-----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, PMENXmtZc7vOIQ+om/ZjlnjWDzi4aLhagWW85LxQJxw94D1AO47EwwSE/KZMoIlh MxHVFyrgJQ8wjNIM2mitIA== 0001047469-99-033159.txt : 19990823 0001047469-99-033159.hdr.sgml : 19990823 ACCESSION NUMBER: 0001047469-99-033159 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 19990630 FILED AS OF DATE: 19990820 FILER: COMPANY DATA: COMPANY CONFORMED NAME: NORTHWESTERN MUTUAL VARIABLE LIFE ACCOUNT CENTRAL INDEX KEY: 0000742277 STANDARD INDUSTRIAL CLASSIFICATION: UNKNOWN SIC - 0000 [0000] STATE OF INCORPORATION: WI FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-30D SEC ACT: SEC FILE NUMBER: 811-03989 FILM NUMBER: 99696462 BUSINESS ADDRESS: STREET 1: 720 E WISCONSIN AVE CITY: MILWAUKEE STATE: WI ZIP: 53202 BUSINESS PHONE: 4142711444 MAIL ADDRESS: STREET 1: 720 EAST WISCONSIN AVENUE CITY: MILWAUKEE STATE: WI ZIP: 53202 FILER: COMPANY DATA: COMPANY CONFORMED NAME: NORTHWESTERN MUTUAL SERIES FUND INC CENTRAL INDEX KEY: 0000742212 STANDARD INDUSTRIAL CLASSIFICATION: [] IRS NUMBER: 391603401 STATE OF INCORPORATION: MD FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-30D SEC ACT: SEC FILE NUMBER: 811-03990 FILM NUMBER: 99696463 BUSINESS ADDRESS: STREET 1: 720 E WISCONSIN AVE CITY: MILWAUKEE STATE: WI ZIP: 53202 BUSINESS PHONE: 4142711444 MAIL ADDRESS: STREET 1: 720 EAST WISCONSIN AVE CITY: MILWAUKEE STATE: WI ZIP: 53202 FORMER COMPANY: FORMER CONFORMED NAME: NORTHWESTERN MUTUAL VARIABLE LIFE SERIES FUND INC DATE OF NAME CHANGE: 19940830 N-30D 1 N-30D [PHOTO] June 30, 1999 NORTHWESTERN MUTUAL LIFE-Registered Trademark- The Quiet Company-Registered Trademark- SEMI-ANNUAL REPORT NORTHWESTERN MUTUAL VARIABLE LIFE ACCOUNT [PHOTO] Northwestern Mutual Series Fund, Inc. and Russell Insurance Funds The Northwestern Mutual Life Insurance Company 720 East Wisconsin Avenue Milwaukee, WI 53202 CONTENTS CONTENTS Letter to Policyowners 1 Performance Summary for Separate Accounts 2 Economic Overview and Outlook 6 Series Fund Objectives and Schedule of Investments 7 Small Cap Growth Stock Portfolio 7 Aggressive Growth Stock Portfolio 10 International Equity Portfolio 13 Index 400 Stock Portfolio 17 Growth Stock Portfolio 23 Growth and Income Stock Portfolio 26 Index 500 Stock Portfolio 29 Balanced Portfolio 36 High Yield Bond Portfolio 50 Select Bond Portfolio 55 Money Market Portfolio 60 Series Fund Financial Statements 62 Small Cap Growth Stock Portfolio 62 Aggressive Growth Stock Portfolio 65 International Equity Portfolio 68 Index 400 Stock Portfolio 71 Growth Stock Portfolio 74 Growth and Income Stock Portfolio 77 Index 500 Stock Portfolio 80 Balanced Portfolio 83 High Yield Bond Portfolio 86 Select Bond Portfolio 89 Money Market Portfolio 92 Notes to Series Fund Financial Statements 95 Variable Life Financial Statements 98 Notes to Variable Life Financial Statements 103 Directors and Officers 117
HOW TO GET MORE INFORMATION ON YOUR VARIABLE COMPLIFE & VARIABLE LIFE POLICY NML Express provides 24 hour telephone access to your account information by dialing 1-800-519-4NML (1-800-519-4665) Policyowners must provide a policy number plus a Personal Identification Number (PIN) to utilize this service. Call toll-free to review policy values and portfolio performance. If a signed authorization has been returned to the Home Office, policyowners may also transfer among portfolios by phone. For more information about Northwestern Mutual Life, visit us on our Website at WWW.NORTHWESTERNMUTUAL.COM
LETTER TO POLICYOWNERS LETTER TO POLICYOWNERS July 31, 1999 During the first six months of 1999, the stock market and the economy continued their long-term positive trends. As bond yields have risen gradually but steadily over the last six months, bond prices have trended generally down. The portfolios underlying Northwestern Mutual's variable life policies continued to perform in line with their stated objectives, providing policyowners returns that will contribute to achieving long-term financial goals. In recent months we have introduced several new funds, which provide even more choice of investment objectives. Following the 1998 acquisition of Frank Russell Company by Northwestern Mutual, we have added five funds managed by Russell. These include the Multi-Style Equity Fund, the Aggressive Equity Fund, the Non-U.S. Fund, the Real Estate Securities Fund and the Core Bond Fund. These funds, their investment styles, and their performance are discussed in a section at the back of this publication. In addition, we have added two funds to the group traditionally offered by Northwestern Mutual. The new Small Cap Growth Stock Portfolio is managed in a style similar to that of the Aggressive Growth Stock portfolio, but with an emphasis on smaller-capitalization stocks. The Index 400 Stock Portfolio provides an opportunity to participate in the middle-capitalization segment of the market through a fund designed to match the performance of the S&P 400 MidCap Index. Economic expansion continued during the first half of 1999, as most of the problems that affected markets during the closing months of last year seemed to abate. Economies in Asia appear to have stabilized, and growth has resumed in most areas, spurring increased demand for raw materials such as oil and steel. This year, as in the last three years, forecasters began the year with expectations of a slowdown; early forecasts called for real growth of around 2 percent for the year. With continued positive economic news and Federal Reserve policy that seems to favor growth, though tempered with some concern about inflation, forecasts have moved upward. It now appears possible that growth in 1999 will be not much below last year's rate of more than 4 percent. The next time you receive a report of this type from us, we will have celebrated the beginning of a new millennium. Between now and then, businesses, governments and individuals throughout the world will be taking precautions to avoid possible disruptions caused by computer problems. At Northwestern Mutual, we have been preparing for the computer requirements associated with the approaching turn of the century since early 1996. We completed assessment of our internal systems in 1996, and we have worked with our vendors and business partners to identify and assess our potential exposure to problems they might encounter. We have now made the necessary changes and tested our systems, and each of our departments has prepared a contingency plan. We and our business partners bear all the costs of identifying and resolving issues associated with the year 2000; these costs will have no effect on the performance of your account. We believe that our systems are ready for the year 2000, but issues in this area carry the risk of unforeseen problems. Performance of the economy and investments of all types may also be affected by year 2000 issues. For example, it is possible that companies will purchase larger than normal amounts of inventory and supplies in the last months of 1999, in anticipation of possible problems early in 2000. If this happens, economic growth may appear artificially high at the end of this year, followed by a slowdown next year, as excess inventories are liquidated. Financial markets may be distorted by these and other non-recurring events. We have taken many precautions, in our investments and our business as a whole, to avoid problems that the turn of the century may bring, and we believe that any problems that occur will be short-term in duration. In this matter, as in all aspects of policy ownership, we urge you to take a long-term view, as we do. We hope that you will continue to do business with Northwestern Mutual in 2000 and for many years in the future. The Northwestern Mutual Life Insurance Company [SIGNATURE] James D. Ericson, President and Chief Executive Officer -- 1 PERFORMANCE SUMMARY PERFORMANCE SUMMARY as of June 30, 1999 VARIABLE LIFE--POLICIES ISSUED BEFORE OCTOBER 11, 1995
Growth & Small Cap Aggressive International Index 400 Growth Income Index 500 Total Return Growth Stock Growth Stk. Equity Stock Stock Stock Stock Balanced (as of 6/30/99) Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio - ------------------------------------------------------------------------------------------------------------------------- 1 year............. -- (13.50%) (16.21%) -- (3.72%) (3.48%) (1.08%) (8.17%) 5 years............ -- 88.79% 46.26% -- 134.22% 123.39% 166.55% 78.49% Annualized....... -- 13.55% 7.90% -- 18.56% 17.44% 21.66% 12.29% 10 years........... -- -- -- -- -- -- 275.92% 155.76% Annualized....... -- -- -- -- -- -- 14.16% 9.85% Since inception.... (2.14%)~ 80.35%* 42.76%* (14.63%)~ 131.26%* 118.33%* -- -- Annualized....... -- 12.11% 7.14% -- 17.65% 16.34% -- -- Current Yield##....
VARIABLE COMPLIFE--POLICES ISSUED ON OR AFTER OCTOBER 11, 1995** Without Surrender
Growth & Small Cap Aggressive International Index 400 Growth Income Index 500 Total Return Growth Stock Growth Stk. Equity Stock Stock Stock Stock Balanced (as of 6/30/99) Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio - ------------------------------------------------------------------------------------------------------------------------- 1 year............. -- (6.69%) (9.62%) -- 3.86% 4.13% 6.71% (0.95%) 5 years............ -- 104.49% 58.41% -- 153.70% 141.97% 188.71% 93.33% Annualized....... -- 15.38% 9.64% -- 20.47% 19.33% 23.62% 14.09% 10 years........... -- -- -- -- -- -- 309.27% 178.45% Annualized....... -- -- -- -- -- -- 15.13% 10.78% Since inception.... 5.47%~ 95.38%* 54.66%* (7.98%)~ 150.53%* 136.53%* -- -- Annualized....... -- 13.86% 8.81% -- 19.47% 18.15% -- -- Current Yield##....
VARIABLE COMPLIFE--POLICES ISSUED ON OR AFTER OCTOBER 11, 1995** With Surrender Charge
Growth & Small Cap Aggressive International Index 400 Growth Income Index 500 Total Return Growth Stock Growth Stk. Equity Stock Stock Stock Stock Balanced (as of 6/30/99) Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio - ------------------------------------------------------------------------------------------------------------------------- 1 year............. -- (46.46%) (49.39%) -- (35.91%) (35.64%) (33.06%) (40.72%) 5 years............ -- 56.56% 10.48% -- 105.77% 94.04% 140.78% 45.40% Annualized....... -- 9.38% 2.01% -- 15.52% 14.18% 19.21% 7.77% 10 years........... -- -- -- -- -- -- 270.58% 139.76% Annualized....... -- -- -- -- -- -- 14.00% 9.14% Since inception.... (34.30%)~ 49.32%* 8.60%* (47.75%)~ 104.48%* 90.47%* -- -- Annualized....... -- 8.08% 1.61% -- 14.86% 13.30% -- -- 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. # Inception date of 5/3/94. ** Product inception date of 10/11/95. Returns prior to 10/11/95 were reflected using the actual investment experience of each division, adjusted for the expenses of the product. These returns are not a guarantee of future performance. ~ Inception date of these portfolios 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. These returns are not a guarantee of future performance. + Inception date of these portfolios 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. These returns are not a guarantee of future performance. ## For the seven-day period ended June 30, 1999, the Money Market Portfolio's yield was 4.83% and was equivalent to a compound effective yield of 4.95%. 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. -- 2
Russell Russell Russell High Yield Select Money Multi-Style Aggressive Russell Real Estate Russell Total Return Bond Bond Market Equity Equity Non-U.S. Securities Core Bond (as of 6/30/99) Portfolio Portfolio Portfolio Fund+ Fund+ Fund+ Fund Fund+ - ------------------------------------------------------------------------------------------------------------------------- 1 year............. (24.81%) (16.71%) (15.42%) (3.45%) (23.25%) (13.69%) -- (17.71%) 5 years............ 27.53% 13.36% 1.60% -- -- -- -- -- Annualized....... 4.98% 2.54% 0.32% -- -- -- -- -- 10 years........... -- 66.97% 26.98% -- -- -- -- -- Annualized....... -- 5.26% 2.42% -- -- -- -- -- Since inception.... 28.79%* -- -- 47.75% 9.78% (3.41%) (20.26%)~ (7.19%) Annualized....... 5.03% -- -- 16.99% 3.82% (1.38%) -- (2.96%) Current Yield##.... 4.83%
Russell Russell Russell High Yield Select Money Multi-Style Aggressive Russell Real Estate Russell Total Return Bond Bond Market Equity Equity Non-U.S. Securities Core Bond (as of 6/30/99) Portfolio Portfolio Portfolio Fund+ Fund+ Fund+ Fund Fund+ - ------------------------------------------------------------------------------------------------------------------------- 1 year............. (18.89%) (10.15%) (8.77%) 4.15% (17.20%) (6.90%) -- (11.23%) 5 years............ 38.13% 22.78% 10.05% -- -- -- -- -- Annualized....... 6.67% 4.19% 1.93% -- -- -- -- -- 10 years........... -- 81.78% 38.24% -- -- -- -- -- Annualized....... -- 6.16% 3.29% -- -- -- -- -- Since inception.... 39.51%* -- -- 59.63% 18.61% 4.35% (14.05%)~ 0.27% Annualized....... 6.66% -- -- 20.68% 7.10% 1.73% -- 0.11% Current Yield##.... 4.83%
Russell Russell Russell High Yield Select Money Multi-Style Aggressive Russell Real Estate Russell Total Return Bond Bond Market Equity Equity Non-U.S. Securities Core Bond (as of 6/30/99) Portfolio Portfolio Portfolio Fund+ Fund+ Fund+ Fund Fund+ - ----------------------------------------------------------------------------------------------------------------------- 1 year............. (58.66%) (49.92%) (48.54%) (35.62%) (56.97%) (46.67%) -- (51.00%) 5 years............ (9.80%) (25.15%) (37.88%) -- -- -- -- -- Annualized....... (2.04%) (5.63%) (9.08%) -- -- -- -- -- 10 years........... -- 43.08% (0.45%) -- -- -- -- -- Annualized....... -- 3.65% (0.05%) -- -- -- -- -- Since inception.... (6.54%)* -- -- 15.80% (25.22%) (39.48%) (51.03%)~ (43.56%) Annualized....... (1.30%) -- -- 6.07% (11.03%) (18.28%) -- (20.54%) Current Yield##.... 4.83%
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. # Inception date of 5/3/94. ** Product inception date of 10/11/95. Returns prior to 10/11/95 were reflected using the actual investment experience of each division, adjusted for the expenses of the product. These returns are not a guarantee of future performance. ~ Inception date of these portfolios 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. These returns are not a guarantee of future performance. + Inception date of these portfolios 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. These returns are not a guarantee of future performance. ## For the seven-day period ended June 30, 1999, the Money Market Portfolio's yield was 4.83% and was equivalent to a compound effective yield of 4.95%. 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. -- 3 OVERVIEW AND OUTLOOK - -------------------------------------------------------------------------------- THE ECONOMY The current period of economic growth in the United States has now been in place since 1991, making it the longest peacetime expansion ever, and there are few signs that growth is abating. A 6.1 percent surge in gross domestic product in the fourth quarter pushed real growth for the full year 1998 up to 4.3 percent. Based on continued strength in the early months of this year, with real growth at a 5.2 percent pace in the first quarter, the consensus estimate for real growth in 1999 is now just below 4 percent. Highly encouraging are technology-driven productivity gains, which are especially beneficial because they enable profits to rise without price increases. Federal Reserve Chairman Alan Greenspan recently told Congress that the economy's potential non-inflationary growth rate was now 3 percent, with 2 percentage points attributable to improved productivity and the remaining percentage point to increased employment. Continued growth above this target rate, plus some concern about inflation, led to a quarter-point increase in interest rates by the Federal Reserve at the end of June. The relatively small move up was accompanied by a statement that the bias for the immediate future is neutral. This statement, along with reports of no inflation in May and June, indicates that monetary policy should be favorable for growth in the months ahead. Economic Growth and Inflation EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
REAL GDP CPI-U 1989 3.4% 4.6% 1990 1.3% 6.1% 1991 -1.0% 3.1% 1992 2.7% 2.9% 1993 2.3% 2.7% 1994 3.5% 2.7% 1995 2.0% 2.5% 1996 2.2% 3.3% 1997 3.8% 1.9% 1998 4.3% 1.7%
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 The domestic equity market continued its long-term upward trend during the first half of 1998, except for a modest correction in May and early June. This correction can probably be attributed to a Consumer Price Index report for April that suggested a pick-up in inflation. Inflation reports for May and June indicated that an inflation rate of zero pushed stock prices higher. For the 12 months ended June 1999, total return from the Standard & Poor's 500 Index was 22.9%; return for the last six months was 12.38%. Markets responded favorably to the Federal Reserve's interest rate increase in late June, mainly because of accompanying statements that eased fears of further tightening. Both the S&P 500 Index and the NASDAQ Composite ended June at record levels. Most foreign markets were strong, as well, benefiting from stability in Europe and a pronounced recovery from Asian financial crisis. This market strength has broadened in recent months to include stocks beyond the large growth stocks and technology favorites that have been driving market performance. The Russell 2000 Index, which measures the performance of smaller-capitalization issues, delivered a total return of 9.3% for the first six months of 1999, versus a negative 2.6% for all of 1998. Annual Total Returns from S&P 500 Index EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC 6/30/90 16.2% 6/30/91 7.3% 6/30/92 13.4% 6/30/93 13.6% 6/30/94 1.3% 6/30/95 25.9% 6/30/96 25.9% 6/30/97 34.6% 6/30/98 30.0% 6/30/99 22.7%
Source: Standard & Poor's - -------------------------------------------------------------------------------- THE BOND MARKET During the first six months of 1999, interest rates moved up steadily; by the end of June, the yield on 30-year Treasury bonds was 6.18%, up from 5.0% at the end of 1998. This movement was driven largely by the market's nervousness about higher inflation. Inflation fears were fueled by continued strong economic growth, accompanied by some signs of increasing inflation. The Federal Reserve's modest tightening at the end of June drove bond prices up because the Fed announced it did not expect to further tighten monetary policy in the near term. During the first calendar quarter of 1999, signs of economic recovery in emerging markets and continued strength in the U.S. economy led to a reversal of the flight to quality that characterized the bond market in late 1998, making Treasury securities the worst performing class of bonds for the quarter. In the second quarter, spreads between corporate and government bonds widened, resulting in relatively poor performance for corporate bonds and other spread securities. Mortgages performed well in the first quarter, as rising rates quelled fears of prepayment; they underperformed in the second quarter, as volatility increased and durations lengthened in a declining market. Annual Total Returns from Merrill Lynch Domestic Master Index EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
6/30/90 7.3% 6/30/91 10.9% 6/30/92 14.1% 6/30/93 11.9% 6/30/94 -1.0% 6/30/95 12.6% 6/30/96 5.0% 6/30/97 8.2% 6/30/98 10.7% 6/30/99 3.1%
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. -- 6 PERFORMANCE SUMMARY PERFORMANCE SUMMARY as of June 30, 1999 VARIABLE EXECUTIVE LIFE--POLICIES FIRST OFFERED ON MARCH 2, 1998***
Growth & Small Cap Aggressive International Index 400 Growth Income Index 500 Total Return Growth Stock Growth Stk. Equity Stock Stock Stock Stock Balanced (as of 6/30/99) Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio - -------------------------------------------------------------------------------------------------------------------------- 1 year.............. -- (13.42%) (16.17%) -- (3.53%) (3.29%) (0.86%) (8.04%) 5 years............. -- 88.83% 46.01% -- 134.75% 123.81% 167.38% 78.52% Annualized........ -- 13.56% 7.86% -- 18.61% 17.48% 21.74% 12.29% 10 years............ -- -- -- -- -- -- 275.36% 154.66% Annualized........ -- -- -- -- -- -- 14.14% 9.80% Since inception..... (1.59%)~ 80.60%* 42.68%* (14.12%)~ 132.02%* 118.97%* -- -- Annualized........ -- 12.13% 7.13% -- 17.71% 16.40% -- -- Current yield##.....
VARIABLE EXECUTIVE LIFE--POLICIES FIRST OFFERED ON MARCH 2, 1998***
Growth & Total Return Small Cap Aggressive International Index 400 Growth Income Index 500 with surrender Growth Stock Growth Stk. Equity Stock Stock Stock Stock Balanced (as of 6/30/99) Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio - -------------------------------------------------------------------------------------------------------------------------- 1 year.............. -- 1.58% (1.17%) -- 11.47% 11.71% 14.14% 6.96% 5 years............. -- 88.83% 46.01% -- 134.75% 123.81% 167.38% 78.52% Annualized........ -- 13.56% 7.86% -- 18.61% 17.48% 21.74% 12.29% 10 years............ -- -- -- -- -- -- 275.36% 154.66% Annualized........ -- -- -- -- -- -- 14.14% 9.80% Since inception..... 13.41%~ 80.60%* 42.68%* 0.88%~ 132.02%* 118.97%* -- -- Annualized........ -- 12.13% 7.13% -- 17.71% 16.40% -- -- Current yield##.....
VARIABLE JOINT LIFE--POLICIES FIRST OFFERED ON DECEMBER 28, 1998****
Growth & Small Cap Aggressive International Index 400 Growth Income Index 500 Total Return Growth Stock Growth Stk. Equity Stock Stock Stock Stock Balanced (as of 6/30/99) Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio - -------------------------------------------------------------------------------------------------------------------------- 1 year.............. -- (5.30%) (8.34%) -- 5.64% 5.91% 8.59% 0.65% 5 years............. -- 97.31% 52.14% -- 145.93% 134.34% 180.52% 86.46% Annualized........ -- 14.56% 8.76% -- 19.72% 18.57% 22.91% 13.27% 10 years............ -- -- -- -- -- -- 269.14% 149.38% Annualized........ -- -- -- -- -- -- 13.95% 9.57% Since inception..... 8.81%~ 88.71%* 48.68%* (5.05%)~ 143.07%* 129.28%* -- -- Annualized........ -- 13.09% 7.99% -- 18.78% 17.44% -- -- Current yield##.....
VARIABLE JOINT LIFE--POLICIES FIRST OFFERED ON DECEMBER 28, 1998****
Growth & Total Return Small Cap Aggressive International Index 400 Growth Income Index 500 with surrender Growth Stock Growth Stk. Equity Stock Stock Stock Stock Balanced (as of 6/30/99) Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio - -------------------------------------------------------------------------------------------------------------------------- 1 year.............. -- (55.30%) (58.34%) -- (44.36%) (44.09%) (41.41%) (49.35%) 5 years............. -- 69.53% 24.37% -- 118.15% 106.56% 152.74% 58.68% Annualized........ -- 11.13% 4.46% -- 16.88% 15.61% 20.37% 9.67% 10 years............ -- -- -- -- -- -- 269.14% 149.38% Annualized........ -- -- -- -- -- -- 13.95% 9.57% Since inception..... (41.19%)~ 61.85%* 21.82%* (55.05%)~ 116.22%* 102.43%* -- -- Annualized........ -- 9.78% 3.90% -- 16.11% 14.64% -- -- 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. * Inception date of 5/3/94. *** 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. These returns are not a guarantee of future performance. **** Policy first offered 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. These returns are not a guarantee of future performance. ~ Inception date of these portfolios 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. These returns are not a guarantee of future performance. + Inception date of these portfolios 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. These returns are not a guarantee of future performance. ## For the seven-day period ended June 30, 1999, the Money Market Portfolio's yield was 4.83% and was equivalent to a compound effective yield of 4.95%. 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. -- 4
High Russell Russell Russell Yield Select Money Multi-Style Aggressive Russell Real Estate Russell Bond Bond Market Equity Equity Non-U.S. Securities Core Bond Portfolio Portfolio Portfolio Fund+ Fund+ Fund+ Fund Fund+ - ------------------------------------------------------------------------------------------------- (24.87%) (16.67%) (15.37%) (3.26%) (23.28%) (13.62%) -- (17.68%) 27.14% 12.95% 1.15% -- -- -- -- -- 4.92% 2.47% 0.23% -- -- -- -- -- -- 65.66% 24.72% -- -- -- -- -- -- 5.18% 2.23% -- -- -- -- -- 28.54%* -- -- 48.63% 10.12% (3.15%) (19.82%)~ (6.92%) 4.98% -- -- 17.25% 3.95% (1.28%) -- (2.84%) 4.83%
High Russell Russell Russell Yield Select Money Multi-Style Aggressive Russell Real Estate Russell Bond Bond Market Equity Equity Non-U.S. Securities Core Bond Portfolio Portfolio Portfolio Fund+ Fund+ Fund+ Fund Fund+ - ------------------------------------------------------------------------------------------------- (9.87%) (1.67%) (0.37%) 11.74% (8.28%) 1.38% -- (2.68%) 27.14% 12.95% 1.15% -- -- -- -- -- 4.92% 2.47% 0.23% -- -- -- -- -- -- 65.66% 24.72% -- -- -- -- -- -- 5.18% 2.23% -- -- -- -- -- 28.54%* -- -- 48.63% 10.12% (3.15%) (4.82%)~ (6.92%) 4.98% -- -- 17.25% 3.95% (1.28%) -- (2.84%) 4.83%
High Russell Russell Russell Yield Select Money Multi-Style Aggressive Russell Real Estate Russell Bond Bond Market Equity Equity Non-U.S. Securities Core Bond Portfolio Portfolio Portfolio Fund+ Fund+ Fund+ Fund Fund+ - ------------------------------------------------------------------------------------------------- (17.95%) (8.89%) (7.45%) 5.94% (16.20%) (5.51%) -- (10.00%) 32.27% 17.33% 4.91% -- -- -- -- -- 5.75% 3.25% 0.96% -- -- -- -- -- -- 61.39% 21.06% -- -- -- -- -- -- 4.90% 1.93% -- -- -- -- -- 33.72%* -- -- 61.09% 18.95% 4.50% (11.35%)~ 0.49% 5.79% -- -- 21.10% 7.22% 1.78% -- 0.20% 4.83%
High Russell Russell Russell Yield Select Money Multi-Style Aggressive Russell Real Estate Russell Bond Bond Market Equity Equity Non-U.S. Securities Core Bond Portfolio Portfolio Portfolio Fund+ Fund+ Fund+ Fund Fund+ - ------------------------------------------------------------------------------------------------- (67.95%) (58.89%) (57.45%) (44.06%) (66.20%) (55.51%) -- (60.00%) 4.49% (10.45%) (22.87%) -- -- -- -- -- 0.88% (2.18%) (5.06%) -- -- -- -- -- -- 61.39% 21.06% -- -- -- -- -- -- 4.90% 1.93% -- -- -- -- -- 6.87%* -- -- 19.43% (22.72%) (37.17%) (61.35%)~ (41.18%) 1.30% -- -- 7.39% (9.83%) (17.03%) -- (19.19%) 4.83%
-- 5 SMALL CAP GROWTH STOCK PORTFOLIO - -------------------------------------------------------------------------------- Objective: Portfolio Strategy: Invested Assets: Maximum long-term appreciation of Strive for the highest possible rate of capital $12,993,000 capital appreciation by investing in companies with potential for rapid growth.
SMALL CAP GROWTH STOCK PORTFOLIO The Small Cap Growth Stock Portfolio owns the stocks of emerging growth companies. The Portfolio is managed with a target of $1 billion median market capitalization; holdings include both larger and smaller companies. Since portfolios of small-capitalization stocks tend to react strongly to changes in financial and economic markets, as well as to changes in the prospects for individual companies, returns of this Portfolio can vary considerably from time to time. A higher level of risk (with risk defined as variability of returns over time) is accepted for the potential of greater long-term returns. The focus in stock selection is on the individual companies' ability to generate revenue, expanding profit margins and solid balance sheets; industry sector selection is of secondary importance. This new Portfolio, which began operations April 30,1999, benefited in its first two months from a very healthy environment for small-capitalization stocks, especially in the technology sector. Clarify, Kent Electronics, QLogic and PMC Sierra were among the stocks that contributed to the fund's strong performance. The largest concentration of holdings is in technology, an industry that has become famous for its growth potential. Other industry themes include consumer cyclicals, which benefit from a positive consumer environment, and business services, where the trend to outsourcing is creating growth opportunities. Sector Allocation EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC TECHNOLOGY 34% CONSUMER CYCLICAL 14% FINANCE 9% ENERGY 9% INDUSTRIAL & TRANSPORTATION 8% BUSINESS SERVICES 6% CONSUMER STAPLES 5% HEALTH CARE 4% RUSSELL 2000 INDEX FUTURES 5% SHORT-TERM INVESTMENTS 6%
TOP 10 HOLDINGS 6/30/99 EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC COMPANY % OF NET ASSETS KENT ELECTRONICS CORPORATION 3.2% QLOGIC CORPORATION 2.7% CLARIFY, INC. 2.6% DYCOM INDUSTRIES, INC. 2.5% SEMETECH CORPORATION 2.4% GREAT PLAINS SOFTWARE, INC. 2.3% PMC-SIERRA, INC. 2.1% CYMER, INC. 2.1% THE CORPORATE EXECUTIVE BOARD COMPANY 2.1% CITADEL COMMUNICATIONS CORPORATION 2.0%
PERFORMANCE RELATIVE TO RELEVANT INDICES EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
SMALL CAP GROWTH S&P 600 RUSSELL 2000 PORTFOLIO INDEX INDEX 4/99 $10,000 $10,000 $10,000 6/99 12,090 10,826 10,605 AVERAGE ANNUAL TOTAL RETURN FOR THE TWO MONTHS ENDED JUNE 30, 1999 SINCE INCEPTION Small Cap Stock Portfolio 20.90% S&P 600 Index 8.26% Russell 2000 Index 6.05%
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, 1999, the 600 companies in the composite had median market capitalization of $483 million and total market value of $357 billion. The SmallCap 600 represents approximately 2% of the market value of S&P's database of over 8,200 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 the latest reconstitution, 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 the latest reconstitution, 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 return 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 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1999
MARKET SHARES/ VALUE COMMON STOCK (88.5%) PAR (000'S) - --------------------------------------------------------------------------------- BASIC MATERIALS (1.7%) Cambrex Corporation 8,400 $ 221 ----------- BUSINESS SERVICES (3.7%) *The Corporate Executive Board Company. 7,500 267 *Steiner Leisure, Ltd. 7,100 215 ----------- TOTAL 482 ----------- CAPITAL GOODS (3.7%) *Dycom Industries, Inc. 5,700 319 Kaydon Corporation 4,900 165 ----------- TOTAL 484 ----------- COMMUNICATION SERVICES (1.8%) *Crown Castle International Co. 11,100 231 ----------- CONSUMER CYCLICAL (13.6%) *99 Cents Only Stores 4,400 220 *Catalina Marketing Corporation 2,300 212 *David's Bridal Inc. 8,300 129 *Dollar Tree Stores, Inc. 4,600 202 Fastenal Company 4,200 220 *Getty Images, Inc. 9,000 170 *Linens 'N Things, Inc. 5,100 223 *Sonic Automotive, Inc. 11,700 161 *Tower Automotive, Inc. 9,100 231 ----------- TOTAL 1,768 ----------- CONSUMER STAPLES (5.4%) *American Italian Pasta Co. - CL A 7,300 222 *Citadel Communications Corporation 7,300 264 *Westwood One Inc. 6,100 218 ----------- TOTAL 704 ----------- ENERGY (9.4%) *Barrett Resources Corporation 6,500 249 *Basin Exploration Inc. 11,800 237 *Global Industries, Ltd. 18,100 232 *Nabors Industries, Inc. 10,000 244 *Stone Energy Corporation 6,000 254 ----------- TOTAL 1,216 ----------- FINANCE (8.5%) Investors Financial Services Corp. 5,900 236 *Prism Financial Corporation 12,300 251 MARKET SHARES/ VALUE COMMON STOCK (88.5%) PAR (000'S) - --------------------------------------------------------------------------------- FINANCE (CONTINUED) Radian Group Inc. 4,500 $ 220 *Trammell Crow Company 9,200 151 Waddell & Reed Financial, Inc. 9,100 250 ----------- TOTAL 1,108 ----------- HEALTHCARE (3.9%) *Patterson Dental Company 5,100 177 *Sybron International Corporation 8,000 221 *Wesley Jessen VisionCare, Inc. 3,300 107 ----------- TOTAL 505 ----------- TECHNOLOGY (33.9%) *Advent Software Inc. 3,200 214 *CBT Group Public Limited Company 13,700 226 *CDW Computer Centers, Inc. 4,900 216 *Clarify Inc. 8,100 334 *Complete Business Solutions, Inc. 600 11 *Copper Mountain Networks 1,400 108 *Cymer, Inc. 10,800 270 *Dionex Corporation 4,900 198 *Etec Systems, Inc. 6,900 229 *Great Plains Software, Inc. 6,300 297 *Inet Technologies Inc. 3,400 82 *Kent Electronics Corporation 20,900 414 *Northpoint Communications 3,700 135 *Onesource Information Service 2,400 21 *PMC-Sierra, Inc. 4,600 271 *QLogic Corporation 2,700 356 *Ramp Networks Inc 1,400 20 *Scient Corporation 2,200 105 *Semtech Corporation 5,900 308 *Viant Corporation 4,700 165 *Visio Corporation 4,400 167 *Whittman-Hart Inc. 7,900 251 ----------- TOTAL 4,398 ----------- TRANSPORTATION (2.9%) *Knight Transportation, Inc. 8,200 175 *Swift Transportation Co., Inc. 9,300 205 ----------- TOTAL 380 ----------- TOTAL COMMON STOCK 11,497 -----------
-- 8 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1999
MARKET VALUE MONEY MARKET INVESTMENTS (9.2%) PAR (000'S) - --------------------------------------------------------------------------------- FEDERAL GOVERNMENT AND AGENCIES (0.8%) #Federal National Mortgage Association, 4.829%, 09/22/99 100,000 $ 99 ----------- PERSONAL CREDIT INSTITUTIONS (8.4%) General Electric Capital Corporation, 5.70%, 07/01/99 1,100,000 1,100 ----------- TOTAL MONEY MARKET INVESTMENTS 1,199 ----------- TOTAL INVESTMENTS (97.7%) (COST $11,354,653)^ 12,696 OTHER ASSETS, LESS LIABILITIES (2.3%) 297 ----------- TOTAL NET ASSETS (100.0%) $ 12,993 -----------
* Non-Income Producing ADR-American Depository Receipt ^At June 30, 1999, the aggregate cost of securities for federal income tax purposes was $11,354,653 and the net unrealized appreciation of investments based on that cost was $1,341,327 which was comprised of $1,455,720 aggregate gross unrealized appreciation and $114,393 aggregate gross unrealized depreciation. #Partially held by the custodian in a segregated account as collateral for open futures positions. Information regarding open futures contracts as of June 30, 1999 is summarized below:
UNREALIZED NUMBER OF EXPIRATION APPRECIATION ISSUER CONTRACTS DATE (000'S) - ------------------------------------------------------------ Russell 2000 Future 3 9/99 $19 Index (Total Notional Value at 6/30/99, $674,025)
The Accompanying Notes are an Integral Part of the Financial Statements. (Prepared from Unaudited Figures) -- 9 AGGRESSIVE GROWTH STOCK PORTFOLIO - -------------------------------------------------------------------------------- Objective: Portfolio Strategy: Invested Assets: Maximum long-term appreciation of Strive for the highest possible rate of capital $1,147,356,000 capital appreciation by investing in companies with potential for rapid growth.
AGGRESSIVE GROWTH STOCK PORTFOLIO The Aggressive Growth Stock Portfolio owns the stocks of growth companies, generally with market capitalizations of less than $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 Portfolio can vary considerably from time to time. A higher level of risk (with risk defined as variability of returns over time) is accepted for the potential of greater long-term returns. The focus in stock selection is on the individual companies' ability to generate revenue, expanding profit margins and solid balance sheets; industry sector selection is of secondary importance. During the first half of 1999, the portfolio benefited from a broadening of the market's strength, which had previously been concentrated in large-company stocks and technology issues. Increased energy holdings have contributed to performance in recent months, as recovering economies in Asia increased demand for energy, as well as for a broad range of goods. A top performer was Qlogic, which provides integrated circuits, which enable high-speed communication from processors to peripherals. Other holdings that contributed to results were consumer cyclical stocks, particularly retailers, and service providers that benefit from the trend to outsourcing by businesses. Sector Allocation EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC TECHNOLOGY 34% CONSUMER CYCLICAL 22% INDUSTRIAL & TRANSPORTATION 10% HEALTH CARE 8% CONSUMER STAPLES 6% FINANCE 6% BUSINESS SERVICES 5% ENERGY 5% SHORT-TERM INVESTMENTS 4%
TOP 10 HOLDINGS 6/30/99 EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC COMPANY % OF NET ASSETS UNIPHASE CORPORATION 3.5% CATALINA MARKETING CORPORATION 2.6% COMVERSE TECHNOLOGY, INC. 2.6% GEMSTAR INTERNATIONAL GROUP LIMITED 2.5% KNIGHT/TRIMARK GROUP, INC. 2.5% O'REILLY AUTOMOTIVE, INC. 2.4% TELLABS, INC. 2.3% SANMINA CORPORATION 2.2% PMC-SIERRA, INC. 2.1% CINTAS CORPORATION 2.1%
PERFORMANCE RELATIVE TO RELEVANT INDICES EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
AGGRESSIVE GROWTH STOCK WILSHIRE SMALL WILSHIRE NEXT PORTFOLIO CAP INDEX 1750 INDEX 11/90 $10,000 $10,000 $10,000 6/91 12,593 13,285 13,187 6/92 13,994 15,635 15,209 6/93 17,133 19,477 19,263 6/94 19,354 20,158 19,830 6/95 24,448 24,087 24,180 6/96 35,003 29,133 30,111 6/97 36,545 36,609 35,173 6/98 43,439 43,990 42,257 6/99 46,685 47,355 43,436 AVERAGE ANNUAL TOTAL RETURN FOR PERIODS ENDED JUNE 30, 1999 ONE YEAR FIVE YEARS SINCE INCEPTION Aggressive Growth Stock Portfolio 7.47% 19.26% 19.66% Wilshire Small Cap Index 7.65% 18.63% 19.86% Wilshire Next 1750 Index 2.79% 16.98% 18.66% S&P MidCap 400 Index 17.17% 22.27% 21.63% S&P 400 INDEX 11/90 $10,000 6/91 13,070 6/92 15,305 6/93 19,664 6/94 19,652 6/95 24,042 6/96 29,233 6/97 36,050 6/98 45,838 6/99 53,708 AVERAGE ANNUAL TOTAL RETURN FOR PERIODS ENDED JUNE 30, 1999 Aggressive Growth Stock Portfolio Wilshire Small Cap Index Wilshire Next 1750 Index S&P MidCap 400 Index
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. Because the average market capitalization of the Aggressive Growth Fund has recently increased, the S&P MidCap 400 Index is more representative of the current composition of this Portfolio than the Wilshire Next 1750 Index and Wilshire Small Cap Index, which are the small-capitalization indices used in the past. The Wilshire Next 1750 is an unmanaged, equally weighted index. Included in this index are those stocks which are ranked 750 to 2500 by market capitalization in the Wilshire 5000. The largest sectors represented in this index are technology, financial services and consumer services. Market capitalization ranges from $1.8 billion to $244 million. The Wilshire Small Cap Index is a subset of the Wilshire Next 1750 and includes 250 stocks chosen based upon their size, sector and liquidity characteristics. Each stock is equally weighted in this unmanaged index. The average market capitalization is approximately $930 million. The largest sector weightings include technology, financial services, and consumer services. On May 3, 1994, the Northwestern Mutual Aggressive Growth Stock Fund, Inc. (the "Fund") merged into the Northwestern Mutual Series Fund, Inc. Aggressive Growth Stock Portfolio (the "Portfolio"). The Portfolio had no assets prior to the merger. After the merger, the assets of the Portfolio were those of the Fund. The investment objectives, policies, management and expenses of the Portfolio are identical to those of the Fund. Accordingly, the performance of the Fund prior to the merger is included with the performance of the Portfolio in the graph and total return figures above. This chart assumes an initial investment of $10,000 made on 11/30/90 (commencement of the Fund's operations). Returns shown include deductions for management and other fund expenses, and reinvestment of all dividends. Returns exclude deductions for separate account sales loads and account fees. Past performance is not predictive of future performance. Investment return and principal value will fluctuate, so that your shares, when redeemed, may be worth more or less than their original cost. 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 return significantly lower. Investors are urged to obtain a personalized illustration of historical performance which reflects the cost of insurance protection. -- 10 AGGRESSIVE GROWTH STOCK PORTFOLIO NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1999
MARKET SHARES/ VALUE COMMON STOCK (96.1%) PAR (000'S) - --------------------------------------------------------------------------------- BASIC MATERIALS (0.9%) Cambrex Corporation 402,700 $ 10,571 ----------- BUSINESS SERVICES (3.6%) *The Corporate Executive Board Company 244,500 8,695 *Interim Services, Inc. 355,200 7,326 *Metzler Group, Inc. 335,050 9,256 *Steiner Leisure, Ltd. 521,550 15,809 ----------- TOTAL 41,086 ----------- CAPITAL GOODS (7.6%) *Jabil Circuit, Inc. 494,500 22,314 Kaydon Corporation 323,400 10,874 *Republic Services, Inc. 523,200 12,949 *Sanmina Corporation 326,300 24,758 *Tetra Tech, Inc. 848,678 14,003 *Triumph Group, Inc. 100,000 2,550 ----------- TOTAL 87,448 ----------- COMMUNICATION SERVICES (1.1%) *Crown Castle International Co. 602,300 12,535 ----------- CONSUMER CYCLICAL (21.8%) *99 Cents Only Stores 339,775 16,968 *Abercrombie & Fitch Co. 224,200 10,762 *Catalina Marketing Corporation 325,200 29,918 Cintas Corporation 356,900 23,979 *Dollar Tree Stores, Inc. 385,200 16,949 Fastenal Company 224,800 11,788 Galileo International, Inc. 380,200 20,317 *Getty Images, Inc. 646,100 12,195 *Kohl's Corporation 259,300 20,015 *Linens 'N Things, Inc. 332,700 14,556 *O'Reilly Automotive, Inc. 545,500 27,479 *Office Depot Inc. 200,000 4,412 Royal Caribbean Ltd. 143,400 6,274 *Sonic Automotive, Inc. 892,800 12,276 Stewart Enterprises, Inc. 395,500 5,759 *Tower Automotive, Inc. 590,700 15,026 ----------- TOTAL 248,673 ----------- CONSUMER STAPLES (6.3%) *American Italian Pasta Co. -CL A 154,500 4,693 *American Tower Corporation 316,100 7,586 Cardinal Health, Inc. 73,700 4,726 *Chancellor Media Corp. 221,600 12,216 *Clear Channel Communications, Inc. 287,200 19,799 *Infinity Broadcasting 271,800 8,086 *Lamar Advertising, Co. 374,500 15,331 ----------- TOTAL 72,437 ----------- ENERGY (4.8%) Anadarko Petroleum Corporation 325,700 11,990 *Global Industries, Ltd. 637,000 8,162 MARKET SHARES/ VALUE COMMON STOCK (96.1%) PAR (000'S) - --------------------------------------------------------------------------------- ENERGY (CONTINUED) *Nabors Industries, Inc. 525,000 $ 12,830 Santa Fe International Corp. 418,100 9,616 *Weatherford International, Inc. 345,700 12,661 ----------- TOTAL 55,259 ----------- FINANCE (6.3%) GreenPoint Financial Corp. 379,936 12,467 Investors Financial Services Corp. 410,800 16,432 *Knight/Trimark Group, Inc. 465,400 28,069 Radian Group Inc. 169,100 8,254 *Trammell Crow Company 455,900 7,494 ----------- TOTAL 72,716 ----------- HEALTHCARE (8.2%) Bausch & Lomb, Inc. 220,700 16,884 *Elan Corp. Plc., ADR 154,800 4,296 *Patterson Dental Company 386,125 13,418 *Province Healthcare 301,200 5,873 *PSS World Medical, Inc. 492,700 5,512 *Quintiles Transnational Corp. 410,400 17,237 *Sybron International Corporation 644,200 17,756 *VISX, Inc. 42,600 3,373 *Wesley Jessen VisionCare, Inc. 314,000 10,166 ----------- TOTAL 94,515 ----------- TECHNOLOGY (34.3%) *Acxiom Corporation 450,000 11,222 *CBT Group Public Limited Company 117,000 1,931 *CDW Computer Centers, Inc. 205,000 9,020 *Complete Business Solutions, Inc. 71,800 1,288 *Comverse Technology, Inc. 388,650 29,343 *Concord EFS, Inc. 394,450 16,690 *Conexant Systems, Inc. 181,100 10,515 *CSG Systems International, Inc. 46,900 1,228 *DST Systems, Inc. 280,800 17,655 *Etec Systems, Inc. 274,600 9,130 *Fiserv, Inc. 303,750 9,511 *Gemstar International Group Limited 440,400 28,736 *Great Plains Software, Inc. 144,500 6,819 *Microchip Technology, Inc. 388,600 18,410 *Network Appliance Inc. 11,000 615 *Northpoint Communications 64,700 2,362 *Novellus Systems, Inc. 154,300 10,531 Paychex, Inc. 250,300 7,978 *Peregrine Systems, Inc. 182,500 4,688 *PMC-Sierra, Inc. 413,200 24,353 *Proxicom Inc. 51,000 1,310 *Qlogic Corporation 178,300 23,536 *Semtech Corporation 344,900 17,978 *Sterling Software, Inc. 665,300 17,755 *Synopsys, Inc. 242,200 13,366
-- 11 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1999
MARKET SHARES/ VALUE COMMON STOCK (96.1%) PAR (000'S) - --------------------------------------------------------------------------------- TECHNOLOGY (CONTINUED) *Tellabs, Inc. 389,000 $ 26,282 *Transaction Systems Architects, Inc. 314,900 12,281 *Uniphase Corporation 243,200 40,371 *VeriSign, Inc. 64,600 5,572 *Vignette Corporation 25,000 1,875 *Visio Corporation 300,000 11,419 ----------- TOTAL 393,770 ----------- TRANSPORTATION (1.2%) *Swift Transportation Co., Inc. 610,200 13,424 ----------- TOTAL COMMON STOCK 1,102,434 -----------
MONEY MARKET INVESTMENT (3.8%) - --------------------------------------------------------------------------------- FEDERAL GOVERNMENT AND AGENCIES (.2%) Federal Home Loan Mortgage Corp., 4.73%, 09/08/99 2,000,000 1,980 ----------- FINANCE LESSOR (1.0%) Variable Funding Capital Corp., 5.05%, 07/21/99 12,000,000 11,966 ----------- MARKET VALUE MONEY MARKET INVESTMENT (3.8%) PAR (000'S) - --------------------------------------------------------------------------------- FINANCE SERVICES (1.0%) Ciesco LP, 5.12%, 07/27/99 12,000,000 $ 11,956 ----------- PERSONAL CREDIT INSTITUTIONS (1.6%) General Electric Capital Corporation, 5.70%, 07/01/99 6,200,000 6,200 Household Finance Company, 4.97%, 07/14/99 11,900,000 11,879 ----------- TOTAL 18,079 ----------- TOTAL MONEY MARKET INVESTMENTS 43,981 ----------- TOTAL INVESTMENTS (99.9%) (COST $761,026,280)^ 1,146,415 OTHER ASSETS, LESS LIABILITIES (0.1%) 941 ----------- TOTAL NET ASSETS (100.0%) $1,147,356 -----------
* Non-Income Producing ADR-American Depository Receipt ^ At June 30, 1999, the aggregate cost of securities for federal income tax purposes was $761,026,280 and the net unrealized appreciation of investments based on that cost was $385,388,751 which is comprised of $408,950,180 aggregate gross unrealized appreciation and $23,561,429 aggregate gross unrealized depreciation. The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) -- 12 INTERNATIONAL EQUITY PORTFOLIO - -------------------------------------------------------------------------------- Objective: Portfolio Strategy: Invested Assets: Long-term appreciation of capital Participate in the growth of foreign economies by $700,370,000 through diversification into investing in securities with high long-term earnings markets outside the United States potential relative to current market values.
INTERNATIONAL EQUITY PORTFOLIO The International Equity Portfolio offers contract owners the opportunity to participate in the growth of companies in countries throughout the world, particularly those with expanding economies. In selecting investments, the principal focus is on identifying undervalued stocks of companies with strong finances and good long-term growth opportunities, rather than on choosing regions of the world in which to invest. The Portfolio is normally fully invested in equity securities. The first half of 1999 was a far more favorable period for value-oriented international investors than the preceding period. Evidence of economic recovery became increasingly apparent in Asia. Japan's remarkably strong first quarter growth, along with a series of corporate restructuring announcements in Japan, have led many investors to believe that the country's business leaders are finally coming to grips with their 11-year malaise. Thailand and Indonesia have instituted reforms that appear to be providing a foundation of an economic recovery. Markets in Latin America have begun to recover in response to improved commodity prices and more stable currencies. In contrast, economies of many European countries showed signs of weakness, and the value of the Euro has dropped steadily since it was introduced in January. Because of the weakness in the Euro, many European markets reported losses on a U.S. dollar basis, even though they were up in local currency terms. The notable exceptions were the countries that have not joined the monetary union, including Sweden, Norway, and the UK; markets of these nations all appreciated in both local and U.S. dollar terms during the period. The Portfolio's allocation to the U.K., which represents the largest European country weighting at 18.4%, was therefore advantageous. Europe as a whole is currently underweighted in the Portfolio relative to the Europe-Australasia-Far East (EAFE) Index, with which it is compared. Overall performance benefited from strong rallies in Asian and Latin American equities, which sparked a rebound in cyclical stocks and energy companies. One of the fund's largest holdings, British Steel, was also one of the top performers during the period, posting a 82.7% gain. Excellent performance was also registered by Telefonos de Mexico and the Argentine energy company YPF, which was the target of a takeover bid. The International Equity Portfolio is managed for Northwestern Mutual by Templeton Investment Counsel, Inc. Asset Allocation 6/30/99 EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC EUROPE 53% LATIN AMERICA 11% ASIA 17% AUSTRALIA/NEW ZEALAND 6% NORTH AMERICA 6% OTHER 1% SHORT-TERM INVESTMENTS 6%
Top 10 Holdings 6/30/99 EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC COMPANY COUNTRY % OF NET ASSETS MERITA LIMITED "A" Finland 2.0% BRITISH STEEL PLC U.K. 2.0% AXA-UAP SA France 1.9% VOLVO AKTIEBOLAGET, B FREE Sweden 1.8% TELEFONOS DE MEXICO SA, ADR Mexico 1.8% UNIDANMARK A/S, "A", REGISTERED Denmark 1.7% NYCOMED AMERSHAM PLC U.K. 1.7% THE NOMURA SECURITIES CO., LTD. Japan 1.7% SHELL TRANSPORT & TRADING COMPANY PLC U.K. 1.6% THE WEIR GROUP PLC U.K. 1.6%
Performance Relative to the EAFE Index EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
INTERNATIONAL EQUITY PORTFOLIO EAFE INDEX 4/93 $10,000 $10,000 6/93 $10,118 $10,060 6/94 $12,155 $11,801 6/95 $13,487 $12,032 6/96 $15,569 $13,670 6/97 $19,751 $15,471 6/98 $21,822 $16,458 6/99 $22,715 $17,761 AVERAGE ANNUAL TOTAL RETURN FOR PERIODS ENDED JUNE 30, 1999 ONE YEAR FIVE YEARS SINCE INCEPTION International Equity Portfolio 4.09% 13.32% 14.22% EAFE Index 7.92% 8.52% 9.76%
As depicted in the graph, the International Equity Portfolio is compared against the Morgan Stanley Capital International EAFE (Europe-Australasia-Far East) Index. The index is composed of approximately 1100 companies in 20 countries in Europe and the Pacific Basin. The objective of the index is to reflect the movements of stock markets in these countries by representing an unmanaged (indexed) portfolio within each country. The indices are constructed so that companies chosen represent about 60% of market capitalization in each market; industry composition of the market is reflected; and a cross section of large, medium, and small capitalization stocks is included, taking into account liquidity concerns. The index is calculated in U. S. dollars. On May 3, 1994, the Northwestern Mutual International Equity Fund, Inc. (the "Fund") merged into the Northwestern Mutual Series Fund, Inc., International Equity Portfolio (the "Portfolio"). The Portfolio had no assets prior to the merger. After the merger, the assets of the Portfolio were those of the Fund. The investment objectives, policies, management and expenses of the Portfolio are identical to those of the Fund. Accordingly, the performance of the Fund prior to the merger is included with the performance of the Portfolio in the graph and total return figures above. This chart assumes an initial investment of $10,000 made on 4/30/93 (commencement of the Fund's operations). Returns shown include deductions for management and other fund expenses, and reinvestment of all dividends. Returns exclude deductions for separate account sales loads and account fees. Past performance is not predictive of future performance. Investment return and principal value will fluctuate, so that your shares, when redeemed, may be worth more or less than their original cost. 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 return significantly lower. Investors are urged to obtain a personalized illustration of historical performance which reflects the cost of insurance protection. -- 13 INTERNATIONAL EQUITY PORTFOLIO NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1999
MARKET SHARES/ VALUE COMMON STOCK (93.8%) COUNTRY PAR (000'S) - ------------------------------------------------------------------ CAPITAL EQUIPMENT (6.4%) Alcatel, ADR France 206,000 $ 5,845 Alcatel, DG France 40,000 5,631 Hong Kong Aircraft & Engineering Hong Kong 2,680,700 5,183 Invensys PLC United Kingdom 107,832 510 Philips Electronics , Inc. Netherlands 57,960 5,717 Rolls- Royce PLC United Kingdom 1,806,900 7,647 Sirti SPA Italy 643,000 3,103 The Weir Group PLC United Kingdom 2,702,500 11,331 ----------- TOTAL 44,967 ----------- CONSUMER GOODS (12.2%) Autoliv, Inc. Sweden 279,100 8,443 Fiat SPA Ord. Italy 1,527,900 4,837 Medeva PLC United Kingdom 4,250,000 6,967 Nycomed Amersham PLC United Kingdom 1,628,610 11,585 Ono Pharmaceutical Co., Ltd. Japan 233,000 8,085 Rhone Poulenc SA, Series A France 221,000 10,099 Sony Corporation Japan 87,500 9,434 Tate & Lyle, PLC United Kingdom 762,600 4,778 Teva Pharmaceutical Industries Ltd., ADR Israel 178,200 8,732 Volvo Aktiebolaget, BFree Sweden 433,000 12,554 ----------- TOTAL 85,514 ----------- ENERGY (14.9%) Endesa S.A. Spain 252,000 5,374 EVN Energie Versorgung Austria 38,400 5,615 Gener S.A., ADR Chile 299,450 5,315 Hong Kong Electric Holdings Ltd. Hong Kong 1,790,000 5,745 Iberdrola S.A. Spain 587,500 8,949 Korea Electric Power Corp. Republic of Korea 271,000 11,261 National Power PLC United Kingdom 1,246,864 9,080 Petroleo Brasileiro SA - Petrobras Brazil 32,500,000 5,041 Ranger Oil Limited Canada 1,055,400 5,211 MARKET SHARES/ VALUE COMMON STOCK (93.8%) COUNTRY PAR (000'S) - ------------------------------------------------------------------ ENERGY (CONTINUED) *Renaissance Energy LTD Canada 540,000 $ 7,224 Repsol SA Spain 366,000 7,473 Shell Transport & Trading Company PLC United Kingdom 1,518,500 11,387 Societe Nationale Elf Aquitaine France 66,801 9,803 Thames Water United Kingdom 430,504 6,827 ----------- TOTAL 104,305 ----------- FINANCE (21.7%) Australia & New Zealand Bank Group Australia 1,506,097 11,074 AXA - UAP SA France 108,413 13,226 Banco Bradesco SA Brazil 623,750,000 3,166 Banco de Andulucia Spain 120,000 4,208 Banco Itau S.A. Brazil 2,079,000 1,067 Bangkok Bank Public Company Limited Thailand 1,551,800 5,807 Compagnie Financiere De Paribas France 71,300 7,993 Deutsche Bank AG Germany 130,888 7,984 Hang Lung Development Co. Hong Kong 2,758,000 3,430 HSBC Holdings PLC Hong Kong 189,379 6,908 ING Groep NV Netherlands 209,000 11,315 Merita Limited "A" Finland 2,436,000 13,842 The Nomura Securities Co., Ltd. Japan 87,400 11,559 PatnerRe Ltd. Bermuda 26,600 8,469 **Peregrine Investments Holdings , Ltd. Hong Kong 262,000 0 Reinsurance Australia Corporation Limited Australia 2,908,000 2,425 Scor France 129,900 6,443 Unibanco Uniao de Bancos Brazil 14,033,500 633 Unidanmark A/S, A Registered Denmark 180,800 12,067 XL Capital Ltd. Bermuda 178,800 10,102 Zurich Versicherungs- Gesellschaft Switzerland 17,900 10,179 ----------- TOTAL 151,897 ----------- MATERIALS (12.3%) Agrium, Inc. Canada 473,300 4,171 Akzo Nobel NV Netherlands 163,600 6,883 Bayer AG Germany 157,000 6,541
-- 14 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1999
MARKET SHARES/ VALUE COMMON STOCK (93.8%) COUNTRY PAR (000'S) - ------------------------------------------------------------------ MATERIALS (CONTINUED) Boehler - Uddeholm AG Austria 119,556 $ 5,917 British Steel PLC United Kingdom 5,270,900 13,646 Companhia Vale do Rio Doce Brazil 372,000 7,394 Grupo Mexico, B Shares Mexico 1,320,000 5,602 Hepworth PLC United Kingdom 607,200 1,885 Hoechst AG Germany 117,700 5,328 Metsa-Serla Oyj,B Shares 157,500 1,338 Pechiney SA, Shares France 129,200 5,553 Pioneer International Ltd. Australia 3,197,946 8,149 Stora Enso Oyj R Shares Finland 507,997 5,497 Stora Enso OYJ- R Finland 754,400 8,091 ----------- TOTAL 85,995 ----------- MULTI-INDUSTRY (3.7%) Elementis PLC United Kingdom 1,494,000 2,484 Hutchinson Whampoa Limited Hong Kong 798,000 7,225 Pilkington PLC United Kingdom 4,777,300 6,551 Swire Pacific Limited, A Shares Hong Kong 1,459,500 7,223 Swire Pacific Limited, B Shares Hong Kong 3,534,200 2,642 ----------- TOTAL 26,125 ----------- SERVICES (21.2%) British Airways PLC United Kingdom 1,242,900 8,577 Cable & Wire Optus Limited Australia 2,674,560 6,090 Compania Anonima Nacional Telefonosole De Venezula Venezuela 293,000 7,985 Cia. Telecomunicaciones de Chile -- S.A. Chile 273,725 6,775 Embratel Participacoes S.A. Brazil 241,200 3,347 Hong Kong Telecommunications Ltd. Hong Kong 2,650,000 6,865 Hyder PLC Cum. Red. Pfd. United Kingdom 401,400 696 MARKET SHARES/ VALUE COMMON STOCK (93.8%) COUNTRY PAR (000'S) - ------------------------------------------------------------------ SERVICES (CONTINUED) *Korea Telecom Corporation Republic of Korea 97,000 $ 3,880 Kurita Water Industries, Ltd. Japan 299,000 5,360 Laidlaw Transportation Limited Canada 691,580 5,100 Marks & Spencer PLC United Kingdom 1,148,000 6,641 Mayne Nickless Ltd. Australia 1,671,600 5,720 Moebel Walther AG PFD Germany 103,297 1,651 News Corporation Ltd. Australia 1,014,400 7,729 Nippon Telephone & Telegraph Corporation (NTT) Japan 800 9,320 The Peninsular & Oriental Steam Navigation Company United Kingdom 548,000 8,228 Philippine Long Distance Telephone Company, ADR Philippines 127,000 3,826 Pt Indostat ADR Indonesia 146,600 2,859 SK Telecom Co., Ltd., ADR Republic of Korea 7,137 122 Somerfield PLC United Kingdom 860,766 4,036 South China Morning Post Ltd. Hong Kong 2,554,000 1,432 Storehouse PLC United Kingdom 2,879,480 6,195 Telecom Italia SPA Italy 1,200,000 6,510 Telefonica de Argentina SA, ADR Argentina 216,900 6,806 Telefonica del Peru SA B shares, ADR Peru 370,800 5,608 Telefonos de Mexico SA, ADR Mexico 154,002 12,445 Telesp Participacoes S.A. ADR Brazil 210,300 4,811 ----------- TOTAL 148,614 UTILITIES (1.4%) VEBA Germany 168,100 9,881 ----------- TOTAL COMMON STOCK 657,298 -----------
-- 15 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1999
MARKET MONEY MARKET INVESTMENTS SHARES/ VALUE (5.6%) COUNTRY PAR (000'S) - ------------------------------------------------------------------- PERSONAL CREDIT INSTITUTIONS (5.6%) General Electric Capital Corporation, 5.70%, 07/01/99 United States 29,100,000 $ 29,100 Household Finance Company, 4.97%, 07/14/99 United States 5,000,000 5,010 Variable Funding Capital Corp., 5.05%, 07/21/99 United States 5,000,000 4,986 ----------- TOTAL MONEY MARKET INVESTMENTS 39,096 ----------- TOTAL INVESTMENTS (99.4%) (COST $626,963,983)^ 696,394 OTHER ASSETS, LESS LIABILITIES (0.6%) 3,976 ----------- TOTAL NET ASSETS (100.0%) $ 700,370 -----------
* Non-Income Producing **Defaulted Security ADR-American Depository Receipt 144A after the name of a security represents a security exempt from registration under rule 144A of the Securities Act of 1933. These securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. ^At June 30, 1999, the aggregate cost of securities for federal income tax purposes was $626,963,983 and the net unrealized appreciation of investments based on that cost was $69,429,967 which is comprised of $119,039,819 aggregate gross unrealized appreciation and $49,609,852 aggregate gross unrealized depreciation. The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) -- 16 INDEX 400 STOCK PORTFOLIO - -------------------------------------------------------------------------------- Objective: Portfolio Strategy: Invested Assets: Long-term capital appreciation Invest in a portfolio designed to approximate the $31,885,000 through cost-effective composition and returns of the S&P 500 Index. participation 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 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, 1999, the 400 companies in the composite had median market capitalization of $1.8 billion and total market value of $927 billion. For comparison, the 500 large stocks in the S&P 500 Index had median market capitalization of $8.5 billion and total market value of $11,232 billion. The Index 400 Portfolio, introduced on April 30, 1999, enables contract owners to participate in performance of mid-sized companies in the U.S. equity market. In its first two months of operation, the Portfolio achieved the objective of matching the results of the S&P 400 MidCap Index before expenses. Sector Allocation EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC TECHNOLOGY 20% CONSUMER CYCLICAL 18% BASIC MATERIALS/CAPITAL GOODS 13% FINANCE 11% UTILITIES 9% HEALTH CARE 8% CONSUMER STAPLES 7% ENERGY 4% OTHER INDUSTRIES 2% INDEX FUTURES 7% SHORT-TERM INVESTMENTS 1%
Top 10 Holdings 6/30/99 EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
COMPANY % OF NET ASSETS QUALCOMM, INC. 2.0% BEST BUY CO., INC. 1.3% LINEAR TECHNOLOGY CORPORATION 1.0% BIOGEN, INC. 0.9% E*TRADE GROUP, INC. 0.9% MAXIM INTEGRATED PRODUCTS, INC. 0.9% LEXMARK INTERNATIONAL GROUP, INC. 0.9% XILINX, INC. 0.8% HARLEY-DAVIDSON, INC. 0.8% OFFICE DEPOT, INC. 0.8%
Performance Relative to S&P 400 Index EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
INDEX 400 PORTFOLIO S&P 400 MIDCAP INDEX 4/99 $10,000 $10,000 6/99 10,550 10,581 AVERAGE TOTAL RETURN FOR THE TWO MONTHS ENDED JUNE 30, 1999 SINCE INCEPTION Index 400 Stock Portfolio 5.50% S&P 400 Index 5.81%
The Standard & Poor's MidCap 400 Stock Price 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, 1999, the 400 companies in the composite had median market capitalization of $1.8 billion and total market value of $927 billion. The MidCap 400 represents approximately 6% of the market value of S&P's database of over 8,200 equities. This chart assumes an initial investment of $10,000 made on 4/30/99. 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 return significantly lower. Investors are urged to obtain a personalized illustration of historical performance which reflects the cost of insurance protection. -- 17 INDEX 400 STOCK PORTFOLIO NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1999
MARKET VALUE COMMON STOCK (92.1%) SHARES (000'S) - -------------------------------------------------------------- BASIC MATERIALS (5.1%) *Airgas Inc. 2,200 $ 27 AK Steel Holding Corp. 1,800 40 Albemarle Corporation 1,500 35 A. Schulman, Inc. 1,000 17 Bowater Inc. 1,700 80 Cabot Corp. 2,100 51 Carpenter Technology 700 20 Chesapeake Corp. 700 26 Cleveland-Cliffs Inc. 300 10 Cons Papers Inc. 2,800 75 Crompton & Knowles Corp. 2,000 39 *Cytec Industries Inc. 1,300 42 Dexter Corp. 700 28 Ethyl Corp. 2,600 16 Ferro Corp. 1,100 30 Georgia Gulf Corp. 1,000 17 Georgia-Pacific Corporation (Timber Group) 2,700 68 H.B. Fuller Company 400 27 IMC Global Inc. 3,600 63 Longview Fibre Co. 1,600 25 Lubrizol Corp. 1,700 46 Lyondell Chemical Company 3,500 72 M.A. Hannah Company 1,500 25 Martin Marietta Materials 1,400 83 *Maxxam Inc. 200 13 Minerals Technologies Inc. 700 39 Olin Corp. 1,500 20 Oregon Steel Mills Inc. 800 11 P.H. Glatfelter Company 1,300 19 Rayonier Inc. 900 45 RPM Inc/Ohio 3,400 48 Ryerson Tull Inc. 800 18 Solutia Inc. 3,500 75 Sonoco Products Co. 3,200 96 *Ucar International Inc. 1,400 35 Universal Corp-Va 1,000 28 Vulcan Materials Co. 3,100 150 Wausau-Mosinee Paper Corp. 1,700 31 Witco Corp. 1,800 36 ---------- TOTAL 1,626 ---------- CAPITAL GOODS (8.4%) Agco Corp. 1,900 21 Albany International Corp. 900 19 *Allied Waste Industries Inc. 5,700 113 *American Power Conversion 5,900 119 Ametek Inc. 1,000 23 Carlisle Cos. Inc. 900 43 Cordant Technologies Inc. 1,100 50 Diebold Inc. 2,200 63 Donaldson Co. Inc. 1,500 37 MARKET VALUE COMMON STOCK (92.1%) SHARES (000'S) - -------------------------------------------------------------- CAPITAL GOODS (CONTINUED) Federal Signal Corp. 1,400 $ 30 Flowserve Corp. 1,200 23 Gencorp Inc. 1,300 33 Granite Construction Inc. 900 26 *Gulfstream Aerospace Corp. 2,300 155 Harsco Corp. 1,300 42 Herman Miller Inc. 2,600 55 Hillenbrand Industries 2,100 91 HON Industries 1,900 55 Hubbell Inc. 2,000 91 *Jabil Circuit, Inc. 2,500 113 *Jacobs Engineering Group Inc. 800 30 Kaydon Corporation 1,000 34 Kennametal Inc. 900 28 *Magnetek Inc. 1,000 11 Molex Inc. 4,800 178 Newport News Shipbuilding 1,100 32 Nordson Corp. 500 31 Pentair Inc. 1,300 59 Precision Castparts Corp. 800 34 Premark International Inc. 1,900 71 Reynolds & Reynolds 2,400 56 *Sanmina Corporation 1,800 137 *SCI Systems Inc. 2,200 104 *Sensormatic Electronics Corp. 2,300 32 *Sequa Corp. 300 21 *SPX Corp. 1,000 84 Standard Register Co. 900 28 Stewart & Stevenson Services 900 14 Symbol Technologies Inc. 2,700 100 Tecumseh Products Co. 700 42 Teleflex, Inc. 1,200 52 Trinity Industries 1,300 44 Unisource Worldwide Inc. 2,200 27 United Technologies Corp. 837 60 *Vishay Intertechnology Inc. 2,625 55 Wallace Computer Svcs Inc. 1,300 33 Watts Industries 800 15 York International Corp. 1,200 51 ---------- TOTAL 2,665 ---------- COMMUNICATION SERVICES (1.1%) Aliant Communications Inc. 1,100 51 Cincinnati Bell Inc. 4,200 105 Comsat Corp. 1,600 52 Telephone & Data Systems Inc. 1,900 139 ---------- TOTAL 347 ---------- CONSUMER CYCLICAL (17.9%) *Abercrombie & Fitch Co. 3,000 144 *ACNielsen Corporation 1,800 54 *American Standard Companies 2,200 106 *Apollo Group Inc. 2,400 64
-- 18 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1999
MARKET VALUE COMMON STOCK (92.1%) SHARES (000'S) - -------------------------------------------------------------- CONSUMER CYCLICAL (CONTINUED) A.H. Belo Corporation 3,700 $ 73 Arvin Industries Inc. 800 30 Bandag Inc. 700 24 *Barnes & Noble, Inc. 2,100 57 *Bed Bath & Beyond Inc. 4,300 166 *Best Buy Co. Inc. 6,300 425 *Bj's Wholesale Club Inc. 2,300 69 *Borders Group Inc. 2,400 38 Borg-Warner Automotive, Inc. 800 44 *Burlington Inds Inc. 1,800 16 Callaway Golf Company 2,300 34 Cintas Corp. 3,400 228 Claire's Stores Inc. 1,600 41 Clayton Homes Inc. 4,500 51 *Compusa Inc. 2,800 21 *Convergys Corp. 4,700 90 *Dollar Tree Stores, Inc. 1,800 79 Enesco Group Inc. 500 12 Family Dollar Stores 5,400 130 Fastenal Co. 1,200 63 *Federal-Mogul Corp. 2,200 114 *Furniture Brands International Inc. 1,600 45 *General Nutrition Companies 2,100 49 *Gtech Holdings Corp. 1,300 31 Harley-Davidson, Inc. 4,700 256 Heilig-Meyers Co. 1,900 13 Houghton Mifflin Co. 900 42 *Information Resources Inc. 900 8 International Game Technology 3,300 61 *Jones Apparel Group, Inc. 4,251 146 Kelly Services Inc. 1,100 35 Lancaster Colony Corp. 1,300 45 *Land's END Inc. 900 44 *Lear Corporation 2,100 104 Lee Enterprises 1,400 43 Leggett & Platt Inc. 6,100 170 *Mandalay Resort Group 2,900 61 Manpower Inc. 2,500 57 Mark IV Industries Inc. 1,700 36 Media General Inc. 800 41 Meritor Automotive Inc. 2,100 53 *Micro Warehouse Inc. 1,100 20 Modine Manufacturing Co. 900 29 *Modis Professional Services Inc. 3,500 48 *Mohawk Industries Inc. 1,900 58 NCH Corp. 200 10 *Office Depot Inc. 11,500 254 *Officemax Inc. 3,500 42 Ogden Corp. 1,500 40 Olsten Corp. 2,500 16 *Payless Shoesource Inc. 1,000 54 Pittston Brink's Group 1,300 35 MARKET VALUE COMMON STOCK (92.1%) SHARES (000'S) - -------------------------------------------------------------- CONSUMER CYCLICAL (CONTINUED) *Promus Hotel Corp. 2,700 $ 84 The Reader's Digest Association, Inc. 3,300 131 *Robert Half International, Inc. 2,800 73 Rollins Inc. 900 14 Ross Stores Inc. 1,400 71 *Saks Incorporated 4,500 130 *Scholastic Corp. 500 24 *Shaw Industries Inc. 4,400 73 *Snyder Communications Inc. 2,100 69 Sotheby's Holdings 1,800 69 Southdown Inc. 1,200 76 Stewart Enterprises, Inc. 3,400 50 Superior Industries International 900 25 *Sylvan Learning Systems Inc. 1,600 44 *Tech Data Corp. 1,600 61 Tiffany & Co. 1,100 105 *Unifi Inc. 1,900 40 USG Corp. 1,500 84 Viad Corp. 3,100 96 Warnaco Group 1,900 51 Washington Post 300 161 Wellman Inc. 1,000 16 Westpoint Stevens Inc. 1,800 54 ---------- TOTAL 5,720 ---------- CONSUMER STAPLES (7.2%) Banta Corp. 900 19 Bergen Brunswig Corp. 4,200 72 Bob Evans Farms, Inc. 1,300 26 *Brinker International Inc. 2,000 54 *Buffets Inc. 1,400 16 Carter-Wallace Inc. 1,400 25 CBRL Group Inc. 1,900 33 *Chris-Craft Industries Inc. 1,000 47 Church & Dwight Inc. 600 26 Dean Foods Co. 1,300 54 Dial Corp. 3,200 119 Dole Food Company 1,800 53 Dreyer's Grand Ice Cream Inc. 800 12 Flowers Industries Inc. 3,100 67 Hannaford Brothers Co. 1,300 69 *Hispanic Broadcasting Corp. 1,500 114 Hormel Foods Corp. 2,300 93 IBP Inc. 2,900 69 International Multifoods Corp. 600 14 Interstate Bakeries 2,200 49 The J.M. Smucker Company 900 20 Lance Inc. 900 14 *Lone Star Steakhouse & Saloon 1,100 11 Mccormick & Co. 2,300 73 *Outback Steakhouse Inc. 2,300 90 *Papa John's International Inc. 900 40
-- 19 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1999
MARKET VALUE COMMON STOCK (92.1%) SHARES (000'S) - -------------------------------------------------------------- CONSUMER STAPLES (CONTINUED) *Perrigo Company 2,300 $ 17 *RJ Reynolds Tobacco Holdings Inc. 3,400 107 Ruddick Corp. 1,400 28 *Sbarro Inc. 600 16 *Starbucks Corp. 5,600 210 *Suiza Foods Corp. 1,100 46 TCA Cable TV Inc. 1,500 83 Tyson Foods Inc. 7,200 162 *U.S. Foodservice 1,500 64 Universal Foods Corp. 1,600 34 *Univision Communications Inc. 2,800 185 *Vlasic Foods International 1,400 10 Whitman Corp. 2,800 50 ---------- TOTAL 2,291 ---------- ENERGY (3.9%) *BJ Services Company 2,200 65 Ensco International Inc. 4,300 86 *Global Marine Inc. 5,400 83 Murphy Oil Corp. 1,400 68 *Nabors Industries, Inc. 3,300 81 Noble Affiliates Inc. 1,800 51 *Noble Drilling Corp. 4,100 81 *Ocean Energy Inc. 5,100 49 Pennzoil-Quaker State Company 2,400 36 Pioneer Natural Resources Co. 3,100 34 *Ranger Oil Limited 3,900 19 *Santa Fe Snyder Corp. 5,300 40 *Smith International Inc. 1,500 65 Tidewater Inc. 1,700 52 Tosco Corporation 4,800 125 Transocean Offshore Inc. 3,100 81 Ultramar Diamond Shamrock Corp. 2,700 59 Valero Energy Corp. 1,700 36 *Varco International Inc. 2,000 22 *Weatherford International, Inc. 3,200 117 ---------- TOTAL 1,250 ---------- FINANCE (11.0%) A.G. Edwards, Inc. 2,900 94 Allmerica Financial Corp. 1,800 109 Ambac Financial Group, Inc. 2,200 126 American Financial Group Inc. 1,900 65 Associated Banc-Corp 2,000 83 Astoria Financial Corporation 1,700 75 CCB Financial Corp. 1,300 69 Charter One Financial Inc. 5,200 145 City National Corp. 1,400 52 Dime Bancorp, Inc. 3,600 72 *E*TRADE Group Inc. 7,100 284 Everest Reinsurance Hldgs 1,600 52 Finova Group Inc. 1,900 100 First Security Corp/Del 5,900 161 MARKET VALUE COMMON STOCK (92.1%) SHARES (000'S) - -------------------------------------------------------------- FINANCE (CONTINUED) First Tennessee National Corp. 4,000 $ 153 First Virginia Banks Inc. 1,600 79 GreenPoint Financial Corp. 3,300 108 Hibernia Corp. 4,900 77 Horace Mann Educators 1,300 35 HSB Group Inc. 900 37 Keystone Financial Inc. 1,600 47 Marshall & Ilsley Corp. 3,300 212 Mercantile Bankshares Corp. 2,200 78 North Fork Bancorporation 4,400 94 Old Kent Financial Corp. 3,465 145 OLD Republic International Corp. 4,200 73 Pacific Century Finl Corp. 2,500 54 PMI Group Inc. (The) 900 57 Protective Life Corp. 2,000 66 Provident Financial Group IN 1,300 57 Reliastar Financial Corp. 2,800 123 Sovereign Bancorp Inc. 5,000 61 TCF Financial Corp. 2,700 75 T. Rowe Price Associates, Inc. 3,700 142 Westamerica Bancorporation 1,200 44 Wilmington Trust Corporation 1,000 57 Zions Bancorporation 2,400 152 ---------- TOTAL 3,513 ---------- HEALTHCARE (8.1%) *Acuson Corp. 900 15 *Apria Healthcare Group Inc. 1,600 27 Beckman Coulter Inc. 900 44 *Beverly Enterprises Inc. 3,200 26 *Biogen Inc. 4,600 296 *Centocor Inc. 2,200 103 *Chiron Corp. 5,600 116 *Concentra Managed Care Inc. 1,500 22 *Covance Inc. 1,800 43 Dentsply International Inc. 1,600 45 *First Health Group Corp. 1,600 34 *Forest Laboratories, Inc. 2,600 120 *Foundation Health Systems 3,800 57 *Genzyme Corporation (General Division) 2,500 121 *Gilead Sciences Inc. 1,000 52 *Health Management Associates Inc. 7,800 88 ICN Pharmaceuticals Inc-New 2,400 78 *Ivax Corp. 3,400 48 *Lincare Holdings, Inc. 1,800 45 *Medimmune Inc. 1,700 116 Mylan Laboratories 4,000 107 Omnicare Inc. 2,800 35 *Oxford Health Plans 2,500 39 *Pacificare Health Systems 1,400 101 *PSS World Medical, Inc. 2,200 25
-- 20 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1999
MARKET VALUE COMMON STOCK (92.1%) SHARES (000'S) - -------------------------------------------------------------- HEALTHCARE (CONTINUED) *Quintiles Transnational Corp. 3,500 $ 147 *Quorum Health Group, Inc. 2,200 28 *Sepracor Inc. 900 73 *Steris Corp. 2,100 41 *Stryker Corp. 3,000 180 *Sybron International Corporation 3,200 88 *Total Renal Care Holdings 2,500 39 *Trigon Healthcare Inc. 1,300 47 *VISX, Inc. 1,900 150 ---------- TOTAL 2,596 ---------- TECHNOLOGY (19.5%) *ADC Telecommunications Inc. 4,200 191 *Affiliated Computer Svcs Inc. 1,500 76 *Altera Corp. 6,000 221 *Analog Devices 5,000 251 *Arrow Electronics Inc. 3,000 57 *Atmel Corp. 3,100 81 Avnet Inc. 1,100 51 *Cadence Design Systems Inc. 7,600 97 *Cambridge Technology Partners Inc. 1,800 32 *Cirrus Logic Inc. 1,900 17 *Citrix Systems Inc. 2,700 153 Comdisco Inc. 4,700 120 *Comverse Technology, Inc. 2,100 158 *Concord EFS, Inc. 4,000 169 *Cypress Semiconductor Corp. 2,800 46 *Electronic Arts Inc. 1,900 103 *Fiserv, Inc. 3,850 121 *Genzyme Surgical Products 447 2 *Imation Corporation 1,200 30 *Informix Corp. 5,900 50 *Integrated Device Technology Inc. 2,700 29 *Intuit Inc. 1,900 171 *Investment Technology Group Inc. 900 29 *Keane Inc. 2,200 50 *Legato Systems Inc. 1,300 75 *Lexmark International Group Inc. 4,100 271 Linear Technology Corporation 4,700 316 *Litton Industries Inc. 1,400 100 *Maxim Integrated Products, Inc. 4,100 273 *Mentor Graphics Corp. 2,000 26 *Microchip Technology, Inc. 1,600 76 *NCR Corporation 3,000 146 *Network Associates Inc. 4,300 63 *NOVA Corporation 2,200 55 *Policy Management Systems CP 1,100 33 *QUALCOMM, Inc. 4,400 631 *Quantum Corporation 5,200 125 *Rational Software Corp. 2,700 89 *Sequent Computer Systems Inc. 1,400 25 *Siebel Systems Inc. 2,800 186 MARKET VALUE COMMON STOCK (92.1%) SHARES (000'S) - -------------------------------------------------------------- TECHNOLOGY (CONTINUED) *Sterling Commerce Inc. 3,000 $ 110 *Sterling Software, Inc. 2,600 69 *Storage Technology Corp. 3,100 71 *Structural Dynamics Research 1,100 20 *Sungard Data Systems Inc. 3,500 120 *Symantec Corp. 1,700 43 *Synopsys, Inc. 2,200 121 *Teradyne Inc. 2,600 187 *Veritas Software Corp. 2,600 247 *Vitesse Semiconductor Corp. 2,300 155 *Xilinx Inc. 4,500 258 ---------- TOTAL 6,196 ---------- TRANSPORTATION (1.1%) 1,500 42 *Alaska Airgroup Inc. 800 33 Alexander & Baldwin Inc. 1,400 31 Arnold Industries Inc. 800 12 CNF Transportation Inc. 1,500 58 Comair Holdings Inc. 3,000 62 Gatx Corp. 1,500 57 J.B. Hunt Transport Services, Inc. 1,100 18 Overseas Shipholding Group 1,100 14 *Wisconsin Central Transport 1,600 30 ---------- TOTAL 357 ---------- UTILITIES (8.8%) AGL Resources Inc. 1,800 33 Allegheny Energy Inc. 3,800 122 Alliant Energy Corp. 2,400 68 American Water Works Inc. 2,500 77 Black Hills Corp. 700 16 Cleco Corporation 700 21 CMP Group Inc. 1,000 26 Conectiv Inc. 2,900 71 DPL Inc. 5,000 92 EL Paso Energy Corporation 3,700 130 Energy East Corp. 3,600 94 Florida Progress Corp. 3,000 124 Hawaiian Electric Inds 1,000 36 Idacorp Inc. 1,200 38 Illinova Corp. 2,200 60 Indiana Energy Inc. 900 19 Ipalco Enterprises Inc. 2,800 59 K N Energy, Inc. 2,100 28 Kansas City Power & Light 1,900 48 KeySpan Corporation 4,600 121 LG&E Energy Corp. 4,000 84 MCN Energy Group Inc. 2,500 52 *Midamerican Energy Holdings Co. 1,900 66 Minnesota Power Inc. 2,300 46 Montana Power Co. 1,700 120 National Fuel Gas Co. 1,200 58
-- 21 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1999
MARKET VALUE COMMON STOCK (92.1%) SHARES (000'S) - -------------------------------------------------------------- UTILITIES (CONTINUED) Nevada Power Co. 1,600 $ 40 New England Electric System 1,900 95 NiSource Inc. 4,000 103 *Northeast Utilities 4,100 73 OGE Energy Corp. 2,500 59 Pinnacle West Capital Corp. 2,600 105 Potomac Electric Power 3,700 109 Public Service Company of New Mexico 1,300 26 Puget Sound Energy Inc. 2,600 62 Questar Corp. 2,600 50 Scana Corp. 3,200 75 Teco Energy Inc. 4,100 93 Utilicorp United Inc. 2,800 68 Washington Gas Light Co. 1,400 36 Wisconsin Energy Corporation 3,600 90 ---------- TOTAL 2,793 ---------- TOTAL COMMON STOCK 29,354 ----------
MARKET VALUE MONEY MARKET INVESTMENTS (6.9%) PAR (000'S) - -------------------------------------------------------------------------------- FEDERAL GOVERNMENT AND AGENCIES (0.9%) Federal Farm Credit, 4.929%, 09/08/99 100,000 $ 99 Federal Home Loan Mortgage Corp., 4.839%, 08/31/99 100,000 99 #Federal Home Loan Mortgage Corp., 4.73%, 09/08/99 100,000 99 --------- TOTAL 297 --------- MARKET VALUE MONEY MARKET INVESTMENTS (6.9%) PAR (000'S) - -------------------------------------------------------------------------------- PERSONAL CREDIT INSTITUTIONS (6.0%) General Electric Capital Corporation, 5.699%, 07/01/99 1,900,000 $ 1,900 --------- TOTAL MONEY MARKET INVESTMENTS 2,197 --------- TOTAL INVESTMENTS (99.0%) (COST $30,104,146)^ 31,551 OTHER ASSETS, LESS LIABILITIES (1.0%) 334 --------- TOTAL NET ASSETS (100.0%) $ 31,885 ---------
* Non-Income Producing #Partially held by the custodian in a segregated account as collateral for open futures positions. Information regarding open futures contracts as of June 30, 1999 is summarized below:
UNREALIZED NUMBER OF EXPIRATION APPRECIATION ISSUER CONTRACTS DATE (000'S) - ---------------------------------------------------------------- Midcap 400 Stock Index 10 9/99 51 (Total Notional Value at 6/30/99, $2,046,250)
^At June 30, 1999, the aggregate cost of securities for federal income tax purposes was $30,104,146 and the net unrealized appreciation of investments based on that cost was $1,446,856 which is comprised of $2,275,667 aggregate gross unrealized appreciation and $828,811 aggregate gross unrealized depreciation. The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) -- 22 GROWTH STOCK PORTFOLIO - -------------------------------------------------------------------------------- Objective: Portfolio Strategy: Invested Assets: Long-term appreciation of Hold a diversified mix of high quality growth $574,190,000 capital with moderate risk stocks of medium and large companies with above-average potential for earnings growth.
GROWTH STOCK PORTFOLIO The Growth Stock Portfolio is invested in high quality companies of large to medium capitalization with strong financial characteristics and the ability to generate internal growth. A key factor in stock selection is the choice of industries with good earnings potential, based on analysis of economic trends to determine their impact on various sectors of the economy. Stock selection is made through "top down" analysis: first industry and market sector choices are made based on the economic environment, and then the most promising companies within each sector are selected as holdings. A strategy of this portfolio is to go beyond the most familiar "blue chip" names to seek out medium-sized companies with stock prices that do not yet reflect their potential for growth. Diversification across 70 to 90 stocks in a wide range of industry groups reduces the portfolio's risk profile. The Growth Stock portfolio performed well in the first half of 1999, benefiting from continued broad market strength and favorable industry weightings. The Portfolio has a substantially overweighted position in consumer cyclicals, with the emphasis on retailers; these holdings performed especially well, as consumer spending remained very strong. Weakness in technology stocks in the spring created an opportunity to add to holdings in this area. Media holdings including The New York Times Company and Tribune Company recovered from weakness at the end of 1998, as the market recognized these companies' ability to participate in the growth of the internet and began to anticipate a big advertising year in 2000, with summer Olympics and a presidential election. Among individual stocks, one of the best performers was Enron, an energy and communications company that trades broadband line space and electricity. Finance holdings remain in an underweighted position, in the belief that earnings growth of banks and other financial services providers has peaked relative to other sectors. Sector Allocation EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC TECHNOLOGY 17% CONSUMER CYCLICALS 15% CONSUMER STAPLES 12% BASIC MATERIALS/ CAPITAL GOODS 10% HEALTH CARE 8% FINANCE 7% ENERGY 4% OTHER INDUSTRIES 11% INDEX FUTURES 11% CASH EQUIVALENTS 5%
Top 10 Holdings 6/30/99 EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
COMPANY % OF NET ASSETS INTERNATIONAL BUSINESS MACHINES CORPORATION 2.5% MICROSOFT CORPORATION 2.5% GENERAL ELECTRIC COMPANY 2.3% AT&T CORPORATION 2.0% KOHL'S CORPORATION 1.9% ENRON CORP. 1.8% CISCO SYSTEMS, INC. 1.7% TYCO INTERNATIONAL LTD. 1.7% HARLEY-DAVIDSON, INC. 1.6% WAL-MART STORES, INC. 1.6%
Performance Relative to S&P 500 Index EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
GROWTH STOCK PORTFOLIO S&P 500 INDEX 5/94 $10,000 $10,000 6/94 $9,884 $9,845 6/95 $11,626 $12,394 6/96 $14,694 $15,604 6/97 $18,707 $20,999 6/98 $24,730 $27,305 6/99 $29,581 $33,503 AVERAGE ANNUAL TOTAL RETURN FOR PERIODS ENDED JUNE 30, 1999 ONE YEAR FIVE YEARS SINCE INCEPTION Growth Stock Portfolio 19.62% 24.51% 23.40% S&P 500 Index 22.70% 27.75% 26.41%
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 return significantly lower. Investors are urged to obtain a personalized illustration of historical performance which reflects the cost of insurance protection. -- 23 GROWTH STOCK PORTFOLIO NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1999
MARKET VALUE COMMON STOCK (83.3%) SHARES (000'S) - -------------------------------------------------------------- BASIC MATERIALS (1.6%) Ecolab, Inc. 203,900 $ 8,895 ----------- CAPITAL GOODS (8.1%) AlliedSignal, Inc. 69,400 4,372 Avery Dennison Corporation 91,400 5,518 Emerson Electric Co. 61,800 3,886 General Electric Company 114,500 12,939 *Republic Services, Inc. 215,600 5,336 Tyco International Ltd. 100,600 9,532 Waste Management, Inc. 87,400 4,698 ----------- TOTAL 46,281 ----------- COMMUNICATION SERVICES (5.1%) AT&T Corporation 209,962 11,719 GTE Corporation 82,900 6,280 *MCI WorldCom, Inc. 99,500 8,582 *Nextel Communications, Inc. 58,000 2,911 ----------- TOTAL 29,492 ----------- CONSUMER CYCLICAL (14.6%) *Barnes & Noble, Inc. 141,000 3,860 *barnesandnoble.com inc. 81,400 1,465 Borg-Warner Automotive, Inc. 48,900 2,690 Centex Corporation 66,000 2,479 *Costco Companies, Inc. 31,300 2,506 Dayton Hudson Corporation 67,000 4,355 Ford Motor Company 93,000 5,249 Gap, Inc. 19,950 1,005 Harley-Davidson, Inc. 171,500 9,325 Home Depot, Inc. 119,500 7,700 *Kohl's Corporation 140,600 10,853 Lennar Corporation 45,600 1,094 Maytag Corporation 13,000 906 McGraw-Hill Companies Inc. 96,200 5,189 The New York Times Company 129,200 4,756 Servicemaster Co. 245,250 4,598 Tribune Company 76,000 6,622 Wal-Mart Stores, Inc. 193,000 9,312 ----------- TOTAL 83,964 ----------- CONSUMER STAPLES (12.3%) Anheuser-Busch Companies, Inc. 65,900 4,675 Benckiser N.V. 78,000 4,183 Campbell Soup Company 52,800 2,449 Dial Corp. 208,700 7,761 Hershey Foods Corporation 40,000 2,375 *Keebler Foods Co. 108,100 3,284 Kimberly-Clark Corporation 40,000 2,280 McDonald's Corporation 160,400 6,627 PepsiCo, Inc. 197,100 7,625 The Pepsi Bottling Group, Inc. 163,500 3,771 Procter & Gamble Company 76,000 6,783 The Quaker Oats Company 65,600 4,354 Unilever N.V. 45,624 3,182 MARKET VALUE COMMON STOCK (83.3%) SHARES (000'S) - -------------------------------------------------------------- CONSUMER STAPLES (CONTINUED) Walgreen Company 262,400 $ 7,708 Walt Disney Company 124,300 3,830 ----------- TOTAL 70,887 ----------- ENERGY (4.1%) BP Amoco Plc 45,000 4,883 Chevron Corporation 23,000 2,189 Conoco, Inc. 137,000 3,819 Exxon Corporation 26,800 2,067 Mobil Corporation 53,000 5,247 Schlumberger Limited 37,000 2,356 Texaco Inc. 38,000 2,375 Transocean Offshore Inc. 26,400 693 ----------- TOTAL 23,629 ----------- FINANCE (7.0%) Ambac Financial Group, Inc. 66,000 3,770 Bank of America Corp. 52,501 3,849 Bank of New York Company, Inc. 133,300 4,890 Chase Manhattan Corporation 94,880 8,219 Citigroup, Inc. 73,200 3,477 Fifth Third Bankcorp 73,300 4,879 Goldman Sachs Group Inc. 25,500 1,842 Morgan Stanley, Dean Witter, Discover & Co. 68,700 7,042 U.S. Bancorp 60,000 2,040 ----------- TOTAL 40,008 ----------- HEALTHCARE (7.7%) Bristol-Myers Squibb Company 116,500 8,206 Eli Lilly & Company 46,900 3,359 *Guidant Corporation 51,600 2,654 Johnson & Johnson 49,100 4,812 Medtronic, Inc. 82,900 6,456 Merck & Co., Inc. 97,400 7,208 Pfizer, Inc. 65,400 7,178 Pharmacia & Upjohn Inc. 35,000 1,988 Warner-Lambert Company 38,600 2,678 ----------- TOTAL 44,539 ----------- TECHNOLOGY (17.1%) *America Online, Inc. 38,800 4,287 *Cisco Systems, Inc. 155,200 10,010 *Concord EFS, Inc. 31,700 1,341 *DST Systems, Inc. 41,200 2,590 Electronic Data Systems Corporation 148,000 8,371 *EMC Corporation 43,800 2,409 *Fiserv, Inc. 236,475 7,404 Hewlett-Packard Company 67,800 6,813 Intel Corporation 74,600 4,438 International Business Machines Corporation 110,800 14,320 Lucent Technologies, Inc. 82,684 5,576
-- 24 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1999
MARKET VALUE COMMON STOCK (83.3%) SHARES (000'S) - -------------------------------------------------------------- TECHNOLOGY (CONTINUED) *Microsoft Corporation 157,400 $ 14,196 Nortel Networks Corporation 56,000 4,862 *Sun Microsystems, Inc. 39,400 2,714 Texas Instruments, Incorporated 29,000 4,205 W.W. Grainger, Inc. 85,000 4,574 ----------- TOTAL 98,110 ----------- TRANSPORTATION (3.9%) *AMR Corporation 73,900 5,044 Canadian National Railway Company 82,500 5,528 *FDX Corporation 57,000 3,092 *Midwest Express Holdings, Inc. 125,400 4,264 Southwest Airlines Co. 143,850 4,477 ----------- TOTAL 22,405 ----------- UTILITIES (1.8%) Enron Corp. 126,000 10,301 ----------- TOTAL COMMON STOCK 478,511 -----------
MONEY MARKET INVESTMENTS (16.9%) - -------------------------------------------------------------- FEDERAL GOVERNMENT AND AGENCIES (0.7%) #Federal Home Loan Mortgage Corp., 4.84%, 08/31/99 100,000 $ 99 #Federal Home Loan Mortgage Corp., 4.73%, 09/08/99 3,500,000 3,464 #Federal National Mortgage Association, 4.93%, 09/10/99 200,000 198 ----------- TOTAL 3,761 ----------- MISCELLANEOUS BUSINESS CREDIT INSTITUTIONS (3.0%) #Quincy Capital Corporation, 4.92%, 07/09/99 17,400,000 17,381 ----------- PERSONAL CREDIT INSTITUTIONS (9.7%) General Electric Capital Corporation, 5.70%, 07/01/99 8,800,000 8,800 # Household Finance Company, 4.97%, 07/14/99 22,000,000 21,961 MARKET VALUE MONEY MARKET INVESTMENTS (16.9%) PAR (000'S) - -------------------------------------------------------------- PERSONAL CREDIT INSTITUTIONS (CONTINUED) Variable Funding Capital Corp., 5.15%, 07/26/99 25,000,000 $ 24,911 ----------- TOTAL 55,672 ----------- PHONE COMMUNICATIONS (3.5%) U.S. West Communications, 5.1% 07/20/99 19,946 ----------- TOTAL MONEY MARKET INVESTMENTS 96,760 ----------- TOTAL INVESTMENTS (100.2%) (COST $402,426,571)^ 575,271 OTHER ASSETS, LESS LIABILITIES (-0.2%) (1,081 ) ----------- TOTAL NET ASSETS (100.0%) $ 574,190 -----------
* Non-Income Producing ADR-American Depository Receipt #Partially held by the custodian in a segregated account as collateral for open futures positions. Information regarding open futures contracts as of June 30, 1999 is summarized below:
UNREALIZED NUMBER OF EXPIRATION APPRECIATION ISSUER CONTRACTS DATE (000'S) - ---------------------------------------------------------------- S&P 500 Stock Index 189 9/99 $2,454 (Total Notional Value at 6/30/99, $62,831,063)
^At June 30, 1999, the aggregate cost of securities for federal income tax purposes was $402,426,571 and the net unrealized appreciation of investments based on that cost was $172,844,211 which was comprised of $174,443,590 aggregate gross unrealized appreciation and $1,599,379 aggregate gross unrealized depreciation. The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) -- 25 GROWTH & INCOME STOCK PORTFOLIO - -------------------------------------------------------------------------------- Objective: Portfolio Strategy: Invested Assets: Long-term growth of capital and Actively manage a portfolio of equity $677,942,000 income, consistent with securities with a goal of exceeding the total moderate investment risk return of the S&P 500 Index.
GROWTH AND INCOME STOCK PORTFOLIO The Growth and Income Portfolio invests mainly in large-capitalization stocks, with a focus on seeking the best values in the market based on long-term earnings forecasts. A sector balance similar to that of the S&P 500 Index is normally maintained, with the emphasis on undervalued stocks within each industry group; a valuation discipline mandates the sale of stocks regarded as overvalued. More focus is placed on capital appreciation and dividend growth than on current dividends. The Portfolio is normally fully invested in equity securities. During the first half of 1999, and especially in the second quarter, the Growth and Income Portfolio benefited from a rather dramatic change in the market environment. Through most of the current bull market, the extraordinary returns of the major market averages have been driven almost entirely by a relatively small number of large growth companies and technology issues. In April of this year, the market's strength broadened to include energy and basic industry stocks, as well as smaller stocks; in the second quarter, the top 50 stocks in the S&P posted total return less than half that of the next 450 names. The change in the tenor of the market can be attributed to two factors: economic recovery in Asia, which stimulated demand for energy and capital goods; and higher interest rates in the United States, which caused investors to question the very high price-earnings ratios carried by some stocks. This change was highly positive for the portfolio's value-oriented investment style. At June 30, the Portfolio's largest holding, and also the most significant contributor to its strong performance, was Tyco International Ltd., a rapidly growing diversified company that is often compared to General Electric. Long-term holdings in Union Pacific and Starwood also proved successful, as these companies began to realize the potential that the portfolio managers had seen in them. Energy and chemical names were also among the strong performers, while finance holdings were less successful. The Growth and Income Stock Portfolio is managed for Northwestern Mutual by J. P. Morgan Investment Management, Inc. Sector Allocation EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC TECHNOLOGY 18% FINANCE 17% BASIC MATERIALS/CAPITAL GOODS 17% OTHER INDUSTRIES 12% CONSUMER STAPLES 11% CONSUMER CYCLICALS 11% HEALTH CARE 9% ENERGY 5%
Top 10 Holdings 6/30/99 EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
COMPANY % OF NET ASSETS TYCO INTERNATIONAL LTD. 3.8% BANK OF AMERICA CORPORATION 3.6% MCI WORLDCOM, INC 3.2% MICROSOFT CORPORATION 3.1% WASTE MANAGEMENT, INC. 3.0% CISCO SYSTEMS, INC. 2.9% INTERNATIONAL BUSINESS MACHINES CORPORATION 2.7% PHILIP MORRIS COMPANIES, INC. 2.6% PROCTER & GAMBLE COMPANY 2.5% SBC COMMUNICATIONS, INC. 2.4%
Performance Relative to S&P 500 Index EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
GROWTH & INCOME STOCK PORTFOLIO S&P 500 INDEX 5/03/94 $10,000 $10,000 6/30/94 $9,784 $9,845 6/30/95 $11,754 $12,394 6/30/96 $14,099 $15,604 6/30/97 $18,641 $20,999 6/30/98 $23,288 $27,305 6/30/99 $27,927 $33,503 AVERAGE ANNUAL TOTAL RETURN FOR PERIODS ENDED JUNE 30, 1999 ONE YEAR FIVE YEARS SINCE INCEPTION # Growth & Income Stock Portfolio 19.92% 23.34% 22.03% S&P 500 Index 22.70% 27.75% 26.41% INCEPTION DATE OF 5/3/94.
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 return significantly lower. Investors are urged to obtain a personalized illustration of historical performance which reflects the cost of insurance protection. -- 26 GROWTH & INCOME STOCK PORTFOLIO NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1999
MARKET VALUE COMMON STOCK (99.6%) SHARES (000'S) - ------------------------------------------------------------- BASIC MATERIALS (6.2%) Allegheny Teledyne, Inc. 289,300 $ 6,545 Monsanto Company 279,600 11,027 Rohm and Haas Company 268,500 11,512 *Smurfit-Stone Container Corporation 184,834 3,801 USEC Inc. 593,900 8,834 ------------ TOTAL 41,719 ------------ CAPITAL GOODS (11.0%) *Allied Waste Industries Inc. 316,800 6,257 *Coltec Industries, Inc. 93,100 2,019 Cooper Industries, Inc. 130,300 6,776 *Republic Services, Inc. 561,600 13,900 Tyco International Ltd. 268,899 25,478 Waste Management, Inc. 381,317 20,496 ------------ TOTAL 74,926 ------------ COMMUNICATION SERVICES (8.3%) AT&T Corporation 108,800 6,072 Bell Atlantic Corporation 62,900 4,112 GTE Corporation 92,100 6,977 *Level 3 Communications, Inc. 26,900 1,616 *MCI WorldCom, Inc. 247,306 21,330 SBC Communications, Inc. 276,000 16,008 ------------ TOTAL 56,115 ------------ CONSUMER CYCLICALS (10.6%) *Abercrombie & Fitch Co. 60,700 2,913 *Autozone, Inc. 42,600 1,283 *Cendant Corporation 316,800 6,494 Dayton Hudson Corporation 59,800 3,887 *Federated Department Stores, Inc. 114,900 6,083 *Fruit of the Loom, Inc. 425,800 4,152 International Game Technology 239,800 4,436 *Jones Apparel Group, Inc. 48,900 1,678 *Lear Corporation 85,400 4,249 Mattel, Inc. 398,800 10,543 *Mirage Resorts, Incorporated 162,400 2,720 The News Corporation Limited 66,300 2,341 Service Corporation International 270,700 5,211 Starwood Hotels & Resorts Worldwide, Inc. 95,896 2,931 TJX Companies, Inc. 172,900 5,760 Wal-Mart Stores, Inc. 150,500 7,262 ------------ TOTAL 71,943 ------------ CONSUMER STAPLES (11.4%) Gillette Company 139,500 5,720 Kimberly-Clark Corporation 87,600 4,993 *The Kroger Co. 272,000 7,599 The Pepsi Bottling Group, Inc. 77,400 1,785 PepsiCo, Inc. 409,000 15,823 MARKET VALUE COMMON STOCK (99.6%) SHARES (000'S) - ------------------------------------------------------------- CONSUMER STAPLES (CONTINUED) Philip Morris Companies, Inc. 434,700 $ 17,470 Procter & Gamble Company 186,400 16,636 The Seagram Company Ltd. 141,500 7,128 ------------ TOTAL 77,154 ------------ ENERGY (5.0%) *Input/Output, Inc. 732,300 5,537 Mobil Corporation 117,300 11,613 Shell Transport & Trading Company ADR 214,400 9,943 Tosco Corporation 261,800 6,790 ------------ TOTAL 33,883 ------------ FINANCE (17.1%) Aon Corporation 183,200 7,556 Bank of America Corporation 332,243 24,358 The CIT Group, Inc. 120,300 3,474 Dime Bancorp, Inc. 121,400 2,443 Fannie Mae 60,300 4,123 First Union Corporation 241,500 11,351 KeyCorp 217,700 6,994 Marsh & McLennan Companies, Inc. 121,350 9,162 Newcourt Credit Group Inc. 544,800 7,048 Provident Companies, Inc. 165,100 6,604 U.S. Bancorp 237,500 8,075 NUM Corporation 204,200 11,180 Washington Mutual, Inc. 270,700 9,576 XL Capital Ltd. 76,500 4,322 ------------ TOTAL 116,266 ------------ HEALTHCARE (8.6%) *Alza Corporation 46,300 2,356 American Home Products Corporation 150,500 8,654 Bristol-Myers Squibb Company 106,700 7,516 Eli Lilly and Company 76,400 5,472 *Forest Laboratories, Inc. 241,500 11,169 *Genzyme Corporation (General Division) 110,000 5,335 *HEALTHSOUTH Corporation 709,700 10,601 Warner-Lambert Company 106,700 7,402 ------------ TOTAL 58,505 ------------ TECHNOLOGY (17.6%) *Applied Materials, Inc. 59,500 4,395 *Cisco Systems, Inc. 302,950 19,540 *Dell Computer Corporation 121,100 4,481 *EMC Corporation 169,400 9,317 *Genzyme Surgical Products 19,691 87 Intel Corporation 107,700 6,408 International Business Machines Corporation 143,500 18,547 Lucent Technologies Inc. 61,215 4,128
-- 27 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1999
MARKET VALUE COMMON STOCK (99.6%) SHARES (000'S) - ------------------------------------------------------------- TECHNOLOGY (CONTINUED) *Microsoft Corporation 233,600 $ 21,068 Motorola, Inc. 37,100 3,515 *Oracle Corporation 83,250 3,091 *Quantum Corporation 90,800 2,191 *Sun Microsystems, Inc. 168,500 11,605 Texas Instruments, Incorporated 74,300 10,774 ------------ TOTAL 119,147 ------------ TRANSPORTATION (2.1%) CNF Transportation Inc. 75,900 2,913 Union Pacific Corporation 189,400 11,044 ------------ TOTAL 13,957 ------------ UTILITIES (1.7%) Columbia Energy Group 105,700 6,626 Dominion Resources, Inc. 80,800 3,500 P P & L Resources, Inc. 38,200 1,174 ------------ TOTAL 11,300 ------------ TOTAL COMMON STOCK 674,915 ------------
MARKET VALUE MONEY MARKET INVESTMENTS (0.4%) PAR (000'S) - -------------------------------------------------------------- PERSONAL CREDIT INSTITUTIONS (0.4%) General Electric Capital Corporation, 5.70%, 7/1/99 2,100,000 $ 2,100 Variable Funding Capital Corp., 5.05%, 7/21/99 900,000 897 ----------- TOTAL MONEY MARKET INVESTMENTS 2,997 ----------- TOTAL INVESTMENTS (100.0%) (COST $599,204,145)^ 677,912 OTHER ASSETS, LESS LIABILITIES 30 ----------- TOTAL NET ASSETS (100.0%) $ 677,942 -----------
* Non-Income Producing ADR-American Depository Receipt ^At June 30, 1999, the aggregate cost of securities for federal income tax purposes was $599,204,145 and the net unrealized appreciation of investments based on that cost was $78,708,540 which is comprised of $111,211,211 aggregate gross unrealized appreciation and $32,502,671 aggregate gross unrealized depreciation. The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) -- 28 INDEX 500 STOCK PORTFOLIO - -------------------------------------------------------------------------------- Objective: Portfolio Strategy: Invested Assets: Long-term capital appreciation Invest in a portfolio designed to approximate the $2,069,564,000 through cost-effective composition and returns of the S&P 500 Index. participation 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. This composite of 500 stocks of large U.S.-based companies, compiled by Standard & Poor's Corporation, is generally regarded as a good proxy for the overall U.S. equity market; the Portfolio therefore enables contract owners to participate in overall performance of the U.S. equity market. The Portfolio continues to achieve the objective of matching the results of the S&P 500 before expenses. Sector Allocation EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC FINANCE 16% CONSUMER STAPLES 13% TECHNOLOGY 21% BASIC MATERIALS/CAPITAL GOODS 12% HEALTH CARE 10% OTHER INDUSTRIES 13% CONSUMER CYCLICAL 9% ENERGY 6%
Top 10 Holdings 6/30/99 EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
COMPANY % OF NET ASSETS MICROSOFT CORPORATION 4.0% GENERAL ELECTRIC COMPANY 3.3% INTERNATIONAL BUSINESS MACHINES CORPORATION 2.1% WAL-MART STORES, INC. 1.9% CISCO SYSTEMS, INC. 1.8% LUCENT TECHNOLOGIES, INC. 1.8% INTEL CORPORATION 1.8% EXXON CORPORATION 1.7% MERCK & CO., INC. 1.6% AT&T CORPORATION 1.6%
Performance Relative to S&P 500 Index EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
INDEX 500 PORTFOLIO S&P 500 INDEX 6/89 $10,000 $10,000 6/90 $10,731 $11,620 6/91 $11,750 $12,468 6/92 $12,878 $14,139 6/93 $14,477 $16,062 6/94 $14,618 $16,271 6/95 $18,406 $20,485 6/96 $23,172 $25,790 6/97 $31,151 $34,706 6/98 $40,511 $45,128 6/99 $49,787 $55,373 AVERAGE ANNUAL TOTAL RETURN FOR PERIODS ENDED JUNE 30, 1999 ONE YEAR FIVE YEARS TEN YEARS Index 500 Portfolio 22.90% 27.77% 17.41% S&P 500 Index 22.70% 27.75% 18.67% ACTIVELY MANAGED PRIOR TO 4/30/93 INDEXED ON 4/30/93
On April 30, 1993, the Portfolio was indexed to approximate the performance of the Standard & Poor's 500 Composite Stock Price Index. Before that date, the Portfolio was actively managed. The Standard & Poor's 500 Composite Stock Price Index is an unmanaged index of 500 selected common stocks, most of which are listed on the New York Stock Exchange. The index is heavily weighted toward stocks with large market capitalizations and represents approximately two-thirds of the total market value of all domestic common stocks. This chart assumes an initial investment of $10,000 made on 6/30/89. 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 return significantly lower. Investors are urged to obtain a personalized illustration of historical performance which reflects the cost of insurance protection. -- 29 INDEX 500 STOCK PORTFOLIO NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1999
MARKET VALUE COMMON STOCK (99.2%) SHARES (000'S) - --------------------------------------------------------------------------------- BASIC MATERIALS (3.3%) Air Products & Chemicals, Inc. 41,800 $ 1,682 Alcan Aluminum Limited 41,500 1,325 Alcoa Inc. 67,000 4,146 Allegheny Teledyne, Inc. 35,835 811 Archer Daniels Midland Company 107,980 1,667 ASARCO, Inc. 7,000 132 Barrick Gold Corporation 68,100 1,319 *Battle Mountain Gold Company 40,300 98 Bemis Company, Inc. 9,600 382 *Bethlehem Steel Corporation 23,700 182 Boise Cascade Corporation 10,300 442 Champion International 17,400 833 Cyprus Amax Minerals Co. 16,550 251 Dow Chemical Company 40,400 5,126 E.I. du Pont de Nemours & Company 205,400 14,031 Eastman Chemical Company 14,425 746 Ecolab, Inc. 23,600 1,030 Engelhard Corp. 22,900 518 *FMC Corporation 6,000 410 *Freeport-McMoRan Copper & Gold, Inc. 30,200 542 Georgia Pacific Corp. 32,100 1,521 Great Lakes Chemical 10,800 497 Hercules Inc. 18,400 723 Homestake Mining Company 47,400 388 *Inco Limited 33,000 594 International Flavors & Fragrances, Inc. 19,400 861 International Paper Company 74,769 3,776 Louisiana Pacific Corporation 19,800 470 Mead Corp. 18,600 777 Monsanto Company 114,300 4,508 Nalco Chemical Company 11,900 617 Newmont Mining Corporation 30,480 606 Nucor Corp. 16,000 759 Phelps Dodge Corporation 10,600 657 Pioneer Hi-Bred International 43,700 1,702 Placer Dome Inc. 59,400 702 Potlatch Corporation 5,300 233 PPG Industries, Inc. 32,100 1,896 Praxair 28,800 1,409 Reynolds Metals Company 11,800 696 Rohm and Haas Company 38,713 1,660 Sigma-Aldrich Corp. 18,400 634 Temple-Inland Inc. 10,100 689 Union Carbide Corporation 24,200 1,180 USX-U.S. Steel Group, Inc. 16,100 435 *W.R. Grace & Co. 13,400 246 Westvaco Corporation 18,350 532 Weyerhaeuser Company 36,300 2,496 Willamette Industries, Inc. 20,200 930 Worthington Industries 16,850 277 --------- TOTAL 68,144 --------- MARKET VALUE COMMON STOCK (99.2%) SHARES (000'S) - --------------------------------------------------------------------------------- CAPITAL GOODS (8.4%) AlliedSignal, Inc. 101,700 $ 6,407 Avery Dennison Corporation 21,200 1,280 The B.F. Goodrich Company 13,600 578 Ball Corporation 5,600 237 Boeing Company 171,176 7,564 Briggs & Stratton Corporation 4,300 248 Browning-Ferris Industries, Inc. 28,900 1,243 Case Corporation 13,500 650 Caterpillar, Inc. 65,400 3,924 Cooper Industries, Inc. 17,200 894 Corning, Inc. 44,500 3,121 Crane Co. 12,475 392 Crown Cork & Seal Company, Inc. 22,300 636 Cummins Engine Company, Inc. 7,600 434 Danaher Corporation 24,400 1,418 Deere & Company 43,500 1,724 Dover Corporation 40,700 1,425 Eaton Corporation 13,000 1,196 Emerson Electric Co. 79,800 5,017 Fluor Corporation 13,800 559 Foster Wheeler Corporation 7,100 100 General Dynamics Corporation 23,100 1,582 General Electric Company 597,900 67,563 Honeywell, Inc. 23,000 2,665 ITT Industries Inc. 16,600 633 Illinois Tool Works, Inc. 45,600 3,739 Ingersoll-Rand Company 30,000 1,939 Johnson Controls, Inc. 15,500 1,074 Lockheed Martin Corporation 71,608 2,667 McDermott International, Inc. 10,800 305 Milacron Inc. 7,000 130 Millipore Corp. 8,000 325 Minnesota Mining & Manufacturing Co. 73,300 6,373 NACCO Industries, Inc. 1,500 110 National Service Industries, Inc. 7,500 270 *Navistar International Corporation 12,100 605 Northrop Grumman Corporation 12,600 836 *Owens-Illinois, Inc. 28,300 925 PACCAR, Inc. 14,270 762 Pall Corporation 22,700 504 Parker-Hannifin Corporation 19,775 905 Pitney Bowes Inc. 49,700 3,193 Raychem Corp. 14,100 522 Rockwell International Corp. 34,600 2,102 *Sealed Air Corporation 15,271 991 *Solectron Corporation 45,900 3,061 Tenneco Inc. 31,000 740 Textron Inc. 28,900 2,379 *Thermo Electron Corporation 29,000 582 Thomas & Betts Corporation 10,400 491 Timken Company 11,300 220 Tyco International Ltd. 148,905 14,109 United Technologies Corp. 88,000 6,309
-- 30 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1999
MARKET VALUE COMMON STOCK (99.2%) SHARES (000'S) - --------------------------------------------------------------------------------- CAPITAL GOODS (CONTINUED) Waste Management, Inc. 109,185 $ 5,869 --------- TOTAL 173,527 --------- COMMUNICATION SERVICES (8.8%) ALLTEL Corporation 50,200 3,589 Ameritech Corporation 200,500 14,737 AT&T Corporation 574,138 32,044 Bell Atlantic Corporation 283,184 18,513 Bellsouth Corporation 355,800 16,678 CenturyTel Inc. 25,200 1,002 Frontier Corporation 31,300 1,847 GTE Corporation 176,100 13,340 *MCI WorldCom, Inc. 334,482 28,849 *Nextel Communications, Inc. 52,500 2,635 SBC Communications, Inc. 356,898 20,700 Sprint Corporation 163,000 8,608 *Sprint PCS 80,250 4,584 U S WEST, Inc. 91,808 5,394 Vodafone AirTouch PLC 52,200 10,283 --------- TOTAL 182,803 --------- CONSUMER CYCLICAL (8.8%) American Greetings Corp. 12,800 386 Armstrong World Industries Inc. 7,300 422 *Autozone, Inc. 27,400 825 Black & Decker Corporation 16,000 1,010 Brunswick Corporation 16,800 468 Carnival Corporation 111,800 5,422 *Cendant Corporation 140,154 2,873 Centex Corporation 10,900 409 Circuit City Stores, Inc. 18,300 1,702 *Consolidated Stores Corporation 20,000 540 Cooper Tire & Rubber Company 13,800 326 *Costco Companies, Inc. 39,807 3,187 Dana Corporation 30,300 1,396 Dayton Hudson Corporation 80,400 5,226 Delphi Automotive Systems Corporation 103,137 1,914 Dillard 's , Inc. 19,500 685 Dollar General Corp. 40,343 1,170 Dow Jones & Company, Inc. 17,100 907 Dun & Bradstreet Corporation 30,100 1,067 *Federated Department Stores, Inc. 38,300 2,028 Fleetwood Enterprises, Inc. 6,400 169 Ford Motor Company 220,800 12,461 *Fruit of the Loom, Inc. 13,200 129 Gannet Company Inc. 51,400 3,669 Gap, Inc. 156,075 7,862 General Motors Corp. 119,400 7,880 Genuine Parts Company 32,800 1,148 Goodyear Tire & Rubber Company 28,400 1,670 H & R Block, Inc. 17,800 890 Harcourt General 13,000 670 *Harrahs Entertainment 23,000 506 Hasbro Inc. 35,775 999 Hilton Hotels Corporation 47,600 675 MARKET VALUE COMMON STOCK (99.2%) SHARES (000'S) - --------------------------------------------------------------------------------- CONSUMER CYCLICAL (CONTINUED) Home Depot, Inc. 268,996 $ 17,333 IMS Health Incorporated 58,200 1,819 Interpublic Group of Cos. Inc. 25,400 2,200 J.C. Penney Company, Inc. 48,100 2,336 Jostens, Inc. 6,400 135 Kaufman & Broad Home Corp. 8,700 216 *Kmart Corporation 89,900 1,478 Knight-Ridder, Inc. 14,300 786 *Kohl's Corporation 28,900 2,231 Laidlaw Transportation Limited 60,200 444 The Limited, Inc. 38,574 1,750 Liz Claiborne, Inc. 11,800 431 Lowe's Companies, Inc. 67,800 3,843 Marriott International 44,300 1,656 Masco Corporation 61,900 1,787 Mattel, Inc. 75,988 2,009 May Department Stores Company 63,900 2,612 Maytag Corporation 16,400 1,143 McGraw-Hill Companies Inc. 35,900 1,936 Meredith Corporation 9,500 329 *Mirage Resorts, Incorporated 35,900 601 The New York Times Company 33,300 1,226 Nike, Inc. 51,600 3,267 Nordstrom, Inc. 25,900 868 Omnicom Group Inc. 30,800 2,464 Owens Corning 9,900 340 Pep Boys - Manny, Moe & Jack 9,600 208 Pulte Corporation 7,900 182 *Reebok International Ltd. 10,300 192 Russell Corp. 6,600 129 Sears Roebuck & Co. 69,900 3,115 Service Corporation International 49,900 961 Sherwin-Williams Company 31,400 871 Snap-On Inc. 11,950 432 Springs Industries, Inc. 3,300 144 The Stanley Works 16,200 521 *Staples, Inc. 84,100 2,602 Tandy Corporation 36,200 1,769 Times Mirror Company 13,200 782 TJX Companies, Inc. 59,000 1,965 *Toys "R" Us 45,800 947 Tribune Company 21,700 1,891 TRW, Inc. 21,800 1,196 VF Corporation 21,900 936 Wal-Mart Stores, Inc. 811,400 39,150 Whirlpool Corporation 13,900 1,029 --------- TOTAL 184,953 --------- CONSUMER STAPLES (12.6%) Adolph Coors Co. 6,700 332 Alberto-Culver Company 10,400 277 Albertson's, Inc. 76,426 3,941 Anheuser-Busch Companies, Inc. 87,200 6,186 Avon Products, Inc. 47,900 2,658 BESTFOODS 52,100 2,579 Brown-Forman Corporation 12,500 815
-- 31 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1999
MARKET VALUE COMMON STOCK (99.2%) SHARES (000'S) - --------------------------------------------------------------------------------- CONSUMER STAPLES (CONTINUED) Campbell Soup Company 81,100 $ 3,761 Cardinal Health, Inc. 49,650 3,184 CBS Corporation 128,800 5,595 *Clear Channel Communications, Inc. 59,000 4,067 Clorox Company 21,400 2,286 The Coca-Cola Company 449,800 28,113 Coca Cola Enterprises Inc. 77,400 2,303 Colgate-Palmolive Co. 53,400 5,273 Comcast Corporation 134,900 5,185 Conagra, Inc. 89,300 2,378 CVS Corporation 71,100 3,608 Darden Restaurant, Inc. 25,100 547 Deluxe Corp. 14,700 572 Fort James Corporation 40,200 1,523 Fortune Brands, Inc. 31,200 1,291 General Mills, Inc. 28,000 2,251 Gillette Company 202,400 8,298 Great Atlantic & Pacific Tea Co., Inc. 7,000 237 H.J. Heinz Company 66,050 3,311 Hershey Foods Corporation 26,100 1,550 Kellogg Company 73,900 2,439 Kimberly-Clark Corporation 98,844 5,634 *King World Productions, Inc. 13,000 453 *The Kroger Co. 150,200 4,196 Longs Drug Stores Corp. 7,100 245 McDonald's Corporation 246,900 10,200 McKesson HBOC, Inc. 50,545 1,624 *MediaOne Group, Inc. 110,700 8,233 Nabisco Group Holdings Corp. 59,300 1,160 Newell Rubbermaid Inc. 51,232 2,382 PepsiCo, Inc. 267,700 10,357 Philip Morris Companies, Inc. 444,200 17,851 Procter & Gamble Company 242,300 21,625 The Quaker Oats Company 24,900 1,653 R.R. Donnelley & Sons Company 24,500 908 Ralston Purina Group 59,900 1,823 Rite Aid Corporation 47,200 1,162 *RJ Reynolds Tobacco Holdings Inc. 19,000 599 *Safeway Inc. 88,700 4,391 Sara Lee Corporation 166,400 3,775 The Seagram Company Ltd. 78,100 3,934 Supervalue Inc. 21,900 563 Sysco Corporation 60,700 1,810 Time Warner Inc. 223,900 16,457 *Tricon Global Restaurants, Inc. 27,790 1,504 Tupperware 10,500 268 Unilever N.V. 104,267 7,273 UST Incorporated 33,900 992 *Viacom, Inc. 126,912 5,584 Walgreen Company 182,200 5,352 Walt Disney Company 375,107 11,558 Wendy's International, Inc. 22,700 643 Winn-Dixie Stores, Inc. 27,100 1,001 MARKET VALUE COMMON STOCK (99.2%) SHARES (000'S) - --------------------------------------------------------------------------------- CONSUMER STAPLES (CONTINUED) Wm. Wrigley Jr. Company 21,200 $ 1,908 --------- TOTAL 261,678 --------- ENERGY (5.9%) Amerada Hess Corporation 16,500 982 Anadarko Petroleum Corporation 23,100 850 Apache Corporation 20,200 788 Ashland, Inc. 13,600 546 Atlantic Richfield Company 59,500 4,972 Baker Hughes, Inc. 59,630 1,998 Burlington Resource, Inc. 32,320 1,398 Chevron Corporation 119,000 11,327 Exxon Corporation 443,600 34,213 Halliburton Company 80,200 3,629 Helmerich & Payne, Inc. 9,000 214 Kerr-McGee Corporation 15,805 793 Mobil Corporation 142,300 14,088 Occidental Petroleum Corporation 63,100 1,333 Phillips Petroleum Company 46,500 2,340 *Rowan Companies, Inc. 15,300 282 Royal Dutch Petroleum Co., ADR 391,200 23,570 Schlumberger Limited 99,600 6,343 Sunoco, Inc. 17,100 516 Texaco Inc. 97,500 6,094 Union Pacific Resource Group 45,792 747 Unocal Corp. 44,000 1,744 USX -Marathon Group 56,100 1,827 --------- TOTAL 120,594 --------- FINANCE (15.7%) AFLAC INCORPORATED. 48,400 2,317 Allstate Corporation 149,728 5,371 American Express Company 82,600 10,748 American General Corporation 46,025 3,469 American International Group, Inc. 224,076 26,231 AmSouth Bancorporation 32,500 754 Aon Corporation 46,500 1,918 Associates First Capital Corporation 132,810 5,885 Banc One Corporation 214,586 12,781 Bank of America Corporation 315,776 23,150 Bank of New York Company, Inc. 138,800 5,092 BankBoston Corporation 54,100 2,766 BB&T Corporation 56,700 2,080 The Bear Stearns Companies, Inc. 20,360 952 Capital One Financial Corporation 35,900 1,999 The Charles Schwab Corporation 73,150 8,037 Chase Manhattan Corporation 154,312 13,367 The Chubb Corporation 29,700 2,064 CIGNA Corporation 37,700 3,355 Cincinnati Financial Corporation 30,500 1,146 Citigroup, Inc. 617,962 29,353 Comerica, Inc. 28,350 1,685 Conseco Inc. 58,437 1,779 Countrywide Credit Industries, Inc. 20,500 876
-- 32 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1999
MARKET VALUE COMMON STOCK (99.2%) SHARES (000'S) - --------------------------------------------------------------------------------- FINANCE (CONTINUED) Federal Home Loan Mortgage Corp. 123,800 $ 7,180 Fannie Mae 189,200 12,937 Fifth Third Bankcorp 48,575 3,233 First Union Corporation 180,752 8,495 Firstar Corporation 125,900 3,525 Fleet Financial Group Inc. 103,660 4,600 Franklin Resources Inc. 46,100 1,873 Golden West Financial Corporation 10,400 1,019 Hartford Financial Services Group Inc. 42,600 2,484 Household International Inc. 88,079 4,173 Huntington Bancshares, Inc. 38,440 1,345 J.P. Morgan & Company, Inc. 31,900 4,482 Jefferson-Pilot Corp. 19,350 1,281 KeyCorp 83,100 2,670 Lehman Brothers Holdings, Inc. 20,700 1,289 Lincoln National Corporation 36,800 1,925 Loews Corp. 20,700 1,638 Marsh & McLennan Companies, Inc. 46,950 3,545 MBIA, Inc. 18,100 1,172 MBNA Corp. 146,275 4,480 Mellon Bank Corporation 95,300 3,467 Mercantile Bancorp 28,700 1,639 Merrill Lynch & Co. 64,700 5,172 MGIC Investment Corp. 20,000 973 Morgan Stanley, Dean Witter, Discover & Co. 105,405 10,804 National City Corp. 59,500 3,897 Northern Trust Corp. 20,300 1,969 Paine Webber Group Inc. 26,100 1,220 PNC Bank Corp. 54,900 3,164 Progressive Corporation 13,200 1,914 Provident Companies, Inc. 24,700 988 Providian Financial Corporation 25,800 2,412 Regions Financial Corporation 40,400 1,553 Republic New York Corporation 19,600 1,336 SAFECO, Inc. 24,900 1,099 SLM Holding Corporation 30,200 1,384 SouthTrust Corporation 30,100 1,155 St. Paul Companies, Inc. 42,986 1,367 State Street Corporation 29,300 2,501 Summit Bancorp. 31,700 1,325 Suntrust Banks Inc. 58,500 4,062 Synovus Financial Corp. 48,750 969 Torchmark Corporation 25,600 874 Transamerica Corporation 22,800 1,710 U.S. Bancorp 132,931 4,520 Union Planters Corporation 25,100 1,122 UNUM Corporation 25,200 1,380 Wachovia Corporation 37,000 3,166 Washington Mutual, Inc. 108,236 3,829 Wells Fargo & Company 299,930 12,822 --------- TOTAL 324,314 --------- MARKET VALUE COMMON STOCK (99.2%) SHARES (000'S) - --------------------------------------------------------------------------------- HEALTHCARE (10.6%) Abbott Laboratories Inc.. 276,900 $ 12,599 Aetna, Inc.. 26,063 2,331 Allergan Inc. 12,000 1,332 *Alza Corporation 18,200 926 American Home Products Corporation 240,500 13,829 *Amgen, Inc. 92,900 5,655 Bausch & Lomb, Inc. 10,200 780 Baxter International, Inc. 52,200 3,165 Becton, Dickinson & Company 45,400 1,362 Biomet, Inc. 20,500 815 *Boston Scientific Corp. 71,700 3,150 Bristol-Myers Squibb Company 362,600 25,541 Columbia/HCA Healthcare Corporation 117,800 2,687 C.R. Bard, Inc. 9,800 469 Eli Lilly & Company 200,600 14,368 *Guidant Corporation 55,000 2,829 *HCR Manor Care Inc. 20,200 489 *HEALTHSOUTH Corporation 77,200 1,153 *Humana, Inc. 30,500 395 Johnson & Johnson 245,300 24,039 Mallinckrodt, Inc. 13,000 473 Medtronic, Inc. 106,600 8,301 Merck & Co., Inc. 434,600 32,160 Pfizer, Inc. 236,800 25,989 Pharmacia & Upjohn Inc. 92,705 5,267 Schering-Plough Corporation 268,100 14,209 *St. Jude Medical, Inc. 15,400 549 *Tenet Healthcare Corp. 56,600 1,051 *United Healthcare Corp. 34,000 2,129 Warner-Lambert Company 149,900 10,399 *Watson Pharmaceutical Inc. 17,400 610 *Wellpoint Health Networks 12,300 1,044 --------- TOTAL 220,095 --------- TECHNOLOGY (21.3%) *3COM Corporation 65,500 1,748 Adobe Systems, Inc. 11,100 912 *Advanced Micro Devices, Inc. 26,400 477 *America Online, Inc. 187,500 20,719 *Andrew Corporation 15,137 287 *Apple Computer, Inc. 29,000 1,343 *Applied Materials, Inc. 67,300 4,972 Autodesk, Inc. 10,800 319 Automatic Data Processing, Inc. 112,400 4,946 *BMC Software, Inc. 43,000 2,322 *Cabletron Systems, Inc. 31,400 408 *Ceridian Corp. 26,100 853 *Cisco Systems, Inc. 576,250 37,168 Compaq Computer Corporation 307,809 7,291 Computer Associates International, Inc. 98,312 5,407 *Computer Sciences Corp. 29,000 2,006 *Compuware Corporation 67,100 2,135 *Data General Corporation 8,800 128
-- 33 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1999
MARKET VALUE COMMON STOCK (99.2%) SHARES (000'S) - --------------------------------------------------------------------------------- TECHNOLOGY (CONTINUED) *Dell Computer Corp. 464,300 $ 17,179 EG&G, Inc. 8,200 292 Eastman Kodak Company 59,100 4,004 Electronic Data Systems Corporation 89,900 5,085 *EMC Corporation 183,100 10,071 Equifax, Inc. 26,900 960 First Data Corporation 80,800 3,954 *Gateway Inc. 28,500 1,682 *General Instrument Corporation 30,500 1,296 Harris Corporation 14,400 564 Hewlett-Packard Company 185,200 18,613 Ikon Office Solutions 26,900 404 Intel Corporation 608,300 36,194 International Business Machines Corporation 336,800 43,531 *KLA- Tencor Corporation 16,000 1,038 *LSI Logic Corp. 25,800 1,190 Lucent Technologies, Inc. 547,600 36,929 *Micron Technology 45,200 1,822 *Microsoft Corporation 920,800 83,045 Motorola, Inc. 109,500 10,375 *National Semiconductor Corporation 30,500 772 Nortel Networks Corporation 121,100 10,513 *Novell, Inc. 61,600 1,632 *Oracle Corporation 262,650 9,751 *Parametric Technology Company 48,800 677 Paychex, Inc. 44,750 1,426 PE Corp.-PE Biosystems Group 9,100 1,044 *Peoplesoft, Inc. 42,500 733 Polaroid Corporation 8,000 221 Raytheon Company- Class B 61,500 4,328 Scientific-Atlanta, Inc. 13,800 497 *Seagate Technology Inc. 44,500 1,140 Shared Medical Systems Corp. 4,900 320 *Silicon Graphics 34,200 560 *Sun Microsystems, Inc. 140,600 9,684 Tektronix, Inc. 8,550 258 *Tellabs, Inc. 70,900 4,790 Texas Instruments, Incorporated 71,200 10,324 *Unisys Corporation 47,600 1,853 W.W. Grainger, Inc. 17,300 931 Xerox Corporation 119,700 7,070 --------- TOTAL 440,193 --------- TRANSPORTATION (1.0%) *AMR Corporation 33,300 2,273 Burlington Northern Santa Fe 85,620 2,654 CSX Corporation 39,600 1,794 Delta Air Lines Inc. 25,800 1,487 *FDX Corporation 54,020 2,931 Kansas City Southern Industries, Inc. 20,000 1,276 Norfolk Southern Corporation 69,200 2,085 MARKET VALUE COMMON STOCK (99.2%) SHARES (000'S) - --------------------------------------------------------------------------------- TRANSPORTATION (CONTINUED) Ryder System, Inc. 13,100 $ 341 Southwest Airlines Co. 61,400 1,911 Union Pacific Corporation 45,100 2,630 *USAir Group, Inc. 15,900 693 --------- TOTAL 20,075 --------- UTILITIES (2.8%) *The AES Corporation 34,700 2,017 Ameren Corporation 25,000 959 American Electric Power Co. Inc. 34,900 1,311 Carolina Power & Light Company 27,600 1,181 Central & South West Corporation 38,800 907 Cinergy Corporation 28,917 925 CMS Energy Corp. 21,400 896 Coastal Corp. 38,800 1,552 Columbia Energy Group 15,250 956 Consolidated Edison Co. of New York 42,500 1,923 Consolidated Natural Gas Company 17,500 1,063 Constellation Energy Group Inc. 27,200 805 Dominion Resources Inc. 35,600 1,542 DTE Energy Company 26,500 1,060 Duke Energy Corp. 66,065 3,592 Eastern Enterprises 4,100 163 Edison International 64,400 1,722 Enron Corporation 64,000 5,232 Entergy Corporation 45,000 1,406 FirstEnergy Corporation 43,300 1,342 FPL Group, Inc. 33,000 1,802 GPU, Inc. 23,300 983 New Century Energies, Inc. 20,900 811 *Niagra Mohawk Power Corporation 34,200 549 Nicor, Inc. 8,700 331 Northern States Power Company 27,800 672 ONEOK, Inc. 5,800 184 P P & L Resources, Inc. 27,634 849 PacifiCorp 54,300 997 PECO Energy Company 40,900 1,713 Peoples Energy Corporation 6,500 245 PG&E Corp. 69,800 2,269 Public Service Enterprise Group, Inc. 40,700 1,663 Reliant Energy, Inc. 51,862 1,433 Sempra Energy 43,802 991 Sonat Inc. 20,100 666 Southern Company 127,200 3,371 Texas Utilities Company 51,515 2,125 UNICOM Corp. 39,600 1,527 Williams Companies Inc. 78,000 3,320 --------- TOTAL 57,055 --------- TOTAL COMMON STOCK 2,053,431 ---------
-- 34 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1999
MARKET VALUE MONEY MARKET INVESTMENTS (0.7%) PAR (000'S) - --------------------------------------------------------------------------------- FEDERAL GOVERNMENT AND AGENCIES (0.3%) Federal Home Loan Mortgage Corp., 4.88%, 09/02/99 500,000 $ 495 Federal Home Loan Mortgage Corp., 4.73%, 09/08/99 5,000,000 4,949 --------- TOTAL 5,444 --------- PERSONAL CREDIT INSTITUTIONS (0.4%) General Electric Capital Corporation, 5.70%, 07/01/99 4,500,000 4,500 Household Finance Company, 4.97%, 07/14/99 4,500,000 4,492 --------- TOTAL 8,992 --------- TOTAL MONEY MARKET INVESTMENTS 14,436 --------- TOTAL INVESTMENTS (99.9%) (COST $1,132,968,236)^ 2,067,867 OTHER ASSETS, LESS LIABILITIES (0.1%) 1,697 --------- TOTAL NET ASSETS (100.0%) $2,069,564 ---------
* Non-Income Producing ADR-American Depository Receipt # Partially held by the custodian in a segregated account as collateral for open futures positions. Information regarding open futures contracts as of June 30, 1999 is summarized below:
UNREALIZED NUMBER OF EXPIRATION APPRECIATION ISSUER CONTRACTS DATE (000'S) - --------------------------------------------------------------------------------------------- S&P 500 Stock Index 42 9/99 $ 453 (Total Notional Value at 6/30/99, $14,054,800)
^ At June 30, 1999, the aggregate cost of securities for federal income tax purposes was $1,132,968,236 and the net unrealized appreciation of investments based on that cost was $934,899,475 which is comprised of $953,401,949 aggregate gross unrealized appreciation and $18,502,474 aggregate gross unrealized depreciation. The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) -- 35 BALANCED PORTFOLIO - -------------------------------------------------------------------------------- Objective: Portfolio Strategy: Invested Assets: A high level of current income and Achieve consistent returns and low volatility by $3,509,742,000 capital growth with a low risk diversifying among assets 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. In the Balanced Portfolio, the main action taken over the last six months was the opportunistic selling of equities, in order to maintain the desired balance among asset classes during a period of increasing stock prices. In the bond portion of the Portfolio, a move to higher quality securities, accompanied by a defensive stance on interest rates, proved successful, as interest rates increased and the spread between rates on Treasury securities and riskier bonds widened. Percentage Holdings EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC EQUITIES (INCLUDING FUTURES) 58% BONDS 33% SHORT-TERM INVESTMENTS 9%
Performance Relative to Relevant Indices EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
BALANCED MERRILL LYNCH ML 91-DAY S&P 500 PORTFOLIO DOMESTIC MASTER INDEX T-BILL INDEX 6/89 $10,000 $10,000 $10,000 $10,000 6/90 $10,701 $10,732 $10,849 $11,620 6/91 $11,784 $11,901 $11,670 $12,468 6/92 $13,116 $13,584 $12,274 $14,139 6/93 $14,727 $15,205 $12,689 $16,062 6/94 $14,852 $15,047 $13,116 $16,271 6/95 $17,551 $16,941 $13,839 $20,485 6/96 $20,342 $17,781 $14,604 $25,790 6/97 $24,681 $19,235 $15,397 $34,706 6/98 $29,694 $21,286 $16,211 $45,128 6/99 $33,875 $21,942 $16,999 $55,373 AVERAGE ANNUAL TOTAL RETURN FOR PERIODS ENDED JUNE 30, 1999 ONE YEAR FIVE YEARS TEN YEARS Balanced Portfolio 14.08% 17.93% 12.98% MLDM Index 3.08% 7.84% 8.18% S&P 500 Index 22.70% 27.75% 18.67% ML 91-Day T-Bill 4.86% 5.32% 5.45%
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 6/30/89. 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 return significantly lower. Investors are urged to obtain a personalized illustration of historical performance which reflects the cost of insurance protection. -- 36 BALANCED PORTFOLIO NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1999
SHARES/ MARKET VALUE BONDS (33.3%) PAR (000'S) - ------------------------------------------------------------- CORPORATE BONDS (5.1%) AEROSPACE AND DEFENSE (.1%) Lockheed Corporation, 6.75%, 3/15/03 3,000,000 $ 3,005 ------------ BANK HOLDING COMPANIES (.4%) Banco Montevideo, 8.4%, 04/30/08 (144A) 6,250,000 5,125 BT Institutional Capital Trust, 7.75%, 12/01/26 (144A) 1,000,000 957 Security Capital Industrial Trust, 7.3%, 5/15/01 8,000,000 8,088 ------------ TOTAL 14,170 ------------ BANKING & FINANCE (.2%) Associates Corp. of North America, 7.95%, 2/15/10 5,550,000 5,891 ------------ CHEMICALS AND ALLIED PRODUCTS (0.3%) Dow Capital B.V., 8.5%, 6/8/10 8,200,000 8,979 ------------ COMMUNICATIONS (0.2%) Telecommunications, Inc., 7.375%, 2/15/00 8,000,000 8,066 ------------ DURABLE GOODS (0.1%) Tata Engineering & Locomotive, 7.875%, 07/15/07 (144A) 6,500,000 5,570 ------------ ELECTRIC SERVICES (1.6%) Columbia Gas System Inc., 7.32%, 11/28/10 7,571,000 7,452 Comed Financing II, 8.5%, 01/15/27 3,000,000 3,109 Dayton Power & Light Company, 8.15%, 1/15/26 5,750,000 5,789 Niagra Mohawk Power, 7.0%, 10/01/00 3,000,000 3,015 Niagra Mohawk Power, 7.25%, 10/01/02 1,500,000 1,510 Ohio Edison Company, 7.375%, 9/15/02 3,665,000 3,741 PECO Energy Trust, 6.130%, 03/01/09 8,000,000 7,585 Public Service Electric & Gas Co., 6.875%, 1/1/03 9,000,000 9,101 Southern California Edison Co., 7.25%, 3/1/26 10,000,000 9,530 Texas Utilities Electric Co., 7.875%, 3/1/23 4,000,000 3,946 ------------ TOTAL 54,778 ------------ ENERGY (0.1%) Barrett Resources Corporation, 7.55%, 2/01/07 5,000,000 4,858 ------------ SHARES/ MARKET VALUE BONDS (33.3%) PAR (000'S) - ------------------------------------------------------------- FOOD AND BEVERAGE (0.3%) Coca Cola Enterprises, Inc., 8%, 1/4/05 10,000,000 $ 10,607 ------------ GENERAL MERCHANDISE STORES (0.3%) May Department Stores Company, 6.7%, 9/15/28 6,150,000 5,703 May Department Stores Company, 7.45%, 10/15/16 4,000,000 4,100 ------------ TOTAL 9,803 ------------ INSURANCE (0.1%) Prudential Insurance Co., 6.375%, 7/23/06 2,500,000 2,394 ------------ MOTION PICTURE (0.4%) News America Holdings Inc., 8.45%, 8/1/34 10,000,000 10,744 Time Warner Entertainment Inc., 8.375%, 3/15/23 3,000,000 3,246 Time Warner Entertainment Inc., 8.375%, 7/15/33 1,500,000 1,621 ------------ TOTAL 15,611 ------------ MOTOR VEHICLES (0.4%) General Motors Acceptance Corp., 6.625%, 10/1/02 5,000,000 5,004 General Motors Corporation, 8.8%, 3/1/21 6,500,000 7,595 ------------ TOTAL 12,599 ------------ TECHNOLOGY (0.1%) International Business Machines, 6.22%, 08/01/27 3,000,000 3,023 ------------ TELEPHONE COMMUNICATIONS (0.4%) AT&T Corp, 5.625%, 03/15/04 5,000,000 4,841 Cox Communications, Inc., 6.80%, 8/01/28 1,000,000 898 GTE Corporation, 6.94%, 04/15/28 3,000,000 2,852 New England Telephone and Telegraph, 5.875%, 04/15/09 5,000,000 4,659 ------------ TOTAL 13,250 ------------ TEXTILES (0.0%) #Polysindo International Finance, 11.375%, 06/15/06 6,500,000 1,625 ------------ TOBACCO (0.0%) Philip Morris Companies, 9.25%, 2/15/00 1,000,000 1,018 ------------ UTILITY (0.1%) Atlantic City Electric Company, 6.625%, 8/1/13 4,000,000 3,784 ------------ TOTAL CORPORATE BONDS 179,031 ------------
-- 37 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1999
SHARES/ MARKET VALUE BONDS (33.3%) PAR (000'S) - ------------------------------------------------------------- GOVERNMENT (DOMESTIC AND FOREIGN) AND AGENCY BONDS (21.2%) FOREIGN GOVERNMENT BONDS (0.2%) Province of Quebec, 6.5%, 1/17/06 7,500,000 $ 7,310 ------------ FEDERAL GOVERNMENT AND AGENCIES (21.0%) Federal Home Loan Bank, 5.540%, 01/08/09 5,000,000 4,594 Federal Home Loan Mortgage Corporation, 6.5%, 10/01/02 14,746,795 14,589 Federal Home Loan Mortgage Corporation, 7.0%, 03/15/07 7,250,000 7,329 Federal Home Loan Mortgage Corporation, 7.5%, 09/29/01 13,940,913 14,121 Federal National Mortgage Assoc., 5.970%, 10/1/08 1,780,461 1,701 Federal National Mortgage Assoc., 6.070%, 10/1/08 7,096,487 6,931 Federal National Mortgage Assoc., 6.240%, 02/01/06 4,876,373 4,800 Federal National Mortgage Assoc., 6.265%, 10/1/08 5,708,542 5,549 Federal National Mortgage Assoc., 6.315%, 03/01/06 5,148,209 5,085 Federal National Mortgage Assoc., 6.34%, 2/01/08 4,201,322 4,115 Federal National Mortgage Assoc., 6.43%, 6/01/08 7,386,667 7,268 Federal National Mortgage Assoc., 6.500%, 09/25/05 5,345,771 5,336 Federal National Mortgage Assoc., 6.750% 11/01/07 3,078,456 3,089 Federal National Mortgage Assoc., 6.750%, 04/25/18 5,493,891 5,493 Federal National Mortgage Assoc., 6.750%, 12/25/23 6,500,000 6,362 Federal National Mortgage Assoc., 6.834%, 07/01/03 3,194,578 3,217 Federal National Mortgage Assoc., 6.895%, 05/01/06 6,021,135 6,114 Federal National Mortgage Assoc., 6.900%, 04/01/06 2,427,389 2,465 Federal National Mortgage Assoc., 6.960%, 10/01/07 4,433,852 4,498 Federal National Mortgage Assoc., 7.000%, 06/01/03 3,185,056 3,212 Federal National Mortgage Assoc., 7.000%, 06/25/10 8,070,000 8,044 Federal National Mortgage Assoc., 7.000%, 04/01/26 15,354,068 15,225 Federal National Mortgage Assoc., 7.025%, 08/01/05 1,931,126 1,971 SHARES/ MARKET VALUE BONDS (33.3%) PAR (000'S) - ------------------------------------------------------------- FEDERAL GOVERNMENT AND AGENCIES (CONTINUED) Federal National Mortgage Assoc., 7.045%, 08/01/05 7,556,584 $ 7,715 Federal National Mortgage Assoc., 7.120%, 11/01/03 977,819 996 Federal National Mortgage Assoc., 7.250%, 05/01/04 1,560,898 1,601 Federal National Mortgage Assoc., 8.400%, 02/25/09 10,910,000 11,617 Federal National Mortgage Assoc., 11.000%, 12/01/12 201,652 217 Federal National Mortgage Assoc., 11.000%, 09/01/17 1,478,015 1,598 Federal National Mortgage Assoc., 11.000%, 12/01/17 231,028 250 Federal National Mortgage Assoc., 11.000%, 02/01/18 573,333 621 Federal National Mortgage Assoc., 11.500%, 04/01/18 1,059,438 1,163 Federal National Mortgage Assoc., 12.000%, 09/01/12 1,543,639 1,709 Federal National Mortgage Assoc., 12.000%, 12/01/12 290,785 320 Federal National Mortgage Assoc., 12.000%, 09/01/17 428,576 477 Federal National Mortgage Assoc., 12.000%, 10/01/17 602,459 671 Federal National Mortgage Assoc., 12.000%, 12/01/17 518,445 577 Federal National Mortgage Assoc., 12.000%, 02/01/18 544,065 606 Federal National Mortgage Assoc., 12.500%, 04/01/18 453,296 508 Federal National Mortgage Assoc., 13.000%, 11/01/12 300,302 341 Federal National Mortgage Assoc., 13.000%, 11/01/17 482,633 548 Federal National Mortgage Assoc., 13.000%, 12/01/17 207,215 232 Federal National Mortgage Assoc., 13.000%, 02/01/18 757,141 859 Federal National Mortgage Assoc., 14.000%, 12/01/17 202,830 237 Government National Mortgage Assoc., 7.00%, 05/15/23 9,849,028 9,762 Government National Mortgage Assoc., 7.00%, 06/15/23 684,548 678 Government National Mortgage Assoc., 7.00%, 07/15/23 997,698 990
-- 38 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1999
SHARES/ MARKET VALUE BONDS (33.3%) PAR (000'S) - ------------------------------------------------------------- FEDERAL GOVERNMENT AND AGENCIES (CONTINUED) Government National Mortgage Assoc., 7.00%, 08/15/23 18,336 $ 18 Government National Mortgage Assoc., 7.00%, 09/15/23 552,376 548 Government National Mortgage Assoc., 7.00%, 10/15/23 405,338 401 Government National Mortgage Assoc., 7.00%, 11/15/23 1,415,991 1,404 Government National Mortgage Assoc., 7.00%, 12/15/27 311,777 308 Government National Mortgage Assoc., 7.00%, 1/15/28 456,254 451 Government National Mortgage Assoc., 7.00%, 2/15/28 115,804 114 Government National Mortgage Assoc., 7.00%, 3/15/28 234,982 232 Government National Mortgage Assoc., 7.00%, 4/15/28 704,900 697 Government National Mortgage Assoc., 7.00%, 5/15/28 1,448,911 1,432 Government National Mortgage Assoc., 7.00%, 6/15/28 3,958,526 3,913 Government National Mortgage Assoc., 7.00%, 7/15/28 4,816,533 4,761 Government National Mortgage Assoc., 7.50%, 1/15/23 638,363 647 Government National Mortgage Assoc., 7.50%, 6/15/23 353,277 358 Government National Mortgage Assoc., 7.50%, 6/15/24 8,294 8 Government National Mortgage Assoc., 7.50%, 7/15/24 275,660 279 Government National Mortgage Assoc., 7.50%, 8/15/25 14,326 15 SHARES/ MARKET VALUE BONDS (33.3%) PAR (000'S) - ------------------------------------------------------------- FEDERAL GOVERNMENT AND AGENCIES (CONTINUED) Government National Mortgage Assoc., 7.50%, 9/15/25 255,751 $ 259 Government National Mortgage Assoc., 7.50%, 11/15/25 11,879 12 Government National Mortgage Assoc., 7.50%, 12/15/25 476,574 483 Government National Mortgage Assoc., 7.50%, 1/15/26 15,998 16 Government National Mortgage Assoc., 7.50%, 3/15/26 558,700 566 Government National Mortgage Assoc., 7.50%, 6/15/26 1,055,156 1,069 Government National Mortgage Assoc., 7.50%, 9/15/26 14,329 15 Government National Mortgage Assoc., 7.50%, 10/15/26 84,173 85 Government National Mortgage Assoc., 7.50%, 12/15/26 661,694 670 Government National Mortgage Assoc., 7.50%, 1/15/27 41,834 43 Government National Mortgage Assoc., 7.50%, 2/15/27 432,590 438 Government National Mortgage Assoc., 7.50%, 3/15/27 40,846 41 Government National Mortgage Assoc., 7.50%, 4/15/27 1,478,603 1,496 Government National Mortgage Assoc., 7.50%, 5/15/27 619,581 627 Government National Mortgage Assoc., 7.50%, 7/15/27 651,500 659 Government National Mortgage Assoc., 7.50%, 12/15/27 179,735 182 Government National Mortgage Assoc., 7.50%, 7/15/28 852,036 862
-- 39 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1999
SHARES/ MARKET VALUE BONDS (33.3%) PAR (000'S) - ------------------------------------------------------------- FEDERAL GOVERNMENT AND AGENCIES (CONTINUED) Government National Mortgage Assoc., 8.00%, 9/15/24 382,344 $ 393 Government National Mortgage Assoc., 8.00%, 3/15/26 251,339 258 Government National Mortgage Assoc., 8.00%, 5/15/26 492,328 506 Government National Mortgage Assoc., 8.00%, 6/15/26 448,626 461 Government National Mortgage Assoc., 8.00%, 7/15/26 1,060,235 1,091 Government National Mortgage Assoc., 8.00%, 8/15/26 416,987 429 Government National Mortgage Assoc., 8.00%, 9/15/26 382,160 393 Government National Mortgage Assoc., 8.00%, 10/15/26 713,051 733 Government National Mortgage Assoc., 8.00%, 11/15/26 406,962 418 Government National Mortgage Assoc., 8.00%, 12/15/26 433,047 445 Government National Mortgage Assoc., 8.00%, 4/15/27 787,080 809 Government National Mortgage Assoc., 8.00%, 6/15/27 375,149 386 Government National Mortgage Assoc., 8.00%, 7/15/27 158,352 163 Government National Mortgage Assoc., 8.00%, 7/20/28 3,258,499 3,325 Government National Mortgage Assoc., 8.50%, 05/15/22 4,047 4 Government National Mortgage Assoc., 8.50%, 09/15/22 7,308 8 Government National Mortgage Assoc., 8.50%, 10/15/22 33,018 33 SHARES/ MARKET VALUE BONDS (33.3%) PAR (000'S) - ------------------------------------------------------------- FEDERAL GOVERNMENT AND AGENCIES (CONTINUED) Government National Mortgage Assoc., 8.50%, 12/15/22 26,253 $ 26 Government National Mortgage Assoc., 8.50%, 06/15/24 8,826 9 Government National Mortgage Assoc., 8.50%, 07/15/24 21,635 23 Government National Mortgage Assoc., 8.50%, 08/15/24 45,983 48 Government National Mortgage Assoc., 8.50%, 12/15/24 8,246 9 Government National Mortgage Assoc., 8.50%, 01/15/25 89,497 93 Government National Mortgage Assoc., 8.50%, 02/15/25 62,375 65 Government National Mortgage Assoc., 8.50%, 01/15/26 44,746 47 Government National Mortgage Assoc., 8.50%, 02/15/26 8,675 9 Government National Mortgage Assoc., 8.50%, 03/15/26 27,155 29 Government National Mortgage Assoc., 8.50%, 04/15/26 74,306 78 Government National Mortgage Assoc., 8.50%, 05/15/26 22,493 24 Government National Mortgage Assoc., 11.00%, 01/15/18 7,516,519 8,457 Rural Housing Trust - Class D, 6.33%, 4/1/26 5,046,508 5,004 U.S. Treasury, 3.625%, 07/15/02 2,537,375 2,513 U.S. Treasury, 3.625%, 04/15/28 6,500,000 6,138 U.S. Treasury, 4.000%, 10/31/00 11,650,000 11,439 U.S. Treasury, 4.500%, 01/31/01 15,600,000 15,366 U.S. Treasury, 4.750%, 02/15/04 19,250,000 18,498 U.S. Treasury, 4.750%, 11/15/08 65,700,000 60,300 U.S. Treasury, 5.000%, 02/28/01 4,500,000 4,465 U.S. Treasury, 5.250%, 05/15/04 50,000,000 49,125 U.S. Treasury, 5.500%, 02/29/00 54,000,000 54,118 U.S. Treasury, 5.500%, 01/31/03 3,500,000 3,476 U.S. Treasury, 5.500%, 03/31/03 15,500,000 15,384
-- 40 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1999
SHARES/ MARKET VALUE BONDS (33.3%) PAR (000'S) - ------------------------------------------------------------- FEDERAL GOVERNMENT AND AGENCIES (CONTINUED) U.S. Treasury, 5.500%, 02/15/08 175,000 $ 170 U.S. Treasury, 5.625%, 04/30/00 10,500,000 10,530 U.S. Treasury, 5.625%, 12/31/02 2,300,000 2,295 U.S. Treasury, 5.625%, 02/15/06 127,000,000 125,055 U.S. Treasury, 5.625%, 05/15/08 34,000,000 33,299 U.S. Treasury, 6.000%, 07/31/02 4,000,000 4,040 U.S. Treasury, 6.125%, 08/15/07 22,000,000 22,241 U.S. Treasury, 6.875%, 05/15/06 50,000,000 52,641 U.S. Treasury, 7.250%, 08/15/04 6,000,000 6,373 U.S. Treasury, 7.250%, 05/15/16 4,200,000 4,610 Vendee Mortgage Trust, 6.5%, 6/07/08 4,500,000 4,221 Vendee Mortgage Trust, 0.495%, 6/15/23 IO 75,240,289 1,310 ------------ TOTAL 739,893 ------------ TOTAL GOVERNMENT BONDS 747,203 ------------ MORTGAGE/ASSET BACKED SECURITIES (6.8%) AUTO-RELATED (0.5%) Daimler-Benz Vehicle Trust - Class A, 5.85%, 7/20/03 564,535 565 Eaglemark Trust - Class A, 6.75%, 11/15/02 2,034,982 2,055 Fleetwood Credit Corporation Grantor Trust - Class A, 6.4%, 05/15/13 1,937,074 1,945 Team Fleet Financing Corporation - Class A, 6.65%, 12/15/02 (144A) 11,800,000 11,760 ------------ TOTAL 16,325 ------------ BANKING AND FINANCE (0.3%) Morgan Stanley Capital Trust, 7.388%, 08/15/06 (144A) 6,925,000 7,246 Nations Bank Lease Pass Thru Trust 97-A, 7.442%, 01/10/11 (144A) 2,000,000 2,008 ------------ TOTAL 9,254 ------------ CREDIT CARD (0.5%) Iroquois Trust - Class A, 6.68%, 11/10/03 (144A) 12,365,232 12,374 Iroquois Trust - Class A, 6.752%, 06/25/07 (144A) 4,750,000 4,757 ------------ TOTAL 17,131 ------------ COMMERCIAL MORTGAGES (4.0%) Asset Securitization Corporation - Class CS1, 1.257%, 11/13/26 IO 22,112,817 708 Asset Securitization Corporation - Class PS1, 1.367%, 02/14/41 IO 22,299,058 2,049 SHARES/ MARKET VALUE BONDS (33.3%) PAR (000'S) - ------------------------------------------------------------- COMMERCIAL MORTGAGES (CONTINUED) BankBoston Marine Asset Backed Trust - Class A6, 6.64%, 08/15/10 7,000,000 $ 7,019 Chase Commercial Mortgage Securities Corp. - Class A2, 6.6%, 11/19/07 8,500,000 8,364 Chase Commercial Mortgage Securities Corp. - Class A2, 6.6%, 11/19/07 2,500,000 2,446 Citibank Credit Card Master Trust I - Class A, 0%, 08/15/06 17,000,000 12,353 Commercial Mortgage Asset Trust - Class C, 7.350%, 08/17/13 5,000,000 4,863 Credit Suisse First Boston Mortgage Securities Corp. - Class A2, 7.26%, 6/20/07 (144A) 3,139,367 3,228 Credit Suisse First Boston Mortgage Securities Corp. - Class B, 7.28%, 6/20/07 (144A) 3,250,000 3,260 Credit Suisse First Boston Mortgage Securities Corp. - Class B, 9.546%, 4/25/25 (144A) 3,000,000 3,202 Credit Suisse First Boston Mortgage Securities Corp. - Class D, 9.5464%, 4/25/25 (144A) 2,047,000 2,229 Criimi Mae Commercial Mortgage Trust, 7.0%, 11/02/06 6,500,000 5,978 Criimi Mae Commercial Mortgage Trust, 7.0%, 11/02/11 5,700,000 4,293 DLJ Mortgage Acceptance Corporation - Class CF1, 0.718%, 02/18/31 IO 253,667,201 9,639 DLJ Mortgage Acceptance Corporation - Class S, 0.357%, 10/15/17 (144A) IO 18,675,632 406 DLJ Mortgage Acceptance, 8.10%, 6/18/04 2,202,050 2,327 DLJ Mortgage Acceptance, 8.10%, 6/18/04 1,650,000 1,731 First Union-Lehman Brothers Commerical Mortgage Trust - Class C, 7.44%, 04/18/07 2,500,000 2,521 Kmart CMBS Financing, Inc. - Class B, 5.330%, 03/01/07 (144A) 8,000,000 7,958
-- 41 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1999
SHARES/ MARKET VALUE BONDS (33.3%) PAR (000'S) - ------------------------------------------------------------- COMMERCIAL MORTGAGES (CONTINUED) Kmart CMBS Financing, Inc. - Class C, 5.630%, 03/01/07 (144A) 12,500,000 $ 12,402 Kmart CMBS Financing, Inc. - Class D, 6.980%, 03/01/07 (144A) 4,500,000 4,456 LB Mortgage Trust, 8.396%, 01/20/17 9,241,629 10,247 Merrill Lynch Mortgage Investors, Inc. - Class C, 8.973%, 11/25/20 5,845,000 5,834 Merrill Lynch Mortgage Investors, Inc. - Class E, 8.393% , 06/25/22 (144A) 2,000,000 2,000 Midland Realty Acceptance Corp. - Class AEC, 1.389%, 1/25/29 (144A) IO 27,623,740 1,686 Nomura Asset Securities Corp.- Class A2, 7.016%, 03/17/28 15,000,000 14,401 Nomura Asset Securities Corp.- Class A4, 7.596%, 03/17/28 2,200,000 2,053 Red Mountain Funding LLC - Class E, 7.365%, 01/15/19 (144A) 1,500,000 1,284 Red Mountain Funding LLC - Class F, 7.471%, 01/15/19 (144A) 1,800,000 1,374 ------------ TOTAL 140,311 ------------ FRANCHISE LOAN RECEIVABLES (0.4%) EMAC Owner Trust - Class A2, 6.38%, 01/15/25 (144A) 6,000,000 5,810 EMAC Owner Trust, 1.378%, 01/15/25 IO (144A) 38,848,403 2,507 CMAC, 6.644%, 12/15/07 (144A) 2,500,000 2,421 Global Franchise Trust, 6.349%, 4/10/04 3,579,626 3,540 ------------ TOTAL 14,278 ------------ HOME EQUITY LOAN (0.1%) Amresco Residential Securities- Class A2, 6.245%, 4/25/22 2,500,000 2,500 ------------ MANUFACTURED HOUSING (0.1%) Vanderbilt Mortgage and Finance, Inc. - Class 1A4, 7.19%, 02/07/14 2,500,000 2,545 ------------ OTHER ASSET BACKED (0.5%) FMAC Loan Receivables Trust - Class A, 6.20%, 09/15/20 (144A) 5,033,942 4,921 SHARES/ MARKET VALUE BONDS (33.3%) PAR (000'S) - ------------------------------------------------------------- OTHER ASSET BACKED (CONTINUED) Harley Davidson Eaglemark, 5.87%, 4/15/04 1,900,000 $ 1,876 Health Care Receivables, 6.250%, 02/01/03 (144A) 3,000,000 2,951 Heilig-Meyers Master Trust - Class A, 6.125%, 01/20/07 (144A) 6,500,000 6,388 Nations Credit Grantor Trust - Class A1, 6.35%, 04/15/14 1,742,162 1,739 Newcourt Equipment - Class B, 6.764%, 09/20/04 (144A) 1,005,087 1,001 Newcourt Equipment - Class C, 7.734%, 09/20/04 (144A) 804,069 798 ------------ TOTAL 19,674 ------------ RESIDENTIAL MORTGAGES (0.3%) BCF L L C Mortgage Pass Thru Certificate - Class B3, 7.75%, 3/25/37 (144A) 4,835,469 4,402 Blackrock Capital Finance LP, Class B3, 7.25%, 11/25/28 (144A) 5,826,593 4,865 ------------ TOTAL 9,267 ------------ UTILITY (0.1%) Comed Transitional, 5.74%, 12/16/08 5,500,000 5,129 ------------ TOTAL MORTGAGE/ASSET BACKED SECURITIES 236,414 ------------ MUNICIPAL BONDS (0.2%) New Jersey Economic Development Authority, 0.00%, 2/15/25 17,000,000 2,707 New Jersey Economic Development Authority, 0.00%, 2/15/26 11,000,000 1,631 New Jersey Economic Development Authority, 7.425%, 2/15/29 2,250,000 2,348 ------------ TOTAL MUNICIPAL BONDS 6,686 ------------ TOTAL BONDS 1,169,334 ------------ COMMON STOCK (52.5%) - ------------------------------------------------------------- BASIC MATERIALS (1.7%) Air Products & Chemicals, Inc. 37,600 1,513 Alcan Aluminum Limited 37,300 1,191 Alcoa Inc. 60,100 3,719 Allegheny Teledyne, Inc. 32,162 728 Archer Daniels Midland Company 96,956 1,497 ASARCO, Inc. 6,500 122 Barrick Gold Corporation 61,100 1,184
-- 42 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1999
SHARES/ MARKET VALUE COMMON STOCK (52.5%) PAR (000'S) - ------------------------------------------------------------- BASIC MATERIALS (CONTINUED) *Battle Mountain Gold Company 37,600 $ 92 Bemis Company, Inc. 8,600 342 *Bethlehem Steel Corporation 21,300 164 Boise Cascade Corporation 9,200 394 Champion International 15,700 752 Cyprus Amax Minerals Co. 14,900 226 Dow Chemical Company 36,300 4,606 E.I. du Pont de Nemours & Company 184,400 12,597 Eastman Chemical Company 12,975 671 Ecolab, Inc. 21,200 925 Engelhard Corp. 20,500 464 *FMC Corporation 5,400 369 *Freeport-McMoRan Copper & Gold, Inc. 27,100 486 Georgia Pacific Corp. 28,800 1,364 Great Lakes Chemical 9,700 447 Hercules Inc. 16,500 649 Homestake Mining Company 42,600 349 *Inco Limited 29,700 535 International Flavors & Fragrances, Inc. 17,400 772 International Paper Company 67,131 3,390 Louisiana Pacific Corporation 17,800 423 Mead Corp. 16,700 697 Monsanto Company 102,600 4,046 Nalco Chemical Company 10,700 555 Newmont Mining Corporation 27,430 545 Nucor Corp. 14,300 678 Phelps Dodge Corporation 9,500 588 Pioneer Hi-Bred International 39,200 1,526 Placer Dome Inc. 53,300 630 Potlatch Corporation 4,700 207 PPG Industries, Inc. 28,800 1,701 Praxair 25,800 1,263 Reynolds Metals Company 10,600 625 Rohm and Haas Company 34,701 1,488 Sigma-Aldrich Corp. 16,500 568 Temple-Inland Inc. 9,100 621 Union Carbide Corporation 21,800 1,063 USX-U.S. Steel Group, Inc. 14,500 392 *W.R. Grace & Co. 12,000 221 Westvaco Corporation 16,450 477 Weyerhaeuser Company 32,600 2,241 Willamette Industries, Inc. 18,200 838 Worthington Industries 15,100 248 ------------ TOTAL 61,189 ------------ CAPITAL GOODS (4.4%) AlliedSignal, Inc. 91,200 5,746 Avery Dennison Corporation 19,000 1,147 SHARES/ MARKET VALUE COMMON STOCK (52.5%) PAR (000'S) - ------------------------------------------------------------- CAPITAL GOODS (CONTINUED) Ball Corporation 5,000 $ 211 The B. F. Goodrich Company 12,200 519 Boeing Company 153,618 6,788 Briggs & Stratton Corporation 3,800 219 Browning-Ferris Industries, Inc. 25,900 1,114 Case Corporation 12,100 582 Caterpillar, Inc. 58,700 3,522 Cooper Industries, Inc. 15,500 806 Corning, Inc. 40,000 2,805 Crane Co. 11,225 353 Crown Cork & Seal Company, Inc. 20,000 570 Cummins Engine Company, Inc. 6,900 394 Danaher Corporation 21,900 1,273 Deere & Company 39,100 1,549 Dover Corporation 36,500 1,278 Eaton Corporation 11,700 1,076 Emerson Electric Co. 71,600 4,502 Fluor Corporation 12,400 502 Foster Wheeler Corporation 6,700 95 General Dynamics Corporation 20,800 1,425 General Electric Company 536,700 60,647 Honeywell, Inc. 20,600 2,387 Illinois Tool Works, Inc. 41,000 3,362 Ingersoll-Rand Company 26,950 1,742 ITT Industries Inc. 14,900 568 Johnson Controls, Inc. 13,900 963 Lockheed Martin Corporation 64,322 2,396 McDermott International, Inc. 9,700 274 Milacron Inc. 6,300 117 Millipore Corp. 7,200 292 Minnesota Mining & Manufacturing Co. 65,800 5,720 NACCO Industries, Inc. 1,300 96 National Service Industries, Inc. 6,700 241 *Navistar International Corporation 10,870 544 Northrop Grumman Corporation 11,300 749 *Owens-Illinois, Inc. 25,400 830 PACCAR, Inc. 12,790 683 Pall Corporation 20,366 452 Parker-Hannifin Corporation 17,800 814 Pitney Bowes Inc. 44,700 2,872 Raychem Corp. 12,700 470 Rockwell International Corp. 31,100 1,889 *Sealed Air Corporation 13,686 888 *Solectron Corporation 41,200 2,748 Tenneco Inc. 27,900 666 Textron Inc. 25,900 2,132
-- 43 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1999
SHARES/ MARKET VALUE COMMON STOCK (52.5%) PAR (000'S) - ------------------------------------------------------------- CAPITAL GOODS (CONTINUED) *Thermo Electron Corporation 26,000 $ 522 Thomas & Betts Corporation 9,300 439 Timken Company 10,200 199 Tyco International Ltd. 133,660 12,664 United Technologies Corp. 79,000 5,663 Waste Management, Inc. 97,997 5,267 ------------ TOTAL 155,772 ------------ COMMUNICATION SERVICES (4.7%) ALLTEL Corporation 45,000 3,218 Ameritech Corporation 180,000 13,230 AT&T Corporation 515,455 28,768 Bell Atlantic Corporation 254,280 16,624 Bell South Corporation 319,400 14,972 CenturyTel Inc. 22,600 898 Frontier Corporation 28,100 1,658 GTE Corporation 158,100 11,975 *MCI WorldCom, Inc. 300,289 25,900 *Nextel Communications, Inc. 47,100 2,364 SBC Communications, Inc. 320,374 18,582 Sprint Corporation 146,400 7,732 *Sprint PCS 72,050 4,116 U S WEST, Inc. 82,405 4,841 Vodafone AirTouch PLC 46,850 9,229 ------------ TOTAL 164,107 ------------ CONSUMER CYCLICALS (4.7%) American Greetings Corp. 11,500 346 Armstrong World Industries Inc. 6,600 382 *Autozone, Inc. 24,600 741 Black & Decker Corporation 14,400 909 Brunswick Corporation 15,000 418 Carnival Corporation 100,400 4,869 *Cendant Corporation 125,754 2,578 Centex Corporation 9,700 364 Circuit City Stores, Inc. 16,500 1,535 *Consolidated Stores Corporation 17,900 483 Cooper Tire & Rubber Company 12,400 293 *Costco Companies, Inc. 35,751 2,862 Dana Corporation 27,165 1,251 Dayton Hudson Corporation 72,200 4,693 Delphi Automotive Systems Corporation 92,544 1,718 Dillard's, Inc. 17,500 615 Dollar General Corp. 36,268 1,052 Dow Jones & Company, Inc. 15,400 817 Dun & Bradstreet Corporation 27,100 960 *Federated Department Stores, Inc. 34,300 1,816 Fleetwood Enterprises, Inc. 5,700 151 SHARES/ MARKET VALUE COMMON STOCK (52.5%) PAR (000'S) - ------------------------------------------------------------- CONSUMER CYCLICALS (CONTINUED) Ford Motor Company 198,200 $ 11,185 *Fruit of the Loom, Inc. 11,800 115 Gannet Company Inc. 46,100 3,290 Gap, Inc. 140,025 7,054 General Motors Corp. 107,200 7,075 Genuine Parts Company 29,475 1,032 Goodyear Tire & Rubber Company 25,500 1,500 H & R Block, Inc. 16,000 800 Harcourt General 11,600 598 *Harrahs Entertainment 20,700 455 Hasbro Inc. 32,125 897 Hilton Hotels Corporation 42,700 606 Home Depot, Inc. 241,398 15,554 IMS Health Incorporated 52,200 1,631 Interpublic Group of Cos. Inc. 22,800 1,975 J.C. Penney Company, Inc. 43,200 2,098 Jostens, Inc. 5,800 122 Kaufman & Broad Home Corp. 7,800 194 *Kmart Corporation 80,700 1,327 Knight-Ridder, Inc. 12,900 709 *Kohl's Corporation 25,900 1,999 Laidlaw Transportation Limited 54,100 399 The Limited, Inc. 34,585 1,569 Liz Claiborne, Inc. 10,600 387 Lowe's Companies, Inc. 60,800 3,447 Marriott International 39,800 1,488 Masco Corporation 55,600 1,605 Mattel, Inc. 68,260 1,805 May Department Stores Company 57,350 2,344 Maytag Corporation 14,700 1,024 McGraw-Hill Companies Inc. 32,200 1,737 Meredith Corporation 8,500 294 *Mirage Resorts, Incorporated 32,200 539 The New York Times Company 29,900 1,101 Nike, Inc. 46,300 2,931 Nordstrom, Inc. 23,300 781 Omnicom Group Inc. 27,600 2,208 Owens Corning 8,900 306 Pep Boys - Manny, Moe & Jack 8,600 186 Pulte Corporation 7,100 164 *Reebok International Ltd. 9,200 171 Russell Corp. 5,900 115 Sears Roebuck & Co. 62,700 2,794 Service Corporation International 44,800 862 Sherwin-Williams Company 28,200 783 Snap-On Inc. 10,750 389 Springs Industries, Inc. 2,900 127 The Stanley Works 14,500 467
-- 44 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1999
SHARES/ MARKET VALUE COMMON STOCK (52.5%) PAR (000'S) - ------------------------------------------------------------- CONSUMER CYCLICALS (CONTINUED) *Staples, Inc. 75,450 $ 2,334 Tandy Corporation 32,400 1,584 Times Mirror Company 11,800 699 TJX Companies, Inc. 52,900 1,762 *Toys R Us 41,100 850 Tribune Company 19,500 1,699 TRW, Inc. 19,600 1,076 VF Corporation 19,600 838 Wal-Mart Stores, Inc. 728,300 35,139 Whirlpool Corporation 12,500 925 ------------ TOTAL 165,998 ------------ CONSUMER STAPLES (6.7%) Adolph Coors Co. 6,000 297 Alberto-Culver Company 9,300 248 Albertson's, Inc. 68,550 3,535 Anheuser-Busch Companies, Inc. 78,300 5,554 Avon Products, Inc. 43,000 2,387 BESTFOODS 46,800 2,317 Brown-Forman Corporation 11,200 730 Campbell Soup Company 72,800 3,376 Cardinal Health, Inc. 44,600 2,860 CBS Corporation 115,600 5,021 *Clear Channel Communications, Inc. 53,000 3,654 Clorox Company 19,200 2,051 The Coca-Cola Company 403,700 25,231 Coca Cola Enterprises Inc. 69,500 2,068 Colgate-Palmolive Co. 48,000 4,740 Comcast Corporation 121,100 4,655 Conagra, Inc. 80,100 2,133 CVS Corporation 63,900 3,243 Darden Restaurant, Inc. 22,600 493 Deluxe Corp. 13,200 514 Fort James Corporation 36,100 1,367 Fortune Brands, Inc. 28,000 1,159 General Mills, Inc. 25,100 2,017 Gillette Company 181,700 7,450 Great Atlantic & Pacific Tea Co., Inc. 6,300 213 H.J. Heinz Company 59,250 2,970 Hershey Foods Corporation 23,400 1,389 Kellogg Company 66,400 2,191 Kimberly-Clark Corporation 88,732 5,058 *King World Productions, Inc. 11,700 407 *The Kroger Co. 134,800 3,766 Longs Drug Stores Corp. 6,400 221 McDonald's Corporation 221,600 9,155 McKesson HBOC, Inc. 45,353 1,457 *MediaOne Group, Inc. 99,400 7,393 Nabisco Group Holdings Corp. 53,500 1,047 SHARES/ MARKET VALUE COMMON STOCK (52.5%) PAR (000'S) - ------------------------------------------------------------- CONSUMER STAPLES (CONTINUED) Newell Rubbermaid Inc. 45,971 $ 2,138 PepsiCo, Inc. 240,300 9,297 Philip Morris Companies, Inc. 398,800 16,027 Procter & Gamble Company 217,500 19,412 The Quaker Oats Company 22,300 1,480 R.R. Donnelley & Sons Company 22,000 815 Ralston Purina Group 53,800 1,638 Rite Aid Corporation 42,400 1,044 *RJ Reynolds Tobacco Holdings Inc. 17,833 562 *Safeway Inc. 79,600 3,940 Sara Lee Corporation 149,400 3,390 The Seagram Company Ltd. 70,100 3,531 Supervalue Inc. 19,700 506 Sysco Corporation 54,500 1,625 Time Warner Inc. 201,000 14,774 *Tricon Global Restaurants, Inc. 24,990 1,353 Tupperware 9,400 240 Unilever N.V. 93,607 6,529 UST Incorporated 30,500 892 *Viacom, Inc. 113,912 5,012 Walgreen Company 163,500 4,803 Walt Disney Company 336,708 10,375 Wendy's International, Inc. 20,400 578 Winn-Dixie Stores, Inc. 24,300 898 Wm. Wrigley Jr. Company 19,000 1,710 ------------ TOTAL 234,936 ------------ ENERGY (3.1%) Amerada Hess Corporation 14,800 881 Anadarko Petroleum Corporation 20,700 762 Apache Corporation 18,100 706 Ashland, Inc. 12,200 490 Atlantic Richfield Company 53,400 4,462 Baker Hughes, Inc. 53,540 1,794 Burlington Resource, Inc. 29,075 1,257 Chevron Corporation 106,900 10,176 Exxon Corporation 398,200 30,710 Halliburton Company 72,000 3,258 Helmerich & Payne, Inc. 8,100 193 Kerr-McGee Corporation 14,157 711 Mobil Corporation 127,700 12,642 Occidental Petroleum Corporation 56,700 1,198 Phillips Petroleum Company 41,700 2,098 *Rowan Companies, Inc. 13,700 253 Royal Dutch Petroleum Co., ADR 351,200 21,159 Schlumberger Limited 89,400 5,694 Sunoco, Inc. 15,300 462
-- 45 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1999
SHARES/ MARKET VALUE COMMON STOCK (52.5%) PAR (000'S) - ------------------------------------------------------------- ENERGY (CONTINUED) Texaco Inc. 87,500 $ 5,469 Union Pacific Resource Group 41,158 671 Unocal Corp. 39,500 1,565 USX -Marathon Group 50,400 1,641 ------------ TOTAL 108,252 ------------ FINANCE (8.3%) AFLAC INCORPORATED 43,400 2,078 Allstate Corporation 134,394 4,821 American Express Company 74,100 9,642 American General Corporation 41,303 3,113 American International Group, Inc. 201,103 23,541 AmSouth Bancorporation 29,200 677 Aon Corporation 41,775 1,723 Associates First Capital Corporation 119,238 5,284 Banc One Corporation 192,545 11,468 Bank of America Corporation 283,495 20,783 Bank of New York Company, Inc. 124,600 4,571 BankBoston Corporation 48,600 2,485 BB&T Corporation 50,900 1,867 The Bear Stearns Companies, Inc. 18,240 853 Capital One Financial Corporation 32,200 1,793 The Charles Schwab Corporation 65,625 7,211 Chase Manhattan Corporation 138,548 12,002 The Chubb Corporation 26,700 1,856 CIGNA Corporation 33,800 3,008 Cincinnati Financial Corporation 27,300 1,025 Citigroup, Inc. 554,682 26,347 Comerica, Inc. 25,500 1,516 Conseco Inc. 52,470 1,597 Countrywide Credit Industries, Inc. 18,400 787 Federal Home Loan Mortgage Corp. 111,100 6,444 Fannie Mae 169,800 11,610 Fifth Third Bankcorp 43,575 2,900 First Union Corporation 162,286 7,627 Firstar Corporation 113,000 3,164 Fleet Financial Group Inc. 93,038 4,129 Franklin Resources Inc. 41,400 1,682 Golden West Financial Corporation 9,300 911 Hartford Financial Services Group Inc. 38,200 2,228 Household International Inc. 79,059 3,745 SHARES/ MARKET VALUE COMMON STOCK (52.5%) PAR (000'S) - ------------------------------------------------------------- FINANCE (CONTINUED) Huntington Bancshares, Inc. 34,480 $ 1,207 J.P. Morgan & Company, Inc. 28,600 4,018 Jefferson-Pilot Corp. 17,375 1,150 KeyCorp 74,600 2,397 Lehman Brothers Holdings, Inc. 18,600 1,158 Lincoln National Corporation 33,000 1,726 Loews Corp. 18,600 1,472 Marsh & McLennan Companies, Inc. 42,100 3,179 MBIA, Inc. 16,300 1,055 MBNA Corp. 131,332 4,022 Mellon Bank Corporation 85,500 3,110 Mercantile Bancorp 25,800 1,474 Merrill Lynch & Co. 58,100 4,644 MGIC Investment Corp. 17,900 870 Morgan Stanley, Dean Witter, Discover & Co. 94,580 9,694 National City Corp. 53,400 3,498 Northern Trust Corp. 18,200 1,765 Paine Webber Group Inc. 23,400 1,094 PNC Bank Corp. 49,300 2,841 Progressive Corporation 11,900 1,726 Provident Companies, Inc. 22,200 888 Providian Financial Corporation 23,150 2,165 Regions Financial Corporation 36,200 1,391 Republic New York Corporation 17,600 1,200 SAFECO, Inc. 22,300 984 SLM Holding Corporation 27,100 1,242 SouthTrust Corporation 27,100 1,040 St. Paul Companies, Inc. 38,606 1,228 State Street Corporation 26,300 2,245 Summit Bancorp. 28,400 1,187 Suntrust Banks Inc. 52,500 3,645 Synovus Financial Corp. 43,750 870 Torchmark Corporation 23,000 785 Transamerica Corporation 20,400 1,530 Union Planters Corporation 22,500 1,005 UNUM Corporation 22,700 1,243 U.S. Bancorp 119,387 4,059 Wachovia Corporation 33,200 2,841 Washington Mutual, Inc. 97,214 3,439 Wells Fargo & Company 269,260 11,511 ------------ TOTAL 291,086 ------------ HEALTH CARE (5.6%) Abbott Laboratories Inc. 248,600 11,311 Aetna, Inc. 23,393 2,092 Allergan Inc. 10,800 1,199 *Alza Corporation 16,400 834
-- 46 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1999
SHARES/ MARKET VALUE COMMON STOCK (52.5%) PAR (000'S) - ------------------------------------------------------------- HEALTH CARE (CONTINUED) American Home Products Corporation 215,900 $ 12,414 *Amgen, Inc. 83,400 5,077 Bausch & Lomb, Inc. 9,200 704 Baxter International, Inc. 46,800 2,837 Becton, Dickinson & Company 40,800 1,224 Biomet, Inc. 18,400 731 *Boston Scientific Corp. 64,400 2,830 Bristol-Myers Squibb Company 325,500 22,926 Columbia/HCA Healthcare Corporation 105,750 2,412 C.R. Bard, Inc. 8,800 421 Eli Lilly & Company 180,100 12,900 *Guidant Corporation 49,300 2,536 *HCR Manor Care Inc. 18,200 440 *HEALTHSOUTH Corporation 69,300 1,035 *Humana, Inc. 27,400 354 Johnson & Johnson 220,200 21,580 Mallinckrodt, Inc. 11,700 426 Medtronic, Inc. 95,700 7,453 Merck & Co., Inc. 390,200 28,874 Pfizer, Inc. 212,600 23,332 Pharmacia & Upjohn Inc. 83,230 4,729 Schering-Plough Corporation 240,700 12,757 *St. Jude Medical, Inc. 13,750 490 *Tenet Healthcare Corp. 50,800 943 *United Healthcare Corp. 30,500 1,910 Warner-Lambert Company 134,500 9,331 *Watson Pharmaceutical Inc. 15,600 547 *Wellpoint Health Networks, Inc. 11,100 942 ------------ TOTAL 197,591 ------------ TECHNOLOGY (11.3%) *3COM Corporation 58,800 1,569 Adobe Systems, Inc. 10,000 822 *Advanced Micro Devices, Inc. 23,700 428 *America Online, Inc. 168,300 18,596 *Andrew Corporation 13,562 257 *Apple Computer, Inc. 26,000 1,204 *Applied Materials, Inc. 60,400 4,462 Autodesk, Inc. 9,700 287 Automatic Data Processing, Inc. 100,900 4,440 *BMC Software, Inc. 38,600 2,084 *Cabletron Systems, Inc. 28,200 367 *Ceridian Corp. 23,400 765 *Cisco Systems, Inc. 517,200 33,358 Compaq Computer Corporation 276,267 6,544 Computer Associates International, Inc. 88,212 4,852 SHARES/ MARKET VALUE COMMON STOCK (52.5%) PAR (000'S) - ------------------------------------------------------------- TECHNOLOGY (CONTINUED) *Computer Sciences Corp. 26,000 $ 1,799 *Compuware Corporation 60,200 1,915 *Data General Corporation 8,200 119 *Dell Computer Corp. 416,700 15,418 Eastman Kodak Company 53,100 3,598 EG&G, Inc. 7,300 260 Electronic Data Systems Corporation 80,700 4,565 *EMC Corporation 164,400 9,042 Equifax, Inc. 24,100 860 First Data Corporation 72,500 3,548 *Gateway Inc. 25,600 1,510 *General Instrument Corporation 27,400 1,165 Harris Corporation 12,900 506 Hewlett-Packard Company 166,200 16,702 Ikon Office Solutions 24,200 363 Intel Corporation 546,100 32,494 International Business Machines Corporation 302,300 39,071 *KLA-Tencor Corporation 14,400 934 *LSI Logic Corp. 23,200 1,070 Lucent Technologies, Inc. 491,547 33,149 *Micron Technology 40,600 1,637 *Microsoft Corporation 826,600 74,549 Motorola, Inc. 98,300 9,314 *National Semiconductor Corporation 27,400 694 Nortel Networks Corporation 108,660 9,433 *Novell, Inc. 55,300 1,465 *Oracle Corporation 235,825 8,755 *Parametric Technology Company 43,800 608 Paychex, Inc. 40,200 1,281 PE Corp.-PE Biosystems Group 8,200 941 *Peoplesoft, Inc. 38,200 659 Polaroid Corporation 7,200 199 Raytheon Company- Class B 55,200 3,885 Scientific-Atlanta, Inc. 12,400 446 *Seagate Technology Inc. 39,900 1,022 Shared Medical Systems Corp. 4,400 287 *Silicon Graphics 30,700 503 *Sun Microsystems, Inc. 126,200 8,692 Tektronix, Inc. 7,700 232 *Tellabs, Inc. 63,600 4,297 Texas Instruments, Incorporated 63,900 9,266 *Unisys Corporation 42,700 1,663 W.W. Grainger, Inc. 15,600 839 Xerox Corporation 107,400 6,343 ------------ TOTAL 395,133 ------------
-- 47 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1999
SHARES/ MARKET VALUE COMMON STOCK (52.5%) PAR (000'S) - ------------------------------------------------------------- TRANSPORTATION (0.5%) *AMR Corporation 29,900 $ 2,041 Burlington Northern Santa Fe 76,799 2,381 CSX Corporation 35,500 1,609 Delta Air Lines Inc. 23,200 1,337 *FDX Corporation 48,440 2,628 Kansas City Southern Industries, Inc. 17,900 1,142 Norfolk Southern Corporation 62,100 1,871 Ryder System, Inc. 11,700 304 Southwest Airlines Co. 55,050 1,713 Union Pacific Corporation 40,500 2,362 *USAir Group, Inc. 14,300 623 ------------ TOTAL 18,011 ------------ UTILITIES (1.5%) *The AES Corporation 31,200 1,814 Ameren Corporation 22,500 863 American Electric Power Co. Inc. 31,300 1,176 Carolina Power & Light Company 24,800 1,062 Central & South West Corporation 34,800 813 Cinergy Corporation 26,005 832 CMS Energy Corp. 19,200 804 Coastal Corp. 34,800 1,392 Columbia Energy Group 13,700 859 Consolidated Edison Co. of New York 38,200 1,729 Consolidated Natural Gas Company 15,700 954 Constellation Energy Group Inc. 24,400 723 Dominion Resources Inc. 32,000 1,386 DTE Energy Company 23,800 952 Duke Energy Corp. 59,271 3,223 Eastern Enterprises 3,700 147 Edison International 57,800 1,546 Enron Corporation 57,500 4,701 Entergy Corporation 40,400 1,263 FirstEnergy Corporation 38,800 1,203 FPL Group, Inc. 29,600 1,617 GPU, Inc. 21,000 886 New Century Energies, Inc. 18,700 726 *Niagra Mohawk Power Corporation 30,700 493 Nicor, Inc. 7,800 297 Northern States Power Company 25,000 605 ONEOK, Inc. 5,200 165 P P & L Resources, Inc. 24,733 761 PacifiCorp 48,700 895 PECO Energy Company 36,700 1,537 SHARES/ MARKET VALUE COMMON STOCK (52.5%) PAR (000'S) - ------------------------------------------------------------- UTILITIES (CONTINUED) Peoples Energy Corporation 5,800 $ 219 PG&E Corp. 62,600 2,035 Public Service Enterprise Group, Inc. 36,500 1,492 Reliant Energy, Inc. 46,626 1,288 Sempra Energy 39,359 890 Sonat Inc. 18,000 596 Southern Company 114,200 3,026 Texas Utilities Company 46,195 1,906 UNICOM Corp. 35,600 1,373 Williams Companies Inc. 70,100 2,985 ------------ TOTAL 51,234 ------------ TOTAL COMMON STOCK 1,843,309 ------------ WARRANTS (0.0%) FOREIGN GOVERNMENT (0.0%) Republic of Argentina 3,900 4 ------------ SHORT TERM INVESTMENTS (13.7%) - ------------------------------------------------------------- MONEY MARKET INVESTMENTS (10.2%) AUTOMOBILE, REPAIR, SERVICES, AND PARKING (.7%) ##Daimler-Chrysler N.A. Holding, 5.03%, 07/20/99 25,000,000 24,934 ------------ CAPTIVE FINANCE COMPANY (2.2%) Ford Motor Credit Company, 4.88%, 07/01/99 25,000,000 25,000 ##General Motors Acceptance Corp., 4.90%, 07/14/99 25,000,000 24,956 ##Sears Roebuck Acceptance Corp., 4.90%, 07/14/99 25,000,000 24,955 ------------ TOTAL 74,911 ------------ FEDERAL GOVERNMENT AND AGENCIES (0.4%) ##Federal Home Loan Mortgage Corp., 4.73%, 09/08/99 15,200,000 15,046 ------------ FINANCE (2.1%) Ciesco LP, 5.16%, 08/18/99 25,000,000 24,828 CIT Group, Inc., 5.16%, 08/04/99 25,000,000 24,878 CXC Incorporated, 5.06%, 07/20/99 25,000,000 24,933 ------------ TOTAL 74,639 ------------ PERSONAL CREDIT INSTITUTIONS (3.5%) Associates Corp. of America, 5.70%, 07/01/99 22,400,000 22,400 American Express Credit, 5.25%, 07/06/99 25,000,000 24,982 Commercial Credit Co., 5.16%, 08/10/99 25,000,000 24,857 General Electric Capital Corporation, 5.03%, 07/14/99 25,000,000 24,955
-- 48 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1999
SHARES/ MARKET VALUE SHORT TERM INVESTMENTS (13.7%) PAR (000'S) - ------------------------------------------------------------- PERSONAL CREDIT INSTITUTIONS (CONTINUED) Variable Funding Capital Corp., 4.90%, 07/09/99 24,800,000 $ 24,773 ------------ TOTAL 121,967 ------------ PHONE COMMUNICATIONS (1.3%) AT&T, 5.23%, 07/07/99 20,000,000 19,983 ##U.S. West Communications, 5.03%, 07/19/99 25,000,000 24,958 ------------ TOTAL 44,941 ------------ TOTAL MONEY MARKET INVESTMENTS 356,438 ------------ ASSET-BACKED SECURITIES (3.5%) - ------------------------------------------------------------- FINANCE LESSORS (3.5%) ##Asset Securitization, 5.02%, 07/23/99 25,000,000 24,923 Preferred Receivable Funding, 5.10%, 08/19/99 25,000,000 24,826 ##Quincy Capital Corporation, 5.03%, 07/16/99 24,700,000 24,648 ##Receivable Capital Trust, 5.05%, 07/23/99 25,000,000 24,923 ##Triple A One Funding, 4.93%, 07/12/99 25,000,000 24,962 ------------ TOTAL ASSET-BACKED SECURITIES 124,282 ------------ TOTAL SHORT TERM INVESTMENTS 480,720 ------------ TOTAL INVESTMENTS (99.5%) (COST $2,378,812,086)^ 3,493,367 OTHER ASSETS, LESS LIABILITIES (0.5%) 16,375 ------------ TOTAL NET ASSETS (100.0%) $ 3,509,742 ------------
IO-Interest Only Security 144A after the name of a security represents a security exempt from registration under rule 144A of the Securities Act of 1933. These securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. * Non-Income Producing. # Defaulted Security ## Partially held by the custodian in a segregated account as collateral for open futures positions. Information regarding open futures contracts as of June 30, 1999 is summarized below:
UNREALIZED NUMBER OF EXPIRATION APPRECIATION ISSUER CONTRACTS DATE (000'S) - ----------------------------------------------------------------- S&P 500 Stock Index 483 9/99 $6,381 (Total Notional Value at 6/30/99, $160,459,463)
^At June 30, 1999, the aggregate cost of securities for federal income tax purposes was $2,378,812,086 and the net unrealized appreciation of investments based on that cost was $1,114,554,432 which is comprised of $1,161,138,679 aggregate gross unrealized appreciation and $46,604,247 gross unrealized depreciation. The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) -- 49 HIGH YIELD BOND PORTFOLIO - -------------------------------------------------------------------------------- Objective: Portfolio Strategy: Invested Assets: High current income and capital Generate superior performance by investing in a $172,748,000 appreciation with moderate risk diversified mix of fixed income securities rated below investment grade.
HIGH YIELD BOND PORTFOLIO Investing in a portfolio of high yield bonds provides investors who can accept a moderate level of risk with a high level of current income, coupled with the opportunity for capital gains. Holdings of particular interest include solid investments in entities that have the possibility of a positive event, such as a significant improvement in credit rating or earnings or a change in ownership. In a high yield portfolio, some credit losses over time are inevitable; high coupons and diversification across many holdings mitigate the impact of individual securities on the performance of the total Portfolio. Performance of the High Yield Portfolio was strikingly different in the first two quarters of 1999, with a weak first quarter followed by a fairly strong second quarter. Overall, net performance for the six-month period was below average, with a more positive trend at the end of the period. Good results in the second quarter were driven largely by strong performance by key positions in energy, financial services, cable television and telecommunications. During the first half of 1999, real interest rates have risen steadily, reaching levels that seem high by historical standards. While further short-term increases are possible, it seems increasingly likely that higher rates will cool the economy and lead at some point to a bond rally. In anticipation of such a scenario, the strategy has been to upgrade average credit quality, reduce exposure to emerging markets and emphasize less-cyclical industries. These moves position the Portfolio with better liquidity, more interest rate risk and less credit risk. This conservative strategy should also enable the Portfolio to perform well if markets experience unusual volatility. Although recent results have been somewhat disappointing, the long-term performance of the Portfolio remains quite good, outperforming the market (defined as the Lehman Brothers High Yield Intermediate Market Index) since the Portfolio's inception in May 1994. Short-term volatility serves as a useful reminder that high-yield bonds are most appropriate for long-term investors, and that strategies designed to outperform in the long term may result in underperformance over shorter time periods. Percentage Holdings by Industry Sector EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC TELECOMMUNICATIONS 19% CABLE TELEVISION 13% ENERGY 12% FINANCE 12% CONSUMER RELATED/HEALTH CARE 10% BROADCASTING/MEDIA 9% LEISURE 5% TRANSPORTATION 4% OTHER INDUSTRIES 12% CASH EQUIVALENTS 4%
Performance Relative to Lehman Brothers High Yield Index EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
HIGH YIELD LEHMAN BROTHERS HIGH YIELD BOND PORTFOLIO INTERMEDIATE MARKET INDEX 5/03/94 $10,000 $10,000 6/30/94 $10,110 $10,061 6/30/95 $11,490 $11,331 6/30/96 $12,836 $12,466 6/30/97 $15,684 $14,159 6/30/98 $17,635 $15,681 6/30/99 $16,476 $15,618 AVERAGE ANNUAL TOTAL RETURN FOR PERIODS ENDED JUNE 30, 1999 ONE YEAR FIVE YEARS SINCE INCEPTION High Yield Bond Portfolio -6.59% 10.26% 10.16% Lehman Brothers Index -.40% 9.19% 9.03% #NOTE: INCEPTION DATE OF 5/3/94
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 return significantly lower. Investors are urged to obtain a personalized illustration of historical performance which reflects the cost of insurance protection. -- 50 HIGH YIELD BOND FUND NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1999
MARKET SHARES/ VALUE BONDS (80.4%) PAR (000'S) - --------------------------------------------------------------- BASIC MATERIALS (3.2%) CHEMICALS (2.1%) Lyondell Chemical Co., 9.625%, 05/01/07 (144A) 400,000 $ 411 Lyondell Chemical Co., 9.875%, 05/01/07 (144A) 1,750,000 1,789 ZSC Specialty Chemical PLC, 11.00%, 07/01/09 (144A) 1,500,000 1,513 ----------- TOTAL 3,713 ----------- METALS & MINING (1.1%) Great Central Mines, Ltd., 8.875%, 04/01/08 2,000,000 1,900 ----------- TOTAL BASIC MATERIALS 5,613 ----------- BROADCASTING/MEDIA (3.6%) BROADCASTING (2.3%) +Big City Radio, Inc., 11.25%, 3/15/05 4,750,000 3,373 +Crown Castle International Corp., 10.375%, 05/15/11 1,000,000 580 ----------- TOTAL 3,953 ----------- PRINTING AND PUBLISHING (1.3%) Marvel Enterprises, Inc., 12.0%, 06/15/09 (144A) 2,200,000 2,222 ----------- TOTAL BROADCASTING/MEDIA 6,175 ----------- CABLE TELEVISION (8.2%) Adelphia Communications, 7.875%, 05/01/09 900,000 834 +Charter Communication Hlds, LLC, 9.92%, 04/01/11 (144A) 1,350,000 837 +Diva System Corp., 12.625%, 3/01/08 3,375,000 975 +Falcon Hldg Group, LP, 9.285%, 04/15/10 500,000 350 +International Cabletel, Inc., 11.50%, 02/01/06 3,000,000 2,618 +NTL, Inc.,9.75%, 4/01/08 3,500,000 2,398 NTL Incorporated, 11.50%, 10/01/08 1,000,000 1,101 ONO Finance PLC, 13.0%, 05/01/09 (144A) 1,400,000 1,438 ++Supercanal Holdings S A, 11.50%, 05/15/05 (144A) 2,500,000 1,331 +Telewest PLC, 9.25%, 04/15/09 (144A) 2,400,000 1,599 +21st Century Telecom, 12.25%, 2/15/08 1,750,000 718 ----------- TOTAL CABLE TELEVISION 14,199 ----------- MARKET SHARES/ VALUE BONDS (80.4%) PAR (000'S) - --------------------------------------------------------------- CONSUMER RELATED (4.7%) APPAREL (0.6%) Fruit of the Loom, 8.875%, 04/15/06 (144A) 1,250,000 $ 1,075 ----------- CONSUMER STAPLES (0.7%) +Diamond Brands, 12.875%, 04/15/09 1,250,000 250 +SF Holdings Group, Inc., 12.75%, 3/15/08 2,875,000 1,021 ----------- TOTAL 1,271 ----------- FOODS/FOOD SERVICES (3.4%) Global Health Sciences, Inc., 11.0%, 05/01/08 3,200,000 2,368 Iowa Select Farms L.P., 10.75%, 12/01/05 (144A) 4,200,000 3,491 ----------- TOTAL 5,859 ----------- TOTAL CONSUMER RELATED 8,205 ----------- ENERGY RELATED (11.1%) DIVERSIFIED ENERGY (1.0%) Western Gas Resources, 10.0%, 06/15/09 (144A) 1,700,000 1,734 ----------- OIL AND GAS INDEPENDENT (3.9%) Belden & Blake Corp., 9.875%, 6/15/07 3,750,000 2,822 Chesapeake Energy, 9.625%, 05/01/05 900,000 841 Conproca SA, 12.0%, 06/16/10 (144A) 300,000 282 Gothic Production Corp., 11.125%, 05/01/05 1,250,000 1,100 Pioneer Natural Resources, 8.875%, 04/15/05 500,000 495 Pioneer Natural Resources, 8.25%, 08/15/07 500,000 476 Pioneer Natural Resources, 6.5%, 01/15/08 800,000 683 ----------- TOTAL 6,699 ----------- OIL FIELD SERVICES (3.9%) Parker Drilling Co., 9.75%, 11/15/06 1,900,000 1,757 Pride International, Inc., 10.00%, 06/01/09 2,525,000 2,563 R&B Falcon Corp., 9.5%, 12/15/08 2,500,000 2,350 ----------- TOTAL 6,670 ----------- REFINING (2.3%) Clark Refining & Marketing, Inc., 8.375%, 11/15/07 1,000,000 914 Clark Refining & Marketing, Inc., 8.625%, 08/15/08 1,000,000 930
-- 51 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1999
MARKET SHARES/ VALUE BONDS (80.4%) PAR (000'S) - --------------------------------------------------------------- REFINING (CONTINUED) PDV America, Inc., 7.875%, 08/01/03 2,250,000 $ 2,200 ----------- TOTAL 4,044 ----------- TOTAL ENERGY RELATED 19,147 ----------- FINANCE (11.5%) BANKS (1.2%) BF Saul Real Estate, 9.75%, 4/01/08 2,250,000 2,093 ----------- FINANCE COMPANIES (7.8%) Americredit Corp., 9.875%, 04/15/06 (144A) 1,900,000 1,957 Arcadia Financial, Ltd., 11.50%, 3/15/07 5,375,000 4,730 Metris Companies, Inc., 10.00%, 11/01/04 2,550,000 2,499 PDV SA Finance, Ltd. 99-I, 9.75%, 02/15/10 (144A) 4,400,000 4,284 ----------- TOTAL 13,470 ----------- INSURANCE (2.5%) Superior Nat'l Capital Trust I, 10.75%, 12/01/17 (144A) 4,450,000 4,272 ----------- TOTAL FINANCE 19,835 ----------- HEALTHCARE (5.1%) Columbia/HCA Healthcare, 7.69%, 06/15/25 2,600,000 2,171 Express Scripts, Inc., 9.625%, 06/15/09 (144A) 1,750,000 1,772 Total Renal Care Hldgs, 7.0%, 05/15/09 (144A) 6,000,000 4,898 ----------- TOTAL HEALTHCARE 8,841 ----------- LEISURE (4.8%) GAMING (1.3%) International Game Technology, 8.375%, 05/15/09 (144A) 1,500,000 1,472 Trump Hotels & Casino Resorts, 15.50%, 6/15/03 800,000 808 ----------- TOTAL 2,280 ----------- HOTELS AND OTHER LODGING PLACES (2.2%) HMH Properties, Inc., 8.45%, 12/01/08 300,000 285 HMH Properties, Inc., 7.875%, 08/01/08 900,000 830 ITT Corp., 6.75%, 11/15/05 450,000 408 ITT Corp., 7.875%, 11/15/15 2,650,000 2,279 ----------- TOTAL 3,802 ----------- LEISURE RELATED (1.3%) Hedstrom Holdings Inc., 10.0%, 06/01/07 450,000 400 MARKET SHARES/ VALUE BONDS (80.4%) PAR (000'S) - --------------------------------------------------------------- LEISURE RELATED (CONTINUED) +Hedstrom Holdings Inc., 12.00%, 6/1/09 4,175,000 $ 1,879 ----------- TOTAL 2,279 ----------- TOTAL LEISURE 8,361 ----------- OTHER INDUSTRIES (5.5%) AUTO RELATED (2.0%) AVIS Rent a Car, Inc., 11.0%, 05/01/09 (144A) 2,250,000 2,281 Budget Group, Inc., 9.125%, 04/01/06 1,250,000 1,162 ----------- TOTAL 3,443 ----------- ENVIRTONMENTAL CONTROL (0.6%) Allied Waste of North America, 7.875%, 01/01/09 1,100,000 1,020 ----------- HOUSEHOLD FURNISHINGS, APPLIANCES (1.2%) Renters Choice, Inc., 11.00%, 08/15/08 2,000,000 2,005 ----------- REAL ESTATE (1.7%) Crescent Real Estate, 7.0%, 09/15/02 1,600,000 1,491 Crescent Real Estate, 7.5%, 09/15/07 1,700,000 1,454 ----------- TOTAL 2,945 ----------- TOTAL OTHER INDUSTRIES 9,413 ----------- SERVICES (0.8%) +Decisionone Holdings, 11.50%, 8/1/08 3,875,000 19 Decisionone Holdings, 7.94%, 08/07/05 101,266 41 Decisionone Holdings, 7.98%, 08/07/05 145,823 60 Decisionone Holdings, 8.29%, 08/07/05 27,215 11 Decisionone Holdings, 9.75%, 8/1/07 1,375,000 69 Federal Data Corp., 10.125%, 8/01/05 1,000,000 960 ----------- TOTAL SERVICES 1,160 ----------- TECHNOLOGY (1.1%) Amkor Technologies, Inc., 9.25%, 05/01/06 (144A) 2,000,000 1,950 ----------- TELECOMMUNICATIONS (15.6%) Arch Communications, 12.75%, 07/01/07 6,000,000 5,160 +Bestel S A de CV, 12.75%, 05/15/05 1,950,000 1,297 +Call-Net Enterprises, Inc., 8.94%, 08/15/08 1,000,000 555
-- 52 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1999
MARKET SHARES/ VALUE BONDS (80.4%) PAR (000'S) - --------------------------------------------------------------- TELECOMMUNICATIONS (CONTINUED) Call-Net Enterprises, Inc., 9.375%, 05/15/09 400,000 $ 381 +Call-Net Enterprises, Inc., 10.80%, 05/15/09 1,800,000 995 Hyperion Telecommunications, 12.25%, 9/01/04 4,000,000 4,220 +Intermedia Communication, 11.25%, 07/15/07 2,700,000 1,924 +KMC Telecommunication Hldgs, 12.50%, 2/15/08 1,500,000 825 KMC Telecommunication Hldgs, 13.5%, 05/15/09 (144A) 2,000,000 2,002 +Nextel Communications, 9.75%, 10/31/07 1,800,000 1,256 Northeast Optic Network, 12.75%, 08/15/08 2,200,000 2,277 Splitrock Services, Inc., 11.75%, 07/15/08 2,300,000 2,151 +Telecorp PCS, Inc., 11.625%, 04/15/09 (144A) 1,750,000 967 Verio, Inc.. 11.25%, 12/01/08 1,400,000 1,467 Viatel, Inc., 11.25%, 04/15/08 1,500,000 1,530 ----------- TOTAL TELECOMMUNICATIONS 27,007 ----------- TRANSPORTATION (3.8%) Navigator Gas Trans PLC, 10.50%, 06/30/07 (144A) 750,000 367 Navigator Gas Trans PLC, 12.00%, 06/30/07 (144A) 900,000 288 Stena AB, 10.5%, 12/15/05 750,000 748 Stena AB, 8.75%, 06/15/07 1,750,000 1,597 Stena Line AB, 10.625%, 06/01/08 4,800,000 3,624 ----------- TOTAL TRANSPORTATION 6,624 ----------- UTILITIES (1.4%) AES Corporation, 9.5%, 06/01/09 1,000,000 1,027 Caithness Coso Fund Corp., 9.05%, 12/15/09 (144A) 800,000 798 Leviathan Gas Pipeline/Financial Corp., 10.375%, 06/01/09 (144A) 250,000 255 Monterrey Power Sa de CV, 9.625%, 11/15/09 (144A) 450,000 362 ----------- TOTAL UTILITIES 2,442 ----------- TOTAL BONDS 138,972 ----------- PREFERRED STOCK (13.0%) - --------------------------------------------------------------- BROADCASTING MEDIA (5.1%) BROADCASTING (4.2%) **Cumulus Media, Inc. 35,900 3,949 Sinclair Capital 33,000 3,449 ----------- TOTAL 7,398 ----------- MARKET SHARES/ VALUE PREFERRED STOCK (13.0%) PAR (000'S) - --------------------------------------------------------------- PRINTING AND PUBLISHING (0.9%) Primedia, Inc. 5,000 $ 504 Primedia, Inc. 10,000 979 ----------- TOTAL 1,483 ----------- TOTAL BROADCASTING/MEDIA 8,881 ----------- CABLE TELEVISION (5.0%) Adelphia Communications 8,750 1,733 **CSC Holdings, Inc. 44,795 4,860 **NTL, Inc. 13,310 1,464 **21st Century Telecom 10,070 503 ----------- TOTAL CABLE TELEVISION 8,560 ----------- ENERGY RELATED (0.6%) **R&B Falcon Corporation 10,000 1,030 ----------- LEISURE RELATED (0.3%) **Samsonite Corp. 7,120 498 ----------- TELECOMMUNICATIONS (2.0%) **Hyperion Telecommunications 13,050 1,175 **Intermedia Communication 9,300 911 PSINet, Inc. 30,000 1,448 ----------- TOTAL TELECOMMUNICATIONS 3,534 ----------- TOTAL PREFERRED STOCK 22,503 ----------- COMMON STOCK AND WARRANTS (2.3%) - --------------------------------------------------------------- CABLE TELEVISION (0.0%) *21st Century Telecom 8,500 17 ----------- CONSUMER RELATED (0.2%) APPAREL AND TEXTILE (0.1%) *Ithaca Industries Inc. 136,000 111 ----------- BROADCASING/MEDIA (0.1%) *Diva System Corp. 10,125 122 ----------- CONSUMER STAPLES (0.0%) *SF Holdings Group, Inc. (144A) 5,750 0 ----------- TOTAL CONSUMER RELATED 233 ----------- ENERGY RELATED (0.4%) Star Gas Partnersm L.P. 39,202 674 ----------- FINANCE (0.0%) *Arcadia Financial, Ltd. 4,000 4 ----------- LEISURE (0.2%) *Hedstrom Holdings, Inc. 201,674 201 Meditrust Corp. 11,117 145 *Samsonite Corp. 6,250 19 ----------- TOTAL LEISURE 365 ----------- TELECOMMUNICATIONS (1.5%) Arch Communications Class A 134,194 1,140 Arch Communications Class B 35,377 300 Arch Communications Warrants 32,686 29 *Bestel S A de CV 1,950 4 *KMC Telecom Holdings, Inc. 6,250 16
-- 53 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1999
MARKET SHARES/ VALUE COMMON STOCK AND WARRANTS (2.3%) PAR (000'S) - --------------------------------------------------------------- TELECOMMUNICATIONS (CONTINUED) *Splitrock Services, Inc. 3,000 $ 210 *Viatel, Inc. 16,325 916 ----------- TOTAL TELECOMMUNICATIONS 2,615 ----------- TOTAL COMMON STOCK AND WARRANTS 3,908 ----------- MONEY MARKET INVESTMENTS (2.5%) - --------------------------------------------------------------- PERSONAL CREDIT INSTITUTIONS (2.5%) General Electric Capital, 5.7%, 07/01/99 2,300,000 $ 2,300 Household Finance Corp., 4.969%, 07/14/99 2,000,000 1,996 ----------- TOTAL MONEY MARKET INVESTMENTS 4,296 ----------- TOTAL INVESTMENTS (98.2%) (COST $184,697,917)^ 169,679 OTHER ASSETS, LESS LIABILITIES (1.8%) 3,070 ----------- TOTAL NET ASSETS (100.0%) $ 172,749 -----------
* Non-Income Producing + Deferred interest security that presently receives no coupon payments. At a predetermined date the stated coupon rate becomes effective. ++ Defaulted Security ** PIK-Payment in Kind 144A after the name of a security represents a security exempt from registration under Rule 144A of the Securities Act of 1933. These securites may be resold as transactions exempt from registration, normally to qualified institutional buyers. ^ At June 30, 1999, the aggregate cost of securites for federal income tax purposes was $184,697,917 and the net unrealized depreciation of investments based on that cost was $15,018,064 which is comprised of $5,498,341 aggregate gross unrealized appreciation and $20,516,405 aggregated gross unrealized depreciation. The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) -- 54 SELECT BOND PORTFOLIO - -------------------------------------------------------------------------------- Objective: Portfolio Strategy: Invested Assets: A stable and relatively high level Invest in high grade corporate bonds, U.S. government $295,445,000 of long-term total return and bonds and bonds of government agencies. preservation of capital
SELECT BOND PORTFOLIO The Select Bond Portfolio invests in high quality debt securities, primarily government bonds, corporate bonds and mortgage-backed securities. Exposure to market sectors is adjusted as yield spreads change among the various classes of securities. Duration and maturities are altered with moderate adjustments in recognition or anticipation of interest rate changes. The Portfolio performed quite well over the last six months, benefiting from both allocation among types of securities and interest rate posture. Exposure to government bonds has been increased, with positions in corporate bonds reduced accordingly. This change was made in anticipation of the widening of the interest rate spread between U.S. Treasury securities and riskier bonds. The Portfolio benefited also from a defensive posture on interest rates during this period, with duration less than the universe of funds with which it is compared. At the end of June, the Portfolio's position was neutral with regard to duration. This two-part strategy--a move to higher quality securities, accompanied by a defensive stance on interest rates--proved successful during the first half, as rates increased and spreads widened. Percentage Holdings 6/30/99 EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC CORPORATE BONDS 10% MORTGAGE-BACKED AND ASSET-BACKED SECURITIES 40% GOVERNMENT AND GOVERNMENT AGENCIES 45% SHORT-TERM INVESTMENTS 5%
The Corporate Bonds sector includes bonds of companies headquartered outside the United States. The Government and Government Agencies category includes taxable bonds of domestic and foreign governments and a small position in municipal bonds. Consistent with the Portfolio's stated parameters, no more than 10% of the Portfolio is invested in foreign securities, and no more than 10% is invested in high-yield securities. Performance Relative to Merrill Lynch Domestic Master Index EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
SELECT BOND PORTFOLIO MLDM INDEX 6/89 $10,000 $10,000 6/90 $10,639 $10,732 6/91 $11,790 $11,901 6/92 $13,569 $13,584 6/93 $15,303 $15,205 6/94 $15,268 $15,047 6/95 $17,218 $16,941 6/96 $18,079 $17,781 6/97 $19,634 $19,235 6/98 $21,372 $21,286 6/99 $22,117 $21,942 AVERAGE ANNUAL TOTAL RETURN FOR PERIODS ENDED JUNE 30, 1999 ONE YEAR FIVE YEARS TEN YEARS Select Bond Portfolio 3.48% 7.69% 8.26% MLDM Index 3.08% 7.84% 8.18%
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 6/30/89. 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 return significantly lower. Investors are urged to obtain a personalized illustration of historical performance which reflects the cost of insurance protection. -- 55 SELECT BOND PORTFOLIO NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1999
MARKET VALUE BONDS (94.3%) PAR (000'S) - -------------------------------------------------------------- CORPORATE BONDS (9.8%) BANK HOLDING COMPANIES (1.0%) BT Institutional Capital Trust, 7.75%, 12/1/26 (144A) 3,000,000 $ 2,871 ----------- CHEMICALS AND ALLIED PRODUCTS (0.7%) Dow Capital B.V., 8.5%, 6/8/10 1,800,000 1,971 ----------- ELECTRIC SERVICES (3.8%) Comed Financing II, 8.5%, 1/15/27 1,750,000 1,814 Ohio Edison Company, 7.375%, 9/15/02 1,000,000 1,020 PECO Energy Company, 6.13%, 3/1/09 5,500,000 5,215 Public Service Electric & Gas Co., 6.875%, 1/1/03 2,250,000 2,275 Texas Utilities Electric Co., 7.875%, 3/1/23 1,000,000 987 ----------- TOTAL 11,311 ----------- FINANCE (.5%) Associates Corp. of North America, 7.95%, 2/15/10 1,500,000 1,592 ----------- GENERAL MERCHANDISE STORES (0.3%) May Dept Stores Company, 7.45%, 10/15/16 1,000,000 1,025 ----------- MOTION PICTURE (0.3%) News America Holdings Inc., 8.25%, 8/10/18 1,000,000 1,033 ----------- TELECOMMUNICATIONS (2.6%) AT & T Corp., 5.625%, 3/15/04 4,000,000 3,873 New England Telephone and Telegraph, 5.875%, 04/15/09 4,000,000 3,727 ----------- TOTAL 7,600 ----------- TEXTILES (0.4%) #Polysindo International Finance, 11.375%, 6/15/06 4,200,000 1,050 ----------- TOBACCO (0.2%) Philip Morris Companies, 9.25%, 2/15/00 500,000 509 ----------- TOTAL CORPORATE BONDS 28,962 ----------- GOVERNMENT BONDS AND AGENCY BONDS (44.6%) FEDERAL GOVERNMENT AND AGENCIES (44.6%) Federal Home Loan Bank, 5.54%, 1/8/09 3,700,000 3,399 Federal Home Loan Mortgage Corporation, 7.5%, 9/29/01 8,160,534 8,266 Federal National Mortgage Assoc., 5.97%, 10/1/08 3,956,581 3,779 Federal National Mortgage Assoc., 6.07%, 10/1/08 2,977,547 2,908 MARKET VALUE BONDS (94.3%) PAR (000'S) - -------------------------------------------------------------- FEDERAL GOVERNMENT AND AGENCIES (CONTINUED) Federal National Mortgage Assoc., 6.22%, 2/01/06 1,905,717 $ 1,874 Federal National Mortgage Assoc., 6.24%, 1/1/06 5,372,416 5,289 Federal National Mortgage Assoc., 6.265%, 10/1/08 2,978,370 2,895 Federal National Mortgage Assoc., 6.32%, 2/1/06 3,862,960 3,818 Federal National Mortgage Assoc., 6.360%, 4/1/08 3,759,280 3,683 Federal National Mortgage Assoc., 6.390%, 4/1/08 1,448,680 1,422 Federal National Mortgage Assoc., 6.500%, 09/25/05 2,291,497 2,287 Federal National Mortgage Assoc., 6.750%, 04/25/18 2,354,525 2,354 Federal National Mortgage Assoc., 6.750%, 12/25/23 3,500,000 3,426 Federal National Mortgage Assoc., 6.960%, 10/01/07 3,251,491 3,298 Federal National Mortgage Assoc., 7.0%, 6/1/03 360,688 363 Federal National Mortgage Assoc., 7.360%, 4/1/11 3,331,294 3,465 Federal National Mortgage Assoc., 8.400%, 02/25/09 2,500,000 2,662 Federal National Mortgage Assoc., 10%, 10/1/17 99,032 104 Federal National Mortgage Assoc., 11.000%, 12/01/12 160,461 173 Federal National Mortgage Assoc., 11.000%, 09/01/17 1,181,023 1,278 Federal National Mortgage Assoc., 11.000%, 12/01/17 331,713 359 Federal National Mortgage Assoc., 11.000%, 02/01/18 457,847 496 Federal National Mortgage Assoc., 11.500%, 04/01/18 529,866 582 Federal National Mortgage Assoc., 12.000%, 12/01/12 1,236,468 1,369 Federal National Mortgage Assoc., 12.000%, 12/01/12 232,798 256 Federal National Mortgage Assoc., 12.000%, 09/01/17 414,756 462 Federal National Mortgage Assoc., 12.000%, 10/01/17 480,523 535 Federal National Mortgage Assoc., 12.000%, 12/01/17 342,790 382 Federal National Mortgage Assoc., 12.000%, 02/01/18 434,987 484 Federal National Mortgage Assoc., 12.25%, 1/1/18 284,115 316
-- 56 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1999
MARKET VALUE BONDS (94.3%) PAR (000'S) - -------------------------------------------------------------- FEDERAL GOVERNMENT AND AGENCIES (CONTINUED) Federal National Mortgage Assoc., 12.500%, 04/01/18 226,089 $ 253 Federal National Mortgage Assoc., 13.000%, 11/01/12 165,512 185 Federal National Mortgage Assoc., 13.000%, 11/01/17 386,243 439 Federal National Mortgage Assoc., 13.000%, 12/01/17 240,500 273 Federal National Mortgage Assoc., 13.000%, 02/01/18 605,703 688 Federal National Mortgage Assoc., 14.000%, 12/01/17 162,258 189 Government National Mortgage Assoc., 7.0%, 05/15/23 310,405 309 Government National Mortgage Assoc., 7.5%, 04/15/22 253,805 257 Government National Mortgage Assoc., 7.5%, 10/15/23 685,059 694 Government National Mortgage Assoc., 7.5%, 10/15/25 49,851 50 Government National Mortgage Assoc., 7.5%, 11/15/25 13,239 13 Government National Mortgage Assoc., 7.5%, 05/15/26 12,479 12 Government National Mortgage Assoc., 7.5%, 01/15/27 390,630 395 Government National Mortgage Assoc., 7.5%, 02/15/27 468,962 474 Government National Mortgage Assoc., 7.5%, 03/15/27 48,562 49 Government National Mortgage Assoc., 7.5%, 04/15/27 98,654 100 Government National Mortgage Assoc., 7.5%, 08/15/27 13,670 14 Government National Mortgage Assoc., 7.5%, 06/15/28 438,494 444 Government National Mortgage Assoc., 8.0%, 01/15/26 353,791 364 Government National Mortgage Assoc., 8.0%, 02/15/26 465,512 479 Government National Mortgage Assoc., 8.0%, 08/15/26 569,980 586 Government National Mortgage Assoc., 8.0%, 09/15/26 436,954 449 Government National Mortgage Assoc., 8.0%, 12/15/26 162,219 167 Government National Mortgage Assoc., 8.0%, 01/15/27 493,272 507 Government National Mortgage Assoc., 8.0%, 03/15/27 441,712 454 Government National Mortgage Assoc., 8.0%, 04/15/27 861,758 886 MARKET VALUE BONDS (94.3%) PAR (000'S) - -------------------------------------------------------------- FEDERAL GOVERNMENT AND AGENCIES (CONTINUED) Government National Mortgage Assoc., 8.0%, 06/15/27 403,630 $ 415 Government National Mortgage Assoc., 8.0%, 07/15/27 361,449 372 Government National Mortgage Assoc., 8.0%, 08/15/27 305,679 314 Government National Mortgage Assoc., 8.0%, 09/15/27 328,144 337 Government National Mortgage Assoc., 8.5%, 09/15/21 73,226 77 Government National Mortgage Assoc., 8.5%, 03/15/23 3,416 4 Government National Mortgage Assoc., 8.5%, 06/15/23 8,604 9 Government National Mortgage Assoc., 8.5%, 06/15/24 2,697 3 Government National Mortgage Assoc., 8.5%, 07/15/24 51,098 54 Government National Mortgage Assoc., 8.5%, 09/15/24 105,004 110 Government National Mortgage Assoc., 8.5%, 11/15/24 458,923 481 Government National Mortgage Assoc., 8.5%, 02/15/25 48,353 50 Government National Mortgage Assoc., 11.0%, 01/15/18 4,811,164 5,413 U.S. Treasury, 4.0%, 10/31/00 1,350,000 1,326 U.S. Treasury, 4.5%, 01/31/01 4,000,000 3,940 U.S. Treasury, 4.75%, 11/15/08 12,150,000 11,151 U.S. Treasury, 4.875%, 03/31/01 2,380,000 2,356 U.S. Treasury, 5.0%, 02/28/01 4,000,000 3,969 U.S. Treasury, 5.25%, 05/15/04 14,600,000 14,345 U.S. Treasury, 5.25%, 02/15/29 1,000,000 897 U.S. Treasury, 5.5%, 8/15/28 3,688,000 3,368 U.S. Treasury, 6.125%, 08/15/07 6,000,000 6,067 U.S. Treasury, 6.125%, 11/15/27 1,030,000 1,020 U.S. Treasury, 7.25%, 05/15/16 3,375,000 3,705 Vendee Mortgage Trust, .4951%, 6/15/2023 (IO) 73,944,504 1,287 ----------- TOTAL GOVERNMENT BONDS 131,784 ----------- MORTGAGE BACKED AND ASSET BACKED SECURITIES (39.9%) AUTO-RELATED (1.6%) Daimler-Benz Vehicle Trust - Class A, 5.85%, 7/20/03 235,223 236 Eaglemark Trust - Class A, 6.75%, 11/15/02 406,996 411 Fleetwood Credit Corporation Grantor Trust - Class A, 6.4%, 5/15/13 830,174 835
-- 57 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1999
MARKET VALUE BONDS (94.3%) PAR (000'S) - -------------------------------------------------------------- AUTO-RELATED (CONTINUED) Team Fleet Financing Corporation - Class A, 6.65%, 12/15/02 (144A) 3,200,000 $ 3,189 ----------- TOTAL 4,671 ----------- BANK AND FINANCE (2.1%) Morgan Stanley Capital Trust, 7.387%, 5/15/2006 3,000,000 3,139 Nations Bank Lease Pass Thru Trust 97-A, 7.442%, 11/18/2005 3,000,000 3,013 ----------- TOTAL 6,152 ----------- COMMERCIAL MORTGAGES (24.1%) Asset Securitization Corporation, Class CS1, 1.257%, 11/13/26 IO 17,508,170 560 Asset Securitization Corporation, Class CS2, 1.097%, 11/13/26 IO 52,000,000 2,680 Asset Securitization Corporation, Class PS1, 1.367%, 2/14/41 IO 12,007,185 1,103 Chase Commercial Mortgage Securities Corp., Class B, 6.6%, 12/12/29 2,000,000 1,958 Chase Commercial Mortgage Securities Corp., Class A2, 6.6%, 12/12/29 5,000,000 4,920 Chase Commercial Mortgage Securities Corp., Class B, 7.37%, 6/19/29 1,000,000 1,035 Commercial Mortgage Acceptance Corporation, Class B, 6.649%, 12/15/07 2,000,000 1,937 Commercial Mortgage Asset Trust, Class C, 7.35%, 8/17/13 3,750,000 3,648 Credit Suisse First Boston Mortgage Securities Corp., Class B, 9.546%, 4/25/25 (144A) 682,000 743 Credit Suisse First Boston Mortgage Securities Corp., Class C1, 7.26%, 6/20/29 (144A) 1,448,939 1,489 Credit Suisse First Boston Mortgage Securities Corp., Class C1, 7.28%, 6/20/29 (144A) 1,500,000 1,505 Credit Suisse First Boston Mortgage Securities Corp., Class D, 9.546%, 4/25/25 (144A) 2,000,000 2,135 Criimi Mae Commercial Mortgage Trust, 7.0%, 12/01/06 3,000,000 2,759 Criimi Mae Commercial Mortgage Trust, 7.0%, 11/02/11 4,000,000 3,012 DLJ Mortgage Acceptance Corporation, Class S, .3571%, 10/15/17 (144A) IO 104,204,148 2,263 MARKET VALUE BONDS (94.3%) PAR (000'S) - -------------------------------------------------------------- COMMERCIAL MORTGAGES (CONTINUED) DLJ Mortgage Acceptance Corporation, Class S, .718%, 2/18/31 IO 119,825,674 $ 4,554 DLJ Mortgage Acceptance Corporation, 8.100%, 6/18/2004 1,661,924 1,756 DLJ Mortgage Acceptance Corporation, 8.100%, 6/18/2004 1,000,000 1,049 First Union-Lehman Brothers Commercial Mortgage Trust, Class C, 7.44%, 4/18/07 2,500,000 2,521 Kmart CMBS Financing, Inc., Class D, 6.7875%, 03/01/07 (144A) 2,000,000 1,989 Kmart CMBS Financing, Inc., Class C, 6.3875%, 03/01/07 (144A) 2,500,000 2,480 Kmart CMBS Financing, Inc., Class D, 6.03%, 03/01/07 (144A) 2,000,000 1,981 LB Mortgage Trust, 8.396%, 6/2/10 5,217,049 5,784 Malan Mortgage Securities Trust, Class A3, 7.8%, 8/15/05 (144A) 3,000,000 3,070 Merrill Lynch Mortgage Investors, Inc., Class E, 8.1606%, 6/25/22 (144A) 2,000,000 2,000 Merrill Lynch Mortgage Investors, Inc., Class C, 8.9223% , 11/25/20 1,950,000 1,947 Midland Realty Acceptance Corp., Class AEC, 1.389%, 1/25/29 (144A) IO 13,811,870 843 Nomura Asset Securities Corp. - Class A2, 7.014%, 3/17/28 2,800,000 2,688 Nomura Asset Securities Corp. - Class A4, 7.594%, 3/17/28 2,200,000 2,053 Red Mountain Funding LLC, Class E, 7.365%, 1/15/19 (144A) 1,500,000 1,284 Red Mountain Funding LLC, Class F, 7.471%, 1/15/19 (144A) 1,800,000 1,375 The Equitable Life Insurance Society of the U S, Class C1, 7.52%, 5/15/06 2,000,000 2,051 ----------- TOTAL 71,172 ----------- CREDIT CARD ASSET BACKED (0.7%) Iroquois Trust, Class A, 6.752%, 6/25/07 (144A) 2,000,000 2,002 ----------- FRANCHISE LOAN RECEIVABLES (2.3%) EMAC Owner Trust, 1.378%, 1/15/25 (144A) IO 30,458,787 1,966 EMAC Owner Trust - Class A2, 6.38%, 1/15/25 (144A) 3,100,000 3,001
-- 58 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1999
MARKET VALUE BONDS (94.3%) PAR (000'S) - -------------------------------------------------------------- FRANCHISE LOAN RECEIVABLES (CONTINUED) Global Franchise Trust, 6.349%, 8/16/01 1,861,405 $ 1,841 ----------- TOTAL 6,808 ----------- HOME EQUITY LOAN (0.7%) Amresco Residential Securities - Class A2, 6.245%, 04/25/22 2,200,000 2,199 ----------- MANUFACTURED HOUSING (1.2%) Mid-State Trust VI, Class A3, 7.54%, 7/1/35 1,063,747 1,074 Vanderbilt Mortgage and Finance, Inc., Class 1A4, 7.19%, 2/7/14 2,500,000 2,545 ----------- TOTAL 3,619 ----------- OTHER ASSET BACKED (3.7%) FMAC Loan Receivables Trust - Class A, 6.2%, 9/15/20 (144A) 1,426,283 1,394 Harley-Davidson Eaglemark, 5.87%, 1/20/2001 1,500,000 1,481 Health Care Recievable Corp., 6.25%, 2/01/03 1,125,000 1,106 Heilig-Meyers Master Trust - Class A, 6.125%, 1/20/07 (144A) 3,000,000 2,948 Nations Credit Grantor Trust - Class A1, 6.35%, 12/15/04 1,742,162 1,739 Newcourt Equipment - Class B, 6.764%, 9/20/04 (144A) 804,069 801 Rural Housing Trust, 6.33%, 4/17/2001 1,361,756 1,350 ----------- TOTAL 10,819 ----------- RESIDENTIAL MORTGAGES (2.4%) BCF L L C Mortgage Pass Thru Certificate, Class B3, 7.75%, 3/25/37 (144A) 3,868,375 3,521 Blackrock Capital Finance, Class B3, 7.25%, 11/25/28 (144A) 4,369,944 3,649 ----------- TOTAL 7,170 ----------- UTILITY (1.1%) Comed Transitional, 5.74%, 12/16/2008 3,500,000 3,264 ----------- TOTAL MORTGAGE BACKED AND ASSET BACKED SECURITIES 117,876 ----------- TOTAL BONDS 278,622 ----------- MARKET ) VALUE WARRANTS (0.0%) PAR (000'S - -------------------------------------------------------------- Argentina Republic 3,500 $ 4 ----------- MONEY MARKET INVESTMENTS (4.9%) - -------------------------------------------------------------- GOVERNMENT (0.6%) ++Federal Home Loan Mortgage Company, 4.73%, 2/26/99 1,700,000 1,682 ----------- PERSONAL CREDIT INSTITUTIONS (4.3%) General Electric Capital Corp., 5.7%, 7/1/99 7,500,000 7,500 ++Household Finance, 4.97%, 7/14/99 3,000,000 2,995 ++Variable Funding Capital Corp., 5.05%, 7/21/99 2,200,000 2,194 ----------- TOTAL 12,689 ----------- TOTAL MONEY MARKET INVESTMENTS 14,371 ----------- TOTAL INVESTMENTS (99.2%) (COST $303,027,441)^ 292,997 OTHER ASSETS, LESS LIABILITIES (.8%) 2,448 ----------- TOTAL NET ASSETS (100.0%) $ 295,445 -----------
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. ++ Partially held by the custodian in a segregated account as collateral for open futures postions. Information regarding open futures contracts as of June 30, 1999 is summarized below:
UNREALIZED NUMBER OF EXPIRATION APPRECIATION ISSUER CONTRACTS DATE (000'S) - ---------------------------------------------------------------- Euro Bond Future 31 9/99 $39 (Total Notional Value at 6/30/99, $7,369,750)
^ At June 30, 1999, the aggregate cost of securities for federal income tax purposes was $303,027,441 and the net unrealized depreciation of investments based on that cost was $10,029,866 which is comprised of $1,125,366 aggregate gross unrealized appreciation and $11,155,232 aggregate gross unrealized depreciation. The Accompanying Notes are an Integral Part of the Financial Statements. (Prepared from Unaudited Figures) -- 59 MONEY MARKET PORTFOLIO - -------------------------------------------------------------------------------- Objective: Portfolio Strategy: Invested Assets: Maximum current income consistent Achieve stability of capital by investing in short- $332,169,000 with liquidity and stability of term debt securities. 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. Maturities were lengthened considerably in the Money Market Portfolio during the second quarter of 1999. This move was made to take advantage of the relatively high yields that prevailed on longer-maturity instruments because the market expected a significant increase in interest rates. The modest tightening by the Federal Reserve at the end of June was accompanied by a statement that suggested further increases in the immediate future are unlikely. This statement indicated that the market had, in fact, overestimated the central bank's intent to raise interest rates. The Portfolio's current structure anticipates two more interest rate tightenings by the Federal Reserve before the end of 1999. Holdings include a number of securities that mature after January 1, 2000. These investments anticipate a drop in interest rates at the end of the year, as large issuers avoid issuing securities that would settle as the century turns. 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. -- 60 MONEY MARKET PORTFOLIO NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments JUNE 30, 1999
MARKET VALUE MONEY MARKET INVESTMENTS (76.0%) PAR (000'S) - --------------------------------------------------------------------------------- AIRCRAFT, GUIDED MISSILES & PARTS (4.6%) Alliedsignal, Inc., 5.27%, 2/23/00 16,000,000 $ 15,445 --------- AUTOMOBILE REPAIR, SERVICES & PARKING (2.4%) Daimler-Chrysler NA. Holding, 5.00%, 7/16/99 8,130,000 8,113 --------- CANNED FRUITS & VEGETABLES (3.0%) H.J. Heinz Co., 5.2%, 7/20/99 10,000,000 9,973 --------- CAPTIVE FINANCE COMPANIES (12.2%) Ford Holdings, Inc., 9.25%, 3/01/00 8,425,000 8,648 GMAC, 6.625%, 6/08/00 6,000,000 6,051 GMAC, 6.75%, 06/02/00 10,000,000 10,096 Sears Robuck Acceptance Corp., 4.9%, 07/14/99 3,870,000 3,863 Sears Robuck Acceptance Corp., 5.03%, 07/27/99 12,000,000 11,956 --------- TOTAL 40,614 --------- ELECTRIC UTILITIES (3.8%) Southern California Edison, 5.00%, 7/08/99 5,602,000 5,597 Southern California Edison, 4.9%, 7/12/99 7,035,000 7,024 --------- TOTAL 12,621 --------- FINANCE (14.4%) Ciesco LP, 5.16%, 8/18/99 16,000 15,890 CIT Group, 5.16%, 8/04/99 16,000 15,922 CXC Incorporated, 4.90%, 7/15/99 5,500 5,490 CXC Incorporated, 5.06%, 7/20/99 10,500 10,472 --------- TOTAL 47,774 --------- MANUFACTURED HOUSING (4.5%) Short Term Repackage Asset Trust, 6.00%, 4/13/00 15,000,000 15,000 --------- PERSONAL CREDIT INSTITUTIONS (19.9%) American Express Credit, 5.25%, 7/6/99 16,000,000 15,988 Associates Corp of NA, 4.90%, 7/14/99 6,500,000 6,488 Commercial Credit Company, 4.93%, 7/9/99 16,000,000 15,982 General Electric Capital Corp., 5.70%, 07/01/99 11,565,000 11,565 Variable Funding Capital Corp., 5.01%, 7/15/99 16,000,000 15,969 --------- TOTAL 65,992 --------- MARKET VALUE MONEY MARKET INVESTMENTS (76.0%) PAR (000'S) - --------------------------------------------------------------------------------- PHARMACEUTICAL PREPARATIONS (1.7%) American Home Products, 7.7%, 2/15/00 5,450,000 $ 5,535 --------- PHONE COMMUNICATIONS (4.8%) U.S. West Communications, 4.89%, 7/08/99 7,500,000 7,493 U.S. West Communications, 4.89%, 7/15/99 8,455,000 8,439 --------- TOTAL 15,932 --------- TOBACCO PRODUCTS (4.7%) Philip Morris, 6.15%, 03/15/00 15,500,000 15,584 --------- TOTAL MONEY MARKET INVESTMENTS 252,583 --------- ASSET-BACKED SECURITIES (23.9%) - --------------------------------------------------------------------------------- FINANCE LESSORS (23.9%) Asset Securitization, 4.91%, 7/14/99 10,000,000 9,982 Asset Securitization, 5.06%, 8/11/99 6,000,000 5,965 Preferred Receivable Funding, 5.10%, 8/19/99 16,000,000 15,889 Quincy Capital Corporation, 4.91%, 7/09/99 5,200,000 5,194 Quincy Capital Corporation, 4.92%, 7/09/99 6,400,000 6,393 Quincy Capital Corporation, 4.92%, 7/14/99 4,400,000 4,392 Receivables Capital Corp, 5.02%, 7/19/99 11,125,000 11,098 Receivables Capital Corp, 5.05%, 7/23/99 5,000,000 4,985 Triple A One Funding, 5.03%, 7/12/99 4,035,000 4,029 Triple A One Funding, 5.05%, 7/19/99 3,970,000 3,960 Triple A One Funding, 5.05%, 7/20/99 7,500,000 7,480 --------- TOTAL ASSET-BACKED SECURITIES 79,367 --------- TOTAL INVESTMENTS (99.9%) (COST $331,949,843)^ 331,950 OTHER ASSETS, LESS LIABILITIES (.1% ) 219 --------- TOTAL NET ASSETS (100.0%) $332,169 ---------
^ Also represents cost for federal income tax purposes. The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) -- 61 SMALL CAP GROWTH STOCK PORTFOLIO NORTHWESTERN MUTUAL SERIES FUND, INC. Small Cap Growth Stock Portfolio Financial Statements (IN THOUSANDS, EXCEPT PER SHARE AMOUNTS) STATEMENT OF ASSETS AND LIABILITIES JUNE 30, 1999 ASSETS Common Stocks (cost $10,156).................................................. $ 11,497 Money Market Investments (cost $1,199)........................................ 1,199 ----------- 12,696 Due from Sale of Fund Shares.................................................. 407 Due from Sale of Securities................................................... 173 Due from Futures Variation Margin............................................. 7 ----------- Total Assets................................................................ 13,283 ----------- LIABILITIES Due on Purchase of Securities................................................. 278 Accrued Expenses.............................................................. 8 Due to Investment Advisor..................................................... 4 ----------- Total Liabilities........................................................... 290 ----------- NET ASSETS...................................................................... $ 12,993 ----------- ----------- REPRESENTED BY: Aggregate Paid in Capital (2,000,000 shares authorized, $.01 par value; 10,749 shares outstanding).......................................................... $ 11,248 Undistributed Accumulated Net Realized Gain on Investments.................... 385 Net Unrealized Appreciation of: Investment Securities....................................................... 1,341 Index Futures Contracts..................................................... 19 ----------- Net Assets for 10,749 Shares Outstanding...................................... $ 12,993 ----------- ----------- Net Asset Value, Offering and Redemption Price per Share.............................................................. $ 1.21 ----------- -----------
STATEMENT OF OPERATIONS FOR THE TWO MONTHS ENDED JUNE 30, 1999* INVESTMENT INCOME Income Interest.................................................................... $ 12 Dividends................................................................... 1 --------- Total Income.............................................................. 13 --------- Expenses Management Fees............................................................. 11 Other Expenses.............................................................. 6 Custodian Expenses.......................................................... 4 --------- Total Expenses............................................................ 21 --------- Less: Expenses Reimbursed by Affiliates.................................... (7) Custodian Fees Paid Indirectly....................................... (1) --------- Total Net Expenses........................................................ 13 --------- Net Investment Income......................................................... -- --------- REALIZED AND UNREALIZED GAIN ON INVESTMENTS Net Realized Gain(Loss) on Investments: Investment Securities....................................................... 398 Index Futures Contracts..................................................... (13) --------- Net Realized Gain on Investments for the Period........................... 385 --------- Net Change in Unrealized Appreciation of: Investments Securities...................................................... 1,341 Index Futures Contracts..................................................... 19 --------- Net Change in Unrealized Appreciation of Investments for the Period....... 1,360 --------- Net Gain on Investments....................................................... 1,745 --------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS...................................................... $ 1,745 --------- ---------
* Fund commenced operations on April 30, 1999. The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) --- 62 NORTHWESTERN MUTUAL SERIES FUND, INC. Small Cap Growth Stock Portfolio Statement of Changes in Net Assets (IN THOUSANDS)
FOR THE TWO MONTHS ENDED JUNE 30, 1999 ------------ INCREASE IN NET ASSETS Operations Net Investment Income............... $ -- Net Realized Gain on Investments.... 385 Net Change in Unrealized Appreciation of Investments for the Period............................. 1,360 ------------ Net Increase in Net Assets Resulting from Operations......... 1,745 ------------ Distributions to Shareholders from: Net Investment Income............... -- Net Realized Gain on Investments.... -- ------------ Net Decrease in Net Assets Resulting from Distributions to Shareholders...................... -- ------------ Fund Share Transactions Proceeds from Sale of 10,761 Shares............................. 11,261 Proceeds from Shares Issued on Reinvestment of Distributions Paid (0 Shares)......................... -- Payments for 12 Shares Redeemed..... (13) ------------ Net Increase in Net Assets Resulting from Fund Share Transactions (10,749 shares)...... 11,248 ------------ Total Increase in Net Assets.......... 12,993 NET ASSETS Beginning of Period................... -- ------------ End of Period (includes no undistributed net investment income).............................. $ 12,993 ------------ ------------
The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) --- 63 NORTHWESTERN MUTUAL SERIES FUND, INC. Small Cap Growth Stock Portfolio Financial Highlights (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
FOR THE TWO MONTHS ENDED JUNE 30, 1999 ------------ SELECTED PER SHARE DATA Net Asset Value, Beginning of Period............................... $ 1.00 Income from Investment Operations: Net Investment Income............. 0.00 Net Realized and Unrealized Gains on Investments.................... 0.21 ------------ Total from Investment Operations....................... 0.21 ------------ Less Distributions: Distributions from Net Investment Income............................ 0.00 Distributions from Realized Gains on Investments.................... 0.00 ------------ Total Distributions............. 0.00 ------------ Net Asset Value, End of Period.......... $ 1.21 ------------ ------------ Total Return+........................... 20.90%++ ------------ ------------ RATIOS AND SUPPLEMENTAL DATA Net Assets, End of Period (in thousands)............................. $ 12,993 ------------ ------------ Ratio of Net Expenses to Average Net Assets................................. 1.00%** ------------ ------------ Ratio of Gross Expenses to Average Net Assets................................. 1.51%** ------------ ------------ Ratio of Net Investment Income to Average Net Assets..................... 0.03%** ------------ ------------ Portfolio Turnover Rate................. 15.58% ------------ ------------
** Computed on an annualized basis. + Total Return includes deductions for management and other fund expenses; excludes deductions for sales loads and account fees. ++ Reflects total return for the period; not annualized. The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) --- 64 AGGRESSIVE GROWTH STOCK PORTFOLIO FINANCIAL STATEMENTS OF NORTHWESTERN MUTUAL SERIES FUND, INC. Aggressive Growth Stock Portfolio (IN THOUSANDS, EXCEPT PER SHARE AMOUNTS) STATEMENT OF ASSETS AND LIABILITIES JUNE 30, 1999 ASSETS Common Stocks (cost $717,044)................................................. $ 1,102,434 Money Market Investments (cost $43,982)....................................... 43,981 ------------ 1,146,415 Cash.......................................................................... 1,535 Due from Sale of Securities................................................... 9,348 Due from Sale of Fund Shares.................................................. 318 Dividends and Interest Receivable............................................. 110 ------------ Total Assets................................................................ 1,157,726 ------------ LIABILITIES Due on Purchase of Securities................................................. 8,386 Due on Redemption of Fund Shares.............................................. 1,445 Due to Investment Advisor..................................................... 514 Accrued Expenses.............................................................. 25 ------------ Total Liabilities........................................................... 10,370 ------------ NET ASSETS...................................................................... $ 1,147,356 ------------ ------------ REPRESENTED BY: Aggregate Paid in Capital (2,000,000 shares authorized, $.01 par value; 312,030 shares outstanding).................................................. $ 683,261 Undistributed Net Investment Loss............................................. (380) Undistributed Accumulated Net Realized Gain on Investments.................... 79,086 Net Unrealized Appreciation of Investment Securities.......................... 385,389 ------------ Net Assets for 312,030 Shares Outstanding..................................... $ 1,147,356 ------------ ------------ Net Asset Value, Offering and Redemption Price per Share...................... $ 3.68 ------------ ------------
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 1999 INVESTMENT INCOME Income Interest.................................................................... $ 1,779 Dividends................................................................... 600 --------- Total Income.............................................................. 2,379 --------- Expenses Management Fees............................................................. 2,750 Custodian Expenses.......................................................... 21 Other Expenses.............................................................. 10 --------- Total Expenses............................................................ 2,781 --------- Less Custodian Fees:.................................................... Paid by Affiliate....................................................... (19) Paid Indirectly......................................................... (2) --------- Total Net Expenses........................................................ 2,760 --------- Net Investment Loss......................................................... (381) --------- REALIZED AND UNREALIZED GAIN ON INVESTMENTS Net Realized Gain on Investments: Investment Securities....................................................... 80,182 Index Futures Contracts..................................................... 871 --------- Net Realized Gain on Investments for the Period........................... 81,053 Net Change in Unrealized Appreciation (Depreciation) of: Investment Securities....................................................... 21,558 Index Futures Contracts..................................................... (989) --------- Net Change in Unrealized Appreciation of Investments for the Period....... 20,569 --------- Net Gain on Investments....................................................... 101,622 --------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............................ $101,241 --------- ---------
The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) --- 65 NORTHWESTERN MUTUAL SERIES FUND, INC. Aggressive Growth Stock Portfolio Statement of Changes in Net Assets (IN THOUSANDS)
FOR THE SIX MONTHS ENDED FOR THE JUNE 31, YEAR ENDED 1999 DECEMBER 31, (UNAUDITED) 1998 ------------- -------------- INCREASE IN NET ASSETS Operations Net Investment Gain (Loss)....................... $ (381) $ 389 Net Realized Gain on Investments................. 81,053 36,225 Net Change in Unrealized Appreciation of Investments for the Period...................... 20,569 43,459 ------------- -------------- Net Increase in Net Assets Resulting from Operations..................................... 101,241 80,073 ------------- -------------- Distributions to Shareholders from: Net Investment Income............................ (389) (389) Net Realized Gain on Investments................. (38,180) (39,790) ------------- -------------- Net Decrease in Net Assets Resulting from Distributions to Shareholders.................. (38,569) (40,179) ------------- -------------- Fund Share Transactions Proceeds from Sale of 5,994 and 23,019 Shares.... 20,260 74,489 Proceeds from Shares Issued on Reinvestment of Distributions Paid (11,023 and 11,431 shares, respectively)................................... 38,569 40,180 Payments for 33,383 and 25,793 Shares Redeemed... (111,611) (84,165) ------------- -------------- Net Increase (Decrease) in Net Assets Resulting from Fund Share Transactions ((16,366) and 8,657 shares, respectively).................... (52,782) 30,504 ------------- -------------- Total Increase in Net Assets....................... 9,890 70,398 NET ASSETS Beginning of Period................................ 1,137,466 1,067,068 ------------- -------------- End of Period (includes undistributed net investment income (loss) of $(380) and $390, respectively)..................................... $ 1,147,356 $ 1,137,466 ------------- -------------- ------------- --------------
The Accompanying Notes are an Integral Part of the Financial Statements --- 66 NORTHWESTERN MUTUAL SERIES FUND, INC. Aggressive Growth Stock Portfolio Financial Highlights (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
FOR THE PERIOD FOR THE MAY 3, SIX MONTHS 1994* ENDED THROUGH JUNE 30, FOR THE YEAR ENDED DECEMBER 31, DECEMBER 31, 1999 ------------------------------------------------------ ------------- (UNAUDITED) 1998 1997 1996 1995 1994 -------------- ----------- ----------- ------------ ----------- ------------- SELECTED PER SHARE DATA Net Asset Value, Beginning of Period.................. $ 3.46 $ 3.34 $ 3.15 $ 2.77 $ 2.00 $ 1.91 Income from Investment Operations: Net Investment Income... -- -- -- -- -- -- Net Realized and Unrealized Gains on Investments............ 0.34 0.24 0.39 0.49 0.78 0.09 -------------- ----------- ----------- ------------ ----------- ------------- Total from Investment Operations........... 0.34 0.24 0.39 0.49 0.78 0.09 -------------- ----------- ----------- ------------ ----------- ------------- Less Distributions: Distributions from Net Investment Income...... -- -- -- -- -- -- Distributions from Realized Gains on Investments............ (0.12) (0.12) (0.20) (0.11) (0.01) -- -------------- ----------- ----------- ------------ ----------- ------------- Total Distributions... (0.12) (0.12) (0.20) (0.11) (0.01) -- -------------- ----------- ----------- ------------ ----------- ------------- Net Asset Value, End of Period....................... $ 3.68 $ 3.46 $ 3.34 $ 3.15 $ 2.77 $ 2.00 -------------- ----------- ----------- ------------ ----------- ------------- -------------- ----------- ----------- ------------ ----------- ------------- Total Return+................. 9.98%++ 7.56% 13.86% 17.70% 39.29% 4.47%++ -------------- ----------- ----------- ------------ ----------- ------------- -------------- ----------- ----------- ------------ ----------- ------------- RATIOS AND SUPPLEMENTAL DATA Net Assets, End of Period (in thousands)................... $1,147,356 $1,137,466 $1,067,068 $ 871,926 $ 577,014 $ 327,096 -------------- ----------- ----------- ------------ ----------- ------------- -------------- ----------- ----------- ------------ ----------- ------------- Ratio of Expenses to Average Net Assets................... 0.51%** 0.52% 0.53% 0.54% 0.56% 0.58%** -------------- ----------- ----------- ------------ ----------- ------------- -------------- ----------- ----------- ------------ ----------- ------------- Ratio of Net Investment Income (Loss) to Average Net Assets....................... (0.07%)** 0.04% 0.06% (0.03%) 0.13% 0.29%** -------------- ----------- ----------- ------------ ----------- ------------- -------------- ----------- ----------- ------------ ----------- ------------- Portfolio Turnover Rate....... 31.62% 50.43% 57.27% 47.25% 37.84% 21.54% -------------- ----------- ----------- ------------ ----------- ------------- -------------- ----------- ----------- ------------ ----------- -------------
* Commencement of Operations. ** Computed on an annualized basis. + Total Return includes deductions for management and other fund expenses; excludes deductions for sales loads and account fees. ++ Reflects total return for the period; not annualized. The Accompanying Notes are an Integral Part of the Financial Statements --- 67 INTERNATIONAL EQUITY PORTFOLIO NORTHWESTERN MUTUAL SERIES FUND, INC. International Equity Portfolio Financial Statements (IN THOUSANDS EXCEPT PER SHARE AMOUNTS) STATEMENT OF ASSETS AND LIABILITIES JUNE 30, 1999 ASSETS Common Stocks (cost $587,868)................................................. $657,298 Money Market Investments (cost $39,096)....................................... 39,096 --------- 696,394 Dividends and Interest Receivable............................................. 5,222 Due from Sale of Fund Shares.................................................. 334 Due from Sale of Securities................................................... 53 --------- Total Assets................................................................ 702,003 --------- LIABILITIES Due on Redemption of Fund Shares.............................................. 740 Due to Investment Advisor..................................................... 380 Due on Purchase of Securities................................................. 330 Accrued Expenses.............................................................. 183 --------- Total Liabilities........................................................... 1,633 --------- NET ASSETS...................................................................... $700,370 --------- --------- REPRESENTED BY: Aggregate Paid in Capital (2,000,000 shares authorized, $.01 par value; 432,243 shares outstanding).................................................. $580,297 Undistributed Net Investment Income........................................... 14,543 Undistributed Accumulated Net Realized Gain on Investments.................... 36,235 Net Unrealized Appreciation (Depreciation) of: Investment Securities....................................................... 69,430 Foreign Currency Transactions............................................... (135) --------- Net Assets for 432,243 Shares Outstanding..................................... $700,370 --------- --------- Net Asset Value, Offering and Redemption Price per Share...................... $ 1.62 --------- ---------
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 1999 INVESTMENT INCOME Income Dividends (less foreign dividend tax of $390)............................... $14,747 Interest.................................................................... 649 -------- Total Income.............................................................. 15,396 -------- Expenses Management Fees............................................................. 2,210 Custodian Fees.............................................................. 199 Other Expenses.............................................................. 135 -------- Total Expenses............................................................ 2,544 -------- Net Investment Income......................................................... 12,852 -------- REALIZED AND UNREALIZED GAIN ON INVESTMENTS AND FOREIGN CURRENCIES Net Realized Gain (Loss) on: Investment Securities....................................................... 41,149 Foreign Currency Transactions............................................... (1,790) -------- Net Realized Gain for the Period.......................................... 39,359 -------- Net Change in Unrealized Appreciation (Depreciation) of: Investment Securities....................................................... 22,439 Foreign Currency Transactions............................................... (170) -------- Net Change in Unrealized Appreciation for the Period...................... 22,269 -------- Net Gain on Investments..................................................... 61,628 -------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS...................................................... $74,480 -------- --------
The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) --- 68 NORTHWESTERN MUTUAL SERIES FUND, INC. International Equity Portfolio Statement of Changes in Net Assets (IN THOUSANDS)
FOR THE SIX MONTHS FOR THE ENDED JUNE YEAR ENDED 30, 1999 DECEMBER 31, (UNAUDITED) 1998 ----------- ------------ INCREASE IN NET ASSETS Operations Net Investment Income................................ $ 12,852 $ 18,098 Net Realized Gain on Investments..................... 39,359 78,236 Net Unrealized Appreciation (Depreciation) of Investments for the Period.......................... 22,269 (66,907) ----------- ------------ Net Increase in Net Assets Resulting from Operations......................................... 74,480 29,427 ----------- ------------ Distributions to Shareholders from: Net Investment Income................................ (18,221) (16,649) Net Realized Gain on Investments..................... (78,977) (22,793) ----------- ------------ Net Decrease in Net Assets Resulting from Distributions to Shareholders...................... (97,198) (39,442) ----------- ------------ Fund Share Transactions Proceeds from Sale of 12,298 and 35,076 Shares....... 20,667 60,890 Proceeds from Shares Issued on Reinvestment of Dividends Paid (58,943 and 21,530 shares, respectively)............ 97,198 39,442 Payments for 39,189 and 47,205 Shares Redeemed....... (65,883) (79,061) ----------- ------------ Net Increase in Net Assets Resulting from Fund Share Transactions (32,052 and 9,401 shares, respectively)........... 51,982 21,271 ----------- ------------ Total Increase in Net Assets........................... 29,264 11,256 NET ASSETS Beginning of Period.................................... 671,106 659,850 ----------- ------------ End of Period (includes undistributed net investment income of $14,543 and $19,912, respectively)......................................... $700,370 $671,106 ----------- ------------ ----------- ------------
The Accompanying Notes are an Integral Part of the Financial Statements --- 69 NORTHWESTERN MUTUAL SERIES FUND, INC. International Equity Portfolio Financial Highlights (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
FOR THE SIX FOR THE PERIOD MONTHS MAY 3, 1994* ENDED JUNE FOR THE YEAR ENDED DECEMBER 31, THROUGH 30, 1999 ---------------------------------------------- DECEMBER 31, (UNAUDITED) 1998 1997 1996 1995 1994 ----------- ----------- --------- --------- -------- -------------- SELECTED PER SHARE DATA Net Asset Value, Beginning of Period............ $ 1.68 $ 1.69 $ 1.56 $ 1.35 $ 1.19 $ 1.22 Income from Investment Operations: Net Investment Income....................... 0.03 0.05 0.04 0.04 0.04 0.02 Net Realized and Unrealized Gains (Losses) on Investments............................. 0.13 0.04 0.15 0.24 0.13 (0.02) ----------- ----------- --------- --------- -------- -------------- Total from Investment Operations.......... 0.16 0.09 0.19 0.28 0.17 0.00 ----------- ----------- --------- --------- -------- -------------- Less Distributions: Distributions from Net Investment Income.... (0.04) (0.04) (0.04) (0.03) .00 (0.02) Distributions from Realized Gains on Investments................................ (0.18) (0.06) (0.02) (0.04) (0.01) (0.01) ----------- ----------- --------- --------- -------- -------------- Total Distributions....................... (0.22) (0.10) (0.06) (0.07) (0.01) (0.03) ----------- ----------- --------- --------- -------- -------------- Net Asset Value, End of Period.................... $ 1.62 $ 1.68 $ 1.69 $ 1.56 $ 1.35 $ 1.19 ----------- ----------- --------- --------- -------- -------------- ----------- ----------- --------- --------- -------- -------------- Total Return+..................................... 11.79%++ 4.82% 12.28% 21.01% 14.57% 0.11%++ ----------- ----------- --------- --------- -------- -------------- ----------- ----------- --------- --------- -------- -------------- RATIOS AND SUPPLEMENTAL DATA Net Assets, End of Period (in thousands).......... $700,370 $671,106 $659,850 $505,189 $342,127 $292,533 ----------- ----------- --------- --------- -------- -------------- ----------- ----------- --------- --------- -------- -------------- Ratio of Expenses to Average Net Assets........... 0.76%** 0.76% 0.77% 0.81% 0.85% 0.87%** ----------- ----------- --------- --------- -------- -------------- ----------- ----------- --------- --------- -------- -------------- Ratio of Net Investment Income to Average Net Assets........................................... 4.42%** 3.38% 2.75% 3.02% 2.68% 2.28%** ----------- ----------- --------- --------- -------- -------------- ----------- ----------- --------- --------- -------- -------------- Portfolio Turnover Rate........................... 153.40% 30.41% 16.74% 17.07% 26.71% 10.97% ----------- ----------- --------- --------- -------- -------------- ----------- ----------- --------- --------- -------- --------------
* Commencement of Operations. ** Computed on an annualized basis. + Total Return includes deductions for management and other fund expenses; excludes deductions for sales loads and account fees. ++ Reflects total return for the period; not annualized. The Accompanying Notes are an Integral Part of the Financial Statements --- 70 INDEX 400 STOCK PORTFOLIO NORTHWESTERN MUTUAL SERIES FUND, INC. Index 400 Stock Portfolio Financial Statements (IN THOUSANDS, EXCEPT PER SHARE AMOUNTS) STATEMENT OF ASSETS AND LIABILITIES JUNE 30, 1999 ASSETS Common Stocks (cost $27,907).................................................. $ 29,354 Money Market Investments (cost $2,197)........................................ 2,197 --------- 31,551 Due from Sale of Fund Shares.................................................. 339 Dividends and Interest Receivable............................................. 19 Due from Futures Variation Margin............................................. 7 --------- Total Assets................................................................ 31,916 --------- LIABILITIES Due on Purchase of Securities................................................. 16 Accrued Expenses.............................................................. 13 Due to Investment Advisor..................................................... 2 --------- Total Liabilities........................................................... 31 --------- NET ASSETS...................................................................... $ 31,885 --------- --------- REPRESENTED BY: Aggregate Paid in Capital (2,000,000 shares authorized, $.01 par value; 30,236 shares outstanding).......................................................... $ 30,337 Undistributed Net Investment Income........................................... 68 Undistributed Accumulated Net Realized Loss on Investments.................... (18) Net Unrealized Appreciation of: Investment Securities....................................................... 1,447 Index Futures Contracts..................................................... 51 --------- Net Assets for 30,236 Shares Outstanding...................................... $ 31,885 --------- --------- Net Asset Value, Offering and Redemption Price per Share...................... $ 1.05 --------- ---------
STATEMENT OF OPERATIONS FOR THE TWO MONTHS ENDED JUNE 30, 1999* INVESTMENT INCOME Income Dividends................................................................... $ 50 Interest.................................................................... 33 --------- Total Income.............................................................. 83 --------- Expenses Management Fees............................................................. 11 Other Expenses.............................................................. 8 Custodian Expenses.......................................................... 6 --------- Total Expenses............................................................ 25 --------- Less: Expenses Reimbursed by Affliates..................................... (9) Custodian Fees Paid Indirectly....................................... (1) --------- Total Net Expenses........................................................ 15 --------- Net Investment Income......................................................... 68 --------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net Realized Gain (Loss) on Investments: Investment Securities....................................................... (39) Index Futures Contracts..................................................... 21 --------- Net Realized Loss on Investments for the Period............................... (18) --------- Net Change in Unrealized Appreciation of: Investment Securities....................................................... 1,447 Index Futures Contracts..................................................... 51 --------- Net Change in Unrealized Appreciation of Investments for the Peiod............ 1,498 --------- Net Gain on Investments....................................................... 1,480 --------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS...................................................... $ 1,548 --------- ---------
* Fund commenced operations on April 30, 1999. The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) --- 71 NORTHWESTERN MUTUAL SERIES FUND, INC. Index 400 Stock Portfolio Statement of Changes in Net Assets (IN THOUSANDS)
FOR THE TWO MONTHS ENDED JUNE 30, 1999 ----------- INCREASE IN NET ASSETS Operations Net Investment Income................................ $ 68 Net Realized Loss on Investments..................... (18) Net Change in Unrealized Appreciation of Investments for the Period...................................... 1,498 ----------- Net Increase in Net Assets Resulting from Operations......................................... 1,548 ----------- Distributions to Shareholders from: Net Investment Income................................ -- Net Realized Gain on Investments..................... -- ----------- Net Increase in Net Assets Resulting from Distributions to Shareholders...................... -- ----------- Fund Share Transactions Proceeds from Sale of 30,249 Shares.................. 30,350 Payments for 13 Shares Redeemed...................... (13) ----------- Net Increase in Net Assets Resulting from Fund Share Transactions (30,236 Shares)................................... 30,337 ----------- Total Increase in Net Assets........................... 31,885 NET ASSETS Beginning of Period.................................... -- ----------- End of Period (includes undistributed net investment income of $68)........................................ $ 31,885 ----------- -----------
The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) --- 72 NORTHWESTERN MUTUAL SERIES FUND, INC. Index 400 Stock Portfolio Financial Highlights (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
FOR THE TWO MONTHS ENDED JUNE 30, 1999 ----------- SELECTED PER SHARE DATA Net Asset Value, Beginning of Period............ $ 1.00 Income from Investment Operations: Net Investment Income....................... 0.00 Net Realized and Unrealized Gains on Investments................................. 0.05 ----------- Total from Investment Operations.......... 0.05 ----------- Less Distributions: Distributions from Net Investment Income.... 0.00 Distributions from Realized Gains on Investments................................. 0.00 ----------- Total Distributions....................... 0.00 ----------- Net Asset Value, End of Period.................... $ 1.05 ----------- ----------- Total Return+..................................... 5.50%++ ----------- ----------- RATIOS AND SUPPLEMENTAL DATA Net Assets, End of Period (in thousands).......... $ 31,885 ----------- ----------- Ratio of Gross Expenses to Average Net Assets..... 0.55%** ----------- ----------- Ratio of Net Expenses to Average Net Assets....... 0.35%** ----------- ----------- Ratio of Net Investment Income to Average Net Assets........................................... 1.47%** ----------- ----------- Portfolio Turnover Rate........................... 3.77% ----------- -----------
** Computed on an annualized basis. + Total Return includes deductions for management and other fund expenses; excludes deductions for sales loads and account fees. ++ Reflects total return for the period; not annualized. The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) --- 73 GROWTH STOCK PORTFOLIO FINANCIAL STATEMENTS OF Northwestern Mutual Series Fund, Inc. Growth Stock Portfolio (IN THOUSANDS, EXCEPT PER SHARE AMOUNTS) STATEMENT OF ASSETS AND LIABILITIES JUNE 30, 1999 ASSETS Common Stocks (cost $305,663)................................................. $ 478,511 Money Market Investments (cost $96,764)....................................... 96,760 ----------- 575,271 Cash.......................................................................... 743 Due from Futures Variation Margin............................................. 1,181 Dividends and Interest Receivable............................................. 353 Due from Sale of Fund Shares.................................................. 182 ----------- Total Assets................................................................ 577,730 ----------- LIABILITIES Due on Purchase of Securities................................................. 2,346 Due on Redemption of Fund Shares.............................................. 954 Due to Investment Advisor..................................................... 210 Accrued Expenses.............................................................. 30 ----------- Total Liabilities........................................................... 3,540 ----------- NET ASSETS...................................................................... $ 574,190 ----------- ----------- REPRESENTED BY: Aggregate Paid in Capital (2,000,000 shares authorized, $.01 par value; 234,555 shares outstanding).................................................. $ 384,264 Undistributed Net Investment Income........................................... 3,072 Undistributed Accumulated Net Realized Gain on Investments.................... 11,556 Net Unrealized Appreciation of: Investment Securities....................................................... 172,844 Index Futures Contracts..................................................... 2,454 ----------- Net Assets for 234,555 Shares Outstanding..................................... $ 574,190 ----------- ----------- Net Asset Value, Offering and Redemption Price per Share...................... $ 2.45 ----------- -----------
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 1999 INVESTMENT INCOME Income Dividends (less foreign dividend tax of $76)................................ $ 2,257 Interest.................................................................... 1,878 --------- Total Income.............................................................. 4,135 --------- Expenses Management Fees............................................................. 1,052 Other Expenses.............................................................. 10 Custodian Expenses.......................................................... 9 --------- Total Expenses............................................................ 1,071 --------- Less Custodian Fees: Paid by Affiliate.................................................... (6) Paid Indirectly...................................................... (3) --------- Total Net Expenses........................................................ 1,062 --------- Net Investment Income......................................................... 3,073 --------- REALIZED AND UNREALIZED GAIN ON INVESTMENTS Net Realized Gain on Investments: Investment Securities....................................................... 9,904 Index Futures Contracts..................................................... 3,215 --------- Net Realized Gain on Investments for the Period........................... 13,119 --------- Net Change in Unrealized Appreciation of: Investments Securities...................................................... 39,705 Index Futures Contracts..................................................... 900 --------- Net Change in Unrealized Appreciation of Investments for the Period....... 40,605 --------- Net Gain on Investments..................................................... 53,724 --------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............................ $ 56,797 --------- ---------
The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) --- 74 NORTHWESTERN MUTUAL SERIES FUND, INC. Growth Stock Portfolio Statement of Changes in Net Assets (IN THOUSANDS)
FOR THE SIX MONTHS FOR THE ENDED YEAR JUNE 30, ENDED 1999 DECEMBER 31, (UNAUDITED) 1998 ----------- ------------ INCREASE IN NET ASSETS Operations Net Investment Income............................ $ 3,073 $ 3,561 Net Realized Gain on Investments................. 13,119 11,976 Net Change in Unrealized Appreciation of Investments for the Period...................... 40,605 62,197 ----------- ------------ Net Increase in Net Assets Resulting from Operations..................................... 56,797 77,734 ----------- ------------ Distributions to Shareholders from: Net Investment Income............................ (917) (2,645) Net Realized Gain on Investments................. (13,531) (4,068) ----------- ------------ Net Decrease in Net Assets Resulting from Distributions to Shareholders.................. (14,448) (6,713) ----------- ------------ Fund Share Transactions Proceeds from Sale of 44,016 and 56,014 Shares... 103,066 112,510 Proceeds from Shares Issued on Reinvestment of Distributions Paid (6,040 and 3,330 shares, respectively)................................... 14,448 6,713 Payments for 2,970 and 6,148 Shares Redeemed..... (6,955) (12,033) ----------- ------------ Net Increase in Net Assets Resulting from Fund Share Transactions (47,086 and 53,196 shares, respectively).................................. 110,559 107,190 ----------- ------------ Total Increase in Net Assets....................... 152,908 178,211 NET ASSETS Beginning of Period................................ 421,282 243,071 ----------- ------------ End of Period (includes undistributed net investment income of $3,072 and $916 respectively)..................................... $ 574,190 $ 421,282 ----------- ------------ ----------- ------------
The Accompanying Notes are an Integral Part of the Financial Statements --- 75 NORTHWESTERN MUTUAL SERIES FUND, INC. Growth Stock Portfolio Financial Highlights (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
FOR THE PERIOD MAY 3, FOR THE 1994* SIX MONTHS THROUGH ENDED DECEMBER JUNE 30, FOR THE YEAR ENDED DECEMBER 31, 31, 1999 ----------------------------------------------- ----------- (UNAUDITED) 1998 1997 1996 1995 1994 ----------- ----------- --------- --------- --------- ----------- SELECTED PER SHARE DATA Net Asset Value, Beginning of Period....... $ 2.25 $ 1.81 $ 1.46 $ 1.26 $ 1.00 $ 1.00 Income from Investment Operations: Net Investment Income.................. 0.01 0.02 0.02 0.02 0.02 0.01 Net Realized and Unrealized Gains on Investments........................... 0.25 0.46 0.42 0.25 0.28 -- ----------- ----------- --------- --------- --------- ----------- Total from Investment Operations..... 0.26 0.48 0.44 0.27 0.30 0.01 ----------- ----------- --------- --------- --------- ----------- Less Distributions: Distributions from Net Investment Income................................ 0.00 (0.02) (0.02) (0.02) (0.02) (0.01) Distributions from Realized Gains on Investments........................... (0.06) (0.02) (0.07) (0.05) (0.02) -- ----------- ----------- --------- --------- --------- ----------- Total Distributions.................. (0.06) (0.04) (0.09) (0.07) (0.04) (0.01) ----------- ----------- --------- --------- --------- ----------- Net Asset Value, End of Period............... $ 2.45 $ 2.25 $ 1.81 $ 1.46 $ 1.26 $ 1.00 ----------- ----------- --------- --------- --------- ----------- ----------- ----------- --------- --------- --------- ----------- Total Return+................................ 11.94%++ 26.69% 29.85% 20.91% 30.82% 1.55%++ ----------- ----------- --------- --------- --------- ----------- ----------- ----------- --------- --------- --------- ----------- RATIOS AND SUPPLEMENTAL DATA Net Assets, End of Period (in thousands)..... $ 574,190 $ 421,282 $243,071 $170,482 $ 85,557 $ 41,868 ----------- ----------- --------- --------- --------- ----------- ----------- ----------- --------- --------- --------- ----------- Ratio of Expenses to Average Net Assets 0.43%** 0.46% 0.49% 0.57% 0.61% 0.71%** ----------- ----------- --------- --------- --------- ----------- ----------- ----------- --------- --------- --------- ----------- Ratio of Net Investment Income to Average Net Assets 1.28%** 1.10% 1.24% 1.41% 1.77% 2.30%** ----------- ----------- --------- --------- --------- ----------- ----------- ----------- --------- --------- --------- ----------- Portfolio Turnover Rate...................... 11.36% 21.64% 33.20% 37.61% 46.83% 16.51% ----------- ----------- --------- --------- --------- ----------- ----------- ----------- --------- --------- --------- -----------
* Commencement of Operations. ** Computed on an annualized basis. + Total Return includes deductions for management and other fund expenses; excludes deductions for sales loads and account fees. ++ Reflects total return for the period; not annualized. The Accompanying Notes are an Integral Part of the Financial Statements --- 76 GROWTH AND INCOME STOCK PORTFOLIO NORTHWESTERN MUTUAL SERIES FUND, INC. Growth and Income Stock Portfolio Financial Statements (IN THOUSANDS, EXCEPT PER SHARE AMOUNTS) STATEMENT OF ASSETS AND LIABILITIES JUNE 30, 1999 ASSETS Common Stocks (cost $596,207)................................................. $ 674,915 Money Market Investments (cost $2,997)........................................ 2,997 ----------- 677,912 Due From Sale of Securities................................................... 4,398 Dividends and Interest Receivable............................................. 545 Due from Sale of Fund Shares.................................................. 293 ----------- Total Assets................................................................ 683,148 ----------- LIABILITIES Due on Purchase of Securities................................................. 4,441 Due on Redemption of Fund Shares.............................................. 400 Due to Investment Advisor..................................................... 334 Accrued Expenses.............................................................. 31 ----------- Total Liabilities........................................................... 5,206 ----------- NET ASSETS...................................................................... $ 677,942 ----------- ----------- REPRESENTED BY: Aggregate Paid in Capital (2,000,000 shares authorized, $.01 par value; 422,368 shares outstanding).... $ 563,587 Undistributed Net Investment Income........................................... 2,342 Undistributed Accumulated Net Realized Gain on Investments.................... 33,304 Net Unrealized Appreciation of Investments.................................... 78,709 ----------- Net Assets for 422,368 Shares Outstanding..................................... $ 677,942 ----------- ----------- Net Asset Value, Offering and Redemption Price per Share...................... $ 1.61 ----------- -----------
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 1999 INVESTMENT INCOME Income Dividends (less foreign dividend tax of $51)................................ $ 3,909 Interest.................................................................... 167 --------- Total Income.............................................................. 4,076 --------- Expenses Management Fees............................................................. 1,722 Custodian Fees.............................................................. 18 Other Expenses.............................................................. 11 --------- Total Expenses............................................................ 1,751 --------- Less Custodian Fees: Paid by Affiliate.................................................... (17) Paid Indirectly...................................................... (1) --------- Total Net Expense......................................................... 1,733 --------- Net Investment Income......................................................... 2,343 --------- REALIZED AND UNREALIZED GAIN ON INVESTMENTS Net Realized Gain on Investments.............................................. 35,352 Net Change in Unrealized Appreciation of Investments for the Period......... 25,343 --------- Net Gain on Investments....................................................... 60,695 --------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............................ $ 63,038 --------- ---------
The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) --- 77 NORTHWESTERN MUTUAL SERIES FUND, INC. Growth and Income Stock Portfolio Statement of Changes in Net Assets (IN THOUSANDS)
FOR THE SIX MONTHS ENDED FOR THE JUNE 30, YEAR ENDED 1999 DECEMBER 31, (UNAUDITED) 1998 ----------- ------------ INCREASE IN NET ASSETS Operations Net Investment Income............... $ 2,343 $ 4,096 Net Realized Gain on Investments.... 35,352 67,556 Net Change in Unrealized Appreciation of Investments for the Period............................. 25,343 26,191 ----------- ------------ Net Increase in Net Assets Resulting from Operations......... 63,038 97,843 ----------- ------------ Distributions to Shareholders from: Net Investment Income............... (164) (3,933) Net Realized Gain on Investments.... (69,388) (731) ----------- ------------ Net Decrease in Net Assets Resulting from Distributions to Shareholders...................... (69,552) (4,664) ----------- ------------ Fund Share Transactions Proceeds from Sale of 34,861 and 82,937 Shares...................... 57,032 120,879 Proceeds from Shares Issued on Reinvestment of Distributions Paid (43,992 and 3,111 shares, respectively)...................... 69,552 4,664 Payments for 8,008 and 14,061 Shares Redeemed........................... (13,098) (19,687) ----------- ------------ Net Increase in Net Assets Resulting from Fund Share Transactions (70,845 and 71,987 shares, respectively)............. 113,486 105,856 ----------- ------------ Total Increase in Net Assets.......... 106,972 199,035 NET ASSETS Beginning of Period................... 570,970 371,935 ----------- ------------ End of Period (includes undistributed net investment income of $2,342 and $163, respectively).................. $ 677,942 $ 570,970 ----------- ------------ ----------- ------------
The Accompanying Notes are an Integral Part of the Financial Statements --- 78 NORTHWESTERN MUTUAL SERIES FUND, INC. Growth and Income Stock Portfolio Financial Highlights (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
FOR THE PERIOD FOR THE MAY 3, SIX MONTHS 1994* ENDED FOR THE YEAR THROUGH JUNE 30, ENDED DECEMBER 31, DECEMBER 1999 ----------------------------------------------------- 31, (UNAUDITED) 1998 1997 1996 1995 1994 ----------- ----------- ----------- ----------- ----------- ----------- SELECTED PER SHARE DATA Net Asset Value, Beginning of Period............................... $ 1.62 $ 1.33 $ 1.32 $ 1.21 $ 0.98 $ 1.00 Income from Investment Operations: Net Investment Income............. 0.01 0.01 0.01 0.02 0.02 0.01 Net Realized and Unrealized Gains (Losses) on Investments.......... 0.14 0.29 0.37 0.23 0.29 (0.01) ----------- ----------- ----------- ----------- ----------- ----------- Total from Investment Operations..................... 0.15 0.30 0.38 0.25 0.31 (0.00) ----------- ----------- ----------- ----------- ----------- ----------- Less Distributions: Distributions from Net Investment Income........................... 0.00 (0.01) (0.01) (0.02) (0.02) (0.01) Distributions from Realized Gains on Investments................... (0.16) 0.00 (0.36) (0.12) (0.06) (0.01) ----------- ----------- ----------- ----------- ----------- ----------- Total Distributions............. (0.16) (0.01) (0.37) (0.14) (0.08) (0.02) ----------- ----------- ----------- ----------- ----------- ----------- Net Asset Value, End of Period.......... $ 1.61 $ 1.62 $ 1.33 $ 1.32 $ 1.21 $ 0.98 ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- Total Return+........................... 10.51%++ 23.14% 30.03% 19.97% 31.12% 0.34%++ ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- RATIOS AND SUPPLEMENTAL DATA Net Assets, End of Period (in thousands)............................. $ 677,942 $ 570,970 $ 371,936 $ 234,184 $ 136,923 $ 64,700 ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- Ratio of Expenses to Average Net Assets................................. 0.56%** 0.58% 0.60% 0.62% 0.69% 0.78%** ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- Ratio of Net Investment Income to Average Net Assets..................... 0.78%** 1.00% 1.04% 1.44% 1.68% 1.93%** ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- Portfolio Turnover Rate................. 57.77% 160.40% 144.52% 93.92% 80.00% 54.18% ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
* Commencement of Operations. ** Computed on an annualized basis. + Total Return includes deductions for management and other fund expenses; excludes deductions for sales loads and account fees. ++ Reflects total return for the period; not annualized. The Accompanying Notes are an Integral Part of the Financial Statements --- 79 INDEX 500 STOCK PORTFOLIO NORTHWESTERN MUTUAL SERIES FUND, INC. Index 500 Stock Portfolio Financial Statements (IN THOUSANDS, EXCEPT PER SHARE AMOUNTS) STATEMENT OF ASSETS AND LIABILITIES JUNE 30, 1999 ASSETS Common Stocks (cost $1,118,526)............................................... $2,053,431 Money Market Investments (cost $14,442)....................................... 14,436 ----------- 2,067,867 Dividends and Interest Receivable............................................. 1,906 Due From Sale of Fund Shares.................................................. 1,003 Due From Sale of Securities................................................... 940 Due From Futures Variation Margin............................................. 263 ----------- Total Assets................................................................ 2,071,979 ----------- LIABILITIES Due on Redemption of Fund Shares.............................................. 1,960 Due to Investment Advisor..................................................... 358 Accrued Expenses.............................................................. 70 Due on Purchase of Securities................................................. 27 ----------- Total Liabilities........................................................... 2,415 ----------- NET ASSETS...................................................................... $2,069,564 ----------- ----------- REPRESENTED BY: Aggregate Paid in Capital (2,000,000 shares authorized, $.01 par value; 573,146 shares outstanding).................................................. $1,101,452 Undistributed Net Investment Income........................................... 11,514 Undistributed Accumulated Net Realized Gain on Investments.................... 21,246 NET UNREALIZED APPRECIATION OF: Investment Securities....................................................... 934,899 Index Futures Contracts..................................................... 453 ----------- Net Assets for 573,146 Shares Outstanding..................................... $2,069,564 ----------- ----------- Net Asset Value, Offering and Redemption Price per Share...................... $ 3.61 ----------- -----------
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 1999 INVESTMENT INCOME Income Dividends (less foreign dividend tax of $191)............................... $ 12,154 Interest.................................................................... 1,259 ----------- Total Income................................................................ 13,413 ----------- Expenses Management Fees............................................................. 1,858 Custodian Fees.............................................................. 24 Other Expenses.............................................................. 21 ----------- Total Expenses............................................................ 1,903 ----------- Less Custodian Fees Paid Indirectly....................................... (3) ----------- Total Net Expenses........................................................ 1,900 ----------- Net Investment Income......................................................... 11,513 ----------- REALIZED AND UNREALIZED GAIN ON INVESTMENTS Net Realized Gain on Investments: Investment Securities....................................................... 16,355 Index Futures Contracts..................................................... 4,908 ----------- Net Realized Gain on Investments for the Period............................... 21,263 ----------- NET CHANGE IN UNREALIZED APPRECIATION OF: Investment Securities......................................................... 186,121 Index Futures Contracts....................................................... 129 ----------- Net Change in Unrealized Appreciation of Investments for the Period......... 186,250 ----------- Net Gain on Investments....................................................... 207,513 ----------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS...................................................... $ 219,026 ----------- -----------
The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) -- 80 NORTHWESTERN MUTUAL SERIES FUND, INC. Index 500 Stock Portfolio Statement of Changes in Net Assets (IN THOUSANDS)
FOR THE SIX MONTHS ENDED FOR THE JUNE 30, YEAR ENDED 1999 DECEMBER 31, (UNAUDITED) 1998 ----------- ------------ INCREASE IN NET ASSETS Operations Net Investment Income............... $ 11,513 $ 19,630 Net Realized Gain on Investments.... 21,263 27,094 Net Change in Unrealized Appreciation of Investments for the Period............................. 186,250 308,691 ----------- ------------ Net Increase in Net Assets Resulting from Operations......... 219,026 355,415 ----------- ------------ Disributions to Shareholders from: Net Investment Income............... (19,629) (17,811) Net Realized Gain on Investments.... (25,890) (28,519) ----------- ------------ Net Decrease in Net Assets Resulting from Distributions to Shareholders...................... (45,519) (46,330) ----------- ------------ Fund Share Transactions Proceeds from Sale of 53,646 and 79,805 Shares...................... 185,394 233,133 Proceeds from Shares Issued on Reinvestment of Distributions Paid (12,786 and 16,132 shares, respectively)...................... 45,519 46,330 Payments for 7,399 and 17,928 Shares Redeemed........................... (25,536) (50,725) ----------- ------------ Net Increase in Net Assets Resulting from Fund Share Transactions (59,033 and 78,009 shares, respectively)..................... 205,377 228,738 ----------- ------------ Total Increase in Net Assets.......... 378,884 537,823 NET ASSETS Beginning of Period................... 1,690,680 1,152,857 ----------- ------------ End of Period (includes undistributed net investment income of $11,514 and $19,630 respectively).... $2,069,564 $ 1,690,680 ----------- ------------ ----------- ------------
The Accompanying Notes are an Integral Part of the Financial Statements -- 81 NORTHWESTERN MUTUAL SERIES FUND, INC. Index 500 Stock Portfolio Financial Highlights (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
FOR THE SIX MONTHS ENDED JUNE 30, FOR THE YEARS ENDED DECEMBER 31, 1999 --------------------------------------------------------- (UNAUDITED) 1998 1997 1996 1995 1994 --------- --------- --------- --------- --------- --------- SELECTED PER SHARE DATA Net Asset Value, Beginning of Period............................... $ 3.29 $ 2.64 $ 2.06 $ 1.72 $ 1.27 $ 1.29 Income from Investment Operations: Net Investment Income............. 0.02 0.04 0.04 0.04 0.04 0.03 Net Realized and Unrealized Gain (Loss) on Investments............ 0.38 0.71 0.62 0.35 0.42 (0.01) --------- --------- --------- --------- --------- --------- Total from Investment Operations..................... 0.40 0.75 0.66 0.39 0.46 0.02 --------- --------- --------- --------- --------- --------- Less Distributions: Distributions from Net Investment Income........................... (0.03) (0.04) (0.04) (0.02) (0.01) (0.03) Distributions from Realized Gains on Investments................... (0.05) (0.06) (0.04) (0.03) -- (0.01) --------- --------- --------- --------- --------- --------- Total Distributions............. (0.08) (0.10) (0.08) (0.05) (0.01) (0.04) --------- --------- --------- --------- --------- --------- Net Asset Value, End of Period.......... $ 3.61 $ 3.29 $ 2.64 $ 2.06 $ 1.72 $ 1.27 --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- Total Return+........................... 12.32%++ 28.72% 33.20% 22.75% 37.25% 1.21% --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- RATIOS AND SUPPLEMENTAL DATA Net Assets, End of Period (in thousands)............................. $2,069,564 $1,690,680 $1,152,857 $740,066 $495,133 $316,123 --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- Ratio of Expenses to Average Net Assets................................. 0.20%** 0.21% 0.21% 0.21% 0.21% 0.24% --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- Ratio of Net Investment Income to Average Net Assets..................... 1.24%** 1.40% 1.86% 2.27% 2.51% 3.10% --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- Portfolio Turnover Rate................. 1.94% 3.03% 3.15% 3.45% 3.19% 5.59% --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
+ 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. ** Computed on an annualized basis. The Accompanying Notes are an Integral Part of the Financial Statements -- 82 BALANCED PORTFOLIO NORTHWESTERN MUTUAL SERIES FUND, INC. Balanced Portfolio Financial Statements (IN THOUSANDS, EXCEPT PER SHARE AMOUNTS) STATEMENT OF ASSETS AND LIABILITIES JUNE 30, 1999 ASSETS Common Stock (cost $708,115).................................................. $1,843,309 Bonds (cost $1,189,949)....................................................... 1,169,334 Other Investments (cost $480,748)............................................. 480,724 ----------- 3,493,367 Cash.......................................................................... 771 Dividends and Interest Receivable............................................. 17,505 Due from Sale of Securities................................................... 5,421 Due from Futures Variation Margin............................................. 3,019 ----------- Total Assets................................................................ 3,520,083 ----------- LIABILITIES Due on Purchase of Securities................................................. 4,714 Due on Redemption of Fund Shares.............................................. 4,698 Due to Investment Advisor..................................................... 929 ----------- Total Liabilities........................................................... 10,341 ----------- NET ASSETS...................................................................... $3,509,742 ----------- ----------- REPRESENTED BY: Aggregate Paid in Capital (3,000,000 shares authorized, $.01 par value; 1,645,315 shares outstanding)................................................................. $2,305,197 Undistributed Net Investment Income........................................... 54,632 Undistributed Accumulated Net Realized Gain on Investments.................... 28,978 NET UNREALIZED APPRECIATION OF: Investment Securities......................................................... 1,114,554 Index Futures Contracts....................................................... 6,381 ----------- Net Assets for 1,645,315 Shares Outstanding................................... $3,509,742 ----------- ----------- Net Asset Value, Offering and Redemption Price per Share...................... $ 2.13 ----------- -----------
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 1999 INVESTMENT INCOME Income Interest.................................................................... $ 48,707 Dividends (less foreign dividend tax of $179)............................... 11,603 ----------- Total Income.............................................................. 60,310 ----------- Expenses Management Fees............................................................. 5,043 ----------- Net Investment Income......................................................... 55,267 ----------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net Realized Gain (Loss) on Investments: Investment Securities....................................................... 25,279 Index Futures Contracts..................................................... 22,358 Foreign Currency Transactions............................................... (447) ----------- Net Realized Gain on Investments for the Period............................... 47,190 ----------- NET CHANGE IN UNREALIZED APPRECIATION/ (DEPRECIATION) OF: Investment Securities....................................................... 127,177 Futures Contracts........................................................... (6,939) Foreign Currency Transactions............................................... (14) ----------- Net Change in Unrealized Appreciation of Investments for the Period....... 120,224 ----------- Net Gain on Investments..................................................... 167,414 ----------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............................ $ 222,681 ----------- -----------
The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) --- 83 NORTHWESTERN MUTUAL SERIES FUND, INC. Balanced Portfolio Statement of Changes in Net Assets (IN THOUSANDS)
FOR THE SIX MONTHS ENDED FOR THE JUNE 30, YEAR ENDED 1999 DECEMBER 31, (UNAUDITED) 1998 ------------ ------------ INCREASE IN NET ASSETS Operations Net Investment Income................................ $ 55,267 $ 104,548 Net Realized Gain on Investments..................... 47,190 231,770 Net Change in Unrealized Appreciation of Investments for the Period...................................... 120,224 187,000 ------------ ------------ Net Increase in Net Assets Resulting from Operations......................................... 222,681 523,318 ------------ ------------ Distributions to Shareholders from: Net Investment Income................................ (104,192) (95,131) Net Realized Gain on Investments..................... (250,227) (85,841) ------------ ------------ Net Decrease in Net Assets Resulting from Distributions to Shareholders...................... (354,419) (180,972) ------------ ------------ Fund Share Transactions Proceeds from Sale of 32,547 and 54,658 Shares....... 73,035 113,335 Proceeds from Shares Issued on Reinvestment of Distributions Paid (167,416 and 89,901 shares, respectively)....................................... 354,419 180,971 Payments for 30,615 and 69,339 Shares Redeemed....... (68,045) (143,075) ------------ ------------ Net Increase in Net Assets Resulting from Fund Share Transactions (169,348 and 75,220 shares, respectively)...................................... 359,409 151,231 ------------ ------------ Total Increase in Net Assets........................... 227,671 493,577 NET ASSETS Beginning of Period.................................... 3,282,071 2,788,494 ------------ ------------ End of Period (includes undistributed net investment income of $54,632 and $103,557 respectively).......... $ 3,509,742 $ 3,282,071 ------------ ------------ ------------ ------------
The Accompanying Notes are an Integral Part of the Financial Statements --- 84 NORTHWESTERN MUTUAL SERIES FUND, INC. Balanced Portfolio Financial Highlights (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
FOR THE SIX MONTHS ENDED FOR THE YEAR JUNE 30, ENDED DECEMBER 31, 1999 ------------------------------------------------------------------- (UNAUDITED) 1998 1997 1996 1995 1994 ------------- ----------- ----------- ----------- ----------- ----------- SELECTED PER SHARE DATA Net Asset Value, Beginning of Period.................. $ 2.22 $ 1.99 $ 1.72 $ 1.60 $ 1.31 $ 1.33 Income from Investment Operations: Net Investment Income... 0.03 0.07 0.07 0.06 0.07 0.04 Net Realized and Unrealized Gain (Loss) on Investments......... 0.10 0.29 0.28 0.15 0.27 (0.05) ------------- ----------- ----------- ----------- ----------- ----------- Total from Investment Operations........... 0.13 0.36 0.35 0.21 0.34 (0.01) ------------- ----------- ----------- ----------- ----------- ----------- Less Distributions: Distributions from Net Investment Income...... (0.06) (0.07) (0.06) (0.06) (0.04) (0.00) Distributions from Realized Gains on Investments............ (0.16) (0.06) (0.02) (0.03) (0.01) (0.01) ------------- ----------- ----------- ----------- ----------- ----------- Total Distributions... (0.22) (0.13) (0.08) (0.09) (0.05) (0.01) ------------- ----------- ----------- ----------- ----------- ----------- Net Asset Value, End of Period..................... $ 2.13 $ 2.22 $ 1.99 $ 1.72 $ 1.60 $ 1.31 ------------- ----------- ----------- ----------- ----------- ----------- ------------- ----------- ----------- ----------- ----------- ----------- Total Return+............... 6.75%++ 18.88% 21.52% 13.45% 26.39% 0.16% ------------- ----------- ----------- ----------- ----------- ----------- ------------- ----------- ----------- ----------- ----------- ----------- RATIOS AND SUPPLEMENTAL DATA Net Assets, End of Period (in thousands)................... $3,509,742 $3,282,071 $2,788,494 $2,326,234 $2,083,289 $1,727,127 ------------- ----------- ----------- ----------- ----------- ----------- ------------- ----------- ----------- ----------- ----------- ----------- Ratio of Expenses to Average Net Assets................... 0.30%** 0.30% 0.30% 0.30% 0.30% 0.30% ------------- ----------- ----------- ----------- ----------- ----------- ------------- ----------- ----------- ----------- ----------- ----------- Ratio of Net Investment Income to Average Net Assets........ 3.27%** 3.48% 3.70% 3.95% 4.40% 4.78% ------------- ----------- ----------- ----------- ----------- ----------- ------------- ----------- ----------- ----------- ----------- ----------- Portfolio Turnover Rate....... 14.82% 44.18% 29.94% 67.66% 37.28% 42.35% ------------- ----------- ----------- ----------- ----------- ----------- ------------- ----------- ----------- ----------- ----------- -----------
** Computed on an annualized basis. + Total Return includes deductions for management and other fund expenses; excludes deductions for sales loads and account fees. ++ Reflects total return for the period; not annualized. The Accompanying Notes are an Integral Part of the Financial Statements --- 85 HIGH YIELD BOND PORTFOLIO NORTHWESTERN MUTUAL SERIES FUND, INC. High Yield Bond Portfolio Financial Statements (IN THOUSANDS, EXCEPT PER SHARE AMOUNTS) STATEMENT OF ASSETS AND LIABILITIES JUNE 30, 1999 ASSETS Bonds (cost $151,453)......................................................... $ 138,972 Preferred Stock (cost $22,901)................................................ 22,503 Money Market Investments (cost $4,296)........................................ 4,296 Common Stock (cost $6,048).................................................... 3,908 ----------- 169,679 Cash.......................................................................... 4,980 Dividends and Interest Receivable............................................. 2,918 Due from Sale of Securities................................................... 691 Due from Sale of Fund Shares.................................................. 115 ----------- Total Assets................................................................ 178,383 ----------- LIABILITIES Due on Purchase of Securities................................................. 5,276 Due on Redemption of Fund Shares.............................................. 259 Due to Investment Advisor..................................................... 76 Accrued Expenses.............................................................. 23 ----------- Total Liabilities........................................................... 5,634 ----------- NET ASSETS...................................................................... $ 172,749 ----------- ----------- REPRESENTED BY: Aggregate Paid in Capital (2,000,000 shares authorized, $.01 par value; 183,750 shares outstanding).... $ 194,734 Undistributed Net Investment Income........................................... 10,012 Undistributed Accumulated Net Realized Loss on Investments.................... (16,979) Net Unrealized Depreciation of Investments.................................... (15,018) ----------- Net Assets for 183,750 Shares Outstanding..................................... $ 172,749 ----------- ----------- Net Asset Value, Offering and Redemption Price per Share...................... $ 0.94 ----------- -----------
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 1999 INVESTMENT INCOME Income Interest.................................................................... $ 9,000 Dividends................................................................... 1,591 --------- Total Income.............................................................. 10,591 --------- Expenses Management Fees............................................................. 425 Other Expenses.............................................................. 11 Custodian Fees.............................................................. 8 --------- Total Expenses............................................................ 444 --------- Less Custodian Fees: Paid by Affiliate.................................................... (7) Paid Indirectly...................................................... (1) --------- Total Net Expenses........................................................ 436 --------- Net Investment Income........................................................... 10,155 --------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net Realized Loss on Investments.............................................. (13,565) Net Change in Unrealized Appreciation of Investments for the Period........... 4,358 --------- Net Loss on Investments....................................................... (9,207) --------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............................ $ 948 --------- ---------
The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) --- 86 NORTHWESTERN MUTUAL SERIES FUND, INC. High Yield Bond Portfolio Statement of Changes in Net Assets (IN THOUSANDS)
FOR THE SIX MONTHS ENDED FOR THE JUNE 30, YEAR ENDED 1999 DECEMBER 31, (UNAUDITED) 1998 ----------- ------------ INCREASE IN NET ASSETS Operations Net Investment Income............... $ 10,155 $ 19,029 Net Realized Loss on Investments.... (13,565) (3,333) Net Change in Unrealized Appreciation (Depreciation) of Investments for the Period......... 4,358 (20,988) ----------- ------------ Net Increase (Decrease) in Net Assets Resulting from Operations........................ 948 (5,292) ----------- ------------ Distributions to Shareholders from: Net Investment Income................. (198) (18,974) Net Realized Gain on Investments...... -- -- ----------- ------------ Net Decrease in Net Assets Resulting from Distributions to Shareholders...................... (198) (18,974) ----------- ------------ Fund Share Transactions Proceeds from Sale of 7,331 and 60,216 Shares............................... 6,798 65,439 Proceeds from Shares Issued on Reinvestment of Distributions Paid (210 and 20,380 shares, respectively)........................ 198 18,974 Payments for 21,310 and 26,994 Shares Redeemed............................. (19,779) (28,403) ----------- ------------ Net Increase (Decrease) in Net Assets Resulting from Fund Share Transactions ((13,769) and 53,602 shares, respectively)............. (12,783) 56,010 ----------- ------------ Total Increase (Decrease) in Net Assets............................... (12,033) 31,744 NET ASSETS Beginning of Period................... 184,782 153,038 ----------- ------------ End of Period (includes undistributed net investment income of $10,012 and $55, respectively)................... $ 172,749 $ 184,782 ----------- ------------ ----------- ------------
The Accompanying Notes are an Integral Part of the Financial Statements --- 87 NORTHWESTERN MUTUAL SERIES FUND, INC. High Yield Bond Portfolio Financial Highlights (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
FOR THE FOR THE SIX MONTHS PERIOD MAY ENDED 3, 1994* JUNE 30, FOR THE YEAR ENDED DECEMBER 31, THROUGH 1999 ----------------------------------------------------- DECEMBER (UNAUDITED) 1998 1997 1996 1995 31, 1994 ----------- ----------- ----------- ----------- ----------- ----------- SELECTED PER SHARE DATA Net Asset Value, Beginning of Period............................... $ 0.94 $ 1.06 $ 1.10 $ 1.03 $ 0.97 $ 1.00 Income from Investment Operations: Net Investment Income............. 0.05 0.10 0.11 0.09 0.10 0.06 Net Realized and Unrealized Gains(Losses) on Investments..... (0.05) (0.12) 0.06 0.10 0.07 (0.03) ----------- ----------- ----------- ----------- ----------- ----------- Total from Investment Operations..................... (0.00) (0.02) 0.17 0.19 0.17 0.03 ----------- ----------- ----------- ----------- ----------- ----------- Less Distributions: Distributions from Net Investment Income........................... -- (0.10) (0.14) (0.09) (0.10) (0.06) Distributions from Realized Gains on Investments................... -- -- (0.07) (0.03) (0.01) -- ----------- ----------- ----------- ----------- ----------- ----------- Total Distributions............. 0.00 (0.10) (0.21) (0.12) (0.11) (0.06) ----------- ----------- ----------- ----------- ----------- ----------- Net Asset Value, End of Period.......... $ 0.94 $ 0.94 $ 1.06 $ 1.10 $ 1.03 $ 0.97 ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- Total Return+........................... 0.54%++ (1.84%) 15.85% 19.77% 16.78% 3.02%++ ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- RATIOS AND SUPPLEMENTAL DATA Net Assets, End of Period (in thousands)............................. $ 172,749 $ 184,782 $ 153,038 $ 93,878 $ 55,974 $ 35,537 ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- Ratio of Expenses to Average Net Assets................................. 0.49%** 0.50% 0.55% 0.60% 0.65% 0.73%** ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- Ratio of Net Investment Income to Average Net Assets..................... 11.47%** 10.85% 9.95% 9.54% 9.90% 9.40%** ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- Portfolio Turnover Rate................. 72.12% 153.71% 129.49% 143.91% 116.57% 119.48% ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
* Commencement of Operations. ** Computed on an annualized basis. + Total Return includes deductions for management and other fund expenses; excludes deductions for sales loads and account fees. ++ Reflects total return for the period; not annualized. The Accompanying Notes are an Integral Part of the Financial Statements --- 88 SELECT BOND PORTFOLIO NORTHWESTERN MUTUAL SERIES FUND, INC. Select Bond Portfolio Financial Statements (IN THOUSANDS, EXCEPT PER SHARE AMOUNTS) STATEMENT OF ASSETS AND LIABILITIES JUNE 30, 1999 ASSETS Bonds (cost $288,650)......................................................... $ 278,622 Other Investments (cost $14,377).............................................. 14,375 ----------- 292,997 Cash.......................................................................... 93 Due from Sale of Securities................................................... 3,388 Interest Receivable........................................................... 2,710 Due from Sale of Fund Shares.................................................. 343 ----------- Total Assets................................................................ 299,531 ----------- LIABILITIES Due on Purchase of Securities................................................. 3,489 Due on Redemption of Fund Shares.............................................. 512 Due to Investment Advisor..................................................... 79 Due to Futures Variation Margin............................................... 6 ----------- Total Liabilities........................................................... 4,086 ----------- NET ASSETS...................................................................... $ 295,445 ----------- ----------- REPRESENTED BY: Aggregate Paid in Capital (1,000,000 shares authorized, $.01 par value; 259,642 shares outstanding).................................................. $ 300,222 Undistributed Net Investment Income........................................... 9,144 Undistributed Accumulated Net Realized Loss on Investments.................... (3,930) Net Unrealized Appreciation (Depreciation) of: Investments Securities...................................................... (10,030) Futures Contracts........................................................... 39 ----------- Net Assets for 259,642 Shares Outstanding..................................... $ 295,445 ----------- ----------- Net Asset Value, Offering and Redemption Price per Share...................... $ 1.14 ----------- -----------
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 1999 INVESTMENT INCOME Income Interest.................................................................... $ 9,946 --------- Expenses Management Fees............................................................. 440 --------- Net Investment Income......................................................... 9,506 --------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net Realized Gain/(Loss) on Investments: Investment Securities....................................................... 136 Foreign Currency Transactions............................................... (14) Futures Contracts........................................................... 627 --------- Net Realized Gain on Investments for the Period........................... 749 --------- Net Change in Unrealized Appreciation (Depreciation) of: Investment Securities....................................................... (11,520) Foreign Currency Transactions............................................... (7) Futures Contracts........................................................... 42 --------- Net Change in Unrealized Depreciation for the Period...................... (11,485) --------- Net Loss on Investments....................................................... (10,736) --------- NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS............................ $ (1,230) --------- ---------
The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) --- 89 NORTHWESTERN MUTUAL SERIES FUND, INC. Select Bond Portfolio Statement Of Changes In Net Assets (IN THOUSANDS)
FOR THE SIX MONTHS ENDED FOR THE JUNE 30 YEAR ENDED 1999 DECEMBER 31, (UNAUDITED) 1998 ----------- ------------ INCREASE IN NET ASSETS Operations Net Investment Income............... $ 9,506 $ 18,143 Net Realized Gain on Investments.... 749 2,546 Net Change in Unrealized Depreciation of Investments for the Period............................. (11,485) (2,027) ----------- ------------ Net Increase (Decrease) in Net Assets Resulting from Operations........................ (1,230) 18,662 ----------- ------------ Distributions to Shareholders from: Net Investment Income............... (17,828) (15,746) Net Realized Gain on Investments.... (7,228) (2,700) ----------- ------------ Net Decrease in Net Assets Resulting from Distributions to Shareholders...................... (25,056) (18,446) ----------- ------------ Fund Share Transactions Proceeds from Sale of 15,500 and 45,867 Shares...................... 18,621 56,278 Proceeds from Shares Issued on Reinvestment of Distributions Paid (22,018 and 15,606 shares, respectively)...................... 25,056 18,446 Payments for 16,472 and 17,649 Shares Redeemed.................... (19,980) (21,741) ----------- ------------ Net Increase in Net Assets Resulting from Fund Share Transactions (21,046 and 43,824 shares, respectively)...................... 23,697 52,983 ----------- ------------ Total Increase (Decrease) in Net Assets............................... (2,589) 53,199 NET ASSETS Beginning of Period................... 298,034 244,835 ----------- ------------ End of Period (includes undistributed net investment income of $9,144 and $18,064 respectively)..... $ 295,445 $ 298,034 ----------- ------------ ----------- ------------
The Accompanying Notes are an Integral Part of the Financial Statements --- 90 NORTHWESTERN MUTUAL SERIES FUND, INC. Select Bond Portfolio Financial Highlights (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
FOR THE SIX MONTHS ENDED JUNE 30, FOR THE YEAR ENDED DECEMBER 31, 1999 ----------------------------------------------------------- (UNAUDITED) 1998 1997 1996 1995 1994 ----------- ----------- --------- --------- --------- --------- SELECTED PER SHARE DATA Net Asset Value, Beginning of Period....... $ 1.25 $ 1.26 $ 1.22 $ 1.23 $ 1.06 $ 1.15 Income from Investment Operations: Net Investment Income.................. 0.03 0.08 0.08 0.07 0.07 0.06 Net Realized and Unrealized Gain (Loss) on Investments........................ (0.04) 0.00 0.04 (0.04) 0.13 (0.09) ----------- ----------- --------- --------- --------- --------- Total from Investment Operations..... (0.01) 0.08 0.12 0.03 0.20 (0.03) ----------- ----------- --------- --------- --------- --------- Less Distributions: Dividends from Net Investment Income... (0.07) (0.08) (0.08) (0.04) (0.03) (0.06) Distributions from Realized Gains on Investments........................... (0.03) (0.01) -- -- -- -- ----------- ----------- --------- --------- --------- --------- Total Distributions.................. (0.10) (0.09) (0.08) (0.04) (0.03) (0.06) ----------- ----------- --------- --------- --------- --------- Net Asset Value, End of Period............... $ 1.14 $ 1.25 $ 1.26 $ 1.22 $ 1.23 $ 1.06 ----------- ----------- --------- --------- --------- --------- ----------- ----------- --------- --------- --------- --------- Total Return+................................ (0.41%)++ 7.07% 9.46% 3.31% 19.10% (2.28%) ----------- ----------- --------- --------- --------- --------- ----------- ----------- --------- --------- --------- --------- RATIOS AND SUPPLEMENTAL DATA Net Assets, End of Period (in thousands)..... $ 295,445 $ 298,034 $244,835 $214,333 $198,142 $158,508 ----------- ----------- --------- --------- --------- --------- ----------- ----------- --------- --------- --------- --------- 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...................................... 6.41%** 6.87% 7.03% 6.48% 6.61% 7.02% ----------- ----------- --------- --------- --------- --------- ----------- ----------- --------- --------- --------- --------- Portfolio Turnover Rate...................... 46.84% 161.79% 184.93% 195.98% 69.06% 108.00% ----------- ----------- --------- --------- --------- --------- ----------- ----------- --------- --------- --------- ---------
** Computed on an annualized basis. + Total Return includes deductions for management and other fund expenses; excludes deductions for sales loads and account fees. ++ Reflects total return for the period; not annualized. The Accompanying Notes are an Integral Part of the Financial Statements --- 91 MONEY MARKET PORTFOLIO NORTHWESTERN MUTUAL SERIES FUND, INC. Money Market Portfolio Financial Statements of (IN THOUSANDS, EXCEPT PER SHARE AMOUNTS) STATEMENT OF ASSETS AND LIABILITIES JUNE 30, 1999 ASSETS Money Market Investments (cost $331,950)...................................... $ 331,950 Cash.......................................................................... 104 Interest Receivable........................................................... 1,005 Due from Sale of Fund Shares.................................................. 237 ----------- Total Assets................................................................ 333,296 ----------- LIABILITIES Due on Redemption of Fund Shares.............................................. 1,037 Due to Investment Advisor..................................................... 90 ----------- Total Liabilities........................................................... 1,127 ----------- NET ASSETS...................................................................... $ 332,169 ----------- ----------- REPRESENTED BY: Aggregate Paid in Capital (1,000,000 shares authorized, $.01 par value; 332,181 shares outstanding).... $ 332,169 ----------- Net Assets for 332,181 Shares Outstanding..................................... $ 332,169 ----------- ----------- Net Asset Value, Offering and Redemption Price per Share...................... $ 1.00 ----------- -----------
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 1999 INVESTMENT INCOME Income Interest.................................................................... $ 7,718 --------- Expenses Management Fees............................................................. 462 --------- Net Investment Income....................................................... 7,256 --------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS.......................... $ 7,256 --------- ---------
The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) -- 92 NORTHWESTERN MUTUAL SERIES FUND, INC. Money Market Portfolio Statement of Changes in Net Assets (IN THOUSANDS)
FOR THE SIX MONTHS ENDED JUNE FOR THE 30, YEAR ENDED 1999 DECEMBER 31, (UNAUDITED) 1998 ----------- ------------ INCREASE IN NET ASSETS Operations Net Investment Income............... $ 7,256 $ 12,077 ----------- ------------ Net Increase in Net Assets Resulting from Operations......... 7,256 12,077 ----------- ------------ Distributions to Shareholders from: Net Investment Income............... (7,256) (12,077) ----------- ------------ Net Decrease in Net Assets Resulting from Distributions to Shareholders...................... (7,256) (12,077) ----------- ------------ Fund Share Transactions Proceeds from Sale of 117,832 and 222,296 Shares..................... 117,832 222,308 Proceeds from Shares Issued on Reinvestment of Distributions Paid (7,256 and 12,077 shares, respectively)...................... 7,256 12,077 Payments for 84,383 and 137,391 Shares Redeemed.................... (84,383) (137,391) ----------- ------------ Net Increase in Net Assets Resulting from Fund Share Transactions (40,705 and 96,982) shares, respectively)...................... 40,705 96,994 ----------- ------------ Total Increase in Net Assets.......... 40,705 96,994 NET ASSETS Beginning of Period................... 291,464 194,470 ----------- ------------ End of Period (includes no undistributed net investment income).............................. $ 332,169 $ 291,464 ----------- ------------ ----------- ------------
The accompanying Notes are an Integral Part of the Financial Statements -- 93 NORTHWESTERN MUTUAL SERIES FUND, INC. Money Market Portfolio Financial Highlights (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
FOR THE SIX MONTHS ENDED FOR THE YEAR JUNE 30, ENDED DECEMBER 31, 1999 ------------------------------------------------------------------- (UNAUDITED) 1998 1997 1996 1995 1994 ----------- ----------- ----------- ----------- ----------- ----------- SELECTED PER SHARE DATA Net Asset Value, Beginning of Period............................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 Net Investment Income............... 0.02 0.05 0.05 0.05 0.06 0.05 Less Distributions from Net Investment Income.................. (0.02) (0.05) (0.05) (0.05) (0.06) (0.05) ----------- ----------- ----------- ----------- ----------- ----------- Net Asset Value, End of Period.......... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- Total Return+........................... 2.36%++ 5.43% 5.47% 5.29% 5.82% 4.03% ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- RATIOS AND SUPPLEMENTAL DATA Net Assets, End of Period (in thousands)............................. $ 332,169 $ 291,464 $ 194,470 $ 176,298 $ 132,572 $ 104,217 ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- 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..................... 4.67%** 5.26% 5.33% 5.13% 5.61% 4.64% ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
** Computed on an annualized basis. + Total Return includes deductions for management and other fund expenses; excludes deductions for sales loads and account fees. ++ Reflects total return for the period; not annualized. The accompanying Notes are an Integral Part of the Financial Statements -- 94 NOTES TO FINANCIAL STATEMENTS NORTHWESTERN MUTUAL SERIES FUND, INC. Notes to Financial Statements JUNE 30, 1999 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, International Equity Portfolio, Index 400 Stock Portfolio, Growth Stock Portfolio, Growth and Income Stock Portfolio, Index 500 Stock Portfolio, Balanced Portfolio, High Yield Bond Portfolio, Select Bond Portfolio and the Money Market Portfolio (the "Portfolios"). Shares are presently offered only to The Northwestern Mutual Life Insurance Company ("Northwestern Mutual") and its segregated asset accounts. On April 30, 1999, two new portfolios commenced operations in the Series Fund: Small Cap Growth Stock Portfolio and Index 400 Stock Portfolio. These two new portfolios were each organized with 2,000,000,000 authorized shares of Common Stock. Par value is $.01 per share. Northwestern Mutual purchased 25,010,000 shares at $1.00 per share of the Index 400 Stock Portfolio and 5,010,000 shares at $1.00 per share of the Small Cap Growth Stock Portfolio. NOTE 2 -- The preparation of the financial statements in conformity with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. Principal accounting policies are summarized below. NOTE 3 -- Bonds are valued on the basis of prices furnished by a service which determines prices for normal institutional size trading units of bonds, without regard to exchange or over-the-counter prices. When quotations are not readily available, bonds are valued at fair market value determined by procedures approved by the Board of Directors. Stocks listed on a national or foreign stock exchange are valued at the final sale price, or final bid price in absence of a sale. Stocks not listed on a national or foreign stock exchange are valued at the closing bid price on the over-the-counter market. Money market investments, other than in the Money Market Portfolio, with maturities exceeding sixty days but generally not exceeding one year are valued by marking to market on the basis of an average of the most recent bid prices or yields. Money market investments with maturities of sixty days or less and all securities in the Money Market Portfolio are valued on an amortized cost basis or, if the current market value differs substantially from the amortized cost, by marking to market. NOTE 4 -- Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts on the date of valuation. Purchases and sales of securities and income items denominated in foreign currencies are translated in U.S. dollar amounts on the respective dates of such transactions. When the International Equity Portfolio, Balanced Portfolio and Select Bond Portfolio purchases or sells a foreign security they may enter into a foreign exchange currency contract to minimize market risk from the trade date to the settlement date of such transaction. Such foreign exchange currency contracts are marked to market daily. The Portfolios may enter into forward foreign currency contracts to hedge against exchange rate risk arising from investments in securities denominated in foreign currencies. Contracts are valued at the contractual forward rate and are marked to market daily, with the change in market value recorded as an unrealized gain or loss. When the contracts are closed, a realized gain or loss is incurred. Risks may arise from changes in market value of the underlying instruments and from the possible inability of counter parties to meet the terms of their contracts. The International Equity Portfolio, Balanced Portfolio and Select Bond Portfolio do not separately report the results of operations due to changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized gain or loss from investments. Net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade date and the settlement date on security transactions, the differences between the amounts of dividends and foreign withholding taxes recorded on the portfolio's books, and the U.S. dollar equivalent of the amounts actually received or paid. NOTE 5 -- The 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 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 issuers is available. Where applicable, dividends are recorded net of foreign dividend tax. Discounts and premiums on securities purchased are amortized over the life of the respective securities when required for federal income tax purposes using the effective interest method. Securities -- 95 NORTHWESTERN MUTUAL SERIES FUND, INC. Notes to Financial Statements JUNE 30, 1999 transactions are accounted for on trade date. The basis for determining cost on sale of securities is identified cost. For the six months ended June 30, 1999, transactions in securities other than money market investments were:
U.S. GOVT U.S. GOVT TOTAL SECURITY SECURITY TOTAL SECURITY SECURITY SALES/ SALES/ PORTFOLIOS PURCHASES PURCHASES MATURITIES MATURITIES - ------------------------------------------------------------- -------------- -------------- -------------- -------------- Small Cap Growth Stock....................................... $ 11,181,044 $ -- $ 1,423,471 $ -- Aggressive Growth Stock...................................... 319,371,763 -- 362,391,004 -- International Equity......................................... 696,768,620 -- 708,571,439 -- Index 400 Stock.............................................. 28,970,314 -- 1,024,127 -- Growth Stock................................................. 106,999,368 -- 47,594,962 -- Growth and Income Stock...................................... 403,837,101 -- 350,986,145 -- Index 500 Stock.............................................. 210,792,469 -- 35,571,578 -- Balanced..................................................... 556,267,227 432,532,541 421,376,829 242,780,708 High Yield Bond.............................................. 121,089,146 -- 127,787,309 -- Select Bond.................................................. 147,670,853 102,054,168 130,507,342 52,363,329
NOTE 7 -- The Series Fund and its Portfolios are parties to annually renewable contracts pursuant to which each Portfolio pays a charge for investment management and administrative services. Each Portfolio pays a monthly fee for these investment advisory services at an annual rate based on the average daily net asset values of each Portfolio. For the Index 500 Stock Portfolio the rate is .20%, 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 $50 NEXT $50 PORTFOLIOS MILLION MILLION EXCESS - --------------------------------- ----------- ----------- ----------- Small Cap Growth Stock........... .80% .65% .50% Aggressive Growth Stock.......... .80% .65% .50% International Equity............. .85% .65% .65% Growth Stock..................... .60% .50% .40% Growth and Income Stock.......... .70% .60% .55% High Yield Bond.................. .60% .50% .40%
These amounts are paid to Northwestern Mutual Investment Services, Inc. ("NMIS") a wholly-owned subsidiary of Northwestern Mutual, which is the manager and investment adviser of the Fund. Northwestern Mutual is also a party to the agreement. Other costs for each Portfolio are paid either by the Portfolios, Northwestern Mutual, or NMIS depending upon the applicable agreement in place. Certain Portfolios pay a portion of their custodian fees indirectly through expense offset arrangements. Custodian fees are reduced for Portfolios that maintain compensating balances in non-interest bearing accounts. The Portfolios could have invested the assets used to pay for the custodian fees, had the assets not been used in the expense offset arrangements. As of June 30, 1999, the amounts paid through expense offset arrangements are $1,250 in the Small Cap Growth Stock Portfolio, $2,168 in the Aggressive Growth Stock Portfolio, $750 in the Index 400 Stock Portfolio, $2,691 in the Growth Stock Portfolio, $1,251 in the Growth and Income Stock Portfolio, $2,940 in the Index 500 Stock Portfolio and $663 in the High Yield Bond Portfolio. J. P. Morgan Investment Management, Inc. ("J. P. Morgan") and Templeton Investment Counsel, Inc. ("Templeton Counsel") have been retained under an investment sub-advisory agreement to provide investment advice and, in general, to conduct the management investment program of the Growth and Income Stock Portfolio and the International Equity Portfolio, respectively. NMIS pays J. P. Morgan .45% on the first $100 million of the combined net assets for all funds managed for Northwestern Mutual by J. P. Morgan, .40% on the next $100 million, .35% on the next $200 million and .30% in excess of $400 million. NMIS pays Templeton Counsel .50% on the first $100 million of the combined net assets for all funds managed for Northwestern Mutual by Templeton Counsel and .40% in excess of $100 million. The Growth and Income Stock Portfolio paid commissions on Fund transactions to an affiliated broker in the amount of $714 during the six months ended June 30, 1999. NOTE 8 -- The Series Fund has elected to be taxed as a regulated investment company meeting certain requirements under the Internal Revenue Code. Since it expects to distribute all net investment income and net realized capital gains, the Series Fund anticipates incurring no federal income taxes. Taxable distributions from net investment income and realized capital gains in the Portfolios differ from book amounts earned during the period due to differences in the timing of capital recognition and due to the reclassification of certain gains or losses from capital to income. The differences between cost amounts for book purposes and tax purposes are 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. -- 96 NORTHWESTERN MUTUAL SERIES FUND, INC. Notes to Financial Statements JUNE 30, 1999 For Federal income tax purposes, the High Yield Bond Portfolio has a net realized capital loss of $2,519,798 which will be carried forward to offset future net realized capital gains. The amount expires in 2006. For Federal income tax purposes, net unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gains (losses). NOTE 9 -- Dividends from net investment income and net realized capital gains are declared each year for the Small Cap Growth Stock, Aggressive Growth Stock, International Equity, Index 400 Stock, Growth Stock, Growth and Income Stock, Index 500 Stock, Balanced, High Yield Bond and Select Bond Portfolios and each business day for the Money Market Portfolio. NOTE 10 -- NML voluntarily reimburses the International Equity Portfolio for the benefit NML receives from foreign dividend taxes charged against the Portfolio. The amount reimbursed represents approximately 65% of the foreign dividend tax withheld from the Portfolio. Reimbursements are recorded when foreign dividend taxes are accrued. This voluntary reimbursement for the six months ended June 30, 1999 and the year ended December 31, 1998 was $724,648 and $1,235,277, respectively. -- 97 VARIABLE LIFE FINANCIAL STATEMENTS NORTHWESTERN MUTUAL VARIABLE LIFE ACCOUNT Financial Statements JUNE 30, 1999 STATEMENT OF ASSETS AND LIABILITIES (IN THOUSANDS) ASSETS Invesments at Market Value: Northwestern Mutual Series Fund, Inc. Small Cap Growth Stock 2 shares (cost $2)......................... $ 2 Aggressive Growth Stock 39,011 shares (cost $119,280).............. 143,443 International Equity 61,024 shares (cost $97,271)............... 98,859 Index 400 Stock 0 shares (cost $0)......................... -- Growth Stock 38,876 shares (cost $72,073)............... 95,168 Growth and Income Stock 57,448 shares (cost $82,928)............... 92,205 Index 500 Stock 72,881 shares (cost $178,292).............. 263,173 Balanced 83,288 shares (cost $135,310).............. 177,654 High Yield Bond 17,706 shares (cost $18,701)............... 16,644 Select Bond 12,580 shares (cost $15,175)............... 14,317 Money Market 49,763 shares (cost $49,591)............... 49,764 Russell Insurance Funds Multi-Style Equity 4 shares (cost $70)........................ 70 Aggressive Equity 2 shares (cost $19)........................ 19 Non-U.S. 0 shares (cost $1)......................... 1 Real Estate Securities 0 shares (cost $5)......................... 5 Core Bond 0 shares (cost $1)......................... 1 $ 951,325 --------- Due from Sale of Fund Shares.................................. 843 Due from Northwestern Mutual Life Insurance Company........... 674 --------- Total Assets.................................................. $ 952,842 --------- --------- LIABILITIES Due to Northwestern Mutual Life Insurance Company........... $ 843 Due on Purchase of Fund Shares.............................. 674 --------- Total Liabilities....................................... 1,517 --------- EQUITY (NOTE 8) Variable Life Policies Issued Before October 11, 1995....... 435,942 Variable Complife Policies Issued On or After October 11, 1995....................................................... 507,755 Variable Executive Life Policies Issued On or After March 2, 1998....................................................... 5,206 Variable Joint Life Policies Issued On or After December 10, 1998....................................................... 2,422 --------- Total Equity............................................ 951,325 --------- Total Liabilities and Equity............................ $ 952,842 --------- ---------
The Accompanying Notes are an Integral Part of the Financial Statements (Prepared from Unaudited Figures) -- 98 VARIABLE LIFE FINANCIAL STATEMENTS NORTHWESTERN MUTUAL VARIABLE LIFE ACCOUNT Statement of Operations and Changes in Equity (IN THOUSANDS)
SMALL CAP GROWTH AGGRESSIVE GROWTH COMBINED STOCK STOCK DIVISION ---------------------------------- DIVISION # ---------------------------------- SIX MONTHS ---------- SIX MONTHS ENDED YEAR ENDED AS OF ENDED YEAR ENDED JUNE 30, DECEMBER 31, JUNE 30, JUNE 30, DECEMBER 31, 1999 1998 1999 1999 1998 --------------- --------------- ---------- --------------- --------------- INVESTMENT INCOME Dividend Income............... $ 54,702 $ 24,922 $ -- $ 4,627 $ 3,287 Mortality and Expense Risks... 1,720 2,755 -- 253 424 Taxes......................... 737 1,178 -- 109 181 --------------- --------------- ----- --------------- --------------- Net Investment Income (Loss)...................... 52,245 20,989 -- 4,265 2,682 --------------- --------------- ----- --------------- --------------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Realized Gain (Loss) on Investments............... 3,990 4,332 -- 1,158 523 Unrealized Appreciation (Depreciation) of Investments During the Period......... 19,976 68,780 -- 7,338 4,928 --------------- --------------- ----- --------------- --------------- Net Gain (Loss) on Investments............... 23,966 73,112 -- 8,496 5,451 --------------- --------------- ----- --------------- --------------- Increase (Decrease) in Equity Derived from Investment Activity.................... 76,211 94,101 -- 12,761 8,133 --------------- --------------- ----- --------------- --------------- EQUITY TRANSACTIONS Policyowners' Net Payments.................. 180,464 258,672 -- 17,347 30,145 Policy Loans, Surrenders, and Death Benefits........ (27,176) (37,427) -- (4,590) (6,454) Mortality and Other (net)... (28,109) (39,611) -- (3,260) (5,193) Transfers from Other Divisions................. 105,950 133,775 2 11,383 20,371 Transfers to Other Divisions................. (105,950) (133,773) -- (9,552) (6,419) --------------- --------------- ----- --------------- --------------- Increase in Equity Derived from Equity Transactions................ 125,179 181,636 2 11,328 32,450 --------------- --------------- ----- --------------- --------------- Net Increase in Equity........ 201,390 275,737 2 24,089 40,583 EQUITY Beginning of Period......... 749,935 474,198 -- 119,230 78,647 --------------- --------------- ----- --------------- --------------- End of Period............... $ 951,325 $ 749,935 $ 2 $ 143,319 $ 119,230 --------------- --------------- ----- --------------- --------------- --------------- --------------- ----- --------------- --------------- INTERNATIONAL EQUITY DIVISION -------------------------------- SIX MONTHS ENDED YEAR ENDED JUNE 30, DECEMBER 31, 1999 1998 -------------- -------------- INVESTMENT INCOME Dividend Income............... $ 13,164 $ 3,591 Mortality and Expense Risks... 181 308 Taxes......................... 77 132 -------------- -------------- Net Investment Income (Loss)...................... 12,906 3,151 -------------- -------------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Realized Gain (Loss) on Investments............... 362 284 Unrealized Appreciation (Depreciation) of Investments During the Period......... (3,665) (1,424) -------------- -------------- Net Gain (Loss) on Investments............... (3,303) (1,140) -------------- -------------- Increase (Decrease) in Equity Derived from Investment Activity.................... 9,603 2,011 -------------- -------------- EQUITY TRANSACTIONS Policyowners' Net Payments.................. 12,499 20,672 Policy Loans, Surrenders, and Death Benefits........ (2,808) (4,327) Mortality and Other (net)... (2,349) (3,785) Transfers from Other Divisions................. 8,617 15,743 Transfers to Other Divisions................. (5,052) (5,013) -------------- -------------- Increase in Equity Derived from Equity Transactions................ 10,907 23,290 -------------- -------------- Net Increase in Equity........ 20,510 25,301 EQUITY Beginning of Period......... 78,417 53,116 -------------- -------------- End of Period............... $ 98,927 $ 78,417 -------------- -------------- -------------- --------------
# The initial investments in the Small Cap Growth Stock and the Index 400 Stock Divisions were made on June 30, 1999. The Accompanying Notes are an Integral Part of the Financial Statements 99 -- NORTHWESTERN MUTUAL VARIABLE LIFE ACCOUNT Statement of Operations and Changes in Equity (IN THOUSANDS)
INDEX 400 GROWTH & INCOME STOCK GROWTH STOCK DIVISION STOCK DIVISION DIVISION # -------------------------------- -------------------------------- ----------- SIX MONTHS SIX MONTHS AS OF ENDED YEAR ENDED ENDED YEAR ENDED JUNE 30, JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31, 1999 1999 1998 1999 1998 ----------- -------------- -------------- -------------- -------------- INVESTMENT INCOME Dividend Income............... $ -- $ 2,344 $ 956 $ 9,123 $ 537 Mortality and Expense Risks... -- 165 211 166 234 Taxes......................... -- 70 91 71 100 ----------- -------------- -------------- -------------- -------------- Net Investment Income (Loss)...................... -- 2,109 654 8,886 203 ----------- -------------- -------------- -------------- -------------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Realized Gain (Loss) on Investments............... -- 443 143 303 220 Unrealized Appreciation (Depreciation) of Investments During the Period......... -- 6,337 10,533 (1,170) 10,574 ----------- -------------- -------------- -------------- -------------- Net Gain (Loss) on Investments............... -- 6,780 10,676 (867) 10,794 ----------- -------------- -------------- -------------- -------------- Increase (Decrease) in Equity Derived from Investment Activity....... -- 8,889 11,330 8,019 10,997 ----------- -------------- -------------- -------------- -------------- EQUITY TRANSACTIONS Policyowners' Net Payments.................. -- 10,075 12,991 11,036 14,771 Policy Loans, Surrenders, and Death Benefits........ -- (2,472) (2,859) (2,977) (2,902) Mortality and Other (net)... -- (2,052) (2,494) (2,138) (2,847) Transfers from Other Divisions................. -- 16,978 16,839 11,227 17,225 Transfers to Other Divisions................. -- (2,279) (2,015) (3,495) (3,106) ----------- -------------- -------------- -------------- -------------- Increase in Equity Derived from Equity Transactions................ -- 20,250 22,462 13,653 23,141 ----------- -------------- -------------- -------------- -------------- Net Increase in Equity........ -- 29,139 33,792 21,672 34,138 EQUITY Beginning of Period......... -- 66,025 32,233 70,527 36,389 ----------- -------------- -------------- -------------- -------------- End of Period............... $ -- $ 95,164 $ 66,025 $ 92,199 $ 70,527 ----------- -------------- -------------- -------------- -------------- ----------- -------------- -------------- -------------- -------------- INDEX 500 STOCK DIVISION ---------------------------------- SIX MONTHS ENDED YEAR ENDED JUNE 30, DECEMBER 31, 1999 1998 --------------- --------------- INVESTMENT INCOME Dividend Income............... $ 5,542 $ 4,530 Mortality and Expense Risks... 464 671 Taxes......................... 199 287 --------------- --------------- Net Investment Income (Loss)...................... 4,879 3,572 --------------- --------------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Realized Gain (Loss) on Investments............... 937 1,125 Unrealized Appreciation (Depreciation) of Investments During the Period......... 19,801 31,738 --------------- --------------- Net Gain (Loss) on Investments............... 20,738 32,863 --------------- --------------- Increase (Decrease) in Equity Derived from Investment Activity....... 25,617 36,435 --------------- --------------- EQUITY TRANSACTIONS Policyowners' Net Payments.................. 25,444 29,665 Policy Loans, Surrenders, and Death Benefits........ (7,497) (8,924) Mortality and Other (net)... (4,920) (5,367) Transfers from Other Divisions................. 38,147 37,076 Transfers to Other Divisions................. (4,600) (5,443) --------------- --------------- Increase in Equity Derived from Equity Transactions................ 46,574 47,007 --------------- --------------- Net Increase in Equity........ 72,191 83,442 EQUITY Beginning of Period......... 191,141 107,699 --------------- --------------- End of Period............... $ 263,332 $ 191,141 --------------- --------------- --------------- ---------------
# The initial investments in the Small Cap Growth Stock and the Index 400 Stock Divisions were made on June 30, 1999. The Accompanying Notes are an Integral Part of the Financial Statements 100 -- NORTHWESTERN MUTUAL VARIABLE LIFE ACCOUNT Statement of Operations and Changes in Equity (IN THOUSANDS)
SELECT BOND BALANCED DIVISION HIGH YIELD BOND DIVISION DIVISION ---------------------------------- -------------------------------- -------------- SIX MONTHS SIX MONTHS SIX MONTHS ENDED YEAR ENDED ENDED YEAR ENDED ENDED JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30, 1999 1998 1999 1998 1999 --------------- --------------- -------------- -------------- -------------- $ 17,659 $ 8,344 $ 18 $ 1,489 $ 1,211 340 681 32 53 29 146 292 14 22 12 --------------- --------------- -------------- -------------- -------------- 17,173 7,371 (28) 1,414 1,170 --------------- --------------- -------------- -------------- -------------- 844 1,893 (140) 47 83 (7,549) 14,317 231 (1,828) (1,347) --------------- --------------- -------------- -------------- -------------- (6,705) 16,210 91 (1,781) (1,264) --------------- --------------- -------------- -------------- -------------- 10,468 23,581 63 (367) (94) --------------- --------------- -------------- -------------- -------------- 9,724 17,811 2,632 3,490 1,546 (4,648) (8,879) (462) (690) (536) (2,206) (3,232) (445) (641) (268) 9,885 7,905 2,166 5,399 2,398 (3,631) (5,398) (1,805) (1,476) (1,434) --------------- --------------- -------------- -------------- -------------- 9,124 8,207 2,086 6,082 1,706 --------------- --------------- -------------- -------------- -------------- 19,592 31,788 2,149 5,715 1,612 158,110 126,322 14,516 8,801 12,669 --------------- --------------- -------------- -------------- -------------- $ 177,702 $ 158,110 $ 16,665 $ 14,516 $ 14,281 --------------- --------------- -------------- -------------- -------------- --------------- --------------- -------------- -------------- -------------- MONEY MARKET DIVISION --------------------------------- SIX MONTHS YEAR ENDED ENDED YEAR ENDED DECEMBER 31, JUNE 30, DECEMBER 31, 1998 1999 1998 -------------- -------------- --------------- $ 743 $ 1,014 $ 1,445 51 90 122 22 39 51 -------------- -------------- --------------- 670 885 1,272 -------------- -------------- --------------- 97 -- -- (58) -- -- -------------- -------------- --------------- 39 -- -- -------------- -------------- --------------- 709 885 1,272 -------------- -------------- --------------- 2,004 90,065 127,123 (620) (1,186) (1,772) (250) (10,471) (15,802) 3,951 5,147 9,266 (2,217) (74,102) (102,686) -------------- -------------- --------------- 2,868 9,453 16,129 -------------- -------------- --------------- 3,577 10,338 17,401 9,092 39,300 21,899 -------------- -------------- --------------- $ 12,669 $ 49,638 $ 39,300 -------------- -------------- --------------- -------------- -------------- ---------------
The Accompanying Notes are an Integral Part of the Financial Statements 101 -- NORTHWESTERN MUTUAL VARIABLE LIFE ACCOUNT Statement of Operations and Changes in Equity (IN THOUSANDS)
RUSSELL RUSSELL RUSSELL REAL MULTI-STYLE AGGRESSIVE RUSSELL ESTATE RUSSELL EQUITY EQUITY NON-U.S. SECURITIES CORE BOND DIVISION # DIVISION # DIVISION # DIVISION # DIVISION # ----------- ---------- ---------- ---------- ----------- AS OF AS OF AS OF AS OF AS OF JUNE 30, JUNE 30, JUNE 30, JUNE 30, JUNE 30, 1999 1999 1999 1999 1999 ----------- ---------- ---------- ---------- ----------- INVESTMENT INCOME Dividend Income............... $ -- $ -- $ -- $ -- $ -- Mortality and Expense Risks... -- -- -- -- -- Taxes......................... -- -- -- -- -- ----- ----- --- --- --- Net Investment Income (Loss)...................... -- -- -- -- -- ----- ----- --- --- --- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Realized Gain (Loss) on Investments............... -- -- -- -- -- Unrealized Appreciation (Depreciation) of Investments During the Period......... -- -- -- -- -- ----- ----- --- --- --- Net Gain (Loss) on Investments............... -- -- -- -- -- ----- ----- --- --- --- Increase (Decrease) in Equity Derived from Investment Activity....... -- -- -- -- -- ----- ----- --- --- --- EQUITY TRANSACTIONS Policyowners' Net Payments.................. 70 19 1 5 1 Policy Loans, Surrenders, and Death Benefits........ -- -- -- -- -- Mortality and Other (net)... -- -- -- -- -- Transfers from Other Divisions................. -- -- -- -- -- Transfers to Other Divisions................. -- -- -- -- -- ----- ----- --- --- --- Increase in Equity Derived from Equity Transactions................ 70 19 1 5 1 ----- ----- --- --- --- Net Increase in Equity........ 70 19 1 5 1 EQUITY Beginning of Period......... -- -- -- -- -- ----- ----- --- --- --- End of Period............... $ 70 $ 19 $ 1 $ 5 $ 1 ----- ----- --- --- --- ----- ----- --- --- ---
# The initial investments in the Russell Multi-Style, Aggressive, Non-U.S., Real Estate Securities, and Core Bond Divisions were made on June 30, 1999. The Accompanying Notes are an Integral Part of the Financial Statements 102 -- NOTES TO FINANCIAL STATEMENTS NORTHWESTERN MUTUAL VARIABLE LIFE ACCOUNT Notes to Financial Statements JUNE 30, 1999 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 Fund's offering and redemption price per share. The Funds are a diversified open-end investment company 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 the Funds shares is identified cost. Purchases and sales of the Funds shares for the period ended June 30, 1999 by each Division are shown below:
PURCHASES SALES ------------- ------------ Small Cap Growth Stock Division...................... $ 2,438 $ -- Aggressive Growth Division...... 18,620,297 2,903,038 International Equity Division... 25,024,772 1,278,144 Index 400 Stock Division........ -- -- Growth Stock Division........... 23,145,256 781,453 Growth & Income Stock Division...................... 23,329,664 785,922 Index 500 Stock Division........ 528,545,556 1,586,316 Balanced Division............... 28,151,125 1,902,661 High Yield Bond Division........ 2,877,703 840,133 Select Bond Division............ 4,423,175 1,512,428 Money Market Division........... 33,804,804 23,341,955 Russell Multi-Style Equity Division...................... 70,358 -- Russell Aggressive Equity Division...................... 19,194 -- Russell Non-U.S. Division....... 588 -- Russell Real Estate Securities Division...................... 5,240 -- Russell Core Bond Division...... 394 --
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 is 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 accounts are allocated to the Account. These deductions are for (1) sales load, (2) administrative expenses, (3) taxes and (4) a risk charge for the guaranteed minimum death benefit. Additional mortality costs are deducted from the policy annually and are paid to Northwestern Mutual to cover the cost of providing insurance protection. This cost is actuarially calculated based upon the insured's age, the 1980 Commissioners Standard Ordinary Mortality Table and the amount of insurance provided under the policy. NOTE 6 -- Northwestern Mutual is taxed as a "life insurance company" under the Internal Revenue Code. The variable life insurance policies which are funded in the Account are taxed as part of the operations of Northwestern Mutual. Policies provide that a charge for taxes may be made against the assets of the Account. Generally, for 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 3, 1998, there is no charge being made against the assets of the Account for federal income taxes, but Northwestern Mutual Life reserves the right to charge for taxes in the future. NOTE 7 -- The Account is credited for the policyowners' net annual premiums at the respective policy anniversary dates regardless of when policyowners actually paid their premiums. Northwestern Mutual's equity represents any unpaid portion of net annual premiums. This applies to Variable Life and Variable Complife policies only. -- 103 NORTHWESTERN MUTUAL VARIABLE LIFE ACCOUNT Notes to Financial Statements (in thousands) JUNE 30, 1999 NOTE 8 -- Equity Values by Division are shown below:
VARIABLE LIFE POLICIES ISSUED BEFORE OCTOBER 11, 1995 EQUITY OF: ------------------------ TOTAL POLICYOWNERS NML EQUITY ------------- --------- --------- Small Cap Growth Stock Division.......................................................... $ -- $ -- $ -- Aggressive Growth Stock Division......................................................... 45,452 3,370 48,822 International Equity Division............................................................ 36,147 2,779 38,926 Index 400 Stock Division................................................................. -- -- -- Growth Stock Division.................................................................... 28,201 1,528 29,729 Growth and Income Stock Division......................................................... 29,274 1,681 30,955 Index 500 Stock Division................................................................. 114,555 5,230 119,785 Balanced Division........................................................................ 143,478 4,870 148,348 High Yield Bond Division................................................................. 4,545 354 4,899 Select Bond Division..................................................................... 7,506 429 7,935 Money Market Division.................................................................... 6,270 273 6,543 Russell Multi-Style Equity Division...................................................... -- -- -- Russell Aggressive Equity Division....................................................... -- -- -- Russell Non-U.S. Division................................................................ -- -- -- Russell Real Estate Securities Division.................................................. -- -- -- Russell Core Bond Division............................................................... -- -- -- ------------- --------- --------- $ 415,428 $ 20,514 $ 435,942 ------------- --------- --------- ------------- --------- ---------
VARIABLE COMPLIFE POLICIES ISSUED ON OR AFTER OCTOBER 11, 1995 EQUITY OF: ------------------------ TOTAL POLICYOWNERS NML EQUITY ------------- --------- --------- Small Cap Growth Stock Division......................................................... $ 2 $ -- $ 2 Aggressive Growth Stock Division........................................................ 73,147 21,141 94,288 International Equity Division........................................................... 45,627 13,655 59,282 Index 400 Stock Division................................................................ -- -- -- Growth Stock Division................................................................... 48,211 16,506 64,717 Growth and Income Stock Division........................................................ 45,419 15,597 61,016 Index 500 Stock Division................................................................ 103,997 37,203 141,200 Balanced Division....................................................................... 21,445 6,879 28,324 High Yield Bond Division................................................................ 8,596 3,011 11,607 Select Bond Division.................................................................... 4,523 1,350 5,873 Money Market Division................................................................... 17,694 23,656 41,350 Russell Multi-Style Equity Division..................................................... 70 -- 70 Russell Aggressive Equity Division...................................................... 19 -- 19 Russell Non-U.S. Division............................................................... 1 -- 1 Russell Real Estate Securities Division................................................. 5 -- 5 Russell Core Bond Division.............................................................. 1 -- 1 ------------- --------- --------- $ 368,757 $ 138,998 $ 507,755 ------------- --------- --------- ------------- --------- ---------
-- 104 NORTHWESTERN MUTUAL VARIABLE LIFE ACCOUNT Notes to Financial Statements (in thousands) JUNE 30, 1999
VARIABLE EXECUTIVE LIFE VARIABLE JOINT LIFE POLICIES ISSUED ON OR POLICIES ISSUED ON OR AFTER MARCH 2, 1998 AFTER DECEMBER 10, 1998 ----------------------- ------------------------- TOTAL TOTAL EQUITY EQUITY ----------------------- ------------------------- Small Cap Growth Stock Division............................................. $ -- $ -- Aggressive Growth Stock Division............................................ 338 56 International Equity Division............................................... 602 47 Index 400 Stock Division.................................................... -- -- Growth Stock Division....................................................... 638 69 Growth and Income Stock Division............................................ 126 107 Index 500 Stock Division.................................................... 1,477 672 Balanced Division........................................................... 967 12 High Yield Bond Division.................................................... 132 7 Select Bond Division........................................................ 454 54 Money Market Division....................................................... 472 1,398 Russell Multi-Style Equity Division......................................... -- -- Russell Aggressive Equity Division.......................................... -- -- Russell Non-U.S. Division................................................... -- -- Russell Real Estate Securities Division..................................... -- -- Russell Core Bond Division.................................................. -- -- -------- -------- $ 5,206 $ 2,422 -------- -------- -------- --------
-- 105 NOTES -- 106 VARIABLE WHOLE LIFE - VARIABLE EXTRA ORDINARY LIFE - VARIABLE SINGLE PREMIUM LIFE NORTHWESTERN MUTUAL LIFE-REGISTERED TRADEMARK- Policyowner Services Department 720 East Wisconsin Avenue Milwaukee, Wisconsin 53202 FAX: 414-299-4268 REDISTRIBUTION OF EXISTING ASSETS - ALLOCATION OF FUTURE PREMIUMS / DIVIDENDS INSURED'S NAME POLICY NUMBER DATE (MM/DD/YYYY)
- -------------------------------------------------------------------------------- SECTION 1 - REDISTRIBUTION OF EXISTING ASSETS: THIS CHANGE DOES NOT AFFECT THE ALLOCATION OF FUTURE PREMIUMS/DIVIDENDS. TO CHANGE THE ALLOCATION OF FUTURE PREMIUMS/DIVIDENDS, COMPLETE SECTION 2.
INVESTMENT DIVISIONS PERCENT Select Bond % International Equity % Money Market % Balanced % Index 500 Stock % Aggressive Growth % High Yield Bond % Growth Stock % Growth and Income Stock % Index 400 Stock+ % Small Cap Growth Stock+ % Russell Multi-Style Equity+ % Russell Aggressive Equity+ % Russell Non-US+ % Russell Real Estate Securities+ % Russell Core Bond+ % TOTAL 100% + NOT AVAILABLE IN ALL STATES (TOTAL MUST EQUAL 100%) A MAXIMUM OF 6 DIFFERENT DIVISIONS among ALL SECTIONS may be elected at any one time. WHOLE % ONLY
- -------------------------------------------------------------------------------- SECTION 2 - ALLOCATION OF FUTURE PREMIUMS / DIVIDENDS: Complete this section to change where future premiums/dividends are invested. THIS CHANGE WILL BE EFFECTIVE ON THE NEXT POLICY ANNIVERSARY AND DOES NOT AFFECT EXISTING ASSETS. INVESTMENT DIVISIONS PERCENT Select Bond % International Equity % Money Market % Balanced % Index 500 Stock % Aggressive Growth % High Yield Bond % Growth Stock % Growth and Income Stock % Index 400 Stock+ % Small Cap Growth Stock+ % Russell Multi-Style Equity+ % Russell Aggressive Equity+ % Russell Non-US+ % Russell Real Estate Securities+ % Russell Core Bond+ % TOTAL 100% + NOT AVAILABLE IN ALL STATES (TOTAL MUST EQUAL 100%) A MAXIMUM OF 6 DIFFERENT DIVISIONS among ALL SECTIONS may be elected at any one time. WHOLE % ONLY
- 107 - -------------------------------------------------------------------------------- SECTION 3 - EFFECTIVE DATE: Redistribution of existing assets and/or allocation of future premiums/dividends shall be effective on or prior to 3:00 PM Central standard time on the date it is received (completed and signed) at Northwestern Mutual Life's Home Office. Forms received after 3:00 PM Central standard time will be effective the next business day. - -------------------------------------------------------------------------------- SECTION 4 - SIGNATURE OF OWNER(S) / TRUSTEE(S) REQUIRED (TITLE MUST BE INCLUDED):
SIGNATURE OF OWNER(S) / TRUSTEE(S) SIGNATURE OF ASSIGNEE (IF ANY) - -------------------------------------------------- -------------------------------------------------- - -------------------------------------------------- -------------------------------------------------- - -------------------------------------------------- -------------------------------------------------- ( )- ( )- -------------------------------------- -------------------------------------- AREA CODE/DAYTIME PHONE NUMBER AREA CODE/DAYTIME PHONE NUMBER
- -------------------------------------------------------------------------------- HOW TO SUBMIT THIS FORM FIRST CLASS MAIL Please mail form to: Northwestern Mutual Life Policyowner Services Department 720 East Wisconsin Avenue Milwaukee, WI 53202. FAX The properly completed and signed form may be FAXED to the Home Office at (414) 299-4268. The original form is NOT needed. Please keep for your records. - -------------------------------------------------------------------------------- SIGNATURE INSTRUCTIONS OWNER Signature of Owner is required. ASSIGNEE If the policy is assigned, the assignee must sign the form. See rules below if the assignee is a corporation, partnership or trust. ON BEHALF OF CORPORATION If the policyowner is a corporation, an officer of the corporation must sign on behalf of the corporation with his/her title. The name of the corporation must appear above the signature. ON BEHALF OF PARTNERSHIP If the policyowner is a partnership, the name of the partnership must appear above the signature. A partner other than the Insured must sign. ON BEHALF OF TRUST If the partnership is a trust, the authorized Trustee must sign his/her name, followed by the word "Trustee." The name of the trust must appear above the signature. ELIGIBLE CLIENTS MAY CALL THE NORTHWESTERN MUTUAL EXPRESS LINE AT 1-800-519-4665 TO OBTAIN CONTRACT VALUES, INFORMATION ABOUT SPECIFIC INVESTMENT FUNDS, OR TO INITIATE TRANSFERS AND PAYMENT ALLOCATION CHANGES. --- 108 NORTHWESTERN MUTUAL LIFE-Registered Trademark- Policyowner Services Department 720 East Wisconsin Avenue Milwaukee, Wisconsin 53202 FAX: 414-299-4268 - -------------------------------------------------------------------------------- VARIABLE COMPLIFE REDISTRIBUTION OF EXISTING ASSETS - ALLOCATION OF FUTURE PREMIUMS / DIVIDENDS - DOLLAR COST AVERAGING
INSURED'S NAME POLICY NUMBER DATE (MM/DD/YYYY)
- -------------------------------------------------------------------------------- SECTION 1 - REDISTRIBUTION OF EXISTING ASSETS: (SEE SECTION 3 FOR DOLLAR COST AVERAGING) THIS CHANGE DOES NOT AFFECT THE ALLOCATION OF FUTURE PREMIUMS/DIVIDENDS. TO CHANGE THE ALLOCATION OF FUTURE PREMIUMS/DIVIDENDS, COMPLETE SECTION 2.
INVESTMENT DIVISIONS PERCENT Select Bond % International Equity % Money Market % Balanced % Index 500 Stock % Aggressive Growth % High Yield Bond % Growth Stock % Growth and Income Stock % Index 400 Stock+ % Small Cap Growth Stock+ % Russell Multi-Style Equity+ % Russell Aggressive Equity+ % Russell Non-US+ % Russell Real Estate Securities+ % Russell Core Bond+ % TOTAL 100% + NOT AVAILABLE IN ALL STATES (TOTAL MUST EQUAL 100%) A MAXIMUM OF 10 DIFFERENT DIVISIONS among ALL SECTIONS may be elected at any one time. WHOLE % ONLY
- -------------------------------------------------------------------------------- SECTION 2 - ALLOCATION OF FUTURE PREMIUMS / DIVIDENDS: (SEE SECTION 3 FOR DOLLAR COST AVERAGING) Complete this section to change where future premiums/dividends are invested. THIS CHANGE WILL BE EFFECTIVE ON THE NEXT POLICY ANNIVERSARY AND DOES NOT AFFECT EXISTING ASSETS.
INVESTMENT DIVISIONS PERCENT Select Bond % International Equity % Money Market % Balanced % Index 500 Stock % Aggressive Growth % High Yield Bond % Growth Stock % Growth and Income Stock % Index 400 Stock+ % Small Cap Growth Stock+ % Russell Multi-Style Equity+ % Russell Aggressive Equity+ % Russell Non-US+ % Russell Real Estate Securities+ % Russell Core Bond+ % TOTAL 100% + NOT AVAILABLE IN ALL STATES (TOTAL MUST EQUAL 100%) A MAXIMUM OF 10 DIFFERENT DIVISIONS among ALL SECTIONS may be elected at any one time. WHOLE % ONLY
- 109 - -------------------------------------------------------------------------------- SECTION 3 - DOLLAR COST AVERAGING: YOU MUST HAVE ASSETS IN THE MONEY MARKET DIVISION TO DO DOLLAR COST AVERAGING. CHOOSE THE EFFECTIVE DATE FOR THE FIRST DOLLAR COST AVERAGING TRANSFER: / / THE NEXT MONTHLY PROCESSING DATE. YOU MUST HAVE ASSETS IN THE MONEY MARKET DIVISION (COMPLETE SECTIONS 1 & 2) -OR- / / THE NEXT POLICY ANNIVERSARY. YOU MUST HAVE ASSETS IN THE MONEY MARKET DIVISION (COMPLETE SECTION 2) CHOOSE THE MONTHLY DOLLAR COST AVERAGING METHOD OF TRANSFER: / / OPTION 1: So that the entire amount in the Money Market Division is transferred by the next policy anniversary. -OR- / / OPTION 2: A specified amount to be transferred of $ _________________________________.
INVESTMENT DIVISIONS PERCENT Select Bond % International Equity % Balanced % Index 500 Stock % Aggressive Growth % High Yield Bond % Growth Stock % Growth and Income Stock % Index 400 Stock+ % Small Cap Growth Stock+ % Russell Multi-Style Equity+ % Russell Aggressive Equity+ % Russell Non-US+ % Russell Real Estate Securities+ % Russell Core Bond+ % TOTAL 100% A MAXIMUM OF 10 DIFFERENT DIVISIONS among ALL SECTIONS may be elected at any one time. WHOLE % ONLY + NOT AVAILABLE IN ALL STATES (TOTAL MUST EQUAL 100%)
- -------------------------------------------------------------------------------- SECTION 4 - TERMINATION OF DOLLAR COST AVERAGING: Any existing assets will remain in the Money Market Division unless you elect to redistribute them by completing Section 1. / / IMMEDIATELY / / NEXT POLICY ANNIVERSARY
- -------------------------------------------------------------------------------- SECTION 5 - EFFECTIVE DATE: Redistribution of existing assets and/or allocation of future premiums/dividends shall be effective on or prior to 3:00 PM Central standard time on the date it is received (completed and signed) at Northwestern Mutual Life's Home Office. Forms received after 3:00 PM Central standard time will be effective the next business day. - -------------------------------------------------------------------------------- SECTION 6 - SIGNATURE OF OWNER(S) / TRUSTEE(S) REQUIRED (TITLE MUST BE INCLUDED):
SIGNATURE OF OWNER(S) / TRUSTEE(S) SIGNATURE OF ASSIGNEE (IF ANY) - -------------------------------------------------- -------------------------------------------------- - -------------------------------------------------- -------------------------------------------------- - -------------------------------------------------- -------------------------------------------------- ( )- ( )- -------------------------------------- -------------------------------------- AREA CODE/DAYTIME PHONE NUMBER AREA CODE/DAYTIME PHONE NUMBER
--- 110 - -------------------------------------------------------------------------------- HOW TO SUBMIT THIS FORM FIRST CLASS MAIL Please mail form to: Northwestern Mutual Life Policyowner Services Department 720 E. Wisconsin Avenue Milwaukee, WI 53202. FAX The properly completed and signed form may be FAXED to the Home Office at (414) 299-4268. The original form is NOT needed. Please keep for your records. - -------------------------------------------------------------------------------- SIGNATURE INSTRUCTIONS OWNER Signature of Owner is required. ASSIGNEE If the policy is assigned, the assignee must sign the form. See rules below if the assignee is a corporation, partnership or trust. ON BEHALF OF CORPORATION If the policyowner is a corporation, an officer of the corporation must sign on behalf of the corporation with his/her title. The name of the corporation must appear above the signature. ON BEHALF OF PARTNERSHIP If the policyowner is a partnership, the name of the partnership must appear above the signature. A partner other than the Insured must sign. ON BEHALF OF TRUST If the partnership is a trust, the authorized Trustee must sign his/her name, followed by the word "Trustee." The name of the trust must appear above the signature. ELIGIBLE CLIENTS MAY CALL THE NORTHWESTERN MUTUAL EXPRESS LINE AT 1-800-519-4665 TO OBTAIN CONTRACT VALUES, INFORMATION ABOUT SPECIFIC INVESTMENT FUNDS, OR TO INITIATE TRANSFERS AND PAYMENT ALLOCATION CHANGES. --- 111 NOTES --- 112 VARIABLE EXECUTIVE LIFE VEL NORTHWESTERN MUTUAL LIFE- REGISTERED VARIABLE EXECUTIVE LIFE TRADEMARK-720 East Wisconsin Avenue SEND TO: ADVANCED BUSINESS SERVICES - E13 Milwaukee, Wisconsin 53202 NORTHWESTERN MUTUAL LIFE INS CO 720 E. WISCONSIN AVENUE MILWAUKEE, WISCONSIN 53202 FAX: (414) 299-5735
ASSET TRANSFER / PREMIUM ALLOCATION / DOLLAR COST AVERAGING
INSURED NAME(S) POLICY NUMBER(S) GROUP ID NUMBER GROUP NAME OWNER NAME
- -------------------------------------------------------------------------------- SECTION 1 - ASSET TRANSFER: This transfers current assets and does not impact the allocation of future premiums. To determine an effective date of this request or to request a Future Effective Date, see SECTION 5. To change how future premiums are invested, complete SECTION 2 below. To transfer the entire amount in a division, indicate "ALL".
TRANSFER FROM (SELECT ONE): TRANSFER TO (SELECT ONE): DOLLAR PERCENT NUMBER DOLLAR AMOUNT PERCENT INVESTMENT DIVISIONS AMOUNT (WHOLE % ONLY) OF UNITS (IF FROM DOLLARS) (WHOLE % ONLY) Money Market $ % $ % Aggressive Growth Stock $ % $ % Balanced $ % $ % Growth & Income Stock $ % $ % Growth Stock $ % $ % High Yield Bond $ % $ % Index 500 Stock $ % $ % International Equity $ % $ % Select Bond $ % $ % Index 400 Stock * $ % $ % Small Cap Growth Stock * $ % $ % Russell Multi-Style Equity * $ % $ % Russell Aggressive Equity * $ % $ % Russell Non-US * $ % $ % Russell Real Estate Securities * $ % $ % Russell Core Bond * $ % $ % TOTAL N/A $ 100% * NOT AVAILABLE IN ALL STATES TOTAL DOLLARS MUST BE EQUAL
- -------------------------------------------------------------------------------- SECTION 2 - ALLOCATION OF FUTURE PREMIUMS: INDICATE WHERE TO INVEST FUTURE PREMIUMS:
PERCENT INVESTMENT DIVISIONS (WHOLE % ONLY) Money Market % Aggressive Growth Stock % Balanced % Growth & Income Stock % Growth Stock % High Yield Bond % Index 500 Stock % International Equity % Select Bond % Index 400 Stock * % Small Cap Growth Stock * % Russell Multi-Style Equity * % Russell Aggressive Equity * % Russell Non-US * % Russell Real Estate Securities * % Russell Core Bond * % TOTAL 100% Complete this section to change where future premiums are invested. To determine the effective date of this request or to request a Future Effective Date, see SECTION 5. * NOT AVAILABLE IN ALL STATES (TOTAL MUST ADD UP TO 100%)
- 113 - -------------------------------------------------------------------------------- SECTION 3 - DOLLAR COST AVERAGING (DCA): CHOOSE ONE OPTION: / / OPTION ONE: Transfer in monthly installments so that on the policy anniversary the Money Market balance will be zero. / / OPTION TWO: Requested amount to be transferred monthly of $___________. INDICATE WHERE DOLLAR COST AVERAGING (DCA) IS TO BE INVESTED: PERCENT INVESTMENT DIVISIONS (WHOLE % ONLY) Money Market N/A % Aggressive Growth Stock % Balanced % Growth & Income Stock % Growth Stock % High Yield Bond % Index 500 Stock % International Equity % Select Bond % Index 400 Stock * % Small Cap Growth Stock * % Russell Multi-Style Equity * % Russell Aggressive Equity * % Russell Non-US * % Russell Real Estate Securities * % Russell Core Bond * % TOTAL 100% The first DCA transfer will occur on the NEXT MONTHLY PROCESSING DATE of the policy. You must have assets in the Money Market Division by that date. To determine the effective date of this request or to specify a Future Effective Date, see SECTION 5. DCA is available only from the Money Market Division. * NOT AVAILABLE IN ALL STATES (TOTAL MUST ADD UP TO 100%)
- -------------------------------------------------------------------------------- SECTION 4 - TERMINATION OF DOLLAR COST AVERAGING: At termination of Dollar Cost Averaging, any existing funds will remain in the Money Market Division unless you elect to distribute them by completing SECTION 1. / / IMMEDIATELY / / SPECIFIED DATE / / (MM/DD/YYYY) (THE NEXT MONTHLY PROCESSING DATE ON OR FOLLOWING RECEIPT OF (THE NEXT MONTHLY PROCESSING DATE ON OR FOLLOWING THE DATE THIS REQUEST IN NML'S HOME OFFICE.) SPECIFIED.) / / NEXT POLICY ANNIVERSARY
- -------------------------------------------------------------------------------- SECTION 5 - EFFECTIVE DATE/SPECIFIED FUTURE EFFECTIVE DATE: Unless a Future Effective Date is specified, any changes requested on this form shall be effective on the date it is received (completed and signed) at NML's Home Office if received prior to the close of the New York Stock Exchange. Changes requested on this form received (completed and signed) in NML's Home Office after the close of the New York Stock Exchange shall be effective the next business day. The specified Future Effective Date cannot be more than 365 days in the future. INSERT FUTURE EFFECTIVE DATE HERE: ____ /____ /______ (MM/DD/YYYY) - -------------------------------------------------------------------------------- SECTION 6 - SPECIAL INSTRUCTIONS: - -------------------------------------------------------------------------------- SECTION 7 - SIGNATURE(S) OF OWNER(S) /TRUSTEE(S) REQUIRED (TITLE MUST BE INCLUDED): OWNER/TRUSTEE: (SIGNATURE)
OWNER/TRUSTEE: DATE SIGNED: (MM/DD/YYYY)
- 114 (PRINT OR TYPE NAME AND TITLE) OWNER/TRUSTEE: (SIGNATURE) (PRINT OR TYPE NAME AND TITLE) ASSIGNEE, IF ANY:
OWNER/TRUSTEE: DATE SIGNED: (MM/DD/YYYY) ASSIGNEE, IF ANY: DATE SIGNED: (MM/DD/YYYY)
- 115 VARIABLE JOINT LIFE [LOGO] [LOGO] SEND TO: ADVANCED BUSINESS SERVICES - E13 NORTHWESTERN MUTUAL LIFE INS CO 720 East Wisconsin Avenue 720 E. WISCONSIN AVENUE Milwaukee, Wisconsin 53202 MILWAUKEE, WISCONSIN 53202 FAX: (414) 299-5735
ASSET TRANSFER / PREMIUM ALLOCATION / DOLLAR COST AVERAGING INSURED NAME(S) POLICY NUMBER(S) OWNER NAME
- -------------------------------------------------------------------------------- SECTION 1 - ASSET TRANSFER: INDICATE WHERE TO TRANSFER TO: PERCENT INVESTMENT DIVISIONS (WHOLE % ONLY) Money Market % Aggressive Growth Stock % Balanced % Growth & Income Stock % Growth Stock % High Yield Bond % Index 500 Bond % International Equity % Select Bond % Index 400 Stock * % Small Cap Growth Stock* % Russell Multi-Style Equity* % Russell Aggressive Equity* % Russell Non-US* % Russell Real Estate Securities* % Russell Core Bond* % TOTAL 100% This transfers current assets and does not impact the allocation of future premiums. To determine the effective date of this request or to request a Future Effective Date, see SECTION 5. To change how future premiums are invested, complete SECTION 2 below. * NOT AVAILABLE IN ALL STATES (TOTAL MUST ADD UP TO 100%)
- -------------------------------------------------------------------------------- - 115 SECTION 2 - ALLOCATION OF FUTURE PREMIUMS: INDICATE WHERE TO INVEST FUTURE PREMIUMS: PERCENT INVESTMENT DIVISIONS (WHOLE % ONLY) Money Market % Aggressive Growth Stock % Balanced % Growth & Income Stock % Growth Stock % High Yield Bond % Index 500 Stock % International Equity % Select Bond % Index 400 Stock* % Small Cap Growth Stock* % Russell Multi-Style Equity* % Russell Aggressive Equity* % Russell Non-US* % Russell Real Estate Securities* % Russell Core Bond* % TOTAL 100% Complete this section to change where future premiums are invested. To determine the effective date of this request or to request a Future Effective Date, see SECTION 5. *NOT AVAILABLE IN ALL STATES (TOTAL MUST ADD UP TO 100%)
- 116 - -------------------------------------------------------------------------------- SECTION 3 - DOLLAR COST AVERAGING (DCA): CHOOSE ONE OPTION: / / OPTION ONE: Transfer in monthly installments so that on the policy anniversary the Money Market balance will be zero. / / OPTION TWO: Requested amount to be transferred monthly of $_____________. INDICATE WHERE DOLLAR COST AVERAGING (DCA) IS TO BE INVESTED: PERCENT INVESTMENT DIVISIONS (WHOLE % ONLY) Money Market N/A % Aggressive Growth Stock % Balanced % Growth & Income Stock % Growth Stock % High Yield Bond % Index 500 Stock % International Equity % Select Bond % Index 400 Stock* % Small Cap Growth Stock* % Russell Multi-Style Equity* % Russell Aggressive Equity* % Russell Non-US* % Russell Real Estate Securities* % Russell Core Bond* % TOTAL 100% The first DCA transfer will occur on the NEXT MONTHLY PROCESSING DATE of the policy. You must have assets in the Money Market Division by that date. To determine the effective date of this request or to specify a Future Effective Date, see SECTION 5. DCA is available only from the Money Market Division. * NOT AVAILABLE IN ALL STATES (TOTAL MUST ADD UP TO 100%)
- -------------------------------------------------------------------------------- SECTION 4 - TERMINATION OF DOLLAR COST AVERAGING: At termination of Dollar Cost Averaging, any existing funds will remain in the Money Market Division unless you elect to distribute them by completing SECTION 1. / / IMMEDIATELY / / SPECIFIED DATE / / (MM/DD/YYYY) (THE NEXT MONTHLY PROCESSING DATE ON OR FOLLOWING (THE NEXT MONTHLY PROCESSING DATE ON OR FOLLOWING THE RECEIPT OF THIS REQUEST IN NML'S HOME OFFICE.) DATE SPECIFIED.) / / NEXT POLICY ANNIVERSARY
- -------------------------------------------------------------------------------- SECTION 5 - EFFECTIVE DATE/SPECIFIED FUTURE EFFECTIVE DATE: Unless a Future Effective Date is specified, any changes requested on this form shall be effective on the date it is received (completed and signed) at NML's Home Office if received prior to the close of the New York Stock Exchange. Changes requested on this form received (completed and signed) in NML's Home Office after the close of the New York Stock Exchange shall be effective the next business day. The specified Future Effective Date cannot be more than 365 days in the future. INSERT FUTURE EFFECTIVE DATE HERE: ____ /____ /______ (MM/DD/YYYY) - -------------------------------------------------------------------------------- SECTION 6 - SPECIAL INSTRUCTIONS: - -------------------------------------------------------------------------------- SECTION 7 - SIGNATURE(S) OF OWNER(S) / TRUSTEE(S) REQUIRED (TITLE MUST BE INCLUDED): OWNER/TRUSTEE: DATE SIGNED:
--- 116 (SIGNATURE) (MM/DD/YYYY) (PRINT OR TYPE NAME AND TITLE) OWNER/TRUSTEE: DATE SIGNED: (SIGNATURE) (MM/DD/YYYY) (PRINT OR TYPE NAME AND TITLE) ASSIGNEE, IF DATE SIGNED: ANY: (MM/DD/YYYY)
--- 117 DIRECTORS AND OFFICERS NORTHWESTERN MUTUAL SERIES FUND, INC. DIRECTORS JAMES D. ERICSON .... PRESIDENT AND CHIEF EXECUTIVE OFFICER, NORTHWESTERN MUTUAL LIFE, ..................................................................... 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 OFFICERS JAMES D. ERICSON ..................................................... PRESIDENT MARK G. DOLL ........................................ VICE PRESIDENT & TREASURER MERRILL C. LUNDBERG .................................................. SECRETARY BARBARA E. COURTNEY ................................................. CONTROLLER --- 117 This report is submitted for the general information of owners of Northwestern Mutual Variable Life policies. This report is not authorized for distribution to prospective purchasers of variable life policies unless it is accompanied by an effective prospectus. Northwestern Mutual Variable Life policies are sold through individuals who, in addition to being licensed life insurance agents of Northwestern Mutual Life, are registered representatives of Northwestern Mutual Investment Services, LLC, a wholly-owned subsidiary of Northwestern Mutual Life and a registered broker-dealer under the Securities Exchange Act of 1934 and a member of the National Association of Securities Dealers, Inc. 90-1899 (6-99) ------------------------ NORTHWESTERN BOUND PRINTED MATTER MUTUAL LIFE-Registered Trademark- BLK. RT. PO Box 3095 U.S. POSTAGE PAID Milwaukee WI 53201-3095 MILWAUKEE, WI PERMIT NO. 426 ------------------------ Change Service Requested -----END PRIVACY-ENHANCED MESSAGE-----