-----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, VDTudcCf9uCeevKrC762TZhdkb1g4TGIOxRDY1Q13eG+q81MFyzY4G/GDGG4kDXW x8GcigD955cyCewvSBIdHg== 0000912057-97-028453.txt : 19970820 0000912057-97-028453.hdr.sgml : 19970820 ACCESSION NUMBER: 0000912057-97-028453 CONFORMED SUBMISSION TYPE: N-30D CONFIRMING COPY: PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 19970630 FILED AS OF DATE: 19970819 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: 1940 Act SEC FILE NUMBER: 811-03989 FILM NUMBER: 00000000 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: 1940 Act SEC FILE NUMBER: 811-03990 FILM NUMBER: 00000000 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, 1997 NORTHWESTERN MUTUAL LIFE -Registered Trade Mark- The Quiet Company -Registered Trade Mark- Northwestern Mutual Variable Life Account [PHOTO] NORTHWESTERN MUTUAL SERIES FUND, INC. The Northwestern Mutual Life Insurance Company 720 East Wisconsin Avenue Milwaukee, WI 53202 SEMI - ANNUAL REPORT CONTENTS POLICYOWNER PRIVILEGES FREE TRANSFERS AMONG PORTFOLIOS A limited number of free transfers per year are available with your policy. Same day transfers are permitted among our investment portfolios by phone using NML Express (see box upper right) or by FAX 414-299-4268. The appropriate form (form number 18-1425) is included at the end of this report. Additional forms are available from your Northwestern Mutual Life Agent. Mailed forms are processed when received. POLICYOWNER COMMUNICATIONS You receive confirmation statements with transactions that affect your portfolio(s). NORTHWESTERN MUTUAL LIFE'S VARIABLE POLICIES ARE PARTICIPATING Policies are expected to pay dividends, based on the company's recent mortality and expense experience. Dividends are based on actual experience and are not guaranteed. ADDITIONAL BENEFITS Some of the popular optional additional benefits which may be available to policyowners include the following (subject to underwriting and payment of appropriate premium). WAIVER OF PREMIUM The Waiver of Premium Benefit waives the premiums during total disability. Available at ages 0-59. ACCIDENTAL DEATH BENEFIT The Accidental Death Benefit provides an additional death benefit when death results from accidental bodily injury. Available at ages 0-65. ADDITIONAL PURCHASE BENEFIT When the Additional Purchase Benefit is purchased, the company agrees to issue additional policies on several specified purchase dates without requiring evidence of insurability. Available at ages 0-38. Contact your Northwestern Mutual Life Agent if you wish to learn more about your policy or any of the policyowner privileges described above. HOW TO GET MORE INFORMATION 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 Economic Overview and Outlook 3 Money Market Portfolio 4 Select Bond Portfolio 6 High Yield Bond Portfolio 10 Balanced Portfolio 13 Index 500 Stock Portfolio 25 Growth and Income Stock Portfolio 32 Growth Stock Portfolio 35 International Equity Portfolio 38 Aggressive Growth Stock Portfolio 42 Variable Life Financial Statements 45 Notes to Financial Statements 49 Series Fund Financial Statements 51 Money Market Portfolio 51 Select Bond Portfolio 54 High Yield Bond Portfolio 57 Balanced Portfolio 60 Index 500 Stock Portfolio 63 Growth and Income Stock Portfolio 66 Growth Stock Portfolio 69 International Equity Portfolio 72 Aggressive Growth Stock Portfolio 75 Notes to Series Fund Financial Statements 78 Directors and Officers 85 LETTER TO POLICYOWNERS LETTER TO POLICYOWNERS July 31, 1997 We are pleased to report excellent In short, circumstances could hardly investment performance for the be better, and that is our main portfolios underlying Northwestern message to you at this time. While Mutual's variable life insurance there are more reasons for optimism policies for the first half of 1997. than for pessimism for the near term, The stock market continued to climb in we must all remind ourselves that the recent months, setting record highs excellent conditions we are now time after time, and the previously experiencing simply cannot continue sluggish bond market has also shown forever. In the securities markets, as improvement. in any other market, when prices get too high, demand drops, and then There are good reasons for the prices begin to fall. Even though the strength in the markets: some strength in the worldwide economy may exceptionally good times have resulted be sustainable for a time, stock from a convergence of several prices have been rising at a much important positive trends and events. faster pace than economic growth, and First, the period preceding this this cannot continue forever. lengthy expansion, from 1969 through Eventually, it is only 1982, was dismal. High inflation logical that equilibrium levels stifled growth, and all efforts between economic growth and to control inflation seemed to fail. stock prices will be The term "stagflation" was coined to restored; we just cannot describe the economy's nasty predict when this will condition. Returns from the S&P 500 happen. Bearing in mind that Index averaged just over 8 percent, some surprises are and returns were negative in five of inevitable, we continue to those 14 years. So the recovery in the invest for the long term, and economy and the stock market that we urge you to maintain a began in 1983 started from a very low long-term view as well. base, and raced quickly right through what we might call normal conditions [PHOTO] to a period that is extraordinarily good. The variable life insurance policies on Meantime, politics around the world which we are reporting were changing dramatically. Communism have an important place in has been virtually eliminated, and the financial portfolios capitalism is increasingly embraced of many people. throughout the world. Former communist Northwestern Mutual also countries have adopted much wiser offers a variety of other labor and tax policies that provide insurance and investment incentives for people to work, spend products that may be and save. Countries that formerly had appropriate for you, controlled socialist economies are including the new Mason manufacturing goods that people in Street family of mutual other countries want, and freer trade funds introduced this spring. As you policies facilitate movement of consider your financial goals and products between countries. Economic requirements, we hope that you will growth in developing countries is consider these funds and other stimulating demand for consumer and Northwestern Mutual products that may industrial products, generating be appropriate for you. Your further rounds of growth. Northwestern Mutual agent stands ready to provide help as you plan for a In the United States, companies have secure financial future. realized that they must be lean and aggressive to compete in this global We thank you for selecting economy. So they have cut costs and Northwestern Mutual Life to help you improved productivity, driving accomplish your financial goals, and earnings higher. Even as some we look forward to working with you companies are downsizing, economic for many years. growth is generating new job opportunities, reducing unemployment The Northwestern Mutual Life Insurance and increasing consumer confidence. Company New technology is driving productivity and enabling strong growth and low [SIGNATURE] unemployment without triggering inflation. Cautious Federal Reserve James D. Ericson, President and policies are contributing to stable Chief Executive Officer growth and low inflation, and similar economic policies are being pursued by governments and central banks around the world.
-- 1 PERFORMANCE SUMMARY PERFORMANCE SUMMARY as of June 30, 1997 VARIABLE LIFE--POLICIES ISSUED BEFORE OCTOBER 11, 1995
Growth & Aggressive Net Investment Money Select High Yield Index 500 Income Growth International Growth Rates of Return Market Bond Bond Balanced Stock Stock Stock Equity Stock (as of 6/30/97) Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio 1 year........... 4.62% 7.84% 21.33% 20.48% 33.49% 31.29% 26.41% 25.97% 3.67% 5 years.......... 20.09% 39.71% - 81.70% 133.57% - - - - Annualized..... 3.73% 6.92% - 12.69% 18.49% - - - - 10 years......... 64.51% 119.83% - 155.64% 206.87% - - - - Annualized..... 5.10% 8.20% - 9.84% 11.87% - - - - Since inception........ - - 53.41%* - - 82.33%* 82.97%* 55.32%* 76.62%* Annualized..... - - 14.51% - - 20.94% 21.08% 14.96% 19.73%
VARIABLE COMPLIFE--POLICIES ISSUED ON OR AFTER OCTOBER 11, 1995**
Growth & Aggressive Net Investment Money Select High Yield Index 500 Income Growth International Growth Rates of Return Market Bond Bond Balanced Stock Stock Stock Equity Stock (as of 6/30/97) Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio 1 year........... 4.73% 7.95% 21.46% 20.60% 33.63% 31.43% 26.54% 26.10% 3.78% 5 years.......... 20.71% 40.43% - 82.63% 134.77% - - - - Annualized..... 3.84% 7.03% - 12.80% 18.61% - - - - 10 years......... 66.20% 122.10% - 158.28% 210.04% - - - - Annualized..... 5.21% 8.31% - 9.95% 11.98% - - - - Since inception........ - - 53.90%* - - 82.92%* 83.56%* 55.82%* 77.19%* Annualized..... - - 14.62% - - 21.07% 21.20% 15.07% 19.85%
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. 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 ECONOMIC OVERVIEW AND OUTLOOK - -------------------------------------------------------------------------------- THE ECONOMY During the first half of 1997, the domestic economy continued its seven-year trend of moderate growth with minimal inflation. Concerns early in the year that the economy was overheating were allayed by recently released statistics, particularly a six-month downward trend in producer prices. With new jobs created by the expanding economy, unemployment is at the lowest level in 24 years, and confident consumers continue to spend and invest. Most economies throughout the world are exhibiting similar strength, and inflation, even in the formerly hyperinflationary economies of Latin America, has abated. A vibrant global economy creates worldwide demand for U.S. goods and also provides competition that helps keep price increases moderate. The WALL STREET JOURNAL'S semiannual survey of 55 economists indicated a consensus that the economy still has the strength to post at least one more year of healthy growth with little inflation. This is a significantly more optimistic view than the group had at the beginning of the year, when concerns about a slowdown in 1997 were widespread. In sum, a more favorable economic environment could hardly be imagined. Economic Growth and Inflation EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
CALENDAR YEARS 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 2.4% 2.4%
Source: U.S. Department of Commerce for years 1988 through 1996. 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. 1997 is the consensus forecast of a group of 55 economists surveyed by the WALL STREET JOURNAL. - -------------------------------------------------------------------------------- THE EQUITY MARKET The equity market's unprecedented strength persisted during the first half of 1997. After a moderate drop in April, stock prices have risen more than 20% to a series of new highs. The S&P 500 Index has more than doubled since the end of 1994, a mere 30 months ago. The powerful combination of solid economic growth, low inflation and rising corporate profits continues to drive stock prices. In recent months, the market strength has broadened to include small and mid-sized companies. Market sectors that have exhibited particular strength include health care, capital goods, technology and financial services. While continued economic growth seems likely to fuel further gains in stock prices, there are signs that some caution is warranted. The market's volatility has increased: in the first half of 1997, the S&P 500 Index has moved 1% or more on almost twice as many trading days as the average since 1945. Net inflows of cash into mutual funds, though still positive, are at lower levels than in 1996. While there is little reason to anticipate dramatically changing trends, investors should not necessarily expect the exceptionally high returns of the last three years to continue. Annual Total Returns from S&P 500 Index EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC 12 Months Ending June 6/30/88 -7.1% 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%
Source: Standard & Poor's - -------------------------------------------------------------------------------- THE BOND MARKET Moderating economic growth and consistent indications that inflation was unlikely to increase led to strong bond market performance in the second quarter. With these positive factors in place, interest rates declined, giving fixed-income investors solid gains after a disappointing year in 1996, which extended into the first quarter. At the end of June, yields remained above year-end levels, reflecting concern among some investors that the economy's continued strength will lead to rising inflation. However, the Federal Reserve Bank's action in early July to leave interest rates unchanged indicates that the months ahead are likely to be a period of stability in interest rates and bond prices. Annual Total Returns from Merrill Lynch Domestic Master Index EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC 12 Months Ending June 6/30/88 7.8% 6/30/89 12.4% 6/30/90 7.3% 6/30/91 10.9% 6/30/92 14.1% 6/30/93 12.0% 6/30/94 -1.0% 6/30/95 12.6% 6/30/96 5.0% 6/30/97 8.2%
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 MONEY MARKET PORTFOLIO - -------------------------------------------------------------------------------- Objective: Portfolio Strategy: Net Assets: Maximum current income Achieve stability of capital by investing in $186,695,365 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. In the first half of 1997, money market rates increased modestly, particularly in response to the Federal Reserve's action in March to increase the Federal funds rate from 5.25 percent to 5.5 percent. Following the rate increase, the Money Market Portfolio's maturities, which had previously been kept relatively short, were lengthened to as much as 60 days in April, in order to lock in the higher rates. By the end of June, the Portfolio's average maturity was shorter than the broad universe of money market funds, as rates remained stable with minimal premiums available for securities with longer maturities. 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. The net investment rates of return shown on page 2 reflect mortality and expense risk charges deducted from the assets of the separate account. The cost of insurance protection, which is not reflected in the returns shown on this chart, would make the return significantly lower. Investors are urged to obtain a personalized illustration of historical performance which reflects the cost of insurance protection. -- 4 MONEY MARKET PORTFOLIO NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1997
MARKET VALUE MONEY MARKET INVESTMENTS (86.07%) PAR (000'S) - -------------------------------------------------------------- AUTOMOBILE REPAIR, SERVICES & PARKING (5.00%) PHH Corporation, 5.60%, 07/07/1997 9,300,000 $ 9,291 ----------- TOTAL 9,291 ----------- CHEMICALS & ALLIED PRODUCTS (4.55%) American Home Product Co, 5.549%, 07/29/1997 3,470,000 3,455 American Home Product Co, 5.55%, 07/16/1997 5,000,000 4,988 ----------- TOTAL 8,443 ----------- COMMUNICATIONS (4.85%) Bellsouth Telecommunications, 5.52%, 07/03/1997 9,000,000 8,997 ----------- TOTAL 8,997 ----------- FINANCE LESSORS (4.99%) BAT Capital Corporation, 5.58%, 07/23/1997 9,300,000 9,268 ----------- TOTAL 9,268 ----------- FOOD AND KINDRED PRODUCTS (6.00%) Anheuser Busch Companies, 6.10%, 07/01/1997 2,172,000 2,172 Heinz, H.j. Company, 5.53%, 07/25/1997 9,000,000 8,967 ----------- TOTAL 11,139 ----------- GENERAL MERCHANDISE STORES (4.83%) J.C. Penney Funding Corporation, 5.54%, 07/30/1997 9,000,000 8,960 ----------- TOTAL 8,960 ----------- HOLDING AND OTHER INVESTMENT OFFICES (4.84%) Cargill Incorporated, 5.50%, 07/10/1997 9,000,000 8,988 ----------- TOTAL 8,988 ----------- INDUSTRIAL MACHINERY AND EQUIPMENT (5.00%) Xerox Corporation, 5.52%, 07/15/1997 9,300,000 9,280 ----------- TOTAL 9,280 ----------- PERSONAL CREDIT INSTITUTIONS (21.33%) Beneficial Corp, 5.50%, 07/25/1997 9,000,000 8,967 Ford Motor Credit Company, 5.35%, 07/07/1997 8,792,000 8,784 General Electric Capital Corp., 5.38%, 07/09/1997 8,210,000 8,200 GMAC, 7.125%, 05/11/1998 4,600,000 4,627 Household Finance Corporation, 6.20%, 07/01/1997 9,000,000 9,000 ----------- TOTAL 39,578 ----------- MARKET VALUE MONEY MARKET INVESTMENTS (86.07%) PAR (000'S) - -------------------------------------------------------------- PETROLEUM AND COAL PRODUCTS (4.85%) E. I. Dupont De Nemours, 6.125%, 07/01/1997 9,000,000 $ 9,000 ----------- TOTAL 9,000 ----------- PRINTING AND PUBLISHING (2.02%) Dow Jones & Co. Inc., 5.54%, 07/18/1997 3,750,000 3,740 ----------- TOTAL 3,740 ----------- SHORT TERM BUSINESS CREDIT (14.12%) IBM Credit Corporation, 5.52%, 07/23/1997 8,000,000 7,973 Motorola Credit Corp, 5.5%, 08/06/1997 9,000,000 8,951 Sears Roebuck Acceptance Corp., 5.61%, 07/18/1997 9,300,000 9,275 ----------- TOTAL 26,199 ----------- TOBACCO PRODUCTS (3.69%) Phillip Morris Companies Inc, 6.375%, 01/15/1998 6,850,000 6,853 ----------- TOTAL 6,853 ----------- TOTAL MONEY MARKET INVESTMENTS $ 159,736 ----------- MARKET VALUE ASSET-BACKED SECURITIES (13.93%) PAR (000'S) - -------------------------------------------------------------- AUTO RELATED (2.45%) Carco Auto Loan Master Trust, 5.705%, 11/15/1998 (Variable rate; putable; coupon indexed to one month Commercial Paper rate plus 7.5 basis points; reset monthly) 4,550,000 $ 4,550 ----------- TOTAL 4,550 ----------- FINANCE LESSORS (11.48%) Asset Securitization, 5.53%, 07/18/1997 8,100,000 8,079 Receivable Capital Trust, 5.55%, 07/15/1997 2,500,000 2,495 Receivable Capital Trust, 5.55%, 07/10/1997 1,000,000 999 Receivable Capital Trust, 5.559%, 07/14/1997 5,740,000 5,729 REIG Commercial Mortgage Funding, 5.737%, 12/25/1997 4,000,000 4,000 ----------- TOTAL $ 21,302 ----------- TOTAL ASSET-BACKED SECURITIES 25,852 ----------- TOTAL MONEY MARKET PORTFOLIO $ 185,588 -----------
The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) -- 5 SELECT BOND PORTFOLIO - -------------------------------------------------------------------------------- Objective: Portfolio Strategy: Net Assets: A stable and relatively high Invest in high grade corporate bonds, U.S. $219,802,350 level of long-term total government bonds and bonds of government return and preservation of agencies. capital
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. During the first quarter of 1997, rising interest rates resulted in lackluster performance for bond investors. An overweighted position in mortgage-backed securities and a defensive posture with respect to interest rates enabled the Portfolio to perform slightly better than the Merrill Lynch Domestic Master Index. During the second quarter, interest rate risk exposure was increased slightly to take advantage of declining interest rates. The portfolio benefited from the strong performance of corporate and mortgage bonds. Corporate bonds should continue to perform well as the economy returns to a sustainable long-term growth rate; however, mortgage bonds could be vulnerable to any increase in interest rates. Percentage Holdings 6/30/97 EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC Corporate Bonds 32% Mortgage-Backed and Asset-Backed Securities 32% Government and Government Agencies 34% Money Market Investments 2%
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 and a small position in municipal bonds. 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 6/30/87 10,000 10,000 6/30/88 10,683 10,784 6/30/89 12,020 12,124 6/30/90 12,787 13,012 6/30/91 14,171 14,429 6/30/92 16,309 16,470 6/30/93 18,394 18,435 6/30/94 18,351 18,244 6/30/95 20,696 20,540 6/30/96 21,731 21,558 6/30/97 23,599 23,321 Average Annual Total Return For Periods Ended June 30, 1997 One Year Five Years Ten Years Select Bond Portfolio 8.60% 7.67% 8.97% MLDM Index 8.18% 7.20% 8.84%
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 6/30/87. 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. The net investment rates of return shown on page 2 reflect mortality and expense risk charges deducted from the assets of the separate account. The cost of insurance protection, which is not reflected in the returns shown on this chart, would make the return significantly lower. Investors are urged to obtain a personalized illustration of historical performance which reflects the cost of insurance protection. -- 6 SELECT BOND PORTFOLIO NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1997
MARKET VALUE BONDS (97.74%) PAR (000'S) - -------------------------------------------------------------- CORPORATE BONDS (31.75%) AUTO-RELATED (0.44%) Hertz Corp., 9.04%, 6/14/00 900,000 $ 957 ----------- BANKS (1.36%) NationsCredit Grantor Trust, 6.75%, 8/15/13 2,917,161 2,929 ----------- BANK HOLDING COMPANIES (5.78%) BT Preferred Capital Trust II, 7.875%, 2/25/27 6,000,000 5,796 First Union Institutional Capital II, 7.85%, 1/1/27 4,750,000 4,649 Security Capital Industrial Trust, 7.3%, 5/15/01 2,000,000 1,998 ----------- TOTAL 12,443 ----------- CHEMICALS AND ALLIED PRODUCTS (0.92%) Dow Capital B.V., 8.5%, 6/8/10 1,800,000 1,987 ----------- COMMUNICATIONS (2.66%) Grupo Televisa SA DE CV, 10%, 11/9/97 1,172,000 1,185 ++ Tele Communications, Inc., 7.375%, 2/15/00 2,000,000 2,017 U.S. West Capital Funding Inc., 7.9%, 2/1/27 1,000,000 1,003 WorldCom, Inc., 7.75%, 4/1/07 1,500,000 1,525 ----------- TOTAL 5,730 ----------- CONSTRUCTION MACHINERY (0.48%) Bufete Industrial SA ADS, 11.375%, 7/15/99 (144a) 1,000,000 1,043 ----------- DEPOSITORY INSTITUTIONS (0.80%) Natwest Capital Funding, 12.125%, 11/15/02 1,700,000 1,733 ----------- ELECTRIC SERVICES (8.43%) Beaver Valley Funding Corp., 8.25%, 6/1/03 1,401,000 1,429 Cleveland Electric Illum Co., 7.375%, 6/1/03 500,000 499 Commonwealth Edison Co., 6.5%, 4/15/00 1,000,000 994 ++ Korea Electric Power Corporation, 7%, 2/1/27 4,000,000 3,907 Long Island Lighting Co., 8.625%, 4/15/04 1,000,000 1,026 Long Island Lighting Co., 9.625%, 7/1/24 1,500,000 1,542 Ohio Edison Company, 7.375%, 9/15/02 1,000,000 1,010 ++ Pacific Gas & Electric Co., 7.25%, 3/1/26 3,500,000 3,339 Peco Energy Company, 7.75%, 3/1/23 1,150,000 1,158 MARKET VALUE BONDS (97.74%) PAR (000'S) - -------------------------------------------------------------- ELECTRIC SERVICES (CONTINUED) ++ Public Service Electric And Gas Co., 6.875%, 1/1/03 2,250,000 $ 2,252 Texas Utilities Electric Co., 7.875%, 3/1/23 1,000,000 996 ----------- TOTAL 18,152 ----------- FINANCE (0.75%) Associates Corp. of North America, 7.95%, 2/15/10 1,500,000 1,621 ----------- FOOD AND KINDRED PRODUCTS (0.72%) Nabisco Inc., 8%, 1/15/00 1,500,000 1,548 ----------- GENERAL MERCHANDISE STORES (0.46%) May Dept Stores Company, 7.45%, 10/15/16 1,000,000 993 ----------- INSURANCE SERVICES (1.92%) Zurich Capital Trust I, 8.376%, 6/1/37 (144a) 4,000,000 4,130 ----------- MOTION PICTURE (4.13%) News America Holdings Inc., 8.25%, 8/10/18 1,000,000 1,007 Time Warner Entertainment Inc., 8.375%, 3/15/23 1,000,000 1,025 Time Warner Entertainment Inc., 8.375%, 7/15/33 2,000,000 2,033 Time Warner Pass-Through Asset Trust, 6.10%, 12/30/01 (144a) 5,000,000 4,789 ----------- TOTAL 8,854 ----------- MOTOR VEHICLES (0.66%) General Motors Corporation, 8.8%, 3/1/21 1,250,000 1,425 ----------- PAPER AND ALLIED PRODUCTS (1.05%) Grupo Industrial Durango, 12.625%, 8/1/03 2,000,000 2,253 ----------- TOBACCO (1.19%) Philip Morris Companies, 7.25%, 1/15/03 1,000,000 1,008 Philip Morris Companies, 9.25%, 2/15/00 500,000 531 ++ RJR Nabisco Inc., 8.625%, 12/1/02 1,000,000 1,023 ----------- TOTAL 2,562 ----------- TOTAL CORPORATE BONDS 68,360 ----------- GOVERNMENT AND AGENCY RELATED BONDS (31.33%) FOREIGN GOVERNMENT BONDS (7.28%) Argentina, Republic of, 8%, 12/13/98 2,500,000 $ 2,518 Argentina, Republic of, 8.75%, 5/9/02 8,250,000 8,254 + Argentina, Republic of, 5.695%, 4/1/01 1,423,853 1,383
-- 7 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1997
MARKET VALUE BONDS (97.74%) PAR (000'S) - -------------------------------------------------------------- FOREIGN GOVERNMENT BONDS (CONTINUED) + Brazil, Republic of, 6.937%, 4/15/12 4,250,000 $ 3,512 ----------- TOTAL 15,667 ----------- FEDERAL GOVERNMENT AND AGENCIES (24.05%) Federal Home Loan Mortgage Corp., 6.5%, 1/1/2012 6,118,452 6,013 Federal Home Loan Mortgage Corp., 6.75%, 12/25/23 5,710,018 5,617 Federal Home Loan Mortgage Corp., 7%, 3/15/07 1,875,000 1,876 Federal Home Loan Mortgage Corp., 7.25%, 4/15/18 1,599,758 1,610 Federal Home Loan Mortgage Corp., 7.5%, 1/1/27 2,901,378 2,915 Federal National Mortgage Assoc., 6.5%, 9/25/05 2,852,454 2,819 Federal National Mortgage Assoc., 6.75%, 12/25/23 3,500,000 3,281 Federal National Mortgage Assoc., 7%, 6/1/03 825,987 831 Federal National Mortgage Assoc., 8.4%, 2/25/09 2,500,000 2,630 Government National Mortgage Assoc., 7%, 5/15/23 438,705 433 Government National Mortgage Assoc., 7%, 5/15/23 2,876,575 2,842 Government National Mortgage Assoc., 7%, 6/15/23 2,596,104 2,565 Government National Mortgage Assoc., 7.5%, 1/15/24 826,305 832 Government National Mortgage Assoc., 7.5%, 1/15/24 799,749 805 Government National Mortgage Assoc., 7.5%, 2/15/24 1,685,227 1,697 Government National Mortgage Assoc., 7.5%, 6/15/24 1,554,281 1,565 Government National Mortgage Assoc., 8%, 8/15/26 9,739,031 9,971 Government National Mortgage Assoc., 8.5%, 11/15/24 309,263 323 Government National Mortgage Assoc., 8.5%, 11/15/24 435,240 454 Government National Mortgage Assoc., 8.5%, 11/15/24 288,357 301 Government National Mortgage Assoc., 8.5%, 2/15/25 14,138 15 Government National Mortgage Assoc., 8.5%, 2/15/25 114,852 120 Government National Mortgage Assoc., 8.5%, 3/15/23 10,445 11 Government National Mortgage Assoc., 8.5%, 4/15/26 356,804 371 MARKET VALUE BONDS (97.74%) PAR (000'S) - -------------------------------------------------------------- FEDERAL GOVERNMENT AND AGENCIES (CONTINUED) Government National Mortgage Assoc., 8.5%, 4/15/26 308,536 $ 321 Government National Mortgage Assoc., 8.5%, 5/15/26 225,173 234 Government National Mortgage Assoc., 8.5%, 5/15/26 697,957 727 Government National Mortgage Assoc., 8.5%, 6/15/23 17,940 19 Government National Mortgage Assoc., 8.5%, 6/15/24 298,572 311 Government National Mortgage Assoc., 8.5%, 7/15/24 72,776 76 Government National Mortgage Assoc., 8.5%, 9/15/21 168,749 177 Government National Mortgage Assoc., 8.5%, 9/15/24 14,378 15 ----------- TOTAL 51,777 ----------- TOTAL GOVERNMENT BONDS 67,444 ----------- MORTGAGE/ASSET BACKED SECURITIES (32.39%) AUTO-RELATED (3.87%) Daimler-Benz Vehicle Trust, 5.85%, 7/20/03 1,497,442 1,497 CIT RV Owner Trust, 6.25%, 1/15/11 1,210,522 1,212 Eaglemark Trust, 6.75%, 11/15/02 (144a) 1,302,601 1,315 Team Fleet Financing Corporation, 6.65%, 12/15/02 (144a) 3,200,000 3,169 Team Fleet Financing Corporation, 7.35%, 5/15/03 (144a) 1,125,000 1,141 ----------- TOTAL 8,334 ----------- COMMERCIAL MORTGAGES (24.00%) + Kmart CMBS Financing, Inc., 6.391%, 03/01/07 (144a) 1,500,000 1,504 + Kmart CMBS Financing, Inc., 6.791%, 03/01/07 (144a) 2,000,000 2,006 Asset Securitization Corporation, 1.097%, 11/13/26 IO 52,000,000 3,567 Asset Securitization Corporation, 1.257%, 11/13/26 IO 23,208,090 1,037 Chase Commercial Mortgage Securities Corp., 7.37%, 6/19/29 1,000,000 1,017 Chase Commercial Mortgage Securities Corp., 7.37%, 6/19/29 1,750,000 1,756 Credit Suisee First Boston Mortgage Securities Corp., 9.5914%, 4/25/25 (144a) 682,000 757 Credit Suisse First Boston Mortgage Securities Corp., 7.26%, 6/20/29 (144a) 1,500,000 1,517
-- 8 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1997
MARKET VALUE BONDS (97.74%) PAR (000'S) - -------------------------------------------------------------- COMMERCIAL MORTGAGES (CONTINUED) Credit Suisse First Boston Mortgage Securities Corp., 7.28%, 6/20/29 (144a) 1,500,000 $ 1,513 Credit Suisse First Boston Mortgage Securities Corp., 7.46%, 6/20/29 (144a) 3,500,000 3,531 First Union-Lehman Brothers Commercial Mortgage Trust, 7.44%, 4/18/07 2,500,000 2,541 First Union-Lehman Brothers Commercial Mortgage Trust, 1.307%, 4/18/27 IO 39,000,000 3,090 GMAC Commercial Mortgage Securities, Inc., 7.81%, 5/1/06 (144a) 5,000,000 5,150 LB Commercial Conduit Mortgage Trust, 1.248%, 10/25/26 IO 69,574,883 4,592 Malan Mortgage Securities Trust, 7.8%, 8/15/05 (144a) 3,000,000 3,039 Merrill Lynch Mortgage Investors, Inc., 7.12%, 6/18/29 2,500,000 2,489 Merrill Lynch Mortgage Investors, Inc., 7.12%, 6/18/29 4,500,000 4,341 Merrill Lynch Mortgage Investors, Inc., 8.154%, 6/18/29 1,950,000 2,022 Merrill Lynch Mortgage Investors, Inc., 8.858%, 6/18/29 2,000,000 2,016 Midland Realty Acceptance Corp., 1.389%, 1/25/29 (144a) IO 14,766,622 1,166 NationsBank Lease Pass Thru Trust, 7.442%, 1/10/11 (144a) 3,000,000 3,021 ----------- TOTAL 51,672 ----------- MANUFACTURED HOUSING (1.78%) Mid-State Trust VI, 7.54%, 7/1/35 1,300,000 1,308 Vanderbilt Mortgage and Finance, Inc., 7.19%, 5/7/2005 2,500,000 2,517 ----------- TOTAL 3,825 ----------- RESIDENTIAL MORTGAGES (2.74%) BCF L L C Mortgage Pass Thru Certificate, 7.75%, 3/25/37 (144a) 3,984,975 3,890 MARKET VALUE BONDS (97.74%) PAR (000'S) - -------------------------------------------------------------- RESIDENTIAL MORTGAGES (CONTINUED) Rural Housing Trust, 6.33%, 4/1/26 2,076,953 $ 2,017 ----------- TOTAL 5,907 ----------- TOTAL MORTGAGE/ASSET BACKED SECURITIES 69,738 ----------- MUNICIPAL BONDS (2.27%) New Jersey Economic Development Authority, 0.00%, 2/15/25 18,000,000 2,347 New Jersey Economic Development Authority, 7.425%, 2/15/29 2,500,000 2,520 ----------- TOTAL MUNICIPAL BONDS 4,867 ----------- TOTAL BONDS $ 210,409 ----------- MARKET VALUE MONEY MARKET INVESTMENTS (2.26%) PAR (000'S) - -------------------------------------------------------------- GOVERNMENT (0.23%) ++ U.S. Treasury, 5.08%, 9/4/97 500,000 $ 495 ----------- NONDEPOSITORY INSTITUTIONS (1.20%) Sears Roebuck Acceptance Corp., 5.57%, 8/6/97 2,600,000 2,586 ----------- TOBACCO PRODUCTS (0.83%) Philip Morris Companies, 9%, 5/15/98 1,750,000 1,790 ----------- TOTAL MONEY MARKET INSTRUMENTS 4,871 ----------- TOTAL SELECT BOND PORTFOLIO $ 215,280 -----------
+ Floating rate security. ++ Partially held by the custodian in segregated account as collateral for open futures postions. Information regarding open futures contracts as of June 30, 1997 is summarized below:
UNREALIZED NUMBER OF EXPIRATION APPRECIATION ISSUERS CONTRACTS DATE (000'S) - --------------- ---------- ---------------- ------------- U.S. Treasury Bond Future 45 September 1997 19
The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) -- 9 HIGH YIELD BOND PORTFOLIO - -------------------------------------------------------------------------------- Objective: Portfolio Strategy: Net Assets: High current income and capital Generate superior performance by investing in a $131,411,445 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. The investment approach is credit-driven, with rigorous industry and credit analysis utilized to identify investment opportunities in issuers with stable or improving credit fundamentals whose bonds are rated below investment grade. Securities are actively traded in order to maximize returns within appropriate parameters of risk, quality, seniority and duration. In many ways, investing in high yield bonds is akin to equity investing, since an issuer's financial situation and operational performance are the key determinants of continued ability to meet obligations to pay interest and principal. Of particular interest are 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. When financial performance falls short of expectations, exposure is normally reduced. In a high-yield portfolio, some defaults over time are inevitable; diversification across many holdings mitigates the impact of defaults on the total portfolio. The high yield market continued to perform substantially better than the investment grade market during the first half of 1997. Favorable economic conditions, reasonably good corporate earnings and low default rates were major factors that contributed to strong demand for high yield bonds. Increasingly broad demand for high yield bonds from mutual funds, insurance companies, pension funds, foreign investors and issuers of Collateralized Bond Obligations caused risk premiums to decline. The Portfolio significantly outperfomed both the Lehman Brothers High Yield Intermediate Market Index and the Portfolio's high yield fund peer group. This strong performance can be attributed to insightful selection of market sectors and individual securities, participation in international markets, the inclusion of preferred stocks, and the absence of any major negative credit developments in the Portfolio. Percentage Holdings by Industry Sector EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC Technology 34% Consumer Staples 20% Consumer Cyclicals 11% Transportation 9% Basic Materials 8% Financial 6% Energy/Utilities 5% Cash Equivalents 7%
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 5/3/94 10,000 10,000 6/30/94 10,110 10,061 6/30/95 11,490 11,330 6/30/96 12,836 12,465 6/30/97 15,684 14,158 Average Annual Total Return For Periods Ended June 30, 1997 One Year Since Inception High Yield Bond Portfolio 22.19% 15.31% Lehman Brothers Index 13.58% 11.63%
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. The net investment rates of return shown on page 2 reflect mortality and expense risk charges deducted from the assets of the separate account. The cost of insurance protection, which is not reflected in the returns shown on this chart, would make the return significantly lower. Investors are urged to obtain a personalized illustration of historical performance which reflects the cost of insurance protection. -- 10 HIGH YIELD BOND PORTFOLIO NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1997
MARKET VALUE BONDS (73.10%) PAR (000'S) - -------------------------------------------------------------- APPAREL AND TEXTILE (1.73%) Polysindo International Finance Co., 11.375%, 6/15/06 $2,000,000 $ 2,200 ----------- AUTO RELATED (1.59%) Speedy Muffler King Inc., 10.875%, 10/01/06 2,000,000 2,020 ----------- BANKS (2.42%) First Nationwide Holdings Inc., 10.625%, 10/01/03 750,000 829 First Nationwide Parent Holdings, 12.50%, 4/15/03(144a) 2,000,000 2,245 ----------- TOTAL 3,074 ----------- BROADCASTING (4.55%) Azteca Hldgs S.A. De C.V., 11.00%, 6/15/02(144a) 2,250,000 2,273 Katz Media Corp., 10.50%, 1/15/07 2,000,000 1,960 TV Azteca S.A. De C.V., 10.50%, 2/15/07(144a) 1,500,000 1,538 ----------- TOTAL 5,771 ----------- CABLE TELEVISION (6.51%) Adelphia Communications Corp., 9.50%, 2/15/04 (PIK) 2,547,500 2,458 Adelphia Communications Corp., 9.875%, 3/01/07(144a) 1,000,000 966 +International Cabletel Inc., 11.50%, 2/01/06 2,000,000 1,385 International Cabletel Inc., 10.00%, 2/15/07 500,000 509 +Marcus Cable, 14.25%, 12/15/05 3,750,000 2,944 ----------- TOTAL 8,262 ----------- CHEMICALS (1.98%) Tri Polyta Finance B V, 11.375%, 12/01/03 2,500,000 2,506 ----------- CONSUMER PRODUCTS (2.83%) +Hedstrom Holdings Inc., 12.00%, 6/01/09(144a) 2,175,000 1,294 Riddell Sports Inc., 10.50%, 7/15/07(144a) 2,250,000 2,301 ----------- TOTAL 3,595 ----------- CONSUMER STAPLES (0.64%) North Atlantic Trading Inc., 11.00%, 6/15/04(144a) 800,000 810 ----------- CONTAINERS (1.65%) VICAP, S.A. De C.V., 11.375%, 5/15/07(144a) 2,000,000 2,095 ----------- FINANCE COMPANIES (2.02%) Olympic Financial Ltd., 11.50%, 3/15/07 2,500,000 2,569 ----------- MARKET VALUE BONDS (73.10%) PAR (000'S) - -------------------------------------------------------------- HEALTHCARE (1.69%) Quest Diagnostics Inc., 10.75%, 12/15/06 $2,000,000 $ 2,145 ----------- LEISURE RELATED (12.16%) Alliance Gaming Corp., 12.875%, 6/30/03 1,500,000 1,695 Casino America Inc., 12.50%, 8/01/03 2,000,000 2,080 Cobb Theatres LLC., 10.625%, 3/01/03 1,000,000 1,110 Cobblestone Holdings, Inc., 0.00%, 6/01/04 2,875,000 1,308 Horseshoe Gaming LLC., 9.375%, 6/15/07(144a) 1,000,000 1,008 Station Casinos Inc., 10.125%, 3/15/06 500,000 505 Station Casinos Inc., 9.75%, 4/15/07(144a) 2,500,000 2,478 Trump Atlantic, 11.25%, 5/01/06 3,000,000 2,925 Trump Hotels & Casino Resorts, 15.50%, 6/15/05 2,000,000 2,320 ----------- TOTAL 15,429 ----------- MISCELLANEOUS-BASIC MATERIALS (1.83%) Cemex S. A., 12.75%, 7/15/06 2,000,000 2,320 ----------- OFFICE EQUIPMENT (2.42%) United Stationers Supply Co., 12.75%, 5/01/05 2,750,000 3,064 ----------- OIL-GAS PRODUCERS (3.10%) Belden & Blake Corp., 9.875%, 6/15/07 (144a) 2,250,000 2,222 Bridas Corp., 12.50%, 6/10/03(144a) 1,500,000 1,710 ----------- TOTAL 3,932 ----------- PAPER (4.36%) Grupo Indl Durango S.A. De C.V., 12.625%, 8/01/03 2,000,000 2,253 Indah Kiat Finance International, 10.00%, 7/01/07(144a) 2,250,000 2,244 Stone Container Corp., 12.25%, 4/01/02(144a) 1,000,000 1,030 ----------- TOTAL 5,527 ----------- PROFESSIONAL SERVICES (1.54%) Kinder-care Learning Center, 9.50%, 2/15/09 2,000,000 1,950 ----------- RAILROAD (2.51%) +TFM S.A. De C. V., 11.75%, 6/15/09(144a) 5,500,000 3,190 ----------- RETAIL-FOOD (0.80%) Pathmark Stores Inc., 11.625%, 6/15/02 1,000,000 1,010 -----------
-- 11 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1997
MARKET VALUE BONDS (73.10%) PAR (000'S) - -------------------------------------------------------------- SOAPS AND TOILETRIES (2.14%) Revlon Worldwide Corp., 0.00%, 3/15/01(144a) $4,000,000 $ 2,710 ----------- TELECOMMUNICATIONS (9.21%) Comtel Brasileira Ltda., 10.75%, 9/26/04(144a) 2,000,000 2,140 ITC Deltacom Inc., 11.00%, 6/01/07(144a) 2,875,000 2,922 ++Mobilemedia Communications Inc., 10.50%, 12/01/03 2,000,000 240 Paging Network Inc., 10.00%, 10/15/08 2,000,000 1,920 +Telewest PLC, 11.00%, 10/01/07 3,000,000 2,160 Wavetek Corp., 10.125%, 6/15/07(144a) 2,250,000 2,309 ----------- TOTAL 11,691 ----------- TRUCKING AND SHIPPING (5.41%) Greyhound Lines Inc., 11.50%, 4/15/07(144a) 3,375,000 3,611 Coach USA Inc., 9.375%, 7/01/07(144a) 2,250,000 2,228 Ryder Trucks, Inc., 10.00%, 12/01/06 1,000,000 1,030 ----------- TOTAL 6,869 ----------- TOTAL BONDS $ 92,739 ----------- MARKET VALUE PREFERRED STOCK (19.03%) SHARES (000'S) - -------------------------------------------------------------- BANKS (1.02%) California Federated Capital Corp. 50,000 $ 1,291 ----------- BROADCASTING (7.00%) American Radio Systems Corp. (144a) 21,055 2,232 Chancellor Radio(144a) 21,200 2,417 Sinclair Capital(144a) 40,000 4,230 ----------- TOTAL 8,879 ----------- CABLE TELEVISION (4.06%) Cablevision Systems Corp. (PIK) 49,828 5,156 ----------- LEISURE RELATED (1.72%) Alliance Gaming Corp. PIK 17,461 1,737 Station Casinos Inc. 10,000 448 ----------- TOTAL 2,185 ----------- MARKET VALUE PREFERRED STOCK (19.03%) SHARES (000'S) - -------------------------------------------------------------- PRINTING AND PUBLISHING (2.81%) K-III Communications Corp.(144a) 35,000 $ 3,561 Time Warner Inc. 7 1 ----------- TOTAL 3,562 ----------- TELECOMMUNICATIONS (0.42%) NTL Inc.(144a) (PIK) 5,160 539 ----------- UTILITY-GAS (2.00%) Petroleum Heat & Power Inc.(144a) 103,750 2,542 ----------- TOTAL PREFERRED STOCK $ 24,154 ----------- MARKET VALUE MONEY MARKET INVESTMENTS (6.85%) PAR (000'S) - -------------------------------------------------------------- CHEMICALS AND ALLIED PRODUCTS (5.28%) American Home Products Co., 6.149%, 7/01/97 $6,700,000 $ 6,700 ----------- NONDEPOSITORY INSTITUTIONS (1.57%) Sears Roebuck Acceptance Corp., 5.57%, 8/06/97 2,000,000 1,989 ----------- TOTAL MONEY MARKET INVESTMENTS $ 8,689 ----------- MARKET VALUE COMMON STOCK (1.02%) SHARES (000'S) - -------------------------------------------------------------- APPAREL AND TEXTILE (0.86%) *Ithaca Industries Inc. 136,000 $ 1,088 ----------- ELECTRONICS (0.04%) *Exide Electronics-Warrants 2,000 50 ----------- LEISURE RELATED (0.04%) *Cobblestone Holdings Inc. 2,875 52 ----------- PAPER (0.08%) *SDW Holdings Corp.(144a) 20,000 100 ----------- TOTAL COMMON STOCK 1,290 ----------- TOTAL HIGH YIELD BOND PORTFOLIO $ 126,872 -----------
*Non-Income Producing. +Deferred interest security that receives no coupon payments until a predetermined date at which the stated coupon rate becomes effective. ++Defaulted Security. The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) -- 12 BALANCED PORTFOLIO - -------------------------------------------------------------------------------- Objective: Portfolio Strategy: Net Assets: A high level of current income Achieve consistent returns and low volatility $2,593,714,448 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 six months of 1997. Although the stock position was reduced modestly during periods of particular strength, continued strong prices have increased the percentage holdings of stock; at the end of the period 57% of the total was invested in stocks, up from 55% at the end of 1996. A moderate cash position will make it possible to increase investments in equities or bonds, as market conditions indicate. A reduction in the percentage held in bonds resulted from the increased value of stock holdings, rather than from a decision to scale back bond holdings. In order to take advantage of declining interest rates, durations of the securities in the portfolio have been adjusted to overweight short-term and long-term securities and underweight intermediate term bonds. Percentage Holdings 6/30/97 EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC Equities 57% Bonds 29% Money Market Investments 14%
Performance Relative to Relevant Indices EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
BALANCED PORTFOLIO MERRILL LYNCH DOMESTIC MASTER INDEX S&P 500 INDEX ML 91-DAY T-BILL 6/30/87 10,000 10,000 10,000 10,000 6/30/88 10,173 10,784 9,290 10,633 6/30/89 11,119 12,124 11,167 11,533 6/30/90 11,898 13,012 12,976 12,512 6/30/91 13,102 14,429 13,923 13,458 6/30/92 14,584 16,470 15,788 14,156 6/30/93 16,375 18,435 17,936 14,634 6/30/94 16,514 18,244 18,169 15,126 6/30/95 19,515 20,540 22,875 15,960 6/30/96 22,619 21,558 28,799 16,843 6/30/97 27,444 23,321 38,755 17,758 Average Annual Total Return For Periods Ended June 30, 1997 One Year Five Years Ten Years Balanced Portfolio 21.33% 13.48% 10.62% S&P 500 Index 34.57% 19.67% 14.51% MLDM Index 8.18% 7.20% 8.84% ML 91-Day T-Bill 5.43% 4.64% 5.91%
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 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. 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 6/30/87. 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. The net investment rates of return shown on page 2 reflect mortality and expense risk charges deducted from the assets of the separate account. The cost of insurance protection, which is not reflected in the returns shown on this chart, would make the return significantly lower. Investors are urged to obtain a personalized illustration of historical performance which reflects the cost of insurance protection. -- 13 BALANCED PORTFOLIO NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1997
MARKET VALUE BONDS (28.50%) PAR (000'S) - ------------------------------------------------------------- CORPORATE BONDS (10.10%) - ---------------------------------- AEROSPACE AND DEFENSE (0.28%) Lockheed Corporation, 6.75%, 3/15/03 $ 3,000,000 $ 2,985 Northrop Grumman Corporation, 7.75%, 3/1/16 4,000,000 4,034 ------------ TOTAL 7,019 ------------ AUTO-RELATED (0.27%) Hertz Corp., 9.04%, 6/14/00 4,100,000 4,360 ------------ BANKS (0.12%) Nations Credit, 6.75%, 8/15/03 2,917,161 2,929 ------------ BANK HOLDING COMPANIES (0.74%) BT Preferred Capital Trust II, 7.875%, 2/25/27 6,000,000 5,796 First Union Institutional Captial II, 7.85%, 1/1/27 5,000,000 4,893 Security Capital Industrial Trust, 7.3%, 5/15/01 8,000,000 7,993 ------------ TOTAL 18,682 ------------ CHEMICALS AND ALLIED PRODUCTS (0.48%) Dow Cap B.V., 8.5%, 6/8/10 8,200,000 9,054 Nova Chemicals Ltd., 7.25%, 8/15/28 3,000,000 2,963 ------------ TOTAL 12,017 ------------ COMMUNICATIONS (0.62%) Tele Communications, Inc., 7.375%, 2/15/00 8,000,000 8,069 U.S. West Capital Funding Inc., 7.9%, 2/1/27 4,000,000 4,013 WorldCom, Inc., 7.75%, 4/1/07 3,500,000 3,559 ------------ TOTAL 15,641 ------------ CONSTRUCTION MACHINERY (0.10%) Bufete Industrial SA ADS, 11.375%, 7/15/99 (144a) 2,500,000 2,606 ------------ DEPOSITORY INSTITUTIONS (0.42%) Natwest Capital Funding, 12.125%, 11/15/02 10,450,000 10,653 ------------ ELECTRIC SERVICES (3.24%) Beaver Valley Funding Corp., 8.25%, 6/1/03 5,141,000 5,244 Cleveland Electric Illum Co., 7.375%, 6/1/03 2,000,000 1,996 Columbia Gas System Inc., 7.32%, 11/28/10 7,571,000 7,529 Commonwealth Edison Co., 6.5%, 4/15/00 4,000,000 3,974 Dayton Power & Light Company, 8.15%, 1/15/26 5,750,000 5,946 MARKET VALUE BONDS (28.50%) PAR (000'S) - ------------------------------------------------------------- ELECTRIC SERVICES (CONTINUED) Korea Electric Power Corporation, 7%, 2/1/27 $ 4,000,000 $ 3,907 Long Island Lighting Co., 8.625%, 4/15/04 2,700,000 2,769 Long Island Lighting Co., 9.625%, 7/1/24 1,500,000 1,542 Ohio Edison Company, 7.375%, 9/15/02 3,665,000 3,700 Pacific Gas & Electric Co., 5.375%, 8/1/98 5,000,000 4,962 Pacific Gas & Electric Co., 7.25%, 3/1/26 9,050,000 8,634 PECO Energy Company, 7.75%, 3/1/23 8,850,000 8,911 Public Service Electric And Gas Co., 6.875%, 1/1/03 9,000,000 9,008 Texas Utilities Electric Co., 7.875%, 3/1/23 4,000,000 3,984 Southern California Edison Co., 7.25%, 3/1/26 10,000,000 9,530 ------------ TOTAL 81,636 ------------ ENERGY (0.24%) Barrett Resources Corporation, 7.55%, 2/01/07 5,000,000 4,974 Petroleos Mexicanos, 8%, 7/1/98 (144a) 1,000,000 1,010 ------------ TOTAL 5,984 ------------ FINANCE (0.55%) Associates Corp. of North America, 7.95%, 2/15/10 5,550,000 5,996 Crown Cork & Seal Finance Plc, 6.75%, 12/15/03 8,000,000 7,877 ------------ TOTAL 13,873 ------------ FOOD AND KINDRED PRODUCTS (0.14%) Nabisco Inc., 8%, 1/15/00 3,500,000 3,611 ------------ FOOD AND BEVERAGE (0.43%) Coca Cola Enterprises, Inc., 8%, 1/4/05 10,000,000 10,720 ------------ GENERAL MERCHANDISE STORES (0.16%) May Department Stores Company, 7.45%, 10/15/16 4,000,000 3,971 ------------ MOTION PICTURE (1.02%) News America Holdings Inc., 7.5%, 3/1/00 6,500,000 6,626 News America Holdings Inc., 8.45%, 8/1/34 10,000,000 11,034 Time Warner Entertainment Inc., 7.25%, 9/1/08 1,500,000 1,477
-- 14 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1997
MARKET VALUE BONDS (28.50%) PAR (000'S) - ------------------------------------------------------------- MOTION PICTURE (CONTINUED) Time Warner Entertainment Inc., 8.375%, 3/15/23 $ 5,000,000 $ 5,125 Time Warner Entertainment Inc., 8.375%, 7/15/33 1,500,000 1,524 ------------ TOTAL 25,786 ------------ MOTOR VEHICLES (0.49%) General Motors Acceptance Corp., 6.625%, 10/1/02 5,000,000 4,951 General Motors Corporation, 8.8%, 3/1/21 6,500,000 7,412 ------------ TOTAL 12,363 ------------ PAPER AND ALLIED PRODUCTS (0.13%) Grupo Industrial Durango, 12.625%, 8/1/03 3,000,000 3,379 ------------ TOBACCO (0.40%) Philip Morris Companies, 9.25%, 2/15/00 1,000,000 1,061 Philip Morris Companyes, 7.25%, 1/15/03 5,000,000 5,038 RJR Nabisco Inc., 8.625%, 12/1/02 4,000,000 4,093 ------------ TOTAL 10,192 ------------ UTILITY (0.35%) Atlantic City Electric Company, 6.625%, 8/1/13 4,000,000 3,683 Petacalco Trust, 10.16%, 12/23/09 5,000,000 5,050 ------------ TOTAL 8,733 ------------ TOTAL CORPORATE BONDS 254,155 ------------ GOVERNMENT AND AGENCY RELATED BONDS (13.66%) FOREIGN GOVERNMENT BONDS (0.64%) Argentina, Republic of, 8%, 12/13/98 $ 3,500,000 $ 3,525 Argentina, Republic of, 8.75%, 5/9/02 1,000,000 1,001 +Argentina, Republic of, 5.695%, 4/1/01 3,984,594 3,871 City Of Moscow, 9.5%, 5/31/00 (144a) 7,500,000 7,605 Province of Quebec, 6.5%, 1/17/06 7,500,000 7,212 ------------ TOTAL 23,214 ------------ FEDERAL GOVERNMENT AND AGENCIES (13.12%) Federal Home Loan Mortgage Corp., 6%, 7/15/07 19,250,000 18,711 Federal Home Loan Mortgage Corp., 6.5%, 1/1/12 22,302,657 21,918 Federal Home Loan Mortgage Corp., 7%, 3/15/07 7,250,000 7,252 Federal Home Loan Mortgage Corp., 7.25%, 4/15/18 6,811,342 6,854 Federal Home Loan Mortgage Corp., 7.5%, 1/1/27 34,040,754 34,195 MARKET VALUE BONDS (28.50%) PAR (000'S) - ------------------------------------------------------------- FEDERAL GOVERNMENT AND AGENCIES (CONTINUED) Federal National Mortgage Assoc., 6.5%, 9/25/05 $ 6,654,413 $ 6,577 Federal National Mortgage Assoc., 6.75%, 12/25/23 6,500,000 6,093 Federal National Mortgage Assoc., 7%, 4/1/26 26,831,394 26,353 Federal National Mortgage Assoc., 7%, 6/1/03 6,476,388 6,516 Federal National Mortgage Assoc., 7%, 6/25/10 8,070,000 7,990 Federal National Mortgage Assoc., 8.4%, 2/25/09 10,910,000 11,477 Government National Mortgage Assoc., 7%, 10/15/23 26,934 27 Government National Mortgage Assoc., 7%, 10/15/23 95,587 94 Government National Mortgage Assoc., 7%, 10/15/23 183,056 181 Government National Mortgage Assoc., 7%, 10/15/23 103,545 102 Government National Mortgage Assoc., 7%, 10/15/23 134,277 133 Government National Mortgage Assoc., 7%, 11/15/23 516,737 511 Government National Mortgage Assoc., 7%, 11/15/23 661,905 654 Government National Mortgage Assoc., 7%, 11/15/23 689,066 681 Government National Mortgage Assoc., 7%, 5/15/23 202,547 200 Government National Mortgage Assoc., 7%, 5/15/23 5,841,596 5,771 Government National Mortgage Assoc., 7%, 5/15/23 8,136,634 8,039 Government National Mortgage Assoc., 7%, 5/15/23 426,184 421 Government National Mortgage Assoc., 7%, 6/15/23 285,635 282 Government National Mortgage Assoc., 7%, 6/15/23 666,401 658 Government National Mortgage Assoc., 7%, 7/15/23 703,364 695 Government National Mortgage Assoc., 7%, 7/15/23 710,060 702 Government National Mortgage Assoc., 7%, 7/15/23 52,478 52 Government National Mortgage Assoc., 7%, 8/15/23 27,732 27 Government National Mortgage Assoc., 7%, 9/15/23 20,831 21 Government National Mortgage Assoc., 7%, 9/15/23 34,256 34
-- 15 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1997
MARKET VALUE BONDS (28.50%) PAR (000'S) - ------------------------------------------------------------- FEDERAL GOVERNMENT AND AGENCIES (CONTINUED) Government National Mortgage Assoc., 7%, 9/15/23 $ 100,663 $ 99 Government National Mortgage Assoc., 7%, 9/15/23 560,301 554 Government National Mortgage Assoc., 7.5%, 1/15/24 976,424 983 Government National Mortgage Assoc., 7.5%, 1/15/24 188,328 190 Government National Mortgage Assoc., 7.5%, 11/15/24 896,363 903 Government National Mortgage Assoc., 7.5%, 2/15/24 1,426,594 1,436 Government National Mortgage Assoc., 7.5%, 3/15/24 1,356,811 1,366 Government National Mortgage Assoc., 7.5%, 4/15/24 862,489 868 Government National Mortgage Assoc., 7.5%, 5/15/24 873,899 880 Government National Mortgage Assoc., 7.5%, 5/15/24 1,236,153 1,245 Government National Mortgage Assoc., 7.5%, 5/15/24 1,229,011 1,238 Government National Mortgage Assoc., 7.5%, 6/15/24 1,318,202 1,327 Government National Mortgage Assoc., 7.5%, 8/15/24 844,844 851 Government National Mortgage Assoc., 7.5%, 8/15/24 964,250 971 Government National Mortgage Assoc., 7.5%, 8/15/24 1,000,475 1,007 Government National Mortgage Assoc., 7.5%, 8/15/24 909,059 915 Government National Mortgage Assoc., 7.5, 6/15/24 34,055 34 Government National Mortgage Assoc., 8%, 4/15/26 24,183,313 24,759 Government National Mortgage Assoc., 8.5%, 1/15/25 18,561 19 Government National Mortgage Assoc., 8.5%, 1/15/25 48,856 51 Government National Mortgage Assoc., 8.5%, 1/15/25 118,153 123 Government National Mortgage Assoc., 8.5%, 1/15/26 24,961 26 Government National Mortgage Assoc., 8.5%, 1/15/26 778,638 810 Government National Mortgage Assoc., 8.5%, 1/15/26 59,410 62 Government National Mortgage Assoc., 8.5%, 10/15/21 144,946 152 Government National Mortgage Assoc., 8.5%, 10/15/22 10,987 12 MARKET VALUE BONDS (28.50%) PAR (000'S) - ------------------------------------------------------------- FEDERAL GOVERNMENT AND AGENCIES (CONTINUED) Government National Mortgage Assoc., 8.5%, 10/15/22 $ 45,574 $ 48 Government National Mortgage Assoc., 8.5%, 10/15/22 199,332 209 Government National Mortgage Assoc., 8.5%, 11/15/24 182,679 191 Government National Mortgage Assoc., 8.5%, 11/15/25 22,783 24 Government National Mortgage Assoc., 8.5%, 12/15/22 48,609 51 Government National Mortgage Assoc., 8.5%, 12/15/24 24,056 25 Government National Mortgage Assoc., 8.5%, 2/15/25 98,154 102 Government National Mortgage Assoc., 8.5%, 2/15/25 16,268 17 Government National Mortgage Assoc., 8.5%, 2/15/25 39,997 42 Government National Mortgage Assoc., 8.5%, 2/15/25 38,531 40 Government National Mortgage Assoc., 8.5%, 2/15/26 45,335 47 Government National Mortgage Assoc., 8.5%, 3/15/26 23,240 24 Government National Mortgage Assoc., 8.5%, 3/15/26 14,976 16 Government National Mortgage Assoc., 8.5%, 4/15/26 777,737 810 Government National Mortgage Assoc., 8.5%, 4/15/26 86,941 90 Government National Mortgage Assoc., 8.5%, 4/15/26 71,017 74 Government National Mortgage Assoc., 8.5%, 4/15/26 135,104 141 Government National Mortgage Assoc., 8.5%, 4/15/26 767,238 799 Government National Mortgage Assoc., 8.5%, 4/15/26 775,488 807 Government National Mortgage Assoc., 8.5%, 5/15/22 7,991 8 Government National Mortgage Assoc., 8.5%, 5/15/26 803,737 837 Government National Mortgage Assoc., 8.5%, 5/15/26 35,334 37 Government National Mortgage Assoc., 8.5%, 5/15/26 654,142 681 Government National Mortgage Assoc., 8.5%, 5/15/26 920,114 958 Government National Mortgage Assoc., 8.5%, 5/15/26 731,404 761 Government National Mortgage Assoc., 8.5%, 5/15/26 460,743 480
-- 16 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1997
MARKET VALUE BONDS (28.50%) PAR (000'S) - ------------------------------------------------------------- FEDERAL GOVERNMENT AND AGENCIES (CONTINUED) Government National Mortgage Assoc., 8.5%, 6/15/24 $ 19,950 $ 21 Government National Mortgage Assoc., 8.5%, 7/15/21 143,905 151 Government National Mortgage Assoc., 8.5%, 7/15/24 183,152 191 Government National Mortgage Assoc., 8.5%, 7/15/24 183,547 191 Government National Mortgage Assoc., 8.5%, 8/15/24 155,827 163 Government National Mortgage Assoc., 8.5%, 9/15/22 14,240 15 Government National Mortgage Assoc., 8.5%, 9/15/22 182,563 191 Government National Mortgage Assoc., 8.5%, 9/15/24 268,049 280 U.S. Teasury, 6.375%, 5/15/99 53,100,000 53,366 U.S. Teasury, 6.625%, 2/15/27 18,500,000 18,095 U.S. Teasury, 6.75%, 8/15/26 24,850,000 24,586 U.S. Teasury, 7%, 7/15/06 1,950,000 2,006 ------------ TOTAL 320,677 ------------ TOTAL GOVERNMENT BONDS 343,891 ------------ MORTGAGE/ASSET BACKED SECURITIES (4.55%) AUTO-RELATED (1.13%) Eaglemark Trust, 6.75%, 11/15/02 (144a) $ 6,513,006 $ 6,576 Team Fleet Financing Corporation, 6.65%, 12/15/02 (144a) 11,800,000 11,686 Team Fleet Financing Corporation, 7.35%, 5/15/03 (144a) 3,000,000 3,043 CIT RV Owner Trust, 6.25%, 1/15/11 3,631,565 3,636 Daimler-Benz Vehicle Trust, 5.85%, 7/20/03 3,593,862 3,594 ------------ 28,535 ------------ CREDIT CARD (0.20%) Charming Shoppes Master Trust, 7%, 4/15/03 5,000,000 5,064 ------------ MANUFACTURED HOUSING (0.10%) Vanderbilt Mortgage and Finance, Inc., 7.19%, 5/7/2005 2,500,000 2,517 ------------ COMMERCIAL MORTGAGES (2.62%) Asset Securitization Corporation, 1.257%, 11/13/26 IO 29,311,815 1,310 Chase Commerical Mortgage Securities Corp., 7.37%, 6/19/29 2,000,000 2,007 Credit Suisee First Boston Mortgage Securities Corp., 9.5914%, 4/25/25 (144a) 2,047,000 2,257 MARKET VALUE BONDS (28.50%) PAR (000'S) - ------------------------------------------------------------- COMMERCIAL MORTGAGES (CONTINUED) Credit Suisse First Boston Mortgage Securities Corp., 7.26%, 6/20/29 (144a) $ 3,250,000 $ 3,287 Credit Suisse First Boston Mortgage Securities Corp., 7.28%, 6/20/29 (144a) 3,250,000 3,278 Credit Suisse First Boston Mortgage Securities Corp., 7.46%, 6/20/29 (144a) 6,000,000 6,053 First Union-Lehman Brothers Commerical Mortgage Trust, 7.44%, 4/18/07 2,500,000 2,541 First Union-Lehman Brothers Commerical Mortgage Trust, 1.307%, 4/18/27 IO 40,000,000 3,169 GMAC Commerical Mortgage Securities, Inc., 7.81%, 5/1/06 (144a) 7,000,000 7,210 +Kmart CMBS Financing, Inc., 6.391%, 03/01/07 (144a) 3,500,000 3,510 +Kmart CMBS Financing, Inc., 6.791%, 03/01/07 (144a) 4,500,000 4,513 LB Commercial Conduit Mortgage Trust, 1.248%, 10/25/26 IO 129,210,496 8,528 Merrill Lynch Mortgage Investors, Inc., 7.12%, 6/18/29 6,000,000 5,974 Merrill Lynch Mortgage Investors, Inc., 8.858%, 6/18/29 5,845,000 6,061 Merrill Lynch Mortgage Investors, Inc., 8.154%, 6/18/29 (144a) 2,000,000 2,016 Midland Realty Acceptance Corp., 1.389%, 1/25/29 (144a) IO 29,533,244 2,333 NationsBank Lease Pass Thru Trust, 7.442%, 1/10/11 (144a) 2,000,000 2,014 ------------ 66,061 ------------ RESIDENTIAL MORTGAGES (0.49%) BCF L L C Mortgage Pass Thru Certificate, 7.75%, 3/25/37 (144a) 4,981,218 4,863 Rural Housing Trust, 6.33%, 4/1/26 7,696,945 7,474 ------------ 12,337 ------------ TOTAL MORTGAGE/ASSET BACKED SECURITIES 114,514 ------------ MUNICIPAL BONDS (0.19%) New Jersey Economic Development Authority, 0.00%, 2/15/25 20,000,000 2,607
-- 17 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1997
MARKET VALUE BONDS (28.50%) PAR (000'S) - ------------------------------------------------------------- MUNICIPAL BONDS (CONTINUED) New Jersey Economic Development Authority, 7.425%, 2/15/29 $ 2,250,000 $ 2,268 ------------ TOTAL MUNICIPAL BONDS 4,875 ------------ TOTAL BONDS $ 717,435 ------------ MARKET VALUE COMMON STOCK (55.36%) SHARES (000'S) - ------------------------------------------------------------- BASIC MATERIALS (2.87%) Air Products & Chemicals, Inc. 22,900 1,861 Alcan Aluminium Limited 46,300 1,606 Allegheny Teledyne Inc. 35,662 963 Aluminum Co. of America 35,500 2,676 *Armco Inc. 21,800 84 ASARCO, Inc. 8,800 270 Avery Dennison Corp. 21,300 855 B.F. Goodrich Company 11,000 476 Barrick Gold Corporation 73,100 1,608 Battle Mountain Gold Company 45,900 261 *Bethlehem Steel Corporation 22,800 238 Boise Cascade Corporation 9,900 350 Champion International 19,500 1,077 Cyprus Minerals Co. 19,100 468 Dow Chemical Company 49,700 4,330 E.I. du Pont de Nemours & Co. 230,400 14,486 Eastman Chemical Company 15,875 1,008 Echo Bay Mines Limited Co. 28,500 164 Ecolab, Inc. 13,200 630 Engelhard Corp. 29,400 616 *FMC Corporation 7,600 604 Freeport-McMoRan Copper & Gold Inc. 39,500 1,229 Georgia Pacific Corp. 18,700 1,597 Great Lakes Chemical 12,300 644 Hercules Incorporated 20,900 1,001 Homestake Mining Company 30,000 392 Inco Limited 34,400 1,034 Inland Steel Industries, Inc. 10,000 261 International Flavors & Fragrances, Inc. 22,600 1,141 International Paper Company 61,400 2,982 James River Corp. of Virginia 17,600 651 Louisiana-Pacific Corporation 22,200 469 Mead Corp. 10,700 666 Monsanto Company 120,300 5,180 Morton International, Inc. 29,100 878 Nalco Chemical Company 13,800 533 Newmont Mining Corporation 31,930 1,245 Nucor Corp. 17,900 1,011 Phelps Dodge Corporation 13,300 1,133 MARKET VALUE COMMON STOCK (55.36%) SHARES (000'S) - ------------------------------------------------------------- BASIC MATERIALS (CONTINUED) Placer Dome Incorporated 49,000 $ 802 Potlatch Corporation 5,900 267 PPG Industries Inc. 37,500 2,180 Praxair 32,000 1,792 Reynolds Metals Company 14,900 1,062 Rohm & Haas Company 13,100 1,180 Sigma-Aldrich Corp. 20,500 719 Stone Container Corporation 20,300 291 Union Camp Corporation 14,200 710 Union Carbide Corporation 26,100 1,228 USX-Marathon Group 17,300 607 W.R. Grace & Co. 14,900 821 Westvaco Corporation 20,850 655 Weyerhaeuser Company 40,600 2,111 Willamette Industries Inc. 11,300 791 Worthington Industries 19,700 361 ------------ TOTAL 72,255 ------------ CAPITAL GOODS (4.72%) Aeroquip-Vickers Inc. 5,700 269 AMP Incorporated 44,936 1,876 *AutoZone, Inc. 30,800 726 Boeing Company 146,598 7,779 Briggs & Stratton Corporation 5,200 260 Browning-Ferris Industries Inc. 43,600 1,450 Case Corporation 15,000 1,033 Caterpillar Inc. 39,200 4,209 Centex Corporation 5,900 240 Cincinnati Milacron Inc. 8,100 210 Cooper Industries, Inc. 24,200 1,204 Crane Co. 9,450 395 Cummins Engine Company, Inc. 8,100 572 Deere & Company 52,400 2,875 Dover Corporation 23,000 1,415 Emerson Electric Co. 91,500 5,038 Fluor Corporation 17,200 949 Foster Wheeler Corporation 8,300 336 General Dynamics Corporation 12,900 968 General Electric Company 673,700 44,043 General Signal Corporation 10,200 445 Giddings & Lewis Company 6,800 142 Harnischfeger Industries, Inc. 10,100 419 Honeywell Inc. 25,900 1,965 Illinois Tool Works Inc. 50,700 2,532 Ingersoll-Rand Company 22,400 1,383 Johnson Controls Inc. 17,000 698 Kaufman & Broad Home Corp. 7,900 139 Laidlaw Transportation Limited 64,200 887 Lockheed Martin Corporation 39,461 4,087 Masco Corporation 32,800 1,369 McDermott International, Inc. 11,200 $ 327 McDonnell Douglas Corporation 43,400 2,973
-- 18 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1997
MARKET VALUE COMMON STOCK (55.36%) SHARES (000'S) - ------------------------------------------------------------- CAPITAL GOODS (CONTINUED) Millipore Corp. 8,900 $ 392 Moore Corporation Ltd. 20,400 402 NACCO Industries, Inc. 1,700 96 Northrop Grumman Corporation 11,800 1,036 Owens-Corning Fiberglas Corp. 10,600 457 Pall Corporation 25,766 599 Parker-Hannifin Corporation 15,200 922 Pitney Bowes Inc. 30,400 2,113 Pulte Corporation 4,300 149 Raychem Corp. 9,100 677 Rockwell International Corporation 44,800 2,643 Safety-Kleen Corp. 11,900 201 *Thermo Electron Corporation 30,500 1,037 Thomas & Betts Corporation 10,900 573 Timken Company 12,800 455 TRW, Inc. 26,000 1,477 Tyco International Ltd. 34,100 2,372 United Technologies Corp. 48,600 4,034 Waste Management Inc. 92,700 2,978 Westinghouse Electric Corp. 130,000 3,006 ------------ TOTAL 118,832 ------------ COMMUNICATION SERVICES (3.38%) *Airtouch Communications Inc. 102,600 2,809 ALLTEL Corporation 38,300 1,281 Ameritech Corporation 112,400 7,636 AT&T Corporation 331,500 11,623 Bell Atlantic Corporation 89,600 6,798 Bellsouth Corporation 202,800 9,405 Frontier Corporation 33,500 668 GTE Corporation 196,800 8,635 MCI Communications Corporation 140,100 5,363 NYNEX Corp. 90,000 5,186 SBC Communications Incorporated 187,587 11,607 Sprint Corporation 88,100 4,636 U S WEST Communications Group 98,100 3,697 *WorldCom Inc. 177,100 5,667 ------------ TOTAL 85,011 ------------ CONSUMER CYCLICAL (5.91%) American Greetings Corp. 15,300 568 Armstrong World Industries Inc. 8,400 616 Black & Decker Corporation 19,300 718 Brunswick Corporation 20,100 628 *Charming Shoppes Incorporated 21,600 113 Chrysler Corporation 143,700 4,715 Circuit City Stores, Inc. 20,100 715 Cooper Tire & Rubber Company 16,200 356 *Costco Companies, Inc. 42,951 1,412 MARKET VALUE COMMON STOCK (55.36%) SHARES (000'S) - ------------------------------------------------------------- CONSUMER CYCLICAL (CONTINUED) *CUC International Inc. 81,175 $ 2,095 CVS Corporation 34,100 1,748 Dana Corporation 20,800 790 Darden Restaurants Inc. 32,700 296 Dayton Hudson Corporation 44,400 2,362 Deluxe Corp. 16,900 577 Dillards Inc Cl A 23,200 803 Dow Jones & Company, Inc. 19,800 796 Dun & Bradstreet Corporation 34,800 914 Eaton Corporation 15,800 1,380 Echlin Inc. 12,800 461 *Federated Department Stores, Inc. 42,500 1,477 Fleetwood Enterprises, Inc. 7,300 218 Ford Motor Company 242,500 9,154 *Fruit Of The Loom, Incorporated 15,700 487 Gannett Company Inc. 28,800 2,844 General Motors Corp. 154,700 8,615 Genuine Parts Company 36,975 1,253 Goodyear Tire & Rubber Company 31,800 2,013 Harcourt General 14,600 695 *Harrahs Entertainment 21,000 383 Hasbro Inc. 26,450 751 *HFS Incorporated 32,200 1,868 Hilton Hotels Corporation 50,600 1,344 Home Depot, Inc. 98,266 6,774 *ITT Corp. 23,800 1,453 ITT Industries Inc. 24,200 623 J.C. Penney Company Inc. 50,500 2,635 John H. Harland Company 6,300 144 Jostens, Inc. 7,900 211 *K Mart Corporation 99,100 1,214 *King World Productions, Inc. 7,600 266 Knight-Ridder Inc. 19,200 942 Liz Claiborne, Inc. 14,600 681 Longs Drug Stores Corp. 8,000 210 Lowe's Companies, Inc. 35,400 1,314 Marriott International 26,200 1,608 Mattel, Inc. 59,060 2,001 May Department Stores Company 50,100 2,367 Maytag Corporation 20,500 536 McDonald's Corporation 142,700 6,894 McGraw-Hill Companies Inc. 20,400 1,200 Mercantile Stores Company 7,500 472 Meredith Corporation 11,000 319 National Service Industries, Inc. 9,300 453 *Navistar International Corp. 14,970 258 New York Times Company 19,800 980 Newell Co. 32,500 1,288 Nike, Inc. 59,000 3,444 Nordstrom, Inc. 16,400 805
-- 19 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1997
MARKET VALUE COMMON STOCK (55.36%) SHARES (000'S) - ------------------------------------------------------------- CONSUMER CYCLICAL (CONTINUED) PACCAR Incorporated 15,890 $ 738 Pep Boys - Manny, Moe & Jack 12,400 422 R.R. Donnelley & Sons Company 30,900 1,132 Reebok International Ltd. 11,400 533 Rite Aid Corporation 25,100 1,252 Rubbermaid, Inc. 30,600 910 Russell Corp. 7,800 231 Sears Roebuck & Co. 80,100 4,305 Sherwin-Williams Company 35,100 1,084 Snap-On Incorporated 12,450 490 Springs Industries, Inc. 4,100 216 Stride Rite Corp. 10,100 130 Tandy Corporation 11,100 622 The Gap, Inc. 57,100 2,220 The Limited, Inc. 55,400 1,122 The Stanley Works 18,200 728 Times Mirror Company 19,100 1,055 TJX Companies, Inc. 31,800 839 *Toys "R" Us 59,400 2,079 Tribune Company 25,200 1,211 VF Corporation 13,000 1,107 *Viacom Incorporated 72,356 2,171 Wal-Mart Stores, Inc. 469,300 15,868 Walgreen Company 50,400 2,703 Walt Disney Company 138,136 11,085 Wendys International, Inc. 26,500 687 Whirlpool Corporation 15,200 829 *Woolworth Corp. 27,400 658 ------------ TOTAL 148,684 ------------ CONSUMER STAPLES (7.48%) Adolph Coors Co. 7,800 208 Alberto-Culver Company 11,400 319 Albertson's, Inc. 51,400 1,876 American Stores Co. 29,800 1,471 Anheuser Busch Companies, Inc. 102,200 4,286 Archer Daniels Midland Company 111,118 2,611 Avon Products, Inc. 27,200 1,919 Ball Corporation 6,200 186 Bemis Company, Inc. 10,700 463 Brown-Forman Corp. 14,100 688 Campbell Soup Company 95,600 4,780 Cardinal Health Inc. 22,300 1,277 Clorox Company 10,600 1,399 Colgate-Palmolive Co. 60,100 3,922 Comcast Corp. 66,750 1,427 Conagra Inc. 49,100 3,149 CPC International Corp. 29,400 2,714 Crown Cork & Seal Company, Inc. 26,200 1,400 Fleming Companies, Inc. 7,700 139 Fortune Brands, Inc. 34,800 1,298 General Mills, Inc. 33,000 2,149 MARKET VALUE COMMON STOCK (55.36%) SHARES (000'S) - ------------------------------------------------------------- CONSUMER STAPLES (CONTINUED) Giant Food Inc. 12,200 $ 398 Gillette Company 113,500 10,754 Great Atlantic & Pacific Tea Co., Inc. 7,800 212 H.J.Heinz Company 75,350 3,476 Hershey Foods Corp. 31,400 1,737 Kellogg Company 43,100 3,690 Kimberly-Clark Corporation 115,632 5,753 Pepsico Inc. 317,800 11,937 Philip Morris Companies, Inc. 499,900 22,183 Pioneer Hi-Bred International 16,900 1,352 Procter & Gamble Company 139,000 19,634 Quaker Oats Company 27,800 1,248 Ralston Purina Group 21,800 1,792 Sara Lee Corporation 98,400 4,096 Seagram Company Ltd. 75,900 3,055 Supervalu Inc. 13,700 473 Sysco Corporation 36,100 1,318 *Tele Communications, Inc. 135,800 2,020 The Coca-Cola Company 509,100 34,364 *The Kroger Company 51,600 1,496 Time Warner Inc. 116,300 5,611 Tupperware Corporation 12,700 464 *U S West Media Group 127,800 2,588 Unilever, N.V. 32,700 7,118 UST Incorporated 38,100 1,057 Winn-Dixie Stores, Inc. 30,700 1,144 Wm. Wrigley Jr. Company 23,800 1,595 ------------ TOTAL 188,246 ------------ ENERGY (4.88%) Amerada Hess Corporation 19,100 1,061 Amoco Company 101,700 8,842 Ashland, Inc. 15,200 705 Atlantic Richfield Company 65,900 4,646 Baker Hughes Inc. 29,800 1,153 Burlington Resource Inc. 25,600 1,130 Chevron Corp. 133,500 9,871 Dresser Industries, Inc. 36,000 1,341 Exxon Corporation 508,100 31,248 Halliburton Company 25,600 2,029 Helmerich & Payne, Inc. 5,100 294 Kerr-McGee Corporation 9,900 627 Louisiana Land & Exploration Co. 7,000 400 Mobil Corporation 161,200 11,264 Occidental Petroleum Corporation 67,300 1,687 *ORYX Energy Company 21,400 452 Pennzoil Company 9,500 729 Phillips Petroleum Company 53,800 2,354 *Rowan Companies, Inc. 17,500 493 Royal Dutch Petroleum Co., ADR 438,800 23,860 *Santa Fe Energy Resources, Inc. 20,400 300
-- 20 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1997
MARKET VALUE COMMON STOCK (55.36%) SHARES (000'S) - ------------------------------------------------------------- ENERGY (CONTINUED) Schlumberger Limited 50,400 $ 6,300 Sun Company, Inc. 14,900 462 Texaco Inc. 54,100 5,883 Union Pacific Resource Group 51,058 1,270 Unocal Corp. 51,200 1,987 USX-Marathon Group 58,800 1,698 *Western Atlas International, Inc. 11,000 806 ------------ TOTAL 122,892 ------------ FINANCE (8.44%) Allstate Corporation 90,947 6,639 American Express Company 97,000 7,227 American General Corporation 49,403 2,359 American International Group, Inc. 96,050 14,347 Aon Corporation 33,250 1,721 Banc One Corporation 87,410 4,234 Bank of New York Company Inc. 80,200 3,489 BankAmerica Corporation 146,800 9,478 BankBoston Corporation 31,300 2,256 Bankers Trust New York Corporation 16,700 1,453 Barnett Banks Inc. 42,700 2,242 Beneficial Corporation 11,100 789 Charles Schwab Corporation 35,800 1,457 Chase Manhattan Corporation 89,824 8,719 CIGNA Corporation 15,400 2,734 Citicorp 94,800 11,429 Comerica, Inc. 22,000 1,496 Conseco Inc. 39,000 1,443 Corestates Financial Corp. 45,700 2,456 Countrywide Credit Industries, Inc. 21,400 667 Equifax, Inc. 30,900 1,149 Fannie Mae 223,400 9,746 Federal Home Loan Mortgage Corp. 146,300 5,029 Fifth Third Bancorp 21,700 1,781 First Bank System Inc. 27,500 2,348 First Chicago NBD Corporation 65,205 3,945 First Union Corporation 58,005 5,365 Fleet Financial Group Inc. 53,719 3,398 General Re Corporation 16,800 3,058 Golden West Financial Corporation 11,700 819 Great Western Financial Corporation 28,200 1,516 Green Tree Financial Corporation 28,100 1,001 H.F. Ahmanson & Company 21,600 929 Hartford Financial Services Group Inc. 24,000 1,986 Household International, Inc. 19,800 2,325 MARKET VALUE COMMON STOCK (55.36%) SHARES (000'S) - ------------------------------------------------------------- FINANCE (CONTINUED) J.P. Morgan & Company, Inc. 37,900 $ 3,956 Jefferson-Pilot Corp. 14,450 1,010 KeyCorp 46,100 2,576 Lincoln National Corporation 21,300 1,371 Loews Corp. 23,500 2,353 Marsh & McLennan Companies Inc. 33,400 2,384 MBIA Incorporated 8,800 993 MBNA Corp. 68,337 2,503 Mellon Bank Corporation 53,000 2,392 Merrill Lynch & Co. 67,400 4,019 MGIC Investment Corp. 24,100 1,155 Morgan Stanley, Dean Witter, Discover & Co. 117,280 5,050 National City Corp. 45,700 2,399 NationsBank Corp. 149,422 9,638 Norwest Corporation 75,800 4,264 PNC Bank Corp. 68,600 2,855 *Providian Financial Corporation 38,400 1,234 Republic New York Corporation 11,300 1,215 SAFECO Inc. 25,800 1,205 Salomon Inc. 22,300 1,240 St. Paul Companies, Inc. 17,000 1,296 Suntrust Banks Inc. 45,600 2,511 The Chubb Corporation 35,600 2,381 Torchmark Corporation 14,400 1,026 Transamerica Corporation 13,600 1,272 Travelers Group Inc. 130,725 8,244 UNUM Corporation 29,900 1,256 US Bancorp of Oregon 30,900 1,981 USF&G Corp. 23,700 569 Wachovia Corporation 33,800 1,971 Wells Fargo & Company 18,966 5,111 ------------ TOTAL 212,460 ------------ HEALTHCARE (6.39%) Abbott Laboratories Inc. 158,900 10,607 Aetna Inc. 30,893 3,163 Allergan Incorporated 13,400 426 *Alza Corp. 17,300 502 American Home Products 130,700 9,999 *Amgen Inc. 54,100 3,145 Bausch & Lomb Inc. 11,400 537 Baxter International Inc. 55,800 2,916 Becton, Dickinson & Company 25,200 1,276 *Beverly Enterprises, Inc. 20,300 330 Biomet, Inc. 23,400 436 *Boston Scientific Corp. 39,700 2,439 Bristol-Myers Squibb Company 204,900 16,597 C.R. Bard, Inc. 11,700 425 Columbia/HCA Healthcare Corporation 137,350 5,400
-- 21 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1997
MARKET VALUE COMMON STOCK (55.36%) SHARES (000'S) - ------------------------------------------------------------- HEALTHCARE (CONTINUED) Eli Lilly & Company 112,900 $ 12,341 Guidant Corp. 15,200 1,292 *HEALTHSOUTH Corporation 70,200 1,751 *Humana, Inc. 33,300 770 Johnson & Johnson 272,500 17,542 Mallinckrodt Group 15,100 574 Manor Care, Inc. 12,900 421 Medtronic, Incorporated 49,100 3,977 Merck & Co., Inc. 246,600 25,523 Pfizer Inc. 131,900 15,762 Pharmacia & Upjohn Inc. 103,930 3,612 Schering-Plough Corporation 151,100 7,234 *St. Jude Medical, Inc. 18,650 727 *Tenet Healthcare Corp. 61,600 1,821 U.S. Surgical Corporation 14,300 533 United Healthcare Corp. 37,700 1,960 Warner-Lambert Company 55,500 6,896 ------------ TOTAL 160,934 ------------ MISCELLANEOUS (1.00%) Allied Signal Inc. 57,900 4,864 Cognizant Corp. 34,800 1,409 Corning Inc. 46,800 2,603 H & R Block, Inc. 21,300 687 Interpublic Group Cos. Inc. 16,600 1,018 Minnesota Mining & Manufacturing Co. 85,500 8,721 Service Corporation International 48,200 1,585 Tenneco Inc. 34,900 1,577 Textron Inc. 33,800 2,243 Whitman Education Group Inc. 21,200 537 ------------ TOTAL 25,244 ------------ TECHNOLOGY (7.84%) *3COM Corporation 67,900 3,056 Adobe Systems, Inc. 14,700 515 *Advanced Micro Devices, Inc. 27,900 1,004 *Amdahl Corporation 24,800 217 *Andrew Corporation 18,562 522 *Apple Computer, Inc. 25,500 363 *Applied Materials Inc. 37,000 2,620 Autodesk, Inc. 9,800 375 Automatic Data Processing, Inc. 59,800 2,811 *Bay Networks 40,400 1,073 *Cabletron Systems Inc. 31,900 903 *Ceridian Corp. 16,400 693 *Cisco Systems Incorporated 134,500 9,028 *Compaq Computer Corporation 55,400 5,498 Computer Associates International Inc. 74,275 4,136 *Computer Sciences Corp. 15,600 1,125 *Data General Corporation 8,200 213 *Dell Computer Corp. 35,800 4,204 MARKET VALUE COMMON STOCK (55.36%) SHARES (000'S) - ------------------------------------------------------------- TECHNOLOGY (CONTINUED) *Digital Equipment Corporation 32,200 $ 1,141 *DSC Communications Corp. 24,000 534 Eastman Kodak Company 68,200 5,234 EG&G, Inc. 9,700 218 *EMC Corporation 50,300 1,962 First Data Corporation 91,600 4,025 *General Instrument Corp. 28,000 700 Harris Corporation 8,000 672 Hewlett-Packard Company 207,500 11,620 Ikon Office Solutions, Inc. 27,600 688 Intel Corp. 167,900 23,810 *Intergraph Corp. 9,700 82 International Business Machines Corp. 211,800 19,102 *LSI Logic Corp. 28,700 918 Lucent Technologies Inc. 130,543 9,407 *Micron Technology 42,900 1,713 *Microsoft Corporation 246,200 31,114 Motorola, Inc. 121,300 9,219 *National Semiconductor Corporation 28,500 873 Northern Telecom Limited 52,900 4,814 *Novell, Inc. 70,700 490 *Oracle Corporation 138,300 6,967 *Parametric Technology Company 26,100 1,111 Perkin-Elmer Corporation 8,900 708 Polaroid Corporation 9,300 516 Raytheon Company 48,300 2,463 Scientific-Atlanta, Inc. 15,800 346 *Seagate Technology Inc. 50,600 1,780 Shared Medical Systems Corp. 5,100 275 *Silicon Graphics 36,000 540 *Sun Microsystems Inc. 75,300 2,803 *Tandem Computers Inc. 24,300 492 Tektronix, Inc. 6,800 408 *Tellabs Inc. 36,700 2,051 Temple-Inland Inc. 11,300 610 Texas Instruments Incorporated 39,000 3,278 *Unisys Corporation 35,800 273 W.W. Grainger, Inc. 10,900 852 Xerox Corporation 66,400 5,237 ------------ TOTAL 197,402 ------------ TRANSPORTATION (0.71%) *AMR Corporation 18,600 1,721 Burlington Northern Santa Fe Co. 31,333 2,816 Caliber System, Inc. 8,000 298 CSX Corporation 44,400 2,464 Delta Air Lines Inc. 15,000 1,230 *Federal Express Corp. 23,300 1,346 Norfolk Southern Corporation 25,600 2,579 Ryder System, Inc. 15,500 512
-- 22 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1997
MARKET VALUE COMMON STOCK (55.36%) SHARES (000'S) - ------------------------------------------------------------- TRANSPORTATION (CONTINUED) Southwest Airlines Co. 29,700 $ 768 Union Pacific Corporation 50,100 3,532 *USAir Group, Inc, 16,100 564 ------------ TOTAL 17,830 ------------ UTILITIES (1.73%) American Electric Power Co. Inc. 38,300 1,609 Baltimore Gas & Electric Co. 30,200 806 Carolina Power & Light Company 31,000 1,112 Central & South West Corporation 43,100 916 Cinergy Corporation 32,305 1,125 Coastal Corp. 21,500 1,144 Columbia Gas Systems Inc. 11,300 737 Consolidated Edison Co. of New York 48,100 1,416 Consolidated Natural Gas Company 19,400 1,044 Dominion Resources Inc. 36,900 1,351 DTE Energy Company 29,700 820 Duke Energy Corp. 73,571 3,527 Eastern Enterprises 4,200 146 Edison International 83,900 2,087 Enron Corp. 52,100 2,126 ENSERCH Corporation 14,200 316 Entergy Corporation 47,200 1,292 FPL Group, Inc. 37,400 1,723 GPU, Inc. 24,700 886 Houston Industries Incorporated 47,900 1,027 *Niagara Mohawk Power Corporation 29,500 253 Nicor Inc. 10,200 366 Noram Energy Corporation 30,500 465 Northern States Power Company 14,100 730 Ohio Edison Company 31,200 681 ONEOK, Inc. 5,600 180 P P & L Resources, Inc. 33,200 662 Pacific Enterprises 17,400 585 PacifiCorp 60,300 1,327 PECO Energy Company 45,500 956 Peoples Energy Corporation 7,200 270 PG&E Corp. 84,300 2,044 Public Service Enterprise Group, Inc. 48,800 1,220 Sonat Inc. 17,600 902 Southern Company 137,800 3,014 Texas Utilities Company 46,000 1,584 UNICOM Corp. 44,100 981 Union Electric Company 20,900 788 Williams Companies Inc. 32,150 1,407 ------------ TOTAL 43,625 ------------ TOTAL COMMON STOCK $ 1,393,415 ------------ MARKET VALUE MONEY MARKET INVESTMENTS (15.86%) PAR (000'S) - ------------------------------------------------------------- CHEMICALS & ALLIED PRODUCTS (0.99%) American Home Products Corporation, 5.63%, 7/22/97 25,000,000 $ 24,918 ------------ TOTAL 24,918 ------------ FOOD AND KINDRED PRODUCTS (0.87%) H.J.Heinz Company, 5.53%, 7/24/97 22,000,000 21,922 ------------ TOTAL 21,922 ------------ GENERAL MERCHANDISE STORES (1.03%) + J.C. Penney Funding Corporation, 5.51%, 7/7/97 26,000,000 25,976 ------------ TOTAL 25,976 ------------ GOVERNMENT (0.23%) Government Trust Certificates - Greece, 8%, 5/15/98 857,147 860 +U.S. Teasury, 5.08%, 9/4/97 5,000,000 4,954 ------------ TOTAL 5,814 ------------ HOLDING AND OTHER INVESTMENT OFFICES (0.99%) Cargill Incorporated, 5.52%, 7/10/97 25,000,000 24,966 ------------ TOTAL 24,966 ------------ INDUSTRIAL MACHINERY AND EQUIPMENT (0.38%) International Business Machines, 5.3%, 1/13/97 7,000,000 7,010 ------------ TOTAL 7,010 ------------ NONDEPOSITORY INSTITUTIONS (11.74%) American Express Credit Corp., 5.52%, 7/10/97 25,000,000 24,966 +Asset Securitization Corporation, 5.53%, 7/18/97 26,900,000 26,830 Avco Financial Services Inc., 5.875%, 10/15/97 6,800,000 6,800 +BAT Capital Corporation, 5.61%, 7/17/97 25,000,000 24,938 Beneficial Corporation, 6.86%, 11/19/97 7,800,000 7,832 Beneficial Corporation, 9.375%, 7/28/97 5,000,000 5,013 +Ford Motor Credit Company, 5.52%, 7/23/97 25,000,000 24,916 General Electric Capital Corp., 5.55%, 7/22/97 25,000,000 24,919 General Motors Acceptance Corp., 5.57%, 8/6/97 25,000,000 24,861 Household Finance Corporation, 6.2%, 7/1/97 3,100,000 3,100 IBM Credit Corporation, 5.56%, 7/30/97 21,700,000 21,603 International Securitization, 5.6%, 7/21/97 25,000,000 24,922
-- 23 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1997
MARKET VALUE MONEY MARKET INVESTMENTS (15.86%) PAR (000'S) - ------------------------------------------------------------- NONDEPOSITORY INSTITUTIONS (CONTINUED) Philip Morris Capital Co. 5.54%, 7/15/97 $25,000,000 $ 24,946 +Receivable Capital Trust, 5.56%, 7/2/97 25,000,000 24,996 Sears Roebuck Acceptance Corp., 5.55%, 7/16/97 25,000,000 24,941 ------------ TOTAL 295,583 ------------ TOTAL MONEY MARKET INVESTMENTS $ 406,189 ------------ TOTAL BALANCED PORTFOLIO $ 2,517,039 ------------ *Non-Income Producing. +Partially held by the custodian in segregated account as collateral for open futures postions. Information regarding open futures contracts as of June 30, 1997 is summarized below:
UNREALIZED NUMBER OF DEPRECIATION ISSUERS CONTRACTS EXPIRATION DATE (000'S) - -------------------- ---------- ---------------- ------------- U.S. Treasury Bond 90 September 1997 $ (38) S&P 500 Stock Index 100 September 1997 $ (1,023) ------------- Total $ (1,061)
The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) -- 24 INDEX 500 STOCK PORTFOLIO - -------------------------------------------------------------------------------- Objective: Portfolio Strategy: Net Assets: Long-term capital appreciation Invest in a portfolio designed to approximate $979,419,459 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. Performance Relative to S&P 500 Index EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
INDEX 500 PORTFOLIO S&P 500 INDEX 6/30/87 10,000 10,000 6/30/88 9,655 9,290 6/30/89 10,575 11,167 6/30/90 11,348 12,976 6/30/91 12,425 13,923 6/30/92 13,618 15,788 6/30/93 15,309 17,936 6/30/94 15,459 18,169 6/30/95 19,464 22,875 6/30/96 24,504 28,799 6/30/97 32,942 38,755 Actively managed prior to 4/30/93 Indexed on 4/30/93 Average Annual Total Return For Periods Ended June 30, 1997 One Year Five Years Ten Years Index 500 Stock Portfolio 34.44% 19.32% 12.66% S&P 500 Index 34.57% 19.67% 14.51%
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 6/30/87. 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. The net investment rates of return shown on page 2 reflect mortality and expense risk charges deducted from the assets of the separate account. The cost of insurance protection, which is not reflected in the returns shown on this chart, would make the return significantly lower. Investors are urged to obtain a personalized illustration of historical performance which reflects the cost of insurance protection. -- 25 INDEX 500 STOCK PORTFOLIO NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1997
MARKET VALUE COMMON STOCK (94.15%) SHARES (000'S) - -------------------------------------------------------------- BASIC MATERIALS (4.96%) Air Products & Chemicals, Inc. 15,100.00 $ 1,227 Alcan Aluminum Limited 30,600.00 1,061 Allegheny Teledyne Inc. 23,635.00 638 Aluminum Co. of America 23,500.00 1,771 *Armco Inc. 13,800.00 53 ASARCO, Inc. 5,800.00 178 Avery Dennison Corp. 14,100.00 566 B.F. Goodrich Company 7,300.00 316 Barrick Gold Corporation 48,400.00 1,065 Battle Mountain Gold Company 30,400.00 173 *Bethlehem Steel Corporation 15,100.00 158 Boise Cascade Corporation 6,600.00 233 Champion International 12,900.00 713 Cyprus Minerals Co. 12,650.00 310 Dow Chemical Company 32,900.00 2,866 E.I. du Pont de Nemours & Co. 152,400.00 9,582 Eastman Chemical Company 10,525.00 668 Echo Bay Mines Limited Co. 18,900.00 109 Ecolab, Inc. 8,700.00 415 Engelhard Corp. 19,500.00 408 *FMC Corporation 5,000.00 397 Freeport-McMoRan Copper & Gold, Inc. 26,200.00 815 Georgia Pacific Corp. 12,400.00 1,059 Great Lakes Chemical 8,100.00 424 Hercules Incorporated 13,900.00 665 Homestake Mining Company 19,900.00 260 Inco Limited 22,800.00 685 Inland Steel Industries, Inc. 6,600.00 172 International Flavors & Fragrances, Inc. 14,900.00 752 International Paper Company 40,600.00 1,972 James River Corp. of Virginia 11,700.00 433 Louisiana Pacific Corporation 14,700.00 311 Mead Corp. 7,100.00 442 Monsanto Company 79,600.00 3,428 Morton International, Inc. 19,300.00 583 Nalco Chemical Company 9,100.00 351 Newmont Mining Corporation 21,080.00 822 Nucor Corp. 11,900.00 672 Phelps Dodge Corporation 8,800.00 750 Placer Dome Incorporated 32,400.00 531 Potlatch Corporation 3,900.00 176 PPG Industries Inc. 24,800.00 1,442 Praxair 21,200.00 1,187 Reynolds Metals Company 9,800.00 698 Rohm & Haas Company 8,700.00 784 Sigma-Aldrich Corp. 13,500.00 473 Stone Container Corporation 13,400.00 192 Union Camp Corporation 9,400.00 470 Union Carbide Corporation 17,200.00 809 MARKET VALUE COMMON STOCK (94.15%) SHARES (000'S) - -------------------------------------------------------------- BASIC MATERIALS (CONTINUED) USX-Marathon Group 38,900.00 $ 1,123 W.R. Grace & Co. 9,800.00 540 Westvaco Corporation 13,750.00 432 Weyerhaeuser Company 26,800.00 1,394 Willamette Industries Inc. 7,500.00 525 Worthington Industries 13,050.00 239 ----------- TOTAL 48,518 ----------- CAPITAL GOODS (8.03%) Aeroquip-Vickers Inc. 3,800.00 180 AMP Incorporated 29,772.00 1,243 *AutoZone, Inc. 20,400.00 481 Boeing Company 97,066.00 5,151 Briggs & Stratton Corporation 3,400.00 170 Browning-Ferris Industries Inc. 28,800.00 958 Case Corporation 9,900.00 682 Caterpillar Inc. 25,900.00 2,781 Centex Corporation 3,900.00 158 Cincinnati Milacron Inc. 5,400.00 140 Cooper Industries, Inc. 16,000.00 796 Crane Co. 6,250.00 261 Cummins Engine Company, Inc. 5,300.00 374 Deere & Company 34,600.00 1,899 Dover Corporation 15,200.00 935 Emerson Electric Co. 60,500.00 3,331 Fluor Corporation 11,400.00 629 Foster Wheeler Corporation 5,500.00 223 General Dynamics Corporation 8,500.00 638 General Electric Company 445,800.00 29,144 General Signal Corporation 6,800.00 297 Giddings & Lewis Company 4,300.00 90 Harnischfeger Industries, Inc. 6,700.00 278 Honeywell Inc. 17,200.00 1,305 Illinois Tool Works Inc. 33,500.00 1,673 Ingersoll-Rand Company 14,800.00 914 Johnson Controls Inc. 11,300.00 464 Kaufman & Broad Home Corp. 5,300.00 93 Laidlaw Transportation Limited 42,500.00 587 Lockheed Martin Corporation 26,054.00 2,698 Masco Corporation 21,700.00 906 McDermott International, Inc. 7,400.00 216 McDonnell Douglas Corporation 28,700.00 1,966 Millipore Corp. 5,900.00 260 Moore Corporation Ltd. 12,900.00 254 NACCO Inddustries, Inc. 1,100.00 62 Northrop Grumman Corporation 7,800.00 685 Owens Corning Fiberglas Corp. 7,000.00 302 Pall Corporation 17,000.00 395 Parker-Hannifin Corporation 10,050.00 610 Pitney Bowes Inc. 20,100.00 1,397 Pulte Corporation 2,800.00 97 Raychem Corp. 6,000.00 446
-- 26 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1997
MARKET VALUE COMMON STOCK (94.15%) SHARES (000'S) - -------------------------------------------------------------- CAPITAL GOODS (CONTINUED) Rockwell International Corporation 29,600.00 $ 1,746 Safety-Kleen Corp. 7,900.00 133 *Thermo Electron Corporation 20,200.00 687 Thomas & Betts Corporation 7,200.00 378 Timken Company 8,500.00 302 TRW, Inc. 17,200.00 977 Tyco International Ltd. 22,600.00 1,572 United Technologies Corp. 32,100.00 2,664 Waste Management Inc. 61,300.00 1,969 Westinghouse Electric Corp. 86,000.00 1,989 ----------- TOTAL 78,586 ----------- COMMUNICATION SERVICES (5.75%) *Airtouch Communications Inc. 67,900.00 1,859 ALLTEL Corporation 25,300.00 846 Ameritech Corporation 74,400.00 5,055 AT&T Corporation 219,400.00 7,693 Bell Atlantic Corporation 59,300.00 4,499 Bellsouth Corporation 134,200.00 6,224 Frontier Corporation 22,200.00 443 GTE Corporation 130,200.00 5,713 MCI Communications Corporation 92,700.00 3,549 NYNEX Corp. 59,600.00 3,434 SBC Communications Incorporated 124,149.00 7,682 Sprint Corporation 58,300.00 3,068 U S WEST Communications Group 64,900.00 2,446 *WorldCom Inc. 117,200.00 3,750 ----------- TOTAL 56,261 ----------- CONSUMER CYCLICAL (10.04%) American Greetings Corp. 10,100.00 375 Armstrong World Industries Inc. 5,600.00 411 Black & Decker Corporation 12,800.00 476 Brunswick Corporation 13,300.00 416 *Charming Shoppes Incorporated 13,900.00 73 Chrysler Corporation 95,100.00 3,120 Circuit City Stores, Inc. 13,300.00 473 Cooper Tire & Rubber Company 10,600.00 233 *Costco Companies, Inc. 28,407.00 934 *CUC International Inc. 53,725.00 1,387 CVS Corporation 22,500.00 1,153 Dana Corporation 13,800.00 524 Darden Restaurant Inc. 21,600.00 196 Dayton Hudson Corporation 29,400.00 1,564 Deluxe Corp. 11,200.00 382 Dillard Department Stores, Inc. 15,400.00 533 Dow Jones & Company, Inc. 13,100.00 526 Dun & Bradstreet Corporation 23,100.00 606 MARKET VALUE COMMON STOCK (94.15%) SHARES (000'S) - -------------------------------------------------------------- CONSUMER CYCLICAL (CONTINUED) Eaton Corporation 10,400.00 $ 908 Echlin Inc. 8,400.00 302 *Federated Department Stores, Inc. 28,200.00 980 Fleetwood Enterprises, Inc. 4,800.00 143 Ford Motor Company 160,500.00 6,059 *Fruit of the Loom, Incorporated 10,400.00 322 Gannet Company Inc. 19,100.00 1,886 General Motors Corp. 102,300.00 5,697 Genuine Parts Company 24,500.00 830 Goodyear Tire & Rubber Company 21,000.00 1,330 Harcourt General 9,600.00 457 *Harrahs Entertainment 13,900.00 254 Hasbro Inc. 17,550.00 498 *HFS Incorporated 21,300.00 1,235 Hilton Hotels Corporation 33,500.00 890 Home Depot, Inc. 64,999.00 4,481 *ITT Corp. 15,800.00 965 ITT Industries Inc. 16,000.00 412 J.C. Penney Company, Inc. 33,400.00 1,743 John H. Harland Company 4,200.00 96 Jostens, Inc. 5,200.00 139 *K Mart Corporation 65,600.00 804 *King World Productions, Inc. 5,100.00 179 Knight-Ridder Inc. 12,700.00 623 Liz Claiborne, Inc. 9,700.00 452 Longs Drug Stores Corp. 5,300.00 139 Lowe's Companies, Inc. 23,400.00 869 Marriott International 17,300.00 1,062 Mattel, Inc. 39,088.00 1,324 May Department Stores Company 33,200.00 1,569 Maytag Corporation 13,600.00 355 McDonald's Corporation 94,500.00 4,566 McGraw-Hill Companies Inc. 13,500.00 794 Mercantile Stores Company 5,000.00 315 Meredith Corporation 7,200.00 209 National Service Industries, Inc. 6,100.00 297 *Navistar International Corp. 9,900.00 171 New York Times Company 13,100.00 648 Newell Co. 21,500.00 852 Nike, Inc. 39,000.00 2,277 Nordstrom, Inc. 10,900.00 535 Paccar Incorporated 10,570.00 491 Pep Boys - Manny, Moe & Jack 8,200.00 279 R.R. Donnelley & Sons Company 20,400.00 747 Reebok International Ltd. 7,500.00 351 Rite Aid Corporation 16,600.00 828 Rubbermaid, Inc. 20,300.00 604 Russell Corp. 5,200.00 154 Sears, Roebuck & Co. 53,000.00 2,849
-- 27 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1997
MARKET VALUE COMMON STOCK (94.15%) SHARES (000'S) - -------------------------------------------------------------- CONSUMER CYCLICAL (CONTINUED) Sherwin-Williams Company 23,200.00 $ 716 Snap-On Incorporated 8,250.00 325 Springs Industries, Inc. 2,700.00 142 Stride Rite Corp. 6,700.00 86 Tandy Corporation 7,400.00 414 The Gap, Inc. 37,800.00 1,469 The Limited Inc. 36,700.00 743 The Stanley Works 12,000.00 480 Times Mirror Company 12,700.00 702 TJX Companies, Inc. 21,000.00 554 *Toys "R" Us 39,300.00 1,376 Tribune Company 16,700.00 803 VF Corporation 8,600.00 732 *Viacom Incorporated 47,856.00 1,436 Wal-Mart Stores Inc. 310,600.00 10,502 Walgreen Company 33,300.00 1,786 Walt Disney Company 91,369.00 7,332 Wendy's International, Inc. 17,500.00 454 Whirlpool Corporation 10,100.00 551 *Woolworth Corp. 18,100.00 434 ----------- TOTAL 98,389 ----------- CONSUMER STAPLES (12.72%) Adolph Coors Co. 5,100.00 136 Alberto-Culver Company 7,600.00 213 Albertson's, Inc. 34,000.00 1,241 American Stores Co. 19,700.00 973 Anheuser-Busch Companies, Inc. 67,600.00 2,835 Archer Daniels Midland Company 73,570.00 1,729 Avon Products, Inc. 18,000.00 1,270 Ball Corporation 4,100.00 123 Bemis Company, Inc. 7,100.00 307 Brown-Forman Corp. 9,300.00 454 Campbell Soup Company 63,300.00 3,165 Cardinal Health Inc. 14,700.00 842 Clorox Company 7,000.00 924 Colgate-Palmolive Co. 39,800.00 2,597 Comcast Corp. 44,150.00 944 Conagra Inc. 32,500.00 2,084 CPC International Corp. 19,500.00 1,800 Crown Cork & Seal Company, Inc. 17,400.00 930 Fleming Companies, Inc. 5,100.00 92 Fortune Brands, Inc. 23,000.00 858 General Mills, Inc. 21,900.00 1,426 Giant Food Inc. 8,100.00 264 Gillette Company 75,100.00 7,116 Great Atlantic & Pacific Tea Co., Inc. 5,200.00 141 H.J. Heinz Company 49,850.00 2,299 Hershey Foods Corp. 20,800.00 1,151 MARKET VALUE COMMON STOCK (94.15%) SHARES (000'S) - -------------------------------------------------------------- CONSUMER STAPLES (CONTINUED) Kellogg Company 28,500.00 $ 2,440 Kimberly-Clark Corporation 76,544.00 3,808 Pepsico Inc. 210,300.00 7,899 Philip Morris Companies, Inc. 330,800.00 14,679 Pioneer Hi-Bred International 11,200.00 896 Procter & Gamble Company 92,000.00 12,995 Quaker Oats Company 18,400.00 826 Ralston Purina Group 14,400.00 1,184 Sara Lee Corporation 65,100.00 2,710 Seagram Company Ltd. 50,200.00 2,021 Supervalue Inc. 9,100.00 314 Sysco Corporation 23,900.00 872 *Tele Communications, Inc. 89,900.00 1,337 The Coca-Cola Company 336,900.00 22,741 *The Kroger Company 34,200.00 992 Time Warner Inc. 77,000.00 3,715 Tupperware 8,400.00 307 *U S West Media Group 84,600.00 1,713 Unilever, N.V. 21,700.00 4,715 UST Incorporated 25,200.00 699 Winn-Dixie Stores, Inc. 20,300.00 756 Wm. Wrigley Jr. Company 15,700.00 1,052 ----------- TOTAL 124,585 ----------- ENERGY (8.23%) Amerada Hess Corporation 12,600.00 700 Amoco Company 67,300.00 5,851 Ashland, Inc. 10,100.00 468 Atlantic Richfield Company 43,600.00 3,074 Baker Hughes Inc. 19,700.00 762 Burlington Resource Inc. 16,900.00 746 Chevron Corp. 88,300.00 6,529 Dresser Industries, Inc. 23,800.00 887 Exxon Corporation 336,200.00 20,676 Halliburton Company 17,000.00 1,347 Helmerich & Payne, Inc. 3,400.00 196 Kerr-McGee Corporation 6,600.00 418 Louisiana Land & Exploration Co. 4,600.00 263 Mobil Corporation 106,600.00 7,449 Occidental Petroleum Corporation 44,500.00 1,115 *ORYX Energy Company 14,200.00 300 Pennzoil Company 6,300.00 484 Phillips Petroleum Company 35,600.00 1,558 *Rowan Companies, Inc. 11,600.00 327 Royal Dutch Petroleum Co., ADR 290,400.00 15,791 *Santa Fe Energy Resources, Inc. 13,500.00 198 Schlumberger Limited 33,300.00 4,163 Sun Company, Inc. 9,900.00 307 Texaco Inc. 35,800.00 3,893 Union Pacific Resource Group 33,792.00 841
-- 28 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1997
MARKET VALUE COMMON STOCK (94.15%) SHARES (000'S) - -------------------------------------------------------------- ENERGY (CONTINUED) Unocal Corp. 33,900.00 $ 1,316 USX - U S Steel Group Inc. 11,500.00 403 *Western Atlas International Inc. 7,300.00 535 ----------- TOTAL 80,597 ----------- FINANCE (14.35%) Allstate Corporation 60,214.00 4,396 American Express Company 64,200.00 4,783 American General Corporation 32,725.00 1,563 American International Group, Inc. 63,550.00 9,493 Aon Corporation 22,000.00 1,139 Banc One Corporation 57,845.00 2,802 Bank of New York Company, Inc. 53,100.00 2,310 BankAmerica Corporation 95,000.00 6,133 BankBoston Corporation 20,700.00 1,492 Bankers Trust New York Corporation 11,100.00 966 Barnett Banks Inc. 28,300.00 1,486 Beneficial Corporation 7,300.00 519 Charles Schwab Corporation 23,700.00 964 Chase Manhattan Corporation 59,456.00 5,771 CIGNA Corporation 10,200.00 1,811 Citicorp 62,700.00 7,559 Comerica, Inc. 14,500.00 986 Conseco Inc. 25,800.00 955 Corestates Financial Corp. 30,300.00 1,629 Countrywide Credit Industries, Inc. 14,100.00 440 Equifax, Inc. 20,500.00 762 Fannie Mae 147,800.00 6,448 Federal Home Loan Mortgage Corp. 96,800.00 3,328 Fifth Third Bancorp 14,300.00 1,173 First Bank System Inc. 18,200.00 1,554 First Chicago NBD Corporation 43,128.00 2,609 First Union Corporation 38,435.00 3,555 Fleet Financial Group Inc. 35,530.00 2,247 General Re Corporation 11,100.00 2,020 Golden West Financial Corporation 7,800.00 546 Great Western Financial Corporation 18,600.00 1,000 Green Tree Financial Corporation 18,600.00 663 H.F. Ahmanson & Company 14,300.00 615 Hartford Financial Services Group Inc. 15,900.00 1,316 Household International Inc. 13,100.00 1,538 J.P. Morgan & Company, Inc. 25,100.00 2,620 Jefferson-Pilot Corp. 9,600.00 671 KeyCorp 30,500.00 1,704 Lincoln National Corporation 14,100.00 908 MARKET VALUE COMMON STOCK (94.15%) SHARES (000'S) - -------------------------------------------------------------- FINANCE (CONTINUED) Loews Corp. 15,600.00 $ 1,562 Marsh & McLennan Companies Inc. 22,200.00 1,585 MBIA Incorporated 5,900.00 666 MBNA Corp. 45,200.00 1,655 Mellon Bank Corporation 35,000.00 1,579 Merrill Lynch & Co. 44,600.00 2,659 MGIC Investment Corp. 16,000.00 767 Morgan Stanley, Dean Witter, Discover & Co. 77,605.00 3,342 National City Corp. 30,200.00 1,586 NationsBank Corp. 98,856.00 6,376 Norwest Corporation 50,100.00 2,818 PNC Bank Corp. 45,400.00 1,890 *Providian Financial Corporation 24,800.00 797 Republic New York Corporation 7,500.00 806 SAFECO Inc. 17,100.00 798 Salomon Inc. 14,800.00 823 St. Paul Companies, Inc. 11,200.00 854 Suntrust Banks Inc. 30,200.00 1,663 The Chubb Corporation 23,600.00 1,578 Torchmark Corporation 9,500.00 677 Transamerica Corporation 9,000.00 842 Travelers Group Inc. 86,465.00 5,453 UNUM Corporation 19,800.00 832 US Bancorp of Oregon 20,500.00 1,315 USF&G Corp. 15,700.00 377 Wachovia Corporation 22,400.00 1,306 Wells Fargo & Company 12,533.00 3,378 ----------- TOTAL 140,458 ----------- HEALTHCARE (10.88%) Abbott Laboratories Inc. 105,200.00 7,022 Aetna Inc. 20,463.00 2,095 Allergan Incorporated 8,900.00 283 *Alza Corp. 11,400.00 331 American Home Products Corporation 86,500.00 6,617 *Amgen Inc. 35,800.00 2,081 Bausch & Lomb Inc. 7,500.00 353 Baxter International Inc. 37,000.00 1,933 Becton, Dickinson & Company 16,600.00 840 *Beverly Enterprises, Inc. 13,400.00 218 Biomet, Inc. 15,500.00 289 *Boston Scientific Corp. 26,300.00 1,616 Bristol-Myers Squibb Company 135,600.00 10,984 C.R. Bard, Inc. 7,700.00 280 Columbia/HCA Healthcare Corporation 90,900.00 3,574 Eli Lilly & Company 74,700.00 8,166 Guidant Corp. 10,000.00 850 *Healthsouth Corporation 46,400.00 1,157
-- 29 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1997
MARKET VALUE COMMON STOCK (94.15%) SHARES (000'S) - -------------------------------------------------------------- HEALTHCARE (CONTINUED) *Humana, Inc. 22,000.00 $ 509 Johnson & Johnson 180,300.00 11,607 Mallinckrodt, Inc. 10,000.00 380 Manor Care, Inc. 8,500.00 277 Medtronic, Incorporated 32,500.00 2,633 Merck & Co., Inc. 163,200.00 16,891 Pfizer Inc. 87,300.00 10,432 Pharmacia & Upjohn Inc. 68,805.00 2,391 Schering-Plough Corporation 100,000.00 4,788 *St. Jude Medical, Inc. 12,400.00 484 *Tenet Healthcare Corp. 40,800.00 1,206 U.S. Surgical Corporation 9,500.00 354 United Healthcare Corp. 24,900.00 1,295 Warner-Lambert Company 36,700.00 4,560 ----------- TOTAL 106,496 ----------- MISCELLANEOUS (1.71%) Allied Signal Inc. 38,300.00 3,217 Cognizant Corp. 23,100.00 936 Corning Inc. 31,000.00 1,724 H & R Block, Inc. 14,100.00 455 Interpublic Group of Cos. Inc. 11,000.00 674 Minnesota Mining & Manufacturing Co. 56,600.00 5,773 Service Corporation International 31,900.00 1,049 Tenneco Inc. 23,100.00 1,044 Textron Inc. 22,400.00 1,487 Whitman Corp. 14,000.00 354 ----------- TOTAL 16,713 ----------- TECHNOLOGY (13.34%) *3COM Corporation 44,900.00 2,021 Adobe Systems, Inc. 9,700.00 340 *Advanced Micro Devices, Inc. 18,500.00 666 *Amdahl Corporation 16,400.00 144 *Andrew Corporation 12,337.00 347 *Apple Computer, Inc. 16,900.00 241 *Applied Materials Inc. 24,500.00 1,735 Autodesk, Inc. 6,500.00 249 Automatic Data Processing, Inc. 39,500.00 1,857 *Bay Networks 26,700.00 709 *Cabletron Systems Inc. 21,100.00 597 *Ceridian Corp. 10,900.00 461 *Cisco Systems Incorporated 89,000.00 5,974 *Compaq Computer Corporation 36,700.00 3,642 Computer Associates International Inc. 49,175.00 2,738 *Computer Sciences Corp. 10,400.00 750 *Data General Corporation 5,400.00 140 *Dell Computer Corp. 23,700.00 2,783 *Digital Equiipment Corporation 21,300.00 755 *DSC Communications Corp. 15,900.00 354 Eastman Kodak Company 45,100.00 3,461 MARKET VALUE COMMON STOCK (94.15%) SHARES (000'S) - -------------------------------------------------------------- TECHNOLOGY (CONTINUED) EG&G, Inc. 6,400.00 $ 144 *EMC Corporation 33,300.00 1,299 First Data Corporation 60,600.00 2,663 *General Instrument Corp. 18,500.00 463 Harris Corporation 5,300.00 445 Hewlett-Packard Company 137,300.00 7,689 Ikon Office Solutions 18,200.00 454 Intel Corp. 111,100.00 15,755 *Intergraph Corp. 6,100.00 52 International Business Machines Corp. 140,100.00 12,635 *LSI Logic Corp. 19,000.00 608 Lucent Technologies Inc. 86,440.00 6,229 *Micron Technology 28,400.00 1,134 *Microsoft Corporation 162,900.00 20,586 Motorola, Inc. 80,300.00 6,103 *National Semiconductor Corporation 18,900.00 579 Northern Telecom Limited 35,000.00 3,185 *Novell, Inc. 46,900.00 325 *Oracle Corporation 91,500.00 4,609 *Parametric Technology Company 17,300.00 736 Perkin-Elmer Corporation 5,900.00 469 Polaroid Corporation 6,200.00 344 Raytheon Company 32,000.00 1,632 Scientific-Atlanta, Inc. 10,500.00 230 *Seagate Technology Inc. 33,500.00 1,179 Shared Medical Systems Corp. 3,400.00 184 *Silicon Graphics 23,900.00 359 *Sun Microsystems Inc. 49,800.00 1,853 *Tandem Computers Inc. 16,100.00 326 Tektronix, Inc. 4,500.00 270 *Tellabs Inc. 24,300.00 1,358 Temple-Inland Inc. 7,500.00 405 Texas Instruments Incorporated 25,800.00 2,169 *Unisys Corporation 23,700.00 181 W.W. Grainger, Inc. 7,200.00 563 Xerox Corporation 43,900.00 3,463 ----------- TOTAL 130,642 ----------- TRANSPORTATION (1.20%) *AMR Corporation 12,300.00 1,138 Burlington Northern Santa Fe 20,707.00 1,861 Caliber System, Inc. 5,300.00 197 CSX Corporation 29,400.00 1,632 Delta Air Lines Inc. 9,900.00 812 *Federal Express Corp. 15,400.00 889 Norfolk Southern Corporation 16,900.00 1,703 Ryder System, Inc. 10,300.00 340 Southwest Airlines Co. 19,600.00 507 Union Pacific Corporation 33,100.00 2,334
-- 30 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1997
MARKET VALUE COMMON STOCK (94.15%) SHARES (000'S) - -------------------------------------------------------------- TRANSPORTATION (CONTINUED) *USAir Group, Inc. 10,600.00 $ 371 ----------- TOTAL 11,784 ----------- UTILITIES (2.94%) American Electric Power Co. Inc. 25,400.00 1,067 Baltimore Gas & Electric Co. 20,000.00 534 Carolina Power & Light Company 20,500.00 735 Central & South West Corporation 28,600.00 608 Cinergy Corporation 21,317.00 742 Coastal Corp. 14,200.00 755 Columbia Gas System Inc. 7,500.00 489 Consolidated Edison Co. of New York 31,800.00 936 Consolidated Natural Gas Company 12,800.00 689 Dominion Resources Inc. 24,400.00 894 DTE Energy Company 19,600.00 541 Duke Energy Corp. 48,665.00 2,333 Eastern Enterprises 2,700.00 94 Edison International 55,500.00 1,381 Enron Corp 34,400.00 1,404 ENSERCH Corporation 9,400.00 209 Entergy Corporation 31,300.00 857 FPL Group, Inc. 24,800.00 1,142 GPU, Inc. 16,300.00 585 Houston Industries Incorporated 31,700.00 680 *Niagara Mohawk Power Corporation 19,500.00 167 Nicor Inc. 6,700.00 240 Noram Energy Corporation 17,700.00 270 Northern States Power Company 9,400.00 486 Ohio Edison Company 20,700.00 452 ONEOK, Inc. 3,700.00 119 P P & L Resources, Inc. 22,000.00 439 Pacific Enterprises 11,500.00 387 PacifiCorp 39,900.00 878 PECO Energy Company 30,100.00 632 Peoples Energy Corporation 4,700.00 176 PG&E Corp. 55,800.00 1,353 Public Service Enterprise Group, Inc. 32,300.00 808 Sonat Inc. 11,700.00 600 MARKET VALUE COMMON STOCK (94.15%) SHARES (000'S) - -------------------------------------------------------------- UTILITIES (CONTINUED) Southern Company 91,200.00 $ 1,995 Texas Utilities Company 30,400.00 1,047 UNICOM Corp. 29,200.00 650 Union Electric Company 13,800.00 520 Williams Coompanies Inc. 21,300.00 932 ----------- TOTAL 28,826 ----------- TOTAL COMMON STOCK $ 921,855 ----------- MARKET VALUE MONEY MARKET INSTRUMENT (5.85%) PAR (000'S) - -------------------------------------------------------------- CHEMICALS & ALLIED PRODUCTS (0.48%) +American Home Products Corporation, 6.15%, 7/1/97 $ 4,700,000.00 $ 4,700 ----------- GOVERNMENT (0.51%) +U.S. Treasury, 5.08%9/4/97 5,000,000.00 4,954 ----------- NONDEPOSITORY INSTITUTIONS (4.86%) +Ford Motor Credit Corp., 5.52%, 7/23/97 20,000,000.00 19,933 +Household Finance Corp., 5.53%, 7/10/97 16,000,000.00 15,978 +Receivable Capital Trust, 5.56%, 7/16/97 11,700,000.00 11,672 ----------- TOTAL 47,583 ----------- TOTAL MONEY MARKET INVESTMENTS 57,237 ----------- TOTAL INDEX 500 STOCK PORTFOLIO $ 979,092 -----------
* 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, 1997 is summarized below:
UNREALIZED APPRECIATION NUMBER OF (DEPRECIATION) ISSUER CONTRACTS EXPIRATION DATE (000'S) - -------------------- ---------- ---------------- -------------- S&P 500 Stock Index 111 September 1997 $3,899 S&P 500 Stock Index 14 December 1997 $ (84) -------------- Total $3,815 -------------- --------------
The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) -- 31 GROWTH AND INCOME STOCK PORTFOLIO - -------------------------------------------------------------------------------- Objective: Portfolio Strategy: Net Assets: Long-term growth of capital and Actively manage a portfolio of equity $325,880,102 income, consistent with securities with a goal of exceeding the total moderate investment risk return of the S&P 500 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 very close to that of the S&P 500 Index is normally maintained, with the emphasis on undervalued stocks within each sector; 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 Portfolio recorded excellent performance during the first six months of 1997, as the market continued to soar, with particular strength in the large capitalization stocks that are the Portfolio's core holdings. Stock selection in the telephone and services sectors contributed importantly to performance, with a particularly large increase in Worldcom, a rapidly growing telecommunications company. Holdings in the drug industry benefited from FDA approvals of new drugs; Warner-Lambert, which successfully launched two major new drugs, performed especially well. Within the technology sector, which is weighted approximately equal to the S&P 500 Index, the emphasis is on companies involved in data networking area, which are releasing new products that will assist companies in building intranet capabilities and upgrading communications equipment. 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 Consumer 36% Interest-Sensitive 21% Industry 23% Technology 11% Energy 9%
Top 10 Holdings 6/30/97 EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
COMPANY % OF NET ASSETS Procter & Gamble Co. 3.5% Warner-Lambert Company 3.1% Toys R Us 2.8% Cooper Industries 2.4% Exxon Corp. 2.4% PepsiCo, Inc. 2.3% Boeing Company 2.3% Worldcom Inc. 2.3% Tosco Corp. 2.2% AlliedSignal Inc. 2.2%
Performance Relative to S&P 500 Index EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
GROWTH & INCOME STOCK PORTFOLIO S&P 500 INDEX 5/3/94 10,000 10,000 6/30/94 9,784 9,845 6/30/95 11,754 12,394 6/30/96 14,099 15,604 6/30/97 18,641 21,000 Average Annual Total Return For Periods Ended June 30, 1997 One Year Since Inception Growth & Income Stock Portfolio 32.22% 21.79% S&P 500 Index 34.57% 26.47%
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. The net investment rates of return shown on page 2 reflect mortality and expense risk charges deducted from the assets of the separate account. The cost of insurance protection, which is not reflected in the returns shown on this chart, would make the return significantly lower. Investors are urged to obtain a personalized illustration of historical performance which reflects the cost of insurance protection. -- 32 GROWTH AND INCOME STOCK PORTFOLIO NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1997
MARKET VALUE COMMON STOCK (98.96%) SHARES (000'S) - --------------------------------------------------------------- BASIC MATERIALS (7.08%) Albemarle Corporation 141,300 $ 2,976 Allegheny Teledyne Inc. 189,100 5,106 Aluminum Company of America 36,900 2,781 E.I. Du Pont De Nemours & Co 100,000 6,288 Union Carbide Corporation 93,700 4,410 *USG Corporation 41,500 1,515 ----------- TOTAL 23,076 ----------- CAPITAL GOODS (6.68%) Boeing Company 135,900 7,211 Cooper Industries Inc. 156,400 7,781 Johnson Controls Inc. 70,900 2,911 Waste Management Inc. 119,600 3,842 ----------- TOTAL 21,745 ----------- COMMUNICATION SERVICES (5.99%) Bell Atlantic Corporation 35,100 2,663 GTE Corporation 69,200 3,036 MCI Communications Corporation 78,900 3,020 Sprint Corp. 64,900 3,415 *Worldcom Inc. 230,300 7,370 ----------- TOTAL 19,504 ----------- CONSUMER CYCLICAL (7.16%) *Circuit City Stores, Inc. - CarMax Group 75,800 1,085 Circuit City Stores - Circuit City Group 91,200 3,243 *Federated Department Stores, Inc. 81,900 2,846 *Fruit Of The Loom, Incorporated 47,600 1,476 General Motors Corporation 37,500 2,166 General Motors Corporation 48,200 2,684 *Lear Corp 13,500 599 *Toys R Us 263,200 9,212 ----------- TOTAL 23,311 ----------- CONSUMER STAPLES (13.78%) General Mills, Inc. 87,600 5,705 Pepsico Inc. 204,300 7,674 Philip Morris Companies, Inc 48,800 2,166 Procter & Gamble Company 66,300 9,365 Ralston Purina Group 57,400 4,718 *Tele Communications, Inc. 448,800 6,676 Time Warner Inc. 95,200 4,593 Unilever, N V 18,300 3,989 ----------- TOTAL 44,886 ----------- ENERGY (8.39%) Anadarko Petroleum Corporation 44,900 2,694 British Petroleum Co. Ltd 56,780 4,251 Exxon Corporation 140,200 8,622 *Input/Output, Inc. 67,100 1,216 Tosco Corporation 239,500 7,170 MARKET VALUE COMMON STOCK (98.96%) SHARES (000'S) - --------------------------------------------------------------- ENERGY (CONTINUED) Valero Energy Corp. 93,000 $ 3,371 ----------- TOTAL 27,324 ----------- FINANCE (12.98%) Advanta Corporation - Class B 700 25 Banc One Corporation 95,603 4,631 Citicorp 22,500 2,713 Crestar Financial Corp. 74,600 2,900 Dime Bancorp, Inc. 114,000 1,995 Fannie Mae 54,000 2,356 First Chicago NBD Corporation 83,700 5,064 First Hawaiian, Inc. 83,800 2,860 Fleet Financial Group Inc. 23,100 1,461 Marsh & Mclennan Companies, Inc. 82,000 5,853 MBIA Incorporated 6,800 767 Morgan S D Witter Discover&co Com 69,900 3,010 Nationsbank Corp. 34,800 2,245 *Providian Financial Corp. 16,600 533 Salomon Inc 44,200 2,459 Washington Mutual, Inc. 56,900 3,400 ----------- TOTAL 42,272 ----------- HEALTHCARE (9.83%) *Alza Corporation 99,100 2,874 American Home Products Corporation 86,700 6,633 Columbia/HCA Healthcare Corp. 16,000 629 *Humana, Inc. 129,600 2,997 Schering-Plough Corporation 54,000 2,585 United Healthcare Corp. 122,900 6,391 Warner-Lambert Company 79,800 9,915 ----------- TOTAL 32,024 ----------- INSURANCE (0.73%) Aegon N.V. 7,167 502 Ambac, Inc. 24,400 1,864 ----------- TOTAL 2,366 ----------- MISCELLANEOUS (2.85%) *ADT Ltd. 73,700 2,432 AlliedSignal Inc. 81,500 6,846 ----------- TOTAL 9,278 ----------- SERVICES (2.43%) *Circus Circus Enterprises 156,200 3,846 *First USA Paymentech, Inc. 2,600 75 International Game Technology 171,200 3,039 *TCI Satellite Entertainment Inc. 123,100 969 ----------- TOTAL 7,929 ----------- TECHNOLOGY (13.84%) Autodesk, Inc. 89,200 3,417 *Bay Networks, Inc. 176,100 4,678 *Cabletron Systems, Inc. 93,400 2,644 *Cisco Systems Incorporated 31,100 2,088 *Cypress Semiconductor Corporation 154,400 2,239
-- 33 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1997
MARKET VALUE COMMON STOCK (98.96%) SHARES (000'S) - --------------------------------------------------------------- TECHNOLOGY (CONTINUED) *EMC Corporation 92,600 $ 3,611 First Data Corporation 34,400 1,511 *General Instrument Corp. 228,500 5,713 Intel Corp. 19,900 2,822 International Business Machines 51,600 4,654 *Learning Inc. 1,900 18 Perkin Elmer Corporation 24,600 1,957 Sensormatic Electronics Corp. 193,400 2,490 *Sun Microsystems Inc. 67,700 2,520 Symbol Technologies Inc. 58,900 1,981 Temple-Inland Inc 50,900 2,749 ----------- TOTAL 45,092 ----------- TRANSPORTATION (3.02%) CNF Transportation Inc. 27,900 900 *Coltec Industries Inc. 187,500 3,656 *Consolidated Freightways Corp. 1,000 16 CSX Corporation 94,000 5,217 Union Pacific Corporation 900 63 ----------- TOTAL 9,852 ----------- UTILITIES (4.20%) Allegheny Power System, Inc. 54,900 1,465 Dominion Resources Inc. 42,200 1,546 Duke Energy Corp. 29,300 1,405 Enron Corp 63,300 2,583 New England Electric Systems 92,000 3,404 Northern States Power Company 63,400 3,280 ----------- TOTAL 13,683 ----------- TOTAL COMMON STOCK $ 322,342 -----------
MARKET VALUE MONEY MARKET INSTRUMENT (1.04%) SHARES (000'S) - -------------------------------------------------------------- NONDEPOSITORY INSTITUTIONS (0.98%) Ford Motor Credit Corp, 5.52%, 07/23/97 500,000 $ 498 Household Finance Corp, 5.53%, 07/10/97 1,000,000 999 Receivable Capital Trust, 5.559%, 7/16/97 1,000,000 998 Sears Roebuck Acceptance, 5.569%, 8/06/97 700,000 696 ----------- TOTAL 3,191 ----------- TOBACCO PRODUCTS (0.06%) Philip Morris Corporation, 6.15%, 7/1/97 200,000 200 ----------- TOTAL 200 ----------- TOTAL MONEY MARKET INSTRUMENTS $ 3,391 ----------- TOTAL GROWTH & INCOME PORTFOLIO $ 325,733 ----------- *Non-Income Producing.
The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) -- 34 GROWTH STOCK PORTFOLIO - -------------------------------------------------------------------------------- Objective: Portfolio Strategy: Net Assets: Long-term appreciation of Hold a diversified mix of high quality growth $217,026,430 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. Diversification across 70 to 90 stocks in a wide range of industry groups reduces the portfolio's risk profile. The Growth Stock Portfolio continued to provide strong returns during the first half of 1997, reflecting strength in the overall market, particularly in large capitalization stocks. 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. In line with this strategy, changes in focus were made within certain market sectors to increase exposure to companies that are well positioned for current trends. For example, in the energy area, performance benefited from a move from multinational oil companies to oil field service providers; in the automotive group, an increased position in Borg Warner Automotive provided participation in the increasing popularity of sport utility vehicles. Specialty retailers such as Kohls Department Stores benefit from continued strong consumer spending. Fiserv, a provider of technology services to financial institutions, addresses two important themes: the increasing importance of technology to businesses and strategic outsourcing. Sector Allocation EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC Consumer Cyclicals 19% Consumer Staples/Health Care 18% Basic Materials/Capital Goods 13% Energy 10% Technology 11% Finance 13% Other 16%
Top 10 Holdings 6/30/97 EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
COMPANY % OF NET ASSETS General Electric Company 2.4% Kohls Department Stores 1.8% Philip Morris Companies, Inc. 1.8% Merck & Co., Inc. 1.8% AlliedSignal 1.8% Microsoft Corporation 1.8% Borg Warner Automotive 1.7% Procter & Gamble Company 1.6% BankAmerica Corporation 1.6% Fiserv, Inc. 1.6%
Performance Relative to S&P 500 Index EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
GROWTH STOCK PORTFOLIO S&P 500 INDEX 5/3/94 10,000 10,000 6/30/94 9,884 9,845 6/30/95 11,626 12,394 6/30/96 14,694 15,604 6/30/97 18,707 21,000 Average Annual Total Return For Periods Ended June 30, 1997 One Year Since Inception Growth Stock Portfolio 27.31% 21.93% S&P 500 Index 34.57% 26.47%
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. The net investment rates of return shown on page 2 reflect mortality and expense risk charges deducted from the assets of the separate account. The cost of insurance protection, which is not reflected in the returns shown on this chart, would make the return significantly lower. Investors are urged to obtain a personalized illustration of historical performance which reflects the cost of insurance protection. -- 35 GROWTH STOCK PORTFOLIO NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1997
MARKET VALUE COMMON STOCK (91.82%) SHARES (000'S) - -------------------------------------------------------------- BASIC MATERIALS (3.82%) Avery Dennison Corporation 56,200 $ 2,255 E.I. du Pont de Nemours & Co. 26,100 1,641 Ecolab, Inc. 62,700 2,994 PPG Industries Inc. 23,900 1,389 ----------- TOTAL 8,279 ----------- CAPITAL GOODS (8.67%) *American Standard Companies, Inc. 40,600 1,817 Boeing Company 48,400 2,568 Deere & Company 47,000 2,579 Emerson Electric Co. 57,800 3,183 General Electric Company 77,400 5,060 General Motors Class H 27,100 1,565 *Gulfstream Aerospace 68,800 2,030 ----------- TOTAL 18,802 ----------- COMMUNICATION SERVICES (1.68%) MCI Communications Corporation 34,200 1,309 *WorldCom Inc. 73,200 2,342 ----------- TOTAL 3,651 ----------- CONSUMER CYCLICAL (18.94%) *Barnes & Noble Inc. 59,000 2,537 *Borg Warner Automotive 68,200 3,687 *Federated Department Stores, Inc. 39,500 1,373 Ford Motor Company 41,100 1,552 Harley Davidson, Inc. 48,200 2,311 Home Depot, Inc. 31,700 2,185 *Kohls Department Stores 72,800 3,854 Mattel, Inc. 63,281 2,144 McDonald's Corporation 44,400 2,145 McGraw-Hill Companies Inc. 26,200 1,541 New York Times Company 51,100 2,529 Newell Co. 81,600 3,233 *OfficeMax, Inc. 17,800 257 *Promus Hotels 45,000 1,744 *Scholastic Corp. 30,300 1,061 Tribune Company 27,600 1,327 Wal-Mart Stores, Inc. 59,400 2,008 Walgreen Company 61,100 3,276 Walt Disney Company 28,900 2,319 ----------- TOTAL 41,083 ----------- CONSUMER STAPLES (10.06%) Campbell Soup Company 52,000 2,600 CPC International Corp. 19,400 1,791 General Mills, Inc. 14,600 951 Gillette Company 19,500 1,848 Hershey Foods Corp. 35,000 1,936 Pepsico Inc. 73,000 2,742 Philip Morris Companies 85,500 3,794 Procter & Gamble Company 24,200 3,418 MARKET VALUE COMMON STOCK (91.82%) SHARES (000'S) - -------------------------------------------------------------- CONSUMER STAPLES (CONTINUED) Unilever N.V. 12,600 $ 2,747 ----------- TOTAL 21,827 ----------- ENERGY (10.30%) Amoco Company 30,200 2,626 British Petroleum Co. Ltd. 33,200 2,486 Diamond Offshore Drilling Inc. 25,000 1,953 Exxon Corporation 26,400 1,624 Mobil Corporation 30,000 2,096 Schlumberger Limited 20,000 2,500 Texaco Inc. 20,200 2,197 Tosco Corporation 79,200 2,371 Transocean Offshore Inc. 20,400 1,482 Unocal Corp. 48,600 1,886 *Western Atlas International Inc. 15,300 1,121 ----------- TOTAL 22,342 ----------- FINANCE (13.45%) Associates First Capital Corporation 55,000 3,053 Banc One Corporation 36,000 1,744 BankAmerica Corporation 52,800 3,409 Chase Manhattan Corporation 33,040 3,207 CIGNA Corporation 11,300 2,006 Citicorp 18,600 2,242 First Union Corporation 27,500 2,544 Franklin Resources 43,800 3,178 Merrill Lynch & Co. 28,000 1,670 Morgan Stanley, Dean Witter, Discover & Co. 64,900 2,795 Travelers Group Inc. 38,000 2,396 USF&G Corp. 38,800 931 ----------- TOTAL 29,175 ----------- HEALTHCARE (7.69%) Eli Lilly & Company 28,700 3,137 *Healthsouth Corp. 21,900 546 *Horizon/CMS Healthcare Corp. 31,700 636 Johnson & Johnson 43,500 2,800 Merck & Co., Inc. 36,800 3,809 Pfizer Inc. 25,100 2,999 United Healthcare Corp. 53,000 2,756 ----------- TOTAL 16,683 ----------- MISCELLANEOUS (2.67%) Allied Signal Inc. 44,600 3,746 Dial Corp. 131,000 2,047 ----------- TOTAL 5,793 ----------- TECHNOLOGY (10.62%) *Cisco Systems Incorporated 15,000 1,007 *DST Systems, Inc. 54,400 1,812 First Data Corporation 61,100 2,685 *Fiserv 75,100 3,351 Hewlett-Packard Company 36,800 2,061
-- 36 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1997
MARKET VALUE COMMON STOCK (91.82%) SHARES (000'S) - -------------------------------------------------------------- TECHNOLOGY (CONTINUED) Intel Corp. 16,800 $ 2,382 International Business Machines 35,200 3,175 Lucent Technologies, Inc. 15,171 1,093 *Microsoft Corporation 29,400 3,715 W.W. Grainger, Inc. 22,400 1,751 ----------- TOTAL 23,032 ----------- TRANSPORTATION (3.14%) *AMR Corporation 19,400 1,795 Canadian National Railway Co. 70,500 3,084 *Midwest Express Holdings, Inc. 70,500 1,930 ----------- TOTAL 6,809 ----------- UTILITIES (0.78%) Sonat Inc. 33,000 1,690 ----------- TOTAL COMMON STOCK $ 199,166 -----------
MARKET VALUE MONEY MARKET INVESTMENTS (8.18%) PAR (000'S) - -------------------------------------------------------------- HEALTHCARE (0.37%) American Home Product Corporation, 6.150%, 07/01/1997 $ 800,000 $ 800 ----------- MARKET VALUE MONEY MARKET INVESTMENTS (8.18%) PAR (000'S) - -------------------------------------------------------------- GOVERNMENT (0.32%) +U.S. Treasury, 5.079%, 09/04/1997 $ 700,000 $ 694 ----------- NONDEPOSITORY INSTITUTIONS (7.49%) +Asset Securitization, 5.52%, 07/17/1997 6,700,000 6,684 +Ford Motor Credit Corp., 5.52%, 07/23/1997 6,100,000 6,079 Sears Roebuck Acceptance Corp., 5.57%, 08/06/1997 3,500,000 3,480 ----------- TOTAL 16,243 ----------- TOTAL MONEY MARKET INVESTMENTS $ 17,737 ----------- TOTAL GROWTH STOCK PORTFOLIO $ 216,903 ----------- *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, 1997 is summarized below:
UNREALIZED NUMBER OF EXPIRATION DEPRECIATION ISSUER CONTRACTS DATE (000'S) - -------------------- ---------- ---------------- ------------- S&P 500 Stock Index 19 September 1997 $(16)
The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) -- 37 INTERNATIONAL EQUITY PORTFOLIO - -------------------------------------------------------------------------------- Objective: Portfolio Strategy: Net Assets: Long-term appreciation of Participate in the growth of foreign $643,465,873 capital through economies by investing in securities with diversification into markets high long-term earnings potential relative outside the United States to current market 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. The Portfolio continues to buy the shares of undervalued companies internationally, using a disciplined focus on long-term value. International investors benefited from continued growth in economies and markets around the world. European markets were quite strong, driven in part by the rising dollar and by excellent earnings reports, particularly among pharmaceutical firms, financial service providers and exporters. Markets in Switzerland, the Netherlands and Germany were the top performers in Europe. In the Pacific region, the Portfolio is concentrated in Hong Kong, where a market surge in the second quarter can be considered a vote of confidence among investors that the return of control to China will not erode this vibrant economy's prospects for growth. The Portfolio benefited from an underweighting of poorly performing markets in Thailand and the Philippines. The International Equity Portfolio is managed for Northwestern Mutual by Templeton Investment Counsel, Inc. Asset Allocation EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC Europe 60% Asia 11% Australia/New Zealand 7% Latin America 8% Canada 3% Non-equity holdings 11%
Performance Relative to the EAFE Index EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
INTERNATIONAL EQUITY PORTFOLIO EAFE INDEX 4/30/93 10,000 10,000 6/30/93 10,118 10,202 6/30/94 12,155 11,936 6/30/95 13,487 12,175 6/30/96 15,569 13,831 6/30/97 19,751 15,650 Average Annual Total Return For Periods Ended June 30, 1997 One Year Since Inception International Equity Portfolio 26.86% 17.74% EAFE Index 13.15% 11.35%
As depicted in the graph, the International Equity Portfolio is compared against the Morgan Stanley Capital International EAFE ("Europe-Australia-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. The net investment rates of return shown on page 2 reflect mortality and expense risk charges deducted from the assets of the separate account. The cost of insurance protection, which is not reflected in the returns shown on this chart, would make the return significantly lower. Investors are urged to obtain a personalized illustration of historical performance which reflects the cost of insurance protection. -- 38 INTERNATIONAL EQUITY PORTFOLIO NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1997
MARKET VALUE COMMON STOCK (88.24%) COUNTRY SHARES (000'S) - ----------------------------------------------------------------- AEROSPACE & MILITARY TECHNOLOGY (0.13%) Hong Kong Aircraft & Engineering H.K. 232,700 $ 847 ----------- AIRLINES (1.29%) Air New Zealand Ltd. "B" N.Z. 1,150,000 3,507 +Quantas Airways (144A) ADR Austrl. 165,000 3,832 Singapore Airlines Ltd. Sing. 105,000 940 ----------- TOTAL 8,279 ----------- APPLIANCES & HOUSEHOLD DURABLES (1.35%) Electrolux AB "B" Free Swe. 48,200 3,478 Thorn PLC U.K. 1,816,600 5,140 ----------- TOTAL 8,618 ----------- AUTOMOBILES (4.24%) Bertrand Faure SA Fr. 5,642 297 Fiat SPA Ord. Italy 1,389,000 4,996 Renault SA Fr. 405,775 10,278 Volvo Aktiebogelegt, "B" Free Swe. 433,000 11,592 ----------- TOTAL 27,163 ----------- BANKING & CREDIT (16.47%) Australia & New Zealand Bank Group Austrl. 926,097 6,868 +Bancaria de Espania Corp., ADR Sp. 195,000 5,533 Banco Bradesco SA Braz. 262,600,000 2,647 Banco de Andulucia Sp. 30,000 5,100 Banco Itau SA Braz. 503,000 282 +Banque National de Paris, ADR (144A) Fr. 146,500 6,044 Barclay's Bank, PLC U.K. 245,016 4,861 BCO BilboaVizcaya Sp. 125,200 10,190 BPI SGPS SA Port. 201,963 3,935 Canadian Imperial Bank of Commerce Can. 309,200 7,800 Credit Commercial de France Fr. 25,500 1,082 Deutsche Bank AG Ger. 193,600 11,321 HSBC Holdings U.K. 260,737 7,842 Komercni Bank "A" Chez. 15,000 778 **Komercni Bank (144A) GDR Chez. 30,000 623 Korea Long Term Credit Bank Kor. 74,930 1,156 Merita Limited "A" Fin. 1,800,000 5,891 National Bank of Canada Montreal Can. 360,000 4,515 *Panin Bank Indo. 5,346,000 3,518 Suisse Group Credit Swtz. 55,725 7,167 Svenska Hanelsbanken S.A. Swe. 230,000 7,317 MARKET VALUE COMMON STOCK (88.24%) COUNTRY SHARES (000'S) - ----------------------------------------------------------------- BANKING & CREDIT (CONTINUED) Unibanco Uniao de Bancos Braz. 28,067,000 $ 1,030 ----------- TOTAL 105,500 ----------- BROADCAST ADVERTISING PUBLISHING (0.14%) Marieberg Tidings "A" Free Swe. 35,000 869 ----------- BUILDING MATERIALS AND COMPONENTS (2.15%) Hepworth PLC U.K. 225,278 885 Pioneer International Ltd. Austrl. 3,197,946 12,266 Siam City Cement Public Co, Ltd. Thai. 161,000 653 ----------- TOTAL 13,804 ----------- BUSINESS & PUBLIC SERVICE (2.61%) Esselte AB, Series "A" Free Swe. 269,900 6,178 Hyder PLC U.K. 371,666 5,010 Hyder PLC Cum. Red. Pfd. U.K. 401,400 706 Societe Generale de Surv Holdings Swtz. 885 1,894 Waste Management International, PLC U.K. 310,700 1,422 *+Waste Management PLC, ADR U.K. 168,000 1,533 ----------- TOTAL 16,743 ----------- CHEMICALS (5.37%) Bayer AG Ger. 157,000 6,038 Courtaulds PLC U.K. 1,851,700 10,447 European Vinyls Corp. EVC International Neth. 68,985 1,750 Imperial Chemical Industries, PLC U.K. 19,000 264 Rhone Poulenc SA, Series A Fr. 283,108 11,573 Solvay Et Cie A NPV Bel. 7,300 4,305 ----------- TOTAL 34,377 ----------- CONSTRUCTION & HOUSING (0.62%) Kyudendo Corp. Jpn. 33,000 279 Sirti SPA Italy 643,000 3,705 ----------- TOTAL 3,984 ----------- ELECTRICAL & ELECTRONICS (3.70%) ABB AG Baden Bearer Swtz. 4,730 7,170 Alcatel Alsthom DG Fr. 58,519 7,336 Philips Electronic Neth. 128,400 9,214 ----------- TOTAL 23,720 ----------- ELECTRICAL COMPONENTS, INSTRUMENTS (0.67%) BICC PLC U.K. 1,450,345 4,272 ----------- ENERGY SOURCES (2.86%) Hafslund Nycomed "A" Norw. 170,000 1,022 Repsol SA Sp. 122,000 5,168
-- 39 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1997
MARKET VALUE COMMON STOCK (88.24%) COUNTRY SHARES (000'S) - ----------------------------------------------------------------- ENERGY SOURCES (CONTINUED) Saga Petrolium Norw. 260,000 $ 4,937 Societe Nationale Elf Aquitane Fr. 66,801 7,214 ----------- TOTAL 18,341 ----------- FINANCIAL SERVICES (1.63%) AXA-UAP SA Fr. 47,813 2,977 India Fund, Series "B" U.K. 1,256,515 2,332 *JF Indonesia Fund, Inc. H.K. 456,600 589 #Korea International Trust IDRU Kor. 52 1,768 Peregrine Investments Holdings, Ltd. H.K. 262,000 539 Thai Fund Inc. Thai. 71,516 1,100 Thailand International Fund Thai. 70 1,164 ----------- TOTAL 10,469 ----------- FOOD & HOUSEHOLD PRODUCTS (2.89%) Albert Fisher Group PLC U.K. 6,734,996 4,848 Cafe de Coral Holdings, Ltd. H.K. 7,672,000 1,971 CP Pokphand Co. H.K. 2,609,900 817 Hillsdown Holdings U.K. 1,800,892 5,065 Tate & Lyle, PLC U.K. 26,000 193 The Oshawa Group Ltd. Can. 187,300 2,804 Vitro SA NPV Mex. 768,400 2,850 ----------- TOTAL 18,548 ----------- FOREST PRODUCTS & PAPER (2.95%) Carter Holt Harvey Ltd. N.Z. 3,929,357 10,146 Metsa Serla OY "B" Fin. 277,500 2,260 P.T. Barito Pacific Timber Indo. 937,000 800 Stora Kapparbergs, Series "B" Swe. 350,000 5,703 ----------- TOTAL 18,909 ----------- HEALTH & PERSONAL CARE (2.05%) Astra AB Series "A" Free Swe. 373,333 6,953 Nycomed ASA Series "A" Norw. 294,000 4,337 Nycomed ASA Series "B" Norw. 128,200 1,830 ----------- TOTAL 13,120 ----------- INDUSTRIAL COMPONENTS (1.19%) BTR PLC U.K. 1,899,400 6,496 BTR, PLC "A" Austrl. 249,000 821 *Granges AB Swe. 24,100 319 ----------- TOTAL 7,636 ----------- INSURANCE (3.51%) Aegon NV Neth. 106,192 7,425 ING Groep NV Neth. 190,000 8,776 London Insurance Group Can. 325,200 6,270 ----------- TOTAL 22,471 ----------- MARKET VALUE COMMON STOCK (88.24%) COUNTRY SHARES (000'S) - ----------------------------------------------------------------- MACHINERY & ENGINEERING (0.86%) VA Technologies AG Bearer Aus. 30,000 $ 5,491 ----------- MERCHANDISING (1.16%) David Jones Ltd. Austrl. 742,100 1,028 Koninklijke Bijenkorf Beheer Neth. 44,098 3,090 Kwik Save Group U.K. 465,057 2,357 Somerfield PLC U.K. 318,200 959 ----------- TOTAL 7,434 ----------- METALS & MINING (2.88%) British Steel PLC U.K. 1,013,400 2,513 Elkem A S Oslo ord "A" Norw. 192,000 3,764 Grupo Mexico "B" Mex. 861,800 3,250 *Inmet Mining Ltd. Can. 192,500 1,060 +Pechiney ADR "A" Fr. 48,183 976 Pechiney SA "A" Fr. 19,000 749 *Union Minerie, NPV Bel. 65,171 6,109 ----------- TOTAL 18,421 ----------- MISCELLANEOUS MATERIAL/COMMODITIES (0.21%) Korea Chemical Company, Ltd. Kor. 16,700 1,371 ----------- MULTI-INDUSTRY (6.95%) Amer Group "A" Fin. 175,000 3,201 Comp Gen de Industrieset de Partec Fr. 4,500 1,280 Harrisons & Crossfield U.K. 2,490,000 4,559 Hutchinson Whampoa H.K. 798,000 6,927 Jardine Matheson Holdings Sing. 1,212,301 8,607 Jardine Strategic Holdings Sing. 1,019,055 3,852 Marine Wendel SA Fr. 11,490 1,174 Nokia Corp., "A" Fin. 71,000 5,358 Swire Pacific Class "A" H.K. 472,500 4,269 Swire Pacific Limited "B" H.K. 3,534,200 5,315 ----------- TOTAL 44,542 ----------- RAILROAD (0.56%) Brambles Ind. Ltd. Austrl. 183,500 3,600 ----------- TELECOMMUNICATIONS (9.26%) British Telecom U.K. 608,000 4,513 Cointel CONV Pfd. Arg. 73,150 4,828 +Compania de Telecomunicaciones, ADR Chile 155,125 5,119 +Phillipine Long Distance Telephone, ADR Phil. 63,500 4,080 *Seat SPA Di Risp Italy 2,490,000 520 SPT Telecom AS Chez. 36,000 3,778 Stet Di Risp Non-Conv. Italy 2,490,000 8,634 +Telebras ADR Braz. 103,500 15,706 Telefonica de Espania Sp. 315,000 9,124
-- 40 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1997
MARKET VALUE COMMON STOCK (88.24%) COUNTRY SHARES (000'S) - ----------------------------------------------------------------- TELECOMMUNICATIONS (CONTINUED) +Telefonica del Peru SA "B", ADR Peru 115,300 $ 3,019 ----------- TOTAL 59,321 ----------- TEXTILES-APPAREL (0.35%) Yizheng Chemical Fibre Company China 12,469,200 2,221 ----------- UTILITIES-ELECTRIC & GAS (9.32%) BG PLC U.K. 3,774,400 13,820 *Centrica PLC U.K. 1,913,200 2,324 *CEZ Ceske Energeticke Zavody Chez. 101,990 2,817 Electricidad de Caracas Venz. 4,145,760 6,641 Endesa National de Elactric Sp. 63,000 5,299 EVN Energie Versorgung Aus. 38,400 4,948 Hong Kong Electric H.K. 1,790,000 7,209 Iberdrola SA Sp. 587,500 7,430 Korea Electric Power Corp. Kor. 33,000 985 National Power U.K. 493,764 4,290 Thames Water U.K. 251,023 2,883 *Veba-Warrants Ger. 3,000 1,052 ----------- TOTAL 59,698 ----------- WHOLESALE & INTERNATIONAL TRADE (0.87%) Brierley Investments Ltd. N.Z. 5,716,091 5,577 ----------- TOTAL COMMON STOCK 565,346 -----------
MARKET VALUE BONDS (1.69%) COUNTRY PAR (000'S) - ---------------------------------------------------------------- FEDERAL GOVERNMENT & AGENCIES (0.43%) U.S. Treasury, 5.125, 4/30/98 U.S. $ 2,757,000 $ 2,743 ----------- MARKET VALUE BONDS (1.69%) COUNTRY PAR (000'S) - ---------------------------------------------------------------- FINANCIAL SERVICES (0.39%) PIV Financial Investments, Ltd. H.K $ 2,750,000 $ 2,503 ----------- TELECOMMUNICATIONS (0.87%) Nacional Financiera CNV Mex. 117,802 5,610 ----------- TOTAL BONDS 10,856 -----------
MARKET MONEY MARKET VALUE INVESTMENTS (10.07%) COUNTRY PAR (000'S) - ---------------------------------------------------------------- CHEMICALS & ALLIED PRODUCTS (0.25%) American Home Products Corporation, 7/1/97 U.S. $ 1,600,000 $ 1,600 ----------- NONDEPOSITORY INSTITUTIONS (9.82%) Ford Motor Credit Company, 7/23/97 U.S. 12,000,000 11,959 Household Finance Corporation, 7/10/97 U.S. 12,000,000 11,983 Receivable Capital Trust, 7/16/97 U.S. 10,200,000 10,176 Sears Roebuck Acceptance Corp, 8/13/97 U.S. 29,000,000 28,808 ----------- TOTAL 62,926 ----------- TOTAL MONEY MARKET INVESTMENTS 64,526 ----------- TOTAL INTERNATIONAL EQUITY PORTFOLIO $ 640,728 -----------
* Non-Income Producing ** GDR-Global Depository Receipt + ADR-American Depository Receipt # IDR-International Depository Receipt The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) -- 41 AGGRESSIVE GROWTH STOCK PORTFOLIO - -------------------------------------------------------------------------------- Objective: Portfolio Strategy: Net Assets: Maximum long-term appreciation Strive for the highest possible rate of capital $961,113,543 of 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. Consistent with the universe of small company stocks, the Portfolio's performance lagged the broad market averages in the first quarter and benefited from improved performance of small company stocks in the second quarter. The Portfolio is concentrated in four sectors in which there are numerous companies with particularly promising prospects for growth: technology; business services, consumer cyclicals and health care. In the technology sector, investments in software, computer services, telecommunication equipment and semiconductors contributed to solid overall performance. Holdings in the business services area were increased, as service providers take advantage of the trend to strategic outsourcing and as new technology in areas such as telecommunications creates opportunity for increasingly sophisticated services. Among consumer companies, specialty retailers continue to perform well, reflecting a high level of consumer confidence. The position in health care issues has been reduced somewhat in the last six months, in part because of a favorable buyout of a major holding. Additionally, the Portfolio was restructured to eliminate some underperforming issues. The outlook for the emerging growth companies that are the focus of this Portfolio appears favorable, as valuations remain at reasonable levels compared with larger companies. Sector Allocation EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC Consumer 20% Technology 30% Business Services 11% Health Care 8% Energy 7% Industrial 6% Transportation 5% Finance 4% Cash Equivalents 9%
Performance Relative to Relevant Indices EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
AGGRESSIVE GROWTH WILSHIRE SMALL WILSHIRE NEXT Stock Portfolio Cap Index 1750 Index 11/30/90 10,000 10,000 10,000 6/30/91 12,593 13,189 13,186 6/30/92 13,994 15,522 15,086 6/30/93 17,133 19,336 19,108 6/30/94 19,354 20,012 19,670 6/30/95 24,448 23,034 23,986 6/30/96 35,003 28,918 30,256 6/30/97 36,545 36,061 35,344 Average Annual Total Return For Periods Ended June 30, 1997 One Year Five Years Since Inception Aggressive Growth Stock Portfolio 4.41% 21.17% 21.77% Wilshire Small Cap Index 24.70% 18.36% 21.52% Wilshire Next 1750 Index 16.82% 18.56% 21.15%
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 financial services, consumer services and basic industry. Its average market capitalization is approximately $689.9 million as of June 30, 1997. 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 $767.0 million as of June 30,1997. The largest sector weightings include financial services, consumer services and technology. 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 merge 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. The net investment rates of return shown on page 2 reflect mortality and expense risk charges deducted from the assets of the separate account. The cost of insurance protection, which is not reflected in the returns shown on this chart, would make the return significantly lower. Investors are urged to obtain a personalized illustration of historical performance which reflects the cost of insurance protection. -- 42 AGGRESSIVE GROWTH STOCK PORTFOLIO NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1997
MARKET VALUE COMMON STOCK (91.03%) SHARES (000'S) - -------------------------------------------------------------- BASIC MATERIALS (1.04%) Cambrex Corporation 253,000 $ 10,057 ----------- CAPITAL GOODS (4.80%) *Cuno, Inc. 94,100 1,576 *Jabil Circuit Inc. 200,000 16,775 Kaydon Corporation 180,000 8,933 *Kaynar Technologies, Inc. 194,500 3,525 *Microchip Technology Inc. 228,100 6,786 *Tetra Tech Inc. 364,200 8,786 ----------- TOTAL 46,381 ----------- COMMUNICATION SERVICES (1.63%) *LCI International 302,500 6,617 *Premiere Technologies, Inc. 117,500 3,055 *Tessco Technologies, Inc. 152,600 3,300 *West Teleservices Corporation 185,300 2,733 ----------- TOTAL 15,705 ----------- CONSUMER CYCLICAL (15.16%) *Blyth Industries, Inc. 437,100 14,752 *Catalina Marketing Corporation 238,600 11,483 *CUC International, Inc. 437,775 11,300 *Dollar Tree Stores Inc. 103,200 5,199 *Dura Automotive Systems, Inc. 225,400 6,311 *Electronic Arts Inc. 249,200 8,379 Fastenal Co. 214,100 10,491 *Getty Communications PLC-ADR 322,000 4,750 *HFS Incorporated 142,900 8,288 *JLK Direct Distribution Inc.-Cl A 14,900 382 *Jones Apparel Group Inc. 202,800 9,684 *K & G Mens' Center, Inc. 518,150 11,270 *Kohls Department Stores 239,500 12,679 *O'Reilly Automotive, Inc. 258,700 9,960 *Pameco Corp. 27,500 488 *Regal Cinemas Inc. 322,750 10,651 *Tower Automotive, Inc. 239,800 10,311 ----------- TOTAL 146,378 ----------- CONSUMER STAPLES (4.04%) Cardinal Health, Inc. 198,418 11,359 Clear Channel Communications 150,000 9,225 *Inbrand Corporation 259,100 7,773 *Robert Mondavi Corporation 224,500 10,608 ----------- TOTAL 38,965 ----------- ENERGY (6.91%) *BJ Services Company 165,800 8,891 *EVI Inc. 234,000 9,828 *Global Industries Ltd 442,000 10,325 *Nabors Industries Inc. 306,000 7,650 *Pride Petroleum Services 411,800 9,883 Tosco Corporation 340,600 10,197 Transocean Offshore, Inc. 136,500 9,913 ----------- TOTAL 66,687 ----------- MARKET VALUE COMMON STOCK (91.03%) SHARES (000'S) - -------------------------------------------------------------- FINANCE (4.00%) *BA Merchant Services Inc.-Cl A 176,000 $ 3,355 Capmac Holdings Inc. 259,100 8,712 CMAC Investment Corp. 152,800 7,296 Investors Financial Services 200,000 9,500 Money Store, Inc. 340,750 9,775 ----------- TOTAL 38,638 ----------- MISCELLANEOUS (9.69%) *ABR Information Services Inc. 205,300 5,954 *Administaff Inc. 374,600 9,061 *Billing Information Concepts 247,300 8,625 Cintas Corp. 177,600 12,210 *Corrections Corp of America 271,900 10,808 *Interim Services Inc. 231,600 10,306 *Intl Network Services 111,300 2,894 *Learning Tree International Inc. 238,950 10,603 *Robert Half International, Inc. 384,300 18,086 *Nu Skin Asia Pacific, Inc.-Cl A 190,200 5,040 ----------- TOTAL 93,587 ----------- HEALTHCARE (8.82%) *Capstone Pharmacy Services, Inc. 626,300 6,811 *CRA Managed Care Inc. 189,900 9,910 *Lincare Holdings Inc. 93,400 4,016 *Medcath Inc. 235,800 3,508 *NCS Healthcare Inc.-Cl A 66,700 2,026 *Occusystems Inc. 205,900 5,971 *Patterson Dental Co. 243,350 8,350 *Pediatrix Med Group, Inc. 173,900 7,967 *PhyCor, Inc. 289,000 9,952 *Quorum Health Group, Inc. 301,800 10,789 *Spine-Tech Inc. 104,000 3,861 *Sybron Intl Corp.-Wisconsin 300,200 11,970 ----------- TOTAL 85,131 ----------- TECHNOLOGY (30.21%) *ADC Telecommunications 329,900 11,010 *Altera Corporation 189,000 9,545 *American Management Systems, Inc. 319,875 8,557 *Applied Materials, Inc. 77,000 5,453 AVX Corp. 326,200 8,807 Cambridge Technology Partners 422,100 13,507 *CBT Group PLC-ADR 223,400 14,102 *Ciena Corp. 63,000 2,969 *Computer Horizons Corp. 299,350 10,253 Danka Business Systems Plc 269,200 11,004 *DST Systems 248,300 8,271 *Dupont Photomasks Inc. 73,300 3,958 First Data Corporation 248,690 10,927 *Gasonics Intl Corp. 486,800 6,633 HBO & Co. 165,800 11,419 *Hyperion Software 309,400 6,923
-- 43 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1997
MARKET VALUE COMMON STOCK (91.03%) SHARES (000'S) - -------------------------------------------------------------- TECHNOLOGY (CONTINUED) *Integrated Process Equipment Corp. 303,200 $ 7,675 *Kent Electronics Corp. 54,500 1,999 Methode Electronics Inc. 469,500 9,331 Molex Inc. 274,277 9,565 National Data Corporation 217,900 9,438 *Network General Corp. 150,000 2,231 Paychex, Inc. 346,555 13,169 *Peoplesoft, Inc. 299,900 15,820 *PMC-Sierra Inc. 348,700 9,153 *RWD Technologies Inc. 12,900 223 *Saville Systems PLC-ADR 231,700 12,048 *Sterling Commerce, Inc. 396,263 13,027 *Sterling Software, Inc. 259,500 8,109 *Tellabs Inc. 266,400 14,885 *Transaction Systems Architects 363,200 12,530 *Trident International, Inc. 335,000 6,030 *Vantive Corp. 111,000 3,136 ----------- TOTAL 291,707 ----------- TRANSPORTATION (4.74%) *Coach USA, Inc. 398,300 10,580 *Heartland Express Incorporated 389,500 9,153 *Knight Transportation, Inc. 291,600 7,399 *Swift Transportation Co., Inc. 320,800 9,464 *Wisconsin Central Transportation 245,900 9,162 ----------- TOTAL 45,758 ----------- TOTAL COMMON STOCK $ 878,994 ----------- MARKET VALUE MONEY MARKET INVESTMENTS (8.97%) PAR (000'S) - -------------------------------------------------------------- CHEMICALS & ALLIED PRODUCTS (0.59%) American Home Products Co., 6.15%, 07/01/97 5,700,000 $ 5,700 ----------- GOVERNMENT (0.12%) +US Treasury, 5.09%, 09/04/97 1,200,000 1,189 ----------- NONDEPOSITORY INSTITUTIONS (8.26%) Asset Securitization, 5.52%, 07/17/97 20,000,000 19,951 +Ford Motor Credit Corp., 5.52%, 07/23/97 20,000,000 19,933 Household Finance Corp., 5.53%, 07/10/97 20,000,000 19,972 Sears Roebuck Acceptance, 5.57%, 08/06/97 20,000,000 19,888 ----------- TOTAL 79,744 ----------- TOTAL MONEY MARKET INVESTMENTS $ 86,633 ----------- TOTAL AGGRESSIVE GROWTH PORTFOLIO $ 965,627 -----------
*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, 1997 is summarized below:
UNREALIZED NUMBER OF EXPIRATION DEPRECIATION ISSUER CONTRACTS DATE (000'S) - ---------------------------------------------------------------------------- S&P 500 Stock Index 45 September 1997 (243)
The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) -- 44 VARIABLE LIFE FINANCIAL STATEMENTS NORTHWESTERN MUTUAL VARIABLE LIFE ACCOUNT Financial Statements JUNE 30, 1997 STATEMENT OF ASSETS AND LIABILITIES (IN THOUSANDS) ASSETS Investments at Market Value: Northwestern Mutual Series Fund, Inc. Money Market 17,505 shares (cost $17,505)............... $ 17,505 Select Bond 6,323 shares (cost $7,413)................. 7,524 High Yield Bond 5,323 shares (cost $5,852)................. 6,116 Balanced 62,651 shares (cost $88,207)............... 115,340 Index 500 Stock 35,521 shares (cost $58,809)............... 84,965 Growth and Income Stock 16,673 shares (cost $20,847)............... 25,326 Growth Stock 13,354 shares (cost $17,886)............... 22,555 International Equity 25,285 shares (cost $35,597)............... 43,516 Aggressive Growth Stock 19,363 shares (cost $52,560)............... 59,832 $ 382,679 --------- Due from Sale of Fund Shares.................................. 357 Due from Northwestern Mutual Life Insurance Company........... 892 --------- Total Assets............................................ $ 383,928 --------- --------- LIABILITIES Due to Northwestern Mutual Life Insurance Company........... $ 357 Due on Purchase of Fund Shares.............................. 892 --------- Total Liabilities....................................... 1,249 --------- EQUITY (NOTE 8) Policies Issued Before October 11, 1995..................... 284,245 Policies Issued On or After October 11, 1995................ 98,434 --------- Total Equity............................................ 382,679 --------- Total Liabilities and Equity............................ $ 383,928 --------- ---------
The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) -- 45 VARIABLE LIFE FINANCIAL STATEMENTS NORTHWESTERN MUTUAL VARIABLE LIFE ACCOUNT Statement of Operations and Changes in Equity (IN THOUSANDS)
COMBINED MONEY MARKET 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, 1997 1996 1997 1996 1997 1996 ------------- ------------- ------------- ------------- ------------- ------------- INVESTMENT INCOME Dividend Income............. $ 14,168 $ 11,085 $ 436 $ 508 $ 436 $ 176 Mortality and Expense Risks..................... 768 1,102 37 47 16 26 Taxes....................... 329 461 16 17 7 11 ------------- ------------- ------------- ------------- ------------- ------------- Net Investment Income....... 13,071 9,522 383 444 413 139 ------------- ------------- ------------- ------------- ------------- ------------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Realized Gain on Investments............... 1,137 2,405 -- -- 20 8 Unrealized Appreciation (Depreciation) of Investments During the Period......... 26,824 21,398 -- -- (201) 22 ------------- ------------- ------------- ------------- ------------- ------------- Net Gain (Loss) on Investments............... 27,961 23,803 0 0 (181) 30 ------------- ------------- ------------- ------------- ------------- ------------- Increase in Equity Derived from Investment Activity....... 41,032 33,325 383 444 232 169 ------------- ------------- ------------- ------------- ------------- ------------- EQUITY TRANSACTIONS Policyowners' Net Payments.................. 77,639 101,055 39,029 43,564 802 1,356 Policy Loans, Surrenders, and Death Benefits.................. (10,281) (16,316) (191) (576) (161) (191) Mortality and Other (net)... (12,282) (16,382) (5,034) (5,552) (148) (248) Transfers from Other Divisions................. 40,475 45,652 1,108 2,573 1,069 954 Transfers to Other Divisions................. (40,475) (45,652) (32,544) (32,622) (513) (553) ------------- ------------- ------------- ------------- ------------- ------------- Increase in Equity Derived from Equity Transactions................ 55,076 68,357 2,368 7,387 1,049 1,318 ------------- ------------- ------------- ------------- ------------- ------------- Net Increase in Equity........ 96,108 101,682 2,751 7,831 1,281 1,487 EQUITY Beginning of Period......... 286,571 184,889 14,750 6,919 6,243 4,756 ------------- ------------- ------------- ------------- ------------- ------------- End of Period............... $382,679 $286,571 $17,501 $14,750 $ 7,524 $ 6,243 ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- -------------
The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) --- 46 NORTHWESTERN MUTUAL VARIABLE LIFE ACCOUNT Statement of Operations and Changes in Equity (IN THOUSANDS)
HIGH YIELD BOND DIVISION BALANCED DIVISION ------------------------------ ---------------------------------- SIX MONTHS SIX MONTHS ENDED YEAR ENDED ENDED YEAR ENDED JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31, 1997 1996 1997 1996 ------------- ------------- --------------- --------------- INVESTMENT INCOME Dividend Income............. $ 233 $ 400 $ 5,105 $ 5,010 Mortality and Expense Risks..................... 11 13 260 452 Taxes....................... 5 5 111 193 ------------- ------------- --------------- --------------- Net Investment Income....... 217 382 4,734 4,365 ------------- ------------- --------------- --------------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Realized Gain on Investments............... 6 21 663 1,462 Unrealized Appreciation (Depreciation) of Investments During the Period......... 193 83 6,820 5,413 ------------- ------------- --------------- --------------- Net Gain (Loss) on Investments............... 199 104 7,483 6,875 ------------- ------------- --------------- --------------- Increase in Equity Derived from Investment Activity....... 416 486 12,217 11,240 ------------- ------------- --------------- --------------- EQUITY TRANSACTIONS Policyowners' Net Payments.................. 745 1,101 7,439 15,417 Policy Loans, Surrenders, and Death Benefits.................. (166) (243) (3,481) (7,030) Mortality and Other (net)... (145) (193) (1,504) (3,034) Transfers from Other Divisions................. 1,561 1,043 2,131 2,467 Transfers to Other Divisions................. (187) (449) (2,287) (5,909) ------------- ------------- --------------- --------------- Increase in Equity Derived from Equity Transactions................ 1,808 1,259 2,298 1,911 ------------- ------------- --------------- --------------- Net Increase in Equity........ 2,224 1,745 14,515 13,151 EQUITY Beginning of Period......... 3,892 2,147 100,826 87,675 ------------- ------------- --------------- --------------- End of Period............... $ 6,116 $ 3,892 $ 115,341 $ 100,826 ------------- ------------- --------------- --------------- ------------- ------------- --------------- --------------- GROWTH & INCOME STOCK INDEX 500 STOCK DIVISION DIVISION ----------------------------- ----------------------------- SIX MONTHS SIX MONTHS ENDED YEAR ENDED ENDED YEAR ENDED JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31, 1997 1996 1997 1996 ------------- ------------- ------------- ------------- INVESTMENT INCOME Dividend Income............. $ 2,579 $ 1,153 $ 548 $ 1,458 Mortality and Expense Risks..................... 165 221 48 58 Taxes....................... 71 93 20 24 ------------- ------------- ------------- ------------- Net Investment Income....... 2,343 839 480 1,376 ------------- ------------- ------------- ------------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Realized Gain on Investments............... 116 359 76 117 Unrealized Appreciation (Depreciation) of Investments During the Period......... 10,587 8,074 2,785 728 ------------- ------------- ------------- ------------- Net Gain (Loss) on Investments............... 10,703 8,433 2,861 845 ------------- ------------- ------------- ------------- Increase in Equity Derived from Investment Activity....... 13,046 9,272 3,341 2,221 ------------- ------------- ------------- ------------- EQUITY TRANSACTIONS Policyowners' Net Payments.................. 8,793 12,626 3,349 4,523 Policy Loans, Surrenders, and Death Benefits.................. (2,220) (3,465) (775) (692) Mortality and Other (net)... (1,599) (2,351) (649) (867) Transfers from Other Divisions................. 9,428 8,372 3,935 3,950 Transfers to Other Divisions................. (1,210) (2,211) (503) (974) ------------- ------------- ------------- ------------- Increase in Equity Derived from Equity Transactions................ 13,192 12,971 5,357 5,940 ------------- ------------- ------------- ------------- Net Increase in Equity........ 26,238 22,243 8,698 8,161 EQUITY Beginning of Period......... 58,729 36,486 16,628 8,467 ------------- ------------- ------------- ------------- End of Period............... $ 84,967 $ 58,729 $ 25,326 $ 16,628 ------------- ------------- ------------- ------------- ------------- ------------- ------------- -------------
The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) --- 47 VARIABLE LIFE FINANCIAL STATEMENTS NORTHWESTERN MUTUAL VARIABLE LIFE ACCOUNT Statement of Operations and Changes in Equity (IN THOUSANDS)
AGGRESSIVE GROWTH GROWTH STOCK DIVISION INTERNATIONAL EQUITY 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, 1997 1996 1997 1996 1997 1996 ------------- ------------- ------------- ------------- ------------- ------------- INVESTMENT INCOME Dividend Income............. $ 200 $ 564 $ 1,286 $ 924 $ 3,345 $ 892 Mortality and Expense Risks..................... 42 46 81 100 108 139 Taxes....................... 18 19 35 42 46 57 ------------- ------------- ------------- ------------- ------------- ------------- Net Investment Income....... 140 499 1,170 782 3,191 696 ------------- ------------- ------------- ------------- ------------- ------------- REALIZED AND UNREALIZED GAIN ON INVESTMENTS Realized Gain on Investments............... 90 88 128 49 38 301 Unrealized Appreciation of Investments During the Period.................... 2,596 1,191 3,599 3,197 445 2,690 ------------- ------------- ------------- ------------- ------------- ------------- Net Gain on Investments..... 2,686 1,279 3,727 3,246 483 2,991 ------------- ------------- ------------- ------------- ------------- ------------- Increase in Equity Derived from Investment Activity.................. 2,826 1,778 4,897 4,028 3,674 3,687 ------------- ------------- ------------- ------------- ------------- ------------- Policyowners' Net Payments.................. 3,049 3,397 5,406 8,006 9,027 11,065 Policy Loans, Surrenders, and Death Benefits........ (581) (436) (1,287) (1,566) (1,419) (2,117) Mortality and Other (net)... (560) (665) (1,066) (1,529) (1,577) (1,943) Transfers from Other Divisions................. 3,978 4,758 7,077 6,728 10,188 14,807 Transfers to Other Divisions................. (604) (447) (846) (827) (1,781) (1,660) ------------- ------------- ------------- ------------- ------------- ------------- Increase in Equity Derived from Equity Transactions.... $ 5,282 $ 6,607 $ 9,284 $ 10,812 $ 14,438 $ 20,152 ------------- ------------- ------------- ------------- ------------- ------------- Net Increase in Equity........ 8,108 8,385 14,181 14,840 18,112 23,839 EQUITY Beginning of Period......... 14,446 6,061 29,333 14,493 41,724 17,885 ------------- ------------- ------------- ------------- ------------- ------------- End of Period............... $ 22,554 $ 14,446 $ 43,514 $ 29,333 $ 59,836 $ 41,724 ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- -------------
The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) --- 48 NOTES TO FINANCIAL STATEMENTS NORTHWESTERN MUTUAL VARIABLE LIFE ACCOUNT Notes to Financial Statements JUNE 30, 1997 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 Life") 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 period ended June 30, 1997 by each Division are shown below:
PURCHASES SALES --------------- --------------- Money Market Division........... $ 15,819,473 $ 13,065,781 Select Bond Division............ 1,789,898 328,545 High Yield Bond Division........ 2,084,682 59,590 Balanced Division............... 8,979,909 1,947,512 Index 500 Stock Division........ 15,821,017 286,814 Growth & Income Stock Division........................ 6,112,111 275,180 Growth Stock Division........... 5,672,275 249,340 International Equity Division... 11,000,508 547,081 Aggressive Growth Division...... 17,740,864 111,742
NOTE 5 -- A deduction for mortality and expense risks is determined daily and paid to Northwestern Mutual Life. 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 Life 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 Life 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 Life. 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 Life 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 Life 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 Life's equity represents any unpaid portion of net annual premiums. -- 49 NORTHWESTERN MUTUAL VARIABLE LIFE ACCOUNT Notes to Financial Statements JUNE 30, 1997 NOTE 8 -- Equity Values by Division are shown below:
POLICIES ISSUED BEFORE OCTOBER 11, 1995 EQUITY OF: ------------------------ TOTAL POLICYOWNERS NML EQUITY ------------- --------- ---------- Money Market Division.................................................................. $ 4,888 $ 235 $ 5,123 Select Bond Division................................................................... 5,365 487 5,852 High Yield Bond Division............................................................... 3,453 381 3,834 Balanced Division...................................................................... 105,031 5,607 110,638 Index 500 Stock Division............................................................... 59,501 5,098 64,599 Growth and Income Stock Division....................................................... 15,243 1,698 16,941 Growth Stock Division.................................................................. 12,134 1,346 13,480 International Equity Division.......................................................... 26,398 3,189 29,587 Aggressive Growth Stock Division....................................................... 30,307 3,884 34,191 ------------- --------- ---------- $ 262,320 $ 21,925 $ 284,245 ------------- --------- ---------- ------------- --------- ----------
POLICIES ISSUED ON OR AFTER OCTOBER 11, 1995 EQUITY OF: ------------------------ TOTAL POLICYOWNERS NML EQUITY ------------- --------- --------- Money Market Division................................................................... $ 4,061 $ 8,321 $ 12,382 Select Bond Division.................................................................... 1,194 479 1,673 High Yield Bond Division................................................................ 1,398 884 2,282 Balanced Division....................................................................... 2,890 1,812 4,702 Index 500 Stock Division................................................................ 12,687 7,679 20,366 Growth and Income Stock Division........................................................ 5,115 3,270 8,385 Growth Stock Division................................................................... 5,490 3,585 9,075 International Equity Division........................................................... 8,519 5,409 13,928 Aggressive Growth Stock Division........................................................ 15,787 9,854 25,641 ------------- --------- --------- $ 57,141 $ 41,293 $ 98,434 ------------- --------- --------- ------------- --------- ---------
-- 50 MONEY MARKET PORTFOLIO 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, 1997 ASSETS Money Market Investments (cost $185,588)............................ $185,588 Cash.................................. 3 Due from Sale of Fund Shares.......... 1,086 Interest Receivable................... 299 --------- Total Assets........................ 186,976 --------- LIABILITIES Due on Purchase of Fund Shares........ 233 Due to Investment Advisor............. 47 --------- Total Liabilities................... 280 --------- NET ASSETS.............................. $186,696 --------- --------- REPRESENTED BY: Aggregate Paid in Capital (400,000 shares authorized, $.01 par value; 186,712 shares outstanding).......... $186,696 --------- Net Assets for 186,712 Shares Outstanding.......................... $186,696 --------- --------- Net Asset Value, Offering and Redemption Price per Share........... $ 1.00 --------- ---------
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 1997 INVESTMENT INCOME Income Interest............................ $ 4,998 --------- Expenses Management Fees..................... 270 --------- Net Investment Income................. 4,728 --------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........................ $ 4,728 --------- ---------
The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) --- 51 NORTHWESTERN MUTUAL SERIES FUND, INC. Money Market Portfolio Statement of Changes in Net Assets (IN THOUSANDS)
FOR THE SIX FOR THE MONTHS YEAR ENDED ENDED JUNE 30, DECEMBER 1997 31, 1996 --------- --------- INCREASE IN NET ASSETS Operations Net Investment Income............... $ 4,728 $ 7,576 --------- --------- Net Increase in Net Assets Resulting from Operations......... 4,728 7,576 --------- --------- Distributions to Shareholders from: Net Investment Income............... (4,728) (7,576) --------- --------- Net Decrease in Net Assets Resulting from Distributions to Shareholders...................... (4,728) (7,576) --------- --------- Fund Share Transactions Proceeds from Sale of 69,479 and 122,068 Shares..................... 69,479 122,068 Proceeds from Shares Issued on Reinvestment of Distributions Paid (4,728 and 7,576 shares, respectively)...................... 4,728 7,576 Payments for 63,809 and 85,918 Shares Redeemed.................... (63,809) (85,918) --------- --------- Net Increase in Net Assets Resulting from Fund Share Transactions (10,398 and 43,726 shares, respectively)............. 10,398 43,726 --------- --------- Total Increase in Net Assets.......... 10,398 43,726 NET ASSETS Beginning of Period................... 176,298 132,572 --------- --------- End of Period (includes no undistributed net investment income).............................. $186,696 $176,298 --------- --------- --------- ---------
The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) --- 52 NORTHWESTERN MUTUAL SERIES FUND, INC. Money Market Portfolio Financial Highlights (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
FOR THE SIX MONTHS ENDED FOR THE YEARS JUNE 30, ENDED DECEMBER 31, 1997 --------------------------------------------------------- (UNAUDITED) 1996 1995 1994 1993 1992 --------- --------- --------- --------- --------- --------- 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 0.06 0.05 0.03 0.03 Less Distributions from Net Investment Income.............. (0.03) (0.05) (0.06) (0.05) (0.03) (0.03) --------- --------- --------- --------- --------- --------- Net Asset Value, End of Period................ $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- Total Return+.......... 2.64%++ 5.29% 5.82% 4.03% 2.88% 3.49% --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- RATIOS AND SUPPLEMENTAL DATA Net Assets, End of Period (in thousands).......... $186,696 $176,298 $132,572 $104,217 $ 12,657 $ 14,091 --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- 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.................. 5.20%* 5.13% 5.61% 4.64% 2.87% 3.40% --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
*Computed on an annualized basis. +Total Return includes deductions for management 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 --- 53 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, 1997 ASSETS Bonds (cost $207,885)................. $210,409 Money Market Investments (cost $4,861).............................. 4,871 --------- 215,280 Cash.................................. 12,095 Due from Sale of Securities........... 3,823 Interest Receivable................... 2,797 Due from Sale of Fund Shares.......... 34 Due on Futures Variation Margin....... 25 --------- Total Assets........................ 234,054 --------- LIABILITIES Due on Purchase of Securities......... 14,112 Due on Purchase of Fund Shares........ 84 Due to Investment Advisor............. 56 --------- Total Liabilities................... 14,252 --------- NET ASSETS.............................. $219,802 --------- --------- REPRESENTED BY: Aggregate Paid in Capital (400,000 shares authorized, $.01 par value; 184,710 shares outstanding)... $211,006 Undistributed Net Investment Income... 7,394 Undistributed Accumulated Net Realized Loss on Investments.................. (1,151) Net Unrealized Appreciation of: Investments Securities.............. 2,534 Futures Contracts................... 19 --------- Net Assets for 184,710 Shares Outstanding.......................... $219,802 --------- --------- Net Asset Value, Offering and Redemption Price per Share........... $ 1.19 --------- ---------
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 1997 INVESTMENT INCOME Income Interest............................ $ 7,713 -------- Expenses Management Fees..................... 319 -------- Net Investment Income................. 7,394 -------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net Realized Gain (Loss) on Investments: Investment Securities............... (651) Futures Contracts................... 269 -------- Net Realized Loss on Investments for the Period................... (382) Net Change in Unrealized Appreciation of: Investment Securities............... 750 Futures Contracts................... 19 -------- Net Change in Unrealized Appreciation for the Period...... 769 -------- Net Gain on Investments............... 387 -------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........................ $ 7,781 -------- --------
The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) -- 54 NORTHWESTERN MUTUAL SERIES FUND, INC. Select Bond Portfolio Statement of Changes in Net Assets (IN THOUSANDS)
FOR THE FOR THE SIX YEAR MONTHS ENDED ENDED DECEMBER JUNE 30, 31, 1997 1996 --------- --------- INCREASE IN NET ASSETS Operations Net Investment Income............... $ 7,394 $ 13,288 Net Realized Gain (Loss) on Investments........................ (382) 569 Net Change in Unrealized Appreciation (Depreciation) of Investments for the Period......... 769 (6,987) --------- --------- Net Increase in Net Assets Resulting from Operations......... 7,781 6,870 --------- --------- Distributions to Shareholders from: Net Investment Income............... (13,300) (7,025) --------- --------- Net Decrease in Net Assets Resulting from Distributions to Shareholders...................... (13,300) (7,025) --------- --------- Fund Share Transactions Proceeds from Sale of 8,571 and 23,808 Shares...................... 10,380 28,507 Proceeds from Shares Issued on Reinvestment of Distributions Paid (11,393 and 6,130 shares, respectively)...................... 13,300 7,025 Payments for 10,420 and 16,109 Shares Redeemed.................... (12,692) (19,186) --------- --------- Net Increase in Net Assets Resulting from Fund Share Transactions (9,544 and 13,829 shares, respectively)... . 10,988 16,346 --------- --------- Total Increase in Net Assets.......... 5,469 16,191 NET ASSETS Beginning of Period................... 214,333 198,142 --------- --------- End of Period (includes undistributed net investment income of $7,394 and $13,300 respectively)................ $219,802 $214,333 --------- --------- --------- ---------
The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) -- 55 NORTHWESTERN MUTUAL SERIES FUND, INC. Select Bond Portfolio Financial Highlights (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
FOR THE SIX MONTHS ENDED JUNE 30, FOR THE YEARS ENDED DECEMBER 31, 1997 ------------------------------------------------------- (UNAUDITED) 1996 1995 1994 1993 1992 --------- --------- --------- --------- -------- -------- SELECTED PER SHARE DATA Net Asset Value, Beginning of Period............................... $ 1.22 $ 1.23 $ 1.06 $ 1.15 $ 1.14 $ 1.18 Income from Investment Operations: Net Investment Income............. 0.04 0.07 0.07 0.06 0.08 0.09 Net Realized and Unrealized Gain (Loss) on Investments............ 0.01 (0.04) 0.13 (0.08) 0.05 -- --------- --------- --------- --------- -------- -------- Total from Investment Operations..................... 0.05 0.03 0.20 (0.03) 0.13 0.09 --------- --------- --------- --------- -------- -------- Less Distributions: Dividends from Net Investment Income........................... (0.08) (0.04) (0.03) (0.06) (0.08) (0.09) Distributions from Realized Gains on Investments................... -- -- -- -- (0.04) (0.04) --------- --------- --------- --------- -------- -------- Total Distributions............. (0.08) (0.04) (0.03) (0.06) (0.12) (0.12) --------- --------- --------- --------- -------- -------- Net Asset Value, End of Period........ $ 1.19 $ 1.22 $ 1.23 $ 1.06 $ 1.15 $ 1.14 --------- --------- --------- --------- -------- -------- --------- --------- --------- --------- -------- -------- Total Return+......................... 3.63%++ 3.31% 19.10% (2.28%) 10.81% 7.74% --------- --------- --------- --------- -------- -------- --------- --------- --------- --------- -------- -------- RATIOS AND SUPPLEMENTAL DATA Net Assets, End of Period (in thousands)............................. $219,802 $214,333 $198,142 $158,508 $17,485 $15,851 --------- --------- --------- --------- -------- -------- --------- --------- --------- --------- -------- -------- 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..................... 6.91%* 6.48% 6.61% 7.02% 6.40% 7.52% --------- --------- --------- --------- -------- -------- --------- --------- --------- --------- -------- -------- Portfolio Turnover Rate................. 95.61% 195.98% 69.06% 108.00% 67.69% 63.29% --------- --------- --------- --------- -------- -------- --------- --------- --------- --------- -------- --------
*Computed on an annualized basis. +Total Return includes deductions for management 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 -- 56 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, 1997 ASSETS Bonds (cost $90,952).................. $ 92,739 Preferred Stock (cost $22,149)........ 24,154 Money Market Investments (cost $8,689).............................. 8,689 Common Stock (cost $1,139)............ 1,290 --------- 126,872 Due from Sale of Securities........... 5,283 Dividends and Interest Receivable..... 1,610 Due from Sale of Fund Shares.......... 221 --------- Total Assets........................ 133,986 --------- LIABILITIES Due on Purchase of Securities......... 2,491 Due to Investment Advisor............. 56 Accrued Expenses...................... 28 --------- Total Liabilities................... 2,575 --------- NET ASSETS.............................. $131,411 --------- --------- REPRESENTED BY: Aggregate Paid in Capital (400,000 shares authorized, $.01 par value; 114,379 shares outstanding).......... $122,468 Undistributed Net Investment Income... 435 Undistributed Accumulated Net Realized Gain on Investments.................. 4,565 Net Unrealized Appreciation of Investments.......................... 3,943 --------- Net Assets for 114,379 Shares Outstanding.......................... $131,411 --------- --------- Net Asset Value, Offering and Redemption Price per Share........... $ 1.15 --------- ---------
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 1997 INVESTMENT INCOME Income Interest............................ $ 4,828 Dividends........................... 323 --------- Total Income...................... 5,151 --------- Expenses Management Fees..................... 296 Custodian Expenses.................. 32 Other Expenses...................... 20 --------- Total Expenses.................... 348 --------- Less Custodian Fees: Paid Indirectly................. (32) --------- Total Net Expenses................ 316 --------- Net Investment Income................. 4,835 --------- REALIZED AND UNREALIZED GAIN ON INVESTMENTS Net Realized Gain on Investments...... 4,137 Net Change in Unrealized Appreciation of Investments for the Period........ 914 --------- Net Gain on Investments............... 5,051 --------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........................ $ 9,886 --------- ---------
The Accompanying Notes are an Integral Part of the Financial Stataments (Prepared from Unaudited Figures) --- 57 NORTHWESTERN MUTUAL SERIES FUND, INC. High Yield Bond Portfolio Statement of Changes in Net Assets (IN THOUSANDS)
FOR THE FOR THE SIX YEAR MONTHS ENDED ENDED DECEMBER JUNE 30, 31, 1997 1996 --------- --------- INCREASE IN NET ASSETS Operations Net Investment Income............... $ 4,835 $ 6,867 Net Realized Gain on Investments.... 4,137 3,638 Net Change in Unrealized Appreciation of Investments for the Period............................. 914 2,795 --------- --------- Net Increase in Net Assets Resulting from Operations......... 9,886 13,300 --------- --------- Distributions to Shareholders from: Net Investment Income............... (4,103) (7,126) Net Realized Gain on Investments.... (992) (2,541) --------- --------- Net Decrease in Net Assets Resulting from Distributions to Shareholders...................... (5,095) (9,667) --------- --------- Fund Share Transactions Proceeds from Sale of 25,335 and 23,742 Shares...................... 28,598 26,454 Proceeds from Shares Issued on Reinvestment of Distributions Paid (4,456 and 8,840 shares, respectively)...................... 5,095 9,667 Payments for 833 and1,697 Shares Redeemed........................... (951) (1,850) --------- --------- Net Increase in Net Assets Resulting from Fund Share Transactions (28,958 and 30,885 shares, respectively)............. 32,742 34,271 --------- --------- Total Increase in Net Assets.......... 37,533 37,904 NET ASSETS Beginning of Period................... 93,878 55,974 --------- --------- End of Period (includes un/(over)distributed net investment income of $435 and ($297), respectively)........................ $131,411 $ 93,878 --------- --------- --------- ---------
The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) --- 58 NORTHWESTERN MUTUAL SERIES FUND, INC. High Yield Bond Portfolio Financial Highlights (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
FOR THE FOR THE SIX PERIOD MONTHS MAY 3, ENDED FOR THE YEAR 1994* JUNE 30, ENDED DECEMBER 31, THROUGH 1997 --------------------- DECEMBER 31, (UNAUDITED) 1996 1995 1994 --------- --------- --------- --------------- SELECTED PER SHARE DATA Net Asset Value, Beginning of Period............................... $ 1.10 $ 1.03 $ 0.97 $ 1.00 Income from Investment Operations: Net Investment Income............. 0.04 0.09 0.10 0.06 Net Realized and Unrealized Gains (Loss) on Investments............ 0.06 0.10 0.07 (0.03) --------- --------- --------- --------------- Total from Investment Operations..................... 0.10 0.19 0.17 0.03 --------- --------- --------- --------------- Less Distributions: Distributions from Net Investment Income........................... (0.04) (0.09) (0.10) (0.06) Distributions from Realized Gains on Investments................... (0.01) (0.03) (0.01) -- --------- --------- --------- --------------- Total Distributions............. (0.05) (0.12) (0.11) (0.06) --------- --------- --------- --------------- Net Asset Value, End of Period.......... $ 1.15 $ 1.10 $ 1.03 $ 0.97 --------- --------- --------- --------------- --------- --------- --------- --------------- Total Return+........................... 8.85%++ 19.77% 16.78% 3.02%++ --------- --------- --------- --------------- --------- --------- --------- --------------- RATIOS AND SUPPLEMENTAL DATA Net Assets, End of Period (in thousands)............................. $131,411 $ 93,878 $ 55,974 $ 35,537 --------- --------- --------- --------------- --------- --------- --------- --------------- Ratio of Expenses to Average Net Assets................................. 0.62%** 0.60% 0.65% 0.73%** --------- --------- --------- --------------- --------- --------- --------- --------------- Ratio of Net Investment Income to Average Net Assets..................... 9.41%** 9.54% 9.90% 9.40%** --------- --------- --------- --------------- --------- --------- --------- --------------- Portfolio Turnover Rate................. 89.07% 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 --- 59 BALANCED PORTFOLIO NORTHWESTERN MUTUAL SERIES FUND, INC. Balanced Portfolio Financial Statements (IN THOUSANDS, EXCEPT PER SHARE AMOUNTS) STATEMENT OF ASSETS AND LIABILITIES JUNE 30, 1997 ASSETS Common Stock (cost $724,418).......... $1,393,415 Bonds (cost $708,682)................. 717,435 Money Market Investments (cost $406,119)............................ 406,189 ----------- 2,517,039 Cash.................................. 88,731 Dividends and Interest Receivable..... 12,470 Due from Sale of Fund Shares.......... 166 ----------- Total Assets........................ 2,618,406 ----------- LIABILITIES Due on Purchase of Securities......... 19,545 Due on Redemption of Fund Shares...... 3,909 Due to Investment Advisor............. 657 Due on Futures Variation Margin....... 581 ----------- Total Liabilities................... 24,692 ----------- NET ASSETS.............................. $2,593,714 ----------- ----------- REPRESENTED BY: Aggregate Paid in Capital (2,000,000 shares authorized, $.01 par value; 1,408,618 shares outstanding)........ $1,809,226 Undistributed Net Investment Income... 45,054 Undistributed Accumulated Net Realized Gain on Investments.................. 62,675 Net Unrealized Appreciation (Depreciation) of: Investment Securities............... 677,820 Index Futures Contracts............. (1,061) ----------- Net Assets for 1,408,618 Shares Outstanding.......................... $2,593,714 ----------- ----------- Net Asset Value, Offering and Redemption Price per Share........... $ 1.84 ----------- -----------
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 1997 INVESTMENT INCOME Income Interest............................ $36,444 Dividends (less foreign dividend tax of $80)............................ 12,238 -------- Total Income...................... 48,682 -------- Expenses Management Fees..................... 3,629 -------- Net Investment Income................. 45,053 -------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net Realized Gain on Investments: Investment Securities............... 45,829 Index Futures Contracts............. 14,639 -------- Net Realized Gain on Investments for the Period................... 60,468 -------- Net Change In Unrealized Appreciation (Depreciation) of: Investment Securities............... 182,460 Index Futures Contracts............. (1,062) -------- Net Change in Unrealized Appreciation of Investments for the Period....................... 181,398 -------- Net Gain on Investments............... 241,866 -------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........................ $286,919 -------- --------
The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) --- 60 NORTHWESTERN MUTUAL SERIES FUND, INC. Balanced Portfolio Statement of Changes in Net Assets (IN THOUSANDS)
FOR THE SIX FOR THE MONTHS YEAR ENDED ENDED JUNE 30, DECEMBER 1997 31, 1996 --------- -------- INCREASE IN NET ASSETS Operations Net Investment Income............... $ 45,053 $86,649 Net Realized Gain on Investments.... 60,468 27,969 Net Change in Unrealized Appreciation of Investments for the Period............................. 181,398 164,495 --------- -------- Net Increase in Net Assets Resulting from Operations......... 286,919 279,113 --------- -------- Distributions to Shareholders from: Net Investment Income............... (86,698) (83,501) Net Realized Gain on Investments.... (29,228) (35,154) --------- -------- Net Decrease in Net Assets Resulting from Distributions to Shareholders...................... (115,926) (118,655) --------- -------- Fund Share Transactions Proceeds from Sale of 20,320 and 51,923 Shares...................... 36,197 84,008 Proceeds from Shares Issued on Reinvestment of Distributions Paid (65,383 and 77,149 shares, respectively)...................... 115,926 118,655 Payments for 31,037 and 73,638 Shares Redeemed.................... (55,636) (120,176) --------- -------- Net Increase in Net Assets Resulting from Fund Share Transactions (54,666 and 55,434 shares, respectively)............. 96,487 82,487 --------- -------- Total Increase in Net Assets.......... 267,480 242,945 NET ASSETS Beginning of Period................... 2,326,234 2,083,289 --------- -------- End of Period (includes undistributed net investment income of $45,054 and $86,699 respectively)................ $2,593,714 $2,326,234 --------- -------- --------- --------
The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) --- 61 NORTHWESTERN MUTUAL SERIES FUND, INC. Balanced Portfolio Financial Highlights (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
FOR THE SIX MONTHS FOR THE YEARS ENDED ENDED JUNE DECEMBER 31, 30, 1997 ------------------------------------------------------- (UNAUDITED) 1996 1995 1994 1993 1992 ------------ --------- --------- --------- -------- -------- SELECTED PER SHARE DATA Net Asset Value, Beginning of Period............................... $ 1.72 $ 1.60 $ 1.31 $ 1.33 $ 1.39 $ 1.40 Income from Investment Operations: Net Investment Income............. 0.03 0.06 0.07 0.04 0.06 0.06 Net Realized and Unrealized Gain (Loss) on Investments............ 0.17 0.15 0.27 (0.05) 0.09 0.01 ------------ --------- --------- --------- -------- -------- Total from Investment Operations..................... 0.20 0.21 0.34 (0.01) 0.15 0.07 ------------ --------- --------- --------- -------- -------- Less Distributions: Distributions from Net Investment Income........................... (0.06) (0.06) (0.04) (0.00) (0.07) (0.06) Distributions from Realized Gains on Investments................... (0.02) (0.03) (0.01) (0.01) (0.14) (0.02) ------------ --------- --------- --------- -------- -------- Total Distributions............. (0.08) (0.09) (0.05) (0.01) (0.21) (0.08) ------------ --------- --------- --------- -------- -------- Net Asset Value, End of Period........ $ 1.84 $ 1.72 $ 1.60 $ 1.31 $ 1.33 $ 1.39 ------------ --------- --------- --------- -------- -------- ------------ --------- --------- --------- -------- -------- Total Return+......................... 12.36%++ 13.45% 26.39% 0.16% 9.91% 5.61% ------------ --------- --------- --------- -------- -------- ------------ --------- --------- --------- -------- -------- RATIOS AND SUPPLEMENTAL DATA Net Assets, End of Period (in thousands)............................. $2,593,714 $2,326,234 $2,083,289 $1,727,127 $68,910 $66,006 ------------ --------- --------- --------- -------- -------- ------------ --------- --------- --------- -------- -------- 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..................... 3.52%* 3.95% 4.40% 4.78% 4.24% 4.45% ------------ --------- --------- --------- -------- -------- ------------ --------- --------- --------- -------- -------- Portfolio Turnover Rate................. 18.84% 67.66% 37.28% 42.35% 70.91% 43.28% ------------ --------- --------- --------- -------- -------- ------------ --------- --------- --------- -------- -------- Average Commission Rate #............... $ 0.0532 $ 0.0320 ------------ --------- ------------ ---------
* Computed on an annualized basis. + Total Return includes deductions for management 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 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, 1997 ASSETS Common Stocks (cost $565,215)......... $921,855 Money Market Investments (cost $57,237)............................. 57,237 --------- 979,092 Dividends and Interest Receivable..... 924 Due from Sale of Fund Shares.......... 281 --------- Total Assets........................ 980,297 --------- LIABILITIES Futures Variation Margin.............. 416 Due to Sale of Fund Shares............ 242 Due to Investment Advisor............. 163 Accrued Expenses...................... 57 --------- Total Liabilities................... 878 --------- NET ASSETS.............................. $979,419 --------- --------- REPRESENTED BY: Aggregate Paid in Capital (600,000 shares authorized, $.01 par value; 409,395 shares outstanding).......... $599,021 Undistributed Net Investment Income... 8,186 Undistributed Accumulated Net Realized Gain on Investments.................. 11,757 Net Unrealized Appreciation of: Investment Securities............... 356,640 Index Futures Contracts............. 3,815 --------- Net Assets for 409,395 Shares Outstanding.......................... $979,419 --------- --------- Net Asset Value, Offering and Redemption Price per Share........... $ 2.39 --------- ---------
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 1997 INVESTMENT INCOME Income Dividends (less foreign dividend tax of $50)............................ $ 7,252 Interest............................ 1,820 --------- Total Income...................... 9,072 --------- Expenses Management Fees..................... 842 Custodian Fees...................... 21 Other Expenses...................... 44 --------- Total Expenses.................... 907 --------- Less Custodian Fees: Paid by Affiliate............ (20) Paid Indirectly.............. (1) --------- Total Net Expenses................ 886 --------- Net Investment Income................. 8,186 --------- REALIZED AND UNREALIZED GAIN ON INVESTMENTS Net Realized Gain on Investments: Investment Securities............... 3,717 Index Futures Contracts............. 8,382 --------- Net Realized Gain on Investments for the Period................... 12,099 --------- Net Change in Unrealized Appreciation of: Investment Securities............... 136,930 Index Futures Contracts............. 3,086 --------- Net Change in Unrealized Appreciation of Investments for the Period....................... 140,016 --------- Net Gain on Investments............... 152,115 --------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........................ $160,301 --------- ---------
The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) --- 63 NORTHWESTERN MUTUAL SERIES FUND, INC. Index 500 Stock Portfolio Statement of Changes in Net Assets (IN THOUSANDS)
FOR THE FOR THE SIX YEAR MONTHS ENDED ENDED DECEMBER JUNE 30, 31, 1997 1996 --------- --------- INCREASE IN NET ASSETS Operations Net Investment Income............... $ 8,186 $ 13,866 Net Realized Gain on Investments.... 12,099 17,014 Net Change in Unrealized Appreciation of Investments for the Period............................. 140,016 96,274 --------- --------- Net Increase in Net Assets Resulting from Operations......... 160,301 127,154 --------- --------- Disributions to Shareholders from: Net Investment Income............... (13,866) (6,192) Net Realized Gain on Investments.... (16,994) (9,632) --------- --------- Net Decrease in Net Assets Resulting from Distributions to Shareholders...................... (30,860) (15,824) --------- --------- Fund Share Transactions Proceeds from Sale of 41,216 and 72,277 Shares...................... 91,384 134,034 Proceeds from Shares Issued on Reinvestment of Distributions Paid (13,658 and 9,021 shares, respectively)...................... 30,860 15,824 Payments for 5,538 and 8,757 Shares Redeemed........................... (12,332) (16,255) --------- --------- Net Increase in Net Assets Resulting from Fund Share Transactions (49,336 and 72,541 shares, respectively)............. 109,912 133,603 --------- --------- Total Increase in Net Assets.......... 239,353 244,933 NET ASSETS Beginning of Period................... 740,066 495,133 --------- --------- End of Period (includes undistributed net investment income of $8,186 and $13,866 respectively)................ $979,419 $740,066 --------- --------- --------- ---------
The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) --- 64 NORTHWESTERN MUTUAL SERIES FUND, INC. Index 500 Stock Portfolio Financial Highlights (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
FOR THE SIX MONTHS ENDED FOR THE YEARS JUNE 30, ENDED DECEMBER 31, 1997 --------------------------------------------------------------------- (UNAUDITED) 1996 1995 1994 1993 1992 --------- --------- --------------- --------- --------- --------------- SELECTED PER SHARE DATA Net Asset Value, Beginning of Period............................... $ 2.06 $ 1.72 $ 1.27 $ 1.29 $ 1.33 $ 1.31 Income from Investment Operations: Net Investment Income............. 0.02 0.04 0.04 0.03 0.04 0.03 Net Realized and Unrealized Gain (Loss) on Investments............ 0.39 0.35 0.42 (0.01) 0.09 0.03 --------- --------- --------------- --------- --------- --------------- Total from Investment Operations..................... 0.41 0.39 0.46 0.02 0.13 0.06 --------- --------- --------------- --------- --------- --------------- Less Distributions: Distributions from Net Investment Income........................... (0.04) (0.02) (0.01) (0.03) (0.03) (0.03) Distributions from Realized Gains on Investments................... (0.04) (0.03) -- (0.01) (0.14) (0.01) --------- --------- --------------- --------- --------- --------------- Total Distributions............. (0.08) (0.05) (0.01) (0.04) (0.17) (0.04) --------- --------- --------------- --------- --------- --------------- Net Asset Value, End of Period........ $ 2.39 $ 2.06 $ 1.72 $ 1.27 $ 1.29 $ 1.33 --------- --------- --------------- --------- --------- --------------- --------- --------- --------------- --------- --------- --------------- Total Return+......................... 20.50%++ 22.75% 37.25% 1.21% 9.90% 4.54% --------- --------- --------------- --------- --------- --------------- --------- --------- --------------- --------- --------- --------------- RATIOS AND SUPPLEMENTAL DATA Net Assets, End of Period (in thousands)............................. $979,419 $740,066 $495,133 $316,123 $ 25,479 $ 17,288 --------- --------- --------------- --------- --------- --------------- --------- --------- --------------- --------- --------- --------------- Ratio of Expenses to Average Net Assets................................. 0.22%* 0.21% 0.21% 0.24% 0.30% 0.30% --------- --------- --------------- --------- --------- --------------- --------- --------- --------------- --------- --------- --------------- Ratio of Net Investment Income to Average Net Assets..................... 2.05%* 2.27% 2.51% 3.10% 2.55% 2.61% --------- --------- --------------- --------- --------- --------------- --------- --------- --------------- --------- --------- --------------- Portfolio Turnover Rate................. 0.90% 3.45% 3.19% 5.59% 62.69% 39.93% --------- --------- --------------- --------- --------- --------------- --------- --------- --------------- --------- --------- --------------- Average Commission Rate #............... $ 0.0286 $ 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 --- 65 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, 1997 ASSETS Common Stocks (cost $280,494)......... $322,342 Money Market Investments (cost $3,391).............................. 3,391 --------- 325,733 Cash.................................. 256 Due from Sale of Securities........... 4,979 Due from Sale of Fund Shares.......... 643 Dividends and Interest Receivable..... 327 --------- Total Assets........................ 331,938 --------- LIABILITIES Due on Purchase of Securities......... 5,875 Due to Investment Advisor............. 158 Accrued Expenses...................... 25 --------- Total Liabilities................... 6,058 --------- NET ASSETS.............................. $325,880 --------- --------- REPRESENTED BY: Aggregate Paid in Capital (400,000 shares authorized, $.01 par value; 214,512 shares outstanding).......... $256,391 Undistributed Net Investment Income... 169 Undistributed Accumulated Net Realized Gain on Investments.................. 27,472 Net Unrealized Appreciation of Investments.......................... 41,848 --------- Net Assets for 214,512 Shares Outstanding.......................... $325,880 --------- --------- Net Asset Value, Offering and Redemption Price per Share........... $ 1.52 --------- ---------
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 1997 INVESTMENT INCOME Income Dividends (less foreign dividend tax of $24)............................ $ 2,078 Interest............................ 167 -------- Total Income...................... 2,245 -------- Expenses Management Fees..................... 803 Custodian Fees...................... 14 Other Expenses...................... 9 -------- Total Expenses.................... 826 -------- Less Custodian Fees: Paid by Affiliate............... (11) Paid Indirectly................. (3) -------- Total Net Expenses................ 812 -------- Net Investment Income................. 1,433 -------- REALIZED AND UNREALIZED GAIN ON INVESTMENTS Net Realized Gain on Investments...... 27,472 Net Change in Unrealized Appreciation of Investments for the Period........ 17,523 -------- Net Gain on Investments............... 44,995 -------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........................ $46,428 -------- --------
The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) --- 66 NORTHWESTERN MUTUAL SERIES FUND, INC. Growth and Income Stock Portfolio Statement of Changes in Net Assets (IN THOUSANDS)
FOR THE SIX FOR THE MONTHS YEAR ENDED ENDED JUNE 30, DECEMBER 1997 31, 1996 --------- -------- INCREASE IN NET ASSETS Operations Net Investment Income............... $ 1,433 $ 2,654 Net Realized Gain on Investments.... 27,472 21,066 Net Change in Unrealized Appreciation of Investments for the Period............................. 17,523 11,131 --------- -------- Net Increase in Net Assets Resulting from Operations......... 46,428 34,851 --------- -------- Distributions to Shareholders from: Net Investment Income............... (1,289) (2,646) Net Realized Gain on Investments.... (6,063) (18,392) --------- -------- Net Decrease in Net Assets Resulting from Distributions to Shareholders...................... (7,352) (21,038) --------- -------- Fund Share Transactions Proceeds from Sale of 34,160 and 51,364 Shares...................... 48,611 65,912 Proceeds from Shares Issued on Reinvestment of Distributions Paid (5,016 and 15,944 shares, respectively)...................... 7,352 21,038 Payments for 2,392 and 2,670 Shares Redeemed........................... (3,343) (3,502) --------- -------- Net Increase in Net Assets Resulting from Fund Share Transactions (36,784 and 64,638 shares, respectively)...................... 52,620 83,448 --------- -------- Total Increase in Net Assets.......... 91,696 97,261 NET ASSETS Beginning of Period................... 234,184 136,923 --------- -------- End of Period (includes undistributed net investment income of $169 and $25, respectively)................... $325,880 $234,184 --------- -------- --------- --------
The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) --- 67 NORTHWESTERN MUTUAL SERIES FUND, INC. Growth and Income Stock Portfolio Financial Highlights (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
FOR THE SIX MONTHS FOR THE PERIOD ENDED FOR THE YEAR ENDED MAY 3, 1994* JUNE 30, DECEMBER 31, THROUGH 1997 ------------------------- DECEMBER 31, (UNAUDITED) 1996 1995 1994 --------- -------- -------------- -------------- SELECTED PER SHARE DATA Net Asset Value, Beginning of Period............................... $ 1.32 $ 1.21 $ 0.98 $ 1.00 Income from Investment Operations: Net Investment Income............. 0.01 0.02 0.02 0.01 Net Realized and Unrealized Gains on Investments................... 0.23 0.23 0.29 (0.01) --------- -------- -------------- -------------- Total from Investment Operations..................... 0.24 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................... (0.03) (0.12) (0.06) (0.01) --------- -------- -------------- -------------- Total Distributions............. (0.04) (0.14) (0.08) (0.02) --------- -------- -------------- -------------- Net Asset Value, End of Period........ $ 1.52 $ 1.32 $ 1.21 $ 0.98 --------- -------- -------------- -------------- --------- -------- -------------- -------------- Total Return+......................... 18.11%++ 19.97% 31.12% 0.34%++ --------- -------- -------------- -------------- --------- -------- -------------- -------------- RATIOS AND SUPPLEMENTAL DATA Net Assets, End of Period (in thousands)............................. $325,880 $234,184 $136,923 $64,700 --------- -------- -------------- -------------- --------- -------- -------------- -------------- Ratio of Expenses to Average Net Assets................................. 0.63%** 0.62% 0.69% 0.78%** --------- -------- -------------- -------------- --------- -------- -------------- -------------- Ratio of Net Investment Income to Average Net Assets..................... 1.12%** 1.44% 1.68% 1.93%** --------- -------- -------------- -------------- --------- -------- -------------- -------------- Portfolio Turnover Rate................. 51.19% 93.92% 80.00% 54.18% --------- -------- -------------- -------------- --------- -------- -------------- -------------- Average Commission Rate #............... $ 0.0495 $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 --- 68 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, 1997 ASSETS Common Stocks (cost $143,169)......... $199,166 Money Market Investments (cost $17,737)............................. 17,737 --------- 216,903 Due from Sale of Securities........... 606 Due from Sale of Fund Shares.......... 372 Dividends and Interest Receivable..... 182 --------- Total Assets........................ 218,063 --------- LIABILITIES Due to Purchase of Securities......... 832 Due to Investment Advisor............. 89 Futures Variation Margin.............. 63 Due to Purchase of Fund Shares........ 31 Accrued Expenses...................... 22 --------- Total Liabilities................... 1,037 --------- NET ASSETS.............................. $217,026 --------- --------- REPRESENTED BY: Aggregate Paid in Capital (400,000 shares authorized, $.01 par value; 128,497 shares outstanding).......... $156,767 Undistributed Net Investment Income... 225 Undistributed Accumulated Net Realized Gain on Investments.................. 4,053 Net Unrealized Appreciation(Depreciation) of: Investment Securities............... 55,997 Index Futures Contracts............... (16) --------- Net Assets for 128,497 Shares Outstanding.......................... $217,026 --------- --------- Net Asset Value, Offering and Redemption Price per Share........... $ 1.69 --------- ---------
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 1997 INVESTMENT INCOME Income Dividends (less foreign dividend tax of $15)............................ $ 1,219 Interest............................ 673 --------- Total Income...................... 1,892 --------- Expenses Management Fees..................... 466 Custodian Expenses.................. 8 Other Expenses...................... 15 --------- Total Expenses.................... 489 --------- Less Custodian Fees: Paid by Affiliate............ (6) Paid Indirectly.............. (2) --------- Total Net Expenses................ 481 --------- Net Investment Income................. 1,411 --------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net Realized Gain on Investments: Investment Securities............... 1,929 Index Futures Contracts............. 2,294 --------- Net Realized Gain on Investments for the Period................... 4,223 --------- Net Change in Unrealized Appreciation(Depreciation) of: Investments Securities.............. 26,158 Index Futures Contracts............. (173) --------- Net Change in Unrealized Appreciation of Investments for the Period........ 25,985 --------- Net Gain on Investments............... 30,208 --------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS.............. $ 31,619 --------- ---------
The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) --- 69 NORTHWESTERN MUTUAL SERIES FUND, INC. Growth Stock Portfolio Statement of Changes in Net Assets (IN THOUSANDS)
FOR THE FOR THE SIX YEAR MONTHS ENDED ENDED DECEMBER JUNE 30, 31, 1997 1996 --------- --------- INCREASE IN NET ASSETS Operations Net Investment Income............... $ 1,411 $ 1,767 Net Realized Gain on Investments.... 4,223 5,039 Net Change in Unrealized Appreciation of Investments for the Period............................. 25,985 17,013 --------- --------- Net Increase in Net Assets Resulting from Operations......... 31,619 23,819 --------- --------- Distributions to Shareholders from: Net Investment Income............... (1,218) (1,749) Net Realized Gain on Investments.... (799) (5,031) --------- --------- Net Decrease in Net Assets Resulting from Distributions to Shareholders...................... (2,017) (6,780) --------- --------- Fund Share Transactions Proceeds from Sale of 23,084 and 45,246 Shares...................... 35,642 62,709 Proceeds from Shares Issued on Reinvestment of Distributions Paid (1,224 and 4,630 shares, respectively)...................... 2,017 6,780 Payments for 12,274 and 1,147 Shares Redeemed........................... (20,717) (1,603) --------- --------- Net Increase in Net Assets Resulting from Fund Share Transactions (12,034 and 48,729 shares, respectively)..................... 16,942 67,886 --------- --------- Total Increase in Net Assets.......... 46,544 84,925 NET ASSETS Beginning of Period................... 170,482 85,557 --------- --------- End of Period (includes undistributed net investment income of $225 and $32, respectively)............... $217,026 $170,482 --------- --------- --------- ---------
The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) --- 70 NORTHWESTERN MUTUAL SERIES FUND, INC. Growth Stock Portfolio Financial Highlights (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
FOR THE FOR THE SIX PERIOD MONTHS FOR THE MAY 3, ENDED YEAR ENDED 1994* JUNE 30, DECEMBER 31, THROUGH 1997 --------------------- DECEMBER 31, (UNAUDITED) 1996 1995 1994 --------- --------- --------- --------------- SELECTED PER SHARE DATA Net Asset Value, Beginning of Period............................... $ 1.46 $ 1.26 $ 1.00 $ 1.00 Income from Investment Operations: Net Investment Income............... 0.01 0.02 0.02 0.01 Net Realized and Unrealized Gains on Investments........................ 0.24 0.25 0.28 -- --------- --------- --------- --------------- Total from Investment Operations....................... 0.25 0.27 0.30 0.01 --------- --------- --------- --------------- Less Distributions: Distributions from Net Investment Income............................. (0.01) (0.02) (0.02) (0.01) Distributions from Realized Gains on Investments........................ (0.01) (0.05) (0.02) -- --------- --------- --------- --------------- Total Distributions............... (0.02) (0.07) (0.04) (0.01) --------- --------- --------- --------------- Net Asset Value, End of Period........ $ 1.69 $ 1.46 $ 1.26 $ 1.00 --------- --------- --------- --------------- --------- --------- --------- --------------- Total Return+......................... 16.46%++ 20.91% 30.82% 1.55%++ --------- --------- --------- --------------- --------- --------- --------- --------------- RATIOS AND SUPPLEMENTAL DATA Net Assets, End of Period (in thousands)........................... $217,026 $170,482 $ 85,557 $ 41,868 --------- --------- --------- --------------- --------- --------- --------- --------------- Ratio of Expenses to Average Net Assets............................... 0.52%** 0.57% 0.61% 0.71%** --------- --------- --------- --------------- --------- --------- --------- --------------- Ratio of Net Investment Income to Average Net Assets................... 1.53%** 1.41% 1.77% 2.30%** --------- --------- --------- --------------- --------- --------- --------- --------------- Portfolio Turnover Rate............... 16.32% 37.61% 46.83% 16.51% --------- --------- --------- --------------- --------- --------- --------- --------------- Average Commission Rate#.............. $ 0.0532 $ 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 --- 71 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, 1997 ASSETS Common Stocks (cost $417,953)......... $565,346 Money Market Investments (cost $64,526)............................. 64,526 Bonds (cost $9,026)................... 10,856 --------- 640,728 Cash.................................. 52 Dividends and Interest Receivable..... 4,536 Due from Sale of Securities........... 1,900 Due from Foreign Currency Contracts... 1,250 Due from Purchase of Fund Shares...... 535 --------- Total Assets........................ 649,001 --------- LIABILITIES Due on Purchase of Securities......... 3,741 Due on Foreign Currency Contracts..... 1,259 Due to Investment Advisor............. 361 Accrued Expenses...................... 175 --------- Total Liabilities................... 5,536 --------- NET ASSETS.............................. $643,465 --------- --------- REPRESENTED BY: Aggregate Paid in Capital (700,000 shares authorized, $.01 par value; 373,898 shares outstanding).......... $476,968 Undistributed Net Investment Income... 10,575 Undistributed Accumulated Net Realized Gain on Investments.................. 6,705 Net Unrealized Appreciation (Depreciation) of: Investment Securities............... 149,223 Foreign Currency Transactions....... (6) --------- Net Assets for 373,898 Shares Outstanding.......................... $643,465 --------- --------- Net Asset Value, Offering and Redemption Price per Share........... $ 1.72 --------- ---------
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 1997 INVESTMENT INCOME Income Dividends (less foreign dividend tax of $1,242)......................... $ 10,935 Interest............................ 1,635 --------- Total Income...................... 12,570 --------- Expenses Management Fees..................... 1,854 Custodian Fees...................... 80 Other Expenses...................... 56 --------- Total Expenses.................... 1,990 --------- Net Investment Income................. 10,580 --------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES Net Realized Gain (Loss) on: Investment Securities............... 7,636 Foreign Currency Transactions....... (328) --------- Net Realized Gain For the Period........................... 7,308 --------- Net Change in Unrealized Appreciation (Depreciation) of: Investment Securities............... 60,653 Foreign Currency Transactions....... (9) --------- Net Change in Unrealized Appreciation for the Period...... 60,644 --------- Net Gain on Investments............... 67,952 --------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........................ $ 78,532 --------- ---------
The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) --- 72 NORTHWESTERN MUTUAL SERIES FUND, INC. International Equity Portfolio Statement of Changes in Net Assets (IN THOUSANDS)
FOR THE SIX MONTHS FOR THE ENDED YEAR ENDED JUNE 30, DECEMBER 31, 1997 1996 --------------- --------------- INCREASE IN NET ASSETS Operations Net Investment Income............... $ 10,580 $ 12,614 Net Realized Gain on Investments.... 7,308 7,391 Net Unrealized Appreciation of Investments for the Period......... 60,644 61,490 --------------- --------------- Net Increase in Net Assets Resulting from Operations......... 78,532 81,495 --------------- --------------- Distributions to Shareholders from: Net Investment Income............... (12,704) (8,311) Net Realized Gain on Investments.... (7,542) (11,653) --------------- --------------- Net Decrease in Net Assets Resulting from Distributions to Shareholders...................... (20,246) (19,964) --------------- --------------- Fund Share Transactions Proceeds from Sale of 39,677 and 64,977 Shares...................... 63,938 92,514 Proceeds from Shares Issued on Reinvestment of Dividends Paid (12,596 and 14,362 shares, respectively)...................... 20,246 19,964 Payments for 2,621 and 7,589 Shares Redeemed........................... (4,194) (10,947) --------------- --------------- Net Increase in Net Assets Resulting from Fund Share Transactions (49,652 and 71,750 shares, respectively)...................... 79,990 101,531 --------------- --------------- Total Increase in Net Assets.......... 138,276 163,062 NET ASSETS Beginning of Period................... 505,189 342,127 --------------- --------------- End of Period (includes undistributed net investment income of $10,575 and $12,699 respectively)................ $643,465 $505,189 --------------- --------------- --------------- ---------------
The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) --- 73 NORTHWESTERN MUTUAL SERIES FUND, INC. International Equity Portfolio Financial Highlights (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
FOR THE PERIOD FOR THE MAY 3, SIX MONTHS FOR THE YEARS 1994* ENDED JUNE 30, ENDED DECEMBER 31, THROUGH 1997 --------------------------------- DECEMBER 31, (UNAUDITED) 1996 1995 1994 --------------- --------------- --------------- --------------- SELECTED PER SHARE DATA Net Asset Value, Beginning of Period............................... $ 1.56 $ 1.35 $ 1.19 $ 1.22 Income from Investment Operations: Net Investment Income............. 0.03 0.04 0.04 0.02 Net Realized and Unrealized Gain/(Loss) on Investments....... 0.19 0.24 0.13 (0.02) --------------- --------------- --------------- --------------- Total from Investment Operations..................... 0.22 0.28 0.17 0.00 --------------- --------------- --------------- --------------- Less Distributions: Distributions from Net Investment Income........................... (0.04) (0.03) -- (0.02) Distributions from Realized Gains on Investments................... (0.02) (0.04) (0.01) (0.01) --------------- --------------- --------------- --------------- Total Distributions............. (0.06) (0.07) (0.01) (0.03) --------------- --------------- --------------- --------------- Net Asset Value, End of Period........ $ 1.72 $ 1.56 $ 1.35 $ 1.19 --------------- --------------- --------------- --------------- --------------- --------------- --------------- --------------- Total Return+......................... 14.41%++ 21.01% 14.57% 0.11%++ --------------- --------------- --------------- --------------- --------------- --------------- --------------- --------------- RATIOS AND SUPPLEMENTAL DATA Net Assets, End of Period (in thousands)............................. $643,465 $505,189 $342,127 $292,533 --------------- --------------- --------------- --------------- --------------- --------------- --------------- --------------- Ratio of Expenses to Average Net Assets................................. 0.71%** 0.81% 0.85% 0.87%** --------------- --------------- --------------- --------------- --------------- --------------- --------------- --------------- Ratio of Net Investment Income to Average Net Assets..................... 3.76%** 3.02% 2.68% 2.28%** --------------- --------------- --------------- --------------- --------------- --------------- --------------- --------------- Portfolio Turnover Rate................. 4.36% 17.07% 26.71% 10.97% --------------- --------------- --------------- --------------- --------------- --------------- --------------- --------------- Average Commission Rate#................ $ 0.0007 $ 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 --- 74 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, 1997 ASSETS Common Stocks (cost $586,863)......... $878,994 Money Market Investments (cost $86,633)............................. 86,633 --------- 965,627 Cash.................................. 4,302 Due from Sale of Securities........... 281 Due from Sale of Fund Shares.......... 261 Dividends and Interest Receivable..... 90 --------- Total Assets........................ 970,561 --------- LIABILITIES Due on Purchase of Securities......... 7,800 Due on Redemption of Fund Shares...... 1,039 Due to Investment Advisor............. 412 Futures Variation Margin.............. 150 Accrued Expenses...................... 47 --------- Total Liabilities................... 9,448 --------- NET ASSETS.............................. $961,113 --------- --------- REPRESENTED BY: Aggregate Paid in Capital (700,000 shares authorized, $.01 par value; 311,045 shares outstanding).......... $676,197 Undistributed Net Investment Income... 532 Undistributed Accumulated Net Realized Loss on Investments.................. (7,504) Net Unrealized Appreciation of: Investment Securities............... 292,131 Index Futures Contracts............. (243) --------- Net Assets for 311,045 Shares Outstanding.......................... $961,113 --------- --------- Net Asset Value, Offering and Redemption Price per Share........... $ 3.09 --------- ---------
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 1997 INVESTMENT INCOME Income Interest............................ $ 2,490 Dividends........................... 494 --------- Total Income...................... 2,984 --------- Expenses Management Fees..................... 2,215 Custodian Expenses.................. 14 Other Expenses...................... 27 --------- Total Expenses.................... 2,256 --------- Less Custodian Fees: Paid by Affiliate............ (11) Paid Indirectly.............. (3) --------- Total Net Expenses................ 2,242 --------- Net Investment Income................. 742 --------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net Realized Gain (Loss) on Investments: Investment Securities............... (4,427) Index Futures Contracts............. 2,113 --------- Net Realized Loss on Investments for the Period................... (2,314) --------- Net Change in Unrealized Appreciation (Depreciation) of: Investment Securities............... 53,471 Index Futures Contracts............. (243) --------- Net Change in Unrealized Appreciation of Investments for the Period 53,228 --------- Net Gain on Investments............... 50,914 --------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........................ $ 51,656 --------- ---------
The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) --- 75 NORTHWESTERN MUTUAL SERIES FUND, INC. Aggressive Growth Stock Portfolio Statement of Changes in Net Assets (IN THOUSANDS)
FOR THE SIX FOR THE MONTHS YEAR ENDED ENDED JUNE 30, DECEMBER 1997 31, 1996 --------- --------- INCREASE IN NET ASSETS Operations Net Investment Income (Loss)........ $ 742 $ (210) Net Realized Gain (Loss) on Investments........................ (2,314) 52,175 Net Change in Unrealized Appreciation of Investments for the Period............................. 53,228 56,387 --------- --------- Net Increase in Net Assets Resulting from Operations......... 51,656 108,352 --------- --------- Distributions to Shareholders from: Net Investment Income............... 0 (572) Net Realized Gain on Investments.... (57,365) (24,986) --------- --------- Net Decrease in Net Assets Resulting from Distributions to Shareholders...................... (57,365) (25,558) --------- --------- Fund Share Transactions Proceeds from Sale of 20,098 and 64,691 Shares...................... 58,729 198,427 Proceeds from Shares Issued on Reinvestment of Distributions Paid (20,913 and 8,276 shares, respectively)...................... 57,365 25,558 Payments for 7,188 and 3,953 Shares Redeemed........................... (21,198) (11,867) --------- --------- Net Increase in Net Assets Resulting from Fund Share Transactions (33,822 and 69,014 shares, respectively)............. 94,896 212,118 --------- --------- Total Increase in Net Assets.......... 89,187 294,912 NET ASSETS Beginning of Period................... 871,926 577,014 --------- --------- End of Period (includes undistributed net investment income/(loss) of $532 and $(210), respectively)............ $961,113 $871,926 --------- --------- --------- ---------
The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) --- 76 NORTHWESTERN MUTUAL SERIES FUND, INC. Aggressive Growth Stock Portfolio Financial Highlights (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
FOR THE FOR THE PERIOD SIX MONTHS FOR THE YEARS MAY 3, 1994* ENDED JUNE 30, ENDED DECEMBER 31, THROUGH 1997 --------------------- DECEMBER 31, (UNAUDITED) 1996 1995 1994 --------------- --------- --------- --------------- SELECTED PER SHARE DATA Net Asset Value, Beginning of Period............................... $ 3.15 $ 2.77 $ 2.00 $ 1.91 Income from Investment Operations: Net Investment Income............... -- -- -- -- Net Realized and Unrealized Gains on Investments........................ 0.14 0.49 0.78 0.09 --------------- --------- --------- --------------- Total from Investment Operations....................... 0.14 0.49 0.78 0.09 --------------- --------- --------- --------------- Less Distributions: Distributions from Net Investment Income............................. -- -- -- -- Distributions from Realized Gains on Investments........................ (0.20) (0.11) (0.01) -- --------------- --------- --------- --------------- Total Distributions............... (0.20) (0.11) (0.01) -- --------------- --------- --------- --------------- Net Asset Value, End of Period........ $ 3.09 $ 3.15 $ 2.77 $ 2.00 --------------- --------- --------- --------------- --------------- --------- --------- --------------- Total Return+......................... 5.44%++ 17.70% 39.29% 4.47%++ --------------- --------- --------- --------------- --------------- --------- --------- --------------- RATIOS AND SUPPLEMENTAL DATA Net Assets, End of Period (in thousands)........................... $961,113 $871,926 $577,014 $327,096 --------------- --------- --------- --------------- --------------- --------- --------- --------------- Ratio of Expenses to Average Net Assets............................... 0.52%** 0.54% 0.56% 0.58%** --------------- --------- --------- --------------- --------------- --------- --------- --------------- Ratio of Net Investment Income/(Loss) to Average Net Assets................ 0.17%** (0.03%) 0.13% 0.29%** --------------- --------- --------- --------------- --------------- --------- --------- --------------- Portfolio Turnover Rate............... 32.34% 47.25% 37.84% 21.54% --------------- --------- --------- --------------- --------------- --------- --------- --------------- Average Commission Rate #............. $ 0.0538 $ 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 --- 77 NOTES TO FINANCIAL STATEMENTS NORTHWESTERN MUTUAL SERIES FUND, INC. Notes to Financial Statements JUNE 30, 1997 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 Money Market Portfolio, Select Bond Portfolio, High Yield Bond Portfolio, Balanced Portfolio, Index 500 Stock Portfolio, Growth and Income Stock Portfolio, Growth Stock Portfolio, International Equity Portfolio and the Aggressive Growth Stock Portfolio (the "Portfolios"). Shares are present offered only to The Northwestern Mutual Life Insurance Company ("Northwestern Mutual Life") 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 purchases or sells a foreign security it 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 International Equity Portfolio does 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 Select Bond, Balanced, Index 500 Stock, Growth Stock and Aggressive Growth Stock Portfolios invest in futures contracts as an alternative to investing in individual securities. The Select Bond, Balanced, Index 500 Stock, Growth Stock and Aggressive Growth Stock 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. -- 78 NORTHWESTERN MUTUAL SERIES FUND, INC. Notes to Financial Statements JUNE 30, 1997 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, 1997, transactions in securities other than money market investments were:
TOTAL U.S. GOVT TOTAL U.S. GOVT SECURITY SECURITY SECURITY SECURITY SALES/ SALES/ PORTFOLIOS PURCHASES PURCHASES MATURITIES MATURITIES - ------------------------------------------------------------------- ------------- ------------- ------------- ------------- Select Bond........................................................ $ 210,064,832 $ 65,193,563 $ 196,704,941 $ 120,195,869 High Yield Bond.................................................... 123,254,231 -- 99,605,289 -- Balanced........................................................... 385,163,083 176,958,121 457,374,695 247,778,274 Index 500 Stock.................................................... 91,897,788 -- 10,786,953 -- Growth and Income Stock............................................ 214,399,020 -- 165,693,524 -- Growth Stock....................................................... 50,041,289 -- 30,096,005 -- International Equity............................................... 71,754,802 -- 29,756,637 10,000,000 Aggressive Growth Stock............................................ 278,294,684 -- 242,309,319 --
- -------------------------------------------------------------------------------- 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 Select Bond, Money Market and Balanced 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 - --------------------------------- ----------- ----------- ------------- High Yield Bond.................. .60% .50% .40% Growth and Income Stock.......... .70% .60% .55% Growth Stock..................... .60% .50% .40% International Equity............. .85% .65% .65% Aggressive Growth Stock.......... .80% .65% .50%
These amounts are paid to Northwestern Mutual Investment Services, Inc. ("NMIS") a wholly-owned subsidiary of Northwestern Mutual Life, which is the manager and investment adviser of the Fund. Northwestern Mutual Life is also a party to the agreement. Other costs for each Portfolio are paid either by the Portfolios, Northwestern Mutual Life, 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, 1997, the amounts paid through expense offset arrangements are $31,810 in the High Yield Bond Portfolio, $1,295 in the Index 500 Portfolio, $3,395 in the Growth and Income Stock Portfolio, $2,435 in the Growth Stock Portfolio and $2,789 in the Aggressive Growth Stock 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 Life 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 Life by Templeton Counsel and .40% in excess of $100 million. -- 79 NORTHWESTERN MUTUAL SERIES FUND, INC. Notes to Financial Statements JUNE 30, 1997 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. A net realized capital loss of $768,562 in the Select Bond Portfolio carried forward from 1995 and is available to offset future net realized capital gains. The amount expires in 2002. A capital loss carryforward of $569,291 was utilized in the Select Bond Portfolio during the year ended December 31, 1996. As of June 30, 1997, the federal income tax basis of investments is the same as the cost basis in the financial statements except for the International Equity Portfolio. The federal income tax basis on investments was $493,345,370 for the International Equity Portfolio. The net unrealized appreciation (depreciation) for federal income tax purposes are shown below:
(IN THOUSANDS) HIGH YIELD INDEX 500 SELECT BOND BOND BALANCED STOCK PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO ------------ ----------- ------------ ----------- Gross unrealized appreciation.......................................... $ 3,152 $ 5,634 $ 697,820 $ 364,349 Gross unrealized depreciation.......................................... (618) (1,691) (19,248) (7,709) ------------ ----------- ------------ ----------- Net unrealized appreciation............................................ $ 2,534 $ 3,943 $ 677,820 $ 356,640 ------------ ----------- ------------ ----------- ------------ ----------- ------------ ----------- AGGRESSIVE GROWTH AND GROWTH INTERNATIONAL GROWTH INCOME STOCK STOCK EQUITY STOCK PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO ------------ ----------- ------------ ----------- Gross unrealized appreciation.......................................... $ 46,053 $ 57,081 $ 168,051 $ 300,549 Gross unrealized depreciation.......................................... (4,205) (1,084) (20,668) (8,418) ------------ ----------- ------------ ----------- Net unrealized appreciation............................................ $ 41,848 $ 55,997 $ 147,383 $ 292,131 ------------ ----------- ------------ ----------- ------------ ----------- ------------ -----------
- -------------------------------------------------------------------------------- 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 Select Bond, High Yield Bond, Balanced, Index 500 Stock, Growth and Income Stock, Growth Stock, International Equity and Aggressive Growth Stock Portfolios and each business day for the Money Market Portfolio. Dividend distributions are described below. A dividend was declared on May 12, 1997, payable to shareholders of record on May 12, 1997. Dividends paid from 1996 net investment income and 1996 net capital gains were as follows:
NET INVESTMENT NET CAPITAL PORTFOLIOS INCOME GAINS - ------------------------------------- ------------ ------------ Select Bond.......................... $ 13,298,619 $ -- High Yield Bond...................... 160,082 992,215 Balanced............................. 86,698,498 29,228,140 Index 500 Stock...................... 13,865,506 16,994,473 Growth and Income Stock.............. 26,286 6,062,555 Growth Stock......................... 14,615 799,017 International Equity................. 12,704,098 7,541,567 Aggressive Growth Stock.............. -- 57,364,645
A dividend was declared on June 26, 1997, payable to shareholders of record on June 26, 1997. Dividends paid from 1997 net investment income:
NET INVESTMENT PORTFOLIOS INCOME - ----------------------------------------------- --------------- High Yield Bond................................ $3,943,225 Growth and Income Stock........................ 1,262,918 Growth Stock................................... 1,203,768
NOTE 10 -- Effective April 1, 1996, NML voluntarily reimburses the International Equity Portfolio for the benefit NML 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, 1997 was $807,364 and for the period April 1, 1996 through December 31, 1996 was $921,388. -- 80 Northwestern Mutual Life-Registered Trademark- 720 East Wisconsin Avenue Milwaukee, Wisconsin 53202 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: / / Transfer in monthly installments so that at year end, Money Market valance will be zero. / / 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 allocaiton of future investments shall be effective on ------------------------ (insert specific future date if desired). If no date is specified, or if this form is not received at NML's Home Office (see address on reverse side) on or prior to 3:00 p.m. Central time on that date, this transfer shall be effective on the date this form is received (complete and signed) at NML's Home Office. 7. SIGNATURE OF OWNER(S)/TRUSTEE REQUIRED (TITLE MUST BE INCLUDED): - ------ Date signed ------ - ------ Date signed ------ 18-1425 (2/96) WORD 6 ADDITIONAL INFORMATION 1. REDISTRIBUTION OF EXISTING ASSETS: The Owner may transfer the assets invested for this 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, 720 E. Wisconsin, WI 53202, ATTENTION POS. FAX The properly completed and signed form may be FAXed to the Home Office at the numbers provided. Fax telephone numbers listed by POS Regions are: East 414-299-4268 Central 414-299-4982 West 414-299-4268 South 414-299-3382 EPS 414-299-5123
The original form is NOT needed. Please keep it for your records. LINK NML Agents only: If timing is critical and FAX equipment is unavailable, this request may be LINKed to the Home Office. You must have a properly completed and signed form in your possession. The original signed form MUST be received in the Home Office within five (5) working days from the date of the LINK. The transaction will take effect based on the time that the LINK is received in the Home Office. SIGNATURE INSTRUCTIONS SIGNATURE BY OWNER All Owners must sign their names as they appear 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. NOTES -- 83 NOTES -- 84 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 Financial Corporation, ..................................................................... Milwaukee William A. McIntosh .......... Retired Division Head--U.S. Fixed Income, Salomon Brothers, ................................................................ Kenilworth, IL OFFICERS James D. Ericson ..................................................... President Mark G. Doll ........................................ Vice President & Treasurer Merrill C. Lundberg .................................................. Secretary Barbara E. Courtney ................................................. Controller -- 85 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, Inc., 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(6-97) NORTHWESTERN MUTUAL LIFE -Registered Trademark- P.O. Box 3095 Milwaukee WI 53201-3095 -----END PRIVACY-ENHANCED MESSAGE-----