000 1,004 Dun & Bradstreet Corporation 31,800 1,149 Echlin, Inc. 11,800 579 *Federated Department Stores, Inc. 39,200 2,109 Fleetwood Enterprises, Inc. 6,800 272 Ford Motor Company 224,500 13,246 *Fruit of the Loom, Inc. 13,700 455 Gannett Company, Inc. 53,100 3,773 General Motors Corp. 132,300 8,839 Genuine Parts Company 33,375 1,154 SHARES/ MARKET VALUE COMMON STOCK (54.0%) PAR (000'S) - ------------------------------------------------------------- CONSUMER CYCLICAL (CONTINUED) Goodyear Tire & Rubber Company 29,300 $ 1,888 H & R Block, Inc. 19,600 826 Harcourt General 13,200 785 *Harrahs Entertainment 18,900 439 Hasbro, Inc. 24,850 977 Hilton Hotels Corporation 46,800 1,334 Home Depot, Inc. 136,799 11,363 Interpublic Group of Cos., Inc. 23,600 1,432 ITT Industries, Inc. 22,200 830 J.C. Penney Company, Inc. 46,800 3,384 Jostens, Inc. 7,300 176 Kaufman & Broad Home Corp. 7,300 232 *Kmart Corporation 91,300 1,758 Knight-Ridder, Inc. 14,800 815 Laidlaw Transportation Limited 61,500 750 Liz Claiborne, Inc. 12,500 653 Lowe's Companies, Inc. 65,400 2,653 Marriott International, Inc. 47,700 1,544 Masco Corporation 30,900 1,869 Mattel, Inc. 54,360 2,300 May Department Stores Company 43,300 2,836 Maytag Corporation 17,800 879 McGraw-Hill Companies, Inc. 18,500 1,509 Mercantile Stores Company 6,900 545 Meredith Corporation 9,900 465 *Mirage Resorts, Inc. 33,600 716 Nike, Inc. 54,400 2,649 Nordstrom, Inc. 14,500 1,120 Omnicom Group 30,300 1,511 Owens Corning 10,000 408 Pep Boys-Manny, Moe & Jack 11,900 225 Pulte Corporation 7,900 236 *Reebok International Ltd. 10,500 291 Russell Corp. 6,800 205 Sears, Roebuck & Co. 73,300 4,476 Service Corporation International 47,100 2,019 Sherwin-Williams Company 32,300 1,070 Snap-On, Inc. 11,350 411 Springs Industries, Inc. 3,800 175 Tandy Corporation 19,300 1,024 The Gap, Inc. 74,000 4,560 The Limited, Inc. 42,200 1,398 The New York Times Company 18,000 1,427 The Stanley Works 16,700 694 Times Mirror Company 16,600 1,044 TJX Companies, Inc. 60,400 1,457 *Toys R Us 53,100 1,251 Tribune Company 23,000 1,583 TRW, Inc. 23,000 1,256
-- 31 NORTHWESTERN MUTUAL SERIES FUND, INC. JUNE 30, 1998
SHARES/ MARKET VALUE COMMON STOCK (54.0%) PAR (000'S) - ------------------------------------------------------------- CONSUMER CYCLICAL (CONTINUED) Venator Group, Inc. 25,200 $ 482 VF Corporation 22,900 1,179 Wal-Mart Stores, Inc. 420,100 25,521 Whirlpool Corporation 14,000 963 ------------ TOTAL 160,467 ------------ CONSUMER STAPLES (8.1%) Adolph Coors Co. 6,900 235 Alberto-Culver Company 10,600 307 Albertson's, Inc. 45,900 2,378 American Stores Co. 51,100 1,236 Anheuser-Busch Companies, Inc. 91,600 4,322 Avon Products, Inc. 24,700 1,914 BESTFOODS 53,800 3,124 Brown-Forman Corp. 12,900 829 Campbell Soup Company 85,400 4,537 Cardinal Health, Inc. 20,500 1,922 CBS Corporation 133,000 4,223 *Clear Channel Communications, Inc. 23,100 2,521 Clorox Company 19,300 1,841 Colgate-Palmolive Co. 55,300 4,866 Comcast Corp. 65,250 2,649 Conagra, Inc. 88,900 2,817 CVS Corporation 71,500 2,784 Darden Restaurant, Inc. 27,800 441 Deluxe Corp. 15,200 544 Fort James Corporation 39,100 1,740 Fortune Brands, Inc. 32,100 1,234 General Mills, Inc. 29,600 2,024 Giant Food, Inc. 11,200 482 Gillette Company 209,500 11,876 Great Atlantic & Pacific Tea Co., Inc. 7,200 238 H.J. Heinz Company 68,350 3,836 Hershey Foods Corporation 26,700 1,842 Kellogg Company 76,900 2,889 Kimberly-Clark Corporation 103,932 4,768 *King World Productions, Inc. 13,800 352 Longs Drug Stores Corp. 7,200 208 Mc Donald's Corporation 128,800 8,887 *MediaOne Group, Inc. 113,500 4,987 Newell Co. 29,800 1,484 Pepsico, Inc. 283,800 11,689 Philip Morris Companies, Inc. 453,500 17,857 Procter & Gamble Company 251,100 22,866 R.R. Donnelley & Sons Company 27,300 1,249 Ralston Purina Group 20,000 2,336 Rite Aid Corporation 48,200 1,811 Rubbermaid, Inc. 28,000 929 SHARES/ MARKET VALUE COMMON STOCK (54.0%) PAR (000'S) - ------------------------------------------------------------- CONSUMER STAPLES (CONTINUED) Safety-Kleen Corp. 88,500 $ 4,950 Supervalu, Inc. 11,200 497 Sysco Corporation 63,600 1,630 *Tele Communications, Inc. 94,914 3,648 The Coca-Cola Company 462,600 39,552 *The Kroger Company 47,700 2,045 The Quaker Oats Company 25,900 1,423 The Seagram Company Ltd. 66,700 2,731 Time Warner, Inc. 108,200 9,244 *Tricon Global Restaurants, Inc. 28,390 900 Tupperware 11,400 321 Unilever, N.V. 119,700 9,449 UST, Inc. 34,500 932 *Viacom, Inc. 66,056 3,848 Walgreen Co. 92,600 3,825 Walt Disney Company 126,236 13,263 Wendy's International, Inc. 24,700 580 Winn-Dixie Stores, Inc. 27,800 1,423 Wm. Wrigley Jr. Company 21,700 2,126 ------------ TOTAL 251,461 ------------ ENERGY (3.9%) Amerada Hess Corporation 17,100 929 Amoco Company 182,200 7,584 Anadarko Petroleum Corporation 11,200 753 Apache Corporation 17,900 564 Ashland, Inc. 14,100 728 Atlantic Richfield Company 60,000 4,688 Baker Hughes, Inc. 31,700 1,096 Burlington Resource, Inc. 32,975 1,420 Chevron Corp. 122,800 10,200 Dresser Industries, Inc. 32,800 1,445 Exxon Corporation 461,200 32,889 Halliburton Company 49,000 2,184 Helmerich & Payne, Inc. 9,400 209 Kerr-McGee Corporation 8,900 515 Mobil Corporation 146,700 11,241 Occidental Petroleum Corporation 63,400 1,712 *ORYX Energy Company 19,800 438 Pennzoil Company 8,900 450 Phillips Petroleum Company 49,200 2,371 *Rowan Companies, inc. 16,200 315 Royal Dutch Petroleum Co., ADR 401,100 21,985 Schlumberger Limited 93,100 6,360 Sun Company, Inc. 17,700 687 Texaco, Inc. 102,500 6,118 Union Pacific Resource Group 47,458 833 Unocal Corp. 46,100 1,648 USX-Marathon Group 53,900 1,849
-- 32 NORTHWESTERN MUTUAL SERIES FUND, INC. JUNE 30, 1998
SHARES/ MARKET VALUE COMMON STOCK (54.0%) PAR (000'S) - ------------------------------------------------------------- ENERGY (CONTINUED) *Western Atlas International, Inc. 10,200 $ 865 ------------ TOTAL 122,076 ------------ FINANCE (9.6%) Aetna, Inc. 27,793 2,116 Allstate Corporation 80,247 7,348 American Express Company 86,900 9,907 American General Corporation 47,503 3,382 American International Group, Inc. 131,175 19,152 Aon Corporation 31,350 2,202 Associates First Capital Corporation 64,819 4,983 Banc One Corporation 131,301 7,328 BankAmerica Corporation 129,700 11,211 BankBoston Corporation 54,400 3,026 Bankers Trust New York Corporation 18,300 2,124 BB&T Corporation 26,700 1,806 Beneficial Corporation 9,900 1,517 Charles Schwab Corporation 49,650 1,614 Chase Manhattan Corporation 157,648 11,902 CIGNA Corporation 41,600 2,870 Cincinnati Financial Corporation 30,800 1,182 Citicorp 85,400 12,746 Comerica, Inc. 29,500 1,954 Conseco, Inc. 35,200 1,646 Countrywide Credit Industries, Inc. 20,300 1,030 Fannie Mae 198,500 12,059 Federal Home Loan Mortgage Corp. 130,000 6,118 Fifth Third Bancorp 43,575 2,745 First Chicago NBD Corporation 54,405 4,822 First Union Corporation 180,886 10,537 Fleet Financial Group, Inc. 51,019 4,260 Franklin Resources, Inc. 47,300 2,554 General Re Corporation 14,700 3,726 Golden West Financial Corporation 10,600 1,127 Green Tree Financial Corporation 25,500 1,092 H.F. Ahmanson & Company 20,500 1,456 Hartford Financial Services Group, Inc. 22,100 2,528 Household International, Inc. 60,000 2,985 Huntington Bancshares, Inc. 35,800 1,199 J.P. Morgan & Company, Inc. 33,200 3,889 Jefferson-Pilot Corp. 19,875 1,152 KeyCorp 82,200 2,928 Lehman Bros Holdings, Inc. 19,100 1,481 SHARES/ MARKET VALUE COMMON STOCK (54.0%) PAR (000'S) - ------------------------------------------------------------- FINANCE (CONTINUED) Lincoln National Corporation 19,100 $ 1,745 Loews Corp. 21,500 1,873 Marsh & McLennan Companies, Inc. 47,700 2,883 MBIA, Inc. 18,300 1,370 MBNA Corp. 93,755 3,094 Mellon Bank Corporation 47,600 3,314 Mercantile Bancorp 24,500 1,234 Merrill Lynch & Co. 62,300 5,747 MGIC Investment Corp. 21,400 1,221 Morgan Stanley, Dean Witter & Co. 110,780 10,123 National City Corp. 61,400 4,359 NationsBank Corp. 175,859 13,453 Northern Trust Corp. 20,900 1,594 Norwest Corporation 141,300 5,281 PNC Bank Corp. 57,100 3,073 Progressive Corporation 13,500 1,904 Providian Financial Corporation 17,800 1,398 Republic New York Corporation 20,400 1,284 SAFECO, Inc. 26,400 1,200 St. Paul Companies, Inc. 43,206 1,817 State Street Corporation 30,100 2,092 Summit Bancorp 32,900 1,563 SunAmerica, Inc. 36,500 2,096 Suntrust Banks, Inc. 39,400 3,204 Synovus Financial Corp. 49,150 1,167 The Bank of New York Company, Inc. 70,500 4,278 The Chubb Corporation 31,800 2,556 Torchmark Corporation 26,200 1,199 Transamerica Corporation 11,800 1,358 Travelers Group, Inc. 214,538 13,006 U.S. Bancorp 137,787 5,924 UNUM Corporation 26,000 1,443 Wachovia Corporation 38,500 3,253 Washington Mutual, Inc. 72,170 3,135 Wells Fargo & Company 16,266 6,002 ------------ TOTAL 297,947 ------------ HEALTHCARE (6.3%) Abbott Laboratories, Inc. 286,100 11,694 Allergan, Inc. 12,200 566 *Alza Corporation 16,000 692 American Home Products Corporation 243,000 12,575 *Amgen, Inc. 49,200 3,216 Bausch & Lomb, Inc. 10,300 515 Baxter International, Inc. 52,400 2,820 Becton, Dickinson & Company 22,900 1,778 Biomet, Inc. 20,900 691
-- 33 NORTHWESTERN MUTUAL SERIES FUND, INC. JUNE 30, 1998
SHARES/ MARKET VALUE COMMON STOCK (54.0%) PAR (000'S) - ------------------------------------------------------------- HEALTHCARE (CONTINUED) *Boston Scientific Corp. 36,400 $ 2,607 Bristol-Myers Squibb Company 186,000 21,378 C.R. Bard, Inc. 10,600 403 Columbia/HCA Healthcare Corporation 121,150 3,528 Eli Lilly & Company 207,500 13,708 Guidant Corporation 28,200 2,011 *HEALTHSOUTH Corporation 73,600 1,964 *Humana, Inc. 30,600 954 Johnson & Johnson 251,500 18,548 Mallinckrodt, Inc. 13,700 407 Manor Care, Inc. 11,900 457 Medtronic, Inc. 87,700 5,591 Merck & Co., Inc. 224,100 29,973 Pfizer, Inc. 241,900 26,292 Pharmacia & Upjohn, Inc. 94,930 4,379 Schering-Plough Corporation 136,900 12,543 *St. Jude Medical, Inc. 15,650 576 *Tenet Healthcare Corp. 57,300 1,791 U.S. Surgical Corporation 14,200 648 *United Healthcare Corp. 35,200 2,235 Warner-Lambert Company 152,800 10,601 ------------ TOTAL 195,141 ------------ TECHNOLOGY (8.1%) *3COM Corporation 66,300 2,035 Adobe Systems, Inc. 12,800 543 *Advanced Micro Devices, Inc. 26,500 452 *Andrew Corporation 16,562 299 *Apple Computer, Inc. 24,800 711 *Applied Materials, Inc. 68,500 2,021 *Ascend Communications, Inc. 36,100 1,789 Autodesk, Inc. 8,700 336 Automatic Data Processing, Inc. 55,900 4,074 *Bay Networks 41,100 1,325 *Cabletron Systems, Inc. 29,600 398 *Ceridian Corp. 13,500 793 *Cisco Systems, Inc. 190,400 17,529 Compaq Computer Corporation 309,167 8,773 Computer Associates International, Inc. 102,112 5,674 *Computer Sciences Corp. 29,200 1,869 *Data General Corporation 9,100 136 *Dell Computer Corp. 122,100 11,332 *DSC Communications Corporation 22,100 663 Eastman Kodak Company 60,800 4,442 EG&G, Inc. 8,500 255 *EMC Corporation 92,800 4,159 Equifax, Inc. 28,100 1,020 First Data Corporation 80,100 2,668 SHARES/ MARKET VALUE COMMON STOCK (54.0%) PAR (000'S) - ------------------------------------------------------------- TECHNOLOGY (CONTINUED) *Gateway 2000, Inc. 29,000 $ 1,468 *General Instrument Corporation 27,700 753 Harris Corporation 14,900 666 HBO & Company 78,900 2,781 Hewlett-Packard Company 194,500 11,646 Ikon Office Solutions 25,200 367 Intel Corporation 306,000 22,682 International Business Machines Corporation 181,800 20,873 *KLA-Tencor Corporation 15,700 435 *LSI Logic Corp. 26,500 611 Lucent Technologies, Inc. 243,386 20,247 *Micron Technology 39,600 983 *Microsoft Corporation 455,400 49,354 Motorola, Inc. 111,700 5,871 *National Semiconductor Corporation 30,700 405 Northern Telecom Limited 97,400 5,527 *Novell, Inc. 65,600 836 *Oracle Corporation 184,050 4,521 *Parametric Technology Company 48,000 1,302 Perkin-Elmer Corporation 9,100 566 Polaroid Corporation 8,400 299 Raytheon Company Class B 63,400 3,749 Scientific-Atlanta, Inc. 14,800 375 *Seagate Technology, Inc. 45,300 1,079 Shared Medical Systems Corp. 4,900 360 *Silicon Graphics 35,100 425 *Sun Microsystems, Inc. 70,600 3,066 Tektronix, Inc. 9,400 333 *Tellabs, Inc. 33,900 2,428 Texas Instruments, Inc. 73,000 4,257 *Unisys Corporation 46,700 1,319 W.W. Grainger, Inc. 18,600 927 Xerox Corporation 61,000 6,199 ------------ TOTAL 250,006 ------------ TRANSPORTATION (0.6%) *AMR Corporation 34,100 2,839 Burlington Northern Santa Fe 29,233 2,870 CSX Corporation 40,800 1,856 Delta Air Lines, Inc. 14,000 1,809 *FDX Corporation 27,420 1,721 Norfolk Southern Corporation 70,500 2,102 Ryder System, Inc. 14,300 451 Southwest Airlines Co. 41,300 1,224 Union Pacific Corporation 46,200 2,039 *US Airways Group, Inc. 17,100 1,355 ------------ TOTAL 18,266 ------------
-- 34 NORTHWESTERN MUTUAL SERIES FUND, INC. JUNE 30, 1998
SHARES/ MARKET VALUE COMMON STOCK (54.0%) PAR (000'S) - ------------------------------------------------------------- UTILITIES (1.7%) Ameren Corporation 25,700 $ 1,022 American Electric Power Company, Inc. 35,500 1,611 Baltimore Gas & Electric Co. 27,600 857 Carolina Power & Light Company 28,100 1,219 Central & South West Corporation 39,700 1,067 Cinergy Corporation 29,505 1,033 Coastal Corp. 19,800 1,382 Columbia Energy Group 15,600 868 Consolidated Edison Co. of New York 44,000 2,027 Consolidated Natural Gas Company 17,900 1,054 Dominion Resources, Inc. 36,200 1,475 DTE Energy Company 27,100 1,094 Duke Energy Corp. 67,271 3,986 Eastern Enterprises 3,800 163 Edison International 71,300 2,108 Enron Corp. 61,400 3,319 Entergy Corporation 45,600 1,311 FirstEnergy Corp. 43,100 1,325 FPL Group, Inc. 34,000 2,142 GPU, Inc. 23,700 896 Houston Industries, Inc. 52,826 1,631 *Niagara Mohawk Power Corporation 27,000 403 Nicor, Inc. 9,000 361 Northern States Power Company 27,900 799 ONEOK, Inc. 5,800 231 P P & L Resources, Inc. 31,000 703 PacifiCorp 55,500 1,256 PECO Energy Company 41,600 1,214 Peoples Energy Corporation 6,600 255 PG&E Corp. 71,300 2,250 Public Service Enterprise Group, Inc. 43,400 1,495 *Sempra Energy 23,459 651 Sonat, Inc. 20,600 796 Southern Company 129,100 3,574 Texas Utilities Company 46,095 1,919 UNICOM Corp. 40,500 1,420 Williams Companies, Inc. 76,900 2,595 ------------ TOTAL 51,512 ------------ TOTAL COMMON STOCK 1,671,072 ------------ SHARES/ MARKET VALUE SHORT TERM INVESTMENTS (13.0%) PAR (000'S) - ------------------------------------------------------------- MONEY MARKET INVESTMENTS (12.9%) AUTOMOBILE REPAIR, SERVICES, & PARKING (1.4%) PHH Corporation, 6.349%, 07/01/98 17,700,000 $ 17,700 +PHH Corporation, 5.65%, 07/15/98 25,000,000 24,945 ------------ TOTAL 42,645 ------------ BANK HOLDING COMPANIES (0.8%) Cargill Incorporated, 5.73%, 07/10/98 25,000,000 24,964 ------------ ELECTRIC SERVICES (0.2%) Pacific Gas & Electric Co., 5.375%, 8/1/98 5,000,000 4,998 ------------ ENERGY (0.0%) Petroleos Mexicanos, 8%, 7/1/98 (144A) 1,000,000 1,000 ------------ FOREIGN GOVERNMENT (0.1%) Bonos Del Tesoro, 8%, 12/13/98 3,500,000 3,514 ------------ FINANCE (4.1%) +American General Finance, 5.55%, 08/18/98 25,000,000 24,815 +Asset Securitization, 5.55%, 07/30/98 25,000,000 24,888 BAT Capital Corporation, 5.65%, 07/31/98 27,000,000 26,873 +CIT Group Holdings, 5.52%, 07/08/98 25,000,000 24,973 +International Securitization Corp., 5.55%, 07/15/98 25,000,000 24,946 ------------ TOTAL 126,495 ------------ GOVERNMENT (0.7%) +Federal Home Loan Mortgage Corporation, 5.43%, 08/07/98 10,000,000 9,923 U.S. Treasury Bill, 5.11%, 06/24/99 12,000,000 11,395 ------------ TOTAL 21,318 ------------ PERSONAL CREDIT INSTITUTIONS (4.0%) +Associates Corporation of N.A., 5.53%, 08/20/98 25,000,000 24,808 +Ford Motor Credit Company, 5.52%, 07/15/98 25,000,000 24,946 +General Electric Capital Corp., 5.53%, 08/26/98 25,000,000 24,785 General Motors Acceptance Corp., 5.53%, 08/11/98 25,000,000 24,843 Variable Funding Capital Corp., 5.57%, 07/24/98 25,000,000 24,911 ------------ TOTAL 124,293 ------------
-- 35 NORTHWESTERN MUTUAL SERIES FUND, INC. JUNE 30, 1998
SHARES/ MARKET VALUE SHORT TERM INVESTMENTS (13.0%) PAR (000'S) - ------------------------------------------------------------- PETROLEUM AND COAL PRODUCTS (0.8%) E.I. Du Pont de Nemours and Company, 5.55%, 08/07/98 25,000,000 $ 24,857 ------------ SHORT TERM BUSINESS CREDIT (0.8%) +Sears Roebuck Acceptance Corp., 5.53%, 08/12/98 25,000,000 24,839 ------------ TOTAL MONEY MARKET INVESTMENTS 398,923 ------------ SHARES/ MARKET VALUE ASSET-BACKED SECURITIES (0.1%) PAR (000'S) - ------------------------------------------------------------- COMMERCIAL MORTGAGES (0.1%) BTC Mortgage Investors Trust - Class A, 6.255%, 12/31/09 2,276,401 $ 2,271 ------------ TOTAL ASSET-BACKED SECURITIES 2,271 ------------ TOTAL SHORT TERM INVESTMENTS 401,194 ------------ TOTAL BALANCED PORTFOLIO (99.4%) (COST $2,096,981,447)^ 3,073,865 OTHER ASSETS, LESS LIABILITIES (0.6%) 19,284 ------------ TOTAL NET ASSETS (100.0%) $ 3,093,149 ------------
IO-Interest Only Security 144A after the name of a security represents a security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. * Non-Income Producing #Deferred interest security that presently receives no coupon payments. At a predetermined date the stated coupon rate becomes effective. + Partially held by the custodian in a segregated account as collateral for open futures postions. Information regarding open futures contracts as of June 30, 1998 is summarized below:
UNREALIZED NUMBER OF EXPIRATION APPRECIATION ISSUER CONTRACTS DATE (000'S) - -------------------- ---------- ------------ ------------- S&P 500 Stock Index 533 9/98 $3,602
(Total Market Value at 6/30/98, $152,304,750) Foreign forward currency contracts outstanding at June 30, 1998:
UNREALIZED PRINCIPAL AMT. COVERED EXPIRATION APPRECIATION TYPE CURRENCY BY CONTRACT MONTH (000'S) - --------- --------- ---------------------- ---------- ------------- Sell DEM 11,782,980 09/98 $36
DEM-German Deutschmark ** Foreign security denominated in Greek Drachma. ^ At June 30, 1998, the aggregate cost of securities for federal income tax purposes was $2,096,981,447 and the net unrealized appreciation of investments based on that cost was $976,883,843 which is comprised of $1,000,501,525 aggregate gross unrealized appreciation and $23,617,682 aggregate gross unrealized depreciation. The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) -- 36 HIGH YIELD BOND PORTFOLIO - -------------------------------------------------------------------------------- Objective: Portfolio Strategy: Net Assets: High current income and capital Generate superior performance by investing in a $190,372,755 appreciation with moderate risk diversified mix of fixed income securities rated below investment grade.
HIGH YIELD BOND PORTFOLIO Investing in a portfolio of high yield bonds provides investors who can accept a moderate level of risk with a high level of current income, coupled with the opportunity for capital gains. Holdings of particular interest include solid investments in entities that have the possibility of a positive event, such as a significant improvement in credit rating or earnings or a change in ownership. In a high-yield portfolio, some credit losses over time are inevitable; high coupons and diversification across many holdings mitigate the impact of individual securities on the performance of the total Portfolio. During the first half of 1998, the Portfolio significantly outperformed the Lehman Brothers High Yield Intermediate Market Index. This strong performance can be attributed largely to careful selection of market sectors and individual securities, the selective inclusion of undervalued preferred stocks, and the relatively high proportion of positive to negative credit developments. During the first quarter of the year, a major theme was the adoption of a more conservative credit posture by reducing exposure to debt in emerging markets, particularly in Southeast Asia. This action was beneficial in two respects: it limited exposure to subsequent Asian weakness, and it created the flexibility to opportunistically take advantage of trading weakness in Latin America during the second quarter as quality credits from this region dropped to bargain levels. Exposure to the telecommunications and cable television industries was also increased, in order to take advantage of the strong prospects and merger activity in these industries. In the first six months of 1998, new issuance of high-yield securities was very heavy, with total volume just below the record level for the full year 1997. Because the market had difficulty absorbing this heavy supply of new bonds, the spread between high-yield and investment-grade bonds moved to the widest level in more than two years. The Portfolio's managers took advantage of this opportunity to buy medium-quality high-yield bonds. The Portfolio's focus on current yield and medium quality should position it well to participate in a credit rally but also provides a strong yield buffer should interest rates rise unexpectedly. Percentage Holdings by Industry Sector 6/30/98 EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC Telecommunications 19% Broadcasting/Media 14% Leisure 12% Cable Television 11% Consumer Related/Health Care 14% Basic Materials/Energy 8% Transportation 7% Finance 5% Services 3% Other Industries 5% Cash Equivalents 2%
Performance Relative to Lehman Brothers High Yield Index EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
LEHMAN BROTHERS HIGH YIELD HIGH YIELD BOND PORTFOLIO INTERMEDIATE MARKET INDEX 5/94 $10,000 $10,000 6/94 $10,110 $10,061 6/95 $11,490 $11,330 6/96 $12,836 $12,465 6/97 $15,684 $14,158 6/98 $17,635 $15,680 Average Annual Total Return For Periods Ended June 30, 1998 One Year Since Inception High Yield Bond Portfolio 12.44% 14.62% Lehman Brothers Index 10.75% 11.42%
The total return performance for the High Yield Bond Portfolio is shown in comparison with the Lehman Brothers High Yield Intermediate Market Index. The Lehman Brothers index is an appropriate measure of portfolio performance since it has a quality and maturity profile that resembles the High Yield Bond Portfolio. The Lehman Brothers High Yield Intermediate Market Index is made up of dollar-denominated, nonconvertible, SEC publicly registered fixed rate noninvestment grade issues. The bonds will have remaining maturities of between one and ten years and have an outstanding par value of at least $100 million. Yankee and global bonds (SEC registered) of issuers in G-7 countries are included. Original issue zero coupon bonds and step-up coupon structures are also included; however, the index excludes pay-in-kind (PIK) bonds. Each bond must be rated Ba1 or lower by Moody's Investor Service. If a Moody's rating is unavailable, the bonds must be rated BB+ or lower by Standard & Poor's, or by Fitch if an S&P rating is unavailable. A few unrated bonds are included in the index; to be eligible they must have previously held a high yield rating or have been associated with a high yield issuer. The index is an unmanaged market value weighted index and measures the income provided by, and the price changes of, the underlying securities. This chart assumes an initial investment of $10,000 made on 5/3/94 (commencement of operations). Returns shown include deductions for management and other fund expenses, and reinvestment of all dividends. Returns exclude deductions for separate account sales loads and account fees. Past performance is not predictive of future performance. Investment return and principal value will fluctuate, so that your shares, when redeemed, may be worth more or less than their original cost. Accumulation unit values, which reflect deduction of charges for the separate account, are shown on page 2. -- 37 HIGH YIELD BOND PORTFOLIO NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1998
MARKET SHARES/ VALUE BONDS (82.8%) PAR (000'S) - --------------------------------------------------------------------------------- BASIC MATERIALS (1.8%) PAPER (1.3%) Indah Kiat Fin Mauritius Ltd., 10.00%, 07/01/07 1,000,000 $ 708 Pindo Deli Fin Mauritius, 10.75%, 10/01/07 2,500,000 1,750 --------- TOTAL 2,458 --------- STEEL (0.5%) Renco Steel Holdings, Inc., 10.875%, 2/01/05 (144A) 1,000,000 1,000 --------- TOTAL BASIC MATERIALS 3,458 --------- BROADCASTING/MEDIA (5.9%) BROADCASTING (5.1%) +Big City Radio, Inc., 11.25%, 3/15/05 (144A) 4,900,000 3,724 +Fox Family Worldwide, Inc., 10.25%, 11/01/07 4,600,000 2,990 Fox Family Worldwide, Inc., 9.25%, 11/01/07 1,900,000 1,900 +Fox/Liberty Network, 9.75%, 08/15/07 1,650,000 1,138 --------- TOTAL 9,752 --------- PRINTING AND PUBLISHING (0.8%) +Diva System Corp., 12.625%, 3/01/08 3,375,000 1,553 --------- TOTAL BROADCASTING/MEDIA 11,305 --------- CABLE TELEVISION (7.5%) CTI Holdings, S A, 11.50%, 04/15/08 (144A) 2,000,000 1,110 +International Cabletel, Inc., 11.50%, 02/01/06 3,000,000 2,475 +NTL, Inc.,9.75%, 4/01/08 (144A) 3,950,000 2,568 Rogers Communications, 8.875%, 7/15/07 3,250,000 3,274 Supercanal Holdings S A, 11.50%, 05/15/05 (144A) 2,500,000 2,400 +Telewest PLC, 11.00%, 10/1/07 3,000,000 2,490 --------- TOTAL CABLE TELEVISION 14,317 --------- CONSUMER RELATED (11.0%) CONSUMER STAPLES (2.1%) North Atlantic Trading, Inc., 11.00%, 6/15/04 2,250,000 2,250 +SF Holdings Group, Inc., 12.75%, 3/15/08 3,250,000 1,739 --------- TOTAL 3,989 --------- FOODS/FOOD SERVICES (6.6%) Favorite Brands Int'l, Inc., 10.75%, 05/15/06 (144A) 4,500,000 4,545 Global Health Sciences, Inc., 11.0%, 05/01/08 (144A) 2,500,000 2,469 MARKET SHARES/ VALUE BONDS (82.8%) PAR (000'S) - --------------------------------------------------------------------------------- FOODS/FOOD SERVICES (CONTINUED) Iowa Select Farms L.P., 10.75%, 12/01/05 (144A) 3,700,000 $ 3,719 Planet Hollywood, 12.00%, 4/01/05 (144A) 2,100,000 1,901 --------- TOTAL 12,634 --------- HOUSEHOLD PRODUCTS (0.4%) +Diamond Brands, 12.875%, 04/15/09 (144A) 1,250,000 668 --------- SOAPS & TOILETRIES (1.9%) AKI, Inc., 10.50%, 07/01/08 (144A) 1,250,000 1,256 Styling Technologies, 10.875%, 07/01/08 (144A) 2,300,000 2,335 --------- TOTAL 3,591 --------- TOTAL CONSUMER RELATED 20,882 --------- ENERGY RELATED (5.8%) OIL AND GAS INDEPENDENT (4.3%) Belden & Blake Corp., 9.875%, 6/15/07 2,250,000 2,199 Chesapeake Energy, 9.625%, 05/01/05 (144A) 1,750,000 1,754 Gothic Production Corp., 11.125%, 05/01/05 (144A) 4,500,000 4,309 --------- TOTAL 8,262 --------- OIL FIELD SERVICES (1.5%) Bayard Drilling Technologies, 11.00%, 06/30/05 (144A) 2,800,000 2,814 --------- TOTAL ENERGY RELATED 11,076 --------- FINANCE (4.1%) FINANCE COMPANIES (2.9%) Arcadia Financial, Ltd., 11.50%, 3/15/07 4,000,000 4,010 BF Saul Real Estate, 9.75%, 4/01/08 1,500,000 1,481 --------- TOTAL 5,491 --------- INSURANCE (1.2%) Superior Nat'l Capital Trust I, 10.75%, 12/01/17 2,000,000 2,150 --------- TOTAL FINANCE 7,641 --------- HEALTHCARE (2.5%) HEALTHCARE (1.1%) Vencor, Inc., 9.875%, 05/01/05 (144A) 2,100,000 2,066 --------- HOSPITAL SUPPLIES (1.4%) Medaphis Corp., 9.50%, 2/15/05 (144A) 2,750,000 2,723 --------- TOTAL HEALTHCARE 4,789 ---------
-- 38 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1998
MARKET SHARES/ VALUE BONDS (82.8%) PAR (000'S) - --------------------------------------------------------------------------------- LEISURE (11.6%) GAMING (5.2%) Trump Atlantic, 11.25%, 5/1/06 2,500,000 $ 2,425 Trump Hotels & Casino Resorts, 15.50%, 6/15/05 2,000,000 2,250 Venetian Casino/LV Sands, 12.25%, 11/15/04 5,000,000 5,163 --------- TOTAL 9,838 --------- LEISURE RELATED (2.7%) +Hedstrom Holdings Inc., 12.00%, 6/1/09 3,325,000 2,128 Samsonite Corp., 10.75%, 06/15/08 3,000,000 2,978 --------- TOTAL 5,106 --------- MOVIE THEATERS (3.7%) Clearview Cinemas, 10.875%, 06/01/08 2,500,000 2,543 Hollywood Theaters, Inc., 10.625%, 08/01/07 1,350,000 1,397 Silver Cinemas, 10.50%, 04/15/05 (144A) 3,000,000 3,015 --------- TOTAL 6,955 --------- TOTAL LEISURE 21,899 --------- OTHER INDUSTRIES (4.5%) APPAREL, TEXTILE (0.4%) PT Polysindo, 13.00%, 6/15/01 2,000,000 800 --------- AUTO RELATED (1.0%) Exide Corporation, 2.90%, 12/15/05 (144A) 3,000,000 1,853 --------- HOUSEHOLD FURNISHINGS, APPLIANCES (3.1%) Corning Consumer Products Co., 9.625%, 05/01/08 (144A) 1,100,000 1,091 Home Interiors & Gifts, Inc., 10.125%, 06/01/08 (144A) 1,500,000 1,532 Imperial Home, 11.00%, 3/15/08 3,200,000 3,312 --------- TOTAL 5,935 --------- TOTAL OTHER INDUSTRIES 8,588 --------- SERVICES (3.0%) PROFESSIONAL SERVICES (3.0%) +AP Holdings Inc., 11.25%, 3/15/08 (144A) 1,000,000 605 +Decisionone Holdings, 11.50%, 8/1/08 3,875,000 2,344 Decisionone Holdings, 9.75%, 8/1/07 1,800,000 1,737 Federal Data Corp., 10.125%, 8/01/05 1,000,000 1,015 --------- TOTAL SERVICES 5,701 --------- MARKET SHARES/ VALUE BONDS (82.8%) PAR (000'S) - --------------------------------------------------------------------------------- TELECOMMUNICATIONS (18.0%) Arch Communications, 12.75%, 07/01/07 (144A) 4,000,000 $ 4,025 +Bestel S A de CV, 12.75%, 05/15/05 3,750,000 2,531 +Call-Net Enterprises, 9.27%, 8/15/07 1,000,000 700 Comtel Brasileira Ltda., 10.75%, 9/26/04 (144A) 500,000 461 +Firstworld Communications, 13.00%, 04/15/08 2,500,000 1,100 +GST USA, Inc., 13.875%, 12/15/05 2,100,000 1,701 +GST Network Funding, Inc., 10.50%, 05/01/08 (144A) 3,200,000 1,920 +Hyperion Telecommunications, 13.00%, 4/15/03 3,450,000 2,570 Hyperion Telecommunications, 12.25%, 9/01/04 900,000 970 +KMC Telecommunication Hldgs, 12.50%, 2/15/08 6,250,000 3,625 +Metronet Communications, 10.75%, 11/01/07 4,825,000 3,166 +Metronet Communications, 9.95%, 06/15/08 (144A) 3,900,000 2,413 ++Mobilemedia Communications Inc., 10.50%, 12/01/03 2,000,000 540 +Nextel Communications, Inc., 9.75%, 10/31/07 2,000,000 1,300 +Nextel Communications, Inc., 9.75%, 2/15/08 (144A) 2,500,000 1,597 +Pinnacle Hldgs., Inc., 10.00%, 3/15/08 (144A) 3,250,000 2,129 +21st Century Telecom, 12.25%, 2/15/08 (144A) 1,750,000 980 Viatel, Inc., 12.50%, 04/15/08 2,500,000 1,513 Winstar Communications, 10.00%, 3/15/08 (144A) 1,000,000 993 --------- TOTAL TELECOMMUNICATIONS 34,234 --------- TRANSPORTATION (6.6%) TRUCKING AND SHIPPING (6.6%) Greyhound Lines, Inc., 11.50%, 4/15/07 3,000,000 3,330 Navigator Gas Trans PLC, 12.00%, 06/30/07 900,000 1,017 Navigator Gas Trans PLC, 10.50%, 06/30/07 (144A) 3,600,000 3,753 Stena Line AB, 10.625%, 06/01/08 4,500,000 4,556 --------- TOTAL TRANSPORTATION 12,656 --------- UTILITIES (0.5%) Companhia De Saneamento Basico, 10%, 7/28/05 (144A) 500,000 435
-- 39 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1998
MARKET SHARES/ VALUE BONDS (82.8%) PAR (000'S) - --------------------------------------------------------------------------------- UTILITIES (CONTINUED) Espirito Santo Centrais Electricad, 10%, 7/15/07 (144A) 500,000 $ 423 --------- TOTAL UTILITIES 858 --------- TOTAL BONDS 157,404 --------- MARKET SHARES/ VALUE PREFERRED STOCK (14.7%) PAR (000'S) - --------------------------------------------------------------------------------- BROADCASTING MEDIA (8.6%) BROADCASTING (6.1%) **CBS Radio Inc. (PIK) 18,769 $ 2,173 **Citadel Broadcasting Co. (PIK) 14,200 1,676 Cumulus Media, Inc. 30,000 3,075 Sinclair Capital 43,500 4,822 --------- TOTAL 11,746 --------- PRINTING AND PUBLISHING (2.5%) Primedia, Inc. 45,000 4,708 --------- TOTAL BROADCASTING/MEDIA 16,454 --------- CABLE TELEVISION (3.4%) **CSC Holdings, Inc. (PIK) 55,942 6,531 --------- ENERGY RELATED (0.4%) GAS UTILITY (0.4%) Petroleum Heat & Power Inc. 48,750 780 --------- FINANCE (0.9%) BANKS (0.9%) California Fed Pfd Capital 60,000 1,639 --------- LEISURE RELATED (0.3%) **Samsonite Corp. (PIK) 6,250 625 --------- TELECOMMUNICATIONS (1.1%) **21st Century Telecom (PIK) 8,790 887 **Hyperion Telecommunications (PIK) 11,219 1,166 --------- TOTAL TELECOMMUNICATIONS 2,053 --------- TOTAL PREFERRED STOCK 28,082 --------- MARKET SHARES/ VALUE COMMON STOCK AND WARRANTS (0.6%) PAR (000'S) - --------------------------------------------------------------------------------- APPAREL AND TEXTILE (0.3%) *Ithaca Industries Inc. 136,000 $ 510 --------- FINANCE (0.0%) FINANCE COMPANIES (0.0%) *Arcadia Financial, Ltd. 4,000 40 --------- MARKET SHARES/ VALUE COMMON STOCK & WARRANTS (0.6%) PAR (000'S) - --------------------------------------------------------------------------------- LEISURE (0.3%) LEISURE RELATED (0.3%) *Hedstrom Holdings, Inc. (144A) 201,674 $ 252 Meditrust Corp. 11,117 311 --------- TOTAL LEISURE 563 --------- TELECOMMUNICATIONS (0.0%) *21st Century Telecom 8,500 76 --------- TOTAL COMMON STOCK AND WARRANTS 1,189 --------- MARKET SHARES/ VALUE MONEY MARKET INVESTMENTS (2.6%) PAR (000'S) - --------------------------------------------------------------------------------- AUTOMOBILE REPAIR, SERVICES & PARKING (1.5%) PHH Corporation, 6.35%, 07/01/98 2,900,000 $ 2,900 --------- FINANCE SERVICES (0.6%) CXC Incorporated, 5.52%, 07/15/98 1,100,000 1,097 --------- PERSONAL CREDIT INSTITUTIONS (0.5%) General Electric Capital Corporation, 5.52%, 07/08/98 1,000,000 999 --------- TOTAL MONEY MARKET INVESTMENTS 4,996 --------- TOTAL INVESTMENTS (100.7%) (COST $193,372,085)^ 191,671 OTHER ASSETS, LESS LIABILITIES (-0.7%) (1,298) --------- TOTAL NET ASSETS (100.0%) $190,373 ---------
* Non-Income Producing + Deferred interest security that presently receives no coupon payments. At a predetermined date the stated coupon rate becomes effective. ++ Defaulted Security **PIK-Payment in Kind 144A after the name of a security represents a security exempt from registration under Rule 144A of the Securities Act of 1933. These securites may be resold as transactions exempt from registration, normally to qualified institutional buyers. ^ At June 30, 1998, the aggregate cost of securities for federal income tax purposes was $193,372,085 and the net unrealized depreciation of investments based on that cost was $1,700,747, which is comprised of $6,255,707 aggregate gross unrealized appreciation and $7,956,454 aggregate gross unrealized depreciation. The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) -- 40 SELECT BOND PORTFOLIO - -------------------------------------------------------------------------------- Objective: Portfolio Strategy: Net Assets: A stable and relatively high Invest in high grade corporate bonds, U.S. $265,498,531 level of long-term total return government bonds and bonds of government and preservation of capital agencies.
SELECT BOND PORTFOLIO The Select Bond Portfolio invests in high quality debt securities, primarily government bonds, corporate bonds and mortgage-backed securities. Exposure to market sectors is adjusted as yield spreads change among the various classes of securities. Duration and maturities are altered with moderate adjustments in recognition or anticipation of interest rate changes. In recent months the Select Bond Portfolio has underperformed its benchmark for two reasons. Early in 1998, a defensive posture on interest rates was adopted, in the belief that rates were likely to increase; however, interest rates have continued to decline. A larger negative impact on performance was the default of one bond purchased before the economic crisis in Asia began, PT Polysindo, an Indonesian textile manufacturer. When the company defaulted, the bond lost approximately 80% of its market value, and coupon payments ceased as well. These two negative factors offset several positive decisions, including an overweighting in commercial mortgage-backed securities and favorable industry selection within the corporate bond sector. Percentage Holdings 6/30/98 EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC Corporate Bonds 22% Mortgage-Backed and Asset-Backed Securities 42% Government and Government Agencies 31% Short-Term Investments 5%
The Corporate Bonds sector includes bonds of companies headquartered outside the United States. The Government and Government Agencies category includes taxable bonds of domestic and foreign governments. Consistent with the Portfolio's stated parameters, no more than 10% of the Portfolio is invested in foreign securities, and no more than 10% is invested in high-yield securities. Performance Relative to Merrill Lynch Domestic Master Index EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
SELECT BOND PORTFOLIO MLDM INDEX 6/30/88 $ 10,000 $ 10,000 6/30/89 $ 12,263 $ 11,243 6/30/90 $ 13,046 $ 12,067 6/30/91 $ 14,457 $ 13,380 6/30/92 $ 16,639 $ 15,273 6/30/93 $ 18,766 $ 17,095 6/30/94 $ 18,722 $ 16,918 6/30/95 $ 21,114 $ 19,048 6/30/96 $ 22,170 $ 19,992 6/30/97 $ 24,076 $ 21,627 6/30/98 $ 26,208 $ 23,934 Average Annual Total Return For Periods Ended June 30, 1998 One Year Five Years Ten Years Select Bond Portfolio 8.84% 6.91% 10.11% MLDM Index 10.67% 6.96% 9.12%
Since the Portfolio invests broadly in U.S. Government, mortgage and corporate bonds, a useful basis for comparing returns is the Merrill Lynch Domestic Master Index. The index is an unmanaged market value weighted index comprised of U.S. Government, mortgage and investment-grade corporate bonds. The index measures the income provided by, and the price changes of, the underlying securities. This chart assumes an initial investment of $10,000 made on 6/30/88. Returns shown include deductions for management and other fund expenses, and reinvestment of all dividends. Returns exclude deductions for separate account sales loads and account fees. Past performance is not predictive of future performance. Investment return and principal value will fluctuate, so that your shares, when redeemed, may be worth more or less than their original cost. Accumulation unit values, which reflect deduction of charges for the separate account, are shown on page 2. -- 41 SELECT BOND PORTFOLIO NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1998
MARKET SHARES/ VALUE BONDS (95.0%) PAR (000'S) - -------------------------------------------------------------- CORPORATE BONDS (21.9%) AUTO-RELATED (0.4%) Hertz Corp., 9.04%, 6/14/00 900,000 $ 952 ----------- COMMERCIAL BANKS (2.0%) Wachovia Capital Trust V, 7.965%, 6/1/27 (144A) 5,000,000 5,449 ----------- BANK HOLDING COMPANIES (2.8%) BT Institutional Capital Trust, 7.75%, 12/1/26 (144A) 4,000,000 4,184 NationsBank Lease Pass Thru Trust, Class 1, 7.442%, 1/10/11 (144A) 3,000,000 3,165 ----------- TOTAL 7,349 ----------- CHEMICALS AND ALLIED PRODUCTS (0.8%) Dow Capital B.V., 8.5%, 6/8/10 1,800,000 2,117 ----------- COMMUNICATIONS (1.2%) +Panamsat, 11.375%, 8/1/03 3,000,000 3,105 ----------- ELECTRIC SERVICES (4.1%) Comed Financing II, 8.5%, 1/15/27 1,750,000 1,935 Niagra Mohawk Power, 7.0%, 10/1/00 2,000,000 2,000 Niagra Mohawk Power, 7.25%, 10/1/02 1,300,000 1,299 Ohio Edison Company, 7.375%, 9/15/02 1,000,000 1,039 PECO Energy Company, 7.75%, 3/1/23 1,150,000 1,208 Public Service Electric & Gas Co., 6.875%, 1/1/03 2,250,000 2,314 Texas Utilities Electric Co., 7.875%, 3/1/23 1,000,000 1,058 ----------- TOTAL 10,853 ----------- FINANCE (2.1%) Associates Corp. of North America, 7.95%, 2/15/10 1,500,000 1,690 Industrial Credit and Investment Corp of India, 7.55%, 8/15/07 (144A) 4,400,000 3,838 ----------- TOTAL 5,528 ----------- FOREIGN BANKS - BRANCHES & AGENCIES (2.0%) Fuji Bank, Ltd., 9.87%, 12/31/49 (144A) 6,000,000 5,273 ----------- GENERAL MERCHANDISE STORES (2.6%) LB Commercial Conduit Mortgage Trust, Class A3, 8.396%, 1/20/17 4,963,126 5,870 May Dept Stores Company, 7.45%, 10/15/16 1,000,000 1,089 ----------- TOTAL 6,959 ----------- MARKET SHARES/ VALUE BONDS (95.0%) PAR (000'S) - -------------------------------------------------------------- MOTION PICTURE (0.4%) News America Holdings Inc., 8.25%, 8/10/18 1,000,000 $ 1,133 ----------- MOTOR VEHICLES (0.6%) General Motors Corporation, 8.8%, 3/1/21 1,250,000 1,590 ----------- TELEPHONE COMMUNICATIONS (1.7%) Comcast Cellular Holdings, 9.5%, 5/1/07 2,000,000 2,085 GTE Corporation, 6.94%, 4/15/28 2,500,000 2,551 ----------- TOTAL 4,636 ----------- TEXTILES (0.6%) Polysindo International Finance, 11.375%, 6/15/06 4,200,000 1,638 ----------- TOBACCO (0.6%) Philip Morris Companies, 9.25%, 2/15/00 500,000 523 RJR Nabisco Inc., 8.625%, 12/1/02 1,000,000 1,036 ----------- TOTAL 1,559 ----------- TOTAL CORPORATE BONDS 58,141 ----------- GOVERNMENT BONDS (DOMESTIC AND FOREIGN) AND AGENCY BONDS (31.2%) FOREIGN GOVERNMENT BONDS (5.5%) *Hellenic Republic, 8.6%, 3/26/08 220,000,000 762 *Hellenic Republic, 8.8%, 6/19/07 1,700,000,000 5,894 Republic of Brazil, 8.0%, 4/15/14 1,867,783 1,370 Republic of Indonesia, 7.75%, 8/1/06 2,000,000 1,453 Republic of Korea, 8.875%, 4/15/08 4,600,000 4,175 Vnesheconombank, 6.625%, 12/15/15 (144A) 1,600,000 886 ----------- TOTAL 14,540 ----------- FEDERAL GOVERNMENT AND AGENCIES (25.7%) Federal Farm Credit, 6.51%, 1/7/08 2,000,000 2,003 Federal Home Loan Bank Bond, 6.5%, 1/7/08 1,925,000 1,911 Federal National Mortgage Assoc., 6.22%, 2/1/06 1,928,166 1,949 Federal National Mortgage Assoc., 6.24%, 1/1/06 5,436,652 5,499 Federal National Mortgage Assoc., 6.32%, 2/1/06 3,907,663 3,971 Federal National Mortgage Assoc., 6.500%, 09/25/05 2,581,063 2,598
-- 42 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1998
MARKET SHARES/ VALUE BONDS (95.0%) PAR (000'S) - -------------------------------------------------------------- FEDERAL GOVERNMENT AND AGENCIES (CONTINUED) Federal National Mortgage Assoc., 6.750%, 04/25/18 2,441,311 $ 2,502 Federal National Mortgage Assoc., 6.750%, 12/25/23 3,500,000 3,542 Federal National Mortgage Assoc., 6.960%, 10/01/07 3,281,353 3,458 Federal National Mortgage Assoc., 7.0%, 6/1/03 722,951 734 Federal National Mortgage Assoc., 7.360%, 4/1/11 3,408,505 3,701 Federal National Mortgage Assoc., 8.400%, 02/25/09 2,500,000 2,757 Federal National Mortgage Assoc., 10%, 10/1/17 117,284 127 Federal National Mortgage Assoc., 11.000%, 12/01/12 226,057 250 Federal National Mortgage Assoc., 11.000%, 09/01/17 1,753,528 1,957 Federal National Mortgage Assoc., 11.000%, 12/01/17 571,387 639 Federal National Mortgage Assoc., 11.000%, 02/01/18 679,249 758 Federal National Mortgage Assoc., 11.500%, 04/01/18 766,856 868 Federal National Mortgage Assoc., 12.000%, 09/01/12 1,838,610 2,089 Federal National Mortgage Assoc., 12.000%, 12/01/12 354,567 403 Federal National Mortgage Assoc., 12.000%, 09/01/17 600,779 689 Federal National Mortgage Assoc., 12.000%, 10/01/17 869,297 997 Federal National Mortgage Assoc., 12.000%, 12/01/17 498,081 572 Federal National Mortgage Assoc., 12.000%, 02/01/18 663,452 761 Federal National Mortgage Assoc., 12.25%, 12/1/17 438,710 508 Federal National Mortgage Assoc., 12.500%, 04/01/18 370,348 431 Federal National Mortgage Assoc., 13.000%, 11/01/12 300,209 349 Federal National Mortgage Assoc., 13.000%, 11/01/17 628,281 737 Federal National Mortgage Assoc., 13.000%, 12/01/17 374,938 437 Federal National Mortgage Assoc., 13.000%, 02/01/18 884,057 1,031 Federal National Mortgage Assoc., 14.000%, 12/01/17 248,828 297 Government National Mortgage Assoc., 7%, 5/15/23 385,272 392 MARKET SHARES/ VALUE BONDS (95.0%) PAR (000'S) - -------------------------------------------------------------- FEDERAL GOVERNMENT AND AGENCIES (CONTINUED) Government National Mortgage Assoc., 7.5%, 11/01/04 3,600,000 $ 3,700 Government National Mortgage Assoc., 8.5%, 6/15/01 64,230 68 Government National Mortgage Assoc., 8.5%, 11/15/24 703,990 742 Government National Mortgage Assoc., 8.5%, 2/15/25 9,413 10 Government National Mortgage Assoc., 8.5%, 3/15/23 6,876 7 Government National Mortgage Assoc., 8.5%, 6/15/23 14,373 15 Government National Mortgage Assoc., 8.5%, 6/15/24 160,199 169 Government National Mortgage Assoc., 8.5%, 7/15/24 64,620 68 Government National Mortgage Assoc., 8.5%, 9/15/21 137,558 146 Government National Mortgage Assoc., 8.5%, 9/15/24 9,865 10 Rural Housing Trust, Class D, 6.33%, 4/1/26 17,228,857 1,723 U.S. Treasury, 3.625%, 4/15/28 3,000,000 2,979 U.S. Treasury, 5.5%, 2/15/08 1,700,000 1,699 U.S. Treasury, 5.5%, 3/31/03 2,650,000 2,648 U.S. Treasury, 5.625%, 4/30/00 5,500,000 5,510 ----------- TOTAL 68,411 ----------- TOTAL GOVERNMENT BONDS 82,951 ----------- MORTGAGE BACKED AND ASSET BACKED SECURITIES (41.9%) AUTO-RELATED (3.0%) CIT RV Owner Trust, Class A, 6.25%, 1/15/11 824,026 827 Daimler-Benz Vehicle Trust, Class A, 5.85%, 7/20/03 712,960 713 Eaglemark Trust, Class A, 6.75%, 11/15/02 768,251 775 Fleetwood Credit Corporation Grantor Trust, Class A, 6.4%, 5/15/13 1,214,679 1,228 Team Fleet Financing Corporation, Class A, 6.65%, 12/15/02 (144A) 3,200,000 3,225 Team Fleet Financing Corporation, Class A, 7.35%, 5/15/03 (144A) 1,125,000 1,166 ----------- TOTAL 7,934 ----------- COMMERCIAL MORTGAGES (27.4%) Asset Securitization Corporation, Class CS1, 1.257%, 11/13/26 IO 20,690,663 818 Asset Securitization Corporation, Class CS2, 1.097%, 11/13/26 IO 52,000,000 3,269
-- 43 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1998
MARKET SHARES/ VALUE BONDS (95.0%) PAR (000'S) - -------------------------------------------------------------- COMMERCIAL MORTGAGES (CONTINUED) Asset Securitization Corporation, Class PS1, 1.367%, 2/14/41 IO 12,156,728 $ 1,313 BTC Mortgage Investors Trust 97 - S1 A, 6.255%, 12/31/09 910,561 909 Chase Commercial Mortgage Securities Corp., Class B, 6.6%, 12/12/29 2,000,000 2,037 Chase Commercial Mortgage Securities Corp., Class A2, 6.6%, 12/12/29 5,000,000 5,149 Chase Commercial Mortgage Securities Corp., Class B, 7.37%, 6/19/29 1,000,000 1,062 Commercial Mortgage Acceptance Corporation, Class B, 6.647%, 12/15/30 2,000,000 2,047 Credit Suisse First Boston Mortgage Securities Corp., Class D, 7.46%, 6/20/29 (144A) 3,500,000 3,654 Credit Suisse First Boston Mortgage Securities Corp., Class B, 9.546%, 4/25/25 (144A) 682,000 802 Credit Suisse First Boston Mortgage Securities Corp., Class C1, 7.26%, 6/20/29 (144A) 1,477,643 1,565 Credit Suisse First Boston Mortgage Securities Corp., Class C1, 7.28%, 6/20/29 (144A) 1,500,000 1,582 Credit Suisse First Boston Mortgage Securities Corp., Class D, 9.546%, 4/25/25 (144A) 2,000,000 2,383 Crumi Mae Commercial Mortgage Trust, 7.0%, 12/01/06 3,000,000 3,008 DLJ Mortgage Acceptance Corporation, Class S, .3571%, 10/15/17 (144A) IO 105,349,575 2,835 DLJ Mortgage Acceptance Corporation,Class S, .718%, 2/18/31 IO 69,833,185 3,081 First Union-Lehman Brothers Commercial Mortgage Trust, Class C, 7.44%, 4/18/07 2,500,000 2,647 GMAC Commercial Mortgage Securities, Inc., Class C, 7.81%, 10/15/11 (144A) 5,000,000 5,241 Kmart CMBS Financing, Inc., Class D, 6.7875%, 03/01/07 (144A) 2,000,000 2,000 Kmart CMBS Financing, Inc., Class C, 6.3875%, 03/01/07 (144A) 1,500,000 1,501 MARKET SHARES/ VALUE BONDS (95.0%) PAR (000'S) - -------------------------------------------------------------- COMMERCIAL MORTGAGES (CONTINUED) Malan Mortgage Securities Trust, Class A3, 7.8%, 8/15/05 (144A) 3,000,000 $ 3,077 Merrill Lynch Mortgage Investors, Inc., Class C, 7.12%, 6/18/29 2,500,000 2,614 Merrill Lynch Mortgage Investors, Inc., Class E, 7.12%, 6/18/29 4,500,000 4,511 Merrill Lynch Mortgage Investors, Inc., Class E, 8.1606%, 6/25/22 (144A) 2,000,000 2,098 Merrill Lynch Mortgage Investors, Inc., Class C, 8.9223%, 11/25/20 1,950,000 2,009 Midland Realty Acceptance Corp., Class AEC, 1.389%, 1/25/29 (144A) IO 14,074,265 1,054 Nomura Asset Securities Corp. - Class A2, 7.014%, 3/17/28 2,800,000 2,905 Nomura Asset Securities Corp. - Class A4, 7.594%, 3/17/28 2,200,000 2,258 Red Mountain Funding LLC, Class E, 7.365%, 1/15/19 (144A) 1,500,000 1,498 Red Mountain Funding LLC, Class F, 7.471%, 1/15/19 (144A) 1,800,000 1,707 The Equitable Life Insurance Society of the U S, Class C1, 7.52%, 5/15/06 2,000,000 2,131 ----------- TOTAL 72,765 ----------- CREDIT CARD ASSET BACKED (0.8%) Iroquois Trust, Class A, 6.752%, 6/25/07 (144A) 2,000,000 2,019 ----------- FRANCHISE LOAN RECEIVABLES (2.1%) EMAC Owner Trust, 1.378%, 1/15/25 (144A) IO 31,361,688 2,376 EMAC Owner Trust, Class A2, 6.38%, 1/15/25 (144A) 3,100,000 3,100 ----------- TOTAL 5,476 ----------- HOME EQUITY LOAN (0.8%) Amresco Residential Securities, Class A2, 6.245%, 04/25/22 2,200,000 2,201 ----------- MANUFACTURED HOUSING (1.5%) Mid-State Trust VI, Class A3, 7.54%, 7/1/35 1,200,972 1,244 Vanderbilt Mortgage and Finance, Inc., Class 1A4, 7.19%, 2/7/14 2,500,000 2,618 ----------- TOTAL 3,862 -----------
-- 44 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1998
MARKET SHARES/ VALUE BONDS (95.0%) PAR (000'S) - -------------------------------------------------------------- OTHER ASSET BACKED (3.2%) FMAC Loan Receivables Trust 98 - A, 6.2%, 9/15/20 (144A) 1,649,859 $ 1,648 Heilig-Meyers Master Trust, 6.125%, 1/20/07 (144A) 3,000,000 2,986 Nations Credit Grantor Trust,Class A1, 6.35%, 12/15/04 2,454,211 2,473 Newcourt Equipment, Class B, 6.764%, 9/20/04 (144A) 1,436,729 1,445 ----------- TOTAL 8,552 ----------- RESIDENTIAL MORTGAGES (3.1%) BCF L L C Mortgage Pass Thru Certificate, Class B3, 7.75%, 3/25/37 (144A) 3,928,905 4,034 Blackrock Capital Finance, Class B3, 7.25%, 11/25/28 (144A) 4,474,079 4,298 ----------- TOTAL 8,332 ----------- TOTAL MORTGAGE BACKED AND ASSET BACKED SECURITIES 111,141 ----------- TOTAL BONDS 252,233 ----------- MARKET SHARES/ VALUE MONEY MARKET INVESTMENTS (4.6%) PAR (000'S) - -------------------------------------------------------------- AUTOMOBILE REPAIR, SERVICES & PARKING (1.1%) PHH Corporation, 6.35%, 7/1/98 3,000,000 $ 3,000 ----------- GOVERNMENT (0.6%) Federal Home Loan Mortgage Company, 5.43%, 8/21/98 1,500,000 1,488 ----------- FINANCE SERVICES (0.7%) CXC, Inc., 5.52%, 7/15/98 1,850,000 1,846 ----------- MARKET SHARES/ VALUE MONEY MARKET INVESTMENTS (4.6%) PAR (000'S) - -------------------------------------------------------------- PERSONAL CREDIT INSTITUTIONS (1.1%) Beneficial Corp., 5.719%, 7/10/98 3,000,000 $ 2,996 ----------- PETROLEUM AND COAL PRODUCTS (1.1%) E.I. Du Pont de Nemours and Company, 5.55%, 8/7/98 3,000,000 2,983 ----------- TOTAL MONEY MARKET INVESTMENTS 12,313 ----------- TOTAL INVESTMENTS (99.6%) (COST $262,080,245)^ 264,546 OTHER ASSETS, LESS LIABILITIES (0.4%) 953 ----------- TOTAL NET ASSETS (100.00%) $ 265,499 -----------
IO- Interest Only Security 144A after the name of a security represents a security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. + Deferred interest security that presently receives no coupon payments. At a predetermined date the stated coupon rate becomes effective. Foreign forward currency contracts outstanding at June 30, 1998:
PRINCIPAL AMT. COVERED EXPIRATION UNREALIZED TYPE CURRENCY BY CONTRACT MONTH APPRECIATION - --------- --------- ---------------------- ---------- ------------- Sell DEM 11,247,390 09/98 $34,091
DEM-German Deutschmark * Foreign securities denominated in Greek Drachma. ^ At June 30, 1998, the aggregate cost of securities for federal income tax purposes was $262,080,245 and the net unrealized appreciation of investments based on that cost was $2,465,628 which is comprised of $6,169,395 aggregate gross unrealized appreciation and $3,703,767 aggregate gross unrealized depreciation. The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) -- 45 MONEY MARKET PORTFOLIO - -------------------------------------------------------------------------------- Objective: Portfolio Strategy: Net Assets: Maximum current income Achieve stability of capital by investing in $212,528,490 consistent with liquidity and short- term debt securities. stability of capital
MONEY MARKET PORTFOLIO The Money Market Portfolio, which invests only in high quality commercial paper and other short-term debt securities with maturities generally not exceeding one year, is the least risky of the Portfolios. During the first half of 1998, money market rates were relatively stable, as the Federal Reserve held interest rates steady, apparently considering the negative impact on weak Asian markets of a rate increase a greater risk than signs of incipient inflation in the United States. Because little premium has been available for longer maturities of short-term instruments, the term of securities held in the Portfolio has been kept fairly short. Total returns, which reflect the deduction of charges for the separate account, are shown on page 2. AN INVESTMENT IN THE MONEY MARKET PORTFOLIO IS NEITHER INSURED NOR GUARANTEED BY THE U.S. GOVERNMENT AND THERE CAN BE NO ASSURANCE THAT THE PORTFOLIO WILL BE ABLE TO MAINTAIN A STABLE NET ASSET VALUE OF $1.00 PER SHARE. -- 46 MONEY MARKET PORTFOLIO NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1998
MARKET VALUE MONEY MARKET INVESTMENTS (76.1%) PAR (000'S) - --------------------------------------------------------------- AUTOMOBILE REPAIR, SERVICES & PARKING (5.3%) PHH Corporation, 6.00%, 10/27/98 9,000,000 $ 8,999 PHH Corporation, 5.62%, 08/26/98 1,500,000 1,487 PHH Corporation, 5.99%, 08/18/98 700,000 700 ----------- TOTAL 11,186 ----------- BANK HOLDING COMPANIES (4.9%) Cargill Incorporated, 5.63%, 07/17/98 10,500,000 10,474 ----------- CHEMICALS & ALLIED PRODUCTS (4.6%) American Home Product Co., 6.10%, 07/01/98 9,800,000 9,800 ----------- DEPARTMENT STORES (2.0%) J.C. Penny Company, Inc., 5.58%, 07/29/98 4,272,000 4,253 ----------- FINANCE (13.0%) Ciesco LP, 5.55%, 07/15/1998 8,000,000 7,983 CXC Incorporated, 5.54%, 08/26/98 10,500,000 10,410 Paccar Financial Corporation, 5.52%, 07/07/98 9,300,000 9,291 ----------- TOTAL 27,684 ----------- GOVERNMENT (7.1%) U.S. Treasury Bill, 5.14%, 04/29/1999 5,675,000 5,430 U.S. Treasury Bill, 5.16%, 04/29/1999 5,000,000 4,784 U.S. Treasury Bill, 5.175%, 04/29/1999 5,000,000 4,783 ----------- TOTAL 14,997 ----------- PERSONAL CREDIT INSTITUTIONS (29.4%) Associates Corp of NA, 5.53%, 08/20/98 10,500,000 10,419 Beneficial Corp, 5.72%, 07/10/98 10,500,000 10,485 Ford Motor Credit Company, 5.52%, 07/15/98 10,500,000 10,477 General Electric Capital Corp., 5.53%, 08/26/98 10,400,000 10,311 General Motors Acceptance Corp., 5.53%, 07/24/98 5,300,000 5,281 General Motors Acceptance Corp., 5.55%, 08/06/98 5,200,000 5,171 Variable Funding Capital Corp., 5.52%, 08/17/98 10,500,000 10,424 ----------- TOTAL 62,568 ----------- MARKET VALUE MONEY MARKET INVESTMENTS (76.1%) PAR (000'S) - --------------------------------------------------------------- PETROLEUM AND COAL PRODUCTS (4.9%) E. I. Dupont De Nemours, 5.55%, 08/07/98 10,500,000 $ 10,440 ----------- SHORT TERM BUSINESS CREDIT (4.9%) Sears Roebuck Acceptance Corp., 5.53%, 08/12/98 10,500,000 10,432 ----------- TOTAL MONEY MARKET INVESTMENTS 161,834 ----------- MARKET VALUE ASSET-BACKED SECURITIES (23.2%) PAR (000'S) - --------------------------------------------------------------- AUTO RELATED (2.1%) Carco Auto Loan Master Trust, 5.605%, 11/15/98 (Variable rate; putable; coupon indexed to one month Commercial Paper rate plus 7.5 basis points; reset monthly) 4,550,000 $ 4,550 ----------- FINANCE LESSORS (21.1%) Asset Securitization, 5.519%, 07/14/1998 4,000,000 3,992 Preferred Receivable Funding, 5.56%, 07/21/98 6,900,000 6,879 Preferred Receivable Funding, 5.57%, 07/30/98 3,000,000 2,987 Receivable Capital Trust, 5.589%, 07/14/98 1,401,000 1,398 Receivable Capital Trust, 5.54%, 07/27/98 9,066,000 9,030 Short Term Repackage Asset Trust, 5.686%, 8/12/1998 10,100,000 10,099 Triple A One Funding, 5.65%, 07/28/98 3,500,000 3,485 Triple A One Funding, 5.649%, 08/07/98 6,870,000 6,830 ----------- TOTAL 44,700 ----------- TOTAL ASSET-BACKED SECURITIES 49,250 ----------- TOTAL INVESTMENTS (99.3%) (COST $211,083,727)^ 211,084 ----------- OTHER ASSETS, LESS LIABILITIES (0.7%) 1,444 ----------- TOTAL NET ASSETS (100.0%) $ 212,528 -----------
^ Also represents cost for Federal Income Tax Purposes. The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) -- 47 AGGRESSIVE GROWTH STOCK PORTFOLIO NORTHWESTERN MUTUAL SERIES FUND, INC. Aggressive Growth Stock Portfolio Financial Statements (IN THOUSANDS, EXCEPT PER SHARE AMOUNTS) STATEMENT OF ASSETS AND LIABILITIES JUNE 30, 1998 ASSETS Common Stocks (cost $689,135)................................................. $1,101,218 Money Market Investments (cost $74,428)....................................... 74,428 ----------- 1,175,646 Cash.......................................................................... 18,248 Due from Sale of Securities................................................... 3,515 Due from Sale of Fund Shares.................................................. 708 Dividends and Interest Receivable............................................. 73 ----------- Total Assets................................................................ 1,198,190 ----------- LIABILITIES Due on Purchase of Securities................................................. 27,516 Due on Redemption of Fund Shares.............................................. 1,319 Due to Investment Advisor..................................................... 511 Accrued Expenses.............................................................. 43 ----------- Total Liabilities........................................................... 29,389 ----------- NET ASSETS...................................................................... $1,168,801 ----------- ----------- REPRESENTED BY: Aggregate Paid in Capital (2,000,000 shares authorized, $.01 par value; 329,734 shares outstanding).................................................. $ 740,473 Undistributed Net Investment Income........................................... 193 Undistributed Accumulated Net Realized Gain on Investments.................... 16,052 Net Unrealized Appreciation of Investment Securities.......................... 412,083 ----------- Net Assets for 329,734 Shares Outstanding..................................... $1,168,801 ----------- ----------- Net Asset Value, Offering and Redemption Price per Share...................... $ 3.54 ----------- -----------
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 1998 INVESTMENT INCOME Income Interest.................................................................... $ 2,651 Dividends................................................................... 469 --------- Total Income.............................................................. 3,120 --------- Expenses Management Fees............................................................. 2,917 Custodian Expenses.......................................................... 10 Other Expenses.............................................................. 10 --------- Total Expenses............................................................ 2,937 --------- Less Custodian Fees: Paid by Affiliate.................................................... (8) Paid Indirectly...................................................... (2) --------- Total Net Expenses........................................................ 2,927 --------- Net Investment Income......................................................... 193 --------- REALIZED AND UNREALIZED GAIN ON INVESTMENTS Net Realized Gain on Investments: Investment Securities....................................................... 15,472 Index Futures Contracts..................................................... 591 --------- Net Realized Gain on Investments for the Period........................... 16,063 --------- Net Change in Unrealized Appreciation of: Investment Securities....................................................... 90,340 Index Futures Contracts..................................................... 382 --------- Net Change in Unrealized Appreciation of Investments for the Period....... 90,722 --------- Net Gain on Investments....................................................... 106,785 --------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS...................................................... $106,978 --------- ---------
The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) --- 48 NORTHWESTERN MUTUAL SERIES FUND, INC. Aggressive Growth Stock Portfolio Statement of Changes in Net Assets (IN THOUSANDS)
FOR THE SIX MONTHS ENDED FOR THE JUNE 30, YEAR ENDED 1998 DECEMBER 31, (UNAUDITED) 1997 ----------------- ----------------- INCREASE IN NET ASSETS Operations Net Investment Income............... $ 193 $ 600 Net Realized Gain on Investments.... 16,063 44,968 Net Change in Unrealized Appreciation of Investments for the Period............................. 90,722 82,701 ----------------- ----------------- Net Increase in Net Assets Resulting from Operations......... 106,978 128,269 ----------------- ----------------- Distributions to Shareholders from: Net Investment Income............... (390) 0 Net Realized Gain on Investments.... (39,790) (57,365) ----------------- ----------------- Net Decrease in Net Assets Resulting from Distributions to Shareholders...................... (40,180) (57,365) ----------------- ----------------- Fund Share Transactions Proceeds from Sale of 10,491 and 35,663 Shares...................... 36,831 110,666 Proceeds from Shares Issued on Reinvestment of Distributions Paid (11,431 and 20,913 shares, respectively)...................... 40,180 57,365 Payments for 11,928 and 3,953 Shares Redeemed........................... (42,076) (43,793) ----------------- ----------------- Net Increase in Net Assets Resulting from Fund Share Transactions (9,994 and 42,517 shares, respectively)..................... 34,935 124,238 ----------------- ----------------- Total Increase in Net Assets.......... 101,733 195,142 NET ASSETS Beginning of Period................... 1,067,068 871,926 ----------------- ----------------- End of Period (includes undistributed net investment income of $193 and $390, respectively).................. $1,168,801 $1,067,068 ----------------- ----------------- ----------------- -----------------
The Accompanying Notes are an Integral Part of the Financial Statements --- 49 NORTHWESTERN MUTUAL SERIES FUND, INC. Aggressive Growth Stock Portfolio Financial Highlights (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
FOR THE FOR THE SIX MONTHS PERIOD MAY 3, ENDED JUNE 30, FOR THE YEAR ENDED DECEMBER 31, 1994* THROUGH 1998 ----------------------------------------- DECEMBER 31, (UNAUDITED) 1997 1996 1995 1994 -------------- ----------- --------- --------------- --------------- SELECTED PER SHARE DATA Net Asset Value, Beginning of Period............................... $ 3.34 $ 3.15 $ 2.77 $ 2.00 $ 1.91 Income from Investment Operations: Net Investment Income............... -- -- -- -- -- Net Realized and Unrealized Gains on Investments........................ 0.32 0.39 0.49 0.78 0.09 -------------- ----------- --------- --------------- --------------- Total from Investment Operations....................... 0.32 0.39 0.49 0.78 0.09 -------------- ----------- --------- --------------- --------------- Less Distributions: Distributions from Net Investment Income............................. -- -- -- -- -- Distributions from Realized Gains on Investments........................ (0.12) (0.20) (0.11) (0.01) -- -------------- ----------- --------- --------------- --------------- Total Distributions............... (0.12) (0.20) (0.11) (0.01) -- -------------- ----------- --------- --------------- --------------- Net Asset Value, End of Period.......... $ 3.54 $ 3.34 $ 3.15 $ 2.77 $ 2.00 -------------- ----------- --------- --------------- --------------- -------------- ----------- --------- --------------- --------------- Total Return+........................... 10.07%++ 13.86% 17.70% 39.29% 4.47%++ -------------- ----------- --------- --------------- --------------- -------------- ----------- --------- --------------- --------------- RATIOS AND SUPPLEMENTAL DATA Net Assets, End of Period (in thousands)............................. $1,168,801 $1,067,068 $871,926 $577,014 $327,096 -------------- ----------- --------- --------------- --------------- -------------- ----------- --------- --------------- --------------- Ratio of Expenses to Average Net Assets................................. 0.52%** 0.53% 0.54% 0.56% 0.58%** -------------- ----------- --------- --------------- --------------- -------------- ----------- --------- --------------- --------------- Ratio of Net Investment Income/(Loss) to Average Net Assets..................... 0.03%** 0.06% (0.03%) 0.13% 0.29%** -------------- ----------- --------- --------------- --------------- -------------- ----------- --------- --------------- --------------- Portfolio Turnover Rate................. 21.32% 57.27% 47.25% 37.84% 21.54% -------------- ----------- --------- --------------- --------------- -------------- ----------- --------- --------------- --------------- Average Commission Rate #............... $ 0.0581 $ 0.0499 $ 0.0513 -------------- ----------- --------- -------------- ----------- ---------
* Commencement of Operations. ** Computed on an annualized basis. + Total Return includes deductions for management and other fund expenses; excludes deductions for sales loads and account fees. ++ Reflects total return for the period; not annualized. # Disclosure required for fiscal years beginning after September 1, 1995. The Accompanying Notes are an Integral Part of the Financial Statements --- 50 INTERNATIONAL EQUITY PORTFOLIO NORTHWESTERN MUTUAL SERIES FUND, INC. International Equity Portfolio Financial Statements (IN THOUSANDS, EXCEPT PER SHARE AMOUNTS) STATEMENT OF ASSETS AND LIABILITIES JUNE 30, 1998 ASSETS Common Stocks (cost $537,731)................................................. $686,120 Money Market Investments (cost $52,370)....................................... 52,370 Bonds (cost $2,302)........................................................... 316 --------- 738,806 Cash.......................................................................... 54 Due from Sale of Securities................................................... 28,227 Due from Foreign Currency Contracts........................................... 21,548 Dividends and Interest Receivable............................................. 4,456 Due from Sale of Fund Shares.................................................. 516 --------- Total Assets................................................................ 793,607 --------- LIABILITIES Due on Purchase of Securities................................................. 28,936 Due on Foreign Currency Contracts............................................. 21,230 Due on Redemption of Fund Shares.............................................. 816 Due to Investment Advisor..................................................... 404 Accrued Expenses.............................................................. 332 --------- Total Liabilities........................................................... 51,718 --------- NET ASSETS...................................................................... $741,889 --------- --------- REPRESENTED BY: Aggregate Paid in Capital (2,000,000 shares authorized, $.01 par value; 411,970 shares outstanding).................................................. $546,797 Undistributed Net Investment Income........................................... 10,735 Undistributed Accumulated Net Realized Gain on Investments.................... 37,998 Net Unrealized Appreciation (Depreciation) of: Investment Securities....................................................... 146,403 Foreign Currency Transactions............................................... (44) --------- Net Assets for 411,970 Shares Outstanding..................................... $741,889 --------- --------- Net Asset Value, Offering and Redemption Price per Share...................... $ 1.80 --------- ---------
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 1998 INVESTMENT INCOME Income Dividends (less foreign dividend tax of $1,253)............................. $ 12,702 Interest.................................................................... 774 --------- Total Income.............................................................. 13,476 --------- Expenses Management Fees............................................................. 2,363 Custodian Fees.............................................................. 243 Other Expenses.............................................................. 168 --------- Total Expenses............................................................ 2,774 --------- Net Investment Income......................................................... 10,702 --------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES Net Realized Gain (Loss) on: Investment Securities....................................................... 38,782 Foreign Currency Transactions............................................... (181) --------- Net Realized Gain for the Period.......................................... 38,601 Net Change in Unrealized Appreciation of: Investment Securities....................................................... 32,426 Foreign Currency Transactions............................................... 1 --------- Net Change in Unrealized Appreciation for the Period...................... 32,427 --------- Net Gain on Investments....................................................... 71,028 --------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............................ $ 81,730 --------- ---------
The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) --- 51 NORTHWESTERN MUTUAL SERIES FUND, INC. International Equity Portfolio Statement of Changes in Net Assets (IN THOUSANDS)
FOR THE SIX MONTHS ENDED FOR THE JUNE 30, YEAR ENDED 1998 DECEMBER 31, (UNAUDITED) 1997 ----------- ------------ INCREASE IN NET ASSETS Operations Net Investment Income............................ $ 10,702 $ 16,845 Net Realized Gain on Investments................. 38,601 22,636 Net Unrealized Appreciation of Investments for the Period...................................... 32,427 25,359 ----------- ------------ Net Increase in Net Assets Resulting from Operations..................................... 81,730 64,840 ----------- ------------ Distributions to Shareholders from: Net Investment Income............................ (16,649) (12,704) Net Realized Gain on Investments................. (22,793) (7,542) ----------- ------------ Net Decrease in Net Assets Resulting from Distributions to Shareholders.................. (39,442) (20,246) ----------- ------------ Fund Share Transactions Proceeds from Sale of 17,602 and 66,307 Shares... 32,331 110,618 Proceeds from Shares Issued on Reinvestment of Dividends Paid (21,530 and 12,598 shares, respectively)........ 39,442 20,246 Payments for 17,951 and 12,361 Shares Redeemed... (32,022) (20,797) ----------- ------------ Net Increase in Net Assets Resulting from Fund Share Transactions (21,181 and 66,544 shares, respectively)........ 39,751 110,067 ----------- ------------ Total Increase in Net Assets....................... 82,039 154,661 NET ASSETS Beginning of Period................................ 659,850 505,189 ----------- ------------ End of Period (includes undistributed net investment income of $10,735 and $16,682, respectively)..................................... $741,889 $659,850 ----------- ------------ ----------- ------------
The Accompanying Notes are an Integral Part of the Financial Statements --- 52 NORTHWESTERN MUTUAL SERIES FUND, INC. International Equity Portfolio Financial Highlights (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
FOR THE SIX FOR THE PERIOD MONTHS MAY 3, 1994* ENDED JUNE FOR THE YEAR ENDED DECEMBER 31, THROUGH 30, 1998 --------------------------------- DECEMBER 31, (UNAUDITED) 1997 1996 1995 1994 ----------- --------- --------- --------- --------------- SELECTED PER SHARE DATA Net Asset Value, Beginning of Period............................... $ 1.69 $ 1.56 $ 1.35 $ 1.19 $ 1.22 Income from Investment Operations: Net Investment Income............... 0.03 0.04 0.04 0.04 0.02 Net Realized and Unrealized Gains (Losses) on Investments............ 0.17 0.15 0.24 0.13 (0.02) ----------- --------- --------- --------- --------------- Total from Investment Operations....................... 0.20 0.19 0.28 0.17 0.00 ----------- --------- --------- --------- --------------- Less Distributions: Distributions from Net Investment Income............................. (0.04) (0.04) (0.03) -- (0.02) Distributions from Realized Gains on Investments........................ (0.05) (0.02) (0.04) (0.01) (0.01) ----------- --------- --------- --------- --------------- Total Distributions............... (0.09) (0.06) (0.07) (0.01) (0.03) ----------- --------- --------- --------- --------------- Net Asset Value, End of Period.......... $ 1.80 $ 1.69 $ 1.56 $ 1.35 $ 1.19 ----------- --------- --------- --------- --------------- ----------- --------- --------- --------- --------------- Total Return+........................... 12.57%++ 12.28% 21.01% 14.57% 0.11%++ ----------- --------- --------- --------- --------------- ----------- --------- --------- --------- --------------- RATIOS AND SUPPLEMENTAL DATA Net Assets, End of Period (in thousands)............................. $741,889 $659,850 $170,482 $342,127 $292,533 ----------- --------- --------- --------- --------------- ----------- --------- --------- --------- --------------- Ratio of Expenses to Average Net Assets................................. 0.77%** 0.77% 0.81% 0.85% 0.87%** ----------- --------- --------- --------- --------------- ----------- --------- --------- --------- --------------- Ratio of Net Investment Income to Average Net Assets..................... 2.99%** 2.75% 3.02% 2.68% 2.28%** ----------- --------- --------- --------- --------------- ----------- --------- --------- --------- --------------- Portfolio Turnover Rate................. 15.56% 16.74% 17.07% 26.71% 10.97% ----------- --------- --------- --------- --------------- ----------- --------- --------- --------- --------------- Average Commission Rate #............... $ 0.0073 $ 0.0009 $ 0.0151 ----------- --------- --------- ----------- --------- ---------
* Commencement of Operations. ** Computed on an annualized basis. + Total Return includes deductions for management and other fund expenses; excludes deductions for sales loads and account fees. ++ Reflects total return for the period; not annualized. # Disclosure required for fiscal years beginning after September 1, 1995. The Accompanying Notes are an Integral Part of the Financial Statements --- 53 GROWTH STOCK PORTFOLIO NORTHWESTERN MUTUAL SERIES FUND, INC. Growth Stock Portfolio Financial Statements (IN THOUSANDS, EXCEPT PER SHARE AMOUNTS) STATEMENT OF ASSETS AND LIABILITIES JUNE 30, 1998 ASSETS Common Stocks (cost $190,819)................................................. $305,643 Money Market Investments (cost $43,963)....................................... 43,963 --------- 349,606 Due from Sale of Fund Shares.................................................. 763 Dividends and Interest Receivable............................................. 235 --------- Total Assets................................................................ 350,604 --------- LIABILITIES Due on Purchase of Securities................................................. 994 Futures Variation Margin...................................................... 151 Due to Investment Advisor..................................................... 130 Accrued Expenses.............................................................. 27 Due on Redemption of Fund Shares.............................................. 18 --------- Total Liabilities........................................................... 1,320 --------- NET ASSETS...................................................................... $349,284 --------- --------- REPRESENTED BY: Aggregate Paid in Capital (2,000,000 shares authorized, $.01 par value; 164,874 shares outstanding).................................................. $227,200 Undistributed Net Investment Income........................................... 1,449 Undistributed Accumulated Net Realized Gain on Investments.................... 5,279 Net Unrealized Appreciation of: Investment Securities....................................................... 114,824 Index Futures Contracts..................................................... 532 --------- Net Assets for 164,874 Shares Outstanding..................................... $349,284 --------- --------- Net Asset Value, Offering and Redemption Price per Share...................... $ 2.12 --------- ---------
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 1998 INVESTMENT INCOME Income Dividends (less foreign dividend tax of $17)................................ $ 1,292 Interest.................................................................... 835 -------- Total Income.............................................................. 2,127 -------- Expenses Management Fees............................................................. 660 Other Expenses.............................................................. 10 Custodian Expenses.......................................................... 8 -------- Total Expenses............................................................ 678 -------- Less Custodian Fees: Paid by Affiliate....................................................... (7) Paid Indirectly......................................................... (1) -------- Total Net Expenses........................................................ 670 -------- Net Investment Income......................................................... 1,457 -------- REALIZED AND UNREALIZED GAIN ON INVESTMENTS Net Realized Gain on Investments: Investment Securities....................................................... 4,478 Index Futures Contracts..................................................... 801 -------- Net Realized Gain on Investments for the Period........................... 5,279 -------- Net Change in Unrealized Appreciation of: Investments Securities...................................................... 42,327 Index Futures Contracts..................................................... 532 -------- Net Change in Unrealized Appreciation of Investments for the Period....... 42,859 -------- Net Gain on Investments..................................................... 48,138 -------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS...................................................... $49,595 -------- --------
The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) --- 54 NORTHWESTERN MUTUAL SERIES FUND, INC. Growth Stock Portfolio Statement of Changes in Net Assets (IN THOUSANDS)
FOR THE SIX MONTHS FOR THE ENDED JUNE YEAR ENDED 30, 1998 DECEMBER 31, (UNAUDITED) 1997 ----------- ------------ INCREASE IN NET ASSETS Operations Net Investment Income................................ $ 1,457 $ 2,669 Net Realized Gain on Investments..................... 5,279 11,942 Net Change in Unrealized Appreciation of Investments for the Period...................................... 42,859 42,501 ----------- ------------ Net Increase in Net Assets Resulting from Operations......................................... 49,595 57,112 ----------- ------------ Distributions to Shareholders from: Net Investment Income................................ (4,068) (2,685) Net Realized Gain on Investments..................... -- (8,527) ----------- ------------ Net Decrease in Net Assets Resulting from Distributions to Shareholders...................... (4,068) (11,212) ----------- ------------ Fund Share Transactions Proceeds from Sale of 30,401 and 42,594 Shares....... 60,291 70,967 Proceeds from Shares Issued on Reinvestment of Distributions Paid (2,035 and 6,422 shares, respectively).............. 4,068 11,212 Payments for 1,836 and 31,206 Shares Redeemed........ (3,673) (55,490) ----------- ------------ Net Increase in Net Assets Resulting from Fund Share Transactions (30,601 and 17,810 shares, respectively)............ 60,686 26,689 ----------- ------------ Total Increase in Net Assets........................... 106,213 72,589 NET ASSETS Beginning of Period.................................... 243,071 170,482 ----------- ------------ End of Period (includes undistributed net investment income of $1,449 and $0, respectively)..... $349,284 $243,071 ----------- ------------ ----------- ------------
The Accompanying Notes are an Integral Part of the Financial Statements --- 55 NORTHWESTERN MUTUAL SERIES FUND, INC. Growth Stock Portfolio Financial Highlights (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
FOR THE FOR THE PERIOD SIX MONTHS MAY 3, 1994* ENDED JUNE FOR THE YEAR ENDED DECEMBER 31, THROUGH 30, 1998 -------------------------------- DECEMBER 31, (UNAUDITED) 1997 1996 1995 1994 ----------- --------- --------- -------- -------------- SELECTED PER SHARE DATA Net Asset Value, Beginning of Period............ $ 1.81 $ 1.46 $ 1.26 $ 1.00 $ 1.00 Income from Investment Operations: Net Investment Income....................... 0.02 0.02 0.02 0.02 0.01 Net Realized and Unrealized Gains on Investments................................ 0.31 0.42 0.25 0.28 -- ----------- --------- --------- -------- -------------- Total from Investment Operations.......... 0.33 0.44 0.27 0.30 0.01 ----------- --------- --------- -------- -------------- Less Distributions: Distributions from Net Investment Income.... (0.02) (0.02) (0.02) (0.02) (0.01) Distributions from Realized Gains on Investments................................ -- (0.07) (0.05) (0.02) -- ----------- --------- --------- -------- -------------- Total Distributions....................... (0.02) (0.09) (0.07) (0.04) (0.01) ----------- --------- --------- -------- -------------- Net Asset Value, End of Period.................... $ 2.12 $ 1.81 $ 1.46 $ 1.26 $ 1.00 ----------- --------- --------- -------- -------------- ----------- --------- --------- -------- -------------- Total Return+..................................... 18.56%++ 29.85% 20.91% 30.82% 1.55%++ ----------- --------- --------- -------- -------------- ----------- --------- --------- -------- -------------- RATIOS AND SUPPLEMENTAL DATA Net Assets, End of Period (in thousands).......... $349,284 $243,071 $170,482 $85,557 $41,868 ----------- --------- --------- -------- -------------- ----------- --------- --------- -------- -------------- Ratio of Expenses to Average Net Assets........... 0.46%** 0.49% 0.57% 0.61% 0.71%** ----------- --------- --------- -------- -------------- ----------- --------- --------- -------- -------------- Ratio of Net Investment Income to Average Net Assets........................................... 1.00%** 1.24% 1.41% 1.77% 2.30%** ----------- --------- --------- -------- -------------- ----------- --------- --------- -------- -------------- Portfolio Turnover Rate........................... 11.50% 33.20% 37.61% 46.83% 16.51% ----------- --------- --------- -------- -------------- ----------- --------- --------- -------- -------------- Average Commission Rate #......................... $ 0.0488 $ 0.0559 $ 0.0629 ----------- --------- --------- ----------- --------- ---------
* Commencement of Operations. ** Computed on an annualized basis. + Total Return includes deductions for management and other fund expenses; excludes deductions for sales loads and account fees. ++ Reflects total return for the period; not annualized. # Disclosure required for fiscal years beginning after September 1, 1995. The Accompanying Notes are an Integral Part of the Financial Statements --- 56 GROWTH AND INCOME STOCK PORTFOLIO NORTHWESTERN MUTUAL SERIES FUND, INC. Growth and Income Stock Portfolio Financial Statements (IN THOUSANDS, EXCEPT PER SHARE AMOUNTS) STATEMENT OF ASSETS AND LIABILITIES JUNE 30, 1998 ASSETS Common Stocks (cost $475,788)................................................. $492,731 Money Market Investments (cost $3,999)........................................ 3,999 --------- 496,730 Cash.......................................................................... 772 Due from Sale of Securities................................................... 9,791 Due from Sale of Fund Shares.................................................. 950 Dividends and Interest Receivable............................................. 561 --------- Total Assets................................................................ 508,804 --------- LIABILITIES Due on Purchase of Securities................................................. 9,584 Due to Investment Advisor..................................................... 245 Due on Redemption of Fund Shares.............................................. 144 Accrued Expenses.............................................................. 18 --------- Total Liabilities........................................................... 9,991 --------- NET ASSETS...................................................................... $498,813 --------- --------- REPRESENTED BY: Aggregate Paid in Capital (2,000,000 shares authorized, $.01 par value; 330,859 shares outstanding).................................................. $419,055 Undistributed Net Investment Income........................................... 2,571 Undistributed Accumulated Net Realized Gain on Investments.................... 60,244 Net Unrealized Appreciation of Investments.................................... 16,943 --------- Net Assets for 330,859 Shares Outstanding..................................... $498,813 --------- --------- Net Asset Value, Offering and Redemption Price per Share...................... $ 1.51 --------- ---------
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 1998 INVESTMENT INCOME Income Dividends (less foreign dividend tax of $17)................................ $ 2,981 Interest.................................................................... 863 --------- Total Income.............................................................. 3,844 --------- Expenses Management Fees............................................................. 1,262 Custodian Fees.............................................................. 17 Other Expenses.............................................................. 11 --------- Total Expenses............................................................ 1,290 --------- Less Custodian Fees: Paid by Affiliate.................................................... (15) Paid Indirectly...................................................... (2) --------- Total Net Expenses........................................................ 1,273 --------- Net Investment Income......................................................... 2,571 --------- REALIZED AND UNREALIZED GAIN ON INVESTMENTS Net Realized Gain on Investments.............................................. 60,460 Net Change in Unrealized Depreciation of Investments for the Period........... (10,232) --------- Net Gain on Investments....................................................... 50,228 --------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS...................................................... $ 52,799 --------- ---------
The Accompanying Notes are an Integral Part of the Financial Statements --- 57 NORTHWESTERN MUTUAL SERIES FUND, INC. Growth and Income Stock Portfolio Statement of Changes in Net Assets (IN THOUSANDS)
FOR THE SIX MONTHS ENDED FOR THE JUNE 30, YEAR ENDED 1998 DECEMBER 31, (UNAUDITED) 1997 ----------- ------------ INCREASE IN NET ASSETS Operations Net Investment Income................................ $ 2,571 $ 3,174 Net Realized Gain on Investments..................... 60,460 72,633 Net Change in Unrealized Appreciation (Depreciation) of Investments for the Period....................... (10,232) 2,850 ----------- ------------ Net Increase in Net Assets Resulting from Operations......................................... 52,799 78,657 ----------- ------------ Distributions to Shareholders from: Net Investment Income................................ (731) (3,199) Net Realized Gain on Investments..................... -- (78,180) ----------- ------------ Net Decrease in Net Assets Resulting from Distributions to Shareholders...................... (731) (81,379) ----------- ------------ Fund Share Transactions Proceeds from Sale of 53,928 and 75,470 Shares....... 78,560 116,134 Proceeds from Shares Issued on Reinvestment of Distributions Paid (493 and 61,873 shares, respectively)....................................... 731 81,380 Payments for 3,097 and 35,535 Shares Redeemed........ (4,482) (57,040) ----------- ------------ Net Increase in Net Assets Resulting from Fund Share Transactions (51,324 and 101,808 shares, respectively)...................................... 74,809 140,474 ----------- ------------ Total Increase in Net Assets........................... 126,877 137,752 NET ASSETS Beginning of Period.................................... 371,936 234,184 ----------- ------------ End of Period (includes undistributed net investment income of $2,571 and $0, respectively)................ $498,813 $371,936 ----------- ------------ ----------- ------------
The Accompanying Notes are an Integral Part of the Financial Statements --- 58 NORTHWESTERN MUTUAL SERIES FUND, INC. Growth and Income Stock Portfolio Financial Highlights (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
FOR THE SIX FOR THE PERIOD MONTHS MAY 3, 1994* ENDED JUNE FOR THE YEAR ENDED DECEMBER 31, THROUGH 30, 1998 --------------------------------- DECEMBER 31, (UNAUDITED) 1997 1996 1995 1994 ----------- --------- --------- --------- --------------- SELECTED PER SHARE DATA Net Asset Value, Beginning of Period............ $ 1.33 $ 1.32 $ 1.21 $ 0.98 $ 1.00 Income from Investment Operations: Net Investment Income......................... 0.01 0.01 0.02 0.02 0.01 Net Realized and Unrealized Gains on Investments.................................. 0.17 0.37 0.23 0.29 (0.01) ----------- --------- --------- --------- --------------- Total from Investment Operations............ 0.18 0.38 0.25 0.31 (0.00) ----------- --------- --------- --------- --------------- Less Distributions: Distributions from Net Investment Income...... -- (0.01) (0.02) (0.02) (0.01) Distributions from Realized Gains on Investments.................................. -- (0.36) (0.12) (0.06) (0.01) ----------- --------- --------- --------- --------------- Total Distributions......................... -- (0.37) (0.14) (0.08) (0.02) ----------- --------- --------- --------- --------------- Net Asset Value, End of Period.................... $ 1.51 $ 1.33 $ 1.32 $ 1.21 $ 0.98 ----------- --------- --------- --------- --------------- ----------- --------- --------- --------- --------------- Total Return+..................................... 13.48%++ 30.03% 19.97% 31.12% 0.34%++ ----------- --------- --------- --------- --------------- ----------- --------- --------- --------- --------------- RATIOS AND SUPPLEMENTAL DATA Net Assets, End of Period (in thousands).......... $498,813 $371,936 $234,184 $136,923 $ 64,700 ----------- --------- --------- --------- --------------- ----------- --------- --------- --------- --------------- Ratio of Expenses to Average Net Assets........... 0.58%** 0.60% 0.62% 0.69% 0.78%** ----------- --------- --------- --------- --------------- ----------- --------- --------- --------- --------------- Ratio of Net Investment Income to Average Net Assets........................................... 1.16%** 1.04% 1.44% 1.68% 1.93%** ----------- --------- --------- --------- --------------- ----------- --------- --------- --------- --------------- Portfolio Turnover Rate........................... 90.89% 144.52% 93.92% 80.00% 54.18% ----------- --------- --------- --------- --------------- ----------- --------- --------- --------- --------------- Average Commission Rate #......................... $ 0.0427 $ 0.0453 $ 0.0515 ----------- --------- --------- ----------- --------- ---------
* Commencement of Operations. ** Computed on an annualized basis. + Total Return includes deductions for management and other fund expenses; excludes deductions for sales loads and account fees. ++ Reflects total return for the period; not annualized. # Disclosure required for fiscal years beginning after September 1, 1995. The Accompanying Notes are an Integral Part of the Financial Statements --- 59 INDEX 500 STOCK PORTFOLIO NORTHWESTERN MUTUAL SERIES FUND, INC. Index 500 Stock Portfolio Financial Statements (IN THOUSANDS, EXCEPT PER SHARE AMOUNTS) STATEMENT OF ASSETS AND LIABILITIES JUNE 30, 1998 ASSETS Common Stocks (cost $837,742)................................................. $1,465,041 Money Market Investments (cost $15,347)....................................... 15,347 ----------- 1,480,388 Due from Sale of Fund Shares.................................................. 2,411 Dividends and Interest Receivable............................................. 1,659 ----------- Total Assets................................................................ 1,484,458 ----------- LIABILITIES Due on Redemption of Fund Shares.............................................. 3,182 Due to Investment Advisor..................................................... 251 Futures Variation Margin...................................................... 94 Accrued Expenses.............................................................. 36 ----------- Total Liabilities........................................................... 3,563 ----------- NET ASSETS...................................................................... $1,480,895 ----------- ----------- REPRESENTED BY: Aggregate Paid in Capital (2,000,000 shares authorized, $.01 par value; 492,572 shares outstanding).................................................. $ 830,143 Undistributed Net Investment Income........................................... 19,789 Undistributed Accumulated Net Realized Gain on Investments.................... 3,459 Net Unrealized Appreciation of: Investment Securities....................................................... 627,299 Index Futures Contracts..................................................... 205 ----------- Net Assets for 492,572 Shares Outstanding..................................... $1,480,895 ----------- ----------- Net Asset Value, Offering and Redemption Price per Share...................... $ 3.01 ----------- -----------
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 1998 INVESTMENT INCOME Income Dividends (less foreign dividend tax of $66)................................ $ 9,431 Interest.................................................................... 1,680 --------- Total Income.............................................................. 11,111 --------- Expenses Management Fees............................................................. 1,319 Other Expenses.............................................................. 21 Custodian Fees.............................................................. 20 --------- Total Expenses............................................................ 1,360 --------- Less Custodian Fees: Paid by Affiliate.................................................... (18) Paid Indirectly...................................................... (2) --------- Total Net Expenses........................................................ 1,340 --------- Net Investment Income......................................................... 9,771 --------- REALIZED AND UNREALIZED GAIN ON INVESTMENTS Net Realized Gain on Investments: Investment Securities....................................................... 4,556 Index Futures Contracts..................................................... 10,142 --------- Net Realized Gain on Investments for the Period........................... 14,698 --------- Net Change in Unrealized Appreciation (Depreciation) of: Investment Securities....................................................... 187,557 Index Futures Contracts..................................................... (464) --------- Net Change in Unrealized Appreciation of Investments for the Period....... 187,093 --------- Net Gain on Investments..................................................... 201,791 --------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............................ $211,562 --------- ---------
The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) --- 60 NORTHWESTERN MUTUAL SERIES FUND, INC. Index 500 Stock Portfolio Statement of Changes in Net Assets (IN THOUSANDS)
FOR THE SIX MONTHS ENDED FOR THE JUNE 30, YEAR ENDED 1998 DECEMBER 31, (UNAUDITED) 1997 ----------- ------------ INCREASE IN NET ASSETS Operations Net Investment Income............................ $ 9,771 $ 17,811 Net Realized Gain on Investments................. 14,698 27,640 Net Change in Unrealized Appreciation of Investments for the Period...................... 187,093 219,972 ----------- ------------ Net Increase in Net Assets Resulting from Operations..................................... 211,562 265,423 ----------- ------------ Disributions to Shareholders from: Net Investment Income............................ (17,811) (13,866) Net Realized Gain on Investments................. (28,519) (16,994) ----------- ------------ Net Decrease in Net Assets Resulting from Distributions to Shareholders.................. (46,330) (30,860) ----------- ------------ Fund Share Transactions Proceeds from Sale of 45,859 and 75,307 Shares... 132,404 178,554 Proceeds from Shares Issued on Reinvestment of Distributions Paid (16,132 and 13,655 shares, respectively)................................... 46,330 30,860 Payments for 5,523 and 12,917 Shares Redeemed.... (15,928) (31,186) ----------- ------------ Net Increase in Net Assets Resulting from Fund Share Transactions (56,468 and 76,045 shares, respectively)................................... 162,806 178,228 ----------- ------------ Total Increase in Net Assets....................... 328,038 412,791 NET ASSETS Beginning of Period................................ 1,152,857 740,066 ----------- ------------ End of Period (includes undistributed net investment income of $19,789 and $17,811, respectively)..................................... $1,480,895 $1,152,857 ----------- ------------ ----------- ------------
The Accompanying Notes are an Integral Part of the Financial Statements --- 61 NORTHWESTERN MUTUAL SERIES FUND, INC. Index 500 Stock Portfolio Financial Highlights (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
FOR THE SIX MONTHS ENDED JUNE FOR THE YEAR 30, ENDED DECEMBER 31, 1998 ---------------------------------------------------------- (UNAUDITED) 1997 1996 1995 1994 1993 ----------- ----------- --------- --------- --------- -------- SELECTED PER SHARE DATA Net Asset Value, Beginning of Period....... $ 2.64 $ 2.06 $ 1.72 $ 1.27 $ 1.29 $ 1.33 Income from Investment Operations: Net Investment Income.................. 0.03 0.04 0.04 0.04 0.03 0.04 Net Realized and Unrealized Gain (Loss) on Investments........................ 0.42 0.62 0.35 0.42 (0.01) 0.09 ----------- ----------- --------- --------- --------- -------- Total from Investment Operations..... 0.45 0.66 0.39 0.46 0.02 0.13 ----------- ----------- --------- --------- --------- -------- Less Distributions: Distributions from Net Investment Income................................ (0.03) (0.04) (0.02) (0.01) (0.03) (0.03) Distributions from Realized Gains on Investments........................... (0.05) (0.04) (0.03) -- (0.01) (0.14) ----------- ----------- --------- --------- --------- -------- Total Distributions.................. (0.08) (0.08) (0.05) (0.01) (0.04) (0.17) ----------- ----------- --------- --------- --------- -------- Net Asset Value, End of Period............... $ 3.01 $ 2.64 $ 2.06 $ 1.72 $ 1.27 $ 1.29 ----------- ----------- --------- --------- --------- -------- ----------- ----------- --------- --------- --------- -------- Total Return+................................ 17.65%++ 33.20% 22.75% 37.25% 1.21% 9.90% ----------- ----------- --------- --------- --------- -------- ----------- ----------- --------- --------- --------- -------- RATIOS AND SUPPLEMENTAL DATA Net Assets, End of Period (in thousands)..... $1,480,895 $1,152,857 $740,066 $495,133 $316,123 $25,479 ----------- ----------- --------- --------- --------- -------- ----------- ----------- --------- --------- --------- -------- Ratio of Expenses to Average Net Assets...... 0.20%* 0.21% 0.21% 0.21% 0.24% 0.30% ----------- ----------- --------- --------- --------- -------- ----------- ----------- --------- --------- --------- -------- Ratio of Net Investment Income to Average Net Assets...................................... 1.48%* 1.86% 2.27% 2.51% 3.10% 2.55% ----------- ----------- --------- --------- --------- -------- ----------- ----------- --------- --------- --------- -------- Portfolio Turnover Rate...................... 0.89% 3.15% 3.45% 3.19% 5.59% 62.69% ----------- ----------- --------- --------- --------- -------- ----------- ----------- --------- --------- --------- -------- Average Commission Rate#..................... $ 0.0217 $ 0.0304 $ 0.0306 ----------- ----------- --------- ----------- ----------- ---------
* Computed on an annualized basis. + Total Return includes deductions for management and other fund expenses; excludes deductions for sales loads and account fees. ++ Reflects total return for the period; not annualized. # Disclosure required for fiscal years beginning after September 1, 1995. The Accompanying Notes are an Integral Part of the Financial Statements --- 62 BALANCED PORTFOLIO NORTHWESTERN MUTUAL SERIES FUND, INC. Balanced Portfolio Financial Statements (IN THOUSANDS, EXCEPT PER SHARE AMOUNTS) STATEMENT OF ASSETS AND LIABILITIES JUNE 30, 1998 ASSETS Common Stock (cost $711,084).................................................. $1,671,072 Bonds (cost $996,490)......................................................... 1,013,382 Money Market Investments (cost $389,407)...................................... 389,411 ----------- 3,073,865 Cash.......................................................................... 6,527 Due from Sale of Securities................................................... 50,590 Dividends and Interest Receivable............................................. 16,005 Due from Sale of Foreign Currency............................................. 6,600 Due from Sale of Fund Shares.................................................. 174 ----------- Total Assets................................................................ 3,153,761 ----------- LIABILITIES Due on Purchase of Securities................................................. 48,155 Due on Purchase of Foreign Currency........................................... 6,564 Due on Redemption of Fund Shares.............................................. 3,958 Due on Futures Variation Margin............................................... 1,133 Due to Investment Advisor..................................................... 802 ----------- Total Liabilities........................................................... 60,612 ----------- NET ASSETS...................................................................... $3,093,149 ----------- ----------- REPRESENTED BY: Aggregate Paid in Capital (3,000,000 shares authorized, $.01 par value; 1,486,055 shares outstanding)................................................................. $1,965,612 Undistributed Net Investment Income........................................... 50,581 Undistributed Accumulated Net Realized Gain on Investments.................... 96,434 Net Unrealized Appreciation of: Investment Securities....................................................... 976,884 Index Futures Contracts..................................................... 3,602 Foreign Currency Transactions............................................... 36 ----------- Net Assets for 1,486,055 Shares Outstanding................................... $3,093,149 ----------- ----------- Net Asset Value, Offering and Redemption Price per Share...................... $ 2.08 ----------- -----------
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 1998 INVESTMENT INCOME Income Interest.................................................................... $ 43,011 Dividends (less foreign dividend tax of $73)................................ 12,121 --------- Total Income.............................................................. 55,132 --------- Expenses Management Fees............................................................. 4,407 --------- Net Investment Income......................................................... 50,725 --------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net Realized Gain (Loss) on Investments: Investment Securities....................................................... 93,377 Index Futures Contracts..................................................... 4,298 Foreign Currency Transactions............................................... (963) --------- Net Realized Gain on Investments for the Period........................... 96,712 --------- Net Change In Unrealized Appreciation of: Investment Securities....................................................... 162,570 Index Futures Contracts..................................................... 4,081 Foreign Currency Transactions............................................... 160 --------- Net Change in Unrealized Appreciation of Investments for the Period....... 166,811 --------- Net Gain on Investments....................................................... 263,523 --------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............................ $314,248 --------- ---------
The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) --- 63 NORTHWESTERN MUTUAL SERIES FUND, INC. Balanced Portfolio Statement of Changes in Net Assets (IN THOUSANDS)
FOR THE SIX MONTHS ENDED FOR THE JUNE 30, YEAR ENDED 1998 DECEMBER 31, (UNAUDITED) 1997 ----------- ------------ INCREASE IN NET ASSETS Operations Net Investment Income............... $ 50,725 $ 94,986 Net Realized Gain on Investments.... 96,712 83,356 Net Change in Unrealized Appreciation of Investments for the Period............................. 166,811 318,351 ----------- ------------ Net Increase in Net Assets Resulting from Operations......... 314,248 496,693 ----------- ------------ Distributions to Shareholders from: Net Investment Income............... (95,131) (86,698) Net Realized Gain on Investments.... (85,841) (29,228) ----------- ------------ Net Decrease in Net Assets Resulting from Distributions to Shareholders...................... (180,972) (115,926) ----------- ------------ Fund Share Transactions Proceeds from Sale of 27,361 and 42,694 Shares...................... 56,599 79,608 Proceeds from Shares Issued on Reinvestment of Distributions Paid (89,901 and 65,384 shares, respectively)...................... 180,972 115,926 Payments for 31,953 and 61,284 Shares Redeemed.................... (66,192) (114,041) ----------- ------------ Net Increase in Net Assets Resulting from Fund Share Transactions (85,309 and 46,794 shares, respectively)...................... 171,379 81,493 ----------- ------------ Total Increase in Net Assets.......... 304,655 462,260 NET ASSETS Beginning of Period................... 2,788,494 2,326,234 ----------- ------------ End of Period (includes undistributed net investment income of $50,581 and $94,962, respectively)... $3,093,149 $2,788,494 ----------- ------------ ----------- ------------
The Accompanying Notes are an Integral Part of the Financial Statements --- 64 NORTHWESTERN MUTUAL SERIES FUND, INC. Balanced Portfolio Financial Highlights (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
FOR THE SIX MONTHS FOR THE YEAR ENDED JUNE ENDED DECEMBER 31, 30, 1998 ---------------------------------------------------------------- (UNAUDITED) 1997 1996 1995 1994 1993 ----------- ----------- ----------- ----------- ----------- -------- SELECTED PER SHARE DATA Net Asset Value, Beginning of Period............................... $ 1.99 $ 1.72 $ 1.60 $ 1.31 $ 1.33 $ 1.39 Income from Investment Operations: Net Investment Income............. 0.03 0.07 0.06 0.07 0.04 0.06 Net Realized and Unrealized Gain (Loss) on Investments............ 0.18 0.28 0.15 0.27 (0.05) 0.09 ----------- ----------- ----------- ----------- ----------- -------- Total from Investment Operations..................... 0.21 0.35 0.21 0.34 (0.01) 0.15 ----------- ----------- ----------- ----------- ----------- -------- Less Distributions: Distributions from Net Investment Income........................... (0.06) (0.06) (0.06) (0.04) -- (0.07) Distributions from Realized Gains on Investments................... (0.06) (0.02) (0.03) (0.01) (0.01) (0.14) ----------- ----------- ----------- ----------- ----------- -------- Total Distributions............. (0.12) (0.08) (0.09) (0.05) (0.01) (0.21) ----------- ----------- ----------- ----------- ----------- -------- Net Asset Value, End of Period.......... $ 2.08 $ 1.99 $ 1.72 $ 1.60 $ 1.31 $ 1.33 ----------- ----------- ----------- ----------- ----------- -------- ----------- ----------- ----------- ----------- ----------- -------- Total Return+........................... 11.23%++ 21.52% 13.45% 26.39% 0.16% 9.91% ----------- ----------- ----------- ----------- ----------- -------- ----------- ----------- ----------- ----------- ----------- -------- RATIOS AND SUPPLEMENTAL DATA Net Assets, End of Period (in thousands)............................. $3,093,149 $2,788,494 $2,326,234 $2,083,289 $1,727,127 $68,910 ----------- ----------- ----------- ----------- ----------- -------- ----------- ----------- ----------- ----------- ----------- -------- Ratio of Expenses to Average Net Assets................................. 0.30%* 0.30% 0.30% 0.30% 0.30% 0.30% ----------- ----------- ----------- ----------- ----------- -------- ----------- ----------- ----------- ----------- ----------- -------- Ratio of Net Investment Income to Average Net Assets..................... 3.43%* 3.70% 3.95% 4.40% 4.78% 4.24% ----------- ----------- ----------- ----------- ----------- -------- ----------- ----------- ----------- ----------- ----------- -------- Portfolio Turnover Rate................. 25.27% 29.94% 67.66% 37.28% 42.35% 70.91% ----------- ----------- ----------- ----------- ----------- -------- ----------- ----------- ----------- ----------- ----------- -------- Average Comminssion Rate #.............. $ 0.0240 $ 0.0310 $ 0.0320 ----------- ----------- ----------- ----------- ----------- -----------
* Computed on an annualized basis. + Total Return includes deductions for management and other fund expenses; excludes deductions for sales loads and account fees. ++ Reflects total return for the period; not annualized. # Disclosure required for fiscal years beginning after September 1, 1995. The Accompanying Notes are an Integral Part of the Financial Statements --- 65 HIGH YIELD BOND PORTFOLIO NORTHWESTERN MUTUAL SERIES FUND, INC. High Yield Bond Portfolio Financial Statements (IN THOUSANDS, EXCEPT PER SHARE AMOUNTS) STATEMENT OF ASSETS AND LIABILITIES JUNE 30, 1998 ASSETS Bonds (cost $159,696)......................................................... $157,404 Preferred Stock (cost $26,511)................................................ 28,082 Money Market Investments (cost $4,997)........................................ 4,997 Common Stock (cost $2,168).................................................... 1,189 --------- 191,672 Cash.......................................................................... 1,002 Dividends and Interest Receivable............................................. 2,732 Due from Sale of Securities................................................... 567 Due from Sale of Fund Shares.................................................. 558 --------- Total Assets................................................................ 196,531 --------- LIABILITIES Due on Purchase of Securities................................................. 5,268 Due on Redemption of Fund Shares.............................................. 785 Due to Investment Advisor..................................................... 79 Accrued Expenses.............................................................. 26 --------- Total Liabilities........................................................... 6,158 --------- NET ASSETS...................................................................... $190,373 --------- --------- REPRESENTED BY: Aggregate Paid in Capital (2,000,000 shares authorized, $.01 par value; 169,505 shares outstanding).................................................. $179,878 Undistributed Net Investment Income........................................... 8,232 Undistributed Accumulated Net Realized Gain on Investments.................... 3,964 Net Unrealized Depreciation of Investments.................................... (1,701) --------- Net Assets for 169,505 Shares Outstanding..................................... $190,373 --------- --------- Net Asset Value, Offering and Redemption Price per Share...................... $ 1.12 --------- ---------
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 1998 INVESTMENT INCOME Income Interest.................................................................... $ 7,172 Dividends................................................................... 1,480 -------- Total Income.............................................................. 8,652 -------- Expenses Management Fees............................................................. 409 Custodian Fees.............................................................. 10 Other Expenses.............................................................. 11 -------- Total Expenses............................................................ 430 -------- Less Custodian Fees: Paid Indirectly...................................................... (7) Paid by Affiliate.................................................... (3) -------- Total Net Expenses........................................................ 420 -------- Net Investment Income......................................................... 8,232 -------- REALIZED AND UNREALIZED GAIN ON INVESTMENTS Net Realized Gain on Investments.............................................. 3,964 Net Change in Unrealized Depreciation of Investments for the Period........... (3,314) -------- Net Gain on Investments....................................................... 650 -------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............................ $ 8,882 -------- --------
The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) -- 66 NORTHWESTERN MUTUAL SERIES FUND, INC. High Yield Bond Portfolio Statement of Changes in Net Assets (IN THOUSANDS)
FOR THE SIX MONTHS FOR THE YEAR ENDED JUNE ENDED 30, 1998 DECEMBER 31, (UNAUDITED) 1997 ----------- ------------ INCREASE IN NET ASSETS Operations Net Investment Income................................ $ 8,232 $ 12,561 Net Realized Gain on Investments..................... 3,964 7,437 Net Change in Unrealized Depreciation of Investments for the Period...................................... (3,314) (1,416) ----------- ------------ Net Increase in Net Assets Resulting from Operations......................................... 8,882 18,582 ----------- ------------ Distributions to Shareholders from: Net Investment Income................................ -- (16,554) Net Realized Gain on Investments..................... -- (8,429) ----------- ------------ Net Decrease in Net Assets Resulting from Distributions to Shareholders...................... -- (24,983) ----------- ------------ Fund Share Transactions Proceeds from Sale of 40,132 and 48,820 Shares....... 44,227 56,788 Proceeds from Shares Issued on Reinvestment of Distributions Paid (0 and 23,165 shares, respectively)................. -- 24,983 Payments for 14,543 and 13,489 Shares Redeemed....... (15,774) (16,210) ----------- ------------ Net Increase in Net Assets Resulting from Fund Share Transactions (25,589 and 58,496 shares, respectively).......... 28,453 65,561 ----------- ------------ Total Increase in Net Assets........................... 37,335 59,160 NET ASSETS Beginning of Period.................................... 153,038 93,878 ----------- ------------ End of Period (includes undistributed (overdistributed) net investment income of $8,232 and ($143), respectively)...................... $190,373 $153,038 ----------- ------------ ----------- ------------
The Accompanying Notes are an Integral Part of the Financial Statements -- 67 NORTHWESTERN MUTUAL SERIES FUND, INC. High Yield Bond Portfolio Financial Highlights (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
FOR THE FOR THE SIX PERIOD MAY MONTHS FOR THE YEAR ENDED 3, 1994* ENDED JUNE 30, DECEMBER 31, THROUGH 1998 ------------------------------- DECEMBER 31, (UNAUDITED) 1997 1996 1995 1994 -------------- --------- -------- -------- ------------ SELECTED PER SHARE DATA Net Asset Value, Beginning of Period............................... $ 1.06 $ 1.10 $ 1.03 $ 0.97 $ 1.00 Income from Investment Operations: Net Investment Income............. 0.04 0.11 0.09 0.10 0.06 Net Realized and Unrealized Gains (Losses) on Investments.......... 0.02 0.06 0.10 0.07 (0.03) -------------- --------- -------- -------- ------------ Total from Investment Operations..................... 0.06 0.17 0.19 0.17 0.03 -------------- --------- -------- -------- ------------ Less Distributions: Distributions from Net Investment Income........................... -- (0.14) (0.09) (0.10) (0.06) Distributions from Realized Gains on Investments................... -- (0.07) (0.03) (0.01) -- -------------- --------- -------- -------- ------------ Total Distributions............. -- (0.21) (0.12) (0.11) (0.06) -------------- --------- -------- -------- ------------ Net Asset Value, End of Period.......... $ 1.12 $ 1.06 $ 1.10 $ 1.03 $ 0.97 -------------- --------- -------- -------- ------------ -------------- --------- -------- -------- ------------ Total Return+........................... 5.64%++ 15.85% 19.77% 16.78% 3.02%++ -------------- --------- -------- -------- ------------ -------------- --------- -------- -------- ------------ RATIOS AND SUPPLEMENTAL DATA Net Assets, End of Period (in thousands)............................. $190,373 $153,038 $93,878 $55,974 $35,537 -------------- --------- -------- -------- ------------ -------------- --------- -------- -------- ------------ Ratio of Expenses to Average Net Assets................................. 0.50%** 0.55% 0.60% 0.65% 0.73%** -------------- --------- -------- -------- ------------ -------------- --------- -------- -------- ------------ Ratio of Net Investment Income to Average Net Assets..................... 9.73%** 9.95% 9.54% 9.90% 9.40%** -------------- --------- -------- -------- ------------ -------------- --------- -------- -------- ------------ Portfolio Turnover Rate................. 98.54% 129.49% 143.91% 116.57% 119.48% -------------- --------- -------- -------- ------------ -------------- --------- -------- -------- ------------
* Commencement of Operations. ** Computed on an annualized basis. + Total Return includes deductions for management and other fund expenses; excludes deductions for sales loads and account fees. ++ Reflects total return for the period; not annualized. The Accompanying Notes are an Integral Part of the Financial Statements -- 68 SELECT BOND PORTFOLIO NORTHWESTERN MUTUAL SERIES FUND, INC. Select Bond Portfolio Financial Statements (IN THOUSANDS, EXCEPT PER SHARE AMOUNTS) STATEMENT OF ASSETS AND LIABILITIES JUNE 30, 1998 ASSETS Bonds (cost $249,767)......................................................... $252,233 Money Market Investments (cost $12,313)....................................... 12,313 --------- 264,546 Cash.......................................................................... 4,453 Due from Sale of Securities................................................... 10,901 Due on Foreign Currency Contracts............................................. 6,300 Interest Receivable........................................................... 2,912 Due from Sale of Fund Shares.................................................. 130 --------- Total Assets................................................................ 289,242 --------- LIABILITIES Due on Purchase of Securities................................................. 17,407 Due on Foreign Currency Contracts............................................. 6,266 Due to Investment Advisor..................................................... 69 Accrued Expenses.............................................................. 1 --------- Total Liabilities........................................................... 23,743 --------- NET ASSETS...................................................................... $265,499 --------- --------- REPRESENTED BY: Aggregate Paid in Capital (1,000,000 shares authorized, $.01 par value; 220,840 shares outstanding).................................................. $254,971 Undistributed Net Investment Income........................................... 9,036 Undistributed Accumulated Net Realized Loss on Investments.................... (1,008) NET UNREALIZED APPRECIATION OF: Investments Securities........................................................ 2,466 Foreign Currency Transactions................................................. 34 --------- Net Assets for 220,840 Shares Outstanding..................................... $265,499 --------- --------- Net Asset Value, Offering and Redemption Price per Share...................... $ 1.20 --------- ---------
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 1998 INVESTMENT INCOME Income Interest.................................................................... $ 9,506 -------- Expenses Management Fees............................................................. 379 Other Expenses.............................................................. 12 -------- Net Investment Income......................................................... 9,115 -------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net Realized Gain (Loss) on Investments: Investment Securities....................................................... 2,856 Foreign Currency Transactions............................................... (888) Futures Contracts........................................................... (2,380) -------- Net Realized Loss on Investments for the Period............................... (412) -------- NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) OF: Investment Securities......................................................... (1,581) Foreign Currency Transactions................................................. 128 Futures Contracts............................................................. 431 -------- Net Change in Unrealized Depreciation for the Period........................ (1,022) -------- Net Loss on Investments....................................................... (1,434) -------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS...................................................... $ 7,681 -------- --------
The Accompanying Notes are an Integral Part of the Financial Statements -- 69 NORTHWESTERN MUTUAL SERIES FUND, INC. Select Bond Portfolio Statement of Changes in Net Assets (IN THOUSANDS)
FOR THE SIX MONTHS FOR THE YEAR ENDED JUNE ENDED 30, 1998 DECEMBER 31, (UNAUDITED) 1997 ----------- ------------ INCREASE IN NET ASSETS Operations Net Investment Income............... $ 9,115 $ 15,676 Net Realized Gain (Loss) on Investments........................ (412) 2,865 Net Change in Unrealized Appreciation (Depreciation) of Investments for the Period......... (1,022) 1,736 ----------- ------------ Net Increase in Net Assets Resulting from Operations......... 7,681 20,277 ----------- ------------ Distributions to Shareholders from: Net Investment Income............... (15,746) (13,300) Net Realized Gain on Investments.... (2,700) -- ----------- ------------ Net Decrease in Net Assets Resulting from Distributions to Shareholders...................... (18,446) (13,300) ----------- ------------ Fund Share Transactions Proceeds from Sale of 19,252 and 26,095 Shares...................... 23,939 32,098 Proceeds from Shares Issued on Reinvestment of Distributions Paid (15,606 and 11,396 shares, respectively)...................... 18,446 13,300 Payments for 8,791 and 17,885 Shares Redeemed........................... (10,956) (21,873) ----------- ------------ Net Increase in Net Assets Resulting from Fund Share Transactions (26,067 and 19,606 shares, respectively)........................ 31,429 23,525 ----------- ------------ Total Increase in Net Assets.......... 20,664 30,502 NET ASSETS Beginning of Period................... 244,835 214,333 ----------- ------------ End of Period (includes undistributed net investment income of $9,036 and $15,722, respectively).... $265,499 $244,835 ----------- ------------ ----------- ------------
The Accompanying Notes are an Integral Part of the Financial Statements -- 70 NORTHWESTERN MUTUAL SERIES FUND, INC. Select Bond Portfolio Financial Highlights (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
FOR THE SIX FOR THE YEAR MONTHS ENDED ENDED DECEMBER 31, JUNE 30, 1998 -------------------------------------------------------- (UNAUDITED) 1997 1996 1995 1994 1993 -------------- --------- --------- --------- --------- -------- SELECTED PER SHARE DATA Net Asset Value, Beginning of Period............................... $ 1.26 $ 1.22 $ 1.23 $ 1.06 $ 1.15 $ 1.14 Income from Investment Operations: Net Investment Income............. 0.04 0.08 0.07 0.07 0.06 0.08 Net Realized and Unrealized Gain (Loss) on Investments............ (0.01) 0.04 (0.04) 0.13 (0.08) 0.05 -------------- --------- --------- --------- --------- -------- Total from Investment Operations..................... 0.03 0.12 0.03 0.20 (0.03) 0.13 -------------- --------- --------- --------- --------- -------- Less Distributions: Dividends from Net Investment Income........................... (0.08) (0.08) (0.04) (0.03) (0.06) (0.08) Distributions from Realized Gains on Investments................... (0.01) -- -- -- -- (0.04) -------------- --------- --------- --------- --------- -------- Total Distributions............. (0.09) (0.08) (0.04) (0.03) (0.06) (0.12) -------------- --------- --------- --------- --------- -------- Net Asset Value, End of Period.......... $ 1.20 $ 1.26 $ 1.22 $ 1.23 $ 1.06 $ 1.15 -------------- --------- --------- --------- --------- -------- -------------- --------- --------- --------- --------- -------- Total Return+........................... 3.04%++ 9.46% 3.31% 19.10% (2.28%) 10.81% -------------- --------- --------- --------- --------- -------- -------------- --------- --------- --------- --------- -------- RATIOS AND SUPPLEMENTAL DATA Net Assets, End of Period (in thousands)............................. $265,499 $244,835 $214,333 $198,142 $158,508 $17,485 -------------- --------- --------- --------- --------- -------- -------------- --------- --------- --------- --------- -------- Ratio of Expenses to Average Net Assets................................. 0.30%* 0.30% 0.30% 0.30% 0.30% 0.30% -------------- --------- --------- --------- --------- -------- -------------- --------- --------- --------- --------- -------- Ratio of Net Investment Income to Average Net Assets..................... 7.15%* 7.03% 6.48% 6.61% 7.02% 6.40% -------------- --------- --------- --------- --------- -------- -------------- --------- --------- --------- --------- -------- Portfolio Turnover Rate................. 61.77% 184.93% 195.98% 69.06% 108.00% 67.69% -------------- --------- --------- --------- --------- -------- -------------- --------- --------- --------- --------- --------
* Computed on an annualized basis. + Total Return includes deductions for management and other fund expenses; excludes deductions for sales loads and account fees. ++ Reflects total return for the period; not annualized. The Accompanying Notes are an Integral Part of the Financial Statements -- 71 MONEY MARKET PORTFOLIO NORTHWESTERN MUTUAL SERIES FUND, INC. Money Market Portfolio Financial Statements (IN THOUSANDS, EXCEPT PER SHARE AMOUNTS) STATEMENT OF ASSETS AND LIABILITIES JUNE 30, 1998 ASSETS Money Market Investments (cost $211,084).............................................................. $211,084 Cash.......................................................................... 1,525 Due from Sale of Fund Shares.................................................. 1,361 Interest Receivable........................................................... 174 --------- Total Assets................................................................ 214,144 --------- LIABILITIES Due on Purchase of Fund Shares................................................ 1,561 Due to Investment Advisor..................................................... 55 --------- Total Liabilities........................................................... 1,616 --------- NET ASSETS $212,528 --------- --------- REPRESENTED BY: Aggregate Paid in Capital (1,000,000 shares authorized, $.01 par value; 212,552 shares outstanding).................................................. $212,528 --------- Net Assets for 212,552 Shares Outstanding..................................... $212,528 --------- --------- Net Asset Value, Offering and Redemption Price per Share...................... $ 1.00 --------- ---------
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 1998 INVESTMENT INCOME Income Interest.................................................................... $ 5,631 --------- Expenses Management Fees............................................................. 297 --------- Net Investment Income......................................................... 5,334 --------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS...................................................... $ 5,334 --------- ---------
The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) --- 72 NORTHWESTERN MUTUAL SERIES FUND, INC. Money Market Portfolio Statement of Changes in Net Assets (IN THOUSANDS)
FOR THE SIX MONTHS FOR THE YEAR ENDED JUNE ENDED 30, 1998 DECEMBER 31, (UNAUDITED) 1997 ----------- ------------ INCREASE IN NET ASSETS Operations Net Investment Income................................ $ 5,334 $ 9,878 ----------- ------------ Net Increase in Net Assets Resulting from Operations......................................... 5,334 9,878 ----------- ------------ Distributions to Shareholders from: Net Investment Income................................ (5,334) (9,885) ----------- ------------ Net Decrease in Net Assets Resulting from Distributions to Shareholders...................... (5,334) (9,885) ----------- ------------ Fund Share Transactions Proceeds from Sale of 76,552 and 130,864 Shares...... 76,552 130,863 Proceeds from Shares Issued on Reinvestment of Distributions Paid ( 5,334 and 9,878 shares, respectively)....................................... 5,334 9,878 Payments for 63,828 and 122,562 Shares Redeemed...... (63,828) (122,562) ----------- ------------ Net Increase in Net Assets Resulting from Fund Share Transactions (18,058 and 18,180 shares, respectively)...................................... 18,058 18,179 ----------- ------------ Total Increase in Net Assets........................... 18,058 18,172 NET ASSETS Beginning of Period.................................... 194,470 176,298 ----------- ------------ End of Period (includes no undistributed net investment income)............................................... $212,528 $194,470 ----------- ------------ ----------- ------------
The Accompanying Notes are an Integral Part of the Financial Statements --- 73 NORTHWESTERN MUTUAL SERIES FUND, INC. Money Market Portfolio Financial Highlights (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
FOR THE SIX FOR THE YEAR MONTHS ENDED ENDED DECEMBER 31, JUNE 30, 1998 -------------------------------------------------------- (UNAUDITED) 1997 1996 1995 1994 1993 -------------- --------- --------- --------- --------- -------- SELECTED PER SHARE DATA Net Asset Value, Beginning of Period.. $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 Net Investment Income............... 0.03 0.05 0.05 0.06 0.05 0.03 Less Distributions from Net Investment Income.................. (0.03) (0.05) (0.05) (0.06) (0.05) (0.03) -------------- --------- --------- --------- --------- -------- Net Asset Value, End of Period........ $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 -------------- --------- --------- --------- --------- -------- -------------- --------- --------- --------- --------- -------- Total Return+......................... 2.70%++ 5.47% 5.29% 5.82% 4.03% 2.88% -------------- --------- --------- --------- --------- -------- -------------- --------- --------- --------- --------- -------- RATIOS AND SUPPLEMENTAL DATA Net Assets, End of Period (in thousands)............................. $212,528 $194,470 $176,298 $132,572 $104,217 $12,657 -------------- --------- --------- --------- --------- -------- -------------- --------- --------- --------- --------- -------- Ratio of Expenses to Average Net Assets................................. 0.30%* 0.30% 0.30% 0.30% 0.30% 0.30% -------------- --------- --------- --------- --------- -------- -------------- --------- --------- --------- --------- -------- Ratio of Net Investment Income to Average Net Assets..................... 5.31%* 5.33% 5.13% 5.61% 4.64% 2.87% -------------- --------- --------- --------- --------- -------- -------------- --------- --------- --------- --------- --------
* Computed on an annualized basis. + Total Return includes deductions for management and other fund expenses; excludes deductions for sales loads and account fees. ++ Reflects total return for the period; not annualized. The Accompanying Notes are an Integral Part of the Financial Statements --- 74 NOTES TO FINANCIAL STATEMENTS NORTHWESTERN MUTUAL SERIES FUND, INC. Notes to Financial Statements JUNE 30, 1998 NOTE 1 -- Northwestern Mutual Series Fund, Inc. (the "Series Fund"), is registered as a diversified open-end investment company under the Investment Company Act of 1940. The Series Fund consists of the Aggressive Growth Stock Portfolio, International Equity Portfolio, Growth Stock Portfolio, Growth and Income Stock Portfolio, Index 500 Stock Portfolio, Balanced Portfolio, High Yield Bond Portfolio, Select Bond Portfolio and the Money Market Portfolio (the "Portfolios"). Shares are presently offered only to The Northwestern Mutual Life Insurance Company ("Northwestern Mutual") and its segregated asset accounts. NOTE 2 -- The preparation of the financial statements in conformity with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. Principal accounting policies are summarized below. NOTE 3 -- Bonds are valued on the basis of prices furnished by a service which determines prices for normal institutional size trading units of bonds, without regard to exchange or over-the-counter prices. When quotations are not readily available, bonds are valued at fair market value determined by procedures approved by the Board of Directors. Stocks listed on a national or foreign stock exchange are valued at the final sale price, or final bid price in absence of a sale. Stocks not listed on a national or foreign stock exchange are valued at the closing bid price on the over-the-counter market. Money market investments, other than in the Money Market Portfolio, with maturities exceeding sixty days but generally not exceeding one year are valued by marking to market on the basis of an average of the most recent bid prices or yields. Money market investments with maturities of sixty days or less and all securities in the Money Market Portfolio are valued on an amortized cost basis or, if the current market value differs substantially from the amortized cost, by marking to market. NOTE 4 -- Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts on the date of valuation. Purchases and sales of securities and income items denominated in foreign currencies are translated in U.S. dollar amounts on the respective dates of such transactions. When the International Equity Portfolio, Balanced Portfolio and Select Bond Portfolio purchases or sells a foreign security they may enter into a foreign exchange currency contract to minimize market risk from the trade date to the settlement date of such transaction. Such foreign exchange currency contracts are marked to market daily. The Portfolios may enter into forward foreign currency contracts to hedge against exchange rate risk arising from investments in securities denominated in foreign currencies. Contracts are valued at the contractual forward rate and are marked to market daily, with the change in market value recorded as an unrealized gain or loss. When the contracts are closed, a realized gain or loss is incurred. Risks may arise from changes in market value of the underlying instruments and from the possible inability of counter parties to meet the terms of their contracts. The International Equity Portfolio, Balanced Portfolio and Select Bond Portfolio do not separately report the results of operations due to changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized gain or loss from investments. Net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade date and the settlement date on security transactions, the differences between the amounts of dividends and foreign withholding taxes recorded on the portfolio's books, and the U.S. dollar equivalent of the amounts actually received or paid. NOTE 5 -- The Aggressive Growth Stock, Growth Stock, Index 500 Stock, Balanced and Select Bond Portfolios invest in futures contracts as an alternative to investing in individual securities. The Aggressive Growth Stock, Growth Stock, Index 500 Stock, Balanced and Select Bond Portfolios could be exposed to market risk due to changes in the value of the underlying securities or due to an illiquid secondary market. Futures contracts are marked to market daily based upon quoted settlement prices. The Portfolios receive from or pay to brokers an amount of cash equal to the daily fluctuation in the value of the contracts. Such receipts or payments, known as the "variation margin," are recorded by the Portfolios as unrealized gains or losses. When the contract is closed, the Portfolios record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. -- 75 NORTHWESTERN MUTUAL SERIES FUND, INC. Notes to Financial Statements JUNE 30, 1998 NOTE 6 -- Interest income and discounts earned are recorded daily on the accrual basis and dividend income is recorded on the ex-dividend date or as soon as information from foreign issuers is available. Where applicable, dividends are recorded net of foreign dividend tax. Discounts and premiums on securities purchased are amortized over the life of the respective securities when required for federal income tax purposes using the effective interest method. Securities transactions are accounted for on trade date. The basis for determining cost on sale of securities is identified cost. For the period ended June 30, 1998, transactions in securities other than money market investments were:
U.S. GOVT U.S. GOVT TOTAL SECURITY SECURITY TOTAL SECURITY SECURITY SALES/ SALES/ PORTFOLIOS PURCHASES PURCHASES MATURITIES MATURITIES - ------------------------------------------------------------- -------------- -------------- -------------- -------------- Aggressive Growth Stock...................................... $ 245,056,559 $ -- $ 222,660,984 $ -- International Equity......................................... 121,529,979 -- 106,563,649 2,756,569 Growth Stock................................................. 56,526,125 -- 30,603,616 -- Growth and Income Stock...................................... 470,732,466 -- 392,626,312 -- Index 500 Stock.............................................. 185,458,409 -- 11,518,035 -- Balanced..................................................... 664,102,196 366,812,575 677,013,604 258,232,496 High Yield Bond.............................................. 200,656,448 -- 159,302,734 -- Select Bond.................................................. 174,590,898 55,365,099 150,448,368 40,483,800
-- 76 NORTHWESTERN MUTUAL SERIES FUND, INC. Notes to Financial Statements JUNE 30, 1998 NOTE 7 -- The Series Fund and its Portfolios are parties to annually renewable contracts pursuant to which each Portfolio pays a charge for investment management and administrative services. Each Portfolio pays a monthly fee for these investment advisory services at an annual rate based on the average daily net asset values of each Portfolio. For the Index 500 Stock Portfolio the rate is .20%, and for the Balanced, Select Bond and Money Market Portfolios the rate is .30%. For the other Portfolios the rate for the investment advisory fee is graded by the asset size of the Portfolio according to the following schedule:
FIRST $50 NEXT $50 PORTFOLIOS MILLION MILLION EXCESS - --------------------------------- ----------- ----------- ----------- Aggressive Growth Stock.......... .80% .65% .50% International Equity............. .85% .65% .65% Growth Stock..................... .60% .50% .40% Growth and Income Stock.......... .70% .60% .55% High Yield Bond.................. .60% .50% .40%
These amounts are paid to Northwestern Mutual Investment Services, LLP ("NMIS") a wholly-owned subsidiary of Northwestern Mutual, which is the manager and investment adviser of the Fund. Northwestern Mutual is also a party to the agreement. Other costs for each Portfolio are paid either by the Portfolios, Northwestern Mutual, or NMIS depending upon the applicable agreement in place. Certain Portfolios pay a portion of their custodian fees indirectly through expense offset arrangements. Custodian fees are reduced for Portfolios that maintain compensating balances in non-interest bearing accounts. The Portfolios could have invested the assets used to pay for the custodian fees, had the assets not been used in the expense offset arrangements. As of June 30, 1998, the amounts paid through expense offset arrangements are $1,969 in the Aggressive Growth Stock Portfolio, $1,399 in the Growth Stock Portfolio, $1,916 in the Growth and Income Stock Portfolio, $1,830 in the Index 500 Portfolio and $6,602 in the High Yield Bond Portfolio. J. P. Morgan Investment Management, Inc. ("J. P. Morgan") and Templeton Investment Counsel, Inc. ("Templeton Counsel") have been retained under an investment sub-advisory agreement to provide investment advice and, in general, to conduct the management investment program of the Growth and Income Stock Portfolio and the International Equity Portfolio, respectively. NMIS pays J. P. Morgan .45% on the first $100 million of the combined net assets for all funds managed for Northwestern Mutual by J. P. Morgan, .40% on the next $100 million, .35% on the next $200 million and .30% in excess of $400 million. NMIS pays Templeton Counsel .50% on the first $100 million of the combined net assets for all funds managed for Northwestern Mutual by Templeton Counsel and .40% in excess of $100 million. NOTE 8 -- The Series Fund has elected to be taxed as a regulated investment company meeting certain requirements under the Internal Revenue Code. Since it expects to distribute all net investment income and net realized capital gains, the Series Fund anticipates incurring no federal income taxes. Taxable distributions from net investment income and realized capital gains in the Portfolios differ from book amounts earned during the period due to differences in the timing of capital recognition and due to the reclassification of certain gains or losses from capital to income. For Federal income tax purposes, net unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gains (losses). NOTE 9 -- Dividends from net investment income and net realized capital gains are declared each year for the Aggressive Growth Stock, International Equity, Growth Stock, Growth and Income Stock, Index 500 Stock, Balanced, High Yield Bond and Select Bond Portfolios and each business day for the Money Market Portfolio. NOTE 10 -- Effective April 1, 1996, Northwestern Mutual voluntarily reimburses the International Equity Portfolio for the benefit Northwestern Mutual receives from foreign dividend taxes charged against the Portfolio. The amount reimbursed represents approximately 65% of the foreign dividend tax withheld from the Portfolio. Reimbursements are recorded when foreign dividend taxes are accrued. This voluntary reimbursement as of June 30, 1998 was $835,678 and for the year ended December 31, 1997 was $1,313,579. -- 77 VARIABLE LIFE FINANCIAL STATEMENTS NORTHWESTERN MUTUAL VARIABLE LIFE ACCOUNT Financial Statements JUNE 30, 1998 STATEMENT OF ASSETS AND LIABILITIES (IN THOUSANDS) ASSETS Investments at Market Value: Northwestern Mutual Series Fund, Inc. Aggressive Growth Stock 28,579 shares (cost $84,608)............... $ 101,314 International Equity 39,752 shares (cost $61,619)............... 71,594 Growth Stock 23,260 shares (cost $36,826)............... 49,265 Growth and Income Stock 35,191 shares (cost $47,941)............... 53,068 Index 500 Stock 49,997 shares (cost $101,517).............. 150,290 Balanced 69,006 shares (cost $103,112).............. 143,602 High Yield Bond 10,788 shares (cost $12,049)............... 12,115 Select Bond 9,210 shares (cost $10,993)................ 11,070 Money Market 25,131 shares (cost $25,131)............... 25,131 $ 617,449 --------- Due from Sale of Fund Shares.................................. 275 Due from Northwestern Mutual Life Insurance Company........... 82 --------- Total Assets.................................................. $ 617,806 --------- --------- LIABILITIES Due to Northwestern Mutual Life Insurance Company........... $ 82 Due on Purchase of Fund Shares.............................. 275 --------- Total Liabilities....................................... 357 --------- EQUITY (NOTE 8) Policies Issued Before October 11, 1995..................... 366,284 Policies Issued On or After October 11, 1995................ 251,165 --------- Total Equity............................................ 617,449 --------- Total Liabilities and Equity............................ $ 617,806 --------- ---------
The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) -- 78 VARIABLE LIFE FINANCIAL STATEMENTS NORTHWESTERN MUTUAL VARIABLE LIFE ACCOUNT Statement of Operations and Changes in Equity (IN THOUSANDS)
AGGRESSIVE GROWTH INTERNATIONAL EQUITY COMBINED STOCK DIVISION DIVISION ----------------------------- ----------------------------- ----------------------------- SIX MONTHS SIX MONTHS SIX MONTHS ENDED YEAR ENDED ENDED YEAR ENDED ENDED YEAR ENDED JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31, 1998 1997 1998 1997 1998 1997 ------------- ------------- ------------- ------------- ------------- ------------- INVESTMENT INCOME Dividend Income............... $ 21,748 $ 24,262 $ 3,287 $3,345 $ 3,591 $ 1,286 Mortality and Expense Risks... 1,266 1,788 204 271 146 197 Taxes......................... 543 767 87 116 63 85 ------------- ------------- ------------- ------------- ------------- ------------- Net Investment Income (Loss)...................... 19,939 21,707 2,996 2,958 3,382 1,004 ------------- ------------- ------------- ------------- ------------- ------------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Realized Gain on Investments............... 2,174 4,871 291 231 151 203 Unrealized Appreciation (Depreciation) of Investments During the Period.................... 39,981 42,532 4,809 5,109 3,297 2,358 ------------- ------------- ------------- ------------- ------------- ------------- Net Gain (Loss) on Investments............... 42,155 47,403 5,100 5,340 3,448 2,561 ------------- ------------- ------------- ------------- ------------- ------------- Increase in Equity Derived from Investment Activity.................. 62,094 69,110 8,096 8,298 6,830 3,565 ------------- ------------- ------------- ------------- ------------- ------------- EQUITY TRANSACTIONS Policyowners' Net Payments.................. 115,491 170,672 13,476 21,502 9,660 12,656 Policy Loans, Surrenders, and Death Benefits........ (16,411) (23,728) (3,139) (4,003) (2,028) (2,787) Mortality and Other (net)... (17,922) (28,427) (2,481) (3,791) (1,841) (2,368) Transfers from Other Divisions................. 59,661 86,366 9,477 19,008 7,840 14,866 Transfers to Other Divisions................. (59,662) (86,366) (2,762) (4,091) (1,983) (2,149) ------------- ------------- ------------- ------------- ------------- ------------- Increase in Equity Derived from Equity Transactions.... 81,157 118,517 14,571 28,625 11,648 20,218 ------------- ------------- ------------- ------------- ------------- ------------- Net Increase in Equity........ 143,251 187,627 22,667 36,923 18,478 23,783 EQUITY Beginning of Period......... 474,198 286,571 78,647 41,724 53,116 29,333 ------------- ------------- ------------- ------------- ------------- ------------- End of Period............... $617,449 $474,198 $101,314 $78,647 $71,594 $53,116 ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- -------------
The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) --- 79 NORTHWESTERN MUTUAL VARIABLE LIFE ACCOUNT Statement of Operations and Changes in Equity (IN THOUSANDS)
GROWTH & INCOME INDEX 500 GROWTH STOCK DIVISION STOCK DIVISION STOCK DIVISION ----------------------------- ----------------------------- ----------------------------- SIX MONTHS SIX MONTHS SIX MONTHS ENDED YEAR ENDED ENDED YEAR ENDED ENDED YEAR ENDED JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31, 1998 1997 1998 1997 1998 1997 ------------- ------------- ------------- ------------- ------------- ------------- INVESTMENT INCOME Dividend Income............... $ 555 $ 1,413 $ 74 $ 7,776 $ 4,530 $ 2,579 Mortality and Expense Risks... 91 105 103 120 298 395 Taxes......................... 39 45 44 52 128 169 ------------- ------------- ------------- ------------- ------------- ------------- Net Investment Income (Loss)...................... 425 1,263 (73) 7,604 4,104 2,015 ------------- ------------- ------------- ------------- ------------- ------------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Realized Gain on Investments............... 83 172 49 173 461 2,375 Unrealized Appreciation (Depreciation) of Investments During the Period.................... 6,214 4,151 5,256 (1,823) 15,433 17,772 ------------- ------------- ------------- ------------- ------------- ------------- Net Gain (Loss) on Investments............... 6,297 4,323 5,305 (1,650) 15,894 20,147 ------------- ------------- ------------- ------------- ------------- ------------- Increase in Equity Derived from Investment Activity.................. 6,722 5,586 5,232 5,954 19,998 22,162 ------------- ------------- ------------- ------------- ------------- ------------- EQUITY TRANSACTIONS Policyowners' Net Payments.................. 5,898 7,334 6,455 7,537 13,696 19,733 Policy Loans, Surrenders, and Death Benefits........ (1,238) (1,314) (1,380) (1,842) (3,643) (5,039) Mortality and Other (net)... (1,113) (1,329) (1,177) (1,457) (2,406) (4,127) Transfers from Other Divisions................. 7,409 8,851 8,580 10,673 16,722 20,024 Transfers to Other Divisions................. (646) (1,341) (1,031) (1,104) (1,776) (3,783) ------------- ------------- ------------- ------------- ------------- ------------- Increase in Equity Derived from Equity Transactions.... 10,310 12,201 11,447 13,807 22,593 26,808 ------------- ------------- ------------- ------------- ------------- ------------- Net Increase in Equity........ 17,032 17,787 16,679 19,761 42,591 48,970 EQUITY Beginning of Period......... 32,233 14,446 36,389 16,628 107,699 58,729 ------------- ------------- ------------- ------------- ------------- ------------- End of Period............... $49,265 $32,233 $53,068 $36,389 $150,290 $107,699 ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- -------------
The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) --- 80 NORTHWESTERN MUTUAL VARIABLE LIFE ACCOUNT Statement of Operations and Changes in Equity (IN THOUSANDS)
BALANCED DIVISION HIGH YIELD BOND DIVISION SELECT BOND DIVISION ----------------------------- ----------------------------- ----------------------------- SIX MONTHS SIX MONTHS SIX MONTHS ENDED YEAR ENDED ENDED YEAR ENDED ENDED YEAR ENDED JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31, 1998 1997 1998 1997 1998 1997 ------------- ------------- ------------- ------------- ------------- ------------- INVESTMENT INCOME Dividend Income............... $ 8,345 $ 5,105 $ 0 $1,370 $ 743 $ 436 Mortality and Expense Risks... 327 558 24 29 23 35 Taxes......................... 140 239 10 12 10 15 ------------- ------------- ------------- ------------- ------------- ------------- Net Investment Income (Loss)...................... 7,878 4,308 (34) 1,329 710 386 ------------- ------------- ------------- ------------- ------------- ------------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Realized Gain on Investments............... 1,086 1,655 24 26 29 36 Unrealized Appreciation (Depreciation) of Investments During the Period.................... 4,915 15,262 526 (531) (469) 234 ------------- ------------- ------------- ------------- ------------- ------------- Net Gain (Loss) on Investments............... 6,001 16,917 550 (505) (440) 270 ------------- ------------- ------------- ------------- ------------- ------------- Increase in Equity Derived from Investment Activity.................. 13,879 21,225 516 824 270 656 ------------- ------------- ------------- ------------- ------------- ------------- EQUITY TRANSACTIONS Policyowners' Net Payments.................. 8,521 15,394 1,549 1,922 854 1,820 Policy Loans, Surrenders, and Death Benefits........ (3,721) (7,260) (300) (349) (247) (311) Mortality and Other (net)... (1,419) (3,395) (287) (339) 8 (560) Transfers from Other Divisions................. 3,575 4,266 2,477 3,276 1,527 2,000 Transfers to Other Divisions................. (3,555) (4,734) (641) (425) (434) (756) ------------- ------------- ------------- ------------- ------------- ------------- Increase in Equity Derived from Equity Transactions.... 3,401 4,271 2,798 4,085 1,708 2,193 ------------- ------------- ------------- ------------- ------------- ------------- Net Increase in Equity........ 17,280 25,496 3,314 4,909 1,978 2,849 EQUITY Beginning of Period......... 126,322 100,826 8,801 3,892 9,092 6,243 ------------- ------------- ------------- ------------- ------------- ------------- End of Period............... $143,602 $126,322 $12,115 $8,801 $11,070 $9,092 ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- MONEY MARKET DIVISION ----------------------------- SIX MONTHS ENDED YEAR ENDED JUNE 30, DECEMBER 31, 1998 1997 ------------- ------------- INVESTMENT INCOME Dividend Income............... $ 623 $ 952 Mortality and Expense Risks... 50 78 Taxes......................... 22 34 ------------- ------------- Net Investment Income (Loss)...................... 551 840 ------------- ------------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Realized Gain on Investments............... -- -- Unrealized Appreciation (Depreciation) of Investments During the Period.................... -- -- ------------- ------------- Net Gain (Loss) on Investments............... 0 0 ------------- ------------- Increase in Equity Derived from Investment Activity.................. 551 840 ------------- ------------- EQUITY TRANSACTIONS Policyowners' Net Payments.................. 55,382 82,774 Policy Loans, Surrenders, and Death Benefits........ (715) (823) Mortality and Other (net)... (7,206) (11,061) Transfers from Other Divisions................. 2,054 3,402 Transfers to Other Divisions................. (46,834) (67,983) ------------- ------------- Increase in Equity Derived from Equity Transactions.... 2,681 6,309 ------------- ------------- Net Increase in Equity........ 3,232 7,149 EQUITY Beginning of Period......... 21,899 14,750 ------------- ------------- End of Period............... $25,131 $21,899 ------------- ------------- ------------- -------------
The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) --- 81 NOTES TO FINANCIAL STATEMENTS NORTHWESTERN MUTUAL VARIABLE LIFE ACCOUNT Notes to Financial Statements JUNE 30, 1998 NOTE 1 -- Northwestern Mutual Variable Life Account (the "Account") is registered as a unit investment trust under the Investment Company Act of 1940 and is a segregated asset account of The Northwestern Mutual Life Insurance Company ("Northwestern Mutual") used to fund variable life insurance policies. NOTE 2 -- The preparation of the financial statements in conformity with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. Principal accounting policies are summarized below. NOTE 3 -- All assets of each Division of the Account are invested in shares of the corresponding Portfolio of Northwestern Mutual Series Fund, Inc. (the "Fund"). The shares are valued at the Fund's offering and redemption price per share. The Fund is a diversified open-end investment company registered under the Investment Company Act of 1940. NOTE 4 -- Dividend income from the Fund is recorded on the record date of the dividends. Transactions in Fund shares are accounted for on the trade date. The basis for determining cost on sale of Fund shares is identified cost. Purchases and sales of Fund shares for the year ended June 30, 1998 by each Division are shown below:
PURCHASES SALES --------------- --------------- Aggressive Growth Division...... $ 18,215,224 $ 645,737 International Equity Division... 15,497,107 469,287 Growth Stock Division........... 10,899,252 165,195 Growth & Income Stock Division........................ 11,524,835 149,995 Index 500 Stock Division........ 27,514,959 817,406 Balanced Division............... 14,161,024 2,880,464 High Yield Bond Division........ 3,016,062 253,125 Select Bond Division............ 2,809,891 391,881 Money Market Division........... 18,743,714 15,512,312
NOTE 5 -- A deduction for mortality and expense risks is determined daily and paid to Northwestern Mutual. Generally, for policies issued before October 11, 1995, and policies issued on or after October 11, 1995 the deduction is at an annual rate of .50% and .60%, respectively, of the net assets of the Account. The mortality risk is that insureds may not live as long as estimated. The expense risk is that expenses of issuing and administering the policies may exceed the estimated costs. Certain deductions are also made from the annual or single premiums before accounts are allocated to the Account. These deductions are for (1) sales load, (2) administrative expenses, (3) taxes and (4) a risk charge for the guaranteed minimum death benefit. Additional mortality costs are deducted from the policy annually and are paid to Northwestern Mutual to cover the cost of providing insurance protection. This cost is actuarially calculated based upon the insured's age, the 1980 Commissioners Standard Ordinary Mortality Table and the amount of insurance provided under the policy. NOTE 6 -- Northwestern Mutual is taxed as a "life insurance company" under the Internal Revenue Code. The variable life insurance policies which are funded in the Account are taxed as part of the operations of Northwestern Mutual. Policies provide that a charge for taxes may be made against the assets of the Account. Generally, for policies issued before October 11, 1995, Northwestern Mutual charges the Account at an annual rate of .20% of the Account's net assets and reserves the right to increase, decrease or eliminate the charge for taxes in the future. Generally, for policies issued on or after October 11, 1995, there is no charge being made against the assets of the Account for federal income taxes, but Northwestern Mutual reserves the right to charge for taxes in the future. NOTE 7 -- The Account is credited for the policyowners' net annual premiums at the respective policy anniversary dates regardless of when policyowners actually paid their premiums. Northwestern Mutual's equity represents any unpaid portion of net annual premiums. -- 82 NORTHWESTERN MUTUAL VARIABLE LIFE ACCOUNT Notes to Financial Statements JUNE 30, 1998 NOTE 8 -- Equity Values by Division are shown below:
POLICIES ISSUED BEFORE OCTOBER 11, 1995 EQUITY OF: ------------------------ TOTAL POLICYOWNERS NML EQUITY ------------- --------- --------- Aggressive Growth Stock Division......................................................... $ 41,059 $ 3,669 $ 44,728 International Equity Division............................................................ 33,752 3,096 36,848 Growth Stock Division.................................................................... 19,421 1,369 20,790 Growth and Income Stock Division......................................................... 23,601 1,756 25,357 Index 500 Stock Division................................................................. 84,688 5,036 89,724 Balanced Division........................................................................ 125,568 5,147 130,715 High Yield Bond Division................................................................. 5,018 395 5,413 Select Bond Division..................................................................... 6,886 464 7,350 Money Market Division.................................................................... 5,114 245 5,359 ------------- --------- --------- $ 345,107 $ 21,177 $ 366,284 ------------- --------- --------- ------------- --------- ---------
POLICIES ISSUED ON OR AFTER OCTOBER 11, 1995 EQUITY OF: ------------------------ TOTAL POLICYOWNERS NML EQUITY ------------- --------- --------- Aggressive Growth Stock Division......................................................... $ 40,904 $ 15,683 $ 56,587 International Equity Division............................................................ 24,567 10,178 34,745 Growth Stock Division.................................................................... 20,080 8,395 28,475 Growth and Income Stock Division......................................................... 19,027 8,684 27,711 Index 500 Stock Division................................................................. 41,970 18,597 60,567 Balanced Division........................................................................ 9,313 3,574 12,887 High Yield Bond Division................................................................. 4,633 2,069 6,702 Select Bond Division..................................................................... 2,928 792 3,720 Money Market Division.................................................................... 6,987 12,784 19,771 ------------- --------- --------- $ 170,409 $ 80,756 $ 251,165 ------------- --------- --------- ------------- --------- ---------
-- 83 NOTES -- 84 NORTHWESTERN MUTUAL LIFE-REGISTERED TRADEMARK- P. O. Box 3220 Milwaukee, Wisconsin 53201-3220 Fax: (414) 299-4268 APPLICABLE ONLY FOR VARIABLE COMPLIFE, VARIABLE WHOLE LIFE, VARIABLE EXTRA ORDINARY LIFE & VARIABLE SINGLE PREMIUM LIFE VARIABLE LIFE TRANSFER / ALLOCATION / DOLLAR COST AVERAGING POLICYOWNER SERVICES Insured Policy Number Date GA# SA# Business Number: Home Number:
A TOTAL OF SIX DIVISIONS MAY BE ELECTED WITH A MINIMUM OF 10% IN EACH DIVISION. THIS APPLIES TO EXISTING ASSETS, FUTURE ALLOCATIONS AND DOLLAR COST AVERAGING. 1. REDISTRIBUTION OF EXISTING ASSETS: Complete this section if you want to redistribute the money already invested. Future investments will continue to be allocated as they were prior to the transfer, unless section 2 is completed. INVESTMENT DIVISIONS CHANGE TO Select Bond ------------% International Equity ------------% Money Market ------------% Balanced ------------% Index 500 Stock ------------% Aggressive Growth Stock ------------% High Yield Bond ------------% Growth Stock ------------% Growth and Income Stock ------------% Total ----100 ----% 2. ALLOCATION OF FUTURE PREMIUM/DIVIDENDS: Complete this section to change where your future Premium/ Dividends are invested. Allocations of future investments will be effective with the next Premium/Dividend deposit. ALLOCATION OF FUTURE INVESTMENT DIVISIONS PREMIUMS/DIVIDENDS Select Bond ------------% International Equity ------------% Money Market ------------% Balanced ------------% Index 500 Stock ------------% Aggressive Growth Stock ------------% High Yield Bond ------------% Growth Stock ------------% Growth and Income Stock ------------% Total ----100 ----% 3. DOLLAR COST AVERAGING (DCA): FOR VCL ONLY Effective date for the first DCA transfer. / / The month following the date this form is signed. Must have assets in Money Market on that date. Choose Money Market in section 1 and Money Market in section 2 / / With the next Premium/Dividend deposit, choose Money Market in section 2. How would you like the fund transferred? Choose one: Option One: / / Transfer in monthly installments so that at year end, Money Market valance will be zero. Option Two: / / Specified amount to be transferred monthly of $ ----------------. Select Bond ------------% International Equity ------------% Balanced ------------% Index 500 Stock ------------% Aggressive Growth Stock ------------% High Yield Bond ------------% Growth Stock ------------% Growth and Income Stock ------------% Total ----100 ----% 4. TERMINATION OF DOLLAR COST AVERAGING: / / IMMEDIATELY / / NEXT POLICY ANNIVERSARY Any existing funds will remain in the Money Market Division unless you elect to transfer assets. Future premium and dividends will be allocated on the policy anniversary date according to your allocation instructions.
5. SPECIAL INSTRUCTIONS: - -------------------------------------------------------------------------------- ------------------------------------------------------------------------------ 6. EFFECTIVE DATE: This asset transfer and/or allocation of future investments shall be effective on the date it is received (complete and signed) at NML's Home Office. Forms received prior to 3:00 p.m. Central time will be effective on the day of receipt. 7. SIGNATURE OF OWNER(S)/TRUSTEE REQUIRED (TITLE MUST BE INCLUDED): - ------------------------------ Date signed ------------------------------ - ------------------------------- Date signed ------------------------------ 18-1425 (2/96) WORD 6 - 85 ADDITIONAL INFORMATION 1. REDISTRIBUTION OF EXISTING ASSETS: The Owner may transfer the assets invested for a Variable Life or Variable CompLife policy to any of the Divisions, as long as these assets, following the transfer, are allocated among not more than six Divisions. Transfers may be made as often as twelve times in a policy year. 2. ALLOCATION OF FUTURE PREMIUM/DIVIDENDS: Allocation of the first net annual premium will be allocated to the Money Market Division until the Initial Allocation Date. On the Initial Allocation Date, amounts in the Money Market Division will be allocated in accordance with the application. 3. DOLLAR COST AVERAGING (DCA): If DCA is chosen, Money Market must be one of the Divisions elected for future premium/dividend allocation. A total of six Divisions may be elected between current and future assets and DCA. 4. TERMINATION OF DOLLAR COST AVERAGING (DCA): Any assets still in the Money Market Division will remain, unless YOU elect to transfer them. HOW TO SUBMIT THIS FORM FIRST CLASS MAIL Please mail form to Northwestern Mutual Life, P.O. Box 3220, Milwaukee, WI 53201-3220. FAX The properly completed and signed form may be FAXed to the Home Office at 414-299-4268. The original form is NOT needed. Please keep it for your records. SIGNATURE INSTRUCTIONS SIGNATURE BY OWNER All Owners must sign their name as it appears in the policy contract. If the Owner's name has changed since the policy was issued, he/she should add his/her present surname to his/her name as it appears in the policy contract. SIGNATURE BY ASSIGNEE If the policy is assigned, the assignee must sign the form. See rules below if the assignee is a corporation, partnership or trust. SIGNATURE ON BEHALF OF CORPORATION If the policyowner is a corporation, an officer of the corporation must sign on behalf of the corporation with his/her title. The name of the corporation must appear above the signature. SIGNATURE ON BEHALF OF PARTNERSHIP If the policyowner is a partnership, the name of the partnership must appear above the signature. A partner other than the Insured must sign. SIGNATURE ON BEHALF OF TRUST If the partnership is a trust, the authorized Trustee must sign his/her name, followed by the word "Trustee." The name of the trust must appear above the signature. - 86 APPLICABLE ONLY FOR SEND TO: ADVANCED BUSINESS SERVICES VARIABLE EXECUTIVE LIFE Northwestern Mutual Life 720 E. Wisconsin Ave. Milwaukee, WI 53202 FAX TO: (414) 299-5735 PHONE: (414) 299-5282
ASSET TRANSFER / PREMIUM ALLOCATION / DOLLAR COST AVERAGING Group No: GA #: Agent #: Group Name: Agent Name: Agent Phone:
- ----------------------------------------------------------- --------------------------------------------------------- REQUESTED CHANGE - OPTION MUST BE INDICATED: INSTRUCTIONS - PLEASE PROVIDE: OPTION 1. / / The SAME change for ALL policies in the group 1. One completed and signed form for the group change. 2. / / The SAME change for MULTIPLE policies in the group 2. One completed and signed form, AND an attached listing of Policy Numbers & Insured names for the policies to be INCLUDED in the change. 3. / / a) A DIFFERENT change for MULTIPLE policies 3. A) OR B) in the group One completed and signed form for each policy. Apply b) A change to an INDIVIDUAL policy the requested change to: Policy No. Insured
- -------------------------------------------------------------------------------- SECTION 1 - ASSET TRANSFER: To transfer the entire amount in a division, indicate "ALL". This transfer does not impact the allocation of any future premiums. To change how future premiums are invested, complete SECTION 2 on the reverse side of this form. ---------------------------------------------------- ----------------------------------- TRANSFER FROM: TRANSFER TO: ---------------------------------------------------- ----------------------------------- (SELECT ONE COLUMN OPTION ONLY) (SELECT ONE COLUMN OPTION ONLY) DOLLAR PERCENT NUMBER DOLLAR PERCENT INVESTMENT DIVISION AMOUNT (WHOLE % ONLY) OF UNITS AMOUNT (WHOLE % ONLY) (ONLY INDIVIDUAL (ONLY IF TRANSFER CONTRACT CHANGES) IS FROM DOLLARS) 1. Money Market $ % $ % 2. Aggressive Growth Stock $ % $ % 3. Balanced $ % $ % 4. Growth & Income Stock $ % $ % 5. Growth Stock $ % $ % 6. High Yield Bond $ % $ % 7. Index 500 Stock $ % $ % 8. International Equity $ % $ % 9. Select Bond $ % $ % TOTAL $ N/A $ 100% TOTAL DOLLARS MUST BE EQUAL
- 87 - -------------------------------------------------------- -------------------------------------------------------- SECTION 2 - ALLOCATION OF FUTURE PREMIUM SECTION 3 - DOLLAR COST AVERAGING (DCA): Complete this section to change where future Amount to be transferred montly: premiums are invested. $ (THE FIRST DCA TRANSFER WILL OCCUR ON THE NEXT MONTHLY PROCESSING DATE OF THE POLICY. YOU MUST HAVE ASSETS IN THE MONEY MARKET DIVISION BY THAT DATE. DCA IS AVAILABLE ONLY FROM THE MONEY MARKET DIVISION.)
--------------------- --------------------- PERCENT PERCENT --------------------- --------------------- INVESTMENT DIVISION (WHOLE % ONLY) INVESTMENT DIVISION (WHOLE % ONLY) --------------------- Money Market % Money Market N/A Aggressive Growth Stock % Aggressive Growth Stock % Balanced % Balanced % Growth & Income Stock % Growth & Income Stock % Growth Stock % Growth Stock % High Yield Bond % High Yield Bond % Index 500 Stock % Index 500 Stock % International Equity % International Equity % Select Bond % Select Bond % TOTAL 100% TOTAL 100% (MUST ADD UP TO 100%) (MUST ADD UP TO 100%)
- -------------------------------------------------------------------------------- SECTION 4 - TERMINATION OF DOLLAR COST AVERAGING: / / IMMEDIATELY / / SPECIFIED DATE / / (THE NEXT MONTHLY PROCESSING DATE ON OR FOLLOWING THE (THE NEXT MONTHLY PROCESSING DATE ON OR FOLLOWING RECEIPT OF THIS REQUEST IN NML'S HOME OFFICE.) THE SPECIFIED DATE.)
At termination of Dollar Cost Averaging, any existing funds will remain in the Money Market Division. - -------------------------------------------------------------------------------- SECTION 5 - SPECIFIED DATE FOR ASSET TRANSFERS/ALLOCATION CHANGES: This asset transfer and/or allocation of future premiums shall be effective on _____________ (INSERT SPECIFIED FUTURE DATE IF DESIRED). If no date is specified, or if this form is not received at NML's Home Office on or prior to the close of the New York Stock Exchange on the specified date, this transfer shall be effective on the date this form is received (complete and signed) at NML's Home Office. - -------------------------------------------------------------------------------- SECTION 6 - SPECIAL INSTRUCTIONS: - -------------------------------------------------------------------------------- SECTION 7 - SIGNATURE OF OWNER(S)/TRUSTEE REQUIRED (TITLE MUST BE INCLUDED): SIGNATURE: DATE SIGNED: PRINT OR TYPE NAME SIGNATURE: DATE SIGNED: PRINT OR TYPE NAME DAYTIME COMPANY CONTACT PERSON: PHONE NO. ( ) PRINT OR TYPE NAME
- 88 DIRECTORS AND OFFICERS NORTHWESTERN MUTUAL SERIES FUND, INC. DIRECTORS JAMES D. ERICSON .... PRESIDENT AND CHIEF EXECUTIVE OFFICER, NORTHWESTERN MUTUAL LIFE, ..................................................................... MILWAUKEE MARTIN F. STEIN ................ CHAIRMAN OF THE BOARD, EYECARE ONE CORPORATION, ..................................................................... MILWAUKEE JOHN K. MACIVER ........... PARTNER, MICHAEL BEST & FRIEDRICH, ATTORNEYS AT LAW, ..................................................................... MILWAUKEE STEPHEN N. GRAFF ......................... RETIRED PARTNER, ARTHUR ANDERSEN, LLP ..................................................................... MILWAUKEE WILLIAM J. BLAKE ............................. CHAIRMAN, BLAKE INVESTMENT CORP., ..................................................................... MILWAUKEE WILLIAM A. MCINTOSH .......... RETIRED DIVISION HEAD--U.S. FIXED INCOME, SALOMON BROTHERS, ....................................................................... CHICAGO OFFICERS JAMES D. ERICSON ..................................................... PRESIDENT MARK G. DOLL ........................................ VICE PRESIDENT & TREASURER MERRILL C. LUNDBERG .................................................. SECRETARY BARBARA E. COURTNEY ................................................. CONTROLLER --- 89 This report is submitted for the general information of owners of Northwestern Mutual Variable Life policies. This report is not authorized for distribution to prospective purchasers of variable life policies unless it is accompanied by an effective prospectus. Northwestern Mutual Variable Life policies are sold through individuals who, in addition to being licensed life insurance agents of Northwestern Mutual Life, are registered representatives of Northwestern Mutual Investment Services, LLC, a wholly-owned subsidiary of Northwestern Mutual Life and a registered broker-dealer under the Securities Exchange Act of 1934 and a member of the National Association of Securities Dealers, Inc. 90-1899 (6-98) NORTHWESTERN -------------- MUTUAL LIFE-Registered Trademark- BULK RATE U.S. POSTAGE PO Box 3095 PAID Milwaukee WI 53201-3095 MILWAUKEE, WI PERMIT NO. 426 -------------- Change Service Requested -----END PRIVACY-ENHANCED MESSAGE-----