-----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, IkwjbR7glUguXgQmeNUTSsUDRhW/9O6YU7rlULkIchO0fnkeLI0dF92Fe18QsEE+ FR+TTtzy4lxEEOMeO4wJkA== 0000950124-01-502982.txt : 20010823 0000950124-01-502982.hdr.sgml : 20010823 ACCESSION NUMBER: 0000950124-01-502982 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20010630 FILED AS OF DATE: 20010822 FILER: COMPANY DATA: COMPANY CONFORMED NAME: NORTHWESTERN MUTUAL VARIABLE LIFE ACCOUNT CENTRAL INDEX KEY: 0000742277 STANDARD INDUSTRIAL CLASSIFICATION: [] IRS NUMBER: 390509570 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: 1720820 BUSINESS ADDRESS: STREET 1: 720 E WISCONSIN AVE CITY: MILWAUKEE STATE: WI ZIP: 53202 BUSINESS PHONE: 4142992508 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: 1720821 BUSINESS ADDRESS: STREET 1: 720 E WISCONSIN AVE CITY: MILWAUKEE STATE: WI ZIP: 53202 BUSINESS PHONE: 4142992508 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 c63867n-30d.txt SEMI-ANNUAL REPORT 1 Semi-Annual Northwestern Mutual Report Variable Life Account June 30, 2001 Northwestern Mutual Series Fund, Inc. and Russell Insurance Funds The Northwestern Mutual [LOGO]Northwestern Mutual[TM] Life Insurance Company 720 East Wisconsin Avenue Milwaukee, WI 53202 (414) 271-1444 2 LETTER TO POLICYOWNERS JULY 31, 2001 At mid-year 2001, the U.S. economy and equity markets seem to be in a period characterized mainly by uncertainty. After nine years of economic growth and a buoyant stock market, most sectors of the economy are slumping, and the stock market is highly volatile and trending generally downward. Meanwhile, the bond market has proven to be something of a safe haven for investors, responding in characteristic fashion to a significant drop in short-term interest rates. The driving force behind the extended period of rapid economic growth experienced during the 1990s was an accelerating pace of technological advancement, which produced significant improvements in productivity and also created an aura of excitement. Soaring corporate earnings fueled a high level of investment, as companies rushed to install the latest technology and add capacity to meet growing demand. Dramatic increases in the value of tech-heavy stock portfolios helped drive consumer spending. Technology is an equally significant factor in the current slowdown, and changing technology is also making it more difficult to predict future economic direction based on past experience. The rapid information flow made possible by technology has compressed reaction time among executives, investors and policy makers. With order and inventory data readily available, companies can rapidly adjust production schedules. Information about earnings and the economy that used to trickle gradually into markets is now available instantly. News about profit expectations moves stock prices instantly, at a time when more people than ever before have a stake in equity markets. The ready availability of information may be making the pattern of this slowdown different from previous cycles. Most past recessions have been led by consumers, who became cautious and stopped investing in housing and other big-ticket items. As the effects of weaker consumer spending were felt, companies gradually reduced capital spending. Inflation fears typically made the Federal Reserve slow to cut interest rates. This time, a rather sudden drop in demand for high-tech products raced quickly through the industrial sector. Many young technology companies that relied on rapid revenue growth for essential cash flow have had to cut back dramatically or cease operations altogether. The Fed has acted in a manner it has described as "rapid and forceful," with six cuts in interest rates totaling 275 basis points in the first half of 2001. Consumers, however, remain confident and willing to spend, most likely because unemployment remains relatively low, despite recent layoffs. Fueled in part by reductions in interest rates, the critical housing and auto sectors remain strong. The Conference Board's confidence index rose for the second consecutive month in June; reduced withholding and the upcoming tax refund checks should provide further impetus to consumer spending. Another positive influence is the drop in energy prices in recent months, driven by increased production and price-driven conservation measures. Low energy prices helped sustain the boom of the 1990s, and last year's surge added to the current slowdown. Now that market forces are again lowering energy prices, the effect on the economy should be positive. An important consideration for the U.S. economy and markets is the situation abroad. Economic news from Europe, Asia and Latin America is almost uniformly bad. The global influence of the United Sates extends far beyond our nation's 23% share of world gross domestic product, since the U.S. is a leading trading partner for most countries. Reduced import demand in the U.S. is a big factor in the slowdown in the rest of the world, and weaker foreign demand is a problem for beleaguered U.S. manufacturers. Steady appreciation in the dollar compounds the problem by making goods expensive for foreign buyers. An important unanswered question for gauging the likelihood of a speedy return to growth is how much of the current weakness is caused by a glut of inventory. If inventory is, in fact, the main problem, the oversupply should be largely resolved by the Fed's easing, which will encourage spending. But if there is a significant structural problem of excess capacity, any recovery that develops may be very gradual. While we all enjoyed the good times of the 1990s, realistic observers never expected the boom to continue indefinitely. As in recent years, we believe it is advisable to approach your variable life policy with a long-term perspective, and to take advantage of the many resources of the Northwestern Mutual Financial Network. The Northwestern Mutual Life Insurance Company JAMES A. ERICSON SIGNATURE Mason G. Ross, Executive Vice President and Chief Investment Officer [ROSS Photo] Letter to Policyowners 3 (This page intentionally left blank) 4 CONTENTS Letter to Policyowners Performance Summary for Separate Accounts 2 Economic Overview and Outlook 6 Series Fund Objectives and Schedule of Investments Small Cap Growth Stock Portfolio 7 Aggressive Growth Stock Portfolio 10 Franklin Templeton International Equity Portfolio 13 Index 400 Stock Portfolio 16 Growth Stock Portfolio 22 J.P. Morgan Select Growth and Income Stock Portfolio 25 Index 500 Stock Portfolio 28 Balanced Portfolio 35 High Yield Bond Portfolio 48 Select Bond Portfolio 54 Money Market Portfolio 60 Statements of Assets and Liabilities 64 Statements of Operations 66 Statements of Changes in Net Assets 68 Financial Highlights 74 Notes to Series Fund Financial Statements 80 Variable Life Account Financial Statements 83 Notes to Variable Life Account Financial Statements 92 Directors and Officers 96 The Russell Semi-Annual Report Starts After Page 96
There is a wealth of information about Variable CompLife available at the touch of a button. For the latest information about policy values and performance data, call the toll-free Northwestern Mutual Express line any time. 1-800-519-4665. Policyowners must provide a policy number plus a Personal Identification Number (PIN) to utilize this service. You can also visit us at our customer service section from our Web site for information on policy values, fund performance, and other information about Northwestern Mutual. www.northwesternmutual.com To sign up for this service please call 1-866-424-2609 between 7 a.m. - 6 p.m. Central Standard Time Monday - Friday. As always, your Financial Representative of the Northwestern Mutual Financial Network is available to answer any questions you have about your variable life policy or any of our products. Contents 5 PERFORMANCE SUMMARY AS OF JUNE 30, 2001
Variable Life -- Policies Issued Before October 11, 1995 FRANKLIN TEMPLETON SMALL CAP AGGRESSIVE INTERNATIONAL TOTAL RETURN GROWTH STOCK GROWTH EQUITY (AS OF 6/30/2001) DIVISION STK. DIVISION DIVISION - ---------------------------------------------------------------------- 1 year.................. (28.72)% (33.80)% (26.80)% 5 years................. - 29.51% 15.75% Annualized............. - 5.31% 2.97% 10 years................ - - - Annualized............. - - - Since division inception in Variable Life Account................ 32.44%@@ 120.64%* 42.71%# Annualized............. 15.08% 11.69% 5.09% Since portfolio inception++............ 59.93%@@ 309.54%* 76.25% Annualized............. 24.19% 15.14% 7.18% Current Yield###....... Variable Complife -- Policies Issued On or After October 11, 1995** Without Surrender - ---------------------------------------------------------------------- 1 year.................. (23.10)% (28.59)% (21.04)% 5 years................. - 40.28% 25.37% Annualized............. - 7.00% 4.63% 10 years................ - - - Annualized............. - - - Since division inception in Variable Life Account................ 43.01%@@ 139.51%* 54.92%# Annualized............. 19.59% 12.98% 6.30% Since portfolio inception++............ 72.69%@@ 278.41%* 91.53% Annualized............. 28.67% 14.23% 8.28% Current Yield###....... Variable Complife -- Policies Issued On or After October 11, 1995** With Surrender Charge - ---------------------------------------------------------------------- 1 year.................. (62.88)% (68.37)% (60.82)% 5 years................. - (7.63)% (22.54)% Annualized............. - (1.57)% (4.98)% 10 years................ - - - Annualized............. - - - Since division inception in Variable Life Account................ 1.20%@@ 95.28%* 10.69%# Annualized............. 0.60% 9.94% 1.66% Since portfolio inception++............ 30.88%@@ 239.69%* 49.14% Annualized............. 13.22% 13.01% 5.02% Current Yield###....... Variable Life -- Policies Issued Before October 11, 1995 J.P MORGAN SELECT GROWTH & INDEX 400 GROWTH INCOME INDEX 500 TOTAL RETURN STOCK STOCK STOCK STOCK BALANCED (AS OF 6/30/2001) DIVISION DIVISION DIVISION DIVISION DIVISION - ------------------------ -------------------------------------------------------------------- 1 year.................. (13.47)% (32.02)% (26.28)% (31.04)% (22.34)% 5 years................. - 51.54% 36.16% 54.50% 33.12% Annualized............. - 8.67% 6.37% 9.09% 5.89% 10 years................ - - - 194.20%! 121.90% Annualized............. - - - 11.39% 8.30% Since division inception in Variable Life Account................ 0.86%@@ 119.34%## 89.08%## - - Annualized............. 0.43% 11.60% 9.31% - - Since portfolio inception++............ 6.29%@@ - - - - Annualized............. 2.85% - - - - Current Yield###....... Variable Complife -- Policies Issued On or After October 11, 1995** Without Surrender - ------------------------ 1 year.................. (6.66)% (26.66)% (20.48)% (25.61)% (16.23)% 5 years................. - 64.14% 47.49% 67.35% 44.20% Annualized............. - 10.42% 8.08% 10.85% 7.59% 10 years................ - - - 220.29%! 141.59% Annualized............. - - - 12.35% 9.22% Since division inception in Variable Life Account................ 8.92%@@ 138.10%## 105.27%## - - Annualized............. 4.36% 12.88% 10.57% - - Since portfolio inception++............ 14.74%@@ - - - - Annualized............. 6.55% - - - - Current Yield###....... Variable Complife -- Policies Issued On or After October 11, 1995** With Surrender Charge - ------------------------ 1 year.................. (46.44)% (66.44)% (60.26)% (65.39)% (56.01)% 5 years................. - 16.23% (0.42)% 19.44% (3.71)% Annualized............. - 3.05% (0.08)% 3.62% (0.75)% 10 years................ - - - 181.58%@@ 102.88% Annualized............. - - - 10.91% 7.33% Since division inception in Variable Life Account................ (30.86)%@@ 93.87%## 61.04%## - - Annualized............. (18.08)% 9.83% 7.05% - - Since portfolio inception++............ (27.07)%@@ - - - - Annualized............. (13.56)% - - - - Current Yield###.......
All total return figures shown above reflect all portfolio expenses, mortality and expense risk charges and all deductions taken from premiums. Returns do not include cost of insurance charges. These charges effectively reduce the dollar amount of any net gains and increase the dollar amount of any net losses. Premium deductions for Variable Life policies are reflected as 18.95% of premium based on average charges during the first ten policy years for a Variable Whole Life policy with a policy size of $100,000 and an annual premium of $1,536 for a male, age 35, select risk. Premium deductions for Variable CompLife policies are reflected as 12.65%. The premium deductions and surrender charges for Variable CompLife policies are based on an assumed average contract size of $200,000 of Variable Whole Life amount, $0 of Additional Protection and an annual premium of $2,610 for a male, age 35, select risk. Assumes annual premiums are paid in renewal years; if not, then a portion of the deductions to be taken from renewal premiums will be deducted from the account assets, reducing the rate of return. Performance data represents past results and is not a guarantee of future results. Future value will fluctuate, so that an investors shares, when redeemed, may be worth more or less than their original cost. !On April 30, 1993, the Index 500 Stock Portfolio was indexed to approximate the performance of the Standard and Poor's 500 Composite Stock Price Index. Before then, the Portfolio was actively managed. #Inception date of this division in the Variable Life Account was 5/3/94. Actual portfolio inception was 4/30/93. Performance quoted prior to 4/30/93 is based on actual investment experience, adjusted for expenses of the product and premium charges. These returns are not a guarantee of future performance. ##Inception date of 5/3/94. ++Returns stated are as of the inception date of the portfolio which precedes availability in the Variable Life Account. See the following footnotes for portfolio inception dates. *Inception date of this division in the Variable Life Account was 5/3/94. Actual fund inception was 11/30/1990. Performance quoted prior to 11/30/1990 is based on actual investment experience, adjusted for expenses of the product and premium charges. **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 and premium charges. @@Inception date of this division in the Variable Life Account was 6/30/99. Actual fund inception was 4/30/99. Performance quoted prior to 6/30/99 is based on actual investment experience, adjusted for expenses of the product and premium charges. +Inception date of this division in the Variable Life Account was 6/30/99. Actual fund inception was 1/2/97. Performance quoted prior to 6/30/99 is based on actual investment experience, adjusted for expenses of the product and premium charges. ###For the seven-day period ended June 30, 2001, the Money Market Portfolio's yield was 3.50% and was equivalent to a compound effective yield of 3.56%. The seven-day yield does not include deductions that are included in the separate accounts. The yield quotation more closely reflects the current earnings of the Money Market Portfolio than the total return quotation. Note: "Standard and Poor's 500", "S&P 500" and "S&P 400" 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. Performance Summary 2 6
RUSSELL RUSSELL RUSSELL HIGH YIELD SELECT MONEY MULTI-STYLE AGGRESSIVE RUSSELL RUSSELL REAL ESTATE BOND BOND MARKET EQUITY EQUITY NON-U.S. CORE BOND SECURITIES DIVISION DIVISION DIVISION DIVISION+ DIVISION+ DIVISION+ DIVISION+ DIVISION - ----------------------------------------------------------------------------------------------------------------------- (13.51)% (9.50)% (14.86)% (32.68)% (22.84)% (38.06)% (12.24)% (2.45)% (0.34)% 10.15% 2.22% - - - - - (0.07)% 1.95% 0.44% - - - - - - 63.08% 21.87% - - - - - - 5.01% 2.00% - - - - - 26.00%## - - (33.19)% (16.80)% (26.94)% (9.19)% 2.03%@@ 3.28% - - (18.27)% (8.78)% (14.52)% (4.70)% 1.01% - - - 21.78% 12.69% (12.94)% 3.99% 0.39%@@ - - - 4.49% 2.70% (3.04)% 0.87% 0.18% 3.50% - --------------------------------------------------------------------------------------------------------------------------- (11.97)% (2.38)% (8.15)% (27.37)% (16.77)% (33.18)% (5.34)% 5.23% 7.93% 19.30% 10.72% - - - - - 1.54% 3.59% 2.05% - - - - - - 77.55% 32.68% - - - - - - 5.91% 2.84% - - - - - 36.77%## - - (27.37)% (10.15)% (21.11)% (1.94)% 10.18%@@ 4.47% - - (15.07)% (5.21)% (11.18)% (0.97)% 4.96% - - - 31.83% 22.00% (5.74)% 12.58% 8.42%@@ - - - 6.35% 4.53% (1.31)% 2.67% 3.80% 3.50% - --------------------------------------------------------------------------------------------------------------------------- (51.75)% (42.16)% (47.93)% (67.15)% (56.55)% (72.96)% (45.12)% (34.55)% (39.97)% (28.61)% (37.19)% - - - - - (9.70)% (6.52)% (8.89)% - - - - - - 38.84% (6.03)% - - - - - - 3.34% (0.66)% - - - - - (7.46)%* - - (67.15)% (49.93)% (60.89)% (41.71)% (29.60)%@@ (0.80)%## - - (44.93)% (30.69)% (39.11)% (25.00)% (17.32)% - - - (14.04)% (23.88)% (51.62)% (33.29)% (33.40)%@@ - - - (3.31)% (5.90)% (14.93)% (8.62)% (17.10)% 3.50%
3 Performance Summary 7 PERFORMANCE SUMMARY AS OF JUNE 30, 2001
Variable Executive Life -- Policies First Offered on March 2, 1998*** Without Surrender Charge FRANKLIN TEMPLETON TOTAL RETURN SMALL CAP AGGRESSIVE INTERNATIONAL INDEX 400 GROWTH WITH SURRENDER GROWTH STOCK GROWTH STK. EQUITY STOCK STOCK (AS OF 6/30/2001) PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO - -------------------------------------------------------------------------------------------- 1 year.................. -28.91% -34.32% -27.33% -14.03% -32.54% 5 years................. - 22.13% -7.23% - 14.42% Annualized............. - 4.08% -1.49% - 2.73% 10 years................ - - - - - Annualized............. - - - - - Since division inception in Variable Life Account................ 7.62%@@ 99.70%* 24.24%** -2.94%@@ 94.48%# Annualized............. 3.74% 9.03% 2.75% -1.48% 8.67% Since portfolio inception++............ 32.12%@@ 225.89%* 48.61% -5.07%@@ - Annualized............. 9.73% 12.54% 4.50% -1.72% - Current Yield###........ Variable Executive Life -- Policies First Offered on March 2, 1998*** With Surrender Charge - -------------------------------------------------------------------------------------------- 1 year.................. -13.91% -19.32% -12.33% 0.97% -17.54% 5 years................. - 22.13% -7.23% - 14.42% Annualized............. - 4.08% -1.49% - 2.73% 10 years................ - - - - - Annualized............. - - - - - Since division inception in Variable Life Account................ 17.48%@@ 99.70%* 24.24%** 6.77%@@ 94.48%# Annualized............. 8.39% 9.03% 2.75% 3.33% 8.67% Since portfolio inception++............ 41.44%@@ 225.89%* 48.61% 3.06%@@ - Annualized............. 12.25% 12.54% 4.50% 1.01% - Current Yield###....... Variable Joint Life -- Policies First Offered on December 28, 1998**** Without Surrender Charge - -------------------------------------------------------------------------------------------- 1 year.................. -33.75% -39.24% -32.15% -18.60% -37.43% 5 years................. - -0.40% -25.00% - -5.33% Annualized............. - -0.08% -5.59% - -1.09% 10 years................ - - - - - Annualized............. - - - - - Since division inception in Variable Life Account................ -2.23%@@ 58.90%* -4.70%** -14.99%@@ 54.99%# Annualized............. -1.12% 5.96% -0.60% -7.80% 5.63% Since portfolio inception++............ 17.69%@@ 168.48%* 15.05% -21.37%@@ - Annualized............. 5.58% 10.38% 1.57% -7.70% - Current Yield###....... Variable Joint Life -- Policies First Offered on December 28, 1998**** With Surrender Charge - -------------------------------------------------------------------------------------------- 1 year.................. -83.75% -89.24% -82.15% -68.60% -87.43% 5 years................. - -9.52% -33.41% - -14.35% Annualized............. - -1.98% -7.81% - -3.05% 10 years................ - - - - - Annualized............. - - - - - Since division inception in Variable Life Account................ -30.91%@@ 53.93%* -8.84%** -42.83%@@ 50.01%# Annualized............. -16.88% 5.54% -1.15% -24.39% 5.20% Since portfolio inception++............ -19.36%@@ 168.48%* 12.53% -51.85%@@ - Annualized............. -6.92% 10.38% 1.32% -21.62% - Current Yield###....... Variable Executive Life -- Policies First Offered on March 2, 1998*** Without Surrender Charge J.P MORGAN SELECT GROWTH & TOTAL RETURN INCOME INDEX 500 WITH SURRENDER STOCK STOCK BALANCED (AS OF 6/30/2001) PORTFOLIO PORTFOLIO PORTFOLIO - ------------------------ ---------------------------------------------- 1 year.................. -26.82% -31.56% -22.88% 5 years................. -0.05% 12.32% 10.46% Annualized............. -0.01% 2.35% 2.01% 10 years................ - 194.61%@@ 116.29% Annualized............. - 11.41% 8.02% Since division inception in Variable Life Account................ 58.07%# - - Annualized............. 5.89% - - Since portfolio inception++............ - - - - Annualized............. - - - Current Yield###........ Variable Executive Life -- Policies First Offered on March 2, 1998*** With Surrender Charge - ------------------------ 1 year.................. -11.82% -16.56% -7.88% 5 years................. -0.05% 12.32% 10.46% Annualized............. -0.01% 2.35% 2.01% 10 years................ - 194.61%@@ 116.29% Annualized............. - 11.41% 8.02% Since division inception in Variable Life Account................ 58.07%# - - Annualized............. 5.89% - - Since portfolio inception++............ - - - Annualized............. - - - Current Yield###....... Variable Joint Life -- Policies First Offered on December 28, 1998**** Without Surrender Charge - ------------------------ 1 year.................. -31.62% -36.44% -27.62% 5 years................. -17.99% -6.85% -9.65% Annualized............. -3.89% -1.41% -2.01% 10 years................ - 140.90%@@ 73.26% Annualized............. - 9.19% 5.65% Since division inception in Variable Life Account................ 24.33%# - - Annualized............. 2.76% - - Since portfolio inception++............ - - - Annualized............. - - - Current Yield###....... Variable Joint Life -- Policies First Offered on December 28, 1998**** With Surrender Charge - ------------------------ 1 year.................. -81.62% -86.44% -77.62% 5 years................. -26.61% -15.84% -18.55% Annualized............. -6.00% -3.39% -4.02% 10 years................ - 140.90%@@ 73.26% Annualized............. - 9.19% 5.65% Since division inception in Variable Life Account................ 19.76%# - - Annualized............. 2.28% - - Since portfolio inception++............ - - - Annualized............. - - - Current Yield###.......
All total return figures shown above reflect all portfolio expenses, mortality and expense risk charges and all deductions taken from premiums. Returns do not include cost of insurance charges. These charges effectively reduce the dollar amount of any net gains and increase the dollar amount of any net losses. Premium deductions for Variable Executive Life policies are comprised of 3.6% for state premium tax and federal tax and 15% for sales costs. Returns also reflect the annual administrative charge of 0.36% in policy year 1 and 0.12% in all other policy years. The charges against Policy Value assume an average Specified Amount of $500,000, Death Benefit Option A, and an annual premium of $10,000 for a sex-neutral, age 45, guaranteed issue non-tobacco risk. Total returns with surrender for Variable Executive Life policies are based on the same policy assumptions as premium deductions. They include a cash value increase equal to a portion of the sales load previously deducted, which is only applicable for the first two years. Premium deductions for the Variable Joint Life insurance policies are comprised of 3.6% for state premium tax and federal tax and 6.4% for sales costs. Returns also reflect Policy Value charges such as underwriting and issue charge of 0.22%, the deferred sales charge of 0.69% and the annual administrative charge of 0.02%. The charges against Policy Value assume an average Specified Amount of $3,000,000, Death Benefit Option A, and an annual premium of $55,740 for an age 55 male select/age 55 female select risk. Surrender charges are deducted from the policy proceeds upon surrender of the policy during the first 10 policy years (year 1, 50% of the paid premium, years 2-10, charge decreases by the same dollar amount month by month to zero at the end of the 10th year). Performance data reflects past results and is not a guarantee of future results. Future value will fluctuate so that an investors shares, when redeemed, may be worth more or less than their original cost. !On April 30, 1993, the Index 500 Stock Portfolio was indexed to approximate the performance of the Standard and Poor's 500 Composite Stock Price Index. Before then, the Portfolio was actively managed. ++Returns stated are as of the inception date of the portfolio which precedes availability in the Variable Life Account. See the following footnotes for portfolio inception dates. *Inception date of this division in the Variable Life Account was 5/3/94. Actual fund inception was 11/30/1990. Performance quoted prior to 5/3/94 is based on actual investment experience, adjusted for expenses of the product and premium charges. **Inception date of this division in the Variable Life Account was 5/3/94. Actual portfolio inception was 4/30/93. Performance quoted prior to 5/3/94 is based on actual investment experience, adjusted for expenses of the product and premium charges. ***Product inception date of 3/2/98. (For use with non-tax qualified executive benefit plans.) Returns prior to 3/2/98 were reflected using the actual investment experience of each division adjusted for expenses of the product and premium charges. ****Product inception date of December 28, 1998 (For use primarily in estate planning, provides coverage on two insureds with a death benefit payable on the second death). Returns prior to 12/28/98 were reflected using the actual investment experience of each division adjusted for expenses of the product and premium charges. @@Inception date of this division in the Variable Life Account was 6/30/99. Actual fund inception was 4/30/99. Performance quoted prior to 6/30/99 is based on actual investment experience, adjusted for expenses of the product and premium charges. +Inception date of this division in the Variable Life Account was 6/30/99. Actual fund inception was 1/2/97. Performance quoted prior to 6/30/99 is based on actual investment experience, adjusted for expenses of the product and premium charges. #Inception date of 5/3/94. ###For the seven-day period ended June 30, 2001, the Money Market Portfolio's yield was 3.50% and was equivalent to a compound effective yield of 3.56%. The seven-day yield does not include deductions that are included in the separate accounts. The yield quotation more closely reflects the current earnings of the Money Market Portfolio than the total return quotation. Note: "Standard and Poor's 500" , "S&P 500" and "S&P 400" 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. Performance Summary 4 8
RUSSELL RUSSELL RUSSELL HIGH YIELD SELECT MONEY MULTI-STYLE AGGRESSIVE RUSSELL RUSSELL REAL ESTATE BOND BOND MARKET EQUITY EQUITY NON-U.S. CORE BOND SECURITIES PORTFOLIO PORTFOLIO PORTFOLIO FUND+ FUND+ FUND+ FUND+ FUND - ---------------------------------------------------------------------------------------------------------------------------- -18.95% -10.07% -15.41% -33.20% -23.38% -38.56% -12.81% -3.02% -17.09% 9.01% 1.26% - - - - - -3.68% 1.74% 0.25% - - - - - - 54.85% 27.76% - - - - - - 4.47% 2.48% - - - - - 2.51%# - - -38.17% -21.16% -37.95% -8.68% 5.93%@@ 0.31% - - -21.37% -11.21% -21.23% -4.44% 2.92% - - - -16.40% -10.57% -34.48% 0.70% 0.33%@@ - - - -3.52% -2.21% -8.11% 0.14% 0.11% 3.50% - ---------------------------------------------------------------------------------------------------------------------------- -3.95% 4.93% -0.41% -18.20% -8.38% -23.56% 2.19% 11.98% -17.09% 9.01% 1.26% - - - - - -3.68% 1.74% 0.25% - - - - - - 54.85% 27.76% - - - - - - 4.47% 2.48% - - - - - 2.51%# - - -29.15% -11.75% -28.94% 0.94% 15.78%@@ 0.31% - - -15.83% -6.06% -15.70% 0.47% 7.60% - - - -16.40% -10.57% -34.48% 0.70% 8.64%@@ - - - -3.52% -2.21% -8.11% 0.14% 2.80% 3.50% - ---------------------------------------------------------------------------------------------------------------------------- -23.61% -14.55% -20.01% -38.10% -28.13% -43.53% -17.35% -7.34% -33.80% -12.25% -18.93% - - - - - -7.92% -2.58% -4.11% - - - - - - 20.95% -2.08% - - - - - - 1.92% -0.21% - - - - - -22.40%# - - -47.76% -32.04% -46.91% -20.88% -7.46%@@ -3.12% - - -27.72% -17.56% -27.14% -11.05% -3.80% - - - -32.65% -28.66% -48.97% -20.52% -18.34%@@ - - - -7.60% -6.53% -12.59% -4.49% -6.53% 3.50% - ---------------------------------------------------------------------------------------------------------------------------- -73.61% -64.55% -70.01% -88.10% -78.13% -93.53% -67.35% -57.34% -41.90% -21.06% -27.54% - - - - - -10.29% -4.62% -6.24% - - - - - - 20.95% -2.08% - - - - - - 1.92% -0.21% - - - - - -26.28%# - - -72.44% -58.47% -71.70% -48.28% -35.82%@@ -3.74% - - -47.50% -35.56% -46.80% -28.08% -19.89% - - - -42.96% -39.19% -58.23% -31.51% -49.39%@@ - - - -10.62% -9.47% -16.02% -7.29% -20.31% 3.50%
5 Performance Summary 9 - -------------------------------------------------------------------------------- The Economy With a slowdown in the U.S. economy evident for almost a year, the prevailing question now is whether an actual recession will occur. The possibility of a recession raises the further questions of when it might begin and end, how severe it could be, and whether the subsequent recovery will be sharp or mild. A recession is traditionally defined as two consecutive quarters of negative growth in real GDP (gross domestic product). Since the growth numbers calculated by the U.S. Department of Commerce are typically revised several times after their initial release, it is entirely possible that it will be revealed later that a recession has already begun. At present, it appears that real growth was 1.2% in the first quarter of 2001. A survey of 54 economists conducted in June by The Wall Street Journal indicates that most believe the economy is currently growing at an annual rate well below 2%, but that growth will be above a 2% rate by the end of the year. Perhaps the most striking aspect of recent surveys is that each one conducted pushes the timing of a pick-up in growth a little further into the future. With few indications of strength beyond the consumer sector, an extended period of slow growth seems to be a distinct possibility. ECONOMIC GROWTH AND INFLATION [Economic Growth and Inflation Performance Graph]
REAL GDP CPI-U -------- ----- 91 -0.50 3.00 92 3.10 3.00 93 2.70 2.80 94 4.00 2.60 95 2.70 2.60 96 3.60 3.20 97 4.40 1.70 98 4.40 1.60 99 4.20 2.20 00 5.00 3.40
Source: U.S. Department of Commerce. Year-to-year percentage change in Real Gross Domestic Product is used for real economic growth. December-to-December percentage change in the Consumer Price Index -- Urban is used for the inflation rate. - -------------------------------------------------------------------------------- The Equity Market Equity markets were generally weak and volatile during the first half of 2001, but there were substantial differences between the first and second quarters and among the various sectors of the market. In the first quarter, extreme weakness in technology shares pulled the NASDAQ index down sharply, and the S&P 500(R) and other broad market averages were down as well. The second quarter saw recoveries in all the major market indices, with the NASDAQ particularly strong. Especially near the end of the period, prices of individual stocks and industry groups seemed to move up sharply at any hint of positive news, as investors on the sidelines of the market indicated eagerness to deploy cash. In the first quarter, value-oriented stocks performed better than growth stocks; growth-oriented sectors were generally stronger in the second quarter, but the domination of performance by a few large growth stocks that had prevailed in previous years was absent. In fact, a major difference between the first half of 2001 and the preceding periods was that small-cap and mid-cap stocks performed better than large-company shares. There are several possible reasons for this shift in market leadership. Perhaps it simply reflects a return to focus on value, after a period of extremely high valuations of some large growth stocks. The lesser exposure of small-company earnings to the weakness of foreign economies may be a factor. Or, if history is considered a predictor of the future, this market trend could be regarded as a hopeful sign that the market is emerging from a trough, since small-cap and mid-cap stocks have typically led the market in the early stages of a recovery. ANNUAL TOTAL RETURNS FROM S&P 500(R) INDEX [Annual Total Returns from S&P Performance Graph]
YEAR ENDED ---------- 92 13.40 93 13.60 94 1.30 95 25.90 96 25.90 97 34.60 98 30.00 99 22.70 00 7.30 01 -14.83
Source: Standard & Poor's - -------------------------------------------------------------------------------- The Bond Market As the Federal Reserve moved aggressively to cut short-term interest rates in the last six months, the bond market's yield curve (which depicts the relationship between short-term and long-term interest rates) became much steeper. The yield on two-year bonds, which is tied closely to short-term rates, is 90 basis points (or nine-tenths of a percentage point) lower than six months ago, while the yield on 30-year bonds is 25 basis points higher. The higher yield on long-term bonds reflects concern that the Fed's easing will succeed in stimulating the economy, increasing the risk of inflation. Another distinguishing feature of the bond market during the first six months of 2001 was a significant tightening of the spread (difference in yield) between corporate and U.S. Treasury bonds. The result was that corporate bonds achieved their best six-month performance relative to Treasury bonds in many years. Easier monetary policy created significant liquidity in the market, and much of the new money was used to purchase corporate bonds, which were relatively cheap at the beginning of 2001. Demand for bonds has been further enhanced as the weak and volatile stock market has caused many investors to reallocate their assets, with a greater emphasis on bonds. ANNUAL TOTAL RETURNS FROM MERRILL LYNCH DOMESTIC MASTER INDEX [Annual Total Returns from Merrill Lynch]
YEAR ENDED ---------- 92 14.10 93 11.90 94 -1.00 95 12.60 96 5.00 97 8.20 98 10.70 99 3.10 00 4.60 01 11.10
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. Economic Overview and Outlook 6 10
Objective: Portfolio Strategy: Net Assets: Maximum long-term appreciation Strive for the highest possible rate of capital $287.57 of capital appreciation by investing in companies with million potential for rapid growth.
SMALL CAP GROWTH STOCK PORTFOLIO The Small Cap Growth Stock Portfolio owns the stocks of emerging growth companies, with the objective of maintaining a median market capitalization of $1 billion. The range of market capitalization is generally between $200 million and $3 billion. The investment process involves detailed studies of individual companies. Factors evaluated include the growth rates of revenues and earnings, opportunities for margin expansion, financial strength, and quality of management. 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 last 12 months have been a difficult time for small cap growth funds, which have suffered from the extreme weakness in the technology sector. Although this portfolio has been highly diversified since its inception, it has underperformed the two indices that serve as its benchmarks, in part because it includes fewer utility and bank stocks than the indices. In the current uncertain market environment, the Portfolio is even more diversified than usual, with 74 holdings spread across many different industry groups. Like the Portfolio itself, the best performing stocks were spread among many industry groups. These included THQ, which develops software for popular electronic game devices; Hotel Reservations Network; Renaissance Learning, a leading provider of learning information systems for primary and secondary schools; and Westwood One, which provides news, sports, weather, and other local content to radio and television stations. Several holdings in the retail, health care and retail industries performed well, as did regional airlines. A formerly large position in the energy industry has been scaled back, with profits taken through opportunistic sales. The primary focus remains on selection of quality stocks with good growth prospects and the financial strength to withstand a period of economic uncertainty. The current weakness in many sectors of the economy is creating some opportunities to buy quality growth stocks at attractive discounts to their inherent value. SECTOR ALLOCATION 6/30/2001 [SECTOR ALLOCATION PIE CHART]
CONSUMER HEALTH INFORMATION DISCRETIONARY ENERGY FINANCIALS CARE INDUSTRIALS TECHNOLOGY MATERIALS UTILITIES ------------- ------ ---------- ------ ----------- ----------- --------- --------- Sector Allocation 13.00 5.00 4.00 17.00 18.00 22.00 3.00 2.00 RUSSELL 2000 SHORT- INDEX TERM FUTURES INVESTMENTS ------- ----------- Sector Allocation 10.00 6.00
The Small Cap Growth Stock Portfolio's investment in Initial Public Offerings (IPOs) had a significant impact on its since inception performance. There can be no assurance that IPOs will continue to have a positive effect on the Portfolio's performance. TOP 10 EQUITY HOLDINGS 6/30/2001
SECURITY DESCRIPTION % OF TOTAL NET ASSETS ------------------------------------------------------------------------------------ Lincare Holdings, Inc. 3.4% ------------------------------------------------------------------------------------ O'Reilly Automotive, Inc. 3.2% ------------------------------------------------------------------------------------ Atlantic Coast Airlines Holdings, Inc. 3.0% ------------------------------------------------------------------------------------ Advent Software, Inc. 2.7% ------------------------------------------------------------------------------------ UTStarcom, Inc. 2.5% ------------------------------------------------------------------------------------ Patterson Dental Company 2.3% ------------------------------------------------------------------------------------ The Corporate Executive Board Company 2.1% ------------------------------------------------------------------------------------ Cambrex Corporation 2.0% ------------------------------------------------------------------------------------ Universal Health Services, Inc. -- Class B 2.0% ------------------------------------------------------------------------------------ Tetra Tech, Inc. 2.0%
PERFORMANCE RELATIVE TO THE RELEVANT INDICES [PERFORMANCE RELATIVE TO THE RELEVANT INDICES LINE GRAPH]
SMALL CAP STOCK PORTFOLIO S&P 600 INDEX RUSSELL 2000 INDEX ------------------------- ------------- ------------------ 4/99 10000.00 10000.00 10000.00 6/99 12090.00 10826.00 10605.00 6/00 22620.00 12384.00 12125.00 6/01 20033.00 13761.00 12815.00
- -------------------------------------------------- Average Annual Total Return For Periods Ended June 30, 2001 Since 1 Year Inception# - -------------------------------------------------- Small Cap Stock Portfolio -11.44% 37.80% S&P 600 Index 11.12% 15.87% Russell 2000 Index 5.69% 12.12% - -------------------------------------------------- # Inception date of 4/30/1999
Since the Portfolio invests primarily in small capitalization issues, the indices that best reflect the Portfolio's performance are the Standard & Poor's (S&P) SmallCap 600 Index and Russell 2000 Index. The Standard & Poor's SmallCap 600 Index is an unmanaged index of 600 selected common stocks of smaller U.S.-based companies compiled by Standard & Poor's Corporation. As of June 30, 2001, the 600 companies in the composite had median market capitalization of $500 million and $369 billion. The SmallCap 600 represents approximately 2% of the market value of S&P's database of over 10,000 equities. The Russell 2000 Index measures the performance of the 2,000 smallest companies in the Russell 3000 Index. The Russell 3000 Index measures the performance of the 3,000 largest US companies based on total market capitalization. These 3000 companies represent approximately 98% of the investable US equity market. As of June 30, 2001, the average market capitalization of companies in the Russell 3000 was $4.4 billion; the median market capitalization was $701.7 million. Market capitalization of companies in the Index ranged from $407.2 billion to $178.2 million. The Russell 2000 Index represents approximately 8% of the total market capitalization of the Russell 3000. As of June 30, 2001, the average market capitalization of companies in the Russell 2000 was approximately $526 million; the median market capitalization was approximately $428 million. The largest company in the index had a total market capitalization of approximately $1.3 billion. This chart assumes an initial investment of $10,000 made on 4/30/99 (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. Total returns shown on page 2 reflect mortality and expense risk charges and premium 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 returns significantly lower. Investors are urged to obtain a personalized illustration of historical performance which reflects the cost of insurance protection. 7 Small Cap Growth Stock Portfolio 11 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments June 30, 2001 (unaudited)
MARKET SHARES/ VALUE COMMON STOCK (84.3%) PAR (000'S) ----------------------------------------------------------- CONSUMER DISCRETIONARY (12.9%) *BRIAZZ, Inc. 82,500 $ 226 *Catalina Marketing Corporation 85,600 2,612 *Coach, Inc. 125,800 4,787 *Dollar Tree Stores, Inc. 97,100 2,674 *Getty Images, Inc. 62,400 1,638 *The Gymboree Corporation 201,000 1,648 *O'Reilly Automotive, Inc. 319,200 9,177 *Orient-Express Hotels, Ltd. - Class A 119,400 2,633 *Palm Harbor Homes, Inc. 73,700 1,621 *Peet's Coffee & Tea, Inc. 88,300 726 The Talbots, Inc. 51,600 2,258 *Tommy Hilfiger Corporation 219,000 3,066 *Westwood One, Inc. 109,100 4,020 --------- TOTAL 37,086 --------- ENERGY (4.5%) *Cal Dive International, Inc. 111,200 2,669 *Energy Partners, Ltd. 175,000 2,347 *Global Industries, Ltd. 336,900 4,416 *Grant Prideco, Inc. 206,800 3,617 --------- TOTAL 13,049 --------- FINANCIALS (4.2%) Investors Financial Services Corp. 52,900 3,567 *The Phoenix Companies, Inc. 33,500 623 Radian Group, Inc. 106,700 4,315 Waddell & Reed Financial, Inc. - Class A 112,050 3,558 --------- TOTAL 12,063 --------- HEALTH CARE (17.3%) *Accredo Health, Incorporated 61,500 2,229 *Apogent Technologies, Inc. 129,700 3,191 *CIMA Labs, Inc. 52,500 3,998 *Davita, Inc. 109,600 2,228 *Lincare Holdings, Inc. 298,600 9,711 *Patterson Dental Company 190,100 6,511 *Priority Healthcare Corporation - Class B 72,000 2,016 *Province Healthcare Company 156,650 5,530 *Renal Care Group, Inc. 127,100 3,902 *Sybron Dental Specialties, Inc. 60,966 1,249 *Universal Health Services, Inc. - Class B 127,500 5,801 *Vascular Solutions, Inc. 212,800 1,760 *Ventana Medical Systems, Inc. 51,800 1,632 --------- TOTAL 49,758 ---------
MARKET SHARES/ VALUE COMMON STOCK (84.3%) PAR (000'S) ----------------------------------------------------------- INDUSTRIALS (18.5%) *Atlantic Coast Airlines Holdings, Inc. 312,600 $ 8,553 C.H. Robinson Worldwide, Inc. 134,100 3,759 *CDW Computer Centers, Inc. 54,800 2,118 *Charles River Associates Incorporated 67,100 1,201 *The Corporate Executive Board Company 147,000 6,143 Federal Signal Corporation 202,800 4,760 *Fisher Scientific International, Inc. 63,500 1,842 *MCSi, Inc. 86,100 1,287 *MKS Instruments, Inc. 86,000 2,418 *Plexus Corp. 99,000 3,131 *Power-One, Inc. 62,200 1,024 *Resources Connection, Inc. 183,800 4,371 SkyWest, Inc. 140,500 3,861 *Tetra Tech, Inc. 212,100 5,693 *Triumph Group, Inc. 59,700 2,925 --------- TOTAL 53,086 --------- INFORMATION TECHNOLOGY (21.9%) *Advent Software, Inc. 120,600 7,808 *AirGate PCS, Inc. 40,900 1,952 *Aspen Technology, Inc. 122,300 2,917 *BARRA, Inc. 59,950 2,566 *EPIQ Systems, Inc. 54,200 1,295 *Forrester Research, Inc. 114,100 2,574 *Hotel Reservations Network, Inc. - Class A 94,700 4,688 *Inet Technologies, Inc. 108,400 915 *Inforte Corp. 175,200 2,146 *Luminent, Inc. 41,100 171 *MIPS Technologies, Inc. - Class A 82,900 1,198 *PRI Automation, Inc. 223,600 4,011 *Renaissance Learning, Inc. 64,800 3,305 *Semtech Corporation 109,300 3,454 *SmartForce Public Limited Company, ADR 116,800 4,129 *TESSCO Technologies Incorporated 175,300 2,466 *THQ, Inc. 76,600 4,677 *Tollgrade Communications, Inc. 45,800 1,326 *Universal Access, Inc. 198,900 933 *UTStarcom, Inc. 301,100 7,302 *Varian, Inc. 106,300 3,405 --------- TOTAL 63,238 --------- MATERIALS (3.2%) *Airgas, Inc. 165,100 1,965 Cambrex Corporation 115,200 5,826 Minerals Technologies, Inc. 32,400 1,391 --------- TOTAL 9,182 ---------
Small Cap Growth Stock Portfolio 8 12
MARKET SHARES/ VALUE COMMON STOCK (84.3%) PAR (000'S) ----------------------------------------------------------- UTILITIES (1.8%) *Orion Power Holdings, Inc. 213,200 $ 5,076 --------- TOTAL 5,076 --------- TOTAL COMMON STOCK (COST $223,280) 242,538 --------- MONEY MARKET INVESTMENTS (15.3%) ----------------------------------------------------------- ELECTRICAL EQUIPMENT & SUPPLIES (1.5%) #General Electric Capital Corporation, 4.10%, 7/2/01 4,400,000 4,399 --------- TOTAL 4,399 --------- FEDERAL GOVERNMENT AND AGENCIES (1.6%) #Federal Home Loan Mortgage Corporation, 3.71%, 9/14/01 4,500,000 4,466 --------- TOTAL 4,466 --------- FINANCE SERVICES (1.7%) #Citicorp, 3.85%, 7/17/01 5,000,000 4,991 --------- TOTAL 4,991 --------- NEWSPAPERS (1.7%) #Gannet Company, Inc., 3.90%, 7/13/01 5,000,000 4,993 --------- TOTAL 4,993 --------- PERSONAL CREDIT INSTITUTIONS (3.6%) #CXC Incorporated, 3.98%, 7/9/01 5,000,000 4,995 #Ford Motor Credit Co., 3.91%, 7/6/01 5,000,000 4,997 --------- TOTAL 9,992 --------- SECURITY BROKERS AND DEALERS (1.7%) #Salomon Smith Barney Holdings, Inc., 3.78%, 7/27/01 5,000,000 4,986 --------- TOTAL 4,986 --------- SHORT TERM BUSINESS CREDIT (1.7%) #Transamerica Financial Corporation, 4.00%, 7/10/01 5,000,000 4,994 --------- TOTAL 4,994 ---------
MARKET SHARES/ VALUE MONEY MARKET INVESTMENTS (15.3%) PAR (000'S) ----------------------------------------------------------- UTILITY - ELECTRIC (1.8%) #National Rural Utility, 3.90%, 7/23/01 5,200,000 $ 5,187 --------- TOTAL 5,187 --------- TOTAL MONEY MARKET INVESTMENTS (COST $44,008) 44,008 TOTAL INVESTMENTS (99.6%) (COST $267,288)! 286,546 --------- OTHER ASSETS, LESS LIABILITIES (0.4%) 1,025 --------- TOTAL NET ASSETS (100.0%) $ 287,571 ========= -----------------------------------------------------------
! At 6/30/2001 the aggregate cost of securities for federal tax purposes was $267,288 and the net unrealized appreciation of investments based on that cost was $19,258 which is comprised of $43,892 aggregate gross unrealized appreciation and $24,634 aggregate gross unrealized depreciation. * Non-Income Producing ADR - American Depository Receipt # All or a portion of the securities have been committed as collateral for open futures positions. Information regarding open futures contracts as of period end is summarized below.
UNREALIZED APPRECIATION/ NUMBER OF EXPIRATION (DEPRECIATION) ISSUERS CONTRACTS DATE (000'S) - -------------------------------------------------------------- Russell 2000 108 Sep-01 $(59) (Total Notional Value at 6/30/2001, $27,734)
The Accompanying Notes are an Integral Part of the Financial Statements 9 Small Cap Growth Stock Portfolio 13
Objective: Portfolio Strategy: Net Assets: Maximum long-term appreciation of Strive for the highest possible rate of capital $1.52 capital appreciation by investing in companies with billion potential for rapid growth.
AGGRESSIVE GROWTH STOCK PORTFOLIO The Aggressive Growth Stock Portfolio owns the stocks of emerging growth companies with market capitalizations generally in the range of $1 billion to $10 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 Fund 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 Aggressive Growth Stock portfolio has underperformed its major benchmark, the S&P 400 Index(R), over the last 12 months, largely because of its holdings in the information technology sector, where stock prices have dropped precipitously after several years of outstanding performance. The concentration in this area has been reduced substantially, with holdings in less promising companies eliminated; most technology holdings are now more defensive issues such as Microchip Technology, whose products include high-performance RISC microcontrollers and power and thermal management devices; and Electronic Arts, Inc., the leading U.S. publisher of video games. A formerly large position in energy has also been reduced, in part by the buyout of Tosco Corporation by Phillips Petroleum, which contributed to performance; other underperforming energy holdings have been eliminated. The Portfolio continues to have a solid position in retailers, including Kohl's and Abercrombie & Fitch, and in drug companies such as Elan Corporation and Shire Pharmaceuticals. A larger than usual cash position at the end of June will make it possible to take advantage of future opportunities among mid-cap growth companies. SECTOR ALLOCATION 6/30/2001 [SECTOR ALLOCATION PIE CHART]
CONSUMER HEALTH INFORMATION DISCRETIONARY ENERGY FINANCIALS CARE INDUSTRIALS/MATERIALS TECHNOLOGY ------------- ------ ---------- ------ --------------------- ----------- Sector Allocation 13.00 5.00 8.00 18.00 18.00 23.00 S&P 400(R) TELECOMMUNICATION INDEX SHORT-TERM SERVICES FUTURES INVESTMENTS ----------------- ------- ----------- Sector Allocation 3.00 3.00 9.00
The since inception return for the Aggressive Growth Stock Portfolio coincides with a period of accelerated growth in the small-cap and mid-cap sectors of the stock market. There can be no assurance that this accelerated growth will continue to have a positive effect on the Portfolio's performance in the future. TOP 10 HOLDINGS 6/30/2001
Security Description % of Total Net Assets ------------------------------------------------------------------------------------ Patterson Dental Company 2.3% ------------------------------------------------------------------------------------ Biomet, Inc. 2.2% ------------------------------------------------------------------------------------ The Corporate Executive Board Company 2.2% ------------------------------------------------------------------------------------ Fiserv, Inc. 2.1% ------------------------------------------------------------------------------------ Health Management Associates, Inc. -- Class A 2.1% ------------------------------------------------------------------------------------ Dynegy, Inc. -- Class A 2.1% ------------------------------------------------------------------------------------ Kohl's Corporation 1.9% ------------------------------------------------------------------------------------ Microchip Technology Incorporated 1.9% ------------------------------------------------------------------------------------ Expeditors International of Washington, Inc. 1.8% ------------------------------------------------------------------------------------ Electronic Arts, Inc. 1.8% ------------------------------------------------------------------------------------
PERFORMANCE RELATIVE TO RELEVANT INDICES [PERFORMANCE RELATIVE TO RELEVANT INDICES PERFORMANCE GRAPH]
AGGRESSIVE GROWTH PORTFOLIO S&P 400 INDEX --------------------------- ------------- 6/91 10000.00 10000.00 6/92 11112.00 11710.00 6/93 13605.00 15045.00 6/94 15369.00 15036.00 6/95 19414.00 18395.00 6/96 27796.00 22367.00 6/97 29021.00 27582.00 6/98 34495.00 35071.00 6/99 37073.00 41093.00 6/00 55926.00 48074.00 6/01 45995.00 52340.00
- --------------------------------------------------------- Average Annual Total Return For Periods Ended June 30, 2001 1 Year 5 Years 10 Years - --------------------------------------------------------- Aggressive Growth Stock Portfolio -17.76% 10.60% 16.49% S&P 400 Index 8.87% 18.54% 18.00% - ---------------------------------------------------------
Since the Portfolio invests primarily in medium-capitalization (Mid Cap) issues, the index that best reflects the Portfolio's performance is the S&P MidCap 400 Index. This is a capitalization-weighted index that measures the performance of the mid-range sector of the U.S. stock market. As of June 30, 2001, the 400 companies in the composite had median market capitalization of $1.8 billion and a total market value of $869 billion. The MidCap 400 represents approximately 6% of the market value of S&P's database of over 10,000 equities. This chart assumes an initial investment of $10,000 made on 6/30/91. 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. Total returns shown on page 2 reflect mortality and expense risk charges and premium 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 returns significantly lower. Investors are urged to obtain a personalized illustration of historical performance which reflects the cost of insurance protection. Aggressive Growth Stock Portfolio 10 14 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments June 30, 2001 (unaudited)
MARKET SHARES/ VALUE COMMON STOCK (88.6%) PAR (000'S) ----------------------------------------------------------- CONSUMER DISCRETIONARY (13.2%) *Abercrombie & Fitch Co. - Class A 459,100 $ 20,430 *Catalina Marketing Corporation 343,900 10,492 *Dollar Tree Stores, Inc. 481,750 13,267 *Entercom Communications Corp. - Class A 349,400 18,731 *Gemstar-TV Guide International, Inc. 499,700 21,062 *Getty Images, Inc. 403,800 10,600 *Harrah's Entertainment, Inc. 330,800 11,677 *Hispanic Broadcasting Corporation - Class A 416,400 11,947 *Jones Apparel Group, Inc. 279,300 12,066 *Kohl's Corporation 464,700 29,151 *Lamar Advertising Company - Class A 431,025 19,892 *O'Reilly Automotive, Inc. 475,500 13,671 *Pixar, Inc. 177,200 7,462 ----------- TOTAL 200,448 ----------- ENERGY (5.0%) *BJ Services Company 194,700 5,526 *Cooper Cameron Corporation 268,500 14,982 *Grant Prideco, Inc. 836,525 14,631 *Nabors Industries, Inc. 64,300 2,392 *Reliant Resources, Inc. 177,900 4,394 Santa Fe International Corporation 571,301 16,568 *Weatherford International, Inc. 367,025 17,617 ----------- TOTAL 76,110 ----------- FINANCIALS (8.1%) ACE Limited 274,300 10,722 Investors Financial Services Corp. 376,600 25,390 *Knight Trading Group, Inc. - Class A 216,200 2,285 Old Republic International Corporation 900,700 26,120 Radian Group, Inc. 483,800 19,570 SouthTrust Corporation 757,400 19,647 UnumProvident Corporation 579,500 18,614 ----------- TOTAL 122,348 ----------- HEALTH CARE (17.9%) *AdvancePCS 211,100 13,323 *Apogent Technologies, Inc. 684,400 16,836 Biomet, Inc. 687,600 33,115 *Elan Corporation PLC, ADR 392,855 23,964 *Health Management Associates, Inc. - Class A 1,491,200 31,375 *King Pharmaceuticals, Inc. 461,700 24,816 *Lincare Holdings, Inc. 765,600 24,897 *MedImmune, Inc. 539,700 25,576 *Patterson Dental Company 1,013,450 34,712 *Province Healthcare Company 482,200 17,022 *Shire Pharmaceuticals Group PLC, ADR 464,300 25,931 ----------- TOTAL 271,567 -----------
MARKET SHARES/ VALUE COMMON STOCK (88.6%) PAR (000'S) ----------------------------------------------------------- INDUSTRIALS (16.5%) *CDW Computer Centers, Inc. 316,800 $ 12,244 Cintas Corporation 521,550 24,669 *Concord EFS, Inc. 452,825 25,295 *The Corporate Executive Board Company 778,300 32,524 Deere & Company 210,000 7,949 *Digital Lightwave, Inc. 214,000 7,674 Expeditors International of Washington, Inc. 440,400 27,076 *Fiserv, Inc. 506,850 31,643 IMS Health Incorporated 898,200 25,599 Paychex, Inc. 342,800 14,158 *Robert Half International, Inc. 339,700 8,455 *Tetra Tech, Inc. 968,778 26,002 *TMP Worldwide, Inc. 119,300 7,104 ----------- TOTAL 250,392 ----------- INFORMATION TECHNOLOGY (22.6%) *ADC Telecommunications, Inc. 1,347,900 9,287 *Applied Micro Circuits Corporation 170,982 3,032 *BEA Systems, Inc. 372,800 12,384 *Cadence Design Systems, Inc. 208,500 3,884 *CIENA Corporation 48,700 1,852 *Comverse Technology, Inc. 169,600 9,759 *Credence Systems Corporation 718,700 16,940 *DST Systems, Inc. 350,000 18,445 *Electronic Arts, Inc. 462,500 26,598 *Intuit, Inc. 360,900 14,090 *Jabil Circuit, Inc. 615,100 18,982 *Luminent, Inc. 55,600 231 *Macromedia, Inc. 300,100 5,402 *Micrel, Incorporated 431,700 12,964 *Microchip Technology Incorporated 875,350 28,116 *Network Appliance, Inc. 160,500 2,197 PerkinElmer, Inc. 439,400 12,097 *PMC-Sierra, Inc. 129,356 4,044 *PRI Automation, Inc. 496,700 8,911 *QLogic Corporation 264,300 16,957 *Rational Software Corporation 447,400 12,626 *RF Micro Devices, Inc. 164,400 4,348 *RSA Security, Inc. 481,450 14,935 *Sanmina Corporation 671,000 16,205 *Semtech Corporation 747,600 23,624 *Sycamore Networks, Inc. 186,000 1,641 *TIBCO Software, Inc. 538,000 7,424 *VeriSign, Inc. 262,600 15,210 *Vignette Corporation 1,052,684 9,253 *Waters Corporation 176,900 4,884 *Xilinx, Inc. 122,100 5,067 ----------- TOTAL 341,389 ----------- MATERIALS (0.7%) Sigma-Aldrich Corporation 262,500 10,602 ----------- TOTAL 10,602 -----------
11 Aggressive Growth Stock Portfolio 15
MARKET SHARES/ VALUE COMMON STOCK (88.6%) PAR (000'S) ----------------------------------------------------------- TELECOMMUNICATION SERVICES (2.6%) *American Tower Corporation - Class A 743,122 $ 15,361 *Crown Castle International Corp. 349,600 5,733 *McLeodUSA Incorporated - Class A 2,014,200 8,862 *Western Wireless Corporation - Class A 219,100 9,191 ----------- TOTAL 39,147 ----------- UTILITIES (2.0%) Dynegy Inc. - Class A 667,600 31,043 ----------- TOTAL 31,043 ----------- TOTAL COMMON STOCK (COST $1,196,146) 1,343,046 ----------- MONEY MARKET INVESTMENTS (10.9%) ----------------------------------------------------------- ASSET-BACKED SECURITIES (CMO'S) (1.3%) #Asset Securitization, 4%, 7/6/01 20,000,000 19,987 ----------- TOTAL 19,987 ----------- AUTO RELATED (2.7%) #Ford Motor Credit Co., 3.94%, 7/20/01 20,000,000 19,956 #General Motors Acceptance Corporation, 3.99%, 7/5/01 20,000,000 19,988 ----------- TOTAL 39,944 ----------- ELECTRICAL EQUIPMENT & SUPPLIES (0.0%) #General Electric Capital Corporation, 4.10%, 7/2/01 500,000 500 ----------- TOTAL 500 ----------- FEDERAL GOVERNMENT AND AGENCIES (0.4%) #Federal Home Loan Mortgage Corporation, 3.71%, 9/14/01 6,000,000 5,954 ----------- TOTAL 5,954 ----------- FINANCE LESSORS (1.3%) #Preferred Receivable Funding, 3.8%, 7/25/01 19,100,000 19,050 ----------- TOTAL 19,050 ----------- FINANCE SERVICES (1.3%) #Citicorp, 3.85%, 7/17/01 19,400,000 19,365 ----------- TOTAL 19,365 ----------- MISCELLANEOUS BUSINESS CREDIT INSTITUTIONS (1.3%) #Quincy Capital Corporation, 3.93%, 7/16/01 20,000,000 19,965 ----------- TOTAL 19,965 -----------
MARKET SHARES/ VALUE MONEY MARKET INVESTMENTS (10.9%) PAR (000'S) ------------------------------------------------------------ SECURITY BROKERS AND DEALERS (1.3%) #Salomon Smith Barney Holdings, Inc., 3.78%, 7/27/01 20,000,000 $ 19,943 ----------- TOTAL 19,943 ----------- SHORT TERM BUSINESS CREDIT (1.3%) #Transamerica Financial Corporation, 4.00%, 7/10/01 20,000,000 19,978 ----------- TOTAL 19,978 ----------- TOTAL MONEY MARKET INVESTMENTS (COST $164,685) 164,686 ----------- TOTAL INVESTMENTS (99.5%) (COST $1,360,831)! 1,507,732 ----------- OTHER ASSETS, LESS LIABILITIES (0.5%) 7,349 ----------- TOTAL NET ASSETS (100.0%) $ 1,515,081 =========== ------------------------------------------------------------
! At 6/30/2001 the aggregate cost of securities for federal tax purposes was $1,360,831 and the net unrealized appreciation of investments based on that cost was $146,901 which is comprised of $311,809 aggregate gross unrealized appreciation and $164,908 aggregate gross unrealized depreciation. * Non-Income Producing ADR - American Depository Receipt # All or a portion of the securities have been committed as collateral for open futures positions. Information regarding open futures contracts as of period end is summarized below.
UNREALIZED APPRECIATION NUMBER OF EXPIRATION (DEPRECIATION) ISSUERS CONTRACTS DATE (000'S) - ---------------------------------------------------------------- Midcap 400 145 Sep-01 $(1,098) (Total Notional Value at 6/30/2001, $38,980)
The Accompanying Notes are an Integral Part of the Financial Statements Aggressive Growth Stock Portfolio 12 16
Objective: Portfolio Strategy: Net Assets: Long-term appreciation of capital Participate in the growth of foreign economies by $773.76 through diversification into markets investing in securities with high long-term million outside the United States earnings potential relative to current market values.
FRANKLIN TEMPLETON INTERNATIONAL EQUITY PORTFOLIO The Franklin Templeton International Equity Portfolio offers contract owners the opportunity to participate in the growth of companies in countries throughout the world, excluding the United States, particularly those with expanding economies. In selecting investments, the principal focus is on identifying undervalued stocks of companies with strong finances and good long-term growth opportunities, rather than on choosing specific industries or regions of the world in which to invest. The Portfolio is normally fully invested in equity securities. The Portfolio's fundamental, value-driven management style has enabled it to outperform its major benchmark, the EAFE index, in recent months. However, total return was negative, as markets around the world continued their downward trend. The Portfolio benefited from its low exposure to the underperforming technology, media and telecommunications sectors. Despite the underweighting, sharp drops in prices of holdings including Telefonica and Alcatel adversely affected performance. As companies in these sectors have experienced continued weakness, the Portfolio's managers have followed their usual practice of seeking out undervalued quality companies with solid long-term prospects, such as Samsung Electronics in Korea, NEC in Japan and Cable & Wireless in the UK. Although European markets have been generally lackluster, some European holdings were among the Portfolio's best performers, including food retailer J. Sainsbury and building materials company Hanson, both headquartered in the U.K., and Wolters Kluwer, a Dutch media company. Asian markets were moderately positive, responding to signals of economic reform and political restructuring in Japan and Korea; performance of the Portfolio's Asian holdings was mixed. A major contributor to performance was Australia & New Zealand Banking Group, which moved up sharply during the second quarter. The Franklin Templeton International Equity Portfolio is managed for Northwestern Mutual by Templeton Investment Counsel, LLC. ASSET ALLOCATION 6/30/2001 [ASSET ALLOCATION PIE CHART]
CONTINENTAL UNITED LATIN AUSTRALIA/NEW NORTH MID- EUROPE KINGDOM AMERICA/CARIBBEAN ASIA ZEALAND AMERICA EAST/AFRICA ----------- ------- ----------------- ---- ------------- ------- ----------- Region 35.00 22.00 4.00 19.00 5.00 9.00 3.00 SHORT-TERM INVESTMENTS ----------- Region 3.00
TOP 10 HOLDINGS 6/30/2001
Company Country % of Net Assets ----------------------------------------------------------------------------------- Aventis S.A. France 2.3% ----------------------------------------------------------------------------------- Australia & New Zealand Banking Group LTD Australia 2.2% ----------------------------------------------------------------------------------- Hanson PLC United Kingdom 2.1% ----------------------------------------------------------------------------------- ING Groep NV Netherlands 2.0% ----------------------------------------------------------------------------------- Unilever PLC United Kingdom 2.0% ----------------------------------------------------------------------------------- Akzo Nobel NV Netherlands 1.9% ----------------------------------------------------------------------------------- Wolters Kluwer NV Netherlands 1.8% ----------------------------------------------------------------------------------- National Bank of Canada Canada 1.8% ----------------------------------------------------------------------------------- J. Sainsbury PLC United Kingdom 1.8% ----------------------------------------------------------------------------------- Stora Enso OYJ Finland 1.7%
PERFORMANCE RELATIVE TO THE EAFE INDEX [LINE GRAPH]
FRANKLIN TEMPLETON INTERNATIONAL EQUITY PORTFOLIO EAFE INDEX -------------------------------- ---------- 4/93 10000.00 10000.00 6/93 10118.00 10060.00 6/94 12155.00 11801.00 6/95 13487.00 12032.00 6/96 15569.00 13670.00 6/97 19751.00 15471.00 6/98 21822.00 16458.00 6/99 22715.00 17761.00 6/00 25321.00 20859.00 6/01 23027.00 15930.00
- --------------------------------------------------------------------------------- Average Annual Total Return For Periods Ended June 30, 2001 Since 1 Year 5 Years Inception# - --------------------------------------------------------------------------------- Franklin Templeton International Equity Portfolio - 9.06% 8.14% 10.75% EAFE Index -23.63% 3.11% 5.87% - --------------------------------------------------------------------------------- # Inception date of 4/30/1993
As depicted in the graph, the Franklin Templeton International Equity Portfolio is compared against the Morgan Stanley Capital International EAFE ("Europe-Australasia-Far East") Index. The index is composed of approximately 1100 companies in 20 countries in Europe and the Pacific Basin. The objective of the index is to reflect the movements of stock markets in these countries by representing an unmanaged (indexed) portfolio within each country. The index is 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. 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. Total returns shown on page 2 reflect mortality and expense risk charges and premium 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 returns significantly lower. Investors are urged to obtain a personalized illustration of historical performance which reflects the cost of insurance protection. Franklin Templeton International Equity Portfolio 13 17 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments June 30, 2001 (unaudited)
MARKET SHARES/ VALUE COMMON STOCK (95.2%) COUNTRY PAR (000'S) --------------------------------------------------------------- CONSUMER DISCRETIONARY (8.9%) Autoliv, Inc. Sweden 279,100 $ 4,823 Best Denki Co., Ltd. Japan 680,000 2,928 Koninklijke Philips Electronics N.V Netherlands 196,075 5,197 Marks & Spencer PLC United Kingdom 2,746,310 10,119 P & O Princess Cruises PLC United Kingdom 548,000 2,852 SONY CORPORATION Japan 135,200 8,889 United Business Media PLC United Kingdom 1,173,600 9,540 Valeo SA France 254,490 10,274 Wolters Kluwer NV Netherlands 532,000 14,299 --------- TOTAL 68,921 --------- CONSUMER STAPLES (3.8%) J. Sainsbury PLC United Kingdom 2,203,680 13,737 Unilever PLC United Kingdom 1,876,650 15,809 --------- TOTAL 29,546 --------- ENERGY (12.3%) *CNOOC Limited, ADR China 233,000 4,415 E.On AG Germany 194,210 10,095 Endesa S.A. Spain 716,170 11,422 ENI S.P.A Italy 730,275 8,902 EVN AG Austria 64,500 2,015 Hong Kong Electric Holdings Limited Hong Kong 1,790,000 6,885 Husky Energy, Inc. Canada 721,000 7,706 Iberdrola S.A. Spain 27,670 355 Innogy Holdings PLC United Kingdom 1,246,864 3,823 Korea Electric Power Corp. South Korea 410,200 7,633 Repsol S.A. Spain 732,000 12,084 Shell Transport & Trading Company PLC United Kingdom 1,518,500 12,620 Total Fina Elf S.A. France 50,922 7,130 --------- TOTAL 95,085 --------- FINANCIALS (25.0%) ACE Limited Bermuda 254,100 9,933 Australia & New Zealand Banking Group Ltd. Australia 1,950,601 16,754 Axa France 433,652 12,353 Banca Nazionale del Lavora Italy 2,479,700 7,767 Deutsche Bank AG Germany 108,188 7,730 Hang Lung Development Co. Hong Kong 2,758,000 2,687 HSBC Holdings PLC Hong Kong 568,137 6,701 ING Groep NV Netherlands 243,000 15,881 Lloyds TSB Group PLC United Kingdom 1,140,110 11,408
MARKET SHARES/ VALUE COMMON STOCK (95.2%) COUNTRY PAR (000'S) --------------------------------------------------------------- FINANCIALS continued National Bank of Canada Canada 739,900 $ 14,139 The Nomura Securities Co., Ltd. Japan 599,400 11,486 Nordea AB Sweden 1,628,500 9,347 Old Mutual PLC South Africa 3,556,330 8,152 PartnerRe Ltd. Bermuda 226,600 12,554 Swire Pacific Limited, A Shares Hong Kong 1,459,500 7,560 Swire Pacific Limited, B Shares Hong Kong 3,534,200 2,537 Swiss Re Switzerland 5,870 11,731 XL Capital Ltd. Bermuda 124,000 10,180 Yasuda Fire & Marine Insurance Company, Limited Japan 201,000 1,249 Zurich Financial Services AG Switzerland 36,023 12,285 --------- TOTAL 192,434 --------- HEALTH CARE (6.6%) Aventis S.A. France 221,000 17,642 Mayne Nickless Ltd. Australia 1,671,600 5,478 Nycomed Amersham PLC United Kingdom 879,160 6,451 Ono Pharmaceutical Co., Ltd. Japan 282,000 8,954 Teva Pharmaceutical Industries Ltd., ADR Israel 202,810 12,635 --------- TOTAL 51,160 --------- INDUSTRIALS (12.9%) Alstom France 331,740 9,228 BAE SYSTEMS PLC United Kingdom 2,627,200 12,580 British Airways PLC United Kingdom 1,242,900 6,013 Chubb PLC United Kingdom 1,652,900 3,865 Deutsche Post AG Germany 753,530 11,928 Hong Kong Aircraft & Engineering Hong Kong 2,680,700 4,743 Hutchison Whampoa Limited Hong Kong 877,800 8,863 Invensys PLC United Kingdom 3,919,020 7,441 Kidde PLC United Kingdom 1,652,900 1,895 Kurita Water Industries, Ltd. Japan 433,000 5,958 Nippon Express Co., Ltd. Japan 1,802,000 8,134 The Peninsular & Oriental Steam Navigation Company United Kingdom 548,000 2,050 Rolls-Royce PLC United Kingdom 3,330,800 10,984 Volvo AB-B Shares Sweden 433,000 6,484 --------- TOTAL 100,166 ---------
Franklin Templeton International Equity Portfolio 14 18
MARKET SHARES/ VALUE COMMON STOCK (95.2%) COUNTRY PAR (000'S) --------------------------------------------------------------- i INFORMATION TECHNOLOGY (2.8%) Alcatel France 108,120 $ 2,261 FUJITSU LIMITED Japan 288,000 3,025 NEC Corporation Japan 715,000 9,659 Samsung Electronics South Korea 47,900 7,072 --------- TOTAL 22,017 --------- MATERIALS (13.1%) Agrium, Inc. Canada 473,300 4,733 Akzo Nobel N.V. Netherlands 348,600 14,755 AngloGold Limited, ADR South Africa 238,800 4,277 Barrick Gold Corporation Canada 390,300 5,941 BASF AG Germany 247,960 9,719 Bayer AG Germany 291,200 11,340 Boehler-Uddeholm AG Austria 119,556 4,453 Companhia Vale do Rio Doce, ADR Brazil 323,600 7,508 Corus Group PLC United Kingdom 4,392,400 3,753 Elementis PLC United Kingdom 724,000 713 Hanson PLC United Kingdom 2,179,974 16,049 *Kinross Gold Corporation Canada 1,796,100 1,515 Nuevo Grupo Mexico SA Mexico 1,320,000 3,431 Stora Enso OYJ-R Shares Finland 1,251,897 13,404 --------- TOTAL 101,591 --------- TELECOMMUNICATION SERVICES (9.1%) Cable & Wireless PLC United Kingdom 1,760,030 10,353 Compania de Telecomunicaciones de Chile S.A., ADR Chile 273,725 3,854 Korea Telecom Corporation, ADR South Korea 432,660 9,510 Nippon Telegraph & Telephone Corporation Japan 1,871 9,751 Philippine Long Distance Telephone, ADR Philippines 127,000 1,784 PT Indosat, ADR Indonesia 386,900 3,463 Telecom Corporation of New Zealand Limited New Zealand 5,167,160 11,690 *Telefonica, S.A., ADR Spain 199,035 7,412 Telefonos de Mexico S.A., ADR Mexico 349,514 12,264 --------- TOTAL 70,081 --------- UTILITIES (0.7%) International Power PLC United Kingdom 1,246,864 5,256 --------- TOTAL 5,256 --------- TOTAL COMMON STOCK (COST $736,255) 736,257 --------- MARKET SHARES/ VALUE PREFERRED STOCK (2.0%) COUNTRY PAR (000'S) --------------------------------------------------------------- I CONSUMER DISCRETIONARY (1.0%) The News Corporation Limited Australia 1,014,400 $ 8,128 --------- TOTAL 8,128 --------- ENERGY (1.0%) Petroleo Brasileiro S.A. Brazil 325,000 7,598 --------- TOTAL 7,598 --------- TOTAL PREFERRED STOCK (COST $13,837) 15,726 --------- MONEY MARKET INVESTMENTS (1.0%) --------------------------------------------------------------- I PERSONAL CREDIT INSTITUTIONS (1.0%) General Motors Acceptance Corporation, 3.99%, 7/5/01 United States 7,900,000 7,896 --------- TOTAL MONEY MARKET INVESTMENTS (COST $7,896) 7,896 --------- TOTAL INVESTMENTS (98.2%) (COST $757,988)! 759,879 --------- OTHER ASSETS, LESS LIABILITIES (1.8%) 13,879 --------- TOTAL NET ASSETS (100.0%) $ 773,758 =========
! At 6/29/2001 the aggregate cost of securities for federal tax purposes was $757,988 and the net unrealized appreciation of investments based on that cost was $1,891 which is comprised of $107,910 aggregate gross unrealized appreciation and $106,019 aggregate gross unrealized depreciation. * Non-Income Producing ADR - American Depository Receipt Investment Percentage by Country: United Kingdom 22.2% Japan 9.3% France 7.8% Germany 6.8% Netherlands 6.7% Hong Kong 5.3% Other 41.9% ------ TOTAL 100.0% ------
The Accompanying Notes are an Integral Part of the Financial Statements Franklin Templeton International Equity Portfolio 15 19
Objective: Portfolio Strategy: Net Assets: Long-term capital appreciation Invest in a portfolio designed to approximate the $185.77 through cost-effective participation composition and returns of the S&P MidCap 400. million in broad market performance
INDEX 400 STOCK PORTFOLIO The Index 400 Stock Portfolio is designed to achieve results that approximate the performance of the Standard & Poor's MidCap 400(R) Composite Stock Price Index. This index is a capitalization-weighted index that measures the performance of the mid-range sector of the U.S. stock market. As of June 30, 2001, the 400 companies in the composite had a median market capitalization of $1.8 billion and total market value of $869 billion. For comparison, the 500 large stocks in the S&P 500 Index(R) had a median market capitalization of $8.4 billion and total market value of $11,028 billion. The Index 400 Portfolio enables contract owners to participate in performance of mid-sized companies in the U.S. equity market. The difference in performance between the Index 400 Stock Portfolio and the Standard and Poor's MidCap 400 Composite Stock Price Index for the one-year period ended June 30, 2001 is due to differences in the timing of rebalancing the Index and rebalancing the Portfolio. SECTOR ALLOCATION 6/30/2001 [SECTOR ALLOCATION PIE CHART]
CONSUMER CONSUMER HEALTH INFORMATION DISCRETIONARY STAPLES ENERGY FINANCIALS CARE INDUSTRIALS TECHNOLOGY MATERIALS ------------- -------- ------ ---------- ------ ----------- ----------- --------- Sector Allocation 14.00 4.00 6.00 17.00 14.00 13.00 17.00 4.00 S&P 400(R) TELECOMMUNICATION INDEX SERVICES UTILITIES FUTURES ----------------- --------- ------- Sector Allocation 1.00 7.00 3.00
TOP 10 EQUITY HOLDINGS 6/30/2001
Security Description % of Total Net Assets ------------------------------------------------------------------------------------ Genzyme Corporation (General Division) 1.2% ------------------------------------------------------------------------------------ IDEC Pharmaceuticals Corporation 1.0% ------------------------------------------------------------------------------------ SunGard Data Systems, Inc. 0.9% ------------------------------------------------------------------------------------ IVAX Corporation 0.9% ------------------------------------------------------------------------------------ Electronic Arts, Inc. 0.8% ------------------------------------------------------------------------------------ M&T Bank Corporation 0.8% ------------------------------------------------------------------------------------ Millennium Pharmaceuticals, Inc. 0.8% ------------------------------------------------------------------------------------ Quest Diagnostics Incorporated 0.8% ------------------------------------------------------------------------------------ DST Systems, Inc. 0.7% ------------------------------------------------------------------------------------ Telephone and Data Systems, Inc. 0.7%
PERFORMANCE RELATIVE TO THE S&P MIDCAP 400 INDEX [LINE GRAPH]
INDEX 400 STOCK PORTFOLIO S&P 400 INDEX ------------------------- ------------- 4/99 10000.00 10000.00 6/99 10550.00 10581.00 6/00 12385.00 12379.00 6/01 13314.00 13477.00
- ------------------------------------------------- Average Annual Total Return For Periods Ended June 30, 2001 Since 1 Year Inception# - ------------------------------------------------- Index 400 Stock Portfolio 7.50% 14.12% S&P MidCap 400 Index 8.87% 14.76% - ------------------------------------------------- # Inception date of 4/30/1999
The S&P MidCap 400 Index is a capitalization-weighted index that measures the performance of the mid-range sector of the U.S. stock market. As of June 30, 2001, the 400 companies in the composite had median market capitalization of $1.8 billion and a total market value of $869 billion. The MidCap 400 represents approximately 6% of the market value of S&P's database of over 10,000 equities. "Standard & Poor's(R)", "S&P(R)", "S&P MidCap 400 Index", "Standard & Poor's MidCap 400 Index", "S&P 500(R)" and "Standard & Poor's 500" are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by The Northwestern Mutual Life Insurance Company. The funds are not sponsored, endorsed, sold or promoted by Standard & Poor's, and Standard & Poor's makes no representation regarding the advisability of investing in the funds. This chart assumes an initial investment of $10,000 made on 4/30/99 (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. Total returns shown on page 2 reflect mortality and expense risk charges and premium 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 returns significantly lower. Investors are urged to obtain a personalized illustration of historical performance which reflects the cost of insurance protection. Index 400 Stock Portfolio 16 20 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments June 30, 2001 (unaudited)
MARKET SHARES/ VALUE COMMON STOCK (96.5%) PAR (000'S) ----------------------------------------------------------- CONSUMER DISCRETIONARY (13.7%) *Abercrombie & Fitch Co. - Class A 20,200 $ 898 *American Eagle Outfitters, Inc. 14,250 524 ArvinMeritor, Inc. 13,450 225 Bandag, Incorporated 4,200 115 *Barnes & Noble, Inc. 13,200 519 Belo Corp. - Class A 23,300 439 *BJ's Wholesale Club, Inc. 14,800 788 Blyth, Inc. 9,600 247 Bob Evans Farms, Inc. 7,100 130 *Borders Group, Inc. 16,100 361 BorgWarner, Inc. 5,400 268 *Brinker International, Inc. 20,250 523 Callaway Golf Company 15,200 240 *Catalina Marketing Corporation 11,400 348 CBRL Group, Inc. 11,500 203 *Chris-Craft Industries, Inc. 6,381 456 Claire's Stores, Inc. 10,000 194 Clayton Homes, Inc. 28,200 443 *Coach, Inc. 8,900 339 *Covanta Energy Corporation 10,200 188 *Dollar Tree Stores, Inc. 22,100 609 *Emmis Communications Corporation - Class A 9,600 303 *Entercom Communications Corp. - Class A 9,300 499 Family Dollar Stores, Inc. 35,000 896 *Furniture Brands International, Inc. 10,200 286 *Gentex Corporation 15,200 410 *GTECH Holdings Corporation 7,000 249 Harte-Hanks, Inc. 13,700 339 *Hispanic Broadcasting Corporation - Class A 22,300 640 Houghton Mifflin Company 5,900 354 *International Game Technology 15,000 938 International Speedway Corporation - Class A 10,900 456 The Interpublic Group of Companies, Inc. 11,742 345 *Jones Apparel Group, Inc. 24,451 1,055 Lancaster Colony Corporation 7,700 258 *Lands' End, Inc. 6,000 241 *Lear Corporation 13,000 454 Lee Enterprises, Incorporated 8,900 294 Lennar Corporation 12,900 538 Lone Star Steakhouse & Saloon, Inc. 5,100 66 *Macrovision Corporation 10,200 694 *Mandalay Resort Group 15,600 427 Media General, Inc. - Class A 4,700 216 Modine Manufacturing Company 6,000 164 *Mohawk Industries, Inc. 10,700 377 *The Neiman Marcus Group, Inc. - Class A 9,700 301
MARKET SHARES/ VALUE COMMON STOCK (96.5%) PAR (000'S) ----------------------------------------------------------- CONSUMER DISCRETIONARY continued *Outback Steakhouse, Inc. 15,700 $ 452 *Papa John's International, Inc. 4,700 117 *Park Place Entertainment Corporation 60,800 736 *Payless ShoeSource, Inc. 4,514 292 The Reader's Digest Association, Inc. - Class A 21,100 607 Ross Stores, Inc. 16,600 399 *Saks Incorporated 29,000 278 *Scholastic Corporation 7,100 300 *Six Flags, Inc. 16,100 339 Superior Industries International, Inc. 5,300 203 *Unifi, Inc. 11,000 94 *United Rentals, Inc. 14,400 374 The Washington Post Company - Class B 1,900 1,090 WestPoint Stevens, Inc. 10,100 14 *Westwood One, Inc. 22,400 825 *Williams-Sonoma, Inc. 11,600 450 --------- TOTAL CONSUMER DISCRETIONARY 25,427 --------- CONSUMER STAPLES (3.8%) Carter-Wallace, Inc. 9,300 180 Church & Dwight Co., Inc. 7,900 201 Dean Foods Company 7,300 293 The Dial Corporation 19,400 276 Dole Food Company, Inc. 11,400 217 Dreyer's Grand Ice Cream, Inc. 5,800 163 Hormel Foods Corporation 28,400 692 IBP, Inc. 21,600 545 Interstate Bakeries Corporation 10,300 165 The J.M. Smucker Company 4,900 127 Lance, Inc. 5,900 79 McCormick & Company, Incorporated 14,000 589 PepsiAmericas, Inc. 32,600 434 *Perrigo Company 15,000 251 R.J. Reynolds Tobacco Holdings, Inc. 20,900 1,142 Ruddick Corporation 9,500 161 Sensient Technologies Corporation 10,000 205 *Suiza Foods Corporation 5,600 297 Tootsie Roll Industries, Inc. 10,100 389 Tyson Foods, Inc. - Class A 45,500 419 Universal Corporation 5,600 222 --------- TOTAL CONSUMER STAPLES 7,047 --------- ENERGY (5.7%) *BJ Services Company 33,600 954 *Cooper Cameron Corporation 11,000 614 ENSCO International Incorporated 28,300 662 *Global Marine, Inc. 36,000 671
17 Index 400 Stock Portfolio 21
MARKET SHARES/ VALUE COMMON STOCK (96.5%) PAR (000'S) ----------------------------------------------------------- ENERGY continued *Grant Prideco, Inc. 22,200 $ 388 *Hanover Compressor Company 12,100 400 Helmerich & Payne, Inc. 10,200 316 *Marine Drilling Companies, Inc. 11,600 222 Murphy Oil Corporation 9,200 677 *National-Oilwell, Inc. 16,500 442 Noble Affiliates, Inc. 11,400 403 Ocean Energy, Inc. 34,300 599 Pennzoil-Quaker States Company 16,100 180 *Pioneer Natural Resources Company 20,100 343 *Smith International, Inc. 10,300 617 Tidewater, Inc. 11,400 430 Ultramar Diamond Shamrock Corporation 17,800 841 Valero Energy Corporation 12,500 460 *Varco International, Inc. 19,362 360 *Weatherford International, Inc. 22,500 1,079 --------- TOTAL ENERGY 10,658 --------- FINANCIALS (16.5%) A.G. Edwards, Inc. 16,400 738 Allmerica Financial Corporation 10,900 627 American Financial Group, Inc. 13,600 412 *AmeriCredit Corp. 16,400 852 Arthur J. Gallagher & Co. 16,100 419 Associated Banc-Corp 13,690 475 Astoria Financial Corporation 10,200 591 Banknorth Group, Inc. 29,600 666 City National Corporation 9,800 434 Compass Bancshares, Inc. 24,700 648 Dime Bancorp, Inc. 22,200 827 *E* TRADE Group, Inc. 65,100 420 Everest Re Group, Ltd. 9,400 703 First Tennessee National Corporation 26,400 916 First Virginia Banks, Inc. 9,400 443 FirstMerit Corporation 18,000 478 Golden State Bancorp Inc. 27,600 850 Greater Bay Bancorp 8,600 212 GreenPoint Financial Corp. 20,700 795 HCC Insurance Holdings, Inc. 12,000 294 Hibernia Corporation - Class A 32,400 577 Horace Mann Educators Corporation 8,300 179 *IndyMac Bancorp, Inc. 12,800 343 Investors Financial Services Corp. 6,200 418 *LaBranche & Co., Inc. 11,500 334 Legg Mason, Inc. 12,700 632 Leucadia National Corporation 11,300 367 M&T Bank Corporation 19,800 1,494 Marshall & Ilsley Corporation 21,000 1,132 Mercantile Bankshares Corporation 14,300 565 The MONY Group, Inc. 10,200 409 National Commerce Financial Corporation 42,025 1,026 Neuberger Berman, Inc. 10,000 680
MARKET SHARES/ VALUE COMMON STOCK (96.5%) PAR (000'S) ----------------------------------------------------------- FINANCIALS continued North Fork Bancorporation, Inc. 33,500 $ 1,039 Ohio Casualty Corporation 12,300 160 Old Republic International Corporation 24,100 699 Pacific Century Financial Corporation 16,300 420 The PMI Group, Inc. 9,050 649 Protective Life Corporation 13,200 454 Provident Financial Group, Inc. 10,000 330 Radian Group, Inc. 19,000 769 Roslyn Bancorp, Inc. 12,600 348 SEI Investments Company 22,200 1,052 *Silicon Valley Bancshares 10,000 215 Sovereign Bancorp, Inc. 50,400 654 TCF Financial Corporation 16,400 759 Unitrin, Inc. 13,800 530 Waddell & Reed Financial, Inc. - Class A 17,100 543 Webster Financial Corporation 10,000 334 Westamerica Bancorporation 7,500 291 Wilmington Trust Corporation 6,600 413 Zions Bancorporation 17,800 1,038 --------- TOTAL FINANCIALS 30,653 --------- HEALTH CARE (13.5%) *AmeriSource Health Corp. - Class A 10,800 597 *Apogent Technologies, Inc. 21,600 531 *Apria Healthcare Group, Inc. 10,800 312 *Barr Laboratories, Inc. 7,200 507 Beckman Coulter, Inc. 12,200 498 Bergen Brunswig Corporation - Class A 27,700 532 *COR Therapeutics, Inc. 11,100 337 *Covance, Inc. 11,800 267 DENTSPLY International, Inc. 10,500 467 *Edwards Lifesciences Corporation 12,000 316 *Express Scripts, Inc. 15,800 869 *First Health Group Corp. 19,400 517 *Genzyme Corporation (General Division) 38,800 2,288 *Gilead Sciences, Inc. 19,200 1,142 *Health Management Associates, Inc. - Class A 49,800 1,048 *Health Net, Inc. 25,100 437 Hillenbrand Industries, Inc. 12,800 731 ICN Pharmaceuticals, Inc. 16,300 517 *IDEC Pharmaceuticals Corporation 29,300 1,907 *Incyte Genomics, Inc. 13,100 291 *IVAX Corporation 40,725 1,588 *Lincare Holdings, Inc. 21,400 696 *Millennium Pharmaceuticals, Inc. 43,500 1,472 *MiniMed, Inc. 13,200 621 Mylan Laboratories, Inc. 25,600 720 Omnicare, Inc. 18,900 382 *Oxford Health Plans, Inc. 20,100 575 *PacifiCare Health Systems, Inc. 7,000 111 *Protein Design Labs, Inc. 8,900 748
Index 400 Stock Portfolio 18 22
MARKET SHARES/ VALUE COMMON STOCK (96.5%) PAR (000'S) ----------------------------------------------------------- HEALTH CARE continued *Quest Diagnostics Incorporated 18,900 $ 1,415 *Sepracor, Inc. 15,900 634 *STERIS Corporation 14,000 281 *Triad Hospitals, Inc. 13,139 387 *Trigon Healthcare, Inc. - Class A 7,700 499 *Vertex Pharmaceuticals Incorporated 12,100 587 *VISX, Incorporated 12,400 240 --------- TOTAL HEALTH CARE 25,067 --------- INDUSTRIALS (13.1%) AGCO Corporation 14,600 134 Airborne, Inc. 9,800 114 *Alaska Air Group, Inc. 5,400 156 *Albany International Corp. - Class A 6,326 120 Alexander & Baldwin, Inc. 8,300 214 *American Standard Companies, Inc. 14,200 853 AMETEK, Inc. 6,600 202 *Apollo Group, Inc. - Class A 23,350 986 *Atlas Air Worldwide Holdings, Inc. 7,800 110 Banta Corporation 5,000 147 *The BISYS Group, Inc. 11,700 701 C.H. Robinson Worldwide, Inc. 17,300 485 Carlisle Companies Incorporated 6,200 216 *CDW Computer Centers, Inc. 17,900 692 Ceridian Corporation 29,800 571 *CheckFree Corporation 15,600 536 *ChoicePoint, Inc. 12,500 526 CNF, Inc. 9,900 280 *CSG Systems International, Inc. 10,700 635 *DeVry, Inc. 14,300 517 Donaldson Company, Inc. 9,100 283 *The Dun & Bradstreet Corporation 16,400 462 *Dycom Industries, Inc. 8,600 197 *EGL, Inc. 9,600 153 *Energizer Holdings, Inc. 18,800 431 Expeditors International of Washington, Inc. 10,500 646 Fastenal Company 7,800 480 Federal Signal Corporation 9,300 218 Flowserve Corporation 7,700 237 Galileo International, Inc. 18,200 592 GATX Corporation 9,800 393 Granite Construction Incorporated 8,400 214 Harsco Corporation 8,200 222 Herman Miller, Inc. 15,700 405 HON INDUSTRIES, Inc. 12,300 298 Hubbell Incorporated - Class B 12,100 351 *J.B. Hunt Transport Services, Inc. 7,200 142 *Jacobs Engineering Group, Inc. 5,400 352 Kaydon Corporation 6,100 156 Kelly Services, Inc. - Class A 7,300 177 Kennametal, Inc. 6,200 229 *Korn/Ferry International 7,700 119 *LTX Corporation 9,800 251
MARKET SHARES/ VALUE COMMON STOCK (96.5%) PAR (000'S) ----------------------------------------------------------- INDUSTRIALS continued Manpower, Inc. 15,500 $ 463 *MasTec, Inc. 9,700 128 *Modis Professional Services, Inc. 19,700 136 NCH Corporation 1,000 39 *NCO Group, Inc. 5,200 161 Newport News Shipbuilding, Inc. 7,200 441 Nordson Corporation 6,600 182 *NOVA Corporation 13,400 421 Overseas Shipholding Group, Inc. 7,000 214 Pentair, Inc. 10,000 338 Pittston Brink's Group 10,600 236 *Plexus Corp. 8,400 266 Precision Castparts Corp. 10,500 393 *Quanta Services, Inc. 11,700 258 The Reynolds and Reynolds Company - Class A 18,800 413 Rollins, Inc. 6,100 121 *Sensormatic Electronics Corporation 16,100 274 *Sequa Corporation - Class A 2,100 96 Sotheby's Holdings, Inc. - Class A 12,100 195 *SPX Corporation 8,100 1,013 Stewart & Stevenson Services, Inc. 5,700 190 *Swift Transportation Co., Inc. 12,900 247 *Sylvan Learning Systems, Inc. 7,619 185 Tecumseh Products Company - Class A 3,900 193 Teleflex Incorporated 7,800 343 Trinity Industries, Inc. 7,500 157 *Valassis Communications, Inc. 11,000 394 Viad Corp. 18,900 499 *Vishay Intertechnology, Inc. 28,187 648 Wallace Computer Services, Inc. 8,300 137 *Wisconsin Central Transportation Corporation 8,400 141 York International Corporation 7,800 273 --------- TOTAL INDUSTRIALS 24,398 --------- INFORMATION TECHNOLOGY (17.6%) *3Com Corporation 69,600 361 *Acxiom Corporation 18,300 232 *ADTRAN, Inc. 8,100 171 Advanced Fibre Communications, Inc. 16,500 379 *Advent Software, Inc. 6,300 408 *Affiliated Computer Services, Inc. - Class A 10,200 733 *ANTEC Corporation 7,800 96 *Arrow Electronics, Inc. 20,100 488 *Atmel Corporation 95,400 1,233 Avnet, Inc. 24,000 538 *Avocent Corporation 8,900 200 *Cabot Microelectronics Corporation 4,892 306 *Cadence Design Systems, Inc. 50,300 937 *Cirrus Logic, Inc. 16,200 412 *CommScope, Inc. 10,500 247 *Credence Systems Corporation 11,000 259
19 Index 400 Stock Portfolio 23
MARKET SHARES/ VALUE COMMON STOCK (96.5%) PAR (000'S) ----------------------------------------------------------- INFORMATION TECHNOLOGY continued *Cypress Semiconductor Corporation 26,900 $ 642 Diebold, Incorporated 14,600 469 *DSP Group, Inc. 5,500 116 *DST Systems, Inc. 25,500 1,344 *Electronic Arts, Inc. 27,200 1,564 *Gartner Group, Inc. - Class B 17,700 163 Harris Corporation 13,500 367 *Imation Corp. 7,200 181 *InFocus Corporation 7,900 132 *Informix Corporation 57,200 312 *Integrated Device Technology, Inc. 21,900 656 *International Rectifier Corporation 12,700 433 *Investment Technology Group, Inc. 6,400 322 Jack Henry & Associates, Inc. 18,000 547 *Keane, Inc. 14,100 310 *KEMET Corporation 17,900 355 *L-3 Communications Holdings, Inc. 7,800 595 *Lam Research Corporation 25,100 751 *Lattice Semiconductor Corporation 22,000 545 *Legato Systems, Inc. 17,900 283 *Macromedia, Inc. 12,000 216 *Mentor Graphics Corporation 13,200 230 *Micrel, Incorporated 18,700 562 *Microchip Technology Incorporated 26,675 857 *MIPS Technologies, Inc. - Class B 7,900 102 National Instruments Corporation 10,400 338 *Network Associates, Inc. 28,200 351 Newport Corporation 7,300 193 *NVIDIA Corporation 13,900 1,276 *Plantronics, Inc. 10,100 234 *Polycom, Inc. 16,700 364 *Powerwave Technologies, Inc. 12,900 176 *Quantum Corporation - DLT & Storage Systems 30,900 312 *Rational Software Corporation 41,600 1,174 *Retek, Inc. 9,800 426 *RF Micro Devices, Inc. 33,400 883 *SanDisk Corporation 13,800 381 *Sawtek, Inc. 8,700 207 *SCI Systems, Inc. 29,900 762 *Semtech Corporation 13,800 436 *Storage Technology Corporation 21,300 293 *Structural Dynamics Research Corporation 7,300 178 *SunGard Data Systems, Inc. 54,400 1,634 *Sybase, Inc. 20,300 334 *Sykes Enterprises, Incorporated 8,300 91 *Symantec Corporation 15,500 672 *Synopsys, Inc. 12,400 587 *Tech Data Corporation 11,000 386 *The Titan Corporation 11,000 252 *Transaction Systems Architects, Inc. - Class A 7,400 92
MARKET SHARES/ VALUE COMMON STOCK (96.5%) PAR (000'S) ----------------------------------------------------------- INFORMATION TECHNOLOGY continued *TranSwitch Corporation 16,900 $ 170 *TriQuint Semiconductor, Inc. 16,100 336 *Waters Corporation 26,400 729 *Wind River Systems, Inc. 15,200 265 --------- TOTAL INFORMATION TECHNOLOGY 32,586 --------- MATERIALS (3.9%) A. Schulman, Inc. 6,000 79 *Airgas, Inc. 13,900 165 AK Steel Holding Corporation 22,000 276 Albemarle Corporation 9,400 218 Bowater Incorporated 10,300 461 Cabot Corporation 13,600 490 Carpenter Technology Corporation 4,500 132 Crompton Corporation 23,063 251 *Cytec Industries, Inc. 8,200 312 Ferro Corporation 7,000 153 Georgia-Pacific Corporation (Timber Group) 16,500 590 H.B. Fuller Company 2,900 145 IMC Global, Inc. 23,500 240 Longview Fibre Company 10,500 129 The Lubrizol Corporation 10,700 332 Lyondell Chemical Company 24,100 371 Martin Marietta Materials, Inc. 9,600 475 Minerals Technologies, Inc. 4,100 176 Olin Corporation 9,000 153 P.H. Glatfelter Company 8,700 124 Rayonier, Inc. 5,500 255 RPM, Inc. 20,900 192 Ryerson Tull, Inc. 5,100 69 Solutia, Inc. 21,200 270 Sonoco Products Company 20,400 508 *UCAR International, Inc. 9,200 110 The Valspar Corporation 9,900 351 Wausau-Mosinee Paper Corporation 10,500 135 --------- TOTAL MATERIALS 7,162 --------- TELECOMMUNICATION SERVICES (1.4%) *Broadwing, Inc. 44,200 1,081 *Price Communications Corporation 11,400 230 Telephone and Data Systems, Inc. 12,000 1,305 --------- TOTAL TELECOMMUNICATION SERVICES 2,616 --------- UTILITIES (7.3%) AGL Resources, Inc. 11,100 264 ALLETE, Inc 16,700 376 Alliant Energy Corporation 16,200 472 American Water Works Company, Inc. 20,100 663 Black Hills Corporation 5,300 213 Cleco Corporation 9,200 209 Conectiv 18,100 391 DPL, Inc. 26,100 755 DQE, Inc. 11,400 257
Index 400 Stock Portfolio 20 24
MARKET SHARES/ VALUE COMMON STOCK (96.5%) PAR (000'S) ----------------------------------------------------------- UTILITIES continued Energy East Corporation 24,000 $ 502 Equitable Resources, Inc. 13,300 443 Hawaiian Electric Industries, Inc. 6,700 256 IDACORP, Inc. 7,700 269 Kansas City Power & Light Company 12,700 312 MDU Resources Group, Inc. 13,400 420 The Montana Power Company 21,600 251 National Fuel Gas Company 8,100 421 Northeast Utilities 29,400 610 NSTAR 10,900 464 OGE Energy Corp. 15,900 359 Potomac Electric Power Company 22,800 477 Public Service Company of New Mexico 8,000 257 Puget Energy, Inc. 17,500 459 Questar Corporation 16,500 409 SCANA Corporation 21,400 608 Sierra Pacific Resources 16,081 257 TECO Energy, Inc. 27,300 832 UtiliCorp United, Inc. 22,600 694 Vectren Corporation 13,700 284 Western Gas Resources, Inc. 6,600 215 Western Resources, Inc. 14,300 307 WGL Holdings, Inc. 9,500 258 Wisconsin Energy Corporation 24,800 589 --------- TOTAL UTILITIES 13,553 --------- TOTAL COMMON STOCK (COST $170,691) 179,167 --------- MONEY MARKET INVESTMENTS (3.4%) ----------------------------------------------------------- ELECTRICAL EQUIPMENT & SUPPLIES (0.9%) #General Electric Capital Corporation, 4.10%, 7/2/01 1,600,000 1,600 --------- TOTAL ELECTRICAL EQUIPMENT & SUPPLIES 1,600 --------- FEDERAL GOVERNMENT AND AGENCIES (1.5%) #Federal Home Loan Mortgage Corporation, 3.71%, 9/14/01 3,000,000 2,977 --------- TOTAL FEDERAL AND GOVERNMENT AGENCIES 2,977 ---------
MARKET SHARES/ VALUE MONEY MARKET INVESTMENTS (3.4%) PAR (000'S) ----------------------------------------------------------- MISCELLANEOUS BUSINESS CREDIT INSTITUTIONS (1.0%) #National Rural Utility, 3.90%, 7/20/01 1,800,000 $ 1,796 --------- TOTAL MISCELLANEOUS BUSINESS CREDIT INSTITUTIONS 1,796 --------- TOTAL MONEY MARKET INVESTMENTS (COST $6,373) 6,373 --------- TOTAL INVESTMENTS (99.9%) (COST $177,064)! 185,540 --------- OTHER ASSETS, LESS LIABILITIES (0.1%) 232 --------- TOTAL NET ASSETS (100.0%) $ 185,772 ========= -----------------------------------------------------------
! At 6/30/2001 the aggregate cost of securities for federal tax purposes was $177,064 and the net unrealized appreciation of investments based on that cost was $8,476 which is comprised of $25,131 aggregate gross unrealized appreciation and $16,655 aggregate gross unrealized depreciation. * Non-Income Producing # All or a portion of the securities have been committed as collateral for open futures positions. Information regarding open futures contracts as of period end is summarized below.
UNREALIZED APPRECIATION/ NUMBER OF EXPIRATION (DEPRECIATION) ISSUERS CONTRACTS DATE (000'S) - -------------------------------------------------------------- Midcap 400 24 09/01 $51 (Total Notional Value at 6/30/2001, $6,219)
The Accompanying Notes are an Integral Part of the Financial Statements 21 Index 400 Stock Portfolio 25
Objective: Portfolio Strategy: Net Assets: Long-term appreciation of capital Hold a diversified mix of high quality growth $719.01 with moderate risk stocks of medium and large companies with million above-average potential for earnings growth.
GROWTH STOCK PORTFOLIO The Growth Stock Portfolio is invested in high quality companies of large to medium capitalization with strong financial characteristics and the ability to generate internal growth. A key factor in stock selection is the choice of industries with good earnings potential, based on analysis of economic trends to determine their impact on various sectors of the economy. Stock selection is made through "top down" analysis: first, industry and market sector choices are made based on the economic environment, and then the most promising companies within each sector are selected as holdings. A strategy of this Portfolio is to go beyond the most familiar "blue chip" names to seek out medium-sized companies with stock prices that do not yet reflect their potential for growth. Diversification across 70 to 90 stocks in a wide range of industry groups reduces the Portfolio's risk profile. The Growth Stock Portfolio performed generally in line with its major benchmark, the S&P 500 Index(R), over the last 12 months. In the first half of 2001, the Index and the Portfolio experienced a weak first quarter followed by improvement in the second quarter. As investor interest in growth stocks resumed in the second quarter of the year, major holdings including Microsoft, AOL Time Warner and Fiserv performed well. Relative to the Index, the Portfolio's overweightings in the energy and health care sectors hurt performance. The buyout of Tosco Corporation by Phillips Petroleum was a positive factor; several other underperforming energy holdings have been reduced or eliminated. Technology holdings, though underweighted relative to the Index, were the major factor in the Portfolio's negative return for the last 12 months. Near the end of the period, the position in financial services was increased, when weak stock prices created an opportunity to invest in high quality market-sensitive issues including Fifth Third Bancorp and Northern Trust Corporation. The Portfolio remains significantly overweighted in the consumer discretionary sector, with the emphasis on leading retailers including Wal-Mart, Target and Kohl's. These companies and their stocks have performed well, as consumer spending for basic items has remained strong. Unlike some other manufacturers of consumer durable goods, Harley-Davidson continues to report solid sales and earnings growth, and the stock has reflected this strength. With these and other holdings, the Portfolio remains invested in a well-diversified mix of quality companies with good potential for long-term growth. SECTOR ALLOCATION 6/30/2001 [SECTOR ALLOCATION PIE CHART]
CONSUMER CONSUMER HEALTH INFORMATION DISCRETIONARY STAPLES ENERGY FINANCIALS CARE INDUSTRIALS/MATERIALS TECHNOLOGY ------------- -------- ------ ---------- ------ --------------------- ----------- Sector Allocation 18.00 8.00 7.00 13.00 11.00 12.00 12.00 S&P SHORT- 500(R) TELECOMMUNICATION TERM INDEX SERVICES UTILITIES INVESTMENTS FUTURES ----------------- --------- ----------- ------- Sector Allocation 3.00 3.00 5.00 8.00
TOP 10 EQUITY HOLDINGS 6/30/2001
Security Description % of Total Net Assets ------------------------------------------------------------------------------------ Microsoft Corporation 3.1% ------------------------------------------------------------------------------------ General Electric Company 2.8% ------------------------------------------------------------------------------------ Fiserv, Inc. 2.3% ------------------------------------------------------------------------------------ Kohl's Corporation 2.2% ------------------------------------------------------------------------------------ Citigroup, Inc. 2.1% ------------------------------------------------------------------------------------ Harley-Davidson, Inc. 2.0% ------------------------------------------------------------------------------------ Pfizer, Inc. 2.0% ------------------------------------------------------------------------------------ AOL Time Warner, Inc. 1.9% ------------------------------------------------------------------------------------ Exxon Mobil Corporation 1.9% ------------------------------------------------------------------------------------ Electronic Data Systems Corporation 1.9%
PERFORMANCE RELATIVE TO THE S&P 500 INDEX [PERFORMANCE RELATIVE TO THE S&P 500 INDEX LINE GRAPH]
GROWTH STOCK PORTFOLIO S&P 500 INDEX ---------------------- ------------- 5/94 10000.00 10000.00 6/94 9884.00 9845.00 6/95 11626.00 12394.00 6/96 14694.00 15604.00 6/97 18707.00 20999.00 6/98 24730.00 27305.00 6/99 29581.00 33503.00 6/00 33687.00 35952.00 6/01 28452.00 30620.00
- ------------------------------------------------------- Average Annual Total Return For Periods Ended June 30, 2001 Since 1 Year 5 Years Inception# - ------------------------------------------------------- Growth Stock Portfolio -15.54% 14.13% 15.73% S&P 500 Index -14.83% 14.43% 16.93% - ------------------------------------------------------- # Inception date of 5/3/1994
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. Total returns shown on page 2 reflect mortality and expense risk charges and premium 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 returns significantly lower. Investors are urged to obtain a personalized illustration of historical performance which reflects the cost of insurance protection. Growth Stock Portfolio 22 26 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments June 30, 2001 (unaudited)
MARKET SHARES/ VALUE COMMON STOCK (86.5%) PAR (000'S) ----------------------------------------------------------- CONSUMER DISCRETIONARY (18.2%) *AOL Time Warner, Inc. 260,300 $ 13,796 *Barnes & Noble, Inc. 100,000 3,935 Ford Motor Company 112,080 2,752 Fortune Brands, Inc. 90,100 3,456 Harley-Davidson, Inc. 303,700 14,298 The Home Depot, Inc. 184,450 8,586 The Interpublic Group of Companies, Inc. 107,900 3,167 *Kohl's Corporation 249,900 15,675 McDonald's Corporation 164,600 4,454 The McGraw-Hill Companies, Inc. 158,700 10,498 The New York Times Company - Class A 132,900 5,582 Newell Rubbermaid, Inc. 261,000 6,551 Omnicom Group, Inc. 36,600 3,148 Target Corporation 203,400 7,038 Tiffany & Co. 96,600 3,499 Tribune Company 207,800 8,314 *Viacom, Inc. - Class B 96,000 4,968 Wal-Mart Stores, Inc. 224,100 10,936 --------- TOTAL 130,653 --------- CONSUMER STAPLES (8.3%) Anheuser-Busch Companies, Inc. 178,200 7,342 The Estee Lauder Companies, Inc. - Class A 200,100 8,624 General Mills, Inc. 157,800 6,908 Kimberly-Clark Corporation 130,100 7,273 *Kraft Foods Inc. 80,200 2,486 PepsiCo, Inc. 150,100 6,634 The Quaker Oats Company 94,600 8,632 Walgreen Co. 338,200 11,551 --------- TOTAL 59,450 --------- ENERGY (7.1%) Chevron Corporation 79,200 7,168 Conoco, Inc. - Class B 331,200 9,571 Diamond Offshore Drilling, Inc. 143,500 4,743 EOG Resources, Inc. 150,200 5,340 Exxon Mobil Corporation 157,867 13,789 Santa Fe International Corporation 206,000 5,974 Schlumberger Limited 87,400 4,602 --------- TOTAL 51,187 --------- FINANCIALS (13.1%) American International Group, Inc. 133,200 11,455 The Bank of New York Company, Inc. 173,700 8,338 Citigroup, Inc. 280,133 14,802 Federal Home Loan Mortgage Corporation 77,300 5,411 Fifth Third Bancorp 182,650 11,023
MARKET SHARES/ VALUE COMMON STOCK (86.5%) PAR (000'S) ----------------------------------------------------------- FINANCIALS continued Household International, Inc. 171,000 $ 11,406 Lehman Brothers Holdings, Inc. 119,000 9,252 Morgan Stanley Dean Witter & Co. 74,900 4,811 Northern Trust Corporation 139,300 8,985 The PNC Financial Services Group, Inc. 133,900 8,809 --------- TOTAL 94,292 --------- HEALTH CARE (10.4%) *Amgen, Inc. 118,000 7,302 Bristol-Myers Squibb Company 97,700 5,110 CIGNA Corporation 89,100 8,538 Eli Lilly and Company 75,900 5,617 *Guidant Corporation 75,300 2,711 Johnson & Johnson 149,600 7,480 Medtronic, Inc. 201,400 9,265 Merck & Co., Inc. 128,800 8,232 Pfizer, Inc. 350,050 14,019 Schering-Plough Corporation 170,800 6,190 --------- TOTAL 74,464 --------- INDUSTRIALS (11.1%) Avery Dennison Corporation 167,600 8,556 Ecolab, Inc. 180,300 7,387 Emerson Electric Co. 44,200 2,674 *FedEx Corporation 109,300 4,394 *Fiserv, Inc. 266,575 16,642 General Electric Company 415,100 20,236 Honeywell International, Inc. 85,200 2,981 The ServiceMaster Company 245,250 2,943 Southwest Airlines Co. 312,862 5,785 Tyco International, Ltd. 156,500 8,529 --------- TOTAL 80,127 --------- INFORMATION TECHNOLOGY (11.7%) *Amdocs Limited 149,000 8,024 *Atmel Corporation 438,700 5,668 *Cisco Systems, Inc. 326,100 6,310 Electronic Data Systems Corporation 214,100 13,381 Intel Corporation 334,600 10,148 International Business Machines Corporation 85,200 9,628 *Microsoft Corporation 305,100 21,919 Nokia Corp., ADR 150,800 3,324 *Palm, Inc. 247,600 1,500 Texas Instruments Incorporated 139,500 4,394 --------- TOTAL 84,296 --------- MATERIALS (1.1%) Air Products and Chemicals, Inc. 71,000 3,248 PPG Industries, Inc. 85,600 4,500 --------- TOTAL 7,748 ---------
23 Growth Stock Portfolio 27
MARKET SHARES/ VALUE COMMON STOCK (86.5%) PAR (000'S) ----------------------------------------------------------- TELECOMMUNICATION SERVICES (2.4%) AT&T Corp. 193,700 $ 4,261 *AT&T Wireless Group 37,600 615 *Nextel Communications, Inc. - Class A 137,300 2,392 SBC Communications, Inc. 70,139 2,810 Sprint Corporation 51,400 1,098 Verizon Communications, Inc. 109,972 5,883 --------- TOTAL 17,059 --------- UTILITIES (3.1%) El Paso Corporation 111,000 5,832 Enron Corp. 179,600 8,801 *Mirant Corporation 228,000 7,843 --------- TOTAL 22,476 --------- TOTAL COMMON STOCK (COST $522,791) 621,752 --------- MONEY MARKET INVESTMENTS (13.2%) ----------------------------------------------------------- ASSET-BACKED SECURITIES (CMO'S) (2.7%) #Asset Securitization, 4.00%, 7/5/01 19,500,000 19,489 --------- TOTAL 19,489 --------- ELECTRICAL EQUIPMENT & SUPPLIES (1.6%) #General Electric Capital Corporation, 4.10%, 7/2/01 11,700,000 11,697 --------- TOTAL 11,697 --------- FEDERAL GOVERNMENT AND AGENCIES (0.6%) #Federal Home Loan Mortgage Corporation, 3.71%, 9/14/01 4,000,000 3,970 --------- TOTAL 3,970 --------- FINANCE LESSORS (2.7%) #Receivable Capital Trust, 3.87%, 7/26/01 20,000,000 19,944 --------- TOTAL 19,944 ---------
MARKET SHARES/ VALUE MONEY MARKET INVESTMENTS (13.2%) PAR (000'S) ----------------------------------------------------------- FINANCE SERVICES (2.8%) #Citicorp, 3.85%, 7/17/01 20,000,000 $ 19,963 --------- TOTAL 19,963 --------- NEWSPAPERS (2.8%) #Gannet Company, Inc., 3.95%, 7/17/01 20,000,000 19,963 --------- TOTAL 19,963 --------- TOTAL MONEY MARKET INVESTMENTS (COST $95,026) 95,026 --------- TOTAL INVESTMENTS (99.7%) (COST $617,817)! 716,778 --------- OTHER ASSETS, LESS LIABILITIES (0.3%) 2,235 --------- TOTAL NET ASSETS (100.0%) $ 719,013 ========= -----------------------------------------------------------
! At 6/30/2001 the aggregate cost of securities for federal tax purposes was $617,817 and the net unrealized appreciation of investments based on that cost was $98,961 which is comprised of $140,278 aggregate gross unrealized appreciation and $41,317 aggregate gross unrealized depreciation. * Non-Income Producing ADR - American Depository Receipt # All or a portion of the securities have been committed as collateral for open futures positions. Information regarding open futures contracts as of period end is summarized below:
UNREALIZED APPRECIATION/ NUMBER OF EXPIRATION (DEPRECIATION) ISSUERS CONTRACTS DATE (000'S) - ------------------------------------------------------------- S & P 500 189 09/01 $(1,663) (Total Notional Value at 6/30/2001, $60,040)
The Accompanying Notes are an Integral Part of the Financial Statements Growth Stock Portfolio 24 28
Objective: Portfolio Strategy: Net Assets: Long-term growth of capital and Actively manage a portfolio of equity securities $572.50 million income, consistent with moderate with a goal of exceeding the total return of the investment risk S&P 500 Index.
J.P. MORGAN SELECT GROWTH & INCOME STOCK PORTFOLIO The J.P. Morgan Select Growth and Income Stock Portfolio invests mainly in large-capitalization stocks, with a focus on seeking the most attractive valuations in the market based on long-term earnings forecasts. A sector balance within a few percentage points of the S&P 500 Index(R) is normally maintained, with the emphasis on undervalued stocks within each industry group; a valuation discipline mandates the sale of stocks regarded as overvalued. More focus is placed on capital appreciation and dividend growth than on current dividends. The Portfolio is normally fully invested in equity securities. In a market that was volatile and generally down, especially in the first calendar quarter of 2001, the Portfolio performed better than its major benchmark, the S&P 500 Index(R), for the 12 months ended June 2001. A shift in market leadership, away from the former focus on a few leading growth names, favored the Portfolio's value-oriented investment style and its strategy of seeking out less prominent, undervalued stocks in each industry group. The single largest contributor to the Portfolio's performance was Tyco International, a diversified manufacturing and service company that is substantially overweighted relative to the Index. Other holdings that performed well were Philip Morris, Abercrombie & Fitch, and pharmaceutical company ALZA, which was acquired in June 2001 by Johnson & Johnson. E-bay, which was bought and sold opportunistically, was also a factor in performance in the first half of 2001. Weakness in health care insurer CIGNA, Ambac Financial Group and Global Marine partially offset gains from these strong performers. Falling stock prices in the media and telecommunications sectors have created opportunities to add holdings of quality companies including Sprint PCS, AOL Time Warner, and Gemstar. The J.P. Morgan Select Growth and Income Stock Portfolio is managed for Northwestern Mutual by J.P. Morgan Investment Management, Inc. SECTOR ALLOCATION 6/30/2001 [SECTOR ALLOCATION PIE CHART]
CONSUMER CONSUMER HEALTH INFORMATION DISCRETIONARY STAPLES ENERGY FINANCIALS CARE INDUSTRIALS TECHNOLOGY MATERIAL ------------- -------- ------ ---------- ------ ----------- ----------- -------- Sector Allocation 15.00 6.00 8.00 15.00 13.00 12.00 17.00 4.00 SHORT- TELECOMMUNICATION TERM SERVICES UTILITIES INVESTMENTS ----------------- --------- ----------- Sector Allocation 6.00 3.00 1.00
TOP 10 HOLDINGS 6/30/2001
Security Description % of Total Net Assets ------------------------------------------------------------------------------------ General Electric Company 5.0% ------------------------------------------------------------------------------------ Tyco International, Ltd. 4.1% ------------------------------------------------------------------------------------ Exxon Mobil Corporation 3.6% ------------------------------------------------------------------------------------ Microsoft Corporation 3.3% ------------------------------------------------------------------------------------ Philip Morris Companies, Inc. 3.0% ------------------------------------------------------------------------------------ Citigroup, Inc. 3.0% ------------------------------------------------------------------------------------ AOL Time Warner, Inc. 3.0% ------------------------------------------------------------------------------------ Pfizer, Inc. 2.2% ------------------------------------------------------------------------------------ Ambac Financial Group, Inc. 2.2% ------------------------------------------------------------------------------------ Chevron Corporation 2.1%
PERFORMANCE RELATIVE TO THE S&P 500 INDEX [PERFORMANCE RELATIVE TO THE S&P 500 INDEX LINE GRAPH]
J.P. MORGAN SELECT GROWTH & INCOME STOCK PORTFOLIO S&P 500 INDEX --------------------------- ------------- 5/94 10000.00 10000.00 6/94 9784.00 9845.00 6/95 11754.00 12394.00 6/96 14099.00 15604.00 6/97 18641.00 20999.00 6/98 23288.00 27305.00 6/99 27927.00 33503.00 6/00 26783.00 35952.00 6/01 24529.00 30620.00
- ----------------------------------------------------------------------------------- Average Annual Total Return For Periods Ended June 30, 2001 Since 1 Year 5 Years Inception# - ----------------------------------------------------------------------------------- J.P. Morgan Select Growth & Income Stock Portfolio -8.42% 11.71% 13.36% S&P 500 Index -14.83% 14.43% 16.93% - ----------------------------------------------------------------------------------- # Inception Date of 5/3/1994
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. Total returns shown on page 2 reflect mortality and expense risk charges and premium 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 returns significantly lower. Investors are urged to obtain a personalized illustration of historical performance which reflects the cost of insurance protection. J.P. Morgan Select Growth & Income Stock Portfolio 25 29 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments June 30, 2001 (unaudited)
MARKET SHARES/ VALUE COMMON STOCK (98.6%) PAR (000) ----------------------------------------------------------- CONSUMER DISCRETIONARY (14.5%) *Abercrombie & Fitch Co. - Class A 80,900 $ 3,600 *Adelphia Communications Corporation - Class A 80,700 3,363 *AOL Time Warner, Inc. 321,500 17,040 *AT&T Corp.-Liberty Media Group 568,100 9,936 *Comcast Corporation-Class A 80,300 3,485 *Costco Wholesale Corporation 73,500 3,090 Ford Motor Company 137,204 3,368 Gannett Co., Inc. 42,700 2,814 *Gemstar-TV Guide International, Inc. 93,000 3,920 The Home Depot, Inc. 88,400 4,115 *Lear Corporation 108,600 3,790 Mattel, Inc. 44,200 836 The News Corporation Limited, ADR 87,200 3,239 Target Corporation 166,300 5,754 The TJX Companies, Inc. 183,200 5,839 Wal-Mart Stores, Inc. 185,500 9,052 --------- TOTAL 83,241 --------- CONSUMER STAPLES (6.1%) The Coca-Cola Company 69,400 3,123 The Gillette Company 262,100 7,598 *Kraft Foods Inc. 81,400 2,523 Philip Morris Companies, Inc. 338,700 17,190 The Procter & Gamble Company 70,800 4,517 --------- TOTAL 34,951 --------- ENERGY (7.4%) Baker Hughes Incorporated 101,700 3,407 Chevron Corporation 132,400 11,982 Conoco, Inc. - Class B 97,600 2,821 Exxon Mobil Corporation 234,727 20,503 *Global Marine, Inc. 191,300 3,564 --------- TOTAL 42,277 --------- FINANCIALS (15.2%) Ambac Financial Group, Inc. 214,150 12,464 Bank One Corporation 164,200 5,878 Capital One Financial Corporation 124,400 7,464 Citigroup, Inc. 322,756 17,054 Countrywide Credit Industries, Inc. 94,100 4,317 *E*TRADE Group, Inc. 96,600 623 Federal National Mortgage Association 102,500 8,728 First Union Corporation 93,500 3,267 The Goldman Sachs Group, Inc. 87,700 7,525 U.S. Bancorp 522,620 11,911 Washington Mutual, Inc. 79,900 3,000 XL Capital Ltd. - Class A 55,200 4,532 --------- TOTAL 86,763 ---------
MARKET SHARES/ VALUE COMMON STOCK (98.6%) PAR (000) ----------------------------------------------------------- HEALTH CARE (13.1%) American Home Products Corporation 124,300 $ 7,264 *Amgen, Inc. 77,800 4,814 C. R. Bard, Inc. 60,900 3,468 CIGNA Corporation 76,000 7,282 *Human Genome Sciences, Inc. 32,566 1,950 Johnson & Johnson 198,450 9,923 Merck & Co., Inc. 119,800 7,656 Pfizer, Inc. 316,700 12,684 Pharmacia Corporation 197,552 9,078 Schering-Plough Corporation 207,200 7,509 *Tenet Healthcare Corporation 62,100 3,204 --------- TOTAL 74,832 --------- INDUSTRIALS (12.2%) *Cendant Corporation 262,104 5,111 Cooper Industries, Inc. 84,500 3,345 General Electric Company 590,700 28,796 *Sensormatic Electronics Corporation 159,200 2,706 Tyco International, Ltd. 431,192 23,500 Waste Management, Inc. 215,017 6,627 --------- TOTAL 70,085 --------- INFORMATION TECHNOLOGY (17.3%) *Altera Corporation 100,400 2,968 *Applied Materials, Inc. 44,400 2,270 *BEA Systems, Inc. 37,800 1,256 *CIENA Corporation 28,600 1,087 *Cisco Systems, Inc. 478,200 9,253 *Citrix Systems, Inc. 69,400 2,411 Compaq Computer Corporation 256,900 3,979 *Dell Computer Corporation 136,000 3,654 *EMC Corporation 76,100 2,211 Intel Corporation 365,100 11,073 International Business Machines Corporation 95,500 10,792 *Juniper Networks, Inc. 39,000 1,209 *Microsoft Corporation 264,300 18,988 Motorola, Inc. 216,900 3,592 *NCR Corporation 126,900 5,964 *Oracle Corporation 213,800 4,212 *Sun Microsystems, Inc. 333,000 5,381 Texas Instruments Incorporated 85,000 2,678 *TyCom, Ltd. 226,400 3,894 *VERITAS Software Corporation 33,218 2,246 --------- TOTAL 99,118 ---------
J.P. Morgan Select Growth & Income Stock Portfolio 26 30
MARKET SHARES/ VALUE COMMON STOCK (98.6%) PAR (000) ----------------------------------------------------------- MATERIALS (3.9%) Alcoa, Inc. 138,664 $ 5,464 Allegheny Technologies Incorporated 161,150 2,915 Potash Corporation of Saskatchewan, Inc. 38,300 2,198 Rohm and Haas Company 130,400 4,290 *Smurfit-Stone Container Corporation 324,834 5,049 Temple - Inland, Inc. 42,400 2,259 --------- TOTAL 22,175 --------- TELECOMMUNICATION SERVICES (5.9%) Global Crossing Ltd. 142,800 1,234 Level 3 Communications, Inc. 103,100 555 Nextel Communications, Inc. - Class A 160,500 2,796 Qwest Communications International, Inc. 78,300 2,495 SBC Communications, Inc. 195,110 7,815 Sprint Corporation (PCS Group) 233,700 5,644 Verizon Communications, Inc. 130,648 6,990 WorldCom Inc. - MCI Group 176,562 2,972 WorldCom, Inc. - WorldCom Group 235,159 3,499 --------- TOTAL 34,000 --------- UTILITIES (3.0%) DTE Energy Company 108,100 5,020 Dynegy Inc. - Class A 59,300 2,757 Entergy Corporation 71,400 2,741 NiSource, Inc. 174,190 4,761 PG&E Corporation 159,000 1,781 --------- TOTAL 17,060 --------- TOTAL COMMON STOCK (COST $568,792) 564,502 --------- MARKET SHARES/ VALUE MONEY MARKET INVESTMENTS (1.5%) PAR (000'S) ----------------------------------------------------------- ELECTRICAL EQUIPMENT & SUPPLIES (0.6%) General Electric Capital Corporation, 4.10%, 7/2/01 3,600,000 $ 3,600 --------- TOTAL 3,600 --------- FINANCE LESSORS (0.9%) Receivable Capital Trust, 3.87%, 7/26/01 4,759,000 4,746 --------- TOTAL 4,746 --------- TOTAL MONEY MARKET INVESTMENTS (COST $8,346) 8,346 --------- TOTAL INVESTMENTS (100.1%) (COST $577,138)! 572,848 --------- OTHER ASSETS, LESS LIABILITIES (-0.1%) (346) --------- TOTAL NET ASSETS (100.0%) $ 572,502 ========= -----------------------------------------------------------
! At 6/30/2001 the aggregate cost of securities for federal tax purposes was $577,138 and the net unrealized depreciation of investments based on that cost was $4,290 which is comprised of $53,703 aggregate gross unrealized appreciation and $57,993 aggregate gross unrealized depreciation. ADR - American Depository Receipt * Non-Income Producing The Accompanying Notes are an Integral Part of the Financial Statements J.P. Morgan Select Growth & Income Stock Portfolio 27 31
Objective: Portfolio Strategy: Net Assets: Long-term capital appreciation Invest in a portfolio designed to approximate the $1.94 through cost-effective participation composition and returns of the S&P 500 Index. billion in broad market 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(R). 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 large-capitalization segment of the U.S. equity market. The Portfolio therefore enables contract owners to participate in overall performance of this broad segment of the U.S. equity market. The Portfolio continues to achieve the objective of matching the results of the S&P 500(R) before expenses. SECTOR ALLOCATION 6/30/2001 [SECTOR ALLOCATION PIE CHART]
CONSUMER CONSUMER HEALTH INFORMATION DISCRETIONARY STAPLES ENERGY FINANCIALS CARE INDUSTRIALS TECHNOLOGY MATERIAL ------------- -------- ------ ---------- ------ ----------- ----------- -------- Sector Allocation 13.00 8.00 7.00 18.00 13.00 11.00 18.00 2.00 TELECOMMUNICATION SERVICES UTILITIES ----------------- --------- Sector Allocation 6.00 4.00
TOP 10 HOLDINGS 6/30/2001
Security Description % of Total Net Assets ------------------------------------------------------------------------------------ General Electric Company 4.4% ------------------------------------------------------------------------------------ Microsoft Corporation 3.5% ------------------------------------------------------------------------------------ Exxon Mobil Corporation 2.7% ------------------------------------------------------------------------------------ Citigroup, Inc. 2.4% ------------------------------------------------------------------------------------ Pfizer, Inc. 2.3% ------------------------------------------------------------------------------------ AOL Time Warner, Inc. 2.1% ------------------------------------------------------------------------------------ Wal-Mart Stores, Inc. 2.0% ------------------------------------------------------------------------------------ Intel Corporation 1.8% ------------------------------------------------------------------------------------ American International Group, Inc. 1.8% ------------------------------------------------------------------------------------ International Business Machines Corporation 1.8%
PERFORMANCE RELATIVE TO THE S&P 500 INDEX [PERFORMANCE RELATIVE TO THE S&P 500 INDEX LINE GRAPH]
INDEX 500 PORTFOLIO S&P 500 INDEX ------------------- ------------- 6/91 10000.00 10000.00 6/92 10961.00 11340.00 6/93 12321.00 12882.00 6/94 12442.00 13050.00 6/95 15666.00 16430.00 6/96 19721.00 20685.00 6/97 26513.00 27836.00 6/98 34478.00 36195.00 6/99 42374.00 44411.00 6/00 45443.00 47657.00 6/01 38933.00 40590.00
- ------------------------------------------------------- Average Annual Total Return For Periods Ended June 30, 2001 1 Year 5 Years 10 Years - ------------------------------------------------------- Index 500 Stock Portfolio -14.32% 14.57% 14.56% S&P 500 Index -14.83% 14.43% 15.04% - -------------------------------------------------------
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. "Standard & Poor's(R)", "S&P(R)", "S&P MidCap 400 Index", "Standard & Poor's MidCap 400 Index", "S&P 500(R)" and "Standard & Poor's 500" are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by The Northwestern Mutual Life Insurance Company. The funds are not sponsored, endorsed, sold or promoted by Standard & Poor's, and Standard & Poor's makes no representation regarding the advisability of investing in the funds. This chart assumes an initial investment of $10,000 made on 6/30/91. 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. Total returns shown on page 2 reflect mortality and expense risk charges and premium 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 returns significantly lower. Investors are urged to obtain a personalized illustration of historical performance which reflects the cost of insurance protection. Index 500 Stock Portfolio 28 32 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments June 30, 2001 (unaudited)
MARKET SHARES/ VALUE COMMON STOCK (99.5%) PAR (000) -------------------------------------------------------- CONSUMER DISCRETIONARY (13.1%) American Greetings Corporation - Class A 11,100 $ 122 *AOL Time Warner, Inc. 758,700 40,210 *AutoZone, Inc. 20,000 750 *Bed Bath & Beyond, Inc. 50,100 1,531 *Best Buy Co., Inc. 36,400 2,312 *Big Lots, Inc. 19,600 268 The Black & Decker Corporation 14,200 560 Brunswick Corporation 15,300 368 Carnival Corporation 102,500 3,147 Centex Corporation 10,400 424 Circuit City Stores, Inc. 36,100 650 *Clear Channel Communications, Inc. 102,500 6,427 *Comcast Corporation - Class A 164,700 7,148 Cooper Tire & Rubber Company 12,600 179 *Costco Wholesale Corporation 78,514 3,301 Dana Corporation 25,900 605 Darden Restaurants, Inc. 21,100 589 Delphi Automotive Systems Corporation 98,137 1,563 Dillard's, Inc. - Class A 15,400 235 Dollar General Corporation 57,928 1,130 Dow Jones & Company, Inc. 15,300 914 Eastman Kodak Company 52,600 2,455 *Federated Department Stores, Inc. 34,800 1,479 Ford Motor Company 325,019 7,979 Fortune Brands, Inc. 27,100 1,040 Gannett Co., Inc. 46,200 3,045 The Gap, Inc. 148,975 4,320 General Motors Corporation 96,147 6,187 The Goodyear Tire & Rubber Company 27,800 778 Harcourt General, Inc. 12,800 745 Harley-Davidson, Inc. 53,100 2,500 *Harrah's Entertainment, Inc. 20,500 724 Hasbro, Inc. 30,175 436 Hilton Hotels Corporation 64,600 749 The Home Depot, Inc. 405,994 18,898 The Interpublic Group of Companies, Inc. 54,000 1,585 J. C. Penney Company, Inc. 46,000 1,213 Johnson Controls, Inc. 15,100 1,094 KB Home 7,700 232 *Kmart Corporation 84,700 972 Knight-Ridder, Inc. 12,900 765 *Kohl's Corporation 58,200 3,651 Leggett & Platt, Incorporated 34,400 758 The Limited, Inc. 74,648 1,233 Liz Claiborne, Inc. 9,100 459 Lowe's Companies, Inc. 67,100 4,868 Marriott International, Inc. - Class A 42,100 1,993 Mattel, Inc. 74,788 1,415
MARKET SHARES/ VALUE COMMON STOCK (99.5%) PAR (000) -------------------------------------------------------- CONSUMER DISCRETIONARY continued The May Department Stores Company 52,200 $ 1,788 Maytag Corporation 13,500 395 McDonald's Corporation 229,900 6,221 The McGraw-Hill Companies, Inc. 34,300 2,269 Meredith Corporation 8,700 312 The New York Times Company - Class A 28,400 1,193 Newell Rubbermaid, Inc. 46,732 1,173 NIKE, Inc. - Class B 47,300 1,986 Nordstrom, Inc. 23,500 436 *Office Depot, Inc. 52,200 542 Omnicom Group, Inc. 31,000 2,666 Pulte Corporation 7,100 303 RadioShack Corporation 32,600 994 *Reebok International, Ltd. 10,000 320 Sears, Roebuck & Co. 58,600 2,479 The Sherwin-Williams Company 28,100 624 Snap-on Incorporated 10,150 245 The Stanley Works 15,100 632 *Staples, Inc. 79,400 1,199 *Starbucks Corporation 66,400 1,471 Starwood Hotels & Resorts Worldwide, Inc. 33,900 1,264 Target Corporation 157,000 5,432 Tiffany & Co. 25,600 927 The TJX Companies, Inc. 49,000 1,562 *Toys "R" Us, Inc. 34,600 856 Tribune Company 53,047 2,122 *Tricon Global Restaurants, Inc. 25,690 1,128 TRW, Inc. 21,800 894 Tupperware Corporation 10,100 237 *Univision Communications, Inc. - Class A 36,200 1,549 V. F. Corporation 19,900 724 *Viacom, Inc. - Class B 305,848 15,828 Visteon Corporation 22,933 422 Wal-Mart Stores, Inc. 783,100 38,214 The Walt Disney Company 364,707 10,536 Wendy's International, Inc. 19,900 508 Whirlpool Corporation 11,700 731 ----------- TOTAL CONSUMER DISCRETIONARY 254,188 ----------- CONSUMER STAPLES (7.6%) Adolph Coors Company - Class B 6,500 326 Alberto-Culver Company - Class B 9,900 416 Albertson's, Inc. 71,726 2,151 Anheuser-Busch Companies, Inc. 158,100 6,514 Archer-Daniels-Midland Company 111,121 1,445 Avon Products, Inc. 41,700 1,930 Brown-Forman Corporation - Class B 12,000 767
29 Index 500 Stock Portfolio 33
MARKET SHARES/ VALUE COMMON STOCK (99.5%) PAR (000) -------------------------------------------------------- CONSUMER STAPLES continued Campbell Soup Company 73,700 $ 1,898 The Clorox Company 41,400 1,401 The Coca-Cola Company 436,000 19,621 Coca-Cola Enterprises, Inc. 73,300 1,198 Colgate-Palmolive Company 100,300 5,917 ConAgra Foods, Inc. 94,100 1,864 CVS Corporation 68,700 2,652 General Mills, Inc. 49,800 2,180 The Gillette Company 184,700 5,354 H.J. Heinz Company 60,950 2,492 Hershey Foods Corporation 23,900 1,475 Kellogg Company 71,100 2,062 Kimberly-Clark Corporation 93,644 5,235 *The Kroger Co. 143,500 3,588 Longs Drug Stores Corporation 6,500 140 The Pepsi Bottling Group, Inc. 24,800 994 PepsiCo, Inc. 253,100 11,187 Philip Morris Companies, Inc. 389,800 19,783 The Procter & Gamble Company 227,900 14,541 The Quaker Oats Company 23,100 2,108 Ralston Purina Company 53,400 1,603 *Safeway, Inc. 87,900 4,219 Sara Lee Corporation 137,720 2,608 SUPERVALU, Inc. 23,200 407 SYSCO Corporation 118,500 3,217 Unilever N.V. ADR 100,167 5,967 UST, Inc. 28,600 825 Walgreen Co. 178,100 6,082 Winn-Dixie Stores, Inc. 24,600 643 Wm. Wrigley Jr. Company 39,600 1,855 ----------- TOTAL CONSUMER STAPLES 146,665 ----------- ENERGY (6.6%) Amerada Hess Corporation 15,500 1,252 Anadarko Petroleum Corporation 43,662 2,359 Apache Corporation 21,700 1,101 Ashland, Inc. 12,200 489 Baker Hughes Incorporated 58,230 1,951 Burlington Resources, Inc. 37,820 1,511 Chevron Corporation 112,500 10,181 Conoco, Inc. - Class B 109,300 3,159 Devon Energy Corporation 22,500 1,181 EOG Resources, Inc. 20,500 729 Exxon Mobil Corporation 609,485 53,238 Halliburton Company 77,600 2,763 Kerr-McGee Corporation 16,505 1,094 *Nabors Industries, Inc. 25,800 960 *Noble Drilling Corporation 23,500 770 Occidental Petroleum Corporation 64,800 1,723 Phillips Petroleum Company 44,800 2,554 *Rowan Companies, Inc. 16,500 365 Royal Dutch Petroleum Company 374,300 21,810 Schlumberger Limited 100,400 5,286 Sunoco, Inc. 14,900 546
MARKET SHARES/ VALUE COMMON STOCK (99.5%) PAR (000) -------------------------------------------------------- ENERGY continued Texaco, Inc. 96,500 $ 6,427 Tosco Corporation 25,400 1,119 Transocean Sedco Forex, Inc. 55,501 2,289 Unocal Corporation 42,600 1,455 USX-Marathon Group 54,400 1,605 ----------- TOTAL ENERGY 127,917 ----------- FINANCIALS (17.7%) AFLAC Incorporated 93,000 2,929 The Allstate Corporation 128,228 5,641 Ambac Financial Group, Inc. 18,500 1,077 American Express Company 233,200 9,048 American General Corporation 88,150 4,095 American International Group, Inc. 408,092 35,096 AmSouth Bancorporation 65,800 1,217 Aon Corporation 44,900 1,572 Bank of America Corporation 285,376 17,131 The Bank of New York Company, Inc. 129,800 6,230 Bank One Corporation 202,686 7,256 BB&T Corporation 70,400 2,584 The Bear Stearns Companies, Inc. 18,738 1,105 Capital One Financial Corporation 34,500 2,070 The Charles Schwab Corporation 242,550 3,711 Charter One Financial, Inc. 36,435 1,162 The Chubb Corporation 30,600 2,369 Cincinnati Financial Corporation 28,200 1,129 Citigroup, Inc. 880,523 46,526 Comerica Incorporated 31,050 1,788 Conseco, Inc. 57,037 779 Countrywide Credit Industries, Inc. 20,400 936 Federal Home Loan Mortgage Corporation 121,900 8,533 Federal National Mortgage Association 176,600 15,037 Fifth Third Bancorp 99,534 6,007 First Union Corporation 171,752 6,001 FleetBoston Financial Corporation 189,830 7,489 Franklin Resources, Inc. 46,300 2,119 Golden West Financial Corporation 27,700 1,779 The Hartford Financial Services Group, Inc. 41,400 2,832 Household International, Inc. 82,579 5,508 Huntington Bancshares Incorporated 43,982 711 J.P. Morgan Chase & Co. 333,548 14,876 Jefferson-Pilot Corporation 27,125 1,311 KeyCorp 74,700 1,946 Lehman Brothers Holdings, Inc. 43,900 3,413 Lincoln National Corporation 33,600 1,739 Loews Corporation 34,600 2,229 Marsh & McLennan Companies, Inc. 48,250 4,873 MBIA, Inc. 25,850 1,439 MBNA Corporation 149,375 4,922 Mellon Financial Corporation 85,600 3,938
Index 500 Stock Portfolio 30 34
MARKET SHARES/ VALUE COMMON STOCK (99.5%) PAR (000) -------------------------------------------------------- FINANCIALS continued Merrill Lynch & Co., Inc. 141,700 $ 8,396 MetLife, Inc. 134,000 4,151 MGIC Investment Corporation 18,700 1,358 Moody's Corporation 28,500 955 Morgan Stanley Dean Witter & Co. 195,810 12,577 National City Corporation 106,800 3,287 Northern Trust Corporation 38,900 2,509 The PNC Financial Services Group, Inc. 50,800 3,342 The Progressive Corporation 12,900 1,744 Providian Financial Corporation 50,100 2,966 Regions Financial Corporation 42,400 1,333 SAFECO Corporation 22,400 664 SouthTrust Corporation 59,400 1,541 The St. Paul Companies, Inc. 38,186 1,936 State Street Corporation 56,700 2,806 Stilwell Financial, Inc. 39,000 1,309 SunTrust Banks, Inc. 51,900 3,362 Synovus Financial Corp. 50,450 1,583 T. Rowe Price Group, Inc. 21,300 783 Torchmark Corporation 22,100 889 U.S. Bancorp 337,904 7,701 Union Planters Corporation 24,400 1,064 UnumProvident Corporation 42,231 1,356 USA Education, Inc. 28,800 2,102 Wachovia Corporation 36,700 2,611 Washington Mutual, Inc. 153,054 5,747 Wells Fargo & Company 299,630 13,912 ----------- TOTAL FINANCIALS 344,137 ----------- HEALTH CARE (12.8%) Abbott Laboratories 271,200 13,020 Aetna, Inc. 25,263 654 Allergan, Inc. 23,100 1,975 American Home Products Corporation 229,800 13,430 *Amgen, Inc. 182,600 11,299 Applera Corporation - Applied Biosystems Group 37,000 990 Bausch & Lomb Incorporated 9,400 341 Baxter International, Inc. 103,100 5,052 Becton, Dickinson and Company 45,000 1,611 *Biogen, Inc. 25,900 1,398 Biomet, Inc. 31,350 1,510 *Boston Scientific Corporation 71,100 1,209 Bristol-Myers Squibb Company 342,800 17,927 C. R. Bard, Inc. 8,900 507 Cardinal Health, Inc. 73,725 5,087 *Chiron Corporation 33,600 1,749 CIGNA Corporation 26,900 2,578 Eli Lilly and Company 197,600 14,622 *Forest Laboratories, Inc. 30,900 2,194 *Guidant Corporation 54,000 1,944 HCA - The Healthcare Company 96,900 4,379
MARKET SHARES/ VALUE COMMON STOCK (99.5%) PAR (000) -------------------------------------------------------- HEALTH CARE continued *HEALTHSOUTH Corporation 67,700 $ 1,081 *Humana, Inc. 29,700 293 Johnson & Johnson 528,070 26,403 *King Pharmaceuticals, Inc. 29,600 1,591 *Manor Care, Inc. 18,000 572 McKesson HBOC, Inc. 49,945 1,854 *MedImmune, Inc. 37,200 1,763 Medtronic, Inc. 210,600 9,690 Merck & Co., Inc. 404,300 25,838 Pfizer, Inc. 1,106,150 44,300 Pharmacia Corporation 226,070 10,388 *Quintiles Transnational Corp. 20,200 515 Schering-Plough Corporation 256,300 9,288 *St. Jude Medical, Inc. 14,900 894 Stryker Corporation 34,300 1,881 *Tenet Healthcare Corporation 56,300 2,905 UnitedHealth Group Incorporated 56,100 3,464 *Watson Pharmaceuticals, Inc. 18,000 1,110 *Wellpoint Health Networks, Inc. - Class A 11,000 1,037 ----------- TOTAL HEALTH CARE 248,343 ----------- INDUSTRIALS (11.4%) *Allied Waste Industries, Inc. 34,500 644 *American Power Conversion Corporation 34,100 505 *AMR Corporation 26,400 954 Automatic Data Processing, Inc. 111,400 5,537 Avery Dennison Corporation 19,300 985 The Boeing Company 146,276 8,132 Burlington Northern Santa Fe Corporation 68,821 2,076 Caterpillar, Inc. 60,300 3,018 *Cendant Corporation 134,833 2,629 Cintas Corporation 29,600 1,400 *Concord EFS, Inc. 37,900 2,117 *Convergys Corporation 30,100 911 Cooper Industries, Inc. 16,400 649 Crane Co. 10,575 328 CSX Corporation 37,300 1,352 Cummins, Inc. 7,200 279 Danaher Corporation 24,900 1,394 Deere & Company 41,200 1,559 Delta Air Lines, Inc. 21,600 952 Deluxe Corporation 12,700 367 Dover Corporation 35,600 1,340 Eaton Corporation 12,000 841 Ecolab, Inc. 22,300 914 Emerson Electric Co. 75,200 4,550 Equifax, Inc. 24,800 910 *FedEx Corporation 51,920 2,087 First Data Corporation 69,300 4,453 *Fiserv, Inc. 21,800 1,361 Fluor Corporation 12,900 582
31 Index 500 Stock Portfolio 35
MARKET SHARES/ VALUE COMMON STOCK (99.5%) PAR (000) -------------------------------------------------------- INDUSTRIALS continued General Dynamics Corporation 34,900 $ 2,716 General Electric Company 1,737,200 84,688 Genuine Parts Company 30,300 954 Goodrich Corporation 18,000 684 H&R Block, Inc. 16,000 1,033 Honeywell International, Inc. 139,850 4,893 Illinois Tool Works, Inc. 53,000 3,355 IMS Health Incorporated 51,500 1,468 Ingersoll-Rand Company 28,100 1,158 ITT Industries, Inc. 15,400 681 Lockheed Martin Corporation 75,508 2,798 Masco Corporation 78,200 1,952 McDermott International, Inc. 10,500 122 Minnesota Mining and Manufacturing Company 69,500 7,929 Molex Incorporated 34,200 1,242 National Service Industries, Inc. 7,200 163 *Navistar International Corporation 10,400 293 Norfolk Southern Corporation 67,400 1,395 Northrop Grumman Corporation 14,900 1,193 PACCAR, Inc. 13,370 685 Pall Corporation 21,500 506 Parker-Hannifin Corporation 20,475 869 Paychex, Inc. 65,375 2,700 Pitney Bowes, Inc. 44,200 1,862 *Power-One, Inc. 13,700 226 R. R. Donnelley & Sons Company 21,400 636 Raytheon Company-Class B 59,800 1,588 *Robert Half International, Inc. 31,200 777 Rockwell International Corporation 32,000 1,220 Ryder System, Inc. 10,400 204 Sabre Holdings Corporation - Class A 23,067 1,153 Southwest Airlines Co. 132,900 2,457 Symbol Technologies, Inc. 38,450 854 Textron, Inc. 24,900 1,370 *Thermo Electron Corporation 31,600 696 Thomas & Betts Corporation 10,100 223 The Timken Company 10,500 178 *TMP Worldwide, Inc. 18,700 1,114 Tyco International, Ltd. 337,208 18,377 Union Pacific Corporation 43,500 2,389 United Technologies Corporation 82,500 6,044 *US Airways Group, Inc. 11,700 284 W.W. Grainger, Inc. 16,500 679 Waste Management, Inc. 108,985 3,359 ----------- TOTAL INDUSTRIALS 221,993 ----------- INFORMATION TECHNOLOGY (18.5%) *ADC Telecommunications, Inc. 136,300 939 Adobe Systems Incorporated 42,200 1,983 *Advanced Micro Devices, Inc. 59,800 1,727 *Agilent Technologies, Inc. 79,980 2,599 *Altera Corporation 69,500 2,054
MARKET SHARES/ VALUE COMMON STOCK (99.5%) PAR (000) -------------------------------------------------------- INFORMATION TECHNOLOGY continued *Analog Devices, Inc. 63,100 $ 2,729 *Andrew Corporation 14,237 263 *Apple Computer, Inc. 60,700 1,457 *Applied Materials, Inc. 141,900 7,255 *Applied Micro Circuits Corporation 52,300 927 Autodesk, Inc. 9,900 369 *Avaya, Inc. 49,566 679 *BMC Software, Inc. 42,700 962 *Broadcom Corporation - Class A 42,800 1,836 *BroadVision, Inc. 47,200 241 *Cabletron Systems, Inc. 32,400 740 *Cisco Systems, Inc. 1,275,700 24,685 *Citrix Systems, Inc. 32,500 1,129 Compaq Computer Corporation 296,109 4,587 Computer Associates International, Inc. 101,012 3,636 *Computer Sciences Corporation 29,600 1,024 *Compuware Corporation 64,500 881 *Comverse Technology, Inc. 29,100 1,674 *Conexant Systems, Inc. 42,600 380 Corning Incorporated 161,200 2,694 *Dell Computer Corporation 453,500 12,186 Electronic Data Systems Corporation 82,000 5,125 *EMC Corporation 383,574 11,143 *Gateway, Inc. 56,600 931 Hewlett-Packard Company 338,800 9,690 Intel Corporation 1,179,900 35,786 International Business Machines Corporation 307,600 34,759 *Intuit, Inc. 36,300 1,417 *Jabil Circuit, Inc. 33,500 1,034 *JDS Uniphase Corporation 229,000 3,014 *KLA-Tencor Corporation 32,300 1,898 *Lexmark International Group, Inc. - Class A 22,300 1,500 Linear Technology Corporation 55,500 2,517 *LSI Logic Corporation 62,800 1,181 Lucent Technologies, Inc. 596,700 3,700 *Maxim Integrated Products, Inc. 56,700 2,637 *Mercury Interactive Corporation 14,200 869 *Micron Technology, Inc. 104,000 4,274 *Microsoft Corporation 935,400 67,200 Millipore Corporation 8,100 502 Motorola, Inc. 383,010 6,343 *National Semiconductor Corporation 30,500 888 *NCR Corporation 16,800 790 *Network Appliance, Inc. 56,300 771 Nortel Networks Corporation 557,800 5,070 *Novell, Inc. 55,700 291 *Novellus Systems, Inc. 24,700 1,378 *Oracle Corporation 979,300 19,292 *Palm, Inc. 99,320 602 *Parametric Technology Corporation 46,600 600 *PeopleSoft, Inc. 50,000 2,419
Index 500 Stock Portfolio 32 36
MARKET SHARES/ VALUE COMMON STOCK (99.5%) PAR (000) -------------------------------------------------------- INFORMATION TECHNOLOGY continued PerkinElmer, Inc. 17,500 $ 482 *QLogic Corporation 16,200 1,039 *QUALCOMM Incorporated 132,100 7,520 *Sanmina Corporation 53,700 1,297 *Sapient Corporation 21,200 209 Scientific-Atlanta, Inc. 28,300 1,149 *Siebel Systems, Inc. 75,300 3,578 *Solectron Corporation 113,200 2,072 *Sun Microsystems, Inc. 571,500 9,235 Tektronix, Inc. 16,600 451 *Tellabs, Inc. 72,000 1,362 *Teradyne, Inc. 30,600 1,013 Texas Instruments Incorporated 304,000 9,576 *Unisys Corporation 55,300 813 *VERITAS Software Corporation 71,661 4,846 *Vitesse Semiconductor Corporation 33,300 705 Xerox Corporation 117,000 1,120 *Xilinx, Inc. 57,900 2,403 *Yahoo!, Inc. 97,900 1,913 ----------- TOTAL INFORMATION TECHNOLOGY 358,040 ----------- MATERIALS (2.5%) Air Products and Chemicals, Inc. 40,200 1,839 Alcan, Inc. 55,700 2,341 Alcoa, Inc. 151,668 5,977 Allegheny Technologies Incorporated 14,067 254 Ball Corporation 5,000 238 Barrick Gold Corporation 69,400 1,051 Bemis Company, Inc. 9,300 374 Boise Cascade Corporation 10,100 355 The Dow Chemical Company 157,180 5,227 E. I. du Pont de Nemours and Company 182,900 8,824 Eastman Chemical Company 13,525 644 Engelhard Corporation 22,400 578 *FMC Corporation 5,300 363 *Freeport-McMoRan Copper & Gold, Inc. - Class B 26,000 287 Georgia-Pacific Corporation 39,571 1,339 Great Lakes Chemical Corporation 8,800 271 Hercules Incorporated 18,800 212 Homestake Mining Company 46,100 357 *Inco Limited 31,900 551 International Flavors & Fragrances, Inc. 17,100 430 International Paper Company 84,406 3,013 Louisiana-Pacific Corporation 18,300 215 The Mead Corporation 17,400 472 Newmont Mining Corporation 33,680 627 Nucor Corporation 13,700 670 *Pactiv Corporation 27,700 371 Phelps Dodge Corporation 13,824 574 Placer Dome, Inc. 57,400 563 Potlatch Corporation 5,000 172
MARKET SHARES/ VALUE COMMON STOCK (99.5%) PAR (000) -------------------------------------------------------- MATERIALS continued PPG Industries, Inc. 29,500 $ 1,551 Praxair, Inc. 27,800 1,307 Rohm and Haas Company 38,513 1,267 *Sealed Air Corporation 14,671 546 Sigma-Aldrich Corporation 13,500 545 Temple-Inland, Inc. 8,600 458 USX-U. S. Steel Group 15,600 314 Vulcan Materials Company 17,700 951 Westvaco Corporation 17,650 429 Weyerhaeuser Company 38,100 2,094 Willamette Industries, Inc. 19,200 950 Worthington Industries, Inc. 14,950 203 ----------- TOTAL MATERIALS 48,804 ----------- TELECOMMUNICATION SERVICES (5.6%) ALLTEL Corporation 54,900 3,363 AT&T Corp. 593,838 13,064 BellSouth Corporation 328,300 13,221 CenturyTel, Inc. 24,700 748 *Citizens Communications Company 46,500 559 *Global Crossing Ltd. 155,310 1,342 *Nextel Communications, Inc. - Class A 133,600 2,327 *Qwest Communications International, Inc. 290,317 9,252 SBC Communications, Inc. 593,425 23,773 Sprint Corporation 155,000 3,311 *Sprint Corporation (PCS Group) 163,500 3,949 Verizon Communications, Inc. 473,686 25,343 *WorldCom, Inc.-WorldCom Group 504,773 7,511 ----------- TOTAL TELECOMMUNICATION SERVICES 107,763 ----------- UTILITIES (3.7%) *The AES Corporation 93,100 4,008 Allegheny Energy, Inc. 21,500 1,037 Ameren Corporation 24,100 1,029 American Electric Power Company, Inc. 56,420 2,605 *Calpine Corporation 52,300 1,977 Cinergy Corp. 27,917 976 CMS Energy Corporation 22,900 638 Consolidated Edison, Inc. 37,200 1,481 Constellation Energy Group, Inc. 28,500 1,214 Dominion Resources, Inc. 41,895 2,519 DTE Energy Company 30,100 1,398 Duke Energy Corporation 134,330 5,239 Dynegy Inc. - Class A 56,600 2,632 Edison International 57,100 637 El Paso Corporation 87,171 4,580 Enron Corp. 130,900 6,413 Entergy Corporation 39,100 1,501 Exelon Corporation 55,812 3,579 FirstEnergy Corp. 39,500 1,270 FPL Group, Inc. 31,000 1,867
33 Index 500 Stock Portfolio 37
MARKET SHARES/ VALUE COMMON STOCK (99.5%) PAR (000) -------------------------------------------------------- UTILITIES continued GPU, Inc. 21,400 $ 752 KeySpan Corporation 23,600 861 Kinder Morgan, Inc. 20,100 1,010 *Mirant Corporation 59,359 2,042 *Niagara Mohawk Holdings, Inc. 28,100 497 Nicor, Inc. 8,000 312 NiSource, Inc. 35,773 978 ONEOK, Inc. 10,200 201 Peoples Energy Corporation 6,200 249 PG&E Corporation 67,900 760 Pinnacle West Capital Corporation 14,900 706 PPL Corporation 25,434 1,399 Progress Energy, Inc. 35,992 1,617 Public Service Enterprise Group Incorporated 37,600 1,839 Reliant Energy, Inc. 51,662 1,664 Sempra Energy 35,902 982 The Southern Company 118,500 2,755 TXU Corp. 45,215 2,179 The Williams Companies, Inc. 84,700 2,791 Xcel Energy, Inc. 59,720 1,699 ----------- TOTAL UTILITIES 71,893 ----------- TOTAL COMMON STOCK (COST $1,324,640) 1,929,743 ----------- MONEY MARKET INVESTMENTS (0.5%) -------------------------------------------------------- ELECTRICAL EQUIPMENT & SUPPLIES (0.1%) #General Electric Capital Corporation, 4.10%, 7/2/01 1,700,000 1,700 ----------- TOTAL ELECTRICAL EQUIPMENT & SUPPLIES 1,700 ----------- FEDERAL GOVERNMENT AND AGENCIES (0.3%) #Federal Home Loan Mortgage Corporation, 3.71%, 9/14/01 5,000,000 4,962 ----------- TOTAL FEDERAL GOVERNMENT AND AGENCIES 4,962 -----------
MARKET SHARES/ VALUE MONEY MARKET INVESTMENTS (0.5%) PAR (000'S) -------------------------------------------------------- MISCELLANEOUS BUSINESS CREDIT INSTITUTIONS (0.1%) #Quincy Capital Corporation, 3.90%, 7/26/01 2,600,000 $ 2,593 ----------- TOTAL MISCELLANEOUS BUSINESS CREDIT INSTITUTIONS 2,593 ----------- TOTAL MONEY MARKET INVESTMENTS (COST $9,254) 9,255 ----------- TOTAL INVESTMENTS (100.0%) (COST $1,333,894)! 1,938,998 ----------- OTHER ASSETS, LESS LIABILITIES (0.0%) 802 ----------- TOTAL NET ASSETS (100.0%) $ 1,939,800 =========== --------------------------------------------------------
! At 6/30/2001 the aggregate cost of securities for federal tax purposes was $1,333,894 and the net unrealized appreciation of investments based on that cost was $605,104 which is comprised of $740,027 aggregate gross unrealized appreciation and $134,923 aggregate gross unrealized depreciation. * Non-Income Producing ADR - American Depository Receipt # All or a portion of the securities have been committed as collateral for open futures positions. Information regarding open futures contracts as of period end is summarized below.
UNREALIZED APPRECIATION/ NUMBER EXPIRATION (DEPRECIATION) ISSUERS CONTRACTS DATE (000'S) - --------------------------------------------------------------- S & P 500 30 09/01 $(30) (Total Notional Value at 6/30/2001, $9,296)
The Accompanying Notes are an Integral Part of the Financial Statements Index 500 Stock Portfolio 34 38
Objective: Portfolio Strategy: Net Assets: A high level of current income and Achieve consistent returns and low volatility by $3.13 capital growth with a low risk diversifying among assets billion 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 mix of securities in the Balanced Portfolio is only slightly different from that of six months ago. However, a volatile stock market has provided the opportunity to increase returns through opportunistic selling and adjustments among asset classes. During the first quarter of 2001, as the market was trending rather sharply down, stocks were purchased during periods of pronounced weakness. In the second quarter, as signs of recovery began to appear, the focus shifted to a more conservative strategy of using strength to reduce equity exposure. At the end of June, the Portfolio is positioned relatively conservatively, with equities representing 53% of assets, down from 55% six months earlier. PERCENTAGE HOLDINGS 6/30/2001 [PERCENTAGE HOLDINGS PIE CHART]
EQUITIES (INCLUDING FUTURES) BONDS SHORT-TERM INVESTMENTS ---------------------------- ----- ---------------------- Sector Allocation 53.00 41.00 6.00
PERFORMANCE RELATIVE TO RELEVANT INDICES [PERFORMANCE RELATIVE TO THE RELEVANT INDICES LINE GRAPH]
MERRILL LYNCH DOMESTIC BALANCED PORTFOLIO MASTER INDEX 91 DAY T-BILL S&P 500 INDEX ------------------ ---------------------- ------------- ------------- 6/91 10000.00 10000.00 10000.00 10000.00 11161.00 11415.00 10518.00 11340.00 6/93 12532.00 12776.00 10873.00 12882.00 12638.00 12644.00 11239.00 13050.00 6/95 14934.00 14235.00 11859.00 16430.00 17310.00 14941.00 12515.00 20685.00 6/97 21002.00 16163.00 13194.00 27836.00 25267.00 17887.00 13892.00 36195.00 6/99 28825.00 18438.00 14567.00 44411.00 30522.00 19281.00 15372.00 47657.00 6/01 29447.00 21421.00 16278.00 40590.00
- ----------------------------------------------------------------- Average Annual Total Return For Periods Ended June 30, 2001 1 Year 5 Years 10 Years - ----------------------------------------------------------------- Balanced Portfolio -3.52% 11.21% 11.40% Merrill Lynch Domestic Master Index 11.10% 7.47% 7.92% Merrill Lynch 91 Day T-Bill Index 5.89% 5.40% 4.99% S&P 500 Index -14.83% 14.43% 15.04% - -----------------------------------------------------------------
In the graph, the Portfolio is compared against three indices representing the three major components of the Portfolio: equities, fixed income, and cash equivalent investments. The Standard & Poor's 500 Composite Stock Price Index is an unmanaged index of 500 selected common stocks, most of which are listed on the New York Stock Exchange. The index is heavily weighted toward stocks with large market capitalizations and represents approximately two-thirds of the total market value of all domestic common stocks. The Merrill Lynch Domestic Master Index is an unmanaged market value weighted index comprised of U.S. Government, mortgage and investment-grade corporate bonds. The index measures the income provided by, and the price changes of, the underlying securities. The Merrill Lynch 91-Day T-Bill Index is comprised of a single issue purchased at the beginning of each month and held for a full month. The issue selected at each month-end rebalancing is the outstanding Treasury Bill that matures closest to, but not beyond, three months from the rebalancing date. This chart assumes an initial investment of $10,000 made on 6/30/91. 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. Total returns shown on page 2 reflect mortality and expense risk charges and premium 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 returns significantly lower. Investors are urged to obtain a personalized illustration of historical performance which reflects the cost of insurance protection. 35 Balanced Portfolio 39 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments June 30, 2001 (unaudited)
MARKET SHARES/ VALUE CORPORATE BONDS (6.5%) PAR (000'S) ---------------------------------------------------------- AEROSPACE - DEFENSE (0.7%) Lockheed Martin Corporation, 8.2%, 12/1/09 7,450,000 $ 8,024 Northrop Grumman Corporation, 7.125%, 2/15/11 (144A) 4,550,000 4,496 Raytheon Corporation, 8.2%, 3/1/06 4,035,000 4,185 Raytheon Corporation, 8.3%, 3/1/10 4,967,000 5,185 ----------- TOTAL 21,890 ----------- AUTO RELATED (0.3%) General Motors Acceptance Corporation, 7.25%, 3/2/11 4,250,000 4,299 Toyota Motor Credit Corporation, 5.65%, 1/15/07 4,750,000 4,691 ----------- TOTAL 8,990 ----------- AUTOMOTIVE RENTALS, NO DRIVERS (0.1%) Hertz Corporation, 7.40%, 3/1/11 4,500,000 4,551 ----------- TOTAL 4,551 ----------- BANK HOLDING COMPANIES (0.2%) Banco Montevideo, 8.4%, 4/30/08 (144A) 6,250,000 5,828 Nationsbank Lease Pass Through Trust, Series 1997-A, Class 1, 7.442% 1/10/11 (144A) 1,786,251 1,849 ----------- TOTAL 7,677 ----------- BEVERAGES, MALT BEVERAGES (0.5%) Anheuser-Busch Companies, Inc., 7%, 12/1/25 4,800,000 4,630 Anheuser-Busch Companies, Inc., 7.5%, 3/15/12 2,525,000 2,763 Fosters Finance Corporation, 6.875%, 6/15/11 (144A) 8,000,000 7,927 ----------- TOTAL 15,320 ----------- BOTTLED & CANNED SOFT DRINKS (0.3%) Coca-Cola Enterprises, Inc., 8%, 1/4/05 8,750,000 9,354 ----------- TOTAL 9,354 ----------- BROAD WOVEN FABRIC MILLS, MANMADE (0.0%) ++Polysindo International Finance, 11.375%, 6/15/06 6,500,000 520 ----------- TOTAL 520 ----------- CANNED FRUITS & VEGETABLES (0.1%) H.J. Heinz Company, 6.625%, 7/15/11 (144A) 4,000,000 3,958 ----------- TOTAL 3,958 -----------
MARKET SHARES/ VALUE CORPORATE BONDS (6.5%) PAR (000'S) ---------------------------------------------------------- COMMERCIAL BANKS (0.5%) Bank of America Corporation, 7.4%, 1/15/11 2,668,000 $ 2,772 Citigroup, Inc., 6.5%, 1/18/11 9,667,000 9,596 Wells Fargo Bank, 6.45%, 2/1/11 4,850,000 4,769 ----------- TOTAL 17,137 ----------- DRUGS (0.1%) Pfizer Inc., 5.625%, 2/1/06 3,500,000 3,510 ----------- TOTAL 3,510 ----------- ELECTRIC SERVICES (1.0%) Atlantic City Electric, 6.625%, 8/1/13 4,000,000 3,850 DTE Energy Company, 7.05%, 6/1/11 2,287,000 2,297 Exelon Generation Co., LLC, 6.95%, 6/15/11, (144A) 4,500,000 4,471 Ohio Edison Company, 7.375%, 9/15/02 3,665,000 3,761 Public Service Electric & Gas Co., 6.875%, 1/1/03 9,000,000 9,177 South Carolina Electric & Gas, 6.125%, 3/1/09 3,000,000 2,893 Texas Utilities Electric Co., 7.875%, 3/1/23 4,000,000 4,004 ----------- TOTAL 30,453 ----------- GROCERIES, GENERAL LINE (0.3%) Safeway, Inc., 6.5%, 3/1/11 10,000,000 9,749 ----------- TOTAL 9,749 ----------- METAL MINING (0.1%) Rio Tinto Finance Ltd., 5.75%, 7/3/06 2,500,000 2,478 ----------- TOTAL 2,478 ----------- OIL AND GAS EXTRACTION (0.2%) Chevron Corporation, 6.625%, 10/1/04 4,750,000 4,940 ----------- TOTAL 4,940 ----------- PHARMACEUTICALS (0.3%) Johnson & Johnson, 6.625%, 9/1/09 2,800,000 2,888 Merck & Co., Inc. 5.95%, 12/1/28 5,750,000 5,228 ----------- TOTAL 8,116 ----------- PLASTICS MATERIALS AND RESINS (0.3%) Dow Capital B.V., 8.5%, 6/8/10 8,200,000 8,986 ----------- TOTAL 8,986 -----------
Balanced Portfolio 36 40
MARKET SHARES/ VALUE CORPORATE BONDS (6.5%) PAR (000'S) ---------------------------------------------------------- REAL ESTATE OPERATOR LESSORS (0.3%) ERP Operating LP, 6.95%, 3/2/11 10,000,000 $ 9,835 ----------- TOTAL 9,835 ----------- RETAIL-MISC SHOPPING GOODS STORES (0.8%) Kohls Corporation, 6.30%, 3/1/11, (144A) 5,500,000 5,314 LB Mortgage Trust, Series 1991-2, Class A3, 8.3962%, 1/20/17 10,211,459 11,092 Wal-Mart Stores, Inc., 6.875%, 8/1/02 2,000,000 2,050 Wal-Mart Stores, Inc., 6.875%, 8/10/09 5,000,000 5,188 ----------- TOTAL 23,644 ----------- TOBACCO PRODUCTS (0.3%) Philip Morris Companies Inc., 7.75%, 1/15/27 10,000,000 10,001 ----------- TOTAL 10,001 ----------- TRANSPORTATION SERVICES (0.1%) United Parcel Service, 8.375%, 4/1/20 1,750,000 2,037 ----------- TOTAL 2,037 ----------- TOTAL CORPORATE BONDS (COST: $208,054) 203,146 ----------- GOVERNMENT (DOMESTIC AND FOREIGN) AND AGENCY BONDS 28.6%) ---------------------------------------------------------- FEDERAL GOVERNMENT AND AGENCIES (28.4%) Aid-Israel, 0%, 11/15/22 11,600,000 2,938 Aid-Israel, 0%, 11/15/23 11,500,000 2,732 Federal Home Loan Bank, 5.54%, 1/8/09 5,000,000 4,865 Federal Home Loan Mortgage Corporation, 6.5%, 4/1/11 9,974,671 10,137 Federal Home Loan Mortgage Corporation, 7%, 3/15/07 5,708,891 5,829 Federal Home Loan Mortgage Corporation, 7.5%, 10/1/27 9,568,701 9,822 Federal National Mortgage Association, 5.97%, 10/1/08 1,716,498 1,700 Federal National Mortgage Association, 6.24%, 2/1/06 4,748,577 4,819 Federal National Mortgage Association, 6.265%, 10/1/08 5,572,649 5,600 Federal National Mortgage Association, 6.315%, 3/1/06 5,015,876 5,102 Federal National Mortgage Association, 6.34%, 2/1/08 4,051,853 4,096 Federal National Mortgage Association, 6.43%, 6/1/08 7,134,528 7,239
GOVERNMENT (DOMESTIC AND MARKET FOREIGN) AND AGENCY SHARES/ VALUE BONDS (28.6%) PAR (000'S) ---------------------------------------------------------- FEDERAL GOVERNMENT AND AGENCIES continued Federal National Mortgage Association, 6.5%, 9/25/05 3,855,976 $ 3,924 Federal National Mortgage Association, 6.75%, 12/25/23 6,500,000 6,596 Federal National Mortgage Association, 6.75%, 11/1/07 3,011,201 3,103 Federal National Mortgage Association, 6.75%, 4/25/18 5,043,571 5,099 Federal National Mortgage Association, 6.835%, 7/1/03 2,867,692 2,916 Federal National Mortgage Association, 6.895%, 5/1/06 5,879,787 6,102 Federal National Mortgage Association, 6.9%, 4/1/06 2,371,166 2,461 Federal National Mortgage Association, 7%, 6/1/03 2,083,370 2,126 Federal National Mortgage Association, 7%, 6/25/10 7,129,163 7,335 Federal National Mortgage Association, 7%, 4/1/26 11,146,986 11,267 Federal National Mortgage Association, 7.025%, 9/1/05 1,884,924 1,965 Federal National Mortgage Association, 7.12%, 11/1/03 957,128 987 Federal National Mortgage Association, 7.25%, 5/1/04 1,529,060 1,591 Federal National Mortgage Association, 8.4%, 2/25/09 10,910,000 11,522 Federal National Mortgage Association, 11%, 12/1/12 59,179 66 Federal National Mortgage Association, 11%, 9/1/17 574,116 644 Federal National Mortgage Association, 11%, 2/1/18 267,900 301 Federal National Mortgage Association, 11%, 12/1/17 102,487 115 Federal National Mortgage Association, 11.5%, 4/1/18 395,249 449 Federal National Mortgage Association, 12%, 9/1/12 616,136 702 Federal National Mortgage Association, 12%, 12/1/12 142,278 163 Federal National Mortgage Association, 12%, 10/1/17 180,744 207 Federal National Mortgage Association, 12%, 9/1/17 184,799 212 Federal National Mortgage Association, 12%, 12/1/17 169,043 194 Federal National Mortgage Association, 12%, 2/1/18 221,912 255 Federal National Mortgage Association, 12.5%, 4/1/18 170,891 198 Federal National Mortgage Association, 13%, 11/1/12 78,202 91
37 Balanced Portfolio 41
GOVERNMENT (DOMESTIC AND MARKET FOREIGN) AND AGENCY SHARES/ VALUE BONDS (28.6%) PAR (000'S) ---------------------------------------------------------- FEDERAL GOVERNMENT AND AGENCIES continued Federal National Mortgage Association, 13%, 2/1/18 272,779 $ 319 Federal National Mortgage Association, 13%, 12/1/17 132,363 155 Federal National Mortgage Association, 13%, 11/1/17 164,276 192 Federal National Mortgage Association, 14%, 12/1/17 78,840 94 Government National Mortgage Association, 7%, 6/15/28 3,044,349 3,076 Government National Mortgage Association, 7%, 5/15/28 1,113,816 1,125 Government National Mortgage Association, 7%, 7/15/28 3,703,086 3,739 Government National Mortgage Association, 7%, 4/15/28 592,147 598 Government National Mortgage Association, 7%, 3/15/28 96,762 98 Government National Mortgage Association, 7%, 2/15/28 100,257 101 Government National Mortgage Association, 7%, 12/15/27 261,240 264 Government National Mortgage Association, 7%, 1/15/28 335,606 339 Government National Mortgage Association, 7%, 7/15/23 736,773 749 Government National Mortgage Association, 7%, 10/15/23 287,889 294 Government National Mortgage Association, 7%, 9/15/23 309,501 315 Government National Mortgage Association, 7%, 5/15/23 7,361,260 7,485 Government National Mortgage Association, 7%, 6/15/23 498,719 507 Government National Mortgage Association, 7%, 11/15/23 1,042,161 1,059 Government National Mortgage Association, 7%, 8/15/23 10,756 11 Government National Mortgage Association, 7.5%, 12/15/27 129,845 134 Government National Mortgage Association, 7.5%, 7/15/28 526,963 542 Government National Mortgage Association, 7.5%, 3/15/27 28,928 30 Government National Mortgage Association, 7.5%, 4/15/27 1,107,713 1,140 Government National Mortgage Association, 7.5%, 10/15/26 56,046 58 Government National Mortgage Association, 7.5%, 12/15/26 491,315 506 Government National Mortgage Association, 7.5%, 5/15/27 424,418 437 Government National Mortgage Association, 7.5%, 6/15/26 702,499 724
GOVERNMENT (DOMESTIC AND MARKET FOREIGN) AND AGENCY SHARES/ VALUE BONDS (28.6%) PAR (000'S) ---------------------------------------------------------- FEDERAL GOVERNMENT AND AGENCIES continued Government National Mortgage Association, 7.5%, 7/15/27 424,057 $ 437 Government National Mortgage Association, 7.5%, 1/15/27 29,535 30 Government National Mortgage Association, 7.5%, 2/15/27 288,984 297 Government National Mortgage Association, 7.5%, 9/15/26 8,694 9 Government National Mortgage Association, 7.5%, 12/15/25 328,388 339 Government National Mortgage Association, 7.5%, 3/15/26 299,642 309 Government National Mortgage Association, 7.5%, 11/15/25 11,539 12 Government National Mortgage Association, 7.5%, 9/15/25 168,584 174 Government National Mortgage Association, 7.5%, 1/15/26 11,360 12 Government National Mortgage Association, 7.5%, 8/15/25 10,042 10 Government National Mortgage Association, 7.5%, 1/15/23 459,936 475 Government National Mortgage Association, 7.5%, 6/15/24 6,280 6 Government National Mortgage Association, 7.5%, 7/15/24 204,724 211 Government National Mortgage Association, 7.5%, 6/15/23 241,919 250 Government National Mortgage Association, 8%, 7/20/28 1,457,668 1,508 Government National Mortgage Association, 8%, 12/15/26 238,061 248 Government National Mortgage Association, 8%, 6/15/27 200,248 208 Government National Mortgage Association, 8%, 7/15/27 117,461 122 Government National Mortgage Association, 8%, 10/15/26 476,981 496 Government National Mortgage Association, 8%, 4/15/27 506,130 526 Government National Mortgage Association, 8%, 3/15/26 13,703 14 Government National Mortgage Association, 8%, 8/15/26 317,907 331 Government National Mortgage Association, 8%, 7/15/26 608,604 634 Government National Mortgage Association, 8%, 6/15/26 317,309 330 Government National Mortgage Association, 8%, 9/15/26 251,596 262 Government National Mortgage Association, 8%, 11/15/26 284,991 297 Government National Mortgage Association, 8%, 5/15/26 325,721 339
Balanced Portfolio 38 42
GOVERNMENT (DOMESTIC AND MARKET FOREIGN) AND AGENCY SHARES/ VALUE BONDS (28.6%) PAR (000'S) ---------------------------------------------------------- FEDERAL GOVERNMENT AND AGENCIES continued Government National Mortgage Association, 8%, 9/15/24 175,732 $ 184 Government National Mortgage Association, 8.5%, 4/15/26 50,702 53 Government National Mortgage Association, 8.5%, 11/15/25 5,899 6 Government National Mortgage Association, 8.5%, 1/15/25 59,400 63 Government National Mortgage Association, 8.5%, 1/15/26 26,922 28 Government National Mortgage Association, 8.5%, 2/15/25 37,921 40 Government National Mortgage Association, 8.5%, 12/15/24 4,885 5 Government National Mortgage Association, 8.5%, 8/15/24 44,923 48 Government National Mortgage Association, 8.5%, 6/15/24 5,923 6 Government National Mortgage Association, 8.5%, 3/15/26 13,920 15 Government National Mortgage Association, 8.5%, 7/15/24 8,491 9 Government National Mortgage Association, 8.5%, 2/15/26 1,956 2 Government National Mortgage Association, 8.5%, 5/15/26 15,345 16 Government National Mortgage Association, 8.5%, 12/15/22 11,787 13 Government National Mortgage Association, 8.5%, 5/15/22 2,280 2 Government National Mortgage Association, 8.5%, 10/15/22 20,555 22 Government National Mortgage Association, 8.5%, 9/15/22 2,005 2 Government National Mortgage Association, 11%, 1/15/18 4,497,824 5,038 Iroquois Trust, Series 1997-2, Class A, 6.752%, 6/25/07 (144A) 1,734,583 1,755 Iroquois Trust, Series 1997-3, Class A, 6.68%, 11/10/03 (144A) 1,969,569 2,005 Rural Housing Trust 1987-1, Series 1, Class D, 6.33%, 4/1/26 3,294,761 3,348 US Treasury, 4.625%, 2/28/03 72,022,000 72,499 US Treasury, 4.625%, 5/15/06 31,922,000 31,483 US Treasury, 4.75%, 2/15/04 19,250,000 19,354 US Treasury, 5%, 2/15/11 58,275,000 56,545 US Treasury, 5.25%, 5/15/04 29,700,000 30,222 US Treasury , 5.375%, 2/15/31 6,000,000 5,688 US Treasury, 5.625%, 12/31/02 2,300,000 2,349 US Treasury, 5.625%, 2/15/06 24,558,000 25,220
GOVERNMENT (DOMESTIC AND MARKET FOREIGN) AND AGENCY SHARES/ VALUE BONDS (28.6%) PAR (000'S) ---------------------------------------------------------- FEDERAL GOVERNMENT AND AGENCIES continued US Treasury, 5.875%, 11/30/2001 19,000,000 $ 19,165 US Treasury, 6%, 7/31/02 4,000,000 4,086 US Treasury, 6%, 9/30/02 4,900,000 5,016 US Treasury, 6%, 8/15/04 25,000,000 25,951 US Treasury, 6.25%, 5/15/30 32,993,000 34,988 US Treasury, 6.5%, 2/28/02 55,000,000 55,978 US Treasury, 7.25%, 8/15/04 6,000,000 6,443 US Treasury Inflation Index Bond, 3.375%, 1/15/07 25,921,346 26,237 US Treasury Inflation Index Bond, 3.625%, 7/15/02 2,741,550 2,793 US Treasury Inflation Index Bond, 3.625%, 4/15/28 7,077,460 7,246 US Treasury Inflation Index Bond, 3.875%, 4/15/29 181,633,829 194,463 #US Treasury Inflation Index Bond, 4.25%, 1/15/10 71,178,320 75,294 Vendee Mortgage Trust, Series 1998-3, Class E, 6.5%, 3/15/29 4,500,000 4,335 ----------- TOTAL 885,462 ----------- FOREIGN GOVERNMENT BONDS (0.2%) Province of Quebec, 6.5%, 1/17/06 7,500,000 7,690 ----------- TOTAL 7,690 ----------- TOTAL GOVERNMENT (DOMESTIC AND FOREIGN) AND AGENCY BONDS (COST $863,086) 893,152 ----------- MORTGAGE / ASSET BACKED SECURITIES (5.7%) ---------------------------------------------------------- AUTO RELATED (0.4%) Fleetwood Credit Corporation Grantor Trust, Series 1997-B, Class A, 6.4%, 5/15/13 1,051,253 1,072 Team Fleet Financing Corporation, Series 1996-1, Class A, 6.65%, 12/15/02 (144A) 11,800,000 11,912 ----------- TOTAL 12,984 ----------- BOAT DEALERS (0.3%) BankBoston Marine Asset Backed Trust, Series 1997-2, Class A6, 6.64%, 8/15/10 7,000,000 7,155 Nationscredit Grantor Trust, Series 1997-2, Class A1, 6.35%, 4/15/14 845,632 859 ----------- TOTAL 8,014 -----------
39 Balanced Portfolio 43
MARKET MORTGAGE / ASSET BACKED SHARES/ VALUE SECURITIES (5.7%) PAR (000'S) ---------------------------------------------------------- COMMERCIAL MORTGAGES (3.9%) Asset Securitization Corporation, Series 1996-MD6, Class CS1, 1.6317%, 11/13/26, IO 13,058,742 $ 239 Asset Securitization Corporation, Series 1997-D5, Class PS1, 1.6155%, 2/14/41, IO 21,666,336 1,632 Chase Commercial Mortgage Securities Corporation, Series 1997-2, Class A2, 6.6%, 11/19/07 8,500,000 8,596 Chase Commercial Mortgage Securities Corporation, Series 1997-2, Class B, 6.6%, 11/19/07 2,500,000 2,504 Commercial Mortgage Acceptance Corporation, Series 1997-ML1, Class B, 6.6437%, 12/15/07 2,500,000 2,514 Credit Suisse First Boston Mortgage Securities Corporation, Series 1997-C1, Class A2, 7.26%, 6/20/07 (144A) 3,004,775 3,103 Credit Suisse First Boston Mortgage Securities Corporation, Series 1997-C1, Class B, 7.28%, 6/20/07 (144A) 3,250,000 3,361 Criimi Mae Commercial Mortgage Trust, Series 1998-C1, Class A1, 7%, 11/2/06 (144A) 6,500,000 6,606 Criimi Mae Commercial Mortgage Trust, Series 1998-C1, Class B, 7%, 11/2/11 (144A) 5,700,000 5,465 DLJ Commercial Mortgage Corporation, Series 1998-CF1, Class S, .7003%, 1/15/18, IO 244,750,761 8,263 DLJ Mortgage Acceptance Corporation, Series 1994-MF11, Class A1, 8.1%, 6/18/04 488,404 488 DLJ Mortgage Acceptance Corporation, Series 1994-MF11, Class A2, 8.1%, 6/18/04 1,650,000 1,656 DLJ Mortgage Acceptance Corporation, Series 1997-CF2, Class S, .3516%, 10/15/17, IO (144A) 17,910,745 361 Kmart CMBS Financing, Inc., Series 1997-1, Class B, 7.0275%, 3/1/07 (144A) 8,000,000 7,980 Kmart CMBS Financing, Inc., Series 1997-1, Class C, 7.3275%, 3/1/07 (144A) 12,500,000 12,452
MARKET MORTGAGE / ASSET BACKED SHARES/ VALUE SECURITIES (5.7%) PAR (000'S) ---------------------------------------------------------- COMMERCIAL MORTGAGES continued Kmart CMBS Financing, Inc., Series 1997-1, Class D, 7.7275%, 3/1/07 (144A) 4,500,000 $ 4,475 Midland Realty Acceptance Corporation, Series 1996-C2, Class AEC, 1.3534%, 1/25/29, IO (144A) 24,119,323 1,344 Morgan Stanley Capital, Series 1998-WF2, Class A2, 6.54%, 5/15/08 15,000,000 15,107 Mortgage Capital Funding, Inc., Series 1997-MC1, Class A3, 7.288%, 3/20/07 19,000,000 19,796 Nomura Asset Securities Corporation, Series 1998-D6, Class A2, 6.9931%, 3/17/28 15,000,000 15,060 RMF Commercial Mortgage Pass-Through, Series 1997-1, Class F, 7.471%, 1/15/19 (144A) 1,800,000 1,171 ----------- TOTAL 122,173 ----------- CREDIT CARD ASSET BACKED (0.5%) Citibank Credit Card Master Trust I, Series 1997-6, Class A, 0%, 8/15/06 17,000,000 14,375 Heilig-Meyers Master Trust, Series 1998-1A, Class A, 6.125%, 1/20/07 (144A) 4,115,224 1,440 ----------- TOTAL 15,815 ----------- FRANCHISE LOAN RECEIVABLES (0.3%) Enterprise Mortgage Acceptance Company, Series 1998-1, Class A2, 6.38%, 4/15/07 (144A) 6,000,000 5,842 Enterprise Mortgage Acceptance Company, Series 1998-1, Class IO, 1.3704%, 1/15/23, IO (144A) 36,320,792 2,083 FMAC Loan Receivables Trust, Series 1998-A, Class A1, 6.2%, 9/15/20 (144A) 1,039,945 1,037 Global Franchise Trust, Series 1998-1, Class A1, 6.349%, 4/10/04 (144A) 1,641,521 1,642 ----------- TOTAL 10,604 ----------- HEALTH SERVICES (0.1%) Health Care Receivables, 6.25%, 2/1/03 (144A) 3,000,000 3,028 ----------- TOTAL 3,028 -----------
Balanced Portfolio 40 44
MARKET MORTGAGE / ASSET BACKED SHARES/ VALUE SECURITIES (5.7%) PAR (000'S) ---------------------------------------------------------- HOME EQUITY LOAN (0.1%) Amresco Residential Securities, Series 1998-2, Class A2, 6.245%, 4/25/22 164,888 $ 164 Vanderbilt Mortgage Finance, Inc., Series 1997-B, Class 1A4, 7.19%, 2/7/14 2,500,000 2,589 ----------- TOTAL 2,753 ----------- MOTORCYCLE DEALERS (0.0%) Harley-Davidson Eaglemark Motorcycle Trust, Series 1998-2, Class A2, 5.87%, 4/15/04 1,317,717 1,333 ----------- TOTAL 1,333 ----------- RESIDENTIAL MORTGAGES (0.1%) Blackrock Capital Finance L.P., Series 1997-R1, Class B3, 7.75%, 3/25/37 (144A) 4,671,810 818 Blackrock Capital Finance L.P., Series 1997-R3, Class B3, 7.25%, 11/25/28 (144A) 5,625,875 843 ----------- TOTAL 1,661 ----------- TOTAL MORTGAGE / ASSET BACKED SECURITIES (COST $188,175) 178,365 ----------- COMMON STOCK (45.4%) ---------------------------------------------------------- CONSUMER DISCRETIONARY (6.0%) American Greetings Corporation - Class A 8,200 90 *AOL Time Warner, Inc. 558,300 29,589 *AutoZone, Inc. 14,700 551 *Bed Bath & Beyond, Inc. 36,900 1,127 *Best Buy Co., Inc. 26,800 1,702 *Big Lots, Inc. 14,400 197 The Black & Decker Corporation 10,400 410 Brunswick Corporation 11,300 272 Carnival Corporation 75,400 2,315 Centex Corporation 7,600 310 Circuit City Stores, Inc. 26,500 477 *Clear Channel Communications, Inc. 75,400 4,728 *Comcast Corporation - Class A 121,200 5,260 Cooper Tire & Rubber Company 9,400 133 *Costco Wholesale Corporation 57,802 2,430 Dana Corporation 19,065 445 Darden Restaurants, Inc. 15,500 432 Delphi Automotive Systems Corporation 72,244 1,151 Dillard's, Inc. - Class A 11,400 174 Dollar General Corporation 42,585 830
MARKET SHARES/ VALUE COMMON STOCK (45.4%) PAR (000'S) ---------------------------------------------------------- CONSUMER DISCRETIONARY continued Dow Jones & Company, Inc. 11,300 $ 675 Eastman Kodak Company 38,700 1,807 *Federated Department Stores, Inc. 25,600 1,088 Ford Motor Company 239,157 5,871 Fortune Brands, Inc. 20,000 767 Gannett Co., Inc. 34,000 2,241 The Gap, Inc. 109,625 3,179 General Motors Corporation 70,705 4,550 The Goodyear Tire & Rubber Company 20,400 571 Harcourt General, Inc. 9,600 559 Harley-Davidson, Inc. 39,100 1,841 *Harrah's Entertainment, Inc. 15,100 533 Hasbro, Inc. 22,225 321 Hilton Hotels Corporation 47,600 552 The Home Depot, Inc. 298,797 13,909 The Interpublic Group of Companies, Inc. 39,700 1,165 J. C. Penney Company, Inc. 33,800 891 Johnson Controls, Inc. 11,100 804 KB Home 5,700 172 *Kmart Corporation 62,400 716 Knight-Ridder, Inc. 9,500 563 *Kohl's Corporation 42,800 2,685 Leggett & Platt, Incorporated 25,300 557 The Limited, Inc. 54,970 908 Liz Claiborne, Inc. 6,700 338 Lowe's Companies, Inc. 49,400 3,584 Marriott International, Inc. - Class A 31,000 1,468 Mattel, Inc. 55,060 1,042 The May Department Stores Company 38,450 1,317 Maytag Corporation 9,900 290 McDonald's Corporation 169,200 4,579 The McGraw-Hill Companies, Inc. 25,200 1,667 Meredith Corporation 6,400 229 The New York Times Company - Class A 20,900 878 Newell Rubbermaid, Inc. 34,371 863 NIKE, Inc. - Class B 34,800 1,461 Nordstrom, Inc. 17,300 321 *Office Depot, Inc. 38,400 399 Omnicom Group, Inc. 22,800 1,961 Pulte Corporation 5,200 222 RadioShack Corporation 24,000 732 *Reebok International, Ltd 7,400 236 Sears, Roebuck & Co 43,100 1,824 The Sherwin-Williams Company 20,700 460 Snap-on Incorporated 7,550 182 The Stanley Works 11,100 465 *Staples, Inc. 58,450 883 *Starbucks Corporation 48,900 1,083
41 Balanced Portfolio 45
MARKET SHARES/ VALUE COMMON STOCK (45.4%) PAR (000'S) ---------------------------------------------------------- CONSUMER DISCRETIONARY continued Starwood Hotels & Resorts Worldwide, Inc. 24,900 $ 928 Target Corporation 115,600 4,000 Tiffany & Co. 18,800 681 The TJX Companies, Inc. 36,100 1,151 *Toys 'R' Us, Inc. 25,500 631 Tribune Company 39,020 1,561 *Tricon Global Restaurants, Inc. 18,890 829 TRW, Inc. 16,000 656 Tupperware Corporation 7,400 173 *Univision Communications, Inc. - Class A 26,600 1,138 V. F. Corporation 14,700 535 *Viacom, Inc. - Class B 225,061 11,647 Visteon Corporation 16,862 310 Wal-Mart Stores, Inc. 576,300 28,123 The Walt Disney Company 268,408 7,754 Wendy's International, Inc. 14,700 375 Whirlpool Corporation 8,600 538 ----------- TOTAL 187,062 ----------- CONSUMER STAPLES (3.5%) Adolph Coors Company - Class B 4,800 241 Alberto-Culver Company - Class B 7,300 307 Albertson's, Inc. 52,850 1,585 Anheuser-Busch Companies, Inc. 116,400 4,796 Archer-Daniels-Midland Company 81,804 1,063 Avon Products, Inc. 30,700 1,421 Brown-Forman Corporation - Class B 8,800 563 Campbell Soup Company 54,200 1,396 The Clorox Company 30,500 1,032 The Coca-Cola Company 320,900 14,441 Coca-Cola Enterprises, Inc. 53,900 881 Colgate-Palmolive Company 73,800 4,353 ConAgra Foods, Inc. 69,300 1,373 CVS Corporation 50,500 1,949 General Mills, Inc. 36,600 1,602 The Gillette Company 135,900 3,940 H.J. Heinz Company 44,850 1,834 Hershey Foods Corporation 17,600 1,086 Kellogg Company 52,300 1,517 Kimberly-Clark Corporation 68,932 3,853 *The Kroger Co. 105,600 2,640 Longs Drug Stores Corporation 4,800 103 The Pepsi Bottling Group, Inc. 18,300 734 PepsiCo, Inc. 186,200 8,230 Philip Morris Companies, Inc. 286,900 14,561 The Procter & Gamble Company 167,700 10,699 The Quaker Oats Company 17,000 1,551 Ralston Purina Company 39,700 1,192
MARKET SHARES/ VALUE COMMON STOCK (45.4%) PAR (000'S) ---------------------------------------------------------- CONSUMER STAPLES continued *Safeway, Inc. 64,600 $ 3,101 Sara Lee Corporation 101,399 1,920 SUPERVALU, Inc. 17,100 300 SYSCO Corporation 87,200 2,367 Unilever N.V. ADR 73,707 4,391 UST, Inc. 21,000 606 Walgreen Co. 131,000 4,474 Winn-Dixie Stores, Inc. 18,100 473 Wm. Wrigley Jr. Company 29,100 1,363 ----------- TOTAL 107,938 ----------- ENERGY (3.0%) Amerada Hess Corporation 11,400 921 Anadarko Petroleum Corporation 32,077 1,733 Apache Corporation 15,900 807 Ashland, Inc. 9,000 361 Baker Hughes Incorporated 42,840 1,435 Burlington Resources, Inc. 27,875 1,114 Chevron Corporation 82,800 7,493 Conoco, Inc. - Class B 80,400 2,324 Devon Energy Corporation 16,600 872 EOG Resources, Inc. 15,100 537 Exxon Mobil Corporation 448,473 39,173 Halliburton Company 57,100 2,033 Kerr-McGee Corporation 12,157 806 *Nabors Industries, Inc. 19,000 707 *Noble Drilling Corporation 17,300 567 Occidental Petroleum Corporation 47,700 1,268 Phillips Petroleum Company 32,900 1,875 *Rowan Companies, Inc. 12,200 270 Royal Dutch Petroleum Company 275,500 16,053 Schlumberger Limited 73,900 3,891 Sunoco, Inc. 10,900 399 Texaco, Inc. 71,000 4,729 Tosco Corporation 18,700 824 Transocean Sedco Forex, Inc. 40,904 1,687 Unocal Corporation 31,300 1,069 USX-Marathon Group 40,100 1,183 ----------- TOTAL 94,131 ----------- FINANCIALS (8.1%) AFLAC Incorporated 68,400 2,154 The Allstate Corporation 94,394 4,152 Ambac Financial Group, Inc. 13,600 792 American Express Company 171,600 6,658 American General Corporation 64,906 3,015 American International Group, Inc. 300,267 25,822 AmSouth Bancorporation 48,400 895 Aon Corporation 33,075 1,158 Bank of America Corporation 209,995 12,605 The Bank of New York Company, Inc 95,500 4,584 Bank One Corporation 149,145 5,339 BB&T Corporation 51,800 1,901
Balanced Portfolio 42 46
MARKET SHARES/ VALUE COMMON STOCK (45.4%) PAR (000'S) ---------------------------------------------------------- FINANCIALS continued The Bear Stearns Companies, Inc. 13,802 $ 814 Capital One Financial Corporation 25,400 1,524 The Charles Schwab Corporation 178,475 2,731 Charter One Financial, Inc. 26,785 854 The Chubb Corporation 22,600 1,750 Cincinnati Financial Corporation 20,800 833 Citigroup, Inc. 647,949 34,237 Comerica Incorporated 22,900 1,319 Conseco, Inc. 41,970 573 Countrywide Credit Industries, Inc. 15,000 688 Federal Home Loan Mortgage Corporation 89,700 6,279 Federal National Mortgage Association 130,000 11,070 Fifth Third BanCorp 73,243 4,420 First Union Corporation 126,386 4,416 FleetBoston Financial Corporation 139,703 5,511 Franklin Resources, Inc. 34,100 1,561 Golden West Financial Corporation 20,400 1,310 The Hartford Financial Services Group, Inc. 30,500 2,086 Household International, Inc. 60,759 4,053 Huntington Bancshares Incorporated 32,360 523 J.P. Morgan Chase & Co. 245,462 10,948 Jefferson-Pilot Corporation 19,962 965 KeyCorp 54,900 1,430 Lehman Brothers Holdings, Inc. 32,300 2,511 Lincoln National Corporation 24,700 1,278 Loews Corporation 25,400 1,637 Marsh & McLennan Companies, Inc 35,500 3,586 MBIA, Inc. 19,050 1,061 MBNA Corporation 109,932 3,622 Mellon Financial Corporation 63,000 2,898 Merrill Lynch & Co., Inc. 104,200 6,174 MetLife, Inc. 98,600 3,055 MGIC Investment Corporation 13,800 1,002 Moody's Corporation 21,000 704 Morgan Stanley Dean Witter & Co. 144,060 9,253 National City Corporation 78,600 2,419 Northern Trust Corporation 28,600 1,845 The PNC Financial Services Group, Inc. 37,400 2,461 The Progressive Corporation 9,500 1,284 Providian Financial Corporation 36,900 2,184 Regions Financial Corporation 31,200 981 SAFECO Corporation 16,500 489
MARKET SHARES/ VALUE COMMON STOCK (45.4%) PAR (000'S) ---------------------------------------------------------- FINANCIALS continued SouthTrust Corporation 43,700 $ 1,134 The St. Paul Companies, Inc. 28,106 1,425 State Street Corporation 41,700 2,064 Stilwell Financial, Inc. 28,700 963 SunTrust Banks, Inc. 38,200 2,475 Synovus Financial Corp. 37,050 1,163 T. Rowe Price Group, Inc. 15,700 577 Torchmark Corporation 16,300 655 U.S. BanCorp 248,603 5,666 Union Planters Corporation 17,900 780 UnumProvident Corporation 31,106 999 USA Education, Inc. 21,200 1,548 Wachovia Corporation 27,000 1,921 Washington Mutual, Inc. 112,571 4,227 Wells Fargo & Company 220,560 10,241 ----------- TOTAL 253,252 ----------- HEALTH CARE (5.8%) Abbott Laboratories 199,500 9,578 Aetna, Inc. 18,593 481 Allergan, Inc. 17,000 1,454 American Home Products Corporation 169,100 9,882 *Amgen, Inc. 134,400 8,317 Applera Corporation - Applied Biosystems Group 27,200 728 Bausch & Lomb Incorporated 6,900 250 Baxter International, Inc. 75,900 3,719 Becton, Dickinson and Company 33,100 1,185 *Biogen, Inc. 19,100 1,031 Biomet, Inc. 23,050 1,110 *Boston Scientific Corporation 52,300 889 Bristol-Myers Squibb Company 252,300 13,195 C. R. Bard, Inc. 6,600 376 Cardinal Health, Inc. 54,250 3,743 *Chiron Corporation 24,700 1,286 CIGNA Corporation 19,800 1,897 Eli Lilly and Company 145,400 10,760 *Forest Laboratories, Inc. 22,700 1,612 *Guidant Corporation 39,700 1,429 HCA - The Healthcare Company 71,250 3,220 *HEALTHSOUTH Corporation 49,800 795 *Humana, Inc. 21,800 215 Johnson & Johnson 388,590 19,429 *King Pharmaceuticals, Inc. 21,800 1,172 *Manor Care, Inc. 13,200 419 McKesson HBOC, Inc. 36,753 1,364 *MedImmune, Inc. 27,300 1,294 Medtronic, Inc. 155,000 7,132 Merck & Co., Inc. 297,500 19,013 Pfizer, Inc. 813,950 32,598 Pharmacia Corporation 166,421 7,647 *Quintiles Transnational Corp. 14,900 380 Schering-Plough Corporation 188,600 6,835
43 Balanced Portfolio 47
MARKET SHARES/ VALUE COMMON STOCK (45.4%) PAR (000'S) ---------------------------------------------------------- HEALTH CARE continued *St. Jude Medical, Inc. 10,950 $ 657 Stryker Corporation 25,200 1,382 *Tenet Healthcare Corporation 41,400 2,136 UnitedHealth Group Incorporated 41,300 2,550 *Watson Pharmaceuticals, Inc. 13,300 820 *Wellpoint Health Networks, Inc. - Class A 8,100 763 ----------- TOTAL 182,743 ----------- INDUSTRIALS (5.2%) *Allied Waste Industries, Inc. 25,400 474 *American Power Conversion Corporation 25,100 371 *AMR Corporation 19,400 701 Automatic Data Processing, Inc. 82,000 4,075 Avery Dennison Corporation 14,200 725 The Boeing Company 107,618 5,983 Burlington Northern Santa Fe Corporation 50,599 1,527 Caterpillar, Inc. 44,300 2,217 *Cendant Corporation 99,173 1,934 Cintas Corporation 21,800 1,031 *Concord EFS, Inc. 27,900 1,558 *Convergys Corporation 22,200 672 Cooper Industries, Inc. 12,000 475 Crane Co. 7,825 243 CSX Corporation 27,500 997 Cummins, Inc. 5,300 205 Danaher Corporation 18,300 1,025 Deere & Company 30,300 1,147 Delta Air Lines, Inc. 15,900 701 Deluxe Corporation 9,400 272 Dover Corporation 26,200 986 Eaton Corporation 8,800 617 Ecolab, Inc. 16,400 672 Emerson Electric Co. 55,400 3,352 Equifax, Inc. 18,300 671 *FedEx Corporation 38,240 1,537 First Data Corporation 51,000 3,277 *Fiserv, Inc. 16,000 999 Fluor Corporation 9,500 429 General Dynamics Corporation 25,700 2,000 General Electric Company 1,278,400 62,321 Genuine Parts Company 22,375 705 Goodrich Corporation 13,300 505 H&R Block, Inc. 11,800 762 Honeywell International, Inc. 102,850 3,599 Illinois Tool Works, Inc. 39,000 2,469 IMS Health Incorporated 37,900 1,080 Ingersoll-Rand Company 20,750 855 ITT Industries, Inc. 11,300 500 Lockheed Martin Corporation 55,622 2,061 Masco Corporation 57,600 1,438 McDermott International, Inc. 7,800 91
MARKET SHARES/ VALUE COMMON STOCK (45.4%) PAR (000'S) ---------------------------------------------------------- INDUSTRIALS continued Minnesota Mining and Manufacturing Company 51,100 $ 5,830 Molex Incorporated 25,225 916 National Service Industries, Inc. 5,300 120 *Navistar International Corporation 7,670 216 Norfolk Southern Corporation 49,600 1,027 Northrop Grumman Corporation 11,000 881 PACCAR, Inc. 9,890 506 Pall Corporation 15,866 373 Parker-Hannifin Corporation 15,000 637 Paychex, Inc. 48,100 1,987 Pitney Bowes, Inc. 32,500 1,369 *Power-One, Inc. 10,100 166 R. R. Donnelley & Sons Company 15,700 466 Raytheon Company - Class B 44,000 1,168 *Robert Half International, Inc. 22,900 570 Rockwell International Corporation 23,500 896 Ryder System, Inc. 7,700 151 Sabre Holdings Corporation - Class A 17,009 850 Southwest Airlines Co. 97,762 1,808 Symbol Technologies, Inc. 28,350 629 Textron, Inc. 18,400 1,013 *Thermo Electron Corporation 23,200 511 Thomas & Betts Corporation 7,500 166 The Timken Company 7,700 130 *TMP Worldwide, Inc. 13,700 816 Tyco International, Ltd 248,083 13,520 Union Pacific Corporation 32,000 1,757 United Technologies Corporation 60,700 4,447 *US Airways Group, Inc. 8,700 211 W.W. Grainger, Inc. 12,100 498 Waste Management, Inc. 80,197 2,472 ----------- TOTAL 163,366 ----------- INFORMATION TECHNOLOGY (8.5%) *ADC Telecommunications, Inc. 100,300 691 Adobe Systems Incorporated 31,000 1,457 *Advanced Micro Devices, Inc. 44,000 1,271 *Agilent Technologies, Inc. 58,845 1,912 *Altera Corporation 51,100 1,511 *Analog Devices, Inc. 46,400 2,007 *Andrew Corporation 10,462 193 *Apple Computer, Inc. 44,600 1,071 *Applied Materials, Inc. 104,400 5,338 *Applied Micro Circuits Corporation 38,500 683 Autodesk, Inc. 7,300 272 *Avaya, Inc. 36,462 500 *BMC Software, Inc. 31,400 708 *Broadcom Corporation - Class A 31,500 1,351
Balanced Portfolio 44 48
MARKET SHARES/ VALUE COMMON STOCK (45.4%) PAR (000'S) ---------------------------------------------------------- INFORMATION TECHNOLOGY continued *BroadVision, Inc. 34,700 $ 177 *Cabletron Systems, Inc. 23,800 544 *Cisco Systems, Inc. 938,800 18,166 *Citrix Systems, Inc. 23,900 830 Compaq Computer Corporation 217,867 3,375 Computer Associates International, Inc 74,312 2,675 *Computer Sciences Corporation 21,800 754 *Compuware Corporation 47,500 649 *Comverse Technology, Inc. 21,400 1,231 *Conexant Systems, Inc. 31,400 280 Corning Incorporated 118,600 1,982 *Dell Computer Corporation 333,700 8,967 Electronic Data Systems Corporation 60,300 3,769 *EMC Corporation 282,286 8,200 *Gateway, Inc. 41,700 686 Hewlett-Packard Company 249,300 7,130 Intel Corporation 868,300 26,335 International Business Machines Corporation 226,300 25,572 *Intuit, Inc. 26,700 1,042 *Jabil Circuit, Inc. 24,600 759 *JDS Uniphase Corporation 168,500 2,217 *KLA-Tencor Corporation 23,800 1,399 *Lexmark International Group, Inc. - Class A 16,400 1,103 Linear Technology Corporation 40,900 1,855 *LSI Logic Corporation 46,200 869 Lucent Technologies, Inc. 439,147 2,723 *Maxim Integrated Products, Inc. 41,700 1,939 *Mercury Interactive Corporation 10,400 636 *Micron Technology, Inc. 76,500 3,144 *Microsoft Corporation 688,300 49,446 Millipore Corporation 6,000 372 Motorola, Inc. 281,786 4,666 *National Semiconductor Corporation 22,500 655 *NCR Corporation 12,400 583 *Network Appliance, Inc. 41,400 567 Nortel Networks Corporation 410,440 3,731 *Novell, Inc. 41,000 214 *Novellus Systems, Inc. 18,200 1,015 *Oracle Corporation 720,700 14,198 *Palm, Inc. 73,037 443 *Parametric Technology Corporation 34,300 442 *PeopleSoft, Inc. 36,800 1,780 PerkinElmer, Inc. 12,900 355 *QLogic Corporation 11,900 764 *QUALCOMM Incorporated 97,200 5,534 *Sanmina Corporation 39,500 954 *Sapient Corporation 15,700 155 Scientific-Atlanta, Inc. 20,800 844
MARKET SHARES/ VALUE COMMON STOCK (45.4%) PAR (000'S) ---------------------------------------------------------- INFORMATION TECHNOLOGY continued *Siebel Systems, Inc. 55,400 $ 2,633 *Solectron Corporation 83,300 1,524 *Sun Microsystems, Inc. 420,600 6,797 Tektronix, Inc. 12,200 331 *Tellabs, Inc. 53,000 1,002 *Teradyne, Inc. 22,500 745 Texas Instruments Incorporated 223,700 7,047 *Unisys Corporation 40,700 599 *VERITAS Software Corporation 52,696 3,563 *Vitesse Semiconductor Corporation 24,500 519 Xerox Corporation 86,100 824 *Xilinx, Inc. 42,600 1,768 *Yahoo!, Inc. 72,000 1,407 ----------- TOTAL 263,450 ----------- MATERIALS (1.1%) Air Products and Chemicals, Inc 29,600 1,354 Alcan, Inc. 41,000 1,723 Alcoa, Inc. 111,608 4,397 Allegheny Technologies Incorporated 10,381 188 Ball Corporation 3,600 171 Barrick Gold Corporation 51,100 774 Bemis Company, Inc. 6,900 277 Boise Cascade Corporation 7,400 260 The Dow Chemical Company 115,653 3,845 E. I. du Pont de Nemours and Company 134,600 6,492 Eastman Chemical Company 9,875 470 Engelhard Corporation 16,500 426 *FMC Corporation 3,900 267 *Freeport-McMoRan Copper & Gold, Inc. - Class B 19,200 212 Georgia-Pacific Corporation 29,091 985 Great Lakes Chemical Corporation 6,500 201 Hercules Incorporated 13,900 157 Homestake Mining Company 34,000 264 *Inco Limited 23,500 406 International Flavors & Fragrances, Inc. 12,600 317 International Paper Company 62,084 2,216 Louisiana-Pacific Corporation 13,400 157 The Mead Corporation 12,800 347 Newmont Mining Corporation 24,830 462 Nucor Corporation 10,000 489 *Pactiv Corporation 20,400 273 Phelps Dodge Corporation 10,110 420 Placer Dome, Inc. 42,300 415 Potlatch Corporation 3,700 127 PPG Industries, Inc. 21,700 1,141 Praxair, Inc. 20,500 964 Rohm and Haas Company 28,301 931
45 Balanced Portfolio 49
MARKET SHARES/ VALUE COMMON STOCK (45.4%) PAR (000'S) ---------------------------------------------------------- MATERIALS continued *Sealed Air Corporation 10,786 $ 402 Sigma-Aldrich Corporation 10,000 404 Temple-Inland, Inc. 6,400 341 USX-U. S. Steel Group 11,500 232 Vulcan Materials Company 13,000 699 Westvaco Corporation 12,950 315 Weyerhaeuser Company 28,000 1,539 Willamette Industries, Inc. 14,200 703 Worthington Industries, Inc. 11,000 150 ----------- TOTAL 35,913 ----------- TELECOMMUNICATION SERVICES (2.5%) ALLTEL Corporation 40,400 2,475 AT&T Corp. 436,970 9,613 BellSouth Corporation 241,600 9,729 CenturyTel, Inc. 18,100 548 *Citizens Communications Company 34,200 411 *Global Crossing Ltd 114,285 987 *Nextel Communications, Inc. - Class A 98,300 1,712 *Qwest Communications International, Inc. 213,673 6,810 SBC Communications, Inc. 436,750 17,497 Sprint Corporation 114,100 2,437 *Sprint Corporation (PCS Group) 120,300 2,905 Verizon Communications, Inc. 348,616 18,652 *WorldCom, Inc. - WorldCom Group 371,483 5,528 ----------- TOTAL 79,304 ----------- UTILITIES (1.7%) *The AES Corporation 68,500 2,949 Allegheny Energy, Inc. 15,800 762 Ameren Corporation 17,700 756 American Electric Power Company, Inc. 41,540 1,918 *Calpine Corporation 38,500 1,455 Cinergy Corp. 20,505 717 CMS Energy Corporation 16,900 471 Consolidated Edison, Inc. 27,300 1,087 Constellation Energy Group, Inc 21,000 895 Dominion Resources, Inc. 30,825 1,854 DTE Energy Company 22,100 1,026 Duke Energy Corporation 98,842 3,855 Dynegy Inc. - Class A 41,700 1,939 Edison International 42,000 468 El Paso Corporation 64,117 3,368 Enron Corp. 96,300 4,718 Entergy Corporation 28,800 1,106 Exelon Corporation 41,062 2,633 FirstEnergy Corp. 29,100 936 FPL Group, Inc. 22,800 1,373 GPU, Inc. 16,000 562
MARKET SHARES/ VALUE COMMON STOCK (45.4%) PAR (000'S) ---------------------------------------------------------- UTILITIES continued KeySpan Corporation 17,400 $ 635 Kinder Morgan, Inc. 14,800 744 *Mirant Corporation 43,651 1,502 *Niagara Mohawk Holdings, Inc. 20,700 366 Nicor, Inc. 5,900 230 NiSource, Inc. 26,284 718 ONEOK, Inc. 7,500 148 Peoples Energy Corporation 4,600 185 PG&E Corporation 49,900 559 Pinnacle West Capital Corporation 10,900 517 PPL Corporation 18,733 1,030 Progress Energy, Inc. 26,479 1,189 Public Service Enterprise Group Incorporated 27,700 1,355 Reliant Energy, Inc. 38,026 1,225 Sempra Energy 26,359 721 The Southern Company 87,200 2,027 TXU Corp. 33,295 1,604 The Williams Companies, Inc. 62,400 2,056 Xcel Energy, Inc. 43,970 1,251 ----------- TOTAL 52,910 ----------- TOTAL COMMON STOCK (COST $723,145) 1,420,069 ----------- MONEY MARKET INVESTMENTS (13.6%) ---------------------------------------------------------- ASSET-BACKED SECURITIES (CMO'S) (1.3%) #Asset Securitization, 3.95%, 7/10/01 16,600,000 16,582 #Asset Securitization, 4.00%, 7/5/01 23,310,000 23,297 ----------- TOTAL 39,879 ----------- COMMERCIAL BANKS (1.3%) #Marshall & Ilsley Corp., 3.76%, 8/10/01 40,000,000 39,829 ----------- TOTAL 39,829 ----------- FEDERAL GOVERNMENT AND AGENCIES (0.7%) #Federal Home Loan Mortgage Corporation, 3.71%, 9/14/01 22,500,000 22,329 ----------- TOTAL 22,329 ----------- FINANCE LESSORS (1.3%) #Preferred Receivable Funding, 3.74%, 8/7/01 40,000,000 39,842 ----------- TOTAL 39,842 ----------- FINANCE SERVICES (1.2%) #Citicorp, 3.82%, 8/3/01 20,000,000 19,927 #Citicorp, 3.90%, 7/5/01 19,100,000 19,090 ----------- TOTAL 39,017 -----------
Balanced Portfolio 46 50
MARKET MONEY MARKET SHARES/ VALUE INVESTMENTS (13.6%) PAR (000'S) ---------------------------------------------------------- MISCELLANEOUS BUSINESS CREDIT INSTITUTIONS (2.2%) #BMW US Capital Corp., 3.75%, 7/23/01 40,000,000 $ 39,905 #Quincy Capital Corporation, 3.93%, 7/16/01 29,000,000 28,949 ----------- TOTAL 68,854 ----------- NEWSPAPERS (0.5%) #Gannet Company, Inc., 3.95%, 7/16/01 17,100,000 17,070 ----------- TOTAL 17,070 ----------- NONDEPOSIT TRUST FACILITIES (1.3%) #JP Morgan Chase & Co., 3.75%, 8/3/01 39,500,000 39,360 ----------- TOTAL 39,360 ----------- PERSONAL CREDIT INSTITUTIONS (2.5%) #American General Finance, 3.8%, 7/9/01 40,000,000 39,961 #Variable Funding Capital, 3.96%, 7/12/01 40,000,000 39,947 ----------- TOTAL 79,908 ----------- SHORT TERM BUSINESS CREDIT (1.3%) #Transamerica Financial Corporation, 3.75%, 7/27/01 40,000,000 39,888 ----------- TOTAL 39,888 ----------- TOTAL MONEY MARKET INVESTMENTS (COST $425,976) 425,976 ----------- TOTAL INVESTMENTS (99.8%) (COST $2,408,436)! 3,120,708 ----------- OTHER ASSETS, LESS LIABILITIES (0.2%) 6,969 ----------- TOTAL NET ASSETS (100.0%) $ 3,127,677 ===========
ADR - American Depository Receipt * Non-Income Producing ++ Defaulted Security IO - Interest Only Security 144A after the name of a security represents a security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. # All or a portion of the securities have been committed as collateral for open futures positions. Information regarding open futures contracts as of period end is summarized below.
UNREALIZED APPRECIATION / NUMBER EXPIRATION (DEPRECIATION) ISSUERS CONTRACTS DATE (000'S) - -------------------------------------------------------------- S&P 500 907 09/01 $(8,065) (Total Notional Value at 6/30/2001, $288,214) US Long Bond 416 09/01 $ 451 (Total Notional Value at 6/30/2001, $42,181)
! At 6/30/2001 the aggregate cost of securities for federal tax purposes was $2,408,436 and the net unrealized appreciation of investments based on that cost was $712,272 which is comprised of $822,663 aggregate gross unrealized appreciation and $110,391 aggregate gross unrealized depreciation. The Accompanying Notes are an Integral Part of the Financial Statements 47 Balanced Portfolio 51
Objective: Portfolio Strategy: Net Assets: High current income and capital Generate superior performance by investing in a $150.06 appreciation with moderate risk diversified mix of fixed income securities rated million below investment grade.
HIGH YIELD BOND PORTFOLIO Investing in a portfolio of high yield bonds provides investors who can accept a moderate level of risk with a high level of current income, coupled with the opportunity for capital gains. Holdings of particular interest include investments in entities that have the possibility of a positive event, such as a significant improvement in credit rating or earnings or a change in ownership. In a high yield portfolio, some credit losses over time are inevitable; high coupons and diversification across many holdings mitigate the impact of individual securities on the performance of the total Portfolio. The High Yield Portfolio has performed well over the last year, with total return higher than its benchmark, the Lehman Brothers High Yield Intermediate Market Index, and also higher than most equity indices. This strong performance of high-yield bonds as an asset class at a time when equity markets are weak provides a reminder to investors that high-yield bonds represent a medium-risk, medium-return investment opportunity. The majority of the return from high- yield bonds over the last year has come from high current income, which has been partially offset by default losses and lower prices caused by increased credit and liquidity risk premiums. The High Yield Portfolio's positive performance relative to its benchmark has resulted from an emphasis on quality securities in defensive, stable industries. The average quality of the securities in the Portfolio, as measured by the ratings issued by the major rating agencies, is higher than is generally regarded as typical for a high yield bond portfolio. The Portfolio's performance has been further enhanced by its investments in industries that are not highly sensitive to economic conditions, such as cable television, finance, utilities and gaming. Within these industries, the emphasis is on the stronger companies with relatively good access to capital. Performance has benefited also from careful selectivity in the telecommunications sector, where many companies issue high-yield bonds. Most of the Portfolio's telecommunications holdings are in the wireless sector, including PCS (personal communication service) and cellular companies, and developers of the towers that carry wireless signals. PERCENTAGE HOLDINGS BY INDUSTRY SECTOR 6/30/2001 [PERCENTAGE HOLDINGS BY INDUSTRY SECTOR PIE CHART]
BASIC CONSUMER CONSUMER TRANSPORT MATERIALS/CAPITAL TECHNOLOGY CYCLICAL UTILITIES FINANCE STAPLES SERVICES GOODS ENERGY ---------- -------- --------- ------- -------- --------- ----------------- ------ Sector Allocation 29.00 16.00 11.00 9.00 9.00 6.00 6.00 4.00 SHORT- TERM MISCELLANEOUS INVESTMENTS ------------- ----------- Sector Allocation 3.00 7.00
PERFORMANCE RELATIVE TO THE LEHMAN BROTHERS INDEX [PERFORMANCE RELATIVE TO THE LEHMAN BROTHERS INDEX LINE GRAPH]
LEHMAN BROTHERS HIGH YIELD HIGH YIELD BOND PORTFOLIO INTERMEDIATE MARKET INDEX ------------------------- -------------------------- 5/94 10000.00 10000.00 6/94 10110.00 10061.00 6/95 11490.00 11331.00 6/96 12836.00 12466.00 6/97 15684.00 14159.00 6/98 17635.00 15681.00 6/99 16476.00 15618.00 6/00 16125.00 15454.00 6/01 16347.00 15077.00
- -------------------------------------------------------------- Average Annual Total Return For Periods Ended June 30, 2001 Since 1 Year 5 Years Inception# - -------------------------------------------------------------- High Yield Bond Portfolio 1.38% 4.96% 7.11% Lehman Brothers High Yield Intermediate Market Index -2.44% 3.88% 2.91% - -------------------------------------------------------------- #Inception date of 5/3/1994
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. Total returns shown on page 2 reflect mortality and expense risk charges and premium 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 returns significantly lower. Investors are urged to obtain a personalized illustration of historical performance which reflects the cost of insurance protection. High Yield Bond Portfolio 48 52 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments June 30, 2001 (unaudited)
MARKET SHARES/ VALUE BONDS (86.4%) PAR (000) ------------------------------------------------------- BASIC MATERIALS (2.3%) METALS & MINING (1.8%) Glencore Nickel, Ltd., 9%, 12/1/14 500,000 $ 385 Great Central Mines, Ltd., 8.875%, 4/1/08 2,750,000 2,392 --------- TOTAL 2,777 --------- PAPER (0.5%) Caraustar Industries, Inc., 7.375%, 6/1/09 775,000 678 --------- TOTAL 678 --------- TOTAL BASIC MATERIALS 3,455 --------- CAPITAL GOODS (4.1%) BUILDING & CONSTRUCTION (3.4%) Building One Services, 10.5%, 5/1/09 2,150,000 2,065 Encompass Services Corp., 10.5%, 5/04/12, (144A) 150,000 144 Integrated Electric Services, 9.375%, 2/01/09, (144A) 1,500,000 1,470 United Rentals, Inc., 8.8%, 8/15/08 750,000 686 United Rentals, Inc., 10.75%, 4/15/08, (144A) 750,000 776 --------- TOTAL 5,141 --------- BUILDING - FOREST PRODUCTS (0.7%) Potlatch Corporation, 10.00%, 7/15/11, (144A) 1,000,000 1,005 --------- TOTAL 1,005 --------- TOTAL CAPITAL GOODS 6,146 --------- CONSUMER CYCLICAL (15.4%) APPAREL, TEXTILE (1.8%) Guess ?, Inc., 9.5%, 8/15/03 1,500,000 1,380 Tommy Hilfiger USA, Inc., 6.5%, 6/1/03 1,150,000 1,116 Tommy Hilfiger USA, Inc., 6.85%, 6/1/08 150,000 134 --------- TOTAL 2,630 --------- AUTO & TRUCKS (0.9%) Avis Group Holdings, Inc., 11%, 5/1/09 1,250,000 1,395 --------- TOTAL 1,395 --------- HOME CONSTRUCTION (1.5%) Hovanian Enterprises, Inc., 10.5%, 10/1/07 750,000 771 Meritage Corporation, 9.75%, 6/01/11, (144A) 750,000 746 Schuler Homes, 9.375%, 7/15/09, (144A) 725,000 725 --------- TOTAL 2,242 ---------
MARKET SHARES/ VALUE BONDS (86.4%) PAR (000) ------------------------------------------------------- HOUSEHOLD APPLIANCES (1.2%) Rent-A-Center, Inc., 11%, 8/15/08 400,000 $ 409 Salton, Inc., 12.25%, 4/15/08, (144A) 1,300,000 1,326 --------- TOTAL 1,735 --------- LEISURE RELATED (0.7%) Bally Total Fitness Holdings - Series D, 9.875%, 10/15/07 1,000,000 993 --------- TOTAL 993 --------- LODGING/RESORTS (2.6%) Extended Stay America, 9.875%, 6/15/11, (144A) 900,000 893 Felcor Lodging Limited Partnership, 9.5%, 9/15/08 1,750,000 1,758 Meristar Hospitality Corp., 9%, 1/15/08, (144A) 550,000 554 Meristar Hospitality Corp., 9.125%, 1/15/11, (144A) 750,000 756 --------- TOTAL 3,961 --------- PRINTING & PUBLISHING (3.3%) Jostens, Inc., 12.75%, 5/01/10 1,550,000 1,573 Mail-Well, Inc., 5%, 11/1/02 2,800,000 2,544 Primedia Inc, 8.875%, 5/15/2011, (144A) 1,125,000 1,041 --------- TOTAL 5,158 --------- RETAIL - GENERAL (3.4%) Buhrmann US, Inc., 12.25%, 11/1/09 2,150,000 2,117 Coinmach Corporation, 11.75%, 11/15/05 750,000 769 Kmart Corp., 9.875%, 6/15/08, (144A) 1,500,000 1,459 Saks Incorporated, 8.25%, 11/15/08 750,000 683 --------- TOTAL 5,028 --------- TOTAL CONSUMER CYCLICAL 23,142 --------- CONSUMER STAPLES (8.4%) CONSUMER PRODUCTS (1.0%) Applied Extrusion Tech., Inc., 10.75%, 7/01/11, (144A) 1,500,000 1,515 --------- TOTAL 1,515 --------- DRUGS (0.8%) ICN Pharmaceuticals, Inc., 9.25%, 8/15/05 350,000 361 ICN Pharmaceuticals, Inc., 8.75%, 11/15/08, (144A) 750,000 769 --------- TOTAL 1,130 ---------
49 High Yield Bond Portfolio 53
MARKET SHARES/ VALUE BONDS (86.4%) PAR (000) ------------------------------------------------------- GAMING (4.6%) Choctaw Resort Development, 9.25% 4/1/09, (144A) 1,100,000 $ 1,122 Hollywood Casino Corporation, 13%, 8/1/06 1,750,000 1,837 Hollywood Casino Sheverport, 13%, 8/01/06, (144A) 300,000 306 Jupiters Limited, 8.5%, 3/1/06 1,000,000 985 Las Vegas Sands, Inc., 12.25%, 11/15/04 1,000,000 1,070 Mandalay Resort Group, 7.625%, 7/15/13 1,850,000 1,581 --------- TOTAL 6,901 --------- HEALTHCARE (1.5%) HEALTHSOUTH, Corp., 8.5%, 2/1/08 1,125,000 1,139 Stewart Enterprises, 10.75%, 7/1/08, (144A) 1,125,000 1,159 --------- TOTAL 2,298 --------- SOAPS & TOILETRIES (0.5%) Elizabeth Arden, Inc., 11.75%, 2/1/11 750,000 797 --------- TOTAL 797 --------- TOTAL CONSUMER STAPLES 12,641 --------- ENERGY (4.2%) OIL FIELD SERVICES (2.2%) BRL Universal Equipment, 8.875%, 2/15/08 1,400,000 1,428 El Paso Energy L.P., 8.5%, 6/1/11, (144A) 1,125,000 1,125 Key Energy Services, Inc., 8.375%, 3/1/08, (144A) 750,000 758 --------- TOTAL 3,311 --------- REFINING (2.0%) Conproca S.A., 12%, 6/16/10, (144A) 600,000 696 PDV America, Inc., 7.875%, 8/1/03 2,250,000 2,265 --------- TOTAL 2,961 --------- TOTAL ENERGY 6,272 --------- FINANCE (8.0%) BANKS (2.3%) Sovereign Bancorp, 10.5%, 11/15/06 1,900,000 2,066 Sovereign Real Estate Investment Trust, 12%, 8/29/49, (144A) 1,325,000 1,318 --------- TOTAL 3,384 --------- FINANCE COMPANIES (4.9%) IOS Capital Inc, 9.75%, 6/15/04 2,250,000 2,245 Metris Companies, Inc., 10.125%, 7/15/06 2,600,000 2,470 PDVSA Finance, Ltd., 1999-I, 9.75%, 2/15/10 2,600,000 2,743 --------- TOTAL 7,458 ---------
MARKET SHARES/ VALUE BONDS (86.4%) PAR (000) ------------------------------------------------------- FINANCIAL SERVICES (0.8%) Labranche & Company, Inc., 12%, 3/2/07 1,100,000 $ 1,227 --------- TOTAL 1,227 --------- TOTAL FINANCE 12,069 --------- MISCELLANEOUS (2.8%) R.E.I.T. (0.7%) Macerich Company, 7.25%, 12/15/02, (144A) 1,000,000 981 --------- TOTAL 981 --------- REAL ESTATE (2.1%) Blum CB Corp., 11.25%, 6/07/11, (144A) 1,125,000 1,105 Crescent Real Estate Equities, 7%, 9/15/02 500,000 499 Crescent Real Estate Equities, 7.5%, 9/15/07 1,750,000 1,590 --------- TOTAL 3,194 --------- TOTAL MISCELLANEOUS 4,175 --------- TECHNOLOGY (25.1%) BROADCASTING (0.9%) CD Radio Inc., 14.5%, 5/15/09 1,000,000 470 XM Satellite Radio, Inc., 14%, 3/15/10 1,400,000 840 --------- TOTAL 1,310 --------- CABLE (8.7%) Adelphia Communications Corporation, 10.25%, 6/15/11 1,125,000 1,108 Adelphia Communications Corporation, 10.875%, 10/1/10 1,500,000 1,518 British Sky Broadcasting Group Plc., 6.875%, 2/23/09 750,000 688 Charter Communications Holdings, LLC, 11.125%, 1/15/11 1,000,000 1,055 Charter Communications Holdings, LLC, 9.625%, 11/15/09, (144A) 1,500,000 1,502 Echostar Broadband Corp., 10.375%, 10/1/07 1,150,000 1,150 International Cabletel, Inc., 11.5%, 2/1/06 1,250,000 844 Mediacom LLC / Cap Corp., 9.5%, 1/15/13, (144A) 225,000 216 NTL Communications Corp., 11.5%, 10/1/08 1,600,000 1,056 +NTL, Inc., 9.75%, 4/1/08 1,900,000 827 Rogers Communications, Inc., 8.875%, 7/15/07 1,000,000 993 +Telewest Communications Plc., 9.25%, 4/15/09 1,000,000 490 Telewest Communications Plc., 9.875%, 2/01/10 400,000 336
High Yield Bond Portfolio 50 54
MARKET SHARES/ VALUE BONDS (86.4%) PAR (000) ------------------------------------------------------- CABLE continued +United Global Communications, Inc., Series B, 1.75%, 2/15/08 2,000,000 $ 670 United Pan-Europe Communications N.V., 10.875%, 8/1/09 1,550,000 546 +United Pan-Europe Communications N.V., 13.75%, 2/1/10 600,000 90 --------- TOTAL 13,089 --------- ELECTRONICS (0.9%) Amkor Technology Inc., 5%, 3/15/07 1,000,000 809 Flextronics International, Ltd., 9.875%, 7/1/10 550,000 547 --------- TOTAL 1,356 --------- TELECOMMUNICATIONS WIRELESS: CELLULAR/PCS (6.3%) +Airgate PCS, Inc., 13.5%, 10/1/09 1,150,000 667 Alamosa Delaware Inc., 12.5%, 2/1/11, (144A) 750,000 675 +Alamosa PCS Holdings, Inc., 12.875%, 2/15/10 1,150,000 529 Dobson Communications Corporation, 10.875%, 7/1/10 700,000 700 +Horizon PCS, Inc., 14.%, 10/01/2010 2,000,000 780 IWO Holdings, Inc., Unit, 14%, 1/15/11, (144A) 1,000,000 870 Nextel Communications, Inc., 9.375%, 11/15/09 2,350,000 1,861 Telecorp PCS, Inc., 10.625%, 7/15/10 1,500,000 1,410 Tritel PCS, Inc., 10.375%, 1/15/11 1,000,000 915 +US Unwired, Inc., 13.375%, 11/1/09 1,150,000 565 Voicestream Wireless Corporation, 10.375%, 11/15/09 400,000 456 --------- TOTAL 9,428 --------- TELECOMMUNICATIONS WIRELESS: PAGING (0.2%) Arch Communications, Inc., 13.75%, 4/15/08 2,500,000 250 --------- TOTAL 250 --------- TELECOMMUNICATIONS WIRELESS: TOWERS (3.4%) American Tower Corp., 9.375%, 2/1/09, (144A) 1,600,000 1,492 Crown Castle International Corp., 10.75%, 8/1/11 1,100,000 1,064 SBA Communications Corp., 10.25%, 2/1/09 1,300,000 1,190 Spectrasite Holdings, Inc., 12.5%, 11/15/10 1,450,000 1,370 --------- TOTAL 5,116 --------- TELECOMMUNICATIONS WIRELINE: CLEC (3.4%) Adelphia Business Solutions, Inc., 12.25%, 9/1/04 1,550,000 1,279 +GT Group Telecom, Inc., 13.25%, 2/1/10 1,650,000 520
MARKET SHARES/ VALUE BONDS (86.4%) PAR (000) ------------------------------------------------------- TELECOMMUNICATIONS WIRELINE: CLEC continued Intermedia Communications, Inc., 8.6%, 6/1/08 1,300,000 $ 1,274 +Intermedia Communications, Inc., 12.5%, 5/15/06 600,000 600 McLeodUSA, Inc., 9.5%, 11/01/08 1,200,000 672 McLeodUSA, Inc., 11.375%, 1/1/09 1,200,000 756 ++Winstar Communications, Inc., 12.75%, 4/15/10 1,325,000 13 --------- TOTAL 5,114 --------- TELECOMMUNICATIONS WIRELINE: ISP/WEB HOSTING (0.3%) Exodus Communications, Inc., 11.625%, 7/15/10 1,250,000 431 --------- TOTAL 431 --------- TELECOMMUNICATIONS WIRELINE: LONG HAUL (1.0%) Global Crossing Holdings, Ltd., 9.5%, 11/15/09 700,000 548 Global Crossing Holdings, Ltd., 9.625%, 5/15/08 300,000 237 Metromedia Fiber Network, 10%, 11/15/08 750,000 285 Williams Communications Group, 10.875%, 10/1/09 1,150,000 466 --------- TOTAL 1,536 --------- TOTAL TECHNOLOGY 37,630 --------- TRANSPORT SERVICES (5.6%) PROFESSIONAL SERVICES (1.3%) Interim Services, Inc., 4.5%, 6/1/05 2,400,000 1,910 --------- TOTAL 1,910 --------- RAILROADS (1.0%) Railamerica Transportation Corp., 12.875%, 8/15/10 1,400,000 1,446 --------- TOTAL 1,446 --------- TRUCKING - SHIPPING (3.3%) Eletson Holdings, Inc., 9.25%, 11/15/03 850,000 850 North American Van Lines, 13.375%, 12/1/09, (144A) 1,650,000 1,518 Stena AB, 10.5%, 12/15/05 1,900,000 1,872 Teekay Shipping Corp., 8.875%, 7/15/11, (144A) 750,000 758 --------- TOTAL 4,998 --------- TOTAL TRANSPORT SERVICES 8,354 --------- UTILITIES (10.5%) UTILITY - ELECTRIC (5.0%) The AES Corporation, 8.875%, 2/15/11 700,000 684 The AES Corporation, 9.375%, 9/15/10 400,000 404 AES Drax Energy, Ltd., 11.5%, 8/30/10 1,300,000 1,411
51 High Yield Bond Portfolio 55
MARKET SHARES/ VALUE BONDS (86.4%) PAR (000) ------------------------------------------------------- UTILITY - ELECTRIC continued Calpine Corporation, 8.625%, 8/15/10 1,000,000 $ 968 Calpine Corporation., 8.75%, 7/15/07 750,000 739 Orion Power Holdings Inc., 12%, 5/1/10, (144A) 1,200,000 1,332 USEC Inc., 6.625%, 1/20/06 2,050,000 1,894 --------- TOTAL 7,432 --------- UTILITY - GARBAGE DISPOSAL (2.8%) Allied Waste North America, Inc., 7.625%, 1/1/06 950,000 939 Allied Waste North America, Inc., 7.875%, 1/1/09 1,750,000 1,711 IT Group, Series B, 11.25%, 4/1/09 1,600,000 1,504 --------- TOTAL 4,154 --------- UTILITY - GAS (1.4%) EOTT Energy Partners, L.P., 11%, 10/1/09 1,300,000 1,391 PG&E National Energy Group, 10.375%, 5/16/11, (144A) 750,000 749 --------- TOTAL 2,140 --------- UTILITY - WATER (1.3%) Azurix Corp., Series B, 10.75%, 2/15/10 1,950,000 2,008 --------- TOTAL 2,008 --------- TOTAL UTILITIES 15,734 --------- TOTAL BONDS (COST $137,680) 129,618 --------- MARKET SHARES/ VALUE PREFERRED STOCK (5.9%) PAR (000'S) ------------------------------------------------------- CONSUMER CYCLICAL (0.8%) PRINTING & PUBLISHING (0.8%) Primedia, Inc. - Series D 5,000 410 Primedia, Inc. - Series F 10,000 780 --------- TOTAL 1,190 --------- TOTAL CONSUMER CYCLICAL 1,190 --------- FINANCE (1.2%) BANKS (1.2%) California Federal Preferred Capital 74,000 1,871 --------- TOTAL 1,871 --------- TOTAL FINANCE 1,871 --------- TECHNOLOGY (3.9%) BROADCASTING (1.5%) **Cumulus Media, Inc. 13,320 1,225 Sinclair Capital 11,500 1,093 --------- TOTAL 2,318 ---------
MARKET SHARES/ VALUE PREFERRED STOCK (5.9%) PAR (000'S) ------------------------------------------------------- CABLE (1.6%) CSC Holdings Inc., - Series H 14,000 $ 1,502 CSC Holdings Inc., - Series M 7,708 823 --------- TOTAL 2,325 --------- TELECOMMUNICATIONS WIRELESS: TOWERS (0.7%) **Crown Castle International Corp. 12,410 1,055 --------- TOTAL 1,055 --------- TELECOMMUNICATIONS WIRELINE: CLEC (0.1%) **XO Communications, Inc. 20,353 92 --------- TOTAL 92 --------- TOTAL TECHNOLOGY 5,790 --------- TOTAL PREFERRED STOCK (COST $10,353) 8,851 --------- COMMON STOCKS AND WARRANTS (0.3%) ------------------------------------------------------- CONSUMER CYCLICAL (0.0%) HOUSEHOLD APPLIANCES (0.0%) *Samsonite Corporation 625 6 --------- TOTAL 6 --------- PRINTING & PUBLISHING (0.0%) *Jostens, Inc. 1,550 23 --------- TOTAL 23 --------- TOTAL CONSUMER CYCLICAL 29 --------- MISCELLANEOUS (0.0%) R.E.I.T. (0.0%) *La Quinta Properties, Inc. 11,117 58 --------- TOTAL 58 --------- TOTAL MISCELLANEOUS 58 --------- TECHNOLOGY (0.2%) BROADCASTING (0.0%) *XM Satellite Radio Holdings, Inc. 1,400 35 --------- TOTAL 35 --------- CABLE (0.0%) *RCN Corporation 2,558 13 --------- TOTAL 13 --------- TELECOMMUNICATIONS WIRELESS: CELLULAR / PCS (0.0%) *Horizon PCS, Inc. 2,000 40 --------- TOTAL 40 --------- TELECOMMUNICATIONS WIRELESS: PAGING (0.0%) *Arch Wireless Communications, Inc. 35,377 6 *Arch Wireless Communications, Inc. 134,177 22 --------- TOTAL 28 ---------
High Yield Bond Portfolio 52 56
MARKET COMMON STOCKS AND SHARES/ VALUE WARRANTS (0.3%) PAR (000'S) ------------------------------------------------------- TELECOMMUNICATIONS WIRELINE: CLEC (0.2%) *GT Group Telecom Inc. 1,650 $ 49 *KMC Telecom Holdings, Inc. 6,250 3 *McLeodUSA Incorporated - Class A 27,405 121 --------- TOTAL 173 --------- TOTAL TECHNOLOGY 289 --------- TRANSPORT SERVICES (0.1%) PROFESSIONAL SERVICES (0.0%) *DecisionOne Corporation 4,062 11 --------- TOTAL 11 --------- RAILROADS (0.1%) *Railamerica, Inc. 1,400 98 --------- TOTAL 98 --------- TOTAL TRANSPORT SERVICES 109 --------- TOTAL COMMON STOCKS AND WARRANTS (COST $9,382) 485 --------- MARKET SHARES/ VALUE MONEY MARKET INVESTMENTS (1.7%) PAR (000'S) ------------------------------------------------------- CAPTIVE FINANCIAL SUBSIDIARIES (0.3%) General Electric Capital Corp., 4.1%, 7/2/01 400,000 400 --------- TOTAL CAPTIVE FINANCIAL SUBSIDIARIES 400 ---------
MARKET SHARES/ VALUE MONEY MARKET INVESTMENTS (1.7%) PAR (000'S) ------------------------------------------------------- CONSUMER CYCLICAL (1.4%) Gannet Company, Inc., 3.95%, 7/17/01 2,150,000 $ 2,146 --------- TOTAL CONSUMER CYCLICAL 2,146 --------- TOTAL MONEY MARKET INVESTMENTS (COST $2,546) 2,546 --------- TOTAL INVESTMENTS (94.3%) (COST $159,961)! 141,500 --------- OTHER ASSETS, LESS LIABILITIES (5.7%) 8,556 --------- TOTAL NET ASSETS (100.0%) $ 150,056 =========
! At 6/30/2001 the aggregate cost of securities for federal tax purposes was $159,961 and the net unrealized depreciation of investments based on that cost was $18,461 which is comprised of $4,899 aggregate gross unrealized appreciation and $23,360 aggregate gross unrealized depreciation. * Non-Income Producing + Step bond security that presently receives no coupon payments. At the predetermined date the stated coupon rate becomes effective. ** PIK - Payment in Kind 144A after the name of a security represents a security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. ++ Fair valued in accordance with the Board of Director's approved procedures. The Accompanying Notes are an Integral Part of the Financial Statements 53 High Yield Bond Portfolio 57
Objective: Portfolio Strategy: Net Assets: A stable and relatively high level Invest in high grade corporate bonds, U.S. $343.12 of long-term total return and government bonds and bonds of government million preservation of capital agencies.
SELECT BOND PORTFOLIO The Select Bond Portfolio invests in high quality debt securities, primarily government bonds, corporate bonds and mortgage-backed securities. Exposure to market sectors is adjusted as yield spreads change among the various classes of securities. Duration and maturities are altered with moderate adjustments in recognition or anticipation of interest rate changes. The Select Bond portfolio has outperformed its benchmark, the Merrill Lynch Domestic master index, for the last six-month and 12-month periods. An overweighted position in corporate bonds early in the period was positive for performance, as corporate bonds outperformed Treasury securities. Recently, gains have been locked in by reducing this overweight. In addition, the Portfolio was correctly positioned for the steepening of the yield curve, with an overweighting in bonds with shorter maturities, which have risen in price as short-term interest rates have dropped. The Portfolio has benefited also from its emphasis on high quality securities and the discipline of the credit analysis process. The high credit quality of holdings has proven especially advantageous, as credit problems caused by weakening demand have resulted in precipitous drops in the prices of many bonds that were formerly rated investment-grade. An unusually large cash position at the end of June is temporary, reflecting the sale of some securities near the end of the period to realize profits. PERCENTAGE HOLDINGS 6/30/2001 [PERCENTAGE HOLDINGS PIE CHART]
MORTGAGE-BACKED AND ASSET-BACKED GOVERNMENT AND CORPORATE BONDS SECURITIES GOVERNMENT AGENCIES SHORT-TERM INVESTMENTS --------------- ------------------- ------------------- ---------------------- Sector Allocation 30.00 20.00 39.00 11.00
The Corporate Bonds sector includes bonds of companies headquartered outside the United States. The Government and Government Agencies category includes taxable bonds of domestic and foreign governments. Consistent with the Portfolio's stated parameters, no more than 10% of the Portfolio is invested in foreign securities, and no more than 10% is invested in high-yield securities. PERFORMANCE RELATIVE TO THE MERRILL LYNCH DOMESTIC MASTER INDEX [PERFORMANCE RELATIVE TO THE MERRILL LYNCH DOMESTIC MASTER INDEX LINE GRAPH]
SELECT BOND PORTFOLIO MERRILL LYNCH DOMESTIC MASTER INDEX --------------------- ----------------------------------- 6/91 10000.00 10000.00 6/92 11533.00 11415.00 6/93 13007.00 12776.00 6/94 12977.00 12644.00 6/95 14635.00 14235.00 6/96 15367.00 14941.00 6/97 16688.00 16163.00 6/98 18163.00 17887.00 6/99 18796.00 18438.00 6/00 19236.00 19281.00 6/01 21627.00 21421.00
- ----------------------------------------------------------------- Average Annual Total Return For Periods Ended June 30, 2001 1 Year 5 Years 10 Years - ----------------------------------------------------------------- Select Bond Portfolio 12.43% 7.07% 8.02% Merrill Lynch Domestic Master Index 11.10% 7.47% 7.92% - -----------------------------------------------------------------
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 6/30/91. 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. Total returns shown on page 2 reflect mortality and expense risk charges and premium 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 returns significantly lower. Investors are urged to obtain a personalized illustration of historical performance which reflects the cost of insurance protection. Select Bond Portfolio 54 58 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments June 30, 2001 (unaudited)
MARKET SHARES/ VALUE CORPORATE BONDS (29.6%) PAR (000) -------------------------------------------------------- AEROSPACE - DEFENSE (4.0%) Lockheed Martin Corporation, 8.2%, 12/1/09 3,850,000 $ 4,146 Northrop Grumman Corporation, 7.125%, 2/15/11 (144A) 4,550,000 4,495 Raytheon Corporation, 8.2%, 3/1/06 2,085,000 2,163 Raytheon Corporation, 8.3%, 3/1/10 2,567,000 2,680 --------- TOTAL AEROSPACE - DEFENSE 13,484 --------- AUTO RELATED (1.3%) General Motors Acceptance Corporation, 7.25%, 3/2/11 625,000 632 Toyota Motor Credit Corporation, 5.65%, 1/15/07 4,000,000 3,950 --------- TOTAL AUTO RELATED 4,582 --------- AUTOMOTIVE RENTALS, NO DRIVERS (0.1%) Hertz Corporation, 7.40%, 3/1/11 425,000 430 --------- TOTAL AUTOMOTIVE RENTALS, NO DRIVERS 430 --------- BANK HOLDING COMPANIES (0.8%) Nationsbank Lease Pass Through Trust, Series 1997-A, Class 1, 7.442% 1/10/11 (144A) 2,679,376 2,774 --------- TOTAL BANK HOLDING COMPANIES 2,774 --------- BEVERAGES, MALT BEVERAGES (3.7%) Anheuser-Busch Companies, Inc., 7%, 12/1/25 4,200,000 4,051 Anheuser-Busch Companies, Inc., 7.5%, 3/15/12 2,500,000 2,735 Fosters Finance Corporation, 6.875%, 6/15/11 (144A) 6,000,000 5,946 --------- TOTAL BEVERAGES, MALT BEVERAGES 12,732 --------- BROAD WOVEN FABRIC MILLS, MANMADE (0.1%) ++Polysindo International Finance, 11.375%, 6/15/06 4,200,000 336 --------- TOTAL BROAD WOVEN FABRIC MILLS, MANMADE 336 --------- CANNED FRUITS & VEGETABLES (0.9%) H.J. Heinz Company, 6.625%, 7/15/11 (144A) 3,000,000 2,969 --------- TOTAL CANNED FRUITS & VEGETABLES 2,969 --------- COMMERCIAL BANKS (0.3%) Bank of America Corporation, 7.4%, 1/15/11 1,133,000 1,177 --------- TOTAL COMMERCIAL BANKS 1,177 ---------
MARKET SHARES/ VALUE CORPORATE BONDS (29.6%) PAR (000) -------------------------------------------------------- DRUGS (0.9%) Pfizer Inc., 5.625%, 2/1/06 2,975,000 $ 2,984 --------- TOTAL DRUGS 2,984 --------- ELECTRIC SERVICES (3.7%) DTE Energy Company, 7.05%, 6/1/11 2,288,000 2,298 Exelon Generation Co., LLC, 6.95%, 6/15/11, (144A) 4,500,000 4,472 Ohio Edison Company, 7.375%, 9/15/02 1,000,000 1,026 Public Service Electric & Gas Co., 6.875%, 1/1/03 2,250,000 2,294 South Carolina Electric & Gas, 6.125%, 3/1/09 1,750,000 1,688 Texas Utilities Electric Co., 7.875%, 3/1/23 1,000,000 1,001 --------- TOTAL ELECTRIC SERVICES 12,779 --------- METAL MINING (0.6%) Rio Tinto Finance Ltd., 5.75%, 7/3/06 2,000,000 1,982 --------- TOTAL METAL MINING 1,982 --------- OIL AND GAS EXTRACTION (1.4%) Chevron Corporation, 6.625%, 10/1/04 4,500,000 4,680 --------- TOTAL OIL AND GAS EXTRACTION 4,680 --------- PHARMACEUTICALS (3.4%) Johnson & Johnson, 6.625%, 9/1/09 2,750,000 2,837 Johnson & Johnson, 6.95%, 9/1/29 2,200,000 2,280 Merck & Co., Inc. 5.95%, 12/1/28 7,375,000 6,705 --------- TOTAL PHARMACEUTICALS 11,822 --------- PLASTICS MATERIALS AND RESINS (0.6%) Dow Capital B.V., 8.5%, 6/8/10 1,800,000 1,972 --------- TOTAL PLASTICS MATERIALS AND RESINS 1,972 --------- REAL ESTATE OPERATOR LESSORS (0.4%) ERP Operating LP, 6.95%, 3/2/11 1,500,000 1,475 --------- TOTAL REAL ESTATE OPERATOR LESSORS 1,475 --------- RETAIL-MISC SHOPPING GOODS STORES (2.8%) Kohls Corporation, 6.30%, 3/1/11, (144A) 750,000 725 LB Mortgage Trust, Series 1991-2, Class A3, 8.3962%, 1/20/17 5,764,536 6,262 Wal-Mart Stores, Inc., 6.875%, 8/1/02 2,500,000 2,562 --------- TOTAL RETAIL-MISC SHOPPING GOODS STORES 9,549 ---------
55 Select Bond Portfolio 59
MARKET SHARES/ VALUE CORPORATE BONDS (29.6%) PAR (000) -------------------------------------------------------- TOBACCO PRODUCTS (2.8%) Philip Morris Companies Inc., 7.75%, 1/15/27 9,500,000 $ 9,501 --------- TOTAL TOBACCO PRODUCTS 9,501 --------- TRANSPORTATION SERVICES (1.8%) United Parcel Service, 8.375%, 4/1/20 5,350,000 6,228 --------- TOTAL TRANSPORTATION SERVICES 6,228 --------- TOTAL CORPORATE BONDS (COST $102,860) 101,456 --------- GOVERNMENT (DOMESTIC AND FOREIGN) AND AGENCY BONDS (39.4%) -------------------------------------------------------- FEDERAL GOVERNMENT AND AGENCIES (39.4%) Aid-Israel, 0%, 11/1/24 8,900,000 1,983 Federal Home Loan Bank, 5.54%, 1/8/09 3,700,000 3,600 Federal Home Loan Mortgage Corporation, 7.5%, 10/1/27 5,601,191 5,749 Federal National Mortgage Association, 5.97%, 10/1/08 3,814,439 3,778 Federal National Mortgage Association, 6.22%, 2/1/06 1,855,611 1,881 Federal National Mortgage Association, 6.24%, 1/1/06 5,229,138 5,308 Federal National Mortgage Association, 6.265%, 10/1/08 2,907,469 2,922 Federal National Mortgage Association, 6.36%, 4/1/08 3,650,046 3,692 Federal National Mortgage Association, 6.39%, 4/1/08 1,398,230 1,416 Federal National Mortgage Association, 6.5%, 9/25/05 1,652,887 1,682 Federal National Mortgage Association, 6.75%, 12/25/23 3,500,000 3,551 Federal National Mortgage Association, 6.75%, 4/25/18 2,161,531 2,185 Federal National Mortgage Association, 7%, 6/1/03 193,335 197 Federal National Mortgage Association, 7.36%, 4/1/11 3,156,168 3,356 Federal National Mortgage Association, 8.4%, 2/25/09 2,500,000 2,640 Federal National Mortgage Association, 10%, 10/1/17 27,982 31 Federal National Mortgage Association, 11%, 12/1/12 47,091 53 Federal National Mortgage Association, 11%, 9/1/17 458,753 515 Federal National Mortgage Association, 11%, 2/1/18 213,937 240
GOVERNMENT (DOMESTIC AND MARKET FOREIGN) AND AGENCY SHARES/ VALUE BONDS (39.4%) PAR (000'S) -------------------------------------------------------- FEDERAL GOVERNMENT AND AGENCIES continued Federal National Mortgage Association, 11%, 12/1/17 147,151 $ 165 Federal National Mortgage Association, 11.5%, 4/1/18 197,680 225 Federal National Mortgage Association, 12%, 12/1/12 113,906 130 Federal National Mortgage Association, 12%, 9/1/12 493,531 562 Federal National Mortgage Association, 12%, 2/1/18 177,422 204 Federal National Mortgage Association, 12%, 12/1/17 135,207 155 Federal National Mortgage Association, 12%, 9/1/17 147,839 170 Federal National Mortgage Association, 12%, 10/1/17 144,162 165 Federal National Mortgage Association, 12.25%, 1/1/18 101,440 117 Federal National Mortgage Association, 12.5%, 4/1/18 85,235 99 Federal National Mortgage Association, 13%, 11/1/12 62,463 73 Federal National Mortgage Association, 13%, 12/1/17 106,004 124 Federal National Mortgage Association, 13%, 2/1/18 218,219 255 Federal National Mortgage Association, 13%, 11/1/17 131,467 154 Federal National Mortgage Association, 14%, 12/1/17 63,070 75 Government National Mortgage Association, 7%, 5/15/23 222,203 226 Government National Mortgage Association, 7.5%, 4/15/27 81,914 84 Government National Mortgage Association, 7.5%, 8/15/27 9,857 10 Government National Mortgage Association, 7.5%, 1/15/27 269,393 277 Government National Mortgage Association, 7.5%, 2/15/27 355,419 366 Government National Mortgage Association, 7.5%, 3/15/27 37,471 39 Government National Mortgage Association, 7.5%, 6/15/28 354,037 364 Government National Mortgage Association, 7.5%, 11/15/25 9,443 10 Government National Mortgage Association, 7.5%, 5/15/26 11,144 11 Government National Mortgage Association, 7.5%, 10/15/25 19,481 20 Government National Mortgage Association, 7.5%, 10/15/23 458,629 474 Government National Mortgage Association, 7.5%, 4/15/22 162,955 169
Select Bond Portfolio 56 60
GOVERNMENT (DOMESTIC AND MARKET FOREIGN) AND AGENCY SHARES/ VALUE BONDS (39.4%) PAR (000'S) -------------------------------------------------------- FEDERAL GOVERNMENT AND AGENCIES continued Government National Mortgage Association, 8%, 8/15/26 369,686 $ 384 Government National Mortgage Association, 8%, 12/15/26 83,787 87 Government National Mortgage Association, 8%, 9/15/26 127,974 133 Government National Mortgage Association, 8%, 8/15/27 235,504 245 Government National Mortgage Association, 8%, 1/15/27 294,612 306 Government National Mortgage Association, 8%, 4/15/27 629,103 654 Government National Mortgage Association, 8%, 6/15/27 291,937 303 Government National Mortgage Association, 8%, 3/15/27 339,490 353 Government National Mortgage Association, 8%, 9/15/27 237,442 247 Government National Mortgage Association, 8%, 7/15/27 297,193 309 Government National Mortgage Association, 8%, 1/15/26 305,255 318 Government National Mortgage Association, 8%, 2/15/26 360,689 375 Government National Mortgage Association, 8.5%, 7/15/24 49,814 53 Government National Mortgage Association, 8.5%, 11/15/24 300,112 319 Government National Mortgage Association, 8.5%, 6/15/24 45,018 48 Government National Mortgage Association, 8.5%, 9/15/24 722 1 Government National Mortgage Association, 8.5%, 2/15/25 35,053 37 Government National Mortgage Association, 8.5%, 6/15/23 3,146 3 Government National Mortgage Association, 8.5%, 3/15/23 1,286 1 Government National Mortgage Association, 8.5%, 9/15/21 23,069 25 Government National Mortgage Association, 11%, 1/15/18 2,878,962 3,224 Iroquois Trust, Series 1997-2, Class A, 6.752%, 6/25/07 (144A) 730,351 739 Rural Housing Trust 1987-1, Series 1, Class D, 6.33%, 4/1/26 889,062 904 US Treasury, 4.13%, 2/28/02 5,000,000 4,884 US Treasury, 4.625%, 2/28/03 7,250,000 7,298 US Treasury, 4.625%, 5/15/06 15,013,000 14,807 US Treasury, 6.25%, 5/15/30 8,024,000 8,509 US Treasury Inflation Index Bond, 3.375%, 1/15/07 16,450,940 16,652 US Treasury Inflation Index Bond, 3.625%, 7/15/02 6,267,834 6,385
GOVERNMENT (DOMESTIC AND MARKET FOREIGN) AND AGENCY SHARES/ VALUE BONDS (39.4%) PAR (000'S) -------------------------------------------------------- FEDERAL GOVERNMENT AND AGENCIES continued US Treasury Inflation Index Bond, 3.625%, 1/15/08 9,810,810 $ 10,032 US Treasury Inflation Index Bond, 3.875%, 4/15/29 7,445,327 7,971 --------- TOTAL GOVERNMENT (DOMESTIC AND FOREIGN) AND AGENCY BONDS (COST $133,150) 135,108 --------- MORTGAGE/ASSET BACKED SECURITIES (20.3%) -------------------------------------------------------- AUTO RELATED (1.1%) Fleetwood Credit Corporation Grantor Trust, Series 1997-B, Class A, 6.4%, 5/15/13 450,537 460 Team Fleet Financing Corporation, Series 1996-1, Class A, 6.65%, 12/15/02 (144A) 3,200,000 3,230 --------- TOTAL AUTO RELATED 3,690 --------- BOAT DEALERS (0.3%) Nationscredit Grantor Trust, Series 1997-2, Class A1, 6.35%, 4/15/14 845,632 859 --------- TOTAL BOAT DEALERS 859 --------- COMMERCIAL MORTGAGES (15.0%) Asset Securitization Corporation, Series 1996-MD6, Class CS1, 1.6317%, 11/13/26, IO 10,339,464 190 Asset Securitization Corporation, Series 1996-MD6, Class CS2, 1.098%, 11/13/26, IO 52,000,000 1,602 Asset Securitization Corporation, Series 1997-D5, Class PS1, 1.6155%, 2/14/41, IO 11,666,489 879 Chase Commercial Mortgage Securities Corporation, Series 1997-1, Class B, 7.37%, 4/19/07 1,000,000 1,040 Chase Commercial Mortgage Securities Corporation, Series 1997-2, Class A2, 6.6%, 11/19/07 5,000,000 5,057 Chase Commercial Mortgage Securities Corporation, Series 1997-2, Class B, 6.6%, 11/19/07 2,000,000 2,003 Commercial Mortgage Acceptance Corporation, Series 1997-ML1, Class B, 6.6437%, 12/15/07 2,000,000 2,012
57 Select Bond Portfolio 61
MARKET MORTGAGE/ASSET BACKED SHARES/ VALUE SECURITIES (20.3%) PAR (000'S) -------------------------------------------------------- COMMERCIAL MORTGAGES continued Credit Suisse First Boston Mortgage Securities Corporation, Series 1997-C1, Class A2, 7.26%, 6/20/07 (144A) 1,386,819 $ 1,432 Credit Suisse First Boston Mortgage Securities Corporation, Series 1997-C1, Class B, 7.28%, 6/20/07 (144A) 1,500,000 1,551 Criimi Mae Commercial Mortgage Trust, Series 1998-C1, Class A1, 7%, 11/2/06 (144A) 3,000,000 3,049 Criimi Mae Commercial Mortgage Trust, Series 1998-C1, Class B, 7%, 11/2/11 (144A) 4,000,000 3,835 DLJ Commercial Mortgage Corporation, Series 1998-CF1, Class S, .7003%, 1/15/18, IO 115,613,784 3,903 DLJ Mortgage Acceptance Corporation, Series 1994-MF11, Class A1, 8.1%, 6/18/04 368,606 368 DLJ Mortgage Acceptance Corporation, Series 1994-MF11, Class A2, 8.1%, 6/18/04 1,000,000 1,004 DLJ Mortgage Acceptance Corporation, Series 1997-CF2, Class S, .3516%, 10/15/17, IO (144A) 99,923,182 2,016 The Equitable Life Assurance Society, Series 174, Class C1, 7.52%, 5/15/06 (144A) 2,000,000 2,067 Kmart CMBS Financing, Inc., Series 1997-1, Class B, 7.0275%, 3/1/07 (144A) 2,000,000 1,995 Kmart CMBS Financing, Inc., Series 1997-1, Class C, 7.3275%, 3/1/07 (144A) 2,500,000 2,490 Kmart CMBS Financing, Inc., Series 1997-1, Class D, 7.7275%, 3/1/07 (144A) 2,000,000 1,989 Malan Mortgage Securities Trust, Series 1995-1, Class A3, 7.8%, 8/15/05 (144A) 3,000,000 3,084 Midland Realty Acceptance Corporation, Series 1996-C2, Class AEC, 1.3534%, 1/25/29, IO (144A) 12,059,661 672 Mortgage Capital Funding, Inc., Series 1997-MC1, Class A3, 7.288%, 3/20/07 5,323,000 5,546
MARKET MORTGAGE/ASSET BACKED SHARES/ VALUE SECURITIES (20.3%) PAR (000'S) -------------------------------------------------------- COMMERCIAL MORTGAGES continued Nomura Asset Securities Corporation, Series 1998-D6, Class A2, 6.9931%, 3/17/28 2,800,000 $ 2,811 RMF Commercial Mortgage Pass- Through, Series 1997-1, Class F, 7.471%, 1/15/19 (144A) 1,800,000 1,171 --------- TOTAL COMMERCIAL MORTGAGES 51,766 --------- CREDIT CARD ASSET BACKED (0.2%) Heilig-Meyers Master Trust, Series 1998-1A, Class A, 6.125%, 1/20/07 (144A) 1,646,090 576 --------- TOTAL CREDIT CARD ASSET BACKED 576 --------- FRANCHISE LOAN RECEIVABLES (1.6%) Enterprise Mortgage Acceptance Company, Series 1998-1, Class A2, 6.38%, 4/15/07 (144A) 3,100,000 3,018 Enterprise Mortgage Acceptance Company, Series 1998-1, Class IO, 1.3704%, 1/15/23, IO (144A) 28,477,034 1,633 FMAC Loan Receivables Trust, Series 1998-A, Class A1, 6.2%, 9/15/20 (144A) 294,651 294 Global Franchise Trust, Series 1998-1, Class A1, 6.349%, 4/10/04 (144A) 853,591 854 --------- TOTAL FRANCHISE LOAN RECEIVABLES 5,799 --------- HEALTH SERVICES (0.3%) Health Care Receivables, 6.25%, 2/1/03 (144A) 1,125,000 1,135 --------- TOTAL HEALTH SERVICES 1,135 --------- HOME EQUITY LOAN (0.8%) Amresco Residential Securities, Series 1998-2, Class A2, 6.245%, 4/25/22 145,102 145 Vanderbilt Mortgage Finance, Inc., Series 1997-B, Class 1A4, 7.19%, 2/7/14 2,500,000 2,588 --------- TOTAL HOME EQUITY LOAN 2,733 --------- MANUFACTURED HOUSING (0.3%) Mid-State Trust, Series 6, Class A3, 7.54%, 7/1/35 886,930 874 --------- TOTAL MANUFACTURED HOUSING 874 ---------
Select Bond Portfolio 58 62
MARKET MORTGAGE/ASSET BACKED SHARES/ VALUE SECURITIES (20.3%) PAR (000'S) -------------------------------------------------------- MOTORCYCLE DEALERS (0.3%) Harley-Davidson Eaglemark Motorcycle Trust, Series 1998-2, Class A2, 5.87%, 4/15/04 1,040,303 $ 1,053 --------- TOTAL MOTORCYCLE DEALERS 1,053 --------- RESIDENTIAL MORTGAGES (0.4%) Blackrock Capital Finance L.P., Series 1997-R1, Class B3, 7.75%, 3/25/37 (144A) 3,737,448 654 Blackrock Capital Finance L.P., Series 1997-R3, Class B3, 7.25%, 11/25/28 (144A) 4,219,406 633 --------- TOTAL RESIDENTIAL MORTGAGES 1,287 --------- TOTAL MORTGAGE/ASSET BACKED SECURITIES (COST $77,961) 69,772 --------- MONEY MARKET INVESTMENTS (12.0%) -------------------------------------------------------- ASSET-BACKED SECURITIES (CMO'S) (1.4%) Asset Securitization, 4%, 7/6/01 5,000,000 4,997 --------- TOTAL ASSET-BACKED SECURITIES (CMO'S) 4,997 --------- ELECTRICAL EQUIPMENT & SUPPLIES (0.1%) General Electric Capital Corporation, 4.10%, 7/2/01 400,000 400 --------- TOTAL ELECTRICAL EQUIPMENT & SUPPLIES 400 --------- FEDERAL GOVERNMENT AND AGENCIES (0.5%) Federal Home Loan Mortgage Corporation, 3.71%, 9/14/01 1,600,000 1,588 --------- TOTAL FEDERAL GOVERNMENT AND AGENCIES 1,588 --------- FINANCE SERVICES (1.3%) Citicorp, 3.85%, 7/17/01 4,400,000 4,392 --------- TOTAL FINANCE SERVICES 4,392 --------- MISCELLANEOUS BUSINESS CREDIT INSTITUTIONS (1.5%) CIT Group, Inc., 3.88%, 7/18/01 5,000,000 4,990 --------- TOTAL MISCELLANEOUS BUSINESS CREDIT INSTITUTIONS 4,990 ---------
MARKET MONEY MARKET SHARES/ VALUE INVESTMENTS (12.0%) PAR (000'S) -------------------------------------------------------- SECURITY BROKERS AND DEALERS (2.8%) Morgan Stanley Dean Witter, 3.77%, 8/3/01 5,000,000 $ 4,982 Salomon Smith Barney Holdings, Inc., 3.78%, 7/27/01 5,000,000 4,986 --------- TOTAL SECURITY BROKERS AND DEALERS 9,968 --------- SHORT TERM BUSINESS CREDIT (1.4%) Transamerica Financial Corporation, 4.00%, 7/10/01 5,000,000 4,994 --------- TOTAL SHORT TERM BUSINESS CREDIT 4,994 --------- TOBACCO PRODUCTS (1.5%) Philip Morris Capital Company, 3.8%, 7/20/01 5,000,000 4,989 --------- TOTAL TOBACCO PRODUCTS 4,989 --------- UTILITY - ELECTRIC (1.5%) National Rural Utility, 3.90%, 7/23/01 5,000,000 4,988 --------- TOTAL UTILITY - ELECTRIC 4,988 --------- TOTAL MONEY MARKET INVESTMENTS (COST $41,306) 41,306 --------- TOTAL INVESTMENTS (101.3%) (COST $355,277)! 347,642 --------- OTHER ASSETS, LESS LIABILITIES (-1.3%) (4,521) --------- TOTAL NET ASSETS (100.0%) $ 343,121 =========
! At 6/30/2001 the aggregate cost of securities for federal tax purposes was $355,277 and the net unrealized depreciation of investments based on that cost was $7,635 which is comprised of $6,186 aggregate gross unrealized appreciation and $13,821 aggregate gross unrealized depreciation. IO - Interest Only Security ++Defaulted Security 144A after the name of a security represents a security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. The Accompanying Notes are an Integral Part of the Financial Statements 59 Select Bond Portfolio 63
Objective: Portfolio Strategy: Net Assets: Maximum current income consistent Achieve stability of capital by investing in $408.83 with liquidity and stability of short-term debt securities. million 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. The Federal Reserve pursued a policy of aggressive easing in the first half of 2001, with six rate cuts that totaled 275 basis points. Unfortunately, the average maturity of the Money Market Portfolio was somewhat shorter than the index with which it is compared over this period; returns were therefore slightly below that of the index. At the end of June, the Portfolio's maturity is quite close to that of the index. It now seems likely that the series of rate cuts is at or near its end, and that short-term interest rates will remain relatively stable in the last half of 2001. AN INVESTMENT IN THE MONEY MARKET PORTFOLIO IS NEITHER INSURED NOR GUARANTEED BY THE FEDERAL DEPOSIT INSURANCE CORPORATION OR ANY OTHER GOVERNMENT AGENCY. ALTHOUGH THE PORTFOLIO SEEKS TO PRESERVE THE VALUE OF YOUR INVESTMENT AT $1.00 PER SHARE, THERE IS NO ASSURANCE THAT THE PORTFOLIO WILL BE ABLE TO MAINTAIN A STABLE NET ASSET VALUE SO IT IS POSSIBLE TO LOSE MONEY BY INVESTING IN THE PORTFOLIO. Money Market Portfolio 60 64 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments June 30, 2001 (unaudited)
MARKET SHARES/ VALUE SHORT TERM PAPER (96.9%) PAR (000) ----------------------------------------------------------- ASSET-BACKED SECURITIES (CMO'S) (7.4%) Asset Securitization, 3.75%, 7/26/01 2,500,000 $ 2,493 Asset Securitization, 4%, 7/6/01 10,000,000 9,993 Merrill Lynch Mortgage Investors, Inc., 6.65%, 11/27/01 17,575,324 17,576 --------- TOTAL ASSET-BACKED SECURITIES (CMO'S) 30,062 --------- AUTO RELATED (10.4%) BMW US Capital Corp., 3.75%, 7/23/01 12,500,000 12,470 Ford Motor Credit Co., 3.84%, 8/10/01 4,070,000 4,052 Ford Motor Credit Co., 3.94%, 7/20/01 6,200,000 6,187 General Motors Acceptance Corporation, 3.76%, 8/3/01 7,000,000 6,975 General Motors Acceptance Corporation, 3.99%, 7/5/01 1,100,000 1,099 Toyota Motor Credit Corp., 3.82%, 7/30/01 11,410,000 11,374 --------- TOTAL AUTO RELATED 42,157 --------- COMMERCIAL BANKS (2.4%) Marshall & Ilsley Bank, 5.0175%, 4/19/02 10,000,000 9,999 --------- TOTAL COMMERCIAL BANKS 9,999 --------- ELECTRICAL EQUIPMENT & SUPPLIES (6.1%) Emerson Electric Co., 3.85%, 7/20/01 12,500,000 12,473 General Electric Capital Corp., 3.82%, 7/17/01 12,500,000 12,478 --------- TOTAL ELECTRICAL EQUIPMENT & SUPPLIES 24,951 --------- FEDERAL & FEDERALLY-SPONSORED CREDIT (8.2%) Federal National Mortgage Association, 3.94%, 7/2/01 33,650,000 33,643 --------- TOTAL FEDERAL & FEDERALLY- SPONSORED CREDIT 33,643 --------- FINANCE LESSORS (5.6%) Preferred Receivable Funding, 3.74%, 8/7/01 10,500,000 10,459 Receivable Capital Trust, 3.87%, 7/26/01 12,621,000 12,585 --------- TOTAL FINANCE LESSORS 23,044 --------- FINANCE SERVICES (6.2%) Centric Capital Corp., 3.94%, 7/30/01 12,900,000 12,858 Citicorp, 3.86%, 7/25/01 12,500,000 12,466 --------- TOTAL FINANCE SERVICES 25,324 ---------
MARKET SHARES/ VALUE SHORT TERM PAPER (96.9%) PAR (000) ----------------------------------------------------------- INDUSTRIAL INORGANIC CHEMICALS (1.9%) Monsanto Company, 3.76%, 7/27/01 3,000,000 $ 2,992 Monsanto Company, 3.86%, 7/20/01 4,614,000 4,604 --------- TOTAL INDUSTRIAL INORGANIC CHEMICALS 7,596 --------- MACHINERY (3.2%) Caterpillar Financial Services Corporation, 4.05%, 6/1/02 10,000,000 10,000 Caterpillar Financial Services Corporation, 5.77%, 12/10/01 3,000,000 3,014 --------- TOTAL MACHINERY 13,014 --------- MISCELLANEOUS BUSINESS CREDIT INSTITUTIONS (3.0%) Quincy Capital Corporation, 3.9%, 7/26/01 12,500,000 12,465 --------- TOTAL MISCELLANEOUS BUSINESS CREDIT INSTITUTIONS 12,465 --------- NEWSPAPERS (3.1%) Gannet Company, Inc., 3.95%, 7/17/01 2,500,000 2,495 Gannet Company, Inc., 3.98%, 7/9/01 10,200,000 10,190 --------- TOTAL NEWSPAPERS 12,685 --------- NONDEPOSIT TRUST FACILITIES (3.0%) JP Morgan Chase & Co., 3.75%, 8/3/01 12,500,000 12,456 --------- TOTAL NONDEPOSIT TRUST FACILITIES 12,456 --------- PERSONAL CREDIT INSTITUTIONS (19.3%) American General Finance, 3.94%, 7/27/01 8,305,000 8,280 American General Finance, 3.95%, 7/9/01 2,300,000 2,298 Associates Corp. of NA, 3.77%, 6/26/02 10,000,000 10,000 CXC Incorporated, 3.75%, 7/27/01 12,500,000 12,465 Delaware Funding Corp., 3.88%, 7/20/01 12,500,000 12,472 Household Finance Corp., 3.83%, 7/13/01 10,100,000 10,086 New Center Asset Trust, 3.75%, 8/2/01 12,500,000 12,457 Variable Funding Capital, 3.86%, 7/25/01 5,000,000 4,987 Variable Funding Capital, 3.99%, 7/6/01 5,590,000 5,586 --------- TOTAL PERSONAL CREDIT INSTITUTIONS 78,631 ---------
61 Money Market Portfolio 65
MARKET SHARES/ VALUE SHORT TERM PAPER (96.9%) PAR (000) ----------------------------------------------------------- PETROLEUM REFINING (1.6%) E. I. du Pont de Nemours and Company, 3.88%, 7/18/01 6,750,000 $ 6,737 --------- TOTAL PETROLEUM REFINING 6,737 --------- SECURITY BROKERS AND DEALERS (7.6%) The Goldman Sachs Group, 3.96%, 7/10/01 8,330,000 8,321 Morgan Stanley Dean Witter, 3.75%, 8/2/01 12,500,000 12,457 Salomon Smith Barney Holdings, Inc., 3.82%, 7/31/01 10,200,000 10,166 --------- TOTAL SECURITY BROKERS AND DEALERS 30,944 --------- SHORT TERM BUSINESS CREDIT (3.0%) Transamerica Financial Corporation, 3.78%, 8/13/01 3,500,000 3,484 Transamerica Financial Corporation, 3.92%, 7/9/01 8,870,000 8,861 --------- TOTAL SHORT TERM BUSINESS CREDIT 12,345 --------- TOBACCO PRODUCTS (2.1%) Philip Morris Capital Company, 3.8%, 7/20/01 8,500,000 8,482 --------- TOTAL TOBACCO PRODUCTS 8,482 --------- UTILITY - ELECTRIC (2.8%) National Rural Utility, 3.9%, 7/19/01 4,911,000 4,901 National Rural Utility, 3.96%, 7/13/01 6,644,000 6,634 --------- TOTAL UTILITY - ELECTRIC 11,535 --------- TOTAL SHORT TERM PAPER (COST: $396,070) 396,070 --------- MARKET SHARES/ VALUE CORPORATE BONDS DOMESTIC (4.4%) PAR (000'S) ----------------------------------------------------------- AUTO RELATED (0.9%) General Motors Acceptance Corporation, 5.5%, 1/14/2002 2,550,000 $ 2,554 General Motors Acceptance Corporation, 9.625%, 12/15/01 1,000,000 1,019 --------- TOTAL AUTO RELATED 3,573 --------- MISCELLANEOUS BUSINESS CREDIT INSTITUTIONS (1.3%) The CIT Group, Inc.,6.5%, 6/14/02 5,000,000 5,111 --------- TOTAL MISCELLANEOUS BUSINESS CREDIT INSTITUTIONS 5,111 --------- TELEPHONE AND TELEGRAPH APPARATUS (0.6%) AT & T Capital Corporation, 5.86%, 4/26/02 2,500,000 2,528 --------- TOTAL TELEPHONE AND TELEGRAPH APPARATUS 2,528 --------- TOBACCO PRODUCTS (0.4%) Philip Morris Companies Inc., 7.625%, 5/15/02 1,500,000 1,538 --------- TOTAL TOBACCO PRODUCTS 1,538 --------- UTILITY - ELECTRIC (1.2%) National Rural Utility, 6.7%, 6/15/02 5,000,000 5,124 --------- TOTAL UTILITY - ELECTRIC 5,124 --------- TOTAL CORPORATE BONDS DOMESTIC (COST $17,874) 17,874 --------- TOTAL INVESTMENTS (101.3%) (COST $413,944)! 413,944 --------- OTHER ASSETS, LESS LIABILITIES (-1.3%) (5,111) --------- TOTAL NET ASSETS (100.0%) $ 408,833 ========= -----------------------------------------------------------
! Also represents cost for federal income tax purposes. The Accompanying Notes are an Integral Part of the Financial Statements Money Market Portfolio 62 66 (This page intentionally left blank) 67 NORTHWESTERN MUTUAL SERIES FUND, INC. Statements of Assets and Liabilities June 30, 2001 (in thousands, except per share amounts)
FRANKLIN TEMPLETON SMALL CAP AGGRESSIVE INTERNATIONAL INDEX 400 GROWTH GROWTH STOCK GROWTH STOCK EQUITY STOCK STOCK PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO - ---------------------------------------------------------------------------------------------------------------------------- ASSETS Investments, at value (1)........................... $ 286,546 $1,507,732 $ 759,879 $ 185,540 $ 716,778 Cash................................................ 1,618 -- 73 -- -- Due from Futures Variation Margin................... 545 453 -- 75 222 Due from Sale of Fund Shares........................ 385 4,618 16,870 286 389 Due from Sale of Securities......................... 425 20,683 128 -- 3,191 Dividends and Interest Receivable................... 49 217 2,836 117 389 ---------- ---------- ---------- ---------- ---------- TOTAL ASSETS...................................... 289,568 1,533,703 779,786 186,018 720,969 ---------- ---------- ---------- ---------- ---------- LIABILITIES Due on Purchase of Securities....................... 1,765 17,732 5,181 124 1,506 Due on Redemption of Fund Shares.................... 24 188 276 6 153 Due to Investment Advisor........................... 128 610 411 36 244 Accrued Expenses.................................... 80 92 160 80 53 ---------- ---------- ---------- ---------- ---------- TOTAL LIABILITIES................................. 1,997 18,622 6,028 246 1,956 ---------- ---------- ---------- ---------- ---------- NET ASSETS........................................ $ 287,571 $1,515,081 $ 773,758 $ 185,772 $ 719,013 ========== ========== ========== ========== ========== REPRESENTED BY: Aggregate Paid in Capital (2), (3).................. $ 279,690 $1,311,948 $ 774,797 $ 179,801 $ 641,138 Undistributed Net Investment Income................. 383 1,038 8,582 998 3,816 Undistributed Accumulated Net Realized Gain (Loss) on Investments.................................... (11,701) 56,292 (11,503) (3,554) (23,239) Net Unrealized Appreciation (Depreciation) of: Investment Securities............................. 19,258 146,901 1,891 8,476 98,961 Index Futures Contracts........................... (59) (1,098) -- 51 (1,663) Foreign Currency Transactions..................... -- -- (9) -- -- ---------- ---------- ---------- ---------- ---------- Net Assets for Shares Outstanding (2)............... $ 287,571 $1,515,081 $ 773,758 $ 185,772 $ 719,013 ========== ========== ========== ========== ========== Net Asset Value, Offering and Redemption Price per Share............................................. $ 1.87 $ 3.15 $ 1.37 $ 1.14 $ 2.13 ========== ========== ========== ========== ========== (1) Investments, at cost.............................. $ 267,288 $1,360,831 $ 757,988 $ 177,064 $ 617,817 (2) Shares outstanding................................ 153,621 481,131 566,841 163,394 337,591 (3) Shares authorized, $.01 par value................. 2,000,000 2,000,000 2,000,000 2,000,000 2,000,000
The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) Statements of Assets and Liabilities 64 68
J.P. MORGAN SELECT GROWTH AND INDEX 500 HIGH YIELD SELECT MONEY INCOME STOCK STOCK BALANCED BOND BOND MARKET PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO ----------------------------------------------------------------------------------- $ 572,848 $1,938,998 $3,120,708 $ 141,500 $ 347,642 $ 413,944 644 28 -- 2,496 -- 26,244 -- 35 1,417 -- -- -- 227 450 99 170 643 331 960 -- 40,792 5,656 27,963 -- 526 1,625 16,935 3,490 3,339 295 ---------- ---------- ---------- ---------- ---------- ---------- 575,205 1,941,136 3,179,951 153,312 379,587 440,814 ---------- ---------- ---------- ---------- ---------- ---------- 2,218 -- 50,481 3,153 36,332 10,266 203 946 1,039 31 52 21,616 258 311 752 60 81 99 24 79 2 12 1 -- ---------- ---------- ---------- ---------- ---------- ---------- 2,703 1,336 52,274 3,256 36,466 31,981 ---------- ---------- ---------- ---------- ---------- ---------- $ 572,502 $1,939,800 $3,127,677 $ 150,056 $ 343,121 $ 408,833 ========== ========== ========== ========== ========== ========== $ 593,229 $1,314,235 $2,367,868 $ 209,334 $ 345,779 $ 408,833 1,849 10,191 56,057 7,977 10,328 -- (18,286) 10,300 (906) (48,794) (5,351) -- (4,290) 605,104 712,272 (18,461) (7,635) -- -- (30) (7,614) -- -- -- -- -- -- -- -- -- ---------- ---------- ---------- ---------- ---------- ---------- $ 572,502 $1,939,800 $3,127,677 $ 150,056 $ 343,121 $ 408,833 ========== ========== ========== ========== ========== ========== $ 1.28 $ 3.05 $ 1.85 $ 0.73 $ 1.14 $ 1.00 ========== ========== ========== ========== ========== ========== $ 577,138 $1,333,894 $2,408,436 $ 159,961 $ 355,277 $ 413,944 446,078 635,641 1,694,742 206,954 299,717 408,847 2,000,000 2,000,000 3,000,000 2,000,000 1,000,000 2,000,000
65 Statements of Assets and Liabilities 69 NORTHWESTERN MUTUAL SERIES FUND, INC. Statements of Operations For the Year Ended June 30, 2001 (in thousands)
FRANKLIN SMALL CAP AGGRESSIVE TEMPLETON GROWTH GROWTH INTERNATIONAL INDEX 400 GROWTH STOCK STOCK EQUITY STOCK STOCK PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO - ------------------------------------------------------------------------------------------------------------------------ INVESTMENT INCOME Income Interest............................................. $ 1,002 $ 3,587 $ 2,018 $ 542 $ 2,368 Dividends (1)........................................ 144 1,315 12,188 708 2,996 ------- --------- -------- ------- -------- TOTAL INCOME...................................... 1,146 4,902 14,206 1,250 5,364 ------- --------- -------- ------- -------- Expenses Management Fees...................................... 729 3,819 2,567 197 1,521 Custodian Expenses................................... 19 27 126 45 12 Other Expenses....................................... 11 13 185 4 9 Audit Fees........................................... 8 8 10 8 8 ------- --------- -------- ------- -------- TOTAL EXPENSES.................................. 767 3,867 2,888 254 1,550 ------- --------- -------- ------- -------- Less Waived Fees: Paid by Affiliate............................... -- -- -- -- -- Paid Indirectly................................. (4) (3) -- (2) (2) ------- --------- -------- ------- -------- TOTAL NET EXPENSES.............................. 763 3,864 2,888 252 1,548 ------- --------- -------- ------- -------- Net Investment Income (Loss)........................... 383 1,038 11,318 998 3,816 REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES Net Realized Gain (Loss) on: Investment Securities................................ (9,183) 54,703 (14,135) (773) (15,615) Index Futures Contracts.............................. 2,163 5,928 -- (2,725) (4,389) Foreign Currency Transactions........................ -- -- (314) -- -- ------- --------- -------- ------- -------- NET REALIZED GAIN (LOSS) ON INVESTMENTS......... (7,020) 60,631 (14,449) (3,498) (20,004) ------- --------- -------- ------- -------- Net Change in Unrealized Appreciation (Depreciation) of: Investment Securities................................ 11,033 (238,953) (52,389) 4,855 (59,463) Index Futures Contracts.............................. (482) (3,821) -- 23 (1,418) Foreign Currency Transactions........................ -- -- 450 -- -- ------- --------- -------- ------- -------- NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) OF INVESTMENTS................. 10,551 (242,774) (51,939) 4,878 (60,881) ------- --------- -------- ------- -------- Net Gain (Loss) on Investments......................... 3,531 (182,143) (66,388) 1,380 (80,885) ------- --------- -------- ------- -------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS............................................. $ 3,914 $(181,105) $(55,070) $ 2,378 $(77,069) ======= ========= ======== ======= ======== (1) Less Foreign dividend tax.......................... $ -- $ -- $ 1,453 $ -- $ 7
The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) Statements of Operations 66 70
J.P. MORGAN SELECT INDEX GROWTH AND 500 HIGH YIELD SELECT MONEY INCOME STOCK STOCK BALANCED BOND BOND MARKET PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO - ----------------------------------------------------------------------------- $ 396 $ 379 $ 62,006 $ 7,829 $11,177 $10,040 3,067 11,803 8,782 528 -- -- -------- --------- --------- ------- ------- ------- 3,463 12,182 70,788 8,357 11,177 10,040 -------- --------- --------- ------- ------- ------- 1,594 1,943 4,688 371 474 586 12 40 -- 7 -- -- 1 5 -- 1 -- -- 8 8 -- 10 -- -- -------- --------- --------- ------- ------- ------- 1,615 1,996 4,688 389 474 586 -------- --------- --------- ------- ------- ------- -- -- -- (5) -- -- (1) (5) -- (2) -- -- -------- --------- --------- ------- ------- ------- 1,614 1,991 4,688 382 474 586 -------- --------- --------- ------- ------- ------- 1,849 10,191 66,100 7,975 10,703 9,454 (8,154) 13,315 21,915 (3,160) 2,948 -- -- (2,687) (11,963) -- 3,909 -- -- -- -- -- -- -- -------- --------- --------- ------- ------- ------- (8,154) 10,628 9,952 (3,160) 6,857 -- -------- --------- --------- ------- ------- ------- (10,930) (155,528) (126,219) 2,122 (2,373) -- -- 759 (7,138) -- 56 -- -- -- -- -- -- -- -------- --------- --------- ------- ------- ------- (10,930) (154,769) (133,357) 2,122 (2,317) -- -------- --------- --------- ------- ------- ------- (19,084) (144,141) (123,405) (1,038) 4,540 -- -------- --------- --------- ------- ------- ------- $(17,235) $(133,950) $ (57,305) $ 6,937 $15,243 $ 9,454 ======== ========= ========= ======= ======= ======= $ 5 $ 74 $ 54 $ -- $ -- $ --
67 Statements of Operations 71 NORTHWESTERN MUTUAL SERIES FUND, INC. Statements of Changes in Net Assets (in thousands) SMALL CAP GROWTH STOCK PORTFOLIO
FOR THE SIX MONTHS ENDED FOR THE JUNE 30, YEAR ENDED 2001 DECEMBER 31, (UNAUDITED) 2000 - ------------------------------------------------------------------------------------------------ INCREASE IN NET ASSETS Operations Net Investment Income................................... $ 383 $ 349 Net Realized Loss on Investments........................ (7,020) (4,090) Net Change in Unrealized Appreciation (Depreciation) of Investments for the Period............................. 10,551 (5,252) -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations........................................... 3,914 (8,993) -------- -------- Distributions to Shareholders from: Net Investment Income................................... (18) (330) Net Realized Gain on Investments........................ (5) (4,666) -------- -------- Net Decrease in Net Assets Resulting from Distributions to Shareholders........................ (23) (4,996) -------- -------- Fund Share Transactions Proceeds from Sale of Shares (25,688 and 110,714 Shares, respectively).......................................... 45,231 222,618 Proceeds from Shares Issued on Reinvestment of Distributions Paid (13 and 2,632 Shares, respectively).......................................... 23 4,996 Payments for Shares Redeemed (6,952 and 18,323 Shares, respectively).......................................... (11,888) (34,794) -------- -------- Net Increase in Net Assets Resulting from Fund Share Transactions (18,749 and 95,023 Shares, respectively)........................................ 33,366 192,820 -------- -------- Total Increase in Net Assets.............................. 37,257 178,831 NET ASSETS Beginning of Period..................................... 250,314 71,483 -------- -------- End of Period (Includes undistributed net investment income of $383 and $19, respectively).................. $287,571 $250,314 ======== ========
AGGRESSIVE GROWTH STOCK PORTFOLIO
FOR THE SIX MONTHS ENDED FOR THE JUNE 30, YEAR ENDED 2001 DECEMBER 31, (UNAUDITED) 2000 - --------------------------------------------------------------------------------------------- INCREASE IN NET ASSETS Operations Net Investment Income................................... $ 1,038 $ 1,517 Net Realized Gain on Investments........................ 60,631 310,647 Net Change in Unrealized Depreciation of Investments for the Period............................................. (242,774) (224,154) ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations........................................... (181,105) 88,010 ---------- ---------- Distributions to Shareholders from: Net Investment Income................................... (1,517) -- Net Realized Gain on Investments........................ (310,659) (203,984) ---------- ---------- Net Decrease in Net Assets Resulting from Distributions to Shareholders........................ (312,176) (203,984) ---------- ---------- Fund Share Transactions Proceeds from Sale of Shares (66,602 and 178,227 Shares, respectively).......................................... 249,740 890,503 Proceeds from Shares Issued on Reinvestment of Distributions Paid (101,785 and 45,880 Shares, respectively).......................................... 312,176 203,984 Payments for Shares Redeemed (66,564 and 153,808 Shares, respectively).......................................... (249,567) (767,811) ---------- ---------- Net Increase in Net Assets Resulting from Fund Share Transactions (101,823 and 70,299 Shares, respectively)........................................ 312,349 326,676 ---------- ---------- Total Increase (Decrease) in Net Assets................... (180,932) 210,702 NET ASSETS Beginning of Period..................................... 1,696,013 1,485,311 ---------- ---------- End of Period (Includes undistributed net investment income of $1,038 and $1,517, respectively)............. $1,515,081 $1,696,013 ========== ==========
The Accompanying Notes are an Integral Part of the Financial Statements. Statements of Changes in Net Assets 68 72 NORTHWESTERN MUTUAL SERIES FUND, INC. Statements of Changes in Net Assets (in thousands) FRANKLIN TEMPLETON INTERNATIONAL EQUITY PORTFOLIO
FOR THE SIX MONTHS ENDED FOR THE JUNE 30, YEAR ENDED 2001 DECEMBER 31, (UNAUDITED) 2000 - --------------------------------------------------------------------------------------------- INCREASE IN NET ASSETS Operations Net Investment Income................................... $ 11,318 $ 14,106 Net Realized Gain (Loss) on Investments................. (14,449) 66,384 Net Change in Unrealized Depreciation of Investments for the Period............................................. (51,939) (78,157) --------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations........................................... (55,070) 2,333 --------- ----------- Distributions to Shareholders from: Net Investment Income................................... (13,356) (16,173) Net Realized Gain on Investments........................ (67,555) (41,802) --------- ----------- Net Decrease in Net Assets Resulting from Distributions to Shareholders........................ (80,911) (57,975) --------- ----------- Fund Share Transactions Proceeds from Sale of Shares (557,125 and 842,807 Shares, respectively).................................. 835,109 1,389,357 Proceeds from Shares Issued on Reinvestment of Distributions Paid (57,917 and 37,092 Shares, respectively).......................................... 80,911 57,975 Payments for Shares Redeemed (544,008 and 817,728 Shares, respectively).................................. (815,898) (1,354,243) --------- ----------- Net Increase in Net Assets Resulting from Fund Share Transactions (71,034 and 62,171 Shares, respectively)........................................ 100,122 93,089 --------- ----------- Total Increase (Decrease) in Net Assets................... (35,859) 37,447 NET ASSETS Beginning of Period..................................... 809,617 772,170 --------- ----------- End of Period (Includes undistributed net investment income of $8,582 and $12,912 respectively)............. $ 773,758 $ 809,617 ========= ===========
INDEX 400 STOCK PORTFOLIO
FOR THE SIX MONTHS ENDED FOR THE JUNE 30, YEAR ENDED 2001 DECEMBER 31, (UNAUDITED) 2000 - --------------------------------------------------------------------------------------------- INCREASE IN NET ASSETS Operations Net Investment Income................................... $ 998 $ 1,888 Net Realized Gain (Loss) on Investments................. (3,498) 14,347 Net Change in Unrealized Appreciation (Depreciation) of Investments for the Period............................. 4,878 (333) -------- -------- Net Increase in Net Assets Resulting from Operations........................................... 2,378 15,902 -------- -------- Distributions to Shareholders from: Net Investment Income................................... (22) (1,867) Net Realized Gain on Investments........................ (2,157) (13,495) -------- -------- Net Decrease in Net Assets Resulting from Distributions to Shareholders........................ (2,179) (15,362) -------- -------- Fund Share Transactions Proceeds from Sale of Shares (45,545 and 80,621 Shares, respectively).......................................... 50,526 99,261 Proceeds from Shares Issued on Reinvestment of Distributions Paid (1,962 and 14,227 Shares, respectively).......................................... 2,176 15,362 Payments for Shares Redeemed (4,412 and 28,116 Shares, respectively).......................................... (4,745) (37,191) -------- -------- Net Increase in Net Assets Resulting from Fund Share Transactions (43,095 and 66,732 Shares, respectively)........................................ 47,957 77,432 -------- -------- Total Increase in Net Assets.............................. 48,156 77,972 NET ASSETS Beginning of Period..................................... 137,616 59,644 -------- -------- End of Period (Includes undistributed net investment income of $998 and $21, respectively).................. $185,772 $137,616 ======== ========
The Accompanying Notes are an Integral Part of the Financial Statements. 69 Statements of Changes in Net Assets 73 NORTHWESTERN MUTUAL SERIES FUND, INC. Statements of Changes in Net Assets (in thousands) GROWTH STOCK PORTFOLIO
FOR THE SIX MONTHS ENDED FOR THE JUNE 30, YEAR ENDED 2001 DECEMBER 31, (UNAUDITED) 2000 - -------------------------------------------------------------------------------------------- INCREASE IN NET ASSETS Operations Net Investment Income................................... $ 3,816 $ 8,419 Net Realized Gain (Loss) on Investments................. (20,004) 25,170 Net Change in Unrealized Depreciation of Investments for the Period............................................. (60,881) (55,596) -------- -------- Net Decrease in Net Assets Resulting from Operations........................................... (77,069) (22,007) -------- -------- Distributions to Shareholders from: Net Investment Income................................... (5,419) (4,365) Net Realized Gain on Investments........................ (25,530) (30,683) -------- -------- Net Decrease in Net Assets Resulting from Distributions to Shareholders........................ (30,949) (35,048) -------- -------- Fund Share Transactions Proceeds from Sale of Shares (19,732 and 53,298 Shares, respectively).......................................... 44,879 140,509 Proceeds from Shares Issued on Reinvestment of Distributions Paid (14,152 and 13,623 Shares, respectively).......................................... 30,950 35,048 Payments for Shares Redeemed (8,657 and 9,117 Shares, respectively).......................................... (19,614) (23,820) -------- -------- Net Increase in Net Assets Resulting from Fund Share Transactions (25,227 and 57,804 Shares, respectively)........................................ 56,215 151,737 -------- -------- Total Increase (Decrease) in Net Assets................... (51,803) 94,682 NET ASSETS Beginning of Period..................................... 770,816 676,134 -------- -------- End of Period (Includes undistributed net investment income of $3,816 and $5,419, respectively)............. $719,013 $770,816 ======== ========
J.P. MORGAN SELECT GROWTH AND INCOME STOCK PORTFOLIO
FOR THE SIX MONTHS ENDED FOR THE JUNE 30, YEAR ENDED 2001 DECEMBER 31, (UNAUDITED) 2000 - -------------------------------------------------------------------------------------------- INCREASE IN NET ASSETS Operations Net Investment Income................................... $ 1,849 $ 4,262 Net Realized Gain (Loss) on Investments................. (8,154) 9,404 Net Change in Unrealized Depreciation of Investments for the Period............................................. (10,930) (57,201) -------- -------- Net Decrease in Net Assets Resulting from Operations........................................... (17,235) (43,535) -------- -------- Distributions to Shareholders from: Net Investment Income................................... (4,262) (4,979) Net Realized Gain on Investments........................ (15,376) (30,759) -------- -------- Net Decrease in Net Assets Resulting from Distributions to Shareholders........................ (19,638) (35,738) -------- -------- Fund Share Transactions Proceeds from Sale of Shares (19,647 and 23,840 Shares, respectively).......................................... 25,925 35,146 Proceeds from Shares Issued on Reinvestment of Distributions Paid (15,282 and 24,732 Shares, respectively).......................................... 19,638 35,738 Payments for Shares Redeemed (12,402 and 48,882 Shares, respectively).......................................... (16,169) (73,182) -------- -------- Net Increase (Decrease) in Net Assets Resulting from Fund Share Transactions (22,527 and (310) Shares, respectively)........................................ 29,394 (2,298) -------- -------- Total Decrease in Net Assets.............................. (7,479) (81,571) NET ASSETS Beginning of Period..................................... 579,981 661,552 -------- -------- End of Period (Includes undistributed net investment income of $1,849 and $4,262, respectively)............. $572,502 $579,981 ======== ========
The Accompanying Notes are an Integral Part of the Financial Statements. Statements of Changes in Net Assets 70 74 NORTHWESTERN MUTUAL SERIES FUND, INC. Statements of Changes in Net Assets (in thousands) INDEX 500 STOCK PORTFOLIO
FOR THE SIX MONTHS ENDED FOR THE JUNE 30, YEAR ENDED 2001 DECEMBER 31, (UNAUDITED) 2000 - ----------------------------------------------------------------------------------------------- INCREASE IN NET ASSETS Operations Net Investment Income................................... $ 10,191 $ 24,105 Net Realized Gain on Investments........................ 10,628 60,105 Net Change in Unrealized Depreciation of Investments for the Period............................................. (154,769) (283,247) ---------- ---------- Net Decrease in Net Assets Resulting from Operations........................................... (133,950) (199,037) ---------- ---------- Distributions to Shareholders from: Net Investment Income................................... (24,105) (22,921) Net Realized Gain on Investments........................ (59,088) (65,358) ---------- ---------- Net Decrease in Net Assets Resulting from Distributions to Shareholders........................ (83,193) (88,279) ---------- ---------- Fund Share Transactions Proceeds from Sale of Shares (23,529 and 39,698 Shares, respectively).......................................... 75,095 147,411 Proceeds from Shares Issued on Reinvestment of Distributions Paid (26,836 and 24,022 Shares, respectively).......................................... 83,193 88,279 Payments for Shares Redeemed (23,292 and 39,762 Shares, respectively).......................................... (74,282) (147,393) ---------- ---------- Net Increase in Net Assets Resulting from Fund Share Transactions (27,073 and 23,958 Shares, respectively)........................................ 84,006 88,297 ---------- ---------- Total Decrease in Net Assets.............................. (133,137) (199,019) NET ASSETS Beginning of Period..................................... 2,072,937 2,271,956 ---------- ---------- End of Period (Includes undistributed net investment income of $10,191 and $24,105, respectively)........... $1,939,800 $2,072,937 ========== ==========
BALANCED PORTFOLIO
FOR THE SIX MONTHS ENDED FOR THE JUNE 30, YEAR ENDED 2001 DECEMBER 31, (UNAUDITED) 2000 - ----------------------------------------------------------------------------------------------- INCREASE IN NET ASSETS Operations Net Investment Income................................... $ 66,100 $ 118,443 Net Realized Gain on Investments........................ 9,952 108,200 Net Change in Unrealized Depreciation of Investments for the Period............................................. (133,357) (230,492) ---------- ---------- Net Decrease in Net Assets Resulting from Operations........................................... (57,305) (3,849) ---------- ---------- Distributions to Shareholders from: Net Investment Income................................... (127,987) (114,893) Net Realized Gain on Investments........................ (112,544) (167,534) ---------- ---------- Net Decrease in Net Assets Resulting from Distributions to Shareholders........................ (240,531) (282,427) ---------- ---------- Fund Share Transactions Proceeds from Sale of Shares (18,478 and 17,894 Shares, respectively).......................................... 35,122 37,754 Proceeds from Shares Issued on Reinvestment of Distributions Paid (129,457 and 139,058 Shares, respectively).......................................... 240,531 282,427 Payments for Shares Redeemed (52,734 and 158,895 Shares, respectively).......................................... (103,339) (338,606) ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Fund Share Transactions (95,201 and (1,943) Shares, respectively)........................................ 172,314 (18,425) ---------- ---------- Total Decrease in Net Assets.............................. (125,522) (304,701) NET ASSETS Beginning of Period..................................... 3,253,199 3,557,900 ---------- ---------- End of Period (Includes undistributed net investment income of $56,057 and $117,944, respectively).......... $3,127,677 $3,253,199 ========== ==========
The Accompanying Notes are an Integral Part of the Financial Statements. 71 Statements of Changes in Net Assets 75 NORTHWESTERN MUTUAL SERIES FUND, INC. Statements of Changes in Net Assets (in thousands) HIGH YIELD BOND PORTFOLIO
FOR THE SIX MONTHS ENDED FOR THE JUNE 30, YEAR ENDED 2001 DECEMBER 31, (UNAUDITED) 2000 - ----------------------------------------------------------------------------------------------- INCREASE IN NET ASSETS Operations Net Investment Income................................... $ 7,975 $ 16,296 Net Realized Loss on Investments........................ (3,160) (15,781) Net Change in Unrealized Appreciation (Depreciation) of Investments for the Period............................. 2,122 (7,398) -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations........................................... 6,937 (6,883) -------- -------- Distributions to Shareholders from: Net Investment Income................................... (166) (16,401) -------- -------- Net Decrease in Net Assets Resulting from Distributions to Shareholders........................ (166) (16,401) -------- -------- Fund Share Transactions Proceeds from Sale of Shares (23,109 and 12,332 Shares, respectively).......................................... 17,004 9,921 Proceeds from Shares Issued on Reinvestment of Distributions Paid (224 and 23,819 Shares, respectively).......................................... 165 16,401 Payments for Shares Redeemed (16,424 and 32,449 Shares, respectively).......................................... (12,091) (26,255) -------- -------- Net Increase in Net Assets Resulting from Fund Share Transactions (6,909 and 3,702 Shares, respectively)........................................ 5,078 67 -------- -------- Total Increase (Decrease) in Net Assets................... 11,849 (23,217) NET ASSETS Beginning of Period..................................... 138,207 161,424 -------- -------- End of Period (Includes undistributed net investment income of $7,977 and $168, respectively)............... $150,056 $138,207 ======== ========
SELECT BOND PORTFOLIO
FOR THE SIX MONTHS ENDED FOR THE JUNE 30, YEAR ENDED 2001 DECEMBER 31, (UNAUDITED) 2000 - ----------------------------------------------------------------------------------------------- INCREASE IN NET ASSETS Operations Net Investment Income................................... $ 10,703 $ 19,180 Net Realized Gain (Loss) on Investments................. 6,816 (5,024) Net Change in Unrealized Appreciation (Depreciation) of Investments for the Period............................. (2,276) 13,071 -------- -------- Net Increase in Net Assets Resulting from Operations........................................... 15,243 27,227 -------- -------- Distributions to Shareholders from: Net Investment Income................................... (19,294) (19,349) -------- -------- Net Decrease in Net Assets Resulting from Distributions to Shareholders........................ (19,294) (19,349) -------- -------- Fund Share Transactions Proceeds from Sale of Shares (39,007 and 19,112 Shares, respectively).......................................... 46,094 21,374 Proceeds from Shares Issued on Reinvestment of Distributions Paid (16,955 and 18,463 Shares, respectively).......................................... 19,294 19,349 Payments for Shares Redeemed (8,400 and 38,678 Shares, respectively).......................................... (9,894) (43,416) -------- -------- Net Increase (Decrease) in Net Assets Resulting from Fund Share Transactions (47,562 and (1,103) Shares, respectively)........................................ 55,494 (2,693) -------- -------- Total Increase in Net Assets.............................. 51,443 5,185 NET ASSETS Beginning of Period..................................... 291,678 286,493 -------- -------- End of Period (Includes undistributed net investment income of $10,328 and $18,919, respectively)........... $343,121 $291,678 ======== ========
The Accompanying Notes are an Integral Part of the Financial Statements. Statements of Changes in Net Assets 72 76 NORTHWESTERN MUTUAL SERIES FUND, INC. Statements of Changes in Net Assets (in thousands) MONEY MARKET PORTFOLIO
FOR THE SIX MONTHS ENDED FOR THE JUNE 30, YEAR ENDED 2001 DECEMBER 31, (UNAUDITED) 2000 - ----------------------------------------------------------------------------------------------- INCREASE IN NET ASSETS Operations Net Investment Income................................... $ 9,454 $ 22,612 ----------- ----------- Net Increase in Net Assets Resulting from Operations........................................... 9,454 22,612 ----------- ----------- Distributions to Shareholders from: Net Investment Income................................... (9,454) (22,612) ----------- ----------- Net Decrease in Net Assets Resulting from Distributions to Shareholders........................ (9,454) (22,612) ----------- ----------- Fund Share Transactions Proceeds from Sale of Shares (1,043,904 and 2,096,168 Shares, respectively).................................. 1,043,906 2,096,166 Proceeds from Shares Issued on Reinvestment of Distributions Paid (9,454 and 22,612 Shares, respectively).......................................... 9,454 22,612 Payments for Shares Redeemed (1,028,982 and 2,138,607 Shares, respectively).................................. (1,028,982) (2,138,607) ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Fund Share Transactions (24,376 and (19,827) Shares, respectively)........................................ 24,378 (19,829) ----------- ----------- Total Increase (Decrease) in Net Assets................... 24,378 (19,829) NET ASSETS Beginning of Period..................................... 384,455 404,284 ----------- ----------- End of Period (Includes no undistributed net investment income)................................................ $ 408,833 $ 384,455 =========== ===========
The Accompanying Notes are an Integral Part of the Financial Statements. 73 Statements of Changes in Net Assets 77 NORTHWESTERN MUTUAL SERIES FUND, INC. Financial Highlights SMALL CAP GROWTH STOCK PORTFOLIO
FOR THE FOR THE PERIOD SIX MONTHS ENDED FOR THE APRIL 30, 1999* JUNE 30, 2001 YEAR ENDED THROUGH (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD) (UNAUDITED) DECEMBER 31, 2000 DECEMBER 31, 1999 - ------------------------------------------------------------------------------------------------------------------------- SELECTED PER SHARE DATA Net Asset Value, Beginning of Period........................ $ 1.86 $ 1.79 $ 1.00 Income from Investment Operations: Net Investment Income................................... -- -- -- Net Realized and Unrealized Gains on Investments........ 0.01 0.13 0.85 ---------- ---------- ---------- Total from Investment Operations...................... 0.01 0.13 0.85 ---------- ---------- ---------- Less Distributions: Distributions from Net Investment Income................ -- -- -- Distributions from Realized Gains on Investments........ -- (0.06) (0.06) ---------- ---------- ---------- Total Distributions................................... -- (0.06) (0.06) ---------- ---------- ---------- Net Asset Value, End of Period.............................. $ 1.87 $ 1.86 $ 1.79 ---------- ---------- ---------- Total Return+............................................... 0.87%++ 6.72% 86.09%++ ========== ========== ========== RATIOS AND SUPPLEMENTAL DATA Net Assets, End of Period (in thousands).................... $ 287,571 $ 250,314 $ 71,483 ========== ========== ========== Ratio of Gross Expenses to Average Net Assets............... 0.62%** 0.67% 1.03%** ========== ========== ========== Ratio of Net Expenses to Average Net Assets................. 0.62%** 0.67% 1.00%** ========== ========== ========== Ratio of Net Investment Income to Average Net Assets........ 0.31%** 0.19% (0.07%)** ========== ========== ========== Portfolio Turnover Rate..................................... 29.09% 86.13% 70.72% ========== ========== ==========
AGGRESSIVE GROWTH STOCK PORTFOLIO
FOR THE SIX MONTHS ENDED FOR THE YEAR ENDED DECEMBER 31, JUNE 30, 2001 ------------------------------------------------------------ (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD) (UNAUDITED) 2000 1999 1998 1997 1996 - ---------------------------------------------------------------------------------------------------------------------------------- SELECTED PER SHARE DATA Net Asset Value, Beginning of Period............... $ 4.47 $ 4.81 $ 3.46 $ 3.34 $ 3.15 $ 2.77 Income from Investment Operations: Net Investment Income.......................... -- -- -- -- -- -- Net Realized and Unrealized Gains (Losses) on Investments.................................. (0.83) 0.29 1.48 0.24 0.39 0.49 ---------- ---------- ---------- ---------- ---------- -------- Total from Investment Operations............. (0.83) 0.29 1.48 0.24 0.39 0.49 ---------- ---------- ---------- ---------- ---------- -------- Less Distributions: Distributions from Net Investment Income....... -- -- -- -- -- -- Distributions from Realized Gains on Investments.................................. (0.49) (0.63) (0.13) (0.12) (0.20) (0.11) ---------- ---------- ---------- ---------- ---------- -------- Total Distributions.......................... (0.49) (0.63) (0.13) (0.12) (0.20) (0.11) ---------- ---------- ---------- ---------- ---------- -------- Net Asset Value, End of Period..................... $ 3.15 $ 4.47 $ 4.81 $ 3.46 $ 3.34 $ 3.15 ========== ========== ========== ========== ========== ======== Total Return+...................................... (10.62%)++ 6.18% 43.78% 7.56% 13.86% 17.70% ========== ========== ========== ========== ========== ======== RATIOS AND SUPPLEMENTAL DATA Net Assets, End of Period (in thousands)........... $1,515,081 $1,696,013 $1,485,311 $1,137,466 $1,067,068 $871,926 ========== ========== ========== ========== ========== ======== Ratio of Expenses to Average Net Assets............ 0.52%** 0.52% 0.51% 0.52% 0.53% 0.54% ========== ========== ========== ========== ========== ======== Ratio of Net Investment Income (Loss) to Average Net Assets....................................... 0.14%** 0.09% (0.02%) 0.04% 0.06% (0.03%) ========== ========== ========== ========== ========== ======== Portfolio Turnover Rate............................ 32.97% 63.18% 68.64% 50.43% 57.27% 47.25% ========== ========== ========== ========== ========== ========
* Portfolio commenced operations April 30, 1999. ** Computed on a 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 Financial Highlights 74 78 NORTHWESTERN MUTUAL SERIES FUND, INC. Financial Highlights FRANKLIN TEMPLETON INTERNATIONAL EQUITY PORTFOLIO
FOR THE SIX MONTHS ENDED FOR THE YEAR ENDED DECEMBER 31, JUNE 30, 2001 -------------------------------------------------------- (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD) (UNAUDITED) 2000 1999 1998 1997 1996 - -------------------------------------------------------------------------------------------------------------------------------- SELECTED PER SHARE DATA Net Asset Value, Beginning of Period............... $ 1.63 $ 1.78 $ 1.68 $ 1.69 $ 1.56 $ 1.35 Income from Investment Operations: Net Investment Income.......................... 0.01 0.02 0.03 0.05 0.04 0.04 Net Realized and Unrealized Gains (Losses) on Investments.................................. (0.14) (0.04) 0.33 0.04 0.15 0.24 -------- -------- -------- -------- -------- -------- Total from Investment Operations............. (0.13) (0.02) 0.36 0.09 0.19 0.28 -------- -------- -------- -------- -------- -------- Less Distributions: Distributions from Net Investment Income....... (0.02) (0.04) (0.05) (0.04) (0.04) (0.03) Distributions from Realized Gains on Investments.................................. (0.11) (0.09) (0.21) (0.06) (0.02) (0.04) -------- -------- -------- -------- -------- -------- Total Distributions.......................... (0.13) (0.13) (0.26) (0.10) (0.06) (0.07) -------- -------- -------- -------- -------- -------- Net Asset Value, End of Period..................... $ 1.37 $ 1.63 $ 1.78 $ 1.68 $ 1.69 $ 1.56 ======== ======== ======== ======== ======== ======== Total Return+...................................... (7.05%)++ (0.79%) 22.88% 4.82% 12.28% 21.01% ======== ======== ======== ======== ======== ======== RATIOS AND SUPPLEMENTAL DATA Net Assets, End of Period (in thousands)........... $773,758 $809,617 $772,170 $671,106 $659,850 $505,189 ======== ======== ======== ======== ======== ======== Ratio of Expenses to Average Net Assets............ 0.74%** 0.73% 0.74% 0.76% 0.77% 0.81% ======== ======== ======== ======== ======== ======== Ratio of Net Investment Income to Average Net Assets........................................... 3.79%** 1.77% 2.62% 3.38% 2.75% 3.02% ======== ======== ======== ======== ======== ======== Portfolio Turnover Rate............................ 10.64% 26.95% 38.37% 30.41% 16.74% 17.07% ======== ======== ======== ======== ======== ========
INDEX 400 STOCK PORTFOLIO
FOR THE FOR THE PERIOD SIX MONTHS ENDED FOR THE APRIL 30, 1999* JUNE 30, 2001 YEAR ENDED THROUGH (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD) (UNAUDITED) DECEMBER 31, 2000 DECEMBER 31, 1999 - ----------------------------------------------------------------------------------------------------------------------- SELECTED PER SHARE DATA Net Asset Value, Beginning of Period........................ $ 1.14 $ 1.11 $ 1.00 Income from Investment Operations: Net Investment Income................................... 0.01 0.02 0.01 Net Realized and Unrealized Gains on Investments........ 0.01 0.16 0.12 -------- -------- -------- Total from Investment Operations...................... 0.02 0.18 0.13 -------- -------- -------- Less Distributions: Distributions from Net Investment Income................ (0.01) (0.02) (0.01) Distributions from Realized Gains on Investments........ (0.01) (0.13) (0.01) -------- -------- -------- Total Distributions................................... (0.02) (0.15) (0.02) -------- -------- -------- Net Asset Value, End of Period.............................. $ 1.14 $ 1.14 $ 1.11 ======== ======== ======== Total Return+............................................... 0.67%++ 17.16% 12.83%++ ======== ======== ======== RATIOS AND SUPPLEMENTAL DATA Net Assets, End of Period (in thousands).................... $185,772 $137,616 $ 59,644 ======== ======== ======== Ratio of Gross Expenses to Average Net Assets............... 0.32%** 0.32% 0.46%** ======== ======== ======== Ratio of Net Expenses to Average Net Assets................. 0.32%** 0.32% 0.35%** ======== ======== ======== Ratio of Net Investment Income to Average Net Assets........ 1.26%** 1.71% 1.69%** ======== ======== ======== Portfolio Turnover Rate..................................... 6.17% 54.60% 26.51% ======== ======== ========
* Portfolio commenced operations April 30, 1999. ** Computed on a 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. 75 Financial Highlights 79 NORTHWESTERN MUTUAL SERIES FUND, INC. Financial Highlights GROWTH STOCK PORTFOLIO
FOR THE SIX MONTHS ENDED FOR THE YEAR ENDED DECEMBER 31, JUNE 30, 2001 -------------------------------------------------------- (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD) (UNAUDITED) 2000 1999 1998 1997 1996 - -------------------------------------------------------------------------------------------------------------------------------- SELECTED PER SHARE DATA Net Asset Value, Beginning of Period.............. $ 2.47 $ 2.66 $ 2.25 $ 1.81 $ 1.46 $ 1.26 Income from Investment Operations: Net Investment Income......................... 0.01 0.03 0.03 0.02 0.02 0.02 Net Realized and Unrealized Gains (Losses) on Investments................................. (0.29) (0.09) 0.47 0.46 0.42 0.25 -------- -------- -------- -------- -------- -------- Total from Investment Operations............ (0.28) (0.06) 0.50 0.48 0.44 0.27 -------- -------- -------- -------- -------- -------- Less Distributions: Distributions from Net Investment Income...... (0.02) (0.02) (0.03) (0.02) (0.02) (0.02) Distributions from Realized Gains on Investments................................. (0.04) (0.11) (0.06) (0.02) (0.07) (0.05) -------- -------- -------- -------- -------- -------- Total Distributions......................... (0.06) (0.13) (0.09) (0.04) (0.09) (0.07) -------- -------- -------- -------- -------- -------- Net Asset Value, End of Period.................... $ 2.13 $ 2.47 $ 2.66 $ 2.25 $ 1.81 $ 1.46 ======== ======== ======== ======== ======== ======== Total Return+..................................... (9.86%)++ (2.49%) 22.50% 26.69% 29.85% 20.91% ======== ======== ======== ======== ======== ======== RATIOS AND SUPPLEMENTAL DATA Net Assets, End of Period (in thousands).......... $719,013 $770,816 $676,134 $421,282 $243,071 $170,482 ======== ======== ======== ======== ======== ======== Ratio of Expenses to Average Net Assets........... 0.43%** 0.43% 0.43% 0.46% 0.49% 0.57% ======== ======== ======== ======== ======== ======== Ratio of Net Investment Income to Average Net Assets.......................................... 1.05%** 1.12% 1.22% 1.10% 1.24% 1.41% ======== ======== ======== ======== ======== ======== Portfolio Turnover Rate........................... 10.71% 28.01% 27.26% 21.64% 33.20% 37.61% ======== ======== ======== ======== ======== ========
J.P. MORGAN SELECT GROWTH AND INCOME STOCK PORTFOLIO
FOR THE SIX MONTHS ENDED FOR THE YEAR ENDED DECEMBER 31, JUNE 30, 2001 -------------------------------------------------------- (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD) (UNAUDITED) 2000 1999 1998 1997 1996 - --------------------------------------------------------------------------------------------------------------------------------- SELECTED PER SHARE DATA Net Asset Value, Beginning of Period............. $ 1.37 $ 1.56 $ 1.62 $ 1.33 $ 1.32 $ 1.21 Income from Investment Operations: Net Investment Income........................ -- 0.01 0.01 0.01 0.01 0.02 Net Realized and Unrealized Gains (Losses) on Investments................................ (0.06) (0.11) 0.12 0.29 0.37 0.23 -------- -------- -------- -------- -------- -------- Total from Investment Operations........... (0.06) (0.10) 0.13 0.30 0.38 0.25 -------- -------- -------- -------- -------- -------- Less Distributions: Distributions from Net Investment Income..... (0.01) (0.01) -- (0.01) (0.01) (0.02) Distributions from Realized Gains on Investments................................ (0.02) (0.08) (0.19) -- (0.36) (0.12) -------- -------- -------- -------- -------- -------- Total Distributions........................ (0.03) (0.09) (0.19) (0.01) (0.37) (0.14) -------- -------- -------- -------- -------- -------- Net Asset Value, End of Period................... $ 1.28 $ 1.37 $ 1.56 $ 1.62 $ 1.33 $ 1.32 ======== ======== ======== ======== ======== ======== Total Return+.................................... (2.93%)++ (6.97%) 7.47% 23.14% 30.03% 19.97% ======== ======== ======== ======== ======== ======== RATIOS AND SUPPLEMENTAL DATA Net Assets, End of Period (in thousands)......... $572,502 $579,981 $661,552 $570,970 $371,935 $234,184 ======== ======== ======== ======== ======== ======== Ratio of Expenses to Average Net Assets.......... 0.57%** 0.57% 0.57% 0.58% 0.60% 0.62% ======== ======== ======== ======== ======== ======== Ratio of Net Investment Income to Average Net Assets......................................... 0.65%** 0.68% 0.80% 1.00% 1.04% 1.44% ======== ======== ======== ======== ======== ======== Portfolio Turnover Rate.......................... 22.19% 47.67% 106.93% 160.40% 144.52% 93.92% ======== ======== ======== ======== ======== ========
** Computed on a 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. Financial Highlights 76 80 NORTHWESTERN MUTUAL SERIES FUND, INC. Financial Highlights INDEX 500 STOCK PORTFOLIO
FOR THE SIX MONTHS ENDED FOR THE YEAR ENDED DECEMBER 31, JUNE 30, 2001 ------------------------------------------------------------ (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD) (UNAUDITED) 2000 1999 1998 1997 1996 - --------------------------------------------------------------------------------------------------------------------------------- SELECTED PER SHARE DATA Net Asset Value, Beginning of Period............. $ 3.41 $ 3.89 $ 3.29 $ 2.64 $ 2.06 $ 1.72 Income from Investment Operations: Net Investment Income........................ 0.01 0.04 0.04 0.04 0.04 0.04 Net Realized and Unrealized Gains (Losses) on Investments................................ (0.24) (0.37) 0.64 0.71 0.62 0.35 ---------- ---------- ---------- ---------- ---------- -------- Total from Investment Operations........... (0.23) (0.33) 0.68 0.75 0.66 0.39 ---------- ---------- ---------- ---------- ---------- -------- Less Distributions: Distributions from Net Investment Income..... (0.04) (0.04) (0.03) (0.04) (0.04) (0.02) Distributions from Realized Gains on Investments................................ (0.09) (0.11) (0.05) (0.06) (0.04) (0.03) ---------- ---------- ---------- ---------- ---------- -------- Total Distributions........................ (0.13) (0.15) (0.08) (0.10) (0.08) (0.05) ---------- ---------- ---------- ---------- ---------- -------- Net Asset Value, End of Period................... $ 3.05 $ 3.41 $ 3.89 $ 3.29 $ 2.64 $ 2.06 ========== ========== ========== ========== ========== ======== Total Return+.................................... (6.45%)++ (8.75%) 20.91% 28.72% 33.20% 22.75% ========== ========== ========== ========== ========== ======== RATIOS AND SUPPLEMENTAL DATA Net Assets, End of Period (in thousands)......... $1,939,800 $2,072,937 $2,271,956 $1,690,680 $1,152,857 $740,066 ========== ========== ========== ========== ========== ======== Ratio of Expenses to Average Net Assets.......... 0.20%** 0.20% 0.20% 0.21% 0.21% 0.21% ========== ========== ========== ========== ========== ======== Ratio of Net Investment Income to Average Net Assets......................................... 1.04%** 1.08% 1.16% 1.40% 1.86% 2.27% ========== ========== ========== ========== ========== ======== Portfolio Turnover Rate.......................... 1.43% 6.47% 5.65% 3.03% 3.15% 3.45% ========== ========== ========== ========== ========== ========
BALANCED PORTFOLIO
FOR THE SIX MONTHS ENDED FOR THE YEAR ENDED DECEMBER 31, JUNE 30, 2001 -------------------------------------------------------------- (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD) (UNAUDITED) 2000 1999 1998 1997 1996 - --------------------------------------------------------------------------------------------------------------------------------- SELECTED PER SHARE DATA Net Asset Value, Beginning of Period........... $ 2.03 $ 2.22 $ 2.22 $ 1.99 $ 1.72 $ 1.60 Income from Investment Operations: Net Investment Income...................... 0.04 0.08 0.07 0.07 0.07 0.06 Net Realized and Unrealized Gains (Losses) on Investments........................... 0.04 (0.09) 0.17 0.29 0.28 0.15 ---------- ---------- ---------- ---------- ---------- ---------- Total from Investment Operations......... 0.08 (0.01) 0.24 0.36 0.35 0.21 ---------- ---------- ---------- ---------- ---------- ---------- Less Distributions: Distributions from Net Investment Income... (0.08) (0.07) (0.07) (0.07) (0.06) (0.06) Distributions from Realized Gains on Investments.............................. (0.18) (0.11) (0.17) (0.06) (0.02) (0.03) ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions...................... (0.26) (0.18) (0.24) (0.13) (0.08) (0.09) ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, End of Period................. $ 1.85 $ 2.03 $ 2.22 $ 2.22 $ 1.99 $ 1.72 ========== ========== ========== ========== ========== ========== Total Return+.................................. (1.77%)++ (0.17%) 11.18% 18.88% 21.52% 13.45% ========== ========== ========== ========== ========== ========== RATIOS AND SUPPLEMENTAL DATA Net Assets, End of Period (in thousands)....... $3,127,677 $3,253,199 $3,557,900 $3,282,071 $2,788,494 $2,326,234 ========== ========== ========== ========== ========== ========== 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....................................... 4.21%** 3.47% 3.36% 3.48% 3.70% 3.95% ========== ========== ========== ========== ========== ========== Portfolio Turnover Rate........................ 31.32% 24.36% 27.16% 44.18% 29.94% 67.66% ========== ========== ========== ========== ========== ==========
** Computed on a 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. 77 Financial Highlights 81 NORTHWESTERN MUTUAL SERIES FUND, INC. Financial Highlights HIGH YIELD BOND PORTFOLIO
FOR THE SIX MONTHS ENDED FOR THE YEAR ENDED DECEMBER 31, JUNE 30, 2001 --------------------------------------------------- (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD) (UNAUDITED) 2000 1999 1998 1997 1996 - ------------------------------------------------------------------------------------------------------------------------------- SELECTED PER SHARE DATA Net Asset Value, Beginning of Period.................... $ 0.69 $ 0.82 $ 0.94 $ 1.06 $ 1.10 $ 1.03 Income from Investment Operations: Net Investment Income............................... 0.05 0.09 0.11 0.10 0.11 0.09 Net Realized and Unrealized Gains (Losses) on Investments....................................... -- (0.13) (0.12) (0.12) 0.06 0.10 -------- -------- -------- -------- -------- ------- Total from Investment Operations.................. 0.05 (0.04) (0.01) (0.02) 0.17 0.19 -------- -------- -------- -------- -------- ------- Less Distributions: Distributions from Net Investment Income............ (0.01) (0.09) (0.11) (0.10) (0.14) (0.09) Distributions from Realized Gains on Investments.... -- -- -- -- (0.07) (0.03) -------- -------- -------- -------- -------- ------- Total Distributions............................... (0.01) (0.09) (0.11) (0.10) (0.21) (0.12) -------- -------- -------- -------- -------- ------- Net Asset Value, End of Period.......................... $ 0.73 $ 0.69 $ 0.82 $ 0.94 $ 1.06 $ 1.10 ======== ======== ======== ======== ======== ======= Total Return+........................................... 5.03%++ (4.60%) (0.44%) (1.84%) 15.85% 19.77% ======== ======== ======== ======== ======== ======= RATIOS AND SUPPLEMENTAL DATA Net Assets, End of Period (in thousands)................ $150,056 $138,207 $161,424 $184,782 $153,038 $93,878 ======== ======== ======== ======== ======== ======= Ratio of Gross Expenses to Average Net Assets........... 0.52%** 0.53% 0.50% 0.50% 0.55% 0.60% ======== ======== ======== ======== ======== ======= Ratio of Net Expenses to Average Net Assets............. 0.51%** 0.52% 0.50% 0.50% 0.55% 0.60% ======== ======== ======== ======== ======== ======= Ratio of Net Investment Income to Average Net Assets.... 10.67%** 10.90% 11.15% 10.85% 9.95% 9.54% ======== ======== ======== ======== ======== ======= Portfolio Turnover Rate................................. 0.74% 124.91% 139.87% 153.71% 129.49% 143.91% ======== ======== ======== ======== ======== =======
SELECT BOND PORTFOLIO
FOR THE SIX MONTHS ENDED FOR THE YEAR ENDED DECEMBER 31, JUNE 30, 2001 ---------------------------------------------------- (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD) (UNAUDITED) 2000 1999 1998 1997 1996 - ------------------------------------------------------------------------------------------------------------------------------- SELECTED PER SHARE DATA Net Asset Value, Beginning of Period................... $ 1.16 $ 1.13 $ 1.25 $ 1.26 $ 1.22 $ 1.23 Income from Investment Operations: Net Investment Income.............................. 0.02 0.08 0.08 0.08 0.08 0.07 Net Realized and Unrealized Gains (Losses) on Investments...................................... 0.02 0.03 (0.09) -- 0.04 (0.04) -------- -------- -------- -------- -------- -------- Total from Investment Operations................. 0.04 0.11 (0.01) 0.08 0.12 0.03 -------- -------- -------- -------- -------- -------- Less Distributions: Distributions from Net Investment Income........... (0.06) (0.08) (0.08) (0.08) (0.08) (0.04) Distributions from Realized Gains on Investments... -- -- (0.03) (0.01) -- -- -------- -------- -------- -------- -------- -------- Total Distributions.............................. (0.06) (0.08) (0.11) (0.09) (0.08) (0.04) -------- -------- -------- -------- -------- -------- Net Asset Value, End of Period......................... $ 1.14 $ 1.16 $ 1.13 $ 1.25 $ 1.26 $ 1.22 ======== ======== ======== ======== ======== ======== Total Return+.......................................... 5.05%++ 10.21% (1.00%) 7.07% 9.46% 3.31% ======== ======== ======== ======== ======== ======== RATIOS AND SUPPLEMENTAL DATA Net Assets, End of Period (in thousands)............... $343,121 $291,678 $286,493 $298,034 $244,835 $214,333 ======== ======== ======== ======== ======== ======== 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... 6.73%** 6.84% 6.56% 6.87% 7.03% 6.48% ======== ======== ======== ======== ======== ======== Portfolio Turnover Rate................................ 116.54% 139.89% 76.65% 161.79% 184.93% 195.98% ======== ======== ======== ======== ======== ========
** Computed on a 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. Financial Highlights 78 82 NORTHWESTERN MUTUAL SERIES FUND, INC. Financial Highlights MONEY MARKET PORTFOLIO
FOR THE SIX MONTHS ENDED FOR THE YEAR ENDED DECEMBER 31, JUNE 30, 2001 ---------------------------------------------------- (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD) (UNAUDITED) 2000 1999 1998 1997 1996 - ------------------------------------------------------------------------------------------------------------------------------- SELECTED PER SHARE DATA Net Asset Value, Beginning of Period................. $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 Income from Investment Operations: Net Investment Income............................ 0.02 0.06 0.05 0.05 0.05 0.05 Less Distributions from Net Investment Income.... (0.02) (0.06) (0.05) (0.05) (0.05) (0.05) -------- -------- -------- -------- -------- -------- Net Asset Value, End of Period....................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ======== ======== ======== ======== ======== ======== Total Return+........................................ 2.42%++ 6.28% 5.10% 5.43% 5.47% 5.29% ======== ======== ======== ======== ======== ======== RATIOS AND SUPPLEMENTAL DATA Net Assets, End of Period (in thousands)............. $408,833 $384,455 $404,284 $291,464 $194,470 $176,298 ======== ======== ======== ======== ======== ======== 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............................................. 4.82%** 6.08% 4.99% 5.26% 5.33% 5.13% ======== ======== ======== ======== ======== ========
** Computed on a 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. 79 Financial Highlights 83 NORTHWESTERN MUTUAL SERIES FUND, INC. Notes to Financial Statements June 30, 2001 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 Small Cap Growth Stock Portfolio, Aggressive Growth Stock Portfolio, Franklin Templeton International Equity Portfolio, Index 400 Stock Portfolio, Growth Stock Portfolio, J.P. Morgan Select Growth and Income Stock Portfolio, Index 500 Stock Portfolio, Balanced Portfolio, High Yield Bond Portfolio, Select Bond Portfolio and the Money Market Portfolio (the "Portfolios"). Shares are presently offered only to The Northwestern Mutual Life Insurance Company ("Northwestern Mutual") and its segregated asset accounts. NOTE 2 -- The preparation of the financial statements in conformity with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amount of revenues and expenses during the reporting period. Actual results could differ from those estimates. Principal accounting policies are summarized below. NOTE 3 -- 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. Stock not listed on a national or foreign stock exchange are valued at the closing bid price on the over-the-counter market. Bonds are valued on the basis of prices furnished by a service which determines prices for normal institutional size trading units of bonds. 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. When quotations are not readily available, securities are valued at fair market value determined by procedures approved by the Board of Directors. 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 Franklin Templeton International Equity Portfolio, Balanced Portfolio and Select Bond Portfolio purchases or sells a foreign security they may enter into a foreign exchange currency contract to minimize market risk for the trade date to the settlement date of such transaction. Such foreign exchange currency contracts are marked to market daily. The Portfolios may enter into forward foreign currency contracts to hedge against exchange rate risk arising from investments in securities denominated in foreign currencies. Contracts valued at the contractual forward rate are marked to market daily, with the change in market value recorded as an unrealized gain or loss. When the contracts are closed, a realized gain or loss is incurred. Risks may arise from changes in market value of the underlying instruments and from the possible inability of counterparties to meet the terms of their contracts. The Franklin Templeton International Equity Portfolio, Balanced Portfolio and Select Bond Portfolio do not separately report the results of operations due to changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized or unrealized 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 Small Cap Growth Stock, Aggressive Growth Stock, Index 400 Stock, Growth Stock, Index 500 Stock, Balanced and Select Bond Portfolios invest in futures contracts as an alternative to investing in individual securities. The Small Cap Growth Stock, Aggressive Growth Stock, Index 400 Stock, Growth Stock, Index 500 Stock, Balanced and Select Bond Portfolios could be exposed to market risk due to changes in the value of the underlying securities or due to an illiquid secondary market. Futures contracts are Notes to Financial Statements 80 84 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. ............................................................................... 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 issues 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 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, 2001, transactions in securities other than money market investments were:
U.S. GOVT. TOTAL U.S. GOVT. TOTAL SECURITY SECURITY SECURITY SECURITY SALES/ SALES/ PORTFOLIOS PURCHASES PURCHASES MATURITIES MATURITIES - ---------- --------- ---------- -------------- ---------- Small Cap Growth Stock...................................... $ 78,224,580 -- $ 62,604,077 -- Aggressive Growth Stock..................................... 456,367,091 -- 478,539,518 -- Franklin Templeton International Equity..................... 176,038,840 -- 80,611,814 -- Index 400 Stock............................................. 59,908,063 -- 8,791,685 -- Growth Stock................................................ 92,579,257 -- 68,893,516 -- J.P.Morgan Select Growth and Income Stock................... 138,729,499 -- 123,657,509 -- Index 500 Stock............................................. 44,161,514 -- 28,047,625 -- Balanced.................................................... 870,110,508 $430,710,734 948,442,659 $586,708,645 High Yield Bond............................................. 76,858,804 -- 61,838,060 -- Select Bond................................................. 366,796,523 191,383,577 336,383,483 179,752,950
............................................................................... 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 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%, for the Index 400 Stock Portfolio the rate is .25%, and for the Balanced, Select Bond and Money Market Portfolios the rate is .30%. For the other Portfolios the rate for the investment advisory fee is graded by the asset size of the Portfolio according to the following schedule:
FIRST NEXT $50 $50 PORTFOLIOS MILLION MILLION EXCESS - ---------- ------- ------- ------ Small Cap Growth Stock....... .80% .65% .50% Aggressive Growth Stock...... .80% .65% .50% Franklin Templeton International Equity....... .85% .65% .65% Growth Stock................. .60% .50% .40% J.P.Morgan Select Growth and Income Stock............... .70% .60% .55% High Yield Bond.............. .60% .50% .40%
These amounts are paid to Northwestern Mutual Investment Services, LLC ("NMIS"), a wholly owned company of Northwestern Mutual, which is the manager and investment adviser of the Fund. Northwestern Mutual is also a party to the agreement. Other costs for each Portfolio are paid either by the Portfolios, Northwestern Mutual, or NMIS depending upon the applicable agreement in place. The Small Cap Growth Stock Portfolio, Aggressive Growth Stock, Franklin Templeton International Equity Portfolio, Index 400 Stock Portfolio, Growth Stock Portfolio, J.P.Morgan Select Growth and Income Stock Portfolio, and Index 500 Stock Portfolio pay their own custodian fees. In addition, 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. For the period ended June 30, 2001, the amounts paid through expense offset arrangements are $3,650 in the Small Cap Growth Stock Portfolio, $3,098 in the Aggressive Growth Stock Portfolio, $2,200 in the Index 400 Stock Portfolio, $2,421 in the Growth Stock Portfolio, $1,278 81 Notes to Financial Statements 85 in the J.P.Morgan Select Growth and Income Stock Portfolio, $5,287 in the Index 500 Stock Portfolio, and $1,886 in the High Yield Bond Portfolio. J.P.Morgan Investment Management, Inc. ("J.P.Morgan") and Templeton Investment Counsel, Inc. ("Templeton Counsel") have been retained under an investment sub-advisory agreement to provide investment advise and, in general, to conduct the management investment program of the J.P.Morgan Select Growth and Income Stock Portfolio and the Franklin Templeton International Equity Portfolio, respectively. NMIS pays J.P.Morgan .45% on the first $100 million of the combined net assets for all funds managed for Northwestern Mutual by J.P.Morgan, .40% on the next $100 million, .35% on the next $200 million and .30% in excess of $400 million. NMIS pays Templeton Counsel .50% on the first $100 million of the combined net assets for all funds managed for Northwestern Mutual by Templeton Counsel and .40% in excess of $100 million. The Growth Stock and Aggressive Growth Stock Portfolios paid commissions on Fund transactions to an affiliated broker in the amounts of $1,362 and $19,578, respectively, for the period ended June 30, 2001. NOTE 8 -- Each of the Portfolios of the Series Fund has elected to be taxed as a regulated investment company meeting certain requirements under the Internal Revenue Code. Since each expects to distribute all net investment income and net realized capital gains, the Portfolios anticipate incurring no federal income taxes. Taxable distributions from net investment income and realized capital gains in the Portfolios differ from book amounts earned during the period due to differences in the timing of capital gains recognition and due to the reclassification of certain gains or losses from capital to income. The differences between cost amounts for book purposes and tax purposes are principally due to treatment of deferred losses. It is the policy of the Series Fund to reclassify the net effect of permanent differences between book and taxable income to capital accounts on the statements of assets and liabilities. After October 31, 2000, the Small Cap Growth Stock, Growth Stock, J.P.Morgan Select Growth and Income Stock, Balanced and High Yield Bond Portfolios had capital losses in the amounts of $3,634,128, $3,480,810, $5,938,168, $3,296,251 and $1,921,346, respectively. The Franklin Templeton International Equity Portfolio had currency losses in the amount of $378,584. These amounts are deferred and deemed to have occurred in the next fiscal year. For Federal income tax purposes, the High Yield Bond Portfolio also has a net realized capital loss of $47,838,316 which will be carried forward to offset future net realized capital gains. The amount expires as follows: $2,661,875 in 2006, $23,977,979 in 2007 and $21,198,462 in 2008. The Select Bond Portfolio has a net realized capital loss of $9,881,159, which will expire as follows: $1,399,791 in 2007 and $8,481,368 in 2008. For Federal income tax purposes, net unrealized appreciation (depreciation) on open futures contracts is generally 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 Small Cap Growth Stock, Aggressive Growth Stock, Franklin Templeton International Equity, Index 400 Stock, Growth Stock, J.P.Morgan Select Growth and Income Stock, Index 500 Stock, Balanced, High Yield Bond and Select Bond Portfolios and each business day for the Money Market Portfolio. NOTE 10 -- Northwestern Mutual voluntarily reimburses the Franklin Templeton International Equity Portfolio for the benefit Northwestern Mutual receives from foreign dividend taxes charged against the Portfolio. The amount reimbursed represents approximately 65% of the foreign dividend tax withheld from the Portfolio. Reimbursements are recorded when foreign dividend taxes are accrued. This voluntary reimbursement for the period ended June 30, 2001 and the year ended December 31, 2000 was $944,610 and $830,396, respectively. Notes to Financial Statements 82 86 NORTHWESTERN MUTUAL VARIABLE LIFE ACCOUNT Statement of Assets and Liabilities June 30, 2001 (in thousands)
ASSETS Investments at Market Value: Northwestern Mutual Series Fund, Inc. Small Cap Growth Stock 37,477 shares (cost $72,038)....................... $ 70,091 Aggressive Growth Stock 88,713 shares (cost $318,185)...................... 279,174 Franklin Templeton International Equity 121,734 shares (cost $194,106)..................... 166,133 Index 400 Stock 34,865 shares (cost $40,237)....................... 39,614 Growth Stock 85,582 shares (cost $188,576)...................... 182,210 J.P. Morgan Select Growth and Income Stock 97,281 shares (cost $140,944)...................... 124,753 Index 500 Stock 133,237 shares (cost $393,426)..................... 406,497 Balanced 108,518 shares (cost $192,470)..................... 200,234 High Yield Bond 34,587 shares (cost $30,326)....................... 25,074 Select Bond 28,494 shares (cost $33,088)....................... 32,612 Money Market 94,763 shares (cost $94,763)....................... 94,763 Russell Insurance Funds Multi-Style Equity 4,098 shares (cost $60,828)........................ 51,688 Aggressive Equity 2,114 shares (cost $26,366)........................ 24,713 Non-U.S. 3,115 shares (cost $36,857)........................ 29,776 Real Estate Securities 1,110 shares (cost $11,234)........................ 12,423 Core Bond 1,375 shares (cost $13,696)........................ 13,894 $1,753,649 -------- Due from Sale of Fund Shares.............................. 731 Due from Northwestern Mutual Life Insurance Company....... 188 ---------- Total Assets..................................... $1,754,568 ========== LIABILITIES Due to Northwestern Mutual Life Insurance Company......... $ 731 Due on Purchase of Fund Shares............................ 188 ---------- Total Liabilities................................ 919 ---------- EQUITY (NOTE 8) Variable Life Policies Issued Before October 11, 1995..... 454,811 Variable Complife Policies Issued On or After October 11, 1995.................................................... 1,192,426 Variable Executive Life Policies Issued On or After March 2, 1998................................................. 56,377 Variable Joint Life Policies Issued On or After December 10, 1998................................................ 50,035 ---------- Total Equity..................................... 1,753,649 ---------- Total Liabilities and Equity..................... $1,754,568 ==========
The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) Variable Life Account Financial Statements 83 87 NORTHWESTERN MUTUAL VARIABLE LIFE ACCOUNT Statements of Operations (in thousands)
SMALL CAP GROWTH AGGRESSIVE GROWTH COMBINED STOCK DIVISION STOCK DIVISION -------------------------- -------------------------- -------------------------- SIX MONTHS SIX MONTHS SIX MONTHS ENDED ENDED ENDED JUNE 30, YEAR ENDED JUNE 30, YEAR ENDED JUNE 30, YEAR ENDED 2001 DECEMBER 31, 2001 DECEMBER 31, 2001 DECEMBER 31, (UNAUDITED) 2000 (UNAUDITED) 2000 (UNAUDITED) 2000 - ------------------------------------------------------------------------------------------------------------------------ INVESTMENT INCOME Dividend Income................. $ 121,333 $ 98,818 $ 5 $ 828 $ 55,735 $ 29,746 Mortality and Expense Risks..... 2,547 6,166 83 130 420 1,141 Taxes........................... 1,452 2,675 49 56 239 489 --------- --------- ------- ------- --------- -------- Net Investment Income (Loss).... 117,334 89,977 (127) 642 55,076 28,116 --------- --------- ------- ------- --------- -------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Realized Gain (Loss) on Investments................... 111,649 15,962 7,734 1,839 26,792 3,321 Unrealized Appreciation (Depreciation) of Investments During the Period............. (323,733) (155,582) (5,924) (5,210) (111,857) (23,838) --------- --------- ------- ------- --------- -------- Net Gain (Loss) on Investments................... (212,084) (139,620) 1,810 (3,371) (85,065) (20,517) --------- --------- ------- ------- --------- -------- Increase (Decrease) in Equity Derived from Investment Activity...................... $ (94,750) $ (49,643) $ 1,683 $(2,729) $ (29,989) $ 7,599 ========= ========= ======= ======= ========= ======== FRANKLIN TEMPLETON INTERNATIONAL EQUITY DIVISION -------------------------- SIX MONTHS ENDED JUNE 30, YEAR ENDED 2001 DECEMBER 31, (UNAUDITED) 2000 - ---------------------------------- -------------------------- INVESTMENT INCOME Dividend Income................. $ 16,480 $ 9,885 Mortality and Expense Risks..... 255 595 Taxes........................... 144 257 -------- -------- Net Investment Income (Loss).... 16,081 9,033 -------- -------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Realized Gain (Loss) on Investments................... 3,223 1,818 Unrealized Appreciation (Depreciation) of Investments During the Period............. (31,328) (12,052) -------- -------- Net Gain (Loss) on Investments................... (28,105) (10,234) -------- -------- Increase (Decrease) in Equity Derived from Investment Activity...................... $(12,024) $ (1,201) ======== ========
The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) Variable Life Account Financial Statements 84 88
J.P. MORGAN SELECT INDEX 400 GROWTH AND INCOME INDEX 500 STOCK DIVISION GROWTH STOCK DIVISION STOCK DIVISION STOCK DIVISION - ------------------------------ -------------------------- -------------------------- -------------------------- SIX MONTHS SIX MONTHS SIX MONTHS SIX MONTHS ENDED ENDED ENDED ENDED JUNE 30, YEAR ENDED JUNE 30, YEAR ENDED JUNE 30, YEAR ENDED JUNE 30, YEAR ENDED 2001 DECEMBER 31, 2001 DECEMBER 31, 2001 DECEMBER 31, 2001 DECEMBER 31, (UNAUDITED) 2000 (UNAUDITED) 2000 (UNAUDITED) 2000 (UNAUDITED) 2000 - --------------------------------------------------------------------------------------------------------------------- $ 439 $ 2,587 $ 7,586 $ 6,953 $ 4,135 $ 6,106 $ 16,748 $ 14,015 44 52 269 644 184 470 611 1,575 27 22 153 275 105 201 347 676 ------- ------- -------- -------- -------- -------- -------- -------- 368 2,513 7,164 6,034 3,846 5,435 15,790 11,764 ------- ------- -------- -------- -------- -------- -------- -------- 1,666 71 12,574 1,026 7,179 1,538 37,108 1,749 (1,432) (1,171) (38,151) (13,347) (14,691) (15,724) (79,166) (50,374) ------- ------- -------- -------- -------- -------- -------- -------- 234 (1,100) (25,577) (12,321) (7,512) (14,186) (42,058) (48,625) ------- ------- -------- -------- -------- -------- -------- -------- $ 602 $ 1,413 $(18,413) $ (6,287) $ (3,666) $ (8,751) $(26,268) $(36,861) ======= ======= ======== ======== ======== ======== ======== ======== BALANCED DIVISION - --- -------------------------- SIX MONTHS ENDED JUNE 30, YEAR ENDED 2001 DECEMBER 31, (UNAUDITED) 2000 - --- -------------------------- $ 15,012 $ 15,457 337 891 190 382 -------- -------- 14,485 14,184 -------- -------- 6,027 5,358 (24,571) (21,229) -------- -------- (18,544) (15,871) -------- -------- $ (4,059) $ (1,687) ======== ========
Variable Life Account Financial Statements 85 89 NORTHWESTERN MUTUAL VARIABLE LIFE ACCOUNT Statements of Operations (in thousands)
HIGH YIELD BOND DIVISION SELECT BOND DIVISION MONEY MARKET DIVISION -------------------------- -------------------------- -------------------------- SIX MONTHS SIX MONTHS SIX MONTHS ENDED ENDED ENDED JUNE 30, YEAR ENDED JUNE 30, YEAR ENDED JUNE 30, YEAR ENDED 2001 DECEMBER 31, 2001 DECEMBER 31, 2001 DECEMBER 31, (CONTINUED) (UNAUDITED) 2000 (UNAUDITED) 2000 (UNAUDITED) 2000 - ------------------------------------------------------------------------------------------------------------------------ INVESTMENT INCOME Dividend Income................ $ 26 $ 2,383 $ 1,762 $1,285 $2,178 $4,666 Mortality and Expense Risks.... 36 82 37 75 132 278 Taxes.......................... 21 35 22 31 75 150 ------- ------- ------- ------ ------ ------ Net Investment Income (Loss)... (31) 2,266 1,703 1,179 1,971 4,238 ------- ------- ------- ------ ------ ------ REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Realized Gain (Loss) on Investments.................. 2,114 (626) (1,606) (82) -- -- Unrealized Appreciation (Depreciation) of Investments During the Period............ (1,162) (2,680) 1,157 829 -- -- ------- ------- ------- ------ ------ ------ Net Gain (Loss) on Investments.................. 952 (3,306) (449) 747 -- -- ------- ------- ------- ------ ------ ------ Increase (Decrease) in Equity Derived from Investment Activity..................... $ 921 $(1,040) $ 1,254 $1,926 $1,971 $4,238 ======= ======= ======= ====== ====== ====== RUSSELL MULTI- STYLE EQUITY DIVISION -------------------------- SIX MONTHS ENDED JUNE 30, YEAR ENDED 2001 DECEMBER 31, (CONTINUED) (UNAUDITED) 2000 - --------------------------------- -------------------------- INVESTMENT INCOME Dividend Income................ $ 855 $ 989 Mortality and Expense Risks.... 57 105 Taxes.......................... 33 45 ------- ------- Net Investment Income (Loss)... 765 839 ------- ------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Realized Gain (Loss) on Investments.................. 3,974 (121) Unrealized Appreciation (Depreciation) of Investments During the Period............ (8,545) (5,159) ------- ------- Net Gain (Loss) on Investments.................. (4,571) (5,280) ------- ------- Increase (Decrease) in Equity Derived from Investment Activity..................... $(3,806) $(4,441) ======= =======
The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) Variable Life Account Financial Statements 86 90
RUSSELL AGGRESSIVE RUSSELL NON- RUSSELL RUSSELL EQUITY DIVISION U.S. DIVISION REAL ESTATE SECURITIES DIVISION CORE BOND DIVISION - ------------------------------ -------------------------- -------------------------------- -------------------------- SIX MONTHS SIX MONTHS SIX MONTHS SIX MONTHS ENDED ENDED ENDED ENDED JUNE 30, YEAR ENDED JUNE 30, YEAR ENDED JUNE 30, YEAR ENDED JUNE 30, YEAR ENDED 2001 DECEMBER 31, 2001 DECEMBER 31, 2001 DECEMBER 31, 2001 DECEMBER 31, (UNAUDITED) 2000 (UNAUDITED) 2000 (UNAUDITED) 2000 (UNAUDITED) 2000 - --------------------------------------------------------------------------------------------------------------------------- $ 7 $ 1,909 $ -- $ 1,559 $ 137 $204 $ 228 $246 27 45 35 60 13 14 7 9 15 20 20 26 8 6 4 4 ------- ------- ------- ------- ----- ---- ----- ---- (35) 1,844 (55) 1,473 116 184 217 233 ------- ------- ------- ------- ----- ---- ----- ---- 2,495 47 2,838 31 (322) 1 (147) (8) (2,207) (2,428) (6,969) (4,148) 964 692 149 257 ------- ------- ------- ------- ----- ---- ----- ---- 288 (2,381) (4,131) (4,117) 642 693 2 249 ------- ------- ------- ------- ----- ---- ----- ---- $ 253 $ (537) $(4,186) $(2,644) $ 758 $877 $ 219 $482 ======= ======= ======= ======= ===== ==== ===== ====
Variable Life Account Financial Statements 87 91 NORTHWESTERN MUTUAL VARIABLE LIFE ACCOUNT Statements of Changes in Equity (in thousands)
SMALL CAP GROWTH AGGRESSIVE GROWTH COMBINED STOCK DIVISION STOCK DIVISION -------------------------- -------------------------- -------------------------- SIX MONTHS SIX MONTHS SIX MONTHS ENDED ENDED ENDED JUNE 30, YEAR ENDED JUNE 30, YEAR ENDED JUNE 30, YEAR ENDED 2001 DECEMBER 31, 2001 DECEMBER 31, 2001 DECEMBER 31, (UNAUDITED) 2000 (UNAUDITED) 2000 (UNAUDITED) 2000 - ----------------------------------------------------------------------------------------------------------------------- OPERATIONS Net Investment Income.......... $ 117,334 $ 89,977 $ (127) $ 642 $ 55,076 $ 28,116 Net Realized Gain (Loss)....... 111,649 15,962 7,734 1,839 26,792 3,321 Net Change in unrealized Appreciation (Depreciation)............... (323,733) (155,582) (5,924) (5,210) (111,857) (23,838) ---------- ---------- ------- ------- --------- -------- Increase (Decrease) in Equity.... (94,750) (49,643) 1,683 (2,729) (29,989) 7,599 ---------- ---------- ------- ------- --------- -------- EQUITY TRANSACTIONS Policyowners' Net Payments..... 356,809 613,832 10,179 8,148 32,451 46,622 Policy Loans, Surrenders, and Death Benefits............... (55,787) (85,955) (2,202) (1,391) (9,503) (17,395) Mortality and Other (net)...... (53,404) (91,405) (1,810) (1,558) (6,335) (10,329) Transfers from Other Divisions.................... 214,475 419,640 15,084 44,208 25,195 65,880 Transfers to Other Divisions... (214,475) (419,640) (3,220) (3,863) (10,470) (20,612) ---------- ---------- ------- ------- --------- -------- Increase in Equity Derived from Equity Transactions............ 247,618 436,472 18,031 45,544 31,338 64,166 ---------- ---------- ------- ------- --------- -------- Net Increase in Equity........... 152,868 386,829 19,714 42,815 1,349 71,765 EQUITY Beginning of Period............ 1,600,781 1,213,952 50,377 7,562 277,825 206,060 ---------- ---------- ------- ------- --------- -------- End of Period.................. $1,753,649 $1,600,781 $70,091 $50,377 $ 279,174 $277,825 ========== ========== ======= ======= ========= ======== FRANKLIN TEMPLETON INTERNATIONAL EQUITY DIVISION -------------------------- SIX MONTHS ENDED JUNE 30, YEAR ENDED 2001 DECEMBER 31, (UNAUDITED) 2000 - --------------------------------- -------------------------- OPERATIONS Net Investment Income.......... $ 16,081 $ 9,033 Net Realized Gain (Loss)....... 3,223 1,818 Net Change in unrealized Appreciation (Depreciation)............... (31,328) (12,052) -------- -------- Increase (Decrease) in Equity.... (12,024) (1,201) -------- -------- EQUITY TRANSACTIONS Policyowners' Net Payments..... 20,631 32,762 Policy Loans, Surrenders, and Death Benefits............... (5,545) (8,140) Mortality and Other (net)...... (4,060) (6,157) Transfers from Other Divisions.................... 15,164 28,171 Transfers to Other Divisions... (5,950) (10,026) -------- -------- Increase in Equity Derived from Equity Transactions............ 20,240 36,610 -------- -------- Net Increase in Equity........... 8,216 35,409 EQUITY Beginning of Period............ 157,917 122,508 -------- -------- End of Period.................. $166,133 $157,917 ======== ========
The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) Variable Life Account Financial Statements 88 92
J.P. MORGAN SELECT INDEX 400 GROWTH AND INCOME INDEX 500 STOCK DIVISION GROWTH STOCK DIVISION STOCK DIVISION STOCK DIVISION - ------------------------------ -------------------------- -------------------------- -------------------------- SIX MONTHS SIX MONTHS SIX MONTHS SIX MONTHS ENDED ENDED ENDED ENDED JUNE 30, YEAR ENDED JUNE 30, YEAR ENDED JUNE 30, YEAR ENDED JUNE 30, YEAR ENDED 2001 DECEMBER 31, 2001 DECEMBER 31, 2001 DECEMBER 31, 2001 DECEMBER 31, (UNAUDITED) 2000 (UNAUDITED) 2000 (UNAUDITED) 2000 (UNAUDITED) 2000 - --------------------------------------------------------------------------------------------------------------------- $ 368 $ 2,513 $ 7,164 $ 6,034 $ 3,846 $ 5,435 $ 15,790 $ 11,764 1,666 71 12,574 1,026 7,179 1,538 37,108 1,749 (1,432) (1,171) (38,151) (13,347) (14,691) (15,724) (79,166) (50,374) ------- ------- -------- -------- -------- -------- -------- -------- 602 1,413 (18,413) (6,287) (3,666) (8,751) (26,268) (36,861) ------- ------- -------- -------- -------- -------- -------- -------- 4,588 3,691 26,300 37,607 16,690 29,344 53,131 85,004 (857) (586) (5,654) (9,123) (4,387) (6,846) (13,034) (20,850) (893) (724) (5,123) (7,575) (3,309) (6,174) (10,270) (16,957) 13,287 17,439 21,571 44,134 10,515 17,575 38,919 69,748 (1,427) (1,179) (8,149) (12,837) (3,189) (16,300) (15,974) (28,136) ------- ------- -------- -------- -------- -------- -------- -------- 14,698 18,641 28,945 52,206 16,320 17,599 52,772 88,809 ------- ------- -------- -------- -------- -------- -------- -------- 15,300 20,054 10,532 45,919 12,654 8,848 26,504 51,948 24,314 4,260 171,678 125,759 112,099 103,251 379,993 328,045 ------- ------- -------- -------- -------- -------- -------- -------- $39,614 $24,314 $182,210 $171,678 $124,753 $112,099 $406,497 $379,993 ======= ======= ======== ======== ======== ======== ======== ======== BALANCED DIVISION - --- -------------------------- SIX MONTHS ENDED JUNE 30, YEAR ENDED 2001 DECEMBER 31, (UNAUDITED) 2000 - --- -------------------------- $ 14,485 $ 14,184 6,027 5,358 <$i <$d (24,571) (21,229) -------- -------- (4,059) (1,687) -------- -------- 15,166 25,988 <$i <$d (6,419) (11,702) (3,282) (5,718) 11,541 14,233 (5,661) (16,597) -------- -------- 11,345 6,204 -------- -------- 7,286 4,517 192,948 188,431 -------- -------- $200,234 $192,948 ======== ========
Variable Life Account Financial Statements 89 93 NORTHWESTERN MUTUAL VARIABLE LIFE ACCOUNT Statements of Changes in Equity (in thousands)
HIGH YIELD BOND DIVISION SELECT BOND DIVISION MONEY MARKET DIVISION -------------------------- -------------------------- -------------------------- SIX MONTHS SIX MONTHS SIX MONTHS ENDED ENDED ENDED JUNE 30, YEAR ENDED JUNE 30, YEAR ENDED JUNE 30, YEAR ENDED 2001 DECEMBER 31, 2001 DECEMBER 31, 2001 DECEMBER 31, (CONTINUED) (UNAUDITED) 2000 (UNAUDITED) 2000 (UNAUDITED) 2000 - ------------------------------------------------------------------------------------------------------------------------ OPERATIONS Net Investment Income........... $ (31) $ 2,266 $ 1,703 $ 1,179 $ 1,971 $ 4,238 Net Realized Gain (Loss)........ 2,114 (626) (1,606) (82) -- -- Net Change in unrealized Appreciation (Depreciation)... (1,162) (2,680) 1,157 829 -- -- ------- ------- ------- ------- --------- --------- Increase (Decrease) in Equity..... 921 (1,040) 1,254 1,926 1,971 4,238 ------- ------- ------- ------- --------- --------- EQUITY TRANSACTIONS Policyowners' Net Payments...... 3,317 6,244 3,374 5,193 147,558 312,705 Policy Loans, Surrenders, and Death Benefits................ (926) (1,031) (873) (930) (3,180) (5,338) Mortality and Other (net)....... (661) (1,023) (694) (930) (13,527) (30,361) Transfers from Other Divisions..................... 3,618 3,354 11,158 6,989 16,157 26,244 Transfers to Other Divisions.... (1,692) (3,972) (6,080) (3,102) (141,642) (287,463) ------- ------- ------- ------- --------- --------- Increase in Equity Derived from Equity Transactions............. 3,656 3,572 6,885 7,220 5,366 15,787 ------- ------- ------- ------- --------- --------- Net Increase in Equity............ 4,577 2,532 8,139 9,146 7,337 20,025 EQUITY Beginning of Period............. 20,497 17,965 24,473 15,327 87,426 67,401 ------- ------- ------- ------- --------- --------- End of Period................... $25,074 $20,497 $32,612 $24,473 $ 94,763 $ 87,426 ======= ======= ======= ======= ========= ========= RUSSELL MULTI-STYLE EQUITY DIVISION -------------------------- SIX MONTHS ENDED JUNE 30, YEAR ENDED 2001 DECEMBER 31, (CONTINUED) (UNAUDITED) 2000 - ---------------------------------- -------------------------- OPERATIONS Net Investment Income........... $ 765 $ 839 Net Realized Gain (Loss)........ 3,974 (121) Net Change in unrealized Appreciation (Depreciation)... (8,545) (5,159) ------- ------- Increase (Decrease) in Equity..... (3,806) (4,441) ------- ------- EQUITY TRANSACTIONS Policyowners' Net Payments...... 9,911 9,683 Policy Loans, Surrenders, and Death Benefits................ (1,292) (1,153) Mortality and Other (net)....... (1,527) (1,847) Transfers from Other Divisions..................... 9,595 30,351 Transfers to Other Divisions.... (2,268) (5,256) ------- ------- Increase in Equity Derived from Equity Transactions............. 14,419 31,778 ------- ------- Net Increase in Equity............ 10,613 27,337 EQUITY Beginning of Period............. 41,075 13,738 ------- ------- End of Period................... $51,688 $41,075 ======= =======
The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) Variable Life Account Financial Statements 90 94
RUSSELL AGGRESSIVE RUSSELL RUSSELL REAL ESTATE RUSSELL EQUITY DIVISION NON-U.S. DIVISION SECURITIES DIVISION CORE BOND DIVISION - ------------------------------ -------------------------- -------------------------- -------------------------- SIX MONTHS SIX MONTHS SIX MONTHS SIX MONTHS ENDED ENDED ENDED ENDED JUNE 30, YEAR ENDED JUNE 30, YEAR ENDED JUNE 30, YEAR ENDED JUNE 30, YEAR ENDED 2001 DECEMBER 31, 2001 DECEMBER 31, 2001 DECEMBER 31, 2001 DECEMBER 31, (UNAUDITED) 2000 (UNAUDITED) 2000 (UNAUDITED) 2000 (UNAUDITED) 2000 - --------------------------------------------------------------------------------------------------------------------- $ (35) $ 1,844 $ (55) $ 1,473 $ 116 $ 184 $ 217 $ 233 2,495 47 2,838 31 (322) 1 (147) (8) (2,207) (2,428) (6,969) (4,148) 964 692 149 257 ------- ------- ------- ------- ------- ------ ------- ------ 253 (537) (4,186) (2,644) 758 877 219 482 ------- ------- ------- ------- ------- ------ ------- ------ 3,997 3,674 5,457 5,228 991 1,150 3,068 789 (606) (550) (806) (550) (392) (73) (111) (297) (659) (762) (800) (884) (197) (198) (257) (208) 5,149 14,978 9,456 25,372 4,521 5,039 3,545 5,925 (2,658) (2,922) (5,032) (6,442) (770) (431) (293) (502) ------- ------- ------- ------- ------- ------ ------- ------ 5,223 14,418 8,275 22,724 4,153 5,487 5,952 5,707 ------- ------- ------- ------- ------- ------ ------- ------ 5,476 13,881 4,089 20,080 4,911 6,364 6,171 6,189 19,237 5,356 25,687 5,607 7,512 1,148 7,723 1,534 ------- ------- ------- ------- ------- ------ ------- ------ $24,713 $19,237 $29,776 $25,687 $12,423 $7,512 $13,894 $7,723 ======= ======= ======= ======= ======= ====== ======= ======
Variable Life Account Financial Statements 91 95 NML VARIABLE LIFE ACCOUNT Notes to Financial Statements June 30, 2001 (Unaudited) NOTE 1 -- Northwestern Mutual Variable Life Account ("the Account") is registered as a unit investment trust under the Investment Company Act of 1940 and is a segregated asset account of The Northwestern Mutual Life Insurance Company ("Northwestern Mutual") used to fund variable life insurance policies. NOTE 2 -- The preparation of the financial statements in conformity with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. Principal accounting policies are summarized below. NOTE 3 -- All assets of each Division of the Account are invested in shares of the corresponding Portfolio of Northwestern Mutual Series Fund, Inc. and the Russell Insurance Funds (collectively known as "the Funds"). The shares are valued at the Funds' offering and redemption prices per share. The Funds are diversified open-end investment companies registered under the Investment Company Act of 1940. NOTE 4 -- Dividend income from the Funds is recorded on the record date of the dividends. Transactions in the Funds' shares are accounted for on the trade date. The basis for determining cost on sale of Funds' shares is identified cost. Purchase and sales of the Funds' shares for the six month period ended June 30, 2001 by each Division are shown below:
DIVISION PURCHASES SALES - -------- --------- ----- Small Cap Growth Stock......... $18,859,860 $ 955,916 Aggressive Growth Stock........ 88,929,248 2,515,446 Franklin Templeton International Equity......... 37,271,238 950,339 Index 400 Stock................ 15,254,858 187,923 Growth Stock................... 36,742,305 634,089 J.P. Morgan Select Growth and Income Stock................. 0,712,538 546,046 Index 500 Stock................ 72,603,454 4,041,642 Balanced....................... 27,637,666 1,808,566 High Yield Bond................ 4,728,133 1,103,235 Select Bond.................... 10,095,767 1,508,049 Money Market................... 41,541,428 34,203,716 Russell Multi-Style Equity..... 15,615,946 428,495 Russell Aggressive Equity...... 6,029,059 839,534 Russell Non-U.S................ 10,519,141 2,297,769 Russell Real Estate Securities................... 5,212,104 946,939 Russell Core Bond.............. 6,977,419 811,089
NOTE 5 -- A deduction for mortality and expense risks is determined daily and paid to Northwestern Mutual. Generally, for Variable Life policies issued before October 11, 1995, and Variable Complife 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. A deduction for the mortality and expense risks for the Variable Executive Life policies issued on or after March 3, 1998 and Variable Joint Life polices issued on or after December 10, 1998 are determined monthly at an annual rate of .75% of the amount invested in the Account for the Policy for the first ten Policy years, and .30% thereafter. 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, single or other premiums before amounts are allocated to the Account. These deductions are for (1) sales load, (2) administrative expenses, (3) taxes and (4) a risk charge for the guaranteed minimum death benefit. Additional mortality costs are deducted from the policy annually and are paid to Northwestern Mutual to cover the cost of providing insurance protection. This cost is actuarially calculated based upon the insured's age, the 1980 Commissioners Standard Ordinary Mortality Table and the amount of insurance provided under the policy. NOTE 6 -- Northwestern Mutual is taxed as a "life insurance company" under the Internal Revenue Code. The variable life insurance policies which are funded in the Account are taxed as part of the operations of Northwestern Mutual. Policies provide that a charge for taxes may be made against the assets of the Account. Generally, for Variable Life policies issued before October 11, 1995, Northwestern Mutual charges the Account at an annual rate of .20% of the Account's net assets and reserves the right to increase, decrease or eliminate the charge for taxes in the future. Generally, for Variable Complife policies issued on or after October 11, 1995, and for Variable Executive Life policies issued on or after March 2, 1998, and Variable Joint Life policies issued on or after December 10, 1998, there is no charge being made against the assets of the Account for Notes to Financial Statements 92 96 federal income taxes, but Northwestern Mutual reserves the right to charge for taxes in the future. NOTE 7 -- The Account is credited for the policyowners' net annual premiums at the respective policy anniversary dates regardless of when policyowners actually pay their premiums. Northwestern Mutual's equity represents any unpaid portion of net annual premiums. This applies to Variable Life and Variable Complife policies only. 93 Notes to Financial Statements 97 NML VARIABLE LIFE ACCOUNT Notes to Financial Statements June 30, 2001 (Unaudited) (in thousands, except accumulation unit values) NOTE 8 -- Equity Values by Division are shown below:
VARIABLE LIFE POLICIES ISSUED BEFORE OCTOBER 11, 1995 EQUITY OF: ----------------------- TOTAL DIVISION POLICYOWNERS NML EQUITY - --------------------------------------------------------------------------------------------------- Small Cap Growth Stock...................................... $ 9,011 $ 394 $ 9,405 Aggressive Growth Stock..................................... 61,262 3,057 64,319 Franklin Templeton International Equity..................... 37,793 2,292 40,085 Index 400 Stock............................................. 4,725 182 4,907 Growth Stock................................................ 29,274 1,434 30,708 J.P. Morgan Select Growth & Income Stock.................... 23,214 1,299 24,513 Index 500 Stock............................................. 105,401 4,646 110,047 Balanced.................................................... 132,311 4,004 136,315 High Yield Bond............................................. 4,060 263 4,323 Select Bond................................................. 8,842 394 9,236 Money Market................................................ 6,787 487 7,274 Russell Multi-Style Equity.................................. 3,932 195 4,127 Russell Aggressive Equity................................... 2,685 128 2,813 Russell Non-U.S. ........................................... 3,082 181 3,263 Russell Real Estate Securities.............................. 2,498 87 2,585 Russell Core Bond........................................... 870 21 891 -------- ------- -------- $435,747 $19,064 $454,811 ======== ======= ========
VARIABLE COMPLIFE POLICIES ISSUED ON OR AFTER OCTOBER 11, 1995 EQUITY OF: ---------------------------- TOTAL DIVISION POLICYOWNERS NML EQUITY - ---------------------------------------------------------------------------------------------------------- Small Cap Growth Stock...................................... $ 39,442 $ 17,584 $ 57,026 Aggressive Growth Stock..................................... 166,526 42,207 208,733 Franklin Templeton International Equity..................... 95,686 25,214 120,900 Index 400 Stock............................................. 22,218 9,844 32,062 Growth Stock................................................ 109,352 32,848 142,200 J.P. Morgan Select Growth & Income Stock.................... 76,267 19,749 96,016 Index 500 Stock............................................. 214,163 62,535 276,698 Balanced.................................................... 44,847 12,952 57,799 High Yield Bond............................................. 15,653 3,962 19,615 Select Bond................................................. 13,025 3,311 16,336 Money Market................................................ 43,438 36,202 79,640 Russell Multi-Style Equity.................................. 25,531 10,797 36,328 Russell Aggressive Equity................................... 11,942 4,986 16,928 Russell Non-U.S. ........................................... 13,960 5,849 19,809 Russell Real Estate Securities.............................. 5,593 2,460 8,053 Russell Core Bond........................................... 3,156 1,127 4,283 -------- -------- ---------- $900,799 $291,627 $1,192,426 ======== ======== ==========
Notes to Financial Statements 94 98
VARIABLE VARIABLE EXECUTIVE LIFE JOINT LIFE POLICIES ISSUED POLICIES ISSUED ON OR AFTER ON OR AFTER MARCH 2, 1998 DECEMBER 10, 1998 --------------- ----------------- DIVISION TOTAL EQUITY TOTAL EQUITY - ---------------------------------------------------------------------------------------------------- Small Cap Growth Stock...................................... $ 587 $ 3,073 Aggressive Growth Stock..................................... 2,616 3,506 Franklin Templeton International Equity..................... 2,239 2,910 Index 400 Stock............................................. 640 2,006 Growth Stock................................................ 4,061 5,242 J.P. Morgan Select Growth & Income Stock.................... 1,460 2,765 Index 500 Stock............................................. 7,628 12,124 Balanced.................................................... 2,398 3,722 High Yield Bond............................................. 715 420 Select Bond................................................. 5,838 1,202 Money Market................................................ 3,504 4,339 Russell Multi-Style Equity.................................. 7,328 3,905 Russell Aggressive Equity................................... 3,658 1,315 Russell Non-U.S............................................. 4,659 2,046 Russell Real Estate Securities.............................. 785 1,000 Russell Core Bond........................................... 8,261 460 ------- ------- $56,377 $50,035 ======= =======
95 Notes to Financial Statements 99 NORTHWESTERN MUTUAL SERIES FUND, INC. D IRECTORS James D. Ericson....................................... Chairman and Chief Executive Officer, Northwestern Mutual, ....................................................... Milwaukee Martin F. Stein........................................ Founder, Stein Optical, ....................................................... Milwaukee John K. MacIver........................................ Senior Partner, Michael Best & Friedrich, LLC, ....................................................... Milwaukee Stephen N. Graff....................................... Retired Partner, Arthur Andersen LLP ....................................................... Milwaukee William J. Blake....................................... Chairman, Blake Investment Corp., ....................................................... Milwaukee William A. McIntosh.................................... Retired Division Head-U.S. Fixed Income, Salomon Brothers, ....................................................... Chicago
O FFICERS James D. Ericson....................................... President Mark G. Doll........................................... Vice President & Treasurer Merrill C. Lundberg.................................... Secretary Barbara E. Courtney.................................... Controller
Directors and Officers 96 100 The Northwestern Mutual Life Insurance Company Milwaukee, WI www.northwesternmutual.com 90-1899 (07-00)(REV 7-01) 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, LCC, 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. [LOGO]Northwestern Mutual[TM] PO BOX 3095 MILWAUKEE WI 53201-3095 CHANGE SERVICE REQUESTED -----END PRIVACY-ENHANCED MESSAGE-----